DoubleLine Global Bond Fund - Class N (DLGBX) N-CSR Certified annual shareholder report (management investment company)

As filed with the Securities and Exchange Commission on June 7, 2012

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22378

DoubleLine Funds Trust

(Exact name of registrant as specified in charter)

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Address of principal executive offices) (Zip code)

Ronald R. Redell

President

DoubleLine Funds Trust

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Name and address of agent for service)

(213) 633-8200

Registrant’s telephone number, including area code

Date of fiscal year end: March 31

Date of reporting period: March 31, 2012

Item 1. Reports to Stockholders.

Annual Report

March 31, 2012

DoubleLine Total Return Bond Fund

DBLTX (I-share)

DLTNX (N-share)

DoubleLine Core Fixed Income Fund

DBLFX (I-share)

DLFNX (N-share)

DoubleLine Emerging Markets Fixed Income Fund

DBLEX (I-share)

DLENX (N-share)

DoubleLine Multi-Asset Growth Fund

DMLIX (I-share)

DMLAX (A-share)

DoubleLine Low Duration Bond Fund

DBLSX (I-share)

DLSNX (N-share)

DoubleLine Capital LP 333 S. Grand Avenue 18th Floor Los Angeles, California 90071   doubleline.com

Table of Contents

	Page
President’s Letter		4
Schedules of Investments		9
Statements of Assets and Liabilities		38
Statements of Operations		39
Statements of Changes in Net Assets		40
Financial Highlights		42
Notes to Financial Statements		47
Report of Independent Registered Public Accounting Firm		59
Shareholder Expenses		60
Growth of Investment		61
Evaluation of Advisory Agreement by the Board of Trustees		66
Federal Tax Information		68
Trustees and Officers		69
Information About Proxy Voting		70
Information About the Portfolio Holdings		70
Householding		70
Privacy Notice		71

Annual Report March 31, 2012 3

President’s Letter  

Dear DoubleLine Funds Shareholder:

On behalf of the team at DoubleLine, I am pleased to deliver this Annual Report. On the following pages, you will find specific information regarding each Fund’s operations and holdings. Investor assets in the DoubleLine Funds grew to $25 billion as of March 31, 2012. In this challenging economic and market environment, DoubleLine continues to strive to deliver superior risk-adjusted returns while working to avoid crossing the double line of risk on the road to successful investing.

Highlights of Financial Markets through our Annual reporting period

· Agency Mortgage-Backed Securities (Agency MBS): Lower-coupon pass-throughs were the best-performing portion of the MBS Index for the one year period ending March 31, 2012, with higher coupons underperforming. Longer-duration Agency Collateralized Mortgage Obligations (Agency CMOs) outperformed over shorter-duration CMOs as Government interest rates fell across the curve. These securities also benefitted from high income streams over the period.

· Non-Agency MBS: Overall non-Agency MBS prices were slightly down over the period with prime-backed securities being the best performing collateral. All fixed-rate non-Agency mortgage-backed securities continued to benefit from high income cash flows due to their discounted dollar prices.

· Treasuries: Government yields declined sharply over the period. A steady but gradual rally early in the period turned explosive in August and September on a combination of weaker-than-expected economic data, aggressive monetary accommodation by the Federal Reserve and intensified European sovereign debt concerns. The 10-year Treasury note moved from a yield above 3.50% at the start of the period to 3.00% in late July and then fell in dramatic fashion to an all-time low closing yield of 1.71% in late September. Treasury yields found a new equilibrium around 2.00% and traded in a narrow range through the remainder of the period. The 10-year yield moved as high as 2.40% in March as investors expressed their disappointment over a perceived Fed retreat from further monetary stimulus. The period ended with additional Fed action still a possibility and renewed anxiety over eurozone sovereign debt with Spain now the focus.

· Corporates: Both investment grade and high yield corporate bond markets experienced tremendous volatility during the second and third quarters of 2011, driven primarily by concerns regarding the European debt crisis, the U.S. debt ceiling debate and the subsequent loss of the vaunted AAA rating of US sovereign debt. The tone of the corporate market changed considerably, however, in the first quarter of 2012 as investors adopted a “yield grab” mentality with higher beta (lower-rated) sectors of each market generally outperforming. Investors became more cautious toward the end of the quarter, perhaps remembering that 2011 started out in much the same way and mindful of the fact that Europe’s issues embed ample potential for further dislocating shocks.

· Emerging Markets Debt: Government sovereign bonds outperformed among the EM subsectors. External sovereign bonds (sovereign bonds denominated in US Dollars), represented by the JP Morgan Emerging Markets Bond Index – Global Diversified (EMBI GD), returned 10.94% over the one year period, with comparable returns in the investment grade subindex of 11.15% and in the non-investment grade subindex of 10.60%. Positive returns were broad-based, with the best- and worst-performing regions within the index being Latin

4 DoubleLine Funds

America 15.50% and Europe 5.41%, respectively. Both external sovereign and corporate EM debt benefitted from a decline in the 10-year U.S. Treasury yield of 126 bps. EM corporates underperformed EM sovereign debt as the JP Morgan Corporate Emerging Markets Bond Index-Broad Diversified (CEMBI BD) spread widened by 81 bps over the period versus the EMBI GD, which saw its spread widen by 53 bps. Within the corporate EM space, the high grade credits within the CEMBI BD outperformed their high yield counterparts over the period by 6.78%. Government local currency bonds were the weakest performer: the JP Morgan Global Bond Index Emerging Markets Broad Diversified returned 3.34% over the period, with the bulk of the return coming from carry, offsetting currency depreciation across the index. The weakest-performing regions within the index were Europe and the Middle East with returns of -3.28% and -0.46% respectively.

· Commodities: As measured by the Standard & Poor’s Goldman Sachs Commodity Index Excess Return, the broad-based commodities market posted a 6.2% decline for the one year period. Positive returns in 14 of the 24 commodities in the index during the first quarter of 2012 helped reduce the trailing twelve-month loss. By far the worst performing commodity was natural gas as it continued to struggle with a material supply and demand imbalance brought on by an unseasonably warm winter.

Performance:

DoubleLine Total Return Bond Fund

For the year ended March 31, 2012, the DoubleLine Total Return Bond Fund “I” share has outperformed the Barclays’ Capital U.S. Aggregate Bond Index (“Barclays US Aggregate Index”) by 2.47% (10.18% versus 7.71%). This outperformance was due to both major sectors of the portfolio: the Agency MBS and the non-Agency MBS. The longer duration of the Agency MBS portion of the Fund drove the outperformance of that sector. The non-Agency MBS sector has continued to generate high income streams, which more than offset the slight price decline in that sector over the period.

Period Ended: 3-31-2012	1 year (Annualized)
I-Share		10.18%
N-Share		9.83%
Barclays US Aggregate Index		7.71%

DoubleLine Core Fixed Income Fund

The DoubleLine Core Fixed Income Fund “I” share outperformed the Barclays US Aggregate Index by 3.48% (11.19% versus 7.71%) for the one year period ending March 31, 2012. The Fund’s outperformance over the period was due to both the allocation across the various sectors of the fixed income market and security selection. The allocation to Emerging Markets drove a portion of the Fund’s outperformance along with the outperformance of both the MBS and Corporate sectors of the U.S. market.

Period Ended: 3-31-12	1 year (Annualized)
I-Share		11.19%
N-Share		10.85%
Barclays US Aggregate Index		7.71%

Annual Report March 31, 2012 5

President’s Letter  (Cont.)

DoubleLine Emerging Markets Fixed Income Fund

The DoubleLine Emerging Markets Fixed Income Fund “I” share underperformed the JP Morgan EMBI Global Diversified Index by 2.98% (7.96% versus 10.94%) for the one year period ending March 31, 2012. Despite positive performance by both EM corporate and sovereign/quasi sovereign debt for the year, driven by a more than 100 bps decline in the 10-year U.S. Treasury yield, the Fund’s underperformance was driven predominately by corporate debt spread widening of 81 bps versus sovereign and quasi-sovereign debt spread widening of 53 bps. In addition, the Fund’s performance was affected by weaker returns from its high yield corporate positions versus the benchmark’s high yield sovereign and quasi-sovereign positions.

Period Ended: 3-31-12	1 year (Annualized)
I-Share		7.96%
N-Share		7.71%
JP Morgan Emerging Markets Bond Global Diversified Index		10.94%

DoubleLine Multi-Asset Growth Fund

The DoubleLine Multi-Asset Growth Fund “I” share underperformed the Blended Benchmark (60% Barclays US Aggregate Index/25% Morgan Stanley Capital International All Country World Index/15% S&P Goldman Sachs Commodity Index Total Return) by 1.23% (2.67% versus 3.90%) for the one year period ending March 31, 2012. The underperformance was largely due to a large cash position held throughout the reporting period, and an underweight in global equities.

Period Ended: 3-31-12	1 year (Annualized)
I-Share		2.67%
A-Share
No Load		2.57%
With Load		-1.79%
Blended Benchmark*		3.90%

* Blended Benchmark: 60% Barclays US Aggregate Index/25% Morgan Stanley Capital International All Country World Index/15% S&P Goldman Sachs Commodity Index Total Return.

DoubleLine Low Duration Bond Fund

The DoubleLine Low Duration Bond Fund “I” share outperformed the BofA Merrill Lynch 1-3 Year US Treasury Index by 2.33% (2.44% versus 0.11%) for the six-month period ending March 31, 2012. The outperformance of the Fund was due to allocations across various fixed income sectors. Specifically, allocations to MBS, Commercial MBS, as well as Emerging Markets, none of which are represented in the BofA Merrill Lynch 1-3 Year US Treasury Index, drove the outperformance of the Fund.

6 DoubleLine Funds

Period Ended: 3-31-12	From 9-30-2011 (inception) to 3-31-12 (Annualized)
I-Share		2.44%
N-Share		2.25%
BofA ML 1-3 Year US Treasury Index		0.11%

On behalf of the team at DoubleLine, we thank you for your support of the Funds and the trust you have placed in us. If you have any questions please do not hesitate to call 877-DLINE11 (354-6311) or visit our website at www.doublelinefunds.com.

Sincerely,

Ronald R. Redell

President

May 1, 2012

Past Performance is not a guarantee of future results.

Opinions expressed herein are as of March 31, 2012 and are subject to change at any time, are not guaranteed and should not be considered investment advice.

The performance shown assumes the reinvestment of all dividends and distributions and does not reflect any reductions for taxes. Investment performance reflects fee waivers in effect. In the absence of such waivers, total return would be reduced.

Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security. Please refer to the Schedule of Investments for a complete list of fund holdings.

This report is for the information of shareholders of the Funds. It may also be used as sales literature when preceded or accompanied by the current prospectus.

Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investors should note, including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Investments in lower rated and certain non-rated securities present a greater risk of loss to principal and interest than higher rated securities. The Emerging Markets Fixed Income Fund and the Multi-Asset Growth Fund are non-diversified meaning each may concentrate its assets in fewer individual holdings than a diversified fund. Therefore, these Funds may be more susceptible to any single economic, political or regulatory event than a more diversified fund, and a decline in the market value of one of the Fund’s investments may affect that Fund’s value more than if the Fund were a diversified fund. The Core Fixed Income Fund, Emerging Markets Fixed Income Fund and Multi-Asset Growth Fund may invest in foreign securities, which involve political, economic, and currency risks, greater volatility, and differences in accounting methods. These risks are greater for investments in emerging markets. The Funds may invest in securities related to real estate, which may decline in value as a result of factors affecting the real estate industry. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. The Funds’ investments in derivatives potentially could lose more than the amount invested. Commodity-linked derivative instruments may involve additional costs and risks such as changes in commodity index volatility or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. Equities may decline in value due to both real and perceived general market, economic, and industry conditions. For more details regarding the risks of the Funds, please consult the current prospectus.

Annual Report March 31, 2012 7

President’s Letter  (Cont.)

JP Morgan Emerging Markets Bond (EMBI) Global Diversified Index—This index is an uniquely-weighted version of the EMBI Global. It limits the weights of those index countries with larger debt supplies by only including specified portions of these countries’ eligible current face amounts of debt outstanding. The countries covered in the EMBI Global Diversified are identical to those covered by EMBI Global.

Morgan Stanley Capital International All Country World Index—This index is designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI All Country World Index Ex-U.S. includes both developed and emerging markets.

Standard & Poor’s Goldman Sachs Commodity Index (GSCI) Excess Return—This Index measures the returns accrued from investing in uncollateralized nearby commodity futures.

JP Morgan Corporate Emerging Markets Bond Index—Broad Diversified (CEMBI GD)—This index is a market capitalization weighted index consisting of US-denominated Emerging Market corporate bonds. It is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa.

JP Morgan Emerging Markets Bond Index—Global Diversified (EMBI GD)—This index tracks total returns for US dollar denominated debt instruments issued by emerging market sovereign entities, including Brady bonds, loans and Eurobonds, and quasi-sovereign entities.

Barclays Capital US Aggregate Bond Index—This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis.

Standard & Poor’s Goldman Sachs Commodity Index (GSCI) Total Return—This is a composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures. This index’s components qualify for inclusion in the index based on liquidity measures and are weighted in relation to their global production levels, making the index a valuable economic indicator and commodities market benchmark.

BofA Merrill Lynch 1-3 Year US Treasury Index—This Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.

JP Morgan Global Bond Index Emerging Markets—JP Morgan Global Bond Index Emerging Markets (GBI-EM) Broad Diversified—The GBI-EM is a benchmark that tracks local currency bonds issued by emerging markets governments. The GBI-EM Broad Diversified is the all-encompassing index containing all eligible countries with eligible instruments.

A direct investment cannot be made in an index. The performance of any index mentioned in this commentary has not been adjusted for ongoing management, distribution and operating expenses applicable to mutual fund investments.

A basis point (bps) equals 0.01%.

Duration is a commonly used measure of the potential volatility of the price of a debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.

Correlation is a statistical measure of how two securities move in relation to each other.

Beta is a measure of the historical price volatility of a security, portfolio or other asset and the asset’s correlation relative to a given market or market index. A higher beta security or portfolio generally has more volatility than the market as a whole. A lower beta security or portfolio generally has less volatility than the market as a whole.

The DoubleLine Funds are distributed by Quasar Distributors, LLC.

DoubleLine^® is a registered trademark of DoubleLine Capital LP.

This commentary may include statements that constitute “forward-looking statements” under the U.S. securities laws. Forward-looking statements include, among other things, projections, estimates, and information about possible or future results related to a Fund and market or regulatory developments. The views expressed above are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein.

DoubleLine has no obligation to provide revised assessments in the event of changed circumstances. While we have gathered this information from sources believed to be reliable, DoubleLine cannot guarantee the accuracy of the information provided. Securities or sectors discussed are not recommendations and are presented as examples of issue selection or portfolio management processes. They have been picked for comparison or illustration purposes only. No security or sector mentioned within this material is either offered for sale or purchase. DoubleLine reserves the right to change its investment perspective and outlook without notice as market conditions dictate or as additional information becomes available.

Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors. The views and forecasts expressed in this material are as of the date indicated, are subject to change without notice, may not come to pass and do not represent a recommendation or offer of any particular security, strategy, or investment. Past performance is no guarantee of future results.

8 DoubleLine Funds

Schedule of Investments  DoubleLine Total Return Bond Fund March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	COLLATERALIZED LOAN OBLIGATIONS 0.1%
		Atrium Corporation,
$	3,104,125	Series 3A-A1		0.82%	#^		10/27/2016		3,057,563
		Avenue Ltd.,
	9,668,357	Series 2004-1A-A1L		0.85%	#^		02/15/2017		9,560,071
		Black Diamond Ltd.,
	2,008,833	Series 2005-1A-A1		0.74%	#^		06/20/2017		1,943,546
		Galaxy Ltd.,
	6,833,432	Series 2005-5A-A1		0.82%	#^		10/20/2017		6,696,763
		Gulf Stream Compass Ltd.,
	663,229	Series 2002-1A-A		1.05%	#^		12/19/2014		658,255
		Marathon Financing B.V.,
	206,662	Series 2006-1A-A1		0.75%	#^		10/05/2026		200,690
		Sargas II Ltd.,
	5,999,718	Series 2006-1A-D		1.81%	#^		10/20/2018		5,924,721
	2,142,756	Series 2006-1X-D		1.81%	#		10/20/2018		2,115,972
		Total Collateralized Loan Obligations (Cost $30,152,806)							30,157,581
	NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS 37.4%
		ACE Securities Corporation,
	43,345,728	Series 2006-HE1-A2C		0.43%	#		02/25/2036		39,899,548
		Adjustable Rate Mortgage Trust,
	6,200,000	Series 2005-2-6M2		1.22%	#		06/25/2035		2,667,420
	9,685,729	Series 2005-7-3A1		5.12%	#		10/25/2035		7,345,429
	49,855,496	Series 2006-1-2A1		3.23%	#		03/25/2036		29,343,774
	45,037,130	Series 2007-1-3A1		5.66%	#		03/25/2037		28,976,417
	6,980,848	Series 2007-3-1A1		3.56%	#^		11/25/2037		3,549,070
		Aegis Asset Backed Securities Trust,
	663,255	Series 2003-2-M2		2.79%	#		11/25/2033		456,561
	6,291,428	Series 2004-1-M2		2.27%	#		04/25/2034		4,247,724
	935,144	Series 2004-2-M2		1.54%	#		06/25/2034		448,131
		American General Mortgage Loan Trust,
	12,000,000	Series 2010-1-A3		5.65%	#^		03/25/2058		12,643,656
	12,000,000	Series 2010-1-A4		5.65%	#^		03/25/2058		12,416,064
		American Home Mortgage Investment Trust,
	7,875,251	Series 2005-1-7A2		2.74%	#		06/25/2045		5,482,065
	15,164,258	Series 2005-4-3A1		0.54%	#		11/25/2045		9,344,686
	3,073,793	Series 2006-2-3A4		6.60%	#		06/25/2036		1,625,203
	14,306,054	Series 2007-A-13A1		6.10%	#^		01/25/2037		8,338,591
		Amortizing Residential Collateral Trust,
	20,063,163	Series 2002-BC7-M1		1.44%	#		10/25/2032		12,420,462
		Argent Securities, Inc.,
	707,783	Series 2004-W6-M1		0.79%	#		05/25/2034		531,128
		Asset Backed Securities Corporation Home Equity Loan Trust,
	8,249,312	Series 2003-HE6-M1		1.22%	#		11/25/2033		6,293,643
	1,795,165	Series 2004-HE3-M2		1.92%	#		06/25/2034		1,231,973
		Asset Securitization Corporation,
	1,941,045	Series 1997-D5-A2		7.15%	#		02/14/2043		1,959,157
		Banc of America Alternative Loan Trust,
	10,088,435	Series 2005-10-4A1		5.75%			11/25/2035		8,773,554
	8,177,100	Series 2005-5-2CB1		6.00%			06/25/2035		6,548,381
	14,450,914	Series 2005-6-2CB2		6.00%			07/25/2035		13,043,540
	5,757,026	Series 2005-6-4CB1		6.50%			07/25/2035		4,770,747
	5,551,791	Series 2005-8-2CB1		6.00%			09/25/2035		4,538,875
	4,526,961	Series 2006-5-CB14		6.00%	#		06/25/2046		3,172,977
	8,019,598	Series 2006-6-CB3		6.00%			06/25/2046		6,226,572
	24,250,000	Series 2006-7-A4		6.00%	#		10/25/2036		16,139,139
	13,232,498	Series 2006-8-1A1		6.26%	#I/F I/O		11/25/2036		2,332,548
	4,570,516	Series 2006-8-1A2		0.69%	#		11/25/2036		2,542,322
	20,595,119	Series 2006-9-1CB1		6.00%			01/25/2037		13,762,122
	3,445,984	Series 2007-2-2A1		6.00%			06/25/2037		1,950,906
		Banc of America Commercial Mortgage, Inc.,
	5,303,000	Series 2002-2-G		5.85%	^		07/11/2043		5,370,974
	236,917,192	Series 2005-4-XP		0.35%	# I/O		07/10/2045		306,097
	255,498,198	Series 2006-1-XP		0.35%	# I/O		09/10/2045		493,623

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Banc of America Commercial Mortgage, Inc., (Cont.)
$	108,440,121	Series 2006-4-XP		0.61%	# I/O		07/10/2046		658,448
	334,442,425	Series 2007-5-XW		0.58%	#^ I/O		02/10/2051		5,112,621
		Banc of America Funding Corporation,
	367,764	Series 2005-6-2A9		5.50%			10/25/2035		370,232
	24,918,339	Series 2006-2-3A1		6.00%			03/25/2036		23,534,736
	925,380	Series 2006-2-4A1		22.07%	#I/F		03/25/2036		1,129,655
	4,091,469	Series 2006-2-6A2		5.50%			03/25/2036		4,056,188
	8,053,938	Series 2006-3-6A1		6.32%	#		03/25/2036		8,240,084
	5,026,806	Series 2006-7-T2A5		6.04%	#		10/25/2036		3,058,580
	5,147,681	Series 2006-7-T2A8		5.91%	#		10/25/2036		3,109,068
	4,743,186	Series 2006-8T2-A8		6.10%	#		10/25/2036		3,241,555
	2,660,797	Series 2006-B-7A1		5.59%	#		03/20/2036		2,128,841
	25,119,237	Series 2006-D-6A1		5.27%	#		05/20/2036		16,087,779
	2,684,166	Series 2006-G-2A1		0.46%	#		07/20/2036		2,149,154
	1,404,948	Series 2006-H-3A1		5.98%	#		09/20/2046		1,010,384
	3,180,485	Series 2007-1-TA10		5.84%	#		01/25/2037		1,983,877
	4,436,723	Series 2007-3-TA1B		5.83%	#		04/25/2037		3,161,700
	6,017,729	Series 2007-5-1A1		5.50%			07/25/2037		4,280,675
	6,657,890	Series 2009-R14-3A		16.00%	#^ I/F		06/26/2035		7,426,541
	6,107,936	Series 2009-R15A-4A2		5.75%	^		12/26/2036		3,703,901
	4,849,231	Series 2010-R1-3A		13.91%	#^ I/F		07/26/2036		4,201,859
		Banc of America Mortgage Securities, Inc.,
	5,182,677	Series 2004-K-4A1		5.25%	#		12/25/2034		4,825,894
	18,693,438	Series 2006-1-A9		6.00%			05/25/2036		15,491,402
	6,458,077	Series 2007-1-2A5		5.75%			01/25/2037		6,321,847
		BCAP LLC Trust,
	8,539,798	Series 2007-AA2-2A7		6.00%			04/25/2037		6,003,162
	9,245,501	Series 2007-AA2-2A8		5.75%			04/25/2037		6,381,503
	18,000,000	Series 2008-RR3-A1B		6.62%	#		10/25/2036		13,700,817
	7,486,436	Series 2010-RR10-5A1		7.78%	#^		04/27/2037		6,101,445
	13,735,685	Series 2010-RR12-3A15		7.39%	#^		08/26/2037		12,876,813
	3,350,000	Series 2010-RR5-2A3		6.10%	#^		04/26/2037		3,063,240
		BCRR Trust,
	10,500,000	Series 2010-LEAF-32A		4.23%	^		12/22/2032		10,458,903
		Bear Stearns Adjustable Rate Mortgage Trust,
	23,586,515	Series 2006-4-4A1		5.65%	#		10/25/2046		18,416,268
		Bear Stearns Alt-A Trust,
	7,055,875	Series 2004-11-2A3		2.74%	#		11/25/2034		5,788,615
	31,024,482	Series 2006-6-2A1		4.99%	#		11/25/2036		18,791,917
		Bear Stearns Asset Backed Securities Trust,
	19,075,927	Series 2004-AC4-A2		5.50%	#		08/25/2034		19,535,562
	48,179,469	Series 2005-AC2-1A		5.25%	#		04/25/2035		44,894,641
	15,508,228	Series 2005-AC2-2A1		5.25%	#		04/25/2035		14,400,219
	24,363,485	Series 2006-AC1-1A1		5.75%	#		02/25/2036		16,320,611
	3,435,926	Series 2007-SD1-1A2A		6.00%			10/25/2036		2,465,258
	1,866,649	Series 2007-SD1-1A3A		6.50%			10/25/2036		1,239,133
	10,649,887	Series 2007-SD1-23A1		5.53%	#		10/25/2036		7,528,847
		Bear Stearns Commercial Mortgage Securities, Inc.,
	2,041,141	Series 2001-TOP2-C		6.83%	#		02/15/2035		2,049,344
	4,047,311	Series 2002-TOP8-A2		4.83%			08/15/2038		4,086,325
	10,000,000	Series 2004-BA5A-G		0.94%	#^		09/15/2019		9,982,580
	11,000,000	Series 2004-BA5A-H		1.19%	#^		09/15/2019		10,973,545
	19,175,000	Series 2004-PWR3-A4		4.72%			02/11/2041		20,160,461
	10,370,000	Series 2004-PWR4-A3		5.47%	#		06/11/2041		11,143,898
	38,525,969	Series 2004-PWR5-X2		1.05%	# I/O		07/11/2042		181,727
	101,324,329	Series 2004-PWR6-X2		0.85%	# I/O		11/11/2041		507,128
	16,500,000	Series 2004-T14-A4		5.20%	#		01/12/2041		17,551,710
	92,744,349	Series 2004-T16-X2		0.95%	# I/O		02/13/2046		452,129
	19,890,951	Series 2005-PWR7-X2		0.39%	# I/O		02/11/2041		50,304
	10,000,000	Series 2007-PW17-AM		5.92%	#		06/11/2050		10,511,125
	12,815,000	Series 2007-PW17-AMFL		0.93%	#^		06/11/2050		10,832,026
	14,958,018	Series 2007-T28-A2		5.59%			09/11/2042		15,121,464
		Capital Trust,
	20,553,184	Series 2005-3A-A2		5.16%	^		06/25/2035		20,681,641
		CD Commercial Mortgage Trust,
	4,258,175	Series 2005-CD1-A2FL		0.36%	#		07/15/2044		4,246,680
	6,931,054	Series 2006-CD2-AAB		5.54%	#		01/15/2046		7,134,349
	5,149,993	Series 2007-CD4-ASB		5.28%			12/11/2049		5,367,266
	560,758,638	Series 2007-CD5-XP		0.32%	#^ I/O		11/15/2044		2,830,710

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 9

Schedule of Investments  DoubleLine Total Return Bond Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Centex Home Equity,
$	2,750,000	Series 2004-A-AF5		5.43%	#		01/25/2034		2,717,363
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	4,088,871	Series 2003-4-2M1		1.14%	#		03/25/2033		2,378,093
		Chase Mortgage Finance Corporation,
	22,000,000	Series 2005-A1-2A4		2.80%	#		12/25/2035		17,875,330
	27,787,960	Series 2007-A2-6A4		4.02%	#		07/25/2037		24,310,519
	10,000,000	Series 2007-S3-1A5		6.00%			05/25/2037		8,279,445
	4,971,177	Series 2007-S3-2A1		5.50%			05/25/2037		4,893,379
	12,316,072	Series 2007-S5-1A18		6.00%			07/25/2037		10,315,277
		Chaseflex Trust,
	1,928,562	Series 2006-1-A2A		5.94%	#		06/25/2036		1,885,716
	8,378,327	Series 2006-1-A5		6.16%	#		06/25/2036		7,844,820
	13,331,898	Series 2006-2-A2B		0.44%	#		09/25/2036		8,641,790
	10,682,448	Series 2007-1-1A1		6.50%			02/25/2037		6,541,071
	22,354,549	Series 2007-M1-2F4		6.35%	#		08/25/2037		15,408,756
		Citi Mortgage Alternative Loan Trust,
	13,140,552	Series 2006-A2-A2		6.00%			05/25/2036		8,324,671
	8,968,323	Series 2006-A5-3A3		6.00%			10/25/2036		6,678,652
	13,710,486	Series 2007-A1-1A5		6.00%			01/25/2037		8,888,940
	6,684,769	Series 2007-A1-1A7		6.00%			01/25/2037		4,333,947
	17,103,840	Series 2007-A1-1A9		5.16%	#I/F I/O		01/25/2037		2,933,290
	15,375,039	Series 2007-A3-1A1		6.00%	#		03/25/2037		10,865,271
	35,382,889	Series 2007-A3-1A3		5.16%	#I/F I/O		03/25/2037		5,996,324
	13,865,796	Series 2007-A3-1A4		5.75%			03/25/2037		9,630,814
	3,623,904	Series 2007-A5-1A11		6.00%			05/25/2037		2,550,690
	1,909,884	Series 2007-A8-A1		6.00%			10/25/2037		1,401,683
		Citicorp Mortgage Securities, Inc.,
	31,719,661	Series 2005-1-1A4		5.50%			02/25/2035		32,226,780
	6,903,552	Series 2006-7-1A1		6.00%			12/25/2036		6,129,516
		Citicorp Residential Mortgage Securities, Inc.,
	6,594,000	Series 2006-2-A5		6.04%	#		09/25/2036		5,550,829
		Citigroup Commercial Mortgage Trust,
	8,409,649	Series 2006-C4-ASB		5.92%	#		03/15/2049		8,949,409
	5,220,575	Series 2006-C5-AMP3		5.68%	#^		10/15/2049		4,903,898
	7,000,000	Series 2009-RR1-CA4B		5.32%	# ^		12/17/2049		7,004,407
		Citigroup Mortgage Loan Trust, Inc.,
	6,263,092	Series 2005-5-2A2		5.75%			08/25/2035		4,471,732
	2,876,026	Series 2005-9-21A1		5.50%			11/25/2035		2,294,614
	7,506,436	Series 2006-FX1-A6		5.85%	#		10/25/2036		4,987,231
	3,825,000	Series 2006-WF1-A2D		5.92%	#		03/25/2036		2,202,850
	21,282,978	Series 2006-WF2-A2D		6.16%	#		05/25/2036		12,092,616
	2,132,869	Series 2007-12-2A1		6.50%	^		10/25/2036		1,434,489
	2,222,541	Series 2007-2-2A		6.00%			11/25/2036		2,138,424
	2,747,739	Series 2007-9-2A2		6.50%	^		05/25/2037		1,417,833
	9,179,907	Series 2007-OPX1-A3A		5.97%	#		01/25/2037		4,750,409
	103,383,695	Series 2007-WFH3-A2		0.40%	#		06/25/2037		76,236,739
	20,000,000	Series 2008-AR4-1A1B		3.04%	# ^		11/25/2038		11,188,950
	4,562,003	Series 2010-12-3A1		4.00%	^		04/25/2037		4,662,824
	4,152,827	Series 2010-2-5A1		5.50%	# ^		12/25/2035		4,287,409
	205,000,000	Series 2010-8-5A4		11.27%	# ^		11/25/2036		146,574,999
	35,636,905	Series 2010-8-5A6		4.00%	^		11/25/2036		36,671,783
	171,000,000	Series 2010-8-6A4		9.57%	# ^		12/25/2036		113,928,749
	161,494,456	Series 2010-8-76I2		1.00%	^ I/O		06/25/2037		3,718,426
	151,506,267	Series 2010-8-7A4		9.26%	# ^		06/25/2037		107,281,587
	10,058,213	Series 2011-12-1A1		3.50%	# ^		04/25/2036		10,132,710
	13,654,060	Series 2011-12-3A1		5.59%	^		09/25/2047		13,791,304
		Commercial Mortgage Acceptance Corporation,
	20,183,738	Series 1998-C2-F		5.44%	# ^		09/15/2030		20,971,045
		Commercial Mortgage Pass-Through Certificates,
	97,520,000	Series 2002-LC4-XA		2.72%	# ^ I/O		12/10/2044		15,512,506
	308,623,006	Series 2005-LP5-XC		0.23	# ^ I/O		05/10/2043		2,979,755
	2,500,000	Series 2006-CN2A-A2FX		5.45%	^		02/05/2019		2,432,413
	1,346,220	Series 2007-C9-A2		5.81%	#		12/10/2049		1,353,231
		Countrywide Alternative Loan Trust,
	58,680,472	Series 2004-36CB-1A1		6.00%			02/25/2035		49,495,599
	14,513,108	Series 2005-20CB-2A1		0.74%	#		07/25/2035		10,052,766
	29,630,929	Series 2005-20CB-2A2		4.76%	# I/F I/O		07/25/2035		3,753,699

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Countrywide Alternative Loan Trust, (Cont.)
$	4,730,907	Series 2005-20CB-4A1		5.25%			07/25/2020		4,575,270
	10,687,216	Series 2005-26CB-A11		12.61%	# I/F		07/25/2035		10,837,614
	15,131,043	Series 2005-28CB-1A2		0.99%	#		08/25/2035		10,411,875
	3,670,488	Series 2005-28CB-3A6		6.00%			08/25/2035		2,570,791
	1,935,854	Series 2005-60T1-A7		34.16%	# I/F		12/25/2035		3,073,819
	2,789,314	Series 2005-64CB-1A14		5.50%			12/25/2035		1,976,236
	40,483,404	Series 2005-64CB-1A4		5.50%			12/25/2035		28,682,593
	7,154,321	Series 2005-73CB-1A5		1.04%	#		01/25/2036		4,626,016
	17,998,791	Series 2005-73CB-1A6		4.46%	# I/F I/O		01/25/2036		2,305,998
	3,895,399	Series 2005-79CB-A5		5.50%			01/25/2036		2,426,637
	8,323,262	Series 2005-85CB-2A6		20.75%	# I/F		02/25/2036		10,519,595
	5,188,809	Series 2005-86CB-A5		5.50%			02/25/2036		3,610,137
	11,113,981	Series 2005-J10-1A11		5.50%			10/25/2035		8,975,006
	2,739,158	Series 2005-J10-1A13		0.94%	#		10/25/2035		1,752,909
	1,582,908	Series 2005-J10-1A15		5.50%			10/25/2035		1,452,876
	4,128,144	Series 2005-J11-1A3		5.50%			11/25/2035		3,885,087
	3,356,243	Series 2005-J11-6A1		6.50%			09/25/2032		2,931,126
	4,874,521	Series 2005-J13-2A5		0.72%	#		11/25/2035		3,542,648
	9,749,041	Series 2005-J13-2A6		4.78%	# I/F I/O		11/25/2035		1,306,048
	7,479,655	Series 2005-J1-7A1		5.50%			01/25/2020		6,876,013
	4,241,440	Series 2005-J2-1A5		0.74%	#		04/25/2035		3,093,687
	13,050,584	Series 2005-J2-1A6		4.76%	# I/F I/O		04/25/2035		1,955,663
	10,583,420	Series 2006-12CB-A3		5.75%	#		05/25/2036		6,226,707
	4,962,102	Series 2006-15CB-A1		6.50%			06/25/2036		3,000,266
	3,991,963	Series 2006-18CB-A12		0.84%	#		07/25/2036		1,928,078
	3,991,963	Series 2006-18CB-A13		5.26%	# I/F I/O		07/25/2036		688,874
	3,882,154	Series 2006-19CB-A15		6.00%			08/25/2036		2,931,368
	6,261,151	Series 2006-24CB-A11		5.75%			06/25/2036		4,061,399
	17,485,393	Series 2006-24CB-A14		6.91%	# I/F I/O		06/25/2036		4,164,064
	14,694,760	Series 2006-24CB-A22		6.00%			06/25/2036		9,695,860
	15,771,892	Series 2006-24CB-A5		0.84%	#		06/25/2036		7,917,238
	5,940,989	Series 2006-26CB-A17		6.25%			09/25/2036		3,473,741
	7,568,927	Series 2006-26CB-A9		6.50%			09/25/2036		4,728,089
	16,032,052	Series 2006-29T1-1A2		6.25%			10/25/2036		10,417,699
	2,037,886	Series 2006-29T1-2A12		44.58%	# I/F		10/25/2036		3,447,840
	1,248,248	Series 2006-29T1-2A23		32.32%	# I/F		10/25/2036		1,823,076
	14,448,718	Series 2006-30T1-1A2		6.25%			11/25/2036		11,377,015
	9,173,134	Series 2006-32CB-A1		0.91%	#		11/25/2036		4,485,667
	15,300,788	Series 2006-32CB-A2		5.09%	# I/F I/O		11/25/2036		2,487,983
	5,965,532	Series 2006-36T2-2A1		6.25%			12/25/2036		3,960,347
	5,369,999	Series 2006-39CB-1A10		6.00%			01/25/2037		3,614,799
	26,634,649	Series 2006-39CB-2A2		6.31%	# I/F I/O		01/25/2037		5,672,664
	9,070,355	Series 2006-39CB-2A4		0.69%	#		01/25/2037		1,635,598
	9,298,768	Series 2006-40T1-1A11		6.00%			01/25/2037		6,702,733
	14,313,600	Series 2006-40T1-1A4		5.21%	# I/F I/O		01/25/2037		2,254,943
	10,387,906	Series 2006-45T1-1A4		0.84%	#		02/25/2037		5,233,126
	10,387,906	Series 2006-45T1-1A5		5.16%	# I/F I/O		02/25/2037		1,742,817
	4,584,948	Series 2006-6CB-1A4		5.50%			05/25/2036		3,338,548
	28,569,319	Series 2006-J1-1A3		5.50%			02/25/2036		20,165,768
	4,360,828	Series 2006-J4-2A2		6.00%			07/25/2036		2,836,516
	2,721,498	Series 2007-11T1-A24		38.45%	# I/F		05/25/2037		4,550,762
	28,645,213	Series 2007-16CB-2A1		0.69%	#		08/25/2037		12,487,365
	8,294,938	Series 2007-16CB-2A2		52.57%	# I/F		08/25/2037		18,254,477
	27,398,250	Series 2007-17CB-1A10		28.79%	# I/F		08/25/2037		43,722,382
	4,518,742	Series 2007-18CB-2A25		6.00%			08/25/2037		3,263,243
	2,506,543	Series 2007-19-1A10		37.55%	# I/F		08/25/2037		3,740,853
	61,595,163	Series 2007-19-2A1		6.50%			08/25/2037		34,250,021
	13,231,634	Series 2007-21CB-2A2		27.43%	# I/F		09/25/2037		17,199,097
	49,563,590	Series 2007-22-2A16		6.50%			09/25/2037		34,661,801
	23,095,188	Series 2007-4CB-2A1		7.00%			03/25/2037		8,535,959
	16,617,788	Series 2007-5CB-1A18		5.41%	# I/FI/O		04/25/2037		3,040,946
	16,617,789	Series 2007-5CB-1A23		0.79%	#		04/25/2037		7,859,583
	1,162,015	Series 2007-8CB-A12		38.75%	# I/F		05/25/2037		1,876,257
	1,240,433	Series 2007-8CB-A8		38.63%	# I/F		05/25/2037		1,989,929
	1,714,928	Series 2007-9T1-1A4		0.74%	#		05/25/2037		786,336
	1,714,928	Series 2007-9T1-1A5		5.26%	# I/F I/O		05/25/2037		258,800
	46,974,224	Series 2007-9T1-1A6		6.00%			05/25/2037		30,507,903
	4,845,915	Series 2007-9T1-2A1		6.00%			05/25/2037		3,194,406
	5,684,239	Series 2007-9T1-3A1		5.50%			05/25/2022		5,050,531
	27,432,533	Series 2007-HY5R-2A1A		5.54%	#		03/25/2047		26,498,771
		Countrywide Asset-Backed Certificates,
	6,970,439	Series 2003-BC6-M1		1.07%	#		11/25/2033		6,135,864
	3,673,360	Series 2005-13-AF3		5.43%	#		04/25/2036		2,759,846
	3,153,692	Series 2006-2-2A2		0.43%	#		06/25/2036		2,698,864

