As filed with the Securities and Exchange Commission on June 2, 2015
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22378
DoubleLine Funds Trust
(Exact name of registrant as specified in charter)
333 South Grand Avenue, Suite 1800
Los Angeles, CA 90071
(Address of principal executive offices) (Zip code)
Ronald R. Redell
President
DoubleLine Funds Trust
333 South Grand Avenue, Suite 1800
Los Angeles, CA 90071
(Name and address of agent for service)
(213) 633-8200
Registrant’s telephone number, including area code
Date of fiscal year end: March 31
Date of reporting period: March 31, 2015
Item 1. Reports to Stockholders.
Annual Report
March 31, 2015
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)
DoubleLine Long Duration
Total Return Bond Fund
DBLDX (I-share)
DLLDX (N-share)
| | |
| DoubleLine Capital LP | | 333 S. Grand Avenue 18th Floor Los Angeles, California 90071 doubleline.com |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 3 |
| | |
| President’s Letter | | March 31, 2015 |
Dear DoubleLine Funds Shareholder,
On behalf of the DoubleLine Funds, I am pleased to deliver this Annual Report for the 12-month period ended March 31, 2015. 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 $51.1 billion as of March 31, 2015. 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). On December 1, 2014, we launched DoubleLine Long Duration Total Return Bond Fund (DBLDX/DLLDX), whose shares became available to the public on December 15, 2014.
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
May 1, 2015
| | |
| Financial Markets Highlights | | March 31, 2015 |
| · | | Agency Mortgage-Backed Securities (Agency MBS) |
For the 12-month period ended March 31, 2015, the Barclays U.S. MBS Index returned 5.53%. The duration of the Index shortened from 5.51 to 3.54 years over that time period as the U.S. yield curve flattened. U.S. 10-year yields declined by over 110 basis points (bps) from peak-to-trough; this decline propagated a spike in refinancing activity as 30-year mortgage rates dropped close to historic lows. Though prepayment speeds were relatively stable for most of the period, they materially increased during the first quarter of 2015. The combination of low mortgage rates, reduction in mortgage insurance premiums on FHA (Federal Housing Administration) loans announced in January, and improving housing seasonality resulted in the increase in aggregate prepayment speeds across all three agencies (Fannie Mae, Freddie Mac, and Ginnie Mae).
| · | | Non-Agency Mortgage-Backed Securities (Non-Agency MBS) |
During the 12-month period ended March 31, 2015, the non-Agency MBS market experienced some volatility both in terms of pricing and trading volume. Market concerns of rising interest rates during the first quarter of 2014 led to reduced trading volume and spread widening. As the year progressed, the market shrugged off these concerns and the non-Agency market rebounded firmly. The combination of supply technicals and improving loan fundamentals resulted in strong performance for this sector for the remainder of the year. According to Amherst Research for the reporting period, non-Agency prime bonds returned 3.98% on average, Alt-A bonds returned 5.55%, and subprime bonds returned 10.90%. During the latter half of the reporting period, geo-political concerns and headline news about drastically falling energy prices did not slow down the trading activity in non-Agency MBS. Falling interest rates resulted in some increases in prepayment speeds, but liquidation rates, severities and the pace of loan modifications remained range bound with only a few pockets of volatility. On a technical basis, non-Agency MBS continued to be well bid while supply has shown up more unevenly. Large bid lists continued to be a factor in determining monthly trading volume, but the frequency of these lists subsided coming into 2015.
| · | | Commercial Mortgage-Backed Securities (CMBS) |
Over the 12-month period ended March 31, 2015, 2.0/3.0 CMBS prices largely rallied despite periods of intermittent volatility driven by concerns over future Federal Reserve (Fed) interest-rate hikes, geo-political instability, continued deterioration of underwriting quality and changing subordination levels. Spreads and prices rallied from March-July 2014, hitting new post-recession lows before widening through year-end; spreads then rallied in the first quarter 2015. During the reporting period, the Barclays U.S. CMBS Index returned 4.35% versus 5.72% for the Barclays U.S. Aggregate Index. For the period, 10-year AAA last cash flows (LCFs) were trading at 85 bps over swaps, representing a 2 bps tightening year-over-year (YoY), while the 10-year BBB LCFs traded at 345 bps over swaps, a 15 bps tightening. On the new issue front, non-Agency CMBS issuance was up 19% YoY, with $91 billion in new issuance over 105 deals during the reporting period compared to $76 billion in 86 deals from April 2013 through March 2014. Delinquency rates across all asset classes improved during the 12-month reporting period as commercial real estate fundamentals continued to improve coupled with low financing costs. The overall U.S. CMBS delinquency rate as of March 31, 2015 at 5.58%, a 0.96% improvement YoY.
| · | | Emerging Markets (EM) Debt |
Over the 12-month period ended March 31, 2015, U.S. dollar (USD)-denominated EM fixed income indices posted mid-single digit returns. The market pushed out expectations of the first Fed rate hike to the second half of 2015, and the U.S. Treasury (UST) curve flattened over the period. The positive duration contribution and accrued interest offset the negative return from widening credit spreads. Most of the spread widening occurred over December 2014 and January 2015, as commodity prices, most notably oil prices, fell sharply. Asia sovereign and corporate credits outperformed their regional peers, as the region was less exposed to the negative terms of trade shock. Stronger U.S. growth prospects and diverging monetary policies of developed market central banks caused a strong dollar rally and EM local currency to sharply depreciate versus the USD.
| · | | Investment Grade Credit |
For the 12-month period ending March 31, 2015, investment grade credit recorded a total return of 6.74%. Returns were driven by the interest accrual and price appreciation as interest rates fell across the intermediate and long-end of the UST curve. Over the reporting period, spreads widened by 21 bps, from 103 bps to 124 bps and as rates fell, the duration contributed to performance. The part of the Index with the longest duration had the highest total return, with the 10-year plus bucket returning 12.84%. By credit quality, returns
| | | | | | |
| | Annual Report | | March 31, 2015 | | 5 |
| | |
| Financial Markets Highlights (Cont.) | | March 31, 2015 |
were similarly led by single-As which generated a total return of 7.11%. Utilities were the best performing sector, which was partially due to their longer duration profile. As of March 31, 2015, the new issue market remained healthy with over $1 trillion in new issuance.
For the 12-month period ended March 31, 2015, the S&P/LSTA Leveraged Loan Index returned 2.53%. By facility rating, BB-rated loans led performance, returning 3.52%. First lien loans returned 2.68%, outperforming the second lien loan return of -0.28%. The top performing industries included Publishing (+5.90%), Cosmetics—Toiletries (+5.21%) and Media (+5.04%). Underperforming industries were focused around the commodity sector. The worst performing industries were Oil and Gas (-11.25%), Nonferrous Metals—Minerals (-7.26%) and Utilities (-0.96%). Institutional loan volume has been a technical factor in recent months as total institutional loan volume fell to $304.6 billion over the 12-month reporting period. This compares with $434.7 billion over the comparable period one year ago. As of the end of the reporting period, the default rate remained low, ending March 2015 at 0.64% on an issuer-weighted basis and 3.22% on par-weighted basis.
For the 12-month period ended March 31, 2015, the Citi High-Yield Cash-Pay Capped Index returned 1.28%. Longer-maturity bonds outperformed shorter-maturity bonds, with those maturing in ten years or more returning 11.18% while the shorter 1-7 year category returned -0.01%. Credit quality was also a differentiator as higher credit quality bonds outperformed lower credit quality bonds. The higher BB-rated issues returned 3.88% while the lower CCC-rated issues returned 5.05%. Notable outperformers by industry were Retail-Food & Drug (+9.52%), Food Processors/Beverage/Bottling (+7.89%), and Cellular Towers (+7.45%). The underperforming industries were all commodity related. Underperformance by sector was led by Oil Equipment (-15.29%), Secondary Oil & Gas Producers (-12.95%) and Metals/Mining (-9.72%).
| · | | Collateralized Loan Obligations (CLOs) |
For the 12-month period ended March 31, 2015, the CLO space saw record issuance. The CLO market saw monthly record issuance in June 2014 with $13.78 billion. Beginning in the second quarter of 2014, the market came to terms with Volcker Rules and began to focus on risk retention. The record setting issuance can be attributed to managers issuing ahead of risk retention and Volcker Rules effective dates. Due to the glut of issuance, spreads widened over the year. AAA spreads topped out at 165 Discount Margin (DM) during the fourth quarter of 2014 and ended the period at 155 DM as of March 31, 2015.
Global equities, as measured by the MSCI All Country World Index (MSCI ACWI), produced marginal returns for the 12-month period ended March 31, 2015, with the MSCI ACWI up 3.34%. Global equities were led by strong performances in the U.S. with the S&P 500 Index up 10.44% during the period. U.S. equities were supported by a rebound in economic data in the latter half of the year, especially in the labor market with strong gains made in payrolls data. European equities posted strong returns during the period in local currency terms with the Euro Stoxx 50 Index up 16.95%; however, in USD terms the Index was down -8.90%. European equity performance was driven primarily by European Central Bank (ECB) monetary policy as the central bank embarked on monthly asset purchases to the order of €60 billion1 in an effort to stimulate the economy and combat deflationary pressures. Similarly, Japanese equities were driven by monetary policy from the Bank of Japan, as the central bank increased the scale of its asset purchase program to ¥80 trilllion2 per year. Additionally, Japanese equities were supported by large portfolio allocation shifts from bonds into domestic equities by large local pension funds. EM equities had negative performance over the period as measured by the MSCI EM Index; however there was much disparity in returns by country. Chinese equities as measured by the Shanghai Composite Index were up +84.33% while Brazilian and Russian equities, as measured by the MSCI Brazil USD Index and the MSCI Russia USD Index respectively, were down significantly in USD terms. Chinese equities were supported by local demand for equities as Chinese investors shifted from real estate to equity investments and monetary easing from the Peoples Bank of China. Brazilian and Russian equities were undermined by falling commodity prices and idiosyncratic issues, such as sanctions imposed on Russia and political scandal and budgetary issues in Brazil.
| 1 | €60 billion = 82.6 billion U.S. Dollars as of 3/31/2015 |
| 2 | ¥80 trilllion = 850 billion U.S. Dollars as of 3/31/2015 |
In the 12-month period ended March 31, 2015, the commodity market was down 40.33% as measured by the S&P Goldman Sachs Commodity Index (GSCI). All five sectors in the GSCI lost value over this period. Much of the loss was attributable to Energy, the worst performer and the largest index weight, which lost 49.27% over the same period as global demand for energy commodities did not keep pace with supply. The other sectors in the GSCI fared better but still ended down with Industrial Metals down 7.21%, Livestock down 7.78%, Precious Metals down 9.25%, and Agriculture down 30.46%.
| · | | U.S. Large Cap Equities |
In the 12-month period ended March 31, 2015, the large capitalization U.S. equity market returned 12.73% as measured by the S&P 500 Index. The value portion of the large capitalization U.S. equity market returned 9.33% as measured by the Russell 1000 Value Index. The price-to-earnings ratio of the S&P 500 Index increased from 17.22 on March 31, 2014 to 18.25 on March 31, 2015, indicating that this market’s valuation was not overly extended by the gains in total return. The strongest performing sector of the S&P 500 Index was the Healthcare sector, which returned 26.29% over the 12-month period ended March 31, 2015. The weakest performing sector in the S&P 500 Index over this period was the energy sector, which lost 11.06% due to major declines in energy commodity prices.
