DoubleLine Shiller Enhanced International CAPE®
Schedule of Investments
December 31, 2023 (Unaudited)
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Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
Asset Backed Obligations - 3.1% | | | | | | | | | | |
| 394,724 | | Commonbond Student Loan Trust, Series 2017-BGS-B | | | 3.26 | % (a) | | 09/25/2042 | | | 354,474 | |
| 345,275 | | Diamond Resorts Owner Trust, Series 2021-1A-A | | | 1.51 | % (a) | | 11/21/2033 | | | 321,992 | |
| 443,215 | | National Collegiate Student Loan Trust, Series 2006-1-A5 (Secured Overnight Financing Rate 1 Month + 0.46%) | | | 5.82 | % | | 03/25/2033 | | | 420,686 | |
| 452,068 | | Navient Private Education Loan Trust, Series 2018-A-B | | | 3.68 | % (a) | | 02/18/2042 | | | 431,109 | |
| | | | | | | | | | | | |
Total Asset Backed Obligations (Cost $1,582,417) | | | | | | | | | 1,528,261 | |
| | | | | | | | | | | | |
|
Collateralized Loan Obligations - 17.7% | |
| 500,000 | | Allegro Ltd., Series 2019-1A-AR (Secured Overnight Financing Rate 3 Month + 1.41%, 1.15% Floor) | | | 6.83 | % (a) | | 07/20/2032 | | | 500,038 | |
| 1,000,000 | | Cathedral Lake Ltd., Series 2021-8A-A1 (Secured Overnight Financing Rate 3 Month + 1.48%, 1.22% Floor) | | | 6.89 | % (a) | | 01/20/2035 | | | 999,598 | |
| 500,000 | | CBAM Ltd., Series 2017-2A-AR (Secured Overnight Financing Rate 3 Month + 1.45%, 1.19% Floor) | | | 6.85 | % (a) | | 07/17/2034 | | | 498,142 | |
| 500,000 | | CFIP Ltd., Series 2021-1A-A (Secured Overnight Financing Rate 3 Month + 1.48%, 1.22% Floor) | | | 6.90 | % (a) | | 01/20/2035 | | | 499,462 | |
| 1,000,000 | | Generate Ltd., Series 6A-A1R (Secured Overnight Financing Rate 3 Month + 1.46%, 1.20% Floor) | | | 6.87 | % (a) | | 01/22/2035 | | | 999,656 | |
| 500,000 | | Highbridge Loan Management Ltd., Series 3A-2014-CR (Secured Overnight Financing Rate 3 Month + 3.86%) | | | 9.26 | % (a) | | 07/18/2029 | | | 496,326 | |
| 500,000 | | Logan Ltd., Series 2022-1A-B (Secured Overnight Financing Rate 3 Month + 2.05%, 2.05% Floor) | | | 7.46 | % (a) | | 04/21/2035 | | | 501,955 | |
| 312,996 | | MKS Ltd., Series 2017-1A-AR (Secured Overnight Financing Rate 3 Month + 1.26%, 1.00% Floor) | | | 6.68 | % (a) | | 07/20/2030 | | | 312,736 | |
| 500,000 | | Palmer Square Ltd., Series 2021-2A-A (Secured Overnight Financing Rate 3 Month + 1.41%, 1.41% Floor) | | | 6.81 | % (a) | | 07/15/2034 | | | 499,587 | |
| 500,000 | | RR Ltd., Series 2021-14A-A1 (Secured Overnight Financing Rate 3 Month + 1.38%, 1.38% Floor) | | | 6.78 | % (a) | | 04/15/2036 | | | 500,132 | |
| 496,289 | | Shackleton Ltd., Series 2015-7RA-AR (Secured Overnight Financing Rate 3 Month + 1.41%, 1.15% Floor) | | | 6.81 | % (a) | | 07/15/2031 | | | 496,262 | |
| 500,000 | | Sound Point Ltd., Series 2019-2A-AR (Secured Overnight Financing Rate 3 Month + 1.43%, 1.17% Floor) | | | 6.83 | % (a) | | 07/15/2034 | | | 497,785 | |
| 1,000,000 | | Sound Point Ltd., Series 2020-1A-AR (Secured Overnight Financing Rate 3 Month + 1.43%, 1.43% Floor) | | | 6.85 | % (a) | | 07/20/2034 | | | 998,508 | |
| 418,585 | | Venture Ltd., Series 2017-29A-AR (Secured Overnight Financing Rate 3 Month + 1.25%, 0.99% Floor) | | | 6.63 | % (a) | | 09/07/2030 | | | 418,347 | |
| 500,000 | | Wellfleet Ltd., Series 2020-2A-AR (Secured Overnight Financing Rate 3 Month + 1.48%, 1.22% Floor) | | | 6.88 | % (a) | | 07/15/2034 | | | 499,766 | |
| | | | | | | | | | | | |
Total Collateralized Loan Obligations (Cost $8,720,238) | | | | | | | | | 8,718,300 | |
| | | | | | | | | | | | |
|
Foreign Corporate Bonds - 5.1% | |
| 177,500 | | Adani International Container Terminal Private Ltd. | | | 3.00 | % | | 02/16/2031 | | | 145,703 | |
| 90,000 | | Avolon Holdings Funding Ltd. | | | 2.13 | % (a) | | 02/21/2026 | | | 83,452 | |
| 29,000 | | Banco Internacional del Peru S.A.A. Interbank (3 Month LIBOR USD + 5.76%) | | | 6.63 | % (g) | | 03/19/2029 | | | 28,889 | |
| 200,000 | | Bancolombia S.A. (5 Year CMT Rate + 2.94%) | | | 4.63 | % | | 12/18/2029 | | | 185,547 | |
| 70,000 | | Bank of Montreal | | | 6.06 | % (b) | | 03/08/2024 | | | 70,043 | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 10,000 | | Bank of Montreal | | | 1.50 | % | | 01/10/2025 | | | 9,641 | |
| 80,000 | | Bank of Nova Scotia | | | 4.75 | % | | 02/02/2026 | | | 79,848 | |
| 200,000 | | BBVA Bancomer S.A. (5 Year CMT Rate + 2.65%) | | | 5.13 | % | | 01/18/2033 | | | 181,369 | |
| 200,000 | | Braskem Netherlands Finance B.V. (5 Year CMT Rate + 8.22%) | | | 8.50 | % | | 01/23/2081 | | | 172,188 | |
| 85,000 | | Canadian Pacific Railway Company | | | 1.35 | % | | 12/02/2024 | | | 81,992 | |
| 85,000 | | Commonwealth Bank of Australia (Secured Overnight Financing Rate + 0.63%) | | | 5.98 | % (a) | | 09/12/2025 | | | 85,107 | |
| 95,600 | | Empresa Electrica Angamos S.A. | | | 4.88 | % | | 05/25/2029 | | | 86,116 | |
| 85,000 | | Enbridge, Inc. | | | 5.90 | % | | 11/15/2026 | | | 87,297 | |
| 80,000 | | Glencore Funding LLC | | | 1.63 | % (a) | | 09/01/2025 | | | 75,579 | |
| 200,000 | | Inkia Energy Ltd. | | | 5.88 | % | | 11/09/2027 | | | 191,261 | |
| 161,000 | | JSW Hydro Energy Ltd. | | | 4.13 | % | | 05/18/2031 | | | 140,454 | |
| 180,000 | | Millicom International Cellular S.A. | | | 5.13 | % | | 01/15/2028 | | | 167,848 | |
| 200,000 | | Multibank, Inc. | | | 7.75 | % (a) | | 02/03/2028 | | | 200,168 | |
| 80,000 | | NXP B.V. | | | 4.40 | % | | 06/01/2027 | | | 79,019 | |
| 85,000 | | Royal Bank of Canada | | | 3.38 | % | | 04/14/2025 | | | 83,333 | |
| 200,000 | | Sasol Financing USA LLC | | | 4.38 | % | | 09/18/2026 | | | 186,479 | |
| 90,000 | | Toronto-Dominion Bank | | | 0.70 | % | | 09/10/2024 | | | 87,178 | |
| | | | | | | | | | | | |
Total Foreign Corporate Bonds (Cost $2,511,516) | | | | | | | | | 2,508,511 | |
| | | | | | | | | | | | |
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.7% | |
| 200,000 | | Banco Nacional de Comercio Exterior (5 Year CMT Rate + 2.00%) | | | 2.72 | % | | 08/11/2031 | | | 170,896 | |
| 130,161 | | Bioceanico Sovereign Certificate Ltd. | | | 0.00 | % | | 06/05/2034 | | | 93,261 | |
