0001480207 tsr:C000212344Member tsr:bench2024112783694_1609Member 2024-09-30
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22378
DoubleLine Funds Trust
(Exact name of registrant as specified in charter)
2002 North Tampa Street, Suite 200
Tampa, FL 33602
(Address of principal executive offices) (Zip code)
Ronald R. Redell
President
DoubleLine Funds Trust
2002 North Tampa Street, Suite 200
Tampa, FL 33602
(Name and address of agent for service)
(813) 791-7333
Registrant’s telephone number, including area code
Date of fiscal year end: March 31
Date of reporting period: September 30, 2024
Item 1. Reports to Stockholders.
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DoubleLine Total Return Bond Fund | |
| Class I | DBLTX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Total Return Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $26 | 0.50% |
| |
Net Assets | $30,962,874,830 |
Number of Holdings | 2,916 |
Portfolio Turnover | 22% |
Total Advisory Fees Paid | $60,805,230 |
Effective Duration | 5.81 years |
Weighted Average Life | 5.97 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 63.8% |
AA | 2.3% |
A | 4.0% |
BBB | 5.5% |
BB | 1.4% |
B and Below | 7.5% |
Not Rated | 10.0% |
Other | 5.5% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 50.3% |
Non-Agency Residential Collateralized Mortgage Obligations | 24.0% |
Non-Agency Commercial Mortgage Backed Obligations | 7.1% |
Money Market Funds | 6.5% |
Asset Backed Obligations | 4.7% |
Collateralized Loan Obligations | 4.6% |
US Government and Agency Obligations | 3.5% |
Futures Contracts | 0.0% |
Cash & Other | -0.7% |
| DoubleLine Total Return Bond Fund | PAGE 1 | TSR-SAR-258620103 |
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For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Total Return Bond Fund | PAGE 2 | TSR-SAR-258620103 |
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DoubleLine Total Return Bond Fund | |
| Class N | DLTNX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Total Return Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $38 | 0.75% |
| |
Net Assets | $30,962,874,830 |
Number of Holdings | 2,916 |
Portfolio Turnover | 22% |
Total Advisory Fees Paid | $60,805,230 |
Effective Duration | 5.81 years |
Weighted Average Life | 5.97 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 63.8% |
AA | 2.3% |
A | 4.0% |
BBB | 5.5% |
BB | 1.4% |
B and Below | 7.5% |
Not Rated | 10.0% |
Other | 5.5% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 50.3% |
Non-Agency Residential Collateralized Mortgage Obligations | 24.0% |
Non-Agency Commercial Mortgage Backed Obligations | 7.1% |
Money Market Funds | 6.5% |
Asset Backed Obligations | 4.7% |
Collateralized Loan Obligations | 4.6% |
US Government and Agency Obligations | 3.5% |
Futures Contracts | 0.0% |
Cash & Other | -0.7% |
| DoubleLine Total Return Bond Fund | PAGE 1 | TSR-SAR-258620202 |
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For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Total Return Bond Fund | PAGE 2 | TSR-SAR-258620202 |
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DoubleLine Total Return Bond Fund | |
| Class R6 | DDTRX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Total Return Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class R6 | $23 | 0.44% |
| |
Net Assets | $30,962,874,830 |
Number of Holdings | 2,916 |
Portfolio Turnover | 22% |
Total Advisory Fees Paid | $60,805,230 |
Effective Duration | 5.81 years |
Weighted Average Life | 5.97 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 63.8% |
AA | 2.3% |
A | 4.0% |
BBB | 5.5% |
BB | 1.4% |
B and Below | 7.5% |
Not Rated | 10.0% |
Other | 5.5% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
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Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 50.3% |
Non-Agency Residential Collateralized Mortgage Obligations | 24.0% |
Non-Agency Commercial Mortgage Backed Obligations | 7.1% |
Money Market Funds | 6.5% |
Asset Backed Obligations | 4.7% |
Collateralized Loan Obligations | 4.6% |
US Government and Agency Obligations | 3.5% |
Futures Contracts | 0.0% |
Cash & Other | -0.7% |
| DoubleLine Total Return Bond Fund | PAGE 1 | TSR-SAR-258620566 |
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For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Total Return Bond Fund | PAGE 2 | TSR-SAR-258620566 |
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DoubleLine Core Fixed Income Fund | |
| Class I | DBLFX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Core Fixed Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $23 | 0.44% |
| |
Net Assets | $6,864,530,565 |
Number of Holdings | 1,659 |
Portfolio Turnover | 45% |
Total Advisory Fees Paid | $12,238,483 |
Effective Duration | 5.74 years |
Weighted Average Life | 6.98 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 45.6% |
AA | 3.4% |
A | 8.8% |
BBB | 19.0% |
BB | 5.7% |
B and Below | 9.4% |
Not Rated | 3.6% |
Other | 4.5% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 20.7% |
US Government and Agency Obligations | 18.2% |
Corporate Bonds | 15.8% |
Non-Agency Residential Collateralized Mortgage Obligations | 10.9% |
Affiliated Mutual Funds | 6.7% |
Foreign Corporate Bonds | 5.7% |
Non-Agency Commercial Mortgage Backed Obligations | 5.5% |
Money Market Funds | 4.3% |
Asset Backed Obligations | 3.6% |
Cash & Other | 8.6% |
| DoubleLine Core Fixed Income Fund | PAGE 1 | TSR-SAR-258620301 |
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For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Core Fixed Income Fund | PAGE 2 | TSR-SAR-258620301 |
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DoubleLine Core Fixed Income Fund | |
| Class N | DLFNX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Core Fixed Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $36 | 0.69% |
| |
Net Assets | $6,864,530,565 |
Number of Holdings | 1,659 |
Portfolio Turnover | 45% |
Total Advisory Fees Paid | $12,238,483 |
Effective Duration | 5.74 years |
Weighted Average Life | 6.98 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 45.6% |
AA | 3.4% |
A | 8.8% |
BBB | 19.0% |
BB | 5.7% |
B and Below | 9.4% |
Not Rated | 3.6% |
Other | 4.5% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 20.7% |
US Government and Agency Obligations | 18.2% |
Corporate Bonds | 15.8% |
Non-Agency Residential Collateralized Mortgage Obligations | 10.9% |
Affiliated Mutual Funds | 6.7% |
Foreign Corporate Bonds | 5.7% |
Non-Agency Commercial Mortgage Backed Obligations | 5.5% |
Money Market Funds | 4.3% |
Asset Backed Obligations | 3.6% |
Cash & Other | 8.6% |
| DoubleLine Core Fixed Income Fund | PAGE 1 | TSR-SAR-258620400 |
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For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Core Fixed Income Fund | PAGE 2 | TSR-SAR-258620400 |
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DoubleLine Core Fixed Income Fund | |
| Class R6 | DDCFX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Core Fixed Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class R6 | $21 | 0.41% |
| |
Net Assets | $6,864,530,565 |
Number of Holdings | 1,659 |
Portfolio Turnover | 45% |
Total Advisory Fees Paid | $12,238,483 |
Effective Duration | 5.74 years |
Weighted Average Life | 6.98 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 45.6% |
AA | 3.4% |
A | 8.8% |
BBB | 19.0% |
BB | 5.7% |
B and Below | 9.4% |
Not Rated | 3.6% |
Other | 4.5% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 20.7% |
US Government and Agency Obligations | 18.2% |
Corporate Bonds | 15.8% |
Non-Agency Residential Collateralized Mortgage Obligations | 10.9% |
Affiliated Mutual Funds | 6.7% |
Foreign Corporate Bonds | 5.7% |
Non-Agency Commercial Mortgage Backed Obligations | 5.5% |
Money Market Funds | 4.3% |
Asset Backed Obligations | 3.6% |
Cash & Other | 8.6% |
| DoubleLine Core Fixed Income Fund | PAGE 1 | TSR-SAR-258620558 |
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| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Core Fixed Income Fund | PAGE 2 | TSR-SAR-258620558 |
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DoubleLine Emerging Markets Fixed Income Fund | |
| Class I | DBLEX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Emerging Markets Fixed Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $48 | 0.93% |
| |
Net Assets | $454,816,333 |
Number of Holdings | 152 |
Portfolio Turnover | 20% |
Total Advisory Fees Paid | $1,745,309 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
A | 4.2% |
BBB | 43.6% |
BB | 41.0% |
B and Below | 9.3% |
Not Rated | 0.6% |
Other | 1.3% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
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Top Ten Holdings | (% of Net Assets) |
Banco Internacional del Peru SAA Interbank, 4.00%, 07/08/2030 | 2.6% |
Guara Norte Sarl, 5.20%, 06/15/2034 | 2.3% |
Oversea-Chinese Banking Corp. Ltd., 1.83%, 09/10/2030 | 2.0% |
Bancolombia SA, 4.63%, 12/18/2029 | 2.0% |
Network i2i Ltd., 5.65%, 01/15/2025 | 2.0% |
Chile Electricity PEC SpA, 0.00%, 01/25/2028 | 1.9% |
Mexico Government International Bond, 4.40%, 02/12/2052 | 1.9% |
Panama Government International Bond, 3.87%, 07/23/2060 | 1.8% |
Prumo Participacoes e Investimentos S/A, 7.50%, 12/31/2031 | 1.7% |
Cia de Minas Buenaventura SAA, 5.50%, 07/23/2026 | 1.7% |
| DoubleLine Emerging Markets Fixed Income Fund | PAGE 1 | TSR-SAR-258620509 |
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For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Emerging Markets Fixed Income Fund | PAGE 2 | TSR-SAR-258620509 |
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DoubleLine Emerging Markets Fixed Income Fund | |
| Class N | DLENX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Emerging Markets Fixed Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $61 | 1.18% |
| |
Net Assets | $454,816,333 |
Number of Holdings | 152 |
Portfolio Turnover | 20% |
Total Advisory Fees Paid | $1,745,309 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
A | 4.2% |
BBB | 43.6% |
BB | 41.0% |
B and Below | 9.3% |
Not Rated | 0.6% |
Other | 1.3% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
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Top Ten Holdings | (% of Net Assets) |
Banco Internacional del Peru SAA Interbank, 4.00%, 07/08/2030 | 2.6% |
Guara Norte Sarl, 5.20%, 06/15/2034 | 2.3% |
Oversea-Chinese Banking Corp. Ltd., 1.83%, 09/10/2030 | 2.0% |
Bancolombia SA, 4.63%, 12/18/2029 | 2.0% |
Network i2i Ltd., 5.65%, 01/15/2025 | 2.0% |
Chile Electricity PEC SpA, 0.00%, 01/25/2028 | 1.9% |
Mexico Government International Bond, 4.40%, 02/12/2052 | 1.9% |
Panama Government International Bond, 3.87%, 07/23/2060 | 1.8% |
Prumo Participacoes e Investimentos S/A, 7.50%, 12/31/2031 | 1.7% |
Cia de Minas Buenaventura SAA, 5.50%, 07/23/2026 | 1.7% |
| DoubleLine Emerging Markets Fixed Income Fund | PAGE 1 | TSR-SAR-258620608 |
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| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Emerging Markets Fixed Income Fund | PAGE 2 | TSR-SAR-258620608 |
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DoubleLine Low Duration Bond Fund | |
| Class I | DBLSX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Low Duration Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $22 | 0.43% |
| |
Net Assets | $5,809,912,573 |
Number of Holdings | 764 |
Portfolio Turnover | 61% |
Total Advisory Fees Paid | $9,971,139 |
Effective Duration | 1.58 years |
Weighted Average Life | 2.72 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 68.9% |
AA | 2.6% |
A | 5.3% |
BBB | 12.3% |
BB | 3.9% |
B and Below | 0.3% |
Not Rated | 4.9% |
Other | 1.8% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Obligations | 25.8% |
Non-Agency Commercial Mortgage Backed Obligations | 15.4% |
Collateralized Loan Obligations | 13.9% |
Non-Agency Residential Collateralized Mortgage Obligations | 12.5% |
Foreign Corporate Bonds | 8.6% |
Asset Backed Obligations | 7.5% |
Corporate Bonds | 7.0% |
US Government and Agency Mortgage Backed Obligations | 3.0% |
Bank Loans | 2.5% |
Cash & Other | 3.8% |
| DoubleLine Low Duration Bond Fund | PAGE 1 | TSR-SAR-258620863 |
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| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Low Duration Bond Fund | PAGE 2 | TSR-SAR-258620863 |
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DoubleLine Low Duration Bond Fund | |
| Class N | DLSNX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Low Duration Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $34 | 0.68% |
| |
Net Assets | $5,809,912,573 |
Number of Holdings | 764 |
Portfolio Turnover | 61% |
Total Advisory Fees Paid | $9,971,139 |
Effective Duration | 1.58 years |
Weighted Average Life | 2.72 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 68.9% |
AA | 2.6% |
A | 5.3% |
BBB | 12.3% |
BB | 3.9% |
B and Below | 0.3% |
Not Rated | 4.9% |
Other | 1.8% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Obligations | 25.8% |
Non-Agency Commercial Mortgage Backed Obligations | 15.4% |
Collateralized Loan Obligations | 13.9% |
Non-Agency Residential Collateralized Mortgage Obligations | 12.5% |
Foreign Corporate Bonds | 8.6% |
Asset Backed Obligations | 7.5% |
Corporate Bonds | 7.0% |
US Government and Agency Mortgage Backed Obligations | 3.0% |
Bank Loans | 2.5% |
Cash & Other | 3.8% |
| DoubleLine Low Duration Bond Fund | PAGE 1 | TSR-SAR-258620855 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Low Duration Bond Fund | PAGE 2 | TSR-SAR-258620855 |
| | |
DoubleLine Low Duration Bond Fund | |
| Class R6 | DDLDX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Low Duration Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class R6 | $20 | 0.39% |
| |
Net Assets | $5,809,912,573 |
Number of Holdings | 764 |
Portfolio Turnover | 61% |
Total Advisory Fees Paid | $9,971,139 |
Effective Duration | 1.58 years |
Weighted Average Life | 2.72 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 68.9% |
AA | 2.6% |
A | 5.3% |
BBB | 12.3% |
BB | 3.9% |
B and Below | 0.3% |
Not Rated | 4.9% |
Other | 1.8% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Obligations | 25.8% |
Non-Agency Commercial Mortgage Backed Obligations | 15.4% |
Collateralized Loan Obligations | 13.9% |
Non-Agency Residential Collateralized Mortgage Obligations | 12.5% |
Foreign Corporate Bonds | 8.6% |
Asset Backed Obligations | 7.5% |
Corporate Bonds | 7.0% |
US Government and Agency Mortgage Backed Obligations | 3.0% |
Bank Loans | 2.5% |
Cash & Other | 3.8% |
| DoubleLine Low Duration Bond Fund | PAGE 1 | TSR-SAR-258620541 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Low Duration Bond Fund | PAGE 2 | TSR-SAR-258620541 |
| | |
DoubleLine Floating Rate Fund | |
| Class I | DBFRX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Floating Rate Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $40 | 0.78% |
| |
Net Assets | $175,311,110 |
Number of Holdings | 335 |
Portfolio Turnover | 35% |
Total Advisory Fees Paid | $445,900 |
Effective Duration | 0.18 years |
Weighted Average Life | 4.38 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 2.9% |
A | 2.3% |
BBB | 4.1% |
BB | 24.9% |
B and Below | 57.1% |
Not Rated | 2.1% |
Other | 6.6% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Bank Loans | 86.5% |
Money Market Funds | 8.1% |
Corporate Bonds | 4.4% |
Collateralized Loan Obligations | 2.9% |
Foreign Corporate Bonds | 0.2% |
Cash & Other | -2.1% |
| DoubleLine Floating Rate Fund | PAGE 1 | TSR-SAR-258620848 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Floating Rate Fund | PAGE 2 | TSR-SAR-258620848 |
| | |
DoubleLine Floating Rate Fund | |
| Class N | DLFRX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Floating Rate Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $52 | 1.03% |
| |
Net Assets | $175,311,110 |
Number of Holdings | 335 |
Portfolio Turnover | 35% |
Total Advisory Fees Paid | $445,900 |
Effective Duration | 0.18 years |
Weighted Average Life | 4.38 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 2.9% |
A | 2.3% |
BBB | 4.1% |
BB | 24.9% |
B and Below | 57.1% |
Not Rated | 2.1% |
Other | 6.6% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Bank Loans | 86.5% |
Money Market Funds | 8.1% |
Corporate Bonds | 4.4% |
Collateralized Loan Obligations | 2.9% |
Foreign Corporate Bonds | 0.2% |
Cash & Other | -2.1% |
| DoubleLine Floating Rate Fund | PAGE 1 | TSR-SAR-258620830 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Floating Rate Fund | PAGE 2 | TSR-SAR-258620830 |
| | |
DoubleLine Shiller Enhanced CAPE® | |
| Class I | DSEEX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Shiller Enhanced CAPE® for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $28 | 0.54% |
| |
Net Assets | $4,002,777,627 |
Number of Holdings | 770 |
Portfolio Turnover | 59% |
Total Advisory Fees Paid | $8,969,357 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 61.7% |
AA | 3.4% |
A | 6.2% |
BBB | 12.5% |
BB | 3.4% |
B and Below | 4.5% |
Not Rated | 5.0% |
Other | 3.3% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Obligations | 27.7% |
Collateralized Loan Obligations | 12.9% |
Non-Agency Commercial Mortgage Backed Obligations | 11.7% |
Non-Agency Residential Collateralized Mortgage Obligations | 10.4% |
Excess Return Swaps | 8.1% |
Asset Backed Obligations | 7.3% |
Corporate Bonds | 6.4% |
Foreign Corporate Bonds | 5.1% |
Bank Loans | 4.0% |
Cash & Other | 6.4% |
| |
CAPE Sector Breakdown* | (% of Net Assets) |
Communication Services | 26.0% |
Real Estate | 24.9% |
Financials | 24.6% |
Consumer Staples | 24.5% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| DoubleLine Shiller Enhanced CAPE® | PAGE 1 | TSR-SAR-258620822 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Shiller Enhanced CAPE® | PAGE 2 | TSR-SAR-258620822 |
| | |
DoubleLine Shiller Enhanced CAPE® | |
| Class N | DSENX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Shiller Enhanced CAPE® for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $41 | 0.79% |
| |
Net Assets | $4,002,777,627 |
Number of Holdings | 770 |
Portfolio Turnover | 59% |
Total Advisory Fees Paid | $8,969,357 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 61.7% |
AA | 3.4% |
A | 6.2% |
BBB | 12.5% |
BB | 3.4% |
B and Below | 4.5% |
Not Rated | 5.0% |
Other | 3.3% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Obligations | 27.7% |
Collateralized Loan Obligations | 12.9% |
Non-Agency Commercial Mortgage Backed Obligations | 11.7% |
Non-Agency Residential Collateralized Mortgage Obligations | 10.4% |
Excess Return Swaps | 8.1% |
Asset Backed Obligations | 7.3% |
Corporate Bonds | 6.4% |
Foreign Corporate Bonds | 5.1% |
Bank Loans | 4.0% |
Cash & Other | 6.4% |
| |
CAPE Sector Breakdown* | (% of Net Assets) |
Communication Services | 26.0% |
Real Estate | 24.9% |
Financials | 24.6% |
Consumer Staples | 24.5% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| DoubleLine Shiller Enhanced CAPE® | PAGE 1 | TSR-SAR-258620814 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Shiller Enhanced CAPE® | PAGE 2 | TSR-SAR-258620814 |
| | |
DoubleLine Shiller Enhanced CAPE® | |
| Class R6 | DDCPX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Shiller Enhanced CAPE® for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class R6 | $26 | 0.50% |
| |
Net Assets | $4,002,777,627 |
Number of Holdings | 770 |
Portfolio Turnover | 59% |
Total Advisory Fees Paid | $8,969,357 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 61.7% |
AA | 3.4% |
A | 6.2% |
BBB | 12.5% |
BB | 3.4% |
B and Below | 4.5% |
Not Rated | 5.0% |
Other | 3.3% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Obligations | 27.7% |
Collateralized Loan Obligations | 12.9% |
Non-Agency Commercial Mortgage Backed Obligations | 11.7% |
Non-Agency Residential Collateralized Mortgage Obligations | 10.4% |
Excess Return Swaps | 8.1% |
Asset Backed Obligations | 7.3% |
Corporate Bonds | 6.4% |
Foreign Corporate Bonds | 5.1% |
Bank Loans | 4.0% |
Cash & Other | 6.4% |
| |
CAPE Sector Breakdown* | (% of Net Assets) |
Communication Services | 26.0% |
Real Estate | 24.9% |
Financials | 24.6% |
Consumer Staples | 24.5% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| DoubleLine Shiller Enhanced CAPE® | PAGE 1 | TSR-SAR-258620525 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Shiller Enhanced CAPE® | PAGE 2 | TSR-SAR-258620525 |
| | |
DoubleLine Flexible Income Fund | |
| Class I | DFLEX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Flexible Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $38 | 0.74% |
| |
Net Assets | $1,090,938,907 |
Number of Holdings | 1,117 |
Portfolio Turnover | 23% |
Total Advisory Fees Paid | $3,138,057 |
Effective Duration | 1.54 years |
Weighted Average Life | 3.82 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 32.0% |
AA | 3.8% |
A | 5.4% |
BBB | 23.0% |
BB | 12.4% |
B and Below | 13.7% |
Not Rated | 4.5% |
Other | 5.2% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Collateralized Loan Obligations | 17.4% |
Non-Agency Residential Collateralized Mortgage Obligations | 16.0% |
US Government and Agency Mortgage Backed Obligations | 10.8% |
Non-Agency Commercial Mortgage Backed Obligations | 9.6% |
Bank Loans | 9.4% |
US Government and Agency Obligations | 9.1% |
U.S. Treasury Bills | 7.3% |
Money Market Funds | 6.1% |
Foreign Corporate Bonds | 5.0% |
Cash & Other | 9.3% |
| DoubleLine Flexible Income Fund | PAGE 1 | TSR-SAR-258620798 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Flexible Income Fund | PAGE 2 | TSR-SAR-258620798 |
| | |
DoubleLine Flexible Income Fund | |
| Class N | DLINX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Flexible Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $50 | 0.98% |
| |
Net Assets | $1,090,938,907 |
Number of Holdings | 1,117 |
Portfolio Turnover | 23% |
Total Advisory Fees Paid | $3,138,057 |
Effective Duration | 1.54 years |
Weighted Average Life | 3.82 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 32.0% |
AA | 3.8% |
A | 5.4% |
BBB | 23.0% |
BB | 12.4% |
B and Below | 13.7% |
Not Rated | 4.5% |
Other | 5.2% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Collateralized Loan Obligations | 17.4% |
Non-Agency Residential Collateralized Mortgage Obligations | 16.0% |
US Government and Agency Mortgage Backed Obligations | 10.8% |
Non-Agency Commercial Mortgage Backed Obligations | 9.6% |
Bank Loans | 9.4% |
US Government and Agency Obligations | 9.1% |
U.S. Treasury Bills | 7.3% |
Money Market Funds | 6.1% |
Foreign Corporate Bonds | 5.0% |
Cash & Other | 9.3% |
| DoubleLine Flexible Income Fund | PAGE 1 | TSR-SAR-258620780 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Flexible Income Fund | PAGE 2 | TSR-SAR-258620780 |
| | |
DoubleLine Flexible Income Fund | |
| Class R6 | DFFLX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Flexible Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class R6 | $36 | 0.69% |
| |
Net Assets | $1,090,938,907 |
Number of Holdings | 1,117 |
Portfolio Turnover | 23% |
Total Advisory Fees Paid | $3,138,057 |
Effective Duration | 1.54 years |
Weighted Average Life | 3.82 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 32.0% |
AA | 3.8% |
A | 5.4% |
BBB | 23.0% |
BB | 12.4% |
B and Below | 13.7% |
Not Rated | 4.5% |
Other | 5.2% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Collateralized Loan Obligations | 17.4% |
Non-Agency Residential Collateralized Mortgage Obligations | 16.0% |
US Government and Agency Mortgage Backed Obligations | 10.8% |
Non-Agency Commercial Mortgage Backed Obligations | 9.6% |
Bank Loans | 9.4% |
US Government and Agency Obligations | 9.1% |
U.S. Treasury Bills | 7.3% |
Money Market Funds | 6.1% |
Foreign Corporate Bonds | 5.0% |
Cash & Other | 9.3% |
| DoubleLine Flexible Income Fund | PAGE 1 | TSR-SAR-258620533 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Flexible Income Fund | PAGE 2 | TSR-SAR-258620533 |
| | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | |
| Class I | DBLLX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Low Duration Emerging Markets Fixed Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $30 | 0.59% |
| |
Net Assets | $158,754,067 |
Number of Holdings | 100 |
Portfolio Turnover | 24% |
Total Advisory Fees Paid | $291,379 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
A | 11.2% |
BBB | 49.6% |
BB | 36.1% |
B and Below | 1.7% |
Not Rated | 0.3% |
| Other | 1.1% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Top Ten Holdings | (% of Net Assets) |
Bancolombia SA, 4.63%, 12/18/2029 | 2.9% |
Chile Electricity PEC SpA, 0.00%, 01/25/2028 | 2.5% |
DBS Group Holdings Ltd., 1.82%, 03/10/2031 | 2.3% |
United Overseas Bank Ltd., 1.75%, 03/16/2031 | 2.3% |
AI Candelaria Spain SA, 7.50%, 12/15/2028 | 2.2% |
Freeport-McMoRan, Inc., 4.13%, 03/01/2028 | 2.2% |
MEGlobal Canada ULC, 5.00%, 05/18/2025 | 2.1% |
Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT, 4.75%, 05/15/2025 | 2.1% |
Reliance Industries Ltd., 4.13%, 01/28/2025 | 2.0% |
Cosan Luxembourg SA, 7.00%, 01/20/2027 | 2.0% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Low Duration Emerging Markets Fixed Income Fund | PAGE 1 | TSR-SAR-258620772 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Low Duration Emerging Markets Fixed Income Fund | PAGE 2 | TSR-SAR-258620772 |
| | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | |
| Class N | DELNX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Low Duration Emerging Markets Fixed Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $43 | 0.84% |
| |
Net Assets | $158,754,067 |
Number of Holdings | 100 |
Portfolio Turnover | 24% |
Total Advisory Fees Paid | $291,379 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
A | 11.2% |
BBB | 49.6% |
BB | 36.1% |
B and Below | 1.7% |
Not Rated | 0.3% |
| Other | 1.1% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Top Ten Holdings | (% of Net Assets) |
Bancolombia SA, 4.63%, 12/18/2029 | 2.9% |
Chile Electricity PEC SpA, 0.00%, 01/25/2028 | 2.5% |
DBS Group Holdings Ltd., 1.82%, 03/10/2031 | 2.3% |
United Overseas Bank Ltd., 1.75%, 03/16/2031 | 2.3% |
AI Candelaria Spain SA, 7.50%, 12/15/2028 | 2.2% |
Freeport-McMoRan, Inc., 4.13%, 03/01/2028 | 2.2% |
MEGlobal Canada ULC, 5.00%, 05/18/2025 | 2.1% |
Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT, 4.75%, 05/15/2025 | 2.1% |
Reliance Industries Ltd., 4.13%, 01/28/2025 | 2.0% |
Cosan Luxembourg SA, 7.00%, 01/20/2027 | 2.0% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Low Duration Emerging Markets Fixed Income Fund | PAGE 1 | TSR-SAR-258620764 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Low Duration Emerging Markets Fixed Income Fund | PAGE 2 | TSR-SAR-258620764 |
| | |
DoubleLine Long Duration Total Return Bond Fund | |
| Class I | DBLDX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Long Duration Total Return Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $26 | 0.50% |
| |
Net Assets | $68,959,046 |
Number of Holdings | 63 |
Portfolio Turnover | 62% |
Total Advisory Fees Paid | $66,009 |
Effective Duration | 14.26 years |
Weighted Average Life | 8.67 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 100.1% |
Other | -0.1% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 69.4% |
U.S. Treasury Bills | 24.3% |
Money Market Funds | 10.0% |
US Government and Agency Obligations | 6.2% |
Futures Contracts | -0.6% |
Cash & Other | -9.3% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Long Duration Total Return Bond Fund | PAGE 1 | TSR-SAR-258620749 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Long Duration Total Return Bond Fund | PAGE 2 | TSR-SAR-258620749 |
| | |
DoubleLine Long Duration Total Return Bond Fund | |
| Class N | DLLDX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Long Duration Total Return Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $39 | 0.75% |
| |
Net Assets | $68,959,046 |
Number of Holdings | 63 |
Portfolio Turnover | 62% |
Total Advisory Fees Paid | $66,009 |
Effective Duration | 14.26 years |
Weighted Average Life | 8.67 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 100.1% |
Other | -0.1% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
US Government and Agency Mortgage Backed Obligations | 69.4% |
U.S. Treasury Bills | 24.3% |
Money Market Funds | 10.0% |
US Government and Agency Obligations | 6.2% |
Futures Contracts | -0.6% |
Cash & Other | -9.3% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Long Duration Total Return Bond Fund | PAGE 1 | TSR-SAR-258620731 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Long Duration Total Return Bond Fund | PAGE 2 | TSR-SAR-258620731 |
| | |
DoubleLine Strategic Commodity Fund | |
| Class I | DBCMX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Strategic Commodity Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $53 | 1.10% |
| |
Net Assets | $127,911,413 |
Number of Holdings | 16 |
Portfolio Turnover | 0% |
Total Advisory Fees Paid | $627,824 |
WHAT DID THE FUND INVEST IN?
| |
Morgan Stanley BFMCISM Breakdown | (% of Net Assets) |
Energy | 30.7% |
Grains | 18.4% |
Livestock | 5.2% |
Metals | 36.9% |
Softs | 8.8% |
| |
Portfolio Sector Allocation Breakdown* | (% of Net Assets) |
Morgan Stanley BFMCI | 58.4% |
Tactical Commodity Exposure | 41.6% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| |
Tactical Commodity Exposure Breakdown* | (% of Net Assets) |
Long Commodity Allocation | 51% |
Short Commodity Allocation | 49% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Strategic Commodity Fund | PAGE 1 | TSR-SAR-258620715 |
| | |
DoubleLine Strategic Commodity Fund | |
| Class N | DLCMX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Strategic Commodity Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $65 | 1.35% |
| |
Net Assets | $127,911,413 |
Number of Holdings | 16 |
Portfolio Turnover | 0% |
Total Advisory Fees Paid | $627,824 |
WHAT DID THE FUND INVEST IN?
| |
Morgan Stanley BFMCISM Breakdown | (% of Net Assets) |
Energy | 30.7% |
Grains | 18.4% |
Livestock | 5.2% |
Metals | 36.9% |
Softs | 8.8% |
| |
Portfolio Sector Allocation Breakdown* | (% of Net Assets) |
Morgan Stanley BFMCI | 58.4% |
Tactical Commodity Exposure | 41.6% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| |
Tactical Commodity Exposure Breakdown* | (% of Net Assets) |
Long Commodity Allocation | 51% |
Short Commodity Allocation | 49% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Strategic Commodity Fund | PAGE 1 | TSR-SAR-258620723 |
| | |
DoubleLine Global Bond Fund | |
| Class I | DBLGX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Global Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $32 | 0.62% |
| |
Net Assets | $149,999,941 |
Number of Holdings | 61 |
Portfolio Turnover | 65% |
Total Advisory Fees Paid | $363,453 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown | (% of Net Assets) |
AAA | 47.9% |
AA | 13.0% |
A | 21.8% |
BBB | 11.2% |
BB | 4.5% |
Other | 1.6% |
| |
Top Ten Holdings | (% of Net Assets) |
United States Treasury Note/Bond, 0.63%, 08/15/2030 | 3.7% |
| Japan Government Ten Year Bond, 0.10%, 12/20/2027 | 3.7% |
United States Treasury Note/Bond, 0.75%, 01/31/2028 | 3.5% |
United States Treasury Note/Bond, 0.75%, 05/31/2026 | 3.5% |
United States Treasury Note/Bond, 0.88%, 11/15/2030 | 3.5% |
| Romania Government Bond, 3.70%, 11/25/2024 | 3.2% |
Spain Government Bond, 0.60%, 10/31/2029 | 3.0% |
Bundesrepublik Deutschland Bundesanleihe, 0.00%, 08/15/2030 | 2.9% |
United States Treasury Note/Bond, 1.25%, 05/15/2050 | 2.6% |
Peru Government Bond, 6.15%, 08/12/2032 | 2.5% |
| DoubleLine Global Bond Fund | PAGE 1 | TSR-SAR-258620699 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Global Bond Fund | PAGE 2 | TSR-SAR-258620699 |
| | |
DoubleLine Global Bond Fund | |
| Class N | DLGBX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Global Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $45 | 0.87% |
| |
Net Assets | $149,999,941 |
Number of Holdings | 61 |
Portfolio Turnover | 65% |
Total Advisory Fees Paid | $363,453 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown | (% of Net Assets) |
AAA | 47.9% |
AA | 13.0% |
A | 21.8% |
BBB | 11.2% |
BB | 4.5% |
Other | 1.6% |
| |
Top Ten Holdings | (% of Net Assets) |
United States Treasury Note/Bond, 0.63%, 08/15/2030 | 3.7% |
| Japan Government Ten Year Bond, 0.10%, 12/20/2027 | 3.7% |
United States Treasury Note/Bond, 0.75%, 01/31/2028 | 3.5% |
United States Treasury Note/Bond, 0.75%, 05/31/2026 | 3.5% |
United States Treasury Note/Bond, 0.88%, 11/15/2030 | 3.5% |
| Romania Government Bond, 3.70%, 11/25/2024 | 3.2% |
Spain Government Bond, 0.60%, 10/31/2029 | 3.0% |
Bundesrepublik Deutschland Bundesanleihe, 0.00%, 08/15/2030 | 2.9% |
United States Treasury Note/Bond, 1.25%, 05/15/2050 | 2.6% |
Peru Government Bond, 6.15%, 08/12/2032 | 2.5% |
| DoubleLine Global Bond Fund | PAGE 1 | TSR-SAR-258620681 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Global Bond Fund | PAGE 2 | TSR-SAR-258620681 |
| | |
DoubleLine Infrastructure Income Fund | |
| Class I | BILDX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Infrastructure Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $30 | 0.58% |
| |
Net Assets | $390,049,636 |
Number of Holdings | 99 |
Portfolio Turnover | 27% |
Total Advisory Fees Paid | $932,906 |
Effective Duration | 5.65 years |
Weighted Average Life | 8.06 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 10.8% |
AA | 5.5% |
A | 25.4% |
BBB | 51.4% |
BB | 4.2% |
Other | 2.7% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Corporate Bonds | 41.0% |
Asset Backed Obligations | 36.2% |
US Government and Agency Obligations | 9.4% |
Foreign Corporate Bonds | 9.0% |
Money Market Funds | 2.1% |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 1.7% |
Cash & Other | 0.6% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Infrastructure Income Fund | PAGE 1 | TSR-SAR-258620673 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Infrastructure Income Fund | PAGE 2 | TSR-SAR-258620673 |
| | |
DoubleLine Infrastructure Income Fund | |
| Class N | BILTX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Infrastructure Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $43 | 0.83% |
| |
Net Assets | $390,049,636 |
Number of Holdings | 99 |
Portfolio Turnover | 27% |
Total Advisory Fees Paid | $932,906 |
Effective Duration | 5.65 years |
Weighted Average Life | 8.06 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 10.8% |
AA | 5.5% |
A | 25.4% |
BBB | 51.4% |
BB | 4.2% |
Other | 2.7% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Corporate Bonds | 41.0% |
Asset Backed Obligations | 36.2% |
US Government and Agency Obligations | 9.4% |
Foreign Corporate Bonds | 9.0% |
Money Market Funds | 2.1% |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 1.7% |
Cash & Other | 0.6% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Infrastructure Income Fund | PAGE 1 | TSR-SAR-258620665 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Infrastructure Income Fund | PAGE 2 | TSR-SAR-258620665 |
| | |
DoubleLine Shiller Enhanced International CAPE® | |
| Class I | DSEUX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Shiller Enhanced International CAPE® for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $33 | 0.62% |
| |
Net Assets | $36,417,772 |
Number of Holdings | 203 |
Portfolio Turnover | 40% |
Total Advisory Fees Paid | $11,294 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 55.0% |
AA | 4.7% |
A | 5.0% |
BBB | 10.2% |
BB | 4.9% |
B and Below | 8.8% |
Not Rated | 4.1% |
Other | 7.3% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Non-Agency Residential Collateralized Mortgage Obligations | 15.4% |
US Government and Agency Obligations | 14.8% |
Collateralized Loan Obligations | 14.4% |
Non-Agency Commercial Mortgage Backed Obligations | 12.4% |
Asset Backed Obligations | 7.1% |
Corporate Bonds | 7.0% |
Excess Return Swaps | 6.6% |
Money Market Funds | 6.2% |
Affiliated Mutual Funds | 4.5% |
Cash & Other | 11.6% |
| |
CAPE Sector Breakdown* | (% of Net Assets) |
Materials | 26.0% |
Consumer Discretionary | 25.2% |
Utilities | 24.5% |
Telecommunications | 24.3% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| DoubleLine Shiller Enhanced International CAPE® | PAGE 1 | TSR-SAR-258620632 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Shiller Enhanced International CAPE® | PAGE 2 | TSR-SAR-258620632 |
| | |
DoubleLine Shiller Enhanced International CAPE® | |
| Class N | DLEUX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Shiller Enhanced International CAPE® for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $45 | 0.87% |
| |
Net Assets | $36,417,772 |
Number of Holdings | 203 |
Portfolio Turnover | 40% |
Total Advisory Fees Paid | $11,294 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 55.0% |
AA | 4.7% |
A | 5.0% |
BBB | 10.2% |
BB | 4.9% |
B and Below | 8.8% |
Not Rated | 4.1% |
Other | 7.3% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Non-Agency Residential Collateralized Mortgage Obligations | 15.4% |
US Government and Agency Obligations | 14.8% |
Collateralized Loan Obligations | 14.4% |
Non-Agency Commercial Mortgage Backed Obligations | 12.4% |
Asset Backed Obligations | 7.1% |
Corporate Bonds | 7.0% |
Excess Return Swaps | 6.6% |
Money Market Funds | 6.2% |
Affiliated Mutual Funds | 4.5% |
Cash & Other | 11.6% |
| |
CAPE Sector Breakdown* | (% of Net Assets) |
Materials | 26.0% |
Consumer Discretionary | 25.2% |
Utilities | 24.5% |
Telecommunications | 24.3% |
| * | The Fund gained exposure to these allocations through the use of swap contracts. |
| DoubleLine Shiller Enhanced International CAPE® | PAGE 1 | TSR-SAR-258620624 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Shiller Enhanced International CAPE® | PAGE 2 | TSR-SAR-258620624 |
| | |
DoubleLine Emerging Markets Local Currency Bond Fund | |
| Class I | DBELX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Emerging Markets Local Currency Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $46 | 0.90% |
| |
Net Assets | $12,933,295 |
Number of Holdings | 50 |
Portfolio Turnover | 15% |
Total Advisory Fees Paid | $0 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 16.0% |
AA | 5.7% |
A | 18.1% |
BBB | 32.8% |
BB | 25.8% |
Other | 1.6% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Currency Exposure Breakdown | (% of Net Assets) |
| South African Rand | 15.4% |
| Indonesian Rupiah | 12.3% |
Mexican Peso | 11.3% |
Brazilian Real | 10.3% |
Polish Zloty | 9.3% |
| Thai Baht | 4.9% |
| Chinese Yuan Renminbi | 4.8% |
Malaysian Ringgit | 4.7% |
| Romanian New Leu | 4.6% |
Czech Koruna | 4.6% |
| Peruvian Nuevo Sol | 4.1% |
Hungarian Forint | 4.0% |
Indian Rupee | 3.9% |
Colombian Peso | 2.7% |
U.S. Dollar | 1.6% |
Chilean Peso | 0.8% |
Philippine Peso | 0.7% |
| DoubleLine Emerging Markets Local Currency Bond Fund | PAGE 1 | TSR-SAR-258620582 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Emerging Markets Local Currency Bond Fund | PAGE 2 | TSR-SAR-258620582 |
| | |
DoubleLine Emerging Markets Local Currency Bond Fund | |
| Class N | DLELX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Emerging Markets Local Currency Bond Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $59 | 1.15% |
| |
Net Assets | $12,933,295 |
Number of Holdings | 50 |
Portfolio Turnover | 15% |
Total Advisory Fees Paid | $0 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 16.0% |
AA | 5.7% |
A | 18.1% |
BBB | 32.8% |
BB | 25.8% |
Other | 1.6% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Currency Exposure Breakdown | (% of Net Assets) |
| South African Rand | 15.4% |
| Indonesian Rupiah | 12.3% |
Mexican Peso | 11.3% |
Brazilian Real | 10.3% |
Polish Zloty | 9.3% |
| Thai Baht | 4.9% |
| Chinese Yuan Renminbi | 4.8% |
Malaysian Ringgit | 4.7% |
| Romanian New Leu | 4.6% |
Czech Koruna | 4.6% |
| Peruvian Nuevo Sol | 4.1% |
Hungarian Forint | 4.0% |
Indian Rupee | 3.9% |
Colombian Peso | 2.7% |
U.S. Dollar | 1.6% |
Chilean Peso | 0.8% |
Philippine Peso | 0.7% |
| DoubleLine Emerging Markets Local Currency Bond Fund | PAGE 1 | TSR-SAR-258620574 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Emerging Markets Local Currency Bond Fund | PAGE 2 | TSR-SAR-258620574 |
| | |
DoubleLine Income Fund | |
| Class I | DBLIX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $33 | 0.65% |
| |
Net Assets | $102,517,667 |
Number of Holdings | 185 |
Portfolio Turnover | 15% |
Total Advisory Fees Paid | $181,205 |
Effective Duration | 1.52 years |
Weighted Average Life | 4.51 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 37.2% |
AA | 5.4% |
A | 2.3% |
BBB | 34.3% |
BB | 8.1% |
B and Below | 3.6% |
Not Rated | 7.3% |
Other | 1.8% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Non-Agency Residential Collateralized Mortgage Obligations | 29.2% |
Non-Agency Commercial Mortgage Backed Obligations | 21.9% |
Collateralized Loan Obligations | 21.6% |
US Government and Agency Mortgage Backed Obligations | 16.3% |
Asset Backed Obligations | 8.7% |
Money Market Funds | 1.6% |
Cash & Other | 0.7% |
| DoubleLine Income Fund | PAGE 1 | TSR-SAR-258620517 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Income Fund | PAGE 2 | TSR-SAR-258620517 |
| | |
DoubleLine Income Fund | |
| Class N | DBLNX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Income Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $46 | 0.90% |
| |
Net Assets | $102,517,667 |
Number of Holdings | 185 |
Portfolio Turnover | 15% |
Total Advisory Fees Paid | $181,205 |
Effective Duration | 1.52 years |
Weighted Average Life | 4.51 years |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 37.2% |
AA | 5.4% |
A | 2.3% |
BBB | 34.3% |
BB | 8.1% |
B and Below | 3.6% |
Not Rated | 7.3% |
Other | 1.8% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Non-Agency Residential Collateralized Mortgage Obligations | 29.2% |
Non-Agency Commercial Mortgage Backed Obligations | 21.9% |
Collateralized Loan Obligations | 21.6% |
US Government and Agency Mortgage Backed Obligations | 16.3% |
Asset Backed Obligations | 8.7% |
Money Market Funds | 1.6% |
Cash & Other | 0.7% |
| DoubleLine Income Fund | PAGE 1 | TSR-SAR-258620491 |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Income Fund | PAGE 2 | TSR-SAR-258620491 |
| | |
DoubleLine Multi-Asset Trend Fund | |
| Class I | DBMOX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Multi-Asset Trend Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class I | $16 | 0.33% |
| |
Net Assets | $11,968,007 |
Number of Holdings | 11 |
Portfolio Turnover | 10% |
Total Advisory Fees Paid | $0 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 48.8% |
AA | 2.0% |
A | 3.5% |
BBB | 11.3% |
BB | 7.0% |
B and Below | 9.6% |
Not Rated | 3.8% |
Other | 14.0% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Affiliated Mutual Funds | 83.6% |
Money Market Funds | 8.6% |
US Government and Agency Obligations | 6.6% |
Excess Return Swaps | -2.5% |
Cash & Other | 3.7% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Multi-Asset Trend Fund | PAGE 1 | TSR-SAR-258620483 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Multi-Asset Trend Fund | PAGE 2 | TSR-SAR-258620483 |
| | |
DoubleLine Multi-Asset Trend Fund | |
| Class N | DLMOX |
| Semi-Annual Shareholder Report | September 30, 2024 |
This semi-annual shareholder report contains important information about the DoubleLine Multi-Asset Trend Fund for the period of April 1, 2024, to September 30, 2024. You can find additional information about the Fund at https://doubleline.com/fund-documents/. You can also request this information by contacting us at 1 (877) 354-6311.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment* |
| Class N | $28 | 0.58% |
| |
Net Assets | $11,968,007 |
Number of Holdings | 11 |
Portfolio Turnover | 10% |
Total Advisory Fees Paid | $0 |
WHAT DID THE FUND INVEST IN?
| |
Credit Quality Breakdown* | (% of Net Assets) |
AAA | 48.8% |
AA | 2.0% |
A | 3.5% |
BBB | 11.3% |
BB | 7.0% |
B and Below | 9.6% |
Not Rated | 3.8% |
Other | 14.0% |
| * | Credit quality ratings reflect the highest rating assigned by S&P Global Ratings, Fitch Ratings Inc. or Moody’s Investor Services, Inc. if ratings differ. These ratings agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are BBB/Baa or higher. Below investment grade ratings are BB/Ba or lower. |
| |
Sector Breakdown | (% of Net Assets) |
Affiliated Mutual Funds | 83.6% |
Money Market Funds | 8.6% |
US Government and Agency Obligations | 6.6% |
Excess Return Swaps | -2.5% |
Cash & Other | 3.7% |
| |
| |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy voting information, scan the QR code or visit https://doubleline.com/fund-documents/. |
| DoubleLine Multi-Asset Trend Fund | PAGE 1 | TSR-SAR-258620475 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your DoubleLine documents not be householded, please contact DoubleLine at 1 (877) 354-6311, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by DoubleLine or your financial intermediary.
| DoubleLine Multi-Asset Trend Fund | PAGE 2 | TSR-SAR-258620475 |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to Registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
Schedule of Investments is included within the financial statements filed under Item 7 of this Form N-CSR.
Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.
Semi-Annual Financial Statements and Other Information
September 30, 2024
| | | | | | | | | | | | |
| | DoubleLine Total Return Bond Fund | | | DBLTX | | | DLTNX | | | DDTRX | |
| | DoubleLine Core Fixed Income Fund | | | DBLFX | | | DLFNX | | | DDCFX | |
| | DoubleLine Emerging Markets Fixed Income Fund | | | DBLEX | | | DLENX | | | — | |
| | DoubleLine Low Duration Bond Fund | | | DBLSX | | | DLSNX | | | DDLDX | |
| | DoubleLine Floating Rate Fund | | | DBFRX | | | DLFRX | | | — | |
| | DoubleLine Shiller Enhanced CAPE® | | | DSEEX | | | DSENX | | | DDCPX | |
| | DoubleLine Flexible Income Fund | | | DFLEX | | | DLINX | | | DFFLX | |
| | DoubleLine Low Duration Emerging Markets
Fixed Income Fund | | | DBLLX | | | DELNX | | | — | |
| | DoubleLine Long Duration Total Return Bond Fund | | | DBLDX | | | DLLDX | | | — | |
| | DoubleLine Strategic Commodity Fund | | | DBCMX | | | DLCMX | | | — | |
| | DoubleLine Global Bond Fund | | | DBLGX | | | DLGBX | | | — | |
| | DoubleLine Infrastructure Income Fund | | | BILDX | | | BILTX | | | — | |
| | DoubleLine Shiller Enhanced International CAPE® | | | DSEUX | | | DLEUX | | | — | |
| | DoubleLine Emerging Markets Local Currency Bond Fund | | | DBELX | | | DLELX | | | — | |
| | DoubleLine Income Fund | | | DBLIX | | | DBLNX | | | — | |
| | DoubleLine Multi-Asset Trend Fund | | | DBMOX | | | DLMOX | | | — | |
| | | | | | | | | | | | |
DoubleLine || 2002 North Tampa Street, Suite 200 || Tampa, FL 33602 || (813) 791-7333
fundinfo@doubleline.com || www.doubleline.com
Semi-Annual Report | | | September 30, 2024 | 3
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Total Return Bond Fund | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS - 4.7% | |
| | | | | Affirm, Inc. | |
| | 26,635,000 | | | Series 2023-B-A | | | 6.82%(a) | | | 09/15/2028 | | | 27,191,387 | |
| | | | | Aligned Data Centers Issuer LLC | |
| | 12,950,000 | | | Series 2021-1A-A2 | | | 1.94%(a) | | | 08/15/2046 | | | 12,280,508 | |
| | 11,550,000 | | | Series 2021-1A-B | | | 2.48%(a) | | | 08/15/2046 | | | 10,820,641 | |
| | | | | Apollo Aviation Securitization Equity Trust | |
| | 3,596,243 | | | Series 2018-1A-B | | | 5.44%(a) | | | 01/16/2038 | | | 1,081,016 | |
| | 9,786,545 | | | Series 2020-1A-A | | | 3.35%(a) | | | 01/16/2040 | | | 9,428,543 | |
| | 12,046,974 | | | Series 2024-1A-A1 | | | 6.26%(a) | | | 05/16/2049 | | | 12,532,576 | |
| | 34,852,947 | | | Series 2024-1A-B | | | 6.90%(a) | | | 05/16/2049 | | | 35,707,785 | |
| | | | | Bojangles Issuer LLC | |
| | 21,123,750 | | | Series 2020-1A-A2 | | | 3.83%(a) | | | 10/20/2050 | | | 21,037,240 | |
| | | | | CAI International, Inc. | |
| | 11,497,200 | | | Series 2020-1A-A | | | 2.22%(a) | | | 09/25/2045 | | | 10,734,631 | |
| | | | | Cajun Global LLC | |
| | 9,700,000 | | | Series 2021-1-A2 | | | 3.93%(a) | | | 11/20/2051 | | | 9,150,188 | |
| | | | | Carbon Level Mitigation Trust | |
| | 18,330,309 | | | Series 2021-3-CERT | | | 1.79%(a)(b) | | | 09/08/2051 | | | 11,512,882 | |
| | 28,208,024 | | | Series 2022-3-CERT | | | 0.23%(a) | | | 11/21/2052 | | | 15,412,808 | |
| | | | | Carvana Auto Receivables Trust | |
| | 10,770,000 | | | Series 2024-P3-B | | | 4.53% | | | 11/11/2030 | | | 10,722,832 | |
| | | | | Castlelake Aircraft Securitization Trust | |
| | 6,161,133 | | | Series 2017-1R-A | | | 2.74%(a) | | | 08/15/2041 | | | 5,792,685 | |
| | | | | Coinstar Funding LLC | |
| | 11,867,363 | | | Series 2017-1A-A2 | | | 5.22%(a) | | | 04/25/2047 | | | 10,564,053 | |
| | | | | Commonbond Student Loan Trust | |
| | 1,506,790 | | | Series 2016-A-A1 | | | 3.32%(a) | | | 05/25/2040 | | | 1,456,614 | |
| | | | | Compass Datacenters LLC | |
| | 10,680,000 | | | Series 2024-1A-A1 | | | 5.25%(a) | | | 02/25/2049 | | | 10,788,421 | |
| | | | | Container Leasing International LLC | |
| | 4,452,396 | | | Series 2020-1A-A | | | 2.08%(a) | | | 09/18/2045 | | | 4,123,852 | |
| | | | | Cyrusone Holdco LLC | |
| | 18,200,000 | | | Series 2023-1A-A2 | | | 4.30%(a) | | | 04/20/2048 | | | 17,647,608 | |
| | | | | DataBank Issuer | |
| | 39,300,000 | | | Series 2021-1A-A2 | | | 2.06%(a) | | | 02/27/2051 | | | 37,492,746 | |
| | 31,000,000 | | | Series 2021-2A-A2 | | | 2.40%(a) | | | 10/25/2051 | | | 29,266,902 | |
| | 3,350,000 | | | Series 2021-2A-B | | | 2.79%(a) | | | 10/25/2051 | | | 3,019,232 | |
| | | | | DB Master Finance Parent LLC | |
| | 27,959,375 | | | Series 2021-1A-A23 | | | 2.79%(a) | | | 11/20/2051 | | | 24,545,558 | |
| | | | | Diamond Issuer | |
| | 6,000,000 | | | Series 2021-1A-B | | | 2.70%(a) | | | 11/20/2051 | | | 5,504,654 | |
| | | | | Diversified Energy Co. PLC | |
| | 11,606,797 | | | Series 2024-1A-A1 | | | 7.08%(a) | | | 05/30/2044 | | | 11,914,888 | |
| | | | | Dividend Solar Loans LLC | |
| | 14,334,891 | | | Series 2019-1-A | | | 3.67%(a) | | | 08/22/2039 | | | 12,859,447 | |
| | | | | ECAF Ltd. | |
| | 23,090,041 | | | Series 2015-1A-A2 | | | 4.95%(a) | | | 06/15/2040 | | | 15,634,128 | |
| | | | | Falcon Aerospace Ltd. | |
| | 801,300 | | | Series 2017-1-A | | | 4.58%(a) | | | 02/15/2042 | | | 794,821 | |
| | | | | Falko Regional Aircraft Ltd. | |
| | 29,034,894 | | | Series 2021-1A-A | | | 5.75% | | | 04/15/2041 | | | 27,808,112 | |
| | | | | FWEA | |
| | 20,600,000 | | | Series 2024-1A | | | 7.15%(c) | | | 08/25/2044 | | | 21,329,240 | |
| | | | | GAIA Aviation Ltd. | |
| | 9,066,740 | | | Series 2019-1-A | | | 3.97%(a)(d) | | | 12/15/2044 | | | 8,602,287 | |
| | | | | Global Sea Containers Two SRL | |
| | 18,509,259 | | | Series 2020-1A-A | | | 2.17%(a) | | | 10/17/2040 | | | 17,559,817 | |
| | | | | Helios Issuer LLC | |
| | 11,897,112 | | | Series 2018-1A-A | | | 4.87%(a) | | | 07/20/2048 | | | 10,861,050 | |
| | 10,737,470 | | | Series 2019-AA-A | | | 3.75%(a) | | | 06/20/2046 | | | 9,815,051 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 27,917,507 | | | Series 2020-2A-A | | | 2.73%(a) | | | 11/01/2055 | | | 22,774,080 | |
| | 11,885,368 | | | Series 2021-C-B | | | 2.33%(a) | | | 10/20/2048 | | | 8,423,082 | |
| | | | | HERO Funding Trust | |
| | 1,707,027 | | | Series 2016-3A-A2 | | | 3.91%(a) | | | 09/20/2042 | | | 1,590,887 | |
| | 4,560,944 | | | Series 2016-4A-A2 | | | 4.29%(a) | | | 09/20/2047 | | | 4,288,679 | |
| | | | | Horizon Aircraft Finance Ltd. | |
| | 10,772,075 | | | Series 2019-1-A | | | 3.72%(a) | | | 07/15/2039 | | | 10,188,961 | |
| | 17,400,000 | | | Series 2024-1-A | | | 5.38%(a) | | | 09/15/2049 | | | 17,463,458 | |
| | | | | Jack in the Box, Inc. | |
| | 36,670,000 | | | Series 2019-1A-A23 | | | 4.97%(a) | | | 08/25/2049 | | | 35,757,570 | |
| | | | | Jersey Mike’s Funding | |
| | 4,565,500 | | | Series 2019-1A-A2 | | | 4.43%(a) | | | 02/15/2050 | | | 4,493,482 | |
| | | | | Jimmy Johns LLC | |
| | 20,296,000 | | | Series 2017-1A-A2II | | | 4.85%(a) | | | 07/30/2047 | | | 20,043,029 | |
| | | | | JOL Air Ltd. | |
| | 7,413,734 | | | Series 2019-1-A | | | 3.97%(a) | | | 04/15/2044 | | | 7,215,483 | |
| | | | | Labrador Aviation Finance Ltd. | |
| | 45,884,398 | | | Series 2016-1A-A1 | | | 4.30%(a) | | | 01/15/2042 | | | 42,334,965 | |
| | | | | Loanpal Solar Loan Ltd. | |
| | 1,365,703 | | | Series 2021-1GS-B | | | 2.84%(a) | | | 01/20/2048 | | | 1,092,094 | |
| | | | | Lunar Aircraft Ltd. | |
| | 9,310,327 | | | Series 2020-1A-A | | | 3.38%(a) | | | 02/15/2045 | | | 8,954,012 | |
| | | | | Lunar Structured Aircraft Portfolio Notes | |
| | 1,002,348 | | | Series 2021-1-B | | | 3.43%(a) | | | 10/15/2046 | | | 932,582 | |
| | | | | Marlette Funding Trust | |
| | 7,700,000 | | | Series 2024-1A-B | | | 6.07%(a) | | | 07/17/2034 | | | 7,865,272 | |
| | | | | ME Funding | |
| | 21,562,342 | | | Series 2024-1A-A2 | | | 8.10%(a) | | | 04/30/2054 | | | 21,546,282 | |
| | | | | Mosaic Solar Loans LLC | |
| | 10,674,609 | | | Series 2017-2A-A | | | 3.82%(a) | | | 06/22/2043 | | | 10,147,165 | |
| | 6,437,470 | | | Series 2018-1A-A | | | 4.01%(a) | | | 06/22/2043 | | | 6,124,397 | |
| | 8,478,946 | | | Series 2018-2GS-A | | | 4.20%(a) | | | 02/22/2044 | | | 8,007,113 | |
| | 1,374,580 | | | Series 2019-1A-A | | | 4.37%(a) | | | 12/21/2043 | | | 1,313,032 | |
| | | | | Navient Student Loan Trust | |
| | 17,439,532 | | | Series 2017-A-B | | | 3.91%(a) | | | 12/16/2058 | | | 17,237,290 | |
| | 11,000,000 | | | Series 2018-BA-B | | | 4.13%(a) | | | 12/15/2059 | | | 10,642,783 | |
| | | | | Navigator Aircraft ABS Ltd. | |
| | 10,456,346 | | | Series 2021-1-B | | | 3.57%(a)(d) | | | 11/15/2046 | | | 9,616,273 | |
| | | | | NBC Funding LLC | |
| | 16,650,000 | | | Series 2024-1A-A2 | | | 6.75%(a) | | | 07/30/2054 | | | 17,250,121 | |
| | | | | Neighborly Issuer | |
| | 14,270,625 | | | Series 2021-1A-A2 | | | 3.58%(a) | | | 04/30/2051 | | | 13,248,837 | |
| | | | | Pagaya AI Debt Selection Trust | |
| | 2,287,606 | | | Series 2023-5-A | | | 7.18%(a) | | | 04/15/2031 | | | 2,291,271 | |
| | 4,008,124 | | | Series 2023-6-A | | | 7.13%(a) | | | 06/16/2031 | | | 4,017,276 | |
| | | | | Pioneer Aircraft Finance Ltd. | |
| | 28,033,786 | | | Series 2019-1-A | | | 3.97%(a) | | | 06/15/2044 | | | 26,525,904 | |
| | | | | Primrose Holdings, Inc. | |
| | 12,464,375 | | | Series 2019-1A-A2 | | | 4.48%(a) | | | 07/30/2049 | | | 12,269,293 | |
| | | | | Project Silver | |
| | 24,434,263 | | | Series 2019-1-A | | | 3.97%(a) | | | 07/15/2044 | | | 22,929,650 | |
| | | | | Purewest Funding LLC | |
| | 15,938,617 | | | Series 2021-1-A1 | | | 4.09%(a) | | | 12/22/2036 | | | 15,659,410 | |
| | | | | Raptor Aircraft Finance | |
| | 12,706,687 | | | Series 2019-1-A | | | 4.21%(a) | | | 08/23/2044 | | | 11,004,308 | |
| | | | | Renew | |
| | 6,201,794 | | | Series 2017-2A-A | | | 3.22%(a) | | | 09/22/2053 | | | 5,560,782 | |
| | | | | Research-Driven Pagaya Motor Asset Trust | |
| | 17,723,884 | | | Series 2021-2A-A | | | 2.65%(a) | | | 03/25/2030 | | | 17,258,198 | |
| | | | | Retained Vantage Data Centers Issuer LLC | |
| | 6,300,000 | | | Series 2023-1A-B | | | 5.75%(a) | | | 09/15/2048 | | | 6,155,283 | |
| | | |
| | | |
4
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Sapphire Aviation Finance Ltd. | |
| | 30,457,576 | | | Series 2020-1A-A | | | 3.23%(a) | | | 03/15/2040 | | | 28,930,250 | |
| | 7,884,320 | | | Series 2020-1A-B | | | 4.34%(a) | | | 03/15/2040 | | | 6,567,339 | |
| | | | | SEB Funding LLC | |
| | 17,705,625 | | | Series 2021-1A-A2 | | | 4.97%(a) | | | 01/30/2052 | | | 17,374,988 | |
| | | | | ServiceMaster Funding LLC | |
| | 3,922,477 | | | Series 2020-1-A2II | | | 3.34%(a) | | | 01/30/2051 | | | 3,476,434 | |
| | | | | Shenton Aircraft Investment Ltd. | |
| | 16,258,500 | | | Series 2015-1A-A | | | 4.75%(a) | | | 10/15/2042 | | | 15,430,699 | |
| | | | | Sierra Timeshare Conduit Receivables Funding LLC | |
| | 1,214,219 | | | Series 2021-2A-C | | | 1.95%(a) | | | 09/20/2038 | | | 1,159,632 | |
| | 1,457,063 | | | Series 2021-2A-D | | | 3.23%(a) | | | 09/20/2038 | | | 1,380,674 | |
| | | | | SLM Student Loan Trust | |
| | 3,935,306 | | | Series 2006-A-A5 (3 mo. Term SOFR + 0.55%, 0.00% Floor) | | | 5.50% | | | 06/15/2039 | | | 3,825,393 | |
| | 3,000,330 | | | Series 2006-B-A5 (3 mo. Term SOFR + 0.53%, 0.00% Floor) | | | 5.48% | | | 12/15/2039 | | | 2,923,094 | |
| | | | | SOFI Alternative Trust | |
| | 3,384,995 | | | Series 2021-1-PT2 | | | 9.72%(a)(b) | | | 05/25/2030 | | | 3,359,432 | |
| | 13,614,615 | | | Series 2021-2-A | | | 1.25%(a) | | | 08/15/2030 | | | 13,201,983 | |
| | 500,000 | | | Series 2021-2-R1 | | | 0.00%(a)(c)(e) | | | 08/15/2030 | | | 2,165,859 | |
| | 15,736,483 | | | Series 2021-3-A | | | 1.50%(a) | | | 11/15/2030 | | | 15,343,590 | |
| | 950,000 | | | Series 2021-3-R1 | | | 0.00%(a)(c)(e) | | | 11/15/2030 | | | 5,453,630 | |
| | | | | SoFi Professional Loan Program LLC | |
| | 11,950,640 | | | Series 2017-E-B | | | 3.49%(a) | | | 11/26/2040 | | | 11,740,990 | |
| | 13,000,000 | | | Series 2017-E-C | | | 4.16%(a) | | | 11/26/2040 | | | 12,576,066 | |
| | 12,800,000 | | | Series 2018-A-B | | | 3.61%(a) | | | 02/25/2042 | | | 12,112,575 | |
| | 18,000,000 | | | Series 2018-B-BFX | | | 3.83%(a) | | | 08/25/2047 | | | 17,086,392 | |
| | | | | Sotheby’s Artfi Master Trust | |
| | 9,800,000 | | | Series 2024-1A-A1 | | | 6.43%(a) | | | 12/22/2031 | | | 9,974,009 | |
| | | | | Sprite/KY | |
| | 15,872,196 | | | Series 2021-1-A | | | 3.75%(a) | | | 11/15/2046 | | | 15,371,301 | |
| | | | | Stack Infrastructure Issuer LLC | |
| | 5,750,000 | | | Series 2020-1A-A2 | | | 1.89%(a) | | | 08/25/2045 | | | 5,582,398 | |
| | | | | Start/Bermuda | |
| | 13,199,456 | | | Series 2018-1-A | | | 4.09%(a) | | | 05/15/2043 | | | 12,818,494 | |
| | | | | Stonepeak ABS | |
| | 2,439,066 | | | Series 2021-1A-A | | | 2.68%(a) | | | 02/28/2033 | | | 2,327,845 | |
| | 4,752,845 | | | Series 2021-1A-B | | | 3.82%(a) | | | 02/28/2033 | | | 4,425,131 | |
| | | | | Subway Funding LLC | |
| | 19,850,000 | | | Series 2024-1A-A23 | | | 6.51%(a) | | | 07/30/2054 | | | 20,658,951 | |
| | 6,260,000 | | | Series 2024-3A-A23 | | | 5.91%(a) | | | 07/30/2054 | | | 6,290,786 | |
| | | | | Sunbird Engine Finance | |
| | 30,894,115 | | | Series 2020-1A-A | | | 3.67%(a) | | | 02/15/2045 | | | 29,747,634 | |
| | | | | Switch ABS Issuer LLC | |
| | 27,500,000 | | | Series 2024-2A-A2 | | | 5.44%(a) | | | 06/25/2054 | | | 27,812,604 | |
| | 8,500,000 | | | Series 2024-2A-B | | | 6.20%(a) | | | 06/25/2054 | | | 8,606,085 | |
| | | | | Taco Bell Corp. | |
| | 7,417,875 | | | Series 2021-1A-A23 | | | 2.54%(a) | | | 08/25/2051 | | | 6,371,304 | |
| | 5,207,250 | | | Series 2021-1A-A2I | | | 1.95%(a) | | | 08/25/2051 | | | 4,886,446 | |
| | | | | TAL Advantage LLC | |
| | 11,600,000 | | | Series 2020-1A-A | | | 2.05%(a) | | | 09/20/2045 | | | 10,859,396 | |
| | 2,465,000 | | | Series 2020-1A-B | | | 3.29%(a) | | | 09/20/2045 | | | 2,329,307 | |
| | | | | Textainer Ltd. | |
| | 7,161,548 | | | Series 2020-1A-A | | | 2.73%(a) | | | 08/21/2045 | | | 6,843,061 | |
| | 2,144,055 | | | Series 2020-2A-B | | | 3.34%(a) | | | 09/20/2045 | | | 2,035,178 | |
| | | | | Upgrade Master Credit Pass-Thru Trust | |
| | 164,393 | | | Series 2021-PT1-A | | | 19.47%(a)(b) | | | 08/15/2027 | | | 86,401 | |
| | | | | Upgrade Master Pass-Thru Trust | |
| | 1,214,438 | | | Series 2021-PT1-A | | | 15.94%(a)(b) | | | 04/15/2027 | | | 1,112,206 | |
| | 1,234,660 | | | Series 2021-PT3-A | | | 14.31%(a)(b) | | | 07/15/2027 | | | 1,122,535 | |
| | 793,367 | | | Series 2021-PT4-A | | | 11.63%(a)(b) | | | 08/15/2027 | | | 674,981 | |
| | 1,954,307 | | | Series 2021-PT5-A | | | 18.07%(a)(b) | | | 10/15/2027 | | | 1,620,394 | |
| | | | | Upstart Pass-Through Trust Series | |
| | 1,295,311 | | | Series 2020-ST5-A | | | 3.00%(a) | | | 12/20/2026 | | | 1,280,749 | |
| | 1,367,090 | | | Series 2021-ST1-A | | | 2.75%(a) | | | 02/20/2027 | | | 1,352,118 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Upstart Securitization Trust | |
| | 5,534,329 | | | Series 2021-3-C | | | 3.28%(a) | | | 07/20/2031 | | | 5,435,066 | |
| | | | | Vantage Data Centers Holding LLC | |
| | 32,425,000 | | | Series 2020-2A-A2 | | | 1.99%(a) | | | 09/15/2045 | | | 29,772,272 | |
| | | | | Vault DI Issuer LLC | |
| | 54,400,000 | | | Series 2021-1A-A2 | | | 2.80%(a) | | | 07/15/2046 | | | 49,980,713 | |
| | | | | Vivant Solar Financing V Parent LLC | |
| | 16,205,488 | | | Series 2018-1A-A | | | 4.73%(a) | | | 04/30/2048 | | | 15,506,586 | |
| | | | | VR Funding LLC | |
| | 13,637,915 | | | Series 2020-1A-A | | | 2.79%(a) | | | 11/15/2050 | | | 12,651,400 | |
| | | | | Waterfall Commercial Mortgage Trust | |
| | 5,111,986 | | | Series 2015-SBC5-A | | | 4.10%(a)(b) | | | 01/14/2026 | | | 5,014,646 | |
| | | | | Wendy’s SPV Guarantor LLC | |
| | 18,741,525 | | | Series 2019-1A-A2II | | | 4.08%(a) | | | 06/15/2049 | | | 18,189,930 | |
| | | | | Willis Lease Finance Corp. | |
| | 40,493,703 | | | Series 2020-A-A | | | 3.23%(a) | | | 03/15/2045 | | | 38,071,775 | |
| | | | | Wingstop, Inc. | |
| | 10,342,500 | | | Series 2020-1A-A2 | | | 2.84%(a) | | | 12/05/2050 | | | 9,741,620 | |
| | | | | Zephyrus Capital Aviation Partners | |
| | 2,836,458 | | | Series 2018-1-A | | | 4.61%(a) | | | 10/15/2038 | | | 2,694,189 | |
| | | | | Total Asset Backed Obligations
(Cost $1,534,354,800) | | | | | | 1,452,573,038 | |
| | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 4.6% | |
| | | | | 37 Capital CLO | |
| | 8,500,000 | | | Series 2023-2A-B (3 mo. Term SOFR + 2.75%, 2.75% Floor) | | | 8.05%(a) | | | 01/15/2034 | | | 8,531,407 | |
| | | | | Allegro CLO Ltd. | |
| | 30,000,000 | | | Series 2024-2A-A1 (3 mo. Term SOFR + 1.50%, 1.50% Floor) | | | 6.78%(a) | | | 07/24/2037 | | | 30,102,795 | |
| | | | | Apidos CLO | |
| | 25,000,000 | | | Series 2024-48A-A1 (3 mo. Term SOFR + 1.44%, 1.44% Floor) | | | 6.76%(a) | | | 07/25/2037 | | | 25,078,660 | |
| | | | | ARES CLO | |
| | 7,000,000 | | | Series 2017-44A-A3R1 (3 mo. Term SOFR + 1.91%, 1.65% Floor) | | | 7.21%(a) | | | 04/15/2034 | | | 7,022,104 | |
| | | | | Battalion CLO Ltd. | |
| | 3,000,000 | | | Series 2017-11A-BR (3 mo. Term SOFR + 1.98%, 1.72% Floor) | | | 7.26%(a) | | | 04/24/2034 | | | 3,008,584 | |
| | 1,000,000 | | | Series 2021-19A-B (3 mo. Term SOFR + 1.86%, 1.60% Floor) | | | 7.16%(a) | | | 04/15/2034 | | | 1,001,786 | |
| | | | | Birch Grove CLO | |
| | 13,500,000 | | | Series 2023-5A-A1R (3 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.26%(a) | | | 10/20/2037 | | | 13,500,000 | |
| | | | | BlueMountain CLO Ltd. | |
| | 5,000,000 | | | Series 2018-2A-B (3 mo. Term SOFR + 1.96%, 1.70% Floor) | | | 7.08%(a) | | | 08/15/2031 | | | 5,022,769 | |
| | | | | Bridge Street CLO Ltd. | |
| | 166,500,000 | | | Series 2020-1A-A1R (3 mo. Term SOFR + 1.55%, 1.55% Floor) | | | 6.83%(a) | | | 07/20/2037 | | | 167,030,069 | |
| | 39,500,000 | | | Series 2024-1A-A (3 mo. Term SOFR + 1.60%, 1.60% Floor) | | | 6.92%(a) | | | 04/20/2037 | | | 39,643,278 | |
| | | | | Canyon Capital CLO Ltd. | |
| | 20,000,000 | | | Series 2019-2A-BR (3 mo. Term SOFR + 1.96%, 1.70% Floor) | | | 7.26%(a) | | | 10/15/2034 | | | 20,087,232 | |
| | 2,500,000 | | | Series 2021-2A-B1 (3 mo. Term SOFR + 2.01%, 2.01% Floor) | | | 7.31%(a) | | | 04/15/2034 | | | 2,507,210 | |
| | | | | Capital Four US CLO Ltd. | |
| | 16,500,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.75%(a) | | | 01/18/2035 | | | 16,512,466 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 5
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 18,000,000 | | | Series 2022-1A-BR (3 mo. Term SOFR + 2.65%, 2.65% Floor) | | | 7.93%(a) | | | 01/20/2037 | | | 18,183,890 | |
| | | | | Carlyle Global Market Strategies | |
| | 28,080,000 | | | Series 2017-2A-AR2 (3 mo. Term SOFR + 1.49%, 1.49% Floor) | | | 6.82%(a) | | | 07/20/2037 | | | 28,133,613 | |
| | 18,500,000 | | | Series 2022-2A-A2 (3 mo. Term SOFR + 2.00%, 2.00% Floor) | | | 7.28%(a) | | | 04/20/2035 | | | 18,576,995 | |
| | | | | CarVal CLO | |
| | 5,000,000 | | | Series 2024-1A-B (3 mo. Term SOFR + 2.10%, 2.10% Floor) | | | 7.38%(a) | | | 04/20/2037 | | | 5,045,493 | |
| | 25,000,000 | | | Series 2024-2A-A (3 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.75%(a) | | | 07/20/2037 | | | 25,016,518 | |
| | | | | CBAM Ltd. | |
| | 11,000,000 | | | Series 2017-2A-BR (3 mo. Term SOFR + 2.11%, 1.85% Floor) | | | 7.40%(a) | | | 07/17/2034 | | | 11,018,966 | |
| | | | | Cedar Funding Ltd. | |
| | 39,100,000 | | | Series 2018-9A-AR (3 mo. Term SOFR + 1.42%, 1.42% Floor) | | | 6.70%(a) | | | 07/20/2037 | | | 39,273,573 | |
| | 2,000,000 | | | Series 2022-15A-B (3 mo. Term SOFR + 1.80%, 1.80% Floor) | | | 7.08%(a) | | | 04/20/2035 | | | 2,006,601 | |
| | | | | CIFC Funding Ltd. | |
| | 11,500,000 | | | Series 2022-3A-B (3 mo. Term SOFR + 2.00%, 2.00% Floor) | | | 7.28%(a) | | | 04/21/2035 | | | 11,571,949 | |
| | | | | Crown City CLO | |
| | 2,750,000 | | | Series 2021-1A-A2 (3 mo. Term SOFR + 1.98%, 1.72% Floor) | | | 7.26%(a) | | | 07/20/2034 | | | 2,757,801 | |
| | 17,500,000 | | | Series 2023-5A-A1R (3 mo. Term SOFR + 1.60%, 1.60% Floor) | | | 6.88%(a) | | | 04/20/2037 | | | 17,565,095 | |
| | 90,000,000 | | | Series 2024-6A-A1 (3 mo. Term SOFR + 1.50%, 1.50% Floor) | | | 6.82%(a) | | | 07/15/2037 | | | 90,052,515 | |
| | | | | Dryden Senior Loan Fund | |
| | 3,500,000 | | | Series 2017-53A-B (3 mo. Term SOFR + 1.66%, 0.00% Floor) | | | 6.96%(a) | | | 01/15/2031 | | | 3,503,561 | |
| | | | | Empower CLO Ltd. | |
| | 9,000,000 | | | Series 2023-3A-B (3 mo. Term SOFR + 2.55%, 2.55% Floor) | | | 7.83%(a) | | | 01/20/2037 | | | 9,078,405 | |
| | 19,000,000 | | | Series 2024-2A-A1 (3 mo. Term SOFR + 1.52%, 1.52% Floor) | | | 6.85%(a) | | | 07/15/2037 | | | 19,005,482 | |
| | | | | Franklin Park Place CLO LLC | |
| | 18,000,000 | | | Series 2022-1A-A (3 mo. Term SOFR + 1.40%, 1.40% Floor) | | | 6.70%(a) | | | 04/14/2035 | | | 18,007,542 | |
| | | | | Generate CLO Ltd. | |
| | 5,800,000 | | | Series 3A-B2R (3 mo. Term SOFR + 2.60%, 2.60% Floor) | | | 7.88%(a) | | | 10/20/2036 | | | 5,854,881 | |
| | | | | Halcyon Loan Advisors Funding Ltd. | |
| | 2,118,142 | | | Series 2014-2A-D (3 mo. Term SOFR + 5.26%, 0.00% Floor) | | | 10.53%(a) | | | 04/28/2025 | | | 434,431 | |
| | | | | Halsey Point CLO Ltd. | |
| | 13,000,000 | | | Series 2019-1A-B1 (3 mo. Term SOFR + 2.46%, 2.20% Floor) | | | 7.74%(a) | | | 01/20/2033 | | | 13,018,622 | |
| | 10,000,000 | | | Series 2020-2A-AR (3 mo. Term SOFR + 1.52%, 1.52% Floor) | | | 6.82%(a) | | | 07/20/2037 | | | 10,037,001 | |
| | | | | Harbourview CLO VII LLC | |
| | 11,460,214 | | | Series 7RA-A1 (3 mo. Term SOFR + 1.39%, 1.13% Floor) | | | 6.67%(a) | | | 07/18/2031 | | | 11,481,220 | |
| | | | | Harvest US CLO | |
| | 20,000,000 | | | Series 2023-1A-B (3 mo. Term SOFR + 2.60%, 2.60% Floor) | | | 7.90%(a) | | | 01/15/2037 | | | 20,188,080 | |
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| | | | | Jackson Financial, Inc. | |
| | 9,500,000 | | | Series 2022-6RA-BR (3 mo. Term SOFR + 2.75%, 2.75% Floor) | | | 8.03%(a) | | | 01/20/2037 | | | 9,639,602 | |
| | | | | Jamestown CLO Ltd. | |
| | 6,000,000 | | | Series 2018-11A-A2 (3 mo. Term SOFR + 1.96%, 0.00% Floor) | | | 7.26%(a) | | | 07/14/2031 | | | 6,021,608 | |
| | | | | Katayma CLO Ltd. | |
| | 25,000,000 | | | Series 2024-2A-A1 (3 mo. Term SOFR + 1.65%, 1.65% Floor) | | | 6.94%(a) | | | 04/20/2037 | | | 25,113,285 | |
| | | | | LCM LP | |
| | 9,441,064 | | | Series 17A-A2RR (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.71%(a) | | | 10/15/2031 | | | 9,409,405 | |
| | | | | Magnetite CLO Ltd. | |
| | 23,500,000 | | | Series 2024-40A-A1 (3 mo. Term SOFR + 1.45%, 1.45% Floor) | | | 6.78%(a) | | | 07/15/2037 | | | 23,512,067 | |
| | | | | Marble Point CLO | |
| | 5,000,000 | | | Series 2020-1A-AR (3 mo. Term SOFR + 1.44%, 1.44% Floor) | | | 6.72%(a) | | | 07/20/2037 | | | 5,006,286 | |
| | 58,000,000 | | | Series 2021-2A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.75%(a) | | | 07/25/2034 | | | 58,040,600 | |
| | 50,000,000 | | | Series 2021-4A-A1 (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.75%(a) | | | 01/22/2035 | | | 50,042,690 | |
| | 20,000,000 | | | Series 2022-2A-A1R (3 mo. Term SOFR + 1.93%, 1.93% Floor) | | | 7.21%(a) | | | 10/20/2036 | | | 20,109,426 | |
| | 11,400,000 | | | Series 2022-2A-BR (3 mo. Term SOFR + 2.85%, 2.85% Floor) | | | 8.13%(a) | | | 10/20/2036 | | | 11,603,513 | |
| | | | | MidOcean Credit CLO | |
| | 25,357,127 | | | Series 2018-9A-A1 (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.69%(a) | | | 07/20/2031 | | | 25,410,200 | |
| | | | | MP CLO Ltd. | |
| | 12,889,502 | | | Series 2013-1A-AR (3 mo. Term SOFR + 1.51%, 0.00% Floor) | | | 6.79%(a) | | | 10/20/2030 | | | 12,899,014 | |
| | | | | Nassau Global Credit LLC | |
| | 17,474,649 | | | Series 2018-IA-A (3 mo. Term SOFR + 1.41%, 0.00% Floor) | | | 6.71%(a) | | | 07/15/2031 | | | 17,482,603 | |
| | | | | Ocean Trails CLO | |
| | 4,000,000 | | | Series 2019-7A-BR (3 mo. Term SOFR + 1.86%, 1.60% Floor) | | | 7.15%(a) | | | 04/17/2030 | | | 4,016,039 | |
| | 10,150,000 | | | Series 2020-10A-BR (3 mo. Term SOFR + 2.06%, 1.80% Floor) | | | 7.36%(a) | | | 10/15/2034 | | | 10,162,459 | |
| | | | | OCP CLO Ltd. | |
| | 5,000,000 | | | Series 2020-18A-A1R2 (3 mo. Term SOFR + 1.37%, 1.37% Floor) | | | 6.60%(a) | | | 07/20/2037 | | | 5,003,530 | |
| | | | | Octagon Investment Partners Ltd. | |
| | 1,500,000 | | | Series 2019-1A-BR (3 mo. Term SOFR + 1.85%, 1.85% Floor) | | | 7.15%(a) | | | 04/15/2035 | | | 1,502,620 | |
| | | | | Park Blue CLO Ltd. | |
| | 7,400,000 | | | Series 2023-4A-B (3 mo. Term SOFR + 2.70%, 2.70% Floor) | | | 7.98%(a) | | | 01/25/2037 | | | 7,528,109 | |
| | | | | Rockford Tower CLO Ltd. | |
| | 2,525,000 | | | Series 2018-2A-B (3 mo. Term SOFR + 2.06%, 1.80% Floor) | | | 7.34%(a) | | | 10/20/2031 | | | 2,531,862 | |
| | 15,000,000 | | | Series 2022-3A-AR (3 mo. Term SOFR + 1.44%, 1.44% Floor) | | | 6.72%(a) | | | 07/20/2037 | | | 15,014,363 | |
| | 10,000,000 | | | Series 2024-1A-A1 (3 mo. Term SOFR + 1.61%, 1.61% Floor) | | | 6.94%(a) | | | 04/20/2037 | | | 10,037,962 | |
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6
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Sound Point CLO Ltd. | |
| | 19,809,215 | | | Series 2013-3RA-A (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.69%(a) | | | 04/18/2031 | | | 19,833,632 | |
| | 18,000,000 | | | Series 2018-2A-C (3 mo. Term SOFR + 2.21%, 0.00% Floor) | | | 7.49%(a) | | | 07/26/2031 | | | 18,077,710 | |
| | 27,071,054 | | | Series 2018-3A-A1AR (3 mo. Term SOFR + 1.30%, 1.30% Floor) | | | 6.58%(a) | | | 10/26/2031 | | | 27,086,601 | |
| | 7,025,000 | | | Series 2019-1A-BR (3 mo. Term SOFR + 1.96%, 1.70% Floor) | | | 7.24%(a) | | | 01/20/2032 | | | 7,045,452 | |
| | 25,250,000 | | | Series 2020-2A-AR (3 mo. Term SOFR + 1.44%, 1.18% Floor) | | | 6.73%(a) | | | 10/25/2034 | | | 25,305,707 | |
| | 15,150,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.33%, 1.33% Floor) | | | 6.62%(a) | | | 04/25/2034 | | | 15,165,150 | |
| | 10,000,000 | | | Series 2024-38A-A1 (3 mo. Term SOFR + 1.60%, 1.60% Floor) | | | 6.73%(a) | | | 02/20/2037 | | | 10,033,860 | |
| | 20,000,000 | | | Series 2024-39A-A1 (3 mo. Term SOFR + 1.54%, 1.54% Floor) | | | 6.85%(a) | | | 07/20/2037 | | | 20,014,260 | |
| | 11,750,000 | | | Series 2024-40A-A1 (3 mo. Term SOFR + 1.39%, 1.39% Floor) | | | 5.98%(a) | | | 10/20/2037 | | | 11,750,000 | |
| | | | | Steele Creek CLO Ltd. | |
| | 19,848,120 | | | Series 2016-1A-AR (3 mo. Term SOFR + 1.38%, 1.12% Floor) | | | 6.33%(a) | | | 06/15/2031 | | | 19,881,961 | |
| | 10,000,000 | | | Series 2019-1A-BR (3 mo. Term SOFR + 2.06%, 1.80% Floor) | | | 7.36%(a) | | | 04/15/2032 | | | 10,015,614 | |
| | | | | Trimaran CAVU LLC | |
| | 20,000,000 | | | Series 2021-3A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.75%(a) | | | 01/18/2035 | | | 20,006,060 | |
| | | | | Unity-Peace Park CLO Ltd. | |
| | 15,000,000 | | | Series 2022-1A-B (3 mo. Term SOFR + 2.00%, 2.00% Floor) | | | 7.28%(a) | | | 04/20/2035 | | | 15,089,256 | |
| | | | | Vibrant Clo X Ltd. | |
| | 60,500,000 | | | Series 2018-10RA-A1 (3 mo. Term SOFR + 1.70%, 1.70% Floor) | | | 6.98%(a) | | | 04/20/2036 | | | 60,832,913 | |
| | | | | Warwick Capital CLO Ltd. | |
| | 20,000,000 | | | Series 2024-4A-A1 (3 mo. Term SOFR + 1.40%, 1.40% Floor) | | | 6.59%(a) | | | 07/20/2037 | | | 20,017,984 | |
| | | | | Wellfleet CLO Ltd. | |
| | 16,499,279 | | | Series 2018-2A-A1 (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.74%(a) | | | 10/20/2031 | | | 16,543,608 | |
| | 36,000,000 | | | Series 2022-1A-A1RN (3 mo. Term SOFR + 1.42%, 1.42% Floor) | | | 6.66%(a) | | | 07/15/2037 | | | 36,133,200 | |
| | | | | Wind River CLO Ltd. | |
| | 4,000,000 | | | Series 2013-2A-CR (3 mo. Term SOFR + 2.26%, 0.00% Floor) | | | 7.54%(a) | | | 10/18/2030 | | | 4,006,420 | |
| | 7,209,482 | | | Series 2014-2A-AR (3 mo. Term SOFR + 1.40%, 1.14% Floor) | | | 6.70%(a) | | | 01/15/2031 | | | 7,219,237 | |
| | | | | Total Collateralized Loan Obligations
(Cost $1,408,935,676) | | | | | | 1,413,006,462 | |
| | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 7.1% | |
| | | | | 20 Times Square Trust | |
| | 7,949,000 | | | Series 2018-20TS-F | | | 3.20%(a)(b) | | | 05/15/2035 | | | 6,312,190 | |
| | 5,856,000 | | | Series 2018-20TS-G | | | 3.20%(a)(b) | | | 05/15/2035 | | | 4,538,904 | |
| | | | | Alen Mortgage Trust | |
| | 11,551,000 | | | Series 2021-ACEN-E (1 mo. Term SOFR + 4.11%, 4.00% Floor) | | | 9.21%(a) | | | 04/15/2034 | | | 4,943,828 | |
| | | | | Arbor Multifamily Mortgage Securities Trust | |
| | 21,947,000 | | | Series 2021-MF3-XB | | | 0.60%(a)(b)(f) | | | 10/15/2054 | | | 677,282 | |
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| | | | | Arbor Realty Trust, Inc. | |
| | 6,300,000 | | | Series 2021-FL1-B (1 mo. Term SOFR + 1.61%, 1.50% Floor) | | | 6.71%(a) | | | 12/15/2035 | | | 6,254,577 | |
| | 3,391,781 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.56%(a) | | | 11/15/2036 | | | 3,397,143 | |
| | 16,552,836 | | | Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor) | | | 6.79%(a) | | | 01/15/2037 | | | 16,495,248 | |
| | | | | AREIT Ltd. | |
| | 11,250,000 | | | Series 2024-CRE9-A (1 mo. Term SOFR + 1.69%, 1.69% Floor) | | | 6.77%(a) | | | 05/17/2041 | | | 11,296,271 | |
| | | | | Ares Commercial Real Estate Corp. | |
| | 2,010,000 | | | Series 2021-FL4-B (1 mo. Term SOFR + 1.51%, 1.40% Floor) | | | 6.53%(a) | | | 12/18/2037 | | | 1,959,639 | |
| | | | | Atrium Hotel Portfolio Trust | |
| | 10,001,000 | | | Series 2018-ATRM-A (1 mo. Term SOFR + 1.25%, 0.95% Floor) | | | 6.34%(a) | | | 06/15/2035 | | | 9,993,990 | |
| | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc. | |
| | 41,626,797 | | | Series 2015-UBS7-XA | | | 0.87%(b)(f) | | | 09/15/2048 | | | 166,790 | |
| | 2,121,000 | | | Series 2016-UB10-C | | | 4.98%(b) | | | 07/15/2049 | | | 2,034,227 | |
| | | | | Banc of America Re-Remic Trust | |
| | 35,435,000 | | | Series 2020-BOC-D | | | 3.29%(a)(b) | | | 01/15/2032 | | | 16,287,358 | |
| | 7,505,000 | | | Series 2020-BOC-E | | | 3.29%(a)(b) | | | 01/15/2032 | | | 3,075,668 | |
| | | | | BANK | |
| | 3,554,000 | | | Series 2017-BNK4-C | | | 4.37%(b) | | | 05/15/2050 | | | 3,034,086 | |
| | 31,538,730 | | | Series 2017-BNK4-XA | | | 1.49%(b)(f) | | | 05/15/2050 | | | 863,234 | |
| | 4,916,000 | | | Series 2017-BNK5-B | | | 3.90%(b) | | | 06/15/2060 | | | 4,707,251 | |
| | 65,954,116 | | | Series 2017-BNK5-XA | | | 1.07%(b)(f) | | | 06/15/2060 | | | 1,387,543 | |
| | 142,191,348 | | | Series 2018-BN10-XA | | | 0.83%(b)(f) | | | 02/15/2061 | | | 2,720,120 | |
| | 31,334,000 | | | Series 2018-BN10-XD | | | 1.87%(a)(b)(f) | | | 02/15/2061 | | | 1,617,342 | |
| | 2,290,000 | | | Series 2019-BN16-B | | | 4.44%(b) | | | 02/15/2052 | | | 2,187,748 | |
| | 87,793,350 | | | Series 2019-BN16-XA | | | 1.10%(b)(f) | | | 02/15/2052 | | | 2,870,052 | |
| | 13,119,665 | | | Series 2019-BN16-XD | | | 1.98%(a)(b)(f) | | | 02/15/2052 | | | 895,901 | |
| | 11,541,000 | | | Series 2019-BN17-XD | | | 1.74%(a)(b)(f) | | | 04/15/2052 | | | 699,597 | |
| | 43,097,000 | | | Series 2019-BN19-AS | | | 3.45% | | | 08/15/2061 | | | 38,566,406 | |
| | 17,013,666 | | | Series 2019-BN19-XD | | | 1.16%(a)(b)(f) | | | 08/15/2061 | | | 729,720 | |
| | 1,099,000 | | | Series 2019-BN20-AS | | | 3.24%(b) | | | 09/15/2062 | | | 975,694 | |
| | 5,000,000 | | | Series 2019-BN21-C | | | 3.52%(b) | | | 10/17/2052 | | | 4,148,989 | |
| | 18,082,333 | | | Series 2019-BN22-XD | | | 1.08%(a)(b)(f) | | | 11/15/2062 | | | 778,293 | |
| | 26,932,000 | | | Series 2019-BN24-XD | | | 1.13%(a)(b)(f) | | | 11/15/2062 | | | 1,248,457 | |
| | 62,007,000 | | | Series 2020-BN30-XB | | | 0.83%(b)(f) | | | 12/15/2053 | | | 2,323,204 | |
| | 112,743,000 | | | Series 2021-BN35-XB | | | 0.70%(b)(f) | | | 06/15/2064 | | | 4,020,303 | |
| | 10,388,000 | | | Series 2021-BN38-XD | | | 0.82%(a)(b)(f) | | | 12/15/2064 | | | 450,405 | |
| | 7,663,000 | | | Series 2022-BNK40-XD | | | 1.01%(a)(b)(f) | | | 03/15/2064 | | | 415,942 | |
| | | | | BANK5 Trust | |
| | 122,686,322 | | | Series 2024-5YR6-XA | | | 0.98%(a)(b)(f) | | | 05/15/2057 | | | 3,704,771 | |
| | 85,256,004 | | | Series 2024-5YR8-XA | | | 1.13%(b)(f) | | | 08/15/2057 | | | 3,235,551 | |
| | | | | BBCMS Trust | |
| | 45,454,000 | | | Series 2018-CBM-A (1 mo. Term SOFR + 1.30%, 1.25% Floor) | | | 6.39%(a) | | | 07/15/2037 | | | 45,062,832 | |
| | 13,455,000 | | | Series 2018-CBM-E (1 mo. Term SOFR + 3.85%, 3.55% Floor) | | | 8.94%(a) | | | 07/15/2037 | | | 12,190,895 | |
| | 5,775,000 | | | Series 2018-TALL-F (1 mo. Term SOFR + 3.43%, 3.39% Floor) | | | 8.53%(a) | | | 03/15/2037 | | | 3,948,153 | |
| | 11,799,000 | | | Series 2020-C6-F5TB | | | 3.81%(a)(b) | | | 02/15/2053 | | | 8,915,865 | |
| | 12,497,250 | | | Series 2020-C6-F5TC | | | 3.81%(a)(b) | | | 02/15/2053 | | | 8,977,331 | |
| | 92,815,483 | | | Series 2020-C6-XA | | | 1.15%(b)(f) | | | 02/15/2053 | | | 3,875,121 | |
| | 7,424,000 | | | Series 2020-C6-XD | | | 1.31%(a)(b)(f) | | | 02/15/2053 | | | 418,561 | |
| | 1,619,000 | | | Series 2021-C11-ASB | | | 2.11% | | | 09/15/2054 | | | 1,489,191 | |
| | 34,040,000 | | | Series 2021-C11-XB | | | 1.08%(b)(f) | | | 09/15/2054 | | | 1,967,495 | |
| | 134,267,475 | | | Series 2021-C9-XA | | | 1.72%(b)(f) | | | 02/15/2054 | | | 10,226,147 | |
| | 68,467,000 | | | Series 2021-C9-XB | | | 1.11%(b)(f) | | | 02/15/2054 | | | 3,674,590 | |
| | 12,893,000 | | | Series 2024-5C29-A3 | | | 5.21% | | | 09/15/2057 | | | 13,265,280 | |
| | | | | BDS Ltd. | |
| | 6,000,000 | | | Series 2024-FL13-A (1 mo. Term SOFR + 1.58%, 1.58% Floor) | | | 6.78%(a) | | | 09/19/2039 | | | 6,018,072 | |
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The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 7
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Benchmark Mortgage Trust | |
| | 34,809,718 | | | Series 2018-B7-XA | | | 0.56%(b)(f) | | | 05/15/2053 | | | 447,670 | |
| | 27,449,670 | | | Series 2018-B8-XA | | | 0.78%(b)(f) | | | 01/15/2052 | | | 572,150 | |
| | 12,985,000 | | | Series 2019-B10-XD | | | 2.04%(a)(b)(f) | | | 03/15/2062 | | | 962,338 | |
| | 13,924,000 | | | Series 2019-B11-XD | | | 1.61%(a)(b)(f) | | | 05/15/2052 | | | 813,471 | |
| | 13,870,000 | | | Series 2019-B12-XD | | | 1.29%(a)(b)(f) | | | 08/15/2052 | | | 620,902 | |
| | 14,907,500 | | | Series 2019-B14-XD | | | 1.40%(a)(b)(f) | | | 12/15/2062 | | | 857,427 | |
| | 24,552,000 | | | Series 2019-B15-XD | | | 1.09%(a)(b)(f) | | | 12/15/2072 | | | 1,049,839 | |
| | 76,360,881 | | | Series 2019-B9-XA | | | 1.18%(b)(f) | | | 03/15/2052 | | | 2,765,257 | |
| | 74,761,394 | | | Series 2020-B16-XA | | | 0.92%(b)(f) | | | 02/15/2053 | | | 2,863,586 | |
| | 75,069,128 | | | Series 2020-B17-XA | | | 1.53%(b)(f) | | | 03/15/2053 | | | 3,249,675 | |
| | 12,580,000 | | | Series 2020-B17-XD | | | 1.53%(a)(b)(f) | | | 03/15/2053 | | | 771,812 | |
| | 13,462,000 | | | Series 2020-B18-AGND | | | 3.74%(a) | | | 07/15/2053 | | | 13,043,138 | |
| | 2,432,000 | | | Series 2020-B18-AGNE | | | 3.76%(a) | | | 07/15/2053 | | | 2,323,095 | |
| | 87,899,412 | | | Series 2020-B18-XA | | | 1.91%(b)(f) | | | 07/15/2053 | | | 4,933,732 | |
| | 233,803,397 | | | Series 2020-B19-XA | | | 1.87%(b)(f) | | | 09/15/2053 | | | 13,212,955 | |
| | 70,502,797 | | | Series 2020-B22-XA | | | 1.62%(b)(f) | | | 01/15/2054 | | | 5,127,873 | |
| | 275,367,278 | | | Series 2020-IG1-XA | | | 0.61%(b)(f) | | | 09/15/2043 | | | 5,393,894 | |
| | 231,752,447 | | | Series 2021-B24-XA | | | 1.26%(b)(f) | | | 03/15/2054 | | | 11,292,856 | |
| | 120,285,098 | | | Series 2021-B28-XA | | | 1.38%(b)(f) | | | 08/15/2054 | | | 7,283,912 | |
| | 59,609,000 | | | Series 2021-B28-XB | | | 1.07%(b)(f) | | | 08/15/2054 | | | 3,387,758 | |
| | 66,420,000 | | | Series 2021-B29-XB | | | 0.81%(b)(f) | | | 09/15/2054 | | | 2,779,823 | |
| | 362,850,586 | | | Series 2021-B30-XA | | | 0.91%(b)(f) | | | 11/15/2054 | | | 16,294,350 | |
| | 15,995,000 | | | Series 2021-B31-XD | | | 1.26%(a)(b)(f) | | | 12/15/2054 | | | 1,119,778 | |
| | 13,067,000 | | | Series 2022-B32-XD | | | 1.64%(a)(b)(f) | | | 01/15/2055 | | | 1,117,566 | |
| | 10,959,500 | | | Series 2022-B33-XD | | | 1.73%(a)(b)(f) | | | 03/15/2055 | | | 1,037,763 | |
| | 7,270,000 | | | Series 2022-B34-XD | | | 1.96%(a)(b)(f) | | | 04/15/2055 | | | 809,037 | |
| | 37,520,000 | | | Series 2024-V10-A3 | | | 5.28% | | | 10/15/2029 | | | 38,674,190 | |
| | 6,966,000 | | | Series 2024-V8-A2 | | | 5.71% | | | 07/15/2057 | | | 7,299,508 | |
| | 136,578,260 | | | Series 2024-V8-XA | | | 0.99%(a)(b)(f) | | | 07/15/2057 | | | 4,492,701 | |
| | 21,999,000 | | | Series 2024-V9-A3 | | | 5.60% | | | 08/15/2057 | | | 22,854,431 | |
| | | | | BHMS Mortgage Trust | |
| | 14,537,000 | | | Series 2018-ATLS-A (1 mo. Term SOFR + 1.55%, 1.50% Floor) | | | 6.64%(a) | | | 07/15/2035 | | | 14,537,035 | |
| | | | | BMO Mortgage Trust | |
| | 20,804,000 | | | Series 2024-5C6-A3 | | | 5.32% | | | 09/15/2057 | | | 21,442,175 | |
| | | | | BPR Trust | |
| | 10,166,000 | | | Series 2021-TY-A (1 mo. Term SOFR + 1.16%, 1.05% Floor) | | | 6.26%(a) | | | 09/15/2038 | | | 10,084,658 | |
| | | | | Braemar Hotels & Resorts Trust | |
| | 598,840 | | | Series 2018-PRME-A (1 mo. Term SOFR + 0.99%, 0.95% Floor) | | | 6.09%(a) | | | 06/15/2035 | | | 598,414 | |
| | | | | BSPRT Co.-Issuer LLC | |
| | 5,361,872 | | | Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor) | | | 6.31%(a) | | | 03/15/2036 | | | 5,346,596 | |
| | 15,000,000 | | | Series 2023-FL10-C (1 mo. Term SOFR + 3.97%, 3.97% Floor) | | | 9.07%(a) | | | 09/15/2035 | | | 15,171,315 | |
| | | | | BX Trust | |
| | 169,239,000 | | | Series 2019-OC11-E | | | 4.08%(a)(b) | | | 12/09/2041 | | | 152,097,425 | |
| | 326,679,000 | | | Series 2019-OC11-XB | | | 0.32%(a)(b)(f) | | | 12/09/2041 | | | 3,489,977 | |
| | 8,811,010 | | | Series 2021-21M-A (1 mo. Term SOFR + 0.84%, 0.73% Floor) | | | 5.94%(a) | | | 10/15/2036 | | | 8,755,501 | |
| | 3,450,000 | | | Series 2021-VIEW-F (1 mo. Term SOFR + 4.04%, 3.93% Floor) | | | 9.14%(a) | | | 06/15/2036 | | | 3,161,475 | |
| | 55,807,000 | | | Series 2021-VOLT-E (1 mo. Term SOFR + 2.11%, 2.00% Floor) | | | 7.21%(a) | | | 09/15/2036 | | | 55,451,348 | |
| | 6,255,113 | | | Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor) | | | 5.90%(a) | | | 10/15/2038 | | | 6,207,946 | |
| | 3,514,700 | | | Series 2021-XL2-E (1 mo. Term SOFR + 1.96%, 1.85% Floor) | | | 7.06%(a) | | | 10/15/2038 | | | 3,477,158 | |
| | 24,170,000 | | | Series 2024-AIRC-A (1 mo. Term SOFR + 1.69%, 1.69% Floor) | | | 6.79%(a) | | | 08/15/2039 | | | 24,243,472 | |
| | 2,549,000 | | | Series 2024-VLT4-A (1 mo. Term SOFR + 1.49%, 1.49% Floor) | | | 6.59%(a) | | | 07/15/2029 | | | 2,552,986 | |
| | | | | BXP Trust | |
| | 9,818,000 | | | Series 2017-GM-B | | | 3.54%(a)(b) | | | 06/13/2039 | | | 9,383,234 | |
| | | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Cantor Commercial Real Estate Lending LP | |
| | 10,105,250 | | | Series 2019-CF2-XD | | | 1.56%(a)(b)(f) | | | 11/15/2052 | | | 602,834 | |
| | 11,514,000 | | | Series 2019-CF3-XD | | | 1.22%(a)(b)(f) | | | 01/15/2053 | | | 567,555 | |
| | | | | CFCRE Commercial Mortgage Trust | |
| | 7,155,000 | | | Series 2016-C4-C | | | 5.00%(b) | | | 05/10/2058 | | | 6,866,913 | |
| | 65,169,906 | | | Series 2016-C4-XA | | | 1.73%(b)(f) | | | 05/10/2058 | | | 1,079,618 | |
| | 5,000,000 | | | Series 2016-C6-C | | | 4.31%(b) | | | 11/10/2049 | | | 4,518,249 | |
| | | | | Citigroup Commercial Mortgage Trust | |
| | 25,135,218 | | | Series 2014-GC25-XA | | | 0.77%(b)(f) | | | 10/10/2047 | | | 382 | |
| | 9,978,000 | | | Series 2015-GC27-C | | | 4.55%(b) | | | 02/10/2048 | | | 9,557,464 | |
| | 3,685,000 | | | Series 2015-GC27-D | | | 4.55%(a)(b) | | | 02/10/2048 | | | 3,398,213 | |
| | 71,742,861 | | | Series 2015-GC27-XA | | | 1.39%(b)(f) | | | 02/10/2048 | | | 98,553 | |
| | 14,310,000 | | | Series 2015-GC33-C | | | 4.73%(b) | | | 09/10/2058 | | | 11,932,819 | |
| | 150,112,243 | | | Series 2015-GC33-XA | | | 1.02%(b)(f) | | | 09/10/2058 | | | 773,453 | |
| | 92,352,409 | | | Series 2016-C1-XA | | | 1.98%(b)(f) | | | 05/10/2049 | | | 1,919,646 | |
| | 187,717,291 | | | Series 2016-GC36-XA | | | 1.36%(b)(f) | | | 02/10/2049 | | | 2,071,029 | |
| | 32,039,846 | | | Series 2016-GC37-XA | | | 1.81%(b)(f) | | | 04/10/2049 | | | 498,434 | |
| | 88,153,913 | | | Series 2016-P3-XA | | | 1.81%(b)(f) | | | 04/15/2049 | | | 1,179,905 | |
| | 51,764,194 | | | Series 2016-P4-XA | | | 2.05%(b)(f) | | | 07/10/2049 | | | 1,191,762 | |
| | 83,203,198 | | | Series 2016-P5-XA | | | 1.51%(b)(f) | | | 10/10/2049 | | | 1,577,533 | |
| | 218,241,666 | | | Series 2017-B1-XA | | | 0.86%(b)(f) | | | 08/15/2050 | | | 3,697,952 | |
| | 37,000,800 | | | Series 2017-P7-XA | | | 1.24%(b)(f) | | | 04/14/2050 | | | 759,197 | |
| | 15,766,000 | | | Series 2019-C7-XD | | | 1.33%(a)(b)(f) | | | 12/15/2072 | | | 857,038 | |
| | 13,007,000 | | | Series 2019-GC41-XD | | | 0.97%(a)(b)(f) | | | 08/10/2056 | | | 447,867 | |
| | 11,280,000 | | | Series 2019-GC43-XD | | | 0.74%(a)(b)(f) | | | 11/10/2052 | | | 324,599 | |
| | 3,625,000 | | | Series 2020-420K-D | | | 3.42%(a)(b) | | | 11/10/2042 | | | 3,178,027 | |
| | 7,800,000 | | | Series 2020-420K-E | | | 3.42%(a)(b) | | | 11/10/2042 | | | 6,526,272 | |
| | 23,804,000 | | | Series 2020-555-E | | | 3.62%(a)(b) | | | 12/10/2041 | | | 19,230,856 | |
| | 2,853,000 | | | Series 2020-GC46-B | | | 3.15%(b) | | | 02/15/2053 | | | 2,432,872 | |
| | 21,133,200 | | | Series 2020-GC46-XD | | | 1.18%(a)(b)(f) | | | 02/15/2053 | | | 1,086,578 | |
| | | | | Citigroup/Deutsche Bank Commercial Mortgage Trust | |
| | 5,161,000 | | | Series 2016-C1-B | | | 4.20%(b) | | | 05/10/2049 | | | 4,774,013 | |
| | 101,618,157 | | | Series 2016-C1-XA | | | 1.51%(b)(f) | | | 05/10/2049 | | | 1,279,159 | |
| | 69,235,198 | | | Series 2017-CD4-XA | | | 1.37%(b)(f) | | | 05/10/2050 | | | 1,692,593 | |
| | 5,723,000 | | | Series 2017-CD6-B | | | 3.91%(b) | | | 11/13/2050 | | | 5,348,695 | |
| | 5,175,000 | | | Series 2017-CD6-C | | | 4.37%(b) | | | 11/13/2050 | | | 4,570,699 | |
| | 41,723,985 | | | Series 2017-CD6-XA | | | 1.01%(b)(f) | | | 11/13/2050 | | | 752,342 | |
| | 58,747,038 | | | Series 2020-C9-XA | | | 1.82%(b)(f) | | | 09/15/2053 | | | 2,820,157 | |
| | | | | Commercial Mortgage Pass Through Certificates | |
| | 13,222,232 | | | Series 2013-CR12-XA | | | 0.74%(b)(f) | | | 10/10/2046 | | | 268 | |
| | 199,786 | | | Series 2013-CR13-C | | | 5.11%(b) | | | 11/10/2046 | | | 186,652 | |
| | 4,345,000 | | | Series 2014-CR16-C | | | 4.87%(b) | | | 04/10/2047 | | | 4,053,919 | |
| | 25,400,000 | | | Series 2014-CR20-C | | | 4.52%(b) | | | 11/10/2047 | | | 24,225,153 | |
| | 6,896,909 | | | Series 2014-UBS3-XA | | | 0.78%(b)(f) | | | 06/10/2047 | | | 152 | |
| | 121,457,462 | | | Series 2015-CR22-XA | | | 0.94%(b)(f) | | | 03/10/2048 | | | 41,441 | |
| | 5,360,000 | | | Series 2015-CR23-C | | | 4.41%(b) | | | 05/10/2048 | | | 4,982,337 | |
| | 71,814,131 | | | Series 2015-CR26-XA | | | 1.04%(b)(f) | | | 10/10/2048 | | | 301,497 | |
| | 17,822,000 | | | Series 2015-DC1-C | | | 4.42%(b) | | | 02/10/2048 | | | 14,642,051 | |
| | 235,491,498 | | | Series 2015-DC1-XA | | | 1.07%(b)(f) | | | 02/10/2048 | | | 237,281 | |
| | 4,400,000 | | | Series 2015-PC1-A5 | | | 3.90% | | | 07/10/2050 | | | 4,371,431 | |
| | 1,403,000 | | | Series 2016-DC2-C | | | 4.81%(b) | | | 02/10/2049 | | | 1,356,306 | |
| | 15,800,000 | | | Series 2018-COR3-XD | | | 1.75%(a)(b)(f) | | | 05/10/2051 | | | 837,215 | |
| | 18,570,000 | | | Series 2018-HCLV-A (1 mo. Term SOFR + 1.30%, 1.00% Floor) | | | 6.39%(a) | | | 09/15/2033 | | | 17,239,818 | |
| | | | | Computershare Corporate Trust | |
| | 4,346,710 | | | Series 2014-LC18-B | | | 3.96% | | | 12/15/2047 | | | 4,315,169 | |
| | 11,460,000 | | | Series 2015-C26-C | | | 4.07%(b) | | | 02/15/2048 | | | 11,263,048 | |
| | 241,815,442 | | | Series 2015-C26-XA | | | 1.27%(b)(f) | | | 02/15/2048 | | | 63,984 | |
| | 3,187,500 | | | Series 2015-C27-C | | | 3.89% | | | 02/15/2048 | | | 2,801,301 | |
| | 150,702,396 | | | Series 2015-C27-XA | | | 0.92%(b)(f) | | | 02/15/2048 | | | 193,140 | |
| | 9,701,000 | | | Series 2015-C31-C | | | 4.75%(b) | | | 11/15/2048 | | | 9,252,011 | |
| | 114,972,500 | | | Series 2015-C31-XA | | | 1.10%(b)(f) | | | 11/15/2048 | | | 699,723 | |
| | 158,695,013 | | | Series 2015-LC20-XA | | | 1.43%(b)(f) | | | 04/15/2050 | | | 273,336 | |
| | 3,000,000 | | | Series 2015-LC22-C | | | 4.69%(b) | | | 09/15/2058 | | | 2,811,644 | |
| | 8,438,000 | | | Series 2015-NXS2-C | | | 4.41%(b) | | | 07/15/2058 | | | 7,234,179 | |
| | 80,104,413 | | | Series 2015-P2-XA | | | 1.07%(b)(f) | | | 12/15/2048 | | | 604,364 | |
| | 10,085,000 | | | Series 2016-C32-C | | | 4.89%(b) | | | 01/15/2059 | | | 9,517,044 | |
| | 4,250,000 | | | Series 2016-C34-B | | | 4.09% | | | 06/15/2049 | | | 4,048,024 | |
| | 5,888,000 | | | Series 2016-C34-C | | | 5.22%(b) | | | 06/15/2049 | | | 5,494,414 | |
| | 5,890,000 | | | Series 2016-LC24-C | | | 4.57%(b) | | | 10/15/2049 | | | 4,980,403 | |
| | 96,612,631 | | | Series 2016-NXS6-XA | | | 1.74%(b)(f) | | | 11/15/2049 | | | 1,877,628 | |
| | 181,092,043 | | | Series 2017-C39-XA | | | 1.23%(b)(f) | | | 09/15/2050 | | | 4,367,524 | |
| | 1,904,000 | | | Series 2017-C42-C | | | 4.30%(b) | | | 12/15/2050 | | | 1,650,815 | |
| | 47,317,351 | | | Series 2017-C42-XA | | | 1.00%(b)(f) | | | 12/15/2050 | | | 1,075,755 | |
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8
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 1,758,000 | | | Series 2017-RC1-C | | | 4.59% | | | 01/15/2060 | | | 1,642,462 | |
| | 134,198,120 | | | Series 2018-C43-XA | | | 0.72%(b)(f) | | | 03/15/2051 | | | 2,299,203 | |
| | 4,335,668 | | | Series 2019-C49-XD | | | 2.30%(a)(b)(f) | | | 03/15/2052 | | | 349,794 | |
| | 59,257,788 | | | Series 2019-C50-XA | | | 1.57%(b)(f) | | | 05/15/2052 | | | 2,782,633 | |
| | 3,193,000 | | | Series 2019-C51-B | | | 3.84%(b) | | | 06/15/2052 | | | 2,814,222 | |
| | 42,814,800 | | | Series 2019-C51-XA | | | 1.41%(b)(f) | | | 06/15/2052 | | | 2,084,242 | |
| | 24,972,000 | | | Series 2019-C52-AS | | | 3.14% | | | 08/15/2052 | | | 22,833,743 | |
| | 69,836,778 | | | Series 2019-C52-XA | | | 1.70%(b)(f) | | | 08/15/2052 | | | 4,073,803 | |
| | 5,000,000 | | | Series 2019-C53-C | | | 3.58%(b) | | | 10/15/2052 | | | 4,281,371 | |
| | 8,777,333 | | | Series 2019-C53-XD | | | 1.56%(a)(b)(f) | | | 10/15/2052 | | | 566,433 | |
| | 132,183,011 | | | Series 2019-C54-XA | | | 0.94%(b)(f) | | | 12/15/2052 | | | 4,803,888 | |
| | 6,363,333 | | | Series 2019-C54-XD | | | 1.49%(a)(b)(f) | | | 12/15/2052 | | | 393,864 | |
| | 28,088,000 | | | Series 2020-C55-AS | | | 2.94% | | | 02/15/2053 | | | 25,192,442 | |
| | 52,886,315 | | | Series 2020-C55-XB | | | 0.94%(b)(f) | | | 02/15/2053 | | | 1,973,099 | |
| | 158,168,609 | | | Series 2020-C56-XA | | | 1.51%(b)(f) | | | 06/15/2053 | | | 8,202,102 | |
| | 163,961,890 | | | Series 2021-C61-XA | | | 1.47%(b)(f) | | | 11/15/2054 | | | 10,629,994 | |
| | 9,132,000 | | | Series 2021-C61-XD | | | 1.53%(a)(b)(f) | | | 11/15/2054 | | | 756,411 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 147,561,481 | | | Series 2014-USA-X1 | | | 0.69%(a)(b)(f) | | | 09/15/2037 | | | 233,841 | |
| | 3,799,000 | | | Series 2017-CALI-E | | | 3.90%(a)(b) | | | 11/10/2032 | | | 757,905 | |
| | 6,050,000 | | | Series 2017-CALI-F | | | 3.90%(a)(b) | | | 11/10/2032 | | | 762,306 | |
| | 4,847,000 | | | Series 2017-TIME-A | | | 3.65%(a) | | | 11/13/2039 | | | 4,042,974 | |
| | 17,745,773 | | | Series 2020-NET-A | | | 2.26%(a) | | | 08/15/2037 | | | 17,110,697 | |
| | 91,730,145 | | | Series 2020-NET-X | | | 1.28%(a)(b)(f) | | | 08/15/2037 | | | 830,552 | |
| | 5,903,500 | | | Series 2021-B33-A1 | | | 3.05%(a) | | | 10/10/2043 | | | 5,569,299 | |
| | 18,815,500 | | | Series 2021-B33-A2 | | | 3.17%(a) | | | 10/10/2043 | | | 16,712,076 | |
| | 109,000,000 | | | Series 2021-B33-X | | | 0.62%(a)(b)(f) | | | 10/10/2043 | | | 2,855,113 | |
| | | | | CSAIL Commercial Mortgage Trust | |
| | 4,606,000 | | | Series 2015-C1-C | | | 4.35%(b) | | | 04/15/2050 | | | 4,102,654 | |
| | 13,360,000 | | | Series 2015-C2-AS | | | 3.85%(b) | | | 06/15/2057 | | | 13,045,196 | |
| | 9,205,000 | | | Series 2015-C3-B | | | 4.24%(b) | | | 08/15/2048 | | | 8,401,205 | |
| | 2,299,000 | | | Series 2015-C4-C | | | 4.71%(b) | | | 11/15/2048 | | | 2,234,386 | |
| | 261,013,032 | | | Series 2015-C4-XA | | | 0.94%(b)(f) | | | 11/15/2048 | | | 1,208,308 | |
| | 9,425,000 | | | Series 2016-C5-C | | | 4.79%(b) | | | 11/15/2048 | | | 9,016,275 | |
| | 34,652,427 | | | Series 2016-C6-XA | | | 2.02%(b)(f) | | | 01/15/2049 | | | 631,069 | |
| | 11,020,000 | | | Series 2016-C7-B | | | 4.47%(b) | | | 11/15/2049 | | | 10,477,126 | |
| | 128,070,510 | | | Series 2017-C8-XA | | | 1.21%(b)(f) | | | 06/15/2050 | | | 2,811,878 | |
| | 4,399,000 | | | Series 2017-CX10-B | | | 3.89%(b) | | | 11/15/2050 | | | 4,004,364 | |
| | 3,356,000 | | | Series 2017-CX10-C | | | 4.42%(b) | | | 11/15/2050 | | | 2,740,012 | |
| | 66,364,176 | | | Series 2017-CX10-XA | | | 0.98%(b)(f) | | | 11/15/2050 | | | 1,245,636 | |
| | 1,886,000 | | | Series 2018-C14-C | | | 5.04%(b) | | | 11/15/2051 | | | 1,648,291 | |
| | 15,894,000 | | | Series 2019-C16-B | | | 3.88% | | | 06/15/2052 | | | 14,473,119 | |
| | 24,356,290 | | | Series 2019-C17-XA | | | 1.46%(b)(f) | | | 09/15/2052 | | | 1,226,203 | |
| | 7,924,000 | | | Series 2019-C18-B | | | 3.59% | | | 12/15/2052 | | | 7,145,176 | |
| | 222,638,532 | | | Series 2019-C18-XA | | | 1.13%(b)(f) | | | 12/15/2052 | | | 8,360,567 | |
| | 194,598,826 | | | Series 2020-C19-XA | | | 1.21%(b)(f) | | | 03/15/2053 | | | 8,874,465 | |
| | 81,465,000 | | | Series 2020-C19-XB | | | 0.15%(b)(f) | | | 03/15/2053 | | | 381,655 | |
| | | | | CSWF | |
| | 878,416 | | | Series 2018-TOP-G (1 mo. Term SOFR + 3.50%, 3.45% Floor) | | | 8.59%(a) | | | 08/15/2035 | | | 846,806 | |
| | | | | DBCG Mortgage Trust | |
| | 10,915,013 | | | Series 2017-BBG-A (Prime Rate + 0.00%, 0.00% Floor) | | | 8.50%(a) | | | 06/15/2034 | | | 10,915,993 | |
| | | | | DOLP Trust | |
| | 11,475,000 | | | Series 2021-NYC-F | | | 3.70%(a)(b) | | | 05/10/2041 | | | 7,727,486 | |
| | | | | Extended Stay America Trust | |
| | 3,082,982 | | | Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor) | | | 6.29%(a) | | | 07/15/2038 | | | 3,081,613 | |
| | | | | Fontainebleau Miami Beach Trust | |
| | 6,520,000 | | | Series 2019-FBLU-G | | | 4.09%(a)(b) | | | 12/10/2036 | | | 6,431,720 | |
| | | | | FS RIALTO | |
| | 537,242 | | | Series 2019-FL1-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.41%(a) | | | 12/16/2036 | | | 536,517 | |
| | | | | Granite Point Mortgage Trust, Inc. | |
| | 12,838,183 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.35% Floor) | | | 6.38%(a) | | | 12/15/2036 | | | 12,692,623 | |
| | | | | Great Wolf Trust | |
| | 15,000,000 | | | Series 2024-WLF2-A (1 mo. Term SOFR + 1.69%) | | | 6.79%(a) | | | 05/15/2041 | | | 15,026,025 | |
| | | | | Greystone Commercial Real Estate Notes | |
| | 13,328,201 | | | Series 2019-FL2-C (1 mo. Term SOFR + 2.11%, 2.00% Floor) | | | 7.21%(a) | | | 09/15/2037 | | | 13,361,735 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 6,001,673 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor) | | | 6.23%(a) | | | 07/15/2039 | | | 5,992,341 | |
| | 6,250,000 | | | Series 2021-FL3-B (1 mo. Term SOFR + 1.76%, 1.65% Floor) | | | 6.86%(a) | | | 07/15/2039 | | | 6,228,206 | |
| | | | | GS Mortgage Securities Corp. II | |
| | 4,000,000 | | | Series 2015-GC28-C | | | 4.53%(b) | | | 02/10/2048 | | | 3,800,441 | |
| | 91,400,803 | | | Series 2015-GC28-XA | | | 1.06%(b)(f) | | | 02/10/2048 | | | 24,578 | |
| | 186,223,988 | | | Series 2015-GC32-XA | | | 0.83%(b)(f) | | | 07/10/2048 | | | 567,052 | |
| | 140,277,301 | | | Series 2015-GC34-XA | | | 1.35%(b)(f) | | | 10/10/2048 | | | 1,064,915 | |
| | 62,449,592 | | | Series 2015-GS1-XA | | | 0.90%(b)(f) | | | 11/10/2048 | | | 356,031 | |
| | 39,263,601 | | | Series 2016-GS2-XA | | | 1.88%(b)(f) | | | 05/10/2049 | | | 691,813 | |
| | 251,474,214 | | | Series 2016-GS3-XA | | | 1.31%(b)(f) | | | 10/10/2049 | | | 4,162,829 | |
| | 46,997,766 | | | Series 2016-GS4-XA | | | 0.68%(b)(f) | | | 11/10/2049 | | | 416,870 | |
| | 178,750,271 | | | Series 2017-GS7-XA | | | 1.22%(b)(f) | | | 08/10/2050 | | | 4,134,208 | |
| | 98,700,000 | | | Series 2017-GS7-XB | | | 0.48%(b)(f) | | | 08/10/2050 | | | 867,228 | |
| | 3,443,000 | | | Series 2018-GS10-WLSA | | | 5.07%(a)(b) | | | 03/10/2033 | | | 832,027 | |
| | 6,834,000 | | | Series 2018-GS10-WLSB | | | 5.07%(a)(b) | | | 03/10/2033 | | | 682,840 | |
| | 9,287,000 | | | Series 2018-GS10-WLSC | | | 5.07%(a)(b) | | | 03/10/2033 | | | 879,182 | |
| | 8,990,000 | | | Series 2018-GS10-WLSD | | | 5.07%(a)(b) | | | 03/10/2033 | | | 803,868 | |
| | 11,236,750 | | | Series 2018-GS10-WLSE | | | 5.07%(a)(b) | | | 03/10/2033 | | | 916,278 | |
| | 190,394,535 | | | Series 2018-GS9-XA | | | 0.56%(b)(f) | | | 03/10/2051 | | | 2,336,407 | |
| | 12,875,000 | | | Series 2018-LUAU-A (1 mo. Term SOFR + 1.30%, 1.25% Floor) | | | 6.39%(a) | | | 11/15/2032 | | | 12,848,108 | |
| | 15,571,000 | | | Series 2018-TWR-A (1 mo. Term SOFR + 1.20%, 0.90% Floor) | | | 6.29%(a) | | | 07/15/2031 | | | 12,834,397 | |
| | 3,897,000 | | | Series 2018-TWR-D (1 mo. Term SOFR + 1.90%, 1.60% Floor) | | | 6.99%(a) | | | 07/15/2031 | | | 1,383,435 | |
| | 11,950,000 | | | Series 2018-TWR-E (1 mo. Term SOFR + 2.40%, 2.10% Floor) | | | 7.49%(a) | | | 07/15/2031 | | | 3,011,400 | |
| | 11,242,000 | | | Series 2018-TWR-F (1 mo. Term SOFR + 3.10%, 2.80% Floor) | | | 8.19%(a) | | | 07/15/2031 | | | 1,534,533 | |
| | 4,648,000 | | | Series 2018-TWR-G (1 mo. Term SOFR + 4.22%, 3.93% Floor) | | | 9.32%(a) | | | 07/15/2031 | | | 96,632 | |
| | 51,961,303 | | | Series 2019-GC38-XA | | | 1.17%(b)(f) | | | 02/10/2052 | | | 1,968,720 | |
| | 13,186,348 | | | Series 2019-GC39-XA | | | 1.24%(b)(f) | | | 05/10/2052 | | | 557,993 | |
| | 21,600,000 | | | Series 2019-GSA1-XD | | | 1.13%(a)(b)(f) | | | 11/10/2052 | | | 981,037 | |
| | 178,737,919 | | | Series 2020-GC45-XA | | | 0.77%(b)(f) | | | 02/13/2053 | | | 4,644,112 | |
| | 25,009,000 | | | Series 2020-GC45-XD | | | 0.80%(a)(b)(f) | | | 02/13/2053 | | | 792,895 | |
| | 55,118,112 | | | Series 2020-GSA2-XA | | | 1.82%(a)(b)(f) | | | 12/12/2053 | | | 4,198,617 | |
| | 7,561,000 | | | Series 2020-UPTN-D | | | 3.35%(a)(b) | | | 02/10/2037 | | | 7,228,217 | |
| | 56,900,000 | | | Series 2021-1HTL-A (1 mo. Term SOFR + 3.59%, 3.48% Floor) | | | 8.71%(a) | | | 11/09/2024 | | | 56,564,404 | |
| | 3,280,000 | | | Series 2021-ARDN-E (1 mo. Term SOFR + 3.46%, 3.35% Floor) | | | 8.56%(a) | | | 11/15/2036 | | | 3,246,196 | |
| | 16,787,000 | | | Series 2021-ARDN-G (1 mo. Term SOFR + 5.11%, 5.00% Floor) | | | 10.21%(a) | | | 11/15/2036 | | | 16,609,006 | |
| | | | | Hilton USA Trust | |
| | 5,692,000 | | | Series 2016-SFP-A | | | 2.83%(a) | | | 11/05/2035 | | | 4,898,422 | |
| | | | | JP Morgan Chase Commercial Mortgage Securities | |
| | 442,673 | | | Series 2007-CB20-X1 | | | 0.00%(a)(b)(f) | | | 02/12/2051 | | | 1 | |
| | 4,621,620 | | | Series 2013-LC11-AS | | | 3.22% | | | 04/15/2046 | | | 4,243,534 | |
| | 2,553,368 | | | Series 2014-C20-B | | | 4.40%(b) | | | 07/15/2047 | | | 2,497,538 | |
| | 47,460,379 | | | Series 2015-JP1-XA | | | 1.03%(b)(f) | | | 01/15/2049 | | | 337,211 | |
| | 1,725,000 | | | Series 2017-JP5-C | | | 3.90%(b) | | | 03/15/2050 | | | 1,489,049 | |
| | 9,343,000 | | | Series 2018-MINN-E (1 mo. Term SOFR + 2.80%, 3.50% Floor) | | | 7.89%(a) | | | 11/15/2035 | | | 7,458,825 | |
| | 18,869,000 | | | Series 2019-COR4-XD | | | 2.18%(a)(b)(f) | | | 03/10/2052 | | | 1,429,227 | |
| | 86,255,981 | | | Series 2019-COR5-XA | | | 1.61%(b)(f) | | | 06/13/2052 | | | 4,262,676 | |
| | 8,500,000 | | | Series 2019-COR5-XD | | | 1.92%(a)(b)(f) | | | 06/13/2052 | | | 605,956 | |
| | 7,366,000 | | | Series 2020-ACE-C | | | 3.82%(a)(b) | | | 01/10/2037 | | | 7,245,765 | |
| | 29,530,000 | | | Series 2020-NNN-EFX | | | 3.97%(a) | | | 01/16/2037 | | | 11,074,045 | |
| | | | | JPMBB Commercial Mortgage Securities Trust | |
| | 3,565,505 | | | Series 2014-C21-C | | | 4.72%(b) | | | 08/15/2047 | | | 3,503,188 | |
| | 83,176,002 | | | Series 2014-C25-XA | | | 0.90%(b)(f) | | | 11/15/2047 | | | 1,481 | |
| | 99,789,673 | | | Series 2014-C26-XA | | | 0.97%(b)(f) | | | 01/15/2048 | | | 1,956 | |
| | 8,236,400 | | | Series 2015-C27-C | | | 4.42%(b) | | | 02/15/2048 | | | 5,229,097 | |
| | 10,425,000 | | | Series 2015-C27-D | | | 3.92%(a)(b) | | | 02/15/2048 | | | 2,554,597 | |
| | 10,663,088 | | | Series 2015-C28-C | | | 4.25%(b) | | | 10/15/2048 | | | 9,933,327 | |
| | 25,748,731 | | | Series 2015-C28-XA | | | 1.00%(b)(f) | | | 10/15/2048 | | | 37,946 | |
| | 26,896,205 | | | Series 2015-C29-XA | | | 0.67%(b)(f) | | | 05/15/2048 | | | 55,325 | |
| | 116,286,114 | | | Series 2015-C30-XA | | | 0.55%(b)(f) | | | 07/15/2048 | | | 218,525 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 9
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 51,725,925 | | | Series 2015-C32-XA | | | 1.24%(b)(f) | | | 11/15/2048 | | | 239,041 | |
| | 7,394,000 | | | Series 2016-C1-C | | | 4.86%(b) | | | 03/17/2049 | | | 6,779,018 | |
| | 16,641,213 | | | Series 2016-C1-XA | | | 1.31%(b)(f) | | | 03/17/2049 | | | 205,008 | |
| | | | | JPMDB Commercial Mortgage Securities Trust | |
| | 102,377,550 | | | Series 2016-C2-XA | | | 1.62%(b)(f) | | | 06/15/2049 | | | 1,634,529 | |
| | 134,651,530 | | | Series 2017-C5-XA | | | 1.02%(b)(f) | | | 03/15/2050 | | | 1,924,022 | |
| | 163,147,036 | | | Series 2017-C7-XA | | | 0.96%(b)(f) | | | 10/15/2050 | | | 3,246,055 | |
| | 13,604,000 | | | Series 2019-COR6-AS | | | 3.41%(b) | | | 11/13/2052 | | | 11,801,542 | |
| | 274,300,887 | | | Series 2020-COR7-XA | | | 1.76%(b)(f) | | | 05/13/2053 | | | 15,882,378 | |
| | | | | KREF | |
| | 8,033,713 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor) | | | 6.27%(a) | | | 02/15/2039 | | | 7,996,605 | |
| | | | | Ladder Capital Commercial Mortgage Securities LLC | |
| | 10,206,370 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.56%, 1.56% Floor) | | | 6.66%(a) | | | 11/15/2038 | | | 10,178,925 | |
| | | | | LFT CRE Ltd. | |
| | 10,800,000 | | | Series 2021-FL1-B (1 mo. Term SOFR + 1.86%, 1.86% Floor) | | | 6.96%(a) | | | 06/15/2039 | | | 10,637,222 | |
| | | | | LSTAR Commercial Mortgage Trust | |
| | 1,360,000 | | | Series 2015-3-D | | | 3.27%(a)(b) | | | 04/20/2048 | | | 1,329,269 | |
| | 15,163,751 | | | Series 2017-5-X | | | 0.99%(a)(b)(f) | | | 03/10/2050 | | | 221,109 | |
| | | | | M360 LLC | |
| | 11,453,888 | | | Series 2021-CRE3-A (1 mo. Term SOFR + 1.61%, 1.50% Floor) | | | 6.53%(a) | | | 11/22/2038 | | | 11,446,145 | |
| | 7,162,000 | | | Series 2021-CRE3-B (1 mo. Term SOFR + 2.36%, 2.25% Floor) | | | 7.28%(a) | | | 11/22/2038 | | | 7,080,711 | |
| | | | | Manhattan West | |
| | 5,731,000 | | | Series 2020-1MW-C | | | 2.41%(a)(b) | | | 09/10/2039 | | | 5,248,176 | |
| | | | | MF1 Multifamily Housing Mortgage Loan Trust | |
| | 1,699,314 | | | Series 2021-FL5-A (1 mo. Term SOFR + 0.96%, 0.96% Floor) | | | 6.05%(a) | | | 07/15/2036 | | | 1,700,072 | |
| | 10,000,000 | | | Series 2021-FL5-AS (1 mo. Term SOFR + 1.31%, 1.31% Floor) | | | 6.40%(a) | | | 07/15/2036 | | | 9,984,210 | |
| | 11,333,362 | | | Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor) | | | 6.31%(a) | | | 02/19/2037 | | | 11,306,017 | |
| | 8,204,929 | | | Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.11%(a) | | | 06/19/2037 | | | 8,222,751 | |
| | 17,500,000 | | | Series 2023-FL12-A (1 mo. Term SOFR + 2.07%, 2.07% Floor) | | | 7.03%(a) | | | 10/19/2038 | | | 17,597,860 | |
| | 10,660,000 | | | Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor) | | | 6.70%(a) | | | 08/18/2041 | | | 10,680,350 | |
| | | | | MFT Trust | |
| | 9,417,000 | | | Series 2020-ABC-A | | | 3.36%(a) | | | 02/10/2042 | | | 6,469,509 | |
| | 4,317,000 | | | Series 2020-ABC-B | | | 3.59%(a)(b) | | | 02/10/2042 | | | 2,733,465 | |
| | | | | MHC Commercial Mortgage Trust | |
| | 3,540,060 | | | Series 2021-MHC-A (1 mo. Term SOFR + 0.92%, 0.80% Floor) | | | 6.01%(a) | | | 04/15/2038 | | | 3,526,140 | |
| | | | | Morgan Stanley ABS Capital I, Inc. | |
| | 4,353,603 | | | Series 2021-ILP-A (1 mo. Term SOFR + 0.89%, 0.78% Floor) | | | 5.99%(a) | | | 11/15/2036 | | | 4,321,036 | |
| | 17,326,703 | | | Series 2021-ILP-D (1 mo. Term SOFR + 1.69%, 1.58% Floor) | | | 6.79%(a) | | | 11/15/2036 | | | 17,140,191 | |
| | 17,087,000 | | | Series 2024-NSTB-A | | | 3.90%(a)(b) | | | 09/24/2057 | | | 16,628,641 | |
| | | | | Morgan Stanley Bank of America Merrill Lynch Trust | |
| | 10,102,345 | | | Series 2012-CKSV-CK | | | 4.30%(a)(b) | | | 10/15/2030 | | | 6,459,314 | |
| | 13,450,000 | | | Series 2014-C18-C | | | 4.83%(b) | | | 10/15/2047 | | | 13,086,356 | |
| | 6,693,500 | | | Series 2014-C19-C | | | 4.00% | | | 12/15/2047 | | | 6,387,474 | |
| | 5,457,500 | | | Series 2015-C20-C | | | 4.57%(b) | | | 02/15/2048 | | | 5,344,268 | |
| | 126,920,657 | | | Series 2015-C20-XA | | | 1.31%(b)(f) | | | 02/15/2048 | | | 135,754 | |
| | 14,422,000 | | | Series 2015-C27-C | | | 4.63%(b) | | | 12/15/2047 | | | 13,776,882 | |
| | 126,805,312 | | | Series 2016-C28-XA | | | 1.30%(b)(f) | | | 01/15/2049 | | | 1,122,785 | |
| | 7,564,000 | | | Series 2016-C31-C | | | 4.40%(b) | | | 11/15/2049 | | | 6,525,503 | |
| | 37,528,587 | | | Series 2017-C33-XA | | | 1.39%(b)(f) | | | 05/15/2050 | | | 848,769 | |
| | | | | Morgan Stanley Capital I, Inc. | |
| | 6,152,674 | | | Series 2006-HQ10-X1 | | | 0.59%(a)(b)(f) | | | 11/12/2041 | | | 128 | |
| | 7,137,000 | | | Series 2015-UBS8-B | | | 4.32%(b) | | | 12/15/2048 | | | 6,568,695 | |
| | 22,106,748 | | | Series 2015-UBS8-XA | | | 1.00%(b)(f) | | | 12/15/2048 | | | 132,099 | |
| | 129,497,777 | | | Series 2017-H1-XA | | | 1.45%(b)(f) | | | 06/15/2050 | | | 2,879,772 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 4,661,000 | | | Series 2017-HR2-C | | | 4.46%(b) | | | 12/15/2050 | | | 4,336,808 | |
| | 8,000,000 | | | Series 2018-MP-E | | | 4.42%(a)(b) | | | 07/11/2040 | | | 5,135,509 | |
| | 9,386,700 | | | Series 2019-H6-XD | | | 1.72%(a)(b)(f) | | | 06/15/2052 | | | 585,854 | |
| | 5,305,000 | | | Series 2019-H7-AS | | | 3.52% | | | 07/15/2052 | | | 4,963,545 | |
| | 74,386,564 | | | Series 2019-L2-XA | | | 1.17%(b)(f) | | | 03/15/2052 | | | 2,702,427 | |
| | 3,845,000 | | | Series 2019-L3-AS | | | 3.49% | | | 11/15/2052 | | | 3,569,706 | |
| | 147,000,282 | | | Series 2019-L3-XA | | | 0.73%(b)(f) | | | 11/15/2052 | | | 3,853,656 | |
| | 15,090,000 | | | Series 2019-L3-XD | | | 1.27%(a)(b)(f) | | | 11/15/2052 | | | 771,360 | |
| | 3,355,000 | | | Series 2019-NUGS-D (1 mo. Term SOFR + 1.91%, 3.30% Floor) | | | 7.01%(a) | | | 12/15/2036 | | | 301,266 | |
| | 6,002,000 | | | Series 2019-PLND-E (1 mo. Term SOFR + 2.26%, 2.15% Floor) | | | 7.36%(a) | | | 05/15/2036 | | | 1,009,103 | |
| | 2,200,000 | | | Series 2020-HR8-B | | | 2.70% | | | 07/15/2053 | | | 1,846,489 | |
| | 24,004,000 | | | Series 2020-L4-B | | | 3.08% | | | 02/15/2053 | | | 20,867,268 | |
| | 284,822,138 | | | Series 2020-L4-XA | | | 1.19%(b)(f) | | | 02/15/2053 | | | 13,616,748 | |
| | 13,625,665 | | | Series 2020-L4-XD | | | 1.29%(a)(b)(f) | | | 02/15/2053 | | | 736,629 | |
| | 10,779,000 | | | Series 2021-L6-C | | | 3.57%(b) | | | 06/15/2054 | | | 8,740,200 | |
| | | | | MRCD Mortgage Trust | |
| | 7,794,000 | | | Series 2019-PARK-F | | | 2.72%(a) | | | 12/15/2036 | | | 4,642,106 | |
| | 32,926,000 | | | Series 2019-PARK-G | | | 2.72%(a) | | | 12/15/2036 | | | 17,961,133 | |
| | | | | Multifamily Tax-Exempt Mortgage-backed Securities M-TEMS | |
| | 62,407,041 | | | Series 2021-2 | | | 0.82%(b)(f) | | | 03/25/2035 | | | 2,825,791 | |
| | | | | Natixis Commercial Mortgage Securities Trust | |
| | 13,188,800 | | | Series 2020-2PAC-D | | | 3.75%(a) | | | 12/15/2038 | | | 10,575,942 | |
| | | | | NYT Mortgage Trust | |
| | 25,000,000 | | | Series 2019-NYT-D (1 mo. Term SOFR + 2.30%, 2.00% Floor) | | | 7.39%(a) | | | 12/15/2035 | | | 21,344,275 | |
| | | | | OPG Trust | |
| | 6,977,750 | | | Series 2021-PORT-D (1 mo. Term SOFR + 1.25%, 1.13% Floor) | | | 6.34%(a) | | | 10/15/2036 | | | 6,894,647 | |
| | | | | SLG Office Trust | |
| | 37,079,000 | | | Series 2021-OVA-F | | | 2.85%(a) | | | 07/15/2041 | | | 28,977,098 | |
| | | | | SMR Mortgage Trust | |
| | 4,131,535 | | | Series 2022-IND-G (1 mo. Term SOFR + 7.50%, 7.50% Floor) | | | 12.60%(a) | | | 02/15/2039 | | | 3,569,741 | |
| | | | | Soho Trust | |
| | 2,985,000 | | | Series 2021-SOHO-B | | | 2.79%(a)(b) | | | 08/10/2038 | | | 1,697,866 | |
| | | | | SREIT Trust | |
| | 47,000,000 | | | Series 2021-IND-G (1 mo. Term SOFR + 3.38%, 3.27% Floor) | | | 8.48%(a) | | | 10/15/2038 | | | 45,807,742 | |
| | 5,071,373 | | | Series 2021-MFP-E (1 mo. Term SOFR + 2.14%, 2.03% Floor) | | | 7.24%(a) | | | 11/15/2038 | | | 5,039,511 | |
| | | | | TPG Real Estate Finance Issuer Ltd. | |
| | 9,796,727 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.40%(a) | | | 03/15/2038 | | | 9,770,315 | |
| | | | | UBS Commercial Mortgage Trust | |
| | 8,000,000 | | | Series 2017-C1-C | | | 4.44% | | | 06/15/2050 | | | 7,036,646 | |
| | 78,956,156 | | | Series 2017-C1-XA | | | 1.65%(b)(f) | | | 06/15/2050 | | | 2,336,526 | |
| | 1,124,000 | | | Series 2017-C2-C | | | 4.30%(b) | | | 08/15/2050 | | | 1,023,242 | |
| | 6,857,000 | | | Series 2017-C3-B | | | 4.09%(b) | | | 08/15/2050 | | | 6,277,916 | |
| | 10,154,558 | | | Series 2017-C3-XA | | | 1.25%(b)(f) | | | 08/15/2050 | | | 216,593 | |
| | 3,561,000 | | | Series 2017-C4-B | | | 4.24%(b) | | | 10/15/2050 | | | 3,360,465 | |
| | 2,886,000 | | | Series 2017-C6-C | | | 4.77%(b) | | | 12/15/2050 | | | 2,531,328 | |
| | 1,020,000 | | | Series 2018-C11-B | | | 4.71%(b) | | | 06/15/2051 | | | 923,812 | |
| | 37,626,898 | | | Series 2018-C9-XA | | | 1.08%(b)(f) | | | 03/15/2051 | | | 964,754 | |
| | 8,350,000 | | | Series 2019-C17-AS | | | 3.20% | | | 10/15/2052 | | | 7,518,634 | |
| | 12,767,000 | | | Series 2019-C17-XD | | | 1.90%(a)(b)(f) | | | 10/15/2052 | | | 964,174 | |
| | 14,858,000 | | | Series 2019-C18-AS | | | 3.38%(b) | | | 12/15/2052 | | | 13,286,716 | |
| | 9,705,000 | | | Series 2019-C18-B | | | 3.68%(b) | | | 12/15/2052 | | | 8,413,387 | |
| | 11,574,000 | | | Series 2019-C18-XD | | | 1.57%(a)(b)(f) | | | 12/15/2052 | | | 740,592 | |
| | | | | UBS-Barclays Commercial Mortgage Trust | |
| | 6,117,000 | | | Series 2019-C3-XD | | | 1.93%(a)(b)(f) | | | 05/15/2052 | | | 433,935 | |
| | 166,480,544 | | | Series 2019-C4-XA | | | 1.67%(b)(f) | | | 08/15/2052 | | | 9,531,610 | |
| | 13,091,000 | | | Series 2019-C4-XD | | | 1.28%(a)(b)(f) | | | 08/15/2052 | | | 621,082 | |
| | 65,826,222 | | | Series 2019-C5-XA | | | 0.98%(b)(f) | | | 11/15/2052 | | | 2,024,439 | |
| | 14,866,000 | | | Series 2019-C5-XD | | | 1.45%(a)(b)(f) | | | 11/15/2052 | | | 841,664 | |
| | | |
| | | |
10
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | VMC Finance LLC | |
| | 9,000,000 | | | Series 2022-FL5-AS (30 day avg SOFR US + 2.40%, 2.40% Floor) | | | 7.74%(a) | | | 02/18/2039 | | | 9,060,318 | |
| | | | | Wells Fargo Commercial Mortgage Trust | |
| | 118,717,615 | | | Series 2024-5C1-XA | | | 1.26%(b)(f) | | | 07/15/2057 | | | 5,052,729 | |
| | | | | WF-RBS Commercial Mortgage Trust | |
| | 10,000,000 | | | Series 2014-C21-B | | | 4.21%(b) | | | 08/15/2047 | | | 9,683,750 | |
| | 3,147,000 | | | Series 2014-C21-C | | | 4.23%(b) | | | 08/15/2047 | | | 2,924,743 | |
| | 75,448,969 | | | Series 2014-C25-XA | | | 0.83%(b)(f) | | | 11/15/2047 | | | 1,313 | |
| | | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $3,027,097,858) | | | | | | 2,199,986,742 | |
| | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 24.0% | |
| | | | | Accredited Mortgage Loan Trust | |
| | 12,875,000 | | | Series 2006-1-M2 (1 mo. Term SOFR + 0.45%, 0.34% Floor) | | | 1.65% | | | 04/25/2036 | | | 9,825,439 | |
| | | | | ACE Securities Corp. | |
| | 1,502,220 | | | Series 2007-ASP1-A2C (1 mo. Term SOFR + 0.63%, 0.52% Floor) | | | 5.49% | | | 03/25/2037 | | | 616,468 | |
| | 9,695,515 | | | Series 2007-HE1-A2B (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21% | | | 01/25/2037 | | | 5,871,743 | |
| | 2,259,283 | | | Series 2007-HE1-A2C (1 mo. Term SOFR + 0.45%, 0.34% Floor) | | | 5.31% | | | 01/25/2037 | | | 1,368,224 | |
| | 2,118,078 | | | Series 2007-HE1-A2D (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 01/25/2037 | | | 1,282,662 | |
| | 69,650,162 | | | Series 2007-WM1-A1A (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 11/25/2036 | | | 20,846,865 | |
| | 3,817,158 | | | Series 2007-WM1-A2A (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 11/25/2036 | | | 1,580,046 | |
| | 4,126,644 | | | Series 2007-WM1-A2D (1 mo. Term SOFR + 0.55%, 0.44% Floor) | | | 5.41% | | | 11/25/2036 | | | 1,705,677 | |
| | 2,667,470 | | | Series 2007-WM2-A2C (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 02/25/2037 | | | 1,123,038 | |
| | 2,338,466 | | | Series 2007-WM2-A2D (1 mo. Term SOFR + 0.48%, 0.37% Floor) | | | 5.34% | | | 02/25/2037 | | | 984,494 | |
| | | | | Adjustable Rate Mortgage Trust | |
| | 2,539,065 | | | Series 2004-4-CB1 (1 mo. Term SOFR + 1.26%, 1.15% Floor, 10.00% Cap) | | | 6.12% | | | 03/25/2035 | | | 2,142,179 | |
| | 17,287,194 | | | Series 2005-11-4A1 | | | 5.35%(b) | | | 02/25/2036 | | | 9,166,975 | |
| | 1,290,249 | | | Series 2005-4-2A1 | | | 6.47%(b) | | | 08/25/2035 | | | 1,200,632 | |
| | 125,321 | | | Series 2005-7-3A1 | | | 5.42%(b) | | | 10/25/2035 | | | 119,952 | |
| | 3,814,664 | | | Series 2005-8-3A21 | | | 5.23%(b) | | | 11/25/2035 | | | 2,732,257 | |
| | 10,559,216 | | | Series 2006-1-2A1 | | | 5.45%(b) | | | 03/25/2036 | | | 5,415,514 | |
| | 9,899,926 | | | Series 2006-2-5A1 | | | 5.29%(b) | | | 05/25/2036 | | | 2,048,479 | |
| | 4,252,791 | | | Series 2007-1-3A1 | | | 5.11%(b) | | | 03/25/2037 | | | 3,862,171 | |
| | 856,412 | | | Series 2007-3-1A1 | | | 5.41%(a)(b) | | | 11/25/2037 | | | 828,015 | |
| | | | | Aegis Asset Backed Securities Trust | |
| | 800,034 | | | Series 2004-1-M2 (1 mo. Term SOFR + 2.14%, 2.03% Floor) | | | 7.00% | | | 04/25/2034 | | | 779,033 | |
| | 617,792 | | | Series 2004-2-M2 (1 mo. Term SOFR + 2.06%, 1.95% Floor) | | | 6.92% | | | 06/25/2034 | | | 597,159 | |
| | 3,660,704 | | | Series 2004-6-M2 (1 mo. Term SOFR + 1.11%, 1.00% Floor, 15.00% Cap) | | | 5.97% | | | 03/25/2035 | | | 3,461,246 | |
| | 8,867,954 | | | Series 2006-1-A2 (1 mo. Term SOFR + 0.28%, 0.17% Floor, 12.00% Cap) | | | 5.14% | | | 01/25/2037 | | | 6,655,725 | |
| | | | | AlphaFlow Transitional Mortgage Trust | |
| | 5,180,153 | | | Series 2021-WL1-A1 | | | 3.28%(a)(d) | | | 01/25/2026 | | | 5,077,724 | |
| | | | | American Home Mortgage Assets LLC | |
| | 2,683,327 | | | Series 2006-2-2A1 (1 mo. Term SOFR + 0.49%, 0.38% Floor) | | | 5.35% | | | 09/25/2046 | | | 2,438,893 | |
| | | |
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| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | American Home Mortgage Investment Trust | |
| | 2,576,237 | | | Series 2005-4-3A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 11.00% Cap) | | | 5.57% | | | 11/25/2045 | | | 1,825,522 | |
| | 11,770,591 | | | Series 2005-4-5A (6 mo. Term SOFR + 2.18%, 1.75% Floor, 11.00% Cap) | | | 6.88% | | | 11/25/2045 | | | 4,790,533 | |
| | 2,146,383 | | | Series 2006-2-3A4 | | | 7.10%(d) | | | 06/25/2036 | | | 317,008 | |
| | 7,248,123 | | | Series 2007-A-13A1 | | | 6.60%(a)(d) | | | 01/25/2037 | | | 1,098,518 | |
| | | | | Ameriquest Mortgage Securities, Inc. | |
| | 3,205,638 | | | Series 2004-FR1-M1 | | | 3.79%(d) | | | 05/25/2034 | | | 3,165,255 | |
| | | | | Amortizing Residential Collateral Trust | |
| | 4,655,288 | | | Series 2002-BC7-M1 (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.17% | | | 10/25/2032 | | | 3,591,290 | |
| | | | | AMSR Trust | |
| | 41,588,000 | | | Series 2019-SFR1-E | | | 3.47%(a) | | | 01/19/2039 | | | 40,093,086 | |
| | 30,156,000 | | | Series 2020-SFR4-G1 | | | 4.00%(a) | | | 11/17/2037 | | | 29,572,958 | |
| | 10,000,000 | | | Series 2020-SFR5-F | | | 2.69%(a) | | | 11/17/2037 | | | 9,694,298 | |
| | 6,500,000 | | | Series 2021-SFR3-E1 | | | 2.33%(a) | | | 10/17/2038 | | | 6,074,190 | |
| | 11,000,000 | | | Series 2021-SFR3-E2 | | | 2.43%(a) | | | 10/17/2038 | | | 10,261,111 | |
| | 18,500,000 | | | Series 2021-SFR3-F | | | 3.23%(a) | | | 10/17/2038 | | | 17,251,476 | |
| | 6,500,000 | | | Series 2021-SFR4-D | | | 2.77%(a) | | | 12/17/2038 | | | 6,183,548 | |
| | 10,500,000 | | | Series 2021-SFR4-E1 | | | 2.97%(a) | | | 12/17/2038 | | | 9,990,938 | |
| | | | | Angel Oak Mortgage Trust LLC | |
| | 876,981 | | | Series 2019-2-M1 | | | 4.07%(a)(b) | | | 03/25/2049 | | | 873,862 | |
| | 9,121,000 | | | Series 2021-7-M1 | | | 3.26%(a)(b) | | | 10/25/2066 | | | 6,792,521 | |
| | | | | Argent Securities, Inc. Asset-Backed Pass-Through Certificates | |
| | 9,652,851 | | | Series 2004-W11-M6 (1 mo. Term SOFR + 1.99%, 1.88% Floor) | | | 6.84% | | | 11/25/2034 | | | 8,389,676 | |
| | 101,788,987 | | | Series 2006-M3-A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor) | | | 5.14% | | | 10/25/2036 | | | 57,235,988 | |
| | 11,420,901 | | | Series 2006-W5-A1A (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 06/25/2036 | | | 7,484,350 | |
| | | | | Asset Backed Funding Certificates | |
| | 81,689,323 | | | Series 2007-WMC1-A1A (1 mo. Term SOFR + 1.36%, 1.25% Floor) | | | 6.22% | | | 06/25/2037 | | | 59,172,617 | |
| | | | | Asset Backed Securities Corp. Home Equity | |
| | 1,267,409 | | | Series 2004-HE3-M2 (1 mo. Term SOFR + 1.79%, 1.68% Floor) | | | 6.65% | | | 06/25/2034 | | | 1,340,847 | |
| | 17,638,867 | | | Series 2006-HE7-A1 (1 mo. Term SOFR + 0.38%, 0.27% Floor) | | | 3.76% | | | 11/25/2036 | | | 16,215,758 | |
| | | | | Banc of America Alternative Loan Trust | |
| | 431,155 | | | Series 2005-10-4A1 | | | 5.75% | | | 11/25/2035 | | | 313,830 | |
| | 1,857,297 | | | Series 2005-11-2CB1 | | | 6.00% | | | 12/25/2035 | | | 1,779,109 | |
| | 1,239,541 | | | Series 2006-2-1CB1 | | | 6.00% | | | 03/25/2036 | | | 1,135,765 | |
| | 1,573,228 | | | Series 2006-2-3CB1 | | | 6.50% | | | 03/25/2036 | | | 1,390,878 | |
| | 422,931 | | | Series 2006-5-CB14 (1 mo. Term SOFR + 1.21%, 6.00% Floor, 6.00% Cap) | | | 6.00% | | | 06/25/2046 | | | 368,373 | |
| | 1,011,221 | | | Series 2006-6-CB3 | | | 6.00% | | | 07/25/2046 | | | 877,277 | |
| | 7,856,663 | | | Series 2006-7-A4 | | | 6.50%(d) | | | 10/25/2036 | | | 2,371,637 | |
| | 1,333,607 | | | Series 2006-8-1A1 (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap) | | | 1.53%(f)(g) | | | 11/25/2036 | | | 129,409 | |
| | 475,290 | | | Series 2006-8-1A2 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.42% | | | 11/25/2036 | | | 364,717 | |
| | 2,189,920 | | | Series 2006-9-1CB1 | | | 6.00% | | | 01/25/2037 | | | 1,953,223 | |
| | 373,312 | | | Series 2007-2-2A1 | | | 6.00% | | | 06/25/2037 | | | 319,996 | |
| | | | | Banc of America Funding Corp. | |
| | 2,253,517 | | | Series 2006-2-3A1 | | | 6.00% | | | 03/25/2036 | | | 1,931,472 | |
| | 66,118 | | | Series 2006-2-4A1 (-3 x 1 mo. Term SOFR + 22.46%, 0.00% Floor, 22.80% Cap) | | | 7.89%(g) | | | 03/25/2036 | | | 68,288 | |
| | 79,761 | | | Series 2006-2-6A2 | | | 5.50% | | | 03/25/2036 | | | 78,805 | |
| | 261,598 | | | Series 2006-3-1A1 | | | 6.00% | | | 03/25/2036 | | | 219,043 | |
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The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 11
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 160,039 | | | Series 2006-3-6A1 | | | 6.37%(b) | | | 03/25/2036 | | | 163,102 | |
| | 1,224,172 | | | Series 2006-6-1A7 | | | 6.25% | | | 08/25/2036 | | | 1,054,786 | |
| | 451,918 | | | Series 2006-7-T2A5 | | | 6.54%(d) | | | 10/25/2036 | | | 399,262 | |
| | 2,130,033 | | | Series 2006-7-T2A8 | | | 6.41%(d) | | | 10/25/2036 | | | 1,882,059 | |
| | 528,231 | | | Series 2006-8T2-A8 | | | 6.60%(d) | | | 10/25/2036 | | | 463,507 | |
| | 225,420 | | | Series 2006-B-7A1 | | | 4.30%(b) | | | 03/20/2036 | | | 193,075 | |
| | 3,889,238 | | | Series 2006-D-6A1 | | | 3.97%(b) | | | 05/20/2036 | | | 3,237,753 | |
| | 101,055 | | | Series 2006-H-3A1 | | | 5.03%(b) | | | 09/20/2046 | | | 83,389 | |
| | 44,003,944 | | | Series 2006-H-5A1 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 10.50% Cap) | | | 5.44% | | | 10/20/2036 | | | 13,823,821 | |
| | 445,891 | | | Series 2007-1-TA10 | | | 6.34%(d) | | | 01/25/2037 | | | 416,917 | |
| | 599,482 | | | Series 2007-3-TA1B | | | 5.83%(b) | | | 04/25/2037 | | | 500,231 | |
| | 1,096,508 | | | Series 2007-5-1A1 | | | 5.50% | | | 07/25/2037 | | | 893,165 | |
| | 635,376 | | | Series 2009-R14A-3A (-2 x 1 mo. Term SOFR + 16.30%, 5.50% Floor, 16.57% Cap) | | | 5.50%(a)(g) | | | 06/26/2035 | | | 622,198 | |
| | 899,102 | | | Series 2009-R15A-4A2 | | | 5.75%(a)(b) | | | 12/26/2036 | | | 791,106 | |
| | 548,366 | | | Series 2010-R1-3A (-2 x 1 mo. Term SOFR + 14.10%, 6.00% Floor, 14.28% Cap) | | | 6.00%(a)(g) | | | 07/26/2036 | | | 558,383 | |
| | 4,675,924 | | | Series 2014-R6-3A2 | | | 5.48%(a)(b)(h) | | | 10/26/2036 | | | 4,263,614 | |
| | 11,258,870 | | | Series 2014-R8-A2 (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21%(a) | | | 06/26/2036 | | | 9,231,724 | |
| | 18,579,176 | | | Series 2015-R2-4A2 (1 mo. Term SOFR + 0.28%, 0.17% Floor) | | | 2.52%(a) | | | 09/29/2036 | | | 14,599,708 | |
| | | | | Banc of America Mortgage Securities, Inc. | |
| | 918,302 | | | Series 2006-1-A9 | | | 6.00% | | | 05/25/2036 | | | 787,436 | |
| | 139,375 | | | Series 2007-1-2A5 | | | 5.75% | | | 01/25/2037 | | | 121,013 | |
| | 3,056,360 | | | Series 2007-3-2A8 | | | 7.00% | | | 09/25/2037 | | | 2,579,761 | |
| | | | | BankUnited Trust | |
| | 5,222,618 | | | Series 2005-1-2A1 | | | 5.01%(b) | | | 09/25/2045 | | | 4,818,553 | |
| | | | | Barclays PLC | |
| | 6,305,672 | | | Series 2010-RR6-7A10 | | | 7.50%(a)(b) | | | 02/26/2037 | | | 2,579,015 | |
| | | | | Bayview Commercial Asset Trust | |
| | 637,546 | | | Series 2007-3-A2 (1 mo. Term SOFR + 0.55%, 0.00% Floor) | | | 5.40%(a) | | | 07/25/2037 | | | 606,487 | |
| | | | | Bayview Financial Acquisition Trust | |
| | 2,301,790 | | | Series 2006-C-2A4 (1 mo. Term SOFR + 0.53%, 0.00% Floor) | | | 5.38% | | | 11/28/2036 | | | 2,117,192 | |
| | | | | BCAP LLC Trust | |
| | 19,433,679 | | | Series 2007-AA2-11A (1 mo. Term SOFR + 0.49%, 0.38% Floor) | | | 5.35%(a) | | | 05/25/2047 | | | 19,824,362 | |
| | 1,944,220 | | | Series 2007-AA2-2A7 | | | 6.00% | | | 04/25/2037 | | | 866,920 | |
| | 2,104,838 | | | Series 2007-AA2-2A8 | | | 5.75% | | | 04/25/2037 | | | 906,157 | |
| | 10,173,028 | | | Series 2008-RR3-A1B | | | 6.70%(a)(b) | | | 10/25/2036 | | | 3,185,762 | |
| | 1,449,403 | | | Series 2009-RR13-18A2 | | | 5.75%(a)(b) | | | 07/26/2037 | | | 746,062 | |
| | 2,526,344 | | | Series 2009-RR4-4A2 | | | 5.75%(a)(b) | | | 02/26/2036 | | | 1,155,436 | |
| | | | | Bear Stearns Adjustable Rate Mortgage Trust | |
| | 442,969 | | | Series 2005-12-13A1 | | | 5.26%(b) | | | 02/25/2036 | | | 331,753 | |
| | 2,109,510 | | | Series 2006-4-4A1 | | | 5.00%(b) | | | 10/25/2046 | | | 1,815,772 | |
| | 2,562,597 | | | Series 2007-1-2A1 | | | 5.68%(b) | | | 02/25/2047 | | | 2,223,608 | |
| | 721,905 | | | Series 2007-1-3A1 | | | 4.47%(b) | | | 02/25/2047 | | | 699,811 | |
| | 8,439,894 | | | Series 2007-2-2A1 (12 mo. Term SOFR + 2.59%, 1.88% Floor, 11.15% Cap) | | | 8.06% | | | 12/25/2046 | | | 6,997,755 | |
| | | | | Bear Stearns Alt-A Trust | |
| | 188,748 | | | Series 2004-11-2A3 | | | 5.92%(b) | | | 11/25/2034 | | | 190,722 | |
| | 9,637,164 | | | Series 2006-3-21A1 | | | 4.65%(b) | | | 05/25/2036 | | | 7,025,746 | |
| | 3,624,982 | | | Series 2006-5-1A1 (1 mo. Term SOFR + 0.45%, 0.34% Floor, 11.50% Cap) | | | 5.31% | | | 08/25/2036 | | | 3,357,988 | |
| | 5,799,509 | | | Series 2006-6-2A1 | | | 4.58%(b) | | | 11/25/2036 | | | 2,593,300 | |
| | 2,974,062 | | | Series 2006-8-2A1 | | | 4.65%(b) | | | 08/25/2046 | | | 2,088,800 | |
| | 4,787,733 | | | Series 2007-1-1A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 11.50% Cap) | | | 5.29% | | | 01/25/2047 | | | 3,961,078 | |
| | | | | Bear Stearns Asset Backed Securities Trust | |
| | 2,285,805 | | | Series 2004-AC4-A2 | | | 5.50%(d) | | | 08/25/2034 | | | 2,302,917 | |
| | 5,226,223 | | | Series 2005-AC2-1A | | | 5.75%(d) | | | 04/25/2035 | | | 4,525,625 | |
| | 1,720,655 | | | Series 2005-AC2-2A1 | | | 5.75%(d) | | | 04/25/2035 | | | 1,644,981 | |
| | 20,355,588 | | | Series 2005-AC6-22A | | | 5.13%(b) | | | 09/25/2035 | | | 16,492,497 | |
| | 4,687,912 | | | Series 2005-AC7-A4 | | | 6.00%(d) | | | 10/25/2035 | | | 3,010,761 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 5,902,456 | | | Series 2006-AC1-1A1 | | | 6.25%(d) | | | 02/25/2036 | | | 2,780,640 | |
| | 832,232 | | | Series 2006-AC5-A1 | | | 6.75%(d) | | | 12/25/2036 | | | 834,400 | |
| | 20,043,923 | | | Series 2007-HE4-2A (1 mo. Term SOFR + 0.33%, 0.22% Floor) | | | 5.19% | | | 05/25/2037 | | | 18,443,285 | |
| | 11,467,105 | | | Series 2007-HE6-2A (1 mo. Term SOFR + 1.16%, 1.05% Floor) | | | 6.02% | | | 08/25/2037 | | | 10,314,739 | |
| | 924,167 | | | Series 2007-SD1-1A2A | | | 6.00% | | | 10/25/2036 | | | 328,092 | |
| | 1,323,069 | | | Series 2007-SD1-1A3A | | | 6.50% | | | 10/25/2036 | | | 501,049 | |
| | 1,192,864 | | | Series 2007-SD1-23A1 | | | 5.86%(b) | | | 10/25/2036 | | | 616,808 | |
| | | | | Bear Stearns Mortgage Funding Trust | |
| | 5,713,762 | | | Series 2006-AR3-2A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 10.50% Cap) | | | 5.37% | | | 11/25/2036 | | | 5,139,361 | |
| | 2,641,159 | | | Series 2006-AR4-A2 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 10.50% Cap) | | | 5.33% | | | 12/25/2037 | | | 2,587,150 | |
| | 5,740,018 | | | Series 2007-AR3-22A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 10.50% Cap) | | | 5.29% | | | 04/25/2037 | | | 5,403,050 | |
| | | | | BNC Mortgage Loan Trust | |
| | 4,865,393 | | | Series 2006-2-A4 (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 11/25/2036 | | | 4,710,091 | |
| | 4,480,256 | | | Series 2007-1-A4 (1 mo. Term SOFR + 0.27%, 0.16% Floor) | | | 5.13% | | | 03/25/2037 | | | 4,315,371 | |
| | 4,941,705 | | | Series 2007-4-A4 (1 mo. Term SOFR + 1.61%, 1.50% Floor) | | | 6.47% | | | 11/25/2037 | | | 4,201,520 | |
| | | | | BNP Paribas Mortgage Securities LLC | |
| | 23,517,023 | | | Series 2009-1-B1 | | | 6.00%(a) | | | 08/27/2037 | | | 11,725,729 | |
| | | | | CAFL Issuer LLC | |
| | 60,216,270 | | | Series 2021-RTL1-A1 | | | 2.24%(a)(d) | | | 03/28/2029 | | | 59,641,030 | |
| | 7,662,250 | | | Series 2021-RTL1-A2 | | | 3.10%(a)(d) | | | 03/28/2029 | | | 7,584,693 | |
| | | | | Carrington Mortgage Loan Trust | |
| | 3,838,951 | | | Series 2006-FRE2-A2 (1 mo. Term SOFR + 0.23%, 0.12% Floor, 12.50% Cap) | | | 5.09% | | | 10/25/2036 | | | 3,103,322 | |
| | 18,510,944 | | | Series 2006-FRE2-A3 (1 mo. Term SOFR + 0.27%, 0.16% Floor, 12.50% Cap) | | | 5.13% | | | 10/25/2036 | | | 14,965,289 | |
| | 5,697,528 | | | Series 2006-FRE2-A4 (1 mo. Term SOFR + 0.36%, 0.25% Floor, 12.50% Cap) | | | 5.22% | | | 10/25/2036 | | | 4,606,775 | |
| | 3,461,686 | | | Series 2006-NC3-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 12.50% Cap) | | | 5.12% | | | 08/25/2036 | | | 3,359,986 | |
| | 28,802,679 | | | Series 2006-NC4-A3 (1 mo. Term SOFR + 0.27%, 0.16% Floor, 12.50% Cap) | | | 5.13% | | | 10/25/2036 | | | 28,305,432 | |
| | 21,472,836 | | | Series 2006-NC5-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 14.50% Cap) | | | 5.12% | | | 01/25/2037 | | | 19,122,684 | |
| | 9,980,646 | | | Series 2007-RFC1-A3 (1 mo. Term SOFR + 0.25%, 0.14% Floor, 14.50% Cap) | | | 5.11% | | | 12/25/2036 | | | 9,787,440 | |
| | | | | Cascade MH Asset Trust | |
| | 14,754,235 | | | Series 2019-MH1-A | | | 4.00%(a)(b) | | | 11/25/2044 | | | 14,005,672 | |
| | | | | Centex Home Equity | |
| | 2,750,000 | | | Series 2004-A-AF5 | | | 5.43%(d) | | | 01/25/2034 | | | 2,738,938 | |
| | | | | Chase Mortgage Finance Corp. | |
| | 2,207,435 | | | Series 2005-A1-2A4 | | | 4.82%(b) | | | 12/25/2035 | | | 2,091,930 | |
| | 7,041,790 | | | Series 2006-S1-A5 | | | 6.50% | | | 05/25/2036 | | | 3,328,975 | |
| | 6,609,928 | | | Series 2006-S2-1A9 | | | 6.25% | | | 10/25/2036 | | | 2,687,162 | |
| | 4,617,039 | | | Series 2006-S3-1A2 | | | 6.00% | | | 11/25/2036 | | | 1,880,621 | |
| | 13,246,483 | | | Series 2006-S4-A8 | | | 6.00% | | | 12/25/2036 | | | 5,817,277 | |
| | 3,920,266 | | | Series 2007-S1-A7 | | | 6.00% | | | 02/25/2037 | | | 1,541,441 | |
| | 2,259,599 | | | Series 2007-S3-1A5 | | | 6.00% | | | 05/25/2037 | | | 993,199 | |
| | 1,052,740 | | | Series 2007-S3-2A1 | | | 5.50% | | | 05/25/2037 | | | 11 | |
| | 2,182,600 | | | Series 2007-S5-1A18 | | | 6.00% | | | 07/25/2037 | | | 997,321 | |
| | | | | Chaseflex Trust | |
| | 911,201 | | | Series 2005-1-3A1 | | | 6.00% | | | 02/25/2035 | | | 798,107 | |
| | 83,162 | | | Series 2006-1-A5 | | | 6.16%(b) | | | 06/25/2036 | | | 78,926 | |
| | 2,006,790 | | | Series 2006-2-A2B (1 mo. Term SOFR + 0.31%, 0.20% Floor, 11.50% Cap) | | | 4.37% | | | 09/25/2036 | | | 1,642,176 | |
| | 3,197,205 | | | Series 2007-1-1A1 | | | 6.50% | | | 02/25/2037 | | | 1,160,152 | |
| | 4,505,185 | | | Series 2007-M1-2F4 | | | 4.26%(d) | | | 08/25/2037 | | | 3,584,803 | |
| | 4,685,793 | | | Series 2007-M1-2F5 | | | 4.26%(d) | | | 08/25/2037 | | | 3,728,138 | |
| | | | | | | | | | | | | | | |
12
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Citigroup Financial Products, Inc. | |
| | 1,420,515 | | | Series 2007-AMC3-A2D (1 mo. Term SOFR + 0.46%, 0.35% Floor) | | | 5.32% | | | 03/25/2037 | | | 1,203,312 | |
| | | | | Citigroup Mortgage Loan Trust, Inc. | |
| | 373,633 | | | Series 2005-9-21A1 | | | 5.50% | | | 11/25/2035 | | | 346,465 | |
| | 877,231 | | | Series 2006-4-2A1A | | | 6.00% | | | 12/25/2035 | | | 861,379 | |
| | 4,156,528 | | | Series 2006-AR3-1A1A | | | 5.73%(b) | | | 06/25/2036 | | | 3,967,224 | |
| | 2,146,046 | | | Series 2006-FX1-A6 | | | 7.35%(d) | | | 10/25/2036 | | | 1,241,623 | |
| | 8,460,001 | | | Series 2006-WF1-A2D | | | 4.56%(d) | | | 03/25/2036 | | | 4,101,800 | |
| | 8,661,776 | | | Series 2006-WF2-A2D | | | 4.28%(d) | | | 05/25/2036 | | | 3,249,985 | |
| | 1,487,480 | | | Series 2007-10-1A1A | | | 5.16%(b) | | | 04/25/2037 | | | 1,401,493 | |
| | 512,235 | | | Series 2007-12-2A1 | | | 6.50%(a)(b) | | | 10/25/2036 | | | 273,154 | |
| | 14,235,885 | | | Series 2007-9-1A1 | | | 5.75%(a) | | | 04/25/2047 | | | 8,211,212 | |
| | 620,498 | | | Series 2007-9-2A2 | | | 6.50%(a)(b) | | | 05/25/2037 | | | 563,834 | |
| | 36,273,478 | | | Series 2007-AMC2-A1 (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11%(a) | | | 01/25/2037 | | | 34,153,594 | |
| | 1,791,149 | | | Series 2007-AR8-1A1A | | | 4.04%(b) | | | 08/25/2047 | | | 1,584,911 | |
| | 3,387,647 | | | Series 2007-OPX1-A2 (1 mo. Term SOFR + 0.31%, 0.20% Floor) | | | 5.17% | | | 01/25/2037 | | | 1,365,349 | |
| | 3,334,555 | | | Series 2007-OPX1-A3A | | | 5.97%(d) | | | 01/25/2037 | | | 1,375,557 | |
| | 7,350,559 | | | Series 2007-OPX1-A5A | | | 5.76%(d) | | | 01/25/2037 | | | 3,033,455 | |
| | 2,662,513 | | | Series 2010-7-9A4 | | | 6.00%(a)(b) | | | 10/25/2037 | | | 2,362,555 | |
| | 12,759,157 | | | Series 2010-8-7A4 | | | 6.00%(a)(b) | | | 06/25/2037 | | | 11,873,457 | |
| | 2,399,874 | | | Series 2014-8-3A2 | | | 6.00%(a)(b) | | | 03/25/2037 | | | 2,128,352 | |
| | 100,679,043 | | | Series 2019-A-PT1 | | | 3.92%(a) | | | 10/25/2058 | | | 83,890,208 | |
| | 153,196,496 | | | Series 2019-D-PT1 | | | 3.53%(a)(b) | | | 04/25/2064 | | | 128,209,995 | |
| | 189,751,426 | | | Series 2020-RP1-A1 | | | 1.50%(a)(b) | | | 08/25/2064 | | | 167,995,666 | |
| | 26,293,400 | | | Series 2020-RP1-M1 | | | 2.00%(a)(b) | | | 08/25/2064 | | | 20,231,704 | |
| | 22,116,950 | | | Series 2020-RP1-M2 | | | 2.50%(a)(b) | | | 08/25/2064 | | | 16,761,116 | |
| | 18,676,200 | | | Series 2020-RP1-M3 | | | 2.75%(a)(b) | | | 08/25/2064 | | | 13,821,561 | |
| | 48,974,790 | | | Series 2020-RP1-PT5 | | | 6.78%(a)(b) | | | 08/25/2064 | | | 40,540,891 | |
| | 12,750,405 | | | Series 2021-JL1-A | | | 2.75%(a)(b) | | | 02/27/2062 | | | 12,256,164 | |
| | 243,924,606 | | | Series 2021-RP2-A1 | | | 1.75%(a)(b) | | | 03/25/2065 | | | 218,775,662 | |
| | 34,186,100 | | | Series 2021-RP2-M1 | | | 3.25%(a)(b) | | | 03/25/2065 | | | 29,821,294 | |
| | 28,635,750 | | | Series 2021-RP2-M2 | | | 3.40%(a)(b) | | | 03/25/2065 | | | 23,865,025 | |
| | 26,589,300 | | | Series 2021-RP2-M3 | | | 3.40%(a)(b) | | | 03/25/2065 | | | 21,453,962 | |
| | 78,016,265 | | | Series 2021-RP2-PT1 | | | 5.75%(a)(b) | | | 03/25/2065 | | | 66,359,465 | |
| | | | | Citimortgage Alternative Loan Trust | |
| | 1,326,573 | | | Series 2006-A1-1A5 | | | 5.50% | | | 04/25/2036 | | | 1,238,482 | |
| | 1,598,771 | | | Series 2006-A2-A2 | | | 6.00% | | | 05/25/2036 | | | 1,501,045 | |
| | 1,594,264 | | | Series 2006-A3-1A13 | | | 6.00% | | | 07/25/2036 | | | 1,478,588 | |
| | 1,272,900 | | | Series 2006-A4-1A8 | | | 6.00% | | | 09/25/2036 | | | 1,177,554 | |
| | 1,298,404 | | | Series 2006-A5-3A3Pool
2006-A5 | | | 6.00% | | | 10/25/2036 | | | 1,070,040 | |
| | 3,782,870 | | | Series 2006-A6-1A2 (1 mo. LIBOR US + 0.50%, 6.00% Floor, 6.00% Cap) | | | 6.00%(i) | | | 11/25/2036 | | | 3,494,089 | |
| | 1,925,823 | | | Series 2007-A1-1A5 | | | 6.00% | | | 01/25/2037 | | | 1,725,332 | |
| | 938,966 | | | Series 2007-A1-1A7 | | | 6.00% | | | 01/25/2037 | | | 841,213 | |
| | 2,546,143 | | | Series 2007-A1-1A8 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 01/25/2037 | | | 2,055,824 | |
| | 2,402,569 | | | Series 2007-A1-1A9 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap) | | | 0.43%(f)(g) | | | 01/25/2037 | | | 182,993 | |
| | 2,050,057 | | | Series 2007-A3-1A1 | | | 6.00%(j) | | | 03/25/2037 | | | 1,789,941 | |
| | 4,717,838 | | | Series 2007-A3-1A3 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap) | | | 0.43%(f)(g) | | | 03/25/2037 | | | 355,818 | |
| | 1,848,820 | | | Series 2007-A3-1A4 | | | 5.75% | | | 03/25/2037 | | | 1,691,441 | |
| | 3,217,954 | | | Series 2007-A4-1A3 (1 mo. Term SOFR + 0.44%, 0.33% Floor, 7.00% Cap) | | | 5.30% | | | 04/25/2037 | | | 2,701,513 | |
| | 3,217,954 | | | Series 2007-A4-1A4 (-1 x 1 mo. Term SOFR + 6.56%, 0.00% Floor, 6.67% Cap) | | | 1.70%(f)(g) | | | 04/25/2037 | | | 391,532 | |
| | 3,407,979 | | | Series 2007-A4-1A5 | | | 5.75% | | | 04/25/2037 | | | 3,124,765 | |
| | 434,682 | | | Series 2007-A5-1A11 | | | 6.00% | | | 05/25/2037 | | | 410,298 | |
| | 5,730,964 | | | Series 2007-A5-1A8 | | | 6.00% | | | 05/25/2037 | | | 5,409,493 | |
| | 187,916 | | | Series 2007-A8-A1 | | | 6.00% | | | 10/25/2037 | | | 171,812 | |
| | | | | CitiMortgage, Inc. | |
| | 1,647,211 | | | Series 2005-1-1A4 | | | 5.50% | | | 02/25/2035 | | | 1,599,603 | |
| | | | | Colony American Finance Ltd. | |
| | 9,000,000 | | | Series 2020-3-D | | | 2.95%(a)(b) | | | 08/15/2053 | | | 7,530,592 | |
| | | | | COLT Funding LLC | |
| | 14,812,000 | | | Series 2021-5-M1 | | | 3.26%(a)(b) | | | 11/26/2066 | | | 11,335,855 | |
| | 4,294,000 | | | Series 2021-HX1-B1 | | | 3.11%(a)(b) | | | 10/25/2066 | | | 3,328,419 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 4,130,000 | | | Series 2021-HX1-B2 | | | 3.86%(a)(b) | | | 10/25/2066 | | | 3,352,752 | |
| | 6,000,000 | | | Series 2021-HX1-M1 | | | 2.36%(a)(b) | | | 10/25/2066 | | | 4,507,345 | |
| | 10,740,534 | | | Series 2022-4-A1 | | | 4.30%(a)(b) | | | 03/25/2067 | | | 10,599,409 | |
| | | | | Countrywide Alternative Loan Trust | |
| | 22,872,099 | | | Series 2004-36CB-1A1 | | | 6.00% | | | 02/25/2035 | | | 16,727,430 | |
| | 4,887,940 | | | Series 2005-13CB-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 5.50% Cap) | | | 5.47% | | | 05/25/2035 | | | 3,947,850 | |
| | 2,232,616 | | | Series 2005-13CB-A3 | | | 5.50% | | | 05/25/2035 | | | 1,950,896 | |
| | 2,112,853 | | | Series 2005-20CB-2A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 5.50% Cap) | | | 5.47% | | | 07/25/2035 | | | 1,251,807 | |
| | 4,313,741 | | | Series 2005-20CB-2A2 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.03%(f)(g) | | | 07/25/2035 | | | 290,906 | |
| | 1,282,528 | | | Series 2005-26CB-A11 (-2 x 1 mo. Term SOFR + 12.84%, 0.00% Floor, 13.05% Cap) | | | 4.04%(g) | | | 07/25/2035 | | | 955,105 | |
| | 1,741,228 | | | Series 2005-28CB-1A2 (1 mo. Term SOFR + 0.86%, 0.75% Floor, 5.50% Cap) | | | 5.50% | | | 08/25/2035 | | | 1,386,105 | |
| | 908,470 | | | Series 2005-28CB-3A6 | | | 6.00% | | | 08/25/2035 | | | 368,138 | |
| | 4,904,542 | | | Series 2005-32T1-A9 | | | 5.50% | | | 08/25/2035 | | | 2,765,796 | |
| | 1,919,000 | | | Series 2005-46CB-A14 | | | 5.50% | | | 10/25/2035 | | | 1,373,158 | |
| | 972,201 | | | Series 2005-46CB-A20 | | | 5.50% | | | 10/25/2035 | | | 695,668 | |
| | 3,564,380 | | | Series 2005-48T1-A2 | | | 5.50% | | | 11/25/2035 | | | 2,052,807 | |
| | 1,242,485 | | | Series 2005-54CB-3A4 | | | 5.50% | | | 11/25/2035 | | | 701,448 | |
| | 26,983,397 | | | Series 2005-55CB-1A1 | | | 5.50% | | | 11/25/2035 | | | 18,229,540 | |
| | 10,617,694 | | | Series 2005-57CB-1A1 | | | 5.50% | | | 12/25/2035 | | | 7,827,600 | |
| | 297,949 | | | Series 2005-60T1-A7 (-7 x 1 mo. Term SOFR + 35.09%, 0.00% Floor, 35.93% Cap) | | | 0.00%(g) | | | 12/25/2035 | | | 233,413 | |
| | 286,564 | | | Series 2005-64CB-1A14 | | | 5.50% | | | 12/25/2035 | | | 256,046 | |
| | 4,159,117 | | | Series 2005-64CB-1A4 | | | 5.50% | | | 12/25/2035 | | | 3,716,187 | |
| | 865,369 | | | Series 2005-73CB-1A5 (1 mo. Term SOFR + 0.91%, 0.80% Floor, 5.50% Cap) | | | 5.50% | | | 01/25/2036 | | | 785,514 | |
| | 2,177,089 | | | Series 2005-73CB-1A6 (-1 x 1 mo. Term SOFR + 4.59%, 0.00% Floor, 4.70% Cap) | | | 0.00%(f)(g) | | | 01/25/2036 | | | 116,949 | |
| | 29,545,642 | | | Series 2005-77T1-1A1 | | | 6.00% | | | 02/25/2036 | | | 14,869,270 | |
| | 403,346 | | | Series 2005-79CB-A5 | | | 5.50% | | | 01/25/2036 | | | 229,840 | |
| | 16,678,970 | | | Series 2005-80CB-4A1 | | | 6.00% | | | 02/25/2036 | | | 8,003,609 | |
| | 18,776,797 | | | Series 2005-85CB-1A1 | | | 6.00% | | | 02/25/2036 | | | 7,951,870 | |
| | 1,090,217 | | | Series 2005-85CB-2A6 (-4 x 1 mo. Term SOFR + 21.21%, 0.00% Floor, 21.63% Cap) | | | 3.41%(g) | | | 02/25/2036 | | | 935,232 | |
| | 809,893 | | | Series 2005-86CB-A5 | | | 5.50% | | | 02/25/2036 | | | 483,058 | |
| | 3,036,839 | | | Series 2005-J1-5A3 | | | 5.50% | | | 02/25/2035 | | | 2,950,067 | |
| | 12,926 | | | Series 2005-J1-7A1 | | | 5.50% | | | 10/25/2024 | | | 10,870 | |
| | 1,103,222 | | | Series 2005-J10-1A11 | | | 5.50% | | | 10/25/2035 | | | 757,332 | |
| | 251,067 | | | Series 2005-J10-1A13 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.50% Cap) | | | 5.50% | | | 10/25/2035 | | | 151,580 | |
| | 117,611 | | | Series 2005-J10-1A15 | | | 5.50% | | | 10/25/2035 | | | 80,737 | |
| | 346,429 | | | Series 2005-J11-1A3 | | | 5.50% | | | 11/25/2035 | | | 196,040 | |
| | 346,324 | | | Series 2005-J13-2A5 (1 mo. Term SOFR + 0.59%, 0.48% Floor, 5.50% Cap) | | | 5.45% | | | 11/25/2035 | | | 222,277 | |
| | 692,649 | | | Series 2005-J13-2A6 (-1 x 1 mo. Term SOFR + 4.91%, 0.00% Floor, 5.02% Cap) | | | 0.05%(f)(g) | | | 11/25/2035 | | | 46,904 | |
| | 410,504 | | | Series 2005-J2-1A5 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 5.50% Cap) | | | 5.47% | | | 04/25/2035 | | | 313,849 | |
| | 1,263,089 | | | Series 2005-J2-1A6 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.03%(f)(g) | | | 04/25/2035 | | | 67,039 | |
| | 2,589,751 | | | Series 2005-J3-2A8 (1 mo. Term SOFR + 0.41%, 0.30% Floor, 5.50% Cap) | | | 5.27% | | | 05/25/2035 | | | 1,836,699 | |
| | 2,589,751 | | | Series 2005-J3-2A9 (-1 x 1 mo. Term SOFR + 5.09%, 0.00% Floor, 5.20% Cap) | | | 0.23%(f)(g) | | | 05/25/2035 | | | 178,156 | |
| | 2,487,176 | | | Series 2006-12CB-A3 (1 mo. Term SOFR + 5.75%, 5.75% Floor) | | | 5.75% | | | 05/25/2036 | | | 1,255,920 | |
| | 3,065,381 | | | Series 2006-12CB-A8 | | | 6.00% | | | 05/25/2036 | | | 1,608,053 | |
| | 27,092,024 | | | Series 2006-15CB-A1 | | | 6.50% | | | 06/25/2036 | | | 12,742,552 | |
| | 2,579,777 | | | Series 2006-16CB-A7 | | | 6.00% | | | 06/25/2036 | | | 1,420,915 | |
| | 676,326 | | | Series 2006-18CB-A12 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 07/25/2036 | | | 272,146 | |
| | | |
| | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 13
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 676,326 | | | Series 2006-18CB-A13 (-1 x 1 mo. Term SOFR + 5.39%, 0.00% Floor, 5.50% Cap) | | | 0.53%(f)(g) | | | 07/25/2036 | | | 69,502 | |
| | 3,268,926 | | | Series 2006-19CB-A12 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.00% Cap) | | | 5.37% | | | 08/25/2036 | | | 1,450,531 | |
| | 4,432,860 | | | Series 2006-19CB-A13 (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) | | | 0.63%(f)(g) | | | 08/25/2036 | | | 548,386 | |
| | 682,334 | | | Series 2006-19CB-A15Pool 2006-1 | | | 6.00% | | | 08/25/2036 | | | 405,794 | |
| | 4,093,955 | | | Series 2006-23CB-2A3 | | | 6.50% | | | 08/25/2036 | | | 1,356,726 | |
| | 1,226,440 | | | Series 2006-24CB-A11 | | | 5.75% | | | 08/25/2036 | | | 665,116 | |
| | 3,589,641 | | | Series 2006-24CB-A14 (-1 x 1 mo. Term SOFR + 7.04%, 0.00% Floor, 7.15% Cap) | | | 2.18%(f)(g) | | | 08/25/2036 | | | 680,535 | |
| | 2,878,424 | | | Series 2006-24CB-A22 | | | 6.00% | | | 08/25/2036 | | | 1,615,655 | |
| | 3,089,414 | | | Series 2006-24CB-A5 (1 mo. Term SOFR + 0.71%, 0.06% Floor, 6.00% Cap) | | | 5.57% | | | 08/25/2036 | | | 1,384,576 | |
| | 1,411,500 | | | Series 2006-26CB-A17 | | | 6.25% | | | 09/25/2036 | | | 706,996 | |
| | 1,811,780 | | | Series 2006-26CB-A9 | | | 6.50% | | | 09/25/2036 | | | 940,009 | |
| | 2,381,720 | | | Series 2006-29T1-1A2 | | | 6.25% | | | 10/25/2036 | | | 1,328,557 | |
| | 361,670 | | | Series 2006-29T1-2A12 (-7 x 1 mo. Term SOFR + 45.41%, 0.00% Floor, 46.15% Cap) | | | 13.85%(g) | | | 10/25/2036 | | | 553,210 | |
| | 221,530 | | | Series 2006-29T1-2A23 (-4 x 1 mo. Term SOFR + 32.87%, 0.00% Floor, 33.37% Cap) | | | 11.83%(g) | | | 10/25/2036 | | | 263,945 | |
| | 1,855,213 | | | Series 2006-2CB-A9 | | | 6.00% | | | 03/25/2036 | | | 835,530 | |
| | 2,398,371 | | | Series 2006-30T1-1A2 | | | 6.25% | | | 11/25/2036 | | | 1,818,963 | |
| | 1,967,469 | | | Series 2006-32CB-A1 (1 mo. Term SOFR + 0.78%, 0.67% Floor, 6.00% Cap) | | | 5.64% | | | 11/25/2036 | | | 884,350 | |
| | 3,281,738 | | | Series 2006-32CB-A2 (-1 x 1 mo. Term SOFR + 5.22%, 0.00% Floor, 5.33% Cap) | | | 0.36%(f)(g) | | | 11/25/2036 | | | 326,800 | |
| | 7,392,274 | | | Series 2006-36T2-2A1 | | | 6.25% | | | 12/25/2036 | | | 3,237,992 | |
| | 596,687 | | | Series 2006-36T2-2A4 | | | 6.25% | | | 12/25/2036 | | | 261,363 | |
| | 728,277 | | | Series 2006-39CB-1A10 | | | 6.00% | | | 01/25/2037 | | | 616,052 | |
| | 13,167,940 | | | Series 2006-39CB-2A2 (-1 x 1 mo. Term SOFR + 6.44%, 0.00% Floor, 6.55% Cap) | | | 1.58%(f)(g) | | | 01/25/2037 | | | 889,156 | |
| | 4,484,305 | | | Series 2006-39CB-2A4 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.42% | | | 01/25/2037 | | | 536,687 | |
| | 1,070,869 | | | Series 2006-40T1-1A11 | | | 6.00% | | | 01/25/2037 | | | 649,187 | |
| | 1,822,722 | | | Series 2006-40T1-1A4 (-1 x 1 mo. Term SOFR + 5.34%, 0.00% Floor, 5.45% Cap) | | | 0.48%(f)(g) | | | 01/25/2037 | | | 179,330 | |
| | 2,684,008 | | | Series 2006-41CB-1A10 | | | 6.00% | | | 01/25/2037 | | | 1,414,281 | |
| | 6,564,204 | | | Series 2006-41CB-1A15 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap) | | | 0.43%(f)(g) | | | 01/25/2037 | | | 817,666 | |
| | 6,564,204 | | | Series 2006-41CB-1A2 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 01/25/2037 | | | 2,512,388 | |
| | 2,826,319 | | | Series 2006-41CB-1A9 | | | 6.00% | | | 01/25/2037 | | | 1,489,269 | |
| | 3,499,024 | | | Series 2006-42-1A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 01/25/2047 | | | 1,490,045 | |
| | 3,499,024 | | | Series 2006-42-1A2 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap) | | | 0.43%(f)(g) | | | 01/25/2047 | | | 431,022 | |
