# EDGAR Filing Document

**Accession Number:** 0001517767
**File Stem:** 0001752724-23-030005
**Filing Date:** 2023-2
**Character Count:** 281281
**Document Hash:** d7585913c7e9cb9640ae71b7cd81466c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-030005.hdr.sgml**: 20230221

**ACCESSION NUMBER**: 0001752724-23-030005

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230221

**DATE AS OF CHANGE**: 20230221

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Vertical Capital Income Fund
- **CENTRAL INDEX KEY:** 0001517767
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22554
- **FILM NUMBER:** 23645781

**BUSINESS ADDRESS:**
- **STREET 1:** 80 ARKAY DRIVE
- **STREET 2:** SUITE 110
- **CITY:** HAUPPAUGE
- **STATE:** NY
- **ZIP:** 11788
- **BUSINESS PHONE:** 631-470-2600

**MAIL ADDRESS:**
- **STREET 1:** 80 ARKAY DRIVE
- **STREET 2:** SUITE 110
- **CITY:** HAUPPAUGE
- **STATE:** NY
- **ZIP:** 11788

## Nport-Ex

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** | **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4%** | **LOANS — 99.4%** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4%** | **MORTGAGE LOANS (PRIVATE)** — **99.4%** |  |  |  |
| 44877 | Loan ID 200012 | ARM | 9.8000 | &nbsp;&nbsp;&nbsp;07/01/37 | $46673 |
| 28751 | Loan ID 200016 | ARM | 10.3750 | &nbsp;&nbsp;&nbsp;01/01/31 | 29901 |
| 39553 | Loan ID 200018 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;01/01/33 | 38856 |
| 96419 | Loan ID 200023 | Fixed | 5.8750 | &nbsp;&nbsp;&nbsp;12/01/50 | 89660 |
| 196470 | Loan ID 200026 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;01/01/50 | 190520 |
| 179714 | Loan ID 200029 | Fixed | 6.3100 | &nbsp;&nbsp;&nbsp;07/01/37 | 172071 |
| 516639 | Loan ID 200035 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;11/01/50 | 486011 |
| 98916 | Loan ID 200041 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;08/01/39 | 87096 |
| 35012 | Loan ID 200042 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;12/01/37 | 34427 |
| 40561 | Loan ID 200043 | Fixed | 6.1250 | &nbsp;&nbsp;&nbsp;07/01/39 | 38419 |
| 44655 | Loan ID 200048 | Fixed | 5.5000 | &nbsp;&nbsp;&nbsp;08/01/39 | 40853 |
| 46570 | Loan ID 200054 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;03/01/39 | 47255 |
| 70241 | Loan ID 200055 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;01/05/36 | 70241 |
| 129276 | Loan ID 200079 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;02/01/59 | 112520 |
| 59991 | Loan ID 200082 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;04/01/40 | 60523 |
| 151405 | Loan ID 200084 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;03/01/39 | 147703 |
| 267476 | Loan ID 200090 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;11/01/36 | 162280 |
| 65344 | Loan ID 200102 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;03/01/40 | 66328 |
| 100609 | Loan ID 200110 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;08/01/39 | 95010 |
| 65074 | Loan ID 200128 | Fixed | 4.7100 | &nbsp;&nbsp;&nbsp;07/01/37 | 49412 |
| 424014 | Loan ID 200129 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;03/01/52 | 372067 |
| 105919 | Loan ID 200135 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;12/01/42 | 89509 |
| 68254 | Loan ID 200141 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;02/01/42 | 56868 |
| 130922 | Loan ID 200158 | Fixed | 3.6250 | &nbsp;&nbsp;&nbsp;12/01/42 | 105942 |
| 168245 | Loan ID 200165 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;12/01/41 | 142754 |
| 76322 | Loan ID 200174 | Fixed | 7.3400 | &nbsp;&nbsp;&nbsp;04/01/37 | 75775 |
| 42148 | Loan ID 200175 | Fixed | 9.6000 | &nbsp;&nbsp;&nbsp;05/01/37 | 43068 |
| 98161 | Loan ID 200181 | Fixed | 7.5000 | &nbsp;&nbsp;&nbsp;06/01/41 | 92088 |
| 63490 | Loan ID 200184 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;12/01/42 | 53626 |
| 24610 | Loan ID 200185 | Fixed | 5.3750 | &nbsp;&nbsp;&nbsp;06/01/42 | 22177 |
| 46477 | Loan ID 200186 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;08/01/42 | 41111 |
| 139938 | Loan ID 200194 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;09/01/41 | 121488 |
| 217723 | Loan ID 200195 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;03/01/42 | 179512 |
| 33835 | Loan ID 200198 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;10/01/42 | 30191 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 29403 | Loan ID 200201 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;08/01/41 | $26106 |
| 16829 | Loan ID 200206 | Fixed | 3.9900 | &nbsp;&nbsp;&nbsp;12/01/42 | 13921 |
| 37371 | Loan ID 200208 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;01/01/43 | 31359 |
| 151337 | Loan ID 200209 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;08/01/42 | 124486 |
| 62074 | Loan ID 200218 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;12/01/41 | 52341 |
| 43229 | Loan ID 200228 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;08/01/42 | 37065 |
| 100722 | Loan ID 200243 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;04/01/43 | 81949 |
| 21484 | Loan ID 200244 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;05/01/42 | 18839 |
| 80408 | Loan ID 200287 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;07/01/43 | 67816 |
| 25634 | Loan ID 200313 | Fixed | 8.5000 | &nbsp;&nbsp;&nbsp;03/01/28 | 25795 |
| 243246 | Loan ID 200315 | ARM | 5.2500 | &nbsp;&nbsp;&nbsp;06/01/37 | 248734 |
| 53072 | Loan ID 200317 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;09/01/32 | 52131 |
| 82696 | Loan ID 200332 | Fixed | 5.7750 | &nbsp;&nbsp;&nbsp;10/01/37 | 77131 |
| 81678 | Loan ID 200334 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;01/01/33 | 80240 |
| 247796 | Loan ID 200335 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;11/01/52 | 226298 |
| 49606 | Loan ID 200348 | Fixed | 6.5000 | &nbsp;&nbsp;&nbsp;07/01/38 | 47874 |
| 56749 | Loan ID 200352 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;08/01/30 | 54686 |
| 55059 | Loan ID 200361 | Fixed | 7.5000 | &nbsp;&nbsp;&nbsp;01/01/34 | 54819 |
| 78679 | Loan ID 200366 | Fixed | 6.2500 | &nbsp;&nbsp;&nbsp;03/01/34 | 72508 |
| 139066 | Loan ID 200368 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;04/01/36 | 121934 |
| 60038 | Loan ID 200374 | ARM | 7.0000 | &nbsp;&nbsp;&nbsp;05/01/34 | 60038 |
| 166392 | Loan ID 200380 | Fixed | 4.2200 | &nbsp;&nbsp;&nbsp;04/01/49 | 143470 |
| 261883 | Loan ID 200384 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;11/01/47 | 209615 |
| 126860 | Loan ID 200385 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;01/01/40 | 120236 |
| 179879 | Loan ID 200390 | Fixed | 4.7800 | &nbsp;&nbsp;&nbsp;04/16/47 | 159096 |
| 124049 | Loan ID 200391 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;01/13/35 | 107077 |
| 55717 | Loan ID 200392 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;06/05/34 | 56935 |
| 74788 | Loan ID 200395 | Fixed | 4.8600 | &nbsp;&nbsp;&nbsp;04/01/47 | 60349 |
| 62451 | Loan ID 200396 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;02/01/36 | 64153 |
| 39820 | Loan ID 200399 | Fixed | 4.9800 | &nbsp;&nbsp;&nbsp;06/01/37 | 35591 |
| 34606 | Loan ID 200403 | Fixed | 8.3000 | &nbsp;&nbsp;&nbsp;10/15/32 | 35006 |
| 46993 | Loan ID 200404 | Fixed | 8.1000 | &nbsp;&nbsp;&nbsp;05/01/37 | 47546 |
| 76422 | Loan ID 200405 | Fixed | 4.8700 | &nbsp;&nbsp;&nbsp;12/01/35 | 67761 |
| 107832 | Loan ID 200406 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;10/01/51 | 96443 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 321262 | Loan ID 200409 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;02/01/49 | $274631 |
| 90588 | Loan ID 200411 | Fixed | 8.2750 | &nbsp;&nbsp;&nbsp;06/01/37 | 92005 |
| 56771 | Loan ID 200417 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;05/01/35 | 55794 |
| 133546 | Loan ID 200420 | Fixed | 4.2250 | &nbsp;&nbsp;&nbsp;04/10/38 | 114398 |
| 110947 | Loan ID 200423 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;06/01/43 | 94225 |
| 188622 | Loan ID 200430 | Fixed | 3.6250 | &nbsp;&nbsp;&nbsp;07/01/43 | 152199 |
| 245488 | Loan ID 200432 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;05/01/43 | 213092 |
| 184313 | Loan ID 200435 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;11/01/52 | 166195 |
| 37478 | Loan ID 200439 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;08/01/41 | 32992 |
| 14148 | Loan ID 200447 | Fixed | 5.8750 | &nbsp;&nbsp;&nbsp;11/04/34 | 13327 |
| 69977 | Loan ID 200448 | Fixed | 5.7500 | &nbsp;&nbsp;&nbsp;05/01/42 | 65371 |
| 300836 | Loan ID 200451 | Fixed | 6.2500 | &nbsp;&nbsp;&nbsp;07/01/38 | 287092 |
| 146130 | Loan ID 200460 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;07/01/41 | 143608 |
| 347857 | Loan ID 200462 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;07/01/45 | 328326 |
| 200956 | Loan ID 200465 | Fixed | 6.5000 | &nbsp;&nbsp;&nbsp;07/01/37 | 193973 |
| 101915 | Loan ID 200468 | Fixed | 5.6250 | &nbsp;&nbsp;&nbsp;12/01/44 | 93272 |
| 108013 | Loan ID 200469 | Fixed | 6.5000 | &nbsp;&nbsp;&nbsp;07/01/37 | 104273 |
| 97513 | Loan ID 200489 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;03/01/43 | 80728 |
| 171479 | Loan ID 200491 | Fixed | 5.5000 | &nbsp;&nbsp;&nbsp;10/01/39 | 156807 |
| 241453 | Loan ID 200494 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;10/01/43 | 206475 |
| 165253 | Loan ID 200500 | Fixed | 5.8750 | &nbsp;&nbsp;&nbsp;02/01/37 | 155056 |
| 55243 | Loan ID 200507 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;09/01/42 | 47042 |
| 81032 | Loan ID 200517 | Fixed | 8.0000 | &nbsp;&nbsp;&nbsp;05/01/39 | 80773 |
| 171320 | Loan ID 200518 | Fixed | 3.0000 | &nbsp;&nbsp;&nbsp;12/01/50 | 138380 |
| 96920 | Loan ID 200527 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;12/01/43 | 82184 |
| 89820 | Loan ID 200532 | Fixed | 3.2500 | &nbsp;&nbsp;&nbsp;07/01/43 | 70812 |
| 27744 | Loan ID 200545 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;02/01/29 | 23350 |
| 80199 | Loan ID 200573 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;09/01/42 | 65465 |
| 155488 | Loan ID 200578 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;08/01/40 | 132579 |
| 40366 | Loan ID 200579 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;05/01/42 | 35048 |
| 140839 | Loan ID 200580 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;11/01/41 | 117969 |
| 276432 | Loan ID 200586 | Fixed | 3.5000 | &nbsp;&nbsp;&nbsp;01/01/43 | 221880 |
| 55015 | Loan ID 200593 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;06/01/42 | 45291 |
| 60392 | Loan ID 200604 | Fixed | 3.5000 | &nbsp;&nbsp;&nbsp;01/01/43 | 48478 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 108053 | Loan ID 200612 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;02/01/43 | $91855 |
| 143909 | Loan ID 200630 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;09/01/43 | 128230 |
| 198695 | Loan ID 200634 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;01/01/44 | 167331 |
| 103569 | Loan ID 200645 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;04/01/44 | 90463 |
| 122786 | Loan ID 200649 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;03/01/44 | 101581 |
| 113698 | Loan ID 200650 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;05/01/44 | 98471 |
| 181761 | Loan ID 200651 | Fixed | 3.6250 | &nbsp;&nbsp;&nbsp;07/01/43 | 146572 |
| 118455 | Loan ID 200655 | Fixed | 3.3750 | &nbsp;&nbsp;&nbsp;05/01/43 | 94158 |
| 162047 | Loan ID 200656 | Fixed | 6.8750 | &nbsp;&nbsp;&nbsp;11/01/45 | 147739 |
| 134308 | Loan ID 200657 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;08/01/51 | 118798 |
| 150864 | Loan ID 200660 | Fixed | 5.8750 | &nbsp;&nbsp;&nbsp;03/01/38 | 141279 |
| 60453 | Loan ID 200663 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;05/01/44 | 51986 |
| 136834 | Loan ID 200669 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;04/01/44 | 121428 |
| 35092 | Loan ID 200670 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;02/01/29 | 29529 |
| 270216 | Loan ID 200674 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;05/01/44 | 228765 |
| 111046 | Loan ID 200684 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;04/01/44 | 96327 |
| 201975 | Loan ID 200685 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;05/01/44 | 174814 |
| 192929 | Loan ID 200690 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;04/01/44 | 161199 |
| 213207 | Loan ID 200692 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;07/01/44 | 181627 |
| 92579 | Loan ID 200694 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;09/01/43 | 78615 |
| 40174 | Loan ID 200696 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;10/01/42 | 32782 |
| 83587 | Loan ID 200704 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;03/01/43 | 70511 |
| 42500 | Loan ID 200709 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;04/01/43 | 35880 |
| 97824 | Loan ID 200710 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;07/01/44 | 80712 |
| 546910 | Loan ID 200714 | Fixed | 4.1750 | &nbsp;&nbsp;&nbsp;11/01/36 | 470749 |
| 172705 | Loan ID 200716 | ARM | 5.0490 | &nbsp;&nbsp;&nbsp;08/01/37 | 172559 |
| 122165 | Loan ID 200720 | ARM | 4.0000 | &nbsp;&nbsp;&nbsp;04/01/42 | 110374 |
| 141136 | Loan ID 200726 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;09/01/37 | 124940 |
| 177546 | Loan ID 200732 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;09/01/27 | 151786 |
| 87651 | Loan ID 200735 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;06/01/44 | 74201 |
| 127076 | Loan ID 200736 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;05/01/44 | 106716 |
| 152921 | Loan ID 200742 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;04/01/43 | 128079 |
| 52601 | Loan ID 200753 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;05/01/44 | 46768 |
| 43940 | Loan ID 200755 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;06/01/43 | 36830 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | <br>**Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 160908 | Loan ID 200756 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;11/01/43 | $139711 |
| 189266 | Loan ID 200771 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;12/01/61 | 175185 |
| 38534 | Loan ID 200775 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;04/01/43 | 32288 |
| 70302 | Loan ID 200776 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;03/01/44 | 58682 |
| 47217 | Loan ID 200777 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;06/01/44 | 40518 |
| 147779 | Loan ID 200781 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;09/01/44 | 125562 |
| 59139 | Loan ID 200783 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;09/01/44 | 50805 |
| 198493 | Loan ID 200786 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;07/01/44 | 169420 |
| 38165 | Loan ID 200787 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;09/01/44 | 32746 |
| 178538 | Loan ID 200791 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;06/01/44 | 154457 |
| 77509 | Loan ID 200795 | Fixed | 6.7500 | &nbsp;&nbsp;&nbsp;08/01/36 | 74957 |
| 68112 | Loan ID 200796 | Fixed | 5.8800 | &nbsp;&nbsp;&nbsp;12/01/53 | 63877 |
| 54578 | Loan ID 200799 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;02/05/53 | 44721 |
| 59598 | Loan ID 200800 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;01/01/53 | 50020 |
| 143178 | Loan ID 200805 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;07/01/50 | 99821 |
| 52330 | Loan ID 200808 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;11/01/50 | 32017 |
| 110724 | Loan ID 200809 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;04/01/50 | 81517 |
| 212948 | Loan ID 200814 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;07/01/39 | 216113 |
| 182799 | Loan ID 200821 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;08/01/44 | 152421 |
| 70649 | Loan ID 200823 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;09/01/44 | 58924 |
| 91558 | Loan ID 200826 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;09/01/44 | 76857 |
| 163939 | Loan ID 200830 | ARM | 2.2500 | &nbsp;&nbsp;&nbsp;07/01/44 | 150614 |
| 28071 | Loan ID 200831 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/44 | 23392 |