| 88,848 | | Lima Metro Finance Ltd. | | | 5.88 | % | | 07/05/2034 | | | 88,000 | |
| | | | | | | | | | | | |
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $359,157) | | | 352,157 | |
| | | | | | | | | | | | |
|
Non-Agency Commercial Mortgage Backed Obligations - 11.3% | |
| 1,631,277 | | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2-XA | | | 1.11 | % (a)(c)(d) | | 06/15/2054 | | | 96,685 | |
| 231,000 | | AREIT Trust, Series 2019-CRE3-D (Secured Overnight Financing Rate 1 Month + 2.76%, 2.76% Floor) | | | 8.13 | % (a) | | 09/14/2036 | | | 207,830 | |
| 89,407 | | AREIT Trust, Series 2022-CRE6-A (Secured Overnight Financing Rate 30 Day Average + 1.25%, 1.25% Floor) | | | 6.59 | % (a) | | 01/20/2037 | | | 87,793 | |
| 2,743,369 | | BANK, Series 2021-BN36-XA | | | 0.90 | % (c)(d) | | 09/15/2064 | | | 113,176 | |
| 3,844,000 | | BB-UBS Trust, Series 2012-SHOW-XB | | | 0.14 | % (a)(c)(d) | | 11/05/2036 | | | 4,491 | |
| 100,000 | | BDS Ltd., Series 2021-FL10-A (Secured Overnight Financing Rate 1 Month + 1.46%, 1.46% Floor) | | | 6.82 | % (a) | | 12/16/2036 | | | 98,761 | |
| 4,735,925 | | Benchmark Mortgage Trust, Series 2018-B2-XA | | | 0.45 | % (c)(d) | | 02/15/2051 | | | 61,867 | |
| 2,271,000 | | Benchmark Mortgage Trust, Series 2021-B26-XB | | | 0.64 | % (a)(c)(d) | | 06/15/2054 | | | 83,925 | |
| 1,795,390 | | Benchmark Mortgage Trust, Series 2021-B28-XA | | | 1.27 | % (c)(d) | | 08/15/2054 | | | 118,353 | |
| 84,016 | | BRSP Ltd., Series 2021-FL1-A (Secured Overnight Financing Rate 1 Month + 1.26%, 1.15% Floor) | | | 6.62 | % (a) | | 08/19/2038 | | | 81,835 | |
| 100,000 | | BSPRT Issuer Ltd., Series 2022-FL8-A (Secured Overnight Financing Rate 30 Day Average + 1.50%, 1.50% Floor) | | | 6.84 | % (a) | | 02/15/2037 | | | 99,303 | |
| 171,535 | | BSREP Commercial Mortgage Trust, Series 2021-DC-D (Secured Overnight Financing Rate 1 Month + 2.01%, 1.90% Floor) | | | 7.38 | % (a) | | 08/15/2038 | | | 128,678 | |
| 101,377 | | BX Commercial Mortgage Trust, Series 2020-VKNG-A (Secured Overnight Financing Rate 1 Month + 1.04%, 0.93% Floor) | | | 6.41 | % (a) | | 10/15/2037 | | | 100,645 | |
| 100,000 | | BX Trust, Series 2021-VIEW-D (Secured Overnight Financing Rate 1 Month + 3.01%, 2.90% Floor) | | | 8.38 | % (a) | | 06/15/2036 | | | 93,328 | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 250,000 | | CD Commercial Mortgage Trust, Series 2017-CD6-C | | | 4.23 | % (c) | | 11/13/2050 | | | 190,604 | |
| 100,000 | | CHCP Ltd., Series 2021-FL1-C (Secured Overnight Financing Rate 1 Month + 2.21%, 2.10% Floor) | | | 7.57 | % (a) | | 02/15/2038 | | | 96,904 | |
| 599,455 | | Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA | | | 0.90 | % (c)(d) | | 03/11/2047 | | | 35 | |
| 2,662,043 | | Citigroup Commercial Mortgage Trust, Series 2016-C1-XA | | | 1.82 | % (c)(d) | | 05/10/2049 | | | 87,377 | |
| 99,976 | | COMM Mortgage Trust, Series 2014-UBS5-A3 | | | 3.57 | % | | 09/10/2047 | | | 98,552 | |
| 5,899,998 | | Commercial Mortgage Pass-Through Trust, Series 2015-CR27-XA | | | 0.90 | % (c)(d) | | 10/10/2048 | | | 70,876 | |
| 186,000 | | Commercial Mortgage Pass-Through Trust, Series 2015-DC1-C | | | 4.30 | % (c) | | 02/10/2048 | | | 148,250 | |
| 5,899,257 | | Commercial Mortgage Pass-Through Trust, Series 2015-LC21-XD | | | 1.07 | % (a)(c)(d) | | 07/10/2048 | | | 81,351 | |
| 179,000 | | CSAIL Commercial Mortgage Trust, Series 2016-C7-B | | | 4.33 | % (c) | | 11/15/2049 | | | 160,605 | |
| 164,000 | | CSMC Trust, Series 2017-TIME-A | | | 3.65 | % (a) | | 11/13/2039 | | | 142,197 | |
| 165,000 | | DBJPM Mortgage Trust, Series 2016-C1-B | | | 4.20 | % (c) | | 05/10/2049 | | | 147,585 | |
| 170,000 | | DBJPM Mortgage Trust, Series 2016-C3-B | | | 3.26 | % | | 08/10/2049 | | | 130,760 | |
| 112,013 | | Extended Stay America Trust, Series 2021-ESH-A (Secured Overnight Financing Rate 1 Month + 1.19%, 1.08% Floor) | | | 6.56 | % (a) | | 07/15/2038 | | | 111,063 | |
| 96,647 | | FS Rialto, Series 2021-FL2-A (Secured Overnight Financing Rate 1 Month + 1.33%, 1.33% Floor) | | | 6.69 | % (a) | | 05/16/2038 | | | 95,341 | |
| 100,000 | | Greystone Commercial Real Estate Notes, Series 2021-FL3-A (Secured Overnight Financing Rate 1 Month + 1.13%, 1.02% Floor) | | | 6.50 | % (a) | | 07/15/2039 | | | 99,119 | |
| 186,000 | | GS Mortgage Securities Corporation Trust, Series 2020-UPTN-F | | | 3.25 | % (a)(c) | | 02/10/2037 | | | 164,909 | |
| 4,218,179 | | GS Mortgage Securities Trust, Series 2016-GS4-XA | | | 0.56 | % (c)(d) | | 11/10/2049 | | | 53,568 | |
| 2,400,000 | | Helios Issuer LLC, Series 2021-PF1-XD | | | 1.11 | % (a)(c)(d) | | 11/15/2054 | | | 159,717 | |
| 200,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-C | | | 4.30 | % (c) | | 02/15/2048 | | | 154,369 | |
| 125,000 | | LCCM Trust, Series 2021-FL3-AS (Secured Overnight Financing Rate 1 Month + 1.91%, 1.91% Floor) | | | 7.28 | % (a) | | 11/15/2038 | | | 121,356 | |
| 125,000 | | LCCM Trust, Series 2021-FL3-B (Secured Overnight Financing Rate 1 Month + 2.31%, 2.31% Floor) | | | 7.68 | % (a) | | 11/15/2038 | | | 119,776 | |
| 79,642 | | LoanCore Issuer Ltd., Series 2021-CRE5-A (Secured Overnight Financing Rate 1 Month + 1.41%, 1.41% Floor) | | | 6.78 | % (a) | | 07/15/2036 | | | 78,461 | |
| 100,000 | | LoanCore Issuer Ltd., Series 2021-CRE6-A (Secured Overnight Financing Rate 1 Month + 1.41%, 1.30% Floor) | | | 6.78 | % (a) | | 11/15/2038 | | | 98,141 | |
| 119,427 | | Med Trust, Series 2021-MDLN-A (Secured Overnight Financing Rate 1 Month + 1.06%, 0.95% Floor) | | | 6.43 | % (a) | | 11/15/2038 | | | 117,242 | |
| 150,000 | | MF1 Ltd., Series 2021-FL6-C (Secured Overnight Financing Rate 1 Month + 1.96%, 1.85% Floor) | | | 7.32 | % (a) | | 07/16/2036 | | | 144,058 | |
| 100,000 | | MF1 Ltd., Series 2022-FL8-A (Secured Overnight Financing Rate 1 Month + 1.35%, 1.35% Floor) | | | 6.71 | % (a) | | 02/19/2037 | | | 98,802 | |
| 186,000 | | MFT Trust, Series 2020-ABC-D | | | 3.48 | % (a)(c) | | 02/10/2042 | | | 78,026 | |
| 4,953,748 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34-XE | | | 0.87 | % (a)(c)(d) | | 11/15/2052 | | | 139,441 | |
