As filed with the Securities and Exchange Commission on 12/5/13
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: September 30, 2013
Item 1. Reports to Stockholders.
Semi-Annual Report
September 30, 2013
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 Floating Rate Fund
DBFRX (I-share)
DLFRX (N-share)
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| DoubleLine Capital LP | | 333 S. Grand Avenue 18th Floor Los Angeles, California 90071 doubleline.com |
Table of Contents
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| | Semi-Annual Report | | September 30, 2013 | | 3 |
President’s Letter
Dear Shareholder,
On behalf of the DoubleLine Funds, I am pleased to deliver the Semi-Annual Report. On the following pages you will find specific information regarding each Fund’s operations and holdings. In addition, we discuss each Fund’s total return investment performance and the main drivers of that performance during the reporting period.
Investors’ assets in the DoubleLine Funds are over $41.5 billion as of September 30, 2013. As the DoubleLine Funds approached their three-year anniversary on April 6, 2013, we enhanced our overall lineup of investment strategies available to investors. On February 1, 2013 we launched the DoubleLine Floating Rate Fund (DBFRX/DLFRX). In addition, we launched a series of growth equity funds on April 1, 2013, led by Brendt Stallings and Husam Nazer. Lastly, on October 31, 2013, in an arrangement with Professor Robert Shiller, we launched the DoubleLine Shiller Enhanced CAPE® (DSEEX/DSENX).
If you have any questions regarding the DoubleLine Funds please don’t hesitate to call us at 877-DLine11 (877-354-6311), or visit our website www.doublelinefunds.com to hear our investment management team offer deeper insights and analysis on relevant capital market activity impacting investors today. We value the trust that you have placed with us, and we will continue to strive to offer thoughtful investment solutions to our shareholders.
Sincerely,
Ronald R. Redell, CFA
President
DoubleLine Funds Trust
November 1, 2013
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| Financial Markets Highlights | | |
Financial Markets Highlights:
· Agency Mortgage-Backed Securities (Agency MBS)
The Agency MBS sector, as measured by the Barclays U.S. MBS Index, had a return of -0.96% for the six-month period ending September 30, 2013. The Agency MBS sector outperformed both the U.S. Treasury and the Investment Grade Corporate sectors during this period. U.S. Treasury rates rose over the six-month period with 10-Year Treasury rates higher by 76 basis points (bps) over the period. There was a large dispersion of price performance in various mortgage securities during the period depending on the coupon. For example, 30-year Fannie Mae (FNMA) securities with 3% coupons were down over 5.5% during the period. Over the same time horizon, 30-year FNMA securities with 5% coupons were virtually unchanged in price. Overall, the average price of securities in the Barclays U.S. MBS Index went down from $107.09 at the beginning of the period to $104.20 at the end of the period. Pay-ups for specified mortgage pools that have expectations of slower prepayments went down over the period. As the prices of these securities have declined, there is less incremental value in characteristics that should make the pool slower paying.
The price action of securities in the MBS sector was dominated by the change in interest rates during the period, but also was somewhat affected by thoughts about the Federal Reserve (Fed), quantitative easing (QE) and potential tapering of QE. The Fed has been buying approximately $45 billion a month in Agency MBS and their purchases have been focused on current coupon mortgages. Fear of “tapering” led to the spread widening in the Agency MBS sector and underperformance in current coupons relative to higher coupon mortgages. Total gross issuance of Agency MBS has decreased from approximately $150 billion in August 2013 to approximately $130 billion in September 2013.
As interest rates rose over the six-month period, prepayment speeds slowed. Roughly speaking, at the end of the period, prepayment speeds were around 50% of where they were at the beginning of the six-month period. They are back at levels not seen since mid-2011. The drop in prepayments is a major reason why higher coupon mortgages have performed better as these securities are more affected by prepayment speeds due to their higher dollar prices.
As interest rates have risen and prepayment speeds have slowed down, the duration of the MBS sector has extended from 4.0 years at the end of March, to 5.4 years at the end of September. The duration of the Agency MBS market during the last two months of the reporting period was at a historic high. On a month-end reporting basis, the longest duration for the Agency MBS market previously reported by Barclays was in May 1994 at 4.8 years. So while any additional interest rate rises could extend the duration for the MBS market further, it has already experienced a significant extension.
A continuation of discussions regarding the future of the Government-Sponsored Enterprises (GSEs) occurred during the period. Most notably was the discussion over the Corker-Warner Bill, which would create a new entity intended to help facilitate the home buying process by making the mortgage process more efficient without putting taxpayers on the hook for the whole risk. The ultimate resolution of GSE restructuring, if any, will not be known for a while, nor do we know if any such change will come through this bill or another route. It seems that thoughts to potential solutions to the issue lie along political lines.
· Non-Agency Mortgage-Backed Securities (Non-Agency MBS)
Non-Agency MBS have experienced a 12-month rally, largely unabated, despite news of changes in banking regulation, government policy shifts and volatility in rates. Regardless of this overall trend, there were periods of weakness. The second quarter of 2013 began with concerns about buyer demand as an influx of supply hit the market. Rumors of bond fund liquidations amidst rising interest rates further fueled these fears and non-agency MBS experienced one of the more significant pull backs within the past two years. Against this back drop, both Wall Street and the investor community braced for price corrections across the sector. A significant correction never came. The window of weakness was brief, allowing savvy investors to put money to work at wider yields before the rally resumed.
The rebound of the U.S. housing market has been favorable for the performance of the Non- Agency MBS sector during the six months ended September 30, 2013. Housing inventory has tightened steadily due to record low mortgage rates causing buyers to reenter the housing market. Additionally, the emergence of institutional buy-to-rent programs has absorbed much of the inventory overhang in many fringe markets. Average home price appreciation (HPA) in U. S. markets was 11% over this time period, according to the Standard & Poor’s (S&P)/Case-Shiller 20-City Composite Home Price Index. The Housing Affordability Index increased modestly during the first six months of the year when the average conventional 30-year fixed mortgage rate hovered around 3.50%; however, affordability dropped sharply as the mortgage rate rose to a high of 4.67% during the third quarter of 2013. The consensus amongst Wall Street research analysts is that the pace of home price appreciation that has been observed over the six months ended September 30, 2013 should continue to be moderate over the next several months.
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Financial Markets Highlights (Cont.)
As expected, Non-Agency collateral performance has directly followed suit with the overall housing market. Delinquencies, prepayment speeds and liquidation rates have all improved over the past six months. Option Adjustable-Rate Mortgage (ARM) collateral has seen the most marked improvement with delinquencies and liquidation rates showing the steepest declines. Subprime collateral also showed a sharp improvement with delinquencies leveling off and liquidation rates declining each month during the period. Higher quality collateral, such as prime and Alt-A Non-Agency MBS, saw modest improvements as they were coming off a better foundation and did not see as much stress during the 2008 financial crisis. Loss severities on liquidated loans in all sectors remained steady despite rising House Price Appreciation (HPA). Our belief is that servicer advances on legacy delinquent loans are offsetting the HPA gains and we feel severity improvements on liquidated loans will be seen once these loans are liquidated from the pools.
Bid list volume varied widely during the past six months. For comparison purposes, the fourth quarter of 2012 saw $38 billion trade on bid lists whereas during a very busy second quarter of 2013, $66 billion of principal traded through bid lists. There were some notable bid lists during the second quarter where multiple lists of over $2 billion traded in a day. This type of volume coupled with fears of banking regulations and redemptions on bond funds caused a softening in the Non-agency markets. Loss adjusted yields on prime, Alt-A, and subprime Non-Agency MBS widened out to 5.5%, 6% and 8%, respectively. Despite the rumors of the reduction of the government bond buying program, higher mortgage rates and general disagreement between party lines in the U.S. government, Non-Agency bonds have rallied from the June weakness.
The ABX Index is a tradable synthetic index referencing a basket of 20 subprime mortgage bonds. This index is viewed as a proxy for the performance for the subprime mortgage market. For the six-month period ending September 30, 2013, ABX 2006-2 AAA returned 3.86%. Distressed sectors such as Option ARM and subprime bonds, have rebounded the fastest from the June softening as they saw the steepest declines during the brief second quarter sell off. During the same period, prime fixed rate and Alt-A fixed rate bonds observed price changes of approximately 0.15% and -2.2%, respectively. Bonds in the prime sector have regained their losses from June whereas Alt-A bonds are slowly regaining their footing. Supply technicals have been the driving force of the rally and events on the periphery, regardless of how significant of an impact they may have on the macro markets, have thus far been unable to change the course.
· Commercial Mortgage-Backed Securities (CMBS)
After a strong start in 2013, the market faced major macroeconomic headwinds this summer, including concerns about the Fed tapering its bond-buying program, increasing conflict in the Middle East and the bankruptcy of Detroit, the largest municipal bankruptcy in U.S. history. Although the Fed’s decision to delay tapering has helped stabilize the markets, ongoing concerns about the government shutdown and debt ceiling continued to weigh in on investors’ minds. For CMBS investors, commercial real estate fundamentals continued to improve, with all property types showing flat to positive cash flow growth and occupancy improvement with stable to lower cap rates across all property types, contributing to higher valuations. CMBS delinquencies have decreased as special servicers continue to work through their portfolio of delinquent loans.
For the six-month period ending September 30, 2013, legacy mezzanine AAA (AMs) and super senior CMBS traded wider, by 27 bps and 70 bps, respectively, while junior AAA CMBS (AJs) traded tighter by 20 bps. New issue AAA traded wider by 13 bps while new issue BBB- also traded wider by 20 bps. During the six months ended September 30, 2013, the CMBS portion of the Barclays U.S. Aggregate Bond Index returned -0.43% versus -1.77% for the broader index.
On the new issue front, Non-Agency CMBS issuance has been about $60 billion for the first three quarters of the year and the pipeline through the end of the year is about $20 billion, on pace to finish 2013 between $75-80 billion, up significantly from $48 billion in 2012.
Delinquency rates have continued to improve: the 30+ delinquency rate ended the third quarter at 8.1%, the lowest reading since July 2010 and a strong improvement from six months ago, when it was at 9.5%. Overall, delinquency rates have declined across all major property types over the past six months, with lodging showing the biggest improvement declining by 267 bps to 9.2%, multifamily declining by 160 bps to 11.1%, retail declining by 141 bps to 6.5%, office declining by 129 bps to 9.3% and industrial declining by 13 bps to 11.6%.
During the six months ended September 30, 2013, 404 loans totaling $5.6 billion were disposed of, resulting in an average loss severity of 45.1%. By property type, the average loss severities for the first three quarters of the year were highest for retail at 51% followed by lodging at 50%, office at 42%, industrial at 38% and multifamily at 33%. We anticipate the increased pace of liquidations to continue as special servicers work through their real-estate owned (REO)/foreclosure loan portfolio.
· Emerging Markets (EM) Debt
Over the six-month period ending September 30, 2013, performance across all EM fixed income sectors has been driven by volatility in U.S. Treasury rates and fund outflows from the asset class. Following the May Federal Open Market Committee (FOMC) meeting, the market began anticipating that the Fed could begin scaling back its bond buying program earlier than expected, leading to 10-year U.S. Treasury rates rising 76 bps from 1.85% as of March month end to 2.61% as of September month-end. Higher yields in U.S. rates led to an outflow from EM, as investors shifted their portfolio allocation into floating rate bonds or shorter duration assets. Concerns of slowing growth and deteriorating fiscal balances in certain EM economies contributed to credit spreads widening across U.S. dollar-denominated EM fixed income sectors. Over this six-month time period, EM dollar denominated corporate debt outperformed its sovereign counterpart as corporate debt had more moderate outflows and has a shorter duration as an asset class than EM sovereign debt. EM local currency government bonds have seen the most significant volatility and the worst performance across the EM sectors as EM currencies sharply sold off versus the U.S. dollar.
· Treasuries
The Treasury market, together with virtually all fixed income securities, rode a roller coaster through the six-month period ending September 30, 2013. Treasuries performed well in April as yields hit their lows of the year, with the 10-year Treasury yield falling to 1.62%. Market sentiment shifted abruptly in early May beginning with a strong employment report. Ben Bernanke added fuel to the fire by talking publicly about a time frame for reducing and eventually ending the Fed’s asset purchase program. The market shook off its complacency and a broad spectrum of investors rushed to shed duration and unwind purchases accumulated over the course of the past few years. The sell-off became self-reinforcing as selling drove down prices and the resulting capital losses prompted further selling. The liquidation cycle carried the 10-year to a two-year high yield of 3.01% in early September. By that time the tighter financial conditions, lighter positions and weaker economic data broke the momentum of down draft in prices. The end of the sell-off was confirmed in mid September when the FOMC unexpectedly declined to launch the widely expected “taper,” leaving the Fed’s asset purchase program intact likely through the end of the year.
· Corporates
In the second quarter of 2013, the Investment Grade market, as measured by the Barclays U.S. Credit Index, posted negative absolute returns and negative excess returns; however, in the third quarter, the Investment Grade market posted positive total and excess returns.
Returns during the second quarter were dominated by increased expectations for a “tapering” of the Fed’s QE program in the United States. Concerns about the potential tapering and eventual cessation of QE resulted in higher core government bond yields. These concerns were alleviated in the third quarter when the Fed met in September and decided against tapering asset purchases, catching many market participants by surprise. In addition, Janet Yellen was nominated by President Obama to be the next Fed Chair, providing the fixed income markets with more confidence that rates should remain low. On the economic front, the United States has delivered mixed data and the recent debacle in Washington is expected to cut in to future GDP growth, further decreasing the likelihood of any tapering. Meanwhile, the corporate profitability remained strong and spreads, especially in the High Yield sector, tightened.
· Bank Loans
Although weaker economic data combined with concerns that Central Bank accommodation might come to an end sooner rather than later roiled the credit markets during the middle of the six-month period ended September 30, 2013, volatility in the U.S. Treasury curve throughout the late Spring and early Summer forced many investors to focus on how to adjust their credit positions to a changed rate view which positively impacted investments in the bank loan sector. In addition, high equity valuations continue to, for the most part, constrain leveraged buyout (LBO) activity. Given the positive fundamental and technical backdrop investors remained comfortable taking credit risk throughout the period. The impact on the financing cycle of the excess liquidity provided by Central Bankers has led market participants to expect that the next default cycle will be both delayed and subdued. Demand for leveraged loans continued to remain strong through September 30, 2013 despite the U.S. government shutdown and possible breach of the U.S. debt ceiling in the early fourth quarter.
· Global Equities
Global equity markets, as measured by the Morgan Stanley Capital International All Country World Index (MSCI ACWI), performed well in the six-month period ending September 30, 2013, after markets rebounded from a volatile period in May and June, caused by
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| | Semi-Annual Report | | September 30, 2013 | | 7 |
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| Financial Markets Highlights (Cont.) | | |
worries that the Federal Reserve would “taper” its monthly asset purchases. The MSCI ACWI returned 6.11% for the period. European equities experienced positive returns over the six-month period with the Deutsche Borse AG German Stock Index (DAX), Cotation Assistée en Continu (CAC), and the Financial Times Stock Exchange (FTSE) up 10.25%, 11.04%, and 0.79%, respectively. The eurozone Manufacturing Purchasing Managers Index (PMI) Markit Survey showed that the region had entered an expansion for the first time since the summer of 2011. U.S. equity markets generated decent returns over the six-month period despite the increased volatility in fixed income markets and moderate softening in labor market data; however, performance varied significantly amongst the three major U.S. equity indices: the S&P 500 ® Index returned 7.16%, the NASDAQ Composite Index returned 15.42%, and the Dow Jones Industrial Average Index returned 3.78%. Japanese equity markets generated very strong returns over the six-month period as the Bank of Japan remains committed to ending Japan’s prolonged period of deflation and the Japanese Prime Minister, Shinzo Abe, stands ready to implement his “Third Arrow” to rejuvenate the economy. Japan’s Nikkei 225 Index was up 16.60% in the six-month period ending September 30, 2013. Emerging markets, as measured by the MSCI Emerging Market Index, underperformed Developed Markets over the period with the index down 4.58%. Emerging Market equities were hit hard as foreign investors pulled capital out of countries with current account deficits as U.S. interest rates rose, causing an unwind of the “carry-trade.” The sell-off in Emerging Market equities stabilized in the third quarter as improvements in Chinese economic data, rising commodities prices, and lower interest rate volatility reduced capital flight risk from foreign investors. Going forward, global equity markets will focus on the timing and pace of the Federal Reserve’s eventual “tapering” of its monthly asset purchase program, the eurozone’s emergence out of recession, Japan’s effort to revamp its economy, and the capital flight risk in Emerging Markets.
· Commodities
As measured by the Standard & Poor’s Goldman Sachs Commodity Index (GSCI) Excess Return, the broad-based commodities market posted a 1.5% loss for the six-month period ending September 30, 2013. Performance was largely negative with only 6 of 24 commodities posting a positive return for the period. Cocoa was the best performer returning over 19.3% on decreasing stockpiles due to drought in West African producing regions and simultaneously increasing demand for chocolate products. Livestock and energy were the two positive sectors in the complex. Livestock gained 4.7% return from decreased pork production as a consequence of porcine virus while the energy sector eked out a small 0.63% return on increased fears of geopolitical conflict. Precious metals were the worst performing sector taking an 18.0% loss on decreased inflationary fears as common inflation barometers printed values near their all-time lows.
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| Management Discussion of Fund Performance | | |
Management Discussion of Fund Performance:
DoubleLine Total Return Bond Fund
The semi-annual period ending September 30, 2013 saw interest rates rise for longer-term securities as the 10-year U.S. Treasury rate rose by 76 bps. For this period the DoubleLine Total Return Bond Fund outperformed the Barclays U.S. Aggregate Bond Index. The portfolio continued to have a barbell construct, with the two ends of the barbell being a Government/Agency MBS end and a Non-Agency MBS end. As of September 30, 2013 the weightings in the portfolio of these two sectors were as follows: Government/Agency MBS of 50% and Non-Agency MBS of 38%.
The total return of the Government/Agency MBS sleeve in the portfolio was roughly -2% for the period. Included in this number is a price component of return which detracted almost 3.5%. This was due to the rise in interest rates. This Government/Agency MBS sleeve is mostly comprised of Agency passthroughs (31%) and Agency fixed rate Collateralized Mortgage Obligations (CMOs) (16%). The Agency passthrough sector returned roughly -1.5%, which outperformed the Agency CMO return that was down by over 3%. The outperformance of Agency passthroughs over the period was largely attributable to the longer duration of the CMOs relative to the passthroughs. There was also some widening of CMO product relative to passthroughs during the quarter.
The total return of the Non-Agency MBS sleeve was nearly 2%. The Non-Agencies outperformed the Agency sleeve as the Non-Agency sleeve has a much shorter effective duration. The price component of return for the Non-Agency sleeve was down roughly 80 bps. The slight decrease in prices was due to a rise in rates in addition to spread products widening slightly over the six-month period. Non-Agencies have outperformed other credit sensitive assets over the same period. The sector’s spread widening was much less than other fixed income sectors, which have been under pressure due to redemptions out of bond funds which in turn has caused bond managers to sell some credit sensitive assets. Holders of Non-Agency mortgages are less willing to sell these securities as there is a limited supply and it could be hard to buy back paper in the future should conditions change. We expect the valuations of these securities to be dependent on housing economics as investors try to determine what kind of losses will have to be realized. Housing valuations appreciated 10-15% during the six-month period. This has led to lower delinquency, lower default rates and, for those loans that do default, lower loss severities. During the reporting period, lower credit quality Non-Agencies have performed better than higher credit quality Non-Agencies. This is attributable to the shorter duration of lower credit quality mortgages which benefited from the rate rise. Improving housing statistics may also help lower credit quality mortgages, which have tended to be more levered to a housing recovery.
At the end of the period, the Fund’s duration continued to be shorter than that of the Barclays U.S. Aggregate Bond Index. As of September 30, 2013 the Fund’s duration was close to 4 years which was substantially shorter than the Barclays U.S. Aggregate Bond Index duration of 5.5 years. The average dollar price of all the securities in the Fund was around $96 and the cash position in the portfolio was around 6%. This cash position is smaller than the 13-15% cash weighting that existed in March as cash was used to meet redemptions that occurred over the six-month period.
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| Period Ended 9-30-13 | | | | 6-Months (Not Annualized) | |
I-Share | | | | | -0.96% | |
N-Share | | | | | -1.09% | |
Barclays U.S. Aggregate Bond Index | | | | | -1.77% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Core Fixed Income Fund
The DoubleLine Core Fixed Income Fund underperformed the Barclays U.S. Aggregate Bond Index over the past six months. The portfolio return was negatively affected by heightened volatility in many sectors of the fixed income market over the latter half of the period. In general, longer duration assets hindered Fund performance as interest rates rose (the 10-year U.S. Treasury rate rose 76 bps during the six-month period); however, some credit assets performed well over the period.
Emerging market debt was the worst performing sector due to the relatively longer duration of these assets versus other sectors of the Fund and detracted close to 5% from the Fund’s total return. Residential mortgages, which continued to be the largest sector of the Fund at just over 30% of the portfolio, underperformed the Barclays U.S. MBS Index’s return of -0.96% as the Government/Agency portion also put a drag on returns. In particular, the Agency fixed-rate CMOs experienced price declines close to -9.5% which were only partially offset by relatively strong income streams. The decline in prices within the Agency CMO sector is mostly attributable to its longer duration.
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| | Semi-Annual Report | | September 30, 2013 | | 9 |
Management Discussion of Fund Performance (Cont.)
Conversely, Non-Agency Residential Mortgage-Backed Securities (RMBS), which represent close to 14% of the Fund’s portfolio, outperformed the Agency sleeve as the sector has a much shorter duration. The price component of return for the Non-Agency sleeve was down close to 2% over the past six months, but was more than offset by close to 3% gains in coupon returns. The slight decrease in prices was due to a rise in interest rates in addition to spread products widening. Non-Agencies have outperformed other credit sensitive assets over the same period. The sector’s spread widening was much less than other fixed income sectors which have been under pressure due to redemptions, which has caused bond managers to sell some credit sensitive assets. Holders of Non-Agency RMBS are less willing to sell these securities as there is a limited supply and it could be hard to buy back paper in the future should conditions change. We expect the valuations of these securities to be dependent on housing economics as investors try to determine what kind of losses may have to be realized. Housing valuations have appreciated 10-15% during the six-month period. This has led to lower delinquency, lower default rates and, for those loans that do default, lower loss severities. During the reporting period, lower credit quality Non-Agencies have performed better than higher credit quality Non-Agencies. This is attributable to the shorter, and often negative, duration of lower credit quality mortgages which benefited from the rate rise. Improving housing statistics should also help the lower credit quality mortgage bonds as those securities are more levered to a housing recovery. Collateralized loan obligations (CLOs) also helped to offset some of the negative returns seen in other sectors, as the securities returned over 1% to the Fund. Similar to Non-Agency RMBS, CLOs remained largely insulated to the volatility seen in other credit assets over the quarter.
At the end of the period, the Fund’s duration continued to be shorter than that of the Barclays U.S. Aggregate Bond Index duration of 5.5 years. The average dollar price of the securities at the end of the period is roughly par and the cash position was just over 2% of the portfolio.
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| Period Ended 9-30-13 | | | | 6-Months (Not Annualized) | |
I-Share | | | | | -2.32% | |
N-Share | | | | | -2.36% | |
Barclays U.S. Aggregate Bond Index | | | | | -1.77% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Emerging Markets Fixed Income Fund
Over the six-month period ending September 30, 2013, the DoubleLine Emerging Markets Fixed Income Fund underperformed the JP Morgan Emerging Markets Bond (EMBI) Global Diversified Index by 76 bps. In part, underperformance in the Fund was led by an overweight exposure to Latin America (Latam) corporate credits, which underperformed relative to the EMBI. Additionally, the Fund has avoided certain high beta sovereign credits in the index such as Egypt, Argentina, and Pakistan, which posted double digits returns over the period. The Fund was less sensitive to volatility in U.S. Treasury rates due to its shorter duration relative to the EMBI Global Diversified Index. Ten-year U.S. Treasury yields ended September at 2.61% from 1.85% as of March month end. Performance also benefited from an overweight position in corporate securities in Asia, which outperformed Asian sovereign credits in the EMBI Global Diversified Index.
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| Period Ended 9-30-13 | | | | 6-Months (Not Annualized) | |
I-Share | | | | | -5.28% | |
N-Share | | | | | -5.41% | |
JP Morgan Emerging Markets Bond Global Diversified Index | | | | | -4.52% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Multi-Asset Growth Fund
The DoubleLine Multi-Asset Growth Fund underperformed its benchmark for the six-month period ending September 30, 2013. The Fund’s equity position, including both International and U.S. Equities, was the strongest performer during this period. While real assets fared less than desirable, they were a much smaller portion of the portfolio compared with the Fund’s historical allocation to real assets. Performance
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related to fixed income products was essentially flat during a period of heightened volatility within this sector. Relative to the Barclays Aggregate U.S. Bond Index, however, the Fund’s fixed income allocation was a strong outperformer.
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| Period Ended 9-30-13 | | | | 6-Months (Not Annualized) | |
I-Share | | | | | 0.19% | |
A-Share | | | | | | |
No Load | | | | | 0.06% | |
With Load | | | | | -4.20% | |
S&P 500® Index | | | | | 8.31% | |
Blended Benchmark* | | | | | 0.62% | |
| * | Blended Benchmark: 60% Barclays U.S. Aggregate Bond Index/25% Morgan Stanley Capital International All Country World Index/15% Standard & Poor’s Goldman Sachs Commodity Index (GSCI) Total Return |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Low Duration Bond Fund
The DoubleLine Low Duration Bond Fund outperformed the Bank of America (BofA)/Merrill Lynch 1-3 Year U.S. Treasury Index during the six-month period ended September 30, 2013. The Fund continues to be diversified across asset classes with allocations to U.S. Government securities, residential mortgage-backed securities (RMBS), investment grade corporate debt, emerging markets, collateralized loan obligations (CLO) and commercial mortgage-backed securities (CMBS). In general, the portfolio benefited from its low duration over the period as interest rates rose. The 10-year U.S. Treasury yield rose 76 bps over the six-month period and many fixed income markets were affected by heightened volatility particularly in the last quarter.
The RMBS sector, which is slightly less than 30% of the Fund’s portfolio and had a duration less than 1 year at the end of September, was the best performing sector during the period as Non-Agency RMBS contributed close to 2% of the portfolio’s total return. Higher credit quality RMBS experienced slight price declines, but this was more than offset by the rest of the Non-Agency sector. The slight decrease in prices was due to a rise in rates in addition to spread products widening. Non-Agencies have outperformed other credit sensitive assets over the same period. The sector’s spread widening was much less than other fixed income sectors, which have been under pressure due to redemptions out of bond funds which in turn caused bond managers to sell some credit sensitive assets. Holders of Non-Agency RMBS are less willing to sell these securities as there is a limited supply and it could be hard to buy back paper in the future should conditions change. We expect the valuations of these securities to be dependent on housing economics as investors try to determine what kind of losses may have to be realized. Housing valuations have appreciated 10-15% during the six-month period. This has led to lower delinquency, lower default rates and, for those loans that do default, lower loss severities. During the reporting period, lower credit quality Non-Agencies have performed better than higher credit quality Non-Agencies. This is attributable to the shorter, and often negative, duration of lower credit quality mortgages which benefited from the rate rise. Improving housing statistics may also help lower credit quality mortgages, which have tended to be more levered to a housing recovery. CLOs was the next best performing sector, as the securities returned just under 1% to the Fund. Similar to Non-Agency RMBS, CLOs remained largely insulated to the volatility seen in other credit assets over the six-month period. At the end of the period, the Fund’s CLOs were almost all AAA-rated tranches, as measured by Standard & Poors, with close to zero duration and weighted average lives close to 2 years.
As of September 30, 2013, the overall fund duration remained low at just over 1 year with a weighted average life of just under 2 years for the assets. Credit exposure remained minimal: at the end of the reporting period, over 90% of the Fund’s assets were in cash, government securities, or had an investment grade credit rating.
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| Period Ended 9-30-13 | | | | 6-Months (Not Annualized) | |
I-Share | | | | | 0.38% | |
N-Share | | | | | 0.26% | |
BofA/Merrill Lynch 1-3 Year U.S. Treasury Index | | | | | 0.18% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 11 |
Management Discussion of Fund Performance (Cont.)
DoubleLine Floating Rate Fund
The Fund’s underperformance during the period can be attributed to various factors, one of which included holding a sizable weighting in cash as the Fund became more fully invested following the Fund’s inception date of February 1, 2013.
The Fund’s underperformance during the period also can be attributed to the Fund’s higher than Index weighting in BB-rated credits, which adversely impacted performance. Year-to-date as of September 2013, single-B rated loans have outperformed BB-rated loans by 1.36%. Default rates during the period remained below historical levels. According to Moody’s, the U.S. leveraged loan default rate ended the third quarter of 2013 at 2.5%, up from 2.3% at the end of the second quarter of 2013 yet below the default rate of 2.8% recorded at the end of the third quarter of 2012. Flows into loan funds have been strong throughout 2013. According to Lipper, at the end of the third quarter of 2013 leveraged loan funds had enjoyed positive inflows for 67 consecutive weeks with 2013 inflows totaling $52.9 billion during the first three quarters of the year.
| | | | | | |
| Period Ended 9-30-13 | | | | 6-Months (Not Annualized) | |
I-Share | | | | | 1.01% | |
N-Share | | | | | 1.10% | |
S&P LSTA Leveraged Loan Index | | | | | 1.39% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
Past performance is not a guarantee of future results.
Opinions expressed herein are as of September 30, 2013 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 Schedules 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.
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower rated and non-rated securities present a great risk of loss to principal and interest than higher rated securities.
The Funds may invest in Asset-Backed and Mortgage-Backed securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments.
The Multi-Asset Growth Fund is non-diversified meaning it may concentrate its assets in fewer individual holdings than a diversified fund. Therefore, the Fund is more exposed to individual stock volatility than a diversified fund.
The Emerging Markets Fixed Income Fund, the Core Fixed Income Fund, the Multi-Asset Growth Fund, the Low Duration Bond Fund and the Floating Rate Fund may also 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 Total Return Bond Fund, the Core Fixed Income Fund, the Multi-Asset Growth Fund, and the Low Duration Bond Fund may invest in securities related to real estate, which may decline in value as a result of factors affecting the real estate industry.
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. Investing in derivatives could lose more than the amount invested.
The Multi-Asset Growth Fund may experience equity risk. Equities may decline in value due to both real and perceived general market, economic, and industry conditions.
The Funds may use certain types of exchange traded funds or investment derivatives. Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. 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. Investing in derivatives could lose more than the amount invested. ETF investments involve additional risks such as the market price trading at a discount to its net asset value, an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.
Diversification does not assure a profit or protect against loss in a declining market.
Credit ratings from Moody’s range from the highest rating of Aaa for bonds judged to be of the highest quality, subject to the lowest level of credit risk to the lowest rating of C, typically, for obligations that are in default, with little prospect for recovery of principal or interest. Credit ratings from Standard & Poor’s (S&P) range from the highest rating of AAA for bonds of the highest quality that offer the lowest degree of investment risk to the lowest rating of D for bonds that are in default.
| | | | | | |
| 12 | | DoubleLine Funds Trust | | | | |
ABX Index—This index consists of the 20 most liquid credit default swaps (CDS) on U.S. home equity asset-backed securities (ABS) and is used to hedge asset-backed exposure or to take a position in the subprime mortgage asset class. The ABX Index has four series (06-1, 06-2, 07-1 and 07-2) with five tranches per series. The ABX 07-1 AAA Index references underlying collateral of that 2007 vintage and AAA credit quality type, just as the ABX 06-2 AAA Index references underlying collateral of the 2006 vintage and AAA credit quality type.
Barclays U.S. Aggregate Bond Index—This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. 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.
Barclays U.S. Credit Index—This index comprises the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. The US Credit Index was called the US Corporate Investment Grade Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers.
Barclays U.S. MBS Index—This index covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
Basis Point—A basis point is a unit that is equal to 1/100th of 1%.
Bank of America (BofA)/Merrill Lynch 1-3 Year U.S. 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.
Beta—Beta is a measure of the volatility, or systemic risk, of a security or a portfolio in comparison to the market as a whole.
CAC—CAC refers to the CAC 40 Index which is a French stock market index. It tracks 40 of the largest French stocks on the Paris Bourse, or stock exchange. CAC stands for the Cotation Assistée en Continu.
DAX—DAX is the Deutsche Borse AG German Stock Index, or the German stock index, which represents 30 of the largest and most liquid German companies that trade on the Frankfurt Exchange.
Developed Markets—The Developed Markets, as defined by JP Morgan, are Australia, Canada, France, Germany, Italy, Japan, New Zealand, Norway, Sweden, Switzerland, the United Kingdom, and the United States.
Dow Jones Industrial Average (DJIA)—Introduced in May 1896, the Dow Jones Industrial Average is a price-weighted measure of 30 U.S. blue-chip companies. The index covers all industries with the exception of transportation and utilities. While stock selection is not governed by quantitative rules, a stock typically is added to the index only if the company has an excellent reputation, demonstrates sustained growth and is of interest to a large number of investors.
Duration—A measure of the sensitivity of a price of a fixed income investment to a change in interest rates, expressed as a number of years. Securities with longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.
Freddie Mac (FHLMC) Commitment Rate—The commitment rate is the interest rate a lender would charge to lend mortgage money to a qualified borrower exclusive of the fees and points required by the lender. This commitment rate applies only to conventional financing on conforming mortgages with loan-to-value (LTV) rates of 80% or less, according to Freddie Mac.
FTSE—FTSE is the Financial Times Stock Exchange, which is similar to Standard & Poor’s in the U.S., and specializes in index calculation. They are best known for the FTSE 100 Index which includes blue-chip stocks on the London Stock Exchange.
Home Price Appreciation (HPA)—HPA is an increase in the value of a property’s price over time, which can occur for various reasons including increased demand, weakening supply or changes in inflation or interest rates.
Housing Affordability Index—This index is produced by the National Association of Realtors (NAR) and measures whether or not a typical family could qualify for a mortgage loan on a typical home. A typical home for the purposes of this methodology is defined as the national median-priced, existing single-family home as calculated by the NAR. A typical family for the purposes of this methodology is defined as one earning the median family income as reported by the U.S. Bureau of the Census.
JP Morgan Corporate Emerging Markets Bond Broad Diversified Index (CEMBI)—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 (EMBI) Global Diversified Index—This Index is a uniquely-weighted version of the EMBI Global which includes U.S. dollar-denominated Brady bonds, Eurobonds and traded loans issued by sovereign and quasi-sovereign entities. It limits the weights of those index countries with larger debt stocks by only including specified portions of these countries’ eligible current face amounts of debt outstanding.
Morgan Stanley Capital International All Country World Index (MSCI ACWI)—The MSCI All Country World Index is a market-capitalization-weighted index designed to provide a broad measure of stock performance throughout the world, including both developed and emerging markets.
Morgan Stanley Capital International Emerging Market Index (MSCI EM)—The MSCI Emerging Market Index is designed to measure equity market performance in global emerging markets.
NASDAQ—The NASDAQ, or National Association of Securities Dealers Automated Quotation, is an electronic trading system that provides price quotations to market participants on the more actively traded common stock issues; approximately 4,000 common stock issues are included in the system.
NASDAQ Composite Index—This index measures all NASDAQ domestic and international based common type stocks listed on The NASDAQ Stock Market. The Index includes over 3,000 securities, more than most other stock market indices. The NASDAQ Composite Index is calculated under a market capitalization weighted methodology index.
Nikkei—The Nikkei is short for Japan’s Nikkei 225 Stock Average, which is the leading index of Japanese stocks. This index is price-weighted and comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange. The Nikkei is equivalent to the Dow Jones Industrial Average Index in the U.S.
Purchasing Managers Index (PMI)—This is an indicator for economic activity, more specifically of the economic health of the manufacturing sector. This index is based on five major indicators including new orders, inventory levels, supplier deliveries, production and employment environment. Nationally, this data is collected by the Institute of Supply Management (ISM), but for China it is produced by HSBC and is called the Purchasing Manufacturing Index, though it measures the same thing for that country.
S&P 500® Index—This Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
S&P/Case-Shiller 20-City Composite Home Price Index—This index measures the value of residential real estate in 20 metropolitan areas of the U.S. It is included in the S&P/Case-Shiller Home Price Index Series which seeks to measure changes in the total value of all existing single-family housing stock.
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 13 |
Management Discussion of Fund Performance (Cont.)
Standard & Poor’s Goldman Sachs Commodity Index (GSCI)—Standard & Poor’s Goldman Sachs Commodity Index, or GSCI, is a composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures. The 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 GSCI Excess Return index is one of the three S&P GSCI Indices published, measuring the return accrued from investing in uncollateralized nearby commodity futures. The Excess Return Index includes an Energy component, which was referenced in this commentary. The GSCI Total Return index measures a fully collateralized commodity futures investment that is rolled forward from the fifth to the ninth business day of each month. Currently the S&P GSCI includes 24 commodity nearby futures contracts.
S&P LSTA Leveraged Loan Index—Created by the Leveraged Commentary & Data (LCD) team at S&P Capital IQ, the review provides an overview and outlook of the leveraged loan market as well as an expansive review of the S&P Leveraged Loan Index and sub-indexes. The review consists of index general characteristics, results, risk-return profile, default/distress statistics, and repayment analysis.
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.
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 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 presented within 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.
| | | | | | |
| 14 | | DoubleLine Funds Trust | | | | |
DoubleLine Funds’ Standardized Performance Summary
As of September 30, 2013
| | | | | | | | | | | | | | | | | | | | | | | | |
| DBLTX/DLTNX | | | | | | | | | | | | | | | | | | | |
Total Return Bond Fund
Quarterly Returns -As of September 30, 2013 | |
| Sept
2013 |
| | | 3Q2013 | | |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 9-30-13) |
| | Gross
Expense Ratio |
I-share (DBLTX) | | | 1.18% | | | | 0.64% | | | | 1.09% | | | | 6.79% | | | | 10.08% | | | 0.48% |
N-share (DLTNX) | | | 1.16% | | | | 0.58% | | | | 0.84% | | | | 6.51% | | | | 9.80% | | | 0.73% |
Barclays U.S. Aggregate Index | | | 0.95% | | | | 0.57% | | | | -1.68% | | | | 2.86% | | | | 4.36% | | | | | |
Total Return Bond Fund
Monthly Returns - As of September 30, 2013 | |
| Sept
2013 |
| |
| Last
3-months |
| |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 9-30-13) |
| | | | |
I-share (DBLTX) | | | 1.18% | | | | 0.64% | | | | 1.09% | | | | 6.79% | | | | 10.08% | | | | | |
N-share (DLTNX) | | | 1.16% | | | | 0.58% | | | | 0.84% | | | | 6.51% | | | | 9.80% | | | | | |
Barclays U.S. Aggregate Index | | | 0.95% | | | | 0.57% | | | | -1.68% | | | | 2.86% | | | | 4.36% | | | | | |
| DBLEX/DLENX | | | | | | | | | | | | | | | | | | | |
Emerging Markets Fixed Income Fund
Quarterly Returns - As of September 30, 2013 | |
| Sept
2013 |
| | | 3Q2013 | | |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 9-30-13) |
| | Gross
Expense Ratio |
I-share (DBLEX) | | | 2.11% | | | | -0.47% | | | | -2.99% | | | | 4.88% | | | | 6.16% | | | 0.92% |
N-share (DLENX) | | | 2.09% | | | | -0.53% | | | | -3.23% | | | | 4.63% | | | | 5.91% | | | 1.17% |
JP Morgan Emerging Markets Bond Global Diversified Index | | | 2.61% | | | | 1.19% | | | | -4.06% | | | | 4.95% | | | | 6.95% | | | | | |
Emerging Markets Fixed Income Fund
Monthly Returns - As of September 30, 2013 | |
| Sept
2013 |
| |
| Last
3-months |
| |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 9-30-13) |
| | | | |
I-share (DBLEX) | | | 2.11% | | | | -0.47% | | | | -2.99% | | | | 4.88% | | | | 6.16% | | | | | |
N-share (DLENX) | | | 2.09% | | | | -0.53% | | | | -3.23% | | | | 4.63% | | | | 5.91% | | | | | |
JP Morgan Emerging Markets Bond Global Diversified Index | | | 2.61% | | | | 1.19% | | | | -4.06% | | | | 4.95% | | | | 6.95% | | | | | |
| DBLFX/DLFNX | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
Quarterly Returns - As of September 30, 2013 | |
| Sept
2013 |
| | | 3Q2013 | | |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(6-1-10 to 9-30-13) |
| | Gross
Expense Ratio |
I-share (DBLFX) | | | 0.95% | | | | 0.03% | | | | -1.01% | | | | 5.87% | | | | 7.48% | | | 0.51% |
N-share (DLFNX) | | | 1.02% | | | | 0.06% | | | | -1.18% | | | | 5.63% | | | | 7.23% | | | 0.76% |
Barclays U.S. Aggregate Index | | | 0.95% | | | | 0.57% | | | | -1.68% | | | | 2.86% | | | | 3.80% | | | | | |
Core Fixed Income Fund
Monthly Returns - As of September 30, 2013 | |
| Sept
2013 |
| |
| Last
3-months |
| |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(6-1-10 to 9-30-13) |
| | | | |
I-share (DBLFX) | | | 0.95% | | | | 0.03% | | | | -1.01% | | | | 5.87% | | | | 7.48% | | | | | |
N-share (DLFNX) | | | 1.02% | | | | 0.06% | | | | -1.18% | | | | 5.63% | | | | 7.23% | | | | | |
Barclays U.S. Aggregate Index | | | 0.95% | | | | 0.57% | | | | -1.68% | | | | 2.86% | | | | 3.80% | | | | | |
| DMLIX/DMLAX | | | | | | | | | | | | | | | | | | | |
Multi-Asset Growth Fund
Quarterly Returns - As of September 30, 2013 | |
| Sept
2013 |
| | | 3Q2013 | | |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(12-20-10 to 9-30-13) |
| | Gross Expense Ratio | | Net Expense Ratio* |
I-share (DMLIX) | | | 1.44% | | | | 0.93% | | | | -0.16% | | | | — | | | | 2.37% | | | 1.82% | | 1.57% |
A-share (DLMAX) | | | | | | | | | | | | | | | | | | | | | | 2.07% | | 1.82% |
A-share (No Load) | | | 1.38% | | | | 0.86% | | | | -0.50% | | | | — | | | | 2.10% | | | | | |
A-share (With Load) | | | -2.93% | | | | -3.42% | | | | -4.73% | | | | — | | | | 0.52% | | | | | |
Multi-Asset Growth Fund
Monthly Returns - As of September 30, 2013 | |
| Sept
2013 |
| |
| Last
3-months |
| |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(12-20-10 to 9-30-13) |
| | | | |
I-share (DMLIX) | | | 1.44% | | | | 0.93% | | | | -0.16% | | | | — | | | | 2.37% | | | | | |
A-share (DLMAX) | | | | | | | | | | | | | | | | | | | | | | | | |
A-share (No Load) | | | 1.38% | | | | 0.86% | | | | -0.50% | | | | — | | | | 2.10% | | | | | |
A-share (With Load) | | | -2.93% | | | | -3.42% | | | | -4.73% | | | | — | | | | 0.52% | | | | | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 15 |
DoubleLine Funds’ Standardized Performance Summary (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | |
| DBLSX/DLSNX | | | | | | | | | | | | | | | | | | | |
Low Duration Bond Fund
Quarterly Returns - As of September 30, 2013 | |
| Sept
2013 |
| | | 3Q2013 | | |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(9-30-11 to 9-
30-13) |
| | Gross Expense Ratio | | Net Expense Ratio* |
I-share (DBLSX) | | | 0.39% | | | | 0.68% | | | | 1.42% | | | | — | | | | 2.86% | | | 0.54% | | 0.48% |
N-share (DLSNX) | | | 0.37% | | | | 0.53% | | | | 1.18% | | | | — | | | | 2.58% | | | 0.79% | | 0.73% |
BofA/Merrill Lynch 1-3 Year Treasury | | | 0.23% | | | | 0.29% | | | | 0.37% | | | | — | | | | 0.46% | | | | | |
Low Duration Bond Fund
Monthly Returns - As of September 30, 2013 | |
| Sept
2013 |
| |
| Last
3-months |
| |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(9-30-11 to 9-
30-13) |
| | | | |
I-share (DBLSX) | | | 0.39% | | | | 0.68% | | | | 1.42% | | | | — | | | | 2.86% | | | | | |
N-share (DLSNX) | | | 0.37% | | | | 0.53% | | | | 1.18% | | | | — | | | | 2.58% | | | | | |
BofA/Merrill Lynch 1-3 Year Treasury | | | 0.23% | | | | 0.29% | | | | 0.37% | | | | — | | | | 0.46% | | | | | |
| DBFRX/DLFRX | | | | | | | | | | | | | | | | | | | |
Floating Rate Fund
Quarterly Returns - As of September 30, 2013 | |
| Sept
2013 |
| | | 3Q2013 | | |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
| Since Inception
(2-1-13 to 9-
30-13) |
| | Gross Expense Ratio | | Net Expense Ratio* |
I-share (DBFRX) | | | 0.09% | | | | 0.92% | | | | — | | | | — | | | | 1.81% | | | 2.18% | | 0.92% |
N-share (DLFRX) | | | 0.07% | | | | 0.88% | | | | — | | | | — | | | | 1.91% | | | 2.43% | | 1.17% |
S&P LSTA Leveraged Loan Index | | | 0.24% | | | | 1.20% | | | | — | | | | — | | | | 2.47% | | | | | |
Floating Rate Fund
Monthly Returns - As of September 30 2013 | |
| Sept
2013 |
| |
| Last
3-months |
| |
| 1 Year
Annualized |
| |
| 3 Year
Annualized |
| |
|
Since Inception
(2-1-13 to 9-
30-13) |
| | | | |
I-share (DBFRX) | | | 0.09% | | | | 0.92% | | | | — | | | | — | | | | 1.81% | | | | | |
N-share (DLFRX) | | | 0.07% | | | | 0.88% | | | | — | | | | — | | | | 1.91% | | | | | |
S&P LSTA Leveraged Loan Index | | | 0.24% | | | | 1.20% | | | | — | | | | — | | | | 2.47% | | | | | |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling (213) 633-8200 or by visiting www.doublelinefunds.com.
Performance data shown for the Multi-Asset Growth Fund reflects the Class A maximum sales charge of 4.25%. The Multi-Asset growth Fund imposes a Deferred Sales Charge of 0.75% on purchases of $1 million or more of Class A shares if redeemed within 18 months of purchase. The Multi-Asset Growth and Floating Rate Fund impose a 1.00% Redemption Fee on all share classes if shares are sold within 90 days of purchase. Performance data does not reflect the deferred sales charge or the redemption fee. If it had, returns would have been reduced.
The funds’ investment objectives, risks, charges and expenses must be considered carefully before investing. The statutory and summary prospectuses contain this and other important information about the Funds and may be obtained by calling 1 (877) 354-6311/1 (877) DLINE11, or visitingwww.doublelinefunds.com. Read carefully before investing.
*The Adviser has contractually agreed to waive fees and reimburse expenses through July 31, 2014.
The performance information shown assumes the reinvestment of all dividends and distributions.
While the Fund is no-load, management fees and other expenses still apply.
Barclays Capital U.S. Aggregate 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.
JP Morgan Emerging Markets Bond Global Diversified Index is a uniquely-weighted version of the EMBI Global. It limits the weights of those index countries with larger debt stocks by only including specified portions of these countries’ eligible current face amounts of debt outstanding.
The BofA/Merrill Lynch 1-3 Year 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 years and less than three years.
S&P/LSTA Leveraged Loan Index is a weekly total return index that tracks the current outstanding balance and spread over LIBOR for fully funded term loans.
You cannot invest directly in an index.
Mutual Fund Investing involves risk. Principal loss is possible.
The DoubleLine Funds are distributed by Quasar Distributors, LLC.