| 241823 | Loan ID 200832 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/44 | 196716 |
| 138496 | Loan ID 200834 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;07/01/43 | 115167 |
| 90222 | Loan ID 200846 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;11/01/43 | 76057 |
| 89957 | Loan ID 200853 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;04/01/37 | 80346 |
| 244021 | Loan ID 200858 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;01/01/53 | 218656 |
| 142724 | Loan ID 200860 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;03/01/52 | 116350 |
| 238731 | Loan ID 200866 | Fixed | 3.4000 | &nbsp;&nbsp;&nbsp;05/01/53 | 197839 |
| 103656 | Loan ID 200867 | Fixed | 4.5800 | &nbsp;&nbsp;&nbsp;09/01/53 | 90484 |
| 164095 | Loan ID 200880 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;06/01/43 | 137460 |
| 44446 | Loan ID 200883 | Fixed | 3.3750 | &nbsp;&nbsp;&nbsp;05/01/28 | 35355 |
| 59380 | Loan ID 200886 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/44 | 49480 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 195631 | Loan ID 200887 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;09/01/44 | $167910 |
| 179563 | Loan ID 200891 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/44 | 149435 |
| 212807 | Loan ID 200892 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;09/01/43 | 172849 |
| 169339 | Loan ID 200897 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;10/01/44 | 145366 |
| 349514 | Loan ID 200907 | ARM | 5.0990 | &nbsp;&nbsp;&nbsp;08/01/47 | 343003 |
| 95375 | Loan ID 200908 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;06/01/49 | 83312 |
| 114770 | Loan ID 200909 | Fixed | 4.8700 | &nbsp;&nbsp;&nbsp;04/01/47 | 102503 |
| 595649 | Loan ID 200912 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;03/01/37 | 519809 |
| 52926 | Loan ID 200913 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;05/01/47 | 45611 |
| 129684 | Loan ID 200914 | Fixed | 2.8750 | &nbsp;&nbsp;&nbsp;12/01/47 | 107560 |
| 146416 | Loan ID 200917 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;01/01/51 | 129876 |
| 77615 | Loan ID 200921 | ARM | 3.2500 | &nbsp;&nbsp;&nbsp;07/01/51 | 76406 |
| 384041 | Loan ID 200922 | Fixed | 3.3400 | &nbsp;&nbsp;&nbsp;09/01/53 | 315490 |
| 111052 | Loan ID 200928 | Fixed | 4.8000 | &nbsp;&nbsp;&nbsp;02/01/41 | 98553 |
| 168898 | Loan ID 200940 | Fixed | 3.2500 | &nbsp;&nbsp;&nbsp;02/01/43 | 133501 |
| 227527 | Loan ID 200942 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;04/01/43 | 187969 |
| 91077 | Loan ID 200944 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;02/01/44 | 77128 |
| 249516 | Loan ID 200947 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;02/01/43 | 206293 |
| 242974 | Loan ID 200956 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;08/01/51 | 216005 |
| 360528 | Loan ID 200959 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;11/01/42 | 298431 |
| 129358 | Loan ID 200966 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;07/01/44 | 111980 |
| 135782 | Loan ID 200974 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/44 | 113229 |
| 313842 | Loan ID 200977 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;09/01/44 | 271931 |
| 146996 | Loan ID 200993 | Fixed | 2.0040 | &nbsp;&nbsp;&nbsp;07/15/49 | 111926 |
| 49418 | Loan ID 200996 | Fixed | 2.5000 | &nbsp;&nbsp;&nbsp;08/01/48 | 38729 |
| 37210 | Loan ID 201006 | Fixed | 6.8750 | &nbsp;&nbsp;&nbsp;03/01/38 | 36415 |
| 83521 | Loan ID 201007 | Fixed | 7.1250 | &nbsp;&nbsp;&nbsp;04/01/37 | 82441 |
| 66884 | Loan ID 201010 | Fixed | 5.5000 | &nbsp;&nbsp;&nbsp;04/01/39 | 59989 |
| 40588 | Loan ID 201012 | Fixed | 7.5000 | &nbsp;&nbsp;&nbsp;12/01/38 | 40496 |
| 49331 | Loan ID 201013 | Fixed | 7.5000 | &nbsp;&nbsp;&nbsp;12/01/38 | 49236 |
| 100409 | Loan ID 201016 | Fixed | 6.5000 | &nbsp;&nbsp;&nbsp;05/01/46 | 94817 |
| 24614 | Loan ID 201022 | ARM | 4.7500 | &nbsp;&nbsp;&nbsp;05/01/37 | 24527 |
| 117627 | Loan ID 201023 | Fixed | 6.4500 | &nbsp;&nbsp;&nbsp;02/01/36 | 113330 |
| 94699 | Loan ID 201027 | ARM | 9.6250 | &nbsp;&nbsp;&nbsp;03/01/37 | 98487 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 124125 | Loan ID 201032 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;11/01/44 | $104818 |
| 70856 | Loan ID 201036 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;12/01/44 | 59455 |
| 61575 | Loan ID 201037 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;07/01/39 | 62512 |
| 83750 | Loan ID 201041 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;11/01/52 | 70725 |
| 98623 | Loan ID 201043 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;04/01/39 | 80091 |
| 148961 | Loan ID 201044 | Fixed | 4.8700 | &nbsp;&nbsp;&nbsp;03/29/37 | 132296 |
| 90986 | Loan ID 201045 | Fixed | 3.3750 | &nbsp;&nbsp;&nbsp;07/01/37 | 66898 |
| 276448 | Loan ID 201046 | Fixed | 3.0000 | &nbsp;&nbsp;&nbsp;10/01/58 | 242527 |
| 101259 | Loan ID 201047 | Fixed | 3.6250 | &nbsp;&nbsp;&nbsp;04/01/53 | 81013 |
| 60222 | Loan ID 201053 | Fixed | 3.8600 | &nbsp;&nbsp;&nbsp;07/01/53 | 51159 |
| 182781 | Loan ID 201054 | Fixed | 2.4000 | &nbsp;&nbsp;&nbsp;05/17/50 | 138640 |
| 140706 | Loan ID 201057 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;01/01/50 | 122588 |
| 96187 | Loan ID 201058 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;08/01/37 | 82793 |
| 85477 | Loan ID 201060 | ARM | 3.7500 | &nbsp;&nbsp;&nbsp;07/01/35 | 86474 |
| 75329 | Loan ID 201061 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;02/01/50 | 63973 |
| 102619 | Loan ID 201063 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;09/01/47 | 87193 |
| 207213 | Loan ID 201066 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;12/01/46 | 178990 |
| 386423 | Loan ID 201067 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;01/01/44 | 332404 |
| 58733 | Loan ID 201069 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;12/01/44 | 50028 |
| 57421 | Loan ID 201072 | Fixed | 3.5000 | &nbsp;&nbsp;&nbsp;03/01/28 | 46079 |
| 83329 | Loan ID 201075 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;10/01/44 | 69984 |
| 200056 | Loan ID 201084 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;08/01/38 | 175129 |
| 225427 | Loan ID 201092 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;04/01/46 | 200636 |
| 121415 | Loan ID 201093 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;02/01/45 | 109928 |
| 131312 | Loan ID 201103 | ARM | 3.1250 | &nbsp;&nbsp;&nbsp;05/01/44 | 124288 |
| 142391 | Loan ID 201104 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;04/01/45 | 119395 |
| 62662 | Loan ID 201107 | Fixed | 5.1500 | &nbsp;&nbsp;&nbsp;02/01/36 | 56769 |
| 145388 | Loan ID 201111 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;04/01/50 | 105501 |
| 74159 | Loan ID 201113 | Fixed | 5.7500 | &nbsp;&nbsp;&nbsp;12/01/52 | 69172 |
| 113739 | Loan ID 201114 | Fixed | 8.0870 | &nbsp;&nbsp;&nbsp;05/01/54 | 114981 |
| 459114 | Loan ID 201115 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;02/01/51 | 388936 |
| 73258 | Loan ID 201122 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;11/01/48 | 60915 |
| 196526 | Loan ID 201124 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;04/01/40 | 172945 |
| 63725 | Loan ID 201127 | ARM | 5.0000 | &nbsp;&nbsp;&nbsp;04/01/37 | 64602 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 100092 | Loan ID 201130 | Fixed | 4.8500 | &nbsp;&nbsp;&nbsp;12/01/37 | $87311 |
| 113190 | Loan ID 201131 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;05/01/53 | 114866 |
| 152410 | Loan ID 201132 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;07/01/37 | 113275 |
| 174737 | Loan ID 201134 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;10/01/53 | 134600 |
| 161530 | Loan ID 201139 | Fixed | 3.0000 | &nbsp;&nbsp;&nbsp;11/01/53 | 130291 |
| 74603 | Loan ID 201143 | Fixed | 3.5000 | &nbsp;&nbsp;&nbsp;11/01/37 | 55396 |
| 122362 | Loan ID 201146 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;08/01/54 | 108650 |
| 100882 | Loan ID 201147 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;11/01/51 | 81524 |
| 82782 | Loan ID 201148 | Fixed | 3.9500 | &nbsp;&nbsp;&nbsp;10/01/42 | 71937 |
| 341793 | Loan ID 201149 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;12/01/61 | 304810 |
| 87095 | Loan ID 201155 | Fixed | 6.2500 | &nbsp;&nbsp;&nbsp;11/01/53 | 60334 |
| 184863 | Loan ID 201160 | Fixed | 4.9200 | &nbsp;&nbsp;&nbsp;10/01/49 | 165918 |
| 350767 | Loan ID 201163 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;12/01/49 | 262973 |
| 392540 | Loan ID 201168 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;04/01/52 | 356783 |
| 46960 | Loan ID 201170 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;07/01/37 | 40737 |
| 99869 | Loan ID 201173 | Fixed | 4.2800 | &nbsp;&nbsp;&nbsp;11/01/47 | 75562 |
| 119404 | Loan ID 201176 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;07/01/53 | 104310 |
| 286303 | Loan ID 201179 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;05/01/51 | 204887 |
| 232940 | Loan ID 201181 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;04/01/34 | 207086 |
| 121866 | Loan ID 201183 | Fixed | 3.5000 | &nbsp;&nbsp;&nbsp;10/01/52 | 102330 |
| 56955 | Loan ID 201184 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;06/01/49 | 49596 |
| 225438 | Loan ID 201185 | Fixed | 7.2500 | &nbsp;&nbsp;&nbsp;10/01/53 | 222934 |
| 74631 | Loan ID 201187 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;11/01/48 | 49050 |
| 561941 | Loan ID 201196 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;11/01/36 | 488393 |
| 296888 | Loan ID 201199 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;11/01/46 | 267017 |
| 131116 | Loan ID 201205 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;01/01/45 | 111562 |
| 101283 | Loan ID 201208 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;04/01/45 | 86043 |
| 159106 | Loan ID 201209 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;04/01/45 | 132430 |
| 383136 | Loan ID 201212 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;03/01/61 | 326160 |
| 172714 | Loan ID 201213 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;08/01/44 | 149128 |
| 469379 | Loan ID 201214 | ARM | 2.3750 | &nbsp;&nbsp;&nbsp;09/01/43 | 446619 |
| 54140 | Loan ID 201221 | Fixed | 3.2500 | &nbsp;&nbsp;&nbsp;05/01/43 | 45246 |
| 42084 | Loan ID 201222 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;01/01/45 | 36774 |
| 139753 | Loan ID 201240 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/45 | 116102 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 263611 | Loan ID 201241 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;07/01/45 | $220991 |
| 98088 | Loan ID 201243 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;11/01/45 | 83325 |
| 356642 | Loan ID 201244 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;06/01/45 | 300886 |
| 100693 | Loan ID 201245 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;08/01/44 | 86529 |
| 89499 | Loan ID 201248 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;07/01/44 | 77374 |
| 451470 | Loan ID 201249 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;03/01/59 | 382928 |
| 193008 | Loan ID 201254 | Fixed | 7.2500 | &nbsp;&nbsp;&nbsp;05/01/60 | 191052 |
| 203789 | Loan ID 201255 | ARM | 7.6250 | &nbsp;&nbsp;&nbsp;06/01/35 | 203789 |
| 154607 | Loan ID 201260 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;09/01/45 | 132382 |
| 44439 | Loan ID 201263 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;10/01/45 | 38047 |
| 131077 | Loan ID 201266 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;02/01/46 | 110281 |
| 133238 | Loan ID 201270 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;02/01/45 | 110065 |
| 216325 | Loan ID 201273 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;12/01/45 | 182010 |
| 192667 | Loan ID 201274 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;10/01/45 | 158740 |
| 19696 | Loan ID 201285 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;11/01/28 | 18708 |
| 274302 | Loan ID 201291 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;08/01/45 | 237720 |
| 110048 | Loan ID 201294 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;02/01/46 | 91126 |
| 684912 | Loan ID 201296 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;02/01/46 | 567596 |
| 64610 | Loan ID 201301 | Fixed | 4.5500 | &nbsp;&nbsp;&nbsp;10/01/44 | 54757 |
| 132876 | Loan ID 201305 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;08/01/44 | 113044 |
| 103799 | Loan ID 201306 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;09/01/45 | 84170 |
| 159746 | Loan ID 201307 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/48 | 132484 |
| 55935 | Loan ID 201308 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;11/01/45 | 47464 |
| 144918 | Loan ID 201309 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;09/01/45 | 118571 |
| 291084 | Loan ID 201313 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;01/01/46 | 240237 |
| 154114 | Loan ID 201319 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;10/01/45 | 128921 |
| 123576 | Loan ID 201324 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;04/01/46 | 109240 |
| 159716 | Loan ID 201326 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;03/01/46 | 135459 |
| 171460 | Loan ID 201328 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;11/01/45 | 153278 |
| 172908 | Loan ID 201336 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;01/01/46 | 147148 |
| 215059 | Loan ID 201350 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;06/01/45 | 198724 |
| 448097 | Loan ID 201354 | Fixed | 3.3750 | &nbsp;&nbsp;&nbsp;07/01/46 | 373872 |
| 123012 | Loan ID 201355 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;12/01/45 | 109021 |
| 136787 | Loan ID 201358 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;07/01/45 | 118170 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 303971 | Loan ID 201365 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/45 | $252561 |
| 164531 | Loan ID 201370 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;07/01/46 | 136098 |
| 235405 | Loan ID 201372 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;08/01/46 | 199307 |
| 129699 | Loan ID 201375 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;06/01/45 | 109455 |
| 228800 | Loan ID 201377 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;05/01/46 | 191804 |
| 125910 | Loan ID 201385 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;12/01/45 | 113468 |
| 203016 | Loan ID 201390 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;09/01/45 | 177687 |
| 361398 | Loan ID 201391 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;10/01/45 | 308323 |
| 398715 | Loan ID 201393 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;04/01/56 | 334795 |
| 65150 | Loan ID 201394 | Fixed | 6.7000 | &nbsp;&nbsp;&nbsp;06/01/34 | 63425 |
| 78843 | Loan ID 201395 | Fixed | 6.3000 | &nbsp;&nbsp;&nbsp;07/01/44 | 41140 |
| 77789 | Loan ID 201400 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;07/01/44 | 66847 |
| 81164 | Loan ID 201401 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;10/01/44 | 69655 |
| 85231 | Loan ID 201403 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;08/01/44 | 72839 |
| 65350 | Loan ID 201405 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;08/01/44 | 58013 |
| 49754 | Loan ID 201406 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;06/01/46 | 41146 |
| 221488 | Loan ID 201407 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;01/01/46 | 191045 |
| 149379 | Loan ID 201411 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;12/01/45 | 127913 |
| 131075 | Loan ID 201412 | Fixed | 5.7500 | &nbsp;&nbsp;&nbsp;12/01/45 | 120554 |
| 305158 | Loan ID 201413 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;07/01/45 | 257351 |
| 66421 | Loan ID 201414 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;07/01/44 | 54896 |
| 46849 | Loan ID 201415 | Fixed | 8.0000 | &nbsp;&nbsp;&nbsp;04/01/34 | 47296 |
| 52917 | Loan ID 201417 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;08/01/37 | 49931 |
| 36146 | Loan ID 201419 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;11/01/33 | 37104 |