| 15,277,000 | | Morgan Stanley Capital Trust, Series 2017-ASHF-XCP | | | 0.00 | % (a)(c)(d) | | 11/15/2024 | | | 15 | |
| 69,170 | | Ready Capital Mortgage Financing LLC, Series 2021-FL7-A (Secured Overnight Financing Rate 1 Month + 1.31%, 1.20% Floor) | | | 6.67 | % (a) | | 11/25/2036 | | | 68,394 | |
| 150,000 | | RLGH Trust, Series 2021-TROT-D (Secured Overnight Financing Rate 1 Month + 1.83%, 1.71% Floor) | | | 7.19 | % (a) | | 04/15/2036 | | | 143,611 | |
| 2,183,814 | | SG Commercial Mortgage Securities Trust, Series 2016-C5-XA | | | 1.86 | % (c)(d) | | 10/10/2048 | | | 68,330 | |
| 18,169,000 | | SLG Office Trust, Series 2021-OVA-X | | | 0.26 | % (a)(c)(d) | | 07/15/2041 | | | 270,714 | |
| 5,378,000 | | UBS Commercial Mortgage Trust, Series 2017-C3-XB | | | 0.43 | % (c)(d) | | 08/15/2050 | | | 81,095 | |
| 100,000 | | VMC Finance LLC, Series 2022-FL5-A (Secured Overnight Financing Rate 30 Day Average + 1.90%, 1.90% Floor) | | | 7.24 | % (a) | | 02/18/2039 | | | 98,171 | |
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Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 5,690,954 | | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA | | | 0.59 | % (c)(d) | | 07/15/2058 | | | 36,213 | |
| 3,499,893 | | Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA | | | 0.92 | % (c)(d) | | 12/15/2048 | | | 49,396 | |
| 2,489,518 | | Wells Fargo Commercial Mortgage Trust, Series 2018-C48-XA | | | 0.93 | % (c)(d) | | 01/15/2052 | | | 89,228 | |
| 851,962 | | Wells Fargo Commercial Mortgage Trust, Series 2021-C59-XA | | | 1.52 | % (c)(d) | | 04/15/2054 | | | 64,152 | |
| | | | | | | | | | | | |
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $7,619,621) | | | | | | | | | 5,534,474 | |
| | | | | | | | | | | | |
|
Non-Agency Residential Collateralized Mortgage Obligations - 12.4% | |
| 250,217 | | AJAX Mortgage Loan Trust, Series 2021-C-A | | | 2.12 | % (a)(e) | | 01/25/2061 | | | 242,918 | |
| 683,844 | | Chase Mortgage Finance Trust, Series 2006-A1-2A2 | | | 5.11 | % (c) | | 09/25/2036 | | | 612,144 | |
| 59,775 | | Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2-1A2 | | | 4.41 | % (c) | | 03/25/2036 | | | 56,386 | |
| 480,064 | | COLT Mortgage Loan Trust, Series 2021-HX1-A1 | | | 1.11 | % (a)(c) | | 10/25/2066 | | | 398,944 | |
| 312,109 | | Countrywide Alternative Loan Trust, Series 2007-9T1-1A6 | | | 6.00 | % | | 05/25/2037 | | | 156,118 | |
| 687,766 | | CSMC Trust, Series 2022-NQM1-A1 | | | 2.27 | % (a)(c) | | 11/25/2066 | | | 590,550 | |
| 331,717 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR6-A6 (Secured Overnight Financing Rate 1 Month + 0.49%, 0.38% Floor, 10.50% Cap) | | | 5.85 | % | | 02/25/2037 | | | 283,770 | |
| 151,205 | | Lehman Mortgage Trust, Series 2007-6-2A1 (Secured Overnight Financing Rate 1 Month + 0.53%, 0.42% Floor) | | | 5.89 | % | | 05/25/2037 | | | 126,896 | |
| 796,671 | | Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR5-1A1 | | | 3.49 | % (c) | | 10/25/2047 | | | 250,314 | |
| 983,294 | | Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2-1A1 (1 Year CMT Rate + 2.40%, 2.40% Floor) | | | 7.52 | % | | 08/25/2036 | | | 862,809 | |
| 188,272 | | OBX Trust, Series 2020-EXP2-A3 | | | 2.50 | % (a)(c) | | 05/25/2060 | | | 153,947 | |
| 314,074 | | PRPM LLC, Series 2021-4-A1 | | | 1.87 | % (a)(e) | | 04/25/2026 | | | 307,446 | |
| 691,347 | | Residential Accredit Loans, Inc., Series 2007-QS8-A3 (Secured Overnight Financing Rate 1 Month + 0.71%, 0.60% Floor, 6.00% Cap) | | | 6.00 | % | | 06/25/2037 | | | 478,874 | |
| 500,000 | | Starwood Mortgage Residential Trust, Series 2020-2-M1E | | | 3.00 | % (a) | | 04/25/2060 | | | 478,137 | |
| 349,962 | | Starwood Mortgage Residential Trust, Series 2021-5-A1 | | | 1.92 | % (a)(c) | | 09/25/2066 | | | 285,860 | |
| 221,645 | | Velocity Commercial Capital Loan Trust, Series 2018-2-A | | | 4.05 | % (a)(c) | | 10/26/2048 | | | 212,617 | |
| 474,598 | | Velocity Commercial Capital Loan Trust, Series 2021-2-M2 | | | 2.20 | % (a)(c) | | 08/25/2051 | | | 388,567 | |
| 237,265 | | VOLT LLC, Series 2021-NPL1-A1 | | | 1.89 | % (a)(e) | | 02/27/2051 | | | 230,221 | |
| | | | | | | | | | | | |
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $7,011,640) | | | | | | | | | 6,116,518 | |
| | | | | | | | | | | | |
|
US Corporate Bonds - 6.5% | |
| 80,000 | | American Electric Power Company, Inc. | | | 5.20 | % | | 01/15/2029 | | | 81,132 | |
| 85,000 | | American Express Company (Secured Overnight Financing Rate + 1.00%) | | | 4.99 | % | | 05/01/2026 | | | 84,784 | |
| 85,000 | | Amgen, Inc. | | | 5.51 | % | | 03/02/2026 | | | 85,041 | |
| 70,000 | | Athene Global Funding | | | 6.10 | % (a)(b) | | 05/24/2024 | | | 69,950 | |
| 10,000 | | Athene Global Funding | | | 1.72 | % (a) | | 01/07/2025 | | | 9,587 | |
| 80,000 | | Bank of America Corporation (Secured Overnight Financing Rate 3 Month + 1.23%) | | | 3.46 | % | | 03/15/2025 | | | 79,630 | |
| 80,000 | | Boeing Company | | | 4.88 | % | | 05/01/2025 | | | 79,667 | |
| 85,000 | | Broadcom, Inc. | | | 3.15 | % | | 11/15/2025 | | | 82,360 | |
| 85,000 | | Capital One Financial Corporation (Secured Overnight Financing Rate + 2.16%) | | | 4.99 | % | | 07/24/2026 | | | 84,063 | |
| 55,000 | | Carrier Global Corporation | | | 5.80 | % (a) | | 11/30/2025 | | | 55,756 | |
| 15,000 | | Citigroup, Inc. (Secured Overnight Financing Rate + 1.53%) | | | 3.29 | % | | 03/17/2026 | | | 14,611 | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 110,000 | | Citigroup, Inc. (Secured Overnight Financing Rate 3 Month + 1.16%) | | | 3.35 | % | | 04/24/2025 | | | 109,182 | |
| 80,000 | | Constellation Brands, Inc. | | | 5.00 | % | | 02/02/2026 | | | 79,745 | |
| 80,000 | | Dollar Tree, Inc. | | | 4.00 | % | | 05/15/2025 | | | 78,605 | |
| 85,000 | | Elevance Health, Inc. | | | 3.50 | % | | 08/15/2024 | | | 83,894 | |
| 80,000 | | Energy Transfer LP | | | 6.05 | % | | 12/01/2026 | | | 82,297 | |
| 90,000 | | Entergy Louisiana LLC | | | 0.95 | % | | 10/01/2024 | | | 87,110 | |