The Barclays Municipal Bond Index returned 6.62% through the 12-month period ended March 31, 2015 compared to 5.22% for the Barclays U.S. Government Index. Municipal bonds outperformed UST in the first six-months of the period. Municipal bond returns were boosted by relatively long duration in an environment of generally falling interest rates, and also benefitted from ongoing improvement in state and local finances. Supply concerns weighed on the sector through the second half of the period. Revenue bonds outperformed general obligation issues. Longer maturity issues performed better than shorter issues during the period, as expected in a period of falling interest rates.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 7 |
| | |
| Management’s Discussion of Fund Performance | | March 31, 2015 |
DoubleLine Total Return Bond Fund
The Doubleline Total Return Bond Fund outperformed the Barclays U.S. Aggregate Bond Index return of 5.72% as well as the U.S. MBS component of the Index, which returned 5.53% for the 12-month period ended March 31, 2015. The meaningful gains were largely facilitated by a marked drop in U.S. interest rates with the 10-year UST yield declining by 79 bps. Given the decline in rates, longer duration sectors generally outperformed shorter duration sectors. Broadly speaking, the Fund’s Agency residential MBS (RMBS) holdings significantly outperformed non-Agency RMBS from a total return standpoint. In particular, Agency inverse floating rate securities and fixed-rate collateralized mortgage obligations (CMO), sectors with the longest duration within the portfolio, led the outperformance and benefitted from strong price returns as well as stable interest income. On the non-Agency RMBS side, the sector experienced minor price appreciation during the 12-month period, but continued to generate high coupon returns, particularly within high credit quality sectors such as prime and Alt-A. Additionally, CMBS contributed modest gains to the Fund while CLOs lagged behind other sectors as the space was plagued with regulatory concerns over the last year. The CLO sector, however, has since rallied slightly, and still adds floating rate exposure to the portfolio to offer diversification benefits.
| | | | | | |
| Period Ended 3-31-15 | | | | 12-Months | |
I-Share | | | | | 5.93% | |
N-Share | | | | | 5.76% | |
Barclays U.S. Aggregate Bond Index | | | | | 5.72% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Core Fixed Income Fund
For the 12-month period ended March 31, 2015, the DoubleLine Core Fixed Income Fund outperformed the Barclays U.S. Aggregate Bond Index return of 5.72%. The U.S. yield curve flattened over this period with longer-term rates declining and shorter-term rates increasing. As a result, longer-duration assets outperformed more credit-sensitive sectors over the last year. Agency RMBS, U.S. Government securities, and Investment Grade corporate credit were the best performing sectors due to spreads tightening and prices appreciating. Despite High Yield corporate credit facing a fairly volatile year due to concerns within the Oil and Energy sectors, the asset class performed well, rebounding strongly into the beginning of 2015. The non-Agency RMBS portion of the Fund contributed solid returns, as the sector continued to contribute robust interest income for the portfolio. Though CMBS faced intermittent periods of volatility over the trailing 12-month period, the sector added healthy returns with prices rallying and credit spreads tightening. Bank Loans and CLOs contributed positively to portfolio return over the last year; however, those sectors faced periodic volatility caused by large fluctuations in supply/demand technicals and regulatory concerns regarding the Volcker Rule. Additionally, EM and Munis sectors added positively to the portfolio’s absolute performance.
| | | | | | |
| Period Ended 3-31-15 | | | | 12-Months | |
I-Share | | | | | 6.07% | |
N-Share | | | | | 5.91% | |
Barclays U.S. Aggregate Bond Index | | | | | 5.72% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Emerging Markets Fixed Income Fund
Over the 12-month period ended March 31, 2015, the DoubleLine Emerging Markets Fixed Income Fund underperformed the JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified. In part, the Fund underperformed the Index due to an underweight exposure to credits domiciled in Asia, which outperformed over the period. The Fund’s performance was hurt by exposure to Brazil credits and commodity related credits. Brazil credits sold off during the first quarter of 2015 due to a graft scandal related to Brazil’s largest government owned oil and gas company and concerns over the country’s weak macro-economic conditions. Oil and gas and mining related credits saw their spreads widen due to the fall in commodity prices. The Fund’s performance benefited from avoiding exposure to Venezuela and Ukraine. Sovereign bonds domiciled in Venezuela posted large negative returns as lower oil prices and Venezuela’s government policies have led to large macroeconomic imbalances, and investor’s questioning the government’s capacity to pay external debt maturities. Ukraine
credits sold off due to the ongoing war on the eastern border resulting in an anticipated restructuring of their sovereign bonds. The Fund benefited from a positive duration contribution, as 10-year UST yields fell 0.79% to 1.92% at the end of March 2015.
| | | | | | |
| Period Ended 3-31-15 | | | | 12-Months | |
I-Share | | | | | 2.90% | |
N-Share | | | | | 2.64% | |
JP Morgan Emerging Markets Bond Index Global Diversified | | | | | 5.65% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Multi-Asset Growth Fund
The DoubleLine Multi-Asset Growth Fund significantly outperformed the Blended Benchmark (as defined in the table below) for the 12-month period ended March 31, 2015. The portfolio’s equity sleeve posted positive returns during the 12-month period but slightly underperformed the MSCI ACWI (+6.03%) return for the period. Long positions in U.S., European, and Japanese equities contributed to performance while positions in Natural Gas equities and gold miners detracted from performance. The fixed income sleeve outperformed the Barclays U.S. Aggregate Bond Index return of 5.7%. Performance was driven by long positions in the long end of the UST curve and core longs in Agency and non-Agency MBS. Long positions in the USD contributed to performance during the 12-month period, paired against the euro and Japanese Yen which were down -22.1% and -14.1%, respectively. The real assets sleeve detracted from performance but outperformed the S&P/Goldman Sachs Commodity Index which was down -40.33% during the period. The commodity complex suffered from significant declines in crude oil prices—down 53.1% during the period.
| | | | | | |
| Period Ended 3-31-15 | | | | 12-Months | |
I-Share | | | | | 6.22% | |
A-Share | | | | | | |
Without Load | | | | | 5.96% | |
With Load | | | | | 1.45% | |
S&P 500® Index | | | | | 12.73% | |
Blended Benchmark* | | | | | -2.60% | |
| * | 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
For the 12-month period ended March 31, 2015, the DoubleLine Low Duration Bond Fund outperformed the Bank of America (BofA)/Merrill Lynch 1-3 Year U.S. Treasury Index’s return of 1.00% in the declining interest rate environment. Despite intermittent periods of volatility within the credit markets (caused by a combination of geopolitical concerns in regions such as Russia and Ukraine, as well as the decline in the Oil and Energy sectors), more credit-sensitive sectors were the best performers over the 12-month reporting period. Bank Loans, Non-Agency RMBS, and Emerging Markets were the main drivers for the portfolio’s performance. Non-Agency RMBS performed well as the sector’s high carry profile resulted in steady interest income for the Fund. Emerging Markets maintained its currency positioning solely in the US dollar, which benefited the Fund over the period as many of the local currency-denominated markets underperformed for the same time period. CMBS contributed positively to the Fund’s performance as prices rallied with the declining interest rate environment over the 12-month reporting period. In addition, CLOs, Investment Grade Corporate Credit, and U.S. Government sectors all contributed to the Fund’s outperformance over its benchmark. The Fund’s duration remained close to one year as of the end of the reporting period.
| | | | | | |
| Period Ended 3-31-15 | | | | 12-Months | |
I-Share | | | | | 1.76% | |
N-Share | | | | | 1.51% | |
BofA/Merrill Lynch 1-3 Year U.S. Treasury Index | | | | | 1.00% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
| | | | | | |
| | Annual Report | | March 31, 2015 | | 9 |
| | |
| Management’s Discussion of Fund Performance (Cont.) | | March 31, 2015 |
DoubleLine Floating Rate Fund
The DoubleLine Floating Rate Fund outperformed the S&P/LSTA Leveraged Loan Index for the 12-month period ended March 31, 2015. One of the largest drivers for the relative outperformance was attributable to the Fund’s exposure to high yield bonds (5.30% of the Fund’s total assets as of the end of the reporting period), which returned 10.66% for the period. While the Fund began the period with Oil & Gas exposure at 6.40% of the Fund’s total assets, or 270 bps more than the Index, the Fund preemptively reduced its exposure to less than 2.00% prior to the steep declines in oil prices that occurred during November and December 2014. The oil price environment was the catalyst for this industry’s weak performance, returning -11.61% over the period. The Fund also decreased its second lien exposure from a slight overweight position in April 2014, to a 200 bps underweight position as of March 31, 2015. Second lien loans in the Index outperformed first lien loans by an average of 20 bps from April to September 2014, and underperformed first lien loans by an average of 65 bps from November 2014 to March 2015. The Fund strategically paired down risk exposure to this segment of the loan market at favorable points throughout the period.
| | | | | | |
| Period Ended 3-31-15 | | | | 12-Months | |
I-Share | | | | | 3.36% | |
N-Share | | | | | 3.19% | |
S&P/LSTA Leveraged Loan Index | | | | | 2.53% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Shiller Enhanced CAPE®
In the 12-months ended March 31, 2015, DoubleLine Shiller Enhanced CAPE® returned 16.96% while the S&P 500 Index returned 12.73% and the Shiller Barclays CAPE® U.S. Sector Total Return Index returned 14.39%. The Fund’s outperformance of the S&P 500 by 4.23% was driven by both the Fund’s equity and fixed income exposures. The Shiller Barclays CAPE® U.S. Sector Total Return Index exposure contributed 13.80% in return while the fixed income portfolio contributed 3.16% in return. The Shiller Barclays CAPE® U.S. Sector Index was allocated to six sectors over the course of the year with Healthcare and Technology/Telecommunications exposure being the biggest drivers of performance. The fixed income portfolio’s key drivers of return were the MBS, CMBS and EM sector contributions.
| | | | | | |
| Period Ended 3-31-15 | | | | 12-Months | |
I-Share | | | | | 16.96% | |
N-Share | | | | | 16.60% | |
S&P 500® Index | | | | | 12.73% | |
Shiller Barclays CAPE® U.S. Sector Total Return Index | | | | | 14.39% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Flexible Income Fund
Since inception on April 7, 2014 to March 31, 2015, the DoubleLine Flexible Income Fund outperformed the LIBOR USD 3-Month return of 0.23%. The portfolio has maintained a more credit-centered positioning with a lower duration profile during the reporting period. Driven by the non-Agency RMBS sector’s high carry profile, RMBS were the best performers in the Fund. Despite intermittent periods of volatility caused by geopolitical concerns around various markets, the solely USD-denominated EM sector contributed solid returns to the portfolio. CMBS have contributed to overall portfolio return as prices have rallied, driven by US yields declining. High Yield and Bank Loan sectors faced fluctuations in valuations as concerns in the Oil and Energy space pervaded into the credit markets; however, both sectors ended the period with positive returns as market technicals improved towards the latter 2014/early 2015 months. Though CLOs encountered some variance in valuations due to regulatory concerns over the Volcker rule, they ended the period with steady returns within the Fund.
| | | | | | |
| Period 4-7-14 through 3-31-2015 | | | | Since Inception
(Not Annualized) | |
I-Share | | | | | 3.85% | |
N-Share | | | | | 3.63% | |
LIBOR* USD 3-Month | | | | | 0.23% | |
| * | LIBOR stands for the London Interbank Offered Rate. |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
| | | | | | |
| 10 | | DoubleLine Funds Trust | | | | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund
Since inception on April 7, 2014 to March 31, 2015, the DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I-Shares) performed in line with the JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified, Maturity 1-3. Short dated UST yields diverged over the year, with 2-year UST yields higher by 14 bps and 5-year UST yields lower by 35 bps. The Fund’s current income was partially offset by credit spreads widening over the period. Spread widening was led by corporate credits domiciled in Brazil and Colombia. Brazil credits sold off due to a graft scandal related to Brazil’s largest government owned oil and gas company. One of the Colombia credits tied to oil-related production saw its spreads widen due to the steep fall in oil prices at the end of the 2014 year.
| | | | | | |
| Period 4-7-14 through 3-31-15 | | | | Since Inception (Not Annualized) | |
I-Share | | | | | 1.92% | |
N-Share | | | | | 1.80% | |
JP Morgan CEMBI Broad Diversified 1-3 Year Index | | | | | 1.96% | |
For additional performance information, please refer to the “DoubleLine Funds’ Standardized Performance Summary.”
