DoubleLine Income Fund
Schedule of Investments
June 30, 2022 (Unaudited)
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Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
Asset Backed Obligations - 12.3% | |
| 560,999 | | AASET Ltd., Series 2019-2-C | | | 6.41 | % (a)(g) | | 10/16/2039 | | | 342,839 | |
| 865,468 | | Business Jet Securities LLC, Series 2021-1A-C | | | 5.07 | % (a)(g) | | 04/15/2036 | | | 817,006 | |
| 9,500 | | Flagship Credit Auto Trust, Series 2018-4-R | | | 0.00 | % (a)(f)(g) | | 03/16/2026 | | | 792,048 | |
| 1,267,415 | | GAIA Aviation Ltd., Series 2019-1-C | | | 7.00 | % (a)(g)(h) | | 12/15/2044 | | | 873,161 | |
| 1,005,007 | | Pioneer Aircraft Finance Ltd., Series 2019-1-C | | | 6.90 | % (a)(g) | | 06/15/2044 | | | 683,557 | |
| 1,900,612 | | Regional Ltd., Series 2021-1A-A | | | 5.75 | % | | 04/15/2041 | | | 1,766,539 | |
| 20,000 | | SoFi Professional Loan Program Trust, Series 2021-A-R1 | | | 0.00 | % (a)(f)(g) | | 08/17/2043 | | | 394,915 | |
| 20,000 | | SoFi Professional Loan Program, Series 2018-A-R1 | | | 0.00 | % (a)(f)(g) | | 02/25/2042 | | | 444,745 | |
| 5,930 | | SoFi Professional Loan Program, Series 2018-A-R2 | | | 0.00 | % (a)(f)(g) | | 02/25/2042 | | | 131,867 | |
| 10,000 | | SoFi Professional Loan Program, Series 2021-B-R1 | | | 0.00 | % (a)(f)(g) | | 02/15/2047 | | | 553,666 | |
| 1,167,086 | | START Ireland, Series 2019-1-C | | | 6.41 | % (a)(g) | | 03/15/2044 | | | 884,505 | |
| 1,311,942 | | Sunnova Helios Issuer LLC, Series 2019-AA-B | | | 4.49 | % (a) | | 06/20/2046 | | | 1,267,227 | |
| 2,165,065 | | WAVE LLC, Series 2019-1-C | | | 6.41 | % (a)(g) | | 09/15/2044 | | | 1,487,238 | |
| | | | | | | | | | | | |
Total Asset Backed Obligations (Cost $12,594,552) | | | 10,439,313 | |
| | | | | | | | | | | | |
|
Collateralized Loan Obligations - 19.4% | |
| 700,000 | | AIMCO Ltd., Series 2021-15A-E (3 Month LIBOR USD + 5.95%, 5.95% Floor) | | | 6.99 | % (a) | | 10/17/2034 | | | 604,371 | |
| 1,250,000 | | Apidos, Series 2021-35A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | | | 6.81 | % (a) | | 04/20/2034 | | | 1,077,481 | |
| 500,000 | | Barings Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.30%, 6.30% Floor) | | | 7.48 | % (a) | | 04/25/2034 | | | 431,279 | |
| 500,000 | | Canyon Capital Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor) | | | 7.45 | % (a) | | 04/15/2034 | | | 434,366 | |
| 500,000 | | Canyon Capital Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.20%, 6.20% Floor) | | | 7.24 | % (a) | | 07/15/2034 | | | 427,372 | |
| 500,000 | | CIFC Funding Ltd., Series 2015-4A-CR2 (3 Month LIBOR USD + 3.00%, 3.00% Floor) | | | 4.06 | % (a) | | 04/20/2034 | | | 463,467 | |
| 500,000 | | CIFC Funding Ltd., Series 2021-4A-E (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 7.04 | % (a) | | 07/15/2033 | | | 445,106 | |
| 1,000,000 | | Goldentree Loan Opportunities Ltd., Series 2016-12A-DR (3 Month LIBOR USD + 2.90%) | | | 4.00 | % (a) | | 07/21/2030 | | | 936,780 | |
| 2,000,000 | | Highbridge Loan Management Ltd., Series 12A-18-C (3 Month LIBOR USD + 2.75%, 2.75% Floor) | | | 3.79 | % (a) | | 07/18/2031 | | | 1,797,400 | |
| 500,000 | | Madison Park Funding Ltd., Series 2021-48A-E (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 7.29 | % (a) | | 04/19/2033 | | | 454,925 | |
| 1,275,000 | | Magnetite Ltd., Series 2021-29A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | | | 6.79 | % (a) | | 01/15/2034 | | | 1,131,498 | |
| 1,000,000 | | Octagon Investment Partners Ltd., Series 2012-1A-CRR (3 Month LIBOR USD + 3.90%, 3.90% Floor) | | | 4.94 | % (a) | | 07/15/2029 | | | 905,899 | |
| 500,000 | | Octagon Investment Partners Ltd., Series 2018-2A-C (3 Month LIBOR USD + 2.85%) | | | 4.03 | % (a) | | 07/25/2030 | | | 451,716 | |
| 500,000 | | Octagon Investment Partners Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.50%, 6.50% Floor) | | | 7.54 | % (a) | | 04/15/2034 | | | 436,735 | |
| 500,000 | | OHA Credit Funding Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 7.31 | % (a) | | 07/02/2035 | | | 442,291 | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 500,000 | | Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor) | | | 7.16 | % (a) | | 07/20/2034 | | | 437,773 | |
| 1,000,000 | | RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor) | | | 6.84 | % (a) | | 04/15/2036 | | | 864,432 | |
| 1,000,000 | | Sound Point Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.86%, 6.86% Floor) | | | 7.92 | % (a) | | 07/20/2034 | | | 876,187 | |
| 3,500,000 | | Trimaran CAVU LLC, Series 2019-2A-C (3 Month LIBOR USD + 4.72%, 4.72% Floor) | | | 5.76 | % (a) | | 11/26/2032 | | | 3,299,112 | |
| 500,000 | | Venture Ltd., Series 2020-39A-D (3 Month LIBOR USD + 4.25%, 4.25% Floor) | | | 5.29 | % (a) | | 04/15/2033 | | | 491,470 | |
| | | | | | | | | | | | |
Total Collateralized Loan Obligations (Cost $18,028,459) | | | 16,409,660 | |
