As filed with the Securities and Exchange Commission on December 2, 2014
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, 2014
Item 1. Reports to Stockholders.
Semi-Annual Report
September 30, 2014
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)
DoubleLine Shiller Enhanced CAPE®
DSEEX (I-share)
DSENX (N-share)
DoubleLine Flexible Income Fund
DFLEX (I-share)
DLINX (N-share)
DoubleLine Low Duration Emerging Markets Fixed Income Fund
DBLLX (I-share)
DELNX (N-share)
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| DoubleLine Capital LP | | 333 S. Grand Avenue 18th Floor Los Angeles, California 90071 doubleline.com |
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| | Semi-Annual Report | | September 30, 2014 | | 3 |
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| President’s Letter | | (Unaudited) September 30, 2014 |
Dear DoubleLine Funds Shareholder,
On behalf of the DoubleLine Funds, I am pleased to deliver this 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 investment performance and the main drivers of that performance during the reporting period.
Investor assets in the DoubleLine Funds were over $41.4 billion as of September 30, 2014. During the period, we continued to enhance our overall lineup of investment strategies available to investors. On April 7, 2014, we launched the DoubleLine Flexible Income Fund (DFLEX/DLINX) and the DoubleLine Low Duration Emerging Markets Fixed Income Fund (DBLLX/DELNX).
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, 2014
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| Financial Markets Highlights | | (Unaudited) September 30, 2014 |
Financial Markets Highlights:
| · | | Agency Mortgage-Backed Securities (Agency MBS) |
For the six-month period ending September 30, 2014, the Barclays U.S. MBS Index had a return of 2.59%. The duration of the Index remained relatively stable for the trailing six-month period, with its peak occurring earlier in April. The U.S. Treasury (UST) curve flattened with the long end of the curve declining while the short end has remained relatively unchanged. Not surprisingly, lower coupons outperformed their higher coupon counterparts during this period due to their longer duration for both 30-year and 15-year collateral. Available supply of Agency MBS in the market has also increased primarily due to the Federal Reserve’s (Fed’s) tapering of asset purchases and due to an increase in housing turnover from seasonality. Prepayment speeds have increased marginally across all Agency MBS for both 30-year and 15-year collateral during the period. August and September marked the first two months since March with consecutive declines in prepayment speeds; however, most of these declines have been minimal. Additionally, even though issuance of Agency MBS has increased on both a gross and net basis throughout the six-month period ending September 30, 2014, it is yet to reach the levels of previous years. Leading up to September, the Agency MBS current coupon spread against the 10-year UST yield market widened slightly, which was partly attributed to nervousness on the Fed’s plans regarding currently held mortgages on their balance sheets. The September Federal Open Market Committee (FOMC) meeting helped bring some clarity in regards to these issues with the Fed stating that it will continue the reinvestment of paydowns from currently held Agency MBS well into 2015, with an understanding it does not have any plans to sell back the Agency MBS it has purchased during the Quantitative Easing (QE) program.
| · | | Non-Agency Mortgage-Backed Securities (Non-Agency MBS) |
Non-Agency bonds continued to show their resiliency through the six-month period ending September 30, 2014. Despite constant headlines indicating increasing geo-political instability, both the technical and fundamental aspects of the non-Agency MBS market continued to show improvement. The 30-year fixed mortgage rates were volatile over the period, ranging from 4.50% and ending the period at 4.12%. Prepayment speeds picked up during the period, but more so for higher quality collateral than credit-hampered borrowers. Liquidation rates were generally flat, but subprime collateral saw a slight uptrend in liquidations towards the latter half of the period. Home prices, as evidenced by the S&P/Case-Shiller 20-City Composite Home Price Index, were up 3.92% during the six-month period. Increasing home prices generally are a driver for improved loss severities, but given that legacy transactions have had a considerable amount of servicer advance built in, sharp improvements in loss severity have not been seen. Instead, as we have seen over the past six-month period, loss severities have improved modestly and have been generally concentrated in the higher quality, larger balance collateral. Returns in the non-Agency MBS space for the six-month period have continued to be strong despite various macroeconomic factors. Over the period, the ABX 2007-1 AAA, which is a series of the ABX Index and a reasonable proxy for the subprime market, returned 6.88%. Cleaner collateral, such as fixed rate Alt-A and prime also performed well during the period. Trading volume was erratic as several large lists swelled volume in April and May, but the summer months were exceptionally slow. There continued to be rumors of several large portfolio liquidations looming and the fact that the Government Sponsored Enterprises (GSEs) continue to have billions in supply. Our expectations are that trading volumes will continue to be uneven with quiet periods followed by periods with large spikes in volume as these portfolios liquidate.
| · | | Commercial Mortgage-Backed Securities (CMBS) |
Over the six-month period ending September 30, 2014, the CMBS sector underperformed broader credit markets as larger sectors, such as investment grade corporates, continued to garner more attention despite on-going fundamental improvement within the commercial real estate (CRE) sector. As such, the Barclays U.S. CMBS Index returned 1.3% over the period compared to 2.7% for investment grade corporates and 2.2% for the index as a whole. In terms of the secondary market, trading activity remains robust as spreads continued the slow move tighter in the face of limited periods of volatility stemming from rate hike concerns and geo-political instability. Over the six-month period, legacy AAA spreads tightened by 7 basis points (bps) to 83 bps over swaps while on the new issue side, 10-year last cash flow AAA tranches priced at 83 bps over swaps, a 5 bps tightening over the last deal priced in March and BBBs priced at 335 bps, a 30 bps tightening. The pace of new issuance picked up significantly at the end of the period with year-to-date (YTD) issuance as of September 30, 2014 on-pace to exceed 2013. $49 billion of deals were brought to market over the six-month period ending September 30, 2014, a $12 billion increase over the same period in 2013. Despite a sluggish start to the year, YTD new issuance of $67 billion outpaced the $59 billion issued through the first nine months of 2013; however, September’s $12 billion of new deals brought to market, the most in any month since 2007, may have cleared the majority of the remaining product for the year with new issuance estimates tempered for the final three months of 2014.
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| | Semi-Annual Report | | September 30, 2014 | | 5 |
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| Financial Markets Highlights (Cont.) | | (Unaudited) September 30, 2014 |
Delinquency rates continued to improve during the reporting period, with the overall U.S. CMBS delinquency rate ending the third quarter at 6.0%, a 61 bps improvement. Delinquency rates have declined across four of the five major property types over the six-month reporting period, with retail representing the lone outlier.
| · | | Emerging Markets (EM) Debt |
Over the six-month period ending September 30, 2014, U.S. dollar (USD) denominated EM fixed income indices as represented by the JP Morgan Emerging Markets Bond Index Global Diversified (EMBI) posted low single digit returns. Performance across EM fixed income was largely driven by accrued interest and flattening of the UST yield curve. Expectations that the Fed will begin hiking short term interest rates in 2015 led 2-year UST yields to rise 0.15% to 0.57%; however, increasing geopolitical risks and expected lower growth in developed markets outside the U.S., helped 10-year and 30-year UST yields remain anchored over the period. Credit spreads across EM indices were broadly unchanged over the period. Spreads generally moved tighter from April through July, on improved risk sentiment and a resumption of flows to the asset class; however, August data increased concerns of EM slowing growth resulting from geopolitical noise and struggling European and Chinese economies. This pushed EM credit spreads wider, reversing much of the tightening that occurred in the prior four months. EM local currency indices, as represented by the JP Morgan Government Bond Index Emerging Markets Broad Diversified (GBI-EM), posted slightly negative returns over the six-month period. The accrued interest of EM local government bond yields were more than offset by depreciation of EM currencies versus the USD. Country-specific risks in Ukraine and Venezuela led to negative returns across their dollar denominated debt and depreciation of their respective currencies.
| · | | Investment Grade Credit |
For the six-month period ending September 30, 2014, investment grade credit recorded a total return of 2.68% and an excess return of 0.13%, as measured by the Barclays U.S. Credit Index. Returns were driven by lower UST yields and carry, as spreads widened slightly from 103 bps to 107 bps. The long duration portion of the Index had the best total return, with the 10-year plus duration bucket posting a 5.32% return. The BBB component of the Index continued to outperform, with spreads widening only 1.9 bps and posting a total return of 3.22%. Non- Corporates and Utilities outperformed the index, driven primarily by lower global interest rates. New issuance has been robust at $537 billion for the six-month period and is on track to meet the highest new issuance, ahead of 2013’s new issuance of $1.1 trillion. While insurance companies and pension funds hold the largest part of the investment grade market, approximately 40% and 17%, respectively, demand across all buyers of investment grade credit has remained strong.
For the six-month period ending September 30, 2014, the S&P/LSTA Leveraged Loan Index returned 0.91%. Single-B loans returned 0.95%, outperforming BB-rated returns of 0.55%. Notable outperformers by industry for the six-month period were Forest Products (+2.90%), Publishing (+2.59%), and Utilities (+2.24%). Underperforming industries were Nonferrous Metals—Minerals (-0.74%), Food Products (+0.05%), and Cable and Satellite TV (+0.16%).
| · | | Collateralized Loan Obligations (CLOs) |
CLO issuance picked up speed during the second quarter and through the beginning of the third quarter of 2014. From April through the end of July, each month’s issuance was at least $10 billion per month. In line with the general market slow-down in August, CLO issuance experienced a slight decline in issuance and only generated $7 billion in new issuance. This speed was maintained through September as investors were still trying to absorb the glut of issuance from the second quarter. Over the six-month period, $68 billion worth of new deals came to the market bringing YTD issuance through September 30, 2014 to $91 billion. We believe the consistent stream of issuance is due to an interest in pricing deals ahead of the effectiveness of new rules regarding risk retention, which, when effective, will require managers and sponsors of CLOs to retain some of the instruments’ risks on their books. We believe the new risk retention rules could possibly prevent newer and smaller managers from entering the CLO space with new deals as they might be unable to keep the equity on their books. Beginning in mid-April, retail loan funds reversed the 96-week streak of inflows. While money flowed out of retail loan funds, CLO managers saw this as an opportunity to pick up cheaper loans. Loans reached their wides in May and then tightened slightly in June. Again in August and September, CLO managers had an opportunity to pick up loans from retail funds. CLOs in the new-issue pipeline were still able to take advantage of the loan spreads widening by placing them in their warehouse. These CLO warehouses allow managers to ramp up their portfolio before pricing and take advantage of any arbitrage. This has made it easier to find AAA and equity investors. Spreads for AAAs hovered in the 150 discount margin (DM) area for the past six months, with greener managers pricing as wide as 160 DM and more experienced managers pricing in the mid-140 DM. Although the
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| | | (Unaudited) September 30, 2014 |
AAA spreads were relatively unchanged, this was not true for the rest of the capital stack. AA through BBB spreads widened by roughly 35 bps and BB widened by 50 bps over the course of the six-month period. We believe this widening can be largely attributed to the excess supply from all the new issuance rather than from any weakness in the market.
Global equities as measured by the Morgan Stanley Capital International All Country World Index (MSCI ACWI) rallied a modest 1.42% during the six-month period ending September 30, 2014. U.S. equities were mixed during the six-month period with large cap outperforming small cap stocks. The S&P 500® Index and Dow Jones Industrial Average Index increased +5.34% and +4.76%, respectively, while the Russell 2000® Index sold off -6.08%. The macro data out of the U.S. was generally upbeat with stronger labor data and business cycle indicators; however, there was some disappointing data out of the industrial sector. The Fed continued to taper its monthly asset purchases by $10 billion as expected and left key rates unchanged. The FOMC continued to emphasize the underutilization of the labor market and pledged to keep interest rates low for a considerable time.
In Europe, regional equities were mixed with the Deutsche Borse AG German Stock Index (DAX) down -0.85% and the CAC 40 Index and Financial Times Stock Exchange (FTSE) up +0.56% and +0.37%, respectively. In the periphery, equities were mixed with the Financial Times Stock Exchange Milano Italia Borse (FTSEMIB) down -3.69% and the Índice Bursátil Español (IBEX) up +4.69%. In an effort to fight persistent disinflation and keep the monetary union out of its third recession, the European Central Bank (ECB) lowered its entire interest rate corridor, taking deposit rates negative. At the same time the ECB introduced a targeted long-term refinancing operation (TLTRO), and pledged to increase its balance sheet by around €1 trillion (approximately $1.28 trillion USD as of September 30, 2014) from current levels.
Asian equities performed well over the six-month period with the Nikkei up 9.08%, the Shanghai Composite up +16.26%, and the Hang Seng up +3.53%. Japanese equities rallied on the prospect of further monetary easing from the Bank of Japan and allocation shifts into equities by the world’s largest pension fund. Chinese equities rallied on increased stimulus measures from the Chinese government in the face of deteriorating economic growth.
As measured by the Standard & Poor’s Goldman Sachs Commodity Excess Return Index, the broad-based commodities market posted a 10.12% loss for the six-month period ending September 30, 2014. Sectoral performance was mixed as three of five sectors had negative returns. The agricultural sector sold off 29.17% as greater than anticipated supply squashed fears of a weak harvest. Corn and wheat were down 38.32% and 35.53%, respectively, while cocoa (+11.51%) and coffee (+3.44%) were the only positive performers in the sector. Energy was down 8.91% as crude oil and refined products slipped on increased U.S. and Saudi Arabian production. Precious metals closed down 6.78% as inflation in the U.S. and European Union (EU) remained well below expectations (gold and silver fell 5.75% and 14.26%, respectively). Industrial metals rallied 3.91%, mostly due to strong second quarter performance and demand for aluminum (+6.75%) and zinc (+14.33%). Livestock ended up 4.51% as feeder cattle rallied 31.62% and lean hogs fell 15.31%.
| · | | U.S. Large Cap Equities |
As measured by the S&P 500® Index, the large capitalization U.S. equity market posted a +6.42% gain for the six-month period ending September 30, 2014. The NASDAQ Composite Index realized a gain of +7.68% while the Dow Jones Industrial Average Index increased by +4.76%. Most of the gains in this period were accrued during the second quarter of 2014 as equities rallied in the spring and early summer. The third quarter was punctuated by increased tail risk in the global economy due to slowing growth in the EU, China and commodity exporting nations. Geopolitical tensions also rose in the third quarter as fears stemming from a Russian proxy war in Ukraine and open war in the Levant were further stoked by a major outbreak of Ebola in West Africa. The U.S. economy is in the fifth year of economic recovery and is beginning to show signs of strength. The Fed decreased the large scale asset purchase program in each of its scheduled meetings over the course of third quarter, though a diminishing global economy could cause the Fed to change course going forward.
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| | Semi-Annual Report | | September 30, 2014 | | 7 |
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| Management’s Discussion of Fund Performance | | (Unaudited) September 30, 2014 |
Management Discussion of Fund Performance:
DoubleLine Total Return Bond Fund
The Doubleline Total Return Bond Fund outperformed the Barclays U.S. Aggregate Bond Index return of 2.21% over the six-month period ending September 30, 2014. As U.S. interest rates declined in the same period with the 10-year UST rate lowering by 23 bps, both Agency and non-Agency residential MBS (RMBS) performed well. The portfolio maintained a 45% allocation to Agency RMBS and a 37% weighting in non-Agency RMBS. Non-Agency RMBS led the outperformance for the six-month period as the sector moved tighter, returning over 3.5% in total return to the portfolio. The market continues to shrink in size helping to boost valuations of Non-Agency RMBS even in periods when other credit sensitive assets decline. Within the Fund, the spectrum of credit quality performed well with prime bonds performing the best. Agency RMBS added approximately 3.5% in total returns to the Fund. In particular, fixed-rate Collateralized Mortgage Obligations (CMOs) and Passthroughs, which was approximately 40% of the Fund’s portfolio, contributed the strongest returns as these sectors have relatively longer durations. Low LIBOR* rates also continue to aid Agency inverse floating-rate securities, which added strong coupon returns over the six–month period. Commercial MBS (CMBS) lagged RMBS, but still added gains to the portfolio. The sector traded wider especially towards the latter months of the period due to higher supply from the new issue market. The same dynamic also occurred in the CLO market as new issuance for the sector has hit record highs. Both senior and mezzanine tranches experienced some weakening with lower tranches declining in value more. Within the Fund, both CLOs and CMBS still contributed relatively robust interest income, which offset mild declines in pricing.
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| Period Ended 9-30-14 | | | | 6-Months | |
I-Share | | | | | 2.81% | |
N-Share | | | | | 2.68% | |
Barclays U.S. Aggregate Bond Index | | | | | 2.21% | |
| * | LIBOR stands for the London Interbank Offered Rate. |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Core Fixed Income Fund
The DoubleLine Core Fixed Income Fund outperformed the Barclays U.S. Aggregate Bond Index’s return of 2.21% over the six-month period ending September 30, 2014. As U.S. interest rates declined over the same period with the 10-year UST rate lowering by 23 bps, longer duration sectors generally outperformed shorter duration counterparts. EM fixed income was the best performing sector returning over 5.5% to the Fund’s total return. The sector has a duration over 5.5 years, making it one of the longer duration sectors held within the portfolio, thus the strong returns in the declining interest rate environment. RMBS also outperformed other sectors within the Fund and the Barclays U.S. MBS Index, as Agency RMBS returned over 4% in total return. This sector had a duration of over 6 years and fixed-rate CMOs experienced high price appreciation as well as healthy interest income. The Fund continued to have its largest exposure to RMBS- at over 30%. Investment Grade Corporate Credit, U.S. Government and CMBS all additionally contributed relatively strong gains to the Fund. High Yield, Bank Loans and CLOs, while contributing positive returns, lagged behind other sectors within the Fund. These sectors succumbed to pricing pressures late in the period as a combination of high supply and waning risk appetites have caused some selloffs to occur.
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| Period Ended 9-30-14 | | | | 6-Months | |
I-Share | | | | | 2.72% | |
N-Share | | | | | 2.68% | |
Barclays U.S. Aggregate Bond Index | | | | | 2.21% | |
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, 2014, the DoubleLine Emerging Markets Fixed Income Fund outperformed the JP Morgan Emerging Markets Bond Index Global Diversified (EMBI). In part, outperformance was led by the Fund avoiding exposure to Ukraine. Sovereign bonds domiciled in Ukraine posted large negative returns over the period as the ongoing conflict with Russia on Ukraine’s eastern border has stifled growth. Performance also benefited from the Fund avoiding exposure to Venezuela sovereign bonds. Venezuela government’s policies have led to large macro economic imbalances, and investor’s questioning the government’s capacity to pay external
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| | | (Unaudited) September 30, 2014 |
debt maturities. The Fund’s shorter duration relative to the index, partially offset outperformance, as 10-year UST bonds rallied over the period. 10-year UST yields ended the September at 2.49% from 2.72% as of March month-end.
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| Period Ended 9-30-14 | | | | 6-Months | |
I-Share | | | | | 4.96% | |
N-Share | | | | | 4.92% | |
JP Morgan Emerging Markets Bond Global Diversified Index | | | | | 4.14% | |
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 blended benchmark over the six-month period ending September 30, 2014. Fixed income and global equities in the Fund both turned in positive returns over this period, but commodities did not fare as well. This period was a story of two halves with all sectors of the blended benchmark seeing positive returns during the first three months, and then equities and commodities seeing selloffs thereafter. A turn-around in the U.S. economy and a soft landing in China evolved during July into Europe edging towards outright deflation, a return of the slowdown story in China, and commodity dependent economies feeling the strain of a selloff in real assets. Continued strife in Ukraine, destabilizing events surrounding the surge of ISIS in the Middle East, and the emergence of an Ebola outbreak in Western Africa each added to downward momentum in international equity prices in the latter part of the quarter. As the global slowdown story took hold, one of the biggest related events was the decline seen in oil markets. Brent Crude fell more than 10% over the six–month period. The confluence of forces that led to this decline include: stories suggesting the U.S. might lift their ban on oil exports, falling eurozone inflation, continued strong supply in Libya amidst strafe, and lower forecasts of Chinese and global growth from the International Monetary Fund (IMF). This same sentiment weighed on real asset exposures in the Fund, which was the only sector that had a negative return over the period. Fixed income was the strongest performer over the period as the UST flattened, and credit spreads tightened. Foreign exchange positions similarly benefited the portfolio as long dollar positions rallied as Asian and European currencies suffered for much of the reasons discussed above.
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| Period Ended 9-30-14 | | | | 6-Months | |
I-Share | | | | | 0.12% | |
A-Share | | | | | | |
Without Load | | | | | 0.09% | |
With Load | | | | | -4.17% | |
S&P 500 ® Index | | | | | 6.42% | |
Blended Benchmark* | | | | | 0.41% | |
| * | 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’s return of 0.30% over six month-period ending September 30, 2014. The UST yield curve flattened slightly at the long end of the curve while the shorter end mildly increased. The 10-year UST yield ended the period at 2.49%, decreasing by 23 bps for the period; however, it touched a low of 2.33% in the month of August. The 2-year UST yield ended the period at 0.57%, increasing by 15 bps for the six-month period. EM fixed income was the best performing sector, largely attributable to the sector’s longer duration compared to other sectors within the Fund. Structured products such as RMBS, CMBS, and CLOs also performed well for the trailing six-month period. Both Agency and non-Agency RMBS performed well, as they contributed modest price appreciation and robust interest income for the period. CMBS and CLOs performed well despite facing robust issuance in recent months. Both sectors have largely been impacted by pricing pressures late in the period as a combination of high supply and waning risk appetites have caused some selloffs to occur. Although the more credit sensitive sectors, such
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| | Semi-Annual Report | | September 30, 2014 | | 9 |
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| Management’s Discussion of Fund Performance (Cont.) | | (Unaudited) September 30, 2014 |
as Investment Grade Corporates and Bank Loans, contributed positively to the Fund, they lagged behind the other sectors as they suffered from interim volatility within the credit markets caused by large issuance cycles, continuing rate concerns, and retail fund outflows.
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| Period Ended 9-30-14 | | | | 6-Months | |
I-Share | | | | | 1.00% | |
N-Share | | | | | 0.87% | |
BofA/Merrill Lynch 1-3 Year U.S. Treasury Index | | | | | 0.30% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Floating Rate Fund
The DoubleLine Floating Rate Fund generated a net return of 0.32% for the six-month period ending September 30, 2014, underperforming the S&P/LSTA Leveraged Loan Index. The Fund underperformed during the period partly due to an underweight positing in CCC-rated credits, which generated the greatest performance of any rating category, with a return of 2.71%. While CCC-rated credits were a drag during the third quarter, they generated a 3.43% return during the second quarter. Additionally, defaulted securities generated an 8.29% return during the second quarter. The Fund held no defaulted loans during the six-month period. The Fund was also underweight utilities and publishing by more than 1%, which were two of the strongest performing industries. At the end of the six-month period, the Fund held 43.89% BBs, 46.21% Bs, 2.58% CCCs and 0% unrated securities compared to the index weightings of 36.4% BBs, 46.93% Bs and 5.63% CCCs.
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| Period Ended 9-30-14 | | | | 6-Months | |
I-Share | | | | | 0.32% | |
N-Share | | | | | 0.29% | |
S&P/LSTA Leveraged Loan Index | | | | | 0.91% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Shiller Enhanced CAPE®
In the six-month period ended September 30, 2014, the DoubleLine Shiller Enhanced CAPE® returned 7.39% and the S&P 500® Index returned 6.42%. The DoubleLine Shiller Enhanced CAPE® performance was due to a 6.05% return from exposure to the Shiller Barclays CAPE® U.S. Sector Total Return Index and a 1.34% return from the fixed income portfolio. Hence the key driver of outperformance was the fixed income portfolio. The Shiller Barclays CAPE® U.S. Sector Total Return Index was exposed to the healthcare, industrials, technology and energy sectors throughout the six-month period. All four of these sectors contributed positively to return with technology contributing the largest amount (2.58%) and industrials contributing the least (0.36%). The fixed income collateral pool was primarily driven by a rally in emerging market debt and mortgage backed securities. The worst performing sector of the bond market was the high yield sector as new issuance was in excess of investor demand.
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| Period Ended 9-30-14 | | | | 6-Months | |
I-Share | | | | | 7.39% | |
N-Share | | | | | 7.27% | |
S&P 500® Index | | | | | 6.42% | |
Shiller Barclays CAPE® U.S. Sector Total Return Index | | | | | 6.14% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Flexible Income Fund
The DoubleLine Flexible Income Fund outperformed the 3-month LIBOR for the period since inception to September 30, 2014. Non-Agency MBS were the largest driver of this outperformance, and held strong when other credit products saw weakness during the second half of the period. At roughly 30%, the Fund’s allocation to non-Agency MBS is the largest within the Fund. Other than UST, EM has been one of the strongest fixed income performers during the reporting period as “taper tantrum” related fears abated. This was very accretive to Fund performance, as these positions make up the second largest allocation and were the second best performer since the inception of the Fund. CLOs also positively contributed to performance, though we did see some spread widening as the measurement period ended.
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| 10 | | DoubleLine Funds Trust | | | | |
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| | | (Unaudited) September 30, 2014 |
Similar weakness was seen in both the Bank Loan and High Yield markets, as ETFs and mutual funds alike saw significant outflows. Allocations to CMBS saw spreads continue to move tighter as average lives fell, and contributed decent interest income.
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| Period 4-7-14 through 9-30-2014 | | | | Since Inception | |
I-Share | | | | | 2.02% | |
N-Share | | | | | 1.93% | |
LIBOR USD 3 Month | | | | | 0.11% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Low Duration Emerging Markets Fixed Income Fund
The DoubleLine Low Duration Emerging Markets Fixed Income Fund outperformed the JP Morgan Corporate EMBI Broad Diversified Maturity 1-3 Year Index over the period from inception to September 30, 2014. In part, outperformance was led by the Fund’s zero exposure to Russia and Ukraine credits. Corporate bonds domiciled in Russia and Ukraine underperformed over the period as the ongoing conflict on Ukraine’s eastern border has stifled growth in both countries. The Fund’s overweight allocation, relative to the index, to below investment grade credits also benefited performance due to its higher interest accrual over the period.
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| Period 4-7-14 through 9-30-14 | | | | Since Inception | |
I-Share | | | | | 2.85% | |
N-Share | | | | | 2.74% | |
JP Morgan CEMBI Broad Diversified 1-3 Year Index | | | | | 0.92% | |
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, 2014 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.
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.
Investments in foreign securities involve political, economic, and currency risks, greater volatility, and differences in accounting methods. These risks are greater for investments in emerging markets.
Investments in securities related to real estate 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.
Equities may decline in value due to both real and perceived general market, economic, and industry conditions.
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.
Floating rate loans and other floating rate investments are subject to credit risk, interest rate risk, counterparty risk and financial services risks, among others.
Additional principal risks for the Funds can be found in the prospectus.
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 of the highest quality that offer the lowest degree of investment risk to the lowest rating of C for the lowest rated class of bonds. 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.
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
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| | Semi-Annual Report | | September 30, 2014 | | 11 |
| | |
| Management’s Discussion of Fund Performance (Cont.) | | (Unaudited) September 30, 2014 |
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. CMBS Index—This index measures the performance of investment grade commercial mortgage-backed securities, which are classes of securities that represent interests in pools of commercial mortgages.
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 measures the performance of investment grade fixed-rate mortgage-backed pass-through securities of the Government-Sponsored Enterprises (GSEs): Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
Basis Point—A basis point (bps) equals to 0.01%.
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.
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.
Cash Flow—A measure of the cash generating capability of a company by adding non-cash charges (e.g. depreciation) and interest expense to pretax income.
Deutsche Borse AG German Stock Index (DAX)—DAX is the Deutscher Aktien-Index, or the German stock index, which represents 30 of the largest and most liquid German companies that trade on the Frankfurt Exchange.
Discount Margin (DM)—The amount of return on a floating rate security based on the spread between the price of the security at a given time and the reference rate.
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 Index (DJIA)—Invented back in 1896, the Dow Jones Industrial Average Index is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange (NYSE) and the Nasdaq.
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.
Financial Times Stock Exchange Milano Italia Borsa (FTSEMIB)—The benchmark stock market index for the Borsa Italiana, the Italian national stock exchange, which superseded the MIB-30 in September 2004. The index consists of the 40 most-traded stock classes on the exchange.
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.
Hang Seng Index (HSI)—A free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties.
Indice Bursatil Espanol (IBEX)—The official index of the Spanish Continuous Market. The index is comprised of the 35 most liquid stocks traded on the Continuous market. It is calculated, supervised and published by the Sociedad de Bolsas.
Investment Grade—Securities rated AAA to BBB- are considered to be investment grade. A bond is considered investment grade if its credit rating is BBB- or higher by Standard & Poor’s or Baa3 by Moody’s. Ratings based on corporate bond model. The higher the rating, the more likely the bond is to pay back at par/$100 cents on the dollar. AAA is considered the highest quality and the lowest degree of risk. They are considered to be extremely stable and dependable.
JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified—This index is a market capitalization weighted index consisting of US-denominated Emerging Market corporate bonds. It is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa.
JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified—This 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 countries covered in the EMBI Global Diversified are identical to those covered by EMBI Global.
JP Morgan Government Bond Index Emerging Markets Broad Diversified (GBI-EM) - The first comprehensive, global local Emerging Markets index consisting of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure.
Last Cash Flow (LCF)—The last revenue stream paid to a bond over a given period.
London Interbank Offered Rate (LIBOR)—An indicative average interest rate at which a selection of banks known as the panel banks are prepared to lend one another unsecured funds on the London money market.
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.
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 4000 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.
Russell 2000® Index—A subset of the Russell 3000 Index that measures the performance of the small-cap segment of the U.S. equity universe. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
Shanghai Stock Exchange Composite Index (SHCOMP)—A capitalization-weighted index that tracks the daily performance of all A-shares and B-shares listed on the Shanghai Stock Exchange. The index was developed on December 19, 1990 with a base value of 100.
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| 12 | | DoubleLine Funds Trust | | | | |
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| | | (Unaudited) September 30, 2014 |
Shiller Barclays CAPE® US Sector Total Return Index—An index that incorporates the principles of long-term investing distilled by Dr. Robert Shiller and expressed through the CAPE® (Cyclically Adjusted Price Earnings) ratio (the “CAPE® Ratio”). It aims to identify undervalued sectors based on a modified CAPE® Ratio, and then uses a momentum factor to seek to mitigate the effects of potential value traps.
Spread—The difference between yields on differing debt instruments, calculated by deducting the yield of one instrument from another. The higher the yield spread, the greater the difference between the yields offered by each instrument. The spread can be measured between debt instruments of differing maturities, credit ratings and risk.
S&P 500 ® Index—The Standard & Poor’s U.S. 500 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.
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. This Excess Return Index includes an Energy component, which was referenced in this commentary.
S&P/LSTA Leveraged Loan Index—Capitalization-weighted syndicated loan indices are based upon market weightings, spreads and interest payments, and this index covers the U.S. market back to 1997 and currently calculates on a daily basis. 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.
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| | Semi-Annual Report | | September 30, 2014 | | 13 |
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| DoubleLine Funds’ Standardized Performance Summary | | (Unaudited) September 30, 2014 |
As of September 30, 2014
| | | | | | | | | | | | | | | | | | | | |
| DBLTX/DLTNX | | | | | | | | | | | | | | | | |
Total Return Bond Fund
Returns as of September 30, 2014 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 9-30-14) |
| | Gross
Expense Ratio | |
I-share (DBLTX) | | | 4.99% | | | | 4.96% | | | | 8.92% | | | 0.47% | |
N-share (DLTNX) | | | 4.72% | | | | 4.68% | | | | 8.65% | | | 0.72% | |
Barclays U.S. Aggregate Index | | | 3.96% | | | | 2.43% | | | | 4.27% | | | | | | | | | |
| DBLEX/DLENX | | | | | | | | | | | | | | | | |
Emerging Markets Fixed Income Fund
Returns as of September 30, 2014 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 9-30-14) |
| | Gross
Expense Ratio | |
I-share (DBLEX) | | | 11.86% | | | | 7.92% | | | | 7.41% | | | 0.92% | |
N-share (DLENX) | | | 11.68% | | | | 7.66% | | | | 7.17% | | | 1.17% | |
JP Morgan Emerging Markets Bond Global Diversified Index | | | 9.67% | | | | 7.95% | | | | 7.55% | | | | | | | | | |
| DBLFX/DLFNX | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
Returns as of September 30, 2014 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(6-1-10 to 9-30-14) |
| | Gross
Expense Ratio | |
I-share (DBLFX) | | | 6.24% | | | | 4.70% | | | | 7.19% | | | 0.52% | |
N-share (DLFNX) | | | 5.97% | | | | 4.48% | | | | 6.94% | | | 0.77% | |
Barclays U.S. Aggregate Index | | | 3.96% | | | | 2.43% | | | | 3.84% | | | | | | | | | |
| DMLIX/DMLAX | | | | | | | | | | | | | | | | |
Multi-Asset Growth Fund
Returns as of September 30, 2014 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(12-20-10 to 9-30-14) |
| | Gross
Expense Ratio | | Net
Expense Ratio* | |
I-share (DMLIX) | | | 3.58% | | | | 2.80% | | | | 2.69% | | | 1.68% | | 1.55% | |
A-share (DLMAX) | | | | | | | | | | | | | | 1.93% | | 1.80% | |
A-share (No Load) | | | 3.32% | | | | 2.56% | | | | 2.42% | | | | | | | | | |
A-share (With Load) | | | -1.08% | | | | 1.09% | | | | 1.25% | | | | | | | | | |
Blended Benchmark** | | | 4.00% | | | | 5.67% | | | | 4.53% | | | | | | | | | |
S&P 500® TR | | | 19.73% | | | | 22.99% | | | | 15.34% | | | | | | | | | |
| DBLSX/DLSNX | | | | | | | | | | | | | | | | |
Low Duration Bond Fund
Returns as of September 30, 2014 | | | 1 Year | | |
| Since Inception
Annualized
(9-30-11 to 9-30-14) |
| | Gross
Expense Ratio | | Net
Expense Ratio* | |
I-share (DBLSX) | | | 2.13% | | | | 2.61% | | | 0.49% | | 0.48% | |
N-share (DLSNX) | | | 1.88% | | | | 2.35% | | | 0.74% | | 0.73% | |
BofA/Merrill Lynch 1-3 Year Treasury | | | 0.50% | | | | 0.48% | | | | | | | | | |
| DBFRX/DLFRX | | | | | | | | | | | | | | | | |
Floating Rate Fund
Returns as of September 30, 2014 | | | 1 Year | | |
| Since Inception
Annualized
(2-1-13 to 9-30-14) |
| | Gross
Expense Ratio | |
I-share (DBFRX) | | | 2.37% | | | | 2.52% | | | 0.75% | |
N-share (DLFRX) | | | 2.10% | | | | 2.42% | | | 1.00% | |
S&P LSTA Leveraged Loan Index | | | 3.85% | | | | 3.82% | | | | | | | | | |
| DSEEX/DSENX | | | | | | | | | | | | | | | | |
Shiller Enhanced CAPE®
Returns as of September 30, 2014 | | | | | | | | | |
| Since Inception
(10-31-13 to 3-31-14) |
| | Gross
Expense Ratio | | Net
Expense Ratio*** | | | Expense Cap*** | |
I-share (DSEEX) | | | | | | | | | | | 15.80% | | | 1.38% | | 0.99% | | | 0.65% | |
N-share (DSENX) | | | | | | | | | | | 15.57% | | | 1.63% | | 1.24% | | | 0.90% | |
Shiller Barclays CAPE® U.S. Sector Total Return USD Index | | | | | | | | | | | 13.26% | | | | | | | | | |
S&P 500® | | | | | | | | | | | 14.47% | | | | | | | | | |
| | | | | | |
| 14 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
The performance information shown assumes the reinvestment of all dividends and distributions. Returns over 1- year are average annual returns. 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 Class reflects the Class A maximum sales charge of 4.25%. Performance data shown for the Class A No Load does not reflect the deduction of the sales load or fee. If reflected, the load or fee would reduce the performance quoted. 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 Fund 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 redemption fee. If it had, returns would be reduced.
*The Adviser has contractually agreed to waive fees and reimburse expenses through July 31, 2015.
**The Blended Benchmark for the Multi-Asset Growth Fund is 60% Barclays Cap Agg, 25% MSCI AC World Index & 15% SP GS Com TR
***The Adviser has contractually agreed to waive its investment advisory fee and to reimburse the DoubleLine Shiller Enhanced CAPE® Fund for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 0.65% for Class I shares and 0.90% for Class N shares. Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, Acquired Fund Fees and Expenses, and any extraordinary expenses. These expense limitations are expected to apply until at least July 31, 2015, except that they may be terminated by the Board of Trustees at any time.
Mutual Fund Investing involves risk. Principal loss is possible.
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| | Semi-Annual Report | | September 30, 2014 | | 15 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 0.1% | |
| |
| | | | Nelnet Student Loan Trust, | |
| $ | 33,850,000 | | | Series 2007-2A-B1 | | | 1.40% | #^ | | | 09/25/2035 | | | | 32,461,507 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $32,707,562) | | | | 32,461,507 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 4.0% | |
| |
| | | | Adams Mill Ltd., | |
| | 10,000,000 | | | Series 2014-1A-C1 | | | 3.20% | #^ | | | 07/15/2026 | | | | 9,870,074 | |
| |
| | | | ALM Loan Funding, | |
| | 3,750,000 | | | Series 2012-6A-C | | | 4.98% | #^ | | | 06/14/2023 | | | | 3,758,364 | |
| | 20,000,000 | | | Series 2012-7A-A1 | | | 1.65% | #^ | | | 10/19/2024 | | | | 19,976,565 | |
| |
| | | | Apidos Ltd., | |
| | 1,500,000 | | | Series 2006-4A-D | | | 1.74% | #^ | | | 10/27/2018 | | | | 1,440,015 | |
| | 32,171,867 | | | Series 2007-5A-A18 | | | 0.46% | #^ | | | 04/15/2021 | | | | 32,020,890 | |
| | 20,000,000 | | | Series 2013-16A-A1 | | | 1.68% | #^ | | | 01/19/2025 | | | | 19,993,979 | |
| | 5,500,000 | | | Series 2014-18A-B | | | 3.03% | #^ | | | 07/22/2026 | | | | 5,428,609 | |
| |
| | | | ARES Ltd., | |
| | 25,000,000 | | | Series 2013-1A-B | | | 1.98% | #^ | | | 04/15/2025 | | | | 24,210,699 | |
| | 6,500,000 | | | Series 2013-1A-D | | | 3.98% | #^ | | | 04/15/2025 | | | | 6,293,955 | |
| |
| | | | Atrium Corporation, | |
| | 12,108,969 | | | Series 5A-A2A | | | 0.45% | #^ | | | 07/20/2020 | | | | 12,081,133 | |
| |
| | | | Avery Point Ltd., | |
| | 3,950,000 | | | Series 2013-2A-D | | | 3.68% | #^ | | | 07/17/2025 | | | | 3,772,078 | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.75% | #^ | | | 04/25/2026 | | | | 5,002,815 | |
| | 4,250,000 | | | Series 2014-1A-D | | | 3.73% | #^ | | | 04/25/2026 | | | | 4,043,721 | |
| |
| | | | Babson Ltd., | |
| | 2,446,615 | | | Series 2005-3A-A | | | 0.48% | #^ | | | 11/10/2019 | | | | 2,441,389 | |
| | 4,750,000 | | | Series 2014-IIA-C | | | 3.17% | #^ | | | 10/17/2026 | | | | 4,699,899 | |
| | 3,750,000 | | | Series 2014-IIA-D | | | 3.87% | #^ | | | 10/17/2026 | | | | 3,598,293 | |
| |
| | | | Birchwood Park Ltd., | |
| | 5,000,000 | | | Series 2014-1A-C2 | | | 3.38% | #^ | | | 07/15/2026 | | | | 5,018,802 | |
| | 6,500,000 | | | Series 2014-1A-D2 | | | 1.43% | #^ | | | 07/15/2026 | | | | 6,491,727 | |
| |
| | | | Black Diamond Ltd., | |
| | 1,844,796 | | | Series 2005-1A-A1 | | | 0.50% | #^ | | | 06/20/2017 | | | | 1,842,041 | |
| |
| | | | BlackRock Senior Income, | |
| | 1,716,165 | | | Series 2006-4A-A | | | 0.47% | #^ | | | 04/20/2019 | | | | 1,700,056 | |
| |
| | | | BlueMountain Ltd., | |
| | 25,000,000 | | | Series 2012-2A-A1 | | | 1.65% | #^ | | | 11/20/2024 | | | | 24,994,407 | |
| | 19,000,000 | | | Series 2012-2A-B1 | | | 2.29% | #^ | | | 11/20/2024 | | | | 18,931,064 | |
| | 16,150,000 | | | Series 2012-2A-C | | | 2.98% | #^ | | | 11/20/2024 | | | | 16,061,161 | |
| |
| | | | BMI Trust, | |
| | 94,859,914 | | | Series 2013-1AR-A1R | | | 1.17% | #^ | | | 08/01/2021 | | | | 94,308,597 | |
| |
| | | | Bridgeport Ltd., | |
| | 922,213 | | | Series 2006-1A-A1 | | | 0.48% | #^ | | | 07/21/2020 | | | | 917,275 | |
| |
| | | | Brookside Mill Ltd., | |
| | 17,000,000 | | | Series 2013-1A-C1 | | | 2.93% | #^ | | | 04/17/2025 | | | | 16,663,092 | |
| |
| | | | Canyon Capital Ltd., | |
| | 9,500,000 | | | Series 2012-1A-B1 | | | 2.18% | #^ | | | 01/15/2024 | | | | 9,270,175 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 17,000,000 | | | Series 2014-3A-B | | | 3.38% | #^ | | | 07/27/2026 | | | | 16,982,810 | |
| | 2,500,000 | | | Series 2014-3A-C2 | | | 4.43% | #^ | | | 07/27/2026 | | | | 2,491,604 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 1,750,000 | | | Series 2006-8A-B | | | 0.61% | #^ | | | 05/21/2021 | | | | 1,688,092 | |
| |
| | | | Cent Ltd., | |
| | 3,000,000 | | | Series 2005-10A-D | | | 1.98% | #^ | | | 12/15/2017 | | | | 2,912,664 | |
| | 15,067,373 | | | Series 2006-11A-A1 | | | 0.49% | #^ | | | 04/25/2019 | | | | 14,890,383 | |
| | 1,735,930 | | | Series 2007-14A-A1 | | | 0.47% | #^ | | | 04/15/2021 | | | | 1,697,336 | |
| | 14,637,311 | | | Series 2007-14A-A2A | | | 0.46% | #^ | | | 04/15/2021 | | | | 14,384,532 | |
| | 6,250,000 | | | Series 2014-22A-B | | | 3.43% | #^ | | | 11/07/2026 | | | | 6,250,000 | |
| | 7,250,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 6,917,950 | |
| |
| | | | Chatham Light Ltd., | |
| | 2,250,366 | | | Series 2005-2A-A1 | | | 0.49% | #^ | | | 08/03/2019 | | | | 2,249,008 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Covenant Credit Partners Ltd., | |
| $ | 5,000,000 | | | Series 2014-1A-A | | | 1.71% | #^ | | | 07/20/2026 | | | | 4,983,559 | |
| |
| | | | Crown Point Ltd., | |
| | 10,500,000 | | | Series 2012-1A-A1LB | | | 1.73% | #^ | | | 11/21/2022 | | | | 10,492,557 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 5,000,000 | | | Series 2006-11A-C1 | | | 1.83% | #^ | | | 04/12/2020 | | | | 4,851,952 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 4,000,000 | | | Series 2012-24A-D | | | 4.98% | #^ | | | 11/15/2023 | | | | 4,009,129 | |
| | 10,000,000 | | | Series 2012-25A-B1 | | | 2.48% | #^ | | | 01/15/2025 | | | | 10,007,449 | |
| |
| | | | Flatiron Ltd., | |
| | 18,100,000 | | | Series 2013-1A-A1 | | | 1.63% | #^ | | | 01/17/2026 | | | | 18,074,326 | |
| | 3,000,000 | | | Series 2014-1A-B | | | 3.09% | #^ | | | 07/17/2026 | | | | 2,960,904 | |
| | 6,750,000 | | | Series 2014-1A-C | | | 3.54% | #^ | | | 07/17/2026 | | | | 6,372,704 | |
| |
| | | | Fortress Credit Ltd., | |
| | 10,000,000 | | | Series 2013-1A-A | | | 1.41% | #^ | | | 01/19/2025 | | | | 9,748,581 | |
| | 10,000,000 | | | Series 2013-1A-B | | | 2.13% | #^ | | | 01/19/2025 | | | | 9,724,906 | |
| |
| | | | Galaxy Ltd., | |
| | 2,000,000 | | | Series 2006-6X-B | | | 0.63% | # | | | 06/13/2018 | | | | 1,990,621 | |
| | 2,000,000 | | | Series 2013-15A-A | | | 1.48% | #^ | | | 04/15/2025 | | | | 1,986,081 | |
| | 13,000,000 | | | Series 2013-15A-B | | | 2.08% | #^ | | | 04/15/2025 | | | | 12,744,750 | |
| | 13,100,000 | | | Series 2013-15A-C | | | 2.83% | #^ | | | 04/15/2025 | | | | 12,784,539 | |
| | 6,125,000 | | | Series 2013-15A-D | | | 3.63% | #^ | | | 04/15/2025 | | | | 5,853,420 | |
| |
| | | | GLG Ore Hill Ltd., | |
| | 37,000,000 | | | Series 2013-1A-A | | | 1.35% | #^ | | | 07/15/2025 | | | | 36,400,286 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 6,500,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 6,074,180 | |
| | 1,750,000 | | | Series 2014-2A-D | | | 5.23% | #^ | | | 04/28/2025 | | | | 1,588,986 | |
| | 5,000,000 | | | Series 2014-3A-D | | | 3.88% | #^ | | | 10/22/2025 | | | | 4,695,000 | |
| |
| | | | ICE Global Credit Ltd., | |
| | 30,000,000 | | | Series 2013-1A-A1 | | | 1.98% | #^ | | | 04/20/2024 | | | | 29,706,000 | |
| | 25,000,000 | | | Series 2013-1A-B2 | | | 2.78% | #^ | | | 04/20/2024 | | | | 23,897,500 | |
| |
| | | | ING Ltd., | |
| | 22,691,224 | | | Series 2007-5A-A1A | | | 0.47% | #^ | | | 05/01/2022 | | | | 22,540,620 | |
| | 4,250,000 | | | Series 2013-3A-B | | | 2.93% | #^ | | | 01/18/2026 | | | | 4,162,608 | |
| |
| | | | Jamestown Ltd., | |
| | 50,000,000 | | | Series 2013-3A-A1A | | | 1.68% | #^ | | | 01/15/2026 | | | | 49,817,063 | |
| | 15,000,000 | | | Series 2014-4A-A1A | | | 1.73% | #^ | | | 07/15/2026 | | | | 14,989,585 | |
| |
| | | | Kingsland Ltd., | |
| | 500,000 | | | Series 2005-1A-C2 | | | 6.13% | ^ | | | 06/13/2019 | | | | 502,538 | |
| |
| | | | KKR Financial Corporation, | |
| | 1,833,790 | | | Series 2006-1A-A1 | | | 0.51% | #^ | | | 08/25/2018 | | | | 1,832,091 | |
| |
| | | | KVK Ltd., | |
| | 20,000,000 | | | Series 2013-1A-A | | | 1.63% | #^ | | | 04/14/2025 | | | | 19,926,464 | |
| |
| | | | LCM LP, | |
| | 3,650,000 | | | Series 11A-D2 | | | 4.18% | #^ | | | 04/19/2022 | | | | 3,658,231 | |
| | 20,000,000 | | | Series 12A-A | | | 1.70% | #^ | | | 10/19/2022 | | | | 20,004,996 | |
| | 12,600,000 | | | Series 13A-C | | | 3.13% | #^ | | | 01/19/2023 | | | | 12,579,231 | |
| | 7,825,000 | | | Series 14A-D | | | 3.73% | #^ | | | 07/15/2025 | | | | 7,487,479 | |
| | 21,000,000 | | | Series 16A-A | | | 1.76% | #^ | | | 07/15/2026 | | | | 21,051,931 | |
| | 2,750,000 | | | Series 16A-D | | | 3.86% | #^ | | | 07/15/2026 | | | | 2,634,373 | |
| |
| | | | Limerock Ltd., | |
| | 7,000,000 | | | Series 2014-2A-A | | | 1.73% | #^ | | | 04/18/2026 | | | | 6,998,988 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 1,000,000 | | | Series 2012-9X-C1 | | | 3.83% | # | | | 08/15/2022 | | | | 1,001,223 | |
| | 3,000,000 | | | Series 2014-14A-C1 | | | 3.33% | #^ | | | 07/20/2026 | | | | 2,993,298 | |
| |
| | | | Marathon Ltd., | |
| | 4,000,000 | | | Series 2012-6A-A | | | 1.73% | #^ | | | 09/15/2023 | | | | 4,001,980 | |
| | 17,000,000 | | | Series 2013-5A-A2A | | | 2.58% | #^ | | | 02/21/2025 | | | | 16,871,797 | |
| |
| | | | Marea Ltd., | |
| | 2,000,000 | | | Series 2012-1A-D | | | 4.78% | #^ | | | 10/16/2023 | | | | 2,003,965 | |
| |
| | | | Mountain Capital Ltd., | |
| | 2,778,938 | | | Series 2007-6A-A | | | 0.47% | #^ | | | 04/25/2019 | | | | 2,756,888 | |
| |
| | | | Nautique Funding Ltd., | |
| | 2,000,000 | | | Series 2006-1A-C | | | 1.93% | #^ | | | 04/15/2020 | | | | 1,922,781 | |
| | | | | | |
| 16 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | NOB Hill Ltd., | |
| $ | 902,520 | | | Series 2006-1X-A1 | | | 0.48% | # | | | 08/15/2018 | | | | 902,177 | |
| |
| | | | Nomad Ltd., | |
| | 9,000,000 | | | Series 2013-1A-B | | | 3.18% | #^ | | | 01/15/2025 | | | | 8,818,045 | |
| | 3,500,000 | | | Series 2013-1A-C | | | 3.73% | #^ | | | 01/15/2025 | | | | 3,339,204 | |
| |
| | | | Northwoods Capital Corporation, | |
| | 30,000,000 | | | Series 2012-9A-A | | | 1.65% | #^ | | | 01/18/2024 | | | | 29,966,923 | |
| | 16,660,000 | | | Series 2013-10-A1 | | | 1.64% | #^ | | | 11/04/2025 | | | | 16,560,238 | |
| |
| | | | Oak Hill Credit Partners, | |
| | 29,000,000 | | | Series 2012-7A-A | | | 1.65% | #^ | | | 11/20/2023 | | | | 28,961,605 | |
| | 18,000,000 | | | Series 2012-7A-B1 | | | 2.48% | #^ | | | 11/20/2023 | | | | 18,022,248 | |
| |
| | | | OCP Ltd., | |
| | 9,000,000 | | | Series 2012-2A-A2 | | | 1.71% | #^ | | | 11/22/2023 | | | | 9,004,268 | |
| | 2,024,348 | | | Series 2012-2A-X2 | | | 1.71% | #^ | | | 11/22/2023 | | | | 2,027,541 | |
| | 10,000,000 | | | Series 2013-3A-B | | | 2.98% | #^ | | | 01/17/2025 | | | | 9,780,121 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 13,500,000 | | | Series 2014-1A-B | | | 3.43% | #^ | | | 11/14/2026 | | | | 13,500,000 | |
| | 5,500,000 | | | Series 2014-1A-C | | | 3.88% | #^ | | | 11/14/2026 | | | | 5,266,580 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 10,000,000 | | | Series 2011-1AR-DR | | | 3.28% | #^ | | | 04/20/2021 | | | | 10,008,401 | |
| |
| | | | OZLM Funding Ltd., | |
| | 9,000,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 9,001,465 | |
| |
| | | | OZLM Ltd., | |
| | 6,700,000 | | | Series 2014-6A-A1 | | | 1.73% | #^ | | | 04/17/2026 | | | | 6,700,477 | |
| |
| | | | Race Point Ltd., | |
| | 25,000,000 | | | Series 2012-7A-A | | | 1.64% | #^ | | | 11/08/2024 | | | | 24,958,275 | |
| | 24,000,000 | | | Series 2012-7A-B | | | 2.47% | #^ | | | 11/08/2024 | | | | 23,970,732 | |
| | 5,500,000 | | | Series 2013-8A-B | | | 2.13% | #^ | | | 02/20/2025 | | | | 5,402,178 | |
| |
| | | | Saturn Ltd., | |
| | 3,200,000 | | | Series 2007-1A-D | | | 4.23% | #^ | | | 05/13/2022 | | | | 2,980,987 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 25,000,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 10/30/2026 | | | | 24,850,000 | |
| |
| | | | Steele Creek Ltd., | |
| | 22,000,000 | | | Series 2014-1A-A1 | | | 1.83% | #^ | | | 08/21/2026 | | | | 21,999,388 | |
| |
| | | | Symphony Ltd., | |
| | 25,000,000 | | | Series 2013-11A-B1 | | | 2.43% | #^ | | | 01/17/2025 | | | | 24,983,011 | |
| |
| | | | Thacher Park Ltd., | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.28% | #^ | | | 10/20/2026 | | | | 2,000,000 | |
| | 4,500,000 | | | Series 2014-1A-D1 | | | 3.76% | #^ | | | 10/20/2026 | | | | 4,306,500 | |
| |
| | | | Venture Ltd., | |
| | 17,000,000 | | | Series 2014-17A-A | | | 1.76% | #^ | | | 07/15/2026 | | | | 16,968,283 | |
| | 3,250,000 | | | Series 2014-17A-B2 | | | 2.38% | #^ | | | 07/15/2026 | | | | 3,187,410 | |
| |
| | | | Washington Mill Ltd., | |
| | 20,000,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 04/20/2026 | | | | 19,976,984 | |
| | 5,000,000 | | | Series 2014-1A-B1 | | | 2.28% | #^ | | | 04/20/2026 | | | | 4,888,480 | |
| | 4,750,000 | | | Series 2014-1A-C | | | 3.23% | #^ | | | 04/20/2026 | | | | 4,732,468 | |
| |
| | | | Westwood Ltd., | |
| | 13,943,376 | | | Series 2006-1X-A1 | | | 0.47% | # | | | 03/25/2021 | | | | 13,797,999 | |
| | 25,838,551 | | | Series 2007-2A-A1 | | | 0.45% | #^ | | | 04/25/2022 | | | | 25,602,962 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,000,000 | | | Series 2006-1A-B1L | | | 2.09% | #^ | | | 05/01/2018 | | | | 1,991,870 | |
| | 50,000,000 | | | Series 2012-1A-A1L | | | 1.64% | #^ | | | 02/03/2025 | | | | 49,922,170 | |
| |
| | | | Wind River Ltd., | |
| | 59,000,000 | | | Series 2012-1A-A | | | 1.63% | #^ | | | 01/15/2024 | | | | 58,871,444 | |
| | 18,000,000 | | | Series 2012-1A-B1 | | | 2.33% | #^ | | | 01/15/2024 | | | | 17,641,244 | |
| | 13,750,000 | | | Series 2012-1A-C1 | | | 3.28% | #^ | | | 01/15/2024 | | | | 13,655,787 | |
| |
| | | | Zais Ltd., | |
| | 30,000,000 | | | Series 2014-2A-A1A | | | 1.73% | #^ | | | 07/25/2026 | | | | 29,844,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $1,435,313,075) | | | | 1,432,372,279 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 5.8% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| $ | 8,350,000 | | | Series 2014-IP-E | | | 2.81% | #^ | | | 06/15/2028 | | | | 8,244,544 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 2,096,000 | | | Series 2005-3-AM | | | 4.73% | | | | 07/10/2043 | | | | 2,137,607 | |
| | 19,741,000 | | | Series 2006-4-AM | | | 5.68% | | | | 07/10/2046 | | | | 21,276,751 | |
| | 18,915,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 19,911,064 | |
| | 11,700,000 | | | Series 2007-2-AM | | | 5.79% | # | | | 04/10/2049 | | | | 12,780,501 | |
| | 59,298,515 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 63,589,000 | |
| | 250,429,814 | | | Series 2007-5-XW | | | 0.30% | #^ I/O | | | 02/10/2051 | | | | 2,377,831 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 392,469 | | | Series 2004-PWR4-A3 | | | 5.47% | # | | | 06/11/2041 | | | | 392,451 | |
| | 12,500,000 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 12,726,937 | |
| | 4,848,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 5,024,295 | |
| | 19,225,000 | | | Series 2006-PW14-AM | | | 5.24% | | | | 12/11/2038 | | | | 20,682,428 | |
| | 28,000,000 | | | Series 2007-PW16-AM | | | 5.71% | # | | | 06/11/2040 | | | | 30,730,504 | |
| | 12,815,000 | | | Series 2007-PW17-AMFL | | | 0.84% | #^ | | | 06/11/2050 | | | | 12,649,129 | |
| | 4,500,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 4,556,198 | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| | 9,500,000 | | | Series 2013-BOCA-E | | | 3.90% | #^ | | | 08/15/2026 | | | | 9,519,931 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 1,476,583 | | | Series 2006-CD2-AAB | | | 5.51% | # | | | 01/15/2046 | | | | 1,485,320 | |
| | 45,625,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 47,965,927 | |
| | 93,640,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 98,349,858 | |
| | 1,984,989 | | | Series 2007-CD4-ASB | | | 5.28% | | | | 12/11/2049 | | | | 2,006,480 | |
| | 452,790,271 | | | Series 2007-CD5-XP | | | 0.30% | #^ I/O | | | 11/15/2044 | | | | 114,103 | |
| |
| | | | CGBAM Commercial Mortgage Trust, | |
| | 20,000,000 | | | Series 2013-BREH-E | | | 4.50% | #^ | | | 05/15/2030 | | | | 20,055,620 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 14,503,000 | | | Series 2005-C3-AM | | | 4.83% | # | | | 05/15/2043 | | | | 14,757,948 | |
| | 14,140,000 | | | Series 2007-C6-AM | | | 5.71% | # | | | 12/10/2049 | | | | 15,366,334 | |
| | 11,250,000 | | | Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 12,414,932 | |
| | 299,838,868 | | | Series 2012-GC8-XA | | | 2.22% | #^ I/O | | | 09/10/2045 | | | | 31,408,271 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 17,400,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 17,777,093 | |
| | 22,750,000 | | | Series 2007-C2-AMFX | | | 5.53% | # | | | 04/15/2047 | | | | 24,706,966 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 94,105,916 | | | Series 2002-LC4-XA | | | 2.47% | #^ I/O | | | 12/10/2044 | | | | 11,546,561 | |
| | 4,700,000 | | | Series 2006-C8-AM | | | 5.35% | | | | 12/10/2046 | | | | 5,072,968 | |
| | 8,494,191 | | | Series 2007-C9-AJFL | | | 0.84% | #^ | | | 12/10/2049 | | | | 8,097,916 | |
| | 39,726,590 | | | Series 2012-CR2-XA | | | 2.08% | # I/O | | | 08/15/2045 | | | | 4,078,650 | |
| | 186,851,342 | | | Series 2012-CR3-XA | | | 2.34% | # I/O | | | 10/15/2045 | | | | 21,666,254 | |
| | 16,764,730 | | | Series 2012-MVP-A | | | 2.09% | #^ | | | 11/17/2026 | | | | 16,835,167 | |
| | 3,500,000 | | | Series 2012-MVP-B | | | 1.75% | #^ | | | 11/17/2026 | | | | 3,506,559 | |
| | 3,200,000 | | | Series 2012-MVP-C | | | 2.30% | #^ | | | 11/17/2026 | | | | 3,207,502 | |
| | 84,444,565 | | | Series 2012-MVP-XACP | | | 1.96% | #^ I/O | | | 12/17/2014 | | | | 344,872 | |
| | 70,506,326 | | | Series 2012-MVP-XBCP | | | 1.58% | #^ I/O | | | 12/17/2014 | | | | 232,671 | |
| | 3,835,376 | | | Series 2013-FL3-RRI2 | | | 4.40% | #^ | | | 10/13/2028 | | | | 3,838,170 | |
| | 3,550,000 | | | Series 2014-CR15-D | | | 4.77% | #^ | | | 02/10/2047 | | | | 3,408,935 | |
| | 9,850,000 | | | Series 2014-CR19-C | | | 4.72% | # | | | 08/10/2047 | | | | 10,067,719 | |
| | 4,400,000 | | | Series 2014-KY0-E | | | 2.50% | #^ | | | 06/11/2027 | | | | 4,407,359 | |
| | 3,850,000 | | | Series 2014-KY0-F | | | 3.65% | #^ | | | 06/11/2027 | | | | 3,846,912 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 2,120,105 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 2,189,685 | |
| | 208,593 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 208,837 | |
| | 7,675,000 | | | Series 2005-C6-AM | | | 5.23% | # | | | 12/15/2040 | | | | 7,989,399 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 4,750,000 | | | Series 2006-C3-AJ | | | 6.00% | # | | | 06/15/2038 | | | | 4,868,332 | |
| | 2,385,663 | | | Series 2006-C3-AM | | | 6.00% | # | | | 06/15/2038 | | | | 2,551,607 | |
| | 6,500,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 6,965,940 | |
| | 51,221,320 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 54,939,655 | |
| | 5,164,000 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 5,598,016 | |
| | 28,850,000 | | | Series 2007-C4-A1AM | | | 6.10% | # | | | 09/15/2039 | | | | 31,331,879 | |
| | 3,874,709 | | | Series 2007-TFLA-G | | | 0.52% | #^ | | | 02/15/2022 | | | | 3,878,868 | |
| | 16,900,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 17,957,610 | |
| | 8,800,000 | | | Series 2010-RR1-1B | | | 5.69% | #^ | | | 04/16/2049 | | | | 9,308,046 | |
| | 5,150,000 | | | Series 2010-RR2-3B | | | 5.34% | #^ | | | 12/15/2043 | | | | 5,509,192 | |
| | 10,000,000 | | | Series 2010-RR5-2B | | | 5.34% | #^ | | | 12/16/2043 | | | | 10,697,460 | |
| | 150,822,000 | | | Series 2014-USA-X1 | | | 0.55% | #^ I/O | | | 09/15/2037 | | | | 7,405,375 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 17 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | DBRR Trust, | |
| $ | 14,554,963 | | | Series 2011-C32-A3B | | | 5.93% | #^ | | | 06/17/2049 | | | | 15,512,010 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 198,056,525 | | | Series 2011-LC2A-XA | | | 1.42% | #^ I/O | | | 07/10/2044 | | | | 9,636,242 | |
| |
| | | | Del Coronado Trust, | |
| | 8,000,000 | | | Series 2013-HDC-D | | | 2.10% | #^ | | | 03/15/2026 | | | | 7,983,660 | |
| | 9,550,000 | | | Series 2013-HDC-E | | | 2.80% | #^ | | | 03/15/2026 | | | | 9,503,119 | |
| | 5,500,000 | | | Series 2013-HDMZ-M | | | 5.15% | #^ | | | 03/15/2018 | | | | 5,542,906 | |
| |
| | | | Extended Stay America Trust, | |
| | 3,500,000 | | | Series 2013-ESFL-DFL | | | 3.30% | #^ | | | 12/05/2031 | | | | 3,507,037 | |
| | 8,000,000 | | | Series 2013-ESH5-A15 | | | 1.28% | ^ | | | 12/05/2031 | | | | 7,941,023 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 11,781,000 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 12,005,752 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 20,540,000 | | | Series 2005-GG5-AM | | | 5.28% | # | | | 04/10/2037 | | | | 21,304,879 | |
| | 15,265,000 | | | Series 2006-GG7-AJ | | | 5.82% | # | | | 07/10/2038 | | | | 15,890,117 | |
| | 7,000,000 | | | Series 2006-GG7-AM | | | 5.82% | # | | | 07/10/2038 | | | | 7,482,835 | |
| | 23,350,000 | | | Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 24,413,476 | |
| | 8,350,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 9,129,978 | |
| | 53,944,500 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 57,144,973 | |
| | 21,460,000 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 22,910,374 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 12,100,000 | | | Series 2006-GG6-AJ | | | 5.52% | # | | | 04/10/2038 | | | | 12,501,018 | |
| | 9,055,000 | | | Series 2006-GG6-AM | | | 5.55% | # | | | 04/10/2038 | | | | 9,512,527 | |
| | 145,703,180 | | | Series 2006-GG6-XC | | | 0.00% | #^ I/O | | | 04/10/2038 | | | | 73,143 | |
| | 63,064,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 64,828,846 | |
| | 25,000,000 | | | Series 2006-GG8-AM | | | 5.59% | | | | 11/10/2039 | | | | 26,924,100 | |
| | 31,945,201 | | | Series 2011-GC3-X | | | 0.97% | #^ I/O | | | 03/10/2044 | | | | 1,003,271 | |
| | 114,020,532 | | | Series 2012-GC6-XA | | | 2.13% | #^ I/O | | | 01/10/2045 | | | | 12,612,780 | |
| | 2,242,992 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 2,252,667 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 368,703 | | | Series 2001-CIB2-C | | | 6.74% | # | | | 04/15/2035 | | | | 370,030 | |
| | 11,480,945 | | | Series 2004-CBX-X1 | | | 0.61% | #^ I/O | | | 01/12/2037 | | | | 46,762 | |
| | 515,487 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 519,211 | |
| | 4,260,000 | | | Series 2004-LN2-D | | | 5.30% | # | | | 07/15/2041 | | | | 3,949,693 | |
| | 20,580,000 | | | Series 2005-CIBC12-AJ | | | 4.99% | # | | | 09/12/2037 | | | | 21,084,848 | |
| | 85,173,717 | | | Series 2005-LDP4-X1 | | | 0.25% | #^ I/O | | | 10/15/2042 | | | | 172,647 | |
| | 9,704,000 | | | Series 2006-LDP7-AM | | | 5.86% | # | | | 04/15/2045 | | | | 10,420,888 | |
| | 129,259,698 | | | Series 2006-LDP8-X | | | 0.54% | # I/O | | | 05/15/2045 | | | | 1,152,609 | |
| | 25,869,685 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 26,942,216 | |
| | 5,891,280 | | | Series 2007-C1-ASB | | | 5.86% | | | | 02/15/2051 | | | | 6,226,235 | |
| | 24,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 25,870,284 | |
| | 165,200,028 | | | Series 2007-CB18-X | | | 0.26% | # I/O | | | 06/12/2047 | | | | 993,017 | |
| | 18,000,000 | | | Series 2007-CB20-AM | | | 5.88% | # | | | 02/12/2051 | | | | 20,007,495 | |
| | 1,109,980,872 | | | Series 2007-CB20-X1 | | | 0.31% | #^ I/O | | | 02/12/2051 | | | | 9,564,705 | |
| | 22,100,000 | | | Series 2007-CIBC19-AM | | | 5.70% | # | | | 02/12/2049 | | | | 23,751,710 | |
| | 34,390,000 | | | Series 2007-LD12-AM | | | 6.00% | # | | | 02/15/2051 | | | | 37,927,166 | |
| | 11,336,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 11,943,145 | |
| | 4,044,738 | | | Series 2011-CCHP-B | | | 3.50% | #^ | | | 07/15/2028 | | | | 4,048,546 | |
| | 2,377,340 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2044 | | | | 2,412,071 | |
| | 222,114,512 | | | Series 2012-C6-XA | | | 2.11% | # I/O | | | 05/15/2045 | | | | 20,699,185 | |
| | 472,015,620 | | | Series 2012-C8-XA | | | 2.29% | # I/O | | | 10/15/2045 | | | | 49,786,792 | |
| | 164,528,893 | | | Series 2012-CBX-XA | | | 1.93% | # I/O | | | 06/15/2045 | | | | 13,565,160 | |
| | 20,000,000 | | | Series 2013-ALC-A | | | 1.65% | #^ | | | 07/17/2026 | | | | 20,046,330 | |
| | 7,760,714 | | | Series 2013-FL3-A1 | | | 0.95% | #^ | | | 04/15/2028 | | | | 7,761,960 | |
| | 3,267,671 | | | Series 2013-FL3-A2 | | | 0.85% | #^ | | | 04/15/2028 | | | | 3,266,863 | |
| | 5,425,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 5,554,544 | |
| | 6,725,000 | | | Series 2014-INN-C | | | 1.85% | #^ | | | 06/15/2029 | | | | 6,719,489 | |
| | 7,250,000 | | | Series 2014-INN-D | | | 2.50% | #^ | | | 06/15/2029 | | | | 7,229,055 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 3,396,000 | | | Series 2014-C21-C | | | 4.82% | # | | | 08/15/2047 | | | | 3,457,831 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 7,550,000 | | | Series 2007-C3-AMFL | | | 6.10% | #^ | | | 07/15/2044 | | | | 8,367,159 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 212,543 | | | Series 2004-C7-B | | | 4.84% | # | | | 10/15/2036 | | | | 212,817 | |
| | 4,150,000 | | | Series 2005-C3-AM | | | 4.79% | | | | 07/15/2040 | | | | 4,232,753 | |
| | 20,600,000 | | | Series 2005-C7-AJ | | | 5.32% | # | | | 11/15/2040 | | | | 21,355,175 | |
| | 156,783,905 | | | Series 2006-C7-XCL | | | 0.85% | #^ I/O | | | 11/15/2038 | | | | 1,908,374 | |
| | 51,550,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 53,370,849 | |
| | 38,308,952 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 41,381,330 | |
| | 48,739,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 51,903,721 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| $ | 156,771,464 | | | Series 1998-C1-IO | | | 0.66% | # I/O | | | 11/15/2026 | | | | 2,812,480 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 9,912,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 10,107,767 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 852,133 | | | Series 2006-4-A2FL | | | 0.27% | # | | | 12/12/2049 | | | | 852,012 | |
| | 42,850,000 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 45,174,955 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 1,175,000 | | | Series 2014-C14-D | | | 5.00% | #^ | | | 02/15/2047 | | | | 1,118,390 | |
| | 11,700,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 11,533,604 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 311,483,343 | | | Series 2006-HQ10-X1 | | | 0.51% | #^ I/O | | | 11/12/2041 | | | | 2,893,369 | |
| | 10,650,000 | | | Series 2006-HQ8-AJ | | | 5.49% | # | | | 03/12/2044 | | | | 11,044,929 | |
| | 20,811,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 21,847,502 | |
| | 4,273,021 | | | Series 2007-HQ12-A2FL | | | 0.40% | # | | | 04/12/2049 | | | | 4,257,189 | |
| | 8,546,042 | | | Series 2007-HQ12-A2FX | | | 5.59% | # | | | 04/12/2049 | | | | 8,666,246 | |
| | 4,372,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 4,713,611 | |
| | 13,400,748 | | | Series 2007-XLF9-J | | | 2.25% | #^ | | | 12/15/2020 | | | | 13,350,649 | |
| | 5,349,434 | | | Series 2008-T29-AAB | | | 6.28% | # | | | 01/11/2043 | | | | 5,473,343 | |
| | 2,575,000 | | | Series 2014-CPT-E | | | 3.45% | #^ | | | 07/13/2029 | | | | 2,544,687 | |
| | 2,325,000 | | | Series 2014-CPT-F | | | 3.45% | #^ | | | 07/13/2029 | | | | 2,206,660 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 48,500,000 | | | Series 2013-AJ-AJA | | | 0.50% | ^ | | | 12/17/2049 | | | | 43,790,650 | |
| |
| | | | Multi Security Asset Trust, | |
| | 1,069,390 | | | Series 2005-RR4A-A3 | | | 5.00% | ^ | | | 11/28/2035 | | | | 1,090,778 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 16,746,000 | | | Series 2007-C4-AJ | | | 5.57% | # | | | 08/15/2039 | | | | 17,443,839 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 106,267,252 | | | Series 2012-C3-XA | | | 2.14% | #^ I/O | | | 08/10/2049 | | | | 12,203,784 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 5,840,000 | | | Series 2005-C22-AM | | | 5.50% | # | | | 12/15/2044 | | | | 6,093,401 | |
| | 46,710,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 47,863,947 | |
| | 19,500,000 | | | Series 2006-C28-AM | | | 5.60% | # | | | 10/15/2048 | | | | 20,999,745 | |
| | 10,000,000 | | | Series 2007-30-AMFL | | | 0.35% | #^ | | | 12/15/2043 | | | | 9,723,135 | |
| | 31,858,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 32,895,073 | |
| | 9,680,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 10,371,162 | |
| | 20,516,700 | | | Series 2007-C33-AJ | | | 6.14% | # | | | 02/15/2051 | | | | 21,462,684 | |
| | 9,250,000 | | | Series 2007-C33-AM | | | 6.14% | # | | | 02/15/2051 | | | | 10,117,021 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 85,954,679 | | | Series 2011-C4-XA | | | 0.89% | #^ I/O | | | 06/15/2044 | | | | 2,179,123 | |
| | 115,627,798 | | | Series 2012-C6-XA | | | 2.61% | #^ I/O | | | 04/15/2045 | | | | 12,968,236 | |
| | 135,611,537 | | | Series 2012-C8-XA | | | 2.37% | #^ I/O | | | 08/15/2045 | | | | 14,518,842 | |
| | 53,507,811 | | | Series 2012-C9-XA | | | 2.38% | #^ I/O | | | 11/15/2045 | | | | 6,187,108 | |
| | 101,791,014 | | | Series 2014-C19-XA | | | 1.49% | # I/O | | | 03/15/2047 | | | | 8,218,759 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $2,108,731,954) | | | | 2,099,130,217 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 26.4% |
|
| |
| | | | ACE Securities Corporation, | |
| | 16,377,748 | | | Series 2006-HE1-A2C | | | 0.34% | # | | | 02/25/2036 | | | | 16,139,394 | |
| | 1,139,762 | | | Series 2006-NC1-A2C | | | 0.35% | # | | | 12/25/2035 | | | | 1,139,217 | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 11,832,150 | | | Series 2005-10-3A31 | | | 5.40% | # | | | 01/25/2036 | | | | 10,984,353 | |
| | 6,200,000 | | | Series 2005-2-6M2 | | | 1.13% | # | | | 06/25/2035 | | | | 5,453,787 | |
| | 7,117,318 | | | Series 2005-7-3A1 | | | 3.01% | # | | | 10/25/2035 | | | | 6,396,946 | |