| 85,000 | | Expedia Group, Inc. | | | 6.25 | % (a) | | 05/01/2025 | | | 85,877 | |
| 90,000 | | Ford Motor Company | | | 4.35 | % | | 12/08/2026 | | | 87,752 | |
| 80,000 | | General Motors Financial Company, Inc. | | | 5.25 | % | | 03/01/2026 | | | 80,079 | |
| 85,000 | | Goldman Sachs Group, Inc. | | | 3.50 | % | | 04/01/2025 | | | 83,134 | |
| 80,000 | | HCA, Inc. | | | 5.00 | % | | 03/15/2024 | | | 79,862 | |
| 80,000 | | John Deere Capital Corporation | | | 4.75 | % | | 01/20/2028 | | | 81,369 | |
| 85,000 | | JPMorgan Chase & Company | | | 3.90 | % | | 07/15/2025 | | | 83,728 | |
| 40,000 | | JPMorgan Chase & Company (Secured Overnight Financing Rate 3 Month + 1.42%) | | | 3.22 | % | | 03/01/2025 | | | 39,840 | |
| 70,000 | | Marriott International, Inc. | | | 3.60 | % | | 04/15/2024 | | | 69,660 | |
| 10,000 | | Marriott International, Inc. | | | 5.00 | % | | 10/15/2027 | | | 10,124 | |
| 80,000 | | Microchip Technology, Inc. | | | 0.97 | % | | 02/15/2024 | | | 79,527 | |
| 35,000 | | Morgan Stanley | | | 3.88 | % | | 01/27/2026 | | | 34,296 | |
| 85,000 | | Oracle Corporation | | | 5.80 | % | | 11/10/2025 | | | 86,354 | |
| 70,000 | | Pacific Gas and Electric Company | | | 4.95 | % | | 06/08/2025 | | | 69,594 | |
| 15,000 | | Pacific Gas and Electric Company | | | 2.10 | % | | 08/01/2027 | | | 13,529 | |
| 80,000 | | Parker-Hannifin Corporation | | | 3.65 | % | | 06/15/2024 | | | 79,258 | |
| 85,000 | | Penske Truck Leasing Company LP | | | 4.40 | % (a) | | 07/01/2027 | | | 82,943 | |
| 80,000 | | Philip Morris International, Inc. | | | 4.88 | % | | 02/13/2026 | | | 80,304 | |
| 40,000 | | PNC Financial Services Group, Inc. (Secured Overnight Financing Rate + 1.32%) | | | 5.81 | % | | 06/12/2026 | | | 40,264 | |
| 80,000 | | Republic Services, Inc. | | | 2.50 | % | | 08/15/2024 | | | 78,514 | |
| 100,000 | | Royalty Pharma PLC | | | 1.75 | % | | 09/02/2027 | | | 89,720 | |
| 80,000 | | Ryder System, Inc. | | | 5.25 | % | | 06/01/2028 | | | 81,113 | |
| 85,000 | | Truist Financial Corporation (Secured Overnight Financing Rate + 1.46%) | | | 4.26 | % | | 07/28/2026 | | | 83,299 | |
| 80,000 | | Veralto Corporation | | | 5.50 | % (a) | | 09/18/2026 | | | 81,057 | |
| 85,000 | | Wells Fargo & Company (Secured Overnight Financing Rate 3 Month + 1.09%) | | | 2.41 | % | | 10/30/2025 | | | 82,706 | |
| 75,000 | | Welltower, Inc. | | | 3.63 | % | | 03/15/2024 | | | 74,650 | |
| 10,000 | | Welltower, Inc. | | | 4.00 | % | | 06/01/2025 | | | 9,830 | |
| 90,000 | | Zimmer Biomet Holdings, Inc. | | | 1.45 | % | | 11/22/2024 | | | 86,814 | |
| | | | | | | | | | | | |
Total US Corporate Bonds (Cost $3,191,758) | | | | | | | | | 3,182,611 | |
| | | | | | | | | | | | |
|
US Government and Agency Mortgage Backed Obligations - 3.0% | |
| 45,018 | | Federal Home Loan Mortgage Corporation, Series 2021-MN1-M1 (Secured Overnight Financing Rate 30 Day Average + 2.00%) | | | 7.34 | % (a) | | 01/25/2051 | | | 43,762 | |
| 1,440,703 | | Federal National Mortgage Association REMIC, Series 2013-92-FA (Secured Overnight Financing Rate 30 Day Average + 0.66%, 0.55% Floor, 6.50% Cap) | | | 6.00 | % | | 09/25/2043 | | | 1,413,062 | |
| | | | | | | | | | | | |
Total US Government and Agency Mortgage Backed Obligations (Cost $1,439,124) | | | | | | | | | 1,456,824 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
|
US Government and Agency Obligations - 24.1% | |
| 1,240,000 | | United States Treasury Notes | | | 4.25 | % | | 05/31/2025 | | | 1,235,641 | |
| 670,000 | | United States Treasury Notes | | | 4.63 | % | | 06/30/2025 | | | 671,688 | |
| 1,450,000 | | United States Treasury Notes | | | 5.00 | % | | 08/31/2025 | | | 1,463,566 | |
| 1,700,000 | | United States Treasury Notes | | | 5.00 | % | | 09/30/2025 | | | 1,717,498 | |
| 1,460,000 | | United States Treasury Notes | | | 5.00 | % | | 10/31/2025 | | | 1,476,824 | |
| 1,590,000 | | United States Treasury Notes | | | 4.88 | % | | 11/30/2025 | | | 1,606,583 | |
| 860,000 | | United States Treasury Notes | | | 4.63 | % | | 09/15/2026 | | | 872,077 | |
| 860,000 | | United States Treasury Notes | | | 4.63 | % | | 10/15/2026 | | | 872,866 | |
| 490,000 | | United States Treasury Notes | | | 4.63 | % | | 11/15/2026 | | | 497,809 | |
| 980,000 | | United States Treasury Notes | | | 4.38 | % | | 12/15/2026 | | | 989,724 | |
| 450,000 | | United States Treasury Notes | | | 4.38 | % | | 11/30/2028 | | | 460,547 | |
| | | | | | | | | | | | |
Total US Government and Agency Obligations (Cost $11,772,923) | | | | | | | | | 11,864,823 | |
| | | | | | | | | | | | |
|
Affiliated Mutual Funds - 4.8% | |
| 259,675 | | DoubleLine Floating Rate Fund (Class I) | | | | | | | | | 2,344,868 | |
| | | | | | | | | | | | |
Total Affiliated Mutual Funds (Cost $2,472,710) | | | | | | | | | 2,344,868 | |
| | | | | | | | | | | | |
|
Short Term Investments - 4.4% | |
| 472,812 | | First American Government Obligations Fund - Class U | | | 5.30 | % (f) | | | | | 472,812 | |
| 472,812 | | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | | | 5.29 | % (f) | | | | | 472,812 | |
| 472,812 | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 5.27 | % (f) | | | | | 472,812 | |
| 760,000 | | United States Treasury Bills | | | 0.00 | % | | 05/16/2024 | | | 745,442 | |
| | | | | | | | | | | | |
Total Short Term Investments (Cost $2,163,538) | | | | | | | | | 2,163,878 | |
| | | | | | | | | | | | |
| | | |
Total Investments - 93.1% (Cost $48,844,642) | | | | | | | | | 45,771,225 | |
| Other Assets in Excess of Liabilities - 6.9% | | | | | | | | | 3,376,784 | |
| | | | | | | | | | | | |
NET ASSETS - 100.0% | | | | | | | | $ | 49,148,009 | |
| | | | | | | | | | | | |
| | (a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. | |
| | (b) | Coupon rate is variable 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. | |
| | (c) | Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end. | |
| | (d) | Interest only security | |
| | (e) | 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) | Seven-day yield as of period end | |