| | 2,330,168 | | | Series 2006-42-1A3 | | | 6.00% | | | 01/25/2047 | | | 1,257,166 | |
| | 2,589,349 | | | Series 2006-43CB-1A12 | | | 5.75% | | | 02/25/2037 | | | 1,365,782 | |
| | 8,958,770 | | | Series 2006-43CB-1A6 | | | 6.00% | | | 02/25/2037 | | | 4,906,877 | |
| | 9,707,755 | | | Series 2006-45T1-1A1 (1 mo. Term SOFR + 0.61%, 6.00% Floor, 6.00% Cap) | | | 6.00% | | | 02/25/2037 | | | 3,740,086 | |
| | 3,131,534 | | | Series 2006-45T1-1A4 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 02/25/2037 | | | 865,328 | |
| | 3,131,534 | | | Series 2006-45T1-1A5 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap) | | | 0.43%(f)(g) | | | 02/25/2037 | | | 301,481 | |
| | 1,334,107 | | | Series 2006-45T1-2A2 | | | 6.00% | | | 02/25/2037 | | | 749,662 | |
| | 5,255,648 | | | Series 2006-4CB-1A1 | | | 6.00% | | | 04/25/2036 | | | 2,618,529 | |
| | 563,051 | | | Series 2006-6CB-1A4Pool 0066CB | | | 5.50% | | | 05/25/2036 | | | 466,771 | |
| | 4,068,317 | | | Series 2006-7CB-1A14 | | | 6.00% | | | 05/25/2036 | | | 2,198,987 | |
| | 7,094,411 | | | Series 2006-7CB-1A16 | | | 6.00% | | | 05/25/2036 | | | 3,834,637 | |
| | 2,173,727 | | | Series 2006-7CB-1A6 | | | 6.00% | | | 05/25/2036 | | | 1,190,630 | |
| | 2,201,576 | | | Series 2006-7CB-1A9 | | | 6.00% | | | 05/25/2036 | | | 1,189,985 | |
| | 800,679 | | | Series 2006-9T1-A11 | | | 6.00% | | | 05/25/2036 | | | 325,101 | |
| | 1,689,954 | | | Series 2006-J1-1A10 | | | 5.50% | | | 02/25/2036 | | | 1,172,499 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 3,428,852 | | | Series 2006-J1-1A3 | | | 5.50% | | | 02/25/2036 | | | 2,378,956 | |
| | 774,856 | | | Series 2006-J4-2A2 | | | 6.00% | | | 07/25/2036 | | | 465,697 | |
| | 1,017,227 | | | Series 2006-J7-1A1 | | | 6.25% | | | 11/25/2036 | | | 491,614 | |
| | 26,643,376 | | | Series 2006-OA21-A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.27% | | | 03/20/2047 | | | 22,447,013 | |
| | 2,254,479 | | | Series 2006-OA7-1A2 (12 Month US Treasury Average + 0.94%, 0.94% Floor) | | | 6.06% | | | 06/25/2046 | | | 2,148,191 | |
| | 588,705 | | | Series 2007-11T1-A24 (-6 x 1 mo. Term SOFR + 39.21%, 0.00% Floor, 39.90% Cap) | | | 10.08%(g) | | | 05/25/2037 | | | 630,759 | |
| | 9,070,524 | | | Series 2007-12T1-A11 | | | 6.00% | | | 06/25/2037 | | | 4,285,790 | |
| | 8,319,996 | | | Series 2007-15CB-A1 | | | 6.00% | | | 07/25/2037 | | | 5,035,839 | |
| | 4,963,101 | | | Series 2007-15CB-A2 | | | 5.75% | | | 07/25/2037 | | | 2,891,233 | |
| | 5,953,924 | | | Series 2007-15CB-A5 | | | 5.75% | | | 07/25/2037 | | | 3,468,432 | |
| | 7,218,415 | | | Series 2007-16CB-2A1 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.42% | | | 08/25/2037 | | | 2,405,029 | |
| | 2,090,273 | | | Series 2007-16CB-2A2 (-8 x 1 mo. Term SOFR + 53.63%, 0.00% Floor, 54.58% Cap) | | | 13.17%(g) | | | 08/25/2037 | | | 3,271,601 | |
| | 2,399,173 | | | Series 2007-16CB-4A7 | | | 6.00% | | | 08/25/2037 | | | 1,800,291 | |
| | 4,657,089 | | | Series 2007-17CB-1A10 (-5 x 1 mo. Term SOFR + 29.37%, 0.00% Floor, 29.90% Cap) | | | 7.04%(g) | | | 08/25/2037 | | | 4,718,193 | |
| | 695,424 | | | Series 2007-18CB-2A25 | | | 6.00% | | | 08/25/2037 | | | 437,624 | |
| | 591,071 | | | Series 2007-19-1A10 (-6 x 1 mo. Term SOFR + 38.31%, 0.00% Floor, 39.00% Cap) | | | 9.18%(g) | | | 08/25/2037 | | | 712,904 | |
| | 10,593,739 | | | Series 2007-19-1A34 | | | 6.00% | | | 08/25/2037 | | | 5,196,736 | |
| | 8,687,484 | | | Series 2007-19-1A4 | | | 6.00% | | | 08/25/2037 | | | 4,261,627 | |
| | 26,893,117 | | | Series 2007-19-2A1 | | | 6.50% | | | 08/25/2037 | | | 11,766,478 | |
| | 2,653,146 | | | Series 2007-21CB-2A2 (-4 x 1 mo. Term SOFR + 27.94%, 0.00% Floor, 28.40% Cap) | | | 8.52%(g) | | | 09/25/2037 | | | 2,218,955 | |
| | 17,613,912 | | | Series 2007-22-2A16 | | | 6.50% | | | 09/25/2037 | | | 6,682,539 | |
| | 6,736,927 | | | Series 2007-23CB-A3 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap) | | | 5.47% | | | 09/25/2037 | | | 2,472,553 | |
| | 9,561,095 | | | Series 2007-23CB-A4 (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap) | | | 1.53%(f)(g) | | | 09/25/2037 | | | 1,537,447 | |
| | 958,144 | | | Series 2007-24-A2 (-6 x 1 mo. Term SOFR + 41.01%, 0.00% Floor, 41.70% Cap) | | | 11.88%(g) | | | 10/25/2037 | | | 959,827 | |
| | 1,915,883 | | | Series 2007-24-A3 (-1 x 1 mo. Term SOFR + 6.84%, 0.00% Floor, 6.95% Cap) | | | 1.98%(f)(g) | | | 10/25/2037 | | | 314,324 | |
| | 3,143,011 | | | Series 2007-24-A4 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 7.00% Cap) | | | 5.67% | | | 10/25/2037 | | | 683,333 | |
| | 4,157,077 | | | Series 2007-24-A6 (1 mo. Term SOFR + 1.11%, 1.00% Floor, 7.00% Cap) | | | 5.97% | | | 10/25/2037 | | | 967,486 | |
| | 3,049,163 | | | Series 2007-2CB-1A4 (1 mo. Term SOFR + 1.11%, 5.75% Floor, 100.00% Cap) | | | 6.32% | | | 03/25/2037 | | | 1,650,443 | |
| | 3,439,030 | | | Series 2007-5CB-1A18 (-1 x 1 mo. Term SOFR + 5.54%, 0.00% Floor, 5.65% Cap) | | | 0.68%(f)(g) | | | 04/25/2037 | | | 452,332 | |
| | 3,439,031 | | | Series 2007-5CB-1A23 (1 mo. Term SOFR + 0.66%, 0.55% Floor, 6.00% Cap) | | | 5.52% | | | 04/25/2037 | | | 1,380,973 | |
| | 13,697,588 | | | Series 2007-5CB-1A31 | | | 5.50% | | | 04/25/2037 | | | 6,928,971 | |
| | 5,692,593 | | | Series 2007-5CB-2A1 | | | 6.00% | | | 04/25/2037 | | | 2,554,650 | |
| | 4,614,804 | | | Series 2007-6-A1 | | | 5.75% | | | 04/25/2047 | | | 2,522,625 | |
| | 5,060,169 | | | Series 2007-6-A4 | | | 5.75% | | | 04/25/2047 | | | 2,766,078 | |
| | 1,309,692 | | | Series 2007-7T2-A8 | | | 6.00% | | | 04/25/2037 | | | 603,261 | |
| | 228,278 | | | Series 2007-8CB-A12 (-6 x 1 mo. Term SOFR + 39.51%, 0.00% Floor, 40.20% Cap) | | | 10.38%(g) | | | 05/25/2037 | | | 278,215 | |
| | 243,683 | | | Series 2007-8CB-A8 (-6 x 1 mo. Term SOFR + 39.39%, 0.00% Floor, 40.08% Cap) | | | 10.26%(g) | | | 05/25/2037 | | | 295,367 | |
| | 386,007 | | | Series 2007-9T1-1A4 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap) | | | 5.47% | | | 05/25/2037 | | | 138,293 | |
| | 386,007 | | | Series 2007-9T1-1A5 (-1 x 1 mo. Term SOFR + 5.39%, 0.00% Floor, 5.50% Cap) | | | 0.53%(f)(g) | | | 05/25/2037 | | | 41,412 | |
| | 1,423,359 | | | Series 2007-9T1-2A1 | | | 6.00% | | | 05/25/2037 | | | 646,193 | |
| | 17,065,459 | | | Series 2007-HY2-1A | | | 4.96%(b) | | | 03/25/2047 | | | 15,407,296 | |
| | 14,099,876 | | | Series 2007-HY4-4A1 | | | 4.45%(b) | | | 06/25/2037 | | | 13,082,586 | |
| | | |
| | | |
14
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Countrywide Asset-Backed Certificates | |
| | 17,544,000 | | | Series 2005-11-MF1 | | | 5.35%(b) | | | 02/25/2036 | | | 15,350,384 | |
| | 17,853,567 | | | Series 2006-25-1A (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 06/25/2047 | | | 16,767,403 | |
| | 5,035,516 | | | Series 2006-26-1A (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 06/25/2037 | | | 4,778,754 | |
| | 21,287,971 | | | Series 2007-4-A5 | | | 4.40%(d) | | | 04/25/2047 | | | 16,211,135 | |
| | 9,404,254 | | | Series 2007-BC1-1A (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 05/25/2037 | | | 8,901,313 | |
| | | | | Countrywide Home Loan Mortgage Pass Through Trust | |
| | 352,974 | | | Series 2003-60-4A1 | | | 6.21%(b) | | | 02/25/2034 | | | 347,889 | |
| | 625,484 | | | Series 2004-R2-1AF1 (1 mo. Term SOFR + 0.53%, 0.42% Floor, 9.50% Cap) | | | 5.74%(a) | | | 11/25/2034 | | | 562,560 | |
| | 608,595 | | | Series 2004-R2-1AS | | | 0.70%(a)(b)(f) | | | 11/25/2034 | | | 35,742 | |
| | 11,329,354 | | | Series 2005-17-2A1 | | | 5.50% | | | 09/25/2035 | | | 5,414,667 | |
| | 2,217,338 | | | Series 2005-18-A1 | | | 5.50% | | | 10/25/2035 | | | 1,193,126 | |
| | 1,803,829 | | | Series 2005-20-A5 | | | 5.50% | | | 10/25/2035 | | | 1,104,184 | |
| | 1,320,910 | | | Series 2005-20-A8 | | | 5.25% | | | 10/25/2035 | | | 805,100 | |
| | 5,790,404 | | | Series 2005-23-A1 | | | 5.50% | | | 11/25/2035 | | | 3,211,489 | |
| | 1,309,788 | | | Series 2005-24-A8 | | | 5.50% | | | 11/25/2035 | | | 709,073 | |
| | 2,015,832 | | | Series 2005-26-1A12 | | | 5.50% | | | 11/25/2035 | | | 1,236,421 | |
| | 428,027 | | | Series 2005-27-2A1 | | | 5.50% | | | 12/25/2035 | | | 182,777 | |
| | 739,070 | | | Series 2005-28-A7 | | | 5.25% | | | 10/25/2024 | | | 390,631 | |
| | 5,850,032 | | | Series 2005-HYB1-4A1 | | | 4.87%(b) | | | 03/25/2035 | | | 5,439,408 | |
| | 46,471 | | | Series 2005-HYB8-1A1 | | | 5.19%(b) | | | 12/20/2035 | | | 45,977 | |
| | 6,174,059 | | | Series 2005-HYB8-4A1 | | | 4.54%(b) | | | 12/20/2035 | | | 5,406,143 | |
| | 602,749 | | | Series 2005-J3-2A4 | | | 4.50% | | | 09/25/2035 | | | 534,942 | |
| | 645,459 | | | Series 2005-J4-A5 | | | 5.50% | | | 11/25/2035 | | | 536,588 | |
| | 194,671 | | | Series 2005-R1-1AF1 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 9.50% Cap) | | | 5.33%(a) | | | 03/25/2035 | | | 184,985 | |
| | 193,433 | | | Series 2005-R1-1AS | | | 0.82%(a)(b)(f) | | | 03/25/2035 | | | 10,884 | |
| | 6,515,504 | | | Series 2006-1-A2 | | | 6.00% | | | 03/25/2036 | | | 3,542,458 | |
| | 4,174,649 | | | Series 2006-14-A5 | | | 6.25% | | | 09/25/2036 | | | 1,704,900 | |
| | 2,977,863 | | | Series 2006-16-2A1 | | | 6.50% | | | 11/25/2036 | | | 968,767 | |
| | 1,296,320 | | | Series 2006-20-1A21 | | | 6.00% | | | 02/25/2037 | | | 620,968 | |
| | 14,997,123 | | | Series 2006-8-1A3 | | | 6.00% | | | 05/25/2036 | | | 9,464,351 | |
| | 174,573 | | | Series 2006-J3-A4 | | | 5.50% | | | 05/25/2036 | | | 176,019 | |
| | 3,810,123 | | | Series 2007-10-A7 | | | 6.00% | | | 07/25/2037 | | | 1,745,816 | |
| | 13,076,636 | | | Series 2007-11-A1 | | | 6.00% | | | 08/25/2037 | | | 5,612,068 | |
| | 6,297,454 | | | Series 2007-12-A9 | | | 5.75% | | | 08/25/2037 | | | 3,250,609 | |
| | 2,833,995 | | | Series 2007-13-A1 | | | 6.00% | | | 08/25/2037 | | | 1,382,725 | |
| | 4,643,656 | | | Series 2007-13-A10 | | | 6.00% | | | 08/25/2037 | | | 2,265,671 | |
| | 3,305,041 | | | Series 2007-15-1A1 | | | 6.25% | | | 09/25/2037 | | | 2,036,279 | |
| | 461,639 | | | Series 2007-15-1A16 | | | 6.25% | | | 09/25/2037 | | | 284,422 | |
| | 1,329,858 | | | Series 2007-15-1A2 | | | 6.25% | | | 09/25/2037 | | | 818,973 | |
| | 1,624,063 | | | Series 2007-15-1A29 | | | 6.25% | | | 09/25/2037 | | | 1,000,563 | |
| | 2,481,269 | | | Series 2007-17-1A2 | | | 6.00% | | | 10/25/2037 | | | 1,751,628 | |
| | 317,561 | | | Series 2007-18-1A1 | | | 6.00% | | | 11/25/2037 | | | 143,722 | |
| | 1,314,480 | | | Series 2007-2-A2 | | | 6.00% | | | 03/25/2037 | | | 555,092 | |
| | 36,149,164 | | | Series 2007-21-1A1 | | | 6.25% | | | 02/25/2038 | | | 17,422,520 | |
| | 3,495,728 | | | Series 2007-3-A1 | | | 6.00% | | | 04/25/2037 | | | 1,720,875 | |
| | 1,346,328 | | | Series 2007-3-A12 | | | 6.00% | | | 04/25/2037 | | | 662,770 | |
| | 3,109,368 | | | Series 2007-4-1A39 | | | 6.00% | | | 05/25/2037 | | | 1,399,823 | |
| | 1,102,913 | | | Series 2007-5-A2 | | | 5.75% | | | 05/25/2037 | | | 553,213 | |
| | 4,217,931 | | | Series 2007-7-A1 | | | 6.00% | | | 06/25/2037 | | | 2,160,451 | |
| | 1,895,595 | | | Series 2007-7-A11 | | | 5.50% | | | 06/25/2037 | | | 894,655 | |
| | 1,264,392 | | | Series 2007-7-A2 | | | 5.75% | | | 06/25/2037 | | | 622,200 | |
| | 4,271,772 | | | Series 2007-8-1A4 | | | 6.00% | | | 01/25/2038 | | | 1,884,750 | |
| | 2,241,811 | | | Series 2007-8-1A5 | | | 5.44% | | | 01/25/2038 | | | 918,713 | |
| | 3,633,490 | | | Series 2007-8-1A8 | | | 6.00% | | | 01/25/2038 | | | 1,603,133 | |
| | 5,205,012 | | | Series 2007-8-1A9 (1 mo. Term SOFR + 6.00%, 4.00% Floor, 6.00% Cap) | | | 6.00% | | | 01/25/2038 | | | 2,284,665 | |
| | 5,111,749 | | | Series 2007-9-A1 | | | 5.75% | | | 07/25/2037 | | | 2,526,021 | |
| | 672,746 | | | Series 2007-9-A11 | | | 5.75% | | | 07/25/2037 | | | 332,444 | |
| | 2,966,446 | | | Series 2007-HY1-1A1 | | | 4.45%(b) | | | 04/25/2037 | | | 2,746,458 | |
| | 7,806,826 | | | Series 2007-HYB1-2A1 | | | 4.02%(b) | | | 03/25/2037 | | | 6,406,165 | |
| | 15,165,427 | | | Series 2007-J1-2A1 | | | 6.00% | | | 02/25/2037 | | | 5,874,681 | |
| | 388,126 | | | Series 2007-J3-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap) | | | 5.47% | | | 07/25/2037 | | | 122,141 | |
| | 1,940,631 | | | Series 2007-J3-A2 (-1 x 1 mo. Term SOFR + 5.39%, 0.00% Floor, 5.50% Cap) | | | 0.53%(f)(g) | | | 07/25/2037 | | | 225,833 | |
| | | | | Credit Suisse First Boston Mortgage Securities Corp. | |
| | 1,678,131 | | | Series 2005-10-5A4 | | | 5.50% | | | 11/25/2035 | | | 1,235,719 | |
| | 353,261 | | | Series 2005-10-5A5 | | | 5.50% | | | 11/25/2035 | | | 260,199 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Credit Suisse Management LLC | |
| | 3,636,605 | | | Series 2005-11-2A1 | | | 6.00% | | | 12/25/2035 | | | 2,539,169 | |
| | 4,999,435 | | | Series 2005-12-5A1 | | | 5.25% | | | 01/25/2036 | | | 4,392,012 | |
| | 9,680,358 | | | Series 2005-12-7A1 | | | 7.00% | | | 01/25/2036 | | | 1,794,889 | |
| | 2,301,691 | | | Series 2005-8-3A10 | | | 5.50% | | | 09/25/2035 | | | 1,962,305 | |
| | 3,360,606 | | | Series 2005-8-7A1 | | | 7.00% | | | 09/25/2035 | | | 1,442,590 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 776,127 | | | Series 2005-1R-2A5 | | | 5.75%(a) | | | 12/26/2035 | | | 561,612 | |
| | 11,280,896 | | | Series 2006-1-2A1 | | | 6.00% | | | 02/25/2036 | | | 3,494,079 | |
| | 2,267,892 | | | Series 2006-2-5A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 6.00% Cap) | | | 5.67% | | | 03/25/2036 | | | 704,464 | |
| | 12,676,471 | | | Series 2006-2-5A2 (-1 x 1 mo. Term SOFR + 5.19%, 0.00% Floor, 5.30% Cap) | | | 0.33%(f)(g) | | | 03/25/2036 | | | 1,239,316 | |
| | 2,640,491 | | | Series 2006-2-5A3 | | | 6.25% | | | 03/25/2036 | | | 1,128,121 | |
| | 7,146,225 | | | Series 2006-2-5A4 | | | 6.00% | | | 03/25/2036 | | | 2,936,621 | |
| | 1,051,834 | | | Series 2006-3-4A3 | | | 5.50% | | | 04/25/2036 | | | 759,947 | |
| | 635,860 | | | Series 2006-3-4A4 | | | 5.50% | | | 04/25/2036 | | | 459,407 | |
| | 2,401,381 | | | Series 2006-4-1A8 (1 mo. Term SOFR + 1.11%, 6.00% Floor, 6.00% Cap) | | | 6.00% | | | 05/25/2036 | | | 1,314,137 | |
| | 20,338,441 | | | Series 2006-4-4A1 | | | 7.00% | | | 05/25/2036 | | | 5,415,653 | |
| | 7,094,686 | | | Series 2006-4-6A1 | | | 6.00% | | | 05/25/2036 | | | 2,659,293 | |
| | 6,596,895 | | | Series 2006-6-1A4 | | | 6.00% | | | 07/25/2036 | | | 3,273,659 | |
| | 10,035,754 | | | Series 2006-6-3A1 | | | 7.00% | | | 07/25/2036 | | | 2,241,240 | |
| | 111,487 | | | Series 2006-7-3A11 | | | 6.00% | | | 08/25/2036 | | | 41,059 | |
| | 1,481,872 | | | Series 2006-7-7A5 | | | 6.00% | | | 08/25/2036 | | | 1,144,730 | |
| | 1,755,413 | | | Series 2006-9-2A1 | | | 5.50% | | | 11/25/2036 | | | 1,528,838 | |
| | 7,714,661 | | | Series 2006-9-3A1 | | | 6.00% | | | 11/25/2036 | | | 6,749,117 | |
| | 3,099,790 | | | Series 2006-9-4A1 | | | 6.00% | | | 11/25/2036 | | | 1,801,190 | |
| | 1,350,283 | | | Series 2006-9-6A14 | | | 6.00% | | | 11/25/2036 | | | 1,044,141 | |
| | 219,376 | | | Series 2006-9-6A15 (-6 x 1 mo. Term SOFR + 39.21%, 0.00% Floor, 39.90% Cap) | | | 7.55%(g) | | | 11/25/2036 | | | 301,855 | |
| | 8,151,981 | | | Series 2007-1-1A4 | | | 6.13%(b) | | | 02/25/2037 | | | 1,886,515 | |
| | 5,497,936 | | | Series 2007-1-3A1 | | | 6.00% | | | 10/25/2024 | | | 713,651 | |
| | 22,211 | | | Series 2007-2-2A1 | | | 5.00% | | | 03/25/2037 | | | 16,776 | |
| | 2,086,213 | | | Series 2007-5-2A5 | | | 5.00% | | | 08/25/2037 | | | 1,788,222 | |
| | 20,624,357 | | | Series 2007-5-3A19 | | | 6.00% | | | 08/25/2037 | | | 15,590,558 | |
| | 9,075,960 | | | Series 2007-5-3A9 | | | 6.00% | | | 08/25/2037 | | | 6,854,104 | |
| | 2,030,051 | | | Series 2008-2R-1A1 | | | 6.00%(a) | | | 07/25/2037 | | | 1,768,296 | |
| | 8,274,932 | | | Series 2009-11R-4A1 | | | 7.00%(a)(b) | | | 09/26/2037 | | | 2,277,517 | |
| | 5,753,979 | | | Series 2009-12R-5A1 | | | 6.00%(a) | | | 06/27/2036 | | | 2,966,196 | |
| | 1,275,272 | | | Series 2010-13R-1A2 | | | 5.50%(a)(b) | | | 12/26/2035 | | | 1,142,268 | |
| | 16,398,545 | | | Series 2010-17R-6A1 | | | 4.00%(a)(b) | | | 06/26/2037 | | | 15,559,922 | |
| | 5,678,476 | | | Series 2010-4R-3A17 | | | 6.00%(a)(b) | | | 06/26/2037 | | | 5,229,555 | |
| | 2,803,603 | | | Series 2010-4R-8A17 | | | 6.00%(a)(b) | | | 06/26/2037 | | | 2,581,959 | |
| | 8,284,294 | | | Series 2010-7R-1A17 | | | 6.00%(a)(b) | | | 01/26/2037 | | | 4,817,903 | |
| | 6,865,972 | | | Series 2012-10R-4A2 | | | 4.65%(a)(b) | | | 08/26/2046 | | | 4,786,231 | |
| | 7,921,157 | | | Series 2013-9R-A1 | | | 3.00%(a)(b) | | | 05/27/2043 | | | 7,097,348 | |
| | 164,751,874 | | | Series 2019-RPL6-PT1 | | | 4.20%(a)(b) | | | 11/25/2058 | | | 144,578,501 | |
| | 4,227,000 | | | Series 2020-AFC1-B1 | | | 3.45%(a)(b) | | | 02/25/2050 | | | 3,295,880 | |
| | 162,764,590 | | | Series 2020-RPL1-PT1 | | | 3.32%(a)(b) | | | 10/25/2069 | | | 131,789,333 | |
| | 9,539,405 | | | Series 2021-JR1-A1 | | | 5.47%(a)(b) | | | 09/27/2066 | | | 9,513,107 | |
| | 7,469,850 | | | Series 2021-NQM1-B1 | | | 2.83%(a)(b) | | | 05/25/2065 | | | 5,428,261 | |
| | 6,225,825 | | | Series 2021-NQM5-M1 | | | 2.17%(a)(b) | | | 05/25/2066 | | | 4,136,703 | |
| | 3,180,040 | | | Series 2021-NQM6-B1 | | | 3.29%(a)(b) | | | 07/25/2066 | | | 2,327,464 | |
| | 7,445,317 | | | Series 2021-NQM6-M1 | | | 2.58%(a)(b) | | | 07/25/2066 | | | 5,546,871 | |
| | 25,840,782 | | | Series 2021-RPL9-A1 | | | 2.44%(a)(b) | | | 02/25/2061 | | | 25,711,457 | |
| | | | | Credit-Based Asset Servicing and Securitization LLC | |
| | 7,432,211 | | | Series 2006-CB4-AV3 (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 3.04% | | | 05/25/2036 | | | 5,021,711 | |
| | | | | CSAB Mortgage Backed Trust | |
| | 3,836,340 | | | Series 2006-3-A4B | | | 6.61%(d) | | | 11/25/2036 | | | 564,785 | |
| | 2,179,913 | | | Series 2006-4-A6A | | | 6.18%(d) | | | 12/25/2036 | | | 371,017 | |
| | 7,917,493 | | | Series 2007-1-1A1A | | | 5.90%(b) | | | 05/25/2037 | | | 1,808,221 | |
| | | | | CSMCM Trust | |
| | 6,948,344 | | | Series 2019-RPL6-CERT | | | 0.00%(a)(b) | | | 11/25/2058 | | | 5,740,609 | |
| | 8,554,367 | | | Series 2020-RPL1-CERT | | | 3.23%(a)(b) | | | 01/25/2046 | | | 6,755,638 | |
| | | | | DB US Financial Markets Holding Corp. | |
| | 3,471,790 | | | Series 2014-RS1-3A2 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 7.00% Cap) | | | 5.79%(a) | | | 10/27/2036 | | | 2,577,484 | |
| | | | | Deutsche ALT-A Securities, Inc. | |
| | 6,975,263 | | | Series 2005-4-A5 | | | 5.50%(b) | | | 09/25/2035 | | | 6,246,377 | |
| | | |
| | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 15
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 173,919 | | | Series 2005-5-1A6 (-7 x 1 mo. Term SOFR + 35.09%, 0.00% Floor, 35.93% Cap) | | | 0.00%(g) | | | 11/25/2035 | | | 271,675 | |
| | 454,888 | | | Series 2005-5-2A1 (1 mo. Term SOFR + 0.31%, 0.20% Floor, 5.50% Cap) | | | 5.17% | | | 11/25/2035 | | | 156,026 | |
| | 1,372,903 | | | Series 2005-5-2A2 (-1 x 1 mo. Term SOFR + 5.19%, 0.00% Floor, 5.30% Cap) | | | 0.33%(f)(g) | | | 11/25/2035 | | | 88,090 | |
| | 4,450,378 | | | Series 2005-6-2A1 | | | 5.50% | | | 12/25/2035 | | | 3,786,034 | |
| | 2,753,029 | | | Series 2006-AB1-A1C | | | 5.67%(b) | | | 02/25/2036 | | | 2,490,284 | |
| | 368,378 | | | Series 2006-AB2-A2 | | | 4.74%(b) | | | 06/25/2036 | | | 337,281 | |
| | 632,053 | | | Series 2006-AB4-A1A | | | 6.01%(b) | | | 10/25/2036 | | | 550,164 | |
| | 8,826,097 | | | Series 2006-AB4-A2 | | | 5.65%(b) | | | 10/25/2036 | | | 7,684,874 | |
| | 628,753 | | | Series 2006-AB4-A3 | | | 5.90%(b) | | | 10/25/2036 | | | 547,340 | |
| | 915,831 | | | Series 2006-AB4-A3A1 | | | 5.90%(b) | | | 10/25/2036 | | | 796,415 | |
| | 1,807,296 | | | Series 2006-AB4-A6A1 | | | 6.37%(d) | | | 10/25/2036 | | | 1,570,269 | |
| | 11,749,906 | | | Series 2007-2-2A1 (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 09/25/2047 | | | 10,065,890 | |
| | 14,658,608 | | | Series 2007-OA3-A2 (1 mo. Term SOFR + 0.36%, 0.25% Floor) | | | 5.47% | | | 07/25/2047 | | | 11,869,077 | |
| | | | | Deutsche Mortgage Securities, Inc. | |
| | 3,865,070 | | | Series 2006-PR1-3A1 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap) | | | 4.83%(a)(g) | | | 04/15/2036 | | | 3,588,800 | |
| | 827,432 | | | Series 2006-PR1-4AI1 (-1 x 1 mo. Term SOFR + 11.95%, 12.11% Cap) | | | 4.81%(a)(g) | | | 04/15/2036 | | | 774,593 | |
| | 1,349,028 | | | Series 2006-PR1-4AI2 (-2 x 1 mo. Term SOFR + 14.39%, 14.61% Cap) | | | 4.66%(a)(g) | | | 04/15/2036 | | | 1,263,015 | |
| | 256,785 | | | Series 2006-PR1-5AI1 (-3 x 1 mo. Term SOFR + 19.01%, 19.35% Cap) | | | 3.72%(a)(g) | | | 04/15/2036 | | | 246,088 | |
| | 2,258,979 | | | Series 2006-PR1-5AI3 (-1 x 1 mo. Term SOFR + 12.41%, 12.57% Cap) | | | 5.27%(a)(g) | | | 04/15/2036 | | | 2,064,104 | |
| | 37,422,779 | | | Series 2006-PR1-5AI4 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap) | | | 4.83%(a)(g) | | | 04/15/2036 | | | 34,052,764 | |
| | | | | Equifirst Loan Securitization Trust | |
| | 8,459,280 | | | Series 2007-1-A2B (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.16% | | | 04/25/2037 | | | 7,756,556 | |
| | | | | FBR Securitization Trust | |
| | 22,750,000 | | | Series 2005-2-M4 (1 mo. Term SOFR + 1.04%, 0.93% Floor, 14.00% Cap) | | | 5.90% | | | 09/25/2035 | | | 20,219,904 | |
| | 5,500,000 | | | Series 2005-5-M3 (1 mo. Term SOFR + 0.85%, 0.74% Floor, 14.00% Cap) | | | 5.70% | | | 11/25/2035 | | | 5,182,692 | |
| | | | | Fieldstone Mortgage Investment Corp. | |
| | 3,003,909 | | | Series 2007-1-2A2 (1 mo. Term SOFR + 0.38%, 0.27% Floor, 12.25% Cap) | | | 5.93% | | | 04/25/2047 | | | 2,232,214 | |
| | | | | Figure line of credit trust | |
| | 14,127,801 | | | Series 2020-1-A | | | 4.04%(a)(b) | | | 09/25/2049 | | | 13,739,734 | |
| | | | | First Franklin Mortgage Loan Asset Backed Certificates | |
| | 7,487,697 | | | Series 2006-FF8-M1 (1 mo. Term SOFR + 0.49%, 0.38% Floor) | | | 5.34% | | | 07/25/2036 | | | 6,512,243 | |
| | 4,000,000 | | | Series 2006-FF9-2A4 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 06/25/2036 | | | 3,645,075 | |
| | 17,039,859 | | | Series 2007-FF2-A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 03/25/2037 | | | 8,923,599 | |
| | 20,430,784 | | | Series 2007-FF2-A2C (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 03/25/2037 | | | 9,876,235 | |
| | | | | First Horizon Alternative Mortgage Securities | |
| | 2,753,461 | | | Series 2005-AA4-1A1 | | | 5.28%(b) | | | 05/25/2035 | | | 1,332,740 | |
| | 3,252,467 | | | Series 2005-FA8-1A4 | | | 5.50% | | | 11/25/2035 | | | 1,587,381 | |
| | 244,107 | | | Series 2005-FA8-2A1 | | | 5.00% | | | 10/25/2024 | | | 239,886 | |
| | 927,497 | | | Series 2006-AA3-A1 | | | 5.65%(b) | | | 06/25/2036 | | | 727,693 | |
| | 1,802,077 | | | Series 2006-FA1-1A12 | | | 6.00% | | | 04/25/2036 | | | 803,868 | |
| | 6,047,090 | | | Series 2006-FA1-1A3 | | | 5.75% | | | 04/25/2036 | | | 2,588,864 | |
| | 1,204,773 | | | Series 2006-FA2-1A5 | | | 6.00% | | | 05/25/2036 | | | 515,119 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,891,443 | | | Series 2006-FA8-1A5 | | | 6.00% | | | 02/25/2037 | | | 756,345 | |
| | 2,656,180 | | | Series 2006-RE1-A1 | | | 5.50%(b) | | | 05/25/2035 | | | 1,771,844 | |
| | 10,585,704 | | | Series 2007-FA3-A3 | | | 6.00% | | | 06/25/2037 | | | 3,719,635 | |
| | 544,689 | | | Series 2007-FA3-A4 | | | 6.00% | | | 06/25/2037 | | | 191,394 | |
| | 598,638 | | | Series 2007-FA4-1A13 | | | 6.25% | | | 08/25/2037 | | | 235,453 | |
| | 1,848,042 | | | Series 2007-FA4-1A4 | | | 6.25% | | | 08/25/2037 | | | 726,862 | |
| | 1,050,724 | | | Series 2007-FA4-1A5 | | | 6.25% | | | 08/25/2037 | | | 413,265 | |
| | | | | First Horizon Asset Securities, Inc. | |
| | 882,347 | | | Series 2006-1-1A2 | | | 6.00% | | | 05/25/2036 | | | 330,541 | |
| | 1,532,445 | | | Series 2007-4-1A1 | | | 6.00% | | | 08/25/2037 | | | 597,468 | |
| | | | | FirstKey Homes Trust | |
| | 9,000,000 | | | Series 2020-SFR1-E | | | 2.79%(a) | | | 08/17/2037 | | | 8,765,049 | |
| | 18,000,000 | | | Series 2020-SFR2-D | | | 1.97%(a) | | | 10/19/2037 | | | 17,360,122 | |
| | 26,225,000 | | | Series 2020-SFR2-E | | | 2.67%(a) | | | 10/19/2037 | | | 25,418,340 | |
| | 16,350,000 | | | Series 2021-SFR1-E1 | | | 2.39%(a) | | | 08/17/2038 | | | 15,458,770 | |
| | 11,500,000 | | | Series 2021-SFR1-E2 | | | 2.49%(a) | | | 08/17/2038 | | | 10,855,193 | |
| | 8,000,000 | | | Series 2021-SFR2-D | | | 2.06%(a) | | | 09/17/2038 | | | 7,522,858 | |
| | 8,000,000 | | | Series 2021-SFR2-E1 | | | 2.26%(a) | | | 09/17/2038 | | | 7,483,326 | |
| | 8,000,000 | | | Series 2021-SFR2-E2 | | | 2.36%(a) | | | 09/17/2038 | | | 7,470,514 | |
| | 34,891,000 | | | Series 2021-SFR3-B | | | 2.44%(a) | | | 12/17/2038 | | | 33,125,589 | |
| | 29,584,000 | | | Series 2021-SFR3-C | | | 2.54%(a) | | | 12/17/2038 | | | 28,032,580 | |
| | 22,626,000 | | | Series 2021-SFR3-D | | | 2.79%(a) | | | 12/17/2038 | | | 21,396,569 | |
| | 45,314,000 | | | Series 2021-SFR3-E1 | | | 2.99%(a) | | | 12/17/2038 | | | 42,610,694 | |
| | 25,293,000 | | | Series 2021-SFR3-E2 | | | 3.08%(a) | | | 12/17/2038 | | | 23,786,478 | |
| | 10,174,000 | | | Series 2021-SFR3-F1 | | | 3.58%(a) | | | 12/17/2038 | | | 9,554,417 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | |
| | 75,600,000 | | | Series 2022-DNA3-M1B (30 day avg SOFR US + 2.90%, 0.00% Floor) | | | 8.18%(a) | | | 04/25/2042 | | | 78,284,874 | |
| | 34,247,646 | | | Series 2024-HQA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor) | | | 6.48%(a) | | | 08/25/2044 | | | 34,349,320 | |
| | 23,000,000 | | | Series 2024-HQA2-M2 (30 day avg SOFR US + 1.80%, 0.00% Floor) | | | 7.08%(a) | | | 08/25/2044 | | | 23,186,875 | |
| | | | | Freedom Mortgage Parent LLC | |
| | 62,350,000 | | | Series 2020-GT1-A | | | 4.45%(a)(b) | | | 01/25/2026 | | | 60,350,554 | |
| | 72,500,000 | | | Series 2021-GT1-A | | | 3.62%(a)(b) | | | 07/25/2026 | | | 67,956,302 | |
| | 64,820,000 | | | Series 2021-GT2-A | | | 3.85%(a)(b) | | | 10/25/2026 | | | 61,176,701 | |
| | | | | Fremont Home Loan Trust | |
| | 108,840,737 | | | Series 2006-D-1A1 (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 11/25/2036 | | | 63,848,132 | |
| | | | | FRTKL | |
| | 7,750,000 | | | Series 2021-SFR1-E1 | | | 2.37%(a) | | | 09/17/2038 | | | 7,173,455 | |
| | 6,650,000 | | | Series 2021-SFR1-E2 | | | 2.52%(a) | | | 09/17/2038 | | | 6,145,285 | |
| | | | | GCAT | |
| | 2,751,000 | | | Series 2019-NQM3-M1 | | | 3.45%(a)(b) | | | 11/25/2059 | | | 2,540,990 | |
| | 7,096,000 | | | Series 2021-NQM2-M1 | | | 2.54%(a)(b) | | | 05/25/2066 | | | 5,310,204 | |
| | 8,405,000 | | | Series 2021-NQM6-B1 | | | 4.42%(a)(b) | | | 08/25/2066 | | | 6,753,213 | |
| | | | | GE-WMC Mortgage Securities LLC | |
| | 31,141,176 | | | Series 2006-1-A2B (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 08/25/2036 | | | 13,275,954 | |
| | | | | GMAC Mortgage Corp. Loan Trust | |
| | 1,492,073 | | | Series 2005-AR5-3A1 | | | 4.84%(b) | | | 09/19/2035 | | | 1,190,873 | |
| | | | | Greenpoint Mortgage Funding Trust | |
| | 20,724,860 | | | Series 2005-AR3-2A1 (1 mo. Term SOFR + 0.63%, 0.52% Floor, 10.50% Cap) | | | 5.49% | | | 08/25/2045 | | | 7,283,168 | |
| | 15,228,403 | | | Series 2007-AR2-1A3 (1 mo. Term SOFR + 0.59%, 0.48% Floor) | | | 5.45% | | | 04/25/2047 | | | 13,097,683 | |
| | | | | GS Mortgage Securities Corp. | |
| | 882,310 | | | Series 2008-2R-1A1 | | | 9.75%(a)(b) | | | 09/25/2036 | | | 309,992 | |
| | 15,993,808 | | | Series 2014-3R-2B (1 mo. Term SOFR + 0.29%, 0.18% Floor) | | | 5.57%(a) | | | 09/26/2036 | | | 8,815,587 | |
| | | | | GS Mortgage-Backed Securities Trust | |
| | 92,509,378 | | | Series 2020-RPL2-A1 | | | 1.75%(a)(b) | | | 05/25/2060 | | | 83,961,483 | |
| | 12,540,000 | | | Series 2020-RPL2-M1 | | | 2.25%(a)(b) | | | 05/25/2060 | | | 10,296,765 | |
| | 10,237,000 | | | Series 2020-RPL2-M2 | | | 2.75%(a)(b) | | | 05/25/2060 | | | 8,460,164 | |
| | 9,341,000 | | | Series 2020-RPL2-M3 | | | 3.00%(a)(b) | | | 05/25/2060 | | | 7,563,585 | |
| | 31,722,289 | | | Series 2020-RPL2-PT4 | | | 6.27%(a)(j) | | | 05/25/2060 | | | 29,436,984 | |
| | | |
| | | |
16
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | GSAA Trust | |
| | 102,362 | | | Series 2005-12-AF3 | | | 5.07%(b) | | | 09/25/2035 | | | 67,101 | |
| | 7,614,793 | | | Series 2006-10-AF3 | | | 5.98%(b) | | | 06/25/2036 | | | 1,908,639 | |
| | 5,450,038 | | | Series 2006-10-AF4 | | | 6.80%(d) | | | 06/25/2036 | | | 1,362,486 | |
| | 10,323,469 | | | Series 2006-15-AF4 | | | 6.46%(d) | | | 09/25/2036 | | | 2,641,373 | |
| | 1,611,060 | | | Series 2006-18-AF3A | | | 5.77%(b) | | | 11/25/2036 | | | 485,397 | |
| | 3,792,471 | | | Series 2006-18-AF6 | | | 6.18%(d) | | | 11/25/2036 | | | 940,145 | |
| | 7,108,167 | | | Series 2006-19-A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor) | | | 5.15% | | | 12/25/2036 | | | 1,916,847 | |
| | 3,383,337 | | | Series 2007-10-A1A | | | 6.00% | | | 11/25/2037 | | | 1,949,899 | |
| | 2,474,530 | | | Series 2007-10-A2A | | | 6.50% | | | 11/25/2037 | | | 989,114 | |
| | 5,751,438 | | | Series 2007-7-A5 (1 mo. Term SOFR + 0.67%, 0.56% Floor) | | | 5.53% | | | 07/25/2037 | | | 3,012,566 | |
| | | | | GSAMP Trust | |
| | 14,900,231 | | | Series 2006-HE6-A3 (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 08/25/2036 | | | 12,104,046 | |
| | 6,179,403 | | | Series 2007-H1-A2B (1 mo. Term SOFR + 0.51%, 0.40% Floor) | | | 5.37% | | | 01/25/2047 | | | 3,249,587 | |
| | | | | GSMPS Mortgage Loan Trust | |
| | 5,765,623 | | | Series 2005-RP2-1AF (1 mo. Term SOFR + 0.46%, 0.35% Floor) | | | 5.32%(a) | | | 03/25/2035 | | | 5,278,853 | |
| | 5,765,623 | | | Series 2005-RP2-1AS | | | 0.00%(a)(b)(f) | | | 03/25/2035 | | | 140,150 | |
| | 3,773,855 | | | Series 2005-RP3-1AF (1 mo. Term SOFR + 0.46%, 0.35% Floor, 9.50% Cap) | | | 5.32%(a) | | | 09/25/2035 | | | 3,187,263 | |
| | 3,773,855 | | | Series 2005-RP3-1AS | | | 0.00%(a)(b)(f) | | | 09/25/2035 | | | 84,858 | |
| | 14,079,625 | | | Series 2006-RP1-1AF1 (1 mo. Term SOFR + 0.46%, 0.35% Floor, 9.15% Cap) | | | 5.32%(a) | | | 01/25/2036 | | | 11,238,192 | |
| | 14,079,625 | | | Series 2006-RP1-1AS | | | 0.00%(a)(b)(f) | | | 01/25/2036 | | | 175,504 | |
| | | | | GSR Mortgage Loan Trust | |
| | 678,568 | | | Series 2005-1F-1A2 | | | 5.50% | | | 02/25/2035 | | | 656,563 | |
| | 1,131,932 | | | Series 2005-1F-3A3 | | | 6.00% | | | 01/25/2035 | | | 1,027,387 | |
| | 165,668 | | | Series 2005-6F-3A5 | | | 6.00% | | | 07/25/2035 | | | 160,520 | |
| | 1,773,937 | | | Series 2005-6F-3A9 (-1 x 1 mo. Term SOFR + 6.79%, 0.00% Floor, 6.90% Cap) | | | 1.93%(f)(g) | | | 07/25/2035 | | | 173,529 | |
| | 93,380 | | | Series 2005-6F-4A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap) | | | 5.47% | | | 07/25/2035 | | | 90,177 | |
| | 93,671 | | | Series 2005-7F-3A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap) | | | 5.47% | | | 09/25/2035 | | | 91,877 | |
| | 6,948,657 | | | Series 2005-8F-3A5 | | | 6.00% | | | 11/25/2035 | | | 2,482,107 | |
| | 1,642,540 | | | Series 2005-8F-4A1 | | | 6.00% | | | 11/25/2035 | | | 641,757 | |
| | 128,415 | | | Series 2006-1F-1A2 | | | 5.50% | | | 02/25/2036 | | | 251,806 | |
| | 292,808 | | | Series 2006-2F-2A3 | | | 5.75% | | | 02/25/2036 | | | 254,606 | |
| | 1,509,313 | | | Series 2006-2F-3A3 | | | 6.00% | | | 02/25/2036 | | | 687,330 | |
| | 1,812,681 | | | Series 2006-2F-3A6 | | | 6.00% | | | 02/25/2036 | | | 825,483 | |
| | 16,877,872 | | | Series 2006-5F-3A1 | | | 6.50% | | | 06/25/2036 | | | 7,433,602 | |
| | 4,138,917 | | | Series 2006-6F-2A3 | | | 6.00% | | | 07/25/2036 | | | 2,408,745 | |
| | 9,507,874 | | | Series 2006-9F-4A1 | | | 6.50% | | | 10/25/2036 | | | 3,977,865 | |
| | 28,008,092 | | | Series 2006-OA1-3A1 (Enterprise 11th District COFI Replacement Index + 1.50%, 1.50% Floor) | | | 4.77% | | | 08/25/2046 | | | 5,609,449 | |
| | 107,677 | | | Series 2007-1F-2A2 | | | 5.50% | | | 01/25/2037 | | | 331,076 | |
| | 407,057 | | | Series 2007-4F-1A1 | | | 5.00% | | | 07/25/2037 | | | 691,245 | |
| | 11,729,891 | | | Series 2007-4F-3A11 | | | 6.00% | | | 07/25/2037 | | | 7,761,145 | |
| | 39,270,591 | | | Series 2007-OA1-1A1 (1 mo. Term SOFR + 0.34%, 0.23% Floor) | | | 5.20% | | | 05/25/2037 | | | 19,103,446 | |
| | | | | Harborview Mortgage Loan Trust | |
| | 150,401 | | | Series 2005-14-3A1A | | | 7.59%(b) | | | 12/19/2035 | | | 141,504 | |
| | 5,131,879 | | | Series 2005-2-1A (1 mo. Term SOFR + 0.63%, 0.52% Floor) | | | 5.60% | | | 05/19/2035 | | | 1,553,965 | |
| | 21,328,502 | | | Series 2005-8-1A1A (1 mo. Term SOFR + 0.73%, 0.62% Floor, 11.00% Cap) | | | 5.70% | | | 09/19/2035 | | | 10,022,568 | |
| | 39,910,544 | | | Series 2005-8-2A1A (12 Month US Treasury Average + 1.55%, 1.55% Floor) | | | 6.67% | | | 09/19/2035 | | | 16,608,150 | |
| | 3,214,645 | | | Series 2006-10-2A1A (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.82% | | | 11/19/2036 | | | 2,728,049 | |
| | 3,483,229 | | | Series 2006-11-A1A (1 mo. Term SOFR + 0.45%, 0.34% Floor) | | | 5.42% | | | 12/19/2036 | | | 3,123,738 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 28,474,571 | | | Series 2006-14-1A1A (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.44% | | | 01/25/2047 | | | 26,080,958 | |
| | 5,160,143 | | | Series 2006-4-1A2A (1 mo. Term SOFR + 0.49%, 0.38% Floor) | | | 5.46% | | | 05/19/2046 | | | 2,705,550 | |
| | 53,242,493 | | | Series 2006-8-1A1 (1 mo. Term SOFR + 0.51%, 0.00% Floor) | | | 5.82% | | | 07/21/2036 | | | 26,098,379 | |
| | 5,973,774 | | | Series 2006-BU1-1A1A (1 mo. Term SOFR + 0.53%, 0.42% Floor, 10.50% Cap) | | | 5.50% | | | 02/19/2046 | | | 5,444,161 | |
| | 12,372,258 | | | Series 2007-7-1A1 (1 mo. Term SOFR + 2.11%, 0.00% Floor, 10.50% Cap) | | | 6.97% | | | 10/25/2037 | | | 9,725,901 | |
| | | | | Home Equity Asset Trust | |
| | 294,700 | | | Series 2003-3-M1 (1 mo. Term SOFR + 1.40%, 1.29% Floor) | | | 6.26% | | | 08/25/2033 | | | 288,549 | |
| | | | | Home Partners of America Trust | |
| | 3,658,824 | | | Series 2019-2-C | | | 3.02%(a) | | | 10/19/2039 | | | 3,467,697 | |
| | 3,892,366 | | | Series 2019-2-D | | | 3.12%(a) | | | 10/19/2039 | | | 3,689,642 | |
| | 7,326,807 | | | Series 2019-2-E | | | 3.32%(a) | | | 10/19/2039 | | | 6,968,410 | |
| | | | | Homebanc Mortgage Trust | |
| | 308,281 | | | Series 2005-1-M2 (1 mo. Term SOFR + 0.85%, 0.74% Floor, 11.50% Cap) | | | 5.70% | | | 03/25/2035 | | | 249,487 | |
| | 10,350,000 | | | Series 2005-3-M5 (1 mo. Term SOFR + 1.96%, 1.85% Floor, 11.50% Cap) | | | 6.81% | | | 07/25/2035 | | | 9,367,439 | |
| | | | | Homeward Opportunities Fund I Trust | |
| | 28,994,000 | | | Series 2020-2-B2 | | | 5.65%(a)(b) | | | 05/25/2065 | | | 29,394,071 | |
| | | | | HSBC Asset Loan Obligation | |
| | 17,921,277 | | | Series 2007-2-3A6 | | | 6.00% | | | 09/25/2037 | | | 5,769,502 | |
| | 13,431,036 | | | Series 2007-WF1-A3 | | | 4.49%(d) | | | 12/25/2036 | | | 4,601,457 | |
| | | | | HSI Asset Securitization Corp. | |
| | 27,379,572 | | | Series 2006-HE1-1A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 10/25/2036 | | | 7,832,970 | |
| | 13,020,726 | | | Series 2007-NC1-A2 (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 04/25/2037 | | | 8,544,670 | |
| | 56,449,019 | | | Series 2007-NC1-A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 04/25/2037 | | | 38,474,268 | |
| | | | | Impac CMB Trust | |
| | 54,166 | | | Series 2002-9F-A1 | | | 5.22%(d) | | | 12/25/2032 | | | 53,745 | |
| | | | | Impac Secured Assets CMN Owner Trust | |
| | 9,099,243 | | | Series 2007-3-A1B (1 mo. Term SOFR + 0.59%, 0.48% Floor, 11.50% Cap) | | | 5.45% | | | 09/25/2037 | | | 7,780,740 | |
| | | | | Imperial Fund Mortgage Trust | |
| | 23,180,972 | | | Series 2021-NQM4-A1 | | | 2.09%(a)(b) | | | 01/25/2057 | | | 20,246,959 | |
| | 12,000,795 | | | Series 2021-NQM4-A2 | | | 2.30%(a)(b) | | | 01/25/2057 | | | 10,486,471 | |
| | 9,146,042 | | | Series 2021-NQM4-A3 | | | 2.45%(a)(b) | | | 01/25/2057 | | | 7,982,010 | |
| | | | | Indymac IMJA Mortgage Loan Trust | |
| | 3,097,574 | | | Series 2007-A1-A1 | | | 6.00% | | | 08/25/2037 | | | 1,248,273 | |
| | 2,267,666 | | | Series 2007-A1-A7 | | | 6.00% | | | 08/25/2037 | | | 913,834 | |
| | 6,850,853 | | | Series 2007-A2-1A1 | | | 6.00% | | | 10/25/2037 | | | 2,995,158 | |
| | 10,774,365 | | | Series 2007-A2-2A3 | | | 6.50% | | | 10/25/2037 | | | 5,346,362 | |
| | 18,299,270 | | | Series 2007-A2-3A1 | | | 7.00% | | | 10/25/2037 | | | 5,123,772 | |
| | 15,468,564 | | | Series 2007-A3-A1 | | | 6.25% | | | 11/25/2037 | | | 7,117,341 | |
| | 12,717,020 | | | Series 2007-A4-A1 | | | 6.25% | | | 02/25/2038 | | | 4,112,923 | |
| | | | | Indymac IMSC Mortgage Loan Trust | |
| | 28,737,418 | | | Series 2007-F1-2A1 | | | 6.50% | | | 06/25/2037 | | | 7,225,874 | |
| | 257,182 | | | Series 2007-F2-1A2 | | | 6.00% | | | 07/25/2037 | | | 180,032 | |
| | 25,253,567 | | | Series 2007-F2-2A1 | | | 6.50% | | | 07/25/2037 | | | 7,875,340 | |
| | 2,768,126 | | | Series 2007-HOA1-A11 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 07/25/2047 | | | 1,842,892 | |
| | | | | Indymac INDA Mortgage Loan Trust | |
| | 729,972 | | | Series 2006-AR2-1A1 | | | 5.06%(b) | | | 09/25/2036 | | | 492,553 | |
| | 541,216 | | | Series 2006-AR2-4A1 | | | 4.66%(b) | | | 09/25/2036 | | | 496,287 | |
| | 7,465,122 | | | Series 2006-AR3-1A1 | | | 4.24%(b) | | | 12/25/2036 | | | 5,972,374 | |
| | 2,357,905 | | | Series 2007-AR1-3A1 | | | 3.04%(b) | | | 03/25/2037 | | | 1,971,161 | |
| | 1,898,117 | | | Series 2007-AR3-3A1 | | | 4.27%(b) | | | 07/25/2037 | | | 1,663,592 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 17
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Indymac Index Mortgage Loan Trust | |
| | 4,929,517 | | | Series 2005-AR15-A1 | | | 4.29%(b) | | | 09/25/2035 | | | 4,058,563 | |
| | 2,168,173 | | | Series 2006-AR7-3A1 | | | 4.03%(b) | | | 05/25/2036 | | | 1,907,446 | |
| | 1,869,143 | | | Series 2007-AR13-2A1 | | | 5.97%(b) | | | 07/25/2037 | | | 1,637,727 | |
| | 4,300,555 | | | Series 2007-AR21-8A1 | | | 4.86%(b) | | | 09/25/2037 | | | 4,204,342 | |
| | | | | Indymac Residential Asset Backed Trust | |
| | 12,182,000 | | | Series 2006-B-2A4 (1 mo. Term SOFR + 0.67%, 0.56% Floor) | | | 5.53% | | | 06/25/2036 | | | 11,088,013 | |
| | 8,528,139 | | | Series 2006-D-2A4 (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21% | | | 11/25/2036 | | | 6,893,526 | |
| | 7,584,528 | | | Series 2007-B-1A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.16% | | | 07/25/2037 | | | 3,101,900 | |
| | 7,584,528 | | | Series 2007-B-1A2 (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.16% | | | 07/25/2037 | | | 3,101,900 | |
| | | | | Invitation Homes Trust | |
| | 33,442,000 | | | Series 2024-SFR1-C | | | 4.25%(a) | | | 09/17/2041 | | | 32,313,031 | |
| | | | | JP Morgan Alternative Loan Trust | |
| | 4,716,383 | | | Series 2005-S1-2A11 | | | 6.00% | | | 12/25/2035 | | | 3,221,058 | |
| | 1,511,972 | | | Series 2005-S1-2A9 | | | 6.00% | | | 12/25/2035 | | | 1,032,603 | |
| | 2,660,273 | | | Series 2006-A2-1A1 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 11.50% Cap) | | | 5.33% | | | 05/25/2036 | | | 2,144,731 | |
| | 2,061,149 | | | Series 2006-S1-1A8 | | | 5.75% | | | 03/25/2036 | | | 1,056,579 | |
| | 292,789 | | | Series 2006-S2-A4 | | | 6.69%(d) | | | 05/25/2036 | | | 301,208 | |
| | | | | JP Morgan Mortgage Acquisition Corp. | |
| | 2,179,200 | | | Series 2005-WMC1-M4 (1 mo. Term SOFR + 1.01%, 0.90% Floor) | | | 5.87% | | | 09/25/2035 | | | 1,948,265 | |
| | 5,212,319 | | | Series 2006-CH2-AF3 | | | 5.46%(d) | | | 09/25/2029 | | | 3,176,456 | |
| | 8,898,764 | | | Series 2006-HE3-A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 4.25% | | | 11/25/2036 | | | 8,312,817 | |
| | 21,771,031 | | | Series 2006-RM1-A3 (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21% | | | 08/25/2036 | | | 9,741,400 | |
| | 20,121,757 | | | Series 2006-RM1-A4 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 08/25/2036 | | | 9,019,746 | |
| | 2,852,555 | | | Series 2006-WF1-A5 | | | 6.91%(d) | | | 07/25/2036 | | | 808,276 | |
| | 3,992,450 | | | Series 2006-WMC4-A1A (1 mo. Term SOFR + 0.24%, 0.13% Floor) | | | 5.10% | | | 12/25/2036 | | | 2,502,632 | |
| | 35,550,679 | | | Series 2006-WMC4-A1B (1 mo. Term SOFR + 0.34%, 0.23% Floor) | | | 5.20% | | | 12/25/2036 | | | 4,747,843 | |
| | 9,690,000 | | | Series 2007-CH3-M2 (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 03/25/2037 | | | 8,841,757 | |
| | | | | JP Morgan Mortgage Trust | |
| | 61,679 | | | Series 2005-A6-5A1 | | | 6.77%(b) | | | 08/25/2035 | | | 62,809 | |
| | 3,098,687 | | | Series 2005-S1-1A2 | | | 6.50% | | | 01/25/2035 | | | 3,211,044 | |
| | 330,707 | | | Series 2005-S2-2A13 | | | 5.50% | | | 09/25/2035 | | | 251,825 | |
| | 930,106 | | | Series 2006-S2-3A3 | | | 6.00% | | | 07/25/2036 | | | 297,240 | |
| | 3,354,127 | | | Series 2006-S2-3A5 | | | 6.25% | | | 07/25/2036 | | | 1,115,819 | |
| | 1,786,083 | | | Series 2006-S3-1A2 | | | 6.00% | | | 08/25/2036 | | | 535,278 | |
| | 7,073,757 | | | Series 2006-S3-1A21 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 7.50% Cap) | | | 5.35% | | | 08/25/2036 | | | 1,465,198 | |
| | 7,073,757 | | | Series 2006-S3-1A22 (-1 x 1 mo. Term SOFR + 7.01%, 0.00% Floor, 7.12% Cap) | | | 2.15%(f)(g) | | | 08/25/2036 | | | 1,128,135 | |
| | 832,268 | | | Series 2006-S3-1A9 | | | 6.00% | | | 08/25/2036 | | | 249,426 | |
| | 5,656,621 | | | Series 2006-S4-A3 | | | 6.00% | | | 01/25/2037 | | | 2,174,073 | |
| | 2,355,938 | | | Series 2006-S4-A5 | | | 6.00% | | | 01/25/2037 | | | 909,198 | |
| | 5,577,194 | | | Series 2006-S4-A8 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 7.00% Cap) | | | 5.35% | | | 01/25/2037 | | | 1,486,169 | |
| | 5,577,194 | | | Series 2006-S4-A9 (-1 x 1 mo. Term SOFR + 6.51%, 0.00% Floor, 6.62% Cap) | | | 1.65%(f)(g) | | | 01/25/2037 | | | 958,952 | |
| | 599,252 | | | Series 2007-A2-2A1 | | | 5.61%(b) | | | 04/25/2037 | | | 447,740 | |
| | 2,043,774 | | | Series 2007-A3-3A2M | | | 5.02%(b) | | | 05/25/2037 | | | 1,838,609 | |
| | 6,138,166 | | | Series 2007-S1-2A6 | | | 6.00% | | | 03/25/2037 | | | 2,418,955 | |
| | 1,720,790 | | | Series 2007-S3-1A1 | | | 5.50% | | | 08/25/2037 | | | 744,218 | |
| | 3,882,504 | | | Series 2007-S3-1A35 | | | 6.00% | | | 08/25/2037 | | | 1,833,957 | |
| | 1,691,976 | | | Series 2007-S3-1A64 | | | 7.50% | | | 08/25/2037 | | | 580,254 | |
| | 653,352 | | | Series 2007-S3-1A9 | | | 6.00% | | | 08/25/2037 | | | 307,116 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 3,579,853 | | | Series 2007-S3-1A96 | | | 6.00% | | | 08/25/2037 | | | 1,683,487 | |
| | 4,080,768 | | | Series 2007-S3-1A97 | | | 6.00% | | | 08/25/2037 | | | 1,919,158 | |
| | | | | JP Morgan Reremic | |
| | 4,766,383 | | | Series 2009-4-3A2 | | | 6.00%(a)(b) | | | 02/26/2037 | | | 2,370,782 | |
| | 16,321,722 | | | Series 2009-7-7A1 | | | 7.00%(a)(b) | | | 09/27/2037 | | | 7,622,813 | |
| | 7,596,192 | | | Series 2010-1-1A4 | | | 6.00%(a) | | | 02/26/2037 | | | 3,465,662 | |
| | 5,131,018 | | | Series 2010-1-2A11 | | | 7.00%(a)(b) | | | 01/26/2037 | | | 2,469,101 | |
| | | | | Legacy Mortgage Asset Trust | |
| | 111,834,529 | | | Series 2019-RPL3-PT1 | | | 0.00%(a) | | | 06/25/2058 | | | 97,034,817 | |
| | 24,126,633 | | | Series 2021-GS4-A2 | | | 6.55%(a)(d) | | | 11/25/2060 | | | 24,141,722 | |
| | | | | Lehman Brothers Holdings, Inc. | |
| | 17,763,820 | | | Series 2007-1-1A1 (1 mo. Term SOFR + 0.32%, 0.21% Floor) | | | 5.18%(a) | | | 06/25/2037 | | | 12,987,472 | |
| | 5,523,176 | | | Series 2007-1-2A4 (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27%(a) | | | 06/25/2037 | | | 3,721,736 | |
| | | | | Lehman Mortgage Trust | |
| | 1,451,733 | | | Series 2005-2-3A5 | | | 5.50% | | | 12/25/2035 | | | 778,346 | |
| | 1,005,851 | | | Series 2005-2-5A5 | | | 5.75% | | | 12/25/2035 | | | 654,533 | |
| | 1,726,529 | | | Series 2005-3-2A1 | | | 6.00% | | | 01/25/2036 | | | 1,443,426 | |
| | 146,882 | | | Series 2005-3-2A3 | | | 5.50% | | | 01/25/2036 | | | 116,861 | |
| | 789,078 | | | Series 2005-3-2A7 | | | 6.00% | | | 01/25/2036 | | | 659,640 | |
| | 911,305 | | | Series 2006-1-1A1 (1 mo. Term SOFR + 0.86%, 0.75% Floor, 5.50% Cap) | | | 5.50% | | | 02/25/2036 | | | 379,634 | |
| | 2,733,914 | | | Series 2006-1-1A2 (-1 x 1 mo. Term SOFR + 4.64%, 0.00% Floor, 4.75% Cap) | | | 0.00%(f)(g) | | | 02/25/2036 | | | 209,941 | |
| | 1,920,996 | | | Series 2006-1-3A1 (1 mo. Term SOFR + 0.86%, 0.75% Floor, 5.50% Cap) | | | 5.50% | | | 02/25/2036 | | | 1,232,841 | |
| | 1,920,996 | | | Series 2006-1-3A2 (-1 x 1 mo. Term SOFR + 4.64%, 0.00% Floor, 4.75% Cap) | | | 0.00%(f)(g) | | | 02/25/2036 | | | 128,502 | |
| | 1,237,681 | | | Series 2006-1-3A4 | | | 5.50% | | | 02/25/2036 | | | 911,636 | |
| | 1,425,350 | | | Series 2006-4-1A3 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap) | | | 0.43%(f)(g) | | | 08/25/2036 | | | 140,172 | |
| | 905,921 | | | Series 2006-4-1A4 | | | 6.00% | | | 08/25/2036 | | | 702,926 | |
| | 5,464,669 | | | Series 2006-5-2A1 (1 mo. Term SOFR + 0.46%, 0.35% Floor, 7.50% Cap) | | | 5.32% | | | 09/25/2036 | | | 715,814 | |
| | 11,382,845 | | | Series 2006-5-2A2Pool 2006-5 (-1 x 1 mo. Term SOFR + 7.04%, 0.00% Floor, 7.15% Cap) | | | 2.18%(f)(g) | | | 09/25/2036 | | | 1,245,418 | |
| | 5,543,473 | | | Series 2006-6-3A9 | | | 5.50% | | | 10/25/2036 | | | 3,735,973 | |
| | 135,156 | | | Series 2006-6-4A5 | | | 6.00% | | | 12/25/2036 | | | 128,070 | |
| | 2,764,059 | | | Series 2006-7-2A2 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.42% | | | 11/25/2036 | | | 608,073 | |
| | 10,216,422 | | | Series 2006-7-2A5 (-1 x 1 mo. Term SOFR + 6.44%, 6.55% Cap) | | | 1.58%(f)(g) | | | 11/25/2036 | | | 1,174,933 | |
| | 1,649,962 | | | Series 2006-9-1A19 (-5 x 1 mo. Term SOFR + 30.16%, 0.00% Floor, 30.68% Cap) | | | 7.82%(g) | | | 01/25/2037 | | | 1,705,922 | |
| | 1,790,901 | | | Series 2006-9-1A5 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 5.75% Cap) | | | 5.57% | | | 01/25/2037 | | | 935,572 | |
| | 5,355,771 | | | Series 2006-9-1A6 (-1 x 1 mo. Term SOFR + 5.04%, 0.00% Floor, 5.15% Cap) | | | 0.18%(f)(g) | | | 01/25/2037 | | | 455,613 | |
| | 3,427,195 | | | Series 2006-9-2A1 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 7.00% Cap) | | | 5.35% | | | 01/25/2037 | | | 686,611 | |
| | 6,168,181 | | | Series 2006-9-2A2 (-1 x 1 mo. Term SOFR + 6.51%, 0.00% Floor, 6.62% Cap) | | | 1.65%(f)(g) | | | 01/25/2037 | | | 611,533 | |
| | 1,374,447 | | | Series 2007-2-1A1 | | | 5.75% | | | 02/25/2037 | | | 933,436 | |
| | 2,368,035 | | | Series 2007-4-2A11 (1 mo. Term SOFR + 0.44%, 0.33% Floor, 7.00% Cap) | | | 5.30% | | | 05/25/2037 | | | 726,616 | |
| | 10,879,701 | | | Series 2007-4-2A8 (-1 x 1 mo. Term SOFR + 6.56%, 0.00% Floor, 6.67% Cap) | | | 1.70%(f)(g) | | | 05/25/2037 | | | 1,138,876 | |
| | 744,132 | | | Series 2007-4-2A9 (1 mo. Term SOFR + 0.44%, 0.33% Floor, 7.00% Cap) | | | 5.30% | | | 05/25/2037 | | | 181,347 | |
| | 573,453 | | | Series 2007-5-4A3 (-6 x 1 mo. Term SOFR + 39.39%, 0.00% Floor, 40.08% Cap) | | | 10.26%(g) | | | 08/25/2036 | | | 745,239 | |
| | | | | | | | | | | | | | | |
18
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 598,982 | | | Series 2007-5-7A3 | | | 7.50% | | | 10/25/2036 | | | 216,790 | |
| | 48,323 | | | Series 2007-6-1A8 | | | 6.00% | | | 07/25/2037 | | | 44,070 | |
| | 5,740,551 | | | Series 2007-9-2A2 | | | 6.50% | | | 10/25/2037 | | | 1,463,697 | |
| | 3,186,506 | | | Series 2008-2-1A6 | | | 6.00% | | | 03/25/2038 | | | 956,921 | |
| | | | | Lehman XS Trust | |
| | 4,390,022 | | | Series 2005-2-2A3B | | | 5.94%(d) | | | 08/25/2035 | | | 4,014,277 | |
| | 6,648,264 | | | Series 2005-9N-2A1 (12 Month US Treasury Average + 1.06%, 1.06% Floor) | | | 6.18% | | | 02/25/2036 | | | 5,709,657 | |
| | 4,821,536 | | | Series 2006-3-A3 (1 mo. Term SOFR + 0.71%, 0.60% Floor) | | | 5.57% | | | 03/25/2036 | | | 4,731,533 | |
| | 6,163,266 | | | Series 2006-5-1A1A (1 mo. Term SOFR + 0.53%, 0.42% Floor) | | | 5.39% | | | 04/25/2036 | | | 5,199,409 | |
| | 24,642 | | | Series 2006-5-2A4A | | | 6.39%(d) | | | 04/25/2036 | | | 30,020 | |
| | 7,426,756 | | | Series 2006-GP3-1A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor) | | | 5.37% | | | 06/25/2046 | | | 6,646,392 | |
| | 3,997,591 | | | Series 2007-1-2A1 | | | 7.00%(b) | | | 02/25/2037 | | | 3,948,241 | |
| | 9,139,733 | | | Series 2007-12N-1A3A (1 mo. Term SOFR + 0.51%, 0.40% Floor) | | | 5.37% | | | 07/25/2047 | | | 8,767,762 | |
| | 8,779,645 | | | Series 2007-15N-4A1 (1 mo. Term SOFR + 1.01%, 0.90% Floor) | | | 5.87% | | | 08/25/2047 | | | 7,239,337 | |
| | | | | Long Beach Mortgage Loan Trust | |
| | 13,069,568 | | | Series 2006-2-2A4 (1 mo. Term SOFR + 0.69%, 0.58% Floor) | | | 5.55% | | | 03/25/2046 | | | 4,743,920 | |
| | 46,772,628 | | | Series 2006-3-2A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 05/25/2046 | | | 14,594,210 | |
| | 4,767,928 | | | Series 2006-3-2A4 (1 mo. Term SOFR + 0.65%, 0.54% Floor) | | | 5.51% | | | 05/25/2046 | | | 1,487,451 | |
| | 14,806,690 | | | Series 2006-5-2A4 (1 mo. Term SOFR + 0.59%, 0.48% Floor) | | | 5.45% | | | 06/25/2036 | | | 7,132,559 | |
| | 23,794,886 | | | Series 2006-6-1A (1 mo. Term SOFR + 0.40%, 0.29% Floor) | | | 5.26% | | | 07/25/2036 | | | 16,712,588 | |
| | 11,643,586 | | | Series 2006-WL1-M2 (1 mo. Term SOFR + 0.79%, 0.68% Floor) | | | 5.64% | | | 01/25/2046 | | | 11,408,179 | |
| | | | | Luminent Mortgage Trust | |
| | 1,275,803 | | | Series 2005-1-A1 (1 mo. Term SOFR + 0.63%, 0.52% Floor, 11.50% Cap) | | | 5.49% | | | 11/25/2035 | | | 1,214,901 | |
| | | | | Master Resecuritization Trust | |
| | 12,802,365 | | | Series 2008-1-A1 | | | 6.00%(a)(b) | | | 09/27/2037 | | | 8,756,993 | |
| | 6,120,668 | | | Series 2008-4-A1 | | | 6.00%(a)(b) | | | 06/27/2036 | | | 4,960,908 | |
| | | | | Mastr Adjustable Rate Mortgages Trust | |
| | 2,169,070 | | | Series 2005-2-2A1 | | | 4.11%(b) | | | 03/25/2035 | | | 1,887,991 | |
| | 696,018 | | | Series 2005-6-5A1 | | | 3.50%(b) | | | 07/25/2035 | | | 621,521 | |
| | 4,703,070 | | | Series 2007-1-2A1 | | | 4.60%(b) | | | 11/25/2036 | | | 2,548,757 | |
| | | | | MASTR Alternative Loans Trust | |
| | 6,629,493 | | | Series 2004-9-M2 | | | 6.26%(d) | | | 08/25/2034 | | | 5,639,476 | |
| | 1,111,612 | | | Series 2005-2-3A1 | | | 6.00% | | | 03/25/2035 | | | 864,944 | |
| | 39,066 | | | Series 2005-5-2A3 | | | 5.50% | | | 07/25/2025 | | | 37,678 | |
| | 6,613,260 | | | Series 2005-5-3A1 | | | 5.75% | | | 08/25/2035 | | | 3,189,429 | |
| | 1,400,613 | | | Series 2005-6-1A5 | | | 5.50% | | | 12/25/2035 | | | 935,566 | |
| | 1,026,916 | | | Series 2006-3-1A2 | | | 6.25% | | | 07/25/2036 | | | 531,810 | |
| | 701,381 | | | Series 2007-1-1A5 | | | 5.75% | | | 10/25/2036 | | | 678,030 | |
| | 3,703,686 | | | Series 2007-1-2A7 | | | 6.00% | | | 10/25/2036 | | | 1,128,602 | |
| | | | | Mastr Asset Backed Securities Trust | |
| | 1,825,164 | | | Series 2003-OPT1-M3 (1 mo. Term SOFR + 4.24%, 4.13% Floor) | | | 9.09% | | | 12/25/2032 | | | 1,756,296 | |
| | 5,737,991 | | | Series 2006-AM2-A3 (1 mo. Term SOFR + 0.45%, 0.34% Floor) | | | 5.31% | | | 06/25/2036 | | | 5,271,395 | |
| | 6,865,318 | | | Series 2007-HE1-A3 (1 mo. Term SOFR + 0.32%, 0.21% Floor) | | | 5.18% | | | 05/25/2037 | | | 6,631,751 | |
| | 12,919,912 | | | Series 2007-WMC1-A1 (1 mo. Term SOFR + 0.40%, 0.29% Floor) | | | 5.26% | | | 01/25/2037 | | | 3,548,269 | |
| | | | | MASTR Asset Securitization Trust | |
| | 1,299,583 | | | Series 2006-1-1A4 | | | 5.75% | | | 05/25/2036 | | | 784,029 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,035,928 | | | Series 2006-2-1A11 (1 mo. Term SOFR + 6.00%, 6.00% Floor) | | | 6.00% | | | 06/25/2036 | | | 615,395 | |
| | 2,322,136 | | | Series 2007-1-1A3 | | | 6.25% | | | 11/25/2037 | | | 912,147 | |
| | | | | Mastr Seasoned Securities Trust | |
| | 1,090,101 | | | Series 2005-2-1A4 | | | 6.00% | | | 10/25/2032 | | | 1,095,361 | |
| | 430,340 | | | Series 2005-2-2A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 7.50% Cap) | | | 5.37% | | | 10/25/2032 | | | 393,083 | |
| | | | | Merrill Lynch Alternative Note Asset | |
| | 19,352,289 | | | Series 2007-A3-A2A (1 mo. Term SOFR + 0.33%, 0.22% Floor) | | | 5.19% | | | 04/25/2037 | | | 6,899,795 | |
| | 9,924,222 | | | Series 2007-A3-A2B (1 mo. Term SOFR + 0.53%, 0.42% Floor) | | | 5.39% | | | 04/25/2037 | | | 3,535,907 | |
| | 13,755,089 | | | Series 2007-A3-A2C (1 mo. Term SOFR + 0.75%, 0.64% Floor) | | | 5.61% | | | 04/25/2037 | | | 4,904,681 | |
| | 12,748,203 | | | Series 2007-F1-2A4 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 7.00% Cap) | | | 5.29% | | | 03/25/2037 | | | 3,152,232 | |
| | 12,748,203 | | | Series 2007-F1-2A5 (-1 x 1 mo. Term SOFR + 6.57%, 0.00% Floor, 6.68% Cap) | | | 1.71%(f)(g) | | | 03/25/2037 | | | 1,974,546 | |
| | 27,657,524 | | | Series 2007-OAR5-1A1 | | | 3.76%(b) | | | 10/25/2047 | | | 7,896,652 | |
| | | | | Merrill Lynch First Franklin Mortgage Loan Trust | |
| | 2,006,369 | | | Series 2007-H1-1A2 (1 mo. Term SOFR + 3.61%, 3.50% Floor) | | | 8.47% | | | 10/25/2037 | | | 1,894,907 | |
| | | | | Merrill Lynch Mortgage Investors, Inc. | |
| | 15,780,437 | | | Series 2005-AR1-M2 (1 mo. Term SOFR + 1.12%, 1.01% Floor) | | | 5.97% | | | 06/25/2036 | | | 12,583,947 | |
| | 7,731,848 | | | Series 2006-AR1-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29%(a) | | | 03/25/2037 | | | 2,165,664 | |
| | 685,706 | | | Series 2006-F1-1A2 | | | 6.00% | | | 04/25/2036 | | | 293,238 | |
| | 21,434,272 | | | Series 2006-FM1-A1 (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 4.30% | | | 04/25/2037 | | | 12,992,189 | |
| | 10,180,918 | | | Series 2006-HE3-A4 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 06/25/2037 | | | 2,701,630 | |
| | 7,314,501 | | | Series 2006-HE4-A2B (1 mo. Term SOFR + 0.31%, 0.20% Floor) | | | 5.17% | | | 07/25/2037 | | | 1,662,660 | |
| | 73,565,700 | | | Series 2007-HE2-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 02/25/2037 | | | 34,892,403 | |
| | 8,159,332 | | | Series 2007-HE3-A1 (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 04/25/2047 | | | 3,339,654 | |
| | 6,961,151 | | | Series 2007-HE3-A3 (1 mo. Term SOFR + 0.49%, 0.38% Floor) | | | 5.35% | | | 04/25/2047 | | | 2,849,233 | |
| | 2,915,743 | | | Series 2007-HE3-A4 (1 mo. Term SOFR + 0.65%, 0.54% Floor) | | | 5.51% | | | 04/25/2047 | | | 1,193,428 | |
| | 45,857,470 | | | Series 2007-MLN1-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 03/25/2037 | | | 35,078,630 | |
| | | | | Morgan Stanley ABS Capital I, Inc. | |
| | 16,387,092 | | | Series 2006-HE7-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 09/25/2036 | | | 7,112,090 | |
| | 21,745,142 | | | Series 2006-HE7-A2D (1 mo. Term SOFR + 0.57%, 0.46% Floor) | | | 5.43% | | | 09/25/2036 | | | 9,438,081 | |
| | 13,146,813 | | | Series 2006-NC2-M1 (1 mo. Term SOFR + 0.65%, 0.54% Floor) | | | 5.51% | | | 02/25/2036 | | | 12,428,379 | |
| | 5,650,106 | | | Series 2007-HE4-A1 (1 mo. Term SOFR + 0.24%, 0.13% Floor) | | | 5.10%(a) | | | 02/25/2037 | | | 2,529,068 | |
| | | | | Morgan Stanley Home Equity Loan Trust | |
| | 24,192,793 | | | Series 2007-1-A4 (1 mo. Term SOFR + 0.33%, 0.22% Floor) | | | 5.19% | | | 12/25/2036 | | | 11,867,714 | |
| | | |
| | | |
| | | |
| | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 19
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Morgan Stanley IXIS Real Estate Capital Trust | |
| | 4,991,578 | | | Series 2006-2-AFPT (1 mo. Term SOFR + 0.18%, 0.07% Floor) | | | 5.04% | | | 11/25/2036 | | | 1,636,603 | |
| | | | | Morgan Stanley Mortgage Loan Trust | |
| | 559,571 | | | Series 2005-10-1A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.75% Cap) | | | 5.67% | | | 12/25/2035 | | | 327,797 | |
| | 1,401,987 | | | Series 2005-10-1A6 | | | 5.75% | | | 12/25/2035 | | | 934,268 | |
| | 1,653,894 | | | Series 2005-10-2A1 | | | 5.28%(b) | | | 12/25/2035 | | | 1,560,313 | |
| | 4,494,936 | | | Series 2006-11-1A6 | | | 6.73%(d) | | | 08/25/2036 | | | 819,199 | |
| | 6,622,329 | | | Series 2006-11-2A1 | | | 6.00% | | | 08/25/2036 | | | 2,875,234 | |
| | 6,470,482 | | | Series 2006-16AX-2A2 (1 mo. Term SOFR + 0.45%, 0.34% Floor) | | | 5.31% | | | 11/25/2036 | | | 1,821,375 | |
| | 5,073,159 | | | Series 2006-17XS-A3A | | | 6.15%(d) | | | 10/25/2046 | | | 1,512,688 | |
| | 1,756,000 | | | Series 2006-17XS-A6 | | | 6.08%(d) | | | 10/25/2046 | | | 437,773 | |
| | 1,659,785 | | | Series 2006-2-2A3 | | | 5.75% | | | 02/25/2036 | | | 1,548,941 | |
| | 13,139,005 | | | Series 2006-7-3A | | | 5.10%(b) | | | 06/25/2036 | | | 7,232,783 | |
| | 1,410,419 | | | Series 2006-7-4A4 | | | 6.00% | | | 06/25/2036 | | | 663,719 | |
| | 1,427,805 | | | Series 2006-7-4A7 | | | 6.00% | | | 06/25/2036 | | | 671,902 | |
| | 2,841,881 | | | Series 2007-13-6A1 | | | 6.00% | | | 10/25/2037 | | | 1,529,830 | |
| | 3,117,846 | | | Series 2007-14AR-2A3 | | | 3.55%(b) | | | 10/25/2037 | | | 1,804,444 | |
| | 2,815,220 | | | Series 2007-1XS-2A3 | | | 6.42%(d) | | | 09/25/2046 | | | 601,866 | |
| | 1,856,891 | | | Series 2007-1XS-2A4A | | | 6.58%(d) | | | 09/25/2046 | | | 483,930 | |
| | 233,045 | | | Series 2007-3XS-1A2A | | | 6.12%(d) | | | 01/25/2047 | | | 217,493 | |
| | 5,043,463 | | | Series 2007-3XS-2A3S | | | 6.36%(d) | | | 01/25/2047 | | | 1,845,666 | |
| | 2,949,950 | | | Series 2007-3XS-2A4S | | | 6.46%(d) | | | 01/25/2047 | | | 1,059,605 | |
| | | | | Morgan Stanley Reremic Trust | |
| | 3,017,118 | | | Series 2010-R5-4B | | | 5.31%(a)(d) | | | 06/26/2036 | | | 3,088,382 | |
| | 5,572,550 | | | Series 2010-R5-5B | | | 3.29%(a)(d) | | | 01/26/2037 | | | 5,375,418 | |
| | 9,282,164 | | | Series 2010-R9-3C | | | 6.00%(a)(b) | | | 11/26/2036 | | | 7,350,688 | |
| | 6,956,130 | | | Series 2012-R4-1B (1 mo. Term SOFR + 0.11%, 0.00% Floor) | | | 3.13%(a) | | | 08/26/2036 | | | 5,305,654 | |
| | 5,965,934 | | | Series 2013-R2-1B | | | 4.20%(a)(b) | | | 10/26/2036 | | | 5,341,805 | |
| | 756,048 | | | Series 2014-R7-B1 | | | 4.26%(a)(b) | | | 01/26/2051 | | | 752,071 | |
| | 5,107,316 | | | Series 2014-R7-B2 | | | 4.26%(a)(b)(h) | | | 01/26/2051 | | | 4,784,532 | |
| | | | | New Century Alternative Mortgage Loan Trust | |
| | 9,418,332 | | | Series 2006-ALT1-AF3 | | | 6.17%(b) | | | 07/25/2036 | | | 1,957,323 | |
| | 11,947,414 | | | Series 2006-ALT2-AF5 | | | 4.65%(d) | | | 10/25/2036 | | | 2,339,202 | |
| | | | | New Century Home Equity Loan Trust | |
| | 17,829,000 | | | Series 2005-4-M5 (1 mo. Term SOFR + 1.13%, 1.02% Floor, 12.50% Cap) | | | 5.99% | | | 09/25/2035 | | | 17,229,478 | |
| | 12,500,000 | | | Series 2006-1-A2C (1 mo. Term SOFR + 0.67%, 0.56% Floor, 12.50% Cap) | | | 5.53% | | | 05/25/2036 | | | 11,470,635 | |
| | | | | New York Mortgage Trust, Inc. | |
| | 190,983 | | | Series 2005-2-A (1 mo. Term SOFR + 0.77%, 0.66% Floor, 10.50% Cap) | | | 5.63% | | | 08/25/2035 | | | 174,923 | |
| | | | | Nomura Asset Acceptance Corp. | |
| | 18,327 | | | Series 2005-AP1-2A5 | | | 5.36%(d) | | | 02/25/2035 | | | 18,306 | |
| | 12,603,893 | | | Series 2006-AF1-1A2 | | | 6.16%(b) | | | 05/25/2036 | | | 2,329,290 | |
| | 2,561,336 | | | Series 2006-AF1-1A3Pool 06-AF1 | | | 6.41%(b) | | | 05/25/2036 | | | 472,840 | |
| | 13,788,005 | | | Series 2006-AP1-A2 | | | 5.52%(b) | | | 01/25/2036 | | | 3,938,824 | |
| | 2,330,463 | | | Series 2006-AP1-A3 | | | 5.65%(b) | | | 01/25/2036 | | | 665,483 | |
| | 1,100,662 | | | Series 2006-WF1-A2 | | | 5.76%(b) | | | 06/25/2036 | | | 309,432 | |
| | | | | Nomura Home Equity Loan, Inc. | |
| | 14,610,474 | | | Series 2006-AF1-A2 | | | 6.30%(d) | | | 10/25/2036 | | | 3,173,993 | |
| | 2,499,029 | | | Series 2007-1-1A1 | | | 6.56%(d) | | | 02/25/2037 | | | 688,251 | |
| | 12,455,735 | | | Series 2007-1-1A3 | | | 6.49%(d) | | | 02/25/2037 | | | 3,431,070 | |
| | | | | Nomura Resecuritization Trust | |
| | 2,753,500 | | | Series 2014-1R-6A7 | | | 6.22%(a)(b) | | | 08/26/2036 | | | 2,318,384 | |
| | 3,893,247 | | | Series 2014-2R-4A9 | | | 4.09%(a)(d) | | | 07/26/2036 | | | 3,165,982 | |
| | 7,598,925 | | | Series 2015-4R-5A2 (1 mo. Term SOFR + 0.54%, 0.43% Floor) | | | 2.71%(a)(h) | | | 03/26/2036 | | | 5,509,022 | |
| | | | | Novastar Home Equity Loan | |
| | 14,579,534 | | | Series 2005-3-M4 (1 mo. Term SOFR + 1.00%, 0.89% Floor, 11.00% Cap) | | | 5.85% | | | 01/25/2036 | | | 12,399,892 | |
| | 7,300,103 | | | Series 2006-3-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor, 11.00% Cap) | | | 5.29% | | | 10/25/2036 | | | 3,178,603 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | NRZ Excess Spread-Collateralized Notes | |
| | 31,917,536 | | | Series 2020-PLS1-A | | | 3.84%(a) | | | 12/25/2025 | | | 31,337,275 | |
| | 25,470,489 | | | Series 2021-FHT1-A | | | 3.10%(a) | | | 07/25/2026 | | | 24,579,878 | |
| | | | | Onslow Bay Mortgage Loan Trust | |
| | 9,694,000 | | | Series 2021-NQM3-M1 | | | 2.33%(a)(b) | | | 07/25/2061 | | | 5,841,658 | |
| | 4,930,535 | | | Series 2024-NQM12-A1 | | | 5.48%(a)(d) | | | 07/25/2064 | | | 5,011,716 | |
| | | | | Option One Mortgage Loan Trust | |
| | 680,106 | | | Series 2004-3-M3 (1 mo. Term SOFR + 1.09%, 0.98% Floor) | | | 5.94% | | | 11/25/2034 | | | 694,150 | |
| | 5,294,919 | | | Series 2007-1-2A3 (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 01/25/2037 | | | 3,120,687 | |
| | 49,215,195 | | | Series 2007-6-1A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.16% | | | 07/25/2037 | | | 43,464,852 | |
| | | | | PennyMac Mortgage Investment Trust | |
| | 7,645,066 | | | Series 2019-3R-A (30 day avg SOFR US + 3.81%, 2.70% Floor) | | | 9.06%(a) | | | 11/27/2031 | | | 7,675,917 | |
| | 22,984,276 | | | Series 2020-1R-A (30 day avg SOFR US + 3.46%, 2.35% Floor) | | | 8.71%(a) | | | 02/25/2025 | | | 22,997,575 | |
| | 67,663,000 | | | Series 2021-FT1-A (1 mo. Term SOFR + 3.11%, 3.12% Floor) | | | 7.97%(a) | | | 03/25/2026 | | | 68,007,472 | |
| | | | | People’s Choice Home Loan Securities Trust | |
| | 10,080,000 | | | Series 2005-1-M5 (1 mo. Term SOFR + 1.61%, 1.50% Floor, 15.00% Cap) | | | 6.47% | | | 01/25/2035 | | | 7,620,457 | |
| | | | | PHH Alternative Mortgage Trust | |
| | 2,551,847 | | | Series 2007-1-1A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 10.10% Cap) | | | 5.29% | | | 02/25/2037 | | | 1,887,915 | |
| | 5,963,687 | | | Series 2007-2-2A1 | | | 6.00% | | | 05/25/2037 | | | 5,163,341 | |
| | 2,782,754 | | | Series 2007-2-2A2 | | | 6.00% | | | 05/25/2037 | | | 2,409,299 | |
| | 165,891 | | | Series 2007-2-3A1 | | | 6.00% | | | 05/25/2037 | | | 151,768 | |
| | | | | PR Mortgage Loan Trust | |
| | 101,524,964 | | | Series 2014-1-APT | | | 5.86%(a)(b) | | | 10/25/2049 | | | 97,737,087 | |
| | | | | Pretium Mortgage Credit Partners LLC | |
| | 21,221,009 | | | Series 2021-NPL5-A1 | | | 2.49%(a)(d) | | | 10/25/2051 | | | 21,151,478 | |
| | 13,571,306 | | | Series 2021-RN2-A1 | | | 4.74%(a)(d) | | | 07/25/2051 | | | 13,425,491 | |
| | 26,978,106 | | | Series 2021-RN4-A1 | | | 2.49%(a)(b) | | | 10/25/2051 | | | 26,968,510 | |
| | | | | Prime Mortgage Trust | |
| | 4,088,442 | | | Series 2006-DR1-2A1Pool DR12A1 | | | 5.50%(a) | | | 05/25/2035 | | | 3,676,483 | |
| | 2,393,574 | | | Series 2006-DR1-2A2 | | | 6.00%(a) | | | 05/25/2035 | | | 2,019,597 | |
| | | | | Progress Residential Trust | |
| | 54,743,713 | | | Series 2021-SFR10-E1 | | | 3.57%(a) | | | 12/17/2040 | | | 51,067,585 | |
| | 22,718,376 | | | Series 2021-SFR10-E2 | | | 3.67%(a) | | | 12/17/2040 | | | 21,119,402 | |
| | 12,305,787 | | | Series 2021-SFR10-F | | | 4.61%(a) | | | 12/17/2040 | | | 11,575,240 | |
| | 29,000,000 | | | Series 2021-SFR2-E1 | | | 2.55%(a) | | | 04/19/2038 | | | 27,958,964 | |
| | 20,000,000 | | | Series 2021-SFR2-E2 | | | 2.65%(a) | | | 04/19/2038 | | | 19,255,190 | |
| | 62,271,000 | | | Series 2021-SFR2-F | | | 3.40%(a) | | | 04/19/2038 | | | 60,484,881 | |
| | 7,000,000 | | | Series 2021-SFR5-E1 | | | 2.21%(a) | | | 07/17/2038 | | | 6,643,045 | |
| | 25,000,000 | | | Series 2021-SFR8-E1 | | | 2.38%(a) | | | 10/17/2038 | | | 23,656,270 | |
| | 23,900,000 | | | Series 2021-SFR8-E2 | | | 2.53%(a) | | | 10/17/2038 | | | 22,624,359 | |
| | 19,900,000 | | | Series 2021-SFR8-F | | | 3.18%(a) | | | 10/17/2038 | | | 18,686,558 | |
| | | | | PRPM LLC | |
| | 5,953,109 | | | Series 2020-4-A2 | | | 8.19%(a)(d)(h) | | | 10/25/2025 | | | 5,959,064 | |
| | 147,368,650 | | | Series 2021-10-A1 | | | 2.49%(a)(d) | | | 10/25/2026 | | | 147,540,010 | |
| | 73,037,698 | | | Series 2021-11-A1 | | | 2.49%(a)(d) | | | 11/25/2026 | | | 72,630,878 | |
| | 35,573,688 | | | Series 2021-6-A1 | | | 4.79%(a)(d) | | | 07/25/2026 | | | 35,423,485 | |
| | 32,189,245 | | | Series 2021-7-A1 | | | 4.87%(a)(d) | | | 08/25/2026 | | | 32,108,672 | |
| | | | | Racers | |
| | 13,085,000 | | | Series 2006-2-M2 (1 mo. Term SOFR + 0.40%, 0.29% Floor) | | | 5.26% | | | 09/25/2036 | | | 10,478,477 | |
| | | | | RALI Trust | |
| | 13,908,904 | | | Series 2005-QA11-4A1 | | | 5.43%(b) | | | 10/25/2035 | | | 10,254,395 | |
| | 7,129,234 | | | Series 2005-QA13-2A1 | | | 5.38%(b) | | | 12/25/2035 | | | 6,247,682 | |
| | 5,419,632 | | | Series 2005-QA3-CB1 | | | 4.44%(b) | | | 03/25/2035 | | | 2,258,520 | |
| | 163,238 | | | Series 2005-QS12-A11 (-11 x 1 mo. Term SOFR + 49.89%, 0.00% Floor, 51.15% Cap) | | | 0.00%(g) | | | 08/25/2035 | | | 181,512 | |
| | 663,565 | | | Series 2005-QS13-1A6 | | | 5.50% | | | 09/25/2035 | | | 530,875 | |
| | | |
| | | |
20
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 1,376,140 | | | Series 2005-QS13-2A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.75% Cap) | | | 5.67% | | | 09/25/2035 | | | 1,066,422 | |
| | 5,642,173 | | | Series 2005-QS13-2A2 (-1 x 1 mo. Term SOFR + 4.94%, 0.00% Floor, 5.05% Cap) | | | 0.08%(f)(g) | | | 09/25/2035 | | | 331,847 | |
| | 4,886,746 | | | Series 2005-QS14-2A1 | | | 6.00% | | | 09/25/2035 | | | 1,669,822 | |
| | 1,154,601 | | | Series 2005-QS15-2A | | | 6.00% | | | 10/25/2035 | | | 993,062 | |
| | 1,256,018 | | | Series 2005-QS15-3A | | | 6.00% | | | 10/25/2035 | | | 1,110,851 | |
| | 1,194,176 | | | Series 2005-QS16-A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.50% Cap) | | | 5.50% | | | 11/25/2035 | | | 964,500 | |
| | 1,193,969 | | | Series 2005-QS16-A2 (-1 x 1 mo. Term SOFR + 4.69%, 0.00% Floor, 4.80% Cap) | | | 0.00%(f)(g) | | | 11/25/2035 | | | 49,233 | |
| | 647,436 | | | Series 2005-QS17-A1 | | | 6.00% | | | 12/25/2035 | | | 556,294 | |
| | 669,926 | | | Series 2005-QS17-A10 | | | 6.00% | | | 12/25/2035 | | | 575,618 | |
| | 1,876,406 | | | Series 2005-QS17-A11 | | | 6.00% | | | 12/25/2035 | | | 1,612,256 | |
| | 1,333,690 | | | Series 2005-QS17-A2 (1 mo. Term SOFR + 0.96%, 0.85% Floor, 6.00% Cap) | | | 5.82% | | | 12/25/2035 | | | 1,093,366 | |
| | 1,333,690 | | | Series 2005-QS17-A4 (-1 x 1 mo. Term SOFR + 5.04%, 0.00% Floor, 5.15% Cap) | | | 0.18%(f)(g) | | | 12/25/2035 | | | 75,956 | |
| | 1,073,128 | | | Series 2005-QS17-A6 | | | 6.00% | | | 12/25/2035 | | | 922,060 | |
| | 458,085 | | | Series 2005-QS5-A3 | | | 5.70% | | | 04/25/2035 | | | 464,377 | |
| | 543,354 | | | Series 2006-QS1-A6 (-8 x 1 mo. Term SOFR + 41.98%, 0.00% Floor, 42.86% Cap) | | | 4.76%(g) | | | 01/25/2036 | | | 593,864 | |
| | 1,748,669 | | | Series 2006-QS10-A1 | | | 6.00% | | | 08/25/2036 | | | 1,467,660 | |
| | 537,733 | | | Series 2006-QS10-A4 | | | 5.75% | | | 08/25/2036 | | | 445,274 | |
| | 3,869,651 | | | Series 2006-QS11-1A1 | | | 6.50% | | | 08/25/2036 | | | 3,158,223 | |
| | 1,023,764 | | | Series 2006-QS12-1A1 | | | 6.50% | | | 09/25/2036 | | | 460,250 | |
| | 1,607,749 | | | Series 2006-QS12-2A18 | | | 5.75% | | | 09/25/2036 | | | 1,253,418 | |
| | 2,474,918 | | | Series 2006-QS14-A18 | | | 6.25% | | | 11/25/2036 | | | 2,051,226 | |
| | 1,107,325 | | | Series 2006-QS15-A1 | | | 6.50% | | | 10/25/2036 | | | 961,871 | |
| | 469,159 | | | Series 2006-QS16-A10 | | | 6.00% | | | 11/25/2036 | | | 373,167 | |
| | 1,668,256 | | | Series 2006-QS16-A11 | | | 6.00% | | | 11/25/2036 | | | 1,327,094 | |
| | 1,329,758 | | | Series 2006-QS16-A7 | | | 6.00% | | | 11/25/2036 | | | 1,057,682 | |
| | 526,242 | | | Series 2006-QS16-A8 | | | 6.00% | | | 11/25/2036 | | | 418,570 | |
| | 208,244 | | | Series 2006-QS16-A9 | | | 6.00% | | | 11/25/2036 | | | 165,636 | |
| | 954,435 | | | Series 2006-QS17-A4 | | | 6.00% | | | 12/25/2036 | | | 792,142 | |
| | 5,302,427 | | | Series 2006-QS17-A5 | | | 6.00% | | | 12/25/2036 | | | 4,400,799 | |
| | 3,693,924 | | | Series 2006-QS3-1A11 | | | 6.00% | | | 03/25/2036 | | | 3,317,174 | |
| | 923,574 | | | Series 2006-QS4-A8 (-790 x 1 mo. Term SOFR + 5,052.56%, 0.10% Floor, 8.00% Cap) | | | 8.00%(g) | | | 04/25/2036 | | | 791,522 | |
| | 3,652,939 | | | Series 2006-QS4-A9 | | | 6.00% | | | 04/25/2036 | | | 2,971,442 | |
| | 2,171,220 | | | Series 2006-QS5-A3 | | | 6.00% | | | 05/25/2036 | | | 1,808,740 | |
| | 6,471,053 | | | Series 2006-QS5-A4 | | | 6.00% | | | 05/25/2036 | | | 5,390,725 | |
| | 1,134,311 | | | Series 2006-QS6-1A16 | | | 6.00% | | | 06/25/2036 | | | 895,635 | |
| | 1,645,638 | | | Series 2006-QS6-1A2 | | | 6.00% | | | 06/25/2036 | | | 1,299,372 | |
| | 3,151,588 | | | Series 2006-QS8-A1 | | | 6.00% | | | 08/25/2036 | | | 2,645,387 | |
| | 5,465,313 | | | Series 2006-QS8-A5 (-1 x 1 mo. Term SOFR + 5.44%, 0.00% Floor, 5.55% Cap) | | | 0.58%(f)(g) | | | 08/25/2036 | | | 484,939 | |
| | 1,993,609 | | | Series 2006-QS9-1A6 (-1 x 1 mo. Term SOFR + 5.19%, 0.00% Floor, 5.30% Cap) | | | 0.33%(f)(g) | | | 07/25/2036 | | | 135,112 | |
| | 19,023,834 | | | Series 2007-QA5-1A1 | | | 6.29%(b) | | | 09/25/2037 | | | 12,344,286 | |
| | 24,164,036 | | | Series 2007-QH5-AII (1 mo. Term SOFR + 0.57%, 0.46% Floor) | | | 5.43% | | | 06/25/2037 | | | 10,069,405 | |
| | 9,365,281 | | | Series 2007-QH7-2A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor) | | | 5.57% | | | 08/25/2037 | | | 8,498,860 | |
| | 6,926,461 | | | Series 2007-QS1-1A2 (-1 x 1 mo. Term SOFR + 5.34%, 0.00% Floor, 5.45% Cap) | | | 0.48%(f)(g) | | | 01/25/2037 | | | 505,662 | |
| | 697,222 | | | Series 2007-QS1-1A4 | | | 6.00% | | | 01/25/2037 | | | 567,049 | |
| | 1,657,313 | | | Series 2007-QS1-2A10 | | | 6.00% | | | 01/25/2037 | | | 1,296,767 | |
| | 20,289,514 | | | Series 2007-QS10-A1 | | | 6.50% | | | 09/25/2037 | | | 16,867,722 | |
| | 2,153,586 | | | Series 2007-QS11-A1 | | | 7.00% | | | 10/25/2037 | | | 1,720,166 | |
| | 2,225,189 | | | Series 2007-QS2-A6 | | | 6.25% | | | 01/25/2037 | | | 1,872,456 | |
| | 11,615,459 | | | Series 2007-QS3-A1 | | | 6.50% | | | 02/25/2037 | | | 9,747,631 | |
| | 1,852,157 | | | Series 2007-QS3-A4 | | | 6.25% | | | 02/25/2037 | | | 1,529,364 | |
| | 3,017,627 | | | Series 2007-QS4-3A3 | | | 6.00% | | | 03/25/2037 | | | 2,595,411 | |
| | 1,245,050 | | | Series 2007-QS5-A1 | | | 5.50% | | | 03/25/2037 | | | 1,017,511 | |
| | 513,634 | | | Series 2007-QS5-A5 (1 mo. Term SOFR + 0.41%, 0.30% Floor, 7.00% Cap) | | | 5.27% | | | 03/25/2037 | | | 379,480 | |
| | 1,705,896 | | | Series 2007-QS5-A8 (-1 x 1 mo. Term SOFR + 6.59%, 0.00% Floor, 6.70% Cap) | | | 1.73%(f)(g) | | | 03/25/2037 | | | 257,285 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,393,015 | | | Series 2007-QS6-A102 | | | 5.75% | | | 04/25/2037 | | | 1,135,327 | |
| | 447,895 | | | Series 2007-QS6-A13 (-8 x 1 mo. Term SOFR + 54.05%, 0.00% Floor, 55.00% Cap) | | | 13.59%(g) | | | 04/25/2037 | | | 642,458 | |
| | 1,994,689 | | | Series 2007-QS6-A45 | | | 5.75% | | | 04/25/2037 | | | 1,625,699 | |
| | 3,178,917 | | | Series 2007-QS6-A6 | | | 6.25% | | | 04/25/2037 | | | 2,676,269 | |
| | 219,558 | | | Series 2007-QS6-A77 (-8 x 1 mo. Term SOFR + 54.88%, 0.00% Floor, 55.83% Cap) | | | 14.42%(g) | | | 04/25/2037 | | | 322,459 | |
| | 5,297,290 | | | Series 2007-QS7-2A1 | | | 6.75% | | | 06/25/2037 | | | 2,233,564 | |
| | 11,951,503 | | | Series 2007-QS9-A33 | | | 6.50% | | | 07/25/2037 | | | 9,860,535 | |
| | | | | RAMP Trust | |
| | 1,381,471 | | | Series 2004-RS7-A3 | | | 6.23%(b) | | | 07/25/2034 | | | 1,261,508 | |
| | 5,472,458 | | | Series 2006-RS2-A3A (1 mo. Term SOFR + 0.41%, 0.30% Floor, 14.00% Cap) | | | 5.57% | | | 03/25/2036 | | | 5,406,468 | |
| | 11,724,539 | | | Series 2006-RS3-A4 (1 mo. Term SOFR + 0.41%, 0.30% Floor, 14.00% Cap) | | | 5.57% | | | 05/25/2036 | | | 9,979,835 | |
| | 12,235,253 | | | Series 2006-RS6-A4 (1 mo. Term SOFR + 0.65%, 0.54% Floor) | | | 5.51% | | | 11/25/2036 | | | 10,123,102 | |
| | | | | RASC Trust | |
| | 3,860,296 | | | Series 2005-KS4-M5 (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.77% | | | 05/25/2035 | | | 3,968,089 | |
| | 4,780,158 | | | Series 2007-EMX1-A13 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 14.00% Cap) | | | 5.37% | | | 01/25/2037 | | | 4,743,614 | |
| | | | | RBSGC Mortgage Pass Through Certificates | |
| | 10,884,429 | | | Series 2008-B-A1 | | | 6.00%(a) | | | 06/25/2037 | | | 9,459,641 | |
| | | | | RBSSP Resecuritization Trust | |
| | 518,668 | | | Series 2009-12-17A2 | | | 6.21%(a)(b) | | | 10/25/2035 | | | 519,821 | |
| | 12,621,533 | | | Series 2009-12-20A2 | | | 4.52%(a)(b) | | | 12/25/2035 | | | 11,098,124 | |
| | 2,896,299 | | | Series 2010-4-7A2 | | | 6.00%(a) | | | 07/26/2037 | | | 1,480,915 | |
| | | | | Regional Management Issuance Trust | |
| | 64,739,345 | | | Series 2017-RPL2-CERT | | | 0.00%(a)(b) | | | 02/25/2056 | | | 50,020,485 | |
| | | | | Renaissance Home Equity Loan Trust | |
| | 5,355,470 | | | Series 2006-1-AF6 | | | 5.75%(d) | | | 05/25/2036 | | | 2,441,580 | |
| | 8,192,822 | | | Series 2007-1-AF1 | | | 5.74%(d) | | | 04/25/2037 | | | 2,185,068 | |
| | 5,779,950 | | | Series 2007-1-AF1Z | | | 5.35%(d) | | | 04/25/2037 | | | 1,457,496 | |
| | 3,486,895 | | | Series 2007-1-AF2 | | | 5.51%(d) | | | 04/25/2037 | | | 893,357 | |
| | 5,072,268 | | | Series 2007-1-AF3 | | | 5.61%(d) | | | 04/25/2037 | | | 1,322,674 | |
| | 8,232,817 | | | Series 2007-1-AF5 | | | 5.91%(d) | | | 04/25/2037 | | | 2,258,682 | |
| | | | | Renaissance NIM Trust | |
| | 2,062,139 | | | Series 2006-2-AF5 | | | 6.25%(d) | | | 08/25/2036 | | | 849,678 | |
| | 17,385,181 | | | Series 2006-3-AF3 | | | 5.59%(d) | | | 11/25/2036 | | | 5,797,537 | |
| | 18,049,871 | | | Series 2006-3-AF4 | | | 5.81%(d) | | | 11/25/2036 | | | 6,260,657 | |
| | 2,933,947 | | | Series 2006-3-AF5 | | | 6.12%(d) | | | 11/25/2036 | | | 1,071,388 | |
| | 10,257,172 | | | Series 2006-4-AF4 | | | 5.47%(d) | | | 01/25/2037 | | | 3,374,314 | |
| | 20,198,460 | | | Series 2006-4-AF5 | | | 5.69%(d) | | | 01/25/2037 | | | 6,906,409 | |
| | 2,781,357 | | | Series 2007-1-AF4 | | | 5.76%(d) | | | 04/25/2037 | | | 744,219 | |
| | 17,696,892 | | | Series 2007-2-AF2Pool 2007-2 | | | 5.68%(d) | | | 06/25/2037 | | | 4,449,450 | |
| | 22,755,581 | | | Series 2007-2-AF5 | | | 6.20%(d) | | | 06/25/2037 | | | 6,364,229 | |
| | | | | Residential Asset Securitization Trust | |
| | 4,379,369 | | | Series 2005-A11-2A4 | | | 6.00% | | | 10/25/2035 | | | 1,930,561 | |
| | 1,134,907 | | | Series 2005-A12-A7 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.03%(f)(g) | | | 11/25/2035 | | | 108,602 | |
| | 1,409,936 | | | Series 2005-A12-A8 (1 mo. Term SOFR + 0.66%, 0.55% Floor, 5.50% Cap) | | | 5.50% | | | 11/25/2035 | | | 677,211 | |
| | 1,465,077 | | | Series 2005-A15-1A7 | | | 6.00% | | | 02/25/2036 | | | 1,418,745 | |
| | 6,927,749 | | | Series 2005-A15-5A3 | | | 5.75% | | | 02/25/2036 | | | 2,524,825 | |
| | 7,093,234 | | | Series 2005-A16-A1 | | | 5.00% | | | 02/25/2036 | | | 2,782,346 | |
| | 2,666,206 | | | Series 2005-A8CB-A11 | | | 6.00% | | | 07/25/2035 | | | 1,671,889 | |
| | 2,698,790 | | | Series 2005-A8CB-A2 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.03%(f)(g) | | | 07/25/2035 | | | 199,497 | |
| | 640,498 | | | Series 2006-A1-1A3 | | | 6.00% | | | 04/25/2036 | | | 281,147 | |
| | 10,255,320 | | | Series 2006-A1-3A2 | | | 6.00% | | | 04/25/2036 | | | 4,759,625 | |
| | 4,929,117 | | | Series 2006-A10-A5 | | | 6.50% | | | 09/25/2036 | | | 1,757,368 | |
| | 6,998,759 | | | Series 2006-A12-A1 | | | 6.25% | | | 11/25/2036 | | | 2,643,296 | |
| | 7,200,781 | | | Series 2006-A13-A1 | | | 6.25% | | | 12/25/2036 | | | 2,512,891 | |
| | 14,037,495 | | | Series 2006-A14C-2A6 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.42% | | | 12/25/2036 | | | 2,966,827 | |
| | | |
| | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 21
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 30,978,647 | | | Series 2006-A14C-2A7 (-1 x 1 mo. Term SOFR + 6.44%, 0.00% Floor, 6.55% Cap) | | | 1.58%(f)(g) | | | 12/25/2036 | | | 4,333,101 | |
| | 5,465,091 | | | Series 2006-A2-A11 | | | 6.00% | | | 01/25/2046 | | | 2,161,715 | |
| | 3,783,868 | | | Series 2006-A2-A4 | | | 6.00% | | | 01/25/2046 | | | 1,497,136 | |
| | 3,144,754 | | | Series 2006-A2-A9 | | | 6.00% | | | 01/25/2046 | | | 1,244,263 | |
| | 2,250,431 | | | Series 2006-A8-1A1 | | | 6.00% | | | 08/25/2036 | | | 1,382,264 | |
| | 4,474,653 | | | Series 2006-R1-A1 (-4 x 1 mo. Term SOFR + 27.94%, 0.00% Floor, 28.40% Cap) | | | 8.52%(g) | | | 01/25/2046 | | | 4,511,674 | |
| | 19,392,166 | | | Series 2007-A2-1A2 | | | 6.00% | | | 04/25/2037 | | | 10,301,466 | |
| | 712,541 | | | Series 2007-A3-1A2 (-8 x 1 mo. Term SOFR + 45.51%, 0.00% Floor, 46.38% Cap) | | | 8.29%(g) | | | 04/25/2037 | | | 962,973 | |
| | 22,912,882 | | | Series 2007-A5-1A4 (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap) | | | 1.13%(f)(g) | | | 05/25/2037 | | | 1,732,954 | |
| | 5,885,661 | | | Series 2007-A5-1A6 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.37% | | | 05/25/2037 | | | 755,430 | |
| | 4,008,932 | | | Series 2007-A5-2A3 | | | 6.00% | | | 05/25/2037 | | | 2,146,674 | |
| | 1,756,910 | | | Series 2007-A5-2A5 | | | 6.00% | | | 05/25/2037 | | | 940,778 | |
| | 7,408,881 | | | Series 2007-A6-1A2 | | | 6.00% | | | 06/25/2037 | | | 3,927,303 | |
| | 7,756,748 | | | Series 2007-A7-A1 | | | 6.00% | | | 07/25/2037 | | | 2,950,661 | |
| | 34,119,161 | | | Series 2007-A7-A2 | | | 6.00% | | | 07/25/2037 | | | 12,978,902 | |
| | 15,117,480 | | | Series 2007-A7-A6 | | | 6.00% | | | 07/25/2037 | | | 5,750,677 | |
| | | | | RESIDENTIAL MORTGAGE LOAN TRUST | |
| | 6,300,000 | | | Series 2020-2-M1 | | | 3.57%(a)(b) | | | 05/25/2060 | | | 5,809,156 | |
| | | | | RFMSI Trust | |
| | 3,429,925 | | | Series 2006-S10-1A1 | | | 6.00% | | | 10/25/2036 | | | 2,709,701 | |
| | 1,033,672 | | | Series 2006-S5-A12 | | | 6.00% | | | 06/25/2036 | | | 882,050 | |
| | 70,770 | | | Series 2006-S5-A15 | | | 6.00% | | | 06/25/2036 | | | 60,389 | |
| | 2,164,896 | | | Series 2006-S9-A1 | | | 6.25% | | | 09/25/2036 | | | 1,809,581 | |
| | 2,319,896 | | | Series 2007-S1-A7 | | | 6.00% | | | 01/25/2037 | | | 1,771,396 | |
| | 1,315,441 | | | Series 2007-S2-A1 | | | 6.00% | | | 02/25/2037 | | | 989,970 | |
| | 1,481,989 | | | Series 2007-S2-A4 | | | 6.00% | | | 02/25/2037 | | | 1,115,311 | |
| | 2,766,705 | | | Series 2007-S2-A5 | | | 6.00% | | | 02/25/2037 | | | 2,082,158 | |
| | 1,401,175 | | | Series 2007-S3-1A4 | | | 6.00% | | | 03/25/2037 | | | 1,030,711 | |
| | 1,335,283 | | | Series 2007-S4-A1 | | | 6.00% | | | 04/25/2037 | | | 1,049,303 | |
| | 747,798 | | | Series 2007-S4-A2 | | | 6.00% | | | 04/25/2037 | | | 587,639 | |
| | 9,758,745 | | | Series 2007-S5-A1 | | | 6.00% | | | 05/25/2037 | | | 8,155,282 | |
| | 2,828,123 | | | Series 2007-S5-A8 | | | 6.00% | | | 05/25/2037 | | | 2,364,006 | |
| | 1,142,417 | | | Series 2007-S6-2A4 | | | 6.00% | | | 06/25/2037 | | | 895,317 | |
| | 7,664,495 | | | Series 2007-S7-A20 | | | 6.00% | | | 07/25/2037 | | | 6,200,062 | |
| | 3,870,761 | | | Series 2007-S8-1A1 | | | 6.00% | | | 09/25/2037 | | | 2,650,136 | |
| | 184,575 | | | Series 2007-SA1-4A | | | 4.55%(b) | | | 02/25/2037 | | | 164,602 | |
| | 2,555,489 | | | Series 2007-SA2-2A1 | | | 5.44%(b) | | | 04/25/2037 | | | 2,197,636 | |
| | | | | Rithm Capital Corp. | |
| | 62,504,400 | | | Series 2020-RPL1-M1 | | | 3.25%(a)(b) | | | 11/25/2059 | | | 56,021,475 | |
| | 16,345,550 | | | Series 2020-RPL1-M2 | | | 3.50%(a)(b) | | | 11/25/2059 | | | 14,481,507 | |
| | | | | Securitized Asset Backed Receivables LLC | |
| | 3,433,228 | | | Series 2006-NC3-A2B (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 09/25/2036 | | | 1,201,952 | |
| | 5,139,728 | | | Series 2007-BR3-A2A (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 04/25/2037 | | | 3,424,964 | |
| | 5,023,282 | | | Series 2007-BR3-A2B (1 mo. Term SOFR + 0.55%, 0.44% Floor) | | | 5.41% | | | 04/25/2037 | | | 3,347,118 | |
| | 14,024,860 | | | Series 2007-BR4-A2B (1 mo. Term SOFR + 0.51%, 0.40% Floor) | | | 5.37% | | | 05/25/2037 | | | 8,633,537 | |
| | | | | Securitized Mortgage Asset Loan Trust | |
| | 175,903,008 | | | Series 2015-1-PC | | | 2.84%(a)(b) | | | 02/25/2054 | | | 151,253,086 | |
| | | | | Sequoia Mortgage Trust | |
| | 39,360 | | | Series 2003-4-2A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 11.50% Cap) | | | 5.78% | | | 07/20/2033 | | | 38,897 | |
| | | | | SG Mortgage Securities Trust | |
| | 2,700,838 | | | Series 2006-FRE1-A1A (1 mo. Term SOFR + 0.45%, 0.34% Floor) | | | 5.31% | | | 02/25/2036 | | | 2,630,646 | |
| | 2,409,333 | | | Series 2006-FRE1-A2C (1 mo. Term SOFR + 0.65%, 0.54% Floor) | | | 5.51% | | | 02/25/2036 | | | 1,221,854 | |
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| | | | | Soundview Home Equity Loan Trust | |
| | 11,270,699 | | | Series 2007-NS1-M1 (1 mo. Term SOFR + 0.46%, 0.35% Floor) | | | 5.32% | | | 01/25/2037 | | | 10,781,137 | |
| | 3,132,759 | | | Series 2007-OPT1-2A2 (1 mo. Term SOFR + 0.26%, 0.15% Floor) | | | 5.12% | | | 06/25/2037 | | | 2,115,929 | |
| | 5,487,666 | | | Series 2007-OPT3-1A1 (1 mo. Term SOFR + 0.28%, 0.17% Floor) | | | 5.14% | | | 08/25/2037 | | | 4,745,640 | |
| | 17,678,507 | | | Series 2007-OPT4-1A1 (1 mo. Term SOFR + 1.11%, 1.00% Floor) | | | 5.97% | | | 09/25/2037 | | | 12,574,510 | |
| | 41,580,029 | | | Series 2007-WM1W-2A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor) | | | 4.15% | | | 02/25/2037 | | | 33,812,846 | |
| | | | | Specialty Underwriting & Residential Finance | |
| | 3,695,025 | | | Series 2006-BC2-A2B | | | 3.98%(d) | | | 02/25/2037 | | | 1,287,496 | |
| | 12,600,797 | | | Series 2007-AB1-A2C (1 mo. Term SOFR + 0.36%, 0.25% Floor) | | | 5.47% | | | 03/25/2037 | | | 6,989,522 | |
| | | | | Spruce Hill Mortgage Loan Trust | |
| | 8,131,910 | | | Series 2020-SH1-M1 | | | 3.22%(a)(b) | | | 01/28/2050 | | | 8,035,028 | |
| | | | | Starwood Mortgage Residential Trust | |
| | 6,329,000 | | | Series 2021-1-B2 | | | 4.52%(a)(b) | | | 05/25/2065 | | | 4,894,490 | |
| | 5,000,000 | | | Series 2021-2-B1 | | | 2.75%(a)(b) | | | 05/25/2065 | | | 4,018,357 | |
| | 7,110,000 | | | Series 2021-2-B2 | | | 3.00%(a)(b) | | | 05/25/2065 | | | 5,014,384 | |
| | 9,103,000 | | | Series 2021-5-M1 | | | 3.25%(a)(b) | | | 09/25/2066 | | | 6,765,465 | |
| | | | | Structured Adjustable Rate Mortgage Loan Trust | |
| | 1,071,291 | | | Series 2005-22-4A1 | | | 5.33%(b) | | | 12/25/2035 | | | 993,947 | |
| | 7,323,154 | | | Series 2006-1-8A1 | | | 5.23%(b) | | | 02/25/2036 | | | 3,897,418 | |
| | 2,147,957 | | | Series 2006-12-2A1 | | | 4.54%(b) | | | 01/25/2037 | | | 1,580,757 | |
| | 852,355 | | | Series 2006-8-4A4 | | | 5.19%(b) | | | 09/25/2036 | | | 757,753 | |
| | 6,156,457 | | | Series 2007-7-1A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor) | | | 5.57% | | | 08/25/2037 | | | 5,488,239 | |
| | | | | Structured Asset Investment Loan Trust | |
| | 65,511,016 | | | Series 2006-3-A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 06/25/2036 | | | 41,187,725 | |
| | 7,663,161 | | | Series 2006-4-A1 (1 mo. Term SOFR + 0.29%, 0.17% Floor) | | | 5.14% | | | 07/25/2036 | | | 4,505,727 | |
| | 20,800,000 | | | Series 2006-4-A5 (1 mo. Term SOFR + 0.42%, 0.31% Floor) | | | 5.28% | | | 07/25/2036 | | | 7,365,292 | |
| | | | | Structured Asset Mortgage Investments, Inc. | |
| | 7,893,248 | | | Series 2006-AR3-12A2 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 10.50% Cap) | | | 5.37% | | | 05/25/2036 | | | 6,342,213 | |
| | | | | Structured Asset Securities Corp. | |
| | 499,015 | | | Series 2003-24A-1A3 | | | 6.41%(b) | | | 07/25/2033 | | | 487,223 | |
| | 8,407,411 | | | Series 2005-5-3A1 | | | 6.00% | | | 04/25/2035 | | | 4,495,182 | |
| | 62,553,690 | | | Series 2006-BC4-A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 12/25/2036 | | | 36,892,846 | |
| | 8,279,167 | | | Series 2006-BC4-A4 (1 mo. Term SOFR + 0.45%, 0.34% Floor) | | | 5.31% | | | 12/25/2036 | | | 8,050,090 | |
| | 42,631,291 | | | Series 2007-4-1A3 (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap) | | | 1.28%(a)(f)(g) | | | 03/28/2045 | | | 2,992,401 | |
| | 20,127,500 | | | Series 2007-BC4-M1 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 11/25/2037 | | | 15,917,527 | |
| | 12,115,375 | | | Series 2007-MN1A-A4 (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21%(a) | | | 01/25/2037 | | | 7,622,713 | |
| | 13,871,826 | | | Series 2007-RF1-1A (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.16%(a) | | | 03/25/2037 | | | 11,194,034 | |
| | | | | Suntrust Adjustable Rate Mortgage Loan Trust | |
| | 3,361,867 | | | Series 2007-2-1A1 | | | 6.05%(b) | | | 04/25/2037 | | | 1,283,557 | |
| | 993,610 | | | Series 2007-3-1A1 | | | 6.76%(b) | | | 06/25/2037 | | | 506,080 | |
| | | | | Suntrust Alternative Loan Trust | |
| | 182,497 | | | Series 2005-1F-2A3 | | | 5.75% | | | 12/25/2035 | | | 168,824 | |
| | 454,772 | | | Series 2006-1F-1A3 | | | 6.00% | | | 04/25/2036 | | | 169,723 | |
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22
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
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| | | | | Terwin Mortgage Trust | |
| | 10,544,714 | | | Series 2006-7-2A3 (1 mo. Term SOFR + 0.65%, 0.54% Floor) | | | 5.51%(a) | | | 08/25/2037 | | | 4,637,044 | |
| | | | | Thornburg Mortgage Securities Trust | |
| | 96,743 | | | Series 2003-6-A2 (1 mo. Term SOFR + 1.11%, 1.00% Floor, 11.50% Cap) | | | 5.97% | | | 12/25/2033 | | | 92,501 | |
| | 2,361,988 | | | Series 2004-4-5A | | | 3.05%(b) | | | 12/25/2044 | | | 2,110,482 | |
| | 4,059,878 | | | Series 2007-1-A1 (12 mo. Term SOFR + 2.02%, 0.11% Floor, 10.75% Cap) | | | 5.84% | | | 03/25/2037 | | | 3,507,278 | |
| | 1,218,129 | | | Series 2007-1-A2A (12 mo. Term SOFR + 2.02%, 0.11% Floor, 10.75% Cap) | | | 5.84% | | | 03/25/2037 | | | 922,557 | |
| | | | | Tricon American Homes Trust | |
| | 5,000,000 | | | Series 2019-SFR1-E | | | 3.40%(a) | | | 03/17/2038 | | | 4,862,249 | |
| | 8,900,000 | | | Series 2020-SFR1-D | | | 2.55%(a) | | | 07/17/2038 | | | 8,546,428 | |
| | 1,600,000 | | | Series 2020-SFR1-E | | | 3.54%(a) | | | 07/17/2038 | | | 1,560,522 | |
| | | | | Tricon Residential Trust | |
| | 16,000,000 | | | Series 2021-SFR1-B | | | 2.24%(a) | | | 07/17/2038 | | | 15,270,106 | |
| | 13,250,000 | | | Series 2021-SFR1-C | | | 2.34%(a) | | | 07/17/2038 | | | 12,635,908 | |
| | 5,250,000 | | | Series 2021-SFR1-D | | | 2.59%(a) | | | 07/17/2038 | | | 5,011,826 | |
| | 10,000,000 | | | Series 2021-SFR1-E2 | | | 2.89%(a) | | | 07/17/2038 | | | 9,453,666 | |
| | 11,300,000 | | | Series 2021-SFR1-F | | | 3.69%(a) | | | 07/17/2038 | | | 10,667,092 | |
| | | | | VCAT Asset Securitization LLC | |
| | 173,913 | | | Series 2021-NPL3-A1 | | | 4.74%(a)(d) | | | 05/25/2051 | | | 172,240 | |
| | 3,208,202 | | | Series 2021-NPL4-A1 | | | 4.87%(a)(d) | | | 08/25/2051 | | | 3,174,793 | |
| | 13,829,111 | | | Series 2021-NPL5-A1 | | | 4.87%(a)(d) | | | 08/25/2051 | | | 13,677,648 | |
| | 11,305,873 | | | Series 2021-NPL6-A1 | | | 4.92%(a)(d) | | | 09/25/2051 | | | 11,202,432 | |
| | | | | Velocity Commercial Capital Loan Trust | |
| | 4,244,597 | | | Series 2017-2-AFX | | | 3.07%(a)(b) | | | 11/25/2047 | | | 4,125,151 | |
| | 7,239,735 | | | Series 2018-2-A | | | 4.05%(a)(b) | | | 10/26/2048 | | | 7,040,965 | |
| | 19,210,859 | | | Series 2019-1-A | | | 3.76%(a)(b) | | | 03/25/2049 | | | 18,362,845 | |
| | 2,261,053 | | | Series 2019-1-M4 | | | 4.61%(a)(b) | | | 03/25/2049 | | | 1,952,438 | |
| | 6,315,950 | | | Series 2019-2-A | | | 3.13%(a)(b) | | | 07/25/2049 | | | 5,988,133 | |
| | 2,389,270 | | | Series 2019-2-M1 | | | 3.26%(a)(b) | | | 07/25/2049 | | | 2,154,050 | |
| | 1,878,090 | | | Series 2020-1-M4 | | | 3.54%(a)(b) | | | 02/25/2050 | | | 1,572,137 | |
| | | | | Vericrest Opportunity Loan Transferee | |
| | 10,839,657 | | | Series 2021-CF1-A1 | | | 4.99%(a)(d) | | | 08/25/2051 | | | 10,770,555 | |
| | 10,265,022 | | | Series 2021-CF2-A1 | | | 2.49%(a)(d) | | | 11/27/2051 | | | 10,190,677 | |
| | 7,196,556 | | | Series 2021-NPL1-A1 | | | 4.89%(a)(d) | | | 02/27/2051 | | | 7,162,337 | |
| | 2,945,644 | | | Series 2021-NPL2-A1 | | | 4.89%(a)(d) | | | 02/27/2051 | | | 2,932,453 | |
| | 27,454,859 | | | Series 2021-NPL3-A1 | | | 5.24%(a)(d) | | | 02/27/2051 | | | 27,494,858 | |
| | 3,426,213 | | | Series 2021-NPL5-A1 | | | 5.12%(a)(d) | | | 03/27/2051 | | | 3,414,814 | |
| | 13,110,337 | | | Series 2021-NPL6-A1 | | | 5.24%(a)(d) | | | 04/25/2051 | | | 13,122,762 | |
| | 1,176,521 | | | Series 2021-NPL9-A1 | | | 4.99%(a)(d) | | | 05/25/2051 | | | 1,166,377 | |
| | | | | Verus Securitization Trust | |
| | 6,100,000 | | | Series 2021-3-M1 | | | 2.40%(a)(b) | | | 06/25/2066 | | | 4,647,701 | |
| | 4,588,000 | | | Series 2021-4-B1 | | | 3.05%(a)(b) | | | 07/25/2066 | | | 3,400,093 | |
| | 2,300,000 | | | Series 2021-4-B2 | | | 3.81%(a)(b) | | | 07/25/2066 | | | 1,711,355 | |
| | 2,500,000 | | | Series 2021-4-M1 | | | 2.20%(a)(b) | | | 07/25/2066 | | | 1,832,533 | |
| | 6,651,000 | | | Series 2021-5-B1 | | | 3.04%(a)(b) | | | 09/25/2066 | | | 4,820,571 | |
| | 9,255,000 | | | Series 2021-5-M1 | | | 2.33%(a)(b) | | | 09/25/2066 | | | 6,797,065 | |
| | | | | Voyager OPTONE Delaware Trust | |
| | 5,813,922 | | | Series 2009-1-SAC3 | | | 20.14%(a)(b) | | | 02/25/2038 | | | 4,410,050 | |
| | | | | WAMU Asset-Backed Certificates | |
| | 7,334,492 | | | Series 2007-HE1-2A2 (1 mo. Term SOFR + 0.33%, 0.33% Floor) | | | 5.19% | | | 01/25/2037 | | | 3,428,111 | |
| | 13,287,415 | | | Series 2007-HE4-1A (1 mo. Term SOFR + 0.28%, 0.28% Floor) | | | 5.14% | | | 07/25/2047 | | | 9,802,576 | |
| | | | | WaMu Mortgage Pass Through Certificates | |
| | 4,624,302 | | | Series 2005-AR19-B1 (1 mo. Term SOFR + 1.16%, 1.05% Floor, 10.50% Cap) | | | 6.02% | | | 12/25/2045 | | | 3,972,699 | |
| | 5,040,756 | | | Series 2006-AR10-1A1 | | | 4.92%(b) | | | 09/25/2036 | | | 4,276,987 | |
| | 5,014,473 | | | Series 2006-AR15-1A (12 Month US Treasury Average + 0.84%, 0.84% Floor) | | | 5.96% | | | 11/25/2046 | | | 4,202,564 | |
| | 3,225,226 | | | Series 2006-AR5-A12B (12 Month US Treasury Average + 0.98%, 0.98% Floor) | | | 6.10% | | | 06/25/2046 | | | 2,929,850 | |
| | 425,770 | | | Series 2006-AR6-2A3 | | | 5.37%(b) | | | 08/25/2036 | | | 376,738 | |
| | 4,353,662 | | | Series 2007-HY3-4A1 | | | 5.19%(b) | | | 03/25/2037 | | | 4,015,593 | |
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| | 6,908,059 | | | Series 2007-HY5-1A1 | | | 4.28%(b) | | | 05/25/2037 | | | 5,983,304 | |
| | | | | Washington Mutual Alternative Mortgage Pass-Through Certificates | |
| | 3,449,707 | | | Series 2005-1-2A | | | 6.00% | | | 03/25/2035 | | | 2,961,947 | |
| | 857,317 | | | Series 2005-4-5A1 | | | 5.50% | | | 06/25/2035 | | | 732,846 | |
| | 346,530 | | | Series 2005-5-CB12 (-11 x 1 mo. Term SOFR + 49.34%, 0.00% Floor, 50.60% Cap) | | | 0.00%(g) | | | 07/25/2035 | | | 399,504 | |
| | 1,122,150 | | | Series 2005-5-CB6 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 7.50% Cap) | | | 5.57% | | | 07/25/2035 | | | 960,893 | |
| | 277,892 | | | Series 2005-6-2A7 | | | 5.50% | | | 08/25/2035 | | | 243,229 | |
| | 3,220,054 | | | Series 2005-7-2CB6 (1 mo. Term SOFR + 1.56%, 1.45% Floor, 6.00% Cap) | | | 6.00% | | | 08/25/2035 | | | 3,058,137 | |
| | 292,732 | | | Series 2005-7-2CB7 (-11 x 1 mo. Term SOFR + 48.79%, 0.00% Floor, 50.05% Cap) | | | 0.00%(g) | | | 08/25/2035 | | | 314,377 | |
| | 2,112,642 | | | Series 2005-7-3CB | | | 6.50% | | | 08/25/2035 | | | 1,782,606 | |
| | 4,516,237 | | | Series 2005-8-1A2 | | | 5.50% | | | 10/25/2035 | | | 4,151,857 | |
| | 4,617,918 | | | Series 2005-9-2A2 | | | 5.50% | | | 11/25/2035 | | | 4,149,242 | |
| | 1,000,762 | | | Series 2005-9-CX | | | 5.50%(f) | | | 11/25/2035 | | | 172,637 | |
| | 4,089,590 | | | Series 2006-1-2CB1 | | | 7.00% | | | 02/25/2036 | | | 3,011,524 | |
| | 1,443,514 | | | Series 2006-1-3A1 | | | 5.75% | | | 02/25/2036 | | | 1,351,265 | |
| | 729,529 | | | Series 2006-1-3A2 | | | 5.75% | | | 02/25/2036 | | | 680,219 | |
| | 620,037 | | | Series 2006-1-3A7 | | | 5.75% | | | 02/25/2036 | | | 578,430 | |
| | 1,869,361 | | | Series 2006-3-3CB4 | | | 6.00% | | | 04/25/2036 | | | 1,610,890 | |
| | 1,031,516 | | | Series 2006-5-1A8 | | | 5.75% | | | 07/25/2036 | | | 795,320 | |
| | 2,369,747 | | | Series 2006-5-2CB1 | | | 6.00% | | | 07/25/2036 | | | 1,721,027 | |
| | 4,304,459 | | | Series 2006-5-2CB6 | | | 6.00% | | | 07/25/2036 | | | 3,126,110 | |
| | 12,809,641 | | | Series 2006-5-3A3 | | | 6.72%(d) | | | 07/25/2036 | | | 3,012,558 | |
| | 5,338,089 | | | Series 2006-5-3A5 | | | 6.95%(d) | | | 07/25/2036 | | | 1,254,426 | |
| | 7,487,242 | | | Series 2006-8-A4 | | | 4.13%(d) | | | 10/25/2036 | | | 2,607,222 | |
| | 2,820,002 | | | Series 2006-9-A7 | | | 4.21%(d) | | | 10/25/2036 | | | 892,901 | |
| | 3,567,536 | | | Series 2006-AR10-A1 (1 mo. Term SOFR + 0.31%, 0.20% Floor) | | | 5.17% | | | 12/25/2036 | | | 1,749,286 | |
| | 4,782,094 | | | Series 2006-AR4-2A (12 Month US Treasury Average + 0.95%, 0.95% Floor) | | | 6.07% | | | 06/25/2046 | | | 3,430,123 | |
| | 4,454,535 | | | Series 2006-AR5-4A (12 Month US Treasury Average + 0.99%, 0.99% Floor) | | | 6.11% | | | 06/25/2046 | | | 3,574,581 | |
| | 6,698,715 | | | Series 2007-2-1A6 | | | 6.00% | | | 04/25/2037 | | | 5,509,234 | |
| | 2,779,869 | | | Series 2007-3-A3 | | | 6.00% | | | 04/25/2037 | | | 2,459,593 | |
| | 2,133,317 | | | Series 2007-4-1A1 | | | 5.50% | | | 06/25/2037 | | | 2,059,934 | |
| | 152,042 | | | Series 2007-5-A11 (-6 x 1 mo. Term SOFR + 38.79%, 0.00% Floor, 39.48% Cap) | | | 9.66%(g) | | | 06/25/2037 | | | 185,396 | |
| | 3,801,050 | | | Series 2007-5-A6 | | | 6.00% | | | 06/25/2037 | | | 3,471,905 | |
| | 5,189,080 | | | Series 2007-OC1-A2 (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21% | | | 01/25/2047 | | | 4,577,376 | |
| | | | | Washington Mutual Asset-Backed Certificates | |
| | 1,055,931 | | | Series 2006-HE2-A4 (1 mo. Term SOFR + 0.59%, 0.48% Floor) | | | 5.45% | | | 05/25/2036 | | | 832,457 | |
| | 18,989,378 | | | Series 2007-HE2-2A2 (1 mo. Term SOFR + 0.33%, 0.22% Floor) | | | 5.41% | | | 02/25/2037 | | | 6,078,257 | |
| | | | | Wells Fargo Alternative Loan Trust | |
| | 444,144 | | | Series 2007-PA1-A10 | | | 6.00% | | | 03/25/2037 | | | 405,353 | |
| | 1,950,139 | | | Series 2007-PA1-A3 | | | 6.00% | | | 03/25/2037 | | | 1,779,817 | |
| | 1,681,446 | | | Series 2007-PA1-A5 | | | 6.00% | | | 03/25/2037 | | | 1,534,592 | |
| | 2,755,806 | | | Series 2007-PA1-A6 | | | 6.00% | | | 03/25/2037 | | | 2,515,119 | |
| | 11,078,572 | | | Series 2007-PA2-1A1 | | | 6.00% | | | 06/25/2037 | | | 9,985,863 | |
| | 1,683,002 | | | Series 2007-PA2-3A1 (1 mo. Term SOFR + 0.46%, 0.35% Floor, 7.00% Cap) | | | 5.32% | | | 06/25/2037 | | | 1,132,069 | |
| | 2,479,323 | | | Series 2007-PA2-3A2 (-1 x 1 mo. Term SOFR + 6.54%, 0.00% Floor, 6.65% Cap) | | | 1.68%(f)(g) | | | 06/25/2037 | | | 226,548 | |
| | 226,464 | | | Series 2007-PA3-1A4 | | | 5.75% | | | 07/25/2037 | | | 195,125 | |
| | 3,828,461 | | | Series 2007-PA3-2A1 | | | 6.00% | | | 07/25/2037 | | | 3,432,560 | |
| | 1,521,072 | | | Series 2007-PA3-2A4 | | | 6.00% | | | 07/25/2037 | | | 1,363,778 | |
| | 2,548,966 | | | Series 2007-PA3-3A1 | | | 6.25% | | | 07/25/2037 | | | 2,244,853 | |
| | 20,700,477 | | | Series 2007-PA5-1A1 | | | 6.25% | | | 11/25/2037 | | | 18,354,830 | |
| | 3,670,021 | | | Series 2007-PA6-A1 | | | 6.40%(b) | | | 12/28/2037 | | | 3,358,973 | |
| | | | | Wells Fargo Mortgage Backed Securities Trust | |
| | 1,286,484 | | | Series 2006-AR12-1A1 | | | 7.61%(b) | | | 09/25/2036 | | | 1,173,598 | |
| | 576,019 | | | Series 2006-AR13-A2 | | | 7.45%(b) | | | 09/25/2036 | | | 560,375 | |
| | 686,432 | | | Series 2006-AR4-2A1 | | | 6.17%(b) | | | 04/25/2036 | | | 671,099 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 23
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 1,013,906 | | | Series 2007-7-A1 | | | 6.00% | | | 06/25/2037 | | | 928,344 | |
| | 70,515 | | | Series 2007-7-A32 | | | 5.75% | | | 06/25/2037 | | | 63,913 | |
| | 2,283,243 | | | Series 2007-7-A34 | | | 6.00% | | | 06/25/2037 | | | 2,090,563 | |
| | 618,413 | | | Series 2007-7-A36 | | | 6.00% | | | 06/25/2037 | | | 566,207 | |
| | 210,313 | | | Series 2007-7-A43 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap) | | | 5.47% | | | 06/25/2037 | | | 180,181 | |
| | 574,570 | | | Series 2007-7-A49 | | | 6.00% | | | 06/25/2037 | | | 526,082 | |
| | 243,242 | | | Series 2007-7-A8 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap) | | | 5.47% | | | 06/25/2037 | | | 208,393 | |
| | 109,731 | | | Series 2007-7-A9 (-6 x 1 mo. Term SOFR + 38.31%, 0.00% Floor, 39.00% Cap) | | | 9.18%(g) | | | 06/25/2037 | | | 126,489 | |
| | 10,248,139 | | | Series 2007-AR9-A1 | | | 6.15%(b) | | | 12/28/2037 | | | 9,276,664 | |
| | | | | Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $9,253,286,088) | | | | | | 7,422,891,126 | |
| | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 50.3% | |
| | | | | Fannie Mae Whole Loan | |
| | 4,489,055 | | | Series 2003-W17-1A7 | | | 5.75% | | | 08/25/2033 | | | 4,574,198 | |
| | 1,334,423 | | | Series 2004-W10-A6 | | | 5.75% | | | 08/25/2034 | | | 1,382,434 | |
| | | | | Federal Home Loan Mortgage Corp. | |
| | 1,763,938 | | | Pool C03490 | | | 4.50% | | | 08/01/2040 | | | 1,786,755 | |
| | 11,198,523 | | | Pool C91388 | | | 3.50% | | | 02/01/2032 | | | 11,016,971 | |
| | 5,838,927 | | | Pool C91403 | | | 3.50% | | | 03/01/2032 | | | 5,744,459 | |
| | 5,838,384 | | | Pool C91413 | | | 3.50% | | | 12/01/2031 | | | 5,742,618 | |
| | 3,014,953 | | | Pool C91417 | | | 3.50% | | | 01/01/2032 | | | 2,965,496 | |
| | 12,116,658 | | | Pool C91447 | | | 3.50% | | | 05/01/2032 | | | 11,921,704 | |
| | 4,776,092 | | | Pool C91596 | | | 3.00% | | | 02/01/2033 | | | 4,615,490 | |
| | 2,219,848 | | | Pool D98901 | | | 3.50% | | | 01/01/2032 | | | 2,183,819 | |
| | 4,801,551 | | | Pool D98923 | | | 3.50% | | | 01/01/2032 | | | 4,723,458 | |
| | 6,037,941 | | | Pool D99724 | | | 3.00% | | | 11/01/2032 | | | 5,834,857 | |
| | 5,582,647 | | | Pool G01840 | | | 5.00% | | | 07/01/2035 | | | 5,732,977 | |
| | 1,184,061 | | | Pool G04817 | | | 5.00% | | | 09/01/2038 | | | 1,221,565 | |
| | 4,741,235 | | | Pool G07801 | | | 4.00% | | | 10/01/2044 | | | 4,650,407 | |
| | 10,210,083 | | | Pool G07862 | | | 4.00% | | | 01/01/2044 | | | 10,053,628 | |
| | 11,399,352 | | | Pool G07905 | | | 4.00% | | | 01/01/2042 | | | 11,288,136 | |
| | 22,721,466 | | | Pool G08534 | | | 3.00% | | | 06/01/2043 | | | 21,105,230 | |
| | 7,333,451 | | | Pool G08537 | | | 3.00% | | | 07/01/2043 | | | 6,811,798 | |
| | 13,296,485 | | | Pool G08614 | | | 3.00% | | | 11/01/2044 | | | 12,317,290 | |
| | 15,807,590 | | | Pool G08619 | | | 3.00% | | | 12/01/2044 | | | 14,633,613 | |
| | 20,203,204 | | | Pool G08622 | | | 3.00% | | | 01/01/2045 | | | 18,628,614 | |
| | 16,696,774 | | | Pool G08653 | | | 3.00% | | | 07/01/2045 | | | 15,432,427 | |
| | 9,702,002 | | | Pool G08658 | | | 3.00% | | | 08/01/2045 | | | 8,967,316 | |
| | 10,963,830 | | | Pool G08670 | | | 3.00% | | | 10/01/2045 | | | 10,124,486 | |
| | 128,839,050 | | | Pool G08675 | | | 3.00% | | | 11/01/2045 | | | 119,029,127 | |
| | 53,490,487 | | | Pool G08680 | | | 3.00% | | | 12/01/2045 | | | 49,351,244 | |
| | 22,293,903 | | | Pool G08686 | | | 3.00% | | | 01/01/2046 | | | 20,570,816 | |
| | 49,939,030 | | | Pool G08692 | | | 3.00% | | | 02/01/2046 | | | 46,079,183 | |
| | 15,797,037 | | | Pool G08705 | | | 3.00% | | | 05/01/2046 | | | 14,543,433 | |
| | 18,305,682 | | | Pool G08715 | | | 3.00% | | | 08/01/2046 | | | 16,772,312 | |
| | 960,511 | | | Pool G08800 | | | 3.50% | | | 02/01/2048 | | | 907,772 | |
| | 8,612,222 | | | Pool G16072 | | | 3.00% | | | 02/01/2032 | | | 8,387,522 | |
| | 22,150,011 | | | Pool G60251 | | | 3.50% | | | 10/01/2045 | | | 20,961,312 | |
| | 56,261,249 | | | Pool G60393 | | | 3.50% | | | 01/01/2046 | | | 53,625,478 | |
| | 5,697,361 | | | Pool J22834 | | | 2.50% | | | 03/01/2028 | | | 5,561,892 | |
| | 20,032,963 | | | Pool Q13637 | | | 3.00% | | | 11/01/2042 | | | 18,612,413 | |
| | 19,979,063 | | | Pool Q13638 | | | 3.00% | | | 11/01/2042 | | | 18,558,177 | |
| | 33,957,207 | | | Pool Q16672 | | | 3.00% | | | 03/01/2043 | | | 31,541,887 | |
| | 2,304,236 | | | Pool Q23595 | | | 4.00% | | | 12/01/2043 | | | 2,275,764 | |
| | 2,617,278 | | | Pool Q24052 | | | 4.00% | | | 01/01/2044 | | | 2,584,939 | |
| | 2,084,118 | | | Pool Q24172 | | | 4.00% | | | 01/01/2044 | | | 2,058,364 | |
| | 2,332,324 | | | Pool Q24979 | | | 4.00% | | | 02/01/2044 | | | 2,300,485 | |
| | 8,798,098 | | | Pool Q31596 | | | 3.50% | | | 02/01/2045 | | | 8,344,104 | |
| | 3,857,238 | | | Pool Q32861 | | | 3.50% | | | 04/01/2045 | | | 3,650,234 | |
| | 9,544,141 | | | Pool Q32921 | | | 3.50% | | | 04/01/2045 | | | 9,027,986 | |
| | 10,448,345 | | | Pool Q39502 | | | 3.50% | | | 03/01/2046 | | | 9,954,378 | |
| | 22,626,230 | | | Pool Q44073 | | | 3.00% | | | 09/01/2046 | | | 20,793,129 | |
| | 9,734,965 | | | Pool QE2022 | | | 3.00% | | | 05/01/2052 | | | 8,799,498 | |
| | 24,543,547 | | | Pool QH2160 | | | 6.00% | | | 10/01/2053 | | | 25,766,347 | |
| | 14,652,073 | | | Pool QU7965 | | | 2.00% | | | 09/01/2051 | | | 11,878,596 | |
| | 13,892,202 | | | Pool QU7970 | | | 2.00% | | | 09/01/2051 | | | 11,262,442 | |
| | 15,022,234 | | | Pool RA2853 | | | 2.50% | | | 06/01/2050 | | | 13,107,165 | |
| | 46,931,689 | | | Pool RA3515 | | | 2.50% | | | 09/01/2050 | | | 40,767,125 | |
| | 19,626,151 | | | Pool RA4218 | | | 2.50% | | | 12/01/2050 | | | 17,269,832 | |
| | 14,835,462 | | | Pool RA4968 | | | 2.50% | | | 04/01/2046 | | | 13,172,082 | |
| | 55,478,585 | | | Pool RA5267 | | | 3.00% | | | 05/01/2051 | | | 50,271,203 | |
| | 8,288,423 | | | Pool RA7554 | | | 4.00% | | | 06/01/2052 | | | 7,975,191 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 86,460,710 | | | Pool RA7939 | | | 5.00% | | | 09/01/2052 | | | 86,635,345 | |
| | 70,128,631 | | | Pool RB5089 | | | 1.50% | | | 12/01/2040 | | | 59,197,911 | |
| | 7,491,746 | | | Pool RB5106 | | | 2.50% | | | 03/01/2041 | | | 6,774,359 | |
| | 80,348,088 | | | Pool RB5110 | | | 1.50% | | | 05/01/2041 | | | 67,555,292 | |
| | 16,791,695 | | | Pool RJ1071 | | | 6.00% | | | 03/01/2054 | | | 17,387,321 | |
| | 30,411,134 | | | Pool SD0699 | | | 2.00% | | | 11/01/2050 | | | 25,773,383 | |
| | 42,597,632 | | | Pool SD0715 | | | 2.00% | | | 09/01/2051 | | | 36,277,915 | |
| | 61,040,317 | | | Pool SD2120 | | | 3.00% | | | 10/01/2051 | | | 55,508,133 | |
| | 36,018,810 | | | Pool SD2386 | | | 3.50% | | | 06/01/2052 | | | 33,792,761 | |
| | 55,882,194 | | | Pool SD2692 | | | 4.50% | | | 04/01/2053 | | | 55,024,164 | |
| | 22,497,306 | | | Pool SD2759 | | | 5.50% | | | 05/01/2053 | | | 22,966,526 | |
| | 27,175,289 | | | Pool SD2839 | | | 3.00% | | | 08/01/2052 | | | 24,564,632 | |
| | 16,697,079 | | | Pool SD2971 | | | 2.50% | | | 03/01/2052 | | | 14,650,122 | |
| | 29,431,115 | | | Pool SD3011 | | | 3.00% | | | 05/01/2052 | | | 26,687,417 | |
| | 13,963,684 | | | Pool SD3033 | | | 5.50% | | | 05/01/2053 | | | 14,545,538 | |
| | 66,101,675 | | | Pool SD3093 | | | 2.50% | | | 03/01/2052 | | | 57,953,718 | |
| | 52,575,132 | | | Pool SD3454 | | | 5.50% | | | 08/01/2053 | | | 53,650,637 | |
| | 55,580,813 | | | Pool SD4372 | | | 6.00% | | | 11/01/2053 | | | 58,269,117 | |
| | 40,577,246 | | | Pool SD4701 | | | 6.00% | | | 02/01/2054 | | | 41,985,498 | |
| | 12,832,039 | | | Pool SD4756 | | | 6.00% | | | 02/01/2054 | | | 13,381,739 | |
| | 28,928,998 | | | Pool SD4794 | | | 6.50% | | | 01/01/2054 | | | 30,709,118 | |
| | 43,622,605 | | | Pool SD4887 | | | 6.00% | | | 02/01/2054 | | | 45,238,949 | |
| | 25,243,121 | | | Pool SD4888 | | | 6.00% | | | 02/01/2054 | | | 26,168,503 | |
| | 48,066,213 | | | Pool SD4965 | | | 5.50% | | | 02/01/2054 | | | 49,400,856 | |
| | 15,932,756 | | | Pool SD5141 | | | 6.00% | | | 04/01/2054 | | | 16,355,320 | |
| | 59,779,441 | | | Pool SD5335 | | | 6.00% | | | 04/01/2054 | | | 62,753,097 | |
| | 16,843,898 | | | Pool SD5366 | | | 6.00% | | | 04/01/2054 | | | 17,467,359 | |
| | 31,657,478 | | | Pool SD5603 | | | 5.50% | | | 06/01/2054 | | | 32,503,490 | |
| | 11,897,240 | | | Pool SD5617 | | | 6.00% | | | 06/01/2054 | | | 12,365,010 | |
| | 55,727,379 | | | Pool SD5814 | | | 6.00% | | | 07/01/2054 | | | 57,858,033 | |
| | 24,563,429 | | | Pool SD5968 | | | 6.00% | | | 07/01/2054 | | | 25,401,763 | |
| | 51,879,597 | | | Pool SD6351 | | | 6.00% | | | 08/01/2054 | | | 54,337,043 | |
| | 184,977,191 | | | Pool SD7534 | | | 2.50% | | | 02/01/2051 | | | 163,199,336 | |
| | 15,220,517 | | | Pool SD7535 | | | 2.50% | | | 02/01/2051 | | | 13,371,028 | |
| | 22,712,481 | | | Pool SD7564 | | | 5.00% | | | 06/01/2053 | | | 23,053,316 | |
| | 20,964,224 | | | Pool SD7565 | | | 5.50% | | | 09/01/2053 | | | 21,508,136 | |
| | 59,383,711 | | | Pool SD7568 | | | 5.50% | | | 02/01/2054 | | | 61,098,482 | |
| | 89,754,884 | | | Pool SD7569 | | | 6.00% | | | 04/01/2054 | | | 93,221,944 | |
| | 78,710,595 | | | Pool SD8152 | | | 3.00% | | | 06/01/2051 | | | 71,484,202 | |
| | 2,992,076 | | | Pool SD8168 | | | 3.00% | | | 09/01/2051 | | | 2,703,162 | |
| | 8,166,856 | | | Pool SD8169 | | | 3.50% | | | 09/01/2051 | | | 7,635,321 | |
| | 38,912,390 | | | Pool SE9043 | | | 2.00% | | | 09/01/2051 | | | 31,549,070 | |
| | 939,514 | | | Pool T60392 | | | 4.00% | | | 10/01/2041 | | | 913,689 | |
| | 1,301,700 | | | Pool T60681 | | | 4.00% | | | 05/01/2042 | | | 1,270,820 | |
| | 5,289,353 | | | Pool T60782 | | | 3.50% | | | 07/01/2042 | | | 5,016,463 | |
| | 6,020,449 | | | Pool T60853 | | | 3.50% | | | 09/01/2042 | | | 5,709,852 | |
| | 6,021,926 | | | Pool T60854 | | | 3.50% | | | 09/01/2042 | | | 5,711,264 | |
| | 993,523 | | | Pool T65110 | | | 3.50% | | | 10/01/2042 | | | 942,279 | |
| | 6,706,664 | | | Pool T65492 | | | 3.00% | | | 06/01/2048 | | | 6,001,384 | |
| | 534,514 | | | Pool T69016 | | | 5.00% | | | 06/01/2041 | | | 534,304 | |
| | 10,114,737 | | | Pool T69050 | | | 3.50% | | | 05/01/2046 | | | 9,593,637 | |
| | 130,217 | | | Pool U60299 | | | 4.00% | | | 11/01/2040 | | | 128,978 | |
| | 137,613,857 | | | Pool U69911 | | | 4.00% | | | 04/01/2045 | | | 136,304,967 | |
| | 43,099,511 | | | Pool U69913 | | | 3.50% | | | 06/01/2043 | | | 41,090,144 | |
| | 1,207,431 | | | Pool U99125 | | | 3.00% | | | 01/01/2043 | | | 1,129,205 | |
| | 46,178,736 | | | Pool V81821 | | | 3.00% | | | 08/01/2045 | | | 42,710,733 | |
| | 13,234,744 | | | Pool V82117 | | | 3.00% | | | 12/01/2045 | | | 12,227,038 | |
| | 6,361,031 | | | Pool V82248 | | | 3.50% | | | 03/01/2046 | | | 6,011,847 | |
| | 10,500,000 | | | Pool WN1221 | | | 4.80% | | | 12/01/2029 | | | 10,735,491 | |
| | 19,180,000 | | | Pool WN1240 | | | 4.40% | | | 12/01/2029 | | | 19,291,218 | |
| | 40,000,000 | | | Pool WN2184 | | | 2.50% | | | 04/01/2032 | | | 35,745,580 | |
| | 23,230,000 | | | Pool WN2311 | | | 4.80% | | | 01/01/2030 | | | 23,760,318 | |
| | 16,361,000 | | | Pool WN2312 | | | 4.60% | | | 01/01/2030 | | | 16,674,215 | |
| | 45,015,000 | | | Pool WN2358 | | | 4.30% | | | 01/01/2030 | | | 45,255,914 | |
| | 21,615,000 | | | Pool WN2396 | | | 4.79% | | | 03/01/2030 | | | 22,102,597 | |
| | 15,225,000 | | | Pool WN2423 | | | 4.19% | | | 06/01/2030 | | | 15,263,009 | |
| | 13,881,000 | | | Pool WN2579 | | | 4.85% | | | 03/01/2029 | | | 14,029,030 | |
| | 73,202,484 | | | Pool Z40117 | | | 3.00% | | | 04/01/2045 | | | 67,924,178 | |
| | 64,528,383 | | | Pool Z40206 | | | 3.50% | | | 02/01/2047 | | | 60,991,881 | |
| | 81,124,380 | | | Pool Z40256 | | | 3.00% | | | 12/01/2046 | | | 75,135,603 | |
| | 20,737,063 | | | Pool Z40264 | | | 4.00% | | | 11/01/2040 | | | 20,534,836 | |
| | 115,395,721 | | | Pool Z40265 | | | 3.50% | | | 08/01/2047 | | | 108,698,077 | |
| | 11,900,593 | | | Pool ZS4706 | | | 3.00% | | | 03/01/2047 | | | 10,922,753 | |
| | 6,150,503 | | | Pool ZS4750 | | | 3.00% | | | 01/01/2048 | | | 5,639,951 | |
| | 11,083,062 | | | Pool ZS4778 | | | 4.00% | | | 07/01/2048 | | | 10,784,556 | |
| | 9,011,368 | | | Pool ZS4790 | | | 4.00% | | | 09/01/2048 | | | 8,768,645 | |
| | 13,563,160 | | | Pool ZT1827 | | | 3.00% | | | 07/01/2047 | | | 12,449,582 | |
| | 301,624 | | | Series 2519-ZD | | | 5.50% | | | 11/15/2032 | | | 310,306 | |
| | 176,899 | | | Series 2596-ZL | | | 5.00% | | | 04/15/2033 | | | 181,147 | |
| | 10,800,921 | | | Series 267-30 | | | 3.00% | | | 08/15/2042 | | | 10,058,283 | |
| | 122,647 | | | Series 2684-ZN | | | 4.00% | | | 10/15/2033 | | | 119,972 | |
| | 7,596,142 | | | Series 274-30 | | | 3.00% | | | 08/15/2042 | | | 7,001,265 | |
| | | | | | | | | | | | | | | |
24
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 703,559 | | | Series 2750-ZT | | | 5.00% | | | 02/15/2034 | | | 721,687 | |
| | 30,882,153 | | | Series 280-30 | | | 3.00% | | | 09/15/2042 | | | 28,774,631 | |
| | 2,239,321 | | | Series 2825-PZ | | | 5.50% | | | 07/15/2034 | | | 2,345,231 | |
| | 5,703,382 | | | Series 284-300 | | | 3.00% | | | 10/15/2042 | | | 5,368,114 | |
| | 1,315,569 | | | Series 2898-JZ | | | 5.00% | | | 12/15/2034 | | | 1,349,917 | |
| | 3,365,476 | | | Series 2899-AZ | | | 5.00% | | | 12/15/2034 | | | 3,459,769 | |
| | 1,760,173 | | | Series 2909-Z | | | 5.00% | | | 12/15/2034 | | | 1,810,673 | |
| | 3,713,896 | | | Series 2932-Z | | | 5.00% | | | 02/15/2035 | | | 3,829,872 | |
| | 1,398,540 | | | Series 3002-SN (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap) | | | 1.04%(f)(g) | | | 07/15/2035 | | | 121,785 | |
| | 878,465 | | | Series 3030-SL (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap) | | | 0.64%(f)(g) | | | 09/15/2035 | | | 76,657 | |
| | 308,274 | | | Series 3045-DI (-1 x 30 day avg SOFR US + 6.62%, 0.00% Floor, 6.73% Cap) | | | 1.27%(f)(g) | | | 10/15/2035 | | | 31,491 | |
| | 2,354,311 | | | Series 3116-Z | | | 5.50% | | | 02/15/2036 | | | 2,465,107 | |
| | 365,385 | | | Series 3117-ZN | | | 4.50% | | | 02/15/2036 | | | 358,231 | |
| | 1,147,471 | | | Series 3174-PZ | | | 5.00% | | | 01/15/2036 | | | 1,185,630 | |
| | 288,073 | | | Series 3187-JZ | | | 5.00% | | | 07/15/2036 | | | 297,802 | |
| | 820,478 | | | Series 3188-ZK | | | 5.00% | | | 07/15/2036 | | | 845,804 | |
| | 1,259,922 | | | Series 3203-SE (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap) | | | 1.04%(f)(g) | | | 08/15/2036 | | | 127,422 | |
| | 1,657,539 | | | Series 3203-Z | | | 5.00% | | | 07/15/2036 | | | 1,707,551 | |
| | 4,658,422 | | | Series 326-300Pool S0-7094 | | | 3.00% | | | 03/15/2044 | | | 4,338,327 | |
| | 9,839,617 | | | Series 326-F2Pool S0-7108 (30 day avg SOFR US + 0.66%, 0.55% Floor, 6.50% Cap) | | | 6.01% | | | 03/15/2044 | | | 9,803,646 | |
| | 1,681,694 | | | Series 3261-SA (-1 x 30 day avg SOFR US + 6.32%, 0.00% Floor, 6.43% Cap) | | | 0.97%(f)(g) | | | 01/15/2037 | | | 176,537 | |
| | 1,314,386 | | | Series 3275-SC (-1 x 30 day avg SOFR US + 5.97%, 0.00% Floor, 6.08% Cap) | | | 0.62%(f)(g) | | | 02/15/2037 | | | 132,809 | |
| | 347,503 | | | Series 3315-HZ | | | 6.00% | | | 05/15/2037 | | | 370,529 | |
| | 1,111,287 | | | Series 3326-GS (-1 x 30 day avg SOFR US + 6.54%, 0.00% Floor, 6.65% Cap) | | | 1.19%(f)(g) | | | 06/15/2037 | | | 110,806 | |
| | 300,110 | | | Series 3351-ZC | | | 5.50% | | | 07/15/2037 | | | 311,217 | |
| | 3,856,530 | | | Series 3355-BI (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.59%(f)(g) | | | 08/15/2037 | | | 394,079 | |
| | 183,880 | | | Series 3369-Z | | | 6.00% | | | 09/15/2037 | | | 193,204 | |
| | 507,496 | | | Series 3405-ZG | | | 5.50% | | | 01/15/2038 | | | 536,289 | |
| | 181,042 | | | Series 3417-SI (-1 x 30 day avg SOFR US + 6.07%, 0.00% Floor, 6.18% Cap) | | | 0.72%(f)(g) | | | 02/15/2038 | | | 15,306 | |
| | 702,810 | | | Series 3423-GS (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap) | | | 0.19%(f)(g) | | | 03/15/2038 | | | 53,203 | |
| | 115,409 | | | Series 3423-SG (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap) | | | 0.19%(f)(g) | | | 03/15/2038 | | | 8,532 | |
| | 151,374 | | | Series 3451-S (-1 x 30 day avg SOFR US + 5.92%, 0.00% Floor, 6.03% Cap) | | | 0.57%(f)(g) | | | 02/15/2037 | | | 11,657 | |
| | 145,738 | | | Series 3455-SC (-1 x 30 day avg SOFR US + 5.95%, 0.00% Floor, 6.06% Cap) | | | 0.60%(f)(g) | | | 06/15/2038 | | | 11,606 | |
| | 64,273 | | | Series 3473-SM (-1 x 30 day avg SOFR US + 5.96%, 0.00% Floor, 6.07% Cap) | | | 0.61%(f)(g) | | | 07/15/2038 | | | 5,483 | |
| | 1,376,240 | | | Series 3484-SE (-1 x 30 day avg SOFR US + 5.74%, 0.00% Floor, 5.85% Cap) | | | 0.39%(f)(g) | | | 08/15/2038 | | | 105,764 | |
| | 1,895,627 | | | Series 3519-SD (-1 x 30 day avg SOFR US + 5.44%, 0.00% Floor, 5.55% Cap) | | | 0.09%(f)(g) | | | 02/15/2038 | | | 149,746 | |
| | 607,902 | | | Series 3524-LB | | | 3.16%(b) | | | 06/15/2038 | | | 579,887 | |
| | 61,222 | | | Series 3530-GZ | | | 4.50%(h) | | | 05/15/2039 | | | 60,164 | |
| | 1,640,465 | | | Series 3541-EI (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap) | | | 1.29%(f)(g) | | | 06/15/2039 | | | 205,213 | |
| | 130,486 | | | Series 3545-SA (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) | | | 0.69%(f)(g) | | | 06/15/2039 | | | 11,301 | |
| | 54,282 | | | Series 3549-SA (-1 x 30 day avg SOFR US + 5.69%, 0.00% Floor, 5.80% Cap) | | | 0.34%(f)(g) | | | 07/15/2039 | | | 4,756 | |
| | 32,245,021 | | | Series 357-200Pool S0-7745 | | | 2.00% | | | 09/15/2047 | | | 28,324,884 | |
| | 2,144,089 | | | Series 3577-LS (-1 x 30 day avg SOFR US + 7.09%, 0.00% Floor, 7.20% Cap) | | | 1.74%(f)(g) | | | 08/15/2035 | | | 266,366 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 780,166 | | | Series 3582-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.54%(f)(g) | | | 10/15/2049 | | | 77,111 | |
| | 669,502 | | | Series 3583-GB | | | 4.50% | | | 10/15/2039 | | | 676,828 | |
| | 1,052,559 | | | Series 3616-SG (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap) | | | 0.89%(f)(g) | | | 03/15/2032 | | | 51,312 | |
| | 1,988,233 | | | Series 3626-AZ | | | 5.50% | | | 08/15/2036 | | | 2,094,709 | |
| | 2,560,040 | | | Series 3654-ZB | | | 5.50% | | | 11/15/2037 | | | 2,693,014 | |
| | 268,011 | | | Series 3667-SBPool 3667 (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap) | | | 0.99%(f)(g) | | | 05/15/2040 | | | 25,626 | |
| | 2,166,188 | | | Series 3702-SG (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.59%(f)(g) | | | 08/15/2032 | | | 131,140 | |
| | 1,387,296 | | | Series 3704-EI | | | 5.00%(f) | | | 12/15/2036 | | | 167,459 | |
| | 1,120,980 | | | Series 3712-SG (-5 x 30 day avg SOFR US + 24.43%, 0.00% Floor, 25.00% Cap) | | | 0.00%(g) | | | 08/15/2040 | | | 1,243,326 | |
| | 1,654,385 | | | Series 3724-CM | | | 5.50% | | | 06/15/2037 | | | 1,747,147 | |
| | 5,258,550 | | | Series 3726-SA (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.59%(f)(g) | | | 09/15/2040 | | | 575,902 | |
| | 186,682 | | | Series 3741-SC (-2 x 30 day avg SOFR US + 9.77%, 0.00% Floor, 10.00% Cap) | | | 0.00%(g) | | | 10/15/2040 | | | 159,291 | |
| | 4,674,509 | | | Series 3752-BS (-2 x 30 day avg SOFR US + 9.77%, 0.00% Floor, 10.00% Cap) | | | 0.00%(g) | | | 11/15/2040 | | | 3,972,082 | |
| | 1,445,825 | | | Series 3771-AL | | | 4.00% | | | 12/15/2030 | | | 1,449,266 | |
| | 3,597,129 | | | Series 3779-BY | | | 3.50% | | | 12/15/2030 | | | 3,554,903 | |
| | 4,167,743 | | | Series 3779-LB | | | 4.00% | | | 12/15/2030 | | | 4,177,670 | |
| | 973,223 | | | Series 3779-YA | | | 3.50% | | | 12/15/2030 | | | 961,798 | |
| | 3,439,494 | | | Series 3783-AC | | | 4.00% | | | 01/15/2031 | | | 3,447,488 | |
| | 2,984,617 | | | Series 3786-SG (-2 x 30 day avg SOFR US + 9.27%, 0.00% Floor, 9.50% Cap) | | | 0.00%(g) | | | 01/15/2041 | | | 2,486,964 | |
| | 2,940,816 | | | Series 3788-AY | | | 3.50% | | | 01/15/2031 | | | 2,894,410 | |
| | 454,728 | | | Series 3790-Z | | | 4.00% | | | 01/15/2041 | | | 443,605 | |
| | 1,298,411 | | | Series 3803-ZM | | | 4.00% | | | 02/15/2041 | | | 1,266,773 | |
| | 12,735,574 | | | Series 3806-CZ | | | 5.50% | | | 07/15/2034 | | | 13,319,047 | |
| | 3,469,779 | | | Series 3812-EY | | | 3.50% | | | 02/15/2031 | | | 3,414,780 | |
| | 1,357,995 | | | Series 3818-CZ | | | 4.50% | | | 03/15/2041 | | | 1,358,666 | |
| | 3,350,433 | | | Series 3828-SW (-3 x 30 day avg SOFR US + 12.86%, 0.00% Floor, 13.20% Cap) | | | 0.00%(g) | | | 02/15/2041 | | | 2,830,274 | |
| | 6,621,589 | | | Series 3843-PZ | | | 5.00% | | | 04/15/2041 | | | 6,811,491 | |
| | 3,235,187 | | | Series 3870-PB | | | 4.50% | | | 06/15/2041 | | | 3,272,200 | |
| | 4,416,332 | | | Series 3872-BA | | | 4.00% | | | 06/15/2041 | | | 4,369,093 | |
| | 2,411,382 | | | Series 3877-EY | | | 4.50% | | | 06/15/2041 | | | 2,395,956 | |
| | 845,538 | | | Series 3877-GY | | | 4.50% | | | 06/15/2041 | | | 840,089 | |
| | 1,941,611 | | | Series 3900-SB (-1 x 30 day avg SOFR US + 5.86%, 0.00% Floor, 5.97% Cap) | | | 0.51%(f)(g) | | | 07/15/2041 | | | 181,637 | |
| | 1,856,190 | | | Series 3910-ZE | | | 5.00% | | | 10/15/2034 | | | 1,907,387 | |
| | 3,084,054 | | | Series 3919-KL | | | 4.50% | | | 09/15/2041 | | | 3,063,523 | |
| | 10,067,662 | | | Series 3919-ZJ | | | 4.00% | | | 09/15/2041 | | | 9,804,955 | |
| | 563,289 | | | Series 3942-JZ | | | 4.00% | | | 10/15/2041 | | | 549,026 | |
| | 3,485,851 | | | Series 3944-AZ | | | 4.00% | | | 10/15/2041 | | | 3,398,368 | |
| | 1,454,946 | | | Series 3946-SM (-3 x 30 day avg SOFR US + 14.36%, 0.00% Floor, 14.70% Cap) | | | 0.00%(g) | | | 10/15/2041 | | | 1,353,233 | |
| | 8,210,585 | | | Series 3969-AB | | | 4.00% | | | 10/15/2033 | | | 8,161,197 | |
| | 1,622,444 | | | Series 3982-AZ | | | 3.50% | | | 01/15/2042 | | | 1,535,428 | |
| | 2,623,446 | | | Series 3999-EZ | | | 4.00% | | | 02/15/2042 | | | 2,557,688 | |
| | 295,397 | | | Series 4050-ND | | | 2.50% | | | 09/15/2041 | | | 289,845 | |
| | 37,967,035 | | | Series 4109-GE | | | 4.50% | | | 10/15/2041 | | | 38,344,199 | |
| | 3,425,323 | | | Series 4121-AV | | | 3.00% | | | 12/15/2035 | | | 3,334,579 | |
| | 9,866,875 | | | Series 4183-ZB | | | 3.00%(h) | | | 03/15/2043 | | | 8,153,456 | |
| | 3,514,443 | | | Series 4186-ZJ | | | 3.00%(h) | | | 03/15/2033 | | | 3,330,810 | |
| | 40,143,373 | | | Series 4212-US (-1 x 30 day avg SOFR US + 5.26%, 0.00% Floor, 5.40% Cap) | | | 0.00%(g) | | | 06/15/2043 | | | 29,476,480 | |
| | 19,309,604 | | | Series 4223-US (-1 x 30 day avg SOFR US + 5.29%, 0.00% Floor, 5.43% Cap) | | | 0.00%(g) | | | 07/15/2043 | | | 13,275,341 | |
| | 8,852,526 | | | Series 4249-CS (-1 x 30 day avg SOFR US + 4.56%, 0.00% Floor, 4.65% Cap) | | | 0.55%(g) | | | 09/15/2043 | | | 7,011,897 | |
| | 7,974,775 | | | Series 4341-ZA | | | 3.00% | | | 05/15/2044 | | | 7,349,252 | |
| | 18,261,814 | | | Series 4376-GZ | | | 3.00%(h) | | | 08/15/2044 | | | 16,521,171 | |
| | 58,058,721 | | | Series 4377-LZ | | | 3.00%(h) | | | 08/15/2044 | | | 52,775,476 | |
| | 1,313,716 | | | Series 4379-KA | | | 3.00% | | | 08/15/2044 | | | 1,246,548 | |
| | 31,735,860 | | | Series 4384-ZY | | | 3.00%(h) | | | 09/15/2044 | | | 28,978,808 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 25
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 160,842,943 | | | Series 4390-NZ | | | 3.00%(h) | | | 09/15/2044 | | | 146,044,347 | |
| | 6,023,856 | | | Series 4427-PS (-1 x 30 day avg SOFR US + 5.49%, 0.00% Floor, 5.60% Cap) | | | 0.14%(f)(g) | | | 07/15/2044 | | | 389,739 | |
| | 817,413 | | | Series 4438-B | | | 3.00% | | | 10/15/2043 | | | 795,985 | |
| | 11,460,467 | | | Series 4441-VZ | | | 3.00%(h) | | | 02/15/2045 | | | 9,979,322 | |
| | 33,315,310 | | | Series 4444-CZ | | | 3.00%(h) | | | 02/15/2045 | | | 29,587,300 | |
| | 8,279,082 | | | Series 4471-BA | | | 3.00% | | | 12/15/2041 | | | 8,147,955 | |
| | 7,199,119 | | | Series 4471-BC | | | 3.00% | | | 12/15/2041 | | | 7,085,097 | |
| | 4,815,228 | | | Series 4500-GO | | | 0.00%(k) | | | 08/15/2045 | | | 3,910,372 | |
| | 9,072,845 | | | Series 4504-CA | | | 3.00% | | | 04/15/2044 | | | 8,808,037 | |
| | 28,852,618 | | | Series 4543-HG | | | 2.70% | | | 04/15/2044 | | | 27,768,313 | |
| | 13,191,699 | | | Series 4632-MH | | | 4.00% | | | 11/15/2056 | | | 12,560,520 | |
| | 5,229,616 | | | Series 4744-JA | | | 3.00% | | | 09/15/2047 | | | 4,866,177 | |
| | 4,933,965 | | | Series 4744-KA | | | 3.00% | | | 08/15/2046 | | | 4,817,731 | |
| | 10,531,204 | | | Series 4746-ZN | | | 3.50% | | | 12/15/2047 | | | 9,902,145 | |
| | 21,534,000 | | | Series 4759-NL | | | 3.00% | | | 02/15/2048 | | | 18,993,666 | |
| | 7,670,136 | | | Series 4776-YP | | | 3.50% | | | 02/15/2048 | | | 7,078,650 | |
| | 25,323,014 | | | Series 4778-DZ | | | 4.00% | | | 04/15/2048 | | | 24,422,512 | |
| | 5,158,290 | | | Series 4791-IO | | | 3.00%(f) | | | 05/15/2048 | | | 746,707 | |
| | 26,887,573 | | | Series 4791-JT | | | 3.00% | | | 05/15/2048 | | | 24,439,903 | |
| | 4,217,154 | | | Series 4791-LI | | | 3.00%(f) | | | 05/15/2048 | | | 663,600 | |
| | 4,217,154 | | | Series 4791-LO | | | 0.00%(k) | | | 05/15/2048 | | | 3,234,367 | |
| | 16,639,646 | | | Series 4791-PO | | | 0.00%(k) | | | 05/15/2048 | | | 13,390,634 | |
| | 11,430,596 | | | Series 4792-A | | | 3.00% | | | 05/15/2048 | | | 10,389,889 | |
| | 7,344,279 | | | Series 4793-C | | | 3.00% | | | 06/15/2048 | | | 6,623,029 | |
| | 6,983,788 | | | Series 4795-AO | | | 0.00%(k) | | | 05/15/2048 | | | 5,442,263 | |
| | 5,861,088 | | | Series 4801-OG | | | 0.00%(k) | | | 06/15/2048 | | | 4,711,037 | |
| | 23,542,973 | | | Series 4857-J | | | 3.40% | | | 01/15/2049 | | | 22,362,234 | |
| | 10,030,430 | | | Series 4901-BD | | | 3.00% | | | 07/25/2049 | | | 9,492,684 | |
| | 19,458,855 | | | Series 4924-ST (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 08/25/2048 | | | 2,420,010 | |
| | 10,743,208 | | | Series 5004-LS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) | | | 0.76%(f)(g) | | | 07/25/2050 | | | 1,632,330 | |
| | 37,733,468 | | | Series 5007-IP | | | 3.00%(f) | | | 07/25/2050 | | | 6,116,482 | |
| | 16,587,716 | | | Series 5010-KI | | | 3.00%(f) | | | 09/25/2050 | | | 2,482,187 | |
| | 12,291,130 | | | Series 5023-YI | | | 3.00%(f) | | | 10/25/2050 | | | 2,083,446 | |
| | 56,502,343 | | | Series 5040-GI | | | 2.00%(f) | | | 11/25/2050 | | | 6,841,547 | |
| | 30,762,924 | | | Series 5050-BN | | | 3.00% | | | 11/25/2050 | | | 27,239,751 | |
| | 30,498,283 | | | Series 5053-AI | | | 3.00%(f) | | | 11/25/2050 | | | 5,792,685 | |
| | 10,166,094 | | | Series 5053-PI | | | 3.00%(f) | | | 11/25/2050 | | | 1,643,295 | |
| | 21,665,364 | | | Series 5059-HI | | | 3.00%(f) | | | 09/25/2050 | | | 3,429,378 | |
| | 24,886,375 | | | Series 5059-ID | | | 3.00%(f) | | | 01/25/2051 | | | 4,055,588 | |
| | 11,710,788 | | | Series 5060-LT | | | 2.00% | | | 05/25/2050 | | | 9,695,127 | |
| | 5,808,975 | | | Series 5062-PA | | | 1.25% | | | 01/25/2051 | | | 4,433,392 | |
| | 13,933,714 | | | Series 5071-FP (30 day avg SOFR US + 0.70%, 0.70% Floor, 4.00% Cap) | | | 4.00% | | | 02/25/2051 | | | 11,010,767 | |
| | 29,131,799 | | | Series 5077-CI | | | 3.50%(f) | | | 02/25/2051 | | | 5,118,218 | |
| | 12,100,080 | | | Series 5081-MI | | | 2.50%(f) | | | 03/25/2051 | | | 1,784,701 | |
| | 37,878,541 | | | Series 5083-IH | | | 2.50%(f) | | | 03/25/2051 | | | 5,889,265 | |
| | 11,081,558 | | | Series 5086-IB | | | 3.00%(f) | | | 03/25/2051 | | | 1,745,618 | |
| | 14,370,394 | | | Series 5086-IK | | | 3.00%(f) | | | 03/25/2051 | | | 2,474,978 | |
| | 7,463,634 | | | Series 5112-SC (-1 x 30 day avg SOFR US + 2.50%, 0.00% Floor, 2.50% Cap) | | | 0.00%(f)(g) | | | 06/25/2051 | | | 74,212 | |
| | 16,755,040 | | | Series 5117-D | | | 2.00% | | | 06/25/2051 | | | 14,952,677 | |
| | 17,489,234 | | | Series 5118-PI | | | 3.00%(f) | | | 03/25/2051 | | | 2,872,594 | |
| | 102,493,318 | | | Series 5129-GI | | | 3.00%(f) | | | 08/25/2050 | | | 17,651,030 | |
| | 64,545,284 | | | Series 5130-IO | | | 3.50%(f) | | | 08/25/2051 | | | 14,001,324 | |
| | 32,273,563 | | | Series 5140-AI | | | 3.50%(f) | | | 09/25/2051 | | | 6,170,560 | |
| | 11,141,307 | | | Series 5140-B | | | 2.00% | | | 05/25/2040 | | | 9,933,730 | |
| | 33,520,934 | | | Series 5140-HI | | | 2.00%(f) | | | 08/25/2046 | | | 3,035,652 | |
| | 24,951,738 | | | Series 5142-IP | | | 3.00%(f) | | | 09/25/2051 | | | 4,238,424 | |
| | 37,219,401 | | | Series 5145-SB (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap) | | | 0.00%(f)(g) | | | 09/25/2051 | | | 485,352 | |
| | 16,352,277 | | | Series 5149-CI | | | 3.00%(f) | | | 12/25/2043 | | | 2,229,139 | |
| | 20,999,263 | | | Series 5150-AB | | | 2.00% | | | 04/25/2049 | | | 17,593,122 | |
| | 41,933,876 | | | Series 5157-EI | | | 3.00%(f) | | | 10/25/2051 | | | 5,303,709 | |
| | 13,923,334 | | | Series 5157-P | | | 1.50% | | | 10/25/2051 | | | 11,346,188 | |
| | 9,734,338 | | | Series 5159-CD | | | 1.50% | | | 07/25/2041 | | | 8,535,969 | |
| | 16,970,603 | | | Series 5159-DI | | | 3.00%(f) | | | 04/25/2048 | | | 2,579,179 | |
| | 30,147,563 | | | Series 5159-UI | | | 3.50%(f) | | | 08/25/2050 | | | 5,748,073 | |
| | 42,606,305 | | | Series 5160-S (-1 x 30 day avg SOFR US + 3.74%, 0.00% Floor, 3.74% Cap) | | | 0.00%(f)(g) | | | 08/25/2050 | | | 1,948,663 | |
| | 19,059,145 | | | Series 5160-ZY | | | 3.00%(h) | | | 10/25/2050 | | | 14,404,071 | |
| | 29,273,721 | | | Series 5171-GI | | | 3.00%(f) | | | 12/25/2051 | | | 4,926,088 | |
| | 29,259,185 | | | Series 5176-D | | | 2.50% | | | 01/25/2051 | | | 25,236,878 | |
| | 25,434,046 | | | Series 5181-IL | | | 3.00%(f) | | | 01/25/2052 | | | 4,294,442 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 16,141,708 | | | Series 5187-LA | | | 2.50% | | | 10/25/2049 | | | 14,508,625 | |
| | 20,771,082 | | | Series 5196-PE | | | 2.00% | | | 02/25/2052 | | | 18,324,950 | |
| | 22,352,005 | | | Series 5202-DB | | | 3.00% | | | 05/25/2048 | | | 20,576,134 | |
| | 18,552,056 | | | Series 5202-HA | | | 2.50% | | | 09/25/2048 | | | 16,685,459 | |
| | 60,097,722 | | | Series 5209-IO | | | 3.00%(f) | | | 10/25/2051 | | | 10,216,925 | |
| | 25,779,133 | | | Series 5236-YI | | | 2.50%(f) | | | 06/25/2049 | | | 2,921,075 | |
| | 71,311,390 | | | Series 5279-IO | | | 3.00%(f) | | | 03/25/2051 | | | 12,046,177 | |
| | 18,176,397 | | | Series 5319-PO | | | 0.00%(k) | | | 08/25/2050 | | | 12,869,186 | |
| | 77,783,648 | | | Series 5321-PO | | | 0.00%(k) | | | 08/25/2050 | | | 56,481,655 | |
| | 13,615,698 | | | Series 5326-KO | | | 0.00%(k) | | | 09/25/2050 | | | 9,516,409 | |
| | 35,572,996 | | | Series 5326-MO | | | 0.00%(k) | | | 09/25/2050 | | | 25,199,746 | |
| | 16,537,858 | | | Series 5326-OP | | | 0.00%(k) | | | 09/25/2050 | | | 11,593,232 | |
| | 28,841,342 | | | Series 5326-UO | | | 0.00%(k) | | | 10/25/2050 | | | 20,121,021 | |
| | 26,184,063 | | | Series 5334-PO | | | 0.00%(k) | | | 12/25/2050 | | | 19,632,305 | |
| | 13,138,090 | | | Series 5352-LO | | | 0.00%(k) | | | 10/15/2046 | | | 10,226,721 | |
| | 20,474,528 | | | Series 5365-PO | | | 0.00%(k) | | | 02/25/2037 | | | 16,782,586 | |
| | 26,079,105 | | | Series 5385-ZA | | | 2.00%(h) | | | 01/25/2051 | | | 13,899,362 | |
| | 23,162,342 | | | Series 5400-FB (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap) | | | 6.38% | | | 04/25/2054 | | | 23,257,826 | |
| | 46,586,934 | | | Series 5430-FD (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap) | | | 6.38% | | | 07/25/2054 | | | 46,780,638 | |
| | 33,557,832 | | | Series 5439-FJ (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap) | | | 6.38% | | | 08/25/2054 | | | 33,604,102 | |
| | 58,579,249 | | | Series 5452-DF (30 day avg SOFR US + 1.25%, 1.25% Floor, 6.50% Cap) | | | 6.50% | | | 09/25/2054 | | | 58,787,861 | |
| | | | | Federal National Mortgage Association | |
| | 55,839,114 | | | Pool 310227 | | | 4.00% | | | 01/01/2044 | | | 55,247,689 | |
| | 63,237,852 | | | Pool 310233 | | | 3.50% | | | 03/01/2044 | | | 60,222,436 | |
| | 15,972,400 | | | Pool 387898 | | | 3.71% | | | 08/01/2030 | | | 15,569,705 | |
| | 2,639,865 | | | Pool 555743 | | | 5.00% | | | 09/01/2033 | | | 2,678,745 | |
| | 1,987,466 | | | Pool 735382 | | | 5.00% | | | 04/01/2035 | | | 2,038,547 | |
| | 3,395,808 | | | Pool 735402 | | | 5.00% | | | 04/01/2035 | | | 3,483,085 | |
| | 2,224,992 | | | Pool 735484 | | | 5.00% | | | 05/01/2035 | | | 2,282,125 | |
| | 937,598 | | | Pool 735667 | | | 5.00% | | | 07/01/2035 | | | 961,818 | |
| | 764,467 | | | Pool 735893 | | | 5.00% | | | 10/01/2035 | | | 784,482 | |
| | 1,884,883 | | | Pool 745275 | | | 5.00% | | | 02/01/2036 | | | 1,935,013 | |
| | 77,630 | | | Pool 888695 | | | 5.00% | | | 08/01/2037 | | | 79,935 | |
| | 504,144 | | | Pool 888968 | | | 5.00% | | | 08/01/2035 | | | 517,077 | |
| | 3,678,681 | | | Pool 890549 | | | 4.00% | | | 11/01/2043 | | | 3,629,253 | |
| | 4,735,314 | | | Pool 890565 | | | 3.00% | | | 11/01/2043 | | | 4,394,034 | |
| | 268,387 | | | Pool 931104 | | | 5.00% | | | 05/01/2039 | | | 273,996 | |
| | 56,620 | | | Pool 975116 | | | 5.00% | | | 05/01/2038 | | | 58,349 | |
| | 769,048 | | | Pool 986864 | | | 6.50% | | | 08/01/2038 | | | 819,271 | |
| | 459,039 | | | Pool 987316 | | | 6.50% | | | 09/01/2038 | | | 483,434 | |
| | 3,636,766 | | | Pool 995203 | | | 5.00% | | | 07/01/2035 | | | 3,730,746 | |
| | 6,104,276 | | | Pool 995849 | | | 5.00% | | | 08/01/2036 | | | 6,262,017 | |
| | 4,642,316 | | | Pool AB2123 | | | 4.00% | | | 01/01/2031 | | | 4,630,046 | |
| | 97,948 | | | Pool AB2370 | | | 4.50% | | | 09/01/2035 | | | 96,961 | |
| | 349,118 | | | Pool AB3713 | | | 4.00% | | | 10/01/2031 | | | 345,779 | |
| | 2,543,060 | | | Pool AB3796 | | | 3.50% | | | 11/01/2031 | | | 2,500,515 | |
| | 672,586 | | | Pool AB3850 | | | 4.00% | | | 11/01/2041 | | | 653,411 | |
| | 518,653 | | | Pool AB3923 | | | 4.00% | | | 11/01/2041 | | | 503,861 | |
| | 9,230,055 | | | Pool AB4167 | | | 3.50% | | | 01/01/2032 | | | 9,069,383 | |
| | 7,234,658 | | | Pool AB4261 | | | 3.50% | | | 01/01/2032 | | | 7,107,666 | |
| | 1,336,688 | | | Pool AB5084 | | | 3.50% | | | 05/01/2032 | | | 1,313,683 | |
| | 3,239,138 | | | Pool AB5156 | | | 3.50% | | | 05/01/2032 | | | 3,182,705 | |
| | 5,005,376 | | | Pool AB5212 | | | 3.50% | | | 05/01/2032 | | | 4,919,316 | |
| | 2,589,214 | | | Pool AB5243 | | | 4.00% | | | 05/01/2042 | | | 2,515,294 | |
| | 6,673,596 | | | Pool AB5911 | | | 3.00% | | | 08/01/2032 | | | 6,458,610 | |
| | 2,780,220 | | | Pool AB6280 | | | 3.00% | | | 09/01/2042 | | | 2,597,234 | |
| | 3,466,253 | | | Pool AB6349 | | | 3.00% | | | 10/01/2032 | | | 3,348,506 | |
| | 9,716,205 | | | Pool AB6750 | | | 3.00% | | | 10/01/2032 | | | 9,379,970 | |
| | 5,060,322 | | | Pool AB6751 | | | 3.00% | | | 10/01/2032 | | | 4,884,971 | |
| | 29,159,932 | | | Pool AB6854 | | | 3.00% | | | 11/01/2042 | | | 27,055,951 | |
| | 22,081,466 | | | Pool AB7077 | | | 3.00% | | | 11/01/2042 | | | 20,488,349 | |
| | 9,487,658 | | | Pool AB7776 | | | 3.00% | | | 02/01/2043 | | | 8,863,075 | |
| | 10,155,815 | | | Pool AB7877 | | | 3.00% | | | 02/01/2043 | | | 9,487,235 | |
| | 4,404,531 | | | Pool AB8418 | | | 3.00% | | | 02/01/2033 | | | 4,247,455 | |
| | 7,010,001 | | | Pool AB8520 | | | 3.00% | | | 02/01/2033 | | | 6,758,827 | |
| | 9,108,195 | | | Pool AB8703 | | | 3.00% | | | 03/01/2038 | | | 8,573,869 | |
| | 3,299,260 | | | Pool AB8858 | | | 3.00% | | | 04/01/2033 | | | 3,182,080 | |
| | 7,551,937 | | | Pool AB9020 | | | 3.00% | | | 04/01/2038 | | | 7,109,124 | |
| | 5,460,430 | | | Pool AB9197 | | | 3.00% | | | 05/01/2033 | | | 5,256,241 | |
| | 3,172,414 | | | Pool AB9409 | | | 3.00% | | | 05/01/2033 | | | 3,055,833 | |
| | 97,706 | | | Pool AD2177 | | | 4.50% | | | 06/01/2030 | | | 97,811 | |
| | 271,263 | | | Pool AD6438 | | | 5.00% | | | 06/01/2040 | | | 279,559 | |
| | 167,595 | | | Pool AD7859 | | | 5.00% | | | 06/01/2040 | | | 172,720 | |
| | 2,353,725 | | | Pool AH0607 | | | 4.00% | | | 12/01/2040 | | | 2,328,209 | |
| | | | | | | | | | | | | | | |
26
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 120,919 | | | Pool AH1140 | | | 4.50% | | | 12/01/2040 | | | 119,617 | |
| | 1,621,589 | | | Pool AH4437 | | | 4.00% | | | 01/01/2041 | | | 1,575,895 | |
| | 503,744 | | | Pool AH7309 | | | 4.00% | | | 02/01/2031 | | | 501,055 | |
| | 347,899 | | | Pool AH9323 | | | 4.00% | | | 04/01/2026 | | | 345,408 | |
| | 757,638 | | | Pool AJ1265 | | | 4.00% | | | 09/01/2041 | | | 745,864 | |
| | 52,228 | | | Pool AJ1399 | | | 4.00% | | | 09/01/2041 | | | 50,738 | |
| | 1,445,888 | | | Pool AJ1467 | | | 4.00% | | | 10/01/2041 | | | 1,404,667 | |
| | 1,478,760 | | | Pool AJ3392 | | | 4.00% | | | 10/01/2041 | | | 1,436,595 | |
| | 1,046,351 | | | Pool AJ3854 | | | 4.00% | | | 10/01/2041 | | | 1,016,511 | |
| | 4,804,864 | | | Pool AJ4118 | | | 4.00% | | | 11/01/2041 | | | 4,667,898 | |
| | 1,257,875 | | | Pool AJ4131 | | | 4.00% | | | 10/01/2041 | | | 1,222,008 | |
| | 1,757,089 | | | Pool AJ7677 | | | 3.50% | | | 12/01/2041 | | | 1,664,744 | |
| | 950,558 | | | Pool AJ8334 | | | 4.00% | | | 12/01/2041 | | | 923,426 | |
| | 7,096,505 | | | Pool AK0713 | | | 3.50% | | | 01/01/2032 | | | 6,985,250 | |
| | 1,151,299 | | | Pool AK4039 | | | 4.00% | | | 02/01/2042 | | | 1,118,839 | |
| | 2,396,361 | | | Pool AK4763 | | | 4.00% | | | 02/01/2042 | | | 2,328,051 | |
| | 1,070,155 | | | Pool AK9438 | | | 4.00% | | | 03/01/2042 | | | 1,039,642 | |
| | 1,644,564 | | | Pool AK9439 | | | 4.00% | | | 03/01/2042 | | | 1,597,677 | |
| | 458,048 | | | Pool AK9446 | | | 4.50% | | | 03/01/2042 | | | 461,307 | |
| | 22,895,962 | | | Pool AL3883 | | | 3.00% | | | 07/01/2043 | | | 21,388,786 | |
| | 175,883 | | | Pool AL4292 | | | 4.50% | | | 04/01/2026 | | | 176,356 | |
| | 3,620,191 | | | Pool AL4312 | | | 4.00% | | | 10/01/2043 | | | 3,571,540 | |
| | 8,511,361 | | | Pool AL6075 | | | 3.50% | | | 09/01/2053 | | | 7,844,856 | |
| | 15,896,344 | | | Pool AL6076 | | | 3.00% | | | 06/01/2053 | | | 14,313,435 | |
| | 21,046,618 | | | Pool AL6141 | | | 4.00% | | | 04/01/2042 | | | 20,790,316 | |
| | 20,012,273 | | | Pool AL6325 | | | 3.00% | | | 10/01/2044 | | | 18,569,640 | |
| | 6,005,714 | | | Pool AL6486 | | | 4.50% | | | 02/01/2045 | | | 6,024,878 | |
| | 18,923,946 | | | Pool AL6538 | | | 4.50% | | | 06/01/2044 | | | 19,147,555 | |
| | 19,259,553 | | | Pool AL8304 | | | 3.50% | | | 03/01/2046 | | | 18,182,321 | |
| | 9,720,311 | | | Pool AL9220 | | | 3.00% | | | 06/01/2045 | | | 9,019,640 | |
| | 12,844,047 | | | Pool AL9445 | | | 3.00% | | | 07/01/2031 | | | 12,540,235 | |
| | 24,080,926 | | | Pool AM8510 | | | 3.15% | | | 05/01/2035 | | | 21,964,883 | |
| | 26,607,615 | | | Pool AM8950 | | | 3.14% | | | 06/01/2040 | | | 24,276,697 | |
| | 4,290,820 | | | Pool AN5480 | | | 3.43% | | | 06/01/2037 | | | 4,081,944 | |
| | 217,500,000 | | | Pool AN6680 | | | 3.37% | | | 11/01/2047 | | | 180,924,902 | |
| | 10,026,000 | | | Pool AN7452 | | | 3.12% | | | 11/01/2032 | | | 9,368,933 | |
| | 20,528,313 | | | Pool AN8121 | | | 3.16% | | | 01/01/2035 | | | 18,718,894 | |
| | 3,744,834 | | | Pool AN9452 | | | 3.75% | | | 06/01/2030 | | | 3,606,743 | |
| | 3,552,673 | | | Pool AO2980 | | | 4.00% | | | 05/01/2042 | | | 3,451,368 | |
| | 12,668,603 | | | Pool AP4787 | | | 3.50% | | | 09/01/2042 | | | 12,002,734 | |
| | 9,687,890 | | | Pool AP4789 | | | 3.50% | | | 09/01/2042 | | | 9,180,747 | |
| | 5,711,516 | | | Pool AQ5541 | | | 3.00% | | | 12/01/2042 | | | 5,299,309 | |
| | 5,713,434 | | | Pool AR9856 | | | 3.00% | | | 04/01/2043 | | | 5,301,213 | |
| | 5,162,658 | | | Pool AS1927 | | | 4.50% | | | 03/01/2044 | | | 5,179,138 | |
| | 6,353,146 | | | Pool AS2038 | | | 4.50% | | | 03/01/2044 | | | 6,373,425 | |
| | 3,262,505 | | | Pool AS2517 | | | 4.50% | | | 05/01/2044 | | | 3,272,921 | |
| | 1,647,684 | | | Pool AS2551 | | | 4.50% | | | 06/01/2044 | | | 1,653,261 | |
| | 1,730,016 | | | Pool AS2765 | | | 4.50% | | | 07/01/2044 | | | 1,735,874 | |
| | 8,059,046 | | | Pool AS3201 | | | 3.00% | | | 08/01/2034 | | | 7,727,436 | |
| | 3,744,549 | | | Pool AS3456 | | | 3.00% | | | 10/01/2034 | | | 3,586,387 | |
| | 7,514,942 | | | Pool AS3666 | | | 3.00% | | | 10/01/2034 | | | 7,217,569 | |
| | 26,998,283 | | | Pool AS3961 | | | 3.00% | | | 12/01/2044 | | | 24,967,788 | |
| | 10,638,275 | | | Pool AS4154 | | | 3.00% | | | 12/01/2044 | | | 9,829,413 | |
| | 6,261,908 | | | Pool AS4212 | | | 3.00% | | | 01/01/2035 | | | 6,014,349 | |
| | 9,313,347 | | | Pool AS4281 | | | 3.00% | | | 01/01/2035 | | | 8,913,055 | |
| | 7,870,759 | | | Pool AS4345 | | | 3.50% | | | 01/01/2045 | | | 7,493,905 | |
| | 9,143,461 | | | Pool AS4360 | | | 3.00% | | | 01/01/2035 | | | 8,774,767 | |
| | 9,693,572 | | | Pool AS4779 | | | 3.00% | | | 04/01/2035 | | | 9,285,998 | |
| | 8,011,140 | | | Pool AS4780 | | | 3.00% | | | 04/01/2035 | | | 7,675,969 | |
| | 10,030,734 | | | Pool AS4840 | | | 3.00% | | | 04/01/2035 | | | 9,610,164 | |
| | 6,813,652 | | | Pool AS4881 | | | 3.00% | | | 05/01/2035 | | | 6,526,937 | |
| | 12,632,108 | | | Pool AS7473 | | | 3.00% | | | 07/01/2046 | | | 11,402,706 | |
| | 25,214,022 | | | Pool AS7661 | | | 3.00% | | | 08/01/2046 | | | 22,759,977 | |
| | 17,108,857 | | | Pool AS8056 | | | 3.00% | | | 10/01/2046 | | | 15,705,399 | |
| | 23,966,776 | | | Pool AS8111 | | | 3.00% | | | 10/01/2041 | | | 22,224,660 | |
| | 14,830,013 | | | Pool AS8269 | | | 3.00% | | | 11/01/2046 | | | 13,644,049 | |
| | 12,903,113 | | | Pool AS8306 | | | 3.00% | | | 11/01/2041 | | | 11,981,216 | |
| | 15,158,462 | | | Pool AS8356 | | | 3.00% | | | 11/01/2046 | | | 13,683,132 | |
| | 12,259,671 | | | Pool AX9696 | | | 3.00% | | | 07/01/2045 | | | 11,066,746 | |
| | 14,845,317 | | | Pool AY3974 | | | 3.00% | | | 03/01/2045 | | | 13,710,399 | |
| | 5,727,410 | | | Pool AY4295 | | | 3.00% | | | 02/01/2045 | | | 5,170,087 | |
| | 405,100 | | | Pool AY4296 | | | 3.00% | | | 01/01/2045 | | | 365,672 | |
| | 2,658,670 | | | Pool AY5471 | | | 3.00% | | | 03/01/2045 | | | 2,399,929 | |
| | 4,733,787 | | | Pool AZ0576 | | | 3.50% | | | 04/01/2042 | | | 4,514,332 | |
| | 7,410,631 | | | Pool BC0785 | | | 3.50% | | | 04/01/2046 | | | 6,996,043 | |
| | 14,244,995 | | | Pool BC9003 | | | 3.00% | | | 11/01/2046 | | | 13,076,484 | |
| | 7,451,145 | | | Pool BC9081 | | | 3.00% | | | 12/01/2046 | | | 6,839,941 | |
| | 69,884,979 | | | Pool BF0314 | | | 3.00% | | | 01/01/2053 | | | 63,380,687 | |
| | 60,003,167 | | | Pool BF0353 | | | 3.00% | | | 05/01/2053 | | | 54,418,044 | |
| | 30,885,904 | | | Pool BF0391 | | | 3.00% | | | 09/01/2053 | | | 28,011,194 | |
| | 19,986,755 | | | Pool BK8257 | | | 1.50% | | | 12/01/2050 | | | 15,426,247 | |
| | 16,411,153 | | | Pool BK8267 | | | 2.50% | | | 12/01/2050 | | | 14,419,124 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 9,000,000 | | | Pool BL0357 | | | 3.89% | | | 10/01/2038 | | | 8,360,661 | |
| | 43,729,938 | | | Pool BL0870 | | | 4.28% | | | 12/01/2048 | | | 41,327,405 | |
| | 4,974,074 | | | Pool BL2303 | | | 3.36% | | | 05/01/2031 | | | 4,768,416 | |
| | 8,860,000 | | | Pool BL4038 | | | 2.98% | | | 09/01/2034 | | | 7,983,218 | |
| | 8,190,000 | | | Pool BL5840 | | | 2.73% | | | 02/01/2035 | | | 7,048,899 | |
| | 6,340,273 | | | Pool BL6639 | | | 2.66% | | | 05/01/2050 | | | 5,163,078 | |
| | 16,424,902 | | | Pool BL6689 | | | 2.19% | | | 05/01/2032 | | | 14,441,633 | |
| | 36,488,000 | | | Pool BL7110 | | | 1.76% | | | 07/01/2035 | | | 29,287,257 | |
| | 3,568,101 | | | Pool BL7331 | | | 2.23% | | | 07/01/2040 | | | 2,640,127 | |
| | 20,400,000 | | | Pool BL7424 | | | 1.65% | | | 08/01/2035 | | | 15,982,243 | |
| | 40,000,000 | | | Pool BL8165 | | | 1.35% | | | 09/01/2032 | | | 32,861,746 | |
| | 32,000,000 | | | Pool BL8269 | | | 1.51% | | | 09/01/2035 | | | 25,195,651 | |
| | 17,000,000 | | | Pool BL8977 | | | 1.20% | | | 11/01/2030 | | | 14,344,318 | |
| | 10,615,728 | | | Pool BL9284 | | | 2.23% | | | 12/01/2050 | | | 7,889,526 | |
| | 53,000,000 | | | Pool BL9576 | | | 2.24% | | | 12/01/2050 | | | 38,057,641 | |
| | 16,718,259 | | | Pool BM5299 | | | 3.00% | | | 12/01/2046 | | | 15,346,839 | |
| | 26,006,322 | | | Pool BM5633 | | | 3.00% | | | 07/01/2047 | | | 23,872,781 | |
| | 3,868,624 | | | Pool BM5834 | | | 3.00% | | | 04/01/2048 | | | 3,482,473 | |
| | 46,395,858 | | | Pool BM6779 | | | 2.00% | | | 08/01/2051 | | | 37,624,704 | |
| | 156,541,424 | | | Pool BM6831 | | | 1.92%(b) | | | 10/01/2033 | | | 130,685,596 | |
| | 77,072,349 | | | Pool BM6857 | | | 1.83%(b) | | | 12/01/2031 | | | 66,501,619 | |
| | 20,676,312 | | | Pool BM7154 (30 day avg SOFR US + 2.29%, 2.29% Floor, 9.73% Cap) | | | 4.73% | | | 03/01/2053 | | | 20,565,897 | |
| | 26,237,753 | | | Pool BM7164 (30 day avg SOFR US + 2.28%, 2.28% Floor, 9.55% Cap) | | | 4.55% | | | 03/01/2053 | | | 25,965,065 | |
| | 8,041,231 | | | Pool BQ6432 | | | 2.00% | | | 08/01/2051 | | | 6,521,085 | |
| | 15,929,486 | | | Pool BQ6564 | | | 2.00% | | | 09/01/2051 | | | 12,839,123 | |
| | 30,201,350 | | | Pool BR2290 (30 day avg SOFR US + 2.12%, 2.12% Floor, 7.02% Cap) | | | 2.02% | | | 08/01/2051 | | | 27,344,723 | |
| | 5,592,000 | | | Pool BS2500 | | | 1.81% | | | 06/01/2030 | | | 4,951,857 | |
| | 3,000,000 | | | Pool BS2580 | | | 2.15% | | | 08/01/2033 | | | 2,546,940 | |
| | 9,975,000 | | | Pool BS2834 | | | 2.24% | | | 08/01/2041 | | | 7,231,416 | |
| | 34,043,000 | | | Pool BS3101 | | | 1.91% | | | 09/01/2033 | | | 28,485,847 | |
| | 2,595,000 | | | Pool BS3163 | | | 1.75% | | | 08/01/2030 | | | 2,285,140 | |
| | 19,880,000 | | | Pool BS3192 | | | 2.03% | | | 09/01/2036 | | | 15,586,159 | |
| | 16,125,000 | | | Pool BS3314 | | | 1.83% | | | 10/01/2033 | | | 13,433,636 | |
| | 25,042,000 | | | Pool BS3426 | | | 1.76% | | | 11/01/2031 | | | 21,351,184 | |
| | 12,048,000 | | | Pool BS3431 | | | 1.83% | | | 11/01/2033 | | | 9,979,866 | |
| | 6,536,000 | | | Pool BS3434 | | | 1.83% | | | 11/01/2033 | | | 5,414,044 | |
| | 32,694,000 | | | Pool BS3442 | | | 2.12% | | | 10/01/2036 | | | 26,062,280 | |
| | 7,339,000 | | | Pool BS3955 | | | 2.30% | | | 12/01/2036 | | | 5,938,372 | |
| | 21,200,000 | | | Pool BS4110 | | | 2.13% | | | 01/01/2034 | | | 18,016,102 | |
| | 48,972,000 | | | Pool BS4111 | | | 1.98% | | | 01/01/2032 | | | 42,588,521 | |
| | 46,000,000 | | | Pool BS4125 | | | 2.32% | | | 12/01/2031 | | | 41,016,561 | |
| | 20,749,065 | | | Pool BS4177 | | | 1.94% | | | 12/01/2031 | | | 18,146,301 | |
| | 12,500,000 | | | Pool BS4213 | | | 2.46% | | | 12/01/2036 | | | 10,451,538 | |
| | 18,199,000 | | | Pool BS4225 | | | 2.36% | | | 01/01/2037 | | | 14,919,022 | |
| | 20,000,000 | | | Pool BS4273 | | | 1.93% | | | 12/01/2031 | | | 17,454,224 | |
| | 33,675,000 | | | Pool BS4276 | | | 2.03% | | | 01/01/2032 | | | 29,457,910 | |
| | 51,025,000 | | | Pool BS4306 | | | 1.92% | | | 01/01/2032 | | | 43,821,923 | |
| | 27,068,885 | | | Pool BS4319 | | | 2.35% | | | 01/01/2039 | | | 21,687,139 | |
| | 19,170,000 | | | Pool BS4330 | | | 1.92% | | | 01/01/2034 | | | 15,879,528 | |
| | 30,761,000 | | | Pool BS4333 | | | 1.89% | | | 01/01/2032 | | | 26,535,576 | |
| | 12,000,000 | | | Pool BS4334 | | | 2.01% | | | 01/01/2034 | | | 9,949,475 | |
| | 17,999,044 | | | Pool BS4359 | | | 1.99% | | | 01/01/2032 | | | 15,806,899 | |
| | 53,950,000 | | | Pool BS4453 | | | 1.96% | | | 01/01/2032 | | | 46,767,569 | |
| | 51,688,000 | | | Pool BS4524 | | | 2.02% | | | 01/01/2032 | | | 44,782,669 | |
| | 41,850,000 | | | Pool BS4736 | | | 2.00% | | | 02/01/2032 | | | 36,077,664 | |
| | 24,500,000 | | | Pool BS4737 | | | 2.00% | | | 02/01/2032 | | | 21,120,735 | |
| | 20,155,000 | | | Pool BS4951 | | | 2.63% | | | 04/01/2032 | | | 18,145,404 | |
| | 11,031,123 | | | Pool BS5636 | | | 3.72% | | | 06/01/2032 | | | 10,703,807 | |
| | 6,762,603 | | | Pool BS5685 | | | 4.20% | | | 05/01/2052 | | | 6,319,703 | |
| | 8,665,000 | | | Pool BS6102 | | | 4.10% | | | 08/01/2032 | | | 8,592,324 | |
| | 4,200,000 | | | Pool BS6131 | | | 3.89% | | | 07/01/2032 | | | 4,111,164 | |
| | 3,600,000 | | | Pool BS6419 | | | 3.89% | | | 09/01/2032 | | | 3,536,238 | |
| | 24,762,678 | | | Pool BS6649 | | | 3.89% | | | 10/01/2032 | | | 24,203,781 | |
| | 159,468,000 | | | Pool BS6912 | | | 4.33% | | | 12/01/2032 | | | 159,413,216 | |
| | 4,131,000 | | | Pool BS7305 | | | 5.22% | | | 01/01/2032 | | | 4,364,841 | |
| | 7,863,000 | | | Pool BS7410 | | | 5.48% | | | 01/01/2033 | | | 8,151,538 | |
| | 3,260,000 | | | Pool BS7503 | | | 4.87% | | | 04/01/2031 | | | 3,373,494 | |
| | 10,467,000 | | | Pool BS8014 | | | 4.84% | | | 03/01/2033 | | | 10,809,204 | |
| | 8,333,000 | | | Pool BS8657 | | | 5.10% | | | 06/01/2030 | | | 8,662,683 | |
| | 5,569,419 | | | Pool BS8987 | | | 5.15% | | | 07/01/2040 | | | 5,731,850 | |
| | 18,375,268 | | | Pool BS9321 | | | 5.27% | | | 08/01/2040 | | | 19,433,752 | |
| | 1,552,012 | | | Pool BT6556 | | | 2.00% | | | 07/01/2051 | | | 1,250,906 | |
| | 10,197,207 | | | Pool BV8021 | | | 4.50% | | | 08/01/2052 | | | 10,037,804 | |
| | 17,809,920 | | | Pool BV8479 | | | 3.00% | | | 04/01/2052 | | | 16,159,581 | |
| | 34,012,695 | | | Pool BV9869 | | | 3.00% | | | 05/01/2052 | | | 30,546,596 | |
| | 10,550,000 | | | Pool BZ0079 | | | 5.21% | | | 01/01/2034 | | | 11,253,104 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 27
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 77,485,000 | | | Pool BZ0107 | | | 4.94% | | | 12/01/2033 | | | 81,173,291 | |
| | 27,755,000 | | | Pool BZ0115 | | | 5.27% | | | 12/01/2033 | | | 29,677,788 | |
