DoubleLine Selective Credit Fund
Schedule of Investments
December 31, 2023 (Unaudited)
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Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | Asset Backed Obligations - 0.0% (a) | | | | | | | | | | |
| | 248,506 | | | Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A | | | 4.10 | % (b)(c) | | 01/14/2026 | | | 240,603 | |
| | | | | | | | | | | | | | |
| | Total Asset Backed Obligations (Cost $248,506) | | | | | | 240,603 | |
| | | | | | | | | | | | | | |
| | |
| | Collateralized Loan Obligations - 0.3% | | | | | | | |
| | 1,000,000 | | | Barings Ltd., Series 2015-2A-ER (Secured Overnight Financing Rate 3 Month + 6.71%) | | | 12.13 | % (b) | | 10/20/2030 | | | 935,734 | |
| | 1,000,000 | | | Octagon Investment Partners Ltd., Series 2012-1A-DR (Secured Overnight Financing Rate 3 Month + 7.41%) | | | 12.81 | % (b) | | 07/15/2029 | | | 812,821 | |
| | | | | | | | | | | | | | |
| | Total Collateralized Loan Obligations (Cost $1,980,000) | | | | | | | | | 1,748,555 | |
| | | | | | | | | | | | | | |
| | |
| | Non-Agency Commercial Mortgage Backed Obligations - 0.4% | | | | | | | |
| | 381,000 | | | 20 Times Square Trust, Series 2018-20TS-G | | | 3.10 | % (b)(c) | | 05/15/2035 | | | 268,851 | |
| | 180,595 | | | BB-UBS Trust, Series 2012-TFT-TE | | | 3.56 | % (b)(c)(d) | | 06/05/2030 | | | 144,600 | |
| | 224,000 | | | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | | | 4.42 | % (b)(c) | | 02/10/2048 | | | 187,874 | |
| | 155,000 | | | Citigroup Commercial Mortgage Trust, Series 2016-GC36-D | | | 2.85 | % (b) | | 02/10/2049 | | | 61,979 | |
| | 194,000 | | | Commercial Mortgage Pass-Through Trust, Series 2014-CR19-C | | | 4.63 | % (c) | | 08/10/2047 | | | 179,472 | |
| | 350,000 | | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFL (Secured Overnight Financing Rate 1 Month + 3.09%, 2.60% Floor) | | | 8.43 | % (b) | | 07/05/2033 | | | 262,526 | |
| | 350,000 | | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX | | | 5.36 | % (b)(c) | | 07/05/2033 | | | 237,169 | |
| | 350,000 | | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-FFX | | | 5.36 | % (b)(c) | | 07/05/2033 | | | 202,385 | |
| | 250,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C | | | 4.47 | % (c) | | 10/15/2047 | | | 238,360 | |
| | 350,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C | | | 4.00 | % | | 12/15/2047 | | | 324,425 | |
| | | | | | | | | | | | | | |
| | Total Non-Agency Commercial Mortgage Backed Obligations (Cost $2,707,274) | | | | | | | | | 2,107,641 | |
| | | | | | | | | | | | | | |
| | |
| | Non-Agency Residential Collateralized Mortgage Obligations - 96.8% | | | | | | | |
| | 3,703,537 | | | Adjustable Rate Mortgage Trust, Series 2005-10-5A1 (Secured Overnight Financing Rate 1 Month + 0.63%, 0.52% Floor, 11.00% Cap) | | | 5.99 | % | | 01/25/2036 | | | 3,440,905 | |
| | 1,750,000 | | | AMSR Trust, Series 2020-SFR2-C | | | 2.53 | % (b) | | 07/17/2037 | | | 1,659,170 | |
| | 6,000,000 | | | AMSR Trust, Series 2020-SFR4-E2 | | | 2.46 | % (b) | | 11/17/2037 | | | 5,571,961 | |
| | 7,750,000 | | | AMSR Trust, Series 2020-SFR4-F | | | 2.86 | % (b) | | 11/17/2037 | | | 7,206,683 | |
| | 4,500,000 | | | Angel Oak Mortgage Trust LLC, Series 2021-5-M1 | | | 2.39 | % (b)(c) | | 07/25/2066 | | | 3,062,429 | |
| | 7,539,000 | | | Arroyo Mortgage Trust, Series 2019-3-M1 | | | 4.20 | % (b)(c) | | 10/25/2048 | | | 6,523,526 | |
| | 4,165,894 | | | Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE1-M3 (Secured Overnight Financing Rate 1 Month + 5.36%, 5.25% Floor) | | | 10.73 | % | | 01/15/2033 | | | 3,919,604 | |
| | 9,500,000 | | | Asset-Backed Pass-Through Certificates, Series 2005-R4-M6 (Secured Overnight Financing Rate 1 Month + 1.12%, 1.01% Floor) | | | 6.48 | % | | 07/25/2035 | | | 7,961,136 | |
| | 3,894,119 | | | Banc of America Alternative Loan Trust, Series 2007-1-3A24 | | | 6.00 | % | | 04/25/2037 | | | 3,205,840 | |
| | 953,002 | | | Banc of America Funding Trust, Series 2006-2-2A11 | | | 5.50 | % | | 03/25/2036 | | | 796,730 | |
| | 881,987 | | | Banc of America Funding Trust, Series 2007-1-TA8 | | | 6.35 | % (e) | | 01/25/2037 | | | 792,569 | |
| | | | | | | | | | | | | | |
Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | 3,071,831 | | | Banc of America Funding Trust, Series 2014-R8-A2 (Secured Overnight Financing Rate 1 Month + 0.35%, 0.24% Floor) | | | 5.71 | % (b) | | 06/26/2036 | | | 2,508,700 | |
| | 1,235,331 | | | Banc of America Mortgage Trust, Series 2006-3-1A10 | | | 6.00 | % | | 10/25/2036 | | | 996,783 | |
| | 8,654,191 | | | BCAP LLC Trust, Series 2012-RR4-6A2 | | | 5.05 | % (b)(c) | | 11/26/2035 | | | 4,851,012 | |
| | 3,571,888 | | | BCAP LLC Trust, Series 2013-RR2-6A2 | | | 4.30 | % (b)(c) | | 06/26/2037 | | | 2,765,424 | |