10 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Countrywide Home Loans,
$	9,301,476	Series 2002-32-2A6		5.00%			01/25/2018		9,575,075
	12,708,642	Series 2005-20-A8		5.25%			10/25/2035		10,858,708
	44,812,669	Series 2005-23-A1		5.50%			11/25/2035		40,486,925
	3,722,972	Series 2005-27-2A1		5.50%			12/25/2035		3,317,275
	6,887,824	Series 2005-28-A7		5.25%			01/25/2019		5,999,453
	59,587,093	Series 2005-HYB1-4A1		2.84%	#		03/25/2035		43,249,325
	5,617,646	Series 2005-HYB8-1A1		2.68%	#		12/20/2035		3,950,363
	14,070,932	Series 2005-J3-2A4		4.50%			09/25/2035		11,871,505
	9,700,000	Series 2005-J4-A5		5.50%			11/25/2035		8,705,823
	3,250,670	Series 2005-R1-1AF1		0.60%	#^		03/25/2035		2,558,503
	3,291,150	Series 2005-R1-1AS		5.69%	#^ I/O		03/25/2035		454,804
	6,112,333	Series 2006-J3-A4		5.50%			05/25/2036		5,779,339
	2,960,972	Series 2007-15-1A16		6.25%			09/25/2037		2,565,818
	12,855,439	Series 2007-15-1A29		6.25%			09/25/2037		11,101,089
	3,437,941	Series 2007-18-1A1		6.00%			11/25/2037		3,100,171
	41,342,306	Series 2007-7-A1		6.00%			06/25/2037		36,381,953
	13,112,448	Series 2007-7-A2		5.75%			06/25/2037		11,547,090
	25,529,480	Series 2007-8-1A4		6.00%			01/25/2038		20,837,328
	7,000,000	Series 2007-9-A11		5.75%			07/25/2037		6,107,710
	68,095,670	Series 2007-J1-2A1		6.00%			02/25/2037		47,982,013
	3,201,367	Series 2007-J3-A1		0.74%	#		07/25/2037		2,077,492
	16,006,834	Series 2007-J3-A2		5.26%	# I/F I/O		07/25/2037		2,746,121
		Credit Suisse First Boston Mortgage Backed Trust,
	7,319,131	Series 2006-3-A4B		6.11%	#		11/25/2036		4,112,558
	5,364,929	Series 2006-4-A6A		5.68%	#		12/25/2036		3,128,277
	17,110,916	Series 2007-1-1A1A		5.90%	#		05/25/2037		9,293,691
		Credit Suisse First Boston Mortgage Securities Corporation,
	3,050,000	Series 1998-C2-F		6.75%	#^		11/15/2030		3,309,980
	7,887,000	Series 2001-CF2-F		6.56%	^		02/15/2034		7,860,618
	1,235,000	Series 2001-CF2-G		6.93%	^		02/15/2034		1,219,411
	642,460	Series 2002-34-CB2		5.87%	#		01/25/2033		581,695
	209,230	Series 2002-CKN2-A3		6.13%			04/15/2037		209,060
	14,867,607	Series 2002-CKS4-A2		5.18%			11/15/2036		14,993,737
	4,567,977	Series 2003-CPN1-A2		4.60%			03/15/2035		4,651,865
	532,508	Series 2004-AR8-2A1		2.71%	#		09/25/2034		526,321
	6,702,959	Series 2005-10-5A4		5.50%			11/25/2035		5,024,960
	1,992,259	Series 2005-10-5A5		5.50%			11/25/2035		1,545,597
	15,761,867	Series 2005-12-7A1		7.00%			01/25/2036		7,212,788
	2,780,304	Series 2005-5-2A11		5.00%			07/25/2035		2,769,347
	188,235,819	Series 2005-C2-ASP		0.74%	#^ I/O		04/15/2037		91,106
	10,277,652	Series 2005-C4-A3		5.12%	#		08/15/2038		10,304,152
	57,164,307	Series 2005-C4-ASP		0.39%	#^ I/O		08/15/2038		56,993
		Credit Suisse Mortgage Capital Certificates,
	8,697,446	Series 2005-1R-2A5		5.75%	^		12/26/2035		6,987,380
	37,832,328	Series 2006-1-2A1		6.00%			02/25/2036		26,675,159
	6,216,883	Series 2006-2-3A1		6.50%			03/25/2036		3,861,309
	7,516,789	Series 2006-2-5A1		0.94%	#		03/25/2036		4,198,878
	42,015,395	Series 2006-2-5A2		5.06%	# I/F I/O		03/25/2036		7,718,568
	23,685,731	Series 2006-2-5A4		6.00%			03/25/2036		17,095,389
	7,209,024	Series 2006-3-4A3		5.50%			04/25/2036		6,419,848
	9,708,213	Series 2006-4-1A8		6.00%	#		05/25/2036		6,010,476
	33,940,951	Series 2006-4-4A1		7.00%			05/25/2036		14,896,191
	32,132,139	Series 2006-4-6A1		6.00%			05/25/2036		27,860,958
	27,756,748	Series 2006-6-1A4		6.00%			07/25/2036		19,389,088
	16,438,712	Series 2006-6-3A1		7.00%			07/25/2036		6,221,773
	1,140,941	Series 2006-7-3A11		6.00%			08/25/2036		923,509
	3,384,352	Series 2006-9-2A1		5.50%			11/25/2036		2,931,952
	11,349,771	Series 2006-9-4A1		6.00%			11/25/2036		10,058,831
	4,805,246	Series 2006-9-6A15		38.45%	# I/F		11/25/2036		7,348,017
	5,963,456	Series 2006-TF2A-SVA1		0.47%	#^		10/15/2021		5,618,240
	15,535,993	Series 2007-1-1A4		6.13%	#		02/25/2037		9,589,739
	32,512,710	Series 2007-1-3A1		6.00%			02/25/2022		25,292,190
	18,378,040	Series 2007-1-5A14		6.00%			02/25/2037		14,324,065
	4,180,984	Series 2007-2-2A1		5.00%			03/25/2037		4,086,626
	11,112,517	Series 2007-5-2A5		5.00%			08/25/2037		9,499,569
	1,357,495,400	Series 2007-C1-ASP		0.57%	# I/O		02/15/2040		10,194,790
	5,125,847	Series 2009-1R-4A2		4.86%	#^		07/20/2035		3,915,732
	7,303,608	Series 2010-1R-5A1		5.00%	#^		01/27/2036		7,570,536
	64,085,130	Series 2010-2R-4A17		8.01%	#^		03/26/2037		36,989,424
	97,400,000	Series 2010-4R-3A17		9.94%	#^		06/26/2037		67,561,413
	48,088,546	Series 2010-4R-8A17		9.94%	#^		06/26/2037		33,812,331
	11,053,210	Series 2010-6R-2A6A		6.25%	^		07/26/2037		11,132,622
	34,804,009	Series 2010-7R-4A17		8.22%	#^		04/26/2037		22,436,178

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Credit-Based Asset Servicing and Securitization LLC,
$	1,313,745	Series 2005-CB6-A4		5.16%	#		07/25/2035		1,207,782
	9,750,000	Series 2007-MX1-A3		5.83%	#^		12/25/2036		7,537,540
		Crest Ltd.,
	2,326,995	Series 2003-2A-A1		0.95%	#^		12/28/2018		2,143,744
		DBUBS Mortgage Trust,
	205,360,869	Series 2011-LC2A-XA		1.62%	#^ I/O		07/10/2044		15,443,035
		Deutsche ALT-A Securities, Inc. Mortgage Loan Trust,
	40,759,000	Series 2005-4-A5		5.50%	#		09/25/2035		29,982,443
	3,626,687	Series 2005-5-1A6		34.16%	# I/F		11/25/2035		4,809,731
	3,375,539	Series 2005-5-2A1		0.44%	#		11/25/2035		1,637,226
	10,187,743	Series 2005-5-2A2		5.06%	# I/F I/O		11/25/2035		965,725
	2,406,393	Series 2006-AB2-A2		6.16%	#		06/25/2036		1,430,669
	4,868,230	Series 2006-AB4-A1A		6.01%	#		10/25/2036		2,806,634
	4,842,813	Series 2006-AB4-A3		5.90%	#		10/25/2036		2,772,832
	7,155,086	Series 2006-AB4-A3A1		5.90%	#		10/25/2036		4,096,770
	14,290,526	Series 2006-AB4-A6A1		5.87%	#		10/25/2036		8,163,549
	26,987,425	Series 2006-AF1-A3		0.42%	#		04/25/2036		23,503,497
	5,766,438	Series 2007-1-1A2		0.40%	#		08/25/2037		5,567,516
	68,000,000	Series 2007-1-1A3A		0.45%	#		08/25/2037		42,981,576
		Deutsche Mortgage Securities, Inc.,
	42,947,546	Series 2006-PR1-3A1		11.79%	#^ I/F		04/15/2036		45,041,702
	12,361,153	Series 2006-PR1-4AI1		11.77%	#^ I/F		04/15/2036		13,525,924
	20,270,568	Series 2006-PR1-4AI2		14.14%	#^ I/F		04/15/2036		23,009,411
	951,114	Series 2006-PR1-5AI1		18.62%	#^ I/F		04/15/2036		1,072,770
	8,219,554	Series 2006-PR1-5AI3		12.23%	#^ I/F		04/15/2036		7,934,091
	136,058,203	Series 2006-PR1-5AI4		11.79%	#^ I/F		04/15/2036		146,512,029
		DLJ Commercial Mortgage Corporation,
	1,158,406	Series 1998-CF1-B4		7.60%	#^		02/15/2031		1,185,606
	4,000,000	Series 2000-CKP1-B1		7.95%	#		11/10/2033		4,038,162
		Ellington Loan Acquisition Trust,
	2,747,160	Series 2007-1-A2A2		1.04%	#^		05/27/2037		2,515,501
		Extended Stay American Trust,
	35,675,676	Series 2010-ESHA-A		2.95%	^		11/05/2027		36,121,836
	284,734,527	Series 2010-ESHA-XA1		3.33%	#^ I/O		01/05/2013		6,047,192
	102,500,000	Series 2010-ESHA-XB1		1.37%	#^ I/O		01/05/2016		854,235
		First Horizon Alternative Mortgage Securities,
	21,544,309	Series 2005-AA4-1A1		2.35%	#		05/25/2035		14,386,643
	3,998,809	Series 2005-FA8-2A1		5.00%			11/25/2020		3,861,322
	1,063,017	Series 2006-FA1-1A6		0.99%	#		04/25/2036		1,003,944
	6,645,469	Series 2006-FA2-1A5		6.00%			05/25/2036		4,608,433
	1,877,033	Series 2006-FA7-A8		6.25%			12/25/2036		1,374,651
	21,834,986	Series 2006-RE1-A1		5.50%			05/25/2035		18,696,076
	2,651,524	Series 2007-FA3-A4		6.00%			06/25/2037		1,732,736
	2,811,692	Series 2007-FA4-1A13		6.25%			08/25/2037		1,800,070
	4,078,310	Series 2007-FA4-1A5		6.25%			08/25/2037		2,610,970
		First Horizon Asset Securities, Inc.,
	722,757	Series 2005-6-1A1		5.50%			11/25/2035		731,360
		First Union Commercial Mortgage Securities, Inc.,
	4,636,001	Series 2000-C2-G		8.70%	#		10/15/2032		4,638,011
	1,500,000	Series 2001-C1-F		6.84%			03/15/2033		1,517,663
		GE Capital Commercial Mortgage Corporation,
	707,088	Series 2002-2-A3		5.35%			08/11/2036		711,637
	7,000,000	Series 2004-C3-B		5.51%	#		07/10/2039		7,434,945
	8,273,000	Series 2007-C1-AAB		5.48%			12/10/2049		8,651,763
		GMAC Commercial Mortgage Securities, Inc.,
	4,240,180	Series 2001-C1-D		7.03%	#		04/15/2034		4,235,090
	102,790	Series 2003-C3-A3		4.65%			04/10/2040		103,684
	4,935,838	Series 2004-C3-A4		4.55%			12/10/2041		4,991,610
		GMAC Mortgage Corporation Loan Trust,
	1,449,181	Series 2004-J2-A6		16.30%	# I/F		06/25/2034		1,529,255
		Greenwich Capital Commercial Funding Corporation,
	6,575,000	Series 2003-C2-B		5.03%			01/05/2036		6,837,681
	4,000,000	Series 2003-C2-C		5.07%	#		01/05/2036		4,139,286
	7,936,000	Series 2004-FL2A-D		0.55%	#^		11/05/2019		7,806,961
	6,500,000	Series 2004-FL2A-G		0.72%	#^		11/05/2019		5,874,895
		GS Mortgage Securities Corporation,
	2,903,855	Series 2008-2R-1A1		7.50%	#^		09/25/2036		2,590,784

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 11

Schedule of Investments  DoubleLine Total Return Bond Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		GS Mortgage Securities Corporation II,
$	219,029,179	Series 2006-GG6-XC		0.15%	#^ I/O		04/10/2038		339,714
	36,295,184	Series 2011-GC3-X		1.32%	#^ I/O		03/10/2044		1,976,799
	118,552,949	Series 2012-GC6-XA		2.41%	#^ I/O		01/10/2045		16,935,111
		GSAA Home Equity Trust,
	1,746,291	Series 2005-12-AF3		5.07%	#		09/25/2035		1,632,665
	47,133,245	Series 2005-7-AF2		4.48%	#		05/25/2035		45,662,711
	45,361,000	Series 2005-7-AF3		4.75%	#		05/25/2035		41,703,338
	15,791,129	Series 2006-10-AF3		5.98%	#		06/25/2036		8,950,736
	11,301,982	Series 2006-10-AF4		6.30%	#		06/25/2036		6,403,839
	22,316,110	Series 2006-15-AF4		5.96%	#		09/25/2036		12,137,163
	3,634,366	Series 2006-18-AF3A		5.77%	#		11/25/2036		2,081,547
	7,525,471	Series 2006-18-AF6		5.68%	#		11/25/2036		3,993,075
	1,747,712	Series 2006-4-4A1		0.34%	#		03/25/2036		1,687,579
	16,074,589	Series 2007-10-A1A		6.00%			11/25/2037		11,727,594
	7,171,306	Series 2007-10-A2A		6.50%			11/25/2037		4,609,676
		GSMPS Mortgage Loan Trust,
	26,805,642	Series 2005-RP2-1AF		0.59%	#^		03/25/2035		22,040,430
	26,805,642	Series 2005-RP2-1AS		5.26%	#^ I/O		03/25/2035		3,809,334
	14,770,971	Series 2005-RP3-1AF		0.59%	#^		09/25/2035		11,640,537
	14,770,971	Series 2005-RP3-1AS		5.11%	#^ I/O		09/25/2035		2,219,532
	56,930,173	Series 2006-RP1-1AS		4.98%	#^ I/O		01/25/2036		9,080,852
	56,930,173	Series 2006-RP1-AF1		0.59%	#^		01/25/2036		45,062,424
		GSR Mortgage Loan Trust,
	12,921,222	Series 2005-1F-3A3		6.00%			01/25/2035		12,859,161
	2,537,711	Series 2005-6F-3A5		6.00%			07/25/2035		2,570,958
	28,578,071	Series 2005-6F-3A9		6.66%	# I/F I/O		07/25/2035		5,796,662
	2,959,437	Series 2005-6F-4A1		0.74%	#		07/25/2035		2,555,546
	3,091,509	Series 2005-7F-3A1		0.74%	#		09/25/2035		2,622,132
	8,958,849	Series 2005-8F-4A1		6.00%			11/25/2035		7,517,836
	13,041,887	Series 2006-1F-1A2		5.50%			02/25/2036		12,952,857
	3,909,021	Series 2006-2F-2A3		5.75%			02/25/2036		3,584,619
	8,459,669	Series 2006-2F-3A3		6.00%			02/25/2036		6,657,984
	44,523,738	Series 2006-6F-2A3		6.00%			07/25/2036		36,312,648
	45,587,171	Series 2006-7F-2A1		6.00%			08/25/2036		38,851,780
	20,629,049	Series 2006-7F-3A4		6.25%			08/25/2036		16,735,708
	21,824,826	Series 2006-9F-2A1		6.00%			10/25/2036		19,935,113
	967,134	Series 2006-9F-8A1		5.50%			08/25/2021		926,835
	20,028,270	Series 2007-1F-2A2		5.50%			01/25/2037		19,189,106
	119,109,502	Series 2007-4F-3A11		6.00%			07/25/2037		99,351,438
		Harborview Mortgage Loan Trust,
	6,590,982	Series 2005-14-3A1A		2.90%	#		12/19/2035		4,562,983
		Home Equity Asset Trust,
	2,791,416	Series 2003-3-M1		1.53%	#		08/25/2033		2,114,246
	5,094,557	Series 2004-7-M2		1.23%	#		01/25/2035		4,170,692
		Homebanc Mortgage Trust,
	3,711,372	Series 2005-1-M2		0.73%	#		03/25/2035		2,341,187
	7,536,634	Series 2006-1-3A1		5.56%	#		04/25/2037		6,145,835
		HSBC Asset Loan Obligation,
	5,728,470	Series 2006-2-2A1		5.50%			12/25/2021		5,313,322
	98,829,578	Series 2007-2-3A6		6.00%			09/25/2037		81,952,203
	14,546,308	Series 2007-AR1-3A1		6.12%	#		01/25/2037		10,926,830
		IMPAC Trust,
	2,621,703	Series 2002-9F-A1		5.22%	#		12/25/2032		2,667,091
		Indymac Mortgage Loan Trust,
	53,127,504	Series 2006-AR3-1A1		2.76%	#		12/25/2036		35,544,160
	18,259,346	Series 2007-A-1		6.00%			08/25/2037		15,294,658
	1,354,706	Series 2007-F2-1A2		6.00%			07/25/2037		1,043,560
	40,168,352	Series 2007-F2-2A1		6.50%			07/25/2037		21,587,356
		Jefferies & Company, Inc.,
	12,088,599	Series 2010-R1-1A1		6.00%	#^		03/26/2037		12,754,233
	2,674,086	Series 2010-R6-1A2		6.00%	^		09/26/2037		2,669,914
		JP Morgan Alternative Loan Trust,
	30,335,154	Series 2005-S1-2A11		6.00%			12/25/2035		23,620,983
	9,724,803	Series 2005-S1-2A9		6.00%			12/25/2035		7,572,383
	9,666,684	Series 2006-S1-1A8		5.75%			03/25/2036		6,562,760
	6,500,000	Series 2006-S2-A4		6.19%	#		05/25/2036		3,306,612
	14,745,000	Series 2006-S4-A3A		5.78%	#		12/25/2036		12,706,526
		JP Morgan Chase Commercial Mortgage Securities Corporation,
	6,000,000	Series 2001-C1-F		7.12%	#^		10/12/2035		6,012,360
	4,870,007	Series 2001-CIB2-C		6.74%	#		04/15/2035		4,879,810

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		JP Morgan Chase Commercial Mortgage Securities Corporation, (Cont.)
$	683,696	Series 2001-CIBC-E		7.30%	#		03/15/2033		683,585
	10,000,000	Series 2001-CIBC-F		7.77%	#		03/15/2033		9,978,610
	4,711,671	Series 2002-CIB5-A2		5.16%			10/12/2037		4,774,334
	2,000,000	Series 2003-LN1-D		5.20%	#		10/15/2037		2,007,400
	1,125,000	Series 2004-C3-A4		4.66%			01/15/2042		1,124,861
	1,300,238	Series 2004-CB8-A1A		4.16%	^		01/12/2039		1,353,701
	29,447,000	Series 2004-CBX-A5		4.65%			01/12/2037		29,809,080
	24,549,452	Series 2004-CBX-X1		0.89%	#^ I/O		01/12/2037		384,874
	256,052,501	Series 2005-LDP3-X2		0.30%	# I/O		08/15/2042		217,901
	115,190,026	Series 2005-LDP4-X1		0.16%	#^ I/O		10/15/2042		842,845
	306,356,627	Series 2006-CB14-X2		0.16%	# I/O		12/12/2044		217,513
	338,005,296	Series 2006-CB16-X2		0.70%	# I/O		05/12/2045		2,461,355
	2,885,662	Series 2006-FL1-AG		0.71%	#^		02/15/2020		2,452,831
	167,953,486	Series 2006-LDP8-X		0.74%	# I/O		05/15/2045		3,377,881
	10,000,000	Series 2007-C1-ASB		5.86%			02/15/2051		10,823,015
	187,161,488	Series 2007-CB18-X		0.43%	# I/O		06/12/2047		2,333,249
	2,965,535	Series 2007-CB20-ASB		5.69%			02/12/2051		3,197,717
	1,125,488,194	Series 2007-CB20-X1		0.21%	#^ I/O		02/12/2051		11,556,513
	15,000,000	Series 2011-CCHP-A		2.60%	#^		07/15/2028		14,980,568
	5,000,000	Series 2011-CCHP-B		3.50%	#^		07/15/2028		4,964,548
	4,774,171	Series 2011-PLSD-A1		2.19%	^		11/13/2044		4,844,418
		JP Morgan Commercial Mortgage Finance Corporation,
	306,670	Series 1997-C5-F		7.56%			09/15/2029		310,379
		JP Morgan Mortgage Acquisition Corporation,
	16,000,000	Series 2006-CH2-AF3		5.46%	#		10/25/2036		8,841,936
	6,332,368	Series 2006-WF1-A5		6.41%	#		07/25/2036		3,329,866
	15,000,000	Series 2007-CH1-AF5		5.73%	#		11/25/2036		10,995,158
		JP Morgan Mortgage Trust,
	214,761	Series 2003-A1-4A2		4.50%	#		10/25/2033		214,320
	6,091,659	Series 2005-S2-2A13		5.50%			09/25/2035		6,065,903
	6,385,011	Series 2006-S2-3A3		6.00%			07/25/2036		5,115,722
	22,126,506	Series 2006-S4-A8		0.62%	#		01/25/2037		14,664,242
	22,126,506	Series 2006-S4-A9		6.38%	# I/F I/O		01/25/2037		4,565,481
	6,094,560	Series 2007-A2-2A1		2.88%	#		04/25/2037		4,559,389
	3,829,464	Series 2007-S3-1A9		6.00%			08/25/2037		3,028,853
	15,765,695	Series 2007-S3-2A2		5.50%			08/25/2022		15,003,393
		JP Morgan Research Trust,
	27,546,803	Series 2010-1-1A4		6.00%	^		02/26/2037		14,212,663
	20,452,000	Series 2010-2-3A9		6.00%	^		07/26/2036		9,583,255
	9,683,162	Series 2010-8-2A3		4.50%	#^		11/26/2034		9,848,996
	9,228,491	Series 2012-2-3A3		2.59%	#^		10/26/2036		9,179,580
		LB-UBS Commercial Mortgage Trust,
	565,000	Series 2004-C2-A4		4.37%			03/15/2036		595,554
	120,192,562	Series 2005-C2-XCP		0.47%	# I/O		04/15/2040		17,188
	53,494,286	Series 2005-C5-XCP		0.61%	# I/O		09/15/2040		102,388
	178,101,667	Series 2006-C7-XCL		0.34%	#^ I/O		11/15/2038		3,179,471
	784,305,145	Series 2007-C7-XCL		0.12%	#^ I/O		09/15/2045		6,678,358
		Lehman Mortgage Trust,
	9,233,471	Series 2005-2-3A5		5.50%			12/25/2035		7,009,996
	16,571,761	Series 2005-3-2A1		6.00%			01/25/2036		15,529,911
	2,573,034	Series 2005-3-2A3		5.50%			01/25/2036		2,515,669
	8,391,878	Series 2005-3-2A7		6.00%			01/25/2036		7,348,839
	4,723,113	Series 2006-1-1A1		0.99%	#		02/25/2036		2,954,810
	14,169,338	Series 2006-1-1A2		4.51%	# I/F I/O		02/25/2036		2,264,491
	7,155,121	Series 2006-1-3A4		5.50%			02/25/2036		6,355,136
	10,314,981	Series 2006-4-1A3		5.16%	# I/F I/O		08/25/2036		1,433,984
	6,555,978	Series 2006-4-1A4		6.00%			08/25/2036		4,617,825
	14,877,443	Series 2006-5-2A1		0.59%	#		09/25/2036		5,139,457
	30,989,551	Series 2006-5-2A2		6.91%	# I/F I/O		09/25/2036		8,100,470
	28,352,294	Series 2006-6-3A9		5.50%			10/25/2036		18,526,665
	7,269,118	Series 2006-7-2A2		0.69%	#		11/25/2036		3,012,279
	21,606,397	Series 2006-7-2A5		6.31%	# I/F I/O		11/25/2036		5,035,025
	7,587,871	Series 2006-9-1A19		29.57%	# I/F		01/25/2037		11,225,054
	8,429,576	Series 2006-9-1A5		0.84%	#		01/25/2037		4,301,958
	25,038,680	Series 2006-9-1A6		4.91%	# I/F I/O		01/25/2037		4,061,449
	9,579,941	Series 2006-9-2A1		0.62%	#		01/25/2037		3,983,100
	21,236,270	Series 2006-9-2A2		6.38%	# I/F I/O		01/25/2037		4,663,750
	23,271,947	Series 2007-10-2A1		6.50%			01/25/2038		20,869,375
	6,783,090	Series 2007-2-1A1		5.75%			02/25/2037		4,676,737
	6,315,096	Series 2007-4-2A11		0.57%	#		05/25/2037		2,135,292
	21,580,803	Series 2007-4-2A8		6.43%	# I/F I/O		05/25/2037		6,126,190

12 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Lehman Mortgage Trust, (Cont.)
$	2,500,317	Series 2007-4-2A9		0.57%	#		05/25/2037		1,222,249
	33,824,146	Series 2007-5-11A1		5.98%	#		06/25/2037		22,346,260
	5,003,298	Series 2007-5-4A3		38.63%	# I/F		08/25/2036		7,890,914
	1,793,746	Series 2007-5-7A3		7.50%			10/25/2036		1,600,764
	1,795,568	Series 2007-6-1A8		6.00%			07/25/2037		1,406,133
		Lehman XS Trust,
	3,850,296	Series 2005-10-2A3B		5.55%	#		01/25/2036		2,849,592
	16,500,000	Series 2005-4-2A3A		5.00%	#		10/25/2035		9,052,882
	6,831,690	Series 2006-11-2A1		0.37%	#		06/25/2046		6,206,744
	6,660,938	Series 2006-5-2A4A		5.89%	#		04/25/2036		5,674,679
		MASTR Adjustable Rate Mortgages Trust,
	8,031,513	Series 2005-2-2A1		2.59%	#		03/25/2035		5,189,755
		MASTR Alternative Loans Trust,
	3,983,617	Series 2005-2-3A1		6.00%			03/25/2035		3,775,784
	2,758,515	Series 2005-5-2A3		5.50%			07/25/2025		2,729,820
	11,154,327	Series 2005-6-1A5		5.50%			12/25/2035		8,963,930
	5,784,059	Series 2006-3-1A2		6.25%			07/25/2036		4,407,381
	14,378,709	Series 2007-1-1A5		5.75%			10/25/2036		12,274,946
	13,107,285	Series 2007-1-2A7		6.00%			10/25/2036		10,926,502
		MASTR Asset Backed Securities Trust,
	4,975,000	Series 2003-OPT1-M3		4.37%	#		12/25/2032		3,389,552
	10,359,579	Series 2006-NC1-A3		0.43%	#		01/25/2036		8,778,433
		MASTR Asset Securitization Trust,
	1,161,420	Series 2003-1-30B2		5.75%			02/25/2033		1,159,860
	1,262,629	Series 2007-1-1A1		5.50%			11/25/2037		1,080,513
	11,853,232	Series 2007-1-1A3		6.25%			11/25/2037		9,981,660
		MASTR Seasoned Securitization Trust,
	1,467,394	Series 2005-2-1A4		6.00%			10/25/2032		1,326,725
	4,147,709	Series 2005-2-2A1		0.64%	#		10/25/2032		3,428,907
		Merrill Lynch Mortgage Investors Trust,
	207,162,991	Series 1998-C1-IO		0.69%	# I/O		11/15/2026		5,490,751
	7,293,259	Series 2006-F1-1A2		6.00%			04/25/2036		6,195,838
		Merrill Lynch Mortgage Trust,
	19,000,000	Series 2003-KEY1-A4		5.24%	#		11/12/2035		20,058,576
	326,744,301	Series 2004-BPC1-XP		1.06%	#^ I/O		10/12/2041		246,365
	10,000,000	Series 2004-KEY2-A4		4.86%	#		08/12/2039		10,751,895
	326,291,328	Series 2005-MCP1-XP		0.83%	# I/O		06/12/2043		2,645,244
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	2,593,761	Series 2006-4-A2FL		0.36%	#		12/12/2049		2,592,988
		Morgan Stanley Capital, Inc.,
	1,485,000	Series 1999-LIFE-G		7.05%	#^		04/15/2033		1,489,430
	1,907,461	Series 2003-NC6-M2		3.17%	#		06/25/2033		1,367,612
	176,337,301	Series 2004-HQ4-X2		0.51%	#^ I/O		04/14/2040		353,380
	242,615	Series 2004-IQ8-A4		4.90%			06/15/2040		242,400
	3,692,212	Series 2005-IQ10-AAB		5.18	#		09/15/2042		3,850,519
	578,612	Series 2005-RR6-A2FL		0.46	#^		05/24/2043		529,430
	364,649,852	Series 2006-HQ10-X1		0.18	#^ I/O		11/12/2041		6,754,409
	8,945,943	Series 2007-HQ12-A2FL		0.49%	#		04/12/2049		8,635,953
	17,891,886	Series 2007-HQ12-A2FX		5.60%	#		04/12/2049		18,189,786
	481,753,484	Series 2007-IQ16-X2		0.37%	#^ I/O		12/12/2049		3,975,912
	10,000,000	Series 2008-T29-AAB		6.46%	#		01/11/2043		11,136,585
		Morgan Stanley Mortgage Loan Trust,
	5,286,131	Series 2005-10-1A1		0.94%	#		12/25/2035		3,284,028
	2,323,326	Series 2005-6AR-1A1		0.52%	#		11/25/2035		1,951,450
	7,928,320	Series 2006-11-1A6		6.23%	#		08/25/2036		3,800,119
	23,383,032	Series 2006-11-2A1		6.00%			08/25/2036		16,031,313
	11,883,245	Series 2006-17XS-A3A		5.65%	#		10/25/2046		7,519,794
	3,574,981	Series 2006-17XS-A6		5.58%	#		10/25/2046		2,086,831
	1,763,706	Series 2006-2-2A3		5.75%			02/25/2036		1,507,860
	77,875,776	Series 2006-7-3A		5.67%	#		06/25/2036		53,782,218
	6,324,989	Series 2006-7-4A4		6.00%			06/25/2036		4,392,661
	6,520,448	Series 2006-7-4A7		6.00%			06/25/2036		4,389,980
	8,690,074	Series 2007-13-6A1		6.00%			10/25/2037		5,693,197
	5,491,563	Series 2007-1XS-2A3		5.92%	#		09/25/2046		2,769,035
	4,144,650	Series 2007-1XS-2A4A		6.08%	#		09/25/2046		2,368,406
	3,257,317	Series 2007-3XS-1A2A		5.62%	#		01/25/2047		2,787,365
	12,409,023	Series 2007-3XS-2A3S		5.86%	#		01/25/2047		6,875,914
	7,258,108	Series 2007-3XS-2A4S		5.96%	#		01/25/2047		4,050,253
		Morgan Stanley Re-Remic Trust,
	6,045,795	Series 2010-R9-1A		4.00%	#^		08/26/2036		6,139,260
	8,643,376	Series 2010-R9-1B		7.43%	#^		08/26/2036		4,840,291

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Morgan Stanley Re-Remic Trust, (Cont.)
$	70,000,000	Series 2010-R9-3C		8.51%	#^		11/26/2036		49,000,000
	10,550,288	Series 2011-R1-1A		5.94%	#^		02/26/2037		9,811,768
		Multi Security Asset Trust,
	4,970,022	Series 2005-RR4A-A3		5.00%	^		11/28/2035		4,970,022
		New York Mortgage Trust,
	2,015,296	Series 2005-2-A		0.57%	#		08/25/2035		1,782,379
		Newcastle Mortgage Securities Trust,
	66,165,270	Series 2006-1-A3		0.42%	#		03/25/2036		63,149,821
		Nomura Asset Acceptance Corporation,
	2,662,274	Series 2005-AP1-2A5		4.86%	#		02/25/2035		2,549,967
	22,069,510	Series 2006-AF1-1A2		6.16%	#		05/25/2036		11,233,502
	4,484,919	Series 2006-AF1-1A3		6.41%	#		05/25/2036		2,314,424
	22,448,570	Series 2006-AP1-A2		5.52%	#		01/25/2036		13,954,806
	4,872,299	Series 2006-AP1-A3		5.65%	#		01/25/2036		3,061,791
	2,404,943	Series 2006-WF1-A2		5.76%	#		06/25/2036		1,381,738
		Nomura Asset Securities Corporation,
	20,331,000	Series 1998-D6-A2		7.32%	#		03/15/2030		21,156,489
	4,115,000	Series 1998-D6-A3		7.53%	#		03/15/2030		4,311,473
		Nomura Home Equity Loan, Inc.,
	23,248,512	Series 2006-AF1-A2		5.80%	#		10/25/2036		9,826,076
	4,315,155	Series 2007-1-1A1		6.06%	#		02/25/2037		2,090,090
	21,507,726	Series 2007-1-1A3		5.99%	#		02/25/2037		10,364,692
		Option One Mortgage Loan Trust,
	1,441,246	Series 2002-2-A		0.78%	#		06/25/2032		1,127,147
	3,450,487	Series 2004-3-M3		0.89%	#		11/25/2034		2,675,742
		PHH Alternative Mortgage Trust,
	2,523,556	Series 2007-2-3A1		6.00%			05/25/2037		1,956,050
	52,260,428	Series 2007-3-A2		0.43%	#		07/25/2037		37,557,218
		Popular ABS Mortgage Pass-Thru Trust,
	1,505,924	Series 2005-5-AF6		5.33%	#		11/25/2035		1,363,929
		Prime Mortgage Trust,
	5,165,476	Series 2006-1-2A5		6.00%			06/25/2036		4,776,741
	5,789,561	Series 2006-DR1-2A1		5.50%	^		05/25/2035		5,013,928
		Prudential Commercial Mortgage Trust,
	1,705,252	Series 2003-PWR1-A1		3.67%			02/11/2036		1,720,591
		Prudential Mortgage Capital Funding, LLC,
	926,285	Series 2001-ROCK-F		8.15%	# ^		05/10/2034		925,836
		RBSGC Structured Trust,
	71,765,290	Series 2008-B-A1		6.00%	^		06/25/2037		60,119,578
		Renaissance Home Equity Loan Trust,
	1,984,356	Series 2006-1-AF6		5.75%	#		05/25/2036		1,300,124
	11,300,000	Series 2006-4-AF4		5.47%	#		01/25/2037		5,118,567
	22,252,000	Series 2006-4-AF5		5.69%	#		01/25/2037		10,422,770
	18,490,000	Series 2007-2-AF2		5.68%	#		06/25/2037		7,747,051
	10,000,000	Series 2007-2-AF5		6.20%	#		06/25/2037		4,563,385
		Residential Accredit Loans, Inc.,
	16,446,178	Series 2004-QS15-A1		5.25%			11/25/2034		15,447,492
	1,437,869	Series 2005-QS12-A11		48.49%	# I/F		08/25/2035		2,623,105
	6,615,019	Series 2005-QS13-1A6		5.50%			09/25/2035		4,863,332
	11,484,815	Series 2005-QS13-2A1		0.94%	#		09/25/2035		6,065,802
	47,087,740	Series 2005-QS13-2A2		4.81%	# I/F I/O		09/25/2035		7,957,593
	20,120,670	Series 2005-QS14-2A1		6.00%			09/25/2035		13,718,122
	10,083,174	Series 2005-QS15-2A		6.00%			10/25/2035		6,069,783
	10,473,322	Series 2005-QS15-3A		6.00%			10/25/2035		7,533,670
	11,345,470	Series 2005-QS16-A1		0.94%	#		11/25/2035		6,925,292
	11,343,509	Series 2005-QS16-A2		4.56%	# I/F I/O		11/25/2035		1,544,631
	5,177,457	Series 2005-QS17-A1		6.00%			12/25/2035		4,063,328
	3,727,327	Series 2005-QS17-A10		6.00%			12/25/2035		2,759,426
	15,589,297	Series 2005-QS17-A11		6.00%			12/25/2035		11,541,115
	11,080,381	Series 2005-QS17-A2		1.09%	#		12/25/2035		6,588,948
	11,080,381	Series 2005-QS17-A4		4.91%	# I/F I/O		12/25/2035		1,761,393
	8,915,617	Series 2005-QS17-A6		6.00%			12/25/2035		6,600,437
	6,846,117	Series 2005-QS1-A5		5.50%			01/25/2035		6,421,733
	5,184,663	Series 2005-QS5-A3		5.70%			04/25/2035		4,160,856
	4,354,756	Series 2005-QS9-A1		0.74%	#		06/25/2035		3,332,739
	10,886,891	Series 2005-QS9-A4		4.76%	# I/F I/O		06/25/2035		1,637,902
	4,192,037	Series 2006-QS10-A4		5.75%			08/25/2036		2,745,595
	4,615,605	Series 2006-QS12-1A1		6.50%			09/25/2036		2,540,431

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 13

Schedule of Investments  DoubleLine Total Return Bond Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Residential Accredit Loans, Inc., (Cont.)
$	10,768,571	Series 2006-QS12-2A18		5.75%			09/25/2036		6,340,653
	17,095,697	Series 2006-QS14-A18		6.25%			11/25/2036		10,612,504
	9,065,675	Series 2006-QS15-A1		6.50%			10/25/2036		5,884,235
	3,378,487	Series 2006-QS16-A10		6.00%			11/25/2036		2,242,468
	12,013,365	Series 2006-QS16-A11		6.00%			11/25/2036		7,911,822
	3,506,835	Series 2006-QS16-A7		6.00%			11/25/2036		2,273,252
	3,789,549	Series 2006-QS16-A8		6.00%			11/25/2036		2,495,740
	1,499,596	Series 2006-QS16-A9		6.00%			11/25/2036		987,611
	8,403,813	Series 2006-QS17-A4		6.00%			12/25/2036		5,202,851
	46,687,949	Series 2006-QS17-A5		6.00%			12/25/2036		28,904,790
	4,699,070	Series 2006-QS1-A6		41.00%	# I/F		01/25/2036		7,259,889
	32,666,443	Series 2006-QS3-1A11		6.00%			03/25/2036		24,055,389
	6,748,165	Series 2006-QS4-A8		1.34%	# I/F		04/25/2036		5,418,784
	20,524,586	Series 2006-QS5-A3		6.00%			05/25/2036		13,889,388
	26,005,871	Series 2006-QS8-A1		6.00%			08/25/2036		16,418,859
	45,097,978	Series 2006-QS8-A5		5.31%	# I/F I/O		08/25/2036		7,459,404
	15,579,847	Series 2006-QS9-1A6		5.06%	# I/F I/O		07/25/2036		2,568,972
	45,823,668	Series 2007-QS1-1A2		5.21%	# I/F I/O		01/25/2037		8,438,470
	4,711,610	Series 2007-QS1-1A4		6.00%			01/25/2037		3,299,283
	12,039,172	Series 2007-QS1-2A10		6.00%			01/25/2037		7,990,013
	2,006,723	Series 2007-QS2-A6		6.25%			01/25/2037		1,298,032
	74,997,748	Series 2007-QS3-A1		6.50%			02/25/2037		48,587,478
	11,958,858	Series 2007-QS3-A4		6.25%			02/25/2037		7,614,893
	9,449,964	Series 2007-QS5-A1		5.50%			03/25/2037		5,707,934
	3,898,495	Series 2007-QS5-A5		0.54%	#		03/25/2037		1,756,266
	12,947,794	Series 2007-QS5-A8		6.46%	# I/F I/O		03/25/2037		2,924,674
	3,368,822	Series 2007-QS6-A13		52.99%	# I/F		04/25/2037		6,728,475
	15,002,964	Series 2007-QS6-A45		5.75%			04/25/2037		9,643,305
	23,910,089	Series 2007-QS6-A6		6.25%			04/25/2037		15,896,706
	1,651,394	Series 2007-QS6-A77		53.82%	# I/F		04/25/2037		3,269,960
	16,337,115	Series 2007-QS7-2A1		6.75%			06/25/2037		9,010,319
	13,627,193	Series 2007-QS9-A33		6.50%			07/25/2037		8,479,848
		Residential Asset Mortgage Products, Inc.,
	962,581	Series 2004-RS4-AI6		5.07%	#		04/25/2034		899,434
	5,606,949	Series 2004-RS5-AI6		5.55%	#		05/25/2034		4,441,750
	11,301,258	Series 2004-RS7-AI6		5.22%	#		07/25/2034		10,109,862
	1,756,568	Series 2004-RS8-AI4		5.06%	#		06/25/2032		1,722,359
	1,828,850	Series 2004-RS9-AI4		4.77%	#		10/25/2032		1,576,753
	2,619,386	Series 2004-RS9-AI6		4.72%	#		07/25/2034		2,235,086
	4,213,073	Series 2004-RZ2-AI4		5.35%	#		02/25/2033		3,167,919
	7,550,000	Series 2005-RS1-AI5		5.41%	#		01/25/2035		5,546,981
	12,709,703	Series 2006-RS5-A3		0.41%	#		09/25/2036		9,122,110
		Residential Asset Securities Corporation,
	938,124	Series 2002-KS1-AI6		6.08%	#		06/25/2032		780,779
	3,894,822	Series 2003-KS11-MI1		5.13%	#		01/25/2034		3,347,771
	7,290,856	Series 2005-AHL3-A2		0.48%	#		11/25/2035		6,680,152
	2,788,692	Series 2006-KS4-A3		0.39%	#		06/25/2036		2,589,237
		Residential Asset Securitization Trust,
	10,900,386	Series 2005-A11-2A4		6.00%			10/25/2035		5,920,120
	10,214,699	Series 2005-A12-A7		4.76%	# I/F I/O		11/25/2035		1,200,386
	7,790,579	Series 2005-A12-A8		0.79%	#		11/25/2035		5,273,902
	8,719,228	Series 2005-A15-5A3		5.75%			02/25/2036		5,944,299
	6,552,718	Series 2005-A7-A3		5.50%			06/25/2035		5,766,838
	11,605,616	Series 2005-A8CB-A11		6.00%			07/25/2035		9,785,362
	12,814,488	Series 2005-A8CB-A2		4.76%	# I/F I/O		07/25/2035		1,694,827
	10,776,152	Series 2006-A10-A5		6.50%			09/25/2036		7,112,282
	1,988,999	Series 2006-A1-1A3		6.00%			04/25/2036		1,398,044
	14,910,842	Series 2006-A12-A1		6.25%			11/25/2036		10,070,239
	15,749,485	Series 2006-A13-A1		6.25%			12/25/2036		10,472,604
	29,713,303	Series 2006-A1-3A2		6.00%			04/25/2036		21,704,498
	24,105,805	Series 2006-A14C-2A6		0.69%	#		12/25/2036		7,228,716
	53,197,895	Series 2006-A14C-2A7		6.31%	# I/F I/O		12/25/2036		12,383,395
	15,185,782	Series 2006-A2-A11		6.00%			01/25/2046		10,632,287
	2,026,156	Series 2006-A4-2A5		6.00%			05/25/2036		1,359,918
	8,912,465	Series 2006-A8-1A1		6.00%			08/25/2036		6,832,674
	12,168,249	Series 2006-R1-A1		27.43%	# I/F		01/25/2046		15,477,141
	83,383,515	Series 2007-A2-1A2		6.00%			04/25/2037		64,021,071
	2,036,591	Series 2007-A3-1A2		44.53%	# I/F		04/25/2037		3,674,489
	34,051,818	Series 2007-A5-1A4		5.86%	# I/F I/O		05/25/2037		7,257,856
	8,794,190	Series 2007-A5-1A6		0.64%	#		05/25/2037		2,129,887
	4,486,898	Series 2007-A5-2A3		6.00%			05/25/2037		3,399,200
	8,766,752	Series 2007-A5-2A5		6.00%			05/25/2037		6,641,547
	17,006,364	Series 2007-A7-A1		6.00%			07/25/2037		12,365,174