| | (g) | Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date. | |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
| | | | |
US Government and Agency Obligations | | | 24.1% | |
Collateralized Loan Obligations | | | 17.7% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 12.4% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 11.3% | |
US Corporate Bonds | | | 6.5% | |
Foreign Corporate Bonds | | | 5.1% | |
Affiliated Mutual Funds | | | 4.8% | |
Short Term Investments | | | 4.4% | |
Asset Backed Obligations | | | 3.1% | |
US Government and Agency Mortgage Backed Obligations | | | 3.0% | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.7% | |
Other Assets and Liabilities | | | 6.9% | |
| | | | |
| | | 100.0% | |
| | | | |
INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
US Government and Agency Obligations | | | 24.1% | |
Collateralized Loan Obligations | | | 17.7% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 12.4% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 11.3% | |
Affiliated Mutual Funds | | | 4.8% | |
Short Term Investments | | | 4.4% | |
Banking | | | 3.7% | |
Asset Backed Obligations | | | 3.1% | |
US Government and Agency Mortgage Backed Obligations | | | 3.0% | |
Utilities | | | 1.4% | |
Transportation | | | 0.8% | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 0.7% | |
Technology | | | 0.7% | |
Healthcare | | | 0.5% | |
Diversified Manufacturing | | | 0.4% | |
Chemicals/Plastics | | | 0.4% | |
Chemical Products | | | 0.3% | |
Pharmaceuticals | | | 0.3% | |
Energy | | | 0.3% | |
Automotive | | | 0.3% | |
Telecommunications | | | 0.3% | |
Finance | | | 0.2% | |
Commercial Services | | | 0.2% | |
Construction | | | 0.2% | |
Beverage and Tobacco | | | 0.2% | |
Hotels/Motels/Inns and Casinos | | | 0.2% | |
Food Products | | | 0.2% | |
Aerospace & Defense | | | 0.2% | |
Environmental Control | | | 0.2% | |
Real Estate | | | 0.2% | |
Insurance | | | 0.2% | |
Retailers (other than Food/Drug) | | | 0.1% | |
Mining | | | 0.1% | |
Other Assets and Liabilities | | | 6.9% | |
| | | | |
| | | 100.0% | |
| | | | |
EXCESS RETURN SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | | Long/Short | | | Financing
Rate | | | Payment
Frequency | | | Termination
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | | | BNP Paribas | | | | Long | | | | 0.20 | % | | | Termination | | | | 04/17/2024 | | | | 14,000,000 | | | | EUR | | | $ | 1,038,950 | | | $ | — | | | $ | 1,038,950 | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | |
| Barclays
Capital, Inc. |
| | | Long | | | | 0.20 | % | | | Termination | | | | 09/19/2024 | | | | 9,300,000 | | | | EUR | | | | 533,303 | | | | — | | | | 533,303 | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | | | BNP Paribas | | | | Long | | | | 0.20 | % | | | Termination | | | | 01/08/2025 | | | | 10,000,000 | | | | EUR | | | | 111,565 | | | | — | | | | 111,565 | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1) | |
| Barclays
Capital, Inc. |
| | | Long | | | | 0.20 | % | | | Termination | | | | 02/05/2025 | | | | 9,500,000 | | | | EUR | | | | 105,986 | | | | — | | | | 105,986 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,789,804 | | | $ | — | | | $ | 1,789,804 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Shiller Barclays CAPE® Europe Sector Net ER NoC Index aims to provide notional long exposure to the top four European equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each European sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of December 31, 2023, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIIESAE. |
FORWARD CURRENCY EXCHANGE CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Settlement Date | | Counterparty | | | Currency to be
Delivered | | | Value | | | Currency to be
Received | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
10/09/2024 | | | JP Morgan Securities LLC | | | | 11,566,760 | | | | USD | | | $ | 11,566,760 | | | | 10,700,000 | | | | EUR | | | $ | 11,957,645 | | | $ | 390,885 | |
06/04/2024 | | | Goldman Sachs | | | | 17,772,544 | | | | USD | | | | 17,772,544 | | | | 16,300,000 | | | | EUR | | | | 18,111,185 | | | | 338,641 | |
02/07/2024 | | | Barclays Capital, Inc. | | | | 10,638,150 | | | | USD | | | | 10,638,150 | | | | 9,800,000 | | | | EUR | | | | 10,836,752 | | | | 198,602 | |
02/07/2024 | | | Goldman Sachs | | | | 7,273,319 | | | | USD | | | | 7,273,319 | | | | 6,700,000 | | | | EUR | | | | 7,408,800 | | | | 135,481 | |
10/09/2024 | | | Goldman Sachs | | | | 3,227,897 | | | | USD | | | | 3,227,897 | | | | 3,000,000 | | | | EUR | | | | 3,352,611 | | | | 124,714 | |
06/04/2024 | | | JP Morgan Securities LLC | | | | 2,185,640 | | | | USD | | | | 2,185,640 | | | | 2,000,000 | | | | EUR | | | | 2,222,231 | | | | 36,591 | |
10/09/2024 | | | Barclays Capital, Inc. | | | | 322,692 | | | | USD | | | | 322,692 | | | | 300,000 | | | | EUR | | | | 335,261 | | | | 12,569 | |
02/07/2024 | | | JP Morgan Securities LLC | | | | 1,654,845 | | | | USD | | | | 1,654,845 | | | | 1,500,000 | | | | EUR | | | | 1,658,687 | | | | 3,842 | |
06/04/2024 | | | Barclays Capital, Inc. | | | | 330,194 | | | | USD | | | | 330,194 | | | | 300,000 | | | | EUR | | | | 333,335 | | | | 3,141 | |
02/07/2024 | | | JP Morgan Securities LLC | | | | 1,500,000 | | | | EUR | | | | 1,658,687 | | | | 1,652,862 | | | | USD | | | | 1,652,862 | | | | (5,825 | ) |
06/04/2024 | | | JP Morgan Securities LLC | | | | 1,100,000 | | | | EUR | | | | 1,222,227 | | | | 1,207,840 | | | | USD | | | | 1,207,840 | | | | (14,387 | ) |
02/07/2024 | | | Goldman Sachs | | | | 1,500,000 | | | | EUR | | | | 1,658,687 | | | | 1,627,735 | | | | USD | | | | 1,627,735 | | | | (30,952 | ) |
02/07/2024 | | | Barclays Capital, Inc. | | | | 1,200,000 | | | | EUR | | | | 1,326,949 | | | | 1,275,495 | | | | USD | | | | 1,275,495 | | | | (51,454 | ) |
06/04/2024 | | | Goldman Sachs | | | | 2,500,000 | | | | EUR | | | | 2,777,789 | | | | 2,697,492 | | | | USD | | | | 2,697,492 | | | | (80,297 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,061,551 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