| | 36,921,867 | | | Series 2006-1-2A1 | | | 3.02% | # | | | 03/25/2036 | | | | 28,662,298 | |
| | 32,300,075 | | | Series 2006-2-3A1 | | | 2.95% | # | | | 05/25/2036 | | | | 29,210,088 | |
| | 28,212,445 | | | Series 2007-1-3A1 | | | 3.16% | # | | | 03/25/2037 | | | | 23,950,955 | |
| | 4,273,922 | | | Series 2007-3-1A1 | | | 3.76% | #^ | | | 11/25/2037 | | | | 3,574,170 | |
| |
| | | | Aegis Asset Backed Securities Trust, | |
| | 465,979 | | | Series 2003-2-M2 | | | 2.70% | # | | | 11/25/2033 | | | | 448,800 | |
| | 2,319,190 | | | Series 2004-1-M2 | | | 2.18% | # | | | 04/25/2034 | | | | 2,053,798 | |
| | 638,748 | | | Series 2004-2-M2 | | | 2.10% | # | | | 06/25/2034 | | | | 428,251 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 12,000,000 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 12,358,794 | |
| | 12,000,000 | | | Series 2010-1-A4 | | | 5.65% | #^ | | | 03/25/2058 | | | | 12,515,622 | |
| | | | | | |
| 18 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | American Home Mortgage Investment Trust, | |
| $ | 4,533,679 | | | Series 2005-1-7A2 | | | 2.33% | # | | | 06/25/2045 | | | | 4,357,944 | |
| | 12,475,209 | | | Series 2005-4-3A1 | | | 0.45% | # | | | 11/25/2045 | | | | 10,122,472 | |
| | 2,624,731 | | | Series 2006-2-3A4 | | | 6.60% | # | | | 06/25/2036 | | | | 1,551,329 | |
| | 10,276,946 | | | Series 2007-A-13A1 | | | 6.10% | #^ | | | 01/25/2037 | | | | 5,678,907 | |
| |
| | | | Amortizing Residential Collateral Trust, | |
| | 15,318,837 | | | Series 2002-BC7-M1 | | | 1.35% | # | | | 10/25/2032 | | | | 11,668,618 | |
| |
| | | | Argent Securities, Inc., | |
| | 381,830 | | | Series 2004-W6-M1 | | | 0.98% | # | | | 05/25/2034 | | | | 373,349 | |
| |
| | | | Asset Backed Securities Corporation Home Equity Loan Trust, | |
| | 5,815,740 | | | Series 2003-HE6-M1 | | | 1.13% | # | | | 11/25/2033 | | | | 5,614,568 | |
| | 1,020,085 | | | Series 2004-HE3-M2 | | | 1.83% | # | | | 06/25/2034 | | | | 885,135 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 5,434,398 | | | Series 2005-10-4A1 | | | 5.75% | | | | 11/25/2035 | | | | 5,116,980 | |
| | 5,580,092 | | | Series 2005-5-2CB1 | | | 6.00% | | | | 06/25/2035 | | | | 5,314,362 | |
| | 9,690,007 | | | Series 2005-6-2CB2 | | | 6.00% | | | | 07/25/2035 | | | | 9,157,241 | |
| | 4,806,733 | | | Series 2005-6-4CB1 | | | 6.50% | | | | 07/25/2035 | | | | 4,348,997 | |
| | 3,275,953 | | | Series 2005-8-2CB1 | | | 6.00% | | | | 09/25/2035 | | | | 3,071,219 | |
| | 2,942,900 | | | Series 2006-5-CB14 | | | 6.00% | # | | | 06/25/2046 | | | | 2,523,431 | |
| | 5,770,304 | | | Series 2006-6-CB3 | | | 6.00% | | | | 07/25/2046 | | | | 4,818,573 | |
| | 19,279,573 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 13,264,809 | |
| | 8,822,924 | | | Series 2006-8-1A1 | | | 6.35% | # I/F I/O | | | 11/25/2036 | | | | 1,643,508 | |
| | 3,144,438 | | | Series 2006-8-1A2 | | | 0.60% | # | | | 11/25/2036 | | | | 1,880,626 | |
| | 14,807,044 | | | Series 2006-9-1CB1 | | | 6.00% | | | | 01/25/2037 | | | | 11,682,210 | |
| | 2,431,548 | | | Series 2007-2-2A1 | | | 6.00% | | | | 06/25/2037 | | | | 1,958,267 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 17,745,058 | | | Series 2006-2-3A1 | | | 6.00% | | | | 03/25/2036 | | | | 17,959,560 | |
| | 523,060 | | | Series 2006-2-4A1 | | | 22.34% | # I/F | | | 03/25/2036 | | | | 745,366 | |
| | 2,528,264 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 2,584,027 | |
| | 14,777,520 | | | Series 2006-3-1A1 | | | 6.00% | | | | 03/25/2036 | | | | 13,982,416 | |
| | 2,516,614 | | | Series 2006-3-6A1 | | | 6.30% | # | | | 03/25/2036 | | | | 2,577,397 | |
| | 14,696,044 | | | Series 2006-6-1A7 | | | 6.25% | | | | 08/25/2036 | | | | 14,586,177 | |
| | 3,399,161 | | | Series 2006-7-T2A5 | | | 6.04% | # | | | 10/25/2036 | | | | 2,878,821 | |
| | 16,021,265 | | | Series 2006-7-T2A8 | | | 5.91% | # | | | 10/25/2036 | | | | 13,461,884 | |
| | 3,283,997 | | | Series 2006-8T2-A8 | | | 6.10% | # | | | 10/25/2036 | | | | 2,721,482 | |
| | 1,750,993 | | | Series 2006-B-7A1 | | | 5.64% | # | | | 03/20/2036 | | | | 1,621,500 | |
| | 17,060,494 | | | Series 2006-D-6A1 | | | 4.89% | # | | | 05/20/2036 | | | | 14,281,305 | |
| | 1,625,245 | | | Series 2006-G-2A1 | | | 0.37% | # | | | 07/20/2036 | | | | 1,516,352 | |
| | 860,345 | | | Series 2006-H-3A1 | | | 2.79% | # | | | 09/20/2046 | | | | 700,574 | |
| | 2,226,860 | | | Series 2007-1-TA10 | | | 5.84% | # | | | 01/25/2037 | | | | 1,820,530 | |
| | 2,976,233 | | | Series 2007-3-TA1B | | | 5.83% | # | | | 04/25/2037 | | | | 2,518,569 | |
| | 4,460,142 | | | Series 2007-5-1A1 | | | 5.50% | | | | 07/25/2037 | | | | 3,840,802 | |
| | 5,599,337 | | | Series 2009-R14-3A | | | 15.79% | #^ I/F | | | 06/26/2035 | | | | 6,828,595 | |
| | 6,107,936 | | | Series 2009-R15A-4A2 | | | 5.75% | ^ | | | 12/26/2036 | | | | 5,593,030 | |
| | 3,129,128 | | | Series 2010-R1-3A | | | 14.04% | #^ I/F | | | 07/26/2036 | | | | 3,203,263 | |
| | 100,285,506 | | | Series 2012-R4-A | | | 0.42% | #^ | | | 03/04/2039 | | | | 98,410,719 | |
| | 35,467,637 | | | Series 2012-R5-A | | | 0.42% | #^ | | | 10/03/2039 | | | | 35,295,161 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 2,052,992 | | | Series 2004-K-4A1 | | | 4.93% | # | | | 12/25/2034 | | | | 2,015,850 | |
| | 8,517,654 | | | Series 2006-1-A9 | | | 6.00% | | | | 05/25/2036 | | | | 7,785,468 | |
| | 1,198,026 | | | Series 2007-1-2A5 | | | 5.75% | | | | 01/25/2037 | | | | 1,149,230 | |
| |
| | | | BCAP LLC Trust, | |
| | 5,892,415 | | | Series 2007-AA2-2A7 | | | 6.00% | | | | 04/25/2037 | | | | 5,119,460 | |
| | 6,379,343 | | | Series 2007-AA2-2A8 | | | 5.75% | | | | 04/25/2037 | | | | 5,463,895 | |
| | 18,000,000 | | | Series 2008-RR3-A1B | | | 6.65% | # | | | 10/25/2036 | | | | 13,753,465 | |
| | 6,752,407 | | | Series 2010-RR10-5A1 | | | 7.35% | #^ | | | 04/27/2037 | | | | 7,417,596 | |
| | 11,980,036 | | | Series 2010-RR12-3A15 | | | 6.81% | #^ | | | 08/26/2037 | | | | 12,866,927 | |
| | 3,350,000 | | | Series 2010-RR5-2A3 | | | 6.10% | #^ | | | 04/26/2037 | | | | 3,374,638 | |
| | 4,299,805 | | | Series 2011-RR12-2A5 | | | 2.20% | #^ | | | 12/26/2036 | | | | 4,301,622 | |
| | 8,883,826 | | | Series 2012-RR1-3A3 | | | 3.50% | #^ | | | 10/26/2035 | | | | 8,987,542 | |
| |
| | | | Bear Stearns Adjustable Rate Mortgage Trust, | |
| | 16,538,049 | | | Series 2005-12-13A1 | | | 5.46% | # | | | 02/25/2036 | | | | 15,657,233 | |
| | 15,732,804 | | | Series 2006-4-4A1 | | | 5.23% | # | | | 10/25/2046 | | | | 14,707,482 | |
| | 14,227,173 | | | Series 2007-1-2A1 | | | 2.78% | # | | | 02/25/2047 | | | | 11,451,010 | |
| |
| | | | Bear Stearns Alt-A Trust, | |
| | 5,705,933 | | | Series 2004-11-2A3 | | | 2.43% | # | | | 11/25/2034 | | | | 5,633,576 | |
| | 21,558,582 | | | Series 2006-6-2A1 | | | 4.41% | # | | | 11/25/2036 | | | | 16,766,045 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 13,149,717 | | | Series 2004-AC4-A2 | | | 6.00% | # | | | 08/25/2034 | | | | 13,679,263 | |
| | 33,829,655 | | | Series 2005-AC2-1A | | | 5.25% | # | | | 04/25/2035 | | | | 33,294,132 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, (Cont.) | |
| $ | 10,727,136 | | | Series 2005-AC2-2A1 | | | 5.25% | # | | | 04/25/2035 | | | | 11,207,299 | |
| | 15,697,457 | | | Series 2005-AC7-A4 | | | 5.50% | # | | | 10/25/2035 | | | | 15,843,145 | |
| | 20,363,857 | | | Series 2006-AC1-1A1 | | | 5.75% | # | | | 02/25/2036 | | | | 17,442,153 | |
| | 2,487,464 | | | Series 2007-SD1-1A2A | | | 6.00% | | | | 10/25/2036 | | | | 2,065,560 | |
| | 1,693,327 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 1,448,984 | |
| | 6,529,637 | | | Series 2007-SD1-23A1 | | | 4.51% | # | | | 10/25/2036 | | | | 5,407,695 | |
| |
| | | | Belle Haven Ltd., | |
| | 1,131,709,881 | | | Series 2006-1A-A1 | | | 0.48% | #^ | | | 07/05/2046 | | | | 85,330,925 | |
| |
| | | | Centex Home Equity, | |
| | 2,750,000 | | | Series 2004-A-AF5 | | | 5.43% | # | | | 01/25/2034 | | | | 2,807,742 | |
| |
| | | | Chase Funding Mortgage Loan Asset-Backed Certificates, | |
| | 2,276,031 | | | Series 2003-4-2M1 | | | 1.05% | # | | | 03/25/2033 | | | | 2,173,643 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 15,320,745 | | | Series 2005-A1-2A4 | | | 2.51% | # | | | 12/25/2035 | | | | 14,234,995 | |
| | 22,125,184 | | | Series 2006-S2-1A9 | | | 6.25% | | | | 10/25/2036 | | | | 19,894,036 | |
| | 12,127,088 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 11/25/2036 | | | | 10,493,012 | |
| | 32,501,343 | | | Series 2006-S4-A8 | | | 6.00% | | | | 12/25/2036 | | | | 28,731,090 | |
| | 16,785,619 | | | Series 2007-A2-6A4 | | | 2.52% | # | | | 07/25/2037 | | | | 15,286,915 | |
| | 6,064,718 | | | Series 2007-S3-1A5 | | | 6.00% | | | | 05/25/2037 | | | | 5,231,802 | |
| | 3,015,320 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 2,898,810 | |
| | 6,511,659 | | | Series 2007-S5-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 5,669,545 | |
| |
| | | | ChaseFlex Trust, | |
| | 631,775 | | | Series 2006-1-A2A | | | 5.10% | # | | | 06/25/2036 | | | | 644,369 | |
| | 4,503,206 | | | Series 2006-1-A5 | | | 5.10% | # | | | 06/25/2036 | | | | 4,512,275 | |
| | 8,693,675 | | | Series 2006-2-A2B | | | 0.36% | # | | | 09/25/2036 | | | | 6,730,374 | |
| | 7,391,392 | | | Series 2007-1-1A1 | | | 6.50% | | | | 02/25/2037 | | | | 5,746,807 | |
| | 17,137,650 | | | Series 2007-M1-2F4 | | | 4.81% | # | | | 08/25/2037 | | | | 13,998,941 | |
| | 17,824,679 | | | Series 2007-M1-2F5 | | | 4.81% | # | | | 08/25/2037 | | | | 14,558,628 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 17,164,043 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 18,259,513 | |
| | 3,584,990 | | | Series 2006-7-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 3,521,947 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 6,594,000 | | | Series 2006-2-A5 | | | 6.04% | # | | | 09/25/2036 | | | | 6,708,376 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 4,531,331 | | | Series 2005-5-2A2 | | | 5.75% | | | | 08/25/2035 | | | | 3,810,151 | |
| | 2,327,299 | | | Series 2005-9-21A1 | | | 5.50% | | | | 11/25/2035 | | | | 2,086,759 | |
| | 6,052,319 | | | Series 2006-FX1-A6 | | | 5.85% | # | | | 10/25/2036 | | | | 5,168,971 | |
| | 3,060,370 | | | Series 2006-WF1-A2D | | | 5.51% | # | | | 03/25/2036 | | | | 2,298,571 | |
| | 17,879,314 | | | Series 2006-WF2-A2D | | | 5.70% | # | | | 05/25/2036 | | | | 12,218,813 | |
| | 13,168,924 | | | Series 2007-10-1A1A | | | 5.69% | # | | | 04/25/2037 | | | | 13,648,063 | |
| | 1,473,463 | | | Series 2007-12-2A1 | | | 6.50% | ^ | | | 10/25/2036 | | | | 1,190,067 | |
| | 1,197,549 | | | Series 2007-2-2A | | | 6.00% | | | | 11/25/2036 | | | | 1,129,108 | |
| | 42,168,926 | | | Series 2007-9-1A1 | | | 5.75% | ^ | | | 04/25/2047 | | | | 35,614,049 | |
| | 2,106,543 | | | Series 2007-9-2A2 | | | 6.50% | ^ | | | 05/25/2037 | | | | 1,721,866 | |
| | 7,560,356 | | | Series 2007-OPX1-A3A | | | 5.97% | # | | | 01/25/2037 | | | | 4,698,345 | |
| | 64,268,434 | | | Series 2007-WFH3-A2 | | | 0.31% | # | | | 06/25/2037 | | | | 60,947,106 | |
| | 20,000,000 | | | Series 2008-AR4-1A1B | | | 2.73% | #^ | | | 11/25/2038 | | | | 18,416,850 | |
| | 1,731,900 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 1,764,566 | |
| | 1,794,216 | | | Series 2010-2-5A1 | | | 5.50% | #^ | | | 12/25/2035 | | | | 1,860,806 | |
| | 189,540,577 | | | Series 2010-8-5A4 | | | 8.00% | #^ | | | 11/25/2036 | | | | 167,480,215 | |
| | 13,295,576 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 13,740,522 | |
| | 151,422,916 | | | Series 2010-8-6A4 | | | 7.18% | #^ | | | 12/25/2036 | | | | 129,681,993 | |
| | 53,424,916 | | | Series 2010-8-76I2 | | | 1.00% | ^ I/O | | | 06/25/2037 | | | | 688,949 | |
| | 135,189,107 | | | Series 2010-8-7A4 | | | 7.18% | #^ | | | 06/25/2037 | | | | 120,640,839 | |
| | 3,218,876 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 3,244,146 | |
| | 5,779,240 | | | Series 2011-12-3A1 | | | 2.58% | #^ | | | 09/25/2047 | | | | 5,780,912 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 8,722,122 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 7,764,537 | |
| | 7,926,501 | | | Series 2006-A3-1A13 | | | 6.00% | | | | 07/25/2036 | | | | 7,166,516 | |
| | 2,650,051 | | | Series 2006-A5-2A1 | | | 5.50% | | | | 10/25/2021 | | | | 2,710,328 | |
| | 7,042,183 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 5,766,464 | |
| | 9,512,443 | | | Series 2007-A1-1A5 | | | 6.00% | | | | 01/25/2037 | | | | 7,966,195 | |
| | 4,637,945 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 3,884,024 | |
| | 11,866,778 | | | Series 2007-A1-1A9 | | | 5.25% | # I/F I/O | | | 01/25/2037 | | | | 1,652,680 | |
| | 10,537,656 | | | Series 2007-A3-1A1 | | | 6.00% | # | | | 03/25/2037 | | | | 9,354,235 | |
| | 24,250,521 | | | Series 2007-A3-1A3 | | | 5.25% | # I/F I/O | | | 03/25/2037 | | | | 3,864,612 | |
| | 9,503,259 | | | Series 2007-A3-1A4 | | | 5.75% | | | | 03/25/2037 | | | | 8,309,441 | |
| | 17,200,165 | | | Series 2007-A4-1A3 | | | 0.48% | # | | | 04/25/2037 | | | | 12,160,379 | |
| | 17,200,165 | | | Series 2007-A4-1A4 | | | 6.52% | # I/F I/O | | | 04/25/2037 | | | | 3,684,258 | |
| | 2,442,009 | | | Series 2007-A5-1A11 | | | 6.00% | | | | 05/25/2037 | | | | 2,198,294 | |
| | 1,200,309 | | | Series 2007-A8-A1 | | | 6.00% | | | | 10/25/2037 | | | | 1,058,882 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 19 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| $ | 45,589,505 | | | Series 2004-36CB-1A1 | | | 6.00% | | | | 02/25/2035 | | | | 43,941,718 | |
| | 10,405,795 | | | Series 2005-20CB-2A1 | | | 0.65% | # | | | 07/25/2035 | | | | 8,849,171 | |
| | 21,245,165 | | | Series 2005-20CB-2A2 | | | 4.85% | # I/F I/O | | | 07/25/2035 | | | | 2,606,452 | |
| | 2,285,467 | | | Series 2005-20CB-4A1 | | | 5.25% | | | | 07/25/2020 | | | | 2,268,479 | |
| | 7,082,192 | | | Series 2005-26CB-A11 | | | 12.77% | # I/F | | | 07/25/2035 | | | | 7,780,344 | |
| | 9,801,815 | | | Series 2005-28CB-1A2 | | | 0.90% | # | | | 08/25/2035 | | | | 8,227,879 | |
| | 3,186,065 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 2,676,498 | |
| | 6,561,166 | | | Series 2005-54CB-3A4 | | | 5.50% | | | | 11/25/2035 | | | | 6,191,825 | |
| | 1,329,889 | | | Series 2005-60T1-A7 | | | 34.80% | # I/F | | | 12/25/2035 | | | | 2,060,197 | |
| | 1,800,982 | | | Series 2005-64CB-1A14 | | | 5.50% | | | | 12/25/2035 | | | | 1,718,140 | |
| | 26,138,997 | | | Series 2005-64CB-1A4 | | | 5.50% | | | | 12/25/2035 | | | | 24,936,655 | |
| | 4,456,872 | | | Series 2005-73CB-1A5 | | | 0.95% | # | | | 01/25/2036 | | | | 3,714,335 | |
| | 11,212,568 | | | Series 2005-73CB-1A6 | | | 4.55% | # I/F I/O | | | 01/25/2036 | | | | 1,260,315 | |
| | 103,194,464 | | | Series 2005-77T1-1A1 | | | 6.00% | | | | 02/25/2036 | | | | 94,369,170 | |
| | 2,493,456 | | | Series 2005-79CB-A5 | | | 5.50% | | | | 01/25/2036 | | | | 2,238,343 | |
| | 5,546,573 | | | Series 2005-85CB-2A6 | | | 21.07% | # I/F | | | 02/25/2036 | | | | 7,093,637 | |
| | 3,416,663 | | | Series 2005-86CB-A5 | | | 5.50% | | | | 02/25/2036 | | | | 3,067,651 | |
| | 6,655,538 | | | Series 2005-J10-1A11 | | | 5.50% | | | | 10/25/2035 | | | | 6,187,567 | |
| | 1,514,645 | | | Series 2005-J10-1A13 | | | 0.85% | # | | | 10/25/2035 | | | | 1,231,446 | |
| | 709,526 | | | Series 2005-J10-1A15 | | | 5.50% | | | | 10/25/2035 | | | | 657,829 | |
| | 1,652,915 | | | Series 2005-J11-1A3 | | | 5.50% | | | | 11/25/2035 | | | | 1,514,204 | |
| | 2,033,303 | | | Series 2005-J11-6A1 | | | 6.50% | | | | 09/25/2032 | | | | 2,005,761 | |
| | 3,027,994 | | | Series 2005-J13-2A5 | | | 0.63% | # | | | 11/25/2035 | | | | 2,447,313 | |
| | 6,055,989 | | | Series 2005-J13-2A6 | | | 4.87% | # I/F I/O | | | 11/25/2035 | | | | 733,750 | |
| | 3,891,000 | | | Series 2005-J1-5A3 | | | 5.50% | | | | 02/25/2035 | | | | 3,709,664 | |
| | 3,093,178 | | | Series 2005-J1-7A1 | | | 5.50% | | | | 01/25/2020 | | | | 3,137,867 | |
| | 2,341,683 | | | Series 2005-J2-1A5 | | | 0.65% | # | | | 04/25/2035 | | | | 2,128,313 | |
| | 7,205,177 | | | Series 2005-J2-1A6 | | | 4.85% | # I/F I/O | | | 04/25/2035 | | | | 831,175 | |
| | 7,076,073 | | | Series 2006-12CB-A3 | | | 5.75% | # | | | 05/25/2036 | | | | 5,829,934 | |
| | 3,404,773 | | | Series 2006-15CB-A1 | | | 6.50% | | | | 06/25/2036 | | | | 2,763,238 | |
| | 2,616,799 | | | Series 2006-18CB-A12 | | | 0.75% | # | | | 07/25/2036 | | | | 1,964,860 | |
| | 2,616,799 | | | Series 2006-18CB-A13 | | | 5.35% | # I/F I/O | | | 07/25/2036 | | | | 404,647 | |
| | 13,160,815 | | | Series 2006-19CB-A12 | | | 0.55% | # | | | 08/25/2036 | | | | 9,283,665 | |
| | 17,846,855 | | | Series 2006-19CB-A13 | | | 5.45% | # I/F I/O | | | 08/25/2036 | | | | 2,849,197 | |
| | 2,747,776 | | | Series 2006-19CB-A15 | | | 6.00% | | | | 08/25/2036 | | | | 2,424,604 | |
| | 4,108,151 | | | Series 2006-24CB-A11 | | | 5.75% | | | | 06/25/2036 | | | | 3,647,936 | |
| | 12,024,056 | | | Series 2006-24CB-A14 | | | 7.00% | # I/F I/O | | | 06/25/2036 | | | | 2,834,533 | |
| | 9,641,726 | | | Series 2006-24CB-A22 | | | 6.00% | | | | 06/25/2036 | | | | 8,704,126 | |
| | 10,348,469 | | | Series 2006-24CB-A5 | | | 0.75% | # | | | 06/25/2036 | | | | 7,601,220 | |
| | 3,856,763 | | | Series 2006-26CB-A17 | | | 6.25% | | | | 09/25/2036 | | | | 3,370,402 | |
| | 4,950,484 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 4,399,461 | |
| | 9,422,227 | | | Series 2006-29T1-1A2 | | | 6.25% | | | | 10/25/2036 | | | | 8,086,249 | |
| | 1,256,943 | | | Series 2006-29T1-2A12 | | | 45.15% | # I/F | | | 10/25/2036 | | | | 2,627,193 | |
| | 769,904 | | | Series 2006-29T1-2A23 | | | 32.70% | # I/F | | | 10/25/2036 | | | | 1,322,727 | |
| | 8,550,363 | | | Series 2006-30T1-1A2 | | | 6.25% | | | | 11/25/2036 | | | | 8,134,935 | |
| | 6,142,343 | | | Series 2006-32CB-A1 | | | 0.82% | # | | | 11/25/2036 | | | | 4,517,030 | |
| | 10,245,428 | | | Series 2006-32CB-A2 | | | 5.18% | # I/F I/O | | | 11/25/2036 | | | | 1,974,069 | |
| | 4,342,688 | | | Series 2006-36T2-2A1 | | | 6.25% | | | | 12/25/2036 | | | | 3,473,868 | |
| | 3,511,418 | | | Series 2006-39CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 3,219,440 | |
| | 20,490,479 | | | Series 2006-39CB-2A2 | | | 6.40% | # I/F I/O | | | 01/25/2037 | | | | 4,597,715 | |
| | 6,977,975 | | | Series 2006-39CB-2A4 | | | 0.60% | # | | | 01/25/2037 | | | | 2,603,887 | |
| | 5,442,017 | | | Series 2006-40T1-1A11 | | | 6.00% | | | | 01/25/2037 | | | | 4,944,236 | |
| | 9,260,463 | | | Series 2006-40T1-1A4 | | | 5.30% | # I/F I/O | | | 01/25/2037 | | | | 1,375,054 | |
| | 7,395,733 | | | Series 2006-45T1-1A4 | | | 0.75% | # | | | 02/25/2037 | | | | 4,617,548 | |
| | 7,395,733 | | | Series 2006-45T1-1A5 | | | 5.25% | # I/F I/O | | | 02/25/2037 | | | | 1,092,527 | |
| | 2,993,437 | | | Series 2006-6CB-1A4 | | | 5.50% | | | | 05/25/2036 | | | | 2,790,715 | |
| | 18,190,527 | | | Series 2006-J1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 16,917,972 | |
| | 8,965,437 | | | Series 2006-J1-A10 | | | 5.50% | | | | 02/25/2036 | | | | 8,338,242 | |
| | 3,019,434 | | | Series 2006-J4-2A2 | | | 6.00% | | | | 07/25/2036 | | | | 2,714,647 | |
| | 1,757,852 | | | Series 2007-11T1-A24 | | | 38.97% | # I/F | | | 05/25/2037 | | | | 3,106,740 | |
| | 19,044,356 | | | Series 2007-16CB-2A1 | | | 0.60% | # | | | 08/25/2037 | | | | 11,282,467 | |
| | 5,514,770 | | | Series 2007-16CB-2A2 | | | 53.30% | # I/F | | | 08/25/2037 | | | | 12,866,503 | |
| | 17,081,140 | | | Series 2007-17CB-1A10 | | | 29.19% | # I/F | | | 08/25/2037 | | | | 27,191,279 | |
| | 2,953,986 | | | Series 2007-18CB-2A25 | | | 6.00% | | | | 08/25/2037 | | | | 2,719,105 | |
| | 1,526,189 | | | Series 2007-19-1A10 | | | 38.07% | # I/F | | | 08/25/2037 | | | | 2,665,981 | |
| | 48,155,992 | | | Series 2007-19-2A1 | | | 6.50% | | | | 08/25/2037 | | | | 35,221,822 | |
| | 8,783,557 | | | Series 2007-21CB-2A2 | | | 27.78% | # I/F | | | 09/25/2037 | | | | 13,646,871 | |
| | 34,420,267 | | | Series 2007-22-2A16 | | | 6.50% | | | | 09/25/2037 | | | | 28,257,318 | |
| | 21,603,419 | | | Series 2007-23CB-A3 | | | 0.65% | # | | | 09/25/2037 | | | | 15,309,285 | |
| | 30,659,731 | | | Series 2007-23CB-A4 | | | 6.35% | # I/F I/O | | | 09/25/2037 | | | | 7,232,584 | |
| | 17,332,844 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 5,303,659 | |
| | 11,241,563 | | | Series 2007-5CB-1A18 | | | 5.50% | # I/F I/O | | | 04/25/2037 | | | | 2,234,013 | |
| | 11,241,563 | | | Series 2007-5CB-1A23 | | | 0.70% | # | | | 04/25/2037 | | | | 7,719,210 | |
| | 784,304 | | | Series 2007-8CB-A12 | | | 39.27% | # I/F | | | 05/25/2037 | | | | 1,463,931 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, (Cont.) | |
| $ | 837,232 | | | Series 2007-8CB-A8 | | | 39.15% | # I/F | | | 05/25/2037 | | | | 1,557,493 | |
| | 1,065,280 | | | Series 2007-9T1-1A4 | | | 0.65% | # | | | 05/25/2037 | | | | 709,194 | |
| | 1,065,280 | | | Series 2007-9T1-1A5 | | | 5.35% | # I/F I/O | | | 05/25/2037 | | | | 157,099 | |
| | 29,179,466 | | | Series 2007-9T1-1A6 | | | 6.00% | | | | 05/25/2037 | | | | 24,313,732 | |
| | 3,195,002 | | | Series 2007-9T1-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 2,641,989 | |
| | 1,979,817 | | | Series 2007-9T1-3A1 | | | 5.50% | | | | 05/25/2022 | | | | 1,834,748 | |
| | 6,174,915 | | | Series 2007-HY5R-2A1A | | | 2.55% | # | | | 03/25/2047 | | | | 6,449,992 | |
| | 10,446,738 | | | Series 2007-HY5R-2A1B | | | 2.55% | # | | | 03/25/2047 | | | | 9,759,610 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 3,994,855 | | | Series 2003-BC6-M1 | | | 0.98% | # | | | 11/25/2033 | | | | 3,895,981 | |
| | 2,803,359 | | | Series 2005-13-AF3 | | | 5.02% | # | | | 04/25/2036 | | | | 2,415,812 | |
| | 1,816,130 | | | Series 2006-2-2A2 | | | 0.34% | # | | | 06/25/2036 | | | | 1,775,857 | |
| |
| | | | Countrywide Home Loans, | |
| | 3,420,597 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 3,484,774 | |
| | 5,443,008 | | | Series 2003-60-4A1 | | | 2.60% | # | | | 02/25/2034 | | | | 5,427,784 | |
| | 6,327,841 | | | Series 2004-R2-1AF1 | | | 0.57% | #^ | | | 11/25/2034 | | | | 5,605,372 | |
| | 6,380,567 | | | Series 2004-R2-1AS | | | 5.82% | #^ I/O | | | 11/25/2034 | | | | 998,080 | |
| | 13,091,822 | | | Series 2005-20-A5 | | | 5.50% | | | | 10/25/2035 | | | | 12,902,403 | |
| | 9,515,020 | | | Series 2005-20-A8 | | | 5.25% | | | | 10/25/2035 | | | | 9,476,427 | |
| | 29,890,435 | | | Series 2005-23-A1 | | | 5.50% | | | | 11/25/2035 | | | | 28,439,434 | |
| | 7,554,717 | | | Series 2005-24-A8 | | | 5.50% | | | | 11/25/2035 | | | | 7,454,949 | |
| | 2,012,126 | | | Series 2005-27-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 1,874,678 | |
| | 4,032,650 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 3,808,555 | |
| | 43,487,020 | | | Series 2005-HYB1-4A1 | | | 2.49% | # | | | 03/25/2035 | | | | 40,404,269 | |
| | 4,331,775 | | | Series 2005-HYB8-1A1 | | | 2.47% | # | | | 12/20/2035 | | | | 3,648,909 | |
| | 8,353,091 | | | Series 2005-J3-2A4 | | | 4.50% | | | | 09/25/2035 | | | | 8,248,590 | |
| | 9,004,331 | | | Series 2005-J4-A5 | | | 5.50% | | | | 11/25/2035 | | | | 9,099,570 | |
| | 1,896,872 | | | Series 2005-R1-1AF1 | | | 0.51% | #^ | | | 03/25/2035 | | | | 1,705,096 | |
| | 1,909,748 | | | Series 2005-R1-1AS | | | 5.84% | #^ I/O | | | 03/25/2035 | | | | 271,009 | |
| | 5,353,744 | | | Series 2006-20-1A21 | | | 6.00% | | | | 02/25/2037 | | | | 5,058,603 | |
| | 4,293,934 | | | Series 2006-J3-A4 | | | 5.50% | | | | 05/25/2036 | | | | 4,465,225 | |
| | 47,161,673 | | | Series 2007-11-A1 | | | 6.00% | | | | 08/25/2037 | | | | 44,022,073 | |
| | 34,005,672 | | | Series 2007-12-A9 | | | 5.75% | | | | 08/25/2037 | | | | 32,794,628 | |
| | 16,767,073 | | | Series 2007-13-A110 | | | 6.00% | | | | 08/25/2037 | | | | 16,027,528 | |
| | 1,702,851 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 1,624,743 | |
| | 7,583,470 | | | Series 2007-15-1A29 | | | 6.25% | | | | 09/25/2037 | | | | 7,233,379 | |
| | 16,334,711 | | | Series 2007-17-1A2 | | | 6.00% | | | | 10/25/2037 | | | | 15,727,673 | |
| | 1,893,004 | | | Series 2007-18-1A1 | | | 6.00% | | | | 11/25/2037 | | | | 1,754,595 | |
| | 15,150,543 | | | Series 2007-3-A1 | | | 6.00% | | | | 04/25/2037 | | | | 14,073,279 | |
| | 5,835,010 | | | Series 2007-3-A12 | | | 6.00% | | | | 04/25/2037 | | | | 5,420,117 | |
| | 11,402,078 | | | Series 2007-4-1A39 | | | 6.00% | | | | 05/25/2037 | | | | 10,664,033 | |
| | 5,949,792 | | | Series 2007-5-A2 | | | 5.75% | | | | 05/25/2037 | | | | 5,840,206 | |
| | 22,168,867 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 20,922,666 | |
| | 6,645,469 | | | Series 2007-7-A2 | | | 5.75% | | | | 06/25/2037 | | | | 6,190,454 | |
| | 15,258,147 | | | Series 2007-8-1A4 | | | 6.00% | | | | 01/25/2038 | | | | 14,299,096 | |
| | 8,007,420 | | | Series 2007-8-1A5 | | | 5.44% | | | | 01/25/2038 | | | | 7,226,472 | |
| | 18,591,543 | | | Series 2007-8-1A9 | | | 6.00% | # | | | 01/25/2038 | | | | 17,354,034 | |
| | 3,842,666 | | | Series 2007-9-A11 | | | 5.75% | | | | 07/25/2037 | | | | 3,712,129 | |
| | 39,995,551 | | | Series 2007-J1-2A1 | | | 6.00% | | | | 02/25/2037 | | | | 32,558,098 | |
| | 1,448,140 | | | Series 2007-J3-A1 | | | 0.65% | # | | | 07/25/2037 | | | | 1,063,442 | |
| | 7,240,702 | | | Series 2007-J3-A2 | | | 5.35% | # I/F I/O | | | 07/25/2037 | | | | 847,430 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 6,223,257 | | | Series 2006-3-A4B | | | 6.11% | # | | | 11/25/2036 | | | | 3,171,054 | |
| | 4,097,363 | | | Series 2006-4-A6A | | | 5.68% | # | | | 12/25/2036 | | | | 2,766,790 | |
| | 13,691,438 | | | Series 2007-1-1A1A | | | 5.90% | # | | | 05/25/2037 | | | | 8,215,191 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 278,082 | | | Series 2004-AR8-2A1 | | | 2.45% | # | | | 09/25/2034 | | | | 280,041 | |
| | 4,814,365 | | | Series 2005-10-5A4 | | | 5.50% | | | | 11/25/2035 | | | | 4,319,352 | |
| | 1,429,034 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 1,265,026 | |
| | 13,166,269 | | | Series 2005-12-7A1 | | | 7.00% | | | | 01/25/2036 | | | | 6,697,431 | |
| | 13,445,756 | | | Series 2005-8-3A10 | | | 5.50% | | | | 09/25/2035 | | | | 13,824,751 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 4,910,730 | | | Series 2005-1R-2A5 | | | 5.75% | ^ | | | 12/26/2035 | | | | 4,435,919 | |
| | 28,686,598 | | | Series 2006-1-2A1 | | | 6.00% | | | | 02/25/2036 | | | | 21,969,028 | |
| | 4,314,989 | | | Series 2006-2-3A1 | | | 6.50% | | | | 03/25/2036 | | | | 3,119,098 | |
| | 5,644,558 | | | Series 2006-2-5A1 | | | 0.85% | # | | | 03/25/2036 | | | | 3,594,483 | |
| | 31,550,486 | | | Series 2006-2-5A2 | | | 5.15% | # I/F I/O | | | 03/25/2036 | | | | 5,754,856 | |
| | 6,571,922 | | | Series 2006-2-5A3 | | | 6.25% | | | | 03/25/2036 | | | | 5,486,885 | |
| | 17,786,250 | | | Series 2006-2-5A4 | | | 6.00% | | | | 03/25/2036 | | | | 14,546,467 | |
| | 3,330,589 | | | Series 2006-3-4A3 | | | 5.50% | | | | 04/25/2036 | | | | 3,135,004 | |
| | 7,213,011 | | | Series 2006-3-4A4 | | | 5.50% | | | | 04/25/2036 | | | | 6,789,434 | |
| | 6,699,093 | | | Series 2006-4-1A8 | | | 6.00% | # | | | 05/25/2036 | | | | 5,465,609 | |
| | | | | | |
| 20 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, (Cont.) | |
| $ | 28,740,089 | | | Series 2006-4-4A1 | | | 7.00% | | | | 05/25/2036 | | | | 14,511,115 | |
| | 21,154,462 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 19,071,890 | |
| | 19,548,062 | | | Series 2006-6-1A4 | | | 6.00% | | | | 07/25/2036 | | | | 15,265,180 | |
| | 13,425,820 | | | Series 2006-6-3A1 | | | 7.00% | | | | 07/25/2036 | | | | 4,831,697 | |
| | 657,157 | | | Series 2006-7-3A11 | | | 6.00% | | | | 08/25/2036 | | | | 575,518 | |
| | 7,965,323 | | | Series 2006-7-7A5 | | | 6.00% | | | | 08/25/2036 | | | | 6,971,824 | |
| | 10,857,761 | | | Series 2006-9-2A1 | | | 5.50% | | | | 11/25/2036 | | | | 10,760,307 | |
| | 35,859,690 | | | Series 2006-9-3A1 | | | 6.00% | | | | 11/25/2036 | | | | 36,651,006 | |
| | 9,181,505 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 8,979,719 | |
| | 14,897,305 | | | Series 2006-9-6A14 | | | 6.00% | | | | 11/25/2036 | | | | 14,531,427 | |
| | 2,420,227 | | | Series 2006-9-6A15 | | | 38.97% | # I/F | | | 11/25/2036 | | | | 4,539,697 | |
| | 13,509,954 | | | Series 2007-1-1A4 | | | 6.13% | # | | | 02/25/2037 | | | | 7,919,413 | |
| | 18,324,159 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 15,361,253 | |
| | 11,148,639 | | | Series 2007-1-5A14 | | | 6.00% | | | | 02/25/2037 | | | | 10,110,221 | |
| | 249,156 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 247,149 | |
| | 8,597,296 | | | Series 2007-5-2A5 | | | 5.00% | | | | 08/25/2037 | | | | 8,344,768 | |
| | 63,229,396 | | | Series 2007-5-3A19 | | | 6.00% | | | | 08/25/2037 | | | | 63,418,451 | |
| | 28,496,530 | | | Series 2007-5-3A9 | | | 6.00% | | | | 08/25/2037 | | | | 28,545,487 | |
| | 5,125,847 | | | Series 2009-1R-4A2 | | | 2.86% | #^ | | | 07/20/2035 | | | | 4,542,802 | |
| | 93,898,000 | | | Series 2010-17R-6A1 | | | 2.45% | #^ | | | 06/26/2037 | | | | 84,061,405 | |
| | 2,000,194 | | | Series 2010-1R-5A1 | | | 4.90% | #^ | | | 01/27/2036 | | | | 2,018,261 | |
| | 52,001,003 | | | Series 2010-2R-4A17 | | | 6.28% | #^ | | | 03/26/2037 | | | | 48,507,960 | |
| | 90,138,031 | | | Series 2010-4R-3A17 | | | 6.54% | #^ | | | 06/26/2037 | | | | 84,090,923 | |
| | 44,503,134 | | | Series 2010-4R-8A17 | | | 6.54% | #^ | | | 06/26/2037 | | | | 41,517,517 | |
| | 8,618,496 | | | Series 2010-6R-2A6A | | | 6.25% | ^ | | | 07/26/2037 | | | | 9,031,390 | |
| | 30,351,018 | | | Series 2010-7R-4A17 | | | 6.52% | #^ | | | 04/26/2037 | | | | 27,909,722 | |
| | 50,000,000 | | | Series 2010-9R-2A5 | | | 4.00% | ^ | | | 02/27/2038 | | | | 47,769,455 | |
| | 1,315,315 | | | Series 2011-16R-6A1 | | | 2.40% | #^ | | | 09/27/2035 | | | | 1,313,465 | |
| |
| | | | Credit-Based Asset Servicing and Securitization LLC, | |
| | 822,477 | | | Series 2005-CB6-A4 | | | 4.14% | # | | | 07/25/2035 | | | | 828,355 | |
| | 9,750,000 | | | Series 2007-MX1-A3 | | | 5.83% | #^ | | | 12/25/2036 | | | | 8,743,537 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 32,027,377 | | | Series 2005-4-A5 | | | 5.50% | # | | | 09/25/2035 | | | | 28,103,799 | |
| | 2,344,254 | | | Series 2005-5-1A6 | | | 34.80% | # I/F | | | 11/25/2035 | | | | 3,775,838 | |
| | 2,269,124 | | | Series 2005-5-2A1 | | | 0.35% | # | | | 11/25/2035 | | | | 1,459,861 | |
| | 6,848,462 | | | Series 2005-5-2A2 | | | 5.15% | # I/F I/O | | | 11/25/2035 | | | | 1,215,157 | |
| | 1,688,011 | | | Series 2006-AB2-A2 | | | 6.16% | # | | | 06/25/2036 | | | | 1,388,330 | |
| | 3,474,995 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 2,826,311 | |
| | 3,456,852 | | | Series 2006-AB4-A3 | | | 5.90% | # | | | 10/25/2036 | | | | 2,797,472 | |
| | 5,091,105 | | | Series 2006-AB4-A3A1 | | | 5.90% | # | | | 10/25/2036 | | | | 4,120,114 | |
| | 10,141,151 | | | Series 2006-AB4-A6A1 | | | 5.87% | # | | | 10/25/2036 | | | | 8,194,618 | |
| | 8,539,575 | | | Series 2006-AF1-A3 | | | 0.33% | # | | | 04/25/2036 | | | | 8,380,162 | |
| | 84,106,812 | | | Series 2007-1-1A3A | | | 0.36% | # | | | 08/25/2037 | | | | 71,836,049 | |
| | 24,709,046 | | | Series 2007-OA5-A1B | | | 0.37% | # | | | 08/25/2047 | | | | 21,288,202 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 27,569,154 | | | Series 2006-PR1-3A1 | | | 11.91% | #^ I/F | | | 04/15/2036 | | | | 32,835,096 | |
| | 9,263,020 | | | Series 2006-PR1-4AI1 | | | 11.89% | #^ I/F | | | 04/15/2036 | | | | 10,763,559 | |
| | 15,162,472 | | | Series 2006-PR1-4AI2 | | | 14.31% | #^ I/F | | | 04/15/2036 | | | | 18,747,541 | |
| | 751,067 | | | Series 2006-PR1-5AI1 | | | 18.89% | #^ I/F | | | 04/15/2036 | | | | 1,089,093 | |
| | 6,531,849 | | | Series 2006-PR1-5AI3 | | | 12.35% | #^ I/F | | | 04/15/2036 | | | | 8,144,468 | |
| | 108,152,503 | | | Series 2006-PR1-5AI4 | | | 11.91% | #^ I/F | | | 04/15/2036 | | | | 127,793,700 | |
| | 29,583,363 | | | Series 2009-RS2-4A2 | | | 0.29% | #^ | | | 04/26/2037 | | | | 28,399,014 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 11,737,565 | | | Series 2006-FF1-2A3 | | | 0.39% | # | | | 01/25/2036 | | | | 11,624,133 | |
| | 17,821,603 | | | Series 2006-FF3-A2B | | | 0.55% | # | | | 02/25/2036 | | | | 17,264,179 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 17,066,025 | | | Series 2005-AA4-1A1 | | | 2.26% | # | | | 05/25/2035 | | | | 14,792,763 | |
| | 10,679,898 | | | Series 2005-FA5-1A4 | | | 5.50% | | | | 08/25/2035 | | | | 10,309,407 | |
| | 16,149,055 | | | Series 2005-FA8-1A4 | | | 5.50% | | | | 11/25/2035 | | | | 14,786,559 | |
| | 2,209,772 | | | Series 2005-FA8-2A1 | | | 5.00% | | | | 11/25/2020 | | | | 2,262,779 | |
| | 6,381,745 | | | Series 2006-FA1-1A12 | | | 6.00% | | | | 04/25/2036 | | | | 5,547,102 | |
| | 559,476 | | | Series 2006-FA1-1A6 | | | 0.90% | # | | | 04/25/2036 | | | | 546,708 | |
| | 4,402,293 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 3,797,915 | |
| | 1,279,308 | | | Series 2006-FA7-A8 | | | 6.25% | | | | 12/25/2036 | | | | 1,097,169 | |
| | 6,063,120 | | | Series 2006-FA8-1A5 | | | 6.00% | | | | 02/25/2037 | | | | 4,978,088 | |
| | 14,295,938 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 13,424,983 | |
| | 1,834,870 | | | Series 2007-FA3-A4 | | | 6.00% | | | | 06/25/2037 | | | | 1,462,883 | |
| | 2,057,585 | | | Series 2007-FA4-1A13 | | | 6.25% | | | | 08/25/2037 | | | | 1,648,959 | |
| | 2,984,491 | | | Series 2007-FA4-1A5 | | | 6.25% | | | | 08/25/2037 | | | | 2,391,786 | |
| |
| | | | First Horizon Asset Securities, Inc., | |
| | 10,738,848 | | | Series 2007-1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 9,676,035 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | First Horizon Asset Securities, Inc., (Cont.) | |
| $ | 7,716,149 | | | Series 2007-4-1A1 | | | 6.00% | | | | 08/25/2037 | | | | 6,937,991 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 9,351,144 | | | Series 2003-AR1-A5 | | | 3.28% | # | | | 10/19/2033 | | | | 9,544,217 | |
| | 13,265,396 | | | Series 2005-AR5-3A1 | | | 2.86% | # | | | 09/19/2035 | | | | 12,874,007 | |
| | 20,160,831 | | | Series 2005-J1-A14 | | | 5.50% | | | | 12/25/2035 | | | | 20,259,236 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 2,265,960 | | | Series 2008-2R-1A1 | | | 7.50% | #^ | | | 09/25/2036 | | | | 1,829,859 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 695,062 | | | Series 2005-12-AF3 | | | 5.07% | # | | | 09/25/2035 | | | | 651,007 | |
| | 15,950,582 | | | Series 2005-7-AF2 | | | 4.48% | # | | | 05/25/2035 | | | | 16,332,192 | |
| | 45,361,000 | | | Series 2005-7-AF3 | | | 4.75% | # | | | 05/25/2035 | | | | 46,053,504 | |
| | 13,438,559 | | | Series 2006-10-AF3 | | | 5.98% | # | | | 06/25/2036 | | | | 8,020,790 | |
| | 9,618,207 | | | Series 2006-10-AF4 | | | 6.30% | # | | | 06/25/2036 | | | | 5,738,213 | |
| | 18,705,743 | | | Series 2006-15-AF4 | | | 5.96% | # | | | 09/25/2036 | | | | 10,823,742 | |
| | 3,091,851 | | | Series 2006-18-AF3A | | | 5.77% | # | | | 11/25/2036 | | | | 1,950,398 | |
| | 6,524,530 | | | Series 2006-18-AF6 | | | 5.68% | # | | | 11/25/2036 | | | | 3,619,672 | |
| | 10,924,763 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 9,782,393 | |
| | 5,125,975 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 4,197,399 | |
| |
| | | | GSMPS Mortgage Loan Trust, | |
| | 19,904,825 | | | Series 2005-RP2-1AF | | | 0.50% | #^ | | | 03/25/2035 | | | | 17,559,101 | |
| | 19,904,825 | | | Series 2005-RP2-1AS | | | 4.96% | #^ I/O | | | 03/25/2035 | | | | 2,391,177 | |
| | 11,283,166 | | | Series 2005-RP3-1AF | | | 0.50% | #^ | | | 09/25/2035 | | | | 9,729,260 | |
| | 11,283,166 | | | Series 2005-RP3-1AS | | | 4.82% | #^ I/O | | | 09/25/2035 | | | | 1,600,173 | |
| | 42,722,149 | | | Series 2006-RP1-1AS | | | 4.68% | #^ I/O | | | 01/25/2036 | | | | 5,426,973 | |
| | 42,722,149 | | | Series 2006-RP1-AF1 | | | 0.50% | #^ | | | 01/25/2036 | | | | 36,467,456 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 4,410,299 | | | Series 2005-1F-1A2 | | | 5.50% | | | | 02/25/2035 | | | | 4,535,644 | |
| | 9,705,675 | | | Series 2005-1F-3A3 | | | 6.00% | | | | 01/25/2035 | | | | 9,921,389 | |
| | 1,615,961 | | | Series 2005-6F-3A5 | | | 6.00% | | | | 07/25/2035 | | | | 1,631,800 | |
| | 15,515,771 | | | Series 2005-6F-3A9 | | | 6.75% | # I/F I/O | | | 07/25/2035 | | | | 2,845,802 | |
| | 1,424,225 | | | Series 2005-6F-4A1 | | | 0.65% | # | | | 07/25/2035 | | | | 1,134,256 | |
| | 1,063,698 | | | Series 2005-7F-3A1 | | | 0.65% | # | | | 09/25/2035 | | | | 986,688 | |
| | 21,047,160 | | | Series 2005-8F-3A5 | | | 6.00% | | | | 11/25/2035 | | | | 18,811,362 | |
| | 6,635,958 | | | Series 2005-8F-4A1 | | | 6.00% | | | | 11/25/2035 | | | | 5,489,855 | |
| | 3,480,239 | | | Series 2006-1F-1A2 | | | 5.50% | | | | 02/25/2036 | | | | 3,334,407 | |
| | 1,996,672 | | | Series 2006-2F-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 1,877,628 | |
| | 6,871,235 | | | Series 2006-2F-3A3 | | | 6.00% | | | | 02/25/2036 | | | | 5,844,926 | |
| | 23,291,212 | | | Series 2006-6F-2A3 | | | 6.00% | | | | 07/25/2036 | | | | 20,494,660 | |
| | 21,577,314 | | | Series 2006-7F-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 20,040,233 | |
| | 12,022,204 | | | Series 2006-7F-3A4 | | | 6.25% | | | | 08/25/2036 | | | | 9,987,807 | |
| | 20,438,130 | | | Series 2006-9F-2A1 | | | 6.00% | | | | 10/25/2036 | | | | 19,328,994 | |
| | 38,675,855 | | | Series 2006-9F-4A1 | | | 6.50% | | | | 10/25/2036 | | | | 34,905,772 | |
| | 393,669 | | | Series 2006-9F-8A1 | | | 5.50% | | | | 08/25/2021 | | | | 376,134 | |
| | 39,409,828 | | | Series 2006-OA1-2A1 | | | 0.34% | # | | | 08/25/2046 | | | | 38,122,171 | |
| | 3,808,527 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 3,669,922 | |
| | 5,448,566 | | | Series 2007-4F-1A1 | | | 5.00% | | | | 07/25/2037 | | | | 5,018,516 | |
| | 65,569,250 | | | Series 2007-4F-3A11 | | | 6.00% | | | | 07/25/2037 | | | | 60,058,942 | |
| |
| | | | Harborview Mortgage Loan Trust, | |
| | 4,312,444 | | | Series 2005-14-3A1A | | | 2.67% | # | | | 12/19/2035 | | | | 3,924,122 | |
| | 11,759,519 | | | Series 2006-10-2A1A | | | 0.33% | # | | | 11/19/2036 | | | | 9,746,960 | |
| |
| | | | Home Equity Asset Trust, | |
| | 2,048,281 | | | Series 2003-3-M1 | | | 1.44% | # | | | 08/25/2033 | | | | 1,942,694 | |
| | 1,606,388 | | | Series 2004-7-M2 | | | 1.14% | # | | | 01/25/2035 | | | | 1,544,886 | |
| |
| | | | Homebanc Mortgage Trust, | |
| | 2,849,160 | | | Series 2005-1-M2 | | | 0.64% | # | | | 03/25/2035 | | | | 2,387,935 | |
| | 45,580,714 | | | Series 2005-3-A1 | | | 0.39% | # | | | 07/25/2035 | | | | 42,320,736 | |
| | 4,872,049 | | | Series 2006-1-3A1 | | | 2.28% | # | | | 04/25/2037 | | | | 4,096,477 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 1,286,960 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 1,202,611 | |
| | 56,490,319 | | | Series 2007-2-3A6 | | | 6.00% | | | | 09/25/2037 | | | | 49,843,216 | |
| | 9,446,204 | | | Series 2007-AR1-3A1 | | | 2.53% | # | | | 01/25/2037 | | | | 7,762,768 | |
| |
| | | | IMPAC Trust, | |
| | 1,589,112 | | | Series 2002-9F-A1 | | | 5.22% | # | | | 12/25/2032 | | | | 1,628,328 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 9,470,627 | | | Series 2006-AR2-4A1 | | | 2.60% | # | | | 09/25/2036 | | | | 8,193,447 | |
| | 40,274,211 | | | Series 2006-AR3-1A1 | | | 2.60% | # | | | 12/25/2036 | | | | 35,702,121 | |
| | 9,476,563 | | | Series 2007-A1-A1 | | | 6.00% | | | | 08/25/2037 | | | | 8,318,858 | |
| | 6,937,584 | | | Series 2007-A1-A7 | | | 6.00% | | | | 08/25/2037 | | | | 6,090,054 | |
| | 36,762,763 | | | Series 2007-A3-A1 | | | 6.25% | | | | 11/25/2037 | | | | 33,605,908 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 21 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | IndyMac Mortgage Loan Trust, (Cont.) | |
| $ | 13,197,427 | | | Series 2007-AR3-3A1 | | | 5.36% | # | | | 07/25/2037 | | | | 12,213,414 | |
| | 866,012 | | | Series 2007-F2-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 782,326 | |
| | 31,874,845 | | | Series 2007-F2-2A1 | | | 6.50% | | | | 07/25/2037 | | | | 22,310,989 | |
| |
| | | | Jefferies & Company, Inc., | |
| | 6,467,777 | | | Series 2010-R1-1A1 | | | 6.00% | #^ | | | 03/26/2037 | | | | 6,792,950 | |
| | 11,260,142 | | | Series 2010-R4-1A4 | | | 6.86% | #^ | | | 10/26/2036 | | | | 10,076,584 | |
| | 802,549 | | | Series 2010-R6-1A2 | | | 6.00% | ^ | | | 09/26/2037 | | | | 806,552 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 21,328,156 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 19,483,399 | |
| | 6,837,352 | | | Series 2005-S1-2A9 | | | 6.00% | | | | 12/25/2035 | | | | 6,245,962 | |
| | 6,796,901 | | | Series 2006-S1-1A8 | | | 5.75% | | | | 03/25/2036 | | | | 6,140,776 | |
| | 6,034,750 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 4,763,560 | |
| | 12,151,263 | | | Series 2006-S4-A3A | | | 5.78% | # | | | 12/25/2036 | | | | 11,295,996 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 15,379,172 | | | Series 2006-CH2-AF3 | | | 5.16% | # | | | 10/25/2036 | | | | 12,567,675 | |
| | 5,308,180 | | | Series 2006-WF1-A5 | | | 6.41% | # | | | 07/25/2036 | | | | 3,277,987 | |
| | 15,000,000 | | | Series 2007-CH1-AF5 | | | 5.33% | # | | | 11/25/2036 | | | | 14,513,895 | |
| | 5,499,169 | | | Series 2007-CH5-A3 | | | 0.26% | # | | | 05/25/2037 | | | | 5,369,067 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 3,168,191 | | | Series 2005-A6-5A1 | | | 5.10% | # | | | 08/25/2035 | | | | 3,177,423 | |
| | 4,657,824 | | | Series 2005-S2-2A13 | | | 5.50% | | | | 09/25/2035 | | | | 4,893,710 | |
| | 3,346,915 | | | Series 2006-S2-3A3 | | | 6.00% | | | | 07/25/2036 | | | | 3,047,279 | |
| | 10,448,566 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 08/25/2036 | | | | 9,647,934 | |
| | 12,170,437 | | | Series 2006-S3-1A21 | | | 0.53% | # | | | 08/25/2036 | | | | 7,259,069 | |
| | 12,170,437 | | | Series 2006-S3-1A22 | | | 6.97% | # I/F I/O | | | 08/25/2036 | | | | 3,360,830 | |
| | 4,868,685 | | | Series 2006-S3-1A9 | | | 6.00% | | | | 08/25/2036 | | | | 4,495,617 | |
| | 14,403,525 | | | Series 2006-S4-A8 | | | 0.53% | # | | | 01/25/2037 | | | | 9,156,552 | |
| | 14,403,525 | | | Series 2006-S4-A9 | | | 6.47% | # I/F I/O | | | 01/25/2037 | | | | 3,168,459 | |
| | 4,293,235 | | | Series 2007-A2-2A1 | | | 2.55% | # | | | 04/25/2037 | | | | 3,897,935 | |
| | 18,952,921 | | | Series 2007-S1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 16,865,845 | |
| | 7,686,297 | | | Series 2007-S3-1A1 | | | 5.50% | | | | 08/25/2037 | | | | 6,844,548 | |
| | 12,774,084 | | | Series 2007-S3-1A35 | | | 6.00% | | | | 08/25/2037 | | | | 11,451,366 | |
| | 2,164,689 | | | Series 2007-S3-1A9 | | | 6.00% | | | | 08/25/2037 | | | | 1,941,769 | |
| | 11,778,358 | | | Series 2007-S3-1A96 | | | 6.00% | | | | 08/25/2037 | | | | 10,546,259 | |
| | 13,414,413 | | | Series 2007-S3-1A97 | | | 6.00% | | | | 08/25/2037 | | | | 12,046,371 | |
| | 4,492,725 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 4,471,375 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 22,627,869 | | | Series 2010-1-1A4 | | | 6.00% | ^ | | | 02/26/2037 | | | | 17,581,979 | |
| | 18,437,640 | | | Series 2010-2-3A9 | | | 6.00% | ^ | | | 07/26/2036 | | | | 15,275,087 | |
| | 3,256,554 | | | Series 2010-8-2A3 | | | 2.71% | #^ | | | 11/26/2034 | | | | 3,254,676 | |
| | 11,532,047 | | | Series 2011-2-7A11 | | | 6.40% | #^ | | | 04/26/2036 | | | | 11,394,178 | |
| | 4,800,074 | | | Series 2012-2-3A3 | | | 2.36% | #^ | | | 10/26/2036 | | | | 4,790,530 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 6,530,869 | | | Series 2005-2-3A5 | | | 5.50% | | | | 12/25/2035 | | | | 5,726,514 | |
| | 6,364,249 | | | Series 2005-2-5A5 | | | 5.75% | | | | 12/25/2035 | | | | 5,778,579 | |
| | 9,707,511 | | | Series 2005-3-2A1 | | | 6.00% | | | | 01/25/2036 | | | | 9,028,578 | |
| | 826,637 | | | Series 2005-3-2A3 | | | 5.50% | | | | 01/25/2036 | | | | 756,383 | |
| | 4,439,808 | | | Series 2005-3-2A7 | | | 6.00% | | | | 01/25/2036 | | | | 4,129,315 | |
| | 3,287,180 | | | Series 2006-1-1A1 | | | 0.90% | # | | | 02/25/2036 | | | | 2,366,763 | |
| | 9,861,540 | | | Series 2006-1-1A2 | | | 4.60% | # I/F I/O | | | 02/25/2036 | | | | 1,242,239 | |
| | 14,105,310 | | | Series 2006-1-3A1 | | | 0.90% | # | | | 02/25/2036 | | | | 12,673,988 | |
| | 14,105,310 | | | Series 2006-1-3A2 | | | 4.60% | # I/F I/O | | | 02/25/2036 | | | | 1,758,932 | |
| | 8,207,049 | | | Series 2006-1-3A4 | | | 5.50% | | | | 02/25/2036 | | | | 7,886,436 | |
| | 6,198,659 | | | Series 2006-4-1A3 | | | 5.25% | # I/F I/O | | | 08/25/2036 | | | | 838,418 | |
| | 3,939,734 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 3,348,868 | |
| | 10,915,224 | | | Series 2006-5-2A1 | | | 0.50% | # | | | 09/25/2036 | | | | 4,945,644 | |
| | 22,736,293 | | | Series 2006-5-2A2 | | | 7.00% | # I/F I/O | | | 09/25/2036 | | | | 7,699,793 | |
| | 18,676,914 | | | Series 2006-6-3A9 | | | 5.50% | | | | 10/25/2036 | | | | 15,327,508 | |
| | 11,407,232 | | | Series 2006-6-4A5 | | | 6.00% | | | | 12/25/2036 | | | | 11,496,585 | |
| | 5,495,014 | | | Series 2006-7-2A2 | | | 0.60% | # | | | 11/25/2036 | | | | 2,374,335 | |
| | 17,302,550 | | | Series 2006-7-2A5 | | | 6.40% | # I/F I/O | | | 11/25/2036 | | | | 5,017,386 | |
| | 5,266,482 | | | Series 2006-9-1A19 | | | 29.97% | # I/F | | | 01/25/2037 | | | | 8,250,171 | |
| | 5,835,084 | | | Series 2006-9-1A5 | | | 0.75% | # | | | 01/25/2037 | | | | 3,616,393 | |
| | 17,345,780 | | | Series 2006-9-1A6 | | | 5.00% | # I/F I/O | | | 01/25/2037 | | | | 2,653,202 | |
| | 6,924,062 | | | Series 2006-9-2A1 | | | 0.53% | # | | | 01/25/2037 | | | | 3,004,818 | |
| | 14,393,445 | | | Series 2006-9-2A2 | | | 6.47% | # I/F I/O | | | 01/25/2037 | | | | 3,893,081 | |
| | 15,275,018 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 13,617,190 | |
| | 4,721,909 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 3,732,164 | |
| | 4,742,552 | | | Series 2007-4-2A11 | | | 0.48% | # | | | 05/25/2037 | | | | 2,271,213 | |
| | 17,784,493 | | | Series 2007-4-2A8 | | | 6.52% | # I/F I/O | | | 05/25/2037 | | | | 4,509,649 | |
| | 1,742,946 | | | Series 2007-4-2A9 | | | 0.48% | # | | | 05/25/2037 | | | | 834,716 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Lehman Mortgage Trust, (Cont.) | |
| $ | 21,423,999 | | | Series 2007-5-11A1 | | | 5.53% | # | | | 06/25/2037 | | | | 15,846,732 | |
| | 9,965,989 | | | Series 2007-5-3A4 | | | 5.00% | | | | 12/25/2035 | | | | 9,515,068 | |
| | 3,347,083 | | | Series 2007-5-4A3 | | | 39.15% | # I/F | | | 08/25/2036 | | | | 5,365,839 | |
| | 1,408,136 | | | Series 2007-5-7A3 | | | 7.50% | | | | 10/25/2036 | | | | 1,179,551 | |
| | 1,109,832 | | | Series 2007-6-1A8 | | | 6.00% | | | | 07/25/2037 | | | | 1,015,829 | |
| | 9,429,988 | | | Series 2008-2-1A6 | | | 6.00% | | | | 03/25/2038 | | | | 8,569,785 | |
| |
| | | | Lehman XS Trust, | |
| | 2,555,369 | | | Series 2005-10-2A3B | | | 5.55% | # | | | 01/25/2036 | | | | 2,298,179 | |
| | 14,992,802 | | | Series 2005-4-2A3A | | | 5.00% | # | | | 10/25/2035 | | | | 11,780,924 | |
| | 3,859,524 | | | Series 2006-5-2A4A | | | 5.89% | # | | | 04/25/2036 | | | | 3,672,966 | |
| | 26,683,235 | | | Series 2007-1-2A1 | | | 5.60% | # | | | 02/25/2037 | | | | 24,904,691 | |
| |
| | | | Long Beach Mortgage Loan Trust, | |
| | 9,564,358 | | | Series 2006-WL1-2A3 | | | 0.39% | # | | | 01/25/2046 | | | | 9,188,794 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 6,617,650 | | | Series 2005-2-2A1 | | | 2.51% | # | | | 03/25/2035 | | | | 5,485,191 | |
| | 6,452,880 | | | Series 2005-6-5A1 | | | 2.43% | # | | | 07/25/2035 | | | | 5,764,654 | |
| | 28,550,977 | | | Series 2007-1-2A1 | | | 2.79% | # | | | 11/25/2036 | | | | 26,411,766 | |
| | 7,272,722 | | | Series 2007-2-A2 | | | 0.26% | # | | | 03/25/2047 | | | | 7,155,508 | |
| |
| | | | MASTR Alternative Loans Trust, | |
| | 3,007,372 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 3,017,958 | |
| | 1,004,774 | | | Series 2005-5-2A3 | | | 5.50% | | | | 07/25/2025 | | | | 1,009,818 | |
| | 7,959,257 | | | Series 2005-6-1A5 | | | 5.50% | | | | 12/25/2035 | | | | 7,294,476 | |
| | 4,180,362 | | | Series 2006-3-1A2 | | | 6.25% | | | | 07/25/2036 | | | | 3,579,389 | |
| | 9,519,503 | | | Series 2007-1-1A5 | | | 5.75% | | | | 10/25/2036 | | | | 9,110,603 | |
| | 9,351,109 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 7,549,974 | |
| |
| | | | MASTR Asset Backed Securities Trust, | |
| | 4,975,000 | | | Series 2003-OPT1-M3 | | | 4.28% | # | | | 12/25/2032 | | | | 4,581,905 | |
| | 24,356,519 | | | Series 2006-AM2-A3 | | | 0.32% | # | | | 06/25/2036 | | | | 20,025,735 | |
| | 3,605,226 | | | Series 2006-NC1-A3 | | | 0.34% | # | | | 01/25/2036 | | | | 3,560,357 | |
| |
| | | | MASTR Asset Securitization Trust, | |
| | 421,226 | | | Series 2003-1-30B2 | | | 5.75% | | | | 02/25/2033 | | | | 421,382 | |
| | 718,074 | | | Series 2007-1-1A1 | | | 5.50% | | | | 11/25/2037 | | | | 749,579 | |
| | 7,302,798 | | | Series 2007-1-1A3 | | | 6.25% | | | | 11/25/2037 | | | | 6,527,160 | |
| |
| | | | MASTR Seasoned Securitization Trust, | |
| | 1,703,576 | | | Series 2005-2-1A4 | | | 6.00% | | | | 10/25/2032 | | | | 1,707,819 | |
| | 2,245,554 | | | Series 2005-2-2A1 | | | 0.55% | # | | | 10/25/2032 | | | | 1,999,239 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 13,576,832 | | | Series 2006-3-1A | | | 2.33% | # | | | 10/25/2036 | | | | 13,339,516 | |
| | 4,391,151 | | | Series 2006-F1-1A2 | | | 6.00% | | | | 04/25/2036 | | | | 4,208,960 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 1,303,591 | | | Series 2003-NC6-M2 | | | 3.08% | # | | | 06/25/2033 | | | | 1,221,230 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 3,336,744 | | | Series 2005-10-1A1 | | | 0.85% | # | | | 12/25/2035 | | | | 2,813,403 | |
| | 8,360,049 | | | Series 2005-10-1A6 | | | 5.75% | | | | 12/25/2035 | | | | 8,068,534 | |
| | 9,867,028 | | | Series 2005-10-2A1 | | | 5.54% | # | | | 12/25/2035 | | | | 9,934,311 | |
| | 1,369,239 | | | Series 2005-6AR-1A1 | | | 0.43% | # | | | 11/25/2035 | | | | 1,354,640 | |
| | 6,965,168 | | | Series 2006-11-1A6 | | | 6.23% | # | | | 08/25/2036 | | | | 3,572,741 | |
| | 17,604,400 | | | Series 2006-11-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 14,646,016 | |
| | 9,737,757 | | | Series 2006-17XS-A3A | | | 5.65% | # | | | 10/25/2046 | | | | 6,436,005 | |
| | 3,001,919 | | | Series 2006-17XS-A6 | | | 5.58% | # | | | 10/25/2046 | | | | 1,765,314 | |
| | 13,331,627 | | | Series 2006-2-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 12,863,967 | |
| | 53,504,253 | | | Series 2006-7-3A | | | 5.38% | # | | | 06/25/2036 | | | | 46,356,834 | |
| | 4,416,339 | | | Series 2006-7-4A4 | | | 6.00% | | | | 06/25/2036 | | | | 4,049,257 | |
| | 4,470,779 | | | Series 2006-7-4A7 | | | 6.00% | | | | 06/25/2036 | | | | 4,099,172 | |
| | 5,959,847 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 4,942,740 | |
| | 22,928,769 | | | Series 2007-14AR-2A3 | | | 2.33% | # | | | 10/25/2037 | | | | 19,220,545 | |
| | 4,672,929 | | | Series 2007-1XS-2A3 | | | 5.92% | # | | | 09/25/2046 | | | | 2,733,719 | |
| | 3,444,875 | | | Series 2007-1XS-2A4A | | | 6.08% | # | | | 09/25/2046 | | | | 2,229,489 | |
| | 2,127,518 | | | Series 2007-3XS-1A2A | | | 5.62% | # | | | 01/25/2047 | | | | 2,055,193 | |
| | 10,382,588 | | | Series 2007-3XS-2A3S | | | 5.86% | # | | | 01/25/2047 | | | | 7,776,621 | |
| | 6,072,835 | | | Series 2007-3XS-2A4S | | | 5.96% | # | | | 01/25/2047 | | | | 4,548,079 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 2,672,025 | | | Series 2010-R9-1A | | | 4.00% | #^ | | | 08/26/2036 | | | | 2,719,410 | |
| | 7,233,945 | | | Series 2010-R9-1B | | | 6.74% | #^ | | | 08/26/2036 | | | | 5,273,683 | |
| | 60,143,267 | | | Series 2010-R9-3C | | | 6.19% | #^ | | | 11/26/2036 | | | | 58,938,983 | |
| | 7,603,214 | | | Series 2011-R1-1A | | | 5.94% | #^ | | | 02/26/2037 | | | | 8,028,523 | |
| |
| | | | MSCC Heloc Trust, | |
| | 31,315,515 | | | Series 2007-1-A | | | 0.25% | # | | | 12/25/2031 | | | | 29,642,672 | |
| |
| | | | New York Mortgage Trust, | |
| | 1,628,049 | | | Series 2005-2-A | | | 0.48% | # | | | 08/25/2035 | | | | 1,539,394 | |
| | | | | | |
| 22 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Newcastle Mortgage Securities Trust, | |
| $ | 11,673,971 | | | Series 2006-1-A3 | | | 0.33% | # | | | 03/25/2036 | | | | 11,630,742 | |
| |
| | | | Nomura Asset Acceptance Corporation, | |
| | 1,085,849 | | | Series 2005-AP1-2A5 | | | 4.86% | # | | | 02/25/2035 | | | | 1,107,979 | |
| | 20,132,585 | | | Series 2006-AF1-1A2 | | | 6.16% | # | | | 05/25/2036 | | | | 10,972,702 | |
| | 4,091,301 | | | Series 2006-AF1-1A3 | | | 6.41% | # | | | 05/25/2036 | | | | 2,229,031 | |
| | 19,090,845 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 12,754,880 | |
| | 4,143,529 | | | Series 2006-AP1-A3 | | | 5.65% | # | | | 01/25/2036 | | | | 2,792,303 | |
| | 2,078,732 | | | Series 2006-WF1-A2 | | | 5.76% | # | | | 06/25/2036 | | | | 1,222,450 | |
| |
| | | | Nomura Home Equity Loan, Inc., | |
| | 21,109,962 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 11,854,679 | |
| | 3,866,096 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 2,383,329 | |
| | 19,269,516 | | | Series 2007-1-1A3 | | | 5.99% | # | | | 02/25/2037 | | | | 11,879,329 | |
| |
| | | | Option One Mortgage Loan Trust, | |
| | 1,020,502 | | | Series 2002-2-A | | | 0.69% | # | | | 06/25/2032 | | | | 959,972 | |
| | 1,495,893 | | | Series 2004-3-M3 | | | 1.13% | # | | | 11/25/2034 | | | | 1,400,083 | |
| |
| | | | PFCA Home Equity Investment Trust, | |
| | 57,212,750 | | | Series 2003-IFC5-A | | | 4.12% | #^ | | | 01/22/2035 | | | | 54,563,090 | |
| | 60,259,568 | | | Series 2003-IFC6-A | | | 3.96% | #^ | | | 04/22/2035 | | | | 55,593,501 | |
| |
| | | | PHH Alternative Mortgage Trust, | |
| | 1,524,963 | | | Series 2007-2-3A1 | | | 6.00% | | | | 05/25/2037 | | | | 1,300,525 | |
| | 26,794,194 | | | Series 2007-3-A2 | | | 0.34% | # | | | 07/25/2037 | | | | 25,855,594 | |
| |
| | | | Popular ABS Mortgage Pass-Through Trust, | |
| | 962,942 | | | Series 2005-5-AF6 | | | 4.66% | # | | | 11/25/2035 | | | | 967,599 | |
| |
| | | | PR Mortgage Loan Trust, | |
| | 328,471,478 | | | Series 2014-1-APT | | | 5.93% | ^ | | | 10/25/2049 | | | | 329,949,600 | |
| |
| | | | Prime Mortgage Trust, | |
| | 571,708 | | | Series 2006-1-2A5 | | | 6.00% | | | | 06/25/2036 | | | | 575,131 | |
| | 4,446,045 | | | Series 2006-DR1-2A1 | | | 5.50% | ^ | | | 05/25/2035 | | | | 4,479,043 | |
| | 6,944,436 | | | Series 2006-DR1-2A2 | | | 6.00% | ^ | | | 05/25/2035 | | | | 7,007,388 | |
| |
| | | | RBSGC Structured Trust, | |
| | 53,662,070 | | | Series 2008-B-A1 | | | 6.00% | ^ | | | 06/25/2037 | | | | 47,361,467 | |
| |
| | | | Renaissance Home Equity Loan Trust, | |
| | 1,580,636 | | | Series 2006-1-AF6 | | | 5.75% | # | | | 05/25/2036 | | | | 1,193,962 | |
| | 11,039,840 | | | Series 2006-4-AF4 | | | 5.47% | # | | | 01/25/2037 | | | | 6,768,746 | |
| | 21,739,691 | | | Series 2006-4-AF5 | | | 5.69% | # | | | 01/25/2037 | | | | 13,804,465 | |
| | 18,260,913 | | | Series 2007-2-AF2 | | | 5.68% | # | | | 06/25/2037 | | | | 9,950,554 | |
| | 9,876,102 | | | Series 2007-2-AF5 | | | 6.20% | # | | | 06/25/2037 | | | | 5,856,390 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 8,398,330 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 8,791,628 | |
| | 33,172,667 | | | Series 2005-QA13-2A1 | | | 3.57% | # | | | 12/25/2035 | | | | 28,244,270 | |
| | 965,606 | | | Series 2005-QS12-A11 | | | 49.45% | # I/F | | | 08/25/2035 | | | | 1,789,176 | |
| | 4,375,541 | | | Series 2005-QS13-1A6 | | | 5.50% | | | | 09/25/2035 | | | | 3,821,422 | |
| | 7,901,503 | | | Series 2005-QS13-2A1 | | | 0.85% | # | | | 09/25/2035 | | | | 5,926,530 | |
| | 32,396,162 | | | Series 2005-QS13-2A2 | | | 4.90% | # I/F I/O | | | 09/25/2035 | | | | 4,050,573 | |
| | 13,624,569 | | | Series 2005-QS14-2A1 | | | 6.00% | | | | 09/25/2035 | | | | 11,029,252 | |
| | 6,820,324 | | | Series 2005-QS15-2A | | | 6.00% | | | | 10/25/2035 | | | | 5,329,749 | |
| | 7,038,120 | | | Series 2005-QS15-3A | | | 6.00% | | | | 10/25/2035 | | | | 6,151,345 | |
| | 7,814,384 | | | Series 2005-QS16-A1 | | | 0.85% | # | | | 11/25/2035 | | | | 5,802,884 | |
| | 7,813,033 | | | Series 2005-QS16-A2 | | | 4.65% | # I/F I/O | | | 11/25/2035 | | | | 964,042 | |
| | 3,691,050 | | | Series 2005-QS17-A1 | | | 6.00% | | | | 12/25/2035 | | | | 3,270,809 | |
| | 2,557,708 | | | Series 2005-QS17-A10 | | | 6.00% | | | | 12/25/2035 | | | | 2,266,502 | |
| | 10,697,443 | | | Series 2005-QS17-A11 | | | 6.00% | | | | 12/25/2035 | | | | 9,479,497 | |
| | 7,603,406 | | | Series 2005-QS17-A2 | | | 1.00% | # | | | 12/25/2035 | | | | 5,557,816 | |
| | 7,603,406 | | | Series 2005-QS17-A4 | | | 5.00% | # I/F I/O | | | 12/25/2035 | | | | 1,052,821 | |
| | 6,117,936 | | | Series 2005-QS17-A6 | | | 6.00% | | | | 12/25/2035 | | | | 5,421,384 | |
| | 3,304,401 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 3,359,178 | |
| | 3,068,772 | | | Series 2005-QS5-A3 | | | 5.70% | | | | 04/25/2035 | | | | 2,860,608 | |
| | 2,815,295 | | | Series 2005-QS9-A1 | | | 0.65% | # | | | 06/25/2035 | | | | 2,439,566 | |
| | 6,968,352 | | | Series 2005-QS9-A4 | | | 4.85% | # I/F I/O | | | 06/25/2035 | | | | 868,528 | |
| | 2,925,511 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 2,444,727 | |
| | 3,241,194 | | | Series 2006-QS12-1A1 | | | 6.50% | | | | 09/25/2036 | | | | 2,474,120 | |
| | 7,832,759 | | | Series 2006-QS12-2A18 | | | 5.75% | | | | 09/25/2036 | | | | 6,319,494 | |
| | 11,787,083 | | | Series 2006-QS14-A18 | | | 6.25% | | | | 11/25/2036 | | | | 9,392,066 | |
| | 6,480,993 | | | Series 2006-QS15-A1 | | | 6.50% | | | | 10/25/2036 | | | | 5,458,020 | |
| | 2,373,632 | | | Series 2006-QS16-A10 | | | 6.00% | | | | 11/25/2036 | | | | 1,894,308 | |
| | 8,440,260 | | | Series 2006-QS16-A11 | | | 6.00% | | | | 11/25/2036 | | | | 6,735,859 | |
| | 2,463,806 | | | Series 2006-QS16-A7 | | | 6.00% | | | | 11/25/2036 | | | | 1,966,273 | |
| | 2,662,433 | | | Series 2006-QS16-A8 | | | 6.00% | | | | 11/25/2036 | | | | 2,124,790 | |
| | 1,053,575 | | | Series 2006-QS16-A9 | | | 6.00% | | | | 11/25/2036 | | | | 840,819 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Accredit Loans, Inc., (Cont.) | |
| $ | 5,655,059 | | | Series 2006-QS17-A4 | | | 6.00% | | | | 12/25/2036 | | | | 4,480,769 | |
| | 31,417,060 | | | Series 2006-QS17-A5 | | | 6.00% | | | | 12/25/2036 | | | | 24,893,214 | |
| | 3,272,355 | | | Series 2006-QS1-A6 | | | 41.67% | # I/F | | | 01/25/2036 | | | | 6,378,867 | |
| | 21,825,766 | | | Series 2006-QS3-1A11 | | | 6.00% | | | | 03/25/2036 | | | | 18,937,322 | |
| | 4,793,963 | | | Series 2006-QS4-A8 | | | 8.00% | # I/F | | | 04/25/2036 | | | | 4,376,165 | |
| | 14,130,325 | | | Series 2006-QS5-A3 | | | 6.00% | | | | 05/25/2036 | | | | 12,009,731 | |
| | 18,271,055 | | | Series 2006-QS8-A1 | | | 6.00% | | | | 08/25/2036 | | | | 14,754,955 | |
| | 31,684,677 | | | Series 2006-QS8-A5 | | | 5.40% | # I/F I/O | | | 08/25/2036 | | | | 5,444,933 | |
| | 10,550,744 | | | Series 2006-QS9-1A6 | | | 5.15% | # I/F I/O | | | 07/25/2036 | | | | 1,672,631 | |
| | 9,865,409 | | | Series 2007-QS11-A1 | | | 7.00% | | | | 10/25/2037 | | | | 7,945,906 | |
| | 33,890,774 | | | Series 2007-QS1-1A2 | | | 5.30% | # I/F I/O | | | 01/25/2037 | | | | 4,973,691 | |
| | 3,411,466 | | | Series 2007-QS1-1A4 | | | 6.00% | | | | 01/25/2037 | | | | 2,929,149 | |
| | 8,159,253 | | | Series 2007-QS1-2A10 | | | 6.00% | | | | 01/25/2037 | | | | 6,852,459 | |
| | 1,476,018 | | | Series 2007-QS2-A6 | | | 6.25% | | | | 01/25/2037 | | | | 1,224,613 | |
| | 54,544,489 | | | Series 2007-QS3-A1 | | | 6.50% | | | | 02/25/2037 | | | | 45,102,675 | |
| | 8,697,459 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 7,108,294 | |
| | 6,528,548 | | | Series 2007-QS5-A1 | | | 5.50% | | | | 03/25/2037 | | | | 5,217,890 | |
| | 2,693,292 | | | Series 2007-QS5-A5 | | | 0.45% | # | | | 03/25/2037 | | | | 1,760,931 | |
| | 8,945,039 | | | Series 2007-QS5-A8 | | | 6.55% | # I/F I/O | | | 03/25/2037 | | | | 1,743,120 | |
| | 7,198,291 | | | Series 2007-QS6-A102 | | | 5.75% | | | | 04/25/2037 | | | | 5,836,137 | |
| | 2,314,460 | | | Series 2007-QS6-A13 | | | 53.71% | # I/F | | | 04/25/2037 | | | | 5,253,991 | |
| | 10,307,389 | | | Series 2007-QS6-A45 | | | 5.75% | | | | 04/25/2037 | | | | 8,356,890 | |
| | 16,426,792 | | | Series 2007-QS6-A6 | | | 6.25% | | | | 04/25/2037 | | | | 13,786,498 | |
| | 1,134,547 | | | Series 2007-QS6-A77 | | | 54.55% | # I/F | | | 04/25/2037 | | | | 2,622,871 | |
| | 12,017,998 | | | Series 2007-QS7-2A1 | | | 6.75% | | | | 06/25/2037 | | | | 8,250,704 | |
| | 52,347,840 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 44,374,374 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 307,321 | | | Series 2004-RS4-AI6 | | | 5.07% | # | | | 04/25/2034 | | | | 315,501 | |
| | 1,786,752 | | | Series 2004-RS5-AI6 | | | 5.55% | # | | | 05/25/2034 | | | | 1,767,634 | |
| | 8,506,120 | | | Series 2004-RS7-A3 | | | 2.71% | # | | | 07/25/2034 | | | | 7,580,008 | |
| | 3,317,278 | | | Series 2004-RS7-AI6 | | | 5.22% | # | | | 07/25/2034 | | | | 3,179,715 | |
| | 318,046 | | | Series 2004-RS9-AI4 | | | 4.77% | # | | | 10/25/2032 | | | | 333,779 | |
| | 890,732 | | | Series 2004-RS9-AI6 | | | 4.72% | # | | | 07/25/2034 | | | | 879,983 | |
| | 2,211,887 | | | Series 2004-RZ2-AI4 | | | 5.35% | # | | | 02/25/2033 | | | | 2,228,722 | |
| | 7,550,000 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 7,198,751 | |
| | 4,145,675 | | | Series 2006-RS5-A3 | | | 0.32% | # | | | 09/25/2036 | | | | 4,021,974 | |
| | 12,760,000 | | | Series 2006-RX5-A3 | | | 0.40% | # | | | 08/25/2046 | | | | 10,773,306 | |
| | 12,300,000 | | | Series 2006-RZ3-A3 | | | 0.44% | # | | | 08/25/2036 | | | | 11,171,758 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 456,447 | | | Series 2002-KS1-AI6 | | | 6.08% | # | | | 06/25/2032 | | | | 460,971 | |
| | 2,798,876 | | | Series 2003-KS11-MI1 | | | 5.13% | # | | | 01/25/2034 | | | | 2,701,511 | |
| | 2,984,470 | | | Series 2005-AHL3-A2 | | | 0.39% | # | | | 11/25/2035 | | | | 2,934,332 | |
| | 17,537,102 | | | Series 2006-EMX5-A3 | | | 0.31% | # | | | 07/25/2036 | | | | 16,106,022 | |
| | 660,951 | | | Series 2006-KS4-A3 | | | 0.30% | # | | | 06/25/2036 | | | | 657,563 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 8,449,876 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 6,628,598 | |
| | 6,319,222 | | | Series 2005-A12-A7 | | | 4.85% | # I/F I/O | | | 11/25/2035 | | | | 866,454 | |
| | 5,015,241 | | | Series 2005-A12-A8 | | | 0.70% | # | | | 11/25/2035 | | | | 3,880,773 | |
| | 18,687,508 | | | Series 2005-A15-5A3 | | | 5.75% | | | | 02/25/2036 | | | | 15,804,194 | |
| | 3,755,202 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 3,453,539 | |
| | 8,622,573 | | | Series 2005-A8CB-A11 | | | 6.00% | | | | 07/25/2035 | | | | 8,116,290 | |
| | 8,710,960 | | | Series 2005-A8CB-A2 | | | 4.85% | # I/F I/O | | | 07/25/2035 | | | | 1,263,146 | |
| | 7,891,754 | | | Series 2006-A10-A5 | | | 6.50% | | | | 09/25/2036 | | | | 5,995,310 | |
| | 1,365,721 | | | Series 2006-A1-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 1,134,403 | |
| | 11,087,490 | | | Series 2006-A12-A1 | | | 6.25% | | | | 11/25/2036 | | | | 8,450,785 | |
| | 11,082,969 | | | Series 2006-A13-A1 | | | 6.25% | | | | 12/25/2036 | | | | 8,466,424 | |
| | 23,707,088 | | | Series 2006-A1-3A2 | | | 6.00% | | | | 04/25/2036 | | | | 19,205,444 | |
| | 19,398,239 | | | Series 2006-A14C-2A6 | | | 0.60% | # | | | 12/25/2036 | | | | 7,626,476 | |
| | 42,809,003 | | | Series 2006-A14C-2A7 | | | 6.40% | # I/F I/O | | | 12/25/2036 | | | | 11,516,628 | |
| | 11,331,874 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 9,353,499 | |
| | 1,237,739 | | | Series 2006-A4-2A5 | | | 6.00% | | | | 05/25/2036 | | | | 1,152,703 | |
| | 7,565,710 | | | Series 2006-A8-1A1 | | | 6.00% | | | | 08/25/2036 | | | | 6,989,959 | |
| | 9,161,712 | | | Series 2006-R1-A1 | | | 27.78% | # I/F | | | 01/25/2046 | | | | 15,182,690 | |
| | 53,583,133 | | | Series 2007-A2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 46,940,325 | |
| | 1,528,134 | | | Series 2007-A3-1A2 | | | 45.20% | # I/F | | | 04/25/2037 | | | | 3,377,572 | |
| | 27,551,898 | | | Series 2007-A5-1A4 | | | 5.95% | # I/F I/O | | | 05/25/2037 | | | | 6,908,390 | |
| | 7,115,186 | | | Series 2007-A5-1A6 | | | 0.55% | # | | | 05/25/2037 | | | | 1,956,619 | |
| | 12,882,423 | | | Series 2007-A5-2A3 | | | 6.00% | | | | 05/25/2037 | | | | 11,567,772 | |
| | 5,645,708 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 5,069,564 | |
| | 21,110,265 | | | Series 2007-A6-1A2 | | | 6.00% | | | | 06/25/2037 | | | | 19,618,086 | |
| | 12,936,316 | | | Series 2007-A7-A1 | | | 6.00% | | | | 07/25/2037 | | | | 9,788,276 | |
| | 25,212,176 | | | Series 2007-A7-A6 | | | 6.00% | | | | 07/25/2037 | | | | 19,076,818 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 23 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| $ | 4,607,551 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 4,654,576 | |
| | 6,487,719 | | | Series 2005-S9-A10 | | | 6.25% | | | | 12/25/2035 | | | | 6,372,824 | |
| | 16,771,857 | | | Series 2005-S9-A6 | | | 5.75% | | | | 12/25/2035 | | | | 17,096,527 | |
| | 1,246,581 | | | Series 2005-S9-A8 | | | 5.50% | | | | 12/25/2035 | | | | 1,243,108 | |
| | 22,841,724 | | | Series 2006-S10-1A1 | | | 6.00% | | | | 10/25/2036 | | | | 20,249,737 | |
| | 39,619,816 | | | Series 2006-S11-A1 | | | 6.00% | | | | 11/25/2036 | | | | 36,645,240 | |
| | 7,495,884 | | | Series 2006-S5-A12 | | | 6.00% | | | | 06/25/2036 | | | | 7,034,655 | |
| | 513,200 | | | Series 2006-S5-A15 | | | 6.00% | | | | 06/25/2036 | | | | 481,622 | |
| | 12,017,514 | | | Series 2006-S9-A1 | | | 6.25% | | | | 09/25/2036 | | | | 11,075,065 | |
| | 9,398,537 | | | Series 2007-S1-A7 | | | 6.00% | | | | 01/25/2037 | | | | 8,738,882 | |
| | 8,133,739 | | | Series 2007-S2-A1 | | | 6.00% | | | | 02/25/2037 | | | | 7,399,930 | |
| | 9,163,553 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 8,336,835 | |
| | 17,107,305 | | | Series 2007-S2-A5 | | | 6.00% | | | | 02/25/2037 | | | | 15,563,918 | |
| | 2,673,302 | | | Series 2007-S2-A9 | | | 6.00% | | | | 02/25/2037 | | | | 2,432,148 | |
| | 7,955,999 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 7,349,290 | |
| | 2,532,666 | | | Series 2007-S4-A1 | | | 6.00% | | | | 04/25/2037 | | | | 2,267,151 | |
| | 6,760,885 | | | Series 2007-S4-A2 | | | 6.00% | | | | 04/25/2037 | | | | 6,052,101 | |
| | 55,332,651 | | | Series 2007-S5-A1 | | | 6.00% | | | | 05/25/2037 | | | | 50,881,361 | |
| | 16,035,621 | | | Series 2007-S5-A8 | | | 6.00% | | | | 05/25/2037 | | | | 14,706,268 | |
| | 9,269,490 | | | Series 2007-S6-2A4 | | | 6.00% | | | | 06/25/2037 | | | | 8,503,116 | |
| | 46,601,566 | | | Series 2007-S7-A20 | | | 6.00% | | | | 07/25/2037 | | | | 42,861,883 | |
| | 18,821,681 | | | Series 2007-S8-1A1 | | | 6.00% | | | | 09/25/2037 | | | | 17,088,844 | |
| | 8,073,381 | | | Series 2007-SA1-4A | | | 5.99% | # | | | 02/25/2037 | | | | 7,415,691 | |
| | 18,001,262 | | | Series 2007-SA2-2A1 | | | 3.05% | # | | | 04/25/2037 | | | | 15,909,642 | |
| |
| | | | Saxon Asset Securities Trust, | |
| | 70,481,879 | | | Series 2006-3-A3 | | | 0.32% | # | | | 10/25/2046 | | | | 58,800,565 | |
| |
| | | | Sequoia Mortgage Trust, | |
| | 353,983 | | | Series 2003-4-2A1 | | | 0.50% | # | | | 07/20/2033 | | | | 339,480 | |
| |
| | | | Solstice Ltd., | |
| | 5,019,037 | | | Series 2003-3A-A2 | | | 1.33% | #^ | | | 09/15/2033 | | | | 4,838,352 | |
| |
| | | | Soundview Home Equity Loan Trust, | |
| | 22,294,932 | | | Series 2007-NS1-A2 | | | 0.30% | # | | | 01/25/2037 | | | | 21,697,138 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 118,132,750 | | | Series 2013-1A-B3F | | | 6.00% | #^ | | | 06/25/2058 | | | | 119,313,014 | |
| | 61,983,000 | | | Series 2013-2A-B1 | | | 6.00% | #^ | | | 12/25/2065 | | | | 64,238,251 | |
| |
| | | | STARM Mortgage Loan Trust, | |
| | 25,384,485 | | | Series 2007-2-1A1 | | | 2.71% | # | | | 04/25/2037 | | | | 21,662,028 | |
| | 14,346,363 | | | Series 2007-3-1A1 | | | 2.59% | # | | | 06/25/2037 | | | | 13,139,590 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 12,667,856 | | | Series 2004-12-8A | | | 2.37% | # | | | 09/25/2034 | | | | 12,556,898 | |
| | 4,717,064 | | | Series 2006-1-8A1 | | | 5.37% | # | | | 02/25/2036 | | | | 3,792,968 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 167,959 | | | Series 2003-18XS-A6 | | | 4.54% | # | | | 06/25/2033 | | | | 169,929 | |
| | 5,246,804 | | | Series 2003-24A-1A3 | | | 2.45% | # | | | 07/25/2033 | | | | 5,235,020 | |
| | 14,229,891 | | | Series 2003-35-1A1 | | | 5.23% | # | | | 12/25/2033 | | | | 14,853,794 | |
| | 6,923,513 | | | Series 2004-11XS-2A2 | | | 5.10% | # | | | 06/25/2034 | | | | 8,122,225 | |
| | 2,939,666 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 2,985,331 | |
| | 14,202,963 | | | Series 2004-22-A2 | | | 5.16% | # | | | 01/25/2035 | | | | 14,808,656 | |
| | 35,566,998 | | | Series 2005-10-1A1 | | | 5.75% | | | | 06/25/2035 | | | | 35,485,479 | |
| | 5,744,846 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 6,002,454 | |
| | 8,883,643 | | | Series 2005-13-3A1 | | | 6.00% | | | | 09/25/2035 | | | | 7,859,528 | |
| | 3,019,093 | | | Series 2005-14-1A1 | | | 0.45% | # | | | 07/25/2035 | | | | 2,734,601 | |
| | 915,370 | | | Series 2005-14-1A4 | | | 23.84% | # I/F | | | 07/25/2035 | | | | 1,340,483 | |
| | 55,222,294 | | | Series 2005-14-4A1 | | | 5.75% | | | | 07/25/2035 | | | | 54,886,764 | |
| | 5,680,118 | | | Series 2005-15-1A1 | | | 5.50% | | | | 08/25/2035 | | | | 5,961,656 | |
| | 11,846,080 | | | Series 2005-15-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 11,698,507 | |
| | 19,226,730 | | | Series 2005-15-3A1 | | | 5.01% | # | | | 08/25/2035 | | | | 19,749,812 | |
| | 11,330,298 | | | Series 2005-16-1A2 | | | 5.50% | | | | 09/25/2035 | | | | 11,722,678 | |
| | 12,500,000 | | | Series 2005-3-1A6 | | | 5.75% | | | | 03/25/2035 | | | | 12,206,956 | |
| | 3,429,060 | | | Series 2005-6-4A1 | | | 5.00% | | | | 05/25/2035 | | | | 3,478,694 | |
| |
| | | | Suntrust Alternative Loan Trust, | |
| | 1,755,306 | | | Series 2005-1F-2A3 | | | 5.75% | | | | 12/25/2035 | | | | 1,588,778 | |
| | 2,843,525 | | | Series 2006-1F-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 2,292,851 | |
| |
| | | | Thornburg Mortgage Securities Trust, | |
| | 1,425,773 | | | Series 2003-6-A2 | | | 1.15% | # | | | 12/25/2033 | | | | 1,326,766 | |
| | 10,726,442 | | | Series 2004-4-5A | | | 4.82% | # | | | 12/25/2044 | | | | 10,552,663 | |
| | 27,507,852 | | | Series 2007-1-A1 | | | 1.45% | # | | | 03/25/2037 | | | | 26,382,065 | |
| | 6,996,513 | | | Series 2007-1-A2A | | | 1.45% | # | | | 03/25/2037 | | | | 6,445,335 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| $ | 10,320,040 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 10,065,486 | |
| | 5,609,014 | | | Series 2005-4-5A1 | | | 5.50% | | | | 06/25/2035 | | | | 5,439,255 | |
| | 1,937,360 | | | Series 2005-5-CB12 | | | 48.90% | # I/F | | | 07/25/2035 | | | | 3,749,262 | |
| | 6,273,647 | | | Series 2005-5-CB6 | | | 0.75% | # | | | 07/25/2035 | | | | 4,986,282 | |
| | 2,060,716 | | | Series 2005-6-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 1,928,801 | |
| | 2,068,572 | | | Series 2005-7-3CB | | | 6.50% | | | | 08/25/2035 | | | | 1,665,875 | |
| | 5,198,797 | | | Series 2005-9-CX | | | 5.50% | I/O | | | 11/25/2035 | | | | 1,255,317 | |
| | 8,594,494 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 7,921,812 | |
| | 4,346,885 | | | Series 2006-1-3A2 | | | 5.75% | | | | 02/25/2036 | | | | 4,006,658 | |
| | 3,693,529 | | | Series 2006-1-3A7 | | | 5.75% | | | | 02/25/2036 | | | | 3,404,441 | |
| | 4,620,228 | | | Series 2006-5-1A8 | | | 5.75% | | | | 07/25/2036 | | | | 3,772,365 | |
| | 8,385,872 | | | Series 2006-5-2CB1 | | | 6.00% | | | | 07/25/2036 | | | | 6,530,297 | |
| | 15,232,273 | | | Series 2006-5-2CB6 | | | 6.00% | | | | 07/25/2036 | | | | 11,861,767 | |
| | 8,731,463 | | | Series 2006-5-3A5 | | | 6.45% | # | | | 07/25/2036 | | | | 4,929,190 | |
| | 5,429,094 | | | Series 2006-9-A7 | | | 5.32% | # | | | 10/25/2036 | | | | 3,679,835 | |
| | 18,733,677 | | | Series 2006-AR10-1A1 | | | 2.23% | # | | | 09/25/2036 | | | | 17,173,761 | |
| | 27,315,006 | | | Series 2006-AR15-1A | | | 0.96% | # | | | 11/25/2046 | | | | 23,657,554 | |
| | 2,468,376 | | | Series 2006-AR6-2A3 | | | 4.61% | # | | | 08/25/2036 | | | | 2,289,693 | |
| | 17,877,987 | | | Series 2007-3-A3 | | | 6.00% | | | | 04/25/2037 | | | | 15,562,788 | |
| | 16,168,747 | | | Series 2007-4-1A1 | | | 5.50% | | | | 06/25/2037 | | | | 15,368,992 | |
| | 741,074 | | | Series 2007-5-A11 | | | 38.55% | # I/F | | | 06/25/2037 | | | | 1,475,451 | |
| | 18,526,846 | | | Series 2007-5-A6 | | | 6.00% | | | | 06/25/2037 | | | | 15,987,297 | |
| | 36,215,483 | | | Series 2007-HY3-4A1 | | | 2.36% | # | | | 03/25/2037 | | | | 34,681,522 | |
| | 33,361,945 | | | Series 2007-HY5-1A1 | | | 1.98% | # | | | 05/25/2037 | | | | 30,357,802 | |
| | 28,794,331 | | | Series 2007-HY6-2A3 | | | 2.48% | # | | | 06/25/2037 | | | | 25,471,840 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 3,626,880 | | | Series 2007-PA1-A10 | | | 6.00% | | | | 03/25/2037 | | | | 3,284,329 | |
| | 15,924,832 | | | Series 2007-PA1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 14,420,763 | |
| | 13,730,689 | | | Series 2007-PA1-A5 | | | 6.00% | | | | 03/25/2037 | | | | 12,433,852 | |
| | 22,503,911 | | | Series 2007-PA1-A6 | | | 6.00% | | | | 03/25/2037 | | | | 20,378,461 | |
| | 107,783,177 | | | Series 2007-PA2-1A1 | | | 6.00% | | | | 06/25/2037 | | | | 104,519,826 | |
| | 15,197,727 | | | Series 2007-PA2-3A1 | | | 0.50% | # | | | 06/25/2037 | | | | 10,314,317 | |
| | 22,388,605 | | | Series 2007-PA2-3A2 | | | 6.50% | # I/F I/O | | | 06/25/2037 | | | | 4,443,500 | |
| | 1,576,159 | | | Series 2007-PA3-1A4 | | | 5.75% | | | | 07/25/2037 | | | | 1,438,082 | |