| | 2,222,515 | | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-2-2A1 | | | 3.91 | % (c) | | 07/25/2036 | | | 1,895,007 | |
| | 1,816,592 | | | Bear Stearns ALT-A Trust, Series 2005-10-23A1 | | | 4.67 | % (c) | | 01/25/2036 | | | 1,636,573 | |
| | 6,266,745 | | | Bear Stearns ALT-A Trust, Series 2006-3-21A1 | | | 4.05 | % (c) | | 05/25/2036 | | | 4,597,637 | |
| | 1,471,126 | | | Bear Stearns ALT-A Trust, Series 2006-4-31A1 | | | 4.46 | % (c) | | 07/25/2036 | | | 910,666 | |
| | 703,315 | | | Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1 | | | 6.75 | % (e) | | 12/25/2036 | | | 690,247 | |
| | 5,547,029 | | | Bear Stearns Asset Backed Securities Trust, Series 2006-AQ1-12A (Secured Overnight Financing Rate 1 Month + 0.39%, 0.28% Floor) | | | 5.00 | % | | 10/25/2036 | | | 8,577,188 | |
| | 674,149 | | | Bear Stearns Asset Backed Securities Trust, Series 2006-IM1-A1 (Secured Overnight Financing Rate 1 Month + 0.57%, 0.46% Floor) | | | 5.93 | % | | 04/25/2036 | | | 653,526 | |
| | 7,335,230 | | | BRAVO Residential Funding Trust, Series 2021-B-A1 | | | 2.12 | % (b)(e) | | 04/01/2069 | | | 7,296,401 | |
| | 4,218,892 | | | Carrington Mortgage Loan Trust, Series 2007-RFC1-A3 (Secured Overnight Financing Rate 1 Month + 0.25%, 0.14% Floor, 14.50% Cap) | | | 5.61 | % | | 12/25/2036 | | | 4,081,163 | |
| | 1,604,389 | | | Chase Mortgage Finance Trust, Series 2006-S2-1A9 | | | 6.25 | % | | 10/25/2036 | | | 666,977 | |
| | 3,700,064 | | | Chase Mortgage Finance Trust, Series 2006-S3-1A2 | | | 6.00 | % | | 11/25/2036 | | | 1,546,565 | |
| | 316,443 | | | Chase Mortgage Finance Trust, Series 2007-S3-1A12 | | | 6.00 | % | | 05/25/2037 | | | 144,697 | |
| | 86,746 | | | CHL Mortgage Pass-Through Trust, Series 2006-10-1A11 | | | 5.85 | % | | 05/25/2036 | | | 39,534 | |
| | 1,964,721 | | | CHL Mortgage Pass-Through Trust, Series 2006-13-1A17 (-1 x Secured Overnight Financing Rate 1 Month + 5.54%, 5.65% Cap) | | | 0.18 | % (f)(g) | | 09/25/2036 | | | 184,903 | |
| | 1,964,721 | | | CHL Mortgage Pass-Through Trust, Series 2006-13-1A3 (Secured Overnight Financing Rate 1 Month + 0.71%, 0.60% Floor, 6.25% Cap) | | | 6.07 | % | | 09/25/2036 | | | 672,573 | |
| | 501,549 | | | CHL Mortgage Pass-Through Trust, Series 2006-17-A6 | | | 6.00 | % | | 12/25/2036 | | | 204,527 | |
| | 1,212,904 | | | CHL Mortgage Pass-Through Trust, Series 2006-19-1A7 | | | 6.00 | % | | 01/25/2037 | | | 610,607 | |
| | 1,555,149 | | | CHL Mortgage Pass-Through Trust, Series 2006-9-A2 | | | 6.00 | % | | 05/25/2036 | | | 716,007 | |
| | 5,809,541 | | | CHL Mortgage Pass-Through Trust, Series 2007-15-1A29 | | | 6.25 | % | | 09/25/2037 | | | 3,634,203 | |
| | 5,146,170 | | | CHL Mortgage Pass-Through Trust, Series 2007-21-1A1 | | | 6.25 | % | | 02/25/2038 | | | 2,527,799 | |
| | 447,376 | | | CHL Mortgage Pass-Through Trust, Series 2007-4-1A10 | | | 6.00 | % | | 05/25/2037 | | | 203,445 | |
| | 312,938 | | | CHL Mortgage Pass-Through Trust, Series 2007-8-1A5 | | | 5.44 | % | | 01/25/2038 | | | 134,967 | |
| | 3,007,222 | | | CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1 | | | 3.85 | % (c) | | 03/25/2037 | | | 2,416,676 | |
| | 9,916,757 | | | CIM Trust, Series 2023-R2-A1 | | | 5.50 | % (b)(c) | | 08/25/2064 | | | 10,023,262 | |
| | 11,169,463 | | | CIM Trust, Series 2023-R4-A1 | | | 5.00 | % (b)(c) | | 05/25/2062 | | | 11,077,566 | |
| | 477,790 | | | Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A2 | | | 5.50 | % | | 11/25/2035 | | | 469,061 | |
| | 536,700 | | | Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8-1A1A | | | 3.69 | % (c) | | 08/25/2047 | | | 471,811 | |
| | 997,230 | | | Citigroup Mortgage Loan Trust, Inc., Series 2011-12-1A2 | | | 3.81 | % (b)(c) | | 04/25/2036 | | | 596,672 | |
| | 1,830,488 | | | Citigroup Mortgage Loan Trust, Inc., Series 2021-JL1-A | | | 2.75 | % (b)(c) | | 02/27/2062 | | | 1,734,207 | |
| | 3,731,774 | | | Citigroup Mortgage Loan Trust, Series 2009-10-2A2 | | | 7.00 | % (b)(c)(d) | | 12/25/2035 | | | 2,656,927 | |
| | 8,328,158 | | | Citigroup Mortgage Loan Trust, Series 2019-A-PT1 | | | 3.92 | % (b) | | 10/25/2058 | | | 6,898,088 | |
| | 8,094,281 | | | Citigroup Mortgage Loan Trust, Series 2020-RP1-A1 | | | 1.50 | % (b)(c) | | 08/25/2064 | | | 7,070,532 | |
| | 1,040,000 | | | Citigroup Mortgage Loan Trust, Series 2020-RP1-M1 | | | 2.00 | % (b)(c) | | 08/25/2064 | | | 776,596 | |
| | 874,000 | | | Citigroup Mortgage Loan Trust, Series 2020-RP1-M2 | | | 2.50 | % (b)(c) | | 08/25/2064 | | | 635,388 | |
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Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | 738,000 | | | Citigroup Mortgage Loan Trust, Series 2020-RP1-M3 | | | 2.75 | % (b)(c) | | 08/25/2064 | | | 516,768 | |
| | 1,937,964 | | | Citigroup Mortgage Loan Trust, Series 2020-RP1-PT5 | | | 6.98 | % (b)(c) | | 08/25/2064 | | | 1,594,654 | |