A summary of the DoubleLine Shiller Enhanced International CAPE®'s investments in affiliated mutual funds for the period ended December 31, 2023 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2023 | | Gross
Purchases | | | Gross
Sales | | Net Realized
Gain (Loss)
for the
Period Ended
December 31,
2023 | | | Change in
Unrealized
for the
Period Ended
December 31,
2023 | | | Value at
December 31,
2023 | | Shares
Held at
December 31,
2023 | | | Dividend
Income
Earned for
the
Period Ended
December 31,
2023 | |
DoubleLine Floating Rate Fund (Class I) | | $3,931,367 | | $ | — | | | $(1,600,000) | | $ | (115,270 | ) | | $ | 128,771 | | | $2,344,868 | | | 259,675 | | | $ | 187,064 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notes to Schedule of Investments
December 31, 2023 (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 17 funds, the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Low Duration Bond Fund, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund, DoubleLine Low Duration Emerging Markets Fixed Income Fund, DoubleLine Long Duration Total Return Bond Fund, DoubleLine Strategic Commodity Fund, DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Shiller Enhanced International CAPE®, DoubleLine Emerging Markets Local Currency Bond Fund, DoubleLine Income Fund and DoubleLine Multi-Asset Trend Fund (each, a “Fund” and, collectively, the “Funds”), along with DoubleLine Selective Credit Fund.
Each Fund is classified as a diversified fund under the 1940 Act, except the DoubleLine Global Bond Fund and the DoubleLine Emerging Markets Local Currency Bond Fund, which are classified as non-diversified funds. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund’s total assets is not subject to this limitation.
The Funds’ investment objectives and dates each share class commenced operations are as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | 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 Low Duration Bond Fund | | Seek current income | | | 9/30/2011 | | | | 9/30/2011 | | | | — | | | | 7/31/2019 | |
DoubleLine Floating Rate Fund | | Seek a high level of current income | | | 2/1/2013 | | | | 2/1/2013 | | | | — | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | Seek total return which exceeds the total return of its benchmark index over a full market cycle | | | 10/31/2013 | | | | 10/31/2013 | | | | — | | | | 7/31/2019 | |
DoubleLine Flexible Income Fund | | Seek long-term total return while striving to generate current income | | | 4/7/2014 | | | | 4/7/2014 | | | | — | | | | 7/31/2019 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | Seek long-term total return | | | 4/7/2014 | | | | 4/7/2014 | | | | — | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | Seek long-term total return | | | 12/15/2014 | | | | 12/15/2014 | | | | — | | | | — | |
DoubleLine Strategic Commodity Fund (Consolidated) | | Seek long-term total return | | | 5/18/2015 | | | | 5/18/2015 | | | | — | | | | — | |
DoubleLine Global Bond Fund | | Seek long-term total return | | | 12/17/2015 | | | | 12/17/2015 | | | | — | | | | — | |
DoubleLine Infrastructure Income Fund | | Seek long-term total return while striving to generate current income | | | 4/1/2016 | | | | 4/1/2016 | | | | — | | | | — | |
DoubleLine Shiller Enhanced International CAPE® | | Seek total return which exceeds the total return of its benchmark index over a full market cycle | | | 12/23/2016 | | | | 12/23/2016 | | | | — | | | | — | |
DoubleLine Emerging Markets Local Currency Bond Fund | | Seek high total return from current income and capital appreciation | | | 6/28/2019 | | | | 6/28/2019 | | | | — | | | | — | |
DoubleLine Income Fund | | Maximize total return through investment principally in income-producing securities | | | 9/3/2019 | | | | 9/3/2019 | | | | — | | | | — | |
DoubleLine Multi-Asset Trend Fund (Consolidated) | | Seek total return (capital appreciation and current income) which exceeds the total return of its benchmark index over a full market cycle | | | 2/26/2021 | | | | 2/26/2021 | | | | — | | | | — | |
2. Significant Accounting Policies
Each Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, Financial Services—Investment Companies, by the Financial Accounting Standards Board (“FASB”). The following is a summary of the significant accounting policies of the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).
A. Security Valuation. The Funds have adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
| • | | Level 1—Unadjusted quoted market prices in active markets for identical securities |
| • | | Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data |
| • | | Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions) |
Valuations for domestic and foreign fixed income securities are normally determined on the basis of evaluations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Funds are authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.
| | |
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 valuations obtained from counterparties, published index closing levels or evaluated prices supplied by independent pricing services, some or all of which may be based on market data from trading on exchanges that closed significantly before the time as of which a Fund calculates its NAV. Forward foreign currency contracts are generally valued based on rates provided by independent data providers. Exchange traded futures and options on futures are generally valued at the settlement price determined by the relevant exchange on which they principally trade, and exchange traded options are generally valued at the last trade price on the exchange on which they principally trade. A Fund does not normally take into account trading, clearances or settlements that take place after the close of the principal exchange or market on which such securities are traded. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as 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 the Valuation Designee in accordance with Rule 2a-5. Each Adviser, as Valuation Designee, is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.