DoubleLine Long Duration Total Return Bond Fund
Since inception on December 15, 2014 to March 31, 2015, the DoubleLine Long Duration Total Return Bond Fund outperformed the Barclays U.S. Long Government/Credit Index return of 3.82% in the declining interest rate environment. Agency fixed-rate CMOs were the primary drivers of performance for the Fund as they benefited from a combination of strong price appreciation and modest interest income. Though a small percentage of the portfolio, Agency principal-only securities contributed solid returns from a total return perspective thanks to robust price gains during the period. UST helped augment portfolio return, mainly driven by rallying prices with the flattening yield curve. The portfolio ended with a duration slightly shorter than the Barclays U.S. Long Government/Credit Index and a positive convexity profile.
| | | | | | |
| Period 12-15-14 through 3-31-15 | | | | Since Inception (Not Annualized) | |
I-Share | | | | | 5.15% | |
N-Share | | | | | 4.99% | |
Barclays U.S. Long Government/Credit Index | | | | | 3.82% | |
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 March 31, 2015 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
| | | | | | |
| | Annual Report | | March 31, 2015 | | 11 |
| | |
| Management’s Discussion of Fund Performance (Cont.) | | March 31, 2015 |
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.
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. Government Index—An index that measures the performance of all public U.S. government obligations with remaining maturities of one year or more.
Barclays U.S. Long Government/Credit Index—The index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt.
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).
Barclays Municipal Bond Index—This index tracks the performance of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and an investment grade rating (based on Moody’s, S&P and Fitch). Minimum size vary based on the initial term to final maturity at time of issuance.
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.
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.
Citi High-Yield Cash-Pay Capped Index—This index represents the cash-pay securities of the Citigroup High-Yield Market Capped Index, which represents a modified version of the High Yield Market Index by delaying the entry of fallen angel issues and capping the par value of individual issuers at $5 billion par amount outstanding.
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.
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.
Euro Stoxx 50 Index—This index is a market capitalization-weighted stock index of 50 of the large, blue-chip European companies operating within the Eurozone.
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.
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.
Morgan Stanley Capital International Emerging Markets Index (MSCI EM Index)—The MSCI Emerging Markets Index is designed to measure equity market performance in global emerging markets by capturing large and midcap representation across 23 Emerging Markets countries.
Morgan Stanley Capital International Brazil USD Index—The MSCI Brazil USD Index is designed to measure the performance of the large and mid cap segments of the Brazilian market. With 75 constituents, the index covers about 85% of the Brazilian equity universe.
Morgan Stanley Capital International Russia USD Index—The MSCI Russia USD Index is a free-float capitalization-weighted index used to track the equity market performance of Russian securities on the MICEX Stock Exchange.
Russell 1000® Value Index—This index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.
Shanghai Composite Index—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.
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.
| | | | | | |
| 12 | | DoubleLine Funds Trust | | | | |
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/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.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 13 |
| | |
| DoubleLine Funds’ Standardized Performance Summary | | (Unaudited) March 31, 2015 |
As of March 31, 2015
| | | | | | | | | | | | | | | | | | | | |
| DBLTX/DLTNX | |
Total Return Bond Fund
Returns as of March 31, 2015 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 3-31-15) |
| |
| Gross
Expense Ratio |
|
I-share (DBLTX) | | | 5.93% | | | | 4.78% | | | | 8.65% | | | | 0.47% | |
N-share (DLTNX) | | | 5.76% | | | | 4.55% | | | | 8.39% | | | | 0.72% | |
Barclays U.S. Aggregate Bond Index | | | 5.72% | | | | 3.10% | | | | 4.54% | | | | | | | | | |
| DBLEX/DLENX | |
Emerging Markets Fixed Income Fund
Returns as of March 31, 2015 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10 to 3-31-15) |
| |
| Gross
Expense Ratio |
|
I-share (DBLEX) | | | 2.90% | | | | 3.92% | | | | 6.22% | | | | 0.92% | |
N-share (DLENX) | | | 2.64% | | | | 3.66% | | | | 5.96% | | | | 1.17% | |
JP Morgan Emerging Markets Bond Global Diversified Index | | | 5.65% | | | | 5.37% | | | | 7.08% | | | | | | | | | |
| DBLFX/DLFNX | |
Core Fixed Income Fund
Returns as of March 31, 2015 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(6-1-10 to 3-31-15) |
| |
| Gross
Expense Ratio |
|
I-share (DBLFX) | | | 6.07% | | | | 4.51% | | | | 7.13% | | | | 0.52% | |
N-share (DLFNX) | | | 5.91% | | | | 4.29% | | | | 6.88% | | | | 0.77% | |
Barclays U.S. Aggregate Bond Index | | | 5.72% | | | | 3.10% | | | | 4.16% | | | | | | | | | |
| DMLIX/DMLAX | |
Multi-Asset Growth Fund
Returns as of March 31, 2015 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(12-20-10 to 3-31-15) |
| |
| Gross
Expense Ratio |
| |
| Net
Expense Ratio* |
|
I-share (DMLIX) | | | 6.22% | | | | 4.11% | | | | 3.80% | | | | 1.68% | | | | 1.55% | |
A-share (DMLAX) | | | | | | | | | | | | | | | 1.93% | | | | 1.80% | |
A-share (No Load) | | | 5.96% | | | | 3.80% | | | | 3.51% | | | | | | | | | |
A-share (With Load) | | | 1.45% | | | | 2.31% | | | | 2.46% | | | | | | | | | |
Blended Benchmark** | | | -2.60% | | | | 1.95% | | | | 3.26% | | | | | | | | | |
S&P 500® TR | | | 12.73% | | | | 16.11% | | | | 14.97% | | | | | | | | | |
| DBLSX/DLSNX | |
Low Duration Bond Fund
Returns as of March 31, 2015 | | | 1 Year | | |
| 3 Year
Annualized |
| |
| Since Inception
Annualized
(9-30-11 to 9-30-14) |
| |
| Gross
Expense Ratio |
| |
| Net
Expense Ratio* |
|
I-share (DBLSX) | | | 1.76% | | | | 2.05% | | | | 2.45% | | | | 0.49% | | | | 0.48% | |
N-share (DLSNX) | | | 1.51% | | | | 1.80% | | | | 2.19% | | | | 0.74% | | | | 0.73% | |
BofA/Merrill Lynch 1-3 Year Treasury | | | 1.00% | | | | 0.67% | | | | 0.61% | | | | | | | | | |
| DBFRX/DLFRX | |
Floating Rate Fund
Returns as of March 31, 2015 | | | 1 Year | | |
| Since Inception
Annualized
(2-1-13 to 3-31-15) |
| |
| Gross
Expense Ratio |
| | | | | | | | |
I-share (DBFRX) | | | 3.36% | | | | 3.35% | | | | 0.75% | | | | | | | | | |
N-share (DLFRX) | | | 3.19% | | | | 3.21% | | | | 1.00% | | | | | | | | | |
S&P LSTA Leveraged Loan Index | | | 2.53% | | | | 3.68% | | | | | | | | | | | | | |
| DSEEX/DSENX | |
Shiller Enhanced CAPE®
Returns as of March 31, 2015 | | | 1 Year | | |
| Since Inception
Annualized (10-31-13 to 3-31-15) |
| |
| Gross
Expense Ratio |
| |
| Net
Expense Ratio* |
| |
| Expense
Cap* |
|
I-share (DSEEX) | | | 16.96% | | | | 17.84% | | | | 1.38% | | | | 0.99% | | | | 0.65% | |
N-share (DSENX) | | | 16.60% | | | | 17.51% | | | | 1.63% | | | | 1.24% | | | | 0.90% | |
Shiller Barclays CAPE® U.S. Sector Total Return USD Index | | | 14.39% | | | | 15.15% | | | | | | | | | | | | | |
S&P 500® | | | 12.73% | | | | 14.61% | | | | | | | | | | | | | |
| | | | | | |
| 14 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
| | | | | | | | | | | | | | |
| DFLEX/DLINX |
Flexible Income Fund
Returns as of March 31, 2015 | |
| Since Inception
(4-7-14 to 3-31-15) |
| |
| Gross
Expense Ratio |
| | Net
Expense Ratio* |
I-share (DFLEX) | | | 3.85% | | | | 1.08% | | | 0.83% |
N-share (DLINX) | | | 3.63% | | | | 1.33% | | | 1.08% |
LIBOR USD 3-Month Index | | | 0.23% | | | | | | | | | | | |
| DBLLX/DELNX |
Low Duration Emerging Markets Fixed Income Fund
Returns as of March 31, 2015 | |
| Since Inception
(4-7-14 to 3-31-15) |
| |
| Gross
Expense Ratio |
| | Net
Expense Ratio* |
I-share (DBLLX) | | | 1.92% | | | | 0.98% | | | 0.60% |
N-share (DELNX) | | | 1.80% | | | | 1.23% | | | 0.85% |
JP Morgan CEMBI Broad Diversified 1-3 Years | | | 1.96% | | | | | | | | | | | |
| DBLDX/DLLDX |
Long Duration Total Return Bond Fund
Returns as of March 31, 2015 | |
| Since Inception
(12-15-14 to 3-31-15) |
| |
| Gross
Expense
Ratio |
| | Net
Expense Ratio*** |
I-share (DBLDX) | | | 5.15% | | | | 1.10% | | | 0.66% |
N-share (DLLDX) | | | 4.99% | | | | 1.35% | | | 0.91% |
Barclays Long Government/Credit Index | | | 3.82% | | | | | | | | | | | |
The performance information shown assumes the reinvestment of all dividends and distributions. Performance reflects management fees and other fund expenses. Returns over 1- year are average annual returns. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. 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 (With Load) 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 its investment advisory fee and to reimburse the Funds for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to the expense ratios shown. These expense limitations are expected to apply until at least July 31, 2016, except that they may be terminated by the Board of Trustees at any time.
**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 Fund for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to the expense ratios shown. These expense limitations are expected to apply until at least November 20, 2016, except that they may be terminated by the Board of Trustees at any time.