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Non-Agency Commercial Mortgage Backed Obligations - 21.7% | |
| 1,000,000 | | Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor) | | | 6.32 | % (a) | | 04/15/2034 | | | 944,380 | |
| 13,409,430 | | BANK, Series 2019-BN19-XFG | | | 1.17 | % (a)(b)(c) | | 08/15/2061 | | | 765,788 | |
| 1,250,000 | | BSREP Commercial Mortgage Trust, Series 2021-DC-G (1 Month LIBOR USD + 3.85%, 3.85% Floor) | | | 5.18 | % (a) | | 08/15/2038 | | | 1,125,042 | |
| 1,000,000 | | BX Trust, Series 2021-VIEW-F (1 Month LIBOR USD + 3.93%, 3.93% Floor) | | | 5.25 | % (a) | | 06/15/2036 | | | 930,072 | |
| 1,000,000 | | CLNC Ltd., Series 2019-FL1-D (Secured Overnight Financing Rate 1 Month + 3.01%, 2.90% Floor) | | | 4.52 | % (a) | | 08/20/2035 | | | 978,293 | |
| 17,739,000 | | Commercial Mortgage Pass-Through Trust, Series 2014-CR20-XF | | | 1.42 | % (a)(b)(c) | | 11/10/2047 | | | 218,580 | |
| 8,120,000 | | CSAIL Commercial Mortgage Trust, Series 2021-C20-XD | | | 1.60 | % (a)(b)(c) | | 03/15/2054 | | | 809,130 | |
| 87,000 | | DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.60%, 2.45% Floor) | | | 3.92 | % (a) | | 06/15/2033 | | | 78,700 | |
| 1,242,000 | | Fontainebleau Miami Beach Trust, Series 2019-FBLU-H | | | 4.09 | % (a)(b) | | 12/10/2036 | | | 1,090,600 | |
| 994,876 | | FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor) | | | 6.92 | % (a) | | 11/25/2028 | | | 979,734 | |
| 1,000,000 | | GS Mortgage Securities Corporation Trust, Series 2019-SMP-F (1 Month LIBOR USD + 3.10%, 3.10% Floor) | | | 4.42 | % (a) | | 08/15/2032 | | | 916,107 | |
| 1,250,000 | | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor) | | | 6.32 | % (a) | | 11/15/2036 | | | 1,184,171 | |
| 1,000,000 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-G | | | 4.60 | % (a)(b) | | 05/05/2032 | | | 881,931 | |
| 1,500,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-E | | | 3.36 | % (a)(b)(g) | | 09/15/2047 | | | 1,174,201 | |
| 1,250,000 | | Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor) | | | 6.58 | % (a) | | 11/15/2038 | | | 1,135,308 | |
| 308,000 | | Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) | | | 5.67 | % (a) | | 11/15/2034 | | | 286,970 | |
| 1,205,738 | | SMR Mortgage Trust, Series 2022-IND-G (Secured Overnight Financing Rate 1 Month + 7.50%, 7.50% Floor) | | | 8.78 | % (a) | | 02/15/2039 | | | 1,164,164 | |
| 810,080 | | Tharaldson Hotel Portfolio Trust, Series 2018-THL-F (1 Month LIBOR USD + 4.25%, 3.95% Floor) | | | 5.37 | % (a) | | 11/11/2034 | | | 736,488 | |
| 1,222,000 | | UBS Commercial Mortgage Trust, Series 2018-C12-C | | | 5.11 | % (b) | | 08/15/2051 | | | 1,102,701 | |
| 1,562,000 | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-D | | | 4.21 | % (a)(b) | | 03/10/2046 | | | 1,205,864 | |
| 48,314,000 | | Wells Fargo Commercial Mortgage Trust, Series 2016-C37-XB | | | 0.36 | % (b)(c) | | 12/15/2049 | | | 633,812 | |
| | | | | | | | | | | | |
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $20,954,186) | | | 18,342,036 | |
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Non-Agency Residential Collateralized Mortgage Obligations - 23.1% | |
| 1,000,000 | | AMSR Trust, Series 2020-SFR4-G2 | | | 4.87 | % (a) | | 11/19/2037 | | | 943,650 | |
| 2,000,000 | | AMSR Trust, Series 2021-SFR1-G | | | 4.61 | % (a)(b) | | 06/17/2038 | | | 1,754,556 | |
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Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 1,100,000 | | Angel Oak Mortgage Trust LLC, Series 2019-2-B2 | | | 6.29 | % (a)(b) | | 03/25/2049 | | | 1,034,400 | |
| 118,139 | | Citigroup Mortgage Loan Trust, Series 2019-E-A1 | | | 3.23 | % (a)(h) | | 11/25/2070 | | | 118,095 | |
| 1,250,000 | | Connecticut Avenue Securities Trust, Series 2021-R01-1M2 (Secured Overnight Financing Rate 30 Day Average + 1.55%) | | | 2.48 | % (a) | | 10/25/2041 | | | 1,161,705 | |
| 1,250,000 | | Connecticut Avenue Securities Trust, Series 2022-R01-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%) | | | 6.93 | % (a) | | 12/26/2041 | | | 1,029,613 | |
| 1,250,000 | | Connecticut Avenue Securities Trust, Series 2022-R02-2B2 (Secured Overnight Financing Rate 30 Day Average + 7.65%) | | | 8.58 | % (a) | | 01/27/2042 | | | 1,095,884 | |
| 1,372,000 | | CSMC Trust, Series 2021-NQM4-B2 | | | 4.18 | % (a)(b) | | 05/25/2066 | | | 1,055,015 | |
| 1,400,000 | | FMC GMSR Issuer Trust, Series 2021-GT1-B | | | 4.36 | % (a)(b) | | 07/25/2026 | | | 1,262,452 | |
| 1,750,000 | | FMC GMSR Issuer Trust, Series 2021-GT2-B | | | 4.44 | % (a)(b) | | 10/25/2026 | | | 1,570,073 | |
| 1,400,000 | | LHOME Mortgage Trust, Series 2021-RTL1-M | | | 4.46 | % (a)(b) | | 09/25/2026 | | | 1,284,606 | |
| 1,205,000 | | Progress Residential Trust, Series 2021-SFR1-H | | | 5.00 | % (a) | | 04/17/2038 | | | 1,083,638 | |
| 1,400,000 | | PRPM LLC, Series 2021-2-A2 | | | 3.77 | % (a)(b) | | 03/25/2026 | | | 1,318,530 | |