The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of December 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | DoubleLine
Total Return
Bond Fund | | | DoubleLine
Core Fixed
Income Fund | | | DoubleLine
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | | | DoubleLine
Shiller
Enhanced
CAPE® | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Short Term Investments | | $ | 385,668,763 | | | $ | 1,179,050,516 | | | $ | 995,549 | | | $ | 101,279,049 | | | $ | 12,888,281 | | | $ | 155,671,242 | |
Affiliated Mutual Funds | | | — | | | | 450,698,184 | | | | — | | | | — | | | | — | | | | — | |
Warrants | | | — | | | | 7,919 | | | | — | | | | — | | | | — | | | | — | |
Total Level 1 | | | 385,668,763 | | | | 1,629,756,619 | | | | 995,549 | | | | 101,279,049 | | | | 12,888,281 | | | | 155,671,242 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
US Government and Agency Mortgage Backed Obligations | | | 15,915,342,077 | | | | 1,463,020,669 | | | | — | | | | 168,518,137 | | | | — | | | | 98,729,518 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 8,145,756,691 | | | | 779,206,918 | | | | — | | | | 736,763,147 | | | | — | | | | 437,160,115 | |
Non-Agency Commercial Mortgage Backed Obligations | | | 2,240,264,590 | | | | 363,165,349 | | | | — | | | | 759,303,806 | | | | — | | | | 421,772,772 | |
US Government and Agency Obligations | | | 1,968,200,082 | | | | 1,554,827,501 | | | | — | | | | 1,262,036,593 | | | | — | | | | 871,365,002 | |
Asset Backed Obligations | | | 1,352,938,110 | | | | 247,636,720 | | | | — | | | | 382,134,595 | | | | — | | | | 284,417,546 | |
Collateralized Loan Obligations | | | 1,020,039,072 | | | | 260,583,256 | | | | — | | | | 889,265,171 | | | | 2,002,441 | | | | 647,956,913 | |
US Corporate Bonds | | | — | | | | 1,047,935,433 | | | | — | | | | 388,203,198 | | | | 4,841,988 | | | | 264,572,313 | |
Foreign Corporate Bonds | | | — | | | | 390,467,457 | | | | 342,786,967 | | | | 461,381,293 | | | | — | | | | 208,113,759 | |
Bank Loans | | | — | | | | 220,824,544 | | | | — | | | | 191,072,088 | | | | 154,456,072 | | | | 198,665,208 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | — | | | | 72,774,006 | | | | 84,076,962 | | | | 111,108,599 | | | | — | | | | 33,066,453 | |
Municipal Bonds | | | — | | | | 5,604,279 | | | | — | | | | — | | | | — | | | | — | |
Escrow Notes | | | — | | | | 6,365 | | | | — | | | | — | | | | — | | | | — | |
Short Term Investments | | | — | | | | — | | | | — | | | | 82,390,981 | | | | — | | | | 205,583,485 | |
Total Level 2 | | | 30,642,540,622 | | | | 6,406,052,497 | | | | 426,863,929 | | | | 5,432,177,608 | | | | 161,300,501 | | | | 3,671,403,084 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 249,219,181 | | | | 703,045 | | | | — | | | | 385,461 | | | | — | | | | 9,993,174 | |
Asset Backed Obligations | | | 25,453,209 | | | | 796,549 | | | | — | | | | 25,170,000 | | | | — | | | | — | |
Collateralized Loan Obligations | | | 494,317 | | | | 2,392,583 | | | | — | | | | — | | | | — | | | | — | |
Common Stocks | | | — | | | | 798,577 | | | | — | | | | — | | | | 219,943 | | | | 70,553 | |
Bank Loans | | | — | | | | 485,048 | | | | — | | | | — | | | | 388,418 | | | | — | |
Foreign Corporate Bonds | | | — | | | | 298,849 | | | | 530,111 | | | | 258,464 | | | | — | | | | 112,981 | |
Non-Agency Commercial Mortgage Backed Obligations | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,752,087 | |
Total Level 3 | | | 275,166,707 | | | | 5,474,651 | | | | 530,111 | | | | 25,813,925 | | | | 608,361 | | | | 16,928,795 | |
Total | | $ | 31,303,376,092 | | | $ | 8,041,283,767 | | | $ | 428,389,589 | | | $ | 5,559,270,582 | | | $ | 174,797,143 | | | $ | 3,844,003,121 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | DoubleLine
Total Return
Bond Fund | | | DoubleLine
Core Fixed
Income Fund | | | DoubleLine
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | | | DoubleLine
Shiller
Enhanced
CAPE® | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 153,451,427 | | | $ | 20,351,282 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total Level 1 | | | 153,451,427 | | | | 20,351,282 | | | | — | | | | — | | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | — | | | | — | | | | — | | | | — | | | | — | | | | 380,812,045 | |
Unfunded Loan Commitments | | | — | | | | 390 | | | | — | | | | — | | | | 284 | | | | — | |
Total Level 2 | | | — | | | | 390 | | | | — | | | | — | | | | 284 | | | | 380,812,045 | |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | 153,451,427 | | | $ | 20,351,672 | | | $ | — | | | $ | — | | | $ | 284 | | | $ | 380,812,045 | |
| | | | | | |
| Category | | 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 | | | DoubleLine
Infrastructure
Income Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Short Term Investments | | $ | 38,090,868 | | | $ | 329 | | | $ | 985,533 | | | $ | 3,541,362 | | | $ | 2,930,838 | | | $ | 12,217,879 | |
Warrants | | | 892 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 1 | | | 38,091,760 | | | | 329 | | | | 985,533 | | | | 3,541,362 | | | | 2,930,838 | | | | 12,217,879 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Collateralized Loan Obligations | | | 164,948,467 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 150,421,676 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Short Term Investments | | | 137,575,582 | | | | — | | | | — | | | | 144,694,914 | | | | 1,687,374 | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 80,655,402 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Bank Loans | | | 79,224,330 | | | | — | | | | — | | | | — | | | | — | | | | — | |
US Government and Agency Mortgage Backed Obligations | | | 75,840,061 | | | | — | | | | 45,942,139 | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | 44,378,175 | | | | 133,787,008 | | | | — | | | | — | | | | — | | | | 36,266,330 | |
Asset Backed Obligations | | | 36,252,779 | | | | — | | | | — | | | | — | | | | — | | | | 133,933,085 | |
US Corporate Bonds | | | 34,302,178 | | | | — | | | | — | | | | — | | | | — | | | | 164,552,070 | |
US Government and Agency Obligations | | | 9,802,344 | | | | — | | | | 10,963,629 | | | | — | | | | 55,206,433 | | | | 2,804,101 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 9,607,664 | | | | 28,608,701 | | | | — | | | | — | | | | 85,843,380 | | | | 6,609,446 | |
Escrow Notes | | | 1,502 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | 823,010,160 | | | | 162,395,709 | | | | 56,905,768 | | | | 144,694,914 | | | | 142,737,187 | | | | 344,165,032 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 6,886,565 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Collateralized Loan Obligations | | | 4,550,525 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | 4,098,145 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | 2,113,379 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Category | | 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 | | | DoubleLine
Infrastructure
Income Fund | |
Common Stocks | | $ | 188,616 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Bank Loans | | | 106,058 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | 77,112 | | | | 76,017 | | | | — | | | | — | | | | — | | | | 1,998,179 | |
Total Level 3 | | | 18,020,400 | | | | 76,017 | | | | — | | | | — | | | | — | | | | 1,998,179 | |
Total | | $ | 879,122,320 | | | $ | 162,472,055 | | | $ | 57,891,301 | | | $ | 148,236,276 | | | $ | 145,668,025 | | | $ | 358,381,090 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | 963,102 | | | $ | — | | | $ | — | | | $ | — | |