| | 859,650 | | | CitiMortgage Alternative Loan Trust, Series 2006-A1-1A6 | | | 6.00 | % | | 04/25/2036 | | | 784,090 | |
| | 3,495,124 | | | CitiMortgage Alternative Loan Trust, Series 2006-A2-A5 (Secured Overnight Financing Rate 1 Month + 0.71%, 0.60% Floor, 6.00% Cap) | | | 6.00 | % | | 05/25/2036 | | | 2,834,879 | |
| | 3,848,970 | | | CitiMortgage Alternative Loan Trust, Series 2006-A2-A6 (-1 x Secured Overnight Financing Rate 1 Month + 5.29%, 0.00% Floor, 5.40% Cap) | | | 0.00 | % (f)(g) | | 05/25/2036 | | | 190,563 | |
| | 5,939,308 | | | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A3 (Secured Overnight Financing Rate 1 Month + 0.61%, 0.50% Floor, 6.10% Cap) | | | 5.97 | % | | 05/25/2037 | | | 4,788,055 | |
| | 5,939,308 | | | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A4 (-1 x Secured Overnight Financing Rate 1 Month + 5.49%, 5.60% Cap) | | | 0.13 | % (f)(g) | | 05/25/2037 | | | 367,787 | |
| | 1,780,165 | | | CitiMortgage Alternative Loan Trust, Series 2007-A6-1A4 | | | 6.00 | % | | 06/25/2037 | | | 1,554,886 | |
| | 1,213,156 | | | CitiMortgage Alternative Loan Trust, Series 2007-A6-1A5 | | | 6.00 | % | | 06/25/2037 | | | 1,059,656 | |
| | 1,703,681 | | | CitiMortgage Alternative Loan Trust, Series 2007-A8-A1 | | | 6.00 | % | | 10/25/2037 | | | 1,508,896 | |
| | 5,180,824 | | | COLT Mortgage Loan Trust, Series 2023-1-A1 | | | 6.05 | % (b)(e) | | 04/25/2068 | | | 5,199,779 | |
| | 1,610,295 | | | Countrywide Alternative Loan Trust, Series 2004-27CB-A6 | | | 5.50 | % | | 12/25/2034 | | | 1,419,357 | |
| | 789,249 | | | Countrywide Alternative Loan Trust, Series 2005-28CB-2A7 | | | 5.75 | % | | 08/25/2035 | | | 531,737 | |
| | 1,959,665 | | | Countrywide Alternative Loan Trust, Series 2005-4-1A3 | | | 5.75 | % | | 04/25/2035 | | | 1,388,492 | |
| | 1,039,733 | | | Countrywide Alternative Loan Trust, Series 2005-46CB-A20 | | | 5.50 | % | | 10/25/2035 | | | 760,890 | |
| | 3,298,619 | | | Countrywide Alternative Loan Trust, Series 2005-55CB-2A1 | | | 5.50 | % | | 11/25/2035 | | | 1,987,651 | |
| | 2,089,543 | | | Countrywide Alternative Loan Trust, Series 2005-65CB-1A11 | | | 6.00 | % | | 01/25/2036 | | | 1,480,024 | |
| | 152,076 | | | Countrywide Alternative Loan Trust, Series 2005-73CB-1A3 | | | 6.25 | % | | 01/25/2036 | | | 145,572 | |
| | 2,604,021 | | | Countrywide Alternative Loan Trust, Series 2005-79CB-A1 (Secured Overnight Financing Rate 1 Month + 0.66%, 0.55% Floor, 5.50% Cap) | | | 5.50 | % | | 01/25/2036 | | | 1,350,249 | |
| | 2,604,021 | | | Countrywide Alternative Loan Trust, Series 2005-79CB-A2 (-1 x Secured Overnight Financing Rate 1 Month + 4.84%, 0.00% Floor, 4.95% Cap) | | | 0.00 | % (f)(g) | | 01/25/2036 | | | 143,684 | |
| | 6,321,993 | | | Countrywide Alternative Loan Trust, Series 2005-80CB-4A1 | | | 6.00 | % | | 02/25/2036 | | | 3,103,648 | |
| | 1,102,164 | | | Countrywide Alternative Loan Trust, Series 2006-14CB-A8 | | | 6.00 | % | | 06/25/2036 | | | 620,310 | |
| | 10,510,869 | | | Countrywide Alternative Loan Trust, Series 2006-31CB-A4 | | | 6.00 | % | | 11/25/2036 | | | 6,208,254 | |
| | 2,439,025 | | | Countrywide Alternative Loan Trust, Series 2006-41CB-2A12 | | | 6.00 | % | | 01/25/2037 | | | 1,256,393 | |
| | 931,056 | | | Countrywide Alternative Loan Trust, Series 2006-41CB-2A15 | | | 5.75 | % | | 01/25/2037 | | | 462,548 | |
| | 2,957,668 | | | Countrywide Alternative Loan Trust, Series 2006-46-A6 | | | 6.00 | % | | 02/25/2047 | | | 1,483,213 | |
| | 1,609,655 | | | Countrywide Alternative Loan Trust, Series 2006-7CB-2A1 | | | 6.50 | % | | 05/25/2036 | | | 786,381 | |
| | 948,100 | | | Countrywide Alternative Loan Trust, Series 2006-8T1-1A4 | | | 6.00 | % | | 04/25/2036 | | | 454,914 | |
| | 966,872 | | | Countrywide Alternative Loan Trust, Series 2006-J4-2A13 | | | 6.00 | % | | 07/25/2036 | | | 560,079 | |
| | 2,662,569 | | | Countrywide Alternative Loan Trust, Series 2006-J4-2A8 | | | 6.00 | % | | 07/25/2036 | | | 1,542,344 | |
| | 924,093 | | | Countrywide Alternative Loan Trust, Series 2006-J6-A5 | | | 6.00 | % | | 09/25/2036 | | | 479,594 | |
| | 754,532 | | | Countrywide Alternative Loan Trust, Series 2007-13-A4 | | | 6.00 | % | | 06/25/2047 | | | 395,687 | |
| | 11,556,688 | | | Countrywide Alternative Loan Trust, Series 2007-16CB-3A1 | | | 6.75 | % | | 08/25/2037 | | | 2,680,990 | |
| | 4,276,500 | | | Countrywide Alternative Loan Trust, Series 2007-2CB-2A9 | | | 5.75 | % | | 03/25/2037 | | | 2,269,669 | |
| | 3,308,429 | | | Countrywide Alternative Loan Trust, Series 2007-4CB-1A9 | | | 5.75 | % | | 04/25/2037 | | | 2,746,539 | |
| | 3,795,403 | | | Countrywide Alternative Loan Trust, Series 2007-OA8-1A1 (Secured Overnight Financing Rate 1 Month + 0.47%, 0.36% Floor) | | | 5.83 | % | | 06/25/2047 | | | 3,115,309 | |
