DoubleLine Multi-Asset Growth Fund (Consolidated)
Schedule of Investments
December 31, 2022 (Unaudited)
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
Collateralized Loan Obligations - 0.4% | |
| 1,000,000 | | Brookside Mill Ltd., Series 2013-1A-SUB | | | 0.00 | % (a)(b)(g)(i) | | 01/17/2028 | | | 92,090 | |
| | | | | | | | | | | | |
Total Collateralized Loan Obligations (Cost $364,357) | | | 92,090 | |
| | | | | | | | | | | | |
|
Non-Agency Residential Collateralized Mortgage Obligations - 20.6% | |
| 104,855 | | Adjustable Rate Mortgage Trust, Series 2006-1-2A1 | | | 4.23 | % (a) | | 03/25/2036 | | | 63,126 | |
| 500,000 | | AMSR Trust, Series 2021-SFR3-G | | | 3.80 | % (b) | | 10/17/2038 | | | 417,947 | |
| 255,807 | | Banc of America Alternative Loan Trust, Series 2006-7-A4 | | | 6.50 | % | | 10/25/2036 | | | 75,094 | |
| 21,725 | | BCAP LLC Trust, Series 2007-AA2-2A5 | | | 6.00 | % | | 04/25/2037 | | | 11,315 | |
| 139,319 | | Chase Mortgage Finance Trust, Series 2006-S2-1A13 | | | 6.25 | % | | 10/25/2036 | | | 61,538 | |
| 97,828 | | ChaseFlex Trust Series 2007-M1-2F4 | | | 4.11 | % (j) | | 08/25/2037 | | | 82,127 | |
| 97,080 | | CHL Mortgage Pass-Through Trust, Series 2007-10-A5 | | | 6.00 | % | | 07/25/2037 | | | 47,825 | |
| 5,606 | | CHL Mortgage Pass-Through Trust, Series 2007-4-1A5 | | | 6.50 | % | | 05/25/2037 | | | 2,856 | |
| 90,730 | | CitiMortgage Alternative Loan Trust, Series 2007-A6-1A11 | | | 6.00 | % | | 06/25/2037 | | | 77,550 | |
| 362,372 | | Countrywide Alternative Loan Trust, Series 2005-28CB-3A6 | | | 6.00 | % | | 08/25/2035 | | | 176,005 | |
| 154,462 | | Countrywide Alternative Loan Trust, Series 2005-48T1-A2 | | | 5.50 | % | | 11/25/2035 | | | 97,305 | |
| 151,402 | | Countrywide Alternative Loan Trust, Series 2005-J8-1A5 | | | 5.50 | % | | 07/25/2035 | | | 115,633 | |
| 253,563 | | Countrywide Alternative Loan Trust, Series 2006-32CB-A10 | | | 6.00 | % | | 11/25/2036 | | | 152,007 | |
| 49,406 | | Countrywide Alternative Loan Trust, Series 2006-32CB-A16 | | | 5.50 | % | | 11/25/2036 | | | 28,085 | |
| 670,605 | | Countrywide Alternative Loan Trust, Series 2006-J1-2A1 | | | 7.00 | % | | 02/25/2036 | | | 91,146 | |
| 9,060 | | Countrywide Alternative Loan Trust, Series 2007-17CB-1A10 (-5 x 1 Month LIBOR USD + 29.90%, 0.00% Floor, 29.90% Cap) | | | 9.71 | % (c) | | 08/25/2037 | | | 8,737 | |
| 6,767 | | Countrywide Alternative Loan Trust, Series 2007-21CB-2A2 (-4 x 1 Month LIBOR USD + 28.40%, 0.00% Floor, 28.40% Cap) | | | 10.85 | % (c) | | 09/25/2037 | | | 6,093 | |
| 52,098 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-1A3 | | | 5.25 | % | | 09/25/2035 | | | 42,672 | |
| 20,419 | | CSMC Mortgage-Backed Trust, Series 2006-9-4A1 | | | 6.00 | % | | 11/25/2036 | | | 13,306 | |
| 38,415 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) | | | 6.08 | % (b)(c) | | 04/15/2036 | | | 34,871 | |
| 157,121 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) | | | 6.08 | % (b)(c) | | 04/15/2036 | | | 137,423 | |
| 1,000,000 | | GSAA Home Equity Trust, Series 2006-15-AF3B | | | 5.93 | % (a) | | 09/25/2036 | | | 62,374 | |
| 37,059 | | GSR Mortgage Loan Trust, Series 2006-2F-2A20 (-1 x 1 Month LIBOR USD + 11.10%, 5.00% Floor, 11.10% Cap) | | | 6.98 | % (c) | | 02/25/2036 | | | 30,163 | |
| 236,895 | | Homeward Opportunities Fund Trust, Series 2020-BPL1-A2 | | | 5.44 | % (b)(j) | | 08/25/2025 | | | 237,184 | |
| 11,998 | | JP Morgan Alternative Loan Trust, Series 2005-S1-2A11 | | | 6.00 | % | | 12/25/2035 | | | 8,721 | |
| 247,100 | | JP Morgan Alternative Loan Trust, Series 2006-S1-1A3 | | | 5.50 | % | | 03/25/2036 | | | 134,224 | |
| 74,238 | | JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3 | | | 5.46 | % (j) | | 09/25/2029 | | | 47,217 | |
| 68,524 | | Lehman Mortgage Trust, Series 2005-1-3A3A | | | 5.61 | % | | 07/25/2035 | | | 59,846 | |
| 29,067 | | Lehman Mortgage Trust, Series 2006-4-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | | | 1.01 | % (c)(d) | | 08/25/2036 | | | 1,862 | |
| 1,817 | | Lehman Mortgage Trust, Series 2006-4-1A4 | | | 6.00 | % | | 08/25/2036 | | | 1,467 | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 587,614 | | Lehman Mortgage Trust, Series 2007-10-2A1 | | | 6.50 | % | | 01/25/2038 | | | 196,986 | |
| 247,632 | | Lehman Mortgage Trust, Series 2007-5-11A1 | | | 4.69 | % (a) | | 06/25/2037 | | | 153,953 | |