Total Level 1 | | | — | | | | — | | | | 963,102 | | | | — | | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | — | | | | — | | | | — | | | | (4,552,381 | ) | | | — | | | | — | |
Unfunded Loan Commitments | | | 100 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | 100 | | | | — | | | | — | | | | (4,552,381 | ) | | | — | | | | — | |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | $ | 100 | | | $ | — | | | $ | 963,102 | | | $ | (4,552,381 | ) | | $ | — | | | $ | — | |
| | | | | | |
| Category | | DoubleLine
Shiller
Enhanced
International
CAPE® | | | Doubleline
Emerging
Markets Local
Currency
Bond Fund | | | Doubleline
Income Fund | | | DoubleLine
Multi-Asset
Trend Fund
(Consolidated) | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Mutual Funds | | $ | 2,344,868 | | | $ | — | | | $ | — | | | $ | 9,887,338 | | | | | | | | | |
Short Term Investments | | | 1,418,436 | | | | 257,083 | | | | 9,018,671 | | | | 343,149 | | | | | | | | | |
Total Level 1 | | | 3,763,304 | | | | 257,083 | | | | 9,018,671 | | | | 10,230,487 | | | | | | | | | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
US Government and Agency Obligations | | | 11,864,823 | | | | — | | | | 1,762,344 | | | | 851,517 | | | | | | | | | |
Collateralized Loan Obligations | | | 8,718,300 | | | | — | | | | 10,864,798 | | | | — | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 6,116,518 | | | | — | | | | 12,008,555 | | | | — | | | | | | | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 5,534,474 | | | | — | | | | 7,450,659 | | | | — | | | | | | | | | |
US Corporate Bonds | | | 3,182,611 | | | | — | | | | — | | | | — | | | | | | | | | |
Foreign Corporate Bonds | | | 2,508,511 | | | | 2,793,463 | | | | — | | | | — | | | | | | | | | |
Asset Backed Obligations | | | 1,528,261 | | | | — | | | | 1,754,990 | | | | — | | | | | | | | | |
US Government and Agency Mortgage Backed Obligations | | | 1,456,824 | | | | — | | | | 3,375,621 | | | | — | | | | | | | | | |
Short Term Investments | | | 745,442 | | | | — | | | | — | | | | 1,393,799 | | | | | | | | | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 352,157 | | | | 9,805,861 | | | | — | | | | — | | | | | | | | | |
Total Level 2 | | | 42,007,921 | | | | 12,599,324 | | | | 37,216,967 | | | | 2,245,316 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Category | | DoubleLine
Shiller
Enhanced
International
CAPE® | | | Doubleline
Emerging
Markets Local
Currency
Bond Fund | | | Doubleline
Income Fund | | | DoubleLine
Multi-Asset
Trend Fund
(Consolidated) | | | | | | | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | — | | | $ | — | | | $ | 1,369,835 | | | $ | — | | | | | | | | | |
Total Level 3 | | | — | | | | — | | | | 1,369,835 | | | | — | | | | | | | | | |
Total | | $ | 45,771,225 | | | $ | 12,856,407 | | | $ | 47,605,473 | | | $ | 12,475,803 | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps | | | 1,789,804 | | | | — | | | | — | | | | (518,728 | ) | | | | | | | | |
Forward Currency Exchange Contracts | | | 1,061,551 | | | | — | | | | — | | | | — | | | | | | | | | |
Total Level 2 | | | 2,851,355 | | | | — | | | | — | | | | (518,728 | ) | | | | | | | | |
Level 3 | | | — | | | | — | | | | — | | | | — | | | | | | | | | |
Total | | $ | 2,851,355 | | | $ | — | | | $ | — | | | $ | (518,728 | ) | | | | | | | | |
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
March 31,
2023 | | | 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
December 31,
2023 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
December 31,
2023(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 7,119,685 | | | $ | 19,905 | | | $ | (62,566 | ) | | $ | 50,361 | | | $ | — | | | $ | (240,820 | ) | | $ | — | | | $ | — | | | $ | 6,886,565 | | | $ | (61,405 | ) |
Collateralized Loan Obligations | | | 1,520,905 | | | | — | | | | 142,401 | | | | 541 | | | | 17,577 | | | | — | | | | 2,869,101 | | | | — | | | | 4,550,525 | | | | 155,719 | |
Asset Backed Obligations | | | 8,405,530 | | | | (883,975 | ) | | | (3,303,157 | ) | | | — | | | | 503,992 | | | | (624,245 | ) | | | — | | | | — | | | | 4,098,145 | | | | (3,546,951 | ) |
Non-Agency Commercial Mortgage Backed Obligations | | | 983,389 | | | | 2,068 | | | | 66,025 | | | | 5,618 | | | | — | | | | (90,852 | ) | | | 1,147,131 | | | | — | | | | 2,113,379 | | | | 46,204 | |
Common Stocks | | | 290,300 | | | | (32,896 | ) | | | 79,678 | | | | — | | | | 36,045 | | | | (184,511 | ) | | | — | | | | — | | | | 188,616 | | | | (15,115 | ) |
Bank Loans | | | 107,055 | | | | 291 | | | | (3,898 | ) | | | 3,606 | | | | — | | | | (996 | ) | | | — | | | | — | | | | 106,058 | | | | (3,585 | ) |
Foreign Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | 77,112 | | | | — | | | | — | | | | — | | | | 77,112 | | | | — | |
Rights | | | 6,138 | | | | 6,966 | | | | (6,138 | ) | | | — | | | | — | | | | (6,966 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 18,433,002 | | | $ | (887,641 | ) | | $ | (3,087,655 | ) | | $ | 60,126 | | | $ | 634,726 | | | $ | (1,148,390 | ) | | $ | 4,093,344 | | | $ | — | | | $ | 18,020,400 | | | $ | (3,425,133 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
DoubleLine
Income Fund | | Fair Value
as of
March 31,
2023 | | | 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
December 31,
2023 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
December 31,
2023(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | 4,079,163 | | | $ | (2,167,955 | ) | | $ | 1,822,437 | | | $ | (251 | ) | | $ | 156,580 | | | $ | (2,520,139 | ) | | $ | — | | | $ | — | | | $ | 1,369,835 | | | $ | (497,680 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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, 2023 may be due to a security that was not held or categorized as Level 3 at either period end. |
| (d) | Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments. |
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| | | | | | | | | | | | | | |
DoubleLine Flexible Income
Fund | | Fair
Value as of
December 31,
2023 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 6,886,565 | | | Market Comparables | | Market Quotes | | | $91.74 ($91.74) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Collateralized Loan Obligations | | $ | 4,550,525 | | | Market Comparables | | Market Quotes | | | $22.92 - $90.18 ($84.54) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Asset Backed Obligations | | $ | 4,098,145 | | | Market Comparables | | Market Quotes | | | $9.32 - $86.29 ($58.55) | | | 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 | | $ | 2,113,379 | | | Market Comparables | | Market Quotes | | | $10.52 - $80.07 ($55.75) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Common Stocks | | $ | 188,616 | | | Market Comparables | | Market Quotes | | | $0.65 - $28.75 ($18.91) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Bank Loans | | $ | 106,058 | | | 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 |
Foreign Corporate Bonds | | $ | 77,112 | | | Market Comparables | | Market Quotes | | | $0.00 - $91.64 ($74.26) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| | | | | |
DoubleLine Income
Fund | | Fair
Value as of
December 31,
2023 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Asset Backed Obligations | | $ | 1,369,835 | | | Market Comparables | | Market Quotes | | | $13.75 - $4,800.90 ($1,636.13) | | | 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. |