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Residential Funding Mortgage Securities Trust,
$	15,320,610	Series 2003-S16-A1		4.75%			09/25/2018		15,720,623
	28,882,464	Series 2005-S9-A6		5.75%			12/25/2035		27,769,926
	2,233,384	Series 2005-S9-A8		5.50%			12/25/2035		2,127,753
	29,252,029	Series 2006-S11-A1		6.00%			11/25/2036		25,687,494
	802,874	Series 2006-S5-A15		6.00%			06/25/2036		631,881
	16,372,945	Series 2007-S1-A7		6.00%			01/25/2037		13,314,921
	13,475,092	Series 2007-S2-A1		6.00%			02/25/2037		11,650,275
	15,181,175	Series 2007-S2-A4		6.00%			02/25/2037		13,125,370
	4,428,834	Series 2007-S2-A9		6.00%			02/25/2037		3,829,091
	12,236,058	Series 2007-S3-1A4		6.00%			03/25/2037		9,863,994
	3,984,462	Series 2007-S4-A1		6.00%			04/25/2037		3,371,283
	92,885,723	Series 2007-S5-A1		6.00%			05/25/2037		80,429,096
	30,308,445	Series 2007-S8-1A1		6.00%			09/25/2037		24,503,620
	18,558,192	Series 2007-SA1-4A		5.90%	#		02/25/2037		15,307,223
		Salomon Brothers Mortgage Securities,
	3,000,000	Series 2000-C3-F		7.60%	#		12/18/2033		2,976,972
		Sequoia Mortgage Trust,
	684,475	Series 2003-4-2A1		0.59%	#		07/20/2033		640,378
		Soundview Home Equity Loan Trust,
	3,696,006	Series 2007-1-2A1		0.33%	#		03/25/2037		3,461,875
		Structured Adjustable Rate Mortgage Loan Trust,
	29,462,913	Series 2004-12-8A		4.29%	#		09/25/2034		28,018,729
		Structured Asset Securities Corporation,
	919,243	Series 2003-18XS-A6		4.04%	#		06/25/2033		928,741
	7,630,648	Series 2003-24A-1A3		2.66%	#		07/25/2033		6,958,765
	41,061,116	Series 2003-35-1A1		5.15%	#		12/25/2033		41,200,867
	9,536,854	Series 20034-15-2A1		4.75%			09/25/2019		9,608,505
	15,589,558	Series 2004-11XS-2A2		5.40%	#		06/25/2034		16,104,255
	32,417,758	Series 2004-22-A2		4.86%	#		01/25/2035		32,165,483
	53,808,647	Series 2005-10-1A1		5.75%			06/25/2035		49,741,090
	13,547,380	Series 2005-10-6A1		5.00%			06/25/2020		13,657,229
	7,752,332	Series 2005-14-1A1		0.54%	#		07/25/2035		6,603,816
	2,549,343	Series 2005-14-1A4		23.45%	# I/F		07/25/2035		3,134,844
	84,255,057	Series 2005-14-4A1		5.75%			07/25/2035		79,405,082
	8,655,585	Series 2005-15-1A1		5.50%			08/25/2035		8,372,656
	12,500,000	Series 2005-3-1A6		5.75%			03/25/2035		10,742,213
		Suntrust Adjustable Rate Mortgage Loan Trust,
	18,399,186	Series 2007-3-1A1		5.42%	#		06/25/2037		13,221,370
		Suntrust Alternative Loan Trust,
	2,248,713	Series 2005-1F-2A3		5.75%			12/25/2035		1,776,870
	4,329,593	Series 2006-1F-1A3		6.00%			04/25/2036		2,632,637
		Thornburg Mortgage Securities Trust,
	2,676,053	Series 2003-6-A2		1.24%	#		12/25/2033		2,034,211
	20,607,456	Series 2004-4-5A		4.82%	#		12/25/2044		20,387,935
	36,270,095	Series 2007-1-A1		2.37%	#		03/25/2037		26,643,994
	12,304,243	Series 2007-1-A2A		5.80%	#		03/25/2037		9,548,185
		TIAA Real Estate CDO,
	6,991,621	Series 2002-1A-IIFL		1.74%	# ^		05/22/2037		6,711,956
		TIAA Seasoned Commercial Mortgage Trust,
	16,746,000	Series 2007-C4-AJ		5.66%	#		08/15/2039		17,680,025
		Wachovia Bank Commercial Mortgage Trust,
	5,840,000	Series 2005-C22-AM		5.49%	#		12/15/2044		6,193,819
	2,392,771	Series 2006-C23-APB		5.45%			01/15/2045		2,416,693
		Washington Mutual Mortgage Pass-Through Certificates,
	13,363,508	Series 2005-1-2A		6.00%			03/25/2035		10,870,439
	7,553,567	Series 2005-4-5A1		5.50%			06/25/2035		6,419,192
	2,518,059	Series 2005-5-CB12		47.94%	# I/F		07/25/2035		5,216,355
	8,154,092	Series 2005-5-CB6		0.84%	#		07/25/2035		4,948,939
	6,150,625	Series 2005-6-2A7		5.50%			08/25/2035		5,522,465
	2,787,842	Series 2005-7-3CB		6.50%			08/25/2035		1,955,063
	8,097,222	Series 2005-9-CX		5.50%	I/O		11/25/2035		1,484,544
	8,652,409	Series 2005-AR14-1A1		2.46%	#		12/25/2035		8,499,344
	13,544,003	Series 2006-1-3A1		5.75%			02/25/2036		10,104,151
	6,661,270	Series 2006-1-3A2		5.75%			02/25/2036		5,043,051
	5,754,307	Series 2006-1-3A7		5.75%			02/25/2036		4,251,898
	6,452,180	Series 2006-5-1A8		5.75%			07/25/2036		4,243,199
	11,678,746	Series 2006-5-2CB1		6.00%			07/25/2036		6,761,363
	21,213,517	Series 2006-5-2CB6		6.00%			07/25/2036		12,281,481
	9,905,361	Series 2006-5-3A5		6.45%	#		07/25/2036		4,497,727
	6,969,859	Series 2006-9-A7		5.93%	#		10/25/2036		4,229,669

14 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Washington Mutual Mortgage Pass-Through Certificates, (Cont.)
$	25,231,522	Series 2006-AR10-1A1		2.52%	#		09/25/2036		17,819,750
	3,940,000	Series 2006-AR6-2A3		5.47%	#		08/25/2036		3,147,678
	28,198,089	Series 2007-4-1A1		5.50%			06/25/2037		22,825,380
	1,187,126	Series 2007-5-A11		38.03%	# I/F		06/25/2037		1,888,197
	52,823,104	Series 2007-HY3-4A1		2.64%	#		03/25/2037		42,153,682
	52,131,718	Series 2007-HY5-1A1		4.93%	#		05/25/2037		36,688,948
	48,338,007	Series 2007-HY6-2A3		5.35%	#		06/25/2037		36,180,055
		Wells Fargo Alternative Loan Trust,
	5,563,806	Series 2007-PA1-A10		6.00%			03/25/2037		4,004,691
	21,063,523	Series 2007-PA1-A5		6.00%			03/25/2037		15,161,008
	23,129,985	Series 2007-PA2-3A1		0.59%	#		06/25/2037		10,515,319
	34,074,049	Series 2007-PA2-3A2		6.41%	# I/F I/O		06/25/2037		6,027,416
	2,516,557	Series 2007-PA3-1A4		5.75%			07/25/2037		2,095,381
	24,797,949	Series 2007-PA3-4A3		6.50%			07/25/2037		16,361,104
	292,816,504	Series 2007-PA5-1A1		6.25%			11/25/2037		268,264,718
		Wells Fargo Mortgage Backed Securities Trust,
	45,911,061	Series 2004-Y-3A3		2.63%	#		11/25/2034		44,380,570
	1,925,739	Series 2005-4-A7		22.93%	# I/F		04/25/2035		2,445,314
	10,100,587	Series 2005-8-A1		5.50%			10/25/2035		9,891,106
	7,321,293	Series 2005-AR16-6A4		2.72%	#		10/25/2035		3,015,201
	25,000,000	Series 2006-12-A3		6.00%			10/25/2036		22,914,000
	26,130,649	Series 2006-14-A1		6.00%			10/25/2036		24,060,814
	32,946,783	Series 2006-15-A1		6.00%			11/25/2036		30,684,410
	319,928	Series 2006-2-1A4		18.72%	# I/F		03/25/2036		358,129
	6,112,800	Series 2006-2-3A1		5.75%			03/25/2036		6,066,863
	5,438,375	Series 2006-3-A6		5.50%			03/25/2036		4,835,433
	3,793,548	Series 2006-4-1A8		5.75%			04/25/2036		3,838,024
	1,020,389	Series 2006-4-2A2		5.50%			04/25/2036		962,817
	14,634,427	Series 2006-6-2A1		0.64%	#		05/25/2036		9,846,401
	14,634,427	Series 2006-6-2A2		6.86%	# I/F I/O		05/25/2036		2,857,916
	6,359,588	Series 2006-9-2A1		0.00%	P/O		08/25/2036		5,156,990
	6,359,588	Series 2006-9-2A2		6.00%	I/O		08/25/2036		1,200,782
	31,711,320	Series 2006-AR12-1A1		2.75%	#		09/25/2036		23,441,452
	14,839,946	Series 2006-AR13-A2		2.65%	#		09/25/2036		11,255,083
	20,761,814	Series 2006-AR4-2A1		5.61%	#		04/25/2036		19,634,136
	7,006,712	Series 2007-10-1A18		6.00%			07/25/2037		6,524,044
	11,454,084	Series 2007-10-2A11		6.00%			07/25/2037		10,475,132
	10,618,338	Series 2007-11-A96		6.00%			08/25/2037		10,319,676
	89,554,937	Series 2007-14-1A1		6.00%			10/25/2037		85,951,066
	79,252,030	Series 2007-2-1A1		6.00%			03/25/2037		71,164,083
	4,586,560	Series 2007-2-1A18		5.75%			03/25/2037		4,083,394
	6,041,553	Series 2007-2-3A2		5.25%			03/25/2037		5,970,894
	7,496,395	Series 2007-3-1A3		6.00%			04/25/2037		6,733,420
	8,168,107	Series 2007-4-A11		6.50%			04/25/2037		7,390,785
	19,373,521	Series 2007-4-A15		6.00%			04/25/2037		17,726,230
	7,607,835	Series 2007-5-1A6		23.50%	# I/F		05/25/2037		10,056,710
	2,422,000	Series 2007-7-A32		5.75%			06/25/2037		2,167,645
	78,423,000	Series 2007-7-A34		6.00%			06/25/2037		71,002,028
	10,000,000	Series 2007-7-A36		6.00%			06/25/2037		9,600,045
	7,946,354	Series 2007-7-A43		0.74%	#		06/25/2037		5,809,424
	20,000,000	Series 2007-7-A49		6.00%			06/25/2037		18,182,190
	9,190,556	Series 2007-7-A8		0.74%	#		06/25/2037		6,719,036
	4,146,021	Series 2007-7-A9		37.55%	# I/F		06/25/2037		7,459,471
	5,658,871	Series 2007-8-1A13		0.61%	#		07/25/2037		4,375,628
	5,658,871	Series 2007-8-1A14		38.33%	# I/F		07/25/2037		10,492,614
	4,715,726	Series 2007-8-1A16		6.00%			07/25/2037		4,389,251
	63,662,295	Series 2007-8-1A2		6.00%			07/25/2037		57,946,026
	5,650,000	Series 2007-8-2A2		6.00%			07/25/2037		5,537,412
	144,597,718	Series 2007-AR9-A1		6.00%	#		12/28/2037		144,001,179
		Wells Fargo Mortgage Loan Trust,
	58,087,055	Series 2012-RR1-A1		2.85%	#^		08/27/2037		58,182,318
		WF-RBS Commercial Mortgage Trust,
	90,808,478	Series 2011-C4-XA		1.05%	#^ I/O		06/15/2044		3,791,254
	120,552,936	Series 2012-C6-XA		2.51%	#^ I/O		04/15/2045		17,999,759
		Total Non-Agency Collateralized Mortgage Obligations (Cost $8,482,825,177)							8,354,978,194

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	US GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES 40.5%
		Federal Home Loan Mortgage Corporation,
$	47,621,017	Pool C03490		4.50%			08/01/2040		50,538,764
	143,612,365	Pool G01840		5.00%			07/01/2035		155,063,166
	45,055,849	Pool G04817		5.00%			09/01/2038		48,570,896
	118,836,293	Pool G06172		5.50%			12/01/2038		129,363,853
	90,752,594	Pool G06871		6.00%			06/01/2038		100,356,176
	53,525,643	Pool T6-0392		4.00%			10/01/2041		55,409,565
	46,186,530	Pool T6-9016		5.00%			06/01/2041		48,808,324
	1,292,779	Pool U60299		4.00%			11/01/2040		1,367,166
	11,234,821	Series 2519-ZD		5.50%			11/15/2032		12,453,690
	4,681,036	Series 2596-ZL		5.00%			04/15/2033		5,247,203
	2,505,084	Series 2684-ZN		4.00%			10/15/2033		2,670,709
	13,022,127	Series 2750-ZT		5.00%			02/15/2034		14,579,206
	11,422,742	Series 2825-PZ		5.50%			07/15/2034		13,400,848
	20,101,696	Series 2898-JZ		5.00%			12/15/2034		22,528,271
	25,649,901	Series 2899-AZ		5.00%			12/15/2034		28,842,401
	20,532,447	Series 2909-Z		5.00%			12/15/2034		23,130,032
	54,845,893	Series 2932-Z		5.00%			02/15/2035		61,426,370
	7,185,334	Series 2990-JL		6.41%	# I/F I/O		03/15/2035		906,274
	23,057,334	Series 3002-SN		6.26%	# I/F I/O		07/15/2035		4,135,363
	392,139	Series 3014-SJ		10.90%	# I/F		08/15/2035		395,559
	16,284,778	Series 3030-SL		5.86%	# I/F I/O		09/15/2035		2,067,905
	4,588,651	Series 3045-DI		6.49%	# I/F I/O		10/15/2035		719,045
	23,736,935	Series 3116-Z		5.50%			02/15/2036		27,010,063
	6,108,424	Series 3117-ZN		4.50%			02/15/2036		6,635,125
	7,314,297	Series 3174-PZ		5.00%			01/15/2036		8,471,847
	3,980,299	Series 3187-JZ		5.00%			07/15/2036		4,450,708
	5,478,192	Series 3188-ZK		5.00%			07/15/2036		6,201,948
	19,027,138	Series 3203-SE		6.26%	# I/F I/O		08/15/2036		2,831,198
	18,761,908	Series 3203-Z		5.00%			07/15/2036		21,424,425
	29,728,375	Series 3203-ZC		5.00%			07/15/2036		33,947,153
	21,812,055	Series 3261-SA		6.19%	# I/F I/O		01/15/2037		3,154,549
	54,778,118	Series 3267-BA		5.80%			11/15/2036		60,576,568
	41,233,679	Series 3275-SC		5.84%	# I/F I/O		02/15/2037		5,204,585
	13,354,621	Series 3315-HZ		6.00%			05/15/2037		15,696,568
	3,162,785	Series 3351-ZC		5.50%			07/15/2037		3,625,940
	47,520,722	Series 3355-BI		5.81%	# I/F I/O		08/15/2037		6,307,012
	3,250,199	Series 3369-Z		6.00%			09/15/2037		3,827,766
	11,312,040	Series 3405-ZG		5.50%			01/15/2038		12,899,863
	43,703,126	Series 3417-SI		5.94%	# I/F I/O		02/15/2038		5,908,733
	73,671,674	Series 3423-GS		5.41%	# I/F I/O		03/15/2038		8,627,675
	12,097,664	Series 3423-SG		5.41%	# I/F I/O		03/15/2038		1,420,273
	11,429,785	Series 3451-S		5.79%	# I/F I/O		02/15/2037		1,492,704
	19,926,738	Series 3455-SC		5.82%	# I/F I/O		06/15/2038		2,515,516
	13,815,401	Series 3473-SM		5.83%	# I/F I/O		07/15/2038		1,699,412
	38,390,541	Series 3484-SE		5.61%	# I/F I/O		08/15/2038		4,621,089
	20,233,236	Series 3519-SD		5.31%	# I/F I/O		02/15/2038		2,609,618
	11,804,012	Series 3524-LB		5.70%	#		06/15/2038		12,622,538
	2,725,849	Series 3530-GZ		4.50%			05/15/2039		2,782,381
	52,898,279	Series 3541-EI		6.51%	# I/F I/O		06/15/2039		7,644,785
	25,157,523	Series 3545-SA		5.91%	# I/F I/O		06/15/2039		3,344,698
	10,465,479	Series 3549-SA		5.56%	# I/F I/O		07/15/2039		1,262,810
	41,519,378	Series 3577-LS		6.96%	# I/F I/O		08/15/2035		8,607,482
	17,920,646	Series 3582-SA		5.76%	# I/F I/O		10/15/2049		2,244,186
	11,140,980	Series 3583-GB		4.50%			10/15/2039		12,317,646
	70,789,096	Series 3606-CS		6.11%	# I/F I/O		12/15/2039		11,047,375
	19,233,528	Series 3616-SG		6.11%	# I/F I/O		03/15/2032		3,379,539
	28,156,275	Series 3626-AZ		5.50%			08/15/2036		31,826,442
	25,343,830	Series 3631-SE		6.16%	# I/F I/O		05/15/2039		2,845,261
	26,550,302	Series 3641-SB		6.26%	# I/F I/O		10/15/2034		1,443,593
	24,551,946	Series 3641-Z		5.50%			02/15/2036		28,293,614
	19,139,798	Series 3654-ZB		5.50%			11/15/2037		22,236,755
	38,343,149	Series 3666-VZ		5.50%			08/15/2036		44,618,837
	33,362,854	Series 3667-SB		6.21%	# I/F I/O		05/15/2040		4,677,599
	68,044,947	Series 3688-CM		4.00%			07/15/2029		69,933,188
	39,831,837	Series 3702-SG		5.81%	# I/F I/O		08/15/2032		6,897,958
	13,911,718	Series 3704-EI		5.00%	I/O		12/15/2036		1,983,844
	7,848,032	Series 3712-SG		23.78%	# I/F		08/15/2040		10,862,937
	41,715,978	Series 3724-CM		5.50%			06/15/2037		46,992,298
	143,621,246	Series 3726-SA		5.81%	# I/F I/O		09/15/2040		18,386,837
	98,000,000	Series 3738-BP		4.00%			12/15/2038		105,019,887
	15,607,399	Series 3741-SC		9.52%	# I/F		10/15/2040		16,577,475
	11,762,380	Series 3745-SY		9.52%	# I/F		10/15/2040		11,581,214
	11,982,163	Series 3747-KS		14.27%	# I/F		10/15/2040		12,855,517

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 15

Schedule of Investments  DoubleLine Total Return Bond Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Federal Home Loan Mortgage Corporation, (Cont.)
$	25,521,170	Series 3748-CS		9.51%	# I/F		10/15/2040		25,400,830
	51,700,000	Series 3752-BS		9.51%	# I/F		11/15/2040		53,014,622
	18,829,197	Series 3758-SL		5.38%	# I/F		05/15/2039		18,608,758
	19,758,034	Series 3758-SM		9.51%	# I/F		11/15/2040		19,506,688
	6,407,834	Series 3764-S		9.42%	# I/F		11/15/2040		6,380,129
	7,070,092	Series 3768-MS		9.51%	# I/F		12/15/2040		7,052,062
	12,772,275	Series 3768-ZX		5.00%			12/15/2040		14,554,150
	18,900,000	Series 3771-AL		4.00%			12/15/2030		20,288,674
	18,761,630	Series 3779-BY		3.50%			12/15/2030		19,441,649
	27,207,887	Series 3779-DZ		4.50%			12/15/2040		26,841,291
	24,250,000	Series 3779-LB		4.00%			12/15/2030		25,890,532
	12,751,614	Series 3779-SH		9.32%	# I/F		12/15/2040		12,974,622
	3,500,000	Series 3779-YA		3.50%			12/15/2030		3,620,192
	10,308,107	Series 3780-BS		9.42%	# I/F		12/15/2040		10,320,569
	15,000,000	Series 3783-AC		4.00%			01/15/2031		16,052,961
	25,451,183	Series 3786-SG		9.02%	# I/F		01/15/2041		25,569,867
	11,731,674	Series 3788-AY		3.50%			01/15/2031		12,152,289
	15,167,493	Series 3793-SA		9.32%	# I/F		01/15/2041		15,431,034
	10,476,914	Series 3795-VZ		4.00%			01/15/2041		10,774,481
	3,328,518	Series 3796-CS		9.42%	# I/F		01/15/2041		3,345,193
	6,218,437	Series 3796-SK		9.42%	# I/F		01/15/2041		6,194,070
	9,586,506	Series 3798-SD		9.12%	# I/F		12/15/2040		9,687,272
	16,306,458	Series 3800-VZ		4.50%			02/15/2041		17,560,514
	60,491,233	Series 3806-CZ		5.50%			07/15/2034		71,130,643
	18,000,000	Series 3808-DB		3.50%			02/15/2031		18,642,366
	15,277,557	Series 3812-EY		3.50%			02/15/2031		15,828,340
	11,505,338	Series 3818-CZ		4.50%			03/15/2041		12,428,760
	16,902,526	Series 3819-ZU		5.50%			07/15/2034		19,751,296
	35,500,000	Series 3824-EY		3.50%			03/15/2031		36,752,380
	26,263,676	Series 3828-SW		12.47%	# I/F		02/15/2041		26,126,243
	17,885,000	Series 3838-TS		8.35%	# I/F		04/15/2041		17,926,117
	5,234,001	Series 3843-PZ		5.00%			04/15/2041		5,981,729
	8,746,781	Series 3843-SC		12.62%	# I/F		04/15/2041		8,789,586
	11,241,443	Series 3845-LS		12.62%	# I/F		03/15/2041		11,233,630
	64,900,997	Series 3863-ZA		5.50%			08/15/2034		75,667,410
	63,673,206	Series 3871-LZ		5.50%			06/15/2041		75,038,358
	172,678,919	Series 3872-BA		4.00%			06/15/2041		183,435,070
	30,000,000	Series 3877-EY		4.50%			06/15/2041		32,856,441
	12,378,000	Series 3877-GY		4.50%			06/15/2041		13,299,096
	47,231,583	Series 3877-ZU		4.50%			06/15/2041		48,836,149
	27,214,966	Series 3888-ZG		4.00%			07/15/2041		28,148,361
	77,120,554	Series 3900-SB		5.73%	# I/F I/O		07/15/2041		10,640,693
	36,387,577	Series 3901-VZ		4.00%			07/15/2041		37,721,010
	18,531,608	Series 3910-GZ		5.00%			08/15/2041		20,955,543
	8,236,270	Series 3910-ZE		5.00%			10/15/2034		9,574,892
	12,330,000	Series 3919-KL		4.50%			09/15/2041		13,159,127
	24,601,484	Series 3919-ZJ		4.00%			09/15/2041		25,513,857
	15,689,727	Series 3924-US		9.07%	# I/F		09/15/2041		15,767,565
	10,392,252	Series 3942-JZ		4.00%			10/15/2041		10,763,505
	57,980,661	Series 3946-SM		13.97%	# I/F		10/15/2041		60,242,063
	7,082,025	Series 3957-DZ		3.50%			11/15/2041		6,764,508
	122,968,522	Series 3969-AB		4.00%			10/15/2033		131,124,077
	10,058,418	Series 3982-AZ		3.50%			01/15/2042		9,587,786
	42,140,000	Series 3999-ZB		4.00%			02/15/2042		42,809,958
	23,893,308	Series 4016-KZ		4.00%			03/15/2042		23,176,509
	206,057,284	Series R003-ZA		5.50%			10/15/2035		235,064,399
		Federal National Mortgage Association,
	3,353,084	Series 2002-70-QZ		5.50%			11/25/2032		3,792,027
	7,939,516	Series 2002-75-ZG		5.50%			11/25/2032		8,759,065
	11,659,318	Series 2003-117-KS		6.86%	# I/F I/O		08/25/2033		1,317,244
	31,451,466	Series 2003-129-ZT		5.50%			01/25/2034		35,713,259
	14,689,187	Series 2003-29-ZL		5.00%			04/25/2033		16,437,926
	12,090,271	Series 2003-64-ZG		5.50%			07/25/2033		13,414,509
	19,566,253	Series 2003-84-PZ		5.00%			09/25/2033		22,821,072
	53,711,284	Series 2003-92-PZ		5.00%			09/25/2033		61,855,230
	19,500,000	Series 2003-W17-1A7		5.75%			08/25/2033		22,397,406
	18,896,867	Series 2004-46-PJ		5.76%	# I/F I/O		03/25/2034		2,489,301
	14,634,668	Series 2004-51-XP		7.46%	# I/F I/O		07/25/2034		2,445,084
	5,000,000	Series 2004-W10-A6		5.75%			08/25/2034		5,522,314
	7,000,000	Series 2004-W4-A5		5.50%			06/25/2034		7,864,334
	2,255,193	Series 2005-107-EG		4.50%			01/25/2026		2,436,940
	2,046,504	Series 2005-37-ZK		4.50%			05/25/2035		2,214,316
	40,234,891	Series 2005-87-SE		5.81%	# I/F I/O		10/25/2035		5,387,448
	32,721,146	Series 2005-87-SG		6.46%	# I/F I/O		10/25/2035		5,366,023

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Federal National Mortgage Association, (Cont.)
$	22,417,935	Series 2006-101-SA		6.34%	# I/F I/O		10/25/2036		3,238,177
	8,582,681	Series 2006-123-LI		6.08%	# I/F I/O		01/25/2037		1,246,076
	10,472,177	Series 2006-16-HZ		5.50%			03/25/2036		11,834,030
	41,770,160	Series 2006-56-SM		6.51%	# I/F I/O		07/25/2036		7,153,311
	11,994,189	Series 2006-93-SN		6.36%	# I/F I/O		10/25/2036		1,858,488
	10,501,527	Series 2007-116-BI		6.01%	# I/F I/O		05/25/2037		1,688,701
	53,589,165	Series 2007-14-PS		6.57%	# I/F I/O		03/25/2037		8,357,750
	6,299,252	Series 2007-2-SH		31.63%	# I/F		08/25/2036		9,281,333
	16,309,311	Series 2007-30-OI		6.20%	# I/F I/O		04/25/2037		2,486,798
	8,590,185	Series 2007-30-SI		5.87%	# I/F I/O		04/25/2037		1,037,523
	23,250,100	Series 2007-32-SG		5.86%	# I/F I/O		04/25/2037		3,387,721
	24,309,129	Series 2007-57-SX		6.38%	# I/F I/O		10/25/2036		3,845,505
	13,357,959	Series 2007-60-VZ		6.00%			07/25/2037		15,721,395
	12,291,567	Series 2007-71-GZ		6.00%			07/25/2047		14,369,873
	18,070,231	Series 2007-75-ID		5.63%	# I/F I/O		08/25/2037		2,415,392
	12,108,650	Series 2007-93-SB		3.91%	# I/F I/O		01/25/2036		678,535
	13,542,174	Series 2007-9-SD		6.41%	# I/F I/O		03/25/2037		2,174,371
	8,500,000	Series 2008-27-B		5.50%			04/25/2038		9,609,710
	17,234,127	Series 2008-29-ZA		4.50%			04/25/2038		18,790,748
	19,820,563	Series 2008-48-SD		5.76%	# I/F I/O		06/25/2037		2,372,611
	26,448,719	Series 2008-53-LI		5.91%	# I/F I/O		07/25/2038		3,793,720
	22,076,366	Series 2008-57-SE		5.76%	# I/F I/O		02/25/2037		3,033,935
	20,397,108	Series 2008-5-MS		6.01%	# I/F I/O		02/25/2038		3,040,540
	17,135,043	Series 2008-61-SC		5.76%	# I/F I/O		07/25/2038		2,140,453
	19,146,629	Series 2008-62-SC		5.76%	# I/F I/O		07/25/2038		2,424,712
	24,266,938	Series 2008-65-SA		5.76%	# I/F I/O		08/25/2038		3,286,962
	25,000,000	Series 2008-81-LP		5.50%			09/25/2038		28,330,550
	31,399,082	Series 2009-106-EZ		4.50%			01/25/2040		34,151,102
	32,785,367	Series 2009-111-SE		6.01%	# I/F I/O		01/25/2040		4,263,252
	3,041,449	Series 2009-16-MZ		5.00%			03/25/2029		3,387,690
	63,061,318	Series 2009-42-SI		5.76%	# I/F I/O		06/25/2039		7,782,252
	28,939,058	Series 2009-42-SX		5.76%	# I/F I/O		06/25/2039		3,938,528
	24,533,936	Series 2009-47-SA		5.86%	# I/F I/O		07/25/2039		3,191,117
	12,392,461	Series 2009-48-WS		5.71%	# I/F I/O		07/25/2039		1,394,152
	39,350,936	Series 2009-49-S		6.51%	# I/F I/O		07/25/2039		5,852,574
	7,580,856	Series 2009-51-BZ		4.50%			07/25/2039		8,256,021
	4,545,535	Series 2009-54-EZ		5.00%			07/25/2039		5,322,620
	28,472,956	Series 2009-70-SA		5.56%	# I/F I/O		09/25/2039		3,537,901
	10,000,000	Series 2009-80-PM		4.50%			10/25/2039		10,862,353
	20,139,063	Series 2009-83-Z		4.50%			10/25/2039		21,919,976
	36,221,046	Series 2009-85-ES		6.99%	# I/F I/O		01/25/2036		8,188,376
	35,736,015	Series 2009-90-IB		5.48%	# I/F I/O		04/25/2037		4,726,831
	5,950,063	Series 2009-94-BC		5.00%			11/25/2039		6,747,184
	48,389,824	Series 2010-101-SA		4.24%	# I/F I/O		09/25/2040		4,895,153
	18,625,588	Series 2010-101-ZC		4.50%			09/25/2040		19,266,852
	52,611,621	Series 2010-101-ZH		4.50%			07/25/2040		54,894,787
	51,932,424	Series 2010-10-SA		6.11%	# I/F I/O		02/25/2040		7,562,015
	12,225,195	Series 2010-10-ZA		4.50%			02/25/2040		13,296,987
	18,664,644	Series 2010-111-S		5.71%	# I/F I/O		10/25/2050		2,333,864
	11,646,123	Series 2010-116-Z		4.00%			10/25/2040		12,030,912
	30,442,720	Series 2010-117-SA		4.26%	# I/F I/O		10/25/2040		2,599,677
	127,014,918	Series 2010-121-SD		4.26%	# I/F I/O		10/25/2040		12,956,246
	6,923,990	Series 2010-126-SU		52.32%	# I/F		11/25/2040		9,305,286
	16,847,955	Series 2010-126-SX		14.27%	# I/F		11/25/2040		18,703,304
	11,619,758	Series 2010-128-HZ		4.00%			11/25/2040		11,861,729
	11,829,257	Series 2010-132-Z		4.50%			11/25/2040		12,734,494
	619,614	Series 2010-137-VS		14.27%	# I/F		12/25/2040		662,657
	6,470,000	Series 2010-142-AV		4.00%			11/25/2029		6,813,717
	28,381,960	Series 2010-150-ZA		4.00%			01/25/2041		28,874,435
	4,674,000	Series 2010-153-VB		4.00%			05/25/2027		5,006,241
	9,963,607	Series 2010-155-SA		9.51%	# I/F		01/25/2041		9,710,259
	68,097,011	Series 2010-16-SA		5.21%	# I/F I/O		03/25/2040		7,867,146
	3,043,042	Series 2010-21-DZ		5.00%			03/25/2040		3,412,212
	31,167,449	Series 2010-21-KS		4.71%	# I/F I/O		03/25/2040		2,772,959
	10,536,096	Series 2010-2-GS		6.21%	# I/F I/O		12/25/2049		1,370,539
	24,985,593	Series 2010-2-MS		6.01%	# I/F I/O		02/25/2050		3,410,346
	48,984,864	Series 2010-31-SA		4.76%	# I/F I/O		04/25/2040		4,905,868
	21,176,935	Series 2010-31-VZ		4.00%			04/25/2040		21,945,410
	59,919,585	Series 2010-34-PS		4.69%	# I/F I/O		04/25/2040		5,589,029
	12,629,847	Series 2010-35-ES		6.21%	# I/F I/O		04/25/2040		1,702,318
	22,129,235	Series 2010-35-SV		6.21%	# I/F I/O		04/25/2040		2,905,847
	23,236,330	Series 2010-46-MS		4.71%	# I/F I/O		05/25/2040		2,115,526
	21,108,476	Series 2010-49-ZW		4.50%			05/25/2040		22,685,619
	12,934,663	Series 2010-4-SK		5.99%	# I/F I/O		02/25/2040		2,061,796
	8,500,000	Series 2010-58-ES		11.85%	# I/F		06/25/2040		10,646,618

16 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Federal National Mortgage Association, (Cont.)
$	32,820,868	Series 2010-59-MS		5.53%	# I/F I/O		06/25/2040		4,260,165
	77,781,792	Series 2010-59-PS		6.21%	# I/F I/O		03/25/2039		10,576,356
	46,927,316	Series 2010-59-SC		4.76%	# I/F I/O		01/25/2040		4,744,718
	8,580,041	Series 2010-60-VZ		5.00%			10/25/2039		9,375,918
	5,000,000	Series 2010-61-EL		4.50%			06/25/2040		5,506,809
	11,929,375	Series 2010-64-EZ		5.00%			06/25/2040		13,834,414
	35,257,193	Series 2010-76-ZK		4.50%			07/25/2040		38,115,970
	31,594,225	Series 2010-79-VZ		4.50%			07/25/2040		34,187,106
	21,554,659	Series 2010-84-ZC		4.50%			08/25/2040		23,425,974
	43,109,318	Series 2010-84-ZD		4.50%			08/25/2040		46,851,949
	39,194,992	Series 2010-84-ZG		4.50%			08/25/2040		41,325,240
	13,804,329	Series 2010-90-SA		5.61%	# I/F I/O		08/25/2040		1,693,235
	5,997,584	Series 2010-94-Z		4.50%			08/25/2040		6,470,421
	22,786,607	Series 2010-99-SG		23.78%	# I/F		09/25/2040		30,250,601
	35,201,604	Series 2010-9-DS		5.06%	# I/F I/O		02/25/2040		3,761,964
	29,183,019	Series 2011-110-LS		9.61%	# I/F		11/25/2041		28,893,935
	6,790,328	Series 2011-111-EZ		5.00%			11/25/2041		7,756,739
	14,234,894	Series 2011-111-VZ		4.00%			11/25/2041		14,634,523
	7,223,064	Series 2011-11-SC		9.02%	# I/F		03/25/2041		7,379,886
	41,379,753	Series 2011-123-SC		9.31%	# I/F		12/25/2041		43,286,114
	54,986,257	Series 2011-127-PM		4.00%			12/25/2041		54,570,203
	13,968,607	Series 2011-14-US		7.77%	# I/F		03/25/2041		13,867,987
	29,500,000	Series 2011-16-AL		3.50%			03/25/2031		30,362,831
	38,800,000	Series 2011-17-NY		3.50%			03/25/2031		40,147,113
	16,679,995	Series 2011-17-SA		6.23%	# I/F I/O		03/25/2041		2,412,329
	20,438,853	Series 2011-18-S		9.00%	# I/F		03/25/2041		20,870,416
	3,035,209	Series 2011-23-KS		8.82%	# I/F		02/25/2041		3,062,705
	11,000,000	Series 2011-25-KY		3.00%			04/25/2026		11,312,486
	17,243,974	Series 2011-27-BS		8.51%	# I/F		04/25/2041		17,430,712
	56,000,000	Series 2011-29-AL		3.50%			04/25/2031		57,657,113
	15,715,371	Series 2011-2-GZ		4.00%			02/25/2041		16,090,308
	6,592,569	Series 2011-2-SC		9.11%	# I/F		02/25/2041		6,607,832
	10,000,000	Series 2011-2-VD		4.00%			07/25/2027		10,719,716
	8,136,330	Series 2011-35-SE		8.41%	# I/F		04/25/2041		8,207,292
	17,934,781	Series 2011-36-VZ		4.50%			05/25/2041		19,414,940
	25,516,242	Series 2011-37-Z		4.50%			05/25/2041		26,773,540
	7,144,785	Series 2011-38-SC		8.42%	# I/F		05/25/2041		7,237,867
	8,748,233	Series 2011-39-CB		3.00%			05/25/2026		8,969,834
	16,531,841	Series 2011-40-LZ		4.50%			05/25/2041		17,902,268
	22,764,885	Series 2011-42-MZ		4.50%			05/25/2041		24,490,486
	24,605,506	Series 2011-45-ZB		4.50%			05/25/2041		25,846,849
	11,000,000	Series 2011-48-SC		8.72%	# I/F		06/25/2041		11,320,674
	20,062,765	Series 2011-59-MA		4.50%			07/25/2041		21,688,091
	13,969,748	Series 2011-60-EL		3.00%			07/25/2026		14,288,960
	15,456,047	Series 2011-63-ZE		4.00%			08/25/2038		16,288,666
	175,548,021	Series 2011-64-DB		4.00%			07/25/2041		185,699,611
	20,745,206	Series 2011-72-LZ		5.50%			04/25/2037		24,314,061
	12,000,000	Series 2011-74-KL		5.00%			06/25/2040		13,523,459
	14,377,718	Series 2011-77-CZ		4.00%			08/25/2041		14,402,070
	21,371,728	Series 2011-77-Z		3.50%			08/25/2041		20,466,261
	7,880,089	Series 2011-87-US		13.22%	# I/F		09/25/2041		7,934,353
	21,787,531	Series 2011-8-AV		4.00%			01/25/2030		23,247,701
	4,332,395	Series 2011-8-HS		9.12%	# I/F		02/25/2041		4,376,832
	92,273,568	Series 2011-99-DZ		5.00%			10/25/2041		106,841,009
	8,528,333	Series 2012-14-BZ		4.00%			03/25/2042		8,512,589
	18,487,246	Series 2012-15-PZ		4.00%			03/25/2042		18,385,223
	45,000,000	Series 2012-30-DZ		4.00%			04/25/2042		43,432,200
	37,000,000	Series 2012-31-Z		4.00%			04/25/2042		37,069,375
	59,498,946	Series 400-S4		5.21%	# I/F I/O		11/25/2039		6,867,508
		Federal National Mortgage Association Pass-Thru,
	72,483,168	Pool 555743		5.00%			09/01/2033		78,491,888
	75,319,772	Pool 735141		5.50%			01/01/2035		82,654,713
	26,678,623	Pool 735230		5.50%			02/01/2035		29,276,695
	53,985,924	Pool 735382		5.00%			04/01/2035		58,435,951
	87,557,895	Pool 735402		5.00%			04/01/2035		94,775,239
	65,187,003	Pool 735484		5.00%			05/01/2035		70,499,215
	22,676,805	Pool 735667		5.00%			07/01/2035		24,546,040
	22,262,189	Pool 735893		5.00%			10/01/2035		24,076,376
	55,997,867	Pool 745275		5.00%			02/01/2036		60,561,239
	7,961,827	Pool 745571		4.00%			01/01/2019		8,500,343
	2,942,164	Pool 888695		5.00%			08/01/2037		3,181,007
	8,708,213	Pool 888968		5.00%			08/01/2035		9,426,026
	36,344,867	Pool 889509		6.00%			05/01/2038		40,086,339
	102,892,482	Pool 889662		6.00%			06/01/2038		113,484,605

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Federal National Mortgage Association Pass-Thru, (Cont.)
$	119,276,233	Pool 890385		6.00%			12/01/2039		131,554,957
	17,911,568	Pool 929321		5.50%			03/01/2038		19,535,525
	4,459,603	Pool 931104		5.00%			05/01/2039		4,877,721
	10,353,574	Pool 961410		6.00%			01/01/2038		11,419,408
	2,976,640	Pool 975116		5.00%			05/01/2038		3,218,282
	24,999,653	Pool 982036		6.00%			05/01/2038		27,573,207
	11,782,560	Pool 986864		6.50%			08/01/2038		13,292,973
	15,247,027	Pool 987316		6.50%			09/01/2038		17,201,552
	129,338,358	Pool 995023		5.50%			08/01/2037		141,590,292
	46,771,783	Pool 995070		5.50%			08/01/2037		51,326,607
	171,997,136	Pool 995112		5.50%			07/01/2036		188,746,908
	91,254,405	Pool 995203		5.00%			07/01/2035		98,819,225
	12,507,329	Pool 995581		6.00%			01/01/2039		13,801,376
	153,692,944	Pool 995849		5.00%			08/01/2036		166,433,803
	79,754,066	Pool AB2123		4.00%			01/01/2031		84,658,298
	3,810,010	Pool AB2370		4.50%			09/01/2035		3,976,180
	13,780,409	Pool AB3713		4.00%			10/01/2031		14,627,793
	38,052,233	Pool AB3850		4.00%			11/01/2041		39,428,942
	3,159,172	Pool AC1032		5.00%			06/01/2040		3,334,184
	206,726,801	Pool AD0189		5.50%			02/01/2039		226,309,569
	72,994,092	Pool AD0500		5.50%			09/01/2036		80,228,008
	3,916,409	Pool AD2177		4.50%			06/01/2030		4,171,054
	6,950,886	Pool AD6438		5.00%			06/01/2040		7,512,983
	1,691,379	Pool AD7018		5.00%			04/01/2040		1,785,079
	4,015,985	Pool AD7859		5.00%			06/01/2040		4,374,636
	16,629,263	Pool AH1140		4.50%			12/01/2040		17,354,531
	45,159,089	Pool AH4437		4.00%			01/01/2041		46,792,920
	8,597,051	Pool AH7309		4.00%			02/01/2031		9,125,700
	51,691,142	Pool AH9323		4.00%			04/01/2026		54,928,933
	22,073,870	Pool AI8889		4.00%			08/01/2041		22,872,491
	18,757,317	Pool AJ1265		4.00%			09/01/2041		19,435,947
	30,955,816	Pool AJ1399		4.00%			09/01/2041		32,075,780
	40,438,776	Pool AJ3392		4.00%			10/01/2041		41,901,829
	106,766,070	Pool AJ7677		3.50%			12/01/2041		108,786,231
	44,933,398	Pool AK4039		4.00%			02/01/2042		46,559,063
	29,824,709	Pool AK4763		4.00%			02/01/2042		30,903,751
	68,528,819	Pool AL1485		6.00%			01/01/2040		75,711,914
	32,593,635	Pool AL1548		6.00%			07/01/2039		36,091,538
	68,712,633	Pool AL1554		6.00%			01/01/2040		76,013,350
	15,462,723	Pool MA0264		4.50%			12/01/2029		16,477,776
	924,543	Pool MA0315		4.50%			01/01/2025		984,043
	59,114,720	Pool MA0353		4.50%			03/01/2030		62,958,371
	13,746,418	Pool MA0406		4.50%			05/01/2030		14,640,213
	1,753,839	Pool MA0445		5.00%			06/01/2040		1,850,998
	5,019,327	Pool MA0459		4.00%			07/01/2020		5,321,176
	5,691,446	Pool MA0468		5.00%			07/01/2040		6,006,742
	15,767,122	Pool MA0502		4.00%			08/01/2020		16,715,314
	6,969,777	Pool MA0517		4.00%			09/01/2020		7,395,890
	18,133,219	Pool MA0534		4.00%			10/01/2030		19,248,266
	37,572,935	Pool MA0536		4.00%			10/01/2020		39,832,468
	44,971,524	Pool MA0580		4.00%			11/01/2020		47,675,988
	3,301,986	Pool MA0587		4.00%			12/01/2030		3,505,031
	76,493,480	Pool MA0616		4.00%			01/01/2031		81,197,212
	52,765,472	Pool MA0871		4.00%			10/01/2041		54,674,497
	67,391,926	Pool MA0896		4.00%			11/01/2041		69,830,128
	39,731,322	Pool MA3894		4.00%			09/01/2031		42,174,478
		Government National Mortgage Association,
	14,700,000	Series 2003-67-SP		6.86%	# I/F I/O		08/20/2033		4,491,967
	14,305,852	Series 2003-86-ZK		5.00%			10/20/2033		16,255,752
	5,724,614	Series 2004-49-Z		6.00%			06/20/2034		6,824,551
	6,500,000	Series 2004-80-PH		5.00%			07/20/2034		7,254,033
	27,517,766	Series 2004-83-CS		5.84%	# I/F I/O		10/20/2034		4,553,422
	2,836,072	Series 2005-21-Z		5.00%			03/20/2035		3,215,471
	18,562,501	Series 2005-39-ZB		5.00%			07/20/2034		21,197,845
	1,751,805	Series 2006-24-CX		38.19%	#		05/20/2036		3,101,299
	52,379,660	Series 2007-26-SJ		4.45%	# I/F I/O		04/20/2037		5,647,564
	18,189,041	Series 2008-2-SM		6.26%	# I/F I/O		01/16/2038		3,239,970
	35,747,315	Series 2008-42-AI		7.45%	# I/F I/O		05/16/2038		6,717,818
	18,592,662	Series 2008-43-SH		6.09%	# I/F I/O		05/20/2038		3,043,868
	20,826,409	Series 2008-51-SC		6.01%	# I/FI/O		06/20/2038		3,419,844
	11,192,601	Series 2008-51-SE		6.01%	# I/F I/O		06/16/2038		1,737,048
	8,141,621	Series 2008-82-SM		5.81%	# I/F I/O		09/20/2038		1,197,944
	10,520,432	Series 2008-83-SD		6.32%	# I/F I/O		11/16/2036		1,799,974
	20,080,817	Series 2009-10-NS		6.41%	# I/F I/O		02/16/2039		3,805,279