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Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | 8,974,549 | | | Countrywide Asset Backed Certificates, Series 2006-25-M1 (Secured Overnight Financing Rate 1 Month + 0.36%, 0.25% Floor) | | | 5.72 | % | | 06/25/2047 | | | 7,170,163 | |
| | 8,482,775 | | | Countrywide Asset-Backed Certificates Trust, Series 2005-17-1AF4 | | | 6.55 | % (e) | | 05/25/2036 | | | 6,758,820 | |
| | 991,033 | | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1 | | | 5.25 | % | | 01/25/2036 | | | 858,031 | |
| | 800,840 | | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-3A2 | | | 6.00 | % | | 10/25/2035 | | | 252,308 | |
| | 3,800,000 | | | Credit Suisse Mortgage-Backed Trust, Series 2020-AFC1-M1 | | | 2.84 | % (b)(c) | | 02/25/2050 | | | 2,879,327 | |
| | 2,923,333 | | | Credit Suisse Mortgage-Backed Trust, Series 2022-JR1-A1 | | | 4.27 | % (b)(e) | | 10/25/2066 | | | 2,885,576 | |
| | 717,369 | | | CSMC Mortgage-Backed Trust, Series 2006-6-1A10 | | | 6.00 | % | | 07/25/2036 | | | 353,387 | |
| | 3,450,693 | | | CSMC Mortgage-Backed Trust, Series 2006-7-10A1 | | | 6.75 | % | | 08/25/2036 | | | 1,836,473 | |
| | 343,036 | | | CSMC Mortgage-Backed Trust, Series 2008-2R-1A1 | | | 6.00 | % (b)(d) | | 07/25/2037 | | | 269,785 | |
| | 2,223,197 | | | CSMC Trust, Series 2009-9R-10A2 | | | 5.50 | % (b) | | 12/26/2035 | | | 1,284,119 | |
| | 11,871,315 | | | CSMC Trust, Series 2020-RPL1-PT1 | | | 3.33 | % (b)(c) | | 10/25/2069 | | | 9,773,270 | |
| | 1,282,689 | | | CSMC Trust, Series 2021-JR1-A1 | | | 2.47 | % (b)(c) | | 09/27/2066 | | | 1,269,711 | |
| | 1,717,124 | | | CSMC Trust, Series 2021-JR2-A1 | | | 2.22 | % (b)(c) | | 11/25/2061 | | | 1,661,573 | |
| | 916,767 | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6-2A1 | | | 5.50 | % | | 12/25/2035 | | | 760,566 | |
| | 190,446 | | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A1A | | | 6.01 | % (c) | | 10/25/2036 | | | 160,156 | |
| | 549,135 | | | Deutsche Mortgage Securities, Inc., Series 2009-RS2-1A2 | | | 6.13 | % (b)(c) | | 09/26/2036 | | | 500,219 | |
| | 4,735,000 | | | Ellington Financial Mortgage Trust, Series 2019-2-B1 | | | 4.07 | % (b)(c) | | 11/25/2059 | | | 3,869,348 | |
| | 6,000,000 | | | Federal Home Loan Mortgage Corporation STACR REMICS, Series 2023-DNA2-M1B (Secured Overnight Financing Rate 30 Day Average + 3.25%) | | | 8.59 | % (b) | | 04/25/2043 | | | 6,261,311 | |
| | 10,000,000 | | | Federal Home Loan Mortgage Corporation STACR REMICS, Series 2023-HQA2-M1B (Secured Overnight Financing Rate 30 Day Average + 3.35%) | | | 8.69 | % (b) | | 06/25/2043 | | | 10,572,474 | |
| | 522,368 | | | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-1A3 | | | 5.50 | % | | 11/25/2035 | | | 261,360 | |
| | 1,749,891 | | | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A8 | | | 6.00 | % | | 06/25/2037 | | | 638,085 | |
| | 1,854,904 | | | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A4 | | | 6.25 | % | | 08/25/2037 | | | 774,366 | |
| | 126,527 | | | First Horizon Mortgage Pass-Through Trust, Series 2006-1-1A2 | | | 6.00 | % | | 05/25/2036 | | | 58,964 | |
| | 3,000,000 | | | FirstKey Homes Trust, Series 2020-SFR1-F1 | | | 3.64 | % (b) | | 08/17/2037 | | | 2,831,049 | |
| | 9,500,000 | | | FirstKey Homes Trust, Series 2020-SFR2-D | | | 1.97 | % (b) | | 10/19/2037 | | | 8,811,452 | |
| | 9,500,000 | | | FirstKey Homes Trust, Series 2020-SFR2-E | | | 2.67 | % (b) | | 10/19/2037 | | | 8,857,010 | |
| | 10,000,000 | | | FMC GMSR Issuer Trust, Series 2021-GT1-A | | | 3.62 | % (b)(c) | | 07/25/2026 | | | 8,646,027 | |
| | 9,845,543 | | | Fremont Home Loan Trust, Series 2006-D-2A4 (Secured Overnight Financing Rate 1 Month + 0.33%, 0.22% Floor) | | | 5.69 | % | | 11/25/2036 | | | 3,412,043 | |
| | 4,251,432 | | | GreenPoint Mortgage Funding Trust, Series 2005-AR4-3A1 (12 Month US Treasury Average + 1.40%, 1.40% Floor) | | | 6.41 | % | | 10/25/2045 | | | 3,255,138 | |
| | 7,759,904 | | | GSAMP Trust, Series 2007-NC1-A1 (Secured Overnight Financing Rate 1 Month + 0.24%, 0.13% Floor) | | | 5.60 | % | | 12/25/2046 | | | 4,149,953 | |
| | 277,741 | | | GSR Mortgage Loan Trust, Series 2006-2F-3A4 | | | 6.00 | % | | 02/25/2036 | | | 129,624 | |
| | 1,593,911 | | | GSR Mortgage Loan Trust, Series 2006-9F-5A2 (-1 x Secured Overnight Financing Rate 1 Month + 6.44%, 6.55% Cap) | | | 1.08 | % (f)(g) | | 10/25/2036 | | | 231,522 | |
| | | | | | | | | | | | | | |
Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | 1,593,911 | | | GSR Mortgage Loan Trust, Series 2006-9F-5A3 (Secured Overnight Financing Rate 1 Month + 0.56%, 0.45% Floor, 7.00% Cap) | | | 5.92 | % | | 10/25/2036 | | | 597,690 | |
| | 752,105 | | | GSR Mortgage Loan Trust, Series 2007-1F-3A14 | | | 5.75 | % | | 01/25/2037 | | | 450,817 | |