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| 16 | | DoubleLine Funds Trust | | | | |
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| Schedule of Investments DoubleLine Total Return Bond Fund | | (Unaudited) September 30, 2013 |
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PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 3.1% | |
| |
| | | | ALM Loan Funding, | |
| $ | 3,750,000 | | | Series 2012-6A-C | | | 5.00% | #^ | | | 06/14/2023 | | | | 3,767,899 | |
| | 25,000,000 | | | Series 2012-7A-A1 | | | 1.69% | #^ | | | 10/19/2024 | | | | 24,984,018 | |
| | 17,000,000 | | | Series 2012-7A-A2 | | | 2.57% | #^ | | | 10/19/2024 | | | | 17,069,791 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 20,000,000 | | | Series 2013-1A-A1 | | | 1.47% | #^ | | | 07/13/2025 | | | | 19,883,125 | |
| |
| | | | ARES Ltd., | |
| | 170,325 | | | Series 2006-5RA-A2 | | | 0.51% | #^ | | | 02/24/2018 | | | | 170,308 | |
| | 12,433,980 | | | Series 2006-6RA-A2 | | | 0.54% | # | | | 03/12/2018 | | | | 12,279,714 | |
| | 96,882,280 | | | Series 2011-16A-AR | | | 1.24% | #^ | | | 05/17/2021 | | | | 96,380,376 | |
| | 25,000,000 | | | Series 2013-1A-B | | | 2.04% | #^ | | | 04/15/2025 | | | | 24,838,394 | |
| | 6,500,000 | | | Series 2013-1A-D | | | 4.04% | #^ | | | 04/15/2025 | | | | 6,226,986 | |
| |
| | | | Atrium Corporation, | |
| | 461,756 | | | Series 3A-A1 | | | 0.59% | #^ | | | 10/27/2016 | | | | 461,699 | |
| |
| | | | Black Diamond Ltd., | |
| | 3,222,505 | | | Series 2005-1A-A1 | | | 0.52% | #^ | | | 06/20/2017 | | | | 3,216,893 | |
| |
| | | | BlueMountain Ltd., | |
| | 25,000,000 | | | Series 2012-2A-A1 | | | 1.68% | #^ | | | 11/20/2024 | | | | 24,990,975 | |
| | 19,000,000 | | | Series 2012-2A-B1 | | | 2.22% | #^ | | | 11/20/2024 | | | | 18,843,509 | |
| | 16,150,000 | | | Series 2012-2A-C | | | 3.01% | #^ | | | 11/20/2024 | | | | 15,761,190 | |
| |
| | | | BMI Trust, | |
| | 146,475,645 | | | Series 2013-1AR-A1R | | | 1.20% | #^ | | | 08/01/2021 | | | | 145,455,457 | |
| |
| | | | Brookside Mill Ltd., | |
| | 17,000,000 | | | Series 2013-1A-C1 | | | 2.92% | #^ | | | 04/17/2025 | | | | 16,598,043 | |
| |
| | | | Canyon Capital Ltd., | |
| | 9,500,000 | | | Series 2012-1A-B1 | | | 2.22% | #^ | | | 01/15/2024 | | | | 9,539,476 | |
| |
| | | | Cent Ltd., | |
| | 3,000,000 | | | Series 2005-10A-D | | | 2.00% | #^ | | | 12/15/2017 | | | | 2,871,713 | |
| |
| | | | Centurion Ltd., | |
| | 2,500,000 | | | Series 2005-8X-C | | | 2.26% | # | | | 03/08/2017 | | | | 2,420,783 | |
| |
| | | | Crown Point Ltd., | |
| | 10,500,000 | | | Series 2012-1A-A1LB | | | 1.76% | #^ | | | 11/21/2022 | | | | 10,463,930 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 1,150,175 | | | Series 2005-8A-A | | | 0.51% | #^ | | | 05/22/2017 | | | | 1,142,221 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 4,000,000 | | | Series 2012-24A-D | | | 5.01% | #^ | | | 11/15/2023 | | | | 4,019,914 | |
| | 10,000,000 | | | Series 2012-25A-B1 | | | 2.52% | #^ | | | 01/15/2025 | | | | 10,083,457 | |
| |
| | | | Fortress Credit Ltd., | |
| | 10,000,000 | | | Series 2013-1A-A | | | 1.45% | #^ | | | 01/19/2025 | | | | 9,894,947 | |
| | 10,000,000 | | | Series 2013-1A-B | | | 2.17% | #^ | | | 01/19/2025 | | | | 9,969,878 | |
| |
| | | | Galaxy Ltd., | |
| | 2,308,541 | | | Series 2005-5A-A1 | | | 0.53% | #^ | | | 10/20/2017 | | | | 2,310,664 | |
| | 13,000,000 | | | Series 2013-15A-B | | | 2.13% | #^ | | | 04/15/2025 | | | | 12,954,399 | |
| | 13,100,000 | | | Series 2013-15A-C | | | 2.88% | #^ | | | 04/15/2025 | | | | 12,574,164 | |
| | 6,125,000 | | | Series 2013-15A-D | | | 3.68% | #^ | | | 04/15/2025 | | | | 5,860,324 | |
| |
| | | | Gannett Peak Ltd., | |
| | 4,028,328 | | | Series 2006-1A-A1A | | | 0.51% | #^ | | | 10/27/2020 | | | | 3,990,313 | |
| |
| | | | GLG Ore Hill Ltd., | |
| | 37,000,000 | | | Series 2013-1A-A | | | 1.39% | #^ | | | 07/15/2025 | | | | 36,293,280 | |
| |
| | | | ICE Global Credit Ltd., | |
| | 30,000,000 | | | Series 2013-1A-A1 | | | 2.02% | #^ | | | 04/20/2024 | | | | 29,709,000 | |
| | 25,000,000 | | | Series 2013-1A-B2 | | | 2.82% | #^ | | | 04/20/2024 | | | | 24,460,000 | |
| | 9,000,000 | | | Series 2013-1A-X | | | 1.27% | #^ | | | 04/20/2015 | | | | 9,000,000 | |
| |
| | | | Kingsland Ltd., | |
| | 4,500,000 | | | Series 2005-1A-C1 | | | 2.05% | #^ | | | 06/13/2019 | | | | 4,338,224 | |
| | 500,000 | | | Series 2005-1A-C2 | | | 6.13% | ^ | | | 06/13/2019 | | | | 495,856 | |
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| | | | KKR Financial Corporation, | |
| | 5,714,960 | | | Series 2006-1A-A1 | | | 0.54% | #^ | | | 08/25/2018 | | | | 5,690,338 | |
| | 14,121,944 | | | Series 2007-AA-A | | | 1.02% | #^ | | | 10/15/2017 | | | | 14,049,990 | |
| |
| | | | KVK Ltd., | |
| | 20,000,000 | | | Series 2013-1A-A | | | 1.70% | #^ | | | 04/14/2025 | | | | 19,959,631 | |
| |
| | | | LCM LP, | |
| | 3,000,000 | | | Series 10X-A | | | 1.75% | # | | | 04/15/2022 | | | | 3,002,618 | |
| | 3,650,000 | | | Series 11A-D2 | | | 4.22% | #^ | | | 04/19/2022 | | | | 3,603,007 | |
| | 20,000,000 | | | Series 12A-A | | | 1.74% | #^ | | | 10/19/2022 | | | | 19,993,088 | |
| | 12,600,000 | | | Series 13A-C | | | 3.17% | #^ | | | 01/19/2023 | | | | 12,391,314 | |
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PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Marathon Ltd., | |
| $ | 17,000,000 | | | Series 2013-5A-A2A | | | 2.61% | #^ | | | 02/21/2025 | | | | 17,091,004 | |
| |
| | | | Marea Ltd., | |
| | 2,000,000 | | | Series 2012-1A-D | | | 4.82% | #^ | | | 10/16/2023 | | | | 2,010,703 | |
| |
| | | | Nomad Ltd., | |
| | 9,000,000 | | | Series 2013-1A-B | | | 3.22% | #^ | | | 01/15/2025 | | | | 8,867,095 | |
| | 3,500,000 | | | Series 2013-1A-C | | | 3.77% | #^ | | | 01/15/2025 | | | | 3,371,949 | |
| |
| | | | Northwoods Capital Corporation, | |
| | 30,000,000 | | | Series 2012-9A-A | | | 1.69% | #^ | | | 01/18/2024 | | | | 29,963,744 | |
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| | | | Oak Hill Credit Partners, | |
| | 25,000,000 | | | Series 2012-7A-A | | | 1.68% | #^ | | | 11/20/2023 | | | | 24,934,766 | |
| | 18,000,000 | | | Series 2012-7A-B1 | | | 2.51% | #^ | | | 11/20/2023 | | | | 18,027,199 | |
| |
| | | | OCP Ltd., | |
| | 35,000,000 | | | Series 2012-2A-A2 | | | 1.66% | #^ | | | 11/22/2023 | | | | 35,006,884 | |
| | 3,018,370 | | | Series 2012-2A-X2 | | | 1.74% | #^ | | | 11/22/2023 | | | | 3,022,796 | |
| | 10,000,000 | | | Series 2013-3A-B | | | 3.03% | #^ | | | 01/17/2025 | | | | 9,759,279 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 10,000,000 | | | Series 2011-1AR-DR | | | 3.32% | #^ | | | 04/20/2021 | | | | 9,872,581 | |
| |
| | | | Race Point Ltd., | |
| | 25,000,000 | | | Series 2012-7A-A | | | 1.69% | #^ | | | 11/08/2024 | | | | 24,933,604 | |
| | 24,000,000 | | | Series 2012-7A-B | | | 2.52% | #^ | | | 11/08/2024 | | | | 24,036,204 | |
| | 5,500,000 | | | Series 2013-8A-B | | | 2.16% | #^ | | | 02/20/2025 | | | | 5,527,575 | |
| |
| | | | Saturn Ltd., | |
| | 3,200,000 | | | Series 2007-1A-D | | | 4.26% | #^ | | | 05/13/2022 | | | | 2,946,450 | |
| |
| | | | Symphony Ltd., | |
| | 25,000,000 | | | Series 2013-11A-B1 | | | 2.47% | #^ | | | 01/17/2025 | | | | 25,051,970 | |
| | |
| | | | TCW Global Project Fund Ltd., | | | | | |
| | 1,230,173 | | | Series 2004-1A-REV | | | 0.92% | #^ | | | 06/15/2016 | | | | 1,224,022 | |
| | |
| | | | WhiteHorse Ltd., | | | | | |
| | 2,000,000 | | | Series 2006-1A-B1L | | | 2.12% | #^ | | | 05/01/2018 | | | | 1,951,419 | |
| | 50,000,000 | | | Series 2012-1A-A1L | | | 1.67% | #^ | | | 02/03/2025 | | | | 49,892,620 | |
| | 59,000,000 | | | Series 2012-1A-A | | | 1.67% | #^ | | | 01/15/2024 | | | | 58,871,583 | |
| | 17,000,000 | | | Series 2012-1A-B1 | | | 2.37% | #^ | | | 01/15/2024 | | | | 17,042,543 | |
| | 13,750,000 | | | Series 2012-1A-C1 | | | 3.32% | #^ | | | 01/15/2024 | | | | 13,584,171 | |
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| | | | Total Collateralized Loan Obligations
(Cost $1,100,039,049) | | | | 1,099,001,067 | |
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| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 6.4% | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 19,741,000 | | | Series 2006-4-AM | | | 5.68% | | | | 07/10/2046 | | | | 21,716,679 | |
| | 18,915,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 19,833,588 | |
| | 11,700,000 | | | Series 2007-2-AM | | | 5.63% | # | | | 04/10/2049 | | | | 12,894,184 | |
| | 52,650,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 56,512,299 | |
| | 305,854,338 | | | Series 2007-5-XW | | | 0.37% | #^ I/O | | | 02/10/2051 | | | | 3,070,472 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 10,036,209 | | | Series 2004-PWR3-A4 | | | 4.72% | | | | 02/11/2041 | | | | 10,088,719 | |
| | 9,184,397 | | | Series 2004-PWR4-A3 | | | 5.47% | # | | | 06/11/2041 | | | | 9,376,842 | |
| | 10,958,940 | | | Series 2004-T14-A4 | | | 5.20% | # | | | 01/12/2041 | | | | 11,057,028 | |
| | 12,500,000 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 13,034,787 | |
| | 19,225,000 | | | Series 2006-PW14-AM | | | 5.24% | | | | 12/11/2038 | | | | 20,968,236 | |
| | 28,771,000 | | | Series 2007-PW16-AM | | | 5.71% | # | | | 06/11/2040 | | | | 32,420,155 | |
| | 12,815,000 | | | Series 2007-PW17-AMFL | | | 0.84% | #^ | | | 06/11/2050 | | | | 12,325,589 | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| | 9,500,000 | | | Series 2013-BOCA-E | | | 3.93% | #^ | | | 08/15/2026 | | | | 9,522,824 | |
| |
| | | | Capital Trust, | |
| | 2,788,313 | | | Series 2005-3A-A2 | | | 5.16% | ^ | | | 06/25/2035 | | | | 2,816,196 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 4,065,357 | | | Series 2006-CD2-AAB | | | 5.51% | # | | | 01/15/2046 | | | | 4,126,486 | |
| | 37,500,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 39,759,694 | |
| | 3,220,957 | | | Series 2007-CD4-ASB | | | 5.28% | | | | 12/11/2049 | | | | 3,337,173 | |
| | 496,270,299 | | | Series 2007-CD5-XP | | | 0.31% | #^ I/O | | | 11/15/2044 | | | | 1,132,985 | |
| | 77,690,000 | | | Series 2007-CS4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 78,466,628 | |
| |
| | | | CGBAM Commercial Mortgage Trust, | |
| | 20,000,000 | | | Series 2013-BREH-E | | | 4.53% | #^ | | | 05/15/2030 | | | | 20,327,870 | |
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| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 17 |
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| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
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PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| $ | 14,503,000 | | | Series 2005-C3-AM | | | 4.83% | # | | | 05/15/2043 | | | | 15,231,602 | |
| | 3,414,131 | | | Series 2006-C4-ASB | | | 5.95% | # | | | 03/15/2049 | | | | 3,446,679 | |
| | 14,140,000 | | | Series 2007-C6-AM | | | 5.71% | # | | | 12/10/2049 | | | | 15,736,060 | |
| | 11,250,000 | | | Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 12,382,836 | |
| | 304,087,910 | | | Series 2012-GC8-XA | | | 2.24% | #^ I/O | | | 09/10/2045 | | | | 36,579,951 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 7,650,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 7,184,004 | |
| | 22,750,000 | | | Series 2007-C2-AMFX | | | 5.53% | # | | | 04/15/2047 | | | | 25,181,019 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 95,558,039 | | | Series 2002-LC4-XA | | | 2.50% | #^ I/O | | | 12/10/2044 | | | | 13,185,385 | |
| | 4,700,000 | | | Series 2006-C8-AM | | | 5.35% | | | | 12/10/2046 | | | | 5,160,783 | |
| | 73,744 | | | Series 2007-C9-A2 | | | 5.80% | # | | | 12/10/2049 | | | | 73,738 | |
| | 8,494,191 | | | Series 2007-C9-AJFL | | | 0.86% | #^ | | | 12/10/2049 | | | | 7,490,602 | |
| | 40,368,925 | | | Series 2012-CR2-XA | | | 2.11% | # I/O | | | 08/15/2045 | | | | 4,635,200 | |
| | 189,401,721 | | | Series 2012-CR3-XA | | | 2.36% | # I/O | | | 11/15/2045 | | | | 24,502,048 | |
| | 18,574,176 | | | Series 2012-MVP-A | | | 2.12% | #^ | | | 11/17/2026 | | | | 18,621,038 | |
| | 3,500,000 | | | Series 2012-MVP-B | | | 1.79% | #^ | | | 11/17/2026 | | | | 3,476,856 | |
| | 3,200,000 | | | Series 2012-MVP-C | | | 2.34% | #^ | | | 11/17/2026 | | | | 3,207,888 | |
| | 93,558,810 | | | Series 2012-MVP-XACP | | | 1.96% | #^ I/O | | | 12/17/2014 | | | | 2,125,796 | |
| | 70,506,326 | | | Series 2012-MVP-XBCP | | | 1.58% | #^ I/O | | | 12/17/2014 | | | | 1,300,842 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 2,795,504 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 2,906,389 | |
| | 782,187 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 769,575 | |
| | 4,882,605 | | | Series 2004-C1-A4 | | | 4.75% | # | | | 01/15/2037 | | | | 4,894,943 | |
| | 7,675,000 | | | Series 2005-C6-AM | | | 5.23% | # | | | 12/15/2040 | | | | 8,176,131 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 4,750,000 | | | Series 2006-C3-AJ | | | 5.99% | # | | | 06/15/2038 | | | | 4,825,770 | |
| | 2,135,663 | | | Series 2006-C3-AM | | | 5.99% | # | | | 06/15/2038 | | | | 2,325,499 | |
| | 51,221,320 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 54,443,218 | |
| | 23,929,706 | | | Series 2006-TF2A-A2 | | | 0.35% | #^ | | | 10/15/2021 | | | | 23,835,471 | |
| | 4,845,687 | | | Series 2006-TF2A-KERB | | | 0.63% | #^ | | | 09/15/2021 | | | | 4,745,355 | |
| | 5,963,456 | | | Series 2006-TF2A-SVA1 | | | 0.41% | #^ | | | 10/15/2021 | | | | 5,942,903 | |
| | 1,153,445,986 | | | Series 2007-C1-ASP | | | 0.55% | # I/O | | | 02/15/2040 | | | | 1,854,741 | |
| | 8,000,000 | | | Series 2007-TFLA-B | | | 0.33% | #^ | | | 02/15/2022 | | | | 7,852,152 | |
| | 24,000,000 | | | Series 2007-TFLA-C | | | 0.35% | #^ | | | 02/15/2022 | | | | 23,322,216 | |
| | 3,874,709 | | | Series 2007-TFLA-G | | | 0.55% | #^ | | | 02/15/2022 | | | | 3,697,681 | |
| | 16,900,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 18,363,675 | |
| | 8,800,000 | | | Series 2010-RR1-1B | | | 5.69% | #^ | | | 04/16/2049 | | | | 9,503,965 | |
| | 5,150,000 | | | Series 2010-RR2-3B | | | 5.34% | #^ | | | 12/15/2043 | | | | 5,565,149 | |
| | 10,000,000 | | | Series 2010-RR5-2B | | | 5.34% | #^ | | | 12/18/2043 | | | | 10,952,880 | |
| | 15,000,000 | | | Series 2017-3TA-H8 | | | 5.95% | # | | | 09/15/2039 | | | | 15,456,690 | |
| |
| | | | DBRR Trust, | |
| | 14,554,963 | | | Series 2011-C32-A3B | | | 5.94% | #^ | | | 06/17/2049 | | | | 16,040,493 | |
| | 3,132,419 | | | Series 2012-EZ1-A | | | 0.95% | ^ | | | 09/25/2045 | | | | 3,131,166 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 201,256,774 | | | Series 2011-LC2A-XA | | | 1.42% | #^ I/O | | | 07/10/2044 | | | | 12,022,275 | |
| |
| | | | DDR Corporation, | |
| | 15,622,568 | | | Series 2009-DDR1-A | | | 3.81% | ^ | | | 10/14/2022 | | | | 15,994,674 | |
| |
| | | | Del Coronado Trust, | |
| | 8,000,000 | | | Series 2013-HDC-D | | | 2.13% | #^ | | | 03/15/2026 | | | | 7,933,088 | |
| | 9,550,000 | | | Series 2013-HDC-E | | | 2.83% | #^ | | | 03/15/2026 | | | | 9,388,108 | |
| | 5,500,000 | | | Series 2013-HDMZ-M | | | 5.18% | #^ | | | 03/15/2018 | | | | 5,524,200 | |
| |
| | | | Extended Stay America Trust, | |
| | 3,500,000 | | | Series 2013-ESFL-DFL | | | 3.32% | #^ | | | 12/05/2031 | | | | 3,529,948 | |
| | 8,000,000 | | | Series 2013-ESH5-A15 | | | 1.28% | ^ | | | 12/05/2031 | | | | 7,944,000 | |
| | 7,500,000 | | | Series 2013-ESHM-M | | | 7.63% | ^ | | | 12/05/2019 | | | | 7,747,737 | |
| |
| | | | Fontainebleau Miami Beach Trust, | |
| | 13,175,000 | | | Series 2012-FBLU-C | | | 4.27% | ^ | | | 05/05/2027 | | | | 13,611,936 | |
| | 5,000,000 | | | Series 2012-FBLU-E | | | 5.25% | ^ | | | 05/05/2027 | | | | 5,200,000 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 7,000,000 | | | Series 2004-C3-B | | | 5.33% | # | | | 07/10/2039 | | | | 7,188,394 | |
| | 11,781,000 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 12,341,740 | |
| |
| | | | GMAC Commercial Mortgage Securities, Inc., | |
| | 4,105,237 | | | Series 2004-C3-A4 | | | 4.55% | | | | 12/10/2041 | | | | 4,118,265 | |
| | 23,800,000 | | | Series 2006-C1-AJ | | | 5.35% | # | | | 11/10/2045 | | | | 22,050,664 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 3,020,823 | | | Series 2003-C2-B | | | 5.03% | | | | 01/05/2036 | | | | 3,020,342 | |
| | 4,000,000 | | | Series 2003-C2-C | | | 5.07% | # | | | 01/05/2036 | | | | 4,001,338 | |
| | 4,477,586 | | | Series 2004-FL2A-D | | | 0.49% | #^ | | | 11/05/2019 | | | | 4,388,034 | |
| | 6,500,000 | | | Series 2004-FL2A-G | | | 0.66% | #^ | | | 11/05/2019 | | | | 6,240,000 | |
| | 20,540,000 | | | Series 2005-GG5-AM | | | 5.28% | # | | | 04/10/2037 | | | | 21,794,296 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, (Cont.) | |
| $ | 7,000,000 | | | Series 2006-GG7-AM | | | 5.83% | # | | | 07/10/2038 | | | | 7,664,741 | |
| | 8,350,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 9,115,728 | |
| | 43,194,500 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 45,655,096 | |
| | 21,460,000 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 22,516,841 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 12,100,000 | | | Series 2006-GG6-AJ | | | 5.63% | # | | | 04/10/2038 | | | | 12,110,896 | |
| | 9,055,000 | | | Series 2006-GG6-AM | | | 5.62% | # | | | 04/10/2038 | | | | 9,736,588 | |
| | 186,498,710 | | | Series 2006-GG6-XC | | | 0.08% | #^ I/O | | | 04/10/2038 | | | | 238,532 | |
| | 59,414,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 57,107,133 | |
| | 25,000,000 | | | Series 2006-GG8-AM | | | 5.59% | | | | 11/10/2039 | | | | 27,140,150 | |
| | 35,382,540 | | | Series 2011-GC3-X | | | 1.10% | #^ I/O | | | 03/10/2044 | | | | 1,530,666 | |
| | 116,066,417 | | | Series 2012-GC6-XA | | | 2.17% | #^ I/O | | | 01/10/2045 | | | | 14,410,922 | |
| | 3,390,878 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 3,404,343 | |
| | 3,700,000 | | | Series 2013-KYO-A | | | 1.03% | #^ | | | 11/08/2029 | | | | 3,673,491 | |
| | 1,500,000 | | | Series 2013-KYO-D | | | 2.78% | #^ | | | 11/08/2029 | | | | 1,490,987 | |
| | 19,500,000 | | | Series 2013-KYO-E | | | 3.78% | #^ | | | 11/08/2029 | | | | 19,589,632 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 806,812 | | | Series 2001-CIB2-C | | | 6.74% | # | | | 04/15/2035 | | | | 814,961 | |
| | 1,635,323 | | | Series 2003-LN1-D | | | 4.96% | # | | | 10/15/2037 | | | | 1,634,291 | |
| | 985,581 | | | Series 2004-C3-A4 | | | 4.66% | | | | 01/15/2042 | | | | 986,306 | |
| | 716,169 | | | Series 2004-CB8-A1A | | | 4.16%^ | | | | 01/12/2039 | | | | 722,394 | |
| | 20,241,981 | | | Series 2004-CBX-A5 | | | 4.65% | | | | 01/12/2037 | | | | 20,311,462 | |
| | 22,295,473 | | | Series 2004-CBX-X1 | | | 0.68% | #^ I/O | | | 01/12/2037 | | | | 170,739 | |
| | 4,893,246 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 5,002,581 | |
| | 20,580,000 | | | Series 2005-CIBC12-AJ | | | 4.99% | # | | | 09/12/2037 | | | | 21,459,888 | |
| | 90,844,618 | | | Series 2005-LDP4-X1 | | | 0.25% | # ^ I/O | | | 10/15/2042 | | | | 437,144 | |
| | 9,704,000 | | | Series 2006-LDP7-AM | | | 5.86% | # | | | 04/15/2045 | | | | 10,678,510 | |
| | 137,788,753 | | | Series 2006-LDP8-X | | | 0.55% | # I/O | | | 05/15/2045 | | | | 2,016,745 | |
| | 8,477,451 | | | Series 2007-C1-ASB | | | 5.86% | | | | 02/15/2051 | | | | 9,129,197 | |
| | 24,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 25,870,140 | |
| | 174,206,906 | | | Series 2007-CB18-X | | | 0.27% | # I/O | | | 06/12/2047 | | | | 1,567,165 | |
| | 20,000,000 | | | Series 2007-CB20-AM | | | 5.87% | # | | | 02/12/2051 | | | | 22,558,790 | |
| | 1,261,578,167 | | | Series 2007-CB20-X1 | | | 0.15% | #^ I/O | | | 02/12/2051 | | | | 11,308,787 | |
| | 6,900,000 | | | Series 2007-CIBC18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 7,559,523 | |
| | 15,000,000 | | | Series 2007-CIBC19-AM | | | 5.71% | # | | | 02/12/2049 | | | | 16,106,250 | |
| | 34,390,000 | | | Series 2007-LD12-AM | | | 6.00% | # | | | 02/15/2051 | | | | 37,654,557 | |
| | 11,336,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/17/2049 | | | | 12,179,087 | |
| | 2,117,564 | | | Series 2011-CCHP-A | | | 2.60% | #^ | | | 07/15/2028 | | | | 2,116,773 | |
| | 5,000,000 | | | Series 2011-CCHP-B | | | 3.50% | #^ | | | 07/15/2028 | | | | 5,035,787 | |
| | 3,384,548 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2044 | | | | 3,440,125 | |
| | 228,847,271 | | | Series 2012-C6-XA | | | 2.17% | # I/O | | | 05/15/2045 | | | | 24,496,270 | |
| | 480,068,835 | | | Series 2012-C8-XA | | | 2.36% | # I/O | | | 10/15/2045 | | | | 57,285,414 | |
| | 199,053,422 | | | Series 2012-CBX-XA | | | 2.20% | # I/O | | | 06/15/2045 | | | | 20,553,261 | |
| | 16,350,000 | | | Series 2012-PHH-A | | | 1.85% | #^ | | | 10/15/2025 | | | | 16,447,062 | |
| | 19,700,000 | | | Series 2012-PHH-B | | | 2.05% | #^ | | | 10/15/2025 | | | | 19,801,278 | |
| | 9,700,000 | | | Series 2012-PHH-C | | | 2.55% | #^ | | | 10/15/2025 | | | | 9,759,291 | |
| | 1,550,000 | | | Series 2012-PHH-E | | | 3.45% | #^ | | | 10/15/2025 | | | | 1,542,828 | |
| | 20,000,000 | | | Series 2013-ALC-A | | | 1.68% | #^ | | | 07/17/2026 | | | | 20,018,040 | |
| | 12,300,000 | | | Series 2013-FL3-A1 | | | 0.98% | #^ | | | 04/15/2028 | | | | 12,283,561 | |
| | 8,300,000 | | | Series 2013-FL3-A2 | | | 0.88% | #^ | | | 04/15/2028 | | | | 8,267,522 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 7,550,000 | | | Series 2007-C3-AMFL | | | 6.08% | #^ | | | 07/15/2044 | | | | 8,420,568 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 5,614,000 | | | Series 2004-C7-B | | | 4.84% | # | | | 10/15/2036 | | | | 5,804,090 | |
| | 4,350,000 | | | Series 2005-C3-AM | | | 4.79% | | | | 07/15/2040 | | | | 4,561,169 | |
| | 20,600,000 | | | Series 2005-C7-AJ | | | 5.32% | # | | | 11/15/2040 | | | | 21,690,461 | |
| | 159,365,923 | | | Series 2006-C7-XCL | | | 0.33% | #^ I/O | | | 11/15/2038 | | | | 2,818,147 | |
| | 44,700,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 44,908,660 | |
| | 38,308,952 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 41,797,978 | |
| | 46,289,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 47,979,567 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 177,889,608 | | | Series 1998-C1-IO | | | 0.67% | # I/O | | | 11/15/2026 | | | | 3,771,882 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 3,384,279 | | | Series 2003-KEY1-A4 | | | 5.24% | # | | | 11/12/2035 | | | | 3,380,990 | |
| | 9,760,536 | | | Series 2004-KEY2-A4 | | | 4.86% | # | | | 08/12/2039 | | | | 10,005,228 | |
| | 9,912,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 9,641,606 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 875,119 | | | Series 2006-4-A2FL | | | 0.30% | # | | | 12/12/2049 | | | | 873,788 | |
| | 42,850,000 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 45,192,931 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 80,395 | | | Series 2003-T11-A4 | | | 5.15% | | | | 06/13/2041 | | | | 80,348 | |
| | 350,377,012 | | | Series 2006-HQ10-X1 | | | 0.51% | #^ I/O | | | 11/12/2041 | | | | 4,919,644 | |
| | 10,650,000 | | | Series 2006-HQ8-AJ | | | 5.50% | # | | | 03/12/2044 | | | | 10,770,814 | |
| | 3,400,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 3,602,732 | |
| | | | | | |
| 18 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Capital, Inc., (Cont.) | |
| $ | 6,693,119 | | | Series 2007-HQ12-A2FL | | | 0.43% | # | | | 04/12/2049 | | | | 6,583,840 | |
| | 13,386,237 | | | Series 2007-HQ12- A2FX | | | 5.58% | # | | | 04/12/2049 | | | | 13,661,117 | |
| | 4,372,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 4,693,882 | |
| | 20,710,530 | | | Series 2007-XLF9-J | | | 2.28% | #^ | | | 12/15/2020 | | | | 20,295,470 | |
| | 8,323,770 | | | Series 2008-T29-AAB | | | 6.28% | # | | | 01/11/2043 | | | | 8,780,237 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 5,022,000 | | | Series 2010-HQ4-AJ | | | 4.97% | ^ | | | 04/15/2040 | | | | 5,169,177 | |
| | 48,500,000 | | | Series 2013-AJ-AJA | | | 0.50% | ^ | | | 12/17/2049 | | | | 39,285,000 | |
| |
| | | | Multi Security Asset Trust, | |
| | 2,941,009 | | | Series 2005-RR4A-A3 | | | 5.00% | ^ | | | 11/28/2035 | | | | 2,911,599 | |
| |
| | | | RREF LLC, | |
| | 6,702,060 | | | Series 2013-LT2-A | | | 2.83% | ^ | | | 05/22/2028 | | | | 6,700,602 | |
| |
| | | | SMA Issuer LLC, | |
| | 1,504,550 | | | Series 2012-LV1-A | | | 3.50% | ^ | | | 08/20/2025 | | | | 1,507,423 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 16,746,000 | | | Series 2007-C4-AJ | | | 5.55% | # | | | 08/15/2039 | | | | 18,176,242 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 108,228,804 | | | Series 2012-C3-XA | | | 2.18% | #^ I/O | | | 08/10/2049 | | | | 13,814,649 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 5,840,000 | | | Series 2005-C22-AM | | | 5.52% | # | | | 12/15/2044 | | | | 6,219,670 | |
| | 78,550,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 70,817,852 | |
| | 19,500,000 | | | Series 2006-C28-AM | | | 5.60% | # | | | 10/15/2048 | | | | 21,124,155 | |
| | 10,000,000 | | | Series 2007-30-AMFL | | | 0.38% | #^ | | | 12/15/2043 | | | | 9,209,045 | |
| | 31,858,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 30,567,289 | |
| | 20,516,700 | | | Series 2007-C33-AJ | | | 6.12% | # | | | 02/15/2051 | | | | 19,835,238 | |
| | 9,250,000 | | | Series 2007-C33-AM | | | 6.12% | # | | | 02/15/2051 | | | | 10,172,641 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 88,382,403 | | | Series 2011-C4-XA | | | 0.99% | #^ I/O | | | 06/15/2044 | | | | 2,811,709 | |
| | 117,894,823 | | | Series 2012-C6-XA | | | 2.65% | #^ I/O | | | 04/15/2045 | | | | 15,127,321 | |
| | 137,573,424 | | | Series 2012-C8-XA | | | 2.40% | #^ I/O | | | 08/15/2045 | | | | 16,741,929 | |
| | 54,640,673 | | | Series 2012-C9-XA | | | 2.42% | #^ I/O | | | 11/15/2045 | | | | 7,038,675 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $2,266,014,912) | | | | 2,251,022,702 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 28.7% |
|
| |
| | | | ACE Securities Corporation, | |
| | 23,791,221 | | | Series 2006-HE1-A2C | | | 0.37% | # | | | 02/25/2036 | | | | 23,264,864 | |
| | 5,104,130 | | | Series 2006-NC1-A2C | | | 0.38% | # | | | 12/25/2035 | | | | 5,057,536 | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 14,765,597 | | | Series 2005-10-3A31 | | | 4.97% | # | | | 01/25/2036 | | | | 13,668,675 | |
| | 6,200,000 | | | Series 2005-2-6M2 | | | 1.16% | # | | | 06/25/2035 | | | | 3,418,240 | |
| | 8,184,068 | | | Series 2005-7-3A1 | | | 3.10% | # | | | 10/25/2035 | | | | 7,272,215 | |
| | 39,109,514 | | | Series 2006-1-2A1 | | | 3.15% | # | | | 03/25/2036 | | | | 30,694,398 | |
| | 37,286,614 | | | Series 2006-2-3A1 | | | 3.01% | # | | | 05/25/2036 | | | | 32,004,704 | |
| | 32,536,906 | | | Series 2007-1-3A1 | | | 4.56% | # | | | 03/25/2037 | | | | 26,425,824 | |
| | 4,948,030 | | | Series 2007-3-1A1 | | | 3.80% | #^ | | | 11/25/2037 | | | | 3,445,917 | |
| |
| | | | Aegis Asset Backed Securities Trust, | |
| | 559,570 | | | Series 2003-2-M2 | | | 2.73% | # | | | 11/25/2033 | | | | 463,019 | |
| | 2,721,388 | | | Series 2004-1-M2 | | | 2.21% | # | | | 04/25/2034 | | | | 2,286,317 | |
| | 705,251 | | | Series 2004-2-M2 | | | 2.13% | # | | | 06/25/2034 | | | | 438,698 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 12,000,000 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 12,547,020 | |
| | 12,000,000 | | | Series 2010-1-A4 | | | 5.65% | #^ | | | 03/25/2058 | | | | 12,560,628 | |
| |
| | | | American Home Mortgage Investment Trust, | |
| | 5,694,074 | | | Series 2005-1-7A2 | | | 2.37% | # | | | 06/25/2045 | | | | 5,213,893 | |
| | 13,759,460 | | | Series 2005-4-3A1 | | | 0.48% | # | | | 11/25/2045 | | | | 10,600,660 | |
| | 2,750,684 | | | Series 2006-2-3A4 | | | 6.60% | # | | | 06/25/2036 | | | | 1,591,136 | |
| | 11,309,043 | | | Series 2007-A-13A1 | | | 6.10% | #^ | | | 01/25/2037 | | | | 7,518,308 | |
| |
| | | | Amortizing Residential Collateral Trust, | |
| | 16,484,951 | | | Series 2002-BC7-M1 | | | 1.38% | # | | | 10/25/2032 | | | | 11,943,924 | |
| |
| | | | Argent Securities, Inc., | |
| | 495,213 | | | Series 2004-W6-M1 | | | 0.73% | # | | | 05/25/2034 | | | | 483,481 | |
| |
| | | | Asset Backed Securities Corporation Home Equity Loan Trust, | |
| | 6,604,404 | | | Series 2003-HE6-M1 | | | 1.15% | # | | | 11/25/2033 | | | | 6,118,227 | |
| | 1,144,980 | | | Series 2004-HE3-M2 | | | 1.86% | # | | | 06/25/2034 | | | | 960,827 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| $ | 6,218,251 | | | Series 2005-10-4A1 | | | 5.75% | | | | 11/25/2035 | | | | 6,016,493 | |
| | 6,637,082 | | | Series 2005-5-2CB1 | | | 6.00% | | | | 06/25/2035 | | | | 5,828,646 | |
| | 11,478,428 | | | Series 2005-6-2CB2 | | | 6.00% | | | | 07/25/2035 | | | | 10,642,729 | |
| | 5,348,184 | | | Series 2005-6-4CB1 | | | 6.50% | | | | 07/25/2035 | | | | 4,906,247 | |
| | 3,956,494 | | | Series 2005-8-2CB1 | | | 6.00% | | | | 09/25/2035 | | | | 3,687,101 | |
| | 3,396,894 | | | Series 2006-5-CB14 | | | 6.00% | # | | | 06/25/2046 | | | | 2,819,045 | |
| | 6,742,989 | | | Series 2006-6-CB3 | | | 6.00% | | | | 07/25/2046 | | | | 5,560,080 | |
| | 20,748,342 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 15,449,651 | |
| | 10,199,471 | | | Series 2006-8-1A1 | | | 6.32% | # I/F I/O | | | 11/25/2036 | | | | 1,810,544 | |
| | 3,635,032 | | | Series 2006-8-1A2 | | | 0.63% | # | | | 11/25/2036 | | | | 2,318,852 | |
| | 16,655,421 | | | Series 2006-9-1CB1 | | | 6.00% | | | | 01/25/2037 | | | | 13,788,690 | |
| | 2,719,799 | | | Series 2007-2-2A1 | | | 6.00% | | | | 06/25/2037 | | | | 2,043,410 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 21,246,315 | | | Series 2006-2-3A1 | | | 6.00% | | | | 03/25/2036 | | | | 21,233,970 | |
| | 641,576 | | | Series 2006-2-4A1 | | | 22.25% | # I/F | | | 03/25/2036 | | | | 906,007 | |
| | 3,388,587 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 3,396,808 | |
| | 17,693,170 | | | Series 2006-3-1A1 | | | 6.00% | | | | 03/25/2036 | | | | 16,786,537 | |
| | 3,687,094 | | | Series 2006-3-6A1 | | | 6.30% | # | | | 03/25/2036 | | | | 3,819,614 | |
| | 19,352,479 | | | Series 2006-6-1A7 | | | 6.25% | | | | 08/25/2036 | | | | 18,979,634 | |
| | 3,915,509 | | | Series 2006-7-T2A5 | | | 6.04% | # | | | 10/25/2036 | | | | 3,070,844 | |
| | 18,454,965 | | | Series 2006-7-T2A8 | | | 5.91% | # | | | 10/25/2036 | | | | 14,375,882 | |
| | 3,872,444 | | | Series 2006-8T2-A8 | | | 6.10% | # | | | 10/25/2036 | | | | 3,230,509 | |
| | 2,222,211 | | | Series 2006-B-7A1 | | | 5.55% | # | | | 03/20/2036 | | | | 2,096,785 | |
| | 20,107,316 | | | Series 2006-D-6A1 | | | 5.07% | # | | | 05/20/2036 | | | | 16,830,930 | |
| | 1,999,514 | | | Series 2006-G-2A1 | | | 0.40% | # | | | 07/20/2036 | | | | 1,830,275 | |
| | 959,153 | | | Series 2006-H-3A1 | | | 2.87% | # | | | 09/20/2046 | | | | 751,764 | |
| | 2,581,787 | | | Series 2007-1-TA10 | | | 5.84% | # | | | 01/25/2037 | | | | 1,962,535 | |
| | 3,430,617 | | | Series 2007-3-TA1B | | | 5.83% | # | | | 04/25/2037 | | | | 2,806,423 | |
| | 4,991,389 | | | Series 2007-5-1A1 | | | 5.50% | | | | 07/25/2037 | | | | 4,230,626 | |
| | 6,523,679 | | | Series 2009-R14-3A | | | 16.14% | #^ I/F | | | 06/26/2035 | | | | 8,302,900 | |
| | 6,107,936 | | | Series 2009-R15A-4A2 | | | 5.75% | ^ | | | 12/26/2036 | | | | 5,576,392 | |
| | 3,656,597 | | | Series 2010-R1-3A | | | 14.00% | #^ I/F | | | 07/26/2036 | | | | 3,767,895 | |
| | 162,723,233 | | | Series 2012-R4-A | | | 0.44% | #^ | | | 03/04/2039 | | | | 158,546,681 | |
| | 56,173,076 | | | Series 2012-R5-A | | | 0.44% | #^ | | | 10/03/2039 | | | | 55,072,803 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 2,684,205 | | | Series 2004-K-4A1 | | | 5.29% | # | | | 12/25/2034 | | | | 2,635,293 | |
| | 11,342,387 | | | Series 2006-1-A9 | | | 6.00% | | | | 05/25/2036 | | | | 10,133,561 | |
| | 2,102,903 | | | Series 2007-1-2A5 | | | 5.75% | | | | 01/25/2037 | | | | 2,120,781 | |
| |
| | | | BCAP LLC Trust, | |
| | 6,773,196 | | | Series 2007-AA2-2A7 | | | 6.00% | | | | 04/25/2037 | | | | 5,772,111 | |
| | 7,332,912 | | | Series 2007-AA2-2A8 | | | 5.75% | | | | 04/25/2037 | | | | 6,163,957 | |
| | 18,000,000 | | | Series 2008-RR3-A1B | | | 6.64% | # | | | 10/25/2036 | | | | 14,278,921 | |
| | 7,026,471 | | | Series 2010-RR10-5A1 | | | 7.54% | #^ | | | 04/27/2037 | | | | 7,935,409 | |
| | 12,713,990 | | | Series 2010-RR12-3A15 | | | 6.96% | #^ | | | 08/26/2037 | | | | 13,778,223 | |
| | 3,350,000 | | | Series 2010-RR5-2A3 | | | 6.10% | #^ | | | 04/26/2037 | | | | 3,384,833 | |
| | 5,625,549 | | | Series 2011-RR12-2A5 | | | 2.40% | #^ | | | 12/26/2036 | | | | 5,659,943 | |
| | 12,349,159 | | | Series 2012-RR1-3A3 | | | 3.50% | #^ | | | 10/26/2035 | | | | 12,600,579 | |
| |
| | | | Bear Stearns Adjustable Rate Mortgage Trust, | |
| | 20,237,754 | | | Series 2005-12-13A1 | | | 5.38% | # | | | 02/25/2036 | | | | 18,796,097 | |
| | 17,205,092 | | | Series 2006-4-4A1 | | | 5.34% | # | | | 10/25/2046 | | | | 15,558,049 | |
| | 16,329,487 | | | Series 2007-1-2A1 | | | 2.83% | # | | | 02/25/2047 | | | | 12,700,161 | |
| |
| | | | Bear Stearns Alt-A Trust, | |
| | 6,158,114 | | | Series 2004-11-2A3 | | | 2.55% | # | | | 11/25/2034 | | | | 5,941,151 | |
| | 23,454,450 | | | Series 2006-6-2A1 | | | 4.58% | # | | | 11/25/2036 | | | | 16,428,435 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 15,013,592 | | | Series 2004-AC4-A2 | | | 6.00% | # | | | 08/25/2034 | | | | 15,560,012 | |
| | 39,377,789 | | | Series 2005-AC2-1A | | | 5.25% | # | | | 04/25/2035 | | | | 37,592,597 | |
| | 12,470,324 | | | Series 2005-AC2-2A1 | | | 5.25% | # | | | 04/25/2035 | | | | 12,413,945 | |
| | 17,387,373 | | | Series 2005-AC7-A4 | | | 5.50% | # | | | 10/25/2035 | | | | 16,912,585 | |
| | 21,747,570 | | | Series 2006-AC1-1A1 | | | 5.75% | # | | | 02/25/2036 | | | | 17,392,511 | |
| | 2,770,922 | | | Series 2007-SD1-1A2A | | | 6.00% | | | | 10/25/2036 | | | | 2,192,492 | |
| | 1,773,274 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 1,486,165 | |
| | 7,670,375 | | | Series 2007-SD1-23A1 | | | 4.65% | # | | | 10/25/2036 | | | | 6,122,792 | |
| |
| | | | Belle Haven Ltd., | |
| | 1,143,804,311 | | | Series 2006-1A-A1 | | | 0.52% | #^ | | | 07/05/2046 | | | | 91,504,345 | |
| |
| | | | Centex Home Equity, | |
| | 2,750,000 | | | Series 2004-A-AF5 | | | 5.43% | # | | | 01/25/2034 | | | | 2,811,350 | |
| |
| | | | Chase Funding Mortgage Loan Asset-Backed Certificates, | |
| | 3,107,393 | | | Series 2003-4-2M1 | | | 1.08% | # | | | 03/25/2033 | | | | 2,495,293 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 19 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Chase Mortgage Finance Corporation, | |
| $ | 17,288,098 | | | Series 2005-A1-2A4 | | | 2.86% | # | | | 12/25/2035 | | | | 15,274,156 | |
| | 25,470,601 | | | Series 2006-S2-1A9 | | | 6.25% | | | | 10/25/2036 | | | | 23,039,254 | |
| | 14,756,327 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 11/25/2036 | | | | 12,621,381 | |
| | 41,557,970 | | | Series 2006-S4-A8 | | | 6.00% | | | | 12/25/2036 | | | | 36,506,141 | |
| | 19,097,352 | | | Series 2007-A2-6A4 | | | 2.82% | # | | | 07/25/2037 | | | | 17,123,737 | |
| | 7,125,025 | | | Series 2007-S3-1A5 | | | 6.00% | | | | 05/25/2037 | | | | 6,115,794 | |
| | 3,470,892 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 3,364,552 | |
| | 8,301,154 | | | Series 2007-S5-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 7,433,750 | |
| |
| | | | Chaseflex Trust, | |
| | 879,270 | | | Series 2006-1-A2A | | | 5.39% | # | | | 06/25/2036 | | | | 869,401 | |
| | 6,307,419 | | | Series 2006-1-A5 | | | 5.39% | # | | | 06/25/2036 | | | | 6,164,568 | |
| | 9,487,250 | | | Series 2006-2-A2B | | | 0.38% | # | | | 09/25/2036 | | | | 6,601,305 | |
| | 8,560,819 | | | Series 2007-1-1A1 | | | 6.50% | | | | 02/25/2037 | | | | 6,148,886 | |
| | 19,038,659 | | | Series 2007-M1-2F4 | | | 5.03% | # | | | 08/25/2037 | | | | 14,792,657 | |
| | 19,801,897 | | | Series 2007-M1-2F5 | | | 5.03% | # | | | 08/25/2037 | | | | 15,384,154 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 21,884,955 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 22,737,888 | |
| | 4,956,979 | | | Series 2006-7-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 4,780,156 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 6,594,000 | | | Series 2006-2-A5 | | | 6.04% | # | | | 09/25/2036 | | | | 6,318,987 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 5,337,429 | | | Series 2005-5-2A2 | | | 5.75% | | | | 08/25/2035 | | | | 4,313,059 | |
| | 2,623,559 | | | Series 2005-9-21A1 | | | 5.50% | | | | 11/25/2035 | | | | 2,267,707 | |
| | 6,600,437 | | | Series 2006-FX1-A6 | | | 5.85% | # | | | 10/25/2036 | | | | 5,320,526 | |
| | 3,296,983 | | | Series 2006-WF1-A2D | | | 5.77% | # | | | 03/25/2036 | | | | 2,250,735 | |
| | 19,181,577 | | | Series 2006-WF2-A2D | | | 5.94% | # | | | 05/25/2036 | | | | 12,474,815 | |
| | 18,260,682 | | | Series 2007-10-1A1A | | | 5.73% | # | | | 04/25/2037 | | | | 18,367,598 | |
| | 1,641,722 | | | Series 2007-12-2A1 | | | 6.50% | ^ | | | 10/25/2036 | | | | 1,272,718 | |
| | 1,546,163 | | | Series 2007-2-2A | | | 6.00% | | | | 11/25/2036 | | | | 1,464,257 | |
| | 46,597,858 | | | Series 2007-9-1A1 | | | 5.75% | ^ | | | 04/25/2047 | | | | 38,741,813 | |
| | 2,291,012 | | | Series 2007-9-2A2 | | | 6.50% | ^ | | | 05/25/2037 | | | | 1,702,212 | |
| | 8,134,391 | | | Series 2007-OPX1-A3A | | | 5.97% | # | | | 01/25/2037 | | | | 5,086,996 | |
| | 78,766,431 | | | Series 2007-WFH3-A2 | | | 0.34% | # | | | 06/25/2037 | | | | 72,898,411 | |
| | 20,000,000 | | | Series 2008-AR4-1A1B | | | 2.91% | #^ | | | 11/25/2038 | | | | 18,190,016 | |
| | 2,621,550 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 2,698,972 | |
| | 2,558,108 | | | Series 2010-2-5A1 | | | 5.50% | #^ | | | 12/25/2035 | | | | 2,702,389 | |
| | 205,000,000 | | | Series 2010-8-5A4 | | | 9.09% | #^ | | | 11/25/2036 | | | | 175,422,108 | |
| | 20,945,049 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 21,495,293 | |
| | 158,298,912 | | | Series 2010-8-6A4 | | | 8.21% | #^ | | | 12/25/2036 | | | | 128,672,764 | |
| | 86,163,095 | | | Series 2010-8-76I2 | | | 1.00% | ^ I/O | | | 06/25/2037 | | | | 1,514,665 | |
| | 139,961,122 | | | Series 2010-8-7A4 | | | 8.42% | #^ | | | 06/25/2037 | | | | 120,448,344 | |
| | 5,499,329 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 5,573,905 | |
| | 7,800,117 | | | Series 2011-12-3A1 | | | 5.59% | ^ | | | 09/25/2047 | | | | 7,802,723 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 10,330,818 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 8,531,758 | |
| | 9,220,008 | | | Series 2006-A3-1A13 | | | 6.00% | | | | 07/25/2036 | | | | 8,183,319 | |
| | 2,943,857 | | | Series 2006-A5-2A1 | | | 5.50% | | | | 10/25/2021 | | | | 2,871,645 | |
| | 7,660,530 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 5,982,743 | |
| | 10,987,419 | | | Series 2007-A1-1A5 | | | 6.00% | | | | 01/25/2037 | | | | 9,293,873 | |
| | 5,357,094 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 4,531,378 | |
| | 13,706,812 | | | Series 2007-A1-1A9 | | | 5.22% | # I/F I/O | | | 01/25/2037 | | | | 1,920,667 | |
| | 12,383,048 | | | Series 2007-A3-1A1 | | | 6.00% | # | | | 03/25/2037 | | | | 10,564,127 | |
| | 28,497,360 | | | Series 2007-A3-1A3 | | | 5.22% | # I/F I/O | | | 03/25/2037 | | | | 4,239,025 | |
| | 11,167,504 | | | Series 2007-A3-1A4 | | | 5.75% | | | | 03/25/2037 | | | | 9,370,642 | |
| | 19,662,571 | | | Series 2007-A4-1A3 | | | 0.51% | # | | | 04/25/2037 | | | | 13,183,301 | |
| | 19,662,571 | | | Series 2007-A4-1A4 | | | 6.49% | # I/F I/O | | | 04/25/2037 | | | | 4,252,100 | |
| | 2,877,698 | | | Series 2007-A5-1A11 | | | 6.00% | | | | 05/25/2037 | | | | 2,466,774 | |
| | 1,416,539 | | | Series 2007-A8-A1 | | | 6.00% | | | | 10/25/2037 | | | | 1,254,314 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 50,331,767 | | | Series 2004-36CB-1A1 | | | 6.00% | | | | 02/25/2035 | | | | 47,061,611 | |
| | 11,586,076 | | | Series 2005-20CB-2A1 | | | 0.68% | # | | | 07/25/2035 | | | | 8,559,619 | |
| | 23,654,906 | | | Series 2005-20CB-2A2 | | | 4.82% | # I/F I/O | | | 07/25/2035 | | | | 2,902,954 | |
| | 3,244,606 | | | Series 2005-20CB-4A1 | | | 5.25% | | | | 07/25/2020 | | | | 3,180,616 | |
| | 8,201,149 | | | Series 2005-26CB-A11 | | | 12.73% | # I/F | | | 07/25/2035 | | | | 8,225,597 | |
| | 11,225,148 | | | Series 2005-28CB-1A2 | | | 0.93% | # | | | 08/25/2035 | | | | 9,161,988 | |
| | 3,648,443 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 3,044,104 | |
| | 7,528,171 | | | Series 2005-54CB-3A4 | | | 5.50% | | | | 11/25/2035 | | | | 6,432,551 | |
| | 1,524,960 | | | Series 2005-60T1-A7 | | | 34.62% | # I/F | | | 12/25/2035 | | | | 2,184,557 | |
| | 2,086,914 | | | Series 2005-64CB-1A14 | | | 5.50% | | | | 12/25/2035 | | | | 1,851,212 | |
| | 30,288,950 | | | Series 2005-64CB-1A4 | | | 5.50% | | | | 12/25/2035 | | | | 26,868,025 | |
| | 5,287,847 | | | Series 2005-73CB-1A5 | | | 0.98% | # | | | 01/25/2036 | | | | 4,005,560 | |
| | 13,303,130 | | | Series 2005-73CB-1A6 | | | 4.52% | # I/F I/O | | | 01/25/2036 | | | | 1,724,871 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, (Cont.) | |
| $ | 117,111,782 | | | Series 2005-77T1-1A1 | | | 6.00% | | | | 02/25/2036 | | | | 93,816,609 | |
| | 2,963,567 | | | Series 2005-79CB-A5 | | | 5.50% | | | | 01/25/2036 | | | | 2,565,044 | |
| | 6,329,247 | | | Series 2005-85CB-2A6 | | | 20.98% | # I/F | | | 02/25/2036 | | | | 7,918,369 | |
| | 3,886,833 | | | Series 2005-86CB-A5 | | | 5.50% | | | | 02/25/2036 | | | | 3,294,107 | |
| | 8,292,515 | | | Series 2005-J10-1A11 | | | 5.50% | | | | 10/25/2035 | | | | 7,329,513 | |
| | 1,887,182 | | | Series 2005-J10-1A13 | | | 0.88% | # | | | 10/25/2035 | | | | 1,439,237 | |
| | 884,039 | | | Series 2005-J10-1A15 | | | 5.50% | | | | 10/25/2035 | | | | 781,377 | |
| | 1,956,042 | | | Series 2005-J11-1A3 | | | 5.50% | | | | 11/25/2035 | | | | 1,677,655 | |
| | 2,253,862 | | | Series 2005-J11-6A1 | | | 6.50% | | | | 09/25/2032 | | | | 2,203,672 | |
| | 3,600,825 | | | Series 2005-J13-2A5 | | | 0.66% | # | | | 11/25/2035 | | | | 2,715,868 | |
| | 7,201,650 | | | Series 2005-J13-2A6 | | | 4.84% | # I/F I/O | | | 11/25/2035 | | | | 928,077 | |
| | 3,891,000 | | | Series 2005-J1-5A3 | | | 5.50% | | | | 02/25/2035 | | | | 3,417,516 | |
| | 5,078,033 | | | Series 2005-J1-7A1 | | | 5.50% | �� | | | 01/25/2020 | | | | 5,019,004 | |
| | 2,906,871 | | | Series 2005-J2-1A5 | | | 0.68% | # | | | 04/25/2035 | | | | 2,417,418 | |
| | 8,944,217 | | | Series 2005-J2-1A6 | | | 4.82% | # I/F I/O | | | 04/25/2035 | | | | 1,217,281 | |
| | 7,943,205 | | | Series 2006-12CB-A3 | | | 5.75% | # | | | 05/25/2036 | | | | 6,277,976 | |
| | 3,758,594 | | | Series 2006-15CB-A1 | | | 6.50% | | | | 06/25/2036 | | | | 2,894,509 | |
| | 2,986,207 | | | Series 2006-18CB-A12 | | | 0.78% | # | | | 07/25/2036 | | | | 1,884,912 | |
| | 2,986,207 | | | Series 2006-18CB-A13 | | | 5.32% | # I/F I/O | | | 07/25/2036 | | | | 513,009 | |
| | 15,169,611 | | | Series 2006-19CB-A12 | | | 0.58% | # | | | 08/25/2036 | | | | 10,038,172 | |
| | 20,570,904 | | | Series 2006-19CB-A13 | | | 5.42% | # I/F I/O | | | 08/25/2036 | | | | 3,901,436 | |
| | 3,167,182 | | | Series 2006-19CB-A15 | | | 6.00% | | | | 08/25/2036 | | | | 2,582,501 | |
| | 4,702,098 | | | Series 2006-24CB-A11 | | | 5.75% | | | | 06/25/2036 | | | | 3,824,165 | |
| | 13,762,465 | | | Series 2006-24CB-A14 | | | 6.97% | # I/F I/O | | | 06/25/2036 | | | | 2,930,160 | |
| | 11,035,705 | | | Series 2006-24CB-A22 | | | 6.00% | | | | 06/25/2036 | | | | 9,112,722 | |
| | 11,844,626 | | | Series 2006-24CB-A5 | | | 0.78% | # | | | 06/25/2036 | | | | 7,972,962 | |
| | 4,444,995 | | | Series 2006-26CB-A17 | | | 6.25% | | | | 09/25/2036 | | | | 3,461,153 | |
| | 5,705,530 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 4,517,741 | |
| | 11,019,922 | | | Series 2006-29T1-1A2 | | | 6.25% | | | | 10/25/2036 | | | | 9,463,016 | |
| | 1,505,826 | | | Series 2006-29T1-2A12 | | | 44.99% | # I/F | | | 10/25/2036 | | | | 2,768,266 | |
| | 922,350 | | | Series 2006-29T1-2A23 | | | 32.59% | # I/F | | | 10/25/2036 | | | | 1,334,407 | |
| | 10,372,162 | | | Series 2006-30T1-1A2 | | | 6.25% | | | | 11/25/2036 | | | | 8,881,859 | |
| | 6,896,639 | | | Series 2006-32CB-A1 | | | 0.85% | # | | | 11/25/2036 | | | | 4,681,728 | |
| | 11,503,594 | | | Series 2006-32CB-A2 | | | 5.15% | # I/F I/O | | | 11/25/2036 | | | | 1,622,381 | |
| | 4,729,985 | | | Series 2006-36T2-2A1 | | | 6.25% | | | | 12/25/2036 | | | | 3,598,312 | |
| | 4,072,958 | | | Series 2006-39CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 3,263,348 | |
| | 21,558,633 | | | Series 2006-39CB-2A2 | | | 6.37% | # I/F I/O | | | 01/25/2037 | | | | 4,767,799 | |
| | 7,341,732 | | | Series 2006-39CB-2A4 | | | 0.63% | # | | | 01/25/2037 | | | | 2,515,340 | |
| | 6,343,438 | | | Series 2006-40T1-1A11 | | | 6.00% | | | | 01/25/2037 | | | | 5,131,981 | |
| | 10,794,374 | | | Series 2006-40T1-1A4 | | | 5.27% | # I/F I/O | | | 01/25/2037 | | | | 1,353,339 | |
| | 8,629,726 | | | Series 2006-45T1-1A4 | | | 0.78% | # | | | 02/25/2037 | | | | 4,826,770 | |
| | 8,629,726 | | | Series 2006-45T1-1A5 | | | 5.22% | # I/F I/O | | | 02/25/2037 | | | | 1,217,598 | |
| | 3,469,330 | | | Series 2006-6CB-1A4 | | | 5.50% | | | | 05/25/2036 | | | | 2,851,168 | |
| | 21,633,451 | | | Series 2006-J1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 18,606,001 | |
| | 10,662,326 | | | Series 2006-J1-A10 | | | 5.50% | | | | 02/25/2036 | | | | 9,170,208 | |
| | 3,426,025 | | | Series 2006-J4-2A2 | | | 6.00% | | | | 07/25/2036 | | | | 2,910,254 | |
| | 2,017,247 | | | Series 2007-11T1-A24 | | | 38.83% | # I/F | | | 05/25/2037 | | | | 3,224,944 | |
| | 21,803,355 | | | Series 2007-16CB-2A1 | | | 0.63% | # | | | 08/25/2037 | | | | 12,329,078 | |
| | 6,313,707 | | | Series 2007-16CB-2A2 | | | 53.09% | # I/F | | | 08/25/2037 | | | | 14,606,944 | |
| | 19,801,599 | | | Series 2007-17CB-1A10 | | | 29.08% | # I/F | | | 08/25/2037 | | | | 28,994,758 | |
| | 3,435,847 | | | Series 2007-18CB-2A25 | | | 6.00% | | | | 08/25/2037 | | | | 3,022,446 | |
| | 1,800,113 | | | Series 2007-19-1A10 | | | 37.93% | # I/F | | | 08/25/2037 | | | | 2,794,421 | |
| | 53,062,599 | | | Series 2007-19-2A1 | | | 6.50% | | | | 08/25/2037 | | | | 37,103,545 | |
| | 10,250,064 | | | Series 2007-21CB-2A2 | | | 27.68% | # I/F | | | 09/25/2037 | | | | 14,901,754 | |
| | 38,669,543 | | | Series 2007-22-2A16 | | | 6.50% | | | | 09/25/2037 | | | | 30,109,962 | |
| | 24,900,630 | | | Series 2007-23CB-A3 | | | 0.68% | # | | | 09/25/2037 | | | | 14,663,209 | |
| | 35,339,157 | | | Series 2007-23CB-A4 | | | 6.32% | # I/F I/O | | | 09/25/2037 | | | | 7,668,473 | |
| | 18,948,132 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 6,433,800 | |
| | 12,897,924 | | | Series 2007-5CB-1A18 | | | 5.47% | # I/F I/O | | | 04/25/2037 | | | | 2,162,124 | |
| | 12,897,924 | | | Series 2007-5CB-1A23 | | | 0.73% | # | | | 04/25/2037 | | | | 8,064,762 | |
| | 888,620 | | | Series 2007-8CB-A12 | | | 39.13% | # I/F | | | 05/25/2037 | | | | 1,529,390 | |
| | 948,588 | | | Series 2007-8CB-A8 | | | 39.01% | # I/F | | | 05/25/2037 | | | | 1,627,630 | |
| | 1,212,550 | | | Series 2007-9T1-1A4 | | | 0.68% | # | | | 05/25/2037 | | | | 704,448 | |
| | 1,212,550 | | | Series 2007-9T1-1A5 | | | 5.32% | # I/F I/O | | | 05/25/2037 | | | | 149,355 | |
| | 33,213,396 | | | Series 2007-9T1-1A6 | | | 6.00% | | | | 05/25/2037 | | | | 26,008,547 | |
| | 3,621,044 | | | Series 2007-9T1-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 2,804,488 | |
| | 3,404,139 | | | Series 2007-9T1-3A1 | | | 5.50% | | | | 05/25/2022 | | | | 2,986,288 | |
| | 12,891,443 | | | Series 2007-HY5R-2A1A | | | 4.98% | # | | | 03/25/2047 | | | | 12,495,098 | |
| | 11,568,134 | | | Series 2007-HY5R-2A1B | | | 4.98% | # | | | 03/25/2047 | | | | 9,413,852 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 4,380,702 | | | Series 2003-BC6-M1 | | | 1.00% | # | | | 11/25/2033 | | | | 4,250,584 | |
| | 3,135,843 | | | Series 2005-13-AF3 | | | 5.16% | # | | | 04/25/2036 | | | | 2,703,065 | |
| | 2,353,220 | | | Series 2006-2-2A2 | | | 0.37% | # | | | 06/25/2036 | | | | 2,276,127 | |
| | | | | | |
| 20 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Home Loans, | |
| $ | 5,415,235 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 5,587,930 | |
| | 7,880,552 | | | Series 2003-60-4A1 | | | 5.42% | # | | | 02/25/2034 | | | | 7,777,163 | |
| | 7,716,028 | | | Series 2004-R2-1AF1 | | | 0.60% | #^ | | | 11/25/2034 | | | | 6,737,288 | |
| | 7,812,172 | | | Series 2004-R2-1AS | | | 5.78% | #^ I/O | | | 11/25/2034 | | | | 1,240,776 | |
| | 16,123,343 | | | Series 2005-20-A5 | | | 5.50% | | | | 10/25/2035 | | | | 15,019,007 | |
| | 11,483,405 | | | Series 2005-20-A8 | | | 5.25% | | | | 10/25/2035 | | | | 11,196,900 | |
| | 35,195,629 | | | Series 2005-23-A1 | | | 5.50% | | | | 11/25/2035 | | | | 32,678,649 | |
| | 9,298,918 | | | Series 2005-24-A8 | | | 5.50% | | | | 11/25/2035 | | | | 8,877,872 | |
| | 2,445,671 | | | Series 2005-27-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 2,234,891 | |
| | 5,155,264 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 4,629,448 | |
| | 48,233,240 | | | Series 2005-HYB1-4A1 | | | 2.74% | # | | | 03/25/2035 | | | | 44,918,410 | |
| | 4,685,779 | | | Series 2005-HYB8-1A1 | | | 2.56% | # | | | 12/20/2035 | | | | 3,725,644 | |
| | 10,978,598 | | | Series 2005-J3-2A4 | | | 4.50% | | | | 09/25/2035 | | | | 10,387,444 | |
| | 9,700,000 | | | Series 2005-J4-A5 | | | 5.50% | | | | 11/25/2035 | | | | 9,458,926 | |
| | 2,302,769 | | | Series 2005-R1-1AF1 | | | 0.54% | #^ | | | 03/25/2035 | | | | 2,023,233 | |
| | 2,330,204 | | | Series 2005-R1-1AS | | | 5.78% | #^ I/O | | | 03/25/2035 | | | | 354,782 | |
| | 6,515,997 | | | Series 2006-20-1A21 | | | 6.00% | | | | 02/25/2037 | | | | 5,777,337 | |
| | 4,905,678 | | | Series 2006-J3-A4 | | | 5.50% | | | | 05/25/2036 | | | | 4,924,389 | |
| | 56,355,779 | | | Series 2007-11-A1 | | | 6.00% | | | | 08/25/2037 | | | | 50,915,248 | |
| | 45,235,749 | | | Series 2007-12-A9 | | | 5.75% | | | | 08/25/2037 | | | | 43,285,409 | |
| | 21,322,976 | | | Series 2007-13-A110 | | | 6.00% | | | | 08/25/2037 | | | | 19,180,529 | |
| | 2,095,508 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 1,912,847 | |
| | 9,252,355 | | | Series 2007-15-1A29 | | | 6.25% | | | | 09/25/2037 | | | | 8,511,325 | |
| | 2,301,200 | | | Series 2007-18-1A1 | | | 6.00% | | | | 11/25/2037 | | | | 2,113,583 | |
| | 7,167,310 | | | Series 2007-3-A1 | | | 6.00% | | | | 04/25/2037 | | | | 6,506,663 | |
| | 18,609,848 | | | Series 2007-3-A12 | | | 6.00% | | | | 04/25/2037 | | | | 16,894,485 | |
| | 13,473,809 | | | Series 2007-4-1A39 | | | 6.00% | | | | 05/25/2037 | | | | 11,733,720 | |
| | 7,290,934 | | | Series 2007-5-A2 | | | 5.75% | | | | 05/25/2037 | | | | 6,802,865 | |
| | 28,159,501 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 25,799,228 | |
| | 8,441,257 | | | Series 2007-7-A2 | | | 5.75% | | | | 06/25/2037 | | | | 7,633,445 | |
| | 18,464,562 | | | Series 2007-8-1A4 | | | 6.00% | | | | 01/25/2038 | | | | 16,370,330 | |
| | 22,498,453 | | | Series 2007-8-1A9 | | | 6.00% | # | | | 01/25/2038 | | | | 19,947,016 | |
| | 4,696,958 | | | Series 2007-9-A11 | | | 5.75% | | | | 07/25/2037 | | | | 4,428,898 | |
| | 46,806,519 | | | Series 2007-J1-2A1 | | | 6.00% | | | | 02/25/2037 | | | | 40,665,364 | |
| | 1,902,316 | | | Series 2007-J3-A1 | | | 0.68% | # | | | 07/25/2037 | | | | 1,251,663 | |
| | 9,511,579 | | | Series 2007-J3-A2 | | | 5.32% | # I/F I/O | | | 07/25/2037 | | | | 1,480,791 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 6,580,438 | | | Series 2006-3-A4B | | | 6.11% | # | | | 11/25/2036 | | | | 3,820,405 | |
| | 4,469,053 | | | Series 2006-4-A6A | | | 5.68% | # | | | 12/25/2036 | | | | 2,887,009 | |
| | 14,331,457 | | | Series 2007-1-1A1A | | | 5.90% | # | | | 05/25/2037 | | | | 8,670,259 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 383,298 | | | Series 2004-AR8-2A1 | | | 2.62% | # | | | 09/25/2034 | | | | 388,422 | |
| | 5,305,489 | | | Series 2005-10-5A4 | | | 5.50% | | | | 11/25/2035 | | | | 4,643,030 | |
| | 1,574,815 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 1,354,920 | |
| | 14,050,848 | | | Series 2005-12-7A1 | | | 7.00% | | | | 01/25/2036 | | | | 7,421,517 | |
| | 16,000,000 | | | Series 2005-8-3A10 | | | 5.50% | | | | 09/25/2035 | | | | 16,109,968 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 6,159,080 | | | Series 2005-1R-2A5 | | | 5.75% | ^ | | | 12/26/2035 | | | | 5,713,083 | |
| | 34,755,964 | | | Series 2006-1-2A1 | | | 6.00% | | | | 02/25/2036 | | | | 25,860,418 | |
| | 5,090,797 | | | Series 2006-2-3A1 | | | 6.50% | | | | 03/25/2036 | | | | 3,407,448 | |
| | 6,262,469 | | | Series 2006-2-5A1 | | | 0.88% | # | | | 03/25/2036 | | | | 3,439,129 | |
| | 35,004,320 | | | Series 2006-2-5A2 | | | 5.12% | # I/F I/O | | | 03/25/2036 | | | | 6,637,852 | |
| | 7,291,351 | | | Series 2006-2-5A3 | | | 6.25% | | | | 03/25/2036 | | | | 5,653,969 | |
| | 19,733,312 | | | Series 2006-2-5A4 | | | 6.00% | | | | 03/25/2036 | | | | 14,963,830 | |
| | 4,002,355 | | | Series 2006-3-4A3 | | | 5.50% | | | | 04/25/2036 | | | | 3,733,325 | |
| | 8,667,844 | | | Series 2006-3-4A4 | | | 5.50% | | | | 04/25/2036 | | | | 8,078,301 | |
| | 7,681,951 | | | Series 2006-4-1A8 | | | 6.00% | # | | | 05/25/2036 | | | | 5,707,920 | |
| | 30,533,050 | | | Series 2006-4-4A1 | | | 7.00% | | | | 05/25/2036 | | | | 15,365,727 | |
| | 24,498,861 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 22,647,531 | |
| | 22,282,837 | | | Series 2006-6-1A4 | | | 6.00% | | | | 07/25/2036 | | | | 17,198,429 | |
| | 15,144,385 | | | Series 2006-6-3A1 | | | 7.00% | | | | 07/25/2036 | | | | 5,794,090 | |
| | 837,115 | | | Series 2006-7-3A11 | | | 6.00% | | | | 08/25/2036 | | | | 728,323 | |
| | 9,252,873 | | | Series 2006-7-7A5 | | | 6.00% | | | | 08/25/2036 | | | | 7,852,793 | |
| | 11,564,194 | | | Series 2006-9-2A1 | | | 5.50% | | | | 11/25/2036 | | | | 11,472,472 | |
| | 39,695,982 | | | Series 2006-9-3A1 | | | 6.00% | | | | 11/25/2036 | | | | 40,525,251 | |
| | 9,621,886 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 9,667,561 | |
| | 19,832,481 | | | Series 2006-9-6A14 | | | 6.00% | | | | 11/25/2036 | | | | 18,876,437 | |
| | 3,221,890 | | | Series 2006-9-6A15 | | | 38.83% | # I/F | | | 11/25/2036 | | | | 5,673,226 | |
| | 14,149,885 | | | Series 2007-1-1A4 | | | 6.13% | # | | | 02/25/2037 | | | | 8,805,573 | |
| | 20,709,058 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 17,263,692 | |
| | 13,115,787 | | | Series 2007-1-5A14 | | | 6.00% | | | | 02/25/2037 | | | | 11,756,769 | |
| | 336,924 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 327,344 | |
| | 9,427,437 | | | Series 2007-5-2A5 | | | 5.00% | | | | 08/25/2037 | | | | 9,175,889 | |
| | 68,314,868 | | | Series 2007-5-3A19 | | | 6.00% | | | | 08/25/2037 | | | | 68,241,635 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, (Cont.) | |
| $ | 30,788,476 | | | Series 2007-5-3A9 | | | 6.00% | | | | 08/25/2037 | | | | 30,268,381 | |
| | 5,125,847 | | | Series 2009-1R-4A2 | | | 3.49% | #^ | | | 07/20/2035 | | | | 4,477,584 | |
| | 93,898,000 | | | Series 2010-17R-6A1 | | | 4.00% | #^ | | | 06/26/2037 | | | | 80,568,259 | |
| | 3,883,225 | | | Series 2010-1R-5A1 | | | 4.94% | #^ | | | 01/27/2036 | | | | 3,939,619 | |
| | 55,338,829 | | | Series 2010-2R-4A17 | | | 6.93% | #^ | | | 03/26/2037 | | | | 50,309,791 | |
| | 92,261,821 | | | Series 2010-4R-3A17 | | | 7.52% | #^ | | | 06/26/2037 | | | | 83,979,413 | |
| | 45,551,702 | | | Series 2010-4R-8A17 | | | 7.52% | #^ | | | 06/26/2037 | | | | 41,462,484 | |
| | 9,638,136 | | | Series 2010-6R-2A6A | | | 6.25% | ^ | | | 07/26/2037 | | | | 10,192,461 | |
| | 31,485,212 | | | Series 2010-7R-4A17 | | | 7.12% | #^ | | | 04/26/2037 | | | | 28,099,044 | |
| | 50,000,000 | | | Series 2010-9R-2A5 | | | 4.00% | ^ | | | 02/27/2038 | | | | 48,451,165 | |
| | 24,732,552 | | | Series 2011-16R-6A1 | | | 2.44% | #^ | | | 09/27/2035 | | | | 24,728,755 | |
| |
| | | | Credit-Based Asset Servicing and Securitization LLC, | |
| | 1,057,538 | | | Series 2005-CB6-A4 | | | 4.56% | # | | | 07/25/2035 | | | | 1,075,641 | |
| | 9,750,000 | | | Series 2007-MX1-A3 | | | 5.83% | #^ | | | 12/25/2036 | | | | 7,743,323 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 36,407,374 | | | Series 2005-4-A5 | | | 5.50% | # | | | 09/25/2035 | | | | 30,948,525 | |
| �� | 2,811,552 | | | Series 2005-5-1A6 | | | 34.62% | # I/F | | | 11/25/2035 | | | | 4,193,639 | |
| | 2,697,714 | | | Series 2005-5-2A1 | | | 0.38% | # | | | 11/25/2035 | | | | 1,692,875 | |
| | 8,141,995 | | | Series 2005-5-2A2 | | | 5.12% | # I/F I/O | | | 11/25/2035 | | | | 1,376,852 | |
| | 1,924,528 | | | Series 2006-AB2-A2 | | | 6.16% | # | | | 06/25/2036 | | | | 1,476,873 | |
| | 3,911,877 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 2,942,967 | |
| | 3,891,452 | | | Series 2006-AB4-A3 | | | 5.90% | # | | | 10/25/2036 | | | | 2,908,888 | |