| 107,425 | | MASTR Resecuritization Trust, Series 2008-4-A1 | | | 6.00 | % (a)(b) | | 06/27/2036 | | | 84,941 | |
| 187,612 | | Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1 | | | 6.00 | % | | 10/25/2037 | | | 110,386 | |
| 500,000 | | NMLT Trust, Series 2021-INV2-B2 | | | 4.07 | % (a)(b) | | 08/25/2056 | | | 291,718 | |
| 400,000 | | Progress Residential Trust, Series 2021-SFR3-G | | | 4.25 | % (b) | | 05/17/2026 | | | 340,663 | |
| 496,416 | | PRPM LLC, Series 2022-5-A1 | | | 6.90 | % (b)(j) | | 09/27/2027 | | | 493,154 | |
| 66,507 | | RAMP Trust, Series 2004-RS2-MII1 (1 Month LIBOR USD + 0.58%, 0.87% Floor, 14.00% Cap) | | | 5.26 | % | | 02/25/2034 | | | 65,309 | |
| 1,288 | | Residential Accredit Loans, Inc., Series 2006-QS13-1A8 | | | 6.00 | % | | 09/25/2036 | | | 994 | |
| 14,115 | | Residential Accredit Loans, Inc., Series 2006-QS7-A4 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap) | | | 4.79 | % | | 06/25/2036 | | | 10,260 | |
| 42,344 | | Residential Accredit Loans, Inc., Series 2006-QS7-A5 (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | | | 1.21 | % (c)(d) | | 06/25/2036 | | | 2,284 | |
| 26,996 | | Residential Accredit Loans, Inc., Series 2006-QS8-A4 (1 Month LIBOR USD + 0.45%, 0.45% Floor) | | | 4.84 | % | | 08/25/2036 | | | 19,585 | |
| 80,989 | | Residential Accredit Loans, Inc., Series 2006-QS8-A5 (-1 x 1 Month LIBOR USD + 5.55%, 0.00% Floor, 5.55% Cap) | | | 1.16 | % (c)(d) | | 08/25/2036 | | | 5,912 | |
| 126,917 | | Residential Asset Securitization Trust, Series 2005-A11-1A4 | | | 5.50 | % | | 10/25/2035 | | | 88,540 | |
| 11,870 | | Residential Asset Securitization Trust, Series 2005-A12-A12 | | | 5.50 | % | | 11/25/2035 | | | 7,139 | |
| 302,082 | | Residential Asset Securitization Trust, Series 2007-A1-A8 | | | 6.00 | % | | 03/25/2037 | | | 104,292 | |
| 192,442 | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-8-A6 | | | 4.17 | % | | 10/25/2036 | | | 71,037 | |
| | | | | | | | | | | | |
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $6,673,311) | | | 4,372,872 | |
| | | | | | | | | | | | |
|
US Government and Agency Mortgage Backed Obligations - 7.9% | |
| 22,871 | | Federal Home Loan Mortgage Corporation REMICS, Series 3261-SA (-1 x 1 Month LIBOR USD + 6.43%, 0.00% Floor, 6.43% Cap) | | | 2.11 | % (c)(d) | | 01/15/2037 | | | 1,733 | |
| 45,213 | | Federal Home Loan Mortgage Corporation REMICS, Series 3355-BI (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | | | 1.73 | % (c)(d) | | 08/15/2037 | | | 3,063 | |
| 11,073 | | Federal Home Loan Mortgage Corporation REMICS, Series 3384-S (-1 x 1 Month LIBOR USD + 6.39%, 0.00% Floor, 6.39% Cap) | | | 2.07 | % (c)(d) | | 11/15/2037 | | | 621 | |
| 46,303 | | Federal Home Loan Mortgage Corporation REMICS, Series 3384-SG (-1 x 1 Month LIBOR USD + 6.31%, 0.00% Floor, 6.31% Cap) | | | 1.99 | % (c)(d) | | 08/15/2036 | | | 3,838 | |
| 6,623 | | Federal Home Loan Mortgage Corporation REMICS, Series 3417-SX (-1 x 1 Month LIBOR USD + 6.18%, 0.00% Floor, 6.18% Cap) | | | 1.86 | % (c)(d) | | 02/15/2038 | | | 440 | |
| 21,983 | | Federal Home Loan Mortgage Corporation REMICS, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 0.00% Floor, 5.65% Cap) | | | 1.33 | % (c)(d) | | 03/15/2038 | | | 1,146 | |
| 167,668 | | Federal Home Loan Mortgage Corporation REMICS, Series 3423-TG (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 0.35% Cap) | | | 0.35 | % (c)(d) | | 03/15/2038 | | | 774 | |
| 15,475 | | Federal Home Loan Mortgage Corporation REMICS, Series 3500-SA (-1 x 1 Month LIBOR USD + 5.52%, 0.00% Floor, 5.52% Cap) | | | 1.20 | % (c)(d) | | 01/15/2039 | | | 690 | |
| 86,018 | | Federal Home Loan Mortgage Corporation REMICS, Series 3523-SM (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | | | 1.68 | %(c)(d) | | 04/15/2039 | | | 5,408 | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 3,520 | | Federal Home Loan Mortgage Corporation REMICS, Series 3562-WS (-1 x 1 Month LIBOR USD + 4.95%, 0.00% Floor, 4.95% Cap) | | | 0.63 | % (c)(d) | | 08/15/2039 | | | 144 | |
| 36,352 | | Federal Home Loan Mortgage Corporation REMICS, Series 3728-SV (-1 x 1 Month LIBOR USD + 4.45%, 0.00% Floor, 4.45% Cap) | | | 0.13 | % (c)(d) | | 09/15/2040 | | | 1,021 | |