| | 14,016,000 | | | Pool BZ0452 | | | 5.36% | | | 02/01/2054 | | | 15,511,527 | |
| | 125,103,000 | | | Pool BZ1178 | | | 5.81% | | | 06/01/2031 | | | 132,096,236 | |
| | 7,272,962 | | | Pool CA0862 | | | 3.50% | | | 09/01/2047 | | | 6,866,060 | |
| | 4,689,480 | | | Pool CA3898 | | | 3.00% | | | 07/01/2034 | | | 4,540,986 | |
| | 4,071,337 | | | Pool CA4413 | | | 3.00% | | | 10/01/2049 | | | 3,644,674 | |
| | 34,675,176 | | | Pool CA7235 | | | 2.50% | | | 10/01/2050 | | | 30,423,271 | |
| | 11,239,419 | | | Pool CA7671 | | | 2.50% | | | 11/01/2040 | | | 10,212,138 | |
| | 20,094,296 | | | Pool CA7789 | | | 2.50% | | | 11/01/2040 | | | 18,249,576 | |
| | 15,221,663 | | | Pool CB0189 | | | 3.00% | | | 04/01/2051 | | | 13,797,914 | |
| | 13,826,292 | | | Pool CB1055 (30 day avg SOFR US + 2.21%, 2.21% Floor, 6.86% Cap) | | | 1.86% | | | 07/01/2051 | | | 12,449,751 | |
| | 2,901,616 | | | Pool CB1648 | | | 2.00% | | | 09/01/2051 | | | 2,353,085 | |
| | 67,243,767 | | | Pool CB3116 | | | 3.00% | | | 03/01/2052 | | | 61,022,650 | |
| | 61,501,994 | | | Pool CB3166 | | | 3.00% | | | 03/01/2052 | | | 55,599,921 | |
| | 12,942,621 | | | Pool CB3332 | | | 3.50% | | | 04/01/2052 | | | 12,169,557 | |
| | 86,765,207 | | | Pool CB4291 | | | 5.00% | | | 08/01/2052 | | | 86,940,339 | |
| | 46,397,247 | | | Pool CB4347 | | | 5.00% | | | 08/01/2052 | | | 47,532,376 | |
| | 51,163,418 | | | Pool CB4391 | | | 4.50% | | | 08/01/2052 | | | 50,377,870 | |
| | 62,883,902 | | | Pool CB5221 | | | 5.00% | | | 12/01/2052 | | | 62,992,997 | |
| | 18,906,660 | | | Pool CB6266 | | | 6.00% | | | 05/01/2053 | | | 19,517,160 | |
| | 38,096,271 | | | Pool CB7272 | | | 6.00% | | | 10/01/2053 | | | 39,390,197 | |
| | 17,409,624 | | | Pool CB7433 | | | 5.50% | | | 11/01/2053 | | | 17,912,826 | |
| | 30,319,406 | | | Pool CB7781 | | | 5.50% | | | 01/01/2054 | | | 30,733,433 | |
| | 47,361,631 | | | Pool CB7996 | | | 6.00% | | | 02/01/2054 | | | 49,068,108 | |
| | 41,566,072 | | | Pool CB8138 | | | 5.50% | | | 03/01/2054 | | | 42,575,059 | |
| | 37,651,927 | | | Pool CB8501 | | | 6.00% | | | 05/01/2054 | | | 39,522,213 | |
| | 52,536,714 | | | Pool CB8692 | | | 5.50% | | | 06/01/2054 | | | 53,988,735 | |
| | 72,644,788 | | | Pool CB8845 | | | 5.50% | | | 07/01/2054 | | | 74,652,565 | |
| | 69,649,270 | | | Pool CB8851 | | | 6.00% | | | 07/01/2054 | | | 72,164,221 | |
| | 56,132,933 | | | Pool CB8986 | | | 5.50% | | | 08/01/2054 | | | 57,701,714 | |
| | 53,275,111 | | | Pool CB9138 | | | 5.50% | | | 09/01/2054 | | | 54,648,909 | |
| | 27,563,955 | | | Pool CB9139 | | | 5.50% | | | 09/01/2054 | | | 28,194,406 | |
| | 102,108,439 | | | Pool CB9147 | | | 5.50% | | | 09/01/2054 | | | 104,930,623 | |
| | 43,027,279 | | | Pool FM1000 | | | 3.00% | | | 04/01/2047 | | | 39,497,643 | |
| | 22,431,303 | | | Pool FM4347 | | | 2.50% | | | 09/01/2050 | | | 19,623,075 | |
| | 40,318,326 | | | Pool FM4752 | | | 2.50% | | | 11/01/2050 | | | 35,480,461 | |
| | 44,406,122 | | | Pool FM4792 | | | 2.50% | | | 11/01/2050 | | | 38,961,065 | |
| | 24,907,159 | | | Pool FM4913 | | | 2.50% | | | 11/01/2050 | | | 21,865,876 | |
| | 32,010,074 | | | Pool FM5150 | | | 2.00% | | | 12/01/2050 | | | 26,865,530 | |
| | 4,838,707 | | | Pool FM6864 | | | 1.50% | | | 04/01/2041 | | | 4,080,627 | |
| | 59,574,006 | | | Pool FM7557 | | | 3.50% | | | 03/01/2050 | | | 56,492,362 | |
| | 26,524,939 | | | Pool FM8158 | | | 2.50% | | | 07/01/2051 | | | 23,488,745 | |
| | 60,084,564 | | | Pool FM8215 | | | 2.50% | | | 03/01/2051 | | | 52,835,263 | |
| | 43,857,619 | | | Pool FM8304 | | | 4.00% | | | 07/01/2049 | | | 42,678,427 | |
| | 57,869,007 | | | Pool FM8435 | | | 2.50% | | | 09/01/2051 | | | 50,890,732 | |
| | 105,017,706 | | | Pool FM8533 | | | 2.50% | | | 03/01/2051 | | | 92,631,157 | |
| | 65,524,513 | | | Pool FM8769 | | | 2.50% | | | 09/01/2051 | | | 57,613,650 | |
| | 34,848,360 | | | Pool FM8780 | | | 2.50% | | | 09/01/2051 | | | 30,493,919 | |
| | 9,822,382 | | | Pool FM9422 | | | 2.00% | | | 01/01/2051 | | | 8,194,230 | |
| | 28,024,755 | | | Pool FM9490 | | | 2.00% | | | 11/01/2051 | | | 23,641,143 | |
| | 36,324,982 | | | Pool FP0043 | | | 2.00% | | | 10/01/2050 | | | 30,292,214 | |
| | 30,739,100 | | | Pool FP0088 | | | 2.00% | | | 10/01/2051 | | | 25,586,204 | |
| | 11,688,336 | | | Pool FP0107 | | | 3.50% | | | 06/01/2047 | | | 11,172,276 | |
| | 33,381,005 | | | Pool FS0009 | | | 3.50% | | | 11/01/2051 | | | 31,249,417 | |
| | 12,979,960 | | | Pool FS0400 | | | 3.00% | | | 01/01/2052 | | | 11,847,315 | |
| | 50,458,086 | | | Pool FS1472 | | | 3.50% | | | 11/01/2050 | | | 47,633,508 | |
| | 81,050,445 | | | Pool FS2320 | | | 2.50% | | | 04/01/2051 | | | 70,509,729 | |
| | 15,957,072 | | | Pool FS2588 | | | 4.50% | | | 08/01/2052 | | | 15,712,069 | |
| | 15,368,881 | | | Pool FS2837 | | | 4.00% | | | 09/01/2052 | | | 14,787,418 | |
| | 15,407,322 | | | Pool FS5618 | | | 5.50% | | | 08/01/2053 | | | 16,031,220 | |
| | 48,426,638 | | | Pool FS5987 | | | 2.50% | | | 04/01/2051 | | | 42,715,141 | |
| | 35,878,209 | | | Pool FS6232 | | | 2.00% | | | 03/01/2052 | | | 30,211,885 | |
| | 16,620,209 | | | Pool FS6422 | | | 6.00% | | | 11/01/2053 | | | 17,448,304 | |
| | 66,228,847 | | | Pool FS6582 | | | 6.00% | | | 12/01/2053 | | | 68,663,905 | |
| | 23,692,414 | | | Pool FS6843 | | | 6.00% | | | 01/01/2054 | | | 24,599,650 | |
| | 47,739,705 | | | Pool FS7114 | | | 5.50% | | | 02/01/2054 | | | 49,066,268 | |
| | 21,643,661 | | | Pool FS7423 | | | 5.50% | | | 03/01/2054 | | | 22,109,266 | |
| | 33,118,222 | | | Pool FS8152 | | | 6.00% | | | 06/01/2054 | | | 34,180,684 | |
| | 48,583,655 | | | Pool FS8366 | | | 6.00% | | | 06/01/2054 | | | 50,996,892 | |
| | 27,742,725 | | | Pool FS8643 | | | 6.00% | | | 07/01/2054 | | | 28,763,607 | |
| | 15,304,000 | | | Pool FS9026 | | | 5.50% | | | 09/01/2053 | | | 15,681,784 | |
| | 512,714 | | | Pool MA0264 | | | 4.50% | | | 12/01/2029 | | | 515,439 | |
| | 1,847,852 | | | Pool MA0353 | | | 4.50% | | | 03/01/2030 | | | 1,858,375 | |
| | 377,031 | | | Pool MA0406 | | | 4.50% | | | 05/01/2030 | | | 379,213 | |
| | 34,560 | | | Pool MA0445 | | | 5.00% | | | 06/01/2040 | | | 34,411 | |
| | 67,126 | | | Pool MA0468 | | | 5.00% | | | 07/01/2040 | | | 66,683 | |
| | 586,886 | | | Pool MA0534 | | | 4.00% | | | 10/01/2030 | | | 584,831 | |
| | 134,328 | | | Pool MA0587 | | | 4.00% | | | 12/01/2030 | | | 133,829 | |
| | 3,477,987 | | | Pool MA0616 | | | 4.00% | | | 01/01/2031 | | | 3,464,128 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 980,070 | | | Pool MA0896 | | | 4.00% | | | 11/01/2041 | | | 952,126 | |
| | 11,788,011 | | | Pool MA0949 | | | 3.50% | | | 01/01/2032 | | | 11,581,822 | |
| | 7,054,022 | | | Pool MA1010 | | | 3.50% | | | 03/01/2032 | | | 6,930,495 | |
| | 1,641,247 | | | Pool MA1039 | | | 3.50% | | | 04/01/2042 | | | 1,555,004 | |
| | 9,458,765 | | | Pool MA1059 | | | 3.50% | | | 05/01/2032 | | | 9,295,385 | |
| | 1,052,640 | | | Pool MA1068 | | | 3.50% | | | 05/01/2042 | | | 997,319 | |
| | 2,988,005 | | | Pool MA1093 | | | 3.50% | | | 06/01/2042 | | | 2,830,953 | |
| | 1,864,290 | | | Pool MA1094 | | | 4.00% | | | 06/01/2042 | | | 1,811,129 | |
| | 13,011,976 | | | Pool MA1107 | | | 3.50% | | | 07/01/2032 | | | 12,789,310 | |
| | 25,374,911 | | | Pool MA1117 | | | 3.50% | | | 07/01/2042 | | | 24,041,084 | |
| | 26,553,651 | | | Pool MA1136 | | | 3.50% | | | 08/01/2042 | | | 25,158,024 | |
| | 9,124,770 | | | Pool MA1138 | | | 3.50% | | | 08/01/2032 | | | 8,953,668 | |
| | 7,875,095 | | | Pool MA1179 | | | 3.50% | | | 09/01/2042 | | | 7,462,815 | |
| | 1,761,383 | | | Pool MA1201 | | | 3.50% | | | 10/01/2032 | | | 1,731,450 | |
| | 13,138,209 | | | Pool MA1209 | | | 3.50% | | | 10/01/2042 | | | 12,447,599 | |
| | 11,773,143 | | | Pool MA1237 | | | 3.00% | | | 11/01/2032 | | | 11,316,053 | |
| | 1,258,589 | | | Pool MA1242 | | | 3.50% | | | 11/01/2042 | | | 1,192,431 | |
| | 6,699,965 | | | Pool MA1338 | | | 3.00% | | | 02/01/2033 | | | 6,467,482 | |
| | 3,660,972 | | | Pool MA1490 | | | 3.00% | | | 07/01/2033 | | | 3,524,944 | |
| | 4,515,971 | | | Pool MA2114 | | | 3.50% | | | 12/01/2044 | | | 4,267,279 | |
| | 3,299,985 | | | Pool MA2151 | | | 3.50% | | | 01/01/2045 | | | 3,118,508 | |
| | 11,131,552 | | | Pool MA2164 | | | 3.50% | | | 02/01/2035 | | | 10,884,565 | |
| | 9,566,145 | | | Pool MA2166 | | | 3.50% | | | 02/01/2045 | | | 9,004,569 | |
| | 9,813,969 | | | Pool MA2248 | | | 3.00% | | | 04/01/2045 | | | 8,859,020 | |
| | 12,588,901 | | | Pool MA2621 | | | 3.50% | | | 05/01/2046 | | | 11,785,496 | |
| | 15,113,911 | | | Pool MA2649 | | | 3.00% | | | 06/01/2046 | | | 13,642,856 | |
| | 13,881,137 | | | Pool MA2650 | | | 3.50% | | | 06/01/2046 | | | 12,995,349 | |
| | 4,518,985 | | | Pool MA2673 | | | 3.00% | | | 07/01/2046 | | | 4,079,146 | |
| | 16,579,938 | | | Pool MA2711 | | | 3.00% | | | 08/01/2046 | | | 14,966,220 | |
| | 1,611,891 | | | Pool MA2743 | | | 3.00% | | | 09/01/2046 | | | 1,454,998 | |
| | 37,150,413 | | | Pool MA2806 | | | 3.00% | | | 11/01/2046 | | | 34,033,080 | |
| | 11,959,834 | | | Pool MA2833 | | | 3.00% | | | 12/01/2046 | | | 10,978,741 | |
| | 15,205,912 | | | Pool MA2895 | | | 3.00% | | | 02/01/2047 | | | 13,981,953 | |
| | 6,737,322 | | | Pool MA3357 | | | 4.00% | | | 05/01/2048 | | | 6,555,867 | |
| | 8,768,964 | | | Pool MA3614 | | | 3.50% | | | 03/01/2049 | | | 8,278,148 | |
| | 1,722,158 | | | Pool MA3894 | | | 4.00% | | | 09/01/2031 | | | 1,715,610 | |
| | 33,781,911 | | | Pool MA4100 | | | 2.00% | | | 08/01/2050 | | | 28,192,725 | |
| | 72,914,006 | | | Pool MA4191 | | | 2.00% | | | 11/01/2050 | | | 58,949,645 | |
| | 88,202,819 | | | Pool MA4306 | | | 2.50% | | | 04/01/2051 | | | 76,766,595 | |
| | 226,189 | | | Series 2002-70-QZ | | | 5.50% | | | 11/25/2032 | | | 234,528 | |
| | 339,717 | | | Series 2002-75-ZG | | | 5.50% | | | 11/25/2032 | | | 351,555 | |
| | 834,611 | | | Series 2003-29-ZL | | | 5.00% | | | 04/25/2033 | | | 854,064 | |
| | 409,635 | | | Series 2003-64-ZG | | | 5.50% | | | 07/25/2033 | | | 425,407 | |
| | 3,385,666 | | | Series 2003-84-PZ | | | 5.00% | | | 09/25/2033 | | | 3,470,584 | |
| | 321,206 | | | Series 2004-46-PJ (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 03/25/2034 | | | 5,538 | |
| | 988,986 | | | Series 2004-51-XP (-1 x 30 day avg SOFR US + 7.59%, 0.00% Floor, 7.70% Cap) | | | 2.31%(f)(g) | | | 07/25/2034 | | | 113,839 | |
| | 9,827 | | | Series 2005-107-EG | | | 4.50% | | | 01/25/2026 | | | 9,772 | |
| | 191,198 | | | Series 2005-37-ZK | | | 4.50% | | | 05/25/2035 | | | 188,585 | |
| | 1,683,486 | | | Series 2005-87-SG (-1 x 30 day avg SOFR US + 6.59%, 0.00% Floor, 6.70% Cap) | | | 1.31%(f)(g) | | | 10/25/2035 | | | 160,628 | |
| | 1,565,093 | | | Series 2006-101-SA (-1 x 30 day avg SOFR US + 6.47%, 0.00% Floor, 6.58% Cap) | | | 1.19%(f)(g) | | | 10/25/2036 | | | 186,159 | |
| | 629,033 | | | Series 2006-123-LI (-1 x 30 day avg SOFR US + 6.21%, 0.00% Floor, 6.32% Cap) | | | 0.93%(f)(g) | | | 01/25/2037 | | | 74,758 | |
| | 242,989 | | | Series 2006-16-HZ | | | 5.50% | | | 03/25/2036 | | | 255,352 | |
| | 2,331,832 | | | Series 2006-56-SM (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap) | | | 1.36%(f)(g) | | | 07/25/2036 | | | 217,735 | |
| | 236,053 | | | Series 2006-93-SN (-1 x 30 day avg SOFR US + 6.49%, 0.00% Floor, 6.60% Cap) | | | 1.21%(f)(g) | | | 10/25/2036 | | | 19,588 | |
| | 3,191,662 | | | Series 2007-109-VZ | | | 5.00% | | | 10/25/2035 | | | 3,271,575 | |
| | 388,360 | | | Series 2007-116-BI (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap) | | | 0.86%(f)(g) | | | 05/25/2037 | | | 31,996 | |
| | 2,650,752 | | | Series 2007-14-PS (-1 x 30 day avg SOFR US + 6.70%, 0.00% Floor, 6.81% Cap) | | | 1.42%(f)(g) | | | 03/25/2037 | | | 311,318 | |
| | 1,203,143 | | | Series 2007-30-OI (-1 x 30 day avg SOFR US + 6.33%, 0.00% Floor, 6.44% Cap) | | | 1.05%(f)(g) | | | 04/25/2037 | | | 144,960 | |
| | 129,704 | | | Series 2007-30-SI (-1 x 30 day avg SOFR US + 6.00%, 0.00% Floor, 6.11% Cap) | | | 0.72%(f)(g) | | | 04/25/2037 | | | 10,298 | |
| | 1,062,968 | | | Series 2007-32-SG (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap) | | | 0.71%(f)(g) | | | 04/25/2037 | | | 95,164 | |
| | | | | | | | | | | | | | | |
28
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 990,592 | | | Series 2007-57-SX (-1 x 30 day avg SOFR US + 6.51%, 0.00% Floor, 6.62% Cap) | | | 1.23%(f)(g) | | | 10/25/2036 | | | 110,164 | |
| | 1,730,525 | | | Series 2007-60-VZ | | | 6.00% | | | 07/25/2037 | | | 1,844,910 | |
| | 923,063 | | | Series 2007-71-GZ | | | 6.00% | | | 07/25/2047 | | | 990,634 | |
| | 1,280,940 | | | Series 2007-75-ID (-1 x 30 day avg SOFR US + 5.76%, 0.00% Floor, 5.87% Cap) | | | 0.48%(f)(g) | | | 08/25/2037 | | | 143,313 | |
| | 178,106 | | | Series 2007-9-SD (-1 x 30 day avg SOFR US + 6.54%, 0.00% Floor, 6.65% Cap) | | | 1.26%(f)(g) | | | 03/25/2037 | | | 12,701 | |
| | 1,297,203 | | | Series 2008-29-ZA | | | 4.50% | | | 04/25/2038 | | | 1,308,509 | |
| | 2,574,394 | | | Series 2008-48-BE | | | 5.00% | | | 06/25/2034 | | | 2,640,856 | |
| | 251,663 | | | Series 2008-48-SD (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 06/25/2037 | | | 21,449 | |
| | 319,070 | | | Series 2008-5-MS (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap) | | | 0.86%(f)(g) | | | 02/25/2038 | | | 25,356 | |
| | 103,655 | | | Series 2008-53-LI (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) | | | 0.76%(f)(g) | | | 07/25/2038 | | | 9,410 | |
| | 249,881 | | | Series 2008-57-SE (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 02/25/2037 | | | 20,022 | |
| | 284,526 | | | Series 2008-61-SC (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 07/25/2038 | | | 22,378 | |
| | 186,212 | | | Series 2008-62-SC (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 07/25/2038 | | | 13,377 | |
| | 675,291 | | | Series 2008-65-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 08/25/2038 | | | 70,781 | |
| | 149,112 | | | Series 2008-81-LP | | | 5.50% | | | 09/25/2038 | | | 154,041 | |
| | 1,608,334 | | | Series 2009-106-EZ | | | 4.50% | | | 01/25/2040 | | | 1,626,458 | |
| | 232,714 | | | Series 2009-111-SE (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap) | | | 0.86%(f)(g) | | | 01/25/2040 | | | 27,605 | |
| | 135,588 | | | Series 2009-16-MZ | | | 5.00% | | | 03/25/2029 | | | 135,238 | |
| | 664,822 | | | Series 2009-42-SI (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 06/25/2039 | | | 51,179 | |
| | 524,133 | | | Series 2009-42-SX (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 06/25/2039 | | | 50,590 | |
| | 233,463 | | | Series 2009-47-SA (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap) | | | 0.71%(f)(g) | | | 07/25/2039 | | | 15,855 | |
| | 166,814 | | | Series 2009-48-WS (-1 x 30 day avg SOFR US + 5.84%, 0.00% Floor, 5.95% Cap) | | | 0.56%(f)(g) | | | 07/25/2039 | | | 16,274 | |
| | 1,790,839 | | | Series 2009-49-S (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap) | | | 1.36%(f)(g) | | | 07/25/2039 | | | 185,729 | |
| | 206,518 | | | Series 2009-51-BZ | | | 4.50% | | | 07/25/2039 | | | 206,610 | |
| | 497,655 | | | Series 2009-54-EZ | | | 5.00% | | | 07/25/2039 | | | 508,612 | |
| | 210,713 | | | Series 2009-70-SA (-1 x 30 day avg SOFR US + 5.69%, 0.00% Floor, 5.80% Cap) | | | 0.41%(f)(g) | | | 09/25/2039 | | | 23,424 | |
| | 1,138,565 | | | Series 2009-80-PM | | | 4.50% | | | 10/25/2039 | | | 1,129,800 | |
| | 1,058,691 | | | Series 2009-83-Z | | | 4.50% | | | 10/25/2039 | | | 1,058,484 | |
| | 4,070,120 | | | Series 2009-85-ES (-1 x 30 day avg SOFR US + 7.12%, 0.00% Floor, 7.23% Cap) | | | 1.84%(f)(g) | | | 01/25/2036 | | | 406,381 | |
| | 6,994,030 | | | Series 2009-85-JS (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap) | | | 1.36%(f)(g) | | | 10/25/2039 | | | 941,611 | |
| | 390,051 | | | Series 2009-90-IB (-1 x 30 day avg SOFR US + 5.61%, 0.00% Floor, 5.72% Cap) | | | 0.33%(f)(g) | | | 04/25/2037 | | | 27,791 | |
| | 159,518 | | | Series 2009-94-BC | | | 5.00% | | | 11/25/2039 | | | 164,708 | |
| | 1,739,775 | | | Series 2010-10-SA (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap) | | | 0.96%(f)(g) | | | 02/25/2040 | | | 190,821 | |
| | 574,795 | | | Series 2010-10-ZA | | | 4.50% | | | 02/25/2040 | | | 574,630 | |
| | 5,183,287 | | | Series 2010-101-SA (-1 x 30 day avg SOFR US + 4.37%, 0.00% Floor, 4.48% Cap) | | | 0.00%(f)(g) | | | 09/25/2040 | | | 251,415 | |
| | 2,683,170 | | | Series 2010-101-ZC | | | 4.50% | | | 09/25/2040 | | | 2,681,042 | |
| | 702,210 | | | Series 2010-111-S (-1 x 30 day avg SOFR US + 5.84%, 0.00% Floor, 5.95% Cap) | | | 0.56%(f)(g) | | | 10/25/2050 | | | 75,769 | |
| | 938,723 | | | Series 2010-116-Z | | | 4.00% | | | 10/25/2040 | | | 915,327 | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 218,057 | | | Series 2010-117-SA (-1 x 30 day avg SOFR US + 4.39%, 0.00% Floor, 4.50% Cap) | | | 0.00%(f)(g) | | | 10/25/2040 | | | 10,088 | |
| | 690,827 | | | Series 2010-120-KD | | | 4.00% | | | 10/25/2040 | | | 673,590 | |
| | 5,758,192 | | | Series 2010-121-SD (-1 x 30 day avg SOFR US + 4.39%, 0.00% Floor, 4.50% Cap) | | | 0.00%(f)(g) | | | 10/25/2040 | | | 250,281 | |
| | 242,685 | | | Series 2010-126-SU (-11 x 30 day avg SOFR US + 53.74%, 0.00% Floor, 55.00% Cap) | | | 0.00%(g) | | | 11/25/2040 | | | 330,090 | |
| | 178,693 | | | Series 2010-126-SX (-3 x 30 day avg SOFR US + 14.66%, 0.00% Floor, 15.00% Cap) | | | 0.00%(g) | | | 11/25/2040 | | | 174,118 | |
| | 974,329 | | | Series 2010-128-HZ | | | 4.00% | | | 11/25/2040 | | | 949,611 | |
| | 539,618 | | | Series 2010-132-Z | | | 4.50% | | | 11/25/2040 | | | 538,981 | |
| | 81,200 | | | Series 2010-137-VS (-3 x 30 day avg SOFR US + 14.66%, 0.00% Floor, 15.00% Cap) | | | 0.00%(g) | | | 12/25/2040 | | | 81,360 | |
| | 4,012,118 | | | Series 2010-142-AZ | | | 4.00% | | | 12/25/2040 | | | 3,918,117 | |
| | 358,557 | | | Series 2010-148-SA (-1 x 30 day avg SOFR US + 6.54%, 0.00% Floor, 6.65% Cap) | | | 1.26%(f)(g) | | | 01/25/2026 | | | 2,171 | |
| | 2,902,430 | | | Series 2010-16-SA (-1 x 30 day avg SOFR US + 5.34%, 0.00% Floor, 5.45% Cap) | | | 0.06%(f)(g) | | | 03/25/2040 | | | 291,617 | |
| | 739,412 | | | Series 2010-2-MS (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap) | | | 0.86%(f)(g) | | | 02/25/2050 | | | 100,065 | |
| | 1,121,577 | | | Series 2010-21-DZ | | | 5.00% | | | 03/25/2040 | | | 1,157,118 | |
| | 495,210 | | | Series 2010-21-KS (-1 x 30 day avg SOFR US + 4.84%, 0.00% Floor, 4.95% Cap) | | | 0.00%(f)(g) | | | 03/25/2040 | | | 19,769 | |
| | 577,985 | | | Series 2010-31-SA (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.00%(f)(g) | | | 04/25/2040 | | | 32,785 | |
| | 628,221 | | | Series 2010-34-PS (-1 x 30 day avg SOFR US + 4.82%, 0.00% Floor, 4.93% Cap) | | | 0.00%(f)(g) | | | 04/25/2040 | | | 28,916 | |
| | 166,022 | | | Series 2010-35-ES (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap) | | | 1.06%(f)(g) | | | 04/25/2040 | | | 6,235 | |
| | 72,658 | | | Series 2010-35-SV (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap) | | | 1.06%(f)(g) | | | 04/25/2040 | | | 1,710 | |
| | 691,353 | | | Series 2010-4-SK (-1 x 30 day avg SOFR US + 6.12%, 0.00% Floor, 6.23% Cap) | | | 0.84%(f)(g) | | | 02/25/2040 | | | 59,579 | |
| | 514,182 | | | Series 2010-46-MS (-1 x 30 day avg SOFR US + 4.84%, 0.00% Floor, 4.95% Cap) | | | 0.00%(f)(g) | | | 05/25/2040 | | | 29,762 | |
| | 3,393,997 | | | Series 2010-49-ZW | | | 4.50% | | | 05/25/2040 | | | 3,431,424 | |
| | 282,581 | | | Series 2010-58-ES (-3 x 30 day avg SOFR US + 12.18%, 0.00% Floor, 12.47% Cap) | | | 0.00%(g) | | | 06/25/2040 | | | 275,590 | |
| | 2,042,855 | | | Series 2010-59-MS (-1 x 30 day avg SOFR US + 5.66%, 0.00% Floor, 5.77% Cap) | | | 0.38%(f)(g) | | | 06/25/2040 | | | 195,823 | |
| | 2,550,025 | | | Series 2010-59-SC (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.00%(f)(g) | | | 01/25/2040 | | | 108,795 | |
| | 168,890 | | | Series 2010-60-VZ | | | 5.00% | | | 10/25/2039 | | | 172,012 | |
| | 174,687 | | | Series 2010-61-EL | | | 4.50% | | | 06/25/2040 | | | 173,337 | |
| | 2,443,498 | | | Series 2010-64-EZ | | | 5.00% | | | 06/25/2040 | | | 2,519,087 | |
| | 5,828,046 | | | Series 2010-64-FC (30 day avg SOFR US + 0.61%, 0.50% Floor, 7.00% Cap) | | | 5.89% | | | 06/25/2040 | | | 5,806,411 | |
| | 1,624,309 | | | Series 2010-79-CZ | | | 4.00% | | | 07/25/2040 | | | 1,587,297 | |
| | 850,300 | | | Series 2010-84-ZC | | | 4.50% | | | 08/25/2040 | | | 849,953 | |
| | 1,700,596 | | | Series 2010-84-ZD | | | 4.50% | | | 08/25/2040 | | | 1,699,902 | |
| | 2,207,290 | | | Series 2010-84-ZG | | | 4.50% | | | 08/25/2040 | | | 2,206,148 | |
| | 363,685 | | | Series 2010-9-DS (-1 x 30 day avg SOFR US + 5.19%, 0.50% Floor, 5.30% Cap) | | | 0.50%(f)(g) | | | 02/25/2040 | | | 23,295 | |
| | 170,097 | | | Series 2010-90-SA (-1 x 30 day avg SOFR US + 5.74%, 0.00% Floor, 5.85% Cap) | | | 0.46%(f)(g) | | | 08/25/2040 | | | 14,666 | |
| | 672,683 | | | Series 2010-94-Z | | | 4.50% | | | 08/25/2040 | | | 672,493 | |
| | 3,145,180 | | | Series 2010-99-SG (-5 x 30 day avg SOFR US + 24.43%, 0.00% Floor, 25.00% Cap) | | | 0.00%(g) | | | 09/25/2040 | | | 3,503,976 | |
| | 520,021 | | | Series 2011-110-LS (-2 x 30 day avg SOFR US + 9.87%, 0.00% Floor, 10.10% Cap) | | | 0.00%(g) | | | 11/25/2041 | | | 445,480 | |
| | 1,449,572 | | | Series 2011-111-CZ | | | 4.00% | | | 11/25/2041 | | | 1,412,202 | |
| | 3,486,009 | | | Series 2011-111-EZ | | | 5.00% | | | 11/25/2041 | | | 3,579,257 | |
| | 826,392 | | | Series 2011-111-VZ | | | 4.00% | | | 11/25/2041 | | | 804,812 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 29
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 201,118 | | | Series 2011-17-SA (-1 x 30 day avg SOFR US + 6.36%, 0.00% Floor, 6.47% Cap) | | | 1.08%(f)(g) | | | 03/25/2041 | | | 15,081 | |
| | 2,798,818 | | | Series 2011-2-GZ | | | 4.00% | | | 02/25/2041 | | | 2,737,478 | |
| | 586,085 | | | Series 2011-25-KY | | | 3.00% | | | 04/25/2026 | | | 579,091 | |
| | 1,261,223 | | | Series 2011-27-BS (-2 x 30 day avg SOFR US + 8.77%, 0.00% Floor, 9.00% Cap) | | | 0.00%(g) | | | 04/25/2041 | | | 1,119,344 | |
| | 1,151,167 | | | Series 2011-36-VZ | | | 4.50% | | | 05/25/2041 | | | 1,150,144 | |
| | 3,016,326 | | | Series 2011-37-Z | | | 4.50% | | | 05/25/2041 | | | 3,015,703 | |
| | 4,282,027 | | | Series 2011-38-BZ | | | 4.00% | | | 05/25/2041 | | | 4,243,303 | |
| | 539,436 | | | Series 2011-39-CB | | | 3.00% | | | 05/25/2026 | | | 532,709 | |
| | 3,340,914 | | | Series 2011-39-ZD | | | 4.00% | | | 02/25/2041 | | | 3,259,765 | |
| | 1,068,269 | | | Series 2011-40-LZ | | | 4.50% | | | 05/25/2041 | | | 1,067,286 | |
| | 1,268,969 | | | Series 2011-42-MZ | | | 4.50% | | | 05/25/2041 | | | 1,267,607 | |
| | 2,649,219 | | | Series 2011-45-ZB | | | 4.50% | | | 05/25/2041 | | | 2,646,851 | |
| | 8,648,442 | | | Series 2011-51-FJ (30 day avg SOFR US + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.84% | | | 06/25/2041 | | | 8,590,177 | |
| | 603,047 | | | Series 2011-59-MA | | | 4.50% | | | 07/25/2041 | | | 608,324 | |
| | 915,697 | | | Series 2011-60-EL | | | 3.00% | | | 07/25/2026 | | | 904,802 | |
| | 5,395,600 | | | Series 2011-64-DB | | | 4.00% | | | 07/25/2041 | | | 5,335,026 | |
| | 3,548,492 | | | Series 2011-77-Z | | | 3.50% | | | 08/25/2041 | | | 3,379,737 | |
| | 1,794,125 | | | Series 2012-111-LB | | | 3.50% | | | 05/25/2041 | | | 1,736,906 | |
| | 13,667,263 | | | Series 2012-111-MJ | | | 4.00% | | | 04/25/2042 | | | 13,214,943 | |
| | 14,217,655 | | | Series 2012-122-DB | | | 3.00% | | | 11/25/2042 | | | 13,157,989 | |
| | 3,743,783 | | | Series 2012-14-BZ | | | 4.00% | | | 03/25/2042 | | | 3,669,067 | |
| | 8,483,306 | | | Series 2012-20-ZT | | | 3.50% | | | 03/25/2042 | | | 8,144,473 | |
| | 6,835,013 | | | Series 2012-70-FY (30 day avg SOFR US + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.84% | | | 07/25/2042 | | | 6,786,051 | |
| | 77,860 | | | Series 2012-80-EA | | | 2.00% | | | 04/25/2042 | | | 76,638 | |
| | 16,491,393 | | | Series 2012-86-ZC | | | 3.50% | | | 08/25/2042 | | | 15,695,821 | |
| | 12,673,358 | | | Series 2012-99-QE | | | 3.00% | | | 09/25/2042 | | | 11,679,894 | |
| | 18,956,398 | | | Series 2013-130-ZE | | | 3.00% | | | 01/25/2044 | | | 17,248,104 | |
| | 26,709,717 | | | Series 2013-133-ZT | | | 3.00% | | | 01/25/2039 | | | 25,453,823 | |
| | 5,692,246 | | | Series 2013-51-HS (-1 x 30 day avg SOFR US + 5.26%, 0.00% Floor, 5.40% Cap) | | | 0.00%(g) | | | 04/25/2043 | | | 4,192,520 | |
| | 994,109 | | | Series 2013-58-SC (-2 x 30 day avg SOFR US + 5.83%, 0.00% Floor, 6.00% Cap) | | | 0.00%(g) | | | 06/25/2043 | | | 599,273 | |
| | 1,832,040 | | | Series 2013-81-ZQ | | | 3.00%(h) | | | 08/25/2043 | | | 1,345,933 | |
| | 5,424,932 | | | Series 2013-82-SH (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.66%(f)(g) | | | 12/25/2042 | | | 425,604 | |
| | 12,356,894 | | | Series 2014-21-GZ | | | 3.00% | | | 04/25/2044 | | | 11,245,824 | |
| | 112,540 | | | Series 2014-46-NZ | | | 3.00%(h) | | | 06/25/2043 | | | 82,796 | |
| | 40,737,658 | | | Series 2014-64-NZ | | | 3.00%(h) | | | 10/25/2044 | | | 37,092,848 | |
| | 14,344,474 | | | Series 2014-67-DZ | | | 3.00%(h) | | | 10/25/2044 | | | 13,147,249 | |
| | 25,886,752 | | | Series 2014-77-VZ | | | 3.00%(h) | | | 11/25/2044 | | | 23,615,661 | |
| | 33,245,386 | | | Series 2014-84-KZ | | | 3.00%(h) | | | 12/25/2044 | | | 30,238,391 | |
| | 3,931,800 | | | Series 2015-11-A | | | 3.00% | | | 05/25/2034 | | | 3,856,914 | |
| | 477,304 | | | Series 2015-21-G | | | 3.00% | | | 02/25/2042 | | | 475,311 | |
| | 17,946,476 | | | Series 2015-49-A | | | 3.00% | | | 03/25/2044 | | | 17,245,965 | |
| | 10,905,263 | | | Series 2015-52-GZ | | | 3.00% | | | 07/25/2045 | | | 10,011,375 | |
| | 34,270,969 | | | Series 2015-88-BA | | | 3.00% | | | 04/25/2044 | | | 33,090,779 | |
| | 2,530,182 | | | Series 2015-94-MA | | | 3.00% | | | 01/25/2046 | | | 2,297,099 | |
| | 8,290,859 | | | Series 2016-2-JA | | | 2.50% | | | 02/25/2046 | | | 7,991,713 | |
| | 471,259 | | | Series 2016-74-PA | | | 3.00% | | | 12/25/2044 | | | 467,634 | |
| | 1,287,257 | | | Series 2016-79-EP | | | 3.00% | | | 01/25/2044 | | | 1,267,093 | |
| | 8,259,914 | | | Series 2016-95-AG | | | 2.50% | | | 06/25/2037 | | | 7,805,916 | |
| | 11,851,091 | | | Series 2017-57-BC | | | 3.00% | | | 08/25/2057 | | | 10,562,841 | |
| | 9,002,129 | | | Series 2018-21-IO | | | 3.00%(f) | | | 04/25/2048 | | | 1,356,494 | |
| | 14,868,494 | | | Series 2018-21-PO | | | 0.00%(k) | | | 04/25/2048 | | | 11,666,464 | |
| | 38,011,596 | | | Series 2018-27-AO | | | 0.00%(k) | | | 05/25/2048 | | | 29,698,103 | |
| | 11,013,404 | | | Series 2018-33-A | | | 3.00% | | | 05/25/2048 | | | 10,029,427 | |
| | 12,773,049 | | | Series 2018-38-JB | | | 3.00% | | | 06/25/2048 | | | 11,532,814 | |
| | 8,870,540 | | | Series 2018-65-DA | | | 3.00% | | | 09/25/2048 | | | 7,979,855 | |
| | 26,656,719 | | | Series 2018-7-CD | | | 3.00% | | | 02/25/2048 | | | 24,403,557 | |
| | 19,967,415 | | | Series 2018-85-PO | | | 0.00%(k) | | | 12/25/2048 | | | 15,350,032 | |
| | 4,928,452 | | | Series 2019-64-D | | | 2.50% | | | 11/25/2049 | | | 4,361,148 | |
| | 13,842,308 | | | Series 2019-69-DS (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(f)(g) | | | 12/25/2049 | | | 1,918,154 | |
| | 39,984,620 | | | Series 2019-78-ZB | | | 3.00% | | | 01/25/2050 | | | 35,501,160 | |
| | 205,481,983 | | | Series 2019-M16-X | | | 1.29%(b)(f) | | | 07/25/2031 | | | 10,041,946 | |
| | 475,166,539 | | | Series 2019-M18-X | | | 0.82%(b)(f) | | | 08/25/2029 | | | 11,598,673 | |
| | 211,216,548 | | | Series 2019-M24-2XA | | | 1.27%(b)(f) | | | 03/25/2031 | | | 10,984,739 | |
| | 262,417,651 | | | Series 2019-M24-XA | | | 1.37%(b)(f) | | | 03/25/2029 | | | 11,248,821 | |
| | 153,875,636 | | | Series 2019-M7-X | | | 0.44%(b)(f) | | | 04/25/2029 | | | 1,938,110 | |
| | 30,875,251 | | | Series 2020-47-GL | | | 2.00% | | | 05/25/2046 | | | 27,498,283 | |
| | 8,605,582 | | | Series 2020-53-CG | | | 2.00% | | | 08/25/2050 | | | 7,372,080 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 47,562,014 | | | Series 2020-54-AB | | | 1.00% | | | 08/25/2050 | | | 37,373,498 | |
| | 10,552,108 | | | Series 2020-54-AS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) | | | 0.76%(f)(g) | | | 08/25/2050 | | | 1,517,411 | |
| | 12,308,262 | | | Series 2020-59-QZ | | | 3.00% | | | 08/25/2040 | | | 11,325,648 | |
| | 18,071,558 | | | Series 2020-61-AI | | | 3.00%(f) | | | 09/25/2050 | | | 2,615,034 | |
| | 8,308,102 | | | Series 2020-61-DC | | | 1.50% | | | 09/25/2060 | | | 6,372,008 | |
| | 31,488,434 | | | Series 2020-61-DI | | | 3.00%(f) | | | 09/25/2060 | | | 5,050,433 | |
| | 68,306,466 | | | Series 2020-62-JD | | | 1.25% | | | 09/25/2050 | | | 52,146,501 | |
| | 21,462,755 | | | Series 2020-97-EI | | | 2.00%(f) | | | 01/25/2051 | | | 2,761,750 | |
| | 24,930,004 | | | Series 2020-99-IQ | | | 3.00%(f) | | | 01/25/2051 | | | 4,424,413 | |
| | 347,455,953 | | | Series 2020-M10-X2 | | | 1.84%(b)(f) | | | 12/25/2030 | | | 22,754,508 | |
| | 175,848,217 | | | Series 2020-M10-X8 | | | 0.78%(b)(f) | | | 12/25/2027 | | | 2,441,512 | |
| | 74,952,942 | | | Series 2020-M13-X2 | | | 1.33%(b)(f) | | | 09/25/2030 | | | 3,104,978 | |
| | 478,036,188 | | | Series 2020-M15-X1 | | | 1.56%(b)(f) | | | 09/25/2031 | | | 31,197,454 | |
| | 17,784,245 | | | Series 2020-M17-X1 | | | 1.46%(b)(f) | | | 01/25/2028 | | | 472,513 | |
| | 110,650,813 | | | Series 2020-M27-X1 | | | 0.93%(b)(f) | | | 03/25/2031 | | | 3,648,047 | |
| | 159,333,395 | | | Series 2020-M54-X | | | 1.60%(b)(f) | | | 12/25/2033 | | | 10,337,630 | |
| | 52,809,286 | | | Series 2020-M7-X2 | | | 1.33%(b)(f) | | | 03/25/2031 | | | 2,793,717 | |
| | 10,808,847 | | | Series 2021-1-PA | | | 1.00% | | | 11/25/2050 | | | 8,322,201 | |
| | 16,033,579 | | | Series 2021-13-AK | | | 2.00% | | | 01/25/2049 | | | 14,220,311 | |
| | 12,478,483 | | | Series 2021-21-DK | | | 2.00% | | | 07/25/2043 | | | 11,028,374 | |
| | 5,638,970 | | | Series 2021-28-KF (30 day avg SOFR US + 0.75%, 0.75% Floor, 4.00% Cap) | | | 4.00% | | | 05/25/2051 | | | 4,485,368 | |
| | 22,070,894 | | | Series 2021-28-LB | | | 2.00% | | | 04/25/2051 | | | 18,387,107 | |
| | 40,204,513 | | | Series 2021-3-KI | | | 2.50%(f) | | | 02/25/2051 | | | 5,833,474 | |
| | 24,219,735 | | | Series 2021-40-BA | | | 3.00% | | | 01/25/2051 | | | 21,634,062 | |
| | 35,921,005 | | | Series 2021-43-EI | | | 3.00%(f) | | | 07/25/2051 | | | 5,839,056 | |
| | 70,614,488 | | | Series 2021-43-LI | | | 3.00%(f) | | | 07/25/2051 | | | 12,141,300 | |
| | 23,092,109 | | | Series 2021-52-JI | | | 2.50%(f) | | | 07/25/2051 | | | 2,589,136 | |
| | 28,031,139 | | | Series 2021-56-NI | | | 2.50%(f) | | | 09/25/2051 | | | 3,217,058 | |
| | 27,555,295 | | | Series 2021-58-SA (-1 x 30 day avg SOFR US + 2.65%, 0.00% Floor, 2.65% Cap) | | | 0.00%(f)(g) | | | 09/25/2051 | | | 383,754 | |
| | 18,441,013 | | | Series 2021-63-G | | | 2.00% | | | 06/25/2049 | | | 15,460,007 | |
| | 83,452,362 | | | Series 2021-70-S (-1 x 30 day avg SOFR US + 3.75%, 0.00% Floor, 3.75% Cap) | | | 0.00%(f)(g) | | | 10/25/2049 | | | 3,401,660 | |
| | 20,923,677 | | | Series 2021-73-JA | | | 2.50% | | | 05/25/2049 | | | 18,814,200 | |
| | 18,243,489 | | | Series 2021-85-C | | | 2.50% | | | 03/25/2049 | | | 16,421,845 | |
| | 21,892,186 | | | Series 2021-85-CJ | | | 2.50% | | | 03/25/2049 | | | 19,706,214 | |
| | 21,892,186 | | | Series 2021-85-CK | | | 2.50% | | | 03/25/2049 | | | 19,706,214 | |
| | 25,923,648 | | | Series 2021-85-DI | | | 3.00%(f) | | | 12/25/2051 | | | 4,436,726 | |
| | 49,162,031 | | | Series 2021-86-MA | | | 2.50% | | | 11/25/2047 | | | 44,947,606 | |
| | 23,903,123 | | | Series 2021-88-LB | | | 2.50% | | | 03/25/2050 | | | 21,099,990 | |
| | 31,175,315 | | | Series 2021-9-CA | | | 2.00% | | | 03/25/2051 | | | 26,233,825 | |
| | 23,181,371 | | | Series 2021-92-M | | | 2.50% | | | 01/25/2049 | | | 20,898,548 | |
| | 11,147,746 | | | Series 2021-M12-2A1 | | | 2.20%(b) | | | 05/25/2033 | | | 10,168,519 | |
| | 933,907,441 | | | Series 2021-M14-X | | | 1.05%(b)(f) | | | 10/25/2031 | | | 28,006,110 | |
| | 174,190,896 | | | Series 2021-M3-X2 | | | 1.00%(b)(f) | | | 08/25/2033 | | | 5,264,763 | |
| | 21,120,708 | | | Series 2021-M5-A1 | | | 1.51%(b) | | | 01/25/2033 | | | 19,502,124 | |
| | 136,808,183 | | | Series 2022-3-AB | | | 2.00% | | | 11/25/2047 | | | 122,112,139 | |
| | 2,442,666 | | | Series 2022-3-EV | | | 2.00% | | | 08/25/2033 | | | 2,221,396 | |
| | 86,289,089 | | | Series 2022-3-EZ | | | 2.00%(h) | | | 01/25/2052 | | | 53,349,222 | |
| | 58,617,746 | | | Series 2022-3-NZ | | | 2.00%(h) | | | 02/25/2052 | | | 35,756,397 | |
| | 14,320,732 | | | Series 2022-4-LG | | | 3.00% | | | 02/25/2052 | | | 13,208,681 | |
| | 29,030,022 | | | Series 2022-6-M | | | 2.50% | | | 06/25/2050 | | | 26,017,986 | |
| | 712,296,306 | | | Series 2022-M2-X | | | 0.48%(b)(f) | | | 01/25/2032 | | | 15,386,384 | |
| | 15,835,546 | | | Series 2022-M4-A1X | | | 2.55%(b) | | | 05/25/2030 | | | 14,854,797 | |
| | 111,994,695 | | | Series 2023-2-IO | | | 3.00%(f) | | | 12/25/2051 | | | 17,746,254 | |
| | 18,140,354 | | | Series 2023-29-DO | | | 0.00%(k) | | | 11/25/2050 | | | 12,513,381 | |
| | 13,579,835 | | | Series 2023-30-MO | | | 0.00%(k) | | | 10/25/2050 | | | 9,528,974 | |
| | 90,785,877 | | | Series 2023-39-IO | | | 3.00%(f) | | | 10/25/2052 | | | 15,223,620 | |
| | 71,616,509 | | | Series 2023-51-BI | | | 3.50%(f) | | | 04/25/2053 | | | 13,656,481 | |
| | 7,203,474 | | | Series 2023-M1S-A1X | | | 4.65%(b) | | | 07/25/2033 | | | 7,318,786 | |
| | 27,376,604 | | | Series 2024-64-FJ (30 day avg SOFR US + 1.25%, 1.25% Floor, 6.50% Cap) | | | 6.50% | | | 09/25/2054 | | | 27,474,609 | |
| | 59,701,644 | | | Series 2024-9-BI | | | 3.00%(f) | | | 03/25/2051 | | | 10,384,647 | |
| | 2,535,963 | | | Series 400-S4 (-1 x 30 day avg SOFR US + 5.34%, 0.00% Floor, 5.45% Cap) | | | 0.06%(f)(g) | | | 11/25/2039 | | | 257,437 | |
| | 25,319,343 | | | Series 412-A3 | | | 3.00% | | | 08/25/2042 | | | 23,019,920 | |
| | 54,336,764 | | | Series 427-C69 | | | 3.00%(f) | | | 03/25/2047 | | | 8,432,739 | |
| | 31,793,256 | | | Series 428-C17 | | | 3.00%(f) | | | 04/25/2050 | | | 4,807,886 | |
| | 28,003,233 | | | Series 432-C11 | | | 3.00%(f) | | | 08/25/2052 | | | 4,714,176 | |
| | | | | FHR Mtge 5469-F | |
| | 39,336,809 | | | Series 5469 F | | | 6.36%(c)(j) | | | 11/25/2054 | | | 39,361,395 | |
| | | | | Freddie Mac Pool | |
| | 52,909,117 | | | Pool SD6053 | | | 5.50% | | | 08/01/2054 | | | 54,079,938 | |
| | | | | | | | | | | | | | | |
30
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Freddie Mac Seasoned Credit Risk Transfer Trust | |
| | 16,768,262 | | | Series 2018-3-HA | | | 3.00% | | | 08/25/2057 | | | 15,833,371 | |
| | 15,396,527 | | | Series 2020-2-MT | | | 2.00% | | | 11/25/2059 | | | 12,634,618 | |
| | 35,000,000 | | | Series 2022-2-MB | | | 3.00% | | | 04/25/2062 | | | 25,003,125 | |
| | | | | Freddie Mac Whole Loan Securities Trust | |
| | 7,903,581 | | | Series 2015-SC02-1A | | | 3.00% | | | 09/25/2045 | | | 7,008,853 | |
| | 4,417,327 | | | Series 2016-SC01-1A | | | 3.00% | | | 07/25/2046 | | | 3,909,777 | |
| | | | | Ginnie Mae II Pool | |
| | 25,120,134 | | | Pool 785310 | | | 2.50% | | | 02/20/2051 | | | 22,019,181 | |
| | 39,690,907 | | | Pool 785346 | | | 2.00% | | | 03/20/2051 | | | 32,755,246 | |
| | 12,048,002 | | | Pool 785350 | | | 2.00% | | | 01/20/2051 | | | 9,921,076 | |
| | 23,072,469 | | | Pool 785374 | | | 2.50% | | | 03/20/2051 | | | 20,290,211 | |
| | 83,406,269 | | | Pool 785401 | | | 2.50% | | | 10/20/2050 | | | 72,246,340 | |
| | 115,609,751 | | | Pool 785412 | | | 2.50% | | | 03/20/2051 | | | 101,337,597 | |
| | 25,841,954 | | | Pool 785595 | | | 2.50% | | | 03/20/2051 | | | 22,717,449 | |
| | 50,192,860 | | | Pool 785609 | | | 2.50% | | | 08/20/2051 | | | 44,064,713 | |
| | 12,731,742 | | | Pool 785638 | | | 2.50% | | | 08/20/2051 | | | 11,160,008 | |
| | 29,133,098 | | | Pool 785639 | | | 2.50% | | | 08/20/2051 | | | 25,536,610 | |
| | 12,039,545 | | | Pool 785680 | | | 2.50% | | | 10/20/2051 | | | 10,553,211 | |
| | 51,393,590 | | | Pool 785717 | | | 3.00% | | | 11/20/2051 | | | 46,596,731 | |
| | 9,151,365 | | | Pool CB2017 | | | 2.50% | | | 03/20/2051 | | | 8,037,322 | |
| | 8,874,808 | | | Pool CB4182 | | | 2.50% | | | 03/20/2051 | | | 7,794,332 | |
| | 1,837,536 | | | Pool CB5487 | | | 2.50% | | | 03/20/2051 | | | 1,584,059 | |
| | 7,544,578 | | | Pool CB9135 | | | 2.50% | | | 04/20/2051 | | | 6,681,984 | |
| | 7,564,133 | | | Pool CH0426 | | | 2.50% | | | 02/20/2052 | | | 6,519,028 | |
| | 6,202,205 | | | Pool CI0294 | | | 2.50% | | | 01/20/2052 | | | 5,283,990 | |
| | 26,316,887 | | | Pool CI6428 | | | 2.50% | | | 01/20/2052 | | | 22,680,910 | |
| | 531,024 | | | Pool MA2511 | | | 3.50% | | | 01/20/2045 | | | 495,543 | |
| | 15,942,042 | | | Pool MA5076 | | | 3.00% | | | 03/20/2048 | | | 14,691,137 | |
| | 9,903,134 | | | Pool MA7255 | | | 2.50% | | | 03/20/2051 | | | 8,745,409 | |
| | | | | Government National Mortgage Association | |
| | 22,582,214 | | | Pool 786510 | | | 3.00% | | | 02/20/2052 | | | 20,264,891 | |
| | 3,709,219 | | | Series 2003-67-SP (-1 x 1 mo. Term SOFR + 6.99%, 0.00% Floor, 7.10% Cap) | | | 2.02%(f)(g) | | | 08/20/2033 | | | 4,394 | |
| | 1,566,372 | | | Series 2003-86-ZK | | | 5.00% | | | 10/20/2033 | | | 1,565,655 | |
| | 967,535 | | | Series 2004-49-Z | | | 6.00% | | | 06/20/2034 | | | 989,207 | |
| | 1,759,686 | | | Series 2004-83-CS (-1 x 1 mo. Term SOFR + 5.97%, 0.00% Floor, 6.08% Cap) | | | 1.00%(f)(g) | | | 10/20/2034 | | | 105,634 | |
| | 462,679 | | | Series 2005-21-ZPool 2005-2 | | | 5.00% | | | 03/20/2035 | | | 467,703 | |
| | 337,138 | | | Series 2006-24-CX (-7 x 1 mo. Term SOFR + 39.13%, 0.00% Floor, 39.97% Cap) | | | 2.75%(g) | | | 05/20/2036 | | | 420,406 | |
| | 1,670,363 | | | Series 2007-26-SJ (-1 x 1 mo. Term SOFR + 4.58%, 0.00% Floor, 4.69% Cap) | | | 0.00%(f)(g) | | | 04/20/2037 | | | 22,177 | |
| | 1,867,662 | | | Series 2008-2-SM (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap) | | | 1.29%(f)(g) | | | 01/16/2038 | | | 157,314 | |
| | 3,253,758 | | | Series 2008-42-AI (-1 x 1 mo. Term SOFR + 7.58%, 0.00% Floor, 7.69% Cap) | | | 2.48%(f)(g) | | | 05/16/2038 | | | 421,385 | |
| | 1,201,442 | | | Series 2008-43-SH (-1 x 1 mo. Term SOFR + 6.22%, 0.00% Floor, 6.34% Cap) | | | 1.26%(f)(g) | | | 05/20/2038 | | | 38,267 | |
| | 1,421,986 | | | Series 2008-51-SC (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap) | | | 1.17%(f)(g) | | | 06/20/2038 | | | 102,214 | |
| | 1,172,171 | | | Series 2008-51-SE (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap) | | | 1.04%(f)(g) | | | 06/16/2038 | | | 93,580 | |
| | 392,262 | | | Series 2008-82-SM (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.97%(f)(g) | | | 09/20/2038 | | | 11,592 | |
| | 599,270 | | | Series 2008-83-SD (-1 x 1 mo. Term SOFR + 6.45%, 0.00% Floor, 6.56% Cap) | | | 1.35%(f)(g) | | | 11/16/2036 | | | 21,881 | |
| | 2,414,628 | | | Series 2009-10-NS (-1 x 1 mo. Term SOFR + 6.54%, 0.00% Floor, 6.65% Cap) | | | 1.44%(f)(g) | | | 02/16/2039 | | | 237,961 | |
| | 2,830,860 | | | Series 2009-106-VZ | | | 4.50% | | | 11/20/2039 | | | 2,850,842 | |
| | 448,529 | | | Series 2009-24-SN (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap) | | | 1.02%(f)(g) | | | 09/20/2038 | | | 14,898 | |
| | 1,635,945 | | | Series 2009-32-ZE | | | 4.50% | | | 05/16/2039 | | | 1,623,206 | |
| | 9,715 | | | Series 2009-41-ZQ | | | 4.50%(h) | | | 06/16/2039 | | | 9,841 | |
| | 1,254,195 | | | Series 2009-48-Z | | | 5.00% | | | 06/16/2039 | | | 1,264,618 | |
| | 64,005 | | | Series 2009-50-KP | | | 4.50% | | | 06/20/2039 | | | 63,810 | |
| | 588,892 | | | Series 2009-69-TS (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap) | | | 0.99%(f)(g) | | | 04/16/2039 | | | 26,632 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,288,530 | | | Series 2009-75-GZ | | | 4.50% | | | 09/20/2039 | | | 1,297,347 | |
| | 26,579 | | | Series 2009-87-IG (-1 x 1 mo. Term SOFR + 6.63%, 0.00% Floor, 6.74% Cap) | | | 1.66%(f)(g) | | | 03/20/2037 | | | 30 | |
| | 2,611,429 | | | Series 2010-1-SA (-1 x 1 mo. Term SOFR + 5.64%, 0.00% Floor, 5.75% Cap) | | | 0.54%(f)(g) | | | 01/16/2040 | | | 222,713 | |
| | 4,785,813 | | | Series 2010-106-PS (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.97%(f)(g) | | | 03/20/2040 | | | 165,182 | |
| | 2,441,954 | | | Series 2010-25-ZB | | | 4.50% | | | 02/16/2040 | | | 2,443,582 | |
| | 19,238,691 | | | Series 2010-26-QS (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap) | | | 1.17%(f)(g) | | | 02/20/2040 | | | 2,347,786 | |
| | 1,630,716 | | | Series 2010-42-AY | | | 5.00% | | | 11/20/2039 | | | 1,679,152 | |
| | 3,838,579 | | | Series 2010-42-ES (-1 x 1 mo. Term SOFR + 5.57%, 0.00% Floor, 5.68% Cap) | | | 0.60%(f)(g) | | | 04/20/2040 | | | 363,638 | |
| | 432,688 | | | Series 2010-61-AS (-1 x 1 mo. Term SOFR + 6.44%, 0.00% Floor, 6.55% Cap) | | | 1.47%(f)(g) | | | 09/20/2039 | | | 26,322 | |
| | 4,997,476 | | | Series 2010-62-SB (-1 x 1 mo. Term SOFR + 5.64%, 0.00% Floor, 5.75% Cap) | | | 0.67%(f)(g) | | | 05/20/2040 | | | 520,086 | |
| | 2,460,584 | | | Series 2011-18-SN (-2 x 1 mo. Term SOFR + 9.27%, 0.00% Floor, 9.50% Cap) | | | 0.00%(g) | | | 12/20/2040 | | | 2,200,839 | |
| | 2,464,417 | | | Series 2011-18-YS (-2 x 1 mo. Term SOFR + 9.27%, 0.00% Floor, 9.50% Cap) | | | 0.00%(g) | | | 12/20/2040 | | | 2,183,726 | |
| | 732,950 | | | Series 2011-69-OC | | | 0.00%(k) | | | 05/20/2041 | | | 586,346 | |
| | 7,023,209 | | | Series 2011-69-SB (-1 x 1 mo. Term SOFR + 5.24%, 0.00% Floor, 5.35% Cap) | | | 0.27%(f)(g) | | | 05/20/2041 | | | 533,404 | |
| | 11,286,189 | | | Series 2011-70-PO | | | 0.00%(k) | | | 05/16/2041 | | | 8,901,283 | |
| | 2,663,430 | | | Series 2011-72-AS (-1 x 1 mo. Term SOFR + 5.27%, 0.00% Floor, 5.38% Cap) | | | 0.30%(f)(g) | | | 05/20/2041 | | | 225,124 | |
| | 2,027,286 | | | Series 2011-72-SK (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap) | | | 1.07%(f)(g) | | | 05/20/2041 | | | 185,481 | |
| | 7,029,448 | | | Series 2013-116-LS (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap) | | | 1.07%(f)(g) | | | 08/20/2043 | | | 830,908 | |
| | 9,741,893 | | | Series 2013-136-CS (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap) | | | 0.99%(f)(g) | | | 09/16/2043 | | | 1,016,248 | |
| | 16,578,630 | | | Series 2013-182-WZ | | | 2.50% | | | 12/20/2043 | | | 14,942,727 | |
| | 3,356,176 | | | Series 2013-186-SG (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap) | | | 1.04%(f)(g) | | | 02/16/2043 | | | 207,400 | |
| | 4,813,901 | | | Series 2013-26-MS (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap) | | | 1.17%(f)(g) | | | 02/20/2043 | | | 593,131 | |
| | 2,160,329 | | | Series 2013-34-PL | | | 3.00% | | | 03/20/2042 | | | 2,129,569 | |
| | 8,325,337 | | | Series 2014-163-PS (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) | | | 0.52%(f)(g) | | | 11/20/2044 | | | 934,859 | |
| | 8,980,594 | | | Series 2014-167-SA (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) | | | 0.52%(f)(g) | | | 11/20/2044 | | | 887,354 | |
| | 15,251,300 | | | Series 2014-21-SE (-1 x 1 mo. Term SOFR + 5.44%, 0.00% Floor, 5.55% Cap) | | | 0.47%(f)(g) | | | 02/20/2044 | | | 1,616,505 | |
| | 9,074,001 | | | Series 2014-39-SK (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap) | | | 1.12%(f)(g) | | | 03/20/2044 | | | 1,142,277 | |
| | 10,125,799 | | | Series 2014-59-DS (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap) | | | 1.04%(f)(g) | | | 04/16/2044 | | | 1,128,577 | |
| | 9,527,398 | | | Series 2016-108-SM (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap) | | | 1.02%(f)(g) | | | 08/20/2046 | | | 1,447,291 | |
| | 12,318,529 | | | Series 2018-40-AZ | | | 3.00%(h) | | | 10/20/2047 | | | 10,510,166 | |
| | 22,601,887 | | | Series 2019-122-IO | | | 1.00%(b)(f) | | | 07/16/2061 | | | 1,465,396 | |
| | 186,003,625 | | | Series 2019-147-IO | | | 0.40%(b)(f) | | | 06/16/2061 | | | 6,193,028 | |
| | 9,844,082 | | | Series 2019-153-GF (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.53% | | | 12/20/2049 | | | 9,686,887 | |
| | 18,151,049 | | | Series 2020-104-AI | | | 3.00%(f) | | | 07/20/2050 | | | 2,907,063 | |
| | 11,356,974 | | | Series 2020-104-EI | | | 3.00%(f) | | | 07/20/2050 | | | 1,824,542 | |
| | 9,915,126 | | | Series 2020-112-LS (-1 x 30 day avg SOFR US + 6.20%, 0.00% Floor, 6.20% Cap) | | | 0.85%(f)(g) | | | 08/20/2050 | | | 1,437,846 | |
| | 39,453,714 | | | Series 2020-115-IG | | | 2.50%(f) | | | 08/20/2050 | | | 5,476,763 | |
| | 19,056,015 | | | Series 2020-138-IC | | | 3.50%(f) | | | 08/20/2050 | | | 3,468,549 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 31
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 138,938,466 | | | Series 2020-140-ES (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 09/20/2050 | | | 21,766,058 | |
| | 35,685,152 | | | Series 2020-140-SG (-1 x 1 mo. Term SOFR + 6.24%, 0.00% Floor, 6.35% Cap) | | | 1.27%(f)(g) | | | 09/20/2050 | | | 5,624,879 | |
| | 45,070,783 | | | Series 2020-146-CI | | | 2.50%(f) | | | 10/20/2050 | | | 6,872,704 | |
| | 24,960,718 | | | Series 2020-146-KI | | | 2.50%(f) | | | 10/20/2050 | | | 3,576,901 | |
| | 54,307,406 | | | Series 2020-148-AI | | | 2.50%(f) | | | 10/20/2050 | | | 7,824,280 | |
| | 148,203,002 | | | Series 2020-151-MI | | | 2.50%(f) | | | 10/20/2050 | | | 21,660,002 | |
| | 63,775,931 | | | Series 2020-152-IO | | | 0.58%(b)(f) | | | 12/16/2062 | | | 2,849,757 | |
| | 96,097,105 | | | Series 2020-153-EI | | | 2.50%(f) | | | 10/20/2050 | | | 12,981,796 | |
| | 41,808,349 | | | Series 2020-160-IA | | | 2.50%(f) | | | 10/20/2050 | | | 5,938,964 | |
| | 10,589,762 | | | Series 2020-160-IM | | | 2.50%(f) | | | 10/20/2050 | | | 1,602,460 | |
| | 34,087,967 | | | Series 2020-162-QS (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 10/20/2050 | | | 5,538,408 | |
| | 48,608,636 | | | Series 2020-166-SM (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 11/20/2050 | | | 7,712,023 | |
| | 67,717,578 | | | Series 2020-167-BI | | | 2.50%(f) | | | 11/20/2050 | | | 9,795,463 | |
| | 50,966,473 | | | Series 2020-167-DI | | | 2.50%(f) | | | 11/20/2050 | | | 6,901,778 | |
| | 31,890,679 | | | Series 2020-167-IA | | | 2.50%(f) | | | 11/20/2050 | | | 4,650,653 | |
| | 76,140,998 | | | Series 2020-167-JI | | | 2.50%(f) | | | 11/20/2050 | | | 10,358,808 | |
| | 15,134,578 | | | Series 2020-167-NS (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 11/20/2050 | | | 2,325,824 | |
| | 26,917,640 | | | Series 2020-167-YK | | | 1.20% | | | 11/20/2050 | | | 20,630,664 | |
| | 121,800,877 | | | Series 2020-173-MI | | | 2.50%(f) | | | 11/20/2050 | | | 17,439,255 | |
| | 38,773,366 | | | Series 2020-175-MI | | | 2.50%(f) | | | 11/20/2050 | | | 5,515,767 | |
| | 36,292,473 | | | Series 2020-175-SC (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 11/20/2050 | | | 5,907,711 | |
| | 80,853,160 | | | Series 2020-177-IO | | | 0.82%(b)(f) | | | 06/16/2062 | | | 4,988,058 | |
| | 27,182,346 | | | Series 2020-181-AI | | | 2.50%(f) | | | 12/20/2050 | | | 4,276,759 | |
| | 46,149,944 | | | Series 2020-181-BI | | | 2.50%(f) | | | 12/20/2050 | | | 6,762,831 | |
| | 28,864,294 | | | Series 2020-181-SA (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 12/20/2050 | | | 4,480,526 | |
| | 27,189,890 | | | Series 2020-181-YM | | | 1.17% | | | 12/20/2050 | | | 20,789,855 | |
| | 62,285,174 | | | Series 2020-185-AI | | | 2.50%(f) | | | 12/20/2050 | | | 8,119,776 | |
| | 47,547,566 | | | Series 2020-185-KI | | | 2.50%(f) | | | 12/20/2050 | | | 7,494,053 | |
| | 39,638,695 | | | Series 2020-185-MI | | | 2.50%(f) | | | 12/20/2050 | | | 5,748,023 | |
| | 44,711,102 | | | Series 2020-187-AI | | | 2.50%(f) | | | 12/20/2050 | | | 6,560,022 | |
| | 89,891,590 | | | Series 2020-188-BI | | | 2.50%(f) | | | 12/20/2050 | | | 13,266,632 | |
| | 5,277,446 | | | Series 2020-188-DI | | | 2.50%(f) | | | 12/20/2050 | | | 718,217 | |
| | 25,589,505 | | | Series 2020-188-GI | | | 2.00%(f) | | | 12/20/2050 | | | 2,808,863 | |
| | 37,532,962 | | | Series 2020-188-IQ | | | 3.00%(f) | | | 10/20/2050 | | | 6,025,692 | |
| | 86,239,359 | | | Series 2020-188-KI | | | 2.50%(f) | | | 12/20/2050 | | | 11,745,654 | |
| | 34,888,118 | | | Series 2020-188-NS (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 12/20/2050 | | | 5,621,784 | |
| | 39,489,415 | | | Series 2020-195-IX | | | 1.14%(b)(f) | | | 12/16/2062 | | | 3,136,301 | |
| | 5,050,330 | | | Series 2020-4-H | | | 2.50% | | | 10/20/2049 | | | 4,451,484 | |
| | 33,700,509 | | | Series 2020-7-FM (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.53% | | | 01/20/2050 | | | 33,151,800 | |
| | 8,264,790 | | | Series 2020-79-KG | | | 1.30% | | | 06/20/2050 | | | 6,666,071 | |
| | 87,415,156 | | | Series 2020-89-IA | | | 1.17%(b)(f) | | | 04/16/2062 | | | 7,019,420 | |
| | 65,687,935 | | | Series 2020-94-IO | | | 0.97%(b)(f) | | | 03/16/2062 | | | 4,572,123 | |
| | 16,648,528 | | | Series 2020-98-SA (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap) | | | 1.07%(f)(g) | | | 07/20/2050 | | | 2,363,089 | |
| | 77,642,325 | | | Series 2021-1-EI | | | 2.00%(f) | | | 01/20/2051 | | | 8,824,928 | |
| | 33,446,700 | | | Series 2021-1-IA | | | 2.50%(f) | | | 01/20/2051 | | | 4,555,367 | |
| | 65,847,670 | | | Series 2021-10-IO | | | 0.99%(b)(f) | | | 05/16/2063 | | | 4,804,944 | |
| | 116,078,715 | | | Series 2021-100-IO | | | 0.97%(b)(f) | | | 06/16/2063 | | | 7,991,033 | |
| | 61,763,958 | | | Series 2021-107-QI | | | 2.50%(f) | | | 06/20/2051 | | | 8,371,036 | |
| | 129,101,516 | | | Series 2021-110-IO | | | 0.87%(b)(f) | | | 11/16/2063 | | | 8,606,127 | |
| | 23,780,258 | | | Series 2021-114-SB (-1 x 1 mo. Term SOFR + 2.49%, 0.00% Floor, 2.60% Cap) | | | 0.00%(f)(g) | | | 06/20/2051 | | | 196,977 | |
| | 42,594,859 | | | Series 2021-116-IA | | | 2.50%(f) | | | 06/20/2051 | | | 5,979,568 | |
| | 42,998,697 | | | Series 2021-116-XI | | | 3.50%(f) | | | 03/20/2051 | | | 7,881,231 | |
| | 20,243,647 | | | Series 2021-117-IJ | | | 3.50%(f) | | | 06/20/2051 | | | 3,058,566 | |
| | 15,882,868 | | | Series 2021-117-SH (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 07/20/2051 | | | 1,965,923 | |
| | 236,239,994 | | | Series 2021-12-IO | | | 0.96%(b)(f) | | | 03/16/2063 | | | 16,355,651 | |
| | 53,193,541 | | | Series 2021-121-TI | | | 3.00%(f) | | | 07/20/2051 | | | 6,898,122 | |
| | 108,567,622 | | | Series 2021-122-SA (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap) | | | 0.00%(f)(g) | | | 07/20/2051 | | | 1,009,711 | |
| | 24,298,941 | | | Series 2021-125-IO | | | 3.00%(f) | | | 06/20/2051 | | | 3,478,420 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 58,865,991 | | | Series 2021-135-GI | | | 3.00%(f) | | | 08/20/2051 | | | 9,435,948 | |
| | 74,156,040 | | | Series 2021-135-SK (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 08/20/2051 | | | 9,168,556 | |
| | 62,052,022 | | | Series 2021-136-EI | | | 3.00%(f) | | | 08/20/2051 | | | 9,928,324 | |
| | 37,470,843 | | | Series 2021-138-IL | | | 3.00%(f) | | | 08/20/2051 | | | 6,045,771 | |
| | 37,527,695 | | | Series 2021-138-KI | | | 3.00%(f) | | | 08/20/2051 | | | 6,102,240 | |
| | 55,837,205 | | | Series 2021-138-PS (-1 x 30 day avg SOFR US + 3.75%, 0.00% Floor, 3.75% Cap) | | | 0.00%(f)(g) | | | 08/20/2051 | | | 1,651,168 | |
| | 14,600,383 | | | Series 2021-139-BI | | | 3.50%(f) | | | 08/20/2051 | | | 1,733,798 | |
| | 46,099,175 | | | Series 2021-140-IJ | | | 3.00%(f) | | | 08/20/2051 | | | 7,470,593 | |
| | 30,490,139 | | | Series 2021-142-IO | | | 3.00%(f) | | | 08/20/2051 | | | 4,935,448 | |
| | 114,054,030 | | | Series 2021-142-XI | | | 3.00%(f) | | | 08/20/2051 | | | 18,305,284 | |
| | 110,818,027 | | | Series 2021-143-IO | | | 0.97%(b)(f) | | | 10/16/2063 | | | 7,714,231 | |
| | 83,973,101 | | | Series 2021-144-IO | | | 0.82%(b)(f) | | | 04/16/2063 | | | 5,129,547 | |
| | 219,525,450 | | | Series 2021-15-BI | | | 2.50%(f) | | | 01/20/2051 | | | 30,649,792 | |
| | 88,465,859 | | | Series 2021-150-IO | | | 1.03%(b)(f) | | | 11/16/2063 | | | 6,046,226 | |
| | 67,886,406 | | | Series 2021-151-IO | | | 0.92%(b)(f) | | | 04/16/2063 | | | 4,774,383 | |
| | 27,387,527 | | | Series 2021-155-IE | | | 3.00%(f) | | | 09/20/2051 | | | 4,465,534 | |
| | 75,797,065 | | | Series 2021-155-KI | | | 4.00%(f) | | | 09/20/2051 | | | 9,744,425 | |
| | 36,930,395 | | | Series 2021-155-S (-1 x 30 day avg SOFR US + 3.20%, 0.00% Floor, 3.20% Cap) | | | 0.00%(f)(g) | | | 09/20/2051 | | | 1,118,766 | |
| | 37,639,739 | | | Series 2021-155-SG (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 09/20/2051 | | | 5,956,805 | |
| | 23,105,024 | | | Series 2021-157-IO | | | 0.89%(b)(f) | | | 09/16/2063 | | | 1,482,072 | |
| | 44,532,274 | | | Series 2021-158-IO | | | 3.00%(f) | | | 09/20/2051 | | | 7,097,171 | |
| | 61,556,422 | | | Series 2021-158-IV | | | 2.50%(f) | | | 09/20/2051 | | | 8,372,271 | |
| | 23,837,712 | | | Series 2021-160-IA | | | 3.00%(f) | | | 09/20/2051 | | | 3,827,104 | |
| | 75,648,527 | | | Series 2021-160-SQ (-1 x 30 day avg SOFR US + 2.65%, 0.00% Floor, 3.00% Cap) | | | 0.00%(f)(g) | | | 09/20/2051 | | | 1,150,705 | |
| | 33,990,259 | | | Series 2021-160-WI | | | 2.50%(f) | | | 09/20/2051 | | | 4,450,630 | |
| | 39,800,414 | | | Series 2021-160-XI | | | 3.00%(f) | | | 09/20/2051 | | | 6,376,416 | |
| | 41,815,872 | | | Series 2021-161-KI | | | 3.50%(f) | | | 09/20/2051 | | | 7,985,280 | |
| | 77,346,134 | | | Series 2021-161-UI | | | 3.00%(f) | | | 09/20/2051 | | | 12,389,845 | |
| | 27,010,984 | | | Series 2021-162-DI | | | 3.00%(f) | | | 09/20/2051 | | | 4,328,132 | |
| | 15,011,125 | | | Series 2021-170-IO | | | 0.99%(b)(f) | | | 05/16/2063 | | | 1,092,975 | |
| | 38,538,004 | | | Series 2021-175-IM | | | 3.00%(f) | | | 10/20/2051 | | | 5,392,681 | |
| | 14,884,763 | | | Series 2021-175-IN | | | 2.50%(f) | | | 07/20/2051 | | | 1,995,143 | |
| | 50,515,185 | | | Series 2021-175-IU | | | 2.50%(f) | | | 09/20/2051 | | | 6,755,072 | |
| | 42,099,713 | | | Series 2021-176-TI | | | 4.00%(f) | | | 10/20/2051 | | | 5,290,452 | |
| | 113,058,129 | | | Series 2021-177-IA | | | 2.50%(f) | | | 10/20/2051 | | | 17,124,745 | |
| | 57,196,649 | | | Series 2021-180-IO | | | 0.91%(b)(f) | | | 11/16/2063 | | | 4,051,954 | |
| | 68,648,604 | | | Series 2021-184-IO | | | 0.88%(b)(f) | | | 12/16/2061 | | | 4,649,014 | |
| | 26,218,021 | | | Series 2021-188-IA | | | 3.00%(f) | | | 10/20/2051 | | | 4,194,396 | |
| | 46,634,578 | | | Series 2021-188-IN | | | 2.50%(f) | | | 10/20/2051 | | | 6,368,283 | |
| | 32,630,488 | | | Series 2021-188-IT | | | 2.50%(f) | | | 10/20/2051 | | | 4,583,647 | |
| | 22,117,570 | | | Series 2021-188-IW | | | 3.00%(f) | | | 10/20/2051 | | | 3,381,706 | |
| | 155,859,237 | | | Series 2021-189-IO | | | 0.88%(b)(f) | | | 06/16/2061 | | | 10,530,707 | |
| | 22,523,583 | | | Series 2021-191-BI | | | 2.50%(f) | | | 10/20/2051 | | | 3,221,010 | |
| | 44,764,077 | | | Series 2021-191-CI | | | 2.50%(f) | | | 10/20/2051 | | | 6,535,855 | |
| | 27,723,236 | | | Series 2021-192-AI | | | 3.00%(f) | | | 10/20/2051 | | | 4,488,869 | |
| | 56,612,169 | | | Series 2021-193-I | | | 3.00%(f) | | | 06/20/2051 | | | 8,707,557 | |
| | 4,153,575 | | | Series 2021-193-SW (-1 x 30 day avg SOFR US + 2.55%, 0.00% Floor, 2.55% Cap) | | | 0.00%(f)(g) | | | 11/20/2051 | | | 40,987 | |
| | 67,673,926 | | | Series 2021-196-IO | | | 2.50%(f) | | | 11/20/2051 | | | 9,687,678 | |
| | 61,559,856 | | | Series 2021-2-IO | | | 0.88%(b)(f) | | | 06/16/2063 | | | 4,057,989 | |
| | 31,245,974 | | | Series 2021-20-IO | | | 1.15%(b)(f) | | | 08/16/2062 | | | 2,497,384 | |
| | 85,019,900 | | | Series 2021-200-IO | | | 0.88%(b)(f) | | | 11/16/2063 | | | 5,912,488 | |
| | 24,603,929 | | | Series 2021-205-DI | | | 2.50%(f) | | | 11/20/2051 | | | 3,602,183 | |
| | 178,345,909 | | | Series 2021-208-IO | | | 0.76%(b)(f) | | | 06/16/2064 | | | 9,906,973 | |
| | 180,443,546 | | | Series 2021-210-IO | | | 0.98%(b)(f) | | | 05/16/2062 | | | 13,255,311 | |
| | 51,657,941 | | | Series 2021-211-IO | | | 0.97%(b)(f) | | | 01/16/2063 | | | 3,623,996 | |
| | 31,755,232 | | | Series 2021-213-IH | | | 3.00%(f) | | | 12/20/2051 | | | 5,124,088 | |
| | 262,621,957 | | | Series 2021-22-IO | | | 0.97%(b)(f) | | | 05/16/2063 | | | 18,430,546 | |
| | 8,905,921 | | | Series 2021-226-TI | | | 2.50%(f) | | | 12/20/2051 | | | 1,213,340 | |
| | 70,490,927 | | | Series 2021-24-XI | | | 2.00%(f) | | | 02/20/2051 | | | 8,616,064 | |
| | 31,475,546 | | | Series 2021-24-YD | | | 1.20% | | | 02/20/2051 | | | 24,798,270 | |
| | 10,847,222 | | | Series 2021-25-EI | | | 2.50%(f) | | | 02/20/2051 | | | 1,429,403 | |
| | 20,312,213 | | | Series 2021-30-IB | | | 2.50%(f) | | | 02/20/2051 | | | 2,783,545 | |
| | 24,646,310 | | | Series 2021-30-WI | | | 2.50%(f) | | | 02/20/2051 | | | 3,334,646 | |
| | 26,057,321 | | | Series 2021-35-IO | | | 1.03%(b)(f) | | | 12/16/2062 | | | 1,971,643 | |
| | 75,714,153 | | | Series 2021-35-IX | | | 1.20%(b)(f) | | | 12/16/2062 | | | 6,542,528 | |
| | 32,418,480 | | | Series 2021-40-IO | | | 0.82%(b)(f) | | | 02/16/2063 | | | 2,014,753 | |
| | 580,637,919 | | | Series 2021-45-IO | | | 0.81%(b)(f) | | | 04/16/2063 | | | 35,942,939 | |
| | 31,827,404 | | | Series 2021-49-NI | | | 2.50%(f) | | | 03/20/2051 | | | 3,857,523 | |
| | 43,721,428 | | | Series 2021-49-QI | | | 2.50%(f) | | | 03/20/2049 | | | 4,133,026 | |
| | 28,375,757 | | | Series 2021-52-IO | | | 0.72%(b)(f) | | | 04/16/2063 | | | 1,544,841 | |
| | 69,468,327 | | | Series 2021-57-JI | | | 3.00%(f) | | | 03/20/2051 | | | 11,185,234 | |
| | | | | | | | | | | | | | | |
32
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 7,747,931 | | | Series 2021-58-HP | | | 3.00% | | | 08/20/2050 | | | 6,956,302 | |
| | 96,267,877 | | | Series 2021-58-IE | | | 3.00%(f) | | | 07/20/2050 | | | 15,502,449 | |
| | 203,549,563 | | | Series 2021-60-IO | | | 0.83%(b)(f) | | | 05/16/2063 | | | 12,572,809 | |
| | 74,951,513 | | | Series 2021-64-IG | | | 3.00%(f) | | | 04/20/2051 | | | 12,057,352 | |
| | 234,196,761 | | | Series 2021-65-IO | | | 0.89%(b)(f) | | | 08/16/2063 | | | 15,573,171 | |
| | 38,230,967 | | | Series 2021-7-IP | | | 3.50%(f) | | | 07/20/2050 | | | 6,784,204 | |
| | 86,935,685 | | | Series 2021-7-KI | | | 2.50%(f) | | | 01/20/2051 | | | 12,101,925 | |
| | 50,780,028 | | | Series 2021-7-MI | | | 2.50%(f) | | | 01/20/2051 | | | 6,876,631 | |
| | 330,327,039 | | | Series 2021-70-IO | | | 0.71%(b)(f) | | | 04/16/2063 | | | 17,918,689 | |
| | 155,990,510 | | | Series 2021-71-IO | | | 0.86%(b)(f) | | | 10/16/2062 | | | 10,059,157 | |
| | 157,015,282 | | | Series 2021-72-IO | | | 0.57%(b)(f) | | | 01/16/2061 | | | 6,878,368 | |
| | 99,292,004 | | | Series 2021-74-CI | | | 3.00%(f) | | | 12/20/2050 | | | 15,726,821 | |
| | 95,984,798 | | | Series 2021-77-SJ (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap) | | | 0.00%(f)(g) | | | 05/20/2051 | | | 3,133,606 | |
| | 10,927,857 | | | Series 2021-78-IC | | | 4.00%(f) | | | 05/20/2051 | | | 1,873,143 | |
| | 58,539,556 | | | Series 2021-80-IO | | | 0.90%(b)(f) | | | 12/16/2062 | | | 4,051,207 | |
| | 308,466,581 | | | Series 2021-85-IO | | | 0.68%(b)(f) | | | 03/16/2063 | | | 16,201,868 | |
| | 44,614,962 | | | Series 2021-87-ET | | | 2.00% | | | 05/20/2051 | | | 37,672,986 | |
| | 57,281,090 | | | Series 2021-9-AI | | | 2.00%(f) | | | 01/20/2051 | | | 5,671,189 | |
| | 97,614,512 | | | Series 2021-9-MI | | | 2.50%(f) | | | 01/20/2051 | | | 13,567,353 | |
| | 42,232,472 | | | Series 2021-96-TS (-1 x 30 day avg SOFR US + 3.25%, 0.00% Floor, 3.25% Cap) | | | 0.00%(f)(g) | | | 06/20/2051 | | | 1,333,744 | |
| | 39,426,707 | | | Series 2021-97-NI | | | 2.50%(f) | | | 08/20/2049 | | | 3,898,505 | |
| | 32,609,022 | | | Series 2021-97-SH (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap) | | | 0.00%(f)(g) | | | 06/20/2051 | | | 1,158,194 | |
| | 104,775,069 | | | Series 2021-98-IG | | | 3.00%(f) | | | 06/20/2051 | | | 16,962,665 | |
| | 23,939,613 | | | Series 2021-98-MI | | | 2.50%(f) | | | 06/20/2051 | | | 3,257,545 | |
| | 25,605,266 | | | Series 2021-98-SB (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 06/20/2051 | | | 3,500,314 | |
| | 66,011,482 | | | Series 2021-98-ST (-1 x 30 day avg SOFR US + 2.73%, 0.00% Floor, 2.73% Cap) | | | 0.00%(f)(g) | | | 03/20/2051 | | | 490,604 | |
| | 8,259,042 | | | Series 2021-98-SW (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(f)(g) | | | 06/20/2051 | | | 1,121,195 | |
| | 40,990,523 | | | Series 2021-99-IO | | | 0.59%(b)(f) | | | 05/16/2061 | | | 1,846,504 | |
| | 201,908,211 | | | Series 2022-102-IO | | | 0.48%(b)(f) | | | 06/16/2064 | | | 8,369,883 | |
| | 62,707,649 | | | Series 2022-137-DI | | | 2.50%(f) | | | 02/20/2051 | | | 9,673,614 | |
| | 64,254,979 | | | Series 2022-137-EI | | | 2.50%(f) | | | 06/20/2051 | | | 8,915,166 | |
| | 113,404,632 | | | Series 2022-14-IO | | | 0.66%(b)(f) | | | 12/01/2061 | | | 5,502,574 | |
| | 86,707,668 | | | Series 2022-141-IO | | | 0.78%(b)(f) | | | 06/16/2064 | | | 5,905,607 | |
| | 95,690,508 | | | Series 2022-158-IO | | | 0.88%(b)(f) | | | 08/16/2064 | | | 7,225,207 | |
| | 26,795,752 | | | Series 2022-160-ZD | | | 3.00%(h) | | | 11/20/2047 | | | 23,389,535 | |
| | 61,338,828 | | | Series 2022-167-IO | | | 0.82%(b)(f) | | | 08/16/2065 | | | 3,977,001 | |
| | 131,919,862 | | | Series 2022-169-IO | | | 0.89%(b)(f) | | | 01/16/2062 | | | 9,907,920 | |
| | 13,582,095 | | | Series 2022-183-B | | | 5.00% | | | 04/20/2047 | | | 13,878,886 | |
| | 81,433,139 | | | Series 2022-188-IO | | | 2.50%(f) | | | 02/20/2051 | | | 10,988,067 | |
| | 79,692,227 | | | Series 2022-202-IO | | | 0.72%(b)(f) | | | 10/16/2063 | | | 5,036,262 | |
| | 79,888,770 | | | Series 2022-207-EI | | | 3.50%(f) | | | 02/20/2052 | | | 14,565,289 | |
| | 83,603,238 | | | Series 2022-207-IO | | | 3.00%(f) | | | 08/20/2051 | | | 13,445,984 | |
| | 73,673,593 | | | Series 2022-21-IO | | | 0.78%(b)(f) | | | 10/16/2063 | | | 4,371,548 | |
| | 53,265,285 | | | Series 2022-218-IO | | | 3.50%(f) | | | 01/20/2052 | | | 10,198,299 | |
| | 12,592,261 | | | Series 2022-23-BA | | | 3.00% | | | 05/20/2049 | | | 11,785,484 | |
| | 143,867,818 | | | Series 2022-27-IO | | | 0.75%(b)(f) | | | 03/16/2064 | | | 7,920,053 | |
| | 92,116,634 | | | Series 2022-35-IO | | | 0.55%(b)(f) | | | 10/16/2063 | | | 4,429,041 | |
| | 141,889,040 | | | Series 2022-38-IO | | | 0.72%(b)(f) | | | 04/16/2064 | | | 7,672,139 | |
| | 409,967,090 | | | Series 2022-39-IO | | | 0.62%(b)(f) | | | 01/16/2064 | | | 21,663,399 | |
| | 120,345,269 | | | Series 2022-42-IO | | | 0.67%(b)(f) | | | 12/16/2063 | | | 6,252,382 | |
| | 22,562,879 | | | Series 2022-44-TY | | | 2.00% | | | 12/20/2051 | | | 18,432,902 | |
| | 58,707,090 | | | Series 2022-48-IO | | | 0.71%(b)(f) | | | 01/16/2064 | | | 3,578,438 | |
| | 65,896,901 | | | Series 2022-49-IO | | | 0.76%(b)(f) | | | 03/16/2064 | | | 3,666,023 | |
| | 123,989,209 | | | Series 2022-54-IO | | | 0.59%(b)(f) | | | 10/16/2063 | | | 5,889,264 | |
| | 32,471,193 | | | Series 2022-56-HI | | | 2.50%(f) | | | 01/20/2052 | | | 4,645,832 | |
| | 77,970,123 | | | Series 2022-62-IO | | | 0.62%(b)(f) | | | 06/16/2064 | | | 3,967,759 | |
| | 204,895,402 | | | Series 2022-71-IO | | | 0.55%(b)(f) | | | 06/16/2064 | | | 8,898,566 | |
| | 272,516,356 | | | Series 2022-72-DI | | | 0.58%(b)(f) | | | 06/16/2064 | | | 12,764,448 | |
| | 96,755,074 | | | Series 2022-73-IO | | | 0.56%(b)(f) | | | 07/16/2064 | | | 4,936,366 | |
| | 5,944,000 | | | Series 2022-78-HW | | | 2.50% | | | 04/20/2052 | | | 4,759,713 | |
| | 189,304,130 | | | Series 2022-8-IO | | | 0.86%(b)(f) | | | 09/16/2063 | | | 11,857,386 | |
| | 125,397,887 | | | Series 2022-83-IO | | | 2.50%(f) | | | 11/20/2051 | | | 17,740,340 | |
| | 124,424,130 | | | Series 2022-86-IO | | | 0.53%(b)(f) | | | 10/16/2063 | | | 5,511,342 | |
| | 57,101,157 | | | Series 2022-9-EI | | | 3.00%(f) | | | 01/20/2052 | | | 7,972,498 | |
| | 96,599,870 | | | Series 2022-91-IO | | | 0.43%(b)(f) | | | 07/16/2064 | | | 4,095,294 | |
| | 462,241,950 | | | Series 2023-108-IO | | | 0.69%(b)(f) | | | 08/16/2059 | | | 17,595,563 | |
| | 50,858,937 | | | Series 2023-118-IO | | | 0.64%(b)(f) | | | 05/16/2065 | | | 2,729,014 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 10,807,810 | | | Series 2023-140-AS (-2 x 30 day avg SOFR US + 13.00%, 0.00% Floor, 13.00% Cap) | | | 2.31%(g) | | | 09/20/2053 | | | 11,191,417 | |
| | 48,921,538 | | | Series 2023-16-IO | | | 0.90%(b)(f) | | | 07/16/2063 | | | 3,324,737 | |
| | 23,178,926 | | | Series 2023-164-BV | | | 3.00% | | | 01/20/2052 | | | 20,516,404 | |
| | 39,365,985 | | | Series 2023-173-GB | | | 3.50% | | | 11/20/2053 | | | 35,166,249 | |
| | 11,227,299 | | | Series 2023-187-ZP | | | 3.00%(h) | | | 11/20/2051 | | | 7,372,445 | |
| | 171,627,826 | | | Series 2023-19-IO | | | 2.50%(f) | | | 02/20/2051 | | | 24,248,729 | |
| | 24,417,679 | | | Series 2023-196-DZ | | | 4.50%(h) | | | 12/20/2053 | | | 22,782,659 | |
| | 30,709,911 | | | Series 2023-24-IH | | | 3.50%(f) | | | 07/20/2051 | | | 5,767,997 | |
| | 72,796,262 | | | Series 2023-50-IO | | | 0.86%(b)(f) | | | 06/16/2064 | | | 4,857,593 | |
| | 31,684,983 | | | Series 2023-58-IO | | | 2.50%(f) | | | 10/20/2050 | | | 4,399,007 | |
| | 35,017,645 | | | Series 2023-60-PT | | | 4.00% | | | 10/20/2049 | | | 33,233,083 | |
| | 54,952,780 | | | Series 2023-77-IO | | | 0.70%(b)(f) | | | 04/16/2065 | | | 3,234,636 | |
| | 11,944,126 | | | Series 2023-88-IO | | | 0.92%(b)(f) | | | 03/16/2065 | | | 867,995 | |
| | 12,026,267 | | | Series 2024-1-CZ | | | 3.00%(h) | | | 01/20/2050 | | | 9,422,431 | |
| | 24,889,633 | | | Series 2024-111-FM (30 day avg SOFR US + 1.20%, 1.20% Floor, 6.50% Cap) | | | 6.50% | | | 07/20/2054 | | | 24,962,923 | |
| | 31,349,246 | | | Series 2024-143-IO | | | 3.50%(f) | | | 02/20/2048 | | | 4,898,320 | |
| | 26,164,516 | | | Series 2024-19-EZ | | | 5.00%(h) | | | 12/20/2063 | | | 26,371,593 | |
| | 24,151,839 | | | Series 2024-20-LB | | | 2.50% | | | 11/20/2051 | | | 17,168,919 | |
| | 22,903,999 | | | Series 2024-20-LI | | | 2.50%(f) | | | 11/20/2051 | | | 3,464,459 | |
| | 50,388,785 | | | Series 2024-24-BI | | | 3.00%(f) | | | 12/20/2051 | | | 8,207,421 | |
| | 22,252,227 | | | Series 2024-40-FE (30 day avg SOFR US + 1.00%, 1.00% Floor, 7.00% Cap) | | | 6.35% | | | 03/20/2054 | | | 22,307,995 | |
| | 77,228,318 | | | Series 2024-47-IO | | | 0.73%(b)(f) | | | 10/16/2065 | | | 5,118,778 | |
| | 49,941,550 | | | Series 2024-67-AI | | | 0.74%(b)(f) | | | 10/16/2065 | | | 3,306,530 | |
| | 32,422,552 | | | Series 2024-78-FH (30 day avg SOFR US + 1.25%, 1.25% Floor, 6.50% Cap) | | | 6.50% | | | 05/20/2054 | | | 32,635,671 | |
| | 86,060,212 | | | Series 2024-86-IA | | | 0.90%(b)(f) | | | 08/16/2065 | | | 6,226,801 | |
| | | | | STRU | |
| | 49,221,000 | | | Series JPM-5584-DUS | | | 4.40%(b)(c) | | | 09/30/2054 | | | 49,297,908 | |
| | 21,450,000 | | | Series JPM-5585-DUS | | | 4.40%(b)(c) | | | 09/30/2054 | | | 21,483,516 | |
| | | | | Total US Government and Agency Mortgage Backed Obligations
(Cost $16,481,474,226) | | | | | | 15,591,156,021 | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 3.5% | |
| | 300,205,000 | | | United States Treasury Note/Bond | | | 1.13% | | | 05/15/2040 | | | 198,446,060 | |
| | 212,386,000 | | | United States Treasury Note/Bond | | | 1.13% | | | 08/15/2040 | | | 139,204,090 | |
| | 355,238,000 | | | United States Treasury Note/Bond | | | 1.38% | | | 11/15/2040 | | | 241,201,053 | |
| | 320,590,000 | | | United States Treasury Note/Bond | | | 1.88% | | | 02/15/2041 | | | 235,226,651 | |
| | 148,600,000 | | | United States Treasury Note/Bond | | | 1.75% | | | 08/15/2041 | | | 105,421,832 | |
| | 19,400,000 | | | United States Treasury Note/Bond | | | 2.00% | | | 11/15/2041 | | | 14,271,504 | |
| | 186,150,000 | | | United States Treasury Note/Bond | | | 2.50% | | | 02/15/2045 | | | 142,332,036 | |
| | | | | Total US Government and Agency Obligations
(Cost $1,003,717,448) | | | | | | 1,076,103,226 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 6.5% | |
| | 674,183,482 | | | First American Government Obligations Fund - U | | | 4.84%(l) | | | | | | 674,183,482 | |
| | 674,183,482 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(l) | | | | | | 674,183,482 | |
| | 674,183,481 | | | MSILF Government Portfolio - Institutional | | | 4.83%(l) | | | | | | 674,183,481 | |
| | | | | Total Short Term Investments
(Cost $2,022,550,445) | | | | | | 2,022,550,445 | |
| | | | | Total Investments - 100.7%
(Cost $34,731,416,541) | | | 31,178,267,060 | |
| | | | | Other Liabilities in Excess of
Assets - (0.7)% | | | (215,392,230) | |
| | | | | NET ASSETS - 100.0% | | | $30,962,874,830 | |
| | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 33
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | US Government and Agency Mortgage Backed Obligations | | | 50.3% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 24.0% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 7.1% | |
| | Short Term Investments | | | 6.5% | |
| | Asset Backed Obligations | | | 4.7% | |
| | Collateralized Loan Obligations | | | 4.6% | |
| | US Government and Agency Obligations | | | 3.5% | |
| | Other Assets and Liabilities | | | (0.7)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.
|
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
|
(c)
| Value determined using significant unobservable inputs.
|
(d)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
|
(e)
| Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of period end.
|
(f)
| Interest only security
|
(g)
| Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
|
(h)
| This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end.
|
(i)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
|
(j)
| Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
|
(k)
| Principal only security
|
(l)
| Seven-day yield as of period end. |
LIBOR
| London Interbank Offered Rate
|
SOFR
| Secured Overnight Financing Rate |
Futures Contracts
| | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Notes | | | Long | | | 61,000 | | | 12/31/2024 | | | $12,702,773,468 | | | $18,440,589 |
10 Year U.S. Ultra Treasury Notes | | | Short | | | (38,500) | | | 12/19/2024 | | | (4,554,429,687) | | | 6,486,762 |
U.S. Treasury 5 Year Notes | | | Long | | | 24,000 | | | 12/31/2024 | | | 2,637,187,512 | | | (4,759,454) |
U.S. Treasury Ultra Bonds | | | Long | | | 5,675 | | | 12/19/2024 | | | 755,307,031 | | | (10,308,997) |
U.S. Treasury Long Bonds | | | Long | | | 28,000 | | | 12/19/2024 | | | 3,477,250,000 | | | (19,021,256) |
| | | $(9,162,356) |
| | | | |
(1)
| Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars. |
34
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Core Fixed Income Fund | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS - 3.6%
| |
| | | | | Aaset Trust | |
| | 2,522,169 | | | Series 2021-2A-B | | | 3.54%(a) | | | 01/15/2047 | | | 2,287,393 | |
| | | | | Apollo Aviation Securitization Equity Trust | |
| | 7,966,388 | | | Series 2024-1A-B | | | 6.90%(a) | | | 05/16/2049 | | | 8,161,780 | |
| | | | | Carbon Level Mitigation Trust | |
| | 19,142,382 | | | Series 2021-5-CERT | | | 0.61%(a) | | | 10/13/2051 | | | 11,708,629 | |
| | | | | Carvana Auto Receivables Trust | |
| | 5,450,000 | | | Series 2024-P3-A4 | | | 4.31% | | | 09/10/2030 | | | 5,443,323 | |
| | | | | Castlelake Aircraft Securitization Trust | |
| | 4,589,688 | | | Series 2021-1A-A | | | 3.47%(a) | | | 01/15/2046 | | | 4,436,953 | |
| | | | | Compass Datacenters LLC | |
| | 5,340,000 | | | Series 2024-1A-A1 | | | 5.25%(a) | | | 02/25/2049 | | | 5,394,211 | |
| | | | | Diamond Infrastructure Funding LLC | |
| | 3,000,000 | | | Series 2021-1A-C | | | 3.48%(a) | | | 04/15/2049 | | | 2,788,749 | |
| | | | | Exeter Automobile Receivables Trust | |
| | 3,273,447 | | | Series 2021-1A-D | | | 1.08% | | | 11/16/2026 | | | 3,224,258 | |
| | 8,500,000 | | | Series 2021-1A-E | | | 2.21%(a) | | | 02/15/2028 | | | 8,274,255 | |
| | | | | FWEA | |
| | 6,000,000 | | | Series 2024-1A | | | 7.15%(b) | | | 08/25/2044 | | | 6,212,400 | |
| | | | | Hardee’s Funding | |
| | 3,482,500 | | | Series 2024-1A-A2 | | | 7.25%(a) | | | 03/20/2054 | | | 3,607,733 | |
| | | | | Helios Issuer LLC | |
| | 3,965,704 | | | Series 2018-1A-A | | | 4.87%(a) | | | 07/20/2048 | | | 3,620,350 | |
| | 4,732,116 | | | Series 2020-1A-A | | | 3.35%(a) | | | 02/01/2055 | | | 4,085,976 | |
| | | | | HERO Funding Trust | |
| | 1,079,227 | | | Series 2016-1A-A | | | 4.05%(a) | | | 09/20/2041 | | | 1,021,547 | |
| | | | | Horizon Aircraft Finance Ltd. | |
| | 1,433,524 | | | Series 2019-2-A | | | 3.43%(a) | | | 11/15/2039 | | | 1,291,061 | |
| | 4,500,000 | | | Series 2024-1-A | | | 5.38%(a) | | | 09/15/2049 | | | 4,516,411 | |
| | | | | ITE Rail Fund LP | |
| | 12,278,002 | | | Series 2021-1A-A | | | 2.25%(a) | | | 02/28/2051 | | | 11,316,119 | |
| | | | | Lendingpoint Asset Securitization Trust | |
| | 1,298,830 | | | Series 2021-A-C | | | 2.75%(a) | | | 12/15/2028 | | | 1,292,922 | |
| | | | | MACH 1 Cayman Ltd. | |
| | 7,986,930 | | | Series 2019-1-A | | | 3.47%(a) | | | 10/15/2039 | | | 7,510,821 | |
| | | | | Mosaic Solar Loans LLC | |
| | 821,805 | | | Series 2018-1A-A | | | 4.01%(a) | | | 06/22/2043 | | | 781,838 | |
| | 1,120,524 | | | Series 2019-2A-B | | | 3.28%(a) | | | 09/20/2040 | | | 1,019,999 | |
| | | | | Navient Student Loan Trust | |
| | 5,169,797 | | | Series 2018-A-B | | | 3.68%(a) | | | 02/18/2042 | | | 5,071,488 | |
| | | | | NBC Funding LLC | |
| | 3,500,000 | | | Series 2024-1A-A2 | | | 6.75%(a) | | | 07/30/2054 | | | 3,626,152 | |
| | | | | NP Railcar Holdings LLC | |
| | 2,852,880 | | | Series 2016-1A-A1 | | | 4.16%(a) | | | 04/20/2046 | | | 2,828,557 | |
| | 4,982,952 | | | Series 2019-1A-A2 | | | 3.24%(a) | | | 09/20/2049 | | | 4,770,029 | |
| | | | | Pagaya AI Debt Selection Trust | |
| | 2,077,343 | | | Series 2021-2-NOTE | | | 3.00%(a) | | | 01/25/2029 | | | 2,046,756 | |
| | | | | Primrose Holdings, Inc. | |
| | 19,250,000 | | | Series 2019-1A-A2 | | | 4.48%(a) | | | 07/30/2049 | | | 18,948,714 | |
| | | | | Retained Vantage Data Centers Issuer LLC | |
| | 6,500,000 | | | Series 2023-1A-A2A | | | 5.00%(a) | | | 09/15/2048 | | | 6,480,884 | |
| | | | | Sapphire Aviation Finance Ltd. | |
| | 2,714,041 | | | Series 2020-1A-A | | | 3.23%(a) | | | 03/15/2040 | | | 2,577,943 | |
| | | | | SEB Funding LLC | |
| | 4,987,500 | | | Series 2021-1A-A2 | | | 4.97%(a) | | | 01/30/2052 | | | 4,894,363 | |
| | | | | SERVPRO Master Issuer LLC | |
| | 952,500 | | | Series 2019-1A-A2 | | | 3.88%(a) | | | 10/25/2049 | | | 930,293 | |
| | | | | Shenton Aircraft Investment Ltd. | |
| | 902,331 | | | Series 2015-1A-A | | | 4.75%(a) | | | 10/15/2042 | | | 856,389 | |
| | | | | SOFI Alternative Trust | |
| | 1,425,645 | | | Series 2021-1-PT1 | | | 9.72%(a)(c) | | | 05/25/2030 | | | 1,414,878 | |
| | 2,002,149 | | | Series 2021-2-A | | | 1.25%(a) | | | 08/15/2030 | | | 1,941,468 | |
| | 75,000 | | | Series 2021-2-R1 | | | 0.00%(a)(b)(d) | | | 08/15/2030 | | | 324,879 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Sotheby’s Artfi Master Trust | |
| | 4,100,000 | | | Series 2024-1A-A1 | | | 6.43%(a) | | | 12/22/2031 | | | 4,172,800 | |
| | | | | Start Ltd./Bermuda | |
| | 1,613,802 | | | Series 2019-1-A | | | 4.09%(a) | | | 03/15/2044 | | | 1,557,873 | |
| | | | | Start/Bermuda | |
| | 2,062,415 | | | Series 2018-1-A | | | 4.09%(a) | | | 05/15/2043 | | | 2,002,890 | |
| | | | | Subway Funding LLC | |
| | 4,500,000 | | | Series 2024-1A-A23 | | | 6.51%(a) | | | 07/30/2054 | | | 4,683,389 | |
| | 5,000,000 | | | Series 2024-3A-A23 | | | 5.91%(a) | | | 07/30/2054 | | | 5,024,590 | |
| | | | | Sunrun, Inc. | |
| | 4,275,081 | | | Series 2019-2-A | | | 3.61%(a) | | | 02/01/2055 | | | 4,007,302 | |
| | 9,908,332 | | | Series 2020-1A-A | | | 2.21%(a) | | | 07/31/2051 | | | 8,834,933 | |
| | | | | Switch ABS Issuer LLC | |
| | 6,000,000 | | | Series 2024-2A-A2 | | | 5.44%(a) | | | 06/25/2054 | | | 6,068,204 | |
| | | | | Upgrade Master Pass-Thru Trust | |
| | 308,665 | | | Series 2021-PT3-A | | | 14.31%(a)(c) | | | 07/15/2027 | | | 280,634 | |
| | 1,383,644 | | | Series 2021-PT4-A | | | 11.63%(a)(c) | | | 08/15/2027 | | | 1,177,176 | |
| | | | | Upstart Pass-Through Trust Series | |
| | 750,619 | | | Series 2021-ST2-A | | | 2.50%(a) | | | 04/20/2027 | | | 738,843 | |
| | | | | Upstart Securitization Trust | |
| | 9,754,685 | | | Series 2021-2-C | | | 3.61%(a) | | | 06/20/2031 | | | 9,628,523 | |
| | 4,427,463 | | | Series 2021-3-C | | | 3.28%(a) | | | 07/20/2031 | | | 4,348,053 | |
| | 3,288,135 | | | Series 2021-4-B | | | 1.84%(a) | | | 09/20/2031 | | | 3,262,655 | |
| | 15,550,000 | | | Series 2021-4-C | | | 3.19%(a) | | | 09/20/2031 | | | 14,866,725 | |
| | 5,938,526 | | | Series 2023-3-A | | | 6.90%(a) | | | 10/20/2033 | | | 6,008,326 | |
| | | | | USASF Receivables LLC | |
| | 2,386,507 | | | Series 2021-1A-C | | | 2.20%(a) | | | 05/15/2026 | | | 2,250,554 | |
| | | | | Vantage Data Centers Holding LLC | |
| | 8,000,000 | | | Series 2020-2A-A2 | | | 1.99%(a) | | | 09/15/2045 | | | 7,345,510 | |
| | | | | WAVE USA | |
| | 8,672,708 | | | Series 2019-1-A | | | 3.60%(a) | | | 09/15/2044 | | | 7,865,141 | |
| | | | | Total Asset Backed Obligations
(Cost $260,425,311) | | | | | | | | | 248,833,642 | |
| | | |
| | BANK LOANS - 3.2% | |
| | | | | 1011778 BC ULC | | | | | | | | | | |
| | 498,750 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 09/23/2030 | | | 494,566 | |
| | | | | AAdvantage Loyalty IP Ltd. | | | | | | | | | | |
| | 986,250 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75%
Floor) | | | 10.29% | | | 04/20/2028 | | | 1,015,423 | |
| | | | | ABG Intermediate Holdings 2 LLC | |
| | 300,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.75%) | | | 7.85% | | | 12/21/2028 | | | 300,657 | |
| | | | | Access CIG LLC | |
| | 664,438 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.50% Floor) | | | 10.25% | | | 08/18/2028 | | | 668,116 | |
| | | | | Acrisure LLC | |
| | 1,536,952 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 11/06/2030 | | | 1,524,948 | |
| | | | | Acuris Finance US, Inc. | |
| | 653,283 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.48% | | | 02/16/2028 | | | 651,650 | |
| | | | | ADMI Corp. | |
| | 547,939 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.71% | | | 12/23/2027 | | | 537,468 | |
| | 739,413 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.75%, 0.00% Floor) | | | 10.60% | | | 12/23/2027 | | | 741,490 | |
| | | | | AI Aqua Merger Sub, Inc. | |
| | 1,531,413 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.70% | | | 07/31/2028 | | | 1,531,337 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 35
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Air Canada | |
| | 432,825 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.25% | | | 03/21/2031 | | | 434,448 | |
| | | | | AlixPartners LLP | |
| | 1,397,453 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 02/04/2028 | | | 1,400,597 | |
| | | | | Alliant Holdings Intermediate LLC | |
| | 1,117,821 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%) | | | 7.96% | | | 09/19/2031 | | | 1,112,824 | |
| | | | | Allied Universal Holdco LLC | |
| | 1,763,089 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.70% | | | 05/15/2028 | | | 1,747,882 | |
| | | | | Allspring Buyer LLC | |
| | 1,424,188 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.14% | | | 11/01/2028 | | | 1,421,518 | |
| | | | | Alpha Generation LLC | |
| | 860,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.75%) | | | 7.85% | | | 09/30/2031 | | | 861,230 | |
| | | | | Alterra Mountain Co. | |
| | 1,126,542 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 08/17/2028 | | | 1,130,530 | |
| | 524,572 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/31/2030 | | | 526,975 | |
| | | | | Altice France SA | |
| | 984,615 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.50%, 0.00% Floor) | | | 10.80% | | | 08/31/2028 | | | 740,923 | |
| | | | | Amentum Holdings, Inc. | |
| | 1,040,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.25%) | | | 7.11% | | | 09/29/2031 | | | 1,038,050 | |
| | | | | Apple Bidco LLC | |
| | 923,875 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.71% | | | 09/25/2028 | | | 923,589 | |
| | | | | Applied Systems, Inc. | |
| | 448,875 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.60% | | | 02/24/2031 | | | 449,746 | |
| | 330,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor) | | | 9.85% | | | 02/23/2032 | | | 340,578 | |
| | | | | Apro LLC | |
| | 835,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.87% | | | 07/09/2031 | | | 838,916 | |
| | | | | APX Group, Inc. | |
| | 1,131,732 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor) | | | 8.03% | | | 07/10/2028 | | | 1,133,237 | |
| | 432 | | | Senior Secured First Lien Term Loan (Prime Rate + 1.75%, 0.50% Floor) | | | 9.75% | | | 07/10/2028 | | | 433 | |
| | | | | Ardonagh Group Finco Pty Ltd. | |
| | 26,671 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%) | | | 8.35% | | | 02/18/2031 | | | 26,767 | |
| | 127,194 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%) | | | 8.53% | | | 02/18/2031 | | | 127,651 | |
| | 303,572 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%) | | | 8.53% | | | 02/18/2031 | | | 304,663 | |
| | | | | Arsenal AIC Parent LLC | |
| | 119,700 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 08/19/2030 | | | 119,760 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Artera Services LLC | |
| | 447,845 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.10% | | | 02/10/2031 | | | 437,697 | |
| | | | | Ascend Learning LLC | |
| | 576,876 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 12/11/2028 | | | 574,911 | |
| | 595,588 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 12/11/2028 | | | 593,560 | |
| | 356,328 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.75%, 0.50% Floor) | | | 10.70% | | | 12/10/2029 | | | 345,861 | |
| | | | | AssuredPartners, Inc. | |
| | 1,403,275 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 02/14/2031 | | | 1,403,521 | |
| | | | | Astra Acquisition Corp. | |
| | 699,785 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 8.88%, 0.75% Floor) | | | 13.74% | | | 10/25/2029 | | | 81,570 | |
| | | | | Asurion LLC | |
| | 552,839 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 07/30/2027 | | | 546,006 | |
| | 295,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.21% | | | 02/03/2028 | | | 277,773 | |
| | 123,458 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.20% | | | 08/21/2028 | | | 121,827 | |
| | 485,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.21% | | | 01/22/2029 | | | 450,027 | |
| | 1,005,043 | | | Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) | | | 9.21% | | | 09/19/2030 | | | 988,867 | |
| | | | | AthenaHealth Group, Inc. | |
| | 1,540,267 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.50% | | | 02/15/2029 | | | 1,533,213 | |
| | | | | Aveanna Healthcare LLC | |
| | 745,654 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.91% | | | 07/17/2028 | | | 730,089 | |
| | 385,415 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.50% Floor) | | | 12.21% | | | 12/10/2029 | | | 364,820 | |
| | | | | Aventiv Technologies LLC | |
| | 15,751 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.50%, 0.00% Floor) | | | 12.37% | | | 07/31/2025 | | | 16,046 | |
| | | | | Bally’s Corp. | |
| | 849,142 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.79% | | | 10/02/2028 | | | 810,667 | |
| | | | | Bausch + Lomb Corp. | |
| | 1,561,476 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.27% | | | 05/10/2027 | | | 1,557,791 | |
| | 554,400 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.85% | | | 09/29/2028 | | | 554,749 | |
| | | | | BCP Renaissance Parent LLC | |
| | 1,006,739 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 1.00% Floor) | | | 7.85% | | | 10/31/2028 | | | 1,007,997 | |
| | | | | BCPE Empire Holdings, Inc. | |
| | 2,235,129 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.85% | | | 12/26/2028 | | | 2,238,627 | |
| | | | | BCPE Pequod Buyer, Inc. | |
| | 215,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.42% | | | 09/19/2031 | | | 214,306 | |
| | | | | | | | | | | | | | | |
36
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Boost Newco Borrower LLC | |
| | 1,285,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.10% | | | 01/31/2031 | | | 1,287,140 | |
| | | | | Boxer Parent Co., Inc. | |
| | 2,110,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 9.01% | | | 07/30/2031 | | | 2,108,323 | |
| | 520,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.75%, 0.00% Floor) | | | 11.01% | | | 07/30/2032 | | | 512,634 | |
| | | | | Brand Industrial Services, Inc. | |
| | 907,240 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.75% | | | 08/01/2030 | | | 884,137 | |
| | | | | Brazos Delaware II LLC | |
| | 114,425 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.25% | | | 02/11/2030 | | | 114,701 | |
| | | | | BroadStreet Partners, Inc. | |
| | 561,023 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 06/16/2031 | | | 559,432 | |
| | 57,428 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 06/16/2031 | | | 57,265 | |
| | | | | Brown Group Holding LLC | |
| | 865,846 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 07/01/2031 | | | 865,184 | |
| | 312,276 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 07/01/2031 | | | 312,037 | |
| | | | | Caesars Entertainment, Inc. | |
| | 311,850 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 02/06/2030 | | | 312,458 | |
| | | | | Camelot US Acquisition LLC | |
| | 228,619 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 228,561 | |
| | 980,774 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 980,529 | |
| | 19,433 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 19,428 | |
| | | | | Carnival Corp. | |
| | 162,974 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.00% | | | 08/09/2027 | | | 163,636 | |
| | 1,364,793 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.00% | | | 10/18/2028 | | | 1,369,201 | |
| | | | | Castle US Holding Corp. | |
| | 330,924 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 9.07% | | | 01/29/2027 | | | 222,073 | |
| | | | | Castlelake Aviation One DAC | |
| | 662 | | | Senior Secured First Lien Term Loan (3 mo. LIBOR US + 2.75%, 0.50% Floor) | | | 7.45%(e) | | | 10/22/2026 | | | 664 | |
| | 1,263,738 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.45% | | | 10/22/2026 | | | 1,268,010 | |
| | | | | Catalent Pharma Solutions, Inc. | |
| | 2,574,660 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 7.03% | | | 02/22/2028 | | | 2,575,870 | |
| | | | | Cengage Learning, Inc. | |
| | 542,275 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.25%, 1.00% Floor) | | | 9.54% | | | 03/24/2031 | | | 544,105 | |
| | | | | Central Parent LLC | |
| | 2,693,363 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 07/06/2029 | | | 2,668,678 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Chariot Buyer LLC | |
| | 437,800 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 11/03/2028 | | | 437,292 | |
| | 95,000 | | | Senior Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.60% | | | 11/03/2028 | | | 94,608 | |
| | | | | Charter Next Generation, Inc. | |
| | 565,392 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.10% | | | 12/01/2027 | | | 566,158 | |
| | | | | CHG Healthcare Services, Inc. | |
| | 593,505 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 09/29/2028 | | | 595,111 | |
| | | | | CHG PPC Parent LLC | |
| | 1,971,709 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.71% | | | 12/08/2028 | | | 1,969,254 | |
| | | | | Clarios Global LP | |
| | 1,536,150 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 05/06/2030 | | | 1,538,715 | |
| | | | | Cloud Software Group, Inc. | |
| | 2,313 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 03/29/2029 | | | 2,306 | |
| | 920,375 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 03/29/2029 | | | 917,687 | |
| | | | | ClubCorp Holdings, Inc. | |
| | 786,604 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 9.87% | | | 09/18/2026 | | | 788,782 | |
| | 32,080 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 9.87% | | | 09/18/2026 | | | 32,169 | |
| | | | | Clydesdale Acquisition Holdings, Inc. | |
| | 851,440 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.18%, 0.50% Floor) | | | 8.02% | | | 04/13/2029 | | | 848,035 | |
| | | | | CMG Media Corp. | |
| | 281,766 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.20% | | | 12/17/2026 | | | 249,522 | |
| | | | | CNT Holdings I Corp. | |
| | 173,688 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.75% | | | 11/08/2027 | | | 174,289 | |
| | | | | Coherent Corp. | |
| | 163,707 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.35% | | | 07/02/2029 | | | 163,962 | |
| | | | | Columbus McKinnon Corp./NY | |
| | 113,477 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.10% | | | 05/15/2028 | | | 113,761 | |
| | | | | CommScope LLC | |
| | 465,052 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 04/06/2026 | | | 451,584 | |
| | | | | Compass Power Generation LLC | |
| | 1,623,794 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.75%, 0.00% Floor) | | | 8.60% | | | 04/16/2029 | | | 1,636,257 | |
| | | | | Connect Finco SARL | |
| | 232,577 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 12/11/2026 | | | 231,954 | |
| | | | | Conservice Midco LLC | |
| | 984,262 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/13/2027 | | | 987,560 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 37
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Constant Contact, Inc. | |
| | 966,460 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 9.57% | | | 02/10/2028 | | | 937,066 | |
| | | | | CoreLogic, Inc. | |
| | 344,498 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 06/02/2028 | | | 341,945 | |
| | | | | Cornerstone Building Brands, Inc. | |
| | 556,352 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.45% | | | 04/12/2028 | | | 545,845 | |
| | 125,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.60% | | | 05/15/2031 | | | 123,789 | |
| | | | | Cornerstone OnDemand, Inc. | |
| | 708,705 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 9.11% | | | 10/16/2028 | | | 665,739 | |
| | | | | Cotiviti, Inc. | |
| | 1,124,350 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.45% | | | 04/30/2031 | | | 1,125,053 | |
| | | | | CPI Holdco B LLC | |
| | 330,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/19/2031 | | | 328,850 | |
| | | | | CPPIB OVM Member US LLC | |
| | 390,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 08/20/2031 | | | 390,650 | |
| | | | | CQP Holdco LP | |
| | 970,554 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.58% | | | 12/31/2030 | | | 970,782 | |
| | | | | Crosby US Acquisition Corp. | |
| | 110,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.60% | | | 08/16/2029 | | | 110,344 | |
| | 307,679 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.25% | | | 08/16/2029 | | | 308,640 | |
| | | | | Cross Financial Corp. | |
| | 718,430 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.35% | | | 09/15/2027 | | | 719,328 | |
| | | | | CSC Holdings LLC | |
| | 964,896 | | | Senior Secured First Lien Term Loan (Synthetic LIBOR(6M) + 2.50%, 0.00% Floor) | | | 7.17%(e) | | | 04/15/2027 | | | 885,640 | |
| | | | | Curium Bidco Sarl | |
| | 390,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.51% | | | 07/31/2029 | | | 391,786 | |
| | 491,664 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 493,916 | |
| | 326,317 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 327,812 | |
| | 144,991 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 145,655 | |
| | | | | Cyborg Oldco DC Holdings, Inc. | |
| | 448,915 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.00%) | | | 7.30%(f) | | | 05/01/2026 | | | 2,469 | |
| | | | | Dcert Buyer, Inc. | |
| | 482,056 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.25% | | | 10/16/2026 | | | 468,951 | |
| | 254,379 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 7.00%, 0.00% Floor) | | | 12.25% | | | 02/16/2029 | | | 220,947 | |
| | | | | Deerfield Dakota Holding LLC | |
| | 1,408,137 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) | | | 8.35% | | | 04/09/2027 | | | 1,381,467 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Delta 2 Lux Sarl | |
| | 110,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 110,195 | |
| | 55,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 55,097 | |
| | | | | Dexko Global, Inc. | |
| | 469,621 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.62% | | | 10/04/2028 | | | 455,073 | |
| | | | | DG Investment Intermediate Holdings 2, Inc. | |
| | 1,231,895 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 9.11% | | | 03/31/2028 | | | 1,230,743 | |
| | 250,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.75% Floor) | | | 11.71% | | | 03/29/2029 | | | 235,781 | |
| | | | | Directv Financing LLC | |
| | 548,821 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.00%, 0.75% Floor) | | | 9.96% | | | 08/02/2027 | | | 549,828 | |
| | | | | Dun & Bradstreet Corp. | |
| | 769,222 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.61% | | | 01/18/2029 | | | 769,437 | |
| | | | | Dynamo US Bidco, Inc. | | | | | | | | | | |
| | 295,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 4.00%) | | | 9.10% | | | 09/25/2031 | | | 296,106 | |
| | | | | Dynasty Acquisition Co., Inc. | | | | | | | | | | |
| | 1,169,624 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 08/24/2028 | | | 1,171,852 | |
| | | | | EAB Global, Inc. | | | | | | | | | | |
| | 1,009,925 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 08/16/2028 | | | 1,007,526 | |
| | | | | Ecovyst Catalyst Technologies LLC | |
| | 654,429 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.50% | | | 06/12/2031 | | | 651,310 | |
| | 252,422 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.50% | | | 06/12/2031 | | | 251,219 | |
| | | | | Edelman Financial Engines Center LLC | |
| | 1,905,012 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 04/07/2028 | | | 1,903,640 | |
| | 465,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.10% | | | 10/06/2028 | | | 464,807 | |
| | | | | Edgewater Generation LLC | | | | | | | | | | |
| | 520,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.10% | | | 08/01/2030 | | | 525,200 | |
| | | | | EG America LLC | | | | | | | | | | |
| | 716,604 | | | Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 5.50%, 0.00% Floor) | | | 10.72% | | | 02/07/2028 | | | 717,202 | |
| | | | | Eisner Advisory Group LLC | | | | | | | | | | |
| | 918,772 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 4.00%, 0.50% Floor) | | | 8.85% | | | 02/28/2031 | | | 923,045 | |
| | | | | Element Materials Technology Group US Holdings, Inc. | |
| | 1,155,125 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.35% | | | 06/25/2029 | | | 1,159,463 | |
| | | | | Ellucian Holdings, Inc. | | | | | | | | | | |
| | 1,530,388 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 10/29/2029 | | | 1,536,005 | |
| | | | | | | | | | | | | | | |
38
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Emrld Borrower LP | | | | | | | | | | |
| | 565,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.56% | | | 08/04/2031 | | | 564,545 | |
| | | | | Everi Holdings, Inc. | | | | | | | | | | |
| | 469,238 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 08/03/2028 | | | 471,058 | |
| | | | | Fertitta Entertainment LLC/NV | |
| | 2,317,301 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.75%, 0.50% Floor) | | | 8.85% | | | 01/29/2029 | | | 2,313,523 | |
| | | | | FinThrive Software Intermediate Holdings, Inc. | |
| | 425,638 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.96% | | | 12/18/2028 | | | 297,325 | |
| | | | | First Advantage Holdings LLC | |
| | 1,127,777 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.71% | | | 01/29/2027 | | | 1,124,721 | |
| | 2,455,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.35% | | | 09/19/2031 | | | 2,447,328 | |
| | | | | Fleetcor Technologies (Corpay) T/L B-5 | |
| | 1,580,000 | | | Senior Secured Term Loan | | | 6.60%(g) | | | 04/28/2028 | | | 1,580,126 | |
| | | | | Flutter Financing BV | | | | | | | | | | |
| | 312,638 | | | Senior Secured First Lien Term Loan (3 mo.
SOFR US + 2.00%, 0.50% Floor) | | | 6.60% | | | 11/29/2030 | | | 313,363 | |
| | | | | Focus Financial Partners LLC | |
| | 2,099,508 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.33% | | | 09/17/2031 | | | 2,095,645 | |
| | 225,492 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.41% | | | 09/17/2031 | | | 225,077 | |
| | | | | Foresight Energy LLC | |
| | 480,492 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 8.00%, 1.50% Floor) | | | 12.70%(b) | | | 06/30/2027 | | | 480,491 | |
| | | | | Fortrea Holdings, Inc. | |
| | 59,794 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.49% | | | 07/01/2030 | | | 59,832 | |
| | | | | Freeport LNG Investments LLLP | |
| | 701,557 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 9.04% | | | 12/21/2028 | | | 696,207 | |
| | | | | Frontier Communications Holdings LLC | |
| | 940,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.76% | | | 07/01/2031 | | | 948,225 | |
| | | | | Gainwell Acquisition Corp. | |
| | 1,902,102 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.70% | | | 10/01/2027 | | | 1,815,318 | |
| | | | | Garda World Security Corp. | |
| | 1,543,550 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.60% | | | 02/01/2029 | | | 1,545,286 | |
| | | | | GBT US III LLC | |
| | 375,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 8.28% | | | 07/28/2031 | | | 374,687 | |
| | | | | GIP II Blue Holding LP | |
| | 483,877 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor) | | | 9.00% | | | 09/29/2028 | | | 486,296 | |
| | | | | GIP Pilot Acquisition Partners LP | |
| | 462,669 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.82% | | | 10/04/2030 | | | 464,209 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Gogo Intermediate Holdings LLC | |
| | 1,167,295 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 9.11% | | | 04/28/2028 | | | 1,103,578 | |
| | | | | Graham Packaging Co., Inc. | |
| | 1,271,766 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 08/04/2027 | | | 1,271,976 | |
| | | | | Grant Thornton LLP/Chicago | |
| | 680,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 05/30/2031 | | | 681,751 | |
| | | | | Great Outdoors Group LLC | |
| | 1,273,427 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.71% | | | 03/06/2028 | | | 1,274,885 | |
| | | | | Greystone Select Financial LLC | |
| | 373,200 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor) | | | 10.54% | | | 06/19/2028 | | | 372,267 | |
| | | | | Grifols Worldwide Operations USA, Inc. | |
| | 570,631 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.40% | | | 11/15/2027 | | | 555,652 | |
| | | | | GTCR Everest Borrower LLC | |
| | 400,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.60% | | | 09/05/2031 | | | 395,812 | |
| | | | | Hamilton Projects Acquiror LLC | |
| | 229,425 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.60% | | | 05/30/2031 | | | 231,375 | |
| | | | | Harbor Freight Tools USA, Inc. | |
| | 71,114 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.24% | | | 06/11/2031 | | | 70,122 | |
| | 533,886 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 06/11/2031 | | | 526,436 | |
| | | | | Helios Software Holdings, Inc. | |
| | 787,533 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.35% | | | 07/15/2030 | | | 785,564 | |
| | | | | Hexion Holdings Corp. | |
| | 1,188,853 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.77% | | | 03/15/2029 | | | 1,181,743 | |
| | | | | H-Food Holdings LLC | |
| | 301,281 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.69%, 0.00% Floor) | | | 9.01% | | | 05/30/2025 | | | 227,719 | |
| | | | | Hightower Holding LLC | |
| | 1,386,525 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.75% | | | 04/21/2028 | | | 1,388,910 | |
| | | | | Hilton Grand Vacations Borrower LLC | |
| | 616,900 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.50% | | | 01/17/2031 | | | 613,430 | |
| | | | | HomeServe USA Corp. | |
| | 467,650 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.21% | | | 10/21/2030 | | | 467,358 | |
| | | | | Hunter Douglas, Inc. | |
| | 857,515 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.57% | | | 02/26/2029 | | | 852,692 | |
| | 315,971 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.57% | | | 02/26/2029 | | | 314,194 | |
| | | | | INEOS US Finance LLC | |
| | 2,131,014 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 02/19/2030 | | | 2,132,537 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 39
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 299,250 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.60% | | | 02/07/2031 | | | 299,961 | |
| | | | | INEOS US Petrochem LLC | |
| | 1,203,950 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.20% | | | 03/29/2029 | | | 1,205,834 | |
| | | | | ION Trading Finance Ltd. | |
| | 355,612 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.02% | | | 04/03/2028 | | | 356,192 | |
| | | | | Iron Mountain Information Management LLC | |
| | 1,176,113 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 1,170,967 | |
| | | | | Ivanti Software, Inc. | |
| | 369,947 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor) | | | 9.83% | | | 12/01/2027 | | | 315,354 | |
| | | | | Kenan Advantage Group, Inc. | |
| | 830,830 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 01/25/2029 | | | 829,447 | |
| | | | | Klockner Pentaplast of America, Inc. | |
| | 472,069 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.73%, 0.50% Floor) | | | 9.72% | | | 02/09/2026 | | | 445,843 | |
| | | | | Kronos Acquisition Holdings, Inc. | |
| | 365,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.31% | | | 07/08/2031 | | | 343,100 | |
| | | | | Lasership, Inc. | |
| | 231,793 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.50%, 0.00% Floor) | | | 12.37% | | | 05/07/2029 | | | 96,890 | |
| | | | | LBM Acquisition LLC | |
| | 2,297,941 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.97% | | | 06/06/2031 | | | 2,257,130 | |
| | | | | LC Ahab US Bidco LLC | |
| | 805,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/01/2031 | | | 809,532 | |
| | | | | Level 3 Financing, Inc. | |
| | 182,946 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor) | | | 11.41% | | | 04/16/2029 | | | 187,085 | |
| | 182,946 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor) | | | 11.41% | | | 04/15/2030 | | | 186,622 | |
| | | | | LifePoint Health, Inc. | |
| | 1,517,385 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor) | | | 10.05% | | | 11/16/2028 | | | 1,518,523 | |
| | 169,575 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.96% | | | 05/14/2031 | | | 169,802 | |
| | | | | Lightning Power LLC | |
| | 755,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.35% | | | 08/18/2031 | | | 757,412 | |
| | | | | Lummus Technology Holdings V LLC | |
| | 758,168 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.46% | | | 12/31/2029 | | | 761,284 | |
| | | | | Madison IAQ LLC | |
| | 1,434,753 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.89% | | | 06/21/2028 | | | 1,435,305 | |
| | | | | Madison Safety & Flow LLC | |
| | 430,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.10% | | | 09/26/2031 | | | 430,404 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Mavis Tire Express Services Topco Corp. | |
| | 813,596 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.35% | | | 05/04/2028 | | | 814,149 | |
| | | | | McAfee Corp. | |
| | 1,123,825 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.45% | | | 03/01/2029 | | | 1,121,280 | |
| | | | | Medline Borrower LP | |
| | 1,154,915 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 10/23/2028 | | | 1,156,688 | |
| | | | | Michaels Cos., Inc. | |
| | 279,907 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor) | | | 9.12% | | | 04/17/2028 | | | 222,106 | |
| | | | | Mister Car Wash Holdings, Inc. | |
| | 219,450 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.85% | | | 03/27/2031 | | | 219,941 | |
| | | | | Mitchell International, Inc. | |
| | 2,249,623 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 06/17/2031 | | | 2,219,355 | |
| | 500,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.10% | | | 06/17/2032 | | | 492,292 | |
| | | | | MIWD Holdco II LLC | |
| | 219,450 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 03/28/2031 | | | 220,105 | |
| | | | | Modena Buyer LLC | |
| | 470,195 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.10% | | | 07/01/2031 | | | 451,242 | |
| | | | | Monogram Food Solutions LLC | |
| | 672,941 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.96% | | | 08/28/2028 | | | 666,212 | |
| | | | | Motion Finco Sarl | |
| | 909,234 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.10% | | | 11/30/2029 | | | 876,160 | |
| | | | | Natgasoline LLC | |
| | 770,792 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.00% Floor) | | | 9.02% | | | 11/14/2025 | | | 766,939 | |
| | | | | NEP Group, Inc. | |
| | 916,557 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor) | | | 8.12% | | | 08/19/2026 | | | 881,613 | |
| | 25,022 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.12% | | | 08/19/2026 | | | 24,068 | |
| | | | | Newfold Digital Holdings Group, Inc. | |
| | 714,692 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.81% | | | 02/10/2028 | | | 633,714 | |
| | | | | Nouryon USA LLC | |
| | 751,343 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.63% | | | 04/03/2028 | | | 753,458 | |
| | 195,031 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.63% | | | 04/03/2028 | | | 195,580 | |
| | | | | NRG Energy, Inc. | |
| | 577,100 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.26% | | | 04/16/2031 | | | 578,759 | |
| | | | | Nvent Thermal LLC | |
| | 910,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.70% | | | 09/12/2031 | | | 910,191 | |
| | | | | | | | | | | | | | | |
40
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Olympus Water US Holding Corp. | |
| | 1,331,663 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.10% | | | 06/23/2031 | | | 1,333,327 | |
| | | | | OneDigital Borrower LLC | |
| | 1,576,050 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 07/02/2031 | | | 1,565,546 | |
| | 520,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.50% Floor) | | | 10.10% | | | 07/02/2032 | | | 516,100 | |
| | | | | Ontario Gaming GTA LP | |
| | 1,135,071 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.89% | | | 08/01/2030 | | | 1,135,423 | |
| | | | | Organon & Co. | |
| | 482,653 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 05/19/2031 | | | 482,653 | |
| | | | | Oryx Midstream Services Permian Basin LLC | |
| | 1,016,430 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 8.23% | | | 10/05/2028 | | | 1,017,980 | |
| | | | | Ovg Business Services LLC | |
| | 750,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.85% | | | 06/25/2031 | | | 747,188 | |
| | | | | Pacific Dental Services, Inc. | |
| | 1,070,111 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.85% | | | 03/17/2031 | | | 1,070,780 | |
| | | | | Packaging Coordinators Midco, Inc. | |
| | 1,390,436 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.10% | | | 11/30/2027 | | | 1,391,632 | |
| | | | | Pactiv Evergreen Group Holdings, Inc. | |
| | 161,688 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 161,839 | |
| | 128,264 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 128,384 | |
| | 632,693 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 633,284 | |
| | | | | Par Petroleum LLC | |
| | 270,875 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 9.06% | | | 02/28/2030 | | | 271,750 | |
| | | | | Perrigo Investments LLC | |
| | 689,163 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.20% | | | 04/20/2029 | | | 689,739 | |
| | | | | PetSmart LLC | |
| | 2,388,845 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.70% | | | 02/14/2028 | | | 2,371,992 | |
| | | | | Phoenix Newco, Inc. | |
| | 1,326,053 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 7.85% | | | 11/15/2028 | | | 1,327,810 | |
| | | | | Playa Resorts Holding BV | |
| | 1,264,141 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 01/05/2029 | | | 1,257,555 | |
| | | | | PointClickCare Technologies, Inc. | |
| | 569,439 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.75% Floor) | | | 7.60% | | | 12/29/2027 | | | 570,150 | |
| | | | | Polar US Borrower T/L B-1 | |
| | 379,573 | | | Senior Secured Term Loan | | | 10.46%(g) | | | 10/15/2028 | | | 284,680 | |
| | | | | Polaris Newco LLC | |
| | 899,346 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.51% | | | 06/05/2028 | | | 885,532 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Pregis TopCo LLC | |
| | 1,381,262 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.85% | | | 07/31/2026 | | | 1,385,820 | |
| | | | | Pretium PKG Holdings, Inc. | |
| | 551,832 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.20%, 1.00% Floor) | | | 9.92% | | | 10/02/2028 | | | 444,683 | |
| | 9,320 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.20%, 1.00% Floor) | | | 9.92% | | | 10/02/2028 | | | 7,511 | |
| | 302,386 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) | | | 10.32% | | | 10/02/2028 | | | 308,529 | |
| | 6,432 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) | | | 10.32% | | | 10/02/2028 | | | 6,563 | |
| | 275,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 6.75%, 0.50% Floor) | | | 12.07% | | | 10/01/2029 | | | 111,375 | |
| | | | | Proofpoint, Inc. | |
| | 1,420,014 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 7.85% | | | 08/31/2028 | | | 1,420,944 | |
| | | | | Quikrete Holdings, Inc. | |
| | 588,152 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.10% | | | 03/19/2029 | | | 588,951 | |
| | 174,125 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 04/14/2031 | | | 174,382 | |
| | | | | Radiology Partners, Inc. | |
| | 932,091 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor) | | | 8.88% | | | 01/31/2029 | | | 915,784 | |
| | 16,795 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor) | | | 8.88% | | | 01/31/2029 | | | 16,502 | |
| | | | | Resideo Funding, Inc. | |
| | 763,088 | | | Senior Secured First Lien Term Loan (3 mo.
SOFR US + 2.00%, 0.00% Floor) | | | 7.30% | | | 06/13/2031 | | | 764,995 | |
| | | | | Restaurant Technologies, Inc. | |
| | 1,171,805 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 1,114,258 | |
| | 111,576 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 106,097 | |
| | 111,576 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 106,097 | |
| | | | | RH | |
| | 943,687 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 10/20/2028 | | | 909,478 | |
| | | | | Sabre GLBL, Inc. | |
| | 155,670 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 12/17/2027 | | | 145,875 | |
| | 99,074 | | | Senior Secured First Lien Term Loan (1 mo.
SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 12/17/2027 | | | 92,841 | |
| | | | | Scientific Games Holdings LP | |
| | 575,000 | | | Senior Secured Term Loan (3 mo. Term SOFR + 3.00%) | | | 8.32% | | | 04/04/2029 | | | 572,257 | |
| | | | | Sedgwick Claims Management Services, Inc. | |
| | 1,125,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 8.25% | | | 07/31/2031 | | | 1,124,190 | |
| | | |
| | | |
| | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 41
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Six Flags Entertainment Corp. | |
| | 354,113 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/01/2031 | | | 354,024 | |
| | | | | SkyMiles IP Ltd. | |
| | 360,745 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) | | | 9.03% | | | 10/20/2027 | | | 367,869 | |
| | | | | Sotera Health Holdings LLC | |
| | 1,410,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 05/30/2031 | | | 1,407,356 | |
| | | | | Southern Veterinary Partners LLC | |
| | 1,790,753 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 1.00% Floor) | | | 8.00% | | | 10/05/2027 | | | 1,796,349 | |
| | | | | Spin Holdco, Inc. | |
| | 408,363 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 9.26% | | | 03/06/2028 | | | 359,276 | |
| | | | | Standard Aero Ltd. | |
| | 450,854 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 08/24/2028 | | | 451,713 | |
| | | | | Staples, Inc. | |
| | 375,000 | | | Senior Secured First Lien Term Loan (3 mo. Term SOFR + 5.75%) | | | 10.69% | | | 09/10/2029 | | | 341,651 | |
| | | | | Starwood Property Mortgage LLC | |
| | 375,165 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.20% | | | 07/27/2026 | | | 376,572 | |
| | | | | StubHub Holdco Sub LLC | |
| | 890,208 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor) | | | 9.60% | | | 03/15/2030 | | | 890,947 | |
| | | | | SWF Holdings I Corp. | |
| | 525,294 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.96% | | | 10/06/2028 | | | 436,871 | |
| | | | | Tamko Building Products LLC | |
| | 524,700 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.17% | | | 09/20/2030 | | | 526,668 | |
| | | | | Team Health Holdings, Inc. | |
| | 330,251 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor) | | | 10.50% | | | 03/02/2027 | | | 316,783 | |
| | | | | Tecta America Corp. | |
| | 803,025 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.96% | | | 04/10/2028 | | | 807,791 | |
| | | | | Telesat LLC | |
| | 193,821 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.81% | | | 12/07/2026 | | | 96,063 | |
| | | | | Thunder Generation T/L | |
| | 1,030,000 | | | Senior Secured Term Loan | | | 7.96%(g) | | | 09/27/2031 | | | 1,030,000 | |
| | | | | Tiger Acquisition LLC | |
| | 699,338 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.20% | | | 06/01/2028 | | | 696,890 | |
| | | | | Titan Acquisition Ltd./Canada | |
| | 1,167,075 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 10.33% | | | 02/15/2029 | | | 1,162,862 | |
| | | | | TK Elevator US Newco, Inc. | |
| | 992,881 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.59% | | | 04/30/2030 | | | 995,983 | |
| | 570,336 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.59% | | | 04/30/2030 | | | 572,119 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Trans Union LLC | |
| | 423,938 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 06/24/2031 | | | 423,577 | |
| | | | | TransDigm, Inc. | |
| | 1,995,175 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.10% | | | 02/28/2031 | | | 1,989,649 | |
| | 940,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%) | | | 7.32% | | | 01/19/2032 | | | 937,354 | |
| | | | | Travelport Finance Luxembourg Sarl | |
| | 453,132 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.00%, 1.00% Floor) | | | 11.60% | | | 09/29/2028 | | | 393,885 | |
| | 147,509 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.00%, 1.00% Floor) | | | 11.60% | | | 09/29/2028 | | | 128,222 | |
| | | | | Traverse Midstream Partners LLC | |
| | 277,654 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.75% | | | 02/16/2028 | | | 278,695 | |
| | | | | TricorBraun Holdings, Inc. | |
| | 896,753 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.21% | | | 03/03/2028 | | | 880,782 | |
| | | | | Trident TPI Holdings, Inc. | |
| | 1,042,331 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 09/18/2028 | | | 1,045,187 | |
| | | | | Triton Water Holdings, Inc. | |
| | 1,560,760 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.85% | | | 03/31/2028 | | | 1,559,824 | |
| | | | | UFC Holdings LLC | |
| | 924,117 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.29% | | | 04/29/2026 | | | 926,016 | |
| | | | | UKG, Inc. | |
| | 2,159,588 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.55% | | | 02/10/2031 | | | 2,162,287 | |
| | | | | Ultra Clean Holdings, Inc. | |
| | 566,457 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.75% | | | 02/25/2028 | | | 569,527 | |
| | | | | United Airlines, Inc. | |
| | 1,127,175 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 8.03% | | | 02/24/2031 | | | 1,130,697 | |
| | | | | United Natural Foods, Inc. | |
| | 463,838 | | | Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) | | | 10.00% | | | 05/01/2031 | | | 466,157 | |
| | | | | United Talent Agency LLC | |
| | 343,275 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.87% | | | 07/07/2028 | | | 344,562 | |
| | | | | Univision Communications, Inc. | |
| | 746,487 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 06/25/2029 | | | 737,627 | |
| | | | | Upbound Group, Inc. | |
| | 660,501 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor) | | | 8.00% | | | 02/17/2028 | | | 660,161 | |
| | | | | Vantage Specialty Chemicals, Inc. | |
| | 461,875 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.50% Floor) | | | 9.87% | | | 10/26/2026 | | | 458,411 | |
| | | | | Vestis Corp. | |
| | 311,719 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.37% | | | 02/24/2031 | | | 310,307 | |
| | | | | | | | | | | | | | | |
42
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Viad Corp. | |
| | 335,842 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.50% Floor) | | | 9.10% | | | 07/31/2028 | | | 336,262 | |
| | | | | Victra Holdings LLC | |
| | 66,739 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor) | | | 9.85% | | | 03/29/2029 | | | 67,406 | |
| | | | | Virgin Media Bristol LLC | |
| | 1,485,000 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.66% | | | 03/31/2031 | | | 1,420,239 | |
| | | | | Vistra Operations Co. LLC | |
| | 253,088 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 12/20/2030 | | | 253,391 | |
| | | | | Vortex Opco LLC | |
| | 255,647 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 9.12% | | | 12/15/2028 | | | 184,705 | |
| | | | | VT Topco, Inc. | |
| | 397,005 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 08/12/2030 | | | 398,700 | |
| | | | | Walker & Dunlop, Inc. | |
| | 612,675 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.20% | | | 12/18/2028 | | | 614,973 | |
| | | | | Wand NewCo 3, Inc. | |
| | 163,303 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 01/30/2031 | | | 163,303 | |
| | 280,585 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 01/30/2031 | | | 280,585 | |
| | | | | WaterBridge Midstream Operating LLC | |
| | 285,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor) | | | 9.39% | | | 06/27/2029 | | | 275,941 | |
| | | | | WaterBridge NDB Operating LLC | |
| | 430,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.60% | | | 05/10/2029 | | | 429,800 | |
| | | | | WestJet Loyalty LP | |
| | 1,368,125 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.35% | | | 02/14/2031 | | | 1,355,867 | |
| | | | | Whatabrands LLC | |
| | 2,216,860 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 08/03/2028 | | | 2,216,117 | |
| | | | | White Cap Supply Holdings LLC | |
| | 585,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 10/31/2029 | | | 581,455 | |
| | | | | WhiteWater DBR HoldCo LLC | |
| | 445,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.35% | | | 03/03/2031 | | | 444,931 | |
| | | | | Zayo Group Holdings, Inc. | |
| | 662,145 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.96% | | | 03/09/2027 | | | 606,760 | |
| | | | | Ziggo Financing Partnership | |
| | 850,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.71% | | | 04/28/2028 | | | 831,168 | |
| | | | | Total Bank Loans
(Cost $218,854,528) | | | | | | | | | 217,293,767 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 3.4% | |
| | | | | Aimco CDO | | | | | | | | | | |
| | 1,000,000 | | | Series 2018-AA-D (3 mo. Term SOFR + 2.81%, 0.00% Floor) | | | 8.10%(a) | | | 04/17/2031 | | | 1,001,020 | |
| | | | | Anchorage Capital CLO Ltd. | |
| | 5,000,000 | | | Series 2021-19A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.77%(a) | | | 10/15/2034 | | | 5,004,404 | |
| | | | | Babson CLO Ltd./Cayman Islands | |
| | 2,000,000 | | | Series 2018-1A-C (3 mo. Term SOFR + 2.86%, 0.00% Floor) | | | 8.16%(a) | | | 04/15/2031 | | | 2,005,450 | |
| | | | | Bain Capital Credit CLO | |
| | 500,000 | | | Series 2024-4A-D1 (3 mo. Term SOFR + 3.10%, 3.10% Floor) | | | 7.97%(a) | | | 10/23/2037 | | | 508,147 | |
| | | | | Battalion CLO Ltd. | |
| | 3,000,000 | | | Series 2022-23A-A1R (3 mo. Term SOFR + 1.42%, 1.42% Floor) | | | 6.56%(a) | | | 10/15/2037 | | | 3,001,670 | |
| | | | | Birch Grove CLO | |
| | 10,000,000 | | | Series 2023-5A-A1R (3 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.26%(a) | | | 10/20/2037 | | | 10,000,000 | |
| | | | | Blackstone, Inc. | |
| | 3,250,000 | | | Series 2018-1A-D (3 mo. Term SOFR + 2.86%, 0.00% Floor) | | | 8.15%(a) | | | 04/17/2030 | | | 3,259,980 | |
| | | | | BlueMountain CLO Ltd. | |
| | 4,000,000 | | | Series 2015-3A-CR (3 mo. Term SOFR + 2.86%, 0.00% Floor) | | | 8.14%(a) | | | 04/20/2031 | | | 3,937,436 | |
| | 2,000,000 | | | Series 2016-3A-DR (3 mo. Term SOFR + 3.36%, 3.10% Floor) | | | 8.48%(a) | | | 11/15/2030 | | | 1,979,408 | |
| | 2,400,000 | | | Series 2017-2A-C (3 mo. Term SOFR + 3.26%, 0.00% Floor) | | | 8.54%(a) | | | 10/20/2030 | | | 2,372,256 | |
| | 2,500,000 | | | Series 2018-23A-D1R (3 mo. Term SOFR + 3.85%, 3.85% Floor) | | | 9.13%(a) | | | 07/20/2037 | | | 2,501,682 | |
| | | | | Buckhorn Park CLO Ltd. | |
| | 1,000,000 | | | Series 2019-1A-DR (3 mo. Term SOFR + 3.36%, 3.10% Floor) | | | 8.64%(a) | | | 07/18/2034 | | | 1,004,772 | |
| | | | | Canyon Capital CLO Ltd. | |
| | 2,500,000 | | | Series 2012-1RA-D (3 mo. Term SOFR + 3.26%, 0.00% Floor) | | | 8.56%(a) | | | 07/15/2030 | | | 2,500,828 | |
| | 2,750,000 | | | Series 2014-1A-CR (3 mo. Term SOFR + 3.01%, 2.75% Floor) | | | 8.27%(a) | | | 01/30/2031 | | | 2,709,492 | |
| | 3,000,000 | | | Series 2016-1A-DR (3 mo. Term SOFR + 3.06%, 0.00% Floor) | | | 8.36%(a) | | | 07/15/2031 | | | 2,993,915 | |
| | 2,500,000 | | | Series 2021-1A-D (3 mo. Term SOFR + 3.36%, 3.10% Floor) | | | 8.66%(a) | | | 04/15/2034 | | | 2,507,078 | |
| | | | | Canyon CLO | |
| | 1,000,000 | | | Series 2021-3A-D (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.61%(a) | | | 07/15/2034 | | | 1,002,452 | |
| | | | | Carlyle Global Market Strategies | |
| | 5,000,000 | | | Series 2016-3A-DRR (3 mo. Term SOFR + 3.56%, 3.30% Floor) | | | 8.84%(a) | | | 07/20/2034 | | | 5,027,930 | |
| | 9,000,000 | | | Series 2021-9A-D (3 mo. Term SOFR + 3.46%, 3.20% Floor) | | | 8.74%(a) | | | 10/20/2034 | | | 9,040,099 | |
| | 1,000,000 | | | Series 2022-5A-D1R (3 mo. Term SOFR + 3.15%, 3.15% Floor) | | | 8.25%(a) | | | 10/15/2037 | | | 1,010,092 | |
| | | | | Cathedral Lake CLO Ltd. | |
| | 6,000,000 | | | Series 2021-8A-C (3 mo. Term SOFR + 2.88%, 2.62% Floor) | | | 8.16%(a) | | | 01/20/2035 | | | 6,030,431 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 43
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 5,000,000 | | | Series 2021-8A-D1 (3 mo. Term SOFR + 3.68%, 3.42% Floor) | | | 8.96%(a) | | | 01/20/2035 | | | 5,033,894 | |
| | | | | Cent CLO | |
| | 9,500,000 | | | Series 2018-27A-DR (3 mo. Term SOFR + 4.09%, 3.83% Floor) | | | 9.38%(a) | | | 01/25/2035 | | | 9,365,290 | |
| | | | | Dryden Senior Loan Fund | |
| | 3,000,000 | | | Series 2015-40A-DR (3 mo. Term SOFR + 3.36%, 3.10% Floor) | | | 8.48%(a) | | | 08/15/2031 | | | 3,003,714 | |
| | 2,200,000 | | | Series 2016-43A-DR3 (3 mo. Term SOFR + 3.51%, 3.25% Floor) | | | 8.79%(a) | | | 04/20/2034 | | | 2,212,069 | |
| | 2,000,000 | | | Series 2018-57A-D (3 mo. Term SOFR + 2.81%, 2.55% Floor) | | | 7.93%(a) | | | 05/15/2031 | | | 2,003,302 | |
| | | | | ING Investment Management CLO Ltd. | |
| | 3,000,000 | | | Series 2014-1A-CR2 (3 mo. Term SOFR + 3.06%, 0.00% Floor) | | | 8.34%(a) | | | 04/18/2031 | | | 3,014,569 | |
| | | | | LCM LP | |
| | 2,000,000 | | | Series 25A-D (3 mo. Term SOFR + 3.71%, 0.00% Floor) | | | 8.99%(a) | | | 07/20/2030 | | | 1,979,466 | |
| | 3,250,000 | | | Series 28A-D (3 mo. Term SOFR + 3.21%, 2.95% Floor) | | | 8.49%(a) | | | 10/20/2030 | | | 3,218,028 | |
| | 4,000,000 | | | Series 30A-DR (3 mo. Term SOFR + 3.26%, 3.00% Floor) | | | 8.54%(a) | | | 04/20/2031 | | | 3,984,234 | |
| | | | | LCM XIII LP | |
| | 4,000,000 | | | Series 14A-DR (3 mo. Term SOFR + 3.01%, 0.00% Floor) | | | 8.29%(a) | | | 07/20/2031 | | | 3,999,784 | |
| | | | | Magnetite CLO Ltd. | |
| | 2,000,000 | | | Series 2019-23A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.60%(a) | | | 01/25/2035 | | | 2,006,839 | |
| | | | | Neuberger Berman CLO Ltd. | |
| | 2,000,000 | | | Series 2019-32A-DR (3 mo. Term SOFR + 2.96%, 2.70% Floor) | | | 8.24%(a) | | | 01/20/2032 | | | 2,009,767 | |
| | | | | Octagon Investment Partners Ltd. | |
| | 5,600,000 | | | Series 2012-1A-CRR (3 mo. Term SOFR + 4.16%, 3.90% Floor) | | | 9.46%(a) | | | 07/15/2029 | | | 5,744,553 | |
| | 2,000,000 | | | Series 2013-1A-DR (3 mo. Term SOFR + 3.26%, 3.00% Floor) | | | 8.55%(a) | | | 07/17/2030 | | | 2,011,565 | |
| | 2,000,000 | | | Series 2013-1A-DR2 (3 mo. Term SOFR + 2.76%, 0.00% Floor) | | | 8.05%(a) | | | 01/25/2031 | | | 2,006,223 | |
| | 2,250,000 | | | Series 2014-1A-CR3 (3 mo. Term SOFR + 3.01%, 2.75% Floor) | | | 8.13%(a) | | | 02/14/2031 | | | 2,260,477 | |
| | 10,000,000 | | | Series 2016-1A-DR (3 mo. Term SOFR + 3.21%, 0.00% Floor) | | | 8.51%(a) | | | 07/15/2030 | | | 10,054,918 | |
| | 5,460,000 | | | Series 2017-1A-CR (3 mo. Term SOFR + 3.56%, 0.00% Floor) | | | 8.84%(a) | | | 03/17/2030 | | | 5,496,220 | |
| | 1,760,000 | | | Series 2017-1A-D (3 mo. Term SOFR + 6.46%, 0.00% Floor) | | | 11.74%(a) | | | 03/17/2030 | | | 1,677,504 | |
| | 1,500,000 | | | Series 2018-18A-C (3 mo. Term SOFR + 2.96%, 0.00% Floor) | | | 8.25%(a) | | | 04/16/2031 | | | 1,504,822 | |
| | 2,500,000 | | | Series 2018-2A-C (3 mo. Term SOFR + 3.11%, 0.00% Floor) | | | 8.40%(a) | | | 07/25/2030 | | | 2,510,968 | |
| | 3,500,000 | | | Series 2019-1A-DR (3 mo. Term SOFR + 3.61%, 3.35% Floor) | | | 8.89%(a) | | | 01/20/2035 | | | 3,521,640 | |
| | | | | Octagon Investment Partners XXII LLC | |
| | 2,500,000 | | | Series 2014-1A-ERR (3 mo. Term SOFR + 5.71%, 5.71% Floor) | | | 10.99%(a) | | | 01/22/2030 | | | 2,373,836 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Sound Point CLO Ltd. | |
| | 1,000,000 | | | Series 2018-2A-C (3 mo. Term SOFR + 2.21%, 0.00% Floor) | | | 7.49%(a) | | | 07/26/2031 | | | 1,004,317 | |
| | 7,000,000 | | | Series 2019-2A-DR (3 mo. Term SOFR + 3.56%, 3.30% Floor) | | | 8.86%(a) | | | 07/15/2034 | | | 6,954,337 | |
| | 7,000,000 | | | Series 2019-3A-DR (3 mo. Term SOFR + 3.76%, 3.76% Floor) | | | 9.05%(a) | | | 10/25/2034 | | | 6,870,171 | |
| | 2,000,000 | | | Series 2020-1A-DR (3 mo. Term SOFR + 3.61%, 3.61% Floor) | | | 8.89%(a) | | | 07/20/2034 | | | 1,988,375 | |
| | 4,000,000 | | | Series 2020-3A-D (3 mo. Term SOFR + 3.91%, 3.65% Floor) | | | 9.20%(a) | | | 01/25/2032 | | | 3,947,792 | |
| | 1,250,000 | | | Series 2021-3A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor) | | | 8.80%(a) | | | 10/25/2034 | | | 1,224,404 | |
| | 1,000,000 | | | Series 2021-4A-D (3 mo. Term SOFR + 3.66%, 3.66% Floor) | | | 8.95%(a) | | | 10/25/2034 | | | 981,113 | |
| | | | | Stewart Park CLO | |
| | 10,000,000 | | | Series 2015-1A-DR (3 mo. Term SOFR + 2.86%, 2.60% Floor) | | | 8.16%(a) | | | 01/15/2030 | | | 10,046,624 | |
| | | | | Storm King Park CLO Ltd. | |
| | 1,000,000 | | | Series 2022-1A-AR (3 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.30%(a) | | | 10/15/2037 | | | 1,000,000 | |
| | | | | Symphony CLO Ltd. | |
| | 3,000,000 | | | Series 2015-16A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.61%(a) | | | 10/15/2031 | | | 2,986,442 | |
| | | | | Trimaran CAVU LLC | |
| | 10,000,000 | | | Series 2021-3A-D (3 mo. Term SOFR + 4.04%, 3.78% Floor) | | | 9.32%(a) | | | 01/18/2035 | | | 10,109,096 | |
| | | | | Upland CLO | |
| | 1,000,000 | | | Series 2016-1A-CR (3 mo. Term SOFR + 3.16%, 0.00% Floor) | | | 8.44%(a) | | | 04/20/2031 | | | 1,006,001 | |
| | | | | Voya CLO Ltd. | |
| | 3,000,000 | | | Series 2017-3A-CR (3 mo. Term SOFR + 3.41%, 0.00% Floor) | | | 8.69%(a) | | | 04/20/2034 | | | 3,014,386 | |
| | 4,000,000 | | | Series 2018-2A-D (3 mo. Term SOFR + 3.01%, 2.75% Floor) | | | 8.31%(a) | | | 07/15/2031 | | | 4,016,524 | |
| | | | | Wellfleet CLO Ltd. | |
| | 4,966,319 | | | Series 2019-XA-A1R (3 mo. Term SOFR + 1.43%, 0.00% Floor) | | | 6.71%(a) | | | 07/20/2032 | | | 4,982,590 | |
| | | | | Wind River CLO Ltd. | |
| | 2,250,000 | | | Series 2014-1A-DRR (3 mo. Term SOFR + 3.26%, 3.00% Floor) | | | 8.54%(a) | | | 07/18/2031 | | | 2,225,686 | |
| | 1,000,000 | | | Series 2014-2A-ER (3 mo. Term SOFR + 6.01%, 5.75% Floor) | | | 11.31%(a) | | | 01/15/2031 | | | 795,351 | |
| | 4,000,000 | | | Series 2014-3A-DR2 (3 mo. Term SOFR + 3.66%, 3.40% Floor) | | | 8.94%(a) | | | 10/22/2031 | | | 3,970,878 | |
| | 3,000,000 | | | Series 2017-1A-DR (3 mo. Term SOFR + 3.98%, 3.72% Floor) | | | 9.26%(a) | | | 04/18/2036 | | | 2,976,534 | |
| | 4,000,000 | | | Series 2017-3A-DR (3 mo. Term SOFR + 4.11%, 3.85% Floor) | | | 9.41%(a) | | | 04/15/2035 | | | 3,967,788 | |
| | 4,000,000 | | | Series 2018-1A-D (3 mo. Term SOFR + 3.16%, 0.00% Floor) | | | 8.46%(a) | | | 07/15/2030 | | | 3,997,968 | |
| | 2,000,000 | | | Series 2021-1A-D1R (3 mo. Term SOFR + 3.95%, 3.95% Floor) | | | 9.17%(a) | | | 07/20/2037 | | | 2,039,014 | |
| | | | | Total Collateralized Loan Obligations
(Cost $230,302,130) | | | | | | | | | 230,497,615 | |
| | | | | | | | | | | | | | | |
44
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS - 5.7% | |
| | 263,000 | | | 1375209 BC Ltd. | | | 9.00%(a) | | | 01/30/2028 | | | 260,904 | |
| | 1,795,108 | | | Acu Petroleo Luxembourg Sarl | | | 7.50% | | | 01/13/2032 | | | 1,803,347 | |
| | 1,700,000 | | | Adani Electricity Mumbai Ltd. | | | 3.95% | | | 02/12/2030 | | | 1,535,659 | |
| | 300,000 | | | Adani Electricity Mumbai Ltd. | | | 3.87% | | | 07/22/2031 | | | 261,959 | |
| | 2,752,000 | | | Adani International Container Terminal Pvt Ltd. | | | 3.00% | | | 02/16/2031 | | | 2,441,438 | |
| | 1,245,000 | | | Adani International Container Terminal Pvt Ltd. | | | 3.00%(a) | | | 02/16/2031 | | | 1,104,502 | |
| | 1,000,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.00% | | | 07/30/2027 | | | 958,000 | |
| | 1,614,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.20% | | | 08/04/2027 | | | 1,559,971 | |
| | 1,700,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.38% | | | 07/03/2029 | | | 1,608,456 | |
| | 500,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 3.10% | | | 02/02/2031 | | | 425,981 | |
| | 2,000,000 | | | Adani Transmission Step-One Ltd. | | | 4.00% | | | 08/03/2026 | | | 1,941,260 | |
| | 1,351,450 | | | Adani Transmission Step-One Ltd. | | | 4.25% | | | 05/21/2036 | | | 1,189,188 | |
| | 1,400,000 | | | Adaro Indonesia PT | | | 4.25% | | | 10/31/2024 | | | 1,396,857 | |
| | 3,492,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | | | 5.10% | | | 01/19/2029 | | | 3,570,502 | |
| | 4,914,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(5 yr. CMT Rate + 2.72%) | | | 6.95% | | | 03/10/2055 | | | 5,096,508 | |
| | 200,000 | | | Aeropuertos Dominicanos Siglo XXI SA | | | 7.00%(a) | | | 06/30/2034 | | | 209,626 | |
| | 2,600,000 | | | AES Espana BV | | | 5.70%(a) | | | 05/04/2028 | | | 2,472,888 | |
| | 1,250,000 | | | Agrosuper SA | | | 4.60% | | | 01/20/2032 | | | 1,152,393 | |
| | 958,331 | | | AI Candelaria Spain SA | | | 7.50% | | | 12/15/2028 | | | 951,012 | |
| | 1,650,000 | | | AI Candelaria Spain SA | | | 5.75% | | | 06/15/2033 | | | 1,351,592 | |
| | 3,200,000 | | | AI Candelaria Spain SA | | | 5.75%(a) | | | 06/15/2033 | | | 2,621,269 | |
| | 6,342,000 | | | AIB Group PLC
(SOFR + 1.91%) | | | 5.87%(a) | | | 03/28/2035 | | | 6,688,859 | |
| | 800,000 | | | Altice Financing SA | | | 5.00%(a) | | | 01/15/2028 | | | 677,429 | |
| | 805,000 | | | Altice France Holding SA | | | 6.00%(a) | | | 02/15/2028 | | | 251,489 | |
| | 1,660,000 | | | Altice France SA | | | 5.50%(a) | | | 10/15/2029 | | | 1,164,556 | |
| | 2,623,000 | | | ArcelorMittal SA | | | 6.00% | | | 06/17/2034 | | | 2,785,115 | |
| | 340,000 | | | ARD Finance SA
7.25% PIK | | | 6.50%(a) | | | 06/30/2027 | | | 76,991 | |
| | 1,305,000 | | | Ardonagh Finco Ltd. | | | 7.75%(a) | | | 02/15/2031 | | | 1,350,124 | |
| | 1,093,425 | | | Avation Capital SA
9.00% PIK | | | 8.25%(a) | | | 10/31/2026 | | | 1,020,641 | |
| | 4,473,000 | | | Avolon Holdings Funding Ltd. | | | 5.75%(a) | | | 03/01/2029 | | | 4,612,600 | |
| | 5,525,000 | | | Avolon Holdings Funding Ltd. | | | 5.75%(a) | | | 11/15/2029 | | | 5,704,422 | |
| | 300,000 | | | Banco Continental SAECA | | | 2.75% | | | 12/10/2025 | | | 290,943 | |
| | 2,400,000 | | | Banco Davivienda SA
(10 yr. CMT Rate + 5.10%) | | | 6.65%(a)(h) | | | 04/22/2031 | | | 2,059,906 | |
| | 500,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 3.00%) | | | 3.13%(a) | | | 07/01/2030 | | | 488,758 | |
| | 3,240,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 3.00%) | | | 3.13% | | | 07/01/2030 | | | 3,167,151 | |
| | 2,800,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 2.45%) | | | 3.25% | | | 09/30/2031 | | | 2,657,342 | |
| | 500,000 | | | Banco del Estado de Chile
(5 yr. CMT Rate + 3.23%) | | | 7.95%(a)(h) | | | 05/02/2029 | | | 537,377 | |
| | 1,400,000 | | | Banco do Estado do Rio Grande do Sul SA
(5 yr. CMT Rate + 4.93%) | | | 5.38% | | | 01/28/2031 | | | 1,376,064 | |
| | 2,650,000 | | | Banco Industrial SA/Guatemala
(5 yr. CMT Rate + 4.44%) | | | 4.88% | | | 01/29/2031 | | | 2,615,232 | |
| | 4,555,000 | | | Banco Internacional del Peru SAA Interbank
(5 yr. CMT Rate + 3.71%) | | | 4.00% | | | 07/08/2030 | | | 4,483,847 | |
| | 2,800,000 | | | Banco Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate + 5.35%) | | | 7.63%(h) | | | 01/10/2028 | | | 2,822,767 | |
| | 1,400,000 | | | Banco Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate + 5.47%) | | | 7.50%(a)(h) | | | 06/27/2029 | | | 1,412,622 | |
| | 5,000,000 | | | Banco Santander SA
(1 yr. CMT Rate + 0.95%) | | | 5.37% | | | 07/15/2028 | | | 5,119,084 | |
| | 4,400,000 | | | Bancolombia SA
(5 yr. CMT Rate + 2.94%) | | | 4.63% | | | 12/18/2029 | | | 4,358,102 | |
| | 900,000 | | | Bancolombia SA
(5 yr. CMT Rate + 4.32%) | | | 8.63% | | | 12/24/2034 | | | 966,848 | |
| | 7,403,000 | | | Bank of Montreal
(5 yr. Swap Rate USD + 1.43%) | | | 3.80% | | | 12/15/2032 | | | 7,195,483 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 5,745,000 | | | Barclays PLC
(SOFR + 1.56%) | | | 4.94% | | | 09/10/2030 | | | 5,793,990 | |
| | 4,439,000 | | | BAT Capital Corp. | | | 4.54% | | | 08/15/2047 | | | 3,751,957 | |
| | 2,900,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 2.65%) | | | 5.13% | | | 01/18/2033 | | | 2,760,539 | |
| | 2,200,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 4.31%) | | | 5.88% | | | 09/13/2034 | | | 2,142,391 | |
| | 1,040,000 | | | Bombardier, Inc. | | | 8.75%(a) | | | 11/15/2030 | | | 1,143,297 | |
| | 255,000 | | | Bombardier, Inc. | | | 7.00%(a) | | | 06/01/2032 | | | 267,033 | |
| | 1,400,000 | | | Braskem Idesa SAPI | | | 6.99% | | | 02/20/2032 | | | 1,104,432 | |
| | 2,500,000 | | | Braskem Netherlands Finance BV (5 yr. CMT Rate + 8.22%) | | | 8.50% | | | 01/23/2081 | | | 2,504,290 | |
| | 1,400,000 | | | Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy | | | 7.88%(a) | | | 02/15/2039 | | | 1,493,220 | |
| | 4,820,000 | | | CaixaBank SA
(SOFR + 2.26%) | | | 6.04%(a) | | | 06/15/2035 | | | 5,124,512 | |
| | 2,800,000 | | | Canacol Energy Ltd. | | | 5.75% | | | 11/24/2028 | | | 1,483,401 | |
| | 2,900,000 | | | CAP SA | | | 3.90% | | | 04/27/2031 | | | 2,385,250 | |
| | 2,100,000 | | | CAP SA | | | 3.90%(a) | | | 04/27/2031 | | | 1,727,250 | |
| | 4,007,000 | | | CCL Industries, Inc. | | | 3.05%(a) | | | 06/01/2030 | | | 3,678,662 | |
| | 4,500,000 | | | Cemex SAB de CV
(5 yr. CMT Rate + 4.53%) | | | 5.13%(h) | | | 06/08/2026 | | | 4,435,325 | |
| | 900,000 | | | Cencosud SA | | | 4.38% | | | 07/17/2027 | | | 891,512 | |
| | 4,940,479 | | | Chile Electricity PEC SpA | | | 0.00%(a) | | | 01/25/2028 | | | 4,075,895 | |
| | 3,600,000 | | | Cia de Minas Buenaventura SAA | | | 5.50% | | | 07/23/2026 | | | 3,555,050 | |
| | 624,800 | | | Cometa Energia SAB de CV | | | 6.38% | | | 04/24/2035 | | | 634,576 | |
| | 4,356,000 | | | Commonwealth Bank of Australia | | | 4.32%(a) | | | 01/10/2048 | | | 3,831,159 | |
| | 2,881,000 | | | Cosan Overseas Ltd. | | | 8.25%(h) | | | 11/05/2024 | | | 2,957,519 | |
| | 800,000 | | | Credicorp Ltd. | | | 2.75% | | | 06/17/2025 | | | 785,278 | |
| | 5,010,000 | | | Credit Agricole SA
(SOFR + 1.69%) | | | 5.34%(a) | | | 01/10/2030 | | | 5,157,188 | |
| | 5,400,000 | | | Credito Real SAB de CV SOFOM ER
(5 yr. CMT Rate + 7.03%) | | | 9.13%(f)(h) | | | 11/29/2027 | | | 16,200 | |
| | 2,200,000 | | | CSN Resources SA | | | 5.88% | | | 04/08/2032 | | | 1,876,168 | |
| | 1,600,000 | | | CT Trust | | | 5.13% | | | 02/03/2032 | | | 1,467,985 | |
| | 2,700,000 | | | DBS Group Holdings Ltd.
(5 yr. CMT Rate + 1.10%) | | | 1.82% | | | 03/10/2031 | | | 2,596,369 | |
| | 14,682 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(b) | | | 12/31/2030 | | | 14,509 | |
| | 1,788,649 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(b) | | | 12/31/2030 | | | 24,836 | |
| | 677,803 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(b) | | | 12/31/2030 | | | 86,821 | |
| | 400,000 | | | eG Global Finance PLC | | | 12.00%(a) | | | 11/30/2028 | | | 446,812 | |
| | 4,846,000 | | | Element Fleet Management Corp. | | | 6.32%(a) | | | 12/04/2028 | | | 5,166,599 | |
| | 1,642,320 | | | Empresa Electrica Cochrane SpA | | | 5.50% | | | 05/14/2027 | | | 1,603,266 | |
| | 4,800,000 | | | Empresas Publicas de Medellin ESP | | | 4.25% | | | 07/18/2029 | | | 4,394,632 | |
| | 1,400,000 | | | Empresas Publicas de Medellin ESP | | | 4.38% | | | 02/15/2031 | | | 1,239,772 | |
| | 1,977,000 | | | Enel Finance International NV | | | 5.13%(a) | | | 06/26/2029 | | | 2,025,792 | |
| | 1,700,000 | | | Energuate Trust | | | 5.88% | | | 05/03/2027 | | | 1,676,123 | |
| | 183,744 | | | Fermaca Enterprises S de RL de CV | | | 6.38% | | | 03/30/2038 | | | 183,400 | |
| | 773,370 | | | Fideicomiso PA Pacifico Tres | | | 8.25% | | | 01/15/2035 | | | 775,303 | |
| | 2,800,000 | | | Freeport Indonesia PT | | | 4.76% | | | 04/14/2027 | | | 2,823,109 | |
| | 2,000,000 | | | Freeport Indonesia PT | | | 5.32% | | | 04/14/2032 | | | 2,034,712 | |
| | 500,000 | | | Freeport-McMoRan, Inc. | | | 4.38% | | | 08/01/2028 | | | 496,548 | |
| | 500,000 | | | Freeport-McMoRan, Inc. | | | 4.63% | | | 08/01/2030 | | | 499,875 | |
| | 1,031,000 | | | Frigorifico Concepcion SA | | | 7.70% | | | 07/21/2028 | | | 720,989 | |
| | 1,295,000 | | | Garda World Security Corp. | | | 4.63%(a) | | | 02/15/2027 | | | 1,272,646 | |
| | 930,000 | | | Garda World Security Corp. | | | 6.00%(a) | | | 06/01/2029 | | | 893,375 | |
| | 1,290,000 | | | GGAM Finance Ltd. | | | 6.88%(a) | | | 04/15/2029 | | | 1,345,188 | |
| | 4,223,000 | | | Glencore Funding LLC | | | 1.63%(a) | | | 04/27/2026 | | | 4,054,164 | |
| | 8,718,000 | | | Glencore Funding LLC | | | 5.37%(a) | | | 04/04/2029 | | | 9,016,666 | |
| | 2,075,000 | | | Global Aircraft Leasing Co. Ltd. | | | 8.75%(a) | | | 09/01/2027 | | | 2,108,208 | |
| | 1,500,000 | | | Global Bank Corp.
(3 mo. LIBOR US + 3.30%) | | | 5.25%(e) | | | 04/16/2029 | | | 1,472,228 | |
| | 470,720 | | | GNL Quintero SA | | | 4.63% | | | 07/31/2029 | | | 468,724 | |
| | 300,000 | | | Gold Fields Orogen Holdings BVI Ltd. | | | 6.13% | | | 05/15/2029 | | | 314,996 | |
| | 4,150,000 | | | Gran Tierra Energy, Inc. | | | 9.50%(a) | | | 10/15/2029 | | | 3,942,261 | |
| | 1,460,000 | | | Grifols SA | | | 4.75%(a) | | | 10/15/2028 | | | 1,368,837 | |
| | 6,128,310 | | | Guara Norte Sarl | | | 5.20% | | | 06/15/2034 | | | 5,841,695 | |
| | 10,805,000 | | | HSBC Holdings PLC
(3 mo. Term SOFR + 1.64%) | | | 6.59% | | | 09/12/2026 | | | 10,902,082 | |
| | 299,200 | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru | | | 6.38% | | | 06/01/2028 | | | 301,102 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 45
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 1,505,000 | | | Husky Injection Molding Systems Ltd. / Titan Co.-Borrower LLC | | | 9.00%(a) | | | 02/15/2029 | | | 1,572,365 | |
| | 1,300,000 | | | INEOS Finance PLC | | | 7.50%(a) | | | 04/15/2029 | | | 1,359,978 | |
| | 3,000,000 | | | InRetail Consumer | | | 3.25% | | | 03/22/2028 | | | 2,816,156 | |
| | 1,900,000 | | | InRetail Shopping Malls | | | 5.75% | | | 04/03/2028 | | | 1,914,822 | |
| | 575,000 | | | Intelsat Jackson Holdings SA | | | 6.50%(a) | | | 03/15/2030 | | | 551,582 | |
| | 1,900,000 | | | Intercorp Financial Services, Inc. | | | 4.13% | | | 10/19/2027 | | | 1,837,435 | |
| | 200,000 | | | Intercorp Peru Ltd. | | | 3.88% | | | 08/15/2029 | | | 187,105 | |
| | 395,920 | | | Interoceanica IV Finance Ltd.
Series 2007 | | | 0.00%(b) | | | 11/30/2025 | | | 378,104 | |
| | 1,192,690 | | | Invepar Holdings | | | 0.00%(b)(f) | | | 12/30/2028 | | | — | |
| | 1,600,000 | | | Itau Unibanco Holding SA/Cayman Island
(5 yr. CMT Rate + 3.22%) | | | 4.63%(h) | | | 02/27/2025 | | | 1,562,088 | |
| | 988,000 | | | JSW Hydro Energy Ltd. | | | 4.13%(a) | | | 05/18/2031 | | | 903,036 | |
| | 1,368,000 | | | JSW Hydro Energy Ltd. | | | 4.13% | | | 05/18/2031 | | | 1,250,358 | |
| | 1,700,000 | | | JSW Infrastructure Ltd. | | | 4.95% | | | 01/21/2029 | | | 1,655,582 | |
| | 300,000 | | | Kallpa Generacion SA | | | 4.13% | | | 08/16/2027 | | | 295,098 | |
| | 625,000 | | | Kronos Acquisition Holdings, Inc. | | | 8.25%(a) | | | 06/30/2031 | | | 628,144 | |
| | 1,400,000 | | | KUO SAB De CV | | | 5.75% | | | 07/07/2027 | | | 1,377,017 | |
| | 1,400,000 | | | LD Celulose International GmbH | | | 7.95%(a) | | | 01/26/2032 | | | 1,437,625 | |
| | 1,085,163 | | | Lima Metro Line 2 Finance Ltd. | | | 4.35% | | | 04/05/2036 | | | 1,017,745 | |
| | 2,372,000 | | | Macquarie Airfinance Holdings Ltd. | | | 6.40%(a) | | | 03/26/2029 | | | 2,470,494 | |
| | 627,000 | | | Macquarie Airfinance Holdings Ltd. | | | 5.15%(a) | | | 03/17/2030 | | | 628,894 | |
| | 515,000 | | | Macquarie Airfinance Holdings Ltd. | | | 6.50%(a) | | | 03/26/2031 | | | 543,952 | |
| | 3,100,000 | | | MARB BondCo PLC | | | 3.95% | | | 01/29/2031 | | | 2,750,546 | |
| | 1,340,000 | | | Mattamy Group Corp. | | | 4.63%(a) | | | 03/01/2030 | | | 1,284,025 | |
| | 700,000 | | | Medco Laurel Tree Pte Ltd. | | | 6.95% | | | 11/12/2028 | | | 700,739 | |
| | 3,000,000 | | | Medco Oak Tree Pte Ltd. | | | 7.38% | | | 05/14/2026 | | | 3,048,030 | |
| | 600,000 | | | MEGlobal BV | | | 4.25% | | | 11/03/2026 | | | 593,433 | |
| | 2,100,000 | | | MEGlobal Canada ULC | | | 5.00% | | | 05/18/2025 | | | 2,099,148 | |
| | 2,095,000 | | | Merlin Entertainments Group US Holdings, Inc. | | | 7.38%(a) | | | 02/15/2031 | | | 2,104,784 | |
| | 2,550,000 | | | Mexarrend SAPI de CV | | | 10.25%(a)(f) | | | 07/24/2025 | | | 130,050 | |
| | 1,451,616 | | | Mexico Generadora de Energia S de RL | | | 5.50% | | | 12/06/2032 | | | 1,450,775 | |
| | 1,170,000 | | | Millicom International Cellular SA | | | 6.63% | | | 10/15/2026 | | | 1,171,082 | |
| | 900,000 | | | Millicom International Cellular SA | | | 5.13% | | | 01/15/2028 | | | 875,023 | |
| | 1,800,000 | | | Millicom International Cellular SA | | | 6.25% | | | 03/25/2029 | | | 1,791,816 | |
| | 2,100,000 | | | Minerva Luxembourg SA | | | 4.38% | | | 03/18/2031 | | | 1,867,406 | |
| | 1,100,000 | | | Minerva Luxembourg SA | | | 8.88%(a) | | | 09/13/2033 | | | 1,200,235 | |
| | 800,000 | | | Minerva Luxembourg SA | | | 8.88% | | | 09/13/2033 | | | 872,898 | |
| | 1,200,000 | | | Minsur SA | | | 4.50% | | | 10/28/2031 | | | 1,106,406 | |
| | 4,950,000 | | | Mitsubishi UFJ Financial Group, Inc.
(1 yr. CMT Rate + 1.00%) | | | 5.43% | | | 04/17/2035 | | | 5,206,070 | |
| | 1,096,265 | | | Mong Duong Finance Holdings BV | | | 5.13% | | | 05/07/2029 | | | 1,064,645 | |
| | 1,300,000 | | | Movida Europe SA | | | 7.85% | | | 04/11/2029 | | | 1,252,585 | |
| | 1,400,000 | | | Movida Europe SA | | | 7.85%(a) | | | 04/11/2029 | | | 1,348,937 | |
| | 3,059,392 | | | MV24 Capital BV | | | 6.75% | | | 06/01/2034 | | | 2,993,727 | |
| | 7,065,000 | | | National Australia Bank Ltd. | | | 2.99%(a) | | | 05/21/2031 | | | 6,287,655 | |
| | 4,925,000 | | | NatWest Markets PLC | | | 5.41%(a) | | | 05/17/2029 | | | 5,123,960 | |
| | 3,703,000 | | | NBN Co. Ltd. | | | 1.45%(a) | | | 05/05/2026 | | | 3,544,764 | |
| | 4,200,000 | | | Network i2i Ltd.
(5 yr. CMT Rate + 4.27%) | | | 5.65%(h) | | | 01/15/2025 | | | 4,211,572 | |
| | 900,000 | | | Network i2i Ltd.
(5 yr. CMT Rate + 3.39%) | | | 3.98%(h) | | | 03/03/2026 | | | 877,492 | |
| | 1,265,000 | | | Ontario Gaming GTA LP/OTG Co.-Issuer, Inc. | | | 8.00%(a) | | | 08/01/2030 | | | 1,315,577 | |
| | 1,228,000 | | | Orazul Energy Peru SA | | | 5.63% | | | 04/28/2027 | | | 1,209,304 | |
| | 5,900,000 | | | Oversea-Chinese Banking Corp. Ltd.
(5 yr. CMT Rate + 1.58%) | | | 1.83% | | | 09/10/2030 | | | 5,732,002 | |
| | 500,000 | | | Oversea-Chinese Banking Corp. Ltd.