| | 5,739,141 | | | Series 2006-AB4-A3A1 | | | 5.90% | # | | | 10/25/2036 | | | | 4,290,180 | |
| | 11,445,314 | | | Series 2006-AB4-A6A1 | | | 5.87% | # | | | 10/25/2036 | | | | 8,538,627 | |
| | 14,083,605 | | | Series 2006-AF1-A3 | | | 0.36% | # | | | 04/25/2036 | | | | 13,779,920 | |
| | 108,752,509 | | | Series 2007-1-1A3A | | | 0.39% | # | | | 08/25/2037 | | | | 83,543,678 | |
| | 27,040,760 | | | Series 2007-OA5-A1B | | | 0.40% | # | | | 08/25/2047 | | | | 22,478,145 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 32,973,989 | | | Series 2006-PR1-3A1 | | | 11.87% | #^ I/F | | | 04/15/2036 | | | | 35,262,054 | |
| | 10,352,775 | | | Series 2006-PR1-4AI1 | | | 11.85% | #^ I/F | | | 04/15/2036 | | | | 11,670,952 | |
| | 16,960,767 | | | Series 2006-PR1-4AI2 | | | 14.26% | #^ I/F | | | 04/15/2036 | | | | 19,384,809 | |
| | 814,877 | | | Series 2006-PR1-5AI1 | | | 18.80% | #^ I/F | | | 04/15/2036 | | | | 1,157,577 | |
| | 7,085,663 | | | Series 2006-PR1-5AI3 | | | 12.31% | #^ I/F | | | 04/15/2036 | | | | 8,529,873 | |
| | 117,321,557 | | | Series 2006-PR1-5AI4 | | | 11.87% | #^ I/F | | | 04/15/2036 | | | | 139,534,869 | |
| | 29,583,363 | | | Series 2009-RS2-4A2 | | | 0.31% | #^ | | | 04/26/2037 | | | | 26,863,528 | |
| |
| | | | Ellington Loan Acquisition Trust, | |
| | 348,957 | | | Series 2007-1-A2A2 | | | 0.98% | #^ | | | 05/27/2037 | | | | 348,498 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 15,198,071 | | | Series 2006-FF1-2A3 | | | 0.42% | # | | | 01/25/2036 | | | | 14,658,790 | |
| | 21,350,434 | | | Series 2006-FF3-A2B | | | 0.38% | # | | | 02/25/2036 | | | | 19,560,329 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 19,798,701 | | | Series 2005-AA4-1A1 | | | 2.35% | # | | | 05/25/2035 | | | | 16,760,412 | |
| | 12,064,949 | | | Series 2005-FA5-1A4 | | | 5.50% | | | | 08/25/2035 | | | | 11,759,410 | |
| | 18,428,182 | | | Series 2005-FA8-1A4 | | | 5.50% | | | | 11/25/2035 | | | | 17,093,594 | |
| | 2,572,150 | | | Series 2005-FA8-2A1 | | | 5.00% | | | | 11/25/2020 | | | | 2,635,537 | |
| | 7,425,749 | | | Series 2006-FA1-1A12 | | | 6.00% | | | | 04/25/2036 | | | | 6,731,650 | |
| | 717,354 | | | Series 2006-FA1-1A6 | | | 0.93% | # | | | 04/25/2036 | | | | 701,637 | �� |
| | 5,039,710 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 4,246,566 | |
| | 1,443,753 | | | Series 2006-FA7-A8 | | | 6.25% | | | | 12/25/2036 | | | | 1,256,722 | |
| | 6,812,544 | | | Series 2006-FA8-1A5 | | | 6.00% | | | | 02/25/2037 | | | | 5,565,140 | |
| | 16,269,124 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 15,564,780 | |
| | 2,088,534 | | | Series 2007-FA3-A4 | | | 6.00% | | | | 06/25/2037 | | | | 1,694,962 | |
| | 2,295,205 | | | Series 2007-FA4-1A13 | | | 6.25% | | | | 08/25/2037 | | | | 1,975,108 | |
| | 3,329,154 | | | Series 2007-FA4-1A5 | | | 6.25% | | | | 08/25/2037 | | | | 2,864,860 | |
| |
| | | | First Horizon Asset Securities, Inc., | |
| | 13,605,387 | | | Series 2007-1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 12,268,032 | |
| | 6,519,407 | | | Series 2007-4-1A1 | | | 6.00% | | | | 08/25/2037 | | | | 6,128,021 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 14,800,723 | | | Series 2005-AR5-3A1 | | | 3.62% | # | | | 09/19/2035 | | | | 13,894,489 | |
| | 23,406,418 | | | Series 2005-J1-A14 | | | 5.50% | | | | 12/25/2035 | | | | 23,184,911 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 2,417,472 | | | Series 2008-2R-1A1 | | | 7.50% | #^ | | | 09/25/2036 | | | | 1,926,830 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 1,047,134 | | | Series 2005-12-AF3 | | | 5.07% | # | | | 09/25/2035 | | | | 972,969 | |
| | 27,829,187 | | | Series 2005-7-AF2 | | | 4.48% | # | | | 05/25/2035 | | | | 27,442,779 | |
| | 45,361,000 | | | Series 2005-7-AF3 | | | 4.75% | # | | | 05/25/2035 | | | | 42,787,035 | |
| | 14,204,138 | | | Series 2006-10-AF3 | | | 5.98% | # | | | 06/25/2036 | | | | 7,904,858 | |
| | 10,166,145 | | | Series 2006-10-AF4 | | | 6.30% | # | | | 06/25/2036 | | | | 5,655,203 | |
| | 19,904,284 | | | Series 2006-15-AF4 | | | 5.96% | # | | | 09/25/2036 | | | | 12,095,475 | |
| | 3,292,684 | | | Series 2006-18-AF3A | | | 5.77% | # | | | 11/25/2036 | | | | 2,004,665 | |
| | 6,895,067 | | | Series 2006-18-AF6 | | | 5.68% | # | | | 11/25/2036 | | | | 3,844,503 | |
| | 11,892,214 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 10,041,012 | |
| | 5,544,665 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 4,349,723 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 21 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | GSMPS Mortgage Loan Trust, | |
| $ | 22,467,613 | | | Series 2005-RP2-1AF | | | 0.53% | #^ | | | 03/25/2035 | | | | 19,194,891 | |
| | 22,467,613 | | | Series 2005-RP2-1AS | | | 5.06% | #^ I/O | | | 03/25/2035 | | | | 3,177,595 | |
| | 12,526,494 | | | Series 2005-RP3-1AF | | | 0.53% | #^ | | | 09/25/2035 | | | | 10,480,592 | |
| | 12,526,494 | | | Series 2005-RP3-1AS | | | 4.89% | #^ I/O | | | 09/25/2035 | | | | 1,878,811 | |
| | 47,840,465 | | | Series 2006-RP1-1AS | | | 4.75% | #^ I/O | | | 01/25/2036 | | | | 6,904,958 | |
| | 47,840,465 | | | Series 2006-RP1-AF1 | | | 0.53% | #^ | | | 01/25/2036 | | | | 39,625,874 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 5,534,971 | | | Series 2005-1F-1A2 | | | 5.50% | | | | 02/25/2035 | | | | 5,559,917 | |
| | 11,428,995 | | | Series 2005-1F-3A3 | | | 6.00% | | | | 01/25/2035 | | | | 11,440,218 | |
| | 1,995,684 | | | Series 2005-6F-3A5 | | | 6.00% | | | | 07/25/2035 | | | | 2,021,075 | |
| | 19,541,510 | | | Series 2005-6F-3A9 | | | 6.72% | # I/F I/O | | | 07/25/2035 | | | | 3,582,193 | |
| | 1,824,304 | | | Series 2005-6F-4A1 | | | 0.68% | # | | | 07/25/2035 | | | | 1,432,082 | |
| | 1,502,665 | | | Series 2005-7F-3A1 | | | 0.68% | # | | | 09/25/2035 | | | | 1,309,686 | |
| | 25,051,756 | | | Series 2005-8F-3A5 | | | 6.00% | | | | 11/25/2035 | | | | 23,395,709 | |
| | 7,541,292 | | | Series 2005-8F-4A1 | | | 6.00% | | | | 11/25/2035 | | | | 7,214,181 | |
| | 4,200,966 | | | Series 2006-1F-1A2 | | | 5.50% | | | | 02/25/2036 | | | | 4,140,813 | |
| | 2,555,663 | | | Series 2006-2F-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 2,490,219 | |
| | 8,104,956 | | | Series 2006-2F-3A3 | | | 6.00% | | | | 02/25/2036 | | | | 7,377,852 | |
| | 28,632,513 | | | Series 2006-6F-2A3 | | | 6.00% | | | | 07/25/2036 | | | | 26,049,946 | |
| | 29,568,889 | | | Series 2006-7F-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 26,711,470 | |
| | 14,091,748 | | | Series 2006-7F-3A4 | | | 6.25% | | | | 08/25/2036 | | | | 12,076,910 | |
| | 26,068,715 | | | Series 2006-9F-2A1 | | | 6.00% | | | | 10/25/2036 | | | | 23,851,571 | |
| | 45,879,695 | | | Series 2006-9F-4A1 | | | 6.50% | | | | 10/25/2036 | | | | 40,570,313 | |
| | 522,207 | | | Series 2006-9F-8A1 | | | 5.50% | | | | 08/25/2021 | | | | 516,716 | |
| | 50,036,296 | | | Series 2006-OA1-2A1 | | | 0.37% | # | | | 08/25/2046 | | | | 48,416,321 | |
| | 5,121,309 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 4,863,262 | |
| | 6,825,386 | | | Series 2007-4F-1A1 | | | 5.00% | | | | 07/25/2037 | | | | 6,395,285 | |
| | 83,655,953 | | | Series 2007-4F-3A11 | | | 6.00% | | | | 07/25/2037 | | | | 77,914,561 | |
| |
| | | | Harborview Mortgage Loan Trust, | |
| | 5,046,929 | | | Series 2005-14-3A1A | | | 2.78% | # | | | 12/19/2035 | | | | 4,242,378 | |
| | 12,549,231 | | | Series 2006-10-2A1A | | | 0.36% | # | | | 11/19/2036 | | | | 10,196,790 | |
| |
| | | | Home Equity Asset Trust, | |
| | 2,268,985 | | | Series 2003-3-M1 | | | 1.47% | # | | | 08/25/2033 | | | | 2,096,767 | |
| | 2,947,516 | | | Series 2004-7-M2 | | | 1.17% | # | | | 01/25/2035 | | | | 2,796,556 | |
| |
| | | | Homebanc Mortgage Trust, | |
| | 3,182,118 | | | Series 2005-1-M2 | | | 0.67% | # | | | 03/25/2035 | | | | 2,229,650 | |
| | 50,816,353 | | | Series 2005-3-A1 | | | 0.42% | # | | | 07/25/2035 | | | | 45,916,539 | |
| | 5,723,976 | | | Series 2006-1-3A1 | | | 2.51% | # | | | 04/25/2037 | | | | 4,544,751 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 2,757,010 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 2,644,459 | |
| | 67,534,336 | | | Series 2007-2-3A6 | | | 6.00% | | | | 09/25/2037 | | | | 58,517,016 | |
| | 10,757,478 | | | Series 2007-AR1-3A1 | | | 5.39% | # | | | 01/25/2037 | | | | 8,532,799 | |
| |
| | | | IMPAC Trust, | |
| | 1,949,182 | | | Series 2002-9F-A1 | | | 5.22% | # | | | 12/25/2032 | | | | 1,984,638 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 10,458,073 | | | Series 2006-AR2-4A1 | | | 2.74% | # | | | 09/25/2036 | | | | 8,668,080 | |
| | 44,228,440 | | | Series 2006-AR3-1A1 | | | 2.88% | # | | | 12/25/2036 | | | | 37,534,245 | |
| | 12,860,845 | | | Series 2007-A1-A1 | | | 6.00% | | | | 08/25/2037 | | | | 11,145,967 | |
| | 9,415,143 | | | Series 2007-A1-A7 | | | 6.00% | | | | 08/25/2037 | | | | 8,159,719 | |
| | 41,252,403 | | | Series 2007-A3-A1 | | | 6.25% | | | | 11/25/2037 | | | | 37,274,434 | |
| | 16,377,559 | | | Series 2007-AR3-3A1 | | | 5.71% | # | | | 07/25/2037 | | | | 14,944,114 | |
| | 1,052,651 | | | Series 2007-F2-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 869,494 | |
| | 33,149,141 | | | Series 2007-F2-2A1 | | | 6.50% | | | | 07/25/2037 | | | | 19,724,501 | |
| |
| | | | Jefferies & Company, Inc., | |
| | 8,684,305 | | | Series 2010-R1-1A1 | | | 6.00% | #^ | | | 03/26/2037 | | | | 9,267,841 | |
| | 1,694,554 | | | Series 2010-R6-1A2 | | | 6.00% | ^ | | | 09/26/2037 | | | | 1,720,454 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 24,693,928 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 21,703,221 | |
| | 7,916,346 | | | Series 2005-S1-2A9 | | | 6.00% | | | | 12/25/2035 | | | | 6,956,869 | |
| | 7,918,034 | | | Series 2006-S1-1A8 | | | 5.75% | | | | 03/25/2036 | | | | 6,762,025 | |
| | 6,394,569 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 4,404,477 | |
| | 13,219,104 | | | Series 2006-S4-A3A | | | 5.78% | # | | | 12/25/2036 | | | | 12,079,829 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 16,000,000 | | | Series 2006-CH2-AF3 | | | 5.34% | # | | | 10/25/2036 | | | | 12,235,872 | |
| | 5,673,398 | | | Series 2006-WF1-A5 | | | 6.41% | # | | | 07/25/2036 | | | | 3,384,647 | |
| | 15,000,000 | | | Series 2007-CH1-AF5 | | | 5.54% | # | | | 11/25/2036 | | | | 13,441,185 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 4,069,520 | | | Series 2005-A6-5A1 | | | 5.16% | # | | | 08/25/2035 | | | | 4,040,326 | |
| | 5,536,680 | | | Series 2005-S2-2A13 | | | 5.50% | | | | 09/25/2035 | | | | 5,639,056 | |
| | 4,264,685 | | | Series 2006-S2-3A3 | | | 6.00% | | | | 07/25/2036 | | | | 3,849,940 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Mortgage Trust, (Cont.) | |
| $ | 13,545,513 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 08/25/2036 | | | | 12,238,885 | |
| | 13,553,395 | | | Series 2006-S3-1A21 | | | 0.56% | # | | | 08/25/2036 | | | | 8,298,554 | |
| | 13,553,395 | | | Series 2006-S3-1A22 | | | 6.94% | # I/F I/O | | | 08/25/2036 | | | | 3,393,899 | |
| | 6,311,760 | | | Series 2006-S3-1A9 | | | 6.00% | | | | 08/25/2036 | | | | 5,702,915 | |
| | 17,464,862 | | | Series 2006-S4-A8 | | | 0.56% | # | | | 01/25/2037 | | | | 10,901,252 | |
| | 17,464,862 | | | Series 2006-S4-A9 | | | 6.44% | # I/F I/O | | | 01/25/2037 | | | | 3,943,845 | |
| | 4,727,466 | | | Series 2007-A2-2A1 | | | 2.77% | # | | | 04/25/2037 | | | | 3,934,623 | |
| | 21,596,347 | | | Series 2007-S1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 17,928,769 | |
| | 9,480,302 | | | Series 2007-S3-1A1 | | | 5.50% | | | | 08/25/2037 | | | | 8,043,316 | |
| | 15,733,553 | | | Series 2007-S3-1A35 | | | 6.00% | | | | 08/25/2037 | | | | 13,773,860 | |
| | 2,664,073 | | | Series 2007-S3-1A9 | | | 6.00% | | | | 08/25/2037 | | | | 2,335,366 | |
| | 14,507,133 | | | Series 2007-S3-1A96 | | | 6.00% | | | | 08/25/2037 | | | | 12,717,171 | |
| | 16,521,292 | | | Series 2007-S3-1A97 | | | 6.00% | | | | 08/25/2037 | | | | 14,482,812 | |
| | 7,323,720 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 7,255,173 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 23,495,545 | | | Series 2010-1-1A4 | | | 6.00% | ^ | | | 02/26/2037 | | | | 16,255,832 | |
| | 19,185,851 | | | Series 2010-2-3A9 | | | 6.00% | ^ | | | 07/26/2036 | | | | 14,679,427 | |
| | 5,687,912 | | | Series 2010-8-2A3 | | | 4.50% | #^ | | | 11/26/2034 | | | | 5,793,959 | |
| | 6,068,192 | | | Series 2012-2-3A3 | | | 2.68% | #^ | | | 10/26/2036 | | | | 6,090,384 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 7,639,887 | | | Series 2005-2-3A5 | | | 5.50% | | | | 12/25/2035 | | | | 6,501,483 | |
| | 7,982,096 | | | Series 2005-2-5A5 | | | 5.75% | | | | 12/25/2035 | | | | 7,301,295 | |
| | 11,605,678 | | | Series 2005-3-2A1 | | | 6.00% | | | | 01/25/2036 | | | | 11,064,876 | |
| | 1,044,197 | | | Series 2005-3-2A3 | | | 5.50% | | | | 01/25/2036 | | | | 932,988 | |
| | 5,391,522 | | | Series 2005-3-2A7 | | | 6.00% | | | | 01/25/2036 | | | | 4,903,390 | |
| | 3,818,938 | | | Series 2006-1-1A1 | | | 0.93% | # | | | 02/25/2036 | | | | 2,263,202 | |
| | 11,456,814 | | | Series 2006-1-1A2 | | | 4.57% | # I/F I/O | | | 02/25/2036 | | | | 1,702,689 | |
| | 18,194,118 | | | Series 2006-1-3A1 | | | 0.93% | # | | | 02/25/2036 | | | | 14,341,004 | |
| | 18,194,118 | | | Series 2006-1-3A2 | | | 4.57% | # I/F I/O | | | 02/25/2036 | | | | 2,733,011 | |
| | 7,768,826 | | | Series 2006-1-3A4 | | | 5.50% | | | | 02/25/2036 | | | | 7,251,469 | |
| | 7,526,083 | | | Series 2006-4-1A3 | | | 5.22% | # I/F I/O | | | 08/25/2036 | | | | 1,161,049 | |
| | 4,783,415 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 4,102,659 | |
| | 12,134,839 | | | Series 2006-5-2A1 | | | 0.53% | # | | | 09/25/2036 | | | | 5,208,746 | |
| | 25,276,739 | | | Series 2006-5-2A2 | | | 6.97% | # I/F I/O | | | 09/25/2036 | | | | 7,844,611 | |
| | 21,564,136 | | | Series 2006-6-3A9 | | | 5.50% | | | | 10/25/2036 | | | | 17,532,397 | |
| | 14,998,076 | | | Series 2006-6-4A5 | | | 6.00% | | | | 12/25/2036 | | | | 14,767,623 | |
| | 6,007,053 | | | Series 2006-7-2A2 | | | 0.63% | # | | | 11/25/2036 | | | | 2,672,937 | |
| | 18,233,515 | | | Series 2006-7-2A5 | | | 6.37% | # I/F I/O | | | 11/25/2036 | | | | 3,924,416 | |
| | 5,856,075 | | | Series 2006-9-1A19 | | | 29.86% | # I/F | | | 01/25/2037 | | | | 8,537,440 | |
| | 6,505,429 | | | Series 2006-9-1A5 | | | 0.78% | # | | | 01/25/2037 | | | | 3,288,553 | |
| | 19,323,691 | | | Series 2006-9-1A6 | | | 4.97% | # I/F I/O | | | 01/25/2037 | | | | 3,295,839 | |
| | 7,665,066 | | | Series 2006-9-2A1 | | | 0.56% | # | | | 01/25/2037 | | | | 3,298,412 | |
| | 16,721,455 | | | Series 2006-9-2A2 | | | 6.44% | # I/F I/O | | | 01/25/2037 | | | | 4,207,912 | |
| | 18,494,329 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 16,634,595 | |
| | 5,360,358 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 4,000,440 | |
| | 5,032,244 | | | Series 2007-4-2A11 | | | 0.51% | # | | | 05/25/2037 | | | | 1,961,692 | |
| | 18,806,048 | | | Series 2007-4-2A8 | | | 6.49% | # I/F I/O | | | 05/25/2037 | | | | 5,348,910 | |
| | 1,908,930 | | | Series 2007-4-2A9 | | | 0.51% | # | | | 05/25/2037 | | | | 1,005,653 | |
| | 23,401,786 | | | Series 2007-5-11A1 | | | 5.65% | # | | | 06/25/2037 | | | | 16,795,017 | |
| | 13,364,272 | | | Series 2007-5-3A4 | | | 5.00% | | | | 12/25/2035 | | | | 12,639,300 | |
| | 3,889,994 | | | Series 2007-5-4A3 | | | 39.01% | # I/F | | | 08/25/2036 | | | | 6,127,787 | |
| | 1,558,500 | | | Series 2007-5-7A3 | | | 7.50% | | | | 10/25/2036 | | | | 1,315,539 | |
| | 1,313,407 | | | Series 2007-6-1A8 | | | 6.00% | | | | 07/25/2037 | | | | 1,128,294 | |
| | 11,364,894 | | | Series 2008-2-1A6 | | | 6.00% | | | | 03/25/2038 | | | | 10,622,232 | |
| |
| | | | Lehman XS Trust, | |
| | 2,974,130 | | | Series 2005-10-2A3B | | | 5.55% | # | | | 01/25/2036 | | | | 2,577,884 | |
| | 15,673,794 | | | Series 2005-4-2A3A | | | 5.00% | # | | | 10/25/2035 | | | | 11,829,686 | |
| | 5,229,951 | | | Series 2006-5-2A4A | | | 5.89% | # | | | 04/25/2036 | | | | 4,754,591 | |
| | 29,988,267 | | | Series 2007-1-2A1 | | | 5.87% | # | | | 02/25/2037 | | | | 26,499,522 | |
| |
| | | | Long Beach Mortgage Loan Trust, | |
| | 11,285,942 | | | Series 2006-WL1-2A3 | | | 0.42% | # | | | 01/25/2046 | | | | 10,025,313 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 6,804,997 | | | Series 2005-2-2A1 | | | 2.45% | # | | | 03/25/2035 | | | | 5,313,763 | |
| | 8,022,602 | | | Series 2005-6-5A1 | | | 2.58% | # | | | 07/25/2035 | | | | 6,933,975 | |
| | 31,065,000 | | | Series 2007-1-2A1 | | | 2.95% | # | | | 11/25/2036 | | | | 26,583,656 | |
| | 9,840,586 | | | Series 2007-2-A2 | | | 0.29% | # | | | 03/25/2047 | | | | 9,444,586 | |
| |
| | | | MASTR Alternative Loans Trust, | |
| | 3,418,132 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 3,473,583 | |
| | 1,390,728 | | | Series 2005-5-2A3 | | | 5.50% | | | | 07/25/2025 | | | | 1,387,834 | |
| | 9,205,902 | | | Series 2005-6-1A5 | | | 5.50% | | | | 12/25/2035 | | | | 8,308,456 | |
| | 4,939,213 | | | Series 2006-3-1A2 | | | 6.25% | | | | 07/25/2036 | | | | 4,132,990 | |
| | 12,179,052 | | | Series 2007-1-1A5 | | | 5.75% | | | | 10/25/2036 | | | | 11,350,816 | |
| | 10,745,059 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 8,753,194 | |
| | | | | | |
| 22 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | MASTR Asset Backed Securities Trust, | |
| $ | 4,975,000 | | | Series 2003-OPT1-M3 | | | 4.30% | # | | | 12/25/2032 | | | | 4,476,480 | |
| | 27,121,627 | | | Series 2006-AM2-A3 | | | 0.35% | # | | | 06/25/2036 | | | | 20,385,103 | |
| | 5,845,897 | | | Series 2006-NC1-A3 | | | 0.37% | # | | | 01/25/2036 | | | | 5,725,544 | |
| |
| | | | MASTR Asset Securitization Trust, | |
| | 570,919 | | | Series 2003-1-30B2 | | | 5.75% | | | | 02/25/2033 | | | | 571,132 | |
| | 852,905 | | | Series 2007-1-1A1 | | | 5.50% | | | | 11/25/2037 | | | | 853,995 | |
| | 8,154,643 | | | Series 2007-1-1A3 | | | 6.25% | | | | 11/25/2037 | | | | 7,183,792 | |
| |
| | | | MASTR Seasoned Securitization Trust, | |
| | 1,604,576 | | | Series 2005-2-1A4 | | | 6.00% | | | | 10/25/2032 | | | | 1,518,831 | |
| | 2,649,512 | | | Series 2005-2-2A1 | | | 0.58% | # | | | 10/25/2032 | | | | 2,313,996 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 14,146,717 | | | Series 2006-3-1A | | | 2.37% | # | | | 10/25/2036 | | | | 13,486,490 | |
| | 5,230,438 | | | Series 2006-F1-1A2 | | | 6.00% | | | | 04/25/2036 | | | | 4,930,566 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 1,592,746 | | | Series 2003-NC6-M2 | | | 3.10% | # | | | 06/25/2033 | | | | 1,399,378 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 4,149,244 | | | Series 2005-10-1A1 | | | 0.88% | # | | | 12/25/2035 | | | | 3,132,330 | |
| | 10,395,725 | | | Series 2005-10-1A6 | | | 5.75% | | | | 12/25/2035 | | | | 9,811,236 | |
| | 11,593,781 | | | Series 2005-10-2A1 | | | 5.55% | # | | | 12/25/2035 | | | | 11,403,515 | |
| | 1,671,061 | | | Series 2005-6AR-1A1 | | | 0.46% | # | | | 11/25/2035 | | | | 1,581,815 | |
| | 7,323,724 | | | Series 2006-11-1A6 | | | 6.23% | # | | | 08/25/2036 | | | | 3,704,625 | |
| | 19,341,019 | | | Series 2006-11-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 15,384,813 | |
| | 10,428,820 | | | Series 2006-17XS-A3A | | | 5.65% | # | | | 10/25/2046 | | | | 7,104,977 | |
| | 3,186,502 | | | Series 2006-17XS-A6 | | | 5.58% | # | | | 10/25/2046 | | | | 1,935,625 | |
| | 1,184,126 | | | Series 2006-2-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 1,101,477 | |
| | 61,127,957 | | | Series 2006-7-3A | | | 5.48% | # | | | 06/25/2036 | | | | 51,610,700 | |
| | 4,974,362 | | | Series 2006-7-4A4 | | | 6.00% | | | | 06/25/2036 | | | | 4,158,944 | |
| | 5,035,218 | | | Series 2006-7-4A7 | | | 6.00% | | | | 06/25/2036 | | | | 4,209,825 | |
| | 6,957,067 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 5,408,973 | |
| | 26,285,206 | | | Series 2007-14AR-2A3 | | | 2.41% | # | | | 10/25/2037 | | | | 20,973,360 | |
| | 4,985,555 | | | Series 2007-1XS-2A3 | | | 5.92% | # | | | 09/25/2046 | | | | 3,081,292 | |
| | 3,712,110 | | | Series 2007-1XS-2A4A | | | 6.08% | # | | | 09/25/2046 | | | | 2,493,480 | |
| | 2,521,582 | | | Series 2007-3XS-1A2A | | | 5.62% | # | | | 01/25/2047 | | | | 2,351,269 | |
| | 11,147,144 | | | Series 2007-3XS-2A3S | | | 5.86% | # | | | 01/25/2047 | | | | 7,698,942 | |
| | 6,520,027 | | | Series 2007-3XS-2A4S | | | 5.96% | # | | | 01/25/2047 | | | | 4,502,770 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 3,429,329 | | | Series 2010-R9-1A | | | 4.00% | #^ | | | 08/26/2036 | | | | 3,493,316 | |
| | 7,554,465 | | | Series 2010-R9-1B | | | 6.93% | #^ | | | 08/26/2036 | | | | 5,788,259 | |
| | 62,246,022 | | | Series 2010-R9-3C | | | 6.99% | #^ | | | 11/26/2036 | | | | 50,373,533 | |
| | 8,534,084 | | | Series 2011-R1-1A | | | 5.94% | #^ | | | 02/26/2037 | | | | 9,170,137 | |
| |
| | | | MSCC Heloc Trust, | |
| | 39,048,036 | | | Series 2007-1-A | | | 0.28% | # | | | 12/25/2031 | | | | 35,467,253 | |
| |
| | | | New York Mortgage Trust, | |
| | 1,743,792 | | | Series 2005-2-A | | | 0.51% | # | | | 08/25/2035 | | | | 1,650,464 | |
| |
| | | | Newcastle Mortgage Securities Trust, | |
| | 32,052,919 | | | Series 2006-1-A3 | | | 0.36% | # | | | 03/25/2036 | | | | 31,674,022 | |
| |
| | | | Nomura Asset Acceptance Corporation, | |
| | 1,705,753 | | | Series 2005-AP1-2A5 | | | 4.86% | # | | | 02/25/2035 | | | | 1,702,294 | |
| | 20,611,064 | | | Series 2006-AF1-1A2 | | | 6.16% | # | | | 05/25/2036 | | | | 12,133,940 | |
| | 4,188,536 | | | Series 2006-AF1-1A3 | | | 6.41% | # | | | 05/25/2036 | | | | 2,476,820 | |
| | 20,141,135 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 14,301,757 | |
| | 4,371,487 | | | Series 2006-AP1-A3 | | | 5.65% | # | | | 01/25/2036 | | | | 3,131,716 | |
| | 2,216,997 | | | Series 2006-WF1-A2 | | | 5.76% | # | | | 06/25/2036 | | | | 1,398,916 | |
| |
| | | | Nomura Home Equity Loan, Inc., | |
| | 21,990,546 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 11,421,538 | |
| | 4,035,188 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 2,477,460 | |
| | 20,112,309 | | | Series 2007-1-1A3 | | | 5.99% | # | | | 02/25/2037 | | | | 12,299,622 | |
| |
| | | | Option One Mortgage Loan Trust, | |
| | 1,155,377 | | | Series 2002-2-A | | | 0.72% | # | | | 06/25/2032 | | | | 1,059,760 | |
| | 1,770,692 | | | Series 2004-3-M3 | | | 1.15% | # | | | 11/25/2034 | | | | 1,634,115 | |
| |
| | | | PFCA Home Equity Investment Trust, | |
| | 70,010,509 | | | Series 2003-IFC5-A | | | 4.12% | #^ | | | 01/22/2035 | | | | 66,639,027 | |
| | 67,934,728 | | | Series 2003-IFC6-A | | | 3.89% | #^ | | | 04/22/2035 | | | | 62,557,721 | |
| |
| | | | PHH Alternative Mortgage Trust, | |
| | 1,933,956 | | | Series 2007-2-3A1 | | | 6.00% | | | | 05/25/2037 | | | | 1,582,896 | |
| | 36,143,299 | | | Series 2007-3-A2 | | | 0.37% | # | | | 07/25/2037 | | | | 30,856,221 | |
| |
| | | | Popular ABS Mortgage Pass-Through Trust, | |
| | 1,183,723 | | | Series 2005-5-AF6 | | | 4.90% | # | | | 11/25/2035 | | | | 1,166,803 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Prime Mortgage Trust, | |
| $ | 1,851,062 | | | Series 2006-1-2A5 | | | 6.00% | | | | 06/25/2036 | | | | 1,813,462 | |
| | 4,893,308 | | | Series 2006-DR1-2A1 | | | 5.50% | ^ | | | 05/25/2035 | | | | 4,697,251 | |
| | 7,485,335 | | | Series 2006-DR1-2A2 | | | 6.00% | ^ | | | 05/25/2035 | | | | 7,518,398 | |
| |
| | | | RAAC Series, | |
| | 5,929,230 | | | Series 2007-SP2-A1 | | | 0.38% | # | | | 06/25/2047 | | | | 5,885,105 | |
| |
| | | | RBSGC Structured Trust, | |
| | 60,841,651 | | | Series 2008-B-A1 | | | 6.00% | ^ | | | 06/25/2037 | | | | 55,617,331 | |
| |
| | | | Renaissance Home Equity Loan Trust, | |
| | 1,807,820 | | | Series 2006-1-AF6 | | | 5.75% | # | | | 05/25/2036 | | | | 1,335,601 | |
| | 11,105,487 | | | Series 2006-4-AF4 | | | 5.47% | # | | | 01/25/2037 | | | | 6,290,026 | |
| | 21,868,965 | | | Series 2006-4-AF5 | | | 5.69% | # | | | 01/25/2037 | | | | 12,852,762 | |
| | 18,336,238 | | | Series 2007-2-AF2 | | | 5.68% | # | | | 06/25/2037 | | | | 9,853,601 | |
| | 9,916,840 | | | Series 2007-2-AF5 | | | 6.20% | # | | | 06/25/2037 | | | | 5,831,063 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 11,084,808 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 11,420,822 | |
| | 1,157,673 | | | Series 2005-QS12-A11 | | | 49.18% | # I/F | | | 08/25/2035 | | | | 2,362,474 | |
| | 5,405,077 | | | Series 2005-QS13-1A6 | | | 5.50% | | | | 09/25/2035 | | | | 4,626,724 | |
| | 9,069,279 | | | Series 2005-QS13-2A1 | | | 0.88% | # | | | 09/25/2035 | | | | 6,186,101 | |
| | 37,184,044 | | | Series 2005-QS13-2A2 | | | 4.87% | # I/F I/O | | | 09/25/2035 | | | | 4,689,150 | |
| | 15,628,035 | | | Series 2005-QS14-2A1 | | | 6.00% | | | | 09/25/2035 | | | | 12,852,746 | |
| | 7,748,112 | | | Series 2005-QS15-2A | | | 6.00% | | | | 10/25/2035 | | | | 5,841,294 | |
| | 8,373,380 | | | Series 2005-QS15-3A | | | 6.00% | | | | 10/25/2035 | | | | 7,093,793 | |
| | 9,088,251 | | | Series 2005-QS16-A1 | | | 0.88% | # | | | 11/25/2035 | | | | 6,725,651 | |
| | 9,086,680 | | | Series 2005-QS16-A2 | | | 4.62% | # I/F I/O | | | 11/25/2035 | | | | 1,253,667 | |
| | 4,194,183 | | | Series 2005-QS17-A1 | | | 6.00% | | | | 12/25/2035 | | | | 3,471,953 | |
| | 2,906,353 | | | Series 2005-QS17-A10 | | | 6.00% | | | | 12/25/2035 | | | | 2,405,832 | |
| | 12,155,628 | | | Series 2005-QS17-A11 | | | 6.00% | | | | 12/25/2035 | | | | 10,062,234 | |
| | 8,639,837 | | | Series 2005-QS17-A2 | | | 1.03% | # | | | 12/25/2035 | | | | 6,010,035 | |
| | 8,639,837 | | | Series 2005-QS17-A4 | | | 4.97% | # I/F I/O | | | 12/25/2035 | | | | 1,074,403 | |
| | 6,951,881 | | | Series 2005-QS17-A6 | | | 6.00% | | | | 12/25/2035 | | | | 5,754,656 | |
| | 4,720,902 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 4,683,066 | |
| | 3,688,017 | | | Series 2005-QS5-A3 | | | 5.70% | | | | 04/25/2035 | | | | 3,422,292 | |
| | 3,365,446 | | | Series 2005-QS9-A1 | | | 0.68% | # | | | 06/25/2035 | | | | 2,792,179 | |
| | 8,370,390 | | | Series 2005-QS9-A4 | | | 4.82% | # I/F I/O | | | 06/25/2035 | | | | 1,295,251 | |
| | 3,423,809 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 2,635,918 | |
| | 3,589,774 | | | Series 2006-QS12-1A1 | | | 6.50% | | | | 09/25/2036 | | | | 2,573,405 | |
| | 8,783,810 | | | Series 2006-QS12-2A18 | | | 5.75% | | | | 09/25/2036 | | | | 7,056,122 | |
| | 13,712,994 | | | Series 2006-QS14-A18 | | | 6.25% | | | | 11/25/2036 | | | | 11,099,023 | |
| | 7,374,758 | | | Series 2006-QS15-A1 | | | 6.50% | | | | 10/25/2036 | | | | 5,730,010 | |
| | 2,697,902 | | | Series 2006-QS16-A10 | | | 6.00% | | | | 11/25/2036 | | | | 2,059,851 | |
| | 9,593,310 | | | Series 2006-QS16-A11 | | | 6.00% | | | | 11/25/2036 | | | | 7,324,464 | |
| | 2,800,394 | | | Series 2006-QS16-A7 | | | 6.00% | | | | 11/25/2036 | | | | 2,138,093 | |
| | 3,026,157 | | | Series 2006-QS16-A8 | | | 6.00% | | | | 11/25/2036 | | | | 2,310,462 | |
| | 1,197,507 | | | Series 2006-QS16-A9 | | | 6.00% | | | | 11/25/2036 | | | | 914,293 | |
| | 6,462,198 | | | Series 2006-QS17-A4 | | | 6.00% | | | | 12/25/2036 | | | | 4,916,175 | |
| | 35,901,174 | | | Series 2006-QS17-A5 | | | 6.00% | | | | 12/25/2036 | | | | 27,312,141 | |
| | 3,765,526 | | | Series 2006-QS1-A6 | | | 41.49% | # I/F | | | 01/25/2036 | | | | 6,364,312 | |
| | 25,503,828 | | | Series 2006-QS3-1A11 | | | 6.00% | | | | 03/25/2036 | | | | 21,932,961 | |
| | 5,407,135 | | | Series 2006-QS4-A8 | | | 8.00% | # I/F | | | 04/25/2036 | | | | 4,843,928 | |
| | 16,096,071 | | | Series 2006-QS5-A3 | | | 6.00% | | | | 05/25/2036 | | | | 13,283,444 | |
| | 20,709,167 | | | Series 2006-QS8-A1 | | | 6.00% | | | | 08/25/2036 | | | | 15,759,739 | |
| | 35,912,720 | | | Series 2006-QS8-A5 | | | 5.37% | # I/F I/O | | | 08/25/2036 | | | | 4,939,543 | |
| | 12,475,259 | | | Series 2006-QS9-1A6 | | | 5.12% | # I/F I/O | | | 07/25/2036 | | | | 2,036,505 | |
| | 11,022,565 | | | Series 2007-QS11-A1 | | | 7.00% | | | | 10/25/2037 | | | | 9,009,536 | |
| | 37,360,197 | | | Series 2007-QS1-1A2 | | | 5.27% | # I/F I/O | | | 01/25/2037 | | | | 5,097,351 | |
| | 3,760,700 | | | Series 2007-QS1-1A4 | | | 6.00% | | | | 01/25/2037 | | | | 3,031,812 | |
| | 9,463,842 | | | Series 2007-QS1-2A10 | | | 6.00% | | | | 01/25/2037 | | | | 7,599,796 | |
| | 1,651,893 | | | Series 2007-QS2-A6 | | | 6.25% | | | | 01/25/2037 | | | | 1,255,038 | |
| | 61,443,696 | | | Series 2007-QS3-A1 | | | 6.50% | | | | 02/25/2037 | | | | 49,313,973 | |
| | 9,797,580 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 7,732,280 | |
| | 7,307,184 | | | Series 2007-QS5-A1 | | | 5.50% | | | | 03/25/2037 | | | | 5,688,087 | |
| | 3,014,511 | | | Series 2007-QS5-A5 | | | 0.48% | # | | | 03/25/2037 | | | | 1,720,731 | |
| | 10,011,881 | | | Series 2007-QS5-A8 | | | 6.52% | # I/F I/O | | | 03/25/2037 | | | | 1,960,211 | |
| | 8,131,503 | | | Series 2007-QS6-A102 | | | 5.75% | | | | 04/25/2037 | | | | 6,492,728 | |
| | 2,614,515 | | | Series 2007-QS6-A13 | | | 53.51% | # I/F | | | 04/25/2037 | | | | 5,508,623 | |
| | 11,643,674 | | | Series 2007-QS6-A45 | | | 5.75% | | | | 04/25/2037 | | | | 9,297,078 | |
| | 18,556,419 | | | Series 2007-QS6-A6 | | | 6.25% | | | | 04/25/2037 | | | | 15,277,741 | |
| | 1,281,633 | | | Series 2007-QS6-A77 | | | 54.34% | # I/F | | | 04/25/2037 | | | | 2,751,008 | |
| | 13,576,332 | | | Series 2007-QS7-2A1 | | | 6.75% | | | | 06/25/2037 | | | | 8,762,287 | |
| | 58,526,790 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 44,262,407 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 12,300,000 | | | Series 2006-RZ3-A3 | | | 0.47% | # | | | 08/25/2036 | | | | 10,276,318 | |
| | 451,432 | | | Series 2004-RS4-AI6 | | | 5.07% | # | | | 04/25/2034 | | | | 466,461 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 23 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Asset Mortgage Products, Inc., (Cont.) | |
| $ | 2,552,096 | | | Series 2004-RS5-AI6 | | | 5.55% | # | | | 05/25/2034 | | | | 2,524,464 | |
| | 9,440,234 | | | Series 2004-RS7-A3 | | | 2.60% | # | | | 07/25/2034 | | | | 8,253,342 | |
| | 4,891,205 | | | Series 2004-RS7-AI6 | | | 5.22% | # | | | 07/25/2034 | | | | 4,745,202 | |
| | 1,060,312 | | | Series 2004-RS9-AI4 | | | 4.77% | # | | | 10/25/2032 | | | | 1,045,510 | |
| | 1,423,970 | | | Series 2004-RS9-AI6 | | | 4.72% | # | | | 07/25/2034 | | | | 1,321,849 | |
| | 3,273,399 | | | Series 2004-RZ2-AI4 | | | 5.35% | # | | | 02/25/2033 | | | | 3,147,871 | |
| | 7,550,000 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 6,937,431 | |
| | 7,268,829 | | | Series 2006-RS5-A3 | | | 0.35% | # | | | 09/25/2036 | | | | 6,856,025 | |
| | 12,760,000 | | | Series 2006-RX5-A3 | | | 0.43% | # | | | 08/25/2046 | | | | 10,835,907 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 609,095 | | | Series 2002-KS1-AI6 | | | 6.08% | # | | | 06/25/2032 | | | | 582,655 | |
| | 3,149,588 | | | Series 2003-KS11-MI1 | | | 5.13% | # | | | 01/25/2034 | | | | 3,033,779 | |
| | 4,825,754 | | | Series 2005-AHL3-A2 | | | 0.42% | # | | | 11/25/2035 | | | | 4,682,451 | |
| | 21,979,860 | | | Series 2006-EMX5-A3 | | | 0.34% | # | | | 07/25/2036 | | | | 17,795,400 | |
| | 1,513,929 | | | Series 2006-KS4-A3 | | | 0.33% | # | | | 06/25/2036 | | | | 1,492,968 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 9,417,668 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 7,501,738 | |
| | 6,949,035 | | | Series 2005-A12-A7 | | | 4.82% | # I/F I/O | | | 11/25/2035 | | | | 1,006,036 | |
| | 5,463,952 | | | Series 2005-A12-A8 | | | 0.73% | # | | | 11/25/2035 | | | | 4,034,456 | |
| | 20,810,081 | | | Series 2005-A15-5A3 | | | 5.75% | | | | 02/25/2036 | | | | 16,953,348 | |
| | 4,431,080 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 4,052,480 | |
| | 9,484,990 | | | Series 2005-A8CB-A11 | | | 6.00% | | | | 07/25/2035 | | | | 8,484,902 | |
| | 9,658,081 | | | Series 2005-A8CB-A2 | | | 4.82% | # I/F I/O | | | 07/25/2035 | | | | 1,301,055 | |
| | 8,545,019 | | | Series 2006-A10-A5 | | | 6.50% | | | | 09/25/2036 | | | | 6,045,328 | |
| | 1,592,359 | | | Series 2006-A1-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 1,297,840 | |
| | 12,110,692 | | | Series 2006-A12-A1 | | | 6.25% | | | | 11/25/2036 | | | | 9,331,943 | |
| | 12,674,778 | | | Series 2006-A13-A1 | | | 6.25% | | | | 12/25/2036 | | | | 9,248,799 | |
| | 25,890,021 | | | Series 2006-A1-3A2 | | | 6.00% | | | | 04/25/2036 | | | | 21,424,562 | |
| | 20,627,149 | | | Series 2006-A14C-2A6 | | | 0.63% | # | | | 12/25/2036 | | | | 7,459,076 | |
| | 45,521,023 | | | Series 2006-A14C-2A7 | | | 6.37% | # I/F I/O | | | 12/25/2036 | | | | 13,842,784 | |
| | 12,425,414 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 9,504,808 | |
| | 1,513,314 | | | Series 2006-A4-2A5 | | | 6.00% | | | | 05/25/2036 | | | | 1,308,650 | |
| | 7,041,570 | | | Series 2006-A8-1A1 | | | 6.00% | | | | 08/25/2036 | | | | 6,260,864 | |
| | 10,127,129 | | | Series 2006-R1-A1 | | | 27.68% | # I/F | | | 01/25/2046 | | | | 14,561,953 | |
| | 62,658,304 | | | Series 2007-A2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 55,519,142 | |
| | 1,664,487 | | | Series 2007-A3-1A2 | | | 45.01% | # I/F | | | 04/25/2037 | | | | 3,204,132 | |
| | 29,053,645 | | | Series 2007-A5-1A4 | | | 5.92% | # I/F I/O | | | 05/25/2037 | | | | 5,778,378 | |
| | 7,503,007 | | | Series 2007-A5-1A6 | | | 0.58% | # | | | 05/25/2037 | | | | 2,230,145 | |
| | 15,269,585 | | | Series 2007-A5-2A3 | | | 6.00% | | | | 05/25/2037 | | | | 13,385,059 | |
| | 6,691,879 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 5,865,988 | |
| | 24,847,207 | | | Series 2007-A6-1A2 | | | 6.00% | | | | 06/25/2037 | | | | 21,664,429 | |
| | 14,369,637 | | | Series 2007-A7-A1 | | | 6.00% | | | | 07/25/2037 | | | | 11,359,931 | |
| | 28,005,641 | | | Series 2007-A7-A6 | | | 6.00% | | | | 07/25/2037 | | | | 22,139,887 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 7,102,329 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 7,114,304 | |
| | 8,335,183 | | | Series 2005-S9-A10 | | | 6.25% | | | | 12/25/2035 | | | | 8,030,932 | |
| | 21,381,693 | | | Series 2005-S9-A6 | | | 5.75% | | | | 12/25/2035 | | | | 21,452,167 | |
| | 1,589,133 | | | Series 2005-S9-A8 | | | 5.50% | | | | 12/25/2035 | | | | 1,571,421 | |
| | 27,927,322 | | | Series 2006-S10-1A1 | | | 6.00% | | | | 10/25/2036 | | | | 25,575,087 | |
| | 20,761,363 | | | Series 2006-S11-A1 | | | 6.00% | | | | 11/25/2036 | | | | 19,023,035 | |
| | 8,702,742 | | | Series 2006-S5-A12 | | | 6.00% | | | | 06/25/2036 | | | | 8,033,850 | |
| | 595,826 | | | Series 2006-S5-A15 | | | 6.00% | | | | 06/25/2036 | | | | 550,031 | |
| | 14,026,622 | | | Series 2006-S9-A1 | | | 6.25% | | | | 09/25/2036 | | | | 12,865,653 | |
| | 11,531,175 | | | Series 2007-S1-A7 | | | 6.00% | | | | 01/25/2037 | | | | 10,222,594 | |
| | 9,798,268 | | | Series 2007-S2-A1 | | | 6.00% | | | | 02/25/2037 | | | | 8,749,246 | |
| | 11,038,828 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 9,856,989 | |
| | 20,608,229 | | | Series 2007-S2-A5 | | | 6.00% | | | | 02/25/2037 | | | | 18,401,871 | |
| | 3,220,379 | | | Series 2007-S2-A9 | | | 6.00% | | | | 02/25/2037 | | | | 2,875,599 | |
| | 9,028,959 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 8,581,755 | |
| | 2,985,427 | | | Series 2007-S4-A1 | | | 6.00% | | | | 04/25/2037 | | | | 2,618,023 | |
| | 7,969,520 | | | Series 2007-S4-A2 | | | 6.00% | | | | 04/25/2037 | | | | 6,988,743 | |
| | 66,631,228 | | | Series 2007-S5-A1 | | | 6.00% | | | | 05/25/2037 | | | | 59,922,196 | |
| | 10,975,705 | | | Series 2007-S6-2A4 | | | 6.00% | | | | 06/25/2037 | | | | 9,817,779 | |
| | 48,442,682 | | | Series 2007-S7-A20 | | | 6.00% | | | | 07/25/2037 | | | | 43,471,348 | |
| | 21,763,251 | | | Series 2007-S8-1A1 | | | 6.00% | | | | 09/25/2037 | | | | 19,146,133 | |
| | 8,310,616 | | | Series 2007-SA1-4A | | | 5.99% | # | | | 02/25/2037 | | | | 7,706,700 | |
| | 20,816,736 | | | Series 2007-SA2-2A1 | | | 3.21% | # | | | 04/25/2037 | | | | 17,664,686 | |
| |
| | | | Saxon Asset Securities Trust, | |
| | 72,440,000 | | | Series 2006-3-A3 | | | 0.35% | # | | | 10/25/2046 | | | | 54,298,489 | |
| |
| | | | Sequoia Mortgage Trust, | |
| | 415,454 | | | Series 2003-4-2A1 | | | 0.53% | # | | | 07/20/2033 | | | | 410,729 | |
| |
| | | | Soundview Home Equity Loan Trust, | |
| | 31,177,755 | | | Series 2007-NS1-A2 | | | 0.33% | # | | | 01/25/2037 | | | | 29,352,734 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | STARM Mortgage Loan Trust, | |
| $ | 29,196,937 | | | Series 2007-2-1A1 | | | 2.99% | # | | | 04/25/2037 | | | | 24,003,882 | |
| | 15,873,071 | | | Series 2007-3-1A1 | | | 2.83% | # | | | 06/25/2037 | | | | 14,096,604 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 18,153,741 | | | Series 2004-12-8A | | | 4.65% | # | | | 09/25/2034 | | | | 17,881,581 | |
| | 5,436,473 | | | Series 2006-1-8A1 | | | 5.54% | # | | | 02/25/2036 | | | | 4,426,398 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 345,775 | | | Series 2003-18XS-A6 | | | 4.54% | # | | | 06/25/2033 | | | | 344,073 | |
| | 5,961,740 | | | Series 2003-24A-1A3 | | | 2.47% | # | | | 07/25/2033 | | | | 5,862,578 | |
| | 18,512,933 | | | Series 2003-35-1A1 | | | 5.24% | # | | | 12/25/2033 | | | | 19,045,439 | |
| | 10,085,251 | | | Series 2004-11XS-2A2 | | | 5.16% | # | | | 06/25/2034 | | | | 10,870,816 | |
| | 4,499,599 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 4,576,893 | |
| | 19,787,073 | | | Series 2004-22-A2 | | | 5.23% | # | | | 01/25/2035 | | | | 19,565,487 | |
| | 42,078,775 | | | Series 2005-10-1A1 | | | 5.75% | | | | 06/25/2035 | | | | 41,232,445 | |
| | 7,983,355 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 8,396,214 | |
| | 10,558,164 | | | Series 2005-13-3A1 | | | 6.00% | | | | 09/25/2035 | | | | 9,263,859 | |
| | 4,386,656 | | | Series 2005-14-1A1 | | | 0.48% | # | | | 07/25/2035 | | | | 3,951,486 | |
| | 915,370 | | | Series 2005-14-1A4 | | | 23.73% | # I/F | | | 07/25/2035 | | | | 1,132,230 | |
| | 66,127,371 | | | Series 2005-14-4A1 | | | 5.75% | | | | 07/25/2035 | | | | 64,704,144 | |
| | 6,978,234 | | | Series 2005-15-1A1 | | | 5.50% | | | | 08/25/2035 | | | | 7,155,868 | |
| | 14,013,000 | | | Series 2005-15-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 13,489,460 | |
| | 23,693,639 | | | Series 2005-15-3A1 | | | 5.13% | # | | | 08/25/2035 | | | | 23,851,652 | |
| | 14,243,035 | | | Series 2005-16-1A2 | | | 5.50% | | | | 09/25/2035 | | | | 14,171,264 | |
| | 12,500,000 | | | Series 2005-3-1A6 | | | 5.75% | | | | 03/25/2035 | | | | 11,732,438 | |
| | 5,226,401 | | | Series 2005-6-4A1 | | | 5.00% | | | | 05/25/2035 | | | | 5,294,642 | |
| |
| | | | Suntrust Alternative Loan Trust, | |
| | 1,943,225 | | | Series 2005-1F-2A3 | | | 5.75% | | | | 12/25/2035 | | | | 1,874,894 | |
| | 3,323,184 | | | Series 2006-1F-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 2,751,726 | |
| |
| | | | Thornburg Mortgage Securities Trust, | |
| | 1,969,562 | | | Series 2003-6-A2 | | | 1.18% | # | | | 12/25/2033 | | | | 1,826,658 | |
| | 16,824,070 | | | Series 2004-4-5A | | | 4.82% | # | | | 12/25/2044 | | | | 16,291,235 | |
| | 29,372,952 | | | Series 2007-1-A1 | | | 1.98% | # | | | 03/25/2037 | | | | 26,101,510 | |
| | 8,069,376 | | | Series 2007-1-A2A | | | 5.80% | # | | | 03/25/2037 | | | | 6,916,335 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 11,562,114 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 10,673,820 | |
| | 6,294,386 | | | Series 2005-4-5A1 | | | 5.50% | | | | 06/25/2035 | | | | 6,001,571 | |
| | 2,281,987 | | | Series 2005-5-CB12 | | | 48.63% | # I/F | | | 07/25/2035 | | | | 4,096,936 | |
| | 7,389,634 | | | Series 2005-5-CB6 | | | 0.78% | # | | | 07/25/2035 | | | | 6,024,599 | |
| | 2,430,017 | | | Series 2005-6-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 2,247,657 | |
| | 2,387,595 | | | Series 2005-7-3CB | | | 6.50% | | | | 08/25/2035 | | | | 1,858,738 | |
| | 6,218,069 | | | Series 2005-9-CX | | | 5.50% | I/O | | | 11/25/2035 | | | | 1,539,292 | |
| | 10,360,606 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 8,776,055 | |
| | 5,239,470 | | | Series 2006-1-3A2 | | | 5.75% | | | | 02/25/2036 | | | | 4,438,161 | |
| | 4,452,169 | | | Series 2006-1-3A7 | | | 5.75% | | | | 02/25/2036 | | | | 3,771,241 | |
| | 5,127,926 | | | Series 2006-5-1A8 | | | 5.75% | | | | 07/25/2036 | | | | 3,908,347 | |
| | 9,468,799 | | | Series 2006-5-2CB1 | | | 6.00% | | | | 07/25/2036 | | | | 6,945,903 | |
| | 17,199,323 | | | Series 2006-5-2CB6 | | | 6.00% | | | | 07/25/2036 | | | | 12,616,684 | |
| | 9,173,308 | | | Series 2006-5-3A5 | | | 6.45% | # | | | 07/25/2036 | | | | 4,729,895 | |
| | 5,928,673 | | | Series 2006-9-A7 | | | 5.65% | # | | | 10/25/2036 | | | | 4,201,479 | |
| | 20,921,403 | | | Series 2006-AR10-1A1 | | | 2.38% | # | | | 09/25/2036 | | | | 17,969,686 | |
| | 29,674,258 | | | Series 2006-AR15-1A | | | 0.99% | # | | | 11/25/2046 | | | | 24,182,384 | |
| | 3,165,075 | | | Series 2006-AR6-2A3 | | | 4.90% | # | | | 08/25/2036 | | | | 2,807,421 | |
| | 20,404,662 | | | Series 2007-3-A3 | | | 6.00% | | | | 04/25/2037 | | | | 17,249,693 | |
| | 19,616,432 | | | Series 2007-4-1A1 | | | 5.50% | | | | 06/25/2037 | | | | 19,165,017 | |
| | 861,042 | | | Series 2007-5-A11 | | | 38.41% | # I/F | | | 06/25/2037 | | | | 1,501,048 | |
| | 21,526,052 | | | Series 2007-5-A6 | | | 6.00% | | | | 06/25/2037 | | | | 17,815,413 | |
| | 41,737,261 | | | Series 2007-HY3-4A1 | | | 2.54% | # | | | 03/25/2037 | | | | 39,108,314 | |
| | 38,064,025 | | | Series 2007-HY5-1A1 | | | 2.17% | # | | | 05/25/2037 | | | | 32,723,414 | |
| | 34,298,827 | | | Series 2007-HY6-2A3 | | | 4.84% | # | | | 06/25/2037 | | | | 30,069,713 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 4,282,940 | | | Series 2007-PA1-A10 | | | 6.00% | | | | 03/25/2037 | | | | 3,621,312 | |
| | 18,805,446 | | | Series 2007-PA1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 15,900,381 | |
| | 16,214,409 | | | Series 2007-PA1-A5 | | | 6.00% | | | | 03/25/2037 | | | | 13,709,607 | |
| | 26,574,603 | | | Series 2007-PA1-A6 | | | 6.00% | | | | 03/25/2037 | | | | 22,469,359 | |
| | 127,841,478 | | | Series 2007-PA2-1A1 | | | 6.00% | | | | 06/25/2037 | | | | 116,023,428 | |
| | 17,526,835 | | | Series 2007-PA2-3A1 | | | 0.53% | # | | | 06/25/2037 | | | | 11,167,556 | |
| | 25,819,741 | | | Series 2007-PA2-3A2 | | | 6.47% | # I/F I/O | | | 06/25/2037 | | | | 5,162,528 | |
| | 1,869,419 | | | Series 2007-PA3-1A4 | | | 5.75% | | | | 07/25/2037 | | | | 1,684,913 | |
| | 8,630,593 | | | Series 2007-PA3-2A1 | | | 6.00% | | | | 07/25/2037 | | | | 8,059,524 | |
| | 17,969,130 | | | Series 2007-PA3-2A4 | | | 6.00% | | | | 07/25/2037 | | | | 16,752,117 | |
| | 27,490,093 | | | Series 2007-PA3-3A1 | | | 6.25% | | | | 07/25/2037 | | | | 24,479,598 | |
| | 17,416,324 | | | Series 2007-PA3-4A3 | | | 6.50% | | | | 07/25/2037 | | | | 13,672,145 | |
| | 232,321,337 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 212,926,455 | |
| | 2,496,729 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 2,602,324 | |
| | | | | | |
| 24 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| $ | 34,401,238 | | | Series 2004-Y-3A3 | | | 2.70% | # | | | 11/25/2034 | | | | 35,326,596 | |
| | 33,966,366 | | | Series 2005-12-1A5 | | | 5.50% | | | | 11/25/2035 | | | | 34,184,022 | |
| | 84,662,647 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 85,449,163 | |
| | 733,092 | | | Series 2005-4-A7 | | | 23.18% | # I/F | | | 04/25/2035 | | | | 863,768 | |
| | 7,009,925 | | | Series 2005-8-A1 | | | 5.50% | | | | 10/25/2035 | | | | 7,125,371 | |
| | 5,472,189 | | | Series 2005-AR16-6A4 | | | 2.63% | # | | | 10/25/2035 | | | | 3,950,280 | |
| | 15,153,539 | | | Series 2006-12-A3 | | | 6.00% | | | | 10/25/2036 | | | | 14,894,990 | |
| | 18,182,893 | | | Series 2006-14-A1 | | | 6.00% | | | | 10/25/2036 | | | | 17,478,678 | |
| | 21,856,953 | | | Series 2006-15-A1 | | | 6.00% | | | | 11/25/2036 | | | | 20,681,158 | |
| | 9,787,789 | | | Series 2006-16-A2 | | | 5.00% | | | | 11/25/2036 | | | | 10,003,213 | |
| | 222,508 | | | Series 2006-2-1A4 | | | 18.90% | # I/F | | | 03/25/2036 | | | | 308,322 | |
| | 10,899,234 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 10,809,260 | |
| | 38,223,061 | | | Series 2006-3-A11 | | | 5.50% | | | | 03/25/2036 | | | | 39,038,703 | |
| | 5,904,829 | | | Series 2006-3-A6 | | | 5.50% | | | | 03/25/2036 | | | | 5,786,969 | |
| | 849,374 | | | Series 2006-4-1A8 | | | 5.75% | | | | 04/25/2036 | | | | 849,325 | |
| | 742,238 | | | Series 2006-4-2A2 | | | 5.50% | | | | 04/25/2036 | | | | 722,713 | |
| | 10,999,839 | | | Series 2006-6-2A1 | | | 0.58% | # | | | 05/25/2036 | | | | 8,134,480 | |
| | 10,999,839 | | | Series 2006-6-2A2 | | | 6.92% | # I/F I/O | | | 05/25/2036 | | | | 2,408,475 | |
| | 5,292,578 | | | Series 2006-9-2A1 | | | 0.00% | P/O | | | 08/25/2036 | | | | 2,809,845 | |
| | 5,292,578 | | | Series 2006-9-2A2 | | | 6.00% | I/O | | | 08/25/2036 | | | | 1,188,263 | |
| | 23,235,694 | | | Series 2006-AR12-1A1 | | | 2.74% | # | | | 09/25/2036 | | | | 21,131,980 | |
| | 11,891,796 | | | Series 2006-AR13-A2 | | | 2.61% | # | | | 09/25/2036 | | | | 10,940,060 | |
| | 13,950,845 | | | Series 2006-AR4-2A1 | | | 5.59% | # | | | 04/25/2036 | | | | 13,460,947 | |
| | 4,825,909 | | | Series 2007-10-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 4,710,418 | |
| | 7,946,363 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 7,481,572 | |
| | 4,976,607 | | | Series 2007-11-A14 | | | 6.00% | | | | 08/25/2037 | | | | 4,788,917 | |
| | 9,932,790 | | | Series 2007-11-A36 | | | 6.00% | | | | 08/25/2037 | | | | 9,558,180 | |
| | 7,059,089 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 6,792,739 | |
| | 90,871,088 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 91,187,047 | |
| | 54,058,617 | | | Series 2007-2-1A1 | | | 6.00% | | | | 03/25/2037 | | | | 50,763,745 | |
| | 3,128,539 | | | Series 2007-2-1A18 | | | 5.75% | | | | 03/25/2037 | | | | 2,909,801 | |
| | 7,046,297 | | | Series 2007-2-1A9 | | | 6.00% | | | | 03/25/2037 | | | | 6,616,826 | |
| | 5,111,782 | | | Series 2007-2-3A2 | | | 5.25% | | | | 03/25/2037 | | | | 5,266,639 | |
| | 5,078,365 | | | Series 2007-3-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 4,871,073 | |
| | 5,435,635 | | | Series 2007-4-A11 | | | 6.50% | | | | 04/25/2037 | | | | 5,363,134 | |
| | 20,886,262 | | | Series 2007-4-A15 | | | 6.00% | | | | 04/25/2037 | | | | 20,203,208 | |
| | 12,316,050 | | | Series 2007-4-A3 | | | 6.00% | | | | 04/25/2037 | | | | 11,913,273 | |
| | 12,989,972 | | | Series 2007-4-A8 | | | 6.00% | | | | 04/25/2037 | | | | 12,565,154 | |
| | 3,938,452 | | | Series 2007-5-1A6 | | | 23.73% | # I/F | | | 05/25/2037 | | | | 5,213,278 | |
| | 16,092,071 | | | Series 2007-6-A4 | | | 6.00% | | | | 05/25/2037 | | | | 15,483,477 | |
| | 7,689,575 | | | Series 2007-6-A6 | | | 6.00% | | | | 05/25/2037 | | | | 7,398,759 | |
| | 24,815,911 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 23,417,882 | |
| | 1,725,898 | | | Series 2007-7-A32 | | | 5.75% | | | | 06/25/2037 | | | | 1,614,307 | |
| | 55,883,605 | | | Series 2007-7-A34 | | | 6.00% | | | | 06/25/2037 | | | | 52,735,346 | |
| | 14,863,883 | | | Series 2007-7-A36 | | | 6.00% | | | | 06/25/2037 | | | | 14,263,434 | |
| | 5,147,515 | | | Series 2007-7-A43 | | | 0.68% | # | | | 06/25/2037 | | | | 4,191,421 | |
| | 14,062,902 | | | Series 2007-7-A49 | | | 6.00% | | | | 06/25/2037 | | | | 13,270,654 | |
| | 5,953,489 | | | Series 2007-7-A8 | | | 0.68% | # | | | 06/25/2037 | | | | 4,847,694 | |
| | 2,685,723 | | | Series 2007-7-A9 | | | 37.93% | # I/F | | | 06/25/2037 | | | | 4,937,436 | |
| | 3,952,595 | | | Series 2007-8-1A13 | | | 0.55% | # | | | 07/25/2037 | | | | 3,247,488 | |
| | 3,952,595 | | | Series 2007-8-1A14 | | | 38.71% | # I/F | | | 07/25/2037 | | | | 6,988,599 | |
| | 64,229,668 | | | Series 2007-8-1A16 | | | 6.00% | | | | 07/25/2037 | | | | 61,497,145 | |
| | 42,859,469 | | | Series 2007-8-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 41,036,784 | |
| | 6,059,084 | | | Series 2007-8-1A20 | | | 6.00% | | | | 07/25/2037 | | | | 5,801,410 | |
| | 27,117,661 | | | Series 2007-8-1A22 | | | 6.00% | | | | 07/25/2037 | | | | 25,964,429 | |
| | 18,840,673 | | | Series 2007-8-1A3 | | | 6.00% | | | | 07/25/2037 | | | | 18,039,435 | |
| | 3,697,236 | | | Series 2007-8-2A2 | | | 6.00% | | | | 07/25/2037 | | | | 3,530,708 | |
| | 21,806,151 | | | Series 2007-8-2A9 | | | 6.00% | | | | 07/25/2037 | | | | 21,751,985 | |
| | 10,522,450 | | | Series 2007-9-1A5 | | | 5.50% | | | | 07/25/2037 | | | | 10,694,097 | |
| | 103,824,804 | | | Series 2007-AR9-A1 | | | 5.98% | # | | | 12/28/2037 | | | | 100,767,475 | |
| |
| | | | Wells Fargo Mortgage Loan Trust, | |
| | 33,927,841 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 34,246,991 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $9,795,861,548) | | | | 10,060,219,851 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 49.8% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 23,948,933 | | | Pool C0-3490 | | | 4.50% | | | | 08/01/2040 | | | | 25,545,295 | |
| | 111,821,916 | | | Pool C9-1388 | | | 3.50% | | | | 02/01/2032 | | | | 116,024,700 | |
| | 58,337,570 | | | Pool C9-1403 | | | 3.50% | | | | 03/01/2032 | | | | 60,526,023 | |
| | 59,052,579 | | | Pool C9-1413 | | | 3.50% | | | | 12/01/2031 | | | | 61,266,859 | |
| | 29,134,423 | | | Pool C9-1417 | | | 3.50% | | | | 01/01/2032 | | | | 30,227,262 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 114,466,287 | | | Pool C9-1447 | | | 3.50% | | | | 05/01/2032 | | | | 118,766,009 | |
| | 117,354,025 | | | Pool C9-1594 | | | 3.00% | | | | 01/01/2033 | | | | 117,474,740 | |
| | 33,555,756 | | | Pool C9-1596 | | | 3.00% | | | | 02/01/2033 | | | | 33,590,285 | |
| | 19,130,313 | | | Pool D9-8901 | | | 3.50% | | | | 01/01/2032 | | | | 19,848,253 | |
| | 57,531,873 | | | Pool D9-8923 | | | 3.50% | | | | 01/01/2032 | | | | 59,691,077 | |
| | 43,208,932 | | | Pool D9-9724 | | | 3.00% | | | | 11/01/2032 | | | | 43,253,388 | |
| | 67,527,671 | | | Pool G0-1840 | | | 5.00% | | | | 07/01/2035 | | | | 73,290,066 | |
| | 16,942,237 | | | Pool G0-4817 | | | 5.00% | | | | 09/01/2038 | | | | 18,260,668 | |
| | 47,212,474 | | | Pool G0-6172 | | | 5.50% | | | | 12/01/2038 | | | | 51,143,871 | |
| | 35,959,751 | | | Pool G0-6871 | | | 6.00% | | | | 06/01/2038 | | | | 39,400,282 | |
| | 65,531,776 | | | Pool G0-6954 | | | 6.00% | | | | 05/01/2040 | | | | 71,441,630 | |
| | 87,891,768 | | | Pool G0-7011 | | | 6.00% | | | | 05/01/2040 | | | | 95,818,114 | |
| | 202,282,730 | | | Pool J2-2834 | | | 2.50% | | | | 03/01/2028 | | | | 204,005,388 | |
| | 180,865,279 | | | Pool Q1-6672 | | | 3.00% | | | | 03/01/2043 | | | | 176,252,507 | |
| | 20,729,059 | | | Pool T6-0392 | | | 4.00% | | | | 10/01/2041 | | | | 21,517,899 | |
| | 16,470,907 | | | Pool T6-0681 | | | 4.00% | | | | 05/01/2042 | | | | 17,096,341 | |
| | 45,460,423 | | | Pool T6-0782 | | | 3.50% | | | | 07/01/2042 | | | | 45,766,882 | |
| | 64,596,001 | | | Pool T6-0853 | | | 3.50% | | | | 09/01/2042 | | | | 65,031,651 | |
| | 59,700,300 | | | Pool T6-0854 | | | 3.50% | | | | 09/01/2042 | | | | 60,103,119 | |
| | 7,047,636 | | | Pool T6-5110 | | | 3.50% | | | | 10/01/2042 | | | | 7,095,092 | |
| | 22,019,442 | | | Pool T6-9016 | | | 5.00% | | | | 06/01/2041 | | | | 23,285,666 | |
| | 1,256,844 | | | Pool U6-0299 | | | 4.00% | | | | 11/01/2040 | | | | 1,312,046 | |
| | 5,426,758 | | | Series 2519-ZD | | | 5.50% | | | | 11/15/2032 | | | | 5,976,798 | |
| | 3,266,122 | | | Series 2596-ZL | | | 5.00% | | | | 04/15/2033 | | | | 3,565,301 | |
| | 85,868,161 | | | Series 267-30 | | | 3.00% | | | | 08/15/2042 | | | | 81,926,093 | |
| | 1,747,194 | | | Series 2684-ZN | | | 4.00% | | | | 10/15/2033 | | | | 1,857,462 | |
| | 156,842,527 | | | Series 269-30 | | | 3.00% | | | | 08/15/2042 | | | | 156,643,282 | |
| | 232,456,872 | | | Series 272-30 | | | 3.00% | | | | 08/15/2042 | | | | 231,714,259 | |
| | 68,919,708 | | | Series 274-30 | | | 3.00% | | | | 08/15/2042 | | | | 68,616,696 | |
| | 10,090,353 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 10,801,249 | |
| | 188,867,174 | | | Series 280-30 | | | 3.00% | | | | 09/15/2042 | | | | 178,584,571 | |
| | 12,402,745 | | | Series 2825-PZ | | | 5.50% | | | | 07/15/2034 | | | | 13,645,556 | |
| | 46,780,320 | | | Series 284-300 | | | 3.00% | | | | 10/15/2042 | | | | 46,715,175 | |
| | 17,296,741 | | | Series 2898-JZ | | | 5.00% | | | | 12/15/2034 | | | | 18,896,810 | |
| | 27,643,314 | | | Series 2899-AZ | | | 5.00% | | | | 12/15/2034 | | | | 30,465,379 | |
| | 22,128,151 | | | Series 2909-Z | | | 5.00% | | | | 12/15/2034 | | | | 24,472,828 | |
| | 53,219,431 | | | Series 2932-Z | | | 5.00% | | | | 02/15/2035 | | | | 58,204,548 | |
| | 4,188,842 | | | Series 2990-JL | | | 6.47% | # I/F I/O | | | 03/15/2035 | | | | 585,475 | |
| | 14,650,296 | | | Series 3002-SN | | | 6.32% | # I/F I/O | | | 07/15/2035 | | | | 2,345,153 | |
| | 10,198,969 | | | Series 3030-SL | | | 5.92% | # I/F I/O | | | 09/15/2035 | | | | 1,335,981 | |
| | 2,958,546 | | | Series 3045-DI | | | 6.55% | # I/F I/O | | | 10/15/2035 | | | | 497,129 | |
| | 25,773,421 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 28,313,572 | |
| | 6,534,152 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 7,171,231 | |
| | 7,882,737 | | | Series 3174-PZ | | | 5.00% | | | | 01/15/2036 | | | | 8,702,561 | |
| | 3,538,882 | | | Series 3187-JZ | | | 5.00% | | | | 07/15/2036 | | | | 3,875,366 | |
| | 5,903,936 | | | Series 3188-ZK | | | 5.00% | | | | 07/15/2036 | | | | 6,617,515 | |
| | 12,017,737 | | | Series 3203-SE | | | 6.32% | # I/F I/O | | | 08/15/2036 | | | | 1,920,630 | |
| | 20,220,012 | | | Series 3203-Z | | | 5.00% | | | | 07/15/2036 | | | | 22,777,743 | |
| | 32,038,752 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 36,091,494 | |
| | 13,512,076 | | | Series 3261-SA | | | 6.25% | # I/F I/O | | | 01/15/2037 | | | | 2,184,730 | |
| | 20,223,860 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 22,137,229 | |
| | 21,473,769 | | | Series 3275-SC | | | 5.90% | # I/F I/O | | | 02/15/2037 | | | | 2,638,014 | |
| | 14,609,007 | | | Series 3315-HZ | | | 6.00% | | | | 05/15/2037 | | | | 16,326,997 | |
| | 45,204,907 | | | Series 3326-GS | | | 6.47% | # I/F I/O | | | 06/15/2037 | | | | 6,527,607 | |
| | 3,434,133 | | | Series 3351-ZC | | | 5.50% | | | | 07/15/2037 | | | | 3,747,873 | |
| | 30,257,887 | | | Series 3355-BI | | | 5.87% | # I/F I/O | | | 08/15/2037 | | | | 3,984,298 | |
| | 3,555,487 | | | Series 3369-Z | | | 6.00% | | | | 09/15/2037 | | | | 4,042,316 | |
| | 12,282,545 | | | Series 3405-ZG | | | 5.50% | | | | 01/15/2038 | | | | 13,588,874 | |
| | 17,827,694 | | | Series 3417-SI | | | 6.00% | # I/F I/O | | | 02/15/2038 | | | | 1,952,457 | |
| | 27,726,973 | | | Series 3423-GS | | | 5.47% | # I/F I/O | | | 03/15/2038 | | | | 3,041,591 | |
| | 4,553,061 | | | Series 3423-SG | | | 5.47% | # I/F I/O | | | 03/15/2038 | | | | 499,461 | |
| | 4,345,405 | | | Series 3451-S | | | 5.85% | # I/F I/O | | | 02/15/2037 | | | | 516,342 | |
| | 7,125,904 | | | Series 3455-SC | | | 5.88% | # I/F I/O | | | 06/15/2038 | | | | 894,753 | |
| | 4,798,055 | | | Series 3473-SM | | | 5.89% | # I/F I/O | | | 07/15/2038 | | | | 572,085 | |
| | 19,776,457 | | | Series 3484-SE | | | 5.67% | # I/F I/O | | | 08/15/2038 | | | | 2,216,945 | |
| | 13,742,912 | | | Series 3519-SD | | | 5.37% | # I/F I/O | | | 02/15/2038 | | | | 1,591,437 | |
| | 6,179,089 | | | Series 3524-LB | | | 5.46% | # I/O | | | 06/15/2038 | | | | 6,328,969 | |
| | 228,520 | | | Series 3530-GZ | | | 4.50% | | | | 05/15/2039 | | | | 227,083 | |
| | 28,167,624 | | | Series 3541-EI | | | 6.57% | # I/F I/O | | | 06/15/2039 | | | | 3,543,079 | |
| | 9,695,776 | | | Series 3545-SA | | | 5.97% | # I/F I/O | | | 06/15/2039 | | | | 1,213,967 | |
| | 4,033,423 | | | Series 3549-SA | | | 5.62% | # I/F I/O | | | 07/15/2039 | | | | 449,396 | |
| | 29,833,710 | | | Series 3577-LS | | | 7.02% | # I/F I/O | | | 08/15/2035 | | | | 3,852,630 | |
| | 7,469,983 | | | Series 3582-SA | | | 5.82% | # I/F I/O | | | 10/15/2049 | | | | 823,673 | |
| | 8,680,279 | | | Series 3583-GB | | | 4.50% | | | | 10/15/2039 | | | | 9,321,452 | |
| | 48,300,050 | | | Series 3606-CS | | | 6.17% | # I/F I/O | | | 12/15/2039 | | | | 7,948,623 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 25 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 12,797,444 | | | Series 3616-SG | | | 6.17% | # I/F I/O | | | 03/15/2032 | | | | 2,187,390 | |
| | 25,734,965 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 28,639,349 | |
| | 10,157,642 | | | Series 3631-SE | | | 6.22% | # I/F I/O | | | 05/15/2039 | | | | 826,836 | |
| | 26,658,356 | | | Series 3641-Z | | | 5.50% | | | | 02/15/2036 | | | | 29,363,326 | |
| | 20,781,878 | | | Series 3654-ZB | | | 5.50% | | | | 11/15/2037 | | | | 23,051,674 | |
| | 41,632,761 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 45,974,246 | |
| | 11,242,584 | | | Series 3667-SB | | | 6.27% | # I/F I/O | | | 05/15/2040 | | | | 1,235,599 | |