| 57,202 | | Federal Home Loan Mortgage Corporation REMICS, Series 3758-S (-1 x 1 Month LIBOR USD + 6.03%, 0.00% Floor, 6.03% Cap) | | | 1.71 | % (c)(d) | | 11/15/2040 | | | 4,448 | |
| 39,097 | | Federal Home Loan Mortgage Corporation REMICS, Series 3779-DZ | | | 4.50 | % | | 12/15/2040 | | | 37,590 | |
| 83,165 | | Federal Home Loan Mortgage Corporation REMICS, Series 3815-ST (-1 x 1 Month LIBOR USD + 5.85%, 0.00% Floor, 5.85% Cap) | | | 1.53 | % (c)(d) | | 02/15/2041 | | | 6,527 | |
| 26,649 | | Federal Home Loan Mortgage Corporation REMICS, Series 3900-SB (-1 x 1 Month LIBOR USD + 5.97%, 0.00% Floor, 5.97% Cap) | | | 1.65 | % (c)(d) | | 07/15/2041 | | | 1,330 | |
| 36,206 | | Federal National Mortgage Association REMICS, Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 0.00% Floor, 6.58% Cap) | | | 2.19 | % (c)(d) | | 10/25/2036 | | | 3,267 | |
| 17,884 | | Federal National Mortgage Association REMICS, Series 2006-123-LI (-1 x 1 Month LIBOR USD + 6.32%, 0.00% Floor, 6.32% Cap) | | | 1.93 | % (c)(d) | | 01/25/2037 | | | 1,613 | |
| 138,178 | | Federal National Mortgage Association REMICS, Series 2007-39-AI (-1 x 1 Month LIBOR USD + 6.12%, 0.00% Floor, 6.12% Cap) | | | 1.73 | % (c)(d) | | 05/25/2037 | | | 9,621 | |
| 57,355 | | Federal National Mortgage Association REMICS, Series 2007-57-SX (-1 x 1 Month LIBOR USD + 6.62%, 0.00% Floor, 6.62% Cap) | | | 2.23 | % (c)(d) | | 10/25/2036 | | | 4,815 | |
| 3,560 | | Federal National Mortgage Association REMICS, Series 2009-49-S (-1 x 1 Month LIBOR USD + 6.75%, 0.00% Floor, 6.75% Cap) | | | 2.36 | % (c)(d) | | 07/25/2039 | | | 216 | |
| 72,392 | | Federal National Mortgage Association REMICS, Series 2009-86-CI (-1 x 1 Month LIBOR USD + 5.80%, 0.00% Floor, 5.80% Cap) | | | 1.41 | % (c)(d) | | 09/25/2036 | | | 3,040 | |
| 16,938 | | Federal National Mortgage Association REMICS, Series 2009-90-IA (-1 x 1 Month LIBOR USD + 5.75%, 0.00% Floor, 5.75% Cap) | | | 1.36 | % (c)(d) | | 03/25/2037 | | | 810 | |
| 15,435 | | Federal National Mortgage Association REMICS, Series 2009-90-IB (-1 x 1 Month LIBOR USD + 5.72%, 0.00% Floor, 5.72% Cap) | | | 1.33 | % (c)(d) | | 04/25/2037 | | | 647 | |
| 90,355 | | Federal National Mortgage Association REMICS, Series 2010-39-SL (-1 x 1 Month LIBOR USD + 5.67%, 0.00% Floor, 5.67% Cap) | | | 1.28 | % (c)(d) | | 05/25/2040 | | | 5,170 | |
| 4,229 | | Federal National Mortgage Association REMICS, Series 2011-5-PS (-1 x 1 Month LIBOR USD + 6.40%, 0.00% Floor, 6.40% Cap) | | | 2.01 | % (c)(d) | | 11/25/2040 | | | 18 | |
| 248,708 | | Federal National Mortgage Association REMICS, Series 2012-30-DZ | | | 4.00 | % | | 04/25/2042 | | | 235,100 | |
| 1,332,612 | | Federal National Mortgage Association REMICS, Series 2013-53-ZC | | | 3.00 | % (e) | | 06/25/2043 | | | 1,184,604 | |
| 9,635 | | Government National Mortgage Association, Series 2009-6-SM (-1 x 1 Month LIBOR USD + 5.95%, 0.00% Floor, 5.95% Cap) | | | 1.60 | % (c)(d) | | 02/20/2038 | | | 47 | |
| 99,911 | | Government National Mortgage Association, Series 2011-45-GZ | | | 4.50 | % | | 03/20/2041 | | | 95,883 | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 66,976 | | Government National Mortgage Association, Series 2011-7-LS (-2 x 1 Month LIBOR USD + 9.88%, 0.00% Floor, 9.88% Cap) | | | 1.17 | % (c) | | 12/20/2040 | | | 60,831 | |
| | | | | | | | | | | | |
Total US Government and Agency Mortgage Backed Obligations (Cost $1,875,388) | | | 1,674,455 | |
| | | | | | | | | | | | |
|
Affiliated Mutual Funds - 18.3% | |
| 124,955 | | DoubleLine Core Fixed Income Fund (Class R6) | | | | | | | | | 1,148,336 | |
| 188,730 | | DoubleLine Flexible Income Fund (Class R6) | | | | | | | | | 1,581,553 | |
| 131,152 | | DoubleLine Total Return Bond Fund (Class R6) | | | | | | | | | 1,151,516 | |
| | | | | | | | | | | | |
Total Affiliated Mutual Funds (Cost $4,168,318) | | | 3,881,405 | |
| | | | | | | | | | | | |
|
Exchange Traded Funds - 10.9% | |
| 16,800 | | iShares ESG MSCI USA Leaders ETF | | | | | | | | | 1,114,008 | |
| 13,500 | | iShares MSCI Canada Index ETF | | | | | | | | | 441,855 | |
| 9,000 | | KraneShares CSI China Internet ETF | | | | | | | | | 271,800 | |
| 13,473 | | KraneShares Global Carbon ETF | | | | | | | | | 491,360 | |
| | | | | | | | | | | | |
Total Exchange Traded Funds (Cost $2,421,166) | | | 2,319,023 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trusts - 3.1% | |