| 52215 | Loan ID 201422 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;10/01/46 | 44107 |
| 89512 | Loan ID 201434 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;06/01/46 | 74708 |
| 81726 | Loan ID 201436 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;05/01/45 | 68490 |
| 163808 | Loan ID 201439 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;12/01/45 | 142428 |
| 273686 | Loan ID 201442 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;12/01/45 | 235204 |
| 46319 | Loan ID 201444 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;11/01/44 | 39091 |
| 230131 | Loan ID 201447 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;10/01/44 | 198878 |
| 83232 | Loan ID 201449 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;08/01/44 | 68376 |
| 212861 | Loan ID 201458 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;09/01/46 | 167790 |
| 244040 | Loan ID 201461 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;12/01/44 | 196385 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 91952 | Loan ID 201465 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;12/01/44 | $80658 |
| 278136 | Loan ID 201473 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;02/01/45 | 234936 |
| 133930 | Loan ID 201476 | ARM | 8.5000 | &nbsp;&nbsp;&nbsp;02/01/37 | 133930 |
| 70965 | Loan ID 201477 | Fixed | 6.7500 | &nbsp;&nbsp;&nbsp;11/01/36 | 69184 |
| 268870 | Loan ID 201483 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;12/01/45 | 221181 |
| 69869 | Loan ID 201484 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;10/01/46 | 58658 |
| 54498 | Loan ID 201485 | Fixed | 5.7500 | &nbsp;&nbsp;&nbsp;03/01/38 | 50718 |
| 154316 | Loan ID 201487 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;02/01/52 | 136900 |
| 83683 | Loan ID 201489 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;03/01/46 | 71606 |
| 69758 | Loan ID 201499 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;05/01/45 | 59886 |
| 95479 | Loan ID 201502 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;04/01/44 | 84944 |
| 136295 | Loan ID 201503 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;07/01/46 | 118294 |
| 410408 | Loan ID 201504 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;07/01/45 | 346149 |
| 82485 | Loan ID 201505 | ARM | 6.0000 | &nbsp;&nbsp;&nbsp;09/01/46 | 85785 |
| 282091 | Loan ID 201506 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;02/01/47 | 244394 |
| 204448 | Loan ID 201508 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;02/01/47 | 177347 |
| 111828 | Loan ID 201513 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;01/01/46 | 97010 |
| 43731 | Loan ID 201515 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;04/01/47 | 38098 |
| 87526 | Loan ID 201519 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;09/01/45 | 75027 |
| 72070 | Loan ID 201523 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;07/01/45 | 63258 |
| 307106 | Loan ID 201533 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;05/01/46 | 262202 |
| 37209 | Loan ID 201534 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;05/01/47 | 31904 |
| 305812 | Loan ID 201535 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;08/01/47 | 278520 |
| 126145 | Loan ID 201552 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;08/01/47 | 109079 |
| 43759 | Loan ID 201556 | Fixed | 4.9900 | &nbsp;&nbsp;&nbsp;12/01/47 | 37569 |
| 122620 | Loan ID 201558 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;08/01/47 | 109236 |
| 94823 | Loan ID 201579 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;12/01/36 | 80837 |
| 78180 | Loan ID 201581 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;10/01/46 | 64111 |
| 79938 | Loan ID 201583 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;08/01/47 | 74561 |
| 41183 | Loan ID 201585 | Fixed | 5.5000 | &nbsp;&nbsp;&nbsp;03/01/48 | 36939 |
| 358874 | Loan ID 201586 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;05/01/47 | 302606 |
| 289048 | Loan ID 201587 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;01/01/48 | 238316 |
| 31153 | Loan ID 201589 | Fixed | 5.3750 | &nbsp;&nbsp;&nbsp;06/01/48 | 27581 |
| 295683 | Loan ID 201591 | Fixed | 5.3750 | &nbsp;&nbsp;&nbsp;08/01/48 | 264536 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 318234 | Loan ID 201599 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;07/01/38 | $232601 |
| 44013 | Loan ID 201600 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;01/01/36 | 9492 |
| 57547 | Loan ID 201604 | Fixed | 8.5000 | &nbsp;&nbsp;&nbsp;01/01/48 | 58339 |
| 57984 | Loan ID 201611 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;07/01/48 | 60304 |
| 251178 | Loan ID 201612 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;10/01/25 | 261225 |
| 25503 | Loan ID 201624 | Fixed | 11.0000 | &nbsp;&nbsp;&nbsp;07/22/28 | 24516 |
| 42338 | Loan ID 201627 | Fixed | 10.4500 | &nbsp;&nbsp;&nbsp;02/19/47 | 43418 |
| 47257 | Loan ID 201628 | Fixed | 11.0000 | &nbsp;&nbsp;&nbsp;07/25/40 | 46047 |
| 27566 | Loan ID 201629 | Fixed | 11.0000 | &nbsp;&nbsp;&nbsp;03/06/33 | 27566 |
| 39163 | Loan ID 201631 | Fixed | 9.9500 | &nbsp;&nbsp;&nbsp;07/25/31 | 36855 |
| 64026 | Loan ID 201634 | Fixed | 7.9500 | &nbsp;&nbsp;&nbsp;02/28/48 | 63659 |
| 62925 | Loan ID 201635 | Fixed | 9.9500 | &nbsp;&nbsp;&nbsp;03/14/46 | 62925 |
| 67472 | Loan ID 201636 | Fixed | 9.4500 | &nbsp;&nbsp;&nbsp;05/13/31 | 70170 |
| 96577 | Loan ID 201637 | Fixed | 11.0000 | &nbsp;&nbsp;&nbsp;05/22/45 | 99792 |
| 134203 | Loan ID 201638 | Fixed | 8.5000 | &nbsp;&nbsp;&nbsp;09/19/44 | 137036 |
| 307033 | Loan ID 201639 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;09/01/48 | 280598 |
| 329401 | Loan ID 201640 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;04/01/49 | 287652 |
| 669302 | Loan ID 201645<sup>(a)</sup> | Fixed | 8.0000 | &nbsp;&nbsp;&nbsp;07/01/20 | 108598 |
| 38260 | Loan ID 201647 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;10/01/31 | 36427 |
| 28218 | Loan ID 201648 | Fixed | 7.1500 | &nbsp;&nbsp;&nbsp;08/14/30 | 27837 |
| 45443 | Loan ID 201649 | Fixed | 4.8000 | &nbsp;&nbsp;&nbsp;02/20/30 | 41799 |
| 33325 | Loan ID 201650 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;11/14/31 | 32723 |
| 49853 | Loan ID 201651 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;12/01/36 | 7623 |
| 188873 | Loan ID 201653 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;06/01/48 | 165817 |
| 425352 | Loan ID 201654 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;07/01/49 | 360234 |
| 105710 | Loan ID 201656 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;06/01/49 | 88618 |
| 236008 | Loan ID 201657 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;11/01/48 | 208617 |
| 125478 | Loan ID 201662 | Fixed | 5.3750 | &nbsp;&nbsp;&nbsp;09/01/48 | 110929 |
| 408125 | Loan ID 201663 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;10/01/48 | 310914 |
| 18046 | Loan ID 201664 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;08/01/33 | 18046 |
| 40451 | Loan ID 201665 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;08/01/48 | 42069 |
| 16543 | Loan ID 201666 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;06/01/33 | 17204 |
| 15647 | Loan ID 201667 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;07/01/33 | 16273 |
| 14642 | Loan ID 201668 | Fixed | 9.7500 | &nbsp;&nbsp;&nbsp;11/01/33 | 15228 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 54157 | Loan ID 201670 | Fixed | 8.0000 | &nbsp;&nbsp;&nbsp;09/15/48 | $53653 |
| 22267 | Loan ID 201671 | Fixed | 9.0000 | &nbsp;&nbsp;&nbsp;09/15/48 | 22260 |
| 20587 | Loan ID 201672 | Fixed | 9.9000 | &nbsp;&nbsp;&nbsp;10/15/48 | 21410 |
| 50718 | Loan ID 201673 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;06/01/48 | 52747 |
| 23580 | Loan ID 201674 | Fixed | 9.9000 | &nbsp;&nbsp;&nbsp;12/01/48 | 24523 |
| 110004 | Loan ID 201676 | Fixed | 9.6250 | &nbsp;&nbsp;&nbsp;10/01/48 | 114404 |
| 78811 | Loan ID 201677 | Fixed | 9.2500 | &nbsp;&nbsp;&nbsp;11/01/48 | 81210 |
| 23140 | Loan ID 201678 | Fixed | 10.0000 | &nbsp;&nbsp;&nbsp;08/01/48 | 23959 |
| 41115 | Loan ID 201679 | Fixed | 7.7000 | &nbsp;&nbsp;&nbsp;03/01/47 | 40933 |
| 38705 | Loan ID 201680 | Fixed | 9.9000 | &nbsp;&nbsp;&nbsp;09/15/48 | 40047 |
| 168642 | Loan ID 201682 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;07/01/48 | 154674 |
| 392333 | Loan ID 201684 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;08/01/49 | 327287 |
| 277190 | Loan ID 201685 | Fixed | 5.5000 | &nbsp;&nbsp;&nbsp;02/01/49 | 247771 |
| 96520 | Loan ID 201686 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;07/01/49 | 79040 |
| 102923 | Loan ID 201687 | Fixed | 5.5000 | &nbsp;&nbsp;&nbsp;07/01/48 | 88689 |
| 199726 | Loan ID 201689 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;04/01/49 | 165885 |
| 20248 | Loan ID 201692 | Fixed | 8.4900 | &nbsp;&nbsp;&nbsp;11/01/29 | 20742 |
| 63093 | Loan ID 201696 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;10/01/48 | 54578 |
| 81465 | Loan ID 201698 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;12/01/47 | 67472 |
| 257936 | Loan ID 201699 | Fixed | 5.5220 | &nbsp;&nbsp;&nbsp;09/01/49 | 231959 |
| 314719 | Loan ID 201700 | Fixed | 6.1250 | &nbsp;&nbsp;&nbsp;06/01/49 | 296017 |
| 60584 | Loan ID 201701 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;08/01/49 | 51922 |
| 173937 | Loan ID 201707 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;08/01/49 | 148845 |
| 199883 | Loan ID 201709 | Fixed | 5.3250 | &nbsp;&nbsp;&nbsp;09/01/49 | 174785 |
| 140806 | Loan ID 201710 | Fixed | 6.7000 | &nbsp;&nbsp;&nbsp;11/01/49 | 134620 |
| 181912 | Loan ID 201713 | Fixed | 10.1110 | &nbsp;&nbsp;&nbsp;12/01/49 | 189188 |
| 98456 | Loan ID 201715 | Fixed | 10.1300 | &nbsp;&nbsp;&nbsp;12/01/49 | 101863 |
| 234231 | Loan ID 201716 | Fixed | 10.1500 | &nbsp;&nbsp;&nbsp;12/01/49 | 243601 |
| 426392 | Loan ID 201717 | Fixed | 6.5000 | &nbsp;&nbsp;&nbsp;12/01/48 | 409345 |
| 113822 | Loan ID 201719 | Fixed | 4.7500 | &nbsp;&nbsp;&nbsp;09/01/49 | 102862 |
| 132974 | Loan ID 201720 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;04/01/49 | 109587 |
| 247061 | Loan ID 201724 | Fixed | 5.3750 | &nbsp;&nbsp;&nbsp;01/01/49 | 138280 |
| 76399 | Loan ID 201725<sup>(a)</sup> | Fixed | 8.4900 | &nbsp;&nbsp;&nbsp;12/01/22 | 66322 |
| 54997 | Loan ID 201726<sup>(a)</sup> | Fixed | 8.4900 | &nbsp;&nbsp;&nbsp;12/01/22 | 47743 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 124145 | Loan ID 201732 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;05/01/47 | $108484 |
| 75677 | Loan ID 201733 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;04/01/44 | 67345 |
| 123027 | Loan ID 201739 | ARM | 7.1250 | &nbsp;&nbsp;&nbsp;04/01/48 | 123061 |
| 223754 | Loan ID 201741 | ARM | 8.0000 | &nbsp;&nbsp;&nbsp;07/01/48 | 224419 |
| 131780 | Loan ID 201743 | Fixed | 5.4990 | &nbsp;&nbsp;&nbsp;09/01/48 | 117752 |
| 282496 | Loan ID 201744 | Fixed | 5.6250 | &nbsp;&nbsp;&nbsp;05/01/49 | 249922 |
| 358952 | Loan ID 201746 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;07/01/49 | 307601 |
| 433374 | Loan ID 201750 | Fixed | 6.1250 | &nbsp;&nbsp;&nbsp;04/01/50 | 408074 |
| 1076873 | Loan ID 201753 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;04/01/50 | 926423 |
| 244185 | Loan ID 201756 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;03/01/50 | 211710 |
| 247206 | Loan ID 201757 | ARM | 5.1250 | &nbsp;&nbsp;&nbsp;04/01/50 | 236176 |
| 408516 | Loan ID 201758 | Fixed | 5.8750 | &nbsp;&nbsp;&nbsp;03/01/50 | 371939 |
| 254564 | Loan ID 201759 | ARM | 5.7500 | &nbsp;&nbsp;&nbsp;03/01/50 | 246117 |
| 252685 | Loan ID 201761 | Fixed | 6.8750 | &nbsp;&nbsp;&nbsp;02/01/50 | 246951 |
| 415847 | Loan ID 201762 | Fixed | 5.9900 | &nbsp;&nbsp;&nbsp;03/01/50 | 384024 |
| 143120 | Loan ID 201763 | Fixed | 7.3750 | &nbsp;&nbsp;&nbsp;04/01/50 | 139635 |
| 210961 | Loan ID 201767 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;07/01/49 | 195607 |
| 185807 | Loan ID 201768 | Fixed | 6.7500 | &nbsp;&nbsp;&nbsp;04/01/50 | 180246 |
| 212927 | Loan ID 201770 | Fixed | 9.3750 | &nbsp;&nbsp;&nbsp;04/01/50 | 217622 |
| 333290 | Loan ID 201772 | Fixed | 8.1250 | &nbsp;&nbsp;&nbsp;03/01/50 | 328989 |
| 435857 | Loan ID 201780 | Fixed | 6.1250 | &nbsp;&nbsp;&nbsp;04/01/50 | 401238 |
| 276269 | Loan ID 201784 | Fixed | 6.7500 | &nbsp;&nbsp;&nbsp;04/01/50 | 263284 |
| 247000 | Loan ID 201797<sup>(a)</sup> | Fixed | 10.9900 | &nbsp;&nbsp;&nbsp;12/01/21 | 255503 |
| 30803 | Loan ID 201802 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;10/01/29 | 30734 |
| 14410 | Loan ID 201803 | Fixed | 7.0500 | &nbsp;&nbsp;&nbsp;07/01/34 | 14181 |
| 168581 | Loan ID 201804 | Fixed | 4.0000 | &nbsp;&nbsp;&nbsp;03/01/58 | 143991 |
| 108105 | Loan ID 201805 | Fixed | 4.3750 | &nbsp;&nbsp;&nbsp;08/01/59 | 93282 |
| 24515 | Loan ID 201806 | DSI | 9.0000 | &nbsp;&nbsp;&nbsp;06/01/26 | 24725 |
| 69908 | Loan ID 201807 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;08/01/43 | 64092 |
| 117678 | Loan ID 201808 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;06/01/60 | 99679 |
| 162194 | Loan ID 201809 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;11/01/59 | 136717 |
| 71980 | Loan ID 201810 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;02/01/42 | 63897 |
| 56536 | Loan ID 201811 | DSI | 11.8300 | &nbsp;&nbsp;&nbsp;05/01/35 | 58798 |
| 26027 | Loan ID 201812 | Fixed | 9.2400 | &nbsp;&nbsp;&nbsp;02/01/27 | 26825 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 47534 | Loan ID 201814 | DSI | 7.7400 | &nbsp;&nbsp;&nbsp;03/01/33 | $47555 |
| 62611 | Loan ID 201815 | Fixed | 8.0000 | &nbsp;&nbsp;&nbsp;09/01/33 | 63603 |
| 42164 | Loan ID 201816 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;04/01/29 | 42077 |
| 91086 | Loan ID 201817 | Fixed | 4.1250 | &nbsp;&nbsp;&nbsp;10/01/34 | 90871 |
| 50815 | Loan ID 201819 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;11/01/29 | 48693 |
| 2983 | Loan ID 201820 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;03/01/42 | 2833 |
| 59334 | Loan ID 201821 | Fixed | 6.4500 | &nbsp;&nbsp;&nbsp;05/01/30 | 57419 |
| 48649 | Loan ID 201822 | DSI | 8.9200 | &nbsp;&nbsp;&nbsp;01/01/36 | 14488 |
| 69910 | Loan ID 201823 | Fixed | 9.6250 | &nbsp;&nbsp;&nbsp;03/01/40 | 71186 |
| 269713 | Loan ID 201824 | DSI | 8.5000 | &nbsp;&nbsp;&nbsp;10/01/37 | 260625 |
| 119993 | Loan ID 201825 | Fixed | 3.8750 | &nbsp;&nbsp;&nbsp;03/01/40 | 107861 |
| 55745 | Loan ID 201826 | Fixed | 8.4980 | &nbsp;&nbsp;&nbsp;11/01/30 | 56428 |
| 22178 | Loan ID 201827 | Fixed | 10.7800 | &nbsp;&nbsp;&nbsp;03/01/26 | 23066 |
| 25652 | Loan ID 201828 | Fixed | 8.2490 | &nbsp;&nbsp;&nbsp;10/01/30 | 25850 |
| 106485 | Loan ID 201829 | DSI | 10.4600 | &nbsp;&nbsp;&nbsp;08/01/37 | 109890 |
| 28444 | Loan ID 201830 | DSI | 10.5550 | &nbsp;&nbsp;&nbsp;10/01/26 | 28444 |
| 60965 | Loan ID 201831 | DSI | 11.1100 | &nbsp;&nbsp;&nbsp;02/01/38 | 63362 |
| 53622 | Loan ID 201832 | Fixed | 6.2500 | &nbsp;&nbsp;&nbsp;06/01/34 | 52611 |
| 30543 | Loan ID 201833 | DSI | 12.6790 | &nbsp;&nbsp;&nbsp;06/01/23 | 31068 |
| 58798 | Loan ID 201834 | DSI | 9.1500 | &nbsp;&nbsp;&nbsp;04/01/38 | 60841 |
| 31927 | Loan ID 201835 | DSI | 7.5000 | &nbsp;&nbsp;&nbsp;01/01/27 | 32042 |
| 24561 | Loan ID 201836 | DSI | 8.8360 | &nbsp;&nbsp;&nbsp;07/01/27 | 24620 |
| 42061 | Loan ID 201837 | DSI | 6.9960 | &nbsp;&nbsp;&nbsp;09/01/31 | 41293 |
| 40603 | Loan ID 201838 | DSI | 9.0700 | &nbsp;&nbsp;&nbsp;07/01/27 | 41815 |
| 41152 | Loan ID 201839 | DSI | 11.1100 | &nbsp;&nbsp;&nbsp;08/01/39 | 42669 |
| 65871 | Loan ID 201840 | DSI | 10.8700 | &nbsp;&nbsp;&nbsp;10/01/41 | 68036 |
| 28737 | Loan ID 201841 | Fixed | 10.0600 | &nbsp;&nbsp;&nbsp;05/01/25 | 29495 |
| 61182 | Loan ID 201842 | DSI | 11.0300 | &nbsp;&nbsp;&nbsp;03/01/28 | 62936 |
| 30127 | Loan ID 201843 | Fixed | 9.1800 | &nbsp;&nbsp;&nbsp;08/01/31 | 30935 |
| 40256 | Loan ID 201844 | DSI | 11.4900 | &nbsp;&nbsp;&nbsp;11/01/28 | 41867 |
| 11497 | Loan ID 201845 | DSI | 7.0000 | &nbsp;&nbsp;&nbsp;02/01/24 | 11467 |
| 40487 | Loan ID 201846 | Fixed | 8.4960 | &nbsp;&nbsp;&nbsp;05/01/34 | 40072 |