Mutual Fund Investing involves risk. Principal loss is possible.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 15 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 0.5% | |
| |
| | | | CAN Capital Funding LLC, | |
| $ | 50,000,000 | | | Series 2012-1A-B1 | | | 3.12% | ^ | | | 04/15/2020 | | | | 50,060,000 | |
| |
| | | | DB Master Finance LLC, | |
| | 54,500,000 | | | Series 2015-1A-A2I | | | 3.26% | ^ | | | 02/20/2045 | | | | 55,074,512 | |
| | 37,500,000 | | | Series 2015-1A-A2II | | | 3.98% | ^ | | | 02/20/2045 | | | | 38,356,144 | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| | 54,000,000 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 54,475,200 | |
| |
| | | | Nelnet Student Loan Trust, | |
| | 31,700,000 | | | Series 2007-2A-B1 | | | 1.40% | #^ | | | 09/25/2035 | | | | 29,705,436 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $226,629,475) | | | | 227,671,292 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 4.9% | |
| |
| | | | Adams Mill Ltd., | |
| | 10,000,000 | | | Series 2014-1A-C1 | | | 3.25% | #^ | | | 07/15/2026 | | | | 9,866,417 | |
| |
| | | | AIMCO, | |
| | 20,890,050 | | | Series 2006-AA-A1 | | | 0.51% | #^ | | | 08/20/2020 | | | | 20,805,635 | |
| |
| | | | ALM Loan Funding, | |
| | 3,750,000 | | | Series 2012-6A-C | | | 5.02% | #^ | | | 06/14/2023 | | | | 3,813,612 | |
| | 20,000,000 | | | Series 2012-7A-A1 | | | 1.68% | #^ | | | 10/19/2024 | | | | 20,008,728 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 3,500,000 | | | Series 2014-4A-A1A | | | 1.71% | #^ | | | 07/28/2026 | | | | 3,472,556 | |
| |
| | | | Apidos Ltd., | |
| | 1,500,000 | | | Series 2006-4A-D | | | 1.76% | #^ | | | 10/27/2018 | | | | 1,488,244 | |
| | 24,757,339 | | | Series 2007-5A-A18 | | | 0.48% | #^ | | | 04/15/2021 | | | | 24,662,696 | |
| | 43,750,000 | | | Series 2013-16A-A1 | | | 1.71% | #^ | | | 01/19/2025 | | | | 43,766,236 | |
| | 5,500,000 | | | Series 2014-18A-B | | | 3.06% | #^ | | | 07/22/2026 | | | | 5,425,150 | |
| | 25,000,000 | | | Series 2014-19A-A1 | | | 1.71% | #^ | | | 10/17/2026 | | | | 25,037,095 | |
| | 23,000,000 | | | Series 2015-20A-A1 | | | 1.77% | #^ | | | 01/16/2027 | | | | 23,014,108 | |
| |
| | | | ARES Ltd., | |
| | 7,554,356 | | | Series 2007-12A-A | | | 0.89% | #^ | | | 11/25/2020 | | | | 7,523,131 | |
| | 25,000,000 | | | Series 2013-1A-B | | | 2.00% | #^ | | | 04/15/2025 | | | | 24,697,890 | |
| | 6,500,000 | | | Series 2013-1A-D | | | 4.00% | #^ | | | 04/15/2025 | | | | 6,364,993 | |
| | 4,691,961 | | | Series 2014-30A-A2 | | | 1.11% | #^ | | | 04/20/2023 | | | | 4,669,398 | |
| |
| | | | Atrium Corporation, | |
| | 43,299,213 | | | Series 5A-A2A | | | 0.48% | #^ | | | 07/20/2020 | | | | 43,097,950 | |
| |
| | | | Avery Point Ltd., | |
| | 3,950,000 | | | Series 2013-2A-D | | | 3.71% | #^ | | | 07/17/2025 | | | | 3,799,341 | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.78% | #^ | | | 04/25/2026 | | | | 5,000,927 | |
| | 4,250,000 | | | Series 2014-1A-D | | | 3.76% | #^ | | | 04/25/2026 | | | | 4,131,740 | |
| |
| | | | Babson Ltd., | |
| | 15,391,164 | | | Series 2005-3A-A | | | 0.51% | #^ | | | 11/10/2019 | | | | 15,344,194 | |
| | 4,500,000 | | | Series 2014-3A-D2 | | | 4.69% | #^ | | | 01/15/2026 | | | | 4,540,949 | |
| | 4,750,000 | | | Series 2014-IIA-C | | | 3.17% | #^ | | | 10/17/2026 | | | | 4,626,364 | |
| | 3,750,000 | | | Series 2014-IIA-D | | | 3.87% | #^ | | | 10/17/2026 | | | | 3,651,786 | |
| |
| | | | Baker Street Funding Ltd., | |
| | 5,000,000 | | | Series 2005-1A-B | | | 0.72% | #^ | | | 12/15/2018 | | | | 4,936,996 | |
| |
| | | | Ballyrock Ltd., | |
| | 1,000,000 | | | Series 2014-1A-B | | | 3.43% | #^ | | | 10/20/2026 | | | | 992,331 | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.98% | #^ | | | 10/20/2026 | | | | 1,925,106 | |
| |
| | | | Birchwood Park Ltd., | |
| | 5,000,000 | | | Series 2014-1A-C2 | | | 3.40% | #^ | | | 07/15/2026 | | | | 5,016,205 | |
| | 6,500,000 | | | Series 2014-1A-D2 | | | 4.45% | #^ | | | 07/15/2026 | | | | 6,548,612 | |
| |
| | | | Black Diamond Ltd., | |
| | 1,289,053 | | | Series 2005-1A-A1 | | | 0.54% | #^ | | | 06/20/2017 | | | | 1,287,174 | |
| |
| | | | BlackRock Senior Income, | |
| | 8,864,674 | | | Series 2006-4A-A | | | 0.50% | #^ | | | 04/20/2019 | | | | 8,793,092 | |
| | 4,410,070 | | | Series 2007-5A-A3 | | | 0.49% | #^ | | | 08/13/2019 | | | | 4,362,307 | |
| |
| | | | BlueMountain Ltd., | |
| | 25,000,000 | | | Series 2012-2A-A1 | | | 1.68% | #^ | | | 11/20/2024 | | | | 25,000,090 | |
| | 19,000,000 | | | Series 2012-2A-B1 | | | 2.32% | #^ | | | 11/20/2024 | | | | 19,023,507 | |
| | 16,150,000 | | | Series 2012-2A-C | | | 3.01% | #^ | | | 11/20/2024 | | | | 15,981,268 | |
| | 31,870,000 | | | Series 2013-1A-A1 | | | 1.46% | #^ | | | 05/15/2025 | | | | 31,555,510 | |
| | 5,000,000 | | | Series 2014-3A-A1 | | | 1.48% | #^ | | | 10/15/2026 | | | | 4,996,713 | |
| | 6,250,000 | | | Series 2014-4A-B1 | | | 2.65% | #^ | | | 11/30/2026 | | | | 6,279,601 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | BMI Trust, | |
| $ | 80,604,079 | | | Series 2013-1AR-A1R | | | 1.20% | #^ | | | 08/01/2021 | | | | 80,243,497 | |
| |
| | | | BridgePort Ltd., | |
| | 852,851 | | | Series 2006-1A-A1 | | | 0.51% | #^ | | | 07/21/2020 | | | | 839,643 | |
| |
| | | | Brookside Mill Ltd., | |
| | 17,000,000 | | | Series 2013-1A-C1 | | | 2.95% | #^ | | | 04/17/2025 | | | | 16,522,837 | |
| |
| | | | Callidus Debt Partners Fund Ltd., | |
| | 20,257,634 | | | Series 2007-6A-A1T | | | 0.52% | #^ | | | 10/23/2021 | | | | 19,798,199 | |
| |
| | | | Canyon Capital Ltd., | |
| | 9,500,000 | | | Series 2012-1A-B1 | | | 2.20% | #^ | | | 01/15/2024 | | | | 9,416,448 | |
| | 1,000,000 | | | Series 2014-1A-B | | | 2.90% | #^ | | | 04/30/2025 | | | | 977,386 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 17,000,000 | | | Series 2014-3A-B | | | 3.41% | #^ | | | 07/27/2026 | | | | 17,053,096 | |
| | 2,500,000 | | | Series 2014-3A-C2 | | | 4.46% | #^ | | | 07/27/2026 | | | | 2,518,659 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 1,750,000 | | | Series 2006-8A-B | | | 0.64% | #^ | | | 05/21/2021 | | | | 1,699,622 | |
| | 6,349,422 | | | Series 2007-10A-A2A | | | 0.47% | #^ | | | 04/19/2022 | | | | 6,266,942 | |
| |
| | | | Catamaran Ltd., | |
| | 8,500,000 | | | Series 2015-1A1-B | | | 2.48% | #^ | | | 04/22/2027 | | | | 8,500,000 | |
| | 47,000,000 | | | Series 2015-1A-A | | | 1.83% | #^ | | | 04/22/2027 | | | | 47,000,000 | |
| |
| | | | Cent Ltd., | |
| | 3,000,000 | | | Series 2005-10A-D | | | 2.02% | #^ | | | 12/15/2017 | | | | 2,988,755 | |
| | 14,179,625 | | | Series 2006-11A-A1 | | | 0.52% | #^ | | | 04/25/2019 | | | | 14,031,431 | |
| | 1,720,372 | | | Series 2007-14A-A1 | | | 0.49% | #^ | | | 04/15/2021 | | | | 1,693,080 | |
| | 14,491,427 | | | Series 2007-14A-A2A | | | 0.48% | #^ | | | 04/15/2021 | | | | 14,250,656 | |
| | 6,250,000 | | | Series 2014-22A-B | | | 3.43% | #^ | | | 11/07/2026 | | | | 6,277,167 | |
| | 7,250,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 7,064,749 | |
| |
| | | | Covenant Credit Partners Ltd., | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.74% | #^ | | | 07/20/2026 | | | | 4,962,670 | |
| |
| | | | Crown Point Ltd., | |
| | 10,271,196 | | | Series 2012-1A-A1LB | | | 1.76% | #^ | | | 11/21/2022 | | | | 10,267,912 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 5,000,000 | | | Series 2006-11A-C1 | | | 1.85% | #^ | | | 04/12/2020 | | | | 4,876,908 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 4,000,000 | | | Series 2012-24A-D | | | 5.01% | #^ | | | 11/15/2023 | | | | 4,048,020 | |
| | 10,000,000 | | | Series 2012-25A-B1 | | | 2.48% | #^ | | | 01/15/2025 | | | | 10,018,076 | |
| |
| | | | Flagship, | |
| | 25,000,000 | | | Series 2014-8A-A | | | 1.76% | #^ | | | 01/16/2026 | | | | 25,074,347 | |
| |
| | | | Flatiron Ltd., | |
| | 18,100,000 | | | Series 2013-1A-A1 | | | 1.66% | #^ | | | 01/17/2026 | | | | 18,019,307 | |
| | 3,000,000 | | | Series 2014-1A-B | | | 3.11% | #^ | | | 07/17/2026 | | | | 2,968,755 | |
| | 6,750,000 | | | Series 2014-1A-C | | | 3.56% | #^ | | | 07/17/2026 | | | | 6,475,121 | |
| |
| | | | Fortress Credit Ltd., | |
| | 10,000,000 | | | Series 2013-1A-A | | | 1.43% | #^ | | | 01/19/2025 | | | | 9,893,765 | |
| | 10,000,000 | | | Series 2013-1A-B | | | 2.15% | #^ | | | 01/19/2025 | | | | 9,786,245 | |
| |
| | | | Galaxy Ltd., | |
| | 2,000,000 | | | Series 2013-15A-A | | | 1.50% | #^ | | | 04/15/2025 | | | | 1,984,224 | |