| | 1,632,044 | | | GSR Mortgage Loan Trust, Series 2007-2F-3A3 | | | 6.00 | % | | 03/25/2037 | | | 897,732 | |
| | 3,823,266 | | | Harborview Mortgage Loan Trust, Series 2006-BU1-1A1A (Secured Overnight Financing Rate 1 Month + 0.53%, 0.42% Floor, 10.50% Cap) | | | 5.89 | % | | 02/19/2046 | | | 3,273,538 | |
| | 4,977,336 | | | Harborview Mortgage Loan Trust, Series 2007-7-1A1 (Secured Overnight Financing Rate 1 Month + 2.11%, 10.50% Cap) | | | 6.47 | % | | 10/25/2037 | | | 3,696,079 | |
| | 3,679,625 | | | Home Partners of America Trust, Series 2019-2-C | | | 3.02 | % (b) | | 10/19/2039 | | | 3,325,209 | |
| | 3,915,475 | | | Home Partners of America Trust, Series 2019-2-D | | | 3.12 | % (b) | | 10/19/2039 | | | 3,495,329 | |
| | 7,370,306 | | | Home Partners of America Trust, Series 2019-2-E | | | 3.32 | % (b) | | 10/19/2039 | | | 6,387,516 | |
| | 2,032,061 | | | HSI Asset Loan Obligation Trust, Series 2007-1-3A6 | | | 6.00 | % | | 06/25/2037 | | | 953,998 | |
| | 3,609,887 | | | IndyMac IMSC Mortgage Loan Trust, Series 2007-AR1-3A1 | | | 4.37 | % (c) | | 06/25/2037 | | | 3,130,855 | |
| | 1,448,140 | | | JP Morgan Alternative Loan Trust, Series 2006-S4-A4 | | | 6.46 | %(e) | | 12/25/2036 | | | 1,362,477 | |
| | 2,284,373 | | | JP Morgan Alternative Loan Trust, Series 2008-R2-A1 | | | 6.78 | % (b)(c) | | 11/25/2036 | | | 1,255,769 | |
| | 351,535 | | | JP Morgan Mortgage Trust, Series 2005-S3-1A1 | | | 6.50 | % | | 01/25/2036 | | | 186,639 | |
| | 1,164,984 | | | JP Morgan Mortgage Trust, Series 2006-A5-3A2 | | | 4.47 | % (c) | | 08/25/2036 | | | 935,451 | |
| | 1,894,422 | | | JP Morgan Mortgage Trust, Series 2007-S1-2A8 | | | 5.75 | % | | 03/25/2037 | | | 757,373 | |
| | 900,145 | | | Lavender Trust, Series 2010-R11A-A4 | | | 4.15 | % (b)(c) | | 10/26/2036 | | | 377,372 | |
| | 12,243,939 | | | Legacy Mortgage Asset Trust, Series 2019-GS7-A2 | | | 8.50 | % (b)(e)(h) | | 11/25/2059 | | | 11,938,852 | |
| | 11,312,184 | | | Legacy Mortgage Asset Trust, Series 2019-RPL3-PT1 | | | 0.00 | % (b) | | 06/25/2058 | | | 9,845,090 | |
| | 5,041,189 | | | Legacy Mortgage Asset Trust, Series 2020-SL1-M | | | 3.25 | % (b)(c) | | 01/25/2060 | | | 4,884,493 | |
| | 1,488,668 | | | Lehman Mortgage Trust, Series 2006-17-1A4A (Secured Overnight Financing Rate 1 Month + 0.45%, 0.34% Floor) | | | 5.81 | % | | 08/25/2046 | | | 1,301,089 | |
| | 744,493 | | | Lehman Mortgage Trust, Series 2007-1-1A2 | | | 5.75 | % | | 02/25/2037 | | | 725,103 | |
| | 1,326,728 | | | Lehman Mortgage Trust, Series 2007-1-2A2 (Secured Overnight Financing Rate 1 Month + 0.31%, 0.20% Floor) | | | 5.67 | % (b) | | 06/25/2037 | | | 852,861 | |
| | 5,174,549 | | | Lehman Mortgage Trust, Series 2007-1-2A3 (Secured Overnight Financing Rate 1 Month + 0.34%, 0.23% Floor) | | | 5.70 | % (b) | | 06/25/2037 | | | 3,330,144 | |
| | 3,000,000 | | | LHOME Mortgage Trust, Series 2021-RTL1-A2 | | | 3.86 | % (b)(c) | | 02/25/2026 | | | 2,871,163 | |
| | 6,674,302 | | | Long Beach Mortgage Loan Trust, Series 2006-2-2A4 (Secured Overnight Financing Rate 1 Month + 0.69%, 0.58% Floor) | | | 6.05 | % | | 03/25/2046 | | | 2,413,541 | |
| | 4,523,151 | | | MASTR Adjustable Rate Mortgages Trust, Series 2005-6-3A2 | | | 3.62 | % (c) | | 07/25/2035 | | | 1,656,521 | |
| | 901,070 | | | MASTR Alternative Loans Trust, Series 2004-10-5A5 | | | 5.75 | % | | 09/25/2034 | | | 858,627 | |
| | 15,589,182 | | | MASTR Asset Backed Securities Trust, Series 2006-WMC3-A1 (Secured Overnight Financing Rate 1 Month + 0.38%, 0.27% Floor) | | | 5.74 | % | | 08/25/2036 | | | 6,143,274 | |
| | 1,347,584 | | | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A6 | | | 6.00 | % | | 03/25/2037 | | | 496,639 | |
| | 1,020,419 | | | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF3B | | | 6.25 | % | | 08/25/2036 | | | 435,071 | |
| | 4,600,000 | | | MFA Trust, Series 2021-NQM2-M1 | | | 2.37 | % (b)(c) | | 11/25/2064 | | | 3,113,741 | |
| | 3,594,830 | | | Morgan Stanley Mortgage Loan Trust, Series 2005-10-4A1 | | | 5.50 | % | | 12/25/2035 | | | 2,169,526 | |
| | 671,938 | | | Morgan Stanley Mortgage Loan Trust, Series 2007-12-3A4 | | | 6.25 | % | | 08/25/2037 | | | 259,083 | |
| | 2,300,000 | | | New Residential Mortgage Loan Trust, Series 2019-NQM4-B1 | | | 3.74 | % (b)(c) | | 09/25/2059 | | | 1,881,350 | |
| | 4,500,000 | | | NMLT Trust, Series 2021-INV2-B1 | | | 3.32 | % (b)(c) | | 08/25/2056 | | | 3,010,801 | |
| | 3,124,803 | | | Nomura Asset Acceptance Corporation, Series 2006-AP1-A2 | | | 5.52 | % (c) | | 01/25/2036 | | | 974,804 | |
| | 742,009 | | | Nomura Asset Acceptance Corporation, Series 2007-1-1A1A | | | 6.50 | % (e) | | 03/25/2047 | | | 664,006 | |
| | 4,424,096 | | | OBX Trust, Series 2023-NQM3-A1 | | | 5.95 | % (b)(e) | | 02/25/2063 | | | 4,428,864 | |
| | | | | | | | | | | | | | |
Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | 6,561,183 | | | Opteum Mortgage Acceptance Corporation Trust, Series 2006-2-A1C (Secured Overnight Financing Rate 1 Month + 0.65%, 0.54% Floor) | | | 6.01 | % | | 07/25/2036 | | | 2,405,207 | |
| | 2,271,434 | | | PMT Credit Risk Transfer Trust, Series 2019-3R-A (Secured Overnight Financing Rate 30 Day Average + 3.81%, 2.70% Floor) | | | 9.15 | % (b) | | 10/27/2024 | | | 2,276,848 | |
| | 1,640,579 | | | PMT Credit Risk Transfer Trust, Series 2021-1R-A (Secured Overnight Financing Rate 1 Month + 3.01%, 2.90% Floor) | | | 8.37 | % (b) | | 02/27/2024 | | | 1,633,949 | |
| | 10,000,000 | | | PMT Credit Risk Transfer Trust, Series 2021-FT1-A (Secured Overnight Financing Rate 1 Month + 3.11%, 3.12% Floor) | | | 8.47 | % (b) | | 03/25/2026 | | | 9,890,682 | |
| | 338,510 | | | PR Mortgage Loan Trust, Series 2014-1-APT | | | 5.82 | % (b)(c) | | 10/25/2049 | | | 311,933 | |
| | 2,328,736 | | | Pretium Mortgage Credit Partners LLC, Series 2021-RN2-A1 | | | 1.74 | % (b)(e) | | 07/25/2051 | | | 2,248,509 | |
| | 3,508,155 | | | Pretium Mortgage Credit Partners LLC, Series 2021-RN3-A1 | | | 1.84 | % (b)(e) | | 09/25/2051 | | | 3,343,557 | |
| | 1,896,140 | | | PRPM LLC, Series 2020-4-A1 | | | 5.95 | % (b)(e) | | 10/25/2025 | | | 1,891,904 | |
| | 3,180,954 | | | PRPM LLC, Series 2021-2-A1 | | | 2.12 | % (b)(c) | | 03/25/2026 | | | 3,149,034 | |
| | 9,800,000 | | | PRPM LLC, Series 2021-2-A2 | | | 3.77 | % (b)(c) | | 03/25/2026 | | | 9,643,447 | |
| | 3,614,612 | | | PRPM LLC, Series 2021-6-A1 | | | 1.79 | % (b)(e) | | 07/25/2026 | | | 3,519,375 | |
| | 5,987,000 | | | PRPM LLC, Series 2021-6-A2 | | | 3.47 | % (b)(e) | | 07/25/2026 | | | 5,813,415 | |
| | 2,628,665 | | | PRPM LLC, Series 2021-7-A1 | | | 1.87 | % (b)(e) | | 08/25/2026 | | | 2,552,428 | |
| | 462,075 | | | RBSGC Mortgage Loan Trust, Series 2007-A-2A4 | | | 6.25 | % | | 01/25/2037 | | | 426,536 | |
| | 15,336,140 | | | Renaissance Home Equity Loan Trust, Series 2006-2-AF2 | | | 5.76 | % (e) | | 08/25/2036 | | | 6,119,841 | |
| | 9,024,934 | | | Renaissance Home Equity Loan Trust, Series 2006-3-AF4 | | | 5.81 | % (e) | | 11/25/2036 | | | 3,276,275 | |
| | 1,154,082 | | | Residential Accredit Loans, Inc., Series 2005-QS12-A3 | | | 5.50 | % | | 08/25/2035 | | | 983,521 | |
| | 894,222 | | | Residential Accredit Loans, Inc., Series 2005-QS13-1A6 | | | 5.50 | % | | 09/25/2035 | | | 732,846 | |
| | 358,167 | | | Residential Accredit Loans, Inc., Series 2006-QS12-1A1 | | | 6.50 | % | | 09/25/2036 | | | 165,104 | |
| | 1,667,984 | | | Residential Accredit Loans, Inc., Series 2006-QS12-2A12 (Secured Overnight Financing Rate 1 Month + 0.31%, 0.20% Floor, 7.50% Cap) | | | 5.67 | % | | 09/25/2036 | | | 1,161,923 | |
| | 1,667,984 | | | Residential Accredit Loans, Inc., Series 2006-QS12-2A13 | | | 2.03 | % (f)(i) | | 09/25/2036 | | | 194,445 | |
| | 1,829,245 | | | Residential Accredit Loans, Inc., Series 2006-QS18-1A4 | | | 6.25 | % | | 12/25/2036 | | | 1,611,756 | |
| | 1,968,503 | | | Residential Accredit Loans, Inc., Series 2006-QS3-1A14 | | | 6.00 | % | | 03/25/2036 | | | 1,673,742 | |
| | 625,318 | | | Residential Accredit Loans, Inc., Series 2006-QS7-A2 | | | 6.00 | % | | 06/25/2036 | | | 482,405 | |
| | 587,266 | | | Residential Accredit Loans, Inc., Series 2007-QS11-A1 | | | 7.00 | % | | 10/25/2037 | | | 456,771 | |
| | 4,507,679 | | | Residential Accredit Loans, Inc., Series 2007-QS1-1A2 (-1 x Secured Overnight Financing Rate 1 Month + 5.34%, 0.00% Floor, 5.45% Cap) | | | 0.00 | % (f)(g) | | 01/25/2037 | | | 264,745 | |
| | 4,744,443 | | | Residential Accredit Loans, Inc., Series 2007-QS1-1A5 (Secured Overnight Financing Rate 1 Month + 0.66%, 0.55% Floor, 6.00% Cap) | | | 6.00 | % | | 01/25/2037 | | | 3,387,755 | |
| | 337,080 | | | Residential Accredit Loans, Inc., Series 2007-QS5-A1 | | | 5.50 | % | | 03/25/2037 | | | 259,749 | |
| | 4,139,801 | | | Residential Asset Securitization Trust, Series 2006-A12-A1 | | | 6.25 | % | | 11/25/2036 | | | 1,555,064 | |
| | 933,628 | | | Residential Asset Securitization Trust, Series 2006-A8-1A1 | | | 6.00 | % | | 08/25/2036 | | | 523,141 | |
| | 8,934,648 | | | Securitized Asset Backed Receivables LLC Trust, Series 2006-NC1-A3 (Secured Overnight Financing Rate 1 Month + 0.65%, 0.54% Floor) | | | 6.01 | % | | 03/25/2036 | | | 8,001,306 | |
| | 172,278 | | | Sequoia Mortgage Trust, Series 2013-9-AP | | | 0.00 | % (b)(j) | | 07/25/2043 | | | 122,574 | |
| | 1,198,647 | | | Starwood Mortgage Residential Trust, Series 2020-3-A1 | | | 1.49 | % (b)(c) | | 04/25/2065 | | | 1,118,903 | |
| | 2,309,975 | | | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17-5A1 | | | 5.55 | % (c) | | 08/25/2035 | | | 1,337,679 | |
| | 1,050,936 | | | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1 | | | 5.23 | % (c) | | 12/25/2035 | | | 940,412 | |