| 59,000 | | Chimera Investment Corporation | | | | | | | | | 324,500 | |
| 33,000 | | MFA Financial, Inc. | | | | | | | | | 325,050 | |
| | | | | | | | | | | | |
Total Real Estate Investment Trusts (Cost $1,174,716) | | | 649,550 | |
| | | | | | | | | | | | |
|
Short Term Investments - 37.3% | |
| 1,106,269 | | First American Government Obligations Fund - Class U | | | 4.10 | % (f) | | | | | 1,106,269 | |
| 1,106,269 | | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | | | 4.11 | % (f) | | | | | 1,106,269 | |
| 1,106,269 | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 4.11 | % (f) | | | | | 1,106,269 | |
| 100,000 | | United States Treasury Bills | | | 0.00 | % | | 01/26/2023 | | | 99,752 | |
| 1,080,000 | | United States Treasury Bills | | | 0.00 | % | | 04/20/2023 | | | 1,065,936 | |
| 2,800,000 | | United States Treasury Bills | | | 0.00 | % (h) | | 05/18/2023 | | | 2,752,652 | |
| 500,000 | | United States Treasury Bills | | | 0.00 | % | | 06/01/2023 | | | 490,693 | |
| 200,000 | | United States Treasury Bills | | | 0.00 | % (h) | | 10/05/2023 | | | 193,250 | |
| | | | | | | | | | | | |
Total Short Term Investments (Cost $7,953,357) | | | 7,921,090 | |
| | | | | | | | | | |
| |
Total Investments - 98.5% (Cost $24,630,613) | | | 20,910,485 | |
| Other Assets in Excess of Liabilities - 1.5% | | | 322,253 | |
| | | | |
NET ASSETS - 100.0% | | $ | 21,232,738 | |
| | | | | | | | | | | | |
| | (a) | 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. | |
| | (b) | 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. | |
| | (c) | 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. | |
| | (d) | Interest only security | |
| | (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) | Seven-day yield as of period end | |
| | (g) | 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. | |
| | (h) | All or a portion of this security has been pledged as collateral. | |
| | (i) | Value determined using significant unobservable inputs. | |
| | (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. | |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
| | | | |
Short Term Investments | | | 37.3% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 20.6% | |
Affiliated Mutual Funds | | | 18.3% | |
Exchange Traded Funds | | | 10.9% | |
US Government and Agency Mortgage Backed Obligations | | | 7.9% | |
Real Estate Investment Trusts | | | 3.1% | |
Collateralized Loan Obligations | | | 0.4% | |
Other Assets and Liabilities | | | 1.5% | |
| | | | |
| | | 100.0% | |
| | | | |
FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | |
| Description | | Long/Short | | | Contract
Quantity | | | Expiration
Date | | | Notional
Amount(1) | | | Unrealized
Appreciation
(Depreciation)/ Value | |
US Treasury Ultra Long Bond Future | | | Long | | | | 3 | | | | 03/22/2023 | | | | 402,938 | | | $ | 861 | |
10-Year US Treasury Note Future | | | Long | | | | 10 | | | | 03/22/2023 | | | | 1,182,813 | | | | (1,740 | ) |
MSCI EAFE Index Futures | | | Long | | | | 25 | | | | 03/17/2023 | | | | 1,199,250 | | | | (13,185 | ) |
E-mini Russell 2000 Futures | | | Long | | | | 7 | | | | 03/17/2023 | | | | 619,815 | | | | (14,243 | ) |
MSCI EAFE Index Futures | | | Long | | | | 30 | | | | 03/17/2023 | | | | 2,924,100 | | | | (49,722 | ) |
E-Mini S&P 500 Index Future | | | Long | | | | 12 | | | | 03/17/2023 | | | | 2,316,600 | | | | (64,468 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (142,497 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (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. |
SWAP AGREEMENTS
EXCESS RETURN SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | | Long/Short | | | Financing
Rate | | | Payment
Frequency | | | Termination
Date | | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation)/ Value | |
Shiller Barclays CAPE® US Sector II ER USD Index (i) | |
| Barclays
Capital, Inc. |
| | | Long | | | | 0.40 | % | | | Termination | | | | 10/31/2023 | | | | 4,500,000 | | | $ | 188,744 | |
Long Commodity Basket Swap (ii) | | | Morgan Stanley | | | | Long | | | | 0.19 | % | | | Termination | | | | 01/05/2023 | | | | 1,050,000 | | | | 1,258 | |