| | 38,167,807 | | | Series 2007-PA3-2A1 | | | 6.00% | | | | 07/25/2037 | | | | 36,683,308 | |
| | 15,164,314 | | | Series 2007-PA3-2A4 | | | 6.00% | | | | 07/25/2037 | | | | 14,574,514 | |
| | 23,608,873 | | | Series 2007-PA3-3A1 | | | 6.25% | | | | 07/25/2037 | | | | 21,696,106 | |
| | 14,581,722 | | | Series 2007-PA3-4A3 | | | 6.50% | | | | 07/25/2037 | | | | 12,061,504 | |
| | 191,833,669 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 182,922,995 | |
| | 1,202,730 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 1,241,434 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 29,128,031 | | | Series 2004-Y-3A3 | | | 2.60% | # | | | 11/25/2034 | | | | 30,004,872 | |
| | 64,368,149 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 66,287,285 | |
| | 324,131 | | | Series 2005-4-A7 | | | 23.28% | # I/F | | | 04/25/2035 | | | | 365,456 | |
| | 5,429,223 | | | Series 2005-8-A1 | | | 5.50% | | | | 10/25/2035 | | | | 5,663,541 | |
| | 4,431,843 | | | Series 2005-AR16-6A4 | | | 2.61% | # | | | 10/25/2035 | | | | 4,285,235 | |
| | 11,640,980 | | | Series 2006-12-A3 | | | 6.00% | | | | 10/25/2036 | | | | 11,442,216 | |
| | 13,873,058 | | | Series 2006-14-A1 | | | 6.00% | | | | 10/25/2036 | | | | 13,990,396 | |
| | 16,785,589 | | | Series 2006-15-A1 | | | 6.00% | | | | 11/25/2036 | | | | 16,324,959 | |
| | 9,787,789 | | | Series 2006-16-A2 | | | 5.00% | | | | 11/25/2036 | | | | 10,129,207 | |
| | 180,632 | | | Series 2006-2-1A4 | | | 18.96% | # I/F | | | 03/25/2036 | | | | 240,992 | |
| | 8,869,701 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 9,044,514 | |
| | 36,510,961 | | | Series 2006-3-A11 | | | 5.50% | | | | 03/25/2036 | | | | 38,359,036 | |
| | 6,237,750 | | | Series 2006-3-A6 | | | 5.50% | | | | 03/25/2036 | | | | 6,428,632 | |
| | 584,528 | | | Series 2006-4-2A2 | | | 5.50% | | | | 04/25/2036 | | | | 574,990 | |
| | 7,609,003 | | | Series 2006-6-2A1 | | | 0.55% | # | | | 05/25/2036 | | | | 6,298,672 | |
| | 7,609,003 | | | Series 2006-6-2A2 | | | 6.95% | # I/F I/O | | | 05/25/2036 | | | | 1,628,178 | |
| | 4,366,060 | | | Series 2006-9-2A1 | | | 0.00% | P/O | | | 08/25/2036 | | | | 2,225,019 | |
| | 4,366,060 | | | Series 2006-9-2A2 | | | 6.00% | I/O | | | 08/25/2036 | | | | 853,082 | |
| | 19,171,594 | | | Series 2006-AR12-1A1 | | | 2.49% | # | | | 09/25/2036 | | | | 18,043,269 | |
| | 9,790,313 | | | Series 2006-AR13-A2 | | | 2.60% | # | | | 09/25/2036 | | | | 9,354,586 | |
| | 10,798,322 | | | Series 2006-AR4-2A1 | | | 5.59% | # | | | 04/25/2036 | | | | 10,705,856 | |
| | 3,829,785 | | | Series 2007-10-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 3,773,793 | |
| | 6,594,053 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 6,316,084 | |
| | 3,924,631 | | | Series 2007-11-A14 | | | 6.00% | | | | 08/25/2037 | | | | 3,924,105 | |
| | 7,833,154 | | | Series 2007-11-A36 | | | 6.00% | | | | 08/25/2037 | | | | 7,832,105 | |
| | 5,566,779 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 5,566,033 | |
| | 68,494,782 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 69,691,796 | |
| | 42,819,282 | | | Series 2007-2-1A1 | | | 6.00% | | | | 03/25/2037 | | | | 42,099,597 | |
| | 2,478,084 | | | Series 2007-2-1A18 | | | 5.75% | | | | 03/25/2037 | | | | 2,417,367 | |
| | 5,581,301 | | | Series 2007-2-1A9 | | | 6.00% | | | | 03/25/2037 | | | | 5,487,493 | |
| | 2,947,686 | | | Series 2007-2-3A2 | | | 5.25% | | | | 03/25/2037 | | | | 3,036,081 | |
| | 4,030,788 | | | Series 2007-3-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 4,036,842 | |
| | | | | | |
| 24 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, (Cont.) | |
| $ | 4,218,224 | | | Series 2007-4-A11 | | | 6.50% | | | | 04/25/2037 | | | | 4,185,590 | |
| | 16,203,645 | | | Series 2007-4-A15 | | | 6.00% | | | | 04/25/2037 | | | | 15,826,830 | |
| | 9,557,645 | | | Series 2007-4-A3 | | | 6.00% | | | | 04/25/2037 | | | | 9,335,382 | |
| | 10,079,817 | | | Series 2007-4-A8 | | | 6.00% | | | | 04/25/2037 | | | | 9,845,410 | |
| | 2,895,200 | | | Series 2007-5-1A6 | | | 23.82% | # I/F | | | 05/25/2037 | | | | 3,910,077 | |
| | 12,779,852 | | | Series 2007-6-A4 | | | 6.00% | | | | 05/25/2037 | | | | 12,841,962 | |
| | 6,106,835 | | | Series 2007-6-A6 | | | 6.00% | | | | 05/25/2037 | | | | 6,136,514 | |
| | 18,684,098 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 18,544,136 | |
| | 1,299,442 | | | Series 2007-7-A32 | | | 5.75% | | | | 06/25/2037 | | | | 1,279,116 | |
| | 42,075,213 | | | Series 2007-7-A34 | | | 6.00% | | | | 06/25/2037 | | | | 41,760,028 | |
| | 11,341,847 | | | Series 2007-7-A36 | | | 6.00% | | | | 06/25/2037 | | | | 11,256,885 | |
| | 3,875,605 | | | Series 2007-7-A43 | | | 0.65% | # | | | 06/25/2037 | | | | 3,326,145 | |
| | 10,588,072 | | | Series 2007-7-A49 | | | 6.00% | | | | 06/25/2037 | | | | 10,508,756 | |
| | 4,482,429 | | | Series 2007-7-A8 | | | 0.65% | # | | | 06/25/2037 | | | | 3,846,937 | |
| | 2,022,102 | | | Series 2007-7-A9 | | | 38.07% | # I/F | | | 06/25/2037 | | | | 3,534,835 | |
| | 2,994,145 | | | Series 2007-8-1A13 | | | 0.52% | # | | | 07/25/2037 | | | | 2,569,285 | |
| | 2,994,145 | | | Series 2007-8-1A14 | | | 38.85% | # I/F | | | 07/25/2037 | | | | 5,362,191 | |
| | 48,654,863 | | | Series 2007-8-1A16 | | | 6.00% | | | | 07/25/2037 | | | | 48,612,485 | |
| | 32,466,642 | | | Series 2007-8-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 32,438,363 | |
| | 4,589,840 | | | Series 2007-8-1A20 | | | 6.00% | | | | 07/25/2037 | | | | 4,585,843 | |
| | 20,542,004 | | | Series 2007-8-1A22 | | | 6.00% | | | | 07/25/2037 | | | | 20,524,112 | |
| | 14,272,071 | | | Series 2007-8-1A3 | | | 6.00% | | | | 07/25/2037 | | | | 14,259,839 | |
| | 16,713,472 | | | Series 2007-8-2A9 | | | 6.00% | | | | 07/25/2037 | | | | 17,096,461 | |
| | 9,209,800 | | | Series 2007-9-1A5 | | | 5.50% | | | | 07/25/2037 | | | | 9,512,632 | |
| | 84,793,289 | | | Series 2007-AR9-A1 | | | 6.00% | # | | | 12/28/2037 | | | | 85,166,125 | |
| |
| | | | Wells Fargo Mortgage Loan Trust, | |
| | 21,544,330 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 21,707,834 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $9,245,811,091) | | | | 9,469,553,043 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 44.7% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 20,442,072 | | | Pool C03490 | | | 4.50% | | | | 08/01/2040 | | | | 22,075,163 | |
| | 100,469,691 | | | Pool C91388 | | | 3.50% | | | | 02/01/2032 | | | | 104,663,193 | |
| | 52,218,396 | | | Pool C91403 | | | 3.50% | | | | 03/01/2032 | | | | 54,399,129 | |
| | 52,630,282 | | | Pool C91413 | | | 3.50% | | | | 12/01/2031 | | | | 54,829,093 | |
| | 25,985,903 | | | Pool C91417 | | | 3.50% | | | | 01/01/2032 | | | | 27,071,713 | |
| | 102,957,117 | | | Pool C91447 | | | 3.50% | | | | 05/01/2032 | | | | 107,259,495 | |
| | 107,519,823 | | | Pool C91594 | | | 3.00% | | | | 01/01/2033 | | | | 109,636,641 | |
| | 30,849,058 | | | Pool C91596 | | | 3.00% | | | | 02/01/2033 | | | | 31,456,405 | |
| | 17,624,175 | | | Pool D98901 | | | 3.50% | | | | 01/01/2032 | | | | 18,360,556 | |
| | 51,619,607 | | | Pool D98923 | | | 3.50% | | | | 01/01/2032 | | | | 53,776,391 | |
| | 40,183,426 | | | Pool D99724 | | | 3.00% | | | | 11/01/2032 | | | | 40,974,539 | |
| | 51,413,379 | | | Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 56,857,565 | |
| | 11,890,649 | | | Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 13,087,148 | |
| | 31,486,185 | | | Pool G06172 | | | 5.50% | | | | 12/01/2038 | | | | 35,069,308 | |
| | 43,407,640 | | | Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 48,902,434 | |
| | 58,026,701 | | | Pool G07011 | | | 6.00% | | | | 05/01/2040 | | | | 65,363,346 | |
| | 113,114,176 | | | Pool G08534 | | | 3.00% | | | | 06/01/2043 | | | | 111,871,643 | |
| | 35,975,853 | | | Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 35,580,666 | |
| | 179,172,151 | | | Pool J22834 | | | 2.50% | | | | 03/01/2028 | | | | 181,382,945 | |
| | 169,312,450 | | | Pool Q16672 | | | 3.00% | | | | 03/01/2043 | | | | 167,452,592 | |
| | 10,814,494 | | | Pool Q23595 | | | 4.00% | | | | 12/01/2043 | | | | 11,451,641 | |
| | 14,111,249 | | | Pool Q24052 | | | 4.00% | | | | 01/01/2044 | | | | 14,942,640 | |
| | 11,974,459 | | | Pool Q24172 | | | 4.00% | | | | 01/01/2044 | | | | 12,675,065 | |
| | 10,400,004 | | | Pool Q24979 | | | 4.00% | | | | 02/01/2044 | | | | 11,013,070 | |
| | 19,059,878 | | | Pool T60392 | | | 4.00% | | | | 10/01/2041 | | | | 19,930,014 | |
| | 15,019,790 | | | Pool T60681 | | | 4.00% | | | | 05/01/2042 | | | | 15,705,748 | |
| | 42,543,314 | | | Pool T60782 | | | 3.50% | | | | 07/01/2042 | | | | 43,084,750 | |
| | 60,562,637 | | | Pool T60853 | | | 3.50% | | | | 09/01/2042 | | | | 61,333,371 | |
| | 56,004,689 | | | Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 56,717,427 | |
| | 6,705,768 | | | Pool T65110 | | | 3.50% | | | | 10/01/2042 | | | | 6,791,113 | |
| | 17,130,923 | | | Pool T69016 | | | 5.00% | | | | 06/01/2041 | | | | 18,619,320 | |
| | 1,231,983 | | | Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 1,308,614 | |
| | 4,079,906 | | | Series 2519-ZD | | | 5.50% | | | | 11/15/2032 | | | | 4,533,414 | |
| | 2,364,870 | | | Series 2596-ZL | | | 5.00% | | | | 04/15/2033 | | | | 2,492,977 | |
| | 79,780,912 | | | Series 267-30 | | | 3.00% | | | | 08/15/2042 | | | | 79,068,102 | |
| | 1,322,354 | | | Series 2684-ZN | | | 4.00% | | | | 10/15/2033 | | | | 1,389,416 | |
| | 147,220,201 | | | Series 269-30 | | | 3.00% | | | | 08/15/2042 | | | | 145,067,102 | |
| | 64,764,130 | | | Series 274-30 | | | 3.00% | | | | 08/15/2042 | | | | 63,971,029 | |
| | 8,162,544 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 8,606,273 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 176,754,877 | | | Series 280-30 | | | 3.00% | | | | 09/15/2042 | | | | 174,169,834 | |
| | 13,102,357 | | | Series 2825-PZ | | | 5.50% | | | | 07/15/2034 | | | | 14,142,357 | |
| | 44,029,760 | | | Series 284-300 | | | 3.00% | | | | 10/15/2042 | | | | 43,646,453 | |
| | 13,226,151 | | | Series 2898-JZ | | | 5.00% | | | | 12/15/2034 | | | | 14,188,095 | |
| | 25,665,796 | | | Series 2899-AZ | | | 5.00% | | | | 12/15/2034 | | | | 27,844,309 | |
| | 21,016,419 | | | Series 2909-Z | | | 5.00% | | | | 12/15/2034 | | | | 22,923,144 | |
| | 39,410,302 | | | Series 2932-Z | | | 5.00% | | | | 02/15/2035 | | | | 42,312,102 | |
| | 3,446,512 | | | Series 2990-JL | | | 6.50% | # I/F I/O | | | 03/15/2035 | | | | 483,102 | |
| | 11,082,518 | | | Series 3002-SN | | | 6.35% | # I/F I/O | | | 07/15/2035 | | | | 2,139,018 | |
| | 7,411,552 | | | Series 3030-SL | | | 5.95% | # I/F I/O | | | 09/15/2035 | | | | 1,155,984 | |
| | 2,284,576 | | | Series 3045-DI | | | 6.58% | # I/F I/O | | | 10/15/2035 | | | | 442,140 | |
| | 19,591,437 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 21,715,061 | |
| | 4,903,944 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 5,282,935 | |
| | 8,286,032 | | | Series 3174-PZ | | | 5.00% | | | | 01/15/2036 | | | | 9,082,502 | |
| | 2,562,745 | | | Series 3187-JZ | | | 5.00% | | | | 07/15/2036 | | | | 2,757,397 | |
| | 6,205,993 | | | Series 3188-ZK | | | 5.00% | | | | 07/15/2036 | | | | 6,713,311 | |
| | 9,532,219 | | | Series 3203-SE | | | 6.35% | # I/F I/O | | | 08/15/2036 | | | | 1,596,318 | |
| | 16,470,670 | | | Series 3203-Z | | | 5.00% | | | | 07/15/2036 | | | | 18,085,199 | |
| | 26,097,892 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 28,656,125 | |
| | 10,780,474 | | | Series 3261-SA | | | 6.28% | # I/F I/O | | | 01/15/2037 | | | | 1,823,347 | |
| | 11,199,556 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 12,183,678 | |
| | 15,825,366 | | | Series 3275-SC | | | 5.93% | # I/F I/O | | | 02/15/2037 | | | | 2,188,306 | |
| | 10,213,517 | | | Series 3315-HZ | | | 6.00% | | | | 05/15/2037 | | | | 11,259,197 | |
| | 28,650,524 | | | Series 3326-GS | | | 6.50% | # I/F I/O | | | 06/15/2037 | | | | 4,250,901 | |
| | 2,898,421 | | | Series 3351-ZC | | | 5.50% | | | | 07/15/2037 | | | | 3,228,061 | |
| | 23,884,479 | | | Series 3355-BI | | | 5.90% | # I/F I/O | | | 08/15/2037 | | | | 3,695,297 | |
| | 2,925,094 | | | Series 3369-Z | | | 6.00% | | | | 09/15/2037 | | | | 3,273,646 | |
| | 8,869,165 | | | Series 3405-ZG | | | 5.50% | | | | 01/15/2038 | | | | 9,662,764 | |
| | 11,831,786 | | | Series 3417-SI | | | 6.03% | # I/F I/O | | | 02/15/2038 | | | | 1,323,612 | |
| | 16,988,537 | | | Series 3423-GS | | | 5.50% | # I/F I/O | | | 03/15/2038 | | | | 1,785,962 | |
| | 2,789,697 | | | Series 3423-SG | | | 5.50% | # I/F I/O | | | 03/15/2038 | | | | 311,809 | |
| | 3,182,638 | | | Series 3451-S | | | 5.88% | # I/F I/O | | | 02/15/2037 | | | | 462,445 | |
| | 3,772,788 | | | Series 3455-SC | | | 5.91% | # I/F I/O | | | 06/15/2038 | | | | 492,514 | |
| | 2,736,996 | | | Series 3473-SM | | | 5.92% | # I/F I/O | | | 07/15/2038 | | | | 280,799 | |
| | 13,552,761 | | | Series 3484-SE | | | 5.70% | # I/F I/O | | | 08/15/2038 | | | | 1,696,323 | |
| | 11,041,004 | | | Series 3519-SD | | | 5.40% | # I/F I/O | | | 02/15/2038 | | | | 1,261,801 | |
| | 4,687,667 | | | Series 3524-LB | | | 4.97% | # | | | 06/15/2038 | | | | 4,800,037 | |
| | 190,086 | | | Series 3530-GZ | | | 4.50% | | | | 05/15/2039 | | | | 213,692 | |
| | 19,522,344 | | | Series 3541-EI | | | 6.60% | # I/F I/O | | | 06/15/2039 | | | | 2,886,837 | |
| | 6,429,467 | | | Series 3545-SA | | | 6.00% | # I/F I/O | | | 06/15/2039 | | | | 878,331 | |
| | 2,674,646 | | | Series 3549-SA | | | 5.65% | # I/F I/O | | | 07/15/2039 | | | | 273,683 | |
| | 21,491,075 | | | Series 3577-LS | | | 7.05% | # I/F I/O | | | 08/15/2035 | | | | 3,602,076 | |
| | 5,222,039 | | | Series 3582-SA | | | 5.85% | # I/F I/O | | | 10/15/2049 | | | | 693,708 | |
| | 6,622,346 | | | Series 3583-GB | | | 4.50% | | | | 10/15/2039 | | | | 6,989,989 | |
| | 39,745,292 | | | Series 3606-CS | | | 6.20% | # I/F I/O | | | 12/15/2039 | | | | 6,902,946 | |
| | 10,073,683 | | | Series 3616-SG | | | 6.20% | # I/F I/O | | | 03/15/2032 | | | | 1,561,688 | |
| | 18,232,910 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 19,929,619 | |
| | 5,479,339 | | | Series 3631-SE | | | 6.25% | # I/F I/O | | | 05/15/2039 | | | | 472,374 | |
| | 24,345,626 | | | Series 3641-Z | | | 5.50% | | | | 02/15/2036 | | | | 27,002,841 | |
| | 21,118,043 | | | Series 3654-ZB | | | 5.50% | | | | 11/15/2037 | | | | 23,076,815 | |
| | 43,981,176 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 48,184,611 | |
| | 7,936,027 | | | Series 3667-SB | | | 6.30% | # I/F I/O | | | 05/15/2040 | | | | 1,262,590 | |
| | 11,723,314 | | | Series 3688-CM | | | 4.00% | | | | 07/15/2029 | | | | 11,906,631 | |
| | 19,086,644 | | | Series 3702-SG | | | 5.90% | # I/F I/O | | | 08/15/2032 | | | | 2,899,956 | |
| | 8,200,350 | | | Series 3704-EI | | | 5.00% | I/O | | | 12/15/2036 | | | | 1,254,875 | |
| | 3,741,293 | | | Series 3712-SG | | | 24.23% | # I/F | | | 08/15/2040 | | | | 5,972,230 | |
| | 16,009,438 | | | Series 3724-CM | | | 5.50% | | | | 06/15/2037 | | | | 17,740,659 | |
| | 144,113,708 | | | Series 3725-CS | | | 5.85% | # I/F I/O | | | 05/15/2040 | | | | 23,070,558 | |
| | 49,720,590 | | | Series 3726-SA | | | 5.90% | # I/F I/O | | | 09/15/2040 | | | | 7,635,452 | |
| | 98,000,000 | | | Series 3738-BP | | | 4.00% | | | | 12/15/2038 | | | | 103,927,971 | |
| | 6,308,418 | | | Series 3741-SC | | | 9.69% | # I/F | | | 10/15/2040 | | | | 6,466,688 | |
| | 238,477 | | | Series 3745-SY | | | 9.69% | # I/F | | | 10/15/2040 | | | | 235,234 | |
| | 39,383,660 | | | Series 3752-BS | | | 9.69% | # I/F | | | 11/15/2040 | | | | 41,242,301 | |
| | 1,883,625 | | | Series 3758-SM | | | 9.69% | # I/F | | | 11/15/2040 | | | | 1,856,137 | |
| | 14,469,126 | | | Series 3768-ZX | | | 5.00% | | | | 12/15/2040 | | | | 16,977,840 | |
| | 18,329,600 | | | Series 3771-AL | | | 4.00% | | | | 12/15/2030 | | | | 19,092,423 | |
| | 18,761,630 | | | Series 3779-BY | | | 3.50% | | | | 12/15/2030 | | | | 18,786,649 | |
| | 26,408,807 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 26,455,712 | |
| | 24,250,000 | | | Series 3779-LB | | | 4.00% | | | | 12/15/2030 | | | | 25,637,524 | |
| | 2,689,783 | | | Series 3779-SH | | | 9.49% | # I/F | | | 12/15/2040 | | | | 2,674,405 | |
| | 3,500,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 3,585,067 | |
| | 15,000,000 | | | Series 3783-AC | | | 4.00% | | | | 01/15/2031 | | | | 16,015,545 | |
| | 14,940,310 | | | Series 3786-SG | | | 9.19% | # I/F | | | 01/15/2041 | | | | 14,959,890 | |
| | 11,731,674 | | | Series 3788-AY | | | 3.50% | | | | 01/15/2031 | | | | 11,663,384 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 25 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 10,927,897 | | | Series 3790-Z | | | 4.00% | | | | 01/15/2041 | | | | 11,367,013 | |
| | 11,576,855 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 11,678,882 | |
| | 916,011 | | | Series 3798-SD | | | 9.29% | # I/F | | | 12/15/2040 | | | | 928,704 | |
| | 18,244,266 | | | Series 3800-VZ | | | 4.50% | | | | 02/15/2041 | | | | 19,899,440 | |
| | 12,514,542 | | | Series 3803-ZM | | | 4.00% | | | | 02/15/2041 | | | | 12,826,986 | |
| | 69,385,942 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 78,160,003 | |
| | 18,000,000 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 18,070,290 | |
| | 15,277,557 | | | Series 3812-EY | | | 3.50% | | | | 02/15/2031 | | | | 15,258,529 | |
| | 12,872,596 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 13,597,535 | |
| | 19,387,895 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 21,369,095 | |
| | 35,500,000 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 36,477,883 | |
| | 3,350,433 | | | Series 3828-SW | | | 12.74% | # I/F | | | 02/15/2041 | | | | 3,655,057 | |
| | 14,950,078 | | | Series 3829-VZ | | | 4.00% | | | | 03/15/2041 | | | | 15,025,053 | |
| | 5,929,360 | | | Series 3843-PZ | | | 5.00% | | | | 04/15/2041 | | | | 6,871,456 | |
| | 477,134 | | | Series 3843-SC | | | 12.89% | # I/F | | | 04/15/2041 | | | | 487,959 | |
| | 2,798,997 | | | Series 3845-LS | | | 12.89% | # I/F | | | 03/15/2041 | | | | 2,927,917 | |
| | 60,621,256 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 66,880,674 | |
| | 10,229,000 | | | Series 3870-PB | | | 4.50% | | | | 06/15/2041 | | | | 11,037,163 | |
| | 73,035,798 | | | Series 3871-LZ | | | 5.50% | | | | 06/15/2041 | | | | 85,028,020 | |
| | 45,248,782 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 47,080,521 | |
| | 33,433,188 | | | Series 3877-EY | | | 4.50% | | | | 06/15/2041 | | | | 35,518,199 | |
| | 12,378,000 | | | Series 3877-GY | | | 4.50% | | | | 06/15/2041 | | | | 13,274,860 | |
| | 52,844,434 | | | Series 3877-ZU | | | 4.50% | | | | 06/15/2041 | | | | 56,870,123 | |
| | 30,072,188 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 31,750,832 | |
| | 18,445,532 | | | Series 3888-ZU | | | 4.50% | | | | 06/15/2041 | | | | 20,292,650 | |
| | 19,889,819 | | | Series 3900-SB | | | 5.82% | # I/F I/O | | | 07/15/2041 | | | | 2,660,140 | |
| | 40,207,804 | | | Series 3901-VZ | | | 4.00% | | | | 07/15/2041 | | | | 40,457,233 | |
| | 20,993,610 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 22,812,161 | |
| | 9,330,494 | | | Series 3910-ZE | | | 5.00% | | | | 10/15/2034 | | | | 10,104,771 | |
| | 12,330,000 | | | Series 3919-KL | | | 4.50% | | | | 09/15/2041 | | | | 13,362,490 | |
| | 27,184,323 | | | Series 3919-ZJ | | | 4.00% | | | | 09/15/2041 | | | | 27,172,797 | |
| | 528,299 | | | Series 3924-US | | | 9.25% | # I/F | | | 09/15/2041 | | | | 512,814 | |
| | 8,774,655 | | | Series 3942-JZ | | | 4.00% | | | | 10/15/2041 | | | | 8,841,926 | |
| | 11,235,268 | | | Series 3944-AZ | | | 4.00% | | | | 10/15/2041 | | | | 11,477,517 | |
| | 15,909,694 | | | Series 3946-SM | | | 14.24% | # I/F | | | 10/15/2041 | | | | 17,935,639 | |
| | 7,728,637 | | | Series 3957-DZ | | | 3.50% | | | | 11/15/2041 | | | | 7,214,079 | |
| | 10,000,000 | | | Series 3964-VM | | | 4.00% | | | | 11/15/2034 | | | | 10,574,230 | |
| | 50,726,301 | | | Series 3969-AB | | | 4.00% | | | | 10/15/2033 | | | | 53,227,970 | |
| | 10,976,785 | | | Series 3982-AZ | | | 3.50% | | | | 01/15/2042 | | | | 10,213,152 | |
| | 55,151,758 | | | Series 3990-ZA | | | 3.50% | | | | 01/15/2042 | | | | 52,348,587 | |
| | 46,564,158 | | | Series 3999-ZB | | | 4.00% | | | | 02/15/2042 | | | | 47,210,166 | |
| | 26,401,798 | | | Series 4016-KZ | | | 4.00% | | | | 03/15/2042 | | | | 26,405,230 | |
| | 35,212,846 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 33,332,392 | |
| | 65,640,632 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 65,831,810 | |
| | 65,400,749 | | | Series 4084-TZ | | | 4.00% | | | | 07/15/2042 | | | | 65,409,774 | |
| | 16,346,936 | | | Series 4097-TG | | | 2.00% | | | | 05/15/2039 | | | | 15,851,894 | |
| | 37,047,191 | | | Series 4097-ZA | | | 3.50% | | | | 08/15/2042 | | | | 34,089,380 | |
| | 97,063,000 | | | Series 4109-GE | | | 4.50% | | | | 10/15/2041 | | | | 105,103,408 | |
| | 63,611,032 | | | Series 4109-KD | | | 3.00% | | | | 05/15/2032 | | | | 65,422,229 | |
| | 5,645,344 | | | Series 4121-AV | | | 3.00% | | | | 12/15/2035 | | | | 5,598,511 | |
| | 87,317,369 | | | Series 4160-HP | | | 2.50% | | | | 01/15/2033 | | | | 87,567,970 | |
| | 26,677,386 | | | Series 4162-ZJ | | | 3.00% | | | | 02/15/2033 | | | | 24,509,342 | |
| | 37,996,128 | | | Series 4174-Z | | | 3.50% | | | | 03/15/2043 | | | | 36,043,925 | |
| | 93,752,373 | | | Series 4179-AZ | | | 4.00% | | | | 01/15/2041 | | | | 95,293,099 | |
| | 23,491,021 | | | Series 4186-ZJ | | | 3.00% | | | | 03/15/2033 | | | | 23,061,805 | |
| | 13,000,000 | | | Series 4189-ML | | | 3.00% | | | | 04/15/2038 | | | | 12,459,811 | |
| | 214,703,755 | | | Series 4212-US | | | 5.21% | # I/F | | | 06/15/2043 | | | | 189,888,166 | |
| | 93,786,960 | | | Series 4223-US | | | 5.24% | # I/F | | | 07/15/2043 | | | | 78,378,832 | |
| | 26,454,162 | | | Series 4229-TZ | | | 3.00% | | | | 06/15/2043 | | | | 22,644,393 | |
| | 19,668,172 | | | Series 4250-BZ | | | 3.00% | | | | 09/15/2033 | | | | 17,995,561 | |
| | 19,367,741 | | | Series 4267-BZ | | | 4.00% | | | | 10/15/2040 | | | | 19,755,638 | |
| | 49,192,695 | | | Series 4360-KA | | | 3.00% | | | | 05/15/2040 | | | | 50,014,778 | |
| | 81,359,193 | | | Series 4375-CG | | | 3.00% | | | | 04/15/2039 | | | | 83,478,925 | |
| | 52,321,642 | | | Series 4377-UZ | | | 3.00% | | | | 08/15/2044 | | | | 44,630,151 | |
| | 40,000,000 | | | Series 4384-A | | | 3.00% | | | | 12/15/2040 | | | | 40,829,980 | |
| | 17,662,408 | | | Series 4386-US | | | 7.86% | # I/F | | | 09/15/2044 | | | | 16,381,883 | |
| | 85,965,000 | | | Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 87,147,019 | |
| | 172,321,798 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 191,283,054 | |
| |
| | | | Federal National Mortgage Association | |
| | 70,000,000 | | | | | | 4.38% | | | | 10/15/2015 | | | | 73,044,230 | |
| |
| | | | Federal National Mortgage Association | |
| | 100,000,000 | | | | | | 1.63% | | | | 10/26/2015 | | | | 101,515,800 | |
| | 2,090,941 | | | Series 2002-70-QZ | | | 5.50% | | | | 11/25/2032 | | | | 2,260,983 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, | |
| $ | 3,175,204 | | | Series 2002-75-ZG | | | 5.50% | | | | 11/25/2032 | | | | 3,433,714 | |
| | 3,317,480 | | | Series 2003-117-KS | | | 6.95% | # I/F I/O | | | 08/25/2033 | | | | 329,443 | |
| | 36,076,131 | | | Series 2003-129-ZT | | | 5.50% | | | | 01/25/2034 | | | | 39,739,518 | |
| | 8,594,446 | | | Series 2003-29-ZL | | | 5.00% | | | | 04/25/2033 | | | | 9,402,693 | |
| | 4,406,901 | | | Series 2003-64-ZG | | | 5.50% | | | | 07/25/2033 | | | | 4,760,473 | |
| | 22,165,713 | | | Series 2003-84-PZ | | | 5.00% | | | | 09/25/2033 | | | | 24,003,162 | |
| | 19,500,000 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 21,096,104 | |
| | 9,191,563 | | | Series 2004-46-PJ | | | 5.85% | # I/F I/O | | | 03/25/2034 | | | | 1,224,473 | |
| | 7,059,588 | | | Series 2004-51-XP | | | 7.55% | # I/F I/O | | | 07/25/2034 | | | | 1,511,192 | |
| | 5,000,000 | | | Series 2004-W10-A6 | | | 5.75% | | | | 08/25/2034 | | | | 5,574,340 | |
| | 5,837,879 | | | Series 2004-W4-A5 | | | 5.50% | | | | 06/25/2034 | | | | 6,187,512 | |
| | 672,729 | | | Series 2005-107-EG | | | 4.50% | | | | 01/25/2026 | | | | 721,190 | |
| | 2,280,947 | | | Series 2005-37-ZK | | | 4.50% | | | | 05/25/2035 | | | | 2,470,082 | |
| | 17,615,689 | | | Series 2005-87-SE | | | 5.90% | # I/F I/O | | | 10/25/2035 | | | | 2,784,963 | |
| | 14,326,012 | | | Series 2005-87-SG | | | 6.55% | # I/F I/O | | | 10/25/2035 | | | | 2,344,307 | |
| | 11,219,154 | | | Series 2006-101-SA | | | 6.43% | # I/F I/O | | | 10/25/2036 | | | | 1,907,238 | |
| | 4,474,980 | | | Series 2006-123-LI | | | 6.17% | # I/F I/O | | | 01/25/2037 | | | | 795,748 | |
| | 6,025,745 | | | Series 2006-16-HZ | | | 5.50% | | | | 03/25/2036 | | | | 6,683,425 | |
| | 20,463,491 | | | Series 2006-56-SM | | | 6.60% | # I/F I/O | | | 07/25/2036 | | | | 3,404,120 | |
| | 23,691,113 | | | Series 2006-60-YI | | | 6.42% | # I/F I/O | | | 07/25/2036 | | | | 4,934,027 | |
| | 3,131,014 | | | Series 2006-93-SN | | | 6.45% | # I/F I/O | | | 10/25/2036 | | | | 571,947 | |
| | 12,110,991 | | | Series 2007-109-VZ | | | 5.00% | | | | 10/25/2035 | | | | 13,515,127 | |
| | 3,304,646 | | | Series 2007-116-BI | | | 6.10% | # I/F I/O | | | 05/25/2037 | | | | 387,464 | |
| | 19,486,697 | | | Series 2007-14-PS | | | 6.66% | # I/F I/O | | | 03/25/2037 | | | | 2,919,526 | |
| | 303,980 | | | Series 2007-2-SH | | | 32.08% | # I/F | | | 08/25/2036 | | | | 327,926 | |
| | 8,744,948 | | | Series 2007-30-OI | | | 6.29% | # I/F I/O | | | 04/25/2037 | | | | 1,597,814 | |
| | 2,437,967 | | | Series 2007-30-SI | | | 5.96% | # I/F I/O | | | 04/25/2037 | | | | 310,279 | |
| | 9,995,599 | | | Series 2007-32-SG | | | 5.95% | # I/F I/O | | | 04/25/2037 | | | | 1,286,135 | |
| | 8,322,916 | | | Series 2007-57-SX | | | 6.47% | # I/F I/O | | | 10/25/2036 | | | | 1,321,619 | |
| | 15,503,152 | | | Series 2007-60-VZ | | | 6.00% | | | | 07/25/2037 | | | | 17,385,328 | |
| | 6,909,379 | | | Series 2007-71-GZ | | | 6.00% | | | | 07/25/2047 | | | | 7,761,154 | |
| | 9,421,508 | | | Series 2007-75-ID | | | 5.72% | # I/F I/O | | | 08/25/2037 | | | | 1,205,025 | |
| | 1,390,691 | | | Series 2007-93-SB | | | 4.00% | # I/F I/O | | | 01/25/2036 | | | | 26,326 | |
| | 4,477,661 | | | Series 2007-9-SD | | | 6.50% | # I/F I/O | | | 03/25/2037 | | | | 589,790 | |
| | 4,058,837 | | | Series 2008-27-B | | | 5.50% | | | | 04/25/2038 | | | | 4,391,567 | |
| | 12,678,479 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 13,525,763 | |
| | 22,551,974 | | | Series 2008-48-BE | | | 5.00% | | | | 06/25/2034 | | | | 24,307,600 | |
| | 5,786,949 | | | Series 2008-48-SD | | | 5.85% | # I/F I/O | | | 06/25/2037 | | | | 809,324 | |
| | 5,039,556 | | | Series 2008-53-LI | | | 6.00% | # I/F I/O | | | 07/25/2038 | | | | 606,944 | |
| | 6,366,299 | | | Series 2008-57-SE | | | 5.85% | # I/F I/O | | | 02/25/2037 | | | | 757,187 | |
| | 3,556,737 | | | Series 2008-5-MS | | | 6.10% | # I/F I/O | | | 02/25/2038 | | | | 460,101 | |
| | 5,087,297 | | | Series 2008-61-SC | | | 5.85% | # I/F I/O | | | 07/25/2038 | | | | 718,168 | |
| | 4,981,434 | | | Series 2008-62-SC | | | 5.85% | # I/F I/O | | | 07/25/2038 | | | | 702,823 | |
| | 7,069,363 | | | Series 2008-65-SA | | | 5.85% | # I/F I/O | | | 08/25/2038 | | | | 934,493 | |
| | 10,464,298 | | | Series 2008-81-LP | | | 5.50% | | | | 09/25/2038 | | | | 11,314,261 | |
| | 27,194,692 | | | Series 2009-106-EZ | | | 4.50% | | | | 01/25/2040 | | | | 28,609,877 | |
| | 7,339,455 | | | Series 2009-111-SE | | | 6.10% | # I/F I/O | | | 01/25/2040 | | | | 919,090 | |
| | 1,862,138 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 2,011,985 | |
| | 16,006,829 | | | Series 2009-42-SI | | | 5.85% | # I/F I/O | | | 06/25/2039 | | | | 1,787,054 | |
| | 7,870,378 | | | Series 2009-42-SX | | | 5.85% | # I/F I/O | | | 06/25/2039 | | | | 1,036,587 | |
| | 7,239,680 | | | Series 2009-47-SA | | | 5.95% | # I/F I/O | | | 07/25/2039 | | | | 980,283 | |
| | 2,851,529 | | | Series 2009-48-WS | | | 5.80% | # I/F I/O | | | 07/25/2039 | | | | 389,007 | |
| | 15,699,471 | | | Series 2009-49-S | | | 6.60% | # I/F I/O | | | 07/25/2039 | | | | 2,423,881 | |
| | 2,534,668 | | | Series 2009-51-BZ | | | 4.50% | | | | 07/25/2039 | | | | 2,649,278 | |
| | 5,058,580 | | | Series 2009-54-EZ | | | 5.00% | | | | 07/25/2039 | | | | 5,494,106 | |
| | 6,319,302 | | | Series 2009-70-SA | | | 5.65% | # I/F I/O | | | 09/25/2039 | | | | 844,584 | |
| | 10,000,000 | | | Series 2009-80-PM | | | 4.50% | | | | 10/25/2039 | | | | 10,701,060 | |
| | 11,765,820 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 12,435,195 | |
| | 29,880,579 | | | Series 2009-85-ES | | | 7.08% | # I/F I/O | | | 01/25/2036 | | | | 5,899,864 | |
| | 37,800,782 | | | Series 2009-85-JS | | | 6.60% | # I/F I/O | | | 10/25/2039 | | | | 6,780,307 | |
| | 9,357,532 | | | Series 2009-90-IB | | | 5.57% | # I/F I/O | | | 04/25/2037 | | | | 1,205,788 | |
| | 5,128,978 | | | Series 2009-94-BC | | | 5.00% | | | | 11/25/2039 | | | | 5,613,354 | |
| | 33,182,348 | | | Series 2010-101-SA | | | 4.33% | # I/F I/O | | | 09/25/2040 | | | | 3,816,501 | |
| | 20,838,993 | | | Series 2010-101-ZC | | | 4.50% | | | | 09/25/2040 | | | | 22,516,459 | |
| | 58,863,819 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 63,396,274 | |
| | 15,611,572 | | | Series 2010-10-SA | | | 6.20% | # I/F I/O | | | 02/25/2040 | | | | 2,078,996 | |
| | 8,783,970 | | | Series 2010-10-ZA | | | 4.50% | | | | 02/25/2040 | | | | 9,331,695 | |
| | 4,691,293 | | | Series 2010-111-S | | | 5.80% | # I/F I/O | | | 10/25/2050 | | | | 675,554 | |
| | 12,868,816 | | | Series 2010-116-Z | | | 4.00% | | | | 10/25/2040 | | | | 13,680,202 | |
| | 9,972,234 | | | Series 2010-117-SA | | | 4.35% | # I/F I/O | | | 10/25/2040 | | | | 940,795 | |
| | 16,410,490 | | | Series 2010-120-KD | | | 4.00% | | | | 10/25/2040 | | | | 17,080,899 | |
| | 65,339,306 | | | Series 2010-121-SD | | | 4.35% | # I/F I/O | | | 10/25/2040 | | | | 6,382,343 | |
| | 242,685 | | | Series 2010-126-SU | | | 53.30% | # I/F | | | 11/25/2040 | | | | 879,325 | |
| | 178,693 | | | Series 2010-126-SX | | | 14.54% | # I/F | | | 11/25/2040 | | | | 269,870 | |
| | | | | | |
| 26 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 12,839,683 | | | Series 2010-128-HZ | | | 4.00% | | | | 11/25/2040 | | | | 13,210,127 | |
| | 13,235,008 | | | Series 2010-132-Z | | | 4.50% | | | | 11/25/2040 | | | | 14,353,433 | |
| | 88,008 | | | Series 2010-137-VS | | | 14.54% | # I/F | | | 12/25/2040 | | | | 122,174 | |
| | 6,470,000 | | | Series 2010-142-AV | | | 4.00% | | | | 11/25/2029 | | | | 6,845,364 | |
| | 17,915,944 | | | Series 2010-142-AZ | | | 4.00% | | | | 12/25/2040 | | | | 18,217,900 | |
| | 31,361,700 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 31,545,841 | |
| | 4,674,000 | | | Series 2010-153-VB | | | 4.00% | | | | 05/25/2027 | | | | 4,838,352 | |
| | 30,318,764 | | | Series 2010-16-SA | | | 5.30% | # I/F I/O | | | 03/25/2040 | | | | 3,893,141 | |
| | 3,447,323 | | | Series 2010-21-DZ | | | 5.00% | | | | 03/25/2040 | | | | 3,838,094 | |
| | 7,018,019 | | | Series 2010-21-KS | | | 4.80% | # I/F I/O | | | 03/25/2040 | | | | 692,515 | |
| | 2,946,154 | | | Series 2010-2-GS | | | 6.30% | # I/F I/O | | | 12/25/2049 | | | | 357,850 | |
| | 7,606,495 | | | Series 2010-2-MS | | | 6.10% | # I/F I/O | | | 02/25/2050 | | | | 1,108,740 | |
| | 12,605,594 | | | Series 2010-31-SA | | | 4.85% | # I/F I/O | | | 04/25/2040 | | | | 1,252,741 | |
| | 19,249,229 | | | Series 2010-31-VZ | | | 4.00% | | | | 04/25/2040 | | | | 20,117,417 | |
| | 15,719,847 | | | Series 2010-34-PS | | | 4.78% | # I/F I/O | | | 04/25/2040 | | | | 1,583,746 | |
| | 3,649,970 | | | Series 2010-35-ES | | | 6.30% | # I/F I/O | | | 04/25/2040 | | | | 515,793 | |
| | 5,160,268 | | | Series 2010-35-SV | | | 6.30% | # I/F I/O | | | 04/25/2040 | | | | 660,947 | |
| | 5,957,754 | | | Series 2010-46-MS | | | 4.80% | # I/F I/O | | | 05/25/2040 | | | | 643,124 | |
| | 23,616,940 | | | Series 2010-49-ZW | | | 4.50% | | | | 05/25/2040 | | | | 25,830,083 | |
| | 6,309,328 | | | Series 2010-4-SK | | | 6.08% | # I/F I/O | | | 02/25/2040 | | | | 1,148,806 | |
| | 4,314,047 | | | Series 2010-58-ES | | | 12.07% | # I/F | | | 06/25/2040 | | | | 4,899,113 | |
| | 16,570,795 | | | Series 2010-59-MS | | | 5.62% | # I/F I/O | | | 06/25/2040 | | | | 2,476,123 | |
| | 38,460,917 | | | Series 2010-59-PS | | | 6.30% | # I/F I/O | | | 03/25/2039 | | | | 4,768,327 | |
| | 19,037,772 | | | Series 2010-59-SC | | | 4.85% | # I/F I/O | | | 01/25/2040 | | | | 2,096,990 | |
| | 4,856,468 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 5,122,768 | |
| | 2,719,587 | | | Series 2010-61-EL | | | 4.50% | | | | 06/25/2040 | | | | 2,894,097 | |
| | 13,514,243 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 14,788,886 | |
| | 39,447,046 | | | Series 2010-76-ZK | | | 4.50% | | | | 07/25/2040 | | | | 43,368,851 | |
| | 20,499,017 | | | Series 2010-79-CZ | | | 4.00% | | | | 07/25/2040 | | | | 21,142,400 | |
| | 35,348,782 | | | Series 2010-79-VZ | | | 4.50% | | | | 07/25/2040 | | | | 38,982,866 | |
| | 16,017,921 | | | Series 2010-84-ZC | | | 4.50% | | | | 08/25/2040 | | | | 16,940,337 | |
| | 32,035,774 | | | Series 2010-84-ZD | | | 4.50% | | | | 08/25/2040 | | | | 33,880,602 | |
| | 36,966,647 | | | Series 2010-84-ZG | | | 4.50% | | | | 08/25/2040 | | | | 39,169,228 | |
| | 4,179,790 | | | Series 2010-90-SA | | | 5.70% | # I/F I/O | | | 08/25/2040 | | | | 531,365 | |
| | 6,710,318 | | | Series 2010-94-Z | | | 4.50% | | | | 08/25/2040 | | | | 7,270,478 | |
| | 8,668,587 | | | Series 2010-99-SG | | | 24.23% | # I/F | | | 09/25/2040 | | | | 14,091,267 | |
| | 8,937,181 | | | Series 2010-9-DS | | | 5.15% | # I/F I/O | | | 02/25/2040 | | | | 1,088,860 | |
| | 31,748,920 | | | Series 2011-106-LZ | | | 3.50% | | | | 10/25/2041 | | | | 30,306,741 | |
| | 520,021 | | | Series 2011-110-LS | | | 9.79% | # I/F | | | 11/25/2041 | | | | 592,478 | |
| | 23,520,745 | | | Series 2011-111-CZ | | | 4.00% | | | | 11/25/2041 | | | | 24,592,067 | |
| | 7,692,452 | | | Series 2011-111-EZ | | | 5.00% | | | | 11/25/2041 | | | | 8,525,736 | |
| | 15,729,375 | | | Series 2011-111-VZ | | | 4.00% | | | | 11/25/2041 | | | | 15,961,226 | |
| | 30,000,000 | | | Series 2011-131-PB | | | 4.50% | | | | 12/25/2041 | | | | 33,127,920 | |
| | 29,500,000 | | | Series 2011-16-AL | | | 3.50% | | | | 03/25/2031 | | | | 29,187,639 | |
| | 38,800,000 | | | Series 2011-17-NY | | | 3.50% | | | | 03/25/2031 | | | | 38,881,228 | |
| | 5,497,310 | | | Series 2011-17-SA | | | 6.32% | # I/F I/O | | | 03/25/2041 | | | | 843,806 | |
| | 11,000,000 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 10,999,456 | |
| | 4,744,126 | | | Series 2011-27-BS | | | 8.69% | # I/F | | | 04/25/2041 | | | | 4,795,468 | |
| | 56,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 55,569,752 | |
| | 17,365,283 | | | Series 2011-2-GZ | | | 4.00% | | | | 02/25/2041 | | | | 17,519,955 | |
| | 10,000,000 | | | Series 2011-2-VD | | | 4.00% | | | | 07/25/2027 | | | | 10,367,945 | |
| | 18,775,528 | | | Series 2011-36-VZ | | | 4.50% | | | | 05/25/2041 | | | | 20,213,715 | |
| | 28,548,512 | | | Series 2011-37-Z | | | 4.50% | | | | 05/25/2041 | | | | 30,641,988 | |
| | 7,631,665 | | | Series 2011-38-BZ | | | 4.00% | | | | 05/25/2041 | | | | 7,830,866 | |
| | 8,748,233 | | | Series 2011-39-CB | | | 3.00% | | | | 05/25/2026 | | | | 8,725,142 | |
| | 17,342,139 | | | Series 2011-40-LZ | | | 4.50% | | | | 05/25/2041 | | | | 18,916,996 | |
| | 25,470,191 | | | Series 2011-42-MZ | | | 4.50% | | | | 05/25/2041 | | | | 28,109,629 | |
| | 17,162,980 | | | Series 2011-45-ZA | | | 4.00% | | | | 05/25/2031 | | | | 17,735,597 | |
| | 27,529,546 | | | Series 2011-45-ZB | | | 4.50% | | | | 05/25/2041 | | | | 29,496,133 | |
| | 11,000,000 | | | Series 2011-48-SC | | | 8.89% | # I/F | | | 06/25/2041 | | | | 11,092,316 | |
| | 26,521,927 | | | Series 2011-58-SA | | | 6.40% | # I/F I/O | | | 07/25/2041 | | | | 4,627,700 | |
| | 5,521,587 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 5,906,264 | |
| | 13,969,748 | | | Series 2011-60-EL | | | 3.00% | | | | 07/25/2026 | | | | 13,813,922 | |
| | 17,078,733 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 17,907,931 | |
| | 53,141,477 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 55,095,569 | |
| | 12,000,000 | | | Series 2011-74-KL | | | 5.00% | | | | 06/25/2040 | | | | 13,338,702 | |
| | 23,323,036 | | | Series 2011-77-Z | | | 3.50% | | | | 08/25/2041 | | | | 22,127,894 | |
| | 21,787,531 | | | Series 2011-8-AV | | | 4.00% | | | | 01/25/2030 | | | | 22,534,625 | |
| | 22,884,957 | | | Series 2011-99-CZ | | | 4.50% | | | | 10/25/2041 | | | | 25,429,180 | |
| | 104,532,501 | | | Series 2011-99-DZ | | | 5.00% | | | | 10/25/2041 | | | | 117,002,601 | |
| | 11,079,403 | | | Series 2012-104-Z | | | 3.50% | | | | 09/25/2042 | | | | 10,021,985 | |
| | 17,176,680 | | | Series 2012-111-LB | | | 3.50% | | | | 05/25/2041 | | | | 17,587,297 | |
| | 77,518,298 | | | Series 2012-111-MJ | | | 4.00% | | | | 04/25/2042 | | | | 81,401,499 | |
| | 45,314,465 | | | Series 2012-114-DC | | | 2.00% | | | | 08/25/2039 | | | | 43,558,801 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 164,136,022 | | | Series 2012-122-AD | | | 2.00% | | | | 02/25/2040 | | | | 156,183,385 | |
| | 113,668,700 | | | Series 2012-122-DB | | | 3.00% | | | | 11/25/2042 | | | | 111,587,994 | |
| | 122,885,486 | | | Series 2012-125-LA | | | 3.00% | | | | 11/25/2042 | | | | 120,132,052 | |
| | 15,924,113 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 18,274,050 | |
| | 79,158,768 | | | Series 2012-144-PT | | | 4.42% | # | | | 11/25/2049 | | | | 82,912,199 | |
| | 9,423,699 | | | Series 2012-14-BZ | | | 4.00% | | | | 03/25/2042 | | | | 9,662,420 | |
| | 20,428,170 | | | Series 2012-15-PZ | | | 4.00% | | | | 03/25/2042 | | | | 20,967,535 | |
| | 16,417,294 | | | Series 2012-20-ZT | | | 3.50% | | | | 03/25/2042 | | | | 15,509,647 | |
| | 49,724,422 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 50,497,239 | |
| | 40,884,525 | | | Series 2012-31-Z | | | 4.00% | | | | 04/25/2042 | | | | 41,135,515 | |
| | 24,171,307 | | | Series 2012-63-EB | | | 2.00% | | | | 08/25/2040 | | | | 23,222,365 | |
| | 29,373,615 | | | Series 2012-74-Z | | | 4.00% | | | | 07/25/2042 | | | | 29,453,761 | |
| | 18,219,150 | | | Series 2012-80-EA | | | 2.00% | | | | 04/25/2042 | | | | 16,690,208 | |
| | 21,797,636 | | | Series 2012-86-ZC | | | 3.50% | | | | 08/25/2042 | | | | 20,226,037 | |
| | 30,369,817 | | | Series 2012-96-VZ | | | 3.50% | | | | 09/25/2042 | | | | 27,730,923 | |
| | 79,112,222 | | | Series 2012-98-BG | | | 4.50% | | | | 08/25/2040 | | | | 84,101,672 | |
| | 105,590,297 | | | Series 2012-99-QE | | | 3.00% | | | | 09/25/2042 | | | | 105,605,397 | |
| | 24,694,859 | | | Series 2013-41-ZH | | | 3.00% | | | | 05/25/2033 | | | | 24,169,668 | |
| | 19,292,416 | | | Series 2013-51-HS | | | 5.21% | # I/F | | | 04/25/2043 | | | | 16,078,785 | |
| | 10,655,446 | | | Series 2013-53-AB | | | 1.50% | | | | 03/25/2028 | | | | 10,210,539 | |
| | 9,658,160 | | | Series 2013-58-SC | | | 5.77% | # I/F | | | 06/25/2043 | | | | 7,892,077 | |
| | 9,410,246 | | | Series 2013-6-ZH | | | 1.50% | | | | 02/25/2043 | | | | 7,189,372 | |
| | 118,448,634 | | | Series 2013-81-ZQ | | | 3.00% | | | | 08/25/2043 | | | | 101,081,873 | |
| | 26,854,141 | | | Series 2014-37-ZY | | | 2.50% | | | | 07/25/2044 | | | | 20,525,265 | |
| | 15,749,995 | | | Series 2014-46-NZ | | | 3.00% | # | | | 06/25/2043 | | | | 14,316,060 | |
| | 94,101,670 | | | Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 96,392,951 | |
| | 50,716,999 | | | Series 2014-60-EZ | | | 3.00% | | | | 10/25/2044 | | | | 42,594,367 | |
| | 26,490,656 | | | Series 400-S4 | | | 5.30% | # I/F I/O | | | 11/25/2039 | | | | 3,441,600 | |
| | 167,427,089 | | | Series 412-A3 | | | 3.00% | | | | 08/25/2042 | | | | 165,268,595 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 25,683,298 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 28,412,293 | |
| | 27,425,263 | | | Pool 735141 | | | 5.50% | | | | 01/01/2035 | | | | 30,746,086 | |
| | 10,162,930 | | | Pool 735230 | | | 5.50% | | | | 02/01/2035 | | | | 11,392,755 | |
| | 19,127,416 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 21,156,644 | |
| | 31,681,273 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 35,038,002 | |
| | 22,540,027 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 24,938,004 | |
| | 8,364,609 | | | Pool 735667 | | | 5.00% | | | | 07/01/2035 | | | | 9,253,958 | |
| | 7,326,705 | | | Pool 735893 | | | 5.00% | | | | 10/01/2035 | | | | 8,103,195 | |
| | 18,505,235 | | | Pool 745275 | | | 5.00% | | | | 02/01/2036 | | | | 20,463,510 | |
| | 2,552,793 | | | Pool 745571 | | | 4.00% | | | | 01/01/2019 | | | | 2,705,903 | |
| | 865,307 | | | Pool 888695 | | | 5.00% | | | | 08/01/2037 | | | | 954,524 | |
| | 3,417,267 | | | Pool 888968 | | | 5.00% | | | | 08/01/2035 | | | | 3,782,111 | |
| | 10,301,431 | | | Pool 889509 | | | 6.00% | | | | 05/01/2038 | | | | 11,632,693 | |
| | 20,376,435 | | | Pool 889662 | | | 6.00% | | | | 06/01/2038 | | | | 23,008,744 | |
| | 23,828,293 | | | Pool 890549 | | | 4.00% | | | | 11/01/2043 | | | | 25,255,610 | |
| | 3,103,577 | | | Pool 929321 | | | 5.50% | | | | 03/01/2038 | | | | 3,453,813 | |
| | 2,225,244 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 2,464,218 | |
| | 1,719,389 | | | Pool 961410 | | | 6.00% | | | | 01/01/2038 | | | | 1,941,506 | |
| | 656,136 | | | Pool 975116 | | | 5.00% | | | | 05/01/2038 | | | | 723,786 | |
| | 6,512,152 | | | Pool 982036 | | | 6.00% | | | | 05/01/2038 | | | | 7,353,418 | |
| | 7,573,383 | | | Pool 985190 | | | 6.00% | | | | 08/01/2038 | | | | 8,551,742 | |
| | 3,776,622 | | | Pool 986864 | | | 6.50% | | | | 08/01/2038 | | | | 4,277,652 | |
| | 4,966,606 | | | Pool 987316 | | | 6.50% | | | | 09/01/2038 | | | | 5,733,220 | |
| | 17,444,065 | | | Pool 995070 | | | 5.50% | | | | 08/01/2037 | | | | 19,554,027 | |
| | 64,641,704 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 72,446,319 | |
| | 33,418,366 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 36,970,971 | |
| | 2,756,166 | | | Pool 995581 | | | 6.00% | | | | 01/01/2039 | | | | 3,112,219 | |
| | 57,073,940 | | | Pool 995849 | | | 5.00% | | | | 08/01/2036 | | | | 63,143,692 | |
| | 42,484,546 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 45,440,519 | |
| | 722,986 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 767,554 | |
| | 6,492,114 | | | Pool AB3713 | | | 4.00% | | | | 10/01/2031 | | | | 6,941,237 | |
| | 22,111,387 | | | Pool AB3796 | | | 3.50% | | | | 11/01/2031 | | | | 23,078,294 | |
| | 12,569,873 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 13,135,409 | |
| | 25,293,320 | | | Pool AB3923 | | | 4.00% | | | | 11/01/2041 | | | | 26,430,922 | |
| | 66,305,463 | | | Pool AB4167 | | | 3.50% | | | | 01/01/2032 | | | | 69,208,983 | |
| | 67,425,697 | | | Pool AB4261 | | | 3.50% | | | | 01/01/2032 | | | | 70,375,746 | |
| | 12,961,030 | | | Pool AB5084 | | | 3.50% | | | | 05/01/2032 | | | | 13,529,207 | |
| | 25,963,176 | | | Pool AB5156 | | | 3.50% | | | | 05/01/2032 | | | | 27,101,306 | |
| | 40,990,301 | | | Pool AB5212 | | | 3.50% | | | | 05/01/2032 | | | | 42,778,480 | |
| | 17,655,793 | | | Pool AB5243 | | | 4.00% | | | | 05/01/2042 | | | | 18,449,557 | |
| | 58,008,596 | | | Pool AB5911 | | | 3.00% | | | | 08/01/2032 | | | | 59,133,663 | |
| | 24,275,941 | | | Pool AB6349 | | | 3.00% | | | | 10/01/2032 | | | | 24,748,168 | |
| | 69,578,299 | | | Pool AB6750 | | | 3.00% | | | | 10/01/2032 | | | | 70,931,782 | |
| | 34,447,360 | | | Pool AB6751 | | | 3.00% | | | | 10/01/2032 | | | | 35,117,458 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 27 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 135,465,501 | | | Pool AB7077 | | | 3.00% | | | | 11/01/2042 | | | | 133,904,081 | |
| | 111,748,608 | | | Pool AB7344 | | | 3.00% | | | | 12/01/2032 | | | | 113,922,454 | |
| | 45,883,685 | | | Pool AB7776 | | | 3.00% | | | | 02/01/2043 | | | | 45,240,892 | |
| | 26,907,204 | | | Pool AB8418 | | | 3.00% | | | | 02/01/2033 | | | | 27,429,882 | |
| | 41,343,585 | | | Pool AB8520 | | | 3.00% | | | | 02/01/2033 | | | | 41,994,241 | |
| | 42,332,572 | | | Pool AB8703 | | | 3.00% | | | | 03/01/2038 | | | | 42,245,065 | |
| | 23,419,451 | | | Pool AB8858 | | | 3.00% | | | | 04/01/2033 | | | | 23,787,777 | |
| | 34,718,140 | | | Pool AB9020 | | | 3.00% | | | | 04/01/2038 | | | | 34,646,399 | |
| | 36,074,294 | | | Pool AB9197 | | | 3.00% | | | | 05/01/2033 | | | | 36,642,086 | |
| | 112,044,349 | | | Pool AB9406 | | | 3.00% | | | | 05/01/2033 | | | | 113,807,842 | |
| | 23,748,467 | | | Pool AB9409 | | | 3.00% | | | | 05/01/2033 | | | | 24,122,248 | |
| | 1,299,652 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 1,414,976 | |
| | 63,278,580 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 70,852,679 | |
| | 28,476,976 | | | Pool AD0500 | | | 5.50% | | | | 09/01/2036 | | | | 31,957,589 | |
| | 1,590,924 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 1,732,679 | |
| | 3,136,778 | | | Pool AD6438 | | | 5.00% | | | | 06/01/2040 | | | | 3,466,605 | |
| | 478,965 | | | Pool AD7018 | | | 5.00% | | | | 04/01/2040 | | | | 521,588 | |
| | 2,193,144 | | | Pool AD7859 | | | 5.00% | | | | 06/01/2040 | | | | 2,427,635 | |
| | 4,539,701 | | | Pool AH1140 | | | 4.50% | | | | 12/01/2040 | | | | 4,830,626 | |
| | 19,103,634 | | | Pool AH4437 | | | 4.00% | | | | 01/01/2041 | | | | 19,962,888 | |
| | 4,707,350 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 5,034,543 | |
| | 22,509,398 | | | Pool AH9323 | | | 4.00% | | | | 04/01/2026 | | | | 24,029,029 | |
| | 3,743,530 | | | Pool AI8889 | | | 4.00% | | | | 08/01/2041 | | | | 3,911,257 | |
| | 18,339,499 | | | Pool AI9831 | | | 4.00% | | | | 09/01/2041 | | | | 19,161,092 | |
| | 5,495,875 | | | Pool AJ1265 | | | 4.00% | | | | 09/01/2041 | | | | 5,742,008 | |
| | 7,013,785 | | | Pool AJ1399 | | | 4.00% | | | | 09/01/2041 | | | | 7,328,257 | |
| | 24,645,906 | | | Pool AJ1467 | | | 4.00% | | | | 10/01/2041 | | | | 25,753,553 | |
| | 11,576,898 | | | Pool AJ3392 | | | 4.00% | | | | 10/01/2041 | | | | 12,097,635 | |
| | 6,055,181 | | | Pool AJ3854 | | | 4.00% | | | | 10/01/2041 | | | | 6,327,737 | |
| | 78,139,351 | | | Pool AJ4118 | | | 4.00% | | | | 11/01/2041 | | | | 81,645,936 | |
| | 21,107,219 | | | Pool AJ4131 | | | 4.00% | | | | 10/01/2041 | | | | 22,055,431 | |
| | 5,312,103 | | | Pool AJ5172 | | | 4.00% | | | | 11/01/2041 | | | | 5,551,024 | |
| | 35,874,110 | | | Pool AJ7677 | | | 3.50% | | | | 12/01/2041 | | | | 36,381,886 | |
| | 9,377,293 | | | Pool AJ8334 | | | 4.00% | | | | 12/01/2041 | | | | 9,798,884 | |
| | 68,322,999 | | | Pool AK0713 | | | 3.50% | | | | 01/01/2032 | | | | 71,317,685 | |
| | 19,534,471 | | | Pool AK4039 | | | 4.00% | | | | 02/01/2042 | | | | 20,412,199 | |
| | 14,468,971 | | | Pool AK4763 | | | 4.00% | | | | 02/01/2042 | | | | 15,120,288 | |
| | 17,746,777 | | | Pool AK9438 | | | 4.00% | | | | 03/01/2042 | | | | 18,544,794 | |
| | 25,310,039 | | | Pool AK9439 | | | 4.00% | | | | 03/01/2042 | | | | 26,446,479 | |
| | 3,165,409 | | | Pool AK9446 | | | 4.50% | | | | 03/01/2042 | | | | 3,363,581 | |
| | 19,739,919 | | | Pool AL1485 | | | 6.00% | | | | 01/01/2040 | | | | 22,290,000 | |
| | 10,189,847 | | | Pool AL1548 | | | 6.00% | | | | 07/01/2039 | | | | 11,545,263 | |
| | 20,354,176 | | | Pool AL1554 | | | 6.00% | | | | 01/01/2040 | | | | 23,081,613 | |
| | 40,848,945 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 46,140,054 | |
| | 56,616,921 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 63,987,160 | |
| | 17,662,481 | | | Pool AL1745 | | | 6.00% | | | | 03/01/2040 | | | | 19,944,190 | |
| | 19,796,540 | | | Pool AL1793 | | | 6.00% | | | | 01/01/2041 | | | | 22,385,296 | |
| | 136,191,248 | | | Pool AL3038 | | | 3.00% | | | | 01/01/2033 | | | | 138,840,666 | |
| | 179,915,476 | | | Pool AL3699 | | | 3.00% | | | | 06/01/2043 | | | | 177,392,880 | |
| | 90,643,905 | | | Pool AL3883 | | | 3.00% | | | | 07/01/2043 | | | | 89,373,460 | |
| | 10,448,436 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 11,137,639 | |
| | 18,727,859 | | | Pool AL4312 | | | 4.00% | | | | 10/01/2043 | | | | 19,849,730 | |
| | 74,276,470 | | | Pool AO2980 | | | 4.00% | | | | 05/01/2042 | | | | 77,615,384 | |
| | 123,592,322 | | | Pool AP4787 | | | 3.50% | | | | 09/01/2042 | | | | 125,337,833 | |
| | 119,198,217 | | | Pool AP4789 | | | 3.50% | | | | 09/01/2042 | | | | 120,885,867 | |
| | 6,291,903 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 6,850,894 | |
| | 133,367 | | | Pool MA0315 | | | 4.50% | | | | 01/01/2025 | | | | 136,988 | |
| | 25,010,057 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 27,370,725 | |
| | 5,647,561 | | | Pool MA0406 | | | 4.50% | | | | 05/01/2030 | | | | 6,150,203 | |
| | 471,390 | | | Pool MA0445 | | | 5.00% | | | | 06/01/2040 | | | | 508,622 | |
| | 1,892,930 | | | Pool MA0459 | | | 4.00% | | | | 07/01/2020 | | | | 2,005,650 | |
| | 1,420,154 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 1,531,585 | |
| | 6,054,448 | | | Pool MA0502 | | | 4.00% | | | | 08/01/2020 | | | | 6,414,920 | |
| | 2,594,651 | | | Pool MA0517 | | | 4.00% | | | | 09/01/2020 | | | | 2,748,986 | |
| | 7,583,520 | | | Pool MA0534 | | | 4.00% | | | | 10/01/2030 | | | | 8,109,221 | |
| | 15,856,105 | | | Pool MA0536 | | | 4.00% | | | | 10/01/2020 | | | | 16,798,631 | |
| | 19,196,995 | | | Pool MA0580 | | | 4.00% | | | | 11/01/2020 | | | | 20,344,949 | |
| | 1,518,586 | | | Pool MA0587 | | | 4.00% | | | | 12/01/2030 | | | | 1,623,886 | |
| | 38,234,228 | | | Pool MA0616 | | | 4.00% | | | | 01/01/2031 | | | | 40,886,975 | |
| | 18,011,403 | | | Pool MA0896 | | | 4.00% | | | | 11/01/2041 | | | | 18,822,530 | |
| | 258,770,166 | | | Pool MA0919 | | | 3.50% | | | | 12/01/2031 | | | | 270,104,703 | |
| | 110,086,214 | | | Pool MA0949 | | | 3.50% | | | | 01/01/2032 | | | | 114,905,183 | |
| | 128,292,542 | | | Pool MA0976 | | | 3.50% | | | | 02/01/2032 | | | | 133,915,896 | |
| | 62,444,345 | | | Pool MA1010 | | | 3.50% | | | | 03/01/2032 | | | | 65,181,484 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 19,616,245 | | | Pool MA1039 | | | 3.50% | | | | 04/01/2042 | | | | 19,893,978 | |
| | 83,391,713 | | | Pool MA1059 | | | 3.50% | | | | 05/01/2032 | | | | 87,047,319 | |
| | 12,003,392 | | | Pool MA1068 | | | 3.50% | | | | 05/01/2042 | | | | 12,173,337 | |
| | 181,361,090 | | | Pool MA1084 | | | 3.50% | | | | 06/01/2032 | | | | 189,311,573 | |
| | 27,746,455 | | | Pool MA1093 | | | 3.50% | | | | 06/01/2042 | | | | 28,139,238 | |
| | 26,893,902 | | | Pool MA1094 | | | 4.00% | | | | 06/01/2042 | | | | 28,107,139 | |
| | 108,115,894 | | | Pool MA1107 | | | 3.50% | | | | 07/01/2032 | | | | 112,849,267 | |
| | 259,708,725 | | | Pool MA1117 | | | 3.50% | | | | 07/01/2042 | | | | 263,385,844 | |
| | 300,131,413 | | | Pool MA1136 | | | 3.50% | | | | 08/01/2042 | | | | 304,376,883 | |
| | 70,889,326 | | | Pool MA1138 | | | 3.50% | | | | 08/01/2032 | | | | 73,995,928 | |
| | 82,367,611 | | | Pool MA1179 | | | 3.50% | | | | 09/01/2042 | | | | 83,533,824 | |
| | 14,050,090 | | | Pool MA1201 | | | 3.50% | | | | 10/01/2032 | | | | 14,665,675 | |
| | 187,544,489 | | | Pool MA1209 | | | 3.50% | | | | 10/01/2042 | | | | 190,199,901 | |
| | 420,651,833 | | | Pool MA1237 | | | 3.00% | | | | 11/01/2032 | | | | 428,827,324 | |
| | 11,290,786 | | | Pool MA1242 | | | 3.50% | | | | 11/01/2042 | | | | 11,450,653 | |
| | 321,838,430 | | | Pool MA1275 | | | 3.00% | | | | 12/01/2032 | | | | 328,097,959 | |
| | 43,379,206 | | | Pool MA1338 | | | 3.00% | | | | 02/01/2033 | | | | 44,223,107 | |
| | 170,114,943 | | | Pool MA1366 | | | 3.00% | | | | 03/01/2033 | | | | 173,424,419 | |
| | 103,657,303 | | | Pool MA1401 | | | 3.00% | | | | 04/01/2033 | | | | 105,288,681 | |
| | 186,295,030 | | | Pool MA1459 | | | 3.00% | | | | 06/01/2033 | | | | 189,227,275 | |
| | 23,070,984 | | | Pool MA1490 | | | 3.00% | | | | 07/01/2033 | | | | 23,434,121 | |
| | 20,203,283 | | | Pool MA3894 | | | 4.00% | | | | 09/01/2031 | | | | 21,605,736 | |
| |
| | | | Government National Mortgage Association, | |
| | 14,700,000 | | | Series 2003-67-SP | | | 6.95% | # I/F I/O | | | 08/20/2033 | | | | 4,553,522 | |
| | 12,996,024 | | | Series 2003-86-ZK | | | 5.00% | | | | 10/20/2033 | | | | 14,191,652 | |
| | 5,901,732 | | | Series 2004-49-Z | | | 6.00% | | | | 06/20/2034 | | | | 6,599,163 | |
| | 5,924,718 | | | Series 2004-80-PH | | | 5.00% | | | | 07/20/2034 | | | | 6,310,343 | |
| | 13,383,597 | | | Series 2004-83-CS | | | 5.93% | # I/F I/O | | | 10/20/2034 | | | | 1,934,935 | |
| | 3,212,856 | | | Series 2005-21-Z | | | 5.00% | | | | 03/20/2035 | | | | 3,586,017 | |
| | 21,028,608 | | | Series 2005-39-ZB | | | 5.00% | | | | 07/20/2034 | | | | 23,043,569 | |
| | 919,557 | | | Series 2006-24-CX | | | 38.84% | # I/F | | | 05/20/2036 | | | | 2,010,128 | |
| | 20,531,400 | | | Series 2007-26-SJ | | | 4.54% | # I/F I/O | | | 04/20/2037 | | | | 1,877,083 | |
| | 10,010,908 | | | Series 2008-2-SM | | | 6.35% | # I/F I/O | | | 01/16/2038 | | | | 1,559,543 | |
| | 17,604,738 | | | Series 2008-42-AI | | | 7.54% | # I/F I/O | | | 05/16/2038 | | | | 3,466,630 | |
| | 8,375,064 | | | Series 2008-43-SH | | | 6.18% | # I/F I/O | | | 05/20/2038 | | | | 1,235,387 | |
| | 9,690,055 | | | Series 2008-51-SC | | | 6.10% | # I/F I/O | | | 06/20/2038 | | | | 1,481,339 | |
| | 5,953,169 | | | Series 2008-51-SE | | | 6.10% | # I/F I/O | | | 06/16/2038 | | | | 885,279 | |
| | 3,744,456 | | | Series 2008-82-SM | | | 5.90% | # I/F I/O | | | 09/20/2038 | | | | 523,300 | |
| | 6,264,208 | | | Series 2008-83-SD | | | 6.41% | # I/F I/O | | | 11/16/2036 | | | | 1,144,459 | |
| | 14,909,519 | | | Series 2009-106-VZ | | | 4.50% | | | | 11/20/2039 | | | | 16,172,609 | |
| | 11,694,464 | | | Series 2009-10-NS | | | 6.50% | # I/F I/O | | | 02/16/2039 | | | | 2,087,051 | |
| | 6,357,760 | | | Series 2009-24-SN | | | 5.95% | # I/F I/O | | | 09/20/2038 | | | | 742,149 | |
| | 16,317,197 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 17,614,031 | |
| | 69,887,325 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 75,222,279 | |
| | 6,199 | | | Series 2009-41-ZQ | | | 4.50% | | | | 06/16/2039 | | | | 6,635 | |
| | 10,864,211 | | | Series 2009-48-Z | | | 5.00% | | | | 06/16/2039 | | | | 11,906,528 | |
| | 2,900,331 | | | Series 2009-50-KP | | | 4.50% | | | | 06/20/2039 | | | | 3,091,427 | |
| | 9,133,392 | | | Series 2009-69-TS | | | 6.05% | # I/F I/O | | | 04/16/2039 | | | | 1,123,695 | |
| | 10,014,367 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 10,649,277 | |
| | 12,832,136 | | | Series 2009-87-IG | | | 6.59% | # I/F I/O | | | 03/20/2037 | | | | 1,605,970 | |
| | 74,161,168 | | | Series 2010-106-PS | | | 5.90% | # I/F I/O | | | 03/20/2040 | | | | 10,723,586 | |
| | 23,290,341 | | | Series 2010-1-SA | | | 5.60% | # I/F I/O | | | 01/16/2040 | | | | 3,149,497 | |
| | 3,152,289 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 3,562,433 | |
| | 76,624,568 | | | Series 2010-26-QS | | | 6.10% | # I/F I/O | | | 02/20/2040 | | | | 14,205,750 | |
| | 12,767,000 | | | Series 2010-42-AY | | | 5.00% | | | | 11/20/2039 | | | | 13,753,908 | |
| | 17,648,442 | | | Series 2010-42-ES | | | 5.53% | # I/F I/O | | | 04/20/2040 | | | | 2,837,255 | |
| | 5,389,107 | | | Series 2010-61-AS | | | 6.40% | # I/F I/O | | | 09/20/2039 | | | | 738,203 | |
| | 51,651,882 | | | Series 2010-62-SB | | | 5.60% | # I/F I/O | | | 05/20/2040 | | | | 8,095,043 | |
| | 8,409,001 | | | Series 2010-62-ZG | | | 5.50% | | | | 05/16/2040 | | | | 9,477,566 | |
| | 1,224,786 | | | Series 2011-12-PO | | | 0.00% | P/O | | | 12/20/2040 | | | | 865,724 | |
| | 7,833,334 | | | Series 2011-18-SN | | | 9.19% | # I/F | | | 12/20/2040 | | | | 8,373,848 | |
| | 8,333,334 | | | Series 2011-18-YS | | | 9.19% | # I/F | | | 12/20/2040 | | | | 8,908,289 | |
| | 11,658,640 | | | Series 2011-51-UZ | | | 4.50% | | | | 04/20/2041 | | | | 12,412,015 | |
| | 9,125,363 | | | Series 2011-69-OC | | | 0.00% | P/O | | | 05/20/2041 | | | | 8,012,882 | |
| | 73,609,965 | | | Series 2011-69-SB | | | 5.20% | # I/F I/O | | | 05/20/2041 | | | | 9,375,326 | |
| | 24,237,191 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 26,051,914 | |
| | 27,745,538 | | | Series 2011-72-AS | | | 5.23% | # I/F I/O | | | 05/20/2041 | | | | 3,770,963 | |
| | 24,430,316 | | | Series 2011-72-DO | | | 0.00% | P/O | | | 03/16/2033 | | | | 24,055,533 | |
| | 19,044,119 | | | Series 2011-72-SK | | | 6.00% | # I/F I/O | | | 05/20/2041 | | | | 2,982,480 | |
| | 23,204,025 | | | Series 2012-105-SE | | | 6.05% | # I/F I/O | | | 01/20/2041 | | | | 3,360,463 | |
| | 35,285,784 | | | Series 2012-52-PN | | | 2.00% | | | | 12/20/2039 | | | | 34,490,089 | |
| | 53,594,243 | | | Series 2013-136-CS | | | 6.05% | # I/F I/O | | | 09/16/2043 | | | | 9,290,005 | |
| | 17,321,419 | | | Series 2013-182-WZ | | | 2.50% | | | | 12/20/2043 | | | | 14,200,481 | |
| | | | | | |
| 28 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Government National Mortgage Association, (Cont.) | |
| $ | 53,394,174 | | | Series 2013-182-ZW | | | 2.50% | | | | 12/20/2043 | | | | 41,724,344 | |
| | 81,908,029 | | | Series 2014-39-SK | | | 6.05% | # I/F I/O | | | 03/20/2044 | | | | 12,523,770 | |
| | 57,077,097 | | | Series 2014-59-DS | | | 6.10% | # I/F I/O | | | 04/16/2044 | | | | 8,345,014 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $15,839,875,463) | | | | 16,051,429,108 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 5.4% | |
| | 1,325,000,000 | | | United States Treasury Notes | | | 1.63% | | | | 11/15/2022 | | | | 1,252,538,400 | |
| | 700,000,000 | | | United States Treasury Notes | | | 2.00% | | | | 02/15/2023 | | | | 679,382,900 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $1,994,267,880) | | | | 1,931,921,300 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 12.5% | |
| | 299,902,065 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 299,902,065 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.08% | | | | 10/23/2014 | | | | 99,999,279 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.22% | | | | 10/24/2014 | | | | 100,011,000 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.08% | | | | 12/03/2014 | | | | 99,996,400 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.09% | | | | 01/14/2015 | | | | 99,995,000 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.09% | | | | 02/19/2015 | | | | 99,987,600 | |
| | 150,000,000 | | | Federal Home Loan Banks | | | 0.09% | | | | 03/05/2015 | | | | 149,984,400 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.10% | | | | 03/30/2015 | | | | 99,991,100 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.13% | | | | 05/29/2015 | | | | 100,010,300 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.23% | | | | 08/03/2015 | | | | 100,019,400 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.18% | | | | 08/14/2015 | | | | 100,019,200 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.25% | | | | 08/27/2015 | | | | 100,064,500 | |
| | 134,225,000 | | | Federal Home Loan Banks | | | 0.38% | | | | 08/28/2015 | | | | 134,522,040 | |
| | 80,000,000 | | | Federal Home Loan Banks | | | 0.18% | | | | 09/22/2015 | | | | 80,024,240 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.24% | | | | 09/24/2015 | | | | 100,015,200 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.38% | # | | | 07/20/2017 | | | | 100,003,200 | |
| | 150,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/03/2014 | | | | 149,999,389 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/08/2014 | | | | 99,998,639 | |
| | 94,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/10/2014 | | | | 93,998,590 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 150,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/15/2014 | | | | 149,995,508 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/17/2014 | | | | 99,996,667 | |
| | 200,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/23/2014 | | | | 199,993,278 | |
| | 200,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/29/2014 | | | | 199,987,400 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 10/31/2014 | | | | 99,994,292 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 11/07/2014 | | | | 99,991,778 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 11/26/2014 | | | | 99,988,333 | |
| | 200,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 11/26/2014 | | | | 199,978,533 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 11/28/2014 | | | | 99,989,528 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 12/03/2014 | | | | 99,999,100 | |
| | 83,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 12/17/2014 | | | | 82,999,087 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 12/24/2014 | | | | 99,998,800 | |
| | 30,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 12/29/2014 | | | | 29,999,640 | |
| | 100,000,000 | | | Federal Home Loan Discount Note | | | 0.00% | | | | 01/22/2015 | | | | 99,997,500 | |
| | 50,000,000 | | | Federal National Mortgage Association | | | 0.75% | | | | 12/19/2014 | | | | 50,070,900 | |
| | 299,902,065 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 299,902,065 | |
| | 299,902,065 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 299,902,065 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $4,520,966,997) | | | | 4,521,326,016 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 98.9%
(Cost $35,177,674,022) | | | | 35,538,193,470 | |
| | | | Other Assets in Excess of Liabilities 1.1% | | | | 378,222,477 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 35,916,415,947 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
US Government / Agency Mortgage Backed Obligations | | | 44.7% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 26.4% | |
Short Term Investments | | | 12.5% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 5.8% | |
US Government Bonds and Notes | | | 5.4% | |
Collateralized Loan Obligations | | | 4.0% | |
Asset Backed Obligations | | | 0.1% | |
Other Assets and Liabilities | | | 1.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ^ | 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, 2014, the value of these securities amounted to $4,271,917,493 or 11.9% 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 |
| P/O | Principal only security |
| ¨ | Seven-day yield as of September 30, 2014 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 29 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 4.4% | |
| |
| | | | Adams Mill Ltd., | |
| $ | 875,000 | | | Series 2014-1A-D1 | | | 3.70% | #^ | | | 07/15/2026 | | | | 828,967 | |
| | 1,000,000 | | | Series 2014-1A-E1 | | | 5.20% | #^ | | | 07/15/2026 | | | | 910,891 | |
| |
| | | | ALM Loan Funding, | |
| | 1,000,000 | | | Series 2011-4A-C | | | 2.98% | #^ | | | 07/18/2022 | | | | 1,002,492 | |
| |
| | | | Apidos Ltd., | |
| | 1,500,000 | | | Series 2013-16A-B | | | 3.03% | #^ | | | 01/19/2025 | | | | 1,485,677 | |
| | 2,000,000 | | | Series 2014-18A-C | | | 3.88% | #^ | | | 07/22/2026 | | | | 1,925,354 | |
| | 1,000,000 | | | Series 2014-18A-D | | | 5.43% | #^ | | | 07/22/2026 | | | | 934,951 | |
| |
| | | | ARES Ltd., | |
| | 1,500,000 | | | Series 2012-2A-D | | | 4.93% | #^ | | | 10/12/2023 | | | | 1,503,724 | |
| | 2,000,000 | | | Series 2013-1A-D | | | 3.98% | #^ | | | 04/15/2025 | | | | 1,936,602 | |
| |
| | | | Babson Ltd., | |
| | 1,500,000 | | | Series 2012-1A-C | | | 4.23% | #^ | | | 04/15/2022 | | | | 1,494,595 | |
| |
| | | | Birchwood Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.38% | #^ | | | 07/15/2026 | | | | 1,003,760 | |
| | 1,000,000 | | | Series 2014-1A-D2 | | | 1.43% | #^ | | | 07/15/2026 | | | | 998,727 | |
| | 1,000,000 | | | Series 2014-1A-E2 | | | 6.63% | #^ | | | 07/15/2026 | | | | 1,001,371 | |
| |
| | | | BlueMountain Ltd., | |
| | 1,500,000 | | | Series 2012-1A-E | | | 5.73% | #^ | | | 07/20/2023 | | | | 1,452,269 | |
| |
| | | | Brookside Mill Ltd., | |
| | 1,250,000 | | | Series 2013-1A-C1 | | | 2.93% | #^ | | | 04/17/2025 | | | | 1,225,227 | |
| | 2,250,000 | | | Series 2013-1A-D | | | 3.28% | #^ | | | 04/17/2025 | | | | 2,088,301 | |
| | 1,250,000 | | | Series 2013-1A-E | | | 4.63% | #^ | | | 04/17/2025 | | | | 1,116,856 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 1,250,000 | | | Series 2014-3A-B | | | 3.38% | #^ | | | 07/27/2026 | | | | 1,248,736 | |
| | 2,000,000 | | | Series 2014-3A-C2 | | | 4.43% | #^ | | | 07/27/2026 | | | | 1,993,283 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 2,247,239 | | | Series 2005-7A-D1 | | | 1.93% | #^ | | | 09/30/2019 | | | | 2,237,812 | |
| |
| | | | Cent Ltd., | |
| | 2,000,000 | | | Series 2013-18A-D | | | 3.68% | #^ | | | 07/23/2025 | | | | 1,897,784 | |
| | 1,500,000 | | | Series 2013-18A-E | | | 4.83% | #^ | | | 07/23/2025 | | | | 1,350,556 | |
| | 1,000,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 954,200 | |
| |
| | | | Chatham Light Ltd., | |
| | 1,500,000 | | | Series 2005-2A-C | | | 1.94% | #^ | | | 08/03/2019 | | | | 1,494,335 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 500,000 | | | Series 2006-11A-C1 | | | 1.83% | #^ | | | 04/12/2020 | | | | 485,195 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 2,000,000 | | | Series 2012-24A-D | | | 4.98% | #^ | | | 11/15/2023 | | | | 2,004,564 | |
| | 950,000 | | | Series 2012-25A-E | | | 5.73% | #^ | | | 01/15/2025 | | | | 919,913 | |
| | 2,000,000 | | | Series 2013-28A-B1L | | | 3.43% | #^ | | | 08/15/2025 | | | | 1,879,856 | |
| |
| | | | Emerson Park Ltd., | |
| | 1,000,000 | | | Series 2013-1A-C1 | | | 2.98% | #^ | | | 07/15/2025 | | | | 987,962 | |
| |
| | | | Flatiron Ltd., | |
| | 2,000,000 | | | Series 2014-1A-B | | | 3.09% | #^ | | | 07/17/2026 | | | | 1,973,936 | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.54% | #^ | | | 07/17/2026 | | | | 1,888,209 | |
| |
| | | | Four Corners Ltd., | |
| | 2,000,000 | | | Series 2006-3A-D | | | 1.73% | #^ | | | 07/22/2020 | | | | 1,941,327 | |
| |
| | | | Galaxy Ltd., | |
| | 1,000,000 | | | Series 2013-15A-B | | | 2.08% | #^ | | | 04/15/2025 | | | | 980,365 | |
| | 1,000,000 | | | Series 2013-15A-C | | | 2.83% | #^ | | | 04/15/2025 | | | | 975,919 | |
| | 1,000,000 | | | Series 2013-15A-D | | | 3.63% | #^ | | | 04/15/2025 | | | | 955,660 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 760,000 | | | Series 2007-4A-D | | | 4.48% | #^ | | | 08/18/2022 | | | | 754,230 | |
| | 2,000,000 | | | Series 2012-6A-D | | | 4.43% | #^ | | | 04/17/2022 | | | | 2,002,465 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 740,000 | | | Series 2013-2A-C | | | 2.94% | #^ | | | 08/01/2025 | | | | 717,738 | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.28% | #^ | | | 04/18/2026 | | | | 1,983,038 | |
| | 1,500,000 | | | Series 2014-3A-D | | | 3.88% | #^ | | | 10/22/2025 | | | | 1,408,500 | |
| |
| | | | ING Ltd., | |
| | 2,000,000 | | | Series 2013-3A-B | | | 2.93% | #^ | | | 01/18/2026 | | | | 1,958,874 | |
| |
| | | | LCM LP, | |
| | 2,000,000 | | | Series 11A-D2 | | | 4.18% | #^ | | | 04/19/2022 | | | | 2,004,510 | |
| | 1,000,000 | | | Series 12A-E | | | 5.98% | #^ | | | 10/19/2022 | | | | 981,816 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | LCM LP, (Cont.) | |
| $ | 2,850,000 | | | Series 14A-D | | | 3.73% | #^ | | | 07/15/2025 | | | | 2,727,069 | |
| | 2,250,000 | | | Series 15A-C | | | 3.33% | #^ | | | 08/25/2024 | | | | 2,250,336 | |
| | 1,000,000 | | | Series 16A-D | | | 3.86% | #^ | | | 07/15/2026 | | | | 957,954 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 2,000,000 | | | Series 2012-9X-C1 | | | 3.83% | # | | | 08/15/2022 | | | | 2,002,446 | |
| | 1,000,000 | | | Series 2014-13A-D | | | 3.58% | #^ | | | 01/19/2025 | | | | 952,688 | |
| | 1,000,000 | | | Series 2014-13X E | | | 5.23% | # | | | 01/19/2025 | | | | 928,164 | |
| | 2,000,000 | | | Series 2014-14A-D | | | 3.83% | #^ | | | 07/20/2026 | | | | 1,919,122 | |
| | 750,000 | | | Series 2014-14A-E | | | 4.98% | #^ | | | 07/20/2026 | | | | 680,620 | |
| |
| | | | Magnetite Ltd., | |
| | 1,500,000 | | | Series 2012-7A-D | | | 5.48% | #^ | | | 01/15/2025 | | | | 1,441,478 | |
| |
| | | | Nautique Funding Ltd., | |
| | 1,000,000 | | | Series 2006-1A-C | | | 1.93% | #^ | | | 04/15/2020 | | | | 961,391 | |
| |
| | | | Nomad Ltd., | |
| | 1,500,000 | | | Series 2013-1A-B | | | 3.18% | #^ | | | 01/15/2025 | | | | 1,469,674 | |
| | 1,500,000 | | | Series 2013-1A-C | | | 3.73% | #^ | | | 01/15/2025 | | | | 1,431,088 | |
| |
| | | | North End Ltd., | |
| | 1,000,000 | | | Series 2013-1A-D | | | 3.73% | #^ | | | 07/17/2025 | | | | 953,928 | |
| |
| | | | OCP Ltd., | |
| | 2,000,000 | | | Series 2013-3A-B | | | 2.98% | #^ | | | 01/17/2025 | | | | 1,956,024 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 2,000,000 | | | Series 2013-1A-D | | | 3.58% | #^ | | | 07/17/2025 | | | | 1,902,563 | |
| | 2,000,000 | | | Series 2013-1A-E | | | 4.73% | #^ | | | 07/17/2025 | | | | 1,803,584 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 2,000,000 | | | Series 2011-1AR-DR | | | 3.28% | #^ | | | 04/20/2021 | | | | 2,001,680 | |
| |
| | | | Race Point Ltd., | |
| | 1,000,000 | | | Series 2013-8A-B | | | 2.13% | #^ | | | 02/20/2025 | | | | 982,214 | |
| |
| | | | Saturn Ltd., | |
| | 500,000 | | | Series 2007-1A-D | | | 4.23% | #^ | | | 05/13/2022 | | | | 465,779 | |
| |
| | | | Thacher Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C | | | 3.28% | #^ | | | 10/20/2026 | | | | 1,000,000 | |
| | 1,000,000 | | | Series 2014-1A-D1 | | | 3.76% | #^ | | | 10/20/2026 | | | | 957,000 | |
| |
| | | | Venture Ltd., | |
| | 500,000 | | | Series 2012-10A-C | | | 3.48% | #^ | | | 07/20/2022 | | | | 498,722 | |
| | 2,000,000 | | | Series 2012-10A-D | | | 4.43% | #^ | | | 07/20/2022 | | | | 1,979,247 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,000,000 | | | Series 2006-1A-B1L | | | 2.09% | #^ | | | 05/01/2018 | | | | 1,991,870 | |
| |
| | | | Wind River Ltd., | |
| | 3,000,000 | | | Series 2013-1A-C | | | 3.63% | #^ | | | 04/20/2025 | | | | 2,820,012 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $96,343,591) | | | | 95,925,200 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 16.8% | |
| | 1,500,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 1,672,500 | |
| | 1,600,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 1,784,000 | |
| | 1,300,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 1,337,700 | |
| | 1,300,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 1,267,500 | |
| | 500,000 | | | Aeropuertos Dominicanos | | | 9.75% | #^ | | | 11/13/2019 | | | | 487,500 | |
| | 700,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 751,625 | |
| | 4,300,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 4,617,125 | |
| | 1,600,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 1,551,328 | |
| | 3,500,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 3,644,375 | |
| | 2,450,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 2,551,063 | |
| | 1,700,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 1,556,350 | |
| | 3,780,000 | | | Australia and New Zealand Banking Group Ltd. | | | 4.88% | ^ | | | 01/12/2021 | | | | 4,235,936 | |
| | | | | | |
| 30 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,600,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 2,769,000 | |
| | 1,000,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 1,065,000 | |
| | 2,200,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 2,351,250 | |
| | 3,100,000 | | | Banco Davivienda S.A. | | | 5.88% | | | | 07/09/2022 | | | | 3,115,500 | |
| | 4,100,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 4,212,750 | |
| | 2,500,000 | | | Banco de Bogota S.A. | | | 5.38% | ^ | | | 02/19/2023 | | | | 2,568,750 | |
| | 2,800,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 2,863,000 | |
| | 1,000,000 | | | Banco de Credito del Peru | | | 6.13% | # | | | 04/24/2027 | | | | 1,072,500 | |
| | 1,000,000 | | | Banco de Credito del Peru | | | 6.13% | #^ | | | 04/24/2027 | | | | 1,072,500 | |
| | 2,500,000 | | | Banco do Brasil S.A. | | | 8.50% | #† | | | 10/20/2020 | | | | 2,887,500 | |
| | 4,500,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 4,387,950 | |
| | 2,500,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 2,725,000 | |
| | 2,000,000 | | | Banco Inbursa S.A. | | | 4.13% | ^ | | | 06/06/2024 | | | | 1,940,000 | |
| | 2,000,000 | | | Banco International del Peru S.A.A. | | | 6.63% | #^ | | | 03/19/2029 | | | | 2,180,000 | |
| | 1,695,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 1,926,368 | |
| | 2,500,000 | | | Banco Nacional de Costa Rica | | | 6.25% | | | | 11/01/2023 | | | | 2,518,750 | |
| | 400,000 | | | Banco Regional SAECA | | | 8.13% | ^ | | | 01/24/2019 | | | | 440,000 | |
| | 2,800,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 3,080,000 | |
| | 5,300,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 5,724,000 | |
| | 4,255,000 | | | Bank Of Montreal | | | 1.40% | | | | 09/11/2017 | | | | 4,264,918 | |
| | 1,250,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 1,326,563 | |
| | 500,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 522,500 | |
| | 1,427,000 | | | BP Capital Markets PLC | | | 4.75% | | | | 03/10/2019 | | | | 1,573,277 | |
| | 775,000 | | | BP Capital Markets PLC | | | 2.50% | | | | 11/06/2022 | | | | 731,655 | |
| | 1,000,000 | | | BR Malls International Finance Ltd. | | | 8.50% | † | | | 01/21/2016 | | | | 1,045,630 | |
| | 3,300,000 | | | Braskem America Finance Company | | | 7.13% | | | | 07/22/2041 | | | | 3,283,500 | |
| | 800,000 | | | Braskem Finance Ltd. | | | 6.45% | | | | 02/03/2024 | | | | 834,000 | |
| | 3,658,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 4,131,802 | |
| | 1,500,000 | | | Camposol S.A. | | | 9.88% | ^ | | | 02/02/2017 | | | | 1,582,500 | |
| | 650,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 685,750 | |
| | 200,000 | | | Cementos Progreso Trust | | | 7.13% | ^ | | | 11/06/2023 | | | | 215,100 | |