| 116451 | Loan ID 201847 | Fixed | 2.3750 | &nbsp;&nbsp;&nbsp;06/01/33 | 99624 |
| 49860 | Loan ID 201848 | DSI | 4.2900 | &nbsp;&nbsp;&nbsp;11/01/32 | 45500 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 49250 | Loan ID 201849 | DSI | 4.4800 | &nbsp;&nbsp;&nbsp;06/01/35 | $42790 |
| 123909 | Loan ID 201851 | DSI | 4.5000 | &nbsp;&nbsp;&nbsp;08/30/23 | 120468 |
| 83577 | Loan ID 201853 | DSI | 4.9100 | &nbsp;&nbsp;&nbsp;02/01/34 | 77841 |
| 80689 | Loan ID 201855 | DSI | 4.3900 | &nbsp;&nbsp;&nbsp;07/01/36 | 72595 |
| 43657 | Loan ID 201856 | Fixed | 7.9000 | &nbsp;&nbsp;&nbsp;06/01/37 | 38973 |
| 47528 | Loan ID 201857 | Fixed | 3.2500 | &nbsp;&nbsp;&nbsp;04/01/35 | 47387 |
| 363791 | Loan ID 201858 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;02/01/39 | 322927 |
| 592500 | Loan ID 201859 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;12/31/25 | 616200 |
| 118304 | Loan ID 201861 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;05/01/40 | 110191 |
| 20823 | Loan ID 201862 | DSI | 10.0000 | &nbsp;&nbsp;&nbsp;05/01/27 | 20823 |
| 20402 | Loan ID 201864 | DSI | 7.0560 | &nbsp;&nbsp;&nbsp;01/01/35 | 19197 |
| 26133 | Loan ID 201865 | Fixed | 6.4990 | &nbsp;&nbsp;&nbsp;01/01/32 | 25163 |
| 49864 | Loan ID 201866 | Fixed | 4.8750 | &nbsp;&nbsp;&nbsp;01/01/44 | 43425 |
| 28072 | Loan ID 201867 | DSI | 4.2300 | &nbsp;&nbsp;&nbsp;12/01/32 | 23538 |
| 53132 | Loan ID 201868 | DSI | 7.5360 | &nbsp;&nbsp;&nbsp;09/01/34 | 52666 |
| 14088 | Loan ID 201869 | DSI | 8.3900 | &nbsp;&nbsp;&nbsp;07/01/24 | 14289 |
| 3673 | Loan ID 201870 | DSI | 9.4800 | &nbsp;&nbsp;&nbsp;02/01/23 | 3820 |
| 4265 | Loan ID 201871 | Fixed | 9.9700 | &nbsp;&nbsp;&nbsp;05/01/26 | 4368 |
| 33234 | Loan ID 201872 | DSI | 8.1000 | &nbsp;&nbsp;&nbsp;09/01/38 | 33297 |
| 13867 | Loan ID 201873 | Fixed | 6.6480 | &nbsp;&nbsp;&nbsp;02/01/27 | 12935 |
| 21360 | Loan ID 201874 | DSI | 10.5400 | &nbsp;&nbsp;&nbsp;05/01/27 | 22067 |
| 7904 | Loan ID 201875 | Fixed | 10.9800 | &nbsp;&nbsp;&nbsp;06/01/30 | 8191 |
| 10668 | Loan ID 201876 | Fixed | 8.3100 | &nbsp;&nbsp;&nbsp;02/01/27 | 10856 |
| 4271 | Loan ID 201877 | DSI | 10.8300 | &nbsp;&nbsp;&nbsp;12/19/28 | 4431 |
| 20781 | Loan ID 201878 | DSI | 9.0500 | &nbsp;&nbsp;&nbsp;08/01/24 | 20660 |
| 8066 | Loan ID 201879 | Fixed | 9.3100 | &nbsp;&nbsp;&nbsp;10/01/26 | 8381 |
| 16705 | Loan ID 201881 | DSI | 4.5900 | &nbsp;&nbsp;&nbsp;05/01/26 | 14133 |
| 26727 | Loan ID 201883 | Fixed | 4.6250 | &nbsp;&nbsp;&nbsp;06/01/33 | 23654 |
| 1711 | Loan ID 201884 | DSI | 11.3890 | &nbsp;&nbsp;&nbsp;02/01/23 | 1779 |
| 19549 | Loan ID 201885 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;05/01/34 | 17702 |
| 40321 | Loan ID 201887 | Fixed | 6.2500 | &nbsp;&nbsp;&nbsp;01/01/42 | 38737 |
| 19821 | Loan ID 201889 | DSI | 9.4990 | &nbsp;&nbsp;&nbsp;02/01/39 | 20447 |
| 6251 | Loan ID 201890 | Fixed | 4.5000 | &nbsp;&nbsp;&nbsp;11/01/25 | 5590 |
| 13524 | Loan ID 201891 | Fixed | 10.2900 | &nbsp;&nbsp;&nbsp;07/01/26 | 13899 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 13663 | Loan ID 201892 | DSI | 9.9600 | &nbsp;&nbsp;&nbsp;06/01/23 | $13663 |
| 9545 | Loan ID 201895 | Fixed | 9.6900 | &nbsp;&nbsp;&nbsp;05/01/26 | 9747 |
| 3982 | Loan ID 201896 | Fixed | 9.6800 | &nbsp;&nbsp;&nbsp;09/01/25 | 4067 |
| 14773 | Loan ID 201897 | Fixed | 8.2800 | &nbsp;&nbsp;&nbsp;03/01/27 | 15023 |
| 9622 | Loan ID 201898 | Fixed | 10.3120 | &nbsp;&nbsp;&nbsp;10/01/26 | 9889 |
| 13367 | Loan ID 201899 | DSI | 10.5000 | &nbsp;&nbsp;&nbsp;10/01/24 | 13829 |
| 3644 | Loan ID 201900 | DSI | 12.1320 | &nbsp;&nbsp;&nbsp;10/10/23 | 3789 |
| 20906 | Loan ID 201901 | DSI | 8.7360 | &nbsp;&nbsp;&nbsp;09/01/28 | 20457 |
| 13258 | Loan ID 201902 | Fixed | 10.5480 | &nbsp;&nbsp;&nbsp;10/01/26 | 13665 |
| 14474 | Loan ID 201904 | DSI | 10.1900 | &nbsp;&nbsp;&nbsp;08/01/29 | 14874 |
| 66689 | Loan ID 201907 | Fixed | 9.8540 | &nbsp;&nbsp;&nbsp;09/01/30 | 66689 |
| 18489 | Loan ID 201908 | DSI | 11.6160 | &nbsp;&nbsp;&nbsp;09/01/27 | 19229 |
| 50544 | Loan ID 201909 | DSI | 9.2400 | &nbsp;&nbsp;&nbsp;07/01/33 | 52119 |
| 9120 | Loan ID 201910 | DSI | 6.0000 | &nbsp;&nbsp;&nbsp;07/01/26 | 8510 |
| 15631 | Loan ID 201911 | DSI | 7.9990 | &nbsp;&nbsp;&nbsp;07/01/31 | 15350 |
| 37837 | Loan ID 201912 | Fixed | 7.7500 | &nbsp;&nbsp;&nbsp;08/01/34 | 36882 |
| 4143 | Loan ID 201913 | Fixed | 9.3100 | &nbsp;&nbsp;&nbsp;11/01/26 | 4305 |
| 25475 | Loan ID 201914 | DSI | 9.3260 | &nbsp;&nbsp;&nbsp;08/01/26 | 25262 |
| 89791 | Loan ID 201916 | Fixed | 3.7500 | &nbsp;&nbsp;&nbsp;05/01/38 | 84961 |
| 221300 | Loan ID 201924 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;02/28/26 | 224570 |
| 343492 | Loan ID 201925 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;02/29/24 | 166972 |
| 300177 | Loan ID 201927 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/51 | 302255 |
| 1610000 | Loan ID 201928 | ARM | 7.8750 | &nbsp;&nbsp;&nbsp;04/01/50 | 1614360 |
| 295285 | Loan ID 201930 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/51 | 297013 |
| 283500 | Loan ID 201933 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;04/30/26 | 297675 |
| 163163 | Loan ID 201936 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/51 | 163950 |
| 360000 | Loan ID 201937 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;04/30/24 | 350327 |
| 465435 | Loan ID 201938 | Fixed | 7.4900 | &nbsp;&nbsp;&nbsp;05/01/51 | 456183 |
| 2792726 | Loan ID 201939 | Fixed | 6.7500 | &nbsp;&nbsp;&nbsp;05/01/51 | 2332930 |
| 68325 | Loan ID 201940 | Fixed | 5.2500 | &nbsp;&nbsp;&nbsp;06/20/50 | 68325 |
| 242085 | Loan ID 201941 | Fixed | 5.1250 | &nbsp;&nbsp;&nbsp;12/01/48 | 37293 |
| 121360 | Loan ID 201942 | Fixed | 5.0000 | &nbsp;&nbsp;&nbsp;06/01/50 | 104690 |
| 100578 | Loan ID 201943 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;05/31/24 | 96305 |
| 195950 | Loan ID 201944 | Interest Only | 8.0000 | &nbsp;&nbsp;&nbsp;05/31/24 | 198953 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 170000 | Loan ID 201945 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;09/01/23 | $170000 |
| 219000 | Loan ID 201946<sup>(a)</sup> | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;05/01/22 | 219000 |
| 337318 | Loan ID 201947 | Fixed | 7.2500 | &nbsp;&nbsp;&nbsp;12/01/37 | 331712 |
| 130890 | Loan ID 201948 | Fixed | 4.2500 | &nbsp;&nbsp;&nbsp;06/01/34 | 114061 |
| 154953 | Loan ID 201950 | Fixed | 6.5000 | &nbsp;&nbsp;&nbsp;10/01/26 | 149709 |
| 205792 | Loan ID 201955 | Fixed | 7.7500 | &nbsp;&nbsp;&nbsp;03/01/51 | 203648 |
| 312749 | Loan ID 201956 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;03/01/51 | 309020 |
| 402469 | Loan ID 201957 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;06/01/26 | 418567 |
| 150000 | Loan ID 201958 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/23 | 151871 |
| 494747 | Loan ID 201959 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;06/01/31 | 497089 |
| 85137 | Loan ID 201963 | Fixed | 10.4900 | &nbsp;&nbsp;&nbsp;06/01/26 | 88543 |
| 376452 | Loan ID 201966 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;01/01/27 | 376452 |
| 89206 | Loan ID 201967 | Fixed | 7.0000 | &nbsp;&nbsp;&nbsp;03/01/43 | 66777 |
| 246767 | Loan ID 201968 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;03/01/43 | 231638 |
| 298281 | Loan ID 201969 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;04/01/51 | 295062 |
| 202974 | Loan ID 201973 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;07/01/31 | 205921 |
| 168000 | Loan ID 201974 | Interest Only | 8.0000 | &nbsp;&nbsp;&nbsp;06/30/24 | 170139 |
| 79236 | Loan ID 201976 | Fixed | 9.4900 | &nbsp;&nbsp;&nbsp;07/01/31 | 81484 |
| 140480 | Loan ID 201977 | Fixed | 8.7500 | &nbsp;&nbsp;&nbsp;06/01/51 | 138214 |
| 302696 | Loan ID 201983 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;08/01/26 | 314804 |
| 160994 | Loan ID 201984 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;08/01/26 | 167434 |
| 496000 | Loan ID 201985 | Interest Only | 9.0000 | &nbsp;&nbsp;&nbsp;07/31/24 | 494673 |
| 221994 | Loan ID 201986 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;06/30/26 | 221994 |
| 146300 | Loan ID 201987 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;06/30/26 | 153615 |
| 200623 | Loan ID 201990 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;08/01/51 | 199690 |
| 247683 | Loan ID 201991 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;08/01/31 | 248000 |
| 152459 | Loan ID 201993 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;08/01/31 | 155302 |
| 864000 | Loan ID 201999 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;08/31/26 | 898560 |
| 198800 | Loan ID 202000 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;08/31/24 | 80212 |
| 360000 | Loan ID 202001 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;08/31/26 | 377882 |
| 122500 | Loan ID 202002 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;08/31/24 | 121308 |
| 153000 | Loan ID 202003 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;08/31/24 | 49812 |
| 83904 | Loan ID 202005 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;09/01/36 | 86166 |
| 450098 | Loan ID 202007 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;10/01/26 | 468102 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 266300 | Loan ID 202008 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;09/30/24 | $87111 |
| 385464 | Loan ID 202011 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;10/31/24 | 346386 |
| 133569 | Loan ID 202012 | Fixed | 9.4900 | &nbsp;&nbsp;&nbsp;12/01/31 | 136971 |
| 282351 | Loan ID 202018 | Fixed | 11.4900 | &nbsp;&nbsp;&nbsp;12/01/24 | 289643 |
| 171539 | Loan ID 202020 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;12/01/26 | 178401 |
| 4000000 | Loan ID 202022 | Fixed | 11.0000 | &nbsp;&nbsp;&nbsp;01/14/23 | 3919999 |
| 98372 | Loan ID 202023 | Fixed | 8.7500 | &nbsp;&nbsp;&nbsp;08/01/51 | 97664 |
| 127249 | Loan ID 202024 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;01/01/52 | 126098 |
| 342618 | Loan ID 202025 | Fixed | 8.5000 | &nbsp;&nbsp;&nbsp;01/01/52 | 337304 |
| 236300 | Loan ID 202026 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;11/30/26 | 239077 |
| 319500 | Loan ID 202027 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;11/30/24 | 302196 |
| 129455 | Loan ID 202028 | Interest Only | 8.0000 | &nbsp;&nbsp;&nbsp;11/30/24 | 128054 |
| 140000 | Loan ID 202031 | Fixed | 9.2500 | &nbsp;&nbsp;&nbsp;02/01/24 | 139576 |
| 489336 | Loan ID 202032 | Fixed | 7.9900 | &nbsp;&nbsp;&nbsp;02/01/42 | 492705 |
| 420108 | Loan ID 202033 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;02/01/27 | 436912 |
| 240509 | Loan ID 202036 | Fixed | 8.2500 | &nbsp;&nbsp;&nbsp;09/01/51 | 233264 |
| 216721 | Loan ID 202038 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;02/01/30 | 201906 |
| 216721 | Loan ID 202039 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;02/01/30 | 201906 |
| 216721 | Loan ID 202040 | Fixed | 6.0000 | &nbsp;&nbsp;&nbsp;02/01/30 | 201906 |
| 177738 | Loan ID 202043 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;02/01/27 | 184847 |
| 29798 | Loan ID 202044 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;03/01/25 | 28652 |
| 56241 | Loan ID 202045 | Fixed | 9.4900 | &nbsp;&nbsp;&nbsp;03/01/32 | 56078 |
| 253500 | Loan ID 202049 | Interest Only | 7.5000 | &nbsp;&nbsp;&nbsp;02/28/27 | 258130 |
| 271500 | Loan ID 202050 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;01/31/25 | 261272 |
| 630000 | Loan ID 202051 | Interest Only | 8.5000 | &nbsp;&nbsp;&nbsp;01/31/25 | 610120 |
| 90282 | Loan ID 202053 | Fixed | 3.0000 | &nbsp;&nbsp;&nbsp;05/01/49 | 76740 |
| 532500 | Loan ID 202056 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;04/01/24 | 545688 |
| 60356 | Loan ID 202057 | Fixed | 11.9900 | &nbsp;&nbsp;&nbsp;04/01/25 | 60998 |
| 168000 | Loan ID 202058 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/23 | 168000 |
| 462014 | Loan ID 202064 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/27 | 480494 |
| 103532 | Loan ID 202065 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/27 | 107674 |
| 354501 | Loan ID 202066 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/27 | 368681 |
| 425000 | Loan ID 202067 | Fixed | 10.5000 | &nbsp;&nbsp;&nbsp;04/01/24 | 425000 |
| 287000 | Loan ID 202068 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/24 | 293188 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** | **VERTICAL CAPITAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** | **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
|  | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
|  | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  |  |
| 261463 | Loan ID 202069 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;04/01/27 | $271922 |
| 184800 | Loan ID 202070 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/24 | 185783 |
| 164500 | Loan ID 202072 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/23 | 164500 |
| 1125000 | Loan ID 202073 | Interest Only | 7.0000 | &nbsp;&nbsp;&nbsp;03/30/25 | 1008317 |
| 118853 | Loan ID 202074 | Fixed | 10.9900 | &nbsp;&nbsp;&nbsp;04/01/32 | 121563 |
| 175440 | Loan ID 202075 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;05/01/27 | 182458 |
| 132360 | Loan ID 202076 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;04/01/32 | 134558 |
| 128675 | Loan ID 202077 | Fixed | 11.9900 | &nbsp;&nbsp;&nbsp;04/01/24 | 133190 |
| 77715 | Loan ID 202078 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;04/01/24 | 80375 |
| 90591 | Loan ID 202079 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;04/01/52 | 87275 |
| 304384 | Loan ID 202080 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;04/01/27 | 316560 |
| 3535873 | Loan ID 202082 | Fixed | 11.0000 | &nbsp;&nbsp;&nbsp;04/02/23 | 3535873 |
| 450597 | Loan ID 202084 | Fixed | 9.9900 | &nbsp;&nbsp;&nbsp;05/01/27 | 468621 |
| 261240 | Loan ID 202087 | Fixed | 7.9900 | &nbsp;&nbsp;&nbsp;05/01/52 | 241517 |
| 324000 | Loan ID 202088 | Fixed | 11.5000 | &nbsp;&nbsp;&nbsp;05/01/24 | 331491 |
| 1385010 | Loan ID 202089 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/42 | 1393348 |
| 126320 | Loan ID 202090 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/24 | 124637 |
| 160500 | Loan ID 202091 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/24 | 157751 |
| 147000 | Loan ID 202093 | Interest Only | 8.0000 | &nbsp;&nbsp;&nbsp;03/31/27 | 132542 |
| 325500 | Loan ID 202094 | Interest Only | 8.0000 | &nbsp;&nbsp;&nbsp;04/07/25 | 279593 |
| 325500 | Loan ID 202095 | Interest Only | 8.0000 | &nbsp;&nbsp;&nbsp;04/07/25 | 279587 |
| 325500 | Loan ID 202096 | Interest Only | 8.0000 | &nbsp;&nbsp;&nbsp;04/07/25 | 279587 |
| 652000 | Loan ID 202097 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/24 | 655915 |
| 298409 | Loan ID 202098 | Fixed | 7.4900 | &nbsp;&nbsp;&nbsp;05/01/52 | 268787 |
| 83671 | Loan ID 202099 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/52 | 80402 |
| 150000 | Loan ID 202100 | Fixed | 9.5000 | &nbsp;&nbsp;&nbsp;05/01/24 | 151456 |
| 278938 | Loan ID 202101 | Fixed | 8.9900 | &nbsp;&nbsp;&nbsp;05/01/32 | 280032 |
| 1338839 | Loan ID 202102 | ARM | 5.7500 | &nbsp;&nbsp;&nbsp;12/01/47 | 1337312 |
| 1271874 | Loan ID 202103 | ARM | 7.0000 | &nbsp;&nbsp;&nbsp;11/01/49 | 1260929 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Principal Amount ($)** |  | **Loan Type** | **Coupon Rate (%)** | **Maturity** | **Fair Value** |
| | **LOANS — 99.4% (Continued)** | **LOANS — 99.4% (Continued)** |  |  |  |
| | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** | **MORTGAGE LOANS (PRIVATE)** — **99.4% (Continued)** |  |  | |
|  |  |  |  |  | $105869828 |
|  | **TOTAL LOANS (Cost $105,792,581)** | **TOTAL LOANS (Cost $105,792,581)** |  |  | 105869828  |
|  | **OTHER INVESTMENTS<sup>(b)</sup>- 0.4% (Cost $310,632)** |  |  |  | &nbsp;&nbsp;&nbsp;397717 |
|  | **TOTAL INVESTMENTS - 99.8% (Cost $106,103,213)** | **TOTAL INVESTMENTS - 99.8% (Cost $106,103,213)** |  |  | &nbsp;&nbsp;&nbsp; $106267545 |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 0.2%** | **OTHER ASSETS IN EXCESS OF LIABILITIES- 0.2%** |  |  | &nbsp;&nbsp; 179302 |
|  | **NET ASSETS - 100.0%** |  |  |  | &nbsp;&nbsp; $106446847 |