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 17

Schedule of Investments  DoubleLine Total Return Bond Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Government National Mortgage Association, (Cont.)
$	12,500,000	Series 2009-24-SN		5.86%	# I/F I/O		09/20/2038		2,197,530
	1,853,485	Series 2009-31-ZM		4.50%			08/20/2038		1,783,744
	24,985,708	Series 2009-32-ZE		4.50%			05/16/2039		27,583,497
	62,464,271	Series 2009-35-DZ		4.50%			05/20/2039		67,594,280
	4,506,064	Series 2009-41-ZQ		4.50%			06/16/2039		4,690,105
	14,338,425	Series 2009-48-Z		5.00%			06/16/2039		16,296,958
	9,607,968	Series 2009-50-KP		4.50%			06/20/2039		10,442,086
	20,547,645	Series 2009-69-TS		5.96%	# I/F I/O		04/16/2039		2,835,501
	8,950,695	Series 2009-75-GZ		4.50%			09/20/2039		9,706,350
	31,953,487	Series 2009-87-IG		6.50%	# I/F I/O		03/20/2037		4,644,631
	19,470,798	Series 2010-166-SJ		9.31%	# I/F		12/20/2040		19,623,418
	8,491,082	Series 2010-25-ZB		4.50%			02/16/2040		8,702,081
	33,130,351	Series 2010-42-ES		5.44%	# I/F I/O		04/20/2040		5,361,862
	14,500,449	Series 2010-61-AS		6.31%	# I/F I/O		09/20/2039		2,226,289
	7,331,036	Series 2010-62-ZG		5.50%			05/16/2040		8,605,863
	12,959,300	Series 2011-12-PO		0.00%	P/O		12/20/2040		9,279,704
	9,531,668	Series 2011-14-SM		9.22%	# I/F		08/16/2040		9,405,694
	7,833,334	Series 2011-18-SN		9.02%	# I/F		12/20/2040		7,732,092
	8,333,334	Series 2011-18-YS		9.02%	# I/F		12/20/2040		8,225,077
	10,420,322	Series 2011-51-UZ		4.50%			04/20/2041		11,143,088
	16,054,411	Series 2011-69-OC		0.00%	P/O		05/20/2041		13,596,447
	21,662,847	Series 2011-71-ZA		4.50%			02/20/2041		23,191,648
	48,875,383	Series 2011-72-SK		5.91%	# I/F I/O		05/20/2041		7,696,959
		Total US Government / Agency Mortgage backed Securities (Cost $8,600,412,462)							9,044,932,798
	SHORT TERM INVESTMENTS 22.8%
	50,000,000	Fannie Mae Discount Note		0.00%			05/16/2012		49,995,156
	50,000,000	Fannie Mae Discount Note		0.00%			05/21/2012		49,995,849
	70,000,000	Fannie Mae Discount Note		0.00%			05/23/2012		69,990,575
	50,000,000	Fannie Mae Discount Note		0.00%			07/25/2012		49,993,650
	25,000,000	Federal Farm Credit Discount Note		0.00%			08/17/2012		24,995,250
	50,000,000	Federal Farm Credit Discount Note		0.00%			09/10/2012		49,979,900
	25,000,000	Federal Farm Credit Discount Note		0.00%			09/13/2012		24,989,750
	30,000,000	Federal Farm Credit Discount Note		0.00%			11/27/2012		29,978,100
	50,000,000	Federal Home Loan Banks		1.13%			05/18/2012		50,063,850
	100,000,000	Federal Home Loan Banks		1.38%			06/08/2012		100,229,000
	50,000,000	Federal Home Loan Banks		1.88%			06/20/2012		50,189,450
	50,000,000	Federal Home Loan Banks		0.25%			07/20/2012		50,018,750
	88,770,000	Federal Home Loan Banks		0.25%			07/25/2012		88,804,798
	100,000,000	Federal Home Loan Banks		0.16%			08/17/2012		100,013,100
	100,000,000	Federal Home Loan Banks		0.22%			08/22/2012		100,036,900
	100,000,000	Federal Home Loan Banks		1.75%			08/22/2012		100,631,500
	100,000,000	Federal Home Loan Banks		0.23%			08/28/2012		100,042,600
	100,000,000	Federal Home Loan Banks		0.20%			09/14/2012		100,031,400
	70,000,000	Federal Home Loan Banks		1.63%			09/26/2012		70,504,070
	12,232,500	Federal Home Loan Banks		0.35%			10/03/2012		12,245,454
	25,000,000	Federal Home Loan Banks		0.24%			10/10/2012		25,012,225
	50,000,000	Federal Home Loan Banks		0.20%			10/30/2012		50,010,000

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE		MATURITY		VALUE $
$	20,000,000	Federal Home Loan Banks		0.23%		10/30/2012		20,010,940
	57,165,000	Federal Home Loan Banks		4.50%		11/15/2012		58,667,468
	50,000,000	Federal Home Loan Banks		0.21%		11/16/2012		50,012,150
	125,000,000	Federal Home Loan Banks		0.20%		11/19/2012		125,022,125
	100,000,000	Federal Home Loan Banks		1.63%		11/21/2012		100,923,000
	15,000,000	Federal Home Loan Banks		0.32%		11/23/2012		15,004,440
	100,000,000	Federal Home Loan Banks		0.18%		11/28/2012		100,003,400
	50,000,000	Federal Home Loan Banks		0.19%		11/28/2012		50,004,950
	150,000,000	Federal Home Loan Banks		1.75%		12/14/2012		151,593,450
	50,000,000	Federal Home Loan Banks		0.18%		12/27/2012		49,989,750
	100,000,000	Federal Home Loan Discount Note		0.00%		04/04/2012		99,999,750
	50,000,000	Federal Home Loan Discount Note		0.00%		04/11/2012		49,999,028
	75,000,000	Federal Home Loan Discount Note		0.00%		04/18/2012		74,997,320
	75,000,000	Federal Home Loan Discount Note		0.00%		04/25/2012		74,996,750
	50,000,000	Federal Home Loan Discount Note		0.00%		05/16/2012		49,995,156
	100,000,000	Federal Home Loan Discount Note		0.00%		05/23/2012		99,987,722
	25,000,000	Federal Home Loan Discount Note		0.00%		06/11/2012		24,998,050
	25,000,000	Federal Home Loan Discount Note		0.00%		06/13/2012		24,998,000
	50,000,000	Federal Home Loan Discount Note		0.00%		07/18/2012		49,994,050
	50,000,000	Federal Home Loan Discount Note		0.00%		07/20/2012		49,993,950
	50,000,000	Federal Home Loan Discount Note		0.00%		09/21/2012		49,978,500
	36,496,000	Federal Home Loan Mortgage Corporation		1.75%		06/15/2012		36,616,911
	100,000,000	Federal Home Loan Mortgage Corporation		5.13%		07/15/2012		101,459,000
	150,000,000	Federal Home Loan Mortgage Corporation		1.13%		07/27/2012		150,459,600
	50,000,000	Federal Home Loan Mortgage Corporation		5.50%		08/20/2012		51,029,550
	125,000,000	Federal Home Loan Mortgage Corporation		0.38%		11/30/2012		125,214,250
	150,000,000	Federal Home Loan Mortgage Corporation		4.13%		12/21/2012		154,216,500
	100,000,000	Federal Home Loan Mortgage Corporation		0.63%		12/28/2012		100,324,900
	150,000,000	Federal Home Loan Mortgage Corporation		0.75%		12/28/2012		150,625,800
	43,170,000	Federal National Mortgage Association		1.00%		04/04/2012		43,172,115
	100,000,000	Federal National Mortgage Association		1.25%		06/22/2012		100,249,800
	100,000,000	Federal National Mortgage Association		1.13%		07/30/2012		100,327,600
	105,000,000	Federal National Mortgage Association		4.38%		09/15/2012		107,016,525
	66,310,000	Federal National Mortgage Association		0.63%		09/24/2012		66,481,478
	50,000,000	Federal National Mortgage Association		0.50%		10/30/2012		50,067,700
	184,000,000	Federal National Mortgage Association		0.50%		10/30/2012		184,355,488
	85,000,000	Federal National Mortgage Association		0.38%		12/28/2012		85,163,370
	50,000,000	Freddie Mac Discount Note		0.00%		05/25/2012		49,993,250

18 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	50,000,000	Freddie Mac Discount Note		0.00%			06/12/2012		49,996,050
	75,051,000	Freddie Mac Discount Note		0.00%			06/26/2012		75,043,946
	50,000,000	Freddie Mac Discount Note		0.00%			07/06/2012		49,994,700
	50,000,000	Freddie Mac Discount Note		0.00%			07/16/2012		49,994,150
	50,000,000	Freddie Mac Discount Note		0.00%			12/28/2012		49,951,300
	449,263,587	Fidelity Institutional Government Portfolio		0.01%	¨				449,263,587
		Total Short Term Investments (Cost $5,100,051,558)							5,099,938,846
		Total Investments - 100.8% (Cost $22,213,442,003)							22,530,007,419
		Liabilities in Excess of Other Assets - (0.8)%							(187,659,825	)
		NET ASSETS - 100.0%						$	22,342,347,594

PORTFOLIO HOLDINGS as % of Net Assets
US Government / Agency Mortgage Backed Securities	40.5%
Non-Agency Collateralized Mortgage Obligations	37.4%
Short Term Investments	22.8%
Collateralized Loan Obligations	0.1%
Other Assets and Liabilities	(0.8)%
	100.0%

# Variable rate security. Rate disclosed as of March 31, 2012.

^ 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. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2012, the value of these securities amounted to $1,693,752,165 or 7.6% of net assets.

  I/O Interest only security

  I/F Inverse floating rate security whose interest rate moves in the opposite direction of prevailing interest rates

P/O Principal only security

¨ Seven-day yield as of March 31, 2012

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 19

Schedule of Investments  DoubleLine Core Fixed Income Fund

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS 20.6%
		Adjustable Rate Mortgage Trust,
$	156,968	Series 2007-3-1A1		3.56%	#^		11/25/2037		79,803
		American General Mortgage Loan Trust,
	4,000,000	Series 2010-1-A3		5.65%	#^		03/25/2058		4,214,552
		Banc of America Commercial Mortgage, Inc.,
	250,000	Series 2001-3-H		6.56%	^		04/11/2037		250,323
	400,000	Series 2007-1-A4		5.45%			01/15/2049		452,537
		Banc of America Funding Corporation,
	6,468,209	Series 2005-G-A3		5.21%	#		10/20/2035		5,857,025
	2,677,663	Series 2006-2-6A2		5.50%			03/25/2036		2,654,573
	2,043,944	Series 2006-6-1A2		6.25%			08/25/2036		1,950,226
		Banc of America Mortgage Securities, Inc.,
	1,376,039	Series 2004-8-4A1		5.50%			09/25/2024		1,402,084
		BCAP LLC Trust,
	3,116,846	Series 2009-RR13-6A5		6.00%	#^		04/26/2037		3,214,797
		Bear Stearns Asset Backed Securities Trust,
	361,287	Series 2007-SD1-1A3A		6.50%			10/25/2036		239,832
		Bear Stearns Commercial Mortgage Securities, Inc.,
	510,285	Series 2001-TOP2-C		6.83%	#		02/15/2035		512,336
	375,000	Series 2006-PW13-AM		5.58%	#		09/11/2041		400,700
		CD Commercial Mortgage Trust,
	400,000	Series 2006-CD3-AM		5.65%			10/15/2048		410,236
	1,166,000	Series 2007-CD4-A4		5.32%			12/11/2049		1,280,231
	399,999	Series 2007-CD4-ASB		5.28%			12/11/2049		416,875
	119,033,837	Series 2007-CD5-XP		0.32%	#^ I/O		11/15/2044		600,883
		Chase Mortgage Finance Corporation,
	12,375,632	Series 2007-A2-6A4		4.02%	#		07/25/2037		10,826,920
	3,678,367	Series 2007-S3-2A1		5.50%			05/25/2037		3,620,801
		Citi Mortgage Alternative Loan Trust,
	430,353	Series 2006-A2-A2		6.00%			05/25/2036		272,633
	203,581	Series 2006-A5-3A3		6.00%			10/25/2036		151,605
	409,272	Series 2007-A1-1A7		6.00%			01/25/2037		265,344
		Citicorp Mortgage Securities, Inc.,
	383,216	Series 2005-1-1A4		5.50%			02/25/2035		389,343
		Citicorp Residential Mortgage Securities, Inc.,
	1,800,000	Series 2006-2-A5		6.04%	#		09/25/2036		1,515,240
		Citigroup Commercial Mortgage Trust,
	700,000	Series 2005-C3-AM		4.83%	#		05/15/2043		730,181
		Citigroup Mortgage Loan Trust, Inc.,
	527,772	Series 2006-WF2-A2C		5.85%	#		05/25/2036		323,684
	4,928,000	Series 2008-AR4-2A1B		4.57%	#^		11/25/2038		2,623,110
	3,000,000	Series 2010-8-5A4		11.27%	#^		11/25/2036		2,145,000
	16,000,000	Series 2010-8-6A4		9.57%	#^		12/25/2036		10,659,999
	4,551,353	Series 2011-12-3A1		5.59%	^		09/25/2047		4,597,101
		Commercial Mortgage Acceptance Corporation,
	740,063	Series 1998-C2-F		5.44%	#^		09/15/2030		768,931
		Commercial Mortgage Asset Trust,
	150,000	Series 1999-C1-B		7.23%	#		01/17/2032		159,905
		Commercial Mortgage Pass-Through Certificates,
	5,000,000	Series 2002-LC4-XA		2.72%	#^ I/O		12/10/2044		795,350
	985,000	Series 2006-C7-AM		5.96%	#		06/10/2046		1,031,878
	3,670,141	Series 2010-C1-XPA		2.59%	#^ I/O		07/10/2046		254,855
	400,000	Series 2011-THL-E		5.95%	^		06/09/2028		407,549
		Countrywide Alternative Loan Trust,
	563,128	Series 2005-20CB-1A1		5.50%			07/25/2035		476,355
	482,407	Series 2005-28CB-3A6		6.00%			08/25/2035		337,875
	2,824,315	Series 2005-46CB-A22		5.25%			10/25/2035		2,151,145
	684,790	Series 2005-J10-1A13		0.94%	#		10/25/2035		438,227
	1,035,934	Series 2006-26CB-A9		6.50%			09/25/2036		647,118
	3,741,972	Series 2007-12T1-A1		6.00%			06/25/2037		2,451,974
	3,997,007	Series 2007-16CB-2A1		0.69%	#		08/25/2037		1,742,423
	1,157,433	Series 2007-16CB-2A2		52.57%	# I/F		08/25/2037		2,547,136
	311,344	Series 2007-17CB-1A10		28.79%	# I/F		08/25/2037		496,845
	1,576,082	Series 2007-18CB-2A17		6.00%			08/25/2037		1,138,179
	6,408,098	Series 2007-23CB-A3		0.74%	#		09/25/2037		3,297,220
	6,296,123	Series 2007-23CB-A4		6.26%	# I/F I/O		09/25/2037		1,340,239
	1,081,387	Series 2007-4CB-2A1		7.00%			03/25/2037		399,680

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Countrywide Asset-Backed Certificates,
$	234,470	Series 2005-13-AF3		5.43%	#		04/25/2036		176,160
		Countrywide Home Loans,
	620,098	Series 2002-32-2A6		5.00%			01/25/2018		638,338
	1,497,353	Series 2005-28-A7		5.25%			01/25/2019		1,304,229
	2,906,744	Series 2007-10-A5		6.00%			07/25/2037		2,269,436
	1,228,803	Series 2007-15-1A16		6.25%			09/25/2037		1,064,815
	3,084,555	Series 2007-3-A17		6.00%			04/25/2037		2,565,036
		Credit Suisse First Boston Mortgage Securities Corporation,
	1,000,000	Series 1998-C2-F		6.75%	#^		11/15/2030		1,085,240
	325,000	Series 2001-CF2-G		6.93%^			02/15/2034		320,898
	270,516	Series 2005-10-5A5		5.50%			11/25/2035		209,867
	4,616,831	Series 2005-8-1A3		5.25%			09/25/2035		4,074,409
	4,602,176	Series 2005-8-9A4		5.50%			09/25/2035		4,003,140
		Credit Suisse Mortgage Capital Certificates,
	10,710,713	Series 2006-4-6A1		6.00%			05/25/2036		9,286,986
	782,893	Series 2006-4-7A1		5.50%			05/25/2021		756,482
	4,252,553	Series 2006-7-1A3		5.00%			08/25/2036		3,291,874
	880,000	Series 2006-C3-AM		6.01%	#		06/15/2038		931,172
	368,207	Series 2007-1-3A1		6.00%			02/25/2022		286,435
	1,645,679	Series 2007-2-2A1		5.00%			03/25/2037		1,608,538
	5,948,467	Series 2007-2-2A5		5.00%			03/25/2037		5,567,718
	10,000,000	Series 2010-4R-3A17		9.94%	#^		06/26/2037		6,936,490
		Crest Ltd.,
	631,820	Series 2003-2A-A1		0.95%	#^		12/28/2018		582,065
		DBUBS Mortgage Trust,
	5,947,930	Series 2011-LC2A-XA		1.62%	#^ I/O		07/10/2044		447,281
		Deutsche Mortgage Securities, Inc.,
	3,967,980	Series 2006-PR1-3A1		11.79%	#^ I/F		04/15/2036		4,161,462
	352,970	Series 2006-PR1-4AI2		14.14%	#^ I/F		04/15/2036		400,661
	2,217,479	Series 2006-PR1-5AI4		11.79%	#^ I/F		04/15/2036		2,387,856
		First Horizon Alternative Mortgage Securities,
	1,083,211	Series 2006-FA2-1A5		6.00%			05/25/2036		751,175
	279,769	Series 2006-RE1-A1		5.50%			05/25/2035		239,550
		First Union Commercial Mortgage Securities, Inc.,
	136,183	Series 2000-C2-G		8.70%	#		10/15/2032		136,242
		GE Capital Commercial Mortgage Corporation,
	257,520,567	Series 2005-C3-XP		0.25%	# I/O		07/10/2045		165,843
	630,000	Series 2005-C4-AM		5.44%	#		11/10/2045		654,664
		GMAC Commercial Mortgage Securities, Inc.,
	794,000	Series 2006-C1-AM		5.29%	#		11/10/2045		812,873
		Greenwich Capital Commercial Funding Corporation,
	300,000	Series 2004-FL2A-D		0.55%	#^		11/05/2019		295,122
	100,000	Series 2004-FL2A-F		0.64%	#^		11/05/2019		93,887
	795,000	Series 2007-GG9-A4		5.44%			03/10/2039		878,204
		GS Mortgage Securities Corporation II,
	355,000	Series 2006-GG6-AM		5.62%	#		04/10/2038		367,266
	19,899,572	Series 2006-GG6-XC		0.15%	#^ I/O		04/10/2038		30,864
	735,000	Series 2007-GG10-A4		5.98%	#		08/10/2045		818,728
	800,000	Series 2012-GC6-AS		4.95%	^		01/10/2045		878,058
	5,992,060	Series 2012-GC6-XA		2.41%	#^ I/O		01/10/2045		855,957
		GSAA Home Equity Trust,
	2,221,010	Series 2005-7-AF5		4.61%	#		05/25/2035		2,069,011
	75,765	Series 2006-4-4A1		0.34%	#		03/25/2036		73,158
	3,843,367	Series 2007-10-A1A		6.00%			11/25/2037		2,804,019
	2,693,448	Series 2007-10-A2A		6.50%			11/25/2037		1,731,334
		GSR Mortgage Loan Trust,
	577,354	Series 2006-2F-5A1		4.50%			01/25/2021		545,892
	17,489,715	Series 2006-3F-4A1		6.00%			03/25/2036		14,798,703
	8,311,732	Series 2007-1F-2A2		5.50%			01/25/2037		7,963,479
		HSBC Asset Loan Obligation,
	495,873	Series 2006-2-2A1		5.50%			12/25/2021		459,936
	11,365,401	Series 2007-2-3A6		6.00%			09/25/2037		9,424,503
		Indymac Mortgage Loan Trust,
	12,845,762	Series 2006-AR3-1A1		2.76%	#		12/25/2036		8,594,265

20 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		JP Morgan Alternative Loan Trust,
$	500,000	Series 2006-S2-A4		6.19%	#		05/25/2036		254,355
	10,000,000	Series 2006-S3-A4		6.31%	#		08/25/2036		5,909,645
	3,420,523	Series 2006-S3-A6		6.12%	#		08/25/2036		3,138,048
	3,913,283	Series 2006-S4-A6		5.71%	#		12/25/2036		3,466,678
		JP Morgan Chase Commercial Mortgage Securities Corporation,
	800,000	Series 2001-C5-AS		5.49%	#^		08/15/2046		882,769
	10,792	Series 2001-CIBC-E		7.30%	#		03/15/2033		10,790
	625,987	Series 2003-CB6-A1		4.39%			07/12/2037		631,711
	640,000	Series 2003-LN1-D		5.20%	#		10/15/2037		642,368
	1,000,000	Series 2004-C3-A4		4.66%			01/15/2042		999,876
	1,065,000	Series 2006-CB16-A4		5.55%			05/12/2045		1,197,174
	835,880	Series 2006-CB16-X2		0.70%	# I/O		05/12/2045		6,087
	721,416	Series 2006-FL1-AG		0.71%	#^		02/15/2020		613,208
	46,148,872	Series 2006-LDP8-X		0.74%	# I/O		05/15/2045		928,146
	1,750,000	Series 2007-C1-A4		5.72%			02/15/2051		1,943,751
	750,000	Series 2007-CB18-A4		5.44%			06/12/2047		837,842
	750,000	Series 2007-CB20-A4		5.79%	#		02/12/2051		863,190
	400,000	Series 2007-CIBC18-AM		5.47%	#		06/12/2047		413,543
	1,000,000	Series 2007-CIBC19-A4		5.93%	#		02/12/2049		1,130,216
	400,000	Series 2007-CIBC19-AM		5.93%	#		02/12/2049		395,837
	12,050,000	Series 2009-IWST-XB		0.54%	#^ I/F I/O		12/05/2027		271,426
	12,868,831	Series 2011-C4-XA		1.79%	#^ I/O		07/15/2046		990,276
	600,000	Series 2011-PLSD-A2		3.36%	#		11/13/2044		628,840
		JP Morgan Mortgage Trust,
	933,697	Series 2007-S3-1A7		6.00%			08/25/2037		738,493
		JP Morgan Research Trust,
	10,105,458	Series 2011-2-2A3		3.50%	#^		07/26/2036		10,344,810
		LB-UBS Commercial Mortgage Trust,
	1,000,000	Series 2004-C2-A4		4.37%			03/15/2036		1,054,077
	175,718	Series 2004-C4-A3		5.30%	#		06/15/2029		180,069
	10,673,220	Series 2006-C7-XCL		0.34%	#^ I/O		11/15/2038		190,538
	8,607,797	Series 2006-C7-XW		0.84%	#^ I/O		11/15/2038		211,218
	76,194,429	Series 2007-C2-XCP		0.68%	# I/O		02/15/2040		724,457
		Leaf II Receivables Funding LLC,
	2,500,000	Series 2010-4-C		5.00%	^		01/20/2019		2,434,000
		Lehman Mortgage Trust,
	5,405,051	Series 2005-1-2A4		5.50%			11/25/2035		4,664,359
	1,632,187	Series 2006-3-1A5		6.00%			07/25/2036		1,086,264
	114,750	Series 2006-9-1A19		29.57%	# I/F		01/25/2037		169,755
	2,023,648	Series 2007-10-2A1		6.50%			01/25/2038		1,814,728
	426,717	Series 2007-2-1A1		5.75%			02/25/2037		294,208
		MASTR Alternative Loans Trust,
	264,333	Series 2005-2-3A1		6.00%			03/25/2035		250,543
	114,494	Series 2007-1-2A7		6.00%			10/25/2036		95,445
		MASTR Asset Securitization Trust,
	675,543	Series 2003-2-30B2		5.75%			04/25/2033		675,868
	591,502	Series 2005-1-2A5		5.00%			05/25/2035		596,912
		Merrill Lynch Mortgage Trust,
	780,000	Series 2003-KEY1-A4		5.24%	#		11/12/2035		823,457
	81,338,090	Series 2005-CIP1-XP		0.32%	# I/O		07/12/2038		292,248
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	648,440	Series 2006-4-A2FL		0.36%	#		12/12/2049		648,247
		Morgan Stanley Capital, Inc.,
	10,751,783	Series 2004-HQ4-X2		0.51%	#^ I/O		04/14/2040		21,547
	325,000	Series 2005-HQ7-AM		5.37%	#		11/14/2042		351,121
	800,000	Series 2006-HQ9-AM		5.77%	#		07/12/2044		875,142
	89,459	Series 2007-HQ12-A2FL		0.49%	#		04/12/2049		86,360
	178,919	Series 2007-HQ12-A2FL		5.78%	#		04/12/2049		184,203
	36,222,067	Series 2007-IQ16-X2		0.37%	#^ I/O		12/12/2049		298,941
	30,043,400	Series 2011-C1-XA		1.15%	#^ I/O		09/15/2047		1,166,150
		Morgan Stanley Mortgage Loan Trust,
	1,786,437	Series 2004-1-1A1		5.00%			11/25/2018		1,835,532
	3,355,488	Series 2005-7-7A4		5.50%			11/25/2035		3,219,661
	8,306,749	Series 2006-7-3A		5.67%	#		06/25/2036		5,736,770
		Morgan Stanley Re-Remic Trust,
	7,683,839	Series 2010-R6-5C		5.90%	#^		05/26/2037		5,974,185

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Nomura Asset Acceptance Corporation,
$	332,119	Series 2006-AP1-A2		5.52%	#		01/25/2036		206,456
		Nomura Asset Securities Corporation,
	1,000,000	Series 1998-D6-A4		7.90%	#		03/15/2030		1,047,721
		Nomura Home Equity Loan, Inc.,
	785,385	Series 2006-AF1-A2		5.80%	#		10/25/2036		331,946
	1,438,385	Series 2007-1-1A1		6.06%	#		02/25/2037		696,697
		N-Star Real Estate CDO Ltd.,
	619,534	Series 2004-2A-A1		0.59%	#^		06/28/2039		610,048
		Option One Mortgage Loan Trust,
	205,136	Series 2004-3-M3		0.89%	#		11/25/2034		159,076
		PHH Alternative Mortgage Trust,
	3,829,640	Series 2007-2-4A1		6.00%			05/25/2022		3,493,491
		Residential Accredit Loans, Inc.,
	932,203	Series 2004-QS15-A1		5.25%			11/25/2034		875,595
	1,116,022	Series 2005-QS14-3A3		6.00%			09/25/2035		862,718
	393,081	Series 2005-QS1-A5		5.50%			01/25/2035		368,715
	1,108,027	Series 2006-QS10-A4		5.75%			08/25/2036		725,708
	2,514,384	Series 2006-QS6-1A15		6.00%			06/25/2036		1,654,598
	998,470	Series 2006-QS6-2A1		6.00%			06/25/2021		868,890
	3,559,184	Series 2007-QS3-A4		6.25%			02/25/2037		2,266,337
		Residential Asset Mortgage Products, Inc.,
	550,000	Series 2005-RS1-AI5		5.41%	#		01/25/2035		404,085
		Residential Asset Securitization Trust,
	703,307	Series 2005-A10-A3		5.50%			09/25/2035		595,846
	545,019	Series 2005-A11-2A4		6.00%			10/25/2035		296,006
	202,661	Series 2005-A7-A3		5.50%			06/25/2035		178,356
	2,904,374	Series 2006-A6-1A1		6.50%			07/25/2036		1,567,976
	299,219	Series 2006-R1-A1		27.43%	# I/F		01/25/2046		380,585
		Residential Funding Mortgage Securities Trust,
	408,074	Series 2006-S10-1A2		6.00%			10/25/2036		341,279
	2,125,910	Series 2006-S11-A3		6.00%			11/25/2036		1,866,875
	3,795,294	Series 2007-S2-A4		6.00%			02/25/2037		3,281,343
	2,447,212	Series 2007-S3-1A4		6.00%			03/25/2037		1,972,799
		Structured Adjustable Rate Mortgage Loan Trust,
	11,092,447	Series 2005-8XS-A3		0.80%	#		04/25/2035		10,912,648
	1,910,422	Series 2006-4-7A1		5.12%	#		05/25/2036		1,804,927
		Structured Asset Securities Corporation,
	5,723,671	Series 2003-35-1A1		5.15%	#		12/25/2033		5,743,151
	4,965,134	Series 2005-10-1A1		5.75%			06/25/2035		4,589,805
	7,132,146	Series 2005-14-1A1		0.54%	#		07/25/2035		6,075,511
	4,504,519	Series 2005-16-1A3		5.50%			09/25/2035		4,012,229
	2,990,128	Series 2005-RF1-A		0.59%	#^		03/25/2035		2,373,598
	2,990,128	Series 2005-RF1-AIO		5.54%	#^ I/O		03/25/2035		418,763
		TIAA Seasoned Commercial Mortgage Trust,
	1,000,000	Series 2007-C4-AJ		5.66%	#		08/15/2039		1,055,776
		Wachovia Bank Commercial Mortgage Trust,
	500,000	Series 2005-C22-AM		5.49%	#		12/15/2044		530,293
	250,000	Series 2006-C25-AM		5.92%	#		05/15/2043		272,241
	110,346,345	Series 2006-C27-XC		0.10%	#^ I/O		07/15/2045		813,253
	18,993,901	Series 2006-C29-IO		0.55%	# I/O		11/15/2048		280,711
		Washington Mutual Mortgage Pass-Through Certificates,
	265,323	Series 2005-1-2A		6.00%			03/25/2035		215,825
	3,483,047	Series 2006-1-3A1		5.75%			02/25/2036		2,598,437
	7,599,684	Series 2006-8-A6		5.77%	#		10/25/2036		4,917,459
	6,938,285	Series 2006-AR19-2A		2.47%	#		01/25/2047		5,408,625
	5,807,884	Series 2007-3-A6		6.00%			04/25/2037		4,212,206
	382,056	Series 2007-5-A11		38.03%	# I/F		06/25/2037		607,684
		Wells Fargo Alternative Loan Trust,
	18,770,289	Series 2007-PA5-1A1		6.25%			11/25/2037		17,196,455
		Wells Fargo Mortgage Backed Securities Trust,
	5,995,851	Series 2005-17-1A1		5.50%			01/25/2036		5,805,531
	332,947	Series 2005-AR14-A6		5.35%	#		08/25/2035		234,380
	406,739	Series 2005-AR16-6A4		2.72%	#		10/25/2035		167,511
	1,972,397	Series 2006-2-3A1		5.75%			03/25/2036		1,957,574
	4,716,235	Series 2006-7-2A1		6.00%			06/25/2036		4,256,608
	950,234	Series 2007-10-1A36		6.00%			07/25/2037		865,221
	4,469,030	Series 2007-10-1A5		6.00%			07/25/2037		4,106,294

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 21

Schedule of Investments  DoubleLine Core Fixed Income Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Wells Fargo Mortgage Backed Securities Trust, (Cont.)
$	677,766	Series 2007-11-A96		6.00%			08/25/2037		658,703
	9,852,462	Series 2007-14-1A1		6.00%			10/25/2037		9,455,979
	2,313,604	Series 2007-4-A16		5.50%			04/25/2037		2,007,714
	8,492,467	Series 2007-5-1A1		5.50%			05/25/2037		8,383,407
	616,844	Series 2007-7-A1		6.00%			06/25/2037		564,976
	11,315,000	Series 2007-8-2A2		6.00%			07/25/2037		11,089,525
		Wells Fargo Mortgage Loan Trust,
	15,005,823	Series 2012-RR1-A1		2.85%	#^		08/27/2037		15,030,431
		WF-RBS Commercial Mortgage Trust,
	2,703,043	Series 2011-C2-XA		1.35%	#^ I/O		02/15/2044		146,852
		Total Non-Agency Collateralized Mortgage Obligations (Cost $426,813,039)							429,758,712
	US CORPORATE BONDS 17.1%
	4,167,000	3M Company, Series D		5.70%			03/15/2037		5,342,232
	4,404,000	Alcoa, Inc.		6.15%			08/15/2020		4,748,600
	6,255,000	Altria Group, Inc.		9.25%			08/06/2019		8,423,214
	9,375,000	American Express Credit Corporation		2.75%			09/15/2015		9,734,822
	4,315,000	Amgen, Inc.		3.88%			11/15/2021		4,427,181
	3,960,000	Anheuser Busch Inbev Worldwide, Inc.		5.38%			11/15/2014		4,400,079
	100,000	Arch Coal, Inc.		7.00%	^		06/15/2019		92,750
	4,450,000	Aristotle Holding, Inc.		2.10%	^		02/12/2015		4,507,957
	4,650,000	Arrow Electronics, Inc.		3.38%			11/01/2015		4,791,318
	4,304,000	AT&T, Inc.		5.35%			09/01/2040		4,593,633
	200,000	BE Aerospace, Inc.		6.88%			10/01/2020		220,000
	7,400,000	Becton Dickinson and Company		3.13%			11/08/2021		7,524,149
	5,750,000	Biogen Idec, Inc.		6.88%			03/01/2018		7,018,651
	2,500,000	Boeing Company		6.88%			03/15/2039		3,502,033
	160,000	Boeing Company		5.88%			02/15/2040		201,661
	1,700,000	Boston Properties Ltd. Partnership		5.63%			11/15/2020		1,939,027
	2,650,000	Boston Properties Ltd. Partnership		4.13%			05/15/2021		2,730,573
	100,000	Calpine Corporation		7.88%	^		07/31/2020		109,250
	100,000	CCO Holdings LLC		6.50%			04/30/2021		104,000
	100,000	Cinemark USA, Inc.		7.38%			06/15/2021		107,750
	4,300,000	Citigroup, Inc.		6.00%			12/13/2013		4,557,682
	8,775,000	Coca-Cola Company		1.80%			09/01/2016		8,971,077
	3,570,000	Comcast Corporation		5.85%			11/15/2015		4,119,541
	1,875,000	Comcast Corporation		5.90%			03/15/2016		2,166,859
	3,250,000	ConocoPhillips Company		6.50%			02/01/2039		4,332,032
	100,000	Constellation Brands, Inc.		7.25%			05/15/2017		113,750
	100,000	Copano Energy LLC		7.13%			04/01/2021		105,750
	200,000	Crown Castle International Corporation		9.00%			01/15/2015		221,000
	1,855,000	Daimler Finance North America LLC		1.95%	^		03/28/2014		1,878,421
	4,250,000	Daimler Finance North America LLC		1.88%	^		09/15/2014		4,313,504
	100,000	Delphi Corporation		5.88%	^		05/15/2019		106,000
	4,824,000	Devon Energy Corporation		6.30%			01/15/2019		5,895,565
	2,975,000	Devon Energy Corporation		4.00%			07/15/2021		3,178,904
	100,000	DineEquity, Inc.		9.50%			10/30/2018		110,000
	3,900,000	DIRECTV Holdings LLC		5.00%			03/01/2021		4,234,472
	100,000	DISH DBS Corporation		7.75%			05/31/2015		114,125
	4,709,000	Duke Energy Corporation		3.55%			09/15/2021		4,872,346
	4,170,000	Ecolab, Inc.		2.38%			12/08/2014		4,321,884
	200,000	El Paso Corporation		7.00%			06/15/2017		223,709
	100,000	Equinix, Inc.		7.00%			07/15/2021		110,000
	100,000	Felcor Lodging LP		6.75%			06/01/2019		101,500
	200,000	Forest Oil Corporation		7.25%			06/15/2019		196,500
	200,000	Frontier Communications Corporation		8.50%			04/15/2020		211,500

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	9,925,000	General Electric Capital Corporation		2.90%			01/09/2017		10,307,232
	4,900,000	General Mills, Inc.		3.15%			12/15/2021		4,914,666
	3,825,000	Goldman Sachs Group, Inc.		5.75%			01/24/2022		3,942,286
	2,600,000	Halliburton Company		6.15%			09/15/2019		3,173,378
	100,000	Hertz Corporation		7.50%			10/15/2018		106,625
	100,000	Huntsman International LLC		5.50%			06/30/2016		100,375
	4,100,000	IBM Corporation		1.95%			07/22/2016		4,211,590
	3,700,000	Illinois Tool Works, Inc.		3.38%	^		09/15/2021		3,785,995
	4,450,000	Intel Corporation		3.30%			10/01/2021		4,606,871
	100,000	International Lease Finance Corporation		8.63%			01/15/2022		111,667
	95,000	Interpublic Group of Companies, Inc.		10.00%			07/15/2017		109,250
	100,000	Iron Mountain, Inc.		7.75%			10/01/2019		109,750
	8,150,000	JP Morgan Chase & Company		4.95%			03/25/2020		8,805,268
	3,353,000	Kellogg Company		7.45%			04/01/2031		4,408,045
	2,675,000	Kinder Morgan Energy Partners LP		6.95%			01/15/2038		3,064,691
	3,800,000	Kraft Foods, Inc.		5.38%			02/10/2020		4,400,126
	1,850,000	Kroger Company		5.50%			02/01/2013		1,923,954
	3,587,000	Kroger Company		7.50%			01/15/2014		4,000,563
	100,000	LINN Energy LLC		6.50%	^		05/15/2019		98,500
	4,350,000	Marathon Petroleum Corporation		5.13%			03/01/2021		4,739,760
	4,500,000	Mattel, Inc.		2.50%			11/01/2016		4,608,392
	2,000,000	Metlife, Inc.		6.38%			06/15/2034		2,468,582
	1,750,000	Metlife, Inc.		5.70%			06/15/2035		2,042,511
	100,000	Michaels Stores, Inc.		7.75%			11/01/2018		107,000
	2,015,000	MidAmerican Energy Holdings Company		5.95%			05/15/2037		2,361,425
	4,254,000	MidAmerican Energy Holdings Company		6.50%			09/15/2037		5,333,278
	5,500,000	Motorola, Inc.		6.00%			11/15/2017		6,375,100
	8,883,000	National Rural Utilities Cooperative Finance Corporation		10.38%			11/01/2018		12,899,919
	5,803,000	News America, Inc.		6.65%			11/15/2037		6,786,550
	4,085,000	Novartis Capital Corporation		4.40%			04/24/2020		4,640,732
	4,240,000	Omnicom Group, Inc.		4.45%			08/15/2020		4,570,228
	4,450,000	ONEOK Partners LP		6.13%			02/01/2041		4,976,128
	4,675,000	Phillips 66		5.88%	^		05/01/2042		4,806,232
	775,000	Plains All American Pipeline LP		5.15%			06/01/2042		759,960
	1,950,000	PNC Funding Corporation		6.70%			06/10/2019		2,375,978
	4,200,000	PNC Funding Corporation		4.38%			08/11/2020		4,567,735
	100,000	Reynolds Group Issuer, Inc.		7.88%	^		08/15/2019		108,000
	100,000	Service Corporation International		6.75%			04/01/2015		109,750
	100,000	SESI LLC		6.38%			05/01/2019		106,500
	4,427,000	Simon Property Group LP		5.65%			02/01/2020		5,075,640
	6,463,000	Southern Power Company, Series D		4.88%			07/15/2015		7,129,923
	1,071,000	Southwest Airlines Company		5.25%			10/01/2014		1,152,399
	325,000	Southwest Airlines Company		5.75%			12/15/2016		363,916
	4,675,000	Southwest Airlines Company		5.13%			03/01/2017		5,092,393
	3,100,000	Target Corporation		3.88%			07/15/2020		3,394,351
	2,000,000	Target Corporation		2.90%			01/15/2022		1,980,920
	9,021,000	Time Warner Cable, Inc.		5.00%			02/01/2020		9,976,884
	100,000	Toll Brothers Finance Corporation		5.88%			02/15/2022		102,970
	100,000	United Parcel Service, Inc.		5.13%			04/01/2019		118,909