| 1,250,000 | | SG Residential Mortgage Trust, Series 2021-1-B2 | | | 4.30 | % (a)(b) | | 07/25/2061 | | | 884,361 | |
| 237,907 | | Velocity Commercial Capital Loan Trust, Series 2019-1-M4 | | | 4.61 | % (a)(b) | | 03/25/2049 | | | 218,262 | |
| 124,292 | | Velocity Commercial Capital Loan Trust, Series 2019-1-M5 | | | 5.70 | % (a)(b) | | 03/25/2049 | | | 115,305 | |
| 231,269 | | Velocity Commercial Capital Loan Trust, Series 2019-1-M6 | | | 6.79 | % (a)(b) | | 03/25/2049 | | | 208,936 | |
| 1,400,000 | | Verus Securitization Trust, Series 2020-5-B2 | | | 4.71 | % (a)(b) | | 05/25/2065 | | | 1,249,773 | |
| 1,500,000 | | Verus Securitization Trust, Series 2021-3-B2 | | | 3.96 | % (a)(b) | | 06/25/2066 | | | 1,087,344 | |
| 1,100,000 | | VOLT LLC, Series 2021-NPL5-A2 | | | 4.83 | % (a)(h) | | 03/27/2051 | | | 1,045,790 | |
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Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $22,341,334) | | | 19,521,988 | |
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US Government and Agency Mortgage Backed Obligations - 11.2% | |
| 1,504,795 | | Federal Home Loan Mortgage Corporation REMICS, Series 5004-LS (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | | | 4.53 | % (c)(e) | | 07/25/2050 | | | 246,208 | |
| 1,978,233 | | Federal Home Loan Mortgage Corporation REMICS, Series 5037-IO | | | 3.00 | % (c) | | 11/25/2050 | | | 371,090 | |
| 4,918,131 | | Federal Home Loan Mortgage Corporation REMICS, Series 5112-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap) | | | 1.57 | % (c)(e) | | 06/25/2051 | | | 81,344 | |
| 1,228,256 | | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA5-M2 (Secured Overnight Financing Rate 30 Day Average + 1.65%) | | | 2.58 | % (a) | | 01/25/2034 | | | 1,185,537 | |
| 1,250,000 | | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA1-B2 (Secured Overnight Financing Rate 30 Day Average + 7.10%) | | | 8.03 | % (a) | | 01/25/2042 | | | 1,016,667 | |
| 1,778,970 | | Federal National Mortgage Association, Series 2020-53-DI | | | 3.00 | % (c) | | 08/25/2060 | | | 310,088 | |
| 1,379,513 | | Federal National Mortgage Association, Series 2020-54-AS (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | | | 4.53 | % (c)(e) | | 08/25/2050 | | | 209,618 | |
| 1,372,613 | | Federal National Mortgage Association, Series 2020-77-S (-1 x Secured Overnight Financing Rate 30 Day Average + 4.15%, 4.15% Cap) | | | 3.22 | % (c)(e) | | 11/25/2050 | | | 118,481 | |
| 2,428,377 | | Federal National Mortgage Association, Series 2020-77-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 4.10%, 4.10% Cap) | | | 3.17 | % (c)(e) | | 11/25/2050 | | | 205,401 | |
| 1,027,098 | | Federal National Mortgage Association, Series 2020-M10-X2 | | | 1.84 | % (b)(c) | | 12/25/2030 | | | 106,052 | |
| 2,064,281 | | Federal National Mortgage Association, Series 2020-M17-X1 | | | 1.46 | % (b)(c) | | 01/25/2028 | | | 107,200 | |
| 2,421,021 | | Government National Mortgage Association, Series 2020-112-LS (-1 x Secured Overnight Financing Rate 30 Day Average + 6.20%, 6.20% Cap) | | | 5.43 | % (c)(e) | | 08/20/2050 | | | 412,694 | |
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Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 3,252,239 | | Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | | | 2.15 | % (c)(e) | | 09/20/2050 | | | 140,863 | |
| 2,714,036 | | Government National Mortgage Association, Series 2020-138-IL | | | 3.50 | % (c) | | 09/20/2050 | | | 450,497 | |
| 1,471,082 | | Government National Mortgage Association, Series 2020-140-SG (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap) | | | 4.75 | % (c)(e) | | 09/20/2050 | | | 240,797 | |
| 2,011,691 | | Government National Mortgage Association, Series 2020-142-SD (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 09/20/2050 | | | 326,638 | |
| 1,249,104 | | Government National Mortgage Association, Series 2020-160-LS (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 10/20/2050 | | | 184,767 | |
| 1,633,248 | | Government National Mortgage Association, Series 2020-167-NS (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 11/20/2050 | | | 233,454 | |
| 1,525,330 | | Government National Mortgage Association, Series 2020-167-SD (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 11/20/2050 | | | 242,276 | |
| 1,288,402 | | Government National Mortgage Association, Series 2020-188-LS (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 11/20/2050 | | | 189,035 | |
| 1,200,730 | | Government National Mortgage Association, Series 2020-189-SP (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 12/20/2050 | | | 165,082 | |
| 2,790,907 | | Government National Mortgage Association, Series 2020-196-DI | | | 2.50 | % (c) | | 12/20/2050 | | | 362,757 | |
| 1,624,496 | | Government National Mortgage Association, Series 2020-98-SA (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | | | 4.55 | % (c)(e) | | 07/20/2050 | | | 240,296 | |