---

ARM - Adjustable-Rate Mortgage

DSI - Daily Simple Interest

<sup></sup> <sup>(a)</sup> Loan is in loss mitigation, which means the Fund is restructuring the loan with the delinquent borrower. <br> <sup></sup> <sup>(b)</sup> Illiquid Securities, non-income producing defaulted securities.

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Vertical Capital Income Fund

- **b. Investment Company Act file number:** 811-22554

- **c. CIK number of Registrant:** 0001517767

- **d. LEI of Registrant:** 549300LVMWHJGZNVXZ22

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 225 Pictoria Drive

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

  - **Telephone number:** 631-470-2600

**Item A.2. Information about the Series.**

- **a. Name of Series:** Vertical Capital Income Fund

- **c. LEI of Series:** 549300LVMWHJGZNVXZ22

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $112269599.30

**Total Liabilities:** $5822752.78

**Net Assets:** $106446846.52

**Cash Not Reported:** $2717855.52

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 379.24333000 | **1-Year:** 3770.23080700 | **5-Year:** 1898.63665600 | **10-Year:** 11806.10639500 | **30-Year:** 19976.89965000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.79%                | 2.06%                | -0.02%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $212494.59               | $160164.51                                 |
| Month 2  | $90350.44                | $1787557.87                                |
| Month 3  | $188649.91               | $-284363.42                                |