| | 13,000,000 | | | Series 2013-15A-B | | | 2.10% | #^ | | | 04/15/2025 | | | | 12,931,915 | |
| | 13,100,000 | | | Series 2013-15A-C | | | 2.85% | #^ | | | 04/15/2025 | | | | 12,880,857 | |
| | 6,125,000 | | | Series 2013-15A-D | | | 3.65% | #^ | | | 04/15/2025 | | | | 5,931,966 | |
| |
| | | | GLG Ore Hill Ltd., | |
| | 37,000,000 | | | Series 2013-1A-A | | | 1.37% | #^ | | | 07/15/2025 | | | | 36,369,812 | |
| |
| | | | Golden Tree Loan Opportunities Ltd., | |
| | 30,000,000 | | | Series 2014-9A-A | | | 1.83% | #^ | | | 10/29/2026 | | | | 30,079,923 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 6,500,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 5,816,297 | |
| | 1,750,000 | | | Series 2014-2A-D | | | 5.26% | #^ | | | 04/28/2025 | | | | 1,531,250 | |
| | 5,000,000 | | | Series 2014-3A-D | | | 3.91% | #^ | | | 10/22/2025 | | | | 4,536,854 | |
| |
| | | | Harbourview Ltd., | |
| | 30,000,000 | | | Series 7A-A1 | | | 1.82% | #^ | | | 11/18/2026 | | | | 29,999,799 | |
| |
| | | | Hildene Ltd., | |
| | 25,000,000 | | | Series 2014-3A-A | | | 1.88% | #^ | | | 10/20/2026 | | | | 24,941,853 | |
| |
| | | | ICE Global Credit Ltd., | |
| | 30,000,000 | | | Series 2013-1A-A1 | | | 2.01% | #^¥ | | | 04/20/2024 | | | | 28,941,000 | |
| | 25,000,000 | | | Series 2013-1A-B2 | | | 2.81% | #^¥ | | | 04/20/2024 | | | | 22,222,500 | |
| | | | | | |
| 16 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | ING Ltd., | |
| $ | 19,749,598 | | | Series 2007-5A-A1A | | | 0.48% | #^ | | | 05/01/2022 | | | | 19,621,277 | |
| | 10,500,000 | | | Series 2013-3A-A1 | | | 1.85% | # | | | 08/01/2020 | | | | 10,058,772 | |
| | 3,415,000 | | | Series 2013-3A-A1 | | | 1.71% | #^ | | | 01/18/2026 | | | | 3,413,508 | |
| | 4,250,000 | | | Series 2013-3A-B | | | 2.96% | #^ | | | 01/18/2026 | | | | 4,185,738 | |
| |
| | | | Jamestown Ltd., | |
| | 15,000,000 | | | Series 2012-1A-A1 | | | 1.69% | #^ | | | 11/05/2024 | | | | 14,981,220 | |
| | 50,000,000 | | | Series 2013-3A-A1A | | | 1.70% | #^ | | | 01/15/2026 | | | | 49,856,305 | |
| | 15,000,000 | | | Series 2014-4A-A1A | | | 1.75% | #^ | | | 07/15/2026 | | | | 14,984,340 | |
| | 28,750,000 | | | Series 2015-6A-A1A | | | 1.86% | #^ | | | 02/20/2027 | | | | 28,858,580 | |
| |
| | | | KVK Ltd., | |
| | 20,000,000 | | | Series 2013-1A-A | | | 1.65% | #^ | | | 04/14/2025 | | | | 19,836,474 | |
| |
| | | | Landmark Ltd., | |
| | 8,038,057 | | | Series 2006-7A-A2L | | | 0.70% | #^ | | | 07/15/2018 | | | | 8,068,989 | |
| | 9,500,000 | | | Series 2006-8A-C | | | 1.01% | #^ | | | 10/19/2020 | | | | 9,282,796 | |
| |
| | | | LCM LP, | |
| | 3,650,000 | | | Series 11A-D2 | | | 4.21% | #^ | | | 04/19/2022 | | | | 3,649,359 | |
| | 21,000,000 | | | Series 12A-A | | | 1.73% | #^ | | | 10/19/2022 | | | | 21,021,143 | |
| | 12,600,000 | | | Series 13A-C | | | 3.16% | #^ | | | 01/19/2023 | | | | 12,596,260 | |
| | 7,825,000 | | | Series 14A-D | | | 3.75% | #^ | | | 07/15/2025 | | | | 7,608,446 | |
| | 21,000,000 | | | Series 16A-A | | | 1.75% | #^ | | | 07/15/2026 | | | | 21,012,390 | |
| | 2,750,000 | | | Series 16A-D | | | 3.85% | #^ | | | 07/15/2026 | | | | 2,663,787 | |
| | 7,500,000 | | | Series 6A-C | | | 1.06% | #^ | | | 05/28/2019 | | | | 7,293,635 | |
| |
| | | | Limerock Ltd., | |
| | 7,000,000 | | | Series 2014-2A-A | | | 1.76% | #^ | | | 04/18/2026 | | | | 7,002,216 | |
| | 25,000,000 | | | Series 2014-3A-A1 | | | 1.79% | #^ | | | 10/20/2026 | | | | 25,006,550 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 4,558,461 | | | Series 2007-4A-A1A | | | 0.48% | #^ | | | 03/22/2021 | | | | 4,513,231 | |
| | 1,000,000 | | | Series 2012-9X-C1 | | | 3.86% | # | | | 08/15/2022 | | | | 1,012,481 | |
| | 3,000,000 | | | Series 2014-14A-C1 | | | 3.36% | #^ | | | 07/20/2026 | | | | 3,024,128 | |
| | 4,000,000 | | | Series 2014-15A-C | | | 3.91% | #^ | | | 01/27/2026 | | | | 3,896,257 | |
| |
| | | | Magnetite Ltd., | |
| | 7,500,000 | | | Series 2012-6A-A | | | 1.77% | #^ | | | 09/15/2023 | | | | 7,503,672 | |
| | 19,250,000 | | | Series 2015-12A-A | | | 1.82% | #^ | | | 04/15/2027 | | | | 19,252,193 | |
| | 17,000,000 | | | Series 2013-5A-A2A | | | 2.58% | #^ | | | 02/21/2025 | | | | 17,024,194 | |
| |
| | | | Marea Ltd., | |
| | 2,000,000 | | | Series 2012-1A-D | | | 4.80% | #^ | | | 10/16/2023 | | | | 2,017,847 | |
| |
| | | | Mountain Capital Ltd., | |
| | 2,189,417 | | | Series 2007-6A-A | | | 0.49% | #^ | | | 04/25/2019 | | | | 2,176,049 | |
| |
| | | | Nautique Funding Ltd., | |
| | 8,376,193 | | | Series 2006-1A-A1A | | | 0.50% | #^ | | | 04/15/2020 | | | | 8,279,867 | |
| | 2,000,000 | | | Series 2006-1A-C | | | 1.95% | #^ | | | 04/15/2020 | | | | 1,948,261 | |
| |
| | | | Nomad Ltd., | |
| | 9,000,000 | | | Series 2013-1A-B | | | 3.20% | #^ | | | 01/15/2025 | | | | 8,876,243 | |
| | 3,500,000 | | | Series 2013-1A-C | | | 3.75% | #^ | | | 01/15/2025 | | | | 3,327,499 | |
| |
| | | | Northwoods Capital Corporation, | |
| | 30,000,000 | | | Series 2012-9A-A | | | 1.68% | #^ | | | 01/18/2024 | | | | 29,913,720 | |
| | 16,660,000 | | | Series 2013-10-A1 | | | 1.65% | #^ | | | 11/04/2025 | | | | 16,604,037 | |
| |
| | | | Nylim Flatiron Ltd., | |
| | 13,500,857 | | | Series 2006-1A-A2A | | | 0.48% | #^ | | | 08/08/2020 | | | | 13,426,844 | |
| |
| | | | Oak Hill Credit Partners, | |
| | 29,000,000 | | | Series 2012-7A-A | | | 1.68% | #^ | | | 11/20/2023 | | | | 28,973,221 | |
| | 18,000,000 | | | Series 2012-7A-B1 | | | 2.51% | #^ | | | 11/20/2023 | | | | 18,110,596 | |
| |
| | | | Ocean Trails, | |
| | 50,000,000 | | | Series 2014-5A-A2 | | | 1.93% | #^ | | | 10/13/2026 | | | | 50,148,735 | |
| |
| | | | OCP Ltd., | |
| | 9,000,000 | | | Series 2012-2A-A2 | | | 1.74% | #^ | | | 11/22/2023 | | | | 9,019,506 | |
| | 1,520,947 | | | Series 2012-2A-X2 | | | 1.74% | #^ | | | 11/22/2023 | | | | 1,523,156 | |
| | 10,000,000 | | | Series 2013-3A-B | | | 3.01% | #^ | | | 01/17/2025 | | | | 9,761,479 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 15,000,000 | | | Series 2014-1A-A | | | 1.70% | #^ | | | 08/12/2026 | | | | 14,979,579 | |
| | 13,500,000 | | | Series 2014-1A-B | | | 3.45% | #^ | | | 11/14/2026 | | | | 13,565,432 | |
| | 5,500,000 | | | Series 2014-1A-C | | | 3.90% | #^ | | | 11/14/2026 | | | | 5,328,938 | |
| | 1,500,000 | | | Series 2014-1A-C2 | | | 3.79% | #^ | | | 11/22/2025 | | | | 1,517,130 | |
| | 4,000,000 | | | Series 2014-1A-X | | | 1.29% | #^ | | | 11/22/2025 | | | | 4,004,090 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| $ | 11,734,053 | | | Series 2011-1AR-AR | | | 1.18% | #^ | | | 04/20/2021 | | | | 11,705,170 | |
| | 10,000,000 | | | Series 2011-1AR-DR | | | 3.31% | #^ | | | 04/20/2021 | | | | 10,029,279 | |
| |
| | | | OZLM Funding Ltd., | |
| | 9,000,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 8,994,267 | |
| |
| | | | OZLM Ltd., | |
| | 6,700,000 | | | Series 2014-6A-A1 | | | 1.81% | #^ | | | 04/17/2026 | | | | 6,716,687 | |
| | 25,000,000 | | | Series 2014-9A-A1 | | | 1.83% | #^ | | | 01/20/2027 | | | | 25,099,518 | |
| | 38,500,000 | | | Series 2015-11A-A1A | | | 1.82% | #^ | | | 01/30/2027 | | | | 38,547,821 | |
| | 5,000,000 | | | Series 2015-11A-A2A | | | 2.52% | #^ | | | 01/30/2027 | | | | 5,015,201 | |
| |
| | | | Race Point Ltd., | |
| | 6,000,000 | | | Series 2007-4A-C | | | 1.00% | #^ | | | 08/01/2021 | | | | 5,866,205 | |
| | 25,000,000 | | | Series 2012-7A-A | | | 1.68% | #^ | | | 11/08/2024 | | | | 24,964,993 | |
| | 24,000,000 | | | Series 2012-7A-B | | | 2.51% | #^ | | | 11/08/2024 | | | | 24,146,448 | |
| | 5,500,000 | | | Series 2013-8A-B | | | 2.13% | #^ | | | 02/20/2025 | | | | 5,479,950 | |
| |
| | | | Regatta Funding Ltd., | |
| | 30,000,000 | | | Series 2014-1A-A1A | | | 1.79% | #^ | | | 10/25/2026 | | | | 30,050,439 | |
| |
| | | | Saturn Ltd., | |
| | 3,200,000 | | | Series 2007-1A-D | | | 4.26% | #^ | | | 05/13/2022 | | | | 3,055,604 | |
| |
| | | | Sierra Ltd., | |
| | 6,500,000 | | | Series 2006-2A-A2L | | | 0.69% | #^ | | | 01/22/2021 | | | | 6,434,702 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 25,000,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 10/30/2026 | | | | 24,939,733 | |
| |
| | | | Steele Creek Ltd., | |
| | 22,000,000 | | | Series 2014-1A-A1 | | | 1.86% | #^ | | | 08/21/2026 | | | | 21,950,865 | |
| |
| | | | Symphony Ltd., | |
| | 29,500,000 | | | Series 2013-11A-B1 | | | 2.46% | #^ | | | 01/17/2025 | | | | 29,610,947 | |
| | 10,250,000 | | | Series 2013-11A-C | | | 3.41% | #^ | | | 01/17/2025 | | | | 10,316,033 | |