22 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	5,259,000	United Parcel Service, Inc.		3.13%			01/15/2021		5,519,531
	100,000	United Rentals, Inc.		8.38%			09/15/2020		104,000
	100,000	Univision Communications, Inc.		6.88%	^		05/15/2019		101,875
	4,444,000	Valero Energy Corporation		6.13%			02/01/2020		5,113,751
	100,000	Vulcan Materials Company		6.50%			12/01/2016		107,750
	8,309,000	Wal-Mart Stores, Inc.		3.25%			10/25/2020		8,712,468
	5,475,000	Waste Management, Inc.		6.13%			11/30/2039		6,686,924
	4,710,000	WellPoint, Inc.		5.25%			01/15/2016		5,283,381
	3,485,000	WellPoint, Inc.		5.88%			06/15/2017		4,073,836
	8,225,000	Wells Fargo & Company		4.60%			04/01/2021		8,836,964
	200,000	Wynn Las Vegas LLC		7.88%			11/01/2017		219,000
	3,675,000	Wynn Las Vegas LLC		7.75%			08/15/2020		4,056,281
	206,000	Xerox Corporation		5.50%			05/15/2012		207,056
	6,560,000	Xerox Corporation		4.25%			02/15/2015		6,972,296
		Total US Corporate Bonds (Cost $350,103,707)							356,283,011
	FOREIGN CORPORATE BONDS 11.5%
	1,500,000	Abu Dhabi National Energy Company		4.13%			03/13/2017		1,541,250
	1,000,000	Abu Dhabi National Energy Company		5.88%	^		12/13/2021		1,070,000
	1,700,000	AES Andres Dominicana Ltd.		9.50%			11/12/2020		1,802,000
	2,400,000	AES Gener S.A.		5.25%			08/15/2021		2,538,000
	275,000	AES Panama S.A.		6.35%			12/21/2016		299,750
	600,000	Alfa Bank		7.88%			09/25/2017		621,900
	690,000	AngloGold Holdings PLC		6.50%			04/15/2040		656,934
	6,950,000	Australia and New Zealand Banking Group Ltd.		4.88%	^		01/12/2021		7,587,628
	1,300,000	Automotores Gildemeister S.A.		8.25%	^		05/24/2021		1,399,450
	500,000	Automotores Gildemeister S.A.		8.25%			05/24/2021		538,250
	1,500,000	Axiata SPV1 Labuan Ltd.		5.38%			04/28/2020		1,589,676
	3,400,000	Banco Bradesco S.A.		5.75%	^		03/01/2022		3,430,600
	4,000,000	Banco de Bogota S.A.		5.00%	^		01/15/2017		4,160,000
	2,000,000	Banco de Credito del Peru		5.38%	^		09/16/2020		2,060,000
	1,125,000	Banco de Credito del Peru		5.38%			09/16/2020		1,158,750
	503,000	Banco de Credito del Peru		9.75%	#^		11/06/2069		593,540
	350,000	Banco de Credito del Peru		9.75%	#		11/06/2069		413,000
	2,450,000	Banco Internacional del Peru		5.75%			10/07/2020		2,499,000
	495,000	Banco Internacional del Peru		8.50%	#		04/23/2070		528,413
	1,950,000	Banco Latinoamericano de Comercio Exterior S.A.		3.75%	^		04/04/2017		1,945,125
	1,300,000	Banco Mercantil del Norte		4.38%			07/19/2015		1,358,500
	1,750,000	Banco Mercantil del Norte		6.86%	#		10/13/2021		1,824,375
	5,700,000	BanColombia S.A.		5.95%			06/03/2021		6,063,375
	100,000	Bombardier, Inc.		5.75%	^		03/15/2022		97,750
	4,237,000	BP Capital Markets PLC		4.75%			03/10/2019		4,804,851
	6,788,000	British Telecommunications PLC		5.95%			01/15/2018		7,891,233

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	100,000	BTA Bank		10.75%	(a)		07/01/2018		22,500
	3,500,000	CCL Finance Ltd.		9.50%			08/15/2014		3,970,749
	800,000	Celulosa Arauco y Constitution S.A.		4.75%			01/11/2022		822,923
	188,000	Cemex Espana		9.88%	^		04/30/2019		181,420
	2,637,000	CNOOC Finance 2011 Ltd.		4.25%			01/26/2021		2,756,599
	2,400,000	Controladora Comercial Mexicana S.A.B. de C.V.		7.00%			06/30/2018		2,436,000
	4,100,000	Corp Financiera de Desarrolo S.A.		4.75%	^		02/08/2022		4,243,500
	2,000,000	Corporacion Lindley S.A.		6.75%	^		11/23/2021		2,140,000
	700,000	Corporacion Lindley S.A.		6.75%			11/23/2021		749,000
	2,344,000	Corporacion Pesquera Inca S.A.C.		9.00%			02/10/2017		2,534,450
	1,863,000	Covidien International Finance S.A.		2.80%			06/15/2015		1,942,401
	3,950,000	Covidien International Finance S.A.		6.00%			10/15/2017		4,744,207
	3,000,000	DBS Bank Ltd.		3.63%	#^		09/21/2022		2,931,594
	1,936,000	Deutsche Telekom International Finance B.V.		8.75%			06/15/2030		2,667,909
	3,793,050	Dolphin Energy Ltd.		5.89%			06/15/2019		4,120,201
	1,600,000	Dolphin Energy Ltd.		5.50%	^		12/15/2021		1,694,000
	4,195,000	EGE Haina Finance Company		9.50%			04/26/2017		4,425,725
	2,300,000	Empresa Nacional del Petroleo		4.75%	^		12/06/2021		2,394,778
	300,000	Empresa Nacional del Petroleo		4.75%			12/06/2021		312,362
	2,380,000	Empresas ICA S.A.B. de C.V.		8.90%			02/04/2021		2,409,750
	3,850,000	France Telecom S.A.		2.75%			09/14/2016		3,964,395
	2,200,000	Gaz Capital S.A.		5.09%			11/29/2015		2,315,500
	5,325,000	Globo Communicacao e Participacoes S.A.		6.25%	#		07/20/2015		5,716,387
	1,500,000	GRUMA S.A.B. de C.V.		7.75%			12/29/2041		1,515,000
	4,500,000	Grupo Aval Ltd.		5.25%	^		02/01/2017		4,691,250
	700,000	Grupo KUO S.A.B de C.V.		9.75%			10/17/2017		764,750
	1,300,000	Grupo Petrotemex S.A. de C.V		9.50%			08/19/2014		1,446,250
	200,000	Grupo Televisa S.A.B.		6.63%			03/18/2025		236,321
	200,000	Gruposura Finance		5.70%	^		05/18/2021		210,000
	1,900,000	Gruposura Finance		5.70%			05/18/2021		1,995,000
	1,700,000	Hongkong Electric Finance Ltd.		4.25%			12/14/2020		1,746,762
	2,400,000	Hutchison Whampoa International 11 Ltd.		4.63%	^		01/13/2022		2,422,534
	500,000	Hutchison Whampoa International 11 Ltd.		4.63%			01/13/2022		504,695
	3,365,193	IIRSA Norte Finance Ltd.		8.75%			05/30/2024		3,958,477
	600,000	Industry & Construction Bank		5.01%	#		09/29/2015		594,750
	400,000	Inkia Energy Ltd.		8.38%	^		04/04/2021		416,000
	1,100,000	Inkia Energy Ltd.		8.38%			04/04/2021		1,144,000
	2,000,000	Instituto Costarricense de Electricidad		6.95%	^		11/10/2021		2,110,000
	2,300,000	Instituto Costarricense de Electricidad		6.95%			11/10/2021		2,426,500
	200,000	Interbank Peru		8.50%	#I/F		04/23/2070		213,500
	500,000	Intercorp Retail Trust		8.88%	^		11/14/2018		542,500
	800,000	Inversiones CMPC S.A.		4.75%	^		01/19/2018		842,202
	250,000	Inversiones CMPC S.A.		4.75%			01/19/2018		263,188
	1,600,000	Inversiones CMPC S.A.		6.13%			11/05/2019		1,806,474
	575,000	IOI Ventures BHD		5.25%			03/16/2015		607,892
	500,000	Ixe Banco S.A.		9.25%			10/14/2020		570,000
	200,000	Ixe Banco S.A.		9.75%			12/29/2041		202,750
	2,800,000	JBS Finance II Ltd.		8.25%			01/29/2018		2,879,800
	900,000	Kuznetski Capital S.A.		5.97%	#		11/25/2015		892,261
	2,000,000	Lotte Shopping Company Ltd.		3.88%			04/07/2016		2,038,220
	2,500,000	Minerva Luxembourg S.A.		12.25%	^		02/10/2022		2,743,750
	200,000	Minerva Overseas II Ltd.		10.88%			11/15/2019		213,000

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 23

Schedule of Investments  DoubleLine Core Fixed Income Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	2,425,595	Nakilat, Inc.		6.27%			12/31/2033		2,648,094
	200,000	Nova Chemicals Corporation		8.38%			11/01/2016		223,000
	1,000,000	Odebrecht Finance Ltd.		6.00%	^		04/05/2023		1,044,300
	1,000,000	Odebrecht Finance Ltd.		6.00%			04/05/2023		1,044,300
	2,500,000	Oversea-Chinese Banking Corporation		4.25%	#		11/18/2019		2,571,878
	3,800,000	Pacific Rubiales Energy Corporation		7.25%	^		12/12/2021		4,178,100
	1,900,000	Pacific Rubiales Energy Corporation		7.25%			12/12/2021		2,089,050
	700,000	PCCW-HKT Capital No 4 Ltd.		4.25%			02/24/2016		723,564
	3,000,000	Petrobras International Finance Company		5.38%			01/27/2021		3,245,217
	4,026,000	Pohang Iron and Steel Company		4.25%	^		10/28/2020		3,968,336
	1,260,000	Pohang Iron and Steel Company		5.25%^			04/14/2021		1,329,253
	2,750,000	PTTEP Australia International Finance Ltd.		4.15%			07/19/2015		2,868,381
	925,260	Ras Laffan Liquefied Natural Gas Company		5.30%			09/30/2020		994,655
	1,800,000	Ras Laffan Liquefied Natural Gas Company		5.84%			09/30/2027		1,953,000
	2,450,000	Reliance Holdings USA, Inc.		5.40%^			02/14/2022		2,441,864
	8,590,000	Royal Bank of Canada		2.30%			07/20/2016		8,825,151
	1,675,000	Royal KPN N.V.		8.38%			10/01/2030		2,156,222
	500,000	Russian Agricultural Bank		6.00%	#^		06/03/2021		494,400
	1,200,000	Russian Agricultural Bank		6.00%	#		06/03/2021		1,186,560
	3,100,000	Sigma Alimentos S.A.		5.63%			04/14/2018		3,293,750
	800,000	Sigma Alimentos S.A.		6.88%			12/16/2019		904,000
	500,000	Sociedad Quimica y Minera S.A.		5.50%			04/21/2020		545,845
	4,800,000	Temasek Financial Ltd.		4.30%			10/25/2019		5,237,026
	1,373,091	Tengizchevroil Finance Corporation		6.12%			11/15/2014		1,448,817
	4,300,000	Transocean, Inc.		6.00%			03/15/2018		4,766,180
	1,500,000	VEB Finance Ltd.		5.38%^			02/13/2017		1,552,500
	200,000	Vimpel Communications		7.75%^			02/02/2021		198,250
	1,800,000	Vimpel Communications		7.75%			02/02/2021		1,784,250
	300,000	VimpelCom Holdings B.V.		7.50%^			03/01/2022		292,500
	2,700,000	Virgolino De Oliveira Fininance Ltd.		11.75%^			02/09/2022		2,693,250
	4,500,000	Volcan Compania Minera S.A.		5.38%^			02/02/2022		4,668,750
	1,400,000	Votorantim Cimentos S.A.		7.25%^			04/05/2041		1,435,000
	4,000,000	VTB Capital S.A.		6.88%			05/29/2018		4,244,999
	100,000	WPE International Cooperatief U.A.		10.38%^			09/30/2020		95,330
	3,100,000	WPE International Cooperatief U.A.		10.38%			09/30/2020		2,955,230
	750,000	YPF Sociedad Anonima		10.00%			11/02/2028		791,250
		Total Foreign Corporate Bonds (Cost $233,291,076)							238,859,778

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES 3.0%
$	8,640,000	Corporacion Andina de Fomento		3.75%			01/15/2016		8,999,977
	100,000	Hydro-Quebec		8.00%			02/01/2013		106,116
	150,000	Hydro-Quebec		7.50%			04/01/2016		182,673
	2,300,000	Hydro-Quebec		2.00%			06/30/2016		2,368,422
	4,500,000	Korea Development Bank		4.38%			08/10/2015		4,765,496
	3,800,000	Korea Development Bank		4.00%			09/09/2016		3,979,979
	5,800,000	Mexico Government International Bond		3.63%			03/15/2022		5,945,000
	8,000,000	Pemex Project Funding Master Trust		6.63%			06/15/2035		9,200,000
	500,000	Province of New Brunswick		2.75%			06/15/2018		526,820
	1,600,000	Province of Ontario		2.30%			05/10/2016		1,658,594
	200,000	Province of Ontario		4.95%			11/28/2016		231,062
	1,600,000	Russian Foreign Bond		4.50%^			04/04/2022		1,609,600
	2,000,000	Russian Foreign Bond		5.63%^			04/04/2042		2,015,000
	6,200,000	South Africa Government International Bond		4.67%			01/17/2024		6,370,499
	2,000,000	State of Qatar		4.50%^			01/20/2022		2,097,600
	5,700,000	State Of Qatar		4.50%			01/20/2022		5,978,160
	4,870,000	United Mexican States		5.63%			01/15/2017		5,656,505
	500,000	Wakala Global Sukuk BHD		4.65%			07/06/2021		541,934
		Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $60,686,273)							62,233,437
	US GOVERNMENT/AGENCY MORTGAGE BACKED SECURITIES 25.2%
		Federal Home Loan Mortgage Corporation,
	5,376,621	Pool G01840		5.00%			07/01/2035		5,805,321
	4,463,228	Pool G04817		5.00%			09/01/2038		4,811,428
	16,070,772	Pool G06871		6.00%			06/01/2038		17,771,406
	8,046,138	Pool N70081		5.50%			07/01/2038		8,774,978
	1,330,007	Pool U60299		4.00%			11/01/2040		1,406,536
	451,066	Series 2692-SC		12.80%	# I/F		07/15/2033		503,349
	5,300,000	Series 2722-PS		9.62%	# I/F		12/15/2033		6,149,009
	449,039	Series 2750-ZT		5.00%			02/15/2034		502,731
	13,697,272	Series 2890-ZA		5.00%			11/15/2034		15,357,333
	1,048,061	Series 3002-SN		6.26%	# I/F I/O		07/15/2035		187,971
	450,835	Series 3045-DI		6.49%	# I/F I/O		10/15/2035		70,646
	1,068,162	Series 3116-Z		5.50%			02/15/2036		1,215,453
	131,421	Series 3117-ZN		4.50%			02/15/2036		142,753
	1,321,261	Series 3203-ZC		5.00%			07/15/2036		1,508,762
	841,504	Series 3275-SC		5.84%	# I/F I/O		02/15/2037		106,216
	12,869,003	Series 3382-SB		5.76%	# I/F I/O		11/15/2037		1,730,002
	8,772,889	Series 3384-S		6.15%	# I/F I/O		11/15/2037		1,293,604
	9,396,172	Series 3417-SX		5.94%	# I/F I/O		02/15/2038		1,270,378
	1,240,786	Series 3423-GS		5.41%	# I/F I/O		03/15/2038		145,308
	1,240,786	Series 3423-SG		5.41%	# I/F I/O		03/15/2038		145,669
	972,832	Series 3524-LB		5.70%	#		06/15/2038		1,040,291
	4,307,049	Series 3562-WS		4.71%	# I/F I/O		08/15/2039		408,105
	2,337,476	Series 3582-SA		5.76%	# I/F I/O		10/15/2049		292,720
	2,022,546	Series 3606-CS		6.11%	# I/F I/O		12/15/2039		315,639
	1,174,567	Series 3616-SG		6.11%	# I/F I/O		03/15/2032		206,384
	5,068,129	Series 3626-AZ		5.50%			08/15/2036		5,728,760
	7,000,000	Series 3641-TB		4.50%			03/15/2040		7,699,514
	2,484,072	Series 3666-SC		5.53%	# I/F I/O		05/15/2040		304,758
	552,919	Series 3666-VZ		5.50%			08/15/2036		643,416
	1,192,328	Series 3688-CM		4.00%			07/15/2029		1,225,415
	12,175,000	Series 3738-BD		4.00%			10/15/2030		12,700,628

24 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Federal Home Loan Mortgage Corporation, (Cont.)
$	223,072	Series 3745-ST		9.52%	# I/F		10/15/2040		224,230
	2,469,567	Series 3745-SY		9.52%	# I/F		10/15/2040		2,431,530
	2,054,094	Series 3758-SL		5.38%	# I/F		05/15/2039		2,030,046
	2,767,359	Series 3768-MS		9.51%	# I/F		12/15/2040		2,760,302
	2,445,547	Series 3779-DZ		4.50%			12/15/2040		2,412,596
	1,400,000	Series 3779-YA		3.50%			12/15/2030		1,448,077
	303,180	Series 3780-BS		9.42%	# I/F		12/15/2040		303,546
	994,733	Series 3780-YS		9.42%	# I/F		12/15/2040		1,051,693
	1,388,246	Series 3786-SG		9.02%	# I/F		01/15/2041		1,394,720
	2,275,124	Series 3793-SA		9.32%	# I/F		01/15/2041		2,314,655
	2,095,383	Series 3795-VZ		4.00%			01/15/2041		2,154,896
	1,198,313	Series 3798-SD		9.12%	# I/F		12/15/2040		1,210,909
	517,495	Series 3805-KS		9.02%	# I/F		02/15/2041		527,839
	1,591,875	Series 3806-CZ		5.50%			07/15/2034		1,871,859
	1,156,635	Series 3808-DB		3.50%			02/15/2031		1,197,912
	4,183,759	Series 3818-CZ		4.50%			03/15/2041		4,519,549
	2,096,932	Series 3819-ZU		5.50%			07/15/2034		2,450,351
	3,736,782	Series 3824-EY		3.50%			03/15/2031		3,868,609
	1,969,776	Series 3828-SW		12.47%	# I/F		02/15/2041		1,959,468
	4,187,161	Series 3863-ZA		5.50%			08/15/2034		4,881,768
	8,000,000	Series 3877-EY		4.50%			06/15/2041		8,761,718
	3,080,940	Series 3888-ZG		4.00%			07/15/2041		3,186,607
	2,237,772	Series 3910-GZ		5.00%			08/15/2041		2,530,473
	5,043,878	Series 3972-AZ		3.50%			12/15/2041		4,692,536
	1,422,065	Series R003-ZA		5.50%			10/15/2035		1,622,253
		Federal National Mortgage Association,
	565,663	Series 2003-117-KS		6.86%	# I/F I/O		08/25/2033		63,907
	3,069,216	Series 2003-92-PZ		5.00%			09/25/2033		3,534,585
	500,000	Series 2003-W17-1A7		5.75%			08/25/2033		574,292
	1,869,395	Series 2006-101-SA		6.34%	# I/F I/O		10/25/2036		270,026
	891,890	Series 2006-56-SM		6.51%	# I/F I/O		07/25/2036		152,740
	1,130,886	Series 2007-116-BI		6.01%	# I/F I/O		05/25/2037		181,852
	2,795,882	Series 2007-30-OI		6.20%	# I/F I/O		04/25/2037		426,308
	4,879,520	Series 2008-14-ZA		5.50%			03/25/2038		5,559,584
	418,885	Series 2008-29-ZA		4.50%			04/25/2038		456,720
	1,276,442	Series 2008-62-SC		5.76%	# I/F I/O		07/25/2038		161,647
	3,897,452	Series 2009-111-EZ		5.00%			01/25/2040		4,376,968
	578,565	Series 2009-111-SE		6.01%	# I/F I/O		01/25/2040		75,234
	349,894	Series 2009-16-MZ		5.00%			03/25/2029		389,726
	1,457,937	Series 2009-48-WS		5.71%	# I/F I/O		07/25/2039		164,018
	6,900,258	Series 2009-62-PS		5.86%	# I/F I/O		08/25/2039		877,965
	3,356,510	Series 2009-77-ZA		4.50%			10/25/2039		3,657,708
	1,790,139	Series 2009-83-Z		4.50%			10/25/2039		1,948,442
	285,377	Series 2010-101-ZH		4.50%			07/25/2040		297,762
	1,277,896	Series 2010-109-BS		52.32%	# I/F		10/25/2040		1,797,905
	1,592,596	Series 2010-112-ZA		4.00%			10/25/2040		1,645,599
	1,277,200	Series 2010-121-SD		4.26%	# I/F I/O		10/25/2040		130,282
	206,538	Series 2010-137-VS		14.27%	# I/F		12/25/2040		220,886
	2,102,367	Series 2010-150-ZA		4.00%			01/25/2041		2,138,847
	1,440,731	Series 2010-31-SA		4.76%	# I/F I/O		04/25/2040		144,290
	1,159,734	Series 2010-34-PS		4.69%	# I/F I/O		04/25/2040		108,175
	1,400,273	Series 2010-35-SP		6.11%	# I/F I/O		04/25/2050		198,214
	1,019,311	Series 2010-35-SV		6.21%	# I/F I/O		04/25/2040		133,848
	10,189,237	Series 2010-37-MY		4.50%			04/25/2040		11,214,121
	1,206,497	Series 2010-59-PS		6.21%	# I/F I/O		03/25/2039		164,053
	1,574,742	Series 2010-59-SC		4.76%	# I/F I/O		01/25/2040		159,219
	7,670,535	Series 2010-60-VZ		5.00%			10/25/2039		8,382,047
	328,737	Series 2010-64-EZ		5.00%			06/25/2040		381,234
	1,981,753	Series 2010-7-PE		5.00%			02/25/2040		2,116,783
	2,552,288	Series 2010-90-GS		5.76%	# I/F I/O		08/25/2040		341,832
	151,911	Series 2010-99-SG		23.78%	# I/F		09/25/2040		201,671
	6,873,282	Series 2011-127-PM		4.00%			12/25/2041		6,821,275
	6,154,214	Series 2011-141-PZ		4.00%			01/25/2042		6,208,296
	1,486,462	Series 2011-18-S		9.00%	# I/F		03/25/2041		1,517,848
	13,157,055	Series 2011-18-UZ		4.00%			03/25/2041		13,402,702
	1,533,918	Series 2011-25-KY		3.00%			04/25/2026		1,577,493
	1,000,000	Series 2011-29-AL		3.50%			04/25/2031		1,029,591
	13,914,828	Series 2011-59-MA		4.50%			07/25/2041		15,042,097
	9,273,628	Series 2011-63-ZE		4.00%			08/25/2038		9,773,199
	2,074,521	Series 2011-72-LZ		5.50%			04/25/2037		2,431,406
	2,567,450	Series 2011-77-CZ		4.00%			08/25/2041		2,571,798
	1,243,668	Series 2011-87-US		13.22%	# I/F		09/25/2041		1,252,233

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Federal National Mortgage Association, (Cont.)
$	2,121,812	Series 2011-88-SB		8.81%	# I/F		09/25/2041		2,172,423
	2,028,373	Series 400-S4		5.21%	# I/FI/O		11/25/2039		234,120
		Federal National Mortgage Association Pass-Thru,
	1,062,803	Pool 555743		5.00%			09/01/2033		1,150,907
	899,765	Pool 735382		5.00%			04/01/2035		973,933
	6,747,873	Pool 735383		5.00%			04/01/2035		7,304,096
	3,648,246	Pool 735402		5.00%			04/01/2035		3,948,968
	5,547,363	Pool 735484		5.00%			05/01/2035		5,999,428
	6,519,224	Pool 889509		6.00%			05/01/2038		7,190,337
	5,648,999	Pool 889662		6.00%			06/01/2038		6,230,527
	7,633,679	Pool 890385		6.00%			12/01/2039		8,419,517
	743,267	Pool 931104		5.00%			05/01/2039		812,953
	12,660,839	Pool 995023		5.50%			08/01/2037		13,860,172
	6,019,900	Pool 995112		5.50%			07/01/2036		6,606,142
	5,856,345	Pool 995203		5.00%			07/01/2035		6,341,825
	3,295,252	Pool AB2123		4.00%			01/01/2031		3,497,883
	735,570	Pool AB2370		4.50%			09/01/2035		767,651
	167,029	Pool AC1032		5.00%			06/01/2040		176,282
	21,094,572	Pool AD0189		5.50%			02/01/2039		23,092,814
	17,727,137	Pool AD0500		5.50%			09/01/2036		19,483,945
	110,613	Pool AD2177		4.50%			06/01/2030		117,805
	5,158,230	Pool AH7309		4.00%			02/01/2031		5,475,420
	7,738,954	Pool AJ1399		4.00%			09/01/2041		8,018,945
	20,061,867	Pool AJ4997		4.00%			10/01/2041		20,787,694
	22,324,642	Pool AJ7677		3.50%			12/01/2041		22,747,055
	15,848,481	Pool AK4039		4.00%			02/01/2042		16,421,870
	3,711,053	Pool MA0264		4.50%			12/01/2029		3,954,666
	402,757	Pool MA0282		5.00%			12/01/2039		446,717
	2,685,457	Pool MA0353		4.50%			03/01/2030		2,860,066
	364,262	Pool MA0468		5.00%			07/01/2040		384,442
	4,471,650	Pool MA0871		4.00%			10/01/2041		4,633,432
		Government National Mortgage Association,
	2,895,342	Pool 752494		5.50%			09/20/2039		3,093,189
	271,875	Series 2003-67-SP		6.86%	# I/FI/O		08/20/2033		83,078
	814,162	Series 2008-82-SM		5.81%	# I/FI/O		09/20/2038		119,794
	7,949,998	Series 2009-32-ZE		4.50%			05/16/2039		8,776,567
	3,974,999	Series 2009-35-DZ		4.50%			05/20/2039		4,301,454
	3,915,929	Series 2009-75-GZ		4.50%			09/20/2039		4,246,528
	4,531,417	Series 2009-75-HZ		5.00%			09/20/2039		5,143,910
	293,527	Series 2010-25-ZB		4.50%			02/16/2040		300,821
	6,275,639	Series 2011-45-GZ		4.50%			03/20/2041		6,670,490
	10,381,392	Series 2011-71-ZA		4.50%			02/20/2041		11,114,033
		Total US Government/Agency Mortgage backed Securities (Cost $507,011,199)							523,510,952
	US GOVERNMENT BONDS AND NOTES 20.0%
	2,800,000	United States Treasury Bonds		8.00%			11/15/2021		4,253,595
	5,750,000	United States Treasury Bonds		6.13%			11/15/2027		8,126,366
	5,500,000	United States Treasury Bonds		4.75%			02/15/2037		6,961,796
	27,950,000	United States Treasury Bonds		4.25%			11/15/2040		32,919,873
	58,700,000	United States Treasury Notes		0.50%			05/31/2013		58,878,859
	105,900,000	United States Treasury Notes		1.88%			04/30/2014		109,192,854
	37,700,000	United States Treasury Notes		1.25%			10/31/2015		38,456,941
	30,350,000	United States Treasury Notes		2.75%			11/30/2016		32,789,867
	13,100,000	United States Treasury Notes		1.88%			09/30/2017		13,567,709
	39,600,000	United States Treasury Notes		2.38%			05/31/2018		41,920,322
	35,250,000	United States Treasury Notes		3.63%			08/15/2019		40,011,500
	27,950,000	United States Treasury Notes		3.13%			05/15/2021		30,426,202
		Total US Government Bonds and Notes (Cost $422,051,561)							417,505,884

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 25

Schedule of Investments  DoubleLine Core Fixed Income Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY	VALUE $
	SHORT TERM INVESTMENTS 1.6%
$	33,587,138	Fidelity Institutional Government Portfolio		0.01%	¨			33,587,138
		Total Short Term Investments (Cost $33,587,138)						33,587,138
		Total Investments 99.0% (Cost $2,033,543,993)						2,061,738,912
		Other Assets in Excess of Liabilities 1.0%						21,572,829
		NET ASSETS 100.0%					$	2,083,311,741

PORTFOLIO HOLDINGS as % of Net Assets
US Government / Agency Mortgage Backed Securities	25.2%
Non-Agency Collateralized Mortgage Obligations	20.6%
US Government Bonds and Notes	20.0%
US Corporate Bonds	17.1%
Foreign Corporate Bonds	11.5%
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies	3.0%
Short Term Investments	1.6%
Other Assets and Liabilities	1.0%
	100.0%

# Variable rate security. Rate disclosed as of March 31, 2012.

^ 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. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2012, the value of these securities amounted to $191,810,243 or 9.2% of net assets.

I/O Interest only security

I/F Inverse floating rate security whose interest rate moves in the opposite direction of prevailing interest rates

¨ Seven-day yield as of March 31, 2012

(a) Issuer is in default of interest payments

26 DoubleLine Funds The accompanying notes are an integral part of these financial statements

Schedule of Investments  DoubleLine Emerging Markets Fixed Income Fund March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	Foreign Corporate Bonds - 88.2%
	ABU DHABI - 3.6%
$	2,500,000	Abu Dhabi National Energy Company		4.13%			03/13/2017		2,568,750
	2,000,000	Abu Dhabi National Energy Company		5.88%	^		12/13/2021		2,140,000
	3,287,310	Dolphin Energy Ltd.		5.89%			06/15/2019		3,570,840
	7,000,000	Dolphin Energy Ltd.		5.50%	^		12/15/2021		7,411,250
									15,690,840
	ARGENTINA - 2.2%
	1,700,000	WPE International Cooperatief U.A.		10.38%	^		09/30/2020		1,620,610
	5,173,000	WPE International Cooperatief U.A.		10.38%			09/30/2020		4,931,421
	2,800,000	YPF Sociedad Anonima		10.00%			11/02/2028		2,954,000
									9,506,031
	BRAZIL - 14.0%
	7,900,000	Banco Bradesco S.A.		5.75%	^		03/01/2022		7,971,100
	2,000,000	Braskem Finance Ltd.		5.75%			04/15/2021		2,103,600
	5,650,000	CCL Finance Ltd.		9.50%			08/15/2014		6,409,925
	8,305,000	Globo Communicacao e Participacoes S.A.		6.25%	#		07/20/2015		8,915,417
	200,000	JBS Finance II Ltd.		8.25%	^		01/29/2018		205,700
	5,241,000	JBS Finance II Ltd.		8.25%			01/29/2018		5,390,369
	6,200,000	Minerva Luxembourg S.A.		12.25%	^		02/10/2022		6,804,500
	170,000	Minerva Overseas II Ltd.		9.50%			02/01/2017		156,706
	800,000	Minerva Overseas II Ltd.		10.88%			11/15/2019		852,000
	6,300,000	Odebrecht Finance Ltd.		6.00%			04/05/2023		6,579,090
	7,000,000	Petrobras International Finance Company		5.38%			01/27/2021		7,572,173
	5,100,000	Virgolino De Oliveira Fininance Ltd.		11.75%	^		02/09/2022		5,087,250
	2,800,000	Votorantim Cimentos S.A.		7.25%	^		04/05/2041		2,870,000
									60,917,830
	CHILE - 5.3%
	5,155,000	AES Gener S.A.		5.25%			08/15/2021		5,451,413
	1,500,000	Automotores Gildemeister S.A.		8.25%	^		05/24/2021		1,614,750
	2,500,000	Automotores Gildemeister S.A.		8.25%			05/24/2021		2,691,250
	150,000	Banco del Estado de Chile		3.88%	^		02/08/2022		149,250
	1,605,000	Celulosa Arauco y Constitution S.A.		4.75%			01/11/2022		1,650,990
	4,400,000	Empresa Nacional del Petroleo		4.75%	^		12/06/2021		4,581,315
	1,700,000	Inversiones CMPC S.A.		4.75%	^		01/19/2018		1,789,678
	534,000	Inversiones CMPC S.A.		4.75%			01/19/2018		562,170
	3,900,000	Inversiones CMPC S.A.		6.13%			11/05/2019		4,403,279
	100,000	Sociedad Quimica y Minera S.A.		5.50%			04/21/2020		109,169
									23,003,264
	CHINA - 4.4%
	4,500,000	CNOOC Finance 2011 Ltd.		4.25%			01/26/2021		4,704,092
	2,700,000	Hongkong Electric Finance Ltd.		4.25%			12/14/2020		2,774,269
	6,100,000	Hutchison Whampoa International 11 Ltd.		4.63%	^		01/13/2022		6,157,273
	3,400,000	Hutchison Whampoa International 11 Ltd.		4.63%			01/13/2022		3,431,923
	2,000,000	PCCW-HKT Capital No 4 Ltd.		4.25%			02/24/2016		2,067,326
									19,134,883

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	COLOMBIA - 9.8%
$	7,500,000	Banco de Bogota S.A.		5.00%	^		01/15/2017		7,800,000
	10,000,000	BanColombia S.A.		5.95%			06/03/2021		10,637,500
	7,400,000	Grupo Aval Ltd.		5.25%	^		02/01/2017		7,714,500
	200,000	Gruposura Finance		5.70%	^		05/18/2021		210,000
	3,362,000	Gruposura Finance		5.70%			05/18/2021		3,530,100
	6,314,000	Pacific Rubiales Energy Corporation		7.25%	^		12/12/2021		6,942,243
	5,025,000	Pacific Rubiales Energy Corporation		7.25%			12/12/2021		5,524,988
									42,359,331
	COSTA RICA - 2.0%
	3,500,000	Instituto Costarricense de Electricidad		6.95%	^		11/10/2021		3,692,500
	4,775,000	Instituto Costarricense de Electricidad		6.95%			11/10/2021		5,037,625
									8,730,125
	DOMINICAN REPUBLIC - 2.6%
	2,420,000	AES Andres Dominicana Ltd.		9.50%			11/12/2020		2,565,200
	8,085,000	EGE Haina Finance Company		9.50%			04/26/2017		8,529,675
									11,094,875
	INDIA - 1.1%
	4,250,000	Reliance Holdings USA, Inc.		5.40%	^		02/14/2022		4,235,886
	500,000	Reliance Industries Ltd.		8.25%			01/15/2027		577,500
									4,813,386
	KAZAKHSTAN - 0.2%
	700,000	BTA Bank		10.75%	(a)		07/01/2018		157,500
	100,000	Eurasian Development Bank		7.38%			09/29/2014		109,500
	429,091	Tengizchevroil Finance Corporation		6.12%			11/15/2014		452,755
									719,755
	MALAYSIA - 1.5%
	3,300,000	Axiata SPV1 Labuan Ltd.		5.38%			04/28/2020		3,497,288
	1,100,000	IOI Ventures BHD		5.25%			03/16/2015		1,162,923
	1,700,000	Penerbangan Malaysia BHD		5.63%			03/15/2016		1,902,099
									6,562,310
	MEXICO - 11.0%
	2,000,000	Banco Mercantil del Norte		4.38%			07/19/2015		2,090,000
	2,900,000	Banco Mercantil del Norte		6.86%	#		10/13/2021		3,023,250
	1,132,000	Cemex Espana		9.88%	^		04/30/2019		1,092,380
	9,230,400	Controladora Comercial Mexicana S.A.B. de C.V.		7.00%			06/30/2018		9,368,855
	5,500,000	Empresas ICA S.A.B. de C.V.		8.90%			02/04/2021		5,568,750
	2,859,000	GRUMA S.A.B. de C.V.		7.75%			12/29/2041		2,887,590
	1,344,000	Grupo KUO S.A.B de C.V.		9.75%			10/17/2017		1,468,320
	3,100,000	Grupo Petrotemex S.A. de C.V		9.50%			08/19/2014		3,448,750
	575,000	Grupo Televisa S.A.B		6.00%			05/15/2018		668,729
	1,500,000	Grupo Televisa S.A.B.		6.63%			03/18/2025		1,772,409
	1,745,000	Ixe Banco S.A.		9.25%			10/14/2020		1,989,300
	525,000	Ixe Banco S.A.		9.75%			12/29/2041		532,219
	5,100,000	Petroleos Mexicanos		4.88%	^		01/24/2022		5,367,750
	6,395,000	Sigma Alimentos S.A.		5.63%			04/14/2018		6,794,688
	1,150,000	Sigma Alimentos S.A.		6.88%			12/16/2019		1,299,500
									47,372,490

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 27

Schedule of Investments  DoubleLine Emerging Markets Fixed Income Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	PANAMA - 0.6%
$	100,000	AES Panama S.A.		6.35%			12/21/2016		109,000
	2,300,000	Banco Latinoamericano de Comercio Exterior S.A.		3.75%	^		04/04/2017		2,294,250
									2,403,250
	PERU - 13.4%
	700,000	Banco de Credito del Peru		5.38%	^		09/16/2020		721,000
	2,000,000	Banco de Credito del Peru		5.38%			09/16/2020		2,060,000
	3,135,000	Banco de Credito del Peru		9.75%	#		11/06/2069		3,699,300
	8,860,000	Banco Internacional del Peru		5.75%			10/07/2020		9,037,200
	1,566,000	Banco Internacional del Peru		8.50%	#		04/23/2070		1,671,705
	8,100,000	Corp Financiera de Desarrolo S.A.		4.75%	^		02/08/2022		8,383,500
	1,000,000	Corporacion Lindley S.A.		6.75%	^		11/23/2021		1,070,000
	2,300,000	Corporacion Lindley S.A.		6.75%			11/23/2021		2,461,000
	5,755,000	Corporacion Pesquera Inca S.A.C.		9.00%			02/10/2017		6,222,594
	6,313,944	IIRSA Norte Finance Ltd.		8.75%			05/30/2024		7,427,092
	600,000	Inkia Energy Ltd.		8.38%	^		04/04/2021		624,000
	1,900,000	Inkia Energy Ltd.		8.38%			04/04/2021		1,976,000
	1,250,000	Intercorp Retail Trust		8.88%	^		11/14/2018		1,356,250
	9,500,000	Volcan Compania Minera S.A.		5.38%	^		02/02/2022		9,856,250
	1,500,000	Volcan Compania Minera S.A.		5.38%			02/02/2022		1,556,250
									58,122,141
	QATAR - 3.1%
	5,268,391	Nakilat, Inc.		6.27%			12/31/2033		5,751,661
	2,379,240	Ras Laffan Liquefied Natural Gas Company		5.30%			09/30/2020		2,557,683
	4,775,000	Ras Laffan Liquefied Natural Gas Company		5.84%			09/30/2027		5,180,875
									13,490,219
	RUSSIA - 6.2%
	1,200,000	Alfa Bank		7.88%			09/25/2017		1,243,800
	750,000	Gaz Capital S.A.		5.09%			11/29/2015		789,375
	2,400,000	Industry & Construction Bank		5.01%	#		09/29/2015		2,379,000
	1,500,000	Kuznetski Capital S.A.		5.97%	#		11/25/2015		1,487,102
	2,200,000	Russian Agricultural Bank		6.00%	#^		06/03/2021		2,175,360
	3,800,000	Russian Agricultural Bank		6.00%	#		06/03/2021		3,757,440
	2,800,000	VEB Finance Ltd.		5.38%	^		02/13/2017		2,898,000
	1,200,000	Vimpel Communications		7.75%	^		02/02/2021		1,189,500
	1,700,000	Vimpel Communications		7.75%			02/02/2021		1,685,125
	2,100,000	VimpelCom Holdings B.V.		7.50%	^		03/01/2022		2,047,500
	6,500,000	VTB Capital S.A.		6.88%			05/29/2018		6,898,125
									26,550,327
	SINGAPORE - 4.5%
	6,200,000	DBS Bank Ltd.		3.63%	#^		09/21/2022		6,058,628
	3,250,000	Oversea-Chinese Banking Corporation		4.25%	#		11/18/2019		3,343,441
	9,000,000	Temasek Financial Ltd.		4.30%			10/25/2019		9,819,422
									19,221,491
	SOUTH AFRICA - 1.0%
	4,330,000	AngloGold Holdings PLC		6.50%			04/15/2040		4,122,498
									4,122,498
	SOUTH KOREA - 0.9%
	3,800,000	Lotte Shopping Company Ltd.		3.88%			04/07/2016		3,872,618
									3,872,618

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	THAILAND - 0.8%
$	3,150,000	PTTEP Australia International Finance Ltd.		4.15%			07/19/2015		3,285,601
									3,285,601
		Total Foreign Corporate Bonds (Cost $374,479,581)							380,973,265
	FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES - 9.8%
	MALAYSIA - 0.8%
	3,250,000	Wakala Global Sukuk BHD		4.65%			07/06/2021		3,522,571
									3,522,571
	MEXICO - 1.0%
	4,100,000	Mexico Government International Bond		3.63%			03/15/2022		4,202,500
									4,202,500
	QATAR - 3.6%
	4,000,000	State of Qatar		4.50%	^		01/20/2022		4,195,200
	10,900,000	State Of Qatar		4.50%			01/20/2022		11,431,920
									15,627,120
	RUSSIA - 1.5%
	2,800,000	Russian Foreign Bond		4.50%	^		04/04/2022		2,816,800
	3,600,000	Russian Foreign Bond		5.63%	^		04/04/2042		3,627,000
									6,443,800
	SOUTH AFRICA - 2.9%
	12,000,000	South Africa Government International Bond		4.67%			01/17/2024		12,330,000
									12,330,000
		Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $41,410,275)							42,125,991
	SHORT TERM INVESTMENTS - 0.5%
	2,002,538	Fidelity Institutional Government Portfolio		0.01%	¨				2,002,538
		Total Short Term Investments (Cost $2,002,538)							2,002,538
		Total Investments - 98.5% (Cost $417,892,394)							425,101,794
		Other Assets in Excess of Liabilities - 1.5%							6,307,345
		NET ASSETS - 100.0%						$	431,409,139

28 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PORTFOLIO HOLDINGS as % of Net Assets
Abu Dhabi	3.6%
Argentina	2.2%
Brazil	14.0%
Chile	5.3%
China	4.4%
Colombia	9.8%
Costa Rica	2.0%
Dominican Republic	2.6%
India	1.1%
Kazakhstan	0.2%
Malaysia	2.3%
Mexico	12.0%
Panama	0.6%
Peru	13.4%
Qatar	6.7%
Russia	7.7%
Singapore	4.5%
South Africa	3.9%
South Korea	0.9%
Thailand	0.8%
	98.0%
Short Term Investments	0.5%
Other Assets and Liabilities	1.5%
	100.0%

^ 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. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2012, the value of these securities amounted to $134,771,173 or 31.2% of net assets.