(5 yr. CMT Rate + 1.58%) | | | 1.83%(a) | | | 09/10/2030 | | | 485,763 | |
| | 690,000 | | | Parkland Corp. | | | 4.63%(a) | | | 05/01/2030 | | | 651,185 | |
| | 1,000,000 | | | Periama Holdings | | | 5.95% | | | 04/19/2026 | | | 998,562 | |
| | 2,382,642 | | | Prumo Participacoes e Investimentos S/A | | | 7.50% | | | 12/31/2031 | | | 2,394,394 | |
| | 500,000 | | | Reliance Industries Ltd. | | | 4.13% | | | 01/28/2025 | | | 498,493 | |
| | 10,785,000 | | | Renesas Electronics Corp. | | | 2.17%(a) | | | 11/25/2026 | | | 10,276,349 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,932,000 | | | Royal Bank of Canada | | | 5.15% | | | 02/01/2034 | | | 2,009,974 | |
| | 4,292,181 | | | Rutas 2 & 7 Finance Ltd. | | | 0.00% | | | 09/30/2036 | | | 3,111,192 | |
| | 900,000 | | | SAN Miguel Industrias Pet SA / NG PET R&P Latin America SA | | | 3.50% | | | 08/02/2028 | | | 828,801 | |
| | 400,000 | | | Sasol Financing USA LLC | | | 4.38% | | | 09/18/2026 | | | 388,841 | |
| | 1,010,000 | | | Seaspan Corp. | | | 5.50%(a) | | | 08/01/2029 | | | 962,873 | |
| | 1,100,000 | | | Simpar Europe SA | | | 5.20% | | | 01/26/2031 | | | 913,676 | |
| | 5,008,000 | | | Smurfit Kappa Treasury ULC | | | 5.20%(a) | | | 01/15/2030 | | | 5,179,228 | |
| | 926,000 | | | South Bow USA Infrastructure Holdings LLC | | | 4.91%(a) | | | 09/01/2027 | | | 933,316 | |
| | 1,500,000 | | | Southern Copper Corp. | | | 3.88% | | | 04/23/2025 | | | 1,489,587 | |
| | 350,000 | | | Sydney Airport Finance Co. Pty Ltd. | | | 3.63%(a) | | | 04/28/2026 | | | 345,606 | |
| | 130,000 | | | Telesat Canada / Telesat LLC | | | 4.88%(a) | | | 06/01/2027 | | | 60,162 | |
| | 174,000 | | | Telesat Canada / Telesat LLC | | | 6.50%(a) | | | 10/15/2027 | | | 58,605 | |
| | 400,000 | | | Termocandelaria Power SA | | | 7.75%(a) | | | 09/17/2031 | | | 410,018 | |
| | 701,343 | | | Tierra Mojada Luxembourg II Sarl | | | 5.75% | | | 12/01/2040 | | | 666,617 | |
| | 1,000,000 | | | TK Elevator US Newco, Inc. | | | 5.25%(a) | | | 07/15/2027 | | | 989,997 | |
| | 500,000 | | | Transelec SA | | | 3.88% | | | 01/12/2029 | | | 481,818 | |
| | 3,705,000 | | | Triton Container International Ltd. / TAL International Container Corp. | | | 3.25% | | | 03/15/2032 | | | 3,204,978 | |
| | 3,024,000 | | | UBS Group AG
(1 Year US Dollar SOFR Swap Rate + 1.86%) | | | 5.38%(a) | | | 09/06/2045 | | | 3,095,514 | |
| | 400,000 | | | Unigel Luxembourg SA | | | 8.75%(f) | | | 10/01/2026 | | | 100,560 | |
| | 3,500,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.52%) | | | 1.75% | | | 03/16/2031 | | | 3,355,380 | |
| | 1,700,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.23%) | | | 2.00% | | | 10/14/2031 | | | 1,611,182 | |
| | 300,000 | | | UPL Corp. Ltd. | | | 4.50% | | | 03/08/2028 | | | 272,459 | |
| | 3,350,000 | | | UPL Corp. Ltd. | | | 4.63% | | | 06/16/2030 | | | 2,858,388 | |
| | 1,895,000 | | | Vale Overseas Ltd. | | | 6.40% | | | 06/28/2054 | | | 1,998,139 | |
| | 1,305,000 | | | Vallourec SACA | | | 7.50%(a) | | | 04/15/2032 | | | 1,385,941 | |
| | 700,000 | | | Vedanta Resources Finance II PLC | | | 9.25%(a) | | | 04/23/2026 | | | 695,646 | |
| | 2,914,000 | | | Vedanta Resources Ltd. | | | 13.88% | | | 12/09/2028 | | | 2,990,353 | |
| | 10,550,000 | | | Weir Group PLC | | | 2.20%(a) | | | 05/13/2026 | | | 10,154,663 | |
| | 5,830,000 | | | ZF North America Capital, Inc. | | | 6.88%(a) | | | 04/23/2032 | | | 5,854,212 | |
| | | | | Total Foreign Corporate Bonds
(Cost $405,690,869) | | | | | | 392,267,520 | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 0.8% | |
| | 3,800,000 | | | Banco do Brasil SA/Cayman (10 yr. CMT Rate + 4.40%) | | | 8.75%(h) | | | 04/15/2025 | | | 3,861,921 | |
| | 3,100,000 | | | Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%) | | | 2.72% | | | 08/11/2031 | | | 2,839,964 | |
| | 1,800,000 | | | Bank Negara Indonesia Persero Tbk PT | | | 3.75% | | | 03/30/2026 | | | 1,757,047 | |
| | 2,492,470 | | | Bioceanico Sovereign Certificate Ltd. | | | 0.00% | | | 06/05/2034 | | | 1,962,986 | |
| | 800,000 | | | Colombia Government International Bond | | | 3.88% | | | 04/25/2027 | | | 772,849 | |
| | 10,700,000 | | | Colombia Government International Bond | | | 4.13% | | | 05/15/2051 | | | 6,780,281 | |
| | 200,000 | | | Comision Federal de Electricidad | | | 3.35% | | | 02/09/2031 | | | 172,976 | |
| | 1,300,000 | | | Comision Federal de Electricidad | | | 6.45%(a) | | | 01/24/2035 | | | 1,296,425 | |
| | 9,000,000 | | | Ecopetrol SA | | | 5.88% | | | 11/02/2051 | | | 6,548,144 | |
| | 2,800,000 | | | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple | | | 7.25%(a) | | | 01/31/2041 | | | 2,924,460 | |
| | 200,000 | | | Guatemala Government Bond | | | 4.38% | | | 06/05/2027 | | | 195,655 | |
| | 800,000 | | | Guatemala Government Bond | | | 4.88% | | | 02/13/2028 | | | 790,078 | |
| | 300,000 | | | Guatemala Government Bond | | | 5.25% | | | 08/10/2029 | | | 297,635 | |
| | 2,000,000 | | | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT | | | 4.75% | | | 05/15/2025 | | | 1,996,426 | |
| | 3,561,327 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 3,620,547 | |
| | 2,800,000 | | | Mexico Government International Bond | | | 4.40% | | | 02/12/2052 | | | 2,157,821 | |
| | 7,000,000 | | | Mexico Government International Bond | | | 6.34% | | | 05/04/2053 | | | 6,977,111 | |
| | 600,000 | | | OCP SA | | | 4.50% | | | 10/22/2025 | | | 595,157 | |
| | | | | | | | | | | | | | | |
46
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 900,000 | | | Panama Government International Bond | | | 3.88% | | | 03/17/2028 | | | 869,974 | |
| | 4,500,000 | | | Panama Government International Bond | | | 3.87% | | | 07/23/2060 | | | 2,846,023 | |
| | 900,000 | | | Paraguay Government International Bond | | | 4.70% | | | 03/27/2027 | | | 899,550 | |
| | 1,900,000 | | | Pertamina Persero PT | | | 1.40% | | | 02/09/2026 | | | 1,820,974 | |
| | 2,400,000 | | | Petroleos del Peru SA | | | 4.75% | | | 06/19/2032 | | | 1,898,802 | |
| | 1,200,000 | | | Petroleos del Peru SA | | | 5.63% | | | 06/19/2047 | | | 822,992 | |
| | 1,500,000 | | | Petroleos Mexicanos | | | 6.75% | | | 09/21/2047 | | | 1,075,754 | |
| | 2,100,000 | | | Republic of South Africa Government International Bond | | | 4.30% | | | 10/12/2028 | | | 2,036,961 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $65,083,351) | | | | | | | | | 57,818,513 | |
| | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 5.5% | |
| | | | | Arbor Multifamily Mortgage Securities Trust | |
| | 22,775,500 | | | Series 2021-MF2-XB | | | 0.86%(a)(c)(i) | | | 06/15/2054 | | | 1,019,716 | |
| | | | | Arbor Realty Trust, Inc. | |
| | 2,347,133 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.18%, 1.18% Floor) | | | 6.28%(a) | | | 08/15/2034 | | | 2,344,612 | |
| | 4,681,500 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.56%(a) | | | 11/15/2036 | | | 4,688,902 | |
| | | | | AREIT Ltd. | |
| | 4,000,000 | | | Series 2024-CRE9-B (1 mo. Term SOFR + 2.54%, 2.54% Floor) | | | 7.62%(a) | | | 05/17/2041 | | | 4,007,388 | |
| | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc. | |
| | 5,515,000 | | | Series 2015-UBS7-C | | | 4.48%(c) | | | 09/15/2048 | | | 4,762,376 | |
| | | | | Banc of America Re-Remic Trust | |
| | 2,638,666 | | | Series 2016-ISQ-C | | | 3.73%(a)(c) | | | 08/14/2034 | | | 1,264,196 | |
| | | | | BANK | |
| | 4,053,988 | | | Series 2017-BNK8-XA | | | 0.84%(c)(i) | | | 11/15/2050 | | | 73,936 | |
| | 1,005,000 | | | Series 2020-BN28-AS | | | 2.14% | | | 03/15/2063 | | | 859,211 | |
| | 1,910,000 | | | Series 2021-BN32-A4 | | | 2.35% | | | 04/15/2054 | | | 1,700,792 | |
| | 4,009,000 | | | Series 2021-BN35-A5 | | | 2.29% | | | 06/15/2064 | | | 3,490,639 | |
| | 3,109,000 | | | Series 2021-BN37-C | | | 3.21%(c) | | | 11/15/2064 | | | 2,344,643 | |
| | 11,034,000 | | | Series 2022-BNK39-AS | | | 3.18% | | | 02/15/2055 | | | 9,795,696 | |
| | 2,682,000 | | | Series 2022-BNK39-E | | | 2.50%(a) | | | 02/15/2055 | | | 1,729,731 | |
| | | | | BANK5 Trust | |
| | 5,478,000 | | | Series 2024-5YR9-A3 | | | 5.61% | | | 08/15/2057 | | | 5,720,421 | |
| | | | | BBCMS Trust | |
| | 4,526,000 | | | Series 2021-C12-A5 | | | 2.69% | | | 11/15/2054 | | | 4,026,789 | |
| | 5,364,000 | | | Series 2022-C14-A5 | | | 2.95%(c) | | | 02/15/2055 | | | 4,832,464 | |
| | 5,785,000 | | | Series 2022-C16-A5 | | | 4.60%(c) | | | 06/15/2055 | | | 5,798,875 | |
| | 5,500,000 | | | Series 2024-5C29-A3 | | | 5.21% | | | 09/15/2057 | | | 5,658,810 | |
| | | | | Benchmark Mortgage Trust | |
| | 4,598,000 | | | Series 2020-B18-AGNF | | | 4.14%(a) | | | 07/15/2053 | | | 4,360,458 | |
| | 4,549,000 | | | Series 2020-B19-AS | | | 2.15% | | | 09/15/2053 | | | 3,703,845 | |
| | 1,091,000 | | | Series 2020-B19-C | | | 3.21% | | | 09/15/2053 | | | 806,378 | |
| | 89,076,544 | | | Series 2021-B28-XA | | | 1.38%(c)(i) | | | 08/15/2054 | | | 5,394,066 | |
| | 10,350,000 | | | Series 2022-B32-AS | | | 3.53%(c) | | | 01/15/2055 | | | 8,991,562 | |
| | 5,600,000 | | | Series 2024-V10-A3 | | | 5.28% | | | 10/15/2029 | | | 5,772,267 | |
| | 5,000,000 | | | Series 2024-V8-A2 | | | 5.71% | | | 07/15/2057 | | | 5,239,383 | |
| | 5,443,000 | | | Series 2024-V9-A3 | | | 5.60% | | | 08/15/2057 | | | 5,654,651 | |
| | | | | BMO Mortgage Trust | |
| | 653,000 | | | Series 2024-5C3-AS | | | 6.29%(c) | | | 02/15/2057 | | | 689,377 | |
| | 5,539,000 | | | Series 2024-5C6-A3 | | | 5.32% | | | 09/15/2057 | | | 5,708,912 | |
| | | | | BrightSpire Capital, Inc. | |
| | 3,136,644 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor) | | | 6.23%(a) | | | 08/19/2038 | | | 3,126,400 | |
| | | | | BSPRT Co.-Issuer LLC | |
| | 5,580,000 | | | Series 2023-FL10-B (1 mo. Term SOFR + 3.27%, 3.27% Floor) | | | 8.36%(a) | | | 09/15/2035 | | | 5,636,397 | |
| | | | | BX Trust | |
| | 11,798,000 | | | Series 2019-OC11-E | | | 4.08%(a)(c) | | | 12/09/2041 | | | 10,603,025 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | CFCRE Commercial Mortgage Trust | |
| | 2,069,742 | | | Series 2016-C6-A2 | | | 2.95% | | | 11/10/2049 | | | 2,020,448 | |
| | 3,267,000 | | | Series 2017-C8-B | | | 4.20%(c) | | | 06/15/2050 | | | 3,069,346 | |
| | | | | Citigroup Commercial Mortgage Trust | |
| | 1,369,267 | | | Series 2015-GC27-XA | | | 1.39%(c)(i) | | | 02/10/2048 | | | 1,881 | |
| | 35,389,042 | | | Series 2016-P3-XA | | | 1.81%(c)(i) | | | 04/15/2049 | | | 473,668 | |
| | 38,283,953 | | | Series 2016-P4-XA | | | 2.05%(c)(i) | | | 07/10/2049 | | | 881,408 | |
| | 64,837,216 | | | Series 2016-P5-XA | | | 1.51%(c)(i) | | | 10/10/2049 | | | 1,229,314 | |
| | 3,403,000 | | | Series 2017-C4-B | | | 4.10%(c) | | | 10/12/2050 | | | 3,195,845 | |
| | 4,534,000 | | | Series 2019-GC41-B | | | 3.20% | | | 08/10/2056 | | | 3,944,559 | |
| | 8,478,000 | | | Series 2020-555-F | | | 3.62%(a)(c) | | | 12/10/2041 | | | 6,686,042 | |
| | 10,383,000 | | | Series 2022-GC48-A5 | | | 4.74%(c) | | | 05/15/2054 | | | 10,379,831 | |
| | | | | Citigroup/Deutsche Bank Commercial Mortgage Trust | |
| | 50,326,769 | | | Series 2016-C1-XA | | | 1.51%(c)(i) | | | 05/10/2049 | | | 633,508 | |
| | | | | Commercial Mortgage Pass Through Certificates | |
| | 1,335,059 | | | Series 2014-CR16-B | | | 4.58% | | | 04/10/2047 | | | 1,285,073 | |
| | 3,325,000 | | | Series 2015-CR25-B | | | 4.67%(c) | | | 08/10/2048 | | | 3,253,032 | |
| | 48,274,994 | | | Series 2015-CR26-XA | | | 1.04%(c)(i) | | | 10/10/2048 | | | 202,673 | |
| | 4,310,000 | | | Series 2015-LC21-C | | | 4.46%(c) | | | 07/10/2048 | | | 4,056,532 | |
| | 41,047,445 | | | Series 2016-DC2-XA | | | 1.07%(c)(i) | | | 02/10/2049 | | | 321,048 | |
| | | | | Computershare Corporate Trust | |
| | 4,891,000 | | | Series 2015-C31-C | | | 4.75%(c) | | | 11/15/2048 | | | 4,664,631 | |
| | 31,918,761 | | | Series 2015-NXS1-XA | | | 1.12%(c)(i) | | | 05/15/2048 | | | 20,540 | |
| | 48,179,569 | | | Series 2015-P2-XA | | | 1.07%(c)(i) | | | 12/15/2048 | | | 363,500 | |
| | 56,700,157 | | | Series 2016-NXS6-XA | | | 1.74%(c)(i) | | | 11/15/2049 | | | 1,101,945 | |
| | 2,638,000 | | | Series 2018-C45-C | | | 4.73% | | | 06/15/2051 | | | 2,485,343 | |
| | 7,228,000 | | | Series 2018-C46-C | | | 5.13%(c) | | | 08/15/2051 | | | 6,544,949 | |
| | 5,000,000 | | | Series 2018-C47-C | | | 5.08%(c) | | | 09/15/2061 | | | 4,720,156 | |
| | 6,546,000 | | | Series 2018-C48-C | | | 5.30%(c) | | | 01/15/2052 | | | 6,107,083 | |
| | 19,681,482 | | | Series 2019-C49-XA | | | 1.42%(c)(i) | | | 03/15/2052 | | | 825,709 | |
| | 10,776,000 | | | Series 2019-C50-C | | | 4.35% | | | 05/15/2052 | | | 9,683,966 | |
| | 2,705,000 | | | Series 2020-C55-B | | | 3.14% | | | 02/15/2053 | | | 2,407,476 | |
| | 1,018,000 | | | Series 2020-C58-A3 | | | 1.81% | | | 07/15/2053 | | | 895,245 | |
| | 5,510,000 | | | Series 2020-C58-B | | | 2.70% | | | 07/15/2053 | | | 4,562,310 | |
| | 117,477,301 | | | Series 2021-C59-XA | | | 1.64%(c)(i) | | | 04/15/2054 | | | 8,198,012 | |
| | 2,436,000 | | | Series 2021-C61-C | | | 3.31% | | | 11/15/2054 | | | 2,001,685 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 6,380,000 | | | Series 2021-B33-B | | | 3.77%(a)(c) | | | 10/10/2043 | | | 5,607,702 | |
| | | | | CSAIL Commercial Mortgage Trust | |
| | 34,715,859 | | | Series 2016-C6-XA | | | 2.02%(c)(i) | | | 01/15/2049 | | | 632,224 | |
| | 6,000,000 | | | Series 2018-C14-C | | | 5.04%(c) | | | 11/15/2051 | | | 5,243,768 | |
| | 400,000 | | | Series 2018-CX12-B | | | 4.61%(c) | | | 08/15/2051 | | | 378,727 | |
| | 9,269,000 | | | Series 2019-C16-B | | | 3.88% | | | 06/15/2052 | | | 8,440,376 | |
| | 62,037,538 | | | Series 2020-C19-XA | | | 1.21%(c)(i) | | | 03/15/2053 | | | 2,829,154 | |
| | | | | DOLP Trust | |
| | 4,550,000 | | | Series 2021-NYC-D | | | 3.70%(a)(c) | | | 05/10/2041 | | | 3,623,723 | |
| | | | | Greystone Commercial Real Estate Notes | |
| | 5,116,274 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor) | | | 6.23%(a) | | | 07/15/2039 | | | 5,108,318 | |
| | | | | GS Mortgage Securities Corp. II | |
| | 275,037 | | | Series 2011-GC5-XA | | | 0.09%(a)(c)(i) | | | 08/10/2044 | | | 3 | |
| | 6,484,000 | | | Series 2014-GC26-D | | | 4.62%(a)(c) | | | 11/10/2047 | | | 3,992,199 | |
| | 2,635,000 | | | Series 2015-GC32-B | | | 4.54%(c) | | | 07/10/2048 | | | 2,577,369 | |
| | 89,420,648 | | | Series 2015-GS1-XA | | | 0.90%(c)(i) | | | 11/10/2048 | | | 509,796 | |
| | 1,825,000 | | | Series 2016-GS2-C | | | 4.85%(c) | | | 05/10/2049 | | | 1,747,296 | |
| | 43,514,917 | | | Series 2016-GS2-XA | | | 1.88%(c)(i) | | | 05/10/2049 | | | 766,720 | |
| | 2,588,000 | | | Series 2018-RIVR-C (1 mo. Term SOFR + 1.55%, 1.50% Floor) | | | 6.64%(a) | | | 07/15/2035 | | | 151,549 | |
| | 1,070,000 | | | Series 2019-GC42-A3 | | | 2.75% | | | 09/10/2052 | | | 986,028 | |
| | | | | JP Morgan Chase Commercial Mortgage Securities | |
| | 46,923,596 | | | Series 2015-JP1-XA | | | 1.03%(c)(i) | | | 01/15/2049 | | | 333,397 | |
| | 1,000,000 | | | Series 2019-COR4-C | | | 4.94%(c) | | | 03/10/2052 | | | 824,220 | |
| | 7,958,000 | | | Series 2020-LOOP-E | | | 3.99%(a)(c) | | | 12/05/2038 | | | 1,237,446 | |
| | | | | JPMBB Commercial Mortgage Securities Trust | |
| | 2,766,125 | | | Series 2014-C23-C | | | 4.71%(c) | | | 09/15/2047 | | | 2,679,303 | |
| | 7,330,408 | | | Series 2014-C23-D | | | 4.21%(a)(c) | | | 09/15/2047 | | | 6,361,116 | |
| | 21,917,938 | | | Series 2014-C25-XA | | | 0.90%(c)(i) | | | 11/15/2047 | | | 390 | |
| | 1,684,000 | | | Series 2015-C27-B | | | 3.90% | | | 02/15/2048 | | | 1,523,085 | |
| | 7,860,000 | | | Series 2015-C27-D | | | 3.92%(a)(c) | | | 02/15/2048 | | | 1,926,056 | |
| | 4,987,000 | | | Series 2015-C29-C | | | 4.33%(c) | | | 05/15/2048 | | | 4,373,555 | |
| | 44,929,988 | | | Series 2015-C30-XA | | | 0.55%(c)(i) | | | 07/15/2048 | | | 84,432 | |
| | 34,100,978 | | | Series 2015-C31-XA | | | 0.95%(c)(i) | | | 08/15/2048 | | | 147,964 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 47
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | JPMDB Commercial Mortgage Securities Trust | |
| | 7,675,000 | | | Series 2016-C2-AS | | | 3.48% | | | 06/15/2049 | | | 7,075,092 | |
| | 43,575,578 | | | Series 2016-C2-XA | | | 1.62%(c)(i) | | | 06/15/2049 | | | 695,715 | |
| | | | | LoanCore | |
| | 5,000,000 | | | Series 2021-CRE5-C (1 mo. Term SOFR + 2.46%, 2.46% Floor) | | | 7.56%(a) | | | 07/15/2036 | | | 4,955,900 | |
| | | | | LSTAR Commercial Mortgage Trust | |
| | 5,425,000 | | | Series 2016-4-C | | | 4.76%(a)(c) | | | 03/10/2049 | | | 5,088,917 | |
| | | | | MF1 Multifamily Housing Mortgage Loan Trust | |
| | 5,500,000 | | | Series 2023-FL12-B (1 mo. Term SOFR + 3.18%, 3.18% Floor) | | | 8.14%(a) | | | 10/19/2038 | | | 5,529,166 | |
| | 910,000 | | | Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor) | | | 6.70%(a) | | | 08/18/2041 | | | 911,737 | |
| | | | | Morgan Stanley Bank of America Merrill Lynch Trust | |
| | 3,000,000 | | | Series 2014-C18-C | | | 4.83%(c) | | | 10/15/2047 | | | 2,918,890 | |
| | 20,093,330 | | | Series 2015-C20-XA | | | 1.31%(c)(i) | | | 02/15/2048 | | | 21,492 | |
| | 75,089,000 | | | Series 2015-C23-XB | | | 0.27%(a)(c)(i) | | | 07/15/2050 | | | 80,570 | |
| | 39,994,990 | | | Series 2016-C30-XA | | | 1.42%(c)(i) | | | 09/15/2049 | | | 641,876 | |
| | 6,364,000 | | | Series 2017-C33-B | | | 4.11% | | | 05/15/2050 | | | 6,048,712 | |
| | | | | Morgan Stanley Capital I, Inc. | |
| | 23,157,718 | | | Series 2016-UB11-XA | | | 1.57%(c)(i) | | | 08/15/2049 | | | 463,145 | |
| | | | | Natixis Commercial Mortgage Securities Trust | |
| | 2,108,000 | | | Series 2018-FL1-C (Prime Rate + 0.00%, 0.00% Floor) | | | 8.50%(a) | | | 06/15/2035 | | | 937,553 | |
| | | | | NJ Trust | |
| | 2,300,000 | | | Series 2023-GSP-A | | | 6.70%(a)(c) | | | 01/06/2029 | | | 2,442,504 | |
| | | | | Ready Capital Corp. | |
| | 4,750,000 | | | Series 2021-FL7-C (1 mo. Term SOFR + 2.31%, 2.20% Floor) | | | 7.17%(a) | | | 11/25/2036 | | | 4,709,340 | |
| | | | | SG Commercial Mortgage Securities LLC | |
| | 1,789,000 | | | Series 2016-C5-B | | | 3.93% | | | 10/10/2048 | | | 1,663,932 | |
| | 38,657,416 | | | Series 2016-C5-XA | | | 1.98%(c)(i) | | | 10/10/2048 | | | 862,118 | |
| | | | | SLG Office Trust | |
| | 10,336,000 | | | Series 2021-OVA-E | | | 2.85%(a) | | | 07/15/2041 | | | 8,385,754 | |
| | | | | UBS Commercial Mortgage Trust | |
| | 8,911,000 | | | Series 2017-C1-B | | | 4.04% | | | 06/15/2050 | | | 8,172,725 | |
| | 2,491,000 | | | Series 2017-C6-B | | | 4.15%(c) | | | 12/15/2050 | | | 2,282,401 | |
| | 1,450,000 | | | Series 2017-C7-B | | | 4.29%(c) | | | 12/15/2050 | | | 1,371,809 | |
| | 6,958,000 | | | Series 2017-C7-C | | | 4.74%(c) | | | 12/15/2050 | | | 6,457,223 | |
| | 4,189,000 | | | Series 2018-C11-C | | | 5.04%(c) | | | 06/15/2051 | | | 3,595,278 | |
| | 2,896,000 | | | Series 2018-C12-C | | | 5.19%(c) | | | 08/15/2051 | | | 2,628,115 | |
| | | | | UBS-Barclays Commercial Mortgage Trust | |
| | 1,503,790 | | | Series 2013-C5-B | | | 3.65%(a)(c) | | | 03/10/2046 | | | 1,374,238 | |
| | 7,795,924 | | | Series 2013-C5-C | | | 3.84%(a)(c) | | | 03/10/2046 | | | 6,573,016 | |
| | 1,374,000 | | | Series 2013-C5-D | | | 3.84%(a)(c) | | | 03/10/2046 | | | 1,009,337 | |
| | | | | VMC Finance LLC | |
| | 4,000,000 | | | Series 2022-FL5-AS (30 day avg SOFR US + 2.40%, 2.40% Floor) | | | 7.74%(a) | | | 02/18/2039 | | | 4,026,808 | |
| | | | | Wachovia Bank Commercial Mortgage Trust | |
| | 7,925 | | | Series 2006-C29-IO | | | 0.49%(c)(i) | | | 11/15/2048 | | | 22 | |
| | | | | WF-RBS Commercial Mortgage Trust | |
| | 2,386,219 | | | Series 2014-C21-XA | | | 0.70%(c)(i) | | | 08/15/2047 | | | 31 | |
| | 6,841,582 | | | Series 2014-C22-XA | | | 0.63%(c)(i) | | | 09/15/2057 | | | 93 | |
| | | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $499,687,993) | | | | | | | | | 379,032,101 | |
| | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 10.9% | |
| | | | | Adjustable Rate Mortgage Trust | |
| | 5,913,887 | | | Series 2007-1-4A1 | | | 5.75%(c) | | | 03/25/2037 | | | 3,776,095 | |
| | 19,257 | | | Series 2007-3-1A1 | | | 5.41%(a)(c) | | | 11/25/2037 | | | 18,618 | |
| | | | | AlphaFlow Transitional Mortgage Trust | |
| | 1,295,038 | | | Series 2021-WL1-A1 | | | 3.28%(a)(j) | | | 01/25/2026 | | | 1,269,431 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | AMSR Trust | |
| | 3,100,000 | | | Series 2019-SFR1-E | | | 3.47%(a) | | | 01/19/2039 | | | 2,988,568 | |
| | 10,000,000 | | | Series 2021-SFR1-F | | | 3.60%(a) | | | 06/17/2038 | | | 9,164,011 | |
| | 3,000,000 | | | Series 2021-SFR2-E1 | | | 2.48%(a) | | | 08/17/2038 | | | 2,843,548 | |
| | 2,500,000 | | | Series 2021-SFR2-E2 | | | 2.58%(a) | | | 08/17/2038 | | | 2,357,465 | |
| | 4,500,000 | | | Series 2021-SFR2-F1 | | | 3.28%(a) | | | 08/17/2038 | | | 4,260,109 | |
| | 2,000,000 | | | Series 2021-SFR2-F2 | | | 3.67%(a) | | | 08/17/2038 | | | 1,889,178 | |
| | 8,900,000 | | | Series 2023-SFR2-A | | | 3.95%(a) | | | 06/17/2040 | | | 8,685,511 | |
| | | | | Argent Securities, Inc. Asset-Backed Pass-Through Certificates | |
| | 10,747,680 | | | Series 2006-M1-A2C (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 07/25/2036 | | | 2,925,847 | |
| | 13,685,728 | | | Series 2006-M1-A2D (1 mo. Term SOFR + 0.59%, 0.48% Floor) | | | 5.45% | | | 07/25/2036 | | | 3,725,332 | |
| | | | | Banc of America Funding Corp. | |
| | 130,379 | | | Series 2005-G-A3 | | | 2.27%(c) | | | 10/20/2035 | | | 88,940 | |
| | 52,200 | | | Series 2006-2-6A2 | | | 5.50% | | | 03/25/2036 | | | 51,574 | |
| | 80,055 | | | Series 2006-6-1A2 | | | 6.25% | | | 08/25/2036 | | | 68,978 | |
| | | | | Bear Stearns Asset Backed Securities Trust | |
| | 256,078 | | | Series 2007-SD1-1A3A | | | 6.50% | | | 10/25/2036 | | | 96,977 | |
| | | | | CAFL Issuer LLC | |
| | 5,468,743 | | | Series 2021-RTL1-A1 | | | 2.24%(a)(j) | | | 03/28/2029 | | | 5,416,501 | |
| | | | | Carrington Mortgage Loan Trust | |
| | 5,145,487 | | | Series 2006-NC5-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 14.50% Cap) | | | 5.12% | | | 01/25/2037 | | | 4,582,325 | |
| | | | | Chase Mortgage Finance Corp. | |
| | 778,963 | | | Series 2007-S3-2A1 | | | 5.50% | | | 05/25/2037 | | | 8 | |
| | | | | CIM Trust | |
| | 6,953,000 | | | Series 2020-R2-M2 | | | 3.00%(a)(c) | | | 10/25/2059 | | | 5,645,958 | |
| | | | | Citigroup Mortgage Loan Trust, Inc. | |
| | 3,825,498 | | | Series 2007-OPX1-A1A (1 mo. Term SOFR + 0.18%, 0.07% Floor) | | | 5.04% | | | 01/25/2037 | | | 1,636,314 | |
| | 23,848,082 | | | Series 2019-A-PT1 | | | 3.92%(a) | | | 10/25/2058 | | | 19,871,271 | |
| | 40,484,022 | | | Series 2021-RP2-A1 | | | 1.75%(a)(c) | | | 03/25/2065 | | | 36,310,067 | |
| | 5,674,000 | | | Series 2021-RP2-M1 | | | 3.25%(a)(c) | | | 03/25/2065 | | | 4,949,556 | |
| | 4,752,000 | | | Series 2021-RP2-M2 | | | 3.40%(a)(c) | | | 03/25/2065 | | | 3,960,315 | |
| | 4,413,000 | | | Series 2021-RP2-M3 | | | 3.40%(a)(c) | | | 03/25/2065 | | | 3,560,693 | |
| | 12,948,470 | | | Series 2021-RP2-PT1 | | | 5.75%(a)(c) | | | 03/25/2065 | | | 11,013,774 | |
| | | | | Citimortgage Alternative Loan Trust | |
| | 52,360 | | | Series 2006-A2-A2 | | | 6.00% | | | 05/25/2036 | | | 49,159 | |
| | 29,474 | | | Series 2006-A5-3A3Pool 2006-A5 | | | 6.00% | | | 10/25/2036 | | | 24,290 | |
| | 210,788 | | | Series 2007-A1-1A7 | | | 6.00% | | | 01/25/2037 | | | 188,844 | |
| | 6,555,005 | | | Series 2007-A2-1A5 | | | 6.00% | | | 02/25/2037 | | | 6,112,188 | |
| | 2,984,881 | | | Series 2007-A5-1A10 | | | 5.75% | | | 05/25/2037 | | | 2,744,291 | |
| | | | | CitiMortgage, Inc. | |
| | 19,901 | | | Series 2005-1-1A4 | | | 5.50% | | | 02/25/2035 | | | 19,325 | |
| | | | | Colony American Finance Ltd. | |
| | 1,000,000 | | | Series 2020-4-E | | | 3.38%(a) | | | 12/15/2052 | | | 819,767 | |
| | | | | Countrywide Alternative Loan Trust | |
| | 59,317 | | | Series 2005-20CB-1A1 | | | 5.50% | | | 07/25/2035 | | | 48,157 | |
| | 119,399 | | | Series 2005-28CB-3A6 | | | 6.00% | | | 08/25/2035 | | | 48,384 | |
| | 11,738,535 | | | Series 2005-37T1-A5 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 5.50% Cap) | | | 5.42% | | | 09/25/2035 | | | 6,945,213 | |
| | 422,356 | | | Series 2005-46CB-A22 | | | 5.25% | | | 10/25/2035 | | | 296,430 | |
| | 6,630,970 | | | Series 2005-49CB-A2 | | | 5.50% | | | 11/25/2035 | | | 4,390,113 | |
| | 62,767 | | | Series 2005-J10-1A13 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.50% Cap) | | | 5.50% | | | 10/25/2035 | | | 37,895 | |
| | 247,972 | | | Series 2006-26CB-A9 | | | 6.50% | | | 09/25/2036 | | | 128,656 | |
| | 5,920,267 | | | Series 2006-42-1A8 | | | 6.00% | | | 01/25/2047 | | | 3,194,086 | |
| | 925,502 | | | Series 2007-12T1-A1 | | | 6.00% | | | 06/25/2037 | | | 437,296 | |
| | 5,860,217 | | | Series 2007-12T1-A3 | | | 6.00% | | | 06/25/2037 | | | 2,768,932 | |
| | 1,007,221 | | | Series 2007-16CB-2A1 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.42% | | | 08/25/2037 | | | 335,586 | |
| | 291,666 | | | Series 2007-16CB-2A2 (-8 x 1 mo. Term SOFR + 53.63%, 0.00% Floor, 54.58% Cap) | | | 13.17%(k) | | | 08/25/2037 | | | 456,502 | |
| | | | | | | | | | | | | | | |
48
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 52,921 | | | Series 2007-17CB-1A10 (-5 x 1 mo. Term SOFR + 29.37%, 0.00% Floor, 29.90% Cap) | | | 7.04%(k) | | | 08/25/2037 | | | 53,616 | |
| | 242,555 | | | Series 2007-18CB-2A17 | | | 6.00% | | | 08/25/2037 | | | 152,638 | |
| | 1,319,048 | | | Series 2007-23CB-A3 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap) | | | 5.47% | | | 09/25/2037 | | | 484,110 | |
| | 1,295,740 | | | Series 2007-23CB-A4 (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap) | | | 1.53%(i)(k) | | | 09/25/2037 | | | 208,358 | |
| | 5,605,999 | | | Series 2007-8CB-A1 | | | 5.50% | | | 05/25/2037 | | | 2,984,620 | |
| | 4,187,169 | | | Series 2007-OA8-2A1 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 06/25/2047 | | | 3,225,792 | |
| | | | | Countrywide Home Loan Mortgage Pass Through Trust | |
| | 139,785 | | | Series 2005-28-A7 | | | 5.25% | | | 10/25/2024 | | | 73,882 | |
| | 403,669 | | | Series 2007-10-A5 | | | 6.00% | | | 07/25/2037 | | | 184,963 | |
| | 151,247 | | | Series 2007-15-1A16 | | | 6.25% | | | 09/25/2037 | | | 93,186 | |
| | 420,601 | | | Series 2007-3-A17 | | | 6.00% | | | 04/25/2037 | | | 207,053 | |
| | | | | Credit Suisse First Boston Mortgage Securities Corp. | |
| | 47,967 | | | Series 2005-10-5A5 | | | 5.50% | | | 11/25/2035 | | | 35,331 | |
| | | | | Credit Suisse Management LLC | |
| | 526,211 | | | Series 2005-8-1A3 | | | 5.25% | | | 09/25/2035 | | | 423,342 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 2,364,895 | | | Series 2006-4-6A1 | | | 6.00% | | | 05/25/2036 | | | 886,431 | |
| | 19,564 | | | Series 2006-4-7A1 | | | 5.50% | | | 10/25/2024 | | | 11,614 | |
| | 62,264 | | | Series 2007-1-3A1 | | | 6.00% | | | 10/25/2024 | | | 8,082 | |
| | 8,742 | | | Series 2007-2-2A1 | | | 5.00% | | | 03/25/2037 | | | 6,603 | |
| | 3,004,306 | | | Series 2009-3R-19A2 | | | 6.00%(a) | | | 01/27/2038 | | | 1,430,524 | |
| | 583,006 | | | Series 2010-4R-3A17 | | | 6.00%(a)(c) | | | 06/26/2037 | | | 536,915 | |
| | 28,113,152 | | | Series 2020-RPL1-PT1 | | | 3.32%(a)(c) | | | 10/25/2069 | | | 22,763,019 | |
| | 9,035,400 | | | Series 2020-RPL4-M1 | | | 2.50%(a) | | | 01/25/2060 | | | 7,013,363 | |
| | 1,951,266 | | | Series 2021-JR1-A1 | | | 5.47%(a)(c) | | | 09/27/2066 | | | 1,945,887 | |
| | | | | Credit-Based Asset Servicing and Securitization LLC | |
| | 6,002,217 | | | Series 2007-RP1-A (1 mo. Term SOFR + 0.42%, 0.31% Floor) | | | 5.28%(a) | | | 05/25/2046 | | | 5,148,888 | |
| | | | | Deutsche ALT-A Securities, Inc. | |
| | 4,185,735 | | | Series 2005-6-2A1 | | | 5.50% | | | 12/25/2035 | | | 3,560,897 | |
| | 3,596,822 | | | Series 2005-AR2-2A1 | | | 5.28%(c) | | | 10/25/2035 | | | 2,293,036 | |
| | 6,545,906 | | | Series 2007-OA1-A1 (1 mo. Term SOFR + 0.26%, 0.15% Floor) | | | 5.12% | | | 02/25/2047 | | | 3,796,303 | |
| | | | | Deutsche Mortgage Securities, Inc. | |
| | 357,099 | | | Series 2006-PR1-3A1 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap) | | | 4.83%(a)(k) | | | 04/15/2036 | | | 331,574 | |
| | 23,491 | | | Series 2006-PR1-4AI2 (-2 x 1 mo. Term SOFR + 14.39%, 14.61% Cap) | | | 4.66%(a)(k) | | | 04/15/2036 | | | 21,993 | |
| | 609,917 | | | Series 2006-PR1-5AI4 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap) | | | 4.83%(a)(k) | | | 04/15/2036 | | | 554,993 | |
| | | | | Fannie Mae Connecticut Avenue Securities | |
| | 5,361,773 | | | Series 2024-R03-2M1 (30 day avg SOFR US + 1.15%, 0.00% Floor) | | | 6.41%(a) | | | 03/25/2044 | | | 5,366,249 | |
| | | | | First Franklin Mortgage Loan Asset Backed Certificates | |
| | 15,984,000 | | | Series 2006-FF15-A6 (1 mo. Term SOFR + 0.42%, 0.31% Floor) | | | 5.28% | | | 11/25/2036 | | | 13,312,220 | |
| | 10,206,407 | | | Series 2007-FF2-A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 03/25/2037 | | | 5,344,990 | |
| | | | | First Horizon Alternative Mortgage Securities | |
| | 196,378 | | | Series 2006-FA2-1A5 | | | 6.00% | | | 05/25/2036 | | | 83,964 | |
| | 34,033 | | | Series 2006-RE1-A1 | | | 5.50%(c) | | | 05/25/2035 | | | 22,702 | |
| | | | | Freedom Mortgage Parent LLC | |
| | 16,440,000 | | | Series 2021-GT2-A | | | 3.85%(a)(c) | | | 10/25/2026 | | | 15,515,967 | |
| | | | | GCAT | |
| | 6,944,000 | | | Series 2021-NQM6-M1 | | | 3.41%(a)(c) | | | 08/25/2066 | | | 5,297,767 | |
| | | | | GMAC Mortgage Corp. Loan Trust | |
| | 1,154,406 | | | Series 2006-J1-A6 | | | 5.75% | | | 04/25/2036 | | | 1,020,849 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | GS Mortgage-Backed Securities Trust | |
| | 7,546,000 | | | Series 2020-NQM1-M1 | | | 3.29%(a)(c) | | | 09/27/2060 | | | 6,984,081 | |
| | | | | GSAA Trust | |
| | 3,783 | | | Series 2005-7-AF5 | | | 5.11%(j) | | | 05/25/2035 | | | 3,717 | |
| | 808,942 | | | Series 2007-10-A1A | | | 6.00% | | | 11/25/2037 | | | 466,213 | |
| | 929,401 | | | Series 2007-10-A2A | | | 6.50% | | | 11/25/2037 | | | 371,498 | |
| | | | | GSR Mortgage Loan Trust | |
| | 1,439,249 | | | Series 2006-3F-4A1 | | | 6.00% | | | 03/25/2036 | | | 782,797 | |
| | 22,702,102 | | | Series 2006-OA1-1A1 (1 mo. Term SOFR + 0.55%, 0.44% Floor) | | | 5.41% | | | 08/25/2046 | | | 5,229,443 | |
| | 44,686 | | | Series 2007-1F-2A2 | | | 5.50% | | | 01/25/2037 | | | 137,396 | |
| | | | | Harborview Mortgage Loan Trust | |
| | 9,451,243 | | | Series 2005-7-2A1 (1 mo. Term SOFR + 0.68%, 0.57% Floor, 11.00% Cap) | | | 5.65% | | | 06/19/2045 | | | 5,265,745 | |
| | | | | Home Partners of America Trust | |
| | 2,487,729 | | | Series 2021-1-D | | | 2.48%(a) | | | 09/17/2041 | | | 2,161,791 | |
| | 1,143,512 | | | Series 2021-1-E | | | 2.58%(a) | | | 09/17/2041 | | | 978,100 | |
| | 1,286,873 | | | Series 2021-1-F | | | 3.33%(a) | | | 09/17/2041 | | | 1,085,679 | |
| | | | | Homeward Opportunities Fund I Trust | |
| | 5,250,000 | | | Series 2020-2-M1 | | | 3.90%(a)(c) | | | 05/25/2065 | | | 5,043,768 | |
| | | | | HSI Asset Securitization Corp. | |
| | 21,903,657 | | | Series 2006-HE1-1A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 10/25/2036 | | | 6,266,376 | |
| | 9,198,343 | | | Series 2007-NC1-A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 04/25/2037 | | | 6,269,365 | |
| | | | | Impac Secured Assets CMN Owner Trust | |
| | 21,551,769 | | | Series 2006-5-1A1C (1 mo. Term SOFR + 0.65%, 0.54% Floor, 11.50% Cap) | | | 5.51% | | | 02/25/2037 | | | 19,235,515 | |
| | | | | Imperial Fund Mortgage Trust | |
| | 2,728,000 | | | Series 2021-NQM4-M1 | | | 3.45%(a)(c) | | | 01/25/2057 | | | 2,080,409 | |
| | | | | Indymac IMSC Mortgage Loan Trust | |
| | 1,343,932 | | | Series 2007-HOA1-A11 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 07/25/2047 | | | 894,729 | |
| | 1,336,454 | | | Series 2007-HOA1-A24 (1 mo. Term SOFR + 0.73%, 0.62% Floor) | | | 5.59% | | | 07/25/2047 | | | 941,483 | |
| | | | | Invitation Homes Trust | |
| | 13,127,000 | | | Series 2024-SFR1-D | | | 4.25%(a) | | | 09/17/2041 | | | 12,364,282 | |
| | | | | JP Morgan Alternative Loan Trust | |
| | 2,397,060 | | | Series 2005-A2-1M1 (1 mo. Term SOFR + 0.80%, 0.69% Floor, 11.50% Cap) | | | 5.66% | | | 01/25/2036 | | | 2,318,646 | |
| | 7,507 | | | Series 2006-S2-A4 | | | 6.69%(j) | | | 05/25/2036 | | | 7,723 | |
| | 2,016,045 | | | Series 2006-S3-A4 | | | 6.81%(j) | | | 08/25/2036 | | | 1,955,499 | |
| | 23,263 | | | Series 2006-S3-A6 | | | 6.62%(j) | | | 08/25/2036 | | | 22,874 | |
| | 22,326 | | | Series 2006-S4-A6 | | | 6.21%(j) | | | 12/25/2036 | | | 22,768 | |
| | | | | JP Morgan Mortgage Acquisition Corp. | |
| | 13,060,352 | | | Series 2006-WMC2-A5 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 07/25/2036 | | | 5,662,556 | |
| | 14,908,943 | | | Series 2006-WMC3-A4 (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 08/25/2036 | | | 10,978,551 | |
| | 12,479,077 | | | Series 2006-WMC4-A5 (1 mo. Term SOFR + 0.32%, 0.21% Floor) | | | 5.18% | | | 12/25/2036 | | | 6,687,451 | |
| | | | | JP Morgan Mortgage Trust | |
| | 159,300 | | | Series 2007-S3-1A7 | | | 6.00% | | | 08/25/2037 | | | 74,881 | |
| | | | | Legacy Mortgage Asset Trust | |
| | 21,249,375 | | | Series 2019-RPL3-PT1 | | | 0.00%(a) | | | 06/25/2058 | | | 18,437,322 | |
| | 7,143,273 | | | Series 2021-GS3-A2 | | | 6.25%(a)(j) | | | 07/25/2061 | | | 7,037,924 | |
| | | | | Lehman Mortgage Trust | |
| | 367,631 | | | Series 2006-3-1A5 | | | 6.00% | | | 07/25/2036 | | | 186,593 | |
| | 24,952 | | | Series 2006-9-1A19 (-5 x 1 mo. Term SOFR + 30.16%, 0.00% Floor, 30.68% Cap) | | | 7.82%(k) | | | 01/25/2037 | | | 25,798 | |
| | 86,465 | | | Series 2007-2-1A1 | | | 5.75% | | | 02/25/2037 | | | 58,721 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 49
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Lehman XS Trust | |
| | 3,028,441 | | | Series 2005-9N-1A1 (1 mo. Term SOFR + 0.38%, 0.27% Floor) | | | 5.24% | | | 02/25/2036 | | | 2,764,275 | |
| | 2,815,582 | | | Series 2007-1-1A2 (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 02/25/2037 | | | 2,685,223 | |
| | 8,945,482 | | | Series 2007-15N-3A1 (1 mo. Term SOFR + 0.36%, 0.25% Floor) | | | 5.22% | | | 08/25/2047 | | | 7,852,494 | |
| | 8,286,307 | | | Series 2007-3-2A3 (1 mo. Term SOFR + 0.59%, 0.48% Floor) | | | 5.45% | | | 03/25/2037 | | | 7,590,068 | |
| | | | | Long Beach Mortgage Loan Trust | |
| | 33,709,705 | | | Series 2006-2-2A3 (1 mo. Term SOFR + 0.49%, 0.38% Floor) | | | 5.35% | | | 03/25/2046 | | | 12,237,041 | |
| | 13,122,992 | | | Series 2006-3-2A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 5.33% | | | 05/25/2046 | | | 4,094,696 | |
| | 15,142,419 | | | Series 2006-6-2A3 (1 mo. Term SOFR + 0.41%, 0.30% Floor) | | | 5.27% | | | 07/25/2036 | | | 6,001,934 | |
| | | | | MASTR Alternative Loans Trust | |
| | 73,761 | | | Series 2005-2-3A1 | | | 6.00% | | | 03/25/2035 | | | 57,393 | |
| | 4,460,745 | | | Series 2006-1-A5 | | | 6.00% | | | 02/25/2036 | | | 2,039,983 | |
| | 32,352 | | | Series 2007-1-2A7 | | | 6.00% | | | 10/25/2036 | | | 9,859 | |
| | | | | Mastr Asset Backed Securities Trust | |
| | 11,022,693 | | | Series 2005-NC2-A3 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 11/25/2035 | | | 6,379,820 | |
| | | | | MASTR Asset Securitization Trust | |
| | 726,967 | | | Series 2006-2-1A11 (1 mo. Term SOFR + 6.00%, 6.00% Floor) | | | 6.00% | | | 06/25/2036 | | | 431,856 | |
| | | | | Merrill Lynch Alternative Note Asset | |
| | 1,617,296 | | | Series 2007-F1-2A8 | | | 6.00% | | | 03/25/2037 | | | 582,692 | |
| | 7,364,977 | | | Series 2007-OAR4-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 08/25/2037 | | | 6,290,475 | |
| | | | | Merrill Lynch Mortgage Investors, Inc. | |
| | 4,985,029 | | | Series 2007-MLN1-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 03/25/2037 | | | 3,813,293 | |
| | | | | Morgan Stanley ABS Capital I, Inc. | |
| | 7,310,170 | | | Series 2006-HE5-A2C (1 mo. Term SOFR + 0.39%, 0.28% Floor) | | | 5.25% | | | 08/25/2036 | | | 3,726,914 | |
| | | | | Morgan Stanley Mortgage Loan Trust | |
| | 19,538 | | | Series 2004-1-1A1 | | | 5.00% | | | 11/25/2033 | | | 14,301 | |
| | 417,545 | | | Series 2005-7-7A4 | | | 5.50% | | | 11/25/2035 | | | 389,767 | |
| | 1,401,494 | | | Series 2006-7-3A | | | 5.10%(c) | | | 06/25/2036 | | | 771,497 | |
| | 24,730,841 | | | Series 2007-2AX-2A2 (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 12/25/2036 | | | 8,731,874 | |
| | 7,618,665 | | | Series 2007-7AX-2A1 (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21% | | | 04/25/2037 | | | 2,095,818 | |
| | | | | Morgan Stanley Reremic Trust | |
| | 73,183 | | | Series 2010-R6-5C | | | 5.75%(a)(c) | | | 05/26/2037 | | | 69,681 | |
| | | | | MortgageIT Trust | |
| | 13,594,719 | | | Series 2007-1-2A11 (1 mo. Term SOFR + 0.55%, 0.44% Floor) | | | 5.41% | | | 06/25/2047 | | | 11,185,195 | |
| | | | | New Century Home Equity Loan Trust | |
| | 6,000,000 | | | Series 2005-B-M2 (1 mo. Term SOFR + 0.85%, 0.74% Floor) | | | 5.70% | | | 10/25/2035 | | | 5,287,814 | |
| | | | | Nomura Asset Acceptance Corp. | |
| | 158,855 | | | Series 2006-AP1-A2 | | | 5.52%(c) | | | 01/25/2036 | | | 45,380 | |
| | | | | Nomura Home Equity Loan, Inc. | |
| | 493,574 | | | Series 2006-AF1-A2 | | | 6.30%(j) | | | 10/25/2036 | | | 107,224 | |
| | 833,010 | | | Series 2007-1-1A1 | | | 6.56%(j) | | | 02/25/2037 | | | 229,417 | |
| | | | | NRZ Excess Spread-Collateralized Notes | |
| | 2,524,387 | | | Series 2020-PLS1-A | | | 3.84%(a) | | | 12/25/2025 | | | 2,478,494 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Option One Mortgage Loan Trust | |
| | 27,401 | | | Series 2004-3-M3 (1 mo. Term SOFR + 1.09%, 0.98% Floor) | | | 5.94% | | | 11/25/2034 | | | 27,967 | |
| | 16,164,395 | | | Series 2007-6-1A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.16% | | | 07/25/2037 | | | 14,275,734 | |
| | | | | PennyMac Mortgage Investment Trust | |
| | 1,499,829 | | | Series 2019-3R-A (30 day avg SOFR US + 3.81%, 2.70% Floor) | | | 9.06%(a) | | | 11/27/2031 | | | 1,505,882 | |
| | 3,292,876 | | | Series 2020-1R-A (30 day avg SOFR US + 3.46%, 2.35% Floor) | | | 8.71%(a) | | | 02/25/2025 | | | 3,294,781 | |
| | 15,000,000 | | | Series 2021-FT1-A (1 mo. Term SOFR + 3.11%, 3.12% Floor) | | | 7.97%(a) | | | 03/25/2026 | | | 15,076,365 | |
| | | | | PR Mortgage Loan Trust | |
| | 4,609,925 | | | Series 2014-1-APT | | | 5.86%(a)(c) | | | 10/25/2049 | | | 4,437,929 | |
| | | | | Pretium Mortgage Credit Partners LLC | |
| | 4,032,617 | | | Series 2021-RN2-A1 | | | 4.74%(a)(j) | | | 07/25/2051 | | | 3,989,289 | |
| | | | | Progress Residential Trust | |
| | 3,404,000 | | | Series 2021-SFR6-E2 | | | 2.53%(a) | | | 07/17/2038 | | | 3,234,824 | |
| | 4,666,000 | | | Series 2021-SFR6-F | | | 3.42%(a) | | | 07/17/2038 | | | 4,429,807 | |
| | 5,100,000 | | | Series 2021-SFR8-F | | | 3.18%(a) | | | 10/17/2038 | | | 4,789,017 | |
| | | | | PRPM LLC | |
| | 2,181,279 | | | Series 2021-3-A1 | | | 4.87%(a)(j) | | | 04/25/2026 | | | 2,175,307 | |
| | 2,525,618 | | | Series 2021-7-A1 | | | 4.87%(a)(j) | | | 08/25/2026 | | | 2,519,296 | |
| | 1,439,135 | | | Series 2021-9-A1 | | | 2.36%(a)(j) | | | 10/25/2026 | | | 1,440,372 | |
| | 10,789,556 | | | Series 2024-4-A1 | | | 6.41%(a)(j) | | | 08/25/2029 | | | 10,928,072 | |
| | | | | RALI Trust | |
| | 112,678 | | | Series 2005-QS14-3A3 | | | 6.00% | | | 09/25/2035 | | | 95,335 | |
| | 142,132 | | | Series 2006-QS10-A4 | | | 5.75% | | | 08/25/2036 | | | 117,693 | |
| | 1,550,944 | | | Series 2006-QS10-A9 | | | 6.50% | | | 08/25/2036 | | | 1,336,589 | |
| | 1,627,819 | | | Series 2006-QS4-A10 | | | 6.00% | | | 04/25/2036 | | | 1,324,131 | |
| | 320,006 | | | Series 2006-QS6-1A15 | | | 6.00% | | | 06/25/2036 | | | 252,672 | |
| | 1,509 | | | Series 2006-QS6-2A1 | | | 6.00% | | | 10/25/2024 | | | – | |
| | 19,170,723 | | | Series 2007-QH5-AII (1 mo. Term SOFR + 0.57%, 0.46% Floor) | | | 5.43% | | | 06/25/2037 | | | 7,988,640 | |
| | 551,237 | | | Series 2007-QS3-A4 | | | 6.25% | | | 02/25/2037 | | | 455,168 | |
| | 2,008,656 | | | Series 2007-QS9-A33 | | | 6.50% | | | 07/25/2037 | | | 1,657,233 | |
| | | | | RAMP Trust | |
| | 11,500,000 | | | Series 2006-NC1-M2 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 14.00% Cap) | | | 5.57% | | | 01/25/2036 | | | 10,011,690 | |
| | | | | RBSGC Mortgage Pass Through Certificates | |
| | 6,123,854 | | | Series 2005-A-3A | | | 6.00% | | | 04/25/2035 | | | 2,402,674 | |
| | | | | Residential Asset Securitization Trust | |
| | 154,629 | | | Series 2005-A10-A3 | | | 5.50% | | | 09/25/2035 | | | 74,126 | |
| | 218,968 | | | Series 2005-A11-2A4 | | | 6.00% | | | 10/25/2035 | | | 96,528 | |
| | 1,614,518 | | | Series 2006-A6-1A1 | | | 6.50% | | | 07/25/2036 | | | 466,373 | |
| | 110,032 | | | Series 2006-R1-A1 (-4 x 1 mo. Term SOFR + 27.94%, 0.00% Floor, 28.40% Cap) | | | 8.52%(k) | | | 01/25/2046 | | | 110,943 | |
| | | | | Residential Mortgage Loan Trust | |
| | 5,154,000 | | | Series 2020-1-M1 | | | 3.24%(a)(c) | | | 01/26/2060 | | | 4,969,235 | |
| | | | | RFMSI Trust | |
| | 36,565 | | | Series 2006-S10-1A2 | | | 6.00% | | | 10/25/2036 | | | 28,887 | |
| | 370,497 | | | Series 2007-S2-A4 | | | 6.00% | | | 02/25/2037 | | | 278,828 | |
| | 280,235 | | | Series 2007-S3-1A4 | | | 6.00% | | | 03/25/2037 | | | 206,142 | |
| | | | | Saxon Asset Securities Trust | |
| | 7,695,758 | | | Series 2005-2-M4 (1 mo. Term SOFR + 1.06%, 0.95% Floor, 11.50% Cap) | | | 5.91% | | | 10/25/2035 | | | 5,277,788 | |
| | | | | Securitized Asset Backed Receivables LLC | |
| | 14,286,879 | | | Series 2007-BR3-A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 100.00% Cap) | | | 5.29%(a) | | | 04/25/2037 | | | 9,489,692 | |
| | 17,864,757 | | | Series 2007-BR3-A2A (1 mo. Term SOFR + 0.25%, 0.14% Floor) | | | 5.11% | | | 04/25/2037 | | | 11,904,551 | |
| | 12,672,306 | | | Series 2007-BR3-A2B (1 mo. Term SOFR + 0.55%, 0.44% Floor) | | | 5.41% | | | 04/25/2037 | | | 8,443,823 | |
| | | | | | | | | | | | | | | |
50
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 2,279,535 | | | Series 2007-BR3-A2C (1 mo. Term SOFR + 0.67%, 0.56% Floor) | | | 5.53% | | | 04/25/2037 | | | 1,518,866 | |
| | 19,572,876 | | | Series 2007-HE1-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor) | | | 5.29% | | | 12/25/2036 | | | 4,458,186 | |
| | | | | Securitized Mortgage Asset Loan Trust | |
| | 22,060,296 | | | Series 2015-1-PC | | | 2.84%(a)(c) | | | 02/25/2054 | | | 18,968,908 | |
| | | | | Sequoia Mortgage Trust | |
| | 3,158,780 | | | Series 2007-3-2AA1 | | | 4.66%(c) | | | 07/20/2037 | | | 2,412,894 | |
| | | | | Soundview Home Equity Loan Trust | |
| | 6,251,344 | | | Series 2007-OPT4-1A1 (1 mo. Term SOFR + 1.11%, 1.00% Floor) | | | 5.97% | | | 09/25/2037 | | | 4,446,506 | |
| | | | | Starwood Mortgage Residential Trust | |
| | 5,910,000 | | | Series 2020-1-B1 | | | 3.73%(a)(c) | | | 02/25/2050 | | | 5,096,948 | |
| | | | | Structured Asset Investment Loan Trust | |
| | 10,253,848 | | | Series 2006-BNC3-A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor) | | | 5.15% | | | 09/25/2036 | | | 6,387,135 | |
| | | | | Structured Asset Securities Corp. | |
| | 659,830 | | | Series 2005-RF1-A (1 mo. Term SOFR + 0.46%, 0.35% Floor) | | | 5.32%(a) | | | 03/25/2035 | | | 573,860 | |
| | 659,830 | | | Series 2005-RF1-AIO | | | 0.00%(a)(c)(i) | | | 03/25/2035 | | | 822 | |
| | | | | VCAT Asset Securitization LLC | |
| | 903,719 | | | Series 2021-NPL4-A1 | | | 4.87%(a)(j) | | | 08/25/2051 | | | 894,308 | |
| | 5,652,936 | | | Series 2021-NPL6-A1 | | | 4.92%(a)(j) | | | 09/25/2051 | | | 5,601,216 | |
| | | | | Velocity Commercial Capital Loan Trust | |
| | 920,215 | | | Series 2018-1-M1 | | | 3.91%(a) | | | 04/25/2048 | | | 860,991 | |
| | 503,741 | | | Series 2018-1-M2 | | | 4.26%(a) | | | 04/25/2048 | | | 463,391 | |
| | 310,595 | | | Series 2018-1-M3 | | | 4.41%(a) | | | 04/25/2048 | | | 280,911 | |
| | 1,446,731 | | | Series 2019-1-M1 | | | 3.94%(a)(c) | | | 03/25/2049 | | | 1,343,783 | |
| | 704,093 | | | Series 2019-1-M2 | | | 4.01%(a)(c) | | | 03/25/2049 | | | 636,855 | |
| | 614,086 | | | Series 2019-1-M3 | | | 4.12%(a)(c) | | | 03/25/2049 | | | 543,965 | |
| | | | | Vericrest Opportunity Loan Transferee | |
| | 2,167,931 | | | Series 2021-CF1-A1 | | | 4.99%(a)(j) | | | 08/25/2051 | | | 2,154,111 | |
| | 1,428,306 | | | Series 2021-CF2-A1 | | | 2.49%(a)(j) | | | 11/27/2051 | | | 1,417,961 | |
| | 4,896,946 | | | Series 2021-NP12-A1 | | | 2.73%(a)(j) | | | 12/26/2051 | | | 4,880,426 | |
| | 398,316 | | | Series 2021-NPL1-A1 | | | 4.89%(a)(j) | | | 02/27/2051 | | | 396,422 | |
| | 1,686,418 | | | Series 2021-NPL5-A1 | | | 5.12%(a)(j) | | | 03/27/2051 | | | 1,680,807 | |
| | 2,020,338 | | | Series 2021-NPL6-A1 | | | 5.24%(a)(j) | | | 04/25/2051 | | | 2,022,253 | |
| | | | | Verus Securitization Trust | |
| | 9,955,645 | | | Series 2024-INV2-A1 | | | 5.33%(a)(j) | | | 08/26/2069 | | | 10,018,210 | |
| | | | | WaMu Mortgage Pass Through Certificates | |
| | 4,170,268 | | | Series 2006-AR13-1A (12 Month US Treasury Average + 0.88%, 0.88% Floor) | | | 6.00% | | | 10/25/2046 | | | 3,554,597 | |
| | 1,265,044 | | | Series 2006-AR19-2A (12 Month US Treasury Average + 1.25%, 1.25% Floor) | | | 6.37% | | | 01/25/2047 | | | 1,143,490 | |
| | 4,127,650 | | | Series 2007-HY7-2A1 | | | 4.15%(c) | | | 07/25/2037 | | | 3,678,799 | |
| | | | | Washington Mutual Alternative Mortgage Pass-Through Certificates | |
| | 68,491 | | | Series 2005-1-2A | | | 6.00% | | | 03/25/2035 | | | 58,807 | |
| | 371,222 | | | Series 2006-1-3A1 | | | 5.75% | | | 02/25/2036 | | | 347,498 | |
| | 1,001,065 | | | Series 2006-2-4CB | | | 6.00% | | | 03/25/2036 | | | 978,943 | |
| | 6,947,820 | | | Series 2006-8-A5 | | | 4.13%(j) | | | 10/25/2036 | | | 2,418,678 | |
| | 3,087,674 | | | Series 2006-8-A6 | | | 4.13%(j) | | | 10/25/2036 | | | 1,075,773 | |
| | 6,543,234 | | | Series 2007-2-1A2 | | | 6.00% | | | 04/25/2037 | | | 5,380,725 | |
| | 4,589,026 | | | Series 2007-2-1A3 | | | 6.00% | | | 04/25/2037 | | | 3,773,713 | |
| | 589,334 | | | Series 2007-3-A6 | | | 6.00% | | | 04/25/2037 | | | 526,431 | |
| | 48,932 | | | Series 2007-5-A11 (-6 x 1 mo. Term SOFR +
38.79%, 0.00% Floor, 39.48% Cap) | | | 9.66%(k) | | | 06/25/2037 | | | 59,667 | |
| | 6,022,808 | | | Series 2007-5-A3 | | | 7.00% | | | 06/25/2037 | | | 4,876,220 | |
| | | | | Wells Fargo Alternative Loan Trust | |
| | 306,305 | | | Series 2007-PA5-1A1 | | | 6.25% | | | 11/25/2037 | | | 271,597 | |
| | | | | Wells Fargo Mortgage Backed Securities Trust | |
| | 7,016 | | | Series 2005-AR14-A6 | | | 7.35%(c) | | | 08/25/2035 | | | 6,850 | |
| | 385,860 | | | Series 2006-7-2A1 | | | 6.00% | | | 06/25/2036 | | | 345,333 | |
| | 16,587 | | | Series 2007-7-A1 | | | 6.00% | | | 06/25/2037 | | | 15,187 | |
| | | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $904,335,665) | | | | | | | | | 747,293,397 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | US CORPORATE BONDS - 15.8% | |
| | 780,000 | | | AAR Escrow Issuer LLC | | | 6.75%(a) | | | 03/15/2029 | | | 811,892 | |
| | 5,404,000 | | | AbbVie, Inc. | | | 4.70% | | | 05/14/2045 | | | 5,232,724 | |
| | 2,845,000 | | | AbbVie, Inc. | | | 5.50% | | | 03/15/2064 | | | 3,040,270 | |
| | 1,015,000 | | | Academy Ltd. | | | 6.00%(a) | | | 11/15/2027 | | | 1,018,498 | |
| | 405,000 | | | Acrisure LLC / Acrisure Finance, Inc. | | | 6.00%(a) | | | 08/01/2029 | | | 390,975 | |
| | 1,650,000 | | | Acuris Finance US, Inc. / Acuris Finance SARL | | | 5.00%(a) | | | 05/01/2028 | | | 1,512,640 | |
| | 620,000 | | | Acushnet Co. | | | 7.38%(a) | | | 10/15/2028 | | | 654,186 | |
| | 655,000 | | | AdaptHealth LLC | | | 5.13%(a) | | | 03/01/2030 | | | 613,625 | |
| | 1,240,000 | | | Advanced Drainage Systems, Inc. | | | 6.38%(a) | | | 06/15/2030 | | | 1,267,824 | |
| | 2,895,000 | | | AEP Texas, Inc. | | | 5.45% | | | 05/15/2029 | | | 3,020,898 | |
| | 882,000 | | | AEP Transmission Co. LLC | | | 5.40% | | | 03/15/2053 | | | 915,165 | |
| | 765,000 | | | Aethon United BR LP / Aethon United Finance Corp. | | | 8.25%(a) | | | 02/15/2026 | | | 774,517 | |
| | 1,225,000 | | | Aethon United BR LP / Aethon United Finance Corp. | | | 7.50%(a) | | | 10/01/2029 | | | 1,242,101 | |
| | 1,810,000 | | | AGCO Corp. | | | 5.80% | | | 03/21/2034 | | | 1,893,535 | |
| | 2,492,000 | | | Agree LP | | | 2.60% | | | 06/15/2033 | | | 2,078,620 | |
| | 4,870,000 | | | Alexandria Real Estate Equities, Inc. | | | 3.00% | | | 05/18/2051 | | | 3,254,967 | |
| | 984,000 | | | Alexandria Real Estate Equities, Inc. | | | 5.15% | | | 04/15/2053 | | | 942,511 | |
| | 1,145,000 | | | Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer | | | 6.75%(a) | | | 10/15/2027 | | | 1,141,617 | |
| | 735,000 | | | Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer | | | 6.50%(a) | | | 10/01/2031 | | | 743,626 | |
| | 1,660,000 | | | Allied Universal Holdco LLC | | | 7.88%(a) | | | 02/15/2031 | | | 1,697,096 | |
| | 615,000 | | | Allied Universal Holdco LLC / Allied Universal Finance Corp. | | | 6.00%(a) | | | 06/01/2029 | | | 550,197 | |
| | 355,000 | | | AMC Entertainment Holdings, Inc. | | | 7.50%(a) | | | 02/15/2029 | | | 279,833 | |
| | 750,000 | | | Amentum Escrow Corp. | | | 7.25%(a) | | | 08/01/2032 | | | 783,411 | |
| | 1,290,000 | | | American Airlines, Inc. | | | 8.50%(a) | | | 05/15/2029 | | | 1,369,515 | |
| | 600,000 | | | American Axle & Manufacturing, Inc. | | | 5.00% | | | 10/01/2029 | | | 551,448 | |
| | 7,338,000 | | | American Homes 4 Rent LP | | | 5.50% | | | 02/01/2034 | | | 7,582,330 | |
| | 2,060,000 | | | American National Group, Inc. | | | 5.75% | | | 10/01/2029 | | | 2,073,313 | |
| | 2,409,000 | | | American Tower Corp. | | | 5.55% | | | 07/15/2033 | | | 2,525,855 | |
| | 7,276,000 | | | Amgen, Inc. | | | 5.75% | | | 03/02/2063 | | | 7,686,128 | |
| | 1,040,000 | | | AmWINS Group, Inc. | | | 4.88%(a) | | | 06/30/2029 | | | 998,092 | |
| | 580,000 | | | Anywhere Real Estate Group LLC / Anywhere Co.-Issuer Corp. | | | 7.00%(a) | | | 04/15/2030 | | | 539,346 | |
| | 190,000 | | | Anywhere Real Estate Group LLC / Realogy Co.-Issuer Corp. | | | 5.25%(a) | | | 04/15/2030 | | | 151,695 | |
| | 1,235,000 | | | Archrock Partners LP / Archrock Partners Finance Corp. | | | 6.63%(a) | | | 09/01/2032 | | | 1,267,352 | |
| | 495,000 | | | Arcosa, Inc. | | | 6.88%(a) | | | 08/15/2032 | | | 518,465 | |
| | 685,000 | | | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. | | | 5.25%(a) | | | 08/15/2027 | | | 511,260 | |
| | 1,249,000 | | | Ares Capital Corp. | | | 5.95% | | | 07/15/2029 | | | 1,282,680 | |
| | 4,913,000 | | | Arizona Public Service Co. | | | 5.70% | | | 08/15/2034 | | | 5,189,391 | |
| | 4,169,000 | | | Arrow Electronics, Inc. | | | 3.88% | | | 01/12/2028 | | | 4,073,177 | |
| | 375,000 | | | Arsenal AIC Parent LLC | | | 8.00%(a) | | | 10/01/2030 | | | 402,875 | |
| | 365,000 | | | Artera Services LLC | | | 8.50%(a) | | | 02/15/2031 | | | 361,680 | |
| | 685,000 | | | Ashton Woods USA LLC / Ashton Woods Finance Co. | | | 4.63%(a) | | | 04/01/2030 | | | 656,857 | |
| | 1,015,000 | | | AssuredPartners, Inc. | | | 5.63%(a) | | | 01/15/2029 | | | 978,029 | |
| | 14,735,000 | | | AT&T, Inc. | | | 3.50% | | | 09/15/2053 | | | 10,834,132 | |
| | 1,015,000 | | | AthenaHealth Group, Inc. | | | 6.50%(a) | | | 02/15/2030 | | | 975,801 | |
| | 4,045,000 | | | Athene Global Funding | | | 5.35%(a) | | | 07/09/2027 | | | 4,132,172 | |
| | 5,458,000 | | | Athene Holding Ltd. | | | 6.25% | | | 04/01/2054 | | | 5,823,539 | |
| | 4,130,000 | | | Atlassian Corp. | | | 5.25% | | | 05/15/2029 | | | 4,272,044 | |
| | 7,569,000 | | | Aviation Capital Group LLC | | | 1.95%(a) | | | 09/20/2026 | | | 7,173,148 | |
| | 3,635,000 | | | Aviation Capital Group LLC | | | 5.38%(a) | | | 07/15/2029 | | | 3,715,003 | |
| | 240,000 | | | Avient Corp. | | | 6.25%(a) | | | 11/01/2031 | | | 246,223 | |
| | 4,215,000 | | | Bank of America Corp.
(SOFR + 1.21%) | | | 2.57% | | | 10/20/2032 | | | 3,697,024 | |
| | 3,952,000 | | | Bank of America Corp.
(SOFR + 1.65%) | | | 5.47% | | | 01/23/2035 | | | 4,157,457 | |
| | 11,216,000 | | | Bank of America Corp.
(5 yr. CMT Rate + 1.20%) | | | 2.48% | | | 09/21/2036 | | | 9,467,725 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 51
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 4,385,000 | | | Bank of New York Mellon Corp. (SOFR + 1.23%) | | | 5.06% | | | 07/22/2032 | | | 4,538,689 | |
| | 1,500,000 | | | Bausch + Lomb Corp. | | | 8.38%(a) | | | 10/01/2028 | | | 1,588,125 | |
| | 485,000 | | | Bausch Health Americas, Inc. | | | 8.50%(a) | | | 01/31/2027 | | | 397,649 | |
| | 1,080,000 | | | Bausch Health Cos., Inc. | | | 4.88%(a) | | | 06/01/2028 | | | 846,174 | |
| | 300,000 | | | Bausch Health Cos., Inc. | | | 5.25%(a) | | | 01/30/2030 | | | 168,267 | |
| | 93,000 | | | Bausch Health Cos., Inc. | | | 14.00%(a) | | | 10/15/2030 | | | 85,014 | |
| | 1,140,000 | | | BCPE Empire Holdings, Inc. | | | 7.63%(a) | | | 05/01/2027 | | | 1,144,779 | |
| | 1,135,000 | | | Beacon Roofing Supply, Inc. | | | 6.50%(a) | | | 08/01/2030 | | | 1,175,792 | |
| | 4,540,000 | | | Berkshire Hathaway Finance Corp. | | | 2.85% | | | 10/15/2050 | | | 3,194,146 | |
| | 2,427,000 | | | Berkshire Hathaway Finance Corp. | | | 3.85% | | | 03/15/2052 | | | 2,051,123 | |
| | 1,882,000 | | | Berry Global, Inc. | | | 4.88%(a) | | | 07/15/2026 | | | 1,880,724 | |
| | 2,930,000 | | | Berry Global, Inc. | | | 5.65%(a) | | | 01/15/2034 | | | 3,010,640 | |
| | 4,792,000 | | | Black Hills Corp. | | | 6.00% | | | 01/15/2035 | | | 5,105,653 | |
| | 3,120,000 | | | BlackRock Funding, Inc. | | | 5.25% | | | 03/14/2054 | | | 3,235,541 | |
| | 6,442,000 | | | BlackRock Funding, Inc. | | | 5.35% | | | 01/08/2055 | | | 6,786,644 | |
| | 610,000 | | | Blue Racer Midstream LLC / Blue Racer Finance Corp. | | | 7.25%(a) | | | 07/15/2032 | | | 640,646 | |
| | 400,000 | | | Boost Newco Borrower LLC | | | 7.50%(a) | | | 01/15/2031 | | | 429,551 | |
| | 3,936,000 | | | BP Capital Markets America, Inc. | | | 4.89% | | | 09/11/2033 | | | 4,006,368 | |
| | 4,912,000 | | | BP Capital Markets America, Inc. | | | 5.23% | | | 11/17/2034 | | | 5,116,032 | |
| | 740,000 | | | Brand Industrial Services, Inc. | | | 10.38%(a) | | | 08/01/2030 | | | 793,355 | |
| | 2,838,000 | | | Brighthouse Financial Global Funding | | | 2.00%(a) | | | 06/28/2028 | | | 2,571,089 | |
| | 7,902,000 | | | Broadcom, Inc. | | | 3.42%(a) | | | 04/15/2033 | | | 7,182,375 | |
| | 6,378,000 | | | Broadcom, Inc. | | | 3.19%(a) | | | 11/15/2036 | | | 5,408,217 | |
| | 4,942,000 | | | Brown & Brown, Inc. | | | 5.65% | | | 06/11/2034 | | | 5,187,623 | |
| | 1,730,000 | | | Buckeye Partners LP | | | 6.88%(a) | | | 07/01/2029 | | | 1,773,977 | |
| | 1,595,000 | | | Builders FirstSource, Inc. | | | 6.38%(a) | | | 03/01/2034 | | | 1,658,156 | |
| | 6,228,000 | | | Bunge Ltd. Finance Corp. | | | 4.65% | | | 09/17/2034 | | | 6,216,969 | |
| | 3,506,000 | | | Burlington Northern Santa Fe LLC | | | 5.20% | | | 04/15/2054 | | | 3,629,324 | |
| | 2,399,000 | | | Cadence Design Systems, Inc. | | | 4.70% | | | 09/10/2034 | | | 2,414,893 | |
| | 1,295,000 | | | Caesars Entertainment, Inc. | | | 6.50%(a) | | | 02/15/2032 | | | 1,340,376 | |
| | 890,000 | | | Calpine Corp. | | | 4.50%(a) | | | 02/15/2028 | | | 869,596 | |
| | 2,495,000 | | | Campbell Soup Co. | | | 5.40% | | | 03/21/2034 | | | 2,617,345 | |
| | 1,915,000 | | | Carnival Corp. | | | 5.75%(a) | | | 03/01/2027 | | | 1,940,618 | |
| | 830,000 | | | Carnival Corp. | | | 7.00%(a) | | | 08/15/2029 | | | 882,664 | |
| | 485,000 | | | Carvana Co.
9.00% Cash or 12.00% PIK | | | 12.00%(a) | | | 12/01/2028 | | | 509,782 | |
| | 485,000 | | | Carvana Co.
11.00% Cash or 13.00% PIK | | | 13.00%(a) | | | 06/01/2030 | | | 527,782 | |
| | 224,000 | | | Castle US Holding Corp. | | | 9.50%(a) | | | 02/15/2028 | | | 97,440 | |
| | 305,000 | | | Catalent Pharma Solutions, Inc. | | | 3.50%(a) | | | 04/01/2030 | | | 300,248 | |
| | 1,325,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp. | | | 5.13%(a) | | | 05/01/2027 | | | 1,305,067 | |
| | 2,520,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp. | | | 4.75%(a) | | | 03/01/2030 | | | 2,319,878 | |
| | 1,200,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp. | | | 4.75%(a) | | | 02/01/2032 | | | 1,058,566 | |
| | 665,000 | | | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op | | | 5.25% | | | 07/15/2029 | | | 653,871 | |
| | 8,500,000 | | | Centene Corp. | | | 2.50% | | | 03/01/2031 | | | 7,313,193 | |
| | 910,000 | | | Central Parent LLC / CDK Global II LLC / CDK Financing Co., Inc. | | | 8.00%(a) | | | 06/15/2029 | | | 947,292 | |
| | 5,314,000 | | | CF Industries, Inc. | | | 5.38% | | | 03/15/2044 | | | 5,235,495 | |
| | 1,905,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital | | | 6.10% | | | 06/01/2029 | | | 1,972,435 | |
| | 5,139,000 | | | Cheniere Energy, Inc. | | | 4.63% | | | 10/15/2028 | | | 5,108,928 | |
| | 1,260,000 | | | Chord Energy Corp. | | | 6.38%(a) | | | 06/01/2026 | | | 1,263,800 | |
| | 805,000 | | | CHS/Community Health Systems, Inc. | | | 6.00%(a) | | | 01/15/2029 | | | 782,239 | |
| | 305,000 | | | CHS/Community Health Systems, Inc. | | | 6.88%(a) | | | 04/15/2029 | | | 276,853 | |
| | 780,000 | | | CHS/Community Health Systems, Inc. | | | 4.75%(a) | | | 02/15/2031 | | | 686,226 | |
| | 2,038,000 | | | Citigroup, Inc.
(SOFR + 1.28%) | | | 3.07% | | | 02/24/2028 | | | 1,981,062 | |
| | 5,131,000 | | | Citigroup, Inc.
(5 yr. CMT Rate + 1.73%) | | | 5.41% | | | 09/19/2039 | | | 5,118,475 | |
| | 1,453,000 | | | Citizens Financial Group, Inc.
(SOFR + 2.33%) | | | 6.65% | | | 04/25/2035 | | | 1,595,810 | |
| | 770,000 | | | Civitas Resources, Inc. | | | 8.38%(a) | | | 07/01/2028 | | | 801,354 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,245,000 | | | Clarios Global LP / Clarios US Finance Co. | | | 6.75%(a) | | | 05/15/2028 | | | 1,284,229 | |
| | 565,000 | | | Clarivate Science Holdings Corp. | | | 4.88%(a) | | | 07/01/2029 | | | 543,979 | |
| | 410,000 | | | Clear Channel Outdoor Holdings, Inc. | | | 9.00%(a) | | | 09/15/2028 | | | 436,198 | |
| | 465,000 | | | Clear Channel Outdoor Holdings, Inc. | | | 7.50%(a) | | | 06/01/2029 | | | 400,888 | |
| | 655,000 | | | Clearway Energy Operating LLC | | | 4.75%(a) | | | 03/15/2028 | | | 643,241 | |
| | 780,000 | | | Cloud Software Group, Inc. | | | 6.50%(a) | | | 03/31/2029 | | | 776,733 | |
| | 515,000 | | | Cloud Software Group, Inc. | | | 9.00%(a) | | | 09/30/2029 | | | 524,512 | |
| | 1,235,000 | | | Clydesdale Acquisition Holdings, Inc. | | | 6.88%(a) | | | 01/15/2030 | | | 1,262,767 | |
| | 2,540,000 | | | CNH Industrial Capital LLC | | | 5.10% | | | 04/20/2029 | | | 2,615,615 | |
| | 1,185,000 | | | CNX Midstream Partners LP | | | 4.75%(a) | | | 04/15/2030 | | | 1,108,878 | |
| | 800,000 | | | CNX Resources Corp. | | | 6.00%(a) | | | 01/15/2029 | | | 804,969 | |
| | 565,000 | | | Coherent Corp. | | | 5.00%(a) | | | 12/15/2029 | | | 553,053 | |
| | 370,000 | | | CommScope LLC | | | 4.75%(a) | | | 09/01/2029 | | | 311,262 | |
| | 400,000 | | | CommScope Technologies LLC | | | 5.00%(a) | | | 03/15/2027 | | | 335,173 | |
| | 1,035,000 | | | Consolidated Communications, Inc. | | | 5.00%(a) | | | 10/01/2028 | | | 953,595 | |
| | 3,868,000 | | | COPT Defense Properties LP | | | 2.90% | | | 12/01/2033 | | | 3,241,762 | |
| | 618,000 | | | Cornerstone Building Brands, Inc. | | | 6.13%(a) | | | 01/15/2029 | | | 547,422 | |
| | 1,210,000 | | | Cornerstone Building Brands, Inc. | | | 9.50%(a) | | | 08/15/2029 | | | 1,243,968 | |
| | 1,240,000 | | | Coty, Inc. | | | 5.00%(a) | | | 04/15/2026 | | | 1,235,728 | |
| | 1,015,000 | | | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC | | | 6.63%(a) | | | 07/15/2030 | | | 1,055,571 | |
| | 640,000 | | | Cougar JV Subsidiary LLC | | | 8.00%(a) | | | 05/15/2032 | | | 677,263 | |
| | 1,300,000 | | | CQP Holdco LP / BIP-V Chinook Holdco LLC | | | 5.50%(a) | | | 06/15/2031 | | | 1,275,886 | |
| | 9,146,000 | | | Crown Castle, Inc. | | | 3.65% | | | 09/01/2027 | | | 8,967,009 | |
| | 1,185,000 | | | CSC Holdings LLC | | | 6.50%(a) | | | 02/01/2029 | | | 982,327 | |
| | 1,315,000 | | | CSC Holdings LLC | | | 5.75%(a) | | | 01/15/2030 | | | 681,842 | |
| | 12,807,000 | | | CSX Corp. | | | 3.80% | | | 11/01/2046 | | | 10,732,494 | |
| | 2,410,000 | | | Cummins, Inc. | | | 5.45% | | | 02/20/2054 | | | 2,551,359 | |
| | 680,000 | | | CVR Partners LP / CVR Nitrogen Finance Corp. | | | 6.13%(a) | | | 06/15/2028 | | | 666,219 | |
| | 5,057,000 | | | CVS Health Corp. | | | 5.30% | | | 06/01/2033 | | | 5,169,610 | |
| | 7,518,000 | | | CVS Health Corp. | | | 5.88% | | | 06/01/2053 | | | 7,655,915 | |
| | 410,000 | | | Dana, Inc. | | | 5.38% | | | 11/15/2027 | | | 407,466 | |
| | 965,000 | | | Dana, Inc. | | | 5.63% | | | 06/15/2028 | | | 946,936 | |
| | 285,000 | | | Dana, Inc. | | | 4.25% | | | 09/01/2030 | | | 256,115 | |
| | 807,000 | | | Dealer Tire LLC / DT Issuer LLC | | | 8.00%(a) | | | 02/01/2028 | | | 804,065 | |
| | 5,095,000 | | | Devon Energy Corp. | | | 5.75% | | | 09/15/2054 | | | 4,962,734 | |
| | 3,000,000 | | | Digital Realty Trust LP | | | 3.60% | | | 07/01/2029 | | | 2,900,899 | |
| | 1,105,000 | | | Directv Financing LLC / Directv Financing Co.-Obligor, Inc. | | | 5.88%(a) | | | 08/15/2027 | | | 1,085,704 | |
| | 1,275,000 | | | DISH DBS Corp. | | | 5.75%(a) | | | 12/01/2028 | | | 1,116,385 | |
| | 660,000 | | | DISH DBS Corp. | | | 5.13% | | | 06/01/2029 | | | 443,429 | |
| | 905,000 | | | Dornoch Debt Merger Sub, Inc. | | | 6.63%(a) | | | 10/15/2029 | | | 797,519 | |
| | 5,449,000 | | | DR Horton, Inc. | | | 5.00% | | | 10/15/2034 | | | 5,527,487 | |
| | 4,400,000 | | | DTE Energy Co. | | | 2.95% | | | 03/01/2030 | | | 4,067,059 | |
| | 7,778,000 | | | DTE Energy Co. | | | 5.85% | | | 06/01/2034 | | | 8,352,794 | |
| | 4,741,000 | | | Duke Energy Corp. | | | 5.45% | | | 06/15/2034 | | | 4,950,787 | |
| | 6,595,000 | | | Duke Energy Corp. | | | 3.95% | | | 08/15/2047 | | | 5,363,717 | |
| | 1,700,000 | | | Duke Energy Corp. | | | 5.00% | | | 08/15/2052 | | | 1,611,121 | |
| | 1,380,000 | | | Dun & Bradstreet Corp. | | | 5.00%(a) | | | 12/15/2029 | | | 1,375,529 | |
| | 1,435,000 | | | Elevance Health, Inc. | | | 4.55% | | | 05/15/2052 | | | 1,281,631 | |
| | 596,000 | | | Embarq Corp. | | | 8.00% | | | 06/01/2036 | | | 266,325 | |
| | 1,310,000 | | | EMRLD Borrower LP / Emerald Co.-Issuer, Inc. | | | 6.63%(a) | | | 12/15/2030 | | | 1,352,372 | |
| | 640,000 | | | EMRLD Borrower LP / Emerald Co.-Issuer, Inc. | | | 6.75%(a) | | | 07/15/2031 | | | 667,963 | |
| | 1,245,000 | | | Energizer Holdings, Inc. | | | 6.50%(a) | | | 12/31/2027 | | | 1,271,006 | |
| | 5,760,000 | | | Energy Transfer LP | | | 5.00% | | | 05/15/2044 | | | 5,280,020 | |
| | 5,095,000 | | | Energy Transfer LP | | | 5.95% | | | 05/15/2054 | | | 5,218,584 | |
| | 2,488,000 | | | Energy Transfer LP
(5 yr. CMT Rate + 2.83%) | | | 7.13% | | | 10/01/2054 | | | 2,546,100 | |
| | 7,582,000 | | | EnLink Midstream LLC | | | 5.65% | | | 09/01/2034 | | | 7,840,569 | |
| | 2,510,000 | | | Entergy Arkansas LLC | | | 5.75% | | | 06/01/2054 | | | 2,707,709 | |
| | 2,448,000 | | | Entergy Corp.
(5 yr. CMT Rate + 2.67%) | | | 7.13% | | | 12/01/2054 | | | 2,544,302 | |
| | 2,532,000 | | | Entergy Louisiana LLC | | | 5.15% | | | 09/15/2034 | | | 2,609,990 | |
| | 4,958,000 | | | Enterprise Products Operating LLC | | | 5.55% | | | 02/16/2055 | | | 5,125,449 | |
| | | | | | | | | | | | | | | |
52
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 4,852,000 | | | Equinix, Inc. | | | 1.80% | | | 07/15/2027 | | | 4,551,279 | |
| | 830,000 | | | Everi Holdings, Inc. | | | 5.00%(a) | | | 07/15/2029 | | | 826,793 | |
| | 2,550,000 | | | Eversource Energy | | | 5.50% | | | 01/01/2034 | | | 2,648,605 | |
| | 5,243,000 | | | Expedia Group, Inc. | | | 3.80% | | | 02/15/2028 | | | 5,145,890 | |
| | 1,409,000 | | | Expedia Group, Inc. | | | 3.25% | | | 02/15/2030 | | | 1,329,236 | |
| | 5,069,000 | | | Extra Space Storage LP | | | 5.40% | | | 02/01/2034 | | | 5,238,663 | |
| | 4,378,000 | | | Exxon Mobil Corp. | | | 4.23% | | | 03/19/2040 | | | 4,100,936 | |
| | 900,000 | | | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. | | | 6.75%(a) | | | 01/15/2030 | | | 839,082 | |
| | 4,662,000 | | | Fiserv, Inc. | | | 5.45% | | | 03/15/2034 | | | 4,875,144 | |
| | 6,088,000 | | | Ford Motor Co. | | | 3.25% | | | 02/12/2032 | | | 5,186,669 | |
| | 635,000 | | | Fortrea Holdings, Inc. | | | 7.50%(a) | | | 07/01/2030 | | | 639,963 | |
| | 1,555,000 | | | Fortress Transportation and Infrastructure Investors LLC | | | 7.88%(a) | | | 12/01/2030 | | | 1,676,753 | |
| | 1,730,000 | | | Fortress Transportation and Infrastructure Investors LLC | | | 5.88%(a) | | | 04/15/2033 | | | 1,723,850 | |
| | 2,648,000 | | | Foundry JV Holdco LLC | | | 6.40%(a) | | | 01/25/2038 | | | 2,792,060 | |
| | 390,000 | | | Frontier Communications Holdings LLC | | | 5.88%(a) | | | 10/15/2027 | | | 391,904 | |
| | 800,000 | | | Frontier Communications Holdings LLC | | | 5.00%(a) | | | 05/01/2028 | | | 793,392 | |
| | 1,140,392 | | | Frontier Communications Holdings LLC | | | 5.88% | | | 11/01/2029 | | | 1,133,138 | |
| | 690,000 | | | Full House Resorts, Inc. | | | 8.25%(a) | | | 02/15/2028 | | | 691,525 | |
| | 825,000 | | | Gates Corp./DE | | | 6.88%(a) | | | 07/01/2029 | | | 855,611 | |
| | 5,965,000 | | | General Motors Financial Co., Inc. | | | 3.10% | | | 01/12/2032 | | | 5,220,144 | |
| | 2,610,000 | | | Genesee & Wyoming, Inc. | | | 6.25%(a) | | | 04/15/2032 | | | 2,687,254 | |
| | 835,000 | | | Genting New York LLC / GENNY Capital, Inc. | | | 7.25%(a) | | | 10/01/2029 | | | 845,604 | |
| | 5,044,000 | | | Genuine Parts Co. | | | 4.95% | | | 08/15/2029 | | | 5,132,722 | |
| | 2,993,000 | | | Gilead Sciences, Inc. | | | 5.55% | | | 10/15/2053 | | | 3,215,728 | |
| | 5,013,000 | | | Global Payments, Inc. | | | 4.95% | | | 08/15/2027 | | | 5,097,309 | |
| | 11,303,000 | | | Goldman Sachs Group, Inc.
(3 mo. Term SOFR + 1.43%) | | | 6.55% | | | 05/15/2026 | | | 11,368,298 | |
| | 3,280,000 | | | Goldman Sachs Group, Inc.
(SOFR + 0.82%) | | | 5.75% | | | 09/10/2027 | | | 3,277,652 | |
| | 4,740,000 | | | Goldman Sachs Group, Inc.
(SOFR + 1.55%) | | | 5.33% | | | 07/23/2035 | | | 4,911,958 | |
| | 585,000 | | | Goodyear Tire & Rubber Co. | | | 5.25% | | | 07/15/2031 | | | 528,264 | |
| | 470,000 | | | GrafTech Finance, Inc. | | | 4.63%(a) | | | 12/15/2028 | | | 314,390 | |
| | 625,000 | | | Gray Television, Inc. | | | 10.50%(a) | | | 07/15/2029 | | | 653,405 | |
| | 1,105,000 | | | Griffon Corp. | | | 5.75% | | | 03/01/2028 | | | 1,092,082 | |
| | 695,000 | | | Group 1 Automotive, Inc. | | | 4.00%(a) | | | 08/15/2028 | | | 663,667 | |
| | 820,000 | | | Group 1 Automotive, Inc. | | | 6.38%(a) | | | 01/15/2030 | | | 835,077 | |
| | 635,971 | | | Gulfport Energy Corp. | | | 8.00%(a) | | | 05/17/2026 | | | 647,101 | |
| | 1,225,000 | | | Gulfport Energy Corp. | | | 6.75%(a) | | | 09/01/2029 | | | 1,240,859 | |
| | 2,070,000 | | | Halliburton Co. | | | 4.85% | | | 11/15/2035 | | | 2,067,805 | |
| | 1,205,000 | | | Harvest Midstream I LP | | | 7.50%(a) | | | 05/15/2032 | | | 1,268,464 | |
| | 11,211,000 | | | HCA, Inc. | | | 5.25% | | | 06/15/2049 | | | 10,652,072 | |
| | 1,180,000 | | | Helios Software Holdings, Inc. / ION Corporate Solutions Finance Sarl | | | 4.63%(a) | | | 05/01/2028 | | | 1,092,738 | |
| | 1,075,000 | | | Hess Midstream Operations LP | | | 5.13%(a) | | | 06/15/2028 | | | 1,064,373 | |
| | 12,428,000 | | | Hewlett Packard Enterprise Co. | | | 5.00% | | | 10/15/2034 | | | 12,309,027 | |
| | 760,000 | | | H-Food Holdings LLC / Hearthside Finance Co., Inc. | | | 8.50%(a) | | | 06/01/2026 | | | 57,966 | |
| | 975,000 | | | Hightower Holding LLC | | | 6.75%(a) | | | 04/15/2029 | | | 935,881 | |
| | 1,282,000 | | | Hilcorp Energy I LP / Hilcorp Finance Co. | | | 6.25%(a) | | | 11/01/2028 | | | 1,280,489 | |
| | 315,000 | | | Hilcorp Energy I LP / Hilcorp Finance Co. | | | 5.75%(a) | | | 02/01/2029 | | | 306,702 | |
| | 260,000 | | | Hilcorp Energy I LP / Hilcorp Finance Co. | | | 8.38%(a) | | | 11/01/2033 | | | 280,509 | |
| | 5,993,000 | | | Host Hotels & Resorts LP | | | 2.90% | | | 12/15/2031 | | | 5,276,630 | |
| | 5,035,000 | | | Host Hotels & Resorts LP | | | 5.70% | | | 07/01/2034 | | | 5,201,127 | |
| | 1,806,000 | | | Howmet Aerospace, Inc. | | | 4.85% | | | 10/15/2031 | | | 1,844,626 | |
| | 1,245,000 | | | HUB International Ltd. | | | 7.25%(a) | | | 06/15/2030 | | | 1,298,168 | |
| | 4,995,000 | | | Hyatt Hotels Corp. | | | 5.25% | | | 06/30/2029 | | | 5,117,064 | |
| | 9,976,000 | | | Hyundai Capital America | | | 5.30%(a) | | | 01/08/2029 | | | 10,254,616 | |
| | 1,045,000 | | | Icahn Enterprises LP / Icahn Enterprises Finance Corp. | | | 5.25% | | | 05/15/2027 | | | 1,002,214 | |
| | 2,440,000 | | | Icon Investments Six DAC | | | 5.85% | | | 05/08/2029 | | | 2,565,383 | |
| | 2,434,000 | | | Icon Investments Six DAC | | | 6.00% | | | 05/08/2034 | | | 2,590,517 | |
| | 1,190,000 | | | Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | | | 9.00%(a) | | | 07/01/2028 | | | 1,204,241 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,435,000 | | | Installed Building Products, Inc. | | | 5.75%(a) | | | 02/01/2028 | | | 1,431,304 | |
| | 4,246,000 | | | Intuit, Inc. | | | 5.50% | | | 09/15/2053 | | | 4,567,045 | |
| | 3,383,000 | | | IQVIA, Inc. | | | 6.25% | | | 02/01/2029 | | | 3,598,530 | |
| | 1,175,000 | | | Iron Mountain, Inc. | | | 7.00%(a) | | | 02/15/2029 | | | 1,225,668 | |
| | 3,430,000 | | | Jacobs Engineering Group, Inc. | | | 5.90% | | | 03/01/2033 | | | 3,600,935 | |
| | 1,380,000 | | | JELD-WEN, Inc. | | | 4.88%(a) | | | 12/15/2027 | | | 1,349,633 | |
| | 1,020,000 | | | JELD-WEN, Inc. | | | 7.00%(a) | | | 09/01/2032 | | | 1,031,694 | |
| | 790,000 | | | JetBlue Airways Corp. / JetBlue Loyalty LP | | | 9.88%(a) | | | 09/20/2031 | | | 832,889 | |
| | 3,355,000 | | | JPMorgan Chase & Co.
(SOFR + 0.92%) | | | 2.60% | | | 02/24/2026 | | | 3,322,332 | |
| | 1,295,000 | | | JPMorgan Chase & Co.
(SOFR + 1.99%) | | | 4.85% | | | 07/25/2028 | | | 1,317,841 | |
| | 4,495,000 | | | JPMorgan Chase & Co.
(SOFR + 1.02%) | | | 2.07% | | | 06/01/2029 | | | 4,159,944 | |
| | 6,940,000 | | | JPMorgan Chase & Co.
(SOFR + 2.04%) | | | 2.52% | | | 04/22/2031 | | | 6,306,573 | |
| | 5,890,000 | | | JPMorgan Chase & Co.
(3 mo. Term SOFR + 1.25%) | | | 2.58% | | | 04/22/2032 | | | 5,255,514 | |
| | 5,830,000 | | | JPMorgan Chase & Co.
(SOFR + 1.26%) | | | 2.96% | | | 01/25/2033 | | | 5,248,503 | |
| | 4,970,000 | | | Keurig Dr Pepper, Inc. | | | 5.20% | | | 03/15/2031 | | | 5,190,893 | |
| | 8,220,000 | | | Kinder Morgan Energy Partners LP | | | 6.95% | | | 01/15/2038 | | | 9,346,344 | |
| | 1,285,000 | | | Kodiak Gas Services LLC | | | 7.25%(a) | | | 02/15/2029 | | | 1,330,853 | |
| | 4,977,000 | | | Kroger Co. | | | 4.90% | | | 09/15/2031 | | | 5,010,857 | |
| | 6,647,000 | | | Kyndryl Holdings, Inc. | | | 4.10% | | | 10/15/2041 | | | 5,362,257 | |
| | 12,436,000 | | | Laboratory Corp. of America Holdings | | | 4.80% | | | 10/01/2034 | | | 12,296,810 | |
| | 695,000 | | | LBM Acquisition LLC | | | 6.25%(a) | | | 01/15/2029 | | | 657,826 | |
| | 1,300,000 | | | Leeward Renewable Energy Operations LLC | | | 4.25%(a) | | | 07/01/2029 | | | 1,226,862 | |
| | 1,305,000 | | | Legacy LifePoint Health LLC | | | 4.38%(a) | | | 02/15/2027 | | | 1,280,884 | |
| | 1,125,000 | | | Level 3 Financing, Inc. | | | 10.50%(a) | | | 04/15/2029 | | | 1,231,930 | |
| | 530,000 | | | Level 3 Financing, Inc. | | | 3.75%(a) | | | 07/15/2029 | | | 363,050 | |
| | 420,000 | | | Level 3 Financing, Inc. | | | 4.50%(a) | | | 04/01/2030 | | | 327,393 | |
| | 870,000 | | | LFS Topco LLC | | | 5.88%(a) | | | 10/15/2026 | | | 819,139 | |
| | 1,560,000 | | | LifePoint Health, Inc. | | | 10.00%(a) | | | 06/01/2032 | | | 1,716,962 | |
| | 625,000 | | | Light & Wonder International, Inc. | | | 7.25%(a) | | | 11/15/2029 | | | 647,102 | |
| | 740,000 | | | Lightning Power LLC | | | 7.25%(a) | | | 08/15/2032 | | | 778,774 | |
| | 170,000 | | | Lions Gate Capital Holdings LLC | | | 5.50%(a) | | | 04/15/2029 | | | 124,783 | |
| | 620,000 | | | Live Nation Entertainment, Inc. | | | 6.50%(a) | | | 05/15/2027 | | | 632,786 | |
| | 2,922,000 | | | Lowe’s Cos., Inc. | | | 5.63% | | | 04/15/2053 | | | 3,043,987 | |
| | 4,835,000 | | | LYB International Finance III LLC | | | 5.50% | | | 03/01/2034 | | | 5,032,613 | |
| | 1,235,000 | | | M/I Homes, Inc. | | | 4.95% | | | 02/01/2028 | | | 1,215,133 | |
| | 535,000 | | | Macy’s Retail Holdings LLC | | | 5.88%(a) | | | 04/01/2029 | | | 528,694 | |
| | 1,030,000 | | | Madison IAQ LLC | | | 4.13%(a) | | | 06/30/2028 | | | 994,803 | |
| | 1,435,000 | | | Madison IAQ LLC | | | 5.88%(a) | | | 06/30/2029 | | | 1,398,419 | |
| | 3,972,000 | | | Marathon Petroleum Corp. | | | 5.13% | | | 12/15/2026 | | | 4,036,567 | |
| | 1,870,000 | | | Markel Group, Inc. | | | 6.00% | | | 05/16/2054 | | | 1,990,915 | |
| | 5,413,000 | | | Marriott International, Inc./MD | | | 2.75% | | | 10/15/2033 | | | 4,626,704 | |
| | 5,053,000 | | | Marriott International, Inc./MD | | | 5.30% | | | 05/15/2034 | | | 5,208,810 | |
| | 10,096,000 | | | Marvell Technology, Inc. | | | 2.95% | | | 04/15/2031 | | | 9,124,097 | |
| | 5,577,000 | | | Massachusetts Mutual Life Insurance Co. | | | 3.20%(a) | | | 12/01/2061 | | | 3,705,839 | |
| | 1,670,000 | | | MasTec, Inc. | | | 5.90% | | | 06/15/2029 | | | 1,744,403 | |
| | 1,040,000 | | | Matador Resources Co. | | | 6.50%(a) | | | 04/15/2032 | | | 1,039,227 | |
| | 1,330,000 | | | Match Group Holdings II LLC | | | 5.00%(a) | | | 12/15/2027 | | | 1,318,833 | |
| | 1,315,000 | | | Mativ Holdings, Inc. | | | 6.88%(a) | | | 10/01/2026 | | | 1,315,230 | |
| | 880,000 | | | Mativ Holdings, Inc. | | | 8.00%(a) | | | 10/01/2029 | | | 899,294 | |
| | 912,000 | | | Mavis Tire Express Services Topco Corp. | | | 6.50%(a) | | | 05/15/2029 | | | 877,104 | |
| | 425,000 | | | McAfee Corp. | | | 7.38%(a) | | | 02/15/2030 | | | 414,943 | |
| | 5,804,000 | | | McDonald’s Corp. | | | 4.45% | | | 03/01/2047 | | | 5,299,199 | |
| | 685,000 | | | McGraw-Hill Education, Inc. | | | 5.75%(a) | | | 08/01/2028 | | | 677,495 | |
| | 250,000 | | | McGraw-Hill Education, Inc. | | | 7.38%(a) | | | 09/01/2031 | | | 259,589 | |
| | 2,650,000 | | | Medline Borrower LP | | | 5.25%(a) | | | 10/01/2029 | | | 2,602,095 | |
| | 765,000 | | | Medline Borrower LP/Medline Co.-Issuer, Inc. | | | 6.25%(a) | | | 04/01/2029 | | | 789,160 | |
| | 5,710,000 | | | Meta Platforms, Inc. | | | 4.45% | | | 08/15/2052 | | | 5,269,737 | |
| | 505,000 | | | Michaels Cos., Inc. | | | 5.25%(a) | | | 05/01/2028 | | | 373,243 | |
| | 405,000 | | | Michaels Cos., Inc. | | | 7.88%(a) | | | 05/01/2029 | | | 237,639 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 53
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 1,238,000 | | | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp. | | | 4.88%(a) | | | 05/01/2029 | | | 1,188,339 | |
| | 1,300,000 | | | Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC | | | 6.75%(a) | | | 04/01/2032 | | | 1,348,426 | |
| | 195,000 | | | ModivCare Escrow Issuer, Inc. | | | 5.00%(a) | | | 10/01/2029 | | | 121,640 | |
| | 3,431,000 | | | Morgan Stanley
(SOFR + 1.67%) | | | 4.68% | | | 07/17/2026 | | | 3,427,004 | |
| | 4,078,000 | | | Morgan Stanley
(SOFR + 1.61%) | | | 4.21% | | | 04/20/2028 | | | 4,070,579 | |
| | 1,678,000 | | | Morgan Stanley
(SOFR + 1.29%) | | | 2.94% | | | 01/21/2033 | | | 1,499,350 | |
| | 4,351,000 | | | Mosaic Co. | | | 5.38% | | | 11/15/2028 | | | 4,509,976 | |
| | 5,006,000 | | | Motorola Solutions, Inc. | | | 5.40% | | | 04/15/2034 | | | 5,227,012 | |
| | 4,982,000 | | | MPLX LP | | | 5.50% | | | 06/01/2034 | | | 5,120,684 | |
| | 835,000 | | | Nabors Industries, Inc. | | | 9.13%(a) | | | 01/31/2030 | | | 861,873 | |
| | 310,000 | | | Nabors Industries, Inc. | | | 8.88%(a) | | | 08/15/2031 | | | 295,171 | |
| | 1,460,000 | | | Nationstar Mortgage Holdings, Inc. | | | 5.75%(a) | | | 11/15/2031 | | | 1,431,801 | |
| | 780,000 | | | Navient Corp. | | | 5.00% | | | 03/15/2027 | | | 773,719 | |
| | 1,185,000 | | | NCL Corp. Ltd. | | | 5.88%(a) | | | 03/15/2026 | | | 1,185,814 | |
| | 830,000 | | | NCL Corp. Ltd. | | | 8.38%(a) | | | 02/01/2028 | | | 872,211 | |
| | 205,000 | | | NCL Corp. Ltd. | | | 6.25%(a) | | | 03/01/2030 | | | 204,927 | |
| | 4,584,000 | | | NetApp, Inc. | | | 1.88% | | | 06/22/2025 | | | 4,489,652 | |
| | 1,958,000 | | | Netflix, Inc. | | | 4.88% | | | 04/15/2028 | | | 2,006,540 | |
| | 3,644,000 | | | Netflix, Inc. | | | 5.40% | | | 08/15/2054 | | | 3,860,749 | |
| | 505,000 | | | News Corp. | | | 5.13%(a) | | | 02/15/2032 | | | 496,591 | |
| | 3,102,000 | | | NextEra Energy Capital Holdings, Inc. | | | 5.55% | | | 03/15/2054 | | | 3,243,847 | |
| | 1,098,000 | | | NextEra Energy Capital Holdings, Inc.
(5 yr. CMT Rate + 2.46%) | | | 6.75% | | | 06/15/2054 | | | 1,187,588 | |
| | 1,030,000 | | | NGL Energy Operating LLC / NGL Energy Finance Corp. | | | 8.13%(a) | | | 02/15/2029 | | | 1,056,926 | |
| | 5,760,000 | | | NGPL PipeCo LLC | | | 3.25%(a) | | | 07/15/2031 | | | 5,126,151 | |
| | 5,089,000 | | | NiSource, Inc. | | | 5.35% | | | 04/01/2034 | | | 5,286,500 | |
| | 5,275,000 | | | Northrop Grumman Corp. | | | 5.20% | | | 06/01/2054 | | | 5,376,259 | |
| | 1,000,000 | | | Novelis Corp. | | | 4.75%(a) | | | 01/30/2030 | | | 970,371 | |
| | 3,136,000 | | | NRG Energy, Inc. | | | 2.00%(a) | | | 12/02/2025 | | | 3,026,782 | |
| | 1,650,000 | | | NuStar Logistics LP | | | 6.00% | | | 06/01/2026 | | | 1,661,096 | |
| | 1,097,000 | | | Occidental Petroleum Corp. | | | 5.38% | | | 01/01/2032 | | | 1,112,970 | |
| | 550,000 | | | Olympus Water US Holding Corp. | | | 6.25%(a) | | | 10/01/2029 | | | 532,853 | |
| | 280,000 | | | OneMain Finance Corp. | | | 7.13% | | | 03/15/2026 | | | 286,069 | |
| | 1,525,000 | | | OneMain Finance Corp. | | | 7.50% | | | 05/15/2031 | | | 1,571,134 | |
| | 2,651,000 | | | ONEOK, Inc. | | | 3.40% | | | 09/01/2029 | | | 2,522,130 | |
| | 2,218,000 | | | ONEOK, Inc. | | | 6.63% | | | 09/01/2053 | | | 2,462,839 | |
| | 2,824,000 | | | Oracle Corp. | | | 6.25% | | | 11/09/2032 | | | 3,125,754 | |
| | 1,814,000 | | | Oracle Corp. | | | 3.80% | | | 11/15/2037 | | | 1,605,807 | |
| | 2,445,000 | | | O’Reilly Automotive, Inc. | | | 5.75% | | | 11/20/2026 | | | 2,521,379 | |
| | 2,539,000 | | | O’Reilly Automotive, Inc. | | | 5.00% | | | 08/19/2034 | | | 2,570,622 | |
| | 1,220,000 | | | Outfront Media Capital LLC / Outfront Media Capital Corp. | | | 7.38%(a) | | | 02/15/2031 | | | 1,303,478 | |
| | 640,000 | | | Owens & Minor, Inc. | | | 6.63%(a) | | | 04/01/2030 | | | 621,854 | |
| | 2,335,000 | | | Owens Corning | | | 5.70% | | | 06/15/2034 | | | 2,480,330 | |
| | 4,520,000 | | | Pacific Gas and Electric Co. | | | 6.95% | | | 03/15/2034 | | | 5,140,524 | |
| | 11,746,000 | | | Pacific Gas and Electric Co. | | | 6.75% | | | 01/15/2053 | | | 13,402,245 | |
| | 877,000 | | | Packaging Corp. of America | | | 3.00% | | | 12/15/2029 | | | 827,716 | |
| | 1,015,000 | | | Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc. | | | 4.38%(a) | | | 10/15/2028 | | | 973,166 | |
| | 1,035,000 | | | Panther Escrow Issuer LLC | | | 7.13%(a) | | | 06/01/2031 | | | 1,086,433 | |
| | 1,755,000 | | | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer | | | 7.00%(a) | | | 02/01/2030 | | | 1,825,848 | |
| | 525,000 | | | PBF Holding Co. LLC / PBF Finance Corp. | | | 6.00% | | | 02/15/2028 | | | 518,631 | |
| | 470,000 | | | Penn Entertainment, Inc. | | | 4.13%(a) | | | 07/01/2029 | | | 428,563 | |
| | 690,000 | | | PennyMac Financial Services, Inc. | | | 4.25%(a) | | | 02/15/2029 | | | 658,869 | |
| | 775,000 | | | PennyMac Financial Services, Inc. | | | 7.88%(a) | | | 12/15/2029 | | | 827,082 | |
| | 2,945,000 | | | Penske Truck Leasing Co. Lp / PTL Finance Corp. | | | 5.75%(a) | | | 05/24/2026 | | | 2,999,820 | |
| | 4,185,000 | | | Penske Truck Leasing Co. Lp / PTL Finance Corp. | | | 4.20%(a) | | | 04/01/2027 | | | 4,165,270 | |
| | 1,100,000 | | | Performance Food Group, Inc. | | | 6.13%(a) | | | 09/15/2032 | | | 1,125,416 | |
| | 1,220,000 | | | Permian Resources Operating LLC | | | 7.00%(a) | | | 01/15/2032 | | | 1,270,206 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 620,000 | | | Permian Resources Operating LLC | | | 6.25%(a) | | | 02/01/2033 | | | 630,459 | |
| | 1,345,000 | | | PetSmart, Inc. / PetSmart Finance Corp. | | | 7.75%(a) | | | 02/15/2029 | | | 1,329,049 | |
| | 3,528,000 | | | Pfizer Investment Enterprises Pte Ltd. | | | 4.75% | | | 05/19/2033 | | | 3,597,320 | |
| | 4,402,000 | | | Philip Morris International, Inc. | | | 5.25% | | | 02/13/2034 | | | 4,573,189 | |
| | 3,795,000 | | | Phillips Edison Grocery Center Operating Partnership I LP | | | 5.75% | | | 07/15/2034 | | | 3,965,923 | |
| | 1,200,000 | | | Pike Corp. | | | 5.50%(a) | | | 09/01/2028 | | | 1,176,346 | |
| | 655,000 | | | Pike Corp. | | | 8.63%(a) | | | 01/31/2031 | | | 701,156 | |
| | 980,000 | | | Post Holdings, Inc. | | | 6.38%(a) | | | 03/01/2033 | | | 998,441 | |
| | 375,000 | | | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp. | | | 5.63%(a) | | | 09/01/2029 | | | 280,813 | |
| | 545,000 | | | Prime Security Services Borrower LLC / Prime Finance, Inc. | | | 6.25%(a) | | | 01/15/2028 | | | 545,558 | |
| | 2,909,000 | | | Qorvo, Inc. | | | 3.38%(a) | | | 04/01/2031 | | | 2,607,566 | |
| | 4,993,000 | | | Quanta Services, Inc. | | | 5.25% | | | 08/09/2034 | | | 5,107,347 | |
| | 5,060,000 | | | Quest Diagnostics, Inc. | | | 5.00% | | | 12/15/2034 | | | 5,126,780 | |
| | 210,000 | | | Radiate Holdco LLC / Radiate Finance, Inc. | | | 4.50%(a) | | | 09/15/2026 | | | 179,332 | |
| | 308,129 | | | Radiology Partners, Inc.
4.28% Cash + 3.50% PIK | | | 7.78%(a) | | | 01/31/2029 | | | 306,203 | |
| | 225,011 | | | Radiology Partners, Inc.
9.78% PIK | | | 9.78%(a) | | | 02/15/2030 | | | 212,917 | |
| | 1,934,000 | | | Regal Rexnord Corp. | | | 6.05% | | | 02/15/2026 | | | 1,964,659 | |
| | 1,475,000 | | | Royal Caribbean Cruises Ltd. | | | 5.50%(a) | | | 08/31/2026 | | | 1,490,406 | |
| | 4,896,000 | | | Royal Caribbean Cruises Ltd. | | | 5.38%(a) | | | 07/15/2027 | | | 4,943,144 | |
| | 490,000 | | | Royal Caribbean Cruises Ltd. | | | 5.63%(a) | | | 09/30/2031 | | | 496,738 | |
| | 775,000 | | | Royal Caribbean Cruises Ltd. | | | 6.25%(a) | | | 03/15/2032 | | | 804,422 | |
| | 4,925,000 | | | Royalty Pharma PLC | | | 5.40% | | | 09/02/2034 | | | 5,054,404 | |
| | 3,988,000 | | | Sabine Pass Liquefaction LLC | | | 5.00% | | | 03/15/2027 | | | 4,041,007 | |
| | 2,426,000 | | | Sabra Health Care LP | | | 3.20% | | | 12/01/2031 | | | 2,136,470 | |
| | 415,000 | | | Sabre GLBL, Inc. | | | 8.63%(a) | | | 06/01/2027 | | | 408,515 | |
| | 1,423,000 | | | San Diego Gas & Electric Co. | | | 5.35% | | | 04/01/2053 | | | 1,462,899 | |
| | 4,022,000 | | | Schlumberger Holdings Corp. | | | 5.00%(a) | | | 11/15/2029 | | | 4,153,656 | |
| | 790,000 | | | Scientific Games Holdings LP/Scientific Games US FinCo, Inc. | | | 6.63%(a) | | | 03/01/2030 | | | 784,541 | |
| | 1,270,000 | | | Sealed Air Corp./Sealed Air Corp. US | | | 7.25%(a) | | | 02/15/2031 | | | 1,345,740 | |
| | 1,075,000 | | | Select Medical Corp. | | | 6.25%(a) | | | 08/15/2026 | | | 1,082,410 | |
| | 260,000 | | | Service Properties Trust | | | 5.50% | | | 12/15/2027 | | | 247,757 | |
| | 270,000 | | | Service Properties Trust | | | 8.88% | | | 06/15/2032 | | | 258,138 | |
| | 1,100,000 | | | Sirius XM Radio, Inc. | | | 5.50%(a) | | | 07/01/2029 | | | 1,075,482 | |
| | 605,000 | | | Sitio Royalties Operating Partnership LP / Sitio Finance Corp. | | | 7.88%(a) | | | 11/01/2028 | | | 633,395 | |
| | 1,550,000 | | | Six Flags Entertainment Corp. / Six Flags Theme Parks, Inc. | | | 6.63%(a) | | | 05/01/2032 | | | 1,606,293 | |
| | 1,230,000 | | | SM Energy Co. | | | 7.00%(a) | | | 08/01/2032 | | | 1,235,597 | |
| | 1,455,000 | | | Sonic Automotive, Inc. | | | 4.63%(a) | | | 11/15/2029 | | | 1,367,242 | |
| | 1,809,000 | | | Sonoco Products Co. | | | 4.60% | | | 09/01/2029 | | | 1,800,762 | |
| | 680,000 | | | Sotera Health Holdings LLC | | | 7.38%(a) | | | 06/01/2031 | | | 707,036 | |
| | 4,885,000 | | | Southern California Edison Co. | | | 5.45% | | | 06/01/2031 | | | 5,170,999 | |
| | 5,349,000 | | | Southern Co.
(5 yr. CMT Rate + 2.92%) | | | 3.75% | | | 09/15/2051 | | | 5,186,632 | |
| | 3,724,000 | | | Southwestern Electric Power Co. | | | 3.25% | | | 11/01/2051 | | | 2,581,655 | |
| | 465,000 | | | Spirit AeroSystems, Inc. | | | 9.75%(a) | | | 11/15/2030 | | | 519,056 | |
| | 625,000 | | | Standard Building Solutions, Inc. | | | 6.50%(a) | | | 08/15/2032 | | | 647,687 | |
| | 555,000 | | | Staples, Inc. | | | 10.75%(a) | | | 09/01/2029 | | | 539,211 | |
| | 185,000 | | | Staples, Inc. | | | 12.75%(a) | | | 01/15/2030 | | | 152,171 | |
| | 850,000 | | | Starwood Property Trust, Inc. | | | 7.25%(a) | | | 04/01/2029 | | | 892,340 | |
| | 405,000 | | | Starwood Property Trust, Inc. | | | 6.00%(a) | | | 04/15/2030 | | | 405,582 | |
| | 625,000 | | | Station Casinos LLC | | | 6.63%(a) | | | 03/15/2032 | | | 639,444 | |
| | 685,000 | | | Suburban Propane Partners LP/Suburban Energy Finance Corp. | | | 5.00%(a) | | | 06/01/2031 | | | 639,213 | |
| | 6,035,000 | | | Sun Communities Operating LP | | | 2.70% | | | 07/15/2031 | | | 5,280,764 | |
| | 1,130,000 | | | SunCoke Energy, Inc. | | | 4.88%(a) | | | 06/30/2029 | | | 1,025,725 | |
| | 635,000 | | | Sunoco LP / Sunoco Finance Corp. | | | 6.00% | | | 04/15/2027 | | | 637,585 | |
| | 210,000 | | | SWF Holdings I Corp. | | | 6.50%(a) | | | 10/01/2029 | | | 134,410 | |
| | 8,765,000 | | | Take-Two Interactive Software, Inc. | | | 4.95% | | | 03/28/2028 | | | 8,945,029 | |
| | | | | | | | | | | | | | | |
54
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 1,205,000 | | | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | | | 7.38%(a) | | | 02/15/2029 | | | 1,219,534 | |
| | 1,081,000 | | | Targa Resources Corp. | | | 5.50% | | | 02/15/2035 | | | 1,113,733 | |
| | 950,000 | | | Tenet Healthcare Corp. | | | 6.25% | | | 02/01/2027 | | | 952,075 | |
| | 835,000 | | | Tenet Healthcare Corp. | | | 6.13% | | | 10/01/2028 | | | 842,331 | |
| | 1,320,000 | | | Tenet Healthcare Corp. | | | 6.13% | | | 06/15/2030 | | | 1,343,221 | |
| | 4,429,000 | | | T-Mobile USA, Inc. | | | 5.15% | | | 04/15/2034 | | | 4,564,383 | |
| | 5,722,000 | | | T-Mobile USA, Inc. | | | 3.40% | | | 10/15/2052 | | | 4,191,781 | |
| | 945,000 | | | Townsquare Media, Inc. | | | 6.88%(a) | | | 02/01/2026 | | | 943,780 | |
| | 1,290,000 | | | TransDigm, Inc. | | | 5.50% | | | 11/15/2027 | | | 1,286,541 | |
| | 1,245,000 | | | TransDigm, Inc. | | | 6.88%(a) | | | 12/15/2030 | | | 1,304,904 | |
| | 594,000 | | | Transocean Poseidon Ltd. | | | 6.88%(a) | | | 02/01/2027 | | | 594,649 | |
| | 441,000 | | | Transocean, Inc. | | | 8.00%(a) | | | 02/01/2027 | | | 441,077 | |
| | 1,195,000 | | | Trident TPI Holdings, Inc. | | | 12.75%(a) | | | 12/31/2028 | | | 1,328,092 | |
| | 785,000 | | | Triton Water Holdings, Inc. | | | 6.25%(a) | | | 04/01/2029 | | | 784,918 | |
| | 4,981,000 | | | Truist Financial Corp.
(SOFR + 1.57%) | | | 5.15% | | | 08/05/2032 | | | 5,103,163 | |
| | 5,741,000 | | | Uber Technologies, Inc. | | | 4.50%(a) | | | 08/15/2029 | | | 5,702,446 | |
| | 4,996,000 | | | Uber Technologies, Inc. | | | 4.80% | | | 09/15/2034 | | | 4,992,202 | |
| | 655,000 | | | UKG, Inc. | | | 6.88%(a) | | | 02/01/2031 | | | 677,287 | |
| | 1,255,000 | | | United Airlines, Inc. | | | 4.63%(a) | | | 04/15/2029 | | | 1,213,483 | |
| | 1,135,000 | | | United Natural Foods, Inc. | | | 6.75%(a) | | | 10/15/2028 | | | 1,083,620 | |
| | 5,779,000 | | | UnitedHealth Group, Inc. | | | 5.05% | | | 04/15/2053 | | | 5,743,758 | |
| | 2,056,000 | | | UnitedHealth Group, Inc. | | | 4.95% | | | 05/15/2062 | | | 1,990,332 | |
| | 625,000 | | | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC | | | 10.50%(a) | | | 02/15/2028 | | | 667,632 | |
| | 5,489,000 | | | Universal Health Services, Inc. | | | 4.63% | | | 10/15/2029 | | | 5,456,942 | |
| | 1,000,000 | | | Univision Communications, Inc. | | | 4.50%(a) | | | 05/01/2029 | | | 894,148 | |
| | 445,000 | | | Upbound Group, Inc. | | | 6.38%(a) | | | 02/15/2029 | | | 431,280 | |
| | 1,725,000 | | | US Foods, Inc. | | | 5.75%(a) | | | 04/15/2033 | | | 1,731,164 | |
| | 500,000 | | | Vail Resorts, Inc. | | | 6.50%(a) | | | 05/15/2032 | | | 522,812 | |
| | 940,000 | | | Venture Global LNG, Inc. | | | 8.13%(a) | | | 06/01/2028 | | | 980,598 | |
| | 600,000 | | | Venture Global LNG, Inc. | | | 8.38%(a) | | | 06/01/2031 | | | 633,964 | |
| | 615,000 | | | Venture Global LNG, Inc. | | | 9.88%(a) | | | 02/01/2032 | | | 683,767 | |
| | 3,456,000 | | | Veralto Corp. | | | 5.35% | | | 09/18/2028 | | | 3,600,492 | |
| | 4,988,000 | | | Verisk Analytics, Inc. | | | 5.25% | | | 06/05/2034 | | | 5,154,593 | |
| | 5,267,000 | | | VICI Properties LP / VICI Note Co., Inc. | | | 4.63%(a) | | | 12/01/2029 | | | 5,171,355 | |
| | 1,905,000 | | | Victra Holdings LLC / Victra Finance Corp. | | | 7.75%(a) | | | 02/15/2026 | | | 1,921,810 | |
| | 1,020,000 | | | Victra Holdings LLC / Victra Finance Corp. | | | 8.75%(a) | | | 09/15/2029 | | | 1,071,863 | |
| | 1,415,000 | | | Viking Cruises Ltd. | | | 5.88%(a) | | | 09/15/2027 | | | 1,415,002 | |
| | 570,000 | | | Viking Cruises Ltd. | | | 9.13%(a) | | | 07/15/2031 | | | 623,713 | |
| | 1,807,000 | | | Virginia Electric and Power Co. | | | 5.55% | | | 08/15/2054 | | | 1,901,259 | |
| | 760,000 | | | Vistra Operations Co. LLC | | | 7.75%(a) | | | 10/15/2031 | | | 818,800 | |
| | 775,000 | | | Vistra Operations Co. LLC | | | 6.88%(a) | | | 04/15/2032 | | | 815,880 | |
| | 550,000 | | | Vital Energy, Inc. | | | 7.88%(a) | | | 04/15/2032 | | | 533,198 | |
| | 119,130 | | | Vortex Opco LLC | | | 8.00%(a) | | | 04/30/2030 | | | 48,843 | |
| | 27,360 | | | Vortex Opco LLC
(3 mo. Term SOFR + 6.25%, 0.50% Floor) | | | 10.84%(a) | | | 04/30/2030 | | | 27,401 | |
| | 635,000 | | | VT Topco, Inc. | | | 8.50%(a) | | | 08/15/2030 | | | 678,143 | |
| | 790,000 | | | Wand NewCo 3, Inc. | | | 7.63%(a) | | | 01/30/2032 | | | 832,809 | |
| | 1,065,000 | | | WASH Multifamily Acquisition, Inc. | | | 5.75%(a) | | | 04/15/2026 | | | 1,060,184 | |
| | 1,255,000 | | | Watco Cos. LLC / Watco Finance Corp. | | | 7.13%(a) | | | 08/01/2032 | | | 1,309,131 | |
| | 615,000 | | | Wayfair LLC | | | 7.25%(a) | | | 10/31/2029 | | | 631,580 | |
| | 1,090,000 | | | Weatherford International Ltd. | | | 8.63%(a) | | | 04/30/2030 | | | 1,136,594 | |
| | 4,377,000 | | | Wells Fargo & Co.
(SOFR + 1.98%) | | | 4.81% | | | 07/25/2028 | | | 4,429,105 | |
| | 4,980,000 | | | Wells Fargo & Co.
(3 mo. Term SOFR + 1.43%) | | | 2.88% | | | 10/30/2030 | | | 4,620,998 | |
| | 7,465,000 | | | Wells Fargo & Co.
(SOFR + 2.06%) | | | 6.49% | | | 10/23/2034 | | | 8,344,812 | |
| | 179,000 | | | Wheel Pros, Inc. | | | 6.50%(a)(f) | | | 05/15/2029 | | | 2,014 | |
| | 6,659,000 | | | Williams Cos., Inc. | | | 5.15% | | | 03/15/2034 | | | 6,734,941 | |
| | 9,231,000 | | | Willis North America, Inc. | | | 4.50% | | | 09/15/2028 | | | 9,232,057 | |
| | 790,000 | | | Windstream Escrow LLC / Windstream Escrow Finance Corp. | | | 8.25%(a) | | | 10/01/2031 | | | 804,170 | |
| | 4,663,000 | | | Workday, Inc. | | | 3.70% | | | 04/01/2029 | | | 4,555,680 | |
| | 1,020,000 | | | WR Grace Holdings LLC | | | 5.63%(a) | | | 08/15/2029 | | | 959,196 | |
| | 1,215,000 | | | Wyndham Hotels & Resorts, Inc. | | | 4.38%(a) | | | 08/15/2028 | | | 1,172,909 | |
| | 1,270,000 | | | XHR LP | | | 4.88%(a) | | | 06/01/2029 | | | 1,218,386 | |
| | 1,510,000 | | | XPO, Inc. | | | 7.13%(a) | | | 06/01/2031 | | | 1,582,361 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 5,023,000 | | | Zimmer Biomet Holdings, Inc. | | | 5.20% | | | 09/15/2034 | | | 5,117,309 | |
| | | | | Total US Corporate Bonds (Cost $1,093,629,838) | | | | | | | | | 1,084,877,354 | |
| | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 20.7% | |
| | | | | Fannie Mae Whole Loan | |
| | 115,104 | | | Series 2003-W17-1A7 | | | 5.75% | | | 08/25/2033 | | | 117,287 | |
| | | | | Federal Home Loan Mortgage Corp. | |
| | 209,006 | | | Pool G01840 | | | 5.00% | | | 07/01/2035 | | | 214,634 | |
| | 117,293 | | | Pool G04817 | | | 5.00% | | | 09/01/2038 | | | 121,008 | |
| | 4,824,639 | | | Pool G08537 | | | 3.00% | | | 07/01/2043 | | | 4,481,446 | |
| | 2,647,316 | | | Pool G08622 | | | 3.00% | | | 01/01/2045 | | | 2,440,991 | |
| | 2,537,517 | | | Pool G08686 | | | 3.00% | | | 01/01/2046 | | | 2,341,394 | |
| | 9,464,051 | | | Pool G08701 | | | 3.00% | | | 04/01/2046 | | | 8,709,262 | |
| | 624,633 | | | Pool G08737 | | | 3.00% | | | 12/01/2046 | | | 572,854 | |
| | 5,657,431 | | | Pool G61645 | | | 4.00% | | | 10/01/2048 | | | 5,512,908 | |
| | 828,832 | | | Pool N70081 | | | 5.50% | | | 07/01/2038 | | | 848,403 | |
| | 4,830,171 | | | Pool Q33789 | | | 3.50% | | | 06/01/2045 | | | 4,598,920 | |
| | 7,758,977 | | | Pool RA3722 | | | 2.50% | | | 10/01/2050 | | | 6,821,497 | |
| | 38,250,403 | | | Pool RA9843 | | | 5.50% | | | 09/01/2053 | | | 38,959,600 | |
| | 7,326,183 | | | Pool SD0699 | | | 2.00% | | | 11/01/2050 | | | 6,208,927 | |
| | 12,426,541 | | | Pool SD2759 | | | 5.50% | | | 05/01/2053 | | | 12,685,717 | |
| | 24,342,492 | | | Pool SD2912 | | | 5.00% | | | 05/01/2053 | | | 24,516,998 | |
| | 40,290,322 | | | Pool SD2969 | | | 2.50% | | | 05/01/2052 | | | 35,382,742 | |
| | 28,018,978 | | | Pool SD3721 | | | 5.00% | | | 07/01/2053 | | | 28,263,480 | |
| | 19,104,920 | | | Pool SD3892 | | | 5.50% | | | 09/01/2053 | | | 19,457,269 | |
| | 23,957,921 | | | Pool SD4301 | | | 6.00% | | | 11/01/2053 | | | 25,149,620 | |
| | 10,266,797 | | | Pool SD4400 | | | 2.00% | | | 02/01/2051 | | | 8,631,995 | |
| | 5,562,485 | | | Pool SD4658 | | | 5.00% | | | 06/01/2053 | | | 5,650,480 | |
| | 14,681,078 | | | Pool SD4882 | | | 6.00% | | | 02/01/2054 | | | 15,411,368 | |
| | 20,204,941 | | | Pool SD4888 | | | 6.00% | | | 02/01/2054 | | | 20,945,629 | |
| | 14,883,844 | | | Pool SD5598 | | | 5.50% | | | 05/01/2054 | | | 15,248,914 | |
| | 31,202,625 | | | Pool SD5726 | | | 3.00% | | | 07/01/2052 | | | 28,205,829 | |
| | 55,849,961 | | | Pool SD7538 | | | 2.00% | | | 04/01/2051 | | | 47,426,691 | |
| | 51,177,867 | | | Pool SD7553 | | | 3.00% | | | 03/01/2052 | | | 46,616,839 | |
| | 18,553,708 | | | Pool SD7562 | | | 5.50% | | | 04/01/2053 | | | 19,124,133 | |
| | 24,291,423 | | | Pool SD7564 | | | 5.00% | | | 06/01/2053 | | | 24,655,952 | |
| | 19,245,008 | | | Pool SD7565 | | | 5.50% | | | 09/01/2053 | | | 19,744,315 | |
| | 9,200,822 | | | Pool SD7567 | | | 5.50% | | | 02/01/2054 | | | 9,490,338 | |
| | 14,285,493 | | | Pool SD7568 | | | 5.50% | | | 02/01/2054 | | | 14,698,002 | |
| | 751,613 | | | Pool T60854 | | | 3.50% | | | 09/01/2042 | | | 712,838 | |
| | 133,967 | | | Pool U60299 | | | 4.00% | | | 11/01/2040 | | | 132,693 | |
| | 10,172,370 | | | Pool ZT1827 | | | 3.00% | | | 07/01/2047 | | | 9,337,187 | |
| | 26,549 | | | Series 2692-SC (-2 x 30 day avg SOFR US + 13.06%, 0.00% Floor, 13.29% Cap) | | | 2.37%(k) | | | 07/15/2033 | | | 28,043 | |
| | 649,019 | | | Series 2722-PS (-1 x 30 day avg SOFR US + 9.76%, 0.00% Floor, 9.89% Cap) | | | 3.83%(k) | | | 12/15/2033 | | | 678,939 | |
| | 24,261 | | | Series 2750-ZT | | | 5.00% | | | 02/15/2034 | | | 24,886 | |
| | 63,570 | | | Series 3002-SN (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap) | | | 1.04%(i)(k) | | | 07/15/2035 | | | 5,536 | |
| | 30,288 | | | Series 3045-DI (-1 x 30 day avg SOFR US + 6.62%, 0.00% Floor, 6.73% Cap) | | | 1.27%(i)(k) | | | 10/15/2035 | | | 3,094 | |
| | 105,944 | | | Series 3116-Z | | | 5.50% | | | 02/15/2036 | | | 110,930 | |
| | 7,861 | | | Series 3117-ZN | | | 4.50% | | | 02/15/2036 | | | 7,707 | |
| | 26,824 | | | Series 3275-SC (-1 x 30 day avg SOFR US + 5.97%, 0.00% Floor, 6.08% Cap) | | | 0.62%(i)(k) | | | 02/15/2037 | | | 2,710 | |
| | 81,466 | | | Series 3382-SB (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.54%(i)(k) | | | 11/15/2037 | | | 6,393 | |
| | 101,571 | | | Series 3384-S (-1 x 30 day avg SOFR US + 6.28%, 0.00% Floor, 6.39% Cap) | | | 0.93%(i)(k) | | | 11/15/2037 | | | 7,188 | |
| | 38,924 | | | Series 3417-SX (-1 x 30 day avg SOFR US + 6.07%, 0.00% Floor, 6.18% Cap) | | | 0.72%(i)(k) | | | 02/15/2038 | | | 3,381 | |
| | 11,837 | | | Series 3423-GS (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap) | | | 0.19%(i)(k) | | | 03/15/2038 | | | 896 | |
| | 11,837 | | | Series 3423-SG (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap) | | | 0.19%(i)(k) | | | 03/15/2038 | | | 875 | |
| | 50,100 | | | Series 3524-LB | | | 3.16%(c) | | | 06/15/2038 | | | 47,792 | |
| | 30,984 | | | Series 3562-WS (-1 x 30 day avg SOFR US + 4.84%, 0.00% Floor, 4.95% Cap) | | | 0.00%(i)(k) | | | 08/15/2039 | | | 1,818 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 55
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 101,761 | | | Series 3582-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.54%(i)(k) | | | 10/15/2049 | | | 10,058 | |
| | 64,278 | | | Series 3616-SG (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap) | | | 0.89%(i)(k) | | | 03/15/2032 | | | 3,134 | |
| | 357,882 | | | Series 3626-AZ | | | 5.50% | | | 08/15/2036 | | | 377,048 | |
| | 148,507 | | | Series 3666-SC (-1 x 30 day avg SOFR US + 5.66%, 0.00% Floor, 5.77% Cap) | | | 0.31%(i)(k) | | | 05/15/2040 | | | 12,986 | |
| | 389,289 | | | Series 3779-YA | | | 3.50% | | | 12/15/2030 | | | 384,719 | |
| | 162,797 | | | Series 3786-SG (-2 x 30 day avg SOFR US + 9.27%, 0.00% Floor, 9.50% Cap) | | | 0.00%(k) | | | 01/15/2041 | | | 135,653 | |
| | 101,340 | | | Series 3792-SE (-2 x 30 day avg SOFR US + 9.63%, 0.00% Floor, 9.86% Cap) | | | 0.00%(k) | | | 01/15/2041 | | | 74,028 | |
| | 335,147 | | | Series 3806-CZ | | | 5.50% | | | 07/15/2034 | | | 350,501 | |
| | 493,816 | | | Series 3818-CZ | | | 4.50% | | | 03/15/2041 | | | 494,060 | |
| | 251,282 | | | Series 3828-SW (-3 x 30 day avg SOFR US + 12.86%, 0.00% Floor, 13.20% Cap) | | | 0.00%(k) | | | 02/15/2041 | | | 212,271 | |
| | 1,827,588 | | | Series 3889-VZ | | | 4.00% | | | 07/15/2041 | | | 1,785,827 | |
| | 703,548 | | | Series 3972-AZ | | | 3.50% | | | 12/15/2041 | | | 669,346 | |
| | 8,371,241 | | | Series 4165-ZT | | | 3.00%(l) | | | 02/15/2043 | | | 7,133,094 | |
| | 1,990,654 | | | Series 4291-MS (-1 x 30 day avg SOFR US + 5.79%, 0.00% Floor, 5.90% Cap) | | | 0.44%(i)(k) | | | 01/15/2054 | | | 203,479 | |
| | 1,291,677 | | | Series 4471-BA | | | 3.00% | | | 12/15/2041 | | | 1,271,219 | |
| | | | | Federal National Mortgage Association | |
| | 38,708 | | | Pool 555743 | | | 5.00% | | | 09/01/2033 | | | 39,278 | |
| | 33,124 | | | Pool 735382 | | | 5.00% | | | 04/01/2035 | | | 33,976 | |
| | 279,820 | | | Pool 735383 | | | 5.00% | | | 04/01/2035 | | | 287,019 | |
| | 141,492 | | | Pool 735402 | | | 5.00% | | | 04/01/2035 | | | 145,129 | |
| | 189,345 | | | Pool 735484 | | | 5.00% | | | 05/01/2035 | | | 194,207 | |
| | 44,731 | | | Pool 931104 | | | 5.00% | | | 05/01/2039 | | | 45,666 | |
| | 233,393 | | | Pool 995203 | | | 5.00% | | | 07/01/2035 | | | 239,424 | |
| | 191,810 | | | Pool AB2123 | | | 4.00% | | | 01/01/2031 | | | 191,303 | |
| | 18,910 | | | Pool AB2370 | | | 4.50% | | | 09/01/2035 | | | 18,720 | |
| | 2,760 | | | Pool AD2177 | | | 4.50% | | | 06/01/2030 | | | 2,763 | |
| | 302,246 | | | Pool AH7309 | | | 4.00% | | | 02/01/2031 | | | 300,633 | |
| | 3,768,481 | | | Pool AL9238 | | | 3.00% | | | 10/01/2041 | | | 3,509,385 | |
| | 772,458 | | | Pool AL9445 | | | 3.00% | | | 07/01/2031 | | | 754,187 | |
| | 6,921,727 | | | Pool AS7661 | | | 3.00% | | | 08/01/2046 | | | 6,248,045 | |
| | 3,351,266 | | | Pool AS7724 | | | 2.50% | | | 08/01/2046 | | | 2,983,802 | |
| | 10,628,839 | | | Pool BC9081 | | | 3.00% | | | 12/01/2046 | | | 9,756,974 | |
| | 7,217,209 | | | Pool BD8013 | | | 2.50% | | | 09/01/2046 | | | 6,431,819 | |
| | 17,450,500 | | | Pool BL2643 | | | 3.39% | | | 07/01/2034 | | | 16,291,274 | |
| | 28,707,000 | | | Pool BL4425 | | | 2.14% | | | 10/01/2029 | | | 26,404,848 | |
| | 32,930,000 | | | Pool BL4592 | | | 2.28% | | | 11/01/2029 | | | 30,320,451 | |
| | 18,090,000 | | | Pool BL5484 | | | 2.26% | | | 01/01/2030 | | | 16,567,885 | |
| | 4,750,417 | | | Pool BL9284 | | | 2.23% | | | 12/01/2050 | | | 3,530,473 | |
| | 1,761,486 | | | Pool BM4094 | | | 3.00% | | | 03/01/2043 | | | 1,637,823 | |
| | 10,270,245 | | | Pool BM6089 | | | 3.50% | | | 12/01/2044 | | | 9,793,713 | |
| | 43,527,310 | | | Pool BR2217 | | | 2.50% | | | 08/01/2051 | | | 38,231,392 | |
| | 36,599,790 | | | Pool BS4941 | | | 2.46% | | | 04/01/2032 | | | 32,567,679 | |
| | 23,610,363 | | | Pool CB6266 | | | 6.00% | | | 05/01/2053 | | | 24,372,747 | |
| | 31,935,166 | | | Pool CB7270 | | | 6.00% | | | 10/01/2053 | | | 33,021,190 | |
| | 36,358,561 | | | Pool CB7272 | | | 6.00% | | | 10/01/2053 | | | 37,593,466 | |
| | 9,245,763 | | | Pool CB8122 | | | 5.00% | | | 03/01/2054 | | | 9,431,655 | |
| | 22,814,553 | | | Pool CB8138 | | | 5.50% | | | 03/01/2054 | | | 23,368,360 | |
| | 27,002,834 | | | Pool CB8692 | | | 5.50% | | | 06/01/2054 | | | 27,749,144 | |
| | 9,742,546 | | | Pool FM1000 | | | 3.00% | | | 04/01/2047 | | | 8,943,341 | |
| | 15,462,518 | | | Pool FM4575 | | | 2.50% | | | 10/01/2050 | | | 13,638,574 | |
| | 9,858,130 | | | Pool FM6061 | | | 2.00% | | | 02/01/2051 | | | 8,300,431 | |
| | 6,494,442 | | | Pool FM8664 | | | 3.00% | | | 10/01/2046 | | | 5,964,376 | |
| | 36,525,667 | | | Pool FS1472 | | | 3.50% | | | 11/01/2050 | | | 34,481,007 | |
| | 9,797,753 | | | Pool FS3708 | | | 5.00% | | | 01/01/2053 | | | 9,811,979 | |
| | 29,121,781 | | | Pool FS5417 | | | 2.50% | | | 04/01/2052 | | | 25,427,577 | |
| | 30,163,506 | | | Pool FS5875 | | | 2.50% | | | 04/01/2052 | | | 26,335,504 | |
| | 9,141,649 | | | Pool FS6084 | | | 6.00% | | | 10/01/2053 | | | 9,442,868 | |
| | 2,260,892 | | | Pool FS6309 | | | 6.00% | | | 12/01/2053 | | | 2,373,541 | |
| | 6,393,254 | | | Pool FS6476 | | | 2.50% | | | 11/01/2051 | | | 5,611,977 | |
| | 4,066,285 | | | Pool FS7708 | | | 3.50% | | | 04/01/2052 | | | 3,828,612 | |
| | 123,051 | | | Pool MA0264 | | | 4.50% | | | 12/01/2029 | | | 123,705 | |
| | 83,944 | | | Pool MA0353 | | | 4.50% | | | 03/01/2030 | | | 84,422 | |
| | 4,296 | | | Pool MA0468 | | | 5.00% | | | 07/01/2040 | | | 4,268 | |
| | 1,887,373 | | | Pool MA2151 | | | 3.50% | | | 01/01/2045 | | | 1,783,580 | |
| | 981,397 | | | Pool MA2248 | | | 3.00% | | | 04/01/2045 | | | 885,902 | |
| | 1,573,225 | | | Pool MA2621 | | | 3.50% | | | 05/01/2046 | | | 1,472,824 | |
| | 3,674,362 | | | Pool MA2649 | | | 3.00% | | | 06/01/2046 | | | 3,316,732 | |
| | 1,441,597 | | | Pool MA2711 | | | 3.00% | | | 08/01/2046 | | | 1,301,287 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 9,309,589 | | | Pool MA2806 | | | 3.00% | | | 11/01/2046 | | | 8,528,410 | |
| | 12,569,675 | | | Pool MA4709 | | | 5.00% | | | 07/01/2052 | | | 12,583,587 | |
| | 15,903,854 | | | Pool MA5086 | | | 5.00% | | | 07/01/2043 | | | 16,155,041 | |
| | 699,522 | | | Series 2005-20-QH | | | 5.00% | | | 03/25/2035 | | | 718,372 | |
| | 130,511 | | | Series 2006-101-SA (-1 x 30 day avg SOFR US + 6.47%, 0.00% Floor, 6.58% Cap) | | | 1.19%(i)(k) | | | 10/25/2036 | | | 15,523 | |
| | 49,790 | | | Series 2006-56-SM (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap) | | | 1.36%(i)(k) | | | 07/25/2036 | | | 4,649 | |
| | 41,822 | | | Series 2007-116-BI (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap) | | | 0.86%(i)(k) | | | 05/25/2037 | | | 3,446 | |
| | 530,441 | | | Series 2007-30-FS (-5 x 30 day avg SOFR US + 29.30%, 0.00% Floor, 29.83% Cap) | | | 4.84%(k) | | | 04/25/2037 | | | 628,125 | |
| | 206,253 | | | Series 2007-30-OI (-1 x 30 day avg SOFR US + 6.33%, 0.00% Floor, 6.44% Cap) | | | 1.05%(i)(k) | | | 04/25/2037 | | | 24,850 | |
| | 31,529 | | | Series 2008-29-ZA | | | 4.50% | | | 04/25/2038 | | | 31,804 | |
| | 12,414 | | | Series 2008-62-SC (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(i)(k) | | | 07/25/2038 | | | 892 | |
| | 138,583 | | | Series 2009-111-EZ | | | 5.00% | | | 01/25/2040 | | | 141,382 | |
| | 4,107 | | | Series 2009-111-SE (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap) | | | 0.86%(i)(k) | | | 01/25/2040 | | | 487 | |
| | 15,598 | | | Series 2009-16-MZ | | | 5.00% | | | 03/25/2029 | | | 15,558 | |
| | 19,625 | | | Series 2009-48-WS (-1 x 30 day avg SOFR US + 5.84%, 0.00% Floor, 5.95% Cap) | | | 0.56%(i)(k) | | | 07/25/2039 | | | 1,915 | |
| | 40,602 | | | Series 2009-62-PS (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap) | | | 0.71%(i)(k) | | | 08/25/2039 | | | 1,478 | |
| | 356,425 | | | Series 2009-77-ZA | | | 4.50% | | | 10/25/2039 | | | 359,655 | |
| | 94,106 | | | Series 2009-83-Z | | | 4.50% | | | 10/25/2039 | | | 94,087 | |
| | 57,902 | | | Series 2010-121-SD (-1 x 30 day avg SOFR US + 4.39%, 0.00% Floor, 4.50% Cap) | | | 0.00%(i)(k) | | | 10/25/2040 | | | 2,517 | |
| | 27,067 | | | Series 2010-137-VS (-3 x 30 day avg SOFR US + 14.66%, 0.00% Floor, 15.00% Cap) | | | 0.00%(k) | | | 12/25/2040 | | | 27,120 | |
| | 17,000 | | | Series 2010-31-SA (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.00%(i)(k) | | | 04/25/2040 | | | 964 | |
| | 12,159 | | | Series 2010-34-PS (-1 x 30 day avg SOFR US + 4.82%, 0.00% Floor, 4.93% Cap) | | | 0.00%(i)(k) | | | 04/25/2040 | | | 560 | |
| | 59,503 | | | Series 2010-35-SP (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap) | | | 0.96%(i)(k) | | | 04/25/2050 | | | 8,627 | |
| | 3,347 | | | Series 2010-35-SV (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap) | | | 1.06%(i)(k) | | | 04/25/2040 | | | 79 | |
| | 478,225 | | | Series 2010-37-MY | | | 4.50% | | | 04/25/2040 | | | 474,794 | |
| | 85,571 | | | Series 2010-59-SC (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap) | | | 0.00%(i)(k) | | | 01/25/2040 | | | 3,651 | |
| | 150,987 | | | Series 2010-60-VZ | | | 5.00% | | | 10/25/2039 | | | 153,778 | |
| | 67,335 | | | Series 2010-64-EZ | | | 5.00% | | | 06/25/2040 | | | 69,418 | |
| | 115,480 | | | Series 2010-7-PE | | | 5.00% | | | 02/25/2040 | | | 119,339 | |
| | 32,514 | | | Series 2010-90-GS (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(i)(k) | | | 08/25/2040 | | | 3,097 | |
| | 20,968 | | | Series 2010-99-SG (-5 x 30 day avg SOFR US + 24.43%, 0.00% Floor, 25.00% Cap) | | | 0.00%(k) | | | 09/25/2040 | | | 23,360 | |
| | 998,975 | | | Series 2011-141-PZ | | | 4.00% | | | 01/25/2042 | | | 973,494 | |
| | 81,728 | | | Series 2011-25-KY | | | 3.00% | | | 04/25/2026 | | | 80,753 | |
| | 418,252 | | | Series 2011-59-MA | | | 4.50% | | | 07/25/2041 | | | 421,912 | |
| | 5,546,590 | | | Series 2012-56-FK (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.84% | | | 06/25/2042 | | | 5,503,549 | |
| | 2,364,162 | | | Series 2016-3-FB (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.00% Cap) | | | 5.74% | | | 02/25/2046 | | | 2,365,422 | |
| | 6,062,680 | | | Series 2017-46-ZL | | | 3.50%(l) | | | 06/25/2057 | | | 5,106,824 | |
| | 636,891 | | | Series 2017-86-MA | | | 3.00% | | | 04/25/2046 | | | 620,334 | |
| | 9,002,129 | | | Series 2018-21-IO | | | 3.00%(i) | | | 04/25/2048 | | | 1,356,494 | |
| | 14,163,343 | | | Series 2018-21-PO | | | 0.00%(m) | | | 04/25/2048 | | | 11,113,172 | |
| | 7,375,351 | | | Series 2018-35-IO | | | 3.00%(i) | | | 05/25/2048 | | | 1,283,615 | |
| | 28,293,733 | | | Series 2018-35-PO | | | 0.00%(m) | | | 05/25/2048 | | | 20,860,601 | |
| | | | | | | | | | | | | | | |
56
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 17,113,053 | | | Series 2021-48-NS (-1 x 30 day avg SOFR US + 3.65%, 0.00% Floor, 3.65% Cap) | | | 0.00%(i)(k) | | | 08/25/2051 | | | 676,453 | |
| | 9,909,476 | | | Series 2022-12-MZ | | | 3.00%(l) | | | 03/25/2052 | | | 7,091,918 | |
| | 15,586,387 | | | Series 2022-31-GZ | | | 2.00%(l) | | | 03/25/2052 | | | 11,379,506 | |
| | 86,453 | | | Series 400-S4 (-1 x 30 day avg SOFR US + 5.34%, 0.00% Floor, 5.45% Cap) | | | 0.06%(i)(k) | | | 11/25/2039 | | | 8,776 | |
| | | | | Ginnie Mae I Pool | |
| | 26,241,343 | | | Pool 779384 | | | 3.50% | | | 06/15/2042 | | | 25,285,632 | |
| | | | | Ginnie Mae II Pool | |
| | 10,333,992 | | | Pool 784415 | | | 3.50% | | | 04/20/2047 | | | 9,860,435 | |
| | 24,696,861 | | | Pool 785713 | | | 2.50% | | | 10/20/2051 | | | 21,647,944 | |
| | 11,711,808 | | | Pool 785764 | | | 2.50% | | | 11/20/2051 | | | 10,233,494 | |
| | 30,697,245 | | | Pool 786009 | | | 3.00% | | | 02/20/2052 | | | 27,858,993 | |
| | 9,592,298 | | | Pool 786227 | | | 3.00% | | | 04/20/2052 | | | 8,702,150 | |
| | 4,041,734 | | | Pool 786540 | | | 3.50% | | | 02/20/2050 | | | 3,851,279 | |
| | 10,551,840 | | | Pool 786718 | | | 3.50% | | | 07/20/2051 | | | 10,018,874 | |
| | 25,942,431 | | | Pool MA5076 | | | 3.00% | | | 03/20/2048 | | | 23,906,838 | |
| | 28,457,282 | | | Pool MA5191 | | | 3.50% | | | 05/20/2048 | | | 26,991,453 | |
| | | | | Government National Mortgage Association | |
| | 68,602 | | | Series 2003-67-SP (-1 x 1 mo. Term SOFR + 6.99%, 0.00% Floor, 7.10% Cap) | | | 2.02%(i)(k) | | | 08/20/2033 | | | 81 | |
| | 39,226 | | | Series 2008-82-SM (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.97%(i)(k) | | | 09/20/2038 | | | 1,159 | |
| | 520,528 | | | Series 2009-32-ZE | | | 4.50% | | | 05/16/2039 | | | 516,475 | |
| | 563,732 | | | Series 2009-75-GZ | | | 4.50% | | | 09/20/2039 | | | 567,589 | |
| | 744,257 | | | Series 2009-75-HZ | | | 5.00% | | | 09/20/2039 | | | 752,335 | |
| | 1,909,258 | | | Series 2010-113-SM (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.97%(i)(k) | | | 09/20/2040 | | | 258,418 | |
| | 4,318,436 | | | Series 2010-115-AF (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.53% | | | 09/20/2040 | | | 4,296,030 | |
| | 84,416 | | | Series 2010-25-ZB | | | 4.50% | | | 02/16/2040 | | | 84,472 | |
| | 1,074,509 | | | Series 2011-45-GZ | | | 4.50% | | | 03/20/2041 | | | 1,082,661 | |
| | 7,048,300 | | | Series 2011-70-QF (1 mo. Term SOFR + 0.72%, 0.61% Floor, 6.50% Cap) | | | 5.82% | | | 05/16/2041 | | | 7,062,104 | |
| | 1,808,840 | | | Series 2013-117-MS (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap) | | | 1.07%(i)(k) | | | 02/20/2043 | | | 99,362 | |
| | 1,760,247 | | | Series 2013-122-SB (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap) | | | 0.89%(i)(k) | | | 08/16/2043 | | | 237,901 | |
| | 6,750,009 | | | Series 2013-150-FT (1 mo. Term SOFR + 0.55%, 0.44% Floor, 6.50% Cap) | | | 5.52% | | | 02/20/2040 | | | 6,655,116 | |
| | 2,567,006 | | | Series 2014-102-TS (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) | | | 0.52%(i)(k) | | | 07/20/2044 | | | 249,615 | |
| | 2,200,561 | | | Series 2014-118-PS (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap) | | | 1.12%(i)(k) | | | 08/20/2044 | | | 315,029 | |
| | 1,925,491 | | | Series 2014-118-SA (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap) | | | 1.12%(i)(k) | | | 08/20/2044 | | | 275,650 | |
| | 3,504,748 | | | Series 2015-161-GF (1 mo. Term SOFR + 0.41%, 0.30% Floor, 6.50% Cap) | | | 5.38% | | | 11/20/2045 | | | 3,453,645 | |
| | 3,011,936 | | | Series 2016-33-UF (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.53% | | | 03/20/2046 | | | 2,988,881 | |
| | 5,511,097 | | | Series 2017-52-FH (1 mo. Term SOFR + 0.46%, 0.35% Floor, 6.50% Cap) | | | 5.43% | | | 04/20/2047 | | | 5,433,040 | |
| | 11,737,267 | | | Series 2019-86-FE (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.48% | | | 07/20/2049 | | | 11,642,945 | |
| | 14,407,883 | | | Series 2020-61-IA | | | 3.00%(i) | | | 05/20/2050 | | | 2,247,640 | |
| | 19,116,264 | | | Series 2020-62-KF (1 mo. Term SOFR + 0.46%, 0.35% Floor, 6.50% Cap) | | | 5.43% | | | 05/20/2050 | | | 18,670,446 | |
| | 10,528,859 | | | Series 2021-117-ID | | | 3.50%(i) | | | 06/20/2051 | | | 1,827,673 | |
| | 21,578,236 | | | Series 2021-155-UI | | | 4.50%(i) | | | 09/20/2051 | | | 2,890,651 | |
| | 18,199,528 | | | Series 2021-214-IG | | | 2.50%(i) | | | 12/20/2051 | | | 2,475,684 | |
| | 18,095,110 | | | Series 2022-83-GZ | | | 3.00%(l) | | | 05/20/2052 | | | 14,879,662 | |
| | | | | Total US Government and Agency Mortgage Backed Obligations
(Cost $1,453,925,918) | | | | | | | | | 1,419,043,452 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 18.2% | |
| | 190,000,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 03/31/2026 | | | 181,739,454 | |
| | 101,700,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 01/31/2028 | | | 92,751,592 | |
| | 131,750,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 05/15/2030 | | | 111,907,729 | |
| | 107,850,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 08/15/2030 | | | 90,912,073 | |
| | 289,650,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 11/15/2030 | | | 246,570,219 | |
| | 27,250,000 | | | United States Treasury Note/Bond | | | 1.13% | | | 05/15/2040 | | | 18,013,208 | |
| | 400,220,000 | | | United States Treasury Note/Bond | | | 1.13% | | | 08/15/2040 | | | 262,316,071 | |
| | 215,150,000 | | | United States Treasury Note/Bond | | | 1.88% | | | 02/15/2041 | | | 157,862,111 | |
| | 122,900,000 | | | United States Treasury Note/Bond | | | 1.75% | | | 08/15/2041 | | | 87,189,388 | |
| | | | | Total US Government and Agency Obligations
(Cost $1,189,229,531) | | | | | | | | | 1,249,261,845 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | COMMON STOCKS - 0.0%(n) | |
| | 37,440 | | | Flame Aggregator - Series R(b)(o) | | | | | | | | | 178,215 | |
| | 3,720 | | | Flame Aggregator - Series U(b)(o) | | | | | | | | | 17,707 | |
| | | | | Total Common Stocks
(Cost $84,407) | | | | | | | | | 195,922 | |
| | | |
| | WARRANTS - 0.0%(n) | |
| | 31,063 | | | Avation PLC, Expires 10/31/2026 at GBP 1.15(o) | | | | | | | | | 11,421 | |
| | | | | Total Warrants
(Cost $–) | | | | | | | | | 11,421 | |
| | | |
| | AFFILIATED MUTUAL FUNDS - 6.7% | |
| | 12,929,742 | | | DoubleLine Global Bond Fund - Class I | | | | | | | | | 112,618,055 | |
| | 32,972,257 | | | DoubleLine Infrastructure Income Fund - Class I | | | | | | | | | 315,214,781 | |
| | 5,000,000 | | | DoubleLine Long Duration Total Return Bond Fund - Class I | | | | | | | | | 34,350,000 | |
| | | | | Total Affiliated Mutual Funds
(Cost $504,557,903) | | | | | | | | | 462,182,836 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 5.0% | |
| | 98,072,174 | | | First American Government Obligations Fund - U | | | 4.84%(p) | | | | | | 98,072,174 | |
| | 98,072,175 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(p) | | | | | | 98,072,175 | |
| | 98,072,175 | | | MSILF Government Portfolio - Institutional | | | 4.83%(p) | | | | | | 98,072,175 | |
| | $50,000,000 | | | United States Treasury Bill | | | 0.00% | | | 10/01/2024 | | | 50,000,000 | |
| | | | | Total Short Term Investments
(Cost $344,216,524) | | | | | | | | | 344,216,524 | |
| | | | | Total Investments - 99.5%
(Cost $7,170,023,968) | | | | | | | | | 6,832,825,909 | |
| | | | | Other Assets in Excess of Liabilities - 0.5% | | | | | | | | | 31,704,656 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $6,864,530,565 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 57
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets:
| | | | |
| | US Government and Agency Mortgage Backed Obligations | | | 20.7% | |
| | US Government and Agency Obligations | | | 18.2% | |
| | US Corporate Bonds | | | 15.8% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 10.9% | |
| | Affiliated Mutual Funds | | | 6.7% | |
| | Foreign Corporate Bonds | | | 5.7% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 5.5% | |
| | Short Term Investments | | | 5.0% | |
| | Asset Backed Obligations | | | 3.6% | |
| | Collateralized Loan Obligations | | | 3.4% | |
| | Bank Loans | | | 3.2% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.8% | |
| | Common Stocks | | | 0.0%(n) | |
| | Warrants | | | 0.0%(n) | |
| | Other Assets and Liabilities | | | 0.5% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
| | US Government and Agency Mortgage Backed Obligations | | | 20.7% | |
| | US Government and Agency Obligations | | | 18.2% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 10.9% | |
| | Affiliated Mutual Funds | | | 6.7% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 5.5% | |
| | Short Term Investments | | | 5.0% | |
| | Asset Backed Obligations | | | 3.6% | |
| | Banking | | | 3.4% | |
| | Collateralized Loan Obligations | | | 3.4% | |
| | Energy | | | 2.6% | |
| | Utilities | | | 2.0% | |
| | Technology | | | 1.8% | |
| | Healthcare | | | 1.7% | |
| | Transportation | | | 1.2% | |
| | Finance | | | 1.0% | |
| | Insurance | | | 0.8% | |
| | Telecommunications | | | 0.8% | |
| | Real Estate | | | 0.8% | |
| | Hotels/Motels/Inns and Casinos | | | 0.7% | |
| | Media | | | 0.7% | |
| | Mining | | | 0.7% | |
| | Retailers (other than Food/Drug) | | | 0.6% | |
| | Automotive | | | 0.6% | |
| | Commercial Services | | | 0.5% | |
| | Pharmaceuticals | | | 0.5% | |
| | Electronics/Electric | | | 0.5% | |
| | Chemicals/Plastics | | | 0.5% | |
| | Construction | | | 0.4% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.4% | |
| | Industrial Equipment | | | 0.4% | |
| | Diversified Manufacturing | | | 0.4% | |
| | Food Products | | | 0.4% | |
| | Containers and Glass Products | | | 0.3% | |
| | Aerospace & Defense | | | 0.3% | |
| | Leisure | | | 0.3% | |
| | Consumer Products | | | 0.3% | |
| | Business Equipment and Services | | | 0.2% | |
| | Building and Development (including Steel/Metals) | | | 0.2% | |
| | Beverage and Tobacco | | | 0.1% | |
| | Pulp & Paper | | | 0.1% | |
| | Chemical Products | | | 0.1% | |
| | Food Service | | | 0.1% | |
| | Food/Drug Retailers | | | 0.1% | |
| | Conglomerates | | | 0.0%(n) | |
| | IT Services | | | 0.0%(n) | |
| | Financial Intermediaries | | | 0.0%(n) | |
| | Consumer Staples | | | 0.0%(n) | |
| | Financials | | | 0.0%(n) | |
| | Other Assets and Liabilities | | | 0.5% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
58
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
(b)
| Value determined using significant unobservable inputs. |
(c)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end. |
(d)
| Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of period end. |
(e)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date. |
(f)
| Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
(g)
| Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end. |
(h)
| Perpetual maturity. The date disclosed is the next call date of the security. |
(i)
| Interest only security |
(j)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end. |
(k)
| Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
(l)
| This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end. |
(m)
| Principal only security |
(n)
| Represents less than 0.05% of net assets. |
(o)
| Non-income producing security. |
(p)
| Seven-day yield as of period end. |
CMT
| Constant Maturity Treasury Rate |
LIBOR
| London Interbank Offered Rate |
PIK
| A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings. |
SOFR
| Secured Overnight Financing Rate |
Futures Contracts
| | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Notes | | | Long | | | 17,800 | | | 12/31/2024 | | | $3,706,710,946 | | | $6,679,906 |
10 Year U.S. Ultra Treasury Notes | | | Short | | | (5,500) | | | 12/19/2024 | | | (650,632,812) | | | 950,100 |
U.S. Treasury Ultra Bonds | | | Short | | | (220) | | | 12/19/2024 | | | (29,280,625) | | | 219,511 |
U.S. Treasury 5 Year Notes | | | Long | | | 1,300 | | | 12/31/2024 | | | 142,847,657 | | | 112,999 |
U.S. Treasury Long Bonds | | | Long | | | 2,000 | | | 12/19/2024 | | | 248,375,000 | | | (1,882,559) |
| | | | | | | | | | | | | | | $6,079,957 |
| | | | | | | | | | | | | | | | |
(1)
| Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars. |
Affiliated Mutual Funds
A summary of the DoubleLine Core Fixed Income Fund's investments in affiliated mutual funds for the period ended September 30, 2024 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
DoubleLine Infrastructure Income Fund (Class I) | | | $304,004,213 | | | $ — | | | $ — | | | $ — | | | $ 11,210,568 | | | $ 315,214,781 | | | 32,972,257 | | | $ 6,372,845 |
DoubleLine Global Bond Fund (Class I) | | | 108,480,538 | | | — | | | — | | | — | | | 4,137,517 | | | 112,618,055 | | | 12,929,742 | | | 1,102,542 |
DoubleLine Long Duration Total Return Bond Fund (Class I) | | | 32,900,000 | | | — | | | — | | | — | | | 1,450,000 | | | 34,350,000 | | | 5,000,000 | | | 770,214 |
| | | $445,384,751 | | | $— | | | $— | | | $— | | | $ 16,798,085 | | | $ 462,182,836 | | | 50,901,999 | | | $ 8,245,601 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 59
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS - 77.3% | |
| | BRAZIL - 13.9% | |
| | 1,951,943 | | | Acu Petroleo Luxembourg Sarl | | | 7.50% | | | 01/13/2032 | | | 1,960,903 | |
| | 505,000 | | | Banco do Estado do Rio Grande do Sul SA | | | | | | | | | | |
| | | | | (5 yr. CMT Rate + 4.93%) | | | 5.38%(a) | | | 01/28/2031 | | | 496,366 | |
| | 2,300,000 | | | Banco do Estado do Rio Grande do Sul SA
(5 yr. CMT Rate + 4.93%) | | | 5.38% | | | 01/28/2031 | | | 2,260,676 | |
| | 7,700,000 | | | Braskem Netherlands Finance BV
(5 yr. CMT Rate + 8.22%) | | | 8.50% | | | 01/23/2081 | | | 7,713,213 | |
| | 7,200,000 | | | Cosan Overseas Ltd. | | | 8.25%(b) | | | 11/05/2024 | | | 7,391,232 | |
| | 3,350,000 | | | CSN Resources SA | | | 5.88% | | | 04/08/2032 | | | 2,856,892 | |
| | 11,127,023 | | | Guara Norte Sarl | | | 5.20% | | | 06/15/2034 | | | 10,606,625 | |
| | 1,929,352 | | | Invepar Holdings | | | 0.00%(c)(d) | | | 12/30/2028 | | | — | |
| | 200,000 | | | Itau Unibanco Holding SA/Cayman Island
(5 yr. CMT Rate + 3.22%) | | | 4.63%(b) | | | 02/27/2025 | | | 195,261 | |
| | 1,900,000 | | | LD Celulose International GmbH | | | 7.95%(a) | | | 01/26/2032 | | | 1,951,062 | |
| | 4,400,000 | | | MARB BondCo PLC | | | 3.95% | | | 01/29/2031 | | | 3,904,000 | |
| | 2,800,000 | | | Minerva Luxembourg SA | | | 4.38% | | | 03/18/2031 | | | 2,489,874 | |
| | 1,100,000 | | | Minerva Luxembourg SA | | | 8.88%(a) | | | 09/13/2033 | | | 1,200,235 | |
| | 1,600,000 | | | Minerva Luxembourg SA | | | 8.88% | | | 09/13/2033 | | | 1,745,797 | |
| | 2,500,000 | | | Movida Europe SA | | | 7.85%(a) | | | 04/11/2029 | | | 2,408,816 | |
| | 700,000 | | | Movida Europe SA | | | 7.85% | | | 04/11/2029 | | | 674,469 | |
| | 6,621,720 | | | MV24 Capital BV | | | 6.75% | | | 06/01/2034 | | | 6,479,595 | |
| | 7,818,045 | | | Prumo Participacoes e Investimentos S/A | | | 7.50% | | | 12/31/2031 | | | 7,856,604 | |
| | 975,000 | | | Simpar Europe SA | | | 5.20% | | | 01/26/2031 | | | 809,850 | |
| | 850,000 | | | Unigel Luxembourg SA | | | 8.75%(c) | | | 10/01/2026 | | | 213,690 | |
| | | | | | | | | | | 63,215,160 | |
| | | |
| | CHILE - 5.7% | |
| | 578,000 | | | AES Andes SA
(5 yr. CMT Rate + 4.92%) | | | 6.35% | | | 10/07/2079 | | | 575,649 | |
| | 500,000 | | | Banco del Estado de Chile
(5 yr. CMT Rate + 3.23%) | | | 7.95%(a)(b) | | | 05/02/2029 | | | 537,377 | |
| | 2,900,000 | | | CAP SA | | | 3.90%(a) | | | 04/27/2031 | | | 2,385,250 | |
| | 6,000,000 | | | CAP SA | | | 3.90% | | | 04/27/2031 | | | 4,935,000 | |
| | 5,000,000 | | | Cencosud SA | | | 4.38% | | | 07/17/2027 | | | 4,952,843 | |
| | 10,673,851 | | | Chile Electricity PEC SpA | | | 0.00%(a) | | | 01/25/2028 | | | 8,805,927 | |
| | 2,389,750 | | | Empresa Electrica Angamos SA | | | 4.88% | | | 05/25/2029 | | | 2,164,630 | |
| | 1,368,600 | | | Empresa Electrica Cochrane SpA | | | 5.50% | | | 05/14/2027 | | | 1,336,055 | |
| | 294,200 | | | GNL Quintero SA | | | 4.63% | | | 07/31/2029 | | | 292,952 | |
| | | | | | | | | | | 25,985,683 | |
| | | |
| | COLOMBIA - 11.0% | |
| | 1,494,996 | | | AI Candelaria Spain SA | | | 7.50% | | | 12/15/2028 | | | 1,483,579 | |
| | 7,100,000 | | | AI Candelaria Spain SA | | | 5.75% | | | 06/15/2033 | | | 5,815,940 | |
| | 3,800,000 | | | AI Candelaria Spain SA | | | 5.75%(a) | | | 06/15/2033 | | | 3,112,757 | |
| | 2,850,000 | | | Banco Davivienda SA
(10 yr. CMT Rate + 5.10%) | | | 6.65%(a)(b) | | | 04/22/2031 | | | 2,446,138 | |
| | 200,000 | | | Banco de Bogota SA | | | 6.25% | | | 05/12/2026 | | | 201,188 | |
| | 9,100,000 | | | Bancolombia SA
(5 yr. CMT Rate + 2.94%) | | | 4.63% | | | 12/18/2029 | | | 9,013,348 | |
| | 2,300,000 | | | Bancolombia SA
(5 yr. CMT Rate + 4.32%) | | | 8.63% | | | 12/24/2034 | | | 2,470,832 | |
| | 5,213,000 | | | Canacol Energy Ltd. | | | 5.75% | | | 11/24/2028 | | | 2,761,775 | |
| | 7,000,000 | | | Empresas Publicas de Medellin ESP | | | 4.25% | | | 07/18/2029 | | | 6,408,838 | |
| | 4,392,000 | | | Empresas Publicas de Medellin ESP | | | 4.38% | | | 02/15/2031 | | | 3,889,342 | |
| | 1,203,020 | | | Fideicomiso PA Pacifico Tres | | | 8.25% | | | 01/15/2035 | | | 1,206,027 | |
| | 7,139,000 | | | Gran Tierra Energy, Inc. | | | 9.50%(a) | | | 10/15/2029 | | | 6,781,639 | |
| | 1,700,000 | | | Termocandelaria Power SA | | | 7.75%(a) | | | 09/17/2031 | | | 1,742,576 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 2,627,000 | | | Transportadora de Gas Internacional SA ESP | | | 5.55% | | | 11/01/2028 | | | 2,652,019 | |
| | | | | | | | | | | 49,985,998 | |
| | | |
| | DOMINICAN REPUBLIC - 0.8% | |
| | 200,000 | | | Aeropuertos Dominicanos Siglo XXI SA | | | 7.00%(a) | | | 06/30/2034 | | | 209,626 | |
| | 3,800,000 | | | AES Espana BV | | | 5.70%(a) | | | 05/04/2028 | | | 3,614,221 | |
| | | | | | | | | | | 3,823,847 | |
| | | |
| | GUATEMALA - 4.3% | |
| | 6,600,000 | | | Banco Industrial SA/Guatemala
(5 yr. CMT Rate + 4.44%) | | | 4.88% | | | 01/29/2031 | | | 6,513,408 | |
| | 3,600,000 | | | CT Trust | | | 5.13% | | | 02/03/2032 | | | 3,302,967 | |
| | 2,135,000 | | | Energuate Trust | | | 5.88% | | | 05/03/2027 | | | 2,105,014 | |
| | 4,379,400 | | | Millicom International Cellular SA | | | 6.63% | | | 10/15/2026 | | | 4,383,451 | |
| | 450,000 | | | Millicom International Cellular SA | | | 5.13% | | | 01/15/2028 | | | 437,512 | |
| | 2,700,000 | | | Millicom International Cellular SA | | | 6.25% | | | 03/25/2029 | | | 2,687,724 | |
| | | | | | | | | | | 19,430,076 | |
| | | |
| | INDIA - 12.6% | |
| | 500,000 | | | Adani Electricity Mumbai Ltd. | | | 3.95% | | | 02/12/2030 | | | 451,664 | |
| | 1,700,000 | | | Adani Electricity Mumbai Ltd. | | | 3.87% | | | 07/22/2031 | | | 1,484,432 | |
| | 3,755,750 | | | Adani International Container Terminal Pvt Ltd. | | | 3.00% | | | 02/16/2031 | | | 3,331,915 | |
| | 2,656,000 | | | Adani International Container Terminal Pvt Ltd. | | | 3.00%(a) | | | 02/16/2031 | | | 2,356,272 | |
| | 2,400,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.00% | | | 07/30/2027 | | | 2,299,201 | |
| | 2,300,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.20% | | | 08/04/2027 | | | 2,223,007 | |
| | 900,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.38% | | | 07/03/2029 | | | 851,535 | |
| | 2,800,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 3.10% | | | 02/02/2031 | | | 2,385,495 | |
| | 3,800,000 | | | Adani Transmission Step-One Ltd. | | | 4.00% | | | 08/03/2026 | | | 3,688,394 | |
| | 1,887,500 | | | Adani Transmission Step-One Ltd. | | | 4.25% | | | 05/21/2036 | | | 1,660,878 | |
| | 200,000 | | | Bharti Airtel Ltd. | | | 4.38% | | | 06/10/2025 | | | 199,374 | |
| | 3,496,000 | | | JSW Hydro Energy Ltd. | | | 4.13% | | | 05/18/2031 | | | 3,195,360 | |
| | 4,000,000 | | | JSW Infrastructure Ltd. | | | 4.95% | | | 01/21/2029 | | | 3,895,488 | |
| | 8,960,000 | | | Network i2i Ltd.
(5 yr. CMT Rate + 4.27%) | | | 5.65%(b) | | | 01/15/2025 | | | 8,984,687 | |
| | 1,400,000 | | | Periama Holdings | | | 5.95% | | | 04/19/2026 | | | 1,397,987 | |
| | 5,000,000 | | | Reliance Industries Ltd. | | | 4.13% | | | 01/28/2025 | | | 4,984,934 | |
| | 250,000 | | | Reliance Industries Ltd. | | | 3.67% | | | 11/30/2027 | | | 244,655 | |
| | 8,000,000 | | | UPL Corp. Ltd. | | | 4.63% | | | 06/16/2030 | | | 6,826,000 | |
| | 6,580,000 | | | Vedanta Resources Ltd. | | | 13.88% | | | 12/09/2028 | | | 6,752,409 | |
| | | | | | | | | | | 57,213,687 | |
| | | |
| | INDONESIA - 3.2% | |
| | 4,250,000 | | | Adaro Indonesia PT | | | 4.25% | | | 10/31/2024 | | | 4,240,460 | |
| | 3,200,000 | | | Freeport Indonesia PT | | | 4.76% | | | 04/14/2027 | | | 3,226,410 | |
| | 600,000 | | | Freeport Indonesia PT | | | 5.32% | | | 04/14/2032 | | | 610,414 | |
| | 3,600,000 | | | Medco Laurel Tree Pte Ltd. | | | 6.95% | | | 11/12/2028 | | | 3,603,800 | |
| | 2,600,000 | | | Medco Oak Tree Pte Ltd. | | | 7.38% | | | 05/14/2026 | | | 2,641,626 | |
| | | | | | | | | | | 14,322,710 | |
| | | |
| | JAMAICA - 0.1% | |
| | 1,201,562 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(d) | | | 12/31/2030 | | | 153,910 | |
| | 26,166 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(d) | | | 12/31/2030 | | | 25,857 | |
| | 3,187,632 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(d) | | | 12/31/2030 | | | 44,261 | |
| | | | | | | | | | | 224,028 | |
| | | |
| | | |
60
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | KUWAIT - 1.1% | |
| | 1,000,000 | | | MEGlobal BV | | | 4.25% | | | 11/03/2026 | | | 989,055 | |
| | 4,100,000 | | | MEGlobal Canada ULC | | | 5.00% | | | 05/18/2025 | | | 4,098,338 | |
| | | | | | | | | | | 5,087,393 | |
| | | |
| | MEXICO - 7.1% | |
| | 400,000 | | | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa | | | 4.38% | | | 04/11/2027 | | | 393,512 | |
| | 2,500,000 | | | Banco Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate + 5.35%) | | | 7.63%(b) | | | 01/10/2028 | | | 2,520,327 | |
| | 2,800,000 | | | Banco Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate + 5.47%) | | | 7.50%(a)(b) | | | 06/27/2029 | | | 2,825,245 | |
| | 5,500,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 2.65%) | | | 5.13% | | | 01/18/2033 | | | 5,235,505 | |
| | 2,100,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 4.31%) | | | 5.88% | | | 09/13/2034 | | | 2,045,010 | |
| | 2,400,000 | | | Braskem Idesa SAPI | | | 6.99% | | | 02/20/2032 | | | 1,893,311 | |
| | 2,200,000 | | | Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy | | | 7.88%(a) | | | 02/15/2039 | | | 2,346,488 | |
| | 7,300,000 | | | Cemex SAB de CV
(5 yr. CMT Rate + 4.53%) | | | 5.13%(b) | | | 06/08/2026 | | | 7,195,083 | |
| | 1,562,000 | | | Cometa Energia SAB de CV | | | 6.38% | | | 04/24/2035 | | | 1,586,441 | |
| | 5,200,000 | | | Credito Real SAB de CV SOFOM ER
(5 yr. CMT Rate + 7.03%) | | | 9.13%(b)(c) | | | 11/29/2027 | | | 15,600 | |
| | 200,000 | | | Electricidad Firme de Mexico Holdings SAB de CV | | | 4.90% | | | 11/20/2026 | | | 194,854 | |
| | 358,715 | | | Fermaca Enterprises S de RL de CV | | | 6.38% | | | 03/30/2038 | | | 358,042 | |
| | 2,440,000 | | | KUO SAB De CV | | | 5.75% | | | 07/07/2027 | | | 2,399,944 | |
| | 4,600,000 | | | Mexarrend SAPI de CV | | | 10.25%(a)(c) | | | 07/24/2025 | | | 234,600 | |
| | 1,988,714 | | | Mexico Generadora de Energia S de RL | | | 5.50% | | | 12/06/2032 | | | 1,987,562 | |
| | 1,201,049 | | | Tierra Mojada Luxembourg II Sarl | | | 5.75% | | | 12/01/2040 | | | 1,141,582 | |
| | | | | | | | | | | 32,373,106 | |
| | | |
| | PARAGUAY - 1.5% | |
| | 539,000 | | | Banco Continental SAECA | | | 2.75% | | | 12/10/2025 | | | 522,728 | |
| | 2,224,000 | | | Frigorifico Concepcion SA | | | 7.70% | | | 07/21/2028 | | | 1,555,265 | |
| | 6,400,270 | | | Rutas 2 & 7 Finance Ltd. | | | 0.00% | | | 09/30/2036 | | | 4,639,243 | |
| | 168,000 | | | Telefonica Celular del Paraguay SA | | | 5.88% | | | 04/15/2027 | | | 166,733 | |
| | | | | | | | | | | 6,883,969 | |
| | | |
| | PERU - 11.3% | |
| | 8,000,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 3.00%) | | | 3.13% | | | 07/01/2030 | | | 7,820,125 | |
| | 3,950,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 2.45%) | | | 3.25% | | | 09/30/2031 | | | 3,748,751 | |
| | 12,172,000 | | | Banco Internacional del Peru SAA Interbank
(5 yr. CMT Rate + 3.71%) | | | 4.00% | | | 07/08/2030 | | | 11,981,862 | |
| | 7,950,000 | | | Cia de Minas Buenaventura SAA | | | 5.50% | | | 07/23/2026 | | | 7,850,736 | |
| | 1,200,000 | | | Credicorp Ltd. | | | 2.75% | | | 06/17/2025 | | | 1,177,918 | |
| | 673,200 | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru | | | 6.38% | | | 06/01/2028 | | | 677,479 | |
| | 3,473,000 | | | InRetail Consumer | | | 3.25% | | | 03/22/2028 | | | 3,260,170 | |
| | 3,250,000 | | | InRetail Shopping Malls | | | 5.75% | | | 04/03/2028 | | | 3,275,353 | |
| | 5,500,000 | | | Intercorp Financial Services, Inc. | | | 4.13% | | | 10/19/2027 | | | 5,318,891 | |
| | 3,714,596 | | | Lima Metro Line 2 Finance Ltd. | | | 4.35% | | | 04/05/2036 | | | 3,483,818 | |
| | 2,710,000 | | | Orazul Energy Peru SA | | | 5.63% | | | 04/28/2027 | | | 2,668,740 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 300,000 | | | SAN Miguel Industrias Pet SA / NG PET R&P Latin America SA | | | 3.50% | | | 08/02/2028 | | | 276,267 | |
| | | | | | | | | | | 51,540,110 | |
| | | |
| | SINGAPORE - 4.2% | |
| | 400,000 | | | DBS Group Holdings Ltd.
(5 yr. CMT Rate + 1.10%) | | | 1.82% | | | 03/10/2031 | | | 384,647 | |
| | 9,400,000 | | | Oversea-Chinese Banking Corp. Ltd.
(5 yr. CMT Rate + 1.58%) | | | 1.83% | | | 09/10/2030 | | | 9,132,342 | |
| | 7,200,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.52%) | | | 1.75% | | | 03/16/2031 | | | 6,902,496 | |
| | 2,700,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.23%) | | | 2.00% | | | 10/14/2031 | | | 2,558,936 | |
| | | | | | | | | | | 18,978,421 | |
| | | |
| | SOUTH AFRICA - 0.0%(e) | |
| | 200,000 | | | Gold Fields Orogen Holdings BVI Ltd. | | | 6.13% | | | 05/15/2029 | | | 209,997 | |
| | | |
| | VIETNAM - 0.5% | |
| | 2,319,022 | | | Mong Duong Finance Holdings BV | | | 5.13% | | | 05/07/2029 | | | 2,252,133 | |
| | | | | Total Foreign Corporate Bonds
(Cost $370,516,662) | | | | | | 351,526,318 | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 21.2% | |
| | BRAZIL - 1.1% | |
| | 5,000,000 | | | Banco do Brasil SA/Cayman (10 yr. CMT Rate + 4.40%) | | | 8.75%(b) | | | 04/15/2025 | | | 5,081,475 | |
| | | |
| | COLOMBIA - 3.9% | |
| | 2,200,000 | | | Colombia Government International Bond | | | 3.88% | | | 04/25/2027 | | | 2,125,336 | |
| | 2,000,000 | | | Colombia Government International Bond | | | 5.00% | | | 06/15/2045 | | | 1,480,346 | |
| | 3,000,000 | | | Colombia Government International Bond | | | 4.13% | | | 05/15/2051 | | | 1,901,013 | |
| | 5,000,000 | | | Ecopetrol SA | | | 4.63% | | | 11/02/2031 | | | 4,295,751 | |
| | 800,000 | | | Ecopetrol SA | | | 5.88% | | | 05/28/2045 | | | 601,067 | |
| | 10,300,000 | | | Ecopetrol SA | | | 5.88% | | | 11/02/2051 | | | 7,493,987 | |
| | | | | | | | | | | 17,897,500 | |
| | | |
| | GUATEMALA - 0.7% | |
| | 1,100,000 | | | Guatemala Government Bond | | | 4.38% | | | 06/05/2027 | | | 1,076,103 | |
| | 1,600,000 | | | Guatemala Government Bond | | | 4.88% | | | 02/13/2028 | | | 1,580,157 | |
| | 500,000 | | | Guatemala Government Bond | | | 5.25% | | | 08/10/2029 | | | 496,059 | |
| | | | | | | | | | | 3,152,319 | |
| | | |
| | INDONESIA - 2.7% | |
| | 4,400,000 | | | Bank Negara Indonesia Persero Tbk PT | | | 3.75% | | | 03/30/2026 | | | 4,295,005 | |
| | 5,300,000 | | | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT | | | 4.75% | | | 05/15/2025 | | | 5,290,530 | |
| | 2,400,000 | | | Pertamina Persero PT | | | 1.40% | | | 02/09/2026 | | | 2,300,177 | |
| | 200,000 | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | | 4.13% | | | 05/15/2027 | | | 198,362 | |
| | | | | | | | | | | 12,084,074 | |
| | | |
| | MEXICO - 7.3% | |
| | 5,700,000 | | | Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%) | | | 2.72% | | | 08/11/2031 | | | 5,221,870 | |
| | 2,500,000 | | | Comision Federal de Electricidad | | | 3.35% | | | 02/09/2031 | | | 2,162,198 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 61
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 1,000,000 | | | Comision Federal de Electricidad | | | 6.45%(a) | | | 01/24/2035 | | | 997,250 | |
| | 3,900,000 | | | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple | | | 7.25%(a) | | | 01/31/2041 | | | 4,073,355 | |
| | 11,000,000 | | | Mexico Government International Bond | | | 4.40% | | | 02/12/2052 | | | 8,477,152 | |
| | 7,000,000 | | | Mexico Government International Bond | | | 6.34% | | | 05/04/2053 | | | 6,977,111 | |
| | 7,400,000 | | | Petroleos Mexicanos | | | 6.75% | | | 09/21/2047 | | | 5,307,054 | |
| | | | | | | | | | | 33,215,990 | |
| | | |
| | MOROCCO - 0.3% | |
| | 1,100,000 | | | OCP SA | | | 4.50% | | | 10/22/2025 | | | 1,091,121 | |
| | PANAMA - 2.0% | |
| | 400,000 | | | Panama Government International Bond | | | 3.88% | | | 03/17/2028 | | | 386,655 | |
| | 900,000 | | | Panama Government International Bond | | | 4.30% | | | 04/29/2053 | | | 639,726 | |
| | 13,000,000 | | | Panama Government International Bond | | | 3.87% | | | 07/23/2060 | | | 8,221,843 | |
| | | | | | | | | | | 9,248,224 | |
| | | |
| | PARAGUAY - 0.8% | |
| | 4,351,261 | | | Bioceanico Sovereign Certificate Ltd. | | | 0.00% | | | 06/05/2034 | | | 3,426,907 | |
| | 200,000 | | | Paraguay Government International Bond | | | 4.70% | | | 03/27/2027 | | | 199,900 | |
| | | | | | | | | | | 3,626,807 | |
| | | |
| | PERU - 1.5% | |
| | 1,727,981 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 1,756,715 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 4,500,000 | | | Petroleos del Peru SA | | | 4.75% | | | 06/19/2032 | | | 3,560,254 | |
| | 2,400,000 | | | Petroleos del Peru SA | | | 5.63% | | | 06/19/2047 | | | 1,645,985 | |
| | | | | | | | | | | 6,962,954 | |
| | | |
| | SOUTH AFRICA - 0.9% | |
| | 4,200,000 | | | Republic of South Africa Government International Bond | | | 4.30% | | | 10/12/2028 | | | 4,073,921 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $108,757,348) | | | | | | 96,434,385 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 0.8% | |
| | 1,278,222 | | | First American Government Obligations Fund - U | | | 4.84%(f) | | | | | | 1,278,222 | |
| | 1,278,222 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(f) | | | | | | 1,278,222 | |
| | 1,278,223 | | | MSILF Government Portfolio - Institutional | | | 4.83%(f) | | | | | | 1,278,223 | |
| | | |
| | | | | Total Short Term Investments
(Cost $3,834,667) | | | | | | | | | 3,834,667 | |
| | | | | Total Investments - 99.3%
(Cost $483,108,677) | | | | | | | | | 451,795,370 | |
| | | | | Other Assets in Excess of Liabilities - 0.7% | | | | | | | | | 3,020,963 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $454,816,333 | |
| | | | | | | | | | | | | | | |
62
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | Foreign Corporate Bonds | | | 77.3% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 21.2% | |
| | Short Term Investments | | | 0.8% | |
| | Other Assets and Liabilities | | | 0.7% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
| | Banking | | | 21.1% | |
| | Energy | | | 14.1% | |
| | Transportation | | | 13.1% | |
| | Utilities | | | 11.8% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 11.1% | |
| | Mining | | | 7.8% | |
| | Telecommunications | | | 4.5% | |
| | Consumer Products | | | 3.8% | |
| | Chemical Products | | | 3.4% | |
| | Retailers (other than Food/Drug) | | | 2.5% | |
| | Building and Development (including Steel/Metals) | | | 2.5% | |
| | Chemicals/Plastics | | | 1.5% | |
| | Short Term Investments | | | 0.8% | |
| | Conglomerates | | | 0.5% | |
| | Pulp & Paper | | | 0.4% | |
| | Finance | | | 0.3% | |
| | Food Products | | | 0.1% | |
| | Other Assets and Liabilities | | | 0.7% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | COUNTRY BREAKDOWN as a % of Net Assets:
| | | | |
| | Brazil | | | 15.0% | |
| | Colombia | | | 14.9% | |
| | Mexico | | | 14.4% | |
| | Peru | | | 12.8% | |
| | India | | | 12.6% | |
| | Indonesia | | | 5.9% | |
| | Chile | | | 5.7% | |
| | Guatemala | | | 5.0% | |
| | Singapore | | | 4.2% | |
| | Paraguay | | | 2.3% | |
| | Panama | | | 2.0% | |
| | Kuwait | | | 1.1% | |
| | South Africa | | | 0.9% | |
| | United States | | | 0.8% | |
| | Dominican Republic | | | 0.8% | |
| | Vietnam | | | 0.5% | |
| | Morocco | | | 0.3% | |
| | Jamaica | | | 0.1% | |
| | Other Assets and Liabilities | | | 0.7% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.
|
(b)
| Perpetual maturity. The date disclosed is the next call date of the security.
|
(c)
| Security is in default or has failed to make a scheduled payment. Income is not being accrued.
|
(d)
| Value determined using significant unobservable inputs.
|
(e)
| Represents less than 0.05% of net assets.
|
(f)
| Seven-day yield as of period end. |
CMT
| Constant Maturity Treasury Rate |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 63
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Low Duration Bond Fund | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS - 7.5% | |
| | | | | AccessLex Institute | |
| | 1,568,964 | | | Series 2007-A-B (3 mo. Term SOFR + 0.81%, 0.00% Floor) | | | 5.88% | | | 02/25/2037 | | | 1,528,230 | |
| | | | | ACHV Trust | |
| | 2,750,000 | | | Series 2023-3PL-C | | | 7.35%(a) | | | 08/19/2030 | | | 2,782,642 | |
| | 9,500,000 | | | Series 2024-2PL-A | | | 5.07%(a) | | | 10/27/2031 | | | 9,540,907 | |
| | | | | Affirm, Inc. | |
| | 4,191,851 | | | Series 2022-Z1-A | | | 4.55%(a) | | | 06/15/2027 | | | 4,182,921 | |
| | 15,000,000 | | | Series 2023-A-1A | | | 6.61%(a) | | | 01/18/2028 | | | 15,064,366 | |
| | 6,521,045 | | | Series 2023-X1-A | | | 7.11%(a) | | | 11/15/2028 | | | 6,547,754 | |
| | 5,300,000 | | | Series 2024-A-A | | | 5.61%(a) | | | 02/15/2029 | | | 5,372,265 | |
| | 6,703,446 | | | Series 2024-X1-A | | | 6.27%(a) | | | 05/15/2029 | | | 6,726,455 | |
| | | | | Aligned Data Centers Issuer LLC | |
| | 3,100,000 | | | Series 2022-1A-A2 | | | 6.35%(a) | | | 10/15/2047 | | | 3,132,697 | |
| | | | | American Credit Acceptance Receivables Trust | |
| | 1,197,576 | | | Series 2024-2-A | | | 5.90%(a) | | | 02/12/2027 | | | 1,201,441 | |
| | 8,540,664 | | | Series 2024-3-A | | | 5.76%(a) | | | 11/12/2027 | | | 8,577,547 | |
| | | | | Aqua Finance Trust | |
| | 1,238,404 | | | Series 2020-AA-A | | | 1.90%(a) | | | 07/17/2046 | | | 1,171,906 | |
| | | | | Arivo Acceptance Auto Loan Receivables Trust | |
| | 4,027,769 | | | Series 2022-1A-A | | | 3.93%(a) | | | 05/15/2028 | | | 4,001,649 | |
| | | | | AVANT Loans Funding Trust | |
| | 10,000,000 | | | Series 2024-REV1-A | | | 5.92%(a) | | | 10/15/2033 | | | 10,142,654 | |
| | | | | Bridgecrest Lending Auto Securitization Trust | |
| | 9,000,000 | | | Series 2024-3-A2 | | | 5.54% | | | 02/16/2027 | | | 9,022,167 | |
| | | | | CAI International, Inc. | |
| | 7,095,000 | | | Series 2020-1A-A | | | 2.22%(a) | | | 09/25/2045 | | | 6,624,413 | |
| | | | | Carvana Auto Receivables Trust | |
| | 4,730,117 | | | Series 2023-N3-A | | | 6.41%(a) | | | 09/10/2027 | | | 4,759,742 | |
| | 8,923,752 | | | Series 2024-N1-A2 | | | 5.76%(a) | | | 04/12/2027 | | | 8,951,830 | |
| | 8,000,000 | | | Series 2024-P3-A4 | | | 4.31% | | | 09/10/2030 | | | 7,990,198 | |
| | | | | Citizens Auto Receivables Trust | |
| | 8,109,554 | | | Series 2023-2-A2A | | | 6.09%(a) | | | 10/15/2026 | | | 8,138,870 | |
| | | | | Commonbond Student Loan Trust | |
| | 914,612 | | | Series 2017-BGS-A1 | | | 2.68%(a) | | | 09/25/2042 | | | 850,705 | |
| | 834,672 | | | Series 2020-AGS-A | | | 1.98%(a) | | | 08/25/2050 | | | 735,811 | |
| | | | | Compass Datacenters LLC | |
| | 17,648,000 | | | Series 2024-1A-A1 | | | 5.25%(a) | | | 02/25/2049 | | | 17,827,159 | |
| | | | | CPS Auto Trust | |
| | 276,453 | | | Series 2022-D-A | | | 6.09%(a) | | | 01/15/2027 | | | 276,661 | |
| | 3,118,878 | | | Series 2024-A-A | | | 5.71%(a) | | | 09/15/2027 | | | 3,130,116 | |
| | | | | DataBank Issuer | |
| | 1,599,000 | | | Series 2021-1A-A2 | | | 2.06%(a) | | | 02/27/2051 | | | 1,525,468 | |
| | 10,000,000 | | | Series 2023-1A-A2 | | | 5.12%(a) | | | 02/25/2053 | | | 9,932,859 | |
| | | | | Diamond Resorts Owner Trust | |
| | 1,362,360 | | | Series 2021-1A-B | | | 2.05%(a) | | | 11/21/2033 | | | 1,319,342 | |
| | | | | Domino’s SPV Guarantor LLC | |
| | 1,488,000 | | | Series 2019-1A-A2 | | | 3.67%(a) | | | 10/25/2049 | | | 1,418,533 | |
| | | | | Exeter Automobile Receivables Trust | |
| | 7,240,000 | | | Series 2021-4A-D | | | 1.96% | | | 01/17/2028 | | | 7,057,821 | |
| | 1,161,981 | | | Series 2023-3A-A3 | | | 6.04% | | | 07/15/2026 | | | 1,162,330 | |
| | 3,200,939 | | | Series 2023-5A-A2 | | | 6.20% | | | 04/15/2026 | | | 3,202,572 | |
| | 5,500,000 | | | Series 2024-5A-A2 | | | 4.79% | | | 04/15/2027 | | | 5,483,902 | |
| | | | | Global Sea Containers Two SRL | |
| | 2,775,001 | | | Series 2020-1A-A | | | 2.17%(a) | | | 10/17/2040 | | | 2,632,656 | |
| | | | | GLS Auto Receivables Trust | |
| | 635,827 | | | Series 2021-1A-D | | | 1.68%(a) | | | 01/15/2027 | | | 627,853 | |
| | 9,483,695 | | | Series 2023-4A-A2 | | | 6.40%(a) | | | 12/15/2026 | | | 9,519,847 | |
| | | | | GLS Auto Select Receivables Trust | |
| | 4,000,000 | | | Series 2024-3A-A2 | | | 5.59%(a) | | | 10/15/2029 | | | 4,065,457 | |
| | | | | Hertz Global Holdings, Inc. | |
| | 5,100,000 | | | Series 2021-1A-B | | | 1.56%(a) | | | 12/26/2025 | | | 5,065,041 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | |
| | | | | Hilton Grand Vacations, Inc. | |
| | 536,129 | | | Series 2018-AA-A | | | 3.54%(a) | | | 02/25/2032 | | | 531,184 | |
| | 303,249 | | | Series 2020-AA-A | | | 2.74%(a) | | | 02/25/2039 | | | 294,733 | |
| | | | | LAD Auto Receivables Trust | |
| | 10,392,920 | | | Series 2024-1A-A2 | | | 5.44%(a) | | | 11/16/2026 | | | 10,409,906 | |
| | | | | Laurel Road Prime Student Loan Trust | |
| | 252,525 | | | Series 2019-A-A1FX | | | 2.34%(a) | | | 10/25/2048 | | | 248,965 | |
| | | | | Lendbuzz Securitization Trust | |
| | 6,087,679 | | | Series 2023-1A-A2 | | | 6.92%(a) | | | 08/15/2028 | | | 6,201,907 | |
| | 2,765,594 | | | Series 2023-2A-A2 | | | 7.09%(a) | | | 10/16/2028 | | | 2,825,626 | |
| | 8,500,000 | | | Series 2024-2A-A2 | | | 5.99%(a) | | | 05/15/2029 | | | 8,608,684 | |
| | | | | Lendingpoint Asset Securitization Trust | |
| | 650,920 | | | Series 2022-C-A | | | 6.56%(a) | | | 02/15/2030 | | | 651,106 | |
| | | | | Loanpal Solar Loan Ltd. | |
| | 7,656,230 | | | Series 2020-3GS-A | | | 2.47%(a) | | | 12/20/2047 | | | 6,600,932 | |
| | | | | Marlette Funding Trust | |
| | 978,810 | | | Series 2022-2A-B | | | 5.50%(a) | | | 08/15/2032 | | | 979,186 | |
| | 13,715,357 | | | Series 2024-1A-A | | | 5.95%(a) | | | 07/17/2034 | | | 13,801,589 | |
| | | | | MVW Owner Trust | |
| | 366,626 | | | Series 2018-1A-C | | | 3.90%(a) | | | 01/21/2036 | | | 366,162 | |
| | | | | Navient Student Loan Trust | |
| | 2,321,406 | | | Series 2020-FA-A | | | 1.22%(a) | | | 07/15/2069 | | | 2,169,703 | |
| | 1,328,584 | | | Series 2020-GA-A | | | 1.17%(a) | | | 09/16/2069 | | | 1,232,138 | |
| | 9,708,590 | | | Series 2022-A-A | | | 2.23%(a) | | | 07/15/2070 | | | 8,876,996 | |
| | | | | Oxford Finance Funding Trust | |
| | 3,121,295 | | | Series 2020-1A-A2 | | | 3.10%(a) | | | 02/15/2028 | | | 3,099,170 | |
| | | | | Pagaya AI Debt Selection Trust | |
| | 1,474,820 | | | Series 2021-HG1-A | | | 1.22%(a) | | | 01/16/2029 | | | 1,456,490 | |
| | 1,328,634 | | | Series 2022-3-A | | | 6.06%(a) | | | 03/15/2030 | | | 1,329,005 | |
| | 4,218,974 | | | Series 2023-1-A | | | 7.56%(a) | | | 07/15/2030 | | | 4,234,262 | |
| | 2,658,060 | | | Series 2023-3-A | | | 7.60%(a) | | | 12/16/2030 | | | 2,674,190 | |
| | 2,279,196 | | | Series 2023-5-A | | | 7.18%(a) | | | 04/15/2031 | | | 2,282,848 | |
| | 4,445,962 | | | Series 2023-5-B | | | 7.63%(a) | | | 04/15/2031 | | | 4,482,726 | |
| | 2,326,527 | | | Series 2023-7-A | | | 7.23%(a) | | | 07/15/2031 | | | 2,329,878 | |
| | | | | Prosper Marketplace Issuance Trust | |
| | 1,772,009 | | | Series 2023-1A-A | | | 7.06%(a) | | | 07/16/2029 | | | 1,779,342 | |
| | 2,074,523 | | | Series 2024-1A-A | | | 6.12%(a) | | | 08/15/2029 | | | 2,080,936 | |
| | | | | Santander Consumer USA Holdings, Inc. | |
| | 1,027,995 | | | Series 2023-4-A2 | | | 6.18% | | | 02/16/2027 | | | 1,030,434 | |
| | 8,871,172 | | | Series 2024-3-A2 | | | 5.91% | | | 06/15/2027 | | | 8,911,474 | |
| | | | | Santander Consumer USA, Inc. | |
| | 742,687 | | | Series 2021-3-C | | | 1.47% | | | 01/15/2027 | | | 738,936 | |
| | | | | Santander Drive Auto Receivables LLC | |
| | 1,016,285 | | | Series 2020-4-D | | | 1.48% | | | 01/15/2027 | | | 1,010,076 | |
| | | | | SCCU Auto Receivables Trust | |
| | 12,250,000 | | | Series 2024-1A-A2 | | | 5.45%(a) | | | 12/15/2027 | | | 12,319,397 | |
| | | | | SFS Auto Receivables Securitization Trust | |
| | 3,322,742 | | | Series 2024-1A-A2 | | | 5.35%(a) | | | 06/21/2027 | | | 3,329,854 | |
| | | | | Sierra Timeshare Conduit Receivables Funding LLC | |
| | 971,375 | | | Series 2021-2A-C | | | 1.95%(a) | | | 09/20/2038 | | | 927,706 | |
| | | | | Slam Ltd. | |
| | 10,000,000 | | | Series 2024-1A-A | | | 5.34%(a) | | | 09/15/2049 | | | 10,022,840 | |
| | | | | SLM Student Loan Trust | |
| | 4,346,804 | | | Series 2006-A-A5 (3 mo. Term SOFR + 0.55%, 0.00% Floor) | | | 5.50% | | | 06/15/2039 | | | 4,225,397 | |
| | 2,583,151 | | | Series 2006-B-A5 (3 mo. Term SOFR + 0.53%, 0.00% Floor) | | | 5.48% | | | 12/15/2039 | | | 2,516,654 | |
| | | | | SOFI Alternative Trust | |
| | 3,032,179 | | | Series 2021-1-PT1 | | | 9.72%(a)(b) | | | 05/25/2030 | | | 3,009,280 | |
| | 5,631,045 | | | Series 2021-2-A | | | 1.25%(a) | | | 08/15/2030 | | | 5,460,379 | |
| | 10,195,929 | | | Series 2021-3-A | | | 1.50%(a) | | | 11/15/2030 | | | 9,941,368 | |
| | | | | SoFi Consumer Loan Program Trust | |
| | 47,135 | | | Series 2023-1S-A | | | 5.81%(a) | | | 05/15/2031 | | | 47,143 | |
| | | | | | | | | | | | | | | |
64
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | SoFi Professional Loan Program LLC | |
| | 772,984 | | | Series 2018-D-A2FX | | | 3.60%(a) | | | 02/25/2048 | | | 761,541 | |
| | 3,327,493 | | | Series 2020-C-AFX | | | 1.95%(a) | | | 02/15/2046 | | | 3,121,989 | |
| | | | | TAL Advantage LLC | |
| | 2,900,000 | | | Series 2020-1A-A | | | 2.05%(a) | | | 09/20/2045 | | | 2,714,849 | |
| | | | | Textainer Ltd. | |
| | 753,333 | | | Series 2021-3A-A | | | 1.94%(a) | | | 08/20/2046 | | | 670,850 | |
| | | | | Toyota Lease Owner Trust | |
| | 17,150,000 | | | Series 2024-B-A4 | | | 4.25%(a) | | | 01/22/2029 | | | 17,164,638 | |
| | | | | UPCL | |
| | 16,953,308 | | | Series 2023-1-A | | | 7.65%(c) | | | 04/22/2030 | | | 17,187,264 | |
| | | | | Upgrade Master Pass-Thru Trust | |
| | 617,330 | | | Series 2021-PT3-A | | | 14.31%(a)(b) | | | 07/15/2027 | | | 561,268 | |
| | | | | Upstart Pass-Through Trust Series | |
| | 321,755 | | | Series 2020-ST5-A | | | 3.00%(a) | | | 12/20/2026 | | | 318,138 | |
| | 418,266 | | | Series 2021-ST5-A | | | 2.00%(a) | | | 07/20/2027 | | | 410,006 | |
| | 913,504 | | | Series 2021-ST6-A | | | 1.85%(a) | | | 08/20/2027 | | | 903,894 | |
| | | | | Upstart Securitization Trust | |
| | 460,701 | | | Series 2023-1-A | | | 6.59%(a) | | | 02/20/2033 | | | 461,359 | |
| | 4,449,012 | | | Series 2023-2-A | | | 6.77%(a) | | | 06/20/2033 | | | 4,470,944 | |
| | 5,314,980 | | | Series 2023-3-A | | | 6.90%(a) | | | 10/20/2033 | | | 5,377,452 | |
| | | | | Wendy’s SPV Guarantor LLC | |
| | 4,685,199 | | | Series 2018-1A-A2II | | | 3.88%(a) | | | 03/15/2048 | | | 4,554,349 | |
| | | | | Westgate Resorts LLC | |
| | 3,634,808 | | | Series 2022-1A-C | | | 2.49%(a) | | | 08/20/2036 | | | 3,530,985 | |
| | | | | Westlake Automobile Receivables Trust | |
| | 11,781,868 | | | Series 2023-4A-A2 | | | 6.23%(a) | | | 01/15/2027 | | | 11,846,956 | |
| | 7,150,000 | | | Series 2024-1A-A2A | | | 5.62%(a) | | | 03/15/2027 | | | 7,171,301 | |
| | | | | Total Asset Backed Obligations
(Cost $435,700,263) | | | | | | 435,561,172 | |
| | | |
| | BANK LOANS - 2.5% | |
| | | | | 1011778 BC ULC | |
| | 5,869,511 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 09/23/2030 | | | 5,820,266 | |
| | | | | APi Group DE, Inc. | |
| | 3,645,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/03/2029 | | | 3,646,859 | |
| | | | | Aramark Services, Inc. | |
| | 365,375 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 06/24/2030 | | | 366,791 | |
| | | | | Asplundh Tree Expert LLC | |
| | 2,861,489 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.70% | | | 09/07/2027 | | | 2,867,255 | |
| | | | | Axalta Coating Systems US Holdings, Inc. | |
| | 680,242 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.60% | | | 12/20/2029 | | | 683,041 | |
| | | | | Burlington Coat Factory Warehouse Corp. | |
| | 4,320,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 1.75%) | | | 6.61% | | | 09/19/2031 | | | 4,293,000 | |
| | | | | Calpine Corp. | |
| | 5,940,337 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 5,928,397 | |
| | 298,500 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 297,785 | |
| | | | | Catalent Pharma Solutions, Inc. | |
| | 5,946,162 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 7.03% | | | 02/22/2028 | | | 5,948,957 | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Corpay Technologies Operating Co. LLC | |
| | 7,439,552 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 04/28/2028 | | | 7,440,147 | |
| | | | | CPI Holdco B LLC | |
| | 5,940,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/19/2031 | | | 5,919,299 | |
| | | | | Delta 2 Lux Sarl | |
| | 726,667 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 727,953 | |
| | 363,333 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 363,976 | |
| | | | | Element Solutions, Inc. | |
| | 2,912,988 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 12/18/2030 | | | 2,917,721 | |
| | | | | Energizer Holdings, Inc. | |
| | 3,833,959 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.92% | | | 12/22/2027 | | | 3,843,544 | |
| | | | | Flutter Financing BV | |
| | 5,874,369 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.60% | | | 11/29/2030 | | | 5,887,997 | |
| | | | | Froneri US, Inc. | |
| | 5,977,133 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/18/2031 | | | 5,962,579 | |
| | | | | Gen Digital, Inc. | |
| | 5,268,985 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.50% Floor) | | | 6.60% | | | 09/12/2029 | | | 5,257,867 | |
| | | | | Go Daddy Operating Co. LLC | |
| | 6,042,432 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 11/13/2029 | | | 6,043,309 | |
| | | | | Grifols Worldwide Operations USA, Inc. | |
| | 2,815,342 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.40% | | | 11/15/2027 | | | 2,741,440 | |
| | | | | HB Fuller Co. | |
| | 2,651,675 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.85% | | | 02/15/2030 | | | 2,659,975 | |
| | | | | Hilton Domestic Operating Co., Inc. | |
| | 2,170,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 11/08/2030 | | | 2,171,985 | |
| | | | | Iron Mountain Information Management LLC | |
| | 6,285,737 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 6,258,237 | |
| | | | | Lamar Media Corp. | |
| | 4,880,263 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.50%, 0.00% Floor) | | | 6.45% | | | 02/08/2027 | | | 4,877,237 | |
| | | | | Marriott Ownership Resorts, Inc. | |
| | 1,596,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.10% | | | 04/01/2031 | | | 1,594,843 | |
| | | | | NRG Energy, Inc. | |
| | 4,835,700 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.26% | | | 04/16/2031 | | | 4,849,603 | |
| | | | | Resideo Funding, Inc. | |
| | 2,650,739 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.86% | | | 02/14/2028 | | | 2,663,992 | |
| | 987,525 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.30% | | | 06/13/2031 | | | 989,994 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 65
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Reynolds Consumer Products LLC | |
| | 4,379,140 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.70% | | | 02/04/2027 | | | 4,392,431 | |
| | | | | Six Flags Entertainment Corp. | |
| | 1,491,263 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/01/2031 | | | 1,490,890 | |
| | | | | SS&C Technologies, Inc. | |
| | 3,146,112 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/09/2031 | | | 3,149,588 | |
| | | | | Standard Industries, Inc./NY | |
| | 3,655,930 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.92% | | | 09/22/2028 | | | 3,667,940 | |
| | | | | Trans Union LLC | |
| | 2,571,323 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.70% | | | 11/16/2026 | | | 2,573,663 | |
| | 5,536,125 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 06/24/2031 | | | 5,531,419 | |
| | | | | US Foods, Inc. | |
| | 4,523,133 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.96% | | | 09/14/2026 | | | 4,529,963 | |
| | | | | Vestis Corp. | |
| | 864,500 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.37% | | | 02/24/2031 | | | 860,584 | |
| | | | | Vistra Operations Co. LLC | |
| | 5,961,174 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 12/20/2030 | | | 5,968,327 | |
| | | | | WMG Acquisition Corp. | |
| | 7,205,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 01/24/2031 | | | 7,215,519 | |
| | | | | Wyndham Hotels & Resorts, Inc. | |
| | 3,271,800 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 05/28/2030 | | | 3,274,352 | |
| | | | | Total Bank Loans
(Cost $145,361,412) | | | | | | 145,678,725 | |
| | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 13.9% | |
| | | | | Battalion CLO Ltd. | |
| | 30,000,000 | | | Series 2017-11A-AR (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.69%(a) | | | 04/24/2034 | | | 30,038,010 | |
| | 22,000,000 | | | Series 2021-20A-A (3 mo. Term SOFR + 1.44%, 1.18% Floor) | | | 6.74%(a) | | | 07/15/2034 | | | 22,017,688 | |
| | | | | BBAM US CLO Ltd. | |
| | 4,132,000 | | | Series 2022-1A-A1 (3 mo. Term SOFR + 1.38%, 1.38% Floor) | | | 6.68%(a) | | | 04/15/2035 | | | 4,138,235 | |
| | | | | BlueMountain CLO Ltd. | |
| | 22,000,000 | | | Series 2021-31A-A1 (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.69%(a) | | | 04/19/2034 | | | 22,026,697 | |
| | | | | Bridge Street CLO Ltd. | |
| | 20,000,000 | | | Series 2021-1A-A1A (3 mo. Term SOFR + 1.49%, 1.23% Floor) | | | 6.77%(a) | | | 07/20/2034 | | | 20,009,494 | |
| | | | | Capital Four US CLO Ltd. | |
| | 15,000,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.75%(a) | | | 01/18/2035 | | | 15,011,332 | |
| | | | | Carlyle Global Market Strategies | |
| | 25,000,000 | | | Series 2016-1A-A1R2 (3 mo. Term SOFR + 1.40%, 1.14% Floor) | | | 6.68%(a) | | | 04/20/2034 | | | 25,045,750 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | CarVal CLO | |
| | 4,976,977 | | | Series 2018-1A-AR (3 mo. Term SOFR + 1.23%, 1.23% Floor) | | | 6.52%(a) | | | 07/16/2031 | | | 4,982,401 | |
| | | | | Cathedral Lake CLO Ltd. | |
| | 9,188,742 | | | Series 2018-5A-A1 (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.74%(a) | | | 10/21/2030 | | | 9,197,444 | |
| | 7,978,168 | | | Series 2021-7RA-AR (3 mo. Term SOFR + 1.18%, 1.18% Floor) | | | 6.48%(a) | | | 01/15/2032 | | | 7,981,153 | |
| | | | | CBAM Ltd. | |
| | 10,000,000 | | | Series 2017-2A-AR (3 mo. Term SOFR + 1.45%, 1.19% Floor) | | | 6.74%(a) | | | 07/17/2034 | | | 10,011,840 | |
| | 9,858,858 | | | Series 2019-10A-A1R (3 mo. Term SOFR + 1.38%, 1.12% Floor) | | | 6.66%(a) | | | 04/20/2032 | | | 9,865,336 | |
| | | | | Cedar Funding Ltd. | |
| | 20,000,000 | | | Series 2018-9A-AR (3 mo. Term SOFR + 1.42%, 1.42% Floor) | | | 6.70%(a) | | | 07/20/2037 | | | 20,088,784 | |
| | | | | CFIP CLO Ltd. | |
| | 20,000,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.76%(a) | | | 01/20/2035 | | | 20,021,920 | |
| | | | | Clover CLO | |
| | 20,000,000 | | | Series 2018-1A-A1RR (3 mo. Term SOFR + 1.53%, 1.53% Floor) | | | 6.85%(a) | | | 04/20/2037 | | | 20,047,438 | |
| | 10,000,000 | | | Series 2021-2A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.71%(a) | | | 07/20/2034 | | | 10,014,340 | |
| | | | | CQS US CLO | |
| | 25,000,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.76%(a) | | | 01/20/2035 | | | 25,015,575 | |
| | | | | Crown City CLO | |
| | 18,000,000 | | | Series 2021-1A-A1A (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.71%(a) | | | 07/20/2034 | | | 18,023,081 | |
| | | | | Generate CLO Ltd. | |
| | 10,000,000 | | | Series 6A-A1R (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.74%(a) | | | 01/22/2035 | | | 10,003,034 | |
| | 14,000,000 | | | Series 8A-AR (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.74%(a) | | | 10/20/2034 | | | 14,031,990 | |
| | 46,500,000 | | | Series 9A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.74%(a) | | | 10/20/2034 | | | 46,558,037 | |
| | | | | Halsey Point CLO Ltd. | |
| | 52,000,000 | | | Series 2021-5A-A1A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.73%(a) | | | 01/30/2035 | | | 52,152,355 | |
| | | | | Harbourview CLO VII LLC | |
| | 3,327,159 | | | Series 7RA-A1 (3 mo. Term SOFR + 1.39%, 1.13% Floor) | | | 6.67%(a) | | | 07/18/2031 | | | 3,333,257 | |
| | | | | Invesco CLO Ltd. | |
| | 10,000,000 | | | Series 2023-3A-A (3 mo. Term SOFR + 1.80%, 1.80% Floor) | | | 7.10%(a) | | | 07/15/2036 | | | 10,057,324 | |
| | | | | Jackson Financial, Inc. | |
| | 20,000,000 | | | Series 2021-5A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.74%(a) | | | 10/18/2034 | | | 20,033,960 | |
| | | | | Katayma CLO Ltd. | |
| | 22,500,000 | | | Series 2024-2A-A1 (3 mo. Term SOFR + 1.65%, 1.65% Floor) | | | 6.94%(a) | | | 04/20/2037 | | | 22,601,957 | |
| | | | | Madison Park Funding Ltd. | |
| | 10,000,000 | | | Series 2021-52A-A (3 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.64%(a) | | | 01/22/2035 | | | 10,002,296 | |
| | | |
| | | |
66
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Marathon CLO Ltd. | |
| | 10,779,142 | | | Series 2018-12A-A1 (3 mo. Term SOFR + 1.44%, 0.00% Floor) | | | 6.72%(a) | | | 04/18/2031 | | | 10,794,087 | |
| | | | | Marble Point CLO | |
| | 35,000,000 | | | Series 2021-2A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.75%(a) | | | 07/25/2034 | | | 35,024,500 | |
| | | | | MP CLO Ltd. | |
| | 15,000,000 | | | Series 2015-2A-ARR (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.73%(a) | | | 04/28/2034 | | | 15,021,480 | |
| | | | | Ocean Trails CLO | |
| | 14,358,559 | | | Series 2014-5A-ARR (3 mo. Term SOFR + 1.54%, 1.28% Floor) | | | 6.84%(a) | | | 10/13/2031 | | | 14,394,731 | |
| | 850,000 | | | Series 2020-10A-AR (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.78%(a) | | | 10/15/2034 | | | 850,515 | |
| | | | | OCP CLO Ltd. | |
| | 3,000,000 | | | Series 2020-20A-A1R (3 mo. Term SOFR + 1.53%, 1.53% Floor) | | | 6.81%(a) | | | 04/18/2037 | | | 3,015,750 | |
| | 28,000,000 | | | Series 2024-32A-A1 (3 mo. Term SOFR + 1.52%, 1.52% Floor) | | | 6.85%(a) | | | 04/23/2037 | | | 28,061,323 | |
| | | | | Palmer Square CLO Ltd. | |
| | 8,700,000 | | | Series 2021-2A-A (3 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.71%(a) | | | 07/15/2034 | | | 8,709,881 | |
| | | | | Regatta Funding Ltd. | |
| | 11,000,000 | | | Series 2024-1A-A1 (3 mo. Term SOFR + 1.53%, 1.53% Floor) | | | 6.83%(a) | | | 04/26/2037 | | | 11,075,789 | |
| | | | | Romark LLC | |
| | 10,209,627 | | | Series 2018-1A-A1 (3 mo. Term SOFR + 1.29%, 0.00% Floor) | | | 6.57%(a) | | | 04/20/2031 | | | 10,218,221 | |
| | | | | Shackleton CLO Ltd. | |
| | 16,745,207 | | | Series 2015-7RA-AR (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.71%(a) | | | 07/15/2031 | | | 16,756,994 | |
| | | | | Sound Point CLO Ltd. | |
| | 14,964,331 | | | Series 2014-2RA-A (3 mo. Term SOFR + 1.51%, 1.25% Floor) | | | 6.79%(a) | | | 10/20/2031 | | | 14,993,166 | |
| | 25,000,000 | | | Series 2020-1A-AR (3 mo. Term SOFR + 1.43%, 1.43% Floor) | | | 6.71%(a) | | | 07/20/2034 | | | 25,030,000 | |
| | | | | Steele Creek CLO Ltd. | |
| | 900,000 | | | Series 2019-1A-BR (3 mo. Term SOFR + 2.06%, 1.80% Floor) | | | 7.36%(a) | | | 04/15/2032 | | | 901,405 | |
| | 18,000,000 | | | Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.73%(a) | | | 07/15/2032 | | | 18,014,472 | |
| | | | | Storm King Park CLO Ltd. | |
| | 9,000,000 | | | Series 2022-1A-AR (3 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.30%(a) | | | 10/15/2037 | | | 9,000,000 | |
| | | | | Symphony CLO Ltd. | |
| | 11,358,115 | | | Series 2014-15A-AR3 (3 mo. Term SOFR + 1.34%, 1.08% Floor) | | | 6.63%(a) | | | 01/17/2032 | | | 11,370,745 | |
| | | | | Texas Debt Capital CLO Ltd. | |
| | 10,500,000 | | | Series 2023-1A-A (3 mo. Term SOFR + 1.80%, 1.80% Floor) | | | 7.08%(a) | | | 04/20/2036 | | | 10,536,852 | |
| | | | | Tralee CLO Ltd. | |
| | 4,000,000 | | | Series 2019-6A-A1RR (3 mo. Term SOFR + 1.22%, 1.22% Floor) | | | 6.50%(a) | | | 10/25/2032 | | | 4,003,583 | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | TRESTLES CLO LLC | |
| | 20,000,000 | | | Series 2021-4A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.71%(a) | | | 07/21/2034 | | | 20,026,356 | |
| | | | | Trimaran CAVU LLC | |
| | 10,000,000 | | | Series 2021-3A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.75%(a) | | | 01/18/2035 | | | 10,003,030 | |
| | | | | Vibrant CLO Ltd. | |
| | 20,000,000 | | | Series 2024-4RA-A1A (3 mo. Term SOFR + 1.43%, 1.43% Floor) | | | 0.00%(a) | | | 10/20/2037 | | | 20,000,000 | |
| | | | | Warwick Capital CLO Ltd. | |
| | 10,000,000 | | | Series 2024-4A-A1 (3 mo. Term SOFR + 1.40%, 1.40% Floor) | | | 6.59%(a) | | | 07/20/2037 | | | 10,008,992 | |
| | | | | Wellfleet CLO Ltd. | |
| | 2,796,794 | | | Series 2018-1A-A (3 mo. Term SOFR + 1.36%, 1.10% Floor) | | | 6.65%(a) | | | 07/17/2031 | | | 2,800,606 | |
| | 8,000,000 | | | Series 2020-1A-A1AR (3 mo. Term SOFR + 1.20%, 1.20% Floor) | | | 6.50%(a) | | | 04/15/2033 | | | 8,005,642 | |
| | 5,000,000 | | | Series 2021-2A-A1 (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.76%(a) | | | 07/15/2034 | | | 5,004,684 | |
| | | | | Total Collateralized Loan Obligations
(Cost $804,936,408) | | | | | | 805,933,532 | |
| | | |
| | FOREIGN CORPORATE BONDS - 8.6% | |
| | 2,485,850 | | | Adani International Container Terminal Pvt Ltd. | | | 3.00% | | | 02/16/2031 | | | 2,205,323 | |
| | 7,300,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.00% | | | 07/30/2027 | | | 6,993,403 | |
| | 5,200,000 | | | Adani Transmission Step-One Ltd. | | | 4.00% | | | 08/03/2026 | | | 5,047,275 | |
| | 5,600,000 | | | Adaro Indonesia PT | | | 4.25% | | | 10/31/2024 | | | 5,587,430 | |
| | 5,066,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | | | 6.45% | | | 04/15/2027 | | | 5,308,773 | |
| | 6,798,017 | | | AI Candelaria Spain SA | | | 7.50% | | | 12/15/2028 | | | 6,746,099 | |
| | 1,011,000 | | | Algonquin Power & Utilities Corp. | | | 5.37%(d) | | | 06/15/2026 | | | 1,023,679 | |
| | 6,033,000 | | | Avolon Holdings Funding Ltd. | | | 2.13%(a) | | | 02/21/2026 | | | 5,806,221 | |
| | 3,200,000 | | | Axiata SPV2 Bhd | | | 4.36% | | | 03/24/2026 | | | 3,201,386 | |
| | 6,285,000 | | | BAE Systems PLC | | | 5.00%(a) | | | 03/26/2027 | | | 6,388,017 | |
| | 400,000 | | | Banco Bilbao Vizcaya Argentaria Colombia SA | | | 4.88% | | | 04/21/2025 | | | 397,644 | |
| | 2,300,000 | | | Banco BTG Pactual SA/Cayman Islands | | | 4.50% | | | 01/10/2025 | | | 2,292,975 | |
| | 3,000,000 | | | Banco Continental SAECA | | | 2.75%(a) | | | 12/10/2025 | | | 2,909,433 | |
| | 400,000 | | | Banco Continental SAECA | | | 2.75% | | | 12/10/2025 | | | 387,924 | |
| | 6,000,000 | | | Banco de Bogota SA | | | 6.25% | | | 05/12/2026 | | | 6,035,628 | |
| | 3,050,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 3.00%) | | | 3.13% | | | 07/01/2030 | | | 2,981,423 | |
| | 9,350,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 2.45%) | | | 3.25%(a) | | | 09/30/2031 | | | 8,873,625 | |
| | 1,800,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 2.45%) | | | 3.25% | | | 09/30/2031 | | | 1,708,291 | |
| | 8,800,000 | | | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa | | | 4.38% | | | 04/11/2027 | | | 8,657,269 | |
| | 6,250,000 | | | Banco Industrial SA/Guatemala
(5 yr. CMT Rate + 4.44%) | | | 4.88% | | | 01/29/2031 | | | 6,168,000 | |
| | 11,900,000 | | | Banco Internacional del Peru SAA Interbank
(5 yr. CMT Rate + 3.71%) | | | 4.00% | | | 07/08/2030 | | | 11,714,111 | |
| | 4,400,000 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
(5 yr. CMT Rate + 3.00%) | | | 7.53% | | | 10/01/2028 | | | 4,645,282 | |
| | 2,600,000 | | | Banco Santander SA
(1 yr. CMT Rate + 0.95%) | | | 5.37% | | | 07/15/2028 | | | 2,661,924 | |
| | 11,800,000 | | | Bancolombia SA
(5 yr. CMT Rate + 2.94%) | | | 4.63% | | | 12/18/2029 | | | 11,687,638 | |
| | 2,605,000 | | | Bank of Montreal | | | 1.50% | | | 01/10/2025 | | | 2,581,049 | |
| | 5,170,000 | | | Bank of Montreal
(SOFR + 1.25%) | | | 4.64% | | | 09/10/2030 | | | 5,227,041 | |
| | 2,688,000 | | | Bank of Nova Scotia | | | 4.75% | | | 02/02/2026 | | | 2,706,761 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 67
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 3,852,000 | | | Barclays PLC
(SOFR + 1.34%) | | | 4.84% | | | 09/10/2028 | | | 3,885,214 | |
| | 3,484,000 | | | BAT International Finance PLC | | | 1.67% | | | 03/25/2026 | | | 3,348,689 | |
| | 6,221,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 3.00%) | | | 5.35% | | | 11/12/2029 | | | 6,196,329 | |
| | 6,150,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 2.65%) | | | 5.13% | | | 01/18/2033 | | | 5,854,247 | |
| | 6,664,000 | | | Bharti Airtel Ltd. | | | 4.38% | | | 06/10/2025 | | | 6,643,151 | |
| | 2,510,000 | | | BMW US Capital LLC
(SOFR + 0.62%) | | | 5.71%(a) | | | 08/11/2025 | | | 2,516,844 | |
| | 5,185,000 | | | BPCE SA | | | 2.38%(a) | | | 01/14/2025 | | | 5,143,153 | |
| | 8,800,000 | | | Braskem Netherlands Finance BV (5 yr. CMT Rate + 8.22%) | | | 8.50% | | | 01/23/2081 | | | 8,815,101 | |
| | 1,127,000 | | | BRF GmbH | | | 4.35% | | | 09/29/2026 | | | 1,102,952 | |
| | 1,750,000 | | | Camposol SA | | | 6.00% | | | 02/03/2027 | | | 1,577,420 | |
| | 3,065,000 | | | Canadian Imperial Bank of Commerce | | | 3.95% | | | 08/04/2025 | | | 3,053,063 | |
| | 5,400,000 | | | Cemex SAB de CV | | | 5.45% | | | 11/19/2029 | | | 5,475,395 | |
| | 1,400,000 | | | Cencosud SA | | | 4.38% | | | 07/17/2027 | | | 1,386,796 | |
| | 11,857,149 | | | Chile Electricity PEC SpA | | | 0.00%(a) | | | 01/25/2028 | | | 9,782,148 | |
| | 6,100,000 | | | Cia de Minas Buenaventura SAA | | | 5.50% | | | 07/23/2026 | | | 6,023,835 | |
| | 4,100,000 | | | Comision Federal de Electricidad | | | 4.75% | | | 02/23/2027 | | | 4,067,403 | |
| | 4,920,000 | | | Commonwealth Bank of Australia (SOFR + 0.40%) | | | 5.69%(a) | | | 07/07/2025 | | | 4,924,131 | |
| | 8,100,000 | | | Cosan Luxembourg SA | | | 7.00% | | | 01/20/2027 | | | 8,150,406 | |
| | 1,400,000 | | | Credicorp Ltd. | | | 2.75% | | | 06/17/2025 | | | 1,374,237 | |
| | 3,556,000 | | | Credit Agricole SA
(SOFR + 1.00%) | | | 4.63%(a) | | | 09/11/2028 | | | 3,572,806 | |
| | 13,000,000 | | | DBS Group Holdings Ltd.
