| DoubleLine Long Duration Total Return Bond Fund | | (Unaudited) |
| Schedule of Investments | | June 30, 2024 |
| | | |
PRINCIPAL AMOUNT
$/SHARES | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ |
| US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 65.0% |
| | Federal Home Loan Mortgage Corp. | | | |
| 1,397,356 | Series 4194-ZL | 3.00% | (a) | 04/15/2043 | 1,210,470 |
| 2,209,613 | Series 4206-LZ | 3.50% | (a) | 05/15/2043 | 1,942,079 |
| 2,999,996 | Series 4390-NZ | 3.00% | (a) | 09/15/2044 | 2,592,814 |
| 1,061,513 | Series 4460-KB | 3.50% | | 03/15/2045 | 943,967 |
| 567,565 | Series 4839-WO | 0.00% | (b) | 08/15/2056 | 357,106 |
| 2,000,000 | Series 4994-AV | 2.00% | | 12/25/2045 | 1,529,730 |
| 1,852,835 | Series 5105-GZ | 2.50% | (a) | 05/25/2051 | 1,123,501 |
| 1,292,984 | Series 5145-HZ | 3.00% | (a) | 09/25/2051 | 763,645 |
| 1,898,673 | Series 5155-JZ | 3.00% | (a) | 10/25/2051 | 1,116,563 |
| 1,729,345 | Series 5155-KZ | 3.00% | (a) | 10/25/2051 | 1,057,881 |
| 1,543,009 | Series 5160-ZY | 3.00% | (a) | 10/25/2050 | 1,067,730 |
| 1,853,794 | Series 5171-Z | 2.00% | (a) | 12/25/2051 | 957,713 |
| 1,346,515 | Series 5319-PO | 0.00% | (b) | 08/25/2050 | 925,908 |
| 352,494 | Series 5326-UO | 0.00% | (b) | 10/25/2050 | 235,685 |
| | Federal National Mortgage Association | | | |
| 1,000,000 | Pool AN7330 | 3.26% | | 12/01/2037 | 851,432 |
| 967,000 | Pool BS7220 | 5.23% | | 11/01/2032 | 991,981 |
| 287,000 | Pool BZ1178 | 5.81% | | 06/01/2031 | 292,706 |
| 1,284,136 | Series 2012-103-ZP | 3.00% | (a) | 09/25/2042 | 985,470 |
| 1,260,000 | Series 2012-128-UC | 2.50% | | 11/25/2042 | 923,600 |
| 646,007 | Series 2013-66-ZK | 3.00% | (a) | 07/25/2043 | 463,525 |
| 1,605,710 | Series 2013-74-ZH | 3.50% | | 07/25/2043 | 1,461,372 |
| 1,559,672 | Series 2014-42-BZ | 3.00% | (a) | 07/25/2044 | 1,328,836 |
| 376,141 | Series 2014-68-TD | 3.00% | | 11/25/2044 | 334,382 |
| 487,736 | Series 2014-80-KL | 2.00% | | 05/25/2043 | 319,261 |
| 735,136 | Series 2016-64-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) | 0.55% | (c)(d) | 09/25/2046 | 71,240 |
| 224,408 | Series 2018-21-PO | 0.00% | (b) | 04/25/2048 | 168,942 |
| 2,809,021 | Series 2019-68-ZL | 2.50% | (a) | 11/25/2049 | 2,073,385 |
| 1,604,000 | Series 2020-57-LJ | 2.00% | | 08/25/2050 | 1,124,379 |
| 1,765,080 | Series 2021-17-SB (-1 x 30 day avg SOFR US + 3.30%, 0.00% Floor, 3.30% Cap) | 0.00% | (c)(d) | 04/25/2051 | 28,614 |
| 1,795,205 | Series 2021-93-Z | 3.00% | (a) | 08/25/2051 | 1,155,494 |
| 3,178,000 | Series 2023-M1-2A2 | 4.05% | (e) | 07/25/2040 | 2,804,788 |
| | Government National Mortgage Association | | | |
| 216,653 | Series 2013-180-LO | 0.00% | (b) | 11/16/2043 | 164,165 |
| 3,833,079 | Series 2015-53-EZ | 2.00% | (a) | 04/16/2045 | 2,301,958 |
| 3,505,831 | Series 2015-79-VZ | 2.50% | (a) | 05/20/2045 | 2,907,994 |
| 347,742 | Series 2016-12-MZ | 3.00% | (a) | 01/20/2046 | 265,837 |
| 1,186,713 | Series 2017-122-CZ | 3.00% | (a) | 08/20/2047 | 899,277 |
| 1,576,125 | Series 2021-105-JS (-1 x 30 day avg SOFR US + 3.65%, 0.00% Floor, 3.65% Cap) | 0.00% | (c)(d) | 06/20/2051 | 43,889 |
| 1,367,321 | Series 2021-223-EZ | 3.00% | (a) | 12/20/2051 | 974,165 |
| 742,952 | Series 2021-42-SB (-1 x 1 mo. Term SOFR + 6.24%, 0.00% Floor, 6.35% Cap) | 0.90% | (c)(d) | 03/20/2051 | 98,696 |
| 1,620,402 | Series 2021-89-SA (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap) | 0.00% | (c)(d) | 05/20/2051 | 37,224 |
| 368,394 | Series 2022-160-DZ | 4.50% | (a) | 09/20/2052 | 289,711 |
| 1,779,998 | Series 2022-9-MZ | 3.50% | (a) | 01/20/2052 | 1,283,751 |
| 1,052,000 | Series 2022-99-QG | 3.50% | | 01/20/2052 | 878,841 |
| 856,727 | Series 2023-140-PO | 0.00% | (b) | 06/20/2048 | 541,092 |
| 1,292,000 | Series 2023-81-YJ | 3.50% | | 06/20/2053 | 1,093,593 |
| | Seasoned Credit Risk Transfer Trust | | | |
| 1,005,000 | Series 2021-2-MBU | 2.50% | | 11/25/2060 | 648,639 |