| |
| | | | Thacher Park Ltd., | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.30% | #^ | | | 10/20/2026 | | | | 2,003,605 | |
| | 4,500,000 | | | Series 2014-1A-D1 | | | 3.78% | #^ | | | 10/20/2026 | | | | 4,326,768 | |
| |
| | | | Venture Ltd., | |
| | 11,756,946 | | | Series 2006-1A-A1 | | | 0.49% | #^ | | | 08/03/2020 | | | | 11,626,259 | |
| | 9,257,985 | | | Series 2007-8A-A2A | | | 0.48% | #^ | | | 07/22/2021 | | | | 9,137,651 | |
| | 17,000,000 | | | Series 2014-17A-A | | | 1.73% | #^ | | | 07/15/2026 | | | | 16,975,559 | |
| | 3,250,000 | | | Series 2014-17A-B2 | | | 2.35% | #^ | | | 07/15/2026 | | | | 3,239,405 | |
| |
| | | | Voya Ltd., | |
| | 23,000,000 | | | Series 2014-4A-A1 | | | 1.73% | #^ | | | 10/14/2026 | | | | 23,035,526 | |
| |
| | | | Washington Mill Ltd., | |
| | 56,500,000 | | | Series 2014-1A-A1 | | | 1.76% | #^ | | | 04/20/2026 | | | | 56,391,497 | |
| | 5,000,000 | | | Series 2014-1A-B1 | | | 2.31% | #^ | | | 04/20/2026 | | | | 4,968,767 | |
| | 4,750,000 | | | Series 2014-1A-C | | | 3.26% | #^ | | | 04/20/2026 | | | | 4,645,611 | |
| |
| | | | Westwood Ltd., | |
| | 13,059,407 | | | Series 2006-1X-A1 | | | 0.51% | # | | | 03/25/2021 | | | | 12,935,658 | |
| | 21,648,494 | | | Series 2007-2A-A1 | | | 0.48% | #^ | | | 04/25/2022 | | | | 21,457,814 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,000,000 | | | Series 2006-1A-B1L | | | 2.10% | #^ | | | 05/01/2018 | | | | 2,001,649 | |
| | 50,000,000 | | | Series 2012-1A-A1L | | | 1.65% | #^ | | | 02/03/2025 | | | | 49,704,540 | |
| |
| | | | Wind River Ltd., | |
| | 59,000,000 | | | Series 2012-1A-A | | | 1.65% | #^ | | | 01/15/2024 | | | | 58,890,295 | |
| | 18,000,000 | | | Series 2012-1A-B1 | | | 2.35% | #^ | | | 01/15/2024 | | | | 17,956,710 | |
| | 13,750,000 | | | Series 2012-1A-C1 | | | 3.30% | #^ | | | 01/15/2024 | | | | 13,600,253 | |
| |
| | | | Zais Ltd., | |
| | 30,000,000 | | | Series 2014-2A-A1A | | | 1.73% | #^ | | | 07/25/2026 | | | | 29,856,117 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $2,254,817,800) | | | | 2,253,616,911 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 7.5% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 10,150,000 | | | Series 2011-07C1-A3B | | | 5.38% | ^ | | | 12/15/2016 | | | | 10,609,211 | |
| | 8,350,000 | | | Series 2014-IP-E | | | 2.72% | #^ | | | 06/15/2028 | | | | 8,355,782 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 19,741,000 | | | Series 2006-4-AM | | | 5.68% | | | | 07/10/2046 | | | | 20,890,518 | |
| | 5,038,000 | | | Series 2006-6-AM | | | 5.39% | | | | 10/10/2045 | | | | 5,333,025 | |
| | 22,365,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 23,337,620 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 17 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Banc of America Commercial Mortgage Trust, (Cont.) | |
| $ | 11,700,000 | | | Series 2007-2-AM | | | 5.79% | # | | | 04/10/2049 | | | | 12,613,477 | |
| | 59,298,515 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 63,345,461 | |
| | 247,600,934 | | | Series 2007-5-XW | | | 0.53% | #^ I/O | | | 02/10/2051 | | | | 1,958,523 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities Inc. | |
| | 226,872 | | | Series 2004-PWR4-A3 | | | 5.47% | # | | | 06/11/2041 | | | | 226,789 | |
| | 4,480,156 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 4,480,443 | |
| | 4,848,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 4,996,266 | |
| | 19,225,000 | | | Series 2006-PW14-AM | | | 5.24% | | | | 12/11/2038 | | | | 20,393,486 | |
| | 28,000,000 | | | Series 2007-PW16-AM | | | 5.90% | # | | | 06/11/2040 | | | | 30,496,536 | |
| | 12,815,000 | | | Series 2007-PW17-AMFL | | | 0.87% | #^ | | | 06/11/2050 | | | | 12,601,617 | |
| | 4,500,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 4,657,189 | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| | 9,500,000 | | | Series 2013-BOCA-E | | | 3.92% | #^ | | | 08/15/2026 | | | | 9,503,662 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 45,625,000 | | | Series 2006-CD2-AM | | | 5.35% | # | | | 01/15/2046 | | | | 47,135,187 | |
| | 99,887,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 104,603,864 | |
| | 1,279,223 | | | Series 2007-CD4-ASB | | | 5.28% | | | | 12/11/2049 | | | | 1,288,431 | |
| |
| | | | CDGJ Commercial Mortgage Trust, | |
| | 33,200,000 | | | Series 2014-BXCH-B | | | 2.02% | #^ | | | 12/15/2027 | | | | 33,359,875 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 19,881,000 | | | Series 2007-C6-AM | | | 5.90% | # | | | 12/10/2049 | | | | 21,200,880 | |
| | 7,020,000 | | | Series 2007-C6-AMFX | | | 5.70% | #^ | | | 12/10/2049 | | | | 7,478,589 | |
| | 11,250,000 | | | Series 2008-C7-AM | | | 6.35% | # | | | 12/10/2049 | | | | 12,314,987 | |
| | 297,278,896 | | | Series 2012-GC8-XA | | | 2.36% | #^ I/O | | | 09/10/2045 | | | | 28,972,950 | |
| | 9,011,000 | | | Series 2014-GC25-A4 | | | 3.64% | | | | 10/10/2047 | | | | 9,644,054 | |
| | 199,743,162 | | | Series 2014-GC25-XA | | | 1.25% | # I/O | | | 10/10/2047 | | | | 16,000,126 | |
| | 50,000,000 | | | Series 2015-GC27-A5 | | | 3.14% | | | | 02/10/2048 | | | | 51,384,475 | |
| | 6,265,000 | | | Series 2015-GC27-B | | | 3.77% | | | | 02/10/2048 | | | | 6,423,194 | |
| | 8,216,000 | | | Series 2015-GC27-D | | | 4.43% | #^ | | | 02/10/2048 | | | | 7,589,123 | |
| | 224,354,349 | | | Series 2015-GC27-XA | | | 1.45% | # I/O | | | 02/10/2048 | | | | 23,877,809 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 17,400,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 17,825,160 | |
| | 22,750,000 | | | Series 2007-C2-AMFX | | | 5.53% | # | | | 04/15/2047 | | | | 24,354,341 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 91,396,786 | | | Series 2002-LC4-XA | | | 2.59% | #^ I/O | | | 12/10/2044 | | | | 10,257,598 | |
| | 8,494,191 | | | Series 2007-C9-AJFL | | | 0.87% | #^ | | | 12/10/2049 | | | | 8,292,781 | |
| | 39,382,369 | | | Series 2012-CR2-XA | | | 1.90% | # I/O | | | 08/15/2045 | | | | 3,810,855 | |
| | 185,448,578 | | | Series 2012-CR3-XA | | | 2.17% | # I/O | | | 10/15/2045 | | | | 20,082,134 | |
| | 7,040,566 | | | Series 2012-MVP-A | | | 2.12% | #^ | | | 11/17/2026 | | | | 7,041,932 | |
| | 3,500,000 | | | Series 2012-MVP-B | | | 1.60% | #^ | | | 11/17/2026 | | | | 3,500,534 | |
| | 3,200,000 | | | Series 2012-MVP-C | | | 2.32% | #^ | | | 11/17/2026 | | | | 3,200,726 | |
| | 111,630,405 | | | Series 2013-CR10-XA | | | 1.16% | # I/O | | | 08/10/2046 | | | | 5,800,707 | |
| | 3,835,376 | | | Series 2013-FL3-RRI2 | | | 4.25% | #^ | | | 10/13/2028 | | | | 3,857,631 | |
| | 3,550,000 | | | Series 2014-CR15-D | | | 4.92% | #^ | | | 02/10/2047 | | | | 3,584,057 | |
| | 9,850,000 | | | Series 2014-CR19-C | | | 4.88% | # | | | 08/10/2047 | | | | 10,553,044 | |
| | 5,211,000 | | | Series 2014-CR20-A4 | | | 3.59% | | | | 11/10/2047 | | | | 5,561,932 | |
| | 30,400,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 32,129,638 | |
| | 71,378,000 | | | Series 2014-CR21-A3 | | | 3.53% | | | | 12/10/2047 | | | | 75,822,458 | |
| | 20,650,000 | | | Series 2014-KYO-E | | | 2.53% | #^ | | | 06/11/2027 | | | | 20,649,711 | |
| | 10,480,000 | | | Series 2014-KYO-F | | | 3.68% | #^ | | | 06/11/2027 | | | | 10,466,617 | |
| | 15,011,000 | | | Series 2014-UBS3-A4 | | | 3.82% | | | | 06/10/2047 | | | | 16,290,988 | |
| | 16,450,000 | | | Series 2015-CR22-D | | | 4.27% | #^ | | | 03/10/2048 | | | | 15,035,563 | |
| | 226,755,000 | | | Series 2015-CR22-XA | | | 1.17% | # I/O | | | 03/10/2048 | | | | 16,050,739 | |
| | 50,000,000 | | | Series 2015-DC1-A5 | | | 3.35% | | | | 02/10/2048 | | | | 52,319,575 | |
| | 8,715,000 | | | Series 2015-DC1-C | | | 4.50% | # | | | 02/10/2048 | | | | 9,041,324 | |
| | 13,275,000 | | | Series 2015-DC1-D | | | 4.50% | #^ | | | 02/10/2048 | | | | 12,396,056 | |
| | 412,021,000 | | | Series 2015-DC1-XA | | | 1.34% | # I/O | | | 02/10/2048 | | | | 33,362,782 | |
| | 35,000,000 | | | Series 2015-LC19-A4 | | | 3.18% | | | | 02/10/2048 | | | | 36,271,987 | |
| |
| | | | Core Industrial Trust Commercial Mortgage Pass-Through Certificates, | |
| | 8,215,000 | | | Series 2015-CALW-D | | | 3.85% | ^ | | | 02/10/2034 | | | | 8,437,453 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 25,469,233 | | | Series 2007-MF1-A | | | 6.28% | #^ | | | 11/12/2043 | | | | 26,806,368 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 1,844,175 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 1,902,185 | |
| | 154,501 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 154,520 | |