### Schedule of Portfolio Investments

| Name                     | Title          | Identifiers            | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| LOAN ID 202022           | LOAN ID 202022 | CUSIP: N/A<br>LEI: N/A | Long             | DBT              |  | US        |   4000000 | PA      | $3920000.00   | 3.68%             | 2023-01-14      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201820 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      2983 | PA      | $2832.59      | 0.00%             | 2042-03-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201012 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40588 | PA      | $40495.65     | 0.04%             | 2038-12-01      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200018 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     39553 | PA      | $38855.71     | 0.04%             | 2033-01-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201063 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    102619 | PA      | $87192.92     | 0.08%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201924 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    221300 | PA      | $224569.50    | 0.21%             | 2026-02-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201855 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     80689 | PA      | $72594.81     | 0.07%             | 2036-07-01      | Fixed         | 4.39%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201685 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    277190 | PA      | $247770.99    | 0.23%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200959 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    360528 | PA      | $298430.54    | 0.28%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201836 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     24561 | PA      | $24620.05     | 0.02%             | 2027-07-01      | Fixed         | 8.84%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202045 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     56241 | PA      | $56078.31     | 0.05%             | 2032-03-01      | Fixed         | 8.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201047 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    101259 | PA      | $81013.24     | 0.08%             | 2053-04-01      | Fixed         | 3.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202058 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    168000 | PA      | $168000.00    | 0.16%             | 2023-04-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201830 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     28444 | PA      | $28444.02     | 0.03%             | 2026-10-01      | Fixed         | 10.56%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201628 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     47257 | PA      | $46047.10     | 0.04%             | 2032-09-25      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201209 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    159106 | PA      | $132429.83    | 0.12%             | 2045-04-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201241 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    263611 | PA      | $220990.53    | 0.21%             | 2045-07-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201948 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    130890 | PA      | $114061.16    | 0.11%             | 2035-06-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201797 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    247000 | PA      | $255503.26    | 0.24%             | 2023-12-01      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201600 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     44013 | PA      | $9492.15      | 0.01%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201301 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     64610 | PA      | $54757.20     | 0.05%             | 2044-10-01      | Fixed         | 4.55%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201866 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49864 | PA      | $43424.83     | 0.04%             | 2032-05-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200175 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     42148 | PA      | $43067.55     | 0.04%             | 2037-05-01      | Fixed         | 9.60%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201212 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    383136 | PA      | $326160.25    | 0.31%             | 2045-03-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201650 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     33325 | PA      | $32723.23     | 0.03%             | 2033-05-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201358 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    136787 | PA      | $118170.38    | 0.11%             | 2045-07-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201589 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     31153 | PA      | $27580.64     | 0.03%             | 2048-06-01      | Fixed         | 5.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202012 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    133569 | PA      | $136971.45    | 0.13%             | 2031-12-01      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201684 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    392333 | PA      | $327286.74    | 0.31%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202091 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    160500 | PA      | $157750.94    | 0.15%             | 2024-05-01      | Fixed         | 8.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202075 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    175440 | PA      | $182457.56    | 0.17%             | 2027-05-01      | Fixed         | 8.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201611 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     57984 | PA      | $60303.86     | 0.06%             | 2048-07-01      | Fixed         | 9.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201689 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    199726 | PA      | $165884.68    | 0.16%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201160 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    184863 | PA      | $165918.06    | 0.16%             | 2049-10-01      | Fixed         | 4.92%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201853 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83577 | PA      | $77841.48     | 0.07%             | 2034-02-01      | Fixed         | 4.91%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201222 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     42084 | PA      | $36773.62     | 0.03%             | 2045-01-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202056 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    532500 | PA      | $545688.03    | 0.51%             | 2024-04-01      | Fixed         | 8.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201401 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     81164 | PA      | $69654.95     | 0.07%             | 2044-10-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201884 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      1710 | PA      | $1778.92      | 0.00%             | 2023-02-01      | Fixed         | 11.39%                | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202033 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    420108 | PA      | $436912.17    | 0.41%             | 2027-02-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201624 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     25503 | PA      | $24515.51     | 0.02%             | 2028-07-22      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201831 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     60965 | PA      | $63362.40     | 0.06%             | 2038-02-01      | Fixed         | 11.11%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201006 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     37210 | PA      | $36415.49     | 0.03%             | 2038-03-01      | Fixed         | 6.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201127 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     63725 | PA      | $64602.07     | 0.06%             | 2037-04-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200917 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    146416 | PA      | $129876.01    | 0.12%             | 2051-01-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200669 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    136834 | PA      | $121428.06    | 0.11%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201758 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    408516 | PA      | $371939.04    | 0.35%             | 2050-03-01      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201599 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    318234 | PA      | $232601.34    | 0.22%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200491 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    171479 | PA      | $156806.94    | 0.15%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201638 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    134203 | PA      | $137035.64    | 0.13%             | 2044-09-19      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200460 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    146130 | PA      | $143608.38    | 0.13%             | 2041-07-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201725 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     76399 | PA      | $66322.33     | 0.06%             | 2023-12-01      | Fixed         | 7.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201053 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     60222 | PA      | $51158.79     | 0.05%             | 2053-07-01      | Fixed         | 3.86%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201938 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    465435 | PA      | $456182.68    | 0.43%             | 2051-05-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201523 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     72070 | PA      | $63257.98     | 0.06%             | 2045-07-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200826 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     91558 | PA      | $76856.63     | 0.07%             | 2044-09-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201413 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    305158 | PA      | $257350.78    | 0.24%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200886 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     59380 | PA      | $49480.46     | 0.05%             | 2044-10-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201808 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    117678 | PA      | $99679.47     | 0.09%             | 2037-03-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200781 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    147779 | PA      | $125562.11    | 0.12%             | 2044-09-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201877 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      4271 | PA      | $4430.53      | 0.00%             | 2028-11-01      | Fixed         | 9.83%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201355 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    123012 | PA      | $109020.89    | 0.10%             | 2045-12-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200016 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     28751 | PA      | $29900.63     | 0.03%             | 2031-01-01      | Fixed         | 10.38%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200184 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     63490 | PA      | $53626.26     | 0.05%             | 2042-12-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201898 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      9622 | PA      | $9889.01      | 0.01%             | 2026-10-01      | Fixed         | 10.31%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200756 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    160908 | PA      | $139711.16    | 0.13%             | 2043-11-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201858 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    363791 | PA      | $322927.33    | 0.30%             | 2039-02-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200287 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     80408 | PA      | $67816.12     | 0.06%             | 2043-07-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202068 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    287000 | PA      | $293187.87    | 0.28%             | 2024-04-01      | Fixed         | 7.74%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201750 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    433374 | PA      | $408074.19    | 0.38%             | 2050-04-01      | Fixed         | 6.13%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201968 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    246767 | PA      | $231638.05    | 0.22%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201909 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     50544 | PA      | $52118.61     | 0.05%             | 2035-01-01      | Fixed         | 9.24%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201634 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     64026 | PA      | $63658.68     | 0.06%             | 2048-02-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200079 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    129276 | PA      | $112519.61    | 0.11%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200777 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     47217 | PA      | $40518.18     | 0.04%             | 2044-06-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202053 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     90282 | PA      | $76739.67     | 0.07%             | 2023-02-28      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200656 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    162047 | PA      | $147738.97    | 0.14%             | 2037-07-01      | Fixed         | 6.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201244 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    356642 | PA      | $300886.26    | 0.28%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200385 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    126860 | PA      | $120236.33    | 0.11%             | 2040-01-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201285 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     19696 | PA      | $18707.68     | 0.02%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200694 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     92579 | PA      | $78614.92     | 0.07%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202039 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    216721 | PA      | $201905.85    | 0.19%             | 2024-02-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201867 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     28072 | PA      | $23537.85     | 0.02%             | 2032-12-01      | Fixed         | 4.23%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201680 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     38705 | PA      | $40046.91     | 0.04%             | 2048-09-15      | Fixed         | 9.90%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202038 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    216721 | PA      | $201905.83    | 0.19%             | 2024-02-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200579 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40366 | PA      | $35047.78     | 0.03%             | 2042-05-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200494 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    241453 | PA      | $206474.65    | 0.19%             | 2043-10-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201673 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     50718 | PA      | $52747.02     | 0.05%             | 2048-06-01      | Fixed         | 9.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201670 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     54157 | PA      | $53652.85     | 0.05%             | 2048-09-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200432 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    245488 | PA      | $213091.76    | 0.20%             | 2043-05-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201306 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    103799 | PA      | $84170.40     | 0.08%             | 2045-09-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200787 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     38165 | PA      | $32745.95     | 0.03%             | 2044-09-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200084 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    151405 | PA      | $147703.20    | 0.14%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201883 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     26727 | PA      | $23654.47     | 0.02%             | 2031-02-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200174 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     76322 | PA      | $75775.12     | 0.07%             | 2037-04-01      | Fixed         | 7.34%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200380 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    166392 | PA      | $143469.97    | 0.13%             | 2049-04-01      | Fixed         | 4.22%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201668 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     14642 | PA      | $15227.84     | 0.01%             | 2033-11-01      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201802 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     30803 | PA      | $30734.21     | 0.03%             | 2027-11-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201461 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    244040 | PA      | $196385.37    | 0.18%             | 2044-12-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201816 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     42164 | PA      | $42077.34     | 0.04%             | 2025-04-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201976 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     79236 | PA      | $81484.44     | 0.08%             | 2031-07-01      | Fixed         | 8.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200755 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     43940 | PA      | $36830.36     | 0.03%             | 2043-06-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201147 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    100882 | PA      | $81524.23     | 0.08%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201984 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    160994 | PA      | $167433.83    | 0.16%             | 2026-08-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201885 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     19549 | PA      | $17702.35     | 0.02%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201037 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     61575 | PA      | $62511.56     | 0.06%             | 2039-07-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201489 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83683 | PA      | $71606.20     | 0.07%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201072 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     57421 | PA      | $46079.29     | 0.04%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202024 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    127249 | PA      | $126098.28    | 0.12%             | 2052-01-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201759 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    254564 | PA      | $246117.25    | 0.23%             | 2050-03-01      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201631 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     39163 | PA      | $36854.73     | 0.03%             | 2031-07-25      | Fixed         | 9.95%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201477 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     70965 | PA      | $69184.09     | 0.06%             | 2036-11-01      | Fixed         | 6.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201434 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     89512 | PA      | $74708.36     | 0.07%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201515 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     43731 | PA      | $38098.17     | 0.04%             | 2047-04-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202031 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    140000 | PA      | $139575.80    | 0.13%             | 2024-02-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201939 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |   2792726 | PA      | $2332931.26   | 2.19%             | 2051-05-01      | Fixed         | 6.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200800 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     59598 | PA      | $50019.85     | 0.05%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200630 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    143909 | PA      | $128229.95    | 0.12%             | 2043-09-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201845 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     11497 | PA      | $11467.49     | 0.01%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201651 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49853 | PA      | $7623.33      | 0.01%             | 2037-05-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201535 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    305812 | PA      | $278520.35    | 0.26%             | 2047-08-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201733 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     75677 | PA      | $67344.63     | 0.06%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201887 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40321 | PA      | $38736.55     | 0.04%             | 2042-01-01      | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201066 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    207213 | PA      | $178989.77    | 0.17%             | 2046-12-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200823 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     70649 | PA      | $58923.66     | 0.06%             | 2044-09-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201184 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     56955 | PA      | $49595.74     | 0.05%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201255 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    203789 | PA      | $203789.34    | 0.19%             | 2035-06-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202102 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |   1338839 | PA      | $1337311.57   | 1.26%             | 2024-05-01      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201862 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     20823 | PA      | $20823.11     | 0.02%             | 2027-05-01      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201579 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     94823 | PA      | $80836.70     | 0.08%             | 2036-12-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201058 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     96187 | PA      | $82793.48     | 0.08%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200809 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    110724 | PA      | $81517.41     | 0.08%             | 2050-04-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200435 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    184313 | PA      | $166195.40    | 0.16%             | 2052-11-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201732 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    124145 | PA      | $108483.76    | 0.10%             | 2047-05-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202003 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    153000 | PA      | $49812.10     | 0.05%             | 2024-08-31      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202072 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    164500 | PA      | $164500.00    | 0.15%             | 2023-04-01      | Fixed         | 7.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201875 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      7904 | PA      | $8190.63      | 0.01%             | 2030-06-01      | Fixed         | 10.98%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202087 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    261240 | PA      | $241517.29    | 0.23%             | 2052-05-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200604 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     60392 | PA      | $48477.80     | 0.05%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201270 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    133238 | PA      | $110064.95    | 0.10%             | 2045-02-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201966 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    376452 | PA      | $376452.37    | 0.35%             | 2027-01-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201974 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    168000 | PA      | $170138.60    | 0.16%             | 2024-06-30      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201013 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49331 | PA      | $49235.91     | 0.05%             | 2038-12-01      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200012 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     44877 | PA      | $46672.54     | 0.04%             | 2037-07-01      | Fixed         | 9.80%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200411 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     90588 | PA      | $92004.98     | 0.09%             | 2037-06-01      | Fixed         | 8.28%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200880 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    164095 | PA      | $137459.77    | 0.13%             | 2043-06-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201833 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     30543 | PA      | $31068.39     | 0.03%             | 2023-06-01      | Fixed         | 12.68%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201928 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |   1610000 | PA      | $1614360.59   | 1.52%             | 2050-04-01      | Fixed         | 7.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201686 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     96520 | PA      | $79040.18     | 0.07%             | 2049-07-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201761 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    252685 | PA      | $246950.56    | 0.23%             | 2050-02-01      | Fixed         | 6.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200860 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    142724 | PA      | $116350.07    | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201950 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    154953 | PA      | $149709.11    | 0.14%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201943 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    100578 | PA      | $96305.03     | 0.09%             | 2024-05-31      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201400 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     77789 | PA      | $66846.59     | 0.06%             | 2044-07-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201945 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    170000 | PA      | $170000.00    | 0.16%             | 2023-09-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202069 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    261463 | PA      | $271921.68    | 0.26%             | 2027-04-01      | Fixed         | 8.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200041 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     98916 | PA      | $87095.51     | 0.08%             | 2039-08-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202066 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    354501 | PA      | $368680.66    | 0.35%             | 2023-04-01      | Fixed         | 7.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201637 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     96577 | PA      | $99792.46     | 0.09%             | 2045-05-22      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201829 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    106485 | PA      | $109890.22    | 0.10%             | 2037-08-01      | Fixed         | 10.46%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200313 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     25634 | PA      | $25795.19     | 0.02%             | 2028-03-01      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202057 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     60356 | PA      | $60998.12     | 0.06%             | 2025-04-01      | Fixed         | 10.99%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201838 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40603 | PA      | $41815.19     | 0.04%             | 2027-07-01      | Fixed         | 9.07%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200846 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     90222 | PA      | $76056.56     | 0.07%             | 2043-11-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201709 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    199883 | PA      | $174784.73    | 0.16%             | 2049-09-01      | Fixed         | 5.33%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201487 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    154316 | PA      | $136900.45    | 0.13%             | 2052-02-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200035 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    516639 | PA      | $486010.56    | 0.46%             | 2050-11-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201990 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    200623 | PA      | $199689.91    | 0.19%             | 2051-08-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201911 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     15631 | PA      | $15350.03     | 0.01%             | 2031-07-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201581 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     78180 | PA      | $64110.74     | 0.06%             | 2046-10-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200867 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    103656 | PA      | $90483.83     | 0.09%             | 2053-09-01      | Fixed         | 2.37%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201804 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    168581 | PA      | $143990.84    | 0.14%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200612 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    108053 | PA      | $91855.11     | 0.09%             | 2043-02-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201946 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    219000 | PA      | $219000.00    | 0.21%             | 2023-06-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201986 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    221994 | PA      | $221994.15    | 0.21%             | 2026-06-30      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200243 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    100722 | PA      | $81948.61     | 0.08%             | 2043-04-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200334 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     81678 | PA      | $80239.73     | 0.08%             | 2033-01-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200709 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     42500 | PA      | $35880.14     | 0.03%             | 2043-04-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201873 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     13867 | PA      | $12934.87     | 0.01%             | 2027-02-01      | Fixed         | 6.65%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200578 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    155488 | PA      | $132579.44    | 0.12%             | 2040-08-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200650 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    113698 | PA      | $98471.36     | 0.09%             | 2044-05-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201328 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    171460 | PA      | $153277.88    | 0.14%             | 2045-11-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202026 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    236300 | PA      | $239076.59    | 0.22%             | 2026-11-30      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201937 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    360000 | PA      | $350326.70    | 0.33%             | 2024-04-30      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201876 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     10668 | PA      | $10855.87     | 0.01%             | 2027-02-01      | Fixed         | 8.31%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202027 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    319500 | PA      | $302196.27    | 0.28%             | 2024-11-30      | Fixed         | 0.07%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201925 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    343492 | PA      | $166971.83    | 0.16%             | 2024-02-29      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200218 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     62074 | PA      | $52341.34     | 0.05%             | 2041-12-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201770 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    212927 | PA      | $217622.35    | 0.20%             | 2050-04-01      | Fixed         | 9.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201861 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    118304 | PA      | $110191.31    | 0.10%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201139 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    161530 | PA      | $130290.79    | 0.12%             | 2053-11-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201585 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     41183 | PA      | $36939.23     | 0.03%             | 2048-03-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201041 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83750 | PA      | $70725.11     | 0.07%             | 2052-11-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201865 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     26133 | PA      | $25162.98     | 0.02%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200055 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     70241 | PA      | $70241.30     | 0.07%             | 2036-01-05      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200361 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     55059 | PA      | $54818.85     | 0.05%             | 2034-01-01      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201892 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     13663 | PA      | $13663.24     | 0.01%             | 2023-06-01      | Fixed         | 9.96%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201826 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     55745 | PA      | $56427.90     | 0.05%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201181 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    232940 | PA      | $207086.02    | 0.19%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201823 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     69910 | PA      | $71186.00     | 0.07%             | 2040-03-01      | Fixed         | 9.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200580 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    140839 | PA      | $117968.82    | 0.11%             | 2041-11-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200315 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    243246 | PA      | $248733.87    | 0.23%             | 2037-06-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201016 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    100409 | PA      | $94816.85     | 0.09%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201639 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    307033 | PA      | $280598.03    | 0.26%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200396 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     62451 | PA      | $64153.17     | 0.06%             | 2036-02-01      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201508 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    204448 | PA      | $177347.23    | 0.17%             | 2047-02-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202077 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    128675 | PA      | $133189.81    | 0.13%             | 2024-04-01      | Fixed         | 10.49%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201552 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    126145 | PA      | $109079.22    | 0.10%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201372 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    235405 | PA      | $199306.80    | 0.19%             | 2046-08-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201115 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    459114 | PA      | $388936.23    | 0.37%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200135 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    105919 | PA      | $89509.16     | 0.08%             | 2042-12-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201682 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    168642 | PA      | $154673.72    | 0.15%             | 2048-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201701 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     60584 | PA      | $51921.72     | 0.05%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200670 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     35092 | PA      | $29528.90     | 0.03%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201214 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    469379 | PA      | $446619.20    | 0.42%             | 2043-09-01      | Fixed         | 2.