| 5,378,422 | | Government National Mortgage Association, Series 2021-114-SB (-1 x 1 Month LIBOR USD + 2.60%, 2.60% Cap) | | | 1.00 | % (c)(e) | | 06/20/2051 | | | 116,857 | |
| 2,835,114 | | Government National Mortgage Association, Series 2021-117-HI | | | 3.50 | % (c) | | 07/20/2051 | | | 394,450 | |
| 4,574,710 | | Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 3.25% Cap) | | | 2.48 | % (c)(e) | | 07/20/2051 | | | 100,360 | |
| 3,835,759 | | Government National Mortgage Association, Series 2021-139-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap) | | | 2.43 | % (c)(e) | | 08/20/2051 | | | 180,646 | |
| 2,545,080 | | Government National Mortgage Association, Series 2021-2-IO | | | 0.88 | % (b)(c) | | 06/16/2063 | | | 180,831 | |
| 3,146,821 | | Government National Mortgage Association, Series 2021-46-ES (-1 x 1 Month LIBOR USD + 2.80%, 2.80% Cap) | | | 1.20 | % (c)(e) | | 03/20/2051 | | | 108,168 | |
| 5,193,972 | | Government National Mortgage Association, Series 2021-59-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | | | 1.83 | % (c)(e) | | 04/20/2051 | | | 89,770 | |
| 3,478,991 | | Government National Mortgage Association, Series 2021-80-IO | | | 0.90 | % (b)(c) | | 12/16/2062 | | | 272,355 | |
| 4,210,491 | | Government National Mortgage Association, Series 2021-96-TS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 3.25% Cap) | | | 2.48 | % (c)(e) | | 06/20/2051 | | | 144,348 | |
| 1,954,393 | | Government National Mortgage Association, Series 2021-98-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 06/20/2051 | | | 262,554 | |
| 1,835,214 | | Government National Mortgage Association, Series 2021-98-SH (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 06/20/2051 | | | 220,911 | |
| 2,082,644 | | Government National Mortgage Association, Series 2021-98-SW (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | | | 4.70 | % (c)(e) | | 06/20/2051 | | | 278,797 | |
| | | | | | | | | | | | |
Total US Government and Agency Mortgage Backed Obligations (Cost $14,270,200) | | | 9,496,889 | |
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|
US Government and Agency Obligations - 5.3% | |
| 4,000,000 | | United States Treasury Notes | | | 0.50 | % | | 08/31/2027 | | | 3,511,016 | |
| 1,000,000 | | United States Treasury Notes | | | 2.88 | % | | 05/15/2032 | | | 988,906 | |
| | | | | | | | | | | | |
Total US Government and Agency Obligations (Cost $5,004,863) | | | 4,499,922 | |
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Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| | | |
Short Term Investments - 6.7% | | | | | | | | | | |
| 1,904,717 | | First American Government Obligations Fund - Class U | | | 1.31 | % (d) | | | | | 1,904,717 | |
| 1,904,717 | | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | | | 1.35 | % (d) | | | | | 1,904,717 | |
| 1,904,718 | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 1.38 | % (d) | | | | | 1,904,718 | |
| | | | | | | | | | | | |
Total Short Term Investments (Cost $5,714,152) | | | 5,714,152 | |
| | | | | | | | | | |
| | | |
Total Investments - 99.7% (Cost $98,907,746) | | | | | | | | | 84,423,960 | |
| Other Assets in Excess of Liabilities - 0.3% | | | | | | | | | 236,304 | |
| | | | | | | | | | |
NET ASSETS - 100.0% | | | | | | | | $ | 84,660,264 | |
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| | (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) | Seven-day yield as of period end | |
| | (e) | 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. | |
| | (f) | 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. | |
| | (g) | Value determined using significant unobservable inputs. | |
| | (h) | The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of period end. | |
INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 23.1% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 21.7% | |
Collateralized Loan Obligations | | | 19.4% | |
Asset Backed Obligations | | | 12.3% | |
US Government and Agency Mortgage Backed Obligations | | | 11.2% | |
Short Term Investments | | | 6.7% | |
US Government and Agency Obligations | | | 5.3% | |
Other Assets and Liabilities | | | 0.3% | |
| | | | |
| | | 100.0% | |
| | | | |
Notes to Schedule of Investments
June 30, 2022 (Unaudited)
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 20 funds, DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth 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 Selective Credit Fund, DoubleLine Long Duration Total Return Bond Fund, DoubleLine Strategic Commodity Fund, DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Ultra Short Bond Fund, DoubleLine Shiller Enhanced International CAPE®, DoubleLine Real Estate and Income Fund (formerly known as DoubleLine Colony Real Estate and Income Fund), DoubleLine Emerging Markets Local Currency Bond Fund, DoubleLine Income Fund and DoubleLine Multi-Asset Trend Fund (each, a “Fund” and, collectively, the “Funds”).