Short Commodity Basket Swap (iii) | | | Morgan Stanley | | | | Short | | | | (0.22 | )% | | | Termination | | | | 01/05/2023 | | | | (1,050,000 | ) | | | (2,959 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 187,043 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (i) | 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 December 31, 2022, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E. |
| (ii) | Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the Morgan Stanley index. At December 31, 2022, all constituents and their weightings were as follows: |
| | | | | | | | | | | | | | | | |
| Sub-Index | | Ticker | | | Contract
Value(iv) | | | Value of
Index | | | Weightings | |
Morgan Stanley Brent Oil Roll | | | MSCYCO0 | | | | 0.18 | | | $ | 116 | | | | 17.2 | % |
Morgan Stanley Heating Oil Roll | | | MSCYHO0 | | | | 0.12 | | | | 113 | | | | 16.8 | % |
Morgan Stanley Gasoil Roll | | | MSCYQS0 | | | | 0.14 | | | | 113 | | | | 16.7 | % |
Morgan Stanley Zinc Roll | | | MSCYLX0 | | | | 0.16 | | | | 112 | | | | 16.6 | % |
Morgan Stanley Sugar Roll | | | MSCYSB0 | | | | 0.24 | | | | 111 | | | | 16.4 | % |
Morgan Stanley Natural Gas Roll | | | MSCYNG0 | | | | 0.91 | | | | 110 | | | | 16.3 | % |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 675 | | | | 100.0 | % |
| | | | | | | | | | | | | | | | |
| (iii) | Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the Morgan Stanley index. At December 31, 2022, all constituents and their weightings were as follows: |
| | | | | | | | | | | | | | | | |
| Sub-Index | | Ticker | | | Contract
Value(iv) | | | Value of
Index | | | Weightings | |
Morgan Stanley Wheat Roll | | | MSCYWH0 | | | | 0.46 | | | $ | 153 | | | | 17.0 | % |
Morgan Stanley Cocoa Roll | | | MSCYCC0 | | | | 0.41 | | | | 151 | | | | 16.8 | % |
Morgan Stanley Soybeans Roll | | | MSCYSY0 | | | | 0.22 | | | | 150 | | | | 16.7 | % |
Morgan Stanley Gold Roll | | | MSCYGC0 | | | | 0.23 | | | | 149 | | | | 16.6 | % |
Morgan Stanley Silver Roll | | | MSCYSI0 | | | | 0.23 | | | | 148 | | | | 16.5 | % |
Morgan Stanley Aluminum Roll | | | MSCYLA0 | | | | 0.30 | | | | 148 | | | | 16.4 | % |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 899 | | | | 100.0 | % |
| | | | | | | | | | | | | | | | |
| (iv) | 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. |
AFFILIATED MUTUAL FUNDS
A summary of the DoubleLine Multi-Asset Growth Fund’s investments in affiliated mutual funds for the period ended December 31, 2022 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2022 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
December 31,
2022 | | | Value at
December 31,
2022 | | | Change in
Unrealized
for the
Period Ended
December 31,
2022 | | | Dividend
Income
Earned
for the
Period Ended
December 31,
2022 | | | Net Realized
Gain (Loss)
for the
Period Ended
December 31,
2022 | |
DoubleLine Flexible Income Fund (Class R6) | | $ | — | | | $ | 1,689,129 | | | $ | — | | | | 188,730 | | | $ | 1,581,553 | | | $ | (107,576 | ) | | $ | 54,055 | | | $ | — | |
DoubleLine Total Return Bond Fund (Class R6) | | | — | | | | 1,244,634 | | | | — | | | | 131,152 | | | | 1,151,516 | | | | (93,118 | ) | | | 31,147 | | | | — | |
DoubleLine Core Fixed Income Fund (Class R6) | | | — | | | | 1,234,555 | | | | — | | | | 124,955 | | | | 1,148,336 | | | | (86,219 | ) | | | 32,918 | | | | — | |
DoubleLine Flexible Income Fund (Class I) | | | 1,738,199 | | | | — | | | | (1,689,129 | ) | | | — | | | | — | | | | 122,674 | | | | 5,228 | | | | (171,744 | ) |
DoubleLine Core Fixed Income Fund (Class I) | | | 1,290,785 | | | | — | | | | (1,234,555 | ) | | | — | | | | — | | | | 63,727 | | | | 3,393 | | | | (119,957 | ) |
DoubleLine Total Return Bond Fund (Class I) | | | 1,287,914 | | | | — | | | | (1,244,634 | ) | | | — | | | | — | | | | 107,762 | | | | 3,276 | | | | (151,042 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 4,316,898 | | | $ | 4,168,318 | | | $ | (4,168,318 | ) | | | 444,837 | | | $ | 3,881,405 | | | $ | 7,250 | | | $ | 130,017 | | | $ | (442,743 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Notes to Schedule of Investments
December 31, 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 19 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 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, 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 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 | | | | — | | | | — | |
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.