| | 7,675,000 | | | Series 2005-C6-AM | | | 5.23% | # | | | 12/15/2040 | | | | 7,838,911 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 6,500,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 6,853,681 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, (Cont.) | |
| $ | 51,221,320 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 53,783,359 | |
| | 5,164,000 | | | Series 2007-C2-AM | | | 5.57% | # | | | 01/15/2049 | | | | 5,541,576 | |
| | 28,850,000 | | | Series 2007-C4-A1AM | | | 5.90% | # | | | 09/15/2039 | | | | 31,270,486 | |
| | 16,900,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 17,843,578 | |
| | 8,800,000 | | | Series 2010-RR1-1B | | | 5.69% | #^ | | | 04/16/2049 | | | | 9,256,720 | |
| | 5,150,000 | | | Series 2010-RR2-3B | | | 5.57% | #^ | | | 12/15/2043 | | | | 5,457,097 | |
| | 10,000,000 | | | Series 2010-RR5-2B | | | 5.34% | #^ | | | 12/16/2043 | | | | 10,596,305 | |
| | 150,822,000 | | | Series 2014-USA-X1 | | | 0.55% | #^ I/O | | | 09/15/2037 | | | | 7,319,852 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 4,606,000 | | | Series 2015-C1-C | | | 4.45% | # | | | 04/15/2050 | | | | 4,624,424 | |
| |
| | | | DBRR Trust, | |
| | 14,554,963 | | | Series 2011-C32-A3B | | | 5.71% | #^ | | | 06/17/2049 | | | | 15,421,231 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 183,565,478 | | | Series 2011-LC2A-XA | | | 1.56% | #^ I/O | | | 07/10/2044 | | | | 8,179,953 | |
| |
| | | | Del Coronado Trust, | |
| | 8,000,000 | | | Series 2013-HDC-D | | | 2.12% | #^ | | | 03/15/2026 | | | | 8,005,884 | |
| | 9,550,000 | | | Series 2013-HDC-E | | | 2.82% | #^ | | | 03/15/2026 | | | | 9,559,999 | |
| | 5,500,000 | | | Series 2013-HDMZ-M | | | 5.17% | #^ | | | 03/15/2018 | | | | 5,541,781 | |
| |
| | | | Extended Stay America Trust, | |
| | 3,500,000 | | | Series 2013-ESFL-DFL | | | 3.31% | #^ | | | 12/05/2031 | | | | 3,504,401 | |
| | 8,000,000 | | | Series 2013-ESH5-A15 | | | 1.28% | ^ | | | 12/05/2031 | | | | 7,960,807 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 5,293,539 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 5,292,030 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 20,540,000 | | | Series 2005-GG5-AM | | | 5.28% | # | | | 04/10/2037 | | | | 20,857,148 | |
| | 15,265,000 | | | Series 2006-GG7-AJ | | | 6.01% | # | | | 07/10/2038 | | | | 15,641,427 | |
| | 12,765,000 | | | Series 2006-GG7-AM | | | 6.01% | # | | | 07/10/2038 | | | | 13,373,099 | |
| | 23,350,000 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 24,792,563 | |
| | 8,350,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 9,049,350 | |
| | 53,944,500 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 56,956,114 | |
| | 21,460,000 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 22,706,365 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 12,100,000 | | | Series 2006-GG6-AJ | | | 5.71% | # | | | 04/10/2038 | | | | 12,376,146 | |
| | 9,055,000 | | | Series 2006-GG6-AM | | | 5.62% | # | | | 04/10/2038 | | | | 9,315,530 | |
| | 143,274,680 | | | Series 2006-GG6-XC | | | 0.13% | #^ I/O | | | 04/10/2038 | | | | 58,599 | |
| | 76,033,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 77,849,999 | |
| | 25,000,000 | | | Series 2006-GG8-AM | | | 5.59% | | | | 11/10/2039 | | | | 26,436,350 | |
| | 30,833,867 | | | Series 2011-GC3-X | | | 1.12% | #^ I/O | | | 03/10/2044 | | | | 832,437 | |
| | 112,752,533 | | | Series 2012-GC6-XA | | | 2.30% | #^ I/O | | | 01/10/2045 | | | | 11,640,572 | |
| | 1,610,468 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 1,615,003 | |
| | 60,850,000 | | | Series 2014-GC26-A5 | | | 3.63% | | | | 11/10/2047 | | | | 65,103,050 | |
| | 35,000,000 | | | Series 2015-GC28-A5 | | | 3.40% | | | | 02/10/2048 | | | | 36,701,945 | |
| | 293,149,444 | | | Series 2015-GC28-XA | | | 1.32% | # I/O | | | 02/10/2048 | | | | 22,966,500 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 5,958,079 | | | Series 2004-CBX-X1 | | | 0.69% | #^ I/O | | | 01/12/2037 | | | | 31,822 | |
| | 295,887 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 296,212 | |
| | 4,260,000 | | | Series 2004-LN2-D | | | 5.31% | # | | | 07/15/2041 | | | | 4,008,579 | |
| | 20,580,000 | | | Series 2005-CIBC12-AJ | | | 4.99% | # | | | 09/12/2037 | | | | 20,667,424 | |
| | 79,854,058 | | | Series 2005-LDP4-X1 | | | 0.41% | #^ I/O | | | 10/15/2042 | | | | 52,544 | |
| | 9,704,000 | | | Series 2006-LDP7-AM | | | 6.06% | # | | | 04/15/2045 | | | | 10,206,250 | |
| | 126,887,613 | | | Series 2006-LDP8-X | | | 0.72% | # I/O | | | 05/15/2045 | | | | 754,854 | |
| | 39,394,685 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 41,006,184 | |
| | 4,681,573 | | | Series 2007-C1-ASB | | | 5.86% | | | | 02/15/2051 | | | | 4,898,377 | |
| | 24,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 25,568,640 | |
| | 164,104,846 | | | Series 2007-CB18-X | | | 0.44% | # I/O | | | 06/12/2047 | | | | 758,000 | |
| | 22,680,000 | | | Series 2007-CB20-AM | | | 6.08% | # | | | 02/12/2051 | | | | 24,883,657 | |
| | 1,091,645,999 | | | Series 2007-CB20-X1 | | | 0.45% | #^ I/O | | | 02/12/2051 | | | | 7,772,520 | |
| | 22,100,000 | | | Series 2007-CIBC19-AM | | | 5.89% | # | | | 02/12/2049 | | | | 23,399,469 | |
| | 9,144,000 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 9,641,059 | |
| | 43,195,330 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 46,994,402 | |
| | 11,336,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 12,008,673 | |
| | 2,564,470 | | | Series 2011-CCHP-B | | | 3.50% | #^ | | | 07/15/2028 | | | | 2,577,155 | |
| | 1,835,267 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2044 | | | | 1,856,985 | |
| | 220,363,350 | | | Series 2012-C6-XA | | | 1.92% | # I/O | | | 05/15/2045 | | | | 19,040,275 | |
| | 467,691,873 | | | Series 2012-C8-XA | | | 2.12% | # I/O | | | 10/15/2045 | | | | 46,207,022 | |
| | 162,565,571 | | | Series 2012-CBX-XA | | | 1.75% | # I/O | | | 06/15/2045 | | | | 12,299,630 | |
| | 5,425,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 5,660,733 | |
| | 6,725,000 | | | Series 2014-INN-C | | | 1.88% | #^ | | | 06/15/2029 | | | | 6,698,271 | |
| | 7,250,000 | | | Series 2014-INN-D | | | 2.53% | #^ | | | 06/15/2029 | | | | 7,213,297 | |
| | 24,200,000 | | | Series 2014-PHH-D | | | 2.57% | #^ | | | 08/15/2027 | | | | 24,305,693 | |
| | | | | | |
| 18 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, (Cont.) | |
| $ | 14,406,000 | | | Series 2014-PHH-E | | | 3.47% | #^ | | | 08/15/2027 | | | | 14,491,975 | |
| | 7,595,000 | | | Series 2015-CSMO-C | | | 2.43% | #^ | | | 01/15/2032 | | | | 7,606,891 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 108,436,012 | | | Series 2014-C18-XA | | | 1.15% | # I/O | | | 02/15/2047 | | | | 7,039,666 | |
| | 3,396,000 | | | Series 2014-C21-C | | | 4.66% | # | | | 08/15/2047 | | | | 3,649,977 | |
| | 186,459,410 | | | Series 2014-C25-XA | | | 1.02% | # I/O | | | 11/15/2047 | | | | 12,971,795 | |
| | 32,031,000 | | | Series 2014-C26-A4 | | | 3.49% | | | | 01/15/2048 | | | | 33,920,172 | |
| | 6,499,000 | | | Series 2014-C26-C | | | 4.43% | # | | | 01/15/2048 | | | | 6,813,220 | |
| | 258,544,623 | | | Series 2014-C26-XA | | | 1.19% | # I/O | | | 01/15/2048 | | | | 19,543,776 | |
| | 14,055,000 | | | Series 2015-C27-C | | | 4.35% | # | | | 02/15/2048 | | | | 14,439,559 | |
| | 34,419,946 | | | Series 2015-C27-XA | | | 1.40% | # I/O | | | 02/15/2048 | | | | 3,120,340 | |
| | 10,425,000 | | | Series 2015-C27-D | | | 3.85% | #^ | | | 02/15/2048 | | | | 9,236,305 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 7,550,000 | | | Series 2007-C3-AMFL | | | 5.90% | #^ | | | 07/15/2044 | | | | 8,235,906 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 20,600,000 | | | Series 2005-C7-AJ | | | 5.32% | # | | | 11/15/2040 | | | | 21,073,687 | |
| | 154,810,761 | | | Series 2006-C7-XCL | | | 0.63% | #^ I/O | | | 11/15/2038 | | | | 1,401,347 | |
| | 51,550,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 53,857,198 | |
| | 38,308,952 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 40,949,148 | |
| | 48,739,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 51,603,001 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 145,574,428 | | | Series 1998-C1-IO | | | 0.64% | # I/O | | | 11/15/2026 | | | | 2,372,135 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 9,912,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 10,074,775 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 6,970,000 | | | Series 2006-4-AM | | | 5.20% | | | | 12/12/2049 | | | | 7,390,131 | |