| | 25,677,940 | | | Series 3688-CM | | | 4.00% | | | | 07/15/2029 | | | | 26,442,911 | |
| | 24,831,759 | | | Series 3702-SG | | | 5.87% | # I/F I/O | | | 08/15/2032 | | | | 3,288,219 | |
| | 10,251,818 | | | Series 3704-EI | | | 5.00% | I/O | | | 12/15/2036 | | | | 1,781,079 | |
| | 3,741,293 | | | Series 3712-SG | | | 24.09% | # I/F | | | 08/15/2040 | | | | 6,884,731 | |
| | 22,878,058 | | | Series 3724-CM | | | 5.50% | | | | 06/15/2037 | | | | 25,132,256 | |
| | 181,041,798 | | | Series 3725-CS | | | 5.82% | # I/F I/O | | | 05/15/2040 | | | | 24,540,053 | |
| | 66,981,381 | | | Series 3726-SA | | | 5.87% | # I/F I/O | | | 09/15/2040 | | | | 8,929,147 | |
| | 98,000,000 | | | Series 3738-BP | | | 4.00% | | | | 12/15/2038 | | | | 103,261,865 | |
| | 6,891,996 | | | Series 3741-SC | | | 9.64% | # I/F | | | 10/15/2040 | | | | 7,272,512 | |
| | 238,477 | | | Series 3745-SY | | | 9.64% | # I/F | | | 10/15/2040 | | | | 240,613 | |
| | 40,709,308 | | | Series 3752-BS | | | 9.63% | # I/F | | | 11/15/2040 | | | | 42,632,111 | |
| | 1,883,625 | | | Series 3758-SM | | | 9.63% | # I/F | | | 11/15/2040 | | | | 1,890,620 | |
| | 13,764,888 | | | Series 3768-ZX | | | 5.00% | | | | 12/15/2040 | | | | 15,109,125 | |
| | 18,900,000 | | | Series 3771-AL | | | 4.00% | | | | 12/15/2030 | | | | 19,979,096 | |
| | 18,761,630 | | | Series 3779-BY | | | 3.50% | | | | 12/15/2030 | | | | 18,724,088 | |
| | 25,248,878 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 25,233,410 | |
| | 24,250,000 | | | Series 3779-LB | | | 4.00% | | | | 12/15/2030 | | | | 25,128,553 | |
| | 2,834,643 | | | Series 3779-SH | | | 9.44% | # I/F | | | 12/15/2040 | | | | 2,843,031 | |
| | 3,500,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 3,416,898 | |
| | 15,000,000 | | | Series 3783-AC | | | 4.00% | | | | 01/15/2031 | | | | 15,462,990 | |
| | 15,487,676 | | | Series 3786-SG | | | 9.14% | # I/F | | | 01/15/2041 | | | | 15,383,273 | |
| | 11,731,674 | | | Series 3788-AY | | | 3.50% | | | | 01/15/2031 | | | | 11,575,015 | |
| | 10,500,107 | | | Series 3790-Z | | | 4.00% | | | | 01/15/2041 | | | | 10,860,265 | |
| | 11,123,660 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 11,123,298 | |
| | 943,445 | | | Series 3798-SD | | | 9.24% | # I/F | | | 12/15/2040 | | | | 939,788 | |
| | 17,442,940 | | | Series 3800-VZ | | | 4.50% | | | | 02/15/2041 | | | | 18,085,381 | |
| | 12,024,639 | | | Series 3803-ZM | | | 4.00% | | | | 02/15/2041 | | | | 12,014,587 | |
| | 65,681,017 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 72,300,974 | |
| | 18,000,000 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 17,858,178 | |
| | 15,277,557 | | | Series 3812-EY | | | 3.50% | | | | 02/15/2031 | | | | 15,176,099 | |
| | 12,307,205 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 13,062,307 | |
| | 18,352,660 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 20,107,386 | |
| | 35,500,000 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 35,189,499 | |
| | 3,420,833 | | | Series 3828-SW | | | 12.65% | # I/F | | | 02/15/2041 | | | | 3,595,831 | |
| | 14,364,833 | | | Series 3829-VZ | | | 4.00% | | | | 03/15/2041 | | | | 14,539,315 | |
| | 5,640,768 | | | Series 3843-PZ | | | 5.00% | | | | 04/15/2041 | | | | 6,628,024 | |
| | 1,098,727 | | | Series 3843-SC | | | 12.80% | # I/F | | | 04/15/2041 | | | | 1,130,865 | |
| | 3,114,841 | | | Series 3845-LS | | | 12.80% | # I/F | | | 03/15/2041 | | | | 3,042,097 | |
| | 62,084,376 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 69,821,983 | |
| | 10,229,000 | | | Series 3870-PB | | | 4.50% | | | | 06/15/2041 | | | | 11,165,767 | |
| | 69,135,985 | | | Series 3871-LZ | | | 5.50% | | | | 06/15/2041 | | | | 78,477,985 | |
| | 71,951,280 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 75,920,005 | |
| | 30,000,000 | | | Series 3877-EY | | | 4.50% | | | | 06/15/2041 | | | | 32,421,165 | |
| | 12,378,000 | | | Series 3877-GY | | | 4.50% | | | | 06/15/2041 | | | | 13,299,090 | |
| | 50,523,398 | | | Series 3877-ZU | | | 4.50% | | | | 06/15/2041 | | | | 54,573,859 | |
| | 28,894,962 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 29,552,251 | |
| | 17,635,367 | | | Series 3888-ZU | | | 4.50% | | | | 06/15/2041 | | | | 18,405,265 | |
| | 29,413,589 | | | Series 3900-SB | | | 5.79% | # I/F I/O | | | 07/15/2041 | | | | 3,378,451 | |
| | 38,633,803 | | | Series 3901-VZ | | | 4.00% | | | | 07/15/2041 | | | | 36,561,969 | |
| | 19,971,815 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 21,694,683 | |
| | 8,876,362 | | | Series 3910-ZE | | | 5.00% | | | | 10/15/2034 | | | | 9,742,877 | |
| | 12,330,000 | | | Series 3919-KL | | | 4.50% | | | | 09/15/2041 | | | | 13,184,383 | |
| | 26,120,148 | | | Series 3919-ZJ | | | 4.00% | | | | 09/15/2041 | | | | 25,514,265 | |
| | 528,299 | | | Series 3924-US | | | 9.19% | # I/F | | | 09/15/2041 | | | | 530,512 | |
| | 9,341,184 | | | Series 3942-JZ | | | 4.00% | | | | 10/15/2041 | | | | 9,666,084 | |
| | 10,795,445 | | | Series 3944-AZ | | | 4.00% | | | | 10/15/2041 | | | | 10,705,513 | |
| | 17,599,089 | | | Series 3946-SM | | | 14.15% | # I/F | | | 10/15/2041 | | | | 19,039,971 | |
| | 7,463,194 | | | Series 3957-DZ | | | 3.50% | | | | 11/15/2041 | | | | 7,038,530 | |
| | 10,000,000 | | | Series 3964-VM | | | 4.00% | | | | 11/15/2034 | | | | 10,529,605 | |
| | 57,460,950 | | | Series 3969-AB | | | 4.00% | | | | 10/15/2033 | | | | 60,525,802 | |
| | 10,599,783 | | | Series 3982-AZ | | | 3.50% | | | | 01/15/2042 | | | | 9,945,400 | |
| | 53,257,549 | | | Series 3990-ZA | | | 3.50% | | | | 01/15/2042 | | | | 49,344,717 | |
| | 44,741,327 | | | Series 3999-ZB | | | 4.00% | | | | 02/15/2042 | | | | 44,032,692 | |
| | 25,368,256 | | | Series 4016-KZ | | | 4.00% | | | | 03/15/2042 | | | | 23,908,389 | |
| | 37,461,699 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 36,832,960 | |
| | 63,071,021 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 59,193,572 | |
| | 62,840,529 | | | Series 4084-TZ | | | 4.00% | | | | 07/15/2042 | | | | 58,968,233 | |
| | 18,254,377 | | | Series 4097-TG | | | 2.00% | | | | 05/15/2039 | | | | 17,287,735 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 35,774,790 | | | Series 4097-ZA | | | 3.50% | | | | 08/15/2042 | | | | 31,728,733 | |
| | 97,063,000 | | | Series 4109-GE | | | 4.50% | | | | 10/15/2041 | | | | 108,254,655 | |
| | 70,300,000 | | | Series 4109-KD | | | 3.00% | | | | 05/15/2032 | | | | 71,993,211 | |
| | 5,832,922 | | | Series 4121-AV | | | 3.00% | | | | 12/15/2035 | | | | 5,439,270 | |
| | 96,657,692 | | | Series 4160-HP | | | 2.50% | | | | 01/15/2033 | | | | 95,364,557 | |
| | 25,889,920 | | | Series 4162-ZJ | | | 3.00% | | | | 02/15/2033 | | | | 24,498,337 | |
| | 36,691,136 | | | Series 4174-Z | | | 3.50% | | | | 03/15/2043 | | | | 32,202,507 | |
| | 90,082,281 | | | Series 4179-AZ | | | 4.00% | | | | 01/15/2041 | | | | 87,676,544 | |
| | 24,202,407 | | | Series 4186-ZJ | | | 3.00% | | | | 03/15/2033 | | | | 22,394,422 | |
| | 13,000,000 | | | Series 4189-ML | | | 3.00% | | | | 04/15/2038 | | | | 11,884,002 | |
| | 219,722,634 | | | Series 4212-US | | | 5.18% | # I/F | | | 06/15/2043 | | | | 193,435,018 | |
| | 98,542,583 | | | Series 4223-US | | | 5.21% | # I/F | | | 07/15/2043 | | | | 83,297,287 | |
| | 223,735,762 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 244,700,586 | |
| |
| | | | Federal National Mortgage Association, | |
| | 2,705,758 | | | Series 2002-70-QZ | | | 5.50% | | | | 11/25/2032 | | | | 2,977,736 | |
| | 4,159,121 | | | Series 2002-75-ZG | | | 5.50% | | | | 11/25/2032 | | | | 4,579,052 | |
| | 5,375,610 | | | Series 2003-117-KS | | | 6.92% | # I/F I/O | | | 08/25/2033 | | | | 352,844 | |
| | 34,149,813 | | | Series 2003-129-ZT | | | 5.50% | | | | 01/25/2034 | | | | 38,289,880 | |
| | 11,103,167 | | | Series 2003-29-ZL | | | 5.00% | | | | 04/25/2033 | | | | 12,071,685 | |
| | 6,439,655 | | | Series 2003-64-ZG | | | 5.50% | | | | 07/25/2033 | | | | 7,073,981 | |
| | 21,086,869 | | | Series 2003-84-PZ | | | 5.00% | | | | 09/25/2033 | | | | 23,150,567 | |
| | 57,885,521 | | | Series 2003-92-PZ | | | 5.00% | | | | 09/25/2033 | | | | 62,827,903 | |
| | 19,500,000 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 21,485,266 | |
| | 12,232,460 | | | Series 2004-46-PJ | | | 5.82% | # I/F I/O | | | 03/25/2034 | | | | 1,488,869 | |
| | 8,777,108 | | | Series 2004-51-XP | | | 7.52% | #I /F I/O | | | 07/25/2034 | | | | 1,584,016 | |
| | 5,000,000 | | | Series 2004-W10-A6 | | | 5.75% | | | | 08/25/2034 | | | | 5,174,375 | |
| | 7,000,000 | | | Series 2004-W4-A5 | | | 5.50% | | | | 06/25/2034 | | | | 7,550,729 | |
| | 915,702 | | | Series 2005-107-EG | | | 4.50% | | | | 01/25/2026 | | | | 990,878 | |
| | 2,189,136 | | | Series 2005-37-ZK | | | 4.50% | | | | 05/25/2035 | | | | 2,395,686 | |
| | 23,213,362 | | | Series 2005-87-SE | | | 5.87% | # I/F I/O | | | 10/25/2035 | | | | 3,094,039 | |
| | 18,878,337 | | | Series 2005-87-SG | | | 6.52% | # I/F I/O | | | 10/25/2035 | | | | 2,609,690 | |
| | 14,687,628 | | | Series 2006-101-SA | | | 6.40% | # I/F I/O | | | 10/25/2036 | | | | 2,437,719 | |
| | 5,780,184 | | | Series 2006-123-LI | | | 6.14% | # I/F I/O | | | 01/25/2037 | | | | 956,256 | |
| | 8,270,149 | | | Series 2006-16-HZ | | | 5.50% | | | | 03/25/2036 | | | | 9,120,354 | |
| | 26,515,282 | | | Series 2006-56-SM | | | 6.57% | # I/F I/O | | | 07/25/2036 | | | | 3,976,712 | |
| | 27,422,146 | | | Series 2006-60-YI | | | 6.39% | # I/F I/O | | | 07/25/2036 | | | | 6,075,952 | |
| | 5,147,781 | | | Series 2006-93-SN | | | 6.42% | # I/F I/O | | | 10/25/2036 | | | | 610,378 | |
| | 11,521,528 | | | Series 2007-109-VZ | | | 5.00% | | | | 10/25/2035 | | | | 13,356,026 | |
| | 5,108,647 | | | Series 2007-116-BI | | | 6.07% | # I/F I/O | | | 05/25/2037 | | | | 645,634 | |
| | 28,828,331 | | | Series 2007-14-PS | | | 6.63% | # I/F I/O | | | 03/25/2037 | | | | 4,543,264 | |
| | 1,300,984 | | | Series 2007-2-SH | | | 31.95% | # I/F | | | 08/25/2036 | | | | 1,655,223 | |
| | 10,888,576 | | | Series 2007-30-OI | | | 6.26% | # I/F I/O | | | 04/25/2037 | | | | 1,521,757 | |
| | 4,018,436 | | | Series 2007-30-SI | | | 5.93% | # I/F I/O | | | 04/25/2037 | | | | 433,870 | |
| | 13,806,371 | | | Series 2007-32-SG | | | 5.92% | # I/F I/O | | | 04/25/2037 | | | | 1,772,528 | |
| | 11,574,841 | | | Series 2007-57-SX | | | 6.44% | # I/F I/O | | | 10/25/2036 | | | | 1,903,059 | |
| | 14,612,658 | | | Series 2007-60-VZ | | | 6.00% | | | | 07/25/2037 | | | | 16,722,237 | |
| | 12,214,109 | | | Series 2007-71-GZ | | | 6.00% | | | | 07/25/2047 | | | | 13,887,820 | |
| | 12,098,001 | | | Series 2007-75-ID | | | 5.69% | # I/F I/O | | | 08/25/2037 | | | | 1,652,347 | |
| | 3,854,820 | | | Series 2007-93-SB | | | 3.97% | # I/F I/O | | | 01/25/2036 | | | | 143,924 | |
| | 7,182,445 | | | Series 2007-9-SD | | | 6.47% | # I/F I/O | | | 03/25/2037 | | | | 1,020,011 | |
| | 5,803,499 | | | Series 2008-27-B | | | 5.50% | | | | 04/25/2038 | | | | 6,373,612 | |
| | 16,149,751 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 17,327,738 | |
| | 22,551,974 | | | Series 2008-48-BE | | | 5.00% | | | | 06/25/2034 | | | | 24,835,993 | |
| | 8,500,619 | | | Series 2008-48-SD | | | 5.82% | # I/F I/O | | | 06/25/2037 | | | | 863,121 | |
| | 9,938,471 | | | Series 2008-53-LI | | | 5.97% | # I/F I/O | | | 07/25/2038 | | | | 1,212,618 | |
| | 9,449,833 | | | Series 2008-57-SE | | | 5.82% | # I/F I/O | | | 02/25/2037 | | | | 941,465 | |
| | 6,874,400 | | | Series 2008-5-MS | | | 6.07% | # I/F I/O | | | 02/25/2038 | | | | 910,512 | |
| | 6,893,777 | | | Series 2008-61-SC | | | 5.82% | # I/F I/O | | | 07/25/2038 | | | | 671,098 | |
| | 8,232,116 | | | Series 2008-62-SC | | | 5.82% | # I/F I/O | | | 07/25/2038 | | | | 823,283 | |
| | 11,115,918 | | | Series 2008-65-SA | | | 5.82% | # I/F I/O | | | 08/25/2038 | | | | 1,210,413 | |
| | 15,669,658 | | | Series 2008-81-LP | | | 5.50% | | | | 09/25/2038 | | | | 17,197,434 | |
| | 33,587,448 | | | Series 2009-106-EZ | | | 4.50% | | | | 01/25/2040 | | | | 35,721,359 | |
| | 11,647,580 | | | Series 2009-111-SE | | | 6.07% | # I/F I/O | | | 01/25/2040 | | | | 1,351,357 | |
| | 2,810,065 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 3,050,677 | |
| | 24,151,074 | | | Series 2009-42-SI | | | 5.82% | # I/F I/O | | | 06/25/2039 | | | | 2,421,488 | |
| | 11,810,852 | | | Series 2009-42-SX | | | 5.82% | # I/F I/O | | | 06/25/2039 | | | | 1,390,175 | |
| | 10,139,507 | | | Series 2009-47-SA | | | 5.92% | # I/F I/O | | | 07/25/2039 | | | | 985,153 | |
| | 4,440,371 | | | Series 2009-48-WS | | | 5.77% | # I/F I/O | | | 07/25/2039 | | | | 521,704 | |
| | 22,873,424 | | | Series 2009-49-S | | | 6.57% | # I/F I/O | | | 07/25/2039 | | | | 2,835,033 | |
| | 4,228,116 | | | Series 2009-51-BZ | | | 4.50% | | | | 07/25/2039 | | | | 4,497,344 | |
| | 4,898,797 | | | Series 2009-54-EZ | | | 5.00% | | | | 07/25/2039 | | | | 5,306,112 | |
| | 9,993,141 | | | Series 2009-70-SA | | | 5.62% | # I/F I/O | | | 09/25/2039 | | | | 1,150,524 | |
| | 10,000,000 | | | Series 2009-80-PM | | | 4.50% | | | | 10/25/2039 | | | | 10,599,075 | |
| | 15,026,229 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 15,971,747 | |
| | | | | | |
| 26 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 36,221,046 | | | Series 2009-85-ES | | | 7.05% | # I/F I/O | | | 01/25/2036 | | | | 6,654,331 | |
| | 46,990,448 | | | Series 2009-85-JS | | | 6.57% | # I/F I/O | | | 10/25/2039 | | | | 8,241,650 | |
| | 14,409,851 | | | Series 2009-90-IB | | | 5.54% | # I/F I/O | | | 04/25/2037 | | | | 1,583,804 | |
| | 5,950,063 | | | Series 2009-94-BC | | | 5.00% | | | | 11/25/2039 | | | | 6,521,266 | |
| | 38,405,634 | | | Series 2010-101-SA | | | 4.30% | # I/F I/O | | | 09/25/2040 | | | | 4,836,955 | |
| | 19,923,702 | | | Series 2010-101-ZC | | | 4.50% | | | | 09/25/2040 | | | | 21,025,971 | |
| | 56,278,399 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 59,347,992 | |
| | 22,744,510 | | | Series 2010-10-SA | | | 6.17% | # I/F I/O | | | 02/25/2040 | | | | 2,638,802 | |
| | 10,623,454 | | | Series 2010-10-ZA | | | 4.50% | | | | 02/25/2040 | | | | 11,348,388 | |
| | 7,532,215 | | | Series 2010-111-S | | | 5.77% | # I/F I/O | | | 10/25/2050 | | | | 839,043 | |
| | 12,365,045 | | | Series 2010-116-Z | | | 4.00% | | | | 10/25/2040 | | | | 12,835,442 | |
| | 12,500,932 | | | Series 2010-117-SA | | | 4.32% | # I/F I/O | | | 10/25/2040 | | | | 1,121,177 | |
| | 20,000,000 | | | Series 2010-120-KD | | | 4.00% | | | | 10/25/2040 | | | | 20,781,310 | |
| | 80,814,528 | | | Series 2010-121-SD | | | 4.32% | # I/F I/O | | | 10/25/2040 | | | | 6,790,441 | |
| | 242,685 | | | Series 2010-126-SU | | | 52.99% | # I/F | | | 11/25/2040 | | | | 976,782 | |
| | 178,693 | | | Series 2010-126-SX | | | 14.45% | # I/F | | | 11/25/2040 | | | | 216,854 | |
| | 12,337,052 | | | Series 2010-128-HZ | | | 4.00% | | | | 11/25/2040 | | | | 12,805,700 | |
| | 12,653,700 | | | Series 2010-132-Z | | | 4.50% | | | | 11/25/2040 | | | | 13,569,581 | |
| | 88,008 | | | Series 2010-137-VS | | | 14.45% | # I/F | | | 12/25/2040 | | | | 105,179 | |
| | 6,470,000 | | | Series 2010-142-AV | | | 4.00% | | | | 11/25/2029 | | | | 6,755,709 | |
| | 17,214,595 | | | Series 2010-142-AZ | | | 4.00% | | | | 12/25/2040 | | | | 17,663,741 | |
| | 30,133,995 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 29,989,397 | |
| | 4,674,000 | | | Series 2010-153-VB | | | 4.00% | | | | 05/25/2027 | | | | 4,923,685 | |
| | 36,462,594 | | | Series 2010-16-SA | | | 5.27% | # I/F I/O | | | 03/25/2040 | | | | 4,498,467 | |
| | 3,279,536 | | | Series 2010-21-DZ | | | 5.00% | | | | 03/25/2040 | | | | 3,702,440 | |
| | 10,897,161 | | | Series 2010-21-KS | | | 4.77% | # I/F I/O | | | 03/25/2040 | | | | 1,024,839 | |
| | 4,373,840 | | | Series 2010-2-GS | | | 6.27% | # I/F I/O | | | 12/25/2049 | | | | 492,568 | |
| | 10,875,543 | | | Series 2010-2-MS | | | 6.07% | # I/F I/O | | | 02/25/2050 | | | | 1,264,782 | |
| | 20,172,012 | | | Series 2010-31-SA | | | 4.82% | # I/F I/O | | | 04/25/2040 | | | | 1,817,412 | |
| | 22,484,200 | | | Series 2010-31-VZ | | | 4.00% | | | | 04/25/2040 | | | | 23,628,388 | |
| | 20,133,533 | | | Series 2010-34-PS | | | 4.75% | # I/F I/O | | | 04/25/2040 | | | | 1,834,183 | |
| | 5,133,531 | | | Series 2010-35-ES | | | 6.27% | # I/F I/O | | | 04/25/2040 | | | | 593,805 | |
| | 8,409,379 | | | Series 2010-35-SV | | | 6.27% | # I/F I/O | | | 04/25/2040 | | | | 1,202,300 | |
| | 8,401,260 | | | Series 2010-46-MS | | | 4.77% | # I/F I/O | | | 05/25/2040 | | | | 772,928 | |
| | 22,579,635 | | | Series 2010-49-ZW | | | 4.50% | | | | 05/25/2040 | | | | 24,278,042 | |
| | 8,219,457 | | | Series 2010-4-SK | | | 6.05% | # I/F I/O | | | 02/25/2040 | | | | 1,349,725 | |
| | 5,712,204 | | | Series 2010-58-ES | | | 12.01% | # I/F | | | 06/25/2040 | | | | 6,225,648 | |
| | 21,199,585 | | | Series 2010-59-MS | | | 5.59% | # I/F I/O | | | 06/25/2040 | | | | 2,501,682 | |
| | 48,193,568 | | | Series 2010-59-PS | | | 6.27% | # I/F I/O | | | 03/25/2039 | | | | 5,403,795 | |
| | 25,941,693 | | | Series 2010-59-SC | | | 4.82% | # I/F I/O | | | 01/25/2040 | | | | 2,373,644 | |
| | 7,727,846 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 8,275,889 | |
| | 3,625,145 | | | Series 2010-61-EL | | | 4.50% | | | | 06/25/2040 | | | | 3,817,197 | |
| | 12,856,481 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 14,306,743 | |
| | 37,714,450 | | | Series 2010-76-ZK | | | 4.50% | | | | 07/25/2040 | | | | 40,934,680 | |
| | 22,771,644 | | | Series 2010-79-CZ | | | 4.00% | | | | 07/25/2040 | | | | 23,624,545 | |
| | 33,796,191 | | | Series 2010-79-VZ | | | 4.50% | | | | 07/25/2040 | | | | 36,787,559 | |
| | 21,012,622 | | | Series 2010-84-ZC | | | 4.50% | | | | 08/25/2040 | | | | 21,993,712 | |
| | 42,025,154 | | | Series 2010-84-ZD | | | 4.50% | | | | 08/25/2040 | | | | 43,987,329 | |
| | 40,284,192 | | | Series 2010-84-ZG | | | 4.50% | | | | 08/25/2040 | | | | 43,220,116 | |
| | 6,196,694 | | | Series 2010-90-SA | | | 5.67% | # I/F I/O | | | 08/25/2040 | | | | 638,017 | |
| | 6,415,587 | | | Series 2010-94-Z | | | 4.50% | | | | 08/25/2040 | | | | 7,022,373 | |
| | 8,668,587 | | | Series 2010-99-SG | | | 24.09% | # I/F | | | 09/25/2040 | | | | 16,215,817 | |
| | 13,778,809 | | | Series 2010-9-DS | | | 5.12% | # I/F I/O | | | 02/25/2040 | | | | 1,185,088 | |
| | 30,658,491 | | | Series 2011-106-LZ | | | 3.50% | | | | 10/25/2041 | | | | 28,647,416 | |
| | 520,021 | | | Series 2011-110-LS | | | 9.73% | # I/F | | | 11/25/2041 | | | | 584,376 | |
| | 7,318,046 | | | Series 2011-111-EZ | | | 5.00% | | | | 11/25/2041 | | | | 8,104,729 | |
| | 15,113,623 | | | Series 2011-111-VZ | | | 4.00% | | | | 11/25/2041 | | | | 15,365,378 | |
| | 30,000,000 | | | Series 2011-131-PB | | | 4.50% | | | | 12/25/2041 | | | | 32,797,530 | |
| | 29,500,000 | | | Series 2011-16-AL | | | 3.50% | | | | 03/25/2031 | | | | 29,771,533 | |
| | 38,800,000 | | | Series 2011-17-NY | | | 3.50% | | | | 03/25/2031 | | | | 39,312,393 | |
| | 8,453,090 | | | Series 2011-17-SA | | | 6.29% | # I/F I/O | | | 03/25/2041 | | | | 1,115,374 | |
| | 11,000,000 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 11,109,533 | |
| | 4,744,126 | | | Series 2011-27-BS | | | 8.63% | # I/F | | | 04/25/2041 | | | | 4,756,034 | |
| | 56,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 56,525,364 | |
| | 16,685,490 | | | Series 2011-2-GZ | | | 4.00% | | | | 02/25/2041 | | | | 16,881,870 | |
| | 10,000,000 | | | Series 2011-2-VD | | | 4.00% | | | | 07/25/2027 | | | | 10,436,405 | |
| | 19,184,749 | | | Series 2011-36-VZ | | | 4.50% | | | | 05/25/2041 | | | | 21,035,157 | |
| | 27,294,602 | | | Series 2011-37-Z | | | 4.50% | | | | 05/25/2041 | | | | 29,393,175 | |
| | 7,332,911 | | | Series 2011-38-BZ | | | 4.00% | | | | 05/25/2041 | | | | 7,378,272 | |
| | 8,748,233 | | | Series 2011-39-CB | | | 3.00% | | | | 05/25/2026 | | | | 8,799,318 | |
| | 17,684,031 | | | Series 2011-40-LZ | | | 4.50% | | | | 05/25/2041 | | | | 19,297,946 | |
| | 24,351,488 | | | Series 2011-42-MZ | | | 4.50% | | | | 05/25/2041 | | | | 26,391,741 | |
| | 16,491,107 | | | Series 2011-45-ZA | | | 4.00% | | | | 05/25/2031 | | | | 16,839,284 | |
| | 26,320,392 | | | Series 2011-45-ZB | | | 4.50% | | | | 05/25/2041 | | | | 27,949,282 | |
| | 11,000,000 | | | Series 2011-48-SC | | | 8.84% | # I/F | | | 06/25/2041 | | | | 11,081,611 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 33,361,758 | | | Series 2011-58-SA | | | 6.37% | # I/F I/O | | | 07/25/2041 | | | | 5,900,360 | |
| | 8,318,270 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 9,023,559 | |
| | 13,969,748 | | | Series 2011-60-EL | | | 3.00% | | | | 07/25/2026 | | | | 13,914,568 | |
| | 16,410,158 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 17,285,779 | |
| | 75,504,262 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 78,392,942 | |
| | 22,525,020 | | | Series 2011-72-LZ | | | 5.50% | | | | 04/25/2037 | | | | 25,075,460 | |
| | 12,000,000 | | | Series 2011-74-KL | | | 5.00% | | | | 06/25/2040 | | | | 13,436,442 | |
| | 22,521,998 | | | Series 2011-77-Z | | | 3.50% | | | | 08/25/2041 | | | | 21,053,946 | |
| | 21,787,531 | | | Series 2011-8-AV | | | 4.00% | | | | 01/25/2030 | | | | 22,730,256 | |
| | 21,879,802 | | | Series 2011-99-CZ | | | 4.50% | | | | 10/25/2041 | | | | 22,813,403 | |
| | 99,444,721 | | | Series 2011-99-DZ | | | 5.00% | | | | 10/25/2041 | | | | 113,417,897 | |
| | 10,698,877 | | | Series 2012-104-Z | | | 3.50% | | | | 09/25/2042 | | | | 9,012,873 | |
| | 20,000,000 | | | Series 2012-111-LB | | | 3.50% | | | | 05/25/2041 | | | | 20,814,620 | |
| | 92,677,914 | | | Series 2012-111-MJ | | | 4.00% | | | | 04/25/2042 | | | | 92,781,250 | |
| | 49,935,104 | | | Series 2012-114-DC | | | 2.00% | | | | 08/25/2039 | | | | 49,176,715 | |
| | 179,599,185 | | | Series 2012-122-AD | | | 2.00% | | | | 02/25/2040 | | | | 174,148,709 | |
| | 121,607,288 | | | Series 2012-122-DB | | | 3.00% | | | | 11/25/2042 | | | | 120,317,703 | |
| | 130,198,077 | | | Series 2012-125-LA | | | 3.00% | | | | 11/25/2042 | | | | 132,127,873 | |
| | 18,343,476 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 21,369,242 | |
| | 104,771,078 | | | Series 2012-144-PT | | | 4.45% | # | | | 11/25/2049 | | | | 113,879,771 | |
| | 9,054,793 | | | Series 2012-14-BZ | | | 4.00% | | | | 03/25/2042 | | | | 8,904,687 | |
| | 19,628,475 | | | Series 2012-15-PZ | | | 4.00% | | | | 03/25/2042 | | | | 18,916,305 | |
| | 15,853,435 | | | Series 2012-20-ZT | | | 3.50% | | | | 03/25/2042 | | | | 14,748,039 | |
| | 47,777,877 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 45,653,171 | |
| | 39,284,032 | | | Series 2012-31-Z | | | 4.00% | | | | 04/25/2042 | | | | 38,433,454 | |
| | 26,542,523 | | | Series 2012-63-EB | | | 2.00% | | | | 08/25/2040 | | | | 26,375,119 | |
| | 28,223,737 | | | Series 2012-74-Z | | | 4.00% | | | | 07/25/2042 | | | | 26,641,726 | |
| | 21,048,988 | | | Series 2012-86-ZC | | | 3.50% | | | | 08/25/2042 | | | | 18,694,795 | |
| | 29,326,754 | | | Series 2012-96-VZ | | | 3.50% | | | | 09/25/2042 | | | | 25,095,666 | |
| | 79,112,222 | | | Series 2012-98-BG | | | 4.50% | | | | 08/25/2040 | | | | 84,694,341 | |
| | 115,403,945 | | | Series 2012-99-QE | | | 3.00% | | | | 09/25/2042 | | | | 117,373,774 | |
| | 25,201,472 | | | Series 2013-41-ZH | | | 3.00% | | | | 05/25/2033 | | | | 23,277,425 | |
| | 19,292,416 | | | Series 2013-51-HS | | | 5.19% | # I/F | | | 04/25/2043 | | | | 14,897,804 | |
| | 9,932,074 | | | Series 2013-58-SC | | | 5.73% | # I/F | | | 06/25/2043 | | | | 7,937,683 | |
| | 10,710,201 | | | Series 2013-6-ZH | | | 1.50% | | | | 02/25/2043 | | | | 9,042,231 | |
| | 115,480,601 | | | Series 2013-81-ZQ | | | 3.00% | | | | 08/25/2043 | | | | 98,472,907 | |
| | 31,858,754 | | | Series 400-S4 | | | 5.27% | # I/F I/O | | | 11/25/2039 | | | | 3,864,275 | |
| | 179,083,490 | | | Series 412-A3 | | | 3.00% | | | | 08/25/2042 | | | | 178,818,642 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 33,369,547 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 36,363,312 | |
| | 36,683,255 | | | Pool 735141 | | | 5.50% | | | | 01/01/2035 | | | | 40,122,974 | |
| | 13,683,981 | | | Pool 735230 | | | 5.50% | | | | 02/01/2035 | | | | 14,965,914 | |
| | 25,144,841 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 27,343,564 | |
| | 41,692,668 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 45,330,215 | |
| | 29,751,175 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 32,349,288 | |
| | 10,958,284 | | | Pool 735667 | | | 5.00% | | | | 07/01/2035 | | | | 11,921,770 | |
| | 9,732,484 | | | Pool 735893 | | | 5.00% | | | | 10/01/2035 | | | | 10,573,866 | |
| | 24,678,205 | | | Pool 745275 | | | 5.00% | | | | 02/01/2036 | | | | 26,800,859 | |
| | 3,899,549 | | | Pool 745571 | | | 4.00% | | | | 01/01/2019 | | | | 4,144,533 | |
| | 1,177,315 | | | Pool 888695 | | | 5.00% | | | | 08/01/2037 | | | | 1,276,079 | |
| | 4,094,430 | | | Pool 888968 | | | 5.00% | | | | 08/01/2035 | | | | 4,449,408 | |
| | 14,783,519 | | | Pool 889509 | | | 6.00% | | | | 05/01/2038 | | | | 16,161,191 | |
| | 34,823,792 | | | Pool 889662 | | | 6.00% | | | | 06/01/2038 | | | | 38,069,010 | |
| | 45,683,570 | | | Pool 890385 | | | 6.00% | | | | 12/01/2039 | | | | 49,940,807 | |
| | 5,682,513 | | | Pool 929321 | | | 5.50% | | | | 03/01/2038 | | | | 6,193,091 | |
| | 2,712,028 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 2,939,875 | |
| | 3,095,416 | | | Pool 961410 | | | 6.00% | | | | 01/01/2038 | | | | 3,383,877 | |
| | 973,907 | | | Pool 975116 | | | 5.00% | | | | 05/01/2038 | | | | 1,055,607 | |
| | 9,092,335 | | | Pool 982036 | | | 6.00% | | | | 05/01/2038 | | | | 9,939,647 | |
| | 14,189,264 | | | Pool 985190 | | | 6.00% | | | | 08/01/2038 | | | | 15,511,557 | |
| | 5,293,809 | | | Pool 986864 | | | 6.50% | | | | 08/01/2038 | | | | 5,855,755 | |
| | 8,044,567 | | | Pool 987316 | | | 6.50% | | | | 09/01/2038 | | | | 8,899,363 | |
| | 59,869,275 | | | Pool 995023 | | | 5.50% | | | | 08/01/2037 | | | | 65,350,324 | |
| | 23,497,826 | | | Pool 995070 | | | 5.50% | | | | 08/01/2037 | | | | 25,706,434 | |
| | 86,773,336 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 94,882,633 | |
| | 43,654,267 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 47,485,082 | |
| | 4,410,522 | | | Pool 995581 | | | 6.00% | | | | 01/01/2039 | | | | 4,821,819 | |
| | 75,188,669 | | | Pool 995849 | | | 5.00% | | | | 08/01/2036 | | | | 81,737,672 | |
| | 48,190,429 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 51,423,598 | |
| | 1,076,140 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 1,134,508 | |
| | 8,259,740 | | | Pool AB3713 | | | 4.00% | | | | 10/01/2031 | | | | 8,803,213 | |
| | 25,228,912 | | | Pool AB3796 | | | 3.50% | | | | 11/01/2031 | | | | 26,216,832 | |
| | 13,478,567 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 13,997,223 | |
| | 30,538,945 | | | Pool AB3923 | | | 4.00% | | | | 11/01/2041 | | | | 31,714,109 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 27 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 74,955,725 | | | Pool AB4167 | | | 3.50% | | | | 01/01/2032 | | | | 77,891,406 | |
| | 73,976,976 | | | Pool AB4261 | | | 3.50% | | | | 01/01/2032 | | | | 76,869,697 | |
| | 14,473,317 | | | Pool AB5084 | | | 3.50% | | | | 05/01/2032 | | | | 15,039,023 | |
| | 28,362,850 | | | Pool AB5156 | | | 3.50% | | | | 05/01/2032 | | | | 29,475,544 | |
| | 46,831,148 | | | Pool AB5212 | | | 3.50% | | | | 05/01/2032 | | | | 48,649,432 | |
| | 20,509,673 | | | Pool AB5243 | | | 4.00% | | | | 05/01/2042 | | | | 21,299,846 | |
| | 63,674,611 | | | Pool AB5911 | | | 3.00% | | | | 08/01/2032 | | | | 63,740,116 | |
| | 26,206,504 | | | Pool AB6349 | | | 3.00% | | | | 10/01/2032 | | | | 26,338,339 | |
| | 75,042,410 | | | Pool AB6750 | | | 3.00% | | | | 10/01/2032 | | | | 75,119,202 | |
| | 37,813,629 | | | Pool AB6751 | | | 3.00% | | | | 10/01/2032 | | | | 37,852,499 | |
| | 145,566,510 | | | Pool AB7077 | | | 3.00% | | | | 11/01/2042 | | | | 142,605,066 | |
| | 120,005,774 | | | Pool AB7344 | | | 3.00% | | | | 12/01/2032 | | | | 120,129,316 | |
| | 47,810,002 | | | Pool AB7776 | | | 3.00% | | | | 02/01/2043 | | | | 46,044,875 | |
| | 29,042,584 | | | Pool AB8418 | | | 3.00% | | | | 02/01/2033 | | | | 29,072,456 | |
| | 44,390,958 | | | Pool AB8520 | | | 3.00% | | | | 02/01/2033 | | | | 44,436,700 | |
| | 44,939,905 | | | Pool AB8703 | | | 3.00% | | | | 03/01/2038 | | | | 44,025,636 | |
| | 24,793,483 | | | Pool AB8858 | | | 3.00% | | | | 04/01/2033 | | | | 24,818,954 | |
| | 37,366,806 | | | Pool AB9020 | | | 3.00% | | | | 04/01/2038 | | | | 36,606,606 | |
| | 38,918,672 | | | Pool AB9197 | | | 3.00% | | | | 05/01/2033 | | | | 38,958,531 | |
| | 120,171,768 | | | Pool AB9406 | | | 3.00% | | | | 05/01/2033 | | | | 120,295,404 | |
| | 25,644,079 | | | Pool AB9409 | | | 3.00% | | | | 05/01/2033 | | | | 25,670,343 | |
| | 1,322,602 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 1,398,734 | |
| | 89,790,124 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 98,019,410 | |
| | 37,462,316 | | | Pool AD0500 | | | 5.50% | | | | 09/01/2036 | | | | 40,994,869 | |
| | 1,751,236 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 1,899,407 | |
| | 3,902,602 | | | Pool AD6438 | | | 5.00% | | | | 06/01/2040 | | | | 4,253,798 | |
| | 487,634 | | | Pool AD7018 | | | 5.00% | | | | 04/01/2040 | | | | 515,836 | |
| | 2,651,844 | | | Pool AD7859 | | | 5.00% | | | | 06/01/2040 | | | | 2,904,149 | |
| | 5,373,973 | | | Pool AH1140 | | | 4.50% | | | | 12/01/2040 | | | | 5,666,888 | |
| | 21,366,611 | | | Pool AH4437 | | | 4.00% | | | | 01/01/2041 | | | | 22,180,498 | |
| | 5,057,444 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 5,396,356 | |
| | 28,116,261 | | | Pool AH9323 | | | 4.00% | | | | 04/01/2026 | | | | 29,900,803 | |
| | 5,513,029 | | | Pool AI8889 | | | 4.00% | | | | 08/01/2041 | | | | 5,724,453 | |
| | 18,855,974 | | | Pool AI9831 | | | 4.00% | | | | 09/01/2041 | | | | 19,583,474 | |
| | 7,234,472 | | | Pool AJ1265 | | | 4.00% | | | | 09/01/2041 | | | | 7,513,009 | |
| | 8,083,962 | | | Pool AJ1399 | | | 4.00% | | | | 09/01/2041 | | | | 8,395,155 | |
| | 30,138,783 | | | Pool AJ1467 | | | 4.00% | | | | 10/01/2041 | | | | 31,295,470 | |
| | 13,112,046 | | | Pool AJ3392 | | | 4.00% | | | | 10/01/2041 | | | | 13,619,230 | |
| | 8,178,020 | | | Pool AJ3854 | | | 4.00% | | | | 10/01/2041 | | | | 8,493,838 | |
| | 92,015,804 | | | Pool AJ4118 | | | 4.00% | | | | 11/01/2041 | | | | 95,534,014 | |
| | 23,662,351 | | | Pool AJ4131 | | | 4.00% | | | | 10/01/2041 | | | | 24,576,270 | |
| | 6,746,179 | | | Pool AJ5172 | | | 4.00% | | | | 11/01/2041 | | | | 7,007,101 | |
| | 42,910,612 | | | Pool AJ7677 | | | 3.50% | | | | 12/01/2041 | | | | 43,248,416 | |
| | 11,476,953 | | | Pool AJ8334 | | | 4.00% | | | | 12/01/2041 | | | | 11,920,071 | |
| | 75,558,522 | | | Pool AK0713 | | | 3.50% | | | | 01/01/2032 | | | | 78,520,803 | |
| | 23,733,981 | | | Pool AK4039 | | | 4.00% | | | | 02/01/2042 | | | | 24,640,622 | |
| | 16,331,738 | | | Pool AK4763 | | | 4.00% | | | | 02/01/2042 | | | | 16,963,095 | |
| | 20,083,434 | | | Pool AK9438 | | | 4.00% | | | | 03/01/2042 | | | | 20,858,968 | |
| | 28,640,329 | | | Pool AK9439 | | | 4.00% | | | | 03/01/2042 | | | | 29,745,899 | |
| | 4,739,457 | | | Pool AK9446 | | | 4.50% | | | | 03/01/2042 | | | | 4,996,448 | |
| | 29,493,723 | | | Pool AL1485 | | | 6.00% | | | | 01/01/2040 | | | | 32,306,126 | |
| | 15,627,410 | | | Pool AL1548 | | | 6.00% | | | | 07/01/2039 | | | | 17,139,930 | |
| | 30,623,267 | | | Pool AL1554 | | | 6.00% | | | | 01/01/2040 | | | | 33,584,211 | |
| | 62,142,608 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 67,933,657 | |
| | 59,386,292 | | | Pool AL1691 | | | 6.00% | | | | 06/01/2041 | | | | 64,920,480 | |
| | 88,941,656 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 97,230,100 | |
| | 28,253,260 | | | Pool AL1745 | | | 6.00% | | | | 03/01/2040 | | | | 30,886,172 | |
| | 30,095,670 | | | Pool AL1793 | | | 6.00% | | | | 01/01/2041 | | | | 32,901,430 | |
| | 145,992,802 | | | Pool AL3038 | | | 3.00% | | | | 01/01/2033 | | | | 146,142,970 | |
| | 187,536,896 | | | Pool AL3699 | | | 3.00% | | | | 06/01/2043 | | | | 180,605,699 | |
| | 95,279,856 | | | Pool AL3883 | | | 3.00% | | | | 07/01/2043 | | | | 91,761,085 | |
| | 13,388,609 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 14,359,283 | |
| | 82,896,333 | | | Pool AO2980 | | | 4.00% | | | | 05/01/2042 | | | | 86,085,802 | |
| | 130,352,124 | | | Pool AP4787 | | | 3.50% | | | | 09/01/2042 | | | | 131,378,132 | |
| | 128,613,751 | | | Pool AP4789 | | | 3.50% | | | | 09/01/2042 | | | | 129,626,093 | |
| | 7,945,637 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 8,609,986 | |
| | 144,873 | | | Pool MA0315 | | | 4.50% | | | | 01/01/2025 | | | | 149,700 | |
| | 31,447,353 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 34,159,248 | |
| | 7,139,473 | | | Pool MA0406 | | | 4.50% | | | | 05/01/2030 | | | | 7,734,751 | |
| | 697,856 | | | Pool MA0445 | | | 5.00% | | | | 06/01/2040 | | | | 737,196 | |
| | 2,641,503 | | | Pool MA0459 | | | 4.00% | | | | 07/01/2020 | | | | 2,803,549 | |
| | 2,454,605 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 2,595,144 | |
| | 8,426,371 | | | Pool MA0502 | | | 4.00% | | | | 08/01/2020 | | | | 8,942,353 | |
| | 3,695,586 | | | Pool MA0517 | | | 4.00% | | | | 09/01/2020 | | | | 3,925,690 | |
| | 9,184,172 | | | Pool MA0534 | | | 4.00% | | | | 10/01/2030 | | | | 9,795,083 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 22,073,216 | | | Pool MA0536 | | | 4.00% | | | | 10/01/2020 | | | | 23,432,746 | |
| | 26,483,035 | | | Pool MA0580 | | | 4.00% | | | | 11/01/2020 | | | | 28,113,343 | |
| | 1,832,780 | | | Pool MA0587 | | | 4.00% | | | | 12/01/2030 | | | | 1,955,035 | |
| | 45,484,399 | | | Pool MA0616 | | | 4.00% | | | | 01/01/2031 | | | | 48,522,487 | |
| | 19,498,289 | | | Pool MA0871 | | | 4.00% | | | | 10/01/2041 | | | | 20,248,149 | |
| | 20,990,159 | | | Pool MA0896 | | | 4.00% | | | | 11/01/2041 | | | | 21,801,927 | |
| | 294,374,997 | | | Pool MA0919 | | | 3.50% | | | | 12/01/2031 | | | | 305,877,091 | |
| | 124,718,655 | | | Pool MA0949 | | | 3.50% | | | | 01/01/2032 | | | | 129,587,448 | |
| | 143,482,230 | | | Pool MA0976 | | | 3.50% | | | | 02/01/2032 | | | | 149,085,183 | |
| | 69,957,394 | | | Pool MA1010 | | | 3.50% | | | | 03/01/2032 | | | | 72,689,378 | |
| | 21,213,717 | | | Pool MA1039 | | | 3.50% | | | | 04/01/2042 | | | | 21,379,963 | |
| | 92,572,614 | | | Pool MA1059 | | | 3.50% | | | | 05/01/2032 | | | | 96,192,258 | |
| | 12,895,775 | | | Pool MA1068 | | | 3.50% | | | | 05/01/2042 | | | | 12,997,054 | |
| | 203,664,113 | | | Pool MA1084 | | | 3.50% | | | | 06/01/2032 | | | | 211,664,992 | |
| | 29,931,962 | | | Pool MA1093 | | | 3.50% | | | | 06/01/2042 | | | | 30,167,475 | |
| | 31,760,671 | | | Pool MA1094 | | | 4.00% | | | | 06/01/2042 | | | | 32,977,502 | |
| | 120,536,299 | | | Pool MA1107 | | | 3.50% | | | | 07/01/2032 | | | | 125,083,620 | |
| | 286,014,261 | | | Pool MA1117 | | | 3.50% | | | | 07/01/2042 | | | | 288,265,330 | |
| | 326,270,806 | | | Pool MA1136 | | | 3.50% | | | | 08/01/2042 | | | | 328,838,636 | |
| | 79,144,638 | | | Pool MA1138 | | | 3.50% | | | | 08/01/2032 | | | | 82,130,455 | |
| | 89,988,021 | | | Pool MA1179 | | | 3.50% | | | | 09/01/2042 | | | | 90,696,301 | |
| | 325,222,336 | | | Pool MA1200 | | | 3.00% | | | | 10/01/2032 | | | | 325,556,564 | |
| | 15,941,310 | | | Pool MA1201 | | | 3.50% | | | | 10/01/2032 | | | | 16,542,684 | |
| | 202,049,782 | | | Pool MA1209 | | | 3.50% | | | | 10/01/2042 | | | | 203,639,799 | |
| | 462,898,399 | | | Pool MA1237 | | | 3.00% | | | | 11/01/2032 | | | | 463,374,379 | |
| | 12,336,536 | | | Pool MA1242 | | | 3.50% | | | | 11/01/2042 | | | | 12,433,614 | |
| | 350,602,631 | | | Pool MA1275 | | | 3.00% | | | | 12/01/2032 | | | | 350,963,205 | |
| | 46,946,825 | | | Pool MA1338 | | | 3.00% | | | | 02/01/2033 | | | | 46,995,114 | |
| | 184,255,135 | | | Pool MA1366 | | | 3.00% | | | | 03/01/2033 | | | | 184,444,748 | |
| | 208,965,676 | | | Pool MA1401 | | | 3.00% | | | | 04/01/2033 | | | | 209,180,570 | |
| | 158,556,492 | | | Pool MA1432 | | | 3.00% | | | | 05/01/2033 | | | | 158,719,722 | |
| | 200,928,846 | | | Pool MA1459 | | | 3.00% | | | | 06/01/2033 | | | | 201,135,360 | |
| | 24,739,596 | | | Pool MA1490 | | | 3.00% | | | | 07/01/2033 | | | | 24,765,043 | |
| | 24,001,464 | | | Pool MA3894 | | | 4.00% | | | | 09/01/2031 | | | | 25,705,501 | |
| |
| | | | Government National Mortgage Association, | |
| | 14,700,000 | | | Series 2003-67-SP | | | 6.92% | # I/F I/O | | | 08/20/2033 | | | | 4,198,829 | |
| | 15,417,649 | | | Series 2003-86-ZK | | | 5.00% | | | | 10/20/2033 | | | | 17,246,421 | |
| | 6,262,321 | | | Series 2004-49-Z | | | 6.00% | | | | 06/20/2034 | | | | 7,085,475 | |
| | 6,500,000 | | | Series 2004-80-PH | | | 5.00% | | | | 07/20/2034 | | | | 7,035,590 | |
| | 17,057,589 | | | Series 2004-83-CS | | | 5.90% | # I/F I/O | | | 10/20/2034 | | | | 2,082,709 | |
| | 3,056,481 | | | Series 2005-21-Z | | | 5.00% | | | | 03/20/2035 | | | | 3,443,575 | |
| | 20,005,108 | | | Series 2005-39-ZB | | | 5.00% | | | | 07/20/2034 | | | | 22,027,495 | |
| | 1,021,131 | | | Series 2006-24-CX | | | 38.65% | # I/F | | | 05/20/2036 | | | | 2,345,557 | |
| | 28,996,713 | | | Series 2007-26-SJ | | | 4.51% | # I/F I/O | | | 04/20/2037 | | | | 2,639,272 | |
| | 12,392,064 | | | Series 2008-2-SM | | | 6.32% | # I/F I/O | | | 01/16/2038 | | | | 2,118,012 | |
| | 22,793,277 | | | Series 2008-42-AI | | | 7.51% | # I/F I/O | | | 05/16/2038 | | | | 4,178,393 | |
| | 11,503,909 | | | Series 2008-43-SH | | | 6.16% | # I/F I/O | | | 05/20/2038 | | | | 1,410,406 | |
| | 13,032,752 | | | Series 2008-51-SC | | | 6.07% | # I/F I/O | | | 06/20/2038 | | | | 1,747,920 | |
| | 7,384,366 | | | Series 2008-51-SE | | | 6.07% | # I/F I/O | | | 06/16/2038 | | | | 1,154,084 | |
| | 5,269,358 | | | Series 2008-82-SM | | | 5.87% | # I/F I/O | | | 09/20/2038 | | | | 666,391 | |
| | 7,599,678 | | | Series 2008-83-SD | | | 6.38% | # I/F I/O | | | 11/16/2036 | | | | 1,308,263 | |
| | 14,254,662 | | | Series 2009-106-VZ | | | 4.50% | | | | 11/20/2039 | | | | 15,091,988 | |
| | 14,371,793 | | | Series 2009-10-NS | | | 6.47% | # I/F I/O | | | 02/16/2039 | | | | 2,698,435 | |
| | 9,404,408 | | | Series 2009-24-SN | | | 5.92% | # I/F I/O | | | 09/20/2038 | | | | 1,107,684 | |
| | 21,044,650 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 22,571,934 | |
| | 66,817,731 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 72,613,801 | |
| | 5,927 | | | Series 2009-41-ZQ | | | 4.50% | | | | 06/16/2039 | | | | 5,992 | |
| | 14,317,366 | | | Series 2009-48-Z | | | 5.00% | | | | 06/16/2039 | | | | 15,996,278 | |
| | 4,270,685 | | | Series 2009-50-KP | | | 4.50% | | | | 06/20/2039 | | | | 4,579,652 | |
| | 12,775,699 | | | Series 2009-69-TS | | | 6.02% | # I/F I/O | | | 04/16/2039 | | | | 1,843,328 | |
| | 9,574,515 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 10,376,452 | |
| | 17,754,003 | | | Series 2009-87-IG | | | 6.56% | # I/F I/O | | | 03/20/2037 | | | | 2,271,937 | |
| | 1,061,490 | | | Series 2010-166-SJ | | | 9.43% | # I/F | | | 12/20/2040 | | | | 1,067,252 | |
| | 35,496,441 | | | Series 2010-1-SA | | | 5.57% | # I/F I/O | | | 01/16/2040 | | | | 3,899,696 | |
| | 3,120,955 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 3,224,880 | |
| | 92,101,701 | | | Series 2010-26-QS | | | 6.07% | # I/F I/O | | | 02/20/2040 | | | | 17,495,971 | |
| | 12,767,000 | | | Series 2010-42-AY | | | 5.00% | | | | 11/20/2039 | | | | 14,049,158 | |
| | 21,500,939 | | | Series 2010-42-ES | | | 5.50% | # I/F I/O | | | 04/20/2040 | | | | 3,430,354 | |
| | 7,731,061 | | | Series 2010-61-AS | | | 6.37% | # I/F I/O | | | 09/20/2039 | | | | 1,046,600 | |
| | 63,602,773 | | | Series 2010-62-SB | | | 5.57% | # I/F I/O | | | 05/20/2040 | | | | 9,487,111 | |
| | 7,959,995 | | | Series 2010-62-ZG | | | 5.50% | | | | 05/16/2040 | | | | 9,013,273 | |
| | 2,130,018 | | | Series 2011-12-PO | | | 0.00% | P/O | | | 12/20/2040 | | | | 2,003,490 | |
| | 7,833,334 | | | Series 2011-18-SN | | | 9.14% | # I/F | | | 12/20/2040 | | | | 8,240,212 | |
| | 8,333,334 | | | Series 2011-18-YS | | | 9.14% | # I/F | | | 12/20/2040 | | | | 8,765,877 | |
| | | | | | |
| 28 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Government National Mortgage Association, (Cont.) | |
| $ | 11,146,569 | | | Series 2011-51-UZ | | | 4.50% | | | | 04/20/2041 | | | | 12,144,783 | |
| | 11,012,403 | | | Series 2011-69-OC | | | 0.00% | P/O | | | 05/20/2041 | | | | 9,546,630 | |
| | 88,908,354 | | | Series 2011-69-SB | | | 5.17% | # I/F I/O | | | 05/20/2041 | | | | 12,615,686 | |
| | 23,172,644 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 24,385,280 | |
| | 34,111,710 | | | Series 2011-72-AS | | | 5.20% | # I/F I/O | | | 05/20/2041 | | | | 4,381,666 | |
| | 26,624,832 | | | Series 2011-72-SK | | | 5.97% | # I/F I/O | | | 05/20/2041 | | | | 3,410,553 | |
| | 30,763,427 | | | Series 2012-105-SE | | | 6.02% | # I/F I/O | | | 01/20/2041 | | | | 5,538,813 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $17,535,553,466) | | | | 17,485,321,739 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 5.4% | | | | | |
| | 1,325,000,000 | | | United States Treasury Notes | | | 1.63% | | | | 11/15/2022 | | | | 1,226,971,200 | |
| | 700,000,000 | | | United States Treasury Notes | | | 2.00% | | | | 02/15/2023 | | | | 666,804,600 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $1,990,878,554) | | | | 1,893,775,800 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 6.5% | | | | | |
| | 50,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 10/01/2013 | | | | 50,000,000 | |
| | 50,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 12/20/2013 | | | | 49,998,900 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.10% | | | | 11/20/2013 | | | | 100,006,100 | |
| | 133,040,000 | | | Federal Home Loan Banks | | | 0.38% | | | | 11/27/2013 | | | | 133,106,254 | |
| | 50,000,000 | | | Federal Home Loan Banks | | | 0.11% | | | | 12/19/2013 | | | | 50,005,950 | |
| | 95,000,000 | | | Federal Home Loan Banks | | | 0.16% | | | | 12/19/2013 | | | | 95,021,565 | |
| | 120,000,000 | | | Federal Home Loan Banks | | | 0.10% | | | | 12/20/2013 | | | | 120,011,880 | |
| | 135,000,000 | | | Federal Home Loan Banks | | | 0.17% | | | | 12/24/2013 | | | | 135,035,775 | |
| | 50,000,000 | | | Federal Home Loan Banks | | | 0.88% | | | | 12/27/2013 | | | | 50,097,900 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.09% | | | | 01/24/2014 | | | | 100,011,000 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.11% | | | | 01/29/2014 | | | | 100,018,000 | |
| | 80,000,000 | | | Federal Home Loan Banks | | | 0.09% | | | | 01/30/2014 | | | | 80,009,280 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 150,000,000 | | | Federal Home Loan Banks | | | 0.09% | | | | 01/30/2014 | | | | 150,017,400 | |
| | 50,000,000 | | | Federal Home Loan Banks | | | 0.06% | # | | | 02/07/2014 | | | | 50,028,200 | |
| | 66,700,000 | | | Federal Home Loan Banks | | | 0.09% | # | | | 02/14/2014 | | | | 66,714,073 | |
| | 48,845,000 | | | Federal Home Loan Banks | | | 0.20% | | | | 07/29/2014 | | | | 48,865,612 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.20% | | | | 08/29/2014 | | | | 100,044,000 | |
| | 50,000,000 | | | Federal Home Loan Banks | | | 0.22% | | | | 09/24/2014 | | | | 50,006,150 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 3.00% | | | | 02/06/2014 | ~ | | | 100,936,500 | |
| | 50,000,000 | | | Federal National Mortgage Association | | | 0.75% | | | | 12/18/2013 | | | | 50,077,500 | |
| | 249,331,084 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 249,331,084 | |
| | 50,000,000 | | | Freddie Mac Discount Notes | | | 0.00% | | | | 11/26/2013 | | | | 49,991,445 | |
| | 50,000,000 | | | Freddie Mac Discount Notes | | | 0.00% | | | | 12/03/2013 | | | | 49,999,150 | |
| | 50,000,000 | | | Freddie Mac Discount Notes | | | 0.00% | | | | 12/10/2013 | | | | 49,999,050 | |
| | 200,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 10/24/2013 | | | | 199,992,206 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $2,279,034,209) | | | | 2,279,324,974 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.9%
(Cost $34,967,381,738) | | | | 35,068,666,133 | |
| | | | Other Assets in Excess of Liabilities 0.1% | | | | 38,537,212 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 35,107,203,345 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as % of Net Assets | | | | |
US Government / Agency Mortgage Backed Obligations | | | 49.8% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 28.7% | |
Short Term Investments | | | 6.5% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 6.4% | |
US Government Bonds and Notes | | | 5.4% | |
Collateralized Loan Obligations | | | 3.1% | |
Other Assets and Liabilities | | | 0.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2013. |
| ^ | 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 September 30, 2013, the value of these securities amounted to $3,782,183,353 or 10.8% of net assets. |
| I/O | Interest only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| P/O | Principal only security |
| ¨ | Seven-day yield as of September 30, 2013 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 29 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 3.1% | |
| |
| | | | Adirondack Park Ltd., | |
| $ | 368,761 | | | Series 2013-1A-X | | | 1.27% | #^ | | | 04/15/2016 | | | | 368,830 | |
| |
| | | | ALM Loan Funding, | |
| | 1,000,000 | | | Series 2011-4A-C | | | 3.02% | #^ | | | 07/18/2022 | | | | 978,145 | |
| |
| | | | ARES Ltd., | |
| | 1,500,000 | | | Series 2012-2A-D | | | 4.97% | #^ | | | 10/12/2023 | | | | 1,503,163 | |
| | 2,000,000 | | | Series 2013-1A-D | | | 4.04% | #^ | | | 04/15/2025 | | | | 1,915,996 | |
| |
| | | | BlueMountain Ltd., | |
| | 1,500,000 | | | Series 2012-1A-E | | | 5.77% | #^ | | | 07/20/2023 | | | | 1,452,644 | |
| |
| | | | Brookside Mill Ltd., | |
| | 1,250,000 | | | Series 2013-1A-C1 | | | 2.92% | #^ | | | 04/17/2025 | | | | 1,220,444 | |
| | 2,250,000 | | | Series 2013-1A-D | | | 3.27% | #^ | | | 04/17/2025 | | | | 2,071,531 | |
| | 1,250,000 | | | Series 2013-1A-E | | | 4.62% | #^ | | | 04/17/2025 | | | | 1,134,775 | |
| |
| | | | Cent Ltd., | |
| | 2,000,000 | | | Series 2013-18A-D | | | 3.70% | #^ | | | 07/23/2025 | | | | 1,908,806 | |
| | 1,500,000 | | | Series 2013-18A-E | | | 4.85% | #^ | | | 07/23/2025 | | | | 1,336,922 | |
| |
| | | | Centurion Ltd., | |
| | 2,000,000 | | | Series 2005-8X-C | | | 2.26% | # | | | 03/08/2017 | | | | 1,936,626 | |
| |
| | | | Chatham Light Ltd., | |
| | 1,500,000 | | | Series 2005-2A-C | | | 1.97% | #^ | | | 08/03/2019 | | | | 1,438,339 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 2,000,000 | | | Series 2012-24A-D | | | 5.01% | #^ | | | 11/15/2023 | | | | 2,009,957 | |
| |
| | | | Four Corners Ltd., | |
| | 2,000,000 | | | Series 2006-3A-D | | | 1.77% | #^ | | | 07/22/2020 | | | | 1,917,176 | |
| |
| | | | Galaxy Ltd., | |
| | 1,000,000 | | | Series 2013-15A-B | | | 2.13% | #^ | | | 04/15/2025 | | | | 996,492 | |
| | 1,000,000 | | | Series 2013-15A-C | | | 2.88% | #^ | | | 04/15/2025 | | | | 959,860 | |
| | 1,000,000 | | | Series 2013-15A-D | | | 3.68% | #^ | | | 04/15/2025 | | | | 956,788 | |
| |
| | | | GLG Ore Hill Ltd., | |
| | 250,000 | | | Series 2013-1A-A | | | 1.39% | #^ | | | 07/15/2025 | | | | 245,225 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 760,000 | | | Series 2007-4A-D | | | 4.51% | #^ | | | 08/18/2022 | | | | 722,953 | |
| | 2,000,000 | | | Series 2012-6A-D | | | 4.47% | #^ | | | 04/17/2022 | | | | 1,994,256 | |
| |
| | | | ICE Global Credit Ltd., | |
| | 1,000,000 | | | Series 2013-1A-X | | | 1.27% | #^ | | | 04/20/2015 | | | | 1,000,000 | |
| |
| | | | LCM LP, | |
| | 2,000,000 | | | Series 10A-D | | | 4.87% | #^ | | | 04/15/2022 | | | | 1,995,302 | |
| | 1,000,000 | | | Series 10X-A | | | 1.75% | # | | | 04/15/2022 | | | | 1,000,873 | |
| | 2,000,000 | | | Series 11A-D2 | | | 4.22% | #^ | | | 04/19/2022 | | | | 1,974,251 | |
| | 1,000,000 | | | Series 12A-E | | | 6.02% | #^ | | | 10/19/2022 | | | | 983,703 | |
| |
| | | | Magnetite Ltd., | |
| | 1,500,000 | | | Series 2012-7A-D | | | 5.52% | #^ | | | 01/15/2025 | | | | 1,428,334 | |
| |
| | | | Nomad Ltd., | |
| | 1,500,000 | | | Series 2013-1A-B | | | 3.22% | #^ | | | 01/15/2025 | | | | 1,477,849 | |
| | 1,500,000 | | | Series 2013-1A-C | | | 3.77% | #^ | | | 01/15/2025 | | | | 1,445,121 | |
| |
| | | | OCP Ltd., | |
| | 2,000,000 | | | Series 2013-3A-B | | | 3.03% | #^ | | | 01/17/2025 | | | | 1,951,856 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 2,000,000 | | | Series 2013-1A-D | | | 3.62% | #^ | | | 07/17/2025 | | | | 1,904,707 | |
| | 2,000,000 | | | Series 2013-1A-E | | | 4.77% | #^ | | | 07/17/2025 | | | | 1,809,604 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 2,000,000 | | | Series 2011-1AR-DR | | | 3.32% | #^ | | | 04/20/2021 | | | | 1,974,516 | |
| |
| | | | Race Point Ltd., | |
| | 1,000,000 | | | Series 2013-8A-B | | | 2.16% | #^ | | | 02/20/2025 | | | | 1,005,014 | |
| |
| | | | Saturn Ltd., | |
| | 500,000 | | | Series 2007-1A-D | | | 4.26% | #^ | | | 05/13/2022 | | | | 460,383 | |
| |
| | | | TCW Global Project Fund Ltd., | |
| | 572,173 | | | Series 2004-1A-REV | | | 0.92% | #^ | | | 06/15/2016 | | | | 569,313 | |
| |
| | | | Venture Ltd., | |
| | 2,500,000 | | | Series 2005-1A-A2 | | | 0.71% | #^ | | | 11/22/2018 | | | | 2,406,246 | |
| | 500,000 | | | Series 2012-10A-C | | | 3.52% | #^ | | | 07/20/2022 | | | | 494,157 | |
| | 2,000,000 | | | Series 2012-10A-D | | | 4.47% | #^ | | | 07/20/2022 | | | | 1,986,207 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | WhiteHorse Ltd., | |
| $ | 2,000,000 | | | Series 2006-1A-B1L | | | 2.12% | #^ | | | 05/01/2018 | | | | 1,951,419 | |
| |
| | | | Wind River Ltd., | |
| | 3,000,000 | | | Series 2013-1A-C | | | 3.68% | #^ | | | 04/20/2025 | | | | 2,885,038 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $58,055,851) | | | | 57,772,821 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 16.4% | |
| | 700,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 742,000 | |
| | 4,300,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 4,558,000 | |
| | 1,000,000 | | | Alfa Bond Issuance | | | 7.50% | | | | 09/26/2019 | | | | 1,037,500 | |
| | 1,500,000 | | | Alpek S.A. de C.V. | | | 5.38% | ^ | | | 08/08/2023 | | | | 1,488,750 | |
| | 2,100,000 | | | Anadolu Efes Biracilik ve Malt Sanayii A.S. | | | 3.38% | ^ | | | 11/01/2022 | | | | 1,727,250 | |
| | 5,475,000 | | | Australia and New Zealand Banking Group Ltd. | | | 4.88% | ^ | | | 01/12/2021 | | | | 6,008,763 | |
| | 2,500,000 | | | Banco de Bogota S.A. | | | 5.38% | ^ | | | 02/19/2023 | | | | 2,343,750 | |
| | 2,500,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 2,343,750 | |
| | 5,000,000 | | | Banco de Credito del Peru | | | 4.25% | ^ | | | 04/01/2023 | | | | 4,465,000 | |
| | 1,300,000 | | | Banco de Credito del Peru | | | 4.25% | | | | 04/01/2023 | | | | 1,160,900 | |
| | 1,000,000 | | | Banco de Credito del Peru | | | 6.13% | #^ | | | 04/24/2027 | | | | 982,500 | |
| | 503,000 | | | Banco de Credito del Peru | | | 9.75% | #^ | | | 11/06/2069 | | | | 574,678 | |
| | 350,000 | | | Banco de Credito del Peru | | | 9.75% | # | | | 11/06/2069 | | | | 399,875 | |
| | 1,000,000 | | | Banco de Credito e Inversiones | | | 4.00% | | | | 02/11/2023 | | | | 915,740 | |
| | 3,000,000 | | | Banco do Brasil S.A. | | | 8.50% | # | | | 10/20/2020 | | | | 3,360,000 | |
| | 2,000,000 | | | Banco do Brasil S.A. | | | 5.88% | | | | 01/19/2023 | | | | 1,885,000 | |
| | 900,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | ^ | | | 05/02/2018 | | | | 839,250 | |
| | 800,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 746,000 | |
| | 1,000,000 | | | Banco International del Peru S.A.A. | | | 5.75% | | | | 10/07/2020 | | | | 995,000 | |
| | 895,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 946,462 | |
| | 1,000,000 | | | Banco Nacional de Desenvolvimento Economico e Social | | | 5.75% | ^ | | | 09/26/2023 | | | | 1,002,500 | |
| | 6,900,000 | | | Bancolombia S.A. | | | 5.95% | | | | 06/03/2021 | | | | 7,038,000 | |
| | 6,150,000 | | | Bank Of Montreal | | | 1.40% | | | | 09/11/2017 | | | | 6,065,019 | |
| | 500,000 | | | BBVA Banco Continental S.A. | | | 5.00% | | | | 08/26/2022 | | | | 481,250 | |
| | 5,650,000 | | | BBVA Bancomer S.A. | | | 6.50% | | | | 03/10/2021 | | | | 5,904,250 | |
| | 2,687,000 | | | BP Capital Markets PLC | | | 4.75% | | | | 03/10/2019 | | | | 2,975,960 | |
| | 25,000 | | | BP Capital Markets PLC | | | 2.50% | | | | 11/06/2022 | | | | 22,661 | |
| | 5,388,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 6,181,108 | |
| | 4,200,000 | | | Celulosa Arauco y Constitucion S.A. | | | 4.75% | | | | 01/11/2022 | | | | 4,101,178 | |
| | 2,400,000 | | | Cemex Espana S.A. | | | 9.25% | | | | 05/12/2020 | | | | 2,592,000 | |
| | 300,000 | | | Cemex S.A.B. de C.V. | | | 9.00% | | | | 01/11/2018 | | | | 324,750 | |
| | 1,400,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 1,332,423 | |
| | 6,600,000 | | | Cencosud S.A. | | | 4.88% | ^ | | | 01/20/2023 | | | | 6,281,425 | |
| | 5,400,000 | | | CFR International S.A. | | | 5.13% | | | | 12/06/2022 | | | | 4,983,358 | |
| | 600,000 | | | CFR International S.A. | | | 5.13% | ^ | | | 12/06/2022 | | | | 553,706 | |
| | 4,000,000 | | | Cia Minera Milpo S.A.A. | | | 4.63% | ^ | | | 03/28/2023 | | | | 3,610,000 | |
| | 8,500,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 7,793,174 | |
| | 3,500,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 2,992,500 | |
| | 2,000,000 | | | Corporacion Financiera de Desarrolo S.A. | | | 4.75% | | | | 02/08/2022 | | | | 1,945,000 | |
| | 700,000 | | | Corporacion Lindley S.A. | | | 6.75% | | | | 11/23/2021 | | | | 738,500 | |
| | 2,000,000 | | | Corporacion Lindley S.A. | | | 6.75% | ^ | | | 11/23/2021 | | | | 2,110,000 | |
| | 500,000 | | | Corporacion Lindley S.A. | | | 4.63% | ^ | | | 04/12/2023 | | | | 453,750 | |
| | 800,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | ^ | | | 02/10/2017 | | | | 808,000 | |
| | | | | | |
| 30 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,444,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | | | | 02/10/2017 | | | | 2,468,440 | |
| | 1,700,000 | | | Cosan Luxembourg S.A. | | | 5.00% | ^ | | | 03/14/2023 | | | | 1,534,250 | |
| | 1,300,000 | | | Cosan Luxembourg S.A. | | | 5.00% | | | | 03/14/2023 | | | | 1,173,250 | |
| | 3,125,000 | | | Diageo Capital PLC | | | 1.50% | | | | 05/11/2017 | | | | 3,128,856 | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 500,000 | |
| | 1,500,000 | | | Digicel Ltd. | | | 6.00% | ^ | | | 04/15/2021 | | | | 1,413,750 | |
| | 200,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 09/18/2023 | | | | 208,500 | |
| | 1,500,000 | | | Embraer Overseas Ltd. | | | 5.70% | ^ | | | 09/16/2023 | | | | 1,470,000 | |
| | 400,000 | | | Empresas Publicas de Medellin | | | 7.63% | | | | 07/29/2019 | | | | 463,000 | |
| | 4,400,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 3,905,000 | |
| | 2,100,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 1,863,750 | |
| | 2,000,000 | | | Ferreycorp S.A.A. | | | 4.88% | ^ | | | 04/26/2020 | | | | 1,845,000 | |
| | 2,960,000 | | | France Telecom S.A. | | | 2.75% | | | | 09/14/2016 | | | | 3,055,969 | |
| | 2,600,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.55% | | | | 03/01/2022 | | | | 2,395,479 | |
| | 8,000,000 | | | Gaz Capital S.A. | | | 4.95% | | | | 02/06/2028 | | | | 7,120,000 | |
| | 500,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | #^ | | | 05/11/2022 | | | | 505,000 | |
| | 3,200,000 | | | Grupo Aval Ltd. | | | 4.75% | ^ | | | 09/26/2022 | | | | 2,880,000 | |
| | 3,300,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 2,970,000 | |
| | 2,200,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | ^ | | | 12/04/2022 | | | | 2,117,500 | |
| | 2,400,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | | | | 12/04/2022 | | | | 2,310,000 | |
| | 3,100,456 | | | IIRSA Norte Finance Ltd. | | | 8.75% | | | | 05/30/2024 | | | | 3,627,534 | |
| | 2,200,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 2,018,500 | |
| | 3,800,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 3,486,500 | |
| | 1,100,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 1,157,750 | |
| | 400,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 421,000 | |
| | 2,700,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 2,787,750 | |
| | 2,300,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 2,374,750 | |
| | 2,040,000 | | | Intelsat Ltd. | | | 7.75% | ^ | | | 06/01/2021 | | | | 2,119,050 | |
| | 2,700,000 | | | Inversiones CMPC S.A. | | | 4.50% | ^ | | | 04/25/2022 | | | | 2,527,999 | |
| | 200,000 | | | Inversiones CMPC S.A. | | | 4.50% | | | | 04/25/2022 | | | | 187,259 | |
| | 1,700,000 | | | Inversiones CMPC S.A. | | | 4.38% | ^ | | | 05/15/2023 | | | | 1,589,029 | |