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 adviser, 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 a 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 Fund’s investments as of December 31, 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 | | | | | | | | | | | | | | | | | | | | | | | | |
Short Term Investments | | $ | 116,605,968 | | | $ | 48,512,955 | | | $ | 18,125,987 | | | $ | 3,318,807 | | | $ | 24,544,755 | | | $ | 19,740,772 | |
Affiliated Mutual Funds | | | — | | | | 448,502,550 | | | | — | | | | 3,881,405 | | | | — | | | | — | |
Common Stocks | | | — | | | | 1,424,793 | | | | 1,617,312 | | | | — | | | | 632,264 | | | | — | |
Warrants | | | — | | | | 11,266 | | | | — | | | | — | | | | — | | | | — | |
Exchange Traded Funds | | | — | | | | — | | | | — | | | | 2,319,023 | | | | — | | | | — | |
Real Estate Investment Trusts | | | — | | | | — | | | | — | | | | 649,550 | | | | — | | | | — | |
Total Level 1 | | | 116,605,969 | | | | 498,451,564 | | | | 19,743,299 | | | | 10,168,785 | | | | 25,177,019 | | | | 19,740,772 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
US Government and Agency Mortgage Backed Obligations | | | 14,458,512,397 | | | | 1,218,752,542 | | | | — | | | | 1,674,455 | | | | 137,509,506 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 9,039,586,085 | | | | 886,366,196 | | | | — | | | | 4,372,872 | | | | 830,325,251 | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 2,979,940,584 | | | | 464,106,102 | | | | — | | | | — | | | | 845,079,852 | | | | 1,362,534 | |
US Government and Agency Obligations | | | 2,654,009,112 | | | | 1,371,292,346 | | | | — | | | | — | | | | 1,166,025,790 | | | | — | |
Asset Backed Obligations | | | 1,529,938,005 | | | | 286,330,803 | | | | — | | | | — | | | | 337,032,966 | | | | — | |
Collateralized Loan Obligations | | | 1,222,234,925 | | | | 324,625,697 | | | | — | | | | — | | | | 1,012,764,366 | | | | 3,057,119 | |
US Corporate Bonds | | | — | | | | 1,084,153,669 | | | | — | | | | — | | | | 342,675,076 | | | | 9,775,560 | |
Foreign Corporate Bonds | | | — | | | | 456,561,144 | | | | 377,302,033 | | | | — | | | | 598,993,442 | | | | 612,227 | |
Bank Loans | | | — | | | | 276,765,038 | | | | — | | | | — | | | | 313,871,021 | | | | 218,910,535 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | — | | | | 120,102,505 | | | | 165,738,428 | | | | — | | | | 53,876,644 | | | | — | |
Short Term Investments | | | — | | | | 28,150,363 | | | | — | | | | 4,602,283 | | | | 185,365,983 | | | | — | |
Municipal Bonds | | | — | | | | 5,555,939 | | | | — | | | | — | | | | — | | | | — | |
Escrow Notes | | | — | | | | 3,187 | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | 31,884,221,108 | | | | 6,522,765,531 | | | | 543,040,461 | | | | 10,649,610 | | | | 5,823,519,897 | | | | 233,717,975 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 142,980,737 | | | | 783,811 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | 57,361,634 | | | | 6,796,039 | | | | — | | | | — | | | | — | | | | — | |
Common Stocks | | | — | | | | 1,379,265 | | | | — | | | | — | | | | — | | | | 739,519 | |
Bank Loans | | | — | | | | 491,124 | | | | — | | | | — | | | | — | | | | 393,283 | |
Rights | | | — | | | | 22,116 | | | | — | | | | — | | | | — | | | | — | |
Warrants | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Escrow Notes | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Collateralized Loan Obligations | | | — | | | | — | | | | — | | | | 92,090 | | | | — | | | | — | |
Total Level 3 | | | 200,342,371 | | | | 9,472,355 | | | | — | | | | 92,090 | | | | — | | | | 1,132,802 | |
Total | | $ | 32,201,169,447 | | | $ | 7,030,689,450 | | | $ | 562,783,760 | | | $ | 20,910,485 | | | $ | 5,848,696,916 | | | $ | 254,591,549 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (28,266,221 | ) | | $ | (3,012,145 | ) | | $ | — | | | $ | (142,497 | ) | | $ | — | | | $ | — | |
Total Level 1 | | | (28,266,221 | ) | | | (3,012,145 | ) | | | — | | | | (142,497 | ) | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | — | | | | — | | | | — | | | | 187,043 | | | | — | | | | — | |
Unfunded Loan Commitments | | | — | | | | (225,330 | ) | | | — | | | | — | | | | — | | | | (216,153 | ) |
Total Level 2 | | | — | | | | (225,330 | ) | | | — | | | | 187,043 | | | | — | | | | (216,153 | ) |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | (28,266,221 | ) | | $ | (3,237,475 | ) | | $ | — | | | $ | 44,546 | | | $ | — | | | $ | (216,153 | ) |
| | | | | | |
| 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 | | | | | | | | | | | | | | | | | | | | | | | | |
Short Term Investments | | $ | 51,035,424 | | | $ | 43,231,152 | | | $ | 11,533,492 | | | $ | 249,067 | | | $ | 6,388,725 | | | $ | 4,934,506 | |
Common Stocks | | | — | | | | 39,410 | | | | 150,391 | | | | — | | | | — | | | | — | |
Warrants | | | — | | | | 1,270 | | | | — | | | | — | | | | — | | | | — | |
Total Level 1 | | | 51,035,424 | | | | 43,271,832 | | | | 11,683,883 | | | | 249,067 | | | | 6,388,725 | | | | 4,934,506 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Collateralized Loan Obligations | | | 973,389,205 | | | | 188,005,486 | | | | — | | | | — | | | | — | | | | — | |