| | 5,500,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 5,915,250 | |
| | 1,600,000 | | | Cemex Finance LLC | | | 6.00% | | | | 04/01/2024 | | | | 1,599,520 | |
| | 5,000,000 | | | Cemex S.A.B. de C.V. | | | 5.70% | ^ | | | 01/11/2025 | | | | 4,830,000 | |
| | 1,400,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 1,401,532 | |
| | 5,600,000 | | | Cencosud S.A. | | | 4.88% | ^ | | | 01/20/2023 | | | | 5,606,126 | |
| | 2,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 2,170,000 | |
| | 4,000,000 | | | Cia Minera Milpo S.A.A. | | | 4.63% | ^ | | | 03/28/2023 | | | | 3,990,000 | |
| | 2,000,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 1,940,000 | |
| | 500,000 | | | Columbus International, Inc. | | | 7.38% | ^ | | | 03/30/2021 | | | | 521,875 | |
| | 5,500,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 5,740,625 | |
| | 2,400,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 2,538,000 | |
| | 5,000,000 | | | Comcel Trust | | | 6.88% | ^ | | | 02/06/2024 | | | | 5,287,500 | |
| | 4,110,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 4,347,558 | |
| | 3,500,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 3,511,361 | |
| | 2,800,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 2,590,000 | |
| | 1,700,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 5.25% | #^ | | | 07/15/2029 | | | | 1,727,625 | |
| | 2,444,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | | | | 02/10/2017 | | | | 2,419,560 | |
| | 800,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | ^ | | | 02/10/2017 | | | | 792,000 | |
| | 1,300,000 | | | Cosan Luxembourg S.A. | | | 5.00% | | | | 03/14/2023 | | | | 1,251,250 | |
| | 3,500,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 3,753,750 | |
| | 3,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 3,065,178 | |
| | 1,620,000 | | | Diageo Capital PLC | | | 1.50% | | | | 05/11/2017 | | | | 1,629,148 | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 517,500 | |
| | 2,000,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 2,070,200 | |
| | 3,030,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 3,031,515 | |
| | 3,900,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 3,901,950 | |
| | 2,460,000 | | | Ecopetrol S.A. | | | 4.13% | | | | 01/16/2025 | | | | 2,386,200 | |
| | 450,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 457,875 | |
| | 917,260 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 949,299 | |
| | 3,300,000 | | | ENTEL Chile S.A. | | | 4.75% | ^ | | | 08/01/2026 | | | | 3,306,818 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,400,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 4,290,000 | |
| | 2,100,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 2,047,500 | |
| | 5,100,000 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 5,367,750 | |
| | 2,000,000 | | | Ferreycorp S.A.A. | | | 4.88% | ^ | | | 04/26/2020 | | | | 1,990,000 | |
| | 2,075,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.10% | | | | 03/15/2020 | | | | 2,061,299 | |
| | 3,200,000 | | | Fresnillo PLC | | | 5.50% | ^ | | | 11/13/2023 | | | | 3,343,040 | |
| | 1,600,000 | | | Fresnillo PLC | | | 5.50% | | | | 11/13/2023 | | | | 1,671,520 | |
| | 3,000,000 | | | GNL Quintero S.A. | | | 4.63% | ^ | | | 07/31/2029 | | | | 2,997,018 | |
| | 1,600,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 1,576,800 | |
| | 4,300,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 4,267,750 | |
| | 3,200,000 | | | Grupo Aval Ltd. | | | 4.75% | ^ | | | 09/26/2022 | | | | 3,176,000 | |
| | 1,600,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 1,736,000 | |
| | 400,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 419,000 | |
| | 4,000,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 4,280,000 | |
| | 2,200,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | ^ | | | 12/04/2022 | | | | 2,261,490 | |
| | 2,400,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | | | | 12/04/2022 | | | | 2,467,080 | |
| | 450,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 488,250 | |
| | 2,178,074 | | | IIRSA Norte Finance Ltd. | | | 8.75% | | | | 05/30/2024 | | | | 2,591,908 | |
| | 5,300,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 5,260,250 | |
| | 2,200,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 2,183,500 | |
| | 500,000 | | | InRetail Shopping Malls | | | 6.50% | ^ | | | 07/09/2021 | | | | 523,750 | |
| | 1,500,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 1,571,250 | |
| | 2,700,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 2,875,500 | |
| | 2,300,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 2,449,500 | |
| | 2,070,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 1,984,613 | |
| | 200,000 | | | JBS Investments GmbH | | | 7.25% | ^ | | | 04/03/2024 | | | | 204,500 | |
| | 1,500,000 | | | Klabin Finance S.A. | | | 5.25% | ^ | | | 07/16/2024 | | | | 1,470,450 | |
| | 4,030,000 | | | Korea Development Bank | | | 4.38% | | | | 08/10/2015 | | | | 4,156,506 | |
| | 750,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 814,463 | |
| | 1,600,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 1,600,000 | |
| | 2,900,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 2,828,950 | |
| | 1,750,000 | | | Metalsa S.A. de C.V. | | | 4.90% | | | | 04/24/2023 | | | | 1,706,250 | |
| | 2,000,000 | | | Mexichem S.A.B. de C.V. | | | 6.75% | | | | 09/19/2042 | | | | 2,146,000 | |
| | 900,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | ^ | | | 09/17/2044 | | | | 884,250 | |
| | 3,988,000 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 3,997,970 | |
| | 3,000,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 2,872,500 | |
| | 3,500,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 3,648,750 | |
| | 3,200,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 3,272,000 | |
| | 3,500,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 3,578,750 | |
| | 300,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 306,150 | |
| | 1,300,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 1,326,650 | |
| | 2,800,000 | | | Minsur S.A. | | | 6.25% | ^ | | | 02/07/2024 | | | | 3,081,400 | |
| | 1,965,267 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 2,230,578 | |
| | 1,000,000 | | | Nakilat, Inc. | | | 6.07% | | | | 12/31/2033 | | | | 1,138,750 | |
| | 5,300,000 | | | OAS Financial Ltd. | | | 8.88% | #^† | | | 04/25/2018 | | | | 4,967,160 | |
| | 1,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/14/2015 | | | | 1,522,500 | |
| | 1,700,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 1,829,200 | |
| | 2,000,000 | | | Office Cherifien des Phosphates | | | 5.63% | ^ | | | 04/25/2024 | | | | 2,085,400 | |
| | 1,000,000 | | | Office Depot de Mexico S.A. de C.V. | | | 6.88% | | | | 09/20/2020 | | | | 1,075,000 | |
| | 2,365,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 2,437,267 | |
| | 1,500,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | ^ | | | 03/28/2023 | | | | 1,440,450 | |
| | 4,700,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 4,513,410 | |
| | 2,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 1,926,900 | |
| | 1,000,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 922,500 | |
| | 1,800,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 1,660,500 | |
| | 3,565,000 | | | Petroleos Mexicanos | | | 6.63% | | | | 06/15/2035 | | | | 4,155,008 | |
| | 2,960,000 | | | Reliance Industries Ltd. | | | 5.88% | † | | | 02/05/2018 | | | | 2,911,900 | |
| | 600,000 | | | Rio Oil Finance Trust | | | 6.25% | ^ | | | 07/06/2024 | | | | 619,808 | |
| | 1,500,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 1,549,521 | |
| | 2,958,000 | | | Royal KPN N.V. | | | 8.38% | | | | 10/01/2030 | | | | 4,090,973 | |
| | 1,710,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 1,855,350 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 31 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2014 |
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PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,150,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 2,411,612 | |
| | 3,800,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 3,609,468 | |
| | 500,000 | | | SUAM Finance B.V. | | | 4.88% | | | | 04/17/2024 | | | | 510,000 | |
| | 4,700,000 | | | SUAM Finance B.V. | | | 4.88% | ^ | | | 04/17/2024 | | | | 4,794,000 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 208,100 | |
| | 4,300,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 4,474,150 | |
| | 2,180,000 | | | Teva Pharmaceutical Finance Company B.V. | | | 2.95% | | | | 12/18/2022 | | | | 2,081,080 | |
| | 2,035,000 | | | TransCanada PipeLines Ltd. | | | 4.63% | | | | 03/01/2034 | | | | 2,094,505 | |
| | 1,700,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 1,797,750 | |
| | 3,500,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 3,736,250 | |
| | 1,400,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 1,368,500 | |
| | 3,000,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 3,026,790 | |
| | 2,500,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 2,767,188 | |
| | 2,200,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 2,263,250 | |
| | 500,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 496,250 | |
| | 6,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 6,225,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $359,237,131) | | | | | | | | 364,375,605 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.4% |
|
| | 4,540,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 4,701,860 | |
| | 1,000,000 | | | Costa Rica Government International Bond | | | 7.00% | ^ | | | 04/04/2044 | | | | 1,007,500 | |
| | 3,000,000 | | | United Mexican States | | | 4.00% | | | | 10/02/2023 | | | | 3,104,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $8,620,071) | | | | 8,813,610 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 7.1% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 2,000,000 | | | Series 2014-IP-E | | | 2.81% | #^ | | | 06/15/2028 | | | | 1,974,741 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 2,500,000 | | | Series 2005-3-AM | | | 4.73% | | | | 07/10/2043 | | | | 2,549,626 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 1,000,000 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 1,018,155 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 2,902,000 | | | Series 2006-CD3-AM | | | 5.65% | | | | 10/15/2048 | | | | 3,138,587 | |
| | 4,800,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 5,041,428 | |
| | 96,115,083 | | | Series 2007-CD5-XP | | | 0.30% | #^ I/O | | | 11/15/2044 | | | | 24,221 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 2,000,000 | | | Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 2,207,099 | |
| | 11,683,980 | | | Series 2012-GC8-XA | | | 2.22% | #^ I/O | | | 09/10/2045 | | | | 1,223,903 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 2,602,680 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 2,659,085 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 4,824,955 | | | Series 2002-LC4-XA | | | 2.47% | #^ I/O | | | 12/10/2044 | | | | 592,010 | |
| | 2,500,000 | | | Series 2006-C8-AM | | | 5.35% | | | | 12/10/2046 | | | | 2,698,388 | |
| | 2,835,667 | | | Series 2010-C1-XPA | | | 2.29% | #^ I/O | | | 07/10/2046 | | | | 73,488 | |
| | 29,287,503 | | | Series 2012-CR3-XA | | | 2.34% | # I/O | | | 10/15/2045 | | | | 3,396,018 | |
| | 2,370,000 | | | Series 2014-CR15-D | | | 4.77% | #^ | | | 02/10/2047 | | | | 2,275,824 | |
| | 3,000,000 | | | Series 2014-CR19-C | | | 4.72% | # | | | 08/10/2047 | | | | 3,066,310 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 695,117 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 717,930 | |
| | 54,893 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 54,957 | |
| | 2,455,000 | | | Series 2005-C6-AJ | | | 5.23% | # | | | 12/15/2040 | | | | 2,547,423 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| $ | 4,380,000 | | | Series 2006-C3-AM | | | 6.00% | # | | | 06/15/2038 | | | | 4,684,668 | |
| | 1,875,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 2,009,406 | |
| | 2,500,000 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 2,681,484 | |
| | 2,500,000 | | | Series 2007-C4-A1AM | | | 6.10% | # | | | 09/15/2039 | | | | 2,715,068 | |
| | 3,800,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 4,037,806 | |
| |
| | | | DBRR Trust, | |
| | 1,000,000 | | | Series 2011-C32-A3B | | | 5.93% | #^ | | | 06/17/2049 | | | | 1,065,754 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 5,736,372 | | | Series 2011-LC2A-XA | | | 1.42% | #^ I/O | | | 07/10/2044 | | | | 279,097 | |
| |
| | | | Extended Stay America Trust, | |
| | 1,000,000 | | | Series 2013-ESFL-DFL | | | 3.30% | #^ | | | 12/05/2031 | | | | 1,002,011 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 1,000,000 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 1,019,078 | |
| |
| | | | GMAC Commercial Mortgage Securities, Inc., | |
| | 794,000 | | | Series 2006-C1-AM | | | 5.29% | # | | | 11/10/2045 | | | | 828,143 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 4,000,000 | | | Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 4,182,180 | |
| | 3,500,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 3,826,937 | |
| | 4,000,000 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 4,270,340 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 2,600,000 | | | Series 2006-GG6-AJ | | | 5.52% | # | | | 04/10/2038 | | | | 2,686,169 | |
| | 13,237,647 | | | Series 2006-GG6-XC | | | 0.00% | #^ I/O | | | 04/10/2038 | | | | 6,645 | |
| | 4,793,273 | | | Series 2011-GC5-XA | | | 1.70% | #^ I/O | | | 08/10/2044 | | | | 298,206 | |
| | 5,762,976 | | | Series 2012-GC6-XA | | | 2.13% | #^ I/O | | | 01/10/2045 | | | | 637,492 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 3,000,000 | | | Series 2005-CB12-B | | | 4.97% | # | | | 09/12/2037 | | | | 2,899,727 | |
| | 35,516,912 | | | Series 2006-LDP8-X | | | 0.54% | # I/O | | | 05/15/2045 | | | | 316,704 | |
| | 2,500,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 2,603,648 | |
| | 1,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 1,077,929 | |
| | 4,450,000 | | | Series 2007-CIBC19-AM | | | 5.70% | # | | | 02/12/2049 | | | | 4,782,584 | |
| | 3,000,000 | | | Series 2007-CIBC20 | | | 6.07% | # | | | 02/12/2051 | | | | 3,190,622 | |
| | 3,750,000 | | | Series 2007-LD12-AM | | | 6.00% | # | | | 02/15/2051 | | | | 4,135,704 | |
| | 12,050,000 | | | Series 2009-IWST-XB | | | 0.29% | #^ I/O | | | 12/05/2027 | | | | 223,130 | |
| | 1,000,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 1,053,559 | |
| | 12,114,285 | | | Series 2011-C4-XA | | | 1.67% | #^ I/O | | | 07/15/2046 | | | | 562,163 | |
| | 33,260,747 | | | Series 2012-C8-XA | | | 2.29% | # I/O | | | 10/15/2045 | | | | 3,508,244 | |
| | 7,294,740 | | | Series 2012-CBX-XA | | | 1.93% | # I/O | | | 06/15/2045 | | | | 601,440 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 3,000,000 | | | Series 2014-C21-C | | | 4.82% | # | | | 08/15/2047 | | | | 3,054,621 | |
| | 2,766,125 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 2,792,266 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 3,000,000 | | | Series 2007-C3-AMFL | | | 6.10% | #^ | | | 07/15/2044 | | | | 3,324,699 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 250,000 | | | Series 2005-C3-AM | | | 4.79% | | | | 07/15/2040 | | | | 254,985 | |
| | 9,395,696 | | | Series 2006-C7-XCL | | | 0.85% | #^ I/O | | | 11/15/2038 | | | | 114,364 | |
| | 7,577,492 | | | Series 2006-C7-XW | | | 0.85% | #^ I/O | | | 11/15/2038 | | | | 92,233 | |
| | 2,100,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 2,174,176 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 3,050,000 | | | Series 2006-C1-AJ | | | 5.67% | # | | | 05/12/2039 | | | | 3,079,419 | |
| | 1,600,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 1,631,601 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 213,033 | | | Series 2006-4-A2FL | | | 0.27% | # | | | 12/12/2049 | | | | 213,003 | |
| | 4,000,000 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 4,217,032 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 2,914,551 | | | Series 2012-C5-XA | | | 2.02% | #^ I/O | | | 08/15/2045 | | | | 252,278 | |
| | 2,975,000 | | | Series 2014-C14-D | | | 5.00% | #^ | | | 02/15/2047 | | | | 2,831,669 | |
| | 3,000,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 2,957,334 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 4,400,000 | | | Series 2006-HQ8-AJ | | | 5.49% | # | | | 03/12/2044 | | | | 4,563,163 | |
| | 42,730 | | | Series 2007-HQ12-A2FL | | | 0.40% | # | | | 04/12/2049 | | | | 42,572 | |
| | 3,700,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 3,989,103 | |
| | 28,892,205 | | | Series 2011-C1-XA | | | 1.08% | #^ I/O | | | 09/15/2047 | | | | 521,143 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 1,000,000 | | | Series 2007-C4-AJ | | | 5.57% | # | | | 08/15/2039 | | | | 1,041,672 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 14,490,989 | | | Series 2012-C3-XA | | | 2.14% | #^ I/O | | | 08/10/2049 | | | | 1,664,152 | |
| | | | | | |
| 32 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| $ | 94,391,468 | | | Series 2006-C27-XC | | | 0.45% | #^ I/O | | | 07/15/2045 | | | | 484,039 | |
| | 2,500,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 2,561,761 | |
| | 16,364,589 | | | Series 2006-C29-IO | | | 0.53% | # I/O | | | 11/15/2048 | | | | 127,464 | |
| | 1,900,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 1,961,851 | |
| | 3,500,000 | | | Series 2007-C33-AM | | | 6.14% | # | | | 02/15/2051 | | | | 3,828,062 | |
| | 2,500,000 | | | Series 2007-C33-B | | | 6.14% | # | | | 02/15/2051 | | | | 2,528,726 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 19,280,704 | | | Series 2012-C9-XA | | | 2.38% | #^ I/O | | | 11/15/2045 | | | | 2,229,428 | |
| | 56,941,032 | | | Series 2014-C22-XA | | | 0.97% | # I/O | | | 09/15/2057 | | | | 3,766,535 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations (Cost $155,266,276) | | | | 152,744,482 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 11.9% |
|
| |
| | | | ACE Securities Corporation, | |
| | 484,399 | | | Series 2006-NC1-A2C | | | 0.35% | # | | | 12/25/2035 | | | | 484,167 | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 96,101 | | | Series 2007-3-1A1 | | | 3.76% | #^ | | | 11/25/2037 | | | | 80,367 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 4,000,000 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 4,119,598 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 2,703,673 | | | Series 2005-G-A3 | | | 4.80% | # | | | 10/20/2035 | | | | 2,631,073 | |
| | 1,654,623 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 1,691,117 | |
| | 961,049 | | | Series 2006-6-1A2 | | | 6.25% | | | | 08/25/2036 | | | | 953,864 | |
| | | | |
| | | | BCAP LLC Trust, | | | | | | | | | | | | |
| | 1,611,328 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 1,671,356 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 327,741 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 280,448 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 7,475,635 | | | Series 2007-A2-6A4 | | | 2.52% | # | | | 07/25/2037 | | | | 6,808,173 | |
| | 2,231,153 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 2,144,942 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 207,365 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 220,599 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 1,800,000 | | | Series 2006-2-A5 | | | 6.04% | # | | | 09/25/2036 | | | | 1,831,222 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 384,652 | | | Series 2006-WF2-A2C | | | 5.70% | # | | | 05/25/2036 | | | | 262,970 | |
| | 4,928,000 | | | Series 2008-AR4-2A1B | | | 2.72% | #^ | | | 11/25/2038 | | | | 4,551,992 | |
| | 2,773,765 | | | Series 2010-8-5A4 | | | 8.00% | #^ | | | 11/25/2036 | | | | 2,450,930 | |
| | 14,168,226 | | | Series 2010-8-6A4 | | | 7.18% | #^ | | | 12/25/2036 | | | | 12,133,988 | |
| | 1,926,413 | | | Series 2011-12-3A1 | | | 2.58% | #^ | | | 09/25/2047 | | | | 1,926,970 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 285,649 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 254,289 | |
| | 159,858 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 130,899 | |
| | 283,956 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 237,797 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 369,394 | | | Series 2005-20CB-1A1 | | | 5.50% | | | | 07/25/2035 | | | | 344,524 | |
| | 418,740 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 351,768 | |
| | 2,088,330 | | | Series 2005-46CB-A22 | | | 5.25% | | | | 10/25/2035 | | | | 1,979,801 | |
| | 378,661 | | | Series 2005-J10-1A13 | | | 0.85% | # | | | 10/25/2035 | | | | 307,861 | |
| | 677,556 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 602,139 | |
| | 2,374,951 | | | Series 2007-12T1-A1 | | | 6.00% | | | | 06/25/2037 | | | | 2,042,646 | |
| | 2,657,352 | | | Series 2007-16CB-2A1 | | | 0.60% | # | | | 08/25/2037 | | | | 1,574,298 | |
| | 769,503 | | | Series 2007-16CB-2A2 | | | 53.30% | # I/F | | | 08/25/2037 | | | | 1,795,326 | |
| | 194,104 | | | Series 2007-17CB-1A10 | | | 29.19% | # I/F | | | 08/25/2037 | | | | 308,992 | |
| | 1,030,314 | | | Series 2007-18CB-2A17 | | | 6.00% | | | | 08/25/2037 | | | | 948,390 | |
| | 4,229,813 | | | Series 2007-23CB-A3 | | | 0.65% | # | | | 09/25/2037 | | | | 2,997,461 | |
| | 4,155,072 | | | Series 2007-23CB-A4 | | | 6.35% | # I/F I/O | | | 09/25/2037 | | | | 980,175 | |
| | 811,577 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 248,334 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 178,938 | | | Series 2005-13-AF3 | | | 5.02% | # | | | 04/25/2036 | | | | 154,201 | |
| |
| | | | Countrywide Home Loans, | |
| | 228,040 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 232,318 | |
| | 876,663 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 827,947 | |
| | 1,574,368 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 1,461,568 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Home Loans, (Cont.) | |
| $ | 706,683 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 674,268 | |
| | 1,822,893 | | | Series 2007-3-A17 | | | 6.00% | | | | 04/25/2037 | | | | 1,693,278 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 194,039 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 171,770 | |
| | 3,061,281 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 3,005,702 | |
| | |
| | | | Credit Suisse Mortgage Capital Certificates, | | | | | |
| | 7,051,487 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 6,357,297 | |
| | 300,251 | | | Series 2006-4-7A1 | | | 5.50% | | | | 05/25/2021 | | | | 286,554 | |
| | 207,522 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 173,967 | |
| | 98,070 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 97,280 | |
| | 9,254,418 | | | Series 2010-4R-3A17 | | | 6.54% | #^ | | | 06/26/2037 | | | | 8,633,565 | |
| | |
| | | | Deutsche Mortgage Securities, Inc., | | | | | |
| | 2,547,150 | | | Series 2006-PR1-3A1 | | | 11.91% | #^ I/F | | | 04/15/2036 | | | | 3,033,677 | |
| | 264,023 | | | Series 2006-PR1-4AI2 | | | 14.31% | #^ I/F | | | 04/15/2036 | | | | 326,450 | |
| | 1,762,672 | | | Series 2006-PR1-5AI4 | | | 11.91% | #^ I/F | | | 04/15/2036 | | | | 2,082,784 | |
| | |
| | | | First Horizon Alternative Mortgage Securities, | | | | | |
| | 717,574 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 619,060 | |
| | 183,172 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 172,013 | |
| | |
| | | | GSAA Home Equity Trust, | | | | | |
| | 778,410 | | | Series 2005-7-AF5 | | | 4.61% | # | | | 05/25/2035 | | | | 817,758 | |
| | 2,612,065 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 2,338,930 | |
| | 1,925,249 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 1,576,488 | |
| | |
| | | | GSR Mortgage Loan Trust, | | | | | |
| | 135,614 | | | Series 2006-2F-5A1 | | | 4.50% | | | | 01/25/2021 | | | | 129,154 | |
| | 10,112,115 | | | Series 2006-3F-4A1 | | | 6.00% | | | | 03/25/2036 | | | | 9,439,427 | |
| | 1,580,539 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 1,523,017 | |
| | |
| | | | HSI Asset Loan Obligation Trust, | | | | | |
| | 111,403 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 104,101 | |
| | |
| | | | JP Morgan Alternative Loan Trust, | | | | | |
| | 464,212 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 366,428 | |
| | 10,000,000 | | | Series 2006-S3-A4 | | | 6.31% | # | | | 08/25/2036 | | | | 8,094,930 | |
| | 1,954,893 | | | Series 2006-S3-A6 | | | 6.12% | # | | | 08/25/2036 | | | | 1,871,661 | |
| | 2,660,038 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 2,524,243 | |
| | |
| | | | JP Morgan Mortgage Trust, | | | | | |
| | 527,793 | | | Series 2007-S3-1A7 | | | 6.00% | | | | 08/25/2037 | | | | 473,441 | |
| | |
| | | | JP Morgan Resecuritization Trust, | | | | | |
| | 3,553,170 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 3,585,885 | |
| | |
| | | | Lehman Mortgage Trust, | | | | | |
| | 3,523,335 | | | Series 2005-1-2A4 | | | 5.50% | | | | 11/25/2035 | | | | 3,354,363 | |
| | 1,076,776 | | | Series 2006-3-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 867,329 | |
| | 79,644 | | | Series 2006-9-1A19 | | | 29.97% | # I/F | | | 01/25/2037 | | | | 124,766 | |
| | 1,328,262 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 1,184,103 | |
| | 297,050 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 234,786 | |
| | |
| | | | MASTR Alternative Loans Trust, | | | | | |
| | 199,555 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 200,257 | |
| | 81,683 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 65,950 | |
| | |
| | | | MASTR Asset Securitization Trust, | | | | | |
| | 290,393 | | | Series 2003-2-30B2 | | | 5.75% | | | | 04/25/2033 | | | | 287,839 | |
| | 5,058,660 | | | Series 2006-2-1A11 | | | 6.00% | # | | | 06/25/2036 | | | | 4,784,485 | |
| | |
| | | | Morgan Stanley Mortgage Loan Trust, | | | | | |
| | 509,454 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 522,739 | |
| | 2,317,330 | | | Series 2005-7-7A4 | | | 5.50% | | | | 11/25/2035 | | | | 2,363,881 | |
| | 5,707,120 | | | Series 2006-7-3A | | | 5.38% | # | | | 06/25/2036 | | | | 4,944,729 | |
| | |
| | | | Morgan Stanley Re-Remic Trust, | | | | | |
| | 4,032,425 | | | Series 2010-R6-5C | | | 5.75% | #^ | | | 05/26/2037 | | | | 3,683,914 | |
| | |
| | | | Nomura Asset Acceptance Corporation, | | | | | |
| | 282,442 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 188,704 | |
| | |
| | | | Nomura Home Equity Loan, Inc., | | | | | |
| | 713,141 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 400,477 | |
| | 1,288,699 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 794,443 | |
| | |
| | | | Option One Mortgage Loan Trust, | | | | | |
| | 88,933 | | | Series 2004-3-M3 | | | 1.13% | # | | | 11/25/2034 | | | | 83,237 | |
| | |
| | | | PHH Alternative Mortgage Trust, | | | | | |
| | 1,785,473 | | | Series 2007-2-4A1 | | | 6.00% | | | | 05/25/2022 | | | | 1,713,063 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 33 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | |
| | | | PR Mortgage Loan Trust, | | | | | |
| $ | 14,914,842 | | | Series 2014-1-APT | | | 5.93% | ^ | | | 10/25/2049 | | | | 14,981,959 | |
| | |
| | | | Residential Accredit Loans, Inc., | | | | | |
| | 476,034 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 498,327 | |
| | 737,253 | | | Series 2005-QS14-3A3 | | | 6.00% | | | | 09/25/2035 | | | | 678,254 | |
| | 189,728 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 192,873 | |
| | 773,263 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 646,183 | |
| | 8,437,832 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 7,391,583 | |
| | 1,790,035 | | | Series 2006-QS6-1A15 | | | 6.00% | | | | 06/25/2036 | | | | 1,460,984 | |
| | 509,987 | | | Series 2006-QS6-2A1 | | | 6.00% | | | | 06/25/2021 | | | | 501,050 | |
| | 2,588,529 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 2,115,564 | |
| | 8,797,956 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 7,457,878 | |
| | |
| | | | Residential Asset Mortgage Products, Inc., | | | | | |
| | 550,000 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 524,412 | |
| | |
| | | | Residential Asset Securitization Trust, | | | | | |
| | 337,857 | | | Series 2005-A10-A3 | | | 5.50% | | | | 09/25/2035 | | | | 300,457 | |
| | 422,494 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 331,430 | |
| | 116,140 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 106,810 | |
| | 2,203,018 | | | Series 2006-A6-1A1 | | | 6.50% | | | | 07/25/2036 | | | | 1,383,863 | |
| | 225,288 | | | Series 2006-R1-A1 | | | 27.78% | # I/F | | | 01/25/2046 | | | | 373,345 | |
| | |
| | | | Residential Funding Mortgage Securities Trust, | | | | | |
| | 243,503 | | | Series 2006-S10-1A2 | | | 6.00% | | | | 10/25/2036 | | | | 215,872 | |
| | 1,234,027 | | | Series 2006-S11-A3 | | | 6.00% | | | | 11/25/2036 | | | | 1,141,379 | |
| | 2,290,888 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 2,084,209 | |
| | 1,591,200 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 1,469,858 | |
| | |
| | | | Structured Asset Securities Corporation, | | | | | |
| | 1,983,561 | | | Series 2003-35-1A1 | | | 5.23% | # | | | 12/25/2033 | | | | 2,070,529 | |
| | 2,777,566 | | | Series 2005-14-1A1 | | | 0.45% | # | | | 07/25/2035 | | | | 2,515,833 | |
| | 2,465,053 | | | Series 2005-16-1A3 | | | 5.50% | | | | 09/25/2035 | | | | 2,550,420 | |
| | 2,204,966 | | | Series 2005-RF1-A | | | 0.50% | #^ | | | 03/25/2035 | | | | 1,869,112 | |
| | 2,220,566 | | | Series 2005-RF1-AIO | | | 5.21% | #^ I/O | | | 03/25/2035 | | | | 318,685 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 204,897 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 199,843 | |
| | 2,210,205 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 2,037,215 | |
| | 3,985,576 | | | Series 2006-2-4CB | | | 6.00% | | | | 03/25/2036 | | | | 3,520,097 | |
| | 6,131,775 | | | Series 2006-8-A6 | | | 4.90% | # | | | 10/25/2036 | | | | 4,404,669 | |
| | 5,264,705 | | | Series 2006-AR19-2A | | | 1.92% | # | | | 01/25/2047 | | | | 5,085,363 | |
| | 3,867,524 | | | Series 2007-3-A6 | | | 6.00% | | | | 04/25/2037 | | | | 3,366,680 | |
| | 238,502 | | | Series 2007-5-A11 | | | 38.55% | # I/F | | | 06/25/2037 | | | | 474,849 | |
| | 12,934,750 | | | Series 2007-5-A3 | | | 7.00% | | | | 06/25/2037 | | | | 8,183,183 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 2,838,564 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 2,706,713 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 3,164,338 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 3,258,683 | |
| | 159,285 | | | Series 2005-AR14-A6 | | | 5.35% | # | | | 08/25/2035 | | | | 156,395 | |
| | 246,214 | | | Series 2005-AR16-6A4 | | | 2.61% | # | | | 10/25/2035 | | | | 238,069 | |
| | 1,022,127 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 1,042,273 | |
| | 2,470,054 | | | Series 2006-7-2A1 | | | 6.00% | | | | 06/25/2036 | | | | 2,406,067 | |
| | 2,442,718 | | | Series 2007-10-1A5 | | | 6.00% | | | | 07/25/2037 | | | | 2,407,006 | |
| | 2,726,392 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 2,611,463 | |
| | 4,145,474 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 4,144,918 | |
| | 4,831,943 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 4,916,386 | |
| | 1,194,806 | | | Series 2007-4-A16 | | | 5.50% | | | | 04/25/2037 | | | | 1,148,477 | |
| | 3,231,851 | | | Series 2007-5-1A1 | | | 5.50% | | | | 05/25/2037 | | | | 3,418,867 | |
| | 305,661 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 303,371 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $245,223,548) | | | | 257,208,159 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 12.5% | | | | | | | | | | | | |
| | 3,645,000 | | | 21st Century Fox America, Inc. | | | 4.75% | ^ | | | 09/15/2044 | | | | 3,674,306 | |
| | 2,125,000 | | | Actavis Funding SCS | | | 4.85% | ^ | | | 06/15/2044 | | | | 2,004,032 | |
| | 1,185,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 1,235,362 | |
| | 1,960,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 1,964,900 | |
| | 4,710,000 | | | Altria Group, Inc. | | | 2.85% | | | | 08/09/2022 | | | | 4,519,250 | |
| | 1,120,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 1,184,400 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,645,000 | | | American Express Credit Corporation | | | 2.13% | | | | 03/18/2019 | | | | 2,636,957 | |
| | 2,135,000 | | | American Express Credit Corporation | | | 2.25% | | | | 08/15/2019 | | | | 2,122,493 | |
| | 2,050,000 | | | Arrow Electronics, Inc. | | | 3.38% | | | | 11/01/2015 | | | | 2,103,335 | |
| | 1,220,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 1,195,600 | |
| | 1,615,000 | | | Athlon Holdings LP | | | 7.38% | | | | 04/15/2021 | | | | 1,764,387 | |
| | 2,080,000 | | | Atlas Pipeline Partners LP | | | 4.75% | | | | 11/15/2021 | | | | 1,947,400 | |
| | 1,990,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 1,985,025 | |
| | 3,404,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 3,391,868 | |
| | 2,010,000 | | | BB&T Corporation | | | 2.25% | | | | 02/01/2019 | | | | 2,014,301 | |
| | 3,095,000 | | | Becton Dickinson and Company | | | 3.13% | | | | 11/08/2021 | | | | 3,172,780 | |
| | 2,714,000 | | | Berkshire Hathaway Energy Company | | | 6.50% | | | | 09/15/2037 | | | | 3,520,872 | |
| | 2,055,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 1,980,506 | |
| | 985,000 | | | Biomet, Inc. | | | 6.50% | | | | 08/01/2020 | | | | 1,046,562 | |
| | 1,462,000 | | | Boeing Company | | | 6.88% | | | | 03/15/2039 | | | | 2,061,990 | |
| | 2,000,000 | | | Boston Properties LP | | | 4.13% | | | | 05/15/2021 | | | | 2,123,232 | |
| | 2,110,000 | | | Burlington Northern Santa Fe LLC | | | 4.55% | | | | 09/01/2044 | | | | 2,117,024 | |
| | 2,010,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 1,974,825 | |
| | 1,945,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 2,027,663 | |
| | 1,885,000 | | | Cinemark USA, Inc. | | | 7.38% | | | | 06/15/2021 | | | | 2,026,375 | |
| | 3,415,000 | | | Citigroup, Inc. | | | 1.75% | | | | 05/01/2018 | | | | 3,370,168 | |
| | 2,070,000 | | | Coca-Cola Company | | | 1.80% | | | | 09/01/2016 | | | | 2,111,845 | |
| | 2,405,000 | | | Comcast Corporation | | | 4.20% | | | | 08/15/2034 | | | | 2,392,323 | |
| | 888,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 874,680 | |
| | 1,650,000 | | | ConocoPhillips Company | | | 6.50% | | | | 02/01/2039 | | | | 2,167,433 | |
| | 3,140,000 | | | Covidien International Finance S.A. | | | 2.95% | | | | 06/15/2023 | | | | 3,038,226 | |
| | 2,010,000 | | | Delphi Corporation | | | 4.15% | | | | 03/15/2024 | | | | 2,054,379 | |
| | 3,644,000 | | | Devon Energy Corporation | | | 6.30% | | | | 01/15/2019 | | | | 4,218,582 | |
| | 2,245,000 | | | DIRECTV Holdings LLC | | | 4.45% | | | | 04/01/2024 | | | | 2,342,592 | |
| | 2,450,000 | | | Dow Chemical Company | | | 3.00% | | | | 11/15/2022 | | | | 2,366,938 | |
| | 2,268,000 | | | Duke Energy Corporation | | | 3.55% | | | | 09/15/2021 | | | | 2,354,123 | |
| | 2,110,000 | | | Ecolab, Inc. | | | 3.00% | | | | 12/08/2016 | | | | 2,191,121 | |
| | 1,865,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 1,837,025 | |
| | 1,163,000 | | | Equinix, Inc. | | | 7.00% | | | | 07/15/2021 | | | | 1,250,225 | |
| | 2,155,000 | | | ERP Operating LP | | | 4.50% | | | | 07/01/2044 | | | | 2,130,720 | |
| | 3,195,000 | | | Ford Motor Company | | | 7.45% | | | | 07/16/2031 | | | | 4,229,576 | |
| | 1,700,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 1,895,500 | |
| | 2,140,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 2,075,800 | |
| | 2,040,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 1,927,800 | |
| | 4,510,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 4,686,679 | |
| | 2,905,000 | | | General Motors Financial Company, Inc. | | | 3.00% | | | | 09/25/2017 | | | | 2,937,681 | |
| | 3,465,000 | | | Gilead Sciences, Inc. | | | 3.70% | | | | 04/01/2024 | | | | 3,546,192 | |
| | 3,370,000 | | | Glencore Funding LLC | | | 3.13% | ^ | | | 04/29/2019 | | | | 3,379,268 | |
| | 2,110,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 01/24/2022 | | | | 2,401,619 | |
| | 1,825,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 1,964,156 | |
| | 1,925,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 1,977,938 | |
| | 845,000 | | | H.J. Heinz Company | | | 4.25% | | | | 10/15/2020 | | | | 841,831 | |
| | 1,765,000 | | | Halliburton Company | | | 6.15% | | | | 09/15/2019 | | | | 2,078,923 | |
| | 1,910,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 1,991,175 | |
| | 1,910,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 1,929,100 | |
| | 1,245,000 | | | Hilcorp Energy LP | | | 5.00% | ^ | | | 12/01/2024 | | | | 1,199,869 | |
| | 2,035,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 2,009,563 | |
| | 2,005,000 | | | Illinois Tool Works, Inc. | | | 3.38% | | | | 09/15/2021 | | | | 2,085,541 | |
| | 5,205,000 | | | JP Morgan Chase & Company | | | 3.63% | | | | 05/13/2024 | | | | 5,176,523 | |
| | 1,663,000 | | | Kellogg Company | | | 7.45% | | | | 04/01/2031 | | | | 2,187,419 | |
| | 2,225,000 | | | Kinder Morgan Energy Partners LP | | | 6.95% | | | | 01/15/2038 | | | | 2,603,470 | |
| | 3,130,000 | | | Kroger Company | | | 3.40% | | | | 04/15/2022 | | | | 3,143,565 | |
| | 2,879,000 | | | Liberty Mutual Group, Inc. | | | 6.50% | ^ | | | 05/01/2042 | | | | 3,534,183 | |
| | 1,235,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 1,256,613 | |
| | 1,865,000 | | | Louisiana-Pacific Corporation | | | 7.50% | | | | 06/01/2020 | | | | 1,995,550 | |
| | 2,395,000 | | | Macy’s Retail Holdings, Inc. | | | 2.88% | | | | 02/15/2023 | | | | 2,290,077 | |
| | 1,095,000 | | | Manitowoc Company, Inc. | | | 8.50% | | | | 11/01/2020 | | | | 1,182,600 | |
| | 2,055,000 | | | Mattel, Inc. | | | 2.50% | | | | 11/01/2016 | | | | 2,110,175 | |
| | | | | | |
| 34 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,050,000 | | | Memorial Production Partners LP | | | 6.88% | ^ | | | 08/01/2022 | | | | 1,968,000 | |
| | 4,755,000 | | | MetLife, Inc. | | | 4.13% | | | | 08/13/2042 | | | | 4,520,949 | |
| | 1,845,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 1,955,700 | |
| | 1,805,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 1,908,788 | |
| | 2,360,000 | | | Morgan Stanley | | | 3.75% | | | | 02/25/2023 | | | | 2,361,149 | |
| | 469,000 | | | MPT Operating Partnership LP | | | 6.38% | | | | 02/15/2022 | | | | 503,003 | |
| | 3,905,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 10.38% | | | | 11/01/2018 | | | | 5,146,599 | |
| | 745,000 | | | NCL Corporation Ltd. | | | 5.00% | | | | 02/15/2018 | | | | 756,175 | |
| | 1,075,000 | | | Oasis Petroleum, Inc. | | | 6.88% | | | | 03/15/2022 | | | | 1,139,500 | |
| | 1,870,000 | | | ONEOK Partners LP | | | 6.13% | | | | 02/01/2041 | | | | 2,134,246 | |
| | 1,985,000 | | | Oracle Corporation | | | 1.20% | | | | 10/15/2017 | | | | 1,971,564 | |
| | 2,250,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 2,281,970 | |
| | 1,934,000 | | | Phillips 66 | | | 5.88% | | | | 05/01/2042 | | | | 2,300,280 | |
| | 1,782,000 | | | Plains Exploration & Production Company | | | 6.50% | | | | 11/15/2020 | | | | 1,955,959 | |
| | 1,870,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 1,907,400 | |
| | 330,000 | | | PNC Funding Corporation | | | 4.38% | | | | 08/11/2020 | | | | 360,220 | |
| | 1,890,000 | | | PNC Funding Corporation | | | 3.30% | | | | 03/08/2022 | | | | 1,903,168 | |
| | 1,965,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 1,950,263 | |
| | 2,060,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 2,075,450 | |
| | 2,075,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 2,043,875 | |
| | 1,840,000 | | | Reynolds Group Issuer LLC | | | 9.00% | | | | 04/15/2019 | | | | 1,925,100 | |
| | 1,820,000 | | | RR Donnelley & Sons Company | | | 7.88% | | | | 03/15/2021 | | | | 2,006,550 | |
| | 1,950,000 | | | Safway Group Holding LLC | | | 7.00% | ^ | | | 05/15/2018 | | | | 1,993,875 | |
| | 1,159,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 1,187,975 | |
| | 1,920,000 | | | Sanchez Energy Corporation | | | 6.13% | ^ | | | 01/15/2023 | | | | 1,906,176 | |
| | 1,140,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 1,162,800 | |
| | 4,710,000 | | | Seagate HDD | | | 4.75% | ^ | | | 01/01/2025 | | | | 4,710,000 | |
| | 1,785,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 1,793,925 | |
| | 1,141,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 1,158,115 | |
| | 2,000,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 1,925,000 | |
| | 1,792,000 | | | Simon Property Group LP | | | 5.65% | | | | 02/01/2020 | | | | 2,064,665 | |
| | 1,180,000 | | | Smithfield Foods, Inc. | | | 5.88% | ^ | | | 08/01/2021 | | | | 1,197,700 | |
| | 3,078,000 | | | Southern Power Company | | | 4.88% | | | | 07/15/2015 | | | | 3,184,394 | |
| | 1,230,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 1,226,925 | |
| | 2,890,000 | | | Southwest Airlines Company | | | 5.13% | | | | 03/01/2017 | | | | 3,121,035 | |
| | 1,394,000 | | | Spectrum Brands, Inc. | | | 6.63% | | | | 11/15/2022 | | | | 1,470,670 | |
| | 1,245,000 | | | Steel Dynamics, Inc. | | | 5.13% | ^ | | | 10/01/2021 | | | | 1,263,675 | |
| | 2,410,000 | | | Synchrony Financial | | | 3.00% | | | | 08/15/2019 | | | | 2,418,211 | |
| | 895,000 | | | Sysco Corporation | | | 1.45% | | | | 10/02/2017 | | | | 896,865 | |
| | 1,116,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 1,166,220 | |
| | 1,940,000 | | | TransDigm, Inc. | | | 6.00% | ^ | | | 07/15/2022 | | | | 1,918,175 | |
| | 4,765,000 | | | Tyson Foods, Inc. | | | 3.95% | | | | 08/15/2024 | | | | 4,782,826 | |
| | 1,975,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 1,994,750 | |
| | 1,815,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 1,982,888 | |
| | 1,880,000 | | | United Technologies Corporation | | | 3.10% | | | | 06/01/2022 | | | | 1,882,145 | |
| | 2,147,000 | | | Verizon Communications, Inc. | | | 2.63% | ^ | | | 02/21/2020 | | | | 2,122,707 | |
| | 1,740,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 1,900,950 | |
| | 2,520,000 | | | Waste Management, Inc. | | | 6.13% | | | | 11/30/2039 | | | | 3,128,744 | |
| | 1,480,000 | | | WCI Communities, Inc. | | | 6.88% | | | | 08/15/2021 | | | | 1,491,100 | |
| | 305,000 | | | WCI Communities, Inc. | | | 6.88% | ^ | | | 08/15/2021 | | | | 307,288 | |
| | 2,096,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 2,103,317 | |
| | 2,945,000 | | | Wells Fargo & Company | | | 4.60% | | | | 04/01/2021 | | | | 3,229,776 | |
| | 1,205,000 | | | Wells Fargo & Company | | | 3.50% | | | | 03/08/2022 | | | | 1,232,905 | |
| | 2,060,000 | | | Wynn Las Vegas LLC | | | 7.75% | | | | 08/15/2020 | | | | 2,196,475 | |
| | 2,325,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 2,407,849 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $271,818,290) | | | | | | | | 270,740,240 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 17.1% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| $ | 1,924,836 | | | Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 2,128,658 | |
| | 1,177,886 | | | Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 1,296,411 | |
| | 23,668,324 | | | Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 23,408,333 | |
| | 5,227,608 | | | Pool N7-0081 | | | 5.50% | | | | 07/01/2038 | | | | 5,868,968 | |
| | 6,990,099 | | | Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 7,079,058 | |
| | 1,267,460 | | | Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 1,346,298 | |
| | 134,613 | | | Series 2692-SC | | | 12.98% | # I/F | | | 07/15/2033 | | | | 162,942 | |
| | 5,300,000 | | | Series 2722-PS | | | 9.72% | # I/F | | | 12/15/2033 | | | | 6,313,817 | |
| | 281,467 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 296,768 | |
| | 503,751 | | | Series 3002-SN | | | 6.35% | # I/F I/O | | | 07/15/2035 | | | | 97,228 | |
| | 224,460 | | | Series 3045-DI | | | 6.58% | # I/F I/O | | | 10/15/2035 | | | | 43,440 | |
| | 881,615 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 977,178 | |
| | 105,507 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 113,661 | |
| | 1,159,906 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 1,273,606 | |
| | 322,967 | | | Series 3275-SC | | | 5.93% | # I/F I/O | | | 02/15/2037 | | | | 44,659 | |
| | 2,573,559 | | | Series 3382-SB | | | 5.85% | # I/F I/O | | | 11/15/2037 | | | | 301,152 | |
| | 2,052,242 | | | Series 3384-S | | | 6.24% | # I/F I/O | | | 11/15/2037 | | | | 312,801 | |
| | 2,543,834 | | | Series 3417-SX | | | 6.03% | # I/F I/O | | | 02/15/2038 | | | | 278,740 | |
| | 286,123 | | | Series 3423-GS | | | 5.50% | # I/F I/O | | | 03/15/2038 | | | | 30,079 | |
| | 286,123 | | | Series 3423-SG | | | 5.50% | # I/F I/O | | | 03/15/2038 | | | | 31,980 | |
| | 386,336 | | | Series 3524-LB | | | 4.97% | # | | | 06/15/2038 | | | | 395,597 | |
| | 1,137,943 | | | Series 3562-WS | | | 4.80% | # I/F I/O | | | 08/15/2039 | | | | 114,665 | |
| | 681,136 | | | Series 3582-SA | | | 5.85% | # I/F I/O | | | 10/15/2049 | | | | 90,484 | |
| | 1,135,580 | | | Series 3606-CS | | | 6.20% | # I/F I/O | | | 12/15/2039 | | | | 197,227 | |
| | 615,187 | | | Series 3616-SG | | | 6.20% | # I/F I/O | | | 03/15/2032 | | | | 95,370 | |
| | 3,281,924 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 3,587,331 | |
| | 1,127,330 | | | Series 3666-SC | | | 5.62% | # I/F I/O | | | 05/15/2040 | | | | 149,138 | |
| | 634,221 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 694,835 | |
| | 205,424 | | | Series 3688-CM | | | 4.00% | | | | 07/15/2029 | | | | 208,636 | |
| | 50,069 | | | Series 3745-SY | | | 9.69% | # I/F | | | 10/15/2040 | | | | 49,388 | |
| | 2,373,723 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 2,377,939 | |
| | 1,400,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 1,434,027 | |
| | 294,243 | | | Series 3780-YS | | | 9.59% | # I/F | | | 12/15/2040 | | | | 292,805 | |
| | 814,926 | | | Series 3786-SG | | | 9.19% | # I/F | | | 01/15/2041 | | | | 815,994 | |
| | 2,315,371 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 2,335,776 | |
| | 114,501 | | | Series 3798-SD | | | 9.29% | # I/F | | | 12/15/2040 | | | | 116,088 | |
| | 59,906 | | | Series 3805-KS | | | 9.19% | # I/F | | | 02/15/2041 | | | | 57,873 | |
| | 1,825,946 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 2,056,842 | |
| | 1,156,635 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 1,161,152 | |
| | 4,680,944 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 4,944,558 | |
| | 2,405,267 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 2,651,055 | |
| | 3,736,782 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 3,839,715 | |
| | 251,282 | | | Series 3828-SW | | | 12.74% | # I/F | | | 02/15/2041 | | | | 274,129 | |
| | 3,911,049 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 4,314,882 | |
| | 3,404,399 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 3,594,434 | |
| | 2,535,069 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 2,754,667 | |
| | 19,113,568 | | | Series 3967-ZP | | | 4.00% | | | | 09/15/2041 | | | | 19,314,385 | |
| | 5,504,400 | | | Series 3972-AZ | | | 3.50% | | | | 12/15/2041 | | | | 5,228,038 | |
| | 21,880,211 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 21,943,937 | |
| | 8,035,552 | | | Series 4096-DZ | | | 3.50% | | | | 08/15/2042 | | | | 7,362,172 | |
| | 16,366,754 | | | Series 4291-MS | | | 5.75% | # I/F I/O | | | 01/15/2054 | | | | 2,550,268 | |
| | 28,737,676 | | | Series 4377-A | | | 3.00% | | | | 06/15/2039 | | | | 29,489,841 | |
| | 20,000,000 | | | Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 20,275,000 | |
| | 1,189,246 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 1,320,104 | |
| |
| | | | Federal National Mortgage Association, | |
| | 160,951 | | | Series 2003-117-KS | | | 6.95% | # I/F I/O | | | 08/25/2033 | | | | 15,983 | |
| | 500,000 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 540,926 | |
| | 5,000,000 | | | Series 2005-20-QH | | | 5.00% | | | | 03/25/2035 | | | | 5,401,133 | |
| | 935,547 | | | Series 2006-101-SA | | | 6.43% | # I/F I/O | | | 10/25/2036 | | | | 159,041 | |
| | 436,943 | | | Series 2006-56-SM | | | 6.60% | # I/F I/O | | | 07/25/2036 | | | | 72,686 | |
| | 355,870 | | | Series 2007-116-BI | | | 6.10% | # I/F I/O | | | 05/25/2037 | | | | 41,725 | |
| | 3,855,471 | | | Series 2007-30-FS | | | 29.11% | # I/F | | | 04/25/2037 | | | | 6,435,746 | |
| | 1,499,134 | | | Series 2007-30-OI | | | 6.29% | # I/F I/O | | | 04/25/2037 | | | | 273,911 | |
| | 308,157 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 328,751 | |
| | 332,096 | | | Series 2008-62-SC | | | 5.85% | # I/F I/O | | | 07/25/2038 | | | | 46,855 | |
| | 2,399,828 | | | Series 2009-111-EZ | | | 5.00% | | | | 01/25/2040 | | | | 2,565,191 | |
| | 129,520 | | | Series 2009-111-SE | | | 6.10% | # I/F I/O | | | 01/25/2040 | | | | 16,219 | |
| | 214,223 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 231,462 | |
| | 335,474 | | | Series 2009-48-WS | | | 5.80% | # I/F I/O | | | 07/25/2039 | | | | 45,766 | |
| | 1,862,438 | | | Series 2009-62-PS | | | 5.95% | # I/F I/O | | | 08/25/2039 | | | | 245,884 | |
| | 3,337,191 | | | Series 2009-77-ZA | | | 4.50% | | | | 10/25/2039 | | | | 3,606,047 | |
| | 1,045,851 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 1,105,351 | |
| | 319,291 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 343,876 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 35 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 55,491 | | | Series 2010-109-BS | | | 53.30% | # I/F | | | 10/25/2040 | | | | 213,471 | |
| | 1,620,842 | | | Series 2010-112-ZA | | | 4.00% | | | | 10/25/2040 | | | | 1,693,062 | |
| | 657,020 | | | Series 2010-121-SD | | | 4.35% | # I/F I/O | | | 10/25/2040 | | | | 64,178 | |
| | 29,336 | | | Series 2010-137-VS | | | 14.54% | # I/F | | | 12/25/2040 | | | | 40,725 | |
| | 2,323,089 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 2,336,729 | |
| | 370,753 | | | Series 2010-31-SA | | | 4.85% | # I/F I/O | | | 04/25/2040 | | | | 36,845 | |
| | 304,255 | | | Series 2010-34-PS | | | 4.78% | # I/F I/O | | | 04/25/2040 | | | | 30,653 | |
| | 445,973 | | | Series 2010-35-SP | | | 6.20% | # I/F I/O | | | 04/25/2050 | | | | 63,378 | |
| | 237,691 | | | Series 2010-35-SV | | | 6.30% | # I/F I/O | | | 04/25/2040 | | | | 30,444 | |
| | 7,972,574 | | | Series 2010-37-MY | | | 4.50% | | | | 04/25/2040 | | | | 8,469,006 | |
| | 596,579 | | | Series 2010-59-PS | | | 6.30% | # I/F I/O | | | 03/25/2039 | | | | 73,963 | |
| | 638,851 | | | Series 2010-59-SC | | | 4.85% | # I/F I/O | | | 01/25/2040 | | | | 70,369 | |
| | 4,341,670 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 4,579,741 | |
| | 372,411 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 407,537 | |
| | 1,863,844 | | | Series 2010-7-PE | | | 5.00% | | | | 02/25/2040 | | | | 1,995,450 | |
| | 798,958 | | | Series 2010-90-GS | | | 5.85% | # I/F I/O | | | 08/25/2040 | | | | 105,105 | |
| | 57,791 | | | Series 2010-99-SG | | | 24.23% | # I/F | | | 09/25/2040 | | | | 93,942 | |
| | 6,800,328 | | | Series 2011-141-PZ | | | 4.00% | | | | 01/25/2042 | | | | 6,951,679 | |
| | 14,538,376 | | | Series 2011-18-UZ | | | 4.00% | | | | 03/25/2041 | | | | 14,517,492 | |
| | 1,533,918 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 1,533,842 | |
| | 1,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 992,317 | |
| | 3,829,578 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 4,096,377 | |
| | 10,247,240 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 10,744,759 | |
| | 423,801 | | | Series 2011-88-SB | | | 8.99% | # I/F | | | 09/25/2041 | | | | 424,960 | |
| | 19,810,878 | | | Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 20,293,253 | |
| | 903,091 | | | Series 400-S4 | | | 5.30% | # I/F I/O | | | 11/25/2039 | | | | 117,327 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 376,588 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 416,603 | |
| | 318,790 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 352,611 | |
| | 2,491,558 | | | Pool 735383 | | | 5.00% | | | | 04/01/2035 | | | | 2,756,374 | |
| | 1,320,053 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 1,459,917 | |
| | 1,918,139 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 2,122,205 | |
| | 370,874 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 410,703 | |
| | 2,262,460 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 2,535,621 | |
| | 2,144,658 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 2,372,650 | |
| | 1,755,362 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 1,877,496 | |
| | 139,581 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 148,186 | |
| | 68,714 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 74,812 | |
| | 44,933 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 48,937 | |
| | 2,824,410 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 3,020,726 | |
| | 1,510,057 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 1,644,215 | |
| | 184,806 | | | Pool MA0282 | | | 5.00% | | | | 12/01/2039 | | | | 207,315 | |
| | 1,136,154 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 1,243,395 | |
| | 90,892 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 98,024 | |
| |
| | | | Government National Mortgage Association, | |
| | 1,413,509 | | | Pool 752494-SF | | | 5.50% | | | | 09/20/2039 | | | | 1,570,362 | |
| | 271,875 | | | Series 2003-67-SP | | | 6.95% | # I/F I/O | | | 08/20/2033 | | | | 84,217 | |
| | 374,446 | | | Series 2008-82-SM | | | 5.90% | # I/F I/O | | | 09/20/2038 | | | | 52,330 | |
| | 5,191,835 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 5,604,464 | |
| | 4,447,375 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 4,786,872 | |
| | 4,381,285 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 4,659,059 | |
| | 5,133,435 | | | Series 2009-75-HZ | | | 5.00% | | | | 09/20/2039 | | | | 5,721,950 | |
| | 108,971 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 123,149 | |
| | 7,021,416 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 7,423,448 | |
| | 8,390,271 | | | Series 2011-70-WS | | | 9.39% | # I/F | | | 12/20/2040 | | | | 9,143,362 | |
| | 11,615,083 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 12,484,745 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $360,333,619) | | | | 371,391,034 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 17.1% | | | | | |
| | 56,800,000 | | | United States Treasury Bonds | | | 3.63% | | | | 02/15/2044 | | | | 61,397,278 | |
| | 26,800,000 | | | United States Treasury Notes | | | 0.25% | | | | 10/31/2014 | | | | 26,805,762 | |
| | 55,000,000 | | | United States Treasury Notes | | | 0.25% | | | | 01/31/2015 | | | | 55,040,810 | |
| | 10,600,000 | | | United States Treasury Notes | | | 0.25% | | | | 03/31/2015 | | | | 10,610,971 | |
| | 41,200,000 | | | United States Treasury Notes | | | 1.00% | | | | 06/30/2019 | | | | 39,780,536 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 57,050,000 | | | United States Treasury Notes | | | 1.00% | | | | 08/31/2019 | | | | 54,908,400 | |
| | 55,050,000 | | | United States Treasury Notes | | | 1.88% | | | | 06/30/2020 | | | | 54,748,932 | |
| | 52,700,000 | | | United States Treasury Notes | | | 1.63% | | | | 08/15/2022 | | | | 50,050,613 | |
| | 18,000,000 | | | United States Treasury Notes | | | 2.75% | | | | 11/15/2023 | | | | 18,452,808 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $369,570,889) | | | | 371,796,110 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 5.2% (a) | | | | | |
| | 11,277,670 | | | DoubleLine Floating Rate Fund | | | | | | | | | | | 113,002,257 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds (Cost $113,628,896) | | | | | | | | 113,002,257 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 6.3% | | | | | |
| | 45,390,325 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 45,390,325 | |
| | 45,390,325 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 45,390,325 | |
| | 45,390,325 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 45,390,325 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $136,170,975) | | | | 136,170,975 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 98.8%
(Cost $2,116,213,286) | | | | 2,142,167,672 | |
| | | | Other Assets in Excess of Liabilities 1.2% | | | | 26,970,035 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 2,169,137,707 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | | | | |
US Government Bonds and Notes | | | 17.1% | |
US Government / Agency Mortgage Backed Obligations | | | 17.1% | |
Foreign Corporate Bonds | | | 16.8% | |
US Corporate Bonds | | | 12.5% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 11.9% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.1% | |
Short Term Investments | | | 6.3% | |
Affiliated Mutual Funds | | | 5.2% | |
Collateralized Loan Obligations | | | 4.4% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.4% | |
Other Assets and Liabilities | | | 1.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 36 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | | | | |
United States | | | 81.6% | |
Mexico | | | 2.6% | |
Colombia | | | 2.3% | |
Peru | | | 2.3% | |
Brazil | | | 2.2% | |
Guatemala | | | 1.4% | |
Chile | | | 1.3% | |
Costa Rica | | | 0.5% | |
Jamaica | | | 0.4% | |
Canada | | | 0.4% | |
Paraguay | | | 0.4% | |
United Kingdom | | | 0.4% | |
India | | | 0.4% | |
Israel | | | 0.3% | |
Dominican Republic | | | 0.3% | |
Barbados | | | 0.3% | |
Supranational | | | 0.2% | |
Australia | | | 0.2% | |
South Korea | | | 0.2% | |
Netherlands | | | 0.2% | |
Qatar | | | 0.2% | |
Singapore | | | 0.1% | |
France | | | 0.1% | |
Panama | | | 0.1% | |
Morocco | | | 0.1% | |
Indonesia | | | 0.1% | |
Luxembourg | | | 0.1% | |
El Salvador | | | 0.1% | |
Other Assets and Liabilities | | | 1.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
US Government Bonds and Notes | | | 17.1% | |
US Government / Agency Mortgage Backed Obligations | | | 17.1% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 11.9% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.1% | |
Short Term Investments | | | 6.3% | |
Affiliated Mutual Funds | | | 5.2% | |
Banking | | | 4.7% | |
Collateralized Loan Obligations | | | 4.4% | |
Telecommunications | | | 3.0% | |
Oil & Gas | | | 2.8% | |
Utilities | | | 1.5% | |
Chemicals/Plastics | | | 1.5% | |
Consumer Products | | | 1.5% | |
Building and Development | | | 1.4% | |
Mining | | | 1.4% | |
Finance | | | 1.1% | |
Business Equipment and Services | | | 0.9% | |
Media | | | 0.8% | |
Transportation | | | 0.8% | |
Healthcare | | | 0.8% | |
Financial Intermediaries | | | 0.8% | |
Automotive | | | 0.7% | |
Food Products | | | 0.5% | |
Food/Drug Retailers | | | 0.5% | |
Real Estate | | | 0.4% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.4% | |
Construction | | | 0.4% | |
Energy | | | 0.4% | |
Insurance | | | 0.4% | |
Beverage and Tobacco | | | 0.3% | |
Industrial | | | 0.3% | |
Conglomerates | | | 0.3% | |
Hotels/Motels/Inns and Casinos | | | 0.3% | |
Leisure | | | 0.3% | |
Retailers (other than Food/Drug) | | | 0.3% | |
Software | | | 0.2% | |
Pharmaceuticals | | | 0.2% | |
Machinery and Tools | | | 0.2% | |
Environmental Control | | | 0.1% | |
Air Transport | | | 0.1% | |
Electronics/Electric | | | 0.1% | |
Cosmetics/Toiletries | | | 0.1% | |
Containers and Glass Products | | | 0.1% | |
Pulp & Paper | | | 0.1% | |
Other Assets and Liabilities | | | 1.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ^ | 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, 2014, the value of these securities amounted to $379,300,858 or 17.5% 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 held |
| ¨ | Seven-day yield as of September 30, 2014 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 37 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2014 |
Investments in Affiliates
Generally, an issuer is an affiliate 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 investments in affiliated mutual funds for the period ended September 30, 2014 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at March 31,
2014 | | | Gross Purchases | | | Gross
Sales | | | Shares Held at
September 30,
2014 | | | Value at
September 30,
2014 | | | Dividend
Income Earned
in the Period
Ended September 30,
2014 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2014 | |
DoubleLine Floating Rate Fund | | $ | 104,358,793 | | | $ | 10,000,000 | | | $ | — | | | | 11,277,670 | | | $ | 113,002,257 | | | $ | 1,702,013 | | | $ | — | |
| | | | | | |
| 38 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 98.9% | |
| | |
| | BARBADOS 1.9% | |
| $ | 4,200,000 | | | Columbus International, Inc. | | | 7.38% | ^ | | | 03/30/2021 | | | | 4,383,750 | |
| | 7,800,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 8,141,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,525,000 | |
| | | | | | | | | | | | | | | | |
| | BRAZIL 15.4% | |
| | 10,000,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 9,751,000 | |
| | 1,300,000 | | | BR Malls International Finance Ltd. | | | 8.50% | † | | | 01/21/2016 | | | | 1,359,319 | |
| | 2,700,000 | | | Braskem America Finance Company | | | 7.13% | | | | 07/22/2041 | | | | 2,686,500 | |
| | 2,500,000 | | | Braskem Finance Ltd. | | | 7.38% | † | | | 10/04/2015 | | | | 2,506,250 | |
| | 2,000,000 | | | Braskem Finance Ltd. | | | 6.45% | | | | 02/03/2024 | | | | 2,085,000 | |
| | 4,500,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 4,365,000 | |
| | 1,000,000 | | | Cosan Luxembourg S.A. | | | 5.00% | ^ | | | 03/14/2023 | | | | 962,500 | |
| | 2,000,000 | | | Cosan Luxembourg S.A. | | | 5.00% | | | | 03/14/2023 | | | | 1,925,000 | |
| | 8,600,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 8,385,000 | |
| | 2,000,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 1,950,000 | |
| | 3,400,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 3,350,700 | |
| | 5,000,000 | | | GTL Trade Finance, Inc. | | | 5.89% | ^ | | | 04/29/2024 | | | | 5,068,050 | |
| | 3,000,000 | | | JBS Investments GmbH | | | 7.25% | ^ | | | 04/03/2024 | | | | 3,067,500 | |
| | 4,000,000 | | | Klabin Finance S.A. | | | 5.25% | ^ | | | 07/16/2024 | | | | 3,921,200 | |
| | 6,575,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 6,575,000 | |
| | 11,000,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 10,730,500 | |
| | 7,600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 7,771,000 | |
| | 3,050,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 3,112,525 | |
| | 500,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 510,250 | |
| | 11,000,000 | | | OAS Financial Ltd. | | | 8.88% | #^† | | | 04/25/2018 | | | | 10,309,200 | |
| | 4,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/14/2015 | | | | 4,567,500 | |
| | 4,900,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 5,272,400 | |
| | 1,000,000 | | | Rio Oil Finance Trust | | | 6.25% | ^ | | | 07/06/2024 | | | | 1,033,014 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 101,264,408 | |
| | | | | | | | | | | | | | | | |
| | CHILE 8.9% | |
| | 11,000,000 | | | Cencosud S.A. | | | 4.88% | ^ | | | 01/20/2023 | | | | 11,012,034 | |
| | 526,000 | | | CFR International S.A. | | | 5.13% | | | | 12/06/2022 | | | | 567,313 | |
| | 8,200,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 8,226,617 | |
| | 13,500,000 | | | ENTEL Chile S.A. | | | 4.75% | ^ | | | 08/01/2026 | | | | 13,527,891 | |
| | 6,400,000 | | | GNL Quintero S.A. | | | 4.63% | ^ | | | 07/31/2029 | | | | 6,393,638 | |
| | 6,500,000 | | | SUAM Finance B.V. | | | 4.88% | ^ | | | 04/17/2024 | | | | 6,630,000 | |
| | 1,500,000 | | | SUAM Finance B.V. | | | 4.88% | | | | 04/17/2024 | | | | 1,530,000 | |
| | 10,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 10,375,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 58,262,493 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 14.1% | |
| | 5,100,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 5,431,500 | |
| | 4,900,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 5,218,500 | |
| | 4,000,000 | | | Banco Davivienda S.A. | | | 5.88% | | | | 07/09/2022 | | | | 4,020,000 | |
| | 4,000,000 | | | Banco de Bogota S.A. | | | 5.38% | ^ | | | 02/19/2023 | | | | 4,110,000 | |
| | 1,000,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 1,027,500 | |
| | 5,000,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 5,450,000 | |
| | 5,000,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 5,400,000 | |
| | 2,000,000 | | | Bancolombia S.A. | | | 5.13% | | | | 09/11/2022 | | | | 2,018,000 | |
| | 5,400,000 | | | Ecopetrol S.A. | | | 4.13% | | | | 01/16/2025 | | | | 5,238,000 | |
| | 500,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 508,750 | |
| | 9,000,000 | | | Grupo Aval Ltd. | | | 4.75% | ^ | | | 09/26/2022 | | | | 8,932,500 | |
| | 6,000,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 5,955,000 | |
| | 600,000 | | | Gruposura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 651,000 | �� |
| | 500,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 542,500 | |
| | 11,500,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 11,011,250 | |
| | 317,000 | | | Millicom International Cellular S.A. | | | 6.63% | ^ | | | 10/15/2021 | | | | 330,472 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 9,400,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 9,799,500 | |
| | 14,600,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 14,020,380 | |
| | 2,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 1,926,900 | |
| | 500,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 528,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 92,120,502 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 4.4% | |
| | 7,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 7,157,500 | |
| | 10,000,000 | | | Banco Nacional de Costa Rica | | | 6.25% | | | | 11/01/2023 | | | | 10,075,000 | |
| | 6,000,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 6,390,000 | |
| | 4,775,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 5,085,375 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 28,707,875 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 2.7% | |
| | 1,300,000 | | | Aeropuertos Dominicanos | | | 9.75% | #^ | | | 11/13/2019 | | | | 1,267,500 | |
| | 2,700,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 2,632,500 | |
| | 1,600,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 1,718,000 | |
| | 11,463,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 12,308,396 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 17,926,396 | |
| | | | | | | | | | | | | | | | |
| | EL SALVADOR 0.9% | |
| | 6,200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 6,011,396 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,011,396 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 10.4% | |
| | 9,000,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 9,371,250 | |
| | 6,545,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 6,814,981 | |
| | 2,500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 2,653,125 | |
| | 600,000 | | | Cementos Progreso Trust | | | 7.13% | ^ | | | 11/06/2023 | | | | 645,300 | |
| | 10,000,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 10,755,000 | |
| | 6,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 6,510,000 | |
| | 9,000,000 | | | Comcel Trust | | | 6.88% | ^ | | | 02/06/2024 | | | | 9,517,500 | |
| | 5,500,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 5,816,250 | |
| | 5,900,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 5,855,750 | |
| | 10,133,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 10,057,003 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 67,996,159 | |
| | | | | | | | | | | | | | | | |
| | INDIA 2.3% | |
| | 4,000,000 | | | Reliance Industries Ltd. | | | 5.88% | † | | | 02/05/2018 | | | | 3,935,000 | |
| | 500,000 | | | Reliance Industries Ltd. | | | 8.25% | | | | 01/15/2027 | | | | 647,756 | |
| | 5,400,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 5,977,125 | |
| | 4,400,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 4,526,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,086,381 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 1.6% | |
| | 6,140,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 6,562,125 | |
| | 4,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 4,086,904 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,649,029 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 2.4% | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 517,500 | |
| | 7,500,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 7,503,750 | |
| | 7,677,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 7,680,839 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,702,089 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 39 |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | MEXICO 14.9% | |
| $ | 2,000,000 | | | Banco Inbursa S.A. | | | 4.13% | ^ | | | 06/06/2024 | | | | 1,940,000 | |
| | 500,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 522,500 | |
| | 1,900,000 | | | Cemex Finance LLC | | | 6.00% | | | | 04/01/2024 | | | | 1,899,430 | |
| | 9,000,000 | | | Cemex S.A.B. de C.V. | | | 5.70% | ^ | | | 01/11/2025 | | | | 8,694,000 | |
| | 3,000,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 3,217,500 | |
| | 10,800,000 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 11,367,000 | |
| | 5,800,000 | | | Fresnillo PLC | | | 5.50% | ^ | | | 11/13/2023 | | | | 6,059,260 | |
| | 3,000,000 | | | Fresnillo PLC | | | 5.50% | | | | 11/13/2023 | | | | 3,134,100 | |
| | 3,700,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 4,014,500 | |
| | 1,200,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 1,257,000 | |
| | 8,500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 9,095,000 | |
| | 5,000,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | ^ | | | 12/04/2022 | | | | 5,139,750 | |
| | 6,700,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | | | | 12/04/2022 | | | | 6,887,265 | |
| | 5,500,000 | | | Metalsa S.A. de C.V. | | | 4.90% | | | | 04/24/2023 | | | | 5,362,500 | |
| | 4,500,000 | | | Mexichem S.A.B. de C.V. | | | 6.75% | | | | 09/19/2042 | | | | 4,828,500 | |
| | 1,900,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | ^ | | | 09/17/2044 | | | | 1,866,750 | |
| | 9,453,000 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 9,476,632 | |
| | 500,000 | | | Office Depot de Mexico S.A. de C.V. | | | 6.88% | | | | 09/20/2020 | | | | 537,500 | |
| | 8,000,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 8,540,000 | |
| | 3,400,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 3,323,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 97,162,687 | |
| | | | | | | | | | | | | | | | |
| | MOROCCO 0.1% | |
| | 500,000 | | | Office Cherifien des Phosphates | | | 5.63% | ^ | | | 04/25/2024 | | | | 521,350 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 521,350 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 1.3% | |
| | 2,750,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 2,829,750 | |
| | 5,283,415 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 5,467,965 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,297,715 | |
| | | | | | | | | | | | | | | | |
| | PARAGUAY 1.4% | |
| | 900,000 | | | Banco Regional SAECA | | | 8.13% | ^ | | | 01/24/2019 | | | | 990,000 | |
| | 6,940,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 7,634,000 | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 416,200 | |
| | 300,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 312,150 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,352,350 | |
| | | | | | | | | | | | | | | | |
| | PERU 14.6% | |
| | 3,100,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 3,456,500 | |
| | 3,600,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 4,014,000 | |
| | 3,900,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 3,570,450 | |
| | 2,000,000 | | | Banco de Credito del Peru | | | 6.13% | # | | | 04/24/2027 | | | | 2,145,000 | |
| | 4,000,000 | | | Banco International del Peru S.A.A. | | | 6.63% | #^ | | | 03/19/2029 | | | | 4,360,000 | |
| | 3,000,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 3,270,000 | |
| | 3,508,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 3,986,842 | |
| | 3,000,000 | | | Camposol S.A. | | | 9.88% | ^ | | | 02/02/2017 | | | | 3,165,000 | |
| | 2,818,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 2,972,990 | |
| | 4,000,000 | | | Cia Minera Milpo S.A.A. | | | 4.63% | ^ | | | 03/28/2023 | | | | 3,990,000 | |
| | 500,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 528,900 | |
| | 5,600,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 5,180,000 | |
| | 6,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 5.25% | #^ | | | 07/15/2029 | | | | 6,097,500 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 1,700,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | ^ | | | 02/10/2017 | | | | 1,683,000 | |
| | 6,205,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | | | | 02/10/2017 | | | | 6,142,950 | |
| | 2,000,000 | | | Ferreycorp S.A.A. | | | 4.88% | ^ | | | 04/26/2020 | | | | 1,990,000 | |
| | 2,090,951 | | | IIRSA Norte Finance Ltd. | | | 8.75% | | | | 05/30/2024 | | | | 2,488,232 | |
| | 1,500,000 | | | InRetail Shopping Malls | | | 6.50% | ^ | | | 07/09/2021 | | | | 1,571,250 | |
| | 3,500,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 3,666,250 | |
| | 2,000,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 2,171,900 | |
| | 5,400,000 | | | Minsur S.A. | | | 6.25% | ^ | | | 02/07/2024 | | | | 5,942,700 | |
| | 4,100,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 3,782,250 | |
| | 2,730,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 2,518,425 | |
| | 5,000,000 | | | Scotiabank Peru S.A. | | | 4.50% | # | | | 12/13/2027 | | | | 4,825,000 | |