# Variable rate security. Rate disclosed as of March 31, 2012.

¨ Seven-day yield as of March 31, 2012

(a) Issuer is in default of interest payments

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 29

Schedule of Investments (Consolidated)  DoubleLine Multi-Asset Growth Fund

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS 12.8%
		Adjustable Rate Mortgage Trust,
$	452,565	Series 2006-1-2A1		3.23%	#		03/25/2036		266,369
		Banc of America Alternative Loan Trust,
	750,000	Series 2006-7-A4		6.00%	#		10/25/2036		499,149
		BCAP LLC Trust,
	89,520	Series 2007-AA2-2A5		6.00%			04/25/2037		62,887
	106,000	Series 2010-RR6-1A20		8.77%	#^		08/26/2022		104,146
		Bear Stearns Commercial Mortgage Securities, Inc.,
	273,928	Series 1998-C1-B		6.54%			06/16/2030		283,913
	420,500	Series 2002-TOP8-A2		4.83%			08/15/2038		424,553
		Chaseflex Trust,
	427,220	Series 2007-M1-2F4		6.35%	#		08/25/2037		294,478
		Citi Mortgage Alternative Loan Trust,
	574,865	Series 2007-A6-1A11		6.00%			06/25/2037		419,582
		Citicorp Mortgage Securities, Inc.,
	292,085	Series 2007-2-3A1		5.50%			02/25/2037		258,788
		Citigroup Mortgage Loan Trust, Inc.,
	357,888	Series 2009-7-2A2		5.50%	^		10/25/2021		277,363
		Commercial Mortgage Asset Trust,
	100,000	Series 1999-C1-B		7.23%	#		01/17/2032		106,603
		Commercial Mortgage Pass-Through Certificates,
	3,000,000	Series 2002-LC4-XA		2.72%	#^ I/O		12/10/2044		477,210
	52,787,264	Series 2005-LP5-XC		0.23%	#^ I/O		05/10/2043		509,661
		Countrywide Alternative Loan Trust,
	203,602	Series 2006-32CB-A16		5.50%			11/25/2036		138,844
	1,028,109	Series 2006-J1-2A1		7.00%			02/25/2036		435,770
	49,815	Series 2007-17CB-1A10		28.79%	# I/F		08/25/2037		79,495
	33,079	Series 2007-21CB-2A2		27.43%	# I/F		09/25/2037		42,998
		Countrywide Asset-Backed Certificates,
	995,903	Series 2006-2-2A2		0.43%	#		06/25/2036		852,274
		Countrywide Home Loans,
	693,147	Series 2007-10-A5		6.00%			07/25/2037		541,173
	33,376	Series 2007-4-1A5		6.50%			05/25/2037		27,500
		Credit Suisse First Boston Mortgage Securities Corporation,
	362,475	Series 2002-CKS4-A2		5.18%			11/15/2036		365,550
	369,346	Series 2005-8-1A3		5.25%			09/25/2035		325,953
		Credit Suisse Mortgage Capital Certificates,
	64,487	Series 2006-9-4A1		6.00%			11/25/2036		57,152
	497,200	Series 2010-7R-4A17		8.22%	#^		04/26/2037		320,517
		Deutsche Mortgage Securities, Inc.,
	353,038	Series 2006-PR1-3A1		11.79%	#^ I/F		04/15/2036		370,253
	126,713	Series 2006-PR1-5AI4		11.79%	#^ I/F		04/15/2036		136,449
		First Horizon Alternative Mortgage Securities,
	118,918	Series 2007-FA2-1A3		6.00%			04/25/2037		79,613
		GE Capital Commercial Mortgage Corporation,
	283,408	Series 2002-2-A3		5.35%			08/11/2036		285,231
		GMAC Commercial Mortgage Securities, Inc.,
	1,929	Series 2004-C2-A2		4.76%			08/10/2038		1,928
		GSAA Home Equity Trust,
	1,000,000	Series 2006-15-AF3B		5.93%	#		09/25/2036		174,181
		GSR Mortgage Loan Trust,
	408,966	Series 2006-2F-2A20		10.86%	# I/F		02/25/2036		420,622
		JP Morgan Alternative Loan Trust,
	70,004	Series 2005-S1-2A11		6.00%			12/25/2035		54,510
		JP Morgan Chase Commercial Mortgage Securities Corporation,
	49,824,556	Series 2005-CB12-X1		0.15%	#^ I/O		09/12/2037		458,087
	360,708	Series 2006-FL1-AG		0.71%	#^		02/15/2020		306,604
		JP Morgan Mortgage Acquisition Corporation,
	200,000	Series 2006-CH2-AF3		5.46%	#		10/25/2036		110,524
		LB-UBS Commercial Mortgage Trust,
	37,461,045	Series 2006-C6-XCP		0.86%	# I/O		09/15/2039		376,877
	64,198	Series 2006-C7-A2		5.30%			11/15/2038		64,273

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		LB-UBS Commercial Mortgage Trust, (Cont.)
$	70,147,698	Series 2007-C2-XCP		0.68%	# I/O		02/15/2040		666,964
	58,032,637	Series 2007-C7-XCL		0.12%	#^ I/O		09/15/2045		494,148
		Lehman Mortgage Trust,
	194,622	Series 2006-4-1A3		5.16%	# I/F I/O		08/25/2036		27,056
	12,163	Series 2006-4-1A4		6.00%			08/25/2036		8,567
	112,747	Series 2007-5-11A1		5.98%	#		06/25/2037		74,488
		Long Beach Mortgage Loan Trust,
	500,000	Series 2005-WL2-M1		0.71%	#		08/25/2035		426,902
		Morgan Stanley Capital, Inc.,
	269,003	Series 2004-HQ3-A3		4.49%			01/13/2041		269,969
	20,885,888	Series 2005-HQ6-X2		0.62%	# I/O		08/13/2042		139,518
	54,333,100	Series 2007-IQ16-X2		0.37%	#^ I/O		12/12/2049		448,411
		Morgan Stanley Mortgage Loan Trust,
	567,246	Series 2007-13-6A1		6.00%			10/25/2037		371,624
		Residential Accredit Loans, Inc.,
	477,896	Series 2006-QS10-A9		6.50%			08/25/2036		327,680
	8,751	Series 2006-QS13-1A8		6.00%			09/25/2036		5,951
	482,206	Series 2006-QS2-1A4		5.50%			02/25/2036		337,609
	98,923	Series 2006-QS7-A4		0.64%	#		06/25/2036		49,715
	296,769	Series 2006-QS7-A5		5.36%	# I/F I/O		06/25/2036		48,899
	185,910	Series 2006-QS8-A4		0.69%	#		08/25/2036		85,323
	557,729	Series 2006-QS8-A5		5.31%	# I/F I/O		08/25/2036		92,251
		Residential Asset Mortgage Products, Inc.,
	4,055	Series 2004-RS9-AI4		4.77%	#		10/25/2032		3,496
		Residential Asset Securitization Trust,
	35,000	Series 2005-A12-A12		5.50%			11/25/2035		29,411
	827,385	Series 2007-A1-A8		6.00%			03/25/2037		539,626
	908,267	Series 2007-A5-2A5		6.00%			05/25/2037		688,089
		Wachovia Bank Commercial Mortgage Trust,
	188,407	Series 2006-C23-APB		5.45%			01/15/2045		190,291
		Washington Mutual Mortgage Pass-Through Certificates,
	56,903	Series 2004-RS1-A1		4.50%			11/25/2033		56,796
	447,040	Series 2006-8-A6		5.77%	#		10/25/2036		289,262
		WF-RBS Commercial Mortgage Trust,
	6,686,099	Series 2011-C3-XA		1.90%	#^ I/O		03/15/2044		589,971
	-	Total Non-Agency Collateralized Mortgage Obligations (Cost $16,481,932)							16,273,097
	FOREIGN CORPORATE BONDS 1.1%
	200,000	AES Andres Dominicana Ltd.		9.50%			11/12/2020		212,000
	100,000	BTA Bank		10.75%	(a)		07/01/2018		22,500
	100,000	C10 Capital Ltd.		6.72%	#		12/31/2016		67,500
	100,000	Corporacion Pesquera Inca S.A.C.		9.00%			02/10/2017		108,125
	100,000	EGE Haina Finance Company		9.50%			04/26/2017		105,500
	100,000	Empresas ICA S.A.B. de C.V.		8.90%			02/04/2021		101,250
	150,000	GRUMA S.A.B. de C.V.		7.75%			12/29/2041		151,500
	100,000	Minerva Overseas II Ltd.		9.50%			02/01/2017		92,180
	100,000	Minerva Overseas II Ltd.		10.88%			11/15/2019		106,500
	200,000	VimpelCom Holdings B.V.		7.50%	^		03/01/2022		195,000
	100,000	WPE International Cooperatief U.A.		10.38%			09/30/2020		95,330
	80,000	YPF Sociedad Anonima		10.00%			11/02/2028		84,400
		Total Foreign Corporate Bonds (Cost $1,453,619)							1,341,785
	US GOVERNMENT/AGENCY MORTGAGE BACKED SECURITIES 7.8%
		Federal Home Loan Mortgage Corporation,
	905,691	Series 2890-ZA		5.00%			11/15/2034		1,015,459
	218,121	Series 3261-SA		6.19%	# I/F I/O		01/15/2037		31,545

30 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Federal Home Loan Mortgage Corporation, (Cont.)
$	456,727	Series 3317-DS		14.40%	# I/F		05/15/2037		549,048
	444,119	Series 3355-BI		5.81%	# I/F I/O		08/15/2037		58,944
	822,458	Series 3384-S		6.15%	# I/F I/O		11/15/2037		121,275
	1,411,143	Series 3384-SG		6.07%	# I/F I/O		08/15/2036		180,066
	874,063	Series 3417-SX		5.94%	# I/F I/O		02/15/2038		118,175
	1,550,983	Series 3423-GS		5.41%	# I/F I/O		03/15/2038		181,635
	14,008,931	Series 3423-TG		0.35%	# I/F I/O		03/15/2038		128,074
	1,675,080	Series 3500-SA		5.28%	# I/F I/O		01/15/2039		195,043
	1,376,503	Series 3523-SM		5.76%	# I/F I/O		04/15/2039		180,957
	430,705	Series 3562-WS		4.71%	# I/F I/O		08/15/2039		40,811
	500,000	Series 3641-TB		4.50%			03/15/2040		549,965
	79,141	Series 3738-MS		11.35%	# I/F		10/15/2040		79,175
	169,635	Series 3739-LS		9.52%	# I/F		10/15/2040		167,288
	1,322,527	Series 3758-S		5.79%	# I/F I/O		11/15/2040		168,388
	76,717	Series 3779-DZ		4.50%			12/15/2040		75,683
	30,318	Series 3780-BS		9.42%	# I/F		12/15/2040		30,355
	93,695	Series 3780-YS		9.42%	# I/F		12/15/2040		99,061
	126,396	Series 3793-SB		9.89%	# I/F		01/15/2041		123,183
	118,446	Series 3796-SK		9.42%	# I/F		01/15/2041		117,982
	1,436,352	Series 3815-ST		5.61%	# I/F I/O		02/15/2041		168,465
	820,431	Series 3900-SB		5.73%	# I/F I/O		07/15/2041		113,199
	337,311	Series 3923-CZ		5.00%			09/15/2041		357,849
	504,388	Series 3972-AZ		3.50%			12/15/2041		469,254
	1,006,678	Series 3982-TZ		4.00%			01/15/2042		999,396
		Federal National Mortgage Association,
	389,457	Series 2006-101-SA		6.34%	# I/F I/O		10/25/2036		56,255
	188,819	Series 2006-123-LI		6.08%	# I/F I/O		01/25/2037		27,414
	1,034,431	Series 2007-57-SX		6.38%	# I/F I/O		10/25/2036		163,639
	60,587	Series 2009-49-S		6.51%	# I/F I/O		07/25/2039		9,011
	1,326,118	Series 2009-86-CI		5.56%	# I/F I/O		09/25/2036		188,707
	1,100,384	Series 2009-90-IA		5.51%	# I/F I/O		03/25/2037		135,910
	1,072,080	Series 2009-90-IB		5.48%	# I/F I/O		04/25/2037		141,805
	84,098	Series 2010-155-SA		9.51%	# I/F		01/25/2041		81,959
	1,644,676	Series 2010-39-SL		5.43%	# I/F I/O		05/25/2040		198,361
	283,552	Series 2011-113-SH		9.32%	# I/F		11/25/2041		285,508
	350,514	Series 2011-11-SA		6.31%	# I/F		03/25/2031		326,493
	444,944	Series 2011-123-SC		9.31%	# I/F		12/25/2041		465,442
	116,405	Series 2011-14-US		7.77%	# I/F		03/25/2041		115,567
	1,353,527	Series 2011-5-PS		6.16%	# I/F I/O		11/25/2040		174,590
	299,000	Series 2012-30-DZ		4.00%			04/25/2042		288,583
		Government National Mortgage Association,
	139,293	Series 2009-6-SM		5.71%	# I/F I/O		02/20/2038		21,652
	86,395	Series 2011-12-PO		0.00%	P/O		12/20/2040		61,865
	116,994	Series 2011-14-SM		9.22%	# I/F		08/16/2040		115,448
	522,970	Series 2011-45-GZ		4.50%			03/20/2041		555,874
	250,000	Series 2011-7-LS		9.40%	# I/F		12/20/2040		255,189
		Total US Government/Agency Mortgage backed Securities (Cost $9,272,593)							9,989,547

INVESTMENT COMPANIES AND EXCHANGE TRADED NOTES 21.5%
70,000	First Trust ISE-Revere Natural Gas Index Fund		1,236,900
86,000	Hugoton Royalty Trust		1,262,480
5,700	iPath Dow Jones-UBS Agriculture Total Return ETN	*	314,081
53,000	Market Vectors Gold Miners ETF		2,627,210
21,000	Market Vectors Junior Gold Miners ETF		515,550
57,000	Market Vectors Russia ETF		1,760,730
2,000	ProShares UltraShort 20+ Year Treasury	*	40,900
73,500	San Juan Basin Royalty Trust		1,425,165
78,500	SPDR Dow Jones Industrial Average ETF Trust	*	10,345,515
13,900	Ultra Petroleum Corporation	*	314,557
65,000	Vanguard Short-Term Bond ETF		5,261,750

PRINCIPAL AMOUNT / CONTRACTS~/ NOTIONAL/SHARES		SECURITY DESCRIPTION	RATE	MATURITY	VALUE $
	40,000	WisdomTree Trust Emerging Markets Equity Income Fund				2,304,400
		Total Investment Companies and Exchange Traded Notes (Cost $28,141,683)				27,409,238
	AFFILIATED MUTUAL FUNDS 30.6%
	349,549	DoubleLine Core Fixed Income Fund				3,866,013
	641,436	DoubleLine Emerging Markets Fixed Income Fund				6,863,366
	394,023	DoubleLine Low Duration Bond Fund				4,003,271
	2,166,865	DoubleLine Total Return Bond Fund				24,203,882
		Total Affiliated Mutual Funds (Cost $38,559,665)				38,936,532
	PURCHASED OPTIONS 0.5%
		Australian Dollar Put,
	2,440,000	Expiration May 2012, Strike Price $0.98				14,250
		Crude Oil European Call,
	5	Expiration December 2013, Strike Price $130.00				18,150
		COMEX Division Gold Call,
	10	Expiration December 2014, Strike Price $100.00				150,538
		iShares Barclays 20+ Year Treasury Put,
	480	Expiration April 2012, Strike Price $105.00				9,600
		Japanese Yen Call,
	15,000,000	Expiration September 2012, Strike Price $84.00				349,950
		ProShares UltraShort 20+ Year Treasury Call,
	2,010	Expiration June 2012, Strike Price $27.00				22,110
		S&P GSCI Crude Oil Call,
	1,316	Expiration September 2012, Strike Price $911.58				81,927
		SPDR Gold Trust Call,
	25	Expiration January 2014, Strike Price $200.00				20,000
		Total Purchased Options (Cost $1,030,274)				666,525

SHORT TERM INVESTMENTS 23.2%
20,517,998	Fidelity Institutional Government Portfolio	0.01%	¨			20,517,998
9,000,000	United States Treasury Bills	0.00%		04/26/2012		8,999,770
	Total Short Term Investments (Cost $29,517,768)					29,517,768
	Total Investments 97.5% (Cost $124,457,534)					124,134,492
	Other Assets in Excess of Liabilities 2.5%					3,198,811
	NET ASSETS 100.0%				$	127,333,303

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 31

Schedule of Investments (Consolidated)  DoubleLine Multi-Asset Growth Fund(Cont.)

PORTFOLIO HOLDINGS as % of Net Assets
Affiliated Mutual Funds	30.6%
Short Term Investments	23.2%
Investment Companies and Exchange Traded Notes	21.5%
Non-Agency Collateralized Mortgage Obligations	12.8%
US Government / Agency Mortgage Backed Securities	7.8%
Foreign Corporate Bonds	1.1%
Purchased Options	0.5%
Other Assets and Liabilities	2.5%
	100.0%

# Variable rate security. Rate disclosed as of March 31, 2012.

^ 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. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2012, the value of these securities amounted to $4,687,820 or 3.7% of net assets.

I/O Interest only security

I/F Inverse floating rate security whose interest rate moves in the opposite direction of prevailing interest rates

P/O Principal only security

* Non-Income Producing

(a) Issuer is in default of interest payments

(b) Institutional class shares at each Fund

¨ Seven-day yield as of March 31, 2012

Written Option
Contracts~/Notional	Security Description					Value
5	Crude Oil Europe Call, Expiration December 2013, Strike Price $180.00					$	(3,950	)
15,000,000	Japanese Yen Call, Expiration September 2012, Strike Price $90.00						(100,950	)
2,075	S&P GSCI Crude Oil Call, September 2012, Strike Price $578.36						(73,810	)
693	Ultra Petroleum Put, Expiration April 2012, Strike Price $24.00						(114,345	)
307	Ultra Petroleum Put, Expiration April 2012, Strike Price $25.00						(77,518	)
Total Written Options (Premiums Received $340,602)						$	(370,573	)
~      100 shares per contract
Long Futures Contracts
Contracts	Security Description	Type		Expiration Month		Unrealized Appreciation (Depreciation)
19	Gold Future		Buy		6/2012	$	(27,018	)
						$	(27,018	)
Short Futures Contracts
Contracts	Security Description	Type		Expiration Month		Unrealized Appreciation (Depreciation)
32	Australian Future		Sell		3/2012	$	45,516
						$	45,516
Credit Default Swaps - Buy Protection
Reference Entity	Counterparty	Notional Amount		Termination Date		Unrealized Appreciation (Depreciation)
French Republic	Morgan Stanley		2,000,000		09/20/2016	$	38,350
French Republic	Morgan Stanley		2,000,000		12/20/2016		(9,851	)
Austria	Morgan Stanley		8,000,000		12/20/2016		(72,943	)
						$	(44,444	)

32 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

Total Return Swaps - Long
Reference Entity	Counterparty	Notional Amount		Termination Date		Unrealized Appreciation (Depreciation)
S&P GSCI Corn Official Close Index	Morgan Stanley		515,000		4/5/2012	$	34,105
S&P GSCI Sugar Official Close Index	Morgan Stanley		515,000		4/5/2012		2,303
S&P GSCI Cotton Official Close Index	Morgan Stanley		515,000		4/5/2012		(110	)
S&P GSCI Brent Crude Official Close Index	Morgan Stanley		515,000		4/5/2012		1,906
S&P GSCI Gas Oil Official Close Index	Morgan Stanley		515,000		4/5/2012		(1,772	)
S&P GSCI Unleaded Gasoline Official Close Index	Morgan Stanley		515,000		4/5/2012		(4,873	)
						$	31,559

Total Return Swaps - Short
Reference Entity	Counterparty	Notional Amount		Termination Date		Unrealized Appreciation (Depreciation)
S&P GSCI Cocoa Official Close Index	Morgan Stanley		515,000		4/5/2012	$	926
S&P GSCI Coffee Official Close Index	Morgan Stanley		515,000		4/5/2012		(17,512	)
S&P GSCI Kansas Wheat Official Close Index	Morgan Stanley		515,000		4/5/2012	��	(34,254	)
S&P GSCI Wheat Official Close Index	Morgan Stanley		515,000		4/5/2012		(40,570	)
S&P GSCI Aluminum Official Close Index	Morgan Stanley		515,000		4/5/2012		1,948
S&P GSCI Natural Gas Official Close Index	Morgan Stanley		515,000		4/5/2012		5,512
						$	(83,950	)

Investments in Affiliates

Generally, an issuer is an affiliated person of a Fund under the Investment Company Act of 1940 if the Fund holds 5% or more of the outstanding voting securities of the issuer or if the issuer is under common control with the Fund.

A summary of DoubleLine Multi-Asset Growth Fund’s investments in affiliated mutual funds for the period ended March 31, 2012, is as follows:

Fund	Value at March 31, 2011		Gross Purchases		Gross Sales		Shares Held at March 31, 2012		Value at March 31, 2012		Dividend Income Earned in the Period Ended March 31, 2012
DoubleLine Total Return Bond Fund	$	4,026,705	$	19,991,189	$	—		2,166,865	$	24,203,882	$	1,072,796
DoubleLine Core Fixed Income Fund		794,960		2,984,126		—		349,549		3,866,013		106,654
DoubleLine Emerging Markets Fixed Income Fund		134,239		6,611,620		—		641,436		6,863,366		109,294
DoubleLine Low Duration Bond Fund		—		3,985,000		—		394,023		4,003,271		16,939
	$	4,955,904	$	33,571,935	$	—		3,551,873	$	38,936,532	$	1,305,683

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 33

Schedule of Investments  DoubleLine Low Duration Bond Fund

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	COLLATERALIZED LOAN OBLIGATIONS 3.1%
		Atrium Corporation,
$	2,069,416	Series 3A-A1		0.82%	#^		10/27/2016		2,038,375
		Avenue Ltd.,
	568,727	Series 2004-1A-A1L		0.85%	#^		02/15/2017		562,357
		Black Diamond Ltd.,
	1,074,726	Series 2005-1A-A1		0.74%	#^		06/20/2017		1,039,797
		Galaxy Ltd.,
	976,205	Series 2005-5A-A1		0.82%	#^		10/20/2017		956,680
		Sargas II Ltd.,
	42,595	Series 2006-1A-C		1.16%	#^		10/20/2018		42,595
	857,103	Series 2006-1A-D		1.81%	#^		10/20/2018		846,389
		Venture Ltd.,
	1,282,858	Series 2003-1A-A1		1.06%	#^		01/21/2016		1,272,441
		Total Collateralized Loan Obligations (Cost $6,759,406)							6,758,634
	NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS 39.4%
		Asset Securitization Corporation,
	9,546,224	Series 1997-D4-PS1		1.70%	# I/O		04/14/2029		444,606
	404,384	Series 1997-D5-A2		7.15%	#		02/14/2043		408,158
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	1,021,085	Series 2005-5-ASB		5.05%	#		10/10/2045		1,075,066
	790,954	Series 2006-5-AAB		5.38%			09/10/2047		828,591
		Banc of America Re-Remic Trust,
	1,775,000	Series 2011-STRP-A2		2.15%	#^		08/17/2038		1,773,142
		Bank of America Commercial Mortgage, Inc.,
	100,000	Series 2003-2-A4		5.06%	#		03/11/2041		104,429
		BCAP LLC Trust,
	83,883	Series 2009-RR13-6A5		6.00%	#^		04/26/2037		86,520
		Bear Stearns Asset Backed Securities Trust,
	1,100,050	Series 2005-3-A1		0.69%	#		09/25/2035		1,080,798
		Bear Stearns Commercial Mortgage Securities, Inc.,
	700,833	Series 2002-TOP8-A2		4.83%			08/15/2038		707,589
	1,015,000	Series 2004-PWR3-A4		4.72%			02/11/2041		1,067,164
	1,115,000	Series 2004-PWR4-A3		5.47%	#		06/11/2041		1,198,211
	825,000	Series 2004-T14-A4		5.20%	#		01/12/2041		877,586
	509,766	Series 2005-PWR8-AAB		4.58%			06/11/2041		522,450
	860,000	Series 2007-PW17-AAB		5.70%			06/11/2050		904,391
	169,099	Series 2007-T28-A2		5.59%			09/11/2042		170,947
		Capital Trust,
	1,683,032	Series 2005-3A-A2		5.16%	^		06/25/2035		1,693,551
		CD Commercial Mortgage Trust,
	649,999	Series 2007-CD4-ASB		5.28%			12/11/2049		677,422
	15,260,748	Series 2007-CD5-XP		0.32%	#^ I/O		11/15/2044		77,036
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	224,181	Series 2003-5-1A6		4.60%			01/25/2015		227,420
	356,636	Series 2003-6-1A6		4.59%			11/25/2034		359,592
		Citigroup Mortgage Loan Trust, Inc.,
	1,375,548	Series 2010-12-3A1		4.00%	^		04/25/2037		1,405,947
	1,781,311	Series 2010-8-5A6		4.00%	^		11/25/2036		1,833,038
	2,857,447	Series 2011-12-1A1		3.50%	#^		04/25/2036		2,878,610
	1,744,079	Series 2011-12-3A1		5.59%	^		09/25/2047		1,761,609
		Commercial Mortgage Acceptance Corporation,
	93,666	Series 1998-C1-F		6.23%	^		07/15/2031		96,049
	740,063	Series 1998-C2-F		5.44%	#^		09/15/2030		768,931
		Countrywide Alternative Loan Trust,
	1,490,597	Series 2007-HY5R-2A1A		5.54%	#		03/25/2047		1,439,860
		Countrywide Asset-Backed Certificates,
	1,327,870	Series 2006-2-2A2		0.43%	#		06/25/2036		1,136,364
	1,215,791	Series 2007-10-2A1		0.29%	#		06/25/2047		1,195,216
		Countrywide Home Loan Mortgage Pass Through Trust,
	1,597,370	Series 2004-9-A1		5.00%			06/25/2034		1,619,210

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Credit Suisse First Boston Mortgage Securities Corporation,
$	500,000	Series 1998-C2-F		6.75%	#^		11/15/2030		542,620
	99,227	Series 2002-CKN2-A3		6.13%			04/15/2037		99,147
	614,364	Series 2002-CKS4-A2		5.18%			11/15/2036		619,576
		Credit Suisse Mortgage Capital Certificates,
	105,849	Series 2010-1R-5A1		5.00%	#^		01/27/2036		109,718
		Crest Ltd.,
	631,820	Series 2003-2A-A1		0.95%	#^		12/28/2018		582,065
		Deutsche ALT-A Securities Inc Alternate Loan Trust,
	1,579,967	Series 2007-BAR1-A2		0.37%	#		03/25/2037		1,516,996
		Deutsche Mortgage Securities, Inc.,
	2,434,228	Series 2005-WF1-1A2		5.25%	#^		06/26/2035		2,450,266
		Extended Stay American Trust,
	975,118	Series 2010-ESHA-A		2.95%	^		11/05/2027		987,313
		First Franklin Mortgage Loan Asset Backed Certificates,
	806,206	Series 2006-FF13-A2B		0.34%	#		10/25/2036		796,376
		GE Capital Commercial Mortgage Corporation,
	858,812	Series 2002-2-A3		5.35%			08/11/2036		864,337
	487,000	Series 2004-C3-B		5.51%	#		07/10/2039		517,260
	200,000	Series 2007-C1-AAB		5.48%			12/10/2049		209,157
		GMAC Commercial Mortgage Securities, Inc.,
	682,342	Series 2004-C3-AAB		4.70%			12/10/2041		711,904
		Greenpoint Mortgage Funding Trust,
	138,478	Series 2006-AR8-1A1A		0.32%	#		01/25/2047		134,181
		GS Mortgage Securities Corporation II,
	750,000	Series 2003-C1-A3		4.61%			01/10/2040		764,216
	6,077,956	Series 2005-GG4-XP		0.90%	#^ I/O		07/10/2039		8,552
		GSR Mortgage Loan Trust,
	2,269,403	Series 2006-AR1-2A2		2.70%	#		01/25/2036		2,224,272
		Jefferies & Company, Inc.,
	1,628,531	Series 2010-R7-5A1		1.24%	#^		09/26/2035		1,490,790
		JP Morgan Alternative Loan Trust,
	2,608,855	Series 2006-S4-A6		5.71%	#		12/25/2036		2,311,118
		JP Morgan Chase Commercial Mortgage Securities Corporation,
	1,696,202	Series 2002-CIB5-A2		5.16%			10/12/2037		1,718,760
	529,847	Series 2004-CB8-A1A		4.16%	^		01/12/2039		551,633
	198,037	Series 2006-CB14-ASB		5.51%	#		12/12/2044		210,484
	111,583	Series 2006-CB15-ASB		5.79%	#		06/12/2043		119,951
	129,508,320	Series 2006-CB16-X2		0.70%	# I/O		05/12/2045		943,080
	230,982	Series 2006-CB17-ASB		5.42%			12/12/2043		248,154
	295,059	Series 2006-FL1-AG		0.71%	#^		02/15/2020		250,802
	494,256	Series 2007-CB20-ASB		5.69%			02/12/2051		532,953
	107,003	Series 2007-LD11-ASB		6.00%	#		06/15/2049		114,939
	213,380	Series 2007-LDP12-ASB		5.83%	#		02/15/2051		231,036
	954,834	Series 2011-PLSD-A1		2.19%	^		11/13/2044		968,884
		JP Morgan Mortgage Trust,
	707,036	Series 2007-S1-1A1		5.00%			03/25/2022		647,758
		JP Morgan Research Trust,
	1,446,120	Series 2009-7-8A1		5.48%	#^		01/27/2047		1,484,707
	842,121	Series 2011-2-2A3		3.50%	#^		07/26/2036		862,068
	1,682,500	Series 2012-2-3A3		2.59%	#^		10/26/2036		1,673,582
		LB-UBS Commercial Mortgage Trust,
	19,463	Series 2003-C5-A3		4.25%			07/15/2027		19,916
	1,299,000	Series 2004-C2-A4		4.37%			03/15/2036		1,369,246
	2,000,000	Series 2004-C6-A6		5.02%	#		08/15/2029		2,148,397
	34,658	Series 2005-C3-A3		4.65%			07/15/2030		34,693
	37,461,045	Series 2006-C6-XCP		0.86%	# I/O		09/15/2039		376,877
	105,221,547	Series 2007-C2-XCP		0.68%	# I/O		02/15/2040		1,000,446
		Lehman XS Trust,
	2,036,684	Series 2006-11-2A1		0.37%	#		06/25/2046		1,850,372
		MASTR Asset Backed Securities Trust,
	405,424	Series 2006-NC1-A3		0.43%	#		01/25/2036		343,546
		Merrill Lynch Mortgage Trust,
	138,000	Series 2003-KEY1-A4		5.24%	#		11/12/2035		145,689
	1,020,000	Series 2004-KEY2-A4		4.86%	#		08/12/2039		1,096,693

34 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
$	376,744	Series 2006-4-A2FL		0.36%	#		12/12/2049		376,632
		Morgan Stanley Capital, Inc.,
	119,013	Series 2003-IQ5-A4		5.01%			04/15/2038		123,648
	464,756	Series 2003-TOP9-A2		4.74%			11/13/2036		473,008
	87,164	Series 2004-T13-A3		4.39%			09/13/2045		88,768
	3,250,000	Series 2005-WMC3-M3		0.95%	#		03/25/2035		2,910,499
	26,046,418	Series 2006-HQ10-X1		0.18%	#^ I/O		11/12/2041		482,458
	249,931	Series 2006-HQ9-AAB		5.69%			07/12/2044		259,955
	1,531,598	Series 2007-T25-AAB		5.51%			11/12/2049		1,625,660
		Morgan Stanley Mortgage Loan Trust,
	649,614	Series 2004-1-1A1		5.00%			11/25/2018		667,466
		Nomura Asset Securities Corporation,
	1,070,000	Series 1998-D6-A2		7.32%	#		03/15/2030		1,113,445
		Park Place Securities, Inc.,
	2,142,644	Series 2004-WHQ2-M1		0.83%	#		02/25/2035		2,130,052
		Residential Funding Mortgage Securities Trust,
	651,941	Series 2003-S16-A1		4.75%			09/25/2018		668,963
		Structured Adjustable Rate Mortgage Loan Trust,
	761,977	Series 2006-5-5A3		5.23%	#		06/25/2036		738,153
		Structured Asset Securities Corporation,
	901,797	Series 2003-24A-1A3		2.66%	#		07/25/2033		822,394
	899,703	Series 20034-15-2A1		4.75%			09/25/2019		906,463
	1,878,815	Series 2005-10-6A1		5.00%			06/25/2020		1,894,048
		Wachovia Bank Commercial Mortgage Trust,
	1,502,024	Series 2003-C3-A2		4.87%			02/15/2035		1,535,396
	185,712	Series 2006-C25-APB1		5.83%	#		05/15/2043		188,852
	74,859	Series 2006-C26-APB		6.00%			06/15/2045		81,833
		Washington Mutual Mortgage Pass-Through Certificates,
	131,350	Series 2004-RS1-A1		4.50%			11/25/2033		131,102
	961,379	Series 2005-AR14-1A1		2.46%	#		12/25/2035		944,372
		Wells Fargo Home Equity Trust,
	165,646	Series 2004-2-AI5		4.89%	#		05/25/2034		166,236
		Wells Fargo Mortgage Backed Securities Trust,
	767,403	Series 2005-9-1A8		5.50%			10/25/2035		770,985
	584,560	Series 2006-4-1A8		5.75%			04/25/2036		591,414
	5,240	Series 2006-AR4-2A3		5.61%	#		04/25/2036		5,198
		Wells Fargo Mortgage Loan Trust,
	1,452,176	Series 2012-RR1-A1		2.85%	#^		08/27/2037		1,454,558
		Total Non-Agency Collateralized Mortgage Obligations (Cost $85,243,624)							85,455,591
	US CORPORATE BONDS 17.9%
	875,000	Altria Group, Inc.		8.50%			11/10/2013		978,100
	911,000	American Express Credit Corporation		5.88%			05/02/2013		958,249
	450,000	Amgen, Inc.		1.88%			11/15/2014		460,684
	250,000	Amgen, Inc.		4.85%			11/18/2014		273,666
	1,000,000	Anheuser Busch Inbev Worldwide, Inc.		5.38%			11/15/2014		1,111,131
	900,000	Aristotle Holding, Inc.		2.10%	^		02/12/2015		911,722
	725,000	AT&T, Inc.		4.85%			02/15/2014		779,868
	1,019,000	Berkshire Hathaway, Inc.		3.20%			02/11/2015		1,086,313
	703,000	Boeing Capital Corporation		3.25%			10/27/2014		749,713
	300,000	Boeing Company		5.00%			03/15/2014		326,415
	250,000	Caterpillar Financial Services Corporation		6.13%			02/17/2014		274,931
	188,000	Caterpillar Financial Services Corporation		1.38%			05/20/2014		190,903
	235,000	Caterpillar Financial Services Corporation		1.13%			12/15/2014		237,077
	750,000	Citigroup, Inc.		0.81%	#		11/05/2014		719,334
	750,000	Coca Cola Co.		0.75%			03/13/2015		748,455

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	700,000	Comcast Corporation		6.50%			01/15/2015		799,257
	1,050,000	ConocoPhillips Company		4.75%			02/01/2014		1,127,907
	416,000	Daimler Finance North America LLC		6.50%			11/15/2013		453,216
	150,000	Daimler Finance North America LLC		1.95%	^		03/28/2014		151,894
	450,000	Daimler Finance North America LLC		1.88%	^		09/15/2014		456,724
	1,000,000	DIRECTV Holdings LLC		4.75%			10/01/2014		1,087,583
	881,000	Dow Chemical Company		7.60%			05/15/2014		998,067
	914,000	Duke Energy Corporation		6.30%			02/01/2014		1,002,196
	1,050,000	Ecolab, Inc.		2.38%			12/08/2014		1,088,244
	986,000	General Electric Capital Corporation		3.75%			11/14/2014		1,049,304
	700,000	Gilead Sciences, Inc.		2.40%			12/01/2014		724,650
	1,100,000	Hewlett Packard Co.		1.25%			09/13/2013		1,102,619
	1,175,000	JP Morgan Chase & Company		4.75%			05/01/2013		1,224,017
	120,000	Kinder Morgan Energy Partners LP		5.13%			11/15/2014		131,195
	334,000	Kinder Morgan Energy Partners LP		5.63%			02/15/2015		370,972
	719,000	Kraft Foods, Inc.		2.63%			05/08/2013		733,005
	200,000	Kroger Company		5.50%			02/01/2013		207,995
	500,000	Kroger Company		7.50%			01/15/2014		557,647
	810,000	Marriott International, Inc.		5.63%			02/15/2013		841,394
	300,000	Metlife Institutional Funding II		1.63%	^		04/02/2015		299,948
	525,000	Metropolitan Life Global Funding		5.13%	^		04/10/2013		548,908
	200,000	Metropolitan Life Global Funding		2.00%	^		01/09/2015		202,256
	174,000	Motorola Solutions, Inc.		5.38%			11/15/2012		178,320
	212,000	National Rural Utilities Cooperative Finance Corporation		3.88%			09/16/2015		231,251
	750,000	National Rural Utilities Cooperative Finance Corporation		1.90%			11/01/2015		768,820
	925,000	Phillips 66		1.95%	^		03/05/2015		932,058
	1,100,000	Procter & Gamble Company		0.70%			08/15/2014		1,104,018
	1,050,000	Raytheon Company		1.40%			12/15/2014		1,068,101
	775,000	Safeway, Inc.		6.25%			03/15/2014		853,214
	483,000	Simon Property Group LP		6.75%			05/15/2014		534,991
	500,000	Simon Property Group LP		4.20%			02/01/2015		535,600
	600,000	Southern Power Company, Series D		4.88%			07/15/2015		661,915
	691,000	Southwest Airlines Company		5.25%			10/01/2014		743,518
	999,000	Time Warner Cable, Inc.		6.20%			07/01/2013		1,065,851
	1,000,000	Toyota Motor Credit Corporation		1.00%			02/17/2015		1,000,534
	900,000	Verizon Wireless Capital LLC		5.55%			02/01/2014		973,807
	120,000	Wal-Mart Stores, Inc.		3.00%			02/03/2014		125,480
	910,000	Wal-Mart Stores, Inc.		1.63%			04/15/2014		932,465
	500,000	Wellpoint, Inc.		5.00%			12/15/2014		548,827
	1,032,000	Wells Fargo & Company		4.38%			01/31/2013		1,063,985
	725,000	Xerox Corporation		4.25%			02/15/2015		770,566
		Total US Corporate Bonds (Cost $38,879,308)							39,058,880

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 35

Schedule of Investments  DoubleLine Low Duration Bond Fund(Cont.)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
	FOREIGN CORPORATE BONDS 14.0%
$	400,000	Abu Dhabi National Energy Company		6.60%			08/01/2013		424,000
	818,000	AES Gener S.A.		7.50%			03/25/2014		891,620
	1,050,000	Australia & New Zealand Banking Group Ltd.		2.13%	^		01/10/2014		1,063,174
	400,000	Banco Bradesco S.A.		2.60%	#		05/16/2014		406,368
	200,000	Banco de Bogota S.A.		5.00%	^		01/15/2017		208,000
	500,000	Banco de Bogota S.A.		5.00%			01/15/2017		520,000
	700,000	Banco de Credito del Peru		4.75%			03/16/2016		724,500
	600,000	Banco do Brasil		4.50%			01/22/2015		632,400
	500,000	Banco do Nordeste		3.63%			11/09/2015		505,000
	603,000	Banco Mercantil del Norte		4.38%			07/19/2015		630,135
	600,000	Banco Safra S.A.		3.50%			05/16/2014		607,500
	700,000	BanColombia S.A.		4.25%			01/12/2016		726,250
	850,000	BP Capital Markets PLC		3.63%			05/08/2014		894,108
	400,000	Centrais Eletricas Brasileiras S.A.		7.75%			11/30/2015		466,720
	300,000	China Overseas Finance Ltd.		5.75%			07/13/2012		303,941
	400,000	CNPC Overseas Capital Ltd.		3.13%			04/28/2016		411,466
	200,000	Corporacion Nacional del Cobre de Chile		4.75%			10/15/2014		215,901
	894,000	Covidien International Finance S.A.		1.88%			06/15/2013		903,891
	450,000	DBS Bank Ltd.		2.38%			09/14/2015		459,914
	84,290	Dolphin Energy Ltd.		5.89%			06/15/2019		91,560
	200,000	Eurasian Development Bank		7.38%			09/29/2014		219,000
	300,000	Gaz Capital S.A.		7.34%			04/11/2013		315,387
	300,000	Gaz Capital S.A.		7.51%			07/31/2013		320,580
	400,000	Grupo Aval Ltd.		5.25%	^		02/01/2017		417,000
	300,000	Grupo Aval Ltd.		5.25%			02/01/2017		312,750
	300,000	Hutchison Whampoa International		6.50%			02/13/2013		312,249
	550,000	Hutchison Whampoa International		4.63%			09/11/2015		585,367
	700,000	Hyundai Capital America, Inc.		3.75%			04/06/2016		717,116
	150,000	Industrial Bank of Korea		7.13%			04/23/2014		164,743
	200,000	Industry & Construction Bank		5.01%	#		09/29/2015		198,250
	68,000	Inversiones CMPC S.A.		4.88%			06/18/2013		70,303
	800,000	IOI Ventures BHD		5.25%			03/16/2015		845,761
	150,000	KazMunayGas National Company		8.38%			07/02/2013		160,166
	700,000	KT Corporation		5.88%			06/24/2014		745,106
	800,000	Lotte Shopping Company Ltd.		3.88%			04/07/2016		815,287
	400,000	Lukoil International Finance BV		6.38%			11/05/2014		432,748
	100,000	MTR Corporation		4.50%			08/14/2013		104,579
	400,000	MTR Corporation		4.75%			01/21/2014		428,503
	700,000	PCCW-HKT Capital No 4 Ltd.		4.25%			02/24/2016		723,564
	300,000	Penerbangan Malaysia BHD		5.63%			03/15/2016		335,665
	700,000	Penergangan Mala		5.63%			03/15/2016		783,217
	800,000	Petrobras International Finance Company		3.88%			01/27/2016		846,082
	200,000	Petroleos Mexicanos		4.88%			03/15/2015		217,500
	500,000	Petronas Global Sukuk Ltd.		4.25%			08/12/2014		529,101
	700,000	Prime Holdings Labuan Ltd.		5.38%			09/22/2014		742,074
	650,000	PTTEP Australia International Finance Ltd.		4.15%			07/19/2015		677,981
	400,000	Qtel International Finance Ltd.		6.50%			06/10/2014		438,400
	250,000	Ras Laffan Liquefied Natural Gas Company		5.50%			09/30/2014		270,313

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	387,900	Ras Laffan Liquefied Natural Gas Company		5.83%			09/30/2016		416,993
	915,000	Royal Bank of Cananda		1.25%	#		10/30/2014		925,227
	300,000	Russian Agricultural Bank		7.18%			05/16/2013		314,850
	250,000	Sberbank of Russia		6.47%			07/02/2013		264,125
	700,000	Southern Copper Corporation		6.38%			07/27/2015		787,329
	800,000	Telefonos de Mexico S.A.B.		5.50%			01/27/2015		882,928
	171,636	Tengizchevroil Finance Corporation		6.12%			11/15/2014		181,102
	700,000	TM Global, Inc.		5.25%			09/22/2014		739,917
	200,000	Transneft		5.67%			03/05/2014		213,550
	718,000	United Overseas Bank Ltd.		4.50%			07/02/2013		742,376
	400,000	VEB Leasing Investment Ltd.		5.13%			05/27/2016		406,500
	700,000	Votorantim Overseas III		7.88%			01/23/2014		765,450
		Total Foreign Corporate Bonds (Cost $30,229,052)							30,455,587
	FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES 2.8%
	300,000	Export-Import Bank of Korea		4.13%			09/09/2015		316,136
	925,000	Korea Development Bank		4.38%			08/10/2015		979,574
	850,000	Mexico Government International Bond		5.88%			01/15/2014		923,100
	660,000	Pemex Project Funding Master Trust		5.75%			12/15/2015		739,200
	1,050,000	Republic of Korea		4.88%			09/22/2014		1,126,286
	600,000	Republic of South Africa		6.50%			06/02/2014		667,500
	1,100,000	State of Qatar		4.00%			01/20/2015		1,160,500
	250,000	Wakala Global Sukuk BHD		2.99%			07/06/2016		255,958
		Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $6,118,154)							6,168,254
	US GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES 2.7%
	945,340	Federal Home Loan Mortgage Corporation, Pool G06871		6.00%			06/01/2038		1,045,377
	965,537	Federal Home Loan Mortgage Corporation, Pool N70081		5.50%			07/01/2038		1,052,996
	645,845	Federal Home Loan Mortgage Corporation, Series 3267-BA		5.80%			11/15/2036		714,210
	402,732	Federal Home Loan Mortgage Corporation, Series 3872-BA		4.00%			06/15/2041		427,818
	396,383	Federal National Mortgage Association, Series 2011-64-DB		4.00%			07/25/2041		419,305
	214,996	Federal National Mortgage Association Pass-Thru, Pool 995112		5.50%			07/01/2036		235,934
	979,496	Federal National Mortgage Association Pass-Thru, Pool AB3850		4.00%			11/01/2041		1,014,933

36 DoubleLine Funds The accompanying notes are an integral part of these financial statements

March 31, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	RATE			MATURITY		VALUE $
$	866,987	Federal National Mortgage Association Pass-Thru, Pool AD0189		5.50%			02/01/2039		949,115
		Total US Government / Agency Mortgage backed Securities (Cost $5,779,688)							5,859,688
	US GOVERNMENT BONDS AND NOTES 7.4%
	3,000,000	United States Treasury Notes		0.50%			05/31/2013		3,009,141
	6,000,000	United States Treasury Notes		1.88%			04/30/2014		6,186,564
	7,000,000	United States Treasury Notes		0.25%			02/15/2015		6,950,783
		Total US Government Bonds and Notes (Cost $16,122,979)							16,146,488
	SHORT TERM INVESTMENTS 10.9%
	23,637,921	Fidelity Institutional Government Portfolio		0.01%	¨				23,637,921
		Total Short Term Investments (Cost $23,637,921)							23,637,921
		Total Investments 98.2% (Cost $212,770,132)							213,541,043
		Other Assets in Excess of Liabilities 1.8%							3,919,167
		NET ASSETS 100.0%						$	217,460,210

PORTFOLIO HOLDINGS as % of Net Assets
Non-Agency Collateralized Mortgage Obligations	39.4%
US Corporate Bonds	17.9%
Foreign Corporate Bonds	14.0%
Short Term Investments	10.9%
US Government Bonds and Notes	7.4%
Collateralized Loan Obligations	3.1%
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies	2.8%
US Government / Agency Mortgage Backed Securities	2.7%
Other Assets and Liabilities	1.8%
	100.0%

# Variable rate security. Rate disclosed as of March 31, 2012.

^ 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. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2012, the value of these securities amounted to $38,224,767 or 17.6% of net assets.