| | 2,000,000 | | | IOI Investment BHD | | | 4.38% | | | | 06/27/2022 | | | | 1,886,218 | |
| | 2,500,000 | | | Itau Unibanco Holding S.A. | | | 5.50% | | | | 08/06/2022 | | | | 2,350,000 | |
| | 500,000 | | | Ixe Banco S.A. | | | 9.25% | | | | 10/14/2020 | | | | 591,565 | |
| | 5,700,000 | | | Korea Development Bank | | | 4.38% | | | | 08/10/2015 | | | | 6,044,297 | |
| | 5,200,000 | | | Lukoil International Finance B.V. | | | 4.56% | | | | 04/24/2023 | | | | 4,850,300 | |
| | 2,000,000 | | | Mexichem S.A.B. de C.V. | | | 4.88% | ^ | | | 09/19/2022 | | | | 1,945,000 | |
| | 3,500,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 3,307,500 | |
| | 300,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 283,500 | |
| | 4,000,000 | | | Noble Group Ltd. | | | 6.75% | | | | 01/29/2020 | | | | 4,160,000 | |
| | 5,300,000 | | | OAS Financial Ltd. | | | 8.88% | #^ | | | 04/25/2018 | | | | 4,836,250 | |
| | 1,900,000 | | | Odebrecht Finance Ltd. | | | 7.50% | | | | 09/14/2015 | | | | 1,852,500 | |
| | 500,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 478,750 | |
| | 4,600,000 | | | Pacific Rubiales Energy Corporation | | | 7.25% | | | | 12/12/2021 | | | | 4,853,000 | |
| | 3,800,000 | | | Pacific Rubiales Energy Corporation | | | 7.25% | ^ | | | 12/12/2021 | | | | 4,009,000 | |
| | 1,500,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | ^ | | | 03/28/2023 | | | | 1,351,875 | |
| | 5,600,000 | | | Pemex Project Funding Master Trust | | | 6.63% | | | | 06/15/2035 | | | | 5,942,328 | |
| | 1,000,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 925,000 | |
| | 1,800,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 1,665,000 | |
| | 2,400,000 | | | Petrobras Global Finance B.V. | | | 4.38% | | | | 05/20/2023 | | | | 2,219,486 | |
| | 5,550,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 01/30/2023 | | | | 5,058,670 | |
| | 700,000 | | | Petroleos Mexicanos | | | 4.88% | | | | 01/18/2024 | | | | 701,750 | |
| | 3,800,000 | | | Polyus Gold International Ltd. | | | 5.63% | ^ | | | 04/29/2020 | | | | 3,743,000 | |
| | 500,000 | | | PTT Public Company Ltd. | | | 3.38% | | | | 10/25/2022 | | | | 457,616 | |
| | 1,525,000 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.84% | | | | 09/30/2027 | | | | 1,643,950 | |
| | 7,100,000 | | | Rosneft International Finance Ltd. | | | 4.20% | | | | 03/06/2022 | | | | 6,567,500 | |
| | 2,425,000 | | | Royal KPN N.V. | | | 8.38% | | | | 10/01/2030 | | | | 3,110,555 | |
| | 2,300,000 | | | SACI Falabella | | | 3.75% | ^ | | | 04/30/2023 | | | | 2,058,500 | |
| | 1,700,000 | | | Samarco Mineracao S.A. | | | 4.13% | ^ | | | 11/01/2022 | | | | 1,483,250 | |
| | 1,600,000 | | | Samarco Mineracao S.A. | | | 4.13% | | | | 11/01/2022 | | | | 1,396,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,500,000 | | | SB Capital S.A. | | | 5.13% | | | | 10/29/2022 | | | | 4,219,650 | |
| | 2,408,000 | | | Scotiabank Peru S.A. | | | 4.50% | # | | | 12/13/2027 | | | | 2,107,000 | |
| | 7,092,000 | | | Scotiabank Peru S.A. | | | 4.50% | #^ | | | 12/13/2027 | | | | 6,205,500 | |
| | 1,500,000 | | | SMU S.A. | | | 7.75% | ^ | | | 02/08/2020 | | | | 1,012,500 | |
| | 250,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 245,824 | |
| | 3,800,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 3,083,654 | |
| | 6,500,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | ^ | | | 03/13/2018 | | | | 6,176,476 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 198,500 | |
| | 6,950,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 7,002,125 | |
| | 6,400,000 | | | Tupras Turkiye Petrol Rafinerileri A.S. | | | 4.13% | ^ | | | 05/02/2018 | | | | 6,008,000 | |
| | 3,100,000 | | | Tupras Turkiye Petrol Rafinerileri A.S. | | | 4.13% | | | | 05/02/2018 | | | | 2,910,125 | |
| | 200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 202,000 | |
| | 2,500,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 2,535,938 | |
| | 2,200,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 2,051,500 | |
| | 4,000,000 | | | VimpelCom Holdings B.V. | | | 5.95% | ^ | | | 02/13/2023 | | | | 3,802,640 | |
| | 200,000 | | | Volcan Cia Minera S.A. | | | 5.38% | | | | 02/02/2022 | | | | 191,000 | |
| | 1,990,000 | | | VPII Escrow Corporation | | | 7.50% | ^ | | | 07/15/2021 | | | | 2,154,175 | |
| | 4,000,000 | | | VTB Capital S.A. | | | 6.88% | | | | 05/29/2018 | | | | 4,310,000 | |
| | 1,900,000 | | | VTB Capital S.A. | | | 6.95% | | | | 10/17/2022 | | | | 1,895,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds (Cost $324,057,653) | | | | 309,519,762 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.6% |
|
| | 2,300,000 | | | Caixa Economica Federal | | | 3.50% | | | | 11/07/2022 | | | | 1,909,000 | |
| | 5,790,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 6,077,641 | |
| | 4,550,000 | | | United Mexican States | | | 4.00% | | | | 10/02/2023 | | | | 4,527,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $12,371,495) | | | | 12,513,891 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 0.8% | |
| | 6,300,000 | | | City of New York NY | | | 5.00% | | | | 04/01/2027 | | | | 6,955,137 | |
| | 7,100,000 | | | New York State Dormitory Authority | | | 5.50% | | | | 03/15/2027 | | | | 8,638,428 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $14,868,714) | | | | 15,593,565 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 7.3% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 500,000 | | | Series 2012-CLRN-B | | | 1.78% | #^ | | | 08/15/2029 | | | | 501,047 | |
| | 1,400,000 | | | Series 2012-CLRN-D | | | 2.88% | #^ | | | 08/15/2029 | | | | 1,405,436 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 1,000,000 | | | Series 2005-T18-AJ | | | 5.01 | %# | | | 02/13/2042 | | | | 1,042,783 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 2,902,000 | | | Series 2006-CD3-AM | | | 5.65% | | | | 10/15/2048 | | | | 3,177,665 | |
| | 105,344,713 | | | Series 2007-CD5-XP | | | 0.31% | #^ I/O | | | 11/15/2044 | | | | 240,502 | |
| | 4,800,000 | | | Series 2007-CS4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 4,847,983 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 700,000 | | | Series 2005-C3-AM | | | 4.83% | # | | | 05/15/2043 | | | | 735,167 | |
| | 2,000,000 | | | Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 2,201,393 | |
| | 11,849,555 | | | Series 2012-GC8-XA | | | 2.24% | #^ I/O | | | 09/10/2045 | | | | 1,425,430 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 4,899,407 | | | Series 2002-LC4-XA | | | 2.50% | #^ I/O | | | 12/10/2044 | | | | 676,035 | |
| | 985,000 | | | Series 2006-C7-AM | | | 5.78% | # | | | 06/10/2046 | | | | 1,062,778 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 31 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, (Cont.) | |
| $ | 2,500,000 | | | Series 2006-C8-AM | | | 5.35% | | | | 12/10/2046 | | | | 2,745,097 | |
| | 3,249,912 | | | Series 2010-C1-XPA | | | 2.35% | #^ I/O | | | 07/10/2046 | | | | 142,366 | |
| | 29,687,256 | | | Series 2012-CR3-XA | | | 2.36% | # I/O | | | 11/15/2045 | | | | 3,840,507 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 916,559 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 952,914 | |
| | 205,839 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 202,520 | |
| | 3,455,000 | | | Series 2005-C6-AJ | | | 5.23% | # | | | 12/15/2040 | | | | 3,675,232 | |
| |
| | | | Credit Suisse Mortage Capital Certificates Corporation, | |
| | 4,380,000 | | | Series 2006-C3-AM | | | 5.99% | # | | | 06/15/2038 | | | | 4,769,332 | |
| | 3,750,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 4,015,461 | |
| | 2,500,000 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 2,657,254 | |
| | 1,905,539 | | | Series 2006-TF2A-A2 | | | 0.35% | #^ | | | 10/15/2021 | | | | 1,898,035 | |
| | 2,800,000 | | | Series 2007-TFLA-B | | | 0.33% | #^ | | | 02/15/2022 | | | | 2,748,253 | |
| | 3,800,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 4,129,110 | |
| |
| | | | DBRR Trust, | |
| | 1,000,000 | | | Series 2011-C32-A3B | | | 5.94% | #^ | | | 06/17/2049 | | | | 1,102,064 | |
| | 2,500,000 | | | Series 2012-EZ1-B | | | 1.39% | ^ | | | 09/25/2045 | | | | 2,506,750 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 5,829,061 | | | Series 2011-LC2A-XA | | | 1.42% | #^ I/O | | | 07/10/2044 | | | | 348,205 | |
| |
| | | | Extended Stay America Trust, | |
| | 1,000,000 | | | Series 2013-ESFL-DFL | | | 3.32% | #^ | | | 12/05/2031 | | | | 1,008,557 | |
| | 2,000,000 | | | Series 2013-ESHM-M | | | 7.63% | ^ | | | 12/05/2019 | | | | 2,066,063 | |
| |
| | | | Fontainebleau Miami Beach Trust, | |
| | 2,500,000 | | | Series 2012-FBLU-C | | | 4.27% | ^ | | | 05/05/2027 | | | | 2,582,910 | |
| | 1,150,000 | | | Series 2012-FBLU-E | | | 5.25% | ^ | | | 05/05/2027 | | | | 1,196,000 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 1,000,000 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 1,047,597 | |
| |
| | | | GMAC Commercial Mortgage Securities, Inc., | |
| | 1,000,000 | | | Series 2006-C1-AJ | | | 5.35% | # | | | 11/10/2045 | | | | 926,499 | |
| | 794,000 | | | Series 2006-C1-AM | | | 5.29% | # | | | 11/10/2045 | | | | 845,206 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 169,264 | | | Series 2004-FL2A-D | | | 0.49% | #^ | | | 11/05/2019 | | | | 165,878 | |
| | 100,000 | | | Series 2004-FL2A-F | | | 0.58% | #^ | | | 11/05/2019 | | | | 97,000 | |
| | 3,500,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 3,820,964 | |
| | 4,000,000 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 4,196,988 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 1,600,000 | | | Series 2006-GG6-AJ | | | 5.63% | # | | | 04/10/2038 | | | | 1,601,441 | |
| | 1,000,000 | | | Series 2006-GG6-AM | | | 5.62% | # | | | 04/10/2038 | | | | 1,075,272 | |
| | 16,944,065 | | | Series 2006-GG6-XC | | | 0.08% | #^ I/O | | | 04/10/2038 | | | | 21,671 | |
| | 4,869,952 | | | Series 2011-GC5-XA | | | 1.73% | #^ I/O | | | 08/10/2044 | | | | 366,001 | |
| | 5,866,382 | | | Series 2012-GC6-XA | | | 2.17% | #^ I/O | | | 01/10/2045 | | | | 728,376 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 523,303 | | | Series 2003-LN1-D | | | 4.96% | # | | | 10/15/2037 | | | | 522,973 | |
| | 876,072 | | | Series 2004-C3-A4 | | | 4.66% | | | | 01/15/2042 | | | | 876,716 | |
| | 37,860,455 | | | Series 2006-LDP8-X | | | 0.55% | # I/O | | | 05/15/2045 | | | | 554,145 | |
| | 1,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 1,077,922 | |
| | 1,800,000 | | | Series 2007-CIBC18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 1,972,049 | |
| | 4,450,000 | | | Series 2007-CIBC19-AM | | | 5.71% | # | | | 02/12/2049 | | | | 4,778,187 | |
| | 3,750,000 | | | Series 2007-LD12-AM | | | 6.00% | # | | | 02/15/2051 | | | | 4,105,978 | |
| | 12,050,000 | | | Series 2009-IWST-XB | | | 0.29% | #^ I/O | | | 12/05/2027 | | | | 252,954 | |
| | 1,000,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/17/2049 | | | | 1,074,372 | |
| | 12,310,151 | | | Series 2011-C4-XA | | | 1.74% | #^ I/O | | | 07/15/2046 | | | | 720,507 | |
| | 33,828,220 | | | Series 2012-C8-XA | | | 2.36% | # I/O | | | 10/15/2045 | | | | 4,036,637 | |
| | 8,825,459 | | | Series 2012-CBX-XA | | | 2.20% | # I/O | | | 06/15/2045 | | | | 911,273 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 3,000,000 | | | Series 2007-C3-AMFL | | | 6.08% | #^ | | | 07/15/2044 | | | | 3,345,921 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 24,415 | | | Series 2004-C4-A3 | | | 5.56% | # | | | 06/15/2029 | | | | 24,700 | |
| | 1,000,000 | | | Series 2005-C3-AM | | | 4.79% | | | | 07/15/2040 | | | | 1,048,544 | |
| | 1,800,000 | | | Series 2006-C6-AM | | | 5.41% | | | | 09/15/2039 | | | | 1,971,158 | |
| | 9,550,430 | | | Series 2006-C7-XCL | | | 0.33% | #^ I/O | | | 11/15/2038 | | | | 168,885 | |
| | 7,702,283 | | | Series 2006-C7-XW | | | 0.85% | #^ I/O | | | 11/15/2038 | | | | 142,388 | |
| | 1,600,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 1,607,469 | |
| | 2,500,000 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 2,727,690 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 1,600,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 1,556,353 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 218,780 | | | Series 2006-4-A2FL | | | 0.30% | # | | | 12/12/2049 | | | | 218,447 | |
| | 4,000,000 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 4,218,710 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| $ | 2,957,274 | | | Series 2012-C5-XA | | | 2.05% | #^ I/O | | | 08/15/2045 | | | | 292,704 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 325,000 | | | Series 2005-HQ7-AM | | | 5.21% | # | | | 11/14/2042 | | | | 345,796 | |
| | 4,000,000 | | | Series 2006-HQ8-AJ | | | 5.50% | # | | | 03/12/2044 | | | | 4,045,376 | |
| | 66,931 | | | Series 2007-HQ12-A2FL | | | 0.43% | # | | | 04/12/2049 | | | | 65,838 | |
| | 3,700,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 3,972,407 | |
| | 29,407,595 | | | Series 2011-C1-XA | | | 1.11% | #^ I/O | | | 09/15/2047 | | | | 777,669 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 2,500,000 | | | Series 2010-HQ4-AJ | | | 4.97% | ^ | | | 04/15/2040 | | | | 2,573,266 | |
| |
| | | | SMA Issuer LLC, | |
| | 775,541 | | | Series 2012-LV1-A | | | 3.50 | %^ | | | 08/20/2025 | | | | 777,022 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 1,000,000 | | | Series 2007-C4-AJ | | | 5.55% | # | | | 08/15/2039 | | | | 1,085,408 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 14,758,473 | | | Series 2012-C3-XA | | | 2.18% | #^ I/O | | | 08/10/2049 | | | | 1,883,816 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 250,000 | | | Series 2006-C25-AM | | | 5.92% | # | | | 05/15/2043 | | | | 271,328 | |
| | 95,905,376 | | | Series 2006-C27-XC | | | 0.46% | #^ I/O | | | 07/15/2045 | | | | 826,129 | |
| | 16,932,961 | | | Series 2006-C29-IO | | | 0.53% | # I/O | | | 11/15/2048 | | | | 211,789 | |
| | 1,600,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 1,535,177 | |
| | 3,500,000 | | | Series 2007-C33-AM | | | 6.12% | # | | | 02/15/2051 | | | | 3,849,107 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 19,688,914 | | | Series 2012-C9-XA | | | 2.42% | #^ I/O | | | 11/15/2045 | | | | 2,536,277 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations (Cost $138,698,062) | | | | 137,758,829 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 14.3% |
|
| |
| | | | ACE Securities Corporation, | |
| | 2,169,255 | | | Series 2006-NC1-A2C | | | 0.38% | # | | | 12/25/2035 | | | | 2,149,453 | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 111,259 | | | Series 2007-3-1A1 | | | 3.80% | #^ | | | 11/25/2037 | | | | 77,483 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 4,000,000 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 4,182,340 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 4,113,797 | | | Series 2005-G-A3 | | | 5.19% | # | | | 10/20/2035 | | | | 3,994,534 | |
| | 2,217,662 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 2,223,042 | |
| | 1,265,556 | | | Series 2006-6-1A2 | | | 6.25% | | | | 08/25/2036 | | | | 1,241,174 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 631,550 | | | Series 2004-8-4A1 | | | 5.50% | | | | 09/25/2024 | | | | 646,486 | |
| |
| | | | BCAP LLC Trust, | |
| | 2,039,298 | | | Series 2009-RR13-6A5 | | | 6.04% | #^ | | | 04/26/2037 | | | | 2,132,064 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 343,214 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 287,645 | |
| |
| | | | Chase Mortgage Finance Corporation, | |
| | 8,505,187 | | | Series 2007-A2-6A4 | | | 2.82% | # | | | 07/25/2037 | | | | 7,626,219 | |
| | 2,568,247 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 2,489,563 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 264,400 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 274,704 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 1,800,000 | | | Series 2006-2-A5 | | | 6.04% | # | | | 09/25/2036 | | | | 1,724,928 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 412,669 | | | Series 2006-WF2-A2C | | | 5.85% | # | | | 05/25/2036 | | | | 268,485 | |
| | 4,928,000 | | | Series 2008-AR4-2A1B | | | 2.74% | #^ | | | 11/25/2038 | | | | 4,124,738 | |
| | 3,000,000 | | | Series 2010-8-5A4 | | | 9.09% | #^ | | | 11/25/2036 | | | | 2,567,153 | |
| | 14,811,594 | | | Series 2010-8-6A4 | | | 8.21% | #^ | | | 12/25/2036 | | | | 12,039,557 | |
| | 2,600,039 | | | Series 2011-12-3A1 | | | 5.59% | ^ | | | 09/25/2047 | | | | 2,600,908 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 338,334 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 279,415 | |
| | 173,894 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 135,808 | |
| | 327,985 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 277,431 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 425,752 | | | Series 2005-20CB-1A1 | | | 5.50% | | | | 07/25/2035 | | | | 370,171 | |
| | 479,510 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 400,082 | |
| | | | | | |
| 32 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, (Cont.) | |
| $ | 2,417,551 | | | Series 2005-46CB-A22 | | | 5.25% | | | | 10/25/2035 | | | | 2,130,334 | |
| | 471,796 | | | Series 2005-J10-1A13 | | | 0.88% | # | | | 10/25/2035 | | | | 359,809 | |
| | 780,897 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 618,328 | |
| | 2,781,459 | | | Series 2007-12T1-A1 | | | 6.00% | | | | 06/25/2037 | | | | 2,347,760 | |
| | 3,042,329 | | | Series 2007-16CB-2A1 | | | 0.63% | # | | | 08/25/2037 | | | | 1,720,336 | |
| | 880,982 | | | Series 2007-16CB-2A2 | | | 53.09% | # I/F | | | 08/25/2037 | | | | 2,038,178 | |
| | 225,018 | | | Series 2007-17CB-1A10 | | | 29.08% | #I/F | | | 08/25/2037 | | | | 329,486 | |
| | 1,198,381 | | | Series 2007-18CB-2A17 | | | 6.00% | | | | 08/25/2037 | | | | 1,054,192 | |
| | 4,875,386 | | | Series 2007-23CB-A3 | | | 0.68% | # | | | 09/25/2037 | | | | 2,870,963 | |
| | 4,789,237 | | | Series 2007-23CB-A4 | | | 6.32% | #I/F I/O | | | 09/25/2037 | | | | 1,039,248 | |
| | 887,209 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 301,250 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 200,160 | | | Series 2005-13-AF3 | | | 5.16% | # | | | 04/25/2036 | | | | 172,536 | |
| |
| | | | Countrywide Home Loans, | |
| | 361,016 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 372,529 | |
| | 1,120,710 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 1,006,402 | |
| | 1,945,980 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 1,708,248 | |
| | 869,636 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 793,831 | |
| | 2,239,112 | | | Series 2007-3-A17 | | | 6.00% | | | | 04/25/2037 | | | | 2,032,722 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 213,834 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 183,976 | |
| | 3,638,728 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 3,520,646 | |
| | 3,598,137 | | | Series 2005-8-9A4 | | | 5.50% | | | | 09/25/2035 | | | | 3,263,881 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 8,166,287 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 7,549,177 | |
| | 382,679 | | | Series 2006-4-7A1 | | | 5.50% | | | | 05/25/2021 | | | | 364,033 | |
| | 2,177,422 | | | Series 2006-7-1A3 | | | 5.00% | | | | 08/25/2036 | | | | 1,772,152 | |
| | 234,531 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 195,512 | |
| | 132,617 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 128,846 | |
| | 9,472,466 | | | Series 2010-4R-3A17 | | | 7.52% | #^ | | | 06/26/2037 | | | | 8,622,116 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 3,046,510 | | | Series 2006-PR1-3A1 | | | 11.87% | #^ I/F | | | 04/15/2036 | | | | 3,257,907 | |
| | 295,337 | | | Series 2006-PR1-4AI2 | | | 14.26% | #^ I/F | | | 04/15/2036 | | | | 337,546 | |
| | 1,912,109 | | | Series 2006-PR1-5AI4 | | | 11.87% | #^ I/F | | | 04/15/2036 | | | | 2,274,142 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 821,473 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 692,190 | |
| | 208,454 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 199,430 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 1,201,468 | | | Series 2005-7-AF5 | | | 4.61% | # | | | 05/25/2035 | | | | 1,193,505 | |
| | 2,843,379 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 2,400,764 | |
| | 2,082,503 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 1,633,699 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 254,329 | | | Series 2006-2F-5A1 | | | 4.50% | | | | 01/25/2021 | | | | 251,389 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 12,748,273 | | | Series 2006-3F-4A1 | | | 6.00% | | | | 03/25/2036 | | | | 11,627,024 | |
| | 2,125,343 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 2,018,254 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 238,655 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 228,912 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 491,890 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 338,806 | |
| | 10,000,000 | | | Series 2006-S3-A4 | | | 6.31% | # | | | 08/25/2036 | | | | 7,334,880 | |
| | 2,793,656 | | | Series 2006-S3-A6 | | | 6.12% | # | | | 08/25/2036 | | | | 2,594,807 | |
| | 3,319,520 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 3,112,731 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 649,552 | | | Series 2007-S3-1A7 | | | 6.00% | | | | 08/25/2037 | | | | 569,407 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 5,852,966 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 5,958,797 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 4,225,890 | | | Series 2005-1-2A4 | | | 5.50% | | | | 11/25/2035 | | | | 4,128,462 | |
| | 1,218,184 | | | Series 2006-3-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 940,461 | |
| | 88,561 | | | Series 2006-9-1A19 | | | 29.86% | # I/F | | | 01/25/2037 | | | | 129,111 | |
| | 1,608,203 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 1,446,486 | |
| | 337,214 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 251,663 | |
| |
| | | | MASTR Alternative Loans Trust, | |
| | 226,811 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 230,490 | |
| | 93,860 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 76,460 | |
| |
| | | | MASTR Asset Securitization Trust, | |
| | 392,409 | | | Series 2003-2-30B2 | | | 5.75% | | | | 04/25/2033 | | | | 392,391 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| $ | 888,584 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 914,254 | |
| | 2,802,937 | | | Series 2005-7-7A4 | | | 5.50% | | | | 11/25/2035 | | | | 2,794,382 | |
| | 6,520,315 | | | Series 2006-7-3A | | | 5.48% | # | | | 06/25/2036 | | | | 5,505,141 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 5,023,650 | | | Series 2010-R6-5C | | | 5.75% | #^ | | | 05/26/2037 | | | | 4,739,587 | |
| |
| | | | Nomura Asset Acceptance Corporation, | |
| | 297,981 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 211,589 | |
| |
| | | | Nomura Home Equity Loan, Inc., | |
| | 742,889 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 385,844 | |
| | 1,345,063 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 825,820 | |
| |
| | | | Option One Mortgage Loan Trust, | |
| | 105,270 | | | Series 2004-3-M3 | | | 1.15% | # | | | 11/25/2034 | | | | 97,150 | |
| |
| | | | PHH Alternative Mortgage Trust, | |
| | 2,706,557 | | | Series 2007-2-4A1 | | | 6.00% | | | | 05/25/2022 | | | | 2,624,310 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 628,309 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 647,355 | |
| | 854,845 | | | Series 2005-QS14-3A3 | | | 6.00% | | | | 09/25/2035 | | | | 781,375 | |
| | 271,058 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 268,886 | |
| | 904,971 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 696,718 | |
| | 2,037,699 | | | Series 2006-QS6-1A15 | | | 6.00% | | | | 06/25/2036 | | | | 1,603,412 | |
| | 667,443 | | | Series 2006-QS6-2A1 | | | 6.00% | | | | 06/25/2021 | | | | 672,310 | |
| | 2,915,946 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 2,301,274 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 550,000 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 505,376 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 414,041 | | | Series 2005-A10-A3 | | | 5.50% | | | | 09/25/2035 | | | | 361,153 | |
| | 470,883 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 375,087 | |
| | 137,044 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 125,334 | |
| | 2,392,902 | | | Series 2006-A6-1A1 | | | 6.50% | | | | 07/25/2036 | | | | 1,566,538 | |
| | 249,028 | | | Series 2006-R1-A1 | | | 27.68 | %#I/F | | | 01/25/2046 | | | | 358,081 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 297,717 | | | Series 2006-S10-1A2 | | | 6.00% | | | | 10/25/2036 | | | | 272,642 | |
| | 1,508,846 | | | Series 2006-S11-A3 | | | 6.00% | | | | 11/25/2036 | | | | 1,382,512 | |
| | 2,759,707 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 2,464,247 | |
| | 1,805,792 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 1,716,351 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 2,891,754 | | | Series 2005-8XS-A3 | | | 0.74% | # | | | 04/25/2035 | | | | 2,885,650 | |
| | 592,677 | | | Series 2006-4-7A1 | | | 5.06% | # | | | 05/25/2036 | | | | 590,795 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 2,580,591 | | | Series 2003-35-1A1 | | | 5.24% | # | | | 12/25/2033 | | | | 2,654,819 | |
| | 3,882,773 | | | Series 2005-10-1A1 | | | 5.75% | | | | 06/25/2035 | | | | 3,804,679 | |
| | 4,035,723 | | | Series 2005-14-1A1 | | | 0.48% | # | | | 07/25/2035 | | | | 3,635,368 | |
| | 3,098,757 | | | Series 2005-16-1A3 | | | 5.50% | | | | 09/25/2035 | | | | 3,083,142 | |
| | 2,528,113 | | | Series 2005-RF1-A | | | 0.53% | #^ | | | 03/25/2035 | | | | 2,067,564 | |
| | 2,528,113 | | | Series 2005-RF1-AIO | | | 5.32% | #^ I/O | | | 03/25/2035 | | | | 387,077 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 229,557 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 211,921 | |
| | 2,664,388 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 2,256,896 | |
| | 6,591,811 | | | Series 2006-8-A6 | | | 5.17% | # | | | 10/25/2036 | | | | 4,600,438 | |
| | 5,872,616 | | | Series 2006-AR19-2A | | | 2.20% | # | | | 01/25/2047 | | | | 5,229,306 | |
| | 4,417,416 | | | Series 2007-3-A6 | | | 6.00% | | | | 04/25/2037 | | | | 3,734,395 | |
| | 277,112 | | | Series 2007-5-A11 | | | 38.41% | # I/F | | | 06/25/2037 | | | | 483,087 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 7,719,629 | | | Series 2005-12-1A5 | | | 5.50% | | | | 11/25/2035 | | | | 7,769,096 | |
| | 4,162,016 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 4,200,681 | |
| | 217,202 | | | Series 2005-AR14-A6 | | | 5.33% | # | | | 08/25/2035 | | | | 186,346 | |
| | 304,011 | | | Series 2005-AR16-6A4 | | | 2.63% | # | | | 10/25/2035 | | | | 219,460 | |
| | 1,256,007 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 1,245,639 | |
| | 3,272,691 | | | Series 2006-7-2A1 | | | 6.00% | | | | 06/25/2036 | | | | 3,131,101 | |
| | 630,679 | | | Series 2007-10-1A36 | | | 6.00% | | | | 07/25/2037 | | | | 598,935 | |
| | 3,078,067 | | | Series 2007-10-1A5 | | | 6.00% | | | | 07/25/2037 | | | | 3,004,434 | |
| | 3,285,522 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 3,093,348 | |
| | 5,256,768 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 5,058,423 | |
| | 6,410,472 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 6,432,761 | |
| | 1,539,635 | | | Series 2007-4-A16 | | | 5.50% | | | | 04/25/2037 | | | | 1,457,370 | |
| | 4,396,412 | | | Series 2007-5-1A1 | | | 5.50% | | | | 05/25/2037 | | | | 4,535,923 | |
| | 405,974 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 383,103 | |
| | 7,404,287 | | | Series 2007-8-2A2 | | | 6.00% | | | | 07/25/2037 | | | | 7,070,791 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $256,842,128) | | | | 270,438,864 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 33 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US CORPORATE BONDS 18.1% | |
| $ | 1,870,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 1,877,013 | |
| | 3,640,000 | | | ADT Corporation | | | 3.50% | | | | 07/15/2022 | | | | 3,082,891 | |
| | 2,385,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 2,376,056 | |
| | 6,720,000 | | | Altria Group, Inc. | | | 2.85% | | | | 08/09/2022 | | | | 6,166,427 | |
| | 1,570,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 1,617,100 | |
| | 6,025,000 | | | American Express Credit Corporation | | | 2.13% | | | | 07/27/2018 | | | | 6,055,318 | |
| | 1,600,000 | | | Ardagh Packaging Finance | | | 7.00% | ^ | | | 11/15/2020 | | | | 1,544,000 | |
| | 800,000 | | | Ardagh Packaging Finance | | | 4.88% | ^ | | | 11/15/2022 | | | | 766,000 | |
| | 3,020,000 | | | Arrow Electronics, Inc. | | | 3.38% | | | | 11/01/2015 | | | | 3,125,975 | |
| | 2,445,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 2,304,413 | |
| | 3,000,000 | | | AT&T, Inc. | | | 5.35% | | | | 09/01/2040 | | | | 2,921,856 | |
| | 2,370,000 | | | Atlas Pipeline Partners LP | | | 4.75% | ^ | | | 11/15/2021 | | | | 2,153,738 | |
| | 2,240,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 2,083,200 | |
| | 1,535,000 | | | Baxter International, Inc. | | | 3.20% | | | | 06/15/2023 | | | | 1,500,780 | |
| | 2,975,000 | | | BB&T Corporation | | | 1.60% | | | | 08/15/2017 | | | | 2,956,754 | |
| | 3,900,000 | | | Becton Dickinson and Company | | | 3.13% | | | | 11/08/2021 | | | | 3,873,086 | |
| | 3,870,000 | | | Biogen Idec, Inc. | | | 6.88% | | | | 03/01/2018 | | | | 4,598,775 | |
| | 1,045,000 | | | BMC Software Finance, Inc. | | | 8.13% | ^ | | | 07/15/2021 | | | | 1,089,412 | |
| | 2,227,000 | | | Boeing Company | | | 6.88% | | | | 03/15/2039 | | | | 3,004,040 | |
| | 500,000 | | | Boston Properties LP | | | 5.63% | | | | 11/15/2020 | | | | 565,989 | |
| | 2,300,000 | | | Boston Properties LP | | | 4.13% | | | | 05/15/2021 | | | | 2,373,975 | |
| | 3,230,000 | | | Burlington Northern Santa Fe LLC | | | 3.00% | | | | 03/15/2023 | | | | 3,045,538 | |
| | 2,305,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 2,143,650 | |
| | 2,210,000 | | | Celanese US Holdings LLC | | | 4.63% | | | | 11/15/2022 | | | | 2,127,125 | |
| | 3,225,000 | | | Celgene Corporation | | | 3.25% | | | | 08/15/2022 | | | | 3,063,856 | |
| | 1,465,000 | | | Cinemark USA, Inc. | | | 7.38% | | | | 06/15/2021 | | | | 1,589,525 | |
| | 2,280,000 | | | CIT Group, Inc. | | | 5.00% | | | | 08/15/2022 | | | | 2,238,440 | |
| | 2,280,000 | | | Claire’s Stores, Inc. | | | 7.75% | ^ | | | 06/01/2020 | | | | 2,240,100 | |
| | 2,935,000 | | | Coca-Cola Company | | | 1.80% | | | | 09/01/2016 | | | | 3,019,378 | |
| | 3,775,000 | | | ConAgra Foods, Inc. | | | 3.20% | | | | 01/25/2023 | | | | 3,538,576 | |
| | 2,315,000 | | | ConocoPhillips Company | | | 6.50% | | | | 02/01/2039 | | | | 2,921,231 | |
| | 4,080,000 | | | Covidien International Finance S.A. | | | 2.95% | | | | 06/15/2023 | | | | 3,857,150 | |
| | 2,055,000 | | | DaVita, Inc. | | | 5.75% | | | | 08/15/2022 | | | | 2,042,156 | |
| | 3,899,000 | | | Devon Energy Corporation | | | 6.30% | | | | 01/15/2019 | | | | 4,557,448 | |
| | 1,645,000 | | | Devon Energy Corporation | | | 4.00% | | | | 07/15/2021 | | | | 1,683,454 | |
| | 2,885,000 | | | DIRECTV Holdings LLC | | | 5.00% | | | | 03/01/2021 | | | | 2,958,077 | |
| | 3,250,000 | | | Dow Chemical Company | | | 3.00% | | | | 11/15/2022 | | | | 2,998,443 | |
| | 2,963,000 | | | Duke Energy Corporation | | | 3.55% | | | | 09/15/2021 | | | | 2,974,751 | |
| | 1,200,000 | | | Ecolab, Inc. | | | 2.38% | | | | 12/08/2014 | | | | 1,223,304 | |
| | 1,800,000 | | | Ecolab, Inc. | | | 1.00% | | | | 08/09/2015 | | | | 1,801,654 | |
| | 1,965,000 | | | Equinix, Inc. | | | 7.00% | | | | 07/15/2021 | | | | 2,100,094 | |
| | 5,000,000 | | | Ford Motor Company | | | 7.45% | | | | 07/16/2031 | | | | 6,118,150 | |
| | 1,845,000 | | | Gannett Company, Inc. | | | 5.13% | ^ | | | 07/15/2020 | | | | 1,817,325 | |
| | 5,750,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 6,023,528 | |
| | 1,225,000 | | | Glencore Funding LLC | | | 2.50% | ^ | | | 01/15/2019 | | | | 1,149,685 | |
| | 2,725,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 01/24/2022 | | | | 3,026,099 | |
| | 1,960,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 2,048,200 | |
| | 2,525,000 | | | Halliburton Company | | | 6.15% | | | | 09/15/2019 | | | | 3,029,301 | |
| | 2,095,000 | | | Hawk Acquisition Sub, Inc. | | | 4.25% | ^ | | | 10/15/2020 | | | | 2,003,344 | |
| | 1,970,000 | | | HD Supply, Inc. | | | 7.50% | ^ | | | 07/15/2020 | | | | 2,046,338 | |
| | 1,965,000 | | | IASIS Healthcare LLC | | | 8.38% | | | | 05/15/2019 | | | | 2,048,512 | |
| | 3,145,000 | | | Illinois Tool Works, Inc. | | | 3.38% | | | | 09/15/2021 | | | | 3,203,403 | |
| | 475,000 | | | JP Morgan Chase & Company | | | 4.50% | | | | 01/24/2022 | | | | 496,332 | |
| | 5,850,000 | | | JP Morgan Chase & Company | | | 3.25% | | | | 09/23/2022 | | | | 5,529,432 | |
| | 2,318,000 | | | Kellogg Company | | | 7.45% | | | | 04/01/2031 | | | | 2,969,703 | |
| | 2,475,000 | | | Kinder Morgan Energy Partners LP | | | 2.65% | | | | 02/01/2019 | | | | 2,460,991 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,225,000 | | | Kinder Morgan Energy Partners LP | | | 6.95% | | | | 01/15/2038 | | | | 2,515,803 | |
| | 700,000 | | | Kinder Morgan Energy Partners LP | | | 6.50% | | | | 09/01/2039 | | | | 762,555 | |
| | 2,825,000 | | | Kraft Foods, Inc. | | | 5.38% | | | | 02/10/2020 | | | | 3,194,253 | |
| | 4,690,000 | | | Kroger Company | | | 3.40% | | | | 04/15/2022 | | | | 4,573,627 | |
| | 4,110,000 | | | Liberty Mutual Group, Inc. | | | 6.50% | ^ | | | 05/01/2042 | | | | 4,450,222 | |
| | 3,420,000 | | | Macy’s Retail Holdings, Inc. | | | 2.88% | | | | 02/15/2023 | | | | 3,081,300 | |
| | 1,900,000 | | | Manitowoc Company, Inc. | | | 8.50% | | | | 11/01/2020 | | | | 2,123,250 | |
| | 2,800,000 | | | Marathon Petroleum Corporation | | | 5.13% | | | | 03/01/2021 | | | | 3,027,769 | |
| | 2,875,000 | | | Mattel, Inc. | | | 2.50% | | | | 11/01/2016 | | | | 2,970,027 | |
| | 2,775,000 | | | MetLife, Inc. | | | 5.70% | | | | 06/15/2035 | | | | 3,082,464 | |
| | 3,350,000 | | | MetLife, Inc. | | | 4.13% | | | | 08/13/2042 | | | | 2,957,176 | |
| | 2,085,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 2,160,581 | |
| | 3,200,000 | | | Microsoft Corporation | | | 2.13% | | | | 11/15/2022 | | | | 2,917,338 | |
| | 1,015,000 | | | MidAmerican Energy Holdings Company | | | 5.95% | | | | 05/15/2037 | | | | 1,130,073 | |
| | 2,854,000 | | | MidAmerican Energy Holdings Company | | | 6.50% | | | | 09/15/2037 | | | | 3,382,033 | |
| | 3,100,000 | | | Morgan Stanley | | | 3.75% | | | | 02/25/2023 | | | | 2,994,346 | |
| | 4,106,000 | | | Motorola Solutions, Inc. | | | 6.00% | | | | 11/15/2017 | | | | 4,688,128 | |
| | 544,000 | | | MPT Operating Partnership LP | | | 6.38% | | | | 02/15/2022 | | | | 553,520 | |
| | 5,315,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 10.38% | | | | 11/01/2018 | | | | 7,309,964 | |
| | 570,000 | | | NCL Corporation Ltd. | | | 5.00% | ^ | | | 02/15/2018 | | | | 571,425 | |
| | 2,150,000 | | | Newfield Exploration Company | | | 5.75% | | | | 01/30/2022 | | | | 2,155,375 | |
| | 2,785,000 | | | Novartis Capital Corporation | | | 4.40% | | | | 04/24/2020 | | | | 3,062,119 | |
| | 2,140,000 | | | Nuveen Investments, Inc. | | | 9.50% | ^ | | | 10/15/2020 | | | | 2,102,550 | |
| | 2,175,000 | | | Oasis Petroleum, Inc. | | | 6.88% | ^ | | | 03/15/2022 | | | | 2,300,063 | |
| | 2,975,000 | | | ONEOK Partners LP | | | 6.13% | | | | 02/01/2041 | | | | 3,017,560 | |
| | 3,450,000 | | | Oracle Corporation | | | 1.20% | | | | 10/15/2017 | | | | 3,391,698 | |
| | 1,800,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 1,810,708 | |
| | 1,550,000 | | | Penn Virginia Resource Partners LP | | | 8.25% | | | | 04/15/2018 | | | | 1,615,875 | |
| | 2,760,000 | | | Phillips 66 | | | 5.88% | | | | 05/01/2042 | | | | 2,909,385 | |
| | 4,400,000 | | | PNC Funding Corporation | | | 4.38% | | | | 08/11/2020 | | | | 4,732,046 | |
| | 1,350,000 | | | PNC Funding Corporation | | | 3.30% | | | | 03/08/2022 | | | | 1,321,499 | |
| | 2,040,000 | | | Post Holdings, Inc. | | | 7.38% | ^ | | | 02/15/2022 | | | | 2,154,750 | |
| | 2,200,000 | | | QEP Resources, Inc. | | | 5.38% | | | | 10/01/2022 | | | | 2,112,000 | |
| | 2,205,000 | | | Regency Energy Partners LP | | | 5.50% | | | | 04/15/2023 | | | | 2,127,825 | |
| | 2,240,000 | | | Revlon Consumer Products Corporation | | | 5.75% | ^ | | | 02/15/2021 | | | | 2,164,400 | |
| | 2,175,000 | | | Reynolds Group LLC | | | 9.88% | | | | 08/15/2019 | | | | 2,370,750 | |
| | 1,970,000 | | | RR Donnelley & Sons Company | | | 7.88% | | | | 03/15/2021 | | | | 2,122,675 | |
| | 2,100,000 | | | Safway Group Holding LLC | | | 7.00% | ^ | | | 05/15/2018 | | | | 2,142,000 | |
| | 2,115,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 2,130,863 | |
| | 2,135,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 2,108,312 | |
| | 1,960,000 | | | Sealed Air Corporation | | | 6.50% | ^ | | | 12/01/2020 | | | | 2,062,900 | |
| | 2,250,000 | | | Select Medical Corporation | | | 6.38% | ^ | | | 06/01/2021 | | | | 2,143,125 | |
| | 2,216,000 | | | Service Corporation International | | | 5.38% | ^ | | | 01/15/2022 | | | | 2,119,050 | |
| | 2,627,000 | | | Simon Property Group LP | | | 5.65% | | | | 02/01/2020 | | | | 3,001,390 | |
| | 2,285,000 | | | Sirius XM Radio, Inc. | | | 4.25% | ^ | | | 05/15/2020 | | | | 2,142,187 | |
| | 1,705,000 | | | SM Energy Company | | | 5.00% | ^ | | | 01/15/2024 | | | | 1,577,125 | |
| | 4,188,000 | | | Southern Power Company | | | 4.88% | | | | 07/15/2015 | | | | 4,481,826 | |
| | 4,375,000 | | | Southwest Airlines Company | | | 5.13% | | | | 03/01/2017 | | | | 4,832,004 | |
| | 2,040,000 | | | Spectrum Brands Escrow Corporation | | | 6.63% | ^ | | | 11/15/2022 | | | | 2,121,600 | |
| | | | | | |
| 34 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,020,000 | | | Sun Merger Sub, Inc. | | | 5.88% | ^ | | | 08/01/2021 | | | | 2,052,825 | |
| | 2,355,000 | | | Targa Resources Partners LP | | | 4.25% | ^ | | | 11/15/2023 | | | | 2,143,050 | |
| | 2,120,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 2,154,450 | |
| | 3,360,000 | | | Teva Pharmaceutical Finance Company B.V. | | | 2.95% | | | | 12/18/2022 | | | | 3,119,313 | |
| | 2,048,000 | | | Toll Brothers Finance Corporation | | | 5.88% | | | | 02/15/2022 | | | | 2,104,320 | |
| | 2,700,000 | | | Transocean, Inc. | | | 6.00% | | | | 03/15/2018 | | | | 3,045,273 | |
| | 2,895,000 | | | Tyson Foods, Inc. | | | 4.50% | | | | 06/15/2022 | | | | 3,010,056 | |
| | 1,910,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 2,086,675 | |
| | 2,300,000 | | | United Technologies Corporation | | | 3.10% | | | | 06/01/2022 | | | | 2,266,852 | |
| | 2,090,000 | | | US Foods, Inc. | | | 8.50% | | | | 06/30/2019 | | | | 2,212,787 | |
| | 2,636,000 | | | Valero Energy Corporation | | | 6.13% | | | | 02/01/2020 | | | | 3,034,885 | |
| | 1,975,000 | | | Verizon Communications, Inc. | | | 2.50% | | | | 09/15/2016 | | | | 2,037,053 | |
| | 5,966,000 | | | Wal-Mart Stores, Inc. | | | 3.25% | | | | 10/25/2020 | | | | 6,159,203 | |
| | 3,905,000 | | | Waste Management, Inc. | | | 6.13% | | | | 11/30/2039 | | | | 4,481,198 | |
| | 2,155,000 | | | WCI Communities, Inc. | | | 6.88% | ^ | | | 08/15/2021 | | | | 2,074,187 | |
| | 3,735,000 | | | WellPoint, Inc. | | | 5.25% | | | | 01/15/2016 | | | | 4,080,054 | |
| | 1,875,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 1,877,978 | |
| | 4,850,000 | | | Wells Fargo & Company | | | 4.60% | | | | 04/01/2021 | | | | 5,274,928 | |
| | 675,000 | | | Wells Fargo & Company | | | 3.50% | | | | 03/08/2022 | | | | 676,838 | |
| | 2,745,000 | | | Wynn Las Vegas LLC | | | 7.75% | | | | 08/15/2020 | | | | 3,094,988 | |
| | 2,750,000 | | | Xerox Corporation | | | 4.25% | | | | 02/15/2015 | | | | 2,868,316 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $349,857,586) | | | | 342,765,834 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 18.6% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 2,528,130 | | | Pool G0-1840 | | | 5.00% | | | | 07/01/2035 | | | | 2,743,865 | |
| | 1,678,296 | | | Pool G0-4817 | | | 5.00% | | | | 09/01/2038 | | | | 1,808,900 | |
| | 6,367,873 | | | Pool G0-6871 | | | 6.00% | | | | 06/01/2038 | | | | 6,977,133 | |
| | 5,793,671 | | | Pool N7-0081 | | | 5.50% | | | | 07/01/2038 | | | | 6,335,594 | |
| | 7,451,358 | | | Pool T6-0854 | | | 3.50% | | | | 09/01/2042 | | | | 7,501,635 | |
| | 1,293,037 | | | Pool U6-0299 | | | 4.00% | | | | 11/01/2040 | | | | 1,349,828 | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 168,131 | | | Series 2692-SC | | | 12.92% | # I/F | | | 07/15/2033 | | | | 207,723 | |
| | 5,300,000 | | | Series 2722-PS | | | 9.69% | # I/F | | | 12/15/2033 | | | | 6,382,071 | |
| | 18,026,338 | | | Series 272-30 | | | 3.00% | | | | 08/15/2042 | | | | 17,968,750 | |
| | 347,943 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 372,457 | |
| | 665,923 | | | Series 3002-SN | | | 6.32% | # I/F I/O | | | 07/15/2035 | | | | 106,598 | |
| | 290,677 | | | Series 3045-DI | | | 6.55% | #I /F I/O | | | 10/15/2035 | | | | 48,843 | |
| | 1,159,804 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 1,274,111 | |
| | 140,581 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 154,287 | |
| | 1,423,945 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 1,604,066 | |
| | 438,240 | | | Series 3275-SC | | | 5.90% | # I/F I/O | | | 02/15/2037 | | | | 53,837 | |
| | 4,686,664 | | | Series 3382-SB | | | 5.82% | # I/F I/O | | | 11/15/2037 | | | | 515,724 | |
| | 3,434,627 | | | Series 3384-S | | | 6.21% | # I/F I/O | | | 11/15/2037 | | | | 412,780 | |
| | 3,832,954 | | | Series 3417-SX | | | 6.00% | # I/F I/O | | | 02/15/2038 | | | | 419,778 | |
| | 466,981 | | | Series 3423-GS | | | 5.47% | # I/F I/O | | | 03/15/2038 | | | | 51,227 | |
| | 466,981 | | | Series 3423-SG | | | 5.47% | # I/F I/O | | | 03/15/2038 | | | | 51,227 | |
| | 509,252 | | | Series 3524-LB | | | 5.46% | # I/O | | | 06/15/2038 | | | | 521,604 | |
| | 1,648,023 | | | Series 3562-WS | | | 4.77% | #I/F I/O | | | 08/15/2039 | | | | 153,817 | |
| | 974,346 | | | Series 3582-SA | | | 5.82% | # I/F I/O | | | 10/15/2049 | | | | 107,436 | |
| | 1,380,001 | | | Series 3606-CS | | | 6.17% | # I/F I/O | | | 12/15/2039 | | | | 227,103 | |
| | 781,523 | | | Series 3616-SG | | | 6.17% | # I/F I/O | | | 03/15/2032 | | | | 133,581 | |
| | 4,632,294 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 5,155,083 | |
| | 1,493,799 | | | Series 3666-SC | | | 5.59% | # I/F I/O | | | 05/15/2040 | | | | 189,834 | |
| | 600,356 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 662,961 | |
| | 449,946 | | | Series 3688-CM | | | 4.00% | | | | 07/15/2029 | | | | 463,350 | |
| | 50,069 | | | Series 3745-SY | | | 9.64% | # I/F | | | 10/15/2040 | | | | 50,518 | |
| | 2,269,464 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 2,268,074 | |
| | 1,400,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 1,366,759 | |
| | 306,011 | | | Series 3780-YS | | | 9.54% | # I/F | | | 12/15/2040 | | | | 316,684 | |
| | 844,782 | | | Series 3786-SG | | | 9.14% | # I/F | | | 01/15/2041 | | | | 839,088 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 2,224,732 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 2,224,660 | |
| | 117,931 | | | Series 3798-SD | | | 9.24% | # I/F | | | 12/15/2040 | | | | 117,474 | |
| | 73,974 | | | Series 3805-KS | | | 9.14% | # I/F | | | 02/15/2041 | | | | 74,582 | |
| | 1,728,448 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 1,902,657 | |
| | 1,156,635 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 1,147,522 | |
| | 4,475,347 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 4,749,930 | |
| | 2,276,836 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 2,494,527 | |
| | 3,736,782 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 3,704,098 | |
| | 256,562 | | | Series 3828-SW | | | 12.65% | # I/F | | | 02/15/2041 | | | | 269,687 | |
| | 4,005,444 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 4,504,644 | |
| | 3,271,128 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 3,345,538 | |
| | 2,411,683 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 2,619,727 | |
| | 18,365,336 | | | Series 3967-ZP | | | 4.00% | | | | 09/15/2041 | | | | 17,512,156 | |
| | 5,315,349 | | | Series 3972-AZ | | | 3.50% | | | | 12/15/2041 | | | | 4,970,707 | |
| | 21,023,674 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 19,731,191 | |
| | 7,759,568 | | | Series 4096-DZ | | | 3.50% | | | | 08/15/2042 | | | | 6,867,691 | |
| | 1,544,070 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 1,688,755 | |
| |
| | | | Federal National Mortgage Association, | |
| | 260,803 | | | Series 2003-117-KS | | | 6.92% | # I/F I/O | | | 08/25/2033 | | | | 17,119 | |
| | 3,307,744 | | | Series 2003-92-PZ | | | 5.00% | | | | 09/25/2033 | | | | 3,590,166 | |
| | 500,000 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 550,904 | |
| | 5,000,000 | | | Series 2005-20-QH | | | 5.00% | | | | 03/25/2035 | | | | 5,488,742 | |
| | 1,224,777 | | | Series 2006-101-SA | | | 6.40% | #I/F I/O | | | 10/25/2036 | | | | 203,277 | |
| | 566,163 | | | Series 2006-56-SM | | | 6.57% | # I/F I/O | | | 07/25/2036 | | | | 84,912 | |
| | 550,139 | | | Series 2007-116-BI | | | 6.07% | #I/F I/O | | | 05/25/2037 | | | | 69,527 | |
| | 1,866,613 | | | Series 2007-30-OI | | | 6.26% | # I/F I/O | | | 04/25/2037 | | | | 260,873 | |
| | 5,298,153 | | | Series 2008-14-ZA | | | 5.50% | | | | 03/25/2038 | | | | 5,804,267 | |
| | 392,529 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 421,160 | |
| | 548,808 | | | Series 2008-62-SC | | | 5.82% | # I/F I/O | | | 07/25/2038 | | | | 54,886 | |
| | 3,839,981 | | | Series 2009-111-EZ | | | 5.00% | | | | 01/25/2040 | | | | 4,151,795 | |
| | 205,546 | | | Series 2009-111-SE | | | 6.07% | # I/F I/O | | | 01/25/2040 | | | | 23,847 | |
| | 323,275 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 350,955 | |
| | 522,397 | | | Series 2009-48-WS | | | 5.77% | # I/F I/O | | | 07/25/2039 | | | | 61,377 | |
| | 2,677,756 | | | Series 2009-62-PS | | | 5.92% | # I/F I/O | | | 08/25/2039 | | | | 339,669 | |
| | 3,590,443 | | | Series 2009-77-ZA | | | 4.50% | | | | 10/25/2039 | | | | 3,935,607 | |
| | 1,335,665 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 1,419,711 | |
| | 305,267 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 321,917 | |
| | 55,491 | | | Series 2010-109-BS | | | 53.02% | # I/F | | | 10/25/2040 | | | | 204,856 | |
| | 1,690,908 | | | Series 2010-112-ZA | | | 4.00% | | | | 10/25/2040 | | | | 1,784,459 | |
| | 812,631 | | | Series 2010-121-SD | | | 4.32% | # I/F I/O | | | 10/25/2040 | | | | 68,281 | |
| | 29,336 | | | Series 2010-137-VS | | | 14.45% | # I/F | | | 12/25/2040 | | | | 35,060 | |
| | 2,232,148 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 2,221,437 | |
| | 593,294 | | | Series 2010-31-SA | | | 4.82% | # I/F I/O | | | 04/25/2040 | | | | 53,453 | |
| | 389,681 | | | Series 2010-34-PS | | | 4.75% | # I/F I/O | | | 04/25/2040 | | | | 35,500 | |
| | 657,522 | | | Series 2010-35-SP | | | 6.17% | # I/F I/O | | | 04/25/2050 | | | | 70,258 | |
| | 387,350 | | | Series 2010-35-SV | | | 6.27% | # I/F I/O | | | 04/25/2040 | | | | 55,380 | |
| | 10,049,028 | | | Series 2010-37-MY | | | 4.50% | | | | 04/25/2040 | | | | 10,560,539 | |
| | 747,545 | | | Series 2010-59-PS | | | 6.27 | %# I/F I/O | | | 03/25/2039 | | | | 83,820 | |
| | 870,527 | | | Series 2010-59-SC | | | 4.82% | # I/F I/O | | | 01/25/2040 | | | | 79,652 | |
| | 6,908,674 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 7,398,624 | |
| | 354,285 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 394,250 | |
| | 1,981,753 | | | Series 2010-7-PE | | | 5.00% | | | | 02/25/2040 | | | | 2,143,826 | |
| | 1,184,486 | | | Series 2010-90-GS | | | 5.82% | # I/F I/O | | | 08/25/2040 | | | | 124,719 | |
| | 57,791 | | | Series 2010-99-SG | | | 24.09% | # I/F | | | 09/25/2040 | | | | 108,105 | |
| | 6,534,117 | | | Series 2011-141-PZ | | | 4.00% | | | | 01/25/2042 | | | | 6,656,142 | |
| | 13,969,248 | | | Series 2011-18-UZ | | | 4.00% | | | | 03/25/2041 | | | | 13,873,649 | |
| | 1,533,918 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 1,549,192 | |
| | 1,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 1,009,381 | |
| | 5,769,260 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 6,258,424 | |
| | 9,846,095 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 10,371,468 | |
| | 2,252,502 | | | Series 2011-72-LZ | | | 5.50% | | | | 04/25/2037 | | | | 2,507,546 | |
| | 794,133 | | | Series 2011-88-SB | | | 8.93% | # I/F | | | 09/25/2041 | | | | 795,106 | |
| | 17,134,266 | | | Series 2012-144-PT | | | 4.45% | # | | | 11/25/2049 | | | | 18,623,902 | |
| | 1,086,094 | | | Series 400-S4 | | | 5.27% | # I/F I/O | | | 11/25/2039 | | | | 131,737 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 489,290 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 533,186 | |
| | 419,081 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 455,726 | |
| | 3,281,035 | | | Pool 735383 | | | 5.00% | | | | 04/01/2035 | | | | 3,567,628 | |
| | 1,737,195 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 1,888,759 | |
| | 2,531,802 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 2,752,899 | |
| | 2,923,748 | | | Pool 890385 | | | 6.00% | | | | 12/01/2039 | | | | 3,196,212 | |
| | 452,005 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 489,979 | |
| | 5,860,560 | | | Pool 995023 | | | 5.50% | | | | 08/01/2037 | | | | 6,397,096 | |
| | 3,037,067 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 3,320,892 | |
| | 2,801,557 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 3,047,404 | |
| | 1,991,116 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 2,124,703 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 35 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 207,762 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 219,031 | |
| | 69,928 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 73,953 | |
| | 49,461 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 53,646 | |
| | 3,034,467 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 3,237,814 | |
| | 1,583,634 | | | Pool AL1691 | | | 6.00% | | | | 06/01/2041 | | | | 1,731,213 | |
| | 1,906,953 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 2,066,397 | |
| | 248,634 | | | Pool MA0282 | | | 5.00% | | | | 12/01/2039 | | | | 271,755 | |
| | 1,428,587 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 1,551,783 | |
| | 157,099 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 166,094 | |
| | 11,603,964 | | | Pool MA1179 | | | 3.50% | | | | 09/01/2042 | | | | 11,695,296 | |
| |
| | | | Government National Mortgage Association, | |
| | 1,678,863 | | | Pool 752494 | | | 5.50% | | | | 09/20/2039 | | | | 1,846,949 | |
| | 271,875 | | | Series 2003-67-SP | | | 6.92% | # I/F I/O | | | 08/20/2033 | | | | 77,657 | |
| | 526,936 | | | Series 2008-82-SM | | | 5.87% | # I/F I/O | | | 09/20/2038 | | | | 66,639 | |
| | 6,696,025 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 7,181,979 | |
| | 4,252,037 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 4,620,878 | |
| | 4,188,850 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 4,539,698 | |
| | 4,883,581 | | | Series 2009-75-HZ | | | 5.00% | | | | 09/20/2039 | | | | 5,383,001 | |
| | 107,888 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 111,480 | |
| | 6,713,021 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 7,069,788 | |
| | 11,104,925 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 11,686,051 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government/Agency Mortgage Backed Obligations (Cost $346,492,426) | | | | 352,496,935 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 11.9% | |
| | 10,300,000 | | | United States Treasury Bonds | | | 4.25% | | | | 05/15/2039 | | | | 11,442,661 | |
| | 23,600,000 | | | United States Treasury Bonds | | | 3.75% | | | | 08/15/2041 | | | | 23,998,250 | |
| | 5,000,000 | | | United States Treasury Notes | | | 0.25% | | | | 03/31/2014 | | | | 5,004,980 | |
| | 52,000,000 | | | United States Treasury Notes | | | 0.25% | | | | 05/31/2014 | | | | 52,059,904 | |
| | 35,200,000 | | | United States Treasury Notes | | | 1.50% | | | | 08/31/2018 | | | | 35,437,882 | |
| | 15,200,000 | | | United States Treasury Notes | | | 1.00% | | | | 08/31/2019 | | | | 14,588,443 | |
| | 38,300,000 | | | United States Treasury Notes | | | 1.88% | | | | 06/30/2020 | | | | 38,127,956 | |
| | 47,500,000 | | | United States Treasury Notes | | | 1.63% | | | | 08/15/2022 | | | | 44,256,653 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $232,521,811) | | | | 224,916,729 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 6.8% (a) | |
| | 12,739,865 | | | DoubleLine Floating Rate Fund | | | | 128,672,635 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $128,211,000) | | | | 128,672,635 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 1.2% | |
| | 22,045,991 | | | Fidelity Institutional Government Portfolio 0.01%¨ | | | | 22,045,991 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $22,045,991) | | | | 22,045,991 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.1%
(Cost $1,884,022,717) | | | | 1,874,495,856 | |
| | | | Other Assets in Excess of Liabilities 0.9% | | | | 17,664,323 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 1,892,160,179 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as % of Net Assets | |
US Government/Agency Mortgage Backed Obligations | | | 18.6% | |
US Corporate Bonds | | | 18.1% | |
Foreign Corporate Bonds | | | 16.4% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 14.3% | |
US Government Bonds and Notes | | | 11.9% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.3% | |
Affiliated Mutual Funds | | | 6.8% | |
Collateralized Loan Obligations | | | 3.1% | |
Short Term Investments | | | 1.2% | |
Municipal Bonds | | | 0.8% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.6% | |
Other Assets and Liabilities | | | 0.9% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | |
United States | | | 82.1% | |
Peru | | | 2.3% | |
Chile | | | 2.2% | |
Russia | | | 2.0% | |
Colombia | | | 2.0% | |
Brazil | | | 1.9% | |
Mexico | | | 1.8% | |
Britain | | | 0.7% | |
Turkey | | | 0.6% | |
Canada | | | 0.4% | |
Supranational | | | 0.3% | |
South Korea | | | 0.3% | |
Australia | | | 0.3% | |
Guatemala | | | 0.3% | |
Dominican Republic | | | 0.3% | |
Costa Rica | | | 0.3% | |
India | | | 0.2% | |
China | | | 0.2% | |
Netherlands | | | 0.2% | |
France | | | 0.2% | |
Indonesia | | | 0.1% | |
Luxembourg | | | 0.1% | �� |
Jamaica | | | 0.1% | |
Malaysia | | | 0.1% | |
Qatar | | | 0.1% | |
Thailand | | | 0.0% | |
Paraguay | | | 0.0% | |
Other Assets and Liabilities | | | 0.9% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 36 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | |
| INDUSTRY BREAKDOWN as a % of Net Assets | |
US Government / Agency Mortgage Backed Obligations | | | 18.6% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 14.3% | |
US Government Bonds and Notes | | | 11.9% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.3% | |
Affiliated Mutual Funds | | | 6.8% | |
Banking | | | 6.5% | |
Oil and Gas | | | 4.3% | |
Collateralized Loan Obligations | | | 3.1% | |
Health Care | | | 1.7% | |
Telecommunications | | | 1.7% | |
Utilities | | | 1.7% | |
Retail | | | 1.5% | |
Chemicals/Plastics | | | 1.5% | |
Consumer Products | | | 1.4% | |
Short Term Investments | | | 1.2% | |
Financial Intermediaries | | | 1.1% | |
Mining | | | 1.1% | |
Business Equipment and Services | | | 1.0% | |
Energy | | | 0.9% | |
Finance | | | 0.8% | |
Municipal Bond | | | 0.8% | |
Transportation | | | 0.8% | |
Food Products | | | 0.7% | |
Pharmaceuticals | | | 0.7% | |
Conglomerates | | | 0.7% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.6% | |
Insurance | | | 0.6% | |
Automotive | | | 0.5% | |
Media | | | 0.5% | |
Beverage and Tobacco | | | 0.5% | |
Building and Development | | | 0.5% | |
Construction | | | 0.4% | |
Cosmetics/Toiletries | | | 0.4% | |
Hotels/Motels/Inns and Casinos | | | 0.4% | |
Pulp & Paper | | | 0.4% | |
Software | | | 0.4% | |
Electronics/Electric | | | 0.3% | |
Industrial | | | 0.3% | |
Real Estate | | | 0.3% | |
Environmental Control | | | 0.2% | |
Food/Drug Retailers | | | 0.2% | |
Machinery and Tools | | | 0.2% | |
Packaging | | | 0.2% | |
Steel | | | 0.1% | |
Other Assets and Liabilities | | | 0.9% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2013. |
| ^ | 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 September 30, 2013, the value of these securities amounted to $319,222,063 or 16.9% of net assets. |
| I/O | Interest only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| (a) | Institutional class shares |
| ¨ | Seven-day yield as of September 30, 2013 |