| | | | | | | | | | | | | | |
Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | 788,827 | | | Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1-A2 | | | 4.44 | % (c) | | 10/25/2037 | | | 616,793 | |
| | 2,554,194 | | | Structured Asset Mortgage Investments Trust, Series 2006-AR6-1A1 (Secured Overnight Financing Rate 1 Month + 0.47%, 0.36% Floor, 10.50% Cap) | | | 5.83 | % | | 07/25/2046 | | | 2,107,703 | |
| | 2,649,239 | | | Structured Asset Mortgage Investments Trust, Series 2006-AR6-1A3 (Secured Overnight Financing Rate 1 Month + 0.49%, 0.38% Floor, 10.50% Cap) | | | 5.85 | % | | 07/25/2046 | | | 2,002,089 | |
| | 4,262,821 | | | Structured Asset Mortgage Investments Trust, Series 2006-AR7-A1A (Secured Overnight Financing Rate 1 Month + 0.53%, 0.42% Floor, 10.50% Cap) | | | 5.89 | % | | 08/25/2036 | | | 3,440,162 | |
| | 3,566,803 | | | Structured Asset Mortgage Investments Trust, Series 2007-AR3-2A1 (Secured Overnight Financing Rate 1 Month + 0.30%, 0.19% Floor, 10.50% Cap) | | | 5.66 | % | | 09/25/2047 | | | 3,188,343 | |
| | 4,500,000 | | | Structured Asset Securities Corporation, Series 2007-BC4-M1 (Secured Overnight Financing Rate 1 Month + 0.61%, 0.50% Floor) | | | 5.97 | % | | 11/25/2037 | | | 3,287,560 | |
| | 12,918,795 | | | Structured Asset Securities Corporation, Series 2007-RF1-1A (Secured Overnight Financing Rate 1 Month + 0.30%, 0.19% Floor) | | | 5.66 | % (b) | | 03/25/2037 | | | 10,444,433 | |
| | 3,041,060 | | | VCAT LLC, Series 2021-NPL5-A1 | | | 1.87 | % (b)(e) | | 08/25/2051 | | | 2,989,670 | |
| | 3,256,657 | | | VCAT LLC, Series 2021-NPL6-A1 | | | 1.92 | % (b)(e) | | 09/25/2051 | | | 3,190,072 | |
| | 894,308 | | | Velocity Commercial Capital Loan Trust, Series 2019-1-M6 | | | 6.79 | % (b)(c) | | 03/25/2049 | | | 609,811 | |
| | 358,639 | | | Velocity Commercial Capital Loan Trust, Series 2019-2-M5 | | | 4.93 | % (b)(c) | | 07/25/2049 | | | 301,453 | |
| | 1,533,565 | | | Velocity Commercial Capital Loan Trust, Series 2019-2-M6 | | | 6.30 | % (b)(c) | | 07/25/2049 | | | 1,191,362 | |
| | 1,010,338 | | | Velocity Commercial Capital Loan Trust, Series 2020-1-M6 | | | 5.69 | % (b)(c) | | 02/25/2050 | | | 755,802 | |
| | 1,503,875 | | | Velocity Commercial Capital Loan Trust, Series 2021-1-M3 | | | 2.57 | % (b)(c) | | 05/25/2051 | | | 1,144,313 | |
| | 3,623,509 | | | Velocity Commercial Capital Loan Trust, Series 2021-1-M4 | | | 2.85 | % (b)(c) | | 05/25/2051 | | | 2,604,590 | |
| | 3,724,496 | | | Velocity Commercial Capital Loan Trust, Series 2021-2-M4 | | | 3.08 | % (b)(c) | | 08/25/2051 | | | 2,671,731 | |
| | 2,200,000 | | | Verus Securitization Trust, Series 2020-1-B1 | | | 3.62 | % (b)(c) | | 01/25/2060 | | | 1,621,788 | |
| | 3,202,214 | | | Verus Securitization Trust, Series 2020-4-A1 | | | 1.50 | % (b)(e) | | 05/25/2065 | | | 3,019,564 | |
| | 6,685,000 | | | Verus Securitization Trust, Series 2021-6-B1 | | | 4.05 | % (b)(c) | | 10/25/2066 | | | 4,937,971 | |
| | 2,073,000 | | | Verus Securitization Trust, Series 2021-R2-B1 | | | 3.25 | % (b)(c) | | 02/25/2064 | | | 1,527,146 | |
| | 2,991,189 | | | VOLT LLC, Series 2021-NPL6-A1 | | | 2.24 | % (b)(e) | | 04/25/2051 | | | 2,894,429 | |
| | 883,006 | | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-10-2A8 | | | 6.00 | % | | 11/25/2035 | | | 789,286 | |
| | 2,515,061 | | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-5-2CB6 | | | 6.00 | % | | 07/25/2036 | | | 1,680,022 | |
| | 5,836,855 | | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR11-1A (12 Month US Treasury Average + 0.96%, 0.96% Floor) | | | 5.97 | % | | 09/25/2046 | | | 4,637,832 | |
| | 9,029,810 | | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR18-1A1 | | | 3.27 | % (c) | | 01/25/2037 | | | 7,677,495 | |
| | 1,768,304 | | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-2-1A6 | | | 6.00 | % | | 04/25/2037 | | | 1,409,292 | |
| | 97,909 | | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-4-1A1 | | | 5.50 | % | | 06/25/2037 | | | 91,896 | |
| | 6,853,699 | | | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY7-3A1 | | | 4.11 | % (c) | | 07/25/2037 | | | 5,934,081 | |
| | 461,644 | | | Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4 | | | 5.75 | % | | 07/25/2037 | | | 392,075 | |
| | 373,202 | | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4-2A1 | | | 4.77 | % (c) | | 04/25/2036 | | | 350,875 | |
| | | | | | | | | | | | | | |
Principal Amount
$/Shares | | | Security Description | | Rate | | | Maturity | | Value $ | |
| | 2,125,227 | | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1 | | | 6.00 | % | | 06/25/2037 | | | 1,900,114 | |
| | | | | | | | | | | | | | |
| | Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $680,104,831) | | | 559,146,242 | |
| | | | | | | | | | | | | | |
|
| | Short Term Investments - 2.7% | |