| | 4,000,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 4,486,720 | |
| | 7,000,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 6,649,020 | |
| | 500,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 496,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 95,151,129 | |
| | | | | | | | | | | | | | | | |
| | QATAR 1.4% | |
| | 3,341,000 | | | Nakilat, Inc. | | | 6.07% | | | | 12/31/2033 | | | | 3,804,564 | |
| | 4,621,577 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 5,245,490 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,050,054 | |
| | | | | | | | | | | | | | | | |
| | SINGAPORE 0.2% | |
| | 500,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | #^ | | | 10/15/2024 | | | | 505,667 | |
| | 500,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 504,465 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,010,132 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $637,834,146) | | | | 646,797,145 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.1% |
|
| | |
| | COSTA RICA 0.1% | |
| | 500,000 | | | Costa Rica Government International Bond | | | 7.00% | ^ | | | 04/04/2044 | | | | 503,750 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $500,000) | | | | 503,750 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 0.0% | |
| | 13,649 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 13,649 | |
| | 13,650 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 13,650 | |
| | 13,649 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 13,649 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $40,948) | | | | 40,948 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.0%
(Cost $638,375,094) | | | | 647,341,843 | |
| | | | Other Assets in Excess of Liabilities 1.0% | | | | 6,222,669 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 653,564,512 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 40 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | | | | |
Brazil | | | 15.4% | |
Mexico | | | 14.9% | |
Peru | | | 14.6% | |
Colombia | | | 14.1% | |
Guatemala | | | 10.4% | |
Chile | | | 8.9% | |
Costa Rica | | | 4.5% | |
Dominican Republic | | | 2.7% | |
Jamaica | | | 2.4% | |
India | | | 2.3% | |
Barbados | | | 1.9% | |
Israel | | | 1.6% | |
Paraguay | | | 1.4% | |
Qatar | | | 1.4% | |
Panama | | | 1.3% | |
El Salvador | | | 0.9% | |
Singapore | | | 0.2% | |
Morocco | | | 0.1% | |
United States | | | 0.0% | ~ |
Other Assets and Liabilities | | | 1.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Banking | | | 18.4% | |
Telecommunications | | | 14.7% | |
Consumer Products | | | 9.3% | |
Utilities | | | 8.9% | |
Oil & Gas | | | 7.3% | |
Building and Development | | | 6.4% | |
Mining | | | 6.4% | |
Finance | | | 6.0% | |
Transportation | | | 4.4% | |
Chemicals/Plastics | | | 4.3% | |
Construction | | | 3.1% | |
Conglomerates | | | 1.8% | |
Food/Drug Retailers | | | 1.7% | |
Beverage and Tobacco | | | 1.5% | |
Media | | | 1.3% | |
Real Estate | | | 1.0% | |
Automotive | | | 0.8% | |
Retailers (other than Food/Drug) | | | 0.6% | |
Pulp & Paper | | | 0.6% | |
Industrial | | | 0.3% | |
Pharmaceuticals | | | 0.1% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.1% | |
Short Term Investments | | | 0.0% | ~ |
Other Assets and Liabilities | | | 1.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At September 30, 2014, the value of these securities amounted to $289,854,997 or 44.3% of net assets. |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ¨ | Seven-day yield as of September 30, 2014 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 41 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 5.3% | |
| |
| | | | Brookside Mill Ltd., | |
| $ | 1,000,000 | | | Series 2013-1A-E | | | 4.63% | #^ | | | 04/17/2025 | | | | 893,485 | |
| | 1,000,000 | | | Series 2013-1A-SUB | | | 18.44% | #^@ | | | 04/17/2025 | | | | 982,165 | |
| |
| | | | Cent Ltd., | |
| | 1,000,000 | | | Series 2013-18A-D | | | 3.68% | #^ | | | 07/23/2025 | | | | 948,892 | |
| | 1,000,000 | | | Series 2013-18A-E | | | 4.83% | #^ | | | 07/23/2025 | | | | 900,371 | |
| | 1,000,000 | | | Series 2013-18A-SUB | | | 19.57% | #^@ | | | 07/23/2025 | | | | 895,027 | |
| | 500,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 477,100 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 500,000 | | | Series 2014-13A-D | | | 3.58% | #^ | | | 01/19/2025 | | | | 476,344 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.88% | #^ | | | 11/14/2026 | | | | 478,780 | |
| | 500,000 | | | Series 2014-1A-D | | | 6.83% | #^ | | | 11/14/2026 | | | | 495,310 | |
| |
| | | | OZLM Funding Ltd., | |
| | 500,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 500,081 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $7,166,532) | | | | 7,047,555 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 2.6% | |
| | 3,500,000 | | | Petroleos de Venezuela S.A. | | | 4.90% | | | | 10/28/2014 | | | | 3,438,750 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $3,450,040) | | | | 3,438,750 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 1.7% | |
| | 2,500,000 | | | Commonwealth of Puerto Rico | | | 8.00% | | | | 07/01/2035 | | | | 2,206,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $2,255,768) | | | | 2,206,250 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS 8.9% | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 335,160 | | | Series 2006-1-2A1 | | | 3.02% | # | | | 03/25/2036 | | | | 260,183 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 596,275 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 410,252 | |
| |
| | | | BCAP LLC Trust, | |
| | 61,768 | | | Series 2007-AA2-2A5 | | | 6.00% | | | | 04/25/2037 | | | | 53,789 | |
| | 2,673,259 | | | Series 2009-RR4-1A2 | | | 3.16% | #^ | | | 06/26/2037 | | | | 1,329,598 | |
| | 75,535 | | | Series 2010-RR6-1A20 | | | 5.56% | #^ | | | 08/26/2022 | | | | 76,020 | |
| |
| | | | ChaseFlex Trust, | |
| | 327,520 | | | Series 2007-M1-2F4 | | | 4.81% | # | | | 08/25/2037 | | | | 267,535 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 105,564 | | | Series 2007-2-3A1 | | | 5.50% | | | | 02/25/2037 | | | | 105,575 | |
| |
| | | | Citicorp Mortgage Loan Trust, Inc., | |
| | 357,888 | | | Series 2009-7-2A2 | | | 5.50% | ^ | | | 10/25/2021 | | | | 353,763 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 394,477 | | | Series 2007-A6-1A11 | | | 6.00% | | | | 06/25/2037 | | | | 334,386 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 144,077 | | | Series 2006-32CB-A16 | | | 5.50% | | | | 11/25/2036 | | | | 128,684 | |
| | 850,858 | | | Series 2006-J1-2A1 | | | 7.00% | | | | 02/25/2036 | | | | 365,412 | |
| | 31,057 | | | Series 2007-17CB-1A10 | | | 29.19% | # I/F | | | 08/25/2037 | | | | 49,439 | |
| | 21,959 | | | Series 2007-21CB-2A2 | | | 27.78% | # I/F | | | 09/25/2037 | | | | 34,117 | |
| |
| | | | Countrywide Home Loans, | |
| | 375,426 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 348,528 | |
| | 20,148 | | | Series 2007-4-1A5 | | | 6.50% | | | | 05/25/2037 | | | | 19,437 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 244,902 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 240,456 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 52,168 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 51,021 | |
| | 433,586 | | | Series 2010-7R-4A17 | | | 6.52% | #^ | | | 04/26/2037 | | | | 398,710 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 226,624 | | | Series 2006-PR1-3A1 | | | 11.91% | #^ I/F | | | 04/15/2036 | | | | 269,912 | |
| | 352,534 | | | Series 2006-PR1-5AI4 | | | 11.91% | #^ I/F | | | 04/15/2036 | | | | 416,557 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| $ | 81,140 | | | Series 2007-FA2-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 63,206 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 1,000,000 | | | Series 2006-15-AF3B | | | 5.93% | # | | | 09/25/2036 | | | | 251,203 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 214,160 | | | Series 2006-2F-2A20 | | | 10.95% | # I/F | | | 02/25/2036 | | | | 221,980 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 49,219 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 44,962 | |
| | 742,005 | | | Series 2006-S1-1A3 | | | 5.50% | | | | 03/25/2036 | | | | 655,067 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 192,240 | | | Series 2006-CH2-AF3 | | | 5.16% | # | | | 10/25/2036 | | | | 157,096 | |
| |
| | | | Lavender Trust, | |
| | 297,000 | | | Series 2010-R12A-A3 | | | 6.00% | ^ | | | 06/26/2037 | | | | 305,609 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 116,956 | | | Series 2006-4-1A3 | | | 5.25% | # I/F I/O | | | 08/25/2036 | | | | 15,819 | |
| | 7,309 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 6,213 | |
| | 71,413 | | | Series 2007-5-11A1 | | | 5.53% | # | | | 06/25/2037 | | | | 52,822 | |
| |
| | | | Lehman XS Trust, | |
| | 303,650 | | | Series 2005-1-3A3A | | | 5.11% | # | | | 07/25/2035 | | | | 276,628 | |
| |
| | | | Long Beach Mortgage Loan Trust, | |
| | 310,531 | | | Series 2005-WL2-M1 | | | 0.62% | # | | | 08/25/2035 | | | | 308,220 | |
| |
| | | | MASTR Resecuritization Trust, | |
| | 436,932 | | | Series 2008-4-A1 | | | 6.00% | #^ | | | 06/27/2036 | | | | 389,968 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 389,030 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 322,638 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 333,511 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 292,157 | |
| | 6,062 | | | Series 2006-QS13-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 4,836 | |
| | 345,413 | | | Series 2006-QS2-1A4 | | | 5.50% | | | | 02/25/2036 | | | | 290,619 | |
| | 68,112 | | | Series 2006-QS7-A4 | | | 0.55% | # | | | 06/25/2036 | | | | 43,957 | |
| | 204,337 | | | Series 2006-QS7-A5 | | | 5.45% | # I/F I/O | | | 06/25/2036 | | | | 34,787 | |
| | 130,615 | | | Series 2006-QS8-A4 | | | 0.60% | # | | | 08/25/2036 | | | | 82,579 | |
| | 391,846 | | | Series 2006-QS8-A5 | | | 5.40% | # I/F I/O | | | 08/25/2036 | | | | 67,338 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 405,192 | | | Series 2004-RS2-MII1 | | | 1.02% | # | | | 02/25/2034 | | | | 388,938 | |
| | 705 | | | Series 2004-RS9-AI4 | | | 4.77% | # | | | 10/25/2032 | | | | 740 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 35,000 | | | Series 2005-A12-A12 | | | 5.50% | | | | 11/25/2035 | | | | 32,613 | |
| | 772,221 | | | Series 2006-A16-1A3 | | | 6.00% | | | | 02/25/2037 | | | | 617,965 | |
| | 578,724 | | | Series 2007-A1-A8 | | | 6.00% | | | | 03/25/2037 | | | | 447,683 | |
| | 584,916 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 525,225 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 360,693 | | | Series 2006-8-A6 | | | 4.90% | # | | | 10/25/2036 | | | | 259,098 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $10,841,376) | | | | 11,673,340 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 4.2% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 107,805 | | | Series 3261-SA | | | 6.28% | # I/F I/O | | | 01/15/2037 | | | | 18,233 | |
| | 116,318 | | | Series 3317-DS | | | 14.62% | # I/F | | | 05/15/2037 | | | | 143,398 | |
| | 223,219 | | | Series 3355-BI | | | 5.90% | # I/F I/O | | | 08/15/2037 | | | | 34,535 | |
| | 192,398 | | | Series 3384-S | | | 6.24% | # I/F I/O | | | 11/15/2037 | | | | 29,325 | |
| | 383,241 | | | Series 3384-SG | | | 6.16% | # I/F I/O | | | 08/15/2036 | | | | 56,658 | |
| | 236,636 | | | Series 3417-SX | | | 6.03% | # I/F I/O | | | 02/15/2038 | | | | 25,929 | |
| | 357,653 | | | Series 3423-GS | | | 5.50% | # I/F I/O | | | 03/15/2038 | | | | 37,599 | |
| | 3,612,206 | | | Series 3423-TG | | | 0.35% | # I/F I/O | | | 03/15/2038 | | | | 37,143 | |
| | 415,376 | | | Series 3500-SA | | | 5.37% | # I/F I/O | | | 01/15/2039 | | | | 49,785 | |
| | 489,538 | | | Series 3523-SM | | | 5.85% | # I/F I/O | | | 04/15/2039 | | | | 70,086 | |
| | 113,794 | | | Series 3562-WS | | | 4.80% | # I/F I/O | | | 08/15/2039 | | | | 11,466 | |
| | 529,662 | | | Series 3728-SV | | | 4.30% | # I/F I/O | | | 09/15/2040 | | | | 52,380 | |
| | 437,232 | | | Series 3758-S | | | 5.88% | # I/F I/O | | | 11/15/2040 | | | | 55,153 | |
| | 74,464 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 74,596 | |
| | 27,715 | | | Series 3780-YS | | | 9.59% | # I/F | | | 12/15/2040 | | | | 27,580 | |
| | 501,789 | | | Series 3815-ST | | | 5.70% | # I/F I/O | | | 02/15/2041 | | | | 62,122 | |
| | 211,594 | | | Series 3900-SB | | | 5.82% | # I/F I/O | | | 07/15/2041 | | | | 28,299 | |
| | 382,124 | | | Series 3923-CZ | | | 5.00% | | | | 09/15/2041 | | | | 428,657 | |
| | | | | | |
| 42 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, | |
| $ | 194,906 | | | Series 2006-101-SA | | | 6.43% | # I/F I/O | | | 10/25/2036 | | | | 33,134 | |
| | 98,450 | | | Series 2006-123-LI | | | 6.17% | # I/F I/O | | | 01/25/2037 | | | | 17,506 | |
| | 681,516 | | | Series 2007-39-AI | | | 5.97% | # I/F I/O | | | 05/25/2037 | | | | 113,137 | |
| | 354,167 | | | Series 2007-57-SX | | | 6.47% | # I/F I/O | | | 10/25/2036 | | | | 56,239 | |
| | 24,172 | | | Series 2009-49-S | | | 6.60% | # I/F I/O | | | 07/25/2039 | | | | 3,732 | |
| | 558,357 | | | Series 2009-86-CI | | | 5.65% | # I/F I/O | | | 09/25/2036 | | | | 64,212 | |
| | 308,425 | | | Series 2009-90-IA | | | 5.60% | # I/F I/O | | | 03/25/2037 | | | | 39,369 | |
| | 280,726 | | | Series 2009-90-IB | | | 5.57% | # I/F I/O | | | 04/25/2037 | | | | 36,174 | |
| | 598,170 | | | Series 2010-39-SL | | | 5.52% | # I/F I/O | | | 05/25/2040 | | | | 74,710 | |
| | 423,740 | | | Series 2011-5-PS | | | 6.25% | # I/F I/O | | | 11/25/2040 | | | | 57,117 | |
| | 330,391 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 335,526 | |
| | 1,040,759 | | | Series 2013-53-ZC | | | 3.00% | | | | 06/25/2043 | | | | 891,276 | |
| | 931,240 | | | Series 2013-55-KS | | | 5.77% | # I/F | | | 06/25/2043 | | | | 780,383 | |
| | 971,947 | | | Series 2013-55-VZ | | | 3.00% | | | | 06/25/2043 | | | | 837,370 | |
| |
| | | | Government National Mortgage Association, | |
| | 59,385 | | | Series 2009-6-SM | | | 5.80% | # I/F I/O | | | 02/20/2038 | | | | 7,930 | |
| | 8,165 | | | Series 2011-12-PO | | | 0.00% | P/O | | | 12/20/2040 | | | | 5,772 | |
| | 585,118 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 618,621 | |
| | 250,000 | | | Series 2011-7-LS | | | 9.57% | # I/F | | | 12/20/2040 | | | | 275,058 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $5,472,804) | | | | 5,490,210 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 17.6% | |
| | 255,000 | | | Aberdeen Japan Equity Fund, Inc. | | | | | | | | | | | 1,813,050 | |
| | 300,000 | | | First Trust ISE-Revere Natural Gas Index Fund | | | | | | | | | | | 5,367,000 | |
| | 45,000 | | | Industrial Select Sector SPDR Fund | | | | | | | | | | | 2,391,750 | |
| | 18,500 | | | iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | | | | | 1,701,075 | |
| | 86,000 | | | SPDR EURO STOXX 50 ETF | | | | | | | | | | | 3,414,200 | |
| | 124,000 | | | WisdomTree Europe Hedged Equity Fund | | | | | | | | | | | 7,164,720 | |
| | 65,000 | | | WisdomTree India Earnings Fund | | | | | | | | | | | 1,424,150 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks (Cost $22,987,340) | | | | 23,275,945 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 34.9% (a) | |
| | 654,370 | | | DoubleLine Core Fixed Income Fund | | | | | | | | | | | 7,158,807 | |
| | 665,276 | | | DoubleLine Emerging Markets Fixed Income Fund | | | | | | | | | | | 7,125,105 | |
| | 186,012 | | | DoubleLine Equities Growth Fund | | | | | | | | | | | 2,408,854 | |
| | 315,911 | | | DoubleLine Floating Rate Fund | | | | | | | | | | | 3,165,428 | |
| | 2,388,645 | | | DoubleLine Total Return Bond Fund | | | | | | | | | | | 26,131,775 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $46,930,569) | | | | 45,989,969 | |
| | | | | | | | | | | | | | | | |
| | PURCHASED OPTIONS 0.6% | |
| | 260 | | | Crude Oil Call, Expiration November 2014, Strike Price $118.00 | | | | | | | | | | | 5,200 | |
| | 220 | | | Crude Oil Call, Expiration November 2014, Strike Price $115.00 | | | | | | | | | | | 6,600 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 10 | | | Gold Call, Expiration December 2014, Strike Price $2,000.00 | | | | | | | | | | | — | |
| | 2,200 | | | iShares MSCI Emerging Markets ETF Call, Expiration December 2014, Strike Price $46.00 | | | | | | | | | | | 25,300 | |
| | 6,000 | | | Market Vectors Gold Miners ETF Call, Expiration December 2014, Strike Price $27.00 | | | | | | | | | | | 90,000 | |
| | 20,000,000 | | | U.S. Dollar / Chinese Renminbi Call, Expiration March 2016, Strike Price $6.23 | | | | | | | | | | | 543,066 | |
| | 20,000,000 | | | U.S. Dollar / Chinese Renminbi Put, Expiration March 2016, Strike Price $6.23 | | | | | | | | | | | 131,139 | |
| | | | | | | | | | | | | | | | |
| | | | Total Purchased Options
(Cost $2,367,031) | | | | 801,305 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 24.0% | |
| | 9,489,083 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 9,489,083 | |
| | 9,489,084 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 9,489,084 | |
| | 10,221,083 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 10,221,083 | |
| | 2,500,000 | | | United States Treasury Bills | | | 0.00% | | | | 11/06/2014 | | | | 2,499,924 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $31,699,174) | | | | 31,699,174 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.8%
(Cost $133,170,634) | | | | | | | | 131,622,498 | |
| | | | Other Assets in Excess of Liabilities 0.2% | | | | 238,992 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | $ | 131,861,490 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
Affiliated Mutual Funds | | | 34.9% | |
Short Term Investments | | | 24.0% | |
Exchange Traded Funds and Common Stocks | | | 17.6% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 8.9% | |
Collateralized Loan Obligations | | | 5.3% | |
US Government / Agency Mortgage Backed Obligations | | | 4.2% | |
Foreign Corporate Bonds | | | 2.6% | |
Municipal Bonds | | | 1.7% | |
Purchased Options | | | 0.6% | |
Other Assets and Liabilities | | | 0.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 43 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund (Cont.) | | (Unaudited) September 30, 2014 |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ^ | 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, 2014, the value of these securities amounted to $10,587,692 or 8.0% of net assets. |
| @ | 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, 2014. |
| 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 |
| ¨ | Seven-day yield as of September 30, 2014 |
| | | | | | | | | | | | |
| Futures Contracts - Long | |
| Contracts | | Security Description | | | | Expiration
Month | | | Unrealized
Appreciation
(Depreciation) | |
57 | | Hard Red Winter Wheat Future | | | | | 12/2014 | | | $ | (269,854 | ) |
65 | | Wheat Future | | | | | 12/2014 | | | | (314,655 | ) |
100 | | mini MSCI EAFE Index Future | | | | | 12/2014 | | | | (267,725 | ) |
50 | | mini MSCI Emerging Markets Index Future | | | | | 12/2014 | | | | (154,112 | ) |
230 | | Nikkei-225 Stock Average Future | | | | | 12/2014 | | | | 522,399 | |
170 | | E-mini S&P 500 Future | | | | | 12/2014 | | | | (223,533 | ) |
47 | | U.S. Treasury Bond Future | | | | | 12/2014 | | | | (25,532 | ) |
25 | | Ultra Long Term U.S. Treasury Bond Future | | | | | 12/2014 | | | | (2,395 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | $ | (735,407 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Futures Contracts - Short | |
| Contracts | | Security Description | | | | Expiration
Month | | | Unrealized
Appreciation
(Depreciation) | |
120 | | 5-Year U.S. Treasury Note Future | | | | | 12/2014 | | | $ | 3,514 | |
100 | | 10-Year U.S. Treasury Note Future | | | | | 12/2014 | | | | 21,675 | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 25,189 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Total Return Swaps - Long | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Cocoa Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | $ | (9,254 | ) |
S&P GSCI Crude Oil Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (6,189 | ) |
S&P GSCI Cotton Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (305 | ) |
S&P GSCI Gold Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (5,268 | ) |
S&P GSCI Unleaded Gasoline Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (25,223 | ) |
S&P GSCI Copper Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (2,049 | ) |
Markit iBoxx USD Liquid Leveraged Loans Total Return Index | | Morgan Stanley | | | 10,000,000 | | | | 12/20/2014 | | | | (111,402 | ) |
NYSE Arca Natural Gas Index | | Goldman Sachs | | | 6,600,000 | | | | 12/26/2014 | | | | (23,989 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (183,679 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Total Return Swaps - Short | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Brent Crude Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | $ | 14,788 | |
S&P GSCI Corn Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | 10,065 | |
S&P GSCI Coffee Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (37,884 | ) |
S&P GSCI Natural Gas Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (16,660 | ) |
S&P GSCI Sugar Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (14,381 | ) |
S&P GSCI Wheat Official Close Index | | Morgan Stanley | | | 625,000 | | | | 10/02/2014 | | | | (4,945 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (49,017 | ) |
| | | | | | | | | | | | | | |
| | | | | | |
| 44 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
Forward Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
| Settlement Date | | Currency to be Delivered | | U.S. Value | | | Currency to be Received | | U.S. Value | | | Counterparty | | Unrealized
Appreciation
(Depreciation) | |
12/08/2014 | | 11,667,665 Euros | | $ | 14,744,132 | | | 15,000,000 U.S. Dollars | | $ | 15,000,000 | | | Morgan Stanley | | $ | 255,868 | |
12/19/2014 | | 1,633,761,025 Japanese Yen | | | 14,908,757 | | | 15,000,000 U.S. Dollars | | | 15,000,000 | | | Morgan Stanley | | | 91,243 | |
| | | | | | | | | | | | | | | | | | |
| | | | $ | 29,652,889 | | | | | $ | 30,000,000 | | | | | $ | 347,111 | |
| | | | | | | | | | | | | | | | | | |
Investments in Affiliates
Generally, an issuer is an affiliate 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) investments in affiliated mutual funds for the period ended September 30, 2014 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2014 | | | Gross
Purchases | | | Gross
Sales | | | Shares Held at
September 30,
2014 | | | Value at
September 30,
2014 | | | Dividend
Income Earned
in the Period
Ended September 30,
2014 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2014 | |
DoubleLine Core Fixed Income Fund | | $ | 7,119,545 | | | $ | — | | | $ | — | | | | 654,370 | | | $ | 7,158,807 | | | $ | 153,541 | | | $ | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | — | | | | 7,100,000 | | | | — | | | | 665,276 | | | | 7,125,105 | | | | 163,775 | | | | — | |
DoubleLine Equities Growth Fund | | | — | | | | 2,500,000 | | | | — | | | | 186,012 | | | | 2,408,854 | | | | — | | | | — | |
DoubleLine Floating Rate Fund | | | 3,807,681 | | | | — | | | | 600,000 | | | | 315,911 | | | | 3,165,428 | | | | 51,466 | | | | (592 | ) |
DoubleLine Total Return Bond Fund | | | 26,036,229 | | | | — | | | | — | | | | 2,388,645 | | | | 26,131,775 | | | | 632,132 | | | | — | |
| | | | | | | | |
| | $ | 36,963,455 | | | $ | 9,600,000 | | | $ | 600,000 | | | | 4,210,214 | | | $ | 45,989,969 | | | $ | 1,000,914 | | | $ | (592 | ) |
| | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 45 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 1.3% | | | | | |
| |
| | | | Access Group, Inc., | |
| $ | 15,825,811 | | | Series 2007-A-B | | | 0.78% | # | | | 02/25/2037 | | | | 14,466,896 | |
| |
| | | | SoFi Professional Loan Program, | |
| | 11,214,978 | | | Series 2013-A-A | | | 3.75% | ^ | | | 12/25/2029 | | | | 11,437,035 | |
| | 3,140,206 | | | Series 2014-A-A2 | | | 3.02% | ^ | | | 10/25/2027 | | | | 3,145,299 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $28,827,341) | | | | 29,049,230 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 9.5% | | | | | |
| | | | |
| | | | Activision Blizzard, Inc., | | | | | | | | | | | | |
| | 8,085,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 10/13/2020 | | | | 8,074,409 | |
| |
| | | | Calpine Construction, | |
| | 8,071,089 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B1 | | | 3.00% | # | | | 05/04/2020 | | | | 7,824,921 | |
| |
| | | | CBS Outdoor Americas Capital LLC, | |
| | 8,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 02/01/2021 | | | | 7,895,840 | |
| |
| | | | Cedar Fair LP, | |
| | 8,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 03/06/2020 | | | | 7,952,520 | |
| |
| | | | CIH International S.A.R.L., | |
| | 7,929,774 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 1.90% | # | | | 06/05/2020 | | | | 7,938,021 | |
| |
| | | | DaVita HealthCare Partners, Inc. | |
| | 7,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/24/2021 | | | | 7,903,711 | |
| |
| | | | Delta Air Lines, Inc., | |
| | 7,931,932 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.25% | # | | | 10/18/2018 | | | | 7,760,404 | |
| |
| | | | Goodyear Tire & Rubber Company, | |
| | 8,000,000 | | | Guaranteed Senior Secured 2nd Lien Term Loan | | | 4.75% | # | | | 04/30/2019 | | | | 7,998,760 | |
| |
| | | | H.J. Heinz Company, | |
| | 7,919,825 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 06/05/2020 | | | | 7,833,696 | |
| |
| | | | HCA, Inc., | |
| | 7,934,962 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 2.98% | # | | | 05/01/2018 | | | | 7,852,320 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 7,955,166 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 7,842,441 | |
| |
| | | | Huntsman International LLC, | |
| | 7,939,189 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.70% | # | | | 04/19/2017 | | | | 7,795,291 | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 5,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 4,929,375 | |
| |
| | | | Jazz Pharmaceuticals, Inc., | |
| | 7,949,975 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 06/12/2018 | | | | 7,902,792 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | KAR Auction Services, Inc., | |
| $ | 7,943,108 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 03/11/2021 | | | | 7,847,115 | |
| |
| | | | Las Vegas Sands LLC, | |
| | 4,944,975 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 12/18/2020 | | | | 4,919,780 | |
| |
| | | | MEG Energy Corporation, | |
| | 7,923,855 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/31/2020 | | | | 7,892,714 | |
| |
| | | | Nielsen Finance LLC, | |
| | 1,995,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.15% | # | | | 04/15/2021 | | | | 1,997,264 | |
| |
| | | | NRG Energy, Inc., | |
| | 7,924,585 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.75% | # | | | 07/02/2018 | | | | 7,786,341 | |
| |
| | | | Pinnacle Foods Finance LLC, | |
| | 7,957,549 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.25% | # | | | 04/29/2020 | | | | 7,808,345 | |
| |
| | | | Regal Cinemas Corporation, | |
| | 7,922,997 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 2.65% | # | | | 08/23/2017 | | | | 7,804,667 | |
| |
| | | | Ruby Western Pipeline Holdings LLC, | |
| | 7,413,443 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 03/27/2020 | | | | 7,360,919 | |
| |
| | | | SBA Senior Finance LLC, | |
| | 7,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 03/24/2021 | | | | 7,828,699 | |
| |
| | | | Southwire Company, | |
| | 7,964,987 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 02/10/2021 | | | | 7,872,395 | |
| |
| | | | Terex Corporation, | |
| | 5,942,718 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 08/13/2021 | | | | 5,938,261 | |
| |
| | | | Vantiv LLC, | |
| | 7,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 06/13/2021 | | | | 7,938,384 | |
| |
| | | | Virgin Media Investment Holdings Ltd., | |
| | 8,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/08/2020 | | | | 7,802,720 | |
| |
| | | | WMG Acquisition Corporation, | |
| | 5,940,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 07/01/2020 | | | | 5,745,109 | |
| |
| | | | WR Grace & Company, | |
| | 2,105,263 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan | | | 1.00% | #& | | | 02/03/2021 | | | | 2,092,632 | |
| |
| | | | WR Grace & Company, | |
| | 5,865,263 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 02/03/2021 | | | | 5,830,072 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $214,595,426) | | | | 211,969,918 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 46 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 20.7% | | | | | |
| |
| | | | ACA Ltd., | |
| $ | 141,081 | | | Series 2006-1A-A1 | | | 0.48% | #^ | | | 07/25/2018 | | | | 141,093 | |
| | 500,000 | | | Series 2006-1A-A2 | | | 0.62% | #^ | | | 07/25/2018 | | | | 496,268 | |
| |
| | | | ACAS Ltd., | |
| | 1,698,723 | | | Series 2007-1X-A1S | | | 0.44% | # | | | 04/20/2021 | | | | 1,685,908 | |
| | 4,500,000 | | | Series 2014-1A-A | | | 1.76% | #^ | | | 07/18/2026 | | | | 4,489,350 | |
| |
| | | | Apidos Ltd., | |
| | 3,749,559 | | | Series 2006-3A-A1 | | | 0.49% | #^ | | | 06/12/2020 | | | | 3,739,623 | |
| | 5,000,000 | | | Series 2013-16A-A1 | | | 1.68% | #^ | | | 01/19/2025 | | | | 4,998,495 | |
| | 2,250,000 | | | Series 2014-17A-X | | | 1.21% | #^ | | | 04/17/2026 | | | | 2,250,266 | |
| |
| | | | ARES Ltd., | |
| | 2,346,709 | | | Series 2007-3RA-A2 | | | 0.45% | #^ | | | 04/16/2021 | | | | 2,324,151 | |
| |
| | | | Atrium Corporation, | |
| | 815,712 | | | Series 5A-A2A | | | 0.45% | #^ | | | 07/20/2020 | | | | 813,837 | |
| |
| | | | Avenue Ltd., | |
| | 601,527 | | | Series 2005-2A-A2L | | | 0.66% | #^ | | | 10/30/2017 | | | | 601,663 | |
| | 1,950,000 | | | Series 2005-2A-B1L | | | 2.04% | #^ | | | 10/30/2017 | | | | 1,950,236 | |
| | 305,495 | | | Series 2007-6A-A1 | | | 0.46% | #^ | | | 07/17/2019 | | | | 303,586 | |
| |
| | | | Avery Point Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A | | | 1.75% | #^ | | | 04/25/2026 | | | | 3,001,689 | |
| | 1,000,000 | | | Series 2014-1A-B1 | | | 2.33% | #^ | | | 04/25/2026 | | | | 988,189 | |
| | 24,062 | | | Series 2014-1A-X | | | 1.23% | #^ | | | 04/25/2026 | | | | 24,062 | |
| |
| | | | Babson Ltd., | |
| | 4,500,000 | | | Series 2005-2A-A2 | | | 0.63% | #^ | | | 07/20/2019 | | | | 4,502,794 | |
| | 11,881,305 | | | Series 2007-1X-A2A | | | 0.45% | # | | | 01/18/2021 | | | | 11,789,346 | |
| |
| | | | Birchwood Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.38% | #^ | | | 07/15/2026 | | | | 1,003,760 | |
| |
| | | | Black Diamond Ltd., | |
| | 13,613,314 | | | Series 2005-1A-A1 | | | 0.50% | #^ | | | 06/20/2017 | | | | 13,592,988 | |
| |
| | | | BlackRock Senior Income, | |
| | 7,615,195 | | | Series 2006-4A-A | | | 0.47% | #^ | | | 04/20/2019 | | | | 7,543,715 | |
| | 5,494,904 | | | Series 2007-5A-A3 | | | 0.46% | #^ | | | 08/13/2019 | | | | 5,402,813 | |
| |
| | | | BlueMountain Ltd., | |
| | 4,500,000 | | | Series 2005-1A-A2 | | | 0.60% | #^ | | | 11/15/2017 | | | | 4,492,775 | |
| |
| | | | BMI Trust, | |
| | 3,079,867 | | | Series 2013-1AR-A1R | | | 1.17% | #^ | | | 08/01/2021 | | | | 3,061,967 | |
| |
| | | | Bridgeport Ltd., | |
| | 922,213 | | | Series 2006-1A-A1 | | | 0.48% | #^ | | | 07/21/2020 | | | | 917,275 | |
| |
| | | | Brookside Mill Ltd., | |
| | 205,000 | | | Series 2013-1A-X | | | 1.13% | #^ | | | 04/17/2025 | | | | 205,039 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 2,250,000 | | | Series 2013-2A-D | | | 3.98% | #^ | | | 04/18/2025 | | | | 2,177,247 | |
| | 530,000 | | | Series 2013-4A-A1 | | | 1.70% | #^ | | | 10/15/2025 | | | | 530,077 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 2,018,197 | | | Series 2006-8A-A1 | | | 0.48% | #^ | | | 05/21/2021 | | | | 1,993,754 | |
| | 13,995,417 | | | Series 2006-8A-A2A | | | 0.47% | #^ | | | 05/21/2021 | | | | 13,914,816 | |
| |
| | | | Catamaran Ltd., | |
| | 5,000,000 | | | Series 2012-1A-A | | | 1.64% | #^ | | | 12/20/2023 | | | | 5,000,568 | |
| | 5,000,000 | | | Series 2014-1A-A1 | | | 1.78% | #^ | | | 04/20/2026 | | | | 5,003,077 | |
| | 1,250,000 | | | Series 2014-1A-A2 | | | 2.03% | #^ | | | 04/20/2026 | | | | 1,203,968 | |
| | 1,250,000 | | | Series 2014-1A-B | | | 2.85% | #^ | | | 04/20/2026 | | | | 1,208,681 | |
| |
| | | | Cent Ltd., | |
| | 3,018,371 | | | Series 2005-10A-A1 | | | 0.48% | #^ | | | 12/15/2017 | | | | 2,997,335 | |
| | 1,982,549 | | | Series 2006-11A-A1 | | | 0.49% | #^ | | | 04/25/2019 | | | | 1,959,261 | |
| | 991,960 | | | Series 2007-14A-A1 | | | 0.47% | #^ | | | 04/15/2021 | | | | 969,907 | |
| | 991,066 | | | Series 2007-14A-A2A | | | 0.46% | #^ | | | 04/15/2021 | | | | 973,951 | |
| | 500,000 | | | Series 2013-18A-A | | | 1.35% | #^ | | | 07/23/2025 | | | | 493,996 | |
| |
| | | | Chatham Light Ltd., | |
| | 460,994 | | | Series 2005-2A-A1 | | | 0.49% | #^ | | | 08/03/2019 | | | | 460,716 | |
| | 3,300,000 | | | Series 2005-2A-A2 | | | 0.64% | #^ | | | 08/03/2019 | | | | 3,286,288 | |
| |
| | | | Columbus Nova, Ltd., | |
| | 3,250,000 | | | Series 2006-1A-D | | | 1.78% | #^ | | | 07/18/2018 | | | | 3,144,354 | |
| | 7,220,485 | | | Series 2007-1A-A1 | | | 0.48% | #^ | | | 05/16/2019 | | | | 7,187,613 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Covenant Credit Partners Ltd., | |
| $ | 5,000,000 | | | Series 2014-1A-A | | | 1.71% | #^ | | | 07/20/2026 | | | | 4,983,559 | |
| | 3,500,000 | | | Series 2014-1A-X | | | 1.23% | #^ | | | 07/20/2017 | | | | 3,503,177 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 500,000 | | | Series 2012-25A-D | | | 4.23% | #^ | | | 01/15/2025 | | | | 499,724 | |
| |
| | | | Eaton Vance Ltd., | |
| | 1,706,009 | | | Series 2007-9A-A2 | | | 0.46% | #^ | | | 04/20/2019 | | | | 1,699,869 | |
| |
| | | | Flatiron Ltd., | |
| | 1,000,000 | | | Series 2013-1A-A1 | | | 1.63% | #^ | | | 01/17/2026 | | | | 998,582 | |
| |
| | | | Four Corners Ltd., | |
| | 2,025,903 | | | Series 2006-3A-A | | | 0.48% | #^ | | | 07/22/2020 | | | | 2,015,237 | |
| |
| | | | Franklin Ltd., | |
| | 174,235 | | | Series 2006-5A-A2 | | | 0.49% | #^ | | | 06/15/2018 | | | | 173,301 | |
| |
| | | | Galaxy Ltd., | |
| | 7,495,215 | | | Series 2006-7A-B | | | 0.62% | #^ | | | 10/13/2018 | | | | 7,482,344 | |
| | 5,000,000 | | | Series 2012-12X-A | | | 1.63% | # | | | 05/19/2023 | | | | 4,993,000 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 2,000,000 | | | Series 2012-6A-D | | | 4.43% | #^ | | | 04/17/2022 | | | | 2,002,465 | |
| | 5,000,000 | | | Series 2014-8A-A | | | 1.68% | #^ | | | 04/19/2026 | | | | 4,994,508 | |
| |
| | | | Gulf Stream-Sextant Ltd., | |
| | 150,647 | | | Series 2006-1A-A2 | | | 0.48% | #^ | | | 08/21/2020 | | | | 150,574 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 9,000,000 | | | Series 2012-1X-A2 | | | 2.73% | # | | | 08/15/2023 | | | | 8,988,218 | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 1.81% | #^ | | | 04/18/2026 | | | | 1,001,547 | |
| | 2,000,000 | | | Series 2014-1A-X | | | 1.28% | #^ | | | 04/18/2026 | | | | 1,999,859 | |
| | 2,250,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 2,102,601 | |
| |
| | | | ICG Ltd., | |
| | 3,000,000 | | | Series 2014-2A-X | | | 1.29% | #^ | | | 10/15/2026 | | | | 3,003,120 | |
| |
| | | | ING Ltd., | |
| | 2,500,000 | | | Series 2006-3A-A2B | | | 0.57% | #^ | | | 12/13/2020 | | | | 2,469,065 | |
| | 5,000,000 | | | Series 2012-1RA-A1R | | | 1.43% | #^ | | | 03/14/2022 | | | | 4,999,459 | |
| | 1,000,000 | | | Series 2012-1RA-A2R | | | 2.08% | #^ | | | 03/14/2022 | | | | 999,764 | |
| | 700,000 | | | Series 2012-4A-A1 | | | 1.62% | #^ | | | 10/15/2023 | | | | 699,221 | |
| | 3,000,000 | | | Series 2012-4A-A2 | | | 2.48% | #^ | | | 10/15/2023 | | | | 2,992,201 | |
| |
| | | | Jamestown Ltd., | |
| | 4,000,000 | | | Series 2014-4A-A1A | | | 1.73% | #^ | | | 07/15/2026 | | | | 3,997,223 | |
| |
| | | | KKR Financial Corporation, | |
| | 25,715 | | | Series 2005-1A-A1 | | | 0.51% | #^ | | | 04/26/2017 | | | | 25,729 | |
| | 5,986,338 | | | Series 2006-1A-A1 | | | 0.51% | #^ | | | 08/25/2018 | | | | 5,980,792 | |
| | 3,256,329 | | | Series 2007-1A-A | | | 0.58% | #^ | | | 05/15/2021 | | | | 3,245,396 | |
| | 5,000,000 | | | Series 2013-1A-A1 | | | 1.38% | #^ | | | 07/15/2025 | | | | 4,938,096 | |
| |
| | | | Landmark Ltd., | |
| | 2,500,000 | | | Series 2005-6X-E | | | 4.98% | # | | | 01/14/2018 | | | | 2,499,395 | |
| | 70,135 | | | Series 2006-7A-A1L | | | 0.51% | #^ | | | 07/15/2018 | | | | 70,177 | |
| | 6,519,378 | | | Series 2006-8A-A1 | | | 0.47% | #^ | | | 10/19/2020 | | | | 6,494,778 | |
| |
| | | | LCM LP, | |
| | 5,000,000 | | | Series 10AR-AR | | | 1.49% | #^ | | | 04/15/2022 | | | | 5,002,406 | |
| | 500,000 | | | Series 10AR-BR | | | 2.13% | #^ | | | 04/15/2022 | | | | 500,062 | |
| | 500,000 | | | Series 10AR-CR | | | 3.08% | #^ | | | 04/15/2022 | | | | 500,267 | |
| | 1,000,000 | | | Series 11A-B | | | 2.38% | #^ | | | 04/19/2022 | | | | 1,000,733 | |
| | 3,500,000 | | | Series 12A-A | | | 1.70% | #^ | | | 10/19/2022 | | | | 3,500,874 | |
| | 1,750,000 | | | Series 15A-A | | | 1.73% | #^ | | | 08/25/2024 | | | | 1,746,143 | |
| | 1,000,000 | | | Series 15A-C | | | 3.33% | #^ | | | 08/25/2024 | | | | 1,000,149 | |
| | 5,000,000 | | | Series 16A-A | | | 1.76% | #^ | | | 07/15/2026 | | | | 5,012,365 | |
| | 10,280,130 | | | Series 5A-A1 | | | 0.46% | #^ | | | 03/21/2019 | | | | 10,262,920 | |
| | 3,000,000 | | | Series 5A-C | | | 0.90% | #^ | | | 03/21/2019 | | | | 2,898,350 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 2,550,000 | | | Series 2014-13A-X | | | 1.23% | #^ | | | 01/19/2025 | | | | 2,550,569 | |
| | 2,500,000 | | | Series 2014-14A-X | | | 1.23% | #^ | | | 07/20/2017 | | | | 2,500,247 | |
| |
| | | | Magnetite Ltd., | |
| | 1,750,000 | | | Series 2014-9A-A1 | | | 1.70% | #^ | | | 07/25/2026 | | | | 1,749,521 | |
| |
| | | | Mayport Ltd., | |
| | 5,320,000 | | | Series 2006-1A-A2L | | | 0.59% | #^ | | | 02/22/2020 | | | | 5,293,696 | |
| |
| | | | Mountain Capital Ltd., | |
| | 1,058,643 | | | Series 2007-6A-A | | | 0.47% | #^ | | | 04/25/2019 | | | | 1,050,243 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 47 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Mountain Hawk Ltd., | |
| $ | 5,000,000 | | | Series 2014-A3-A | | | 1.73% | #^ | | | 04/18/2025 | | | | 4,994,282 | |
| |
| | | | Mountain View Ltd., | |
| | 16,968,285 | | | Series 2006-2A-A1 | | | 0.48% | #^ | | | 01/12/2021 | | | | 16,825,446 | |
| |
| | | | Nautique Funding Ltd., | |
| | 3,162,633 | | | Series 2006-1A-A1A | | | 0.48% | #^ | | | 04/15/2020 | | | | 3,144,702 | |
| |
| | | | NewMark Capital Funding Ltd., | |
| | 9,750,000 | | | Series 2013-1A-A2 | | | 1.35% | #^ | | | 06/02/2025 | | | | 9,581,656 | |
| | 10,000,000 | | | Series 2013-A1-A1 | | | 1.17% | #^ | | | 06/02/2025 | | | | 9,750,000 | |
| |
| | | | NOB Hill Ltd., | |
| | 69,658 | | | Series 2006-1X-A1 | | | 0.48% | # | | | 08/15/2018 | | | | 69,631 | |
| |
| | | | Northwoods Capital Corporation, | |
| | 2,000,000 | | | Series 2013-10-A1 | | | 1.64% | #^ | | | 11/04/2025 | | | | 1,988,024 | |
| |
| | | | Oak Hill Credit Partners, | |
| | 1,000,000 | | | Series 2012-7A-A | | | 1.65% | #^ | | | 11/20/2023 | | | | 998,676 | |
| |
| | | | Ocean Trails, | |
| | 167,677 | | | Series 2006-1X-A1 | | | 0.48% | # | | | 10/12/2020 | | | | 167,074 | |
| | 9,750,000 | | | Series 2013-4A-A | | | 1.53% | #^ | | | 08/13/2025 | | | | 9,705,599 | |
| |
| | | | OZLM Ltd., | |
| | 5,500,000 | | | Series 2014-6A-A1 | | | 1.73% | #^ | | | 04/17/2026 | | | | 5,500,391 | |
| |
| | | | Pacific Bay Ltd., | |
| | 13,515,995 | | | Series 2003-1A-A2 | | | 1.57% | #^ | | | 11/04/2038 | | | | 12,725,310 | |
| |
| | | | Pacifica Corporation, | |
| | 5,057,770 | | | Series 2006-6A-A1A | | | 0.47% | #^ | | | 08/15/2021 | | | | 5,011,092 | |
| |
| | | | Prospect Park Ltd., | |
| | 4,189,381 | | | Series 2006-1 | | | 0.48% | #^ | | | 07/15/2020 | | | | 4,152,419 | |
| |
| | | | Race Point Ltd., | |
| | 3,902,115 | | | Series 2006-3-A | | | 0.49% | #^ | | | 04/15/2020 | | | | 3,893,580 | |
| | 1,655,769 | | | Series 2007-4A-A1A | | | 0.44% | #^ | | | 08/01/2021 | | | | 1,642,871 | |
| |
| | | | Sands Point Funding Ltd., | |
| | 5,265,551 | | | Series 2006-1A-A1 | | | 0.49% | #^ | | | 07/18/2020 | | | | 5,259,412 | |
| |
| | | | Shackleton Ltd., | |
| | 2,750,000 | | | Series 2014-5A-X | | | 1.24% | #^ | | | 05/07/2026 | | | | 2,751,106 | |
| |
| | | | Silverado Ltd., | |
| | 6,874,485 | | | Series 2006-II | | | 0.47% | #^ | | | 10/16/2020 | | | | 6,785,511 | |
| |
| | | | Slater Mill Loan Fund, | |
| | 3,800,000 | | | Series 2012-1A-B | | | 2.88% | #^ | | | 08/17/2022 | | | | 3,807,483 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 10/30/2026 | | | | 2,982,000 | |
| |
| | | | Steele Creek Ltd., | |
| | 2,000,000 | | | Series 2014-1A-A1 | | | 1.83% | #^ | | | 08/21/2026 | | | | 1,999,944 | |
| |
| | | | Venture Ltd., | |
| | 500,000 | | | Series 2005-1A-A2 | | | 0.68% | #^ | | | 11/22/2018 | | | | 496,205 | |
| | 9,250,000 | | | Series 2014-16A-A1L | | | 1.87% | #^ | | | 04/15/2026 | | | | 9,253,070 | |
| | 2,250,000 | | | Series 2014-17A-A | | | 1.76% | #^ | | | 07/15/2026 | | | | 2,245,802 | |
| | 1,000,000 | | | Series 2014-17A-B2 | | | 2.38% | #^ | | | 07/15/2026 | | | | 980,741 | |
| |
| | | | Vitesse Ltd., | |
| | 817,960 | | | Series 2006-1A-A1L | | | 0.48% | #^ | | | 08/17/2020 | | | | 816,169 | |
| |
| | | | Wasatch Ltd., | |
| | 13,713,838 | | | Series 2006-1A-A1B | | | 0.47% | #^ | | | 11/14/2022 | | | | 13,366,971 | |
| |
| | | | Washington Mill Ltd., | |
| | 5,000,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 04/20/2026 | | | | 4,994,246 | |
| | 1,000,000 | | | Series 2014-1A-B1 | | | 2.28% | #^ | | | 04/20/2026 | | | | 977,696 | |
| | 1,000,000 | | | Series 2014-1A-C | | | 3.23% | #^ | | | 04/20/2026 | | | | 996,309 | |
| | 3,500,000 | | | Series 2014-1A-X | | | 1.23% | #^ | | | 04/20/2026 | | | | 3,499,989 | |
| |
| | | | Westwood Ltd., | |
| | 8,366,025 | | | Series 2006-1X-A1 | | | 0.47% | # | | | 03/25/2021 | | | | 8,278,799 | |
| | 5,292,596 | | | Series 2007-2A-A1 | | | 0.45% | #^ | | | 04/25/2022 | | | | 5,244,340 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,500,000 | | | Series 2012-1A-B1L | | | 4.49% | #^ | | | 02/03/2025 | | | | 2,458,305 | |
| | 5,000,000 | | | Series 2013-1A-A1L | | | 1.63% | #^ | | | 11/24/2025 | | | | 4,986,610 | |
| | 3,250,000 | | | Series 2014-1A-A | | | 1.74% | #^ | | | 05/01/2026 | | | | 3,242,547 | |
| | 3,500,000 | | | Series 2014-1A-X | | | 1.24% | #^ | | | 05/01/2026 | | | | 3,499,704 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wind River Ltd., | |
| $ | 10,000,000 | | | Series 2013-2A-A1 | | | 1.68% | #^ | | | 01/18/2026 | | | | 9,998,374 | |
| |
| | | | Zais Ltd., | |
| | 4,500,000 | | | Series 2014-2A-A1A | | | 1.73% | #^ | | | 07/25/2026 | | | | 4,476,600 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $460,095,224) | | | | 460,946,709 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 18.7% | | | | | |
| | 1,450,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 1,509,812 | |
| | 2,690,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 2,800,963 | |
| | 5,865,000 | | | Andrade Gutierrez International S.A. | | | 4.00% | | | | 04/30/2018 | | | | 5,806,350 | |
| | 300,000 | | | Andrade Gutierrez International S.A. | | | 4.00% | ^ | | | 04/30/2018 | | | | 297,000 | |
| | 3,611,000 | | | Australia and New Zealand Banking Group Ltd. | | | 3.25% | ^ | | | 03/01/2016 | | | | 3,741,426 | |
| | 8,500,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 8,521,250 | |
| | 1,500,000 | | | Banco Davivienda S.A. | | | 2.95% | ^ | | | 01/29/2018 | | | | 1,503,750 | |
| | 200,000 | | | Banco de Bogota S.A. | | | 5.00% | ^ | | | 01/15/2017 | | | | 210,500 | |
| | 9,000,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 9,472,500 | |
| | 3,253,000 | | | Banco de Chile | | | 6.25% | | | | 06/15/2016 | | | | 3,508,712 | |
| | 5,600,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 5,726,000 | |
| | 4,500,000 | | | Banco de Credito del Peru | | | 2.75% | ^ | | | 01/09/2018 | | | | 4,511,250 | |
| | 2,500,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 2,506,250 | |
| | 9,000,000 | | | Banco de Credito e Inversiones | | | 3.00% | | | | 09/13/2017 | | | | 9,261,000 | |
| | 7,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 6,895,000 | |
| | 2,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | ^ | | | 05/02/2018 | | | | 1,970,000 | |
| | 7,500,000 | | | Banco International del Peru S.A.A. | | | 5.75% | | | | 10/07/2020 | | | | 8,118,750 | |
| | 300,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | ^ | | | 04/04/2017 | | | | 312,000 | |
| | 5,500,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 5,720,000 | |
| | 3,180,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 3,382,725 | |
| | 7,000,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 7,070,000 | |
| | 1,000,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 1,100,000 | |
| | 8,000,000 | | | Banco Santander | | | 1.83% | # | | | 01/19/2016 | | | | 8,100,000 | |
| | 2,150,000 | | | Banco Santander | | | 2.11% | # | | | 06/07/2018 | | | | 2,190,312 | |
| | 8,800,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 9,306,000 | |
| | 1,146,000 | | | Bancolombia S.A. | | | 6.88% | | | | 05/25/2017 | | | | 1,266,330 | |
| | 3,500,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 3,780,000 | |
| | 3,825,000 | | | Bank Of Montreal | | | 1.30% | | | | 07/15/2016 | | | | 3,857,490 | |
| | 3,675,000 | | | Bank Of Nova Scotia | | | 2.55% | | | | 01/12/2017 | | | | 3,790,274 | |
| | 10,000,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 10,185,000 | |
| | 1,000,000 | | | BBVA Bancomer S.A. | | | 4.50% | | | | 03/10/2016 | | | | 1,047,500 | |
| | 10,000,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 10,450,000 | |
| | 3,736,000 | | | BP Capital Markets PLC | | | 1.85% | | | | 05/05/2017 | | | | 3,778,318 | |
| | 3,225,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 3,642,718 | |
| | 1,270,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.63% | | | | 04/20/2015 | | | | 1,302,609 | |
| | 1,000,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 1,075,500 | |
| | 3,500,000 | | | Cemex S.A.B. de C.V. | | | 4.98% | # | | | 10/15/2018 | | | | 3,718,750 | |
| | 5,400,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 5,859,000 | |
| | 400,000 | | | CFR International S.A. | | | 5.13% | | | | 12/06/2022 | | | | 431,416 | |
| | | | | | |
| 48 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,000,000 | | | CNPC General Capital Ltd. | | | 1.13% | #^ | | | 05/14/2017 | | | | 4,011,780 | |
| | 500,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 528,900 | |
| | 9,000,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 9,039,465 | |
| | 4,500,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 4,500,000 | |
| | 1,200,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 1,200,000 | |
| | 1,500,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 1,560,000 | |
| | 9,700,000 | | | DBS Bank Ltd. | | | 0.84% | # | | | 07/15/2021 | | | | 9,564,200 | |
| | 7,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 7,082,796 | |
| | 2,085,000 | | | Diageo Capital PLC | | | 1.50% | | | | 05/11/2017 | | | | 2,096,774 | |
| | 1,800,000 | | | Ecopetrol S.A. | | | 4.25% | | | | 09/18/2018 | | | | 1,912,500 | |
| | 3,170,000 | | | Embraer Overseas Ltd. | | | 6.38% | | | | 01/24/2017 | | | | 3,493,340 | |
| | 2,500,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 2,981,750 | |
| | 10,043,992 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 10,394,829 | |
| | 2,500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 2,512,500 | |
| | 6,500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | ^ | | | 04/02/2019 | | | | 6,532,500 | |
| | 1,600,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 1,605,382 | |
| | 8,500,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 8,776,250 | |
| | 3,100,000 | | | Globo Communicacao e Participacoes S.A. | | | 6.25% | #† | | | 07/20/2015 | | | | 3,227,875 | |
| | 12,550,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 13,372,025 | |
| | 8,800,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 9,328,000 | |
| | 200,000 | | | Grupo Aval Ltd. | | | 5.25% | ^ | | | 02/01/2017 | | | | 212,000 | |
| | 2,200,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 2,387,000 | |
| | 5,500,000 | | | Grupo Televisa S.A.B | | | 6.00% | | | | 05/15/2018 | | | | 6,235,625 | |
| | 1,600,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 1,736,000 | |
| | 450,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 479,813 | |
| | 824,077 | | | Interoceanica IV Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 772,572 | |
| | 8,000,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 8,447,528 | |
| | 1,005,000 | | | IOI Ventures BHD | | | 5.25% | | | | 03/16/2015 | | | | 1,021,960 | |
| | 275,000 | | | Korea Development Bank | | | 4.38% | | | | 08/10/2015 | | | | 283,633 | |
| | 2,900,000 | | | Korea Development Bank | | | 3.25% | | | | 03/09/2016 | | | | 2,989,917 | |
| | 8,000,000 | | | LPG International, Inc. | | | 7.25% | | | | 12/20/2015 | | | | 8,520,000 | |
| | 2,800,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 2,731,400 | |
| | 2,200,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 2,293,500 | |
| | 1,000,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 1,022,500 | |
| | 1,375,000 | | | National Australia Bank Ltd. | | | 1.60% | | | | 08/07/2015 | | | | 1,389,334 | |
| | 1,900,000 | | | National Australia Bank Ltd. | | | 3.00% | ^ | | | 07/27/2016 | | | | 1,971,816 | |
| | 2,000,000 | | | Noble Group Ltd. | | | 3.63% | | | | 03/20/2018 | | | | 2,055,400 | |
| | 3,575,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 3,684,241 | |
| | 3,700,000 | | | Oversea-Chinese Banking Corporation | | | 4.25% | # | | | 11/18/2019 | | | | 3,714,101 | |
| | 5,000,000 | | | Oversea-Chinese Banking Corporation | | | 3.75% | # | | | 11/15/2022 | | | | 5,175,500 | |
| | 7,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 7,122,500 | |
| | 1,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | ^ | | | 01/26/2019 | | | | 1,017,500 | |
| | 3,211,000 | | | PCCW-HKT Capital No 4 Ltd. | | | 4.25% | | | | 02/24/2016 | | | | 3,335,747 | |
| | 215,169 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | ^ | | | 05/31/2018 | | | | 202,881 | |
| | 6,795,482 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 6,407,392 | |
| | 6,500,000 | | | Petrobras Global Finance B.V. | | | 1.85% | # | | | 05/20/2016 | | | | 6,509,750 | |
| | 1,500,000 | | | Petrobras Global Finance B.V. | | | 2.00% | | | | 05/20/2016 | | | | 1,503,675 | |
| | 1,500,000 | | | Petrobras Global Finance B.V. | | | 2.37% | # | | | 01/15/2019 | | | | 1,503,300 | |
| | 2,400,000 | | | Petroleos Mexicanos | | | 2.25% | # | | | 07/18/2018 | | | | 2,514,000 | |
| | 1,500,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 1,559,250 | |
| | 4,500,000 | | | Raizen Energy Finance Ltd. | | | 7.00% | | | | 02/01/2017 | | | | 4,950,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 2,787,300 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 3,024,221 | |
| | 300,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 309,904 | |
| | 9,000,000 | | | Sigma Alimentos S.A. | | | 5.63% | | | | 04/14/2018 | | | | 9,945,000 | |
| | 3,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 1.15% | #^ | | | 04/10/2019 | | | | 3,005,940 | |
| | 3,000,000 | | | SK Telecom Company Ltd. | | | 2.13% | | | | 05/01/2018 | | | | 2,992,146 | |
| | 6,700,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 7,141,182 | |
| | 2,738,000 | | | Southern Copper Corporation | | | 6.38% | | | | 07/27/2015 | | | | 2,856,336 | |
| | 3,695,000 | | | Southern Copper Corporation | | | 1.95% | | | | 09/01/2016 | | | | 3,769,476 | |
| | 1,500,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 1,526,409 | |
| | 1,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | ^ | | | 03/13/2018 | | | | 1,017,606 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 208,100 | |
| | 2,079,000 | | | Telemovil Finance Company Ltd. | | | 8.00% | | | | 10/01/2017 | | | | 2,143,969 | |
| | 5,000,000 | | | United Overseas Bank Ltd. | | | 2.88% | # | | | 10/17/2022 | | | | 5,059,500 | |
| | 4,400,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 4,439,292 | |
| | 3,790,000 | | | Westpac Banking Corporation | | | 2.00% | | | | 08/14/2017 | | | | 3,849,439 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $411,799,789) | | | | 416,485,676 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.8% |
|
| | 2,400,000 | | | Banco Nacional de Desenvolvimento Economico e Social | | | 3.38% | ^ | | | 09/26/2016 | | | | 2,462,400 | |
| | 5,000,000 | | | Banco Nacional de Desenvolvimento Economico e Social | | | 6.37% | | | | 06/16/2018 | | | | 5,500,000 | |
| | 1,600,000 | | | Banco Nacional de Desenvolvimento Economico e Social | | | 4.00% | | | | 04/14/2019 | | | | 1,609,520 | |
| | 700,000 | | | Brazilian Government International Bond | | | 8.00% | | | | 01/15/2018 | | | | 772,800 | |
| | 1,000,000 | | | Caixa Economica Federal | | | 2.38% | | | | 11/06/2017 | | | | 972,500 | |
| | 566,000 | | | Colombia Government International Bond | | | 2.03% | # | | | 11/16/2015 | | | | 571,218 | |
| | 2,184,000 | | | Colombia Government International Bond | | | 8.70% | | | | 02/15/2016 | | | | 2,424,240 | |
| | 3,670,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 3,800,843 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $17,810,813) | | | | 18,113,521 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 16.4% | |
| |
| | | | Asset Securitization Corporation, | |
| | 5,823,257 | | | Series 1997-D4-PS1 | | | 2.02% | # I/O | | | 04/14/2029 | | | | 212,252 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 10,450,000 | | | Series 2005-3-AM | | | 4.73% | | | | 07/10/2043 | | | | 10,657,438 | |
| | 9,750,000 | | | Series 2006-5-AM | | | 5.45% | | | | 09/10/2047 | | | | 10,458,659 | |
| | 9,150,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 9,812,039 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 60,086 | | | Series 2004-PWR4-A3 | | | 5.47% | # | | | 06/11/2041 | | | | 60,083 | |
| | 2,620,930 | | | Series 2005-PWR8-A4 | | | 4.67% | | | | 06/11/2041 | | | | 2,657,834 | |
| | 6,250,000 | | | Series 2005-PWR8-AJ | | | 4.75% | | | | 06/11/2041 | | | | 6,369,481 | |
| | 1,300,000 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 1,323,601 | |
| | 6,254,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 6,481,424 | |
| | 501,595 | | | Series 2007-PW17-AAB | | | 5.70% | | | | 06/11/2050 | | | | 506,131 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 49 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| $ | 1,523,024 | | | Series 2013-BOCA-A | | | 1.30% | #^ | | | 08/15/2026 | | | | 1,524,740 | |
| | 4,100,000 | | | Series 2013-BOCA-D | | | 3.20% | #^ | | | 08/15/2026 | | | | 4,106,466 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 10,000,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 10,513,080 | |
| | 12,322,447 | | | Series 2007-CD5-XP | | | 0.30% | #^ I/O | | | 11/15/2044 | | | | 3,105 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 615,000 | | | Series 2005-C3-AM | | | 4.83% | # | | | 05/15/2043 | | | | 625,811 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 12,000,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 12,260,064 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 9,689,412 | | | Series 2012-CR2-XA | | | 2.08% | # I/O | | | 08/15/2045 | | | | 994,793 | |
| | 88,702 | | | Series 2012-MVP-A | | | 2.09% | #^ | | | 11/17/2026 | | | | 89,075 | |
| | 26,610,682 | | | Series 2012-MVP-XACP | | | 1.96% | #^ I/O | | | 12/17/2014 | | | | 108,678 | |
| | 30,000,000 | | | Series 2012-MVP-XBCP | | | 1.58% | #^ I/O | | | 12/17/2014 | | | | 99,000 | |
| | 3,600,000 | | | Series 2014-KY0-E | | | 2.50% | #^ | | | 06/11/2027 | | | | 3,606,021 | |
| | 9,650,000 | | | Series 2014-KY0-F | | | 3.65% | #^ | | | 06/11/2027 | | | | 9,642,261 | |
| | 3,890,000 | | | Series 2014-TWC-C | | | 2.01% | #^ | | | 02/13/2032 | | | | 3,903,596 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 347,558 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 358,965 | |
| | 9,500,000 | | | Series 2005-C2-AMFX | | | 4.88% | | | | 04/15/2037 | | | | 9,582,241 | |
| | 2,000,000 | | | Series 2005-C6-AM | | | 5.23% | # | | | 12/15/2040 | | | | 2,081,928 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 5,940,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 6,365,797 | |
| | 5,725,000 | | | Series 2007-C4-A1AM | | | 6.10% | # | | | 09/15/2039 | | | | 6,217,505 | |
| | 20,200,000 | | | Series 2007-TFLA-G | | | 0.52% | #^ | | | 02/15/2022 | | | | 20,221,681 | |
| | 4,350,000 | | | Series 2014-SURF-E | | | 3.26% | #^ | | | 02/15/2029 | | | | 4,366,160 | |
| |
| | | | Del Coronado Trust, | |
| | 2,100,000 | | | Series 2013-HDC-A | | | 0.95% | #^ | | | 03/15/2026 | | | | 2,098,044 | |
| | 2,500,000 | | | Series 2013-HDC-B | | | 1.45% | #^ | | | 03/15/2026 | | | | 2,499,781 | |
| |
| | | | Extended Stay America Trust, | |
| | 5,000,000 | | | Series 2013-ESH5-A15 | | | 1.28% | ^ | | | 12/05/2031 | | | | 4,963,139 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 1,100,000 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 1,120,985 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 6,535,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 7,145,438 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 5,650,000 | | | Series 2006-GG6-AJ | | | 5.52% | # | | | 04/10/2038 | | | | 5,837,252 | |
| | 623,053 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 625,741 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 294,446 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 296,573 | |
| | 5,200,000 | | | Series 2005-CB12-B | | | 5.15% | # | | | 09/12/2037 | | | | 5,026,193 | |
| | 44,282 | | | Series 2006-CB14-ASB | | | 5.50% | # | | | 12/12/2044 | | | | 44,987 | |
| | 210,943 | | | Series 2006-CB15-ASB | | | 5.79% | # | | | 06/12/2043 | | | | 215,790 | |
| | 1,183,579 | | | Series 2006-CB17-ASB | | | 5.42% | | | | 12/12/2043 | | | | 1,222,271 | |
| | 4,450,000 | | | Series 2006-LDP8 | | | 5.44% | | | | 05/15/2045 | | | | 4,770,763 | |
| | 5,970,000 | | | Series 2006-LDP8-AJ | | | 5.48% | # | | | 05/15/2045 | | | | 6,321,690 | |
| | 8,680,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 9,039,864 | |
| | 2,700,000 | | | Series 2007-CIBC19-AM | | | 5.70% | # | | | 02/12/2049 | | | | 2,901,793 | |
| | 5,150,000 | | | Series 2007-CIBC20 | | | 6.07% | # | | | 02/12/2051 | | | | 5,477,234 | |
| | 1,963,339 | | | Series 2010-C1-A1 | | | 3.85% | ^ | | | 06/15/2043 | | | | 1,986,370 | |
| | 475,468 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2044 | | | | 482,414 | |
| | 4,000,000 | | | Series 2013-ALC-A | | | 1.65% | #^ | | | 07/17/2026 | | | | 4,009,266 | |
| | 3,500,000 | | | Series 2013-ALC-B | | | 3.00% | #^ | | | 07/17/2026 | | | | 3,539,224 | |
| | 1,640,476 | | | Series 2013-FL3-A1 | | | 0.95% | #^ | | | 04/15/2028 | | | | 1,640,739 | |
| | 984,238 | | | Series 2013-FL3-A2 | | | 0.85% | #^ | | | 04/15/2028 | | | | 983,995 | |
| | 5,000,000 | | | Series 2013-JWRZ-A | | | 0.93% | #^ | | | 04/15/2030 | | | | 4,998,010 | |
| | 2,400,000 | | | Series 2013-JWRZ-D | | | 3.14% | #^ | | | 04/15/2030 | | | | 2,407,456 | |
| | 5,750,000 | | | Series 2014-FBLU-B | | | 1.65% | #^ | | | 12/15/2028 | | | | 5,757,251 | |
| | 2,500,000 | | | Series 2014-INN-C | | | 1.85% | #^ | | | 06/15/2029 | | | | 2,497,951 | |
| | 2,500,000 | | | Series 2014-INN-D | | | 2.50% | #^ | | | 06/15/2029 | | | | 2,492,777 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 6,830,000 | | | Series 2005-C2-AJ | | | 5.21% | # | | | 04/15/2030 | | | | 6,954,620 | |
| | 10,345,000 | | | Series 2005-C7-AJ | | | 5.32% | # | | | 11/15/2040 | | | | 10,724,237 | |
| | 4,350,000 | | | Series 2006-C7-AM | | | 5.38% | | | | 11/15/2038 | | | | 4,674,297 | |
| | 7,650,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 8,146,730 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 3,250,000 | | | Series 2005-CIP1-AM | | | 5.11% | # | | | 07/12/2038 | | | | 3,340,147 | |
| | 10,350,000 | | | Series 2005-CKI1-AJ | | | 5.29% | # | | | 11/12/2037 | | | | 10,713,057 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| $ | 8,000,000 | | | Series 2006-1 | | | 5.57% | # | | | 02/12/2039 | | | | 8,331,616 | |
| | 123,772 | | | Series 2006-4-A2FL | | | 0.27% | # | | | 12/12/2049 | | | | 123,755 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 3,886,067 | | | Series 2012-C5-XA | | | 2.02% | #^ I/O | | | 08/15/2045 | | | | 336,370 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 60,297 | | | Series 2005-HQ6-AAB | | | 4.97% | | | | 08/13/2042 | | | | 60,436 | |
| | 9,000,000 | | | Series 2005-HQ7-AJ | | | 5.21% | # | | | 11/14/2042 | | | | 9,293,980 | |
| | 4,750,000 | | | Series 2005-IQ10-AJ | | | 5.18% | # | | | 09/15/2042 | | | | 4,890,752 | |
| | 740,847 | | | Series 2005-T17-A5 | | | 4.78% | | | | 12/13/2041 | | | | 741,758 | |
| | 10,750,000 | | | Series 2005-T19-AJ | | | 4.99% | # | | | 06/12/2047 | | | | 11,006,592 | |
| | 22,248,810 | | | Series 2006-HQ10-X1 | | | 0.51% | #^ I/O | | | 11/12/2041 | | | | 206,669 | |
| | 9,252,567 | | | Series 2006-XLF-J | | | 0.58% | #^ | | | 07/15/2019 | | | | 9,136,007 | |
| | 9,000,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 9,448,249 | |
| | 7,657,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 8,255,287 | |
| | 5,826,412 | | | Series 2007-XLF9-J | | | 2.25% | #^ | | | 12/15/2020 | | | | 5,804,630 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 974,759 | | | Series 2012-IO-AXA | | | 1.00% | ^ | | | 03/27/2051 | | | | 966,279 | |
| |
| | | | RBS Greenwich Capital Mortgage Loan Trust, | |
| | 4,300,000 | | | Series 2010-MB1-C | | | 5.01% | #^ | | | 04/15/2024 | | | | 4,370,944 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 737,446 | | | Series 2005-C17-A4 | | | 5.08% | # | | | 03/15/2042 | | | | 739,971 | |
| | 38,431 | | | Series 2006-C26-APB | | | 6.00% | | | | 06/15/2045 | | | | 39,817 | |
| | 8,500,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 9,106,908 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 89,349 | | | Series 2011-C3-A1 | | | 1.99% | ^ | | | 03/15/2044 | | | | 89,793 | |
| | 3,404,696 | | | Series 2012-C8-XA | | | 2.37% | #^ I/O | | | 08/15/2045 | | | | 364,513 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $365,176,949) | | | | 363,480,314 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 7.6% |
| | | | |
| |
| | | | ACE Securities Corporation, | |
| | 125,545 | | | Series 2006-NC1-A2C | | | 0.35% | # | | | 12/25/2035 | | | | 125,485 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 1,310,743 | | | Series 2005-E-6A1 | | | 3.16% | # | | | 05/20/2035 | | | | 1,324,152 | |
| | 1,055,637 | | | Series 2012-R4-A | | | 0.42% | #^ | | | 03/04/2039 | | | | 1,035,902 | |
| | 3,507,788 | | | Series 2012-R5-A | | | 0.42% | #^ | | | 10/03/2039 | | | | 3,490,730 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 4,549,506 | | | Series 2005-E-2A1 | | | 2.65% | # | | | 06/25/2035 | | | | 4,371,948 | |
| |
| | | | BCAP LLC Trust, | |
| | 43,366 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 44,981 | |
| | 1,038,349 | | | Series 2011-RR12-2A5 | | | 2.20% | #^ | | | 12/26/2036 | | | | 1,038,788 | |
| | 4,595,148 | | | Series 2013-RR1-4A2 | | | 4.00% | #^ | | | 08/26/2037 | | | | 4,579,015 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 1,603,437 | | | Series 2004-AC2-2A | | | 5.00% | | | | 05/25/2034 | | | | 1,618,299 | |
| |
| | | | Carrington Mortgage Loan Trust, | |
| | 423,277 | | | Series 2007-RFC1-A1 | | | 0.20% | # | | | 12/25/2036 | | | | 423,389 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 4,601,654 | | | Series 2007-WFHE2-A3 | | | 0.33% | # | | | 03/25/2037 | | | | 4,507,369 | |
| | 522,207 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 532,057 | |
| | 1,447,014 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 1,495,439 | |
| | 914,454 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 921,632 | |
| | 738,202 | | | Series 2011-12-3A1 | | | 2.58% | #^ | | | 09/25/2047 | | | | 738,415 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 2,042,266 | | | Series 2004-28CB-1A1 | | | 5.50% | | | | 01/25/2035 | | | | 2,125,906 | |
| | 335,525 | | | Series 2007-HY5R-2A1A | | | 2.55% | # | | | 03/25/2047 | | | | 350,472 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 1,543,569 | | | Series 2005-15-1AF6 | | | 4.60% | # | | | 04/25/2036 | | | | 1,571,850 | |
| | 764,686 | | | Series 2006-2-2A2 | | | 0.34% | # | | | 06/25/2036 | | | | 747,729 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 809,805 | | | Series 2005-11-5A1 | | | 5.25% | | | | 12/25/2020 | | | | 849,195 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 574,650 | | | Series 2009-13R-2A1 | | | 6.00% | ^ | | | 01/26/2037 | | | | 580,718 | |
| | 3,532,745 | | | Series 2010-18R-4A2 | | | 2.46% | #^ | | | 04/26/2038 | | | | 3,535,400 | |
| | 28,988 | | | Series 2010-1R-5A1 | | | 4.90% | #^ | | | 01/27/2036 | | | | 29,250 | |
| | | | | | |
| 50 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, (Cont.) | |
| $ | 135,241 | | | Series 2011-16R-6A1 | | | 2.40% | #^ | | | 09/27/2035 | | | | 135,051 | |
| | 12,000,000 | | | Series 2011-5R-6A9 | | | 2.66% | #^ | | | 11/27/2037 | | | | 11,158,541 | |
| | 8,416,719 | | | Series 2013-3R-1A1 | | | 1.29% | #^ | | | 04/27/2035 | | | | 7,752,189 | |
| |
| | | | Ellington Loan Acquisition Trust, | |
| | 1,421,482 | | | Series 2007-2-A2A | | | 1.05% | #^ | | | 05/25/2037 | | | | 1,367,145 | |
| |
| | | | Fieldstone Mortgage Investment Trust, | |
| | 2,689,941 | | | Series 2004-5-M2 | | | 1.88% | # | | | 02/25/2035 | | | | 2,630,189 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 6,483,768 | | | Series 2005-FF12-A2B | | | 0.41% | # | | | 11/25/2036 | | | | 6,412,673 | |
| | 1,010,422 | | | Series 2006-FF1-2A3 | | | 0.39% | # | | | 01/25/2036 | | | | 1,000,657 | |
| |
| | | | GreenPoint Mortgage Funding Trust, | |
| | 7 | | | Series 2007-AR2-1A1 | | | 0.28% | # | | | 04/25/2047 | | | | 7 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 2,101,758 | | | Series 2006-4F-2A7 | | | 5.50% | | | | 05/25/2036 | | | | 2,058,230 | |
| |
| | | | Home Loan Trust, | |
| | 2,680,607 | | | Series 2007-HI1-A3 | | | 5.72% | | | | 11/25/2025 | | | | 2,760,312 | |
| |
| | | | Jefferies & Company, Inc., | |
| | 625,899 | | | Series 2010-R7-5A1 | | | 1.15% | #^ | | | 09/26/2035 | | | | 608,967 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 1,773,359 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 1,682,829 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 3,601,779 | | | Series 2006-NC1-A4 | | | 0.33% | # | | | 04/25/2036 | | | | 3,494,116 | |
| | 5,224,211 | | | Series 2007-CH5-A3 | | | 0.26% | # | | | 05/25/2037 | | | | 5,100,614 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 335,105 | | | Series 2007-S1-1A1 | | | 5.00% | | | | 03/25/2022 | | | | 335,112 | |
| | 267,424 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 266,153 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 426,435 | | | Series 2009-7-8A1 | | | 2.83% | #^ | | | 01/27/2047 | | | | 427,175 | |
| | 296,098 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 298,824 | |
| | 1,484,218 | | | Series 2011-2-6A11 | | | 5.50% | #^ | | | 12/26/2035 | | | | 1,477,564 | |
| | 875,277 | | | Series 2012-2-3A3 | | | 2.36% | #^ | | | 10/26/2036 | | | | 873,536 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 13,176,267 | | | Series 2006-2-2A1 | | | 2.59% | # | | | 04/25/2036 | | | | 12,465,645 | |
| | 3,320,156 | | | Series 2007-2-A2 | | | 0.26% | # | | | 03/25/2047 | | | | 3,266,645 | |
| |
| | | | MASTR Asset Backed Securities Trust, | |
| | 141,091 | | | Series 2006-NC1-A3 | | | 0.34% | # | | | 01/25/2036 | | | | 139,335 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 1,834,547 | | | Series 2005-WMC3-M3 | | | 0.86% | # | | | 03/25/2035 | | | | 1,831,733 | |
| | 2,031,163 | | | Series 2006-NC2-A2C | | | 0.33% | # | | | 02/25/2036 | | | | 2,025,045 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 185,256 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 190,087 | |
| |
| | | | Opteum Mortgage Acceptance Corporation, | |
| | 2,682,366 | | | Series 2005-5-2AN | | | 5.68% | # | | | 12/25/2035 | | | | 2,803,538 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 5,547,167 | | | Series 2005-EFC7-AI3 | | | 0.40% | # | | | 04/25/2034 | | | | 5,216,201 | |
| | 11,416,800 | | | Series 2006-RS4-A3 | | | 0.32% | # | | | 07/25/2036 | | | | 11,181,837 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 4,534,119 | | | Series 2006-KS6-A3 | | | 0.30% | # | | | 08/25/2036 | | | | 4,342,402 | |
| | 10,375,615 | | | Series 2007-KS2-AI2 | | | 0.27% | # | | | 02/25/2037 | | | | 10,200,340 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 111,267 | | | Series 2005-A5-A1 | | | 0.45% | # | | | 05/25/2035 | | | | 111,426 | |
| | 111,267 | | | Series 2005-A5-A2 | | | 5.05% | # I/F I/O | | | 05/25/2035 | | | | 389 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 196,066 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 198,067 | |
| |
| | | | Soundview Home Equity Loan Trust, | |
| | 5,928,242 | | | Series 2007-NS1-A2 | | | 0.30% | # | | | 01/25/2037 | | | | 5,769,288 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 7,705,758 | | | Series 2014-3A-A | | | 1.87% | #^ | | | 09/25/2057 | | | | 7,705,935 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 238,042 | | | Series 2006-5-5A3 | | | 4.92% | # | | | 06/25/2036 | | | | 236,969 | |
| | 3,846,855 | | | Series 2007-1-2A2 | | | 4.45% | # | | | 02/25/2037 | | | | 3,703,402 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 620,072 | | | Series 2003-24A-1A3 | | | 2.45% | # | | | 07/25/2033 | | | | 618,680 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Structured Asset Securities Corporation, (Cont.) | |
| $ | 277,327 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 281,635 | |
| | 796,722 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 832,449 | |
| | 7,276,108 | | | Series 2005-AXS-1A3 | | | 5.00% | # | | | 03/25/2035 | | | | 7,456,290 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 2,060,912 | | | Series 2002-AR16-A | | | 2.45% | # | | | 12/25/2032 | | | | 2,005,819 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 557,459 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 575,398 | |
| |
| | | | Wells Fargo Mortgage Loan Trust, | |
| | 538,608 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 542,696 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $167,198,332) | | | | 169,579,256 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 8.8% | | | | | |
| | 3,000,000 | | | American Express Credit Corporation | | | 1.75% | | | | 06/12/2015 | | | | 3,027,411 | |
| | 591,000 | | | American Express Credit Corporation | | | 1.30% | | | | 07/29/2016 | | | | 595,209 | |
| | 3,725,000 | | | Amgen, Inc. | | | 2.13% | | | | 05/15/2017 | | | | 3,793,760 | |
| | 3,915,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 1.38% | | | | 07/15/2017 | | | | 3,912,444 | |
| | 3,890,000 | | | AT&T, Inc. | | | 1.70% | | | | 06/01/2017 | | | | 3,924,551 | |
| | 3,865,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 3,851,225 | |
| | 2,122,000 | | | BB&T Corporation | | | 3.20% | | | | 03/15/2016 | | | | 2,194,608 | |
| | 1,385,000 | | | BB&T Corporation | | | 2.15% | | | | 03/22/2017 | | | | 1,408,355 | |
| | 3,139,000 | | | Berkshire Hathaway Finance Corporation | | | 0.95% | | | | 08/15/2016 | | | | 3,151,908 | |
| | 912,000 | | | Berkshire Hathaway, Inc. | | | 2.20% | | | | 08/15/2016 | | | | 938,645 | |
| | 3,700,000 | | | Boeing Company | | | 3.75% | | | | 11/20/2016 | | | | 3,920,231 | |
| | 3,800,000 | | | Caterpillar Financial Services Corporation | | | 1.00% | | | | 03/03/2017 | | | | 3,788,771 | |
| | 3,855,000 | | | Citigroup, Inc. | | | 1.35% | | | | 03/10/2017 | | | | 3,846,916 | |
| | 3,545,000 | | | Comcast Corporation | | | 6.50% | | | | 01/15/2017 | | | | 3,972,084 | |
| | 3,905,000 | | | ConocoPhillips Company | | | 1.05% | | | | 12/15/2017 | | | | 3,854,044 | |
| | 2,299,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 2,598,882 | |
| | 3,655,000 | | | Daimler Finance North America LLC | | | 1.45% | ^ | | | 08/01/2016 | | | | 3,682,197 | |
| | 3,645,000 | | | Devon Energy Corporation | | | 1.88% | | | | 05/15/2017 | | | | 3,680,772 | |
| | 3,675,000 | | | DIRECTV Holdings LLC | | | 2.40% | | | | 03/15/2017 | | | | 3,759,275 | |
| | 3,710,000 | | | Dow Chemical Company | | | 2.50% | | | | 02/15/2016 | | | | 3,791,820 | |
| | 4,225,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 4,244,621 | |
| | 3,780,000 | | | eBay, Inc. | | | 1.35% | | | | 07/15/2017 | | | | 3,766,751 | |
| | 3,630,000 | | | Ecolab, Inc. | | | 3.00% | | | | 12/08/2016 | | | | 3,769,559 | |
| | 3,512,000 | | | ERP Operating LP | | | 5.75% | | | | 06/15/2017 | | | | 3,908,550 | |
| | 350,000 | | | Express Scripts Holding Company | | | 2.65% | | | | 02/15/2017 | | | | 360,115 | |
| | 3,410,000 | | | Express Scripts Holding Company | | | 1.25% | | | | 06/02/2017 | | | | 3,385,260 | |
| | 2,920,000 | | | General Electric Capital Corporation | | | 1.63% | | | | 07/02/2015 | | | | 2,948,318 | |
| | 675,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 701,443 | |
| | 650,000 | | | General Mills, Inc. | | | 5.20% | | | | 03/17/2015 | | | | 664,089 | |
| | 2,706,000 | | | General Mills, Inc. | | | 5.70% | | | | 02/15/2017 | | | | 2,991,009 | |
| | 3,564,000 | | | Gilead Sciences, Inc. | | | 3.05% | | | | 12/01/2016 | | | | 3,714,483 | |