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 Core Fixed Income Fund’s investment in affiliated mutual funds for the period ended September 30, 2013, is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2013 | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2013 | | | Value at
September 30,
2013 | | | Dividend
Income Earned
in the Period
Ended
September 30,
2013 | | | Net Realized
Gain (Loss)
in the Period
Ended
September 30,
2013 | |
DoubleLine Floating Rate Fund | | $58,383,641 | | $ | 70,211,000 | | | $ | — | | | | 12,739,865 | | | $ | 128,672,635 | | | $ | 988,289 | | | $ | — | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 37 |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 95.9% | |
| | |
| | BRAZIL 13.1% | |
| $ | 7,000,000 | | | Banco do Brasil S.A. | | | 8.50% | # | | | 10/20/2020 | | | | 7,840,000 | |
| | 1,500,000 | | | Banco do Brasil S.A. | | | 5.88% | | | | 01/19/2023 | | | | 1,413,750 | |
| | 2,000,000 | | �� | Banco Nacional de Desenvolvimento Economico e Social | | | 5.75% | ^ | | | 09/26/2023 | | | | 2,005,000 | |
| | 3,000,000 | | | Caixa Economica Federal | | | 3.50% | | | | 11/07/2022 | | | | 2,490,000 | |
| | 1,300,000 | | | Cosan Luxembourg S.A. | | | 5.00% | ^ | | | 03/14/2023 | | | | 1,173,250 | |
| | 4,998,000 | | | Embraer Overseas Ltd. | | | 5.70% | ^ | | | 09/16/2023 | | | | 4,898,040 | |
| | 8,600,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 7,632,500 | |
| | 2,000,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 1,775,000 | |
| | 1,600,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | #^ | | | 05/11/2022 | | | | 1,616,000 | |
| | 4,000,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 4,040,000 | |
| | 2,000,000 | | | Itau Unibanco Holding S.A. | | | 5.50% | | | | 08/06/2022 | | | | 1,880,000 | |
| | 8,100,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 7,654,500 | |
| | 500,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 472,500 | |
| | 11,000,000 | | | OAS Financial Ltd. | | | 8.88% | #^ | | | 04/25/2018 | | | | 10,037,500 | |
| | 5,100,000 | | | Odebrecht Finance Ltd. | | | 7.50% | | | | 09/14/2015 | | | | 4,972,500 | |
| | 1,000,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 957,500 | |
| | 4,600,000 | | | Petrobras Global Finance B.V. | | | 4.38% | | | | 05/20/2023 | | | | 4,254,016 | |
| | 6,800,000 | | | Samarco Mineracao S.A. | | | 4.13% | ^ | | | 11/01/2022 | | | | 5,933,000 | |
| | 4,325,000 | | | Samarco Mineracao S.A. | | | 4.13% | | | | 11/01/2022 | | | | 3,773,562 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 74,818,618 | |
| | | | | | | | | | | | | | | | |
| | CHILE 14.8% | |
| | 200,000 | | | Banco de Credito e Inversiones | | | 4.00% | | | | 02/11/2023 | | | | 183,148 | |
| | 3,000,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.00% | | | | 01/21/2021 | | | | 2,993,571 | |
| | 6,405,000 | | | Celulosa Arauco y Constitucion S.A. | | | 4.75% | | | | 01/11/2022 | | | | 6,254,297 | |
| | 15,700,000 | | | Cencosud S.A. | | | 4.88% | ^ | | | 01/20/2023 | | | | 14,942,177 | |
| | 2,000,000 | | | CFR International S.A. | | | 5.13% | ^ | | | 12/06/2022 | | | | 1,845,688 | |
| | 21,400,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 19,620,461 | |
| | 8,200,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 7,011,000 | |
| | 4,900,000 | | | Inversiones CMPC S.A. | | | 4.50% | ^ | | | 04/25/2022 | | | | 4,587,850 | |
| | 2,800,000 | | | Inversiones CMPC S.A. | | | 4.50% | | | | 04/25/2022 | | | | 2,621,629 | |
| | 3,600,000 | | | Inversiones CMPC S.A. | | | 4.38% | ^ | | | 05/15/2023 | | | | 3,365,003 | |
| | 5,000,000 | | | SACI Falabella | | | 3.75% | ^ | | | 04/30/2023 | | | | 4,475,000 | |
| | 1,800,000 | | | SACI Falabella | | | 3.75% | | | | 04/30/2023 | | | | 1,611,000 | |
| | 3,900,000 | | | SMU S.A. | | | 7.75% | ^ | | | 02/08/2020 | | | | 2,632,500 | |
| | 13,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | ^ | | | 03/13/2018 | | | | 12,352,951 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 84,496,275 | |
| | | | | | | | | | | | | | | | |
| | CHINA 1.6% | |
| | 9,000,000 | | | Noble Group Ltd. | | | 6.75% | | | | 01/29/2020 | | | | 9,360,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,360,000 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 11.5% | |
| | 6,000,000 | | | Banco de Bogota S.A. | | | 5.38% | ^ | | | 02/19/2023 | | | | 5,625,000 | |
| | 400,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 375,000 | |
| | 4,400,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | ^ | | | 05/02/2018 | | | | 4,103,000 | |
| | 5,100,000 | | | Bancolombia S.A. | | | 5.95% | | | | 06/03/2021 | | | | 5,202,000 | |
| | 200,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 09/18/2023 | | | | 208,500 | |
| | 200,000 | | | Empresas Publicas de Medellin | | | 7.63% | | | | 07/29/2019 | | | | 231,500 | |
| | 12,000,000 | | | Grupo Aval Ltd. | | | 4.75% | ^ | | | 09/26/2022 | | | | 10,800,000 | |
| | 6,000,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 5,400,000 | |
| | 6,314,000 | | | Pacific Rubiales Energy Corporation | | | 7.25% | ^ | | | 12/12/2021 | | | | 6,661,270 | |
| | 15,093,000 | | | Pacific Rubiales Energy Corporation | | | 7.25% | | | | 12/12/2021 | | | | 15,923,115 | |
| | 10,576,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 10,655,320 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 65,184,705 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COSTA RICA 1.9% | |
| $ | 6,000,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 6,195,000 | |
| | 4,775,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 4,930,188 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,125,188 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 2.4% | |
| | 1,600,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 1,696,000 | |
| | 11,463,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 12,150,780 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,846,780 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 1.8% | |
| | 5,900,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 5,413,250 | |
| | 5,100,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 4,679,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,092,500 | |
| | | | | | | | | | | | | | | | |
| | INDIA 2.0% | |
| | 1,250,000 | | | Reliance Holdings USA, Inc. | | | 5.40% | ^ | | | 02/14/2022 | | | | 1,254,732 | |
| | 500,000 | | | Reliance Industries Ltd. | | | 8.25% | | | | 01/15/2027 | | | | 596,429 | |
| | 5,400,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 5,477,625 | |
| | 4,400,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 4,103,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,431,786 | |
| | | | | | | | | | | | | | | | |
| | INDONESIA 1.5% | |
| | 9,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.55% | | | | 03/01/2022 | | | | 8,292,042 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,292,042 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 0.1% | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 500,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 500,000 | |
| | | | | | | | | | | | | | | | |
| | MALAYSIA 2.0% | |
| | 12,300,000 | | | IOI Investment BHD | | | 4.38% | | | | 06/27/2022 | | | | 11,600,241 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,600,241 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 9.7% | |
| | 3,300,000 | | | Alpek S.A. de C.V. | | | 4.50% | ^ | | | 11/20/2022 | | | | 3,077,250 | |
| | 6,700,000 | | | Alpek S.A. de C.V. | | | 5.38% | ^ | | | 08/08/2023 | | | | 6,649,750 | |
| | 3,000,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 3,138,750 | |
| | 11,750,000 | | | BBVA Bancomer S.A. | | | 6.50% | | | | 03/10/2021 | | | | 12,278,750 | |
| | 6,200,000 | | | Cemex Espana S.A. | | | 9.25% | | | | 05/12/2020 | | | | 6,696,000 | |
| | 1,100,000 | | | Cemex S.A.B. de C.V. | | | 9.00% | | | | 01/11/2018 | | | | 1,190,750 | |
| | 200,000 | | | Cemex S.A.B. de C.V. | | | 5.88% | ^ | | | 03/25/2019 | | | | 192,500 | |
| | 6,000,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | ^ | | | 12/04/2022 | | | | 5,775,000 | |
| | 4,800,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | | | | 12/04/2022 | | | | 4,620,000 | |
| | 1,745,000 | | | Ixe Banco S.A. | | | 9.25% | | | | 10/14/2020 | | | | 2,064,562 | |
| | 8,600,000 | | | Mexichem S.A.B. de C.V. | | | 4.88% | ^ | | | 09/19/2022 | | | | 8,363,500 | |
| | 300,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 01/30/2023 | | | | 273,441 | |
| | 200,000 | | | Petroleos Mexicanos | | | 4.88% | | | | 01/18/2024 | | | | 200,500 | |
| | 500,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 505,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 55,025,753 | |
| | | | | | | | | | | | | | | | |
| | PARAGUAY 0.1% | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 397,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 397,000 | |
| | | | | | | | | | | | | | | | |
| | PERU 15.3% | |
| | 1,050,000 | | | Banco de Credito del Peru | | | 4.25% | ^ | | | 04/01/2023 | | | | 937,650 | |
| | 9,900,000 | | | Banco de Credito del Peru | | | 4.25% | | | | 04/01/2023 | | | | 8,840,700 | |
| | 2,000,000 | | | Banco de Credito del Peru | | | 6.13% | #^ | | | 04/24/2027 | | | | 1,965,000 | |
| | 3,135,000 | | | Banco de Credito del Peru | | | 9.75% | # | | | 11/06/2069 | | | | 3,581,737 | |
| | 2,033,000 | | | Banco International del Peru S.A.A. | | | 5.75% | | | | 10/07/2020 | | | | 2,022,835 | |
| | | | | | |
| 38 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 1,773,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 1,874,948 | |
| | 500,000 | | | BBVA Banco Continental S.A. | | | 5.00% | | | | 08/26/2022 | | | | 481,250 | |
| | 7,483,000 | | | Cia Minera Milpo S.A.A. | | | 4.63% | ^ | | | 03/28/2023 | | | | 6,753,407 | |
| | 1,000,000 | | | Corporacion Financiera de Desarrolo S.A. | | | 4.75% | | | | 02/08/2022 | | | | 972,500 | |
| | 1,000,000 | | | Corporacion Lindley S.A. | | | 6.75% | ^ | | | 11/23/2021 | | | | 1,055,000 | |
| | 2,655,000 | | | Corporacion Lindley S.A. | | | 6.75% | | | | 11/23/2021 | | | | 2,801,025 | |
| | 1,500,000 | | | Corporacion Lindley S.A. | | | 4.63% | ^ | | | 04/12/2023 | | | | 1,361,250 | |
| | 1,700,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | ^ | | | 02/10/2017 | | | | 1,717,000 | |
| | 6,305,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | | | | 02/10/2017 | | | | 6,368,050 | |
| | 3,600,000 | | | Ferreycorp S.A.A. | | | 4.88% | ^ | | | 04/26/2020 | | | | 3,321,000 | |
| | 2,250,000 | | | Fondo Mivivienda S.A. | | | 3.50% | ^ | | | 01/31/2023 | | | | 1,963,125 | |
| | 500,000 | | | Fondo Mivivienda S.A. | | | 3.50% | | | | 01/31/2023 | | | | 436,250 | |
| | 5,817,231 | | | IIRSA Norte Finance Ltd. | | | 8.75% | | | | 05/30/2024 | | | | 6,806,161 | |
| | 600,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 631,500 | |
| | 1,900,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 1,999,750 | |
| | 4,100,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 3,792,500 | |
| | 2,730,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 2,525,250 | |
| | 10,500,000 | | | Scotiabank Peru S.A. | | | 4.50% | #^ | | | 12/13/2027 | | | | 9,187,500 | |
| | 7,500,000 | | | Scotiabank Peru S.A. | | | 4.50% | # | | | 12/13/2027 | | | | 6,562,500 | |
| | 750,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 737,471 | |
| | 9,600,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 7,790,285 | |
| | 700,000 | | | Volcan Cia Minera S.A. | | | 5.38% | | | | 02/02/2022 | | | | 668,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 87,154,144 | |
| | | | | | | | | | | | | | | | |
| | QATAR 0.1% | |
| | 350,000 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.84% | | | | 09/30/2027 | | | | 377,300 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 377,300 | |
| | | | | | | | | | | | | | | | |
| | RUSSIA 13.9% | |
| | 500,000 | | | Alfa Bond Issuance | | | 7.50% | | | | 09/26/2019 | | | | 518,750 | |
| | 1,985,000 | | | Gaz Capital S.A. | | | 4.95% | | | | 07/19/2022 | | | | 1,922,969 | |
| | 13,400,000 | | | Gaz Capital S.A. | | | 4.95% | | | | 02/06/2028 | | | | 11,926,000 | |
| | 1,500,000 | | | Gaz Capital S.A. | | | 7.29% | | | | 08/16/2037 | | | | 1,623,750 | |
| | 12,300,000 | | | Lukoil International Finance B.V. | | | 4.56% | | | | 04/24/2023 | | | | 11,472,825 | |
| | 12,500,000 | | | Polyus Gold International Ltd. | | | 5.63% | ^ | | | 04/29/2020 | | | | 12,312,500 | |
| | 14,600,000 | | | Rosneft International Finance Ltd. | | | 4.20% | | | | 03/06/2022 | | | | 13,505,000 | |
| | 9,600,000 | | | SB Capital S.A. | | | 5.13% | | | | 10/29/2022 | | | | 9,001,920 | |
| | 8,100,000 | | | VimpelCom Holdings B.V. | | | 5.95% | ^ | | | 02/13/2023 | | | | 7,700,346 | |
| | 2,600,000 | | | VTB Capital S.A. | | | 6.88% | | | | 05/29/2018 | | | | 2,801,500 | |
| | 6,500,000 | | | VTB Capital S.A. | | | 6.95% | | | | 10/17/2022 | | | | 6,483,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 79,269,310 | |
| | | | | | | | | | | | | | | | |
| | THAILAND 0.2% | |
| | 1,000,000 | | | PTT Public Company Ltd. | | | 3.38% | | | | 10/25/2022 | | | | 915,231 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 915,231 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | TURKEY 3.9% | |
| $ | 5,700,000 | | | Anadolu Efes Biracilik ve Malt Sanayii A.S. | | | 3.38% | ^ | | | 11/01/2022 | | | | 4,688,250 | |
| | 18,600,000 | | | Tupras Turkiye Petrol Rafinerileri A.S. | | | 4.13% | ^ | | | 05/02/2018 | | | | 17,460,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 22,149,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $574,635,019) | | | | 546,035,873 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.2% |
|
| | |
| | COLOMBIA 0.2% | |
| | 1,000,000 | | | Colombia Government International Bond | | | 8.70% | | | | 02/15/2016 | | | | 1,157,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,157,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $1,141,908) | | | | 1,157,500 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 0.2% | |
| | 1,016,247 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 1,016,247 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $1,016,247) | | | | 1,016,247 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 96.3%
(Cost $576,793,174) | | | | 548,209,620 | |
| | | | Other Assets in Excess of Liabilities 3.7% | | | | 20,797,287 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 569,006,907 | |
| | | | | | | | | | | | | | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | |
Peru | | | 15.3 | % |
Chile | | | 14.8 | % |
Russia | | | 13.9 | % |
Brazil | | | 13.1 | % |
Colombia | | | 11.7 | % |
Mexico | | | 9.7 | % |
Turkey | | | 3.9 | % |
Dominican Republic | | | 2.4 | % |
Malaysia | | | 2.0 | % |
India | | | 2.0 | % |
Costa Rica | | | 1.9 | % |
Guatemala | | | 1.8 | % |
China | | | 1.6 | % |
Indonesia | | | 1.5 | % |
United States | | | 0.2 | % |
Thailand | | | 0.2 | % |
Jamaica | | | 0.1 | % |
Paraguay | | | 0.1 | % |
Qatar | | | 0.1 | % |
Other Assets and Liabilities | | | 3.7 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2013. |
| ^ | 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 September 30, 2013, the value of these securities amounted to $237,314,990 or 41.7% of net assets. |
| ¨ | Seven-day yield as of September 30, 2013 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 39 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 2.2% | |
| |
| | | | Brookside Mill Ltd., | |
| $ | 1,000,000 | | | Series 2013-1A-E | | | 4.62% | #^ | | | 04/17/2025 | | | | 907,820 | |
| | 1,000,000 | | | Series 2013-1A-SUB | | | 17.36% | #^@ | | | 04/17/2025 | | | | 965,266 | |
| |
| | | | Cent Ltd., | |
| | 1,000,000 | | | Series 2013-18A-D | | | 3.70% | #^ | | | 07/23/2025 | | | | 954,403 | |
| | 1,000,000 | | | Series 2013-18A-E | | | 4.85% | #^ | | | 07/23/2025 | | | | 891,281 | |
| | 1,000,000 | | | Series 2013-18A-SUB | | | 18.43% | #^@ | | | 07/23/2025 | | | | 949,066 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $4,691,576) | | | | 4,667,836 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 7.0% |
|
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 355,018 | | | Series 2006-1-2A1 | | | 3.15% | # | | | 03/25/2036 | | | | 278,630 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 641,701 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 477,824 | |
| |
| | | | BCAP LLC Trust, | |
| | 71,001 | | | Series 2007-AA2-2A5 | | | 6.00% | | | | 04/25/2037 | | | | 60,507 | |
| | 2,671,969 | | | Series 2009-RR4-1A2 | | | 5.54% | #^ | | | 06/26/2037 | | | | 1,068,365 | |
| | 106,000 | | | Series 2010-RR6-1A20 | | | 6.68% | #^ | | | 08/26/2022 | | | | 110,554 | |
| |
| | | | Chase Mortgage Finance Corporation, | |
| | 1,310,012 | | | Series 2007-A1-12A3 | | | 4.66% | # | | | 03/25/2037 | | | | 1,089,818 | |
| |
| | | | Chaseflex Trust, | |
| | 363,850 | | | Series 2007-M1-2F4 | | | 5.03% | # | | | 08/25/2037 | | | | 282,704 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 154,471 | | | Series 2007-2-3A1 | | | 5.50% | | | | 02/25/2037 | | | | 150,967 | |
| |
| | | | Citicorp Mortgage Loan Trust, Inc., | |
| | 357,888 | | | Series 2009-7-2A2 | | | 5.50% | ^ | | | 10/25/2021 | | | | 352,856 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 461,678 | | | Series 2007-A6-1A11 | | | 6.00% | | | | 06/25/2037 | | | | 370,657 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 161,770 | | | Series 2006-32CB-A16 | | | 5.50% | | | | 11/25/2036 | | | | 138,713 | |
| | 890,743 | | | Series 2006-J1-2A1 | | | 7.00% | | | | 02/25/2036 | | | | 419,307 | |
| | 36,003 | | | Series 2007-17CB-1A10 | | | 29.08% | # I/F | | | 08/25/2037 | | | | 52,718 | |
| | 25,625 | | | Series 2007-21CB-2A2 | | | 27.68% | # I/F | | | 09/25/2037 | | | | 37,254 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 743,122 | | | Series 2006-2-2A2 | | | 0.37% | # | | | 06/25/2036 | | | | 718,777 | |
| |
| | | | Countrywide Home Loans, | |
| | 464,041 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 407,351 | |
| | 23,808 | | | Series 2007-4-1A5 | | | 6.50% | | | | 05/25/2037 | | | | 21,445 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 291,098 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 281,652 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 765,273 | | | Series 2006-2-6A8 | | | 5.75% | | | | 03/25/2036 | | | | 682,103 | |
| | 54,670 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 54,929 | |
| | 449,789 | | | Series 2010-7R-4A17 | | | 7.12% | #^ | | | 04/26/2037 | | | | 401,415 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 271,053 | | | Series 2006-PR1-3A1 | | | 11.87% | #^ I/F | | | 04/15/2036 | | | | 289,862 | |
| | 382,422 | | | Series 2006-PR1-5AI4 | | | 11.87% | #^ I/F | | | 04/15/2036 | | | | 454,828 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 90,086 | | | Series 2007-FA2-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 68,832 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 1,000,000 | | | Series 2006-15-AF3B | | | 5.93% | # | | | 09/25/2036 | | | | 182,197 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 269,844 | | | Series 2006-2F-2A20 | | | 10.92% | # I/F | | | 02/25/2036 | | | | 291,405 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 56,986 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 50,084 | |
| | 865,778 | | | Series 2006-S1-1A3 | | | 5.50% | | | | 03/25/2036 | | | | 726,255 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 200,000 | | | Series 2006-CH2-AF3 | | | 5.34% | # | | | 10/25/2036 | | | | 152,948 | |
| |
| | | | Lavender Trust, | |
| | 297,000 | | | Series 2010-R12A-A3 | | | 6.00% | ^ | | | 06/26/2037 | | | | 310,105 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 142,002 | | | Series 2006-4-1A3 | | | 5.22% | # I/F I/O | | | 08/25/2036 | | | | 21,907 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Lehman Mortgage Trust, (Cont.) | |
| $ | 8,875 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 7,612 | |
| | 78,006 | | | Series 2007-5-11A1 | | | 5.65% | # | | | 06/25/2037 | | | | 55,983 | |
| |
| | | | Lehman XS Trust, | |
| | 314,793 | | | Series 2005-1-3A3A | | | 5.11% | # | | | 07/25/2035 | | | | 269,752 | |
| |
| | | | Long Beach Mortgage Loan Trust, | |
| | 394,952 | | | Series 2005-WL2-M1 | | | 0.65% | # | | | 08/25/2035 | | | | 384,125 | |
| |
| | | | MASTR Resecuritization Trust, | |
| | 485,698 | | | Series 2008-4-A1 | | | 6.00% | #^ | | | 06/27/2036 | | | | 447,056 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 454,124 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 353,072 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 390,318 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 315,480 | |
| | 6,998 | | | Series 2006-QS13-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 5,475 | |
| | 391,433 | | | Series 2006-QS2-1A4 | | | 5.50% | | | | 02/25/2036 | | | | 311,772 | |
| | 78,402 | | | Series 2006-QS7-A4 | | | 0.58% | # | | | 06/25/2036 | | | | 49,858 | |
| | 235,205 | | | Series 2006-QS7-A5 | | | 5.42% | # I/F I/O | | | 06/25/2036 | | | | 33,080 | |
| | 148,045 | | | Series 2006-QS8-A4 | | | 0.63% | # | | | 08/25/2036 | | | | 91,935 | |
| | 444,135 | | | Series 2006-QS8-A5 | | | 5.37% | # I/F I/O | | | 08/25/2036 | | | | 61,088 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 435,317 | | | Series 2004-RS2-MII1 | | | 1.05% | # | | | 02/25/2034 | | | | 407,780 | |
| | 2,351 | | | Series 2004-RS9-AI4 | | | 4.77% | # | | | 10/25/2032 | | | | 2,318 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 35,000 | | | Series 2005-A12-A12 | | | 5.50% | | | | 11/25/2035 | | | | 31,415 | |
| | 864,273 | | | Series 2006-A16-1A3 | | | 6.00% | | | | 02/25/2037 | | | | 683,623 | |
| | 655,511 | | | Series 2007-A1-A8 | | | 6.00% | | | | 03/25/2037 | | | | 511,418 | |
| | 693,303 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 607,737 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 387,754 | | | Series 2006-8-A6 | | | 5.17% | # | | | 10/25/2036 | | | | 270,614 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $14,133,130) | | | | 14,908,162 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 3.6% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 135,121 | | | Series 3261-SA | | | 6.25% | # I/F I/O | | | 01/15/2037 | | | | 21,847 | |
| | 174,937 | | | Series 3317-DS | | | 14.54% | # I/F | | | 05/15/2037 | | | | 206,497 | |
| | 282,784 | | | Series 3355-BI | | | 5.87% | # I/F I/O | | | 08/15/2037 | | | | 37,236 | |
| | 321,996 | | | Series 3384-S | | | 6.21% | # I/F I/O | | | 11/15/2037 | | | | 38,698 | |
| | 583,062 | | | Series 3384-SG | | | 6.13% | # I/F I/O | | | 08/15/2036 | | | | 67,751 | |
| | 356,554 | | | Series 3417-SX | | | 6.00% | # I/F I/O | | | 02/15/2038 | | | | 39,049 | |
| | 583,726 | | | Series 3423-GS | | | 5.47% | # I/F I/O | | | 03/15/2038 | | | | 64,034 | |
| | 5,932,085 | | | Series 3423-TG | | | 0.35% | # I/F I/O | | | 03/15/2038 | | | | 45,809 | |
| | 653,884 | | | Series 3500-SA | | | 5.34% | # I/F I/O | | | 01/15/2039 | | | | 72,146 | |
| | 712,026 | | | Series 3523-SM | | | 5.82% | # I/F I/O | | | 04/15/2039 | | | | 85,941 | |
| | 164,802 | | | Series 3562-WS | | | 4.77% | # I/F I/O | | | 08/15/2039 | | | | 15,382 | |
| | 488,631 | | | Series 3641-TB | | | 4.50% | | | | 03/15/2040 | | | | 518,614 | |
| | 629,446 | | | Series 3728-SV | | | 4.27% | # I/F I/O | | | 09/15/2040 | | | | 71,849 | |
| | 624,882 | | | Series 3758-S | | | 5.85% | # I/F I/O | | | 11/15/2040 | | | | 74,970 | |
| | 71,193 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 71,149 | |
| | 28,824 | | | Series 3780-YS | | | 9.54% | # I/F | | | 12/15/2040 | | | | 29,829 | |
| | 696,154 | | | Series 3815-ST | | | 5.67% | # I/F I/O | | | 02/15/2041 | | | | 77,584 | |
| | 312,911 | | | Series 3900-SB | | | 5.79% | # I/F I/O | | | 07/15/2041 | | | | 35,941 | |
| | 363,526 | | | Series 3923-CZ | | | 5.00% | | | | 09/15/2041 | | | | 399,660 | |
| | 531,535 | | | Series 3972-AZ | | | 3.50% | | | | 12/15/2041 | | | | 497,071 | |
| | 1,068,821 | | | Series 3982-TZ | | | 4.00% | | | | 01/15/2042 | | | | 1,009,169 | |
| |
| | | | Federal National Mortgage Association, | |
| | 255,162 | | | Series 2006-101-SA | | | 6.40% | # I/F I/O | | | 10/25/2036 | | | | 42,349 | |
| | 127,164 | | | Series 2006-123-LI | | | 6.14% | # I/F I/O | | | 01/25/2037 | | | | 21,038 | |
| | 901,375 | | | Series 2007-39-AI | | | 5.94% | # I/F I/O | | | 05/25/2037 | | | | 134,523 | |
| | 492,546 | | | Series 2007-57-SX | | | 6.44% | # I/F I/O | | | 10/25/2036 | | | | 80,981 | |
| | 35,217 | | | Series 2009-49-S | | | 6.57% | # I/F I/O | | | 07/25/2039 | | | | 4,365 | |
| | 722,169 | | | Series 2009-86-CI | | | 5.62% | # I/F I/O | | | 09/25/2036 | | | | 92,138 | |
| | 473,112 | | | Series 2009-90-IA | | | 5.57% | # I/F I/O | | | 03/25/2037 | | | | 45,943 | |
| | 432,296 | | | Series 2009-90-IB | | | 5.54% | # I/F I/O | | | 04/25/2037 | | | | 47,514 | |
| | 784,080 | | | Series 2010-39-SL | | | 5.49% | # I/F I/O | | | 05/25/2040 | | | | 91,433 | |
| | 526,717 | | | Series 2011-5-PS | | | 6.22% | # I/F I/O | | | 11/25/2040 | | | | 61,169 | |
| | 317,457 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 303,340 | |
| | 1,010,038 | | | Series 2013-53-ZC | | | 3.00% | | | | 06/25/2043 | | | | 827,185 | |
| | 983,943 | | | Series 2013-55-KS | | | 5.73% | # I/F | | | 06/25/2043 | | | | 794,149 | |
| | 943,257 | | | Series 2013-55-VZ | | | 3.00% | | | | 06/25/2043 | | | | 783,108 | |
| | | | | | |
| 40 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
CONTRACTS /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Government National Mortgage Association, | |
| $ | 83,775 | | | Series 2009-6-SM | | | 5.77% | # I/F I/O | | | 02/20/2038 | | | | 10,176 | |
| | 14,200 | | | Series 2011-12-PO | | | 0.00% | P/O | | | 12/20/2040 | | | | 13,357 | |
| | 559,418 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 589,149 | |
| | 250,000 | | | Series 2011-7-LS | | | 9.52% | # I/F | | | 12/20/2040 | | | | 272,621 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government/Agency Mortgage Backed Obligations (Cost $8,062,577) | | | | 7,694,764 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCK 38.8% | |
| | 2,500 | | | Apple, Inc. | | | | | | | | | | | 1,191,875 | |
| | 575,000 | | | First Trust ISE-Revere Natural Gas
Index Fund | | | | | | | | | | | 10,758,250 | |
| | 66,000 | | | ING Prime Rate Trust | | | | | | | | | | | 399,960 | |
| | 32,000 | | | Invesco Dynamic Credit Opportunities Fund | | | | | | | | | | | 411,520 | |
| | 290,000 | | | iShares FTSE China 25 Index Fund | | | | | | | | | | | 10,753,200 | |
| | 80,000 | | | iShares JP Morgan USD Emerging Markets Bond ETF | | | | | | | | | | | 8,720,000 | |
| | 655,000 | | | iShares MSCI United Kingdom ETF | | | | | | | | | | | 12,851,100 | |
| | 255,000 | | | Japan Equity Fund, Inc. | | | | | | | | | | | 1,739,100 | |
| | 180,000 | | | Market Vectors Russia ETF | | | | | | | | | | | 5,072,400 | |
| | 20,100 | | | Nuveen Floating Rate Income Fund | | | | | | | | | | | 240,396 | |
| | 300,000 | | | Pimco Dynamic Income Fund | | | | | | | | | | | 8,607,000 | |
| | 100,000 | | | Pioneer Floating Rate Trust | | | | | | | | | | | 1,255,000 | |
| | 275,000 | | | SPDR Barclays High Yield Bond EFT | | | | | | | | | | | 10,956,000 | |
| | 255,000 | | | Vanguard FTSE Developed Markets ETF | | | | | | | | | | | 10,092,900 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stock (Cost $81,074,573) | | | | 83,048,701 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 15.1% (a) | |
| | 473,373 | | | DoubleLine Floating Rate Fund | | | | | | | | | | | 4,781,065 | |
| | 2,508,602 | | | DoubleLine Total Return Bond Fund | | | | | | | | | | | 27,494,280 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $33,300,913) | | | | 32,275,345 | |
| | | | | | | | | | | | | | | | |
| | PURCHASED OPTIONS 0.2% | |
| | 5 | | | Crude Oil European Call, Expiration December 2013, Strike Price $130.00 | | | | | | | | | | | 200 | |
| | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
CONTRACTS /
SHARES | | | SECURITY DESCRIPTION | | RATE | | MATURITY | | VALUE $ | |
| | 10 | | | Gold London PM Fix Call, Expiration December 2014, Strike Price $2,000.00 | | | | | | | 9,151 | |
| | 1,461 | | | Home Depot, Inc. Put, Expiration November 2013, Strike Price $75.00 | | | | | | | 239,604 | |
| | 2,000 | | | iShares MSCI Japan ETF Call, Expiration December 2013, Strike Price $14.00 | | | | | | | 3,000 | |
| | 25,000,000 | | | U.S. Dollar / Singapore Dollar Call, Expiration May 2014, Strike Price $1.28 | | | | | | | 282,093 | |
| | | | | | | | | | | | |
| | | | Total Purchased Options
(Cost $1,094,977) | | | 534,048 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 32.3% | |
| | 37,912,307 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 37,912,307 | |
| | 1,117,000 | | | Morgan Stanley Institutional Liquidity Funds | | | 0.05% | ¨ | | | | | | | 1,117,000 | |
| | 10,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 10/24/2013 | | | | 9,999,681 | |
| | 20,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 10/31/2013 | | | | 19,999,875 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $69,028,863 ) | | | | | | | | 69,028,863 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.2%
(Cost $211,386,609) | | | | | | | | 212,157,719 | |
| | | | Other Assets in Excess of Liabilities 0.8% | | | | 1,675,879 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 213,833,598 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as % of Net Assets | | | | |
Exchange Traded Funds and Common Stock | | | 38.8% | |
Short Term Investments | | | 32.3% | |
Affiliated Mutual Funds | | | 15.1% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 7.0% | |
US Government / Agency Mortgage Backed Obligations | | | 3.6% | |
Collateralized Loan Obligations | | | 2.2% | |
Purchased Options | | | 0.2% | |
Other Assets and Liabilities | | | 0.8% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2013. |
| ^ | 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 September 30, 2013, the value of these securities amounted to $8,102,877 or 3.8% of net assets. |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| I/O | Interest only security |
| P/O | Principal only security |
| (a) | Institutional class shares held at each Fund |
| ¨ | Seven-day yield as of September 30, 2013 |
| @ | Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of September 30, 2013. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 41 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | |
Written Options
Contracts | | Security Description | | Value | |
5 | | Crude Oil Europe Call, Expiration December 2013, Strike Price $180.00 | | $ | (50 | ) |
| | | | | | |
Total Written Options (Premiums Received $4,983) | | $ | (50 | ) |
| | | | |
| | | | | | | | | | |
| Futures Contracts - Long | |
| Contracts | | Security Description | | Expiration
Month | | | Unrealized
Appreciation
(Depreciation) | |
58 | | Australian Dollar Future | | | 12/2013 | | | $ | (76,620 | ) |
81 | | U.S. Treasury Long Bond Future | | | 12/2013 | | | | 25,110 | |
148 | | mini MSCI EAFE Index Future | | | 12/2013 | | | | 83,782 | |
250 | | S&P500 EMINI Future | | | 12/2013 | | | | (95,625 | ) |
68 | | Hard Red Winter Wheat Future | | | 12/2013 | | | | 44,990 | |
73 | | White Maize Wheat Future | | | 12/2013 | | | | 8,586 | |
| | | | | | | | | | |
| | | | | | | | $ | (9,777 | ) |
| | | | | | | | | | |
| | | | | | | | | | |
| Futures Contracts - Short | |
| Contracts | | Security Description | | Expiration
Month | | | Unrealized
Appreciation
(Depreciation) | |
100 | | mini MSCI Emerging Markets Index Future | | | 12/2013 | | | $ | 119,515 | |
| | | | | | | | | | |
| | | | | | | | $ | 119,515 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | |
| Total Return Swaps - Long | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Unleaded Gasoline Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | $ | (21,601 | ) |
S&P GSCI Crude Oil Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (6,522 | ) |
S&P GSCI Brent Crude Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (7,536 | ) |
S&P GSCI Heating Oil Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (8,898 | ) |
S&P GSCI Sugar Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (2,639 | ) |
S&P GSCI GasOil Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (8,348 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (55,544 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Total Return Swaps - Short | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Coffee Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | $ | 16,187 | |
S&P GSCI Corn Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | 32,052 | |
S&P GSCI Aluminum Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (11,444 | ) |
S&P GSCI Zinc Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (9,552 | ) |
S&P GSCI Wheat Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | (354 | ) |
S&P GSCI Natural Gas Official Close Index | | Morgan Stanley | | | 960,000 | | | | 10/03/2013 | | | | 1,884 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 28,773 | |
| | | | | | | | | | | | | | |
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 (Consolidated) investment in affiliated mutual funds for the period ended September 30, 2013, is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2013 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2013 | | | Value at
September 30,
2013 | | | Dividend
Income Earned
in the Period
Ended September 30,
2013 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2013 | |
DoubleLine Total Return Bond Fund | | | $54,934,079 | | | | $— | | | | $25,600,000 | | | | 2,508,602 | | | | $27,494,280 | | | | $1,052,131 | | | | $(345,309 | ) |
DoubleLine Floating Rate Fund | | | — | | | | 4,800,000 | | | | — | | | | 473,373 | | | | 4,781,065 | | | | 16,836 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $54,934,079 | | | | $4,800,000 | | | | $25,600,000 | | | | 2,981,975 | | | | $32,275,345 | | | | $1,068,967 | | | | $(345,309 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 42 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 16.0% | |
| |
| | | | ACA Ltd., | |
| $ | 498,886 | | | Series 2006-1A-A1 | | | 0.52% | #^ | | | 07/25/2018 | | | | 495,853 | |
| |
| | | | Adirondack Park Ltd., | |
| | 1,475,043 | | | Series 2013-1A-X | | | 1.27% | #^ | | | 04/15/2016 | | | | 1,475,321 | |
| |
| | | | Apidos Ltd., | |
| | 10,820,343 | | | Series 2006-3A-A1 | | | 0.52% | #^ | | | 06/12/2020 | | | | 10,733,996 | |
| |
| | | | ARES Ltd., | |
| | 170,325 | | | Series 2006-5RA-A2 | | | 0.51% | #^ | | | 02/24/2018 | | | | 170,308 | |
| | 1,703,039 | | | Series 2006-6RA-A1B | | | 0.48% | #^ | | | 03/12/2018 | | | | 1,690,709 | |
| | 1,081,216 | | | Series 2006-6RA-A2 | | | 0.54% | # | | | 03/12/2018 | | | | 1,067,801 | |
| |
| | | | Atrium Corporation, | |
| | 307,838 | | | Series 3A-A1 | | | 0.59% | #^ | | | 10/27/2016 | | | | 307,799 | |
| | 153,768 | | | Series 4A-A2 | | | 0.51% | #^ | | | 06/08/2019 | | | | 152,785 | |
| | 1,168,638 | | | Series 4X-A1A | | | 0.51% | # | | | 06/08/2019 | | | | 1,162,332 | |
| |
| | | | Avenue Ltd., | |
| | 1,950,000 | | | Series 2005-2A-B1L | | | 2.07% | #^ | | | 10/30/2017 | | | | 1,934,194 | |
| | 2,611,175 | | | Series 2006-3A-A1L | | | 0.53% | #^ | | | 07/20/2018 | | | | 2,603,496 | |
| |
| | | | Babson, Inc., | |
| | 13,532,436 | | | Series 2007-1X A2A | | | 0.48% | # | | | 01/18/2021 | | | | 13,258,632 | |
| | 4,500,000 | | | Series 2005-2A-A2 | | | 0.67% | #^ | | | 07/20/2019 | | | | 4,385,433 | |
| |
| | | | Ballyrock Ltd., | |
| | 350,401 | | | Series 2006-1A-A | | | 0.48% | #^ | | | 08/28/2019 | | | | 349,810 | |
| |
| | | | Black Diamond Ltd., | |
| | 11,656,519 | | | Series 2005-1A-A1 | | | 0.52% | #^ | | | 06/20/2017 | | | | 11,636,223 | |
| |
| | | | BlueMountain Ltd., | |
| | 4,500,000 | | | Series 2005-1A-A2 | | | 0.63% | #^ | | | 11/15/2017 | | | | 4,437,000 | |
| |
| | | | BMI Trust, | |
| | 4,755,703 | | | Series 2013-1AR-A1R | | | 1.20% | #^ | | | 08/01/2021 | | | | 4,722,580 | |
| |
| | | | Brookside Mill Ltd., | |
| | 2,250,000 | | | Series 2013-1A-X | | | 1.12% | #^ | | | 04/17/2025 | | | | 2,248,562 | |
| |
| | | | Callidus Debt Partners Fund Ltd., | |
| | 1,423,000 | | | Series 2006-5A-A1B | | | 0.50% | #^ | | | 11/20/2020 | | | | 1,396,469 | |
| |
| | | | Cent Ltd., | |
| | 3,732,985 | | | Series 2005-10A-A1 | | | 0.50% | #^ | | | 12/15/2017 | | | | 3,709,904 | |
| | 500,000 | | | Series 2013-18A-A | | | 1.37% | #^ | | | 07/23/2025 | | | | 500,404 | |
| |
| | | | Chatham Light Ltd., | |
| | 3,300,000 | | | Series 2005-2A-A2 | | | 0.67% | #^ | | | 08/03/2019 | | | | 3,194,409 | |
| |
| | | | ColumbusNova Ltd., | |
| | 15,275,706 | | | Series 2007-1A-A1 | | | 0.51% | #^ | | | 05/16/2019 | | | | 15,057,807 | |
| |
| | | | Denali Capital Ltd., | |
| | 225,580 | | | Series 6A-A1L | | | 0.53% | #^ | | | 04/21/2020 | | | | 224,845 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 1,300,000 | | | Series 2005-8A-B | | | 0.66% | #^ | | | 05/22/2017 | | | | 1,277,843 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 250,000 | | | Series 2012-25A-D | | | 4.27% | #^ | | | 01/15/2025 | | | | 245,829 | |
| |
| | | | Franklin Ltd., | |
| | 375,655 | | | Series 2006-5A-A2 | | | 0.51% | #^ | | | 06/15/2018 | | | | 369,765 | |
| |
| | | | Galaxy Ltd., | |
| | 34,456 | | | Series 2005-5A-A1 | | | 0.53% | #^ | | | 10/20/2017 | | | | 34,488 | |
| | 5,000,000 | | | Series 2012-12X-A | | | 1.66% | # | | | 05/19/2023 | | | | 4,991,961 | |
| |
| | | | Gannett Peak Ltd., | |
| | 7,422,194 | | | Series 2006-1A-A1A | | | 0.51% | #^ | | | 10/27/2020 | | | | 7,352,152 | |
| |
| | | | GLG Ore Hill Ltd., | |
| | 3,000,000 | | | Series 2013-1A-X1 | | | 1.27% | #^ | | | 07/15/2016 | | | | 3,000,618 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 1,000,000 | | | Series 2012-6A-D | | | 4.47% | #^ | | | 04/17/2022 | | | | 997,128 | |
| |
| | | | Gulf Stream-Sextant Ltd., | |
| | 875,214 | | | Series 2006-1A-A2 | | | 0.51% | #^ | | | 08/21/2020 | | | | 866,523 | |
| |
| | | | ICE Global Credit Ltd., | |
| | 5,250,000 | | | Series 2013-1A-X | | | 1.27% | #^ | | | 04/20/2015 | | | | 5,250,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | ING Ltd., | |
| $ | 500,000 | | | Series 2012-1A-C | | | 5.25% | #^ | | | 03/14/2022 | | | | 500,538 | |
| | 700,000 | | | Series 2012-4A-A1 | | | 1.66% | #^ | | | 10/15/2023 | | | | 699,836 | |
| |
| | | | KKR Financial Corporation, | |
| | 8,029,283 | | | Series 2006-1A-A1 | | | 0.54% | #^ | | | 08/25/2018 | | | | 7,994,689 | |
| | 8,412,871 | | | Series 2007-1 | | | 0.61% | #^ | | | 05/15/2021 | | | | 8,247,771 | |
| | 11,300,437 | | | Series 2007-AA-A | | | 1.02% | #^ | | | 10/15/2017 | | | | 11,242,859 | |
| | 5,000,000 | | | Series 2013-1A-A1 | | | 1.45% | #^ | | | 07/15/2025 | | | | 4,915,625 | |
| |
| | | | Landmark Ltd., | |
| | 423,634 | | | Series 2006-7A-A1L | | | 0.54% | #^ | | | 07/15/2018 | | | | 421,431 | |
| |
| | | | LCM LP, | |
| | 1,000,000 | | | Series 10X-A | | | 1.75% | # | | | 04/15/2022 | | | | 1,000,872 | |
| | 5,000,000 | | | Series 14A-X | | | 1.28% | #^ | | | 07/15/2025 | | | | 4,996,469 | |
| |
| | | | Mountain Capital Ltd., | |
| | 470,436 | | | Series 2005-4A-A1L | | | 0.50% | #^ | | | 03/15/2018 | | | | 467,739 | |
| |
| | | | NewMark Capital Funding Ltd., | |
| | 9,750,000 | | | Series 2013-1A-A2 | | | 1.49% | #^ | | | 06/02/2025 | | | | 9,574,500 | |
| | 10,000,000 | | | Series 2013-A1-A1 | | | 1.31% | #^ | | | 06/02/2025 | | | | 9,700,000 | |
| |
| | | | Oak Hill Credit Partners, | |
| | 1,000,000 | | | Series 2012-7A-A | | | 1.68% | #^ | | | 11/20/2023 | | | | 997,391 | |
| |
| | | | Ocean Trails, | |
| | 9,750,000 | | | Series 2013-4A-A | | | 1.67% | #^ | | | 08/13/2025 | | | | 9,691,500 | |
| |
| | | | Pacifica, Inc., | |
| | 4,993,617 | | | Series 2A-B1 | | | 2.07% | #^ | | | 07/10/2015 | | | | 5,005,916 | |
| |
| | | | Race Point Ltd., | |
| | 8,914,007 | | | Series 2006-3-A | | | 0.53% | #^ | | | 04/15/2020 | | | | 8,842,531 | |
| |
| | | | TCW Global Project Fund Ltd., | |
| | 1,973,998 | | | Series 2004-1A-REV | | | 0.92% | #^ | | | 06/15/2016 | | | | 1,964,128 | |
| |
| | | | Venture Ltd., | |
| | 500,000 | | | Series 2005-1A-A2 | | | 0.71% | #^ | | | 11/22/2018 | | | | 481,249 | |
| | 4,000,000 | | | Series 2013-14A-X | | | 1.00% | #^ | | | 08/28/2016 | | | | 4,009,907 | |
| |
| | | | Vitesse Ltd., | |
| | 2,739,079 | | | Series 2006-1A-A1L | | | 0.51% | #^ | | | 08/17/2020 | | | | 2,701,103 | |
| |
| | | | Whitehorse Ltd., | |
| | 5,000,000 | | | Series 2013-1A-A1L | | | 1.71% | #^ | | | 11/24/2025 | | | | 4,967,187 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations (Cost $209,368,776) | | | | 209,726,220 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 21.8% | |
| | 2,318,000 | | | AES Gener S.A. | | | 7.50% | | | | 03/25/2014 | | | | 2,380,215 | |
| | 3,000,000 | | | America Movil S.A.B. de C.V. | | | 1.26% | # | | | 09/12/2016 | | | | 3,002,172 | |
| | 300,000 | | | Andrade Gutierrez International S.A. | | | 4.00% | ^ | | | 04/30/2018 | | | | 282,750 | |
| | 2,865,000 | | | Andrade Gutierrez International S.A. | | | 4.00% | | | | 04/30/2018 | | | | 2,700,263 | |
| | 1,050,000 | | | Australia and New Zealand Banking Group Ltd. | | | 2.13% | ^ | | | 01/10/2014 | | | | 1,054,586 | |
| | 1,700,000 | | | Australia and New Zealand Banking Group Ltd. | | | 3.25% | ^ | | | 03/01/2016 | | | | 1,782,467 | |
| | 1,000,000 | | | Banco Bradesco S.A. | | | 2.36% | # | | | 05/16/2014 | | | | 1,005,830 | |
| | 2,000,000 | | | Banco Bradesco S.A. | | | 4.10% | | | | 03/23/2015 | | | | 2,070,000 | |
| | 5,000,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 4,762,500 | |
| | 1,500,000 | | | Banco Davivienda S.A. | | | 2.95% | ^ | | | 01/29/2018 | | | | 1,428,750 | |
| | 5,800,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 6,010,250 | |
| | 200,000 | | | Banco de Bogota S.A. | | | 5.00% | ^ | | | 01/15/2017 | | | | 207,250 | |
| | 2,815,000 | | | Banco de Chile | | | 6.25% | | | | 06/15/2016 | | | | 3,118,913 | |
| | 6,000,000 | | | Banco de Credito del Peru | | | 4.75% | | | | 03/16/2016 | | | | 6,300,000 | |
| | 6,000,000 | | | Banco de Credito e Inversiones | | | 3.00% | | | | 09/13/2017 | | | | 5,973,078 | |
| | 2,500,000 | | | Banco del Estado de Chile | | | 2.00% | | | | 11/09/2017 | | | | 2,445,422 | |
| | 1,000,000 | | | Banco del Estado de Chile | | | 2.00% | ^ | | | 11/09/2017 | | | | 978,169 | |
| | 500,000 | | | Banco do Brasil S.A. | | | 4.50% | | | | 01/22/2015 | | | | 520,000 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 43 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,000,000 | | | Banco do Brasil S.A. | | | 3.88% | | | | 01/23/2017 | | | | 2,035,000 | |
| | 3,500,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 3,263,750 | |
| | 2,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | ^ | | | 05/02/2018 | | | | 1,865,000 | |
| | 300,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | ^ | | | 04/04/2017 | | | | 302,250 | |
| | 200,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 201,500 | |
| | 4,953,000 | | | Banco Mercantil del Norte | | | 4.38% | | | | 07/19/2015 | | | | 5,163,503 | |
| | 1,000,000 | | | Banco Nacional de Desenvolvimento Economico e Social | | | 3.38% | ^ | | | 09/26/2016 | | | | 1,005,500 | |
| | 5,000,000 | | | Banco Nacional de Desenvolvimento Economico e Social | | | 6.37% | | | | 06/16/2018 | | | | 5,437,500 | |
| | 600,000 | | | Banco Safra S.A. | | | 3.50% | | | | 05/16/2014 | | | | 607,350 | |
| | 6,000,000 | | | Banco Santander | | | 1.85% | # | | | 01/19/2016 | | | | 6,045,000 | |
| | 6,000,000 | | | Bancolombia S.A. | | | 4.25% | | | | 01/12/2016 | | | | 6,225,000 | |
| | 3,000,000 | | | Bank Of Montreal | | | 1.30% | | | | 07/15/2016 | | | | 3,015,663 | |
| | 3,100,000 | | | Bank Of Nova Scotia | | | 1.38% | | | | 07/15/2016 | | | | 3,123,389 | |
| | 6,500,000 | | | BBVA Banco Continental S.A. | | | 2.25% | | | | 07/29/2016 | | | | 6,370,000 | |
| | 3,500,000 | | | BBVA Bancomer S.A. | | | 4.50% | | | | 03/10/2016 | | | | 3,675,000 | |
| | 850,000 | | | BP Capital Markets PLC | | | 3.63% | | | | 05/08/2014 | | | | 866,955 | |
| | 2,050,000 | | | BP Capital Markets PLC | | | 3.13% | | | | 10/01/2015 | | | | 2,144,968 | |
| | 3,300,000 | | | British Telecommunications PLC | | | 1.63% | | | | 06/28/2016 | | | | 3,320,034 | |
| | 5,000,000 | | | Caixa Economica Federal | | | 2.38% | | | | 11/06/2017 | | | | 4,687,500 | |
| | 1,270,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.63% | | | | 04/20/2015 | | | | 1,346,464 | |
| | 3,000,000 | | | CNPC General Capital Ltd. | | | 1.45% | ^ | | | 04/16/2016 | | | | 2,991,906 | |
| | 1,500,000 | | | CNPC General Capital Ltd. | | | 1.45% | | | | 04/16/2016 | | | | 1,495,953 | |
| | 6,000,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 5,501,064 | |
| | 900,000 | | | CSN Islands Corporation | | | 9.75% | | | | 12/16/2013 | | | | 915,300 | |
| | 300,000 | | | CSN Islands Corporation | | | 10.00% | | | | 01/15/2015 | | | | 327,900 | |
| | 3,400,000 | | | DBS Bank Ltd. | | | 5.00% | # | | | 11/15/2019 | | | | 3,523,780 | |
| | 1,500,000 | | | Diageo Capital PLC | | | 7.38% | | | | 01/15/2014 | | | | 1,529,402 | |
| | 1,600,000 | | | Diageo Capital PLC | | | 1.50% | | | | 05/11/2017 | | | | 1,601,974 | |
| | 2,489,550 | | | Dolphin Energy Ltd. | | | 5.89% | | | | 06/15/2019 | | | | 2,729,294 | |
| | 1,800,000 | | | Ecopetrol S.A. | | | 4.25% | | | | 09/18/2018 | | | | 1,856,250 | |
| | 2,500,000 | | | Embraer Overseas Ltd. | | | 6.38% | | | | 01/24/2017 | | | | 2,700,000 | |
| | 2,945,000 | | | Empresas Publicas de Medellin | | | 7.63% | | | | 07/29/2019 | | | | 3,408,837 | |
| | 145,000 | | | France Telecom S.A. | | | 4.38% | | | | 07/08/2014 | | | | 148,898 | |
| | 650,000 | | | France Telecom S.A. | | | 2.13% | | | | 09/16/2015 | | | | 660,310 | |
| | 2,300,000 | | | France Telecom S.A. | | | 2.75% | | | | 09/14/2016 | | | | 2,374,571 | |
| | 1,800,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.15% | | | | 03/01/2017 | | | | 1,790,320 | |
| | 1,600,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 1,547,928 | |
| | 2,200,000 | | | Gaz Capital S.A. | | | 8.13% | | | | 07/31/2014 | | | | 2,331,560 | |
| | 2,300,000 | | | Gaz Capital S.A. | | | 5.09% | | | | 11/29/2015 | | | | 2,442,600 | |
| | 1,000,000 | | | Gaz Capital S.A. | | | 8.15% | | | | 04/11/2018 | | | | 1,163,800 | |
| | 4,500,000 | | | Gazprombank OJSC | | | 6.50% | | | | 09/23/2015 | | | | 4,815,000 | |
| | 1,240,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 1,240,000 | |
| | 200,000 | | | Grupo Aval Ltd. | | | 5.25% | ^ | | | 02/01/2017 | | | | 208,000 | |
| | 5,800,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 6,032,000 | |
| | 3,000,000 | | | Grupo Televisa S.A.B | | | 6.00% | | | | 05/15/2018 | | | | 3,401,637 | |
| | 4,500,000 | | | Hutchison Whampoa International Ltd. | | | 4.63% | | | | 09/11/2015 | | | | 4,799,047 | |
| | 500,000 | | | Hutchison Whampoa International Ltd. | | | 2.00% | | | | 11/08/2017 | | | | 495,420 | |
| | 2,000,000 | | | Industry & Construction Bank | | | 5.01% | # | | | 09/29/2015 | | | | 2,047,500 | |
| | 4,110,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 4,331,940 | |
| | 1,005,000 | | | IOI Ventures BHD | | | 5.25% | | | | 03/16/2015 | | | | 1,058,299 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 1,175,000 | | | Korea Development Bank | | | 4.38% | | | | 08/10/2015 | | | | 1,245,974 | |
| | 1,900,000 | | | Korea Development Bank | | | 3.25% | | | | 03/09/2016 | | | | 1,983,336 | |
| | 5,500,000 | | | LPG International, Inc. | | | 7.25% | | | | 12/20/2015 | | | | 6,028,605 | |
| | 1,200,000 | | | Lukoil International Finance B.V. | | | 6.38% | | | | 11/05/2014 | | | | 1,268,520 | |
| | 1,000,000 | | | Lukoil International Finance B.V. | | | 3.42% | | | | 04/24/2018 | | | | 996,250 | |
| | 400,000 | | | MTR Corporation | | | 4.75% | | | | 01/21/2014 | | | | 404,704 | |
| | 1,700,000 | | | National Australia Bank Ltd. | | | 1.60% | | | | 08/07/2015 | | | | 1,727,997 | |
| | 1,500,000 | | | National Australia Bank Ltd. | | | 3.00% | ^ | | | 07/27/2016 | | | | 1,577,156 | |
| | 4,500,000 | | | Novatek Finance Ltd. | | | 5.33% | | | | 02/03/2016 | | | | 4,786,200 | |
| | 4,994,000 | | | Oversea-Chinese Banking Corporation | | | 4.25% | # | | | 11/18/2019 | | | | 5,132,853 | |
| | 1,000,000 | | | PCCW-HKT Capital No 4 Ltd. | | | 4.25% | | | | 02/24/2016 | | | | 1,055,735 | |
| | 1,850,000 | | | PCCW-HKT Capital No 3 Ltd. | | | 5.25% | | | | 07/20/2015 | | | | 1,978,547 | |
| | 660,000 | | | Pemex Project Funding Master Trust | | | 5.75% | | | | 12/15/2015 | | | | 711,150 | |
| | 4,706,832 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 4,318,518 | |
| | 1,500,000 | | | Petrobras Global Finance B.V. | | | 2.00% | | | | 05/20/2016 | | | | 1,494,061 | |
| | 4,000,000 | | | Petrobras Global Finance B.V. | | | 1.88% | # | | | 05/20/2016 | | | | 3,990,000 | |
| | 1,000,000 | | | Petroleos Mexicanos | | | 2.29% | # | | | 07/18/2018 | | | | 1,032,500 | |
| | 1,500,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 1,522,500 | |
| | 1,500,000 | | | Phosagro Bond Funding Ltd. | | | 4.20% | | | | 02/13/2018 | | | | 1,477,500 | |
| | 3,050,000 | | | Prime Holdings Labuan Ltd. | | | 5.38% | | | | 09/22/2014 | | | | 3,180,147 | |
| | 5,000,000 | | | PTTEP Australia International Finance Ltd. | | | 4.15% | | | | 07/19/2015 | | | | 5,209,765 | |
| | 600,000 | | | Qtel International Finance Ltd. | | | 6.50% | | | | 06/10/2014 | | | | 624,000 | |
| | 2,000,000 | | | Qtel International Finance Ltd. | | | 3.38% | | | | 10/14/2016 | | | | 2,085,000 | |
| | 1,000,000 | | | Raizen Energy Finance Ltd. | | | 7.00% | | | | 02/01/2017 | | | | 1,117,500 | |
| | 1,900,000 | | | Raizen Fuels Finance Ltd. | | | 9.50% | | | | 08/15/2014 | | | | 2,029,200 | |
| | 250,000 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.50% | | | | 09/30/2014 | | | | 261,250 | |
| | 1,292,500 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.83% | | | | 09/30/2016 | | | | 1,383,391 | |
| | 3,400,000 | | | Rosneft International Finance Ltd. | | | 3.15% | | | | 03/06/2017 | | | | 3,408,500 | |
| | 1,000,000 | | | RSHB Capital S.A. | | | 7.13% | | | | 01/14/2014 | | | | 1,018,300 | |
| | 1,500,000 | | | SB Capital S.A. | | | 4.95% | | | | 02/07/2017 | | | | 1,586,250 | |
| | 1,400,000 | | | SB Capital S.A. | | | 5.18% | | | | 06/28/2019 | | | | 1,465,100 | |
| | 5,000,000 | | | Sigma Alimentos S.A. | | | 5.63% | | | | 04/14/2018 | | | | 5,387,500 | |
| | 5,700,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 6,193,238 | |
| | 2,638,000 | | | Southern Copper Corporation | | | 6.38% | | | | 07/27/2015 | | | | 2,862,992 | |
| | 1,450,000 | | | Southern Copper Corporation | | | 1.95% | | | | 09/01/2016 | | | | 1,478,970 | |
| | 1,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | ^ | | | 03/13/2018 | | | | 950,227 | |
| | 5,000,000 | | | Telefonos de Mexico S.A.B. | | | 5.50% | | | | 01/27/2015 | | | | 5,293,125 | |
| | 1,500,000 | | | Temasek Financial Ltd. | | | 4.30% | | | | 10/25/2019 | | | | 1,646,021 | |
| | 820,000 | | | TM Global, Inc. | | | 5.25% | | | | 09/22/2014 | | | | 853,671 | |
| | 500,000 | | | TNK-BP Finance S.A. | | | 6.25% | | | | 02/02/2015 | | | | 531,250 | |
| | 2,500,000 | | | TransCapitalInvest Ltd. | | | 8.70% | | | | 08/07/2018 | | | | 3,031,250 | |
| | 2,000,000 | | | Tupras Turkiye Petrol Rafinerileri A.S. | | | 4.13% | ^ | | | 05/02/2018 | | | | 1,877,500 | |
| | 800,000 | | | Tupras Turkiye Petrol Rafinerileri A.S. | | | 4.13% | | | | 05/02/2018 | | | | 751,000 | |
| | 3,000,000 | | | VEB Finance PLC | | | 5.45% | | | | 11/22/2017 | | | | 3,198,300 | |
| | 1,000,000 | | | VTB Capital S.A. | | | 6.47% | | | | 03/04/2015 | | | | 1,057,580 | |
| | | | | | |
| 44 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,000,000 | | | VTB Capital S.A. | | | 6.88% | | | | 05/29/2018 | | | | 2,155,000 | |
| | 3,192,000 | | | Westpac Banking Corporation | | | 1.13% | | | | 09/25/2015 | | | | 3,216,735 | |
| | 3,200,000 | | | WPP Finance UK | | | 8.00% | | | | 09/15/2014 | | | | 3,411,968 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds (Cost $285,790,646) | | | | 286,191,267 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.8% |
|
| | 566,000 | | | Colombia Government International Bond | | | 2.06% | # | | | 11/16/2015 | | | | 565,717 | |
| | 2,184,000 | | | Colombia Government International Bond | | | 8.70% | | | | 02/15/2016 | | | | 2,527,980 | |
| | 2,945,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 3,091,305 | |
| | 2,000,000 | | | Costa Rica Government International Bond | | | 6.55% | | | | 03/20/2014 | | | | 2,055,000 | |
| | 2,000,000 | | | State of Qatar | | | 4.00% | | | | 01/20/2015 | | | | 2,080,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $10,227,414) | | | | 10,320,002 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 13.4% | |
| |
| | | | Asset Securitization Corporation, | |
| | 6,190,968 | | | Series 1997-D4-PS1 | | | 2.02% | # I/O | | | 04/14/2029 | | | | 291,248 | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 2,000,000 | | | Series 2012-CLRN-A | | | 1.33% | #^ | | | 08/15/2029 | | | | 2,003,666 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 531,252 | | | Series 2004-PWR3-A4 | | | 4.72% | | | | 02/11/2041 | | | | 534,031 | |
| | 1,406,101 | | | Series 2004-PWR4-A3 | | | 5.47% | # | | | 06/11/2041 | | | | 1,435,564 | |
| | 547,947 | | | Series 2004-T14-A4 | | | 5.20% | # | | | 01/12/2041 | | | | 552,851 | |
| | 2,974,535 | | | Series 2005-PWR8-A4 | | | 4.67% | | | | 06/11/2041 | | | | 3,116,378 | |
| | 1,300,000 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 1,355,618 | |
| | 759,460 | | | Series 2006-PW12-AAB | | | 5.69% | # | | | 09/11/2038 | | | | 766,746 | |
| | 685,381 | | | Series 2007-PW17-AAB | | | 5.70% | | | | 06/11/2050 | | | | 710,403 | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| | 5,000,000 | | | Series 2013-BOCA-A | | | 1.33% | #^ | | | 08/15/2026 | | | | 5,003,278 | |
| | 4,100,000 | | | Series 2013-BOCA-D | | | 3.23% | #^ | | | 08/15/2026 | | | | 4,108,204 | |
| |
| | | | Capital Trust, | |
| | 228,326 | | | Series 2005-3A-A2 | | | 5.16% | ^ | | | 06/25/2035 | | | | 230,609 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 13,505,732 | | | Series 2007-CD5-XP | | | 0.31% | #^ I/O | | | 11/15/2044 | | | | 30,834 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 615,000 | | | Series 2005-C3-AM | | | 4.83% | # | | | 05/15/2043 | | | | 645,896 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 9,846,079 | | | Series 2012-CR2-XA | | | 2.11% | # I/O | | | 08/15/2045 | | | | 1,130,537 | |
| | 98,276 | | | Series 2012-MVP-A | | | 2.12% | #^ | | | 11/17/2026 | | | | 98,524 | |
| | 29,482,818 | | | Series 2012-MVP-XACP | | | 1.96% | #^ I/O | | | 12/17/2014 | | | | 669,894 | |
| | 30,000,000 | | | Series 2012-MVP-XBCP | | | 1.58% | #^ I/O | | | 12/17/2014 | | | | 553,500 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 458,279 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 476,457 | |
| | 1,589,066 | | | Series 2004-C1-A4 | | | 4.75% | # | | | 01/15/2037 | | | | 1,593,081 | |
| | 2,000,000 | | | Series 2005-C6-AM | | | 5.23% | # | | | 12/15/2040 | | | | 2,130,588 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,905,539 | | | Series 2006-TF2A-A2 | | | 0.35% | #^ | | | 10/15/2021 | | | | 1,898,035 | |
| | 4,498,014 | | | Series 2006-TF2A-KERB | | | 0.63% | #^ | | | 09/15/2021 | | | | 4,404,881 | |
| | 11,168,983 | | | Series 2006-TFL2A-KERE | | | 0.78% | #^ | | | 09/15/2021 | | | | 10,800,244 | |
| | 1,000,000 | | | Series 2007-TFLA-B | | | 0.33% | #^ | | | 02/15/2022 | | | | 981,519 | |
| |
| | | | DBRR Trust, | |
| | 3,132,419 | | | Series 2012-EZ1-A | | | 0.95% | ^ | | | 09/25/2045 | | | | 3,131,166 | |
| | 687,000 | | | Series 2012-EZ1-B | | | 1.39% | ^ | | | 09/25/2045 | | | | 688,855 | |
| |
| | | | DDR Corporation, | |
| | 2,742,566 | | | Series 2009-DDR1-A | | | 3.81% | ^ | | | 10/14/2022 | | | | 2,807,889 | |
| |
| | | | Del Coronado Trust, | |
| | 2,100,000 | | | Series 2013-HDC-A | | | 0.98% | #^ | | | 03/15/2026 | | | | 2,097,604 | |
| | 2,500,000 | | | Series 2013-HDC-B | | | 1.48% | #^ | | | 03/15/2026 | | | | 2,494,128 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Extended Stay America Trust, | |
| $ | 5,000,000 | | | Series 2013-ESH5-A15 | | | 1.28% | ^ | | | 12/05/2031 | | | | 4,965,000 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 4,748,918 | | | Series 2004-C2-PPL4 | | | 8.15% | ^ | | | 03/10/2039 | | | | 4,829,697 | |
| | 487,000 | | | Series 2004-C3-B | | | 5.33% | # | | | 07/10/2039 | | | | 500,107 | |
| | 1,100,000 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 1,152,357 | |
| |
| | | | GMAC Commercial Mortgage Securities, Inc., | |
| | 435,306 | | | Series 2004-C3-AAB | | | 4.70% | | | | 12/10/2041 | | | | 439,393 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 568,861 | | | Series 2007-EOP-A3 | | | 1.46% | #^ | | | 03/06/2020 | | | | 569,762 | |