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200928 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    111052 | PA      | $98552.79     | 0.09%             | 2036-12-01      | Fixed         | 4.80%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201385 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    125910 | PA      | $113467.50    | 0.11%             | 2045-12-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200704 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83587 | PA      | $70510.63     | 0.07%             | 2043-03-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200181 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     98161 | PA      | $92087.79     | 0.09%             | 2041-06-01      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201872 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     33234 | PA      | $33297.08     | 0.03%             | 2038-09-01      | Fixed         | 8.10%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201667 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     15647 | PA      | $16272.92     | 0.02%             | 2033-07-01      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201878 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     20781 | PA      | $20659.52     | 0.02%             | 2034-11-01      | Fixed         | 9.05%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201406 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49754 | PA      | $41145.71     | 0.04%             | 2046-06-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201941 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    242085 | PA      | $37293.20     | 0.04%             | 2048-12-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202002 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    122500 | PA      | $121308.42    | 0.11%             | 2024-08-31      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202008 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    266300 | PA      | $87111.29     | 0.08%             | 2024-09-30      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201907 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     66689 | PA      | $66689.05     | 0.06%             | 2030-09-01      | Fixed         | 9.85%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200776 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     70302 | PA      | $58682.10     | 0.06%             | 2044-03-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201124 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    196526 | PA      | $172945.21    | 0.16%             | 2040-04-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201846 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40487 | PA      | $40072.21     | 0.04%             | 2034-05-01      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202100 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    150000 | PA      | $151455.94    | 0.14%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201393 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    398715 | PA      | $334795.48    | 0.31%             | 2056-04-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201726 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     54997 | PA      | $47743.26     | 0.04%             | 2023-12-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201840 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     65871 | PA      | $68036.14     | 0.06%             | 2041-10-01      | Fixed         | 10.87%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201370 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    164531 | PA      | $136098.34    | 0.13%             | 2046-07-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201132 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    152410 | PA      | $113274.76    | 0.11%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202011 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    385464 | PA      | $346386.32    | 0.33%             | 2024-10-31      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201449 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83232 | PA      | $68376.08     | 0.06%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201713 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    181912 | PA      | $189187.99    | 0.18%             | 2049-12-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201720 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    132974 | PA      | $109587.35    | 0.10%             | 2049-04-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200403 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     34606 | PA      | $35006.03     | 0.03%             | 2032-10-15      | Fixed         | 8.30%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200956 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    242974 | PA      | $216005.40    | 0.20%             | 2051-08-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200507 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     55243 | PA      | $47041.65     | 0.04%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201405 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     65350 | PA      | $58013.32     | 0.05%             | 2044-08-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202070 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    184800 | PA      | $185782.84    | 0.17%             | 2024-04-01      | Fixed         | 7.74%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201022 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     24614 | PA      | $24527.37     | 0.02%             | 2037-05-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202090 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    126320 | PA      | $124637.22    | 0.12%             | 2024-05-01      | Fixed         | 8.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201839 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     41152 | PA      | $42668.57     | 0.04%             | 2039-08-01      | Fixed         | 11.11%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201762 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    415847 | PA      | $384023.73    | 0.36%             | 2050-03-01      | Fixed         | 5.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202028 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    129455 | PA      | $128054.15    | 0.12%             | 2024-11-01      | Fixed         | 0.08%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201828 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     25652 | PA      | $25849.83     | 0.02%             | 2030-10-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201583 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     79938 | PA      | $74560.50     | 0.07%             | 2047-08-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201245 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    100693 | PA      | $86528.87     | 0.08%             | 2044-08-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201765 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    210961 | PA      | $195607.22    | 0.18%             | 2049-07-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201143 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     74603 | PA      | $55396.16     | 0.05%             | 2037-11-01      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201168 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    392540 | PA      | $356782.61    | 0.34%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201811 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     56536 | PA      | $58797.56     | 0.06%             | 2035-05-01      | Fixed         | 11.83%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201821 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     59334 | PA      | $57419.43     | 0.05%             | 2030-05-01      | Fixed         | 6.45%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201185 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    225438 | PA      | $222933.62    | 0.21%             | 2053-10-01      | Fixed         | 5.76%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201533 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    307106 | PA      | $262201.59    | 0.25%             | 2046-05-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200409 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    321262 | PA      | $274630.52    | 0.26%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201324 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    123576 | PA      | $109239.73    | 0.10%             | 2046-04-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201768 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    185806 | PA      | $180246.20    | 0.17%             | 2050-04-01      | Fixed         | 6.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202103 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |   1271874 | PA      | $1260928.62   | 1.18%             | 2024-05-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201248 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     89498 | PA      | $77373.60     | 0.07%             | 2044-07-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201912 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     37837 | PA      | $36881.56     | 0.03%             | 2034-01-01      | Fixed         | 7.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200799 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     54578 | PA      | $44721.43     | 0.04%             | 2053-02-05      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201844 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40256 | PA      | $41866.72     | 0.04%             | 2028-11-01      | Fixed         | 11.49%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200726 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    141136 | PA      | $124939.72    | 0.12%             | 2037-09-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200532 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     89820 | PA      | $70811.92     | 0.07%             | 2043-07-01      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202043 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    177738 | PA      | $184847.42    | 0.17%             | 2027-02-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201054 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    182781 | PA      | $138639.57    | 0.13%             | 2050-05-17      | Fixed         | 2.40%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201629 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     27566 | PA      | $27566.26     | 0.03%             | 2033-03-06      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200674 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    270216 | PA      | $228765.04    | 0.21%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200791 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    178538 | PA      | $154457.48    | 0.15%             | 2044-06-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201558 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    122620 | PA      | $109235.67    | 0.10%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201927 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    300177 | PA      | $302255.35    | 0.28%             | 2051-04-01      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201904 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     14474 | PA      | $14874.31     | 0.01%             | 2029-08-01      | Fixed         | 10.19%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201266 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    131077 | PA      | $110281.25    | 0.10%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201672 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     20587 | PA      | $21410.12     | 0.02%             | 2048-10-15      | Fixed         | 9.90%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200048 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     44655 | PA      | $40852.74     | 0.04%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200391 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    124049 | PA      | $107077.39    | 0.10%             | 2035-01-13      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201249 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    451470 | PA      | $382928.13    | 0.36%             | 2045-08-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201696 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     63093 | PA      | $54577.89     | 0.05%             | 2048-10-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200634 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    198695 | PA      | $167331.13    | 0.16%             | 2044-01-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200732 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    177546 | PA      | $151786.31    | 0.14%             | 2027-09-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200102 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     65344 | PA      | $66327.52     | 0.06%             | 2040-03-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201183 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    121866 | PA      | $102330.26    | 0.10%             | 2052-10-01      | Fixed         | 3.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202050 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    271500 | PA      | $261271.74    | 0.25%             | 2025-01-31      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200909 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    114770 | PA      | $102502.81    | 0.10%             | 2046-03-01      | Fixed         | 4.87%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201679 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     41115 | PA      | $40933.38     | 0.04%             | 2047-03-01      | Fixed         | 7.70%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201365 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    303971 | PA      | $252561.28    | 0.24%             | 2045-10-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200716 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    172705 | PA      | $172558.97    | 0.16%             | 2037-08-01      | Fixed         | 4.13%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200651 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    181761 | PA      | $146571.93    | 0.14%             | 2043-07-01      | Fixed         | 3.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200696 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40174 | PA      | $32781.50     | 0.03%             | 2042-10-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200921 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     77615 | PA      | $76405.52     | 0.07%             | 2051-07-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201809 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    162194 | PA      | $136716.55    | 0.13%             | 2038-02-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200518 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    171320 | PA      | $138379.60    | 0.13%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201107 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     62662 | PA      | $56768.88     | 0.05%             | 2036-02-01      | Fixed         | 5.15%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201987 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    146300 | PA      | $153615.00    | 0.14%             | 2026-06-30      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201710 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    140806 | PA      | $134620.01    | 0.13%             | 2049-11-01      | Fixed         | 6.70%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201812 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     26027 | PA      | $26824.96     | 0.03%             | 2027-02-01      | Fixed         | 9.24%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200940 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    168898 | PA      | $133501.10    | 0.13%             | 2043-02-01      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201502 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     95479 | PA      | $84944.26     | 0.08%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200406 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    107832 | PA      | $96442.61     | 0.09%             | 2051-10-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200399 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     39820 | PA      | $35590.68     | 0.03%             | 2037-06-01      | Fixed         | 4.98%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200690 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    192929 | PA      | $161198.53    | 0.15%             | 2044-04-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201864 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     20402 | PA      | $19196.86     | 0.02%             | 2025-11-01      | Fixed         | 7.06%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200897 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    169339 | PA      | $145366.31    | 0.14%             | 2044-10-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202018 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    282351 | PA      | $289642.82    | 0.27%             | 2024-12-01      | Fixed         | 10.24%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201505 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     82485 | PA      | $85784.61     | 0.08%             | 2046-09-01      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202007 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    450098 | PA      | $468102.30    | 0.44%             | 2026-10-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202051 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    630000 | PA      | $610120.03    | 0.57%             | 2025-01-31      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200439 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     37478 | PA      | $32991.98     | 0.03%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201707 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    173937 | PA      | $148844.66    | 0.14%             | 2049-08-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201326 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    159716 | PA      | $135459.03    | 0.13%             | 2046-03-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201902 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     13258 | PA      | $13665.30     | 0.01%             | 2026-10-01      | Fixed         | 10.55%                | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200527 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     96920 | PA      | $82183.96     | 0.08%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201819 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     50815 | PA      | $48693.26     | 0.05%             | 2029-11-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200736 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    127076 | PA      | $106715.51    | 0.10%             | 2044-05-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200209 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    151337 | PA      | $124485.67    | 0.12%             | 2042-08-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200430 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    188622 | PA      | $152199.43    | 0.14%             | 2043-07-01      | Fixed         | 3.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201391 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    361398 | PA      | $308322.65    | 0.29%             | 2045-10-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200451 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    300836 | PA      | $287092.43    | 0.27%             | 2038-07-01      | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200462 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    347857 | PA      | $328325.93    | 0.31%             | 2045-07-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201849 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49250 | PA      | $42790.10     | 0.04%             | 2035-06-01      | Fixed         | 4.48%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202076 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    132360 | PA      | $134557.88    | 0.13%             | 2032-04-01      | Fixed         | 8.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201111 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    145388 | PA      | $105501.29    | 0.10%             | 2050-04-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201635 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     62925 | PA      | $62925.47     | 0.06%             | 2046-03-14      | Fixed         | 9.95%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200186 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     46477 | PA      | $41110.92     | 0.04%             | 2042-08-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200201 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     29403 | PA      | $26106.03     | 0.02%             | 2041-08-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200026 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    196470 | PA      | $190519.69    | 0.18%             | 2050-01-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201692 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     20248 | PA      | $20742.31     | 0.02%             | 2029-11-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200573 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     80199 | PA      | $65464.86     | 0.06%             | 2042-09-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201519 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     87526 | PA      | $75026.60     | 0.07%             | 2045-09-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201842 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     61182 | PA      | $62935.82     | 0.06%             | 2028-03-01      | Fixed         | 11.03%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201199 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    296888 | PA      | $267016.87    | 0.25%             | 2046-11-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201913 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      4143 | PA      | $4304.60      | 0.00%             | 2026-11-01      | Fixed         | 9.31%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200090 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    267476 | PA      | $162280.41    | 0.15%             | 2036-11-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200892 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    212807 | PA      | $172849.49    | 0.16%             | 2043-09-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201914 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     25475 | PA      | $25262.09     | 0.02%             | 2026-08-01      | Fixed         | 9.33%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201908 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     18489 | PA      | $19228.62     | 0.02%             | 2027-09-01      | Fixed         | 11.62%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200448 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     69977 | PA      | $65371.27     | 0.06%             | 2042-05-01      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202094 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    325500 | PA      | $279592.57    | 0.26%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201504 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    410408 | PA      | $346148.76    | 0.33%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201896 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      3982 | PA      | $4066.97      | 0.00%             | 2025-09-01      | Fixed         | 9.68%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202005 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83904 | PA      | $86165.92     | 0.08%             | 2036-09-01      | Fixed         | 8.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201744 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    282496 | PA      | $249921.51    | 0.23%             | 2049-05-01      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201483 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    268870 | PA      | $221181.29    | 0.21%             | 2045-12-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201591 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    295683 | PA      | $264536.19    | 0.25%             | 2048-08-01      | Fixed         | 5.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201699 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    257936 | PA      | $231958.85    | 0.22%             | 2049-09-01      | Fixed         | 5.52%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201857 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     47528 | PA      | $47386.93     | 0.04%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201716 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    234231 | PA      | $243600.55    | 0.23%             | 2049-12-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201645 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    669302 | PA      | $108598.19    | 0.10%             | 2023-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201957 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    402469 | PA      | $418567.25    | 0.39%             | 2026-06-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202098 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    298409 | PA      | $268787.28    | 0.25%             | 2052-05-01      | Fixed         | 5.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201807 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     69908 | PA      | $64092.14     | 0.06%             | 2043-08-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202067 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    425000 | PA      | $425000.00    | 0.40%             | 2024-03-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201895 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      9545 | PA      | $9747.34      | 0.01%             | 2026-05-01      | Fixed         | 9.69%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201176 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    119404 | PA      | $104310.34    | 0.10%             | 2053-08-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202079 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     90591 | PA      | $87275.15     | 0.08%             | 2052-04-01      | Fixed         | 7.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201780 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    435857 | PA      | $401237.80    | 0.38%             | 2050-04-01      | Fixed         | 6.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200887 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    195631 | PA      | $167910.21    | 0.16%             | 2044-09-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201663 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    408125 | PA      | $310914.43    | 0.29%             | 2048-10-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202078 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     77715 | PA      | $80375.37     | 0.08%             | 2024-04-01      | Fixed         | 8.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201436 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     81726 | PA      | $68489.52     | 0.06%             | 2045-05-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201036 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     70856 | PA      | $59455.41     | 0.06%             | 2044-12-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201375 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    129699 | PA      | $109454.82    | 0.10%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201103 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    131312 | PA      | $124288.26    | 0.12%             | 2044-05-01      | Fixed         | 2.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201640 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    329401 | PA      | $287651.69    | 0.27%             | 2049-04-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201093 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    121415 | PA      | $109928.25    | 0.10%             | 2043-09-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202096 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    325500 | PA      | $279587.30    | 0.26%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200185 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     24610 | PA      | $22176.93     | 0.02%             | 2042-06-01      | Fixed         | 5.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200814 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    212948 | PA      | $216113.03    | 0.20%             | 2039-07-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200395 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     74788 | PA      | $60349.26     | 0.06%             | 2047-04-01      | Fixed         | 4.86%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201999 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    864000 | PA      | $898559.79    | 0.84%             | 2026-08-31      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200500 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    165253 | PA      | $155056.19    | 0.15%             | 2037-02-01      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200352 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     56749 | PA      | $54686.26     | 0.05%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201377 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    228800 | PA      | $191804.14    | 0.18%             | 2046-05-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201881 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     16705 | PA      | $14132.50     | 0.01%             | 2026-05-01      | Fixed         | 4.59%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201114 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    113739 | PA      | $114981.18    | 0.11%             | 2054-05-01      | Fixed         | 8.09%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200465 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    200956 | PA      | $193973.00    | 0.18%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201458 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    212861 | PA      | $167790.13    | 0.16%             | 2046-09-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200366 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     78679 | PA      | $72508.29     | 0.07%             | 2033-01-01      | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200469 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    108013 | PA      | $104273.38    | 0.10%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200883 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     44446 | PA      | $35354.54     | 0.03%             | 2028-05-01      | Fixed         | 3.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202049 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    253500 | PA      | $258130.02    | 0.24%             | 2027-02-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201149 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    341793 | PA      | $304810.00    | 0.29%             | 2051-06-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201837 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     42061 | PA      | $41293.12     | 0.04%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202101 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    278938 | PA      | $280031.97    | 0.26%             | 2032-05-01      | Fixed         | 7.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201657 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    236008 | PA      | $208616.88    | 0.20%             | 2048-11-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202093 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    147000 | PA      | $132542.39    | 0.12%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201897 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     14773 | PA      | $15023.40     | 0.01%             | 2027-03-01      | Fixed         | 8.28%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201847 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    116451 | PA      | $99624.44     | 0.09%             | 2033-06-01      | Fixed         | 2.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201772 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    333290 | PA      | $328988.53    | 0.31%             | 2050-03-01      | Fixed         | 8.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201890 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      6251 | PA      | $5590.35      | 0.01%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201240 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    139753 | PA      | $116102.20    | 0.11%             | 2045-10-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200735 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     87651 | PA      | $74200.51     | 0.07%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201843 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     30127 | PA      | $30935.09     | 0.03%             | 2031-08-01      | Fixed         | 9.18%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201390 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    203016 | PA      | $177686.64    | 0.17%             | 2045-09-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201556 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     43759 | PA      | $37569.35     | 0.04%             | 2047-12-01      | Fixed         | 4.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201294 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    110048 | PA      | $91126.39     | 0.09%             | 2046-02-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201586 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    358874 | PA      | $302605.82    | 0.28%             | 2047-05-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201815 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     62611 | PA      | $63603.27     | 0.06%             | 2033-09-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201874 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     21360 | PA      | $22066.98     | 0.02%             | 2027-05-01      | Fixed         | 10.54%                | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201046 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    276448 | PA      | $242526.57    | 0.23%             | 2053-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201901 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     20906 | PA      | $20457.44     | 0.02%             | 2028-09-01      | Fixed         | 8.74%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201484 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     69869 | PA      | $58658.01     | 0.06%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200128 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     65074 | PA      | $49411.87     | 0.05%             | 2037-07-01      | Fixed         | 4.71%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202097 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    652000 | PA      | $655914.77    | 0.62%             | 2024-05-01      | Fixed         | 7.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200593 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     55015 | PA      | $45290.83     | 0.04%             | 2042-06-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201719 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    113822 | PA      | $102862.15    | 0.10%             | 2049-09-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200368 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    139066 | PA      | $121934.02    | 0.11%             | 2036-04-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201163 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    350767 | PA      | $262973.08    | 0.25%             | 2049-12-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201700 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    314719 | PA      | $296017.41    | 0.28%             | 2049-06-01      | Fixed         | 6.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200141 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     68254 | PA      | $56868.30     | 0.05%             | 2042-02-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201313 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    291084 | PA      | $240236.71    | 0.23%             | 2046-01-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200775 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     38534 | PA      | $32287.51     | 0.03%             | 2043-04-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200110 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    100609 | PA      | $95009.59     | 0.09%             | 2039-08-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200942 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    227527 | PA      | $187969.38    | 0.18%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201834 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     58798 | PA      | $60840.76     | 0.06%             | 2038-04-01      | Fixed         | 9.15%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201627 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     42338 | PA      | $43418.44     | 0.04%             | 2047-02-19      | Fixed         | 10.45%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200586 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    276432 | PA      | $221880.20    | 0.21%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201444 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     46319 | PA      | $39091.02     | 0.04%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200374 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     60038 | PA      | $60037.86     | 0.06%             | 2034-05-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201465 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     91952 | PA      | $80657.82     | 0.08%             | 2044-12-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201084 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    200056 | PA      | $175128.80    | 0.16%             | 2038-08-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201647 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     38260 | PA      | $36426.60     | 0.03%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201032 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    124125 | PA      | $104817.65    | 0.10%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200796 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     68112 | PA      | $63876.79     | 0.06%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201653 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    188873 | PA      | $165816.74    | 0.16%             | 2048-06-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201848 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49860 | PA      | $45499.60     | 0.04%             | 2032-11-01      | Fixed         | 4.29%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201724 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    247061 | PA      | $138279.81    | 0.13%             | 2049-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201274 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    192667 | PA      | $158740.28    | 0.15%             | 2045-10-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200753 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     52601 | PA      | $46767.93     | 0.04%             | 2044-05-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201403 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     85231 | PA      | $72839.43     | 0.07%             | 2044-08-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201513 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    111828 | PA      | $97009.95     | 0.09%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201350 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    215059 | PA      | $198724.13    | 0.19%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202074 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    118853 | PA      | $121563.03    | 0.11%             | 2032-04-01      | Fixed         | 9.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201717 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    426392 | PA      | $409345.03    | 0.38%             | 2048-12-01      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200420 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    133546 | PA      | $114398.33    | 0.11%             | 2038-04-10      | Fixed         | 4.22%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200129 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    424014 | PA      | $372066.61    | 0.35%             | 2052-03-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200657 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    134308 | PA      | $118797.91    | 0.11%             | 2051-08-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201654 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    425352 | PA      | $360233.92    | 0.34%             | 2049-07-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201307 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    159746 | PA      | $132484.10    | 0.12%             | 2045-11-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201983 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    302696 | PA      | $314803.93    | 0.30%             | 2026-08-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200714 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    546910 | PA      | $470748.72    | 0.44%             | 2036-11-01      | Fixed         | 4.17%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201916 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     89791 | PA      | $84961.17     | 0.08%             | 2024-07-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200805 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    143178 | PA      | $99821.32     | 0.09%             | 2050-07-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201933 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    283500 | PA      | $297675.00    | 0.28%             | 2026-04-30      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201476 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    133930 | PA      | $133930.00    | 0.13%             | 2037-02-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201305 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    132876 | PA      | $113044.44    | 0.11%             | 2044-08-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202032 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    489336 | PA      | $492705.13    | 0.46%             | 2042-02-01      | Fixed         | 6.