| | 3,430,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 10/01/2016 | | | | 3,726,156 | |
| | 3,575,000 | | | Hewlett-Packard Company | | | 3.30% | | | | 12/09/2016 | | | | 3,732,103 | |
| | 2,705,000 | | | John Deere Capital Corporation | | | 1.40% | | | | 03/15/2017 | | | | 2,726,605 | |
| | 3,700,000 | | | JP Morgan Chase & Company | | | 3.15% | | | | 07/05/2016 | | | | 3,830,318 | |
| | 3,455,000 | | | Kellogg Company | | | 1.75% | | | | 05/17/2017 | | | | 3,484,333 | |
| | 1,350,000 | | | Kinder Morgan Energy Partners LP | | | 3.50% | | | | 03/01/2016 | | | | 1,396,378 | |
| | 2,238,000 | | | Kinder Morgan Energy Partners LP | | | 6.00% | | | | 02/01/2017 | | | | 2,460,509 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 51 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 3,643,000 | | | Kraft Foods, Inc. | | | 4.13% | | | | 02/09/2016 | | | | 3,802,385 | |
| | 3,720,000 | | | Kroger Company | | | 2.20% | | | | 01/15/2017 | | | | 3,793,463 | |
| | 2,600,000 | | | McKesson Corporation | | | 1.29% | | | | 03/10/2017 | | | | 2,592,330 | |
| | 3,675,000 | | | Metropolitan Life Global Funding | | | 1.50% | ^ | | | 01/10/2018 | | | | 3,647,401 | |
| | 3,875,000 | | | Morgan Stanley | | | 1.75% | | | | 02/25/2016 | | | | 3,917,679 | |
| | 3,500,000 | | | Mylan, Inc. | | | 1.80% | | | | 06/24/2016 | | | | 3,542,371 | |
| | 3,700,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 1.10% | | | | 01/27/2017 | | | | 3,696,141 | |
| | 3,810,000 | | | ONEOK Partners LP | | | 3.25% | | | | 02/01/2016 | | | | 3,929,645 | |
| | 3,775,000 | | | Phillips 66 | | | 2.95% | | | | 05/01/2017 | | | | 3,924,679 | |
| | 3,875,000 | | | PNC Funding Corporation | | | 2.70% | | | | 09/19/2016 | | | | 4,000,337 | |
| | 3,960,000 | | | Procter & Gamble Company | | | 0.75% | | | | 11/04/2016 | | | | 3,960,780 | |
| | 3,775,000 | | | Simon Property Group LP | | | 2.15% | | | | 09/15/2017 | | | | 3,856,970 | |
| | 1,050,000 | | | Southwest Airlines Company | | | 5.75% | | | | 12/15/2016 | | | | 1,148,230 | |
| | 1,900,000 | | | Southwest Airlines Company | | | 5.13% | | | | 03/01/2017 | | | | 2,051,892 | |
| | 1,450,000 | | | Sysco Corporation | | | 1.45% | | | | 10/02/2017 | | | | 1,453,022 | |
| | 3,775,000 | | | Thomson Reuters Corporation | | | 1.30% | | | | 02/23/2017 | | | | 3,770,670 | |
| | 3,820,000 | | | Toyota Motor Credit Corporation | | | 1.75% | | | | 05/22/2017 | | | | 3,870,970 | |
| | 3,645,000 | | | Valero Energy Corporation | | | 6.13% | | | | 06/15/2017 | | | | 4,074,027 | |
| | 2,900,000 | | | Wal-Mart Stores, Inc. | | | 0.60% | | | | 04/11/2016 | | | | 2,899,878 | |
| | 455,000 | | | Wal-Mart Stores, Inc. | | | 5.38% | | | | 04/05/2017 | | | | 503,432 | |
| | 3,577,000 | | | Waste Management, Inc. | | | 2.60% | | | | 09/01/2016 | | | | 3,682,425 | |
| | 3,850,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 3,848,830 | |
| | 3,715,000 | | | Wells Fargo & Company | | | 2.10% | | | | 05/08/2017 | | | | 3,791,236 | |
| | 3,650,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 3,780,064 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $194,851,159) | | | | 195,042,565 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 1.2% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 251,638 | | | Pool G0-6871 | | | 6.00% | | | | 06/01/2038 | | | | 285,215 | |
| | 551,766 | | | Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 621,612 | |
| | 627,313 | | | Pool N7-0081 | | | 5.50% | | | | 07/01/2038 | | | | 704,276 | |
| | 132,045 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 143,648 | |
| | 548,367 | | | Series 3818-JA | | | 4.50% | | | | 01/15/2040 | | | | 582,735 | |
| | 105,532 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 109,804 | |
| | 6,896,907 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 6,528,595 | |
| |
| | | | Federal National Mortgage Association, | |
| | 359,976 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 373,213 | |
| | 3,184,823 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 3,654,810 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 80,802 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 90,558 | |
| | 323,559 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 338,116 | |
| | 265,383 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 297,148 | |
| | 511,377 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 577,615 | |
| | 401,607 | | | Pool AL1691 | | | 6.00% | | | | 06/01/2041 | | | | 455,072 | |
| | 534,317 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 603,873 | |
| | 9,754,968 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 10,398,428 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $25,454,715) | | | | 25,764,718 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 6.9% | | | | | |
| | 23,800,000 | | | United States Treasury Notes | | | 1.75% | | | | 05/31/2016 | | | | 24,318,768 | |
| | 24,200,000 | | | United States Treasury Notes | | | 1.50% | | | | 06/30/2016 | | | | 24,631,075 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 27,900,000 | | | United States Treasury Notes | | | 1.00% | | | | 08/31/2016 | | | | 28,129,952 | |
| | 20,300,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/30/2016 | | | | 20,454,625 | |
| | 22,500,000 | | | United States Treasury Notes | | | 1.00% | | | | 10/31/2016 | | | | 22,663,485 | |
| | 16,100,000 | | | United States Treasury Notes | | | 0.88% | | | | 11/30/2016 | | | | 16,161,631 | |
| | 18,000,000 | | | United States Treasury Notes | | | 0.75% | | | | 01/15/2017 | | | | 17,990,856 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $154,324,665) | | | | 154,350,392 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 2.3% (a) | | | | | |
| | 5,000,000 | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | | | | | 50,550,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $50,000,000) | | | | 50,550,000 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 4.5% | | | | | |
| | 33,392,360 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 33,392,360 | |
| | 33,392,360 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 33,392,360 | |
| | 33,392,360 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 33,392,360 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $100,177,080) | | | | 100,177,080 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 98.7%
(Cost $2,190,311,493) | | | | 2,195,509,379 | |
| | | | Other Assets in Excess of Liabilities 1.3% | | | | 28,335,293 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 2,223,844,672 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | | | | |
Collateralized Loan Obligations | | | 20.7% | |
Foreign Corporate Bonds | | | 18.7% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 16.4% | |
US Corporate Bonds | | | 8.8% | |
Bank Loans | | | 9.5% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 7.6% | |
US Government Bonds and Notes | | | 6.9% | |
Short Term Investments | | | 4.5% | |
Affiliated Mutual Funds | | | 2.3% | |
Asset Backed Obligations | | | 1.3% | |
US Government / Agency Mortgage Backed Obligations | | | 1.2% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.8% | |
Other Assets and Liabilities | | | 1.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 52 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | | | | |
United States | | | 77.9% | |
Brazil | | | 2.8% | |
Colombia | | | 2.8% | |
Peru | | | 2.4% | |
Chile | | | 2.4% | |
Mexico | | | 2.3% | |
Singapore | | | 1.2% | |
Panama | | | 1.1% | |
United Kingdom | | | 0.8% | |
Canada | | | 0.7% | |
Luxembourg | | | 0.6% | |
Costa Rica | | | 0.6% | |
China | | | 0.6% | |
Guatemala | | | 0.5% | |
Australia | | | 0.5% | |
Israel | | | 0.3% | |
South Korea | | | 0.3% | |
Supranational | | | 0.2% | |
France | | | 0.2% | |
Qatar | | | 0.1% | |
Netherlands | | | 0.1% | |
El Salvador | | | 0.1% | |
Indonesia | | | 0.1% | |
Paraguay | | | 0.1% | |
Malaysia | | | 0.0% | ~ |
Other Assets and Liabilities | | | 1.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Collateralized Loan Obligations | | | 20.7% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 16.4% | |
Banking | | | 10.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 7.6% | |
US Government Bonds and Notes | | | 6.9% | |
Short Term Investments | | | 4.5% | |
Oil & Gas | | | 3.4% | |
Affiliated Mutual Funds | | | 2.3% | |
Chemicals/Plastics | | | 1.8% | |
Leisure | | | 1.7% | |
Media | | | 1.6% | |
Telecommunications | | | 1.6% | |
Financial Intermediaries | | | 1.5% | |
Healthcare | | | 1.3% | |
Asset Backed Obligations | | | 1.3% | |
Food Products | | | 1.3% | |
Business Equipment and Services | | | 1.2% | |
US Government / Agency Mortgage Backed Obligations | | | 1.2% | |
Transportation | | | 1.1% | |
Utilities | | | 1.0% | |
Consumer Products | | | 1.0% | |
Beverage and Tobacco | | | 0.9% | |
Pharmaceuticals | | | 0.8% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.8% | |
Automotive | | | 0.5% | |
Finance | | | 0.5% | |
Air Transport | | | 0.5% | |
Pulp & Paper | | | 0.4% | |
Mining | | | 0.4% | |
Industrial Equipment | | | 0.4% | |
Cable Television | | | 0.4% | |
Energy | | | 0.4% | |
Real Estate | | | 0.3% | |
Insurance | | | 0.3% | |
Building and Development | | | 0.3% | |
Construction | | | 0.3% | |
Industrial | | | 0.3% | |
Hotels/Motels/Inns and Casinos | | | 0.2% | |
Retailers (other than Food/Drug) | | | 0.2% | |
Food/Drug Retailers | | | 0.2% | |
Environmental Control | | | 0.2% | |
Conglomerates | | | 0.1% | |
Other Assets and Liabilities | | | 1.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ^ | 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, 2014, the value of these securities amounted to $653,222,947 or 29.4% of net assets. |
| & | Unfunded or partially unfunded loan commitment |
| 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 held |
| ¨ | Seven-day yield as of September 30, 2014 |
| ~ | Represents Less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 53 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2014 |
Investments in Affiliates
Generally, an issuer is an affiliate 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 Low Duration Bond Fund’s investments in affiliated mutual funds for the period ended September 30, 2014 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2014 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2014 | | | Value at
September 30,
2014 | | | Dividend
Income Earned in the Period
Ended September 30,
2014 | | | Net Realized
Gain (Loss) in the Period
Ended September 30,
2014 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | $ | — | | | $ | 50,000,000 | | | $ | — | | | | 5,000,000 | | | $ | 50,550,000 | | | $ | 871,142 | | | $ | — | |
| | | | | | |
| 54 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 89.4% | |
| | |
| | AIR TRANSPORT 3.1% | |
| |
| | | | Delta Air Lines, Inc., | |
| $ | 3,942,324 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.25% | # | | | 10/18/2018 | | | | 3,857,072 | |
| |
| | | | Orbitz Worldwide, Inc., | |
| | 3,990,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 04/15/2021 | | | | 3,982,020 | |
| |
| | | | United Airlines, Inc., | |
| | 3,953,712 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 04/01/2019 | | | | 3,890,710 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,729,802 | |
| | | | | | | | | | | | | | | | |
| | AUTOMOTIVE 5.3% | |
| |
| | | | American Tire Distributors, Inc., | |
| | 3,983,515 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 06/01/2018 | | | | 3,988,514 | |
| |
| | | | Cooper-Standard Automotive, Inc., | |
| | 498,750 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/05/2021 | | | | 493,765 | |
| |
| | | | Gates Global LLC, | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/05/2021 | | | | 3,934,160 | |
| |
| | | | Goodyear Tire & Rubber Company, | |
| | 4,000,000 | | | Guaranteed Senior Secured 2nd Lien Term Loan | | | 4.75% | # | | | 04/30/2019 | | | | 3,999,380 | |
| |
| | | | TI Group Automotive Systems LLC, | |
| | 3,491,250 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/02/2021 | | | | 3,449,809 | |
| |
| | | | Tower Automotive Holdings LLC, | |
| | 3,809,365 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/23/2020 | | | | 3,760,148 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,625,776 | |
| | | | | | | | | | | | | | | | |
| | BROADCAST RADIO AND TELEVISION 1.0% | |
| |
| | | | Univision Communications, Inc., | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C3 | | | 4.00% | # | | | 02/28/2020 | | | | 3,928,920 | |
| | | | | | | | | | | | | | | | |
| | BUILDING AND DEVELOPMENT 3.0% | |
| |
| | | | Capital Automotive LP, | |
| | 3,658,661 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 3,644,959 | |
| |
| | | | Interline Brands, Inc., | |
| | 3,984,987 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/17/2021 | | | | 3,923,958 | |
| |
| | | | Signode Industrial Group, Inc., | |
| | 3,525,926 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/30/2021 | | | | 3,470,851 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,039,768 | |
| | | | | | | | | | | | | | | | |
| | BUSINESS EQUIPMENT AND SERVICES 10.9% | |
| |
| | | | AlixPartners LLP, | |
| | 3,925,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 07/10/2020 | | | | 3,872,660 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Allied Security Holdings LLC, | |
| $ | 2,938,333 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 02/12/2021 | | | | 2,902,530 | |
| |
| | | | Brand Energy & Infrastructure Services, Inc., | |
| | 3,976,088 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 11/26/2020 | | | | 3,969,170 | |
| |
| | | | Duff & Phelps LLC, | |
| | 2,447,593 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/23/2020 | | | | 2,439,026 | |
| |
| | | | Emdeon, Inc., | |
| | 3,913,882 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 11/02/2018 | | | | 3,875,957 | |
| |
| | | | Hillman Group, Inc., | |
| | 3,990,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2021 | | | | 3,980,025 | |
| |
| | | | KAR Auction Services, Inc., | |
| | 3,425,387 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 03/11/2021 | | | | 3,383,992 | |
| |
| | | | Mitchell International, Inc., | |
| | 2,500,000 | | | Guaranteed Senior Secured 2nd Lien Term Loan | | | 8.50% | # | | | 10/11/2021 | | | | 2,503,125 | |
| |
| | | | Monitronics International, Inc., | |
| | 3,939,724 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/23/2018 | | | | 3,902,789 | |
| |
| | | | Protection One, Inc., | |
| | 3,924,405 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/21/2019 | | | | 3,908,884 | |
| |
| | | | TransUnion LLC, | |
| | 3,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/09/2021 | | | | 3,924,041 | |
| |
| | | | Travelport Finance Luxembourg S.A.R.L., | |
| | 2,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 09/02/2021 | | | | 2,001,430 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 40,663,629 | |
| | | | | | | | | | | | | | | | |
| | CABLE TELEVISION 2.1% | |
| |
| | | | Charter Communications Operating LLC, | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 4.25% | # | | | 09/12/2021 | | | | 3,995,220 | |
| |
| | | | Virgin Media Investment Holdings Ltd., | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/08/2020 | | | | 3,901,360 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,896,580 | |
| | | | | | | | | | | | | | | | |
| | CHEMICALS/PLASTICS 7.0% | |
| |
| | | | AI Chem & CY SCA, | |
| | 2,600,342 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 10/03/2019 | | | | 2,592,229 | |
| |
| | | | AI Chem & CY SCA, | |
| | 1,349,192 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.50% | # | | | 10/03/2019 | | | | 1,344,983 | |
| |
| | | | Arysta Lifescience LLC, | |
| | 3,432,595 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/22/2020 | | | | 3,406,850 | |
| |
| | | | Clondalkin Acquisition B.V., | |
| | 4,011,037 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/29/2020 | | | | 3,940,844 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 55 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Ineos Finance LLC, | |
| $ | 3,984,926 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 05/04/2018 | | | | 3,910,488 | |
| |
| | | | PolarPak, Inc., | |
| | 1,972,206 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/05/2020 | | | | 1,952,483 | |
| |
| | | | Solenis International LP, | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/31/2021 | | | | 3,936,000 | |
| |
| | | | Univar, Inc., | |
| | 3,969,127 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 06/30/2017 | | | | 3,933,564 | |
| |
| | | | WNA Holdings, Inc., | |
| | 1,270,120 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/05/2020 | | | | 1,257,419 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 26,274,860 | |
| | | | | | | | | | | | | | | | |
| | CONTAINERS AND GLASS PRODUCTS 1.3% | |
| |
| | | | Ardagh Holdings, Inc., | |
| | 995,000 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 12/17/2019 | | | | 982,562 | |
| |
| | | | Exopack Holdings S.A., | |
| | 2,965,038 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 05/08/2019 | | | | 2,983,569 | |
| |
| | | | Reynolds Group Holdings, Inc., | |
| | 997,487 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 11/30/2018 | | | | 988,635 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,954,766 | |
| | | | | | | | | | | | | | | | |
| | COSMETICS/TOILETRIES 2.1% | |
| |
| | | | Prestige Brands, Inc., | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.50% | # | | | 09/03/2021 | | | | 3,999,380 | |
| |
| | | | Revlon Consumer Products Corporation, | |
| | 3,970,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 10/08/2019 | | | | 3,912,951 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,912,331 | |
| | | | | | | | | | | | | | | | |
| | DRUGS 2.7% | |
| |
| | | | Akorn, Inc., | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/16/2021 | | | | 3,986,240 | |
| |
| | | | Ikaria, Inc., | |
| | 3,765,281 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 02/12/2021 | | | | 3,765,884 | |
| |
| | | | Salix Pharmaceuticals Ltd., | |
| | 2,406,250 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 01/02/2020 | | | | 2,403,615 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,155,739 | |
| | | | | | | | | | | | | | | | |
| | ELECTRONICS/ELECTRIC 2.9% | |
| |
| | | | Allflex Holdings, Inc., | |
| | 3,950,050 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/17/2020 | | | | 3,922,400 | |
| |
| | | | BMC Software Finance, Inc., | |
| | 3,826,310 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 3,768,915 | |
| |
| | | | Freescale Semiconductor, Inc., | |
| | 3,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 5.00% | # | | | 01/15/2021 | | | | 2,996,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,687,565 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ENERGY 1.1% | |
| |
| | | | Bayonne Energy Center LLC, | |
| $ | 3,995,444 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/19/2021 | | | | 3,989,211 | |
| | | | | | | | | | | | | | | | |
| | FINANCIAL INTERMEDIARIES 3.2% | |
| |
| | | | Grosvenor Capital Management Holdings LLP, | |
| | 2,977,500 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 01/04/2021 | | | | 2,947,725 | |
| |
| | | | Guggenheim Partners Investment Management, | |
| | 3,950,050 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/22/2020 | | | | 3,928,661 | |
| |
| | | | National Financial Partners Corporation, | |
| | 3,240,636 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/01/2020 | | | | 3,217,676 | |
| |
| | | | RCS Capital Corporation, | |
| | 1,975,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.50% | # | | | 04/29/2019 | | | | 1,992,281 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,086,343 | |
| | | | | | | | | | | | | | | | |
| | FOOD PRODUCTS 2.6% | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 3,950,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 3,905,563 | |
| |
| | | | DE Master Blenders 1753 N.V., | |
| | 2,500,000 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 07/02/2021 | | | | 2,456,250 | |
| |
| | | | Del Monte Corporation, | |
| | 3,424,790 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 03/09/2020 | | | | 3,299,220 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,661,033 | |
| | | | | | | | | | | | | | | | |
| | FOOD/DRUG RETAILERS 2.1% | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 2,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 4.50% | # | | | 08/25/2021 | | | | 1,993,540 | |
| |
| | | | Burger King Corporation, | |
| | 2,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 09/24/2021 | | | | 1,989,160 | |
| |
| | | | SUPERVALU, Inc., | |
| | 3,904,875 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 03/21/2019 | | | | 3,840,073 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,822,773 | |
| | | | | | | | | | | | | | | | |
| | HEALTHCARE 7.7% | |
| |
| | | | American Renal Holdings, Inc., | |
| | 3,929,988 | | | Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 3,878,407 | |
| |
| | | | Amsurg Corporation, | |
| | 2,992,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 07/16/2021 | | | | 2,966,795 | |
| |
| | | | CHS/Community Health Systems, Inc., | |
| | 3,970,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche D | | | 4.25% | # | | | 01/27/2021 | | | | 3,963,271 | |
| |
| | | | Healogics, Inc., | |
| | 4,000,000 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 07/01/2021 | | | | 3,978,340 | |
| | | | | | |
| 56 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | PharMEDium Healthcare Corporation, | |
| $ | 3,880,000 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 01/28/2021 | | | | 3,812,100 | |
| |
| | | | Select Medical Corporation, | |
| | 1,500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche E | | | 5.00% | # | | | 06/01/2018 | | | | 1,488,285 | |
| |
| | | | Surgery Center Holdings, Inc. | |
| | 2,875,000 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 07/24/2020 | | | | 2,871,406 | |
| |
| | | | Surgical Care Affiliates, Inc., | |
| | 3,950,000 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche C | | | 4.00% | # | | | 06/29/2018 | | | | 3,917,906 | |
| |
| | | | U.S. Renal Care, Inc., | |
| | 1,983,741 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/03/2019 | | | | 1,964,528 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 28,841,038 | |
| | | | | | | | | | | | | | | | |
| | HOTELS/MOTELS/INNS AND CASINOS 2.2% | |
| |
| | | | Belmond Interfin Ltd., | |
| | 1,990,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/19/2021 | | | | 1,966,787 | |
| |
| | | | Four Seasons Holdings, Inc., | |
| | 3,950,050 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 06/29/2020 | | | | 3,884,637 | |
| |
| | | | Scientific Games International, Inc., | |
| | 2,300,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 5.50% | # | | | 10/21/2021 | | | | 2,258,922 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,110,346 | |
| | | | | | | | | | | | | | | | |
| | INDUSTRIAL EQUIPMENT 6.3% | |
| |
| | | | Crosby Worldwide Ltd. | |
| | 3,970,000 | | | Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/23/2020 | | | | 3,801,275 | |
| |
| | | | Doosan Infracore International, Inc., | |
| | 3,990,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/28/2021 | | | | 3,990,000 | |
| |
| | | | Filtration Group, Inc., | |
| | 3,970,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 11/20/2020 | | | | 3,960,075 | |
| |
| | | | Jazz Acquisition, Inc., | |
| | 3,990,303 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 06/18/2021 | | | | 3,967,857 | |
| |
| | | | Rexnord LLC, | |
| | 3,960,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 08/21/2020 | | | | 3,902,719 | |
| |
| | | | TMS International Corporation, | |
| | 3,965,025 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/16/2020 | | | | 3,967,523 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 23,589,449 | |
| | | | | | | | | | | | | | | | |
| | INSURANCE 2.5% | |
| |
| | | | Applied Systems, Inc., | |
| | 4,000,000 | | | Secured 2nd Lien Term Loan, Tranche B | | | 7.50% | # | | | 01/24/2022 | | | | 4,005,000 | |
| |
| | | | Asurion LLC, | |
| | 3,200,000 | | | Senior Secured 2nd Lien Term Loan | | | 8.50% | # | | | 03/03/2021 | | | | 3,244,000 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 195,122 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 0.00% | #& | | | 10/01/2021 | | | | 194,635 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | York Risk Services Group, Inc., | |
| $ | 1,804,878 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 10/01/2021 | | | | 1,800,375 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,244,010 | |
| | | | | | | | | | | | | | | | |
| | LEISURE 7.0% | |
| |
| | | | 24 Hour Fitness Worldwide, Inc. | |
| | 3,990,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 05/28/2021 | | | | 3,975,057 | |
| |
| | | | Dave & Buster’s, Inc., | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/27/2020 | | | | 3,975,000 | |
| |
| | | | Emerald Expositions Holding, Inc., | |
| | 3,299,726 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 06/17/2020 | | | | 3,281,166 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 3,202,729 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 3,157,346 | |
| |
| | | | IMG Worldwide, Inc., | |
| | 3,990,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 05/06/2021 | | | | 3,940,125 | |
| |
| | | | Live Nation Entertainment, Inc., | |
| | 3,960,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 08/14/2020 | | | | 3,919,153 | |
| |
| | | | WMG Acquisition Corporation, | |
| | 3,955,038 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 07/01/2020 | | | | 3,825,273 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 26,073,120 | |
| | | | | | | | | | | | | | | | |
| | MEDIA 1.0% | |
| |
| | | | Media General, Inc., | |
| | 3,627,906 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.25% | # | | | 07/31/2020 | | | | 3,596,161 | |
| | | | | | | | | | | | | | | | |
| | OIL & GAS 4.4% | |
| |
| | | | Drillships Ocean Ventures, Inc., | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 07/26/2021 | | | | 3,890,000 | |
| |
| | | | Fieldwood Energy LLC, | |
| | 3,200,000 | | | Senior Secured 2nd Lien Term Loan | | | 8.38% | # | | | 09/30/2020 | | | | 3,216,800 | |
| |
| | | | Ruby Western Pipeline Holdings LLC, | |
| | 3,472,422 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 03/27/2020 | | | | 3,447,819 | |
| |
| | | | TPF II Power LLC, | |
| | 2,100,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 09/29/2021 | | | | 2,098,698 | |
| |
| | | | UTEX Industries, Inc., | |
| | 3,990,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 05/21/2021 | | | | 3,982,519 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,635,836 | |
| | | | | | | | | | | | | | | | |
| | PUBLISHING 1.0% | |
| |
| | | | Springer Science+Business Media GmbH, | |
| | 3,950,125 | | | Senior Secured 1st Lien Term Loan, Tranche B3 | | | 4.75% | # | | | 08/14/2020 | | | | 3,890,873 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 57 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | RETAILERS (OTHER THAN FOOD/DRUGS) 4.5% | |
| |
| | | | Michaels Stores, Inc. | |
| $ | 3,122,222 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 01/28/2020 | | | | 3,094,466 | |
| |
| | | | National Vision, Inc., | |
| | 3,980,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 3,885,475 | |
| |
| | | | Neiman Marcus Group Ltd., | |
| | 3,989,975 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 10/23/2020 | | | | 3,927,632 | |
| |
| | | | Serta Simmons Holdings LLC, | |
| | 1,906,263 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/01/2019 | | | | 1,891,975 | |
| |
| | | | Spin Holdco, Inc., | |
| | 3,950,125 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 3,888,424 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,687,972 | |
| | | | | | | | | | | | | | | | |
| | TELECOMMUNICATIONS 0.8% | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 3,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 2,957,625 | |
| | | | | | | | | | | | | | | | |
| | UTILITIES 1.6% | |
| |
| | | | Calpine Corporation, | |
| | 3,933,777 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.54% | # | | | 04/02/2018 | | | | 3,909,408 | |
| |
| | | | EFS Cogen Holdings I LLC, | |
| | 2,196,474 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 12/17/2020 | | | | 2,191,674 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,101,082 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $337,381,182) | | | | 334,156,608 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 2.1% | |
| $ | 7,650,000 | | | CGBAM Commercial Mortgage Trust, Series 2013-BREH-E | | | 4.50% | #^ | | | 05/15/2030 | | | | 7,671,275 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $7,703,486) | | | | 7,671,275 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 2.9% | |
| | 1,740,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 1,813,950 | |
| | 3,000,000 | | | HCA, Inc. | | | 5.00% | | | | 03/15/2024 | | | | 2,958,750 | |
| | 3,001,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 3,128,542 | |
| | 2,945,000 | | | Reynolds Group Issuer LLC | | | 5.75% | | | | 10/15/2020 | | | | 3,011,263 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $11,050,276) | | | | 10,912,505 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 11.2% | |
| | 13,988,177 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 13,988,177 | |
| | 13,988,177 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 13,988,177 | |
| | 13,988,177 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 13,988,177 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $41,964,531) | | | | 41,964,531 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 105.6%
(Cost $398,099,475) | | | | | | | | 394,704,919 | |
| | | | Liabilities in Excess of Other Assets (5.6)% | | | | (20,988,609 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | $ | 373,716,310 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
Bank Loans | | | 89.4% | |
Short Term Investments | | | 11.2% | |
US Corporate Bonds | | | 2.9% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 2.1% | |
Other Assets and Liabilities | | | (5.6)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| & | Unfunded loan commitment |
| ^ | 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, 2014, the value of these securities amounted to $7,671,275 or 2.1% of net assets. |
| ¨ | Seven-day yield as of September 30, 2014 |
| | | | | | |
| 58 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 17.4% | |
| |
| | | | Adams Mill Ltd., | |
| $ | 250,000 | | | Series 2014-1A-D1 | | | 3.70% | #^ | | | 07/15/2026 | | | | 236,848 | |
| |
| | | | ARES Ltd., | |
| | 500,000 | | | Series 2014-1A-A2 | | | 2.24% | #^ | | | 04/17/2026 | | | | 490,237 | |
| |
| | | | Avery Point Ltd., | |
| | 250,000 | | | Series 2013-2A-D | | | 3.68% | #^ | | | 07/17/2025 | | | | 238,739 | |
| | 250,000 | | | Series 2014-1A-B1 | | | 2.33% | #^ | | | 04/25/2026 | | | | 247,047 | |
| | 500,000 | | | Series 2014-1A-C | | | 3.33% | #^ | | | 04/25/2026 | | | | 498,108 | |
| | 250,000 | | | Series 2014-1A-D | | | 3.73% | #^ | | | 04/25/2026 | | | | 237,866 | |
| |
| | | | Birchwood Park Ltd., | |
| | 500,000 | | | Series 2014-1A-C2 | | | 3.38% | #^ | | | 07/15/2026 | | | | 501,880 | |
| | 500,000 | | | Series 2014-1A-D2 | | | 1.43% | #^ | | | 07/15/2026 | | | | 499,364 | |
| |
| | | | Black Diamond Ltd., | |
| | 313,784 | | | Series 2005-2A-A | | | 0.49% | #^ | | | 01/07/2018 | | | | 310,390 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 500,000 | | | Series 2014-3A-B | | | 3.38% | #^ | | | 07/27/2026 | | | | 499,494 | |
| | 500,000 | | | Series 2014-3A-C2 | | | 4.43% | #^ | | | 07/27/2026 | | | | 498,321 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 449,448 | | | Series 2005-7A-D1 | | | 1.93% | #^ | | | 09/30/2019 | | | | 447,562 | |
| | 500,000 | | | Series 2006-8A-B | | | 0.61% | #^ | | | 05/21/2021 | | | | 482,312 | |
| |
| | | | Catamaran Ltd., | |
| | 250,000 | | | Series 2014-1A-A2 | | | 2.03% | #^ | | | 04/20/2026 | | | | 240,794 | |
| | 250,000 | | | Series 2014-1A-B | | | 2.85% | #^ | | | 04/20/2026 | | | | 241,736 | |
| |
| | | | Cent Ltd., | |
| | 500,000 | | | Series 2014-22A-B | | | 3.43% | #^ | | | 11/07/2026 | | | | 500,000 | |
| | 250,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 238,550 | |
| |
| | | | Cornerstone Ltd., | |
| | 250,000 | | | Series 2007-1A-A1S | | | 0.45% | #^ | | | 07/15/2021 | | | | 248,511 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 800,000 | | | Series 2006-11A-C1 | | | 1.83% | #^ | | | 04/12/2020 | | | | 776,312 | |
| |
| | | | Flatiron Ltd., | |
| | 500,000 | | | Series 2013-1 | | | 2.98% | #^ | | | 01/17/2026 | | | | 487,082 | |
| | 250,000 | | | Series 2014-1A-B | | | 3.09% | #^ | | | 07/17/2026 | | | | 246,742 | |
| | 250,000 | | | Series 2014-1A-C | | | 3.54% | #^ | | | 07/17/2026 | | | | 236,026 | |
| |
| | | | Galaxy Ltd., | |
| | 250,000 | | | Series 2014-18A-D1 | | | 3.93% | #^ | | | 10/15/2026 | | | | 240,505 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 700,000 | | | Series 2012-6A-D | | | 4.43% | #^ | | | 04/17/2022 | | | | 700,863 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 500,000 | | | Series 2012-1X-A2 | | | 2.73% | # | | | 08/15/2023 | | | | 499,346 | |
| | 500,000 | | | Series 2013-2A-C | | | 2.94% | #^ | | | 08/01/2025 | | | | 484,958 | |
| | 250,000 | | | Series 2013-2A-D | | | 4.04% | #^ | | | 08/01/2025 | | | | 240,745 | |
| | 250,000 | | | Series 2014-1A-X | | | 1.28% | #^ | | | 04/18/2026 | | | | 249,982 | |
| | 500,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 467,245 | |
| |
| | | | ING Ltd., | |
| | 500,000 | | | Series 2012-1RA-A2R | | | 2.08% | #^ | | | 03/14/2022 | | | | 499,882 | |
| | 500,000 | | | Series 2012-1RA-BR | | | 2.98% | #^ | | | 03/14/2022 | | | | 500,588 | |
| |
| | | | LCM LP, | |
| | 500,000 | | | Series 10AR-BR | | | 2.13% | #^ | | | 04/15/2022 | | | | 500,062 | |
| | 500,000 | | | Series 10AR-CR | | | 3.08% | #^ | | | 04/15/2022 | | | | 500,267 | |
| | 500,000 | | | Series 11A-B | | | 2.38% | #^ | | | 04/19/2022 | | | | 500,367 | |
| | 250,000 | | | Series 11A-D2 | | | 4.18% | #^ | | | 04/19/2022 | | | | 250,564 | |
| | 750,000 | | | Series 12A-D | | | 4.73% | #^ | | | 10/19/2022 | | | | 751,595 | |
| | 500,000 | | | Series 14A-D | | | 3.73% | #^ | | | 07/15/2025 | | | | 478,433 | |
| | 250,000 | | | Series 15A-C | | | 3.33% | #^ | | | 08/25/2024 | | | | 250,037 | |
| | 250,000 | | | Series 16A-D | | | 3.86% | #^ | | | 07/15/2026 | | | | 239,488 | |
| | 500,000 | | | Series 5A-C | | | 0.90% | #^ | | | 03/21/2019 | | | | 483,059 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 250,000 | | | Series 2012-9X-C1 | | | 3.83% | # | | | 08/15/2022 | | | | 250,306 | |
| | 250,000 | | | Series 2014-13A-D | | | 3.58% | #^ | | | 01/19/2025 | | | | 238,172 | |
| | 250,000 | | | Series 2014-13A-X | | | 1.23% | #^ | | | 01/19/2025 | | | | 250,056 | |
| | 250,000 | | | Series 2014-14A-C1 | | | 3.33% | #^ | | | 07/20/2026 | | | | 249,442 | |
| | 250,000 | | | Series 2014-14A-D | | | 3.83% | #^ | | | 07/20/2026 | | | | 239,890 | |
| |
| | | | Nautique Funding Ltd., | |
| | 500,000 | | | Series 2006-1A-C | | | 1.93% | #^ | | | 04/15/2020 | | | | 480,695 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | North End Ltd., | |
| $ | 500,000 | | | Series 2013-1A-C | | | 2.98% | #^ | | | 07/17/2025 | | | | 493,266 | |
| | 250,000 | | | Series 2013-1A-D | | | 3.73% | #^ | | | 07/17/2025 | | | | 238,482 | |
| |
| | | | OCP Ltd., | |
| | 250,000 | | | Series 2012-2A-A2 | | | 1.71% | #^ | | | 11/22/2023 | | | | 250,119 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 500,000 | | | Series 2014-1A-B | | | 3.43% | #^ | | | 11/14/2026 | | | | 500,000 | |
| | 750,000 | | | Series 2014-1A-C | | | 3.88% | #^ | | | 11/14/2026 | | | | 718,170 | |
| |
| | | | OZLM Funding Ltd., | |
| | 500,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 500,081 | |
| |
| | | | Pinnacle Park Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.33% | #^ | | | 04/15/2026 | | | | 498,586 | |
| |
| | | | Race Point Ltd., | |
| | 165,577 | | | Series 2007-4A-A1A | | | 0.44% | #^ | | | 08/01/2021 | | | | 164,287 | |
| | 500,000 | | | Series 2007-4A-D | | | 2.24% | #^ | | | 08/01/2021 | | | | 489,638 | |
| | 250,000 | | | Series 2012-6RA-CR | | | 3.34% | #^ | | | 05/24/2023 | | | | 248,289 | |
| | 250,000 | | | Series 2012-6RA-DR | | | 4.34% | #^ | | | 05/24/2023 | | | | 248,169 | |
| |
| | | | Slater Mill Loan Fund, | |
| | 500,000 | | | Series 2012-1A-B | | | 2.88% | #^ | | | 08/17/2022 | | | | 500,985 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 500,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 10/30/2026 | | | | 497,000 | |
| |
| | | | Steele Creek Ltd., | |
| | 250,000 | | | Series 2014-1A-A1 | | | 1.83% | #^ | | | 08/21/2026 | | | | 249,993 | |
| |
| | | | Thacher Park Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.28% | #^ | | | 10/20/2026 | | | | 500,000 | |
| | 500,000 | | | Series 2014-1A-D1 | | | 3.76% | #^ | | | 10/20/2026 | | | | 478,500 | |
| |
| | | | Venture Ltd., | |
| | 600,000 | | | Series 2005-1A-A2 | | | 0.68% | #^ | | | 11/22/2018 | | | | 595,446 | |
| | 500,000 | | | Series 2012-10A-C | | | 3.48% | #^ | | | 07/20/2022 | | | | 498,722 | |
| | 500,000 | | | Series 2013-14A-B1 | | | 2.09% | #^ | | | 08/28/2025 | | | | 485,792 | |
| | 250,000 | | | Series 2014-16A-A1L | | | 1.87% | #^ | | | 04/15/2026 | | | | 250,083 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $26,387,057) | | | | 26,356,076 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 20.3% | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 214,750 | |
| | 200,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 208,250 | |
| | 400,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 416,500 | |
| | 200,000 | | | Andrade Gutierrez International S.A. | | | 4.00% | | | | 04/30/2018 | | | | 198,000 | |
| | 215,000 | | | Australia and New Zealand Banking Group Ltd. | | | 3.25% | ^ | | | 03/01/2016 | | | | 222,766 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 213,000 | |
| | 175,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 187,031 | |
| | 400,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 401,000 | |
| | 400,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 409,000 | |
| | 400,000 | | | Banco de Credito del Peru | | | 2.75% | ^ | | | 01/09/2018 | | | | 401,000 | |
| | 400,000 | | | Banco de Credito e Inversiones | | | 3.00% | | | | 09/13/2017 | | | | 411,600 | |
| | 500,000 | | | Banco del Estado de Chile | | | 4.13% | | | | 10/07/2020 | | | | 524,394 | |
| | 600,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 591,000 | |
| | 200,000 | | | Banco International del Peru S.A.A. | | | 5.75% | | | | 10/07/2020 | | | | 216,500 | |
| | 200,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 208,000 | |
| | 250,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 265,937 | |
| | 400,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 404,000 | |
| | 300,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 330,000 | |
| | 600,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 634,500 | |
| | 500,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 540,000 | |
| | 225,000 | | | Bank Of Montreal | | | 1.30% | | | | 07/15/2016 | | | | 226,911 | |
| | 250,000 | | | Bank Of Nova Scotia | | | 2.55% | | | | 01/12/2017 | | | | 257,842 | |
| | 400,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 407,400 | |
| | 500,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 522,500 | |
| | 250,000 | | | BP Capital Markets PLC | | | 1.85% | | | | 05/05/2017 | | | | 252,832 | |
| | 125,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 141,191 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 59 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 50,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 52,750 | |
| | 400,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 430,200 | |
| | 200,000 | | | Cemex S.A.B. de C.V. | | | 4.98% | # | | | 10/15/2018 | | | | 212,500 | |
| | 300,000 | | | Cemex S.A.B. de C.V. | | | 5.88% | | | | 03/25/2019 | | | | 302,250 | |
| | 500,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 542,500 | |
| | 200,000 | | | CNPC General Capital Ltd. | | | 1.13% | #^ | | | 05/14/2017 | | | | 200,589 | |
| | 600,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 626,250 | |
| | 200,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 200,877 | |
| | 200,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 200,000 | |
| | 200,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 200,000 | |
| | 500,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 520,000 | |
| | 400,000 | | | DBS Bank Ltd. | | | 0.84% | # | | | 07/15/2021 | | | | 394,400 | |
| | 200,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 202,366 | |
| | 140,000 | | | Diageo Capital PLC | | | 1.50% | | | | 05/11/2017 | | | | 140,790 | |
| | 200,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 207,000 | |
| | 200,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 207,020 | |
| | 200,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 200,100 | |
| | 200,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 214,600 | |
| | 550,356 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 569,580 | |
| | 400,000 | | | Ferreycorp S.A.A. | | | 4.88% | | | | 04/26/2020 | | | | 398,000 | |
| | 500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 502,500 | |
| | 400,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 413,000 | |
| | 200,000 | | | Globo Communicacao e Participacoes S.A. | | | 6.25% | #† | | | 07/20/2015 | | | | 208,250 | |
| | 200,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 213,100 | |
| | 500,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 530,000 | |
| | 700,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 759,500 | |
| | 400,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 428,000 | |
| | 450,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 488,250 | |
| | 500,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 533,125 | |
| | 400,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 419,000 | |
| | 110,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 105,462 | |
| | 100,000 | | | Intercorp Retail Trust | | | 8.88% | | | | 11/14/2018 | | | | 113,500 | |
| | 400,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 422,376 | |
| | 600,000 | | | JBS Investments GmbH | | | 7.75% | | | | 10/28/2020 | | | | 640,500 | |
| | 100,000 | | | Korea Development Bank | | | 3.25% | | | | 03/09/2016 | | | | 103,101 | |
| | 100,000 | | | LPG International, Inc. | | | 7.25% | | | | 12/20/2015 | | | | 106,500 | |
| | 400,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 390,200 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 195,100 | |
| | 200,000 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 200,500 | |
| | 200,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 191,500 | |
| | 200,000 | | | Millicom International Cellular S.A. | | | 6.63% | ^ | | | 10/15/2021 | | | | 208,500 | |
| | 400,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 417,000 | |
| | 600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 613,500 | |
| | 100,000 | | | National Australia Bank Ltd. | | | 3.00% | ^ | | | 07/27/2016 | | | | 103,780 | |
| | 200,000 | | | OAS Investments GmbH | | | 8.25% | | | | 10/19/2019 | | | | 196,742 | |
| | 150,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/14/2015 | | | | 152,250 | |
| | 195,220 | | | Odebrecht Offshore Drilling | | | 6.63% | ^ | | | 10/01/2022 | | | | 202,053 | |
| | 225,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 231,875 | |
| | 600,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 606,800 | |
| | 500,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 508,750 | |
| | 430,339 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 405,762 | |
| | 154,850 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 168,012 | |
| | 200,000 | | | Rearden G Holdings EINS GmbH | | | 7.88% | | | | 03/30/2020 | | | | 211,000 | |
| | 250,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 261,892 | |
| | 250,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 258,253 | |
| | 70,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 75,950 | |
| | 200,000 | | | Sigma Alimentos S.A. | | | 6.88% | | | | 12/16/2019 | | | | 233,000 | |
| | 190,000 | | | Southern Copper Corporation | | | 1.95% | | | | 09/01/2016 | | | | 193,830 | |
| | 300,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 305,282 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 208,100 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 416,200 | |
| | 400,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 427,000 | |
| | 200,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 195,500 | |
| | 200,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | | | | 07/22/2019 | | | | 195,500 | |
| | 300,000 | | | United Overseas Bank Ltd. | | | 2.88% | # | | | 10/17/2022 | | | | 303,570 | |
| | 500,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 504,465 | |
| | 400,000 | | | Vedanta Resources PLC | | | 6.00% | | | | 01/31/2019 | | | | 406,000 | |
| | 700,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 726,250 | |
| | 250,000 | | | Westpac Banking Corporation | | | 2.00% | | | | 08/14/2017 | | | | 253,921 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $30,814,330) | | | | 30,781,877 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.3% |
|
| | 200,000 | | | Banco Nacional de Desenvolvimento Economico e Social | | | 4.00% | | | | 04/14/2019 | | | | 201,190 | |
| | 226,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 234,057 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $437,703) | | | | 435,247 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 12.5% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 200,000 | | | Series 2014-IP-E | | | 2.81% | #^ | | | 06/15/2028 | | | | 197,474 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 400,000 | | | Series 2005-3-AM | | | 4.73% | | | | 07/10/2043 | | | | 407,940 | |
| | 350,000 | | | Series 2006-5-AM | | | 5.45% | | | | 09/10/2047 | | | | 375,439 | |
| | 300,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 315,798 | |
| | 500,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 536,177 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities Trust, | |
| | 110,000 | | | Series 2004-PWR4-D | | | 5.83% | # | | | 06/11/2041 | | | | 116,275 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 300,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 310,909 | |
| | 200,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 202,498 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 350,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 367,958 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 300,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 306,502 | |
| | 350,000 | | | Series 2007-C3-AM | | | 5.97% | # | | | 05/15/2046 | | | | 380,992 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 110,000 | | | Series 2006-C7-AM | | | 5.78% | # | | | 06/10/2046 | | | | 117,327 | |
| | 115,000 | | | Series 2006-C8-AM | | | 5.35% | | | | 12/10/2046 | | | | 124,126 | |
| | 3,242,103 | | | Series 2014-CR17-XA | | | 1.21% | # I/O | | | 05/10/2047 | | | | 250,418 | |
| | 300,000 | | | Series 2014-CR19-C | | | 4.72% | # | | | 08/10/2047 | | | | 306,631 | |
| | 350,000 | | | Series 2014-KY0-F | | | 3.65% | #^ | | | 06/11/2027 | | | | 349,719 | |
| | 110,000 | | | Series 2014-TWC-C | | | 2.01% | #^ | | | 02/13/2032 | | | | 110,384 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 110,000 | | | Series 2005-C2-AMFX | | | 4.88% | | | | 04/15/2037 | | | | 110,952 | |
| | 310,000 | | | Series 2005-C6-AJ | | | 5.23% | # | | | 12/15/2040 | | | | 321,671 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 100,000 | | | Series 2006-C1-C | | | 5.64% | # | | | 02/15/2039 | | | | 102,778 | |
| | 350,000 | | | Series 2006-C3-AM | | | 6.00% | # | | | 06/15/2038 | | | | 374,346 | |
| | 110,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 117,885 | |
| | 90,000 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 96,533 | |
| | 350,000 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 379,416 | |
| | 300,000 | | | Series 2007-C4-A1AM | | | 6.10% | # | | | 09/15/2039 | | | | 325,808 | |
| | 300,000 | | | Series 2014-SURF-E | | | 3.26% | #^ | | | 02/15/2029 | | | | 301,115 | |
| | 10,092,000 | | | Series 2014-USA-X1 | | | 0.55% | #^ I/O | | | 09/15/2037 | | | | 495,518 | |
| |
| | | | Grace Mortgage Trust, | |
| | 350,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 359,563 | |
| | | | | | |
| 60 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| $ | 300,000 | | | Series 2006-GG7-AJ | | | 5.82% | # | | | 07/10/2038 | | | | 312,285 | |
| | 550,000 | | | Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 575,050 | |
| | 250,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 273,353 | |
| | 550,000 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 582,631 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 350,000 | | | Series 2006-GG6-AJ | | | 5.52% | # | | | 04/10/2038 | | | | 361,600 | |
| | 115,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 118,218 | |
| | 300,000 | | | Series 2013-KING-C | | | 3.44% | #^ | | | 12/10/2027 | | | | 302,308 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 200,000 | | | Series 2005-CB12-B | | | 4.97% | # | | | 09/12/2037 | | | | 193,315 | |
| | 300,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 312,438 | |
| | 300,000 | | | Series 2007-CIBC19-AM | | | 5.70% | # | | | 02/12/2049 | | | | 322,421 | |
| | 350,000 | | | Series 2007-CIBC20 | | | 6.07% | # | | | 02/12/2051 | | | | 372,239 | |
| | 350,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 358,358 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 500,000 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 504,725 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2006-C7-AM | | | 5.38% | | | | 11/15/2038 | | | | 161,183 | |
| | 300,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 310,597 | |
| | 179,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 190,623 | |
| |
| | | | Madison Avenue Trust, | |
| | 300,000 | | | Series 2013-650M-D | | | 4.03% | #^ | | | 10/12/2032 | | | | 304,819 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 500,000 | | | Series 2005-CIP1-AM | | | 5.11% | # | | | 07/12/2038 | | | | 513,869 | |
| | 250,000 | | | Series 2006-C1-AJ | | | 5.67% | # | | | 05/12/2039 | | | | 252,411 | |
| | 150,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 152,963 | |
| | 100,000 | | | Series 2006-C2-AM | | | 5.78% | # | | | 08/12/2043 | | | | 107,340 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 300,000 | | | Series 2006-1 | | | 5.57% | # | | | 02/12/2039 | | | | 312,436 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 5,436,880 | | | Series 2013-C12-XA | | | 1.18% | # I/O | | | 10/15/2046 | | | | 289,682 | |
| | 500,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 492,889 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 310,000 | | | Series 2005-HQ7-AJ | | | 5.21% | # | | | 11/14/2042 | | | | 320,126 | |
| | 94,000 | | | Series 2005-HQ7-AM | | | 5.21% | # | | | 11/14/2042 | | | | 97,611 | |
| | 500,000 | | | Series 2006-HQ8-AJ | | | 5.49% | # | | | 03/12/2044 | | | | 518,541 | |
| | 500,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 524,903 | |
| | 175,000 | | | Series 2014-CPT-E | | | 3.45% | #^ | | | 07/13/2029 | | | | 172,940 | |
| | 175,000 | | | Series 2014-CPT-F | | | 3.45% | #^ | | | 07/13/2029 | | | | 166,093 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 110,000 | | | Series 2005-C22-AM | | | 5.50% | # | | | 12/15/2044 | | | | 114,773 | |
| | 250,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 256,176 | |
| | 110,000 | | | Series 2006-C28-AM | | | 5.60% | # | | | 10/15/2048 | | | | 118,460 | |
| | 300,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 321,420 | |
| | 500,000 | | | Series 2007-C33-AJ | | | 6.14% | # | | | 02/15/2051 | | | | 523,054 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 3,971,480 | | | Series 2014-C19-XA | | | 1.49% | # I/O | | | 03/15/2047 | | | | 320,663 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $18,959,409) | | | | 18,894,665 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 16.0% |
|
| |
| | | | Chase Mortgage Finance Trust, | |
| | 40,000 | | | Series 2004-S3-2A4 | | | 5.50% | | | | 03/25/2034 | | | | 41,034 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 238,717 | | | Series 2004-33-1A1 | | | 2.74% | # | | | 12/25/2034 | | | | 234,970 | |
| | 1,564,257 | | | Series 2005-23CB-A15 | | | 5.50% | | | | 07/25/2035 | | | | 1,512,990 | |
| |
| | | | Countrywide Home Loans, | |
| | 2,295,798 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 2,267,167 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 50,384 | | | Series 2004-8-6A1 | | | 4.50% | | | | 12/25/2019 | | | | 51,386 | |
| | 210,000 | | | Series 2005-11-8A5 | | | 6.00% | | | | 12/25/2035 | | | | 209,555 | |
| | 2,360,939 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 2,092,715 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| $ | 1,000,000 | | | Series 2011-5R-6A9 | | | 2.66% | #^ | | | 11/27/2037 | | | | 929,878 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 1,935,928 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 1,574,544 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 954,837 | | | Series 2014-RS1-1A2 | | | 8.77% | #^ | | | 07/27/2037 | | | | 778,569 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 200,471 | | | Series 2005-J1-A6 | | | 6.00% | | | | 12/25/2035 | | | | 199,806 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 80,041 | | | Series 2004-2F-14A1 | | | 5.50% | | | | 09/25/2019 | | | | 81,784 | |
| | 1,414,458 | | | Series 2006-2F-3A4 | | | 6.00% | | | | 02/25/2036 | | | | 1,242,303 | |
| |
| | | | Home Equity Mortgage Loan Asset-Backed Trust, | |
| | 216,934 | | | Series 2006-D-2A2 | | | 0.26% | # | | | 11/25/2036 | | | | 214,260 | |
| |
| | | | Home Equity Mortgage Trust, | |
| | 190,057 | | | Series 2003-6-M2 | | | 2.35% | # | | | 03/25/2034 | | | | 185,610 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 488,922 | | | Series 2006-2-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 350,881 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 661,903 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 558,446 | |
| |
| | | | Lehman XS Trust, | |
| | 59,368 | | | Series 2005-6-3A2B | | | 5.42% | # | | | 11/25/2035 | | | | 59,609 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 516,716 | | | Series 2006-2-2A1 | | | 2.59% | # | | | 04/25/2036 | | | | 488,849 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 825,163 | | | Series 2007-F1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 629,474 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 757,973 | | | Series 2006-2-7A1 | | | 5.58% | # | | | 02/25/2036 | | | | 720,313 | |
| |
| | | | NovaStar Mortgage Funding Trust, | |
| | 231,320 | | | Series 2005-4-A2C | | | 0.39% | # | | | 01/25/2036 | | | | 230,650 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 2,264,105 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 1,860,526 | |
| | 2,900,246 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 2,458,489 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 924,528 | | | Series 2005-EFC7-AI3 | | | 0.40% | # | | | 04/25/2034 | | | | 869,367 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 1,428,628 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 1,179,211 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 1,250,000 | | | Series 2013-1A-B2 | | | 6.00% | #^ | | | 06/25/2058 | | | | 1,321,296 | |
| | 1,250,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 1,281,471 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 68,149 | | | Series 2006-8-4A2 | | | 5.43% | # | | | 09/25/2036 | | | | 68,149 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 298,578 | | | Series 2006-5-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 249,424 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 204,951 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 195,431 | |
| |
| | | | Wells Fargo Mortgage Backed Securities, | |
| | 69,877 | | | Series 2005-9-2A2 | | | 5.25% | | | | 10/25/2035 | | | | 71,494 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $24,071,461) | | | | 24,209,651 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 10.7% | |
| | 85,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 88,612 | |
| | 107,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 107,267 | |
| | 60,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 63,450 | |
| | 151,000 | | | American Express Credit Corporation | | | 1.30% | | | | 07/29/2016 | | | | 152,075 | |
| | 250,000 | | | Amgen, Inc. | | | 2.13% | | | | 05/15/2017 | | | | 254,615 | |
| | 176,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 1.38% | | | | 07/15/2017 | | | | 175,885 | |
| | 65,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 63,700 | |
| | 200,000 | | | AT&T, Inc. | | | 1.70% | | | | 06/01/2017 | | | | 201,776 | |
| | 65,000 | | | Athlon Holdings LP | | | 7.38% | | | | 04/15/2021 | | | | 71,012 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 61 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 145,000 | | | Atlas Pipeline Partners LP | | | 4.75% | | | | 11/15/2021 | | | | 135,756 | |
| | 140,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 139,650 | |
| | 247,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 246,120 | |
| | 173,000 | | | BB&T Corporation | | | 2.15% | | | | 03/22/2017 | | | | 175,917 | |
| | 200,000 | | | Berkshire Hathaway Finance Corporation | | | 0.95% | | | | 08/15/2016 | | | | 200,822 | |
| | 145,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 139,744 | |
| | 40,000 | | | Biomet, Inc. | | | 6.50% | | | | 08/01/2020 | | | | 42,500 | |
| | 225,000 | | | Boeing Company | | | 3.75% | | | | 11/20/2016 | | | | 238,392 | |
| | 250,000 | | | Caterpillar Financial Services Corporation | | | 1.00% | | | | 03/03/2017 | | | | 249,261 | |
| | 120,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 117,900 | |
| | 105,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 109,462 | |
| | 130,000 | | | Cinemark USA, Inc. | | | 7.38% | | | | 06/15/2021 | | | | 139,750 | |
| | 270,000 | | | Citigroup, Inc. | | | 1.35% | | | | 03/10/2017 | | | | 269,434 | |
| | 110,000 | | | Comcast Corporation | | | 6.50% | | | | 01/15/2017 | | | | 123,252 | |
| | 55,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 54,175 | |
| | 250,000 | | | ConocoPhillips Company | | | 1.05% | | | | 12/15/2017 | | | | 246,738 | |
| | 220,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 248,697 | |
| | 225,000 | | | Daimler Finance North America LLC | | | 1.45% | ^ | | | 08/01/2016 | | | | 226,674 | |
| | 150,000 | | | Devon Energy Corporation | | | 1.88% | | | | 05/15/2017 | | | | 151,472 | |
| | 225,000 | | | DIRECTV Holdings LLC | | | 2.40% | | | | 03/15/2017 | | | | 230,160 | |
| | 250,000 | | | Dow Chemical Company | | | 2.50% | | | | 02/15/2016 | | | | 255,513 | |
| | 250,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 251,161 | |
| | 195,000 | | | eBay, Inc. | | | 1.35% | | | | 07/15/2017 | | | | 194,317 | |
| | 226,000 | | | Ecolab, Inc. | | | 3.00% | | | | 12/08/2016 | | | | 234,689 | |
| | 105,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 103,425 | |
| | 85,000 | | | Equinix, Inc. | | | 7.00% | | | | 07/15/2021 | | | | 91,375 | |
| | 170,000 | | | ERP Operating LP | | | 5.75% | | | | 06/15/2017 | | | | 189,195 | |
| | 125,000 | | | Express Scripts Holding Company | | | 2.65% | | | | 02/15/2017 | | | | 128,612 | |
| | 100,000 | | | Express Scripts Holding Company | | | 1.25% | | | | 06/02/2017 | | | | 99,274 | |
| | 115,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 128,225 | |
| | 145,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 140,650 | |
| | 120,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 113,400 | |
| | 200,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 207,835 | |
| | 125,000 | | | General Mills, Inc. | | | 5.70% | | | | 02/15/2017 | | | | 138,166 | |
| | 252,000 | | | Gilead Sciences, Inc. | | | 3.05% | | | | 12/01/2016 | | | | 262,640 | |
| | 235,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 10/01/2016 | | | | 255,291 | |
| | 130,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 139,912 | |
| | 135,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 138,712 | |
| | 55,000 | | | H.J. Heinz Company | | | 4.25% | | | | 10/15/2020 | | | | 54,794 | |
| | 105,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 109,462 | |
| | 225,000 | | | Hewlett-Packard Company | | | 3.30% | | | | 12/09/2016 | | | | 234,888 | |
| | 135,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 136,350 | |
| | 65,000 | | | Hilcorp Energy LP | | | 5.00% | ^ | | | 12/01/2024 | | | | 62,644 | |
| | 145,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 143,187 | |
| | 195,000 | | | John Deere Capital Corporation | | | 1.40% | | | | 03/15/2017 | | | | 196,557 | |
| | 240,000 | | | JP Morgan Chase & Company | | | 3.15% | | | | 07/05/2016 | | | | 248,453 | |
| | 120,000 | | | Kellogg Company | | | 1.75% | | | | 05/17/2017 | | | | 121,019 | |
| | 213,000 | | | Kinder Morgan Energy Partners LP | | | 6.00% | | | | 02/01/2017 | | | | 234,177 | |
| | 152,000 | | | Kraft Foods, Inc. | | | 4.13% | | | | 02/09/2016 | | | | 158,650 | |
| | 155,000 | | | Kroger Company | | | 2.20% | | | | 01/15/2017 | | | | 158,061 | |
| | 75,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 76,312 | |
| | 130,000 | | | Louisiana-Pacific Corporation | | | 7.50% | | | | 06/01/2020 | | | | 139,100 | |
| | 60,000 | | | Manitowoc Company, Inc. | | | 8.50% | | | | 11/01/2020 | | | | 64,800 | |
| | 100,000 | | | McKesson Corporation | | | 1.29% | | | | 03/10/2017 | | | | 99,705 | |
| | 105,000 | | | Memorial Production Partners LP | | | 6.88% | ^ | | | 08/01/2022 | | | | 100,800 | |
| | 200,000 | | | Metropolitan Life Global Funding | | | 1.50% | ^ | | | 01/10/2018 | | | | 198,498 | |
| | 130,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 137,800 | |
| | 80,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 84,600 | |
| | 253,000 | | | Morgan Stanley | | | 1.75% | | | | 02/25/2016 | | | | 255,787 | |
| | 25,000 | | | MPT Operating Partnership LP | | | 6.38% | | | | 02/15/2022 | | | | 26,813 | |
| | 190,000 | | | Mylan, Inc. | | | 1.80% | | | | 06/24/2016 | | | | 192,300 | |
| | 250,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 1.10% | | | | 01/27/2017 | | | | 249,739 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 45,000 | | | NCL Corporation Ltd. | | | 5.00% | | | | 02/15/2018 | | | | 45,675 | |
| | 65,000 | | | Oasis Petroleum, Inc. | | | 6.88% | | | | 03/15/2022 | | | | 68,900 | |
| | 125,000 | | | ONEOK Partners LP | | | 3.25% | | | | 02/01/2016 | | | | 128,925 | |
| | 150,000 | | | Phillips 66 | | | 2.95% | | | | 05/01/2017 | | | | 155,948 | |
| | 135,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 137,700 | |
| | 240,000 | | | PNC Funding Corporation | | | 2.70% | | | | 09/19/2016 | | | | 247,763 | |
| | 105,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 104,213 | |
| | 145,000 | | | Procter & Gamble Company | | | 0.75% | | | | 11/04/2016 | | | | 145,029 | |
| | 140,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 141,050 | |
| | 155,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 152,675 | |
| | 100,000 | | | Reynolds Group Issuer LLC | | | 9.00% | | | | 04/15/2019 | | | | 104,625 | |
| | 130,000 | | | RR Donnelley & Sons Company | | | 7.88% | | | | 03/15/2021 | | | | 143,325 | |
| | 135,000 | | | Safway Group Holding LLC | | | 7.00% | ^ | | | 05/15/2018 | | | | 138,038 | |
| | 65,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 66,625 | |
| | 105,000 | | | Sanchez Energy Corporation | | | 6.13% | ^ | | | 01/15/2023 | | | | 104,244 | |
| | 85,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 86,700 | |
| | 85,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 85,425 | |
| | 70,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 71,050 | |
| | 110,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 105,875 | |
| | 225,000 | | | Simon Property Group LP | | | 2.15% | | | | 09/15/2017 | | | | 229,886 | |
| | 95,000 | | | Smithfield Foods, Inc. | | | 5.88% | ^ | | | 08/01/2021 | | | | 96,425 | |
| | 70,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 69,825 | |
| | 50,000 | | | Southwest Airlines Company | | | 5.75% | | | | 12/15/2016 | | | | 54,678 | |
| | 25,000 | | | Southwest Airlines Company | | | 5.13% | | | | 03/01/2017 | | | | 26,999 | |
| | 105,000 | | | Spectrum Brands, Inc. | | | 6.63% | | | | 11/15/2022 | | | | 110,775 | |
| | 65,000 | | | Steel Dynamics, Inc. | | | 5.13% | ^ | | | 10/01/2021 | | | | 65,975 | |
| | 80,000 | | | Sysco Corporation | | | 1.45% | | | | 10/02/2017 | | | | 80,167 | |
| | 85,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 88,825 | |
| | 200,000 | | | Thomson Reuters Corporation | | | 1.30% | | | | 02/23/2017 | | | | 199,771 | |
| | 195,000 | | | Toyota Motor Credit Corporation | | | 1.75% | | | | 05/22/2017 | | | | 197,602 | |
| | 100,000 | | | TransDigm, Inc. | | | 6.00% | ^ | | | 07/15/2022 | | | | 98,875 | |
| | 140,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 141,400 | |
| | 125,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 136,563 | |
| | 170,000 | | | Valero Energy Corporation | | | 6.13% | | | | 06/15/2017 | | | | 190,010 | |
| | 95,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 103,788 | |
| | 120,000 | | | Wal-Mart Stores, Inc. | | | 5.38% | | | | 04/05/2017 | | | | 132,773 | |
| | 150,000 | | | Waste Management, Inc. | | | 2.60% | | | | 09/01/2016 | | | | 154,421 | |
| | 35,000 | | | WCI Communities, Inc. | | | 6.88% | ^ | | | 08/15/2021 | | | | 35,263 | |
| | 40,000 | | | WCI Communities, Inc. | | | 6.88% | | | | 08/15/2021 | | | | 40,300 | |
| | 250,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 249,924 | |
| | 125,000 | | | Wells Fargo & Company | | | 2.10% | | | | 05/08/2017 | | | | 127,565 | |
| | 200,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 207,127 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $16,459,941) | | | | 16,293,878 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 1.5% | |
| | |
| | | | Federal Home Loan Mortgage Corporation, | | | | | |
| | 1,394,833 | | | Series 3417-SM | | | 6.13% | # I/F I/O | | | 02/15/2038 | | | | 239,956 | |
| | 895,449 | | | Series 3923-PW | | | 7.00% | | | | 12/15/2040 | | | | 986,114 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 1,021,443 | | | Pool MA1200 | | | 3.00% | | | | 10/01/2032 | | | | 1,041,310 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $2,242,830) | | | | 2,267,380 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 62 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT BONDS AND NOTES 4.6% | |
| $ | 1,090,000 | | | United States Treasury Notes | | | 1.75% | | | | 05/31/2016 | | | | 1,113,759 | |
| | 1,070,000 | | | United States Treasury Notes | | | 1.50% | | | | 06/30/2016 | | | | 1,089,060 | |
| | 1,280,000 | | | United States Treasury Notes | | | 1.00% | | | | 08/31/2016 | | | | 1,290,550 | |
| | 890,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/30/2016 | | | | 896,779 | |
| | 1,020,000 | | | United States Treasury Notes | | | 1.00% | | | | 10/31/2016 | | | | 1,027,411 | |
| | 740,000 | | | United States Treasury Notes | | | 0.88% | | | | 11/30/2016 | | | | 742,833 | |
| | 820,000 | | | United States Treasury Notes | | | 0.75% | | | | 01/15/2017 | | | | 819,583 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $6,979,811) | | | | 6,979,975 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 11.4% (a) | |
| | 920,520 | | | DoubleLine Core Fixed Income Fund | | | | | | | | | | | 10,070,490 | |
| | 719,547 | | | DoubleLine Floating Rate Fund | | | | | | | | | | | 7,209,860 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $17,411,420) | | | | 17,280,350 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 5.1% | |
| | 2,577,626 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 2,577,626 | |
| | 2,577,626 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 2,577,626 | |
| | 2,577,626 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 2,577,626 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $7,732,878) | | | | 7,732,878 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.8%
(Cost $151,496,840) | | | | 151,231,977 | |
| | | | Other Assets in Excess of Liabilities 0.2% | | | | 279,787 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 151,511,764 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
Foreign Corporate Bonds | | | 20.3% | |
Collateralized Loan Obligations | | | 17.4% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 16.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 12.5% | |
Affiliated Mutual Funds | | | 11.4% | |
US Corporate Bonds | | | 10.7% | |
Short Term Investments | | | 5.1% | |
US Government Bonds and Notes | | | 4.6% | |
US Government / Agency Mortgage Backed Obligations | | | 1.5% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.3% | |
Other Assets and Liabilities | | | 0.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | |
United States | | | 79.2% | |
Mexico | | | 2.9% | |
Colombia | | | 2.8% | |
Brazil | | | 2.7% | |
Peru | | | 2.3% | |
Chile | | | 2.1% | |
Singapore | | | 1.2% | |
Guatemala | | | 1.1% | |
Panama | | | 0.8% | |
Paraguay | | | 0.6% | |
Costa Rica | | | 0.5% | |
India | | | 0.4% | |
Barbados | | | 0.4% | |
Jamaica | | | 0.4% | |
Australia | | | 0.4% | |
Canada | | | 0.4% | |
United Kingdom | | | 0.3% | |
Israel | | | 0.3% | |
Supranational | | | 0.2% | |
France | | | 0.2% | |
Dominican Republic | | | 0.1% | |
Germany | | | 0.1% | |
China | | | 0.1% | |
Qatar | | | 0.1% | |
Luxembourg | | | 0.1% | |
South Korea | | | 0.1% | |
Other Assets and Liabilities | | | 0.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 63 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2014 |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | |
Collateralized Loan Obligations | | | 17.4% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 16.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 12.5% | |
Affiliated Mutual Funds | | | 11.4% | |
Banking | | | 8.7% | |
Short Term Investments | | | 5.1% | |
US Government Bonds and Notes | | | 4.6% | |
Telecommunications | | | 3.0% | |
Oil & Gas | | | 2.6% | |
Building and Development | | | 1.6% | |
Consumer Products | | | 1.6% | |
US Government / Agency Mortgage Backed Obligations | | | 1.5% | |
Transportation | | | 1.3% | |
Media | | | 1.2% | |
Chemicals/Plastics | | | 1.2% | |
Financial Intermediaries | | | 1.1% | |
Business Equipment and Services | | | 1.0% | |
Finance | | | 0.9% | |
Healthcare | | | 0.9% | |
Utilities | | | 0.6% | |
Real Estate | | | 0.6% | |
Beverage and Tobacco | | | 0.6% | |
Food Products | | | 0.4% | |
Industrial | | | 0.4% | |
Mining | | | 0.4% | |
Construction | | | 0.3% | |
Automotive | | | 0.3% | |
Pharmaceuticals | | | 0.3% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.3% | |
Energy | | | 0.3% | |
Pulp & Paper | | | 0.3% | |
Insurance | | | 0.3% | |
Leisure | | | 0.2% | |
Retailers (other than Food/Drug) | | | 0.2% | |
Hotels/Motels/Inns and Casinos | | | 0.2% | |
Food/Drug Retailers | | | 0.1% | |
Environmental Control | | | 0.1% | |
Cosmetics/Toiletries | | | 0.1% | |
Conglomerates | | | 0.1% | |
Containers and Glass Products | | | 0.1% | |
Machinery and Tools | | | 0.0% | ~ |
Air Transport | | | 0.0% | ~ |
Other Assets and Liabilities | | | 0.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ^ | 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, 2014, the value of these securities amounted to $38,442,125 or 25.4% 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 held |
| ¨ | Seven-day yield as of September 30, 2014 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| 64 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | |
| Total Return Swaps - Long | |
| Reference Entity | | Counterparty | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
Shiller Barclays CAPE® US Sector ER USD Index | | Barclays Capital, Inc. | | | 6,270,000 | | | | 10/02/2014 | | | $ | (7,516 | ) |
Shiller Barclays CAPE® US Sector ER USD Index | | Barclays Capital, Inc. | | | 600,000 | | | | 10/09/2014 | | | | — | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 5,717,000 | | | | 11/20/2014 | | | | 752,463 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 11,871,000 | | | | 12/18/2014 | | | | 1,275,807 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 7,140,000 | | | | 01/29/2015 | | | | 618,557 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 1,397,000 | | | | 02/26/2015 | | | | 158,173 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 9,701,000 | | | | 03/26/2015 | | | | 636,213 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 5,507,000 | | | | 04/30/2015 | | | | 334,982 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 6,000,000 | | | | 05/28/2015 | | | | 267,388 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 11,500,000 | | | | 06/25/2015 | | | | 125,949 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 19,000,000 | | | | 07/30/2015 | | | | (214,559 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 12,000,000 | | | | 08/27/2015 | | | | (72,875 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 40,000,000 | | | | 09/24/2015 | | | | (724,490 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 10,000,000 | | | | 10/29/2015 | | | | (22,804 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 3,127,288 | |
| | | | | | | | | | | | | | |
Shiller Barclays CAPE® US Sector ER USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an exchange-traded fund that invests primarily in equity securities of companies in the relevant sector.