(5 yr. CMT Rate + 1.10%) | | | 1.82% | | | 03/10/2031 | | | 12,501,034 | |
| | 192,410 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(c) | | | 12/31/2030 | | | 2,672 | |
| | 654,400 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(c) | | | 12/31/2030 | | | 83,823 | |
| | 1,579 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(c) | | | 12/31/2030 | | | 1,561 | |
| | 8,333,000 | | | Ecopetrol SA | | | 5.38% | | | 06/26/2026 | | | 8,320,834 | |
| | 5,018,000 | | | Element Fleet Management Corp. | | | 6.32%(a) | | | 12/04/2028 | | | 5,349,978 | |
| | 1,868,350 | | | Empresa Electrica Angamos SA | | | 4.88% | | | 05/25/2029 | | | 1,692,347 | |
| | 2,531,910 | | | Empresa Electrica Cochrane SpA | | | 5.50% | | | 05/14/2027 | | | 2,471,701 | |
| | 4,200,000 | | | Empresas Publicas de Medellin ESP | | | 4.25% | | | 07/18/2029 | | | 3,845,303 | |
| | 2,994,000 | | | Enel Finance International NV | | | 5.13%(a) | | | 06/26/2029 | | | 3,067,891 | |
| | 8,614,706 | | | Fenix Power Peru SA | | | 4.32% | | | 09/20/2027 | | | 8,497,071 | |
| | 1,350,000 | | | Freeport Indonesia PT | | | 4.76%(a) | | | 04/14/2027 | | | 1,361,142 | |
| | 6,050,000 | | | Freeport Indonesia PT | | | 4.76% | | | 04/14/2027 | | | 6,099,932 | |
| | 5,950,000 | | | Freeport-McMoRan, Inc. | | | 5.00% | | | 09/01/2027 | | | 5,977,882 | |
| | 5,350,000 | | | Freeport-McMoRan, Inc. | | | 4.13% | | | 03/01/2028 | | | 5,314,749 | |
| | 6,415,654 | | | Galaxy Pipeline Assets Bidco Ltd. | | | 1.75% | | | 09/30/2027 | | | 6,143,304 | |
| | 5,070,000 | | | Glencore Funding LLC | | | 4.00%(a) | | | 04/16/2025 | | | 5,044,472 | |
| | 3,985,000 | | | Glencore Funding LLC
(SOFR + 1.06%) | | | 6.36%(a) | | | 04/04/2027 | | | 4,003,849 | |
| | 3,779,000 | | | Global Bank Corp.
(3 mo. LIBOR US + 3.30%) | | | 5.25%(e) | | | 04/16/2029 | | | 3,709,032 | |
| | 5,825,160 | | | GNL Quintero SA | | | 4.63% | | | 07/31/2029 | | | 5,800,463 | |
| | 2,400,000 | | | Gold Fields Orogen Holdings BVI Ltd. | | | 6.13% | | | 05/15/2029 | | | 2,519,964 | |
| | 3,615,000 | | | Grupo de Inversiones Suramericana SA | | | 5.50% | | | 04/29/2026 | | | 3,603,624 | |
| | 8,447,130 | | | Guara Norte Sarl | | | 5.20% | | | 06/15/2034 | | | 8,052,067 | |
| | 709,104 | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru | | | 6.38%(a) | | | 06/01/2028 | | | 713,611 | |
| | 3,000,000 | | | Industrias Penoles SAB de CV | | | 4.15% | | | 09/12/2029 | | | 2,904,928 | |
| | 1,000,000 | | | InRetail Consumer | | | 3.25% | | | 03/22/2028 | | | 938,719 | |
| | 4,500,000 | | | InRetail Shopping Malls | | | 5.75% | | | 04/03/2028 | | | 4,535,104 | |
| | 2,168,000 | | | Intercorp Financial Services, Inc. | | | 4.13% | | | 10/19/2027 | | | 2,096,610 | |
| | 360,287 | | | Interoceanica IV Finance Ltd.
Series 2007 | | | 0.00%(c) | | | 11/30/2025 | | | 344,074 | |
| | 8,000,000 | | | Itau Unibanco Holding SA/Cayman Island
(5 yr. CMT Rate + 3.45%) | | | 3.88% | | | 04/15/2031 | | | 7,819,175 | |
| | 500,000 | | | JBS USA Holding Lux Sarl/ JBS USA Food Co./ JBS Lux Co. Sarl | | | 2.50% | | | 01/15/2027 | | | 478,794 | |
| | 900,000 | | | JBS USA Holding Lux Sarl/ JBS USA Food Co./ JBS Lux Co. Sarl | | | 3.00% | | | 02/02/2029 | | | 838,169 | |
| | 2,546,000 | | | JSW Hydro Energy Ltd. | | | 4.13% | | | 05/18/2031 | | | 2,327,056 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 1,000,000 | | | Kallpa Generacion SA | | | 4.88% | | | 05/24/2026 | | | 1,001,685 | |
| | 2,000,000 | | | KUO SAB De CV | | | 5.75% | | | 07/07/2027 | | | 1,967,167 | |
| | 4,600,000 | | | LG Chem Ltd. | | | 3.25% | | | 10/15/2024 | | | 4,596,716 | |
| | 166,948 | | | Lima Metro Line 2 Finance Ltd. | | | 4.35% | | | 04/05/2036 | | | 156,576 | |
| | 3,500,000 | | | Medco Oak Tree Pte Ltd. | | | 7.38% | | | 05/14/2026 | | | 3,556,035 | |
| | 300,000 | | | MEGlobal BV | | | 4.25% | | | 11/03/2026 | | | 296,716 | |
| | 11,800,000 | | | MEGlobal Canada ULC | | | 5.00%(a) | | | 05/18/2025 | | | 11,795,215 | |
| | 200,000 | | | MEGlobal Canada ULC | | | 5.00% | | | 05/18/2025 | | | 199,919 | |
| | 3,939,928 | | | Mexico Generadora de Energia S de RL | | | 5.50% | | | 12/06/2032 | | | 3,937,646 | |
| | 3,235,500 | | | Millicom International Cellular SA | | | 6.63% | | | 10/15/2026 | | | 3,238,493 | |
| | 5,400,000 | | | Millicom International Cellular SA | | | 5.13% | | | 01/15/2028 | | | 5,250,140 | |
| | 5,200,000 | | | Minerva Luxembourg SA | | | 5.88% | | | 01/19/2028 | | | 5,204,273 | |
| | 6,405,000 | | | Mitsubishi UFJ Financial Group, Inc. | | | 3.78% | | | 03/02/2025 | | | 6,375,923 | |
| | 2,496,000 | | | Mizuho Financial Group, Inc.
(SOFR + 0.96%) | | | 6.01% | | | 05/22/2026 | | | 2,504,704 | |
| | 1,475,741 | | | Mong Duong Finance Holdings BV | | | 5.13% | | | 05/07/2029 | | | 1,433,176 | |
| | 800,000 | | | Multibank, Inc. | | | 7.75%(a) | | | 02/03/2028 | | | 840,788 | |
| | 6,925,216 | | | MV24 Capital BV | | | 6.75% | | | 06/01/2034 | | | 6,776,576 | |
| | 5,143,000 | | | NatWest Group PLC
(1 yr. CMT Rate + 1.22%) | | | 4.96% | | | 08/15/2030 | | | 5,224,514 | |
| | 9,000,000 | | | NBM US Holdings, Inc. | | | 7.00% | | | 05/14/2026 | | | 9,065,115 | |
| | 3,500,000 | | | Network i2i Ltd.
(5 yr. CMT Rate + 4.27%) | | | 5.65%(f) | | | 01/15/2025 | | | 3,509,643 | |
| | 200,000 | | | Nexa Resources SA | | | 5.38% | | | 05/04/2027 | | | 200,450 | |
| | 2,400,000 | | | Nexa Resources SA | | | 6.50% | | | 01/18/2028 | | | 2,480,328 | |
| | 4,035,000 | | | Nutrien Ltd. | | | 4.90% | | | 03/27/2028 | | | 4,117,054 | |
| | 5,400,000 | | | Orazul Energy Peru SA | | | 5.63% | | | 04/28/2027 | | | 5,317,785 | |
| | 1,200,000 | | | Oversea-Chinese Banking Corp. Ltd. (5 yr. CMT Rate + 1.58%) | | | 1.83% | | | 09/10/2030 | | | 1,165,831 | |
| | 9,000,000 | | | Oversea-Chinese Banking Corp. Ltd. (5 yr. CMT Rate + 1.58%) | | | 1.83%(a) | | | 09/10/2030 | | | 8,743,732 | |
| | 3,484,615 | | | Prumo Participacoes e Investimentos S/A | | | 7.50% | | | 12/31/2031 | | | 3,501,801 | |
| | 10,000,000 | | | Reliance Industries Ltd. | | | 4.13% | | | 01/28/2025 | | | 9,969,867 | |
| | 2,390,000 | | | Royal Bank of Canada
(SOFR + 0.53%) | | | 5.74% | | | 01/20/2026 | | | 2,390,730 | |
| | 1,300,000 | | | Sasol Financing USA LLC | | | 4.38% | | | 09/18/2026 | | | 1,263,735 | |
| | 6,400,000 | | | Sociedad Quimica y Minera de Chile SA | | | 4.38% | | | 01/28/2025 | | | 6,388,424 | |
| | 1,128,000 | | | South Bow USA Infrastructure Holdings LLC | | | 4.91%(a) | | | 09/01/2027 | | | 1,136,912 | |
| | 2,546,000 | | | Southern Copper Corp. | | | 3.88% | | | 04/23/2025 | | | 2,528,326 | |
| | 3,500,000 | | | Suzano International Finance BV | | | 4.00% | | | 01/14/2025 | | | 3,490,107 | |
| | 1,965,000 | | | Telefonica Celular del Paraguay SA | | | 5.88% | | | 04/15/2027 | | | 1,950,174 | |
| | 2,960,000 | | | Transportadora de Gas del Peru SA | | | 4.25% | | | 04/30/2028 | | | 2,911,951 | |
| | 8,000,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.52%) | | | 1.75% | | | 03/16/2031 | | | 7,669,440 | |
| | 3,200,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.23%) | | | 2.00% | | | 10/14/2031 | | | 3,032,812 | |
| | 3,765,000 | | | Westpac Banking Corp.
(SOFR + 0.72%) | | | 5.78% | | | 11/17/2025 | | | 3,778,924 | |
| | | | | Total Foreign Corporate Bonds
(Cost $495,639,543) | | | | | | 498,267,282 | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 1.8% | |
| | 7,486,000 | | | Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%) | | | 2.72% | | | 08/11/2031 | | | 6,858,056 | |
| | 4,600,000 | | | Bank Negara Indonesia Persero Tbk PT | | | 3.75% | | | 03/30/2026 | | | 4,490,232 | |
| | 2,428,257 | | | Bioceanico Sovereign Certificate Ltd. | | | 0.00% | | | 06/05/2034 | | | 1,912,414 | |
| | 17,400,000 | | | Colombia Government International Bond | | | 4.50% | | | 01/28/2026 | | | 17,240,995 | |
| | 5,300,000 | | | Comision Federal de Electricidad | | | 5.70%(a) | | | 01/24/2030 | | | 5,315,635 | |
| | 6,000,000 | | | Guatemala Government Bond | | | 4.50% | | | 05/03/2026 | | | 5,927,657 | |
| | 11,300,000 | | | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT | | | 4.75% | | | 05/15/2025 | | | 11,279,809 | |
| | | | | | | | | | | | | | | |
68
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 1,500,000 | | | Korea East-West Power Co. Ltd. | | | 1.75%(a) | | | 05/06/2025 | | | 1,474,538 | |
| | 2,000,000 | | | Korea East-West Power Co. Ltd. | | | 1.75% | | | 05/06/2025 | | | 1,966,051 | |
| | 1,500,000 | | | Korea Hydro & Nuclear Power Co. Ltd. | | | 1.25%(a) | | | 04/27/2026 | | | 1,430,919 | |
| | 3,500,000 | | | Korea Southern Power Co. Ltd. | | | 0.75%(a) | | | 01/27/2026 | | | 3,339,357 | |
| | 2,613,045 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 2,656,496 | |
| | 1,000,000 | | | Oleoducto Central SA | | | 4.00% | | | 07/14/2027 | | | 958,092 | |
| | 2,000,000 | | | Panama Government International Bond | | | 3.75% | | | 03/16/2025 | | | 1,989,461 | |
| | 500,000 | | | Paraguay Government International Bond | | | 5.00% | | | 04/15/2026 | | | 501,222 | |
| | 6,100,000 | | | Paraguay Government International Bond | | | 4.70% | | | 03/27/2027 | | | 6,096,947 | |
| | 11,000,000 | | | Pertamina Persero PT | | | 1.40% | | | 02/09/2026 | | | 10,542,479 | |
| | 1,400,000 | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | | 4.13% | | | 05/15/2027 | | | 1,388,532 | |
| | 4,300,000 | | | Peruvian Government International Bond | | | 2.39% | | | 01/23/2026 | | | 4,175,292 | |
| | 3,634,000 | | | Petrobras Global Finance BV | | | 7.38% | | | 01/17/2027 | | | 3,811,063 | |
| | 1,800,000 | | | Republic of South Africa Government International Bond | | | 4.88% | | | 04/14/2026 | | | 1,801,031 | |
| | 11,200,000 | | | TNB Global Ventures Capital Bhd | | | 3.24% | | | 10/19/2026 | | | 10,945,384 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $106,796,808) | | | | | | 106,101,662 | |
| | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 15.4% | |
| | | | | ACREC Trust | |
| | 11,574,828 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor) | | | 6.28%(a) | | | 10/16/2036 | | | 11,582,560 | |
| | | | | Arbor Multifamily Mortgage Securities Trust | |
| | 14,340,000 | | | Series 2021-MF2-A2 | | | 2.02%(a) | | | 06/15/2054 | | | 13,633,391 | |
| | | | | Arbor Realty Trust, Inc. | |
| | 5,000,000 | | | Series 2021-FL1-AS (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.41%(a) | | | 12/15/2035 | | | 4,977,810 | |
| | 14,145,111 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.18%, 1.18% Floor) | | | 6.28%(a) | | | 08/15/2034 | | | 14,129,919 | |
| | 11,711,949 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.56%(a) | | | 11/15/2036 | | | 11,730,466 | |
| | 16,463,657 | | | Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor) | | | 6.79%(a) | | | 01/15/2037 | | | 16,406,380 | |
| | 15,262,119 | | | Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor) | | | 6.95%(a) | | | 05/15/2037 | | | 15,284,890 | |
| | | | | AREIT Trust | |
| | 6,265,766 | | | Series 2022-CRE6-A (30 day avg SOFR US + 1.25%, 1.25% Floor) | | | 6.59%(a) | | | 01/20/2037 | | | 6,264,808 | |
| | | | | Ares Commercial Real Estate Corp. | |
| | 3,826,584 | | | Series 2021-FL4-AS (1 mo. Term SOFR + 1.21%, 1.10% Floor) | | | 6.23%(a) | | | 12/18/2037 | | | 3,778,109 | |
| | | | | Atrium Hotel Portfolio Trust | |
| | 2,579,000 | | | Series 2018-ATRM-A (1 mo. Term SOFR + 1.25%, 0.95% Floor) | | | 6.34%(a) | | | 06/15/2035 | | | 2,577,192 | |
| | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc. | |
| | 30,301,745 | | | Series 2016-UB10-XA | | | 1.88%(b)(g) | | | 07/15/2049 | | | 505,406 | |
| | | | | Banc of America Re-Remic Trust | |
| | 2,350,000 | | | Series 2015-200P-A | | | 3.22%(a) | | | 04/14/2033 | | | 2,314,011 | |
| | | | | BANK | |
| | 65,987,701 | | | Series 2017-BNK5-XA | | | 1.07%(b)(g) | | | 06/15/2060 | | | 1,388,249 | |
| | 79,893,593 | | | Series 2017-BNK6-XA | | | 0.90%(b)(g) | | | 07/15/2060 | | | 1,397,059 | |
| | 21,123,102 | | | Series 2019-BN20-XA | | | 0.93%(b)(g) | | | 09/15/2062 | | | 692,945 | |
| | 188,830,883 | | | Series 2020-BN26-XA | | | 1.32%(b)(g) | | | 03/15/2063 | | | 9,418,110 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 3,021,000 | | | Series 2021-BN34-ASB | | | 2.19% | | | 06/15/2063 | | | 2,761,900 | |
| | 2,310,000 | | | Series 2024-BNK48-A1 | | | 4.33% | | | 10/15/2029 | | | 2,312,860 | |
| | | | | BANK5 Trust | |
| | 3,644,299 | | | Series 2023-5YR2-A1 | | | 6.20% | | | 07/15/2056 | | | 3,739,605 | |
| | 3,340,371 | | | Series 2024-5YR8-A1 | | | 5.19% | | | 08/15/2057 | | | 3,395,212 | |
| | | | | BBCMS Trust | |
| | 77,348,914 | | | Series 2017-C1-XA | | | 1.61%(b)(g) | | | 02/15/2050 | | | 2,046,938 | |
| | 17,989,000 | | | Series 2018-TALL-A (1 mo. Term SOFR + 0.92%, 0.87% Floor) | | | 6.02%(a) | | | 03/15/2037 | | | 17,031,075 | |
| | 117,395,077 | | | Series 2020-C6-XA | | | 1.15%(b)(g) | | | 02/15/2053 | | | 4,901,338 | |
| | 59,000,000 | | | Series 2020-C6-XB | | | 0.79%(b)(g) | | | 02/15/2053 | | | 2,026,361 | |
| | 313,893 | | | Series 2023-C19-A1 | | | 5.70% | | | 04/15/2056 | | | 318,606 | |
| | 1,602,578 | | | Series 2023-C22-A1 | | | 6.36% | | | 11/15/2056 | | | 1,668,453 | |
| | | | | BDS Ltd. | |
| | 955,465 | | | Series 2021-FL7-A (1 mo. Term SOFR + 1.18%, 1.07% Floor) | | | 6.20%(a) | | | 06/16/2036 | | | 952,874 | |
| | 14,000,000 | | | Series 2024-FL13-A (1 mo. Term SOFR + 1.58%, 1.58% Floor) | | | 6.78%(a) | | | 09/19/2039 | | | 14,042,168 | |
| | | | | Benchmark Mortgage Trust | |
| | 82,093,714 | | | Series 2018-B1-XA | | | 0.66%(b)(g) | | | 01/15/2051 | | | 1,172,807 | |
| | 174,171,253 | | | Series 2020-B16-XA | | | 0.92%(b)(g) | | | 02/15/2053 | | | 6,671,282 | |
| | 35,720,000 | | | Series 2020-IG1-XB | | | 0.24%(b)(g) | | | 09/15/2043 | | | 280,223 | |
| | 2,015,720 | | | Series 2023-B39-A1 | | | 6.04% | | | 07/15/2056 | | | 2,055,376 | |
| | 1,316,935 | | | Series 2023-V2-A1 | | | 5.85% | | | 05/15/2055 | | | 1,328,225 | |
| | 1,152,994 | | | Series 2024-V8-A1 | | | 5.51% | | | 07/15/2057 | | | 1,177,529 | |
| | | | | Blackstone Mortgage Trust, Inc. | |
| | 19,256,970 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.16%, 1.05% Floor) | | | 6.25%(a) | | | 05/15/2038 | | | 18,546,907 | |
| | | | | BMO Mortgage Trust | |
| | 2,178,044 | | | Series 2023-C5-A1 | | | 5.74% | | | 06/15/2056 | | | 2,212,700 | |
| | 955,096 | | | Series 2024-5C4-A1 | | | 6.02% | | | 05/15/2057 | | | 983,093 | |
| | 1,070,000 | | | Series 2024-5C6-A1 | | | 4.59% | | | 09/15/2057 | | | 1,071,290 | |
| | | | | BPR Trust | |
| | 8,789,000 | | | Series 2021-TY-A (1 mo. Term SOFR + 1.16%, 1.05% Floor) | | | 6.26%(a) | | | 09/15/2038 | | | 8,718,676 | |
| | | | | BrightSpire Capital, Inc. | |
| | 12,458,123 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor) | | | 6.23%(a) | | | 08/19/2038 | | | 12,417,435 | |
| | 6,000,000 | | | Series 2021-FL1-AS (1 mo. Term SOFR + 1.71%, 1.60% Floor) | | | 6.68%(a) | | | 08/19/2038 | | | 5,960,916 | |
| | 11,380,000 | | | Series 2024-FL2-A (1 mo. Term SOFR + 1.95%, 1.95% Floor) | | | 6.91%(a) | | | 08/19/2037 | | | 11,401,508 | |
| | | | | BSPRT Co.-Issuer LLC | |
| | 10,136,823 | | | Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor) | | | 6.31%(a) | | | 03/15/2036 | | | 10,107,943 | |
| | 14,000,000 | | | Series 2023-FL10-A (1 mo. Term SOFR + 2.26%, 2.26% Floor) | | | 7.36%(a) | | | 09/15/2035 | | | 14,117,362 | |
| | 5,000,000 | | | Series 2023-FL10-AS (1 mo. Term SOFR + 2.86%, 2.86% Floor) | | | 7.96%(a) | | | 09/15/2035 | | | 5,056,615 | |
| | | | | BSREP Commercial Mortgage Trust | |
| | 7,628,086 | | | Series 2021-DC-A (1 mo. Term SOFR + 1.06%, 0.95% Floor) | | | 6.16%(a) | | | 08/15/2038 | | | 7,071,949 | |
| | | | | BX Trust | |
| | 6,893,217 | | | Series 2020-VKNG-A (1 mo. Term SOFR + 1.04%, 0.93% Floor) | | | 6.14%(a) | | | 10/15/2037 | | | 6,878,211 | |
| | 3,908,430 | | | Series 2021-21M-A (1 mo. Term SOFR + 0.84%, 0.73% Floor) | | | 5.94%(a) | | | 10/15/2036 | | | 3,883,808 | |
| | 512,441 | | | Series 2021-MFM1-A (1 mo. Term SOFR + 0.81%, 0.70% Floor) | | | 5.91%(a) | | | 01/15/2034 | | | 510,383 | |
| | 7,752,000 | | | Series 2021-VIEW-A (1 mo. Term SOFR + 1.39%, 1.28% Floor) | | | 6.49%(a) | | | 06/15/2036 | | | 7,606,825 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 69
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 1,001,000 | | | Series 2021-VOLT-B (1 mo. Term SOFR + 1.06%, 0.95% Floor) | | | 6.16%(a) | | | 09/15/2036 | | | 992,335 | |
| | 9,376,902 | | | Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor) | | | 5.90%(a) | | | 10/15/2038 | | | 9,306,195 | |
| | 3,096,201 | | | Series 2022-PSB-A (1 mo. Term SOFR + 2.45%, 2.45% Floor) | | | 7.55%(a) | | | 08/15/2039 | | | 3,107,812 | |
| | | | | BXMT Ltd. | |
| | 721,339 | | | Series 2020-FL2-A (1 mo. Term SOFR + 1.01%, 1.01% Floor) | | | 6.10%(a) | | | 02/15/2038 | | | 694,274 | |
| | | | | CFCRE Commercial Mortgage Trust | |
| | 42,452,000 | | | Series 2017-C8-XB | | | 1.06%(b)(g) | | | 06/15/2050 | | | 869,744 | |
| | | | | CFK Trust | |
| | 116,365,000 | | | Series 2020-MF2-X | | | 0.89%(a)(b)(g) | | | 03/15/2039 | | | 1,827,361 | |
| | | | | Citigroup Commercial Mortgage Trust | |
| | 3,099,807 | | | Series 2015-P1-A4 | | | 3.46% | | | 09/15/2048 | | | 3,073,765 | |
| | 29,663,450 | | | Series 2016-GC36-XA | | | 1.36%(b)(g) | | | 02/10/2049 | | | 327,268 | |
| | 7,054,738 | | | Series 2016-P3-A3 | | | 3.06% | | | 04/15/2049 | | | 6,928,568 | |
| | 50,464,610 | | | Series 2016-P3-XA | | | 1.81%(b)(g) | | | 04/15/2049 | | | 675,449 | |
| | 6,330,745 | | | Series 2017-P7-A3 | | | 3.44% | | | 04/14/2050 | | | 6,171,100 | |
| | | | | Citigroup/Deutsche Bank Commercial Mortgage Trust | |
| | 700,000 | | | Series 2016-C3-A5 | | | 2.89% | | | 08/10/2049 | | | 675,742 | |
| | 20,179,915 | | | Series 2017-CD4-XA | | | 1.37%(b)(g) | | | 05/10/2050 | | | 493,338 | |
| | | | | Commercial Mortgage Pass Through Certificates | |
| | 7,488,121 | | | Series 2013-CR12-XA | | | 0.74%(b)(g) | | | 10/10/2046 | | | 152 | |
| | 131,775,229 | | | Series 2015-CR25-XA | | | 0.93%(b)(g) | | | 08/10/2048 | | | 511,565 | |
| | 6,818,000 | | | Series 2015-DC1-A5 | | | 3.35% | | | 02/10/2048 | | | 6,778,318 | |
| | 1,009,319 | | | Series 2016-COR1-A3 | | | 2.83% | | | 10/10/2049 | | | 974,245 | |
| | 500,000 | | | Series 2016-COR1-A4 | | | 3.09% | | | 10/10/2049 | | | 482,554 | |
| | 8,000,000 | | | Series 2018-HCLV-A (1 mo. Term SOFR + 1.30%, 1.00% Floor) | | | 6.39%(a) | | | 09/15/2033 | | | 7,426,954 | |
| | | | | Computershare Corporate Trust | |
| | 23,291,730 | | | Series 2015-LC22-XA | | | 0.88%(b)(g) | | | 09/15/2058 | | | 105,849 | |
| | 4,899,004 | | | Series 2019-C50-A4 | | | 3.47% | | | 05/15/2052 | | | 4,709,996 | |
| | 155,408,626 | | | Series 2019-C51-XA | | | 1.41%(b)(g) | | | 06/15/2052 | | | 7,565,354 | |
| | 11,851,000 | | | Series 2021-C60-A2 | | | 2.04% | | | 08/15/2054 | | | 11,232,963 | |
| | 3,201,089 | | | Series 2021-SAVE-A (1 mo. Term SOFR + 1.26%, 1.15% Floor) | | | 6.36%(a) | | | 02/15/2040 | | | 3,182,387 | |
| | 935,685 | | | Series 2024-C63-A1 | | | 4.89% | | | 08/15/2057 | | | 946,839 | |
| | | | | CSAIL Commercial Mortgage Trust | |
| | 1,751,845 | | | Series 2015-C3-A3 | | | 3.45% | | | 08/15/2048 | | | 1,734,869 | |
| | 86,566,920 | | | Series 2017-C8-XA | | | 1.21%(b)(g) | | | 06/15/2050 | | | 1,900,637 | |
| | 1,393,207 | | | Series 2017-CX9-A4 | | | 3.18% | | | 09/15/2050 | | | 1,348,872 | |
| | 9,795,402 | | | Series 2017-CX9-XA | | | 0.73%(b)(g) | | | 09/15/2050 | | | 107,163 | |
| | | | | DBCG Mortgage Trust | |
| | 12,925,000 | | | Series 2017-BBG-B (Prime Rate + 0.00%, 0.00% Floor) | | | 8.50%(a) | | | 06/15/2034 | | | 12,924,875 | |
| | | | | Del Amo Fashion Center Trust | |
| | 6,850,000 | | | Series 2017-AMO-A | | | 3.76%(a)(b) | | | 06/05/2035 | | | 6,503,067 | |
| | | | | EQUS Mortgage Trust | |
| | 13,292,734 | | | Series 2021-EQAZ-A (1 mo. Term SOFR + 0.87%, 0.76% Floor) | | | 5.97%(a) | | | 10/15/2038 | | | 13,193,850 | |
| | | | | Extended Stay America Trust | |
| | 4,971,977 | | | Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor) | | | 6.29%(a) | | | 07/15/2038 | | | 4,969,770 | |
| | | | | Franklin BSP Realty Trust, Inc. | |
| | 11,213,859 | | | Series 2021-FL7-A (1 mo. Term SOFR + 1.43%, 1.43% Floor) | | | 6.53%(a) | | | 12/15/2038 | | | 11,212,614 | |
| | 8,280,421 | | | Series 2022-FL8-A (30 day avg SOFR US + 1.50%, 1.50% Floor) | | | 6.84%(a) | | | 02/15/2037 | | | 8,267,424 | |
| | | | | FS Rialto | |
| | 14,793,174 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor) | | | 6.43%(a) | | | 05/16/2038 | | | 14,745,259 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 8,124,041 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.46%(a) | | | 11/16/2036 | | | 8,121,710 | |
| | | | | FS RIALTO | |
| | 3,409,662 | | | Series 2019-FL1-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.41%(a) | | | 12/16/2036 | | | 3,405,059 | |
| | 3,000,000 | | | Series 2019-FL1-AS (1 mo. Term SOFR + 1.56%, 1.45% Floor) | | | 6.66%(a) | | | 12/16/2036 | | | 2,988,525 | |
| | 2,880,000 | | | Series 2019-FL1-B (1 mo. Term SOFR + 2.01%, 1.90% Floor) | | | 7.11%(a) | | | 12/16/2036 | | | 2,862,297 | |
| | | | | Granite Point Mortgage Trust, Inc. | |
| | 9,092,011 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.38%(a) | | | 07/16/2035 | | | 8,993,999 | |
| | 9,185,821 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.35% Floor) | | | 6.38%(a) | | | 12/15/2036 | | | 9,081,672 | |
| | | | | Great Wolf Trust | |
| | 4,500,000 | | | Series 2024-WLF2-A (1 mo. Term SOFR + 1.69%) | | | 6.79%(a) | | | 05/15/2041 | | | 4,507,807 | |
| | 13,500,000 | | | Series 2024-WOLF-A (1 mo. Term SOFR + 1.54%, 1.54% Floor) | | | 6.64%(a) | | | 03/15/2039 | | | 13,491,869 | |
| | | | | Greystone Commercial Real Estate Notes | |
| | 17,313,850 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor) | | | 6.23%(a) | | | 07/15/2039 | | | 17,286,927 | |
| | | | | GS Mortgage Securities Corp. II | |
| | 1,728,164 | | | Series 2013-GC13-AS | | | 4.00%(a)(b) | | | 07/10/2046 | | | 1,654,513 | |
| | 951,483 | | | Series 2014-GC26-A5 | | | 3.63% | | | 11/10/2047 | | | 949,970 | |
| | 103,931,192 | | | Series 2017-GS6-XA | | | 1.15%(b)(g) | | | 05/10/2050 | | | 2,119,167 | |
| | 125,073,748 | | | Series 2017-GS7-XA | | | 1.22%(b)(g) | | | 08/10/2050 | | | 2,892,756 | |
| | 134,104,253 | | | Series 2017-GS8-XA | | | 1.07%(b)(g) | | | 11/10/2050 | | | 3,014,959 | |
| | 2,615,000 | | | Series 2018-TWR-A (1 mo. Term SOFR + 1.20%, 0.90% Floor) | | | 6.29%(a) | | | 07/15/2031 | | | 2,155,414 | |
| | 51,125,577 | | | Series 2019-GC42-XA | | | 0.93%(b)(g) | | | 09/10/2052 | | | 1,609,725 | |
| | 9,296,000 | | | Series 2021-IP-A (1 mo. Term SOFR + 1.06%, 0.95% Floor) | | | 6.16%(a) | | | 10/15/2036 | | | 9,223,186 | |
| | 6,615,000 | | | Series 2023-SHIP-A | | | 4.47%(a)(b) | | | 09/10/2038 | | | 6,564,150 | |
| | | | | HERA Commercial Mortgage | |
| | 481,108 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.16%, 1.05% Floor) | | | 6.18%(a) | | | 02/18/2038 | | | 474,491 | |
| | | | | HGI CRE CLO Ltd. | |
| | 1,003,310 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.16%, 1.16% Floor) | | | 6.26%(a) | | | 06/16/2036 | | | 1,002,383 | |
| | | | | HIG RCP LLC | |
| | 13,861,400 | | | Series 2023-FL1-AS (1 mo. Term SOFR + 3.11%, 3.11% Floor) | | | 8.20%(a) | | | 09/19/2038 | | | 13,915,723 | |
| | | | | JP Morgan Chase Commercial Mortgage Securities | |
| | 55,069,623 | | | Series 2016-JP4-XA | | | 0.71%(b)(g) | | | 12/15/2049 | | | 500,269 | |
| | 1,141,000 | | | Series 2019-COR5-A3 | | | 3.12% | | | 06/13/2052 | | | 1,073,324 | |
| | 24,238,538 | | | Series 2019-COR5-XA | | | 1.61%(b)(g) | | | 06/13/2052 | | | 1,197,842 | |
| | 59,178,200 | | | Series 2020-ACE-XA | | | 0.47%(a)(b)(g) | | | 01/10/2037 | | | 49,769 | |
| | | | | JPMBB Commercial Mortgage Securities Trust | |
| | 2,550,000 | | | Series 2014-C25-B | | | 4.35%(b) | | | 11/15/2047 | | | 2,337,473 | |
| | 3,622,080 | | | Series 2015-C27-A4 | | | 3.18% | | | 02/15/2048 | | | 3,550,500 | |
| | 1,170,268 | | | Series 2015-C30-A4 | | | 3.55% | | | 07/15/2048 | | | 1,158,701 | |
| | 48,661,370 | | | Series 2015-C32-XA | | | 1.24%(b)(g) | | | 11/15/2048 | | | 224,879 | |
| | 8,970,000 | | | Series 2015-C33-AS | | | 4.02% | | | 12/15/2048 | | | 8,791,858 | |
| | 425,336 | | | Series 2016-C1-A5 | | | 3.58% | | | 03/17/2049 | | | 418,409 | |
| | | | | KREF | |
| | 13,441,749 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor) | | | 6.27%(a) | | | 02/15/2039 | | | 13,379,662 | |
| | 11,380,000 | | | Series 2021-FL2-B (1 mo. Term SOFR + 1.76%, 1.65% Floor) | | | 6.85%(a) | | | 02/15/2039 | | | 11,052,381 | |
| | | |
| | | |
70
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 16,500,000 | | | Series 2022-FL3-A (1 mo. Term SOFR + 1.45%, 1.45% Floor) | | | 6.41%(a) | | | 02/17/2039 | | | 16,488,252 | |
| | | | | Ladder Capital Commercial Mortgage Securities LLC | |
| | 746,971 | | | Series 2017-LC26-A3 | | | 3.29%(a) | | | 07/12/2050 | | | 724,122 | |
| | 5,195,629 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.31% Floor) | | | 6.41%(a) | | | 12/13/2038 | | | 5,184,994 | |
| | 7,442,842 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.56%, 1.56% Floor) | | | 6.66%(a) | | | 11/15/2038 | | | 7,422,828 | |
| | | | | LoanCore | |
| | 5,775,853 | | | Series 2021-CRE5-A (1 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.51%(a) | | | 07/15/2036 | | | 5,754,950 | |
| | 11,243,624 | | | Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor) | | | 6.51%(a) | | | 11/15/2038 | | | 11,231,076 | |
| | 9,849,413 | | | Series 2022-CRE7-A (30 day avg SOFR US + 1.55%, 1.55% Floor) | | | 6.89%(a) | | | 01/17/2037 | | | 9,867,832 | |
| | | | | LSTAR Commercial Mortgage Trust | |
| | 47,682,609 | | | Series 2017-5-X | | | 0.99%(a)(b)(g) | | | 03/10/2050 | | | 695,279 | |
| | | | | Lument Finance Trust, Inc. | |
| | 11,504,510 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor) | | | 6.38%(a) | | | 06/15/2039 | | | 11,525,886 | |
| | | | | Merit 2020 | |
| | 5,302,858 | | | Series 2022-MHIL-A (1 mo. Term SOFR + 0.81%, 0.82% Floor) | | | 5.91%(a) | | | 01/15/2027 | | | 5,259,913 | |
| | | | | MF1 Multifamily Housing Mortgage Loan Trust | |
| | 879,055 | | | Series 2021-FL5-A (1 mo. Term SOFR + 0.96%, 0.96% Floor) | | | 6.05%(a) | | | 07/15/2036 | | | 879,447 | |
| | 10,343,000 | | | Series 2021-FL5-AS (1 mo. Term SOFR + 1.31%, 1.31% Floor) | | | 6.40%(a) | | | 07/15/2036 | | | 10,326,668 | |
| | 11,890,280 | | | Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor) | | | 6.23%(a) | | | 07/16/2036 | | | 11,851,994 | |
| | 3,313,225 | | | Series 2021-FL7-A (1 mo. Term SOFR + 1.19%, 1.08% Floor) | | | 6.21%(a) | | | 10/16/2036 | | | 3,301,735 | |
| | 9,103,000 | | | Series 2021-FL7-AS (1 mo. Term SOFR + 1.56%, 1.45% Floor) | | | 6.58%(a) | | | 10/16/2036 | | | 9,012,534 | |
| | 2,000,000 | | | Series 2022-FL10-AS (1 mo. Term SOFR + 3.19%, 3.19% Floor) | | | 8.15%(a) | | | 09/17/2037 | | | 2,009,832 | |
| | 9,192,616 | | | Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor) | | | 6.31%(a) | | | 02/19/2037 | | | 9,170,436 | |
| | 12,096,694 | | | Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.11%(a) | | | 06/19/2037 | | | 12,122,968 | |
| | 8,290,000 | | | Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor) | | | 6.70%(a) | | | 08/18/2041 | | | 8,305,826 | |
| | | | | Morgan Stanley ABS Capital I, Inc. | |
| | 13,390,719 | | | Series 2021-ILP-A (1 mo. Term SOFR + 0.89%, 0.78% Floor) | | | 5.99%(a) | | | 11/15/2036 | | | 13,290,548 | |
| | 6,973,000 | | | Series 2024-NSTB-A | | | 3.90%(a)(b) | | | 09/24/2057 | | | 6,785,949 | |
| | | | | Morgan Stanley Bank of America Merrill Lynch Trust | |
| | 13,543,939 | | | Series 2014-C19-LNCX | | | 0.76%(a)(b)(g) | | | 12/15/2046 | | | 276 | |
| | 2,425,000 | | | Series 2015-C23-AS | | | 4.00%(b) | | | 07/15/2050 | | | 2,392,948 | |
| | 227,944 | | | Series 2015-C26-A3 | | | 3.21% | | | 10/15/2048 | | | 227,423 | |
| | | | | Morgan Stanley Capital I, Inc. | |
| | 439,477 | | | Series 2006-HQ10-X1 | | | 0.59%(a)(b)(g) | | | 11/12/2041 | | | 9 | |
| | 55,418,712 | | | Series 2017-H1-XA | | | 1.45%(b)(g) | | | 06/15/2050 | | | 1,232,401 | |
| | 7,895,000 | | | Series 2019-PLND-D (1 mo. Term SOFR + 1.86%, 1.75% Floor) | | | 6.96%(a) | | | 05/15/2036 | | | 1,991,134 | |
| | 268,151 | | | Series 2021-L5-A1 | | | 0.79% | | | 05/15/2054 | | | 259,264 | |
| | 14,511,870 | | | Series 2021-L6-A2 | | | 2.13%(b) | | | 06/15/2054 | | | 13,234,803 | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Ready Capital Corp. | |
| | 579,449 | | | Series 2021-FL6-A (1 mo. Term SOFR + 1.06%, 0.95% Floor) | | | 5.92%(a) | | | 07/25/2036 | | | 577,989 | |
| | 3,973,974 | | | Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.17%(a) | | | 11/25/2036 | | | 3,973,462 | |
| | 4,900,000 | | | Series 2023-FL12-AS (1 mo. Term SOFR + 3.20%, 3.20% Floor) | | | 8.05%(a) | | | 05/25/2038 | | | 4,945,599 | |
| | | | | Rialto Real Estate Fund LP | |
| | 9,000,000 | | | Series 2022-FL8-A (1 mo. Term SOFR + 2.25%, 2.25% Floor) | | | 7.35%(a) | | | 01/19/2037 | | | 9,031,131 | |
| | | | | SREIT Trust | |
| | 9,380,127 | | | Series 2021-MFP-A (1 mo. Term SOFR + 0.85%, 0.73% Floor) | | | 5.94%(a) | | | 11/15/2038 | | | 9,338,355 | |
| | | | | Starwood Property Mortgage Trust | |
| | 1,817,810 | | | Series 2019-FL1-AS (1 mo. Term SOFR + 1.51%, 1.51% Floor) | | | 6.61%(a) | | | 07/15/2038 | | | 1,804,080 | |
| | 10,493,304 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.33%(a) | | | 04/18/2038 | | | 10,376,419 | |
| | 14,430,117 | | | Series 2022-FL3-A (30 day avg SOFR US + 1.35%, 1.35% Floor) | | | 6.69%(a) | | | 11/15/2038 | | | 14,327,605 | |
| | | | | STWD Trust | |
| | 3,000,000 | | | Series 2021-FLWR-B (1 mo. Term SOFR + 1.04%, 0.93% Floor) | | | 6.14%(a) | | | 07/15/2036 | | | 2,977,537 | |
| | | | | TPG Real Estate Finance Issuer Ltd. | |
| | 8,628,795 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.40%(a) | | | 03/15/2038 | | | 8,605,531 | |
| | 6,444,239 | | | Series 2022-FL5-A (1 mo. Term SOFR + 1.65%, 1.65% Floor) | | | 6.73%(a) | | | 02/15/2039 | | | 6,430,642 | |
| | 12,289,000 | | | Series 2022-FL5-AS (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.23%(a) | | | 02/15/2039 | | | 12,219,813 | |
| | | | | TTAN | |
| | 4,182,716 | | | Series 2021-MHC-A (1 mo. Term SOFR + 0.96%, 0.85% Floor) | | | 6.06%(a) | | | 03/15/2038 | | | 4,172,586 | |
| | | | | UBS Commercial Mortgage Trust | |
| | 50,162,119 | | | Series 2017-C1-XA | | | 1.65%(b)(g) | | | 06/15/2050 | | | 1,484,433 | |
| | 84,353,289 | | | Series 2017-C3-XA | | | 1.25%(b)(g) | | | 08/15/2050 | | | 1,799,222 | |
| | 407,553 | | | Series 2018-C11-A3 | | | 4.31% | | | 06/15/2051 | | | 402,365 | |
| | 391,905 | | | Series 2018-C13-A3 | | | 4.07% | | | 10/15/2051 | | | 387,813 | |
| | 93,190,878 | | | Series 2018-C8-XA | | | 0.96%(b)(g) | | | 02/15/2051 | | | 2,185,913 | |
| | | | | Wells Fargo Commercial Mortgage Trust | |
| | 2,365,304 | | | Series 2024-5C1-A1 | | | 5.23% | | | 07/15/2057 | | | 2,399,548 | |
| | | | | WF-RBS Commercial Mortgage Trust | |
| | 3,315,332 | | | Series 2014-C24-A5 | | | 3.61% | | | 11/15/2047 | | | 3,307,740 | |
| | | | | Total Non-Agency Commercial
Mortgage Backed Obligations
(Cost $1,014,594,514) | | | | | | 897,828,764 | |
| | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 12.5% | |
| | | | | Angel Oak Mortgage Trust LLC | |
| | 14,240,943 | | | Series 2021-7-A1 | | | 1.98%(a)(b) | | | 10/25/2066 | | | 12,453,736 | |
| | | | | Arroyo Mortgage Trust | |
| | 4,356,644 | | | Series 2019-3-A2 | | | 3.21%(a)(b) | | | 10/25/2048 | | | 4,176,804 | |
| | 2,354,545 | | | Series 2019-3-A3 | | | 3.42%(a)(b) | | | 10/25/2048 | | | 2,261,427 | |
| | | | | Banc of America Mortgage Securities, Inc. | |
| | 283,565 | | | Series 2005-E-2A1 | | | 5.61%(b) | | | 06/25/2035 | | | 248,572 | |
| | | | | BCAP LLC Trust | |
| | 508,315 | | | Series 2011-RR1-8A3 | | | 5.10%(a)(b) | | | 09/30/2056 | | | 407,531 | |
| | | | | Bear Stearns Asset Backed Securities Trust | |
| | 155,863 | | | Series 2004-AC2-2A | | | 5.00% | | | 05/25/2034 | | | 133,114 | |
| | | |
| | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 71
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | BRAVO Residential Funding Trust | |
| | 3,219,612 | | | Series 2020-RPL1-A1 | | | 2.50%(a)(b) | | | 05/26/2059 | | | 3,130,691 | |
| | 6,453,495 | | | Series 2022-RPL1-A1 | | | 2.75%(a)(b) | | | 09/25/2061 | | | 5,944,162 | |
| | | | | Carrington Mortgage Loan Trust | |
| | 1,704,928 | | | Series 2006-NC3-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 12.50% Cap) | | | 5.12% | | | 08/25/2036 | | | 1,654,840 | |
| | | | | Chase Funding Mortgage Loan Asset-Backed Certificates | |
| | 1,588,018 | | | Series 2004-2-1A5 | | | 6.20%(d) | | | 02/26/2035 | | | 1,578,920 | |
| | | | | Citigroup Mortgage Loan Trust, Inc. | |
| | 279,442 | | | Series 2006-AR1-2A1 (1 yr. CMT Rate + 2.40%, 2.40% Floor, 9.87% Cap) | | | 7.86% | | | 03/25/2036 | | | 275,567 | |
| | 1,745,677 | | | Series 2020-EXP1-A1A | | | 1.80%(a)(b) | | | 05/25/2060 | | | 1,616,117 | |
| | | | | COLT Funding LLC | |
| | 4,732,233 | | | Series 2021-1R-A1 | | | 0.86%(a)(b) | | | 05/25/2065 | | | 4,134,085 | |
| | 4,639,112 | | | Series 2021-5-A1 | | | 1.73%(a)(b) | | | 11/26/2066 | | | 4,162,470 | |
| | 13,676,169 | | | Series 2021-RPL1-A1 | | | 1.67%(a)(b) | | | 09/25/2061 | | | 12,469,170 | |
| | 3,170,451 | | | Series 2023-2-A1 | | | 6.60%(a)(d) | | | 07/25/2068 | | | 3,223,017 | |
| | | | | Countrywide Home Loan Mortgage Pass Through Trust | |
| | 246,389 | | | Series 2004-HYB9-1A1 | | | 5.07%(b) | | | 02/20/2035 | | | 248,669 | |
| | 3,477,422 | | | Series 2005-3-1A2 (1 mo. Term SOFR + 0.69%, 0.58% Floor) | | | 5.55% | | | 04/25/2035 | | | 3,267,467 | |
| | | | | Credit Suisse Management LLC | |
| | 26,475 | | | Series 2005-11-5A1 | | | 5.25% | | | 10/25/2024 | | | 17,563 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 1,647,874 | | | Series 2021-NQM1-A2 | | | 0.99%(a)(b) | | | 05/25/2065 | | | 1,469,885 | |
| | 2,746,457 | | | Series 2021-NQM1-A3 | | | 1.20%(a)(b) | | | 05/25/2065 | | | 2,438,891 | |
| | 6,835,688 | | | Series 2021-NQM5-A3 | | | 1.35%(a)(b) | | | 05/25/2066 | | | 5,894,338 | |
| | 4,585,584 | | | Series 2021-RPL4-A1 | | | 4.07%(a)(b) | | | 12/27/2060 | | | 4,572,867 | |
| | 16,360,700 | | | Series 2022-NQM1-A1 | | | 2.27%(a)(b) | | | 11/25/2066 | | | 14,900,115 | |
| | 2,726,332 | | | Series 2022-NQM5-A1 | | | 5.17%(a)(b) | | | 05/25/2067 | | | 2,718,708 | |
| | 8,164,170 | | | Series 2022-RPL4-A1 | | | 3.90%(a)(b) | | | 04/25/2062 | | | 7,894,832 | |
| | | | | Cross Mortgage Trust | |
| | 4,357,599 | | | Series 2024-H1-A1 | | | 6.09%(a)(d) | | | 12/25/2068 | | | 4,407,891 | |
| | 15,032,864 | | | Series 2024-H5-A1 | | | 5.85%(a)(d) | | | 08/26/2069 | | | 15,192,276 | |
| | | | | Ellington Financial Mortgage Trust | |
| | 714,353 | | | Series 2020-1-A1 | | | 2.01%(a)(b) | | | 05/25/2065 | | | 702,326 | |
| | | | | Fannie Mae Connecticut Avenue Securities | |
| | 6,300,006 | | | Series 2023-R08-1M1 (30 day avg SOFR US + 1.50%, 0.00% Floor) | | | 6.78%(a) | | | 10/25/2043 | | | 6,321,423 | |
| | 12,426,116 | | | Series 2024-R01-1M1 (30 day avg SOFR US + 1.05%, 1.05% Floor) | | | 6.33%(a) | | | 01/25/2044 | | | 12,439,583 | |
| | 14,331,400 | | | Series 2024-R02-1M1 (30 day avg SOFR US + 1.10%, 1.10% Floor) | | | 6.38%(a) | | | 02/25/2044 | | | 14,343,800 | |
| | | | | First Horizon Asset Securities, Inc. | |
| | 1,738,801 | | | Series 2007-AR2-1A1 | | | 7.28%(b) | | | 08/25/2037 | | | 535,912 | |
| | | | | FirstKey Homes Trust | |
| | 6,999,521 | | | Series 2020-SFR2-A | | | 1.27%(a) | | | 10/19/2037 | | | 6,776,401 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | |
| | 1,587,704 | | | Series 2022-DNA2-M1A (30 day avg SOFR US + 1.30%, 0.00% Floor) | | | 6.58%(a) | | | 02/25/2042 | | | 1,591,228 | |
| | 21,798,193 | | | Series 2024-DNA1-M1 (30 day avg SOFR US + 1.35%, 0.00% Floor) | | | 6.63%(a) | | | 02/25/2044 | | | 21,845,585 | |
| | 8,604,297 | | | Series 2024-DNA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor) | | | 6.48%(a) | | | 05/25/2044 | | | 8,623,132 | |
| | 22,505,596 | | | Series 2024-HQA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor) | | | 6.48%(a) | | | 08/25/2044 | | | 22,572,411 | |
| | | | | GCAT | |
| | 4,917,362 | | | Series 2022-NQM4-A1 | | | 5.27%(a)(d) | | | 08/25/2067 | | | 4,895,619 | |
| | | | | GSR Mortgage Loan Trust | |
| | 2,406,879 | | | Series 2005-9F-2A2 | | | 6.00% | | | 01/25/2036 | | | 1,111,967 | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | HOMES Trust | |
| | 12,311,840 | | | Series 2023-NQM2-A1 | | | 6.46%(a)(d) | | | 02/25/2068 | | | 12,466,177 | |
| | | | | Homeward Opportunities Fund I Trust | |
| | 11,403,260 | | | Series 2022-1-A1 | | | 5.08%(a)(d) | | | 07/25/2067 | | | 11,369,658 | |
| | | | | JP Morgan Alternative Loan Trust | |
| | 14,884 | | | Series 2006-S4-A6 | | | 6.21%(d) | | | 12/25/2036 | | | 15,178 | |
| | | | | Legacy Mortgage Asset Trust | |
| | 869,865 | | | Series 2021-GS1-A1 | | | 4.89%(a)(d) | | | 10/25/2066 | | | 870,439 | |
| | 9,369,798 | | | Series 2021-GS2-A1 | | | 4.75%(a)(d) | | | 04/25/2061 | | | 9,443,514 | |
| | 16,844,777 | | | Series 2021-GS3-A1 | | | 4.75%(a)(d) | | | 07/25/2061 | | | 16,738,904 | |
| | 21,534,342 | | | Series 2021-GS4-A1 | | | 4.65%(a)(d) | | | 11/25/2060 | | | 21,563,284 | |
| | 1,375,293 | | | Series 2021-SL1-A | | | 4.99%(a)(b) | | | 09/25/2060 | | | 1,377,475 | |
| | | | | Mastr Adjustable Rate Mortgages Trust | |
| | 1,729,688 | | | Series 2006-2-2A1 | | | 6.75%(b) | | | 04/25/2036 | | | 877,955 | |
| | | | | MFRA Trust | |
| | 9,021,841 | | | Series 2021-NQM2-A1 | | | 1.03%(a)(b) | | | 11/25/2064 | | | 8,000,044 | |
| | 1,171,100 | | | Series 2021-NQM2-A2 | | | 1.32%(a)(b) | | | 11/25/2064 | | | 1,040,050 | |
| | | | | Mill City Mortgage Trust | |
| | 867,503 | | | Series 2017-3-A1 | | | 2.75%(a)(b) | | | 01/25/2061 | | | 860,253 | |
| | | | | MLCC Mortgage Investors, Inc. | |
| | 206,423 | | | Series 2005-3-2A | | | 5.82%(b) | | | 11/25/2035 | | | 196,953 | |
| | | | | Morgan Stanley Mortgage Loan Trust | |
| | 7,105 | | | Series 2004-1-1A1 | | | 5.00% | | | 11/25/2033 | | | 5,200 | |
| | | | | New Residential Mortgage Loan Trust | |
| | 8,003,458 | | | Series 2024-NQM1-A1 | | | 6.13%(a)(d) | | | 03/25/2064 | | | 8,136,566 | |
| | | | | OBX Trust | |
| | 11,692,185 | | | Series 2024-NQM5-A1 | | | 5.99%(a)(d) | | | 01/25/2064 | | | 11,854,158 | |
| | | | | Onslow Bay Mortgage Loan Trust | |
| | 1,092,551 | | | Series 2018-1-A2 (1 mo. Term SOFR + 0.76%, 0.00% Floor) | | | 5.62%(a) | | | 06/25/2057 | | | 1,069,020 | |
| | 9,264,402 | | | Series 2022-NQM1-A1 | | | 2.31%(a)(b) | | | 11/25/2061 | | | 8,356,408 | |
| | 2,454,974 | | | Series 2022-NQM7-A1 | | | 5.11%(a)(d) | | | 08/25/2062 | | | 2,445,101 | |
| | 7,868,172 | | | Series 2023-NQM5-A1A | | | 6.57%(a)(d) | | | 06/25/2063 | | | 8,000,452 | |
| | 23,914,586 | | | Series 2024-NQM10-A1 | | | 6.18%(a)(d) | | | 05/25/2064 | | | 24,308,811 | |
| | 19,396,794 | | | Series 2024-NQM11-A1 | | | 5.88%(a)(d) | | | 06/25/2064 | | | 19,637,132 | |
| | 12,819,390 | | | Series 2024-NQM12-A1 | | | 5.48%(a)(d) | | | 07/25/2064 | | | 13,030,461 | |
| | 15,000,000 | | | Series 2024-NQM13-A1 | | | 5.12%(a) | | | 06/25/2064 | | | 15,057,647 | |
| | 10,539,901 | | | Series 2024-NQM4-A1 | | | 6.07%(a)(d) | | | 01/25/2064 | | | 10,707,970 | |
| | | | | Pretium Mortgage Credit Partners LLC | |
| | 2,784,637 | | | Series 2021-NPL2-A1 | | | 4.99%(a)(d) | | | 06/27/2060 | | | 2,768,108 | |
| | 22,090,815 | | | Series 2021-NPL3-A1 | | | 4.87%(a)(d) | | | 07/25/2051 | | | 21,854,364 | |
| | 12,769,255 | | | Series 2021-RN1-A1 | | | 4.99%(a)(d) | | | 02/25/2061 | | | 12,778,250 | |
| | 4,431,447 | | | Series 2021-RN2-A1 | | | 4.74%(a)(d) | | | 07/25/2051 | | | 4,383,834 | |
| | 15,705,994 | | | Series 2021-RN3-A1 | | | 4.84%(a)(d) | | | 09/25/2051 | | | 15,664,863 | |
| | | | | PRPM LLC | |
| | 5,923,446 | | | Series 2020-4-A1 | | | 5.61%(a)(d) | | | 10/25/2025 | | | 5,927,907 | |
| | 7,038,386 | | | Series 2021-3-A1 | | | 4.87%(a)(d) | | | 04/25/2026 | | | 7,019,116 | |
| | 12,410,031 | | | Series 2021-4-A1 | | | 4.87%(a)(d) | | | 04/25/2026 | | | 12,400,298 | |
| | 9,074,360 | | | Series 2021-5-A1 | | | 4.79%(a)(d) | | | 06/25/2026 | | | 9,041,057 | |
| | 10,406,656 | | | Series 2021-6-A1 | | | 4.79%(a)(d) | | | 07/25/2026 | | | 10,362,716 | |
| | 19,808,766 | | | Series 2021-7-A1 | | | 4.87%(a)(d) | | | 08/25/2026 | | | 19,759,183 | |
| | | | | Securitized Asset Backed Receivables LLC | |
| | 3,567,552 | | | Series 2006-NC1-A3 (1 mo. Term SOFR + 0.65%, 0.54% Floor) | | | 5.51% | | | 03/25/2036 | | | 3,309,032 | |
| | | | | Starwood Mortgage Residential Trust | |
| | 451,119 | | | Series 2020-3-A1 | | | 1.49%(a)(b) | | | 04/25/2065 | | | 436,623 | |
| | 23,411,187 | | | Series 2021-5-A1 | | | 1.92%(a)(b) | | | 09/25/2066 | | | 20,014,255 | |
| | | | | Structured Asset Securities Corp. | |
| | 58,974 | | | Series 2003-24A-1A3 | | | 6.41%(b) | | | 07/25/2033 | | | 57,580 | |
| | | | | Terwin Mortgage Trust | |
| | 626,780 | | | Series 2003-4HE-M1 (1 mo. Term SOFR + 1.24%, 1.13% Floor) | | | 6.09% | | | 09/25/2034 | | | 653,542 | |
| | | | | VCAT Asset Securitization LLC | |
| | 217,392 | | | Series 2021-NPL3-A1 | | | 4.74%(a)(d) | | | 05/25/2051 | | | 215,301 | |
| | 3,163,016 | | | Series 2021-NPL4-A1 | | | 4.87%(a)(d) | | | 08/25/2051 | | | 3,130,078 | |
| | 3,457,278 | | | Series 2021-NPL5-A1 | | | 4.87%(a)(d) | | | 08/25/2051 | | | 3,419,412 | |
| | 8,479,405 | | | Series 2021-NPL6-A1 | | | 4.92%(a)(d) | | | 09/25/2051 | | | 8,401,824 | |
| | | | | | | | | | | | | | | |
72
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Velocity Commercial Capital Loan Trust | | | | | | |
| | 1,671,231 | | | Series 2019-2-A | | | 3.13%(a)(b) | | | 07/25/2049 | | | 1,584,489 | |
| | 4,868,096 | | | Series 2021-1-M1 | | | 1.79%(a)(b) | | | 05/25/2051 | | | 4,062,081 | |
| | 17,291,715 | | | Series 2021-2-A | | | 1.52%(a)(b) | | | 08/25/2051 | | | 14,592,467 | |
| | 4,130,333 | | | Series 2021-2-M1 | | | 1.82%(a)(b) | | | 08/25/2051 | | | 3,184,826 | |
| | | | | Vericrest Opportunity Loan Transferee | | | | | | |
| | 4,938,876 | | | Series 2021-NP10-A1 | | | 4.99%(a)(d) | | | 05/25/2051 | | | 4,884,488 | |
| | 12,227,998 | | | Series 2021-NP11-A1 | | | 4.87%(a)(d) | | | 08/25/2051 | | | 12,272,363 | |
| | 4,299,146 | | | Series 2021-NPL1-A1 | | | 4.89%(a)(d) | | | 02/27/2051 | | | 4,278,704 | |
| | 3,568,361 | | | Series 2021-NPL3-A1 | | | 5.24%(a)(d) | | | 02/27/2051 | | | 3,573,559 | |
| | 2,696,153 | | | Series 2021-NPL5-A1 | | | 5.12%(a)(d) | | | 03/27/2051 | | | 2,687,183 | |
| | 2,821,341 | | | Series 2021-NPL6-A1 | | | 5.24%(a)(d) | | | 04/25/2051 | | | 2,824,015 | |
| | 11,846,632 | | | Series 2021-NPL8-A1 | | | 5.12%(a)(d) | | | 04/25/2051 | | | 11,789,757 | |
| | 2,164,694 | | | Series 2021-NPL9-A1 | | | 4.99%(a)(d) | | | 05/25/2051 | | | 2,146,029 | |
| | | | | Verus Securitization Trust | | | | | | |
| | 104,308 | | | Series 2020-2-A1 | | | 3.23%(a)(b) | | | 05/25/2060 | | | 103,929 | |
| | 7,332,487 | | | Series 2021-4-A3 | | | 1.35%(a)(b) | | | 07/25/2066 | | | 6,257,208 | |
| | 6,902,161 | | | Series 2021-7-A1 | | | 1.83%(a)(d) | | | 10/25/2066 | | | 6,201,137 | |
| | 11,938,997 | | | Series 2022-INV1-A1 | | | 5.04%(a)(d) | | | 08/25/2067 | | | 11,885,767 | |
| | 397,969 | | | Series 2022-INV1-A2 | | | 5.80%(a)(d) | | | 08/25/2067 | | | 397,125 | |
| | 16,801,508 | | | Series 2023-4-A1 | | | 5.81%(a)(d) | | | 05/25/2068 | | | 16,923,040 | |
| | 19,304,137 | | | Series 2024-3-A1 | | | 6.34%(a)(d) | | | 04/25/2069 | | | 19,699,592 | |
| | 4,651,778 | | | Series 2024-6-A1 | | | 5.80%(a)(d) | | | 07/25/2069 | | | 4,704,627 | |
| | | | | WaMu Mortgage Pass Through Certificates | | | | | | |
| | 132,951 | | | Series 2002-AR16-A | | | 6.33%(b) | | | 12/25/2032 | | | 127,746 | |
| | | | | Wells Fargo Mortgage Backed Securities Trust | | | | | | |
| | 196,082 | | | Series 2007-7-A36 | | | 6.00% | | | 06/25/2037 | | | 179,529 | |
| | | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $747,127,828) | | | | | | 726,038,926 | |
| | | |
| | US CORPORATE BONDS - 7.0% | |
| | 1,484,000 | | | AGCO Corp. | | | 5.45% | | | 03/21/2027 | | | 1,515,120 | |
| | 1,370,000 | | | American Electric Power Co., Inc. | | | 5.20% | | | 01/15/2029 | | | 1,414,270 | |
| | 5,015,000 | | | American Express Co.
(SOFR + 1.00%) | | | 6.06% | | | 02/16/2028 | | | 5,054,512 | |
| | 2,073,000 | | | American National Group, Inc. | | | 5.75% | | | 10/01/2029 | | | 2,086,397 | |
| | 2,849,000 | | | Amgen, Inc. | | | 5.51% | | | 03/02/2026 | | | 2,850,018 | |
| | 5,493,000 | | | Ares Capital Corp. | | | 3.88% | | | 01/15/2026 | | | 5,415,180 | |
| | 5,347,000 | | | Arrow Electronics, Inc. | | | 5.15% | | | 08/21/2029 | | | 5,432,660 | |
| | 2,995,000 | | | AT&T, Inc. | | | 5.54% | | | 02/20/2026 | | | 2,994,398 | |
| | 6,300,000 | | | Athene Global Funding
(SOFR + 0.85%) | | | 5.95%(a) | | | 05/08/2026 | | | 6,295,757 | |
| | 4,513,000 | | | Athene Global Funding | | | 5.35%(a) | | | 07/09/2027 | | | 4,610,258 | |
| | 4,338,000 | | | Aviation Capital Group LLC | | | 1.95%(a) | | | 09/20/2026 | | | 4,111,126 | |
| | 2,605,000 | | | Boeing Co. | | | 4.88% | | | 05/01/2025 | | | 2,595,572 | |
| | 2,775,000 | | | Bristol-Myers Squibb Co.
(SOFR + 0.49%) | | | 5.53% | | | 02/20/2026 | | | 2,783,089 | |
| | 2,615,000 | | | Broadcom, Inc. | | | 3.15% | | | 11/15/2025 | | | 2,578,876 | |
| | 2,538,000 | | | Broadcom, Inc. | | | 5.05% | | | 07/12/2029 | | | 2,615,345 | |
| | 2,268,000 | | | Broadcom, Inc. | | | 4.35% | | | 02/15/2030 | | | 2,264,197 | |
| | 3,052,000 | | | Cadence Design Systems, Inc. | | | 4.30% | | | 09/10/2029 | | | 3,064,874 | |
| | 5,245,000 | | | Campbell Soup Co. | | | 3.95% | | | 03/15/2025 | | | 5,221,943 | |
| | 2,015,000 | | | Campbell Soup Co. | | | 5.20% | | | 03/19/2027 | | | 2,068,229 | |
| | 2,370,000 | | | Charles Schwab Corp.
(SOFR + 1.05%) | | | 6.03% | | | 03/03/2027 | | | 2,391,580 | |
| | 1,505,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital | | | 6.15% | | | 11/10/2026 | | | 1,547,281 | |
| | 5,376,000 | | | Cheniere Energy, Inc. | | | 4.63% | | | 10/15/2028 | | | 5,344,541 | |
| | 9,490,000 | | | Citigroup, Inc.
(SOFR + 1.34%) | | | 4.54% | | | 09/19/2030 | | | 9,503,181 | |
| | 2,805,000 | | | Crown Castle, Inc. | | | 4.80% | | | 09/01/2028 | | | 2,840,075 | |
| | 6,582,000 | | | Crown Castle, Inc. | | | 4.90% | | | 09/01/2029 | | | 6,693,099 | |
| | 2,705,000 | | | CVS Health Corp. | | | 5.00% | | | 02/20/2026 | | | 2,724,626 | |
| | 2,367,000 | | | Darden Restaurants, Inc. | | | 4.35% | | | 10/15/2027 | | | 2,366,503 | |
| | 2,635,000 | | | Dell International LLC / EMC Corp. | | | 5.85% | | | 07/15/2025 | | | 2,655,687 | |
| | 5,178,000 | | | Edison International | | | 5.45% | | | 06/15/2029 | | | 5,380,041 | |
| | 2,770,000 | | | Eli Lilly & Co. | | | 5.00% | | | 02/27/2026 | | | 2,770,626 | |
| | 5,115,000 | | | Energy Transfer LP | | | 6.05% | | | 12/01/2026 | | | 5,298,286 | |
| | 5,415,000 | | | Entergy Corp. | | | 0.90% | | | 09/15/2025 | | | 5,233,483 | |
| | 5,087,000 | | | Equifax, Inc. | | | 4.80% | | | 09/15/2029 | | | 5,146,764 | |
| | 5,430,000 | | | Equinix, Inc. | | | 1.25% | | | 07/15/2025 | | | 5,280,356 | |
| | 1,814,000 | | | Essential Utilities, Inc. | | | 4.80% | | | 08/15/2027 | | | 1,838,691 | |
| | 2,525,000 | | | Exelon Corp. | | | 5.15% | | | 03/15/2029 | | | 2,617,239 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 5,479,000 | | | Expedia Group, Inc. | | | 6.25%(a) | | | 05/01/2025 | | | 5,493,646 | |
| | 1,551,000 | | | FirstEnergy Transmission LLC | | | 4.55%(a) | | | 01/15/2030 | | | 1,565,223 | |
| | 6,451,000 | | | Fiserv, Inc. | | | 4.75% | | | 03/15/2030 | | | 6,579,099 | |
| | 5,176,000 | | | Ford Motor Credit Co. LLC | | | 5.30% | | | 09/06/2029 | | | 5,154,348 | |
| | 2,726,000 | | | Foundry JV Holdco LLC | | | 5.90%(a) | | | 01/25/2030 | | | 2,823,380 | |
| | 5,136,000 | | | GE HealthCare Technologies, Inc. | | | 4.80% | | | 08/14/2029 | | | 5,234,362 | |
| | 2,690,000 | | | General Mills, Inc. | | | 4.00% | | | 04/17/2025 | | | 2,678,233 | |
| | 2,295,000 | | | General Mills, Inc. | | | 5.24% | | | 11/18/2025 | | | 2,295,710 | |
| | 5,035,000 | | | General Motors Financial Co., Inc. | | | 4.00% | | | 01/15/2025 | | | 5,017,293 | |
| | 5,391,000 | | | General Motors Financial Co., Inc. | | | 5.25% | | | 03/01/2026 | | | 5,428,788 | |
| | 4,560,000 | | | Genuine Parts Co. | | | 4.95% | | | 08/15/2029 | | | 4,640,209 | |
| | 2,475,000 | | | Georgia Power Co. | | | 5.00% | | | 02/23/2027 | | | 2,529,968 | |
| | 3,210,000 | | | Goldman Sachs Bank USA/New York NY
(SOFR + 0.77%) | | | 5.65% | | | 03/18/2027 | | | 3,211,242 | |
| | 5,080,000 | | | HCA, Inc. | | | 5.38% | | | 02/01/2025 | | | 5,082,150 | |
| | 5,437,000 | | | Hewlett Packard Enterprise Co. | | | 4.55% | | | 10/15/2029 | | | 5,424,282 | |
| | 4,519,000 | | | Hyatt Hotels Corp. | | | 5.75% | | | 01/30/2027 | | | 4,630,894 | |
| | 5,182,000 | | | Hyundai Capital America | | | 4.55%(a) | | | 09/26/2029 | | | 5,172,914 | |
| | 2,520,000 | | | Icon Investments Six DAC | | | 5.81% | | | 05/08/2027 | | | 2,600,781 | |
| | 3,098,000 | | | Illumina, Inc. | | | 4.65% | | | 09/09/2026 | | | 3,119,157 | |
| | 5,254,000 | | | JPMorgan Chase & Co. | | | 3.90% | | | 07/15/2025 | | | 5,235,197 | |
| | 4,410,000 | | | JPMorgan Chase & Co.
(SOFR + 0.92%) | | | 6.13% | | | 04/22/2028 | | | 4,419,354 | |
| | 2,706,000 | | | Kinder Morgan, Inc. | | | 4.30% | | | 06/01/2025 | | | 2,694,260 | |
| | 2,772,000 | | | Kinder Morgan, Inc. | | | 5.00% | | | 02/01/2029 | | | 2,832,426 | |
| | 5,116,000 | | | Kroger Co. | | | 4.60% | | | 08/15/2027 | | | 5,160,927 | |
| | 5,222,000 | | | Laboratory Corp. of America Holdings | | | 4.35% | | | 04/01/2030 | | | 5,178,377 | |
| | 1,535,000 | | | Lowe’s Cos., Inc. | | | 4.40% | | | 09/08/2025 | | | 1,534,749 | |
| | 5,070,000 | | | Marriott International, Inc./MD | | | 4.80% | | | 03/15/2030 | | | 5,144,022 | |
| | 2,574,000 | | | McDonald’s Corp. | | | 3.38% | | | 05/26/2025 | | | 2,554,452 | |
| | 2,850,000 | | | McDonald’s Corp. | | | 1.45% | | | 09/01/2025 | | | 2,775,486 | |
| | 675,000 | | | Microchip Technology, Inc. | | | 4.25% | | | 09/01/2025 | | | 672,058 | |
| | 1,005,000 | | | Microchip Technology, Inc. | | | 5.05% | | | 03/15/2029 | | | 1,032,415 | |
| | 5,140,000 | | | Morgan Stanley | | | 3.88% | | | 01/27/2026 | | | 5,119,030 | |
| | 5,075,000 | | | Motorola Solutions, Inc. | | | 5.00% | | | 04/15/2029 | | | 5,208,399 | |
| | 3,531,000 | | | National Securities Clearing Corp. | | | 4.90%(a) | | | 06/26/2029 | | | 3,646,233 | |
| | 2,120,000 | | | New York Life Global Funding | | | 3.60%(a) | | | 08/05/2025 | | | 2,105,464 | |
| | 5,141,000 | | | NGPL PipeCo LLC | | | 4.88%(a) | | | 08/15/2027 | | | 5,163,165 | |
| | 2,480,000 | | | NiSource, Inc. | | | 5.25% | | | 03/30/2028 | | | 2,555,415 | |
| | 1,979,000 | | | NiSource, Inc. | | | 5.20% | | | 07/01/2029 | | | 2,050,100 | |
| | 2,268,000 | | | Occidental Petroleum Corp. | | | 5.20% | | | 08/01/2029 | | | 2,307,341 | |
| | 4,661,000 | | | ONEOK, Inc. | | | 4.40% | | | 10/15/2029 | | | 4,646,612 | |
| | 5,037,000 | | | Oracle Corp. | | | 5.80% | | | 11/10/2025 | | | 5,117,370 | |
| | 2,405,000 | | | O’Reilly Automotive, Inc. | | | 5.75% | | | 11/20/2026 | | | 2,480,130 | |
| | 2,555,000 | | | Pacific Gas and Electric Co. | | | 4.95% | | | 06/08/2025 | | | 2,553,495 | |
| | 2,585,000 | | | Pacific Gas and Electric Co.
(SOFR + 0.95%) | | | 5.90% | | | 09/04/2025 | | | 2,586,155 | |
| | 2,760,000 | | | Pacific Gas and Electric Co. | | | 2.10% | | | 08/01/2027 | | | 2,587,120 | |
| | 4,581,000 | | | Penske Truck Leasing Co. Lp / PTL Finance Corp. | | | 4.00%(a) | | | 07/15/2025 | | | 4,554,067 | |
| | 5,235,000 | | | Penske Truck Leasing Co. Lp / PTL Finance Corp. | | | 4.40%(a) | | | 07/01/2027 | | | 5,238,643 | |
| | 5,035,000 | | | Philip Morris International, Inc. | | | 4.88% | | | 02/13/2026 | | | 5,086,223 | |
| | 3,240,000 | | | PNC Financial Services Group, Inc.
(SOFR + 1.32%) | | | 5.81% | | | 06/12/2026 | | | 3,261,805 | |
| | 3,698,000 | | | Public Service Enterprise Group, Inc. | | | 5.85% | | | 11/15/2027 | | | 3,874,657 | |
| | 3,500,000 | | | Public Storage Operating Co.
(SOFR + 0.70%) | | | 5.95% | | | 04/16/2027 | | | 3,516,202 | |
| | 5,123,000 | | | Quanta Services, Inc. | | | 4.75% | | | 08/09/2027 | | | 5,178,700 | |
| | 5,635,000 | | | Royalty Pharma PLC | | | 1.75% | | | 09/02/2027 | | | 5,251,944 | |
| | 5,014,000 | | | Ryder System, Inc. | | | 5.25% | | | 06/01/2028 | | | 5,177,301 | |
| | 796,000 | | | Sabine Pass Liquefaction LLC | | | 5.63% | | | 03/01/2025 | | | 796,777 | |
| | 2,047,000 | | | Schlumberger Holdings Corp. | | | 5.00%(a) | | | 11/15/2029 | | | 2,114,007 | |
| | 2,031,000 | | | Sherwin-Williams Co. | | | 4.55% | | | 03/01/2028 | | | 2,058,655 | |
| | 5,065,000 | | | Solventum Corp. | | | 5.45%(a) | | | 02/25/2027 | | | 5,170,271 | |
| | 2,374,000 | | | Sonoco Products Co. | | | 4.45% | | | 09/01/2026 | | | 2,375,673 | |
| | 3,570,000 | | | Southern California Edison Co. | | | 4.90% | | | 06/01/2026 | | | 3,605,830 | |
| | 2,772,000 | | | Southern Co. | | | 5.15% | | | 10/06/2025 | | | 2,793,014 | |
| | 4,995,000 | | | Take-Two Interactive Software, Inc. | | | 4.95% | | | 03/28/2028 | | | 5,097,595 | |
| | 3,248,000 | | | US Bancorp
(SOFR + 1.25%) | | | 5.10% | | | 07/23/2030 | | | 3,344,161 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 73
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 2,969,000 | | | Veralto Corp. | | | 5.50% | | | 09/18/2026 | | | 3,037,267 | |
| | 5,430,000 | | | VICI Properties LP / VICI Note Co., Inc. | | | 4.25%(a) | | | 12/01/2026 | | | 5,381,207 | |
| | 9,275,000 | | | Wells Fargo & Co.
(3 mo. Term SOFR + 1.09%) | | | 2.41% | | | 10/30/2025 | | | 9,249,895 | |
| | 7,625,000 | | | Wells Fargo & Co.
(SOFR + 1.07%) | | | 6.28% | | | 04/22/2028 | | | 7,661,472 | |
| | 5,153,000 | | | Welltower OP LLC | | | 4.00% | | | 06/01/2025 | | | 5,123,294 | |
| | 5,074,000 | | | Williams Cos., Inc. | | | 4.80% | | | 11/15/2029 | | | 5,149,991 | |
| | | | | Total US Corporate Bonds
(Cost $400,701,091) | | | | | | 404,743,962 | |
| | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 3.0% | |
| | | | | Federal Home Loan Mortgage Corp. | |
| | 409,087 | | | Pool 840632 (RFUCCT1Y + 1.62%, 1.62% Floor, 7.65% Cap) | | | 6.39% | | | 05/01/2045 | | | 423,961 | |
| | 99,460 | | | Pool N70081 | | | 5.50% | | | 07/01/2038 | | | 101,808 | |
| | 8,142,419 | | | Pool RA8419 | | | 6.00% | | | 01/01/2053 | | | 8,392,119 | |
| | 8,467,856 | | | Pool SD5219 | | | 6.00% | | | 04/01/2054 | | | 8,750,569 | |
| | 3,567,148 | | | Series 276-F5 (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.96% | | | 09/15/2042 | | | 3,548,721 | |
| | 2,336,429 | | | Series 339-F5 (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.91% | | | 11/15/2044 | | | 2,317,117 | |
| | 10,300 | | | Series 3872-BA | | | 4.00% | | | 06/15/2041 | | | 10,190 | |
| | 4,292,490 | | | Series 4068-UF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.96% | | | 06/15/2042 | | | 4,268,981 | |
| | 231,693 | | | Series 4203-NB | | | 2.00% | | | 10/15/2040 | | | 228,362 | |
| | 6,781,228 | | | Series 4631-FA (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.96% | | | 11/15/2046 | | | 6,736,556 | |
| | 2,664,167 | | | Series 4851-PF (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.86% | | | 08/15/2057 | | | 2,628,236 | |
| | 2,549,081 | | | Series 4878-FA (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.86% | | | 05/15/2049 | | | 2,524,605 | |
| | 1,877,999 | | | Series 4939-CF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.89% | | | 12/25/2049 | | | 1,864,416 | |
| | 3,705,841 | | | Series 4987-BF (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.79% | | | 06/25/2050 | | | 3,667,253 | |
| | 9,866,280 | | | Series 4990-FN (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap) | | | 5.74% | | | 05/25/2050 | | | 9,631,098 | |
| | | | | Federal National Mortgage Association | |
| | 17,313 | | | Pool AB3850 | | | 4.00% | | | 11/01/2041 | | | 16,819 | |
| | 749,398 | | | Pool AL2987 (RFUCCT1Y + 1.62%, 1.62% Floor, 7.31% Cap) | | | 6.36% | | | 11/01/2042 | | | 778,645 | |
| | 164,210 | | | Pool AL4292 | | | 4.50% | | | 04/01/2026 | | | 164,651 | |
| | 634,390 | | | Pool BM3520 (RFUCCT1Y + 1.56%, 1.56% Floor, 6.99% Cap) | | | 6.74% | | | 05/01/2045 | | | 660,670 | |
| | 3,000,000 | | | Pool BS7662 | | | 4.90% | | | 03/01/2028 | | | 3,052,910 | |
| | 8,384,197 | | | Pool FS6084 | | | 6.00% | | | 10/01/2053 | | | 8,660,457 | |
| | 5,023,864 | | | Pool MA4901 | | | 5.00% | | | 01/01/2043 | | | 5,103,200 | |
| | 3,360,954 | | | Pool MA4988 | | | 5.00% | | | 04/01/2043 | | | 3,414,036 | |
| | 3,873,819 | | | Pool MA5112 | | | 5.00% | | | 08/01/2043 | | | 3,927,735 | |
| | 2,337,745 | | | Series 2010-57-FA (30 day avg SOFR US + 0.66%, 0.55% Floor, 7.00% Cap) | | | 5.94% | | | 06/25/2040 | | | 2,336,800 | |
| | 2,228,861 | | | Series 2010-68-FJ (30 day avg SOFR US + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.84% | | | 07/25/2040 | | | 2,220,952 | |
| | 937,001 | | | Series 2011-134-FT (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.89% | | | 12/25/2041 | | | 932,268 | |
| | 36,549 | | | Series 2011-64-DB | | | 4.00% | | | 07/25/2041 | | | 36,139 | |
| | 1,712,146 | | | Series 2016-62-FB (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.79% | | | 09/25/2046 | | | 1,702,575 | |
| | 3,764,137 | | | Series 2016-84-FT (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.89% | | | 11/25/2046 | | | 3,739,034 | |
| | 1,582,392 | | | Series 2017-112-FC (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap) | | | 5.74% | | | 01/25/2048 | | | 1,558,340 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 7,221,934 | | | Series 2018-72-FB (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap) | | | 5.74% | | | 10/25/2058 | | | 7,099,359 | |
| | 2,696,752 | | | Series 2018-85-FE (30 day avg SOFR US + 0.41%, 0.30% Floor, 6.50% Cap) | | | 5.69% | | | 12/25/2048 | | | 2,664,095 | |
| | 969,006 | | | Series 2019-14-FA (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.79% | | | 04/25/2049 | | | 962,377 | |
| | 10,495,717 | | | Series 2019-43-FD (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.79% | | | 08/25/2049 | | | 10,380,185 | |
| | 4,442,563 | | | Series 2019-49-FB (30 day avg SOFR US + 0.59%, 0.48% Floor, 6.50% Cap) | | | 5.87% | | | 09/25/2049 | | | 4,379,158 | |
| | 6,298,527 | | | Series 2019-57-LF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.89% | | | 10/25/2049 | | | 6,201,845 | |
| | 1,194,210 | | | Series 2019-M21-3A1 | | | 2.10% | | | 06/25/2034 | | | 1,164,486 | |
| | 4,444,280 | | | Series 2020-34-F (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.84% | | | 06/25/2050 | | | 4,363,143 | |
| | 11,203,378 | | | Series 2020-M49-1A1 | | | 1.30%(b) | | | 11/25/2030 | | | 10,346,996 | |
| | 15,537,154 | | | Series 2021-M7-A1 | | | 1.78%(b) | | | 03/25/2031 | | | 14,673,623 | |
| | | | | Government National Mortgage Association | |
| | 3,624,725 | | | Series 2012-68-FA (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap) | | | 5.58% | | | 05/20/2042 | | | 3,515,187 | |
| | 3,470,509 | | | Series 2013-116-WU | | | 3.00% | | | 12/20/2042 | | | 3,403,628 | |
| | 3,538,842 | | | Series 2016-16-DF (1 mo. Term SOFR + 0.41%, 0.30% Floor, 6.50% Cap) | | | 5.51% | | | 02/16/2046 | | | 3,503,276 | |
| | 4,597,017 | | | Series 2022-183-B | | | 5.00% | | | 04/20/2047 | | | 4,697,469 | |
| | 3,890,900 | | | Series 2024-25-AF (30 day avg SOFR US + 0.51%, 0.51% Floor, 6.50% Cap) | | | 5.86% | | | 02/20/2049 | | | 3,849,360 | |
| | | | | Total US Government and
Agency Mortgage Backed
Obligations
(Cost $174,580,822) | | | | | | 174,603,410 | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 25.8% | |
| | 111,200,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 03/31/2026 | | | 106,365,407 | |
| | 68,700,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 05/31/2026 | | | 65,444,801 | |
| | 106,500,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 07/31/2026 | | | 100,796,425 | |
| | 123,500,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 09/30/2026 | | | 116,996,953 | |
| | 306,250,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 03/31/2027 | | | 284,764,648 | |
| | 345,900,000 | | | United States Treasury Note/Bond | | | 0.50% | | | 06/30/2027 | | | 318,282,047 | |
| | 280,000,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 01/31/2028 | | | 255,363,282 | |
| | 295,000,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 11/15/2030 | | | 251,124,511 | |
| | | | | Total US Government and
Agency Obligations
(Cost $1,487,551,626) | | | | | | 1,499,138,074 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 2.2%
| |
| | 43,152,121 | | | First American Government Obligations Fund - U | | | 4.84%(h) | | | | | | 43,152,121 | |
| | 43,152,122 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(h) | | | | | | 43,152,122 | |
| | 43,152,122 | | | MSILF Government Portfolio - Institutional | | | 4.83%(h) | | | | | | 43,152,122 | |
| | | | | Total Short Term Investments
(Cost $129,456,365) | | | | | | 129,456,365 | |
| | | | | Total Investments - 100.2%
(Cost $5,942,446,680) | | | | | | $5,823,351,874 | |
| | | | | Other Liabilities in Excess of Assets - (0.2)% | | | | | | | | | (13,439,301) | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $5,809,912,573 | |
| | | |
| | | |
| | | |
| | | |
74
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | US Government and Agency Obligations | | | 25.8% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 15.4% | |
| | Collateralized Loan Obligations | | | 13.9% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 12.5% | |
| | Foreign Corporate Bonds | | | 8.6% | |
| | Asset Backed Obligations | | | 7.5% | |
| | US Corporate Bonds | | | 7.0% | |
| | US Government and Agency Mortgage Backed Obligations | | | 3.0% | |
| | Bank Loans | | | 2.5% | |
| | Short Term Investments | | | 2.2% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 1.8% | |
| | Other Assets and Liabilities | | | (0.2)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
| | US Government and Agency Obligations | | | 25.8% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 15.4% | |
| | Collateralized Loan Obligations | | | 13.9% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 12.5% | |
| | Asset Backed Obligations | | | 7.5% | |
| | Banking | | | 4.3% | |
| | US Government and Agency Mortgage Backed Obligations | | | 3.0% | |
| | Short Term Investments | | | 2.2% | |
| | Utilities | | | 2.1% | |
| | Energy | | | 1.6% | |
| | Transportation | | | 1.1% | |
| | Mining | | | 1.0% | |
| | Technology | | | 1.0% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.8% | |
| | Telecommunications | | | 0.6% | |
| | Hotels/Motels/Inns and Casinos | | | 0.6% | |
| | Healthcare | | | 0.5% | |
| | Finance | | | 0.5% | |
| | Consumer Products | | | 0.5% | |
| | Chemicals/Plastics | | | 0.4% | |
| | Automotive | | | 0.4% | |
| | Electronics/Electric | | | 0.4% | |
| | Chemical Products | | | 0.4% | |
| | Food Products | | | 0.4% | |
| | Media | | | 0.3% | |
| | Retailers (other than Food/Drug) | | | 0.3% | |
| | Pharmaceuticals | | | 0.3% | |
| | Insurance | | | 0.3% | |
| | Building and Development (including Steel/Metals) | | | 0.2% | |
| | Food Service | | | 0.2% | |
| | Commercial Services | | | 0.2% | |
| | Aerospace & Defense | | | 0.2% | |
| | Real Estate | | | 0.2% | |
| | Beverage and Tobacco | | | 0.2% | |
| | Business Equipment and Services | | | 0.1% | |
| | Containers and Glass Products | | | 0.1% | |
| | IT Services | | | 0.1% | |
| | Financials | | | 0.1% | |
| | Industrial Equipment | | | 0.1% | |
| | Construction | | | 0.1% | |
| | Food/Drug Retailers | | | 0.1% | |
| | Pulp & Paper | | | 0.1% | |
| | Diversified Manufacturing | | | 0.1% | |
| | Conglomerates | | | 0.0%(i) | |
| | Other Assets and Liabilities | | | (0.2)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.
|
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
|
(c)
| Value determined using significant unobservable inputs.
|
(d)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
|
(e)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
|
(f)
| Perpetual maturity. The date disclosed is the next call date of the security.
|
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 75
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) |
(g)
| Interest only security
|
(h)
| Seven-day yield as of period end.
|
(i)
| Represents less than 0.05% of net assets. |
CMT
| Constant Maturity Treasury Rate |
LIBOR
| London Interbank Offered Rate |
SOFR
| Secured Overnight Financing Rate |
76
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Floating Rate Fund | (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | BANK LOANS - 86.5% | |
| | AEROSPACE & DEFENSE - 1.7% | |
| | | | | Dynasty Acquisition Co., Inc. | |
| | 843,934 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 08/24/2028 | | | 845,542 | |
| | | | | Standard Aero Ltd. | | | | | | | | | | |
| | 325,399 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 08/24/2028 | | | 326,019 | |
| | | | | TransDigm, Inc. | | | | | | | | | | |
| | 1,796,425 | | | Senior Secured First Lien Term Loan (3 mo. Term SOFR + 2.50%) | | | 7.10% | | | 02/28/2031 | | | 1,791,449 | |
| | | | | | | | | | | | | | 2,963,010 | |
| | | |
| | AUTOMOTIVE - 0.8% | |
| | | | | Clarios Global LP | | | | | | | | | | |
| | 1,007,475 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 05/06/2030 | | | 1,009,157 | |
| | | | | Dexko Global, Inc. | | | | | | | | | | |
| | 341,156 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.62% | | | 10/04/2028 | | | 330,587 | |
| | | | | | | | | | | 1,339,744 | |
| | | |
| | BEVERAGE AND TOBACCO - 0.7% | |
| | | | | Triton Water Holdings, Inc. | | | | | | | | | | |
| | 1,147,964 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.85% | | | 03/31/2028 | | | 1,147,276 | |
| | | |
| | BUILDING AND DEVELOPMENT (INCLUDING STEEL/METALS) - 1.3% | |
| | | | | Cornerstone Building Brands, Inc. | |
| | 413,571 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.45% | | | 04/12/2028 | | | 405,761 | |
| | 65,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.60% | | | 05/15/2031 | | | 64,371 | |
| | | | | LBM Acquisition LLC | | | | | | | | | | |
| | 1,759,054 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.97% | | | 06/06/2031 | | | 1,727,813 | |
| | | | | MIWD Holdco II LLC | | | | | | | | | | |
| | 159,600 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 03/28/2031 | | | 160,076 | |
| | | | | | | | | | | 2,358,021 | |
| | | |
| | BUSINESS EQUIPMENT AND SERVICES - 4.9% | |
| | | | | Camelot US Acquisition LLC | |
| | 164,203 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 164,162 | |
| | 704,431 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 704,255 | |
| | 13,957 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 13,954 | |
| | | | | CoreLogic, Inc. | | | | | | | | | | |
| | 261,782 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 06/02/2028 | | | 259,842 | |
| | | | | Deerfield Dakota Holding LLC | |
| | 997,861 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) | | | 8.35% | | | 04/09/2027 | | | 978,961 | |
| | | | | Dun & Bradstreet Corp. | | | | | | | | | | |
| | 245,908 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.61% | | | 01/18/2029 | | | 245,977 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | EAB Global, Inc. | | | | | | | | | | |
| | 752,360 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 08/16/2028 | | | 750,573 | |
| | | | | Eisner Advisory Group LLC | | | | | | | | | | |
| | 645,632 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.85% | | | 02/28/2031 | | | 648,634 | |
| | | | | Element Materials Technology Group US Holdings, Inc. | |
| | 644,675 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.35% | | | 06/25/2029 | | | 647,096 | |
| | | | | First Advantage Holdings LLC | |
| | 745,013 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.71% | | | 01/29/2027 | | | 742,994 | |
| | 1,740,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.35% | | | 09/19/2031 | | | 1,734,562 | |
| | | | | Grant Thornton LLP/Chicago | |
| | 490,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 05/30/2031 | | | 491,262 | |
| | | | | Ovg Business Services LLC | | | | | | | | | | |
| | 560,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.85% | | | 06/25/2031 | | | 557,900 | |
| | | | | Trans Union LLC | | | | | | | | | | |
| | 319,200 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 06/24/2031 | | | 318,929 | |
| | | | | VT Topco, Inc. | | | | | | | | | | |
| | 292,791 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 08/12/2030 | | | 294,041 | |
| | | | | | | | | | | 8,553,142 | |
| | | |
| | CHEMICALS/PLASTICS - 3.5% | |
| | | | | Charter Next Generation, Inc. | |
| | 402,205 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.10% | | | 12/01/2027 | | | 402,750 | |
| | | | | Hexion Holdings Corp. | | | | | | | | | | |
| | 846,891 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.77% | | | 03/15/2029 | | | 841,827 | |
| | | | | INEOS US Finance LLC | | | | | | | | | | |
| | 1,616,857 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 02/19/2030 | | | 1,618,013 | |
| | 214,463 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.60% | | | 02/07/2031 | | | 214,972 | |
| | | | | INEOS US Petrochem LLC | | | | | | | | | | |
| | 875,600 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.20% | | | 03/29/2029 | | | 876,970 | |
| | | | | Nouryon USA LLC | | | | | | | | | | |
| | 574,317 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.63% | | | 04/03/2028 | | | 575,934 | |
| | 149,079 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.63% | | | 04/03/2028 | | | 149,499 | |
| | | | | Olympus Water US Holding Corp. | |
| | 959,782 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.10% | | | 06/23/2031 | | | 960,982 | |
| | | | | Polar US Borrower T/L B-1 | | | | | | | | | | |
| | 269,515 | | | Senior Secured Term Loan | | | 10.46%(a) | | | 10/15/2028 | | | 202,136 | |
| | | | | Vantage Specialty Chemicals, Inc. | |
| | 327,217 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.50% Floor) | | | 9.87% | | | 10/26/2026 | | | 324,763 | |
| | | | | | | | | | | 6,167,846 | |
| | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 77
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | COMMERCIAL SERVICES - 3.3% | |
| | | | | Allied Universal Holdco LLC | |
| | 1,306,561 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.70% | | | 05/15/2028 | | | 1,295,292 | |
| | | | | Ascend Learning LLC | | | | | | | | | | |
| | 416,736 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 12/11/2028 | | | 415,317 | |
| | 430,254 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 12/11/2028 | | | 428,789 | |
| | 285,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.75%, 0.50% Floor) | | | 10.70% | | | 12/10/2029 | | | 276,628 | |
| | | | | Cengage Learning, Inc. | | | | | | | | | | |
| | 393,025 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.25%, 1.00% Floor) | | | 9.54% | | | 03/24/2031 | | | 394,352 | |
| | | | | Garda World Security Corp. | |
| | 1,024,250 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.60% | | | 02/01/2029 | | | 1,025,403 | |
| | | | | Madison Safety & Flow LLC | | | | | | | | | | |
| | 310,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.25%) | | | 8.10% | | | 09/26/2031 | | | 310,291 | |
| | | | | Mister Car Wash Holdings, Inc. | |
| | 154,613 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.85% | | | 03/27/2031 | | | 154,958 | |
| | | | | Nvent Thermal LLC | | | | | | | | | | |
| | 640,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.50%) | | | 8.70% | | | 09/12/2031 | | | 640,134 | |
| | | | | Vestis Corp. | | | | | | | | | | |
| | 224,438 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.37% | | | 02/24/2031 | | | 223,421 | |
| | | | | Viad Corp. | | | | | | | | | | |
| | 242,125 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.50% Floor) | | | 9.10% | | | 07/31/2028 | | | 242,427 | |
| | | | | Vortex Opco LLC | | | | | | | | | | |
| | 182,815 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 9.12% | | | 12/15/2028 | | | 132,084 | |
| | | | | Wand NewCo 3, Inc. | | | | | | | | | | |
| | 119,266 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 01/30/2031 | | | 119,266 | |
| | 204,921 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 01/30/2031 | | | 204,921 | |
| | | | | | | | | | | 5,863,283 | |
| | | |
| | CONSTRUCTION - 1.8% | |
| | | | | Amentum Holdings, Inc. | | | | | | | | | | |
| | 765,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 2.25%) | | | 7.11% | | | 09/29/2031 | | | 763,566 | |
| | | | | Artera Services LLC | | | | | | | | | | |
| | 324,275 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.10% | | | 02/10/2031 | | | 316,927 | |
| | | | | Brand Industrial Services, Inc. | |
| | 644,461 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.75% | | | 08/01/2030 | | | 628,050 | |
| | | | | Quikrete Holdings, Inc. | | | | | | | | | | |
| | 393,980 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.10% | | | 03/19/2029 | | | 394,515 | |
| | 124,375 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 04/14/2031 | | | 124,558 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Tamko Building Products LLC | |
| | 396,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.17% | | | 09/20/2030 | | | 397,485 | |
| | | | | Tecta America Corp. | | | | | | | | | | |
| | 557,863 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.96% | | | 04/10/2028 | | | 561,174 | |
| | | | | | | | | | | 3,186,275 | |
| | | |
| | CONSUMER PRODUCTS - 1.9% | |
| | | | | APX Group, Inc. | | | | | | | | | | |
| | 984,010 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor) | | | 8.03% | | | 07/10/2028 | | | 985,319 | |
| | 349 | | | Senior Secured First Lien Term Loan (Prime
Rate + 1.75%, 0.50% Floor) | | | 9.75% | | | 07/10/2028 | | | 349 | |
| | | | | Energizer Holdings, Inc. | | | | | | | | | | |
| | 289,992 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.92% | | | 12/22/2027 | | | 290,717 | |
| | | | | Hunter Douglas, Inc. | | | | | | | | | | |
| | 615,236 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.57% | | | 02/26/2029 | | | 611,775 | |
| | 226,697 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.57% | | | 02/26/2029 | | | 225,422 | |
| | | | | Kronos Acquisition Holdings, Inc. | |
| | 275,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.31% | | | 07/08/2031 | | | 258,500 | |
| | | | | RH | | | | | | | | | | |
| | 664,687 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 10/20/2028 | | | 640,592 | |
| | | | | SWF Holdings I Corp. | | | | | | | | | | |
| | 371,367 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.96% | | | 10/06/2028 | | | 308,855 | |
| | | | | | | | | | | 3,321,529 | |
| | | |
| | CONSUMER STAPLES - 0.2% | |
| | | | | United Natural Foods, Inc. | | | | | | | | | | |
| | 334,163 | | | Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) | | | 10.00% | | | 05/01/2031 | | | 335,833 | |
| | | |
| | CONTAINERS AND GLASS PRODUCTS - 3.2% | |
| | | | | Clydesdale Acquisition Holdings, Inc. | |
| | 611,032 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.18%, 0.50% Floor) | | | 8.02% | | | 04/13/2029 | | | 608,588 | |
| | | | | Graham Packaging Co., Inc. | |
| | 1,047,446 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 08/04/2027 | | | 1,047,619 | |
| | | | | Klockner Pentaplast of America, Inc. | |
| | 331,470 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.73%, 0.50% Floor) | | | 9.72% | | | 02/09/2026 | | | 313,055 | |
| | | | | Pactiv Evergreen Group Holdings, Inc. | |
| | 67,889 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 67,952 | |
| | 53,855 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 53,905 | |
| | 265,652 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 265,901 | |
| | | | | | | | | | | | | | | |
78
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Floating Rate Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Pregis TopCo LLC | | | | | | | | | | |
| | 984,360 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.85% | | | 07/31/2026 | | | 987,609 | |
| | | | | Pretium PKG Holdings, Inc. | |
| | 386,326 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.20%, 1.00% Floor) | | | 9.92% | | | 10/02/2028 | | | 311,313 | |
| | 5,852 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.20%, 1.00% Floor) | | | 9.92% | | | 10/02/2028 | | | 4,716 | |
| | 174,026 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) | | | 10.32% | | | 10/02/2028 | | | 177,562 | |
| | 3,702 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) | | | 10.32% | | | 10/02/2028 | | | 3,777 | |
| | 155,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 6.75%, 0.50% Floor) | | | 12.07% | | | 10/01/2029 | | | 62,775 | |
| | | | | TricorBraun Holdings, Inc. | | | | | | | | | | |
| | 649,729 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.21% | | | 03/03/2028 | | | 638,157 | |
| | | | | Trident TPI Holdings, Inc. | | | | | | | | | | |
| | 1,128,718 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 09/18/2028 | | | 1,131,810 | |
| | | | | | | | | | | 5,674,739 | |
| | | |
| | ELECTRONICS/ELECTRIC - 14.7% | |
| | | | | Access CIG LLC | | | | | | | | | | |
| | 480,090 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.50% Floor) | | | 10.25% | | | 08/18/2028 | | | 482,747 | |
| | | | | Applied Systems, Inc. | | | | | | | | | | |
| | 339,150 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.60% | | | 02/24/2031 | | | 339,808 | |
| | 235,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor) | | | 9.85% | | | 02/23/2032 | | | 242,533 | |
| | | | | Astra Acquisition Corp. | | | | | | | | | | |
| | 404,876 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 8.88%, 0.75% Floor) | | | 13.74% | | | 10/25/2029 | | | 47,194 | |
| | | | | Asurion LLC | | | | | | | | | | |
| | 694,070 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 07/30/2027 | | | 685,492 | |
| | 135,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.21% | | | 02/03/2028 | | | 127,117 | |
| | 113,733 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.20% | | | 08/21/2028 | | | 112,230 | |
| | 500,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.21% | | | 01/22/2029 | | | 463,945 | |
| | 419,897 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.10% | | | 09/19/2030 | | | 413,139 | |
| | | | | Boost Newco Borrower LLC | |
| | 915,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.10% | | | 01/31/2031 | | | 916,523 | |
| | | | | Boxer Parent Co., Inc. | | | | | | | | | | |
| | 1,600,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 9.01% | | | 07/30/2031 | | | 1,598,728 | |
| | 390,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.75%, 0.00% Floor) | | | 11.01% | | | 07/30/2032 | | | 384,476 | |
| | | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Castle US Holding Corp. | | | | | | | | | | |
| | 240,424 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 9.07% | | | 01/29/2027 | | | 161,341 | |
| | | | | Central Parent LLC | | | | | | | | | | |
| | 1,929,975 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 07/06/2029 | | | 1,912,287 | |
| | | | | Chariot Buyer LLC | | | | | | | | | | |
| | 313,425 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 11/03/2028 | | | 313,061 | |
| | 70,000 | | | Senior Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.60% | | | 11/03/2028 | | | 69,711 | |
| | | | | Cloud Software Group, Inc. | | | | | | | | | | |
| | 1,663 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 03/29/2029 | | | 1,658 | |
| | 661,675 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 03/29/2029 | | | 659,743 | |
| | | | | Coherent Corp. | | | | | | | | | | |
| | 116,933 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.35% | | | 07/02/2029 | | | 117,116 | |
| | | | | Conservice Midco LLC | | | | | | | | | | |
| | 446,519 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/13/2027 | | | 448,015 | |
| | | | | Constant Contact, Inc. | | | | | | | | | | |
| | 686,103 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 9.57% | | | 02/10/2028 | | | 665,235 | |
| | | | | Cornerstone OnDemand, Inc. | |
| | 522,374 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 9.11% | | | 10/16/2028 | | | 490,705 | |
| | | | | Cyborg Oldco DC Holdings, Inc. | |
| | 288,397 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.00%) | | | 7.30%(b) | | | 05/01/2026 | | | 1,586 | |
| | | | | Dcert Buyer, Inc. | | | | | | | | | | |
| | 360,398 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.25% | | | 10/16/2026 | | | 350,601 | |
| | 183,653 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 7.00%, 0.00% Floor) | | | 12.25% | | | 02/16/2029 | | | 159,517 | |
| | | | | DG Investment Intermediate Holdings 2, Inc. | |
| | 25,298 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.75%) | | | 8.95% | | | 03/31/2028 | | | 25,274 | |
| | 690,815 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 9.11% | | | 03/31/2028 | | | 690,169 | |
| | 150,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.75% Floor) | | | 11.71% | | | 03/29/2029 | | | 141,469 | |
| | | | | Ellucian Holdings, Inc. | | | | | | | | | | |
| | 1,119,165 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 10/29/2029 | | | 1,123,272 | |
| | | | | Gainwell Acquisition Corp. | | | | | | | | | | |
| | 1,381,346 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.70% | | | 10/01/2027 | | | 1,318,322 | |
| | | | | Helios Software Holdings, Inc. | |
| | 569,229 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.35% | | | 07/15/2030 | | | 567,806 | |
| | | | | ION Trading Finance Ltd. | | | | | | | | | | |
| | 248,530 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.02% | | | 04/03/2028 | | | 248,935 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 79
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Ivanti Software, Inc. | | | | | | | | | | |
| | 311,586 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor) | | | 9.83% | | | 12/01/2027 | | | 265,605 | |
| | | | | McAfee Corp. | | | | | | | | | | |
| | 829,286 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.45% | | | 03/01/2029 | | | 827,408 | |
| | | | | Mitchell International, Inc. | | | | | | | | | | |
| | 1,695,947 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 06/17/2031 | | | 1,673,128 | |
| | 375,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.10% | | | 06/17/2032 | | | 369,219 | |
| | | | | Modena Buyer LLC | | | | | | | | | | |
| | 339,452 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.10% | | | 07/01/2031 | | | 325,769 | |
| | | | | Newfold Digital Holdings Group, Inc. | |
| | 532,589 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.81% | | | 02/10/2028 | | | 472,244 | |
| | | | | Polaris Newco LLC | | | | | | | | | | |
| | 656,490 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.51% | | | 06/05/2028 | | | 646,407 | |
| | | | | Proofpoint, Inc. | | | | | | | | | | |
| | 1,050,407 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 7.85% | | | 08/31/2028 | | | 1,051,095 | |
| | | | | Sabre GLBL, Inc. | | | | | | | | | | |
| | 106,832 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 12/17/2027 | | | 100,110 | |
| | 67,992 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 12/17/2027 | | | 63,714 | |
| | | | | Sedgwick Claims Management Services, Inc. | |
| | 850,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 8.25% | | | 07/31/2031 | | | 849,388 | |
| | | | | SS&C Technologies, Inc. | | | | | | | | | | |
| | 539,199 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/09/2031 | | | 539,795 | |
| | | | | Travelport Finance Luxembourg Sarl | |
| | 344,799 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.00%, 1.00% Floor) | | | 11.60% | | | 09/29/2028 | | | 299,717 | |
| | 106,881 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.00%, 1.00% Floor) | | | 11.60% | | | 09/29/2028 | | | 92,906 | |
| | | | | UKG, Inc. | | | | | | | | | | |
| | 1,556,222 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.55% | | | 02/10/2031 | | | 1,558,167 | |
| | | | | Ultra Clean Holdings, Inc. | | | | | | | | | | |
| | 412,810 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.75% | | | 02/25/2028 | | | 415,047 | |
| | | | | Wec US Holdings Ltd. | | | | | | | | | | |
| | 900,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/27/2031 | | | 900,819 | |
| | | | | | | | | | | 25,730,293 | |
| | | |
| | ENERGY - 3.4% | |
| | | | | BCP Renaissance Parent LLC | |
| | 524,651 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 1.00% Floor) | | | 7.85% | | | 10/31/2028 | | | 525,307 | |
| | | | | Brazos Delaware II LLC | | | | | | | | | | |
| | 79,600 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.25% | | | 02/11/2030 | | | 79,792 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Compass Power Generation LLC | |
| | 952,723 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.60% | | | 04/16/2029 | | | 960,035 | |
| | | | | CPPIB OVM Member US LLC | |
| | 285,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 08/20/2031 | | | 285,475 | |
| | | | | Delek US Holdings, Inc. | | | | | | | | | | |
| | 311,600 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 11/19/2029 | | | 311,254 | |
| | | | | Edgewater Generation LLC | | | | | | | | | | |
| | 390,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.10% | | | 08/01/2030 | | | 393,900 | |
| | | | | Freeport LNG Investments LLLP | |
| | 506,809 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 9.04% | | | 12/21/2028 | | | 502,945 | |
| | | | | GIP II Blue Holding LP | | | | | | | | | | |
| | 279,557 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor) | | | 9.00% | | | 09/29/2028 | | | 280,955 | |
| | | | | GIP Pilot Acquisition Partners LP | |
| | 348,245 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.82% | | | 10/04/2030 | | | 349,405 | |
| | | | | Hamilton Projects Acquiror LLC | |
| | 164,588 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.60% | | | 05/30/2031 | | | 165,986 | |
| | | | | Lightning Power LLC | | | | | | | | | | |
| | 555,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.35% | | | 08/18/2031 | | | 556,773 | |
| | | | | Oryx Midstream Services Permian Basin LLC | |
| | 724,525 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 8.23% | | | 10/05/2028 | | | 725,630 | |
| | | | | Par Petroleum LLC | | | | | | | | | | |
| | 236,400 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 9.06% | | | 02/28/2030 | | | 237,164 | |
| | | | | Traverse Midstream Partners LLC | |
| | 244,144 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.75% | | | 02/16/2028 | | | 245,059 | |
| | | | | WhiteWater DBR HoldCo LLC | |
| | 315,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.35% | | | 03/03/2031 | | | 314,951 | |
| | | | | | | | | | | 5,934,631 | |
| | | |
| | FINANCE - 3.6% | |
| | | | | Allspring Buyer LLC | | | | | | | | | | |
| | 998,221 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.14% | | | 11/01/2028 | | | 996,349 | |
| | | | | BCPE Pequod Buyer, Inc. | | | | | | | | | | |
| | 150,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.50%) | | | 8.42% | | | 09/19/2031 | | | 149,516 | |
| | | | | Edelman Financial Engines Center LLC | |
| | 671,984 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 04/07/2028 | | | 671,501 | |
| | 335,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.10% | | | 10/06/2028 | | | 334,861 | |
| | | | | Fleetcor Technologies (Corpay) T/L B-5 | |
| | 1,125,000 | | | Senior Secured Term Loan | | | 6.60%(a) | | | 04/28/2028 | | | 1,125,090 | |
| | | | | Focus Financial Partners LLC | |
| | 1,494,488 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.25%) | | | 8.33% | | | 09/17/2031 | | | 1,491,738 | |
| | | | | | | | | | | | | | | |
80
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Floating Rate Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 160,512 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.25%) | | | 8.41% | | | 09/17/2031 | | | 160,216 | |
| | | | | GTCR Everest Borrower LLC | |
| | 310,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.60% | | | 09/05/2031 | | | 306,754 | |
| | | | | Hightower Holding LLC | | | | | | | | | | |
| | 1,052,363 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.75% | | | 04/21/2028 | | | 1,054,173 | |
| | | | | | | | | | | 6,290,198 | |
| | | |
| | FINANCIAL INTERMEDIARIES - 0.3% | |
| | | | | Greystone Select Financial LLC | |
| | 220,092 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor) | | | 10.54% | | | 06/19/2028 | | | 219,542 | |
| | | | | Walker & Dunlop, Inc. | | | | | | | | | | |
| | 354,963 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.20% | | | 12/18/2028 | | | 356,294 | |
| | | | | | | | | | | 575,836 | |
| | | |
| | FINANCIALS - 0.1% | |
| | | | | CPI Holdco B LLC | | | | | | | | | | |
| | 235,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/19/2031 | | | 234,181 | |
| | | |
| | FOOD PRODUCTS - 1.2% | |
| | | | | CHG PPC Parent LLC | | | | | | | | | | |
| | 1,438,962 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.71% | | | 12/08/2028 | | | 1,437,170 | |
| | | | | H-Food Holdings LLC | | | | | | | | | | |
| | 219,038 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.69%, 0.00% Floor) | | | 9.01% | | | 05/30/2025 | | | 165,556 | |
| | | | | Monogram Food Solutions LLC | |
| | 474,731 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.96% | | | 08/28/2028 | | | 469,984 | |
| | | | | | | | | | | 2,072,710 | |
| | | |
| | HEALTHCARE - 9.1% | |
| | | | | ADMI Corp. | | | | | | | | | | |
| | 409,720 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.71% | | | 12/23/2027 | | | 401,890 | |
| | 530,988 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.75%, 0.00% Floor) | | | 10.60% | | | 12/23/2027 | | | 532,480 | |
| | | | | AthenaHealth Group, Inc. | | | | | | | | | | |
| | 1,293,344 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.50% | | | 02/15/2029 | | | 1,287,420 | |
| | | | | Aveanna Healthcare LLC | | | | | | | | | | |
| | 578,942 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.91% | | | 07/17/2028 | | | 566,857 | |
| | 376,650 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.50% Floor) | | | 12.21% | | | 12/10/2029 | | | 356,524 | |
| | | | | Bausch + Lomb Corp. | | | | | | | | | | |
| | 1,139,383 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.27% | | | 05/10/2027 | | | 1,136,694 | |
| | 277,200 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.85% | | | 09/29/2028 | | | 277,375 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Catalent Pharma Solutions, Inc. | |
| | 566,199 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 7.03% | | | 02/22/2028 | | | 566,465 | |
| | | | | CHG Healthcare Services, Inc. | |
| | 1,034,444 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 09/29/2028 | | | 1,037,243 | |
| | 546,548 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 09/29/2028 | | | 547,261 | |
| | | | | CNT Holdings I Corp. | | | | | | | | | | |
| | 124,063 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.75% | | | 11/08/2027 | | | 124,492 | |
| | | | | Cotiviti, Inc. | | | | | | | | | | |
| | 800,975 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.45% | | | 04/30/2031 | | | 801,476 | |
| | | | | FinThrive Software Intermediate Holdings, Inc. | |
| | 300,265 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.96% | | | 12/18/2028 | | | 209,747 | |
| | | | | Fortrea Holdings, Inc. | | | | | | | | | | |
| | 44,463 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.49% | | | 07/01/2030 | | | 44,490 | |
| | | | | LifePoint Health, Inc. | | | | | | | | | | |
| | 1,149,151 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor) | | | 10.05% | | | 11/16/2028 | | | 1,150,013 | |
| | 124,688 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.96% | | | 05/14/2031 | | | 124,855 | |
| | | | | Medline Borrower LP | | | | | | | | | | |
| | 843,050 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 10/23/2028 | | | 844,344 | |
| | | | | Pacific Dental Services, Inc. | |
| | 771,462 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.85% | | | 03/17/2031 | | | 771,944 | |
| | | | | Packaging Coordinators Midco, Inc. | |
| | 995,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.10% | | | 11/30/2027 | | | 995,856 | |
| | | | | Phoenix Newco, Inc. | | | | | | | | | | |
| | 1,449,627 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 7.85% | | | 11/15/2028 | | | 1,451,548 | |
| | | | | PointClickCare Technologies, Inc. | |
| | 285,704 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.75% Floor) | | | 7.60% | | | 12/29/2027 | | | 286,061 | |
| | | | | Radiology Partners, Inc. | | | | | | | | | | |
| | 686,426 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor) | | | 8.88% | | | 01/31/2029 | | | 674,417 | |
| | 12,369 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor) | | | 8.88% | | | 01/31/2029 | | | 12,152 | |
| | | | | Select Medical Corp. | | | | | | | | | | |
| | 182,967 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 8.25% | | | 03/05/2027 | | | 183,920 | |
| | | | | Sound Inpatient Physicians Holdings LLC | |
| | 300,000 | | | Senior Secured Term Loan (3 mo. Term SOFR + 6.75%) | | | 12.32% | | | 06/29/2026 | | | 48,375 | |
| | | | | Southern Veterinary Partners LLC | |
| | 1,217,748 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 1.00% Floor) | | | 8.00% | | | 10/05/2027 | | | 1,221,553 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 81
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Team Health Holdings, Inc. | | | | | | | | | | |
| | 241,527 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor) | | | 10.50% | | | 03/02/2027 | | | 231,677 | |
| | | | | | | | | | | 15,887,129 | |
| | | |
| | HOTELS/MOTELS/INNS AND CASINOS - 6.7% | |
| | | | | 1011778 BC ULC | | | | | | | | | | |
| | 359,100 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 09/23/2030 | | | 356,087 | |
| | | | | Alterra Mountain Co. | | | | | | | | | | |
| | 823,146 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 08/17/2028 | | | 826,060 | |
| | 401,743 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/31/2030 | | | 403,583 | |
| | | | | Bally’s Corp. | | | | | | | | | | |
| | 762,745 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.79% | | | 10/02/2028 | | | 728,185 | |
| | | | | Caesars Entertainment, Inc. | |
| | 255,150 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 02/06/2030 | | | 255,648 | |
| | 646,750 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 02/06/2031 | | | 647,710 | |
| | | | | Carnival Corp. | | | | | | | | | | |
| | 61,449 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.00% | | | 08/09/2027 | | | 61,699 | |
| | 468,988 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.00% | | | 10/18/2028 | | | 470,503 | |
| | | | | ClubCorp Holdings, Inc. | | | | | | | | | | |
| | 568,242 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 9.87% | | | 09/18/2026 | | | 569,817 | |
| | 23,191 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 9.87% | | | 09/18/2026 | | | 23,256 | |
| | | | | Fertitta Entertainment LLC/NV | |
| | 1,653,889 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.85% | | | 01/29/2029 | | | 1,651,193 | |
| | | | | Flutter Financing BV | | | | | | | | | | |
| | 223,313 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.60% | | | 11/29/2030 | | | 223,831 | |
| | | | | GBT US III LLC | | | | | | | | | | |
| | 280,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 8.28% | | | 07/28/2031 | | | 279,766 | |
| | | | | Hilton Grand Vacations Borrower LLC | |
| | 442,775 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.50% | | | 01/17/2031 | | | 440,284 | |
| | | | | LC Ahab US Bidco LLC | | | | | | | | | | |
| | 580,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/01/2031 | | | 583,265 | |
| | | | | Motion Finco Sarl | | | | | | | | | | |
| | 645,844 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.10% | | | 11/30/2029 | | | 622,351 | |
| | | | | Ontario Gaming GTA LP | | | | | | | | | | |
| | 814,212 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.89% | | | 08/01/2030 | | | 814,464 | |
| | | | | Playa Resorts Holding BV | | | | | | | | | | |
| | 934,190 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 01/05/2029 | | | 929,323 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Scientific Games Holdings LP | |
| | 420,000 | | | Senior Secured Term Loan (3 mo. Term SOFR + 3.00%) | | | 8.32% | | | 04/04/2029 | | | 417,997 | |
| | | | | Whatabrands LLC | | | | | | | | | | |
| | 941,627 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 08/03/2028 | | | 941,311 | |
| | | | | Wyndham Hotels & Resorts, Inc. | |
| | 512,979 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 05/28/2030 | | | 513,379 | |
| | | | | | | | | | | 11,759,712 | |
| | | |
| | INDUSTRIAL EQUIPMENT - 5.2% | |
| | | | | AI Aqua Merger Sub, Inc. | | | | | | | | | | |
| | 1,129,960 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.70% | | | 07/31/2028 | | | 1,129,904 | |
| | | | | BCPE Empire Holdings, Inc. | |
| | 998,939 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.85% | | | 12/26/2028 | | | 1,000,502 | |
| | | | | Castlelake Aviation One DAC | |
| | 570 | | | Senior Secured First Lien Term Loan (3 mo. LIBOR US + 2.75%, 0.50% Floor) | | | 7.45%(c) | | | 10/22/2026 | | | 572 | |
| | 901,195 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.45% | | | 10/22/2026 | | | 904,241 | |
| | | | | Columbus McKinnon Corp./NY | |
| | 453,910 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.10% | | | 05/15/2028 | | | 455,044 | |
| | | | | Crosby US Acquisition Corp. | |
| | 78,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.50%) | | | 8.60% | | | 08/16/2029 | | | 78,244 | |
| | 218,353 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.25% | | | 08/16/2029 | | | 219,035 | |
| | | | | Dynamo US Bidco, Inc. | | | | | | | | | | |
| | 205,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 4.00%) | | | 9.10% | | | 09/25/2031 | | | 205,769 | |
| | | | | Lummus Technology Holdings V LLC | |
| | 549,371 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.46% | | | 12/31/2029 | | | 551,629 | |
| | | | | Madison IAQ LLC | | | | | | | | | | |
| | 1,010,924 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.89% | | | 06/21/2028 | | | 1,011,313 | |
| | | | | Restaurant Technologies, Inc. | |
| | 838,167 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 797,005 | |
| | 79,808 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 75,889 | |
| | 79,808 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 75,889 | |
| | | | | Spin Holdco, Inc. | | | | | | | | | | |
| | 277,134 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 9.26% | | | 03/06/2028 | | | 243,821 | |
| | | | | Titan Acquisition Ltd./Canada | |
| | 842,888 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 10.33% | | | 02/15/2029 | | | 839,845 | |
| | | | | TK Elevator US Newco, Inc. | | | | | | | | | | |
| | 713,037 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.59% | | | 04/30/2030 | | | 715,265 | |
| | | | | | | | | | | | | | | |
82
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Floating Rate Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 409,587 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.59% | | | 04/30/2030 | | | 410,867 | |
| | | | | White Cap Supply Holdings LLC | |
| | 435,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 10/31/2029 | | | 432,364 | |
| | | | | | | | | | | 9,147,198 | |
| | | |
| | INSURANCE - 3.4% | |
| | | | | Acrisure LLC | | | | | | | | | | |
| | 1,367,914 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 11/06/2030 | | | 1,357,231 | |
| | | | | Alliant Holdings Intermediate LLC | |
| | 803,925 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%) | | | 7.96% | | | 09/19/2031 | | | 800,331 | |
| | | | | Ardonagh Group Finco Pty Ltd. | |
| | 18,871 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%) | | | 8.35% | | | 02/18/2031 | | | 18,939 | |
| | 89,996 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%) | | | 8.53% | | | 02/18/2031 | | | 90,319 | |
| | 214,791 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%) | | | 8.53% | | | 02/18/2031 | | | 215,563 | |
| | | | | AssuredPartners, Inc. | | | | | | | | | | |
| | 980,300 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 02/14/2031 | | | 980,472 | |
| | | | | BroadStreet Partners, Inc. | | | | | | | | | | |
| | 402,669 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 06/16/2031 | | | 401,528 | |
| | 41,218 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 06/16/2031 | | | 41,101 | |
| | | | | Cross Financial Corp. | | | | | | | | | | |
| | 534,559 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.35% | | | 09/15/2027 | | | 535,227 | |
| | | | | OneDigital Borrower LLC | | | | | | | | | | |
| | 1,152,113 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 07/02/2031 | | | 1,144,434 | |
| | 385,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.50% Floor) | | | 10.10% | | | 07/02/2032 | | | 382,112 | |
| | | | | | | | | | | 5,967,257 | |
| | | |
| | IT SERVICES - 0.5% | |
| | | | | Iron Mountain Information Management LLC | |
| | 838,663 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 834,993 | |
| | | |
| | MEDIA - 2.2% | |
| | | | | ABG Intermediate Holdings 2 LLC | |
| | 520,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 2.75%) | | | 7.85% | | | 12/21/2028 | | | 521,139 | |
| | | | | Acuris Finance US, Inc. | | | | | | | | | | |
| | 519,883 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.48% | | | 02/16/2028 | | | 518,584 | |
| | | | | CMG Media Corp. | | | | | | | | | | |
| | 215,910 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.20% | | | 12/17/2026 | | | 191,203 | |
| | | | | CSC Holdings LLC | | | | | | | | | | |
| | 707,591 | | | Senior Secured First Lien Term Loan (Synthetic LIBOR(6M) + 2.50%, 0.00% Floor) | | | 7.17%(c) | | | 04/15/2027 | | | 649,469 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Delta 2 Lux Sarl | | | | | | | | | | |
| | 80,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 80,142 | |
| | 40,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 40,071 | |
| | | | | Directv Financing LLC | | | | | | | | | | |
| | 408,875 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.00%, 0.75% Floor) | | | 9.96% | | | 08/02/2027 | | | 409,625 | |
| | | | | NEP Group, Inc. | | | | | | | | | | |
| | 658,352 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor) | | | 8.12% | | | 08/19/2026 | | | 633,252 | |
| | 33,152 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.12% | | | 08/19/2026 | | | 31,888 | |
| | | | | United Talent Agency LLC | | | | | | | | | | |
| | 248,750 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.87% | | | 07/07/2028 | | | 249,683 | |
| | | | | Univision Communications, Inc. | |
| | 509,498 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 06/25/2029 | | | 503,450 | |
| | | | | | | | | | | 3,828,506 | |
| | | |
| | MINING - 0.3% | |
| | | | | Arsenal AIC Parent LLC | | | | | | | | | | |
| | 89,775 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 08/19/2030 | | | 89,820 | |
| | | | | Foresight Energy LLC | | | | | | | | | | |
| | 384,769 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 8.00%, 1.50% Floor) | | | 12.70%(d) | | | 06/30/2027 | | | 384,769 | |
| | | | | | | | | | | 474,589 | |
| | | |
| | PHARMACEUTICALS - 1.2% | |
| | | | | Curium Bidco Sarl | | | | | | | | | | |
| | 167,606 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.50%) | | | 8.51% | | | 07/31/2029 | | | 168,374 | |
| | 365,549 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 367,224 | |
| | 242,615 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 243,726 | |
| | 107,800 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 108,294 | |
| | | | | Grifols Worldwide Operations USA, Inc. | |
| | 407,948 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.40% | | | 11/15/2027 | | | 397,239 | |
| | | | | Organon & Co. | |
| | 343,331 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 05/19/2031 | | | 343,331 | |
| | | | | Perrigo Investments LLC | |
| | 506,330 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.20% | | | 04/20/2029 | | | 506,753 | |
| | | | | | | | | | | 2,134,941 | |
| | | |
| | REAL ESTATE - 0.3% | |
| | | | | Starwood Property Mortgage LLC | |
| | 507,275 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 8.00% | | | 11/18/2027 | | | 509,020 | |
| | | |
| | RETAILERS (OTHER THAN FOOD/DRUG) - 3.6% | |
| | | | | Apro LLC | | | | | | | | | | |
| | 620,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.87% | | | 07/09/2031 | | | 622,908 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 83
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | EG America LLC | | | | | | | | | | |
| | 84,588 | | | Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 4.25%, 0.50% Floor) | | | 10.01% | | | 03/31/2026 | | | 84,694 | |
| | 497,494 | | | Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 5.50%, 0.00% Floor) | | | 10.72% | | | 02/07/2028 | | | 497,909 | |
| | | | | Great Outdoors Group LLC | | | | | | | | | | |
| | 962,431 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.71% | | | 03/06/2028 | | | 963,533 | |
| | | | | Harbor Freight Tools USA, Inc. | |
| | 51,719 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.24% | | | 06/11/2031 | | | 50,998 | |
| | 388,281 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 06/11/2031 | | | 382,862 | |
| | | | | HomeServe USA Corp. | | | | | | | | | | |
| | 333,325 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.21% | | | 10/21/2030 | | | 333,117 | |
| | | | | Mavis Tire Express Services Topco Corp. | |
| | 578,994 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.35% | | | 05/04/2028 | | | 579,387 | |
| | | | | Michaels Cos., Inc. | | | | | | | | | | |
| | 200,623 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor) | | | 9.12% | | | 04/17/2028 | | | 159,195 | |
| | | | | PetSmart LLC | | | | | | | | | | |
| | 1,264,474 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.70% | | | 02/14/2028 | | | 1,255,553 | |
| | | | | Staples, Inc. | | | | | | | | | | |
| | 260,000 | | | Senior Secured First Lien Term Loan (3 mo. Term SOFR + 5.75%) | | | 10.69% | | | 09/10/2029 | | | 236,878 | |
| | | | | StubHub Holdco Sub LLC | | | | | | | | | | |
| | 643,666 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor) | | | 9.60% | | | 03/15/2030 | | | 644,200 | |
| | | | | Upbound Group, Inc. | | | | | | | | | | |
| | 367,019 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor) | | | 8.00% | | | 02/17/2028 | | | 366,830 | |
| | | | | Victra Holdings LLC | | | | | | | | | | |
| | 49,375 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor) | | | 9.85% | | | 03/29/2029 | | | 49,869 | |
| | | | | | | | | | | 6,227,933 | |
| | | |
| | TECHNOLOGY - 0.5% | |
| | | | | CommScope LLC | | | | | | | | | | |
| | 341,416 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 04/06/2026 | | | 331,529 | |
| | | | | Tiger Acquisition LLC | | | | | | | | | | |
| | 586,378 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.20% | | | 06/01/2028 | | | 584,325 | |
| | | | | | | | | | | 915,854 | |
| | | |
| | TELECOMMUNICATIONS - 2.6% | |
| | | | | Altice France SA | | | | | | | | | | |
| | 717,430 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.50%, 0.00% Floor) | | | 10.80% | | | 08/31/2028 | | | 539,866 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Aventiv Technologies LLC | | | | | | | | | | |
| | 13,370 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.50%, 0.00% Floor) | | | 12.37% | | | 07/31/2025 | | | 13,620 | |
| | | | | Connect Finco SARL | | | | | | | | | | |
| | 168,803 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 12/11/2026 | | | 168,350 | |
| | | | | Frontier Communications Holdings LLC | |
| | 690,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.76% | | | 07/01/2031 | | | 696,038 | |
| | | | | Gogo Intermediate Holdings LLC | |
| | 843,978 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 9.11% | | | 04/28/2028 | | | 797,909 | |
| | | | | Level 3 Financing, Inc. | | | | | | | | | | |
| | 132,180 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor) | | | 11.41% | | | 04/16/2029 | | | 135,171 | |
| | 132,180 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor) | | | 11.41% | | | 04/15/2030 | | | 134,835 | |
| | | | | Telesat LLC | | | | | | | | | | |
| | 139,852 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.81% | | | 12/07/2026 | | | 69,315 | |
| | | | | Virgin Media Bristol LLC | | | | | | | | | | |
| | 1,120,000 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.66% | | | 03/31/2031 | | | 1,071,157 | |
| | | | | Zayo Group Holdings, Inc. | | | | | | | | | | |
| | 473,773 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.96% | | | 03/09/2027 | | | 434,144 | |
| | | | | Ziggo Financing Partnership | |
| | 470,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.71% | | | 04/28/2028 | | | 459,587 | |
| | | | | | | | | | | 4,519,992 | |
| | | |
| | TRANSPORTATION - 2.3% | |
| | | | | AAdvantage Loyalty IP Ltd. | | | | | | | | | | |
| | 667,500 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor) | | | 10.29% | | | 04/20/2028 | | | 687,245 | |
| | | | | Brown Group Holding LLC | | | | | | | | | | |
| | 624,926 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 07/01/2031 | | | 624,448 | |
| | 225,386 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 07/01/2031 | | | 225,213 | |
| | | | | Kenan Advantage Group, Inc. | |
| | 597,004 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 01/25/2029 | | | 596,010 | |
| | | | | Lasership, Inc. | | | | | | | | | | |
| | 130,384 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.50%, 0.00% Floor) | | | 12.37% | | | 05/07/2029 | | | 54,500 | |
| | | | | SkyMiles IP Ltd. | | | | | | | | | | |
| | 147,487 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) | | | 9.03% | | | 10/20/2027 | | | 150,400 | |
| | | | | United Airlines, Inc. | | | | | | | | | | |
| | 802,988 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 8.03% | | | 02/24/2031 | | | 805,497 | |
| | | | | WestJet Loyalty LP | | | | | | | | | | |
| | 980,075 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.35% | | | 02/14/2031 | | | 971,293 | |
| | | | | | | | | | | 4,114,606 | |
| | | | | | | | | | | | |
84
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Floating Rate Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | UTILITIES - 2.0% | |
| | | | | Alpha Generation LLC | | | | | | | | | | |
| | 610,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 2.75%) | | | 7.85% | | | 09/30/2031 | | | 610,872 | |
| | | | | CQP Holdco LP | | | | | | | | | | |
| | 691,529 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.58% | | | 12/31/2030 | | | 691,692 | |
| | | | | Natgasoline LLC | | | | | | | | | | |
| | 547,014 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.00% Floor) | | | 9.02% | | | 11/14/2025 | | | 544,279 | |
| | | | | NRG Energy, Inc. | | | | | | | | | | |
| | 417,900 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.26% | | | 04/16/2031 | | | 419,102 | |
| | | | | Thunder Generation T/L | | | | | | | | | | |
| | 735,000 | | | Senior Secured Term Loan | | | 7.96%(a) | | | 09/27/2031 | | | 735,000 | |
| | | | | WaterBridge Midstream Operating LLC | |
| | 210,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor) | | | 9.39% | | | 06/27/2029 | | | 203,325 | |
| | | | | WaterBridge NDB Operating LLC | |
| | 310,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.60% | | | 05/10/2029 | | | 309,856 | |
| | | | | | | | | | | 3,514,126 | |
| | | | | Total Bank Loans
(Cost $152,878,155) | | | 151,584,403 | |
| | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 2.9% | |
| | | | | Bridge Street CLO Ltd. | | | | | | | | | | |
| | 2,000,000 | | | Series 2024-1A-A (3 mo. Term SOFR + 1.60%, 1.60% Floor) | | | 6.92%(e) | | | 04/20/2037 | | | 2,007,254 | |
| | | | | Crown City CLO | | | | | | | | | | |
| | 1,000,000 | | | Series 2023-5A-A1R (3 mo. Term SOFR + 1.60%, 1.60% Floor) | | | 6.88%(e) | | | 04/20/2037 | | | 1,003,720 | |
| | | | | Katayma CLO Ltd. | | | | | | | | | | |
| | 2,000,000 | | | Series 2023-1A-A1 (3 mo. Term SOFR + 2.00%, 2.00% Floor) | | | 7.28%(e) | | | 10/20/2036 | | | 2,017,408 | |
| | | | | Total Collateralized Loan Obligations
(Cost $5,000,000) | | | | | | 5,028,382 | |
| | | |
| | FOREIGN CORPORATE BONDS - 0.2% | |
| | 100,000 | | | Bombardier, Inc. | | | 7.00%(e) | | | 06/01/2032 | | | 104,719 | |
| | 100,000 | | | Global Aircraft Leasing Co. Ltd. | | | 8.75%(e) | | | 09/01/2027 | | | 101,600 | |
| | 100,000 | | | Husky Injection Molding Systems Ltd. / Titan Co.-Borrower LLC | | | 9.00%(e) | | | 02/15/2029 | | | 104,476 | |
| | 50,000 | | | Kronos Acquisition Holdings, Inc. | | | 8.25%(e) | | | 06/30/2031 | | | 50,252 | |
| | | | | Total Foreign Corporate Bonds
(Cost $359,126) | | | | | | 361,047 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | US CORPORATE BONDS - 4.4% | |
| | 100,000 | | | Allied Universal Holdco LLC | | | 7.88%(e) | | | 02/15/2031 | | | 102,235 | |
| | 2,000,000 | | | American Express Co.
(SOFR + 1.00%) | | | 6.06% | | | 02/16/2028 | | | 2,015,757 | |
| | 100,000 | | | AthenaHealth Group, Inc. | | | 6.50%(e) | | | 02/15/2030 | | | 96,138 | |
| | 100,000 | | | Builders FirstSource, Inc. | | | 6.38%(e) | | | 03/01/2034 | | | 103,960 | |
| | 100,000 | | | Caesars Entertainment, Inc. | | | 6.50%(e) | | | 02/15/2032 | | | 103,504 | |
| | 1,000,000 | | | Carnival Corp. | | | 4.00%(e) | | | 08/01/2028 | | | 966,468 | |
| | 50,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp. | | | 4.75%(e) | | | 03/01/2030 | | | 46,029 | |
| | 2,000,000 | | | Charles Schwab Corp.
(SOFR + 1.05%) | | | 6.03% | | | 03/03/2027 | | | 2,018,211 | |
| | 50,000 | | | Frontier Communications Holdings LLC | | | 6.75%(e) | | | 05/01/2029 | | | 50,388 | |
| | 1,000,000 | | | IRB Holding Corp. | | | 7.00%(e) | | | 06/15/2025 | | | 1,000,000 | |
| | 50,000 | | | Level 3 Financing, Inc. | | | 10.50%(e) | | | 04/15/2029 | | | 54,753 | |
| | 100,000 | | | LifePoint Health, Inc. | | | 10.00%(e) | | | 06/01/2032 | | | 110,062 | |
| | 100,000 | | | Madison IAQ LLC | | | 5.88%(e) | | | 06/30/2029 | | | 97,451 | |
| | 100,000 | | | Medline Borrower LP | | | 5.25%(e) | | | 10/01/2029 | | | 98,192 | |
| | 100,000 | | | Nationstar Mortgage Holdings, Inc. | | | 5.75%(e) | | | 11/15/2031 | | | 98,068 | |
| | 100,000 | | | OneMain Finance Corp. | | | 7.50% | | | 05/15/2031 | | | 103,025 | |
| | 100,000 | | | Scientific Games Holdings LP/Scientific Games US FinCo, Inc. | | | 6.63%(e) | | | 03/01/2030 | | | 99,309 | |
| | 138,000 | | | Six Flags Theme Parks, Inc. | | | 7.00%(e) | | | 07/01/2025 | | | 138,399 | |
| | 100,000 | | | SM Energy Co. | | | 7.00%(e) | | | 08/01/2032 | | | 100,455 | |
| | 50,000 | | | United Natural Foods, Inc. | | | 6.75%(e) | | | 10/15/2028 | | | 47,736 | |
| | 50,000 | | | Univision Communications, Inc. | | | 7.38%(e) | | | 06/30/2030 | | | 48,432 | |
| | 100,000 | | | Vistra Operations Co. LLC | | | 6.88%(e) | | | 04/15/2032 | | | 105,275 | |
| | 100,000 | | | WR Grace Holdings LLC | | | 5.63%(e) | | | 08/15/2029 | | | 94,039 | |
| | 100,000 | | | XHR LP | | | 4.88%(e) | | | 06/01/2029 | | | 95,935 | |
| | | | | Total US Corporate Bonds
(Cost $7,681,176) | | | | | | 7,793,821 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | COMMON STOCKS - 0.0%(f) | |
| | 22,003 | | | Flame Aggregator - Series R(d)(g) | | | | | | | | | 104,734 | |
| | 2,186 | | | Flame Aggregator - Series U(d)(g) | | | | | | | | | 10,406 | |
| | | | | Total Common Stocks
(Cost $49,603) | | | | | | 115,140 | |
| | | |
| | SHORT TERM INVESTMENTS - 8.1% | |
| | 4,710,081 | | | First American Government Obligations Fund - U | | | 4.84%(h) | | | | | | 4,710,081 | |
| | 4,710,081 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(h) | | | | | | 4,710,081 | |
| | 4,710,080 | | | MSILF Government Portfolio - Institutional | | | 4.83%(h) | | | | | | 4,710,080 | |
| | | | | Total Short Term Investments
(Cost $14,130,242) | | | | | | 14,130,242 | |
| | | | | Total Investments - 102.1%
(Cost $180,098,302) | | | 179,013,035 | |
| | | | | Other Liabilities in Excess of Assets - (2.1)% | | | | | | | | | (3,701,925) | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $175,311,110 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 85
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
| | Bank Loans | | | 86.5% | |
| | Short Term Investments | | | 8.1% | |
| | US Corporate Bonds | | | 4.4% | |
| | Collateralized Loan Obligations | | | 2.9% | |
| | Foreign Corporate Bonds | | | 0.2% | |
| | Common Stocks | | | 0.0%(f) | |
| | Other Assets and Liabilities | | | (2.1)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
| | Electronics/Electric | | | 14.7% | |
| | Healthcare | | | 9.1% | |
| | Short Term Investments | | | 8.1% | |
| | Hotels/Motels/Inns and Casinos | | | 6.8% | |
| | Industrial Equipment | | | 5.2% | |
| | Business Equipment and Services | | | 4.9% | |
| | Finance | | | 4.8% | |
| | Chemicals/Plastics | | | 3.6% | |
| | Retailers (other than Food/Drug) | | | 3.6% | |
| | Energy | | | 3.5% | |
| | Commercial Services | | | 3.4% | |
| | Insurance | | | 3.4% | |
| | Containers and Glass Products | | | 3.2% | |
| | Collateralized Loan Obligations | | | 2.9% | |
| | Telecommunications | | | 2.7% | |
| | Transportation | | | 2.4% | |
| | Media | | | 2.3% | |
| | Utilities | | | 2.1% | |
| | Consumer Products | | | 1.9% | |
| | Construction | | | 1.8% | |
| | Aerospace & Defense | | | 1.7% | |
| | Building and Development (including Steel/Metals) | | | 1.3% | |
| | Pharmaceuticals | | | 1.2% | |
| | Food Products | | | 1.2% | |
| | Banking | | | 1.2% | |
| | Automotive | | | 0.8% | |
| | Beverage and Tobacco | | | 0.7% | |
| | Leisure | | | 0.6% | |
| | Technology | | | 0.6% | |
| | Food Service | | | 0.6% | |
| | IT Services | | | 0.5% | |
| | Real Estate | | | 0.3% | |
| | Mining | | | 0.3% | |
| | Financial Intermediaries | | | 0.3% | |
| | Consumer Staples | | | 0.2% | |
| | Financials | | | 0.1% | |
| | Diversified Manufacturing | | | 0.1% | |
| | Other Assets and Liabilities | | | (2.1)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
|
(b)
| Security is in default or has failed to make a scheduled payment. Income is not being accrued.
|
(c)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
|
(d)
| Value determined using significant unobservable inputs.
|
(e)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.
|
(f)
| Represents less than 0.05% of net assets.
|
(g)
| Non-income producing security.
|
(h)
| Seven-day yield as of period end. |
LIBOR
| London Interbank Offered Rate
|
PIK
| A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.
|
SOFR
| Secured Overnight Financing Rate |
86
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Shiller Enhanced CAPE® | (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS- 7.3%
| |
| | | | | ACHV Trust | |
| | 268,369 | | | Series 2023-2PL-B | | | 6.88%(a) | | | 05/20/2030 | | | 268,517 | |
| | 5,000,000 | | | Series 2024-2PL-B | | | 5.43%(a) | | | 10/27/2031 | | | 5,024,195 | |
| | | | | Affirm, Inc. | | | | | | | | | | |
| | 4,550,000 | | | Series 2023-A-B | | | 7.18%(a) | | | 01/18/2028 | | | 4,572,429 | |
| | 3,607,386 | | | Series 2023-X1-A | | | 7.11%(a) | | | 11/15/2028 | | | 3,622,162 | |
| | 3,750,000 | | | Series 2024-A-A | | | 5.61%(a) | | | 02/15/2029 | | | 3,801,131 | |
| | 5,100,000 | | | Series 2024-B-B | | | 4.88%(a) | | | 09/15/2029 | | | 5,106,496 | |
| | 3,787,447 | | | Series 2024-X1-A | | | 6.27%(a) | | | 05/15/2029 | | | 3,800,447 | |
| | | | | Aligned Data Centers Issuer LLC | |
| | 6,000,000 | | | Series 2021-1A-A2 | | | 1.94%(a) | | | 08/15/2046 | | | 5,689,811 | |
| | | | | Amur Equipment Finance Receivables LLC | |
| | 4,000,000 | | | Series 2021-1A-D | | | 2.30%(a) | | | 11/22/2027 | | | 3,971,980 | |
| | | | | AVANT Loans Funding Trust | | | | | | | | | | |
| | 7,250,000 | | | Series 2024-REV1-A | | | 5.92%(a) | | | 10/15/2033 | | | 7,353,424 | |
| | | | | Bridgecrest Lending Auto Securitization Trust | |
| | 3,435,492 | | | Series 2024-1-A2 | | | 5.82% | | | 09/15/2026 | | | 3,438,244 | |
| | 6,068,802 | | | Series 2024-2-A2 | | | 5.78% | | | 02/16/2027 | | | 6,082,978 | |
| | | | | CAI International, Inc. | |
| | 4,785,000 | | | Series 2020-1A-A | | | 2.22%(a) | | | 09/25/2045 | | | 4,467,628 | |
| | | | | Carvana Auto Receivables Trust | |
| | 5,361,688 | | | Series 2024-N1-A2 | | | 5.76%(a) | | | 04/12/2027 | | | 5,378,558 | |
| | 4,229,530 | | | Series 2024-P1-A2 | | | 5.50%(a) | | | 08/10/2027 | | | 4,243,159 | |
| | 8,000,000 | | | Series 2024-P3-A4 | | | 4.31% | | | 09/10/2030 | | | 7,990,198 | |
| | | | | Castlelake Aircraft Securitization Trust | |
| | 2,571,808 | | | Series 2019-1A-A | | | 3.97%(a) | | | 04/15/2039 | | | 2,418,415 | |
| | | | | College Avenue Student Loans LLC | |
| | 615,548 | | | Series 2017-A-B | | | 4.50%(a) | | | 11/26/2046 | | | 594,076 | |
| | | | | Compass Datacenters LLC | | | | | | | | | | |
| | 8,585,000 | | | Series 2024-1A-A1 | | | 5.25%(a) | | | 02/25/2049 | | | 8,672,153 | |
| | | | | Diamond Resorts Owner Trust | | | | | | | | | | |
| | 1,205,164 | | | Series 2021-1A-C | | | 2.70%(a) | | | 11/21/2033 | | | 1,167,436 | |
| | | | | DRB Prime Student Loan Trust | | | | | | | | | | |
| | 76,018 | | | Series 2017-A-B | | | 3.10%(a)(b) | | | 05/27/2042 | | | 75,850 | |
| | | | | Exeter Automobile Receivables Trust | |
| | 2,338,176 | | | Series 2021-1A-D | | | 1.08% | | | 11/16/2026 | | | 2,303,041 | |
| | 10,000,000 | | | Series 2021-1A-E | | | 2.21%(a) | | | 02/15/2028 | | | 9,734,418 | |
| | 1,733,842 | | | Series 2023-5A-A2 | | | 6.20% | | | 04/15/2026 | | | 1,734,726 | |
| | 5,189,000 | | | Series 2024-5A-A3 | | | 4.45% | | | 03/15/2028 | | | 5,153,891 | |
| | | | | General Motors Financial Co., Inc. | |
| | 1,274,002 | | | Series 2021-2-B | | | 0.69% | | | 01/19/2027 | | | 1,263,788 | |
| | | | | Genesis Sales Finance Master Trust | |
| | 10,000,000 | | | Series 2021-AA-C | | | 1.65%(a) | | | 12/21/2026 | | | 9,647,957 | |
| | | | | Global Sea Containers Two SRL | | | | | | | | | | |
| | 2,775,001 | | | Series 2020-1A-A | | | 2.17%(a) | | | 10/17/2040 | | | 2,632,656 | |
| | | | | GLS Auto Receivables Trust | | | | | | | | | | |
| | 5,740,131 | | | Series 2023-4A-A2 | | | 6.40%(a) | | | 12/15/2026 | | | 5,762,013 | |
| | | | | HERO Funding Trust | | | | | | | | | | |
| | 647,536 | | | Series 2016-1A-A | | | 4.05%(a) | | | 09/20/2041 | | | 612,928 | |
| | | | | Horizon Aircraft Finance Ltd. | | | | | | | | | | |
| | 13,618,482 | | | Series 2019-2-A | | | 3.43%(a) | | | 11/15/2039 | | | 12,265,078 | |
| | | | | Jack in the Box, Inc. | | | | | | | | | | |
| | 4,356,975 | | | Series 2019-1A-A2II | | | 4.48%(a) | | | 08/25/2049 | | | 4,282,139 | |
| | | | | Jimmy Johns LLC | | | | | | | | | | |
| | 11,239,500 | | | Series 2017-1A-A2II | | | 4.85%(a) | | | 07/30/2047 | | | 11,099,410 | |
| | | | | Laurel Road Prime Student Loan Trust | |
| | 515,396 | | | Series 2017-B-CFX | | | 3.61%(a) | | | 08/25/2042 | | | 505,555 | |
| | | | | Lendbuzz Securitization Trust | | | | | | | | | | |
| | 2,577,540 | | | Series 2022-1A-A | | | 4.22%(a) | | | 05/17/2027 | | | 2,557,326 | |
| | 3,000,000 | | | Series 2024-3A-A2 | | | 4.97%(a) | | | 10/15/2029 | | | 3,005,574 | |
| | | | | Loanpal Solar Loan Ltd. | | | | | | | | | | |
| | 6,256,063 | | | Series 2020-3GS-A | | | 2.47%(a) | | | 12/20/2047 | | | 5,393,758 | |
| | 3,922,651 | | | Series 2021-1GS-A | | | 2.29%(a) | | | 01/20/2048 | | | 3,236,179 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Mosaic Solar Loans LLC | | | | | | | | | | |
| | 546,850 | | | Series 2017-1A-A | | | 4.45%(a) | | | 06/20/2042 | | | 535,949 | |
| | 4,522,193 | | | Series 2020-2A-B | | | 2.21%(a) | | | 08/20/2046 | | | 3,755,904 | |
| | | | | Navient Student Loan Trust | | | | | | | | | | |
| | 3,101,878 | | | Series 2018-A-B | | | 3.68%(a) | | | 02/18/2042 | | | 3,042,893 | |
| | 6,241,237 | | | Series 2022-A-A | | | 2.23%(a) | | | 07/15/2070 | | | 5,706,640 | |
| | | | | Pagaya AI Debt Selection Trust | | | | | | | | | | |
| | 1,397,307 | | | Series 2021-2-NOTE | | | 3.00%(a) | | | 01/25/2029 | | | 1,376,733 | |
| | 228,735 | | | Series 2021-5-B | | | 2.63%(a) | | | 08/15/2029 | | | 228,446 | |
| | 8,498,998 | | | Series 2021-5-C | | | 3.93%(a) | | | 08/15/2029 | | | 8,248,223 | |
| | 14,881,335 | | | Series 2022-1-B | | | 3.34%(a) | | | 10/15/2029 | | | 14,787,822 | |
| | 1,513,857 | | | Series 2023-5-A | | | 7.18%(a) | | | 04/15/2031 | | | 1,516,283 | |
| | | | | Prosper Marketplace Issuance Trust | |
| | 372,718 | | | Series 2023-1A-A | | | 7.06%(a) | | | 07/16/2029 | | | 374,261 | |
| | 2,300,000 | | | Series 2023-1A-B | | | 7.48%(a) | | | 07/16/2029 | | | 2,334,522 | |
| | | | | Purewest Funding LLC | | | | | | | | | | |
| | 4,781,585 | | | Series 2021-1-A1 | | | 4.09%(a) | | | 12/22/2036 | | | 4,697,823 | |
| | | | | Retained Vantage Data Centers Issuer LLC | |
| | 5,000,000 | | | Series 2023-1A-A2A | | | 5.00%(a) | | | 09/15/2048 | | | 4,985,295 | |
| | | | | Santander Drive Auto Receivables LLC | |
| | 1,422,799 | | | Series 2020-4-D | | | 1.48% | | | 01/15/2027 | | | 1,414,106 | |
| | | | | Sapphire Aviation Finance Ltd. | | | | | | | | | | |
| | 13,570,207 | | | Series 2020-1A-A | | | 3.23%(a) | | | 03/15/2040 | | | 12,889,715 | |
| | | | | Sierra Timeshare Conduit Receivables Funding LLC | |
| | 971,375 | | | Series 2021-2A-C | | | 1.95%(a) | | | 09/20/2038 | | | 927,706 | |
| | | | | Slam Ltd. | | | | | | | | | | |
| | 6,425,000 | | | Series 2024-1A-A | | | 5.34%(a) | | | 09/15/2049 | | | 6,439,675 | |
| | | | | SOFI Alternative Trust | | | | | | | | | | |
| | 3,207,701 | | | Series 2021-1-PT1 | | | 9.72%(a)(b) | | | 05/25/2030 | | | 3,183,477 | |
| | 4,279,594 | | | Series 2021-2-A | | | 1.25%(a) | | | 08/15/2030 | | | 4,149,888 | |
| | 7,507,614 | | | Series 2021-3-A | | | 1.50%(a) | | | 11/15/2030 | | | 7,320,171 | |
| | | | | Start/Bermuda | | | | | | | | | | |
| | 2,062,415 | | | Series 2018-1-A | | | 4.09%(a) | | | 05/15/2043 | | | 2,002,890 | |
| | | | | Taco Bell Corp. | | | | | | | | | | |
| | 5,895,000 | | | Series 2021-1A-A2I | | | 1.95%(a) | | | 08/25/2051 | | | 5,531,826 | |
| | | | | TAL Advantage LLC | | | | | | | | | | |
| | 2,668,000 | | | Series 2020-1A-A | | | 2.05%(a) | | | 09/20/2045 | | | 2,497,661 | |
| | | | | Thunderbolt Aircraft Lease | | | | | | | | | | |
| | 8,016,141 | | | Series 2018-A-A | | | 4.15%(a)(c) | | | 09/15/2038 | | | 7,508,807 | |
| | | | | TIF Funding LLC | | | | | | | | | | |
| | 2,723,875 | | | Series 2021-1A-A | | | 1.65%(a) | | | 02/20/2046 | | | 2,447,896 | |
| | | | | Upgrade Master Pass-Thru Trust | |
| | 771,662 | | | Series 2021-PT3-A | | | 14.31%(a)(b) | | | 07/15/2027 | | | 701,585 | |
| | | | | Upstart Pass-Through Trust Series | |
| | 414,499 | | | Series 2020-ST5-A | | | 3.00%(a) | | | 12/20/2026 | | | 409,840 | |
| | 866,151 | | | Series 2020-ST6-A | | | 3.00%(a) | | | 01/20/2027 | | | 855,448 | |
| | 452,487 | | | Series 2021-ST3-A | | | 2.00%(a) | | | 05/20/2027 | | | 444,702 | |
| | | | | Westlake Automobile Receivables Trust | |
| | 7,058,093 | | | Series 2023-4A-A2 | | | 6.23%(a) | | | 01/15/2027 | | | 7,097,084 | |
| | | | | Willis Lease Finance Corp. | | | | | | | | | | |
| | 5,703,338 | | | Series 2020-A-A | | | 3.23%(a) | | | 03/15/2045 | | | 5,362,222 | |
| | | | | Total Asset Backed Obligations
(Cost $299,539,947) | | | | | | 291,705,217 | |
| | | |
| | BANK LOANS - 4.0% | |
| | | | | 1011778 BC ULC | | | | | | | | | | |
| | 6,272,210 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 09/23/2030 | | | 6,219,587 | |
| | | | | Ali Group North America Corp. | | | | | | | | | | |
| | 6,227,074 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.96% | | | 07/23/2029 | | | 6,255,314 | |
| | | | | APi Group DE, Inc. | | | | | | | | | | |
| | 3,695,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/03/2029 | | | 3,696,884 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 87
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Aramark Services, Inc. | | | | | | | | | | |
| | 694,713 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.82% | | | 01/15/2027 | | | 695,709 | |
| | 380,188 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 06/24/2030 | | | 381,661 | |
| | | | | Asplundh Tree Expert LLC | | | | | | | | | | |
| | 3,170,275 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.70% | | | 09/07/2027 | | | 3,176,664 | |
| | | | | Avantor Funding, Inc. | | | | | | | | | | |
| | 2,701,982 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.95% | | | 11/08/2027 | | | 2,720,179 | |
| | | | | Axalta Coating Systems US Holdings, Inc. | |
| | 798,731 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.60% | | | 12/20/2029 | | | 802,017 | |
| | | | | Berry Global, Inc. | | | | | | | | | | |
| | 2,500,395 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%, 0.00% Floor) | | | 7.32% | | | 07/02/2029 | | | 2,510,659 | |
| | | | | Burlington Coat Factory Warehouse Corp. | |
| | 4,760,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 1.75%) | | | 6.61% | | | 09/19/2031 | | | 4,730,250 | |
| | | | | Calpine Corp. | | | | | | | | | | |
| | 5,954,599 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 5,942,631 | |
| | 318,400 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 317,637 | |
| | | | | Catalent Pharma Solutions, Inc. | |
| | 5,954,081 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 7.03% | | | 02/22/2028 | | | 5,956,880 | |
| | | | | Connect Finco SARL | | | | | | | | | | |
| | 126,176 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 12/11/2026 | | | 125,838 | |
| | | | | Corpay Technologies Operating Co. LLC | |
| | 6,100,212 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 04/28/2028 | | | 6,100,700 | |
| | | | | CPI Holdco B LLC | | | | | | | | | | |
| | 295,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/19/2031 | | | 293,972 | |
| | | | | Cyborg Oldco DC Holdings, Inc. | |
| | 401,916 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 3.00%) | | | 7.30%(d) | | | 05/01/2026 | | | 2,210 | |
| | | | | Delta 2 Lux Sarl | | | | | | | | | | |
| | 800,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 801,416 | |
| | 400,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 400,708 | |
| | | | | Element Solutions, Inc. | | | | | | | | | | |
| | 3,102,606 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 12/18/2030 | | | 3,107,648 | |
| | | | | Energizer Holdings, Inc. | | | | | | | | | | |
| | 4,022,230 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.92% | | | 12/22/2027 | | | 4,032,285 | |
| | | | | Flutter Financing BV | | | | | | | | | | |
| | 6,058,603 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.60% | | | 11/29/2030 | | | 6,072,659 | |
| | | | | Froneri US, Inc. | | | | | | | | | | |
| | 6,565,000 | | | Senior Secured Term Loan
(1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/18/2031 | | | 6,549,014 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Gen Digital, Inc. | | | | | | | | | | |
| | 5,417,570 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.50% Floor) | | | 6.60% | | | 09/12/2029 | | | 5,406,139 | |
| | | | | Go Daddy Operating Co. LLC | | | | | | | | | | |
| | 6,534,463 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 11/13/2029 | | | 6,535,411 | |
| | | | | Grifols Worldwide Operations USA, Inc. | |
| | 2,908,838 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.40% | | | 11/15/2027 | | | 2,832,481 | |
| | | | | HB Fuller Co. | | | | | | | | | | |
| | 2,880,525 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.85% | | | 02/15/2030 | | | 2,889,541 | |
| | | | | Hilton Domestic Operating Co., Inc. | |
| | 2,165,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 11/08/2030 | | | 2,166,981 | |
| | | | | Iron Mountain Information Management LLC | |
| | 6,562,434 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 6,533,724 | |
| | | | | KFC Holding Co. | | | | | | | | | | |
| | 4,563,285 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.88% | | | 03/15/2028 | | | 4,588,954 | |
| | | | | Lamar Media Corp. | | | | | | | | | | |
| | 4,879,350 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.50%, 0.00% Floor) | | | 6.45% | | | 02/08/2027 | | | 4,876,325 | |
| | | | | Lions Gate Capital Holdings LLC | |
| | 128,342 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.20% | | | 03/24/2025 | | | 128,462 | |
| | | | | Marriott Ownership Resorts, Inc. | |
| | 1,655,635 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.10% | | | 04/01/2031 | | | 1,654,435 | |
| | | | | NRG Energy, Inc. | | | | | | | | | | |
| | 5,019,775 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.26% | | | 04/16/2031 | | | 5,034,207 | |
| | | | | Resideo Funding, Inc. | | | | | | | | | | |
| | 1,027,425 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.30% | | | 06/13/2031 | | | 1,029,994 | |
| | | | | Reynolds Consumer Products LLC | |
| | 4,851,891 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.70% | | | 02/04/2027 | | | 4,866,616 | |
| | | | | Six Flags Entertainment Corp. | | | | | | | | | | |
| | 1,586,025 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/01/2031 | | | 1,585,628 | |
| | | | | SkyMiles IP Ltd. | | | | | | | | | | |
| | 257,105 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) | | | 9.03% | | | 10/20/2027 | | | 262,183 | |
| | | | | SS&C Technologies, Inc. | | | | | | | | | | |
| | 3,305,527 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/09/2031 | | | 3,309,180 | |
| | | | | Standard Industries, Inc./NY | | | | | | | | | | |
| | 3,795,095 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.92% | | | 09/22/2028 | | | 3,807,562 | |
| | | | | Trans Union LLC | | | | | | | | | | |
| | 1,119,444 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.70% | | | 11/16/2026 | | | 1,120,463 | |
| | | | | | | | | | | | | | | |
88
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) |
| | | | | | | | | | | | | | | |
| | 5,780,513 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 06/24/2031 | | | 5,775,599 | |
| | | | | US Foods, Inc. | | | | | | | | | | |
| | 1,933,750 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.96% | | | 09/14/2026 | | | 1,936,670 | |
| | | | | Vestis Corp. | | | | | | | | | | |
| | 939,313 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.37% | | | 02/24/2031 | | | 935,057 | |
| | | | | Vistra Operations Co. LLC | | | | | | | | | | |
| | 6,263,615 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 12/20/2030 | | | 6,271,131 | |
| | | | | Walker & Dunlop, Inc. | | | | | | | | | | |
| | 2,149,225 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.20% | | | 12/18/2028 | | | 2,157,285 | |
| | | | | WMG Acquisition Corp. | | | | | | | | | | |
| | 7,935,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 01/24/2031 | | | 7,946,585 | |
| | | | | Wyndham Hotels & Resorts, Inc. | |
| | 6,059,813 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 05/28/2030 | | | 6,064,539 | |
| | | | | Ziggo Financing Partnership | | | | | | | | | | |
| | 235,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.71% | | | 04/28/2028 | | | 229,793 | |
| | | | | Total Bank Loans
(Cost $160,658,984) | | | | | | 160,837,467 | |
| | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 12.9% | |
| | | | | Allegro CLO Ltd. | | | | | | | | | | |
| | 10,000,000 | | | Series 2024-2A-A1 (3 mo. Term SOFR + 1.50%, 1.50% Floor) | | | 6.78%(a) | | | 07/24/2037 | | | 10,034,265 | |
| | | | | Anchorage Capital CLO Ltd. | | | | | | | | | | |
| | 23,000,000 | | | Series 2021-19A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.77%(a) | | | 10/15/2034 | | | 23,020,258 | |
| | | | | Atlas Senior Loan Fund Ltd. | | | | | | | | | | |
| | 2,000,000 | | | Series 2018-11A-B (3 mo. Term SOFR + 1.91%, 0.00% Floor) | | | 7.19%(a) | | | 07/26/2031 | | | 2,006,397 | |
| | | | | Battalion CLO Ltd. | | | | | | | | | | |
| | 29,500,000 | | | Series 2017-11A-AR (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.69%(a) | | | 04/24/2034 | | | 29,537,377 | |
| | 10,000,000 | | | Series 2021-20A-A (3 mo. Term SOFR + 1.44%, 1.18% Floor) | | | 6.74%(a) | | | 07/15/2034 | | | 10,008,040 | |
| | 10,000,000 | | | Series 2022-23A-A1R (3 mo. Term SOFR + 1.42%, 1.42% Floor) | | | 6.56%(a) | | | 10/15/2037 | | | 10,005,567 | |
| | | | | Bridge Street CLO Ltd. | | | | | | | | | | |
| | 10,500,000 | | | Series 2021-1A-A1A (3 mo. Term SOFR + 1.49%, 1.23% Floor) | | | 6.77%(a) | | | 07/20/2034 | | | 10,504,984 | |
| | | | | CarVal CLO | | | | | | | | | | |
| | 4,000,000 | | | Series 2024-2A-A (3 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.75%(a) | | | 07/20/2037 | | | 4,002,643 | |
| | | | | CBAM Ltd. | | | | | | | | | | |
| | 4,500,000 | | | Series 2017-2A-AR (3 mo. Term SOFR + 1.45%, 1.19% Floor) | | | 6.74%(a) | | | 07/17/2034 | | | 4,505,328 | |
| | | | | Cedar Funding Ltd. | | | | | | | | | | |
| | 10,000,000 | | | Series 2018-9A-AR (3 mo. Term SOFR + 1.42%, 1.42% Floor) | | | 6.70%(a) | | | 07/20/2037 | | | 10,044,392 | |
| | | | | CFIP CLO Ltd. | | | | | | | | | | |
| | 10,350,000 | | | Series 2017-1A-AR (3 mo. Term SOFR + 1.49%, 1.23% Floor) | | | 6.77%(a) | | | 10/18/2034 | | | 10,360,816 | |
| | | | | CQS US CLO | | | | | | | | | | |
| | 25,000,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.76%(a) | | | 01/20/2035 | | | 25,015,575 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 11,000,000 | | | Series 2021-1A-B (3 mo. Term SOFR + 2.14%, 1.88% Floor) | | | 7.42%(a) | | | 01/20/2035 | | | 11,064,239 | |
| | | | | Halcyon Loan Advisors Funding Ltd. | |
| | 43,732 | | | Series 2013-2A-D (3 mo. Term SOFR + 4.06%, 0.00% Floor) | | | 9.31%(a) | | | 08/01/2025 | | | 27,773 | |
| | | | | Jamestown CLO Ltd. | | | | | | | | | | |
| | 15,000,000 | | | Series 2016-9A-A1RR (3 mo. Term SOFR + 1.50%, 1.24% Floor) | | | 6.79%(a) | | | 07/25/2034 | | | 15,023,355 | |
| | | | | LCM LP | | | | | | | | | | |
| | 6,294,043 | | | Series 17A-A2RR (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.71%(a) | | | 10/15/2031 | | | 6,272,937 | |
| | | | | Marble Point CLO | | | | | | | | | | |
| | 29,500,000 | | | Series 2020-1A-AR (3 mo. Term SOFR + 1.44%, 1.44% Floor) | | | 6.72%(a) | | | 07/20/2037 | | | 29,537,087 | |
| | 25,000,000 | | | Series 2021-2A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.75%(a) | | | 07/25/2034 | | | 25,017,500 | |
| | 23,000,000 | | | Series 2021-3A-A1 (3 mo. Term SOFR + 1.50%, 1.24% Floor) | | | 6.79%(a) | | | 10/17/2034 | | | 23,032,713 | |
| | | | | MP CLO Ltd. | | | | | | | | | | |
| | 10,000,000 | | | Series 2015-2A-ARR (3 mo. Term SOFR + 1.46%, 1.20% Floor) | | | 6.73%(a) | | | 04/28/2034 | | | 10,014,320 | |
| | | | | Nassau Global Credit LLC | | | | | | | | | | |
| | 13,164,235 | | | Series 2018-IA-A (3 mo. Term SOFR + 1.41%, 0.00% Floor) | | | 6.71%(a) | | | 07/15/2031 | | | 13,170,228 | |
| | | | | OCP CLO Ltd. | | | | | | | | | | |
| | 20,000,000 | | | Series 2017-14A-A1R (3 mo. Term SOFR + 1.37%, 1.37% Floor) | | | 6.11%(a) | | | 07/20/2037 | | | 20,034,378 | |
| | 9,000,000 | | | Series 2020-18A-A1R2 (3 mo. Term SOFR + 1.37%, 1.37% Floor) | | | 6.60%(a) | | | 07/20/2037 | | | 9,006,354 | |
| | | | | Octagon Investment Partners Ltd. | |
| | 27,500,000 | | | Series 2019-4A-A1RR (3 mo. Term SOFR + 1.40%, 1.40% Floor) | | | 6.46%(a) | | | 08/12/2037 | | | 27,521,665 | |
| | | | | Sound Point CLO Ltd. | | | | | | | | | | |
| | 25,000,000 | | | Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.73%(a) | | | 07/15/2034 | | | 25,014,040 | |
| | 20,000,000 | | | Series 2020-1A-AR (3 mo. Term SOFR + 1.43%, 1.43% Floor) | | | 6.71%(a) | | | 07/20/2034 | | | 20,024,000 | |
| | 5,000,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.33%, 1.33% Floor) | | | 6.62%(a) | | | 04/25/2034 | | | 5,005,000 | |
| | 10,000,000 | | | Series 2024-40A-A1 (3 mo. Term SOFR + 1.39%, 1.39% Floor) | | | 5.98%(a) | | | 10/20/2037 | | | 10,000,000 | |
| | | | | Steele Creek CLO Ltd. | | | | | | | | | | |
| | 11,000,000 | | | Series 2019-1A-BR (3 mo. Term SOFR + 2.06%, 1.80% Floor) | | | 7.36%(a) | | | 04/15/2032 | | | 11,017,175 | |
| | 18,000,000 | | | Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.73%(a) | | | 07/15/2032 | | | 18,014,472 | |
| | 9,000,000 | | | Series 2019-2A-BR (3 mo. Term SOFR + 2.11%, 1.85% Floor) | | | 7.41%(a) | | | 07/15/2032 | | | 9,018,139 | |
| | | | | Trimaran CAVU LLC | | | | | | | | | | |
| | 20,000,000 | | | Series 2021-3A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor) | | | 6.75%(a) | | | 01/18/2035 | | | 20,006,060 | |
| | | | | Wellfleet CLO Ltd. | | | | | | | | | | |
| | 15,990,000 | | | Series 2020-2A-AR (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.78%(a) | | | 07/15/2034 | | | 15,994,471 | |
| | 10,000,000 | | | Series 2022-1A-A1RN (3 mo. Term SOFR + 1.42%, 1.42% Floor) | | | 6.66%(a) | | | 07/15/2037 | | | 10,037,000 | |
| | | | | Whitebox CLO Ltd. | | | | | | | | | | |
| | 25,000,000 | | | Series 2021-3A-A1 (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.78%(a) | | | 10/15/2034 | | | 25,016,837 | |
| | | | | Wind River CLO Ltd. | | | | | | | | | | |
| | 10,000,000 | | | Series 2021-4A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.71%(a) | | | 01/20/2035 | | | 10,002,159 | |
| | | | | Total Collateralized Loan Obligations
(Cost $517,218,573) | | | | | | 517,917,544 | |
| | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 89
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS - 5.1% | |
| | 1,456,650 | | | Adani International Container Terminal Pvt Ltd. | | | 3.00% | | | 02/16/2031 | | | 1,292,268 | |
| | 3,300,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.00% | | | 07/30/2027 | | | 3,161,401 | |
| | 1,800,000 | | | Adani Transmission Step-One Ltd. | | | 4.00% | | | 08/03/2026 | | | 1,747,134 | |
| | 2,100,000 | | | Adaro Indonesia PT | | | 4.25% | | | 10/31/2024 | | | 2,095,286 | |
| | 3,309,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | | | 6.45% | | | 04/15/2027 | | | 3,467,574 | |
| | 3,603,325 | | | AI Candelaria Spain SA | | | 7.50% | | | 12/15/2028 | | | 3,575,805 | |
| | 508,000 | | | Algonquin Power & Utilities Corp. | | | 5.37%(c) | | | 06/15/2026 | | | 514,371 | |
| | 3,585,000 | | | Avolon Holdings Funding Ltd. | | | 2.13%(a) | | | 02/21/2026 | | | 3,450,241 | |
| | 4,150,000 | | | BAE Systems PLC | | | 5.00%(a) | | | 03/26/2027 | | | 4,218,022 | |
| | 3,100,000 | | | Banco Bilbao Vizcaya Argentaria Colombia SA | | | 4.88% | | | 04/21/2025 | | | 3,081,743 | |
| | 1,850,000 | | | Banco Continental SAECA | | | 2.75% | | | 12/10/2025 | | | 1,794,150 | |
| | 1,850,000 | | | Banco Continental SAECA | | | 2.75%(a) | | | 12/10/2025 | | | 1,794,150 | |
| | 2,400,000 | | | Banco de Bogota SA | | | 6.25% | | | 05/12/2026 | | | 2,414,251 | |
| | 200,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 2.45%) | | | 3.25% | | | 09/30/2031 | | | 189,810 | |
| | 4,450,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 2.45%) | | | 3.25%(a) | | | 09/30/2031 | | | 4,223,276 | |
| | 3,000,000 | | | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa | | | 4.38% | | | 04/11/2027 | | | 2,951,342 | |
| | 1,500,000 | | | Banco Industrial SA/Guatemala
(5 yr. CMT Rate + 4.44%) | | | 4.88% | | | 01/29/2031 | | | 1,480,320 | |
| | 4,250,000 | | | Banco Internacional del Peru SAA Interbank
(5 yr. CMT Rate + 3.71%) | | | 4.00% | | | 07/08/2030 | | | 4,183,611 | |
| | 1,700,000 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo
Financiero Santand
(5 yr. CMT Rate + 3.00%) | | | 7.53% | | | 10/01/2028 | | | 1,794,768 | |
| | 1,800,000 | | | Banco Santander SA
(1 yr. CMT Rate + 0.95%) | | | 5.37% | | | 07/15/2028 | | | 1,842,870 | |
| | 3,580,000 | | | Bancolombia SA
(5 yr. CMT Rate + 2.94%) | | | 4.63% | | | 12/18/2029 | | | 3,545,911 | |
| | 1,728,000 | | | Bank of Montreal | | | 1.50% | | | 01/10/2025 | | | 1,712,112 | |
| | 3,280,000 | | | Bank of Montreal
(SOFR + 1.25%) | | | 4.64% | | | 09/10/2030 | | | 3,316,189 | |
| | 1,698,000 | | | Bank of Nova Scotia | | | 4.75% | | | 02/02/2026 | | | 1,709,851 | |
| | 2,290,000 | | | Barclays PLC
(SOFR + 1.34%) | | | 4.84% | | | 09/10/2028 | | | 2,309,745 | |
| | 1,485,000 | | | BAT International Finance PLC | | | 1.67% | | | 03/25/2026 | | | 1,427,326 | |
| | 3,730,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 3.00%) | | | 5.35% | | | 11/12/2029 | | | 3,715,208 | |
| | 800,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 2.65%) | | | 5.13% | | | 01/18/2033 | | | 761,528 | |
| | 200,000 | | | Bharti Airtel Ltd. | | | 4.38% | | | 06/10/2025 | | | 199,374 | |
| | 1,705,000 | | | BMW US Capital LLC
(SOFR + 0.62%) | | | 5.71%(a) | | | 08/11/2025 | | | 1,709,649 | |
| | 3,505,000 | | | BPCE SA | | | 2.38%(a) | | | 01/14/2025 | | | 3,476,712 | |
| | 3,300,000 | | | Braskem Netherlands
Finance BV
(5 yr. CMT Rate + 8.22%) | | | 8.50% | | | 01/23/2081 | | | 3,305,663 | |
| | 600,000 | | | BRF GmbH | | | 4.35% | | | 09/29/2026 | | | 587,197 | |
| | 1,000,000 | | | Camposol SA | | | 6.00% | | | 02/03/2027 | | | 901,383 | |
| | 1,942,000 | | | Canadian Imperial Bank of Commerce | | | 3.95% | | | 08/04/2025 | | | 1,934,437 | |
| | 1,200,000 | | | Cemex SAB de CV | | | 5.45% | | | 11/19/2029 | | | 1,216,754 | |
| | 200,000 | | | Cencosud SA | | | 4.38% | | | 07/17/2027 | | | 198,114 | |
| | 5,533,336 | | | Chile Electricity PEC SpA | | | 0.00%(a) | | | 01/25/2028 | | | 4,565,002 | |
| | 2,300,000 | | | Cia de Minas Buenaventura SAA | | | 5.50% | | | 07/23/2026 | | | 2,271,282 | |
| | 1,300,000 | | | Comision Federal de Electricidad | | | 4.75% | | | 02/23/2027 | | | 1,289,665 | |
| | 3,307,000 | | | Commonwealth Bank of Australia
(SOFR + 0.40%) | | | 5.69%(a) | | | 07/07/2025 | | | 3,309,777 | |
| | 3,000,000 | | | Cosan Luxembourg SA | | | 7.00% | | | 01/20/2027 | | | 3,018,669 | |
| | 2,000,000 | | | Credicorp Ltd. | | | 2.75% | | | 06/17/2025 | | | 1,963,196 | |
| | 2,248,000 | | | Credit Agricole SA
(SOFR + 1.00%) | | | 4.63%(a) | | | 09/11/2028 | | | 2,258,625 | |
| | 4,750,000 | | | DBS Group Holdings Ltd.
(5 yr. CMT Rate + 1.10%) | | | 1.82% | | | 03/10/2031 | | | 4,567,686 | |
| | 280,258 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(e) | | | 12/31/2030 | | | 35,899 | |
| | 1,635 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(e) | | | 12/31/2030 | | | 1,616 | |
| | 199,263 | | | Digicel Group Holdings Ltd. | | | 0.00%(a)(e) | | | 12/31/2030 | | | 2,767 | |
| | 2,917,000 | | | Ecopetrol SA | | | 5.38% | | | 06/26/2026 | | | 2,912,741 | |
| | 3,062,000 | | | Element Fleet Management Corp. | | | 6.32%(a) | | | 12/04/2028 | | | 3,264,574 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 742,561 | | | Empresa Electrica Angamos SA | | | 4.88% | | | 05/25/2029 | | | 672,610 | |
| | 1,551,080 | | | Empresa Electrica Cochrane SpA | | | 5.50% | | | 05/14/2027 | | | 1,514,195 | |
| | 1,500,000 | | | Empresas Publicas de Medellin ESP | | | 4.25% | | | 07/18/2029 | | | 1,373,322 | |
| | 1,607,000 | | | Enel Finance International NV | | | 5.13%(a) | | | 06/26/2029 | | | 1,646,660 | |
| | 2,079,412 | | | Fenix Power Peru SA | | | 4.32% | | | 09/20/2027 | | | 2,051,017 | |
| | 950,000 | | | Freeport Indonesia PT | | | 4.76%(a) | | | 04/14/2027 | | | 957,841 | |
| | 2,550,000 | | | Freeport Indonesia PT | | | 4.76% | | | 04/14/2027 | | | 2,571,046 | |
| | 1,800,000 | | | Freeport-McMoRan, Inc. | | | 4.13% | | | 03/01/2028 | | | 1,788,140 | |
| | 964,760 | | | Galaxy Pipeline Assets Bidco Ltd. | | | 1.75% | | | 09/30/2027 | | | 923,805 | |
| | 2,934,000 | | | Glencore Funding LLC | | | 4.00%(a) | | | 04/16/2025 | | | 2,919,227 | |
| | 2,680,000 | | | Glencore Funding LLC
(SOFR + 1.06%) | | | 6.36%(a) | | | 04/04/2027 | | | 2,692,676 | |
| | 1,500,000 | | | Global Bank Corp.
(3 mo. LIBOR US + 3.30%) | | | 5.25%(f) | | | 04/16/2029 | | | 1,472,228 | |
| | 900,000 | | | Gold Fields Orogen Holdings BVI Ltd. | | | 6.13% | | | 05/15/2029 | | | 944,987 | |
| | 2,000,000 | | | Grupo de Inversiones Suramericana SA | | | 5.50% | | | 04/29/2026 | | | 1,993,706 | |
| | 2,939,933 | | | Guara Norte Sarl | | | 5.20% | | | 06/15/2034 | | | 2,802,435 | |
| | 299,200 | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru | | | 6.38%(a) | | | 06/01/2028 | | | 301,102 | |
| | 650,000 | | | InRetail Shopping Malls | | | 5.75% | | | 04/03/2028 | | | 655,070 | |
| | 750,000 | | | Intercorp Financial Services, Inc. | | | 4.13% | | | 10/19/2027 | | | 725,303 | |
| | 169,680 | | | Interoceanica IV Finance Ltd.
Series 2007 | | | 0.00%(e) | | | 11/30/2025 | | | 162,045 | |
| | 35,034 | | | Invepar Holdings | | | 0.00%(d)(e) | | | 12/30/2028 | | | — | |
| | 3,000,000 | | | Itau Unibanco Holding SA/Cayman Island
(5 yr. CMT Rate + 3.45%) | | | 3.88% | | | 04/15/2031 | | | 2,932,191 | |
| | 608,000 | | | JSW Hydro Energy Ltd. | | | 4.13% | | | 05/18/2031 | | | 555,715 | |
| | 1,500,000 | | | KUO SAB De CV | | | 5.75% | | | 07/07/2027 | | | 1,475,375 | |
| | 1,200,000 | | | Medco Oak Tree Pte Ltd. | | | 7.38% | | | 05/14/2026 | | | 1,219,212 | |
| | 4,400,000 | | | MEGlobal Canada ULC | | | 5.00%(a) | | | 05/18/2025 | | | 4,398,215 | |
| | 400,000 | | | MEGlobal Canada ULC | | | 5.00% | | | 05/18/2025 | | | 399,838 | |
| | 1,391,132 | | | Mexico Generadora de
Energia S de RL | | | 5.50% | | | 12/06/2032 | | | 1,390,326 | |
| | 810,000 | | | Millicom International
Cellular SA | | | 6.63% | | | 10/15/2026 | | | 810,749 | |
| | 2,160,000 | | | Millicom International
Cellular SA | | | 5.13% | | | 01/15/2028 | | | 2,100,056 | |
| | 3,237,000 | | | Minerva Luxembourg SA | | | 5.88% | | | 01/19/2028 | | | 3,239,660 | |
| | 4,245,000 | | | Mitsubishi UFJ Financial
Group, Inc. | | | 3.78% | | | 03/02/2025 | | | 4,225,729 | |
| | 1,715,000 | | | Mizuho Financial Group, Inc.
(SOFR + 0.96%) | | | 6.01% | | | 05/22/2026 | | | 1,720,980 | |
| | 632,461 | | | Mong Duong Finance
Holdings BV | | | 5.13% | | | 05/07/2029 | | | 614,218 | |
| | 800,000 | | | Multibank, Inc. | | | 7.75%(a) | | | 02/03/2028 | | | 840,788 | |
| | 2,522,560 | | | MV24 Capital BV | | | 6.75% | | | 06/01/2034 | | | 2,468,417 | |
| | 3,288,000 | | | NatWest Group PLC
(1 yr. CMT Rate + 1.22%) | | | 4.96% | | | 08/15/2030 | | | 3,340,113 | |
| | 2,800,000 | | | NBM US Holdings, Inc. | | | 7.00% | | | 05/14/2026 | | | 2,820,258 | |
| | 1,000,000 | | | Network i2i Ltd.
(5 yr. CMT Rate + 4.27%) | | | 5.65%(g) | | | 01/15/2025 | | | 1,002,755 | |
| | 422,000 | | | Nexa Resources SA | | | 5.38% | | | 05/04/2027 | | | 422,951 | |
| | 200,000 | | | Nexa Resources SA | | | 6.50% | | | 01/18/2028 | | | 206,694 | |
| | 2,410,000 | | | Nutrien Ltd. | | | 4.90% | | | 03/27/2028 | | | 2,459,009 | |
| | 1,993,000 | | | Orazul Energy Peru SA | | | 5.63% | | | 04/28/2027 | | | 1,962,657 | |
| | 200,000 | | | Oversea-Chinese Banking Corp. Ltd.
(5 yr. CMT Rate + 1.58%) | | | 1.83%(a) | | | 09/10/2030 | | | 194,305 | |
| | 4,300,000 | | | Oversea-Chinese Banking
Corp. Ltd.
(5 yr. CMT Rate + 1.58%) | | | 1.83% | | | 09/10/2030 | | | 4,177,561 | |
| | 1,340,236 | | | Prumo Participacoes e Investimentos S/A | | | 7.50% | | | 12/31/2031 | | | 1,346,846 | |
| | 1,500,000 | | | Reliance Industries Ltd. | | | 4.13% | | | 01/28/2025 | | | 1,495,480 | |
| | 1,725,000 | | | Royal Bank of Canada
(SOFR + 0.53%) | | | 5.74% | | | 01/20/2026 | | | 1,725,527 | |
| | 400,000 | | | Sasol Financing USA LLC | | | 4.38% | | | 09/18/2026 | | | 388,841 | |
| | 3,300,000 | | | Sociedad Quimica y Minera de Chile SA | | | 4.38% | | | 01/28/2025 | | | 3,294,031 | |
| | 608,000 | | | South Bow USA Infrastructure Holdings LLC | | | 4.91%(a) | | | 09/01/2027 | | | 612,804 | |
| | 850,000 | | | Southern Copper Corp. | | | 3.88% | | | 04/23/2025 | | | 844,099 | |
| | 1,500,000 | | | Suzano International
Finance BV | | | 4.00% | | | 01/14/2025 | | | 1,495,760 | |
| | 653,000 | | | Telefonica Celular del
Paraguay SA | | | 5.88% | | | 04/15/2027 | | | 648,073 | |
| | 560,000 | | | Transportadora de Gas del
Peru SA | | | 4.25% | | | 04/30/2028 | | | 550,910 | |
| | 4,700,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.52%) | | | 1.75% | | | 03/16/2031 | | | 4,505,796 | |
| | | | | | | | | | | | | | | |
90
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) |
| | | | | | | | | | | | | | | |
| | 2,520,000 | | | Westpac Banking Corp.