US Government and Agency Obligations | | | 798,388,051 | | | | 44,475,586 | | | | — | | | | 10,964,836 | | | | — | | | | 43,716,741 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 620,981,275 | | | | 175,041,055 | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 569,535,021 | | | | 124,818,905 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | 327,872,413 | | | | 40,325,949 | | | | — | | | | — | | | | — | | | | — | |
Bank Loans | | | 345,656,151 | | | | 80,782,072 | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | 324,985,725 | | | | 67,150,251 | | | | 200,850,119 | | | | — | | | | — | | | | — | |
US Corporate Bonds | | | 280,017,465 | | | | 43,896,416 | | | | — | | | | — | | | | — | | | | — | |
US Government and Agency Mortgage Backed Obligations | | | 108,830,065 | | | | 76,241,250 | | | | — | | | | 32,551,388 | | | | — | | | | — | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 18,673,996 | | | | 24,785,640 | | | | 31,982,822 | | | | — | | | | — | | | | 70,269,527 | |
Short Term Investments | | | 126,875,634 | | | | 47,063,033 | | | | — | | | | — | | | | 200,044,406 | | | | — | |
Excrow Notes | | | — | | | | 752 | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | 4,495,205,001 | | | | 912,586,395 | | | | 232,832,941 | | | | 43,516,224 | | | | 200,044,406 | | | | 113,986,268 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 5,206,574 | | | | 987,716 | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 1,920,254 | | | | 7,167,239 | | | | — | | | | — | | | | — | | | | — | |
Common Stocks | | | 703,130 | | | | 304,112 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | — | | | | 12,496,159 | | | | — | | | | — | | | | — | | | | — | |
Bank Loans | | | — | | | | 107,387 | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | |
Rights | | $ | — | | | $ | 5,301 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Foreign Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Warrants | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Escrow Notes | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 3 | | | 7,829,958 | | | | 21,067,914 | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | 4,554,070,383 | | | $ | 976,926,141 | | | $ | 244,516,824 | | | $ | 43,765,291 | | | $ | 206,433,131 | | | $ | 118,920,774 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (126,668 | ) | | $ | — | | | $ | — | |
Total Level 1 | | | — | | | | — | | | | — | | | | (126,668 | ) | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | (398,242,756 | ) | | | — | | | | — | | | | — | | | | (1,021,857 | ) | | | — | |
Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | (139,760 | ) |
Unfunded Loan Commitments | | | — | | | | (80,056 | ) | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | (398,242,756 | ) | | | (80,056 | ) | | | — | | | | — | | | | (1,021,857 | ) | | | (139,760 | ) |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | (398,242,756 | ) | | $ | (80,056 | ) | | $ | — | | | $ | (126,668 | ) | | $ | (1,021,857 | ) | | $ | (139,760 | ) |
| | | | | | |
| Category | | DoubleLine
Infrastructure
Income Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | | | Doubleline
Real Estate
and Income
Fund | | | Doubleline
Emerging
Markets
Local
Currency
Bond Fund | | | Doubleline
Income Fund | | | DoubleLine
Multi-Asset
Trend Fund
(Consolidated) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Short Term Investments | | $ | 12,198,729 | | | $ | 4,048,938 | | | $ | 1,705,032 | | | $ | 668,110 | | | $ | 6,676,975 | | | $ | 265,518 | |
Affiliated Mutual Funds | | | — | | | | 3,887,539 | | | | — | | | | — | | | | — | | | | 9,699,012 | |
Total Level 1 | | | 12,198,729 | | | | 7,936,477 | | | | 1,705,032 | | | | 668,110 | | | | 6,676,975 | | | | 9,964,530 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | | 158,701,696 | | | | 2,477,234 | | | | — | | | | — | | | | 1,090,630 | | | | — | |
US Corporate Bonds | | | 144,623,257 | | | | 3,501,088 | | | | 2,573,029 | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | 53,279,187 | | | | 3,147,643 | | | | 524,972 | | | | 1,215,732 | | | | — | | | | — | |
Collateralized Loan Obligations | | | — | | | | 8,706,412 | | | | 1,448,904 | | | | — | | | | 10,529,910 | | | | — | |
Short Term Investments | | | — | | | | 6,865,377 | | | | 2,029,128 | | | | — | | | | — | | | | 2,515,679 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | — | | | | 6,787,634 | | | | — | | | | — | | | | 10,814,693 | | | | — | |
US Government and Agency Obligations | | | — | | | | 6,715,565 | | | | 1,595,988 | | | | — | | | | 2,637,344 | | | | 2,270,678 | |
Non-Agency Commercial Mortgage Backed Obligations | | | — | | | | 5,496,313 | | | | 1,615,962 | | | | — | | | | 10,163,543 | | | | — | |
US Government and Agency Mortgage Backed Obligations | | | — | | | | 1,165,168 | | | | — | | | | — | | | | 2,596,797 | | | | — | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | — | | | | 167,586 | | | | — | | | | 7,047,156 | | | | — | | | | — | |
Total Level 2 | | | 356,604,140 | | | | 45,030,020 | | | | 9,787,983 | | | | 8,262,888 | | | | 37,832,917 | | | | 4,786,357 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | DoubleLine
Infrastructure
Income Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | | | Doubleline
Real Estate
and
Income
Fund | | | Doubleline
Emerging
Markets
Local
Currency
Bond
Fund | | | Doubleline
Income
Fund | | | DoubleLine
Multi-Asset
Trend Fund