I/O Interest only security

¨ Seven-day yield as of March 31, 2012

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 37

Statements of Assets and Liabilities March 31, 2012

	DoubleLine Total Return Bond Fund			DoubleLine Core Fixed Income Fund		DoubleLine Emerging Markets Fixed Income Fund		DoubleLine Multi-Asset Growth Fund (Consolidated)			DoubleLine Low Duration Bond Fund
ASSETS
Investments in Unaffiliated Securities, at Value*	$	17,430,068,573		$	2,028,151,774	$	423,099,256	$	55,680,192		$	189,903,122
Investments in Affiliated Securities, at Value*		—			—		—		38,936,532			—
Short-term Securities*		5,099,938,846			33,587,138		2,002,538		29,517,768			23,637,921
Receivable for Fund Shares Sold		210,114,682			25,863,135		2,330,281		309,545			8,718,840
Interest and Dividends Receivable		97,377,480			15,303,642		6,407,310		461,594			1,157,628
Cash		1,833,527			330,238		1,183,674		70,850			—
Prepaid Expenses and Other Assets		694,525			130,440		74,095		43,533			19,565
Receivable for Investments Sold		—			3,389,213		6,461,476		6,883,829			15,716,688
Deposit at Broker for Futures		—			—		—		954,740			—
Swaps Premiums Paid		—			—		—		436,629			—
Variation Margin Receivable		—			—		—		31,980			—
Total Assets		22,840,027,633			2,106,755,580		441,558,630		133,327,192			239,153,764
LIABILITIES
Payable for Investments Purchased		416,130,834			9,049,410		8,574,897		4,190,000			9,198,207
Distribution Payable		37,333,555			2,415,833		609,100		164,692			46,615
Payable for Fund Shares Redeemed		31,560,591			10,802,310		542,558		982,694			12,338,065
Investment Advisory Fees Payable		7,037,531			564,999		255,731		71,741			7,874
Registration Fees Payable		1,857,397			234,282		32,878		11,493			25,419
Transfer Agent Expenses Payable		1,361,735			127,309		39,933		23,918			18,117
Distribution Fees Payable		1,220,163			102,891		15,395		8,170			9,468
Administration Fees Payable		620,575			93,972		43,923		18,386			19,287
Accrued Expenses		557,658			52,833		35,076		55,387			30,502
Written Option Contracts, at Value (Premiums received $340,602)		—			—		—		370,573			—
Unrealized Depreciation on Swaps		—			—		—		96,835			—
Total Liabilities		497,680,039			23,443,839		10,149,491		5,993,889			21,693,554
Net Assets	$	22,342,347,594		$	2,083,311,741	$	431,409,139	$	127,333,303		$	217,460,210
NET ASSETS CONSIST OF:
Paid-in Capital	$	22,168,251,754		$	2,052,364,842	$	423,855,326	$	128,195,033		$	216,525,642
Undistributed (Accumulated) Net Investment Income (Loss)		3,690,569			210,819		12,770		76,940			—
Accumulated Net Realized Gain (Loss) on Investments		(146,160,145	)		2,541,161		331,643		(507,320	)		163,657
Net Unrealized Appreciation (Depreciation) on:
Investments in Unaffiliated Securities		316,678,128			28,194,919		7,209,400		(699,909	)		770,911
Investments in Affiliated Securities		—			—		—		376,867			—
Short-term Securities		(112,712	)		—		—		—			—
Futures		—			—		—		18,498			—
Swaps		—			—		—		(96,835	)		—
Written Options		—			—		—		(29,971	)		—
Net Assets	$	22,342,347,594		$	2,083,311,741	$	431,409,139	$	127,333,303		$	217,460,210
*Identified Cost:
Investments in Unaffiliated Securities	$	17,113,390,445		$	1,999,956,855	$	415,889,856	$	56,380,101		$	189,132,211
Investments in Affiliated Securities		—			—		—		38,559,665			—
Short-term Securities		5,100,051,558			33,587,138		2,002,538		29,517,768			23,637,921
Class I (unlimited shares authorized):
Net Assets	$	16,226,568,668		$	1,544,168,770	$	349,925,633	$	85,072,523		$	132,117,124
Shares Outstanding		1,452,955,798			139,645,156		32,718,477		8,483,719			13,000,748
Net Asset Value, Offering and Redemption Price per Share	$	11.17		$	11.06	$	10.70	$	10.03		$	10.16
Class N (unlimited shares authorized):
Net Assets	$	6,115,778,926		$	539,142,971	$	81,483,506	$	—		$	85,343,086
Shares Outstanding		547,787,655			48,782,225		7,618,255		—			8,404,228
Net Asset Value, Offering and Redemption Price per Share	$	11.16		$	11.05	$	10.70	$	—		$	10.15
Class A (unlimited shares authorized):
Net Assets	$	—		$	—	$	—	$	42,260,780		$	—
Shares Outstanding		—			—		—		4,219,050			—
Net Asset Value, Offering and Redemption Price per Share	$	—		$	—	$	—	$	10.02		$	—

38 DoubleLine Funds The accompanying notes are an integral part of these financial statements

Statements of Operations Period Ended March 31, 2012

	DoubleLine Total Return Bond Fund			DoubleLine Core Fixed Income Fund			DoubleLine Emerging Markets Fixed Income Fund		DoubleLine Multi-Asset Growth Fund (Consolidated)			DoubleLine Low Duration Bond Fund1
INVESTMENT INCOME
Income:
Interest	$	908,546,421		$	45,931,027		$	15,005,703	$	1,981,106		$	1,105,257
Dividends from Unaffiliated Securities		—			—			—		360,350			—
Dividends from Affiliated Securities		—			—			—		1,305,683			—
Total Investment Income		908,546,421			45,931,027			15,005,703		3,647,139			1,105,257
Expenses:
Investment Advisory Fees		48,900,892			3,671,920			1,747,742		653,241			152,128
Distribution Fees - Class N		8,576,852			622,403			115,683		—			29,299
Distribution Fees - Class A		—			—			—		61,652			—
Transfer Agent Expenses		5,038,155			459,885			190,132		104,632			43,224
Administration, Fund Accounting and Custodian Fees		2,531,784			326,874			76,574		71,939			39,258
Registration Fees		2,318,377			336,733			102,532		72,425			55,479
Professional Fees		880,661			65,348			53,356		147,055			105,674
Shareholder Reporting Expenses		872,347			55,386			19,935		18,573			11,456
Insurance Expenses		512,627			11,800			11,716		405			184
Trustees’ Fees and Expenses		412,213			26,731			7,439		34,396			826
Miscellaneous Expenses		24,615			4,943			5,360		22,369			2,154
Total Expenses		70,068,523			5,582,023			2,330,469		1,186,687			439,682
Less: Fees Waived		(1,594,218	)		(461,517	)		—		(350,372	)		(206,049	)
Net Expenses		68,474,305			5,120,506			2,330,469		836,315			233,633
Net Investment Income		840,072,116			40,810,521			12,675,234		2,810,824			871,624
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on:
Investments in Unaffiliated Securities		1,666,979			9,794,979			2,118,974		(85,643	)		262,486
Investments in Affiliated Securities		—			—			—		—			—
Futures		—			—			—		(371,293	)		—
Swaps		—			—			—		93,439			—
Written Options										138,106
Net Change in Unrealized Appreciation (Depreciation) of:
Investments in Unaffiliated Securities		266,302,007			26,945,690			5,899,028		(787,444	)		770,911
Investments in Affiliated Securities		—			—			—		408,694			—
Futures		—			—			—		25,188			—
Swaps		—			—			—		(79,871	)		—
Written Options										(29,971	)
Net Realized and Unrealized Gain (Loss) on Investments		267,968,986			36,740,669			8,018,002		(688,795	)		1,033,397
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,108,041,102		$	77,551,190		$	20,693,236	$	2,122,029		$	1,905,021

¹  Commencement of operations on September 30, 2011.

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 39

Statements of Changes in Net Assets

	DoubleLine Total Return Bond Fund						DoubleLine Core Fixed Income Fund
	Year Ended March 31, 2012			Period Ended March 31, 20111			Year Ended March 31, 2012			Period Ended March 31, 20112
OPERATIONS
Net Investment Income	$	840,072,116		$	248,968,162		$	40,810,521		$	4,236,154
Net Realized Gain (Loss) on Investments		1,666,979			161,271			9,794,979			133,642
Net Change in Unrealized Appreciation (Depreciation) of Investments		266,302,007			50,263,409			26,945,690			1,249,229
Net Increase (Decrease) in Net Assets Resulting from Operations		1,108,041,102			299,392,842			77,551,190			5,619,025
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income
Class I		(707,169,191	)		(194,822,350	)		(32,668,808	)		(3,671,382	)
Class N		(268,342,590	)		(63,003,973	)		(11,470,441	)		(610,315	)
From Net Realized Gain
Class I		—			—			(2,506,764	)		(264,504	)
Class N		—			—			(980,385	)		(50,717	)
Total Distributions to Shareholders		(975,511,781	)		(257,826,323	)		(47,626,398	)		(4,596,918	)
NET SHARE TRANSACTIONS
Class I		11,798,073,342			4,295,933,080			1,363,914,858			157,034,815
Class N		4,601,735,724			1,472,509,608			500,843,567			30,571,602
Increase (Decrease) in Net Assets Resulting from Net Share Transactions		16,399,809,066			5,768,442,688			1,864,758,425			187,606,417
Total Increase (Decrease) in Net Assets	$	16,532,338,387		$	5,810,009,207		$	1,894,683,217		$	188,628,524
NET ASSETS
Beginning of Period	$	5,810,009,207			—		$	188,628,524			—
End of Period	$	22,342,347,594		$	5,810,009,207		$	2,083,311,741		$	188,628,524
Accumulated (Undistributed) Net Investment Gain (Loss)	$	3,690,569		$	13,919,090		$	210,819		$	135,227

¹   Commencement of operations on April 6, 2010.

²   Commencement of operations on June 1, 2010.

40 DoubleLine Funds The accompanying notes are an integral part of these financial statements

Statements of Changes in Net Assets

	DoubleLine Emerging Markets Fixed Income Fund						DoubleLine Multi-Asset Growth Fund (Consolidated)						DoubleLine Low Duration Bond Fund
	Year Ended March 31, 2012			Period Ended March 31, 20111			Period Ended March 31, 2012			Period Ended March 31, 20112			Period Ended March 31, 20123
OPERATIONS
Net Investment Income	$	12,675,234		$	3,330,162		$	2,810,824		$	70,964		$	871,624
Net Realized Gain (Loss) on Investments		2,118,974			776,327			(225,391	)		(11,583	)		262,486
Net Change in Unrealized Appreciation (Depreciation) of Investments		5,899,028			1,310,372			(463,404	)		32,054			770,911
Net Increase (Decrease) in Net Assets Resulting from Operations		20,693,236			5,416,861			2,122,029			91,435			1,905,021
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income
Class I		(10,225,912	)		(2,716,962	)		(1,875,262	)		(30,216	)		(706,448	)
Class N		(2,456,543	)		(593,209	)		—			—			(264,005	)
Class A		—			—			(956,064	)		(7,225	)		—
From Net Realized Gain
Class I		(1,904,354	)		(206,130	)		—			—			—
Class N		(408,055	)		(45,119	)		—			—			—
Class A		—			—			—			—
Total Distributions to Shareholders		(14,994,864	)		(3,561,420	)		(2,831,326	)		(37,441	)		(970,453	)
NET SHARE TRANSACTIONS
Class I		238,564,644			104,635,717			63,368,833			22,086,396			131,391,285
Class N		54,642,195			26,012,770			—			—			85,134,357
Class A		—			—			36,474,077			6,059,300
Increase (Decrease) in Net Assets Resulting from Net Share Transactions		293,206,839			130,648,487			99,842,910			28,145,696			216,525,642
Total Increase (Decrease) in Net Assets	$	298,905,211		$	132,503,928		$	99,133,613		$	28,199,690		$	217,460,210
NET ASSETS
Beginning of Period	$	132,503,928			—		$	28,199,690			—		$	—
End of Period	$	431,409,139		$	132,503,928		$	127,333,303		$	28,199,690		$	217,460,210
Accumulated (Undistributed) Net Investment Gain (Loss)	$	12,770		$	19,991		$	76,940		$	34,630		$	0

¹   Commencement of operations on April 6, 2010.

²   Commencement of operations on December 20, 2010.

³   Commencement of operations on September 30, 2011.

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 41

Financial Highlights

	DoubleLine Total Return Bond Fund
	Year Ended March 31, 2012			Period Ended March 31, 20111			Year Ended March 31, 2012			Period Ended March 31, 20111
	Class I			Class I			Class N			Class N
Net Asset Value, Beginning of Period	$	10.96		$	10.00		$	10.96		$	10.00
Income (Loss) from Investment Operations:
Net Investment Income (Loss)4		0.77			1.02			0.73			0.99
Net Gain (Loss) on Investments (Realized and Unrealized)		0.31			0.87			0.31			0.87
Total from Investment Operations		1.08			1.89			1.04			1.86
Less Distributions:
Distributions from Net Investment Income		(0.87	)		(0.93	)		(0.84	)		(0.90	)
Distributions from Net Realized Gain		—			—			—			—
Total Distributions		(0.87	)		(0.93	)		(0.84	)		(0.90	)
Net Asset Value, End of Period	$	11.17		$	10.96		$	11.16		$	10.96
Total Return		10.18%			19.28%	2		9.83%			19.04%	2
Supplemental Data:
Net Assets, End of Period (000’s)	$	16,226,569		$	4,330,408		$	6,115,779		$	1,479,601
Ratios to Average Net Assets:
Expenses Before Fees Waived		0.50%			0.53%	3		0.75%			0.78%	3
Expenses After Fees Waived		0.49%			0.49%	3		0.74%			0.74%	3
Net Investment Income (Loss)		6.86%			9.42%	3		6.58%			9.17%	3
Portfolio Turnover Rate		15%			17%	2		15%			17%	2

¹  Commencement of operations on April 6, 2010.

²  Not annualized.

³  Annualized.

⁴  Calculated based on average shares outstanding during the period.

42 DoubleLine Funds The accompanying notes are an integral part of these financial statements

Financial Highlights

	DoubleLine Core Fixed Income Fund
	Year Ended March 31, 2012			Period Ended March 31, 20111			Year Ended March 31, 2012			Period Ended March 31, 20111
	Class I			Class I			Class N			Class N
Net Asset Value, Beginning of Period	$	10.46		$	10.00		$	10.46		$	10.00
Income (Loss) from Investment Operations:
Net Investment Income (Loss)4		0.50			0.57			0.47			0.55
Net Gain (Loss) on Investments (Realized and Unrealized)		0.65			0.41			0.65			0.41
Total from Investment Operations		1.15			0.98			1.12			0.96
Less Distributions:
Distributions from Net Investment Income		(0.52	)		(0.48	)		(0.50	)		(0.46	)
Distributions from Net Realized Gain		(0.03	)		(0.04	)		(0.03	)		(0.04	)
Total Distributions		(0.55	)		(0.52	)		(0.53	)		(0.50	)
Net Asset Value, End of Period	$	11.06		$	10.46		$	11.05		$	10.46
Total Return		11.19%			9.90%	2		10.85%			9.71%	2
Supplemental Data:
Net Assets, End of Period (000’s)	$	1,544,169		$	158,043		$	539,143		$	30,586
Ratios to Average Net Assets:
Expenses Before Fees Waived		0.54%			0.85%	3		0.79%			1.09%	3
Expenses After Fees Waived		0.49%			0.49%	3		0.74%			0.74%	3
Net Investment Income (Loss)		4.51%			6.56%	3		4.22%			6.38%	3
Portfolio Turnover Rate		81%			84%	2		81%			84%	2

¹  Commencement of operations on June 1, 2010.

² Not annualized.

³ Annualized.

⁴ Calculated based on average shares outstanding during the period.

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 43

Financial Highlights

	DoubleLine Emerging Markets Fixed Income Fund
	Year Ended March 31, 2012			Period Ended March 31, 20111			Year Ended March 31, 2012			Period Ended March 31, 20111
	Class I			Class I			Class N			Class N
Net Asset Value, Beginning of Period	$	10.57		$	10.00		$	10.57		$	10.00
Income (Loss) from Investment Operations:
Net Investment Income (Loss)4		0.58			0.60			0.55			0.58
Net Gain (Loss) on Investments (Realized and Unrealized)		0.23			0.52			0.23			0.52
Total from Investment Operations		0.81			1.12			0.78			1.10
Less Distributions:
Distributions from Net Investment Income		(0.58	)		(0.52	)		(0.55	)		(0.50	)
Distributions from Net Realized Gain		(0.10	)		(0.03	)		(0.10	)		(0.03	)
Total Distributions		(0.68	)		(0.55	)		(0.65	)		(0.53	)
Net Asset Value, End of Period	$	10.70		$	10.57		$	10.70		$	10.57
Total Return		7.96%			11.48%	2		7.71%			11.25%	2
Supplemental Data:
Net Assets, End of Period (000’s)	$	349,926		$	106,227		$	81,484		$	26,277
Ratios to Average Net Assets:
Expenses Before Fees Waived		0.95%			1.32%	3		1.20%			1.57%	3
Expenses After Fees Waived		0.95%			0.95%	3		1.20%			1.20%	3
Net Investment Income (Loss)		5.47%			5.85%	3		5.26%			5.66%	3
Portfolio Turnover Rate		177%			109%	2		177%			109%	2

¹ Commencement of operations on April 6, 2010.

² Not annualized.

³ Annualized.

⁴ Calculated based on average shares outstanding during the period.

44 DoubleLine Funds The accompanying notes are an integral part of these financial statements

Financial Highlights

	DoubleLine Multi-Asset Growth Fund (Consolidated)
	Period Ended March 31, 2012			Period Ended March 31, 20111			Period Ended March 31, 2012			Period Ended March 31, 20111
	Class I			Class I			Class A			Class A
Net Asset Value, Beginning of Period	$	10.11		$	10.00		$	10.09		$	10.00
Income (Loss) from Investment Operations:
Net Investment Income (Loss)4		0.42			0.10			0.41			0.10
Net Gain (Loss) on Investments (Realized and Unrealized)		(0.16	)		0.02			(0.16	)		—
Total from Investment Operations		0.26			0.12			0.25			0.10
Less Distributions:
Distributions from Net Investment Income		(0.34	)		(0.01	)		(0.32	)		(0.01	)
Distributions from Net Realized Gain		—			—			—			—
Total Distributions		(0.34	)		(0.01	)		(0.32	)		(0.01	)
Net Asset Value, End of Period	$	10.03		$	10.11		$	10.02		$	10.09
Total Return5		2.67%			1.24%	2		2.57%			1.02%	2
Supplemental Data:
Net Assets, End of Period (000’s)	$	85,073		$	22,128		$	42,261		$	6,071
Ratios to Average Net Assets:
Expenses Before Fees Waived		1.51%			5.11%	3		1.76%			6.05%	3
Expenses After Fees Waived		1.09%			1.18%	3		1.34%			1.43%	3
Net Investment Income (Loss)		4.14%			3.57%	3		3.88%			3.57%	3
Portfolio Turnover Rate		48%			19%	2		48%			19%	2

¹ Commencement of operations on December 20, 2010.

² Not annualized.

³ Annualized.

⁴ Calculated based on average shares outstanding during the period.

⁵ Total return does not include the effects of sales charges for Class A.

The accompanying notes are an integral part of these financial statements Annual Report March 31, 2012 45

Financial Highlights

	DoubleLine Low Duration Bond Fund
	Period Ended   March 31, 20121			Period Ended   March 31, 20121
	Class I			Class N
Net Asset Value, Beginning of Period	$	10.00		$	10.00
Income (Loss) from Investment Operations:
Net Investment Income (Loss)4		0.11			0.09
Net Gain (Loss) on Investments (Realized and Unrealized)		0.13			0.13
Total from Investment Operations		0.24			0.22
Less Distributions:
Distributions from Net Investment Income		(0.08	)		(0.07	)
Distributions from Net Realized Gain		—			—
Total Distributions		(0.08	)		(0.07	)
Net Asset Value, End of Period	$	10.16		$	10.15
Total Return2		2.44%			2.25%
Supplemental Data:
Net Assets, End of Period (000’s)	$	132,117		$	85,343
Ratios to Average Net Assets:
Expenses Before Fees Waived3		0.94%			1.19%
Expenses After Fees Waived3		0.47%			0.72%
Net Investment Income (Loss)3		2.10%			1.74%
Portfolio Turnover Rate2		46%			46%

¹ Commencement of operations on September 30, 2011.

² Not annualized.

³ Annualized.

⁴ Calculated based on average shares outstanding during the period.

46 DoubleLine Funds The accompanying notes are an integral part of these financial statements

Notes to Financial Statements March 31, 2012

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 five funds, DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund and DoubleLine Low Duration Bond Fund (each a “Fund” and collectively the “Funds”). The DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund and the DoubleLine Low Duration Bond Fund each offer two classes of shares, Class N shares and Class I shares. The DoubleLine Multi-Asset Growth Fund currently offers two classes of shares, Class A shares and Class I shares.

The DoubleLine Total Return Bond Fund and DoubleLine Emerging Markets Fixed Income Fund commenced operations on April 6, 2010. The DoubleLine Core Fixed Income Fund commenced operations on June 1, 2010. The DoubleLine Multi-Asset Growth Fund commenced operations on December 20, 2010. The DoubleLine Low Duration Bond Fund commenced operations on September 30, 2011.

The DoubleLine Total Return Bond Fund’s investment objective is to seek to maximize total return. The DoubleLine Core Fixed Income Fund’s investment objective is to seek to maximize current income and total return. The DoubleLine Emerging Markets Fixed Income Fund’s investment objective is to seek high total return from current income and capital appreciation. The DoubleLine Multi-Asset Growth Fund’s investment objective is to seek long-term capital appreciation. The DoubleLine Low Duration Bond Fund’s investment objective is to seek current income.

2.  Significant Accounting Policies

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 in 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

• Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data

• Level 3—Unobservable inputs developed using the reporting entity’s estimates and assumptions, which reflect those that market participants would use

Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors value such securities based on one or more inputs described in the following table. 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.

Fixed-income class	Examples of Standard 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 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
Bonds and notes of government and government agencies	Standard inputs and interest rate volatilities
Mortgage-backed; asset-backed obligations (including collateralized loan obligations)	Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports

Investments in registered open-end management investment companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in privately held investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy.

Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.

Annual Report March 31, 2012 47

Notes to Financial Statements  (Cont.)

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 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 foreign currency contracts, options contracts, futures, or swaps 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 broker dealer quotations or pricing service valuations. 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.

Certain securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees. The Valuation Committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Valuation Committee 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 deemed to be unreliable indicators of market value. As of March 31, 2012, the Funds did not hold securities fair valued by the Valuation Committee.

The end of period timing recognition is used for the significant transfers between levels of the Funds’ assets and liabilities.

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2012¹:

Valuation Inputs	DoubleLine Total Return Bond Fund		DoubleLine Core Fixed Income Fund		DoubleLine Emerging Markets Fixed Income Fund		DoubleLine Multi-Asset Growth Fund (Consolidated)			DoubleLine Low Duration Bond Fund
Investments in Securities
Level 1
Investment Companies and Exchange Traded Notes	$	—	$	—	$	—	$	27,409,238		$	—
Affiliated Mutual Funds		—		—		—		38,936,532			—
Money Market Funds		449,263,587		33,587,138		2,002,538		20,517,998			23,637,921
Purchased Options		—		—		—		69,860			—
Total Level 1		449,263,587		33,587,138		2,002,538		86,933,628			23,637,921
Level 2
US Government / Agency Mortgage Backed Securities		9,044,932,798		523,510,952		—		9,989,547			5,859,688
Non-Agency Collateralized Mortgage Obligations		8,354,978,194		429,758,712		—		16,273,097			85,455,591
Other Short Term Investments		4,650,675,259		—		—		8,999,770			—
Collateralized Loan Obligations		30,157,581		—		—		—			6,758,634
US Government Bonds and Notes		—		417,505,884		—		—			16,146,488
US Corporate Bonds		—		356,283,011		—		—			39,058,880
Foreign Corporate Bonds		—		238,859,778		380,973,265		1,341,785			30,455,587
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies		—		62,233,437		42,125,991		—			6,168,254
Purchased Options		—		—		—		596,665			—
Total Level 2		22,080,743,832		2,028,151,774		423,099,256		37,200,864			189,903,122
Level 3		—		—		—		—			—
Total		22,530,007,419		2,061,738,912		425,101,794		124,134,492			213,541,043
Other Financial Instruments
Level 1
Written Options		—		—		—		(195,813	)		—
Futures Contracts		—		—		—		18,498			—
Total Level 1		—		—		—		(177,315	)		—
Level 2
Written Options		—		—		—		(174,760	)		—
Swaps		—		—		—		(96,835	)		—
Total Level 2		—		—		—		(271,595	)		—
Level 3		—		—		—		—			—
Total		—		—		—		(448,910	)		—

See the Schedule of Investments for further disaggregation of investment categories.

¹  There were no significant transfers into and out of Level 1, 2, and 3 during the period ended March 31, 2012.

48 DoubleLine Funds

March 31, 2012

B. Federal Income Taxes. Each Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all of its taxable income to its shareholders and otherwise comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made.

The Funds may be subject to a nondeductible 4% excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. The Funds intend to distribute their net investment income and capital gains as necessary to avoid this excise tax.

The Funds have adopted financial reporting rules that require the Funds to analyze all open tax years, as defined by the applicable statute of limitations, for all major jurisdictions. Open tax years, 2012 and 2011 for the Funds, are those that are open for exam by taxing authorities. As of March 31, 2012 the Funds have no examinations in progress.

Management has analyzed the Funds’ tax positions, and has concluded that no liability should be recorded related to uncertain tax positions expected to be taken on the tax return for the fiscal year-end March 31, 2012. The Funds identify their major tax jurisdictions as U.S. Federal and the State of California. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

C. Security Transactions, Investment Income. Investment securities transactions are accounted for on trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Interest income is recorded on an accrual basis. Discounts/premiums on debt securities purchased are accreted/amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the statements of operations.

D. Dividends and Distributions to Shareholders. Dividends from the net investment income of the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund and the DoubleLine Low Duration Bond Fund will be declared and paid monthly. Dividends from the net investment income of the DoubleLine Multi-Asset Growth Fund will be declared and paid quarterly. The Funds will distribute any net realized long or short-term capital gains at least annually. Distributions are recorded on the ex-dividend date.

Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed (accumulated) realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year end is distributed in the following year.

Distributions from investment companies will be classified as investment income or realized gains in the Statements of Operations based on the U.S. income tax characteristics of the distribution if such information is available. In cases where the tax characteristics are not available, such distributions are generally classified as investment income.

E. Use of Estimates. The preparation of financial statements in conformity with principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates.

F. Share Valuation. The net asset value (“NAV”) per share of a class of shares of a Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, attributable to that class, minus all liabilities (including estimated accrued expenses) attributable to that class by the total number of shares of that class outstanding, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the NYSE is closed for trading.

G. Guarantees and Indemnifications. Under the Trust’s organizational documents, each Trustee and officer of the Fund is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

H. Bases for Consolidation for the DoubleLine Multi-Asset Growth Fund. The DoubleLine Multi-Asset Growth Fund may invest up to 25% of its total assets in DoubleLine Cayman Multi-Asset Growth Fund I, Ltd. (the “Subsidiary”). The Subsidiary, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the DoubleLine Multi-Asset Growth Fund. The Subsidiary invests in commodity-related investments and other investments. As of March 31, 2012 net assets of the DoubleLine Multi-Asset Growth Fund were $127,333,303 which $8,751,327, or approximately 6.87%, represented the DoubleLine Multi-Asset Growth Fund’s ownership of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

I. Other. Each share class of a Fund is charged for those expenses that are directly attributable to that share class. Expenses that are not directly attributable to a Fund are allocated among all appropriate Funds in proportion to their respective net assets or on another reasonable basis. Net investment income, expenses which are not class-specific, and realized and unrealized gains and losses are allocated directly to each class based upon the relative net assets of the classes.

Annual Report March 31, 2012 49

Notes to Financial Statements  (Cont.)

3.  Related Party Transactions

DoubleLine Capital LP (the “Adviser”) provides the Funds with investment management services under an Investment Advisory and Management Agreement (the “Agreement”). Under the Agreement, the Adviser manages the investment of the assets of each Fund, places orders for the purchase and sale of its portfolio securities and is responsible for the day-to-day management of the Trust’s business affairs. As compensation for its services, the Adviser is entitled to a monthly fee at the annual rate of 0.40%, 0.40%, 0.75%, 1.00% and 0.35% of the average daily net assets of the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund and DoubleLine Low Duration Bond Fund, respectively.

The Adviser has contractually agreed to limit the DoubleLine Total Return Bond Fund’s and the DoubleLine Core Fixed Income Fund’s ordinary operating expenses so that their ratio of such expenses to average daily net assets will not exceed 0.49% for the Class I shares and 0.74% for the Class N shares through July 24, 2012. The Adviser has contractually agreed to limit the DoubleLine Emerging Markets Fixed Income Fund’s ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed 0.95% for the Class I shares and 1.20% for the Class N shares. The Adviser has contractually agreed to limit the DoubleLine Multi-Asset Growth Fund’s ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed 1.20% for the Class I shares and 1.45% for the Class A shares. The Adviser has contractually agreed to limit the DoubleLine Low Duration Bond Fund’s ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed 0.47% for the Class I shares and 0.72% for the Class N shares. For the purposes of the expense limitation agreement between the Adviser and the Funds, “ordinary operating expenses” excludes taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, acquired fund fees and expenses, and any extraordinary expenses. Each Fund’s expense limitation may be terminated during its term only by a majority vote of the disinterested Trustees of the Board of Trustees.

The Adviser is permitted to be reimbursed for fee waivers and/or expense reimbursements it made to a Fund in the prior three fiscal years. Each Fund must pay its current ordinary operating expenses before the Adviser is entitled to any reimbursement of fees waived and/or expenses reimbursed. Any such reimbursement requested by the Adviser is subject to review and approval by the Board of Trustees and will be subject to the Fund’s expense limitations in place when the fees were waived or the expenses were reimbursed.

For the period ended March 31, 2012, the Adviser contractually waived a portion of its fees or reimbursed certain operating expenses and may recapture a portion of the amounts no later than the dates as stated below:

Year of Expiration	DoubleLine Total Return Bond Fund		DoubleLine Core Fixed Income Fund		DoubleLine Emerging Markets Fixed Income Fund		DoubleLine Multi-Asset Growth Fund (Consolidated)		DoubleLine Low Duration Bond Fund
March 31, 2014	$	1,235,309	$	231,152	$	210,883	$	79,472	$	—
March 31, 2015		1,594,218		461,517		—		270,424		206,049

If a Fund invested in an affiliate Fund sponsored by the Adviser during the period covered by this report the Adviser agreed to waive its management fee payable to the Fund in an amount equal to the investment advisory fees paid by the affiliated Fund in respect of the Fund’s investment in the affiliated fund; accordingly, the Adviser waived $79,948 in fees from the DoubleLine Multi-Asset Growth Fund for the period ended March 31, 2012.

4.  Distribution, Sales Charge and Redemption Fees

Class N shares and Class A shares of the Funds make payments under a distribution plan (“Distribution Plan”) adopted pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Distribution Plan, each Fund compensates the Funds’ distributor for distribution and related services at an annual rate equal to 0.25% of the average daily net assets of the Fund attributable to its Class N and Class A shares. The fees may be used to pay the Fund’s distributor for distribution services and sales support services provided in connection with Class N and Class A shares.

The Class A shares of DoubleLine Multi-Asset Growth Fund have a maximum sales charge imposed on purchases of 4.25% of the offering price and a maximum contingent deferred sales charge of 0.75% that applies to purchases of $1 million or more of Class A shares if the shares are redeemed within 18 months of purchase.

The DoubleLine Multi-Asset Growth Fund imposes redemption fees. Redemption fees are paid to and retained by the Fund to limit the opportunity to market time the Fund and to help offset estimated portfolio transaction costs and other related costs incurred by the Fund as a result of short-term trading. The Fund will apply a redemption fee equal to 1% of the value of any shares redeemed within 90 days of purchase.

50 DoubleLine Funds

March 31, 2012

5.  Purchases and Sales of Securities

Investment transactions (excluding short-term investments) for the period ended March 31, 2012, were as follows:

	All Other				U.S. Government1
	Purchases at Cost		Sales or Maturity Proceeds		Purchases at Cost		Sales or Maturity Proceeds
DoubleLine Total Return Bond Fund	$	13,301,484,442	$	1,575,194,945	$		$
DoubleLine Core Fixed Income Fund		2,051,562,906		51,034,772		482,275,543		671,600,399
DoubleLine Emerging Markets Fixed Income Fund		688,876,429		402,287,186		—		—
DoubleLine Multi-Asset Growth Fund (Consolidated)		111,740,412		24,425,264		—		127,500
DoubleLine Low Duration Bond Fund		189,820,226		19,503,872		54,490,875		22,664,160

1 U.S. Government transactions are defined as those involving U.S. Treasury bills, bonds and notes.

6.  Income Tax Information

The tax character of distributions for the Funds were as follows:

	DoubleLine Total Return Bond Fund				DoubleLine Core Fixed Income Fund
	Year Ended March 31, 2012		Period Ended March 31, 2011		Year Ended March 31, 2012		Period Ended March 31, 2011
Distributions Paid From:
Ordinary Income	$	975,511,781	$	257,826,323	$	47,531,637	$	4,596,918
Long Term Capital Gain		—		—		94,761		—
Total Distributions Paid	$	975,511,781	$	257,826,323	$	47,626,398	$	4,596,918

	DoubleLine Emerging Markets Fixed Income Fund				DoubleLine Multi-Asset Growth Fund (Consolidated)				DoubleLine Low Duration Bond Fund
	Year Ended March 31, 2012		Period Ended March 31, 2011		Year Ended March 31, 2012		Period Ended March 31, 2011		Period Ended March 31, 2012
Distributions Paid From:
Ordinary Income	$	14,886,871	$	3,561,420	$	2,831,326	$	37,441	$	970,453
Long Term Capital Gain		107,993		—		—		—		—
Total Distributions Paid	$	14,994,864	$	3,561,420	$	2,831,326	$	37,441	$	970,453

The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the period ended March 31, 2012.

The cost basis of investments for federal income tax purposes at March 31, 2012 was as follows:

	DoubleLine Total Return Bond Fund			DoubleLine Core Fixed Income Fund			DoubleLine Emerging Markets Fixed Income  Fund			DoubleLine Multi- Asset Growth Fund (Consolidated)			DoubleLine Low Duration Bond Fund
Tax Cost of Investments	$	22,213,442,003		$	2,033,828,655		$	417,960,200		$	124,425,665		$	212,780,850
Gross Tax Unrealized Appreciation		651,112,367			41,861,174			9,386,954			2,393,913			1,271,425
Gross Tax Unrealized Depreciation		(334,546,951	)		(13,950,917	)		(2,245,360	)		(2,685,086	)		(511,232	)
Net Tax Unrealized Appreciation (Depreciation)	$	316,565,416		$	27,910,257		$	7,141,594		$	(291,173	)	$	760,193

As of March 31, 2012, the components of accumulated earnings (losses) for income tax purposes were as follows:

	DoubleLine Total Return Bond Fund			DoubleLine Core Fixed Income Fund			DoubleLine Emerging Markets Fixed Income  Fund			DoubleLine Multi- Asset Growth Fund (Consolidated)			DoubleLine Low Duration Bond Fund
Net Tax Unrealized Appreciation (Depreciation)	$	316,565,416		$	27,910,257		$	7,141,594		$	(291,173	)	$	760,193
Undistributed Ordinary Income		41,024,124			5,503,110			1,355,730			204,776			220,990
Total Distributable Earnings		41,024,124			5,503,110			1,355,730			204,776			220,990
Other Accumulated Gains / (Losses)		(183,493,700	)		(2,466,468	)		(943,511	)		(775,333	)		(46,615	)
Total Accumulated Earnings	$	174,095,840		$	30,946,899		$	7,553,813		$	(861,730	)	$	934,568

Annual Report March 31, 2012 51

Notes to Financial Statements  (Cont.)

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after January 1, 2011 will not be subject to expiration. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment.

At March 31, 2012, the following capital loss carryforwards were available:

	Capital Loss Carryforwards		Expires
DoubleLine Total Return Bond Fund	$	3,709,758		3/31/2019
DoubleLine Total Return Bond Fund		70,828,118		Indefinite
DoubleLine Multi-Asset Growth Fund (Consolidated)		261,387		Indefinite

At March 31, 2012, the following Funds deferred, on a tax basis, Qualified Late-year losses of:

DoubleLine Total Return Bond Fund	$	71,622,269
DoubleLine Core Fixed Income Fund		50,635
DoubleLine Emerging Markets Fixed Income Fund		334,411
DoubleLine Multi-Asset Growth Fund (Consolidated)		199,835
DoubleLine Low Duration Bond Fund		—

Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. The permanent differences primarily relate to paydown losses and foreign currency gains/losses. For the period ended March 31, 2012, the following table shows the reclassifications made:

	Undistributed Net Investment Income/(Loss)		Accumulated Net Realized Gain/(Loss)			Paid In Capital
DoubleLine Total Return Bond Fund	$	125,211,144	$	(125,211,144	)	$	—
DoubleLine Core Fixed Income Fund		3,404,320		(3,404,320	)		—
DoubleLine Emerging Markets Fixed Income Fund		—		—			—
DoubleLine Multi-Asset Growth Fund (Consolidated)		62,812		(269,375	)		206,563
DoubleLine Low Duration Bond Fund		98,829		(98,829	)		—

52 DoubleLine Funds

March 31, 2012

7.  Share Transactions

Transactions in each Fund’s shares were as follows:

	DoubleLine Total Return Bond Fund						DoubleLine Core Fixed Income Fund						DoubleLine Emerging Markets Fixed Income Fund						DoubleLine Multi-Asset Growth Fund (Consolidated)						DoubleLine Low Duration Bond Fund
	Class I						Class I						Class I						Class I						Class I
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares Sold		1,196,869,026		$	13,349,906,154			144,954,636		$	1,588,562,387			32,395,870		$	340,341,359			8,922,206		$	89,844,524			16,645,825		$	168,385,785
Reinvested Dividends		42,523,124			472,648,712			2,139,333			23,446,409			666,030			6,980,378			149,317			1,491,733			55,669			564,351
Shares Redeemed		(181,601,121	)		(2,024,481,524	)		(22,556,382	)		(248,093,938	)		(10,395,827	)		(108,757,093	)		(2,777,632	)		(27,967,424	)*		(3,700,746	)		(37,558,851	)
		1,057,791,029		$	11,798,073,342			124,537,587		$	1,363,914,858			22,666,073		$	238,564,644			6,293,891		$	63,368,833			13,000,748		$	131,391,285
Beginning Shares		395,164,769						15,107,569						10,052,404						2,189,828						—
Ending Shares		1,452,955,798						139,645,156						32,718,477						8,483,719						13,000,748
	Class N						Class N						Class N						Class A						Class N
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares Sold		494,412,639		$	5,512,030,649			55,840,624		$	610,633,684			9,479,006		$	100,456,674			4,600,765		$	46,348,389			8,666,652		$	87,794,991
Reinvested Dividends		18,314,285			203,475,887			982,139			10,764,917			253,703			2,660,646			85,668			854,747			24,470			247,871
Shares Redeemed		(99,967,753	)		(1,113,770,812	)		(10,965,012	)		(120,555,034	)		(4,600,643	)		(48,475,125	)		(1,068,873	)		(10,729,059	)*		(286,894	)		(2,908,505	)
		412,759,171		$	4,601,735,724			45,857,751		$	500,843,567			5,132,066		$	54,642,195			3,617,560		$	36,474,077			8,404,228		$	85,134,357
Beginning Shares		135,028,484						2,924,474						2,486,189						601,490						—
Ending Shares		547,787,655						48,782,225						7,618,255						4,219,050						8,404,228

* Net of redemption fees of $ 26,699 and $ 25,331 for Class I and A, respectively

8.  Additional Disclosures about Derivative Instruments

The following disclosures provide information on the Funds’ use of derivatives and certain related risks. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in a table below. The derivative instruments outstanding as of period end as disclosed in the Notes to Schedules of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations may serve as indicators of the volume of financial derivative activity for the Funds for the period covered by this report.