(SOFR + 0.72%) | | | 5.78% | | | 11/17/2025 | | | 2,529,319 | |
| | | | | Total Foreign Corporate Bonds
(Cost $202,632,370) | | | | | | 203,343,718 | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 0.8% | |
| | 3,200,000 | | | Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%) | | | 2.72% | | | 08/11/2031 | | | 2,931,576 | |
| | 1,600,000 | | | Bank Negara Indonesia Persero Tbk PT | | | 3.75% | | | 03/30/2026 | | | 1,561,820 | |
| | 1,157,520 | | | Bioceanico Sovereign Certificate Ltd. | | | 0.00% | | | 06/05/2034 | | | 911,624 | |
| | 4,500,000 | | | Colombia Government International Bond | | | 4.50% | | | 01/28/2026 | | | 4,458,878 | |
| | 1,900,000 | | | Comision Federal de Electricidad | | | 5.70%(a) | | | 01/24/2030 | | | 1,905,605 | |
| | 3,400,000 | | | Guatemala Government Bond | | | 4.50% | | | 05/03/2026 | | | 3,359,005 | |
| | 3,000,000 | | | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT | | | 4.75% | | | 05/15/2025 | | | 2,994,640 | |
| | 1,053,647 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 1,071,168 | |
| | 700,000 | | | ONGC Videsh Vankorneft
Pte Ltd. | | | 3.75% | | | 07/27/2026 | | | 691,042 | |
| | 2,200,000 | | | Paraguay Government International Bond | | | 5.00% | | | 04/15/2026 | | | 2,205,376 | |
| | 200,000 | | | Paraguay Government International Bond | | | 4.70% | | | 03/27/2027 | | | 199,900 | |
| | 1,100,000 | | | Pertamina Persero PT | | | 1.40% | | | 02/09/2026 | | | 1,054,248 | |
| | 700,000 | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | | 4.13% | | | 05/15/2027 | | | 694,266 | |
| | 1,000,000 | | | Peruvian Government International Bond | | | 2.39% | | | 01/23/2026 | | | 970,998 | |
| | 1,500,000 | | | Petrobras Global Finance BV | | | 7.38% | | | 01/17/2027 | | | 1,573,086 | |
| | 1,000,000 | | | Republic of South Africa Government International Bond | | | 4.88% | | | 04/14/2026 | | | 1,000,573 | |
| | 4,200,000 | | | TNB Global Ventures Capital Bhd | | | 3.24% | | | 10/19/2026 | | | 4,104,519 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $31,705,916) | | | | | | 31,688,324 | |
| | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 11.7% | |
| | | | | Alen Mortgage Trust | | | | | | | | | | |
| | 2,000,000 | | | Series 2021-ACEN-B (1 mo. Term SOFR + 1.76%, 1.65% Floor) | | | 6.86%(a) | | | 04/15/2034 | | | 1,623,265 | |
| | | | | Arbor Multifamily Mortgage Securities Trust | |
| | 112,350,604 | | | Series 2021-MF2-XA | | | 1.22%(a)(b)(h) | | | 06/15/2054 | | | 6,190,732 | |
| | | | | Arbor Realty Trust, Inc. | | | | | | | | | | |
| | 40,902,000 | | | Series 2020-MF1-XD | | | 0.59%(a)(b)(h) | | | 05/15/2053 | | | 1,051,460 | |
| | 7,777,734 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.18%, 1.18% Floor) | | | 6.28%(a) | | | 08/15/2034 | | | 7,769,381 | |
| | 1,639,673 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.56%(a) | | | 11/15/2036 | | | 1,642,265 | |
| | 9,146,476 | | | Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor) | | | 6.79%(a) | | | 01/15/2037 | | | 9,114,656 | |
| | 9,301,014 | | | Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor) | | | 6.95%(a) | | | 05/15/2037 | | | 9,314,891 | |
| | | | | AREIT Trust | | | | | | | | | | |
| | 2,417,707 | | | Series 2022-CRE6-A (30 day avg SOFR US + 1.25%, 1.25% Floor) | | | 6.59%(a) | | | 01/20/2037 | | | 2,417,337 | |
| | | | | BBCMS Trust | | | | | | | | | | |
| | 15,176,000 | | | Series 2018-TALL-F (1 mo. Term SOFR + 3.43%, 3.39% Floor) | | | 8.53%(a) | | | 03/15/2037 | | | 10,375,267 | |
| | 11,001,000 | | | Series 2019-BWAY-E (1 mo. Term SOFR + 2.96%, 2.85% Floor) | | | 8.06%(a) | | | 11/15/2034 | | | 109,790 | |
| | 29,456,500 | | | Series 2021-C10-XB | | | 1.13%(b)(h) | | | 07/15/2054 | | | 1,696,474 | |
| | 21,205,000 | | | Series 2021-C10-XD | | | 1.80%(a)(b)(h) | | | 07/15/2054 | | | 1,877,875 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | BB-UBS Trust | | | | | | | | | | |
| | 5,698,466 | | | Series 2012-TFT-TE | | | 3.68%(a)(b) | | | 06/05/2030 | | | 4,956,876 | |
| | | | | BDS Ltd. | | | | | | | | | | |
| | 7,188,527 | | | Series 2021-FL10-A (1 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.48%(a) | | | 12/16/2036 | | | 7,155,208 | |
| | 3,233,652 | | | Series 2021-FL9-A (1 mo. Term SOFR + 1.18%, 1.07% Floor) | | | 6.20%(a) | | | 11/16/2038 | | | 3,221,451 | |
| | 1,844,665 | | | Series 2022-FL11-ATS (1 mo. Term SOFR + 1.80%, 1.80% Floor) | | | 6.76%(a) | | | 03/19/2039 | | | 1,845,031 | |
| | 7,500,000 | | | Series 2024-FL13-A (1 mo. Term SOFR + 1.58%, 1.58% Floor) | | | 6.78%(a) | | | 09/19/2039 | | | 7,522,590 | |
| | | | | Benchmark Mortgage Trust | | | | | | | | | | |
| | 157,277,074 | | | Series 2020-IG1-XA | | | 0.61%(b)(h) | | | 09/15/2043 | | | 3,080,743 | |
| | | | | BFLD Trust | | | | | | | | | | |
| | 3,012,000 | | | Series 2024-VICT-A (1 mo. Term SOFR + 1.89%, 1.89% Floor) | | | 6.99%(a) | | | 07/15/2041 | | | 3,017,997 | |
| | | | | BHMS Mortgage Trust | | | | | | | | | | |
| | 165,041,500 | | | Series 2018-ATLS-XCP | | | 0.00%(a)(b)(h) | | | 07/15/2035 | | | 1,650 | |
| | | | | BMO Mortgage Trust | | | | | | | | | | |
| | 93,491,896 | | | Series 2024-5C5-XA | | | 1.39%(b)(h) | | | 02/15/2057 | | | 4,487,172 | |
| | | | | BrightSpire Capital, Inc. | | | | | | | | | | |
| | 7,019,810 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor) | | | 6.23%(a) | | | 08/19/2038 | | | 6,996,883 | |
| | 13,968,000 | | | Series 2021-FL1-AS (1 mo. Term SOFR + 1.71%, 1.60% Floor) | | | 6.68%(a) | | | 08/19/2038 | | | 13,877,012 | |
| | 6,702,000 | | | Series 2024-FL2-A (1 mo. Term SOFR + 1.95%, 1.95% Floor) | | | 6.91%(a) | | | 08/19/2037 | | | 6,714,667 | |
| | | | | BSPRT Co.-Issuer LLC | | | | | | | | | | |
| | 1,125,187 | | | Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor) | | | 6.31%(a) | | | 03/15/2036 | | | 1,121,982 | |
| | 7,450,000 | | | Series 2023-FL10-AS (1 mo. Term SOFR + 2.86%, 2.86% Floor) | | | 7.96%(a) | | | 09/15/2035 | | | 7,534,356 | |
| | | | | BX Trust | | | | | | | | | | |
| | 7,904,690 | | | Series 2020-VKNG-A (1 mo. Term SOFR + 1.04%, 0.93% Floor) | | | 6.14%(a) | | | 10/15/2037 | | | 7,887,482 | |
| | 4,835,282 | | | Series 2021-RISE-B (1 mo. Term SOFR + 1.36%, 1.25% Floor) | | | 6.46%(a) | | | 11/15/2036 | | | 4,779,566 | |
| | 5,037,417 | | | Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor) | | | 5.90%(a) | | | 10/15/2038 | | | 4,999,432 | |
| | 3,806,412 | | | Series 2022-PSB-A (1 mo. Term SOFR + 2.45%, 2.45% Floor) | | | 7.55%(a) | | | 08/15/2039 | | | 3,820,686 | |
| | 4,909,000 | | | Series 2024-VLT4-A (1 mo. Term SOFR + 1.49%, 1.49% Floor) | | | 6.59%(a) | | | 07/15/2029 | | | 4,916,677 | |
| | | | | Carbon Capital VI Commercial Mortgage Trust | |
| | 6,029,069 | | | Series 2019-FL2-B (1 mo. Term SOFR + 2.96%, 2.85% Floor) | | | 8.06%(a) | | | 10/15/2035 | | | 3,124,605 | |
| | | | | CEDR Commercial Mortgage Trust | |
| | 3,790,000 | | | Series 2022-SNAI-A (1 mo. Term SOFR + 0.99%, 0.99% Floor) | | | 6.08%(a) | | | 02/15/2039 | | | 3,616,476 | |
| | | | | CFCRE Commercial Mortgage Trust | |
| | 16,477,222 | | | Series 2016-C4-XA | | | 1.73%(b)(h) | | | 05/10/2058 | | | 272,965 | |
| | 16,201,000 | | | Series 2017-C8-XB | | | 1.06%(b)(h) | | | 06/15/2050 | | | 331,921 | |
| | | | | Citigroup Commercial Mortgage Trust | |
| | 1,043,139 | | | Series 2014-GC25-XA | | | 0.77%(b)(h) | | | 10/10/2047 | | | 16 | |
| | 1,917,293 | | | Series 2015-GC27-XA | | | 1.39%(b)(h) | | | 02/10/2048 | | | 2,634 | |
| | 10,750,000 | | | Series 2015-GC31-C | | | 4.17%(b) | | | 06/10/2048 | | | 6,549,280 | |
| | 17,067,444 | | | Series 2016-GC36-XA | | | 1.36%(b)(h) | | | 02/10/2049 | | | 188,300 | |
| | 3,096,000 | | | Series 2016-P3-A4 | | | 3.33% | | | 04/15/2049 | | | 3,022,920 | |
| | 11,123,169 | | | Series 2016-P3-XA | | | 1.81%(b)(h) | | | 04/15/2049 | | | 148,879 | |
| | 2,519,000 | | | Series 2016-P4-B | | | 3.38% | | | 07/10/2049 | | | 2,255,758 | |
| | 11,721,256 | | | Series 2016-P4-XA | | | 2.05%(b)(h) | | | 07/10/2049 | | | 269,857 | |
| | 10,806,453 | | | Series 2017-P7-XA | | | 1.24%(b)(h) | | | 04/14/2050 | | | 221,731 | |
| | | | | Citigroup/Deutsche Bank Commercial Mortgage Trust | |
| | 15,912,580 | | | Series 2016-C1-XA | | | 1.51%(b)(h) | | | 05/10/2049 | | | 200,306 | |
| | 43,695,386 | | | Series 2017-CD3-XA | | | 1.10%(b)(h) | | | 02/10/2050 | | | 794,177 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 91
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 51,836,670 | | | Series 2017-CD4-XA | | | 1.37%(b)(h) | | | 05/10/2050 | | | 1,267,251 | |
| | | | | Commercial Mortgage Pass Through Certificates | |
| | 1,735,380 | | | Series 2013-CR12-XA | | | 0.74%(b)(h) | | | 10/10/2046 | | | 35 | |
| | 12,051,743 | | | Series 2015-CR22-XA | | | 0.94%(b)(h) | | | 03/10/2048 | | | 4,112 | |
| | 28,795,380 | | | Series 2015-CR25-XA | | | 0.93%(b)(h) | | | 08/10/2048 | | | 111,787 | |
| | 33,319,093 | | | Series 2015-CR27-XA | | | 1.05%(b)(h) | | | 10/10/2048 | | | 183,435 | |
| | 7,144,402 | | | Series 2015-DC1-XA | | | 1.07%(b)(h) | | | 02/10/2048 | | | 7,199 | |
| | 4,978,000 | | | Series 2015-LC21-B | | | 4.46%(b) | | | 07/10/2048 | | | 4,885,983 | |
| | 37,671,139 | | | Series 2015-LC21-XA | | | 0.75%(b)(h) | | | 07/10/2048 | | | 68,181 | |
| | 12,226,550 | | | Series 2016-DC2-XA | | | 1.07%(b)(h) | | | 02/10/2049 | | | 95,629 | |
| | 11,396,000 | | | Series 2018-HCLV-D (1 mo. Term SOFR + 2.47%, 2.18% Floor) | | | 7.57%(a) | | | 09/15/2033 | | | 5,212,850 | |
| | | | | Computershare Corporate Trust | |
| | 540,000 | | | Series 2014-LC18-B | | | 3.96% | | | 12/15/2047 | | | 536,082 | |
| | 7,852,140 | | | Series 2015-C27-XA | | | 0.92%(b)(h) | | | 02/15/2048 | | | 10,063 | |
| | 46,634,875 | | | Series 2015-C30-XA | | | 1.01%(b)(h) | | | 09/15/2058 | | | 205,590 | |
| | 22,119,062 | | | Series 2015-NXS2-XA | | | 0.72%(b)(h) | | | 07/15/2058 | | | 38,956 | |
| | 9,988,171 | | | Series 2016-C33-XA | | | 1.72%(b)(h) | | | 03/15/2059 | | | 154,856 | |
| | 20,365,345 | | | Series 2016-NXS6-XA | | | 1.74%(b)(h) | | | 11/15/2049 | | | 395,792 | |
| | 64,490,159 | | | Series 2017-C38-XA | | | 1.06%(b)(h) | | | 07/15/2050 | | | 1,232,549 | |
| | 20,307,496 | | | Series 2019-C52-XA | | | 1.70%(b)(h) | | | 08/15/2052 | | | 1,184,601 | |
| | 62,101,876 | | | Series 2021-C59-XA | | | 1.64%(b)(h) | | | 04/15/2054 | | | 4,333,705 | |
| | 5,250,000 | | | Series 2022-ONL-A | | | 3.86%(a) | | | 12/15/2039 | | | 4,911,745 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 9,873,828 | | | Series 2014-USA-X1 | | | 0.69%(a)(b)(h) | | | 09/15/2037 | | | 15,647 | |
| | | | | CSAIL Commercial Mortgage Trust | |
| | 16,827,428 | | | Series 2015-C1-XA | | | 0.87%(b)(h) | | | 04/15/2050 | | | 8,875 | |
| | 2,816,831 | | | Series 2016-C6-XA | | | 2.02%(b)(h) | | | 01/15/2049 | | | 51,298 | |
| | 122,126,333 | | | Series 2021-C20-XA | | | 1.12%(b)(h) | | | 03/15/2054 | | | 5,732,439 | |
| | | | | DBCG Mortgage Trust | | | | | | | | | | |
| | 4,931,247 | | | Series 2017-BBG-A (Prime Rate + 0.00%, 0.00% Floor) | | | 8.50%(a) | | | 06/15/2034 | | | 4,931,690 | |
| | | | | Franklin BSP Realty Trust, Inc. | | | | | | | | | | |
| | 8,087,453 | | | Series 2022-FL8-A (30 day avg SOFR US + 1.50%, 1.50% Floor) | | | 6.84%(a) | | | 02/15/2037 | | | 8,074,758 | |
| | | | | FS Rialto | | | | | | | | | | |
| | 6,949,184 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor) | | | 6.43%(a) | | | 05/16/2038 | | | 6,926,675 | |
| | 7,482,349 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.46%(a) | | | 11/16/2036 | | | 7,480,201 | |
| | | | | Granite Point Mortgage Trust, Inc. | |
| | 2,440,251 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.38%(a) | | | 07/16/2035 | | | 2,413,945 | |
| | 4,086,461 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.35% Floor) | | | 6.38%(a) | | | 12/15/2036 | | | 4,040,129 | |
| | | | | Great Wolf Trust | | | | | | | | | | |
| | 8,770,000 | | | Series 2024-WOLF-A (1 mo. Term SOFR + 1.54%, 1.54% Floor) | | | 6.64%(a) | | | 03/15/2039 | | | 8,764,718 | |
| | | | | Greystone Commercial Real Estate Notes | |
| | 6,802,749 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor) | | | 6.23%(a) | | | 07/15/2039 | | | 6,792,171 | |
| | 10,700,000 | | | Series 2021-FL3-C (1 mo. Term SOFR + 2.11%, 2.00% Floor) | | | 7.21%(a) | | | 07/15/2039 | | | 10,657,114 | |
| | | | | GS Mortgage Securities Corp. II | |
| | 416,184 | | | Series 2014-GC24-XA | | | 0.61%(b)(h) | | | 09/10/2047 | | | 6 | |
| | 27,537,850 | | | Series 2015-GC32-XA | | | 0.83%(b)(h) | | | 07/10/2048 | | | 83,853 | |
| | 8,271,410 | | | Series 2015-GS1-XA | | | 0.90%(b)(h) | | | 11/10/2048 | | | 47,156 | |
| | 13,917,866 | | | Series 2016-GS2-XA | | | 1.88%(b)(h) | | | 05/10/2049 | | | 245,229 | |
| | 24,038,082 | | | Series 2016-GS3-XA | | | 1.31%(b)(h) | | | 10/10/2049 | | | 397,919 | |
| | 2,314,000 | | | Series 2018-GS10-WLSD | | | 5.07%(a)(b) | | | 03/10/2033 | | | 206,913 | |
| | 2,893,000 | | | Series 2018-GS10-WLSE | | | 5.07%(a)(b) | | | 03/10/2033 | | | 235,904 | |
| | 5,000,000 | | | Series 2018-TWR-E (1 mo. Term SOFR + 2.40%, 2.10% Floor) | | | 7.49%(a) | | | 07/15/2031 | | | 1,260,000 | |
| | 5,000,000 | | | Series 2018-TWR-F (1 mo. Term SOFR + 3.10%, 2.80% Floor) | | | 8.19%(a) | | | 07/15/2031 | | | 682,500 | |
| | 5,000,000 | | | Series 2018-TWR-G (1 mo. Term SOFR + 4.22%, 3.93% Floor) | | | 9.32%(a) | | | 07/15/2031 | | | 103,950 | |
| | | | | GSCG Trust | | | | | | | | | | |
| | 14,505,000 | | | Series 2019-600C-E | | | 4.12%(a)(b) | | | 09/06/2034 | | | 1,177,732 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | JP Morgan Chase Commercial Mortgage Securities | |
| | 1,697,514 | | | Series 2014-C20-B | | | 4.40%(b) | | | 07/15/2047 | | | 1,660,398 | |
| | 13,538,067 | | | Series 2015-JP1-XA | | | 1.03%(b)(h) | | | 01/15/2049 | | | 96,189 | |
| | 30,457,472 | | | Series 2016-JP4-XA | | | 0.71%(b)(h) | | | 12/15/2049 | | | 276,685 | |
| | 336,000 | | | Series 2018-WPT-CFX | | | 4.95%(a) | | | 07/05/2033 | | | 263,031 | |
| | 4,216,000 | | | Series 2019-UES-C | | | 4.34%(a) | | | 05/05/2032 | | | 3,544,100 | |
| | 4,314,000 | | | Series 2019-UES-D | | | 4.60%(a)(b) | | | 05/05/2032 | | | 3,666,313 | |
| | 5,040,000 | | | Series 2019-UES-E | | | 4.60%(a)(b) | | | 05/05/2032 | | | 4,269,581 | |
| | 5,287,000 | | | Series 2019-UES-F | | | 4.60%(a)(b) | | | 05/05/2032 | | | 4,513,607 | |
| | 5,775,000 | | | Series 2019-UES-G | | | 4.60%(a)(b) | | | 05/05/2032 | | | 4,933,860 | |
| | 6,153,490 | | | Series 2022-NLP-A (1 mo. Term SOFR + 0.60%, 0.60% Floor) | | | 5.69%(a) | | | 04/15/2037 | | | 5,991,174 | |
| | | | | JPMBB Commercial Mortgage Securities Trust | |
| | 500,000 | | | Series 2014-C23-C | | | 4.71%(b) | | | 09/15/2047 | | | 484,306 | |
| | 8,722,429 | | | Series 2014-C25-XA | | | 0.90%(b)(h) | | | 11/15/2047 | | | 155 | |
| | 12,341,483 | | | Series 2015-C29-XA | | | 0.67%(b)(h) | | | 05/15/2048 | | | 25,386 | |
| | 20,702,055 | | | Series 2015-C30-XA | | | 0.55%(b)(h) | | | 07/15/2048 | | | 38,903 | |
| | 8,596,885 | | | Series 2015-C31-XA | | | 0.95%(b)(h) | | | 08/15/2048 | | | 37,302 | |
| | 13,347,553 | | | Series 2015-C32-XA | | | 1.24%(b)(h) | | | 11/15/2048 | | | 61,683 | |
| | 5,380,000 | | | Series 2015-C33-AS | | | 4.02% | | | 12/15/2048 | | | 5,273,154 | |
| | | | | KREF | | | | | | | | | | |
| | 7,714,361 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor) | | | 6.27%(a) | | | 02/15/2039 | | | 7,678,728 | |
| | 7,942,000 | | | Series 2021-FL2-B (1 mo. Term SOFR + 1.76%, 1.65% Floor) | | | 6.85%(a) | | | 02/15/2039 | | | 7,713,358 | |
| | 8,506,000 | | | Series 2022-FL3-A (1 mo. Term SOFR + 1.45%, 1.45% Floor) | | | 6.41%(a) | | | 02/17/2039 | | | 8,499,944 | |
| | | | | Ladder Capital Commercial Mortgage Securities LLC | |
| | 6,367,000 | | | Series 2021-FL3-AS (1 mo. Term SOFR + 1.91%, 1.91% Floor) | | | 7.01%(a) | | | 11/15/2038 | | | 6,276,156 | |
| | 2,400,000 | | | Series 2021-FL3-B (1 mo. Term SOFR + 2.31%, 2.31% Floor) | | | 7.41%(a) | | | 11/15/2038 | | | 2,342,894 | |
| | | | | LoanCore | | | | | | | | | | |
| | 4,820,267 | | | Series 2021-CRE5-A (1 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.51%(a) | | | 07/15/2036 | | | 4,802,822 | |
| | 5,617,611 | | | Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor) | | | 6.51%(a) | | | 11/15/2038 | | | 5,611,342 | |
| | 6,676,230 | | | Series 2022-CRE7-A (30 day avg SOFR US + 1.55%, 1.55% Floor) | | | 6.89%(a) | | | 01/17/2037 | | | 6,688,714 | |
| | | | | LSTAR Commercial Mortgage Trust | |
| | 5,958,216 | | | Series 2016-4-XA | | | 1.83%(a)(b)(h) | | | 03/10/2049 | | | 71,951 | |
| | 59,726,803 | | | Series 2017-5-X | | | 0.99%(a)(b)(h) | | | 03/10/2050 | | | 870,900 | |
| | | | | Lument Finance Trust, Inc. | | | | | | | | | | |
| | 7,270,349 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor) | | | 6.38%(a) | | | 06/15/2039 | | | 7,283,857 | |
| | | | | MF1 Multifamily Housing Mortgage Loan Trust | |
| | 1,271,288 | | | Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor) | | | 6.23%(a) | | | 07/16/2036 | | | 1,267,194 | |
| | 3,768,101 | | | Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor) | | | 6.31%(a) | | | 02/19/2037 | | | 3,759,009 | |
| | 12,550,000 | | | Series 2022-FL8-AS (1 mo. Term SOFR + 1.75%, 1.75% Floor) | | | 6.71%(a) | | | 02/19/2037 | | | 12,348,123 | |
| | 6,772,165 | | | Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.11%(a) | | | 06/19/2037 | | | 6,786,875 | |
| | 7,200,000 | | | Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor) | | | 6.70%(a) | | | 08/18/2041 | | | 7,213,745 | |
| | | | | MFT Trust | | | | | | | | | | |
| | 8,933,000 | | | Series 2020-ABC-D | | | 3.59%(a)(b) | | | 02/10/2042 | | | 4,334,223 | |
| | | | | Morgan Stanley ABS Capital I, Inc. | |
| | 3,788,000 | | | Series 2024-NSTB-A | | | 3.90%(a)(b) | | | 09/24/2057 | | | 3,686,387 | |
| | | | | Morgan Stanley Bank of America Merrill Lynch Trust | |
| | 9,392,585 | | | Series 2012-CKSV-CK | | | 4.30%(a)(b) | | | 10/15/2030 | | | 6,005,502 | |
| | 500,000 | | | Series 2014-C18-C | | | 4.83%(b) | | | 10/15/2047 | | | 486,482 | |
| | 7,513,000 | | | Series 2015-C23-AS | | | 4.00%(b) | | | 07/15/2050 | | | 7,413,698 | |
| | 15,705,630 | | | Series 2016-C28-XA-XA | | | 1.30%(b)(h) | | | 01/15/2049 | | | 139,064 | |
| | | | | Morgan Stanley Capital I, Inc. | | | | | | | | | | |
| | 711,000 | | | Series 2019-NUGS-F (1 mo. Term SOFR + 2.96%, 4.34% Floor) | | | 8.06%(a) | | | 12/15/2036 | | | 11,198 | |
| | | | | | | | | | | | | | | |
92
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) |
| | | | | | | | | | | | | | | |
| | 13,327,000 | | | Series 2019-PLND-E (1 mo. Term SOFR + 2.26%, 2.15% Floor) | | | 7.36%(a) | | | 05/15/2036 | | | 2,240,639 | |
| | 1,331,000 | | | Series 2019-PLND-F (1 mo. Term SOFR + 2.91%, 2.80% Floor) | | | 8.01%(a) | | | 05/15/2036 | | | 125,873 | |
| | | | | Natixis Commercial Mortgage Securities Trust | |
| | 9,940,000 | | | Series 2018-FL1-C (Prime Rate + 0.00%, 0.00% Floor) | | | 8.50%(a) | | | 06/15/2035 | | | 4,420,909 | |
| | 4,742,000 | | | Series 2020-2PAC-AMZ2 | | | 3.62%(a)(b) | | | 01/15/2037 | | | 3,066,359 | |
| | | | | OPG Trust | | | | | | | | | | |
| | 4,496,532 | | | Series 2021-PORT-A (1 mo. Term SOFR + 0.60%, 0.48% Floor) | | | 5.70%(a) | | | 10/15/2036 | | | 4,453,959 | |
| | | | | Ready Capital Corp. | | | | | | | | | | |
| | 7,645,927 | | | Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.17%(a) | | | 11/25/2036 | | | 7,644,940 | |
| | 5,660,227 | | | Series 2022-FL10-A (1 mo. Term SOFR + 2.55%, 2.55% Floor) | | | 7.41%(a) | | | 10/25/2039 | | | 5,694,420 | |
| | | | | SLG Office Trust | | | | | | | | | | |
| | 168,062,650 | | | Series 2021-OVA-X | | | 0.26%(a)(b)(h) | | | 07/15/2041 | | | 2,324,021 | |
| | | | | Starwood Property Mortgage Trust | |
| | 459,000 | | | Series 2019-FL1-C (1 mo. Term SOFR + 2.06%, 2.06% Floor) | | | 7.16%(a) | | | 07/15/2038 | | | 453,892 | |
| | 5,051,308 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.33%(a) | | | 04/18/2038 | | | 4,995,042 | |
| | | | | TPG Real Estate Finance Issuer Ltd. | |
| | 11,424,771 | | | Series 2022-FL5-A (1 mo. Term SOFR + 1.65%, 1.65% Floor) | | | 6.73%(a) | | | 02/15/2039 | | | 11,400,665 | |
| | 5,000,000 | | | Series 2022-FL5-AS (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.23%(a) | | | 02/15/2039 | | | 4,971,850 | |
| | | | | UBS Commercial Mortgage Trust | |
| | 1,500,000 | | | Series 2017-C4-C | | | 4.68%(b) | | | 10/15/2050 | | | 1,341,388 | |
| | 63,709,543 | | | Series 2018-C13-XA | | | 0.93%(b)(h) | | | 10/15/2051 | | | 1,581,245 | |
| | | | | VMC Finance LLC | | | | | | | | | | |
| | 1,706,606 | | | Series 2022-FL5-A (30 day avg SOFR US + 1.90%, 1.90% Floor) | | | 7.24%(a) | | | 02/18/2039 | | | 1,709,149 | |
| | | | | WF-RBS Commercial Mortgage Trust | |
| | 266,474 | | | Series 2014-C21-XA | | | 0.70%(b)(h) | | | 08/15/2047 | | | 3 | |
| | | | | Total Non-Agency Commercial
Mortgage Backed Obligations
(Cost $622,005,351) | | | | | | 470,144,249 | |
| | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 10.4% | |
| | | | | ACE Securities Corp. | | | | | | | | | | |
| | 4,447,580 | | | Series 2006-CW1-A2D (1 mo. Term SOFR + 0.63%, 0.52% Floor) | | | 5.49% | | | 07/25/2036 | | | 3,622,891 | |
| | 6,898,098 | | | Series 2007-WM1-A2B (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21% | | | 11/25/2036 | | | 2,857,932 | |
| | | | | Adjustable Rate Mortgage Trust | |
| | 4,504,460 | | | Series 2006-1-6A1 (1 mo. Term SOFR + 0.37%, 0.26% Floor) | | | 5.23% | | | 03/25/2036 | | | 2,705,728 | |
| | | | | AJAX Mortgage Loan Trust | | | | | | | | | | |
| | 3,279,894 | | | Series 2021-C-A | | | 5.12%(a)(c) | | | 01/25/2061 | | | 3,282,230 | |
| | | | | American Home Mortgage Investment Trust | |
| | 1,982,250 | | | Series 2004-2-M1 (1 mo. Term SOFR + 1.01%, 0.90% Floor, 11.00% Cap) | | | 5.87% | | | 02/25/2044 | | | 1,849,298 | |
| | | | | Angel Oak Mortgage Trust LLC | | | | | | | | | | |
| | 2,050,004 | | | Series 2020-2-A1A | | | 2.53%(a)(b) | | | 01/26/2065 | | | 1,927,421 | |
| | 371,832 | | | Series 2020-6-A3 | | | 1.78%(a)(b) | | | 05/25/2065 | | | 340,611 | |
| | 6,799,730 | | | Series 2021-7-A1 | | | 1.98%(a)(b) | | | 10/25/2066 | | | 5,946,378 | |
| | | | | Arroyo Mortgage Trust | | | | | | | | | | |
| | 798,980 | | | Series 2019-1-A1 | | | 3.81%(a)(b) | | | 01/25/2049 | | | 781,549 | |
| | 450,222 | | | Series 2019-2-A2 | | | 3.50%(a)(b) | | | 04/25/2049 | | | 438,013 | |
| | 3,435,796 | | | Series 2019-3-A3 | | | 3.42%(a)(b) | | | 10/25/2048 | | | 3,299,916 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Banc of America Funding Corp. | |
| | 937,863 | | | Series 2006-7-T2A1-T2A1 | | | 5.88%(b) | | | 10/25/2036 | | | 829,083 | |
| | 9,398,600 | | | Series 2015-R2-4A2 (1 mo. Term SOFR + 0.28%, 0.17% Floor) | | | 2.52%(a) | | | 09/29/2036 | | | 7,385,517 | |
| | 1,842,024 | | | Series 2015-R2-9A2 | | | 4.21%(a)(i) | | | 03/27/2036 | | | 1,537,017 | |
| | | | | Banc of America Mortgage Securities, Inc. | |
| | 930,801 | | | Series 2005-I-2A5 | | | 5.00%(b) | | | 10/25/2035 | | | 880,075 | |
| | 2,072,043 | | | Series 2007-3-1A1 | | | 6.00% | | | 09/25/2037 | | | 1,701,216 | |
| | | | | BCAP LLC Trust | | | | | | | | | | |
| | 6,618,702 | | | Series 2009-RR4-7A2 | | | 6.00%(a)(b) | | | 03/26/2037 | | | 2,397,136 | |
| | 1,234,791 | | | Series 2012-RR1-3A4 | | | 5.50%(a)(b) | | | 10/26/2035 | | | 818,588 | |
| | | | | BRAVO Residential Funding Trust | |
| | 1,864,230 | | | Series 2021-NQM2-A3 | | | 1.44%(a)(b) | | | 03/25/2060 | | | 1,786,645 | |
| | 7,822,418 | | | Series 2022-RPL1-A1 | | | 2.75%(a)(b) | | | 09/25/2061 | | | 7,205,045 | |
| | | | | Citigroup Mortgage Loan Trust, Inc. | |
| | 1,439,563 | | | Series 2020-EXP1-A1A | | | 1.80%(a)(b) | | | 05/25/2060 | | | 1,332,722 | |
| | | | | Citimortgage Alternative Loan Trust | |
| | 542,706 | | | Series 2007-A5-1A10 | | | 5.75% | | | 05/25/2037 | | | 498,962 | |
| | | | | COLT Funding LLC | | | | | | | | | | |
| | 99,036 | | | Series 2020-3-A3 | | | 2.38%(a)(b) | | | 04/27/2065 | | | 95,919 | |
| | 2,588,934 | | | Series 2021-1R-A1 | | | 0.86%(a)(b) | | | 05/25/2065 | | | 2,261,696 | |
| | 4,381,383 | | | Series 2021-5-A1 | | | 1.73%(a)(b) | | | 11/26/2066 | | | 3,931,222 | |
| | 5,245,702 | | | Series 2022-2-A1 | | | 2.99%(a)(c) | | | 02/25/2067 | | | 5,009,272 | |
| | | | | Countrywide Alternative Loan Trust | |
| | 274,428 | | | Series 2005-23CB-A15 | | | 5.50% | | | 07/25/2035 | | | 227,205 | |
| | 925,281 | | | Series 2005-28CB-1A6-1A6 | | | 5.50% | | | 08/25/2035 | | | 802,040 | |
| | 3,778,120 | | | Series 2005-49CB-A6 | | | 5.50% | | | 11/25/2035 | | | 2,501,349 | |
| | 1,446,613 | | | Series 2005-61-1A2 (1 mo. Term SOFR + 0.85%, 0.74% Floor) | | | 5.71% | | | 12/25/2035 | | | 1,282,499 | |
| | 6,745,724 | | | Series 2005-62-1A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor) | | | 5.57% | | | 12/25/2035 | | | 5,125,581 | |
| | 7,428,134 | | | Series 2006-16CB-A5 | | | 6.00% | | | 06/25/2036 | | | 4,091,340 | |
| | 1,424,909 | | | Series 2006-32CB-A21 | | | 5.50% | | | 11/25/2036 | | | 793,457 | |
| | 2,249,698 | | | Series 2006-34-A6 | | | 6.25% | | | 11/25/2046 | | | 1,118,689 | |
| | 5,642,699 | | | Series 2006-36T2-1A3 | | | 5.75% | | | 12/25/2036 | | | 2,305,186 | |
| | 1,335,006 | | | Series 2006-J4-2A9 | | | 6.00% | | | 07/25/2036 | | | 802,353 | |
| | 1,472,978 | | | Series 2006-J6-A5 | | | 6.00% | | | 09/25/2036 | | | 713,712 | |
| | 1,759,892 | | | Series 2006-OA12-A1B (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.27% | | | 09/20/2046 | | | 1,779,142 | |
| | 3,479,110 | | | Series 2006-OA21-A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.27% | | | 03/20/2047 | | | 2,931,146 | |
| | 10,757,467 | | | Series 2007-12T1-A11 | | | 6.00% | | | 06/25/2037 | | | 5,082,864 | |
| | 9,651,218 | | | Series 2007-12T1-A5 | | | 6.00% | | | 06/25/2037 | | | 4,560,166 | |
| | 282,713 | | | Series 2007-15CB-A7 | | | 6.00% | | | 07/25/2037 | | | 170,013 | |
| | 4,122,869 | | | Series 2007-8CB-A1 | | | 5.50% | | | 05/25/2037 | | | 2,195,005 | |
| | 10,573,255 | | | Series 2007-9T1-1A6 | | | 6.00% | | | 05/25/2037 | | | 5,233,611 | |
| | | | | Countrywide Home Loan Mortgage Pass Through Trust | |
| | 670,717 | | | Series 2005-10-A2 | | | 5.50% | | | 05/25/2035 | | | 559,922 | |
| | 9,455,745 | | | Series 2006-20-1A18 (1 mo. Term SOFR + 0.76%, 0.65% Floor, 6.00% Cap) | | | 5.62% | | | 02/25/2037 | | | 3,502,169 | |
| | 1,550,680 | | | Series 2006-21-A10 | | | 5.75% | | | 02/25/2037 | | | 686,228 | |
| | 542,671 | | | Series 2007-14-A15 | | | 6.50% | | | 09/25/2037 | | | 319,411 | |
| | | | | Credit Suisse First Boston Mortgage Securities Corp. | |
| | 2,452 | | | Series 2004-8-6A1 | | | 4.50% | | | 10/25/2024 | | | 1,872 | |
| | 437,216 | | | Series 2005-9-5A9 | | | 5.50% | | | 10/25/2035 | | | 228,216 | |
| | | | | Credit Suisse Management LLC | |
| | 995,124 | | | Series 2005-11-2A1 | | | 6.00% | | | 12/25/2035 | | | 694,821 | |
| | 47,547 | | | Series 2005-11-8A5 | | | 6.00% | | | 12/25/2035 | | | 36,378 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 8,460,983 | | | Series 2009-8R-8A2 | | | 6.00%(a)(b) | | | 03/26/2037 | | | 3,064,367 | |
| | 261,617 | | | Series 2011-12R-3A5 | | | 6.05%(a)(b) | | | 07/27/2036 | | | 260,111 | |
| | 284,165 | | | Series 2021-JR1-A1 | | | 5.47%(a)(b) | | | 09/27/2066 | | | 283,382 | |
| | 16,360,700 | | | Series 2022-NQM1-A1 | | | 2.27%(a)(b) | | | 11/25/2066 | | | 14,900,115 | |
| | | | | Cross Mortgage Trust | | | | | | | | | | |
| | 11,713,920 | | | Series 2024-H5-A1 | | | 5.85%(a)(c) | | | 08/26/2069 | | | 11,838,137 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 93
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | DB US Financial Markets Holding Corp. | |
| | 311,076 | | | Series 2014-RS1-1A2 | | | 6.50%(a)(b) | | | 07/27/2037 | | | 263,541 | |
| | | | | Deutsche ALT-A Securities, Inc. | |
| | 352,118 | | | Series 2006-AB4-A1A | | | 6.01%(b) | | | 10/25/2036 | | | 306,497 | |
| | 6,488,902 | | | Series 2006-AR4-A1 (1 mo. Term SOFR + 0.37%, 0.26% Floor) | | | 5.23% | | | 12/25/2036 | | | 2,253,893 | |
| | 4,305,789 | | | Series 2006-AR4-A2 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 10.50% Cap) | | | 5.35% | | | 12/25/2036 | | | 1,411,669 | |
| | 187,201 | | | Series 2007-OA2-A1 (12 Month US Treasury Average + 0.77%, 0.77% Floor) | | | 5.89% | | | 04/25/2047 | | | 165,169 | |
| | | | | Fannie Mae Connecticut Avenue Securities | |
| | 4,556,243 | | | Series 2024-R01-1M1 (30 day avg SOFR US + 1.05%, 1.05% Floor) | | | 6.33%(a) | | | 01/25/2044 | | | 4,561,181 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | |
| | 8,151,439 | | | Series 2024-DNA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor) | | | 6.48%(a) | | | 05/25/2044 | | | 8,169,283 | |
| | 9,785,042 | | | Series 2024-HQA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor) | | | 6.48%(a) | | | 08/25/2044 | | | 9,814,092 | |
| | | | | GCAT | | | | | | | | | | |
| | 2,504,508 | | | Series 2020-NQM2-A1 | | | 2.56%(a)(c) | | | 04/25/2065 | | | 2,403,659 | |
| | 6,445,403 | | | Series 2021-NQM4-A3 | | | 1.56%(a)(b) | | | 08/25/2066 | | | 5,415,347 | |
| | | | | GSAA Trust | | | | | | | | | | |
| | 5,100,267 | | | Series 2006-19-A3A (1 mo. Term SOFR + 0.59%, 0.48% Floor) | | | 5.45% | | | 12/25/2036 | | | 1,793,986 | |
| | | | | GSR Mortgage Loan Trust | | | | | | | | | | |
| | 321,550 | | | Series 2006-2F-3A4 | | | 6.00% | | | 02/25/2036 | | | 146,432 | |
| | | | | Harborview Mortgage Loan Trust | |
| | 2,043,666 | | | Series 2006-1-2A1A (1 mo. Term SOFR + 0.59%, 0.48% Floor) | | | 5.56% | | | 03/19/2036 | | | 1,859,426 | |
| | | | | Impac Secured Assets CMN Owner Trust | |
| | 663,131 | | | Series 2006-5-1A1C (1 mo. Term SOFR + 0.65%, 0.54% Floor, 11.50% Cap) | | | 5.51% | | | 02/25/2037 | | | 591,862 | |
| | | | | Indymac Index Mortgage Loan Trust | |
| | 609,432 | | | Series 2006-AR5-2A1 | | | 3.64%(b) | | | 05/25/2036 | | | 583,693 | |
| | | | | JP Morgan Alternative Loan Trust | |
| | 32,376,480 | | | Series 2005-S1-1A4 | | | 6.00% | | | 12/25/2035 | | | 11,068,767 | |
| | 3,055,491 | | | Series 2007-S1-A2 (1 mo. Term SOFR + 0.79%, 0.68% Floor, 11.50% Cap) | | | 5.65% | | | 04/25/2047 | | | 2,906,128 | |
| | | | | JP Morgan Mortgage Acquisition Corp. | |
| | 10,798,299 | | | Series 2006-WMC2-A5 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 07/25/2036 | | | 4,681,801 | |
| | | | | JP Morgan Reremic | | | | | | | | | | |
| | 5,679,544 | | | Series 2014-4-1C | | | 0.00%(a)(b) | | | 01/26/2036 | | | 1,638,122 | |
| | | | | Legacy Mortgage Asset Trust | | | | | | | | | | |
| | 2,475,771 | | | Series 2021-GS1-A1 | | | 4.89%(a)(c) | | | 10/25/2066 | | | 2,477,404 | |
| | | | | Lehman Mortgage Trust | | | | | | | | | | |
| | 183,499 | | | Series 2006-1-1A3 | | | 5.50% | | | 02/25/2036 | | | 89,302 | |
| | | | | Lehman XS Trust | | | | | | | | | | |
| | 8,766,240 | | | Series 2007-15N-3A1 (1 mo. Term SOFR + 0.36%, 0.25% Floor) | | | 5.22% | | | 08/25/2047 | | | 7,695,153 | |
| | | | | Long Beach Mortgage Loan Trust | |
| | 15,707,448 | | | Series 2006-11-2A2 (1 mo. Term SOFR + 0.31%, 0.20% Floor) | | | 5.17% | | | 12/25/2036 | | | 5,575,671 | |
| | 9,509,714 | | | Series 2006-2-2A3 (1 mo. Term SOFR + 0.49%, 0.38% Floor) | | | 5.35% | | | 03/25/2046 | | | 3,452,144 | |
| | | | | Mastr Adjustable Rate Mortgages Trust | |
| | 67,831 | | | Series 2006-2-2A1 | | | 6.75%(b) | | | 04/25/2036 | | | 34,430 | |
| | 1,319,540 | | | Series 2006-OA2-4A1A (12 Month US Treasury Average + 0.85%, 0.85% Floor) | | | 5.97% | | | 12/25/2046 | | | 1,219,866 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Merrill Lynch Alternative Note Asset | |
| | 330,935 | | | Series 2007-F1-2A6 | | | 6.00% | | | 03/25/2037 | | | 119,232 | |
| | | | | Merrill Lynch Mortgage Investors, Inc. | |
| | 1,171,282 | | | Series 2006-AF1-AF2C | | | 6.25% | | | 08/25/2036 | | | 474,965 | |
| | 34,838,531 | | | Series 2006-RM2-A1A (1 mo. Term SOFR + 0.48%, 0.37% Floor) | | | 5.34% | | | 05/25/2037 | | | 9,993,464 | |
| | 4,324,244 | | | Series 2007-HE2-A2A (1 mo. Term SOFR + 0.35%, 0.24% Floor) | | | 5.21% | | | 02/25/2037 | | | 1,272,596 | |
| | 6,686,562 | | | Series 2007-HE2-A2B (1 mo. Term SOFR + 0.53%, 0.42% Floor) | | | 5.39% | | | 02/25/2037 | | | 1,967,771 | |
| | | | | MFRA Trust | | | | | | | | | | |
| | 4,220,068 | | | Series 2021-NQM2-A3 | | | 1.47%(a)(b) | | | 11/25/2064 | | | 3,758,532 | |
| | | | | Morgan Stanley Mortgage Loan Trust | |
| | 222,244 | | | Series 2006-2-7A1 | | | 5.47%(b) | | | 02/25/2036 | | | 130,351 | |
| | | | | Nomura Resecuritization Trust | |
| | 3,716,899 | | | Series 2015-8R-4A4 | | | 4.44%(a)(b) | | | 11/25/2047 | | | 3,139,911 | |
| | | | | Onslow Bay Mortgage Loan Trust | |
| | 398,820 | | | Series 2020-EXP2-A3 | | | 2.50%(a)(b) | | | 05/25/2060 | | | 340,942 | |
| | 2,888,378 | | | Series 2021-NQM2-A3 | | | 1.56%(a)(b) | | | 05/25/2061 | | | 2,451,302 | |
| | 5,728,371 | | | Series 2022-NQM1-A1 | | | 2.31%(a)(b) | | | 11/25/2061 | | | 5,166,939 | |
| | 9,565,834 | | | Series 2024-NQM10-A1 | | | 6.18%(a)(c) | | | 05/25/2064 | | | 9,723,524 | |
| | 9,000,000 | | | Series 2024-NQM13-A1 | | | 5.12%(a) | | | 06/25/2064 | | | 9,034,588 | |
| | | | | Pretium Mortgage Credit Partners LLC | |
| | 2,560,137 | | | Series 2021-NPL2-A1 | | | 4.99%(a)(c) | | | 06/27/2060 | | | 2,544,941 | |
| | 22,090,815 | | | Series 2021-NPL3-A1 | | | 4.87%(a)(c) | | | 07/25/2051 | | | 21,854,364 | |
| | 4,256,418 | | | Series 2021-RN1-A1 | | | 4.99%(a)(c) | | | 02/25/2061 | | | 4,259,417 | |
| | 4,431,447 | | | Series 2021-RN2-A1 | | | 4.74%(a)(c) | | | 07/25/2051 | | | 4,383,834 | |
| | | | | PRPM LLC | | | | | | | | | | |
| | 4,083,959 | | | Series 2021-6-A1 | | | 4.79%(a)(c) | | | 07/25/2026 | | | 4,066,715 | |
| | | | | RALI Trust | | | | | | | | | | |
| | 464,729 | | | Series 2006-QS12-2A3 | | | 6.00% | | | 09/25/2036 | | | 368,485 | |
| | 1,200,769 | | | Series 2007-QS4-3A4 | | | 6.00% | | | 03/25/2037 | | | 1,032,761 | |
| | 1,495,251 | | | Series 2007-QS4-3A9 | | | 6.00% | | | 03/25/2037 | | | 1,286,011 | |
| | 1,036,999 | | | Series 2007-QS8-A3 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 06/25/2037 | | | 747,547 | |
| | 662,153 | | | Series 2007-QS9-A33 | | | 6.50% | | | 07/25/2037 | | | 546,307 | |
| | | | | RASC Trust | | | | | | | | | | |
| | 3,907,623 | | | Series 2004-KS7-A2A (1 mo. Term SOFR + 0.69%, 0.58% Floor) | | | 5.55% | | | 08/25/2034 | | | 3,837,792 | |
| | | | | RBSSP Resecuritization Trust | | | | | | | | | | |
| | 522,332 | | | Series 2009-2-3A2 (1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.05%(a) | | | 04/26/2035 | | | 479,924 | |
| | | | | Residential Asset Securitization Trust | |
| | 688,993 | | | Series 2006-A2-A11 | | | 6.00% | | | 01/25/2046 | | | 272,531 | |
| | 2,105,350 | | | Series 2006-A6-1A4 | | | 6.00% | | | 07/25/2036 | | | 562,169 | |
| | | | | RESIDENTIAL MORTGAGE LOAN TRUST | |
| | 4,693,025 | | | Series 2019-2-M1 | | | 3.86%(a)(b) | | | 05/25/2059 | | | 4,627,460 | |
| | | | | RFMSI Trust | | | | | | | | | | |
| | 3,568,418 | | | Series 2007-S1-A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 01/25/2037 | | | 2,537,607 | |
| | | | | Securitized Asset Backed Receivables LLC | |
| | 5,752,540 | | | Series 2006-WM3-A1 (1 mo. Term SOFR + 0.21%, 0.10% Floor) | | | 5.07% | | | 10/25/2036 | | | 1,959,103 | |
| | | | | Soundview Home Equity Loan Trust | |
| | 949,611 | | | Series 2007-OPT3-2A3 (1 mo. Term SOFR + 0.29%, 0.18% Floor) | | | 5.15% | | | 08/25/2037 | | | 922,008 | |
| | | | | Starwood Mortgage Residential Trust | |
| | 8,000,000 | | | Series 2020-2-M1E | | | 3.00%(a) | | | 04/25/2060 | | | 7,744,186 | |
| | | | | Structured Adjustable Rate Mortgage Loan Trust | |
| | 1,020,899 | | | Series 2005-22-4A1 | | | 5.33%(b) | | | 12/25/2035 | | | 947,193 | |
| | | | | VCAT Asset Securitization LLC | | | | | | | | | | |
| | 1,807,438 | | | Series 2021-NPL4-A1 | | | 4.87%(a)(c) | | | 08/25/2051 | | | 1,788,616 | |
| | 2,592,958 | | | Series 2021-NPL5-A1 | | | 4.87%(a)(c) | | | 08/25/2051 | | | 2,564,559 | |
| | | | | | | | | | | | | | | |
94
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Velocity Commercial Capital Loan Trust | |
| | 2,558,430 | | | Series 2020-1-M2 | | | 2.98%(a)(b) | | | 02/25/2050 | | | 2,223,549 | |
| | 2,243,339 | | | Series 2021-1-M2 | | | 2.26%(a)(b) | | | 05/25/2051 | | | 1,853,424 | |
| | 1,813,501 | | | Series 2021-2-M2 | | | 2.20%(a)(b) | | | 08/25/2051 | | | 1,411,955 | |
| | | | | Vericrest Opportunity Loan Transferee | |
| | 2,553,333 | | | Series 2021-NP10-A1 | | | 4.99%(a)(c) | | | 05/25/2051 | | | 2,525,215 | |
| | 4,075,999 | | | Series 2021-NP11-A1 | | | 4.87%(a)(c) | | | 08/25/2051 | | | 4,090,788 | |
| | 3,642,452 | | | Series 2021-NPL1-A1 | | | 4.89%(a)(c) | | | 02/27/2051 | | | 3,625,132 | |
| | 438,038 | | | Series 2021-NPL2-A1 | | | 4.89%(a)(c) | | | 02/27/2051 | | | 436,076 | |
| | 1,999,055 | | | Series 2021-NPL5-A1 | | | 5.12%(a)(c) | | | 03/27/2051 | | | 1,992,404 | |
| | 1,410,671 | | | Series 2021-NPL6-A1 | | | 5.24%(a)(c) | | | 04/25/2051 | | | 1,412,008 | |
| | 12,128,795 | | | Series 2021-NPL8-A1 | | | 5.12%(a)(c) | | | 04/25/2051 | | | 12,070,565 | |
| | | | | Verus Securitization Trust | | | | | | | | | | |
| | 182,505 | | | Series 2020-4-A3 | | | 3.32%(a)(c) | | | 05/25/2065 | | | 177,980 | |
| | 1,067,959 | | | Series 2020-INV1-A2 | | | 4.04%(a)(b) | | | 03/25/2060 | | | 1,062,766 | |
| | 13,744,963 | | | Series 2021-7-A1 | | | 1.83%(a)(c) | | | 10/25/2066 | | | 12,348,945 | |
| | 1,439,851 | | | Series 2021-R1-A3 | | | 1.26%(a)(b) | | | 10/25/2063 | | | 1,365,689 | |
| | 7,353,957 | | | Series 2024-3-A1 | | | 6.34%(a)(c) | | | 04/25/2069 | | | 7,504,607 | |
| | | | | WAMU Asset-Backed Certificates | |
| | 1,588,014 | | | Series 2007-HE4-2A3 (1 mo. Term SOFR + 0.28%, 0.28% Floor) | | | 5.14% | | | 07/25/2047 | | | 953,962 | |
| | | | | WaMu Mortgage Pass Through Certificates | |
| | 2,212,680 | | | Series 2005-AR4-A5 | | | 4.68%(b) | | | 04/25/2035 | | | 2,148,333 | |
| | 9,698,728 | | | Series 2006-AR18-1A1 | | | 3.74%(b) | | | 01/25/2037 | | | 8,419,488 | |
| | | | | Washington Mutual Alternative Mortgage Pass-Through Certificates | |
| | 890,834 | | | Series 2005-8-2CB3 (1 mo. Term SOFR + 0.52%, 0.41% Floor, 5.50% Cap) | | | 5.38% | | | 10/25/2035 | | | 823,973 | |
| | | | | Washington Mutual Asset-Backed Certificates | |
| | 6,050,799 | | | Series 2006-HE5-2A2 (1 mo. Term SOFR + 0.47%, 0.36% Floor) | | | 4.24% | | | 10/25/2036 | | | 2,221,437 | |
| | 2,222,143 | | | Series 2006-HE5-2A3 (1 mo. Term SOFR + 0.57%, 0.46% Floor) | | | 4.24% | | | 10/25/2036 | | | 817,098 | |
| | | | | Wells Fargo Alternative Loan Trust | |
| | 464,434 | | | Series 2007-PA5-1A1 | | | 6.25% | | | 11/25/2037 | | | 411,807 | |
| | | | | Wells Fargo Mortgage Backed Securities Trust | |
| | 1,251,876 | | | Series 2007-15-A1 | | | 6.00% | | | 11/25/2037 | | | 1,139,615 | |
| | 5,295,038 | | | Series 2007-AR6-A2 | | | 7.09%(b) | | | 10/25/2037 | | | 5,129,037 | |
| | | | | Total Non-Agency Residential
Collateralized Mortgage Obligations
(Cost $502,748,676) | | | | | | 416,464,587 | |
| | | |
| | US CORPORATE BONDS - 6.4% | |
| | 795,000 | | | AGCO Corp. | | | 5.45% | | | 03/21/2027 | | | 811,672 | |
| | 960,000 | | | American Electric Power Co., Inc. | | | 5.20% | | | 01/15/2029 | | | 991,021 | |
| | 3,342,000 | | | American Express Co.
(SOFR + 1.00%) | | | 6.06% | | | 02/16/2028 | | | 3,368,331 | |
| | 1,317,000 | | | American National Group, Inc. | | | 5.75% | | | 10/01/2029 | | | 1,325,511 | |
| | 1,710,000 | | | Amgen, Inc. | | | 5.51% | | | 03/02/2026 | | | 1,710,611 | |
| | 3,381,000 | | | Ares Capital Corp. | | | 3.88% | | | 01/15/2026 | | | 3,333,101 | |
| | 3,276,000 | | | Arrow Electronics, Inc. | | | 5.15% | | | 08/21/2029 | | | 3,328,482 | |
| | 1,973,000 | | | AT&T, Inc. | | | 5.54% | | | 02/20/2026 | | | 1,972,604 | |
| | 4,180,000 | | | Athene Global Funding
(SOFR + 0.85%) | | | 5.95%(a) | | | 05/08/2026 | | | 4,177,185 | |
| | 2,695,000 | | | Athene Global Funding | | | 5.35%(a) | | | 07/09/2027 | | | 2,753,079 | |
| | 2,715,000 | | | Aviation Capital Group LLC | | | 1.95%(a) | | | 09/20/2026 | | | 2,573,008 | |
| | 1,651,000 | | | Boeing Co. | | | 4.88% | | | 05/01/2025 | | | 1,645,024 | |
| | 1,842,000 | | | Bristol-Myers Squibb Co.
(SOFR + 0.49%) | | | 5.53% | | | 02/20/2026 | | | 1,847,370 | |
| | 1,695,000 | | | Broadcom, Inc. | | | 3.15% | | | 11/15/2025 | | | 1,671,585 | |
| | 1,653,000 | | | Broadcom, Inc. | | | 5.05% | | | 07/12/2029 | | | 1,703,375 | |
| | 1,441,000 | | | Broadcom, Inc. | | | 4.35% | | | 02/15/2030 | | | 1,438,584 | |
| | 1,929,000 | | | Cadence Design Systems, Inc. | | | 4.30% | | | 09/10/2029 | | | 1,937,137 | |
| | 3,365,000 | | | Campbell Soup Co. | | | 3.95% | | | 03/15/2025 | | | 3,350,207 | |
| | 1,325,000 | | | Campbell Soup Co. | | | 5.20% | | | 03/19/2027 | | | 1,360,002 | |
| | 1,634,000 | | | Charles Schwab Corp.
(SOFR + 1.05%) | | | 6.03% | | | 03/03/2027 | | | 1,648,878 | |
| | 1,010,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital | | | 6.15% | | | 11/10/2026 | | | 1,038,375 | |
| | 3,272,000 | | | Cheniere Energy, Inc. | | | 4.63% | | | 10/15/2028 | | | 3,252,853 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 5,969,000 | | | Citigroup, Inc.
(SOFR + 1.34%) | | | 4.54% | | | 09/19/2030 | | | 5,977,291 | |
| | 1,755,000 | | | Crown Castle, Inc. | | | 4.80% | | | 09/01/2028 | | | 1,776,945 | |
| | 4,165,000 | | | Crown Castle, Inc. | | | 4.90% | | | 09/01/2029 | | | 4,235,302 | |
| | 1,730,000 | | | CVS Health Corp. | | | 5.00% | | | 02/20/2026 | | | 1,742,552 | |
| | 1,502,000 | | | Darden Restaurants, Inc. | | | 4.35% | | | 10/15/2027 | | | 1,501,685 | |
| | 1,660,000 | | | Dell International LLC / EMC Corp. | | | 5.85% | | | 07/15/2025 | | | 1,673,032 | |
| | 3,322,000 | | | Edison International | | | 5.45% | | | 06/15/2029 | | | 3,451,621 | |
| | 1,596,000 | | | Eli Lilly & Co. | | | 5.00% | | | 02/27/2026 | | | 1,596,360 | |
| | 3,340,000 | | | Energy Transfer LP | | | 6.05% | | | 12/01/2026 | | | 3,459,682 | |
| | 3,550,000 | | | Entergy Corp. | | | 0.90% | | | 09/15/2025 | | | 3,431,000 | |
| | 3,005,000 | | | Equifax, Inc. | | | 4.80% | | | 09/15/2029 | | | 3,040,304 | |
| | 3,515,000 | | | Equinix, Inc. | | | 1.25% | | | 07/15/2025 | | | 3,418,131 | |
| | 1,163,000 | | | Essential Utilities, Inc. | | | 4.80% | | | 08/15/2027 | | | 1,178,830 | |
| | 1,705,000 | | | Exelon Corp. | | | 5.15% | | | 03/15/2029 | | | 1,767,284 | |
| | 3,398,000 | | | Expedia Group, Inc. | | | 6.25%(a) | | | 05/01/2025 | | | 3,407,083 | |
| | 984,000 | | | FirstEnergy Transmission LLC | | | 4.55%(a) | | | 01/15/2030 | | | 993,024 | |
| | 4,174,000 | | | Fiserv, Inc. | | | 4.75% | | | 03/15/2030 | | | 4,256,884 | |
| | 3,273,000 | | | Ford Motor Credit Co. LLC | | | 5.30% | | | 09/06/2029 | | | 3,259,309 | |
| | 1,662,000 | | | Foundry JV Holdco LLC | | | 5.90%(a) | | | 01/25/2030 | | | 1,721,371 | |
| | 3,293,000 | | | GE HealthCare Technologies, Inc. | | | 4.80% | | | 08/14/2029 | | | 3,356,066 | |
| | 1,740,000 | | | General Mills, Inc. | | | 4.00% | | | 04/17/2025 | | | 1,732,389 | |
| | 1,375,000 | | | General Mills, Inc. | | | 5.24% | | | 11/18/2025 | | | 1,375,425 | |
| | 3,315,000 | | | General Motors Financial Co., Inc. | | | 4.00% | | | 01/15/2025 | | | 3,303,342 | |
| | 3,420,000 | | | General Motors Financial Co., Inc. | | | 5.25% | | | 03/01/2026 | | | 3,443,972 | |
| | 2,767,000 | | | Genuine Parts Co. | | | 4.95% | | | 08/15/2029 | | | 2,815,671 | |
| | 1,680,000 | | | Georgia Power Co. | | | 5.00% | | | 02/23/2027 | | | 1,717,312 | |
| | 2,183,000 | | | Goldman Sachs Bank USA/New York NY
(SOFR + 0.77%) | | | 5.65% | | | 03/18/2027 | | | 2,183,844 | |
| | 3,345,000 | | | HCA, Inc. | | | 5.38% | | | 02/01/2025 | | | 3,346,416 | |
| | 3,296,000 | | | Hewlett Packard Enterprise Co. | | | 4.55% | | | 10/15/2029 | | | 3,288,290 | |
| | 2,495,000 | | | Hyatt Hotels Corp. | | | 5.75% | | | 01/30/2027 | | | 2,556,779 | |
| | 3,314,000 | | | Hyundai Capital America | | | 4.55%(a) | | | 09/26/2029 | | | 3,308,189 | |
| | 1,665,000 | | | Icon Investments Six DAC | | | 5.81% | | | 05/08/2027 | | | 1,718,373 | |
| | 1,888,000 | | | Illumina, Inc. | | | 4.65% | | | 09/09/2026 | | | 1,900,893 | |
| | 3,365,000 | | | JPMorgan Chase & Co. | | | 3.90% | | | 07/15/2025 | | | 3,352,958 | |
| | 2,955,000 | | | JPMorgan Chase & Co.
(SOFR + 0.92%) | | | 6.13% | | | 04/22/2028 | | | 2,961,268 | |
| | 1,730,000 | | | Kinder Morgan, Inc. | | | 4.30% | | | 06/01/2025 | | | 1,722,495 | |
| | 1,735,000 | | | Kinder Morgan, Inc. | | | 5.00% | | | 02/01/2029 | | | 1,772,821 | |
| | 3,257,000 | | | Kroger Co. | | | 4.60% | | | 08/15/2027 | | | 3,285,602 | |
| | 3,280,000 | | | Laboratory Corp. of America Holdings | | | 4.35% | | | 04/01/2030 | | | 3,252,600 | |
| | 1,035,000 | | | Lowe’s Cos., Inc. | | | 4.40% | | | 09/08/2025 | | | 1,034,831 | |
| | 3,008,000 | | | Marriott International, Inc./MD | | | 4.80% | | | 03/15/2030 | | | 3,051,917 | |
| | 1,735,000 | | | McDonald’s Corp. | | | 3.38% | | | 05/26/2025 | | | 1,721,824 | |
| | 1,712,000 | | | McDonald’s Corp. | | | 1.45% | | | 09/01/2025 | | | 1,667,239 | |
| | 460,000 | | | Microchip Technology, Inc. | | | 4.25% | | | 09/01/2025 | | | 457,995 | |
| | 665,000 | | | Microchip Technology, Inc. | | | 5.05% | | | 03/15/2029 | | | 683,140 | |
| | 2,923,000 | | | Morgan Stanley | | | 3.88% | | | 01/27/2026 | | | 2,911,075 | |
| | 3,350,000 | | | Motorola Solutions, Inc. | | | 5.00% | | | 04/15/2029 | | | 3,438,056 | |
| | 2,330,000 | | | National Securities Clearing Corp. | | | 4.90%(a) | | | 06/26/2029 | | | 2,406,039 | |
| | 1,301,000 | | | New York Life Global Funding | | | 3.60%(a) | | | 08/05/2025 | | | 1,292,079 | |
| | 3,228,000 | | | NGPL PipeCo LLC | | | 4.88%(a) | | | 08/15/2027 | | | 3,241,917 | |
| | 1,690,000 | | | NiSource, Inc. | | | 5.25% | | | 03/30/2028 | | | 1,741,392 | |
| | 1,203,000 | | | NiSource, Inc. | | | 5.20% | | | 07/01/2029 | | | 1,246,221 | |
| | 1,385,000 | | | Occidental Petroleum Corp. | | | 5.20% | | | 08/01/2029 | | | 1,409,024 | |
| | 2,751,000 | | | ONEOK, Inc. | | | 4.40% | | | 10/15/2029 | | | 2,742,508 | |
| | 3,027,000 | | | Oracle Corp. | | | 5.80% | | | 11/10/2025 | | | 3,075,299 | |
| | 1,605,000 | | | O’Reilly Automotive, Inc. | | | 5.75% | | | 11/20/2026 | | | 1,655,138 | |
| | 2,800,000 | | | Pacific Gas and Electric Co. | | | 4.95% | | | 06/08/2025 | | | 2,798,351 | |
| | 1,640,000 | | | Pacific Gas and Electric Co.
(SOFR + 0.95%) | | | 5.90% | | | 09/04/2025 | | | 1,640,733 | |
| | 710,000 | | | Pacific Gas and Electric Co. | | | 2.10% | | | 08/01/2027 | | | 665,527 | |
| | 3,020,000 | | | Penske Truck Leasing Co. Lp/ PTL Finance Corp. | | | 4.00%(a) | | | 07/15/2025 | | | 3,002,244 | |
| | 3,462,000 | | | Penske Truck Leasing Co. Lp/ PTL Finance Corp. | | | 4.40%(a) | | | 07/01/2027 | | | 3,464,409 | |
| | 3,032,000 | | | Philip Morris International, Inc. | | | 4.88% | | | 02/13/2026 | | | 3,062,845 | |
| | 1,934,000 | | | PNC Financial Services
Group, Inc.
(SOFR + 1.32%) | | | 5.81% | | | 06/12/2026 | | | 1,947,015 | |
| | 2,196,000 | | | Public Service Enterprise
Group, Inc. | | | 5.85% | | | 11/15/2027 | | | 2,300,905 | |
| | 2,335,000 | | | Public Storage Operating Co.
(SOFR + 0.70%) | | | 5.95% | | | 04/16/2027 | | | 2,345,809 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 95
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 3,283,000 | | | Quanta Services, Inc. | | | 4.75% | | | 08/09/2027 | | | 3,318,694 | |
| | 3,770,000 | | | Royalty Pharma PLC | | | 1.75% | | | 09/02/2027 | | | 3,513,723 | |
| | 3,359,000 | | | Ryder System, Inc. | | | 5.25% | | | 06/01/2028 | | | 3,468,400 | |
| | 517,000 | | | Sabine Pass Liquefaction LLC | | | 5.63% | | | 03/01/2025 | | | 517,505 | |
| | 1,368,000 | | | Schlumberger Holdings Corp. | | | 5.00%(a) | | | 11/15/2029 | | | 1,412,780 | |
| | 1,302,000 | | | Sherwin-Williams Co. | | | 4.55% | | | 03/01/2028 | | | 1,319,729 | |
| | 3,006,000 | | | Solventum Corp. | | | 5.45%(a) | | | 02/25/2027 | | | 3,068,477 | |
| | 1,490,000 | | | Sonoco Products Co. | | | 4.45% | | | 09/01/2026 | | | 1,491,050 | |
| | 2,385,000 | | | Southern California Edison Co. | | | 4.90% | | | 06/01/2026 | | | 2,408,937 | |
| | 1,685,000 | | | Southern Co. | | | 5.15% | | | 10/06/2025 | | | 1,697,774 | |
| | 3,042,000 | | | Take-Two Interactive Software, Inc. | | | 4.95% | | | 03/28/2028 | | | 3,104,481 | |
| | 1,941,000 | | | US Bancorp
(SOFR + 1.25%) | | | 5.10% | | | 07/23/2030 | | | 1,998,466 | |
| | 1,682,000 | | | Veralto Corp. | | | 5.50% | | | 09/18/2026 | | | 1,720,675 | |
| | 3,496,000 | | | VICI Properties LP / VICI Note Co., Inc. | | | 4.25%(a) | | | 12/01/2026 | | | 3,464,585 | |
| | 5,716,000 | | | Wells Fargo & Co.
(3 mo. Term SOFR + 1.09%) | | | 2.41% | | | 10/30/2025 | | | 5,700,528 | |
| | 5,013,000 | | | Wells Fargo & Co.
(SOFR + 1.07%) | | | 6.28% | | | 04/22/2028 | | | 5,036,978 | |
| | 3,390,000 | | | Welltower OP LLC | | | 4.00% | | | 06/01/2025 | | | 3,370,457 | |
| | 3,008,000 | | | Williams Cos., Inc. | | | 4.80% | | | 11/15/2029 | | | 3,053,049 | |
| | | | | Total US Corporate Bonds
(Cost $253,574,712) | | | | | | 256,190,210 | |
| | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 2.6% | |
| | | | | Federal Home Loan Mortgage Corp. | |
| | 4,656,151 | | | Pool SD5219 | | | 6.00% | | | 04/01/2054 | | | 4,811,604 | |
| | 2,128,571 | | | Series 3072-FB (30 day avg SOFR US + 0.66%, 0.55% Floor, 7.00% Cap) | | | 6.01% | | | 11/15/2035 | | | 2,127,129 | |
| | 219,180 | | | Series 3417-SM (-1 x 30 day avg SOFR US + 6.17%, 0.00% Floor, 6.28% Cap) | | | 0.82%(h)(j) | | | 02/15/2038 | | | 23,670 | |
| | 4,795,336 | | | Series 4248-FT (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.96% | | | 09/15/2043 | | | 4,769,498 | |
| | 3,669,041 | | | Series 4631-FA (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap) | | | 5.96% | | | 11/15/2046 | | | 3,644,871 | |
| | 1,744,028 | | | Series 4917-FE (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.84% | | | 10/25/2049 | | | 1,726,957 | |
| | 5,971,953 | | | Series 4990-FN (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap) | | | 5.74% | | | 05/25/2050 | | | 5,829,600 | |
| | | | | Federal National Mortgage Association | |
| | 749,756 | | | Pool AL2987 (RFUCCT1Y + 1.62%, 1.62% Floor, 7.31% Cap) | | | 6.36% | | | 11/01/2042 | | | 779,017 | |
| | 546,888 | | | Pool BM3520 (RFUCCT1Y + 1.56%, 1.56% Floor, 6.99% Cap) | | | 6.74% | | | 05/01/2045 | | | 569,543 | |
| | 2,000,000 | | | Pool BS7662 | | | 4.90% | | | 03/01/2028 | | | 2,035,274 | |
| | 4,598,571 | | | Pool FS6084 | | | 6.00% | | | 10/01/2053 | | | 4,750,094 | |
| | 137,932 | | | Pool MA1200 | | | 3.00% | | | 10/01/2032 | | | 132,671 | |
| | 4,228,787 | | | Pool MA5086 | | | 5.00% | | | 07/01/2043 | | | 4,295,576 | |
| | 4,089,031 | | | Pool MA5112 | | | 5.00% | | | 08/01/2043 | | | 4,145,943 | |
| | 1,872,297 | | | Series 2014-10-KF (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.84% | | | 03/25/2044 | | | 1,857,925 | |
| | 1,614,917 | | | Series 2016-8-FA (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.84% | | | 03/25/2046 | | | 1,600,648 | |
| | 5,733,757 | | | Series 2017-82-FG (30 day avg SOFR US + 0.36%, 0.25% Floor, 6.50% Cap) | | | 5.64% | | | 11/25/2032 | | | 5,687,707 | |
| | 5,843,926 | | | Series 2019-25-SB (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap) | | | 0.66%(h)(j) | | | 06/25/2049 | | | 644,694 | |
| | 4,622,902 | | | Series 2019-43-FD (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.79% | | | 08/25/2049 | | | 4,572,015 | |
| | 2,677,331 | | | Series 2019-49-FB (30 day avg SOFR US + 0.59%, 0.48% Floor, 6.50% Cap) | | | 5.87% | | | 09/25/2049 | | | 2,639,120 | |
| | 3,721,164 | | | Series 2020-34-F (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.84% | | | 06/25/2050 | | | 3,653,229 | |
| | 20,446,166 | | | Series 2020-M49-1A1 | | | 1.30%(b) | | | 11/25/2030 | | | 18,883,267 | |
| | 2,908,793 | | | Series 2023-M4-A1 | | | 3.89%(b) | | | 09/25/2032 | | | 2,902,652 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | FREMF Mortgage Trust | | | | | | | | | | |
| | 2,433,468 | | | Series 2016-KF18-B (30 day avg SOFR US + 5.61%, 5.50% Floor) | | | 10.96%(a) | | | 05/25/2026 | | | 2,416,107 | |
| | 124,762,277 | | | Series 2017-K67-X2B | | | 0.10%(a)(h) | | | 09/25/2049 | | | 311,469 | |
| | 1,401,628 | | | Series 2017-KF27-B (30 day avg SOFR US + 4.46%, 4.35% Floor) | | | 9.81%(a) | | | 12/25/2026 | | | 1,398,157 | |
| | 2,481,119 | | | Series 2017-KF30-B (30 day avg SOFR US + 3.36%, 3.25% Floor) | | | 8.71%(a) | | | 03/25/2027 | | | 2,446,895 | |
| | 845,940 | | | Series 2018-KF44-B (30 day avg SOFR US + 2.26%, 2.15% Floor) | | | 7.61%(a) | | | 02/25/2025 | | | 840,546 | |
| | 878,676 | | | Series 2019-KF69-B (30 day avg SOFR US + 2.41%, 2.30% Floor) | | | 7.76%(a) | | | 08/25/2029 | | | 826,780 | |
| | | | | Government National Mortgage Association | |
| | 4,661,446 | | | Series 2015-161-GF (1 mo. Term SOFR + 0.41%, 0.30% Floor, 6.50% Cap) | | | 5.38% | | | 11/20/2045 | | | 4,593,476 | |
| | 1,863,676 | | | Series 2016-121-JF (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.50% Cap) | | | 5.48% | | | 09/20/2046 | | | 1,843,913 | |
| | 2,716,419 | | | Series 2022-183-B | | | 5.00% | | | 04/20/2047 | | | 2,775,777 | |
| | 2,703,403 | | | Series 2024-25-AF (30 day avg SOFR US + 0.51%, 0.51% Floor, 6.50% Cap) | | | 5.86% | | | 02/20/2049 | | | 2,674,540 | |
| | | | | Total US Government and Agency
Mortgage Backed Obligations
(Cost $103,824,507) | | | | | | 102,210,364 | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 27.7% | |
| | 151,450,000 | | | United States Treasury Note/Bond | | | 0.38% | | | 12/31/2025 | | | 145,125,780 | |
| | 130,500,000 | | | United States Treasury Note/Bond | | | 0.38% | | | 01/31/2026 | | | 124,734,550 | |
| | 136,700,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 03/31/2026 | | | 130,756,754 | |
| | 51,800,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 05/31/2026 | | | 49,345,570 | |
| | 80,400,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 07/31/2026 | | | 76,094,203 | |
| | 93,100,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 09/30/2026 | | | 88,197,703 | |
| | 61,350,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 03/31/2027 | | | 57,045,914 | |
| | 49,700,000 | | | United States Treasury Note/Bond | | | 0.50% | | | 06/30/2027 | | | 45,731,766 | |
| | 250,000,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 01/31/2028 | | | 228,002,930 | |
| | 190,000,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 11/15/2030 | | | 161,741,211 | |
| | | | | Total US Government and
Agency Obligations
(Cost $1,093,741,821) | | | | | | 1,106,776,381 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | COMMON STOCKS - 0.0%(k) | |
| | 9,129 | | | Flame Aggregator - Series R(e)(l) | | | | | | | | | 43,454 | |
| | 907 | | | Flame Aggregator - Series U(e)(l) | | | | | | | | | 4,317 | |
| | | | | Total Common Stocks
(Cost $20,580) | | | | | | 47,771 | |
| | | |
| | SHORT TERM INVESTMENTS - 3.2% | |
| | 42,641,132 | | | First American Government Obligations Fund - U | | | 4.84%(m) | | | | | | 42,641,132 | |
| | 42,641,132 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(m) | | | | | | 42,641,132 | |
| | 42,641,132 | | | MSILF Government Portfolio - Institutional | | | 4.83%(m) | | | | | | 42,641,132 | |
| | | | | Total Short Term Investments
(Cost $127,923,396) | | | 127,923,396 | |
| | | | | Total Investments - 92.1%
(Cost $3,915,594,833) | | | 3,685,249,228 | |
| | | | | Other Assets in Excess of Liabilities - 7.9% | | | | | | | | | 317,528,399 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $4,002,777,627 | |
| | | | | | | | | | | | | | | |
96
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | US Government and Agency Obligations | | | 27.7% | |
| | Collateralized Loan Obligations | | | 12.9% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 11.7% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 10.4% | |
| | Asset Backed Obligations | | | 7.3% | |
| | US Corporate Bonds | | | 6.4% | |
| | Foreign Corporate Bonds | | | 5.1% | |
| | Bank Loans | | | 4.0% | |
| | Short Term Investments | | | 3.2% | |
| | US Government and Agency Mortgage Backed Obligations | | | 2.6% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.8% | |
| | Common Stocks | | | 0.0%(k) | |
| | Other Assets and Liabilities | | | 7.9% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
| | US Government and Agency Obligations | | | 27.7% | |
| | Collateralized Loan Obligations | | | 12.9% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 11.7% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 10.4% | |
| | Asset Backed Obligations | | | 7.3% | |
| | Short Term Investments | | | 3.2% | |
| | Banking | | | 3.1% | |
| | US Government and Agency Mortgage Backed Obligations | | | 2.6% | |
| | Utilities | | | 1.5% | |
| | Energy | | | 1.2% | |
| | Hotels/Motels/Inns and Casinos | | | 0.9% | |
| | Technology | | | 0.9% | |
| | Healthcare | | | 0.7% | |
| | Transportation | | | 0.7% | |
| | Electronics/Electric | | | 0.5% | |
| | Finance | | | 0.5% | |
| | Mining | | | 0.5% | |
| | Media | | | 0.5% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.4% | |
| | Automotive | | | 0.4% | |
| | Food Products | | | 0.4% | |
| | Chemicals/Plastics | | | 0.4% | |
| | Consumer Products | | | 0.4% | |
| | Telecommunications | | | 0.3% | |
| | Pharmaceuticals | | | 0.3% | |
| | Retailers (other than Food/Drug) | | | 0.3% | |
| | Industrial Equipment | | | 0.2% | |
| | Insurance | | | 0.2% | |
| | Containers and Glass Products | | | 0.2% | |
| | Commercial Services | | | 0.2% | |
| | Chemical Products | | | 0.2% | |
| | Business Equipment and Services | | | 0.2% | |
| | Food Service | | | 0.2% | |
| | IT Services | | | 0.2% | |
| | Building and Development (including Steel/Metals) | | | 0.2% | |
| | Aerospace & Defense | | | 0.1% | |
| | Real Estate | | | 0.1% | |
| | Beverage and Tobacco | | | 0.1% | |
| | Construction | | | 0.1% | |
| | Food/Drug Retailers | | | 0.1% | |
| | Financial Intermediaries | | | 0.1% | |
| | Diversified Manufacturing | | | 0.0%(k) | |
| | Pulp & Paper | | | 0.0%(k) | |
| | Conglomerates | | | 0.0%(k) | |
| | Financials | | | 0.0%(k) | |
| | Other Assets and Liabilities | | | 7.9% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.
|
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
|
(c)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
|
(d)
| Security is in default or has failed to make a scheduled payment. Income is not being accrued.
|
(e)
| Value determined using significant unobservable inputs.
|
(f)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
|
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 97
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
(g)
| Perpetual maturity. The date disclosed is the next call date of the security.
|
(h)
| Interest only security
|
(i)
| Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
|
(j)
| Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
|
(k)
| Represents less than 0.05% of net assets.
|
(l)
| Non-income producing security.
|
(m)
| Seven-day yield as of period end. |
CMT
| Constant Maturity Treasury Rate
|
LIBOR
| London Interbank Offered Rate
|
SOFR
| Secured Overnight Financing Rate |
98
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) |
Swap Agreements
Excess Return Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 10/17/2024 | | | $85,000,000 | | | $16,570,321 | | | $ — | | | $16,570,321 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 12/05/2024 | | | 80,000,000 | | | 15,474,822 | | | — | | | 15,474,822 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 10/09/2024 | | | 75,000,000 | | | 14,641,546 | | | — | | | 14,641,546 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 12/10/2024 | | | 100,000,000 | | | 13,748,133 | | | — | | | 13,748,133 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 11/19/2024 | | | 75,000,000 | | | 13,720,667 | | | — | | | 13,720,667 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 11/14/2024 | | | 74,000,000 | | | 13,269,865 | | | — | | | 13,269,865 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 10/22/2024 | | | 72,000,000 | | | 13,195,669 | | | — | | | 13,195,669 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 11/07/2024 | | | 60,000,000 | | | 12,625,588 | | | — | | | 12,625,588 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 10/30/2024 | | | 65,000,000 | | | 12,616,222 | | | — | | | 12,616,222 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 10/02/2024 | | | 80,000,000 | | | 11,994,442 | | | — | | | 11,994,442 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 12/18/2024 | | | 83,000,000 | | | 10,965,369 | | | — | | | 10,965,369 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 11/26/2024 | | | 65,000,000 | | | 9,751,703 | | | — | | | 9,751,703 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 01/08/2025 | | | 100,000,000 | | | 8,776,363 | | | — | | | 8,776,363 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 02/18/2025 | | | 85,000,000 | | | 8,288,635 | | | — | | | 8,288,635 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 01/09/2025 | | | 97,000,000 | | | 7,406,511 | | | — | | | 7,406,511 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 02/12/2025 | | | 86,000,000 | | | 7,366,410 | | | — | | | 7,366,410 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Morgan Stanley | | | Long | | | 0.36% | | | Termination | | | 03/04/2025 | | | 78,000,000 | | | 7,033,359 | | | — | | | 7,033,359 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 02/25/2025 | | | 80,000,000 | | | 6,994,110 | | | — | | | 6,994,110 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 04/22/2025 | | | 66,000,000 | | | 6,497,393 | | | — | | | 6,497,393 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Morgan Stanley | | | Long | | | 0.36% | | | Termination | | | 01/07/2025 | | | 54,000,000 | | | 6,267,955 | | | — | | | 6,267,955 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 05/07/2025 | | | 60,000,000 | | | 5,832,379 | | | — | | | 5,832,379 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 03/11/2025 | | | 75,000,000 | | | 5,519,113 | | | — | | | 5,519,113 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 05/15/2025 | | | 86,000,000 | | | 5,466,202 | | | — | | | 5,466,202 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 08/27/2025 | | | 100,000,000 | | | 5,109,456 | | | — | | | 5,109,456 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 06/24/2025 | | | 82,000,000 | | | 5,029,247 | | | — | | | 5,029,247 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 04/29/2025 | | | 60,000,000 | | | 5,019,454 | | | — | | | 5,019,454 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 06/05/2025 | | | 65,000,000 | | | 4,802,708 | | | — | | | 4,802,708 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 05/27/2025 | | | 84,000,000 | | | 4,755,097 | | | — | | | 4,755,097 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 04/01/2025 | | | 93,000,000 | | | 4,666,588 | | | — | | | 4,666,588 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 04/08/2025 | | | 91,000,000 | | | 4,629,017 | | | — | | | 4,629,017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 99
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 03/20/2025 | | | $65,000,000 | | | $4,568,948 | | | $ — | | | $4,568,948 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 01/29/2025 | | | 64,000,000 | | | 4,469,014 | | | — | | | 4,469,014 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Morgan Stanley | | | Long | | | 0.36% | | | Termination | | | 02/04/2025 | | | 47,000,000 | | | 4,409,234 | | | — | | | 4,409,234 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 08/19/2025 | | | 83,000,000 | | | 4,372,424 | | | — | | | 4,372,424 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 06/17/2025 | | | 60,000,000 | | | 4,113,514 | | | — | | | 4,113,514 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 07/08/2025 | | | 80,000,000 | | | 4,049,223 | | | — | | | 4,049,223 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 07/30/2025 | | | 72,000,000 | | | 4,036,200 | | | — | | | 4,036,200 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Morgan Stanley | | | Long | | | 0.36% | | | Termination | | | 01/14/2025 | | | 50,000,000 | | | 3,502,842 | | | — | | | 3,502,842 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 06/11/2025 | | | 55,000,000 | | | 3,354,748 | | | — | | | 3,354,748 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 08/05/2025 | | | 83,000,000 | | | 3,274,486 | | | — | | | 3,274,486 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Bank of America Securities, Inc. | | | Long | | | 0.38% | | | Termination | | | 03/25/2025 | | | 62,000,000 | | | 3,035,515 | | | — | | | 3,035,515 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 08/14/2025 | | | 43,000,000 | | | 2,809,059 | | | — | | | 2,809,059 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 07/17/2025 | | | 55,000,000 | | | 2,037,397 | | | — | | | 2,037,397 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 09/04/2025 | | | 71,000,000 | | | 2,031,617 | | | — | | | 2,031,617 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 07/22/2025 | | | 98,000,000 | | | 1,985,732 | | | — | | | 1,985,732 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 09/25/2025 | | | 100,000,000 | | | 1,809,650 | | | — | | | 1,809,650 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.39% | | | Termination | | | 09/10/2025 | | | 52,000,000 | | | 1,033,829 | | | — | | | 1,033,829 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 09/18/2025 | | | 36,000,000 | | | 689,921 | | | — | | | 689,921 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.40% | | | Termination | | | 10/09/2025 | | | 85,000,000 | | | 546,492 | | | — | | | 546,492 |
Shiller Barclays CAPE® US Sector II ER USD Index(1) | | | Canadian Imperial Bank Of Commerce | | | Long | | | 0.40% | | | Termination | | | 10/02/2025 | | | 85,000,000 | | | 406,949 | | | — | | | 406,949 |
| | | | | | | | | | | | | | | | | | | | | $324,571,138 | | | $— | | | $324,571,138 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1)
| Shiller Barclays CAPE® US Sector II ER USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of September 30, 2024, is available on the Barclays Capital, Inc. website at https://indices.cib.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E. |
100
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Flexible Income Fund | (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS - 4.7%
| |
| | | | | Amur Equipment Finance Receivables LLC | |
| | 650,000 | | | Series 2021-1A-E | | | 4.13%(a) | | | 03/20/2028 | | | 647,427 | |
| | | | | Apollo Aviation Securitization Equity Trust | |
| | 1,250,259 | | | Series 2022-1A-A | | | 6.00%(a) | | | 05/16/2047 | | | 1,261,290 | |
| | 1,991,597 | | | Series 2024-1A-B | | | 6.90%(a) | | | 05/16/2049 | | | 2,040,445 | |
| | | | | Arivo Acceptance Auto Loan Receivables Trust | |
| | 513,000 | | | Series 2021-1A-C | | | 3.77%(a) | | | 03/15/2027 | | | 507,727 | |
| | | | | Business Jet Securities LLC | |
| | 2,000,000 | | | Series 2024-2A-C | | | 7.97%(a) | | | 09/15/2039 | | | 2,027,660 | |
| | | | | CAI International, Inc. | |
| | 660,000 | | | Series 2020-1A-B | | | 3.50%(a) | | | 09/25/2045 | | | 618,167 | |
| | | | | Castlelake Aircraft Securitization Trust | |
| | 2,468,915 | | | Series 2018-1-B | | | 5.30%(a) | | | 06/15/2043 | | | 1,970,690 | |
| | | | | Compass Datacenters LLC | |
| | 1,500,000 | | | Series 2024-1A-B | | | 7.00%(a) | | | 02/25/2049 | | | 1,548,620 | |
| | 500,000 | | | Series 2024-2A-B2 | | | 6.00%(a) | | | 08/25/2049 | | | 499,857 | |
| | | | | Diamond Resorts Owner Trust | |
| | 523,984 | | | Series 2021-1A-D | | | 3.83%(a) | | | 11/21/2033 | | | 505,992 | |
| | | | | ExteNet LLC | |
| | 1,500,000 | | | Series 2024-1A-C | | | 9.05%(a) | | | 07/25/2054 | | | 1,526,064 | |
| | | | | Falko Regional Aircraft Ltd. | |
| | 3,299,420 | | | Series 2021-1A-A | | | 5.75% | | | 04/15/2041 | | | 3,160,013 | |
| | | | | Jersey Mike’s Funding | |
| | 1,855,212 | | | Series 2019-1A-A2 | | | 4.43%(a) | | | 02/15/2050 | | | 1,825,947 | |
| | | | | JOL Air Ltd. | |
| | 907,739 | | | Series 2019-1-B | | | 4.95%(a) | | | 04/15/2044 | | | 865,113 | |
| | | | | Lendingpoint Asset Securitization Trust | |
| | 1,750,000 | | | Series 2022-C-B | | | 7.46%(a) | | | 02/15/2030 | | | 1,751,194 | |
| | | | | Loanpal Solar Loan Ltd. | |
| | 988,309 | | | Series 2021-1GS-C | | | 3.50%(a) | | | 01/20/2048 | | | 660,787 | |
| | | | | Lunar Structured Aircraft Portfolio Notes | |
| | 2,932,210 | | | Series 2021-1-C | | | 5.68%(a) | | | 10/15/2046 | | | 2,751,767 | |
| | | | | MAPS Ltd. | |
| | 119,198 | | | Series 2021-1A-C | | | 5.44%(a) | | | 06/15/2046 | | | 113,409 | |
| | | | | Marlette Funding Trust | |
| | 2,500,000 | | | Series 2022-3A-C | | | 6.89%(a) | | | 11/15/2032 | | | 2,542,924 | |
| | | | | Mosaic Solar Loans LLC | |
| | 356,303 | | | Series 2018-1A-C | | | 0.00%(a)(b) | | | 06/22/2043 | | | 339,917 | |
| | | | | Pagaya AI Debt Selection Trust | |
| | 3,695,198 | | | Series 2021-3-C | | | 3.27%(a) | | | 05/15/2029 | | | 3,534,315 | |
| | 1,350,000 | | | Series 2021-5-CERT | | | 0.00%(a)(c)(d) | | | 08/15/2029 | | | 64,163 | |
| | 1,047,722 | | | Series 2024-1-A | | | 6.66%(a) | | | 07/15/2031 | | | 1,066,034 | |
| | | | | Retained Vantage Data Centers Issuer LLC | |
| | 2,000,000 | | | Series 2023-1A-B | | | 5.75%(a) | | | 09/15/2048 | | | 1,954,058 | |
| | | | | Subway Funding LLC | |
| | 1,000,000 | | | Series 2024-3A-A23 | | | 5.91%(a) | | | 07/30/2054 | | | 1,004,918 | |
| | | | | Switch ABS Issuer LLC | |
| | 1,500,000 | | | Series 2024-1A-B | | | 6.50%(a) | | | 03/25/2054 | | | 1,520,121 | |
| | 1,250,000 | | | Series 2024-2A-C | | | 10.03%(a) | | | 06/25/2054 | | | 1,309,002 | |
| | | | | Upstart Pass-Through Trust Series | |
| | 877,824 | | | Series 2021-ST3-A | | | 2.00%(a) | | | 05/20/2027 | | | 862,722 | |
| | | | | Upstart Securitization Trust | |
| | 1,291,343 | | | Series 2021-3-C | | | 3.28%(a) | | | 07/20/2031 | | | 1,268,182 | |
| | 1,500,000 | | | Series 2021-4-C | | | 3.19%(a) | | | 09/20/2031 | | | 1,434,089 | |
| | | | | Vivant Solar Financing V Parent LLC | |
| | 4,321,464 | | | Series 2018-1A-A | | | 4.73%(a) | | | 04/30/2048 | | | 4,135,090 | |
| | | | | WAVE USA | |
| | 10,938,246 | | | Series 2019-1-C | | | 6.41%(a) | | | 09/15/2044 | | | 3,874,075 | |
| | | | | Willis Lease Finance Corp. | |
| | 955,778 | | | Series 2018-A-A | | | 4.75%(a)(e) | | | 09/15/2043 | | | 945,031 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Zephyrus Capital Aviation Partners | |
| | 780,026 | | | Series 2018-1-A | | | 4.61%(a) | | | 10/15/2038 | | | 740,902 | |
| | | | | Total Asset Backed Obligations
(Cost $59,099,623) | | | | | | | | | 50,877,712 | |
| | | |
| | BANK LOANS - 9.4%
| |
| | | | | 1011778 BC ULC | |
| | 199,500 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 09/23/2030 | | | 197,826 | |
| | | | | AAdvantage Loyalty IP Ltd. | |
| | 168,750 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor) | | | 10.29% | | | 04/20/2028 | | | 173,742 | |
| | | | | ABG Intermediate Holdings 2 LLC | |
| | 300,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.75%) | | | 7.85% | | | 12/21/2028 | | | 300,657 | |
| | | | | Access CIG LLC | |
| | 319,622 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.50% Floor) | | | 10.25% | | | 08/18/2028 | | | 321,391 | |
| | | | | Acrisure LLC | |
| | 2,168,228 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 11/06/2030 | | | 2,151,294 | |
| | | | | Acuris Finance US, Inc. | |
| | 257,756 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.48% | | | 02/16/2028 | | | 257,111 | |
| | | | | ADMI Corp. | |
| | 182,646 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.71% | | | 12/23/2027 | | | 179,156 | |
| | 272,938 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.75%, 0.00% Floor) | | | 10.60% | | | 12/23/2027 | | | 273,704 | |
| | | | | AI Aqua Merger Sub, Inc. | |
| | 872,608 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.70% | | | 07/31/2028 | | | 872,564 | |
| | | | | Air Canada | |
| | 174,125 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.25% | | | 03/21/2031 | | | 174,778 | |
| | | | | AlixPartners LLP | |
| | 380,764 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 02/04/2028 | | | 381,621 | |
| | | | | Alliant Holdings Intermediate LLC | |
| | 411,888 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%) | | | 7.96% | | | 09/19/2031 | | | 410,046 | |
| | | | | Allied Universal Holdco LLC | |
| | 2,152,841 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.70% | | | 05/15/2028 | | | 2,134,273 | |
| | | | | Allspring Buyer LLC | |
| | 613,661 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.14% | | | 11/01/2028 | | | 612,511 | |
| | | | | Alpha Generation LLC | |
| | 410,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.75%) | | | 7.85% | | | 09/30/2031 | | | 410,586 | |
| | | | | Alterra Mountain Co. | |
| | 336,121 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 08/17/2028 | | | 337,310 | |
| | 158,814 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/31/2030 | | | 159,542 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 101
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Altice France SA | |
| | 391,592 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.50%, 0.00% Floor) | | | 10.80% | | | 08/31/2028 | | | 294,673 | |
| | | | | Amentum Holdings, Inc. | |
| | 470,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.25%) | | | 7.11% | | | 09/29/2031 | | | 469,119 | |
| | | | | Apple Bidco LLC | |
| | 121,563 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.71% | | | 09/25/2028 | | | 121,525 | |
| | | | | Applied Systems, Inc. | |
| | 194,513 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.60% | | | 02/24/2031 | | | 194,890 | |
| | 125,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor) | | | 9.85% | | | 02/23/2032 | | | 129,007 | |
| | | | | Apro LLC | |
| | 355,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.87% | | | 07/09/2031 | | | 356,665 | |
| | | | | APX Group, Inc. | |
| | 563,004 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor) | | | 8.03% | | | 07/10/2028 | | | 563,752 | |
| | 183 | | | Senior Secured First Lien Term Loan (Prime Rate + 1.75%, 0.50% Floor) | | | 9.75% | | | 07/10/2028 | | | 184 | |
| | | | | Ardonagh Group Finco Pty Ltd. | |
| | 12,444 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%) | | | 8.35% | | | 02/18/2031 | | | 12,489 | |
| | 59,345 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%) | | | 8.53% | | | 02/18/2031 | | | 59,558 | |
| | 141,637 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%) | | | 8.53% | | | 02/18/2031 | | | 142,146 | |
| | | | | Arsenal AIC Parent LLC | |
| | 54,863 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 08/19/2030 | | | 54,890 | |
| | | | | Artera Services LLC | |
| | 205,134 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.10% | | | 02/10/2031 | | | 200,485 | |
| | | | | Ascend Learning LLC | |
| | 492,816 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 12/11/2028 | | | 491,138 | |
| | 508,802 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 12/11/2028 | | | 507,069 | |
| | 143,216 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.75%, 0.50% Floor) | | | 10.70% | | | 12/10/2029 | | | 139,009 | |
| | | | | Asplundh Tree Expert LLC | |
| | 503,233 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 05/23/2031 | | | 504,282 | |
| | | | | AssuredPartners, Inc. | |
| | 1,452,850 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 02/14/2031 | | | 1,453,104 | |
| | | | | Asurion LLC | |
| | 261,043 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 07/30/2027 | | | 257,817 | |
| | 50,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.21% | | | 02/03/2028 | | | 47,080 | |
| | 272,773 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.20% | | | 08/21/2028 | | | 269,168 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 165,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.21% | | | 01/22/2029 | | | 153,102 | |
| | 143,162 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.10% | | | 09/19/2030 | | | 140,858 | |
| | | | | AthenaHealth Group, Inc. | |
| | 2,130,070 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.50% | | | 02/15/2029 | | | 2,120,314 | |
| | | | | Aveanna Healthcare LLC | |
| | 276,037 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.91% | | | 07/17/2028 | | | 270,274 | |
| | 118,610 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.50% Floor) | | | 12.21% | | | 12/10/2029 | | | 112,272 | |
| | | | | Aventiv Technologies LLC | |
| | 4,664 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.50%, 0.00% Floor) | | | 12.37% | | | 07/31/2025 | | | 4,752 | |
| | | | | Bally’s Corp. | |
| | 346,862 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.79% | | | 10/02/2028 | | | 331,145 | |
| | | | | Bausch + Lomb Corp. | |
| | 1,946,903 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.27% | | | 05/10/2027 | | | 1,942,308 | |
| | 183,150 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.85% | | | 09/29/2028 | | | 183,265 | |
| | | | | BCP Renaissance Parent LLC | |
| | 268,331 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 1.00% Floor) | | | 7.85% | | | 10/31/2028 | | | 268,666 | |
| | | | | BCPE Empire Holdings, Inc. | |
| | 992,764 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.85% | | | 12/26/2028 | | | 994,318 | |
| | | | | BCPE Pequod Buyer, Inc. | |
| | 100,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.42% | | | 09/19/2031 | | | 99,677 | |
| | | | | Boost Newco Borrower LLC | |
| | 430,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.10% | | | 01/31/2031 | | | 430,716 | |
| | | | | Boxer Parent Co., Inc. | |
| | 950,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 9.01% | | | 07/30/2031 | | | 949,245 | |
| | 235,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.75%, 0.00% Floor) | | | 11.01% | | | 07/30/2032 | | | 231,671 | |
| | | | | Brand Industrial Services, Inc. | |
| | 352,179 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.75% | | | 08/01/2030 | | | 343,211 | |
| | | | | Brazos Delaware II LLC | |
| | 44,775 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.25% | | | 02/11/2030 | | | 44,883 | |
| | | | | BroadStreet Partners, Inc. | |
| | 230,743 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 06/16/2031 | | | 230,089 | |
| | 23,619 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 06/16/2031 | | | 23,552 | |
| | | | | Brown Group Holding LLC | |
| | 343,739 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 07/01/2031 | | | 343,476 | |
| | 123,973 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 07/01/2031 | | | 123,878 | |
| | | | | | | | | | | | | | | |
102
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Caesars Entertainment, Inc. | |
| | 94,500 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 02/06/2030 | | | 94,684 | |
| | 363,175 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 02/06/2031 | | | 363,714 | |
| | | | | Camelot US Acquisition LLC | |
| | 84,228 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 84,207 | |
| | 361,338 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 361,247 | |
| | 7,159 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/31/2031 | | | 7,158 | |
| | | | | Carnival Corp. | |
| | 42,747 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.00% | | | 08/09/2027 | | | 42,921 | |
| | 434,679 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.00% | | | 10/18/2028 | | | 436,083 | |
| | | | | Castle US Holding Corp. | |
| | 130,997 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 9.07% | | | 01/29/2027 | | | 87,908 | |
| | | | | Castlelake Aviation One DAC | |
| | 385,674 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.45% | | | 10/22/2026 | | | 386,977 | |
| | | | | Catalent Pharma Solutions, Inc. | |
| | 858,358 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 7.03% | | | 02/22/2028 | | | 858,762 | |
| | | | | Cengage Learning, Inc. | |
| | 213,925 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.25%, 1.00% Floor) | | | 9.54% | | | 03/24/2031 | | | 214,647 | |
| | | | | Central Parent LLC | |
| | 2,163,238 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 07/06/2029 | | | 2,143,411 | |
| | | | | Chariot Buyer LLC | |
| | 306,637 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.20% | | | 11/03/2028 | | | 305,372 | |
| | | | | Charter Next Generation, Inc. | |
| | 208,558 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.10% | | | 12/01/2027 | | | 208,840 | |
| | | | | CHG Healthcare Services, Inc. | |
| | 269,322 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 09/29/2028 | | | 270,050 | |
| | 1,698,975 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 09/29/2028 | | | 1,701,192 | |
| | | | | CHG PPC Parent LLC | |
| | 704,732 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.71% | | | 12/08/2028 | | | 703,855 | |
| | | | | Clarios Global LP | |
| | 513,713 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 05/06/2030 | | | 514,571 | |
| | | | | Cloud Software Group, Inc. | |
| | 1,038 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 03/29/2029 | | | 1,034 | |
| | 412,925 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 03/29/2029 | | | 411,719 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | ClubCorp Holdings, Inc. | |
| | 311,548 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 9.87% | | | 09/18/2026 | | | 312,411 | |
| | 12,706 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 9.87% | | | 09/18/2026 | | | 12,741 | |
| | | | | Clydesdale Acquisition Holdings, Inc. | |
| | 313,773 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.18%, 0.50% Floor) | | | 8.02% | | | 04/13/2029 | | | 312,518 | |
| | | | | CMG Media Corp. | |
| | 123,842 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.20% | | | 12/17/2026 | | | 109,670 | |
| | | | | CNT Holdings I Corp. | |
| | 339,881 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.75% | | | 11/08/2027 | | | 341,059 | |
| | | | | Coherent Corp. | |
| | 65,483 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.35% | | | 07/02/2029 | | | 65,585 | |
| | | | | Columbus McKinnon Corp./NY | |
| | 18,303 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.10% | | | 05/15/2028 | | | 18,349 | |
| | | | | CommScope LLC | |
| | 218,192 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.21% | | | 04/06/2026 | | | 211,873 | |
| | | | | Compass Power Generation LLC | |
| | 523,227 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.60% | | | 04/16/2029 | | | 527,243 | |
| | | | | Connect Finco SARL | |
| | 76,927 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 12/11/2026 | | | 76,721 | |
| | | | | Conservice Midco LLC | |
| | 258,500 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/13/2027 | | | 259,366 | |
| | | | | Constant Contact, Inc. | |
| | 385,745 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 9.57% | | | 02/10/2028 | | | 374,012 | |
| | | | | CoreLogic, Inc. | |
| | 148,410 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 06/02/2028 | | | 147,311 | |
| | | | | Cornerstone Building Brands, Inc. | |
| | 147,704 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.45% | | | 04/12/2028 | | | 144,915 | |
| | 50,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.60% | | | 05/15/2031 | | | 49,516 | |
| | | | | Cornerstone OnDemand, Inc. | |
| | 277,349 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 9.11% | | | 10/16/2028 | | | 260,534 | |
| | | | | Cotiviti, Inc. | |
| | 432,825 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.45% | | | 04/30/2031 | | | 433,096 | |
| | | | | CPI Holdco B LLC | |
| | 135,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/19/2031 | | | 134,530 | |
| | | | | CPPIB OVM Member US LLC | |
| | 180,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 08/20/2031 | | | 180,300 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 103
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | CQP Holdco LP | |
| | 358,202 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.58% | | | 12/31/2030 | | | 358,286 | |
| | | | | Crosby US Acquisition Corp. | |
| | 50,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.60% | | | 08/16/2029 | | | 50,156 | |
| | 119,102 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.25% | | | 08/16/2029 | | | 119,474 | |
| | | | | Cross Financial Corp. | |
| | 188,085 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.35% | | | 09/15/2027 | | | 188,321 | |
| | | | | CSC Holdings LLC | |
| | 316,684 | | | Senior Secured First Lien Term Loan (Synthetic LIBOR(6M) + 2.50%, 0.00% Floor) | | | 7.17%(f) | | | 04/15/2027 | | | 290,672 | |
| | | | | Curium Bidco Sarl | |
| | 185,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.51% | | | 07/31/2029 | | | 185,847 | |
| | 128,573 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 129,161 | |
| | 85,334 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 85,724 | |
| | 37,916 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.60% | | | 07/31/2029 | | | 38,090 | |
| | | | | Cyborg Oldco DC Holdings, Inc. | |
| | 123,869 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.00%) | | | 7.30%(g) | | | 05/01/2026 | | | 681 | |
| | | | | Dcert Buyer, Inc. | |
| | 219,926 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.25% | | | 10/16/2026 | | | 213,947 | |
| | 95,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 7.00%, 0.00% Floor) | | | 12.25% | | | 02/16/2029 | | | 82,515 | |
| | | | | Deerfield Dakota Holding LLC | |
| | 922,740 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) | | | 8.35% | | | 04/09/2027 | | | 905,263 | |
| | | | | Delta 2 Lux Sarl | |
| | 53,333 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 53,428 | |
| | 26,667 | | | Senior Secured Term Loan (1 mo. Term SOFR + 2.00%) | | | 7.20% | | | 09/19/2031 | | | 26,714 | |
| | | | | Dexko Global, Inc. | |
| | 186,620 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.62% | | | 10/04/2028 | | | 180,838 | |
| | | | | DG Investment Intermediate Holdings 2, Inc. | |
| | 381,651 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 9.11% | | | 03/31/2028 | | | 381,294 | |
| | 45,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.75% Floor) | | | 11.71% | | | 03/29/2029 | | | 42,441 | |
| | | | | Directv Financing LLC | |
| | 159,862 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.00%, 0.75% Floor) | | | 9.96% | | | 08/02/2027 | | | 160,155 | |
| | | | | Dun & Bradstreet Corp. | |
| | 237,146 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.61% | | | 01/18/2029 | | | 237,212 | |
| | | | | Dynamo US Bidco, Inc. | |
| | 140,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 4.00%) | | | 9.10% | | | 09/25/2031 | | | 140,525 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Dynasty Acquisition Co., Inc. | |
| | 407,749 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 08/24/2028 | | | 408,525 | |
| | | | | EAB Global, Inc. | |
| | 432,825 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 08/16/2028 | | | 431,797 | |
| | | | | Ecovyst Catalyst Technologies LLC | |
| | 656,328 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.50% | | | 06/12/2031 | | | 653,201 | |
| | 253,155 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.50% | | | 06/12/2031 | | | 251,949 | |
| | | | | Edelman Financial Engines Center LLC | |
| | 731,576 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 04/07/2028 | | | 731,049 | |
| | 190,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.10% | | | 10/06/2028 | | | 189,921 | |
| | | | | Edgewater Generation LLC | |
| | 235,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.10% | | | 08/01/2030 | | | 237,350 | |
| | | | | EG America LLC | |
| | 278,290 | | | Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 5.50%, 0.00% Floor) | | | 10.72% | | | 02/07/2028 | | | 278,523 | |
| | | | | Eisner Advisory Group LLC | |
| | 362,591 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.85% | | | 02/28/2031 | | | 364,277 | |
| | | | | Element Materials Technology Group US Holdings, Inc. | |
| | 391,238 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.35% | | | 06/25/2029 | | | 392,707 | |
| | | | | Ellucian Holdings, Inc. | |
| | 515,337 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.45% | | | 10/29/2029 | | | 517,229 | |
| | | | | Emrld Borrower LP | |
| | 240,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.56% | | | 08/04/2031 | | | 239,807 | |
| | | | | Energizer Holdings, Inc. | |
| | 129,558 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.92% | | | 12/22/2027 | | | 129,881 | |
| | | | | Everi Holdings, Inc. | |
| | 130,613 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 08/03/2028 | | | 131,119 | |
| | | | | Fertitta Entertainment LLC/NV | |
| | 1,704,961 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.85% | | | 01/29/2029 | | | 1,702,182 | |
| | | | | FinThrive Software Intermediate Holdings, Inc. | |
| | 163,579 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.96% | | | 12/18/2028 | | | 114,267 | |
| | | | | First Advantage Holdings LLC | |
| | 187,311 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.71% | | | 01/29/2027 | | | 186,803 | |
| | 1,165,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.35% | | | 09/19/2031 | | | 1,161,359 | |
| | | | | Fleetcor Technologies (Corpay) T/L B-5 | |
| | 750,000 | | | Senior Secured Term Loan | | | 6.60%(h) | | | 04/28/2028 | | | 750,060 | |
| | | |
| | | |
104
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Flutter Financing BV | |
| | 124,063 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.60% | | | 11/29/2030 | | | 124,350 | |
| | | | | Focus Financial Partners LLC | |
| | 997,831 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.33% | | | 09/17/2031 | | | 995,994 | |
| | 107,170 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.41% | | | 09/17/2031 | | | 106,972 | |
| | | | | Foresight Energy LLC | |
| | 105,062 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 8.00%, 1.50% Floor) | | | 12.70%(d) | | | 06/30/2027 | | | 105,062 | |
| | | | | Fortrea Holdings, Inc. | |
| | 15,332 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.49% | | | 07/01/2030 | | | 15,341 | |
| | | | | Freeport LNG Investments LLLP | |
| | 277,735 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 9.04% | | | 12/21/2028 | | | 275,617 | |
| | | | | Frontier Communications Holdings LLC | |
| | 405,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.76% | | | 07/01/2031 | | | 408,544 | |
| | | | | Gainwell Acquisition Corp. | |
| | 762,046 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.70% | | | 10/01/2027 | | | 727,278 | |
| | | | | Garda World Security Corp. | |
| | 464,256 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.60% | | | 02/01/2029 | | | 464,779 | |
| | | | | GBT US III LLC | |
| | 170,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 8.28% | | | 07/28/2031 | | | 169,858 | |
| | | | | GIP II Blue Holding LP | |
| | 119,476 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor) | | | 9.00% | | | 09/29/2028 | | | 120,073 | |
| | | | | GIP Pilot Acquisition Partners LP | |
| | 154,223 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.82% | | | 10/04/2030 | | | 154,736 | |
| | | | | Gogo Intermediate Holdings LLC | |
| | 506,197 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 9.11% | | | 04/28/2028 | | | 478,566 | |
| | | | | Graham Packaging Co., Inc. | |
| | 518,273 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 08/04/2027 | | | 518,358 | |
| | | | | Grant Thornton LLP/Chicago | |
| | 280,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 05/30/2031 | | | 280,721 | |
| | | | | Great Outdoors Group LLC | |
| | 495,409 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.71% | | | 03/06/2028 | | | 495,976 | |
| | | | | Greystone Select Financial LLC | |
| | 66,985 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor) | | | 10.54% | | | 06/19/2028 | | | 66,817 | |
| | | | | Grifols Worldwide Operations USA, Inc. | |
| | 226,167 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.40% | | | 11/15/2027 | | | 220,230 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | GTCR Everest Borrower LLC | |
| | 175,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.60% | | | 09/05/2031 | | | 173,168 | |
| | | | | Hamilton Projects Acquiror LLC | |
| | 94,763 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) | | | 8.60% | | | 05/30/2031 | | | 95,568 | |
| | | | | Harbor Freight Tools USA, Inc. | |
| | 30,561 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.24% | | | 06/11/2031 | | | 30,135 | |
| | 229,439 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 06/11/2031 | | | 226,237 | |
| | | | | Helios Software Holdings, Inc. | |
| | 329,990 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.35% | | | 07/15/2030 | | | 329,165 | |
| | | | | Hexion Holdings Corp. | |
| | 520,707 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) | | | 9.77% | | | 03/15/2029 | | | 517,593 | |
| | | | | H-Food Holdings LLC | |
| | 108,509 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.69%, 0.00% Floor) | | | 9.01% | | | 05/30/2025 | | | 82,015 | |
| | | | | Hightower Holding LLC | |
| | 623,438 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.75% | | | 04/21/2028 | | | 624,510 | |
| | | | | Hilton Grand Vacations Borrower LLC | |
| | 228,850 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.50% | | | 01/17/2031 | | | 227,563 | |
| | | | | HomeServe USA Corp. | |
| | 184,075 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.21% | | | 10/21/2030 | | | 183,960 | |
| | | | | Hunter Douglas, Inc. | |
| | 317,487 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.57% | | | 02/26/2029 | | | 315,701 | |
| | 116,985 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.57% | | | 02/26/2029 | | | 116,327 | |
| | | | | INEOS US Finance LLC | |
| | 742,563 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 02/19/2030 | | | 743,093 | |
| | 109,725 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.60% | | | 02/07/2031 | | | 109,986 | |
| | | | | INEOS US Petrochem LLC | |
| | 477,600 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) | | | 9.20% | | | 03/29/2029 | | | 478,348 | |
| | | | | ION Trading Finance Ltd. | |
| | 136,877 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.02% | | | 04/03/2028 | | | 137,100 | |
| | | | | Iron Mountain Information Management LLC | |
| | 436,700 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 01/31/2031 | | | 434,789 | |
| | | | | Ivanti Software, Inc. | |
| | 114,753 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor) | | | 9.83% | | | 12/01/2027 | | | 97,819 | |
| | | | | Kenan Advantage Group, Inc. | |
| | 308,452 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 01/25/2029 | | | 307,938 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 105
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Klockner Pentaplast of America, Inc. | |
| | 223,182 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.73%, 0.50% Floor) | | | 9.72% | | | 02/09/2026 | | | 210,783 | |
| | | | | Kronos Acquisition Holdings, Inc. | |
| | 155,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor) | | | 9.31% | | | 07/08/2031 | | | 145,700 | |
| | | | | LBM Acquisition LLC | |
| | 1,052,402 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.97% | | | 06/06/2031 | | | 1,033,711 | |
| | | | | LC Ahab US Bidco LLC | |
| | 325,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 05/01/2031 | | | 326,830 | |
| | | | | Level 3 Financing, Inc. | |
| | 68,130 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor) | | | 11.41% | | | 04/16/2029 | | | 69,671 | |
| | 68,130 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor) | | | 11.41% | | | 04/15/2030 | | | 69,498 | |
| | | | | LifePoint Health, Inc. | |
| | 522,378 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor) | | | 10.05% | | | 11/16/2028 | | | 522,770 | |
| | 69,825 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.96% | | | 05/14/2031 | | | 69,919 | |
| | | | | Light & Wonder International, Inc. | |
| | 230,896 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.33% | | | 04/16/2029 | | | 231,123 | |
| | | | | Lightning Power LLC | |
| | 345,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.35% | | | 08/18/2031 | | | 346,102 | |
| | | | | Lummus Technology Holdings V LLC | |
| | 305,276 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.46% | | | 12/31/2029 | | | 306,530 | |
| | | | | Madison IAQ LLC | |
| | 557,220 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.89% | | | 06/21/2028 | | | 557,435 | |
| | | | | Madison Safety & Flow LLC | |
| | 205,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.25%) | | | 8.10% | | | 09/26/2031 | | | 205,193 | |
| | | | | Mavis Tire Express Services Topco Corp. | |
| | 322,567 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.35% | | | 05/04/2028 | | | 322,786 | |
| | | | | McAfee Corp. | |
| | 508,265 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.45% | | | 03/01/2029 | | | 507,114 | |
| | | | | Medline Borrower LP | |
| | 140,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.10% | | | 10/23/2028 | | | 139,987 | |
| | 441,798 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 10/23/2028 | | | 442,476 | |
| | | | | Michaels Cos., Inc. | |
| | 132,863 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor) | | | 9.12% | | | 04/17/2028 | | | 105,427 | |
| | | | | Mister Car Wash Holdings, Inc. | |
| | 84,788 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.85% | | | 03/27/2031 | | | 84,977 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Mitchell International, Inc. | |
| | 972,675 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 06/17/2031 | | | 959,588 | |
| | 215,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) | | | 10.10% | | | 06/17/2032 | | | 211,686 | |
| | | | | MIWD Holdco II LLC | |
| | 89,775 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 03/28/2031 | | | 90,043 | |
| | | | | Modena Buyer LLC | |
| | 215,569 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.10% | | | 07/01/2031 | | | 206,880 | |
| | | | | Monogram Food Solutions LLC | |
| | 320,702 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.96% | | | 08/28/2028 | | | 317,495 | |
| | | | | Motion Finco Sarl | |
| | 412,578 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.10% | | | 11/30/2029 | | | 397,571 | |
| | | | | Natgasoline LLC | |
| | 303,344 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.00% Floor) | | | 9.02% | | | 11/14/2025 | | | 301,827 | |
| | | | | NEP Group, Inc. | |
| | 359,172 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor) | | | 8.12% | | | 08/19/2026 | | | 345,479 | |
| | 39,415 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.12% | | | 08/19/2026 | | | 37,912 | |
| | | | | Newfold Digital Holdings Group, Inc. | |
| | 273,185 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) | | | 8.81% | | | 02/10/2028 | | | 242,231 | |
| | | | | Nouryon USA LLC | |
| | 287,460 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.63% | | | 04/03/2028 | | | 288,269 | |
| | 74,618 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.63% | | | 04/03/2028 | | | 74,828 | |
| | | | | NRG Energy, Inc. | |
| | 228,850 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.26% | | | 04/16/2031 | | | 229,508 | |
| | | | | Nvent Thermal LLC | |
| | 435,000 | | | Senior Secured Term Loan (1 mo. Term SOFR + 3.50%) | | | 8.70% | | | 09/12/2031 | | | 435,091 | |
| | | | | Olympus Water US Holding Corp. | |
| | 603,488 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.10% | | | 06/23/2031 | | | 604,242 | |
| | | | | OneDigital Borrower LLC | |
| | 678,300 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.10% | | | 07/02/2031 | | | 673,779 | |
| | 225,000 | | | Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.50% Floor) | | | 10.10% | | | 07/02/2032 | | | 223,313 | |
| | | | | Ontario Gaming GTA LP | |
| | 426,793 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.89% | | | 08/01/2030 | | | 426,925 | |
| | | | | Organon & Co. | |
| | 199,032 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 05/19/2031 | | | 199,032 | |
| | | |
| | | |
106
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Oryx Midstream Services Permian Basin LLC | |
| | 372,188 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 8.23% | | | 10/05/2028 | | | 372,755 | |
| | | | | Ovg Business Services LLC | |
| | 325,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.85% | | | 06/25/2031 | | | 323,781 | |
| | | | | Pacific Dental Services, Inc. | |
| | 443,012 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.85% | | | 03/17/2031 | | | 443,289 | |
| | | | | Packaging Coordinators Midco, Inc. | |
| | 570,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.10% | | | 11/30/2027 | | | 570,490 | |
| | | | | Pactiv Evergreen Group Holdings, Inc. | |
| | 61,773 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 61,831 | |
| | 49,003 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 49,049 | |
| | 241,722 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 09/25/2028 | | | 241,948 | |
| | | | | Par Petroleum LLC | |
| | 83,725 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) | | | 9.06% | | | 02/28/2030 | | | 83,995 | |
| | | | | Penn Entertainment, Inc. | |
| | 388,107 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.70% | | | 05/03/2029 | | | 389,442 | |
| | | | | Perrigo Investments LLC | |
| | 179,299 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor) | | | 7.20% | | | 04/20/2029 | | | 179,449 | |
| | | | | PetSmart LLC | |
| | 842,118 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor) | | | 8.70% | | | 02/14/2028 | | | 836,177 | |
| | | | | Phoenix Newco, Inc. | |
| | 806,790 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 7.85% | | | 11/15/2028 | | | 807,859 | |
| | | | | Playa Resorts Holding BV | |
| | 324,571 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 01/05/2029 | | | 322,880 | |
| | | | | PointClickCare Technologies, Inc. | |
| | 96,613 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.75% Floor) | | | 7.60% | | | 12/29/2027 | | | 96,734 | |
| | | | | Polar US Borrower T/L B-1 | |
| | 141,674 | | | Senior Secured Term Loan | | | 10.46%(h) | | | 10/15/2028 | | | 106,255 | |
| | | | | Polaris Newco LLC | |
| | 407,333 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 9.51% | | | 06/05/2028 | | | 401,077 | |
| | | | | Pregis TopCo LLC | |
| | 514,122 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) | | | 8.85% | | | 07/31/2026 | | | 515,818 | |
| | | | | Pretium PKG Holdings, Inc. | |
| | 213,154 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.20%, 1.00% Floor) | | | 9.92% | | | 10/02/2028 | | | 171,766 | |
| | 2,837 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.20%, 1.00% Floor) | | | 9.92% | | | 10/02/2028 | | | 2,286 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 74,054 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) | | | 10.32% | | | 10/02/2028 | | | 75,558 | |
| | 1,575 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) | | | 10.32% | | | 10/02/2028 | | | 1,607 | |
| | 65,000 | | | Senior Secured Second Lien Term Loan (3 mo. SOFR US + 6.75%, 0.50% Floor) | | | 12.07% | | | 10/01/2029 | | | 26,325 | |
| | | | | Proofpoint, Inc. | |
| | 1,711,173 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor) | | | 7.85% | | | 08/31/2028 | | | 1,712,293 | |
| | | | | Quikrete Holdings, Inc. | |
| | 153,054 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.10% | | | 03/19/2029 | | | 153,262 | |
| | 69,650 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.35% | | | 04/14/2031 | | | 69,753 | |
| | | | | Radiology Partners, Inc. | |
| | 395,617 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor) | | | 8.88% | | | 01/31/2029 | | | 388,696 | |
| | 7,129 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor) | | | 8.88% | | | 01/31/2029 | | | 7,004 | |
| | | | | Resideo Funding, Inc. | |
| | 314,213 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor) | | | 7.30% | | | 06/13/2031 | | | 314,998 | |
| | | | | Restaurant Technologies, Inc. | |
| | 467,059 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 444,122 | |
| | 44,472 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 42,288 | |
| | 44,472 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 04/02/2029 | | | 42,288 | |
| | | | | RH | |
| | 451,546 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor) | | | 7.46% | | | 10/20/2028 | | | 435,178 | |
| | | | | Sabre GLBL, Inc. | |
| | 67,152 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 12/17/2027 | | | 62,926 | |
| | 42,738 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.46% | | | 12/17/2027 | | | 40,049 | |
| | | | | Scientific Games Holdings LP | |
| | 260,000 | | | Senior Secured Term Loan (3 mo. Term SOFR + 3.00%) | | | 8.32% | | | 04/04/2029 | | | 258,760 | |
| | | | | Sedgwick Claims Management Services, Inc. | |
| | 505,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor) | | | 8.25% | | | 07/31/2031 | | | 504,636 | |
| | | | | Six Flags Entertainment Corp. | |
| | 139,650 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/01/2031 | | | 139,615 | |
| | | | | SkyMiles IP Ltd. | |
| | 57,799 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) | | | 9.03% | | | 10/20/2027 | | | 58,940 | |
| | | | | Sotera Health Holdings LLC | |
| | 645,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 05/30/2031 | | | 643,791 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 107
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Southern Veterinary Partners LLC | |
| | 577,419 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 1.00% Floor) | | | 8.00% | | | 10/05/2027 | | | 579,224 | |
| | | | | Spin Holdco, Inc. | |
| | 152,097 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) | | | 9.26% | | | 03/06/2028 | | | 133,814 | |
| | | | | SS&C Technologies, Inc. | |
| | 300,076 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 05/09/2031 | | | 300,408 | |
| | | | | Standard Aero Ltd. | |
| | 157,176 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.35% | | | 08/24/2028 | | | 157,476 | |
| | | | | Staples, Inc. | |
| | 180,000 | | | Senior Secured First Lien Term Loan (3 mo. Term SOFR + 5.75%) | | | 10.69% | | | 09/10/2029 | | | 163,993 | |
| | | | | Starwood Property Mortgage LLC | |
| | 98,728 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor) | | | 8.20% | | | 07/27/2026 | | | 99,098 | |
| | | | | Station Casinos LLC | |
| | 144,275 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.10% | | | 03/14/2031 | | | 143,876 | |
| | | | | StubHub Holdco Sub LLC | |
| | 353,771 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor) | | | 9.60% | | | 03/15/2030 | | | 354,064 | |
| | | | | SWF Holdings I Corp. | |
| | 208,363 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.96% | | | 10/06/2028 | | | 173,289 | |
| | | | | Tamko Building Products LLC | |
| | 415,800 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.17% | | | 09/20/2030 | | | 417,359 | |
| | | | | Team Health Holdings, Inc. | |
| | 108,441 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor) | | | 10.50% | | | 03/02/2027 | | | 104,018 | |
| | | | | Tecta America Corp. | |
| | 194,362 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor) | | | 8.96% | | | 04/10/2028 | | | 195,515 | |
| | | | | Telesat LLC | |
| | 70,676 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.81% | | | 12/07/2026 | | | 35,029 | |
| | | | | Thunder Generation T/L | |
| | 490,000 | | | Senior Secured Term Loan | | | 7.96%(h) | | | 09/27/2031 | | | 490,000 | |
| | | | | Tiger Acquisition LLC | |
| | 212,149 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.20% | | | 06/01/2028 | | | 211,406 | |
| | | | | Titan Acquisition Ltd./Canada | |
| | 463,838 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) | | | 10.33% | | | 02/15/2029 | | | 462,163 | |
| | | | | TK Elevator US Newco, Inc. | |
| | 394,000 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.59% | | | 04/30/2030 | | | 395,232 | |
| | 226,324 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.59% | | | 04/30/2030 | | | 227,031 | |
| | | | | Trans Union LLC | |
| | 179,550 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 06/24/2031 | | | 179,397 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | TransDigm, Inc. | |
| | 656,274 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.10% | | | 02/28/2031 | | | 654,456 | |
| | 445,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%) | | | 7.32% | | | 01/19/2032 | | | 443,747 | |
| | | | | Travelport Finance Luxembourg Sarl | |
| | 153,342 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.00%, 1.00% Floor) | | | 11.60% | | | 09/29/2028 | | | 133,293 | |
| | 47,016 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 7.00%, 1.00% Floor) | | | 11.60% | | | 09/29/2028 | | | 40,869 | |
| | | | | Traverse Midstream Partners LLC | |
| | 86,168 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.75% | | | 02/16/2028 | | | 86,492 | |
| | | | | TricorBraun Holdings, Inc. | |
| | 338,579 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.21% | | | 03/03/2028 | | | 332,550 | |
| | | | | Trident TPI Holdings, Inc. | |
| | 498,047 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) | | | 8.60% | | | 09/18/2028 | | | 499,411 | |
| | | | | Triton Water Holdings, Inc. | |
| | 1,893,780 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) | | | 8.85% | | | 03/31/2028 | | | 1,892,644 | |
| | | | | UFC Holdings LLC | |
| | 376,773 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.75% Floor) | | | 8.29% | | | 04/29/2026 | | | 377,548 | |
| | | | | UKG, Inc. | |
| | 827,925 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.55% | | | 02/10/2031 | | | 828,960 | |
| | | | | Ultra Clean Holdings, Inc. | |
| | 231,012 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) | | | 8.75% | | | 02/25/2028 | | | 232,264 | |
| | | | | United Airlines, Inc. | |
| | 433,913 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 8.03% | | | 02/24/2031 | | | 435,269 | |
| | | | | United Natural Foods, Inc. | |
| | 189,525 | | | Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) | | | 10.00% | | | 05/01/2031 | | | 190,473 | |
| | | | | United Talent Agency LLC | |
| | 139,300 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.87% | | | 07/07/2028 | | | 139,822 | |
| | | | | Univision Communications, Inc. | |
| | 311,131 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 8.85% | | | 06/25/2029 | | | 307,438 | |
| | | | | Upbound Group, Inc. | |
| | 129,430 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor) | | | 8.00% | | | 02/17/2028 | | | 129,363 | |
| | | | | Vantage Specialty Chemicals, Inc. | |
| | 213,856 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.50% Floor) | | | 9.87% | | | 10/26/2026 | | | 212,252 | |
| | | | | Vestis Corp. | |
| | 120,531 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor) | | | 7.37% | | | 02/24/2031 | | | 119,985 | |
| | | | | Viad Corp. | |
| | 151,349 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.50% Floor) | | | 9.10% | | | 07/31/2028 | | | 151,538 | |
| | | | | | | | | | | | | | | |
108
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Victra Holdings LLC | |
| | 34,563 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor) | | | 9.85% | | | 03/29/2029 | | | 34,908 | |
| | | | | Virgin Media Bristol LLC | |
| | 500,000 | | | Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.66% | | | 03/31/2031 | | | 478,195 | |
| | | | | Vistra Operations Co. LLC | |
| | 94,288 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) | | | 6.85% | | | 12/20/2030 | | | 94,401 | |
| | | | | Vizient, Inc. | |
| | 335,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor) | | | 6.85% | | | 08/01/2031 | | | 336,005 | |
| | | | | Vortex Opco LLC | |
| | 101,700 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) | | | 9.12% | | | 12/15/2028 | | | 73,479 | |
| | | | | VT Topco, Inc. | |
| | 104,214 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) | | | 8.35% | | | 08/12/2030 | | | 104,659 | |
| | | | | Wand NewCo 3, Inc. | |
| | 67,890 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) | | | 7.85% | | | 01/30/2031 | | | 67,890 | |
| | 116,648 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 01/30/2031 | | | 116,648 | |
| | | | | WaterBridge Midstream Operating LLC | |
| | 125,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor) | | | 9.39% | | | 06/27/2029 | | | 121,027 | |
| | | | | WaterBridge NDB Operating LLC | |
| | 175,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) | | | 9.60% | | | 05/10/2029 | | | 174,919 | |
| | | | | Wec US Holdings Ltd. | |
| | 465,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.60% | | | 01/27/2031 | | | 465,423 | |
| | | | | WestJet Loyalty LP | |
| | 920,375 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) | | | 8.35% | | | 02/14/2031 | | | 912,129 | |
| | | | | Whatabrands LLC | |
| | 1,008,363 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor) | | | 7.60% | | | 08/03/2028 | | | 1,008,025 | |
| | | | | White Cap Supply Holdings LLC | |
| | 260,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) | | | 8.10% | | | 10/31/2029 | | | 258,424 | |
| | | | | WhiteWater DBR HoldCo LLC | |
| | 170,000 | | | Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.00% Floor) | | | 7.35% | | | 03/03/2031 | | | 169,974 | |
| | | | | Wyndham Hotels & Resorts, Inc. | |
| | 533,663 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor) | | | 6.60% | | | 05/28/2030 | | | 534,079 | |
| | | | | Zayo Group Holdings, Inc. | |
| | 266,026 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor) | | | 7.96% | | | 03/09/2027 | | | 243,774 | |
| | | | | Ziggo Financing Partnership | |
| | 235,000 | | | Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor) | | | 7.71% | | | 04/28/2028 | | | 229,794 | |
| | | | | Total Bank Loans
(Cost $102,999,211) | | | | | | | | | 102,648,193 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 17.4% | |
| | | | | Aimco CDO | |
| | 2,000,000 | | | Series 2021-15A-D (3 mo. Term SOFR + 3.16%, 2.90% Floor) | | | 8.45%(a) | | | 10/17/2034 | | | 2,003,784 | |
| | 1,000,000 | | | Series 2024-21A-D1 (3 mo. Term SOFR + 3.15%, 3.15% Floor) | | | 8.48%(a) | | | 04/18/2037 | | | 1,010,465 | |
| | | | | Babson CLO Ltd./Cayman Islands | |
| | 1,737,500 | | | Series 2015-2A-ER (3 mo. Term SOFR + 6.71%, 0.00% Floor) | | | 11.99%(a) | | | 10/20/2030 | | | 1,722,226 | |
| | | | | Bain Capital Credit CLO | |
| | 1,250,000 | | | Series 2021-7A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor) | | | 8.79%(a) | | | 01/22/2035 | | | 1,255,688 | |
| | | | | Blackstone, Inc. | |
| | 1,500,000 | | | Series 2018-1A-D (3 mo. Term SOFR + 2.76%, 0.00% Floor) | | | 8.06%(a) | | | 04/15/2031 | | | 1,506,097 | |
| | | | | BlueMountain CLO Ltd. | |
| | 3,770,000 | | | Series 2013-2A-DR (3 mo. Term SOFR + 3.16%, 0.00% Floor) | | | 8.44%(a) | | | 10/22/2030 | | | 3,779,613 | |
| | 500,000 | | | Series 2015-3A-CR (3 mo. Term SOFR + 2.86%, 0.00% Floor) | | | 8.14%(a) | | | 04/20/2031 | | | 492,180 | |
| | 1,000,000 | | | Series 2016-3A-DR (3 mo. Term SOFR + 3.36%, 3.10% Floor) | | | 8.48%(a) | | | 11/15/2030 | | | 989,704 | |
| | 1,000,000 | | | Series 2017-2A-C (3 mo. Term SOFR + 3.26%, 0.00% Floor) | | | 8.54%(a) | | | 10/20/2030 | | | 988,440 | |
| | 2,500,000 | | | Series 2018-23A-D1R (3 mo. Term SOFR + 3.85%, 3.85% Floor) | | | 9.13%(a) | | | 07/20/2037 | | | 2,501,682 | |
| | | | | Canyon Capital CLO Ltd. | |
| | 1,000,000 | | | Series 2012-1RA-D (3 mo. Term SOFR + 3.26%, 0.00% Floor) | | | 8.56%(a) | | | 07/15/2030 | | | 1,000,331 | |
| | 2,000,000 | | | Series 2014-1A-CR (3 mo. Term SOFR + 3.01%, 2.75% Floor) | | | 8.27%(a) | | | 01/30/2031 | | | 1,970,539 | |
| | 1,000,000 | | | Series 2022-1A-D (3 mo. Term SOFR + 3.20%, 3.20% Floor) | | | 8.49%(a) | | | 04/15/2035 | | | 1,001,543 | |
| | | | | Canyon CLO | |
| | 3,000,000 | | | Series 2020-2A-DR (3 mo. Term SOFR + 3.41%, 3.15% Floor) | | | 8.71%(a) | | | 10/15/2034 | | | 3,010,822 | |
| | 1,000,000 | | | Series 2021-4A-B (3 mo. Term SOFR + 1.96%, 1.70% Floor) | | | 7.26%(a) | | | 10/15/2034 | | | 1,003,852 | |
| | 2,500,000 | | | Series 2021-4A-D (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.61%(a) | | | 10/15/2034 | | | 2,506,696 | |
| | 1,000,000 | | | Series 2021-4A-E (3 mo. Term SOFR + 6.56%, 6.30% Floor) | | | 11.86%(a) | | | 10/15/2034 | | | 1,003,473 | |
| | | | | Captree Park CLO Ltd. | |
| | 1,100,000 | | | Series 2024-1A-D (3 mo. Term SOFR + 3.25%, 3.25% Floor) | | | 8.58%(a) | | | 07/20/2037 | | | 1,112,837 | |
| | | | | Carlyle Global Market Strategies | |
| | 500,000 | | | Series 2020-2A-CR (3 mo. Term SOFR + 3.46%, 3.20% Floor) | | | 8.75%(a) | | | 01/25/2035 | | | 502,167 | |
| | 1,000,000 | | | Series 2024-2A-D (3 mo. Term SOFR + 3.85%, 3.85% Floor) | | | 9.17%(a) | | | 04/25/2037 | | | 1,018,124 | |
| | 500,000 | | | Series 2024-4A-D (3 mo. Term SOFR + 3.20%, 3.20% Floor) | | | 8.53%(a) | | | 07/20/2037 | | | 505,888 | |
| | | | | Cathedral Lake CLO Ltd. | |
| | 3,500,000 | | | Series 2021-8A-C (3 mo. Term SOFR + 2.88%, 2.62% Floor) | | | 8.16%(a) | | | 01/20/2035 | | | 3,517,752 | |
| | 3,500,000 | | | Series 2021-8A-D1 (3 mo. Term SOFR + 3.68%, 3.42% Floor) | | | 8.96%(a) | | | 01/20/2035 | | | 3,523,725 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 109
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Cent CLO | |
| | 500,000 | | | Series 2018-27A-DR (3 mo. Term SOFR + 4.09%, 3.83% Floor) | | | 9.38%(a) | | | 01/25/2035 | | | 492,910 | |
| | | | | Chenango Park CLO | |
| | 1,500,000 | | | Series 2018-1A-C (3 mo. Term SOFR + 3.26%, 3.00% Floor) | | | 8.56%(a) | | | 04/15/2030 | | | 1,510,464 | |
| | | | | CIFC Funding Ltd. | |
| | 1,000,000 | | | Series 2019-3A-CR (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.60%(a) | | | 10/16/2034 | | | 1,004,383 | |
| | | | | Crown City CLO | |
| | 4,000,000 | | | Series 2024-6A-D1 (3 mo. Term SOFR + 3.50%, 3.50% Floor) | | | 8.82%(a) | | | 07/15/2037 | | | 4,072,512 | |
| | | | | Dryden Senior Loan Fund | |
| | 3,000,000 | | | Series 2015-37A-DR (3 mo. Term SOFR + 2.76%, 2.50% Floor) | | | 8.06%(a) | | | 01/15/2031 | | | 3,004,426 | |
| | 1,000,000 | | | Series 2017-50A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor) | | | 8.81%(a) | | | 07/15/2030 | | | 1,009,492 | |
| | 1,000,000 | | | Series 2019-68A-DR (3 mo. Term SOFR + 3.61%, 3.35% Floor) | | | 8.91%(a) | | | 07/15/2035 | | | 1,004,842 | |
| | 900,000 | | | Series 2020-77A-DR (3 mo. Term SOFR + 3.26%, 3.26% Floor) | | | 8.39%(a) | | | 05/20/2034 | | | 902,829 | |
| | | | | Goldentree Loan Opportunities Ltd. | |
| | 1,000,000 | | | Series 2024-20A-D (3 mo. Term SOFR + 3.15%, 3.15% Floor) | | | 8.48%(a) | | | 07/20/2037 | | | 1,016,219 | |
| | 1,000,000 | | | Series 2024-21A-D (3 mo. Term SOFR + 3.05%, 3.05% Floor) | | | 8.38%(a) | | | 07/20/2037 | | | 1,010,679 | |
| | | | | Halcyon Loan Advisors Funding Ltd. | |
| | 302,592 | | | Series 2014-2A-D (3 mo. Term SOFR + 5.26%, 0.00% Floor) | | | 10.53%(a) | | | 04/28/2025 | | | 62,062 | |
| | 500,000 | | | Series 2018-1A-A2 (3 mo. Term SOFR + 2.06%, 1.80% Floor) | | | 7.34%(a) | | | 07/21/2031 | | | 502,881 | |
| | | | | Highbridge Loan Management Ltd. | |
| | 2,000,000 | | | Series 2013-2A-CR (3 mo. Term SOFR + 3.16%, 2.90% Floor) | | | 8.44%(a) | | | 10/20/2029 | | | 2,014,781 | |
| | | | | ING Investment Management CLO Ltd. | |
| | 3,900,000 | | | Series 2013-1A-CR (3 mo. Term SOFR + 3.21%, 0.00% Floor) | | | 8.51%(a) | | | 10/15/2030 | | | 3,924,586 | |
| | | | | LCM LP | |
| | 5,000,000 | | | Series 26A-D (3 mo. Term SOFR + 2.76%, 2.50% Floor) | | | 8.04%(a) | | | 01/20/2031 | | | 4,955,353 | |
| | 1,500,000 | | | Series 27A-D (3 mo. Term SOFR + 3.21%, 0.00% Floor) | | | 8.50%(a) | | | 07/16/2031 | | | 1,492,452 | |
| | | | | LCM XIII LP | |
| | 3,175,000 | | | Series 14A-DR (3 mo. Term SOFR + 3.01%, 0.00% Floor) | | | 8.29%(a) | | | 07/20/2031 | | | 3,174,829 | |
| | | | | Lodi Park CLO Ltd. | |
| | 500,000 | | | Series 2024-1A-D1 (3 mo. Term SOFR + 3.00%, 3.00% Floor) | | | 8.29%(a) | | | 07/21/2037 | | | 502,060 | |
| | | | | Madison Park Funding Ltd. | |
| | 4,500,000 | | | Series 2015-18A-BR (3 mo. Term SOFR + 1.86%, 0.00% Floor) | | | 7.14%(a) | | | 10/21/2030 | | | 4,509,760 | |
| | | | | Magnetite CLO Ltd. | |
| | 3,500,000 | | | Series 2018-20A-D (3 mo. Term SOFR + 2.76%, 0.00% Floor) | | | 8.04%(a) | | | 04/20/2031 | | | 3,516,624 | |
| | 1,750,000 | | | Series 2019-23A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.60%(a) | | | 01/25/2035 | | | 1,755,984 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Marble Point CLO | |
| | 3,500,000 | | | Series 2021-3A-D1 (3 mo. Term SOFR + 3.76%, 3.50% Floor) | | | 9.05%(a) | | | 10/17/2034 | | | 3,530,238 | |
| | | | | Myers Park CLO | |
| | 1,000,000 | | | Series 2018-1A-D (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.59%(a) | | | 10/20/2030 | | | 1,007,858 | |
| | | | | Neuberger Berman CLO Ltd. | |
| | 1,000,000 | | | Series 2016-21A-DR2 (3 mo. Term SOFR + 3.56%, 3.30% Floor) | | | 8.84%(a) | | | 04/20/2034 | | | 1,005,920 | |
| | 4,000,000 | | | Series 2017-16SA-DR (3 mo. Term SOFR + 3.16%, 2.90% Floor) | | | 8.46%(a) | | | 04/15/2034 | | | 4,010,408 | |
| | 1,000,000 | | | Series 2017-26A-D (3 mo. Term SOFR + 2.91%, 2.65% Floor) | | | 8.19%(a) | | | 10/18/2030 | | | 1,000,050 | |
| | 1,000,000 | | | Series 2020-38A-DR (3 mo. Term SOFR + 3.26%, 3.00% Floor) | | | 8.54%(a) | | | 10/20/2035 | | | 1,002,857 | |
| | | | | Octagon Investment Partners Ltd. | |
| | 4,500,000 | | | Series 2012-1A-CRR (3 mo. Term SOFR + 4.16%, 3.90% Floor) | | | 9.46%(a) | | | 07/15/2029 | | | 4,616,159 | |
| | 500,000 | | | Series 2014-1A-CR3 (3 mo. Term SOFR + 3.01%, 2.75% Floor) | | | 8.13%(a) | | | 02/14/2031 | | | 502,328 | |
| | 1,250,000 | | | Series 2017-1A-D (3 mo. Term SOFR + 6.46%, 0.00% Floor) | | | 11.74%(a) | | | 03/17/2030 | | | 1,191,409 | |
| | 4,000,000 | | | Series 2018-1A-C (3 mo. Term SOFR + 2.86%, 2.60% Floor) | | | 8.14%(a) | | | 01/20/2031 | | | 4,008,127 | |
| | 3,000,000 | | | Series 2018-2A-C (3 mo. Term SOFR + 3.11%, 0.00% Floor) | | | 8.40%(a) | | | 07/25/2030 | | | 3,013,161 | |
| | 500,000 | | | Series 2019-1A-ER (3 mo. Term SOFR + 7.26%, 7.00% Floor) | | | 12.54%(a) | | | 01/20/2035 | | | 469,805 | |
| | 1,000,000 | | | Series 2020-2A-DR (3 mo. Term SOFR + 3.56%, 3.30% Floor) | | | 8.86%(a) | | | 07/15/2036 | | | 983,018 | |
| | | | | Park Avenue Institutional Advisers CLO Ltd. | |
| | 500,000 | | | Series 2021-2A-D (3 mo. Term SOFR + 3.66%, 3.40% Floor) | | | 8.96%(a) | | | 07/15/2034 | | | 503,148 | |
| | | | | RR Ltd./Cayman Islands | |
| | 4,000,000 | | | Series 2018-4A-C (3 mo. Term SOFR + 3.21%, 0.26% Floor) | | | 8.51%(a) | | | 04/15/2030 | | | 4,028,988 | |
| | | | | Sound Point CLO Ltd. | |
| | 2,000,000 | | | Series 2015-2A-DRRR (3 mo. Term SOFR + 4.76%, 4.50% Floor) | | | 10.04%(a) | | | 07/20/2032 | | | 1,930,084 | |
| | 500,000 | | | Series 2017-4A-C (3 mo. Term SOFR + 2.76%, 0.00% Floor) | | | 8.04%(a) | | | 01/21/2031 | | | 491,131 | |
| | 6,000,000 | | | Series 2019-2A-DR (3 mo. Term SOFR + 3.56%, 3.30% Floor) | | | 8.86%(a) | | | 07/15/2034 | | | 5,960,860 | |
| | 1,000,000 | | | Series 2019-3A-DR (3 mo. Term SOFR + 3.76%, 3.76% Floor) | | | 9.05%(a) | | | 10/25/2034 | | | 981,453 | |
| | 1,000,000 | | | Series 2020-1A-DR (3 mo. Term SOFR + 3.61%, 3.61% Floor) | | | 8.89%(a) | | | 07/20/2034 | | | 994,188 | |
| | 5,000,000 | | | Series 2020-2A-DR (3 mo. Term SOFR + 3.61%, 3.35% Floor) | | | 8.90%(a) | | | 10/25/2034 | | | 4,971,311 | |
| | 7,500,000 | | | Series 2021-4A-A (3 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.70%(a) | | | 10/25/2034 | | | 7,503,062 | |
| | 3,375,000 | | | Series 2021-4A-D (3 mo. Term SOFR + 3.66%, 3.66% Floor) | | | 8.95%(a) | | | 10/25/2034 | | | 3,311,257 | |
| | | | | Steele Creek CLO Ltd. | |
| | 5,000,000 | | | Series 2019-2A-BR (3 mo. Term SOFR + 2.11%, 1.85% Floor) | | | 7.41%(a) | | | 07/15/2032 | | | 5,010,078 | |
| | | |
| | | |
110
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Stewart Park CLO | |
| | 3,500,000 | | | Series 2015-1A-DR (3 mo. Term SOFR + 2.86%, 2.60% Floor) | | | 8.16%(a) | | | 01/15/2030 | | | 3,516,318 | |
| | | | | Storm King Park CLO Ltd. | |
| | 4,000,000 | | | Series 2022-1A-AR (3 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.30%(a) | | | 10/15/2037 | | | 4,000,000 | |
| | | | | Symphony CLO Ltd. | |
| | 1,500,000 | | | Series 2015-16A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor) | | | 8.61%(a) | | | 10/15/2031 | | | 1,493,221 | |
| | | | | TIAA CLO Ltd. | |
| | 1,500,000 | | | Series 2017-2A-B (3 mo. Term SOFR + 1.76%, 0.00% Floor) | | | 7.05%(a) | | | 01/16/2031 | | | 1,506,003 | |
| | | | | Trimaran CAVU LLC | |
| | 6,000,000 | | | Series 2019-1A-B (3 mo. Term SOFR + 2.46%, 2.20% Floor) | | | 7.74%(a) | | | 07/20/2032 | | | 6,041,140 | |
| | | | | Upland CLO | |
| | 500,000 | | | Series 2016-1A-CR (3 mo. Term SOFR + 3.16%, 0.00% Floor) | | | 8.44%(a) | | | 04/20/2031 | | | 503,000 | |
| | | | | Vibrant CLO Ltd. | |
| | 500,000 | | | Series 2015-3A-A2RR (3 mo. Term SOFR + 2.11%, 0.26% Floor) | | | 7.39%(a) | | | 10/20/2031 | | | 503,036 | |
| | 2,000,000 | | | Series 2024-4RA-A1A (3 mo. Term SOFR + 1.43%, 1.43% Floor) | | | 0.00%(a) | | | 10/20/2037 | | | 2,000,000 | |
| | | | | Voya CLO Ltd. | |
| | 1,500,000 | | | Series 2017-3A-CR (3 mo. Term SOFR + 3.41%, 0.00% Floor) | | | 8.69%(a) | | | 04/20/2034 | | | 1,507,193 | |
| | | | | Wellfleet CLO Ltd. | |
| | 2,000,000 | | | Series 2019-1A-CR (3 mo. Term SOFR + 3.81%, 3.55% Floor) | | | 9.09%(a) | | | 07/20/2032 | | | 1,971,930 | |
| | 750,000 | | | Series 2021-3A-D (3 mo. Term SOFR + 3.76%, 3.50% Floor) | | | 9.06%(a) | | | 01/15/2035 | | | 747,012 | |
| | | | | Wind River CLO Ltd. | |
| | 2,000,000 | | | Series 2013-2A-E1R (3 mo. Term SOFR + 7.01%, 0.00% Floor) | | | 12.29%(a) | | | 10/18/2030 | | | 1,946,553 | |
| | 2,000,000 | | | Series 2014-1A-DRR (3 mo. Term SOFR + 3.26%, 3.00% Floor) | | | 8.54%(a) | | | 07/18/2031 | | | 1,978,388 | |
| | 4,000,000 | | | Series 2014-2A-DR (3 mo. Term SOFR + 3.16%, 2.90% Floor) | | | 8.46%(a) | | | 01/15/2031 | | | 3,995,980 | |
| | 2,000,000 | | | Series 2014-2A-ER (3 mo. Term SOFR + 6.01%, 5.75% Floor) | | | 11.31%(a) | | | 01/15/2031 | | | 1,590,703 | |
| | 1,500,000 | | | Series 2014-3A-DR2 (3 mo. Term SOFR + 3.66%, 3.40% Floor) | | | 8.94%(a) | | | 10/22/2031 | | | 1,489,079 | |
| | 2,000,000 | | | Series 2017-1A-DR (3 mo. Term SOFR + 3.98%, 3.72% Floor) | | | 9.26%(a) | | | 04/18/2036 | | | 1,984,356 | |
| | 1,750,000 | | | Series 2017-1A-ER (3 mo. Term SOFR + 7.32%, 7.06% Floor) | | | 12.60%(a) | | | 04/18/2036 | | | 1,646,210 | |
| | 1,500,000 | | | Series 2018-1A-D (3 mo. Term SOFR + 3.16%, 0.00% Floor) | | | 8.46%(a) | | | 07/15/2030 | | | 1,499,238 | |
| | 500,000 | | | Series 2021-3A-D (3 mo. Term SOFR + 3.61%, 3.35% Floor) | | | 8.89%(a) | | | 07/20/2033 | | | 494,252 | |
| | 7,500,000 | | | Series 2021-4A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.71%(a) | | | 01/20/2035 | | | 7,501,619 | |
| | 1,000,000 | | | Series 2021-4A-D (3 mo. Term SOFR + 3.46%, 3.20% Floor) | | | 8.74%(a) | | | 01/20/2035 | | | 992,574 | |
| | | | | Total Collateralized Loan Obligations
(Cost $190,630,849) | | | | | | | | | 190,302,459 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS - 5.0%
| |
| | 44,000 | | | 1375209 BC Ltd. | | | 9.00%(a) | | | 01/30/2028 | | | 43,649 | |
| | 1,039,273 | | | Acu Petroleo Luxembourg Sarl | | | 7.50% | | | 01/13/2032 | | | 1,044,043 | |
| | 349,000 | | | Adani Electricity
Mumbai Ltd. | | | 3.95% | | | 02/12/2030 | | | 315,262 | |
| | 1,100,800 | | | Adani International
Container Terminal Pvt Ltd. | | | 3.00% | | | 02/16/2031 | | | 976,575 | |
| | 200,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.00% | | | 07/30/2027 | | | 191,600 | |
| | 200,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.20% | | | 08/04/2027 | | | 193,305 | |
| | 600,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.38% | | | 07/03/2029 | | | 567,690 | |
| | 200,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 3.10% | | | 02/02/2031 | | | 170,393 | |
| | 700,000 | | | Adani Transmission
Step-One Ltd. | | | 4.00% | | | 08/03/2026 | | | 679,441 | |
| | 500,000 | | | Adaro Indonesia PT | | | 4.25% | | | 10/31/2024 | | | 498,878 | |
| | 200,000 | | | Aeropuertos Dominicanos Siglo XXI SA | | | 7.00%(a) | | | 06/30/2034 | | | 209,626 | |
| | 200,000 | | | Agrosuper SA | | | 4.60% | | | 01/20/2032 | | | 184,383 | |
| | 383,332 | | | AI Candelaria Spain SA | | | 7.50% | | | 12/15/2028 | | | 380,405 | |
| | 500,000 | | | AI Candelaria Spain SA | | | 5.75% | | | 06/15/2033 | | | 409,573 | |
| | 500,000 | | | AI Candelaria Spain SA | | | 5.75%(a) | | | 06/15/2033 | | | 409,573 | |
| | 200,000 | | | Altice Financing SA | | | 5.00%(a) | | | 01/15/2028 | | | 169,357 | |
| | 200,000 | | | Altice France Holding SA | | | 6.00%(a) | | | 02/15/2028 | | | 62,482 | |
| | 255,000 | | | Altice France SA | | | 5.50%(a) | | | 10/15/2029 | | | 178,892 | |
| | 200,000 | | | ARD Finance SA
7.25% PIK | | | 6.50%(a) | | | 06/30/2027 | | | 45,288 | |
| | 215,000 | | | Ardonagh Finco Ltd. | | | 7.75%(a) | | | 02/15/2031 | | | 222,434 | |
| | 210,916 | | | Avation Capital SA
9.00% PIK | | | 8.25%(a) | | | 10/31/2026 | | | 196,876 | |
| | 300,000 | | | Banco Continental SAECA | | | 2.75% | | | 12/10/2025 | | | 290,943 | |
| | 600,000 | | | Banco Davivienda SA
(10 yr. CMT Rate +
5.10%) | | | 6.65%(a)(i) | | | 04/22/2031 | | | 514,976 | |
| | 200,000 | | | Banco de Bogota SA | | | 6.25% | | | 05/12/2026 | | | 201,188 | |
| | 600,000 | | | Banco de Credito del Peru
SA (5 yr. CMT Rate +
3.00%) | | | 3.13% | | | 07/01/2030 | | | 586,509 | |
| | 650,000 | | | Banco de Credito del Peru
SA (5 yr. CMT Rate +
2.45%) | | | 3.25% | | | 09/30/2031 | | | 616,883 | |
| | 400,000 | | | Banco del Estado de Chile
(5 yr. CMT Rate +
3.23%) | | | 7.95%(a)(i) | | | 05/02/2029 | | | 429,902 | |
| | 300,000 | | | Banco GNB Sudameris SA
(5 yr. CMT Rate +
6.66%) | | | 7.50% | | | 04/16/2031 | | | 290,540 | |
| | 300,000 | | | Banco Industrial SA/Guatemala
(5 yr. CMT Rate +
4.44%) | | | 4.88% | | | 01/29/2031 | | | 296,064 | |
| | 1,200,000 | | | Banco Internacional del Peru SAA Interbank
(5 yr. CMT Rate +
3.71%) | | | 4.00% | | | 07/08/2030 | | | 1,181,255 | |
| | 600,000 | | | Banco Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate +
5.35%) | | | 7.63%(i) | | | 01/10/2028 | | | 604,879 | |
| | 200,000 | | | Banco Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate +
5.47%) | | | 7.50%(i) | | | 06/27/2029 | | | 201,803 | |
| | 800,000 | | | Bancolombia SA
(5 yr. CMT Rate +
2.94%) | | | 4.63% | | | 12/18/2029 | | | 792,382 | |
| | 500,000 | | | Bancolombia SA
(5 yr. CMT Rate +
4.32%) | | | 8.63% | | | 12/24/2034 | | | 537,138 | |
| | 900,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate +
2.65%) | | | 5.13% | | | 01/18/2033 | | | 856,719 | |
| | 200,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate +
4.31%) | | | 5.88% | | | 09/13/2034 | | | 194,763 | |
| | 96,000 | | | Bombardier, Inc. | | | 7.88%(a) | | | 04/15/2027 | | | 96,329 | |
| | 165,000 | | | Bombardier, Inc. | | | 8.75%(a) | | | 11/15/2030 | | | 181,389 | |
| | 45,000 | | | Bombardier, Inc. | | | 7.00%(a) | | | 06/01/2032 | | | 47,123 | |
| | 200,000 | | | Braskem Idesa SAPI | | | 6.99% | | | 02/20/2032 | | | 157,776 | |
| | 1,000,000 | | | Braskem Netherlands
Finance BV (5 yr. CMT Rate + 8.22%) | | | 8.50% | | | 01/23/2081 | | | 1,001,716 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 111
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 400,000 | | | Buffalo Energy Mexico Holdings / Buffalo
Energy Infrastructure / Buffalo Energy | | | 7.88%(a) | | | 02/15/2039 | | | 426,634 | |
| | 600,000 | | | Canacol Energy Ltd. | | | 5.75% | | | 11/24/2028 | | | 317,872 | |
| | 900,000 | | | CAP SA | | | 3.90% | | | 04/27/2031 | | | 740,250 | |
| | 600,000 | | | CAP SA | | | 3.90%(a) | | | 04/27/2031 | | | 493,500 | |
| | 700,000 | | | Cemex SAB de CV
(5 yr. CMT Rate +
4.53%) | | | 5.13%(i) | | | 06/08/2026 | | | 689,940 | |
| | 500,000 | | | Cencosud SA | | | 4.38% | | | 07/17/2027 | | | 495,284 | |
| | 1,250,442 | | | Chile Electricity PEC SpA | | | 0.00%(a) | | | 01/25/2028 | | | 1,031,614 | |
| | 600,000 | | | Cia de Minas
Buenaventura SAA | | | 5.50% | | | 07/23/2026 | | | 592,509 | |
| | 546,700 | | | Cometa Energia SAB de CV | | | 6.38% | | | 04/24/2035 | | | 555,254 | |
| | 800,000 | | | Cosan Overseas Ltd. | | | 8.25%(i) | | | 11/05/2024 | | | 821,248 | |
| | 700,000 | | | Credicorp Ltd. | | | 2.75% | | | 06/17/2025 | | | 687,119 | |
| | 600,000 | | | Credito Real SAB de CV SOFOM ER (5 yr. CMT
Rate + 7.03%) | | | 9.13%(g)(i) | | | 11/29/2027 | | | 1,800 | |
| | 600,000 | | | CSN Resources SA | | | 5.88% | | | 04/08/2032 | | | 511,682 | |
| | 200,000 | | | CT Trust | | | 5.13% | | | 02/03/2032 | | | 183,498 | |
| | 600,000 | | | DBS Group Holdings Ltd. (5 yr. CMT Rate +
1.10%) | | | 1.82% | | | 03/10/2031 | | | 576,971 | |
| | 180,977 | | | Digicel Group Holdings
Ltd. | | | 0.00%(a)(d) | | | 12/31/2030 | | | 23,182 | |
| | 2,797 | | | Digicel Group Holdings
Ltd. | | | 0.00%(a)(d) | | | 12/31/2030 | | | 2,764 | |
| | 340,696 | | | Digicel Group Holdings
Ltd. | | | 0.00%(a)(d) | | | 12/31/2030 | | | 4,731 | |
| | 477,950 | | | Empresa Electrica
Angamos SA | | | 4.88% | | | 05/25/2029 | | | 432,926 | |
| | 547,440 | | | Empresa Electrica
Cochrane SpA | | | 5.50% | | | 05/14/2027 | | | 534,422 | |
| | 400,000 | | | Empresas Publicas de Medellin ESP | | | 4.38% | | | 02/15/2031 | | | 354,221 | |
| | 600,000 | | | Energuate Trust | | | 5.88% | | | 05/03/2027 | | | 591,573 | |
| | 183,744 | | | Fermaca Enterprises
S de RL de CV | | | 6.38% | | | 03/30/2038 | | | 183,400 | |
| | 343,720 | | | Fideicomiso PA Pacifico
Tres | | | 8.25% | | | 01/15/2035 | | | 344,579 | |
| | 400,000 | | | Freeport Indonesia PT | | | 4.76% | | | 04/14/2027 | | | 403,301 | |
| | 400,000 | | | Freeport Indonesia PT | | | 5.32% | | | 04/14/2032 | | | 406,942 | |
| | 400,000 | | | Frigorifico Concepcion SA | | | 7.70% | | | 07/21/2028 | | | 279,724 | |
| | 230,000 | | | Garda World Security
Corp. | | | 4.63%(a) | | | 02/15/2027 | | | 226,030 | |
| | 180,000 | | | Garda World Security
Corp. | | | 6.00%(a) | | | 06/01/2029 | | | 172,911 | |
| | 220,000 | | | GGAM Finance Ltd. | | | 6.88%(a) | | | 04/15/2029 | | | 229,412 | |
| | 475,000 | | | Global Aircraft Leasing
Co. Ltd. | | | 8.75%(a) | | | 09/01/2027 | | | 482,602 | |
| | 117,680 | | | GNL Quintero SA | | | 4.63% | | | 07/31/2029 | | | 117,181 | |
| | 200,000 | | | Gold Fields Orogen
Holdings BVI Ltd. | | | 6.13% | | | 05/15/2029 | | | 209,997 | |
| | 300,000 | | | Gran Tierra Energy, Inc. | | | 9.50%(a) | | | 10/15/2029 | | | 284,983 | |
| | 250,000 | | | Grifols SA | | | 4.75%(a) | | | 10/15/2028 | | | 234,390 | |
| | 828,150 | | | Guara Norte Sarl | | | 5.20% | | | 06/15/2034 | | | 789,418 | |
| | 149,600 | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru | | | 6.38% | | | 06/01/2028 | | | 150,551 | |
| | 320,000 | | | Husky Injection Molding Systems Ltd. / Titan
Co.-Borrower LLC | | | 9.00%(a) | | | 02/15/2029 | | | 334,324 | |
| | 210,000 | | | INEOS Finance PLC | | | 7.50%(a) | | | 04/15/2029 | | | 219,689 | |
| | 800,000 | | | InRetail Consumer | | | 3.25% | | | 03/22/2028 | | | 750,975 | |
| | 500,000 | | | InRetail Shopping Malls | | | 5.75% | | | 04/03/2028 | | | 503,901 | |
| | 100,000 | | | Intelsat Jackson Holdings
SA | | | 6.50%(a) | | | 03/15/2030 | | | 95,927 | |
| | 600,000 | | | Intercorp Financial
Services, Inc. | | | 4.13% | | | 10/19/2027 | | | 580,243 | |
| | 35,079 | | | Invepar Holdings | | | 0.00%(d)(g) | | | 12/30/2028 | | | — | |
| | 400,000 | | | Itau Unibanco Holding SA/Cayman Island
(5 yr. CMT Rate +
3.22%) | | | 4.63%(i) | | | 02/27/2025 | | | 390,522 | |
| | 684,000 | | | JSW Hydro Energy Ltd. | | | 4.13% | | | 05/18/2031 | | | 625,179 | |
| | 400,000 | | | JSW Infrastructure Ltd. | | | 4.95% | | | 01/21/2029 | | | 389,549 | |
| | 200,000 | | | Kallpa Generacion SA | | | 4.13% | | | 08/16/2027 | | | 196,732 | |
| | 110,000 | | | Kronos Acquisition
Holdings, Inc. | | | 8.25%(a) | | | 06/30/2031 | | | 110,554 | |
| | 1,100,000 | | | KUO SAB De CV | | | 5.75% | | | 07/07/2027 | | | 1,081,942 | |
| | 500,000 | | | LD Celulose International GmbH | | | 7.95%(a) | | | 01/26/2032 | | | 513,437 | |
| | 500,844 | | | Lima Metro Line 2 Finance Ltd. | | | 4.35% | | | 04/05/2036 | | | 469,728 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 800,000 | | | MARB BondCo PLC | | | 3.95% | | | 01/29/2031 | | | 709,818 | |
| | 330,000 | | | Mattamy Group Corp. | | | 4.63%(a) | | | 03/01/2030 | | | 316,215 | |
| | 200,000 | | | Medco Laurel Tree Pte Ltd. | | | 6.95% | | | 11/12/2028 | | | 200,211 | |
| | 900,000 | | | Medco Oak Tree Pte Ltd. | | | 7.38% | | | 05/14/2026 | | | 914,409 | |
| | 200,000 | | | MEGlobal BV | | | 4.25% | | | 11/03/2026 | | | 197,811 | |
| | 600,000 | | | MEGlobal Canada ULC | | | 5.00% | | | 05/18/2025 | | | 599,757 | |
| | 335,000 | | | Merlin Entertainments
Group US Holdings,
Inc. | | | 7.38%(a) | | | 02/15/2031 | | | 336,564 | |
| | 600,000 | | | Mexarrend SAPI de CV | | | 10.25%(a)(g) | | | 07/24/2025 | | | 30,600 | |
| | 423,388 | | | Mexico Generadora de Energia S de RL | | | 5.50% | | | 12/06/2032 | | | 423,143 | |
| | 360,000 | | | Millicom International Cellular SA | | | 6.63% | | | 10/15/2026 | | | 360,333 | |
| | 720,000 | | | Millicom International Cellular SA | | | 6.25% | | | 03/25/2029 | | | 716,726 | |
| | 400,000 | | | Minerva Luxembourg SA | | | 4.38% | | | 03/18/2031 | | | 355,696 | |
| | 400,000 | | | Minerva Luxembourg SA | | | 8.88% | | | 09/13/2033 | | | 436,449 | |
| | 200,000 | | | Minsur SA | | | 4.50% | | | 10/28/2031 | | | 184,401 | |
| | 421,640 | | | Mong Duong Finance Holdings BV | | | 5.13% | | | 05/07/2029 | | | 409,479 | |
| | 400,000 | | | Movida Europe SA | | | 7.85%(a) | | | 04/11/2029 | | | 385,411 | |
| | 867,130 | | | MV24 Capital BV | | | 6.75% | | | 06/01/2034 | | | 848,518 | |
| | 1,100,000 | | | Network i2i Ltd.
(5 yr. CMT Rate +
4.27%) | | | 5.65%(i) | | | 01/15/2025 | | | 1,103,031 | |
| | 200,000 | | | Network i2i Ltd.
(5 yr. CMT Rate +
3.39%) | | | 3.98%(i) | | | 03/03/2026 | | | 194,998 | |
| | 235,000 | | | Ontario Gaming GTA
LP/OTG Co.-Issuer, Inc. | | | 8.00%(a) | | | 08/01/2030 | | | 244,396 | |
| | 452,000 | | | Orazul Energy Peru SA | | | 5.63% | | | 04/28/2027 | | | 445,118 | |
| | 1,200,000 | | | Oversea-Chinese Banking Corp. Ltd. (5 yr. CMT
Rate + 1.58%) | | | 1.83% | | | 09/10/2030 | | | 1,165,831 | |
| | 125,000 | | | Parkland Corp. | | | 4.63%(a) | | | 05/01/2030 | | | 117,968 | |
| | 400,000 | | | Periama Holdings | | | 5.95% | | | 04/19/2026 | | | 399,425 | |
| | 595,661 | | | Prumo Participacoes e Investimentos S/A | | | 7.50% | | | 12/31/2031 | | | 598,598 | |
| | 250,000 | | | Reliance Industries Ltd. | | | 4.13% | | | 01/28/2025 | | | 249,247 | |
| | 500,000 | | | Reliance Industries Ltd. | | | 3.67% | | | 11/30/2027 | | | 489,309 | |
| | 1,000,000 | | | Rutas 2 & 7 Finance Ltd. | | | 0.00% | | | 09/30/2036 | | | 724,851 | |
| | 400,000 | | | SAN Miguel Industrias Pet SA / NG PET R&P Latin America SA | | | 3.50% | | | 08/02/2028 | | | 368,356 | |
| | 155,000 | | | Seaspan Corp. | | | 5.50%(a) | | | 08/01/2029 | | | 147,768 | |
| | 200,000 | | | Simpar Europe SA | | | 5.20% | | | 01/26/2031 | | | 166,123 | |
| | 500,000 | | | Southern Copper Corp. | | | 3.88% | | | 04/23/2025 | | | 496,529 | |
| | 25,000 | | | Telesat Canada / Telesat
LLC | | | 4.88%(a) | | | 06/01/2027 | | | 11,570 | |
| | 200,000 | | | Termocandelaria Power SA | | | 7.75%(a) | | | 09/17/2031 | | | 205,009 | |
| | 175,336 | | | Tierra Mojada
Luxembourg II Sarl | | | 5.75% | | | 12/01/2040 | | | 166,654 | |
| | 200,000 | | | TK Elevator US Newco, Inc. | | | 5.25%(a) | | | 07/15/2027 | | | 197,999 | |
| | 400,000 | | | Unigel Luxembourg SA | | | 8.75%(g) | | | 10/01/2026 | | | 100,560 | |
| | 600,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate +
1.52%) | | | 1.75% | | | 03/16/2031 | | | 575,208 | |
| | 800,000 | | | UPL Corp. Ltd. | | | 4.63% | | | 06/16/2030 | | | 682,600 | |
| | 225,000 | | | Vallourec SACA | | | 7.50%(a) | | | 04/15/2032 | | | 238,955 | |
| | 752,000 | | | Vedanta Resources Ltd. | | | 13.88% | | | 12/09/2028 | | | 771,704 | |
| | 325,000 | | | VZ Secured Financing BV | | | 5.00%(a) | | | 01/15/2032 | | | 299,674 | |
| | 170,000 | | | ZF North America Capital,
Inc. | | | 6.88%(a) | | | 04/23/2032 | | | 170,706 | |
| | | | | Total Foreign Corporate Bonds
(Cost $56,323,480) | | | | | | | | | 54,834,847 | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 1.2%
| |
| | 600,000 | | | Banco do Brasil SA/Cayman (10 yr. CMT Rate +
4.40%) | | | 8.75%(i) | | | 04/15/2025 | | | 609,777 | |
| | 500,000 | | | Banco Nacional de
Comercio Exterior SNC/Cayman Islands (5 yr. CMT
Rate + 2.00%) | | | 2.72% | | | 08/11/2031 | | | 458,058 | |
| | 200,000 | | | Banco Nacional de Panama | | | 2.50% | | | 08/11/2030 | | | 166,227 | |
| | 400,000 | | | Bank Negara Indonesia Persero Tbk PT | | | 3.75% | | | 03/30/2026 | | | 390,455 | |
| | 549,188 | | | Bioceanico Sovereign Certificate Ltd. | | | 0.00% | | | 06/05/2034 | | | 432,522 | |
| | | |
| | | |
112
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | |
| | 400,000 | | | Colombia Government International Bond | | | 3.88% | | | 04/25/2027 | | | 386,425 | |
| | 2,000,000 | | | Colombia Government International Bond | | | 4.13% | | | 05/15/2051 | | | 1,267,342 | |
| | 400,000 | | | Comision Federal de Electricidad | | | 6.45%(a) | | | 01/24/2035 | | | 398,900 | |
| | 1,500,000 | | | Ecopetrol SA | | | 5.88% | | | 11/02/2051 | | | 1,091,357 | |
| | 700,000 | | | FIEMEX Energia - Banco Actinver SA Institucion
de Banca Multiple | | | 7.25%(a) | | | 01/31/2041 | | | 731,115 | |
| | 400,000 | | | Guatemala Government Bond | | | 4.38% | | | 06/05/2027 | | | 391,310 | |
| | 200,000 | | | Guatemala Government Bond | | | 4.88% | | | 02/13/2028 | | | 197,520 | |
| | 200,000 | | | Guatemala Government Bond | | | 5.25% | | | 08/10/2029 | | | 198,424 | |
| | 700,000 | | | Indonesia Asahan
Aluminium PT /
Mineral Industri
Indonesia Persero PT | | | 4.75% | | | 05/15/2025 | | | 698,749 | |
| | 505,751 | | | Lima Metro Line 2
Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 514,161 | |
| | 1,400,000 | | | Mexico Government International Bond | | | 6.34% | | | 05/04/2053 | | | 1,395,422 | |
| | 200,000 | | | OCP SA | | | 4.50% | | | 10/22/2025 | | | 198,386 | |
| | 1,300,000 | | | Panama Government International Bond | | | 3.87% | | | 07/23/2060 | | | 822,184 | |
| | 200,000 | | | Paraguay Government International Bond | | | 4.70% | | | 03/27/2027 | | | 199,900 | |
| | 800,000 | | | Pertamina Persero PT | | | 1.40% | | | 02/09/2026 | | | 766,726 | |
| | 600,000 | | | Petroleos del Peru SA | | | 4.75% | | | 06/19/2032 | | | 474,701 | |
| | 400,000 | | | Petroleos del Peru SA | | | 5.63% | | | 06/19/2047 | | | 274,331 | |
| | 900,000 | | | Petroleos Mexicanos | | | 6.75% | | | 09/21/2047 | | | 645,452 | |
| | 700,000 | | | Republic of South Africa Government
International Bond | | | 4.30% | | | 10/12/2028 | | | 678,987 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $15,018,235) | | | | | | | | | 13,388,431 | |
| | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 9.6%
| |
| | | | | Arbor Multifamily Mortgage Securities Trust | |
| | 10,194,000 | | | Series 2021-MF3-XD | | | 1.29%(a)(j)(k) | | | 10/15/2054 | | | 699,290 | |
| | | | | Arbor Realty Trust, Inc. | |
| | 15,107,077 | | | Series 2020-MF1-XA | | | 1.06%(a)(j)(k) | | | 05/15/2053 | | | 618,253 | |
| | | | | Banc of America Re-Remic Trust | |
| | 1,000,000 | | | Series 2015-200P-D | | | 3.72%(a)(j) | | | 04/14/2033 | | | 972,597 | |
| | | | | BANK | |
| | 8,798,506 | | | Series 2017-BNK5-XA | | | 1.07%(j)(k) | | | 06/15/2060 | | | 185,103 | |
| | 57,875,420 | | | Series 2018-BN11-XA | | | 0.59%(j)(k) | | | 03/15/2061 | | | 863,617 | |
| | | | | BBCMS Trust | |
| | 1,675,000 | | | Series 2019-BWAY-E
(1 mo. Term SOFR + 2.96%, 2.85% Floor) | | | 8.06%(a) | | | 11/15/2034 | | | 16,717 | |
| | 1,104,000 | | | Series 2024-5C29-C | | | 5.51% | | | 09/15/2057 | | | 1,100,810 | |
| | | | | BB-UBS Trust | |
| | 1,081,030 | | | Series 2012-TFT-TE | | | 3.68%(a)(j) | | | 06/05/2030 | | | 940,347 | |
| | | | | BDS Ltd. | |
| | 1,371,571 | | | Series 2021-FL10-A
(1 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.48%(a) | | | 12/16/2036 | | | 1,365,214 | |
| | 1,600,000 | | | Series 2022-FL11-B
(1 mo. Term SOFR + 2.35%, 2.35% Floor) | | | 7.31%(a) | | | 03/19/2039 | | | 1,609,467 | |
| | 1,650,000 | | | Series 2024-FL13-B
(1 mo. Term SOFR + 2.24%, 2.24% Floor) | | | 7.44%(a) | | | 09/19/2039 | | | 1,655,033 | |
| | | | | Benchmark Mortgage Trust | |
| | 56,200,404 | | | Series 2022-B32-XA | | | 0.56%(a)(j)(k) | | | 01/15/2055 | | | 1,037,173 | |
| | 1,627,000 | | | Series 2024-V9-C | | | 6.45%(j) | | | 08/15/2057 | | | 1,644,827 | |
| | | | | Blackstone Mortgage Trust, Inc. | |
| | 1,463,530 | | | Series 2021-FL4-A
(1 mo. Term SOFR + 1.16%, 1.05% Floor) | | | 6.25%(a) | | | 05/15/2038 | | | 1,409,565 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | BLP Commercial Mortgage Trust | |
| | 750,000 | | | Series 2024-IND2-D
(1 mo. Term SOFR + 2.59%, 2.59% Floor) | | | 7.69%(a) | | | 03/15/2041 | | | 741,612 | |
| | | | | BMO Mortgage Trust | |
| | 1,700,000 | | | Series 2024-5C6-C | | | 5.88%(j) | | | 09/15/2057 | | | 1,710,288 | |
| | | | | BPR Trust | |
| | 1,300,000 | | | Series 2021-TY-D
(1 mo. Term SOFR + 2.46%, 2.35% Floor) | | | 7.56%(a) | | | 09/15/2038 | | | 1,272,808 | |
| | | | | BSPRT Co.-Issuer LLC | |
| | 1,500,000 | | | Series 2023-FL10-A
(1 mo. Term SOFR + 2.26%, 2.26% Floor) | | | 7.36%(a) | | | 09/15/2035 | | | 1,512,575 | |
| | 1,500,000 | | | Series 2023-FL10-B
(1 mo. Term SOFR + 3.27%, 3.27% Floor) | | | 8.36%(a) | | | 09/15/2035 | | | 1,515,161 | |
| | | | | BSPRT Issuer LLC | |
| | 785,000 | | | Series 2024-FL11-B
(1 mo. Term SOFR + 2.29%, 2.29% Floor) | | | 7.46%(a) | | | 07/15/2039 | | | 785,000 | |
| | | | | BX Trust | |
| | 1,575,000 | | | Series 2019-CALM-E
(1 mo. Term SOFR + 2.11%, 2.00% Floor) | | | 7.21%(a) | | | 11/15/2032 | | | 1,573,177 | |
| | 900,000 | | | Series 2019-IMC-D
(1 mo. Term SOFR + 1.95%, 1.90% Floor) | | | 7.04%(a) | | | 04/15/2034 | | | 885,846 | |
| | 1,484,812 | | | Series 2021-21M-A
(1 mo. Term SOFR + 0.84%, 0.73% Floor) | | | 5.94%(a) | | | 10/15/2036 | | | 1,475,458 | |
| | 1,020,139 | | | Series 2021-CIP-B
(1 mo. Term SOFR + 1.39%, 1.27% Floor) | | | 6.48%(a) | | | 12/15/2038 | | | 1,012,157 | |
| | 800,000 | | | Series 2024-AIRC-C
(1 mo. Term SOFR + 2.59%, 2.59% Floor) | | | 7.69%(a) | | | 08/15/2039 | | | 804,102 | |
| | | | | CALI Mortgage Trust | |
| | 785,000 | | | Series 2024-SUN-C
(1 mo. Term SOFR + 2.79%, 2.79% Floor) | | | 7.89%(a) | | | 07/15/2041 | | | 788,172 | |
| | | | | Carbon Capital VI Commercial Mortgage Trust | |
| | 1,119,631 | | | Series 2019-FL2-B
(1 mo. Term SOFR + 2.96%, 2.85% Floor) | | | 8.06%(a) | | | 10/15/2035 | | | 580,256 | |
| | | | | CFCRE Commercial Mortgage Trust | |
| | 3,231,388 | | | Series 2016-C4-XA | | | 1.73%(j)(k) | | | 05/10/2058 | | | 53,532 | |
| | | | | Citigroup Commercial Mortgage Trust | |
| | 237,114 | | | Series 2014-GC25-XA | | | 0.77%(j)(k) | | | 10/10/2047 | | | 4 | |
| | 6,185,866 | | | Series 2016-C1-XA | | | 1.98%(j)(k) | | | 05/10/2049 | | | 128,580 | |
| | 2,167,681 | | | Series 2016-P4-XA | | | 2.05%(j)(k) | | | 07/10/2049 | | | 49,906 | |
| | | | | Citigroup/Deutsche Bank Commercial Mortgage Trust | |
| | 8,473,626 | | | Series 2017-CD3-XA | | | 1.10%(j)(k) | | | 02/10/2050 | | | 154,011 | |
| | 1,603,154 | | | Series 2020-C9-A2 | | | 1.90% | | | 08/15/2053 | | | 1,530,304 | |
| | | | | Commercial Mortgage Pass Through Certificates | |
| | 10,047,391 | | | Series 2015-CR25-XA | | | 0.93%(j)(k) | | | 08/10/2048 | | | 39,005 | |
| | 6,356,847 | | | Series 2015-CR27-XA | | | 1.05%(j)(k) | | | 10/10/2048 | | | 34,997 | |
| | 1,227,000 | | | Series 2015-DC1-C | | | 4.42%(j) | | | 02/10/2048 | | | 1,008,068 | |
| | 1,428,880 | | | Series 2015-DC1-XA | | | 1.07%(j)(k) | | | 02/10/2048 | | | 1,440 | |
| | 8,441,055 | | | Series 2015-LC21-XA | | | 0.75%(j)(k) | | | 07/10/2048 | | | 15,277 | |
| | 2,487,889 | | | Series 2016-DC2-XA | | | 1.07%(j)(k) | | | 02/10/2049 | | | 19,459 | |
| | 2,228,000 | | | Series 2018-HCLV-D
(1 mo. Term SOFR + 2.47%, 2.18% Floor) | | | 7.57%(a) | | | 09/15/2033 | | | 1,019,150 | |
| | | | | Computershare Corporate Trust | |
| | 100,000 | | | Series 2015-C27-C | | | 3.89% | | | 02/15/2048 | | | 87,884 | |
| | 400,000 | | | Series 2015-C28-C | | | 4.21%(j) | | | 05/15/2048 | | | 372,765 | |
| | 8,953,488 | | | Series 2015-C30-XA | | | 1.01%(j)(k) | | | 09/15/2058 | | | 39,471 | |
| | 4,739,290 | | | Series 2015-C31-XA | | | 1.10%(j)(k) | | | 11/15/2048 | | | 28,843 | |
| | 1,553,061 | | | Series 2015-NXS1-XA | | | 1.12%(j)(k) | | | 05/15/2048 | | | 999 | |
| | 6,032,472 | | | Series 2015-NXS2-XA | | | 0.72%(j)(k) | | | 07/15/2058 | | | 10,624 | |
| | 1,811,600 | | | Series 2016-C33-XA | | | 1.72%(j)(k) | | | 03/15/2059 | | | 28,087 | |
| | 3,484,160 | | | Series 2016-NXS6-XA | | | 1.74%(j)(k) | | | 11/15/2049 | | | 67,713 | |
| | 13,017,417 | | | Series 2017-C38-XA | | | 1.06%(j)(k) | | | 07/15/2050 | | | 248,791 | |
| | 1,864,187 | | | Series 2017-RC1-XA | | | 1.54%(j)(k) | | | 01/15/2060 | | | 49,426 | |
| | 2,267,000 | | | Series 2018-C47-C | | | 5.08%(j) | | | 09/15/2061 | | | 2,140,119 | |
| | 1,024,000 | | | Series 2019-JWDR-C | | | 3.14%(a)(j) | | | 09/15/2031 | | | 984,897 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 113
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 1,974,822 | | | Series 2014-USA-X1 | | | 0.69%(a)(j)(k) | | | 09/15/2037 | | | 3,130 | |
| | | | | CSAIL Commercial Mortgage Trust | |
| | 1,490,784 | | | Series 2015-C1-XA | | | 0.87%(j)(k) | | | 04/15/2050 | | | 786 | |
| | 38,753,546 | | | Series 2018-CX12-XA | | | 0.70%(j)(k) | | | 08/15/2051 | | | 706,570 | |
| | 31,771,232 | | | Series 2021-C20-XA | | | 1.12%(j)(k) | | | 03/15/2054 | | | 1,491,297 | |
| | 18,269,000 | | | Series 2021-C20-XD | | | 1.58%(a)(j)(k) | | | 03/15/2054 | | | 1,422,572 | |
| | | | | ELP Commercial Mortgage Trust | |
| | 1,426,340 | | | Series 2021-ELP-C
(1 mo. Term SOFR + 1.43%, 1.32% Floor) | | | 6.53%(a) | | | 11/15/2038 | | | 1,421,235 | |
| | | | | Fontainebleau Miami Beach Trust | |
| | 366,900 | | | Series 2019-FBLU-G | | | 4.09%(a)(j) | | | 12/10/2036 | | | 361,932 | |
| | | | | FS Rialto | |
| | 1,000,357 | | | Series 2021-FL3-A
(1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.46%(a) | | | 11/16/2036 | | | 1,000,070 | |
| | 1,450,000 | | | Series 2022-FL4-AS
(30 day avg SOFR US
+ 2.40%, 2.40% Floor) | | | 7.74%(a) | | | 01/19/2039 | | | 1,452,159 | |
| | | | | Granite Point Mortgage Trust, Inc. | |
| | 1,000,000 | | | Series 2021-FL4-B
(1 mo. Term SOFR + 2.06%, 1.95% Floor) | | | 6.98%(a) | | | 12/15/2036 | | | 959,081 | |
| | | | | Great Wolf Trust | |
| | 1,450,000 | | | Series 2024-WOLF-A
(1 mo. Term SOFR + 1.54%, 1.54% Floor) | | | 6.64%(a) | | | 03/15/2039 | | | 1,449,127 | |
| | | | | GS Mortgage Securities Corp. II | |
| | 856,364 | | | Series 2014-GC24-XA | | | 0.61%(j)(k) | | | 09/10/2047 | | | 13 | |
| | 6,706,549 | | | Series 2015-GS1-XA | | | 0.90%(j)(k) | | | 11/10/2048 | | | 38,235 | |
| | 5,211,653 | | | Series 2016-GS2-XA | | | 1.88%(j)(k) | | | 05/10/2049 | | | 91,828 | |
| | 442,000 | | | Series 2018-GS10-WLSD | | | 5.07%(a)(j) | | | 03/10/2033 | | | 39,523 | |
| | 553,000 | | | Series 2018-GS10-WLSE | | | 5.07%(a)(j) | | | 03/10/2033 | | | 45,093 | |
| | 1,509,000 | | | Series 2018-RIVR-E
(1 mo. Term SOFR + 1.85%, 1.80% Floor) | | | 6.94%(a) | | | 07/15/2035 | | | 26,397 | |
| | 850,000 | | | Series 2018-TWR-E
(1 mo. Term SOFR + 2.40%, 2.10% Floor) | | | 7.49%(a) | | | 07/15/2031 | | | 214,200 | |
| | 850,000 | | | Series 2018-TWR-F
(1 mo. Term SOFR + 3.10%, 2.80% Floor) | | | 8.19%(a) | | | 07/15/2031 | | | 116,025 | |
| | 850,000 | | | Series 2018-TWR-G
(1 mo. Term SOFR + 4.22%, 3.93% Floor) | | | 9.32%(a) | | | 07/15/2031 | | | 17,672 | |
| | | | | GSCG Trust | |
| | 2,377,000 | | | Series 2019-600C-E | | | 4.12%(a)(j) | | | 09/06/2034 | | | 193,000 | |
| | | | | HIG RCP LLC | |
| | 2,150,000 | | | Series 2023-FL1-B
(1 mo. Term SOFR + 3.61%, 3.61% Floor) | | | 8.71%(a) | | | 09/19/2038 | | | 2,176,875 | |
| | | | | JP Morgan Chase Commercial Mortgage Securities | |
| | 1,376,000 | | | Series 2014-C20-C | | | 4.68%(j) | | | 07/15/2047 | | | 1,276,150 | |
| | 4,893,950 | | | Series 2016-JP4-XA | | | 0.71%(j)(k) | | | 12/15/2049 | | | 44,458 | |
| | 766,000 | | | Series 2019-UES-C | | | 4.34%(a) | | | 05/05/2032 | | | 643,923 | |
| | 784,000 | | | Series 2019-UES-D | | | 4.60%(a)(j) | | | 05/05/2032 | | | 666,293 | |
| | 915,000 | | | Series 2019-UES-E | | | 4.60%(a)(j) | | | 05/05/2032 | | | 775,132 | |
| | 960,000 | | | Series 2019-UES-F | | | 4.60%(a)(j) | | | 05/05/2032 | | | 819,569 | |
| | 1,049,000 | | | Series 2019-UES-G | | | 4.60%(a)(j) | | | 05/05/2032 | | | 896,211 | |
| | | | | JPMBB Commercial Mortgage Securities Trust | |
| | 2,214,382 | | | Series 2014-C21-C | | | 4.72%(j) | | | 08/15/2047 | | | 2,175,679 | |
| | 100,000 | | | Series 2014-C23-C | | | 4.71%(j) | | | 09/15/2047 | | | 96,861 | |
| | 1,115,000 | | | Series 2015-C29-C | | | 4.33%(j) | | | 05/15/2048 | | | 977,845 | |
| | 2,879,679 | | | Series 2015-C29-XA | | | 0.67%(j)(k) | | | 05/15/2048 | | | 5,924 | |
| | 3,773,077 | | | Series 2015-C31-XA | | | 0.95%(j)(k) | | | 08/15/2048 | | | 16,371 | |
| | 470,000 | | | Series 2015-C33-C | | | 4.79%(j) | | | 12/15/2048 | | | 421,712 | |
| | | | | KREF | |
| | 1,776,399 | | | Series 2021-FL2-A
(1 mo. Term SOFR + 1.18%, 1.07% Floor) | | | 6.27%(a) | | | 02/15/2039 | | | 1,768,194 | |
| | 1,350,000 | | | Series 2021-FL2-B
(1 mo. Term SOFR + 1.76%, 1.65% Floor) | | | 6.85%(a) | | | 02/15/2039 | | | 1,311,135 | |
| | 1,700,000 | | | Series 2022-FL3-A
(1 mo. Term SOFR + 1.45%, 1.45% Floor) | | | 6.41%(a) | | | 02/17/2039 | | | 1,698,790 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Ladder Capital Commercial Mortgage Securities LLC | |
| | 2,532,000 | | | Series 2017-LC26-C | | | 4.71%(a) | | | 07/12/2050 | | | 2,307,279 | |
| | | | | LFT CRE Ltd. | |
| | 1,470,000 | | | Series 2021-FL1-B
(1 mo. Term SOFR + 1.86%, 1.86% Floor) | | | 6.96%(a) | | | 06/15/2039 | | | 1,447,844 | |
| | | | | LoanCore | |
| | 1,236,500 | | | Series 2021-CRE6-AS
(1 mo. Term SOFR + 1.76%, 1.65% Floor) | | | 6.86%(a) | | | 11/15/2038 | | | 1,221,406 | |
| | | | | LSTAR Commercial Mortgage Trust | |
| | 2,315,857 | | | Series 2016-4-XA | | | 1.83%(a)(j)(k) | | | 03/10/2049 | | | 27,966 | |
| | 11,265,264 | | | Series 2017-5-X | | | 0.99%(a)(j)(k) | | | 03/10/2050 | | | 164,263 | |
| | | | | Lument Finance Trust, Inc. | |
| | 1,379,485 | | | Series 2021-FL1-A
(1 mo. Term SOFR + 1.28%, 1.28% Floor) | | | 6.38%(a) | | | 06/15/2039 | | | 1,382,048 | |
| | | | | Merit 2020 | |
| | 670,000 | | | Series 2021-STOR-C
(1 mo. Term SOFR + 1.16%, 1.05% Floor) | | | 6.26%(a) | | | 07/15/2038 | | | 662,973 | |
| | | | | MF1 Multifamily Housing Mortgage Loan Trust | |
| | 1,487,000 | | | Series 2021-FL7-B
(1 mo. Term SOFR + 1.86%, 1.75% Floor) | | | 6.88%(a) | | | 10/16/2036 | | | 1,458,087 | |
| | 1,950,000 | | | Series 2021-FL7-C
(1 mo. Term SOFR + 2.16%, 2.05% Floor) | | | 7.18%(a) | | | 10/16/2036 | | | 1,897,264 | |
| | 1,500,000 | | | Series 2023-FL12-C
(1 mo. Term SOFR + 3.78%, 3.78% Floor) | | | 8.74%(a) | | | 10/19/2038 | | | 1,509,749 | |
| | 1,380,000 | | | Series 2024-FL14-A
(1 mo. Term SOFR + 1.74%, 1.74% Floor) | | | 6.70%(a) | | | 03/19/2039 | | | 1,384,722 | |
| | 1,500,000 | | | Series 2024-FL15-B
(1 mo. Term SOFR + 2.49%, 2.49% Floor) | | | 7.51%(a) | | | 08/18/2041 | | | 1,502,303 | |
| | | | | MFT Trust | |
| | 2,538,000 | | | Series 2020-ABC-D | | | 3.59%(a)(j) | | | 02/10/2042 | | | 1,231,418 | |
| | | | | Morgan Stanley Bank of America Merrill Lynch Trust | |
| | 100,000 | | | Series 2014-C18-C | | | 4.83%(j) | | | 10/15/2047 | | | 97,296 | |
| | 274,000 | | | Series 2015-C27-C | | | 4.63%(j) | | | 12/15/2047 | | | 261,744 | |
| | | | | Morgan Stanley Capital I, Inc. | |
| | 2,489,000 | | | Series 2019-NUGS-F
(1 mo. Term SOFR + 2.96%, 4.34% Floor) | | | 8.06%(a) | | | 12/15/2036 | | | 39,202 | |
| | | | | Natixis Commercial Mortgage Securities Trust | |
| | 1,919,000 | | | Series 2018-FL1-C
(Prime Rate + 0.00%, 0.00% Floor) | | | 8.50%(a) | | | 06/15/2035 | | | 853,493 | |
| | 685,000 | | | Series 2020-2PAC-AMZ2 | | | 3.62%(a)(j) | | | 01/15/2037 | | | 442,947 | |
| | 639,000 | | | Series 2020-2PAC-AMZ3 | | | 3.62%(a)(j) | | | 01/15/2037 | | | 349,349 | |
| | | | | One New York Plaza Trust | |
| | 1,500,000 | | | Series 2020-1NYP-C
(1 mo. Term SOFR + 2.31%, 2.20% Floor) | | | 7.41%(a) | | | 01/15/2036 | | | 1,397,719 | |
| | | | | PFP III Ltd. | |
| | 920,000 | | | Series 2021-8-C
(1 mo. Term SOFR + 1.91%, 1.80% Floor) | | | 7.01%(a) | | | 08/09/2037 | | | 921,857 | |
| | 1,000,000 | | | Series 2024-11-B
(1 mo. Term SOFR + 2.49%, 2.49% Floor) | | | 7.57%(a) | | | 09/17/2039 | | | 1,001,746 | |
| | | | | Ready Capital Corp. | |
| | 700,000 | | | Series 2021-FL5-D
(1 mo. Term SOFR + 3.11%, 3.00% Floor) | | | 7.97%(a) | | | 04/25/2038 | | | 703,074 | |
| | 1,750,000 | | | Series 2021-FL6-D
(1 mo. Term SOFR + 2.51%, 2.40% Floor) | | | 7.37%(a) | | | 07/25/2036 | | | 1,727,866 | |
| | 1,000,000 | | | Series 2021-FL7-E
(1 mo. Term SOFR + 3.51%, 3.40% Floor) | | | 8.37%(a) | | | 11/25/2036 | | | 980,143 | |
| | 1,279,147 | | | Series 2022-FL10-A
(1 mo. Term SOFR + 2.55%, 2.55% Floor) | | | 7.41%(a) | | | 10/25/2039 | | | 1,286,875 | |
| | | |
| | | |
114
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | | |
| | 980,000 | | | Series 2023-FL12-AS
(1 mo. Term SOFR + 3.20%, 3.20% Floor) | | | 8.05%(a) | | | 05/25/2038 | | | 989,120 | |
| | | | | Rialto Real Estate Fund LP | |
| | 1,480,000 | | | Series 2022-FL8-A
(1 mo. Term SOFR + 2.25%, 2.25% Floor) | | | 7.35%(a) | | | 01/19/2037 | | | 1,485,119 | |
| | | | | RLGH Trust | |
| | 1,650,000 | | | Series 2021-TROT-D
(1 mo. Term SOFR + 1.83%, 1.71% Floor) | | | 6.92%(a) | | | 04/15/2036 | | | 1,627,323 | |
| | | | | Soho Trust | |
| | 2,874,000 | | | Series 2021-SOHO-B | | | 2.79%(a)(j) | | | 08/10/2038 | | | 1,634,729 | |
| | | | | Starwood Property Mortgage Trust | |
| | 1,976,728 | | | Series 2022-FL3-A (30 day avg SOFR US + 1.35%, 1.35% Floor) | | | 6.69%(a) | | | 11/15/2038 | | | 1,962,686 | |
| | | | | TPG Real Estate Finance Issuer Ltd. | |
| | 1,160,000 | | | Series 2021-FL4-B
(1 mo. Term SOFR + 1.96%, 1.85% Floor) | | | 7.05%(a) | | | 03/15/2038 | | | 1,149,273 | |
| | 1,500,000 | | | Series 2022-FL5-AS
(1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.23%(a) | | | 02/15/2039 | | | 1,491,555 | |
| | | | | UBS Commercial Mortgage Trust | |
| | 1,097,000 | | | Series 2018-C8-C | | | 4.84%(j) | | | 02/15/2051 | | | 972,675 | |
| | 12,556,389 | | | Series 2018-C8-XA | | | 0.96%(j)(k) | | | 02/15/2051 | | | 294,526 | |
| | | | | VMC Finance LLC | |
| | 1,321,442 | | | Series 2019-FL3-D
(1 mo. Term SOFR + 2.76%, 2.65% Floor) | | | 7.85%(a) | | | 09/15/2036 | | | 1,299,922 | |
| | 1,600,000 | | | Series 2022-FL5-AS
(30 day avg SOFR US + 2.40%, 2.40% Floor) | | | 7.74%(a) | | | 02/18/2039 | | | 1,610,723 | |
| | | | | WF-RBS Commercial Mortgage Trust | |
| | 113,251 | | | Series 2014-C21-XA | | | 0.70%(j)(k) | | | 08/15/2047 | | | 1 | |
| | | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $135,074,489) | | | | | | | | | 104,487,329 | |
| | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 16.0%
| |
| | | | | ACE Securities Corp. | |
| | 2,609,156 | | | Series 2007-HE1-A2A
(1 mo. Term SOFR + 0.29%, 0.18% Floor) | | | 5.15% | | | 01/25/2037 | | | 1,580,165 | |
| | 1,059,039 | | | Series 2007-HE1-A2D
(1 mo. Term SOFR + 0.61%, 0.50% Floor) | | | 5.47% | | | 01/25/2037 | | | 641,331 | |
| | | | | AMSR Trust | |
| | 1,000,000 | | | Series 2020-SFR4-E1 | | | 2.21%(a) | | | 11/17/2037 | | | 967,468 | |
| | 5,122,000 | | | Series 2021-SFR3-G | | | 3.80%(a) | | | 10/17/2038 | | | 4,775,954 | |
| | | | | APS Resecuritization Trust | |
| | 7,259,677 | | | Series 2015-3-1MZ (12 Month US Treasury Average + 0.96%,
0.96% Floor) | | | 3.69%(a) | | | 10/27/2046 | | | 6,400,760 | |
| | | | | Asset Backed Securities Corp. Home Equity | |
| | 1,534,767 | | | Series 2007-HE2-A4
(1 mo. Term SOFR + 0.34%, 0.23% Floor) | | | 5.20% | | | 05/25/2037 | | | 1,094,857 | |
| | | | | Bear Stearns Adjustable Rate Mortgage Trust | |
| | 853,325 | | | Series 2006-2-2A1 | | | 4.45%(j) | | | 07/25/2036 | | | 735,281 | |
| | | | | Bear Stearns Alt-A Trust | |
| | 657,803 | | | Series 2006-4-22A1 | | | 4.39%(j) | | | 08/25/2036 | | | 480,061 | |
| | | | | Chase Mortgage Finance Corp. | |
| | 1,954,389 | | | Series 2007-S4-A4
(1 mo. Term SOFR + 0.71%, 0.60% Floor,
6.00% Cap) | | | 5.57% | | | 06/25/2037 | | | 622,424 | |
| | | | | Citimortgage Alternative Loan Trust | |
| | 542,706 | | | Series 2007-A5-1A10 | | | 5.75% | | | 05/25/2037 | | | 498,962 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Connecticut Avenue Securities Trust | |
| | 13,200,000 | | | Series 2024-R05-2M2
(30 day avg SOFR US + 1.70%, 1.90% Floor) | | | 6.98%(a) | | | 07/25/2044 | | | 13,247,016 | |
| | | | | Countrywide Alternative Loan Trust | |
| | 217,461 | | | Series 2005-75CB-A3 | | | 5.50% | | | 01/25/2036 | | | 152,005 | |
| | 525,675 | | | Series 2006-23CB-2A2 | | | 6.50% | | | 08/25/2036 | | | 174,207 | |
| | 3,245,862 | | | Series 2006-6CB-2A10 | | | 6.00% | | | 05/25/2036 | | | 1,311,418 | |
| | 1,838,224 | | | Series 2006-OA6-1A1A (1 mo. Term SOFR + 0.53%, 0.42% Floor) | | | 5.39% | | | 07/25/2046 | | | 1,628,239 | |
| | 282,713 | | | Series 2007-15CB-A7 | | | 6.00% | | | 07/25/2037 | | | 170,013 | |
| | 471,592 | | | Series 2008-1R-2A3 | | | 6.00% | | | 08/25/2037 | | | 240,613 | |
| | | | | Countrywide Home Loan Mortgage Pass Through Trust | |
| | 103,825 | | | Series 2005-HYB9-3A2A (12 mo. Term SOFR + 2.47%, 1.75% Floor, 11.00% Cap) | | | 6.66% | | | 02/20/2036 | | | 88,888 | |
| | 248,078 | | | Series 2007-14-A15 | | | 6.50% | | | 09/25/2037 | | | 146,016 | |
| | 4,858,100 | | | Series 2007-14-A19 | | | 6.00% | | | 09/25/2037 | | | 2,650,483 | |
| | 303,948 | | | Series 2007-HY1-1A1 | | | 4.45%(j) | | | 04/25/2037 | | | 281,408 | |
| | | | | Credit Suisse First Boston Mortgage Securities Corp. | |
| | 355,655 | | | Series 2005-10-6A9 | | | 5.50% | | | 11/25/2035 | | | 120,051 | |
| | 157,085 | | | Series 2005-9-5A9 | | | 5.50% | | | 10/25/2035 | | | 81,995 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 392,425 | | | Series 2011-12R-3A5 | | | 6.05%(a)(j) | | | 07/27/2036 | | | 390,167 | |
| | 7,700,000 | | | Series 2020-RPL6-A2 | | | 3.44%(a)(j) | | | 03/25/2059 | | | 7,484,461 | |
| | 1,500,000 | | | Series 2021-NQM6-B1 | | | 3.29%(a)(j) | | | 07/25/2066 | | | 1,097,847 | |
| | | | | CSAB Mortgage Backed Trust | |
| | 262,541 | | | Series 2006-2-A5A | | | 6.58%(e) | | | 09/25/2036 | | | 78,794 | |
| | | | | DB US Financial Markets Holding Corp. | |
| | 95,227 | | | Series 2014-RS1-1A2 | | | 6.50%(a)(j) | | | 07/27/2037 | | | 80,676 | |
| | | | | Deutsche ALT-A Securities, Inc. | |
| | 163,532 | | | Series 2006-AB4-A1A | | | 6.01%(j) | | | 10/25/2036 | | | 142,345 | |
| | | | | Fannie Mae Connecticut Avenue Securities | |
| | 6,200,000 | | | Series 2024-R01-1M2
(30 day avg SOFR US + 1.80%, 1.80% Floor) | | | 7.08%(a) | | | 01/25/2044 | | | 6,278,991 | |
| | | | | FirstKey Homes Trust | |
| | 6,452,000 | | | Series 2021-SFR1-F1 | | | 3.24%(a) | | | 08/17/2038 | | | 6,083,898 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | |
| | 4,300,000 | | | Series 2024-DNA1-M2
(30 day avg SOFR US + 1.95%, 0.00% Floor) | | | 7.23%(a) | | | 02/25/2044 | | | 4,331,836 | |
| | | | | Freedom Mortgage Parent LLC | |
| | 8,000,000 | | | Series 2021-GT1-A | | | 3.62%(a)(j) | | | 07/25/2026 | | | 7,498,626 | |
| | | | | GCAT | |
| | 500,000 | | | Series 2019-NQM3-B1 | | | 3.95%(a)(j) | | | 11/25/2059 | | | 435,144 | |
| | | | | Home Partners of America Trust | |
| | 6,410,959 | | | Series 2019-2-F | | | 3.87%(a) | | | 10/19/2039 | | | 5,968,609 | |
| | | | | Impac Secured Assets CMN Owner Trust | |
| | 663,131 | | | Series 2006-5-1A1C
(1 mo. Term SOFR + 0.65%, 0.54% Floor, 11.50% Cap) | | | 5.51% | | | 02/25/2037 | | | 591,862 | |
| | | | | JP Morgan Mortgage Trust | |
| | 401,308 | | | Series 2005-S3-1A2 | | | 5.75% | | | 01/25/2036 | | | 180,670 | |
| | 287,536 | | | Series 2007-A2-4A1M | | | 4.53%(j) | | | 04/25/2037 | | | 233,047 | |
| | | | | Legacy Mortgage Asset Trust | |
| | 3,453,607 | | | Series 2021-GS1-A2 | | | 6.84%(a)(e) | | | 10/25/2066 | | | 3,456,465 | |
| | | | | Lehman Mortgage Trust | |
| | 104,857 | | | Series 2006-1-1A3 | | | 5.50% | | | 02/25/2036 | | | 51,030 | |
| | | | | LoanDepot GMSR Master Trust | |
| | 3,000,000 | | | Series 2018-GT1-A
(1 mo. Term SOFR + 3.66%, 2.80% Floor) | | | 8.76%(a) | | | 10/16/2025 | | | 2,969,251 | |
| | | | | Mastr Adjustable Rate Mortgages Trust | |
| | 67,831 | | | Series 2006-2-2A1 | | | 6.75%(j) | | | 04/25/2036 | | | 34,430 | |
| | | | | Merrill Lynch Alternative Note Asset | |
| | 258,060 | | | Series 2007-F1-2A7 | | | 6.00% | | | 03/25/2037 | | | 92,976 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 115
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Merrill Lynch Mortgage Investors, Inc. | |
| | 538,934 | | | Series 2006-AF1-AF2C | | | 6.25% | | | 08/25/2036 | | | 218,542 | |
| | | | | Morgan Stanley Mortgage Loan Trust | |
| | 4,421,996 | | | Series 2005-7-3A1 | | | 4.64%(j) | | | 11/25/2035 | | | 2,549,009 | |
| | 70,429 | | | Series 2005-7-4A1 | | | 5.50% | | | 11/25/2035 | | | 43,502 | |
| | 277,805 | | | Series 2006-2-7A1 | | | 5.47%(j) | | | 02/25/2036 | | | 162,938 | |
| | 424,759 | | | Series 2007-8XS-A1 | | | 5.75%(j) | | | 04/25/2037 | | | 210,137 | |
| | | | | Morgan Stanley Resecuritization Trust | |
| | 6,899,729 | | | Series 2013-R7-8B
(12 Month US Treasury Average + 0.96%, 0.96% Floor) | | | 6.12%(a) | | | 12/26/2046 | | | 6,616,391 | |
| | | | | New Century Home Equity Loan Trust | |
| | 989,180 | | | Series 2006-1-A2B
(1 mo. Term SOFR + 0.47%, 0.36% Floor, 12.50% Cap) | | | 5.33% | | | 05/25/2036 | | | 987,370 | |
| | | | | Novastar Home Equity Loan | |
| | 9,532,781 | | | Series 2006-3-A2C
(1 mo. Term SOFR + 0.43%, 0.32% Floor, 11.00% Cap) | | | 5.29% | | | 10/25/2036 | | | 4,150,753 | |
| | | | | PennyMac Mortgage Investment Trust | |
| | 343,341 | | | Series 2019-3R-A
(30 day avg SOFR US + 3.81%, 2.70% Floor) | | | 9.06%(a) | | | 11/27/2031 | | | 344,727 | |
| | 500,000 | | | Series 2021-FT1-A
(1 mo. Term SOFR + 3.11%, 3.12% Floor) | | | 7.97%(a) | | | 03/25/2026 | | | 502,545 | |
| | | | | Progress Residential Trust | |
| | 1,100,000 | | | Series 2021-SFR1-G | | | 3.86%(a) | | | 04/17/2038 | | | 1,058,587 | |
| | 7,500,000 | | | Series 2021-SFR2-F | | | 3.40%(a) | | | 04/19/2038 | | | 7,284,877 | |
| | 8,100,000 | | | Series 2021-SFR3-F | | | 3.44%(a) | | | 05/17/2026 | | | 7,760,103 | |
| | 6,000,000 | | | Series 2024-SFR3-E1 | | | 4.00%(a) | | | 06/17/2041 | | | 5,569,086 | |
| | | | | RALI Trust | |
| | 249,367 | | | Series 2006-QS12-2A3 | | | 6.00% | | | 09/25/2036 | | | 197,724 | |
| | | | | Residential Asset Securitization Trust | |
| | 1,488,931 | | | Series 2005-A15-5A2 | | | 5.75% | | | 02/25/2036 | | | 542,643 | |
| | 344,496 | | | Series 2006-A2-A11 | | | 6.00% | | | 01/25/2046 | | | 136,265 | |
| | | | | RESIDENTIAL MORTGAGE LOAN TRUST | |
| | 5,750,000 | | | Series 2020-1-B1 | | | 3.95%(a)(j) | | | 01/26/2060 | | | 5,491,824 | |
| | | | | RFMSI Trust | |
| | 2,455,203 | | | Series 2006-S8-A10 | | | 6.00% | | | 09/25/2036 | | | 1,955,229 | |
| | | | | Soundview Home Equity Loan Trust | |
| | 4,266,321 | | | Series 2007-OPT1-2A2 (1 mo. Term SOFR + 0.26%, 0.15% Floor) | | | 5.12% | | | 06/25/2037 | | | 2,881,559 | |
| | | | | Starwood Mortgage Residential Trust | |
| | 1,116,000 | | | Series 2019-INV1-B1 | | | 3.66%(a)(j) | | | 09/27/2049 | | | 1,044,324 | |
| | | | | Structured Adjustable Rate Mortgage Loan Trust | |
| | 503,644 | | | Series 2005-22-4A1 | | | 5.33%(j) | | | 12/25/2035 | | | 467,282 | |
| | | | | Structured Asset Securities Corp. | |
| | 6,867,363 | | | Series 2007-OSI-A4
(1 mo. Term SOFR + 0.31%, 0.20% Floor) | | | 5.17% | | | 06/25/2037 | | | 4,505,814 | |
| | 4,836,422 | | | Series 2007-RF1-1A (1 mo. Term SOFR + 0.30%, 0.19% Floor) | | | 5.16%(a) | | | 03/25/2037 | | | 3,902,808 | |
| | | | | TBW Mortgage Backed Pass Through Certificates | |
| | 13,364,607 | | | Series 2006-3-4A1
(1 mo. Term SOFR + 0.51%, 0.40% Floor,
7.50% Cap) | | | 5.37% | | | 07/25/2036 | | | 1,117,599 | |
| | 13,364,694 | | | Series 2006-3-4A3 (-1 x 1 mo. Term SOFR + 6.99%, 0.00% Floor, 7.10% Cap) | | | 2.13%(k)(l) | | | 07/25/2036 | | | 718,705 | |
| | | | | Tricon American Homes Trust | |
| | 5,000,000 | | | Series 2019-SFR1-F | | | 3.75%(a) | | | 03/17/2038 | | | 4,872,772 | |
| | | | | Velocity Commercial Capital Loan Trust | |
| | 1,163,189 | | | Series 2018-2-M2 | | | 4.51%(a)(j) | | | 10/26/2048 | | | 1,077,928 | |
| | 296,415 | | | Series 2018-2-M3 | | | 4.72%(a)(j) | | | 10/26/2048 | | | 266,159 | |
| | 1,010,284 | | | Series 2019-1-M5 | | | 5.70%(a)(j) | | | 03/25/2049 | | | 886,755 | |
| | 1,249,346 | | | Series 2019-2-M4 | | | 3.99%(a)(j) | | | 07/25/2049 | | | 1,030,008 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Verus Securitization Trust | |
| | 3,100,000 | | | Series 2019-INV3-B1 | | | 3.73%(a)(j) | | | 11/25/2059 | | | 2,875,511 | |
| | 2,600,000 | | | Series 2021-3-B1 | | | 3.20%(a)(j) | | | 06/25/2066 | | | 1,953,354 | |
| | 5,000,000 | | | Series 2021-7-B1 | | | 4.14%(a)(j) | | | 10/25/2066 | | | 4,042,229 | |
| | 3,000,000 | | | Series 2021-R2-B1 | | | 3.25%(a)(j) | | | 02/25/2064 | | | 2,357,523 | |
| | 4,750,000 | | | Series 2024-6-M1 | | | 6.18%(a)(j) | | | 07/25/2069 | | | 4,834,097 | |
| | | | | WaMu Mortgage Pass Through Certificates | |
| | 694,733 | | | Series 2007-HY6-2A2 | | | 4.16%(j) | | | 06/25/2037 | | | 604,209 | |
| | | | | Washington Mutual Alternative Mortgage Pass-Through Certificates | |
| | 455,030 | | | Series 2006-2-4CB | | | 6.00% | | | 03/25/2036 | | | 444,974 | |
| | | | | Wells Fargo Alternative Loan Trust | |
| | 221,159 | | | Series 2007-PA5-1A1 | | | 6.25% | | | 11/25/2037 | | | 196,099 | |
| | | | | Wells Fargo Home Equity Trust | |
| | 4,534,286 | | | Series 2007-2-A4
(1 mo. Term SOFR + 0.71%, 0.60% Floor) | | | 5.57% | | | 04/25/2037 | | | 3,288,469 | |
| | | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $202,578,868) | | | | | | | | | 174,721,170 | |
| | | |
| | US CORPORATE BONDS - 4.1%
| |
| | 215,000 | | | AAR Escrow Issuer LLC | | | 6.75%(a) | | | 03/15/2029 | | | 223,791 | |
| | 425,000 | | | Academy Ltd. | | | 6.00%(a) | | | 11/15/2027 | | | 426,465 | |
| | 75,000 | | | Acrisure LLC / Acrisure Finance, Inc. | | | 6.00%(a) | | | 08/01/2029 | | | 72,403 | |
| | 275,000 | | | Acuris Finance US, Inc. / Acuris Finance SARL | | | 5.00%(a) | | | 05/01/2028 | | | 252,107 | |
| | 90,000 | | | Acushnet Co. | | | 7.38%(a) | | | 10/15/2028 | | | 94,963 | |
| | 110,000 | | | AdaptHealth LLC | | | 5.13%(a) | | | 03/01/2030 | | | 103,052 | |
| | 450,000 | | | Advanced Drainage
Systems, Inc. | | | 6.38%(a) | | | 06/15/2030 | | | 460,098 | |
| | 240,000 | | | Aethon United BR LP / Aethon United Finance Corp. | | | 7.50%(a) | | | 10/01/2029 | | | 243,350 | |
| | 215,000 | | | Alliant Holdings
Intermediate LLC /
Alliant Holdings Co.-Issuer | | | 6.75%(a) | | | 10/15/2027 | | | 214,365 | |
| | 245,000 | | | Alliant Holdings
Intermediate LLC /
Alliant Holdings Co.-Issuer | | | 6.50%(a) | | | 10/01/2031 | | | 247,875 | |
| | 280,000 | | | Allied Universal Holdco LLC | | | 7.88%(a) | | | 02/15/2031 | | | 286,257 | |
| | 200,000 | | | Allied Universal Holdco
LLC / Allied Universal Finance Corp. | | | 6.00%(a) | | | 06/01/2029 | | | 178,926 | |
| | 60,000 | | | AMC Entertainment
Holdings, Inc. | | | 7.50%(a) | | | 02/15/2029 | | | 47,296 | |
| | 140,000 | | | Amentum Escrow Corp. | | | 7.25%(a) | | | 08/01/2032 | | | 146,237 | |
| | 240,000 | | | American Airlines, Inc. | | | 7.25%(a) | | | 02/15/2028 | | | 245,884 | |
| | 205,000 | | | American Airlines, Inc. | | | 8.50%(a) | | | 05/15/2029 | | | 217,636 | |
| | 100,000 | | | American Axle & Manufacturing, Inc. | | | 5.00% | | | 10/01/2029 | | | 91,908 | |
| | 185,000 | | | AmWINS Group, Inc. | | | 4.88%(a) | | | 06/30/2029 | | | 177,545 | |
| | 110,000 | | | Anywhere Real Estate
Group LLC / Anywhere Co.-Issuer Corp. | | | 7.00%(a) | | | 04/15/2030 | | | 102,290 | |
| | 40,000 | | | Anywhere Real Estate
Group LLC / Realogy
Co.-Issuer Corp. | | | 5.25%(a) | | | 04/15/2030 | | | 31,936 | |
| | 230,000 | | | Archrock Partners LP / Archrock Partners
Finance Corp. | | | 6.63%(a) | | | 09/01/2032 | | | 236,025 | |
| | 90,000 | | | Arcosa, Inc. | | | 6.88%(a) | | | 08/15/2032 | | | 94,266 | |
| | 60,000 | | | Arsenal AIC Parent LLC | | | 8.00%(a) | | | 10/01/2030 | | | 64,460 | |
| | 75,000 | | | Artera Services LLC | | | 8.50%(a) | | | 02/15/2031 | | | 74,318 | |
| | 130,000 | | | Ashton Woods USA LLC / Ashton Woods
Finance Co. | | | 4.63%(a) | | | 04/01/2030 | | | 124,659 | |
| | 170,000 | | | AssuredPartners, Inc. | | | 5.63%(a) | | | 01/15/2029 | | | 163,808 | |
| | 165,000 | | | AthenaHealth Group, Inc. | | | 6.50%(a) | | | 02/15/2030 | | | 158,628 | |
| | 50,000 | | | Avient Corp. | | | 6.25%(a) | | | 11/01/2031 | | | 51,296 | |
| | 230,000 | | | Bausch + Lomb Corp. | | | 8.38%(a) | | | 10/01/2028 | | | 243,513 | |
| | 75,000 | | | Bausch Health Americas,
Inc. | | | 8.50%(a) | | | 01/31/2027 | | | 61,492 | |
| | 175,000 | | | Bausch Health Cos., Inc. | | | 4.88%(a) | | | 06/01/2028 | | | 137,112 | |
| | 50,000 | | | Bausch Health Cos., Inc. | | | 5.25%(a) | | | 01/30/2030 | | | 28,044 | |
| | 15,000 | | | Bausch Health Cos., Inc. | | | 14.00%(a) | | | 10/15/2030 | | | 13,712 | |
| | 250,000 | | | BCPE Empire Holdings, Inc. | | | 7.63%(a) | | | 05/01/2027 | | | 251,048 | |
| | 180,000 | | | Beacon Roofing Supply, Inc. | | | 6.50%(a) | | | 08/01/2030 | | | 186,469 | |
| | | | | | | | | | | | | | | |
116
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 220,000 | | | Blue Racer Midstream
LLC / Blue Racer
Finance Corp. | | | 7.25%(a) | | | 07/15/2032 | | | 231,053 | |
| | 115,000 | | | Brand Industrial Services,
Inc. | | | 10.38%(a) | | | 08/01/2030 | | | 123,292 | |
| | 315,000 | | | Buckeye Partners LP | | | 6.88%(a) | | | 07/01/2029 | | | 323,007 | |
| | 265,000 | | | Builders FirstSource, Inc. | | | 6.38%(a) | | | 03/01/2034 | | | 275,493 | |
| | 385,000 | | | Caesars Entertainment, Inc. | | | 6.50%(a) | | | 02/15/2032 | | | 398,490 | |
| | 210,000 | | | Calpine Corp. | | | 4.50%(a) | | | 02/15/2028 | | | 205,186 | |
| | 340,000 | | | Carnival Corp. | | | 5.75%(a) | | | 03/01/2027 | | | 344,548 | |
| | 130,000 | | | Carnival Corp. | | | 7.00%(a) | | | 08/15/2029 | | | 138,249 | |
| | 95,000 | | | Carvana Co.
9.00% Cash or 12.00%
PIK | | | 12.00%(a) | | | 12/01/2028 | | | 99,854 | |
| | 95,000 | | | Carvana Co.