(Consolidated) | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Corporate Bonds | | $ | 2,064,521 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Asset Backed Obligations | | | — | | | | — | | | | — | | | | — | | | | 5,247,789 | | | | — | |
Total Level 3 | | | 2,064,521 | | | | — | | | | — | | | | — | | | | 5,247,789 | | | | — | |
Total | | $ | 370,867,390 | | | $ | 52,966,497 | | | $ | 11,493,015 | | | $ | 8,930,998 | | | $ | 49,757,681 | | | $ | 14,750,887 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | — | | | | (1,991,065 | ) | | | (1,805,133 | ) | | | — | | | | — | | | | (1,065,319 | ) |
Forward Currency Exchange Contracts | | | — | | | | (1,928,862 | ) | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | — | | | | (3,919,927 | ) | | | (1,805,133 | ) | | | — | | | | — | | | | — | |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | — | | | $ | (3,919,927 | ) | | $ | (1,805,133 | ) | | $ | — | | | $ | — | | | $ | (1,065,319 | ) |
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
12/31/2022 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
12/31/2022(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | 18,148,394 | | | $ | (404,145 | ) | | $ | (4,322,802 | ) | | $ | — | | | $ | 806,374 | | | $ | (1,731,662 | ) | | $ | — | | | $ | — | | | $ | 12,496,159 | | | $ | (4,202,443 | ) |
Non-Agency Residential Collateralized Mortgage Obligations | | | 8,647,146 | | | | 104,644 | | | | (550,093 | ) | | | 92,976 | | | | — | | | | (1,127,434 | ) | | | — | | | | — | | | | 7,167,239 | | | | (477,814 | ) |
Non-Agency Commercial Mortgage Backed Obligations | | | 1,134,911 | | | | 2,554 | | | | (67,801 | ) | | | 6,622 | | | | — | | | | (88,570 | ) | | | — | | | | — | | | | 987,716 | | | | (81,594 | ) |
Common Stocks | | | 502,597 | | | | (2,247 | ) | | | (244,498 | ) | | | — | | | | 54,043 | | | | (5,783 | ) | | | — | | | | — | | | | 304,112 | | | | (207,675 | ) |
Bank Loans | | | 108,383 | | | | 334 | | | | (3,603 | ) | | | 3,269 | | | | — | | | | (996 | ) | | | — | | | | — | | | | 107,387 | | | | (3,250 | ) |
Rights | | | — | | | | — | | | | 5,301 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,301 | | | | 5,301 | |
Collateralized Loan Obligations | | | 73,653 | | | | — | | | | (18,385 | ) | | | 841 | | | | 11,955 | | | | — | | | | — | | | | (68,064 | ) | | | — | | | | — | |
Warrants | | | 1,287 | | | | — | | | | (17 | ) | | | — | | | | — | | | | — | | | | — | | | | (1,270 | ) | | | — | | | | — | |
Escrow Notes | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 28,616,371 | | | $ | (298,860 | ) | | $ | (5,201,898 | ) | | $ | 103,708 | | | $ | 872,372 | | | $ | (2,954,445 | ) | | $ | — | | | $ | (69,334 | ) | | $ | 21,067,914 | | | $ | (4,972,793 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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
12/31/2022 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
12/31/2022(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | 7,811,068 | | | $ | (131,791 | ) | | $ | (2,084,252 | ) | | $ | (819 | ) | | $ | 307,518 | | | $ | (653,935 | ) | | $ | — | | | $ | — | | | $ | 5,247,789 | | | $ | (2,003,287 | ) |
Non-Agency Commercial Mortgage Backed Obligations | | | 1,157,833 | | | | (97,758 | ) | | | 149,266 | | | | 5,659 | | | | — | | | | (1,215,000 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 8,968,901 | | | $ | (229,549 | ) | | $ | (1,934,986 | ) | | $ | 4,840 | | | $ | 307,518 | | | $ | (1,868,935 | ) | | $ | — | | | $ | — | | | $ | 5,247,789 | | | $ | (2,003,287 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 December 31, 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
12/31/2022 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Asset Backed Obligations | | $ | 12,496,159 | | | Market Comparables | | Market Quotes | | | $45.42 - $84.55 ($61.34) | | | 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 | | $ | 7,167,239 | | | Market Comparables | | Market Quotes | | | $91.47 ($91.47) | | | 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 | | $ | 987,716 | | | Market Comparables | | Market Quotes | | | $75.63 ($75.63) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Common Stocks | | $ | 304,112 | | | Market Comparables | | Market Quotes | | | $0.02 - $24.00 ($15.54) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Bank Loans | | $ | 107,387 | | | Market Comparables | | Market Quotes | | | $100.00 ($100.00) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Rights | | $ | 5,301 | | | Intrinsic Value | | Asset Sale Proceeds | | | $6.75 - $7.50 ($7.14) | | | Significant changes in asset sale proceeds would have resulted in direct changes in fair value of the security |
Warrants | | $ | — | | | 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 |
Escrow Notes | | $ | — | | | Income Approach | | Expected Value | | | $0.00 ($0.00) | | | Significant changes in the expected value would have resulted in direct changes in the fair value of the security |
Foreign Corporate Bonds | | $ | — | | | Market Comparables | | EBITDA Multiples | | | $0.00 ($0.00) | | | Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security |
| | | | | | | | | | | | | | |
| DoubleLine Income Fund | | Fair
Value as
of
12/30/2022 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Asset Backed Obligations | | $ | 5,247,789 | | | Market Comparables | | Market Quotes | | | $32.33 - $5.533.79 ($1,241.25) | | | 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. |