Each Fund is classified as a diversified fund under the 1940 Act, except the DoubleLine Global Bond Fund, the DoubleLine Emerging Markets Local Currency Bond Fund and the DoubleLine Income 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:
| | | | | | | | | | | | | | | | | | |
| | | | | Commencement of Operations | |
| Fund Name | | Investment Objective | | I Shares | | | N Shares | | | A Shares | | | R6 Shares | |
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 Multi-Asset Growth Fund (Consolidated) | | Seek long-term capital appreciation | | | 12/20/2010 | | | | — | | | | 12/20/2010 | | | | — | |
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 | | | 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 Ultra Short Bond Fund | | Seek to provide a level of current income consistent with limited price volatility | | | 6/30/2016 | | | | 6/30/2016 | | | | — | | | | — | |
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 Real Estate and Income Fund | | Seek total return which exceeds the total return of its benchmark index over a full market cycle | | | 12/17/2018 | | | | 12/17/2018 | | | | — | | | | — | |
DoubleLine Emerging Markets Local Currency Bond Fund | | Seek high total return from current income and capital appreciation | | | 6/28/2019 | | | | 6/28/2019 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | | | Commencement of Operations | |
| Fund Name | | Investment Objective | | I Shares | | | N Shares | | | A Shares | | | R6 Shares | |
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 | | | | — | | | | — | |
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) |
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations 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.
| | |
Fixed-income class | | Examples of Inputs |
| All | | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”) |
| 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 evaluations provided by independent pricing services or broker dealer quotations. 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 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.
Securities may be fair valued by DoubleLine Capital LP (“DoubleLine Capital”) or DoubleLine Alternatives LP (“DoubleLine Alternatives”, formerly DoubleLine Commodity LP) (each, an “Adviser” and, collectively, the “Advisers”) in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Adviser’s valuation committee and the pricing group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations or third party vendor prices are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.
The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of June 30, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | DoubleLine Total Return
Bond Fund | | | DoubleLine
Core Fixed
Income Fund | | | DoubleLine
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 1,662,763,276 | | | $ | 90,884,664 | | | $ | 7,066,023 | | | $ | 3,865,179 | | | $ | 343,915,047 | | | $ | 21,782,424 | |
Affiliated Mutual Funds | | | — | | | | 503,365,400 | | | | — | | | | 4,079,671 | | | | — | | | | — | |
Common Stocks | | | — | | | | 1,450,535 | | | | 1,561,309 | | | | — | | | | 610,378 | | | | 17,742 | |
Exchange Traded Funds | | | — | | | | — | | | | — | | | | 2,911,529 | | | | — | | | | — | |
Real Estate Investment Trusts | | | — | | | | — | | | | — | | | | 875,130 | | | | — | | | | — | |
Total Level 1 | | | 1,662,763,276 | | | | 595,700,599 | | | | 8,627,332 | | | | 11,731,509 | | | | 344,525,425 | | | | 21,800,166 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
US Government and Agency Mortgage Backed Obligations | | | 16,010,175,667 | | | | 1,511,616,048 | | | | — | | | | 3,003,330 | | | | 195,478,990 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10,263,018,721 | | | | 998,163,419 | | | | — | | | | 5,148,597 | | | | 1,020,162,871 | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 3,702,290,788 | | | | 630,670,326 | | | | — | | | | — | | | | 992,281,990 | | | | 1,362,370 | |
US Government and Agency Obligations | | | 2,644,596,163 | | | | 1,680,541,726 | | | | — | | | | — | | | | 907,389,557 | | | | — | |
Asset Backed Obligations | | | 2,106,925,137 | | | | 394,857,488 | | | | — | | | | — | | | | 479,853,728 | | | | — | |
Collateralized Loan Obligations | | | 1,338,823,579 | | | | 353,924,777 | | | | — | | | | — | | | | 1,114,611,120 | | | | 6,615,020 | |
US Corporate Bonds | | | — | | | | 1,462,159,934 | | | | — | | | | — | | | | 462,022,425 | | | | 10,874,082 | |
Foreign Corporate Bonds | | | — | | | | 597,195,302 | | | | 396,936,445 | | | | — | | | | 696,771,806 | | | | 661,073 | |
Bank Loans | | | — | | | | 386,007,312 | | | | — | | | | — | | | | 421,152,268 | | | | 282,883,742 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | — | | | | 133,290,691 | | | | 196,711,037 | | | | — | | | | 126,962,478 | | | | — | |
Other Short Term Investments | | | — | | | | 6,708,880 | | | | — | | | | 4,882,789 | | | | 103,816,236 | | | | — | |
Municipal Bonds | | | — | | | | 6,021,952 | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | 36,065,830,055 | | | | 8,161,157,855 | | | | 593,647,482 | | | | 13,034,716 | | | | 6,520,503,469 | | | | 302,396,287 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 76,813,646 | | | | 139,122 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | 72,037,938 | | | | 7,587,452 | | | | — | | | | — | | | | — | | | | — | |