11.00% Cash or 13.00% PIK | | | 13.00%(a) | | | 06/01/2030 | | | 103,380 | |
| | 40,000 | | | Castle US Holding Corp. | | | 9.50%(a) | | | 02/15/2028 | | | 17,400 | |
| | 50,000 | | | Catalent Pharma Solutions, Inc. | | | 3.50%(a) | | | 04/01/2030 | | | 49,221 | |
| | 230,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp. | | | 5.13%(a) | | | 05/01/2027 | | | 226,540 | |
| | 355,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp. | | | 4.75%(a) | | | 03/01/2030 | | | 326,808 | |
| | 200,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp. | | | 4.75%(a) | | | 02/01/2032 | | | 176,428 | |
| | 235,000 | | | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op | | | 5.25% | | | 07/15/2029 | | | 231,067 | |
| | 145,000 | | | Central Parent LLC / CDK Global II LLC / CDK Financing Co., Inc. | | | 8.00%(a) | | | 06/15/2029 | | | 150,942 | |
| | 160,000 | | | Chord Energy Corp. | | | 6.38%(a) | | | 06/01/2026 | | | 160,483 | |
| | 140,000 | | | CHS/Community Health Systems, Inc. | | | 6.00%(a) | | | 01/15/2029 | | | 136,041 | |
| | 55,000 | | | CHS/Community Health Systems, Inc. | | | 6.88%(a) | | | 04/15/2029 | | | 49,924 | |
| | 145,000 | | | CHS/Community Health Systems, Inc. | | | 4.75%(a) | | | 02/15/2031 | | | 127,568 | |
| | 125,000 | | | Civitas Resources, Inc. | | | 8.38%(a) | | | 07/01/2028 | | | 130,090 | |
| | 140,000 | | | Clarios Global LP / Clarios US Finance Co. | | | 6.75%(a) | | | 05/15/2028 | | | 144,411 | |
| | 90,000 | | | Clarivate Science Holdings Corp. | | | 4.88%(a) | | | 07/01/2029 | | | 86,651 | |
| | 60,000 | | | Clear Channel Outdoor Holdings, Inc. | | | 9.00%(a) | | | 09/15/2028 | | | 63,834 | |
| | 95,000 | | | Clear Channel Outdoor Holdings, Inc. | | | 7.50%(a) | | | 06/01/2029 | | | 81,902 | |
| | 305,000 | | | Clearway Energy Operating LLC | | | 4.75%(a) | | | 03/15/2028 | | | 299,524 | |
| | 135,000 | | | Cloud Software Group, Inc. | | | 6.50%(a) | | | 03/31/2029 | | | 134,434 | |
| | 90,000 | | | Cloud Software Group, Inc. | | | 9.00%(a) | | | 09/30/2029 | | | 91,662 | |
| | 230,000 | | | Clydesdale Acquisition Holdings, Inc. | | | 6.88%(a) | | | 01/15/2030 | | | 235,171 | |
| | 205,000 | | | CNX Midstream Partners LP | | | 4.75%(a) | | | 04/15/2030 | | | 191,831 | |
| | 185,000 | | | CNX Resources Corp. | | | 6.00%(a) | | | 01/15/2029 | | | 186,149 | |
| | 90,000 | | | Coherent Corp. | | | 5.00%(a) | | | 12/15/2029 | | | 88,097 | |
| | 65,000 | | | CommScope LLC | | | 4.75%(a) | | | 09/01/2029 | | | 54,681 | |
| | 65,000 | | | CommScope Technologies LLC | | | 5.00%(a) | | | 03/15/2027 | | | 54,466 | |
| | 195,000 | | | Consolidated Communications, Inc. | | | 5.00%(a) | | | 10/01/2028 | | | 179,663 | |
| | 120,000 | | | Cornerstone Building Brands, Inc. | | | 6.13%(a) | | | 01/15/2029 | | | 106,296 | |
| | 225,000 | | | Cornerstone Building Brands, Inc. | | | 9.50%(a) | | | 08/15/2029 | | | 231,316 | |
| | 285,000 | | | Coty, Inc. | | | 5.00%(a) | | | 04/15/2026 | | | 284,018 | |
| | 195,000 | | | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC | | | 6.63%(a) | | | 07/15/2030 | | | 202,794 | |
| | 110,000 | | | Cougar JV Subsidiary LLC | | | 8.00%(a) | | | 05/15/2032 | | | 116,405 | |
| | 470,000 | | | CQP Holdco LP / BIP-V Chinook Holdco LLC | | | 5.50%(a) | | | 06/15/2031 | | | 461,282 | |
| | 230,000 | | | CSC Holdings LLC | | | 6.50%(a) | | | 02/01/2029 | | | 190,663 | |
| | 245,000 | | | CSC Holdings LLC | | | 5.75%(a) | | | 01/15/2030 | | | 127,035 | |
| | 115,000 | | | CVR Partners LP / CVR Nitrogen Finance Corp. | | | 6.13%(a) | | | 06/15/2028 | | | 112,669 | |
| | 100,000 | | | Dana, Inc. | | | 5.38% | | | 11/15/2027 | | | 99,382 | |
| | 65,000 | | | Dana, Inc. | | | 4.25% | | | 09/01/2030 | | | 58,412 | |
| | 250,000 | | | Dealer Tire LLC / DT Issuer LLC | | | 8.00%(a) | | | 02/01/2028 | | | 249,091 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 190,000 | | | Directv Financing LLC / Directv Financing Co.-Obligor, Inc. | | | 5.88%(a) | | | 08/15/2027 | | | 186,682 | |
| | 200,000 | | | DISH DBS Corp. | | | 5.75%(a) | | | 12/01/2028 | | | 175,119 | |
| | 110,000 | | | DISH DBS Corp. | | | 5.13% | | | 06/01/2029 | | | 73,905 | |
| | 140,000 | | | Dornoch Debt Merger Sub, Inc. | | | 6.63%(a) | | | 10/15/2029 | | | 123,373 | |
| | 245,000 | | | Dun & Bradstreet Corp. | | | 5.00%(a) | | | 12/15/2029 | | | 244,206 | |
| | 115,000 | | | Embarq Corp. | | | 8.00% | | | 06/01/2036 | | | 51,388 | |
| | 320,000 | | | EMRLD Borrower LP / Emerald Co.-Issuer, Inc. | | | 6.63%(a) | | | 12/15/2030 | | | 330,350 | |
| | 225,000 | | | EMRLD Borrower LP / Emerald Co.-Issuer, Inc. | | | 6.75%(a) | | | 07/15/2031 | | | 234,831 | |
| | 85,000 | | | Energizer Holdings, Inc. | | | 6.50%(a) | | | 12/31/2027 | | | 86,776 | |
| | 320,000 | | | Everi Holdings, Inc. | | | 5.00%(a) | | | 07/15/2029 | | | 318,764 | |
| | 145,000 | | | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. | | | 6.75%(a) | | | 01/15/2030 | | | 135,185 | |
| | 120,000 | | | Fortrea Holdings, Inc. | | | 7.50%(a) | | | 07/01/2030 | | | 120,938 | |
| | 245,000 | | | Fortress Transportation and Infrastructure Investors LLC | | | 7.88%(a) | | | 12/01/2030 | | | 264,183 | |
| | 335,000 | | | Fortress Transportation and Infrastructure Investors LLC | | | 5.88%(a) | | | 04/15/2033 | | | 333,800 | |
| | 165,000 | | | Frontier Communications Holdings LLC | | | 5.00%(a) | | | 05/01/2028 | | | 163,637 | |
| | 208,218 | | | Frontier Communications Holdings LLC | | | 5.88% | | | 11/01/2029 | | | 206,893 | |
| | 115,000 | | | Full House Resorts, Inc. | | | 8.25%(a) | | | 02/15/2028 | | | 115,254 | |
| | 150,000 | | | Gates Corp./DE | | | 6.88%(a) | | | 07/01/2029 | | | 155,566 | |
| | 445,000 | | | Genesee & Wyoming, Inc. | | | 6.25%(a) | | | 04/15/2032 | | | 458,172 | |
| | 200,000 | | | Genting New York LLC / GENNY Capital, Inc. | | | 7.25%(a) | | | 10/01/2029 | | | 202,540 | |
| | 95,000 | | | Goodyear Tire & Rubber Co. | | | 5.25% | | | 07/15/2031 | | | 85,786 | |
| | 80,000 | | | GrafTech Finance, Inc. | | | 4.63%(a) | | | 12/15/2028 | | | 53,513 | |
| | 110,000 | | | Gray Television, Inc. | | | 10.50%(a) | | | 07/15/2029 | | | 114,999 | |
| | 210,000 | | | Griffon Corp. | | | 5.75% | | | 03/01/2028 | | | 207,545 | |
| | 150,000 | | | Group 1 Automotive, Inc. | | | 6.38%(a) | | | 01/15/2030 | | | 152,758 | |
| | 230,000 | | | GTCR AP Finance, Inc. | | | 8.00%(a) | | | 05/15/2027 | | | 230,153 | |
| | 112,043 | | | Gulfport Energy Corp. | | | 8.00%(a) | | | 05/17/2026 | | | 114,004 | |
| | 240,000 | | | Gulfport Energy Corp. | | | 6.75%(a) | | | 09/01/2029 | | | 243,107 | |
| | 305,000 | | | Harvest Midstream I LP | | | 7.50%(a) | | | 05/15/2032 | | | 321,063 | |
| | 315,000 | | | Helios Software Holdings,
Inc. / ION Corporate Solutions Finance Sarl | | | 4.63%(a) | | | 05/01/2028 | | | 291,705 | |
| | 140,000 | | | Hess Midstream Operations LP | | | 5.50%(a) | | | 10/15/2030 | | | 139,802 | |
| | 130,000 | | | H-Food Holdings LLC / Hearthside Finance Co., Inc. | | | 8.50%(a) | | | 06/01/2026 | | | 9,915 | |
| | 110,000 | | | Hightower Holding LLC | | | 6.75%(a) | | | 04/15/2029 | | | 105,587 | |
| | 195,000 | | | Hilcorp Energy I LP / Hilcorp Finance Co. | | | 6.25%(a) | | | 11/01/2028 | | | 194,770 | |
| | 40,000 | | | Hilcorp Energy I LP / Hilcorp Finance Co. | | | 8.38%(a) | | | 11/01/2033 | | | 43,155 | |
| | 195,000 | | | HUB International Ltd. | | | 7.25%(a) | | | 06/15/2030 | | | 203,327 | |
| | 180,000 | | | Icahn Enterprises LP / Icahn Enterprises Finance Corp. | | | 5.25% | | | 05/15/2027 | | | 172,630 | |
| | 200,000 | | | Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | | | 9.00%(a) | | | 07/01/2028 | | | 202,394 | |
| | 335,000 | | | Installed Building Products, Inc. | | | 5.75%(a) | | | 02/01/2028 | | | 334,137 | |
| | 195,000 | | | Iron Mountain, Inc. | | | 7.00%(a) | | | 02/15/2029 | | | 203,409 | |
| | 115,000 | | | Iron Mountain, Inc. | | | 4.50%(a) | | | 02/15/2031 | | | 109,184 | |
| | 225,000 | | | JELD-WEN, Inc. | | | 4.88%(a) | | | 12/15/2027 | | | 220,049 | |
| | 195,000 | | | JELD-WEN, Inc. | | | 7.00%(a) | | | 09/01/2032 | | | 197,236 | |
| | 150,000 | | | JetBlue Airways Corp. / JetBlue Loyalty LP | | | 9.88%(a) | | | 09/20/2031 | | | 158,143 | |
| | 320,000 | | | Kodiak Gas Services LLC | | | 7.25%(a) | | | 02/15/2029 | | | 331,419 | |
| | 130,000 | | | LBM Acquisition LLC | | | 6.25%(a) | | | 01/15/2029 | | | 123,047 | |
| | 200,000 | | | Leeward Renewable Energy Operations LLC | | | 4.25%(a) | | | 07/01/2029 | | | 188,748 | |
| | 215,000 | | | Legacy LifePoint Health LLC | | | 4.38%(a) | | | 02/15/2027 | | | 211,027 | |
| | 200,000 | | | Level 3 Financing, Inc. | | | 10.50%(a) | | | 04/15/2029 | | | 219,010 | |
| | 115,000 | | | Level 3 Financing, Inc. | | | 3.75%(a) | | | 07/15/2029 | | | 78,775 | |
| | 75,000 | | | Level 3 Financing, Inc. | | | 4.50%(a) | | | 04/01/2030 | | | 58,463 | |
| | 150,000 | | | LFS Topco LLC | | | 5.88%(a) | | | 10/15/2026 | | | 141,231 | |
| | 280,000 | | | LifePoint Health, Inc. | | | 10.00%(a) | | | 06/01/2032 | | | 308,173 | |
| | 220,000 | | | Light & Wonder International, Inc. | | | 7.25%(a) | | | 11/15/2029 | | | 227,780 | |
| | 135,000 | | | Lightning Power LLC | | | 7.25%(a) | | | 08/15/2032 | | | 142,074 | |
| | 25,000 | | | Lions Gate Capital Holdings LLC | | | 5.50%(a) | | | 04/15/2029 | | | 18,350 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 117
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 95,000 | | | Live Nation Entertainment, Inc. | | | 6.50%(a) | | | 05/15/2027 | | | 96,959 | |
| | 460,000 | | | M/I Homes, Inc. | | | 4.95% | | | 02/01/2028 | | | 452,600 | |
| | 96,000 | | | Macy’s Retail Holdings LLC | | | 5.88%(a) | | | 04/01/2029 | | | 94,868 | |
| | 160,000 | | | Madison IAQ LLC | | | 4.13%(a) | | | 06/30/2028 | | | 154,533 | |
| | 245,000 | | | Madison IAQ LLC | | | 5.88%(a) | | | 06/30/2029 | | | 238,754 | |
| | 180,000 | | | Matador Resources Co. | | | 6.50%(a) | | | 04/15/2032 | | | 179,866 | |
| | 210,000 | | | Match Group Holdings II LLC | | | 5.00%(a) | | | 12/15/2027 | | | 208,237 | |
| | 220,000 | | | Mativ Holdings, Inc. | | | 6.88%(a) | | | 10/01/2026 | | | 220,039 | |
| | 170,000 | | | Mativ Holdings, Inc. | | | 8.00%(a) | | | 10/01/2029 | | | 173,727 | |
| | 165,000 | | | Mavis Tire Express Services Topco Corp. | | | 6.50%(a) | | | 05/15/2029 | | | 158,687 | |
| | 70,000 | | | McAfee Corp. | | | 7.38%(a) | | | 02/15/2030 | | | 68,344 | |
| | 120,000 | | | McGraw-Hill Education, Inc. | | | 5.75%(a) | | | 08/01/2028 | | | 118,685 | |
| | 45,000 | | | McGraw-Hill Education, Inc. | | | 7.38%(a) | | | 09/01/2031 | | | 46,726 | |
| | 345,000 | | | Medline Borrower LP | | | 5.25%(a) | | | 10/01/2029 | | | 338,763 | |
| | 135,000 | | | Medline Borrower LP/Medline Co.-Issuer, Inc. | | | 6.25%(a) | | | 04/01/2029 | | | 139,263 | |
| | 100,000 | | | Michaels Cos., Inc. | | | 5.25%(a) | | | 05/01/2028 | | | 73,909 | |
| | 85,000 | | | Michaels Cos., Inc. | | | 7.88%(a) | | | 05/01/2029 | | | 49,875 | |
| | 160,000 | | | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp. | | | 4.88%(a) | | | 05/01/2029 | | | 153,582 | |
| | 220,000 | | | Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC | | | 6.75%(a) | | | 04/01/2032 | | | 228,195 | |
| | 35,000 | | | ModivCare Escrow Issuer, Inc. | | | 5.00%(a) | | | 10/01/2029 | | | 21,833 | |
| | 130,000 | | | Nabors Industries, Inc. | | | 9.13%(a) | | | 01/31/2030 | | | 134,184 | |
| | 55,000 | | | Nabors Industries, Inc. | | | 8.88%(a) | | | 08/15/2031 | | | 52,369 | |
| | 230,000 | | | Nationstar Mortgage Holdings, Inc. | | | 6.00%(a) | | | 01/15/2027 | | | 230,220 | |
| | 275,000 | | | Nationstar Mortgage Holdings, Inc. | | | 5.75%(a) | | | 11/15/2031 | | | 269,689 | |
| | 150,000 | | | Navient Corp. | | | 5.00% | | | 03/15/2027 | | | 148,792 | |
| | 255,000 | | | NCL Corp. Ltd. | | | 5.88%(a) | | | 03/15/2026 | | | 255,175 | |
| | 155,000 | | | NCL Corp. Ltd. | | | 8.38%(a) | | | 02/01/2028 | | | 162,883 | |
| | 500,000 | | | NCL Corp. Ltd. | | | 6.25%(a) | | | 03/01/2030 | | | 499,822 | |
| | 85,000 | | | News Corp. | | | 5.13%(a) | | | 02/15/2032 | | | 83,585 | |
| | 165,000 | | | NGL Energy Operating LLC / NGL Energy Finance Corp. | | | 8.13%(a) | | | 02/15/2029 | | | 169,313 | |
| | 200,000 | | | Olympus Water US Holding Corp. | | | 9.75%(a) | | | 11/15/2028 | | | 213,702 | |
| | 60,000 | | | OneMain Finance Corp. | | | 7.13% | | | 03/15/2026 | | | 61,300 | |
| | 220,000 | | | OneMain Finance Corp. | | | 6.63% | | | 01/15/2028 | | | 224,169 | |
| | 265,000 | | | OneMain Finance Corp. | | | 7.50% | | | 05/15/2031 | | | 273,017 | |
| | 190,000 | | | Outfront Media Capital LLC / Outfront Media Capital Corp. | | | 7.38%(a) | | | 02/15/2031 | | | 203,001 | |
| | 125,000 | | | Owens & Minor, Inc. | | | 6.63%(a) | | | 04/01/2030 | | | 121,456 | |
| | 170,000 | | | Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc. | | | 4.38%(a) | | | 10/15/2028 | | | 162,993 | |
| | 170,000 | | | Panther Escrow Issuer LLC | | | 7.13%(a) | | | 06/01/2031 | | | 178,448 | |
| | 310,000 | | | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer | | | 7.00%(a) | | | 02/01/2030 | | | 322,514 | |
| | 80,000 | | | PBF Holding Co. LLC / PBF Finance Corp. | | | 6.00% | | | 02/15/2028 | | | 79,029 | |
| | 75,000 | | | Penn Entertainment, Inc. | | | 4.13%(a) | | | 07/01/2029 | | | 68,388 | |
| | 110,000 | | | PennyMac Financial Services, Inc. | | | 4.25%(a) | | | 02/15/2029 | | | 105,037 | |
| | 120,000 | | | PennyMac Financial Services, Inc. | | | 7.88%(a) | | | 12/15/2029 | | | 128,064 | |
| | 215,000 | | | Performance Food Group,
Inc. | | | 6.13%(a) | | | 09/15/2032 | | | 219,968 | |
| | 190,000 | | | Permian Resources Operating LLC | | | 7.00%(a) | | | 01/15/2032 | | | 197,819 | |
| | 115,000 | | | Permian Resources Operating LLC | | | 6.25%(a) | | | 02/01/2033 | | | 116,940 | |
| | 250,000 | | | PetSmart, Inc. / PetSmart Finance Corp. | | | 7.75%(a) | | | 02/15/2029 | | | 247,035 | |
| | 175,000 | | | Pike Corp. | | | 5.50%(a) | | | 09/01/2028 | | | 171,550 | |
| | 100,000 | | | Pike Corp. | | | 8.63%(a) | | | 01/31/2031 | | | 107,047 | |
| | 185,000 | | | Post Holdings, Inc. | | | 6.38%(a) | | | 03/01/2033 | | | 188,481 | |
| | 60,000 | | | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp. | | | 5.63%(a) | | | 09/01/2029 | | | 44,930 | |
| | 95,000 | | | Prime Security Services Borrower LLC / Prime Finance, Inc. | | | 6.25%(a) | | | 01/15/2028 | | | 95,097 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | 35,000 | | | Radiate Holdco LLC / Radiate Finance, Inc. | | | 4.50%(a) | | | 09/15/2026 | | | 29,889 | |
| | 49,843 | | | Radiology Partners, Inc.
4.28% Cash + 3.50% PIK | | | 7.78%(a) | | | 01/31/2029 | | | 49,531 | |
| | 38,416 | | | Radiology Partners, Inc.
9.78% PIK | | | 9.78%(a) | | | 02/15/2030 | | | 36,351 | |
| | 255,000 | | | Royal Caribbean Cruises Ltd. | | | 5.50%(a) | | | 08/31/2026 | | | 257,664 | |
| | 95,000 | | | Royal Caribbean Cruises Ltd. | | | 5.63%(a) | | | 09/30/2031 | | | 96,306 | |
| | 130,000 | | | Royal Caribbean Cruises Ltd. | | | 6.25%(a) | | | 03/15/2032 | | | 134,935 | |
| | 75,000 | | | Sabre GLBL, Inc. | | | 8.63%(a) | | | 06/01/2027 | | | 73,828 | |
| | 145,000 | | | Scientific Games Holdings LP/Scientific Games US FinCo, Inc. | | | 6.63%(a) | | | 03/01/2030 | | | 143,998 | |
| | 210,000 | | | Sealed Air Corp./Sealed Air Corp. US | | | 7.25%(a) | | | 02/15/2031 | | | 222,524 | |
| | 50,000 | | | Service Properties Trust | | | 5.50% | | | 12/15/2027 | | | 47,646 | |
| | 50,000 | | | Service Properties Trust | | | 8.88% | | | 06/15/2032 | | | 47,803 | |
| | 355,000 | | | Sirius XM Radio, Inc. | | | 5.50%(a) | | | 07/01/2029 | | | 347,087 | |
| | 90,000 | | | Sitio Royalties Operating Partnership LP / Sitio Finance Corp. | | | 7.88%(a) | | | 11/01/2028 | | | 94,224 | |
| | 265,000 | | | Six Flags Entertainment Corp. / Six Flags Theme Parks, Inc. | | | 6.63%(a) | | | 05/01/2032 | | | 274,624 | |
| | 230,000 | | | SM Energy Co. | | | 7.00%(a) | | | 08/01/2032 | | | 231,047 | |
| | 205,000 | | | Sonic Automotive, Inc. | | | 4.63%(a) | | | 11/15/2029 | | | 192,636 | |
| | 180,000 | | | Sotera Health Holdings LLC | | | 7.38%(a) | | | 06/01/2031 | | | 187,157 | |
| | 85,000 | | | Spirit AeroSystems, Inc. | | | 9.75%(a) | | | 11/15/2030 | | | 94,881 | |
| | 115,000 | | | Standard Building Solutions, Inc. | | | 6.50%(a) | | | 08/15/2032 | | | 119,174 | |
| | 105,000 | | | Staples, Inc. | | | 10.75%(a) | | | 09/01/2029 | | | 102,013 | |
| | 35,000 | | | Staples, Inc. | | | 12.75%(a) | | | 01/15/2030 | | | 28,789 | |
| | 140,000 | | | Starwood Property Trust, Inc. | | | 7.25%(a) | | | 04/01/2029 | | | 146,974 | |
| | 155,000 | | | Starwood Property Trust, Inc. | | | 6.00%(a) | | | 04/15/2030 | | | 155,223 | |
| | 330,000 | | | Station Casinos LLC | | | 6.63%(a) | | | 03/15/2032 | | | 337,626 | |
| | 135,000 | | | Suburban Propane Partners LP/Suburban Energy Finance Corp. | | | 5.00%(a) | | | 06/01/2031 | | | 125,976 | |
| | 205,000 | | | SunCoke Energy, Inc. | | | 4.88%(a) | | | 06/30/2029 | | | 186,083 | |
| | 115,000 | | | Sunoco LP / Sunoco Finance Corp. | | | 6.00% | | | 04/15/2027 | | | 115,468 | |
| | 40,000 | | | SWF Holdings I Corp. | | | 6.50%(a) | | | 10/01/2029 | | | 25,602 | |
| | 190,000 | | | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | | | 7.38%(a) | | | 02/15/2029 | | | 192,292 | |
| | 80,000 | | | Tenet Healthcare Corp. | | | 6.25% | | | 02/01/2027 | | | 80,175 | |
| | 85,000 | | | Tenet Healthcare Corp. | | | 6.13% | | | 10/01/2028 | | | 85,746 | |
| | 220,000 | | | Tenet Healthcare Corp. | | | 6.13% | | | 06/15/2030 | | | 223,870 | |
| | 275,000 | | | Townsquare Media, Inc. | | | 6.88%(a) | | | 02/01/2026 | | | 274,645 | |
| | 205,000 | | | TransDigm, Inc. | | | 5.50% | | | 11/15/2027 | | | 204,450 | |
| | 215,000 | | | TransDigm, Inc. | | | 6.88%(a) | | | 12/15/2030 | | | 225,345 | |
| | 93,000 | | | Transocean Poseidon Ltd. | | | 6.88%(a) | | | 02/01/2027 | | | 93,102 | |
| | 70,000 | | | Transocean, Inc. | | | 8.00%(a) | | | 02/01/2027 | | | 70,012 | |
| | 200,000 | | | Trident TPI Holdings, Inc. | | | 12.75%(a) | | | 12/31/2028 | | | 222,275 | |
| | 515,000 | | | Triton Water Holdings, Inc. | | | 6.25%(a) | | | 04/01/2029 | | | 514,946 | |
| | 225,000 | | | UKG, Inc. | | | 6.88%(a) | | | 02/01/2031 | | | 232,656 | |
| | 225,000 | | | United Airlines, Inc. | | | 4.63%(a) | | | 04/15/2029 | | | 217,557 | |
| | 205,000 | | | United Natural Foods, Inc. | | | 6.75%(a) | | | 10/15/2028 | | | 195,720 | |
| | 95,000 | | | Uniti Group LP / Uniti Group Finance, Inc. / CSL
Capital LLC | | | 10.50%(a) | | | 02/15/2028 | | | 101,480 | |
| | 160,000 | | | Univision Communications, Inc. | | | 4.50%(a) | | | 05/01/2029 | | | 143,064 | |
| | 90,000 | | | Upbound Group, Inc. | | | 6.38%(a) | | | 02/15/2029 | | | 87,225 | |
| | 335,000 | | | US Foods, Inc. | | | 5.75%(a) | | | 04/15/2033 | | | 336,197 | |
| | 435,000 | | | Vail Resorts, Inc. | | | 6.50%(a) | | | 05/15/2032 | | | 454,847 | |
| | 155,000 | | | Venture Global LNG, Inc. | | | 8.13%(a) | | | 06/01/2028 | | | 161,694 | |
| | 100,000 | | | Venture Global LNG, Inc. | | | 8.38%(a) | | | 06/01/2031 | | | 105,661 | |
| | 90,000 | | | Venture Global LNG, Inc. | | | 9.88%(a) | | | 02/01/2032 | | | 100,064 | |
| | 335,000 | | | Victra Holdings LLC / Victra Finance Corp. | | | 7.75%(a) | | | 02/15/2026 | | | 337,956 | |
| | 200,000 | | | Victra Holdings LLC / Victra Finance Corp. | | | 8.75%(a) | | | 09/15/2029 | | | 210,169 | |
| | 230,000 | | | Viking Cruises Ltd. | | | 5.88%(a) | | | 09/15/2027 | | | 230,000 | |
| | 195,000 | | | Viking Cruises Ltd. | | | 9.13%(a) | | | 07/15/2031 | | | 213,376 | |
| | 115,000 | | | Vistra Operations Co. LLC | | | 7.75%(a) | | | 10/15/2031 | | | 123,897 | |
| | 135,000 | | | Vistra Operations Co. LLC | | | 6.88%(a) | | | 04/15/2032 | | | 142,121 | |
| | 90,000 | | | Vital Energy, Inc. | | | 7.88%(a) | | | 04/15/2032 | | | 87,251 | |
| | 21,945 | | | Vortex Opco LLC | | | 8.00%(a) | | | 04/30/2030 | | | 8,997 | |
| | 5,040 | | | Vortex Opco LLC
(3 mo. Term SOFR + 6.25%, 0.50% Floor) | | | 10.84%(a) | | | 04/30/2030 | | | 5,048 | |
| | 200,000 | | | VT Topco, Inc. | | | 8.50%(a) | | | 08/15/2030 | | | 213,588 | |
| | 120,000 | | | Wand NewCo 3, Inc. | | | 7.63%(a) | | | 01/30/2032 | | | 126,503 | |
| | | |
| | | |
118
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 170,000 | | | WASH Multifamily Acquisition, Inc. | | | 5.75%(a) | | | 04/15/2026 | | | 169,231 | |
| | 235,000 | | | Watco Cos. LLC / Watco Finance Corp. | | | 7.13%(a) | | | 08/01/2032 | | | 245,136 | |
| | 120,000 | | | Wayfair LLC | | | 7.25%(a) | | | 10/31/2029 | | | 123,235 | |
| | 240,000 | | | Weatherford International Ltd. | | | 8.63%(a) | | | 04/30/2030 | | | 250,259 | |
| | 30,000 | | | Wheel Pros, Inc. | | | 6.50%(a)(g) | | | 05/15/2029 | | | 338 | |
| | 150,000 | | | Windstream Escrow LLC / Windstream Escrow Finance Corp. | | | 8.25%(a) | | | 10/01/2031 | | | 152,691 | |
| | 260,000 | | | WR Grace Holdings LLC | | | 5.63%(a) | | | 08/15/2029 | | | 244,501 | |
| | 380,000 | | | XHR LP | | | 4.88%(a) | | | 06/01/2029 | | | 364,556 | |
| | 215,000 | | | XPO, Inc. | | | 7.13%(a) | | | 06/01/2031 | | | 225,303 | |
| | | | | Total US Corporate Bonds
(Cost $44,543,453) | | | | | | | | | 44,503,867 | |
| | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 10.8%
| |
| | | | | Federal Home Loan Mortgage Corp. | |
| | 4,703,279 | | | Pool RJ1071 | | | 6.00% | | | 03/01/2054 | | | 4,870,111 | |
| | 4,827,980 | | | Pool SD5141 | | | 6.00% | | | 04/01/2054 | | | 4,956,027 | |
| | 524,651 | | | Series 3926-HS
(-1 x 30 day avg SOFR
US + 6.34%, 0.00%
Floor, 6.45% Cap) | | | 0.99%(k)(l) | | | 09/15/2041 | | | 71,147 | |
| | 2,182,555 | | | Series 4631-FA
(30 day avg SOFR
US + 0.61%, 0.50%
Floor, 6.50% Cap) | | | 5.96% | | | 11/15/2046 | | | 2,168,177 | |
| | 12,585,893 | | | Series 4851-PF
(30 day avg SOFR
US + 0.51%, 0.40%
Floor, 6.50% Cap) | | | 5.86% | | | 08/15/2057 | | | 12,416,149 | |
| | 1,742,205 | | | Series 4942-FB
(30 day avg SOFR
US + 0.61%, 0.50%
Floor, 6.00% Cap) | | | 5.96% | | | 04/15/2040 | | | 1,678,733 | |
| | 10,189,012 | | | Series 4944-F
(30 day avg SOFR
US + 0.56%, 0.45%
Floor, 6.50% Cap) | | | 5.84% | | | 01/25/2050 | | | 10,126,792 | |
| | 1,343,894 | | | Series 4981-GF
(30 day avg SOFR
US + 0.51%, 0.40%
Floor, 6.50% Cap) | | | 5.79% | | | 06/25/2050 | | | 1,328,355 | |
| | 10,109,245 | | | Series 5142-QI | | | 3.00%(k) | | | 09/25/2051 | | | 1,763,705 | |
| | 7,450,128 | | | Series KF89-AS
(30 day avg SOFR
US + 0.37%, 0.00%
Floor) | | | 5.72% | | | 09/25/2030 | | | 7,399,408 | |
| | | | | Federal National Mortgage Association | |
| | 3,640,826 | | | Pool CB7268 | | | 6.00% | | | 10/01/2053 | | | 3,772,359 | |
| | 3,087,055 | | | Pool CB7996 | | | 6.00% | | | 02/01/2054 | | | 3,198,284 | |
| | 4,121,034 | | | Pool CB8845 | | | 5.50% | | | 07/01/2054 | | | 4,234,932 | |
| | 4,718,230 | | | Pool FS6422 | | | 6.00% | | | 11/01/2053 | | | 4,953,314 | |
| | 2,031,261 | | | Pool FS7738 | | | 6.00% | | | 03/01/2054 | | | 2,132,471 | |
| | 3,033,856 | | | Pool FS8152 | | | 6.00% | | | 06/01/2054 | | | 3,131,185 | |
| | 5,780,343 | | | Series 2013-12-FT
(30 day avg SOFR
US + 0.46%, 0.35%
Floor, 6.50% Cap) | | | 5.74% | | | 02/25/2043 | | | 5,707,549 | |
| | 7,579,500 | | | Series 2017-11-SK
(-1 x 30 day avg SOFR
US + 5.94%, 0.00%
Floor, 6.05% Cap) | | | 0.66%(k)(l) | | | 03/25/2047 | | | 1,164,108 | |
| | 3,660,670 | | | Series 2018-86-MF
(30 day avg SOFR
US + 0.41%, 0.30%
Floor, 6.50% Cap) | | | 5.69% | | | 12/25/2048 | | | 3,623,688 | |
| | 4,092,064 | | | Series 2019-57-LF
(30 day avg SOFR
US + 0.61%, 0.50%
Floor, 6.50% Cap) | | | 5.89% | | | 10/25/2049 | | | 4,029,252 | |
| | 19,901,085 | | | Series 2019-M7-X | | | 0.44%(j)(k) | | | 04/25/2029 | | | 250,660 | |
| | 7,186,145 | | | Series 2020-54-AS
(-1 x 30 day avg SOFR
US + 6.04%, 0.00%
Floor, 6.15% Cap) | | | 0.76%(k)(l) | | | 08/25/2050 | | | 1,033,380 | |
| | 8,490,409 | | | Series 2021-32-AI | | | 3.00%(k) | | | 05/25/2046 | | | 956,928 | |
| | 21,884,297 | | | Series 2021-M8-X | | | 0.33%(j)(k) | | | 11/25/2035 | | | 424,260 | |
| | 4,932,407 | | | Series 2022-43-FA
(30 day avg SOFR
US + 0.55%, 0.55%
Floor, 6.00% Cap) | | | 5.83% | | | 07/25/2052 | | | 4,644,918 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | FREMF Mortgage Trust | |
| | 639,609 | | | Series 2016-KF18-B
(30 day avg SOFR US + 5.61%, 5.50% Floor) | | | 10.96%(a) | | | 05/25/2026 | | | 635,046 | |
| | 372,621 | | | Series 2017-KF27-B
(30 day avg SOFR US + 4.46%, 4.35% Floor) | | | 9.81%(a) | | | 12/25/2026 | | | 371,698 | |
| | 700,066 | | | Series 2017-KF30-B
(30 day avg SOFR US + 3.36%, 3.25% Floor) | | | 8.71%(a) | | | 03/25/2027 | | | 690,409 | |
| | 392,798 | | | Series 2018-KF44-B
(30 day avg SOFR US + 2.26%, 2.15% Floor) | | | 7.61%(a) | | | 02/25/2025 | | | 390,294 | |
| | 2,245,307 | | | Series 2019-KF71-C
(30 day avg SOFR US + 6.11%, 6.00% Floor) | | | 11.46%(a) | | | 10/25/2029 | | | 2,161,865 | |
| | | | | Government National Mortgage Association | |
| | 7,331,540 | | | Series 2019-128-KS
(-1 x 1 mo. Term SOFR + 2.74%, 0.00% Floor,
2.85% Cap) | | | 0.00%(k)(l) | | | 10/20/2049 | | | 119,159 | |
| | 6,297,507 | | | Series 2020-104-SB
(-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor,
6.15% Cap) | | | 1.07%(k)(l) | | | 07/20/2050 | | | 998,476 | |
| | 13,761,201 | | | Series 2020-115-YS
(-1 x 1 mo. Term SOFR + 4.09%, 0.00% Floor,
4.20% Cap) | | | 0.00%(k)(l) | | | 08/20/2050 | | | 657,198 | |
| | 27,330,089 | | | Series 2020-129-SA
(-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor,
3.75% Cap) | | | 0.00%(k)(l) | | | 09/20/2050 | | | 621,522 | |
| | 34,325,513 | | | Series 2020-146-IJ | | | 2.50%(k) | | | 10/20/2050 | | | 4,961,925 | |
| | 13,644,794 | | | Series 2020-189-SU
(-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor,
6.30% Cap) | | | 1.22%(k)(l) | | | 12/20/2050 | | | 2,245,035 | |
| | 7,574,558 | | | Series 2021-1-SH
(-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor,
6.30% Cap) | | | 1.22%(k)(l) | | | 01/20/2051 | | | 1,205,290 | |
| | 11,401,013 | | | Series 2021-193-DS
(-1 x 30 day avg SOFR
US + 2.60%, 0.00%
Floor, 2.60% Cap) | | | 0.00%(k)(l) | | | 11/20/2051 | | | 89,631 | |
| | 26,981,633 | | | Series 2021-35-IO | | | 1.03%(j)(k) | | | 12/16/2062 | | | 2,041,581 | |
| | 46,863,796 | | | Series 2022-192-IO | | | 0.67%(j)(k) | | | 09/16/2064 | | | 2,867,821 | |
| | 24,443,494 | | | Series 2023-15-IO | | | 0.92%(j)(k) | | | 08/16/2064 | | | 1,788,262 | |
| | 46,986,325 | | | Series 2024-15-BI | | | 0.74%(j)(k) | | | 10/16/2065 | | | 2,972,031 | |
| | 42,534,439 | | | Series 2024-35-IB | | | 0.80%(j)(k) | | | 07/16/2065 | | | 2,875,936 | |
| | | | | Total US Government and Agency Mortgage Backed Obligations
(Cost $120,168,150) | | | | | | | | | 117,729,071 | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 9.1%
| |
| | 46,200,000 | | | United States Treasury Note/Bond | | | 0.50% | | | 03/31/2025 | | | 45,328,738 | |
| | 32,900,000 | | | United States Treasury Note/Bond | | | 0.25% | | | 08/31/2025 | | | 31,788,360 | |
| | 23,080,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 04/30/2026 | | | 22,030,581 | |
| | | | | Total US Government and Agency Obligations
(Cost $98,292,661) | | | | | | | | | 99,147,679 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | COMMON STOCKS - 0.0%(m)
| |
| | 9,228 | | | Flame Aggregator - Series R(d)(n) | | | | | | | | | 43,925 | |
| | 917 | | | Flame Aggregator - Series U(d)(n) | | | | | | | | | 4,365 | |
| | | | | Total Common Stocks
(Cost $20,803) | | | | | | | | | 48,290 | |
| | | |
| | WARRANTS - 0.0%(m)
| |
| | 3,500 | | | Avation PLC, Expires 10/31/2026 at GBP 1.15(n) | | | | | | | | | 1,288 | |
| | | | | Total Warrants
(Cost $–) | | | | | | | | | 1,288 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 119
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 13.4%
| |
| | 22,202,711 | | | First American
Government
Obligations Fund - U | | | 4.84%(o) | | | | | | 22,202,711 | |
| | 22,202,711 | | | JPMorgan US
Government Money Market Fund - IM | | | 4.86%(o) | | | | | | 22,202,711 | |
| | 22,202,711 | | | MSILF Government
Portfolio -
Institutional | | | 4.83%(o) | | | | | | 22,202,711 | |
| | $80,000,000 | | | United States
Treasury Bill | | | 0.00% | | | 12/24/2024 | | | 79,160,809 | |
| | | | | Total Short Term Investments
(Cost $145,693,093) | | | | | | | | | 145,768,942 | |
| | | | | Total Investments - 100.7%
(Cost $1,170,442,915) | | | | | | | | | 1,098,459,278 | |
| | | | | Other Liabilities in Excess of Assets - (0.7)% | | | | | | | | | (7,520,371) | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $1,090,938,907 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets:
| | | | |
| | Collateralized Loan Obligations | | | 17.4% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 16.0% | |
| | Short Term Investments | | | 13.4% | |
| | US Government and Agency Mortgage Backed Obligations | | | 10.8% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 9.6% | |
| | Bank Loans | | | 9.4% | |
| | US Government and Agency Obligations | | | 9.1% | |
| | Foreign Corporate Bonds | | | 5.0% | |
| | Asset Backed Obligations | | | 4.7% | |
| | US Corporate Bonds | | | 4.1% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 1.2% | |
| | Common Stocks | | | 0.0%(m) | |
| | Warrants | | | 0.0%(m) | |
| | Other Assets and Liabilities | | | (0.7)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
| | Collateralized Loan Obligations | | | 17.4% | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 16.0% | |
| | Short Term Investments | | | 13.4% | |
| | US Government and Agency Mortgage Backed Obligations | | | 10.8% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 9.6% | |
| | US Government and Agency Obligations | | | 9.1% | |
| | Asset Backed Obligations | | | 4.7% | |
| | Energy | | | 1.5% | |
| | Healthcare | | | 1.5% | |
| | Electronics/Electric | | | 1.5% | |
| | Transportation | | | 1.2% | |
| | Banking | | | 1.1% | |
| | Hotels/Motels/Inns and Casinos | | | 1.0% | |
| | Utilities | | | 1.0% | |
| | Finance | | | 0.8% | |
| | Retailers (other than Food/Drug) | | | 0.7% | |
| | Commercial Services | | | 0.7% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.7% | |
| | Insurance | | | 0.7% | |
| | Telecommunications | | | 0.6% | |
| | Industrial Equipment | | | 0.6% | |
| | Mining | | | 0.6% | |
| | Media | | | 0.6% | |
| | Chemicals/Plastics | | | 0.6% | |
| | Business Equipment and Services | | | 0.5% | |
| | Consumer Products | | | 0.5% | |
| | Construction | | | 0.5% | |
| | Containers and Glass Products | | | 0.4% | |
| | Leisure | | | 0.3% | |
| | Aerospace & Defense | | | 0.3% | |
| | Technology | | | 0.3% | |
| | Building and Development (including Steel/Metals) | | | 0.3% | |
| | | | | | |
120
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Flexible Income Fund (Cont.) |
| | | | | | |
| | Food Products | | | 0.2% | |
| | Chemical Products | | | 0.2% | |
| | Beverage and Tobacco | | | 0.2% | |
| | Automotive | | | 0.1% | |
| | Diversified Manufacturing | | | 0.1% | |
| | Pharmaceuticals | | | 0.1% | |
| | Conglomerates | | | 0.1% | |
| | Real Estate | | | 0.1% | |
| | Pulp & Paper | | | 0.1% | |
| | IT Services | | | 0.0%(m) | |
| | Consumer Staples | | | 0.0%(m) | |
| | Food Service | | | 0.0%(m) | |
| | Financials | | | 0.0%(m) | |
| | Financial Intermediaries | | | 0.0%(m) | |
| | Other Assets and Liabilities | | | (0.7)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
(b)
| Principal only security |
(c)
| Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of period end. |
(d)
| Value determined using significant unobservable inputs. |
(e)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end. |
(f)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date. |
(g)
| Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
(h)
| Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end. |
(i)
| Perpetual maturity. The date disclosed is the next call date of the security. |
(j)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end. |
(k)
| Interest only security |
(l)
| Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
(m)
| Represents less than 0.05% of net assets. |
(n)
| Non-income producing security. |
(o)
| Seven-day yield as of period end. |
CMT
| Constant Maturity Treasury Rate |
LIBOR
| London Interbank Offered Rate |
PIK
| A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings. |
SOFR
| Secured Overnight Financing Rate |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 121
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS - 80.3% | |
| | BRAZIL - 12.3% | |
| | 2,900,000 | | | Braskem Netherlands Finance BV
(5 yr. CMT Rate + 8.22%) | | | 8.50% | | | 01/23/2081 | | | 2,904,976 | |
| | 376,000 | | | BRF GmbH | | | 4.35% | | | 09/29/2026 | | | 367,977 | |
| | 3,100,000 | | | Cosan Luxembourg SA | | | 7.00% | | | 01/20/2027 | | | 3,119,291 | |
| | 2,774,303 | | | Guara Norte Sarl | | | 5.20% | | | 06/15/2034 | | | 2,644,551 | |
| | 105,102 | | | Invepar Holdings | | | 0.00%(a)(b) | | | 12/30/2028 | | | — | |
| | 300,000 | | | JBS USA Holding Lux Sarl/ JBS USA Food Co./JBS Lux Co. Sarl | | | 2.50% | | | 01/15/2027 | | | 287,277 | |
| | 400,000 | | | JBS USA Holding Lux Sarl/ JBS USA Food Co./JBS Lux Co. Sarl | | | 3.00% | | | 02/02/2029 | | | 372,520 | |
| | 2,000,000 | | | Minerva Luxembourg SA | | | 5.88% | | | 01/19/2028 | | | 2,001,643 | |
| | 2,494,970 | | | MV24 Capital BV | | | 6.75% | | | 06/01/2034 | | | 2,441,419 | |
| | 2,800,000 | | | NBM US Holdings, Inc. | | | 7.00% | | | 05/14/2026 | | | 2,820,258 | |
| | 1,816,020 | | | Prumo Participacoes e Investimentos S/A | | | 7.50% | | | 12/31/2031 | | | 1,824,977 | |
| | 700,000 | | | Suzano International Finance BV | | | 4.00% | | | 01/14/2025 | | | 698,021 | |
| | | | | | | | | | | 19,482,910 | |
| | | |
| | CHILE - 5.9% | |
| | 700,000 | | | Cencosud SA | | | 4.38% | | | 07/17/2027 | | | 693,398 | |
| | 4,792,264 | | | Chile Electricity PEC SpA | | | 0.00%(c) | | | 01/25/2028 | | | 3,953,618 | |
| | 434,500 | | | Empresa Electrica Angamos SA | | | 4.88% | | | 05/25/2029 | | | 393,569 | |
| | 1,322,980 | | | Empresa Electrica Cochrane SpA | | | 5.50% | | | 05/14/2027 | | | 1,291,519 | |
| | 1,412,160 | | | GNL Quintero SA | | | 4.63% | | | 07/31/2029 | | | 1,406,173 | |
| | 1,588,000 | | | Sociedad Quimica y Minera de Chile SA | | | 4.38% | | | 01/28/2025 | | | 1,585,128 | |
| | | | | | | | | | | 9,323,405 | |
| | | |
| | COLOMBIA - 9.0% | |
| | 3,561,158 | | | AI Candelaria Spain SA | | | 7.50% | | | 12/15/2028 | | | 3,533,961 | |
| | 2,100,000 | | | Banco de Bogota SA | | | 6.25% | | | 05/12/2026 | | | 2,112,470 | |
| | 4,600,000 | | | Bancolombia SA
(5 yr. CMT Rate + 2.94%) | | | 4.63% | | | 12/18/2029 | | | 4,556,198 | |
| | 2,917,000 | | | Ecopetrol SA | | | 5.38% | | | 06/26/2026 | | | 2,912,741 | |
| | 1,100,000 | | | Grupo de Inversiones Suramericana SA | | | 5.50% | | | 04/29/2026 | | | 1,096,538 | |
| | | | | | | | | | | 14,211,908 | |
| | | |
| | GUATEMALA - 3.1% | |
| | 2,300,000 | | | Banco Industrial SA/Guatemala
(5 yr. CMT Rate + 4.44%) | | | 4.88% | | | 01/29/2031 | | | 2,269,824 | |
| | 1,530,000 | | | Millicom International Cellular SA | | | 6.63% | | | 10/15/2026 | | | 1,531,415 | |
| | 1,170,000 | | | Millicom International Cellular SA | | | 5.13% | | | 01/15/2028 | | | 1,137,531 | |
| | | | | | | | | | | 4,938,770 | |
| | | |
| | INDIA - 7.1% | |
| | 1,162,000 | | | Adani International Container Terminal
Pvt Ltd. | | | 3.00% | | | 02/16/2031 | | | 1,030,869 | |
| | 3,100,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 4.00% | | | 07/30/2027 | | | 2,969,801 | |
| | 2,400,000 | | | Adani Transmission
Step-One Ltd. | | | 4.00% | | | 08/03/2026 | | | 2,329,512 | |
| | 200,000 | | | Bharti Airtel Ltd. | | | 4.38% | | | 06/10/2025 | | | 199,374 | |
| | 608,000 | | | JSW Hydro Energy Ltd. | | | 4.13% | | | 05/18/2031 | | | 555,715 | |
| | 1,100,000 | | | Network i2i Ltd.
(5 yr. CMT Rate + 4.27%) | | | 5.65%(d) | | | 01/15/2025 | | | 1,103,031 | |
| | 3,150,000 | | | Reliance Industries Ltd. | | | 4.13% | | | 01/28/2025 | | | 3,140,508 | |
| | | | | | | | | | | 11,328,810 | |
| | | |
| | INDONESIA - 6.5% | |
| | 2,000,000 | | | Adaro Indonesia PT | | | 4.25% | | | 10/31/2024 | | | 1,995,511 | |
| | 400,000 | | | Freeport Indonesia PT | | | 4.76%(c) | | | 04/14/2027 | | | 403,301 | |
| | 2,400,000 | | | Freeport Indonesia PT | | | 4.76% | | | 04/14/2027 | | | 2,419,808 | |
| | 3,450,000 | | | Freeport-McMoRan, Inc. | | | 4.13% | | | 03/01/2028 | | | 3,427,268 | |
| | 2,000,000 | | | Medco Oak Tree Pte Ltd. | | | 7.38% | | | 05/14/2026 | | | 2,032,020 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | 10,277,908 | |
| | | |
| | JAMAICA - 0.0%(e) | |
| | 192,469 | | | Digicel Group Holdings Ltd. | | | 0.00%(b)(c) | | | 12/31/2030 | | | 24,654 | |
| | 464 | | | Digicel Group Holdings Ltd. | | | 0.00%(b)(c) | | | 12/31/2030 | | | 458 | |
| | 56,495 | | | Digicel Group Holdings Ltd. | | | 0.00%(b)(c) | | | 12/31/2030 | | | 784 | |
| | | | | | | | | | | 25,896 | |
| | | |
| | KOREA - 1.9% | |
| | 3,000,000 | | | LG Chem Ltd. | | | 3.25% | | | 10/15/2024 | | | 2,997,859 | |
| | | |
| | KUWAIT - 2.4% | |
| | 400,000 | | | MEGlobal BV | | | 4.25% | | | 11/03/2026 | | | 395,622 | |
| | 3,400,000 | | | MEGlobal Canada ULC | | | 5.00% | | | 05/18/2025 | | | 3,398,621 | |
| | | | | | | | | | | 3,794,243 | |
| | | |
| | MALAYSIA - 0.5% | |
| | 800,000 | | | Axiata SPV2 Bhd | | | 4.36% | | | 03/24/2026 | | | 800,347 | |
| | | |
| | MEXICO - 8.6% | |
| | 400,000 | | | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa | | | 4.38% | | | 04/11/2027 | | | 393,512 | |
| | 1,200,000 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
(5 yr. CMT Rate + 3.00%) | | | 7.53% | | | 10/01/2028 | | | 1,266,895 | |
| | 1,800,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 3.00%) | | | 5.35% | | | 11/12/2029 | | | 1,792,862 | |
| | 2,450,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 2.65%) | | | 5.13% | | | 01/18/2033 | | | 2,332,179 | |
| | 1,000,000 | | | Cemex SAB de CV | | | 5.45% | | | 11/19/2029 | | | 1,013,962 | |
| | 2,500,000 | | | Comision Federal de Electricidad | | | 4.75% | | | 02/23/2027 | | | 2,480,124 | |
| | 1,800,000 | | | Industrias Penoles SAB de CV | | | 4.15% | | | 09/12/2029 | | | 1,742,957 | |
| | 650,000 | | | KUO SAB De CV | | | 5.75% | | | 07/07/2027 | | | 639,329 | |
| | 2,074,601 | | | Mexico Generadora de Energia S de RL | | | 5.50% | | | 12/06/2032 | | | 2,073,400 | |
| | | | | | | | | | | 13,735,220 | |
| | | |
| | PANAMA - 1.7% | |
| | 1,877,000 | | | Global Bank Corp.
(3 mo. LIBOR US + 3.30%) | | | 5.25%(f) | | | 04/16/2029 | | | 1,842,247 | |
| | 800,000 | | | Multibank, Inc. | | | 7.75%(c) | | | 02/03/2028 | | | 840,788 | |
| | | | | | | | | | | 2,683,035 | |
| | | |
| | PARAGUAY - 1.2% | |
| | 600,000 | | | Banco Continental SAECA | | | 2.75% | | | 12/10/2025 | | | 581,886 | |
| | 1,371,000 | | | Telefonica Celular del Paraguay SA | | | 5.88% | | | 04/15/2027 | | | 1,360,656 | |
| | | | | | | | | | | 1,942,542 | |
| | | |
| | PERU - 12.3% | |
| | 2,100,000 | | | Banco de Credito del Peru SA (5 yr. CMT Rate + 3.00%) | | | 3.13% | | | 07/01/2030 | | | 2,052,783 | |
| | 1,800,000 | | | Banco de Credito del Peru SA (5 yr. CMT Rate + 2.45%) | | | 3.25%(c) | | | 09/30/2031 | | | 1,708,291 | |
| | 1,400,000 | | | Banco Internacional del Peru SAA Interbank
(5 yr. CMT Rate + 3.71%) | | | 4.00% | | | 07/08/2030 | | | 1,378,131 | |
| | 500,000 | | | Camposol SA | | | 6.00% | | | 02/03/2027 | | | 450,691 | |
| | 2,000,000 | | | Cia de Minas Buenaventura SAA | | | 5.50% | | | 07/23/2026 | | | 1,975,028 | |
| | 2,525,000 | | | Fenix Power Peru SA | | | 4.32% | | | 09/20/2027 | | | 2,490,521 | |
| | 299,200 | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru | | | 6.38%(c) | | | 06/01/2028 | | | 301,102 | |
| | 1,500,000 | | | InRetail Shopping Malls | | | 5.75% | | | 04/03/2028 | | | 1,511,701 | |
| | | | | | | | | | | | | | | |
122
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 700,000 | | | Intercorp Financial Services, Inc. | | | 4.13% | | | 10/19/2027 | | | 676,950 | |
| | 67,872 | | | Interoceanica IV Finance Ltd.
Series 2007 | | | 0.00%(b) | | | 11/30/2025 | | | 64,817 | |
| | 2,300,000 | | | Kallpa Generacion SA | | | 4.88% | | | 05/24/2026 | | | 2,303,876 | |
| | 498,000 | | | Nexa Resources SA | | | 5.38% | | | 05/04/2027 | | | 499,122 | |
| | 200,000 | | | Nexa Resources SA | | | 6.50% | | | 01/18/2028 | | | 206,694 | |
| | 1,885,000 | | | Orazul Energy Peru SA | | | 5.63% | | | 04/28/2027 | | | 1,856,301 | |
| | 808,000 | | | Southern Copper Corp. | | | 3.88% | | | 04/23/2025 | | | 802,391 | |
| | 1,280,000 | | | Transportadora de Gas del Peru SA | | | 4.25% | | | 04/30/2028 | | | 1,259,222 | |
| | | | | | | | | | | 19,537,621 | |
| | | |
| | SINGAPORE - 6.6% | |
| | 3,800,000 | | | DBS Group Holdings Ltd.
(5 yr. CMT Rate + 1.10%) | | | 1.82% | | | 03/10/2031 | | | 3,654,148 | |
| | 3,200,000 | | | Oversea-Chinese Banking Corp. Ltd.
(5 yr. CMT Rate + 1.58%) | | | 1.83% | | | 09/10/2030 | | | 3,108,883 | |
| | 3,800,000 | | | United Overseas Bank Ltd.
(5 yr. CMT Rate + 1.52%) | | | 1.75% | | | 03/16/2031 | | | 3,642,984 | |
| | | | | | | | | | | 10,406,015 | |
| | | |
| | SOUTH AFRICA - 0.7% | |
| | 800,000 | | | Gold Fields Orogen Holdings BVI Ltd. | | | 6.13% | | | 05/15/2029 | | | 839,988 | |
| | 300,000 | | | Sasol Financing USA LLC | | | 4.38% | | | 09/18/2026 | | | 291,631 | |
| | | | | | | | | | | 1,131,619 | |
| | | |
| | VIETNAM - 0.5% | |
| | 843,281 | | | Mong Duong Finance Holdings BV | | | 5.13% | | | 05/07/2029 | | | 818,958 | |
| | | | | Total Foreign Corporate Bonds
(Cost $127,049,171) | | | | | | 127,437,066 | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 18.5% | |
| | BRAZIL - 0.7% | |
| | 1,100,000 | | | Petrobras Global Finance BV | | | 7.38% | | | 01/17/2027 | | | 1,153,596 | |
| | | |
| | COLOMBIA - 2.4% | |
| | 1,500,000 | | | Colombia Government International Bond | | | 4.50% | | | 01/28/2026 | | | 1,486,293 | |
| | 2,500,000 | | | Oleoducto Central SA | | | 4.00% | | | 07/14/2027 | | | 2,395,231 | |
| | | | | | | | | | | 3,881,524 | |
| | | |
| | GUATEMALA - 1.8% | |
| | 2,900,000 | | | Guatemala Government Bond | | | 4.50% | | | 05/03/2026 | | | 2,865,034 | |
| | | |
| | INDIA - 1.2% | |
| | 2,000,000 | | | ONGC Videsh Vankorneft Pte Ltd. | | | 3.75% | | | 07/27/2026 | | | 1,974,405 | |
| | | |
| | INDONESIA - 4.5% | |
| | 1,500,000 | | | Bank Negara Indonesia Persero Tbk PT | | | 3.75% | | | 03/30/2026 | | | 1,464,206 | |
| | 3,300,000 | | | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT | | | 4.75% | | | 05/15/2025 | | | 3,294,104 | |
| | 2,400,000 | | | Pertamina Persero PT | | | 1.40% | | | 02/09/2026 | | | 2,300,177 | |
| | | | | | | | | | | 7,058,487 | |
| | | |
| | MALAYSIA - 1.9% | |
| | 3,000,000 | | | TNB Global Ventures Capital Bhd | | | 3.24% | | | 10/19/2026 | | | 2,931,799 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | MEXICO - 2.1% | |
| | 3,000,000 | | | Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%) | | | 2.72% | | | 08/11/2031 | | | 2,748,352 | |
| | 500,000 | | | Comision Federal de Electricidad | | | 5.70%(c) | | | 01/24/2030 | | | 501,475 | |
| | | | | | | | | | | 3,249,827 | |
| | | |
| | PARAGUAY - 2.0% | |
| | 1,985,527 | | | Bioceanico Sovereign Certificate Ltd. | | | 0.00% | | | 06/05/2034 | | | 1,563,734 | |
| | 1,400,000 | | | Paraguay Government International Bond | | | 5.00% | | | 04/15/2026 | | | 1,403,421 | |
| | 200,000 | | | Paraguay Government International Bond | | | 4.70% | | | 03/27/2027 | | | 199,900 | |
| | | | | | | | | | | 3,167,055 | |
| | | |
| | PERU - 1.6% | |
| | 1,306,522 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 1,328,248 | |
| | 1,300,000 | | | Peruvian Government International Bond | | | 2.39% | | | 01/23/2026 | | | 1,262,297 | |
| | | | | | | | | | | 2,590,545 | |
| | | |
| | SOUTH AFRICA - 0.3% | |
| | 500,000 | | | Republic of South Africa Government International Bond | | | 4.88% | | | 04/14/2026 | | | 500,288 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $29,131,667) | | | | | | 29,372,560 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 0.0%(e) | |
| | 14,977 | | | First American Government Obligations Fund - U | | | 4.84%(g) | | | | | | 14,977 | |
| | 14,978 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(g) | | | | | | 14,978 | |
| | 14,977 | | | MSILF Government Portfolio - Institutional | | | 4.83%(g) | | | | | | 14,977 | |
| | | | | Total Short Term Investments
(Cost $44,932) | | | | | | 44,932 | |
| | | | | Total Investments - 98.8%
(Cost $156,225,770) | | | 156,854,558 | |
| | | | | Other Assets in Excess of Liabilities - 1.2% | | | 1,899,509 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $158,754,067 | |
| | | | | | | | | | | | | | | |
| | | |
| | Foreign Corporate Bonds | | | 80.3% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 18.5% | |
| | Short Term Investments | | | 0.0%(e) | |
| | Other Assets and Liabilities | | | 1.2% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 123
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund (Cont.) |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
| | Banking | | | 23.3% | |
| | Utilities | | | 14.8% | |
| | Energy | | | 11.9% | |
| | Mining | | | 11.1% | |
| | Transportation | | | 11.0% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 6.1% | |
| | Consumer Products | | | 5.3% | |
| | Chemical Products | | | 4.2% | |
| | Telecommunications | | | 3.9% | |
| | Chemicals/Plastics | | | 3.1% | |
| | Retailers (other than Food/Drug) | | | 1.4% | |
| | Finance | | | 0.7% | |
| | Food Products | | | 0.6% | |
| | Building and Development (including Steel/Metals) | | | 0.6% | |
| | Pulp & Paper | | | 0.4% | |
| | Conglomerates | | | 0.4% | |
| | Short Term Investments | | | 0.0%(e) | |
| | Other Assets and Liabilities | | | 1.2% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | COUNTRY BREAKDOWN as a % of Net Assets: | | | | |
| | Peru | | | 13.9% | |
| | Brazil | | | 13.0% | |
| | Colombia | | | 11.4% | |
| | Indonesia | | | 11.0% | |
| | Mexico | | | 10.7% | |
| | India | | | 8.3% | |
| | Singapore | | | 6.6% | |
| | Chile | | | 5.9% | |
| | Guatemala | | | 4.9% | |
| | Paraguay | | | 3.2% | |
| | Kuwait | | | 2.4% | |
| | Malaysia | | | 2.4% | |
| | Korea | | | 1.9% | |
| | Panama | | | 1.7% | |
| | South Africa | | | 1.0% | |
| | Vietnam | | | 0.5% | |
| | United States | | | 0.0%(e) | |
| | Jamaica | | | 0.0%(e) | |
| | Other Assets and Liabilities | | | 1.2% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security is in default or has failed to make a scheduled payment. Income is not being accrued.
|
(b)
| Value determined using significant unobservable inputs.
|
(c)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.
|
(d)
| Perpetual maturity. The date disclosed is the next call date of the security.
|
(e)
| Represents less than 0.05% of net assets.
|
(f)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
|
(g)
| Seven-day yield as of period end. |
CMT
| Constant Maturity Treasury Rate
|
LIBOR
| London Interbank Offered Rate |
124
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Long Duration Total Return Bond Fund | (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 69.4% | |
| | | | | Federal Home Loan Mortgage Corp. | |
| | 1,498,692 | | | Pool SD5573 | | | 3.00% | | | 08/01/2052 | | | 1,364,830 | |
| | 1,555,253 | | | Pool SD7512 | | | 3.00% | | | 02/01/2050 | | | 1,420,178 | |
| | 1,580,172 | | | Pool SD7553 | | | 3.00% | | | 03/01/2052 | | | 1,439,345 | |
| | 1,407,862 | | | Series 4194-ZL | | | 3.00%(a) | | | 04/15/2043 | | | 1,281,031 | |
| | 3,022,552 | | | Series 4390-NZ | | | 3.00%(a) | | | 09/15/2044 | | | 2,744,458 | |
| | 1,061,513 | | | Series 4460-KB | | | 3.50% | | | 03/15/2045 | | | 989,740 | |
| | 557,907 | | | Series 4839-WO | | | 0.00%(b) | | | 08/15/2056 | | | 378,208 | |
| | 2,000,000 | | | Series 4994-AV | | | 2.00% | | | 12/25/2045 | | | 1,615,370 | |
| | 1,302,706 | | | Series 5145-HZ | | | 3.00%(a) | | | 09/25/2051 | | | 860,006 | |
| | 1,912,949 | | | Series 5155-JZ | | | 3.00%(a) | | | 10/25/2051 | | | 1,250,485 | |
| | 1,742,347 | | | Series 5155-KZ | | | 3.00%(a) | | | 10/25/2051 | | | 1,178,924 | |
| | 1,554,610 | | | Series 5160-ZY | | | 3.00%(a) | | | 10/25/2050 | | | 1,174,907 | |
| | 1,863,079 | | | Series 5171-Z | | | 2.00%(a) | | | 12/25/2051 | | | 1,085,496 | |
| | 1,317,789 | | | Series 5319-PO | | | 0.00%(b) | | | 08/25/2050 | | | 933,016 | |
| | 346,069 | | | Series 5326-UO | | | 0.00%(b) | | | 10/25/2050 | | | 241,434 | |
| | | | | Federal National Mortgage Association | |
| | 1,582,781 | | | Pool 310233 | | | 3.50% | | | 03/01/2044 | | | 1,507,308 | |
| | 967,000 | | | Pool BS7220 | | | 5.23% | | | 11/01/2032 | | | 1,031,589 | |
| | 1,633,898 | | | Pool BU5836 | | | 2.00% | | | 11/01/2051 | | | 1,370,204 | |
| | 1,527,153 | | | Pool BV9867 | | | 3.00% | | | 05/01/2052 | | | 1,371,861 | |
| | 287,000 | | | Pool BZ1178 | | | 5.81% | | | 06/01/2031 | | | 303,043 | |
| | 1,514,665 | | | Pool FS3826 | | | 3.00% | | | 01/01/2052 | | | 1,360,309 | |
| | 1,466,239 | | | Pool FS5984 | | | 3.00% | | | 12/01/2050 | | | 1,341,669 | |
| | 1,514,284 | | | Pool FS8304 | | | 3.00% | | | 05/01/2052 | | | 1,379,055 | |
| | 1,260,000 | | | Series 2012-128-UC | | | 2.50% | | | 11/25/2042 | | | 982,220 | |
| | 650,864 | | | Series 2013-66-ZK | | | 3.00%(a) | | | 07/25/2043 | | | 507,560 | |
| | 1,571,399 | | | Series 2014-42-BZ | | | 3.00%(a) | | | 07/25/2044 | | | 1,405,107 | |
| | 373,135 | | | Series 2014-68-TD | | | 3.00% | | | 11/25/2044 | | | 345,303 | |
| | 487,730 | | | Series 2014-80-KL | | | 2.00% | | | 05/25/2043 | | | 342,481 | |
| | 716,305 | | | Series 2016-64-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | | | 0.61%(c)(d) | | | 09/25/2046 | | | 96,233 | |
| | 212,450 | | | Series 2018-21-PO | | | 0.00%(b) | | | 04/25/2048 | | | 166,698 | |
| | 2,826,614 | | | Series 2019-68-ZL | | | 2.50%(a) | | | 11/25/2049 | | | 2,222,111 | |
| | 1,732,082 | | | Series 2021-17-SB (-1 x 30 day avg SOFR US + 3.30%, 0.00% Floor, 3.30% Cap) | | | 0.00%(c)(d) | | | 04/25/2051 | | | 51,301 | |
| | 1,808,703 | | | Series 2021-93-Z | | | 3.00%(a) | | | 08/25/2051 | | | 1,277,747 | |
| | 3,178,000 | | | Series 2023-M1-2A2 | | | 4.05%(e) | | | 07/25/2040 | | | 2,971,549 | |
| | | | | Freddie Mac Seasoned Credit Risk Transfer Trust | |
| | 1,005,000 | | | Series 2021-2-MBU | | | 2.50% | | | 11/25/2060 | | | 700,106 | |
| | | | | Government National Mortgage Association | |
| | 214,214 | | | Series 2013-180-LO | | | 0.00%(b) | | | 11/16/2043 | | | 170,071 | |
| | 3,527,788 | | | Series 2015-79-VZ | | | 2.50%(a) | | | 05/20/2045 | | | 3,121,803 | |
| | 350,357 | | | Series 2016-12-MZ | | | 3.00%(a) | | | 01/20/2046 | | | 286,028 | |
| | 1,195,636 | | | Series 2017-122-CZ | | | 3.00%(a) | | | 08/20/2047 | | | 968,326 | |
| | 1,545,326 | | | Series 2021-105-JS (-1 x 30 day avg SOFR US + 3.65%, 0.00% Floor, 3.65% Cap) | | | 0.00%(c)(d) | | | 06/20/2051 | | | 73,507 | |
| | 1,377,602 | | | Series 2021-223-EZ | | | 3.00%(a) | | | 12/20/2051 | | | 1,052,245 | |
| | 725,014 | | | Series 2021-42-SB (-1 x 1 mo. Term SOFR + 6.24%, 0.00% Floor, 6.35% Cap) | | | 1.27%(c)(d) | | | 03/20/2051 | | | 124,056 | |
| | 1,593,863 | | | Series 2021-89-SA (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap) | | | 0.00%(c)(d) | | | 05/20/2051 | | | 64,410 | |
| | 372,554 | | | Series 2022-160-DZ | | | 4.50%(a) | | | 09/20/2052 | | | 325,565 | |
| | 8,930,037 | | | Series 2022-85-SA (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap) | | | 0.00%(c)(d) | | | 05/20/2052 | | | 78,420 | |
| | 1,795,618 | | | Series 2022-9-MZ | | | 3.50%(a) | | | 01/20/2052 | | | 1,451,678 | |
| | 1,052,000 | | | Series 2022-99-QG | | | 3.50% | | | 01/20/2052 | | | 927,182 | |
| | 853,607 | | | Series 2023-140-PO | | | 0.00%(b) | | | 06/20/2048 | | | 569,819 | |
| | | | | Total US Government and Agency Mortgage Backed Obligations
(Cost $48,867,238) | | | | | | 47,903,993 | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 6.2% | |
| | 1,200,000 | | | United States Treasury Note/Bond | | | 0.50% | | | 06/30/2027 | | | 1,104,188 | |
| | 400,000 | | | United States Treasury Note/Bond | | | 1.13% | | | 05/15/2040 | | | 264,414 | |
| | 1,050,000 | | | United States Treasury Note/Bond | | | 1.38% | | | 08/15/2050 | | | 578,730 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,850,000 | | | United States Treasury Note/Bond | | | 1.63% | | | 11/15/2050 | | | 1,088,537 | |
| | 1,950,000 | | | United States Treasury Note/Bond | | | 1.88% | | | 02/15/2051 | | | 1,222,368 | |
| | | | | Total US Government and Agency Obligations
(Cost $3,996,249) | | | | | | 4,258,237 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 34.3% | |
| | 2,294,854 | | | First American Government Obligations Fund - U | | | 4.84%(f) | | | | | | 2,294,854 | |
| | 2,294,855 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(f) | | | | | | 2,294,855 | |
| | 2,294,855 | | | MSILF Government Portfolio - Institutional | | | 4.83%(f) | | | | | | 2,294,855 | |
| | $5,000,000 | | | United States Treasury Bill | | | 0.00% | | | 10/01/2024 | | | 5,000,000 | |
| | 12,000,000 | | | United States Treasury Bill | | | 0.00% | | | 03/20/2025 | | | 11,757,750 | |
| | | | | Total Short Term Investments
(Cost $23,640,845) | | | | | | 23,642,314 | |
| | | | | Total Investments - 109.9%
(Cost $76,504,332) | | | 75,804,544 | |
| | | | | Other Liabilities in Excess of Assets - (9.9)% | | | | | | | | | (6,845,498) | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $68,959,046 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | US Government and Agency Mortgage Backed Obligations | | | 69.4% | |
| | Short Term Investments | | | 34.3% | |
| | US Government and Agency Obligations | | | 6.2% | |
| | Other Assets and Liabilities | | | (9.9)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end.
|
(b)
| Principal only security
|
(c)
| Interest only security
|
(d)
| Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
|
(e)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
|
(f)
| Seven-day yield as of period end. |
SOFR
| Secured Overnight Financing Rate |
Futures Contracts
| | | | | | | | | | | | | | | | |
U.S. Treasury 5 Year Notes | | | Short | | | (85) | | | 12/31/2024 | | | $(9,340,039) | | | $4,122 |
10 Year U.S. Ultra Treasury Notes | | | Short | | | (413) | | | 12/19/2024 | | | (48,856,610) | | | (13,392) |
U.S. Treasury 2 Year Notes | | | Long | | | 67 | | | 12/31/2024 | | | 13,952,227 | | | (31,580) |
U.S. Treasury Ultra Bonds | | | Long | | | 179 | | | 12/19/2024 | | | 23,823,781 | | | (95,925) |
U.S. Treasury Long Bonds | | | Long | | | 336 | | | 12/19/2024 | | | 41,727,000 | | | (266,437) |
| | | | | | | | | | | | | | | $ (403,212) |
| | | | | | | | | | | | | | | | |
(1)
| Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars. |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 125
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Strategic Commodity Fund (Consolidated) | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 101.3% | |
| | 1,823,970 | | | First American Government Obligations Fund - U | | | 4.84%(a)(b) | | | | | | 1,823,970 | |
| | 1,823,970 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(a)(b) | | | | | | 1,823,970 | |
| | 1,823,970 | | | MSILF Government Portfolio - Institutional | | | 4.83%(a)(b) | | | | | | 1,823,970 | |
| | $37,000,000 | | | United States Treasury Bill | | | 0.00%(a) | | | 10/10/2024 | | | 36,957,080 | |
| | 11,000,000 | | | United States Treasury Bill | | | 0.00% | | | 10/17/2024 | | | 10,977,034 | |
| | 47,000,000 | | | United States Treasury Bill | | | 0.00% | | | 10/29/2024 | | | 46,826,909 | |
| | 23,500,000 | | | United States Treasury Bill | | | 0.00%(a)(c) | | | 11/05/2024 | | | 23,394,233 | |
| | 3,000,000 | | | United States Treasury Bill | | | 0.00%(a)(c) | | | 12/10/2024 | | | 2,973,940 | |
| | 3,000,000 | | | United States Treasury Bill | | | 0.00% | | | 01/28/2025 | | | 2,955,881 | |
| | | | | Total Short Term Investments
(Cost $129,517,830) | | | | | | 129,556,987 | |
| | | | | Total Investments - 101.3%
(Cost $129,517,830) | | | 129,556,987 | |
| | | | | Other Liabilities in Excess of Assets - (1.3)% | | | | | | | | | (1,645,574) | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $127,911,413 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | Short Term Investments | | | 101.3% | |
| | Other Assets and Liabilities | | | (1.3)% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| All or a portion of this security is owned by DoubleLine Strategic Commodity Ltd., which is a wholly owned subsidiary of the DoubleLine Strategic Commodity Fund.
|
(b)
| Seven-day yield as of period end.
|
(c)
| All or a portion of security has been pledged as collateral. |
Swap Agreements
Excess Return Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Beta Basket Swap(1)(2) | | | Barclays Capital, Inc. | | | Long | | | 0.20% | | | Termination | | | 10/01/2024 | | | $42,400,000 | | | $1,726,399 | | | $ — | | | $1,726,399 |
Commodity Beta Basket Swap(1)(2) | | | Canadian Imperial Bank
of Commerce | | | Long | | | 0.21% | | | Termination | | | 10/01/2024 | | | 10,200,000 | | | 415,237 | | | — | | | 415,237 |
Commodity Beta Basket Swap(1)(2) | | | Bank of America
Securities, Inc. | | | Long | | | 0.23% | | | Termination | | | 10/01/2024 | | | 10,200,000 | | | 415,086 | | | — | | | 415,086 |
Long Commodity Basket Swap(1)(3) | | | Bank of America
Securities, Inc. | | | Long | | | 0.20% | | | Termination | | | 10/01/2024 | | | 15,900,000 | | | 20,432 | | | — | | | 20,432 |
Long Commodity Basket Swap(1)(4) | | | Canadian Imperial Bank
of Commerce | | | Long | | | 0.20% | | | Termination | | | 10/01/2024 | | | 15,600,000 | | | 20,045 | | | — | | | 20,045 |
Short Commodity Basket Swap(1)(5) | | | Canadian Imperial Bank
of Commerce | | | Short | | | 0.00% | | | Termination | | | 10/01/2024 | | | (15,600,000) | | | (619,557) | | | — | | | (619,557) |
Short Commodity Basket Swap(1)(6) | | | Bank of America
Securities, Inc. | | | Short | | | 0.00% | | | Termination | | | 10/01/2024 | | | (15,900,000) | | | (631,471) | | | — | | | (631,471) |
| | | | | | | | | | | | | | | | | | | | | $ 1,346,171 | | | $— | | | $1,346,171 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1)
| All or a portion of this security is owned by DoubleLine Strategic Commodity Ltd., which is a wholly-owned subsidiary of the DoubleLine Strategic Commodity Fund. |
(2)
| Commodity Beta Basket Swap represents a swap on a basket of commodity indices designed to approximate the broad commodity market. At September 30, 2024, all constituents and their weightings were as follows: |
| | | | | | | | | | | | | |
Electrolytic Copper Future | | | LP1 | | | 0.22 | | | $ 154 | | | 23.2% |
Soybean Future | | | S1 | | | 0.35 | | | 122 | | | 18.4% |
Nickel Future | | | LN1 | | | 0.28 | | | 91 | | | 13.7% |
Crude Oil Future | | | CL1 | | | 0.10 | | | 65 | | | 9.7% |
Brent Crude Future | | | CO1 | | | 0.10 | | | 64 | | | 9.7% |
Live Cattle Future | | | LC1 | | | 0.18 | | | 35 | | | 5.2% |
Sugar No. 11 Future | | | SB1 | | | 0.16 | | | 33 | | | 5.0% |
Gasoline RBOB Future | | | XB1 | | | 0.06 | | | 30 | | | 4.6% |
Low Sulphur Gas Oil Future | | | QS1 | | | 0.08 | | | 28 | | | 4.3% |
Cotton No. 2 Future | | | CT1 | | | 0.40 | | | 25 | | | 3.8% |
NY Harbor ULSD Heating Oil Future | | | HO1 | | | 0.06 | | | 16 | | | 2.4% |
| | | | | | | | | $663 | | | 100.0% |
| | | | | | | | | | | | | |
126
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
(3)
| Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2024, all constituents and their weightings were as follows: |
| | | | | | | | | | | | | |
S&P GSCI 2 Month Forward Cocoa ER | | | SG2MCCP | | | 0.15 | | | $38 | | | 21.7% |
S&P GSCI 2 Month Forward Unleaded Gas ER | | | SG2MHUP | | | 0.02 | | | 34 | | | 19.7% |
S&P GSCI 2 Month Forward Brent Crude ER | | | SG2MBRP | | | 0.03 | | | 34 | | | 19.6% |
S&P GSCI 2 Month Forward Crude Oil ER | | | SG2MCLP | | | 0.07 | | | 34 | | | 19.6% |
S&P GSCI 2 Month Forward Gasoil ER | | | SG2MGOP | | | 0.29 | | | 33 | | | 19.4% |
| | | | | | | | | $ 173 | | | 100.0% |
| | | | | | | | | | | | | |
(4)
| Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2024, all constituents and their weightings were as follows: |
| | | | | | | | | | | | | |
S&P GSCI 2 Month Forward Cocoa ER | | | SG2MCCP | | | 0.12 | | | $29 | | | 21.7% |
S&P GSCI 2 Month Forward Unleaded Gas ER | | | SG2MHUP | | | 0.02 | | | 26 | | | 19.7% |
S&P GSCI 2 Month Forward Brent Crude ER | | | SG2MBRP | | | 0.02 | | | 26 | | | 19.6% |
S&P GSCI 2 Month Forward Crude Oil ER | | | SG2MCLP | | | 0.05 | | | 26 | | | 19.6% |
S&P GSCI 2 Month Forward Gasoil ER | | | SG2MGOP | | | 0.22 | | | 26 | | | 19.4% |
| | | | | | | | | $ 133 | | | 100.0% |
| | | | | | | | | | | | | |
(5)
| Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2024, all constituents and their weightings were as follows: |
| | | | | | | | | | | | | |
S&P GSCI 2 Month Forward Natural Gas ER | | | SG2MNGP | | | 8.89 | | | $43 | | | 20.7% |
S&P GSCI 2 Month Forward Cotton ER | | | SG2MCTP | | | 0.93 | | | 42 | | | 20.1% |
S&P GSCI 2 Month Forward Wheat ER | | | SG2MWHP | | | 4.47 | | | 41 | | | 19.9% |
S&P GSCI 2 Month Forward Corn ER | | | SG2MCNP | | | 1.61 | | | 41 | | | 19.8% |
S&P GSCI 2 Month Forward Kansas Wheat ER | | | SG2MKWP | | | 1.58 | | | 40 | | | 19.5% |
| | | | | | | | | $ 207 | | | 100.0% |
| | | | | | | | | | | | | |
(6)
| Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2024, all constituents and their weightings were as follows: |
| | | | | | | | | | | | | |
S&P GSCI 2 Month Forward Natural Gas ER | | | SG2MNGP | | | 8.13 | | | $39 | | | 20.7% |
S&P GSCI 2 Month Forward Cotton ER | | | SG2MCTP | | | 0.85 | | | 38 | | | 20.1% |
S&P GSCI 2 Month Forward Wheat ER | | | SG2MWHP | | | 4.09 | | | 38 | | | 19.9% |
S&P GSCI 2 Month Forward Corn ER | | | SG2MCNP | | | 1.48 | | | 37 | | | 19.8% |
S&P GSCI 2 Month Forward Kansas Wheat ER | | | SG2MKWP | | | 1.44 | | | 37 | | | 19.5% |
| | | | | | | | | $ 189 | | | 100.0% |
| | | | | | | | | | | | | |
(7)
| Contract value represents the number of units of the underlying constituent’s index in one unit of the custom basket index at creation. The contract value is calculated by multiplying each constituent’s weight by the starting price of the custom basket index and dividing by the starting price of the constituent’s index. The contract value will differ depending on the date the swap is initiated. |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 127
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Global Bond Fund | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 63.5% | |
| | AUSTRALIA - 2.8% | |
| | 1,300,000 AUD | | | Australia Government Bond | | | 1.00% | | | 12/21/2030 | | | 763,364 | |
| | 5,817,000 AUD | | | Australia Government Bond | | | 1.50% | | | 06/21/2031 | | | 3,481,192 | |
| | | | | | | | | | | 4,244,556 | |
| | | |
| | BELGIUM - 3.8% | |
| | 3,126,000 EUR | | | Kingdom of Belgium Government Bond | | | 0.90%(a) | | | 06/22/2029 | | | 3,265,152 | |
| | 2,200,000 EUR | | | Kingdom of Belgium Government Bond | | | 2.85%(a) | | | 10/22/2034 | | | 2,469,835 | |
| | | | | | | | | | | 5,734,987 | |
| | | |
| | CANADA - 0.8% | |
| | 1,700,000 CAD | | | Canadian Government Bond | | | 1.50% | | | 06/01/2031 | | | 1,156,721 | |
| | | |
| | CZECH REPUBLIC - 0.8% | |
| | 29,600,000 CZK | | | Czech Republic Government Bond | | | 2.75% | | | 07/23/2029 | | | 1,272,011 | |
| | | |
| | FRANCE - 4.2% | |
| | 660,000 EUR | | | French Republic Government Bond OAT | | | 0.00%(a) | | | 11/25/2029 | | | 647,381 | |
| | 2,572,807 EUR | | | French Republic Government Bond OAT | | | 0.70%(a) | | | 07/25/2030 | | | 2,870,674 | |
| | 2,460,000 EUR | | | French Republic Government Bond OAT | | | 3.00%(a) | | | 05/25/2033 | | | 2,781,353 | |
| | | | | | | | | | | 6,299,408 | |
| | | |
| | GERMANY - 7.4% | |
| | 4,390,000 EUR | | | Bundesrepublik Deutschland Bundesanleihe | | | 0.00% | | | 08/15/2030 | | | 4,376,977 | |
| | 2,500,000 EUR | | | Bundesrepublik Deutschland Bundesanleihe | | | 0.00% | | | 02/15/2031 | | | 2,466,566 | |
| | 1,630,000 EUR | | | Bundesrepublik Deutschland Bundesanleihe | | | 1.70% | | | 08/15/2032 | | | 1,777,412 | |
| | 2,650,000 EUR | | | Bundesrepublik Deutschland Bundesanleihe | | | 1.00% | | | 05/15/2038 | | | 2,491,817 | |
| | | | | | | | | | | 11,112,772 | |
| | | |
| | HUNGARY - 3.1% | |
| | 835,000,000 HUF | | | Hungary Government Bond | | | 3.00% | | | 10/27/2027 | | | 2,172,024 | |
| | 932,000,000 HUF | | | Hungary Government Bond | | | 4.75% | | | 11/24/2032 | | | 2,405,860 | |
| | | | | | | | | | | 4,577,884 | |
| | | |
| | IRELAND - 1.8% | |
| | 680,000 EUR | | | Ireland Government Bond | | | 0.90% | | | 05/15/2028 | | | 726,820 | |
| | 1,910,000 EUR | | | Ireland Government Bond | | | 1.10% | | | 05/15/2029 | | | 2,028,612 | |
| | | | | | | | | | | 2,755,432 | |
| | | |
| | ISRAEL - 4.0% | |
| | 9,300,000 ILS | | | Israel Government Bond | | | 0.50% | | | 02/27/2026 | | | 2,365,290 | |
| | 13,600,000 ILS | | | Israel Government Bond | | | 3.75% | | | 09/30/2027 | | | 3,577,483 | |
| | | | | | | | | | | 5,942,773 | |
| | | |
| | JAPAN - 9.7% | |
| | 361,000,000 JPY | | | Japan Government Ten Year Bond | | | 0.10% | | | 12/20/2026 | | | 2,496,293 | |
| | 812,500,000 JPY | | | Japan Government Ten Year Bond | | | 0.10% | | | 12/20/2027 | | | 5,600,752 | |
| | 500,000,000 JPY | | | Japan Government Twenty Year Bond | | | 1.90% | | | 03/20/2031 | | | 3,775,408 | |
| | 418,000,000 JPY | | | Japan Government Twenty Year Bond | | | 0.50% | | | 03/20/2038 | | | 2,643,992 | |
| | | | | | | | | | | 14,516,445 | |
| | | |
| | MEXICO - 2.4% | |
| | 53,900,000 MXN | | | Mexican Bonos | | | 5.00% | | | 03/06/2025 | | | 2,675,429 | |
| | 20,300,000 MXN | | | Mexican Bonos | | | 5.75% | | | 03/05/2026 | | | 978,891 | |
| | | | | | | | | | | 3,654,320 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | NEW ZEALAND - 2.1% | |
| | 5,800,000 NZD | | | New Zealand Government Bond | | | 1.50% | | | 05/15/2031 | | | 3,152,608 | |
| | | |
| | PERU - 2.5% | |
| | 13,900,000 PEN | | | Peru Government Bond | | | 6.15% | | | 08/12/2032 | | | 3,807,773 | |
| | | |
| | POLAND - 2.4% | |
| | 11,100,000 PLN | | | Republic of Poland Government Bond | | | 1.75% | | | 04/25/2032 | | | 2,291,655 | |
| | 5,000,000 PLN | | | Republic of Poland Government Bond | | | 6.00% | | | 10/25/2033 | | | 1,374,505 | |
| | | | | | | | | | | 3,666,160 | |
| | | |
| | PORTUGAL - 1.0% | |
| | 1,420,000 EUR | | | Portugal Obrigacoes do Tesouro OT | | | 0.48%(a) | | | 10/18/2030 | | | 1,424,288 | |
| | | |
| | ROMANIA - 3.2% | |
| | 21,250,000 RON | | | Romania Government Bond | | | 3.70% | | | 11/25/2024 | | | 4,749,068 | |
| | | |
| | SOUTH AFRICA - 4.5% | |
| | 38,190,000 ZAR | | | Republic of South Africa Government Bond | | | 8.00% | | | 01/31/2030 | | | 2,133,985 | |
| | 46,300,000 ZAR | | | Republic of South Africa Government Bond | | | 8.25% | | | 03/31/2032 | | | 2,511,665 | |
| | 38,570,000 ZAR | | | Republic of South Africa Government Bond | | | 8.88% | | | 02/28/2035 | | | 2,067,523 | |
| | | | | | | | | | | 6,713,173 | |
| | | |
| | SPAIN - 4.7% | |
| | 1,470,000 EUR | | | Spain Government Bond | | | 1.30%(a) | | | 10/31/2026 | | | 1,604,227 | |
| | 4,440,000 EUR | | | Spain Government Bond | | | 0.60%(a) | | | 10/31/2029 | | | 4,512,947 | |
| | 970,000 EUR | | | Spain Government Bond | | | 0.50%(a) | | | 04/30/2030 | | | 970,162 | |
| | | | | | | | | | | 7,087,336 | |
| | | |
| | UNITED KINGDOM - 2.3% | |
| | 2,500,000 GBP | | | United Kingdom Gilt | | | 4.25% | | | 03/07/2036 | | | 3,390,925 | |
| | | | | Total Foreign Government
Bonds, Foreign Agencies
and Foreign Government
Sponsored Corporations
(Cost $101,090,902) | | | | | | 95,258,640 | |
| | | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 34.8% | |
| | UNITED STATES - 34.8% | |
| | 500,000 USD | | | United States Treasury Note/Bond | | | 0.50% | | | 03/31/2025 | | | 490,571 | |
| | 2,150,000 USD | | | United States Treasury Note/Bond | | | 0.25% | | | 06/30/2025 | | | 2,089,147 | |
| | 2,150,000 USD | | | United States Treasury Note/Bond | | | 0.25% | | | 07/31/2025 | | | 2,083,536 | |
| | 3,180,000 USD | | | United States Treasury Note/Bond | | | 0.38% | | | 11/30/2025 | | | 3,054,912 | |
| | 5,500,000 USD | | | United States Treasury Note/Bond | | | 0.75% | | | 05/31/2026 | | | 5,239,394 | |
| | 2,810,000 USD | | | United States Treasury Note/Bond | | | 0.63% | | | 03/31/2027 | | | 2,612,861 | |
| | 2,870,000 USD | | | United States Treasury Note/Bond | | | 0.50% | | | 10/31/2027 | | | 2,614,615 | |
| | 2,870,000 USD | | | United States Treasury Note/Bond | | | 0.63% | | | 11/30/2027 | | | 2,618,819 | |
| | 2,250,000 USD | | | United States Treasury Note/Bond | | | 0.63% | | | 12/31/2027 | | | 2,048,906 | |
| | 5,800,000 USD | | | United States Treasury Note/Bond | | | 0.75% | | | 01/31/2028 | | | 5,289,668 | |
| | 4,310,000 USD | | | United States Treasury Note/Bond | | | 0.63% | | | 05/15/2030 | | | 3,660,890 | |
| | 6,650,000 USD | | | United States Treasury Note/Bond | | | 0.63% | | | 08/15/2030 | | | 5,605,612 | |
| | 6,140,000 USD | | | United States Treasury Note/Bond | | | 0.88% | | | 11/15/2030 | | | 5,226,795 | |
| | 1,900,000 USD | | | United States Treasury Note/Bond | | | 1.13% | | | 05/15/2040 | | | 1,255,967 | |
| | | |
| | | |
128
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 3,820,000 USD | | | United States Treasury Note/Bond | | | 1.38% | | | 11/15/2040 | | | 2,593,720 | |
| | 1,550,000 USD | | | United States Treasury Note/Bond | | | 1.75% | | | 08/15/2041 | | | 1,099,622 | |
| | 7,150,000 USD | | | United States Treasury Note/Bond | | | 1.25% | | | 05/15/2050 | | | 3,828,043 | |
| | 1,500,000 USD | | | United States Treasury Note/Bond | | | 1.38% | | | 08/15/2050 | | | 826,757 | |
| | | | | Total US Government and Agency Obligations (Cost $50,698,157) | | | | | | 52,239,835 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 0.6% | |
| | 276,437 USD | | | First American Government Obligations Fund - U | | | 4.84%(b) | | | | | | 276,437 | |
| | 276,437 USD | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(b) | | | | | | 276,437 | |
| | 276,436 USD | | | MSILF Government Portfolio - Institutional | | | 4.83%(b) | | | | | | 276,436 | |
| | | | | Total Short Term Investments
(Cost $829,310) | | | | | | 829,310 | |
| | | | | Total Investments - 98.9%
(Cost $152,618,369) | | | | | | 148,327,785 | |
| | | | | Other Assets in Excess of Liabilities - 1.1% | | | | | | | | | 1,672,156 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $149,999,941 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 63.5% | |
| | US Government and Agency Obligations | | | 34.8% | |
| | Short Term Investments | | | 0.6% | |
| | Other Assets and Liabilities | | | 1.1% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | COUNTRY BREAKDOWN as a % of Net Assets: | | | | |
| | United States | | | 35.4% | |
| | Japan | | | 9.7% | |
| | Germany | | | 7.4% | |
| | Spain | | | 4.7% | |
| | South Africa | | | 4.5% | |
| | France | | | 4.2% | |
| | Israel | | | 4.0% | |
| | Belgium | | | 3.8% | |
| | Romania | | | 3.2% | |
| | Hungary | | | 3.1% | |
| | Australia | | | 2.8% | |
| | Peru | | | 2.5% | |
| | Poland | | | 2.4% | |
| | Mexico | | | 2.4% | |
| | United Kingdom | | | 2.3% | |
| | New Zealand | | | 2.1% | |
| | Ireland | | | 1.8% | |
| | Portugal | | | 1.0% | |
| | Czech Republic | | | 0.8% | |
| | Canada | | | 0.8% | |
| | Other Assets and Liabilities | | | 1.1% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
(b)
| Seven-day yield as of period end. |
AUD Australian Dollar
CAD Canadian Dollar
CZK Czech Republic Koruna
EUR Euro
GBP British Pound
HUF Hungarian Forint
ILS Israeli Shekel
JPY Japanese Yen
MXN Mexican Peso
NZD New Zealand Dollar
PEN Peruvian Sol
PLN Polish Zloty
RON Romanian Leu
USD United States Dollar
ZAR South African Rand
Forward Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | |
10/18/2024 | | | Goldman Sachs | | | 13,600,000 | | | ILS | | | $3,649,640 | | | 3,664,481 | | | USD | | | $3,664,481 | | | $14,841 |
10/18/2024 | | | State Street Bank & Trust Co. | | | 8,725,139 | | | ILS | | | 2,341,442 | | | 2,350,832 | | | USD | | | 2,350,832 | | | 9,390 |
| | | | | | | | | | | | | | | | | | | | | | | | $24,231 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 129
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Infrastructure Income Fund | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS - 36.2% | |
| | | | | Apollo Aviation Securitization Equity Trust | |
| | 8,464,287 | | | Series 2024-1A-B | | | 6.90%(a) | | | 05/16/2049 | | | 8,671,891 | |
| | | | | Blackbird Capital Aircraft | |
| | 2,652,044 | | | Series 2016-1A-B | | | 5.68%(a)(b) | | | 12/16/2041 | | | 2,650,564 | |
| | | | | Blue Stream Communications LLC | |
| | 2,000,000 | | | Series 2023-1A-C | | | 8.90%(a) | | | 05/20/2053 | | | 1,913,391 | |
| | | | | Cologix Data Centers US Issuer LLC | |
| | 2,250,000 | | | Series 2021-1A-B | | | 3.79%(a) | | | 12/26/2051 | | | 2,132,814 | |
| | | | | Compass Datacenters LLC | |
| | 5,000,000 | | | Series 2024-1A-A2 | | | 5.75%(a) | | | 02/25/2049 | | | 5,039,753 | |
| | | | | Cyrusone Holdco LLC | |
| | 2,000,000 | | | Series 2023-1A-A2 | | | 4.30%(a) | | | 04/20/2048 | | | 1,939,298 | |
| | 1,383,331 | | | Series 2023-1A-B | | | 5.45%(a) | | | 04/20/2048 | | | 1,369,856 | |
| | 1,500,000 | | | Series 2024-3A-A2 | | | 4.65%(a) | | | 05/20/2049 | | | 1,411,829 | |
| | | | | DataBank Issuer | |
| | 6,900,000 | | | Series 2021-1A-A2 | | | 2.06%(a) | | | 02/27/2051 | | | 6,582,696 | |
| | 2,100,000 | | | Series 2021-1A-C | | | 4.43%(a) | | | 02/27/2051 | | | 1,966,878 | |
| | 6,000,000 | | | Series 2021-2A-A2 | | | 2.40%(a) | | | 10/25/2051 | | | 5,664,562 | |
| | | | | Diamond Infrastructure Funding LLC | |
| | 2,250,000 | | | Series 2021-1A-B | | | 2.36%(a) | | | 04/15/2049 | | | 2,096,406 | |
| | | | | Falcon Aerospace Ltd. | |
| | 1,201,951 | | | Series 2017-1-A | | | 4.58%(a) | | | 02/15/2042 | | | 1,192,232 | |
| | | | | Falko Regional Aircraft Ltd. | |
| | 3,299,420 | | | Series 2021-1A-A | | | 5.75% | | | 04/15/2041 | | | 3,160,013 | |
| | | | | GAIA Aviation Ltd. | |
| | 2,484,038 | | | Series 2019-1-A | | | 3.97%(a)(b) | | | 12/15/2044 | | | 2,356,791 | |
| | | | | Goodgreen Trust | |
| | 3,160,265 | | | Series 2020-1A-A | | | 2.63%(a) | | | 04/15/2055 | | | 2,741,210 | |
| | | | | GoodLeap Sustainable Home Solutions Trust | |
| | 3,172,644 | | | Series 2021-3CS-B | | | 2.41%(a) | | | 05/20/2048 | | | 2,375,763 | |
| | | | | Helios Issuer LLC | |
| | 2,379,422 | | | Series 2018-1A-A | | | 4.87%(a) | | | 07/20/2048 | | | 2,172,210 | |
| | 7,035,034 | | | Series 2020-2A-A | | | 2.73%(a) | | | 11/01/2055 | | | 5,738,923 | |
| | 2,350,474 | | | Series 2021-B-B | | | 2.01%(a) | | | 07/20/2048 | | | 1,993,767 | |
| | | | | HERO Funding Trust | |
| | 10,401 | | | Series 2015-2A-A | | | 3.99%(a) | | | 09/20/2040 | | | 9,828 | |
| | 305,680 | | | Series 2016-3A-A2 | | | 3.91%(a) | | | 09/20/2042 | | | 284,882 | |
| | 760,157 | | | Series 2016-4A-A2 | | | 4.29%(a) | | | 09/20/2047 | | | 714,780 | |
| | | | | Horizon Aircraft Finance Ltd. | |
| | 3,202,509 | | | Series 2019-1-A | | | 3.72%(a) | | | 07/15/2039 | | | 3,029,151 | |
| | | | | ITE Rail Fund LP | |
| | 3,385,401 | | | Series 2021-1A-A | | | 2.25%(a) | | | 02/28/2051 | | | 3,120,182 | |
| | 2,182,877 | | | Series 2021-3A-A | | | 2.21%(a) | | | 06/28/2051 | | | 2,042,088 | |
| | | | | JOL Air Ltd. | |
| | 3,019,359 | | | Series 2019-1-A | | | 3.97%(a) | | | 04/15/2044 | | | 2,938,618 | |
| | | | | Kestrel Aircraft Funding USA LLC | |
| | 1,068,018 | | | Series 2018-1A-A | | | 4.25%(a) | | | 12/15/2038 | | | 1,028,669 | |
| | | | | Loanpal Solar Loan Ltd. | |
| | 4,766,524 | | | Series 2020-3GS-A | | | 2.47%(a) | | | 12/20/2047 | | | 4,109,530 | |
| | | | | Mosaic Solar Loans LLC | |
| | 1,369,675 | | | Series 2018-1A-A | | | 4.01%(a) | | | 06/22/2043 | | | 1,303,063 | |
| | 1,867,540 | | | Series 2019-2A-B | | | 3.28%(a) | | | 09/20/2040 | | | 1,699,998 | |
| | 1,955,223 | | | Series 2020-1A-A | | | 2.10%(a) | | | 04/20/2046 | | | 1,744,834 | |
| | 2,921,894 | | | Series 2021-3A-B | | | 1.92%(a) | | | 06/20/2052 | | | 2,180,547 | |
| | 1,968,188 | | | Series 2022-1A-B | | | 3.16%(a) | | | 01/20/2053 | | | 1,561,760 | |
| | | | | NP Railcar Holdings LLC | |
| | 48,354 | | | Series 2016-1A-A1 | | | 4.16%(a) | | | 04/20/2046 | | | 47,942 | |
| | 1,105,268 | | | Series 2017-1A-A1 | | | 3.37%(a) | | | 10/21/2047 | | | 1,078,163 | |
| | 3,978,883 | | | Series 2021-1A-A1 | | | 2.23%(a) | | | 03/19/2051 | | | 3,762,544 | |
| | | | | Purewest Funding LLC | |
| | 1,912,634 | | | Series 2021-1-A1 | | | 4.09%(a) | | | 12/22/2036 | | | 1,879,129 | |
| | | | | Retained Vantage Data Centers Issuer LLC | |
| | 6,250,000 | | | Series 2023-1A-B | | | 5.75%(a) | | | 09/15/2048 | | | 6,106,431 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Shenton Aircraft Investment Ltd. | |
| | 96,249 | | | Series 2015-1A-A | | | 4.75%(a) | | | 10/15/2042 | | | 91,348 | |
| | | | | Signal Rail | |
| | 4,414,850 | | | Series 2021-1-A | | | 2.23%(a) | | | 08/17/2051 | | | 4,033,949 | |
| | | | | Start/Bermuda | |
| | 824,966 | | | Series 2018-1-A | | | 4.09%(a) | | | 05/15/2043 | | | 801,156 | |
| | | | | Sunnova Energy International, Inc. | |
| | 1,998,563 | | | Series 2020-AA-A | | | 2.98%(a) | | | 06/20/2047 | | | 1,791,879 | |
| | 3,797,157 | | | Series 2021-A-A | | | 1.80%(a) | | | 02/20/2048 | | | 2,914,404 | |
| | | | | Sunrun, Inc. | |
| | 5,140,035 | | | Series 2021-2A-A | | | 2.27%(a) | | | 01/30/2057 | | | 4,463,815 | |
| | | | | Switch ABS Issuer LLC | |
| | 4,000,000 | | | Series 2024-1A-B | | | 6.50%(a) | | | 03/25/2054 | | | 4,053,655 | |
| | 5,000,000 | | | Series 2024-2A-C | | | 10.03%(a) | | | 06/25/2054 | | | 5,236,010 | |
| | | | | Thunderbolt Aircraft Lease | |
| | 1,125,072 | | | Series 2018-A-A | | | 4.15%(a)(b) | | | 09/15/2038 | | | 1,053,868 | |
| | 2,678,571 | | | Series 2018-A-B | | | 5.07%(a)(b) | | | 09/15/2038 | | | 2,032,880 | |
| | | | | Trinity Industries Leasing Co. | |
| | 2,511,297 | | | Series 2010-1A-A | | | 5.19%(a) | | | 10/16/2040 | | | 2,522,150 | |
| | | | | Vault DI Issuer LLC | |
| | 5,000,000 | | | Series 2021-1A-A2 | | | 2.80%(a) | | | 07/15/2046 | | | 4,593,815 | |
| | | | | Vivant Solar Financing V Parent LLC | |
| | 4,321,464 | | | Series 2018-1A-A | | | 4.73%(a) | | | 04/30/2048 | | | 4,135,090 | |
| | | | | WAVE USA | |
| | 1,553,335 | | | Series 2017-1A-A | | | 3.84%(a) | | | 11/15/2042 | | | 1,505,490 | |
| | | | | Total Asset Backed Obligations
(Cost $150,626,335) | | | | | | 141,042,495 | |
| | | |
| | | |
| | FOREIGN CORPORATE BONDS - 9.0% | |
| | 5,500,000 | | | APA Infrastructure Ltd. | | | 4.25%(a) | | | 07/15/2027 | | | 5,501,475 | |
| | 2,000,000 | | | Emirates Semb Corp. Water & Power Co. PJSC | | | 4.45%(a) | | | 08/01/2035 | | | 1,957,122 | |
| | 1,956,073 | | | Energia Eolica SA | | | 6.00%(c) | | | 08/30/2034 | | | 1,990,304 | |
| | 2,417,736 | | | Fermaca Enterprises
S de RL de CV | | | 6.38%(a) | | | 03/30/2038 | | | 2,413,203 | |
| | 1,317,200 | | | Fermaca Enterprises
S de RL de CV | | | 6.38% | | | 03/30/2038 | | | 1,314,730 | |
| | 282,800 | | | Interoceanica IV Finance Ltd.
Series 2007 | | | 0.00%(a)(c) | | | 11/30/2025 | | | 270,074 | |
| | 650,441 | | | Interoceanica IV Finance Ltd.
Series 2007 | | | 0.00%(c) | | | 11/30/2025 | | | 621,171 | |
| | 4,216,000 | | | Sydney Airport Finance Co.
Pty Ltd. | | | 3.38%(a) | | | 04/30/2025 | | | 4,178,527 | |
| | 2,440,000 | | | Sydney Airport Finance Co.
Pty Ltd. | | | 3.63%(a) | | | 04/28/2026 | | | 2,409,367 | |
| | 8,299,000 | | | TransCanada PipeLines Ltd. | | | 4.63% | | | 03/01/2034 | | | 8,191,975 | |
| | 500,000 | | | Transelec SA | | | 4.25%(a) | | | 01/14/2025 | | | 499,450 | |
| | 6,000,000 | | | Transelec SA | | | 3.88%(a) | | | 01/12/2029 | | | 5,781,817 | |
| | | | | Total Foreign Corporate Bonds
(Cost $35,008,405) | | | | | | 35,129,215 | |
| | | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 1.7% | |
| | 3,640,000 | | | Israel Electric Corp. Ltd. | | | 5.00%(a) | | | 11/12/2024 | | | 3,644,404 | |
| | 2,739,483 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88%(a) | | | 07/05/2034 | | | 2,785,036 | |
| | 147,511 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 149,964 | |
| | | | | Total Foreign Government Bonds,
Foreign Agencies and Foreign
Government Sponsored
Corporations
(Cost $6,644,312) | | | | | | 6,579,404 | |
| | | |
| | | |
| | US CORPORATE BONDS - 41.0% | |
| | 4,000,000 | | | Ameren Illinois Co. | | | 3.85% | | | 09/01/2032 | | | 3,829,338 | |
| | 1,500,000 | | | Ameren Illinois Co. | | | 4.95% | | | 06/01/2033 | | | 1,545,817 | |
| | 11,015,000 | | | AT&T, Inc. | | | 4.30% | | | 12/15/2042 | | | 9,823,249 | |
| | 5,000,000 | | | Burlington Northern Santa Fe LLC | | | 5.20% | | | 04/15/2054 | | | 5,175,876 | |
| | 3,500,000 | | | Cheniere Energy, Inc. | | | 5.65%(a) | | | 04/15/2034 | | | 3,623,900 | |
| | | | | | | | | | | | | | | |
130
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 8,000,000 | | | Crown Castle, Inc. | | | 5.10% | | | 05/01/2033 | | | 8,105,509 | |
| | 10,250,000 | | | Dominion Energy, Inc. | | | 3.38% | | | 04/01/2030 | | | 9,718,120 | |
| | 5,000,000 | | | Duke Energy Florida LLC | | | 5.88% | | | 11/15/2033 | | | 5,474,132 | |
| | 8,000,000 | | | Energy Transfer LP | | | 5.75% | | | 02/15/2033 | | | 8,373,272 | |
| | 5,000,000 | | | Enterprise Products Operating LLC | | | 5.55% | | | 02/16/2055 | | | 5,168,868 | |
| | 8,500,000 | | | Eversource Energy | | | 5.13% | | | 05/15/2033 | | | 8,650,183 | |
| | 7,688,000 | | | Exelon Corp. | | | 4.05% | | | 04/15/2030 | | | 7,572,982 | |
| | 5,750,000 | | | Flex Intermediate Holdco LLC | | | 4.32%(a) | | | 12/30/2039 | | | 4,602,272 | |
| | 2,000,000 | | | Foundry JV Holdco LLC | | | 6.15%(a) | | | 01/25/2032 | | | 2,081,705 | |
| | 2,000,000 | | | Foundry JV Holdco LLC | | | 5.88%(a) | | | 01/25/2034 | | | 2,039,684 | |
| | 6,000,000 | | | HA Sustainable Infrastructure Capital, Inc. | | | 6.38%(a) | | | 07/01/2034 | | | 6,144,617 | |
| | 7,500,000 | | | ITC Holdings Corp. | | | 5.40%(a) | | | 06/01/2033 | | | 7,771,112 | |
| | 8,000,000 | | | MPLX LP | | | 5.00% | | | 03/01/2033 | | | 8,009,709 | |
| | 9,900,000 | | | NiSource, Inc. | | | 3.60% | | | 05/01/2030 | | | 9,509,361 | |
| | 8,500,000 | | | Ohio Power Co. | | | 5.00% | | | 06/01/2033 | | | 8,652,998 | |
| | 3,500,000 | | | ONEOK, Inc. | | | 6.63% | | | 09/01/2053 | | | 3,886,356 | |
| | 5,000,000 | | | Pluto 2 (GIP Sharon Finco) | | | 6.64%(c) | | | 09/30/2046 | | | 5,409,500 | |
| | 5,000,000 | | | Sempra | | | 5.50% | | | 08/01/2033 | | | 5,246,742 | |
| | 10,000,000 | | | Southern Co. | | | 3.70% | | | 04/30/2030 | | | 9,669,001 | |
| | 4,500,000 | | | T-Mobile USA, Inc. | | | 5.50% | | | 01/15/2055 | | | 4,666,563 | |
| | 5,000,000 | | | Venture Global Calcasieu Pass LLC | | | 6.25%(a) | | | 01/15/2030 | | | 5,244,605 | |
| | | | | Total US Corporate Bonds
(Cost $158,422,444) | | | | | | 159,995,471 | |
| | | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 9.4% | |
| | 18,920,000 | | | United States Treasury Note/Bond | | | 4.25% | | | 06/30/2029 | | | 19,476,883 | |
| | 15,800,000 | | | United States Treasury Note/Bond | | | 4.63% | | | 05/15/2054 | | | 17,141,766 | |
| | | | | Total US Government and
Agency Obligations
(Cost $35,503,367) | | | | | | 36,618,649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 2.1% | |
| | 2,753,312 | | | First American Government Obligations Fund - U | | | 4.84%(d) | | | | | | 2,753,312 | |
| | 2,753,311 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(d) | | | | | | 2,753,311 | |
| | 2,753,311 | | | MSILF Government Portfolio - Institutional | | | 4.83%(d) | | | | | | 2,753,311 | |
| | | | | Total Short Term Investments (Cost $8,259,934) | | | | | | 8,259,934 | |
| | | | | Total Investments - 99.4% (Cost $394,464,797) | | | | | | 387,625,168 | |
| | | | | Other Assets in Excess of Liabilities - 0.6% | | | | | | | | | 2,424,468 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $390,049,636 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | US Corporate Bonds | | | 41.0% | |
| | Asset Backed Obligations | | | 36.2% | |
| | US Government and Agency Obligations | | | 9.4% | |
| | Foreign Corporate Bonds | | | 9.0% | |
| | Short Term Investments | | | 2.1% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 1.7% | |
| | Other Assets and Liabilities | | | 0.6% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
| | Asset Backed Obligations | | | 36.2% | |
| | Utilities | | | 19.6% | |
| | Energy | | | 18.6% | |
| | US Government and Agency Obligations | | | 9.4% | |
| | Telecommunications | | | 5.8% | |
| | Transportation | | | 5.0% | |
| | Short Term Investments | | | 2.1% | |
| | Finance | | | 1.6% | |
| | Technology | | | 1.1% | |
| | Other Assets and Liabilities | | | 0.6% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
(b)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end. |
(c)
| Value determined using significant unobservable inputs. |
(d)
| Seven-day yield as of period end. |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 131
|
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Shiller Enhanced International CAPE® | (Unaudited)
September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS - 7.1% | |
| | | | | Bridgecrest Lending Auto Securitization Trust | |
| | 90,408 | | | Series 2024-1-A2 | | | 5.82% | | | 09/15/2026 | | | 90,480 | |
| | | | | Commonbond Student Loan Trust | |
| | 321,746 | | | Series 2017-BGS-B | | | 3.26%(a) | | | 09/25/2042 | | | 288,339 | |
| | | | | Diamond Resorts Owner Trust | |
| | 261,992 | | | Series 2021-1A-A | | | 1.51%(a) | | | 11/21/2033 | | | 253,626 | |
| | | | | Marlette Funding Trust | |
| | 346,787 | | | Series 2022-3A-B | | | 5.95%(a) | | | 11/15/2032 | | | 347,597 | |
| | | | | Mosaic Solar Loans LLC | |
| | 363,614 | | | Series 2021-3A-A | | | 1.44%(a) | | | 06/20/2052 | | | 300,800 | |
| | | | | National Collegiate Student Loan Trust | |
| | 327,176 | | | Series 2006-1-A5 (1 mo. Term SOFR + 0.46%, 0.00% Floor) | | | 5.32% | | | 03/25/2033 | | | 315,371 | |
| | | | | Navient Student Loan Trust | |
| | 344,653 | | | Series 2018-A-B | | | 3.68%(a) | | | 02/18/2042 | | | 338,099 | |
| | | | | Pagaya AI Debt Selection Trust | |
| | 42,052 | | | Series 2023-5-A | | | 7.18%(a) | | | 04/15/2031 | | | 42,119 | |
| | 127,771 | | | Series 2024-1-A | | | 6.66%(a) | | | 07/15/2031 | | | 130,004 | |
| | | | | Retained Vantage Data Centers Issuer LLC | |
| | 500,000 | | | Series 2023-1A-A2A | | | 5.00%(a) | | | 09/15/2048 | | | 498,530 | |
| | | | | Total Asset Backed Obligations
(Cost $2,597,524) | | | | | | 2,604,965 | |
| | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 14.4% | |
| | | | | CBAM Ltd. | |
| | 500,000 | | | Series 2017-2A-AR (3 mo. Term SOFR + 1.45%, 1.19% Floor) | | | 6.74%(a) | | | 07/17/2034 | | | 500,592 | |
| | | | | CFIP CLO Ltd. | |
| | 500,000 | | | Series 2021-1A-A (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.76%(a) | | | 01/20/2035 | | | 500,548 | |
| | | | | Highbridge Loan Management Ltd. | |
| | 500,000 | | | Series 3A-2014-CR (3 mo. Term SOFR + 3.86%, 0.00% Floor) | | | 9.14%(a) | | | 07/18/2029 | | | 507,834 | |
| | | | | Palmer Square CLO Ltd. | |
| | 500,000 | | | Series 2021-2A-A (3 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.71%(a) | | | 07/15/2034 | | | 500,568 | |
| | | | | RR Ltd./Cayman Islands | |
| | 500,000 | | | Series 2021-14A-A1 (3 mo. Term SOFR + 1.38%, 1.38% Floor) | | | 6.68%(a) | | | 04/15/2036 | | | 500,424 | |
| | | | | Shackleton CLO Ltd. | |
| | 418,630 | | | Series 2015-7RA-AR (3 mo. Term SOFR + 1.41%, 1.15% Floor) | | | 6.71%(a) | | | 07/15/2031 | | | 418,925 | |
| | | | | Sound Point CLO Ltd. | |
| | 500,000 | | | Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor) | | | 6.73%(a) | | | 07/15/2034 | | | 500,281 | |
| | 1,000,000 | | | Series 2020-1A-AR (3 mo. Term SOFR + 1.43%, 1.43% Floor) | | | 6.71%(a) | | | 07/20/2034 | | | 1,001,200 | |
| | | | | Venture CDO Ltd. | |
| | 314,497 | | | Series 2017-29A-AR (3 mo. Term SOFR + 1.25%, 0.99% Floor) | | | 6.37%(a) | | | 09/07/2030 | | | 314,713 | |
| | | | | Wellfleet CLO Ltd. | |
| | 500,000 | | | Series 2020-2A-AR (3 mo. Term SOFR + 1.48%, 1.22% Floor) | | | 6.78%(a) | | | 07/15/2034 | | | 500,140 | |
| | | | | Total Collateralized Loan Obligations
(Cost $5,224,928) | | | | | | 5,245,225 | |
| | | |
| | FOREIGN CORPORATE BONDS - 4.0% | |
| | 166,000 | | | Adani International Container Terminal Pvt Ltd. | | | 3.00% | | | 02/16/2031 | | | 147,267 | |
| | 10,000 | | | Algonquin Power & Utilities Corp. | | | 5.37%(b) | | | 06/15/2026 | | | 10,125 | |
| | 66,000 | | | Avolon Holdings Funding Ltd. | | | 2.13%(a) | | | 02/21/2026 | | | 63,519 | |
| | 100,000 | | | Banco de Credito del Peru SA
(5 yr. CMT Rate + 3.00%) | | | 3.13% | | | 07/01/2030 | | | 97,752 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 200,000 | | | Bancolombia SA
(5 yr. CMT Rate + 2.94%) | | | 4.63% | | | 12/18/2029 | | | 198,096 | |
| | 48,000 | | | Bank of Nova Scotia | | | 4.75% | | | 02/02/2026 | | | 48,335 | |
| | 200,000 | | | BBVA Bancomer SA/Texas
(5 yr. CMT Rate + 2.65%) | | | 5.13% | | | 01/18/2033 | | | 190,382 | |
| | 47,000 | | | Commonwealth Bank of Australia
(SOFR + 0.63%) | | | 5.54%(a) | | | 09/12/2025 | | | 47,152 | |
| | 55,000 | | | Glencore Funding LLC | | | 1.63%(a) | | | 09/01/2025 | | | 53,554 | |
| | 47,000 | | | Glencore Funding LLC
(SOFR + 1.06%) | | | 6.36%(a) | | | 04/04/2027 | | | 47,222 | |
| | 165,630 | | | Guara Norte Sarl | | | 5.20% | | | 06/15/2034 | | | 157,884 | |
| | 180,000 | | | Millicom International Cellular SA | | | 6.63% | | | 10/15/2026 | | | 180,166 | |
| | 200,000 | | | Multibank, Inc. | | | 7.75%(a) | | | 02/03/2028 | | | 210,197 | |
| | 5,000 | | | South Bow USA Infrastructure Holdings LLC | | | 4.91%(a) | | | 09/01/2027 | | | 5,039 | |
| | | | | Total Foreign Corporate Bonds
(Cost $1,387,968) | | | | | | 1,456,690 | |
| | | |
| | FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 1.1% | |
| | 126,736 | | | Bioceanico Sovereign Certificate Ltd. | | | 0.00% | | | 06/05/2034 | | | 99,813 | |
| | 200,000 | | | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT | | | 4.75% | | | 05/15/2025 | | | 199,643 | |
| | 84,292 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | 07/05/2034 | | | 85,693 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government
Sponsored Corporations
(Cost $373,642) | | | | | | 385,149 | |
| | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 12.4% | |
| | | | | Arbor Multifamily Mortgage Securities Trust | |
| | 1,626,470 | | | Series 2021-MF2-XA | | | 1.22%(a)(c)(d) | | | 06/15/2054 | | | 89,622 | |
| | | | | Arbor Realty Trust, Inc. | |
| | 67,506 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.18%, 1.18% Floor) | | | 6.28%(a) | | | 08/15/2034 | | | 67,434 | |
| | 84,555 | | | Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor) | | | 6.95%(a) | | | 05/15/2037 | | | 84,681 | |
| | | | | AREIT Trust | |
| | 75,084 | | | Series 2022-CRE6-A (30 day avg SOFR US + 1.25%, 1.25% Floor) | | | 6.59%(a) | | | 01/20/2037 | | | 75,073 | |
| | | | | BANK | |
| | 2,730,094 | | | Series 2021-BN36-XA | | | 1.00%(c)(d) | | | 09/15/2064 | | | 102,610 | |
| | | | | BB-UBS Trust | |
| | 3,844,000 | | | Series 2012-SHOW-XB | | | 0.28%(a)(c)(d) | | | 11/05/2036 | | | 34 | |
| | | | | BDS Ltd. | |
| | 71,885 | | | Series 2021-FL10-A (1 mo. Term SOFR + 1.46%, 1.46% Floor) | | | 6.48%(a) | | | 12/16/2036 | | | 71,552 | |
| | | | | Benchmark Mortgage Trust | |
| | 4,373,032 | | | Series 2018-B2-XA | | | 0.59%(c)(d) | | | 02/15/2051 | | | 50,145 | |
| | 2,271,000 | | | Series 2021-B26-XB | | | 0.64%(a)(c)(d) | | | 06/15/2054 | | | 78,406 | |
| | 1,786,067 | | | Series 2021-B28-XA | | | 1.38%(c)(d) | | | 08/15/2054 | | | 108,156 | |
| | | | | BrightSpire Capital, Inc. | |
| | 62,733 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor) | | | 6.23%(a) | | | 08/19/2038 | | | 62,528 | |
| | 100,000 | | | Series 2024-FL2-A (1 mo. Term SOFR + 1.95%, 1.95% Floor) | | | 6.91%(a) | | | 08/19/2037 | | | 100,189 | |
| | | | | BX Trust | |
| | 99,393 | | | Series 2020-VKNG-A (1 mo. Term SOFR + 1.04%, 0.93% Floor) | | | 6.14%(a) | | | 10/15/2037 | | | 99,177 | |
| | 99,235 | | | Series 2021-CIP-A (1 mo. Term SOFR + 1.04%, 0.92% Floor) | | | 6.13%(a) | | | 12/15/2038 | | | 98,502 | |
| | 89,725 | | | Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor) | | | 5.90%(a) | | | 10/15/2038 | | | 89,048 | |
| | 103,739 | | | Series 2022-PSB-A (1 mo. Term SOFR + 2.45%, 2.45% Floor) | | | 7.55%(a) | | | 08/15/2039 | | | 104,128 | |
| | | | | Citigroup Commercial Mortgage Trust | |
| | 2,603,431 | | | Series 2016-C1-XA | | | 1.98%(c)(d) | | | 05/10/2049 | | | 54,115 | |
| | 100,000 | | | Series 2016-P3-A4 | | | 3.33% | | | 04/15/2049 | | | 97,639 | |
| | | | | | | | | | | | | | | |
132
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | | | | Citigroup/Deutsche Bank Commercial Mortgage Trust | |
| | 165,000 | | | Series 2016-C1-B | | | 4.20%(c) | | | 05/10/2049 | | | 152,628 | |
| | | | | Commercial Mortgage Pass Through Certificates | |
| | 5,790,048 | | | Series 2015-CR27-XA | | | 1.05%(c)(d) | | | 10/10/2048 | | | 31,876 | |
| | 5,899,257 | | | Series 2015-LC21-XD | | | 1.21%(a)(c)(d) | | | 07/10/2048 | | | 35,034 | |
| | | | | Commercial Mortgage Trust | |
| | 2,400,000 | | | Series 2021-PF1-XD | | | 1.22%(a)(c)(d) | | | 11/15/2054 | | | 151,419 | |
| | | | | Computershare Corporate Trust | |
| | 5,584,058 | | | Series 2015-NXS2-XA | | | 0.72%(c)(d) | | | 07/15/2058 | | | 9,835 | |
| | 3,411,223 | | | Series 2015-P2-XA | | | 1.07%(c)(d) | | | 12/15/2048 | | | 25,737 | |
| | 2,438,963 | | | Series 2018-C48-XA | | | 1.10%(c)(d) | | | 01/15/2052 | | | 78,320 | |
| | 846,396 | | | Series 2021-C59-XA | | | 1.64%(c)(d) | | | 04/15/2054 | | | 59,065 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 164,000 | | | Series 2017-TIME-A | | | 3.65%(a) | | | 11/13/2039 | | | 136,795 | |
| | | | | Extended Stay America Trust | |
| | 106,924 | | | Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor) | | | 6.29%(a) | | | 07/15/2038 | | | 106,877 | |
| | | | | Franklin BSP Realty Trust, Inc. | |
| | 90,595 | | | Series 2022-FL8-A (30 day avg SOFR US + 1.50%, 1.50% Floor) | | | 6.84%(a) | | | 02/15/2037 | | | 90,453 | |
| | | | | FS Rialto | |
| | 72,162 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor) | | | 6.43%(a) | | | 05/16/2038 | | | 71,928 | |
| | 81,330 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.46%(a) | | | 11/16/2036 | | | 81,307 | |
| | | | | Granite Point Mortgage Trust, Inc. | |
| | 30,220 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.38%(a) | | | 07/16/2035 | | | 29,894 | |
| | | | | Great Wolf Trust | |
| | 100,000 | | | Series 2024-WOLF-A (1 mo. Term SOFR + 1.54%, 1.54% Floor) | | | 6.64%(a) | | | 03/15/2039 | | | 99,940 | |
| | | | | Greystone Commercial Real Estate Notes | |
| | 94,746 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor) | | | 6.23%(a) | | | 07/15/2039 | | | 94,598 | |
| | | | | GS Mortgage Securities Corp. II | |
| | 4,161,233 | | | Series 2016-GS4-XA | | | 0.68%(c)(d) | | | 11/10/2049 | | | 36,910 | |
| | | | | KREF | |
| | 99,798 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor) | | | 6.27%(a) | | | 02/15/2039 | | | 99,337 | |
| | | | | Ladder Capital Commercial Mortgage Securities LLC | |
| | 125,000 | | | Series 2021-FL3-AS (1 mo. Term SOFR + 1.91%, 1.91% Floor) | | | 7.01%(a) | | | 11/15/2038 | | | 123,216 | |
| | 125,000 | | | Series 2021-FL3-B (1 mo. Term SOFR + 2.31%, 2.31% Floor) | | | 7.41%(a) | | | 11/15/2038 | | | 122,026 | |
| | | | | LoanCore | |
| | 60,480 | | | Series 2021-CRE5-A (1 mo. Term SOFR + 1.41%, 1.41% Floor) | | | 6.51%(a) | | | 07/15/2036 | | | 60,261 | |
| | 56,008 | | | Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor) | | | 6.51%(a) | | | 11/15/2038 | | | 55,946 | |
| | 92,919 | | | Series 2022-CRE7-A (30 day avg SOFR US + 1.55%, 1.55% Floor) | | | 6.89%(a) | | | 01/17/2037 | | | 93,093 | |
| | | | | Lument Finance Trust, Inc. | |
| | 66,004 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor) | | | 6.38%(a) | | | 06/15/2039 | | | 66,127 | |
| | | | | MF1 Multifamily Housing Mortgage Loan Trust | |
| | 96,866 | | | Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor) | | | 6.31%(a) | | | 02/19/2037 | | | 96,633 | |
| | 59,492 | | | Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.11%(a) | | | 06/19/2037 | | | 59,621 | |
| | 100,000 | | | Series 2024-FL14-A (1 mo. Term SOFR + 1.74%, 1.74% Floor) | | | 6.70%(a) | | | 03/19/2039 | | | 100,342 | |
| | | | | MFT Trust | |
| | 186,000 | | | Series 2020-ABC-D | | | 3.59%(a)(c) | | | 02/10/2042 | | | 90,246 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | | | | Morgan Stanley Bank of America Merrill Lynch Trust | | | | |
| | 90,000 | | | Series 2015-C23-AS | | | 4.00%(c) | | | 07/15/2050 | | | 88,810 | |
| | 4,953,748 | | | Series 2017-C34-XE | | | 1.01%(a)(c)(d) | | | 11/15/2052 | | | 114,386 | |
| | | | | Morgan Stanley Capital I, Inc. | |
| | 15,277,000 | | | Series 2017-ASHF-XCP | | | 0.00%(a)(c)(d) | | | 11/15/2024 | | | 15 | |
| | | | | Ready Capital Corp. | |
| | 44,155 | | | Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.17%(a) | | | 11/25/2036 | | | 44,150 | |
| | | | | SG Commercial Mortgage Securities LLC | |
| | 1,971,807 | | | Series 2016-C5-XA | | | 1.98%(c)(d) | | | 10/10/2048 | | | 43,974 | |
| | | | | SLG Office Trust | |
| | 18,169,000 | | | Series 2021-OVA-X | | | 0.26%(a)(c)(d) | | | 07/15/2041 | | | 251,246 | |
| | | | | TPG Real Estate Finance Issuer Ltd. | |
| | 50,758 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.40%(a) | | | 03/15/2038 | | | 50,621 | |
| | 98,235 | | | Series 2022-FL5-A (1 mo. Term SOFR + 1.65%, 1.65% Floor) | | | 6.73%(a) | | | 02/15/2039 | | | 98,028 | |
| | | | | UBS Commercial Mortgage Trust | |
| | 5,378,000 | | | Series 2017-C3-XB | | | 0.54%(c)(d) | | | 08/15/2050 | | | 66,373 | |
| | | | | VMC Finance LLC | |
| | 67,189 | | | Series 2022-FL5-A (30 day avg SOFR US + 1.90%, 1.90% Floor) | | | 7.24%(a) | | | 02/18/2039 | | | 67,289 | |
| | | | | Total Non-Agency Commercial
Mortgage Backed Obligations
(Cost $6,301,471) | | | | | | 4,517,395 | |
| | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 15.4% | |
| | | | | AJAX Mortgage Loan Trust | |
| | 202,463 | | | Series 2021-C-A | | | 5.12%(a)(b) | | | 01/25/2061 | | | 202,607 | |
| | | | | Chase Mortgage Finance Corp. | |
| | 614,091 | | | Series 2006-A1-2A2 | | | 5.82%(c) | | | 09/25/2036 | | | 537,343 | |
| | | | | Citigroup Mortgage Loan Trust, Inc. | |
| | 50,860 | | | Series 2006-AR2-1A2 | | | 5.34%(c) | | | 03/25/2036 | | | 50,215 | |
| | | | | COLT Funding LLC | |
| | 447,703 | | | Series 2021-HX1-A1 | | | 1.11%(a)(c) | | | 10/25/2066 | | | 382,243 | |
| | | | | Countrywide Alternative Loan Trust | |
| | 310,978 | | | Series 2007-9T1-1A6 | | | 6.00% | | | 05/25/2037 | | | 153,930 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 647,949 | | | Series 2022-NQM1-A1 | | | 2.27%(a)(c) | | | 11/25/2066 | | | 590,103 | |
| | | | | Deutsche ALT-A Securities, Inc. | |
| | 301,333 | | | Series 2006-AR6-A6 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 10.50% Cap) | | | 5.35% | | | 02/25/2037 | | | 259,239 | |
| | | | | Lehman XS Trust | |
| | 134,499 | | | Series 2007-6-2A1 (1 mo. Term SOFR + 0.53%, 0.42% Floor) | | | 5.39% | | | 05/25/2037 | | | 104,044 | |
| | | | | Merrill Lynch Alternative Note Asset | |
| | 767,839 | | | Series 2007-OAR5-1A1 | | | 3.76%(c) | | | 10/25/2047 | | | 219,230 | |
| | | | | Merrill Lynch Mortgage Backed Securities Trust | |
| | 903,834 | | | Series 2007-2-1A1 (1 yr. CMT Rate + 2.40%, 2.40% Floor) | | | 6.78% | | | 08/25/2036 | | | 804,281 | |
| | | | | Onslow Bay Mortgage Loan Trust | |
| | 170,923 | | | Series 2020-EXP2-A3 | | | 2.50%(a)(c) | | | 05/25/2060 | | | 146,118 | |
| | | | | PRPM LLC | |
| | 282,560 | | | Series 2021-4-A1 | | | 4.87%(a)(b) | | | 04/25/2026 | | | 282,338 | |
| | | | | RALI Trust | |
| | 648,125 | | | Series 2007-QS8-A3 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap) | | | 5.57% | | | 06/25/2037 | | | 467,217 | |
| | | | | Starwood Mortgage Residential Trust | |
| | 500,000 | | | Series 2020-2-M1E | | | 3.00%(a) | | | 04/25/2060 | | | 484,012 | |
| | 328,809 | | | Series 2021-5-A1 | | | 1.92%(a)(c) | | | 09/25/2066 | | | 281,099 | |
| | | | | Velocity Commercial Capital Loan Trust | |
| | 175,999 | | | Series 2018-2-A | | | 4.05%(a)(c) | | | 10/26/2048 | | | 171,167 | |
| | 453,375 | | | Series 2021-2-M2 | | | 2.20%(a)(c) | | | 08/25/2051 | | | 352,989 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 133
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced International CAPE® (Cont.) |
| | | | | | | | | | | | | | | |
| | | | | Vericrest Opportunity Loan Transferee | |
| | 107,479 | | | Series 2021-NPL1-A1 | | | 4.89%(a)(b) | | | 02/27/2051 | | | 106,968 | |
| | | |
| | | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $6,399,909) | | | | | | 5,595,143 | |
| | | |
| | US CORPORATE BONDS - 7.0% | |
| | 13,000 | | | AGCO Corp. | | | 5.45% | | | 03/21/2027 | | | 13,273 | |
| | 61,000 | | | American Electric Power Co., Inc. | | | 5.20% | | | 01/15/2029 | | | 62,971 | |
| | 53,000 | | | American Express Co.
(SOFR + 1.00%) | | | 6.06% | | | 02/16/2028 | | | 53,418 | |
| | 11,000 | | | American National Group, Inc. | | | 5.75% | | | 10/01/2029 | | | 11,071 | |
| | 56,000 | | | Amgen, Inc. | | | 5.51% | | | 03/02/2026 | | | 56,020 | |
| | 29,000 | | | Arrow Electronics, Inc. | | | 5.15% | | | 08/21/2029 | | | 29,465 | |
| | 73,000 | | | Athene Global Funding
(SOFR + 0.85%) | | | 5.95%(a) | | | 05/08/2026 | | | 72,951 | |
| | 65,000 | | | Aviation Capital Group LLC | | | 1.95%(a) | | | 01/30/2026 | | | 62,642 | |
| | 58,000 | | | Boeing Co. | | | 4.88% | | | 05/01/2025 | | | 57,790 | |
| | 34,000 | | | Bristol-Myers Squibb Co.
(SOFR + 0.49%) | | | 5.53% | | | 02/20/2026 | | | 34,099 | |
| | 46,000 | | | Broadcom, Inc. | | | 3.15% | | | 11/15/2025 | | | 45,365 | |
| | 19,000 | | | Broadcom, Inc. | | | 4.35% | | | 02/15/2030 | | | 18,968 | |
| | 33,000 | | | Cadence Design Systems, Inc. | | | 4.30% | | | 09/10/2029 | | | 33,139 | |
| | 22,000 | | | Campbell Soup Co. | | | 5.20% | | | 03/19/2027 | | | 22,581 | |
| | 53,000 | | | Citigroup, Inc.
(SOFR + 1.34%) | | | 4.54% | | | 09/19/2030 | | | 53,074 | |
| | 73,000 | | | Crown Castle, Inc. | | | 4.90% | | | 09/01/2029 | | | 74,232 | |
| | 12,000 | | | Darden Restaurants, Inc. | | | 4.35% | | | 10/15/2027 | | | 11,997 | |
| | 30,000 | | | Elevance Health, Inc. | | | 5.15% | | | 06/15/2029 | | | 31,137 | |
| | 51,000 | | | Energy Transfer LP | | | 6.05% | | | 12/01/2026 | | | 52,827 | |
| | 27,000 | | | Equifax, Inc. | | | 4.80% | | | 09/15/2029 | | | 27,317 | |
| | 21,000 | | | Essential Utilities, Inc. | | | 4.80% | | | 08/15/2027 | | | 21,286 | |
| | 32,000 | | | Exelon Corp. | | | 5.15% | | | 03/15/2029 | | | 33,169 | |
| | 57,000 | | | Expedia Group, Inc. | | | 6.25%(a) | | | 05/01/2025 | | | 57,152 | |
| | 66,000 | | | Fiserv, Inc. | | | 4.75% | | | 03/15/2030 | | | 67,311 | |
| | 54,000 | | | Ford Motor Co. | | | 4.35% | | | 12/08/2026 | | | 53,554 | |
| | 60,000 | | | GE HealthCare Technologies, Inc. | | | 4.80% | | | 08/14/2029 | | | 61,149 | |
| | 61,000 | | | General Motors Financial Co., Inc. | | | 5.25% | | | 03/01/2026 | | | 61,428 | |
| | 51,000 | | | Genuine Parts Co. | | | 4.95% | | | 08/15/2029 | | | 51,897 | |
| | 39,000 | | | Goldman Sachs Bank USA/New York NY
(SOFR + 0.77%) | | | 5.65% | | | 03/18/2027 | | | 39,015 | |
| | 54,000 | | | HCA, Inc. | | | 5.38% | | | 02/01/2025 | | | 54,023 | |
| | 59,000 | | | Hewlett Packard Enterprise Co. | | | 4.55% | | | 10/15/2029 | | | 58,862 | |
| | 30,000 | | | Hyundai Capital America | | | 4.55%(a) | | | 09/26/2029 | | | 29,947 | |
| | 17,000 | | | Illumina, Inc. | | | 4.65% | | | 09/09/2026 | | | 17,116 | |
| | 52,000 | | | JPMorgan Chase & Co. | | | 3.90% | | | 07/15/2025 | | | 51,814 | |
| | 52,000 | | | JPMorgan Chase & Co.
(SOFR + 0.92%) | | | 6.13% | | | 04/22/2028 | | | 52,110 | |
| | 30,000 | | | Kroger Co. | | | 4.60% | | | 08/15/2027 | | | 30,263 | |
| | 29,000 | | | Laboratory Corp. of America Holdings | | | 4.35% | | | 04/01/2030 | | | 28,758 | |
| | 28,000 | | | Marriott International, Inc./MD | | | 4.80% | | | 03/15/2030 | | | 28,409 | |
| | 10,000 | | | Microchip Technology, Inc. | | | 4.25% | | | 09/01/2025 | | | 9,956 | |
| | 49,000 | | | Morgan Stanley | | | 3.88% | | | 01/27/2026 | | | 48,800 | |
| | 28,000 | | | NGPL PipeCo LLC | | | 4.88%(a) | | | 08/15/2027 | | | 28,121 | |
| | 45,000 | | | NiSource, Inc. | | | 5.20% | | | 07/01/2029 | | | 46,617 | |
| | 25,000 | | | Occidental Petroleum Corp. | | | 5.20% | | | 08/01/2029 | | | 25,434 | |
| | 49,000 | | | ONEOK, Inc. | | | 4.40% | | | 10/15/2029 | | | 48,849 | |
| | 58,000 | | | Oracle Corp. | | | 5.80% | | | 11/10/2025 | | | 58,925 | |
| | 29,000 | | | Pacific Gas and Electric Co. | | | 4.95% | | | 06/08/2025 | | | 28,983 | |
| | 15,000 | | | Pacific Gas and Electric Co. | | | 2.10% | | | 08/01/2027 | | | 14,060 | |
| | 53,000 | | | Penske Truck Leasing Co.
Lp / PTL Finance Corp. | | | 4.40%(a) | | | 07/01/2027 | | | 53,037 | |
| | 29,000 | | | PNC Financial Services Group, Inc.
(SOFR + 1.32%) | | | 5.81% | | | 06/12/2026 | | | 29,195 | |
| | 29,000 | | | Quanta Services, Inc. | | | 4.75% | | | 08/09/2027 | | | 29,315 | |
| | 52,000 | | | Ryder System, Inc. | | | 5.25% | | | 06/01/2028 | | | 53,694 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 12,000 | | | Sherwin-Williams Co. | | | 4.55% | | | 03/01/2028 | | | 12,163 | |
| | 12,000 | | | Sonoco Products Co. | | | 4.45% | | | 09/01/2026 | | | 12,008 | |
| | 53,000 | | | Take-Two Interactive Software, Inc. | | | 4.95% | | | 03/28/2028 | | | 54,089 | |
| | 57,000 | | | Truist Financial Corp.
(SOFR + 1.46%) | | | 4.26% | | | 07/28/2026 | | | 56,786 | |
| | 35,000 | | | US Bancorp
(SOFR + 1.25%) | | | 5.10% | | | 07/23/2030 | | | 36,036 | |
| | 52,000 | | | Veralto Corp. | | | 5.50% | | | 09/18/2026 | | | 53,196 | |
| | 61,000 | | | VICI Properties LP / VICI Note Co., Inc. | | | 4.25%(a) | | | 12/01/2026 | | | 60,452 | |
| | 58,000 | | | Wells Fargo & Co.
(3 mo. Term SOFR + 1.09%) | | | 2.41% | | | 10/30/2025 | | | 57,843 | |
| | 43,000 | | | Wells Fargo & Co.
(SOFR + 1.07%) | | | 6.28% | | | 04/22/2028 | | | 43,206 | |
| | 53,000 | | | Welltower OP LLC | | | 4.00% | | | 06/01/2025 | | | 52,695 | |
| | 28,000 | | | Williams Cos., Inc. | | | 4.80% | | | 11/15/2029 | | | 28,419 | |
| | | | | Total US Corporate Bonds
(Cost $2,533,280) | | | | | | 2,563,479 | |
| | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 3.7% | |
| | | | | Federal National Mortgage Association | |
| | 1,357,530 | | | Series 2013-92-FA (30 day avg SOFR US + 0.66%, 0.55% Floor, 6.50% Cap) | | | 5.94% | | | 09/25/2043 | | | 1,351,897 | |
| | | | | Total US Government and Agency
Mortgage Backed Obligations
(Cost $1,313,622) | | | | | | 1,351,897 | |
| | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 14.8% | |
| | 510,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 03/31/2026 | | | 487,827 | |
| | 600,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 05/31/2026 | | | 571,570 | |
| | 450,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 07/31/2026 | | | 425,900 | |
| | 1,000,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 09/30/2026 | | | 947,344 | |
| | 400,000 | | | United States Treasury Note/Bond | | | 0.63% | | | 03/31/2027 | | | 371,937 | |
| | 400,000 | | | United States Treasury Note/Bond | | | 0.50% | | | 06/30/2027 | | | 368,063 | |
| | 2,600,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 11/15/2030 | | | 2,213,301 | |
| | | | | Total US Government and
Agency Obligations
(Cost $5,320,353) | | | | | | 5,385,942 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS - 4.5% | |
| | 182,522 | | | DoubleLine Floating Rate
Fund - Class I | | | | | | | | | 1,639,049 | |
| | | | | Total Affiliated Mutual Funds
(Cost $1,737,611) | | | | | | 1,639,049 | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 6.2% | |
| | 755,694 | | | First American Government Obligations Fund - U | | | 4.84%(e) | | | | | | 755,694 | |
| | 755,694 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(e) | | | | | | 755,694 | |
| | 755,694 | | | MSILF Government Portfolio - Institutional | | | 4.83%(e) | | | | | | 755,694 | |
| | | | | Total Short Term Investments
(Cost $2,267,082) | | | | | | 2,267,082 | |
| | | | | Total Investments - 90.6%
(Cost $35,457,390) | | | | | | 33,012,016 | |
| | | | | Other Assets in Excess of
Liabilities - 9.4% | | | | | | 3,405,756 | |
| | | | | NET ASSETS - 100.0% | | | | | | $36,417,772 | |
| | | | | | | | | | | | |
134
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 15.4% | |
| | US Government and Agency Obligations | | | 14.8% | |
| | Collateralized Loan Obligations | | | 14.4% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 12.4% | |
| | Asset Backed Obligations | | | 7.1% | |
| | US Corporate Bonds | | | 7.0% | |
| | Short Term Investments | | | 6.2% | |
| | Affiliated Mutual Funds | | | 4.5% | |
| | Foreign Corporate Bonds | | | 4.0% | |
| | US Government and Agency Mortgage Backed Obligations | | | 3.7% | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 1.1% | |
| | Other Assets and Liabilities | | | 9.4% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 15.4% | |
| | US Government and Agency Obligations | | | 14.8% | |
| | Collateralized Loan Obligations | | | 14.4% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 12.4% | |
| | Asset Backed Obligations | | | 7.1% | |
| | Short Term Investments | | | 6.2% | |
| | Affiliated Mutual Funds | | | 4.5% | |
| | US Government and Agency Mortgage Backed Obligations | | | 3.7% | |
| | Banking | | | 3.6% | |
| | Transportation | | | 1.2% | |
| | Energy | | | 1.1% | |
| | Technology | | | 0.9% | |
| | Mining | | | 0.8% | |
| | Telecommunications | | | 0.7% | |
| | Utilities | | | 0.5% | |
| | Healthcare | | | 0.5% | |
| | Automotive | | | 0.4% | |
| | Finance | | | 0.4% | |
| | Hotels/Motels/Inns and Casinos | | | 0.3% | |
| | Pharmaceuticals | | | 0.2% | |
| | Insurance | | | 0.2% | |
| | Aerospace & Defense | | | 0.2% | |
| | Commercial Services | | | 0.2% | |
| | Media | | | 0.2% | |
| | Diversified Manufacturing | | | 0.1% | |
| | Real Estate | | | 0.1% | |
| | Retailers (other than Food/Drug) | | | 0.1% | |
| | Health Care | | | 0.1% | |
| | Food/Drug Retailers | | | 0.1% | |
| | Industrial Equipment | | | 0.1% | |
| | Food Products | | | 0.1% | |
| | Construction | | | 0.0%(f) | |
| | Chemicals/Plastics | | | 0.0%(f) | |
| | Containers and Glass Products | | | 0.0%(f) | |
| | Food Service | | | 0.0%(f) | |
| | Other Assets and Liabilities | | | 9.4% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
(b)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end. |
(c)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
|
(d)
| Interest only security
|
(e)
| Seven-day yield as of period end.
|
(f)
| Represents less than 0.05% of net assets. |
CMT Constant Maturity Treasury Rate
SOFR Secured Overnight Financing Rate
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 135
|
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Shiller Enhanced International CAPE® (Cont.) |
Swap Agreements
Excess Return Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.20% | | | Termination | | | 04/23/2025 | | | $14,900,000 | | | EUR | | | $1,095,959 | | | $ — | | | $1,095,959 |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | | | BNP Paribas Securities Corp. | | | Long | | | 0.20% | | | Termination | | | 01/08/2025 | | | 10,000,000 | | | EUR | | | 963,418 | | | — | | | 963,418 |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.20% | | | Termination | | | 02/05/2025 | | | 2,800,000 | | | EUR | | | 269,757 | | | — | | | 269,757 |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | | | Barclays Capital, Inc. | | | Long | | | 0.20% | | | Termination | | | 11/20/2024 | | | 3,000,000 | | | EUR | | | 92,277 | | | — | | | 92,277 |
| | | | | | | | | | | | | | | | | | | | | | | | $2,421,411 | | | $— | | | $2,421,411 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1)
| Shiller Barclays CAPE® Europe Sector Net ER NoC Index aims to provide notional long exposure to the top four European equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each European sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of September 30, 2024, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIIESAE. |
EUR Euro
Forward Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | |
10/09/2024 | | | J.P. Morgan Securities, Inc. | | | 11,566,760 | | | USD | | | $11,566,760 | | | 10,700,000 | | | EUR | | | $11,915,110 | | | $348,350 |
06/04/2025 | | | Goldman Sachs | | | 14,123,231 | | | USD | | | 14,123,231 | | | 12,800,000 | | | EUR | | | 14,385,362 | | | 262,131 |
02/05/2025 | | | Barclays Capital, Inc. | | | 9,383,377 | | | USD | | | 9,383,377 | | | 8,600,000 | | | EUR | | | 9,622,210 | | | 238,834 |
02/05/2025 | | | Goldman Sachs | | | 5,675,472 | | | USD | | | 5,675,472 | | | 5,200,000 | | | EUR | | | 5,818,080 | | | 142,608 |
10/09/2024 | | | Goldman Sachs | | | 3,227,897 | | | USD | | | 3,227,897 | | | 3,000,000 | | | EUR | | | 3,340,685 | | | 112,788 |
02/05/2025 | | | J.P. Morgan Securities, Inc. | | | 432,499 | | | USD | | | 432,499 | | | 400,000 | | | EUR | | | 447,545 | | | 15,045 |
10/09/2024 | | | Barclays Capital, Inc. | | | 322,692 | | | USD | | | 322,692 | | | 300,000 | | | EUR | | | 334,068 | | | 11,377 |
06/04/2025 | | | J.P. Morgan Securities, Inc. | | | 665,006 | | | USD | | | 665,006 | | | 600,000 | | | EUR | | | 674,314 | | | 9,308 |
06/04/2025 | | | Barclays Capital, Inc. | | | 500,000 | | | EUR | | | 561,928 | | | 551,509 | | | USD | | | 551,509 | | | (10,419) |
06/04/2025 | | | J.P. Morgan Securities, Inc. | | | 700,000 | | | EUR | | | 786,699 | | | 772,221 | | | USD | | | 772,221 | | | (14,479) |
02/05/2025 | | | J.P. Morgan Securities, Inc. | | | 1,000,000 | | | EUR | | | 1,118,862 | | | 1,096,918 | | | USD | | | 1,096,919 | | | (21,943) |
06/04/2025 | | | Goldman Sachs | | | 2,000,000 | | | EUR | | | 2,247,713 | | | 2,214,004 | | | USD | | | 2,214,004 | | | (33,709) |
02/05/2025 | | | Barclays Capital, Inc. | | | 2,700,000 | | | EUR | | | 3,020,926 | | | 2,953,305 | | | USD | | | 2,953,305 | | | (67,621) |
10/09/2024 | | | J.P. Morgan Securities, Inc. | | | 4,000,000 | | | EUR | | | 4,454,247 | | | 4,327,582 | | | USD | | | 4,327,582 | | | (126,665) |
| | | | | | | | | | | | | | | | | | | | | | | | $865,605 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Euro
USD US Dollar
Affiliated Mutual Funds
A summary of the DoubleLine Shiller Enhanced International CAPE®’s investments in affiliated mutual funds for the period ended September 30, 2024 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
DoubleLine Floating Rate Fund (Class I) | | | $2,347,465 | | | $ — | | | $(700,000) | | | $(35,099) | | | $26,683 | | | $1,639,049 | | | 182,522 | | | $77,471 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
136
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Emerging Markets Local Currency Bond Fund | (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS - 19.6% | |
| | BRAZIL - 0.7% | |
| | 550,000 BRL | | | Simpar Finance SARL | | | 10.75%(a) | | | 02/12/2028 | | | 84,049 | |
| | | |
| | CHINA - 4.7% | |
| | 2,000,000 CNY | | | European Bank for Reconstruction & Development | | | 2.75% | | | 04/27/2032 | | | 294,147 | |
| | 2,210,000 CNY | | | International Bank for Reconstruction & Development | | | 2.00% | | | 02/18/2026 | | | 315,695 | |
| | | | | | | | | | | 609,842 | |
| | | |
| | COLOMBIA - 1.4% | |
| | 833,000,000 COP | | | Empresas Publicas de Medellin ESP | | | 8.38%(a) | | | 11/08/2027 | | | 181,352 | |
| | | |
| | INDIA - 2.7% | |
| | 11,500,000 INR | | | Asian Development Bank | | | 6.20% | | | 10/06/2026 | | | 136,680 | |
| | 18,000,000 INR | | | International Bank for Reconstruction & Development | | | 6.85% | | | 04/24/2028 | | | 217,004 | |
| | | | | | | | | | | 353,684 | |
| | | |
| | INDONESIA - 2.3% | |
| | 4,800,000,000 IDR | | | European Bank for Reconstruction & Development | | | 4.25% | | | 02/07/2028 | | | 301,744 | |
| | | |
| | MEXICO - 4.4% | |
| | 4,500,000 MXN | | | America Movil SAB de CV | | | 10.30% | | | 01/30/2034 | | | 231,701 | |
| | 6,900,000 MXN | | | International Finance Corp. | | | 7.50% | | | 01/18/2028 | | | 341,250 | |
| | | | | | | | | | | 572,951 | |
| | | |
| | POLAND - 3.4% | |
| | 1,840,000 PLN | | | European Investment Bank | | | 3.00% | | | 11/25/2029 | | | 435,381 | |
| | | | | Total Foreign Corporate Bonds
(Cost $2,613,375) | | | | | | 2,539,003 | |
| | | | | | | | | | | | |
| | | |
| | BRAZIL - 9.3% | |
| | 1,000,000 BRL | | | Brazil Notas de Tesouro Nacional - Serie F | | | 10.00% | | | 01/01/2025 | | | 182,990 | |
| | 2,000,000 BRL | | | Brazil Notas de Tesouro Nacional - Serie F | | | 10.00% | | | 01/01/2027 | | | 351,444 | |
| | 2,000,000 BRL | | | Brazil Notas de Tesouro Nacional - Serie F | | | 10.00% | | | 01/01/2029 | | | 340,431 | |
| | 2,000,000 BRL | | | Brazil Notas de Tesouro Nacional - Serie F | | | 10.00% | | | 01/01/2031 | | | 330,575 | |
| | | | | | | | | | | 1,205,440 | |
| | | |
| | CHILE - 0.8% | |
| | 90,000,000 CLP | | | Bonos de la Tesoreria de la Republica en pesos | | | 4.50% | | | 03/01/2026 | | | 99,421 | |
| | | |
| | COLOMBIA - 1.3% | |
| | 350,000,000 COP | | | Colombian TES | | | 6.25% | | | 11/26/2025 | | | 82,540 | |
| | 350,000,000 COP | | | Colombian TES | | | 7.50% | | | 08/26/2026 | | | 82,246 | |
| | | | | | | | | | | 164,786 | |
| | | |
| | CZECH REPUBLIC - 4.5% | |
| | 10,600,000 CZK | | | Czech Republic Government Bond | | | 2.75% | | | 07/23/2029 | | | 455,517 | |
| | 2,700,000 CZK | | | Czech Republic Government Bond | | | 4.90% | | | 04/14/2034 | | | 130,164 | |
| | | | | | | | | | | 585,681 | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | HUNGARY - 3.9% | |
| | 90,000,000 HUF | | | Hungary Government Bond | | | 2.50% | | | 10/24/2024 | | | 251,632 | |
| | 45,000,000 HUF | | | Hungary Government Bond | | | 3.00% | | | 10/27/2027 | | | 117,055 | |
| | 53,000,000 HUF | | | Hungary Government Bond | | | 4.75% | | | 11/24/2032 | | | 136,814 | |
| | | | | | | | | | | 505,501 | |
| | | |
| | INDIA - 1.2% | |
| | 12,000,000 INR | | | Export-Import Bank of Korea | | | 8.10% | | | 10/16/2030 | | | 149,414 | |
| | | |
| | INDONESIA - 9.9% | |
| | 6,065,000,000 IDR | | | Indonesia Treasury Bond | | | 8.25% | | | 05/15/2029 | | | 433,252 | |
| | 1,800,000,000 IDR | | | Indonesia Treasury Bond | | | 7.00% | | | 02/15/2033 | | | 123,426 | |
| | 6,170,000,000 IDR | | | Indonesia Treasury Bond | | | 8.38% | | | 03/15/2034 | | | 461,492 | |
| | 3,662,000,000 IDR | | | Indonesia Treasury Bond | | | 7.50% | | | 06/15/2035 | | | 259,775 | |
| | | | | | | | | | | 1,277,945 | |
| | | |
| | MALAYSIA - 4.7% | |
| | 1,200,000 MYR | | | Malaysia Government Bond | | | 3.50% | | | 05/31/2027 | | | 292,271 | |
| | 1,300,000 MYR | | | Malaysia Government Bond | | | 3.58% | | | 07/15/2032 | | | 312,336 | |
| | | | | | | | | | | 604,607 | |
| | | |
| | MEXICO - 6.8% | |
| | 5,900,000 MXN | | | Mexican Bonos | | | 5.00% | | | 03/06/2025 | | | 292,858 | |
| | 6,250,000 MXN | | | Mexican Bonos | | | 5.75% | | | 03/05/2026 | | | 301,383 | |
| | 5,980,000 MXN | | | Mexican Bonos | | | 7.75% | | | 05/29/2031 | | | 282,561 | |
| | | | | | | | | | | 876,802 | |
| | | |
| | PERU - 4.0% | |
| | 1,670,000 PEN | | | Peru Government Bond | | | 5.40% | | | 08/12/2034 | | | 423,552 | |
| | 350,000 PEN | | | Peruvian Government International Bond | | | 6.90% | | | 08/12/2037 | | | 97,377 | |
| | | | | | | | | | | 520,929 | |
| | | |
| | PHILIPPINES - 0.6% | |
| | 4,500,000 PHP | | | Philippine Government Bond | | | 6.88% | | | 01/10/2029 | | | 84,408 | |
| | | |
| | POLAND - 5.8% | |
| | 1,160,000 PLN | | | Republic of Poland Government Bond | | | 3.25% | | | 07/25/2025 | | | 299,540 | |
| | 2,200,000 PLN | | | Republic of Poland Government Bond | | | 1.75% | | | 04/25/2032 | | | 454,202 | |
| | | | | | | | | | | 753,742 | |
| | | |
| | ROMANIA - 4.5% | |
| | 830,000 RON | | | Romania Government Bond | | | 3.70% | | | 11/25/2024 | | | 185,493 | |
| | 1,100,000 RON | | | Romania Government Bond | | | 8.00% | | | 04/29/2030 | | | 263,103 | |
| | 600,000 RON | | | Romania Government Bond | | | 7.35% | | | 04/28/2031 | | | 139,961 | |
| | | | | | | | | | | 588,557 | |
| | | |
| | SOUTH AFRICA - 15.3% | |
| | 8,000,000 ZAR | | | Republic of South Africa Government Bond | | | 8.00% | | | 01/31/2030 | | | 447,025 | |
| | 6,760,000 ZAR | | | Republic of South Africa Government Bond | | | 8.25% | | | 03/31/2032 | | | 366,714 | |
| | 12,160,000 ZAR | | | Republic of South Africa Government Bond | | | 8.88% | | | 02/28/2035 | | | 651,830 | |
| | 10,120,000 ZAR | | | Republic of South Africa Government Bond | | | 8.50% | | | 01/31/2037 | | | 508,861 | |
| | | | | | | | | | | 1,974,430 | |
| | | |
| | THAILAND - 4.9% | |
| | 6,150,000 THB | | | Thailand Government Bond | | | 3.85% | | | 12/12/2025 | | | 194,913 | |
| | 6,250,000 THB | | | Thailand Government Bond | | | 3.35% | | | 06/17/2033 | | | 207,776 | |
| | 8,000,000 THB | | | Thailand Government Bond | | | 1.59% | | | 12/17/2035 | | | 226,037 | |
| | | | | | | | | | | 628,726 | |
| | | | | Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $10,284,640) | | | | | | 10,020,389 | |
| | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 137
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 1.5% | |
| | 64,833 USD | | | BlackRock Liquidity FedFund - Institutional | | | 4.83%(b) | | | | | | 64,833 | |
| | 64,835 USD | | | Fidelity Government Portfolio - Institutional | | | 4.83%(b) | | | | | | 64,835 | |
| | 64,834 USD | | | MSILF Government Portfolio - Institutional | | | 4.83%(b) | | | | | | 64,834 | |
| | | | | Total Short Term Investments
(Cost $194,502) | | | | | | 194,502 | |
| | | | | Total Investments - 98.6%
(Cost $13,092,517) | | | | | | 12,753,894 | |
| | | | | Other Assets in Excess of Liabilities - 1.4% | | | | | | | | | 179,401 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $12,933,295 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 77.5% | |
| | Foreign Corporate Bonds | | | 19.6% | |
| | Short Term Investments | | | 1.5% | |
| | Other Assets and Liabilities | | | 1.4% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
| | Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 77.5% | |
| | Finance | | | 15.8% | |
| | Telecommunications | | | 1.8% | |
| | Short Term Investments | | | 1.5% | |
| | Utilities | | | 1.3% | |
| | Transportation | | | 0.7% | |
| | Other Assets and Liabilities | | | 1.4% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
| | | | | | |
| | COUNTRY BREAKDOWN as a % of Net Assets: | | | | |
| | South Africa | | | 15.3% | |
| | Indonesia | | | 12.2% | |
| | Mexico | | | 11.2% | |
| | Brazil | | | 10.0% | |
| | Poland | | | 9.2% | |
| | Thailand | | | 4.9% | |
| | China | | | 4.7% | |
| | Malaysia | | | 4.7% | |
| | Romania | | | 4.5% | |
| | Czech Republic | | | 4.5% | |
| | Peru | | | 4.0% | |
| | Hungary | | | 3.9% | |
| | India | | | 3.9% | |
| | Colombia | | | 2.7% | |
| | United States | | | 1.5% | |
| | Chile | | | 0.8% | |
| | Philippines | | | 0.6% | |
| | Other Assets and Liabilities | | | 1.4% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
(b)
| Seven-day yield as of period end. |
138
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Income Fund | (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | ASSET BACKED OBLIGATIONS - 8.7% | |
| | | | | Affirm, Inc. | | | | | | | | | | |
| | 500,000 | | | Series 2023-B-D | | | 8.78%(a) | | | 09/15/2028 | | | 513,276 | |
| | | | | APL Finance DAC | | | | | | | | | | |
| | 548,000 | | | Series 2023-1A-C | | | 8.50%(a) | | | 07/21/2031 | | | 557,673 | |
| | | | | Apollo Aviation Securitization Equity Trust | |
| | 497,899 | | | Series 2024-1A-B | | | 6.90%(a) | | | 05/16/2049 | | | 510,111 | |
| | | | | Bojangles Issuer LLC | | | | | | | | | | |
| | 245,625 | | | Series 2020-1A-A2 | | | 3.83%(a) | | | 10/20/2050 | | | 244,619 | |
| | | | | Compass Datacenters LLC | | | | | | | | | | |
| | 500,000 | | | Series 2024-1A-B | | | 7.00%(a) | | | 02/25/2049 | | | 516,207 | |
| | | | | Hardee’s Funding | | | | | | | | | | |
| | 497,500 | | | Series 2024-1A-A2 | | | 7.25%(a) | | | 03/20/2054 | | | 515,390 | |
| | | | | Helios Issuer LLC | | | | | | | | | | |
| | 1,073,747 | | | Series 2019-AA-B | | | 4.49%(a) | | | 06/20/2046 | | | 954,220 | |
| | | | | Hotwire Funding LLC | | | | | | | | | | |
| | 1,000,000 | | | Series 2021-1-B | | | 2.66%(a) | | | 11/20/2051 | | | 935,085 | |
| | | | | Lunar Structured Aircraft Portfolio Notes | |
| | 733,052 | | | Series 2021-1-C | | | 5.68%(a) | | | 10/15/2046 | | | 687,942 | |
| | | | | MAPS Ltd. | | | | | | | | | | |
| | 29,799 | | | Series 2021-1A-C | | | 5.44%(a) | | | 06/15/2046 | | | 28,352 | |
| | | | | Marlette Funding Trust | | | | | | | | | | |
| | 500,000 | | | Series 2022-3A-C | | | 6.89%(a) | | | 11/15/2032 | | | 508,585 | |
| | | | | Retained Vantage Data Centers Issuer LLC | |
| | 500,000 | | | Series 2023-1A-B | | | 5.75%(a) | | | 09/15/2048 | | | 488,514 | |
| | | | | Start Ltd./Bermuda | | | | | | | | | | |
| | 231,025 | | | Series 2019-1-C | | | 6.41%(a) | | | 03/15/2044 | | | 215,299 | |
| | | | | Switch ABS Issuer LLC | | | | | | | | | | |
| | 500,000 | | | Series 2024-1A-B | | | 6.50%(a) | | | 03/25/2054 | | | 506,707 | |
| | 750,000 | | | Series 2024-2A-C | | | 10.03%(a) | | | 06/25/2054 | | | 785,402 | |
| | | | | WAVE USA | | | | | | | | | | |
| | 2,500,170 | | | Series 2019-1-C | | | 6.41%(a) | | | 09/15/2044 | | | 885,503 | |
| | | | | Total Asset Backed Obligations
(Cost $10,330,632) | | | | | | 8,852,885 | |
| | | |
| | COLLATERALIZED LOAN OBLIGATIONS - 21.6% | |
| | | | | Aimco CDO | | | | | | | | | | |
| | 700,000 | | | Series 2021-15A-E (3 mo. Term SOFR + 6.21%, 5.95% Floor) | | | 11.50%(a) | | | 10/17/2034 | | | 705,571 | |
| | | | | Bain Capital Credit CLO | | | | | | | | | | |
| | 500,000 | | | Series 2024-1A-D1 (3 mo. Term SOFR + 3.85%, 3.85% Floor) | | | 9.17%(a) | | | 04/16/2037 | | | 509,049 | |
| | | | | Battalion CLO Ltd. | | | | | | | | | | |
| | 1,000,000 | | | Series 2021-21A-B (3 mo. Term SOFR + 2.01%, 1.75% Floor) | | | 7.31%(a) | | | 07/15/2034 | | | 1,001,269 | |
| | | | | Canyon Capital CLO Ltd. | | | | | | | | | | |
| | 500,000 | | | Series 2021-1A-E (3 mo. Term SOFR + 6.67%, 6.41% Floor) | | | 11.97%(a) | | | 04/15/2034 | | | 479,656 | |
| | | | | Canyon CLO | | | | | | | | | | |
| | 500,000 | | | Series 2021-3A-E (3 mo. Term SOFR + 6.46%, 6.20% Floor) | | | 11.76%(a) | | | 07/15/2034 | | | 489,335 | |
| | | | | Carlyle Global Market Strategies | | | | | | | | | | |
| | 500,000 | | | Series 2018-4A-D1R (3 mo. Term SOFR + 3.10%, 3.10% Floor) | | | 7.97%(a) | | | 10/17/2037 | | | 502,606 | |
| | 500,000 | | | Series 2024-2A-D (3 mo. Term SOFR + 3.85%, 3.85% Floor) | | | 9.17%(a) | | | 04/25/2037 | | | 509,062 | |
| | | | | CarVal CLO | | | | | | | | | | |
| | 500,000 | | | Series 2024-1A-B (3 mo. Term SOFR + 2.10%, 2.10% Floor) | | | 7.38%(a) | | | 04/20/2037 | | | 504,549 | |
| | 1,000,000 | | | Series 2024-1A-D (3 mo. Term SOFR + 3.90%, 3.90% Floor) | | | 9.18%(a) | | | 04/20/2037 | | | 1,025,554 | |
| | | | | Clover CLO | | | | | | | | | | |
| | 500,000 | | | Series 2018-1A-A1RR (3 mo. Term SOFR + 1.53%, 1.53% Floor) | | | 6.85%(a) | | | 04/20/2037 | | | 501,186 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | Elmwood CLO | | | | | | | | | | |
| | 500,000 | | | Series 2024-4A-E (3 mo. Term SOFR + 6.00%, 6.00% Floor) | | | 11.34%(a) | | | 04/17/2037 | | | 510,019 | |
| | | | | Empower CLO Ltd. | | | | | | | | | | |
| | 500,000 | | | Series 2024-1A-D1 (3 mo. Term SOFR + 3.75%, 3.75% Floor) | | | 9.06%(a) | | | 04/25/2037 | | | 511,174 | |
| | | | | Goldentree Loan Opportunities Ltd. | |
| | 1,000,000 | | | Series 2022-14A-DR (3 mo. Term SOFR + 3.00%, 3.00% Floor) | | | 8.28%(a) | | | 07/20/2037 | | | 1,017,144 | |
| | 500,000 | | | Series 2024-19A-D (3 mo. Term SOFR + 3.40%, 3.40% Floor) | | | 8.68%(a) | | | 04/20/2037 | | | 509,373 | |
| | | | | Harvest US CLO | | | | | | | | | | |
| | 500,000 | | | Series 2024-1A-D (3 mo. Term SOFR + 4.50%, 4.50% Floor) | | | 9.78%(a) | | | 04/18/2037 | | | 499,136 | |
| | | | | Katayma CLO Ltd. | | | | | | | | | | |
| | 1,000,000 | | | Series 2023-1A-D (3 mo. Term SOFR + 5.25%, 5.25% Floor) | | | 10.53%(a) | | | 10/20/2036 | | | 1,004,115 | |
| | 500,000 | | | Series 2024-2A-A1 (3 mo. Term SOFR + 1.65%, 1.65% Floor) | | | 6.94%(a) | | | 04/20/2037 | | | 502,266 | |
| | 500,000 | | | Series 2024-2A-D (3 mo. Term SOFR + 4.50%, 4.50% Floor) | | | 9.79%(a) | | | 04/20/2037 | | | 512,796 | |
| | | | | MidOcean Credit CLO | | | | | | | | | | |
| | 500,000 | | | Series 2018-9A-D (3 mo. Term SOFR + 3.56%, 3.30% Floor) | | | 8.84%(a) | | | 07/20/2031 | | | 501,645 | |
| | | | | Octagon Investment Partners Ltd. | |
| | 1,000,000 | | | Series 2012-1A-CRR (3 mo. Term SOFR + 4.16%, 3.90% Floor) | | | 9.46%(a) | | | 07/15/2029 | | | 1,025,813 | |
| | 500,000 | | | Series 2018-2A-C (3 mo. Term SOFR + 3.11%, 0.00% Floor) | | | 8.40%(a) | | | 07/25/2030 | | | 502,193 | |
| | 500,000 | | | Series 2021-1A-E (3 mo. Term SOFR + 6.76%, 6.50% Floor) | | | 12.06%(a) | | | 04/15/2034 | | | 463,768 | |
| | | | | Point Au Roche Park CLO | | | | | | | | | | |
| | 500,000 | | | Series 2021-1A-E (3 mo. Term SOFR + 6.36%, 6.10% Floor) | | | 11.64%(a) | | | 07/20/2034 | | | 503,410 | |
| | | | | Rockford Tower CLO Ltd. | | | | | | | | | | |
| | 1,000,000 | | | Series 2024-1A-A1 (3 mo. Term SOFR + 1.61%, 1.61% Floor) | | | 6.94%(a) | | | 04/20/2037 | | | 1,003,796 | |
| | | | | RR Ltd./Cayman Islands | | | | | | | | | | |
| | 1,000,000 | | | Series 2017-2A-DR (3 mo. Term SOFR + 6.06%, 5.80% Floor) | | | 11.36%(a) | | | 04/15/2036 | | | 1,004,645 | |
| | | | | Sound Point CLO Ltd. | | | | | | | | | | |
| | 500,000 | | | Series 2019-3A-DR (3 mo. Term SOFR + 3.76%, 3.76% Floor) | | | 9.05%(a) | | | 10/25/2034 | | | 490,726 | |
| | 1,000,000 | | | Series 2020-1A-ER (3 mo. Term SOFR + 7.12%, 7.12% Floor) | | | 12.40%(a) | | | 07/20/2034 | | | 947,837 | |
| | 500,000 | | | Series 2021-3A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor) | | | 8.80%(a) | | | 10/25/2034 | | | 489,762 | |
| | | | | Steele Creek CLO Ltd. | | | | | | | | | | |
| | 940,000 | | | Series 2014-1RA-D (3 mo. Term SOFR + 3.06%, 2.80% Floor) | | | 8.34%(a) | | | 04/21/2031 | | | 942,813 | |
| | | | | Trimaran CAVU LLC | | | | | | | | | | |
| | 2,000,000 | | | Series 2019-2A-C (3 mo. Term SOFR + 4.98%, 4.72% Floor) | | | 10.26%(a) | | | 11/26/2032 | | | 1,996,299 | |
| | | | | Wellfleet CLO Ltd. | | | | | | | | | | |
| | 500,000 | | | Series 2019-1A-CR (3 mo. Term SOFR + 3.81%, 3.55% Floor) | | | 9.09%(a) | | | 07/20/2032 | | | 492,983 | |
| | 500,000 | | | Series 2021-3A-D (3 mo. Term SOFR + 3.76%, 3.50% Floor) | | | 9.06%(a) | | | 01/15/2035 | | | 498,008 | |
| | | | | Total Collateralized Loan Obligations
(Cost $21,983,774) | | | | | | 22,157,558 | |
| | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 21.9% | |
| | | | | ACREC Trust | | | | | | | | | | |
| | 300,000 | | | Series 2023-FL2-B (1 mo. Term SOFR + 3.48%, 3.48% Floor) | | | 8.58%(a) | | | 02/19/2038 | | | 303,172 | |
| | | | | Alen Mortgage Trust | | | | | | | | | | |
| | 1,000,000 | | | Series 2021-ACEN-F (1 mo. Term SOFR + 5.11%, 5.00% Floor) | | | 10.21%(a) | | | 04/15/2034 | | | 357,500 | |
| | | | | Arbor Realty Trust, Inc. | | | | | | | | | | |
| | 329,273 | | | Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor) | | | 6.79%(a) | | | 01/15/2037 | | | 328,128 | |
| | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 139
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | 338,219 | | | Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor) | | | 6.95%(a) | | | 05/15/2037 | | | 338,723 | |
| | | | | AREIT Trust | | | | | | | | | | |
| | 400,000 | | | Series 2021-CRE5-B (1 mo. Term SOFR + 1.93%, 1.82% Floor) | | | 7.02%(a) | | | 11/17/2038 | | | 399,977 | |
| | 246,491 | | | Series 2023-CRE8-A (1 mo. Term SOFR + 2.11%, 2.11% Floor) | | | 7.19%(a) | | | 08/17/2041 | | | 248,051 | |
| | | | | Banc of America Re-Remic Trust | | | | | | | | | | |
| | 200,000 | | | Series 2015-200P-D | | | 3.72%(a)(b) | | | 04/14/2033 | | | 194,519 | |
| | | | | BANK | | | | | | | | | | |
| | 350,000 | | | Series 2019-BN19-A2 | | | 2.93% | | | 08/15/2061 | | | 322,811 | |
| | 350,000 | | | Series 2021-BN34-ASB | | | 2.19% | | | 06/15/2063 | | | 319,982 | |
| | | | | BANK5 Trust | | | | | | | | | | |
| | 350,000 | | | Series 2024-5YR9-C | | | 6.42%(b) | | | 08/15/2057 | | | 361,129 | |
| | | | | BBCMS Trust | | | | | | | | | | |
| | 11,317,320 | | | Series 2024-5C27-XA | | | 1.04%(a)(b)(c) | | | 07/15/2057 | | | 383,739 | |
| | | | | Benchmark Mortgage Trust | | | | | | | | | | |
| | 375,000 | | | Series 2019-B13-A3 | | | 2.70% | | | 08/15/2057 | | | 346,010 | |
| | 217,939 | | | Series 2020-B16-A2 | | | 2.88% | | | 02/15/2053 | | | 215,386 | |
| | 350,000 | | | Series 2024-V9-A3 | | | 5.60% | | | 08/15/2057 | | | 363,610 | |
| | | | | BFLD Trust | | | | | | | | | | |
| | 125,000 | | | Series 2024-VICT-A (1 mo. Term SOFR + 1.89%, 1.89% Floor) | | | 6.99%(a) | | | 07/15/2041 | | | 125,249 | |
| | | | | BLP Commercial Mortgage Trust | | | | | | | | | | |
| | 180,000 | | | Series 2024-IND2-A (1 mo. Term SOFR + 1.34%, 1.34% Floor) | | | 6.44%(a) | | | 03/15/2041 | | | 179,462 | |
| | | | | BMO Mortgage Trust | | | | | | | | | | |
| | 250,000 | | | Series 2024-5C6-A3 | | | 5.32% | | | 09/15/2057 | | | 257,669 | |
| | | | | BrightSpire Capital, Inc. | | | | | | | | | | |
| | 156,832 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor) | | | 6.23%(a) | | | 08/19/2038 | | | 156,320 | |
| | | | | BSPRT Co.-Issuer LLC | | | | | | | | | | |
| | 250,000 | | | Series 2023-FL10-B (1 mo. Term SOFR + 3.27%, 3.27% Floor) | | | 8.36%(a) | | | 09/15/2035 | | | 252,527 | |
| | | | | BX Trust | | | | | | | | | | |
| | 239,713 | | | Series 2020-VKNG-A (1 mo. Term SOFR + 1.04%, 0.93% Floor) | | | 6.14%(a) | | | 10/15/2037 | | | 239,191 | |
| | 269,966 | | | Series 2021-21M-A (1 mo. Term SOFR + 0.84%, 0.73% Floor) | | | 5.94%(a) | | | 10/15/2036 | | | 268,265 | |
| | 396,941 | | | Series 2021-CIP-A (1 mo. Term SOFR + 1.04%, 0.92% Floor) | | | 6.13%(a) | | | 12/15/2038 | | | 394,008 | |
| | 173,028 | | | Series 2021-VINO-A (1 mo. Term SOFR + 0.77%, 0.77% Floor) | | | 5.86%(a) | | | 05/15/2038 | | | 172,160 | |
| | 240,000 | | | Series 2021-VOLT-B (1 mo. Term SOFR + 1.06%, 0.95% Floor) | | | 6.16%(a) | | | 09/15/2036 | | | 237,922 | |
| | 128,179 | | | Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor) | | | 5.90%(a) | | | 10/15/2038 | | | 127,212 | |
| | 197,401 | | | Series 2022-LP2-A (1 mo. Term SOFR + 1.01%, 1.01% Floor) | | | 6.11%(a) | | | 02/15/2039 | | | 196,429 | |
| | 190,000 | | | Series 2024-AIRC-A (1 mo. Term SOFR + 1.69%, 1.69% Floor) | | | 6.79%(a) | | | 08/15/2039 | | | 190,578 | |
| | 442,727 | | | Series 2024-MF-A (1 mo. Term SOFR + 1.44%, 1.44% Floor) | | | 6.54%(a) | | | 02/15/2039 | | | 442,949 | |
| | | | | CEDR Commercial Mortgage Trust | |
| | 350,000 | | | Series 2022-SNAI-A (1 mo. Term SOFR + 0.99%, 0.99% Floor) | | | 6.08%(a) | | | 02/15/2039 | | | 333,975 | |
| | | | | CENT Trust | | | | | | | | | | |
| | 250,000 | | | Series 2023-CITY-A (1 mo. Term SOFR + 2.62%, 2.62% Floor) | | | 7.72%(a) | | | 09/15/2038 | | | 251,001 | |
| | | | | Citigroup Commercial Mortgage Trust | |
| | 251,298 | | | Series 2014-GC21-B | | | 4.33%(b) | | | 05/10/2047 | | | 244,217 | |
| | | | | Computershare Corporate Trust | | | | | | | | | | |
| | 180,000 | | | Series 2015-C28-A4 | | | 3.54% | | | 05/15/2048 | | | 178,275 | |
| | 539,000 | | | Series 2015-LC22-A4 | | | 3.84% | | | 09/15/2058 | | | 533,012 | |
| | 489,610 | | | Series 2019-C50-A4 | | | 3.47% | | | 05/15/2052 | | | 470,720 | |
| | 200,000 | | | Series 2019-JWDR-C | | | 3.14%(a)(b) | | | 09/15/2031 | | | 192,363 | |
| | 2,050,000 | | | Series 2024-C63-XD | | | 2.51%(a)(b)(c) | | | 08/15/2057 | | | 353,615 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 510,000 | | | Series 2017-PFHP-A (1 mo. Term SOFR + 1.00%, 0.95% Floor) | | | 6.09%(a) | | | 12/15/2030 | | | 492,180 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 139,000 | | | Series 2021-B33-A2 | | | 3.17%(a) | | | 10/10/2043 | | | 123,461 | |
| | | | | CSAIL Commercial Mortgage Trust | |
| | 367,924 | | | Series 2017-CX9-A4 | | | 3.18% | | | 09/15/2050 | | | 356,216 | |
| | | | | DBCG Mortgage Trust | | | | | | | | | | |
| | 233,893 | | | Series 2017-BBG-A (Prime Rate + 0.00%, 0.00% Floor) | | | 8.50%(a) | | | 06/15/2034 | | | 233,914 | |
| | | | | Extended Stay America Trust | | | | | | | | | | |
| | 445,518 | | | Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor) | | | 6.29%(a) | | | 07/15/2038 | | | 445,320 | |
| | | | | FS Rialto | | | | | | | | | | |
| | 288,647 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor) | | | 6.43%(a) | | | 05/16/2038 | | | 287,712 | |
| | 406,649 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor) | | | 6.46%(a) | | | 11/16/2036 | | | 406,533 | |
| | | | | Granite Point Mortgage Trust, Inc. | |
| | 300,000 | | | Series 2021-FL4-B (1 mo. Term SOFR + 2.06%, 1.95% Floor) | | | 6.98%(a) | | | 12/15/2036 | | | 287,724 | |
| | | | | Great Wolf Trust | | | | | | | | | | |
| | 200,000 | | | Series 2024-WLF2-A (1 mo. Term SOFR + 1.69%) | | | 6.79%(a) | | | 05/15/2041 | | | 200,347 | |
| | | | | Greystone Commercial Real Estate Notes | |
| | 284,237 | | | Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor) | | | 6.23%(a) | | | 07/15/2039 | | | 283,795 | |
| | | | | GS Mortgage Securities Corp. II | | | | | | | | | | |
| | 125,000 | | | Series 2021-IP-C (1 mo. Term SOFR + 1.66%, 1.55% Floor) | | | 6.76%(a) | | | 10/15/2036 | | | 122,999 | |
| | 125,000 | | | Series 2021-STAR-D (1 mo. Term SOFR + 2.01%, 1.90% Floor) | | | 7.11%(a) | | | 12/15/2036 | | | 120,540 | |
| | | | | JP Morgan Chase Commercial Mortgage Securities | |
| | 1,000,000 | | | Series 2019-UES-G | | | 4.60%(a)(b) | | | 05/05/2032 | | | 854,348 | |
| | | | | JPMBB Commercial Mortgage Securities Trust | |
| | 268,139 | | | Series 2014-C21-C | | | 4.72%(b) | | | 08/15/2047 | | | 263,453 | |
| | 300,000 | | | Series 2014-C23-UH5 | | | 4.71%(a) | | | 09/15/2047 | | | 291,217 | |
| | 365,000 | | | Series 2015-C27-A4 | | | 3.18% | | | 02/15/2048 | | | 357,787 | |
| | 292,036 | | | Series 2015-C31-A3 | | | 3.80% | | | 08/15/2048 | | | 288,113 | |
| | 250,000 | | | Series 2015-C33-AS | | | 4.02% | | | 12/15/2048 | | | 245,035 | |
| | | | | LFT CRE Ltd. | | | | | | | | | | |
| | 300,000 | | | Series 2021-FL1-B (1 mo. Term SOFR + 1.86%, 1.86% Floor) | | | 6.96%(a) | | | 06/15/2039 | | | 295,478 | |
| | | | | LoanCore | | | | | | | | | | |
| | 300,000 | | | Series 2021-CRE5-AS (1 mo. Term SOFR + 1.86%, 1.86% Floor) | | | 6.96%(a) | | | 07/15/2036 | | | 298,197 | |
| | 168,024 | | | Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor) | | | 6.51%(a) | | | 11/15/2038 | | | 167,837 | |
| | | | | Lument Finance Trust, Inc. | | | | | | | | | | |
| | 330,020 | | | Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor) | | | 6.38%(a) | | | 06/15/2039 | | | 330,634 | |
| | | | | MF1 Multifamily Housing Mortgage Loan Trust | |
| | 373,908 | | | Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor) | | | 6.23%(a) | | | 07/16/2036 | | | 372,704 | |
| | 250,000 | | | Series 2021-FL7-B (1 mo. Term SOFR + 1.86%, 1.75% Floor) | | | 6.88%(a) | | | 10/16/2036 | | | 245,139 | |
| | 297,460 | | | Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.11%(a) | | | 06/19/2037 | | | 298,106 | |
| | 300,000 | | | Series 2024-FL14-A (1 mo. Term SOFR + 1.74%, 1.74% Floor) | | | 6.70%(a) | | | 03/19/2039 | | | 301,027 | |
| | 250,000 | | | Series 2024-FL15-B (1 mo. Term SOFR + 2.49%, 2.49% Floor) | | | 7.51%(a) | | | 08/18/2041 | | | 250,384 | |
| | | | | MHC Commercial Mortgage Trust | |
| | 301,996 | | | Series 2021-MHC-A (1 mo. Term SOFR + 0.92%, 0.80% Floor) | | | 6.01%(a) | | | 04/15/2038 | | | 300,808 | |
| | | | | Morgan Stanley Capital I, Inc. | | | | | | | | | | |
| | 300,000 | | | Series 2016-UB11-AS | | | 2.98% | | | 08/15/2049 | | | 284,699 | |
| | | | | PFP III Ltd. | | | | | | | | | | |
| | 300,000 | | | Series 2024-11-B (1 mo. Term SOFR + 2.49%, 2.49% Floor) | | | 7.57%(a) | | | 09/17/2039 | | | 300,524 | |
| | | | | Ready Capital Corp. | | | | | | | | | | |
| | 309,087 | | | Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.17%(a) | | | 11/25/2036 | | | 309,047 | |
| | 98,704 | | | Series 2022-FL9-A (1 mo. Term SOFR + 2.47%, 2.47% Floor) | | | 7.32%(a) | | | 06/25/2037 | | | 99,515 | |
| | | | | | | | | | | | | | | |
140
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Schedule of Investments DoubleLine Income Fund (Cont.) |
| | | | | | | | | | | | | | | |
| | 106,009 | | | Series 2023-FL12-A (1 mo. Term SOFR + 2.34%, 2.34% Floor) | | | 7.19%(a) | | | 05/25/2038 | | | 106,783 | |
| | | | | SREIT Trust | | | | | | | | | | |
| | 500,000 | | | Series 2021-MFP2-A (1 mo. Term SOFR + 0.94%, 0.82% Floor) | | | 6.03%(a) | | | 11/15/2036 | | | 497,186 | |
| | | | | Starwood Property Mortgage Trust | |
| | 197,317 | | | Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.33%(a) | | | 04/18/2038 | | | 195,119 | |
| | 296,509 | | | Series 2022-FL3-A (30 day avg SOFR US + 1.35%, 1.35% Floor) | | | 6.69%(a) | | | 11/15/2038 | | | 294,403 | |
| | 400,000 | | | Series 2022-FL3-B (30 day avg SOFR US + 1.95%, 1.95% Floor) | | | 7.29%(a) | | | 11/15/2038 | | | 388,680 | |
| | | | | TPG Real Estate Finance Issuer Ltd. | |
| | 152,273 | | | Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor) | | | 6.40%(a) | | | 03/15/2038 | | | 151,862 | |
| | 300,000 | | | Series 2021-FL4-B (1 mo. Term SOFR + 1.96%, 1.85% Floor) | | | 7.05%(a) | | | 03/15/2038 | | | 297,226 | |
| | 250,000 | | | Series 2022-FL5-AS (1 mo. Term SOFR + 2.15%, 2.15% Floor) | | | 7.23%(a) | | | 02/15/2039 | | | 248,592 | |
| | | | | UBS-Barclays Commercial Mortgage Trust | |
| | 281,000 | | | Series 2013-C5-D | | | 3.84%(a)(b) | | | 03/10/2046 | | | 206,422 | |
| | | | | VMC Finance LLC | | | | | | | | | | |
| | 250,000 | | | Series 2021-FL4-B (1 mo. Term SOFR + 1.91%, 1.91% Floor) | | | 6.93%(a) | | | 06/16/2036 | | | 247,738 | |
| | | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $23,089,152) | | | | | | 22,428,660 | |
| | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 29.2% | |
| | | | | Connecticut Avenue Securities Trust | |
| | 1,500,000 | | | Series 2024-R05-2M2 (30 day avg SOFR US + 1.70%, 1.90% Floor) | | | 6.98%(a) | | | 07/25/2044 | | | 1,505,343 | |
| | | | | Credit Suisse Mortgage Capital Certificates | |
| | 1,372,000 | | | Series 2021-NQM4-B2 | | | 4.18%(a)(b) | | | 05/25/2066 | | | 1,062,647 | |
| | | | | Cross Mortgage Trust | | | | | | | | | | |
| | 1,089,400 | | | Series 2024-H1-A1 | | | 6.09%(a)(d) | | | 12/25/2068 | | | 1,101,973 | |
| | | | | Fannie Mae Connecticut Avenue Securities | |
| | 1,300,000 | | | Series 2022-R01-1M2 (30 day avg SOFR US + 1.90%, 0.00% Floor) | | | 7.18%(a) | | | 12/25/2041 | | | 1,316,729 | |
| | 1,250,000 | | | Series 2023-R01-1M2 (30 day avg SOFR US + 3.75%, 0.00% Floor) | | | 9.01%(a) | | | 12/25/2042 | | | 1,341,759 | |
| | 1,300,000 | | | Series 2024-R01-1M2 (30 day avg SOFR US + 1.80%, 1.80% Floor) | | | 7.08%(a) | | | 01/25/2044 | | | 1,316,563 | |
| | 1,000,000 | | | Series 2024-R02-1B1 (30 day avg SOFR US + 2.50%, 2.50% Floor) | | | 7.78%(a) | | | 02/25/2044 | | | 1,020,958 | |
| | 1,200,000 | | | Series 2024-R03-2M2 (30 day avg SOFR US + 1.95%, 0.00% Floor) | | | 7.21%(a) | | | 03/25/2044 | | | 1,211,089 | |
| | 1,250,000 | | | Series 2024-R04-1B1 (30 day avg SOFR US + 2.20%, 0.00% Floor) | | | 7.48%(a) | | | 05/25/2044 | | | 1,257,919 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | |
| | 1,200,000 | | | Series 2024-DNA1-M2 (30 day avg SOFR US + 1.95%, 0.00% Floor) | | | 7.23%(a) | | | 02/25/2044 | | | 1,208,885 | |
| | 1,000,000 | | | Series 2024-HQA1-M2 (30 day avg SOFR US + 2.00%, 0.00% Floor) | | | 7.28%(a) | | | 03/25/2044 | | | 1,006,695 | |
| | | | | Onslow Bay Mortgage Loan Trust | |
| | 956,583 | | | Series 2024-NQM10-A1 | | | 6.18%(a)(d) | | | 05/25/2064 | | | 972,352 | |
| | 1,119,625 | | | Series 2024-NQM2-A1 | | | 5.88%(a)(d) | | | 12/25/2063 | | | 1,133,618 | |
| | | | | Pretium Mortgage Credit Partners LLC | |
| | 1,083,357 | | | Series 2024-NPL2-A1 | | | 7.02%(a)(d) | | | 02/25/2054 | | | 1,092,713 | |
| | 1,449,702 | | | Series 2024-NPL3-A1 | | | 7.52%(a)(d) | | | 04/27/2054 | | | 1,472,454 | |
| | 1,237,943 | | | Series 2024-NPL4-A1 | | | 7.00%(a)(d) | | | 07/25/2054 | | | 1,253,614 | |
| | | | | Progress Residential Trust | | | | | | | | | | |
| | 1,200,000 | | | Series 2024-SFR2-D | | | 3.40%(a)(b) | | | 04/17/2041 | | | 1,105,857 | |
| | | | | PRPM LLC | | | | | | | | | | |
| | 1,471,303 | | | Series 2024-4-A1 | | | 6.41%(a)(d) | | | 08/25/2029 | | | 1,490,192 | |
| | | | | SGR Residential Mortgage Trust | | | | | | | | | | |
| | 1,250,000 | | | Series 2021-1-B2 | | | 4.30%(a)(b) | | | 07/25/2061 | | | 960,805 | |
| | | | | Velocity Commercial Capital Loan Trust | |
| | 168,735 | | | Series 2019-1-M4 | | | 4.61%(a)(b) | | | 03/25/2049 | | | 145,704 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 93,257 | | | Series 2019-1-M5 | | | 5.70%(a)(b) | | | 03/25/2049 | | | 81,854 | |
| | 150,720 | | | Series 2019-1-M6 | | | 6.79%(a)(b) | | | 03/25/2049 | | | 121,589 | |
| | | | | Vericrest Opportunity Loan Transferee | |
| | 1,135,894 | | | Series 2021-NPL5-A2 | | | 4.83%(a)(d)(e) | | | 03/27/2051 | | | 1,107,399 | |
| | | | | Verus Securitization Trust | | | | | | | | | | |
| | 1,400,000 | | | Series 2020-5-B2 | | | 4.71%(a)(b) | | | 05/25/2065 | | | 1,340,658 | |
| | 1,500,000 | | | Series 2021-3-B2 | | | 3.96%(a)(b) | | | 06/25/2066 | | | 1,125,336 | |
| | 916,318 | | | Series 2023-1-A1 | | | 5.85%(a)(d) | | | 12/25/2067 | | | 921,665 | |
| | 1,000,000 | | | Series 2024-1-M1 | | | 6.67%(a)(b) | | | 01/25/2069 | | | 1,023,008 | |
| | 1,250,000 | | | Series 2024-6-M1 | | | 6.18%(a)(b) | | | 07/25/2069 | | | 1,272,131 | |
| | | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $30,658,248) | | | | | | 29,971,509 | |
| | | |
| | US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 16.3% | |
| | | | | Federal Home Loan Mortgage Corp. | |
| | 3,570,584 | | | Series 413-F24 (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap) | | | 6.38% | | | 05/25/2054 | | | 3,578,480 | |
| | 1,785,292 | | | Series 413-F25 (30 day avg
SOFR US + 1.15%, 1.15%
Floor, 7.00% Cap) | | | 6.43% | | | 05/25/2054 | | | 1,794,824 | |
| | 1,163,489 | | | Series 5004-LS (-1 x 30 day avg SOFR US + 6.04%, 0.00%
Floor, 6.15% Cap) | | | 0.76%(c)(f) | | | 07/25/2050 | | | 176,781 | |
| | 3,928,989 | | | Series 5112-SC (-1 x 30 day
avg SOFR US + 2.50%,
0.00% Floor, 2.50% Cap) | | | 0.00%(c)(f) | | | 06/25/2051 | | | 39,067 | |
| | 3,657,125 | | | Series 5166-DI | | | 3.00%(c) | | | 09/15/2048 | | | 450,868 | |
| | | | | Federal National Mortgage Association | |
| | 3,856,364 | | | Series 2019-57-LF (30 day
avg SOFR US + 0.61%, 0.50%
Floor, 6.50% Cap) | | | 5.89% | | | 10/25/2049 | | | 3,797,169 | |
| | 1,048,742 | | | Series 2020-54-AS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) | | | 0.76%(c)(f) | | | 08/25/2050 | | | 150,811 | |
| | 1,211,883 | | | Series 2020-77-S (-1 x 30 day
avg SOFR US + 4.15%,
0.00% Floor, 4.15% Cap) | | | 0.00%(c)(f) | | | 11/25/2050 | | | 67,484 | |
| | 2,146,574 | | | Series 2020-77-SB (-1 x 30 day avg SOFR US + 4.10%, 0.00% Floor, 4.10% Cap) | | | 0.00%(c)(f) | | | 11/25/2050 | | | 109,218 | |
| | 958,517 | | | Series 2020-M10-X2 | | | 1.84%(b)(c) | | | 12/25/2030 | | | 62,772 | |
| | 1,913,495 | | | Series 2020-M17-X1 | | | 1.46%(b)(c) | | | 01/25/2028 | | | 50,840 | |
| | | | | Government National Mortgage Association | |
| | 1,256,451 | | | Series 2015-124-AF (1 mo. Term SOFR + 0.36%, 0.25% Floor, 6.50% Cap) | | | 5.33% | | | 09/20/2045 | | | 1,234,908 | |
| | 1,922,368 | | | Series 2016-33-UF (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap) | | | 5.53% | | | 03/20/2046 | | | 1,907,654 | |
| | 2,145,707 | | | Series 2020-138-IL | | | 3.50%(c) | | | 09/20/2050 | | | 344,278 | |
| | 1,588,479 | | | Series 2020-142-SD (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(c)(f) | | | 09/20/2050 | | | 242,620 | |
| | 931,883 | | | Series 2020-189-SP (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) | | | 1.22%(c)(f) | | | 12/20/2050 | | | 141,553 | |
| | 2,182,496 | | | Series 2020-196-DI | | | 2.50%(c) | | | 12/20/2050 | | | 311,720 | |
| | 3,560,977 | | | Series 2021-125-AS (-1 x 30 day avg SOFR US + 3.25%, 0.00% Floor, 3.25% Cap) | | | 0.00%(c)(f) | | | 07/20/2051 | | | 78,812 | |
| | 2,614,697 | | | Series 2021-15-PI | | | 3.00%(c) | | | 01/20/2051 | | | 399,658 | |
| | 2,180,420 | | | Series 2021-189-IO | | | 0.88%(b)(c) | | | 06/16/2061 | | | 147,321 | |
| | 1,739,794 | | | Series 2021-197-IB | | | 3.50%(c) | | | 11/20/2051 | | | 319,474 | |
| | 2,406,149 | | | Series 2021-2-IO | | | 0.88%(b)(c) | | | 06/16/2063 | | | 158,612 | |
| | 2,711,278 | | | Series 2021-46-ES (-1 x 1 mo. Term SOFR + 2.69%,
0.00% Floor, 2.80% Cap) | | | 0.00%(c)(f) | | | 03/20/2051 | | | 40,754 | |
| | 4,142,280 | | | Series 2021-59-S (-1 x 30 day
avg SOFR US + 2.60%,
0.00% Floor, 2.60% Cap) | | | 0.00%(c)(f) | | | 04/20/2051 | | | 55,843 | |
| | 3,330,262 | | | Series 2021-80-IO | | | 0.90%(b)(c) | | | 12/16/2062 | | | 230,469 | |
| | 1,506,418 | | | Series 2021-98-SB (-1 x 1 mo. Term SOFR + 6.19%,
0.00% Floor, 6.30% Cap) | | | 1.22%(c)(f) | | | 06/20/2051 | | | 205,932 | |
| | 2,399,634 | | | Series 2023-79-JI | | | 2.50%(c) | | | 02/20/2051 | | | 302,152 | |
| | 1,926,917 | | | Series 2024-13-IA | | | 3.00%(c) | | | 05/20/2051 | | | 311,026 | |
| | | | | Total US Government and Agency Mortgage Backed Obligations
(Cost $17,398,008) | | | | | | 16,711,100 | |
| | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 141
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 1.6% | |
| | 547,409 | | | First American Government Obligations Fund - U | | | 4.84%(g) | | | | | | 547,409 | |
| | 547,409 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(g) | | | | | | 547,409 | |
| | 547,408 | | | MSILF Government Portfolio - Institutional | | | 4.83%(g) | | | | | | 547,408 | |
| | | | | Total Short Term Investments
(Cost $1,642,226) | | | | | | 1,642,226 | |
| | | | | Total Investments - 99.3%
(Cost $105,102,040) | | | 101,763,938 | |
| | | | | Other Assets in Excess of Liabilities - 0.7% | | | | | | | | | 753,729 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $102,517,667 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | Non-Agency Residential Collateralized Mortgage Obligations | | | 29.2% | |
| | Non-Agency Commercial Mortgage Backed Obligations | | | 21.9% | |
| | Collateralized Loan Obligations | | | 21.6% | |
| | US Government and Agency Mortgage Backed Obligations | | | 16.3% | |
| | Asset Backed Obligations | | | 8.7% | |
| | Short Term Investments | | | 1.6% | |
| | Other Assets and Liabilities | | | 0.7% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end. |
(c)
| Interest only security |
(d)
| Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end. |
(e)
| This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end. |
(f)
| Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
(g)
| Seven-day yield as of period end. |
SOFR Secured Overnight Financing Rate
142
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
Schedule of Investments DoubleLine Multi-Asset Trend Fund (Consolidated) | (Unaudited) September 30, 2024 |
| | | | | | | | | | | | | | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS - 6.6% | |
| | 140,000 | | | United States Treasury Note/Bond | | | 0.75%(a)(b) | | | 11/15/2024 | | | 139,302 | |
| | 390,000 | | | United States Treasury Note/Bond | | | 0.75% | | | 01/31/2028 | | | 355,684 | |
| | 350,000 | | | United States Treasury Note/Bond | | | 0.88% | | | 11/15/2030 | | | 297,944 | |
| | | | | Total US Government and Agency Obligations
(Cost $772,967) | | | | | | | | | 792,930 | |
| | | |
| | | |
| | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS - 83.6% | |
| | 215,135 | | | DoubleLine Floating Rate Fund - Class I | | | | | | | | | 1,931,910 | |
| | 176,467 | | | DoubleLine Income Fund - Class I | | | | | | | | | 1,402,913 | |
| | 689,286 | | | DoubleLine Low Duration Bond Fund - Class R6 | | | | | | | | | 6,665,392 | |
| | | | | Total Affiliated Mutual Funds
(Cost $10,303,410) | | | | | | | | | 10,000,215 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS - 8.6% | |
| | 344,583 | | | First American Government Obligations Fund - U | | | 4.84%(a)(c) | | | | | | 344,583 | |
| | 344,583 | | | JPMorgan US Government Money Market Fund - IM | | | 4.86%(a)(c) | | | | | | 344,583 | |
| | 344,583 | | | MSILF Government Portfolio - Institutional | | | 4.83%(a)(c) | | | | | | 344,583 | |
| | | | | Total Short Term Investments
(Cost $1,033,749) | | | | | | | | | 1,033,749 | |
| | | | | Total Investments - 98.8%
(Cost $12,110,126) | | | | | | | | | 11,826,894 | |
| | | | | Other Assets in Excess of Liabilities - 1.2% | | | | | | | | | 141,113 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | $11,968,007 | |
| | | | | | | | | | | | | | | |
| | | | | | |
| | SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
| | Affiliated Mutual Funds | | | 83.6% | |
| | Short Term Investments | | | 8.6% | |
| | US Government and Agency Obligations | | | 6.6% | |
| | Other Assets and Liabilities | | | 1.2% | |
| | Net Assets | | | 100.0% | |
| | | | | | |
(a)
| All or a portion of this security is owned by DoubleLine Multi-Asset Trend Ltd., which is a wholly owned subsidiary of the DoubleLine Multi-Asset Trend Fund.
|
(b)
| All or a portion of security has been pledged as collateral.
|
(c)
| Seven-day yield as of period end. |
Swap Agreements
Excess Return Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BNP Paribas Multi-Asset Trend Index ER USD ex-Commodity Sub-Basket (1)(2)(3) | | | BNP Paribas
Securit
ies Corp. | | | Long | | | 0.00% | | | Termination | | | 05/14/2025 | | | $9,382,572 | | | $73,372 | | | $ — | | | $73,372 |
BNP Paribas Multi-Asset Trend Index ER USD Commodity Sub-Basket (2)(3)(4)(5) | | | BNP Paribas
Securit
ies Corp. | | | Long | | | 0.00% | | | Termination | | | 05/14/2025 | | | 3,117,426 | | | (367,386) | | | — | | | (367,386) |
| | | | | | | | | | | | | | | | | | | | | $(294,014) | | | $— | | | $(294,014) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1)
| The BNP Paribas Multi-Asset Trend Index aims to generate excess return by using a trend following strategy and to offer diversification in a multi-asset class universe. Ex-Commodity Sub-Basket Swap represents a swap on a basket of indices without commodities. Information on the sector constituents as of September 30, 2024, is available on the BNP Paribas website https://marketing-indx.bnpparibas.com/multi-asset-trend/.
|
(2)
| Entry fee incurs when the Fund puts on new swap exposure. It is a trading cost and incorporated in the cost of the swap. The entry fee is 0.05%.
|
(3)
| Exit fee incurs when the Fund terminates the swap exposure. It is incorporated into daily valuation of the swap. The exit fee is 0.05%.
|
(4)
| The BNP Paribas Multi-Asset Trend Index aims to generate excess return by using a trend following strategy and to offer diversification in a multi-asset class universe. Commodity Sub-Basket Swap represents a swap on a basket of commodity indices. Information on the sector constituents as of September 30, 2024, is available on the BNP Paribas website https://marketing-indx.bnpparibas.com/multi-asset-trend/.