Futures Contracts  The Funds may use futures contracts for hedging purposes or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. Risks associated with the use of futures contracts include the potential for imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices determined by the relevant exchange. Upon entering into a futures contract, a Fund is required to deposit with its futures broker an amount of cash in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payment reflecting the change in value (“variation margin”) is made or received by or for the accounts of the Funds. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.

Options Contracts  The Funds may purchase or sell put and call options. When a Fund purchases an option it pays a premium in return for the potential to profit from the change in value of an underlying investment or index during the term of the option. The option premium is included on the Funds’ Statements of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing options is limited to the loss of the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. When a Fund writes or sells an option it receives a premium in return for bearing the risk of the change in value of an underlying instrument during the term off the option. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid

Annual Report March 31, 2012 53

Notes to Financial Statements  (Cont.)

on the underlying instrument to determine the realized gain or loss when the underlying instrument is sold. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market.

The activity in written options during the year ended March 31, 2012, is as follows:

DoubleLine Multi-Asset Growth Fund (Consolidated)	Number of Contracts			Premium Amount
Outstanding, Beginning of Period		—		$	—
Options Written		15,009,028			763,198
Options Expired		(3,890	)		(135,559	)
Options Exercised		(808	)		(47,990	)
Options Closed		(1,250	)		(239,047	)
Outstanding, End of Period		15,003,080		$	340,602

Credit Default Swap Agreements  Credit default swap agreements often involve one party making a stream of payments (generally referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event in respect of a referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund generally will receive from the buyer of protection a fixed rate of income throughout the term of the swap. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Funds would be subject to investment exposure on the notional amount of the swap.

If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Funds typically will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. Recovery values are typically estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. An index credit default swap references all the names in the index, and if there is a default with respect to a single name in the index, the credit event is settled based on that name’s weight in the index.

Credit Default Swaps are considered to have credit risk related contingent features since they require payment by the protection seller to the protection buyer upon occurrence of a defined credit event. A Fund’s maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract, which may be mitigated by the posting of collateral by the counterparty to a Fund to cover a Fund’s exposure to the counterparty.

Total Return Swap AgreementsThe Funds may enter into total return swaps for investment purposes. Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument. For example, the agreement to pay a predetermined or fixed interest rate in exchange for a market-linked return based on a notional amount. To the extent the total return of a referenced index or instrument exceeds the offsetting interest obligation, a Fund will receive a payment from the counterparty. To the extent it is less, a Fund will make a payment to the counterparty. Payments received or made at the termination of the swap are recorded as realized gain or loss on the Statement of Operations.

The Funds’ derivative instrument holdings and their primary risk exposures are summarized in the following tables.

The effect of derivative instruments on the Statements of Assets and Liabilities for the period ended March 31, 2012 is as follows:

Fund	Derivatives not accounted for as hedging instruments	Statement of Assets and Liabilities Location	Unrealized Appreciation (Depreciation)
DoubleLine Multi-Asset Growth Fund (Consolidated)	Purchase Options
	Equity	Net Unrealized Appreciation (Depreciation) in Unaffiliated Securities	$	(363,749	)
	Written Options
	Commodity		$	(79,021	)
	Exchange Rate			49,050
		Net Unrealized Appreciation (Depreciation) in Unaffiliated Securities	$	(29,971	)
	Futures contracts
	Commodity		$	(27,018	)
	Exchange Rate			45,516
		Net Unrealized Appreciation (Depreciation) on Futures	$	18,498

54 DoubleLine Funds

March 31, 2012

Fund	Derivatives not accounted for as hedging instruments	Statement of Assets and Liabilities Location	Unrealized Appreciation (Depreciation)
	Swap contracts
	Credit Default		$	(44,444	)
	Total Return			(52,391	)
		Net Unrealized Appreciation (Depreciation) on Swaps	$	(96,835	)

* See the Schedule of Investments for further details.

The effect of derivative instruments on the Statements of Operations for the period ended March 31, 2012:

Fund	Derivatives not accounted for as hedging instruments	Location of Gain (Loss) on Derivatives in Income	Realized Gain (Loss) on Derivatives			Chage in Unrealized Appreciation (Depreciation) on  Derivatives
DoubleLine Multi-Asset Growth Fund (Consolidated)	Purchase Options
	Equity	Net Realized and Unrealized Gain (Loss) on Unaffilated Securities	$	(272,291	)	$	(370,267	)
	Written Options
	Commodity		$	115,614		$	(79,021	)
	Equity			22,492			—
	Exchange Rate			—			49,050
		Net Realized and Unrealized Gain (Loss) on Unaffilated Securities	$	138,106		$	(29,971	)
	Futures contracts
	Commodity		$	29,631		$	(27,877	)
	Exchange Rate			(400,924	)	$	53,065
		Net Realized and Unrealized Gain (Loss) on Futures	$	(371,293	)	$	25,188
	Swap contracts
	Credit Default		$	(189,519	)	$	(27,480	)
	Total Return			282,958		$	(52,391	)
		Net Realized and Unrealized Gain (Loss) on Swaps	$	93,439		$	(79,871	)

9.  Credit Facility

U.S. Bank, N.A. has made available to the DoubleLine Total Return Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund and DoubleLine Low Duration Bond Fund an uncommitted credit facility for short term liquidity in connection with shareholder redemptions. Borrowings under this credit facility bear interest at the bank’s prime rate less 0.50%. As of March 31, 2012 the maximum amounts available were $300,000,000, $50,000,000, $5,000,000, $6,000,000, $5,000,000 for the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund and DoubleLine Low Duration Bond Fund respectively. For the period ending March 31, 2012, the average borrowings and interest rate were $6,831 and 2.75%, respectively for the DoubleLine Emerging Markets Fixed Income Fund. The maximum amount outstanding during the period ended March 31, 2012 was $500,000 for the DoubleLine Emerging Markets Fixed Income Fund. Interest expense amounted to $191 for the period ending March 31, 2012 for the DoubleLine Emerging Markets Fixed Income Fund. There were no borrowings under this credit facility for the period ending March 31, 2012 for the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Multi-Asset Growth Fund and DoubleLine Low Duration Bond Fund, respectively.

10.  Principal Risks

Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read each Fund’s prospectus carefully for a description of the principal risks associated with investing in a particular Fund.

Annual Report March 31, 2012 55

Notes to Financial Statements  (Cont.)

• affiliated fund risk:  the risk that the Adviser may be subject to a potential conflict of interest in determining whether to invest in an underlying fund managed by the Adviser or in a fund managed by an unaffiliated manager, and may have an economic or other incentive to select the fund managed by it over another fund.

• asset allocation risk:  the risk that a Fund’s investment performance depends, at least in part, on how its assets are allocated and reallocated among asset classes and underlying funds and that such allocation will focus on asset classes, underlying funds, or investments that perform poorly or underperform other asset classes, underlying funds, or available investments.

• asset-backed securities investment risk:  the risk that borrowers may default on the obligations that underlie the asset-backed security and that, during periods of falling interest rates, asset-backed securities may be called or prepaid, which may result in a Fund having to reinvest proceeds in other investments at a lower interest rate, and the risk that the impairment of the value of the collateral underlying a security in which a Fund invests (due, for example, to non-payment of loans) will result in a reduction in the value of the security.

• commodities risk:  the risk that the value of a Fund’s shares may be affected by changes in the values of one or more commodities, which may be extremely volatile and difficult to value, risk of possible illiquidity, and the risks and costs associated with delivery, storage, and maintenance of precious metals or minerals or other commodity-related investments.

• debt securities risk:

( credit risk:  the risk that an issuer will default in the payment of principal and/or interest on a security.

( interest rate risk:  the risk that debt securities will decline in value because of increases in interest rates. The value of a security with a longer duration will be more sensitive to changes in interest rates than a similar security with a shorter duration.

• defaulted securities risk:  the risk of the uncertainty of repayment of defaulted securities and obligations of distressed issuers.

• derivatives risk:  the risk that an investment in derivatives will not perform as anticipated, cannot be closed out at a favorable time or price, or will increase a Fund’s volatility; that derivatives may create investment leverage; that, when a derivative is used as a substitute or alternative to a direct cash investment, the transaction may not provide a return that corresponds precisely with that of the cash investment; that a derivative will not perform in the manner anticipated by the Adviser; or that, when used for hedging purposes, derivatives will not provide the anticipated protection, causing a Fund to lose money on both the derivatives transaction and the exposure the Fund sought to hedge.

• emerging market country risk:  the risk that Fund share prices will decline due to the greater degree of economic, political and social instability of emerging market countries as compared to developed countries.

• equity issuer risk:  the risk that the value of a company’s stock will decline in value in response to factors affecting that company, that company’s industry, or the market generally.

• exchange-traded note risk:  the risk that the level of the particular market benchmark or strategy to which the note’s return is linked will fall in value; exchange-traded notes are subject to credit risk generally to the same extent as debt securities.

• financial services risk:  the risk associated with the financial services industry being subject to extensive government regulation, which may change frequently. In addition, the profitability of businesses in the financial services industry depends heavily on the availability and cost of money and may fluctuate significantly in response to changes in interest rates, as well as changes in general economic conditions. The financial services industry is exposed to risks that may impact the value of investments in the industry more severely than investments outside the industry. Businesses in the financial services industry often operate with substantial financial leverage.

• foreign currency risk:  the risk that fluctuations in exchange rates may adversely affect the value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• foreign investing risk:  the risk that a Fund’s investments will be affected by the market conditions, currencies, and the economic and political climates in the foreign countries in which the Fund invests.

• inflation-indexed bond risk:  the risk that such bonds will change in value in response to changes in actual or anticipated changes in inflation rates, in a manner unanticipated by a Fund’s portfolio management team or investors generally. Inflation-indexed bonds are subject to debt securities risk generally to the same extent as other similar debt securities.

• investment company and exchange traded fund risk:  the risk that an investment company, including any exchange-traded fund (“ETF”), in which a Fund invests will not achieve its investment objective or execute its investment strategy effectively or that large purchase or redemption activity by shareholders of such an investment company might negatively affect the value of the investment company’s shares. A Fund must pay its pro rata portion of an investment company’s fees and expenses.

• junk bond risk:  the risk that these bonds have a higher degree of default risk and may be less liquid and subject to greater price volatility than investment grade bonds.

• leveraging risk:  the risk that certain investments by a Fund involving leverage may have the effect of increasing the volatility of the Fund’s portfolio, and the risk of loss in excess of invested capital.

• limited operating history risk:  the risk that a newly formed fund has a limited operating history to evaluate and may not attract sufficient assets to achieve or maximize investment and operational efficiencies.

56 DoubleLine Funds

March 31, 2012

• liquidity risk: the risk that low trading volume, lack of a market maker, or contractual or legal restrictions may limit or prevent a Fund from selling securities or closing derivative positions at desirable prices.

• market capitalization risk:  the risk that investing substantially in issuers in one market capitalization category (large, medium or small) may adversely affect a Fund because of unfavorable market conditions particular to that category of issuers, such as larger, more established companies being unable to respond quickly to new competitive challenges or attain the high growth rates of successful smaller companies, or, conversely, stocks of smaller companies being more volatile than those of larger companies due to, among other things, narrower product lines, more limited financial resources, fewer experienced managers and there typically being less publicly available information about small capitalization companies.

• market risk:  the risk that the overall market will perform poorly or that the returns from the securities in which a Fund invests will underperform returns from the general securities markets or other types of investments.

• mortgage-backed securities risk:  the risk that borrowers may default on their mortgage obligations or the guarantees underlying the mortgage-backed securities will default and that, during periods of falling interest rates, mortgage-backed securities will be called or prepaid, which may result in a Fund having to reinvest proceeds in other investments at a lower interest rate. During periods of rising interest rates, the average life of a mortgage-backed security may extend, which may lock in a below-market interest rate, increase the security’s duration, and reduce the value of the security. Enforcing rights against the underlying assets or collateral may be difficult, or the underlying assets or collateral may be insufficient if the issuer defaults. The values of certain types of mortgage-backed securities, such as inverse floaters and interest-only and principal-only securities, may be extremely sensitive to changes in interest rates and prepayment rates.

• non-diversification risk:  the risk that, because a relatively higher percentage of a Fund’s assets may be invested in the securities of a limited number of issuers, the Fund may be more susceptible to any single economic, political or regulatory event than a more diversified fund. A decline in the market value of one of a Fund’s investments may affect the Fund’s value more than if the Fund were a diversified fund.

• portfolio management risk:  the risk that an investment strategy may fail to produce the intended results or that the securities held by a Fund will underperform other comparable funds because of the portfolio managers’ choice of investments.

• portfolio turnover risk:  the risk that frequent purchases and sales of portfolio securities may result in higher Fund expenses and may result in larger distributions of taxable short-term capital gains to investors as compared to a fund that trades less frequently.

• preferred securities risk:  the risk that: (i) certain preferred stocks contain provisions that allow an issuer under certain conditions to skip or defer distributions; (ii) preferred stocks may be subject to redemption, including at the issuer’s call, and, in the event of redemption, the Fund may not be able to reinvest the proceeds at comparable rates of return; (iii) preferred stocks are generally subordinated to bonds and other debt securities in an issuer’s capital structure in terms of priority for corporate income and liquidation payments; and (iv) preferred stocks may trade less frequently and in a more limited volume and may be subject to more abrupt or erratic price movements than many other securities.

• price volatility risk:  the risk that the value of a Fund’s investment portfolio will change as the prices of its investments go up or down.

• real estate risk:  the risk that real estate related investments may decline in value as a result of factors affecting the real estate industry, such as the supply of real property in certain markets, changes in zoning laws, delays in completion of construction, changes in real estate values, changes in property taxes, levels of occupancy, and local and regional market conditions.

• reliance on the adviser:  the risk associated with each Fund’s ability to achieve its investment objective being dependent upon the Adviser’s ability to identify profitable investment opportunities for a Fund. While the portfolio managers of the Funds have considerable experience in managing other portfolios with investment objectives, policies and strategies that are similar and intend to use similar analytical methods to identify potential investments for the Funds, the past experience of the portfolio managers does not guarantee future results for the Adviser.

• securities or sector selection risk:  the risk that the securities held by a Fund will underperform other funds investing in similar asset classes or benchmarks that are representative of the asset class because of the portfolio managers’ choice of securities or sectors for investment.

• short sales risk:  the risk that a security a Fund has sold short increases in value.

• tax risk:  in order to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (“Code”), a Fund must meet requirements regarding, among other things, the source of its income. It is possible that certain of a Fund’s investments in commodity-linked derivatives will not give rise to “qualifying income” for this purpose. Any income a Fund derives from investments in instruments that do not generate “qualifying income” must be limited to a maximum of 10% of the Fund’s annual gross income. If a Fund were to earn non-qualifying income in excess of 10% of its annual gross income, it could fail to qualify as a regulated investment company for that year. If a Fund were to fail to qualify as a regulated investment company, the Fund would be subject to tax and shareholders of the Fund would be subject to the risk of diminished returns.

• U.S. Government securities risk:  the risk that debt securities issued or guaranteed by certain U.S. Government agencies, instrumentalities, and sponsored enterprises are not supported by the full faith and credit of the U.S. Government, and so involve credit risk greater than investments in other types of U.S. Government securities.

11.  Recently Issued Accounting Pronouncements

In May 2011, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2011-04 “ Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (”IFRS“)”. ASU 2011-04 includes common

Annual Report March 31, 2012 57

Notes to Financial Statements  (Cont.)

requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in observable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the disclosure implications of ASU 2011-04 on the financial statements.

12.  Legal Proceedings

The litigation with Trust Company of the West involving the Trust, the Adviser, and certain key employees of the Adviser described in the Funds’ Prospectuses has been fully settled among the parties. The Trust is not engaged in any material litigation or arbitration proceedings and is not aware of any material litigation or claim pending or threatened by or against it.

13.  Subsequent Events

In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued. The Funds have determined there are no subsequent events that would need to be disclosed in the Funds’ financial statements.

58 DoubleLine Funds

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of DoubleLine Funds Trust

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Low Duration Bond Fund and DoubleLine Multi-Asset Growth Fund (Consolidated) (constituting DoubleLine Funds Trust, hereafter referred to as the “Funds”) at March 31, 2012, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented for the DoubleLine Total Return Bond Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Core Fixed Income Fund, DoubleLine Multi-Asset Growth Fund, and from September 30, 2011 (Commencement of Operations) to March 31, 2012 for DoubleLine Low Duration Bond Fund, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Los Angeles, California

May 29, 2012

Annual Report March 31, 2012 59

Shareholder Expenses (Unaudited)

Example

As a shareholder of DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund and DoubleLine Low Duration Bond Fund (each a “Fund” and collectively the “Funds”), you incur two basic types of costs: (1) transaction costs , including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees and other Fund expenses.

This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period covered by this report.

Actual Expenses

The actual return columns in the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the respective line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. In addition to the expenses shown below in the table, as a shareholder you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Fund’s transfer agent. Currently, if you request a redemption be made by wire, a $15.00 fee is charged by the Fund’s transfer agent. You will be charged a redemption fee equal to 1.00% of the net amount of the redemption if you redeem shares that have been held for less than 90 days in the DoubleLine Multi-Asset Growth Fund. An Individual Retirement Account (“IRA”) will be charged a $15.00 annual maintenance fee. The transfer agent charges a transaction fee of $25.00 on returned checks and stop payment orders. If you paid a transaction fee, you would add the fee amount to the expenses paid on your account this period to obtain your total expenses paid.

Hypothetical Example for Comparison Purposes

The hypothetical return columns in the following table provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect the transaction fees discussed above. Therefore, those columns are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

						Actual				Hypothetical (5% return before expenses)
		Fund’s Annualized Expense Ratio		Beginning Account Value		Ending Account Value 3/31/12		Expenses Paid During Period *1		Ending Account Value 3/31/12		Expenses Paid During Period *1
DoubleLine Total Return Bond Fund	Class I		0.49%	$	1,000	$	1,036	$	2.48	$	1,022	$	2.46
	Class N		0.74%	$	1,000	$	1,034	$	3.74	$	1,021	$	3.72
DoubleLine Core Fixed Income Fund	Class I		0.49%	$	1,000	$	1,038	$	2.48	$	1,022	$	2.46
	Class N		0.74%	$	1,000	$	1,037	$	3.75	$	1,021	$	3.72
DoubleLine Emerging Markets Fixed Income Fund	Class I		0.95%	$	1,000	$	1,098	$	4.96	$	1,020	$	4.77
	Class N		1.20%	$	1,000	$	1,096	$	6.25	$	1,019	$	6.02
DoubleLine Multi-Asset Growth Fund	Class I		1.20%	$	1,000	$	1,021	$	6.03	$	1,019	$	6.02
	Class A		1.45%	$	1,000	$	1,022	$	7.29	$	1,018	$	7.27
DoubleLine Low Duration Bond Fund	Class I		0.47%	$	1,000	$	1,024	$	2.37	$	1,023	$	2.36
	Class N		0.72%	$	1,000	$	1,023	$	3.62	$	1,021	$	3.62

* The dollar amounts shown as expenses paid during the period are equal to the annualized six-month expense ratio multiplied by the average account value during the period, multiplied by the number of days in the most recent six-month period and divided by the number of days in the most recent twelve month period.

¹ Reflects fee waiver and expense limitation arrangements in effect during the period

60 DoubleLine Funds

(Unaudited)

DoubleLine Total Return Bond Fund

Value of a $100,000 Investment

Class I Shares¹

Total Returns¹

As of March 31, 2012

	1 Year		Since Inception (4/6/2010)
DoubleLine Total Return Bond Fund Class I		10.18		14.77%
Barclays Capital U.S. Aggregate Bond Index*		7.71		6.76%
DoubleLine Total Return Bond Fund Class N		9.83		14.47%

¹  Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end.

²  Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes.

* This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time.

Annual Report March 31, 2012 61

(Unaudited)

March 31, 2012

DoubleLine Core Fixed Income Fund

Value of a $100,000 Investment

Class I Shares¹

Total Returns1 As of March 31, 2012
	1 Year		Since Inception (6/1/2010)
DoubleLine Core Fixed Income Fund Class I		11.19		11.57%
Barclays Capital U.S. Aggregate Bond Index*		7.71		5.92%
DoubleLine Core Fixed Income Fund Class N		10.85		11.28%

¹  Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end.

²  Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes.

* This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time.

62 DoubleLine Funds

(Unaudited)

DoubleLine Emerging Markets Fixed Income Fund

Value of a $100,000 Investment

Class I Shares¹

Total Returns1 As of March 31, 2012
	1 Year		Since Inception (4/6/2010)
DoubleLine Emerging Markets Fixed Income Fund Class I		7.96		9.79%
JP Morgan EMBI Global Diversified Index**		10.94		9.72%
DoubleLine Emerging Markets Fixed Income Fund Class N		7.71		9.54%

¹  Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end.

²  Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes.

** This index is an uniquely-weighted version of the EMBI Global. It limits the weights of those index countries with larger debt supplies by only including specified portions of these countries’ eligible current face amounts of debt outstanding. The countries covered in the EMBI Global Diversified are identical to those covered by EMBI Global. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time.

Annual Report March 31, 2012 63

(Unaudited)

March 31, 2012

DoubleLine Multi-Asset Growth Fund

Value of a $100,000 Investment

Class I Shares¹

Total Returns¹

As of March 31, 2012

	1 Year		Since Inception (12/20/2010)
DoubleLine Multi-Asset Growth Fund Class I		2.67		3.07%
Blended Benchmark		3.90		6.40%
DoubleLine Multi-Asset Growth Fund (with load) Class A		-1.79		-0.62%

¹  Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end.

²  Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes.

*** Blended Benchmark: 60% Barclays Capital U.S. Aggregate/ 25% Morgan Stanley Capital International All Country World Index/ 15% S&P Goldman Sachs Commodity Total Return Index. The Barclays Capital U.S. Aggregate index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Standard & Poor’s/Goldman Sachs Commodity Total Return Index is a composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures. This index’s components qualify for inclusion in the index based on liquidity measures and are weighted in relation to their global production levels, making the index a valuable economic indicator and commodities market benchmark. The Morgan Stanley Capital International All Country World Index is designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI All Country World Index Ex-U.S. includes both developed and emerging markets. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time.

64 DoubleLine Funds

(Unaudited)

DoubleLine Low Duration Bond Fund

Value of a $100,000 Investment

Class I Shares¹

Total Returns1 As of March 31, 2012
	Since Inception (9/30/2011)
DoubleLine Low Duration Bond Fund Class I		2.44%
BofA Merrill Lynch 1-3 year Treasury Index		0.11%
DoubleLine Low Duration Bond Fund Class N		2.25%

¹  Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end.

²  Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes.

**** The BofA Merrill Lynch 1-3 Year US Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time.

Annual Report March 31, 2012 65

Evaluation of Advisory Agreement by the Board of Trustees (Unaudited)

At the February 29, 2012 meeting (the “Meeting”) of the Board of Trustees of DoubleLine Funds Trust (the “Trust”), the Board of Trustees, including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (“Independent Trustees”) voting separately, approved the renewal of the Investment Advisory and Management Agreements (the “Advisory Agreements”) between DoubleLine Capital LP (“DoubleLine” or the “Adviser”) and the Trust, in respect of the DoubleLine Total Return Bond Fund, the DoubleLine Core Fixed Income Fund, the DoubleLine Emerging Markets Fixed Income Fund, and the DoubleLine Multi-Asset Growth Fund (each, a “Fund” and, collectively, the “Funds”), for an additional one-year period starting March 25, 2012.

The Trustees meet over the course of the year with investment advisory personnel from DoubleLine and regularly review detailed information, presented both orally and in writing, regarding the investment program and performance of each Fund. The Trustees’ determination to approve the continuance of the Advisory Agreements was made on the basis of each Trustee’s business judgment after a comprehensive evaluation of all of the information provided to the Trustees, both at the February 29, 2012 meeting and at prior meetings. This summary describes a number, but not necessarily all, of the most important factors considered by the Board and the Independent Trustees. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. No single factor was determined to be decisive. In all of their deliberations, the Board of Trustees and the Independent Trustees were advised by counsel to the Independent Trustees and the Funds, and the Independent Trustees met separately from management in making their assessment of the Advisory Agreement arrangements, including in an executive session with counsel to the Independent Trustees.

The Trustees considered the nature, extent, and quality of the services provided and expected to be provided by DoubleLine. In this regard, the Trustees considered that DoubleLine provides a full investment program for each of the Funds and a variety of other services, including, among others, a number of back-offices services, shareholder services, administration services, valuation services, and compliance services. The Board also considered that DoubleLine makes available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, performance and portfolio accounting. At their meetings since their initial approval of the Advisory Agreements, the Trustees heard reports from, and reviewed information provided by, DoubleLine’s and the Funds’ officers, including the Funds’ Chief Compliance Officer, regarding, the services described above as well as DoubleLine’s and the Funds’ compliance programs. The Trustees noted the considerable experience and capability of the DoubleLine team and considered a statement by a representative of the Adviser that DoubleLine is aware of the challenges posed by the Funds’ rapid growth and is prepared to devote the resources necessary to continue to provide a high level of expertise and service to the Funds, and that such expertise and service has benefited and reasonably could be expected to benefit the Funds’ shareholders. The Board considered the difficulty of managing bond funds, noting that managing bond funds requires a portfolio management team to balance a number of factors, including (but not limited to) varying maturities, prepayments, collateral management, counter-party management, pay-downs, credit events, workouts and net new issuance in the bond market. Based on these considerations and others, the Trustees concluded that they were satisfied with the nature and the quality of the services provided to the Funds under the Advisory Agreements.

The Trustees considered DoubleLine’s representation that it has attempted to set its management fees at rates that reflect market levels generally, and that reflect the experience and expertise DoubleLine brings to managing the Funds. The Trustees reviewed reports provided by Strategic Insight, which showed that the net management fees paid by the Total Return Bond Fund and the Core Fixed Income Fund were significantly below those Funds’ expense group medians, and that, although there were brief periods of relative underperformance, the performance for each of those Funds had generally been favorable. The Trustees noted that the net management fee paid by the Emerging Markets Fixed Income Fund was relatively high compared to its expense group peers, though not the highest of the peer funds, and that the Fund had achieved second-quartile relative performance for the one-year period ending December 31, 2011. The Trustees also noted that the net management fee for the Multi-Asset Growth Fund compared very favorably to that Fund’s expense group peers, due principally to the substantial fee waivers incurred by DoubleLine. The Trustees concluded that the fees paid by the Funds to DoubleLine were generally reasonable in light of the services provided, the quality of the portfolio management teams, and the Funds’ performance to date. In the course of their discussion, the Trustees met with a representative of the Strategic Insight organization to discuss the performance and expense information provided and the methodology used in assembling and presenting that information.

The Trustees considered information relating to the fees charged by DoubleLine to clients other than the Funds, including institutional separate accounts and mutual funds for which DoubleLine serves as sub-adviser. The Trustees took into account the Adviser’s statement that each of the Funds pays fees at the same rate as the standard rates charged by DoubleLine to clients with comparable investment strategies generally, with the exception of the Emerging Markets Fixed Income Fund, which pays a higher rate. The Trustees considered that DoubleLine’s standard fee schedules for each of the relevant investment strategies incorporate at least one breakpoint, with the exception of the investment strategy used by the Multi-Asset Growth Fund, which is the only account managed by DoubleLine that uses that strategy. The Trustees considered that DoubleLine had also explained that the administrative, compliance, reporting, and other legal burdens of providing investment advice to mutual funds exceed those required to provide advisory services to non-mutual fund clients, including institutional accounts, such as endowments, foundations and retirement or pension plans, noting too, that such arrangements typically entail different contractual obligations. The Trustees also took into account DoubleLine’s representation that there are substantially greater legal and other responsibilities and risks to DoubleLine in managing public mutual funds than in managing private accounts or in sub-advising mutual funds sponsored by others, and that the services and resources required of DoubleLine when it sub-advises mutual funds sponsored by others are less than in the case of the Funds because many of the administrative and compliance responsibilities related to the management function are retained by the primary adviser.

The Trustees reviewed financial information provided to them by DoubleLine, including actual financial information for 2011 and projected information for 2012, regarding the Adviser’s operating costs and profitability. The Trustees also reviewed information regarding the profitability to DoubleLine of its service arrangements with the Funds, both before and after distribution expenses. The Trustees considered DoubleLine’s representation that it continues to invest in its business to maintain high quality services for the Funds and does not engage in contractual soft-dollar arrangements.

66 DoubleLine Funds

Evaluation of Advisory Agreement by the Board of Trustees  (Cont.) (Unaudited)

The Trustees discussed with DoubleLine whether economies of scale would likely be realized as the Funds grow and whether a reduction in the advisory fees paid by the Funds by means of breakpoints would be appropriate. The Trustees considered DoubleLine’s statement that it did not believe that implementation of breakpoints or fee reductions would be appropriate at this time for a number of reasons. For example, DoubleLine noted that both the Total Return Bond Fund and the Core Fixed Income Fund already pay net management fees that are well below those Funds’ respective peer medians, and the levels of profitability of both Funds to DoubleLine are reasonable and in line with or below what DoubleLine understands to be industry norms. The Trustees also considered that DoubleLine was still heavily subsidizing the expenses of the Multi-Asset Growth Fund. In addition, the Trustees noted that, although DoubleLine’s profitability was higher in respect of the Emerging Markets Fixed Income Fund as compared to the other Funds, DoubleLine believed that the Emerging Markets Fixed Income Fund had not yet achieved economies of scale beyond those that DoubleLine anticipated it would achieve when it proposed the Fund’s current advisory fee schedule, and that DoubleLine was still waiving a portion of its advisory fee as to that Fund. After considering the information provided, the Trustees concluded that the profitability of the Funds to DoubleLine did not appear excessive or such as to preclude renewal of the Advisory Agreements and that, for the reasons noted, it did not appear that implementation of breakpoints for any of the Funds would be appropriate at this time.

On the basis of these considerations, the Trustees determined to approve the Advisory Agreements for an additional one-year period.

Annual Report March 31, 2012 67

Federal Tax Information (Unaudited)

For the fiscal year ended March 31, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

Qualified Dividend Income
DoubleLine Total Return Bond Fund	0.00%
DoubleLine Core Fixed Income Fund	0.00%
DoubleLine Emerging Markets Fixed Income Fund	0.00%
DoubleLine Multi-Asset Growth Fund	11.29%
DoubleLine Low Duration Bond Fund	0.00%

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended March 31, 2012 was as follows:

Dividends Received Deduction
DoubleLine Total Return Bond Fund	0.00%
DoubleLine Core Fixed Income Fund	0.00%
DoubleLine Emerging Markets Fixed Income Fund	0.00%
DoubleLine Multi-Asset Growth Fund	11.29%
DoubleLine Low Duration Bond Fund	0.00%

The Percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) for each Fund were as follows:

DoubleLine Total Return Bond Fund	0.00%
DoubleLine Core Fixed Income Fund	7.14%
DoubleLine Emerging Markets Fixed Income Fund	14.81%
DoubleLine Multi-Asset Growth Fund	0.00%
DoubleLine Low Duration Bond Fund	0.00%

Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Funds.

68 DoubleLine Funds

Trustees and Officers (Unaudited)

Name, Address, and Year of Birth(1)	Position with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number  of Portfolios Overseen(3)	Other Directorships Held by Trustee
Independent Trustees
Joseph J. Ciprari, 1964	Trustee	Indefinite/Since Inception	Consultant with Remo Consultants. Formerly, Managing Director, UBS AG. Formerly, Managing Director, Ally Securities, LLC.	6	None
John C. Salter, 1957	Trustee	Indefinite/Since Inception	California Desk Manager/Broker of ChapDelaine & Co. Formerly, Partner at Stark, Salter & Smith, a securities brokerage firm specializing in tax exempt bonds.	6	None
Robert J. Untracht, 1949	Trustee	Indefinite/Since Inception	Financial Reporting Consultant with International Lease Finance Corporation.	6	None(2)
Raymond B. Woolson, 1958	Trustee	Indefinite/Since Inception	President of Apogee Group, Inc., a company providing financial consulting services.	6	None

(1) The address of each Independent Trustee is c/o DoubleLine Capital LP, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.

(2) Formerly, a member of the Board of Directors of SM&A, Inc. (a publicly traded company).

(3) Includes DoubleLine Opportunistic Credit Fund, a closed-end fund.

The following Trustees are “interested persons” of the Trust as defined in the 1940 Act because they are officers of the Adviser, and indirect shareholders in the Adviser.

Name, Address, and Age(1)	Position with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios Overseen	Other Directorships Held by Trustee
Interested Trustees
Jeffrey E. Gundlach, 1959	Trustee	Indefinite/Since Inception	Chief Executive Officer at DoubleLine Capital LP (since December 2009); prior thereto, Chief Investment Officer, Group Managing Director and President at TCW Group.	5	None
Philip A. Barach, 1952	Trustee	Indefinite/Since Inception	President at DoubleLine Capital LP (since December 2009); prior thereto, Group Managing Director at TCW Group.	5	None

(1) The address of each Interested Trustee is DoubleLine Capital LP, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.

Officers

The officers of the Trust who are not also Trustees of the Trust are:

Name, Address, and Age(1)	Position(s) Held with Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Ronald R. Redell, 1970	President	Indefinite/Since Inception	President at DoubleLine Funds Trust (since January 2010); prior thereto, President and CEO of TCW Funds, Inc. and TCW Strategic Income Fund, Inc.
Earl Lariscy, 1966	Chief Compliance Officer	Indefinite/Since June 2010	General Counsel at DoubleLine Capital LP (since April 2010); prior thereto, Director at Barclay’s Capital and Agency General Manager of Barclay Bank PLC’s California based banking operations beginning in October 2007. Prior to Barclays, Mr. Lariscy served as Associate General Counsel to TCW Group since January 2006 and worked as an attorney in the New York office of Linklaters prior to joining TCW Group.
Louis C. Lucido, 1948	Secretary	Indefinite/Since Inception	Chief Operating Officer at DoubleLine Capital LP (since December 2009); prior thereto, Group Managing Director at TCW Group.
Susan Nichols, 1962	Treasurer	Indefinite/Since August 2010	Assistant Treasurer at DoubleLine Funds Trust (since January 2010); prior thereto, Senior Vice President at TCW Group.

(1) The address of each officer is DoubleLine Capital LP, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 877-DLine11 (877-354-6311).

Annual Report March 31, 2012 69

Information About Proxy Voting (Unaudited)

Information about how a Fund voted proxies relating to portfolio securities held during the most recent twelve month period ended June 30^th is available no later than the following August 31^st without charge, upon request, by calling 877-DLine11 (877-354-6311) and on the SEC’s website at http://www.sec.gov.

A description of the Funds’ proxy voting policies and procedures is available (i) without charge, upon request, by calling 877-DLine11 (877-354-6311); and (ii) on the commission’s web site at http://www.sec.gov.

Information About The Portfolio Holdings

It is the policy of the Trust to provide certain unaudited information regarding the portfolio composition of the Funds as of month-end to shareholders and others upon request to the Funds, beginning on the 15th calendar day after the end of the month (or, if not a business day, the next business day thereafter).

Shareholders and others who wish to obtain portfolio holdings for a particular month may make a request by contacting the Funds at no charge at 877-DLine11 (877-354-6311) between the hours of 7:00 a.m. and 5:00 p.m. Pacific time, Monday through Friday, beginning on the 15th day following the end of that month (or, if not a business day, the next business day thereafter). Requests for portfolio holdings may be made on a monthly basis pursuant to this procedure, or standing requests for portfolio holdings may be accepted.

The Trust is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for its first and third fiscal quarters on Form N-Q. The Trust’s Forms N-Q are available on the U.S. Securities and Exchange Commission’s website at www.sec.gov. You can also review and obtain copies of the Forms N-Q at the U.S. Securities and Exchange Commission’s Public Reference Room in Washington, DC (information on the operation of Public Reference Room may be obtained by calling 1-800-SEC-0330).

Householding — Important Notice Regarding Delivery of Shareholder Documents

In an effort to conserve resources, the Funds intend to reduce the number of duplicate Prospectuses and Annual and Semi-Annual Reports you receive by sending only one copy of each to addresses where we reasonably believe two or more accounts are from the same family. If you would like to discontinue householding of your accounts, please call toll-free 877-DLine11 (877-354-6311) to request individual copies of these documents. We will begin sending individual copies thirty days after receiving your request to stop householding.

70 DoubleLine Funds

Privacy Notice (Unaudited)

What Does DoubleLine Do With Your Personal Information

Financial companies choose how they share your personal information. This notice provides information about how we collect, share, and protect your personal information, and how you might choose to limit our ability to share certain information about you. Please read this notice carefully.

All financial companies need to share customers’ personal information to run their everyday businesses. Accordingly, information, confidential and proprietary, plays an important role in the success of our business. However, we recognize that you have entrusted us with your personal and financial data, and we recognize our obligation to keep this information secure. Maintaining your privacy is important to us, and we hold ourselves to a high standard in its safekeeping and use. Most importantly, DoubleLine does not sell its customers’ non-public personal information to any third parties. DoubleLine uses its customers’ non-public personal information primarily to complete financial transactions that its customers request or to make its customers aware of other financial products and services offered by a DoubleLine affiliated company.

DoubleLine may collect non-public information about you from the following sources:

• Information we receive about you on applications or other forms;

• Information you may give us orally;

• Information about your transactions with us or others;

• Information you submit to us in correspondence, including emails or other electronic communications; and

• Information about any bank account you use for transfers between your bank account and any Fund account, including information provided when effecting wire transfers.

DoubleLine does not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except that we may disclose the information listed above, as follows:

• It may be necessary for DoubleLine to provide information to nonaffiliated third parties in connection with our performance of the services we have agreed to provide you. For example, it might be necessary to do so in order to process transactions and maintain accounts.

• DoubleLine will release any of the non-public information listed above about a customer if directed to do so by that customer or if DoubleLine is authorized by law to do so, such as in the case of a court order, legal investigation, or other properly executed governmental request.

• In order to alert a customer to other financial products and services offered by an affiliate, DoubleLine may share information with an affiliate, including companies using the DoubleLine name. Such products and services may include, for example, other investment products offered by a DoubleLine company. If you prefer that we not disclose non-public personal information about you to our affiliates for this purpose, you may direct us not to make such disclosures (other than disclosures permitted by law) by calling 877-DLine11(877-354-6311). If you limit this sharing and you have a joint account, your decision will be applied to all owners of the account.

We will limit access to your personal account information to those agents and vendors who need to know that information to provide products and services to you. Your information is not provided by us to nonaffiliated third parties for marketing purposes. We maintain physical, electronic, and procedural safeguards to guard your non-public personal information.

As required by federal law, DoubleLine will notify customers of DoubleLine’s Privacy Policy annually. DoubleLine reserves the right to modify this policy at any time, but in the event that there is a change, DoubleLine will promptly inform its customers of that change.

Annual Report March 31, 2012 71

DoubleLine Capital LP 333 South Grand Avenue 18th Floor Los Angeles, CA 90071   doubleline.com info@doubleline.com 1. 213. 633. 8200

Investment Adviser:

DoubleLine Capital LP

333 South Grand Avenue

18th Floor

Los Angeles, CA 90071

Distributor:

Quasar Distributors, LLC

615 East Michigan Street

Milwaukee, WI 53202

Administrator and Transfer Agent:

U.S. Bancorp Fund

Services, LLC

P.O. Box 701

Milwaukee, WI 53201

Custodian:

U.S. Bank, N.A.

1555 North River Center

Drive, Suite 302

Milwaukee, WI 53212

Independent Registered

Public Accounting Firm:

PricewaterhouseCoopers LLP

350 South Grand Avenue

Los Angeles, CA 90071

Legal Counsel:

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Contact Information:

doublelinefunds.com

fundinfo@doubleline.com

1-877-DLine11 or

1-877-354-6311

Item 2. Code of Ethics.

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report. A copy of the registrant’s Code of Ethics is filed herewith.

Item 3. Audit Committee Financial Expert.

The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Robert J. Untracht is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

	FYE 3/31/2012	FYE 3/31/2011
Audit Fees	$341,500	$215,000
Audit-Related Fees	N/A	N/A
Tax Fees	$20,000	$27,000
All Other Fees	N/A	N/A

The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

The percentage of fees billed by PricewaterhouseCoopers LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

	FYE 3/31/2012	FYE 3/31/2011
Audit-Related Fees	0%	0%
Tax Fees	0%	0%

  All Other Fees 0% 0%

All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. (If more than 50 percent of the accountant’s hours were spent to audit the registrant’s financial statements for the most recent fiscal year, state how many hours were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.)

The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.

Non-Audit Related Fees	FYE 3/31/2012	FYE 3/31/2011
Registrant	N/A	N/A
Registrant’s Investment Adviser	N/A	N/A

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

(a)  Schedule  of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

Item 11. Controls and Procedures.

(a) The Registrant’s President and Treasurer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith.

(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) DoubleLine Funds Trust                                                                 

By (Signature and Title)*/s/ Ronald R. Redell                                                   

Ronald R. Redell, President

Date June 7, 2012                                                                                                  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/ Ronald R. Redell                                                  

Ronald R. Redell, President

Date June 7, 2012                                                                                                  

By (Signature and Title)* /s/ Susan Nichols                                                       

Susan Nichols, Treasurer

Date June 7, 2012                                                                                                   

* Print the name and title of each signing officer under his or her signature.