Collateralized Loan Obligations | | | 447,066 | | | | — | | | | — | | | | 119,229 | | | | — | | | | — | |
Common Stocks | | | — | | | | 2,142,453 | | | | — | | | | — | | | | — | | | | 1,138,845 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | DoubleLine Total Return
Bond Fund | | | DoubleLine
Core Fixed
Income Fund | | | DoubleLine
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | |
Bank Loans | | $ | — | | | $ | 490,110 | | | $ | — | | | $ | — | | | $ | — | | | $ | 392,471 | |
Foreign Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Rights | | | — | | | | 12,028 | | | | — | | | | — | | | | — | | | | — | |
Warrants | | | — | | | | 7,563 | | | | — | | | | — | | | | — | | | | — | |
Total Level 3 | | | 149,298,650 | | | | 10,378,728 | | | | — | | | | 119,229 | | | | — | | | | 1,531,316 | |
Total | | $ | 37,877,891,981 | | | $ | 8,767,237,182 | | | $ | 602,274,814 | | | $ | 24,885,454 | | | $ | 6,865,028,894 | | | $ | 325,727,769 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (114,344 | ) | | $ | — | | | $ | — | |
Total Level 1 | | | — | | | | — | | | | — | | | | (114,344 | ) | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | — | | | | — | | | | — | | | | (1,117,337 | ) | | | — | | | | — | |
Unfunded Loan Commitments | | | — | | | | (70,112 | ) | | | — | | | | — | | | | — | | | | (64,282 | ) |
Total Level 2 | | | — | | | | (70,112 | ) | | | — | | | | (1,117,337 | ) | | | — | | | | (64,282 | ) |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | — | | | $ | (70,112 | ) | | $ | — | | | $ | (1,231,681 | ) | | $ | — | | | $ | (64,282 | ) |
| | | | | | |
| Category | | 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
(Consolidated) | | | DoubleLine
Global Bond
Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 76,323,852 | | | $ | 23,784,693 | | | $ | 1,652,236 | | | $ | 963,864 | | | $ | 16,954,092 | | | $ | 5,726,110 | |
Common Stocks | | | 21,715 | | | | 43,050 | | | | 145,185 | | | | — | | | | — | | | | — | |
Total Level 1 | | | 76,345,567 | | | | 23,827,743 | | | | 1,797,421 | | | | 963,864 | | | | 16,954,092 | | | | 5,726,110 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Collateralized Loan Obligations | | | 1,324,314,253 | | | | 216,622,935 | | | | — | | | | — | | | | — | | | | — | |
US Government and Agency Obligations | | | 1,289,768,923 | | | | — | | | | — | | | | 9,933,117 | | | | — | | | | 43,881,165 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 985,758,535 | | | | 202,480,788 | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 951,173,046 | | | | 162,420,499 | | | | — | | | | — | | | | — | | | | — | |
Bank Loans | | | 612,776,471 | | | | 105,395,867 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | 520,867,600 | | | | 56,279,785 | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | 519,315,335 | | | | 71,154,124 | | | | 208,221,416 | | | | — | | | | — | | | | — | |
US Corporate Bonds | | | 512,374,156 | | | | 57,520,158 | | | | — | | | | — | | | | — | | | | — | |
US Government and Agency Mortgage Backed Obligations | | | 184,518,412 | | | | 84,286,162 | | | | — | | | | 37,236,876 | | | | — | | | | — | |
Other Short Term Investments | | | 147,497,405 | | | | 22,570,926 | | | | — | | | | — | | | | 240,850,723 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | 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
(Consolidated) | | | DoubleLine
Global Bond
Fund | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | $ | 84,409,341 | | | $ | 32,658,912 | | | $ | 47,933,897 | | | $ | — | | | $ | — | | | $ | 77,254,932 | |
Total Level 2 | | | 7,132,773,477 | | | | 1,011,390,156 | | | | 256,155,313 | | | | 47,169,993 | | | | 240,850,723 | | | | 121,136,097 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 5,255,409 | | | | 996,980 | | | | — | | | | — | | | | — | | | | — | |
Common Stocks | | | 1,159,929 | | | | 451,795 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | — | | | | 17,612,133 | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | — | | | | 8,156,055 | | | | — | | | | — | | | | — | | | | — | |
Bank Loans | | | — | | | | 107,165 | | | | — | | | | — | | | | — | | | | — | |
Collateralized Loan Obligations | | | — | | | | 63,867 | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Rights | | | — | | | | 2,883 | | | | — | | | | — | | | | — | | | | — | |
Warrants | | | — | | | | 852 | | | | — | | | | — | | | | — | | | | — | |
Total Level 3 | | | 6,415,338 | | | | 27,391,730 | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | 7,215,534,382 | | | $ | 1,062,609,629 | | | $ | 257,952,734 | | | $ | 48,133,857 | | | $ | 257,804,815 | | | $ | 126,862,207 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (236,853 | ) | | $ | — | | | $ | — | |
Total Level 1 | | | — | | | | — | | | | — | | | | (236,853 | ) | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | (1,063,550,627 | ) | | | — | | | | — | | | | — | | | | (22,571,205 | ) | | | — | |
Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | 52,493 | |
Unfunded Loan Commitments | | | — | | | | (23,108 | ) | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | (1,063,550,627 | ) | | | (23,108 | ) | | | — | | | | — | | | | (22,571,205 | ) | | | 52,493 | |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | (1,063,550,627 | ) | | $ | (23,108 | ) | | $ | — | | | $ | (236,853 | ) | | $ | (22,571,205 | ) | | $ | 52,493 | |