Shiller Barclays CAPE® US Sector ER II USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an index that invests primarily in equity securities of companies in the relevant sector.
Investments in Affiliates
Generally, an issuer is an affiliate 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 Shiller Enhanced CAPE®’s investments in affiliated mutual funds for the period ended September 30, 2014 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2014 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2014 | | | Value at
September 30,
2014 | | | Dividend
Income Earned
in the Period
Ended September 30,
2014 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2014 | |
DoubleLine Core Fixed Income Fund | | $ | 5,292,413 | | | $ | 32,250,000 | | | $ | 27,410,000 | | | | 920,520 | | | $ | 10,070,490 | | | $ | 129,938 | | | $ | (562 | ) |
DoubleLine Floating Rate Fund | | | 3,831,323 | | | | 5,317,000 | | | | 1,860,000 | | | | 719,547 | | | | 7,209,860 | | | | 64,394 | | | | (7,965 | ) |
| | | | |
| | $ | 9,123,736 | | | $ | 37,567,000 | | | $ | 29,270,000 | | | | 1,640,067 | | | $ | 17,280,350 | | | $ | 194,332 | | | $ | (8,527 | ) |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 65 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 18.8% | |
| |
| | | | Adams Mill Ltd., | |
| $ | 250,000 | | | Series 2014-1A-D1 | | | 3.70% | #^ | | | 07/15/2026 | | | | 236,848 | |
| | 250,000 | | | Series 2014-1A-E1 | | | 5.20% | #^ | | | 07/15/2026 | | | | 227,723 | |
| |
| | | | Avery Point Ltd., | |
| | 250,000 | | | Series 2013-2A-C | | | 2.98% | #^ | | | 07/17/2025 | | | | 244,323 | |
| | 500,000 | | | Series 2013-2A-D | | | 3.68% | #^ | | | 07/17/2025 | | | | 477,478 | |
| |
| | | | Cent Ltd., | |
| | 250,000 | | | Series 2014-22A-B | | | 3.43% | #^ | | | 11/07/2026 | | | | 250,000 | |
| | 500,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 477,100 | |
| |
| | | | ColumbusNova Ltd., | |
| | 250,000 | | | Series 2006-1A-D | | | 1.78% | #^ | | | 07/18/2018 | | | | 241,873 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 500,000 | | | Series 2006-11A-C1 | | | 1.83% | #^ | | | 04/12/2020 | | | | 485,195 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 250,000 | | | Series 2012-25A-D | | | 4.23% | #^ | | | 01/15/2025 | | | | 249,862 | |
| |
| | | | Flatiron Ltd., | |
| | 500,000 | | | Series 2013-1 | | | 2.98% | #^ | | | 01/17/2026 | | | | 487,082 | |
| |
| | | | Galaxy Ltd., | |
| | 250,000 | | | Series 2014-18A-D1 | | | 3.93% | #^ | | | 10/15/2026 | | | | 240,505 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 500,000 | | | Series 2012-6A-D | | | 4.43% | #^ | | | 04/17/2022 | | | | 500,616 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 250,000 | | | Series 2013-2A-C | | | 2.94% | #^ | | | 08/01/2025 | | | | 242,479 | |
| | 250,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 233,622 | |
| | 250,000 | | | Series 2014-2A-D | | | 5.23% | #^ | | | 04/28/2025 | | | | 226,998 | |
| |
| | | | ING Ltd., | |
| | 500,000 | | | Series 2013-1A-D | | | 5.23% | #^ | | | 04/15/2024 | | | | 463,921 | |
| |
| | | | LCM LP, | |
| | 500,000 | | | Series 10AR-BR | | | 2.13% | #^ | | | 04/15/2022 | | | | 500,062 | |
| | 100,000 | | | Series 12A-C | | | 3.48% | #^ | | | 10/19/2022 | | | | 100,383 | |
| | 500,000 | | | Series 12A-D | | | 4.73% | #^ | | | 10/19/2022 | | | | 501,064 | |
| | 500,000 | | | Series 14A-D | | | 3.73% | #^ | | | 07/15/2025 | | | | 478,433 | |
| | 250,000 | | | Series 16A-D | | | 3.86% | #^ | | | 07/15/2026 | | | | 239,489 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 250,000 | | | Series 2014-13A-D | | | 3.58% | #^ | | | 01/19/2025 | | | | 238,172 | |
| | 250,000 | | | Series 2014-13X E | | | 5.23% | # | | | 01/19/2025 | | | | 232,041 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.88% | #^ | | | 11/14/2026 | | | | 478,780 | |
| | 250,000 | | | Series 2014-1A-D | | | 6.83% | #^ | | | 11/14/2026 | | | | 247,655 | |
| |
| | | | OZLM Funding Ltd., | |
| | 500,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 500,082 | |
| |
| | | | Pinnacle Park Ltd., | |
| | 250,000 | | | Series 2014-1A-C | | | 3.33% | #^ | | | 04/15/2026 | | | | 249,293 | |
| |
| | | | Race Point Ltd., | |
| | 250,000 | | | Series 2012-6RA-CR | | | 3.34% | #^ | | | 05/24/2023 | | | | 248,289 | |
| |
| | | | Race Point Ltd., | |
| | 250,000 | | | Series 2012-6RA-DR | | | 4.34% | #^ | | | 05/24/2023 | | | | 248,169 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 500,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 10/30/2026 | | | | 497,000 | |
| |
| | | | Thacher Park Ltd., | |
| | 500,000 | | | Series 2014-1A-D1 | | | 3.76% | #^ | | | 10/20/2026 | | | | 478,500 | |
| |
| | | | Washington Mill Ltd., | |
| | 250,000 | | | Series 2014-1A-C | | | 3.23% | #^ | | | 04/20/2026 | | | | 249,077 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $10,795,267) | | | | 10,772,114 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 19.8% | |
| | 200,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 223,000 | |
| | 200,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 195,000 | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 214,750 | |
| | 200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 193,916 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 200,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 208,250 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 213,000 | |
| | 150,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 160,312 | |
| | 200,000 | | | Banco Davivienda S.A. | | | 5.88% | | | | 07/09/2022 | | | | 201,000 | |
| | 200,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 195,020 | |
| | 200,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 218,000 | |
| | 200,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 218,000 | |
| | 200,000 | | | Banco Nacional de Costa Rica | | | 6.25% | | | | 11/01/2023 | | | | 201,500 | |
| | 200,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 220,000 | |
| | 200,000 | | | Bancolombia S.A. | | | 5.13% | | | | 09/11/2022 | | | | 201,800 | |
| | 100,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 105,500 | |
| | 200,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 215,100 | |
| | 400,000 | | | Cemex S.A.B. de C.V. | | | 5.70% | ^ | | | 01/11/2025 | | | | 386,400 | |
| | 200,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 200,219 | |
| | 200,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 217,000 | |
| | 200,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 208,750 | |
| | 200,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 211,500 | |
| | 250,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 250,811 | |
| | 100,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 92,500 | |
| | 200,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 5.25% | # | | | 07/15/2029 | | | | 203,250 | |
| | 100,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 102,173 | |
| | 200,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 207,020 | |
| | 200,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 200,100 | |
| | 120,000 | | | Ecopetrol S.A. | | | 4.13% | | | | 01/16/2025 | | | | 116,400 | |
| | 10,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 10,175 | |
| | 229,315 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 237,325 | |
| | 200,000 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 210,500 | |
| | 200,000 | | | Ferreycorp S.A.A. | | | 4.88% | | | | 04/26/2020 | | | | 199,000 | |
| | 200,000 | | | GNL Quintero S.A. | | | 4.63% | ^ | | | 07/31/2029 | | | | 199,801 | |
| | 200,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 197,100 | |
| | 200,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 198,500 | |
| | 200,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 217,000 | |
| | 100,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 104,750 | |
| | 200,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 214,000 | |
| | 200,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 198,500 | |
| | 150,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 157,125 | |
| | 50,000 | | | InRetail Shopping Malls | | | 6.50% | ^ | | | 07/09/2021 | | | | 52,375 | |
| | 85,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 81,494 | |
| | 250,000 | | | JBS Investments GmbH | | | 7.25% | | | | 04/03/2024 | | | | 255,625 | |
| | 200,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 200,000 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 195,100 | |
| | 200,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | ^ | | | 09/17/2044 | | | | 196,500 | |
| | 200,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 191,500 | |
| | 200,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 208,500 | |
| | 200,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 204,500 | |
| | 91,408 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 103,748 | |
| | 200,000 | | | OAS Financial Ltd. | | | 8.88% | #† | | | 04/29/2049 | | | | 187,440 | |
| | 200,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 192,060 | |
| | 200,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 192,690 | |
| | 250,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 258,254 | |
| | 50,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 54,250 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 208,100 | |
| | 200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 213,500 | |
| | 200,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 195,500 | |
| | 200,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 221,375 | |
| | 200,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 207,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $11,409,156) | | | | 11,344,058 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 66 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 8.5% | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| $ | 100,000 | | | Series 2005-3-AM | | | 4.73% | | | | 07/10/2043 | | | | 101,985 | |
| | 100,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 105,266 | |
| | 100,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 107,235 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 100,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 103,636 | |
| | 100,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 101,249 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 105,131 | |
| | 100,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 105,030 | |
| |
| | | | CGBAM Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2014-HD-D | | | 2.15% | #^ | | | 02/15/2031 | | | | 100,040 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 153,251 | |
| | 100,000 | | | Series 2007-C3-AM | | | 5.97% | # | | | 05/15/2046 | | | | 108,855 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 1,346,720 | | | Series 2014-CR17-XA | | | 1.21% | # I/O | | | 05/10/2047 | | | | 104,020 | |
| | 100,000 | | | Series 2014-CR19-C | | | 4.72% | # | | | 08/10/2047 | | | | 102,210 | |
| | 100,000 | | | Series 2014-KY0-F | | | 3.65% | #^ | | | 06/11/2027 | | | | 99,920 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 100,000 | | | Series 2006-C3-AM | | | 6.00% | # | | | 06/15/2038 | | | | 106,956 | |
| | 150,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 160,752 | |
| | 100,000 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 108,405 | |
| | 100,000 | | | Series 2007-C4-A1AM | | | 6.10% | # | | | 09/15/2039 | | | | 108,603 | |
| | 2,018,458 | | | Series 2014-USA-X1 | | | 0.55% | #^ I/O | | | 09/15/2037 | | | | 99,107 | |
| |
| | | | Grace Mortgage Trust, | |
| | 100,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 102,732 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 100,000 | | | Series 2006-GG7-AJ | | | 5.82% | # | | | 07/10/2038 | | | | 104,095 | |
| | 150,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 164,012 | |
| | 200,000 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 211,866 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 100,000 | | | Series 2006-GG6-AJ | | | 5.52% | # | | | 04/10/2038 | | | | 103,314 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 150,000 | | | Series 2006-LDP8-AJ | | | 5.48% | # | | | 05/15/2045 | | | | 158,836 | |
| | 123,533 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 128,655 | |
| | 150,000 | | | Series 2007-CB20-AM | | | 5.88% | # | | | 02/12/2051 | | | | 166,729 | |
| | 150,000 | | | Series 2007-CIBC18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 161,876 | |
| | 100,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 102,388 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 1,248,919 | | | Series 2014-C21-XA | | | 1.29% | I/O | | | 08/15/2047 | | | | 100,386 | |
| | 100,000 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 100,945 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 103,532 | |
| | 100,000 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 108,020 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 100,000 | | | Series 2005-CIP1-AM | | | 5.11% | # | | | 07/12/2038 | | | | 102,774 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2006-1-AJ | | | 5.57% | # | | | 02/12/2039 | | | | 104,145 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 100,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 98,578 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 100,000 | | | Series 2005-HQ7-AJ | | | 5.21% | # | | | 11/14/2042 | | | | 103,266 | |
| | 250,000 | | | Series 2006-HQ8-AJ | | | 5.49% | # | | | 03/12/2044 | | | | 259,271 | |
| | 200,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 209,961 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 103,255 | |
| | 100,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 107,140 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $4,904,573) | | | | 4,887,427 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 25.0% |
|
| |
| | | | Countrywide Alternative Loan Trust, | |
| $ | 1,217,685 | | | Series 2008-1R-2A3 | | | 6.00% | | | | 08/25/2037 | | | | 1,040,651 | |
| |
| | | | Countrywide Home Loans, | |
| | 1,049,508 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 1,036,419 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 653,507 | | | Series 2006-2-A5A | | | 6.08% | # | | | 09/25/2036 | | | | 526,868 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 848,252 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 751,883 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 402,000 | | | Series 2011-5R-6A9 | | | 2.66% | #^ | | | 11/27/2037 | | | | 373,811 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 899,093 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 731,258 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 292,297 | | | Series 2014-RS1-1A2 | | | 8.77% | #^ | | | 07/27/2037 | | | | 238,338 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 378,230 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 319,112 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 516,716 | | | Series 2006-2-2A1 | | | 2.59% | # | | | 04/25/2036 | | | | 488,849 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 643,454 | | | Series 2007-F1 | | | 6.00% | | | | 03/25/2037 | | | | 490,858 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 372,184 | | | Series 2005-7-4A1 | | | 5.50% | | | | 11/25/2035 | | | | 339,562 | |
| | 366,767 | | | Series 2006-2-2A4 | | | 5.75% | | | | 02/25/2036 | | | | 353,905 | |
| | 947,466 | | | Series 2006-2-7A1 | | | 5.58% | # | | | 02/25/2036 | | | | 900,391 | |
| | 939,083 | | | Series 2007-8XS-A1 | | | 5.75% | # | | | 04/25/2037 | | | | 719,296 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 566,969 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 496,668 | |
| | 1,214,885 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 998,331 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 714,314 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 589,605 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 750,000 | | | Series 2013-1A-B2 | | | 6.00% | #^ | | | 06/25/2058 | | | | 792,777 | |
| | 750,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 768,882 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 1,811,626 | | | Series 2006-2 | | | 6.00% | | | | 03/25/2036 | | | | 1,600,044 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 528,981 | | | Series 2007-2-1A15 | | | 5.75% | | | | 03/25/2037 | | | | 516,020 | |
| | 258,385 | | | Series 2007-3-1A4 | | | 6.00% | | | | 04/25/2037 | | | | 258,773 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $14,266,143) | | | | 14,332,301 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 7.8% | |
| | 65,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 67,762 | |
| | 95,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 95,237 | |
| | 55,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 58,162 | |
| | 60,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 58,800 | |
| | 40,000 | | | Athlon Holdings LP | | | 7.38% | | | | 04/15/2021 | | | | 43,700 | |
| | 115,000 | | | Atlas Pipeline Partners LP | | | 4.75% | | | | 11/15/2021 | | | | 107,669 | |
| | 105,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 104,737 | |
| | 110,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 106,012 | |
| | 25,000 | | | Biomet, Inc. | | | 6.50% | | | | 08/01/2020 | | | | 26,562 | |
| | 90,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 88,425 | |
| | 80,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 83,400 | |
| | 100,000 | | | Cinemark USA, Inc. | | | 7.38% | | | | 06/15/2021 | | | | 107,500 | |
| | 40,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 39,400 | |
| | 90,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 88,650 | |
| | 65,000 | | | Equinix, Inc. | | | 7.00% | | | | 07/15/2021 | | | | 69,875 | |
| | 85,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 94,775 | |
| | 110,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 106,700 | |
| | 85,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 80,325 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 67 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 100,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 107,625 | |
| | 100,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 102,750 | |
| | 30,000 | | | H.J. Heinz Company | | | 4.25% | | | | 10/15/2020 | | | | 29,888 | |
| | 85,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 88,612 | |
| | 105,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 106,050 | |
| | 60,000 | | | Hilcorp Energy LP | | | 5.00% | ^ | | | 12/01/2024 | | | | 57,825 | |
| | 110,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 108,625 | |
| | 50,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 50,875 | |
| | 100,000 | | | Louisiana-Pacific Corporation | | | 7.50% | | | | 06/01/2020 | | | | 107,000 | |
| | 55,000 | | | Manitowoc Company, Inc. | | | 8.50% | | | | 11/01/2020 | | | | 59,400 | |
| | 85,000 | | | Memorial Production Partners LP | | | 6.88% | ^ | | | 08/01/2022 | | | | 81,600 | |
| | 105,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 111,300 | |
| | 75,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 79,313 | |
| | 10,000 | | | MPT Operating Partnership LP | | | 6.38% | | | | 02/15/2022 | | | | 10,725 | |
| | 30,000 | | | NCL Corporation Ltd. | | | 5.00% | | | | 02/15/2018 | | | | 30,450 | |
| | 55,000 | | | Oasis Petroleum, Inc. | | | 6.88% | | | | 03/15/2022 | | | | 58,300 | |
| | 100,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 102,000 | |
| | 90,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 89,325 | |
| | 110,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 110,825 | |
| | 115,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 113,275 | |
| | 100,000 | | | Reynolds Group Issuer LLC | | | 9.00% | | | | 04/15/2019 | | | | 104,625 | |
| | 100,000 | | | RR Donnelley & Sons Company | | | 7.88% | | | | 03/15/2021 | | | | 110,250 | |
| | 105,000 | | | Safway Group Holding LLC | | | 7.00% | ^ | | | 05/15/2018 | | | | 107,363 | |
| | 50,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 51,250 | |
| | 90,000 | | | Sanchez Energy Corporation | | | 6.13% | ^ | | | 01/15/2023 | | | | 89,352 | |
| | 65,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 66,300 | |
| | 65,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 65,325 | |
| | 50,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 50,750 | |
| | 85,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 81,813 | |
| | 70,000 | | | Smithfield Foods, Inc. | | | 5.88% | ^ | | | 08/01/2021 | | | | 71,050 | |
| | 50,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 49,875 | |
| | 75,000 | | | Spectrum Brands, Inc. | | | 6.63% | | | | 11/15/2022 | | | | 79,125 | |
| | 50,000 | | | Steel Dynamics, Inc. | | | 5.13% | ^ | | | 10/01/2021 | | | | 50,750 | |
| | 65,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 67,925 | |
| | 85,000 | | | TransDigm, Inc. | | | 6.00% | ^ | | | 07/15/2022 | | | | 84,044 | |
| | 110,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 111,100 | |
| | 95,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 103,788 | |
| | 75,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 81,938 | |
| | 40,000 | | | WCI Communities, Inc. | | | 6.88% | ^ | | | 08/15/2021 | | | | 40,300 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $4,624,621) | | | | 4,500,377 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 0.9% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 447,724 | | | Series 3923-PW | | | 7.00% | | | | 12/15/2040 | | | | 493,057 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $492,660) | | | | 493,057 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 15.0% (a) | |
| | 562,178 | | | DoubleLine Floating Rate Fund | | | | | | | | | | | 5,633,025 | |
| | 273,473 | | | DoubleLine Total Return Bond Fund | | | | | | | | | | | 2,991,797 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $8,683,915) | | | | 8,624,822 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ | |
| | SHORT TERM INVESTMENTS 7.0% | |
| | 1,329,014 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | 1,329,014 | |
| | 1,329,014 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | 1,329,014 | |
| | 1,329,013 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | 1,329,013 | |
| | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $3,987,041) | | | 3,987,041 | |
| | | | | | | | | | | | | | |
| | | | Total Investments 102.8%
(Cost $59,163,376) | | | 58,941,197 | |
| | | | Liabilities in Excess of Other Assets (2.8)% | | | (1,587,807 | ) |
| | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | $ | 57,353,390 | |
| | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 25.0% | |
Foreign Corporate Bonds | | | 19.8% | |
Collateralized Loan Obligations | | | 18.8% | |
Affiliated Mutual Funds | | | 15.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 8.5% | |
US Corporate Bonds | | | 7.8% | |
Short Term Investments | | | 7.0% | |
US Government / Agency Mortgage Backed Obligations | | | 0.9% | |
Other Assets and Liabilities | | | (2.8)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | |
United States | | | 83.0% | |
Colombia | | | 3.4% | |
Mexico | | | 3.0% | |
Brazil | | | 3.0% | |
Peru | | | 2.2% | |
Guatemala | | | 1.8% | |
Chile | | | 1.5% | |
Paraguay | | | 0.7% | |
Dominican Republic | | | 0.7% | |
Jamaica | | | 0.7% | |
Israel | | | 0.5% | |
Panama | | | 0.4% | |
India | | | 0.4% | |
Barbados | | | 0.4% | |
Costa Rica | | | 0.4% | |
El Salvador | | | 0.3% | |
Qatar | | | 0.2% | |
Luxembourg | | | 0.1% | |
Canada | | | 0.1% | |
Other Assets and Liabilities | | | (2.8)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 68 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 25.0% | |
Collateralized Loan Obligations | | | 18.8% | |
Affiliated Mutual Funds | | | 15.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 8.5% | |
Short Term Investments | | | 7.0% | |
Telecommunications | | | 3.6% | |
Banking | | | 3.6% | |
Oil & Gas | | | 3.4% | |
Building and Development | | | 2.4% | |
Consumer Products | | | 1.6% | |
Transportation | | | 1.5% | |
Chemicals/Plastics | | | 1.4% | |
Utilities | | | 1.3% | |
Finance | | | 1.1% | |
Business Equipment and Services | | | 1.1% | |
Media | | | 0.9% | |
US Government / Agency Mortgage Backed Obligations | | | 0.9% | |
Industrial | | | 0.7% | |
Leisure | | | 0.5% | |
Automotive | | | 0.4% | |
Healthcare | | | 0.4% | |
Mining | | | 0.4% | |
Real Estate | | | 0.4% | |
Hotels/Motels/Inns and Casinos | | | 0.4% | |
Beverage and Tobacco | | | 0.4% | |
Food/Drug Retailers | | | 0.4% | |
Construction | | | 0.3% | |
Retailers (other than Food/Drug) | | | 0.3% | |
Food Products | | | 0.2% | |
Cosmetics/Toiletries | | | 0.2% | |
Financial Intermediaries | | | 0.2% | |
Containers and Glass Products | | | 0.2% | |
Machinery and Tools | | | 0.1% | |
Conglomerates | | | 0.1% | |
Energy | | | 0.1% | |
Other Assets and Liabilities | | | (2.8)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ^ | 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, 2014, the value of these securities amounted to $17,793,549 or 31.0% of net assets. |
| I/O | Interest only security |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of September 30, 2014 |
Investments in Affiliates
Generally, an issuer is an affiliate 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 Flexible Income Fund’s investments in affiliated mutual funds for the period ended September 30, 2014 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
April 7, 2014 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2014 | | | Value at
September 30,
2014 | | | Dividend
Income Earned
in the Period
Ended September 30,
2014 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2014 | |
DoubleLine Floating Rate Fund | | $ | — | | | $ | 7,964,000 | | | $ | 2,275,600 | | | | 562,178 | | | $ | 5,633,025 | | | $ | 41,587 | | | $ | 983 | |
DoubleLine Total Return Bond Fund | | | — | | | | 12,000,000 | | | | 9,008,671 | | | | 273,473 | | | | 2,991,797 | | | | 27,115 | | | | 3,203 | |
| | | | |
| | $ | — | | | $ | 19,964,000 | | | $ | 11,284,271 | | | | 835,651 | | | $ | 8,624,822 | | | $ | 68,702 | | | $ | 4,186 | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 69 |
| | |
| Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 1.8% | |
| | |
| | MEXICO 1.8% | |
| |
| | | | New Sunward Holding B.V., | |
| $ | 1,373,961 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche A6 | | | 4.65% | # | | | 02/14/2017 | | | | 1,371,392 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $1,372,244) | | | | 1,371,392 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 96.8% | |
| | |
| | BARBADOS 1.3% | |
| | 1,000,000 | | | Columbus International, Inc. | | | 7.38% | ^ | | | 03/30/2021 | | | | 1,043,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,043,750 | |
| | | | | | | | | | | | | | | | |
| | BRAZIL 13.3% | |
| | 1,000,000 | | | Andrade Gutierrez International S.A. | | | 4.00% | | | | 04/30/2018 | | | | 990,000 | |
| | 700,000 | | | Globo Communicacao e Participacoes S.A. | | | 6.25% | #† | | | 07/20/2015 | | | | 728,875 | |
| | 1,500,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 1,598,250 | |
| | 1,750,000 | | | JBS Investments GmbH | | | 7.75% | | | | 10/28/2020 | | | | 1,868,125 | |
| | 1,500,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 1,463,250 | |
| | 300,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 306,750 | |
| | 600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 613,500 | |
| | 1,000,000 | | | OAS Investments GmbH | | | 8.25% | | | | 10/19/2019 | | | | 983,710 | |
| | 1,300,000 | | | Petrobras Global Finance B.V. | | | 3.11% | # | | | 03/17/2020 | | | | 1,327,560 | |
| | 200,000 | | | Raizen Energy Finance Ltd. | | | 7.00% | | | | 02/01/2017 | | | | 220,000 | |
| | 250,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 258,254 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,358,274 | |
| | | | | | | | | | | | | | | | |
| | CHILE 10.9% | |
| | 300,000 | | | CFR International S.A. | | | 5.13% | | | | 12/06/2022 | | | | 323,562 | |
| | 1,500,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 1,506,577 | |
| | 1,505,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 1,604,706 | |
| | 1,700,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 1,795,100 | |
| | 1,300,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 1,385,602 | |
| | 1,500,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 1,526,409 | |
| | 300,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 311,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,453,206 | |
| | | | | | | | | | | | | | | | |
| | CHINA 3.2% | |
| | 1,100,000 | | | CNPC General Capital Ltd. | | | 1.13% | # | | | 05/14/2017 | | | | 1,103,240 | |
| | 400,000 | | | CNPC General Capital Ltd. | | | 1.13% | #^ | | | 05/14/2017 | | | | 401,178 | |
| | 1,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 1.15% | #^ | | | 04/10/2019 | | | | 1,001,980 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,506,398 | |
| | | | | | | | | | | | | | | | |
| | COLUMBIA 14.6% | |
| | 1,200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 1,278,000 | |
| | 1,006,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 990,910 | |
| | 1,000,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 1,080,000 | |
| | 300,000 | | | Ecopetrol S.A. | | | 4.25% | | | | 09/18/2018 | | | | 318,750 | |
| | 1,200,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 1,287,600 | |
| | 1,300,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 1,378,000 | |
| | 200,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 217,000 | |
| | 1,000,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 957,500 | |
| | 1,200,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 1,251,000 | |
| | 600,000 | | | Oleoducto Central S.A. | | | 4.00% | | | | 05/07/2021 | | | | 601,020 | |
| | 2,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 2,035,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,394,780 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COSTA RICA 3.3% | |
| $ | 1,300,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 1,329,250 | |
| | 1,200,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 1,212,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,541,250 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 2.1% | |
| | 500,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 536,875 | |
| | 1,000,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 1,073,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,610,625 | |
| | | | | | | | | | | | | | | | |
| | GERMANY 1.8% | |
| | 1,300,000 | | | Rearden G Holdings EINS GmbH | | | 7.88% | | | | 03/30/2020 | | | | 1,371,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,371,500 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 6.0% | |
| | 500,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 520,625 | |
| | 900,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 937,125 | |
| | 500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 530,625 | |
| | 500,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 537,750 | |
| | 1,950,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 2,115,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,641,875 | |
| | | | | | | | | | | | | | | | |
| | INDIA 1.6% | |
| | 1,200,000 | | | Vedanta Resources PLC | | | 6.00% | | | | 01/31/2019 | | | | 1,218,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,218,000 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 3.2% | |
| | 1,500,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 1,517,742 | |
| | 1,000,000 | | | Israel Electric Corporation Ltd. | | | 1.98% | # | | | 01/17/2018 | | | | 977,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,495,242 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 1.6% | |
| | 1,200,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 1,242,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,242,000 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 13.2% | |
| | 1,000,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 1,063,750 | |
| | 400,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 423,000 | |
| | 1,700,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 1,776,500 | |
| | 500,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 536,250 | |
| | 1,400,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 1,519,000 | |
| | 1,000,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 1,047,500 | |
| | 900,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 963,000 | |
| | 500,000 | | | Grupo Posadas S.A.B de C.V | | | 7.88% | | | | 11/30/2017 | | | | 482,500 | |
| | 1,400,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 1,455,300 | |
| | 711,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 758,993 | |
| | 300,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 293,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,319,043 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 5.0% | |
| | 250,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 260,000 | |
| | 1,788,656 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 1,851,134 | |
| | 1,700,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 1,755,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,866,384 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 70 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | PARAGUAY 3.1% | |
| $ | 1,080,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 1,188,000 | |
| | 1,000,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 1,040,500 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 208,100 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,436,600 | |
| | | | | | | | | | | | | | | | |
| | PERU 9.7% | |
| | 1,500,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 1,527,750 | |
| | 100,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 105,500 | |
| | 600,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 600,000 | |
| | 1,000,000 | | | Ferreycorp S.A.A. | | | 4.88% | | | | 04/26/2020 | | | | 995,000 | |
| | 300,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 301,500 | |
| | 540,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 597,510 | |
| | 300,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 314,250 | |
| | 1,000,000 | | | Intercorp Retail Trust | | | 8.88% | | | | 11/14/2018 | | | | 1,135,000 | |
| | 300,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 325,785 | |
| | 1,721,356 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 1,623,049 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,525,344 | |
| | | | | | | | | | | | | | | | |
| | QATAR 1.1% | |
| | 825,041 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 895,169 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 895,169 | |
| | | | | | | | | | | | | | | | |
| | SINGAPORE 1.8% | |
| | 1,200,000 | | | DBS Bank Ltd. | | | 0.84% | # | | | 07/15/2021 | | | | 1,183,200 | |
| | 200,000 | | | Oversea-Chinese Banking Corporation | | | 4.25% | # | | | 11/18/2019 | | | | 200,762 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,383,962 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds (Cost $74,924,263) | | | | 75,303,402 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 0.0% | |
| | 8,098 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.01% | ¨ | | | | | | | 8,098 | |
| | 8,099 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 8,099 | |
| | 8,098 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 8,098 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments (Cost $24,295) | | | | 24,295 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 98.6% (Cost $76,320,802) | | | | 76,699,089 | |
| | | | Other Assets in Excess of Liabilities 1.4% | | | | 1,119,425 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 77,818,514 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
Foreign Corporate Bonds | | | 96.8% | |
Bank Loans | | | 1.8% | |
Short Term Investments | | | 0.0% | ~ |
Other Assets and Liabilities | | | 1.4% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | |
Mexico | | | 15.0% | |
Colombia | | | 14.6% | |
Brazil | | | 13.3% | |
Chile | | | 10.9% | |
Peru | | | 9.7% | |
Guatemala | | | 6.0% | |
Panama | | | 5.0% | |
Costa Rica | | | 3.3% | |
China | | | 3.2% | |
Israel | | | 3.2% | |
Paraguay | | | 3.1% | |
Dominican Republic | | | 2.1% | |
Singapore | | | 1.8% | |
Germany | | | 1.8% | |
Jamaica | | | 1.6% | |
India | | | 1.6% | |
Barbados | | | 1.3% | |
Qatar | | | 1.1% | |
United States | | | 0.0% | ~ |
Other Assets and Liabilities | | | 1.4% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | |
Banking | | | 23.6% | |
Oil & Gas | | | 14.0% | |
Transportation | | | 8.2% | |
Telecommunications | | | 7.8% | |
Building and Development | | | 6.2% | |
Consumer Products | | | 5.9% | |
Utilities | | | 5.8% | |
Media | | | 4.0% | |
Retailers (other than Food/Drug) | | | 3.2% | |
Finance | | | 3.1% | |
Chemicals/Plastics | | | 3.0% | |
Beverage and Tobacco | | | 2.7% | |
Construction | | | 2.5% | |
Pulp & Paper | | | 2.3% | |
Financial Intermediaries | | | 2.0% | |
Mining | | | 1.6% | |
Industrial | | | 1.3% | |
Hotels/Motels/Inns and Casinos | | | 0.6% | |
Pharmaceuticals | | | 0.4% | |
Real Estate | | | 0.4% | |
Short Term Investments | | | 0.0% | ~ |
Other Assets and Liabilities | | | 1.4% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 2014. |
| ^ | 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, 2014, the value of these securities amounted to $11,263,400 or 14.5% of net assets. |
| ¨ | Seven-day yield as of September 30, 2014 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 71 |
| | |
| Statements of Assets and Liabilities | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible
Income
Fund | | | DoubleLine
Low
Duration
Emerging
Markets
Fixed
Income
Fund | |
| | | | | | | | | |
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | $ | 31,016,867,454 | | | $ | 1,892,994,440 | | | $ | 647,300,895 | | | $ | 53,933,355 | | | $ | 2,044,782,299 | | | $ | 352,740,388 | | | $ | 126,218,749 | | | $ | 46,329,334 | | | $ | 76,674,794 | |
Investments in Affiliated Securities, at Value* | | | — | | | | 113,002,257 | | | | — | | | | 45,989,969 | | | | 50,550,000 | | | | — | | | | 17,280,350 | | | | 8,624,822 | | | | — | |
Short-term Securities* | | | 4,521,326,016 | | | | 136,170,975 | | | | 40,948 | | | | 31,699,174 | | | | 100,177,080 | | | | 41,964,531 | | | | 7,732,878 | | | | 3,987,041 | | | | 24,295 | |
Interest and Dividends Receivable | | | 124,869,674 | | | | 14,462,783 | | | | 10,382,983 | | | | 426,858 | | | | 10,660,667 | | | | 2,865,869 | | | | 1,023,650 | | | | 453,667 | | | | 1,158,139 | |
Receivable for Fund Shares Sold | | | 642,285,269 | | | | 51,324,526 | | | | 4,125,484 | | | | 776,751 | | | | 37,193,202 | | | | 411,577 | | | | 3,099,305 | | | | 1,732,716 | | | | 369,354 | |
Prepaid Expenses and Other Assets | | | 756,329 | | | | 79,578 | | | | 61,543 | | | | 25,865 | | | | 128,985 | | | | 22,244 | | | | 64,091 | | | | 17,570 | | | | 14,464 | |
Receivable for Investments Sold | | | 443,641 | | | | 828,734 | | | | 5,620,410 | | | | — | | | | 3,849,625 | | | | 14,078,782 | | | | 20,406 | | | | — | | | | 204,260 | |
Deposit at Broker for Futures | | | — | | | | — | | | | — | | | | 2,230,648 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Unrealized Appreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | 347,111 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Variation Margin Receivable | | | — | | | | — | | | | — | | | | 18,764 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Unrealized Appreciation on Swaps | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,127,288 | | | | — | | | | — | |
Total Assets | | | 36,306,548,383 | | | | 2,208,863,293 | | | | 667,532,263 | | | | 135,448,495 | | | | 2,247,341,858 | | | | 412,083,391 | | | | 158,566,717 | | | | 61,145,150 | | | | 78,445,306 | |
| | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for Fund Shares Redeemed | | | 54,134,106 | | | | 1,909,323 | | | | 5,077,964 | | | | 325,163 | | | | 1,679,867 | | | | 174,979 | | | | 91,833 | | | | 76,578 | | | | 23,016 | |
Payable for Investments Purchased | | | 274,704,216 | | | | 34,829,893 | | | | 2,676,783 | | | | 1,451,190 | | | | 19,679,018 | | | | 37,130,938 | | | | 6,787,702 | | | | 3,640,669 | | | | 331,228 | |
Distribution Payable | | | 42,538,658 | | | | 1,518,993 | | | | 664,524 | | | | 697,424 | | | | 632,506 | | | | 646,433 | | | | 39,772 | | | | 24,450 | | | | 178,817 | |
Investment Advisory Fees Payable | | | 11,445,018 | | | | 628,877 | | | | 412,151 | | | | 84,149 | | | | 605,141 | | | | 157,040 | | | | 19,851 | | | | 3,976 | | | | 8,646 | |
Transfer Agent Expenses Payable | | | 2,452,210 | | | | 350,458 | | | | 58,749 | | | | 46,134 | | | | 215,128 | | | | 49,800 | | | | 18,860 | | | | 17,924 | | | | 16,188 | |
Distribution Fees Payable | | | 1,740,238 | | | | 114,093 | | | | 38,093 | | | | 22,893 | | | | 265,871 | | | | 28,392 | | | | 6,336 | | | | 4,227 | | | | 3,879 | |
Accrued Expenses | | | 1,636,648 | | | | 260,165 | | | | 176,216 | | | | 107,760 | | | | 195,083 | | | | 67,672 | | | | 71,876 | | | | 18,818 | | | | 3,107 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 1,378,037 | | | | 109,980 | | | | 38,271 | | | | 14,210 | | | | 155,227 | | | | 44,242 | | | | 17,998 | | | | 4,845 | | | | 8,555 | |
Registration Fees Payable | | | 103,305 | | | | 3,804 | | | | — | | | | 309 | | | | 69,345 | | | | 67,585 | | | | 725 | | | | 273 | | | | 356 | |
Loans Payable | | | — | | | | — | | | | 4,825,000 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 53,000 | |
Payable to Broker | | | — | | | | — | | | | — | | | | 433,172 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Unrealized Depreciation on Swaps | | | — | | | | — | | | | — | | | | 232,696 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Variation Margin Payable | | | — | | | | — | | | | — | | | | 171,905 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Liabilities | | | 390,132,436 | | | | 39,725,586 | | | | 13,967,751 | | | | 3,587,005 | | | | 23,497,186 | | | | 38,367,081 | | | | 7,054,953 | | | | 3,791,760 | | | | 626,792 | |
Net Assets | | $ | 35,916,415,947 | | | $ | 2,169,137,707 | | | $ | 653,564,512 | | | $ | 131,861,490 | | | $ | 2,223,844,672 | | | $ | 373,716,310 | | | $ | 151,511,764 | | | $ | 57,353,390 | | | $ | 77,818,514 | |
| | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 36,843,396,686 | | | $ | 2,179,940,188 | | | $ | 665,858,005 | | | $ | 127,328,393 | | | $ | 2,222,453,851 | | | $ | 376,812,811 | | | $ | 148,615,718 | | | $ | 57,581,611 | | | $ | 77,356,228 | |
Undistributed (Accumulated) Net Investment Income (Loss) | | | (126,306,322 | ) | | | (2,528,370 | ) | | | (10,617 | ) | | | (469,433 | ) | | | (712,506 | ) | | | 61,163 | | | | (72,975 | ) | | | (45,345 | ) | | | 22,082 | |
Accumulated Net Realized Gain (Loss) on Investments | | | (1,161,193,865 | ) | | | (34,228,497 | ) | | | (21,249,625 | ) | | | 7,146,469 | | | | (3,094,559 | ) | | | 236,892 | | | | 106,596 | | | | 39,303 | | | | 61,917 | |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 360,160,429 | | | | 26,581,025 | | | | 8,966,749 | | | | (607,536 | ) | | | 4,647,886 | | | | (3,394,556 | ) | | | (133,793 | ) | | | (163,086 | ) | | | 378,287 | |
Investments in Affiliated Securities | | | — | | | | (626,639 | ) | | | — | | | | (940,600 | ) | | | 550,000 | | | | — | | | | (131,070 | ) | | | (59,093 | ) | | | — | |
Short-term Securities | | | 359,019 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | 347,111 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (710,218 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (232,696 | ) | | | — | | | | — | | | | 3,127,288 | | | | — | | | | — | |
Net Assets | | $ | 35,916,415,947 | | | $ | 2,169,137,707 | | | $ | 653,564,512 | | | $ | 131,861,490 | | | $ | 2,223,844,672 | | | $ | 373,716,310 | | | $ | 151,511,764 | | | $ | 57,353,390 | | | $ | 77,818,514 | |
| | | | | | | | | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 30,656,707,025 | | | $ | 1,866,413,415 | | | $ | 638,334,146 | | | $ | 54,540,891 | | | $ | 2,040,134,413 | | | $ | 356,134,944 | | | $ | 126,352,542 | | | $ | 46,492,420 | | | $ | 76,296,507 | |
Investments in Affiliated Securities | | | — | | | | 113,628,896 | | | | — | | | | 46,930,569 | | | | 50,000,000 | | | | — | | | | 17,411,420 | | | | 8,683,915 | | | | — | |
Short-term Securities | | | 4,520,966,997 | | | | 136,170,975 | | | | 40,948 | | | | 31,699,174 | | | | 100,177,080 | | | | 41,964,531 | | | | 7,732,878 | | | | 3,987,041 | | | | 24,295 | |
| | | | | | | | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 28,945,824,883 | | | $ | 1,766,191,703 | | | $ | 461,355,919 | | | $ | 51,486,081 | | | $ | 1,077,419,534 | | | $ | 316,277,960 | | | $ | 119,241,576 | | | $ | 34,851,608 | | | $ | 58,150,057 | |
Shares Outstanding | | | 2,646,840,433 | | | | 161,386,424 | | | | 43,062,002 | | | | 5,194,166 | | | | 105,878,519 | | | | 31,563,980 | | | | 10,540,286 | | | | 3,467,257 | | | | 5,753,288 | |
Net Asset Value, Offering and
Redemption Price per Share | | $ | 10.94 | | | $ | 10.94 | | | $ | 10.71 | | | $ | 9.91 | | | $ | 10.18 | | | $ | 10.02 | | | $ | 11.31 | | | $ | 10.05 | | | $ | 10.11 | |
| | | | | | | | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 6,970,591,064 | | | $ | 402,946,004 | | | $ | 192,208,593 | | | $ | — | | | $ | 1,146,425,138 | | | $ | 57,438,350 | | | $ | 32,270,188 | | | $ | 22,501,782 | | | $ | 19,668,457 | |
Shares Outstanding | | | 637,619,385 | | | | 36,839,405 | | | | 17,938,218 | | | | — | | | | 112,734,156 | | | | 5,721,252 | | | | 2,853,754 | | | | 2,238,832 | | | | 1,944,682 | |
Net Asset Value, Offering and
Redemption Price per Share | | $ | 10.93 | | | $ | 10.94 | | | $ | 10.72 | | | $ | — | | | $ | 10.17 | | | $ | 10.04 | | | $ | 11.31 | | | $ | 10.05 | | | $ | 10.11 | |
| | | | | | | | | |
Class A (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | — | | | $ | — | | | $ | — | | | $ | 80,375,409 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Shares Outstanding | | | — | | | | — | | | | — | | | | 8,126,261 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Net Asset Value, Offering Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 10.31 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Net Asset Value, Redemption Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 9.89 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | |
| 72 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Statements of Operations | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible
Income
Fund1 | | | DoubleLine
Low
Duration
Emerging
Markets
Fixed
Income
Fund1 | |
| | | | | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 753,627,515 | | | $ | 40,589,365 | | | $ | 19,331,994 | | | $ | 1,131,653 | | | $ | 25,043,380 | | | $ | 7,185,549 | | | $ | 1,152,966 | | | $ | 469,147 | | | $ | 1,425,784 | |
Dividends from Unaffiliated Securities | | | — | | | | — | | | | — | | | | 680,072 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Dividends from Affiliated Securities | | | — | | | | 1,702,013 | | | | — | | | | 1,000,914 | | | | 871,142 | | | | — | | | | 194,332 | | | | 68,702 | | | | — | |
Total Investment Income | | | 753,627,515 | | | | 42,291,378 | | | | 19,331,994 | | | | 2,812,639 | | | | 25,914,522 | | | | 7,185,549 | | | | 1,347,298 | | | | 537,849 | | | | 1,425,784 | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 67,055,631 | | | | 3,527,833 | | | | 2,370,946 | | | | 671,581 | | | | 3,427,237 | | | | 906,448 | | | | 148,765 | | | | 65,783 | | | | 163,465 | |
Distribution Fees - Class N | | | 8,902,593 | | | | 503,373 | | | | 254,369 | | | | — | | | | 1,377,227 | | | | 90,910 | | | | 26,026 | | | | 10,883 | | | | 15,353 | |
Distribution Fees - Class A | | | — | | | | — | | | | — | | | | 110,074 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfer Agent Expenses | | | 6,656,694 | | | | 449,416 | | | | 206,671 | | | | 61,062 | | | | 600,208 | | | | 105,599 | | | | 56,923 | | | | 37,049 | | | | 38,355 | |
Administration, Fund Accounting and Custodian Fees | | | 2,832,507 | | | | 228,418 | | | | 75,646 | | | | 35,075 | | | | 324,326 | | | | 83,639 | | | | 43,971 | | | | 16,730 | | | | 22,739 | |
Shareholder Reporting Expenses | | | 372,875 | | | | 27,457 | | | | 13,462 | | | | 4,564 | | | | 60,043 | | | | 9,909 | | | | 8,623 | | | | 9,567 | | | | 11,289 | |
Registration Fees | | | 446,348 | | | | 89,179 | | | | 52,315 | | | | 31,194 | | | | 32,624 | | | | 88,745 | | | | 34,280 | | | | 24,832 | | | | 24,520 | |
Professional Fees | | | 469,371 | | | | 108,651 | | | | 95,170 | | | | 64,301 | | | | 112,489 | | | | 43,453 | | | | 53,941 | | | | 26,162 | | | | 26,839 | |
Insurance Expenses | | | 417,895 | | | | 27,682 | | | | 9,363 | | | | 3,753 | | | | 26,098 | | | | 6,606 | | | | 1,481 | | | | 507 | | | | 1,551 | |
Trustees’ Fees and Expenses | | | 277,311 | | | | 15,063 | | | | 5,096 | | | | 1,259 | | | | 16,500 | | | | 3,000 | | | | 451 | | | | 198 | | | | 726 | |
Miscellaneous Expenses | | | 146,203 | | | | 15,387 | | | | 38,026 | | | | 4,779 | | | | 6,148 | | | | 27,677 | | | | 14,807 | | | | 4,123 | | | | 4,284 | |
Total Expenses | | | 87,577,428 | | | | 4,992,459 | | | | 3,121,064 | | | | 987,642 | | | | 5,982,900 | | | | 1,365,986 | | | | 389,268 | | | | 195,834 | | | | 309,121 | |
Less: Fees (Waived)/Recouped | | | 722,048 | | | | — | | | | 11,145 | | | | (91,868 | ) | | | (32,417 | ) | | | 84,103 | | | | (139,068 | ) | | | (95,257 | ) | | | (100,871 | ) |
Net Expenses | | | 88,299,476 | | | | 4,992,459 | | | | 3,132,209 | | | | 895,774 | | | | 5,950,483 | | | | 1,450,089 | | | | 250,200 | | | | 100,577 | | | | 208,250 | |
| | | | | | | | | |
Net Investment Income | | | 665,328,039 | | | | 37,298,919 | | | | 16,199,785 | | | | 1,916,865 | | | | 19,964,039 | | | | 5,735,460 | | | | 1,097,098 | | | | 437,272 | | | | 1,217,534 | |
| | | | | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 3,497,906 | | | | 1,053,053 | | | | (379,166 | ) | | | (1,262,974 | ) | | | (47,207 | ) | | | (28,594 | ) | | | 2,332 | | | | 35,117 | | | | 61,917 | |
Investments in Affiliated Securities | | | — | | | | — | | | | — | | | | (592 | ) | | | — | | | | — | | | | (8,527 | ) | | | 4,186 | | | | — | |
Futures | | | — | | | | — | | | | — | | | | 2,246,215 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | 173,949 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | 1,007,556 | | | | — | | | | — | | | | 71,641 | | | | — | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 228,217,253 | | | | 12,075,359 | | | | 11,763,013 | | | | (2,081,885 | ) | | | (2,555,715 | ) | | | (4,578,214 | ) | | | (177,524 | ) | | | (163,086 | ) | | | 378,287 | |
Investments in Affiliated Securities | | | — | | | | (1,356,536 | ) | | | — | | | | 27,106 | | | | — | | | | — | | | | (131,859 | ) | | | (59,093 | ) | | | — | |
Short-term Securities | | | 323,390 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | 347,111 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (1,372,384 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (430,832 | ) | | | — | | | | — | | | | 1,821,325 | | | | — | | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 232,038,549 | | | | 11,771,876 | | | | 11,383,847 | | | | (1,346,730 | ) | | | (2,602,922 | ) | | | (4,606,808 | ) | | | 1,577,388 | | | | (182,876 | ) | | | 440,204 | |
| | | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 897,366,588 | | | $ | 49,070,795 | | | $ | 27,583,632 | | | $ | 570,135 | | | $ | 17,361,117 | | | $ | 1,128,652 | | | $ | 2,674,486 | | | $ | 254,396 | | | $ | 1,657,738 | |
| 1 | Commencement of operations on April 7, 2014 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 73 |
| | |
| Statements of Changes in Net Assets | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Total Return Bond Fund | | | DoubleLine
Core Fixed Income Fund | |
| | | Period Ended
September 30, 2014 (Unaudited) | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 (Unaudited) | | | Year Ended
March 31, 2014 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 665,328,039 | | | $ | 1,306,704,704 | | | $ | 37,298,919 | | | $ | 73,955,562 | |
Net Realized Gain (Loss) on Investments | | | 3,497,906 | | | | (27,164,096 | ) | | | 1,053,053 | | | | (22,492,605 | ) |
Net Change in Unrealized Appreciation (Depreciation) of Investments | | | 228,540,643 | | | | (1,092,128,473 | ) | | | 10,718,823 | | | | (56,429,723 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 897,366,588 | | | | 187,412,135 | | | | 49,070,795 | | | | (4,966,766 | ) |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (642,344,969 | ) | | | (1,379,861,329 | ) | | | (32,567,513 | ) | | | (63,903,379 | ) |
Class N | | | (162,160,281 | ) | | | (385,329,341 | ) | | | (8,053,663 | ) | | | (19,950,791 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (5,663,885 | ) |
Class N | | | — | | | | — | | | | — | | | | (1,613,333 | ) |
| | | | |
Total Distributions to Shareholders | | | (804,505,250 | ) | | | (1,765,190,670 | ) | | | (40,621,176 | ) | | | (91,131,388 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 4,248,402,912 | | | | (4,558,179,006 | ) | | | 408,499,125 | | | | (408,475,174 | ) |
Class N | | | (126,933,196 | ) | | | (2,001,943,791 | ) | | | 16,716,928 | | | | (321,003,550 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 4,121,469,716 | | | | (6,560,122,797 | ) | | | 425,216,053 | | | | (729,478,724 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 4,214,331,054 | | | $ | (8,137,901,332 | ) | | $ | 433,665,672 | | | $ | (825,576,878 | ) |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 31,702,084,893 | | | $ | 39,839,986,225 | | | $ | 1,735,472,035 | | | $ | 2,561,048,913 | |
End of Period | | $ | 35,916,415,947 | | | $ | 31,702,084,893 | | | $ | 2,169,137,707 | | | $ | 1,735,472,035 | |
| | | | |
Accumulated (Undistributed) Net Investment Income (Loss) | | $ | (126,306,322 | ) | | $ | 12,870,889 | | | $ | (2,528,370 | ) | | $ | 793,887 | |
| | | | | | |
| 74 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Statements of Changes in Net Assets | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | |
| | | Period Ended
September 30, 2014 (Unaudited) | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 (Unaudited) | | | Year Ended
March 31, 2014 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 16,199,785 | | | $ | 26,904,771 | | | $ | 1,916,865 | | | $ | 3,117,142 | |
Net Realized Gain (Loss) on Investments | | | (379,166 | ) | | | (20,321,605 | ) | | | 2,164,154 | | | | 2,390,264 | |
Net Change in Unrealized Appreciation (Depreciation) of Investments | | | 11,763,013 | | | | (16,108,225 | ) | | | (3,510,884 | ) | | | 905,963 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 27,583,632 | | | | (9,525,059 | ) | | | 570,135 | | | | 6,413,369 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (11,737,812 | ) | | | (19,891,979 | ) | | | (1,119,636 | ) | | | (1,703,969 | ) |
Class N | | | (5,161,055 | ) | | | (6,995,101 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | (1,594,172 | ) | | | (2,264,145 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (5,281,666 | ) | | | — | | | | — | |
Class N | | | — | | | | (2,327,665 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | — | | | | — | |
| | | | |
Total Distributions to Shareholders | | | (16,898,867 | ) | | | (34,496,411 | ) | | | (2,713,808 | ) | | | (3,968,114 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 123,174,387 | | | | (252,764,751 | ) | | | (13,990,851 | ) | | | (39,665,897 | ) |
Class N | | | 3,938,736 | | | | 24,323,638 | | | | — | | | | — | |
Class A | | | — | | | | — | | | | (15,029,323 | ) | | | (64,581,935 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 127,113,123 | | | | (228,441,113 | ) | | | (29,020,174 | ) | | | (104,247,832 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 137,797,888 | | | $ | (272,462,583 | ) | | $ | (31,163,847 | ) | | $ | (101,802,577 | ) |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 515,766,624 | | | $ | 788,229,207 | | | $ | 163,025,337 | | | $ | 264,827,914 | |
End of Period | | $ | 653,564,512 | | | $ | 515,766,624 | | | $ | 131,861,490 | | | $ | 163,025,337 | |
| | | | |
Accumulated (Undistributed) Net Investment Income (Loss) | | $ | (10,617 | ) | | $ | 688,465 | | | $ | (469,433 | ) | | $ | 327,510 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 75 |
| | |
| Statements of Changes in Net Assets | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating Rate
Fund | |
| | | Period Ended
September 30, 2014 (Unaudited) | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 (Unaudited) | | | Year Ended
March 31, 2014 | |
| | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 19,964,039 | | | $ | 16,098,576 | | | $ | 5,735,460 | | | $ | 7,572,835 | |
Net Realized Gain (Loss) on Investments | | | (47,207 | ) | | | 863,812 | | | | (28,594 | ) | | | 273,530 | |
Net Change in Unrealized Appreciation (Depreciation) of Investments | | | (2,555,715 | ) | | | 4,227,453 | | | | (4,578,214 | ) | | | 764,341 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 17,361,117 | | | | 21,189,841 | | | | 1,128,652 | | | | 8,610,706 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (10,254,208 | ) | | | (9,321,891 | ) | | | (4,720,210 | ) | | | (5,424,016 | ) |
Class N | | | (10,654,626 | ) | | | (9,318,777 | ) | | | (1,016,499 | ) | | | (2,077,972 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (5,406 | ) |
Class N | | | — | | | | — | | | | — | | | | (2,638 | ) |
| | | | |
Total Distributions to Shareholders | | | (20,908,834 | ) | | | (18,640,668 | ) | | | (5,736,709 | ) | | | (7,510,032 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 227,578,247 | | | | 476,032,359 | | | | 43,390,548 | | | | 212,411,666 | |
Class N | | | 85,955,849 | | | | 821,710,023 | | | | (46,122,739 | ) | | | 104,098,336 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 313,534,096 | | | | 1,297,742,382 | | | | (2,732,191 | ) | | | 316,510,002 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 309,986,379 | | | $ | 1,300,291,555 | | | $ | (7,340,248 | ) | | $ | 317,610,676 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 1,913,858,293 | | | $ | 613,566,738 | | | $ | 381,056,558 | | | $ | 63,445,882 | |
End of Period | | $ | 2,223,844,672 | | | $ | 1,913,858,293 | | | $ | 373,716,310 | | | $ | 381,056,558 | |
| | | | |
Accumulated (Undistributed) Net Investment Income (Loss) | | $ | (712,506 | ) | | $ | 232,289 | | | $ | 61,163 | | | $ | 62,412 | |
| | | | | | |
| 76 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Statements of Changes in Net Assets | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | | | DoubleLine Flexible Income Fund | | | DoubleLine
Low Duration
Emerging Markets
Fixed Income Fund | |
| | | Period Ended
September 30, 2014 (Unaudited) | | | Year Ended
March 31, 20141 | | | Period Ended
September 30, 20142 (Unaudited) | | | Period Ended
September 30, 20142 (Unaudited) | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 1,097,098 | | | $ | 230,903 | | | $ | 437,272 | | | $ | 1,217,534 | |
Net Realized Gain (Loss) on Investments | | | 65,446 | | | | 41,175 | | | | 39,303 | | | | 61,917 | |
Net Change in Unrealized Appreciation (Depreciation) of Investments | | | 1,511,942 | | | | 1,350,483 | | | | (222,179 | ) | | | 378,287 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 2,674,486 | | | | 1,622,561 | | | | 254,396 | | | | 1,657,738 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (878,301 | ) | | | (130,379 | ) | | | (299,413 | ) | | | (955,720 | ) |
Class N | | | (296,535 | ) | | | (95,786 | ) | | | (183,204 | ) | | | (239,732 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | — | |
Class N | | | — | | | | — | | | | — | | | | — | |
| | | | |
Total Distributions to Shareholders | | | (1,174,836 | ) | | | (226,165 | ) | | | (482,617 | ) | | | (1,195,452 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 88,250,446 | | | | 29,316,916 | | | | 34,964,994 | | | | 57,631,250 | |
Class N | | | 20,986,616 | | | | 10,061,740 | | | | 22,616,617 | | | | 19,724,978 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 109,237,062 | | | | 39,378,656 | | | | 57,581,611 | | | | 77,356,228 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 110,736,712 | | | $ | 40,775,052 | | | $ | 57,353,390 | | | $ | 77,818,514 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 40,775,052 | | | $ | — | | | $ | — | | | $ | — | |
End of Period | | $ | 151,511,764 | | | $ | 40,775,052 | | | $ | 57,353,390 | | | $ | 77,818,514 | |
| | | | |
Accumulated (Undistributed) Net Investment Income (Loss) | | $ | (72,975 | ) | | $ | 4,763 | | | $ | (45,345 | ) | | $ | 22,082 | |
| 1 | Commencement of operations on October 31, 2013 |
| 2 | Commencement of operations on April 7, 2014 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2014 | | 77 |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Total Return Bond Fund | |
| | | Period Ended
September 30,
2014 (Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Period Ended
September 30,
2014 (Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.90 | | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.96 | | | $ | 10.00 | | | $ | 10.89 | | | $ | 11.33 | | | $ | 11.16 | | | $ | 10.96 | | | $ | 10.00 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.22 | | | | 0.42 | | | | 0.46 | | | | 0.77 | | | | 1.02 | | | | 0.21 | | | | 0.39 | | | | 0.44 | | | | 0.73 | | | | 0.99 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | 0.08 | | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | | | | 0.08 | | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | |
Total from Investment Operations | | | 0.30 | | | | 0.12 | | | | 0.80 | | | | 1.08 | | | | 1.89 | | | | 0.29 | | | | 0.09 | | | | 0.78 | | | | 1.04 | | | | 1.86 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.26 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.25 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.26 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.25 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Net Asset Value,
End of Period | | $ | 10.94 | | | $ | 10.90 | | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.96 | | | $ | 10.93 | | | $ | 10.89 | | | $ | 11.33 | | | $ | 11.16 | | | $ | 10.96 | |
Total Return | | | 2.81% | 2 | | | 1.13% | | | | 7.37% | | | | 10.18% | | | | 19.28% | 2 | | | 2.68% | 2 | | | 0.88% | | | | 7.11% | | | | 9.83% | | | | 19.04% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets,
End of Period (000’s) | | $ | 28,945,825 | | | $ | 24,631,306 | | | $ | 30,398,069 | | | $ | 16,226,569 | | | $ | 4,330,408 | | | $ | 6,970,591 | | | $ | 7,070,779 | | | $ | 9,441,917 | | | $ | 6,115,779 | | | $ | 1,479,601 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.47% | 3 | | | 0.47% | | | | 0.48% | | | | 0.50% | | | | 0.53% | 3 | | | 0.72% | 3 | | | 0.72% | | | | 0.73% | | | | 0.75% | | | | 0.78% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.47% | 3 | | | 0.48% | | | | 0.48% | | | | 0.49% | | | | 0.49% | 3 | | | 0.72% | 3 | | | 0.73% | | | | 0.73% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment
Income (Loss) | | | 4.02% | 3 | | | 3.78% | | | | 4.02% | | | | 6.86% | | | | 9.42% | 3 | | | 3.77% | 3 | | | 3.25% | | | | 3.76% | | | | 6.58% | | | | 9.17% | 3 |
Portfolio Turnover Rate | | | 7% | 2 | | | 14% | | | | 23% | | | | 15% | | | | 17% | 2 | | | 7% | 2 | | | 14% | | | | 23% | | | | 15% | | | | 17% | 2 |
| 1 | Commencement of operations on April 6, 2010 |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 78 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Core Fixed Income Fund | |
| | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.88 | | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.46 | | | $ | 10.00 | | | $ | 10.87 | | | $ | 11.28 | | | $ | 11.05 | | | $ | 10.46 | | | $ | 10.00 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.22 | | | | 0.41 | | | | 0.36 | | | | 0.50 | | | | 0.57 | | | | 0.22 | | | | 0.40 | | | | 0.33 | | | | 0.47 | | | | 0.55 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.07 | | | | (0.31 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | | | | 0.07 | | | | (0.31 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | |
Total from Investment Operations | | | 0.29 | | | | 0.10 | | | | 0.72 | | | | 1.15 | | | | 0.98 | | | | 0.29 | | | | 0.09 | | | | 0.69 | | | | 1.12 | | | | 0.96 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.23 | ) | | | (0.47 | ) | | | (0.44 | ) | | | (0.52 | ) | | | (0.48 | ) | | | (0.22 | ) | | | (0.46 | ) | | | (0.41 | ) | | | (0.50 | ) | | | (0.46 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.04 | ) | | | (0.05 | ) | | | (0.03 | ) | | | (0.04 | ) | | | — | | | | (0.04 | ) | | | (0.05 | ) | | | (0.03 | ) | | | (0.04 | ) |
Total Distributions | | | (0.23 | ) | | | (0.51 | ) | | | (0.49 | ) | | | (0.55 | ) | | | (0.52 | ) | | | (0.22 | ) | | | (0.50 | ) | | | (0.46 | ) | | | (0.53 | ) | | | (0.50 | ) |
Net Asset Value, End of Period | | | 10.94 | | | $ | 10.88 | | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.46 | | | $ | 10.94 | | | $ | 10.87 | | | $ | 11.28 | | | $ | 11.05 | | | $ | 10.46 | |
Total Return | | | 2.72% | 2 | | | 1.03% | | | | 6.53% | | | | 11.19% | | | | 9.90% | 2 | | | 2.68% | 2 | | | 0.77% | | | | 6.27% | | | | 10.85% | | | | 9.71% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 1,766,192 | | | $ | 1,351,760 | | | $ | 1,829,092 | | | $ | 1,544,169 | | | $ | 158,043 | | | $ | 402,946 | | | $ | 383,712 | | | $ | 731,957 | | | $ | 539,143 | | | $ | 30,586 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.47% | 3 | | | 0.48% | | | | 0.51% | | | | 0.54% | | | | 0.85% | 3 | | | 0.72% | 3 | | | 0.73% | | | | 0.76% | | | | 0.79% | | | | 1.09% | 3 |
Expenses After Fees Waived | | | 0.47% | 3 | | | 0.48% | | | | 0.50% | | | | 0.49% | | | | 0.49% | 3 | | | 0.72% | 3 | | | 0.73% | | | | 0.75% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment Income (Loss) | | | 3.99% | 3 | | | 3.76% | | | | 3.14% | | | | 4.51% | | | | 6.56% | 3 | | | 3.73% | 3 | | | 3.32% | | | | 2.91% | | | | 4.22% | | | | 6.38% | 3 |
Portfolio Turnover Rate | | | 25% | 2 | | | 53% | | | | 83% | | | | 81% | | | | 84% | 2 | | | 25% | 2 | | | 53% | | | | 83% | | | | 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, 2014 | | 79 |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Emerging Markets Fixed Income Fund | |
| | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.00 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.00 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.28 | | | | 0.46 | | | | 0.38 | | | | 0.58 | | | | 0.60 | | | | 0.27 | | | | 0.44 | | | | 0.36 | | | | 0.55 | | | | 0.58 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.24 | | | | (0.38 | ) | | | 0.46 | | | | 0.23 | | | | 0.52 | | | | 0.24 | | | | (0.38 | ) | | | 0.46 | | | | 0.23 | | | | 0.52 | |
Total from Investment Operations | | | 0.52 | | | | 0.08 | | | | 0.84 | | | | 0.81 | | | | 1.12 | | | | 0.51 | | | | 0.06 | | | | 0.82 | | | | 0.78 | | | | 1.10 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.29 | ) | | | (0.48 | ) | | | (0.38 | ) | | | (0.58 | ) | | | (0.52 | ) | | | (0.27 | ) | | | (0.46 | ) | | | (0.36 | ) | | | (0.55 | ) | | | (0.50 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.15 | ) | | | (0.13 | ) | | | (0.10 | ) | | | (0.03 | ) | | | — | | | | (0.15 | ) | | | (0.13 | ) | | | (0.10 | ) | | | (0.03 | ) |
Total Distributions | | | (0.29 | ) | | | (0.63 | ) | | | (0.51 | ) | | | (0.68 | ) | | | (0.55 | ) | | | (0.27 | ) | | | (0.61 | ) | | | (0.49 | ) | | | (0.65 | ) | | | (0.53 | ) |
Net Asset Value, End of Period | | $ | 10.71 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.72 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | |
Total Return | | | 4.96% | 2 | | | 0.95% | | | | 8.04% | | | | 7.96% | | | | 11.48% | 2 | | | 4.92% | 2 | | | 0.69% | | | | 7.78% | | | | 7.71% | | | | 11.25% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 461,356 | | | $ | 331,790 | | | $ | 620,479 | | | $ | 349,926 | | | $ | 106,227 | | | $ | 192,209 | | | $ | 183,977 | | | $ | 167,750 | | | $ | 81,484 | | | $ | 26,277 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.91% | 3 | | | 0.92% | | | | 0.91% | | | | 0.95% | | | | 1.32% | 3 | | | 1.16% | 3 | | | 1.17% | | | | 1.16% | | | | 1.20% | | | | 1.57% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.91% | 3 | | | 0.92% | | | | 0.91% | | | | 0.95% | | | | 0.95% | 3 | | | 1.16% | 3 | | | 1.17% | | | | 1.16% | | | | 1.20% | | | | 1.20% | 3 |
Net Investment Income (Loss) | | | 5.21% | 3 | | | 4.40% | | | | 3.53% | | | | 5.47% | | | | 5.85% | 3 | | | 4.95% | 3 | | | 4.25% | | | | 3.30% | | | | 5.26% | | | | 5.66% | 3 |
Portfolio Turnover Rate | | | 47% | 2 | | | 79% | | | | 105% | | | | 177% | | | | 109% | 2 | | | 47% | 2 | | | 79% | | | | 105% | | | | 177% | | | | 109% | 2 |
| 1 | Commencement of operations on April 6, 2010 |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 80 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | Period Ended
September 30, 2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class I | | | Class A | | | Class A | | | Class A | | | Class A | | | Class A | |
| | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.10 | | | $ | 9.96 | | | $ | 10.03 | | | $ | 10.11 | | | $ | 10.00 | | | $ | 10.07 | | | $ | 9.95 | | | $ | 10.02 | | | $ | 10.09 | | | $ | 10.00 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.14 | | | | 0.18 | | | | 0.31 | | | | 0.42 | | | | 0.10 | | | | 0.13 | | | | 0.12 | | | | 0.29 | | | | 0.41 | | | | 0.10 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.12 | ) | | | 0.18 | | | | (0.06 | ) | | | (0.16 | ) | | | 0.02 | | | | (0.12 | ) | | | 0.19 | | | | (0.06 | ) | | | (0.16 | ) | | | — | |
Total from Investment Operations | | | 0.02 | | | | 0.36 | | | | 0.25 | | | | 0.26 | | | | 0.12 | | | | 0.01 | | | | 0.31 | | | | 0.23 | | | | 0.25 | | | | 0.10 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.21 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.19 | ) | | | (0.19 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.21 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.19 | ) | | | (0.19 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Net Asset Value,
End of Period | | $ | 9.91 | | | $ | 10.10 | | | $ | 9.96 | | | $ | 10.03 | | | $ | 10.11 | | | $ | 9.89 | | | $ | 10.07 | | | $ | 9.95 | | | $ | 10.02 | | | $ | 10.09 | |
Total Return5 | | | 0.12% | 2 | | | 3.65% | | | | 2.49% | | | | 2.67% | | | | 1.24% | 2 | | | 0.09% | 2 | | | 3.28% | | | | 2.19% | | | | 2.57% | | | | 1.02% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets,
End of Period (000’s) | | $ | 51,486 | | | $ | 66,292 | | | $ | 105,114 | | | $ | 85,073 | | | $ | 22,128 | | | $ | 80,375 | | | $ | 96,734 | | | $ | 159,714 | | | $ | 42,261 | | | $ | 6,071 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 1.17% | 3 | | | 1.26% | | | | 1.35% | | | | 1.51% | | | | 5.11% | 3 | | | 1.42% | 3 | | | 1.51% | | | | 1.60% | | | | 1.76% | | | | 6.05% | 3 |
Expenses After Fees Waived | | | 1.05% | 3 | | | 1.13% | | | | 1.10% | | | | 1.09% | | | | 1.18% | 3 | | | 1.30% | 3 | | | 1.38% | | | | 1.35% | | | | 1.34% | | | | 1.43% | 3 |
Net Investment Income (Loss) | | | 2.75% | 3 | | | 1.67% | | | | 3.11% | | | | 4.14% | | | | 3.57% | 3 | | | 2.50% | 3 | | | 1.01% | | | | 2.48% | | | | 3.88% | | | | 3.57% | 3 |
Portfolio Turnover Rate | | | 58% | 2 | | | 150% | | | | 88% | | | | 48% | | | | 19% | 2 | | | 58% | 2 | | | 150% | | | | 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, 2014 | | 81 |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Bond Fund | |
| | | Period Ended
September 30, 2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Period Ended
March 31,
20121 | | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Period Ended
March 31,
20121 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.19 | | | $ | 10.21 | | | $ | 10.16 | | | $ | 10.00 | | | $ | 10.18 | | | $ | 10.20 | | | $ | 10.15 | | | $ | 10.00 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.11 | | | | 0.15 | | | | 0.20 | | | | 0.11 | | | | 0.10 | | | | 0.13 | | | | 0.17 | | | | 0.09 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.01 | ) | | | — | | | | 0.09 | | | | 0.13 | | | | (0.01 | ) | | | — | | | | 0.09 | | | | 0.13 | |
Total from Investment Operations | | | 0.10 | | | | 0.15 | | | | 0.29 | | | | 0.24 | | | | 0.09 | | | | 0.13 | | | | 0.26 | | | | 0.22 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.11 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.10 | ) | | | (0.15 | ) | | | (0.21 | ) | | | (0.07 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.11 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.10 | ) | | | (0.15 | ) | | | (0.21 | ) | | | (0.07 | ) |
Net Asset Value, End of Period | | $ | 10.18 | | | $ | 10.19 | | | $ | 10.21 | | | $ | 10.16 | | | $ | 10.17 | | | $ | 10.18 | | | $ | 10.20 | | | $ | 10.15 | |
Total Return | | | 1.00% | 2 | | | 1.51% | | | | 2.88% | | | | 2.44% | 2 | | | 0.87% | 2 | | | 1.26% | | | | 2.64% | | | | 2.25% | 2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 1,077,420 | | | $ | 851,771 | | | $ | 375,840 | | | $ | 132,117 | | | $ | 1,146,425 | | | $ | 1,062,088 | | | $ | 237,727 | | | $ | 85,343 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.46% | 3 | | | 0.48% | | | | 0.53% | | | | 0.94% | 3 | | | 0.71% | 3 | | | 0.73% | | | | 0.78% | | | | 1.19% | 3 |
Expenses After Fees Waived | | | 0.45% | 3 | | | 0.47% | | | | 0.47% | | | | 0.47% | 3 | | | 0.70% | 3 | | | 0.72% | | | | 0.72% | | | | 0.72% | 3 |
Net Investment Income (Loss) | | | 2.11% | 3 | | | 1.46% | | | | 1.98% | | | | 2.10% | 3 | | | 1.86% | 3 | | | 1.30% | | | | 1.70% | | | | 1.74% | 3 |
Portfolio Turnover Rate | | | 38% | 2 | | | 53% | | | | 71% | | | | 46% | 2 | | | 38% | 2 | | | 53% | | | | 71% | | | | 46% | 2 |
| 1 | Commencement of operations on September 30, 2011 |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 82 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Floating Rate Fund | |
| | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31, 2014 | | | Period Ended
March 31, 20131 | | | Period Ended
September 30,
2014
(Unaudited) | | | Year Ended
March 31, 2014 | | | Period Ended
March 31, 20131 | |
| | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | |
| | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.15 | | | $ | 10.08 | | | $ | 10.00 | | | $ | 10.16 | | | $ | 10.08 | | | $ | 10.00 | |
| | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.16 | | | | 0.27 | | | | — | | | | 0.16 | | | | 0.25 | | | | — | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.13 | ) | | | 0.04 | | | | 0.08 | | | | (0.13 | ) | | | 0.05 | | | | 0.08 | |
Total from Investment Operations | | | 0.03 | | | | 0.31 | | | | 0.08 | | | | 0.03 | | | | 0.30 | | | | 0.08 | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.16 | ) | | | (0.24 | ) | | | — | | | | (0.15 | ) | | | (0.22 | ) | | | — | |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.16 | ) | | | (0.24 | ) | | | — | | | | (0.15 | ) | | | (0.22 | ) | | | — | |
Net Asset Value, End of Period | | $ | 10.02 | | | $ | 10.15 | | | $ | 10.08 | | | $ | 10.04 | | | $ | 10.16 | | | $ | 10.08 | |
Total Return | | | 0.32% | 2 | | | 3.07% | | | | 0.80% | 2 | | | 0.29% | 2 | | | 2.93% | | | | 0.80% | 2 |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 316,278 | | | $ | 276,737 | | | $ | 63,436 | | | $ | 57,438 | | | $ | 104,320 | | | $ | 10 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.70% | 3 | | | 0.73% | | | | 2.01% | 3 | | | 0.95% | 3 | | | 0.98% | | | | 2.26% | 3 |
Expenses After Fees Waived | | | 0.75% | 3 | | | 0.73% | | | | 0.75% | 3 | | | 1.00% | 3 | | | 0.98% | | | | 1.00% | 3 |
Net Investment Income (Loss) | | | 3.22% | 3 | | | 2.68% | | | | (0.13)% | 3 | | | 2.94% | 3 | | | 2.68% | | | | (0.13)% | 3 |
Portfolio Turnover Rate | | | 44% | 2 | | | 66% | | | | 20% | 2 | | | 44% | 2 | | �� | 66% | | | | 20% | 2 |
| 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, 2014 | | 83 |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | |
| | | Period Ended
September 30, 2014 (Unaudited) | | | Period Ended
March 31, 20141 | | | Period Ended
September 30, 2014 (Unaudited) | | | Period Ended
March 31, 20141 | |
| | | Class I | | | Class I | | | Class N | | | Class N | |
| | | | |
Net Asset Value, Beginning of Period | | $ | 10.68 | | | $ | 10.00 | | | $ | 10.68 | | | $ | 10.00 | |
| | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.17 | | | | 0.11 | | | | 0.16 | | | | 0.10 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.62 | | | | 0.67 | | | | 0.62 | | | | 0.67 | |
Total from Investment Operations | | | 0.79 | | | | 0.78 | | | | 0.78 | | | | 0.77 | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.16 | ) | | | (0.10 | ) | | | (0.15 | ) | | | (0.09 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.16 | ) | | | (0.10 | ) | | | (0.15 | ) | | | (0.09 | ) |
Net Asset Value, End of Period | | $ | 11.31 | | | $ | 10.68 | | | $ | 11.31 | | | $ | 10.68 | |
Total Return | | | 7.39% | 2 | | | 7.83% | 2 | | | 7.27% | 2 | | | 7.73% | 2 |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 119,242 | | | $ | 30,061 | | | $ | 32,270 | | | $ | 10,714 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Fees Waived | | | 0.96% | 3 | | | 4.98% | 3 | | | 1.21% | 3 | | | 5.23% | 3 |
Expenses After Fees Waived | | | 0.59% | 3 | | | 0.65% | 3 | | | 0.84% | 3 | | | 0.90% | 3 |
Net Investment Income (Loss) | | | 2.99% | 3 | | | 2.64% | 3 | | | 2.70% | 3 | | | 2.35% | 3 |
Portfolio Turnover Rate | | | 54% | 2 | | | 120% | 2 | | | 54% | 2 | | | 120% | 2 |
| 1 | Commencement of operations on October 31, 2013 |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 84 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | |
| | | DoubleLine Flexible Income Fund | |
| | | Period Ended
September 30, 20141 (Unaudited) | | | Period Ended
September 30, 20141 (Unaudited) | |
| | | Class I | | | Class N | |
| | |
Net Asset Value, Beginning of Period | | $ | 10.00 | | | $ | 10.00 | |
| | |
Income (Loss) from Investment Operations: | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.18 | | | | 0.17 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.02 | | | | 0.02 | |
Total from Investment Operations | | | 0.20 | | | | 0.19 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.15 | ) | | | (0.14 | ) |
Distributions from Net Realized Gain | | | — | | | | — | |
Total Distributions | | | (0.15 | ) | | | (0.14 | ) |
Net Asset Value, End of Period | | $ | 10.05 | | | | 10.05 | |
Total Return | | | 2.02% | 2 | | | 1.93% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 34,852 | | | $ | 22,502 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Fees Waived | | | 1.55% | 3 | | | 1.80% | 3 |
Expenses After Fees Waived | | | 0.75% | 3 | | | 1.00% | 3 |
Net Investment Income (Loss) | | | 3.70% | 3 | | | 3.60% | 3 |
Portfolio Turnover Rate | | | 64% | 2 | | | 64% | 2 |
| 1 | Commencement of operations on April 7, 2014 |
| 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, 2014 | | 85 |
| | |
| Financial Highlights | | (Unaudited) September 30, 2014 |
| | | | | | | | |
| | | DoubleLine Low Duration Emerging Markets Fixed
Income Fund | |
| | | Period Ended
September 30, 20141 (Unaudited) | | | Period Ended
September 30, 20141 (Unaudited) | |
| | | Class I | | | Class N | |
| | |
Net Asset Value, Beginning of Period | | $ | 10.00 | | | $ | 10.00 | |
| | |
Income (Loss) from Investment Operations: | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.18 | | | | 0.17 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.10 | | | | 0.10 | |
Total from Investment Operations | | | 0.28 | | | | 0.27 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.17 | ) | | | (0.16 | ) |
Distributions from Net Realized Gain | | | — | | | | — | |
Total Distributions | | | (0.17 | ) | | | (0.16 | ) |
Net Asset Value, End of Period | | $ | 10.11 | | | | 10.11 | |
Total Return | | | 2.85% | 2 | | | 2.74% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 58,150 | | | $ | 19,668 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Fees Waived | | | 0.90% | 3 | | | 1.15% | 3 |
Expenses After Fees Waived | | | 0.59% | 3 | | | 0.84% | 3 |
Net Investment Income (Loss) | | | 3.76% | 3 | | | 3.64% | 3 |
Portfolio Turnover Rate | | | 9% | 2 | | | 9% | 2 |
| 1 | Commencement of operations on April 7, 2014 |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 86 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Notes to Financial Statements | | (Unaudited) September 30, 2014 |
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 10 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, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund, DoubleLine Low Duration Emerging Markets Fixed Income Fund and DoubleLine Selective Credit Fund (each, a “Fund” and, collectively, the “Funds”). For financial information related to the DoubleLine Selective Credit Fund, please refer to the DoubleLine Selective Credit Fund’s separate semi-annual report. The DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Low Duration Bond Fund, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund and DoubleLine Low Duration Emerging Markets Fixed Income 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 Shiller Enhanced CAPE® commenced operations on October 31, 2013. The DoubleLine Flexible Income Fund and DoubleLine Low Duration Emerging Markets Fixed Income Fund commenced operations on April 7, 2014.