|
(5)
| All or a portion of this security is owned by DoubleLine Multi-Asset Trend Ltd., which is a wholly-owned subsidiary of the DoubleLine Multi-Asset Trend Fund. |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 143
|
TABLE OF CONTENTS
| | |
| (Unaudited) September 30, 2024 |
Affiliated Mutual Funds
A summary of the DoubleLine Multi-Asset Trend Fund’s investments in affiliated mutual funds for the period ended September 30, 2024 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
DoubleLine Low Duration Bond Fund (Class R6) | | | $6,603,356 | | | $ — | | | $ — | | | $ — | | | $62,036 | | | $6,665,392 | | | 689,286 | | | $174,293 |
DoubleLine Floating Rate Fund (Class I) | | | 1,944,818 | | | — | | | — | | | — | | | (12,908) | | | 1,931,910 | | | 215,135 | | | 79,400 |
Doubleline Income Fund
(Class I) | | | 1,376,443 | | | — | | | — | | | — | | | 26,470 | | | 1,402,913 | | | 176,467 | | | 43,525 |
| | | $9,924,617 | | | $— | | | $— | | | $— | | | $75,598 | | | $10,000,215 | | | 1,080,888 | | | $297,218 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
144
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
Statements of Assets and Liabilities | | | (Unaudited)
September 30, 2024
|
| | | | | | | | | | | | | | | | | | | | |
ASSETS | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | | $29,155,716,615 | | | $6,026,426,549 | | | $447,960,703 | | | $5,693,895,509 | | | $164,882,793 | | | $3,557,325,832 | |
Investments in Affiliated Mutual Funds, at Value* | | | — | | | 462,182,836 | | | — | | | — | | | — | | | — | |
Short Term Investments* | | | 2,022,550,445 | | | 344,216,524 | | | 3,834,667 | | | 129,456,365 | | | 14,130,242 | | | 127,923,396 | |
Cash | | | — | | | 163,705 | | | — | | | 1,181,524 | | | 1,130,180 | | | 1,277,682 | |
Deposit at Broker for Futures | | | 171,097,502 | | | 21,378,334 | | | — | | | — | | | — | | | — | |
Interest and Dividends Receivable | | | 149,251,500 | | | 41,160,852 | | | 6,522,943 | | | 32,540,741 | | | 1,241,127 | | | 19,062,806 | |
Receivable for Fund Shares Sold | | | 40,670,582 | | | 13,916,532 | | | 222,164 | | | 4,215,982 | | | 169,162 | | | 3,063,145 | |
Receivable for Investments Sold | | | 1,291,852 | | | 9,190,818 | | | 144,524 | | | 5,095,999 | | | 6,174,760 | | | 5,358,921 | |
Prepaid Expenses and Other Assets | | | 489,948 | | | 161,394 | | | 33,755 | | | 139,951 | | | 16,676 | | | 79,683 | |
Net Unrealized Appreciation on Swaps | | | — | | | — | | | — | | | — | | | — | | | 324,571,138 | |
Total Assets | | | 31,541,068,444 | | | 6,918,797,544 | | | 458,718,756 | | | 5,866,526,071 | | | 187,744,940 | | | 4,038,662,603 | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 438,157,006 | | | 26,995,433 | | | 1,929,525 | | | 41,316,628 | | | 11,307,406 | | | 17,933,330 | |
Payable for Fund Shares Redeemed | | | 47,937,148 | | | 8,104,195 | | | 841,608 | | | 5,799,115 | | | 107,169 | | | 4,163,107 | |
Variation Margin Payable | | | 35,519,912 | | | 5,519,531 | | | — | | | — | | | — | | | — | |
Distribution Payable | | | 34,851,656 | | | 9,482,978 | | | 570,177 | | | 5,322,413 | | | 756,748 | | | 10,786,370 | |
Investment Advisory Fees Payable | | | 10,184,478 | | | 2,061,471 | | | 291,446 | | | 1,666,466 | | | 71,578 | | | 1,471,184 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 3,101,291 | | | 800,398 | | | 59,622 | | | 682,774 | | | 73,004 | | | 465,458 | |
Sub-Transfer Agent Expenses Payable | | | 2,165,750 | | | 298,613 | | | 47,860 | | | 266,385 | | | 8,616 | | | 374,804 | |
Transfer Agent Expenses Payable | | | 2,071,716 | | | 422,826 | | | 28,524 | | | 375,258 | | | 11,911 | | | 254,622 | |
Distribution Fees Payable | | | 1,637,809 | | | 34,874 | | | 4,550 | | | 753,596 | | | 6,391 | | | 47,002 | |
Trustees Fees Payable (See Note 7) | | | 1,588,374 | | | 301,292 | | | 27,339 | | | 198,328 | | | 10,110 | | | 170,704 | |
Professional Fees Payable | | | 619,395 | | | 187,412 | | | 78,713 | | | 170,619 | | | 48,209 | | | 149,659 | |
Accrued Expenses | | | 359,079 | | | 57,956 | | | 21,575 | | | 60,653 | | | 27,688 | | | 68,736 | |
Interest Expense Payable | | | — | | | — | | | 1,484 | | | 1,263 | | | 5,000 | | | — | |
Total Liabilities | | | 578,193,614 | | | 54,266,979 | | | 3,902,423 | | | 56,613,498 | | | 12,433,830 | | | 35,884,976 | |
Commitments and Contingencies (See Note 2) | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $30,962,874,830 | | | $6,864,530,565 | | | $454,816,333 | | | $5,809,912,573 | | | $175,311,110 | | | $4,002,777,627 | |
NET ASSETS CONSISTS OF: | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | | $41,101,884,508 | | | $8,346,233,226 | | | $666,085,150 | | | $6,197,621,761 | | | $234,631,639 | | | $ 4,533,426,597 | |
Total Distributable Loss | | | (10,139,009,678) | | | (1,481,702,661) | | | (211,268,817) | | | (387,709,188) | | | (59,320,529) | | | (530,648,970) | |
Net Assets | | | $30,962,874,830 | | | $6,864,530,565 | | | $454,816,333 | | | $5,809,912,573 | | | $175,311,110 | | | $4,002,777,627 | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | $32,708,866,096 | | | $6,321,249,541 | | | $479,274,010 | | | $5,812,990,315 | | | $165,968,060 | | | $3,787,671,437 | |
Investments in Affiliated Mutual Funds | | | — | | | 504,557,903 | | | — | | | — | | | — | | | — | |
Short Term Investments | | | 2,022,550,445 | | | 344,216,524 | | | 3,834,667 | | | 129,456,365 | | | 14,130,242 | | | 127,923,396 | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $25,524,718,229 | | | $6,260,610,912 | | | $424,256,318 | | | $ 4,963,035,941 | | | $157,175,961 | | | $3,732,037,112 | |
Shares Outstanding | | | 2,826,963,139 | | | 659,585,215 | | | 46,476,551 | | | 513,403,081 | | | 17,493,268 | | | 242,237,664 | |
Net Asset Value, Offering and Redemption Price per Share | | | $9.03 | | | $9.49 | | | $9.13 | | | $9.67 | | | $8.98 | | | $15.41 | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $3,744,550,355 | | | $213,963,071 | | | $30,560,015 | | | $725,660,324 | | | $18,135,149 | | | $253,108,959 | |
Shares Outstanding | | | 414,909,919 | | | 22,563,180 | | | 3,344,662 | | | 75,125,010 | | | 2,012,856 | | | 16,445,036 | |
Net Asset Value, Offering and Redemption Price per Share | | | $9.02 | | | $9.48 | | | $9.14 | | | $9.66 | | | $9.01 | | | $15.39 | |
Class R6 (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $1,693,606,246 | | | $389,956,582 | | | $— | | | $121,216,308 | | | $— | | | $17,631,556 | |
Shares Outstanding | | | 187,546,034 | | | 41,069,022 | | | — | | | 12,534,325 | | | — | | | 1,143,626 | |
Net Asset Value, Offering and Redemption Price per Share | | | $9.03 | | | $9.50 | | | $— | | | $9.67 | | | $— | | | $15.42 | |
| | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 145
|
TABLE OF CONTENTS
| |
Statements of Assets and Liabilities (Cont.) |
| | | | | | | | | | | | | | | | | | | | |
ASSETS | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | | $952,690,336 | | | $156,809,626 | | | $52,162,230 | | | $ — | | | $ 147,498,475 | | | $379,365,234 | |
Short Term Investments* | | | 145,768,942 | | | 44,932 | | | 23,642,314 | | | 129,556,987 | | | 829,310 | | | 8,259,934 | |
Cash | | | 673,464 | | | — | | | — | | | — | | | — | | | 61,789 | |
Foreign Currency, at Value* | | | — | | | — | | | — | | | — | | | 1,681,158 | | | — | |
Interest and Dividends Receivable | | | 8,017,624 | | | 2,033,391 | | | 177,458 | | | 19,426 | | | 1,080,821 | | | 3,676,897 | |
Receivable for Investments Sold | | | 3,030,492 | | | 426,911 | | | 2 | | | — | | | — | | | 98,927 | |
Receivable for Fund Shares Sold | | | 915,233 | | | 101,397 | | | 6,793 | | | 122,922 | | | — | | | — | |
Prepaid Expenses and Other Assets | | | 49,831 | | | 22,034 | | | 15,390 | | | 61,253 | | | 14,876 | | | 31,089 | |
Net Unrealized Appreciation on Forward Currency Exchange Contracts | | | — | | | — | | | — | | | — | | | 24,231 | | | — | |
Net Unrealized Appreciation on Swaps | | | — | | | — | | | — | | | 1,726,399 | | | — | | | — | |
Deposit at Broker for Futures | | | — | | | — | | | 1,549,475 | | | — | | | — | | | — | |
Total Assets | | | 1,111,145,922 | | | 159,438,291 | | | 77,553,662 | | | 131,486,987 | | | 151,128,871 | | | 391,493,870 | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 15,774,289 | | | — | | | 8,230,571 | | | 2,956,020 | | | — | | | — | |
Payable for Fund Shares Redeemed | | | 1,961,624 | | | 367,045 | | | 9,620 | | | 45,476 | | | 2,357 | | | 17,358 | |
Distribution Payable | | | 1,415,572 | | | 144,669 | | | 137,325 | | | — | | | 934,973 | | | 1,139,030 | |
Investment Advisory Fees Payable | | | 553,331 | | | 51,763 | | | 13,234 | | | 91,966 | | | 61,909 | | | 159,367 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 232,000 | | | 27,022 | | | 9,750 | | | 10,917 | | | 24,590 | | | 46,794 | |
Professional Fees Payable | | | 60,542 | | | 44,942 | | | 32,856 | | | 34,260 | | | 40,447 | | | 37,410 | |
Sub-Transfer Agent Expenses Payable | | | 58,828 | | | 15,798 | | | 130 | | | 10,235 | | | 1,026 | | | 1,478 | |
Transfer Agent Expenses Payable | | | 53,633 | | | 11,593 | | | 1,661 | | | 10,562 | | | 20,375 | | | 19,973 | |
Distribution Fees Payable | | | 47,679 | | | — | | | 4,395 | | | 1,578 | | | – | | | 2,219 | |
Trustees Fees Payable (See Note 7) | | | 31,284 | | | 6,606 | | | 2,279 | | | 5,658 | | | 17,810 | | | 12,368 | |
Accrued Expenses | | | 18,233 | | | 14,786 | | | — | | | 28,674 | | | 25,443 | | | 8,237 | |
Variation Margin Payable | | | — | | | — | | | 152,795 | | | — | | | — | | | — | |
Net Unrealized Depreciation on Swaps | | | — | | | — | | | — | | | 380,228 | | | — | | | — | |
Total Liabilities | | | 20,207,015 | | | 684,224 | | | 8,594,616 | | | 3,575,574 | | | 1,128,930 | | | 1,444,234 | |
Commitments and Contingencies (See Note 2) | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $1,090,938,907 | | | $158,754,067 | | | $68,959,046 | | | $ 127,911,413 | | | $149,999,941 | | | $390,049,636 | |
NET ASSETS CONSISTS OF: | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | | $1,280,986,573 | | | $172,995,717 | | | $89,063,724 | | | $131,757,171 | | | $186,188,506 | | | $ 426,627,415 | |
Total Distributable Loss | | | (190,047,666) | | | (14,241,650) | | | (20,104,678) | | | (3,845,758) | | | (36,188,565) | | | (36,577,779) | |
Net Assets | | | $1,090,938,907 | | | $158,754,067 | | | $68,959,046 | | | $ 127,911,413 | | | $149,999,941 | | | $390,049,636 | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | $ 1,024,749,822 | | | $156,180,838 | | | $52,863,487 | | | $— | | | $151,789,059 | | | $386,204,863 | |
Short Term Investments | | | 145,693,093 | | | 44,932 | | | 23,640,845 | | | 129,517,830 | | | 829,310 | | | 8,259,934 | |
Foreign Currency | | | — | | | — | | | — | | | — | | | 1,635,136 | | | — | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $932,612,057 | | | $154,040,609 | | | $57,292,693 | | | $117,382,769 | | | $149,870,522 | | | $381,490,160 | |
Shares Outstanding | | | 106,884,247 | | | 16,026,376 | | | 8,334,273 | | | 16,133,549 | | | 17,211,426 | | | 39,910,980 | |
Net Asset Value, Offering and Redemption Price per Share | | | $8.73 | | | $9.61 | | | $6.87 | | | $7.28 | | | $8.71 | | | $9.56 | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $73,207,429 | | | $4,713,458 | | | $11,666,353 | | | $10,528,644 | | | $129,419 | | | $8,559,476 | |
Shares Outstanding | | | 8,396,381 | | | 489,529 | | | 1,701,786 | | | 1,469,451 | | | 14,992 | | | 894,489 | |
Net Asset Value, Offering and Redemption Price per Share | | | $8.72 | | | $9.63 | | | $6.86 | | | $7.17 | | | $8.63 | | | $9.57 | |
Class R6 (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $85,119,421 | | | $— | | | $— | | | $— | | | $— | | | $— | |
Shares Outstanding | | | 9,748,884 | | | — | | | — | | | — | | | — | | | — | |
Net Asset Value, Offering and Redemption Price per Share | | | $8.73 | | | $— | | | $— | | | $— | | | $— | | | $— | |
| | | | | | | | | | | | | | | | | | | | |
146
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | |
| (Unaudited)
September 30, 2024
|
| | | | | | | | | | | | | | |
ASSETS | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | | $29,105,885 | | | $12,559,392 | | | $100,121,712 | | | $792,930 | |
Investments in Affiliated Mutual Funds, at Value* | | | 1,639,049 | | | — | | | — | | | 10,000,215 | |
Short Term Investments* | | | 2,267,082 | | | 194,502 | | | 1,642,226 | | | 1,033,749 | |
Cash | | | — | | | 12,116 | | | — | | | 415,000 | |
Foreign Currency, at Value* | | | — | | | 16,381 | | | — | | | — | |
Net Unrealized Appreciation on Swaps | | | 2,421,411 | | | — | | | — | | | — | |
Net Unrealized Appreciation on Forward Currency Exchange Contracts | | | 865,605 | | | — | | | — | | | — | |
Interest and Dividends Receivable | | | 240,306 | | | 252,457 | | | 798,678 | | | 55,527 | |
Prepaid Expenses and Other Assets | | | 13,304 | | | 13,618 | | | 39,172 | | | 20,361 | |
Receivable for Investments Sold | | | 6,000 | | | — | | | 1,154 | | | — | |
Receivable for Fund Shares Sold | | | 5,693 | | | 5,000 | | | 257,823 | | | — | |
Due from Advisor (See Note 3) | | | — | | | 678 | | | — | | | 7,654 | |
Total Assets | | | 36,564,335 | | | 13,054,144 | | | 102,860,765 | | | 12,325,436 | |
LIABILITIES: | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 41,959 | | | — | | | — | | | — | |
Professional Fees Payable | | | 38,267 | | | 40,750 | | | 38,400 | | | 56,275 | |
Net Unrealized Depreciation on Swaps | | | — | | | — | | | — | | | 294,014 | |
Payable for Fund Shares Redeemed | | | 23,815 | | | 11,971 | | | 160,602 | | | 280 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 22,475 | | | 8,559 | | | 31,566 | | | 800 | |
Distribution Payable | | | 11,891 | | | 1,539 | | | 55,633 | | | 285 | |
Sub-Transfer Agent Expenses Payable | | | 3,424 | | | 76 | | | 8,410 | | | 1,495 | |
Trustees Fees Payable (See Note 7) | | | 1,739 | | | 348 | | | 1,612 | | | 245 | |
Transfer Agent Expenses Payable | | | 1,632 | | | 350 | | | 2,817 | | | 680 | |
Investment Advisory Fees Payable | | | 1,361 | | | — | | | 37,953 | | | — | |
Distribution Fees Payable | | | — | | | 512 | | | 2,207 | | | 431 | |
Accrued Expenses | | | — | | | 54,174 | | | 3,396 | | | 2,924 | |
Interest Expense Payable | | | — | | | — | | | 502 | | | — | |
Payable to Broker | | | — | | | 2,570 | | | — | | | — | |
Total Liabilities | | | 146,563 | | | 120,849 | | | 343,098 | | | 357,429 | |
Commitments and Contingencies (See Note 2) | | | | | | | | | | | | | |
Net Assets | | | $36,417,772 | | | $12,933,295 | | | $102,517,667 | | | $11,968,007 | |
NET ASSETS CONSISTS OF: | | | | | | | | | | | | | |
Paid-in Capital | | | $49,768,499 | | | $13,841,897 | | | $123,343,753 | | | $ 14,794,071 | |
Total Distributable Loss | | | (13,350,727) | | | (908,602) | | | (20,826,086) | | | (2,826,064) | |
Net Assets | | | $36,417,772 | | | $12,933,295 | | | $102,517,667 | | | $11,968,007 | |
*Identified Cost: | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | $31,452,697 | | | $12,898,015 | | | $ 103,459,814 | | | $772,967 | |
Investments in Affiliated Mutual Funds | | | 1,737,611 | | | — | | | — | | | 10,303,410 | |
Short Term Investments | | | 2,267,082 | | | 194,502 | | | 1,642,226 | | | 1,033,749 | |
Foreign Currency | | | — | | | 16,552 | | | — | | | — | |
Class Class I (unlimited shares authorized): | | | | | | | | | | | | | |
Net Assets | | | $32,437,360 | | | $12,042,629 | | | $94,106,729 | | | $ 11,770,344 | |
Shares Outstanding | | | 2,466,158 | | | 1,340,432 | | | 11,835,039 | | | 1,525,535 | |
Net Asset Value, Offering and Redemption Price per Share | | | $13.15 | | | $8.98 | | | $7.95 | | | $7.72 | |
Class Class N (unlimited shares authorized): | | | | | | | | | | | | | |
Net Assets | | | $3,980,412 | | | $890,666 | | | $8,410,938 | | | $197,663 | |
Shares Outstanding | | | 302,618 | | | 99,360 | | | 1,055,960 | | | 25,610 | |
Net Asset Value, Offering and Redemption Price per Share | | | $13.15 | | | $8.96 | | | $7.97 | | | $7.72 | |
| | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
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Statements of Operations | | | (Unaudited)
For the Period Ended September 30, 2024
|
| | | | | | | | | | | | | | | | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | |
Interest | | | $790,500,476 | | | $169,492,773 | | | $15,175,863 | | | $159,573,813 | | | $7,890,995 | | | $109,159,657 | |
Dividends from Affiliated Mutual Funds | | | — | | | 8,245,601 | | | — | | | — | | | — | | | — | |
Total Investment Income | | | 790,500,476 | | | 177,738,374 | | | 15,175,863 | | | 159,573,813 | | | 7,890,995 | | | 109,159,657 | |
Expenses: | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 60,805,230 | | | 13,338,360 | | | 1,737,823 | | | 9,971,139 | | | 445,859 | | | 8,969,357 | |
Sub-Transfer Agent Expenses - Class Class I | | | 7,418,556 | | | 925,052 | | | 161,209 | | | 914,278 | | | 26,098 | | | 771,101 | |
Sub-Transfer Agent Expenses - Class Class N | | | 1,154,736 | | | 33,011 | | | 9,129 | | | 137,920 | | | 2,870 | | | 54,197 | |
Distribution Fees - Class Class N | | | 4,882,020 | | | 271,341 | | | 30,985 | | | 911,495 | | | 22,040 | | | 325,960 | |
Administration, Fund Accounting and Custodian Fees | | | 1,976,221 | | | 546,033 | | | 48,322 | | | 387,100 | | | 71,436 | | | 322,681 | |
Transfer Agent Expenses | | | 1,538,116 | | | 326,520 | | | 24,776 | | | 275,514 | | | 9,582 | | | 193,298 | |
Professional Fees | | | 533,470 | | | 171,553 | | | 63,644 | | | 127,789 | | | 41,163 | | | 127,054 | |
Shareholder Reporting Expenses | | | 484,448 | | | 47,139 | | | 25,580 | | | 66,466 | | | 8,390 | | | 90,114 | |
Trustees Fees | | | 395,867 | | | 86,741 | | | 6,230 | | | 71,528 | | | 2,387 | | | 52,435 | |
Registration Fees | | | 334,166 | | | 132,048 | | | 37,976 | | | 75,886 | | | 21,903 | | | 40,938 | |
Insurance Expenses | | | 318,849 | | | 72,844 | | | 6,084 | | | 60,958 | | | 2,997 | | | 45,155 | |
Miscellaneous Expenses | | | 137,647 | | | 37,913 | | | 12,213 | | | 31,976 | | | 28,898 | | | 26,403 | |
Interest Expense | | | — | | | — | | | 12,627 | | | — | | | 30,500 | | | — | |
Total Expenses | | | 79,979,326 | | | 15,988,555 | | | 2,176,598 | | | 13,032,049 | | | 714,123 | | | 11,018,693 | |
Less: Investment Advisory Fees (Waived) | | | — | | | (1,099,877) | | | — | | | — | | | — | | | — | |
Less: Other Fees (Reimbursed)/Recouped | | | — | | | — | | | 7,486 | | | — | | | 41 | | | — | |
Net Expenses | | | 79,979,326 | | | 14,888,678 | | | 2,184,084 | | | 13,032,049 | | | 714,164 | | | 11,018,693 | |
Net Investment Income (Loss) | | | 710,521,150 | | | 162,849,696 | | | 12,991,779 | | | 146,541,764 | | | 7,176,831 | | | 98,140,964 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (204,215,619) | | | (130,183,549) | | | (14,863,020) | | | (7,672,877) | | | (1,088,086) | | | (27,202,673) | |
Futures | | | 167,001,400 | | | 22,458,134 | | | — | | | — | | | — | | | — | |
Swaps | | | — | | | — | | | — | | | — | | | — | | | 207,092,317 | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 1,113,567,693 | | | 288,076,980 | | | 26,898,671 | | | 61,955,501 | | | 9,326 | | | 41,542,946 | |
Investments in Affiliated Mutual Funds | | | — | | | 16,798,085 | | | — | | | — | | | — | | | — | |
Short Term Investments | | | — | | | — | | | — | | | 13,364 | | | — | | | 10,303 | |
Futures | | | 6,159,711 | | | 13,406,214 | | | — | | | — | | | — | | | — | |
Swaps | | | — | | | — | | | — | | | — | | | — | | | (79,497,488) | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 1,082,513,185 | | | 210,555,864 | | | 12,035,651 | | | 54,295,988 | | | (1,078,760) | | | 141,945,405 | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ 1,793,034,335 | | | $373,405,560 | | | $25,027,430 | | | $200,837,752 | | | $6,098,071 | | | $240,086,369 | |
| | | | | | | | | | | | | | | | | | | | |
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| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| |
Statements of Operations (Cont.) |
| | | | | | | | | | | | | | | | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | |
Interest | | | $33,672,049 | | | $4,098,797 | | | $933,964 | | | $3,788,769 | | | $2,655,172 | | | $8,781,845 | |
Non-Cash Interest | | | — | | | — | | | 680,219 | | | — | | | — | | | — | |
Total Investment Income | | | 33,672,049 | | | 4,098,797 | | | 1,614,183 | | | 3,788,769 | | | 2,655,172 | | | 8,781,845 | |
Expenses: | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 3,138,057 | | | 388,185 | | | 109,312 | | | 637,906 | | | 363,453 | | | 932,906 | |
Sub-Transfer Agent Expenses - Class Class I | | | 179,277 | | | 58,148 | | | 9,518 | | | 44,194 | | | — | | | 5,510 | |
Sub-Transfer Agent Expenses - Class Class N | | | 15,080 | | | 1,738 | | | 2,225 | | | 3,981 | | | — | | | 119 | |
Administration, Fund Accounting and Custodian Fees | | | 178,864 | | | 23,601 | | | 16,269 | | | 25,997 | | | 22,951 | | | 46,679 | |
Distribution Fees - Class Class N | | | 90,169 | | | 5,633 | | | 14,716 | | | 14,683 | | | 182 | | | 9,460 | |
Registration Fees | | | 46,381 | | | 22,673 | | | 21,505 | | | 21,876 | | | 21,389 | | | 22,889 | |
Professional Fees | | | 45,815 | | | 29,860 | | | 27,505 | | | 28,687 | | | 27,594 | | | 27,994 | |
Transfer Agent Expenses | | | 40,935 | | | 8,308 | | | 3,133 | | | 8,388 | | | 3,289 | | | 16,616 | |
Shareholder Reporting Expenses | | | 20,223 | | | 5,456 | | | 2,484 | | | 6,954 | | | 754 | | | 1,647 | |
Miscellaneous Expenses | | | 12,548 | | | 11,757 | | | 5,453 | | | 7,200 | | | 6,118 | | | 9,308 | |
Trustees Fees | | | 11,843 | | | 2,199 | | | 835 | | | 2,033 | | | 1,510 | | | 5,152 | |
Insurance Expenses | | | 11,077 | | | 2,618 | | | 1,157 | | | 2,379 | | | 2,230 | | | 4,716 | |
Interest Expense | | | — | | | 188 | | | 133 | | | — | | | — | | | — | |
Total Expenses | | | 3,790,269 | | | 560,364 | | | 214,245 | | | 804,278 | | | 449,470 | | | 1,082,996 | |
Less: Investment Advisory Fees (Waived) | | | — | | | — | | | — | | | — | | | — | | | — | |
Less: Other Fees (Reimbursed)/Recouped | | | — | | | (96,806) | | | (43,303) | | | (10,082) | | | — | | | — | |
Net Expenses | | | 3,790,269 | | | 463,558 | | | 170,942 | | | 794,196 | | | 449,470 | | | 1,082,996 | |
Net Investment Income (Loss) | | | 29,881,780 | | | 3,635,239 | | | 1,443,241 | | | 2,994,573 | | | 2,205,702 | | | 7,698,849 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (8,293,753) | | | 111,811 | | | (1,650,401) | | | 488 | | | (877,532) | | | (737,936) | |
Foreign Currency | | | — | | | — | | | — | | | — | | | 32,972 | | | — | |
Forwards | | | — | | | — | | | — | | | — | | | (421,334) | | | — | |
Futures | | | — | | | — | | | 775,007 | | | — | | | — | | | — | |
Swaps | | | — | | | — | | | — | | | (8,851,347) | | | — | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 23,456,846 | | | 3,064,484 | | | 4,100,103 | | | — | | | 5,974,352 | | | 14,208,185 | |
Short Term Investments | | | 79,271 | | | — | | | 1,469 | | | 23,324 | | | (134) | | | — | |
Foreign Currency | | | — | | | — | | | — | | | — | | | 38,682 | | | — | |
Forwards | | | — | | | — | | | — | | | — | | | 24,231 | | | — | |
Futures | | | — | | | — | | | (637,868) | | | — | | | — | | | — | |
Swaps | | | — | | | — | | | — | | | (3,725,379) | | | — | | | — | |
Translation of Other Assets and Liabilities Denominated in Foreign Currencies | | | — | | | — | | | — | | | — | | | 20,386 | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 15,242,364 | | | 3,176,295 | | | 2,588,310 | | | (12,552,914) | | | 4,791,623 | | | 13,470,249 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | $ 45,124,144 | | | $6,811,534 | | | $4,031,551 | | | $(9,558,341) | | | $6,997,325 | | | $21,169,098 | |
| | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
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| | |
| (Unaudited)
For the Period Ended September 30, 2024
|
| | | | | | | | | | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | |
Interest | | | $ 1,204,520 | | | $425,064 | | | $3,311,598 | | | $47,334 | |
Dividends from Affiliated Mutual Funds | | | 77,471 | | | — | | | — | | | 297,218 | |
Total Investment Income | | | 1,281,991 | | | 425,064 | | | 3,311,598 | | | 344,552 | |
Expenses: | | | | | | | | | | | | | |
Investment Advisory Fees | | | 97,557 | | | 46,980 | | | 239,454 | | | 30,704 | |
Professional Fees | | | 32,189 | | | 30,004 | | | 29,013 | | | 33,812 | |
Administration, Fund Accounting and Custodian Fees | | | 28,716 | | | 12,390 | | | 29,247 | | | 8,534 | |
Registration Fees | | | 21,388 | | | 20,537 | | | 25,695 | | | 19,079 | |
Sub-Transfer Agent Expenses - Class Class I | | | 9,848 | | | 1,717 | | | 27,846 | | | — | |
Sub-Transfer Agent Expenses - Class Class N | | | 1,872 | | | 135 | | | 1,487 | | | — | |
Distribution Fees - Class Class N | | | 7,764 | | | 1,108 | | | 6,226 | | | 261 | |
Miscellaneous Expenses | | | 6,629 | | | 17,281 | | | 9,953 | | | 14,140 | |
Shareholder Reporting Expenses | | | 4,760 | | | 460 | | | 1,651 | | | 719 | |
Transfer Agent Expenses | | | 3,180 | | | 717 | | | 2,272 | | | 686 | |
Insurance Expenses | | | 1,342 | | | 417 | | | 1,302 | | | 444 | |
Trustees Fees | | | 620 | | | 145 | | | 1,044 | | | 165 | |
Interest Expense | | | — | | | — | | | 502 | | | — | |
Total Expenses | | | 215,865 | | | 131,891 | | | 375,692 | | | 108,544 | |
Less: Investment Advisory Fees (Waived) | | | (4,986) | | | — | | | — | | | (20,006) | |
Less: Other Fees (Reimbursed)/Recouped | | | (81,277) | | | (74,439) | | | (58,249) | | | (68,348) | |
Net Expenses | | | 129,602 | | | 57,452 | | | 317,443 | | | 20,190 | |
Net Investment Income (Loss) | | | 1,152,389 | | | 367,612 | | | 2,994,155 | | | 324,362 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (220,986) | | | (328,618) | | | 116,121 | | | (10,700) | |
Investments in Affiliated Mutual Funds | | | (35,099) | | | — | | | — | | | — | |
Foreign Currency | | | (4,026) | | | 1,716 | | | — | | | — | |
Forwards | | | (126,666) | | | — | | | — | | | — | |
Swaps | | | 2,175,880 | | | — | | | — | | | (502,366) | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 331,969 | | | 641,909 | | | 1,795,240 | | | 33,002 | |
Investments in Affiliated Mutual Funds | | | 26,683 | | | — | | | — | | | 75,598 | |
Short Term Investments | | | 20 | | | — | | | 56 | | | — | |
Foreign Currency | | | — | | | (181) | | | — | | | — | |
Forwards | | | 841,694 | | | — | | | — | | | — | |
Swaps | | | (781,123) | | | — | | | — | | | (208,284) | |
Translation of Other Assets and Liabilities Denominated in Foreign Currencies | | | — | | | 1,805 | | | — | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 2,208,346 | | | 316,631 | | | 1,911,417 | | | (612,750) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | $3,360,735 | | | $684,243 | | | $ 4,905,572 | | | $(288,388) | |
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| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
Statements of Changes in Net Assets | | | |
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $710,521,150 | | | $1,348,241,841 | | | $162,849,696 | | | $318,006,860 |
Net Realized Gain (Loss) on Investments | | | (37,214,219) | | | (1,077,087,788) | | | (107,725,415) | | | (305,360,759) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 1,119,727,404 | | | 187,615,351 | | | 318,281,279 | | | 168,406,086 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,793,034,335 | | | 458,769,404 | | | 373,405,560 | | | 181,052,187 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (635,402,878) | | | (1,197,790,386) | | | (159,491,733) | | | (309,961,556) |
Class N | | | (92,843,137) | | | (202,590,572) | | | (5,345,901) | | | (11,384,179) |
Class R6 | | | (35,441,272) | | | (60,800,302) | | | (9,273,669) | | | (11,086,461) |
Total Distributions to Shareholders | | | (763,687,287) | | | (1,461,181,260) | | | (174,111,303) | | | (332,432,196) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | (832,833,897) | | | (1,190,480,589) | | | (267,936,537) | | | (396,428,497) |
Class N | | | (651,011,994) | | | (681,077,905) | | | (27,589,826) | | | (33,074,677) |
Class R6 | | | 381,962,241 | | | 91,081,992 | | | 55,483,280 | | | 203,954,115 |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (1,101,883,650) | | | (1,780,476,502) | | | (240,043,083) | | | (225,549,059) |
Total Increase (Decrease) in Net Assets | | | $(72,536,602) | | | $(2,782,888,358) | | | $(40,748,826) | | | $(376,929,068) |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $ 31,035,411,432 | | | $33,818,299,790 | | | $6,905,279,391 | | | $ 7,282,208,459 |
End of Period | | | $30,962,874,830 | | | $ 31,035,411,432 | | | $ 6,864,530,565 | | | $6,905,279,391 |
| | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 151
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| |
Statements of Changes in Net Assets (Cont.) |
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $12,991,779 | | | $27,326,344 | | | $146,541,764 | | | $272,309,656 |
Net Realized Gain (Loss) on Investments | | | (14,863,020) | | | (46,652,386) | | | (7,672,877) | | | (36,768,752) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 26,898,671 | | | 69,334,543 | | | 61,968,865 | | | 107,026,339 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 25,027,430 | | | 50,008,501 | | | 200,837,752 | | | 342,567,243 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (13,319,502) | | | (26,668,163) | | | (125,899,999) | | | (230,720,953) |
Class N | | | (733,718) | | | (1,410,031) | | | (18,013,589) | | | (35,174,928) |
Class R6 | | | — | | | — | | | (3,298,049) | | | (4,914,904) |
Total Distributions to Shareholders | | | (14,053,220) | | | (28,078,194) | | | (147,211,637) | | | (270,810,785) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | (47,321,897) | | | (52,388,152) | | | 128,704,467 | | | (527,964,125) |
Class N | | | 7,027,961 | | | (5,980,257) | | | (20,800,463) | | | (116,480,695) |
Class R6 | | | — | | | — | | | (7,816,466) | | | 72,153,985 |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (40,293,936) | | | (58,368,409) | | | 100,087,538 | | | (572,290,835) |
Total Increase (Decrease) in Net Assets | | | $(29,319,726) | | | $(36,438,102) | | | $153,713,653 | | | $(500,534,377) |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $ 484,136,059 | | | $520,574,161 | | | $ 5,656,198,920 | | | $ 6,156,733,297 |
End of Period | | | $ 454,816,333 | | | $ 484,136,059 | | | $ 5,809,912,573 | | | $ 5,656,198,920 |
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| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $7,176,831 | | | $15,993,352 | | | $98,140,964 | | | $196,494,636 |
Net Realized Gain (Loss) on Investments | | | (1,088,086) | | | (7,312,322) | | | 179,889,644 | | | 164,644,573 |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 9,326 | | | 8,429,236 | | | (37,944,239) | | | 510,620,247 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 6,098,071 | | | 17,110,266 | | | 240,086,369 | | | 871,759,456 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (6,513,774) | | | (14,530,183) | | | (96,379,120) | | | (190,008,198) |
Class N | | | (694,557) | | | (1,403,828) | | | (6,453,649) | | | (14,327,670) |
Class R6 | | | — | | | — | | | (464,537) | | | (705,957) |
Total Distributions to Shareholders | | | (7,208,331) | | | (15,934,011) | | | (103,297,306) | | | (205,041,825) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | (4,095,283) | | | (38,987,841) | | | (301,077,839) | | | (699,748,123) |
Class N | | | 1,177,220 | | | (3,655,586) | | | (36,661,302) | | | (79,320,566) |
Class R6 | | | — | | | — | | | (1,574,035) | | | 8,235,469 |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (2,918,063) | | | (42,643,427) | | | (339,313,176) | | | (770,833,220) |
Total Increase (Decrease) in Net Assets | | | $(4,028,323) | | | $(41,467,172) | | | $(202,524,113) | | | $(104,115,589) |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $ 179,339,433 | | | $220,806,605 | | | $ 4,205,301,740 | | | $ 4,309,417,329 |
End of Period | | | $175,311,110 | | | $ 179,339,433 | | | $4,002,777,627 | | | $ 4,205,301,740 |
| | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
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TABLE OF CONTENTS
| |
Statements of Changes in Net Assets (Cont.) |
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $29,881,780 | | | $52,650,252 | | | $3,635,239 | | | $7,016,158 |
Net Realized Gain (Loss) on Investments | | | (8,293,753) | | | (25,409,554) | | | 111,811 | | | (5,773,678) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 23,536,117 | | | 46,482,192 | | | 3,064,484 | | | 12,240,679 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 45,124,144 | | | 73,722,890 | | | 6,811,534 | | | 13,483,159 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (26,192,804) | | | (45,496,140) | | | (3,507,650) | | | (6,726,859) |
Class N | | | (2,101,958) | | | (3,945,038) | | | (99,403) | | | (165,152) |
Class R6 | | | (2,541,884) | | | (5,259,414) | | | — | | | — |
Total Distributions to Shareholders | | | (30,836,646) | | | (54,700,592) | | | (3,607,053) | | | (6,892,011) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | 117,602,318 | | | 60,598,970 | | | (2,320,787) | | | (35,190,518) |
Class N | | | 2,394,307 | | | (26,706,309) | | | (37,941) | | | (853,185) |
Class R6 | | | 4,290,393 | | | (47,199,504) | | | — | | | — |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 124,287,018 | | | (13,306,843) | | | (2,358,728) | | | (36,043,703) |
Total Increase (Decrease) in Net Assets | | | $138,574,516 | | | $5,715,455 | | | $845,753 | | | $(29,452,555) |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $952,364,391 | | | $ 946,648,936 | | | $ 157,908,314 | | | $187,360,869 |
End of Period | | | $ 1,090,938,907 | | | $952,364,391 | | | $ 158,754,067 | | | $ 157,908,314 |
| | | | | | | | | | | | | |
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| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $1,443,241 | | | $2,062,467 | | | $2,994,573 | | | $6,622,995 |
Net Realized Gain (Loss) on Investments | | | (875,394) | | | (3,485,747) | | | (8,850,859) | | | (5,469,568) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 3,463,704 | | | (423,003) | | | (3,702,055) | | | 7,556,490 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 4,031,551 | | | (1,846,283) | | | (9,558,341) | | | 8,709,917 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (1,186,095) | | | (1,791,604) | | | — | | | (4,156,315) |
Class N | | | (259,283) | | | (247,566) | | | — | | | (401,257) |
Total Distributions to Shareholders | | | (1,445,378) | | | (2,039,170) | | | — | | | (4,557,572) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | 7,339,933 | | | 2,917,726 | | | (9,942,724) | | | (26,162,286) |
Class N | | | (887,457) | | | 10,336,015 | | | (1,735,917) | | | (4,199,172) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 6,452,476 | | | 13,253,741 | | | (11,678,641) | | | (30,361,458) |
Total Increase (Decrease) in Net Assets | | | $9,038,649 | | | $9,368,288 | | | $(21,236,982) | | | $(26,209,113) |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $59,920,397 | | | $50,552,109 | | | $ 149,148,395 | | | $175,357,508 |
End of Period | | | $ 68,959,046 | | | $59,920,397 | | | $127,911,413 | | | $ 149,148,395 |
| | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
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TABLE OF CONTENTS
| |
Statements of Changes in Net Assets (Cont.) |
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $2,205,702 | | | $3,710,956 | | | $7,698,849 | | | $12,926,681 |
Net Realized Gain (Loss) on Investments | | | (1,265,894) | | | (4,421,559) | | | (737,936) | | | (14,357,550) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 6,057,517 | | | (493,844) | | | 14,208,185 | | | 20,920,412 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 6,997,325 | | | (1,204,447) | | | 21,169,098 | | | 19,489,543 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (1,466,142) | | | — | | | (7,591,257) | | | (12,689,557) |
Class N | | | (1,178) | | | — | | | (149,376) | | | (93,327) |
Total Distributions to Shareholders | | | (1,467,320) | | | — | | | (7,740,633) | | | (12,782,884) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | 340,448 | | | 751,040 | | | 9,430,081 | | | 6,061,598 |
Class N | | | (31,620) | | | (81,847) | | | 1,307,761 | | | 6,286,861 |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 308,828 | | | 669,193 | | | 10,737,842 | | | 12,348,459 |
Total Increase (Decrease) in Net Assets | | | $5,838,833 | | | $(535,254) | | | $24,166,307 | | | $19,055,118 |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $ 144,161,108 | | | $ 144,696,362 | | | $365,883,329 | | | $ 346,828,211 |
End of Period | | | $ 149,999,941 | | | $ 144,161,108 | | | $ 390,049,636 | | | $365,883,329 |
| | | | | | | | | | | | | |
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| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $1,152,389 | | | $2,563,715 | | | $367,612 | | | $627,680 |
Net Realized Gain (Loss) on Investments | | | 1,789,102 | | | (2,309,142) | | | (326,902) | | | (163,557) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 419,244 | | | 3,662,364 | | | 643,533 | | | 94,660 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 3,360,735 | | | 3,916,937 | | | 684,243 | | | 558,783 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (1,027,694) | | | (2,310,834) | | | (250,233) | | | (387,741) |
Class N | | | (168,000) | | | (451,256) | | | (17,274) | | | (38,071) |
Total Distributions to Shareholders | | | (1,195,694) | | | (2,762,090) | | | (267,507) | | | (425,812) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | (6,548,768) | | | (9,215,887) | | | (23,808) | | | 2,126,583 |
Class N | | | (5,310,059) | | | (427,180) | | | (94,732) | | | 743,979 |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (11,858,827) | | | (9,643,067) | | | (118,540) | | | 2,870,562 |
Total Increase (Decrease) in Net Assets | | | $(9,693,786) | | | $(8,488,220) | | | $298,196 | | | $3,003,533 |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $46,111,558 | | | $ 54,599,778 | | | $ 12,635,099 | | | $9,631,566 |
End of Period | | | $36,417,772 | | | $ 46,111,558 | | | $ 12,933,295 | | | $ 12,635,099 |
| | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 157
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TABLE OF CONTENTS
| |
Statements of Changes in Net Assets (Cont.) |
| | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | | $2,994,155 | | | $3,202,565 | | | $324,362 | | | $676,394 |
Net Realized Gain (Loss) on Investments | | | 116,121 | | | (4,967,822) | | | (513,066) | | | (1,366,306) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 1,795,296 | | | 7,428,196 | | | (99,684) | | | 1,475,168 |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 4,905,572 | | | 5,662,939 | | | (288,388) | | | 785,256 |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Earnings | | | | | | | | | | | | |
Class I | | | (2,852,581) | | | (3,693,184) | | | (301,924) | | | (610,034) |
Class N | | | (163,175) | | | (229,194) | | | (4,946) | | | (11,310) |
Total Distributions to Shareholders | | | (3,015,756) | | | (3,922,378) | | | (306,870) | | | (621,344) |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | 12,530,687 | | | 27,417,772 | | | (641,668) | | | (14,960) |
Class N | | | 4,341,256 | | | 671,994 | | | (17,122) | | | (140,392) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 16,871,943 | | | 28,089,766 | | | (658,790) | | | (155,352) |
Total Increase (Decrease) in Net Assets | | | $18,761,759 | | | $29,830,327 | | | $(1,254,048) | | | $8,560 |
NET ASSETS: | | | | | | | | | | | | |
Beginning of Period | | | $83,755,908 | | | $53,925,581 | | | $ 13,222,055 | | | $ 13,213,495 |
End of Period | | | $ 102,517,667 | | | $83,755,908 | | | $ 11,968,007 | | | $13,222,055 |
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| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
DoubleLine Total Return Bond Fund - Class I |
9/30/2024(d) | | | $8.72 | | | 0.21 | | | 0.32 | | | 0.53 | | | (0.22) | | | — | | | — | | | (0.22) | | | $9.03 | | | 6.23% | | | $25,524,718 | | | 0.50% | | | 0.50% | | | 0.50% | | | 4.70% | | | 22% |
3/31/2024 | | | $8.97 | | | 0.36 | | | (0.21) | | | 0.15 | | | (0.40) | | | — | | | — | | | (0.40) | | | $8.72 | | | 1.75% | | | $25,498,119 | | | 0.50% | | | 0.50% | | | 0.50% | | | 4.19% | | | 36% |
3/31/2023 | | | $9.82 | | | 0.30 | | | (0.80) | | | (0.50) | | | (0.35) | | | — | | | — | | | (0.35) | | | $8.97 | | | (5.08)% | | | $27,489,784 | | | 0.49% | | | 0.49% | | | 0.49% | | | 3.28% | | | 37% |
3/31/2022 | | | $10.46 | | | 0.29 | | | (0.60) | | | (0.31) | | | (0.33) | | | — | | | — | | | (0.33) | | | $9.82 | | | (3.14)% | | | $37,399,379 | | | 0.48% | | | 0.48% | | | 0.48% | | | 2.75% | | | 89% |
3/31/2021 | | | $10.46 | | | 0.31 | | | 0.04 | | | 0.35 | | | (0.35) | | | — | | | — | | | (0.35) | | | $10.46 | | | 3.32% | | | $42,909,929 | | | 0.49% | | | 0.49% | | | 0.49% | | | 2.95% | | | 91% |
3/31/2020 | | | $10.53 | | | 0.34 | | | (0.03) | | | 0.31 | | | (0.38) | | | — | | | — | | | (0.38) | | | $10.46 | | | 2.97% | | | $44,623,760 | | | 0.49% | | | 0.48% | | | 0.48% | | | 3.28% | | | 31% |
DoubleLine Total Return Bond Fund - Class N |
9/30/2024(d) | | | $8.72 | | | 0.20 | | | 0.31 | | | 0.51 | | | (0.21) | | | — | | | — | | | (0.21) | | | $9.02 | | | 5.98% | | | $3,744,551 | | | 0.75% | | | 0.75% | | | 0.75% | | | 4.44% | | | 22% |
3/31/2024 | | | $8.97 | | | 0.34 | | | (0.21) | | | 0.13 | | | (0.38) | | | — | | | — | | | (0.38) | | | $8.72 | | | 1.50% | | | $4,269,591 | | | 0.75% | | | 0.75% | | | 0.75% | | | 3.94% | | | 36% |
3/31/2023 | | | $9.82 | | | 0.28 | | | (0.80) | | | (0.52) | | | (0.33) | | | — | | | — | | | (0.33) | | | $8.97 | | | (5.32)% | | | $5,109,737 | | | 0.74% | | | 0.74% | | | 0.74% | | | 3.08% | | | 37% |
3/31/2022 | | | $10.46 | | | 0.26 | | | (0.60) | | | (0.34) | | | (0.30) | | | — | | | — | | | (0.30) | | | $9.82 | | | (3.38)% | | | $4,972,381 | | | 0.73% | | | 0.73% | | | 0.73% | | | 2.50% | | | 89% |
3/31/2021 | | | $10.46 | | | 0.29 | | | 0.03 | | | 0.32 | | | (0.32) | | | — | | | — | | | (0.32) | | | $10.46 | | | 3.06% | | | $5,239,001 | | | 0.74% | | | 0.74% | | | 0.74% | | | 2.70% | | | 91% |
3/31/2020 | | | $10.53 | | | 0.32 | | | (0.03) | | | 0.29 | | | (0.36) | | | — | | | — | | | (0.36) | | | $10.46 | | | 2.71% | | | $6,552,760 | | | 0.73% | | | 0.73% | | | 0.73% | | | 3.03% | | | 31% |
DoubleLine Total Return Bond Fund - Class R6 |
9/30/2024(d) | | | $8.73 | | | 0.21 | | | 0.32 | | | 0.53 | | | (0.23) | | | — | | | — | | | (0.23) | | | $9.03 | | | 6.14% | | | $1,693,606 | | | 0.44% | | | 0.44% | | | 0.44% | | | 4.77% | | | 22% |
3/31/2024 | | | $8.98 | | | 0.37 | | | (0.22) | | | 0.15 | | | (0.40) | | | — | | | — | | | (0.40) | | | $8.73 | | | 1.81% | | | $1,267,701 | | | 0.44% | | | 0.44% | | | 0.44% | | | 4.27% | | | 36% |
3/31/2023 | | | $9.83 | | | 0.31 | | | (0.81) | | | (0.50) | | | (0.35) | | | — | | | — | | | (0.35) | | | $8.98 | | | (5.02)% | | | $1,218,779 | | | 0.44% | | | 0.44% | | | 0.44% | | | 3.35% | | | 37% |
3/31/2022 | | | $10.46 | | | 0.29 | | | (0.59) | | | (0.30) | | | (0.33) | | | — | | | — | | | (0.33) | | | $9.83 | | | (2.99)% | | | $1,711,466 | | | 0.43% | | | 0.43% | | | 0.43% | | | 2.81% | | | 89% |
3/31/2021 | | | $10.46 | | | 0.31 | | | 0.05 | | | 0.36 | | | (0.36) | | | — | | | — | | | (0.36) | | | $10.46 | | | 3.38% | | | $2,071,388 | | | 0.44% | | | 0.44% | | | 0.44% | | | 2.89% | | | 91% |
3/31/2020(e) | | | $10.66 | | | 0.24 | | | (0.18) | | | 0.06 | | | (0.26) | | | — | | | — | | | (0.26) | | | $10.46 | | | 0.52% | | | $65,403 | | | 0.45% | | | 0.45% | | | 0.45% | | | 3.33% | | | 31% |
DoubleLine Core Fixed Income Fund - Class I |
9/30/2024(d) | | | $9.20 | | | 0.23 | | | 0.30 | | | 0.53 | | | (0.24) | | | — | | | — | | | (0.24) | | | $9.49 | | | 5.91% | | | $6,260,611 | | | 0.47% | | | 0.44% | | | 0.44% | | | 4.89% | | | 45% |
3/31/2024 | | | $9.41 | | | 0.42 | | | (0.19) | | | 0.23 | | | (0.44) | | | — | | | — | | | (0.44) | | | $9.20 | | | 2.60% | | | $6,346,593 | | | 0.47% | | | 0.44% | | | 0.44% | | | 4.59% | | | 119% |
3/31/2023 | | | $10.33 | | | 0.36 | | | (0.88) | | | (0.52) | | | (0.40) | | | — | | | — | | | (0.40) | | | $9.41 | | | (5.03)% | | | $6,889,213 | | | 0.47% | | | 0.44% | | | 0.44% | | | 3.75% | | | 119% |
3/31/2022 | | | $11.01 | | | 0.28 | | | (0.62) | | | (0.34) | | | (0.31) | | | (0.03) | | | — | | | (0.34) | | | $10.33 | | | (3.19)% | | | $9,843,189 | | | 0.46% | | | 0.42% | | | 0.42% | | | 2.55% | | | 177% |
3/31/2021 | | | $10.62 | | | 0.32 | | | 0.42 | | | 0.74 | | | (0.33) | | | (0.02) | | | — | | | (0.35) | | | $11.01 | | | 6.94% | | | $10,772,238 | | | 0.47% | | | 0.42% | | | 0.42% | | | 2.83% | | | 155% |
3/31/2020 | | | $10.83 | | | 0.36 | | | (0.20) | | | 0.16 | | | (0.37) | | | — | | | — | | | (0.37) | | | $10.62 | | | 1.42% | | | $10,724,409 | | | 0.47% | | | 0.41% | | | 0.41% | | | 3.30% | | | 43% |
DoubleLine Core Fixed Income Fund - Class N |
9/30/2024(d) | | | $9.20 | | | 0.21 | | | 0.30 | | | 0.51 | | | (0.23) | | | — | | | — | | | (0.23) | | | $9.48 | | | 5.66% | | | $213,963 | | | 0.72% | | | 0.69% | | | 0.69% | | | 4.63% | | | 45% |
3/31/2024 | | | $9.40 | | | 0.40 | | | (0.18) | | | 0.22 | | | (0.42) | | | — | | | — | | | (0.42) | | | $9.20 | | | 2.46% | | | $235,339 | | | 0.72% | | | 0.69% | | | 0.69% | | | 4.34% | | | 119% |
3/31/2023 | | | $10.32 | | | 0.33 | | | (0.88) | | | (0.55) | | | (0.37) | | | — | | | — | | | (0.37) | | | $9.40 | | | (5.27)% | | | $274,332 | | | 0.72% | | | 0.69% | | | 0.69% | | | 3.48% | | | 119% |
3/31/2022 | | | $11.00 | | | 0.25 | | | (0.61) | | | (0.36) | | | (0.29) | | | (0.03) | | | — | | | (0.32) | | | $10.32 | | | (3.43)% | | | $443,006 | | | 0.71% | | | 0.67% | | | 0.67% | | | 2.30% | | | 177% |
3/31/2021 | | | $10.61 | | | 0.29 | | | 0.42 | | | 0.71 | | | (0.30) | | | (0.02) | | | — | | | (0.32) | | | $11.00 | | | 6.67% | | | $544,493 | | | 0.72% | | | 0.66% | | | 0.66% | | | 2.58% | | | 155% |
3/31/2020 | | | $10.82 | | | 0.34 | | | (0.20) | | | 0.14 | | | (0.35) | | | — | | | — | | | (0.35) | | | $10.61 | | | 1.17% | | | $706,970 | | | 0.72% | | | 0.66% | | | 0.66% | | | 3.05% | | | 43% |
DoubleLine Core Fixed Income Fund - Class R6 |
9/30/2024(d) | | | $9.21 | | | 0.23 | | | 0.30 | | | 0.53 | | | (0.24) | | | — | | | — | | | (0.24) | | | $9.50 | | | 5.92% | | | $389,957 | | | 0.44% | | | 0.41% | | | 0.41% | | | 4.94% | | | 45% |
3/31/2024 | | | $9.41 | | | 0.43 | | | (0.19) | | | 0.24 | | | (0.44) | | | — | | | — | | | (0.44) | | | $9.21 | | | 2.74% | | | $323,347 | | | 0.44% | | | 0.41% | | | 0.41% | | | 4.70% | | | 119% |
3/31/2023 | | | $10.33 | | | 0.37 | | | (0.89) | | | (0.52) | | | (0.40) | | | — | | | — | | | (0.40) | | | $9.41 | | | (5.00)% | | | $118,663 | | | 0.44% | | | 0.41% | | | 0.41% | | | 3.88% | | | 119% |
3/31/2022 | | | $11.01 | | | 0.28 | | | (0.61) | | | (0.33) | | | (0.32) | | | (0.03) | | | — | | | (0.35) | | | $10.33 | | | (3.16)% | | | $93,509 | | | 0.44% | | | 0.39% | | | 0.39% | | | 2.58% | | | 177% |
3/31/2021 | | | $10.62 | | | 0.32 | | | 0.42 | | | 0.74 | | | (0.33) | | | (0.02) | | | — | | | (0.35) | | | $11.01 | | | 6.94% | | | $104,731 | | | 0.44% | | | 0.38% | | | 0.38% | | | 2.88% | | | 155% |
3/31/2020(e) | | | $11.05 | | | 0.24 | | | (0.42) | | | (0.18) | | | (0.25) | | | — | | | — | | | (0.25) | | | $10.62 | | | (1.72)% | | | $112,911 | | | 0.45% | | | 0.39% | | | 0.39% | | | 3.26% | | | 43% |
DoubleLine Emerging Markets Fixed Income Fund - Class I |
9/30/2024(d) | | | $8.91 | | | 0.25 | | | 0.24 | | | 0.49 | | | (0.27) | | | — | | | — | | | (0.27) | | | $9.13 | | | 5.66% | | | $424,256 | | | 0.92% | | | 0.92% | | | 0.93% | | | 5.61% | | | 20% |
3/31/2024 | | | $8.46 | | | 0.48 | | | 0.47 | | | 0.95 | | | (0.50) | | | — | | | — | | | (0.50) | | | $8.91 | | | 11.65% | | | $461,232 | | | 0.92% | | | 0.92% | | | 0.92% | | | 5.62% | | | 49% |
3/31/2023 | | | $9.71 | | | 0.42 | | | (1.22) | | | (0.80) | | | (0.45) | | | — | | | — | | | (0.45) | | | $8.46 | | | (8.22)% | | | $492,903 | | | 0.90% | | | 0.90% | | | 0.90% | | | 4.80% | | | 34% |
3/31/2022 | | | $10.55 | | | 0.39 | | | (0.84) | | | (0.45) | | | (0.39) | | | — | | | — | | | (0.39) | | | $9.71 | | | (4.46)% | | | $721,060 | | | 0.87% | | | 0.87% | | | 0.87% | | | 3.76% | | | 51% |
3/31/2021 | | | $8.83 | | | 0.41 | | | 1.75 | | | 2.16 | | | (0.44) | | | — | | | — | | | (0.44) | | | $10.55 | | | 24.72% | | | $799,879 | | | 0.89% | | | 0.89% | | | 0.89% | | | 4.06% | | | 81% |
3/31/2020 | | | $10.34 | | | 0.49 | | | (1.51) | | | (1.02) | | | (0.49) | | | — | | | — | | | (0.49) | | | $8.83 | | | (10.43)% | | | $755,648 | | | 0.90% | | | 0.90% | | | 0.90% | | | 4.69% | | | 37% |
DoubleLine Emerging Markets Fixed Income Fund - Class N |
9/30/2024(d) | | | $8.92 | | | 0.24 | | | 0.24 | | | 0.48 | | | (0.26) | | | — | | | — | | | (0.26) | | | $9.14 | | | 5.52% | | | $30,560 | | | 1.18% | | | 1.18% | | | 1.18% | | | 5.37% | | | 20% |
3/31/2024 | | | $8.46 | | | 0.46 | | | 0.48 | | | 0.94 | | | (0.48) | | | — | | | — | | | (0.48) | | | $8.92 | | | 11.49% | | | $22,904 | | | 1.17% | | | 1.17% | | | 1.17% | | | 5.37% | | | 49% |
3/31/2023 | | | $9.71 | | | 0.40 | | | (1.23) | | | (0.83) | | | (0.42) | | | — | | | — | | | (0.42) | | | $8.46 | | | (8.45)% | | | $27,671 | | | 1.15% | | | 1.15% | | | 1.15% | | | 4.56% | | | 34% |
3/31/2022 | | | $10.55 | | | 0.37 | | | (0.85) | | | (0.48) | | | (0.36) | | | — | | | — | | | (0.36) | | | $9.71 | | | (4.70)% | | | $38,728 | | | 1.12% | | | 1.12% | | | 1.12% | | | 3.51% | | | 51% |
3/31/2021 | | | $8.83 | | | 0.39 | | | 1.74 | | | 2.13 | | | (0.41) | | | — | | | — | | | (0.41) | | | $10.55 | | | 24.38% | | | $44,972 | | | 1.14% | | | 1.14% | | | 1.14% | | | 3.86% | | | 81% |
3/31/2020 | | | $10.34 | | | 0.47 | | | (1.51) | | | (1.04) | | | (0.47) | | | — | | | — | | | (0.47) | | | $8.83 | | | (10.68)% | | | $122,727 | | | 1.15% | | | 1.15% | | | 1.15% | | | 4.46% | | | 37% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 159
|
TABLE OF CONTENTS
| |
Financial Highlights (Cont.) |
DoubleLine Low Duration Bond Fund - Class I |
9/30/2024(d) | | | $9.58 | | | 0.25 | | | 0.09 | | | 0.34 | | | (0.25) | | | — | | | — | | | (0.25) | | | $9.67 | | | 3.61% | | | $4,963,036 | | | 0.43% | | | 0.43% | | | 0.43% | | | 5.18%% | | | 61% |
3/31/2024 | | | $9.46 | | | 0.45 | | | 0.12 | | | 0.57 | | | (0.45) | | | — | | | — | | | (0.45) | | | $9.58 | | | 6.16% | | | $4,788,703 | | | 0.43% | | | 0.43% | | | 0.43% | | | 4.71% | | | 76% |
3/31/2023 | | | $9.67 | | | 0.28 | | | (0.19) | | | 0.09 | | | (0.30) | | | — | | | — | | | (0.30) | | | $9.46 | | | 0.94% | | | $5,256,310 | | | 0.43% | | | 0.43% | | | 0.43% | | | 2.98% | | | 72% |
3/31/2022 | | | $9.97 | | | 0.15 | | | (0.29) | | | (0.14) | | | (0.16) | | | — | | | — | | | (0.16) | | | $9.67 | | | (1.42)% | | | $6,224,937 | | | 0.41% | | | 0.41% | | | 0.41% | | | 1.55% | | | 80% |
3/31/2021 | | | $9.51 | | | 0.20 | | | 0.47 | | | 0.67 | | | (0.21) | | | — | | | — | | | (0.21) | | | $9.97 | | | 7.08% | | | $5,689,932 | | | 0.42% | | | 0.42% | | | 0.42% | | | 2.05% | | | 71% |
3/31/2020 | | | $9.97 | | | 0.30 | | | (0.45) | | | (0.15) | | | (0.31) | | | — | | | — | | | (0.31) | | | $9.51 | | | (1.59)% | | | $5,296,795 | | | 0.42% | | | 0.41% | | | 0.41% | | | 3.05% | | | 60% |
DoubleLine Low Duration Bond Fund - Class N |
9/30/2024(d) | | | $9.57 | | | 0.24 | | | 0.09 | | | 0.33 | | | (0.24) | | | — | | | — | | | (0.24) | | | $9.66 | | | 3.48% | | | $725,661 | | | 0.68% | | | 0.68% | | | 0.68% | | | 4.92%% | | | 61% |
3/31/2024 | | | $9.45 | | | 0.42 | | | 0.12 | | | 0.54 | | | (0.42) | | | — | | | — | | | (0.42) | | | $9.57 | | | 5.90% | | | $739,660 | | | 0.68% | | | 0.68% | | | 0.68% | | | 4.46% | | | 76% |
3/31/2023 | | | $9.67 | | | 0.26 | | | (0.21) | | | 0.05 | | | (0.27) | | | — | | | — | | | (0.27) | | | $9.45 | | | 0.58% | | | $846,389 | | | 0.67% | | | 0.67% | | | 0.67% | | | 2.73% | | | 72% |
3/31/2022 | | | $9.96 | | | 0.13 | | | (0.28) | | | (0.15) | | | (0.14) | | | — | | | — | | | (0.14) | | | $9.67 | | | (1.57)% | | | $1,043,811 | | | 0.66% | | | 0.66% | | | 0.66% | | | 1.30% | | | 80% |
3/31/2021 | | | $9.50 | | | 0.18 | | | 0.46 | | | 0.64 | | | (0.18) | | | — | | | — | | | (0.18) | | | $9.96 | | | 6.82% | | | $1,194,295 | | | 0.67% | | | 0.67% | | | 0.67% | | | 1.83% | | | 71% |
3/31/2020 | | | $9.96 | | | 0.28 | | | (0.45) | | | (0.17) | | | (0.29) | | | — | | | — | | | (0.29) | | | $9.50 | | | (1.84)% | | | $1,483,316 | | | 0.67% | | | 0.66% | | | 0.66% | | | 2.80% | | | 60% |
DoubleLine Low Duration Bond Fund - Class R6 |
9/30/2024(d) | | | $9.58 | | | 0.25 | | | 0.09 | | | 0.34 | | | (0.25) | | | — | | | — | | | (0.25) | | | $9.67 | | | 3.63% | | | $121,216 | | | 0.39% | | | 0.39% | | | 0.39% | | | 5.21% | | | 61% |
3/31/2024 | | | $9.46 | | | 0.46 | | | 0.11 | | | 0.57 | | | (0.45) | | | — | | | — | | | (0.45) | | | $9.58 | | | 6.20% | | | $127,836 | | | 0.39% | | | 0.39% | | | 0.39% | | | 4.83% | | | 76% |
3/31/2023 | | | $9.67 | | | 0.30 | | | (0.21) | | | 0.09 | | | (0.30) | | | — | | | — | | | (0.30) | | | $9.46 | | | 0.97% | | | $54,035 | | | 0.39% | | | 0.39% | | | 0.39% | | | 3.13% | | | 72% |
3/31/2022 | | | $9.97 | | | 0.15 | | | (0.29) | | | (0.14) | | | (0.16) | | | — | | | — | | | (0.16) | | | $9.67 | | | (1.39)% | | | $41,366 | | | 0.39% | | | 0.39% | | | 0.39% | | | 1.53% | | | 80% |
3/31/2021 | | | $9.51 | | | 0.20 | | | 0.47 | | | 0.67 | | | (0.21) | | | — | | | — | | | (0.21) | | | $9.97 | | | 7.12% | | | $8,840 | | | 0.40% | | | 0.39% | | | 0.39% | | | 2.05% | | | 71% |
3/31/2020(e) | | | $10.03 | | | 0.20 | | | (0.52) | | | (0.32) | | | (0.20) | | | — | | | — | | | (0.20) | | | $9.51 | | | (3.25)% | | | $369 | | | 0.39% | | | 0.38% | | | 0.38% | | | 2.98% | | | 60% |
DoubleLine Floating Rate Fund - Class I |
9/30/2024(d) | | | $9.04 | | | 0.37 | | | (0.06) | | | 0.31 | | | (0.37) | | | — | | | — | | | (0.37) | | | $8.98 | | | 3.47% | | | $157,176 | | | 0.78% | | | 0.78% | | | 0.78% | | | 8.07% | | | 35% |
3/31/2024 | | | $8.97 | | | 0.75 | | | 0.08 | | | 0.83 | | | (0.76) | | | — | | | — | | | (0.76) | | | $9.04 | | | 9.61% | | | $162,269 | | | 0.74% | | | 0.74% | | | 0.74% | | | 8.34% | | | 50% |
3/31/2023 | | | $9.42 | | | 0.53 | | | (0.42) | | | 0.11 | | | (0.56) | | | — | | | — | | | (0.56) | | | $8.97 | | | 1.31% | | | $200,203 | | | 0.68% | | | 0.68% | | | 0.68% | | | 5.81% | | | 17% |
3/31/2022 | | | $9.51 | | | 0.32 | | | (0.09) | | | 0.23 | | | (0.32) | | | — | | | — | | | (0.32) | | | $9.42 | | | 2.40% | | | $333,518 | | | 0.64% | | | 0.64% | | | 0.64% | | | 3.37% | | | 40% |
3/31/2021 | | | $8.44 | | | 0.34 | | | 1.07 | | | 1.41 | | | (0.34) | | | — | | | — | | | (0.34) | | | $9.51 | | | 16.95% | | | $240,442 | | | 0.72% | | | 0.72% | | | 0.72% | | | 3.69% | | | 76% |
3/31/2020 | | | $9.65 | | | 0.47 | | | (1.20) | | | (0.73) | | | (0.48) | | | — | | | — | | | (0.48) | | | $8.44 | | | (7.99)% | | | $150,892 | | | 0.70% | | | 0.70% | | | 0.70% | | | 4.84% | | | 58% |
DoubleLine Floating Rate Fund - Class N |
9/30/2024(d) | | | $9.07 | | | 0.36 | | | (0.06) | | | 0.30 | | | (0.36) | | | — | | | — | | | (0.36) | | | $9.01 | | | 3.33% | | | $18,135 | | | 1.03% | | | 1.03% | | | 1.03% | | | 7.83% | | | 35% |
3/31/2024 | | | $8.99 | | | 0.73 | | | 0.08 | | | 0.81 | | | (0.73) | | | — | | | — | | | (0.73) | | | $9.07 | | | 9.43% | | | $17,070 | | | 0.99% | | | 0.99% | | | 0.99% | | | 8.10% | | | 50% |
3/31/2023 | | | $9.44 | | | 0.48 | | | (0.40) | | | 0.08 | | | (0.53) | | | — | | | — | | | (0.53) | | | $8.99 | | | 1.04% | | | $20,603 | | | 0.92% | | | 0.92% | | | 0.92% | | | 5.32% | | | 17% |
3/31/2022 | | | $9.53 | | | 0.30 | | | (0.10) | | | 0.20 | | | (0.29) | | | — | | | — | | | (0.29) | | | $9.44 | | | 2.15% | | | $45,362 | | | 0.90% | | | 0.90% | | | 0.90% | | | 3.16% | | | 40% |
3/31/2021 | | | $8.45 | | | 0.32 | | | 1.08 | | | 1.40 | | | (0.32) | | | — | | | — | | | (0.32) | | | $9.53 | | | 16.73% | | | $18,339 | | | 0.98% | | | 0.98% | | | 0.98% | | | 3.54% | | | 76% |
3/31/2020 | | | $9.67 | | | 0.44 | | | (1.20) | | | (0.76) | | | (0.46) | | | — | | | — | | | (0.46) | | | $8.45 | | | (8.32)% | | | $51,646 | | | 0.95% | | | 0.95% | | | 0.95% | | | 4.59% | | | 58% |
DoubleLine Shiller Enhanced CAPE® - Class I |
9/30/2024(d) | | | $14.86 | | | 0.36 | | | 0.58 | | | 0.94 | | | (0.39) | | | — | | | — | | | (0.39) | | | $15.41 | | | 6.45% | | | $3,732,037 | | | 0.54% | | | 0.54% | | | 0.54% | | | 4.94% | | | 59% |
3/31/2024 | | | $12.66 | | | 0.64 | | | 2.23 | | | 2.87 | | | (0.67) | | | — | | | — | | | (0.67) | | | $14.86 | | | 23.36% | | | $3,905,582 | | | 0.54% | | | 0.54% | | | 0.54% | | | 4.75% | | | 75% |
3/31/2023 | | | $16.79 | | | 0.49 | | | (2.60) | | | (2.11) | | | (0.54) | | | (1.48) | | | — | | | (2.02) | | | $12.66 | | | (12.06)% | | | $3,988,448 | | | 0.55% | | | 0.55% | | | 0.55% | | | 3.48% | | | 77% |
3/31/2022 | | | $19.62 | | | 0.26 | | | 2.00 | | | 2.26 | | | (0.30) | | | (4.79) | | | — | | | (5.09) | | | $16.79 | | | 10.96% | | | $7,828,188 | | | 0.54% | | | 0.53% | | | 0.53% | | | 1.29% | | | 110% |
3/31/2021 | | | $11.69 | | | 0.27 | | | 7.95 | | | 8.22 | | | (0.29) | | | — | | | — | | | (0.29) | | | $19.62 | | | 70.87% | | | $8,169,623 | | | 0.55% | | | 0.54% | | | 0.54% | | | 1.64% | | | 69% |
3/31/2020 | | | $14.81 | | | 0.42 | | | (2.72) | | | (2.30) | | | (0.43) | | | (0.39) | | | — | | | (0.82) | | | $11.69 | | | (16.78)% | | | $4,633,848 | | | 0.55% | | | 0.54% | | | 0.54% | | | 2.70% | | | 62% |
DoubleLine Shiller Enhanced CAPE® - Class N |
9/30/2024(d) | | | $14.85 | | | 0.34 | | | 0.57 | | | 0.91 | | | (0.37) | | | — | | | — | | | (0.37) | | | $15.39 | | | 6.25% | | | $253,109 | | | 0.79% | | | 0.79% | | | 0.79% | | | 4.68% | | | 59% |
3/31/2024 | | | $12.65 | | | 0.60 | | | 2.24 | | | 2.84 | | | (0.64) | | | — | | | — | | | (0.64) | | | $14.85 | | | 23.07% | | | $281,125 | | | 0.79% | | | 0.79% | | | 0.79% | | | 4.50% | | | 75% |
3/31/2023 | | | $16.78 | | | 0.46 | | | (2.61) | | | (2.15) | | | (0.50) | | | (1.48) | | | — | | | (1.98) | | | $12.65 | | | (12.29)% | | | $312,867 | | | 0.80% | | | 0.80% | | | 0.80% | | | 3.26% | | | 77% |
3/31/2022 | | | $19.61 | | | 0.21 | | | 1.99 | | | 2.20 | | | (0.24) | | | (4.79) | | | — | | | (5.03) | | | $16.78 | | | 10.69% | | | $566,561 | | | 0.79% | | | 0.78% | | | 0.78% | | | 1.03% | | | 110% |
3/31/2021 | | | $11.68 | | | 0.24 | | | 7.93 | | | 8.17 | | | (0.24) | | | — | | | — | | | (0.24) | | | $19.61 | | | 70.45% | | | $705,156 | | | 0.80% | | | 0.79% | | | 0.79% | | | 1.56% | | | 69% |
3/31/2020 | | | $14.80 | | | 0.38 | | | (2.72) | | | (2.34) | | | (0.39) | | | (0.39) | | | — | | | (0.78) | | | $11.68 | | | (17.00)% | | | $1,246,723 | | | 0.80% | | | 0.79% | | | 0.79% | | | 2.46% | | | 62% |
DoubleLine Shiller Enhanced CAPE® - Class R6 |
9/30/2024(d) | | | $14.87 | | | 0.37 | | | 0.57 | | | 0.94 | | | (0.39) | | | — | | | — | | | (0.39) | | | $15.42 | | | 6.47% | | | $17,632 | | | 0.50% | | | 0.50% | | | 0.50% | | | 4.98% | | | 59% |
3/31/2024 | | | $12.67 | | | 0.65 | | | 2.23 | | | 2.88 | | | (0.68) | | | — | | | — | | | (0.68) | | | $14.87 | | | 23.41% | | | $18,595 | | | 0.48% | | | 0.48% | | | 0.48% | | | 4.82% | | | 75% |
3/31/2023 | | | $16.80 | | | 0.50 | | | (2.60) | | | (2.10) | | | (0.55) | | | (1.48) | | | — | | | (2.03) | | | $12.67 | | | (12.00)% | | | $8,103 | | | 0.50% | | | 0.50% | | | 0.50% | | | 3.58% | | | 77% |
3/31/2022 | | | $19.62 | | | 0.27 | | | 2.01 | | | 2.28 | | | (0.31) | | | (4.79) | | | — | | | (5.10) | | | $16.80 | | | 11.07% | | | $15,398 | | | 0.49% | | | 0.49% | | | 0.49% | | | 1.35% | | | 110% |
3/31/2021 | | | $11.70 | | | 0.27 | | | 7.95 | | | 8.22 | | | (0.30) | | | — | | | — | | | (0.30) | | | $19.62 | | | 70.82% | | | $12,333 | | | 0.51% | | | 0.51% | | | 0.51% | | | 1.47% | | | 69% |
3/31/2020(e) | | | $15.69 | | | 0.27 | | | (3.59) | | | (3.32) | | | (0.28) | | | (0.39) | | | — | | | (0.67) | | | $11.70 | | | (22.15)% | | | $124 | | | 0.49% | | | 0.48% | | | 0.48% | | | 2.60% | | | 62% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
160
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
DoubleLine Flexible Income Fund - Class I |
9/30/2024(d) | | | $8.60 | | | 0.26 | | | 0.13 | | | 0.39 | | | (0.26) | | | — | | | — | | | (0.26) | | | $8.73 | | | 4.64% | | | $932,612 | | | 0.74% | | | 0.74% | | | 0.74% | | | 5.92% | | | 23% |
3/31/2024 | | | $8.42 | | | 0.50 | | | 0.21 | | | 0.71 | | | (0.53) | | | — | | | — | | | (0.53) | | | $8.60 | | | 8.69% | | | $802,933 | | | 0.74% | | | 0.74% | | | 0.74% | | | 5.97% | | | 32% |
3/31/2023 | | | $9.21 | | | 0.41 | | | (0.78) | | | (0.37) | | | (0.42) | | | — | | | — | | | (0.42) | | | $8.42 | | | (3.99)% | | | $726,230 | | | 0.74% | | | 0.74% | | | 0.74% | | | 4.74% | | | 13% |
3/31/2022 | | | $9.65 | | | 0.35 | | | (0.43) | | | (0.08) | | | (0.36) | | | — | | | — | | | (0.36) | | | $9.21 | | | (0.91)% | | | $971,543 | | | 0.73% | | | 0.71% | | | 0.71% | | | 3.65% | | | 41% |
3/31/2021 | | | $8.40 | | | 0.35 | | | 1.28 | | | 1.63 | | | (0.38) | | | — | | | — | | | (0.38) | | | $9.65 | | | 19.59% | | | $1,086,763 | | | 0.76% | | | 0.73% | | | 0.73% | | | 3.71% | | | 46% |
3/31/2020 | | | $9.65 | | | 0.39 | | | (1.22) | | | (0.83) | | | (0.42) | | | — | | | — | | | (0.42) | | | $8.40 | | | (9.06)% | | | $874,594 | | | 0.73% | | | 0.69% | | | 0.69% | | | 4.12% | | | 41% |
DoubleLine Flexible Income Fund - Class N |
9/30/2024(d) | | | $8.60 | | | 0.25 | | | 0.12 | | | 0.37 | | | (0.25) | | | — | | | — | | | (0.25) | | | $8.72 | | | 4.39% | | | $73,208 | | | 0.98% | | | 0.98% | | | 0.98% | | | 5.68% | | | 23% |
3/31/2024 | | | $8.42 | | | 0.48 | | | 0.20 | | | 0.68 | | | (0.50) | | | — | | | — | | | (0.50) | | | $8.60 | | | 8.42% | | | $69,796 | | | 0.99% | | | 0.99% | | | 0.99% | | | 5.70% | | | 32% |
3/31/2023 | | | $9.20 | | | 0.39 | | | (0.77) | | | (0.38) | | | (0.40) | | | — | | | — | | | (0.40) | | | $8.42 | | | (4.13)% | | | $95,069 | | | 0.99% | | | 0.99% | | | 0.99% | | | 4.47% | | | 13% |
3/31/2022 | | | $9.65 | | | 0.33 | | | (0.44) | | | (0.11) | | | (0.34) | | | — | | | — | | | (0.34) | | | $9.20 | | | (1.26)% | | | $142,205 | | | 0.98% | | | 0.96% | | | 0.96% | | | 3.39% | | | 41% |
3/31/2021 | | | $8.39 | | | 0.32 | | | 1.29 | | | 1.61 | | | (0.35) | | | — | | | — | | | (0.35) | | | $9.65 | | | 19.43% | | | $155,408 | | | 1.01% | | | 0.97% | | | 0.97% | | | 3.49% | | | 46% |
3/31/2020 | | | $9.64 | | | 0.37 | | | (1.22) | | | (0.85) | | | (0.40) | | | — | | | — | | | (0.40) | | | $8.39 | | | (9.30)% | | | $230,033 | | | 0.98% | | | 0.94% | | | 0.94% | | | 3.83% | | | 41% |
DoubleLine Flexible Income Fund - Class R6 |
9/30/2024(d) | | | $8.61 | | | 0.26 | | | 0.12 | | | 0.38 | | | (0.26) | | | — | | | — | | | (0.26) | | | $8.73 | | | 4.54% | | | $85,119 | | | 0.69% | | | 0.69% | | | 0.69% | | | 5.97% | | | 23% |
3/31/2024 | | | $8.43 | | | 0.51 | | | 0.20 | | | 0.71 | | | (0.53) | | | — | | | — | | | (0.53) | | | $8.61 | | | 8.73% | | | $79,635 | | | 0.70% | | | 0.70% | | | 0.70% | | | 5.98% | | | 32% |
3/31/2023 | | | $9.21 | | | 0.42 | | | (0.78) | | | (0.36) | | | (0.42) | | | — | | | — | | | (0.42) | | | $8.43 | | | (3.84)% | | | $125,350 | | | 0.70% | | | 0.70% | | | 0.70% | | | 4.86% | | | 13% |
3/31/2022 | | | $9.66 | | | 0.34 | | | (0.43) | | | (0.09) | | | (0.36) | | | — | | | — | | | (0.36) | | | $9.21 | | | (0.98)% | | | $112,378 | | | 0.70% | | | 0.68% | | | 0.68% | | | 3.55% | | | 41% |
3/31/2021 | | | $8.40 | | | 0.32 | | | 1.32 | | | 1.64 | | | (0.38) | | | — | | | — | | | (0.38) | | | $9.66 | | | 19.78% | | | $758 | | | 0.72% | | | 0.70% | | | 0.70% | | | 3.42% | | | 46% |
3/31/2020(e) | | | $9.74 | | | 0.25 | | | (1.32) | | | (1.07) | | | (0.27) | | | — | | | — | | | (0.27) | | | $8.40 | | | (11.26)% | | | $89 | | | 0.68% | | | 0.65% | | | 0.65% | | | 3.91% | | | 41% |
DoubleLine Low Duration Emerging Markets Fixed Income Fund - Class I |
9/30/2024(d) | | | $9.41 | | | 0.22 | | | 0.20 | | | 0.42 | | | (0.22) | | | — | | | — | | | (0.22) | | | $9.61 | | | 4.54% | | | $154,041 | | | 0.71% | | | 0.71% | | | 0.59% | | | 4.69% | | | 24% |
3/31/2024 | | | $9.05 | | | 0.37 | | | 0.36 | | | 0.73 | | | (0.37) | | | — | | | — | | | (0.37) | | | $9.41 | | | 8.23% | | | $153,250 | | | 0.74% | | | 0.74% | | | 0.59% | | | 4.04% | | | 29% |
3/31/2023 | | | $9.40 | | | 0.26 | | | (0.35) | | | (0.09) | | | (0.26) | | | — | | | — | | | (0.26) | | | $9.05 | | | (0.90)% | | | $182,023 | | | 0.69% | | | 0.69% | | | 0.59% | | | 2.81% | | | 37% |
3/31/2022 | | | $9.90 | | | 0.16 | | | (0.45) | | | (0.29) | | | (0.17) | | | (0.04) | | | — | | | (0.21) | | | $9.40 | | | (3.00)% | | | $238,613 | | | 0.68% | | | 0.68% | | | 0.59% | | | 1.67% | | | 39% |
3/31/2021 | | | $9.36 | | | 0.22 | | | 0.56 | | | 0.78 | | | (0.24) | | | — | | | — | | | (0.24) | | | $9.90 | | | 8.33% | | | $215,744 | | | 0.66% | | | 0.66% | | | 0.59% | | | 2.21% | | | 72% |
3/31/2020 | | | $9.80 | | | 0.32 | | | (0.36) | | | (0.04) | | | (0.32) | | | (0.08) | | | — | | | (0.40) | | | $9.36 | | | (0.62)% | | | $180,730 | | | 0.63% | | | 0.63% | | | 0.59% | | | 3.24% | | | 65% |
DoubleLine Low Duration Emerging Markets Fixed Income Fund - Class N |
9/30/2024(d) | | | $9.43 | | | 0.21 | | | 0.20 | | | 0.41 | | | (0.21) | | | — | | | — | | | (0.21) | | | $9.63 | | | 4.40% | | | $4,713 | | | 0.96% | | | 0.96% | | | 0.84% | | | 4.44% | | | 24% |
3/31/2024 | | | $9.06 | | | 0.35 | | | 0.37 | | | 0.72 | | | (0.35) | | | — | | | — | | | (0.35) | | | $9.43 | | | 8.07% | | | $4,658 | | | 0.99% | | | 0.99% | | | 0.84% | | | 3.82% | | | 29% |
3/31/2023 | | | $9.41 | | | 0.23 | | | (0.34) | | | (0.11) | | | (0.24) | | | — | | | — | | | (0.24) | | | $9.06 | | | (1.18)% | | | $5,337 | | | 0.93% | | | 0.93% | | | 0.84% | | | 2.51% | | | 37% |
3/31/2022 | | | $9.91 | | | 0.14 | | | (0.46) | | | (0.32) | | | (0.14) | | | (0.04) | | | — | | | (0.18) | | | $9.41 | | | (3.24)% | | | $22,501 | | | 0.93% | | | 0.93% | | | 0.84% | | | 1.42% | | | 39% |
3/31/2021 | | | $9.38 | | | 0.19 | | | 0.55 | | | 0.74 | | | (0.21) | | | — | | | — | | | (0.21) | | | $9.91 | | | 7.94% | | | $25,849 | | | 0.91% | | | 0.91% | | | 0.84% | | | 1.95% | | | 72% |
3/31/2020 | | | $9.81 | | | 0.30 | | | (0.36) | | | (0.06) | | | (0.29) | | | (0.08) | | | — | | | (0.37) | | | $9.38 | | | (0.77)% | | | $16,922 | | | 0.88% | | | 0.88% | | | 0.84% | | | 3.03% | | | 65% |
DoubleLine Long Duration Total Return Bond Fund - Class I |
9/30/2024(d) | | | $6.58 | | | 0.15 | | | 0.29 | | | 0.44 | | | (0.15) | | | — | | | — | | | (0.15) | | | $6.87 | | | 6.89% | | | $57,293 | | | 0.64% | | | 0.64% | | | 0.50% | | | 4.67% | | | 62% |
3/31/2024 | | | $7.15 | | | 0.26 | | | (0.58) | | | (0.32) | | | (0.25) | | | — | | | — | | | (0.25) | | | $6.58 | | | (4.39)% | | | $47,884 | | | 0.62% | | | 0.62% | | | 0.50% | | | 3.88% | | | 146% |
3/31/2023 | | | $8.84 | | | 0.22 | | | (1.69) | | | (1.47) | | | (0.22) | | | — | | | — | | | (0.22) | | | $7.15 | | | (16.66)% | | | $48,859 | | | 0.59% | | | 0.59% | | | 0.50% | | | 2.97% | | | 227% |
3/31/2022 | | | $9.37 | | | 0.28 | | | (0.53) | | | (0.25) | | | (0.28) | | | — | | | — | | | (0.28) | | | $8.84 | | | (2.89)% | | | $54,898 | | | 0.54% | | | 0.54% | | | 0.50% | | | 2.87% | | | 95% |
3/31/2021 | | | $11.75 | | | 0.29 | | | (1.62) | | | (1.33) | | | (0.29) | | | (0.76) | | | — | | | (1.05) | | | $9.37 | | | (12.24)% | | | $71,267 | | | 0.55% | | | 0.55% | | | 0.51% | | | 2.56% | | | 89% |
3/31/2020 | | | $9.88 | | | 0.28 | | | 2.11 | | | 2.39 | | | (0.27) | | | (0.25) | | | — | | | (0.52) | | | $11.75 | | | 24.85% | | | $87,469 | | | 0.68% | | | 0.68% | | | 0.65% | | | 2.55% | | | 40% |
DoubleLine Long Duration Total Return Bond Fund - Class N |
9/30/2024(d) | | | $6.56 | | | 0.15 | | | 0.30 | | | 0.45 | | | (0.15) | | | — | | | — | | | (0.15) | | | $6.86 | | | 6.93% | | | $11,666 | | | 0.89% | | | 0.89% | | | 0.75% | | | 4.42% | | | 62% |
3/31/2024 | | | $7.13 | | | 0.26 | | | (0.59) | | | (0.33) | | | (0.24) | | | — | | | — | | | (0.24) | | | $6.56 | | | (4.63)% | | | $12,036 | | | 0.92% | | | 0.92% | | | 0.75% | | | 4.07% | | | 146% |
3/31/2023 | | | $8.81 | | | 0.21 | | | (1.69) | | | (1.48) | | | (0.20) | | | — | | | — | | | (0.20) | | | $7.13 | | | (16.83)% | | | $1,693 | | | 0.83% | | | 0.83% | | | 0.75% | | | 2.73% | | | 227% |
3/31/2022 | | | $9.37 | | | 0.25 | | | (0.56) | | | (0.31) | | | (0.25) | | | — | | | — | | | (0.25) | | | $8.81 | | | (3.48)% | | | $5,364 | | | 0.77% | | | 0.77% | | | 0.75% | | | 2.59% | | | 95% |
3/31/2021 | | | $11.74 | | | 0.26 | | | (1.61) | | | (1.35) | | | (0.26) | | | (0.76) | | | — | | | (1.02) | | | $9.37 | | | (12.38)% | | | $11,234 | | | 0.80% | | | 0.80% | | | 0.76% | | | 2.29% | | | 89% |
3/31/2020 | | | $9.88 | | | 0.24 | | | 2.11 | | | 2.35 | | | (0.24) | | | (0.25) | | | — | | | (0.49) | | | $11.74 | | | 24.44% | | | $20,225 | | | 0.93% | | | 0.93% | | | 0.90% | | | 2.31% | | | 40% |
DoubleLine Strategic Commodity Fund - Class I (Consolidated) |
9/30/2024(d) | | | $7.79 | | | 0.16 | | | (0.67) | | | (0.51) | | | — | | | — | | | — | | | — | | | $7.28 | | | (6.55)% | | | $117,383 | | | 1.11% | | | 1.11% | | | 1.10% | | | 4.24% | | | 0% |
3/31/2024 | | | $7.54 | | | 0.31 | | | 0.18 | | | 0.49 | | | (0.24) | | | — | | | — | | | (0.24) | | | $7.79 | | | 6.72% | | | $136,093 | | | 1.08% | | | 1.08% | | | 1.07% | | | 4.06% | | | 0% |
3/31/2023 | | | $12.56 | | | 0.07 | | | (1.47) | | | (1.40) | | | (3.62) | | | — | | | — | | | (3.62) | | | $7.54 | | | (11.83)% | | | $158,615 | | | 1.02% | | | 1.02% | | | 1.02% | | | 0.64% | | | 0% |
3/31/2022 | | | $9.61 | | | (0.11) | | | 4.41 | | | 4.30 | | | (1.35) | | | — | | | — | | | (1.35) | | | $12.56 | | | 48.24% | | | $223,799 | | | 1.04% | | | 1.04% | | | 1.10% | | | (0.97)% | | | 0% |
3/31/2021 | | | $6.91 | | | (0.05) | | | 2.75 | | | 2.70 | | | — | | | — | | | — | | | — | | | $9.61 | | | 39.07% | | | $151,565 | | | 1.14% | | | 1.14% | | | 1.10% | | | (0.66)% | | | 0% |
3/31/2020 | | | $9.72 | | | 0.07 | | | (2.78) | | | (2.71) | | | (0.10) | | | — | | | — | | | (0.10) | | | $6.91 | | | (28.25)% | | | $116,739 | | | 1.09% | | | 1.09% | | | 1.10% | | | 1.00% | | | 0% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 161
|
TABLE OF CONTENTS
| |
Financial Highlights (Cont.) |
DoubleLine Strategic Commodity Fund - Class N (Consolidated) |
9/30/2024(d) | | | $7.68 | | | 0.15 | | | (0.66) | | | (0.51) | | | — | | | — | | | — | | | — | | | $7.17 | | | (6.64)% | | | $10,528 | | | 1.36% | | | 1.36% | | | 1.35% | | | 3.99% | | | 0% |
3/31/2024 | | | $7.43 | | | 0.28 | | | 0.19 | | | 0.47 | | | (0.22) | | | — | | | — | | | (0.22) | | | $7.68 | | | 6.50% | | | $13,055 | | | 1.33% | | | 1.33% | | | 1.32% | | | 3.80% | | | 0% |
3/31/2023 | | | $12.42 | | | 0.04 | | | (1.44) | | | (1.40) | | | (3.59) | | | — | | | — | | | (3.59) | | | $7.43 | | | (12.02)% | | | $16,743 | | | 1.27% | | | 1.27% | | | 1.27% | | | 0.40% | | | 0% |
3/31/2022 | | | $9.52 | | | (0.13) | | | 4.35 | | | 4.22 | | | (1.32) | | | — | | | — | | | (1.32) | | | $12.42 | | | 47.78% | | | $23,906 | | | 1.29% | | | 1.29% | | | 1.35% | | | (1.22)% | | | 0% |
3/31/2021 | | | $6.87 | | | (0.07) | | | 2.72 | | | 2.65 | | | — | | | — | | | — | | | — | | | $9.52 | | | 38.57% | | | $20,205 | | | 1.39% | | | 1.39% | | | 1.34% | | | (0.88)% | | | 0% |
3/31/2020 | | | $9.65 | | | 0.07 | | | (2.78) | | | (2.71) | | | (0.07) | | | — | | | — | | | (0.07) | | | $6.87 | | | (28.28)% | | | $25,421 | | | 1.34% | | | 1.34% | | | 1.35% | | | 0.75% | | | 0% |
DoubleLine Global Bond Fund - Class I |
9/30/2024(d) | | | $8.39 | | | 0.13 | | | 0.28 | | | 0.41 | | | (0.09) | | | — | | | — | | | (0.09) | | | $8.71 | | | 4.85% | | | $149,871 | | | 0.62% | | | 0.62% | | | 0.62% | | | 3.03% | | | 65% |
3/31/2024 | | | $8.46 | | | 0.22 | | | (0.29) | | | (0.07) | | | — | | | — | | | — | | | — | | | $8.39 | | | (0.83)% | | | $144,005 | | | 0.59% | | | 0.59% | | | 0.60% | | | 2.61% | | | 49% |
3/31/2023 | | | $9.26 | | | 0.11 | | | (0.91) | | | (0.80) | | | — | | | — | | | — | | | — | | | $8.46 | | | (8.64)% | | | $144,457 | | | 0.66% | | | 0.66% | | | 0.65% | | | 1.26% | | | 112% |
3/31/2022 | | | $10.21 | | | 0.04 | | | (0.88) | | | (0.84) | | | (0.03) | | | (0.08) | | | —(f) | | | (0.11) | | | $9.26 | | | (8.29)% | | | $276,559 | | | 0.56% | | | 0.56% | | | 0.56% | | | 0.37% | | | 83% |
3/31/2021 | | | $10.21 | | | 0.05 | | | 0.12 | | | 0.17 | | | — | | | (0.17) | | | — | | | (0.17) | | | $10.21 | | | 1.59% | | | $787,064 | | | 0.55% | | | 0.55% | | | 0.55% | | | 0.50% | | | 63% |
3/31/2020 | | | $10.28 | | | 0.15 | | | (0.10) | | | 0.05 | | | (0.12) | | | —(f) | | | — | | | (0.12) | | | $10.21 | | | 0.43% | | | $1,217,100 | | | 0.55% | | | 0.55% | | | 0.55% | | | 1.34% | | | 21% |
DoubleLine Global Bond Fund - Class N |
9/30/2024(d) | | | $8.31 | | | 0.12 | | | 0.27 | | | 0.39 | | | (0.07) | | | — | | | — | | | (0.07) | | | $8.63 | | | 4.76% | | | $129 | | | 0.87% | | | 0.87% | | | 0.87% | | | 2.78% | | | 65% |
3/31/2024 | | | $8.41 | | | 0.19 | | | (0.29) | | | (0.10) | | | — | | | — | | | — | | | — | | | $8.31 | | | (1.19)% | | | $156 | | | 0.84% | | | 0.84% | | | 0.85% | | | 2.34% | | | 49% |
3/31/2023 | | | $9.23 | | | 0.08 | | | (0.90) | | | (0.82) | | | — | | | — | | | — | | | — | | | $8.41 | | | (8.88)% | | | $240 | | | 0.92% | | | 0.92% | | | 0.91% | | | 0.95% | | | 112% |
3/31/2022 | | | $10.18 | | | 0.01 | | | (0.87) | | | (0.86) | | | (0.01) | | | (0.08) | | | —(f) | | | (0.09) | | | $9.23 | | | (8.45)% | | | $416 | | | 0.81% | | | 0.81% | | | 0.81% | | | 0.12% | | | 83% |
3/31/2021 | | | $10.21 | | | 0.03 | | | 0.11 | | | 0.14 | | | — | | | (0.17) | | | — | | | (0.17) | | | $10.18 | | | 1.30% | | | $815 | | | 0.80% | | | 0.80% | | | 0.80% | | | 0.29% | | | 63% |
3/31/2020 | | | $10.26 | | | 0.12 | | | (0.10) | | | 0.02 | | | (0.07) | | | —(f) | | | — | | | (0.07) | | | $10.21 | | | 0.23% | | | $2,407 | | | 0.80% | | | 0.80% | | | 0.80% | | | 1.13% | | | 21% |
DoubleLine Infrastructure Income Fund - Class I |
9/30/2024(d) | | | $9.22 | | | 0.19 | | | 0.34 | | | 0.53 | | | (0.19) | | | — | | | — | | | (0.19) | | | $9.56 | | | 5.86% | | | $381,490 | | | 0.58% | | | 0.58% | | | 0.58% | | | 4.13% | | | 27% |
3/31/2024 | | | $9.05 | | | 0.34 | | | 0.16 | | | 0.50 | | | (0.33) | | | — | | | — | | | (0.33) | | | $9.22 | | | 5.68% | | | $358,912 | | | 0.57% | | | 0.57% | | | 0.57% | | | 3.72% | | | 49% |
3/31/2023 | | | $9.67 | | | 0.28 | | | (0.60) | | | (0.32) | | | (0.27) | | | (0.03) | | | — | | | (0.30) | | | $9.05 | | | (3.24)% | | | $346,227 | | | 0.57% | | | 0.57% | | | 0.57% | | | 3.02% | | | 8% |
3/31/2022 | | | $10.46 | | | 0.27 | | | (0.71) | | | (0.44) | | | (0.28) | | | (0.07) | | | — | | | (0.35) | | | $9.67 | | | (4.39)% | | | $521,889 | | | 0.57% | | | 0.57% | | | 0.57% | | | 2.63% | | | 23% |
3/31/2021 | | | $9.56 | | | 0.29 | | | 0.92 | | | 1.21 | | | (0.31) | | | — | | | — | | | (0.31) | | | $10.46 | | | 12.73% | | | $566,994 | | | 0.56% | | | 0.56% | | | 0.56% | | | 2.82% | | | 39% |
3/31/2020 | | | $10.11 | | | 0.33 | | | (0.54) | | | (0.21) | | | (0.34) | | | — | | | — | | | (0.34) | | | $9.56 | | | (2.32)% | | | $503,146 | | | 0.56% | | | 0.56% | | | 0.56% | | | 3.19% | | | 10% |
DoubleLine Infrastructure Income Fund - Class N |
9/30/2024(d) | | | $9.23 | | | 0.18 | | | 0.34 | | | 0.52 | | | (0.18) | | | — | | | — | | | (0.18) | | | $9.57 | | | 5.73% | | | $8,560 | | | 0.83% | | | 0.83% | | | 0.83% | | | 3.89% | | | 27% |
3/31/2024 | | | $9.06 | | | 0.33 | | | 0.15 | | | 0.48 | | | (0.31) | | | — | | | — | | | (0.31) | | | $9.23 | | | 5.42% | | | $6,971 | | | 0.83% | | | 0.83% | | | 0.83% | | | 3.60% | | | 49% |
3/31/2023 | | | $9.68 | | | 0.25 | | | (0.59) | | | (0.34) | | | (0.25) | | | (0.03) | | | — | | | (0.28) | | | $9.06 | | | (3.49)% | | | $601 | | | 0.82% | | | 0.82% | | | 0.82% | | | 2.74% | | | 8% |
3/31/2022 | | | $10.46 | | | 0.25 | | | (0.71) | | | (0.46) | | | (0.25) | | | (0.07) | | | — | | | (0.32) | | | $9.68 | | | (4.60)% | | | $1,794 | | | 0.82% | | | 0.82% | | | 0.82% | | | 2.38% | | | 23% |
3/31/2021 | | | $9.56 | | | 0.27 | | | 0.92 | | | 1.19 | | | (0.29) | | | — | | | — | | | (0.29) | | | $10.46 | | | 12.45% | | | $9,700 | | | 0.81% | | | 0.81% | | | 0.81% | | | 2.58% | | | 39% |
3/31/2020 | | | $10.11 | | | 0.30 | | | (0.54) | | | (0.24) | | | (0.31) | | | — | | | — | | | (0.31) | | | $9.56 | | | (2.55)% | | | $9,784 | | | 0.81% | | | 0.81% | | | 0.81% | | | 2.93% | | | 10% |
DoubleLine Shiller Enhanced International CAPE® - Class I |
9/30/2024(d) | | | $12.35 | | | 0.37 | | | 0.83 | | | 1.20 | | | (0.40) | | | — | | | — | | | (0.40) | | | $13.15 | | | 9.92% | | | $32,437 | | | 1.07% | | | 1.04% | | | 0.62% | | | 5.96% | | | 40% |
3/31/2024 | | | $12.01 | | | 0.62 | | | 0.39 | | | 1.01 | | | (0.67) | | | — | | | — | | | (0.67) | | | $12.35 | | | 8.88% | | | $36,996 | | | 0.92% | | | 0.89% | | | 0.62% | | | 5.23% | | | 85% |
3/31/2023 | | | $13.07 | | | 0.48 | | | (0.99) | | | (0.51) | | | (0.55) | | | — | | | — | | | (0.55) | | | $12.01 | | | (3.48)% | | | $45,489 | | | 0.93% | | | 0.89% | | | 0.61% | | | 4.17% | | | 91% |
3/31/2022 | | | $12.75 | | | 0.26 | | | 0.39 | | | 0.65 | | | (0.33) | | | — | | | — | | | (0.33) | | | $13.07 | | | 5.05% | | | $94,443 | | | 0.79% | | | 0.75% | | | 0.61% | | | 1.91% | | | 125% |
3/31/2021 | | | $7.88 | | | 0.21 | | | 4.88 | | | 5.09 | | | (0.22) | | | — | | | — | | | (0.22) | | | $12.75 | | | 65.24% | | | $40,292 | | | 0.93% | | | 0.91% | | | 0.62% | | | 1.96% | | | 97% |
3/31/2020 | | | $10.17 | | | 0.29 | | | (2.29) | | | (2.00) | | | (0.29) | | | — | | | — | | | (0.29) | | | $7.88 | | | (20.29)% | | | $27,523 | | | 0.80% | | | 0.77% | | | 0.62% | | | 2.84% | | | 48% |
DoubleLine Shiller Enhanced International CAPE® - Class N |
9/30/2024(d) | | | $12.35 | | | 0.34 | | | 0.84 | | | 1.18 | | | (0.38) | | | — | | | — | | | (0.38) | | | $13.15 | | | 9.76% | | | $3,981 | | | 1.30% | | | 1.27% | | | 0.87% | | | 5.53% | | | 40% |
3/31/2024 | | | $12.01 | | | 0.58 | | | 0.40 | | | 0.98 | | | (0.64) | | | — | | | — | | | (0.64) | | | $12.35 | | | 8.59% | | | $9,116 | | | 1.17% | | | 1.14% | | | 0.87% | | | 4.88% | | | 85% |
3/31/2023 | | | $13.07 | | | 0.47 | | | (1.01) | | | (0.54) | | | (0.52) | | | — | | | — | | | (0.52) | | | $12.01 | | | (3.73)% | | | $9,111 | | | 1.20% | | | 1.16% | | | 0.86% | | | 4.13% | | | 91% |
3/31/2022 | | | $12.76 | | | 0.22 | | | 0.39 | | | 0.61 | | | (0.30) | | | — | | | — | | | (0.30) | | | $13.07 | | | 4.70% | | | $6,011 | | | 1.03% | | | 0.99% | | | 0.86% | | | 1.59% | | | 125% |
3/31/2021 | | | $7.88 | | | 0.19 | | | 4.88 | | | 5.07 | | | (0.19) | | | — | | | — | | | (0.19) | | | $12.76 | | | 64.90% | | | $6,002 | | | 1.18% | | | 1.16% | | | 0.87% | | | 1.85% | | | 97% |
3/31/2020 | | | $10.17 | | | 0.27 | | | (2.29) | | | (2.02) | | | (0.27) | | | — | | | — | | | (0.27) | | | $7.88 | | | (20.50)% | | | $13,044 | | | 1.05% | | | 1.02% | | | 0.87% | | | 2.61% | | | 48% |
DoubleLine Emerging Markets Local Currency Bond Fund - Class I |
9/30/2024(d) | | | $8.69 | | | 0.26 | | | 0.22 | | | 0.48 | | | (0.19) | | | — | | | — | | | (0.19) | | | $8.98 | | | 5.58% | | | $12,042 | | | 2.09% | | | 2.09% | | | 0.90% | | | 5.89% | | | 15% |
3/31/2024 | | | $8.55 | | | 0.46 | | | (0.02) | | | 0.44 | | | (0.30) | | | — | | | — | | | (0.30) | | | $8.69 | | | 5.21% | | | $11,675 | | | 2.34% | | | 2.34% | | | 0.90% | | | 5.32% | | | 31% |
3/31/2023 | | | $8.91 | | | 0.35 | | | (0.54) | | | (0.19) | | | (0.17) | | | — | | | — | | | (0.17) | | | $8.55 | | | (1.92)% | | | $9,423 | | | 2.45% | | | 2.45% | | | 0.90% | | | 4.21% | | | 20% |
3/31/2022 | | | $9.38 | | | 0.32 | | | (0.68) | | | (0.36) | | | (0.11) | | | — | | | — | | | (0.11) | | | $8.91 | | | (3.90)% | | | $9,238 | | | 2.75% | | | 2.75% | | | 0.90% | | | 3.51% | | | 36% |
3/31/2021 | | | $8.64 | | | 0.30 | | | 0.61 | | | 0.91 | | | (0.17) | | | — | | | — | | | (0.17) | | | $9.38 | | | 10.60% | | | $9,604 | | | 2.57% | | | 2.57% | | | 0.90% | | | 3.11% | | | 20% |
3/31/2020(g) | | | $10.00 | | | 0.25 | | | (1.49) | | | (1.24) | | | (0.12) | | | — | | | — | | | (0.12) | | | $8.64 | | | (12.52)% | | | $8,664 | | | 6.23% | | | 6.23% | | | 0.90% | | | 3.45% | | | 13% |
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162
| DoubleLine Funds Trust
| The accompanying notes are an integral part of these financial statements. |
TABLE OF CONTENTS
DoubleLine Emerging Markets Local Currency Bond Fund - Class N |
9/30/2024(d) | | | $8.68 | | | 0.24 | | | 0.22 | | | 0.46 | | | (0.18) | | | — | | | — | | | (0.18) | | | $8.96 | | | 5.34% | | | $891 | | | 2.36% | | | 2.36% | | | 1.15% | | | 5.62% | | | 15% |
3/31/2024 | | | $8.53 | | | 0.45 | | | (0.02) | | | 0.43 | | | (0.28) | | | — | | | — | | | (0.28) | | | $8.68 | | | 5.10% | | | $960 | | | 2.70% | | | 2.70% | | | 1.15% | | | 5.16% | | | 31% |
3/31/2023 | | | $8.90 | | | 0.33 | | | (0.54) | | | (0.21) | | | (0.16) | | | — | | | — | | | (0.16) | | | $8.53 | | | (2.21)% | | | $209 | | | 2.66% | | | 2.66% | | | 1.15% | | | 3.99% | | | 20% |
3/31/2022 | | | $9.37 | | | 0.30 | | | (0.68) | | | (0.38) | | | (0.09) | | | — | | | — | | | (0.09) | | | $8.90 | | | (4.08)% | | | $127 | | | 2.90% | | | 2.90% | | | 1.15% | | | 3.27% | | | 36% |
3/31/2021 | | | $8.64 | | | 0.27 | | | 0.61 | | | 0.88 | | | (0.15) | | | — | | | — | | | (0.15) | | | $9.37 | | | 10.24% | | | $96 | | | 2.82% | | | 2.82% | | | 1.15% | | | 2.86% | | | 20% |
3/31/2020(g) | | | $10.00 | | | 0.23 | | | (1.49) | | | (1.26) | | | (0.10) | | | — | | | — | | | (0.10) | | | $8.64 | | | (12.69)% | | | $87 | | | 6.48% | | | 6.48% | | | 1.15% | | | 3.19% | | | 13% |
DoubleLine Income Fund - Class I |
9/30/2024(d) | | | $7.80 | | | 0.25 | | | 0.15 | | | 0.40 | | | (0.25) | | | — | | | — | | | (0.25) | | | $7.95 | | | 5.16% | | | $94,107 | | | 0.77% | | | 0.77% | | | 0.65% | | | 6.27% | | | 15% |
3/31/2024 | | | $7.53 | | | 0.46 | | | 0.38 | | | 0.84 | | | (0.57) | | | — | | | — | | | (0.57) | | | $7.80 | | | 11.67% | | | $79,772 | | | 0.88% | | | 0.88% | | | 0.65% | | | 6.13% | | | 66% |
3/31/2023 | | | $8.62 | | | 0.40 | | | (1.09) | | | (0.69) | | | (0.40) | | | — | | | — | | | (0.40) | | | $7.53 | | | (8.10)% | | | $50,732 | | | 0.83% | | | 0.83% | | | 0.65% | | | 5.01% | | | 23% |
3/31/2022 | | | $9.28 | | | 0.42 | | | (0.63) | | | (0.21) | | | (0.44) | | | — | | | (0.01) | | | (0.45) | | | $8.62 | | | (2.42)% | | | $89,732 | | | 0.72% | | | 0.72% | | | 0.65% | | | 4.55% | | | 14% |
3/31/2021 | | | $8.05 | | | 0.36 | | | 1.20 | | | 1.56 | | | (0.33) | | | — | | | — | | | (0.33) | | | $9.28 | | | 19.70% | | | $136,369 | | | 0.74% | | | 0.74% | | | 0.65% | | | 4.07% | | | 30% |
3/31/2020(h) | | | $10.00 | | | 0.24 | | | (1.94) | | | (1.70) | | | (0.25) | | | — | | | — | | | (0.25) | | | $8.05 | | | (17.35)% | | | $69,580 | | | 1.13% | | | 1.13% | | | 0.65% | | | 4.07% | | | 33% |
DoubleLine Income Fund - Class N |
9/30/2024(d) | | | $7.81 | | | 0.24 | | | 0.16 | | | 0.40 | | | (0.24) | | | — | | | — | | | (0.24) | | | $7.97 | | | 5.16% | | | $8,411 | | | 1.02% | | | 1.02% | | | 0.90% | | | 6.09% | | | 15% |
3/31/2024 | | | $7.54 | | | 0.45 | | | 0.37 | | | 0.82 | | | (0.55) | | | — | | | — | | | (0.55) | | | $7.81 | | | 11.38% | | | $3,984 | | | 1.13% | | | 1.13% | | | 0.90% | | | 5.92% | | | 66% |
3/31/2023 | | | $8.63 | | | 0.38 | | | (1.09) | | | (0.71) | | | (0.38) | | | — | | | — | | | (0.38) | | | $7.54 | | | (8.35)% | | | $3,194 | | | 1.08% | | | 1.08% | | | 0.90% | | | 4.73% | | | 23% |
3/31/2022 | | | $9.30 | | | 0.39 | | | (0.63) | | | (0.24) | | | (0.42) | | | — | | | (0.01) | | | (0.43) | | | $8.63 | | | (2.75)% | | | $12,838 | | | 1.03% | | | 1.03% | | | 0.90% | | | 4.30% | | | 14% |
3/31/2021 | | | $8.05 | | | 0.34 | | | 1.22 | | | 1.56 | | | (0.31) | | | — | | | — | | | (0.31) | | | $9.30 | | | 19.67% | | | $2,676 | | | 0.99% | | | 0.99% | | | 0.90% | | | 3.84% | | | 30% |
3/31/2020(h) | | | $10.00 | | | 0.23 | | | (1.94) | | | (1.71) | | | (0.24) | | | — | | | — | | | (0.24) | | | $8.05 | | | (17.46)% | | | $592 | | | 1.26% | | | 1.26% | | | 0.90% | | | 4.13% | | | 33% |
DoubleLine Multi-Asset Trend Fund - Class I (Consolidated) |
9/30/2024(d) | | | $8.09 | | | 0.21 | | | (0.38) | | | (0.17) | | | (0.20) | | | — | | | — | | | (0.20) | | | $7.72 | | | (2.12)% | | | $11,770 | | | 1.76% | | | 1.44% | | | 0.33% | | | 5.28% | | | 10% |
3/31/2024 | | | $7.98 | | | 0.41 | | | 0.08 | | | 0.49 | | | (0.38) | | | — | | | — | | | (0.38) | | | $8.09 | | | 6.37% | | | $12,996 | | | 1.41% | | | 1.11% | | | 0.34% | | | 5.23% | | | 17% |
3/31/2023 | | | $10.56 | | | 0.29 | | | (1.25) | | | (0.96) | | | (1.62) | | | — | | | — | | | (1.62) | | | $7.98 | | | (10.67)% | | | $12,849 | | | 2.14% | | | 1.87% | | | 0.38% | | | 3.21% | | | 119% |
3/31/2022 | | | $9.87 | | | 0.17 | | | 0.73 | | | 0.90 | | | (0.20) | | | (0.01) | | | — | | | (0.21) | | | $10.56 | | | 9.12% | | | $13,761 | | | 5.51% | | | 5.21% | | | 0.35% | | | 1.68% | | | 183% |
3/31/2021(i) | | | $10.00 | | | 0.01 | | | (0.13) | | | (0.12) | | | (0.01) | | | — | | | — | | | (0.01) | | | $9.87 | | | (1.15)% | | | $10,547 | | | 11.70% | | | 11.39% | | | 0.34% | | | 1.61% | | | 0% |
DoubleLine Multi-Asset Trend Fund - Class N (Consolidated) |
9/30/2024(d) | | | $8.09 | | | 0.20 | | | (0.38) | | | (0.18) | | | (0.19) | | | — | | | — | | | (0.19) | | | $7.72 | | | (2.25)% | | | $198 | | | 2.01% | | | 1.69% | | | 0.58% | | | 5.01% | | | 10% |
3/31/2024 | | | $7.99 | | | 0.38 | | | 0.08 | | | 0.46 | | | (0.36) | | | — | | | — | | | (0.36) | | | $8.09 | | | 5.97% | | | $226 | | | 1.64% | | | 1.34% | | | 0.57% | | | 4.84% | | | 17% |
3/31/2023 | | | $10.56 | | | 0.27 | | | (1.24) | | | (0.97) | | | (1.60) | | | — | | | — | | | (1.60) | | | $7.99 | | | (10.78)% | | | $365 | | | 2.43% | | | 2.17% | | | 0.64% | | | 2.98% | | | 119% |
3/31/2022 | | | $9.87 | | | 0.14 | | | 0.73 | | | 0.87 | | | (0.17) | | | (0.01) | | | — | | | (0.18) | | | $10.56 | | | 8.85% | | | $205 | | | 6.04% | | | 5.74% | | | 0.60% | | | 1.33% | | | 183% |
3/31/2021(i) | | | $10.00 | | | 0.01 | | | (0.13) | | | (0.12) | | | (0.01) | | | — | | | — | | | (0.01) | | | $9.87 | | | (1.17)% | | | $130 | | | 12.06% | | | 11.75% | | | 0.58% | | | 1.52% | | | 0% |
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(a)
Calculated based on average shares outstanding during the period.
(b)
Not annualized for periods less than one year.
(c)
Annualized for periods less than one year.
(d)
Unaudited
(e)
Commencement of operations on July 31, 2019. Total return is based on operations for a period that is less than a year.
(f)
Less than $0.005 per share.
(g)
Commencement of operations on June 28, 2019. Total return is based on operations for a period that is less than a year.
(h)
Commencement of operations on September 3, 2019. Total return is based on operations for a period that is less than a year.
(i)
Commencement of operations on February 26, 2021. Total return is based on operations for a period that is less than a year.
The accompanying notes are an integral part of these financial statements.
| | | Semi-Annual Report | | | September 30, 2024 | | | 163
|
TABLE OF CONTENTS
| | | | |
Notes to Financial Statements | | | (Unaudited)
September 30, 2024 |
1. Organization
DoubleLine Funds Trust, a Delaware statutory trust (the “Trust”), is an open-end investment management company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust consists of 17 funds, the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Low Duration Bond Fund, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund, DoubleLine Low Duration Emerging Markets Fixed Income Fund, DoubleLine Long Duration Total Return Bond Fund, DoubleLine Strategic Commodity Fund, DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Shiller Enhanced International CAPE®, DoubleLine Emerging Markets Local Currency Bond Fund, DoubleLine Income Fund and DoubleLine Multi- Asset Trend Fund (each, a “Fund” and, collectively, the “Funds”), along with DoubleLine Selective Credit Fund. For financial information related to the DoubleLine Selective Credit Fund, please refer to the DoubleLine Selective Credit Fund’s separate semi-annual report.
Each Fund is classified as a diversified fund under the 1940 Act, except the DoubleLine Global Bond Fund and the DoubleLine Emerging Markets Local Currency Bond Fund, which are classified as non-diversified funds. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund’s total assets is not subject to this limitation.
The Funds’ investment objectives and dates each share class commenced operations are as follows:
| | | | | | | |
DoubleLine Total Return Bond Fund | | | Maximize total return | | | 4/6/2010 | | | 4/6/2010 | | | 7/31/2019 |
DoubleLine Core Fixed Income Fund | | | Maximize current income and total return | | | 6/1/2010 | | | 6/1/2010 | | | 7/31/2019 |
DoubleLine Emerging Markets Fixed Income Fund | | | Seek high total return from current income and capital appreciation | | | 4/6/2010 | | | 4/6/2010 | | | — |
DoubleLine Low Duration Bond Fund | | | Seek current income | | | 9/30/2011 | | | 9/30/2011 | | | 7/31/2019 |
DoubleLine Floating Rate Fund | | | Seek a high level of current income | | | 2/1/2013 | | | 2/1/2013 | | | — |
DoubleLine Shiller Enhanced CAPE® | | | Seek total return which exceeds the total return of its benchmark index over a full market cycle | | | 10/31/2013 | | | 10/31/2013 | | | 7/31/2019 |
DoubleLine Flexible Income Fund | | | Seek long-term total return while striving to generate current income | | | 4/7/2014 | | | 4/7/2014 | | | 7/31/2019 |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | Seek long-term total return | | | 4/7/2014 | | | 4/7/2014 | | | — |
DoubleLine Long Duration Total Return Bond Fund | | | Seek long-term total return | | | 12/15/2014 | | | 12/15/2014 | | | — |
DoubleLine Strategic Commodity Fund (Consolidated) | | | Seek long-term total return | | | 5/18/2015 | | | 5/18/2015 | | | — |
DoubleLine Global Bond Fund | | | Seek long-term total return | | | 12/17/2015 | | | 12/17/2015 | | | — |
DoubleLine Infrastructure Income Fund | | | Seek long-term total return while striving to generate current income | | | 4/1/2016 | | | 4/1/2016 | | | — |
DoubleLine Shiller Enhanced International CAPE® | | | Seek total return which exceeds the total return of its benchmark index over a full market cycle | | | 12/23/2016 | | | 12/23/2016 | | | — |
DoubleLine Emerging Markets Local Currency Bond Fund | | | Seek high total return from current income and capital appreciation | | | 6/28/2019 | | | 6/28/2019 | | | — |
DoubleLine Income Fund | | | Maximize total return through investment principally in income-producing securities | | | 9/3/2019 | | | 9/3/2019 | | | — |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | Seek total return (capital appreciation and current income) which exceeds the total return of its benchmark index over a full market cycle | | | 2/26/2021 | | | 2/26/2021 | | | — |
| | | | | | | | | | | | | |
The fiscal year end for the Funds is March 31, and the period covered by these financial statements is for the six months ended September 30, 2024 (the “period end”).
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2. Significant Accounting Policies
Each Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, “Financial Services – Investment Companies”, by the Financial Accounting Standards Board (“FASB”). The following is a summary of the significant accounting policies of the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).
A. Security Valuation. The Funds have adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
| • | Level 1—Unadjusted quoted market prices in active markets for identical securities |
| • | Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data |
| • | Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions) |
Valuations for domestic and foreign fixed income securities are normally determined on the basis of evaluations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Funds are authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.
| | | | |
All | | | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among data (collectively referred to as “standard inputs”) comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference |
Corporate bonds and notes; convertible securities | | | Standard inputs and underlying equity of the issuer |
US bonds and notes of government and government agencies | | | Standard inputs |
Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) | | | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports |
Bank loans | | | Standard inputs |
| | | | |
Investments in registered open-end management investment companies will be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy.
Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of valuations obtained from counterparties, published index closing levels or evaluated prices supplied by independent pricing services, some or all of which may be based on market data from trading on exchanges that closed significantly before the time as of which a Fund calculates its NAV. Forward foreign currency contracts are generally valued based on rates provided by independent data providers. Exchange traded futures and options on futures are generally valued at the settlement price determined by the relevant exchange on which they principally trade, and exchange traded options are generally valued at the last trade price on the exchange on which they principally trade. A Fund does not normally take into account trading, clearances or settlements that take place after the close of the principal exchange or market on which such securities are traded. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as
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simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
The Board of Trustees (the “Board”) has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating each Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, each Fund has designated its primary investment, either DoubleLine Capital LP (“DoubleLine Capital”) or DoubleLine Alternatives LP (“DoubleLine Alternatives”) (each, an “Adviser” and collectively, the “Advisers”), as applicable, as the “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. Each Adviser, as Valuation Designee, is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.
The following is a summary of the fair valuations according to the inputs used to value the Funds’ investments as of September 30, 2024:
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | |
Short Term Investments | | | $2,022,550,445 | | | $294,216,524 | | | $3,834,667 | | | $129,456,365 | | | $14,130,242 | | | $127,923,396 | |
Affiliated Mutual Funds | | | — | | | 462,182,836 | | | — | | | — | | | — | | | — | |
Warrants | | | — | | | 11,421 | | | — | | | — | | | — | | | — | |
Total Level 1 | | | 2,022,550,445 | | | 756,410,781 | | | 3,834,667 | | | 129,456,365 | | | 14,130,242 | | | 127,923,396 | |
Level 2 | | | | | | | | | | | | | | | | | | | |
US Government and Agency Mortgage Backed Obligations | | | 15,481,013,202 | | | 1,419,043,452 | | | — | | | 174,603,410 | | | — | | | 102,210,364 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 7,422,891,126 | | | 747,293,397 | | | — | | | 726,038,926 | | | — | | | 416,464,587 | |
Non-Agency Commercial Mortgage Backed Obligations | | | 2,199,986,742 | | | 379,032,101 | | | — | | | 897,828,764 | | | — | | | 470,144,249 | |
Asset Backed Obligations | | | 1,423,624,309 | | | 242,296,363 | | | — | | | 418,373,908 | | | — | | | 291,705,217 | |
Collateralized Loan Obligations | | | 1,413,006,462 | | | 230,497,615 | | | — | | | 805,933,532 | | | 5,028,382 | | | 517,917,544 | |
US Government and Agency Obligations | | | 1,076,103,226 | | | 1,249,261,845 | | | — | | | 1,499,138,074 | | | — | | | 1,106,776,381 | |
US Corporate Bonds | | | — | | | 1,084,877,354 | | | — | | | 404,743,962 | | | 7,793,821 | | | 256,190,210 | |
Foreign Corporate Bonds | | | — | | | 391,763,250 | | | 351,302,290 | | | 497,835,152 | | | 361,047 | | | 203,141,391 | |
Bank Loans | | | — | | | 216,813,276 | | | — | | | 145,678,725 | | | 151,199,634 | | | 160,837,467 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | — | | | 57,818,513 | | | 96,434,385 | | | 106,101,662 | | | — | | | 31,688,324 | |
Short Term Investments | | | — | | | 50,000,000 | | | — | | | — | | | — | | | — | |
Total Level 2 | | | 29,016,625,067 | | | 6,068,697,166 | | | 447,736,675 | | | 5,676,276,115 | | | 164,382,884 | | | 3,557,075,734 | |
Level 3 | | | | | | | | | | | | | | | | | | | |
US Government and Agency Mortgage Backed Obligations | | | 110,142,819 | | | — | | | — | | | — | | | — | | | — | |
Asset Backed Obligations | | | 28,948,729 | | | 6,537,279 | | | — | | | 17,187,264 | | | — | | | — | |
Foreign Corporate Bonds | | | — | | | 504,270 | | | 224,028 | | | 432,130 | | | — | | | 202,327 | |
Bank Loans | | | — | | | 480,491 | | | — | | | — | | | 384,769 | | | — | |
Common Stocks | | | — | | | 195,922 | | | — | | | — | | | 115,140 | | | 47,771 | |
Total Level 3 | | | 139,091,548 | | | 7,717,962 | | | 224,028 | | | 17,619,394 | | | 499,909 | | | 250,098 | |
Total | | | $31,178,267,060 | | | $6,832,825,909 | | | $451,795,370 | | | $5,823,351,874 | | | $179,013,035 | | | $3,685,249,228 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $(9,162,356) | | | $6,079,957 | | | $— | | | $— | | | $— | | | $— | |
Total Level 1 | | | (9,162,356) | | | 6,079,957 | | | — | | | — | | | — | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | — | | | — | | | — | | | — | | | — | | | 324,571,138 | |
Total Level 2 | | | — | | | — | | | — | | | — | | | — | | | 324,571,138 | |
Level 3 | | | — | | | — | | | — | | | — | | | — | | | — | |
Total | | | $(9,162,356) | | | $6,079,957 | | | $— | | | $— | | | $— | | | $324,571,138 | |
| | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | |
Short Term Investments | | | $66,608,133 | | | $44,932 | | | $6,884,564 | | | $5,471,910 | | | $829,310 | | | $8,259,934 | |
Warrants | | | 1,288 | | | — | | | — | | | — | | | — | | | — | |
Total Level 1 | | | 66,609,421 | | | 44,932 | | | 6,884,564 | | | 5,471,910 | | | 829,310 | | | 8,259,934 | |
Level 2 | | | | | | | | | | | | | | | | | | | |
Collateralized Loan Obligations | | | 190,302,459 | | | — | | | — | | | — | | | — | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 174,721,170 | | | — | | | — | | | — | | | — | | | — | |
US Government and Agency Mortgage Backed Obligations | | | 117,729,071 | | | — | | | 47,903,993 | | | — | | | — | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 104,487,329 | | | — | | | — | | | — | | | — | | | — | |
Bank Loans | | | 102,543,131 | | | — | | | — | | | — | | | — | | | — | |
US Government and Agency Obligations | | | 99,147,679 | | | — | | | 4,258,237 | | | — | | | 52,239,835 | | | 36,618,649 | |
Short Term Investments | | | 79,160,809 | | | — | | | 16,757,750 | | | 124,085,077 | | | — | | | — | |
Foreign Corporate Bonds | | | 54,804,170 | | | 127,346,353 | | | — | | | — | | | — | | | 32,247,666 | |
Asset Backed Obligations | | | 50,813,549 | | | — | | | — | | | — | | | — | | | 141,042,495 | |
US Corporate Bonds | | | 44,503,867 | | | — | | | — | | | — | | | — | | | 154,585,971 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 13,388,431 | | | 29,372,560 | | | — | | | — | | | 95,258,640 | | | 6,579,404 | |
Total Level 2 | | | 1,031,601,665 | | | 156,718,913 | | | 68,919,980 | | | 124,085,077 | | | 147,498,475 | | | 371,074,185 | |
Level 3 | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | 105,062 | | | — | | | — | | | — | | | — | | | — | |
Asset Backed Obligations | | | 64,163 | | | — | | | — | | | — | | | — | | | — | |
Common Stocks | | | 48,290 | | | — | | | — | | | — | | | — | | | — | |
Foreign Corporate Bonds | | | 30,677 | | | 90,713 | | | — | | | — | | | — | | | 2,881,549 | |
US Corporate Bonds | | | — | | | — | | | — | | | — | | | — | | | 5,409,500 | |
Total Level 3 | | | 248,192 | | | 90,713 | | | — | | | — | | | — | | | 8,291,049 | |
Total | | | $1,098,459,278 | | | $156,854,558 | | | $75,804,544 | | | $129,556,987 | | | $148,327,785 | | | $387,625,168 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $— | | | $— | | | $(403,212) | | | $— | | | $— | | | $— | |
Total Level 1 | | | — | | | — | | | (403,212) | | | — | | | — | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contrats | | | — | | | — | | | — | | | — | | | 24,231 | | | | |
Excess Return Swaps | | | — | | | — | | | — | | | 1,346,171 | | | — | | | — | |
Total Level 2 | | | — | | | — | | | — | | | 1,346,171 | | | 24,231 | | | — | |
Level 3 | | | — | | | — | | | — | | | — | | | — | | | — | |
Total | | | $— | | | $— | | | $(403,212) | | | $1,346,171 | | | $24,231 | | | $— | |
| | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | |
Affiliated Mutual Funds | | | $1,639,049 | | | $— | | | $— | | | $10,000,215 | |
Short Term Investments | | | 2,267,082 | | | 194,502 | | | 1,642,226 | | | 1,033,749 | |
Total Level 1 | | | 3,906,131 | | | 194,502 | | | 1,642,226 | | | 11,033,964 | |
Level 2 | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 5,595,143 | | | — | | | 29,971,509 | | | — | |
US Government and Agency Obligations | | | 5,385,942 | | | — | | | — | | | 792,930 | |
Collateralized Loan Obligations | | | 5,245,225 | | | — | | | 22,157,558 | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 4,517,395 | | | — | | | 22,428,660 | | | — | |
Asset Backed Obligations | | | 2,604,965 | | | — | | | 8,852,885 | | | — | |
US Corporate Bonds | | | 2,563,479 | | | — | | | — | | | — | |
Foreign Corporate Bonds | | | 1,456,690 | | | 2,539,003 | | | — | | | — | |
US Government and Agency Mortgage Backed Obligations | | | 1,351,897 | | | — | | | 16,711,100 | | | — | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 385,149 | | | 10,020,389 | | | — | | | — | |
Total Level 2 | | | 29,105,885 | | | 12,559,392 | | | 100,121,712 | | | 792,930 | |
Level 3 | | | — | | | — | | | — | | | — | |
Total | | | $33,012,016 | | | $12,753,894 | | | $101,763,938 | | | $11,826,894 | |
Other Financial Instruments | | | | | | | | | | | | | |
Level 1 | | | $— | | | $— | | | $— | | | $— | |
Level 2 | | | | | | | | | | | | | |
Excess Return Swaps | | | 2,421,411 | | | — | | | — | | | (294,014) | |
Forward Currency Exchange Contracts | | | 865,605 | | | — | | | — | | | — | |
Total Level 2 | | | 3,287,016 | | | — | | | — | | | (294,014) | |
Level 3 | | | — | | | — | | | — | | | — | |
Total | | | $3,287,016 | | | $— | | | $— | | | $(294,014) | |
| | | | | | | | | | | | | | |
See the Schedules of Investments for further disaggregation of investment categories.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
US Corporate Bonds | $ — | | | $— | | | $409,500 | | | $— | | | $5,000,000 | | | $— | | | $— | | | $ — | | | $5,409,500 | | | $— | |
Foreign Corporate Bonds | 1,969,965 | | | (254) | | | 69,947 | | | (373) | | | — | | | (48,981) | | | 891,245 | | | — | | | 2,881,549 | | | 68,828 | |
Total | $1,969,965 | | | $ (254) | | | $479,447 | | | $ (373) | | | $5,000,000 | | | $(48,981) | | | $891,245 | | | $— | | | $8,291,049 | | | $ 68,828 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(a)
| Purchases include all purchases of securities, payups and corporate actions. |
(b)
| Sales include all sales of securities, maturities, and paydowns. |
(c)
| Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at September 30, 2024 may be due to a security that was not held or categorized as Level 3 at either period end. |
(d)
| Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments. |
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The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| | | | | | | | | | | | | | | | | |
US Corporate Bonds | | | $5,409,500 | | | Market
Comparables | | | Market
Quotes | | | $108.19 ($108.19) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | |
Foreign Corporate Bonds | | | $2,881,549 | | | Market
Comparables | | | Market
Quotes | | | $95.50 - $101.75 ($99.82) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | |
| | | | | | | | | | | | | | | | | |
(e)
| Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Federal Income Taxes. Each Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all of its taxable income to its shareholders and otherwise comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies. Therefore, no provision for U.S. federal income taxes has been made.
The Funds may be subject to a nondeductible 4% excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains.
The Funds have adopted financial reporting rules that require the Funds to analyze all open tax years, as defined by the applicable statute of limitations, for all major jurisdictions. Open tax years 2021-2023 (Federal) and 2020-2023 (CA/DE/FL) for the Funds, are those that are open for exam by taxing authorities to the extent that each Fund operated within those respective tax years. As of September 30, 2024, the Funds have no examinations in progress.
Management has analyzed the Funds’ tax positions, and has concluded that no liability should be recorded related to uncertain tax positions expected to be taken on the tax return for the fiscal year ended March 31, 2024. The Funds identify their major tax jurisdictions as U.S. Federal, the State of Delaware and the State of Florida. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Each Fund’s tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances.
C. Security Transactions, Investment Income. Investment securities transactions are accounted for on trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Interest income, including non-cash interest, is recorded on an accrual basis. Discounts/premiums on debt securities purchased, which may include residual and subordinate notes, are accreted/amortized over the life of the respective securities using the effective interest method except for certain deep discount bonds where management does not expect the par value above the bond’s cost to be fully realized. Dividend income and corporate action transactions, if any, are recorded on the ex-date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of securities received. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statements of Operations. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income on the Statements of Operations.
D. Foreign Currency Translation. The Funds’ books and records are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation. Investment securities transactions, income and expense items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not isolate changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments.
E. Dividends and Distributions to Shareholders. With the exception of the DoubleLine Strategic Commodity Fund, the DoubleLine Global Bond Fund and the DoubleLine Emerging Markets Local Currency Bond Fund, dividends from net investment income will be declared and paid monthly. Dividends from the net investment income of the DoubleLine Global Bond Fund and the DoubleLine Emerging Markets Local Currency Bond Fund will be declared and paid quarterly. Dividends from the net investment income of the DoubleLine Strategic Commodity Fund will be declared and paid annually. The Funds will distribute any net realized long or short- term capital gains at least annually. Distributions are recorded on the ex-dividend date.
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Income and capital gain distributions are determined in accordance with income tax regulations which may differ from US GAAP. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed (accumulated) net investment income (loss), and/or undistributed (accumulated) realized gain (loss).
Undistributed (accumulated) net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year end is distributed in the following year.
Distributions from investment companies will be classified as investment income or realized gains in the Statements of Operations based on the U.S. income tax characteristics of the distribution if such information is available. In cases where the tax characteristics are not available, such distributions are generally classified as investment income.
F. Use of Estimates. The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates.
G. Share Valuation. The NAV per share of a class of shares of a Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, attributable to that class, minus all liabilities (including estimated accrued expenses), attributable to that class by the total number of shares of that class outstanding, rounded to the nearest cent. The Funds’ NAV is typically calculated on days when the New York Stock Exchange opens for regular trading.
H. Unfunded Loan Commitments. The Funds may enter into certain credit agreements, of which all or a portion may be unfunded. The Funds are obligated to fund these commitments at the borrower’s discretion.
When unfunded loan commitments are outstanding at the end of the period, the Funds maintain with their custodian liquid investments having an aggregate value at least equal to the par value of their respective unfunded loan commitments and bridge loans.
As of September 30, 2024, there were no unfunded loan commitments outstanding by the Funds.
I. Guarantees and Indemnifications. Under the Trust’s organizational documents, each Trustee and officer of the Funds is indemnified, to the extent permitted by the 1940 Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.
J. Basis for Consolidation. The DoubleLine Strategic Commodity Fund and the DoubleLine Multi-Asset Trend Fund may invest up to 25% of their total assets in the DoubleLine Strategic Commodity, Ltd. and the DoubleLine Multi-Asset Trend Fund, Ltd. (each, a “Subsidiary” and, collectively, the “Subsidiaries”), respectively. The Subsidiaries, which are organized under the laws of the Cayman Islands, are wholly-owned and controlled by each respective Fund. Each Subsidiary invests in commodity-related investments and other investments. The consolidated financial statements include the accounts and balances of each Fund and its respective Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
As of September 30, 2024, the relationship of the Subsidiary to each respective Fund was as follows:
| | | | | | | | |
Commencement of Operations | | | 5/18/2015 | | | 2/26/2021 | |
Fund Net Assets | | | $127,911,413 | | | $11,968,007 | |
Subsidiary % of Fund Net Assets | | | 22.79% | | | 9.87% | |
Subsidiary Financial Statement Information | | | | | | | |
Net Assets | | | $29,150,539 | | | $1,181,555 | |
Total Income | | | 815,218 | | | 27,344 | |
Net Realized Gain/(Loss) | | | (8,850,926) | | | (628,983) | |
| | | | | | | | |
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K. Other. Each share class of a Fund is charged for those expenses that are directly attributable to that share class. Expenses that are not directly attributable to a Fund are allocated among all appropriate Funds in proportion to their respective net assets or in such a manner as the Funds’ Board may in its sole discretion consider fair and equitable to each Fund. Investment income, Fund expenses which are not class-specific, and realized and unrealized gains and losses are allocated directly to each class based upon the relative net assets of the classes.
3. Related and Other Party Transactions
The Advisers provide the Funds with investment management services under Investment Management Agreements (the “Agreements”). Under the Agreements, each Adviser manages the investment of the assets of the applicable Fund, places orders for the purchase and sale of its portfolio securities and is responsible for providing certain resources to assist with the day-to-day management of the Trust’s business affairs. As compensation for its services, each Adviser is entitled to a monthly fee at the annual rates of the average daily net assets of the Funds (the “Advisory Fee”) in the following table. Each Adviser has arrangements with DoubleLine Group LP to provide personnel and other resources to the Funds. On February 18, 2021, DoubleLine Alternatives, the investment adviser of the DoubleLine Multi-Asset Trend Fund, engaged DoubleLine Capital to serve as sub-adviser to the DoubleLine Multi-Asset Trend Fund to manage its investment in debt instruments. Effective as of July 29, 2022, DoubleLine Alternatives became the investment adviser to DoubleLine Shiller Enhanced CAPE® and DoubleLine Capital became the sub-adviser to the Fund. Prior to July 29, 2022, DoubleLine Capital was the sole investment adviser to DoubleLine Shiller Enhanced CAPE®.
Each Adviser has contractually agreed to limit certain of the Funds’ ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed the following ratios (the “Expense Caps”). For the purposes of the expense limitation agreement between each Adviser and the applicable Funds, “ordinary operating expenses” excludes taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, acquired fund fees and expenses, and any extraordinary expenses. Each applicable Fund’s expense limitation is expected to apply until at least August 1, 2025. Each applicable expense limitation may be terminated during the term only by a majority vote of the disinterested Trustees of the Board.
| | | | | | | |
DoubleLine Total Return Bond Fund | | | 0.40% | | | N/A | | | N/A | | | N/A |
DoubleLine Core Fixed Income Fund | | | 0.40% | | | N/A | | | N/A | | | N/A |
DoubleLine Emerging Markets Fixed Income Fund | | | 0.75% | | | 0.95% | | | 1.20% | | | N/A |
DoubleLine Low Duration Bond Fund | | | 0.35% | | | 0.47% | | | 0.72% | | | 0.42% |
DoubleLine Floating Rate Fund | | | 0.50% | | | 0.75% | | | 1.00% | | | N/A |
DoubleLine Shiller Enhanced CAPE® | | | 0.45% | | | 0.65% | | | 0.90% | | | 0.60% |
DoubleLine Flexible Income Fund | | | 0.62% | | | 0.82% | | | 1.07% | | | 0.77% |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | 0.50% | | | 0.59% | | | 0.84% | | | N/A |
DoubleLine Long Duration Total Return Bond Fund | | | 0.35% | | | 0.50% | | | 0.75% | | | N/A |
DoubleLine Strategic Commodity Fund (Consolidated) | | | 0.90% | | | 1.10% | | | 1.35% | | | N/A |
DoubleLine Global Bond Fund | | | 0.50% | | | 0.70% | | | 0.95% | | | N/A |
DoubleLine Infrastructure Income Fund | | | 0.50% | | | 0.65% | | | 0.90% | | | N/A |
DoubleLine Shiller Enhanced International CAPE® | | | 0.50% | | | 0.65% | | | 0.90% | | | N/A |
DoubleLine Emerging Markets Local Currency Bond Fund | | | 0.75% | | | 0.90% | | | 1.15% | | | N/A |
DoubleLine Income Fund | | | 0.50% | | | 0.65% | | | 0.90% | | | N/A |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | 0.50% | | | 0.65% | | | 0.90% | | | N/A |
| | | | | | | | | | | | | |
Other than as described above, to the extent that an Adviser waives its investment advisory fee and/or reimburses a Fund for other ordinary operating expenses, it may seek reimbursement of a portion or all of such amounts at any time within three fiscal years after the fiscal year in which such amounts were waived or reimbursed. Each Fund must pay its current ordinary operating expenses before each Adviser is entitled to any recoupment. Any such recoupment would be subject to review by the Board and will be subject to the Fund’s expense limitations in place when the fees were waived or the expenses were reimbursed.
Each Adviser, as applicable, contractually waived a portion of its fees or reimbursed certain operating expenses and may recapture a portion of the amounts no later than the dates as stated in the following table:
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| | | | | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | $236,853 | | | $234,164 | | | $254,449 | | | $96,806 | |
DoubleLine Long Duration Total Return Bond Fund | | | $27,645 | | | $44,196 | | | $66,826 | | | $43,303 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | $— | | | $— | | | $18,057 | | | $10,082 | |
DoubleLine Shiller Enhanced International CAPE® | | | $120,695 | | | $170,757 | | | $132,622 | | | $81,277 | |
DoubleLine Emerging Markets Local Currency Fund | | | $182,623 | | | $137,372 | | | $171,745 | | | $74,439 | |
DoubleLine Income Fund | | | $100,221 | | | $129,356 | | | $120,118 | | | $58,249 | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | $596,575 | | | $221,908 | | | $99,735 | | | $68,348 | |
| | | | | | | | | | | | | | |
For the period ended September 30, 2024, each Adviser recouped the amounts shown from the following Funds:
| | | | | |
DoubleLine Emerging Markets Fixed Income Fund | | | $7,486 | |
DoubleLine Floating Rate Fund | | | $41 | |
| | | | | |
If a Fund invested in other investment vehicles sponsored by an Adviser ("other DoubleLine Funds") during the period, such Adviser waived its advisory fee to the Fund in an amount equal to the advisory fees paid to the Adviser by the other DoubleLine Funds in respect of Fund assets so invested. Accordingly, the Adviser waived the following fees for the period ended September 30, 2024:
| | | | | |
DoubleLine Core Fixed Income Fund | | | $1,099,877 | |
DoubleLine Shiller Enhanced International CAPE® | | | $4,986 | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | $20,006 | |
| | | | | |
As of September 30, 2024, greater than 5% of the following DoubleLine Funds was held by other DoubleLine Funds as follows:
| | | | | | | | |
DoubleLine Long Duration Total Return Bond Fund | | | 50% | | | DoubleLine Core Fixed Income Fund | |
DoubleLine Global Bond Fund | | | 75% | | | DoubleLine Core Fixed Income Fund | |
DoubleLine Infrastructure Income Fund | | | 81% | | | DoubleLine Core Fixed Income Fund | |
| | | | | | | | |
DoubleLine Capital LP and certain DoubleLine affiliated advisers provide investment advisory, sub-advisory, or consulting services to a variety of investors, including investment program sponsors, separate accounts, and mutual funds sponsored by third parties (collectively “third-party accounts”). Those services may result, directly or indirectly, in investments by the third-party accounts in one or more of the Funds. At times, the third-party accounts’ investments, individually or in the aggregate, may represent material interests in one or more of the Funds. The third-party accounts’ transaction activity in a Fund may cause a Fund to incur material transaction costs, to realize taxable gains distributable to shareholders, and/or to buy or sell assets at a time when the Fund might not otherwise do so, each of which may adversely affect a Fund’s performance. See the description of Large Shareholder Risk in the Principal Risks Note for more information. Records available to the Funds reflect that greater than 25% of the following Funds were held by third-party accounts as of September 30, 2024:
| | | | | |
| | | % Owned | |
DoubleLine Shiller Enhanced CAPE® | | | 57% | |
| | | | | |
4. Distribution, Sales Charge and Redemption Fees
Class N shares of the Funds make payments under a distribution plan (the “Distribution Plan”) adopted pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, each Fund compensates the Fund’s distributor for distribution and related services at an annual rate equal to 0.25% of the average daily net assets of the Fund attributable to its Class N shares. The fees may be used to pay the Fund’s distributor for distribution services and sales support services provided in connection with Class N shares.
The DoubleLine Floating Rate Fund imposes redemption fees. Redemption fees are paid to and retained by the Fund to limit the opportunity to market time the Fund and to help offset estimated portfolio transaction costs and other related costs incurred by the Fund as a result of short-term trading. Subject to the exceptions discussed in the Fund’s prospectus, the DoubleLine Floating Rate Fund will apply a redemption fee equal to 1% of the value of any shares redeemed within 90 calendar days of purchase.
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5. Purchases and Sales of Securities
Investment transactions (excluding short-term investments and in-kind transactions) for the period ended September 30, 2024 were as follows:
| | | | | | | | |
DoubleLine Total Return Bond Fund | | | $ 4,040,161,676 | | | $5,307,881,460 | | | $2,479,505,686 | | | $ 3,209,836,656 | |
DoubleLine Core Fixed Income Fund | | | $1,136,170,712 | | | $ 1,282,442,834 | | | $ 1,724,489,868 | | | $ 2,009,329,172 | |
DoubleLine Emerging Markets Fixed Income Fund | | | $89,153,817 | | | $146,336,223 | | | $— | | | $— | |
DoubleLine Low Duration Bond Fund | | | $1,391,886,399 | | | $1,302,615,121 | | | $2,135,980,475 | | | $ 1,986,083,968 | |
DoubleLine Floating Rate Fund | | | $59,821,392 | | | $59,165,215 | | | $— | | | $— | |
Doubleline Shiller Enhanced CAPE® | | | $750,763,163 | | | $869,321,848 | | | $1,267,868,320 | | | $ 1,179,118,057 | |
DoubleLine Flexible Income Fund | | | $237,684,456 | | | $137,932,180 | | | $52,400,219 | | | $59,578,125 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | $35,535,710 | | | $36,385,581 | | | $— | | | $— | |
DoubleLine Long Duration Total Return Bond Fund | | | $12,761,595 | | | $14,504,983 | | | $21,137,371 | | | $28,311,939 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | $— | | | $— | | | $— | | | $— | |
DoubleLine Global Bond Fund | | | $24,192,665 | | | $15,438,934 | | | $70,616,156 | | | $74,774,505 | |
DoubleLine Infrastructure Income Fund | | | $38,128,925 | | | $34,402,877 | | | $66,765,355 | | | $63,316,955 | |
Doubleline Shiller Enhanced International CAPE® | | | $2,663,812 | | | $7,948,926 | | | $11,010,257 | | | $16,675,222 | |
DoubleLine Emerging Markets Local Currency Bond Fund | | | $1,825,653 | | | $2,084,820 | | | $— | | | $— | |
DoubleLine Income Fund | | | $43,048,182 | | | $12,645,879 | | | $— | | | $— | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | $— | | | $— | | | $1,074,813 | | | $1,150,732 | |
| | | | | | | | | | | | | | |
1
| U.S. Government transactions are defined as those involving long-term U.S. Treasury bills, bonds and notes. |
6. Share Transactions
| | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 327,489,856 | | | $2,875,967,823 | | | 1,037,192,466 | | | $8,994,148,707 | | | 77,349,667 | | | $713,907,081 | | | 245,404,541 | | | $2,240,598,765 | |
Class N | | | 32,017,229 | | | 281,888,056 | | | 123,326,847 | | | 1,075,517,930 | | | 2,365,143 | | | 21,880,772 | | | 8,254,813 | | | 75,388,589 | |
Class R6 | | | 61,640,533 | | | 551,270,634 | | | 103,288,915 | | | 895,978,547 | | | 7,752,723 | | | 72,069,910 | | | 25,820,572 | | | 233,956,504 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 51,462,825 | | | 449,860,329 | | | 99,792,522 | | | 866,710,755 | | | 11,762,963 | | | 108,297,048 | | | 23,487,961 | | | 214,965,761 | |
Class N | | | 9,755,583 | | | 85,200,757 | | | 21,487,899 | | | 186,448,636 | | | 533,183 | | | 4,903,661 | | | 1,153,080 | | | 10,539,919 | |
Class R6 | | | 1,745,770 | | | 15,304,032 | | | 3,590,608 | | | 31,162,719 | | | 450,199 | | | 4,155,009 | | | 649,823 | | | 5,947,489 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (474,455,711) | | | (4,158,662,049) | | | (1,277,617,964) | | | (11,051,340,051) | | | (119,004,662) | | | (1,090,140,666) | | | (311,845,251) | | | (2,851,993,023) | |
Class N | | | (116,449,128) | | | (1,018,100,807) | | | (224,846,520) | | | (1,943,044,471) | | | (5,925,932) | | | (54,374,259) | | | (13,010,374) | | | (119,003,185) | |
Class R6 | | | (21,113,359) | | | (184,612,425) | | | (97,395,109) | | | (836,059,274) | | | (2,249,262) | | | (20,741,639) | | | (3,967,611) | | | (35,949,878) | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (127,906,402) | | | $(1,101,883,650) | | | (211,180,336 ) | | | $(1,780,476,502) | | | (26,965,978) | | | $(240,043,083) | | | (24,052,446) | | | $(225,549,059) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 6,150,497 | | | $ 54,833,113 | | | 20,761,731 | | | $ 179,367,709 | | | 68,144,024 | | | $655,373,530 | | | 137,528,826 | | | $1,307,406,882 | |
Class N | | | 2,057,423 | | | 18,546,177 | | | 1,171,461 | | | 10,097,139 | | | 3,789,097 | | | 36,453,207 | | | 9,090,846 | | | 86,309,602 | |
Class R6 | | | — | | | — | | | — | | | — | | | 1,927,256 | | | 18,515,219 | | | 12,287,409 | | | 116,437,239 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 1,090,220 | | | 9,722,941 | | | 2,203,881 | | | 18,820,578 | | | 10,253,483 | | | 98,485,397 | | | 18,485,315 | | | 175,418,933 | |
Class N | | | 77,025 | | | 689,313 | | | 155,446 | | | 1,327,486 | | | 1,549,322 | | | 14,867,035 | | | 3,057,460 | | | 28,987,196 | |
Class R6 | | | — | | | — | | | — | | | — | | | 24,894 | | | 239,180 | | | 38,611 | | | 366,499 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (12,537,887) | | | (111,877,951) | | | (29,482,200) | | | (250,576,439) | | | (65,036,775) | | | (625,154,460) | | | (211,875,833) | | | (2,010,789,940) | |
Class N | | | (1,358,413) | | | (12,207,529) | | | (2,028,171) | | | (17,404,882) | | | (7,508,776) | | | (72,120,705) | | | (24,432,758) | | | (231,777,493) | |
Class R6 | | | — | | | — | | | — | | | — | | | (2,761,286) | | | (26,570,865) | | | (4,696,617) | | | (44,649,753) | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (4,521,135) | | | $(40,293,936) | | | (7,217,852) | | | $(58,368,409) | | | 10,381,239 | | | $100,087,538 | | | (60,516,741) | | | $(572,290,835) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 2,239,672 | | | $ 20,270,701 | | | 3,838,600 | | | $ 34,614,125 | | | 22,441,090 | | | $327,790,045 | | | 53,994,166 | | | $726,034,021 | |
Class N | | | 402,491 | | | 3,652,869 | | | 401,801 | | | 3,631,464 | | | 1,483,682 | | | 21,694,005 | | | 3,431,972 | | | 46,521,811 | |
Class R6 | | | — | | | — | | | — | | | — | | | 190,106 | | | 2,779,844 | | | 1,328,545 | | | 17,937,956 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 233,339 | | | 2,104,146 | | | 581,726 | | | 5,221,458 | | | 2,115,765 | | | 31,059,739 | | | 5,625,025 | | | 75,517,380 | |
Class N | | | 58,868 | | | 532,367 | | | 122,699 | | | 1,104,310 | | | 355,222 | | | 5,210,904 | | | 880,354 | | | 11,839,010 | |
Class R6 | | | — | | | — | | | — | | | — | | | 9,108 | | | 133,902 | | | 20,429 | | | 274,080 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (2,927,228) | | | (26,470,130)(a) | | | (8,786,410) | | | (78,823,424)(b) | | | (45,154,836) | | | (659,927,623) | | | (111,715,045) | | | (1,501,299,524) | |
Class N | | | (331,589) | | | (3,008,016)(a) | | | (932,201) | | | (8,391,360)(b) | | | (4,331,159) | | | (63,566,211) | | | (10,101,326) | | | (137,681,387) | |
Class R6 | | | — | | | — | | | — | | | — | | | (306,107) | | | (4,487,781) | | | (737,905) | | | (9,976,567) | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (324,447) | | | $(2,918,063) | | | (4,773,785) | | | $(42,643,427) | | | (23,197,129) | | | $(339,313,176) | | | (57,273,785) | | | $(770,833,220) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(a)
| Net of redemption fees of $14,458 and $1,585 for Class I and Class N, respectively. |
(b)
| Net of redemption fees of $213,270 and $21,308 for Class I and Class N, respectively. |
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| | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 20,049,176 | | | $173,889,161 | | | 24,211,167 | | | $204,978,594 | | | 2,063,183 | | | $19,627,109 | | | 3,187,104 | | | $29,295,766 | |
Class N | | | 1,404,952 | | | 12,146,375 | | | 2,122,918 | | | 17,942,241 | | | 91,314 | | | 871,816 | | | 130,739 | | | 1,212,653 | |
Class R6 | | | 2,681,752 | | | 23,269,792 | | | 3,879,270 | | | 32,777,018 | | | — | | | — | | | — | | | — | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 2,323,316 | | | 20,083,578 | | | 4,041,407 | | | 34,120,340 | | | 287,082 | | | 2,719,332 | | | 586,515 | | | 5,388,614 | |
Class N | | | 224,351 | | | 1,937,217 | | | 438,563 | | | 3,698,045 | | | 10,031 | | | 95,227 | | | 17,066 | | | 157,244 | |
Class R6 | | | 46,516 | | | 401,950 | | | 94,475 | | | 797,727 | | | — | | | — | | | — | | | — | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (8,815,881) | | | (76,370,421) | | | (21,145,407) | | | (178,499,964) | | | (2,604,581) | | | (24,667,228) | | | (7,612,312) | | | (69,874,898) | |
Class N | | | (1,351,209) | | | (11,689,285) | | | (5,737,509) | | | (48,346,595) | | | (105,845) | | | (1,004,984) | | | (242,720) | | | (2,223,082) | |
Class R6 | | | (2,229,723) | | | $(19,381,349) | | | (9,600,207) | | | (80,774,249) | | | — | | | — | | | — | | | — | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 14,333,250 | | | $124,287,018 | | | (1,695,323) | | | $(13,306,843) | | | (258,816) | | | $(2,358,728) | | | (3,933,608) | | | $(36,043,703) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 4,326,331 | | | $28,914,233 | | | 1,679,038 | | | $11,224,187 | | | 1,767,446 | | | $13,432,399 | | | 5,878,965 | | | $44,977,021 | |
Class N | | | 375,340 | | | 2,450,784 | | | 1,763,411 | | | 11,423,332 | | | 83,501 | | | 621,747 | | | 396,847 | | | 2,911,948 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 59,923 | | | 392,533 | | | 75,736 | | | 496,534 | | | — | | | — | | | 527,245 | | | 3,785,619 | |
Class N | | | 28,288 | | | 183,845 | | | 33,872 | | | 218,297 | | | — | | | — | | | 54,765 | | | 388,281 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (3,329,373) | | | (21,966,833) | | | (1,311,052) | | | (8,802,995) | | | (3,109,241) | | | (23,375,123) | | | (9,967,400) | | | (74,924,926) | |
Class N | | | (535,808) | | | (3,522,086) | | | (200,574) | | | (1,305,614) | | | (314,076) | | | (2,357,664) | | | (1,003,822) | | | (7,499,401) | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 924,701 | | | $6,452,476 | | | 2,040,431 | | | $13,253,741 | | | (1,572,370) | | | $(11,678,641) | | | (4,113,400) | | | $(30,361,458) | |
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Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 77,102 | | | $646,657 | | | 211,817 | | | $ 1,754,498 | | | 1,175,737 | | | $11,067,468 | | | 1,728,130 | | | $15,854,950 | |
Class N | | | — | | | — | | | 619 | | | 5,118 | | | 205,912 | | | 1,932,425 | | | 743,863 | | | 6,794,959 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 776 | | | 6,626 | | | — | | | — | | | 51,658 | | | 480,844 | | | 55,777 | | | 506,009 | |
Class N | | | 130 | | | 1,096 | | | — | | | — | | | 15,324 | | | 142,643 | | | 9,623 | | | 88,475 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (37,677) | | | (312,835) | | | (121,452) | | | (1,003,458) | | | (228,649) | | | (2,118,231) | | | (1,143,570) | | | (10,299,361) | |
Class N | | | (3,864) | | | (32,716) | | | (10,401) | | | (86,965) | | | (81,651) | | | (767,307) | | | (64,951) | | | (596,573) | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 36,467 | | | $308,828 | | | 80,583 | | | $669,193 | | | 1,138,331 | | | $10,737,842 | | | 1,328,872 | | | $12,348,459 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 120,240 | | | $1,478,051 | | | 674,695 | | | $7,965,916 | | | 7,992 | | | $68,858 | | | 255,556 | | | $2,273,583 | |
Class N | | | 164,100 | | | 1,994,274 | | | 1,096,840 | | | 12,637,541 | | | 48,265 | | | 422,559 | | | 197,806 | | | 1,722,919 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 77,308 | | | 958,779 | | | 186,429 | | | 2,195,799 | | | 28,687 | | | 249,538 | | | 44,702 | | | 386,979 | |
Class N | | | 13,005 | | | 160,504 | | | 36,834 | | | 437,958 | | | 1,720 | | | 14,942 | | | 3,763 | | | 32,495 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (726,240) | | | (8,985,598) | | | (1,655,294) | | | (19,377,602) | | | (39,084) | | | (342,204) | | | (60,037) | | | (533,979) | |
Class N | | | (612,548) | | | (7,464,837) | | | (1,154,437) | | | (13,502,679) | | | (61,317) | | | (532,233) | | | (115,336) | | | (1,011,435) | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (964,135) | | | $(11,858,827) | | | (814,933) | | | $(9,643,067) | | | (13,737) | | | $(118,540) | | | 326,454 | | | $2,870,562 | |
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| | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 4,889,402 | | | $38,560,136 | | | 9,173,207 | | | $69,774,529 | | | 15,716 | | | $119,903 | | | 35,616 | | | $280,900 | |
Class N | | | 601,328 | | | 4,776,717 | | | 240,101 | | | 1,828,558 | | | 1,542 | | | 11,728 | | | 8,592 | | | 68,074 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 329,820 | | | 2,595,984 | | | 445,731 | | | 3,369,022 | | | 38,659 | | | 299,169 | | | 76,207 | | | 600,576 | |
Class N | | | 19,190 | | | 151,580 | | | 27,668 | | | 209,192 | | | 624 | | | 4,830 | | | 1,431 | | | 11,294 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | (3,613,437) | | | (28,625,433) | | | (6,126,281) | | | (45,725,779) | | | (135,237) | | | (1,060,740) | | | (114,593) | | | (896,436) | |
Class N | | | (74,500) | | | (587,041) | | | (181,153) | | | (1,365,756) | | | (4,437) | | | (33,680) | | | (27,805) | | | (219,760) | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 2,151,803 | | | $16,871,943 | | | 3,579,273 | | | $28,089,766 | | | (83,133) | | | $(658,790) | | | (20,552) | | | $(155,352) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
7. Remuneration Paid to Trustees, Officers and Others
Trustees who are not affiliated with each Adviser and its affiliates receive fees from the Trust. These trustees may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the Funds, are treated as if invested in shares of Funds designated by each Trustee or other funds managed by each Adviser and its affiliates. These amounts represent general unsecured liabilities of each Fund and vary according to the total returns of the selected funds. Trustees Fees in the Statements of Operations include current fees (either paid in cash or deferred) and any increase (decrease) in the value of the deferred amounts. Certain trustees and officers of the Funds are also officers of each Adviser; such trustees and officers are not compensated by the Funds.
For the period ended September 30, 2024, the Trustees received as a group:
| | | | | | | | | | | |
DoubleLine Total Return Bond Fund | | | $333,717 | | | $62,150 | | | $395,867 | |
DoubleLine Core Fixed Income Fund | | | $73,278 | | | $13,463 | | | $86,741 | |
DoubleLine Emerging Markets Fixed Income Fund | | | $5,299 | | | $931 | | | $6,230 | |
DoubleLine Low Duration Bond Fund | | | $59,833 | | | $11,695 | | | $71,528 | |
DoubleLine Floating Rate Fund | | | $2,016 | | | $371 | | | $2,387 | |
DoubleLine Shiller Enhanced CAPE® | | | $44,301 | | | $8,134 | | | $52,435 | |
DoubleLine Flexible Income Fund | | | $9,714 | | | $2,129 | | | $11,843 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | $1,884 | | | $315 | | | $2,199 | |
DoubleLine Long Duration Total Return Bond Fund | | | $698 | | | $137 | | | $835 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | $1,750 | | | $283 | | | $2,033 | |
DoubleLine Global Bond Fund | | | $1,210 | | | $300 | | | $1,510 | |
DoubleLine Infrastructure Income Fund | | | $4,376 | | | $776 | | | $5,152 | |
DoubleLine Shiller Enhanced International CAPE® | | | $548 | | | $72 | | | $620 | |
DoubleLine Emerging Markets Local Currency Bond Fund | | | $120 | | | $25 | | | $145 | |
DoubleLine Income Fund | | | $835 | | | $209 | | | $1,044 | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | $141 | | | $24 | | | $165 | |
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8. Additional Disclosures about Derivative Instruments
The following disclosures provide information on the Funds’ use of derivatives and certain related risks. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following tables.
The average volume of derivative activity for the period ended September 30, 2024, is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Market Value | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts - Long | | | $31,713,500 | | | $3,308,439 | | | $— | | | $145,984 | | | $— | | | $— | | | $— | | | $— | |
Futures Contracts - Short | | | (18,642,785) | | | (139,904) | | | — | | | (199,290) | | | — | | | — | | | — | | | — | |
Average Notional Balance | | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | $— | | | $— | | | $3,767,666,667 | | | $— | | | $89,166,667 | | | $— | | | $34,233,333 | | | $12,733,331 | |
Forward Currency Exchange Contracts | | | — | | | — | | | — | | | — | | | — | | | 3,217,490 | | | 57,265,513 | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts The Funds may purchase or sell put and call options. When a Fund purchases an option it pays a premium in return for the potential to profit from the change in value of an underlying investment or index during the term of the option. The option premium is included on the Funds’ Statements of Assets and Liabilities as an investment and marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses and are recorded in net realized gain (loss) on investments on the Statements of Operations. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing options is limited to the loss of the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss and are recorded in net realized gain (loss) on investments on the Statements of Operations. When a Fund writes (i.e., sells) an option it receives a premium in return for bearing the risk of the change in value of an underlying instrument during the term off the option. Writing put options tends to increase a Fund’s exposure to the risk that the value of the underlying instrument will depreciate. Writing call options tends to decrease a Fund’s ability to benefit from appreciation in the value in the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded as a liability on the Fund’s Statement of Assets and Liabilities and marked-to-market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains and are recorded in net realized gain (loss) on written options on the Statements of Operations. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying instrument to determine the realized gain or loss when the underlying instrument is sold and are recorded in net realized gain (loss) on written options on the Statements of Operations. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put), and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk that the market for options contracts may be illiquid and that a Fund may not be able to close out or sell an option at a particular time or at an anticipated price.
Futures Contracts Futures contracts typically involve a contractual commitment to buy or sell a particular instrument or index unit at a specified price on a future date. Risks associated with the use of futures contracts include the potential for imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices determined by the relevant exchange. Upon entering into a futures contract, a Fund is required to deposit with its futures broker an amount of cash in accordance with the initial margin requirements of the broker or exchange. Such collateral is recorded in deposit at broker for futures in the Statements of Assets and Liabilities. Futures contracts are marked-to-market daily and an appropriate payment reflecting the change in value (“variation margin”) is made or received by or for the accounts of the Funds. The variation margin is recorded on the Statements of Assets and Liabilities. The cumulative change in value of futures contracts is recorded in net unrealized appreciation (depreciation) on futures on the Statements of Assets and Liabilities. Gains or losses are recognized but not considered realized until the contracts expire or are closed and are recorded in net realized gain (loss) on futures on the Statements of Operations. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
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Forward Foreign Currency Contracts Forward foreign currency contracts are agreements between two parties to buy and sell a currency at a set exchange rate on a future date. Unless a Fund’s registration statement expressly states otherwise, each Fund may enter into forward foreign currency contracts for any investment purpose. The market value of a forward foreign currency contract fluctuates with the changes in foreign currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded in net unrealized appreciation (depreciation) on forwards on the Statements of Assets and Liabilities. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed on the Statements of Operations. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Credit Default Swap Agreements Credit default swap agreements typically involve one party making a stream of payments (generally referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event in respect of a referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund generally will receive from the buyer of protection a fixed rate of income throughout the term of the swap. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund typically will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund typically will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. Recovery values are typically estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. An index credit default swap references all the names in the index, and if there is a default with respect to a single name in the index, the credit event is generally settled based on that name’s weight in the index.
Credit default swaps are considered to have credit risk related contingent features since they require payment by the protection seller to the protection buyer upon occurrence of a defined credit event. A Fund’s maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract, which may be mitigated by the posting of collateral by the counterparty to a Fund to cover a Fund’s exposure to the counterparty. Upfront premiums (received) paid including accretion (amortization) less any collateral held at the counterparty are reflected in deposit at broker for swaps on the Statements of Assets and Liabilities. The marked-to-market value less a financing rate, if any, is included in net unrealized appreciation (depreciation) on swaps on the Statements of Assets and Liabilities. At termination or maturity of the swap, the cumulative marked-to-market on the value less a financing rate, if any, is recorded in realized gain (loss) on swaps on the Statements of Operations.
Interest Rate Swap Agreements The Funds may enter into interest rate swap agreements. Interest rate swap agreements involve an exchange with another party for their respective commitment to pay or receive interest on the notional amount of principal.
Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets. The value is marked-to-market and is recorded in net unrealized appreciation (depreciation) on swaps on the Statements of Assets and Liabilities. At termination or maturity date, the interest on the notional amount of principal is exchanged and is recorded in net realized gain (loss) on swaps on the Statements of Operations.
Excess Return Swap Agreements The Funds may enter into excess return swaps for investment purposes. Excess return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument. For example, the
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agreement to pay a predetermined or fixed interest rate in exchange for a market-linked return based on a notional amount. To the extent the total return of a referenced index or instrument exceeds the offsetting interest obligation, a Fund will receive a payment from the counterparty. To the extent it is less, a Fund will make a payment to the counterparty. The marked-to-market value less a financing rate, if any, is recorded in net unrealized appreciation (depreciation) on swaps on the Statements of Assets and Liabilities. At termination or maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any, and is recorded in net realized gain (loss) on swaps on the Statements of Operations. To the extent the marked-to- market value of an excess return swap appreciates to the benefit of a Fund and exceeds certain contractual thresholds, a Fund’s counterparty may be contractually required to provide collateral. If the marked-to-market value of an excess return swap depreciates in value to the benefit of a counterparty and exceeds certain contractual thresholds, a Fund would generally be required to provide collateral for the benefit of its counterparty. Assets provided by the Funds as collateral are reflected as a component of investments in unaffiliated securities at value on the Statements of Assets and Liabilities and are noted on the Schedules of Investments. Assets provided to a Fund by a counterparty as collateral are not assets of the Fund and are not a component of a Fund’s NAV.
The Funds’ derivative instrument holdings are summarized in the following tables.
The effect of derivative instruments on the Statements of Assets and Liabilities for the period ended September 30, 2024 was as follows:
| | | | | |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Forwards | | | | | | | | | | | | | | | | |
DoubleLine Global Bond Fund | | | $— | | | $— | | | $24,231 | | | $— | | | $24,231 | |
DoubleLine Shiller Enhanced International CAPE® | | | — | | | — | | | 865,605 | | | — | | | 865,605 | |
Futures | | | | | | | | | | | | | | | | |
DoubleLine Total Return Bond Fund | | | $— | | | $— | | | $— | | | $(9,162,356) | | | $(9,162,356) | |
DoubleLine Core Fixed Income Fund | | | — | | | — | | | — | | | 6,079,957 | | | 6,079,957 | |
DoubleLine Long Duration Total Return Bond Fund | | | — | | | — | | | — | | | (403,212) | | | (403,212) | |
Swaps | | | | | | | | | | | | | | | | |
DoubleLine Shiller Enhanced CAPE® | | | $— | | | $324,571,138 | | | $— | | | $— | | | $324,571,138 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | 1,346,171 | | | — | | | — | | | — | | | 1,346,171 | |
DoubleLine Shiller Enhanced International CAPE® | | | — | | | 2,421,411 | | | — | | | — | | | 2,421,411 | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | (367,386) | | | 73,372 | | | — | | | — | | | (294,014) | |
| | | | | | | | | | | | | | | | | |
The effect of derivative instruments on the Statements of Operations for the period ended September 30, 2024 was as follows:
| | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Forwards | | | | | | | | | | | | | | | | |
DoubleLine Global Bond Fund | | | $— | | | $— | | | $(421,334) | | | $— | | | $(421,334) | |
DoubleLine Shiller Enhanced International CAPE® | | | — | | | — | | | (126,666) | | | — | | | (126,666) | |
Futures | | | | | | | | | | | | | | | | |
DoubleLine Total Return Bond Fund | | | $— | | | $— | | | $— | | | $167,001,400 | | | $167,001,400 | |
DoubleLine Core Fixed Income Fund | | | — | | | — | | | — | | | 22,458,134 | | | 22,458,134 | |
DoubleLine Long Duration Total Return Bond Fund | | | — | | | — | | | — | | | 775,007 | | | 775,007 | |
Swaps | | | | | | | | | | | | | | | | |
DoubleLine Shiller Enhanced CAPE® | | | $— | | | $207,092,317 | | | $— | | | $— | | | $207,092,317 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | (8,851,347) | | | — | | | — | | | — | | | (8,851,347) | |
DoubleLine Shiller Enhanced International CAPE® | | | — | | | 2,175,880 | | | — | | | — | | | 2,175,880 | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | (628,983) | | | 126,617 | | | — | | | — | | | (502,366) | |
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| | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Forwards | | | | | | | | | | | | | | | | |
DoubleLine Global Bond Fund | | | $— | | | $— | | | $24,231 | | | $— | | | $24,231 | |
DoubleLine Shiller Enhanced International CAPE® | | | — | | | — | | | 841,694 | | | — | | | 841,694 | |
Futures | | | | | | | | | | | | | | | | |
DoubleLine Total Return Bond Fund | | | $— | | | $— | | | $— | | | $6,159,711 | | | $6,159,711 | |
DoubleLine Core Fixed Income Fund | | | — | | | — | | | — | | | 13,406,214 | | | 13,406,214 | |
DoubleLine Long Duration Total Return Bond Fund | | | — | | | — | | | — | | | (637,868) | | | (637,868) | |
Swaps | | | | | | | | | | | | | | | | |
DoubleLine Shiller Enhanced CAPE® | | | $— | | | $(79,497,488) | | | $— | | | $— | | | $(79,497,488) | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | (3,725,379) | | | — | | | — | | | — | | | (3,725,379) | |
DoubleLine Shiller Enhanced International CAPE® | | | — | | | (781,123) | | | — | | | — | | | (781,123) | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | | 370,488 | | | (578,772) | | | — | | | — | | | (208,284) | |
| | | | | | | | | | | | | | | | | |
9. Offsetting Assets and Liabilities
The Funds are subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements are intended to allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.
As of September 30, 2024, the Funds held the following derivative instruments that were subject to offsetting on the Statements of Assets and Liabilities:
DoubleLine Shiller Enhanced CAPE®
Assets:
| | | | | | | | | | | | | | | | | |
| | | $324,571,138 | | | $ — | | | $324,571,138 | | | $310,718,524 | | | $ — | | | $13,852,614 | |
| | | | | | | | | | | | | | | | | | | | |
DoubleLine Strategic Commodity Fund (Consolidated)
Assets:
| | | | | | | | | | | | | | | | | |
Swap Contracts | | | $2,597,199 | | | $(870,800) | | | $1,726,399 | | | $1,726,399 | | | $ — | | | $ — | |
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Liabilities:
| | | | | | | | | | | | | | | | | |
Swap Contracts | | | $1,251,028 | | | $(870,800) | | | $380,228 | | | $380,228 | | | $ — | | | $ — | |
| | | | | | | | | | | | | | | | | | | | |
DoubleLine Global Bond Fund
Assets:
| | | | | | | | | | | | | | | | | |
Forwards | | | $24,231 | | | $ — | | | $24,231 | | | $ — | | | $ — | | | $24,231 | |
| | | | | | | | | | | | | | | | | | | | |
DoubleLine Shiller Enhanced International CAPE®
Assets:
| | | | | | | | | | | | | | | | | |
Forwards | | | $1,140,441 | | | $(274,836) | | | $865,605 | | | $172,171 | | | $693,434 | | | $ — | |
Swap Contracts | | | 2,421,411 | | | — | | | 2,421,411 | | | 2,421,411 | | | — | | | — | |
| | | $3,561,852 | | | $(274,836) | | | $3,287,016 | | | $2,593,582 | | | $693,434 | | | $— | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities:
| | | | | | | | | | | | | | | | | |
Forwards | | | $274,836 | | | $(274,836) | | | $ — | | | $ — | | | $ — | | | $ — | |
| | | | | | | | | | | | | | | | | | | | |
DoubleLine Multi-Asset Trend Fund (Consolidated)
Assets:
| | | | | | | | | | | | | | | | | |
Swap Contracts | | | $73,372 | | | $(73,372) | | | $ — | | | $ — | | | $ — | | | $ — | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities:
| | | | | | | | | | | | | | | | | |
Swap Contracts | | | $367,386 | | | $(73,372) | | | $294,014 | | | $ — | | | $294,014 | | | $ — | |
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10. Bank Loans
The Funds may make loans directly to borrowers and may acquire or invest in loans made by others (“loans”). The Funds may acquire a loan interest directly by acting as a member of the original lending syndicate. Alternatively, the Funds may acquire some or all of the interest of a bank or other lending institution in a loan to a particular borrower by means of a novation, an assignment or a participation. The loans in which the Funds may invest include those that pay fixed rates of interest and those that pay floating rates—i.e., rates that adjusted periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (SOFR) and secondarily, the prime rate offered by one or more United States banks (the Prime Rate). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3 month tenors and may also be subject to a credit spread adjustment. The Funds may purchase and sell interests in bank loans on a when-issued and delayed delivery basis, with payment delivery scheduled for a future date.
Securities purchased on a delayed delivery basis are marked-to-market daily and no income accrues to the Funds prior to the date the Funds actually take delivery of such securities. These transactions are subject to market fluctuations and are subject, among other risks, to the risk that the value at delivery may be more or less than the trade purchase price.
11. Credit Facility
U.S. Bank, N.A. (the “Bank”) has made available to the Trust, excluding the DoubleLine Emerging Markets Local Currency Bond Fund, (the “DoubleLine Funds”) an uncommitted $500,000,000 credit facility for short term liquidity in connection with shareholder redemptions. Under the terms of the credit facility, borrowings for each DoubleLine Fund are limited to one-third of the total assets (including the amount borrowed) of such DoubleLine Fund. Fifty percent of the credit facility is available to all of the DoubleLine Funds, on a first come, first served basis. The remaining 50% of the credit facility is allocated among the DoubleLine Funds in accordance with procedures adopted by the Board. Borrowings under this credit facility bear interest at the greater of 0.00% or the Bank’s prime rate less 1.00%.
The Bank has also made available to the DoubleLine Floating Rate Fund a committed $50,000,000 credit facility. Borrowings under this credit facility bear interest at the greater of 0.00% or the Bank’s prime rate less 1.00%.
For the period ended September 30, 2024, the Funds’ credit facility activity is as follows:
| | | | | | | | | | | | | | | | | |
DoubleLine Emerging Markets Fixed Income Fund | | | $1,383,000 | | | $4,180,000 | | | $12,627 | | | $— | | | 7.47% | |
DoubleLine Floating Rate Fund | | | $— | | | $— | | | $— | | | $30,500 | | | 0.00% | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | $128,857 | | | $232,000 | | | $188 | | | $— | | | 7.50% | |
DoubleLine Long Duration Total Return Bond Fund | | | $637,000 | | | $637,000 | | | $133 | | | $— | | | 7.50% | |
DoubleLine Income Fund | | | $861,000 | | | $861,000 | | | $502 | | | $ — | | | 7.00% | |
| | | | | | | | | | | | | | | | | |
12. Significant Shareholder Holdings
As of September 30, 2024, shareholders affiliated with the Funds and/or Advisers (other than other DoubleLine Funds) owned shares of the Funds as follows:
| | | | | | | | | | | |
DoubleLine Emerging Markets Local Currency Bond Fund - Class I | | | 1,116,873 | | | 83% | | | 78% | |
DoubleLine Emerging Markets Local Currency Bond Fund - Class N | | | 11,155 | | | 11% | | | 78% | |
DoubleLine Multi-Asset Trend Fund (Consolidated) - Class I | | | 1,286,332 | | | 84% | | | 84% | |
DoubleLine Multi-Asset Trend Fund (Consolidated) - Class N | | | 12,878 | | | 50% | | | 84% | |
| | | | | | | | | | | |
Investment activities of these shareholders could have a material effect on each Fund. See the description of Large Shareholder Risk in the following Principal Risks Note. For information on greater than 5% holders of certain Funds by other DoubleLine Funds, see Note 3 on Related and Other Party Transactions.
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13. To-Be-Announced Securities
The Funds may invest in to-be-announced securities (“TBAs”). TBAs is a term that is generally used to describe forward-settling mortgage-backed securities. These TBAs are generally issued by U.S. Government Agencies or U.S. Government Sponsored Entities such as Freddie Mac, Fannie Mae and Ginnie Mae. The actual mortgage-backed security that will be delivered to the buyer at the time TBAs trades are entered is not known, however, the terms of the acceptable pools of loans that will comprise the mortgage-backed security are determined at the time the trade is entered into (coupon rate, maturity, credit quality, etc.). Investment in TBAs will generally increase the Fund’s exposure to interest rate risk and could also expose the Fund to counterparty default risk. In order to mitigate counterparty default risk, the Fund only enters TBAs with counterparties for which the risk of default is determined to be remote.
14. Principal Risks
Below are summaries of some, but not all, of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s NAV, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read each Fund’s prospectus carefully for a description of the principal risks associated with investing in a particular Fund.
| • | active management risk: the risk that a Fund will fail to meet its investment objective and that the Fund’s investment performance will depend, at least in part, on how its assets are allocated and reallocated among asset classes, sectors, underlying funds and/or investments and that such allocation will focus on asset classes, sectors, underlying funds, and/or investments that perform poorly or underperform other asset classes, sectors, underlying funds, and/or available investments. Any given investment strategy may fail to produce the intended results, and the Fund’s portfolio may underperform other comparable funds because of portfolio management decisions related to, among other things, the selection of investments, portfolio construction, risk assessments, and/or the outlook on market trends and opportunities. |
| • | asset-backed securities investment risk: the risk that borrowers may default on the obligations that underlie the asset- backed security and that, during periods of falling interest rates, asset-backed securities may be called or prepaid, which may result in a Fund having to reinvest proceeds in other investments at a lower interest rate, and the risk that the impairment of the value of the collateral underlying a security in which a Fund invests (due, for example, to non-payment of loans) will result in a reduction in the value of the security. |
| • | cash position risk: the risk that to the extent that a Fund holds assets in cash, cash equivalents, and other short-term investments, the ability of the Fund to meet its objective may be limited. |
| • | collateralized debt obligations risk: the risks of an investment in a collateralized debt obligation (“CDO”) depend largely on the quality and type of the collateral and the tranche of the CDO in which a Fund invests. Normally, collateralized bond obligations (“CBOs”), collateralized loan obligations (“CLOs”) and other CDOs are privately offered and sold, and thus are not registered under the securities laws. As a result, investments in CDOs may be illiquid. In addition to the risks associated with debt instruments (e.g., interest rate risk and credit risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that a Fund may invest in CDOs that are subordinate to other classes of the issuer’s securities; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. |
| • | commodities risk: the risk that the value of a Fund’s shares may be affected by changes in the values of the Fund’s investment exposures to commodities or commodity-related instruments, which may be extremely volatile and difficult to value. The value of commodities and commodity-related instruments may be affected by, among other factors, market movements, commodity index volatility, changes in interest rates, or factors affecting supply, demand and/or other market fundamentals with respect to a particular sector, industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. A Fund will likely at times have significant exposure to particular sectors through its commodities-related investments, including, for example, the energy, industrial metals precious metals, and agricultural and livestock sectors and may be exposed to greater risk associated with events affecting those sectors. |
| • | confidential information access risk: the risk that the intentional or unintentional receipt of material, non-public information (“Confidential Information”) by the Adviser could limit a Fund’s ability to sell certain investments held by the Fund or pursue certain investment opportunities on behalf of the Fund, potentially for a substantial period of time. |
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| • | counterparty risk: the risk that a Fund will be subject to credit risk with respect to the counterparties to the derivative contracts and other instruments entered into by the Fund; that the Fund’s counterparty will be unable or unwilling to perform its obligations; that the Fund will be unable to enforce contractual remedies if its counterparty defaults; that if a counterparty (or an affiliate of a counterparty) becomes bankrupt, the Fund may experience significant delays in obtaining any recovery or may obtain limited or no recovery in a bankruptcy or other insolvency proceeding. To the extent that a Fund enters into multiple transactions with a single or a small set of counterparties, it will be subject to increased counterparty risk. |
○
| credit risk: the risk that an issuer, counterparty or other obligor to a Fund will fail to pay its obligations to the Fund when they are due, which may reduce the Fund’s income and/or reduce, in whole or in part, the value of the Fund’s investment. Actual or perceived changes in the financial condition of an obligor, changes in economic, social or political conditions that affect a particular type of security, instrument, or obligor, and changes in economic, social or political conditions generally can increase the risk of default by an obligor, which can affect a security’s or other instrument’s credit quality or value and an obligor’s ability to honor its obligations when due. The values of lower-quality debt securities (including debt securities commonly known as “high yield” securities or “junk bonds”), including floating rate loans, tend to be particularly sensitive to these changes. Certain debt securities in the lowest investment grade category also may be considered to possess some speculative characteristics by certain rating agencies. The values of securities or instruments also may decline for a number of other reasons that relate directly to the obligor, such as management performance, financial leverage, and reduced demand for the obligor’s goods and services, as well as the historical and prospective earnings of the obligor and the value of its assets. |
○
| extension risk: the risk that if interest rates rise, repayments of principal on certain debt securities, including, but not limited to, floating rate loans and mortgage-related securities, may occur at a slower rate than expected and the expected maturity of those securities could lengthen as a result. Securities that are subject to extension risk generally have a greater potential for loss when prevailing interest rates rise, which could cause their values to fall sharply. |
○
| interest rate risk: the risk that debt instruments will change in value because of changes in interest rates. The value of an instrument with a longer duration (whether positive or negative) will be more sensitive to changes in interest rates than a similar instrument with a shorter duration. |
○
| prepayment risk: the risk that the issuer of a debt security, including floating rate loans and mortgage-related securities, repays all or a portion of the principal prior to the security’s maturity. In times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. Prepayments can therefore result in lower yields to shareholders of a Fund. |
| • | defaulted securities risk: the significant risk of the uncertainty of repayment of defaulted securities (e.g., a security on which a principal or interest payment is not made when due) and obligations of distressed issuers (including insolvent issuers or issuers in payment or covenant default, in workout or restructuring or in bankruptcy or similar proceedings). Such investments entail high risk and have speculative characteristics. |
| • | derivatives risk: the risk that an investment in derivatives will not perform as anticipated by an Adviser, may not be available at the time or price desired, cannot be closed out at a favorable time or price, will increase a Fund’s transaction costs, or will increase a Fund’s volatility; that derivatives may create investment leverage; that, when a derivative is used as a substitute for or alternative to a direct cash investment, the transaction may not provide a return that corresponds precisely or at all with that of the cash investment; that the positions may be improperly executed or constructed; that the Fund’s counterparty will be unable or unwilling to perform its obligations; or that, when used for hedging purposes, derivatives will not provide the anticipated protection, causing a Fund to lose money on both the derivatives transaction and the exposure the Fund sought to hedge. Recent changes in regulation relating to a Fund’s use of derivatives and related instruments could potentially limit or impact the Fund’s ability to invest in derivatives, limit the Fund’s ability to employ certain strategies that use derivatives and/or adversely affect the value of derivatives and the Fund’s performance. |
| • | emerging market country risk: the risk that investing in emerging markets, as compared to foreign developed markets, increases the likelihood that a Fund will lose money, due to more limited information about the issuer and/or the security; higher brokerage costs; different accounting, auditing and financial reporting standards; less developed legal systems; fewer |
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investor protections; less regulatory oversight; thinner trading markets; the possibility of currency blockages or transfer restrictions; an emerging market country’s dependence on revenue from particular commodities or international aid; and expropriation, nationalization or other adverse political or economic developments.
| • | equity issuer risk: the risk that the market price of common stocks and other equity securities may go up or down, sometimes rapidly or unpredictably, including due to factors affecting equity securities markets generally, particular industries represented in those markets, or the issuer itself. |
| • | financial services risk: the risk that an investment in issuers in the financial services sector or transactions with one or more counterparties in the financial services sector may be adversely affected by, among other things: (i) changes in governmental regulation, which may limit both the amounts and the types of loans and other financial commitments financial services companies can make, the interest rates and fees they can charge, the scope of their activities, the prices they can charge and the amount of capital they must maintain; (ii) fluctuations, including as a result of interest rate changes or increased competition, in the availability and cost of capital of funds on which the profitability of financial services companies is largely dependent; (iii) deterioration of the credit markets; (iv) credit losses resulting from financial difficulties of borrowers, especially when financial services companies are exposed to non-diversified or concentrated loan portfolios; (v) financial losses associated with investment activities, especially when financial services companies are exposed to financial leverage; (vi) the risk that any financial services company experiences substantial declines in the valuations of its assets, takes action to raise capital, or ceases operations; (vii) the risk that a market shock or other unexpected market, economic, political, regulatory, or other event might lead to a sudden decline in the values of most or all companies in the financial services sector; (viii) events leading to limited liquidity, defaults, non-performance or other adverse developments that affect financial institutions or the financial services industry generally, or concerns or rumors about any events of these kinds or other similar risks, leading to market-wide liquidity problems; and (ix) the interconnectedness or interdependence among financial services companies, including the risk that the financial distress or failure of one financial services company may materially and adversely affect a number of other financial services companies. |
| • | focused investment risk: the risk that a Fund that invests a substantial portion of its assets in a particular market, industry, sector, group of industries or sectors, country, region, group of countries or asset class is, relative to a Fund that invests in a more diverse investment portfolio, more susceptible to any single economic, market, political, regulatory or other occurrence. This is because, for example, issuers in a particular market, industry, region, sector or asset class may react similarly to specific economic, market, regulatory, political or other developments. The particular markets, industries, regions, sectors or asset classes in which the Fund may focus its investments may change over time and the Fund may alter its focus at inopportune times. |
| • | foreign currency risk: the risk that fluctuations in exchange rates may adversely affect the value of a Fund’s investments denominated in foreign currencies. |
| • | foreign investing risk: the risk that investments in foreign securities or in issuers with significant exposure to foreign markets, as compared to investments in U.S. securities or in issuers with predominantly domestic market exposure, may be more vulnerable to economic, political, and social instability and subject to less government supervision, less protective custody practices, lack of transparency, inadequate regulatory and accounting standards, delayed or infrequent settlement of transactions, and foreign taxes. If a Fund buys securities denominated in a foreign currency, receives income in foreign currencies, or holds foreign currencies from time to time, the value of the Fund’s assets, as measured in U.S. dollars, can be affected unfavorably by changes in exchange rates relative to the U.S. dollar or other foreign currencies. Foreign markets are also subject to the risk that a foreign government could restrict foreign exchange transactions or otherwise implement unfavorable currency regulations. In addition, foreign securities may be subject to currency exchange rates or regulations, the imposition of economic sanctions, tariffs or other government restrictions, higher transaction and other costs, reduced liquidity, and delays in settlement. |
| • | high yield risk: the risk that debt instruments rated below investment grade or debt instruments that are unrated and of comparable or lesser quality are predominantly speculative. These instruments, commonly known as “junk bonds”, have a higher degree of default risk and may be less liquid than higher-rated bonds. These instruments may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of high yield investments generally, and less secondary market liquidity. |
| • | index risk: the risk that the portion of a Fund invested in instruments based on an index or basket of commodities or that use an index or basket of commodities as the reference asset may not match or may underperform the return of the index or basket for a number of reasons, including, for example, (i) the performance of derivatives related to an index or basket in |
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which a Fund invests may not correlate with the performance of the index or basket and/or may underperform the index or basket due to transaction costs, fees, or other aspects of the transaction’s pricing; (ii) the Fund may not be able to find counterparties willing to enter into derivative instruments whose returns are based on the return of the index or basket, or the Fund may be unable to find parties who are willing to do so at an acceptable cost or level of risk to the Fund; and (iii) errors may arise in carrying out an index’s methodology, or an index provider may incorrectly report information concerning the index. There can be no guarantee that any index, will be maintained indefinitely or that a Fund will be able to continue to utilize a specific index to implement the Fund’s principal investment strategies indefinitely.
| • | inflation-indexed bond risk: the risk that such bonds will change in value in response to actual or anticipated changes in inflation rates in a manner unanticipated by a Fund’s portfolio management team or investors generally. Inflation-indexed bonds are subject to debt securities risks. |
| • | investment company and exchange-traded fund risk: the risk that an investment company or other pooled investment vehicle, including any exchange-traded funds (“ETFs”) or money market funds, in which a Fund invests will not achieve its investment objective or execute its investment strategies effectively or that significant purchase or redemption activity by shareholders of such an investment company might negatively affect the value of its shares. A Fund must pay its pro rata portion of an investment company’s fees and expenses. To the extent the Adviser determines to invest Fund assets in other investment companies, the Adviser will have an incentive to invest in other DoubleLine funds over investment companies sponsored or managed by others and to maintain such investments once made due to its own financial interest in those products and other business considerations. |
| • | large shareholder risk: the risk that certain account holders, including an Adviser or funds or accounts over which an Adviser (or related parties of an Adviser) has investment discretion, may from time to time own or control a significant percentage of a Fund’s shares. A Fund is subject to the risk that a redemption by those shareholders of all or a portion of their Fund shares, including as a result of an asset allocation decision made by an Adviser (or related parties of an Adviser), will adversely affect the Fund’s performance if it is forced to sell portfolio securities or invest cash when the Adviser would not otherwise choose to do so. Redemptions of a large number of shares may affect the liquidity of a Fund’s portfolio, increase a Fund’s transaction costs, and accelerate the realization of taxable income and/or gains to shareholders. |
| • | leveraging risk: the risk that certain investments by a Fund involving leverage may have the effect of increasing the volatility of value of the Fund’s portfolio, and the risk of loss in excess of invested capital. |
| • | limited operating history risk: the risk that a recently formed fund has a limited operating history to evaluate and may not attract sufficient assets to achieve or maximize investment and operational efficiencies and remain viable. If a recently formed fund fails to achieve sufficient scale, it may be liquidated. |
| • | liquidity risk: the risk that a Fund may be unable to sell a portfolio investment at a desirable time or at the value the Fund has placed on the investment. |
| • | loan risk: the risk that (i) if a Fund holds a loan through another financial institution, or relies on a financial institution to administer the loan, its receipt of principal and interest on the loan may be subject to the credit risk of that financial institution; (ii) any collateral securing a loan may be insufficient or unavailable to a Fund because, for example, the value of the collateral securing a loan can decline, be insufficient to meet the obligations of the borrower, or be difficult to liquidate, and the Fund’s rights to collateral may be limited by bankruptcy or insolvency laws; (iii) investments in highly leveraged loans or loans of stressed, distressed, or defaulted issuers may be subject to significant credit and liquidity risk; (iv) a bankruptcy or other court proceeding could delay or limit the ability of a Fund to collect the principal and interest payments on that borrower’s loans or adversely affect the Fund’s rights in collateral relating to a loan; (v) there may be limited public information available regarding the loan and the relevant borrower(s); (vi) the use of a particular interest rate benchmark may limit the Fund’s ability to achieve a net return to shareholders that consistently approximates the average published Prime Rate of U.S. banks; (vii) the prices of certain floating rate loans that include a feature that prevents their interest rates from adjusting if market interest rates are below a specified minimum level may appreciate less than other instruments in response to changes in interest rates should interest rates rise but remain below the applicable minimum level; (viii) if a borrower fails to comply with various restrictive covenants that may be found in loan agreements, the borrower may default in payment of the loan; (ix) if a Fund invests in loans that contain fewer or less restrictive constraints on the borrower than certain other types of loans (“covenant-lite” loans), it may have fewer rights against the borrowers of such loans, including fewer protections against the possibility of default and fewer remedies in the event of default; (x) the loan is unsecured; (xi) there is a limited secondary market; (xii) transactions in loans may settle on a delayed basis, and the Fund may not receive |
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the proceeds from the sale of a loan for a substantial period of time after the sale, which may result in sale proceeds related to the sale of loans not being available to make additional investments or to meet a Fund’s redemption obligations until potentially a substantial period after the sale of the loans; and (xiii) loans may be difficult to value and may be illiquid, which may adversely affect an investment in the Fund.
| • | market capitalization risk: the risk that investing substantially in issuers in one market capitalization category (large, medium or small) may adversely affect a Fund because of unfavorable market conditions particular to that category of issuers, such as larger, more established companies being unable to respond quickly to new competitive challenges or attain the high growth rates of successful smaller companies, or, conversely, stocks of smaller companies being more volatile than those of larger companies due to, among other things, narrower product lines, more limited financial resources, fewer experienced managers and there typically being less publicly available information about small capitalization companies. |
| • | market risk: the risk that markets will perform poorly or that the returns from the securities in which a Fund invests will underperform returns from the general securities markets or other types of investments. Markets may, in response to governmental actions or intervention or general market conditions, including real or perceived adverse, political, economic or market conditions, tariffs and trade disruptions, inflation, recession, changes in interest or currency rates, lack of liquidity in the bond markets or adverse investor sentiments, or other external factors, experience periods of high volatility and reduced liquidity. During those periods, the Fund may experience high levels of shareholder redemptions, and may have to sell securities at times when the Fund would otherwise not do so, and potentially at unfavorable prices. Certain securities may be difficult to value during such periods. Market risk involves the risk that the value of the Fund’s investment portfolio will change, potentially frequently and in large amounts, as the prices of its investments go up or down. During periods of severe market stress, it is possible that the market for some or all of a Fund’s investments may become highly illiquid. The U.S. government and the U.S. Federal Reserve, as well as certain foreign governments and central banks, have from time to time taken steps to support financial markets. The U.S. government and the U.S. Federal Reserve may, conversely, reduce market support activities, including by taking action intended to increase certain interest rates. This and other government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. Changes in government activities in this regard, such as changes in interest rate policy, can negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Fund invests. |
| • | mortgage-backed securities risk: the risk that borrowers may default on their mortgage obligations or the guarantees underlying the mortgage-backed securities will default or otherwise fail and that, during periods of falling interest rates, mortgage-backed securities will be called or prepaid, which may result in a Fund having to reinvest proceeds in other investments at a lower interest rate. During periods of rising interest rates, the average life of a mortgage-backed security may extend, which may lock in a below-market interest rate, increase the security’s duration, and reduce the value of the security. Enforcing rights against the underlying assets or collateral may be difficult, or the underlying assets or collateral may be insufficient if the issuer defaults. The values of certain types of mortgage-backed securities, such as inverse floaters and interest-only and principal-only securities, may be extremely sensitive to changes in interest rates and prepayment rates. A Fund may invest in mortgage-backed securities that are subordinate in their right to receive payment of interest and repayment of principal to other classes of the issuer’s securities. |
| • | operational and information security risks: an investment in a Fund, like any fund, can involve operational risks arising from factors such as processing errors, human errors, inadequate or failed internal or external processes, failures in systems and technology, changes in personnel and errors caused by third-party service providers. The occurrence of any of these failures, errors or breaches could result in investment losses to a Fund, a loss of information, regulatory scrutiny, reputational damage or other events, any of which could have a material adverse effect on a Fund. While a Fund seeks to minimize such events through controls and oversight, there may still be failures that could cause losses to the Fund. |
| • | portfolio turnover risk: the risk that frequent purchases and sales of portfolio securities may result in higher Fund expenses and may result in larger distributions of taxable capital gains to investors as compared to a fund that trades less frequently. |
| • | real estate sector risk: the risk that real estate-related investments may decline in value as a result of factors affecting the real estate sector, such as the supply of real property in certain markets, changes in zoning laws, delays in completion of construction, changes in real estate values, changes in property taxes, levels of occupancy, and local, regional, and general market conditions. Along with the risks common to different types of real estate-related investments, real estate investment trusts (“REITs”), no matter the type, involve additional risk factors, including poor performance by the REIT’s manager, |
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adverse changes to the tax laws, and the possible failure by the REIT to qualify for the favorable tax treatment available to REITs under the Internal Revenue Code, or the exemption from registration under the 1940 Act. REITs are not diversified and are heavily dependent on cash flow earned on the property interests they hold.
| • | restricted securities risk: the risk that a Fund may be prevented or limited by law or the terms of an agreement from selling a security (a “restricted security”). To the extent that a Fund is permitted to sell a restricted security, there can be no assurance that a trading market will exist at any particular time and a Fund may be unable to dispose of the security promptly at reasonable prices or at all. A Fund may have to bear the expense of registering the securities for resale and the risk of substantial delays in effecting the registration. Also, restricted securities may be difficult to value because market quotations may not be readily available, and the values of restricted securities may have significant volatility. |
| • | securities or sector selection risk: the risk that the securities held by a Fund will underperform securities held in other funds investing in similar asset classes or comparable benchmarks because of the portfolio managers’ choice of securities or sectors for investment. To the extent a Fund allocates a higher percentage of its investment portfolio to a particular sector or related sectors, the Fund will be more susceptible to events or factors affecting companies in that sector or related sectors. |
| • | short position risk: the risk that an increase in the value of an instrument, index or interest rate with respect to which a Fund has established a short position will result in a loss to the Fund. |
| • | sovereign debt obligations risk: the risk that investments in debt obligations of sovereign governments may lose value due to the government entity’s unwillingness or inability to repay principal and interest when due in accordance with the terms of the debt or otherwise in a timely manner. |
| • | structured products and structured notes risk: the risk that an investment in a structured product, which includes, among other things, CDOs, mortgage-backed securities, other types of asset-backed securities and certain types of structured notes, may decline in value due to changes in the underlying instruments, indexes, interest rates or other factors on which the product is based (“reference measure”). Depending on the reference measure used and the use of multipliers or deflators (if any), changes in interest rates and movement of the reference measure may cause significant price and cash flow fluctuations. In addition to the general risks associated with fixed income securities discussed herein, structured products carry additional risks including, but not limited to: (i) the possibility that distributions from underlying investments will not be adequate to make interest or other payments; (ii) the quality of the underlying investments may decline in value or default; (iii) the possibility that the security may be subordinate to other classes of the issuer’s securities; (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results; and (v) because the structured products are generally privately offered and sold, they may be thinly traded or have a limited trading market, which may increase a Fund’s illiquidity and reduce the Fund’s income and the value of the investment, and the Fund may be unable to find qualified buyers for these securities. |
| • | tax risk: in order to qualify as a regulated investment company under the Internal Revenue Code, a Fund must meet requirements regarding, among other things, the source of its income. Certain investments in commodity-linked derivatives do not give rise to qualifying income for this purpose, and it is possible that certain investments in other commodity-linked instruments, ETFs and other investment pools will not give rise to qualifying income. Any income a Fund derives from investments in instruments that do not generate qualifying income must be limited to a maximum of 10% of a Fund’s annual gross income. If a Fund were to earn non-qualifying income in excess of 10% of its annual gross income, it could fail to qualify as a regulated investment company for that year. If a Fund were to fail to qualify as a regulated investment company, the Fund would be subject to tax and shareholders of the Fund would be subject to the risk of diminished returns. |
| • | U.S. Government securities risk: the risk that debt securities issued or guaranteed by certain U.S. Government agencies, instrumentalities, and sponsored enterprises are not supported by the full faith and credit of the U.S. Government, and so investments in their securities or obligations issued by them involve credit risk greater than investments in other types of U.S. Government securities. |
| • | valuation risk: the risk that a Fund will not value its investments in a manner that accurately reflects their market values or that the Fund will not be able to sell any investment at a price equal to the valuation ascribed to that investment for purposes of calculating the Fund’s NAV. The valuation of a Fund’s investments involves subjective judgment. Certain securities in which a Fund may invest may be more difficult to value accurately, especially during periods of market disruptions or extreme market volatility. Incorrect valuations of a Fund’s portfolio holdings could result in such Fund’s shareholder transactions being effected at an NAV that does not accurately reflect the underlying value of such Fund’s portfolio, resulting in the dilution of shareholder interests. |
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Notes to Financial Statements (Cont.) |
15. Recently Issued Accounting Pronouncements
In December 2022, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Interbank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management did not adopt the optional guidance provided by ASU 2022-06 and does not intend to do so.
In November 2023, the FASB issued ASU 2023-07, “Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures (“ASU 2023-07”)”, which enhances disclosure requirements about significant segment expenses that are regularly provided to the chief operating decision maker (the “CODM”). ASU 2023-07, among other things, (i) requires a single segment public entity to provide all of the disclosures as required by Topic 280, (ii) requires a public entity to disclose the title and position of the CODM and an explanation of how the CODM uses the reported measure(s) of segment profit or loss in assessing segment performance and deciding how to allocate resources and (iii) provides the ability for a public entity to elect more than one performance measure. ASU 2023-07 is effective for the fiscal years beginning after December 15, 2023, and interim periods beginning with the first quarter ended March 31, 2025. Early adoption is permitted and retrospective adoption is required for all prior periods presented. The Funds are currently assessing the impact of this guidance, however, the Funds do not expect a material impact on their financial statements.
16. Subsequent Events
In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. The Funds have determined there are no subsequent events that would need to be disclosed in the Funds’ financial statements.
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Privacy Policy | | | (Unaudited) September 30, 2024 |
What Does DoubleLine Do With Your Personal Information?
This notice provides information about how DoubleLine (“we,” “our” and “us”) collects, discloses, and protects your personal information, and how you might choose to limit our ability to disclose certain information about you. Please read this notice carefully.
Why We Need Your Personal Information
All financial companies need to disclose customers’ personal information to run their everyday businesses, to appropriately tailor the services offered (where applicable), and to comply with our regulatory obligations. Accordingly, information, confidential and proprietary, plays an important role in the success of our business. However, we recognize that you have entrusted us with your personal and financial data, and we recognize our obligation to keep this information secure. Maintaining your privacy is important to us, and we hold ourselves to a high standard in its safekeeping and use. Most importantly, DoubleLine does not sell its customers’ non-public personal information to any third parties. DoubleLine uses its customers’ non-public personal information primarily to complete financial transactions that its customers request (where applicable), to make its customers aware of other financial products and services offered by a DoubleLine affiliated company, and to satisfy obligations we owe to regulatory bodies.
Information We May Collect
We may collect various types of personal data about you, including:
| • | Your personal identification information, which may include your name and passport information, your IP address, politically exposed person (“PEP”) status, and such other information as may be necessary for us to provide our services to you and to complete our customer due diligence process and discharge anti-money laundering obligations; |
| • | Your contact information, which may include postal address and e-mail address and your home and mobile telephone numbers; |
| • | Your family relationships, which may include your marital status, the identity of your spouse and the number of children that you have; |
| • | Your professional and employment information, which may include your level of education and professional qualifications, your employment, employer’s name and details of directorships and other offices which you may hold; and |
| • | Financial information, risk tolerance, sources of wealth and your assets, which may include details of shareholdings and beneficial interests in financial instruments, your bank details and your credit history. |
Where We Obtain Your Personal Information
| • | Information we receive about you on applications or other forms; |
| • | Information you may give us orally; |
| • | Information about your transactions with us or others; |
| • | Information you submit to us in correspondence, including emails or other electronic communications; and |
| • | Information about any bank account you use for transfers between your bank account and any DoubleLine investment account, including information provided when effecting wire transfers. |
Information Collected From Websites
Websites maintained by DoubleLine or its service providers may use a variety of technologies to collect information that help DoubleLine and its service providers understand how the website is used. Information collected from your web browser (including small files stored on your device that are commonly referred to as “cookies”) allow the websites to recognize your web browser and help to personalize and improve your user experience and enhance navigation of the website. You can change your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages may not function properly. Our websites may contain links that are maintained or controlled by third parties with privacy policies that may differ, in some cases significantly, from the privacy policies described in this notice. Please read the privacy policies of such third parties and understand that accessing their websites is at your own risk. Please contact your DoubleLine representative if you would like to receive more information about the privacy policies of third parties.
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| (Unaudited) September 30, 2024 |
We also use web analytics services, which currently include but are not limited to Google Analytics and Adobe Analytics. Such web analytics services use cookies and similar technologies to evaluate visitor’s use of the domain, compile statistical reports on domain activity, and provide other services related to our websites. For more information about Google Analytics, or to opt out of Google Analytics, please go to https://tools.google.com/dlpage/gaoptout. For more information about Adobe Analytics, or to opt out of Adobe Analytics, please go to: http://www.adobe.com/privacy/opt-out.html.
How And Why We May Disclose Your Information
DoubleLine does not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except that we may disclose the information listed above, as follows:
| • | It may be necessary for DoubleLine to provide information to nonaffiliated third parties in connection with our performance of the services we have agreed to provide to you. For example, it might be necessary to do so in order to process transactions and maintain accounts. |
| • | DoubleLine will release any of the non-public information listed above about a customer if directed to do so by that customer or if DoubleLine is required or authorized by law to do so, such as for the purpose of compliance with regulatory requirements or in the case of a court order, legal investigation, or other properly executed governmental request. |
| • | In order to alert a customer to other financial products and services offered by an affiliate, DoubleLine may disclose information to an affiliate, including companies using the DoubleLine name. Such products and services may include, for example, other investment products offered by a DoubleLine company. If you prefer that we not disclose non-public personal information about you to our affiliates for this purpose, you may direct us not to make such disclosures (other than disclosures permitted by law) by contacting us at Privacy@DoubleLine.com or at 1 (800) 285-1545. If you limit this sharing and you have a joint account, your decision will be applied to all owners of the account. |
We will limit access to your personal account information to those agents and vendors who need to know that information to provide products and services to you. We do not share your information to nonaffiliated third parties for marketing purposes. We maintain physical, electronic, and procedural safeguards to guard your non-public personal information.
Notice Related To The California Consumer Privacy Act (CCPA) And To “Natural Persons” Residing In The State Of California
DoubleLine collects and uses information that identifies, describes, references, links or relates to, or is associated with, a particular consumer or device (“Personal Information”). Personal Information we collect from our customers and consumers is covered under the Gramm-Leach-Bliley Act (“GLBA”) and is therefore excluded from the scope of the California Consumer Privacy Act, as amended by the California Privacy Rights Act (together, “CCPA”).
However, for California residents who are not DoubleLine customers or consumers, as those terms are defined by GLBA, the personal information we collect about you is subject to the CCPA. As such, you have privacy rights with respect to your personal information. Please review the following applicable California privacy notice that is available at https://www.doubleline.com, or by contacting us at Privacy@DoubleLine.com or at 1 (800) 285-1545.
CA Privacy Notice for Website Visitors, Media Subscribers and Business Representatives CA Privacy Notice for Employees
Notice To “Natural Persons” Residing In The European Economic Area (The “EEA”)
If you reside in the EEA, we may transfer your personal information outside the EEA, and will ensure that it is protected and transferred in a manner consistent with legal requirements applicable to the information. This can be done in a number of different ways, for instance:
| • | the country to which we send the personal information may have been assessed by the European Commission as providing an “adequate” level of protection for personal data; or |
| • | the recipient may have signed a contract based on standard contractual clauses approved by the European Commission. |
In other circumstances, the law may permit us to otherwise transfer your personal information outside the EEA. In all cases, however, any transfer of your personal information will be compliant with applicable data protection law.
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Notice To Investors In Cayman Islands Investment Funds
If you are a natural person, please review this notice as it applies to you directly. If you are a legal representative of a corporate or entity investor that provides us with any personal information about individuals (i.e., natural persons), you agree to furnish a copy of this notice to each such individual or otherwise advise them of its content.
Any international transfer of personal information will be compliant with the requirements of the Data Protection Act, 2017 of the Cayman Islands.
Privacy For Children
DoubleLine is concerned about the privacy of children. Our website and our services are not targeted at individuals under 18 years of age, and we do not knowingly collect any personal information from an individual under 18. If we learn that a child under the age of 13 (or such higher age as required by applicable law) has submitted personally identifiable information online without parental consent, we will take all reasonable measures to delete such information from its databases and to not use such information for any purpose (except where necessary to protect the safety of the child or others as required or allowed by law). If you become aware of any personally identifiable information, we have collected from children under 13 (or such higher age as required by applicable law), please contact us at Privacy@DoubleLine.com or at 1 (800) 285-1545. We do not sell or share any personal information and have no actual knowledge about selling or sharing personal information of individuals under the age of 16.
Retention Of Personal Information And Security
Your personal information will be retained for as long as required:
| • | for the purposes for which the personal information was collected; |
| • | in order to establish or defend legal rights or obligations or to satisfy any reporting or accounting obligations; and/or |
| • | as required by data protection laws and any other applicable laws or regulatory requirements, including, but not limited to, U.S. laws and regulations applicable to our business. |
We will undertake commercially reasonable efforts to protect the personal information that we hold with appropriate security measures.
Access To And Control Of Your Personal Information
Depending on your country of domicile or applicable law, you may have the following rights in respect of the personal information about you that we process:
| • | the right to access and port personal information; |
| • | the right to rectify personal information; |
| • | the right to restrict the use of personal information; |
| • | the right to request that personal information is erased; and |
| • | the right to object to processing of personal information. |
Although you have the right to request that your personal information be deleted at any time, applicable laws or regulatory requirements may prohibit us from doing so. In addition, if you invest in a DoubleLine fund through a financial intermediary, DoubleLine may not have access to personal information about you.
If you wish to exercise any of the rights set out above, please contact us at Privacy@DoubleLine.com or at 1 (800) 285-1545.
Changes To DoubleLine’s Privacy Policy
DoubleLine reserves the right to modify its privacy policy at any time, but in the event that there is a change that affects the content of this notice materially, DoubleLine will promptly inform its customers of such changes in accordance with applicable law.
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Form N-CSR – Items 8-11 | | | (Unaudited) September 30, 2024 |
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
There were no matters submitted during the period covered by the report to a vote of shareholders, through the solicitation of proxiesor otherwise.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
The information is included as part of the Financial Statements filed under Item 7 of this Form.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
There were no approvals or renewals of investment advisory contracts during the most recent fiscal half-year.
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Investment Advisers:
DoubleLine Capital LP and DoubleLine Alternatives LP
2002 North Tampa Street
Suite 200
Tampa, FL 33602
Distributor:
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Administrator and Transfer Agent:
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodians:
U.S. Bank, N.A.
1555 North River Center Drive
Suite 302
Milwaukee, WI 53212
State Street Bank and Trust Company
Channel Center
1 Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP
601 South Figueroa Street
Los Angeles, CA 90017
Legal Counsel:
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Contact Information:
doubleline.com
fundinfo@doubleline.com
(877) DLine11 or (877) 354-6311
DL-SARFINANCIALS-DFT
DoubleLine || 2002 North Tampa Street, Suite 200 || Tampa, FL 33602 || (813) 791-7333
fundinfo@doubleline.com || www.doubleline.com
| (b) | Financial Highlights are included within the financial statements filed under Item 7a of this Form N-CSR. |
Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.
See Item 7a.
Item 9. Proxy Disclosure for Open-End Investment Companies.
See Item 7a.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.
See Item 7a.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
See Item 7a.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
Item 16. Controls and Procedures.
| (a) | The Registrant’s principal executive and principal financial officers have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable for semi-annual reports. |
(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed. Not applicable.
(3) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)). Filed herewith.
(4) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(5) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. Not applicable to open-end investment companies.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | (Registrant) | DoubleLine Funds Trust | |
| | | | |
| | By (Signature and Title)* | /s/ Ronald R. Redell | |
| | | Ronald R. Redell, President | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | By (Signature and Title)* | /s/ Ronald R. Redell | |
| | | Ronald R. Redell, President | |
| | By (Signature and Title)* | /s/ Henry V. Chase | |
| | | Henry V. Chase, Treasurer and | |
| | | Principal Financial and Accounting Officer | |