| | | | | | |
| Category | | DoubleLine
Infrastructure
Income Fund | | | DoubleLine
Ultra Short
Bond Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | | | Doubleline
Real Estate
and
Income
Fund | | | Doubleline
Emerging
Markets Local
Currency
Bond Fund | | | Doubleline
Income
Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 26,952,361 | | | $ | 3,397,167 | | | $ | 2,737,953 | | | $ | 444,547 | | | $ | 327,241 | | | $ | 5,714,152 | |
Affiliated Mutual Funds | | | — | | | | — | | | | 5,953,243 | | | | — | | | | — | | | | — | |
Total Level 1 | | | 26,952,361 | | | | 3,397,167 | | | | 8,691,196 | | | | 444,547 | | | | 327,241 | | | | 5,714,152 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | | 238,748,570 | | | | — | | | | 2,615,190 | | | | — | | | | — | | | | 3,033,766 | |
US Corporate Bonds | | | 144,223,857 | | | | 1,215,399 | | | | 5,857,516 | | | | 3,297,984 | | | | — | | | | — | |
Foreign Corporate Bonds | | | 56,326,570 | | | | 994,974 | | | | 4,318,210 | | | | 575,378 | | | | 1,347,609 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | DoubleLine
Infrastructure
Income Fund | | | DoubleLine
Ultra Short
Bond Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | | | Doubleline
Real Estate
and
Income
Fund | | | Doubleline
Emerging
Markets Local
Currency
Bond Fund | | | Doubleline
Income
Fund | |
Commercial Paper | | $ | — | | | $ | 2,234,869 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Collateralized Loan Obligations | | | — | | | | — | | | | 14,568,794 | | | | 3,861,222 | | | | — | | | | 16,409,660 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | — | | | | — | | | | 10,842,402 | | | | — | | | | — | | | | 19,521,988 | |
Non-Agency Commercial Mortgage Backed Obligations | | | — | | | | — | | | | 10,350,330 | | | | 2,678,238 | | | | — | | | | 17,167,835 | |
US Government and Agency Obligations | | | — | | | | — | | | | 5,428,069 | | | | 2,439,735 | | | | — | | | | 4,499,922 | |
Other Short Term Investments | | | — | | | | — | | | | 2,994,758 | | | | — | | | | — | | | | — | |
US Government and Agency Mortgage Backed Obligations | | | — | | | | — | | | | 2,977,319 | | | | — | | | | — | | | | 9,496,889 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | — | | | | — | | | | 773,365 | | | | — | | | | 6,797,609 | | | | — | |
Total Level 2 | | | 439,298,997 | | | | 4,445,242 | | | | 60,725,953 | | | | 12,852,557 | | | | 8,145,218 | | | | 70,130,060 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Corporate Bonds | | | 2,188,907 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,405,547 | |
Non-Agency Commercial Mortgage Backed Obligations | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,174,201 | |
Total Level 3 | | | 2,188,907 | | | | — | | | | — | | | | — | | | | — | | | | 8,579,748 | |
Total | | $ | 468,440,265 | | | $ | 7,842,409 | | | $ | 69,417,149 | | | $ | 13,297,104 | | | $ | 8,472,459 | | | $ | 84,423,960 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Level 2 | �� | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | — | | | | — | | | | (1,273,143 | ) | | | — | | | | — | | | | — | |
Excess Return Swaps | | | — | | | | — | | | | (1,289,040 | ) | | | (527,935 | ) | | | — | | | | — | |
Total Level 2 | | | — | | | | — | | | | (2,562,183 | ) | | | (527,935 | ) | | | — | | | | — | |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | — | | | $ | — | | | $ | (2,562,183 | ) | | $ | (527,935 | ) | | $ | — | | | $ | — | |
| | | | | | |
| Category | | DoubleLine
Multi-Asset
Trend Fund
(Consolidated) | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Mutual Funds | | $ | 9,896,982 | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | 3,048,543 | | | | | | | | | | | | | | | | | | | | | |
Total Level 1 | | | 12,945,525 | | | | | | | | | | | | | | | | | | | | | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
US Government and Agency Obligations | | | 1,235,403 | | | | | | | | | | | | | | | | | | | | | |
Other Short Term Investments | | | 984,307 | | | | | | | | | | | | | | | | | | | | | |
Total Level 2 | | | 2,219,710 | | | | | | | | | | | | | | | | | | | | | |
Level 3 | | | — | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 15,165,235 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | DoubleLine
Multi-Asset
Trend Fund
(Consolidated) | | | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | $ | — | | | | | | | | | | | | | | | | | | | | | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | 418,483 | | | | | | | | | | | | | | | | | | | | | |
Total Level 2 | | | 418,483 | | | | | | | | | | | | | | | | | | | | | |
Level 3 | | | — | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 418,483 | | | | | | | | | | | | | | | | | | | | | |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DoubleLine
Flexible Income Fund | | Fair Value
as of
3/31/2022 | | | Net
Realized
Gain
(Loss) | | | Net Change in
Unrealized
Appreciation
(Depreciation)(c) | | | Net Accretion
(Amortization) | | | Purchases(a) | | | Sales(b) | | | Transfers
Into
Level 3(d) | | | Transfers
Out of
Level 3(d) | | | Fair Value
as of
6/30/2022 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
6/30/2022(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | 18,148,394 | | | $ | 1 | | | $ | (672,913 | ) | | $ | — | | | $ | 252,285 | | | $ | (115,634 | ) | | $ | — | | | $ | — | | | $ | 17,612,133 | | | $ | (611,394 | ) |