| | 941,910 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 945,651 | |
| | 5,000,000 | | | Series 2013-KYO-A | | | 1.03% | #^ | | | 11/08/2029 | | | | 4,964,177 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 291,839 | | | Series 2004-CB8-A1A | | | 4.16% | ^ | | | 01/12/2039 | | | | 294,376 | |
| | 2,795,022 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 2,857,474 | |
| | 107,657 | | | Series 2006-CB14-ASB | | | 5.51% | # | | | 12/12/2044 | | | | 111,906 | |
| | 399,684 | | | Series 2006-CB15-ASB | | | 5.79% | # | | | 06/12/2043 | | | | 417,700 | |
| | 1,908,394 | | | Series 2006-CB17-ASB | | | 5.42% | | | | 12/12/2043 | | | | 2,012,559 | |
| | 3,873,746 | | | Series 2010-C1-A1 | | | 3.85% | ^ | | | 06/15/2043 | | | | 4,029,590 | |
| | 676,910 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2044 | | | | 688,025 | |
| | 4,000,000 | | | Series 2012-PHH-A | | | 1.85% | #^ | | | 10/15/2025 | | | | 4,023,746 | |
| | 1,000,000 | | | Series 2012-PHH-B | | | 2.05% | #^ | | | 10/15/2025 | | | | 1,005,141 | |
| | 1,000,000 | | | Series 2012-PHH-C | | | 2.55% | #^ | | | 10/15/2025 | | | | 1,006,112 | |
| | 4,000,000 | | | Series 2013-ALC-A | | | 1.68% | #^ | | | 07/17/2026 | | | | 4,003,608 | |
| | 3,500,000 | | | Series 2013-ALC-B | | | 3.03% | #^ | | | 07/17/2026 | | | | 3,506,799 | |
| | 2,500,000 | | | Series 2013-FL3-A1 | | | 0.98% | #^ | | | 04/15/2028 | | | | 2,496,659 | |
| | 2,500,000 | | | Series 2013-FL3-A2 | | | 0.88% | #^ | | | 04/15/2028 | | | | 2,490,217 | |
| | 5,000,000 | | | Series 2013-JWRZ-A | | | 0.96% | #^ | | | 04/15/2030 | | | | 4,953,780 | |
| | 2,400,000 | | | Series 2013-JWRZ-D | | | 3.17% | #^ | | | 04/15/2030 | | | | 2,390,491 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 1,248,400 | | | Series 2004-C6-A6 | | | 5.02% | # | | | 08/15/2029 | | | | 1,277,750 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 995,575 | | | Series 2004-KEY2-A4 | | | 4.86% | # | | | 08/12/2039 | | | | 1,020,533 | |
| | 500,000 | | | Series 2005-CIP1-AM | | | 5.11% | # | | | 07/12/2038 | | | | 530,756 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 127,111 | | | Series 2006-4-A2FL | | | 0.30% | # | | | 12/12/2049 | | | | 126,918 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 3,943,032 | | | Series 2012-C5-XA | | | 2.05% | #^ I/O | | | 08/15/2045 | | | | 390,271 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 27,334 | | | Series 2003-T11-A4 | | | 5.15% | | | | 06/13/2041 | | | | 27,318 | |
| | 301,881 | | | Series 2005-HQ6-AAB | | | 4.97% | | | | 08/13/2042 | | | | 307,866 | |
| | 1,698,121 | | | Series 2005-T17-A5 | | | 4.78% | | | | 12/13/2041 | | | | 1,751,287 | |
| | 25,026,929 | | | Series 2006-HQ10-X1 | | | 0.51% | #^ I/O | | | 11/12/2041 | | | | 351,403 | |
| | 1,051,402 | | | Series 2007-T25-AAB | | | 5.51% | | | | 11/12/2049 | | | | 1,064,362 | |
| | 9,004,578 | | | Series 2007-XLF9-J | | | 2.28% | #^ | | | 12/15/2020 | | | | 8,824,117 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 1,263,003 | | | Series 2012-IO-AXA | | | 1.00% | ^ | | | 03/27/2051 | | | | 1,251,560 | |
| |
| | | | RBS Greenwich Capital Mortgage Loan Trust, | |
| | 4,300,000 | | | Series 2010-MB1-C | | | 4.84% | #^ | | | 04/15/2024 | | | | 4,470,570 | |
| |
| | | | RREF LLC, | |
| | 1,373,922 | | | Series 2013-LT2-A | | | 2.83% | ^ | | | 05/22/2028 | | | | 1,373,623 | |
| |
| | | | SMA Issuer LLC, | |
| | 310,216 | | | Series 2012-LV1-A | | | 3.50% | ^ | | | 08/20/2025 | | | | 310,809 | |
| |
| | | | UBS Commercial Mortgage Trust, | |
| | 1,137,386 | | | Series 2012-C1-A1 | | | 1.03% | | | | 05/10/2045 | | | | 1,140,678 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 1,000,000 | | | Series 2005-C17-A4 | | | 5.08% | # | | | 03/15/2042 | | | | 1,041,122 | |
| | 53,819 | | | Series 2006-C26-APB | | | 6.00% | | | | 06/15/2045 | | | | 57,287 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 284,615 | | | Series 2011-C3-A1 | | | 1.99% | ^ | | | 03/15/2044 | | | | 288,402 | |
| | 3,453,951 | | | Series 2012-C8-XA | | | 2.40% | #^ I/O | | | 08/15/2045 | | | | 420,327 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 2,478,414 | | | Series 2006-FL12-B | | | 0.35% | #^ | | | 12/15/2020 | | | | 2,435,090 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 20,200,000 | | | Series 2007-TFLA-G | | | 0.55% | #^ | | | 02/15/2022 | | | | 19,277,103 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 7,250,000 | | | Series 2006-FL4A-D | | | 0.45% | #^ | | | 11/05/2021 | | | | 7,055,000 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 45 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| $ | 9,253,887 | | | Series 2006-XLF-J | | | 0.61% | #^ | | | 07/15/2019 | | | | 9,035,819 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $175,731,866) | | | | 175,226,526 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 10.7% |
|
| |
| | | | ACE Securities Corporation, | |
| | 562,220 | | | Series 2006-NC1-A2C | | | 0.38% | # | | | 12/25/2035 | | | | 557,088 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 1,726,786 | | | Series 2005-E-6A1 | | | 4.64% | # | | | 05/20/2035 | | | | 1,747,497 | |
| | 1,712,876 | | | Series 2012-R4-A | | | 0.44% | #^ | | | 03/04/2039 | | | | 1,668,912 | |
| | 5,555,579 | | | Series 2012-R5-A | | | 0.44% | #^ | | | 10/03/2039 | | | | 5,446,761 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 271,947 | | | Series 2005-2-2A1 | | | 5.00% | | | | 03/25/2020 | | | | 273,318 | |
| |
| | | | BCAP LLC Trust, | |
| | 54,884 | | | Series 2009-RR13-6A5 | | | 6.04% | #^ | | | 04/26/2037 | | | | 57,380 | |
| | 1,358,500 | | | Series 2011-RR12-2A5 | | | 2.40% | #^ | | | 12/26/2036 | | | | 1,366,806 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 1,994,487 | | | Series 2004-AC2-2A | | | 5.00% | | | | 05/25/2034 | | | | 2,010,778 | |
| | 378,652 | | | Series 2005-3-A1 | | | 0.63% | # | | | 09/25/2035 | | | | 379,111 | |
| |
| | | | Chase Funding Mortgage Loan Asset-Backed Certificates, | |
| | 11,905 | | | Series 2003-5-1A6 | | | 4.60% | | | | 01/25/2015 | | | | 11,933 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 5,000,000 | | | Series 2007-WFHE2-A3 | | | 0.36% | # | | | 03/25/2037 | | | | 4,629,000 | |
| | 790,457 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 813,801 | |
| | 2,279,538 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 2,339,424 | |
| | 1,562,309 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 1,583,496 | |
| | 996,335 | | | Series 2011-12-3A1 | | | 5.59% | ^ | | | 09/25/2047 | | | | 996,668 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 700,480 | | | Series 2007-HY5R-2A1A | | | 4.98% | # | | | 03/25/2047 | | | | 678,944 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 990,829 | | | Series 2006-2-2A2 | | | 0.37% | # | | | 06/25/2036 | | | | 958,369 | |
| |
| | | | Countrywide Home Loans, | |
| | 180,501 | | | Series 2005-5-A1 | | | 5.50% | | | | 03/25/2035 | | | | 180,332 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 1,665,211 | | | Series 2005-11-5A1 | | | 5.25% | | | | 12/25/2020 | | | | 1,703,314 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,430,417 | | | Series 2009-13R-2A1 | | | 6.00% | ^ | | | 01/26/2037 | | | | 1,461,193 | |
| | 12,344,000 | | | Series 2010-18R-4A2 | | | 2.57% | #^ | | | 04/26/2038 | | | | 12,356,802 | |
| | 56,279 | | | Series 2010-1R-5A1 | | | 4.94% | #^ | | | 01/27/2036 | | | | 57,096 | |
| | 2,543,001 | | | Series 2011-16R-6A1 | | | 2.44% | #^ | | | 09/27/2035 | | | | 2,542,611 | |
| | 9,719,515 | | | Series 2013-3R-1A1 | | | 1.31% | #^ | | | 04/27/2035 | | | | 9,297,936 | |
| |
| | | | Ellington Loan Acquisition Trust, | |
| | 1,935,438 | | | Series 2007-2-A2A | | | 1.08% | #^ | | | 05/25/2037 | | | | 1,914,523 | |
| |
| | | | Fieldstone Mortgage Investment Trust, | |
| | 3,410,435 | | | Series 2004-5-M2 | | | 1.90% | # | | | 02/25/2035 | | | | 3,310,776 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 8,449,879 | | | Series 2005-FF12-A2B | | | 0.44% | # | | | 11/25/2036 | | | | 8,189,391 | |
| | 1,308,318 | | | Series 2006-FF1-2A3 | | | 0.42% | # | | | 01/25/2036 | | | | 1,261,894 | |
| |
| | | | GreenPoint Mortgage Funding Trust, | |
| | 73 | | | Series 2006-AR8-1A1A | | | 0.26% | # | | | 01/25/2047 | | | | 73 | |
| | 466,727 | | | Series 2007-AR2-1A1 | | | 0.31% | # | | | 04/25/2047 | | | | 463,894 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 91,394 | | | Series 2006-AR1-2A2 | | | 2.80% | # | | | 01/25/2036 | | | | 91,511 | |
| |
| | | | Jefferies & Company, Inc., | |
| | 831,564 | | | Series 2010-R7-5A1 | | | 1.18% | #^ | | | 09/26/2035 | | | | 804,087 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 2,213,014 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 2,075,154 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 4,738,342 | | | Series 2006-NC1-A4 | | | 0.35% | # | | | 04/25/2036 | | | | 4,424,280 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 845,974 | | | Series 2005-S2-2A8 | | | 5.50% | | | | 09/25/2035 | | | | 845,034 | |
| | 461,625 | | | Series 2007-S1-1A1 | | | 5.00% | | | | 03/25/2022 | | | | 456,364 | |
| | 435,936 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 431,856 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| $ | 720,023 | | | Series 2009-7-8A1 | | | 5.31% | #^ | | | 01/27/2047 | | | | 722,881 | |
| | 487,747 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 496,566 | |
| | 1,106,514 | | | Series 2012-2-3A3 | | | 2.68% | #^ | | | 10/26/2036 | | | | 1,110,560 | |
| |
| | | | Lehman XS Trust, | |
| | 1,311,412 | | | Series 2007-1-1A1 | | | 0.26% | # | | | 02/25/2037 | | | | 1,303,484 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 4,492,441 | | | Series 2007-2-A2 | | | 0.29% | # | | | 03/25/2047 | | | | 4,311,659 | |
| |
| | | | MASTR Asset Backed Securities Trust, | |
| | 228,780 | | | Series 2006-NC1-A3 | | | 0.37% | # | | | 01/25/2036 | | | | 224,070 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 2,725,740 | | | Series 2005-WMC3-M3 | | | 0.88% | # | | | 03/25/2035 | | | | 2,717,257 | |
| | 5,448,826 | | | Series 2006-NC2-A2C | | | 0.36% | # | | | 02/25/2036 | | | | 5,388,671 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 323,121 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 332,456 | |
| |
| | | | RAAC Series, | |
| | 3,091,916 | | | Series 2007-SP2-A1 | | | 0.38% | # | | | 06/25/2047 | | | | 3,068,906 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 15,071,755 | | | Series 2006-RS4-A3 | | | 0.35% | # | | | 07/25/2036 | | | | 14,066,785 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 6,207,171 | | | Series 2006-KS6-A3 | | | 0.33% | # | | | 08/25/2036 | | | | 5,810,856 | |
| | 7,050,429 | | | Series 2006-KS9-AI2 | | | 0.30% | # | | | 11/25/2036 | | | | 6,849,375 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 1,838,553 | | | Series 2005-A5-A1 | | | 0.48% | # | | | 05/25/2035 | | | | 1,810,757 | |
| | 1,838,553 | | | Series 2005-A5-A2 | | | 5.02% | #I/F I/O | | | 05/25/2035 | | | | 36,629 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 302,227 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 302,736 | |
| |
| | | | Soundview Home Equity Loan Trust, | |
| | 8,290,192 | | | Series 2007-NS1-A2 | | | 0.33% | # | | | 01/25/2037 | | | | 7,804,918 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 636,823 | | | Series 2006-5-5A3 | | | 5.00% | # | | | 06/25/2036 | | | | 625,604 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 704,564 | | | Series 2003-24A-1A3 | | | 2.47% | # | | | 07/25/2033 | | | | 692,845 | |
| | 424,490 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 431,782 | |
| | 1,107,169 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 1,164,427 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 1,157,220 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 1,206,163 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 1,106,587 | | | Series 2006-3-A9 | | | 5.50% | | | | 03/25/2036 | | | | 1,108,981 | |
| | 130,883 | | | Series 2006-4-1A8 | | | 5.75% | | | | 04/25/2036 | | | | 130,875 | |
| |
| | | | Wells Fargo Mortgage Loan Trust, | |
| | 848,196 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 856,175 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $137,847,720) | | | | 139,962,825 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 11.7% | |
| | 3,050,000 | | | Altria Group, Inc. | | | 4.13% | | | | 09/11/2015 | | | | 3,236,825 | |
| | 3,000,000 | | | American Express Credit Corporation | | | 1.75% | | | | 06/12/2015 | | | | 3,055,950 | |
| | 850,000 | | | Amgen, Inc. | | | 1.88% | | | | 11/15/2014 | | | | 862,044 | |
| | 380,000 | | | Amgen, Inc. | | | 4.85% | | | | 11/18/2014 | | | | 398,476 | |
| | 1,700,000 | | | Amgen, Inc. | | | 2.13% | | | | 05/15/2017 | | | | 1,726,748 | |
| | 750,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 5.38% | | | | 11/15/2014 | | | | 790,749 | |
| | 2,200,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 0.80% | | | | 07/15/2015 | | | | 2,210,932 | |
| | 3,000,000 | | | AT&T, Inc. | | | 2.50% | | | | 08/15/2015 | | | | 3,091,485 | |
| | 2,922,000 | | | BB&T Corporation | | | 3.20% | | | | 03/15/2016 | | | | 3,063,811 | |
| | 2,000,000 | | | Berkshire Hathaway Finance Corporation | | | 0.95% | | | | 08/15/2016 | | | | 2,004,016 | |
| | 1,137,000 | | | Berkshire Hathaway, Inc. | | | 2.20% | | | | 08/15/2016 | | | | 1,179,755 | |
| | 971,000 | | | Boeing Capital Corporation | | | 3.25% | | | | 10/27/2014 | | | | 1,000,463 | |
| | 525,000 | | | Boeing Company | | | 5.00% | | | | 03/15/2014 | | | | 535,726 | |
| | | | | | |
| 46 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 1,600,000 | | | Boeing Company | | | 3.75% | | | | 11/20/2016 | | | | 1,732,744 | |
| | 1,900,000 | | | Caterpillar Financial Services Corporation | | | 1.35% | | | | 09/06/2016 | | | | 1,913,695 | |
| | 1,400,000 | | | Caterpillar Financial Services Corporation | | | 1.10% | | | | 05/29/2015 | | | | 1,411,984 | |
| | 2,637,000 | | | Comcast Corporation | | | 6.50% | | | | 01/15/2015 | | | | 2,834,875 | |
| | 577,000 | | | ConocoPhillips Company | | | 4.75% | | | | 02/01/2014 | | | | 585,233 | |
| | 2,300,000 | | | ConocoPhillips Company | | | 4.60% | | | | 01/15/2015 | | | | 2,417,431 | |
| | 3,155,000 | | | Daimler Finance North America LLC | | | 1.45% | ^ | | | 08/01/2016 | | | | 3,167,308 | |
| | 1,315,000 | | | Devon Energy Corporation | | | 5.63% | | | | 01/15/2014 | | | | 1,334,658 | |
| | 1,900,000 | | | Devon Energy Corporation | | | 1.88% | | | | 05/15/2017 | | | | 1,905,852 | |
| | 1,400,000 | | | DIRECTV Holdings LLC | | | 4.75% | | | | 10/01/2014 | | | | 1,455,383 | |
| | 1,600,000 | | | DIRECTV Holdings LLC | | | 2.40% | | | | 03/15/2017 | | | | 1,608,730 | |
| | 2,935,000 | | | Dow Chemical Company | | | 2.50% | | | | 02/15/2016 | | | | 3,033,234 | |
| | 3,000,000 | | | Duke Energy Corporation | | | 2.15% | | | | 11/15/2016 | | | | 3,087,951 | |
| | 3,045,000 | | | eBay, Inc. | | | 0.70% | | | | 07/15/2015 | | | | 3,055,816 | |
| | 550,000 | | | Ecolab, Inc. | | | 2.38% | | | | 12/08/2014 | | | | 560,681 | |
| | 2,531,000 | | | Ecolab, Inc. | | | 1.00% | | | | 08/09/2015 | | | | 2,533,326 | |
| | 2,900,000 | | | Express Scripts Holding Company | | | 2.10% | | | | 02/12/2015 | | | | 2,947,273 | |
| | 3,095,000 | | | General Electric Capital Corporation | | | 1.63% | | | | 07/02/2015 | | | | 3,141,929 | |
| | 1,650,000 | | | General Mills, Inc. | | | 5.20% | | | | 03/17/2015 | | | | 1,758,588 | |
| | 1,100,000 | | | General Mills, Inc. | | | 5.70% | | | | 02/15/2017 | | | | 1,249,370 | |
| | 1,600,000 | | | Gilead Sciences, Inc. | | | 2.40% | | | | 12/01/2014 | | | | 1,633,651 | |
| | 1,300,000 | | | Gilead Sciences, Inc. | | | 3.05% | | | | 12/01/2016 | | | | 1,373,587 | |
| | 1,303,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 10/01/2016 | | | | 1,454,453 | |
| | 600,000 | | | Hewlett-Packard Company | | | 2.63% | | | | 12/09/2014 | | | | 611,797 | |
| | 2,400,000 | | | Hewlett-Packard Company | | | 3.30% | | | | 12/09/2016 | | | | 2,498,822 | |
| | 1,440,000 | | | John Deere Capital Corporation | | | 0.88% | | | | 04/17/2015 | | | | 1,448,497 | |
| | 1,600,000 | | | John Deere Capital Corporation | | | 1.40% | | | | 03/15/2017 | | | | 1,594,397 | |
| | 2,025,000 | | | JP Morgan Chase & Company | | | 1.10% | | | | 10/15/2015 | | | | 2,029,894 | |
| | 1,025,000 | | | JP Morgan Chase & Company | | | 3.15% | | | | 07/05/2016 | | | | 1,076,184 | |
| | 1,765,000 | | | Kellogg Company | | | 1.13% | | | | 05/15/2015 | | | | 1,779,895 | |
| | 1,400,000 | | | Kellogg Company | | | 1.75% | | | | 05/17/2017 | | | | 1,406,633 | |
| | 1,350,000 | | | Kinder Morgan Energy Partners LP | | | 3.50% | | | | 03/01/2016 | | | | 1,421,951 | |
| | 1,524,000 | | | Kinder Morgan Energy Partners LP | | | 6.00% | | | | 02/01/2017 | | | | 1,728,506 | |
| | 1,900,000 | | | Kraft Foods, Inc. | | | 4.13% | | | | 02/09/2016 | | | | 2,029,798 | |
| | 1,000,000 | | | Kraft Foods, Inc. | | | 6.50% | | | | 08/11/2017 | | | | 1,163,940 | |
| | 598,000 | | | Kroger Company | | | 7.50% | | | | 01/15/2014 | | | | 609,760 | |
| | 1,900,000 | | | Kroger Company | | | 4.95% | | | | 01/15/2015 | | | | 2,000,461 | |
| | 245,000 | | | Kroger Company | | | 2.20% | | | | 01/15/2017 | | | | 249,566 | |
| | 1,000,000 | | | KT Corporation | | | 5.88% | | | | 06/24/2014 | | | | 1,035,886 | |
| | 1,329,000 | | | Marriott International, Inc. | | | 5.81% | | | | 11/10/2015 | | | | 1,454,378 | |
| | 1,500,000 | | | Marriott International, Inc. | | | 6.20% | | | | 06/15/2016 | | | | 1,683,749 | |
| | 800,000 | | | MetLife Institutional Funding | | | 1.63% | ^ | | | 04/02/2015 | | | | 810,767 | |
| | 750,000 | | | Metropolitan Life Global Funding | | | 5.13% | ^ | | | 06/10/2014 | | | | 774,157 | |
| | 200,000 | | | Metropolitan Life Global Funding | | | 2.00% | ^ | | | 01/09/2015 | | | | 203,171 | |
| | 1,460,000 | | | Metropolitan Life Global Funding | | | 2.50% | ^ | | | 09/29/2015 | | | | 1,508,887 | |
| | 3,100,000 | | | Morgan Stanley | | | 1.75% | | | | 02/25/2016 | | | | 3,116,771 | |
| | 3,400,000 | | | Mylan, Inc. | | | 1.80% | ^ | | | 06/24/2016 | | | | 3,416,323 | |
| | 2,244,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 3.88% | | | | 09/16/2015 | | | | 2,382,856 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 780,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 1.90% | | | | 11/01/2015 | | | | 801,239 | |
| | 2,045,000 | | | ONEOK Partners LP | | | 3.25% | | | | 02/01/2016 | | | | 2,129,941 | |
| | 3,179,000 | | | Phillips 66 | | | 1.95% | | | | 03/05/2015 | | | | 3,228,338 | |
| | 1,800,000 | | | PNC Funding Corporation | | | 4.25% | | | | 09/21/2015 | | | | 1,917,293 | |
| | 1,150,000 | | | PNC Funding Corporation | | | 2.70% | | | | 09/19/2016 | | | | 1,196,037 | |
| | 2,852,000 | | | Procter & Gamble Company | | | 3.15% | | | | 09/01/2015 | | | | 2,992,789 | |
| | 1,524,000 | | | Simon Property Group LP | | | 6.75% | | | | 05/15/2014 | | | | 1,557,371 | |
| | 908,000 | | | Simon Property Group LP | | | 5.25% | | | | 12/01/2016 | | | | 1,013,859 | |
| | 1,675,000 | | | Southern Power Company | | | 4.88% | | | | 07/15/2015 | | | | 1,792,516 | |
| | 1,152,000 | | | Southwest Airlines Company | | | 5.25% | | | | 10/01/2014 | | | | 1,197,988 | |
| | 200,000 | | | Southwest Airlines Company | | | 5.75% | | | | 12/15/2016 | | | | 223,137 | |
| | 1,900,000 | | | Southwest Airlines Company | | | 5.13% | | | | 03/01/2017 | | | | 2,098,470 | |
| | 1,040,000 | | | Toyota Motor Credit Corporation | | | 1.00% | | | | 02/17/2015 | | | | 1,048,678 | |
| | 2,290,000 | | | Toyota Motor Credit Corporation | | | 1.75% | | | | 05/22/2017 | | | | 2,313,933 | |
| | 2,401,000 | | | Valero Energy Corporation | | | 4.50% | | | | 02/01/2015 | | | | 2,515,797 | |
| | 2,745,000 | | | Verizon Communications, Inc. | | | 2.50% | | | | 09/15/2016 | | | | 2,831,245 | |
| | 2,350,000 | | | Verizon Wireless Capital LLC | | | 5.55% | | | | 02/01/2014 | | | | 2,386,850 | |
| | 2,900,000 | | | Wal-Mart Stores, Inc. | | | 0.60% | | | | 04/11/2016 | | | | 2,889,957 | |
| | 2,125,000 | | | Waste Management, Inc. | | | 2.60% | | | | 09/01/2016 | | | | 2,197,550 | |
| | 648,000 | | | Wellpoint, Inc. | | | 5.00% | | | | 12/15/2014 | | | | 680,834 | |
| | 2,334,000 | | | WellPoint, Inc. | | | 5.25% | | | | 01/15/2016 | | | | 2,549,624 | |
| | 3,012,000 | | | Wells Fargo & Company | | | 1.50% | | | | 07/01/2015 | | | | 3,051,087 | |
| | 3,400,000 | | | Xerox Corporation | | | 4.25% | | | | 02/15/2015 | | | | 3,546,282 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $152,978,183) | | | | 153,552,593 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT/AGENCY MORTGAGE BACKED OBLIGATIONS 2.5% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 374,581 | | | Pool G0-6871 | | | 6.00% | | | | 06/01/2038 | | | | 410,420 | |
| | 832,992 | | | Pool G0-6954 | | | 6.00% | | | | 05/01/2040 | | | | 908,114 | |
| | 695,241 | | | Pool N70081 | | | 5.50% | | | | 07/01/2038 | | | | 760,271 | |
| | 238,443 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 261,002 | |
| | 785,468 | | | Series 3818-JA | | | 4.50% | | | | 01/15/2040 | | | | 830,614 | |
| | 167,809 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 177,065 | |
| | 7,337,374 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 7,214,228 | |
| |
| | | | Federal National Mortgage Association, | |
| | 511,460 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 531,028 | |
| | 3,668,695 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 4,273,848 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 108,467 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 118,603 | |
| | 346,949 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 360,300 | |
| | 376,569 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 411,081 | |
| | 777,947 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 850,444 | |
| | 617,205 | | | Pool AL1691 | | | 6.00% | | | | 06/01/2041 | | | | 674,722 | |
| | 839,379 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 917,600 | |
| | 12,500,000 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 13,406,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government/Agency Mortgage Backed Obligations
(Cost $31,755,981) | | | | 32,105,590 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 47 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT BONDS AND NOTES 7.1% | |
| $ | 18,000,000 | | | United States Treasury Notes | | | 0.25% | | | | 05/31/2014 | | | | 18,020,736 | |
| | 23,000,000 | | | United States Treasury Notes | | | 0.25% | | | | 02/15/2015 | | | | 23,018,860 | |
| | 24,000,000 | | | United States Treasury Notes | | | 0.38% | | | | 06/30/2015 | | | | 24,042,192 | |
| | 13,000,000 | | | United States Treasury Notes | | | 1.25% | | | | 10/31/2015 | | | | 13,242,229 | |
| | 14,000,000 | | | United States Treasury Notes | | | 0.88% | | | | 12/31/2016 | | | | 14,050,316 | |
| | 1,000,000 | | | United States Treasury Notes | | | 0.75% | | | | 06/30/2017 | | | | 992,070 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $93,211,379) | | | | 93,366,403 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 17.7% | |
| | 232,534,629 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 232,534,629 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $232,534,629) | | | | 232,534,629 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 101.7%
(Cost $1,329,446,594) | | | | | | | | 1,332,986,055 | |
| | | | Liabilities in Excess of Other Assets (1.7)% | | | | (21,679,967 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | $ | 1,311,306,088 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as % of Net Assets | |
Foreign Corporate Bonds | | | 21.8% | |
Short Term Investments | | | 17.7% | |
Collateralized Loan Obligations | | | 16.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 13.4% | |
US Corporate Bonds | | | 11.7% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.7% | |
US Government Bonds and Notes | | | 7.1% | |
US Government / Agency Mortgage Backed Obligations | | | 2.5% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.8% | |
Other Assets and Liabilities | | | (1.7)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INDUSTRY BREAKDOWN as a % of Net Assets | |
Short Term Investments | | | 17.7% | |
Collateralized Loan Obligations | | | 16.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 13.4% | |
Banking | | | 11.4% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.7% | |
US Government Bonds and Notes | | | 7.1% | |
Oil and Gas | | | 3.9% | |
US Government / Agency Mortgage Backed Obligations | | | 2.4% | |
Telecommunications | | | 2.3% | |
Financial Intermediaries | | | 2.2% | |
Chemicals/Plastics | | | 1.8% | |
Business Equipment and Services | | | 1.0% | |
Consumer Products | | | 0.9% | |
Utilities | | | 0.8% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.8% | |
Transportation | | | 0.7% | |
Food Products | | | 0.7% | |
Media | | | 0.7% | |
Finance | | | 0.7% | |
Health Care | | | 0.7% | |
Energy | | | 0.6% | |
Mining | | | 0.6% | |
Insurance | | | 0.5% | |
Pharmaceuticals | | | 0.5% | |
Hotels/Motels/Inns and Casinos | | | 0.5% | |
Conglomerates | | | 0.5% | |
Beverage and Tobacco | | | 0.5% | |
Pulp & Paper | | | 0.4% | |
Automotive | | | 0.2% | |
Construction | | | 0.2% | |
Retail | | | 0.2% | |
Food/Drug Retailers | | | 0.2% | |
Real Estate | | | 0.2% | |
Environmental Control | | | 0.2% | |
Steel | | | 0.1% | |
Food & Beverage | | | 0.4% | |
Other Assets and Liabilities | | | (1.7)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 48 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 79.1% | |
Chile | | | 3.0% | |
Brazil | | | 3.0% | |
Russia | | | 3.0% | |
Colombia | | | 2.9% | |
Mexico | | | 2.2% | |
Peru | | | 1.6% | |
Britain | | | 1.0% | |
Singapore | | | 0.8% | |
China | | | 0.7% | |
Australia | | | 0.7% | |
Qatar | | | 0.5% | |
Canada | | | 0.5% | |
Thailand | | | 0.4% | |
Malaysia | | | 0.4% | |
Hong Kong | | | 0.3% | |
Indonesia | | | 0.3% | |
South Korea | | | 0.2% | |
France | | | 0.2% | |
Supranational | | | 0.2% | |
Abu Dhabi | | | 0.2% | |
Turkey | | | 0.2% | |
Costa Rica | | | 0.2% | |
Panama | | | 0.1% | |
Other Assets and Liabilities | | | (1.7)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2013. |
| ^ | 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 September 30, 2013, the value of these securities amounted to $404,710,987 or 30.9% of net assets. |
| I/O | Interest only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| ¨ | Seven-day yield as of September 30, 2013 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 49 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 88.6% | |
| | |
| | AEROSPACE AND DEFENSE 1.1% | |
| $ | 3,990,000 | | | Atlantic Aviation, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 06/01/2020 | | | | 3,980,025 | |
| | | | | | | | | | | | | | | | |
| | AIR TRANSPORT 2.2% | |
| | 3,983,741 | | | Continental Airlines, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/01/2019 | | | | 4,010,631 | |
| | 3,982,450 | | | Delta Air Lines, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.00% | # | | | 10/18/2018 | | | | 3,999,873 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,010,504 | |
| | | | | | | | | | | | | | | | |
| | AUTOMOTIVE 1.1% | |
| | 4,000,000 | | | Schaeffler AG, Senior Secured 1st Lien Term Loan, Tranche C | | | 4.25% | # | | | 01/27/2017 | | | | 4,021,680 | |
| | | | | | | | | | | | | | | | |
| | BUILDING AND DEVELOPMENT 6.0% | |
| | 3,769,361 | | | Capital Automotive LP, Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 3,781,140 | |
| | 6,000,000 | | | CPG International, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 09/30/2020 | | | | 5,988,750 | |
| | 5,984,848 | | | HD Supply, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/12/2017 | | | | 6,001,307 | |
| | 5,993,750 | | | Realogy Group LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 03/05/2020 | | | | 6,039,632 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,810,829 | |
| | | | | | | | | | | | | | | | |
| | BUSINESS EQUIPMENT AND SERVICES 10.5% | |
| | 4,000,000 | | | Alixpartners LLP, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 5.00% | # | | | 07/10/2020 | | | | 4,055,000 | |
| | 3,990,000 | | | Duff & Phelps LLC, Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/23/2020 | | | | 4,009,950 | |
| | 3,982,494 | | | Emdeon, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 11/02/2018 | | | | 3,983,987 | |
| | 3,990,000 | | | Ion Trading Technologies Ltd., Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/22/2020 | | | | 3,994,988 | |
| | 4,457,937 | | | KAR Auction Services, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 05/18/2017 | | | | 4,479,291 | |
| | 4,987,437 | | | Monitronics International, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/23/2018 | | | | 4,990,554 | |
| | 5,984,880 | | | Protection One, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/21/2019 | | | | 6,022,286 | |
| | 5,977,481 | | | Total Safety, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 03/01/2020 | | | | 6,044,729 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 37,580,785 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | CABLE TELEVISION 1.9% | |
| $ | 2,992,500 | | | CSC Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.68% | # | | | 04/17/2020 | | | | 2,964,445 | |
| | 4,000,000 | | | Virgin Media Investment Holdings Ltd., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/07/2020 | | | | 3,983,600 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,948,045 | |
| | | | | | | | | | | | | | | | |
| | CHEMICALS/PLASTICS 6.3% | |
| | 2,626,984 | | | AI Chem & CY SCA, Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 10/03/2019 | | | | 2,633,565 | |
| | 1,363,016 | | | AI Chem & CY SCA, Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.50% | # | | | 10/03/2019 | | | | 1,366,430 | |
| | 5,990,000 | | | Arysta Lifescience LLC, Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 05/29/2020 | | | | 5,990,000 | |
| | 6,066,731 | | | Clondalkin Acquisition B.V., Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 05/31/2020 | | | | 6,089,481 | |
| | 2,989,908 | | | Ineos Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 05/04/2018 | | | | 2,956,271 | |
| | 2,592,000 | | | PolarPak, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/07/2020 | | | | 2,596,873 | |
| | 1,408,000 | | | WNA Holdings, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/07/2020 | | | | 1,410,647 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 23,043,267 | |
| | | | | | | | | | | | | | | | |
| | CONGLOMERATES 1.1% | |
| | 4,000,000 | | | Spectrum Brands Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.50% | # | | | 09/11/2019 | | | | 4,006,300 | |
| | | | | | | | | | | | | | | | |
| | CONTAINERS AND GLASS PRODUCTS 2.7% | |
| | 3,990,000 | | | Pact Group, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 05/29/2020 | | | | 3,940,125 | |
| | 5,977,368 | | | Reynolds Group Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 09/28/2018 | | | | 6,001,427 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,941,552 | |
| | | | | | | | | | | | | | | | |
| | COSMETICS/TOILETRIES 1.1% | |
| | 4,000,000 | | | Revlon Consumer Products Corporation, Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 08/19/2019 | | | | 4,001,880 | |
| | | | | | | | | | | | | | | | |
| | DRUGS 1.7% | |
| | 5,962,500 | | | Valeant Pharmaceuticals International, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche BE | | | 4.50% | # | | | 08/05/2020 | | | | 6,006,801 | |
| | | | | | | | | | | | | | | | |
| | ELECTRONICS/ELECTRIC 6.3% | |
| | 5,000,000 | | | Activision Blizzard, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 07/26/2020 | | | | 5,003,650 | |
| | | | | | |
| 50 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 6,000,000 | | | Allflex Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/17/2020 | | | | 6,028,140 | |
| | 6,000,000 | | | BMC Software Finance, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 6,010,500 | |
| | 6,000,000 | | | Kasima LLC, Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 05/17/2021 | | | | 5,964,390 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 23,006,680 | |
| | | | | | | | | | | | | | | | |
| | FINANCIAL INTERMEDIARIES 6.8% | |
| | 4,493,750 | | | Geo Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 04/03/2020 | | | | 4,527,453 | |
| | 6,000,000 | | | Guggenheim Partners Investment Management, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 07/22/2020 | | | | 6,024,990 | |
| | 5,285,273 | | | National Financial Partners Corporation, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 07/01/2020 | | | | 5,333,738 | |
| | 6,000,000 | | | Nuveen Investments, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 4.18% | # | | | 05/13/2017 | | | | 5,938,140 | |
| | 2,985,000 | | | Starwood Property Trust, Inc., Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 04/19/2020 | | | | 2,981,269 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 24,805,590 | |
| | | | | | | | | | | | | | | | |
| | FOOD PRODUCTS 5.8% | |
| | 2,992,500 | | | CIH International, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.75% | # | | | 05/02/2020 | | | | 2,977,523 | |
| | 4,000,000 | | | CSM Bakery Supplies LLC, Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 07/03/2020 | | | | 3,985,000 | |
| | 4,000,000 | | | Del Monte Corporation, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/08/2018 | | | | 3,992,000 | |
| | 3,990,000 | | | H.J. Heinz Company, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 06/05/2020 | | | | 4,007,676 | |
| | 5,985,000 | | | Pinnacle Foods Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.25% | # | | | 04/29/2020 | | | | 5,941,608 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 20,903,807 | |
| | | | | | | | | | | | | | | | |
| | FOOD/DRUG RETAILERS 1.1% | |
| | 3,977,848 | | | SUPERVALU, Inc., Guaranteed Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 03/21/2019 | | | | 3,973,592 | |
| | | | | | | | | | | | | | | | |
| | HEALTH CARE 5.0% | |
| | 4,985,000 | | | American Renal Holdings, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 4,947,613 | |
| | 5,984,925 | | | DaVita, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 11/01/2019 | | | | 6,016,345 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,000,000 | | | HCA, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 2.93% | # | | | 05/01/2018 | | | | 1,998,390 | |
| | 1,000,000 | | | HCA, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 3.00% | # | | | 03/31/2017 | | | | 1,000,265 | |
| | 4,000,000 | | | Surgical Care Affiliates, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.25% | # | | | 06/29/2018 | | | | 4,011,260 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 17,973,873 | |
| | | | | | | | | | | | | | | | |
| | HOTELS/MOTELS/INNS AND CASINOS 1.7% | |
| | 6,000,000 | | | Four Seasons Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/30/2024 | | | | 6,060,000 | |
| | | | | | | | | | | | | | | | |
| | INDUSTRIAL EQUIPMENT 3.2% | |
| | 4,000,000 | | | Generac Power Systems, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 05/31/2020 | | | | 3,992,000 | |
| | 3,604,741 | | | Hupah Finance, Inc., Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/21/2019 | | | | 3,613,753 | |
| | 4,000,000 | | | Rexnord LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 08/21/2020 | | | | 3,959,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,564,753 | |
| | | | | | | | | | | | | | | | |
| | INSURANCE 1.6% | |
| | 5,972,450 | | | Asurion LLC, Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 05/24/2019 | | | | 5,928,582 | |
| | | | | | | | | | | | | | | | |
| | LEISURE 5.5% | |
| | 5,997,500 | | | Emerald Expositions Holding, Inc., Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 06/17/2020 | | | | 6,042,511 | |
| | 1,000,000 | | | Hilton Worldwide Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 09/23/2020 | | | | 999,830 | |
| | 4,000,000 | | | Live Nation Entertainment, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 08/16/2020 | | | | 3,987,500 | |
| | 2,992,500 | | | SeaWorld Parks & Entertainment, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.00% | # | | | 05/14/2020 | | | | 2,963,697 | |
| | 2,985,000 | | | Weight Watchers International, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 04/02/2020 | | | | 2,929,778 | |
| | 3,000,000 | | | WMG Acquisition Corporation, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 07/01/2020 | | | | 2,990,625 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,913,941 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 51 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | MEDIA 2.8% | |
| $ | 4,000,000 | | | Media General, Inc., Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 0.50% | #& | | | 07/31/2020 | | | | 4,014,960 | |
| | 6,000,000 | | | Springer Science + Business Media GmbH, Senior Secured 1st Lien Term Loan, Tranche B2 | | | 5.00% | # | | | 08/15/2020 | | | | 5,970,930 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,985,890 | |
| | | | | | | | | | | | | | | | |
| | OIL AND GAS 3.9% | |
| | 6,000,000 | | | Drillships Financing Holding, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 6.00% | # | | | 03/31/2021 | | | | 6,071,250 | |
| | 4,000,000 | | | Fieldwood Energy LLC, Guaranteed Senior Secured 1st Lien Term Loan | | | 3.88% | # | | | 09/28/2018 | | | | 4,004,180 | |
| | 3,919,360 | | | Ruby Western Pipeline Holdings LLC, Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 03/27/2020 | | | | 3,906,289 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,981,719 | |
| | | | | | | | | | | | | | | | |
| | RETAILERS (OTHER THAN FOOD/DRUG) 4.3% | |
| | 3,982,497 | | | CDW LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 04/29/2020 | | | | 3,925,886 | |
| | 5,851,285 | | | Neiman Marcus Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 05/16/2018 | | | | 5,854,152 | |
| | 6,000,000 | | | Spin Holdco, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 5,999,999 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,780,037 | |
| | | | | | | | | | | | | | | | |
| | SURFACE TRANSPORT 1.6% | |
| | 5,978,728 | | | Avis Budget Car Rental LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 03/15/2019 | | | | 5,970,029 | |
| | | | | | | | | | | | | | | | |
| | TELECOMMUNICATIONS 1.1% | |
| | 3,987,481 | | | Telesat Canada, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 03/28/2019 | | | | 3,972,528 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | UTILITIES 2.2% | |
| $ | 3,984,733 | | | Calpine Corporation, Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.54% | # | | | 04/01/2018 | | | | 3,994,874 | |
| | 3,990,000 | | | GIM Channelview Cogeneration LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 05/08/2020 | | | | 3,997,481 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,992,355 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans (Cost $321,391,749) | | | | | | | | | | | 321,165,044 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 2.1% | |
| | 7,650,000 | | | CGBAM Commercial Mortgage Trust, Series 2013-BREH-E | | | 4.53% | #^ | | | 05/15/2030 | | | | 7,775,410 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $7,718,376) | | | | 7,775,410 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 22.4% | |
| | 81,394,283 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 81,394,283 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments (Cost $81,394,283) | | | | | | | | 81,394,283 | |
| | | | | | | | | | | | | | | | |
| | | | Less: Unfunded loan commitments (1.1)% (Cost $3,982,453) | | | | | | | | (3,982,453 | ) |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 112.0% (Cost $406,521,955) | | | | | | | | 406,352,284 | |
| | | | Liabilities in Excess of Other Assets (12.0)% | | | | (43,415,853 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 362,936,431 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as % of Net Assets | |
Bank Loans (less unfunded loan commitments) | | | 87.5% | |
Short Term Investments | | | 22.4% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 2.1% | |
Other Assets and Liabilities | | | (12.0)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2013. |
| ^ | 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 September 30, 2013, the value of these securities amounted to 7,775,410 or 2.1% of net assets. |
| ¨ | Seven-day yield as of September 30, 2013 |
| & | Unfunded loan commitment |
| | | | | | |
| 52 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| Statements of Assets and Liabilities | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | DoubleLine
Floating
Rate Fund | |
| | | | | | |
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | $ | 32,789,341,159 | | | $ | 1,723,777,230 | | | $ | 547,193,373 | | | $ | 110,853,511 | | | $ | 1,100,451,426 | | | $ | 324,958,001 | |
Investments in Affiliated Securities, at Value* | | | — | | | | 128,672,635 | | | | — | | | | 32,275,345 | | | | — | | | | — | |
Short-term Securities* | | | 2,279,324,974 | | | | 22,045,991 | | | | 1,016,247 | | | | 69,028,863 | | | | 232,534,629 | | | | 81,394,283 | |
Interest and Dividends Receivable | | | 134,472,336 | | | | 13,964,041 | | | | 8,486,243 | | | | 313,437 | | | | 4,807,691 | | | | 1,452,430 | |
Receivable for Fund Shares Sold | | | 89,168,228 | | | | 2,496,363 | | | | 1,573,933 | | | | 126,798 | | | | 7,955,635 | | | | 1,363,906 | |
Receivable for Investments Sold | | | 16,115,625 | | | | 23,391,511 | | | | 24,163,717 | | | | 499,995 | | | | 13,678,822 | | | | 14,977,513 | |
Cash | | | 3,415,333 | | | | — | | | | 7,266,280 | | | | 100,583 | | | | 402,082 | | | | — | |
Prepaid Expenses and Other Assets | | | 968,619 | | | | 110,976 | | | | 43,790 | | | | 37,616 | | | | 142,933 | | | | 38,688 | |
Deposit at Broker for Futures | | | — | | | | — | | | | — | | | | 2,237,500 | | | | — | | | | — | |
Total Assets | | | 35,312,806,274 | | | | 1,914,458,747 | | | | 589,743,583 | | | | 215,473,648 | | | | 1,359,973,218 | | | | 424,184,821 | |
| | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for Fund Shares Redeemed | | | 101,431,110 | | | | 5,395,324 | | | | 2,997,775 | | | | 499,087 | | | | 1,388,625 | | | | 162,103 | |
Distribution Payable | | | 52,939,834 | | | | 1,833,858 | | | | 840,224 | | | | 592,435 | | | | 242,341 | | | | 412,844 | |
Payable for Investments Purchased | | | 30,525,115 | | | | 13,465,836 | | | | 9,011,168 | | | | — | | | | 46,349,090 | | | | 58,699,878 | |
Investment Advisory Fees Payable | | | 11,729,769 | | | | 580,443 | | | | 369,512 | | | | 162,824 | | | | 312,311 | | | | 142,167 | |
Transfer Agent Expenses Payable | | | 3,192,593 | | | | 315,990 | | | | 93,388 | | | | 63,923 | | | | 97,465 | | | | 12,278 | |
Distribution Fees Payable | | | 1,943,051 | | | | 122,417 | | | | 25,152 | | | | 32,970 | | | | 122,013 | | | | 23,270 | |
Accrued Expenses | | | 1,934,024 | | | | 277,958 | | | | 104,835 | | | | 55,067 | | | | 69,711 | | | | 90,423 | |
Administration Fees Payable | | | 1,556,718 | | | | 135,635 | | | | 53,768 | | | | 24,957 | | | | 61,124 | | | | 28,193 | |
Registration Fees Payable | | | 350,715 | | | | 27,939 | | | | 24,854 | | | | 4,478 | | | | 24,450 | | | | 28,005 | |
Due to Custodian | | | — | | | | 143,168 | | | | — | | | | — | | | | — | | | | 1,649,229 | |
Loans Payable | | | — | | | | — | | | | 7,216,000 | | | | — | | | | — | | | | — | |
Variation Margin Payable | | | — | | | | — | | | | — | | | | 177,488 | | | | — | | | | — | |
Unrealized Depreciation on Swaps | | | — | | | | — | | | | — | | | | 26,771 | | | | — | | | | — | |
Written Option Contracts, at value
(Premiums received $4,983) | | | — | | | | — | | | | — | | | | 50 | | | | — | | | | — | |
Total Liabilities | | | 205,602,929 | | | | 22,298,568 | | | | 20,736,676 | | | | 1,640,050 | | | | 48,667,130 | | | | 61,248,390 | |
Net Assets | | $ | 35,107,203,345 | | | $ | 1,892,160,179 | | | $ | 569,006,907 | | | $ | 213,833,598 | | | $ | 1,311,306,088 | | | $ | 362,936,431 | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 35,940,298,368 | | | $ | 1,922,459,165 | | | $ | 604,429,813 | | | $ | 218,662,186 | | | $ | 1,310,615,286 | | | $ | 362,931,830 | |
Undistributed (Accumulated) Net Investment Income (Loss) | | | (254,945,145 | ) | | | (5,847,988 | ) | | | 227,250 | | | | (538,207 | ) | | | (1,687,899 | ) | | | 74,485 | |
Accumulated Net Realized Gain (Loss) | | | (679,434,273 | ) | | | (14,924,137 | ) | | | (7,066,602 | ) | | | (5,149,391 | ) | | | (1,160,760 | ) | | | 99,787 | |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 100,993,630 | | | | (9,988,496 | ) | | | (28,583,554 | ) | | | 1,796,678 | | | | 3,539,461 | | | | (169,671 | ) |
Investments in Affiliated Securities | | | — | | | | 461,635 | | | | — | | | | (1,025,568 | ) | | | — | | | | — | |
Short-term Securities | | | 290,765 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | 109,738 | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (26,771 | ) | | | — | | | | — | |
Written Options | | | — | | | | — | | | | — | | | | 4,933 | | | | — | | | | — | |
Net Assets | | $ | 35,107,203,345 | | | $ | 1,892,160,179 | | | $ | 569,006,907 | | | $ | 213,833,598 | | | $ | 1,311,306,088 | | | $ | 362,936,431 | |
| | | | | | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 32,688,347,529 | | | $ | 1,733,765,726 | | | $ | 575,776,927 | | | $ | 109,056,833 | | | $ | 1,096,911,965 | | | $ | 325,127,672 | |
Investments in Affiliated Securities | | | — | | | | 128,211,000 | | | | — | | | | 33,300,913 | | | | — | | | | — | |
Short-term Securities | | | 2,279,034,209 | | | | 22,045,991 | | | | 1,016,247 | | | | 69,028,863 | | | | 232,534,629 | | | | 81,394,283 | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 27,394,004,208 | | | $ | 1,459,090,245 | | | $ | 428,742,600 | | | $ | 83,347,980 | | | $ | 524,908,160 | | | $ | 250,764,830 | |
Shares Outstanding | | | 2,500,384,512 | | | | 135,075,316 | | | | 41,922,864 | | | | 8,417,431 | | | | 51,664,186 | | | | 24,822,659 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.96 | | | $ | 10.80 | | | $ | 10.23 | | | $ | 9.90 | | | $ | 10.16 | | | $ | 10.10 | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 7,713,199,137 | | | $ | 433,069,934 | | | $ | 140,264,307 | | | $ | — | | | $ | 786,397,928 | | | $ | 112,171,601 | |
Shares Outstanding | | | 704,274,853 | | | | 40,115,135 | | | | 13,714,019 | | | | — | | | | 77,454,873 | | | | 11,089,319 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.95 | | | $ | 10.80 | | | $ | 10.23 | | | $ | — | | | $ | 10.15 | | | $ | 10.12 | |
Class A (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | — | | | $ | — | | | $ | — | | | $ | 130,485,618 | | | $ | — | | | $ | — | |
Shares Outstanding | | | — | | | | — | | | | — | | | | 13,201,757 | | | | — | | | | — | |
Net Asset Value, Offering Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 10.30 | | | $ | — | | | $ | — | |
Net Asset Value, Redemption Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 9.88 | | | $ | — | | | $ | — | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 53 |
| | |
| Statements of Operations | | (Unaudited) Period Ended September 30, 2013 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | DoubleLine
Floating
Rate Fund | |
| | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 759,241,478 | | | $ | 44,762,288 | | | $ | 17,517,057 | | | $ | 1,209,108 | | | $ | 6,118,189 | | | $ | 2,612,887 | |
Dividends from Unaffiliated Securities | | | — | | | | — | | | | — | | | | 505,202 | | | | — | | | | — | |
Dividends from Affiliated Securities | | | — | | | | 988,289 | | | | — | | | | 1,068,967 | | | | — | | | | — | |
Total Investment Income | | | 759,241,478 | | | | 45,750,577 | | | | 17,517,057 | | | | 2,783,277 | | | | 6,118,189 | | | | 2,612,887 | |
Expenses: | | | | | | | | | | | | | | | | | | �� | | | | | | |
Investment Advisory Fees | | | 77,850,175 | | | | 4,643,512 | | | | 2,678,002 | | | | 1,285,979 | | | | 1,250,655 | | | | 464,590 | |
Distribution Fees - Class N | | | 11,266,543 | | | | 792,730 | | | | 197,291 | | | | — | | | | 374,440 | | | | 33,894 | |
Distribution Fees - Class A | | | — | | | | — | | | | — | | | | 189,262 | | | | — | | | | — | |
Transfer Agent Expenses | | | 7,527,053 | | | | 625,642 | | | | 236,016 | | | | 94,683 | | | | 218,218 | | | | 25,442 | |
Administration, Fund Accounting and Custodian Fees | | | 3,206,690 | | | | 262,053 | | | | 96,250 | | | | 43,391 | | | | 99,862 | | | | 38,004 | |
Shareholder Reporting Expenses | | | 993,427 | | | | 97,681 | | | | 27,811 | | | | 10,614 | | | | 21,034 | | | | 28,735 | |
Registration Fees | | | 880,762 | | | | 79,957 | | | | 81,015 | | | | 53,503 | | | | 88,363 | | | | 60,130 | |
Professional Fees | | | 528,600 | | | | 110,087 | | | | 102,008 | | | | 45,997 | | | | 48,655 | | | | 110,342 | |
Insurance Expenses | | | 456,420 | | | | 35,615 | | | | 10,293 | | | | 3,718 | | | | 7,102 | | | | 1,606 | |
Trustees’ Fees and Expenses | | | 328,249 | | | | 20,802 | | | | 6,445 | | | | 2,207 | | | | 5,707 | | | | 1,226 | |
Miscellaneous Expenses | | | 102,867 | | | | 9,383 | | | | 7,268 | | | | 3,259 | | | | 3,124 | | | | 7,286 | |
Total Expenses | | | 103,140,786 | | | | 6,677,462 | | | | 3,442,399 | | | | 1,732,613 | | | | 2,117,160 | | | | 771,255 | |
Less: Fees Waived | | | — | | | | (286,091 | ) | | | — | | | | (129,079 | ) | | | (74,311 | ) | | | (88,324 | ) |
Net Expenses | | | 103,140,786 | | | | 6,391,371 | | | | 3,442,399 | | | | 1,603,534 | | | | 2,042,849 | | | | 682,931 | |
| | | | | | |
Net Investment Income | | | 656,100,692 | | | | 39,359,206 | | | | 14,074,658 | | | | 1,179,743 | | | | 4,075,340 | | | | 1,929,956 | |
| | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 404,288 | | | | (19,400,394 | ) | | | (14,607,477 | ) | | | (1,908,912 | ) | | | 31,258 | | | | 99,787 | |
Investments in Affiliated Securities | | | — | | | | — | | | | — | | | | (345,309 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | 325,692 | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (44,810 | ) | | | — | | | | — | |
Written Options | | | | | | | | | | | | | | | 290,369 | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (1,122,330,668 | ) | | | (81,270,141 | ) | | | (41,895,515 | ) | | | 332,893 | | | | 13,313 | | | | (591,011 | ) |
Investments in Affiliated Securities | | | — | | | | 77,994 | | | | — | | | | (1,513,426 | ) | | | — | | | | — | |
Short-term Securities | | | (492,215 | ) | | | — | | | | — | | | | — | | | | — | | | | 2,023 | |
Futures | | | — | | | | — | | | | — | | | | 1,568,264 | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | 239,948 | | | | — | | | | — | |
Written Options | | | — | | | | — | | | | — | | | | (229,651 | ) | | | — | | | | — | |
Net Realized and Unrealized Gain (Loss) | | | (1,122,418,595 | ) | | | (100,592,541 | ) | | | (56,502,992 | ) | | | (1,284,942 | ) | | | 44,571 | | | | (489,201 | ) |
| | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (466,317,903 | ) | | $ | (61,233,335 | ) | | $ | (42,428,334 | ) | | $ | (105,199 | ) | | $ | 4,119,911 | | | $ | 1,440,755 | |
| | | | | | |
| 54 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | |
| Statements of Changes in Net Assets | | |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Total Return Bond Fund | | | DoubleLine
Core Fixed Income Fund | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 656,100,692 | | | $ | 1,276,925,558 | | | $ | 39,359,206 | | | $ | 80,090,728 | |
Net Realized Gain (Loss) | | | 404,288 | | | | 4,484,908 | | | | (19,400,394 | ) | | | 33,274,675 | |
Net Change in Unrealized Appreciation (Depreciation) | | | (1,122,822,883 | ) | | | 907,541,862 | | | | (81,192,147 | ) | | | 43,470,367 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (466,317,903 | ) | | | 2,188,952,328 | | | | (61,233,335 | ) | | | 156,835,770 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (720,525,760 | ) | | | (1,369,454,321 | ) | | | (34,222,600 | ) | | | (73,833,620 | ) |
Class N | | | (204,187,818 | ) | | | (435,657,389 | ) | | | (11,689,105 | ) | | | (25,573,765 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (8,259,212 | ) |
Class N | | | — | | | | — | | | | — | | | | (3,270,018 | ) |
| | | | |
Total Distributions to Shareholders | | | (924,713,578 | ) | | | (1,805,111,710 | ) | | | (45,911,705 | ) | | | (110,936,615 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | (1,941,052,282 | ) | | | 13,889,037,951 | | | | (292,860,863 | ) | | | 249,977,552 | |
Class N | | | (1,400,699,117 | ) | | | 3,224,760,062 | | | | (268,882,831 | ) | | | 181,860,465 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (3,341,751,399 | ) | | | 17,113,798,013 | | | | (561,743,694 | ) | | | 431,838,017 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | (4,732,782,880 | ) | | $ | 17,497,638,631 | | | $ | (668,888,734 | ) | | $ | 477,737,172 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 39,839,986,225 | | | $ | 22,342,347,594 | | | $ | 2,561,048,913 | | | $ | 2,083,311,741 | |
End of Period | | $ | 35,107,203,345 | | | $ | 39,839,986,225 | | | $ | 1,892,160,179 | | | $ | 2,561,048,913 | |
| | | | |
Accumulated (Undistributed) Net Investment Income (Loss) | | $ | (254,945,145 | ) | | $ | 13,667,741 | | | $ | (5,847,988 | ) | | $ | 704,511 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 55 |
| | |
| Statements of Changes in Net Assets | | |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 14,074,658 | | | $ | 21,779,269 | | | $ | 1,179,743 | | | $ | 4,202,798 | |
Net Realized Gain (Loss) | | | (14,607,477 | ) | | | 15,854,005 | | | | (1,682,970 | ) | | | (1,949,093 | ) |
Net Change in Unrealized Appreciation (Depreciation) | | | (41,895,515 | ) | | | 6,102,561 | | | | 398,028 | | | | 892,332 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (42,428,334 | ) | | | 43,735,835 | | | | (105,199 | ) | | | 3,146,037 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (11,087,391 | ) | | | (17,525,904 | ) | | | (691,731 | ) | | | (2,646,441 | ) |
Class N | | | (2,950,393 | ) | | | (4,075,759 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | (907,705 | ) | | | (2,688,413 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (6,946,690 | ) | | | — | | | | — | |
Class N | | | — | | | | (1,698,083 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | — | | | | — | |
| | | | |
Total Distributions to Shareholders | | | (14,037,784 | ) | | | (30,246,436 | ) | | | (1,599,436 | ) | | | (5,334,854 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | (147,297,916 | ) | | | 259,941,421 | | | | (20,974,096 | ) | | | 21,098,152 | |
Class N | | | (15,458,266 | ) | | | 83,389,248 | | | | — | | | | — | |
Class A | | | — | | | | — | | | | (28,315,585 | ) | | | 118,585,276 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (162,756,182 | ) | | | 343,330,669 | | | | (49,289,681 | ) | | | 139,683,428 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | (219,222,300 | ) | | $ | 356,820,068 | | | $ | (50,994,316 | ) | | $ | 137,494,611 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 788,229,207 | | | $ | 431,409,139 | | | $ | 264,827,914 | | | $ | 127,333,303 | |
End of Period | | $ | 569,006,907 | | | $ | 788,229,207 | | | $ | 213,833,598 | | | $ | 264,827,914 | |
| | | | |
Accumulated (Undistributed) Net Investment Income (Loss) | | $ | 227,250 | | | $ | 190,376 | | | $ | (538,207 | ) | | $ | (118,514 | ) |
| | | | | | |
| 56 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating Rate
Fund | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Period Ended
March 31, 20131 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 4,075,340 | | | $ | 8,030,477 | | | $ | 1,929,956 | | | $ | (8,435 | ) |
Net Realized Gain (Loss) | | | 31,258 | | | | 277,382 | | | | 99,787 | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) | | | 13,313 | | | | 2,755,237 | | | | (588,988 | ) | | | 419,317 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 4,119,911 | | | | 11,063,096 | | | | 1,440,755 | | | | 410,882 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (3,585,280 | ) | | | (6,198,894 | ) | | | (1,514,610 | ) | | | — | |
Class N | | | (2,233,194 | ) | | | (3,234,539 | ) | | | (340,861 | ) | | | — | |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (106,019 | ) | | | — | | | | — | |
Class N | | | — | | | | (68,847 | ) | | | — | | | | — | |
| | | | |
Total Distributions to Shareholders | | | (5,818,474 | ) | | | (9,608,299 | ) | | | (1,855,471 | ) | | | — | |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 150,851,773 | | | | 242,735,409 | | | | 187,476,971 | | | | 63,025,000 | |
Class N | | | 548,586,140 | | | | 151,916,322 | | | | 112,428,294 | | | | 10,000 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 699,437,913 | | | | 394,651,731 | | | | 299,905,265 | | | | 63,035,000 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 697,739,350 | | | $ | 396,106,528 | | | $ | 299,490,549 | | | $ | 63,445,882 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 613,566,738 | | | $ | 217,460,210 | | | $ | 63,445,882 | | | $ | — | |