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200332 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     82696 | PA      | $77131.15     | 0.07%             | 2037-10-01      | Fixed         | 5.78%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200244 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     21484 | PA      | $18838.53     | 0.02%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202080 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    304384 | PA      | $316559.83    | 0.30%             | 2027-04-01      | Fixed         | 8.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201057 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    140706 | PA      | $122587.62    | 0.12%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201977 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    140480 | PA      | $138214.17    | 0.13%             | 2051-06-01      | Fixed         | 8.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201993 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    152459 | PA      | $155301.95    | 0.15%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201757 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    247206 | PA      | $236176.47    | 0.22%             | 2050-04-01      | Fixed         | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200831 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     28071 | PA      | $23391.97     | 0.02%             | 2044-10-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201662 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    125478 | PA      | $110928.79    | 0.10%             | 2048-09-01      | Fixed         | 5.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200165 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    168245 | PA      | $142753.96    | 0.13%             | 2041-12-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200082 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     59991 | PA      | $60522.79     | 0.06%             | 2040-04-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201473 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    278136 | PA      | $234935.98    | 0.22%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200649 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    122786 | PA      | $101581.11    | 0.10%             | 2044-03-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200384 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    261883 | PA      | $209614.99    | 0.20%             | 2047-11-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200922 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    384041 | PA      | $315489.72    | 0.30%             | 2053-09-01      | Fixed         | 3.34%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201069 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     58733 | PA      | $50028.39     | 0.05%             | 2044-12-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201944 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    195950 | PA      | $198952.89    | 0.19%             | 2024-05-31      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200023 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     96419 | PA      | $89659.53     | 0.08%             | 2050-12-01      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201698 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     81465 | PA      | $67472.12     | 0.06%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200866 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    238731 | PA      | $197839.26    | 0.19%             | 2053-05-01      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201146 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    122362 | PA      | $108649.54    | 0.10%             | 2054-08-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200228 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     43229 | PA      | $37064.61     | 0.03%             | 2042-08-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201656 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    105710 | PA      | $88617.81     | 0.08%             | 2049-06-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201677 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     78811 | PA      | $81210.42     | 0.08%             | 2048-11-01      | Fixed         | 9.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201869 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     14088 | PA      | $14288.68     | 0.01%             | 2038-08-01      | Fixed         | 8.39%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201715 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     98456 | PA      | $101863.28    | 0.10%             | 2049-12-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| COMISION FEDERAL DE ELEC | Loan ID 200447 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     14148 | PA      | $13326.66     | 0.01%             | 2034-11-04      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201155 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     87095 | PA      | $60334.40     | 0.06%             | 2053-11-01      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201273 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    216325 | PA      | $182009.62    | 0.17%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201665 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40451 | PA      | $42068.85     | 0.04%             | 2048-08-01      | Fixed         | 9.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200720 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    122165 | PA      | $110374.05    | 0.10%             | 2042-04-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201648 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     28218 | PA      | $27837.32     | 0.03%             | 2030-08-14      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201942 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    121360 | PA      | $104689.82    | 0.10%             | 2050-06-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201678 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     23140 | PA      | $23958.74     | 0.02%             | 2048-08-01      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200821 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    182799 | PA      | $152420.87    | 0.14%             | 2044-08-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201170 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     46960 | PA      | $40737.25     | 0.04%             | 2037-07-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200392 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     55717 | PA      | $56934.86     | 0.05%             | 2034-06-05      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201308 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     55935 | PA      | $47464.47     | 0.04%             | 2045-11-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201868 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     53132 | PA      | $52665.60     | 0.05%             | 2034-09-01      | Fixed         | 7.54%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200795 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     77509 | PA      | $74956.68     | 0.07%             | 2036-08-01      | Fixed         | 6.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201604 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     57547 | PA      | $58338.67     | 0.05%             | 2048-01-01      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200858 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    244021 | PA      | $218656.07    | 0.21%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201947 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    337318 | PA      | $331711.75    | 0.31%             | 2037-12-01      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200907 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    349514 | PA      | $343002.98    | 0.32%             | 2047-08-01      | Fixed         | 4.05%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201827 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     22178 | PA      | $23065.52     | 0.02%             | 2026-03-01      | Fixed         | 10.78%                | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200771 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    189266 | PA      | $175184.68    | 0.16%             | 2043-04-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201746 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    358952 | PA      | $307600.88    | 0.29%             | 2049-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202089 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |   1385010 | PA      | $1393348.75   | 1.31%             | 2042-05-01      | Fixed         | 8.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200908 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     95375 | PA      | $83312.28     | 0.08%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201756 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    244185 | PA      | $211709.92    | 0.20%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202000 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    198800 | PA      | $80211.76     | 0.08%             | 2024-08-31      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200655 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    118455 | PA      | $94157.95     | 0.09%             | 2043-05-01      | Fixed         | 3.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201196 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    561941 | PA      | $488392.91    | 0.46%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201044 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    148961 | PA      | $132296.43    | 0.12%             | 2037-03-29      | Fixed         | 4.87%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202036 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    240509 | PA      | $233263.86    | 0.22%             | 2024-02-01      | Fixed         | 9.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200834 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    138496 | PA      | $115167.30    | 0.11%             | 2043-07-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201419 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     36146 | PA      | $37104.04     | 0.03%             | 2033-11-01      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201439 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    163808 | PA      | $142427.76    | 0.13%             | 2045-12-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201061 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     75329 | PA      | $63973.27     | 0.06%             | 2050-02-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200054 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     46570 | PA      | $47254.77     | 0.04%             | 2039-03-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201806 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     24515 | PA      | $24725.25     | 0.02%             | 2026-06-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201043 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     98623 | PA      | $80090.74     | 0.08%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201179 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    286303 | PA      | $204887.47    | 0.19%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200912 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    595649 | PA      | $519809.05    | 0.49%             | 2037-03-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201900 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      3644 | PA      | $3789.46      | 0.00%             | 2023-07-01      | Fixed         | 12.13%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201187 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     74631 | PA      | $49050.18     | 0.05%             | 2048-11-01      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200742 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    152921 | PA      | $128079.09    | 0.12%             | 2043-04-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201822 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     48649 | PA      | $14487.76     | 0.01%             | 2036-01-01      | Fixed         | 8.92%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200660 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    150864 | PA      | $141278.88    | 0.13%             | 2038-03-01      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201687 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    102923 | PA      | $88689.02     | 0.08%             | 2048-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201503 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    136295 | PA      | $118294.20    | 0.11%             | 2046-07-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201666 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     16543 | PA      | $17204.39     | 0.02%             | 2033-06-01      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200198 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     33835 | PA      | $30190.55     | 0.03%             | 2042-10-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201891 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     13524 | PA      | $13899.00     | 0.01%             | 2026-07-01      | Fixed         | 10.29%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200489 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     97513 | PA      | $80728.25     | 0.08%             | 2043-03-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200206 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     16829 | PA      | $13920.67     | 0.01%             | 2042-12-01      | Fixed         | 3.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201442 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    273686 | PA      | $235204.02    | 0.22%             | 2045-12-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200710 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     97824 | PA      | $80712.46     | 0.08%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201649 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     45443 | PA      | $41799.09     | 0.04%             | 2030-02-20      | Fixed         | 4.80%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201940 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     68325 | PA      | $68325.39     | 0.06%             | 2050-06-20      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200663 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     60453 | PA      | $51986.18     | 0.05%             | 2044-05-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200517 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     81032 | PA      | $80772.84     | 0.08%             | 2039-05-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202044 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     29798 | PA      | $28652.36     | 0.03%             | 2025-03-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200158 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    130922 | PA      | $105941.79    | 0.10%             | 2042-12-01      | Fixed         | 3.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200348 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49606 | PA      | $47873.52     | 0.04%             | 2038-07-01      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201741 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    223754 | PA      | $224419.29    | 0.21%             | 2048-07-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201075 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83329 | PA      | $69984.28     | 0.07%             | 2044-10-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200194 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    139938 | PA      | $121487.59    | 0.11%             | 2041-09-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201636 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     67472 | PA      | $70170.38     | 0.07%             | 2031-05-13      | Fixed         | 9.45%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201007 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83521 | PA      | $82441.25     | 0.08%             | 2037-04-01      | Fixed         | 7.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201213 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    172714 | PA      | $149128.27    | 0.14%             | 2044-08-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201422 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     52215 | PA      | $44107.24     | 0.04%             | 2046-10-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200195 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    217723 | PA      | $179511.83    | 0.17%             | 2042-03-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200993 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    146996 | PA      | $111926.30    | 0.11%             | 2049-07-15      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201296 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    684912 | PA      | $567596.37    | 0.53%             | 2046-02-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202095 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    325500 | PA      | $279587.30    | 0.26%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202023 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     98372 | PA      | $97663.90     | 0.09%             | 2051-08-01      | Fixed         | 0.09%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201319 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    154114 | PA      | $128921.31    | 0.12%             | 2045-10-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202084 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    450597 | PA      | $468620.68    | 0.44%             | 2027-05-01      | Fixed         | 9.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201134 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    174737 | PA      | $134600.49    | 0.13%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200335 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    247796 | PA      | $226297.99    | 0.21%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201671 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     22267 | PA      | $22259.68     | 0.02%             | 2048-09-15      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201045 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     90986 | PA      | $66897.90     | 0.06%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201739 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    123027 | PA      | $123060.96    | 0.12%             | 2048-04-01      | Fixed         | 7.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201832 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     53622 | PA      | $52611.16     | 0.05%             | 2034-04-01      | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201870 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      3673 | PA      | $3820.11      | 0.00%             | 2023-02-01      | Fixed         | 9.48%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201676 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    110004 | PA      | $114403.68    | 0.11%             | 2048-10-01      | Fixed         | 9.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201851 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    123909 | PA      | $120467.58    | 0.11%             | 2023-08-30      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201612 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    251178 | PA      | $261225.29    | 0.25%             | 2023-09-01      | Fixed         | 9.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201067 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    386423 | PA      | $332404.43    | 0.31%             | 2044-01-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201506 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    282091 | PA      | $244393.55    | 0.23%             | 2047-02-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200390 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    179879 | PA      | $159096.23    | 0.15%             | 2047-04-16      | Fixed         | 4.78%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201417 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     52917 | PA      | $49930.81     | 0.05%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201243 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     98088 | PA      | $83325.44     | 0.08%             | 2045-11-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200913 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     52926 | PA      | $45610.68     | 0.04%             | 2047-05-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200685 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    201975 | PA      | $174814.47    | 0.16%             | 2044-05-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202025 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    342618 | PA      | $337303.69    | 0.32%             | 2052-01-01      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202064 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    462014 | PA      | $480494.23    | 0.45%             | 2024-04-01      | Fixed         | 7.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201173 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     99869 | PA      | $75561.63     | 0.07%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201963 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     85137 | PA      | $88542.63     | 0.08%             | 2026-06-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201967 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     89206 | PA      | $66777.36     | 0.06%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201991 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    247683 | PA      | $248000.02    | 0.23%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201412 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    131075 | PA      | $120553.68    | 0.11%             | 2045-12-01      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201958 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    150000 | PA      | $151870.64    | 0.14%             | 2023-05-01      | Fixed         | 8.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201221 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     54140 | PA      | $45245.77     | 0.04%             | 2043-05-01      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201060 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     85476 | PA      | $86473.97     | 0.08%             | 2035-07-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200966 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    129358 | PA      | $111979.66    | 0.11%             | 2044-07-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201208 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    101283 | PA      | $86043.33     | 0.08%             | 2045-04-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200853 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     89957 | PA      | $80346.31     | 0.08%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200423 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    110947 | PA      | $94225.06     | 0.09%             | 2043-06-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201664 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     18046 | PA      | $18045.80     | 0.02%             | 2033-08-01      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200684 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    111046 | PA      | $96327.42     | 0.09%             | 2044-04-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201336 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    172908 | PA      | $147147.66    | 0.14%             | 2046-01-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201104 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    142391 | PA      | $119394.67    | 0.11%             | 2045-04-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202082 | CUSIP: N/A<br>LEI: N/A | Long             | DBT              |  | US        |   3535873 | PA      | $3535872.52   | 3.32%             | 2023-04-08      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 202020 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    171539 | PA      | $178400.62    | 0.17%             | 2026-12-01      | Fixed         | 8.74%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200042 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     35012 | PA      | $34427.01     | 0.03%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202040 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    216721 | PA      | $201905.85    | 0.19%             | 2024-02-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200404 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     46993 | PA      | $47546.04     | 0.04%             | 2037-05-01      | Fixed         | 8.10%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201447 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    230131 | PA      | $198878.47    | 0.19%             | 2044-10-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200545 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     27744 | PA      | $23349.91     | 0.02%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201784 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    276269 | PA      | $263283.77    | 0.25%             | 2050-04-01      | Fixed         | 6.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201674 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     23580 | PA      | $24522.70     | 0.02%             | 2048-12-01      | Fixed         | 9.90%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201825 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    119993 | PA      | $107861.33    | 0.10%             | 2039-11-01      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201260 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    154607 | PA      | $132382.25    | 0.12%             | 2045-09-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201113 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     74159 | PA      | $69171.59     | 0.06%             | 2052-12-01      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201753 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |   1076873 | PA      | $926423.42    | 0.87%             | 2050-04-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200947 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    249516 | PA      | $206293.19    | 0.19%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201879 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      8066 | PA      | $8381.08      | 0.01%             | 2026-10-01      | Fixed         | 9.31%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201205 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    131116 | PA      | $111562.38    | 0.10%             | 2045-01-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201534 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     37209 | PA      | $31903.72     | 0.03%             | 2047-05-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201394 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     65150 | PA      | $63424.56     | 0.06%             | 2034-06-01      | Fixed         | 6.70%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200468 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    101915 | PA      | $93271.77     | 0.09%             | 2044-12-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201936 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    163163 | PA      | $163949.99    | 0.15%             | 2051-05-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200832 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    241823 | PA      | $196716.12    | 0.18%             | 2044-10-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201871 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      4265 | PA      | $4368.18      | 0.00%             | 2026-05-01      | Fixed         | 9.97%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201263 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     44439 | PA      | $38046.68     | 0.04%             | 2045-10-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201889 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     19821 | PA      | $20447.16     | 0.02%             | 2039-02-01      | Fixed         | 9.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200977 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    313842 | PA      | $271931.37    | 0.26%             | 2044-09-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200692 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    213207 | PA      | $181627.02    | 0.17%             | 2044-07-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 201973 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    202974 | PA      | $205920.88    | 0.19%             | 2031-07-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201959 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    494747 | PA      | $497089.41    | 0.47%             | 2031-06-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201023 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    117627 | PA      | $113330.28    | 0.11%             | 2036-02-01      | Fixed         | 6.45%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201291 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    274302 | PA      | $237719.70    | 0.22%             | 2045-08-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201415 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     46849 | PA      | $47296.00     | 0.04%             | 2034-04-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202088 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    324000 | PA      | $331490.50    | 0.31%             | 2024-05-01      | Fixed         | 11.50%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201814 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     47534 | PA      | $47555.22     | 0.04%             | 2033-03-01      | Fixed         | 7.74%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200786 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    198493 | PA      | $169420.40    | 0.16%             | 2044-07-01      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200830 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    163939 | PA      | $150614.35    | 0.14%             | 2044-07-01      | Fixed         | 2.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201130 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    100092 | PA      | $87310.81     | 0.08%             | 2037-12-01      | Fixed         | 4.85%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201910 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |      9120 | PA      | $8510.25      | 0.01%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201899 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     13367 | PA      | $13829.25     | 0.01%             | 2024-10-01      | Fixed         | 10.50%                | No            |                  3 | On Loan: No      |
| N/A                      | LOAN ID 200891 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    179563 | PA      | $149434.94    | 0.14%             | 2044-10-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201956 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    312749 | PA      | $309020.21    | 0.29%             | 2051-03-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201010 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     66884 | PA      | $59988.75     | 0.06%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202073 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |   1125000 | PA      | $1008316.65   | 0.95%             | 2025-03-31      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201485 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     54498 | PA      | $50718.22     | 0.05%             | 2038-03-01      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200645 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    103569 | PA      | $90462.50     | 0.08%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201817 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     91086 | PA      | $90871.05     | 0.09%             | 2026-07-01      | Fixed         | 4.12%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201131 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    113190 | PA      | $114865.77    | 0.11%             | 2053-05-01      | Fixed         | 7.35%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201985 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    496000 | PA      | $494673.27    | 0.46%             | 2024-07-01      | Fixed         | 9.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201354 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    448097 | PA      | $373872.21    | 0.35%             | 2046-07-01      | Fixed         | 3.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201841 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     28737 | PA      | $29495.44     | 0.03%             | 2025-05-01      | Fixed         | 10.06%                | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200417 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     56771 | PA      | $55793.87     | 0.05%             | 2035-05-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200208 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     37371 | PA      | $31359.26     | 0.03%             | 2043-01-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201092 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    225427 | PA      | $200636.37    | 0.19%             | 2046-04-01      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200974 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    135782 | PA      | $113228.69    | 0.11%             | 2044-10-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201810 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     71980 | PA      | $63896.88     | 0.06%             | 2042-02-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201587 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    289048 | PA      | $238315.73    | 0.22%             | 2048-01-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201309 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    144918 | PA      | $118570.97    | 0.11%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201856 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     43657 | PA      | $38973.39     | 0.04%             | 2037-06-01      | Fixed         | 7.90%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201027 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     94699 | PA      | $98487.26     | 0.09%             | 2037-03-01      | Fixed         | 9.54%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201407 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    221488 | PA      | $191044.77    | 0.18%             | 2046-01-01      | Fixed         | 4.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201835 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     31927 | PA      | $32042.35     | 0.03%             | 2027-01-01      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201411 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    149379 | PA      | $127912.97    | 0.12%             | 2045-12-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200914 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    129684 | PA      | $107560.07    | 0.10%             | 2047-12-01      | Fixed         | 2.88%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201955 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    205792 | PA      | $203647.60    | 0.19%             | 2051-03-01      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201743 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    131780 | PA      | $117752.39    | 0.11%             | 2048-09-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200317 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     53072 | PA      | $52130.73     | 0.05%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201969 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    298281 | PA      | $295061.61    | 0.28%             | 2051-04-01      | Fixed         | 8.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200783 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     59139 | PA      | $50804.68     | 0.05%             | 2044-09-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201803 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     14410 | PA      | $14180.71     | 0.01%             | 2034-09-01      | Fixed         | 7.05%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201824 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    269713 | PA      | $260625.40    | 0.24%             | 2037-10-01      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200944 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     91077 | PA      | $77128.33     | 0.07%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200029 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    179714 | PA      | $172070.53    | 0.16%             | 2037-07-01      | Fixed         | 6.31%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200996 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     49418 | PA      | $38728.71     | 0.04%             | 2048-08-01      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201763 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    143120 | PA      | $139635.32    | 0.13%             | 2050-02-01      | Fixed         | 7.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201859 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    592500 | PA      | $616200.00    | 0.58%             | 2025-12-31      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201254 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    193008 | PA      | $191052.29    | 0.18%             | 2034-09-01      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201805 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    108105 | PA      | $93282.35     | 0.09%             | 2036-10-01      | Fixed         | 4.38%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202001 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    360000 | PA      | $377881.53    | 0.35%             | 2026-08-31      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201148 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     82782 | PA      | $71936.92     | 0.07%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201395 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     78843 | PA      | $41140.47     | 0.04%             | 2044-07-01      | Fixed         | 6.30%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201122 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     73258 | PA      | $60914.52     | 0.06%             | 2048-11-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202065 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    103532 | PA      | $107673.77    | 0.10%             | 2025-04-01      | Fixed         | 7.99%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200405 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     76422 | PA      | $67761.18     | 0.06%             | 2035-12-01      | Fixed         | 4.87%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201930 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |    295285 | PA      | $297013.46    | 0.28%             | 2051-04-01      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201414 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     66420 | PA      | $54895.62     | 0.05%             | 2044-07-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200808 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     52330 | PA      | $32016.80     | 0.03%             | 2050-11-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 202099 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     83671 | PA      | $80401.52     | 0.08%             | 2052-05-01      | Fixed         | 7.49%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 201499 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     69758 | PA      | $59886.18     | 0.06%             | 2045-05-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| N/A                      | Loan ID 200043 | CUSIP: N/A<br>LEI: N/A | Long             | ABS-MBS          |  | US        |     40561 | PA      | $38418.72     | 0.04%             | 2039-07-01      | Fixed         | 6.12%                 | No            |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

**Name of Applicant:** Vertical Capital Income Fund

**Signature:** Brian Curley

**Name of Signer:** Brian Curley

**Title:** Assistant Treasurer