Non-Agency Residential Collateralized Mortgage Obligations | | | 8,647,146 | | | | 27,297 | | | | (273,798 | ) | | | 36,774 | | | | — | | | | (281,364 | ) | | | — | | | | — | | | | 8,156,055 | | | | (255,760 | ) |
Non-Agency Commercial Mortgage Backed Obligations | | | 1,134,911 | | | | 2,051 | | | | (72,518 | ) | | | 2,267 | | | | — | | | | (69,731 | ) | | | — | | | | — | | | | 996,980 | | | | (83,377 | ) |
Common Stocks | | | 502,597 | | | | — | | | | (50,802 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 451,795 | | | | (50,802 | ) |
Bank Loans | | | 108,383 | | | | 115 | | | | (2,047 | ) | | | 1,046 | | | | — | | | | (332 | ) | | | — | | | | — | | | | 107,165 | | | | (1,929 | ) |
Collateralized Loan Obligations | | | 73,653 | | | | — | | | | (13,089 | ) | | | 305 | | | | 2,998 | | | | — | | | | — | | | | — | | | | 63,867 | | | | (10,922 | ) |
Rights | | | — | | | | — | | | | 2,883 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,883 | | | | — | |
Warrants | | | 1,287 | | | | — | | | | (435 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 852 | | | | (435 | ) |
Foreign Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Escrow Notes | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 28,616,371 | | | $ | 29,464 | | | $ | (1,082,719 | ) | | $ | 40,392 | | | $ | 255,283 | | | $ | (467,061 | ) | | $ | — | | | $ | — | | | $ | 27,391,730 | | | $ | (1,014,619 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DoubleLine
Income Fund | | Fair Value as of
3/31/2022 | | | Net
Realized
Gain
(Loss) | | | Net Change in
Unrealized
Appreciation
(Depreciation)(c) | | | Net Accretion
(Amortization) | | | Purchases(a) | | | Sales(b) | | | Transfers
Into
Level 3(d) | | | Transfers
Out of
Level 3(d) | | | Fair Value as of
6/30/2022 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
6/30/2022(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | 7,811,068 | | | $ | — | | | $ | (456,647 | ) | | $ | (276 | ) | | $ | 100,819 | | | $ | (49,417 | ) | | $ | — | | | $ | — | | | $ | 7,405,547 | | | $ | (431,167 | ) |
Non-Agency Commercial Mortgage Backed Obligations | | | 1,157,833 | | | | — | | | | 13,384 | | | | 2,984 | | | | — | | | | — | | | | — | | | | — | | | | 1,174,201 | | | | 13,384 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 8,968,901 | | | $ | — | | | $ | (443,263 | ) | | $ | 2,708 | | | $ | 100,819 | | | $ | (49,417 | ) | | $ | — | | | $ | — | | | $ | 8,579,748 | | | $ | (417,783 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 June 30, 2022 may be due to a security that was not held or categorized as Level 3 at either period end. |
| (a) | 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. |
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| | | | | | | | | | | | | | |
DoubleLine Flexible Income
Fund | | Fair Value as of 6/30/2022 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Asset Backed Obligations | | $ | 17,612,133 | | | Market Comparables | | Market Quotes | | | $66.45 - $1,685.22 ($222.97) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 8,156,055 | | | Market Comparables | | Market Quotes | | | $93.94 ($93.94) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Non-Agency Commercial Mortgage Backed Obligations | | $ | 996,980 | | | Market Comparables | | Market Quotes | | | $75.25 ($75.25) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Common Stocks | | $ | 451,795 | | | Market Comparables | | Market Quotes | | | $0.50 - $27.00 ($21.30) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Bank Loans | | $ | 107,165 | | | Market Comparables | | Market Quotes | | | $99.18 ($99.18) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Collateralized Loan Obligations | | $ | 63,867 | | | Market Comparables | | Market Quotes | | | $23.15 ($23.15) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Rights | | $ | 2,883 | | | Intrinsic Value | | Asset Sale Proceeds | | | $3.75 - $4.00 ($3.88) | | | Significant changes in asset sale proceeds would have resulted in direct changes in fair value of the security |
Warrants | | $ | 852 | | | Market Comparables | | Market Quotes | | | $0.20 ($0.20) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| | $ | — | | | Intrinsic Value | | Underlying Equity Price | | | $0.00 ($0.00) | | | Significant changes in the Underlying Equity Price would have resulted in direct changes in the fair value of the security |
| | | | | | | | | | | | | | |
DoubleLine Flexible Income
Fund | | Fair Value as of 6/30/2022 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Foreign Corporate Bonds | | $ | — | | | Market Comparables | | EBITDA Multiples | | | 5.5x (5.5x) | | | Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security |
Escrow Notes | | $ | — | | | Intrinsic Value | | Reserve Account Value | | | $0.00 ($0.00) | | | Significant changes in reserve account value would have resulted in direct changes in fair value of the security |
| DoubleLine Income Fund | | Fair
Value as
of
6/30/2022 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Asset Backed Obligations | | $ | 7,405,547 | | | Market Comparables | | Market Quotes | | | $61.11 - $8,337.34 ($1,634.58) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Non-Agency Commercial Mortgage Backed Obligations | | $ | 1,174,201 | | | Market Comparables | | Market Quotes | | | $78.28 ($78.28) | | | 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. |