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. The DoubleLine Shiller Enhanced CAPE®’s investment objective is to seek total return which exceeds the total return of its benchmark index. The DoubleLine Flexible Income Fund’s investment objective is to seek long-term total return while striving to generate current income. The DoubleLine Low Duration Emerging Markets Fixed Income Fund’s investment objective is to seek long term total return.
2. Significant Accounting Policies
Each Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, “Financial Services—Investment Companies”, by the Financial Accounting Standards Board (“FASB”). The following is a summary of the significant accounting policies of the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).
A. Security Valuation. The Funds have adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
| | • | | Level 1—Unadjusted quoted market prices in active markets for identical securities |
| | • | | Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data |
| | • | | Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions) |
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 |
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 |
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 87 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
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, 2014, the Funds did not hold any investments in private investment funds.
Short-term debt 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 evaluations provided by independent pricing services or broker dealer quotations. 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.
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 and the Pricing Group are 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 or fair value.
The following is a summary of the fair valuations according to the inputs used to value the Funds’ investments as of September 30, 20141:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible
Income Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | $ | 899,706,195 | | | $ | 136,170,975 | | | $ | 40,948 | | | $ | 29,199,250 | | | $ | 100,177,080 | | | $ | 41,964,531 | | | $ | 7,732,878 | | | $ | 3,987,041 | | | $ | 24,295 | |
Affiliated Mutual Funds | | | | | — | | | | 113,002,257 | | | | — | | | | 45,989,969 | | | | 50,550,000 | | | | — | | | | 17,280,350 | | | | 8,624,822 | | | | — | |
Exchange Traded Funds and Common Stock | | | | | — | | | | — | | | | — | | | | 23,275,945 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchased Options | | | | | — | | | | — | | | | — | | | | 776,005 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 1 | | | | | 899,706,195 | | | | 249,173,232 | | | | 40,948 | | | | 99,241,169 | | | | 150,727,080 | | | | 41,964,531 | | | | 25,013,228 | | | | 12,611,863 | | | | 24,295 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
US Government / Agency Mortgage Backed Obligations | | | | | 16,051,429,108 | | | | 371,391,034 | | | | — | | | | 5,490,210 | | | | 25,764,718 | | | | — | | | | 2,267,380 | | | | 493,057 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 8,849,520,252 | | | | 238,071,249 | | | | — | | | | 11,283,372 | | | | 169,579,256 | | | | — | | | | 23,431,082 | | | | 14,093,963 | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | 2,099,130,217 | | | | 152,744,482 | | | | — | | | | — | | | | 363,480,314 | | | | 7,671,275 | | | | 18,894,665 | | | | 4,887,427 | | | | — | |
US Government Bonds and Notes | | | | | 1,931,921,300 | | | | 371,796,110 | | | | — | | | | — | | | | 154,350,392 | | | | — | | | | 6,979,975 | | | | — | | | | — | |
Other Short Term Investments | | | | | 1,927,708,607 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Collateralized Loan Obligations | | | | | 1,432,372,279 | | | | 95,925,200 | | | | — | | | | 7,047,555 | | | | 460,946,709 | | | | — | | | | 26,356,076 | | | | 10,772,114 | | | | — | |
Asset Backed Obligations | | | | | 32,461,507 | | | | — | | | | — | | | | — | | | | 29,049,230 | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | | | — | | | | 364,375,605 | | | | 646,797,145 | | | | 3,438,750 | | | | 416,485,676 | | | | — | | | | 30,781,877 | | | | 11,344,058 | | | | 75,303,402 | |
US Corporate Bonds | | | | | — | | | | 270,740,240 | | | | — | | | | — | | | | 195,042,565 | | | | 10,912,505 | | | | 16,293,878 | | | | 4,500,377 | | | | — | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | — | | | | 8,813,610 | | | | 503,750 | | | | — | | | | 18,113,521 | | | | — | | | | 435,247 | | | | — | | | | — | |
Municipal Bonds | | | | | — | | | | — | | | | — | | | | 2,206,250 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchased Options | | | | | — | | | | — | | | | — | | | | 25,300 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Bank Loans | | | | | — | | | | — | | | | — | | | | — | | | | 211,969,918 | | | | 334,156,608 | | | | — | | | | — | | | | 1,371,392 | |
Total Level 2 | | | | | 32,324,543,270 | | | | 1,873,857,530 | | | | 647,300,895 | | | | 29,491,437 | | | | 2,044,782,299 | | | | 352,740,388 | | | | 125,440,180 | | | | 46,090,996 | | | | 76,674,794 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 620,032,791 | | | | 19,136,910 | | | | — | | | | 389,968 | | | | — | | | | — | | | | 778,569 | | | | 238,338 | | | | — | |
Total Level 3 | | | | | 620,032,791 | | | | 19,136,910 | | | | — | | | | 389,968 | | | | — | | | | — | | | | 778,569 | | | | 238,338 | | | | — | |
Total | | | | $ | 33,844,282,256 | | | $ | 2,142,167,672 | | | $ | 647,341,843 | | | $ | 129,122,574 | | | $ | 2,195,509,379 | | | $ | 394,704,919 | | | $ | 151,231,977 | | | $ | 58,941,197 | | | $ | 76,699,089 | |
| | | | | | |
| 88 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible
Income Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | | $ | — | | | $ | — | | | $ | — | | | $ | 347,111 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Futures Contracts | | | | | — | | | | — | | | | — | | | | (710,218 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 1 | | | | | — | | | | — | | | | — | | | | (363,107 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | | | — | | | | — | | | | — | | | | (232,696 | ) | | | — | | | | — | | | | 3,127,288 | | | | — | | | | — | |
Total Level 2 | | | | | — | | | | — | | | | — | | | | (232,696 | ) | | | — | | | | — | | | | 3,127,288 | | | | — | | | | — | |
Level 3 | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | $ | — | | | $ | — | | | $ | — | | | $ | (595,803 | ) | | $ | — | | | $ | — | | | $ | 3,127,288 | | | $ | — | | | $ | — | |
Certain of the Fund’s investments are held at face value, which approximates fair value for financial statement purposes. The following is a summary of such investments as of September 30, 20141:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Short Term Investments | | | | | 1,693,911,214 | | | | — | | | | — | | | | 2,499,924 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | | | 1,693,911,214 | | | | — | | | | — | | | | 2,499,924 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Level 3 | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | $ | 1,693,911,214 | | | $ | — | | | $ | — | | | $ | 2,499,924 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| 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, 2014. |
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
3/31/2014 | | | Net Realized Gain
(Loss) | | | Net Change in
Unrealized
Appreciation
(Depreciation)3 | | | Net Accretion
(Amortization) | | | Purchases | | | Sales1 | | | Transfers Into
Level 32 | | | Transfers Out
of Level 32 | | | Balance as of
9/30/2014 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
9/30/20143 | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 862,153,296 | | | $ | 1,812,310 | | | $ | 3,727,887 | | | $ | 18,691,655 | | | $ | 10,337,750 | | | $ | (13,089,774 | ) | | $ | 20,546,415 | | | $ | (284,146,748 | ) | | $ | 620,032,791 | | | $ | (2,669,646 | ) |
| | | | | | | | |
Total | | $ | 862,153,296 | | | $ | 1,812,310 | | | $ | 3,727,887 | | | $ | 18,691,655 | | | $ | 10,337,750 | | | $ | (13,089,774 | ) | | $ | 20,546,415 | | | $ | (284,146,748 | ) | | $ | 620,032,791 | | | $ | (2,669,646 | ) |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DoubleLine Core
Fixed Income Fund | | Balance as of
3/31/2014 | | | Net Realized Gain
(Loss) | | | Change in Net
Unrealized
Appreciation
(Depreciation)3 | | | Net Accretion
(Amortization) | | | Purchases | | | Sales1 | | | Transfers Into
Level 32 | | | Transfers Out
of Level 32 | | | Balance as of
9/30/2014 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
9/30/20143 | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 27,845,925 | | | $ | 53,144 | | | $ | (440,969 | ) | | $ | 665,815 | | | $ | — | | | $ | (353,440 | ) | | $ | — | | | $ | (8,633,565 | ) | | $ | 19,136,910 | | | $ | (285,248 | ) |
| | | | | | | | |
Total | | $ | 27,845,925 | | | $ | 53,144 | | | $ | (440,969 | ) | | $ | 665,815 | | | $ | — | | | $ | (353,440 | ) | | $ | — | | | $ | (8,633,565 | ) | | $ | 19,136,910 | | | $ | (285,248 | ) |
| | | | | | | | |
| 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. |
| 3 | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at September 30, 2014 may be due to a security that was not held or categorized as Level 3 at either period end. |
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 89 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| | | | | | | | | | | | | | |
| DoubleLine Total Return Bond Fund | | Fair Value as of
9/30/2014* | | | Valuation Techniques | | Unobservable
Input | | Input Values | | | Impact to valuation from an increase to input |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 620,032,791 | | | Market Comparables | | Market Quotes | | $ | 47.59 - $121.95 | | | Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security |
| | | | | | | | | | | | | | |
| DoubleLine Core Fixed Income Fund | | Fair Value as of
9/30/2014* | | | Valuation Techniques | | Unobservable
Input | | Input Values | | | Impact to valuation from an increase to input |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 19,136,910 | | | Market Comparables | | Market Quotes | | $ | 83.66 - $96.29 | | | 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, 2014, 2013 and 2012 for the Funds, are those that are open for exam by taxing authorities. As of September 30, 2014 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, 2014. 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 except for certain deep discount bonds where Management does not expect the par value above the bond’s cost to be fully realized. Dividend income and corporate transactions, if any, are recorded on the ex-date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of securities received. 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, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund and DoubleLine Low Duration Emerging Markets Fixed Income 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.
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’ NAV 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.
| | | | | | |
| 90 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
G. Unfunded Loan Commitments. The Funds may enter into certain credit agreements, of which all or a portion may be unfunded. These commitments are disclosed in the accompanying Schedule of Investments. The Funds are obligated to fund these commitments at the borrower’s discretion. The Funds generally will maintain with their custodian liquid investments having an aggregate value at least equal to the par value of unfunded loan 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, 2014 net assets of the DoubleLine Multi-Asset Growth Fund were $131,863,789 of which $10,595,118, or approximately 8.07%, 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 and Other 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%, 0.50%, 0.45%, 0.62% 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, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund and DoubleLine Low Duration Emerging Markets Fixed Income Fund, respectively. The Adviser has arrangements with DoubleLine Group LP to provide personnel and other resources to the Funds.
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. The Adviser has contractually agreed to limit the DoubleLine Shiller Enhanced CAPE®’s ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed 0.65% for the Class I shares and 0.90% for the Class N shares. The Adviser has contractually agreed to limit the DoubleLine Flexible Income Fund’s ordinary operating expenses so that it ratio of such expenses to average net assets will not exceed 0.82% for the Class I shares and 1.07% for the Class N shares. The Adviser has contractually agreed to limit the DoubleLine Low Duration Emerging Markets Fixed Income Fund’s ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed 0.59% for the Class I shares and 0.84% 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 is expected to apply until at least July 31, 2015, except it 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 by the Board 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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Date 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 | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible Income
Fund | | | DoubleLine Low
Duration Emerging
Markets Fixed
Income Fund | |
March 31, 2015 | | $ | — | | | $ | 461,517 | | | $ | — | | | $ | 350,372 | | | $ | 206,049 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
March 31, 2016 | | | — | | | | 203,659 | | | | — | | | | 391,977 | | | | 246,512 | | | | — | | | | — | | | | — | | | | — | |
March 31, 2017 | | | — | | | | — | | | | — | | | | 283,515 | | | | 105,391 | | | | — | | | | 399,206 | | | | — | | | | — | |
March 31, 2018 | | | — | | | | — | | | | — | | | | 91,868 | | | | 32,417 | | | | — | | | | 139,068 | | | | 95,257 | | | | 100,871 | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 91 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
For the period ended September 30, 2014, The Adviser recouped $722,048 from the DoubleLine Total Return Bond Fund, $11,145 from the DoubleLine Emerging Markets Fixed Income Fund and $84,103 from the DoubleLine Floating Rate Fund.
All Officers and two of the trustees of the Trust are Officers or employees of DoubleLine Group LP. The Trust pays a fee only to those trustees who are not affiliated with DoubleLine Group LP or the Adviser.
The Adviser may from time to time recommend an investment mix of various Funds to certain platforms or programs. If such recommendations are followed, such investment potentially could be material to certain of the Funds’ overall assets and operations. Depending on market conditions prevalent at the time, there can be no assurance that a redemption of such assets would not result in a material adverse impact to the Funds.
If a Fund invested in other investment vehicles sponsored by the Adviser (“other DoubleLine Funds”) during the period, the Adviser waived its advisory fee to the Fund in an amount equal to the advisory fees paid to the Adviser by the other DoubleLine Funds in respect of Fund assets so invested. Accordingly, the Adviser waived $261,098, $127,581, $121,657, $20,881 and $8,328 in fees with respect to the DoubleLine Core Fixed Income Fund, DoubleLine Multi-Asset Growth Fund, DoubleLine Low Duration Bond Fund, DoubleLine Shiller Enhanced CAPE® and DoubleLine Flexible Income Fund, respectively, for the period ended September 30, 2014.
As of September 30, 2014, 30% of the outstanding shares of the DoubleLine Floating Rate Fund were owned by the DoubleLine Core Fixed Income Fund, 65% of the outstanding shares of the DoubleLine Low Duration Emerging Markets Fixed Income Fund were owned by the DoubleLine Low Duration Bond Fund and 35% of the outstanding shares of the DoubleLine Equities Growth Fund were owned by the DoubleLine Multi-Asset Growth 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. Subject to the exceptions discussed in the Funds’ prospectus, 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 transaction (excluding short-term investments) for the period ended September 30, 2014 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 | | | | $ | 3,054,391,853 | | | $ | 2,005,932,410 | | | $ | — | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 574,448,163 | | | | 326,089,811 | | | | 146,624,803 | | | | 100,442,566 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 427,736,103 | | | | 290,762,576 | | | | — | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 66,738,284 | | | | 60,501,987 | | | | — | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | 869,905,710 | | | | 563,751,918 | | | | 257,320,686 | | | | 169,770,828 | |
DoubleLine Floating Rate Fund | | | | | 149,383,082 | | | | 159,411,027 | | | | — | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | 136,647,337 | | | | 35,634,168 | | | | 10,027,173 | | | | 4,009,738 | |
DoubleLine Flexible Income Fund | | | | | 70,726,749 | | | | 16,217,757 | | | | — | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 82,618,781 | | | | 6,446,553 | | | | — | | | | — | |
| 1 | U.S. Government transactions are defined as those involving U.S. Treasury bills, bonds, and notes. |
| | | | | | |
| 92 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
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, 2014 | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | |
Distributions Paid From: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income | | | | $ | 804,505,250 | | | $ | 1,765,190,670 | | | $ | 40,621,176 | | | $ | 85,341,715 | | | $ | 16,898,867 | | | $ | 33,266,474 | |
Long Term Capital Gain | | | | | — | | | | — | | | | — | | | | 5,789,673 | | | | — | | | | 1,229,937 | |
Total Distributions Paid | | | | $ | 804,505,250 | | | $ | 1,765,190,670 | | | $ | 40,621,176 | | | $ | 91,131,388 | | | $ | 16,898,867 | | | $ | 34,496,411 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Multi-Asset Growth Fund
(Consolidated) | | | DoubleLine Low Duration Bond Fund | | | DoubleLine Floating Rate Fund | |
| | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | |
Distributions Paid From: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income | | | | $ | 2,713,808 | | | $ | 3,968,114 | | | $ | 20,908,834 | | | $ | 18,640,668 | | | $ | 5,736,709 | | | $ | 7,510,032 | |
Long Term Capital Gain | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions Paid | | | | $ | 2,713,808 | | | $ | 3,968,114 | | | $ | 20,908,834 | | | $ | 18,640,668 | | | $ | 5,736,709 | | | $ | 7,510,032 | |
| | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Shiller Enhanced CAPE® | | | DoubleLine Flexible
Income Fund | | | DoubleLine Low
Duration Emerging
Markets Fixed
Income Fund | |
| | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | | | Period Ended
September 30, 2014 | | | Period Ended
September 30, 2014 | |
Distributions Paid From: | | | | | | | | | | | | | | | | | | |
Ordinary Income | | | | $ | 1,174,836 | | | $ | 226,165 | | | $ | 482,617 | | | $ | 1,195,452 | |
Long Term Capital Gain | | | | | — | | | | — | | | | — | | | | — | |
Total Distributions Paid | | | | $ | 1,174,836 | | | $ | 226,165 | | | $ | 482,617 | | | $ | 1,195,452 | |
The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero.
The cost basis of investments for federal income tax purposes as of September 30, 2014 was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Total
Return Bond Fund | | | DoubleLine Core
Fixed Income Fund | | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine Multi-
Asset Growth Fund
(Consolidated) | | | DoubleLine Low
Duration Bond
Fund | | | DoubleLine
Floating Rate
Fund | | | DoubleLine
Shiller Enhanced
CAPE® | | | DoubleLine
Flexible Income
Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | |
Tax Cost of Investments | | | | $ | 35,312,018,261 | | | $ | 2,123,322,467 | | | $ | 639,149,602 | | | $ | 133,902,100 | | | $ | 2,190,357,650 | | | $ | 398,099,498 | | | $ | 151,496,840 | | | $ | 59,163,376 | | | $ | 76,320,802 | |
Gross Tax Unrealized Appreciation | | | | | 959,042,400 | | | | 36,299,696 | | | | 13,377,183 | | | | 1,086,519 | | | | 12,980,755 | | | | 236,114 | | | | 1,643,226 | | | | 166,188 | | | | 650,498 | |
Gross Tax Unrealized Depreciation | | | | | (732,867,191 | ) | | | (17,454,491 | ) | | | (5,184,942 | ) | | | (3,366,121 | ) | | | (7,829,026 | ) | | | (3,630,693 | ) | | | (1,908,089 | ) | | | (388,367 | ) | | | (272,211 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | $ | 226,175,209 | | | $ | 18,845,205 | | | $ | 8,192,241 | | | $ | (2,279,602 | ) | | $ | 5,151,729 | | | $ | (3,394,579 | ) | | $ | (264,863 | ) | | $ | (222,179 | ) | | $ | 378,287 | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 93 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
As of March 31, 2014, 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 | | | DoubleLine
Shiller Enhanced
CAPE® | |
Net Tax Unrealized Appreciation (Depreciation) | | | | $ | (2,365,434 | ) | | $ | 8,126,382 | | | $ | (3,570,772 | ) | | $ | (224,823 | ) | | $ | 7,707,444 | | | $ | 1,183,635 | | | $ | 44,520 | |
Undistributed Ordinary Income | | | | | 54,850,006 | | | | 2,537,962 | | | | 1,998,121 | | | | 4,563,032 | | | | 657,682 | | | | 853,478 | | | | 31,822 | |
Undistributed Long Term Capital Gain | | | | | — | | | | — | | | | — | | | | 1,756,833 | | | | — | | | | 11,923 | | | | 21,830 | |
Total Distributable Earnings | | | | | 54,850,006 | | | | 2,537,962 | | | | 1,998,121 | | | | 6,319,865 | | | | 657,682 | | | | 865,401 | | | | 53,652 | |
Other Accumulated Gains (Losses) | | | | | (1,072,326,649 | ) | | | (29,916,444 | ) | | | (21,405,607 | ) | | | 581,728 | | | | (3,426,588 | ) | | | (537,480 | ) | | | 1,298,224 | |
Total Accumulated Earnings (Losses) | | | | $ | (1,019,842,077 | ) | | $ | (19,252,100 | ) | | $ | (22,978,258 | ) | | $ | 6,676,770 | | | $ | 4,938,538 | | | $ | 1,511,556 | | | $ | 1,396,396 | |
Since the DoubleLine Flexible Income Fund and DoubleLine Low Duration Emerging Markets Fixed Income Fund have not had a full fiscal year, the tax cost of investments is the same as noted in the Schedule of Investments.
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, 2014, 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 | | | | | 778,547,485 | | | | Indefinite | |
DoubleLine Core Fixed Income Fund | | | | | 24,748,617 | | | | Indefinite | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 16,252,599 | | | | Indefinite | |
DoubleLine Low Duration Bond Fund | | | | | 2,635,597 | | | | Indefinite | |
For the period ended March 31, 2014, the DoubleLine Multi-Asset Growth Fund utilized $2,160,080 of its capital loss carryforward.
As of March 31, 2014, the following Funds deferred, on a tax basis, post-October losses of:
| | | | | | |
DoubleLine Total Return Bond Fund | | | | $ | 248,090,289 | |
DoubleLine Core Fixed Income Fund | | | | | 3,704,089 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 4,583,645 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | 365,598 | |
DoubleLine Floating Rate Fund | | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | — | |
Additionally, US GAAP require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. The permanent differences primarily relate to paydown losses, accretion of discount on certain debt instruments and foreign currency gains (losses). For the period ended March 31, 2014, 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 | | | | $ | 457,689,114 | | | $ | (457,689,114 | ) | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 9,987,984 | | | | (9,987,984 | ) | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 480,398 | | | | (480,398 | ) | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 1,296,996 | | | | 6,058,472 | | | | (7,355,468 | ) |
DoubleLine Low Duration Bond Fund | | | | | 2,719,146 | | | | (2,719,146 | ) | | | — | |
DoubleLine Floating Rate Fund | | | | | (8,435 | ) | | | — | | | | 8,435 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 25 | | | | (25 | ) | | | — | |
| | | | | | |
| 94 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
7. Share Transactions
Transactions in each Fund’s shares were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Total Return Bond Fund | | | | | DoubleLine Core Fixed Income Fund | |
| | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 623,229,350 | | | $ | 6,845,218,395 | | | | 1,031,663,229 | | | $ | 11,427,193,274 | | | | | | 56,156,383 | | | $ | 617,977,811 | | | | 70,269,777 | | | $ | 772,152,766 | |
Class N | | | | | 143,586,567 | | | | 1,575,553,626 | | | | 277,503,986 | | | | 3,071,207,850 | | | | | | 11,544,716 | | | | 126,808,530 | | | | 20,690,105 | | | | 227,519,631 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 38,532,661 | | | | 422,621,793 | | | | 79,819,280 | | | | 878,017,247 | | | | | | 2,257,263 | | | | 24,814,287 | | | | 4,554,311 | | | | 49,619,411 | |
Class N | | | | | 11,206,691 | | | | 122,903,521 | | | | 27,102,303 | | | | 298,129,358 | | | | | | 631,901 | | | | 6,943,336 | | | | 1,663,484 | | | | 18,144,770 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (274,999,196 | ) | | | (3,019,437,276 | ) | | | (1,532,225,773 | ) | | | (16,863,389,527 | ) | | | | | (21,315,720 | ) | | | (234,292,973 | ) | | | (112,516,721 | ) | | | (1,230,247,351 | ) |
Class N | | | | | (166,200,359 | ) | | | (1,825,390,343 | ) | | | (488,591,413 | ) | | | (5,371,280,999 | ) | | | | | (10,636,605 | ) | | | (117,034,938 | ) | | | (51,915,655 | ) | | | (566,667,951 | ) |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 375,355,714 | | | $ | 4,121,469,716 | | | | (604,728,388 | ) | | $ | (6,560,122,797 | ) | | | | | 38,637,938 | | | $ | 425,216,053 | | | | (67,254,699 | ) | | $ | (729,478,724 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Emerging Markets Fixed Income Fund | | | | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 23,789,935 | | | $ | 256,560,205 | | | | 20,169,003 | | | $ | 212,554,617 | | | | | | 590,808 | | | $ | 6,012,460 | | | | 3,711,339 | | | $ | 37,171,840 | |
Class N | | | | | 7,170,924 | | | | 77,233,092 | | | | 14,455,439 | | | | 151,680,438 | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | 1,293,334 | | | | 13,136,135 | | | | 4,417,677 | | | | 44,102,001 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 791,172 | | | | 8,531,683 | | | | 1,693,391 | | | | 17,529,848 | | | | | | 81,070 | | | | 822,302 | | | | 119,162 | | | | 1,198,077 | |
Class N | | | | | 357,640 | | | | 3,854,932 | | | | 668,682 | | | | 6,899,691 | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | 28,368 | | | | 287,431 | | | | 47,577 | | | | 477,314 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (13,167,396 | ) | | | (141,917,501 | ) | | | (46,491,820 | ) | | | (482,849,216 | ) | | | | | (2,043,492 | ) | | | (20,825,613 | )# | | | (7,814,272 | ) | | | (78,035,814 | )* |
Class N | | | | | (7,137,014 | ) | | | (77,149,288 | ) | | | (12,792,405 | ) | | | (134,256,491 | ) | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | (2,796,966 | ) | | | (28,452,889 | )# | | | (10,922,811 | ) | | | (109,161,250 | )* |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 11,805,261 | | | $ | 127,113,123 | | | | (22,297,710 | ) | | $ | (228,441,113 | ) | | | | | (2,846,878 | ) | | $ | (29,020,174 | ) | | | (10,441,328 | ) | | $ | (104,247,832 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | DoubleLine Low Duration Bond Fund | | | | | DoubleLine Floating Rate Fund | |
| | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | | | | | Period Ended
September 30, 2014 | | | Year Ended
March 31, 2014 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 39,058,276 | | | $ | 398,906,119 | | | | 101,456,040 | | | $ | 1,032,848,486 | | | | | | 10,368,675 | | | $ | 104,981,142 | | | | 28,702,601 | | | $ | 290,762,751 | |
Class N | | | | | 24,817,554 | | | | 253,206,539 | | | | 109,669,589 | | | | 1,113,469,189 | | | | | | 916,125 | | | | 9,295,566 | | | | 16,121,720 | | | | 163,649,322 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 816,588 | | | | 8,333,517 | | | | 721,367 | | | | 7,343,381 | | | | | | 144,403 | | | | 1,459,025 | | | | 165,560 | | | | 1,680,180 | |
Class N | | | | | 866,798 | | | | 8,837,822 | | | | 742,346 | | | | 7,552,818 | | | | | | 72,371 | | | | 732,874 | | | | 137,273 | | | | 1,395,100 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (17,593,237 | ) | | | (179,661,389 | ) | | | (55,389,051 | ) | | | (564,159,508 | ) | | | | | (6,227,238 | ) | | | (63,049,619 | )~ | | | (7,881,567 | ) | | | (80,031,265 | )^ |
Class N | | | | | (17,254,573 | ) | | | (176,088,512 | ) | | | (29,407,261 | ) | | | (299,311,984 | ) | | | | | (5,535,746 | ) | | | (56,151,179 | )~ | | | (5,991,491 | ) | | | (60,946,086 | )^ |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 30,711,406 | | | $ | 313,534,096 | | | | 127,793,030 | | | $ | 1,297,742,382 | | | | | | (261,410 | ) | | $ | (2,732,191 | ) | | | 31,254,096 | | | $ | 316,510,002 | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 95 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Shiller Enhanced CAPE® | | | | | DoubleLine Flexible Income Fund | | | | | DoubleLine Low Duration Emerging
Markets Fixed Income Fund | |
| | | | | Period Ended
September 30, 2014 | | | Period Ended
March 31, 2014 | | | | | Period Ended
September 30, 2014 | | | | | Period Ended
September 30, 2014 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 8,206,359 | | | $ | 93,658,092 | | | | 2,877,090 | | | $ | 29,950,853 | | | | | | 4,941,963 | | | $ | 49,760,092 | | | | | | 5,864,396 | | | $ | 58,763,163 | |
Class N | | | | | 2,206,209 | | | | 25,023,073 | | | | 1,424,882 | | | | 14,494,826 | | | | | | 2,456,654 | | | | 24,814,192 | | | | | | 2,076,462 | | | | 21,067,735 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 66,021 | | | | 747,377 | | | | 9,305 | | | | 97,421 | | | | | | 21,834 | | | | 220,105 | | | | | | 7,213 | | | | 73,257 | |
Class N | | | | | 24,153 | | | | 273,552 | | | | 8,824 | | | | 91,474 | | | | | | 16,938 | | | | 170,873 | | | | | | 20,253 | | | | 205,904 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (546,889 | ) | | | (6,155,023 | ) | | | (71,600 | ) | | | (731,358 | ) | | | | | (1,496,540 | ) | | | (15,015,203 | ) | | | | | (118,321 | ) | | | (1,205,170 | ) |
Class N | | | | | (379,968 | ) | | | (4,310,009 | ) | | | (430,346 | ) | | | (4,524,560 | ) | | | | | (234,760 | ) | | | (2,368,448 | ) | | | | | (152,033 | ) | | | (1,548,661 | ) |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 9,575,885 | | | $ | 109,237,062 | | | | 3,818,155 | | | $ | 39,378,656 | | | | | | 5,706,089 | | | $ | 57,581,611 | | | | | | 7,697,970 | | | $ | 77,356,228 | |
| # | Net of redemption fees of $2,033 and $155 for Class I and Class A, respectively |
| * | Net of redemption fees of $43,059 and $7,342 for Class I and Class A, respectively |
| ~ | Net of redemption fees of $2,513 and $22,240 for Class I and Class N, respectively |
| ^ | Net of redemption fees of $82,265 and $44,002 for Class I and Class N, respectively |
8. Trustees’ Fees
Trustees who are not affiliated with the Adviser and its affiliates receive fees from the Trust. These trustees may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the Funds, are treated as if invested in shares of each respective Fund or other funds managed by the Adviser and its affiliates. These amounts represent general, unsecured liabilities of each Fund and vary according to the total returns of the selected funds. Trustees’ Fees and Expenses in the Statement of Operations include current fees (either paid in cash or deferred) and an increase (decrease) in the value of the deferred amounts. Certain trustees and officers of the Funds are also officers of the Adviser; such trustees and officers are not compensated by the Funds.
For the period ended September 30, 2014, the trustees received, as a group:
| | | | | | | | | | | | | | |
| | | | | Current
Fees | | | Increase/(Decrease) in
Value of Deferred
Amount | | | Trustees’ Fees
and Expenses | |
DoubleLine Total Return Bond Fund | | | | $ | 276,517 | | | $ | 794 | | | $ | 277,311 | |
DoubleLine Core Fixed Income Fund | | | | | 15,007 | | | | 56 | | | | 15,063 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 5,053 | | | | 43 | | | | 5,096 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 1,263 | | | | (4 | ) | | | 1,259 | |
DoubleLine Low Duration Bond Fund | | | | | 16,456 | | | | 44 | | | | 16,500 | |
DoubleLine Floating Rate Fund | | | | | 3,001 | | | | (1 | ) | | | 3,000 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 439 | | | | 12 | | | | 451 | |
DoubleLine Flexible Income Fund | | | | | 193 | | | | 5 | | | | 198 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 719 | | | | 7 | | | | 726 | |
9. 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 gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following tables.
| | | | | | |
| 96 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
The average volume of derivative activity during the period ended September 30, 2014 is as follows:
| | | | | | | | | | |
| | | | | DoubleLine Multi-Asset Growth
Fund (Consolidated) | | | DoubleLine Shiller Enhanced
CAPE® | |
Average Market Value | | | | | | | | | | |
Purchased Options | | | | $ | 1,695,896 | | | $ | — | |
Futures Contracts - Long | | | | | 56,419 | | | | — | |
Futures Contracts - Short | | | | | 25,189 | | | | — | |
| | | |
Average Notional Balance | | | | | | | | | | |
Total Return Swaps - Long | | | | $ | 14,676,666 | | | $ | 83,147,333 | |
Total Return Swaps - Short | | | | | 4,210,000 | | | | — | |
Forward Currency Exchange Contracts | | | | | 30,000,000 | | | | — | |
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 (i.e., 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 that the market for options contracts may be illiquid and that a Fund may not be able to close out or sell an option at a particular time or at an anticipated price.
There was no activity in written options during the period ended September 30, 2014.
Futures Contracts Futures contracts typically involve a contractual commitment to buy or sell a particular instrument at a specified price on a future date. 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.
Forward Foreign Currency Contracts Forward foreign currency contracts are agreements between two parties to buy and sell a currency at a set exchange rate on a future date. Unless a Fund’s registration statement expressly states otherwise, each Fund may enter into forward foreign currency contracts for any investment purpose. The market value of a forward foreign currency contract fluctuates with the changes in foreign currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
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 typically 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
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 97 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
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.
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, 2014:
| | | | | | | | | | |
| 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 | | | | | | |
| | | | Commodity | | | | $ | 11,800 | |
| | | | Exchange Rate | | | | | 674,205 | |
| | | | Index | | | | | 115,300 | |
| | | | | | Net Unrealized Appreciation (Depreciation) in Unaffiliated Securities | | $ | 801,305 | |
| | | | |
| | | | Futures contracts | | | | | | |
| | | | Commodity | | | | $ | (584,509 | ) |
| | | | Index | | | | | (122,971 | ) |
| | | | Treasury Bond | | | | | (2,738 | ) |
| | | | | | Net Unrealized Appreciation (Depreciation) on Futures | | $ | (710,218 | ) |
| | | | |
DoubleLine Multi-Asset Growth Fund
(Consolidated) | | | | Swap contracts | | | | | | |
| | | | Total Return | | Net Unrealized Appreciation (Depreciation) on Swaps | | $ | (232,696 | ) |
| | | | Forward contracts | | | | | | |
| | | | Currency | | Net Unrealized Appreciation (Depreciation) on Forwards | | $ | 347,111 | |
| DoubleLine Shiller Enhanced CAPE® | | | | Swap contracts | | | | | | |
| | | | Total Return | | Net Unrealized Appreciation (Depreciation) on Swaps | | $ | 3,127,288 | |
| | | | | | |
| 98 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
The effect of derivative instruments on the Statements of Operations for the period ended September 30, 2014:
| | | | | | | | | | | | | | |
| 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 | | | | | | | | | | |
| | | | Commodity | | | | $ | — | | | $ | 253,160 | |
| | | | Exchange Rate | | | | | (239,825 | ) | | | 1,084,813 | |
| | | | Equity | | | | | — | | | | 540,887 | |
| | | | Index | | | | | (628,020 | ) | | | 115,300 | |
| | | | | | Net Realized and Unrealized Gain (Loss) on Investments in Unaffiliated Securities | | $ | (867,845 | ) | | $ | 1,994,160 | |
| | | | Futures contracts | | | | | | | | | | |
| | | | Commodity | | | | $ | (365,881 | ) | | $ | (1,202,910 | ) |
| | | | Exchange Rate | | | | | (14,240 | ) | | | — | |
| | | | Index | | | | | 2,494,105 | | | | (261,524 | ) |
| | | | Treasury Bond | | | | | 132,231 | | | | 92,050 | |
| | | | | | Net Realized and Unrealized Gain (Loss) on Futures | | $ | 2,246,215 | | | $ | (1,372,384 | ) |
| | | | | |
| | | | Swap contracts | | | | | | | | | | |
| | | | Total Return | | Net Realized and Unrealized Gain (Loss) on Swaps | | $ | 1,007,556 | | | $ | (430,832 | ) |
| | | | | |
| | | | Forward contracts | | | | | | | | | | |
| | | | Currency | | Net Realized and Unrealized Gain (Loss) on Forwards | | $ | 173,949 | | | $ | 347,111 | |
| | | | | |
| DoubleLine Shiller Enhanced CAPE® | | | | Swap contracts | | | | | | | | | | |
| | | | Total Return | | Net Realized and Unrealized Gain (Loss) on Swaps | | $ | 71,628 | | | $ | 1,821,325 | |
10. 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, 2014, the DoubleLine 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 | |
Forwards | | $ | 347,111 | | | $ | — | | | $ | 347,111 | | | $ | — | | | $ | — | | | $ | 347,111 | |
Futures | | | 547,588 | | | | 547,588 | | | | — | | | | — | | | | — | | | | — | |
Swap Contracts | | | 24,853 | | | | 24,853 | | | | — | | | | — | | | | — | | | | — | |
| | $ | 919,552 | | | $ | 572,441 | | | $ | 347,111 | | | $ | — | | | $ | — | | | $ | 347,111 | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 99 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
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 | |
Forwards | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Futures | | | 1,257,806 | | | | 547,588 | | | | 710,218 | | | | — | | | | 710,218 | | | | — | |
Swap Contracts | | | 257,549 | | | | 24,853 | | | | 232,696 | | | | 208,707 | | | | 23,989 | | | | — | |
| | $ | 1,515,355 | | | $ | 572,441 | | | $ | 942,914 | | | $ | 208,707 | | | $ | 734,207 | | | $ | — | |
As of September 30, 2014, the DoubleLine Shiller Enhanced CAPE® 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 | |
Swap Contracts | | $ | 4,242,071 | | | $ | 1,114,783 | | | $ | 3,127,288 | | | $ | 3,127,288 | | | $ | — | | | $ | — | |
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 | |
Swap Contracts | | $ | 1,114,783 | | | $ | 1,114,783 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
11. Bank Loans
Floating rate loans (“bank loans”), 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 for bank loans are generally floating, not fixed, and are tied to a benchmark lending rate. The Funds 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 Funds prior to the date the Funds actually take 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.
12. Credit Facility
U.S. Bank, N.A. (the “Bank”) has made available to the Trust, along with another affiliated trust (all the series of each such trust, the “DoubleLine Funds”), 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 DoubleLine Fund are limited to one-third of the total assets (including the amount borrowed) of such DoubleLine Fund. Fifty percent of the credit facility is available to all of the DoubleLine Funds, on a first come, first served basis. The remaining 50% of the credit facility is allocated among the DoubleLine Funds in accordance with procedures adopted by the Board. 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, 2014).
The Bank has also made available to the DoubleLine Floating Rate Fund, a committed $40,000,000 credit facility. Borrowings under this credit facility bear interest at the Bank’s prime rate less 0.50% and the credit facility bears an unused commitment fee equal to 0.12% on the unused portion of the credit facility.
| | | | | | |
| 100 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2014 |
For the period ended September 30, 2014, the Funds’ credit facility activity is as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | Average
Borrowings | | | Maximum
Amount
Outstanding | | | Interest
Expense | | | Commitment
Fee | |
DoubleLine Emerging Markets Fixed Income Fund | | | | $ | 9,168,423 | | | $ | 47,013,000 | | | $ | 18,210 | | | $ | — | |
DoubleLine Floating Rate Fund | | | | | 5,419,000 | | | | 7,046,000 | | | | 2,070 | | | | 24,310 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 1,143,000 | | | | 1,143,000 | | | | 262 | | | | — | |
DoubleLine Flexible Income Fund | | | | | 431,000 | | | | 980,000 | | | | 165 | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 118,500 | | | | 184,000 | | | | 18 | | | | — | |
13. Principal Risks
Below are summaries of some, but not all, of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s NAV, 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 will depend in part on how its assets are allocated and reallocated among asset classes, sectors and/or underlying funds and that such allocation will focus on asset classes, sectors, underlying funds, or investments that perform poorly or underperform other asset classes, sectors, 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. |
| | • | cash position risk: the risk that to the extent that a Fund holds assets in cash, cash equivalents, and other short-term investments, the ability of the Fund to meet its objective may be limited. |
| | • | collateralized debt obligations risk: the risks of an investment in a collateralized debt obligation (“CDO”) depend largely on the quality and type of the collateral and the tranche of the CDO in which a Fund invests. In addition to the risks associated with debt instruments (e.g., interest rate risk and credit risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that a Fund may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. |
| | • | 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. |
| | • | convertible securities risk: the risks of investing in convertible bonds and securities include the risk that the issuer may default in the payment of principal and/or interest and the risk that the value of the investment may decline if interest rates rise. Such events may reduce a Fund’s distributable income and the value of the Fund’s shares. |
| | • | 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. To the extent that a Fund enters into multiple transactions with a single or a small set of counterparties, it will be subject to increased counterparty risk. |
| | ° | | 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. |
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| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
| | ° | | interest rate risk: the risk that debt instruments will change in value because of changes in interest rates. The value of an instrument with a longer duration (whether positive or negative) will be more sensitive to changes in interest rates than a similar instrument 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 for 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 also potentially are subject to the credit risk of the issuer. |
| | • | 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. |
| | • | focused investment risk: the risk that a Fund that invests a substantial portion of its assets in a particular market, industry, group of industries, country, region, group of countries, asset class or sector generally is subject to greater risk than a fund that invests in a more diverse investment portfolio. In addition, the value of such a Fund is more susceptible to any single economic, market, political or regulatory occurrence affecting, for example, that particular market, industry, region or 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. If 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. |
| | • | high yield risk (“junk bonds”): Securities of below investment grade quality are regarded as having predominantly speculative characteristics with respect to the issuer’s capacity to pay interest and to repay principal when due, and are commonly referred to as “high yield” securities or “junk bonds.” High yield securities involve a greater risk of default and their prices are generally more volatile and sensitive to actual or perceived negative developments than are the prices of higher grade securities. |
| | • | index risk: the risk that the DoubleLine Shiller Enhanced CAPE®’s return may not match or exceed the return of the Shiller Barclays CAPE® US Sector TR USD Index (the “Index”) for a number of reasons, including, for example, (i) the performance of derivatives in which the Fund invests may not correlate with the performance of the Index; (ii) the Fund may not be able to find counterparties willing to enter into derivative instruments whose returns are based on the return of the Index or find parties who are willing to do so at an acceptable cost or level of risk to the Fund; (iii) the Fund’s overall performance may be adversely affected by the performance of the Fund’s investments in debt instruments and (iv) errors may arise in carrying out the Index’s methodology, or the Index provider may incorrectly report information concerning the Index. Unavailability of the Index could affect adversely the ability of the Fund to achieve its investment objective. |
| | • | 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 significant 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. |
| | • | 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 the |
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| 102 | | DoubleLine Funds Trust | | | | |
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| | | (Unaudited) September 30, 2014 |
| | Adviser would not otherwise choose to 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 recently formed fund has a limited operating history to evaluate and may not attract sufficient assets to achieve or maximize investment and operational efficiencies. |
| | • | 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 the Fund potentially may not receive the proceeds from the sale of a loan for a substantial period of time after the sale; 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. Securities markets may, in response to governmental actions or intervention, economic or market developments, or other external factors, experience periods of high volatility and reduced liquidity. During those periods, the Fund may experience high levels of shareholder redemptions, and may have to sell securities at time when the Fund would otherwise not do so, and potentially at unfavorable prices. Certain securities may be difficult to value during such periods. These risks may be heightened for fixed income securities due to the current historically low interest rate environment. |
| | • | 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. |
| | • | 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. |
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| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2014 |
| | • | 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. To the extent a Fund focuses or concentrates its investment in a particular sector or related sectors, the Fund will be more susceptible to events or factors affecting companies in that sector or related sectors. |
| | • | short sales risk: the risk that an instrument a Fund has sold short increases in value. |
| | • | sovereign debt obligations risk: the risk that investments in debt obligations of sovereign governments may lose value due to the government entity’s unwillingness or ability to repay principal and interest. |
| | • | structured products and structured notes risk: the risk that an investment in a structured product may decline in value due to changes in the underlying instruments on which the product is based. |
| | • | 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 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 investments in their securities or obligations issued by them involve credit risk greater than investments in other types of U.S. Government securities. |
14. Recently Issued Accounting Pronouncements
In June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. ASU No. 2014-11 requires repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings to be accounted for as secured borrowings. In addition, ASU No. 2014-11 eliminates sale accounting for repurchase-to-maturity transactions and supersedes the guidance under which a transfer of a financial asset and a contemporaneous repurchase financing could be accounted for on a combined basis as a forward agreement. The new disclosure requires disclosures for transactions economically similar to repurchase agreements when the transferor retains substantially all of the exposure to the economic return of the transferred financials assets throughout the term of the transactions. Lastly, the update expands disclosures about the nature of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings. ASU No. 2014-11 requires disclosures to make financial statements that are prepared under US GAAP more comparable to those prepared under International Financial Reporting Standards (“IFRS”). New disclosures are required for annual reporting periods beginning on or after December 15, 2014, and interim periods within those annual periods.
Management is currently evaluating the implications of these changes and their impact on the financial statements.
15. 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.
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| Shareholder Expenses | | (Unaudited) September 30, 2014 |
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, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund and DoubleLine Low Duration Emerging Markets Fixed Income 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.
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| | | | | | | | | | | | | Actual | | | Hypothetical
(5% return
before expenses) | |
| | | | | | | Fund’s
Annualized
Expense Ratio | | | Beginning
Account
Value | | | Ending
Account
Value
3/31/14 | | | Expenses
Paid During
Period*1 | | | Ending
Account
Value
9/30/14 | | | Expenses
Paid During
Period*1 | |
DoubleLine Total Return Bond Fund | | | | Class I | | | 0.47% | | | $ | 1,000 | | | $ | 1,028 | | | $ | 2.39 | | | $ | 1,023 | | | $ | 2.38 | |
| | | | Class N | | | 0.72% | | | $ | 1,000 | | | $ | 1,027 | | | $ | 3.66 | | | $ | 1,021 | | | $ | 3.65 | |
DoubleLine Core Fixed Income Fund | | | | Class I | | | 0.47% | | | $ | 1,000 | | | $ | 1,027 | | | $ | 2.39 | | | $ | 1,023 | | | $ | 2.38 | |
| | | | Class N | | | 0.72% | | | $ | 1,000 | | | $ | 1,027 | | | $ | 3.66 | | | $ | 1,021 | | | $ | 3.65 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | Class I | | | 0.91% | | | $ | 1,000 | | | $ | 1,050 | | | $ | 4.68 | | | $ | 1,021 | | | $ | 4.61 | |
| | | | Class N | | | 1.16% | | | $ | 1,000 | | | $ | 1,049 | | | $ | 5.96 | | | $ | 1,019 | | | $ | 5.87 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | Class I | | | 1.05% | | | $ | 1,000 | | | $ | 1,001 | | | $ | 5.27 | | | $ | 1,020 | | | $ | 5.32 | |
| | | | Class A | | | 1.30% | | | $ | 1,000 | | | $ | 1,001 | | | $ | 6.52 | | | $ | 1,019 | | | $ | 6.58 | |
DoubleLine Low Duration Bond Fund | | | | Class I | | | 0.45% | | | $ | 1,000 | | | $ | 1,010 | | | $ | 2.27 | | | $ | 1,023 | | | $ | 2.28 | |
| | | | Class N | | | 0.70% | | | $ | 1,000 | | | $ | 1,009 | | | $ | 3.52 | | | $ | 1,022 | | | $ | 3.55 | |
DoubleLine Floating Rate Fund | | | | Class I | | | 0.75% | | | $ | 1,000 | | | $ | 1,003 | | | $ | 3.77 | | | $ | 1,021 | | | $ | 3.80 | |
| | | | Class N | | | 1.00% | | | $ | 1,000 | | | $ | 1,003 | | | $ | 5.02 | | | $ | 1,020 | | | $ | 5.06 | |
DoubleLine Shiller Enhanced CAPE® | | | | Class I | | | 0.59% | | | $ | 1,000 | | | $ | 1,074 | | | $ | 3.07 | | | $ | 1,022 | | | $ | 2.99 | |
| | | | Class N | | | 0.84% | | | $ | 1,000 | | | $ | 1,073 | | | $ | 4.36 | | | $ | 1,021 | | | $ | 4.26 | |
DoubleLine Flexible Income Fund | | | | Class I | | | 0.75% | | | $ | 1,000 | | | $ | 1,020 | | | $ | 3.65 | | | $ | 1,021 | | | $ | 3.80 | |
| | | | Class N | | | 1.00% | | | $ | 1,000 | | | $ | 1,019 | | | $ | 4.87 | | | $ | 1,020 | | | $ | 5.06 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | Class I | | | 0.59% | | | $ | 1,000 | | | $ | 1,029 | | | $ | 2.89 | | | $ | 1,022 | | | $ | 2.99 | |
| | | | Class N | | | 0.84% | | | $ | 1,000 | | | $ | 1,027 | | | $ | 4.11 | | | $ | 1,021 | | | $ | 4.26 | |
* Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The actual dollar amounts shown as expenses paid during the period for the DoubleLine Flexible Income Fund and DoubleLine Low Duration Emerging Markets Fixed Income Fund are multiplied by 176/365, which are based on the date of inception (April 7, 2014).
1 Reflects fee waiver and expense limitation arrangements in effect during the period.
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| Evaluation of Advisory Agreement by the Boards of Trustees | | (Unaudited) September 30, 2014 |
DoubleLine Flexible Income Fund
DoubleLine Low Duration Emerging Markets Fixed Income Fund
At the February 26, 2014 meeting of the Board of Trustees (the “Meeting”) of DoubleLine Funds Trust (the “Trust”), the Board of Trustees, including the Independent Trustees voting separately, approved Investment Advisory Agreements (each, an “Agreement” and, together, the “Agreements”) between the Trust, on behalf of each of DoubleLine Flexible Income Fund (“Flexible Income”) and DoubleLine Low Duration Emerging Markets Fixed Income Fund (“Low Duration Emerging Markets” and, together with Flexible Income, the “Funds”), and DoubleLine Capital LP (the “Adviser”). This summary describes a number, but not necessarily all, of the most important factors considered by the Board and the Independent Trustees.
The Trustees considered a wide range of materials, including information previously provided to the Trustees in connection with the approval of advisory contracts between the Adviser and the other series of the Trust. The Trustees’ determination to approve each Agreement was based on an evaluation of all of the information provided to them. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. No single factor was determined to be decisive. In all of their deliberations, the Board of Trustees and the Independent Trustees were advised by counsel to the Trust and counsel to the Independent Trustees.
In the process of considering the approval of the Agreements, the Trustees considered the terms of the proposed Agreements between the Adviser and the Trust, with respect to each Fund, and noted that the proposed Agreements, with the exception of the rates of the advisory fees payable, had the same terms as the advisory agreements between the Adviser and the other series of the Trust. The Trustees considered the Adviser’s specific responsibilities in all aspects of day-to-day management of the Funds as well as the qualifications, experience, and responsibilities of the portfolio manager or portfolio managers of each Fund and other key personnel that would be involved in the day-to-day activities of the Funds. The Board considered the expected difficulty of managing debt-related funds, noting that managing such funds requires a portfolio management team to balance a number of factors, which may include, among others, varying maturities, prepayments, counter-party exposure, credit events, and workouts. The Trustees considered the performance of accounts or sleeves of existing DoubleLine accounts the Adviser manages using substantially similar investment strategies to those of the Funds as well the performance of all of the other series of the Trust, and considered the possible effect of additional funds to the Trust on the capacities of the Adviser. The Trustees reviewed the proposed services the Adviser would provide to each Fund as investment adviser. The Trustees considered that the Adviser would provide a variety of other services to the Funds in addition to investment advisory services, including, among others, a number of back-office services, valuation services, compliance services, certain forms of information technology services (such as internal reporting), assistance with accounting and distribution services, and supervision and monitoring of the Funds’ other service providers. The Trustees reviewed the Adviser’s ongoing efforts to keep the Trustees informed about matters relevant to the Trust and its shareholders. The Trustees also considered the nature, extent, and structure of the compliance procedures and the trading capabilities of the Adviser. The Trustees concluded that it appeared the Adviser would have, or have available to it, sufficient quality and depth of personnel, resources, and investment methods, and would have compliance policies and procedures essential to performing its duties under each proposed Agreement and that, in the Trustees’ view, the nature, overall quality, and extent of the management services to be provided appeared likely to be satisfactory and reliable.
The Board then turned to the anticipated cost of the proposed services, and the proposed structure and level of the advisory fees to be paid under each Agreement. The Trustees considered that the Adviser anticipated launching each Fund with two classes of shares and noted the overall fee structure and expense caps proposed for each Fund. The Trustees considered information provided by Strategic Insight (“Strategic Insight”), an Asset International Company. The Trustees noted that the information provided by Strategic Insight indicated that Flexible Income’s proposed advisory fee under its Agreement was below the median of the peer funds presented to them for consideration, and that Low Duration Emerging Markets’ proposed advisory fee under its agreement was lower than the advisory fee of any of the peer funds Strategic Insight had identified for that Fund. In considering the peer group information presented, the Trustees noted the Adviser’s view that the utility of the peer group comparison in respect of the Low Duration Emerging Markets was somewhat limited, since few of the funds in the group have a comparable focus on shorter duration emerging market debt investments.
The Trustees also compared the advisory fees proposed for the Funds to the advisory fees paid to the Adviser by accounts or sleeves with investment strategies substantially similar to the strategies proposed for the Funds. In doing so, the Trustees noted the Adviser’s representation that the proposed advisory fee for Flexible Income was lower than that charged to the substantially similar account advised by the Adviser. The Trustees also noted that Low Duration Emerging Markets’ proposed advisory fee was higher than the advisory fee paid to the Adviser in respect of the sleeve it manages using substantially similar strategies. In that regard, the Trustees also noted that the sleeve was only a portion of another series of the Trust, whose portfolio may include a wide range of fixed income instruments, including domestic fixed income instruments.
The Trustees discussed information provided by the Adviser as to the estimated profitability of the Adviser from managing each Fund. In assessing profitability, the Trustees reviewed the Adviser’s financial information provided both at the Meeting and at previous meetings of the Trustees and took into account both the likely direct and indirect benefits to the Adviser from managing the Funds. The Trustees noted other benefits received by the Adviser and its affiliates as a result of the Adviser’s relationship with the Trust, including possible ancillary benefits to the Adviser’s institutional investment management business due to the reputation and market penetration of the Funds. The Trustees concluded that the Adviser’s profit from managing either Fund would likely not be excessive in the start-up period. The Trustees concluded that it did not appear appropriate at this time to consider the implementation of breakpoints in the investment advisory fees.
On the basis of these considerations and others and in the exercise of their business judgment, the Trustees determined to approve each Agreement for the proposed initial term.
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| 106 | | DoubleLine Funds Trust | | | | |
| | |
| Federal Tax Information | | (Unaudited) September 30, 2014 |
For the fiscal year ended March 31, 2014, certain dividends paid by the Funds may be subject to a maximum tax rate of 20%, 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) | | | | | 4.04% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | 0.00% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 0.00% | |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended March 31, 2014 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) | | | | | 1.10% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | 0.00% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 0.00% | |
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) for each Fund were as follows:
| | | | | | |
DoubleLine Total Return Bond Fund | | | | | 0.00% | |
DoubleLine Core Fixed Income Fund | | | | | 1.74% | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 19.18% | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 0.00% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | 0.11% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 0.00% | |
The percentage of taxable ordinary income distributions that are designated as interest related dividends under Internal Revenue Section 871(k)(1)(c) for each Fund were as follows:
| | | | | | |
DoubleLine Total Return Bond Fund | | | | | 95.22% | |
DoubleLine Core Fixed Income Fund | | | | | 87.82% | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 0.00% | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 28.58% | |
DoubleLine Low Duration Bond Fund | | | | | 98.31% | |
DoubleLine Floating Rate Fund | | | | | 99.37% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 22.28% | |
Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Funds.
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| | Semi-Annual Report | | September 30, 2014 | | 107 |
| | |
| Information About Proxy Voting | | (Unaudited) September 30, 2014 |
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 Securities and Exchange Commission’s (the “SEC”) 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 SEC for its first and third fiscal quarters on Form N-Q. The Trust’s Forms N-Q are available on the SEC website at www.sec.gov. You can also review and obtain copies of the Forms N-Q at the SEC 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.
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| 108 | | DoubleLine Funds Trust | | | | |
| | |
| Privacy Notice | | (Unaudited) September 30, 2014 |
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:
| | • | 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. |
| | • | to alert a customer to other financial products and services offered by DoubleLine or 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 have procedures designed to 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 seek to maintain physical, electronic, and procedural safeguards to guard your non-public personal information.
Information Collected from Websites. Websites maintained by DoubleLine or its service providers may use a variety of technologies to collect information that help DoubleLine and its service providers understand how the website is used. Information collected from your web browser (including small files stored on your device that are commonly referred to as “cookies”) allow the websites to recognize your web browser and help to personalize and improve your user experience and enhance navigation of the website. You can change your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages may not function properly. Certain portions of doublelinefunds.com are maintained or controlled by third parties, each of which has privacy policies which may differ, in some cases significantly, from the privacy policies described in this notice. Please contact your DoubleLine representative if you would like to receive more information about the privacy policies of third parties.
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.
| | | | | | |
| | Semi-Annual Report | | September 30, 2014 | | 109 |
| | | | |
| 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 |
1
| | 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. |
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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 |
| | |
|
| 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 |
| | |
| |
| By (Signature and Title) | | /s/ Susan Nichols |
| | Susan Nichols, Treasurer and Principal Financial and Accounting Officer |
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