| | 5,131,199 | | | First American Government Obligations Fund - Class U | | | 5.30 | % (k) | | | | | 5,131,199 | |
| | 5,131,200 | | | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | | | 5.29 | % (k) | | | | | 5,131,200 | |
| | 5,131,200 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 5.27 | % (k) | | | | | 5,131,200 | |
| | | | | | | | | | | | | | |
| | Total Short Term Investments (Cost $15,393,599) | | | | | | | | | 15,393,599 | |
| | | | | | | | | | | | | | |
| | | |
| | Total Investments - 100.2% (Cost $700,434,210) | | | | | | | | | 578,636,640 | |
| | Liabilities in Excess of Other Assets - (0.2)% | | | (1,156,014 | ) |
| | | | | |
| | NET ASSETS - 100.0% | | $ | 577,480,626 | |
| | | | | | | | | | | | | | |
| | (a) | Represents less than 0.05% of net assets | |
| | (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) | Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end. | |
| | (d) | Value determined using significant unobservable inputs. | |
| | (e) | Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end. | |
| | (f) | Interest only security | |
| | (g) | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. | |
| | (h) | This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end. | |
| | (i) | Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end. | |
| | (j) | Principal only security | |
| | (k) | Seven-day yield as of period end | |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
| | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 96.8% | |
Short Term Investments | | | 2.7% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 0.4% | |
Collateralized Loan Obligations | | | 0.3% | |
Asset Backed Obligations | | | 0.0% | (a) |
Other Assets and Liabilities | | | (0.2)% | |
| | | | |
| | | 100.0% | |
| | | | |
Notes to Schedule of Investments
December 31,2023 (Unaudited)
1. Organization
The Fund is a separate investment series of DoubleLine Funds Trust (the “Trust”). The Fund commenced operations on August 4, 2014 and was originally classified as a non-diversified fund. The Fund is currently operating as a diversified fund. Under the Investment Company Act of 1940, as amended (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. Shares of the Fund may currently be purchased in transactions by the Fund’s investment adviser, DoubleLine Capital LP (the “Adviser” or “DoubleLine Capital”), or its affiliates acting in their capacity as investment adviser (or in a similar capacity) for clients, including separately managed private accounts, investment companies registered under the 1940 Act, and other funds, each of which must be an “accredited investor” as defined in Regulation D under the Securities Act of 1933, as amended. The Fund also may permit purchases of shares by (i) qualified employees, officers and Trustees of the Fund and their qualified family members; (ii) qualified employees and officers of the Adviser or DoubleLine Group LP and their qualified family members; (iii) qualified affiliates of the Adviser or DoubleLine Group LP; and (iv) other qualified accounts. The Fund’s investment objective is to seek long- term total return.
2. Significant Accounting Policies
The 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 Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).
A. Security Valuation. The Fund has adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
| • | | Level 1—Unadjusted quoted market prices in active markets for identical securities |
| • | | Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data |
| • | | Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions) |
Valuations for domestic and foreign fixed income securities are normally determined on the basis of evaluations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is 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 |
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.
The Board of Trustees (the “Board”) has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The 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, 2023:
| | | | |
Category | | | |
Investments in Securities | | | | |
Level 1 | | | | |
Short Term Investments | | $ | 15,393,599 | |
| | | | |
Total Level 1 | | | 15,393,599 | |
Level 2 | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 556,219,530 | |
Non-Agency Commercial Mortgage Backed Obligations | | | 1,963,041 | |
Collateralized Loan Obligations | | | 1,748,555 | |
Asset Backed Obligations | | | 240,603 | |
| | | | |
Total Level 2 | | | 560,171,729 | |
Level 3 | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 2,926,712 | |
Non-Agency Commercial Mortgage Backed Obligations | | | 144,600 | |
| | | | |
Total Level 3 | | | 3,071,312 | |
| | | | |
Total | | $ | 578,636,640 | |
| | | | |
See the Schedule of Investments for further disaggregation of investment categories.