End of Period | | $ | 1,311,306,088 | | | $ | 613,566,738 | | | $ | 362,936,431 | | | $ | 63,445,882 | |
| | | | |
Accumulated (Undistributed) Net Investment Income (Loss) | | $ | (1,687,899 | ) | | $ | 55,235 | | | $ | 74,485 | | | $ | — | |
| 1 | Commencement of operations on February 1, 2013. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 57 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Total Return Bond Fund | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.96 | | | $ | 10.00 | | | $ | 11.33 | | | $ | 11.16 | | | $ | 10.96 | | | $ | 10.00 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.19 | | | | 0.46 | | | | 0.77 | | | | 1.02 | | | | 0.18 | | | | 0.44 | | | | 0.73 | | | | 0.99 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | |
Total from Investment Operations | | | (0.11 | ) | | | 0.80 | | | | 1.08 | | | | 1.89 | | | | (0.12 | ) | | | 0.78 | | | | 1.04 | | | | 1.86 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.27 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.26 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.27 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.26 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Net Asset Value, End of Period | | $ | 10.96 | | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.96 | | | $ | 10.95 | | | $ | 11.33 | | | $ | 11.16 | | | $ | 10.96 | |
Total Return | | | (0.96 | )%2 | | | 7.37% | | | | 10.18% | | | | 19.28% | 2 | | | (1.09 | )%2 | | | 7.11% | | | | 9.83% | | | | 19.04% | 2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 27,394,004 | | | $ | 30,398,069 | | | $ | 16,226,569 | | | $ | 4,330,408 | | | $ | 7,713,199 | | | $ | 9,441,917 | | | $ | 6,115,779 | | | $ | 1,479,601 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.47% | 3 | | | 0.48% | | | | 0.50% | | | | 0.53% | 3 | | | 0.72% | 3 | | | 0.73% | | | | 0.75% | | | | 0.78% | 3 |
Expenses After Fees Waiver | | | 0.47% | 3 | | | 0.48% | | | | 0.49% | | | | 0.49% | 3 | | | 0.72% | 3 | | | 0.73% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment Income (Loss) | | | 3.43% | 3 | | | 4.02% | | | | 6.86% | | | | 9.42% | 3 | | | 3.17% | 3 | | | 3.76% | | | | 6.58% | | | | 9.17% | 3 |
Portfolio Turnover Rate | | | 11% | 2 | | | 23% | | | | 15% | | | | 17% | 2 | | | 11% | 2 | | | 23% | | | | 15% | | | | 17% | 2 |
| 1 | Commencement of operations on April 6, 2010. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 58 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Core Fixed Income Fund | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.46 | | | $ | 10.00 | | | $ | 11.28 | | | $ | 11.05 | | | $ | 10.46 | | | $ | 10.00 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.16 | | | | 0.36 | | | | 0.50 | | | | 0.57 | | | | 0.16 | | | | 0.33 | | | | 0.47 | | | | 0.55 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.42 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | | | | (0.42 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | |
Total from Investment Operations | | | (0.26 | ) | | | 0.72 | | | | 1.15 | | | | 0.98 | | | | (0.26 | ) | | | 0.69 | | | | 1.12 | | | | 0.96 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.23 | ) | | | (0.44 | ) | | | (0.52 | ) | | | (0.48 | ) | | | (0.22 | ) | | | (0.41 | ) | | | (0.50 | ) | | | (0.46 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.05 | ) | | | (0.03 | ) | | | (0.04 | ) | | | — | | | | (0.05 | ) | | | (0.03 | ) | | | (0.04 | ) |
Total Distributions | | | (0.23 | ) | | | (0.49 | ) | | | (0.55 | ) | | | (0.52 | ) | | | (0.22 | ) | | | (0.46 | ) | | | (0.53 | ) | | | (0.50 | ) |
Net Asset Value, End of Period | | $ | 10.80 | | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.46 | | | $ | 10.80 | | | $ | 11.28 | | | $ | 11.05 | | | $ | 10.46 | |
Total Return | | | (2.32 | )%2 | | | 6.53% | | | | 11.19% | | | | 9.9% | 2 | | | (2.36 | )%2 | | | 6.27% | | | | 10.85% | | | | 9.71% | 2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 1,459,090 | | | $ | 1,829,092 | | | $ | 1,544,169 | | | $ | 158,043 | | | $ | 433,070 | | | $ | 731,957 | | | $ | 539,143 | | | $ | 30,586 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.48% | 3 | | | 0.51% | | | | 0.54% | | | | 0.85% | 3 | | | 0.73% | 3 | | | 0.76% | | | | 0.79% | | | | 1.09% | 3 |
Expenses After Fees Waiver | | | 0.48% | 3 | | | 0.50% | | | | 0.49% | | | | 0.49% | 3 | | | 0.73% | 3 | | | 0.75% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment Income (Loss) | | | 3.39% | 3 | | | 3.14% | | | | 4.51% | | | | 6.56% | 3 | | | 3.09% | 3 | | | 2.88% | | | | 4.22% | | | | 6.38% | 3 |
Portfolio Turnover Rate | | | 30% | 2 | | | 82% | | | | 81% | | | | 84% | 2 | | | 30% | 2 | | | 82% | | | | 81% | | | | 84% | 2 |
| 1 | Commencement of operations on June 1, 2010. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 59 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Emerging Markets Fixed Income Fund | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.00 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.00 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.22 | | | | 0.38 | | | | 0.58 | | | | 0.60 | | | | 0.21 | | | | 0.36 | | | | 0.55 | | | | 0.58 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.80 | ) | | | 0.46 | | | | 0.23 | | | | 0.52 | | | | (0.80 | ) | | | 0.46 | | | | 0.23 | | | | 0.52 | |
Total from Investment Operations | | | (0.58 | ) | | | 0.84 | | | | 0.81 | | | | 1.12 | | | | (0.59 | ) | | | 0.82 | | | | 0.78 | | | | 1.10 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.22 | ) | | | (0.38 | ) | | | (0.58 | ) | | | (0.52 | ) | | | (0.21 | ) | | | (0.36 | ) | | | (0.55 | ) | | | (0.50 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.13 | ) | | | (0.10 | ) | | | (0.03 | ) | | | — | | | | (0.13 | ) | | | (0.10 | ) | | | (0.03 | ) |
Total Distributions | | | (0.22 | ) | | | (0.51 | ) | | | (0.68 | ) | | | (0.55 | ) | | | (0.21 | ) | | | (0.49 | ) | | | (0.65 | ) | | | (0.53 | ) |
Net Asset Value, End of Period | | $ | 10.23 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.23 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | |
Total Return | | | (5.28 | )%2 | | | 8.04% | | | | 7.96% | | | | 11.48% | 2 | | | (5.41 | )%2 | | | 7.78% | | | | 7.71% | | | | 11.25% | 2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 428,743 | | | $ | 620,479 | | | $ | 349,926 | | | $ | 106,227 | | | $ | 140,264 | | | $ | 167,750 | | | $ | 81,484 | | | $ | 26,277 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.91% | 3 | | | 0.91% | | | | 0.95% | | | | 1.32% | 3 | | | 1.16% | 3 | | | 1.16% | | | | 1.20% | | | | 1.57% | 3 |
Expenses After Fees Waiver | | | 0.91% | 3 | | | 0.91% | | | | 0.95% | | | | 0.95% | 3 | | | 1.16% | 3 | | | 1.16% | | | | 1.20% | | | | 1.20% | 3 |
Net Investment Income (Loss) | | | 4.00% | 3 | | | 3.53% | | | | 5.47% | | | | 5.85% | 3 | | | 3.75% | 3 | | | 3.30% | | | | 5.26% | | | | 5.66% | 3 |
Portfolio Turnover Rate | | | 41% | 2 | | | 105% | | | | 177% | | | | 109% | 2 | | | 41% | 2 | | | 105% | | | | 177% | | | | 109% | 2 |
| 1 | Commencement of operations on April 6, 2010. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 60 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Year Ended
March 31, 2012 | | | Period Ended
March 31, 20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class A | | | Class A | | | Class A | | | Class A | |
| | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 9.96 | | | $ | 10.03 | | | $ | 10.11 | | | $ | 10.00 | | | $ | 9.95 | | | $ | 10.02 | | | $ | 10.09 | | | $ | 10.00 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) 4 | | | 0.07 | | | | 0.31 | | | | 0.42 | | | | 0.10 | | | | 0.05 | | | | 0.29 | | | | 0.41 | | | | 0.10 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.05 | ) | | | (0.06 | ) | | | (0.16 | ) | | | 0.02 | | | | (0.05 | ) | | | (0.06 | ) | | | (0.16 | ) | | | — | |
Total from Investment Operations | | | 0.02 | | | | 0.25 | | | | 0.26 | | | | 0.12 | | | | — | | | | 0.23 | | | | 0.25 | | | | 0.10 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.08 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.07 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.08 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.07 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Net Asset Value, End of Period | | $ | 9.90 | | | $ | 9.96 | | | $ | 10.03 | | | $ | 10.11 | | | $ | 9.88 | | | $ | 9.95 | | | $ | 10.02 | | | $ | 10.09 | |
Total Return5 | | | 0.19% | 2 | | | 2.49% | | | | 2.67% | | | | 1.24% | 2 | | | 0.06% | 2 | | | 2.19% | | | | 2.57% | | | | 1.02% | 2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 83,348 | | | $ | 105,114 | | | $ | 85,073 | | | $ | 22,128 | | | $ | 130,486 | | | $ | 159,714 | | | $ | 42,261 | | | $ | 6,071 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 1.23% | 3 | | | 1.35% | | | | 1.51% | | | | 5.11% | 3 | | | 1.48% | 3 | | | 1.60% | | | | 1.76% | | | | 6.05% | 3 |
Expenses After Fees Waiver | | | 1.12% | 3 | | | 1.10% | | | | 1.09% | | | | 1.18% | 3 | | | 1.38% | 3 | | | 1.35% | | | | 1.34% | | | | 1.43% | 3 |
Net Investment Income (Loss) | | | 1.17% | 3 | | | 3.11% | | | | 4.14% | | | | 3.57% | 3 | | | 0.93% | 3 | | | 2.48% | | | | 3.88% | | | | 3.57% | 3 |
Portfolio Turnover Rate | | | 105% | 2 | | | 88% | | | | 48% | | | | 19% | 2 | | | 105% | 2 | | | 88% | | | | 48% | | | | 19% | 2 |
| 1 | Commencement of operations on December 20, 2010. |
| 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 | | Semi-Annual Report | | September 30, 2013 | | 61 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Bond Fund | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Period Ended
March 31, 20121 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Year Ended
March 31, 2013 | | | Period Ended
March 31, 20121 | |
| | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | |
| | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.21 | | | $ | 10.16 | | | $ | 10.00 | | | $ | 10.20 | | | $ | 10.15 | | | $ | 10.00 | |
| | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) 4 | | | 0.06 | | | | 0.20 | | | | 0.11 | | | | 0.05 | | | | 0.17 | | | | 0.09 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.02 | ) | | | 0.09 | | | | 0.13 | | | | (0.02 | ) | | | 0.09 | | | | 0.13 | |
Total from Investment Operations | | | 0.04 | | | | 0.29 | | | | 0.24 | | | | 0.03 | | | | 0.26 | | | | 0.22 | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.09 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.08 | ) | | | (0.21 | ) | | | (0.07 | ) |
Distributions from Net Realized Gain | | | — | | | | | | | | — | | | | — | | | | | | | | — | |
Total Distributions | | | (0.09 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.08 | ) | | | (0.21 | ) | | | (0.07 | ) |
Net Asset Value, End of Period | | $ | 10.16 | | | $ | 10.21 | | | $ | 10.16 | | | $ | 10.15 | | | $ | 10.20 | | | $ | 10.15 | |
Total Return | | | 0.38% | 2 | | | 2.88% | | | | 2.44% | 2 | | | 0.26% | 2 | | | 2.64% | | | | 2.25% | 2 |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 524,908 | | | $ | 375,840 | | | $ | 132,117 | | | $ | 786,398 | | | $ | 237,727 | | | $ | 85,343 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.49% | 3 | | | 0.53% | | | | 0.94% | 3 | | | 0.74% | 3 | | | 0.78% | | | | 1.19% | 3 |
Expenses After Fees Waiver | | | 0.47% | 3 | | | 0.47% | | | | 0.47% | 3 | | | 0.72% | 3 | | | 0.72% | | | | 0.72% | 3 |
Net Investment Income (Loss) | | | 1.26% | 3 | | | 1.98% | | | | 2.10% | 3 | | | 1.02% | 3 | | | 1.70% | | | | 1.74% | 3 |
Portfolio Turnover Rate | | | 30% | 2 | | | 71% | | | | 46% | 2 | | | 30% | 2 | | | 71% | | | | 46% | 2 |
| 1 | Commencement of operations on September 30, 2011. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 62 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Floating Rate Fund | |
| | | Six Months Ended
September 30, 2013
(Unaudited) | | | Period Ended
March 31, 20131 | | | Six Months Ended
September 30, 2013
(Unaudited) | | | Period Ended
March 31, 20131 | |
| | | Class I | | | Class I | | | Class N | | | Class N | |
| | | | |
Net Asset Value, Beginning of Period | | $ | 10.08 | | | $ | 10.00 | | | $ | 10.08 | | | $ | 10.00 | |
| | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.12 | | | | — | | | | 0.13 | | | | — | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.02 | ) | | | 0.08 | | | | (0.02 | ) | | | 0.08 | |
Total from Investment Operations | | | 0.10 | | | | 0.08 | | | | 0.11 | | | | 0.08 | |
| | | | |
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 | | $ | 10.10 | | | $ | 10.08 | | | $ | 10.12 | | | $ | 10.08 | |
Total Return2 | | | 1.01% | | | | 0.80% | | | | 1.10% | | | | 80% | |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 250,765 | | | $ | 63,436 | | | $ | 112,172 | | | $ | 10 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived3 | | | 0.81% | | | | 2.01% | | | | 0.93% | | | | 2.26% | |
Expenses After Fees Waiver3 | | | 0.70% | | | | 0.75% | | | | 0.93% | | | | 1.00% | |
Net Investment Income (Loss)3 | | | 2.05% | | | | (0.13 | )% | | | 2.26% | | | | (0.13 | )% |
Portfolio Turnover Rate2 | | | 26% | | | | 20% | | | | 26% | | | | 20% | |
| 1 | Commencement of operations on February 1, 2013. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements | | Semi-Annual Report | | September 30, 2013 | | 63 |
| | |
| Notes to Financial Statements | | (Unaudited) September 30, 2013 |
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 six funds, DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund, DoubleLine Low Duration Bond Fund and DoubleLine Floating Rate 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, DoubleLine Low Duration Bond Fund and DoubleLine Floating Rate 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 Floating Rate Fund commenced operations on February 1, 2013.
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. The DoubleLine Floating Rate Fund’s investment objective is to seek a high level of current income.
DoubleLine Shiller Enhanced CAPE®, a new series of the Trust, was formed on August 21, 2013 and commenced operations on October 31, 2013. DoubleLine Shiller Enhanced CAPE®’s investment objective is to seek total return which exceeds the total return of its benchmark index, the Shiller Barclays CAPE® US Sector TR USD Index.
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 of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
| | • | | Level 1—Unadjusted quoted market prices in active markets for identical securities |
| | • | | Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data |
| | • | | Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions) |
Assets and liabilities may be transferred between levels. The Funds use end of period timing recognition to account for any transfers.
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities, in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3.
| | | | |
| 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 |
Bank loans | | | | Quotations from dealers and trading systems |
Investments in registered open-end management investment companies will be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in private investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. As of September 30, 2013, the Funds did not hold any investments in private investment funds.
| | | | | | |
| 64 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2013 |
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.
Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as 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 “Board”). 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 September 30, 2013, the Funds did not hold securities fair valued by the Valuation Committee.
The following is a summary of the fair valuations according to the inputs used to value the Funds’ investments as of September 30, 20131:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | | | 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 | | | DoubleLine
Floating
Rate Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | $ | 249,331,084 | | | $ | 22,045,991 | | | $ | 1,016,247 | | | $ | 39,029,307 | | | $ | 232,534,629 | | | $ | 81,394,283 | |
Affiliated Mutual Funds | | | | | — | | | | 128,672,635 | | | | — | | | | 32,275,345 | | | | — | | | | — | |
Exchange Traded Funds and Common Stock | | | | | — | | | | — | | | | — | | | | 83,048,701 | | | | — | | | | — | |
Purchased Options | | | | | — | | | | — | | | | — | | | | 521,897 | | | | — | | | | — | |
Total Level 1 | | | | | 249,331,084 | | | | 150,718,626 | | | | 1,016,247 | | | | 154,875,250 | | | | 232,534,629 | | | | 81,394,283 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
US Government / Agency Mortgage Backed Obligations | | | | | 17,485,321,739 | | | | 352,496,935 | | | | — | | | | 7,694,764 | | | | 32,105,590 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 9,193,640,256 | | | | 243,085,300 | | | | — | | | | 12,991,326 | | | | 130,664,889 | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | 2,251,022,702 | | | | 137,758,829 | | | | — | | | | — | | | | 175,226,526 | | | | 7,775,410 | |
Other Short Term Investments | | | | | 2,029,993,890 | | | | — | | | | — | | | | 29,999,556 | | | | — | | | | — | |
US Government Bonds and Notes | | | | | 1,893,775,800 | | | | 224,916,729 | | | | — | | | | — | | | | 93,366,403 | | | | — | |
Collateralized Loan Obligations | | | | | 1,099,001,067 | | | | 57,772,821 | | | | — | | | | 4,667,836 | | | | 209,726,220 | | | | — | |
US Corporate Bonds | | | | | — | | | | 342,765,834 | | | | — | | | | — | | | | 153,552,593 | | | | — | |
Foreign Corporate Bonds | | | | | — | | | | 309,519,762 | | | | 546,035,873 | | | | — | | | | 286,191,267 | | | | — | |
Municipal Bonds | | | | | — | | | | 15,593,565 | | | | — | | | | — | | | | — | | | | — | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | — | | | | 12,513,891 | | | | 1,157,500 | | | | — | | | | 10,320,002 | | | | — | |
Purchased Options | | | | | — | | | | — | | | | — | | | | 12,151 | | | | — | | | | — | |
Bank Loans (less unfunded loan commitments) | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 317,182,591 | |
Total Level 2 | | | | | 33,952,755,454 | | | | 1,696,423,666 | | | | 547,193,373 | | | | 55,365,633 | | | | 1,091,153,490 | | | | 324,958,001 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 866,579,595 | | | | 27,353,564 | | | | | | | | 1,916,836 | | | | 9,297,936 | | | | — | |
Total Level 3 | | | | | 866,579,595 | | | | 27,353,564 | | | | — | | | | 1,916,836 | | | | 9,297,936 | | | | — | |
Total | | | | | 35,068,666,133 | | | | 1,874,495,856 | | | | 548,209,620 | | | | 212,157,719 | | | | 1,332,986,055 | | | | 406,352,284 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | — | | | | — | | | | — | | | | 109,738 | | | | — | | | | — | |
Written Options | | | | | — | | | | — | | | | — | | | | (50 | ) | | | — | | | | — | |
Total Level 1 | | | | | — | | | | — | | | | — | | | | 109,688 | | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | | | — | | | | — | | | | — | | | | (26,771 | ) | | | — | | | | — | |
Total Level 2 | | | | | — | | | | — | | | | — | | | | (26,771 | ) | | | — | | | | ��� | |
Level 3 | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | | — | | | | — | | | | — | | | | 82,917 | | | | — | | | | — | |
| See | the Schedules of Investments for further disaggregation of investment categories. |
| 1 | There were no transfers into and out of Level 1 during the period ended September 30, 2013. |
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 65 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2013 |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DoubleLine Total Return
Bond Fund | | Balance as of
3/31/2013 | | | Net Realized Gain
(Loss) | | | Change in Net
Unrealized
Appreciation
(Depreciation) | | | Net Accretion
(Amortization) | | | Purchases | | | Sales1 | | | Transfers
Into Level 32 | | | Transfers Out
of Level 32 | | | Balance as of
9/30/2013 | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 769,302,261 | | | $ | 4,014,074 | | | $ | 44,463,898 | | | $ | 25,819,633 | | | $ | 49,062,500 | | | $ | (19,974,914 | ) | | $ | 19,491,306 | | | $ | (25,599,163 | ) | | $ | 866,579,595 | |
| | | | |
Total | | $ | 769,302,261 | | | $ | 4,014,074 | | | $ | 44,463,898 | | | $ | 25,819,633 | | | $ | 49,062,500 | | | $ | (19,974,914 | ) | | $ | 19,491,306 | | | $ | (25,599,163 | ) | | $ | 866,579,595 | |
| | | | |
| 1 | Sales include all sales of securities, maturities, and paydowns. |
| 2 | Transfers between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| | | | | | | | | | | | | | | | |
| DoubleLine Total Return Bond Fund | | Fair Value as of 9/30/2013 * | | | Valuation Techniques | | Unobservable Input | | | Input Values | | | Impact to valuation from
an increase to input |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 866,579,595 | | | Market Comparables, Discounted Cash Flow | | | Market Quotes | | | $ | 69.19 - $127.27 | | | Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security |
| * | Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis, by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events. |
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 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 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, 2013, 2012 and 2011 for the Funds, are those that are open for exam by taxing authorities. As of September 30, 2013 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-ended March 31, 2013. 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, DoubleLine Low Duration Bond Fund and DoubleLine Floating Rate 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 accounting 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.
| | | | | | |
| 66 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2013 |
F. Share Valuation. The 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’ net asset value will not be calculated on the days on which the NYSE is closed for trading, or, except with respect to DoubleLine Multi-Asset Growth Fund, on holidays when the principal U.S. bond markets are closed, such as Columbus Day and Veterans Day.
G. Unfunded Loan Commitments. The Funds may enter into certain credit agreements where all or a portion of which may be unfunded. The Funds are obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the accompanying Schedules of Investments. As of September 30, 2013, the Funds had sufficient cash and/or securities to cover these commitments.
H. Guarantees and Indemnifications. Under the Trust’s organizational documents, each Trustee and officer of the Fund is indemnified, to the extent permitted by the 1940 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.
I. Basis 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 September 30, 2013 net assets of the DoubleLine Multi-Asset Growth Fund were $213,833,598 of which $16,662,426, or approximately 7.79%, represented the DoubleLine Multi-Asset Growth Fund’s ownership of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
J. 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. 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.
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%, 0.35% and 0.50% 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, DoubleLine Low Duration Bond Fund and DoubleLine Floating Rate Fund, respectively. The Adviser has arrangements with DoubleLine Group LP to provide personnel and other resources.
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. The Adviser has contractually agreed to limit the DoubleLine Floating Rate Fund’s ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed 0.75% for the Class I shares and 1.00% 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.
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.
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 | | | DoubleLine Floating Rate 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 | | | | — | |
March 31, 2016 | | | | | 12,622 | | | | 172,424 | | | | 11,145 | | | | 225,268 | | | | 246,512 | | | | 80,826 | |
March 31, 2017 | | | | | — | | | | — | | | | — | | | | 34,062 | | | | 74,311 | | | | 88,324 | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 67 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2013 |
If a Fund invested in an affiliated Fund sponsored by the Adviser during the period covered by this report the Adviser agreed to not charge a management fee 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 to avoid duplicate charge of the investment advisory fees to the investors; accordingly, the Adviser did not charge $286,091 and $95,017 in fees to the DoubleLine Core Fixed Income Fund and DoubleLine Multi-Asset Growth Fund, respectively, for the period ended September 30, 2013.
As of September 30, 2013, 35% of the outstanding shares of the DoubleLine Floating Rate Fund were owned by the DoubleLine Core Fixed Income Fund.
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 Fund’s 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 and the DoubleLine Floating Rate Fund each impose redemption fees. Redemption fees are paid to and retained by the Funds to limit the opportunity to market time the Funds and to help offset estimated portfolio transaction costs and other related costs incurred by the Funds as a result of short-term trading. The Funds will apply a redemption fee equal to 1% of the value of any shares redeemed within 90 days of purchase.
5. Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended September 30, 2013, 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 | | | | $ | 4,313,466,892 | | | $ | 3,732,195,154 | | | $ | — | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 468,733,562 | | | | 784,987,753 | | | | 174,141,535 | | | | 370,439,471 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 274,052,315 | | | | 406,258,837 | | | | 2,143,953 | | | | 2,150,504 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 145,882,663 | | | | 134,577,011 | | | | — | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | 656,216,542 | | | | 187,360,654 | | | | 55,975,742 | | | | 5,959,355 | |
DoubleLine Floating Rate Fund | | | | | 341,171,973 | | | | 40,905,029 | | | | — | | | | — | |
| 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 | | | DoubleLine Emerging Markets Fixed
Income Fund | |
| | | | | Period Ended
September 30, 2013 | | | Year Ended
March 31, 2013 | | | Period Ended
September 30, 2013 | | | Year Ended
March 31, 2013 | | | Period Ended
September 30, 2013 | | | Year Ended
March 31, 2013 | |
Distributions Paid From: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income | | | | $ | 924,713,578 | | | $ | 1,805,111,710 | | | $ | 45,911,705 | | | $ | 110,936,615 | | | $ | 14,037,784 | | | $ | 30,246,436 | |
Long Term Capital Gain | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions Paid | | | | $ | 924,713,578 | | | $ | 1,805,111,710 | | | $ | 45,911,705 | | | $ | 110,936,615 | | | $ | 14,037,784 | | | $ | 30,246,436 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Multi-Asset Growth Fund
(Consolidated) | | | DoubleLine Low Duration Bond Fund | | | DoubleLine Floating Rate Fund | |
| | | | | Period Ended
September 30, 2013 | | | Year Ended
March 31, 2013 | | | Period Ended
September 30, 2013 | | | Year Ended
March 31, 2013 | | | Period Ended
September 30, 2013 | | | Period Ended
March 31, 2013 | |
Distributions Paid From: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income | | | | $ | 1,599,436 | | | $ | 5,334,854 | | | $ | 5,818,474 | | | $ | 9,608,299 | | | $ | 1,855,471 | | | $ | — | |
Long Term Capital Gain | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions Paid | | | | $ | 1,599,436 | | | $ | 5,334,854 | | | $ | 5,818,474 | | | $ | 9,608,299 | | | $ | 1,855,471 | | | $ | — | |
| | | | | | |
| 68 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2013 |
Each 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.
The cost basis of investments for federal income tax purposes as of September 30, 2013 is 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 | | | DoubleLine
Floating Rate Fund | |
Tax Cost of Investments | | | | $ | 35,040,577,687 | | | $ | 1,886,822,234 | | | $ | 576,861,077 | | | $ | 211,682,983 | | | $ | 1,329,452,855 | | | $ | 406,521,955 | |
Gross Tax Unrealized Appreciation | | | | | 793,227,232 | | | | 30,314,249 | | | | 1,714,243 | | | | 6,236,173 | | | | 6,715,993 | | | | 586,114 | |
Gross Tax Unrealized Depreciation | | | | | (765,138,786 | ) | | | (42,640,627 | ) | | | (30,365,700 | ) | | | (5,761,437 | ) | | | (3,182,793 | ) | | | (755,785 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | $ | 28,088,446 | | | $ | (12,326,378 | ) | | $ | (28,651,457 | ) | | $ | 474,736 | | | $ | 3,533,200 | | | $ | (169,671 | ) |
As of March 31, 2013, 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 | | | DoubleLine
Floating
Rate Fund | |
Net Tax Unrealized Appreciation (Depreciation) | | | | $ | 1,150,911,329 | | | $ | 68,865,769 | | | $ | 13,244,058 | | | $ | 1,655,269 | | | $ | 3,519,887 | | | $ | 419,317 | |
Undistributed Ordinary Income | | | | | 63,578,082 | | | | 4,602,118 | | | | 7,402,715 | | | | 201,277 | | | | 258,522 | | | | — | |
Undistributed Long Term Capital Gain | | | | | — | | | | 5,789,673 | | | | 1,229,937 | | | | — | | | | — | | | | — | |
Total Distributable Earnings | | | | | 63,578,082 | | | | 10,391,791 | | | | 8,632,652 | | | | 201,277 | | | | 258,522 | | | | — | |
Other Accumulated Gains (Losses) | | | | | (656,552,953 | ) | | | (2,411,506 | ) | | | (833,498 | ) | | | (4,980,499 | ) | | | (1,389,044 | ) | | | — | |
Total Accumulated Earnings (Losses) | | | | $ | 557,936,458 | | | $ | 76,846,054 | | | $ | 21,043,212 | | | $ | (3,123,953 | ) | | $ | 2,389,365 | | | $ | 419,317 | |
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.
As of March 31, 2013, the following capital loss carryforwards were available:
| | | | | | | | | | |
| | | | | Capital Loss
Carryforward | | | Expires | |
DoubleLine Total Return Bond Fund | | | | $ | 3,709,758 | | | | 3/31/2019 | |
DoubleLine Total Return Bond Fund | | | | | 379,994,159 | | | | Indefinite | |
DoubleLIne Multi-Asset Growth Fund (Consolidated) | | | | | 1,384,991 | | | | Indefinite | |
DoubleLine Low Duration Bond Fund | | | | | 165,886 | | | | Indefinite | |
As of March 31, 2013, the following Funds deferred, on a tax basis qualified late-year losses of:
| | | | | | |
DoubleLine Total Return Bond Fund | | | | $ | 222,938,695 | |
DoubleLine Core Fixed Income Fund | | | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 792,043 | |
DoubleLine Low Duration Bond Fund | | | | | 1,019,871 | |
DoubleLine Floating Rate 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 differences in the treatment of paydown losses, accretion of discount on certain debt instruments and foreign currency gains (losses). For the period ended March 31, 2013, 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 | | | | $ | 538,163,324 | | | $ | (538,163,324 | ) | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 19,810,349 | | | | (19,810,349 | ) | | | — | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 69 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2013 |
| | | | | | | | | | | | | | |
| | | | | Undistributed
Net
Investment Income (Loss) | | | Accumulated
Net Realized Gain (Loss) | | | Paid In
Capital | |
DoubleLine Emerging Markets Fixed Income Fund | | | | $ | — | | | $ | — | | | $ | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 936,602 | | | | (1,010,008 | ) | | | 73,406 | |
DoubleLine Low Duration Bond Fund | | | | | 1,458,191 | | | | (1,458,191 | ) | | | — | |
DoubleLine Floating Rate Fund | | | | | 8,435 | | | | — | | | | (8,435 | ) |
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 | |
| | | | | Class I | | | Class I | | | Class I | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | 597,690,205 | | | $ | 6,677,486,025 | | | | 34,577,040 | | | $ | 385,262,653 | | | | 10,971,646 | | | $ | 117,545,371 | |
Reinvested Dividends | | | | | 40,743,418 | | | | 451,526,568 | | | | 2,145,034 | | | | 23,558,024 | | | | 682,535 | | | | 7,143,694 | |
Shares Redeemed | | | | | (818,869,993 | ) | | | (9,070,064,875 | ) | | | (63,627,889 | ) | | | (701,681,540 | ) | | | (26,009,034 | ) | | | (271,986,981 | ) |
| | | | | (180,436,370 | ) | | $ | (1,941,052,282 | ) | | | (26,905,815 | ) | | $ | (292,860,863 | ) | | | (14,354,853 | ) | | $ | (147,297,916 | ) |
Beginning Shares | | | | | 2,680,820,882 | | | | | | | | 161,981,131 | | | | | | | | 56,277,717 | | | | | |
Ending Shares | | | | | 2,500,384,512 | | | | | | | | 135,075,316 | | | | | | | | 41,922,864 | | | | | |
| | | | |
| | | | | Class N | | | Class N | | | Class N | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | 159,568,057 | | | $ | 1,780,771,063 | | | | 12,324,334 | | | $ | 136,955,908 | | | | 6,621,117 | | | $ | 70,643,059 | |
Reinvested Dividends | | | | | 14,397,835 | | | | 159,508,830 | | | | 865,078 | | | | 9,510,432 | | | | 181,029 | | | | 1,894,410 | |
Shares Redeemed | | | | | (302,702,649 | ) | | | (3,340,979,010 | ) | | | (37,935,736 | ) | | | (415,349,171 | ) | | | (8,303,079 | ) | | | (87,995,735 | ) |
| | | | | (128,736,757 | ) | | $ | (1,400,699,117 | ) | | | (24,746,324 | ) | | $ | (268,882,831 | ) | | | (1,500,933 | ) | | $ | (15,458,266 | ) |
Beginning Shares | | | | | 833,011,610 | | | | | | | | 64,861,459 | | | | | | | | 15,214,952 | | | | | |
Ending Shares | | | | | 704,274,853 | | | | | | | | 40,115,135 | | | | | | | | 13,714,019 | | | | | |
| | | | |
| | | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | |
| | | | | Class I | | | Class I | | | Class I | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | 2,640,428 | | | $ | 26,403,136 | | | | 41,074,910 | | | $ | 417,800,777 | | | | 19,322,812 | | | $ | 195,468,133 | |
Reinvested Dividends | | | | | 51,035 | | | | 504,431 | | | | 279,549 | | | | 2,842,043 | | | | 29,648 | | | | 299,732 | |
Shares Redeemed | | | | | (4,823,583 | ) | | | (47,881,663 | )* | | | (26,498,809 | ) | | | (269,791,047 | ) | | | (821,347 | ) | | | (8,290,894 | )^ |
| | | | | (2,132,120 | ) | | $ | (20,974,096 | ) | | | 14,855,650 | | | $ | 150,851,773 | | | | 18,531,113 | | | $ | 187,476,971 | |
Beginning Shares | | | | | 10,549,551 | | | | | | | | 36,808,536 | | | | | | | | 6,291,546 | | | | | |
Ending Shares | | | | | 8,417,431 | | | | | | | | 51,664,186 | | | | | | | | 24,822,659 | | | | | |
| | | | |
| | | | | Class A | | | Class N | | | Class N | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | 3,186,989 | | | $ | 31,701,979 | | | | 65,498,074 | | | $ | 663,998,721 | | | | 11,584,606 | | | $ | 117,461,187 | |
Reinvested Dividends | | | | | 20,218 | | | | 199,481 | | | | 172,194 | | | | 1,748,569 | | | | 21,736 | | | | 220,154 | |
Shares Redeemed | | | | | (6,064,532 | ) | | | (60,217,045 | )* | | | (11,515,098 | ) | | | (117,161,150 | ) | | | (518,023 | ) | | | (5,253,047 | )^ |
| | | | | (2,857,325 | ) | | $ | (28,315,585 | ) | | | 54,155,170 | | | $ | 548,586,140 | | | | 11,088,319 | | | $ | 112,428,294 | |
Beginning Shares | | | | | 16,059,082 | | | | | | | | 23,299,703 | | | | | | | | 1,000 | | | | | |
Ending Shares | | | | | 13,201,757 | | | | | | | | 77,454,873 | | | | | | | | 11,089,319 | | | | | |
| * | Net of redemption fees of $9,051 and $6,709 for Class I and A, respectively |
| ^ | Net of redemption fees of $35,512 and $7,367 for Class I and N, 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
| | | | | | |
| 70 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2013 |
categorized by type of derivative contract, are included in the following tables. 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 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 period ended September 30, 2013, is as follows:
| | | | | | | | | | |
DoubleLine Multi-Asset Growth Fund
(Consolidated) | | | | Number of
Contracts | | | Premium
Amount | |
Outstanding, Beginning of Period | | | | | 4,005 | | | $ | 294,684 | |
Options Written | | | | | 2,920 | | | | 45,676 | |
Options Expired | | | | | (4,570 | ) | | | (306,536 | ) |
Options Exercised | | | | | (1,841 | ) | | | (21,729 | ) |
Options Closed | | | | | (509 | ) | | | (7,112 | ) |
Outstanding, End of Period | | | | | 5 | | | $ | 4,983 | |
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 Fund 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 Fund 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.
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| | Semi-Annual Report | | September 30, 2013 | | 71 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2013 |
Total Return Swap Agreements The 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 are summarized in the following tables.
The effect of derivative instruments on the Statements of Assets and Liabilities for the period ended September 30, 2013 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) | | | | Purchased Options | | | | | | |
| | | | Equity | | Net Unrealized Appreciation (Depreciation) on Unaffilated Securities | | $ | (560,929 | ) |
| | | | |
| | | | Written Options | | | | | | |
| | | | Commodity | | Net Unrealized Appreciation (Depreciation) on Written Options | | $ | 4,933 | |
| | | | |
| | | | Futures contracts | | | | | | |
| | | | Commodity | | | | $ | 53,576 | |
| | | | Exchange Rate | | | | | (76,620 | ) |
| | | | Index | | | | | 107,672 | |
| | | | Treasury Bond | | | | | 25,110 | |
| | | | | | Net Unrealized Appreciation (Depreciation) on Futures | | $ | 109,738 | |
| | | | |
| | | | Swap contracts | | | | | | |
| | | | Total Return | | Net Unrealized Appreciation (Depreciation) on Swaps | | $ | (26,771 | ) |
The effect of derivative instruments on the Statements of Operations for the period ended September 30, 2013 is as follows:
| | | | | | | | | | | | | | |
| Fund | | | | Derivatives not accounted
for as hedging instruments | | Location of Gain (Loss) on
Derivatives in Income | | Realized Gain (Loss)
on Derivatives | | | Change in Unrealized
Appreciation
(Depreciation)
on Derivatives | |
DoubleLine Multi-Asset Growth Fund
(Consolidated) | | | | Purchased Options | | | | | | | | | | |
| | | | Equity | | Net Realized and Unrealized Gain (Loss) on Unaffiliated Securities | | $ | 2,366,607 | | | $ | 2,107,893 | |
| | | | | |
| | | | Written Options | | | | | | | | | | |
| | | | Commodity | | | | $ | — | | | $ | 50 | |
| | | | Index | | | | | 290,369 | | | | (229,701 | ) |
| | | | | | Net Realized and Unrealized Gain (Loss) on Written Options | | $ | 290,369 | | | $ | (229,651 | ) |
| | | | | |
| | | | Futures contracts | | | | | | | | | | |
| | | | Commodity | | | | $ | (5,821,351 | ) | | $ | 2,505,114 | |
| | | | Exchange Rate | | | | | (108,023 | ) | | | 180,023 | |
| | | | Index | | | | | 6,255,066 | | | | (1,141,983 | ) |
| | | | Treasury Bond | | | | | — | | | | 25,110 | |
| | | | | | Net Realized and Unrealized Gain (Loss) on Futures | | $ | 325,692 | | | $ | 1,568,264 | |
| | | | | |
| | | | Swap contracts | | | | | | | | | | |
| | | | Credit Default | | | | $ | (44,810 | ) | | $ | 266,719 | |
| | | | Total Return | | | | | — | | | | (26,771 | ) |
| | | | | | Net Realized and Unrealized Gain (Loss) on Swaps | | $ | (44,810 | ) | | $ | 239,948 | |
| | | | | | |
| 72 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2013 |
9. Bank Loans
The DoubleLine Floating Rate Fund may invest in floating rate loans (“bank loans”), which are typically debt obligations with interest rates that adjust or “float” periodically, often on a daily, monthly, quarterly, or semiannual basis by reference to a base lending rate (such as LIBOR) plus a premium. Certain floating rate loans are secured by specific collateral of the borrower and are senior to most other securities of the borrower (e.g., common stock and other debt instruments) in the event of bankruptcy. Other floating rate loans may be unsecured obligations of the borrower. A floating rate loan may be structured and administered by a financial institution that acts as the agent of the lenders participating in the floating rate loan. Such floating rate loans may be acquired through the agent or from the borrower, as an assignment from another lender who holds a direct interest in the floating rate loan, or as a participation interest in another lender’s portion of the floating rate loan. Coupon rates are floating, not fixed, and are tied to a benchmark lending rate. The Fund records an investment when the borrower withdraws money and records the interest as it is earned. The Fund may purchase and sell interests in bank loans on a when-issued and delayed delivery basis, with payment delivery scheduled for a future date. Securities purchased on a delayed delivery basis are marked to market daily and no income accrues to the Fund prior to the date the Fund actually takes delivery of such securities. These transactions are subject to market fluctuations and are subject, among other risks, to the risk that the value at delivery may be more or less than the trade purchase price.
10. Credit Facility
U.S. Bank, N.A. (the “Bank”) has made available to the Trust, along with another affiliated trust, an uncommitted, $450,000,000 credit facility for short term liquidity in connection with shareholder redemptions. Under the terms of the credit facility, borrowings for each Fund are limited to one-third of the total assets (including the amount borrowed) of the respective Fund. Fifty percent of the credit facility is available to all of the Funds, as well as the funds in the affiliated trust, on a first come, first served basis. The remaining 50% of the credit facility is allocated among the Funds and the funds in the affiliated trust in accordance with procedures adopted by the Board of Trustees. Borrowings under this credit facility bear interest at the Bank’s prime rate less 0.50% (weighted average rate of 2.75% for the period ended September 30, 2013).
As of September 30, 2013, the Funds’ credit facility activity is as follows:
| | | | | | | | | | | | | | |
| | | | | Average
Borrowings | | | Maximum
Amount
Outstanding | | | Interest
Expense | |
DoubleLine Core Fixed Income Fund | | | | $ | 1,935,500 | | | $ | 3,779,000 | | | $ | 296 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 5,737,443 | | | | 21,775,000 | | | | 34,856 | |
DoubleLine Low Duration Bond Fund | | | | | 81,000 | | | | 81,000 | | | | 6 | |
The DoubleLine Floating Rate Fund had a committed credit facility available to it in the amount of $15,000,000. The Fund did not have any activity in this credit facility during the period ended September 30, 2013.
11. 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.
| | • | affiliated fund risk: the risk that, due to its own financial interest or other business considerations, the Adviser may choose to invest a portion of a Fund’s assets in investment companies sponsored or managed by the Adviser or its affiliates in lieu of investments by the Fund directly in portfolio securities, or may choose to invest in such investment companies over investment companies sponsored or managed by others. |
| | • | asset allocation risk: the risk that a Fund’s investment performance may depend, 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. |
| | • | confidential information access risk: the risk that the intentional or unintentional receipt of material, non-public information by the Adviser could limit a Fund’s ability to sell certain investments held by the Fund or pursue certain investment opportunities on behalf of the Fund, potentially for a substantial period of time. |
| | • | counterparty risk: the risk that a Fund will be subject to credit risk with respect to the counterparties to the derivative contracts and other instruments entered into directly by the Fund or held by special purpose or structured vehicles in which the Fund invests. |
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| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2013 |
| | ° | | credit risk: the risk that changes in the financial condition of an issuer or counterparty, changes in specific economic, social or political conditions that affect a particular type of security or other instrument or an issuer, and changes in economic, social or political conditions generally can increase the risk of default by an issuer or counterparty, which can affect a security’s or other instrument’s credit quality or value and an issuer’s or counterparty’s ability to pay interest and principal when due. |
| | ° | | extension risk: the risk that if interest rates rise, repayments of principal on certain debt securities may occur at a slower rate than expected and the expected maturity of those securities could lengthen as a result. |
| | ° | | 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; 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 investing in emerging markets will be subject to greater political and economic instability, greater volatility in currency exchange rates, less developed securities markets, possible trade barriers, currency transfer restrictions, a more limited number of potential buyers, an emerging market country’s dependence on revenue from particular commodities or international aid, less governmental supervision and regulation, unavailability of currency hedging techniques, differences in auditing and financial reporting standards, and less developed legal systems than in many more developed countries. |
| | • | equity issuer risk: the risk that the market price of common stocks and other equity securities may go up or down, sometimes rapidly or unpredictably, including due to factors affecting equity securities markets generally, particular industries represented in those markets, or the issuer itself. |
| | • | 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 that an investment in issuers in the financial services sector may be adversely affected by, among other things: (i) changes in the regulatory framework or economic conditions that may negatively affect financial service businesses; (ii) exposure of a financial institution to non-diversified or concentrated loan portfolios; (iii) exposure to financial leverage and/or investments or agreements which, under certain circumstances, may lead to losses, for example sub-prime loans; and (iv) the risk that a market shock or other unexpected market, economic, political, regulatory, or other event might lead to a sudden decline in the values of most or all companies in the financial services sector. |
| | • | foreign currency risk: the risk that fluctuations in exchange rates may adversely affect the value of a Fund’s investments denominated in foreign currencies. |
| | • | foreign investing risk: the risk that a Fund’s investments will be affected by political, regulatory, and economic risks not present in domestic investments. In addition, when a Fund buys securities denominated in a foreign currency, there are special risks such as changes in currency exchange rates and the risk that a foreign government could regulate or restrict foreign exchange transactions. |
| | • | 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. |
| | • | 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 strategies 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. |
| | • | large shareholder risk: the risk that certain account holders, including funds or accounts over which the Adviser has investment discretion, may from time to time own or control a significant percentage of a Fund’s shares. A Fund is subject to the risk that a redemption by those shareholders of all or a portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities or invest cash when it would not otherwise do so. Redemptions of a large number of shares may affect the liquidity of a Fund’s portfolio, increase a Fund’s transaction costs, and accelerate the realization of taxable income and/or gains to shareholders. |
| | • | 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. |
| | | | | | |
| 74 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2013 |
| | • | liquidity risk: the risk that a Fund may be unable to sell a portfolio investment at a desirable time or at the value the Fund has placed on the investment. |
| | • | loan risk: includes, among other risks, the risk that (i) if a Fund holds a loan through another financial institution, or relies on a financial institution to administer the loan, its receipt of principal and interest on the loan may be subject to the credit risk of that financial institution; (ii) it is possible that any collateral securing a loan may be insufficient or unavailable to a Fund; (iii) investments in highly leveraged loans or loans of stressed, distressed, or defaulted issuers may be subject to significant credit and liquidity risk; (iv) a bankruptcy or other court proceeding could delay or limit the ability of a Fund to collect the principal and interest payments on that borrower’s loans or adversely affect the Fund’s rights in collateral relating to a loan; (v) if a borrower fails to comply with various restrictive covenants that are typically in loan agreements, the borrower may default in payment of the loan; (vi) transactions in loans may settle on a delayed basis; and (vii) loans may be difficult to value and may be illiquid, which may adversely affect an investment in a Fund. |
| | • | 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 or otherwise fail 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 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. |
| | • | prepayment risk: the risk that the issuer of a debt security, including floating rate loans and mortgage-related securities, repays all or a portion of the principal prior to the security’s maturity. |
| | • | price volatility risk: the risk that the value of a Fund’s investment portfolio will change, potentially frequently and in large amounts, 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 the Fund. While the portfolio managers of a Fund may have considerable experience in managing other portfolios with investment objectives, policies and strategies that are similar, the past experience of the portfolio managers does not guarantee future results for the Fund. |
| | • | securities or sector selection risk: the risk that the securities held by a Fund will underperform securities held in other funds investing in similar asset classes or comparable benchmarks 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, ETFs and other investment pools will not give rise to “qualifying income” for this purpose. Any income a Fund derives from investments in |
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 75 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2013 |
| | 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. |
12. Offsetting Assets and Liabilities
The Funds are subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.
As of September 30, 2013, the Multi-Asset Growth Fund (Consolidated) held the following derivative instruments that were subject to offsetting on the Statement of Assets and Liabilities:
Assets:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Gross
Amounts of
Recognized
Assets | | | Gross amounts
offset in the
Statement of
Assets and
Liabilities | | | Net amounts
presented in the
Statement of
Assets and
Liabilities | | | Gross Amounts not offset in the
Statement of Assets and Liabilities | | | | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Futures Contracts | | $ | 94,410 | | | $ | 94,410 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Swap Contracts | | | 50,123 | | | | 50,123 | | | | — | | | | — | | | | — | | | | — | |
| | $ | 144,533 | | | $ | 144,533 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Liabilities:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Gross
Amounts of
Recognized
Liabilities | | | Gross amounts
offset in the
Statement of
Assets and
Liabilities | | | Net amounts
presented in the
Statement of
Assets and
Liabilities | | | Gross Amounts not offset in the
Statement of Assets and Liabilities | | | | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Written Options | | $ | 50 | | | $ | — | | | $ | 50 | | | $ | — | | | $ | 50 | | | $ | — | |
Futures Contracts | | | 271,898 | | | | 94,410 | | | | 177,488 | | | | — | | | | 177,488 | | | | — | |
Swap Contracts | | | 76,894 | | | | 50,123 | | | | 26,771 | | | | — | | | | 26,771 | | | | — | |
| | $ | 348,842 | | | $ | 144,533 | | | $ | 204,309 | | | $ | — | | | $ | 204,309 | | | $ | — | |
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 issued. The Funds have determined there are no subsequent events that would need to be disclosed in the Funds’ financial statements.
| | | | | | |
| 76 | | DoubleLine Funds Trust | | | | |
| | |
| 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 (Consolidated), DoubleLine Low Duration Bond Fund and DoubleLine Floating Rate 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 and the DoubleLine Floating Rate 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 Ratio1 | | | Beginning
Account
Value | | | Ending
Account
Value
9/30/131 | | | Expenses
Paid During
Period*1 | | | | | Ending
Account
Value
9/30/131 | | | Expenses
Paid During
Period*1 | |
DoubleLine Total Return Bond Fund | | | | Class I | | | 0.47% | | | $ | 1,000 | | | $ | 990 | | | $ | 2.35 | | | | | $ | 1,023 | | | $ | 2.38 | |
| | | | Class N | | | 0.72% | | | $ | 1,000 | | | $ | 989 | | | $ | 3.59 | | | | | $ | 1,021 | | | $ | 3.65 | |
DoubleLine Core Fixed Income Fund | | | | Class I | | | 0.48% | | | $ | 1,000 | | | $ | 977 | | | $ | 2.38 | | | | | $ | 1,023 | | | $ | 2.43 | |
| | | | Class N | | | 0.73% | | | $ | 1,000 | | | $ | 976 | | | $ | 3.62 | | | | | $ | 1,021 | | | $ | 3.70 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | Class I | | | 0.91% | | | $ | 1,000 | | | $ | 947 | | | $ | 4.44 | | | | | $ | 1,021 | | | $ | 4.61 | |
| | | | Class N | | | 1.16% | | | $ | 1,000 | | | $ | 946 | | | $ | 5.66 | | | | | $ | 1,019 | | | $ | 5.87 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | Class I | | | 1.12% | | | $ | 1,000 | | | $ | 1,002 | | | $ | 5.62 | | | | | $ | 1,019 | | | $ | 5.67 | |
| | | | Class A | | | 1.38% | | | $ | 1,000 | | | $ | 1,001 | | | $ | 6.92 | | | | | $ | 1,018 | | | $ | 6.98 | |
DoubleLine Low Duration Bond Fund | | | | Class I | | | 0.47% | | | $ | 1,000 | | | $ | 1,004 | | | $ | 2.36 | | | | | $ | 1,023 | | | $ | 2.38 | |
| | | | Class N | | | 0.72% | | | $ | 1,000 | | | $ | 1,003 | | | $ | 3.61 | | | | | $ | 1,021 | | | $ | 3.65 | |
DoubleLine Floating Rate Bond Fund | | | | Class I | | | 0.70% | | | $ | 1,000 | | | $ | 1,010 | | | $ | 3.53 | | | | | $ | 1,022 | | | $ | 3.55 | |
| | | | Class N | | | 0.93% | | | $ | 1,000 | | | $ | 1,011 | | | $ | 4.69 | | | | | $ | 1,020 | | | $ | 4.71 | |
* 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.
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 77 |
| | |
| Federal Tax Information | | (Unaudited) |
For the fiscal year ended March 31, 2013, 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 is 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 (Consolidated) | | | | | 0.93% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | n/a | |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended March 31, 2013 is 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 (Consolidated) | | | | | 0.90% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | n/a | |
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 | | | | | 10.39% | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 28.58% | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 0.00% | |
DoubleLine Low Duration Bond Fund | | | | | 1.82% | |
DoubleLine Floating Rate Fund | | | | | n/a | |
Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Funds.
| | | | | | |
| 78 | | DoubleLine Funds Trust | | | | |
| | |
| 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 30th is available no later than the following August 31st 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 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.
| | | | | | |
| | Semi-Annual Report | | September 30, 2013 | | 79 |
| | |
| 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. |
The types of personal information DoubleLine collects and shares depend on the product or service you have with us. This information may include:
| | • | transaction or loss history; |
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.
| | | | | | |
| 80 | | DoubleLine Funds Trust | | | | |
| | | | |
| 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
601 South Figueroa Street
Los Angeles, CA 90017
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.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
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 principal executive and principal financial officers 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 last 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. Not Applicable. |
| | (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 12/3/13
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 12/3/13
By (Signature and Title) /s/ Susan Nichols
Susan Nichols, Treasurer and
Principal Financial and Accounting Officer
Date 11/26/13
