| DoubleLine Multi-Asset Trend Fund | | (Unaudited) |
| Schedule of Investments (Consolidated) | | June 30, 2024 |
PRINCIPAL AMOUNT
$/SHARES | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ |
| US GOVERNMENT AND AGENCY OBLIGATIONS - 6.2% |
| 140,000 | United States Treasury Note/Bond | 0.75% | (a)(b) | 11/15/2024 | 137,632 |
| 700,000 | United States Treasury Note/Bond | 0.75% | | 01/31/2028 | 614,716 |
| | Total US Government and Agency Obligations (Cost $755,428) | | 752,348 |
| AFFILIATED MUTUAL FUNDS - 82.1% |
| 215,135 | DoubleLine Floating Rate Fund - Class I | | | 1,940,515 |
| 176,467 | DoubleLine Income Fund - Class I | | | 1,385,267 |
| 689,286 | DoubleLine Low Duration Bond Fund - Class R6 | | | 6,603,355 |
| | Total Affiliated Mutual Funds (Cost $10,303,410) | | 9,929,137 |
| SHORT TERM INVESTMENTS - 9.2% |
| 372,215 | First American Government Obligations Fund - U | 5.26% | (a)(c) | | 372,215 |
| 372,215 | JPMorgan US Government Money Market Fund - IM | 5.26% | (a)(c) | | 372,215 |
| 372,215 | MSILF Government Portfolio - Institutional | 5.23% | (a)(c) | | 372,215 |
| | Total Short Term Investments (Cost $1,116,645) | | 1,116,645 |
| | Total Investments - 97.5% (Cost $12,175,483) | 11,798,130 |
| | Other Assets in Excess of Liabilities - 2.5% | | | 300,271 |
| | NET ASSETS - 100.0% | | | $ 12,098,401 |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
| Affiliated Mutual Funds | 82.1% |
| Short Term Investments | 9.2% |
| US Government and Agency Obligations | 6.2% |
| Other Assets and Liabilities | 2.5% |
| Net Assets | 100.0% |
| (a) | | All or a portion of this security is owned by DoubleLine Multi-Asset Trend Ltd., which is a wholly owned subsidiary of the DoubleLine Multi-Asset Trend Fund. |
| (b) | | All or a portion of security has been pledged as collateral. |
| (c) | | Seven-day yield as of period end. |
| Swap Agreements | | | | | | | | | | |
| Excess Return Swaps | | | | | | | | | | |
| Reference Entity | | Counterparty | Long/ Short | Financing Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) |
| BNP Paribas Multi-Asset Trend Index ER USD ex-Commodity Sub-Basket (1)(2)(3) | | BNP Paribas Securities Corp. | Long | 0.00% | Termination | 05/14/2025 | $9,382,572 | | $ | 126,078 | $ – | $ | 126,078 |
| BNP Paribas Multi-Asset Trend Index ER USD Commodity Sub-Basket (2)(3)(4)(5) | | BNP Paribas Securities Corp. | Long | 0.00% | Termination | 05/14/2025 | 3,117,426 | | | (279,949) | – | | (279,949) |
| | | | | | | | | | $ | (153,871) | $ – | $ | (153,871) |
| (1) | | The BNP Paribas Multi-Asset Trend Index aims to generate excess return by using a trend following strategy and to offer diversification in a multi-asset class universe. Ex-Commodity Sub-Basket Swap represents a swap on a basket of indices without commodities. Information on the sector constituents as of June 30, 2024, is available on the BNP Paribas website https://marketing-indx.bnpparibas.com/multi-asset-trend/. |
| (2) | | Entry fee incurs when the Fund puts on new swap exposure. It is a trading cost and incorporated in the cost of the swap. The entry fee is 0.05%. |
| (3) | | Exit fee incurs when the Fund terminates the swap exposure. It is incorporated into daily valuation of the swap. The exit fee is 0.05%. |
| (4) | | The BNP Paribas Multi-Asset Trend Index aims to generate excess return by using a trend following strategy and to offer diversification in a multi-asset class universe. Commodity Sub-Basket Swap represents a swap on a basket of commodity indices. Information on the sector constituents as of June 30, 2024, is available on the BNP Paribas website https://marketing-indx.bnpparibas.com/multi-asset-trend/. |
| (5) | | All or a portion of this security is owned by DoubleLine Multi-Asset Trend Ltd., which is a wholly-owned subsidiary of the DoubleLine Multi-Asset Trend Fund. |
A summary of the DoubleLine Multi-Asset Trend Fund’s investments in affiliated mutual funds for the period ended June 30, 2024 is as follows:
| Fund | | Value at March 31, 2024 | | | Gross Purchases | | | Gross Sales | | | Net Realized Gain (Loss) for the Period Ended June 30, 2024 | | | Change in Unrealized for the Period Ended June 30, 2024 | | | Value at June 30, 2024 | | | Shares Held at June 30, 2024 | | | Dividend Income Earned for the Period Ended June 30, 2024 | |
| DoubleLine Low Duration Bond Fund (Class R6) | | $ | 6,603,356 | | | $ | — | | | $ | — | | | $ | — | | | $ | (1 | ) | | $ | 6,603,355 | | | | 689,286 | | | $ | 85,373 | |
| DoubleLine Floating Rate Fund (Class I) | | | 1,944,818 | | | | — | | | | — | | | | — | | | | (4,303 | ) | | | 1,940,515 | | | | 215,135 | | | | 39,722 | |
| Doubleline Income Fund (Class I) | | | 1,376,443 | | | | — | | | | — | | | | — | | | | 8,824 | | | | 1,385,267 | | | | 176,467 | | | | 21,289 | |
| | | $ | 9,924,617 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,520 | | | $ | 9,929,137 | | | | 1,080,888 | | | $ | 146,384 | |
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
Multi-Asset Trend Fund (Consolidated) |
| Investments in Securities | | |
| Level 1 | | |
| Affiliated Mutual Funds | $ | 9,929,137 |
| Short Term Investments | | 1,116,645 |
| Total Level 1 | | 11,045,782 |
| Level 2 | | |
| US Government and Agency Obligations | | 752,348 |
| Total Level 2 | | 752,348 |
| Total | $ | 11,798,130 |
| Other Financial Instruments | | |
| Level 2 | | |
| Excess Return Swaps | $ | (153,871) |
| Total Level 2 | | (153,871) |
| Total | $ | (153,871) |
See the Schedule of Investments for further disaggregation of investment categories.