| | Total US Government and Agency Mortgage Backed Obligations (Cost $48,846,846) | | 43,633,031 |
PRINCIPAL AMOUNT
$/SHARES | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ |
| US GOVERNMENT AND AGENCY OBLIGATIONS - 18.2% |
| 750,000 | United States Treasury Note/Bond | 0.63% | | 03/31/2027 | | 674,766 |
| 1,200,000 | United States Treasury Note/Bond | 0.50% | | 06/30/2027 | | 1,066,453 |
| 5,550,000 | United States Treasury Note/Bond | 1.13% | | 05/15/2040 | | 3,417,369 |
| 1,050,000 | United States Treasury Note/Bond | 1.38% | | 11/15/2040 | | 662,936 |
| 300,000 | United States Treasury Note/Bond | 1.25% | | 05/15/2050 | | 148,746 |
| 6,050,000 | United States Treasury Note/Bond | 1.38% | | 08/15/2050 | | 3,097,198 |
| 3,050,000 | United States Treasury Note/Bond | 1.63% | | 11/15/2050 | | 1,670,411 |
| 2,550,000 | United States Treasury Note/Bond | 1.88% | | 02/15/2051 | | 1,489,658 |
| | Total US Government and Agency Obligations (Cost $12,173,395) | | | 12,227,537 |
| SHORT TERM INVESTMENTS - 15.6% |
| 533,928 | First American Government Obligations Fund - U | 5.26% | (f) | | | 533,928 |
| 533,928 | JPMorgan US Government Money Market Fund - IM | 5.26% | (f) | | | 533,928 |
| 533,928 | MSILF Government Portfolio - Institutional | 5.23% | (f) | | | 533,928 |
| 9,000,000 | United States Treasury Bill | 0.00% | | 10/01/2024 | | 8,880,285 |
| | Total Short Term Investments (Cost $10,481,674) | | | 10,482,069 |
| | Total Investments - 98.8% (Cost $71,501,915) | | 66,342,637 |
| | Other Assets in Excess of Liabilities - 1.2% | | | | 826,723 |
| | NET ASSETS - 100.0% | | | $ | 67,169,360 |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
| US Government and Agency Mortgage Backed Obligations | 65.0% |
| US Government and Agency Obligations | 18.2% |
| Short Term Investments | 15.6% |
| Other Assets and Liabilities | 1.2% |
| Net Assets | 100.0% |
| (a) | | This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end. |
| (b) | | Principal only security |
| (c) | | Interest only security |
| (d) | | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
| (e) | | Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end. |
| (f) | | Seven-day yield as of period end. |
| SOFR | Secured Overnight Financing Rate |
| Futures Contracts | | | |
| Description | Long/ Short | Contract Quantity | Expiration
Date | | Notional
Amount(1) | | Unrealized Appreciation (Depreciation)/ Value |
| U.S. Treasury Long Bonds | Long | 233 | 9/19/2024 | | $ | 27,566,813 | | $ | 210,342 |
| U.S. Treasury Ultra Bonds | Long | 147 | 9/19/2024 | | | 18,425,531 | | | 152,142 |
| U.S. Treasury 2 Year Notes | Long | 140 | 9/30/2024 | | | 28,590,625 | | | 14,909 |
| U.S. Treasury 5 Year Notes | Short | (80) | 9/30/2024 | | | (8,526,250) | | | (53,238) |
| 10 Year U.S. Ultra Treasury Notes | Short | (325) | 9/19/2024 | | | (36,897,656) | | | (315,517) |
| | | | | | | | | $ | 8,638 |
| (1) | | Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars. |
Notes to Schedule of Investments
June 30, 2024 (Unaudited)
1. 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 |
| 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 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 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 June 30, 2024:
| Category | DoubleLine Long Duration Total Return Bond Fund |
| Investments in Securities | | |
| Level 1 | | |
| Short Term Investments | $ | 1,601,784 |
| Total Level 1 | | 1,601,784 |
| Level 2 | | |
| US Government and Agency Mortgage Backed Obligations | | 43,633,031 |
| US Government and Agency Obligations | | 12,227,537 |
| Short Term Investments | | 8,880,285 |
| Total Level 2 | | 64,740,853 |
| Total | $ | 66,342,637 |
| Other Financial Instruments | | |
| Level 1 | | |
| Futures | $ | 8,638 |
| Total Level 1 | | 8,638 |
| Total | $ | 8,638 |
| |
| See the Schedule of Investments for further disaggregation of investment categories. |