| | 42,850,000 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 45,314,732 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 1,175,000 | | | Series 2014-C14-D | | | 4.83% | #^ | | | 02/15/2047 | | | | 1,188,230 | |
| | 11,700,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 12,250,947 | |
| | 45,025,000 | | | Series 2014-C19-A4 | | | 3.53% | | | | 12/15/2047 | | | | 47,799,283 | |
| | 37,950,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 37,889,830 | |
| | 56,050,000 | | | Series 2015-C20-A4 | | | 3.25% | | | | 02/15/2048 | | | | 58,196,491 | |
| | 20,457,500 | | | Series 2015-C20-B | | | 4.16% | | | | 02/15/2048 | | | | 21,379,601 | |
| | 6,457,500 | | | Series 2015-C20-C | | | 4.46% | # | | | 02/15/2048 | | | | 6,690,987 | |
| | 251,437,374 | | | Series 2015-C20-XA | | | 1.43% | # I/O | | | 02/15/2048 | | | | 24,767,461 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 309,756,804 | | | Series 2006-HQ10-X1 | | | 0.70% | #^ I/O | | | 11/12/2041 | | | | 2,015,278 | |
| | 10,650,000 | | | Series 2006-HQ8-AJ | | | 5.68% | # | | | 03/12/2044 | | | | 10,898,252 | |
| | 45,421,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 47,498,466 | |
| | 1,658,459 | | | Series 2007-HQ12-A2FL | | | 0.43% | # | | | 04/12/2049 | | | | 1,658,046 | |
| | 3,316,917 | | | Series 2007-HQ12-A2FX | | | 5.86% | # | | | 04/12/2049 | | | | 3,313,526 | |
| | 4,372,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 4,662,301 | |
| | 2,575,000 | | | Series 2014-CPT-E | | | 3.56% | #^ | | | 07/13/2029 | | | | 2,604,546 | |
| | 2,325,000 | | | Series 2014-CPT-F | | | 3.56% | #^ | | | 07/13/2029 | | | | 2,282,912 | |
| | 12,400,000 | | | Series 2014-MP-D | | | 3.69% | #^ | | | 08/11/2029 | | | | 12,809,070 | |
| | 11,000,000 | | | Series 2014-MP-E | | | 3.69% | #^ | | | 08/11/2029 | | | | 11,178,431 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 12,529,000 | | | Series 2009-GG10-A4B | | | 5.99% | #^ | | | 08/12/2045 | | | | 13,454,993 | |
| | 28,800,000 | | | Series 2010-GG10-A4B | | | 5.99% | #^ | | | 08/15/2045 | | | | 30,927,946 | |
| | 48,500,000 | | | Series 2013-AJ-AJA | | | 0.50% | ^ | | | 12/17/2049 | | | | 44,741,250 | |
| |
| | | | Multi Security Asset Trust, | |
| | 204,200 | | | Series 2005-RR4A-A3 | | | 5.00% | ^ | | | 11/28/2035 | | | | 204,037 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 16,746,000 | | | Series 2007-C4-AJ | | | 5.53% | # | | | 08/15/2039 | | | | 16,958,959 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 105,220,085 | | | Series 2012-C3-XA | | | 2.28% | #^ I/O | | | 08/10/2049 | | | | 11,291,430 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 5,840,000 | | | Series 2005-C22-AM | | | 5.32% | # | | | 12/15/2044 | | | | 5,948,221 | |
| | 46,710,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 47,988,873 | |
| | 19,500,000 | | | Series 2006-C28-AM | | | 5.60% | # | | | 10/15/2048 | | | | 20,675,285 | |
| | 10,000,000 | | | Series 2007-30-AMFL | | | 0.38% | #^ | | | 12/15/2043 | | | | 9,650,535 | |
| | 31,858,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 32,654,832 | |
| | 9,680,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 10,275,601 | |
| | 5,000,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 5,343,748 | |
| | 8,565,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 9,204,698 | |
| | 20,516,700 | | | Series 2007-C33-AJ | | | 5.96% | # | | | 02/15/2051 | | | | 21,673,585 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, (Cont.) | |
| $ | 9,250,000 | | | Series 2007-C33-AM | | | 5.96% | # | | | 02/15/2051 | | | | 10,034,113 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 38,265,000 | | | Series 2014-LC18-A5 | | | 3.41% | | | | 12/15/2047 | | | | 40,201,917 | |
| | 4,346,710 | | | Series 2014-LC18-B | | | 3.96% | | | | 12/15/2047 | | | | 4,574,065 | |
| | 30,000,000 | | | Series 2015-C26-A4 | | | 3.17% | | | | 02/15/2048 | | | | 30,906,465 | |
| | 11,460,000 | | | Series 2015-C26-C | | | 4.07% | | | | 02/15/2048 | | | | 11,533,911 | |
| | 465,241,295 | | | Series 2015-C26-XA | | | 1.43% | # I/O | | | 02/15/2048 | | | | 45,401,968 | |
| | 28,000,000 | | | Series 2015-C27-A5 | | | 3.45% | | | | 02/15/2048 | | | | 29,500,870 | |
| | 268,695,345 | | | Series 2015-C27-XA | | | 1.15% | # I/O | | | 02/15/2048 | | | | 19,939,479 | |
| | 270,886,760 | | | Series 2015-LC20-XA | | | 1.56% | # I/O | | | 04/15/2050 | | | | 26,576,808 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 85,156,144 | | | Series 2011-C4-XA | | | 0.70% | #^ I/O | | | 06/15/2044 | | | | 1,874,202 | |
| | 114,403,136 | | | Series 2012-C6-XA | | | 2.40% | #^ I/O | | | 04/15/2045 | | | | 11,756,638 | |
| | 134,332,921 | | | Series 2012-C8-XA | | | 2.19% | #^ I/O | | | 08/15/2045 | | | | 13,389,231 | |
| | 52,889,153 | | | Series 2012-C9-XA | | | 2.20% | #^ I/O | | | 11/15/2045 | | | | 5,744,899 | |
| | 100,997,864 | | | Series 2014-C19-XA | | | 1.31% | # I/O | | | 03/15/2047 | | | | 7,700,431 | |
| | 65,767,865 | | | Series 2014-C24-XA | | | 0.99% | # I/O | | | 11/15/2047 | | | | 4,513,649 | |
| | 55,000,000 | | | Series 2014-C25-A5 | | | 3.63% | | | | 11/15/2047 | | | | 58,920,263 | |
| | 8,000,000 | | | Series 2014-C25-C | | | 4.33% | # | | | 11/15/2047 | | | | 8,410,872 | |
| | 205,289,248 | | | Series 2014-C25-XA | | | 0.96% | # I/O | | | 11/15/2047 | | | | 13,763,618 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $3,425,093,040) | | | | 3,420,793,330 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 23.7% |
|
| |
| | | | Acacia Ltd., | |
| | 40,682,303 | | | Series 2004-5A-A | | | 0.64% | #^ | | | 11/08/2039 | | | | 37,203,966 | |
| |
| | | | Accredited Mortgage Loan Trust, | |
| | 10,000,000 | | | Series 2005-4-MI | | | 0.57% | # | | | 12/25/2035 | | | | 7,957,100 | |
| | 103,157,000 | | | Series 2006-2-A4 | | | 0.43% | # | | | 09/25/2036 | | | | 86,845,918 | |
| |
| | | | ACE Securities Corporation, | |
| | 10,531,440 | | | Series 2006-HE1-A2C | | | 0.36% | # | | | 02/25/2036 | | | | 10,422,387 | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 10,287,152 | | | Series 2005-10-3A31 | | | 4.86% | # | | | 01/25/2036 | | | | 9,167,714 | |
| | 6,200,000 | | | Series 2005-2-6M2 | | | 1.15% | # | | | 06/25/2035 | | | | 5,513,077 | |
| | 6,559,639 | | | Series 2005-7-3A1 | | | 3.05% | # | | | 10/25/2035 | | | | 5,830,509 | |
| | 35,444,574 | | | Series 2006-1-2A1 | | | 3.08% | # | | | 03/25/2036 | | | | 26,536,360 | |
| | 30,581,789 | | | Series 2006-2-3A1 | | | 2.91% | # | | | 05/25/2036 | | | | 27,391,160 | |
| | 27,152,465 | | | Series 2007-1-3A1 | | | 3.14% | # | | | 03/25/2037 | | | | 22,865,607 | |
| | 4,267,343 | | | Series 2007-3-1A1 | | | 3.70% | #^ | | | 11/25/2037 | | | | 3,573,008 | |
| |
| | | | Aegis Asset Backed Securities Trust, | |
| | 443,977 | | | Series 2003-2-M2 | | | 2.72% | # | | | 11/25/2033 | | | | 426,743 | |
| | 2,208,592 | | | Series 2004-1-M2 | | | 2.20% | # | | | 04/25/2034 | | | | 1,961,936 | |
| | 617,792 | | | Series 2004-2-M2 | | | 2.12% | # | | | 06/25/2034 | | | | 470,966 | |
| | 21,900,000 | | | Series 2004-6-M2 | | | 1.17% | # | | | 03/25/2035 | | | | 20,328,522 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 12,000,000 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 12,277,794 | |
| | 12,000,000 | | | Series 2010-1-A4 | | | 5.65% | #^ | | | 03/25/2058 | | | | 12,640,134 | |
| |
| | | | American Home Mortgage Investment Trust, | |
| | 4,036,509 | | | Series 2005-1-7A2 | | | 2.38% | # | | | 06/25/2045 | | | | 3,976,726 | |
| | 12,133,401 | | | Series 2005-4-3A1 | | | 0.47% | # | | | 11/25/2045 | | | | 9,785,164 | |
| | 41,722,122 | | | Series 2005-4-5A | | | 2.13% | # | | | 11/25/2045 | | | | 33,669,711 | |
| | 2,579,260 | | | Series 2006-2-3A4 | | | 6.60% | # | | | 06/25/2036 | | | | 1,377,596 | |
| | 9,749,519 | | | Series 2007-A-13A1 | | | 6.10% | #^ | | | 01/25/2037 | | | | 5,671,003 | |
| |
| | | | Ameriquest Mortgage Securities Inc., | |
| | 16,500,000 | | | Series 2004-R8-M2 | | | 1.19% | # | | | 09/25/2034 | | | | 14,495,629 | |
| |
| | | | Amortizing Residential Collateral Trust, | |
| | 14,232,215 | | | Series 2002-BC7-M1 | | | 1.37% | # | | | 10/25/2032 | | | | 10,783,464 | |
| |
| | | | Argent Securities Inc., | |
| | 339,290 | | | Series 2004-W6-M1 | | | 1.00% | # | | | 05/25/2034 | | | | 325,944 | |
| |
| | | | Asset Backed Securities Corporation Home Equity Loan Trust, | |
| | 5,413,525 | | | Series 2003-HE6-M1 | | | 1.15% | # | | | 11/25/2033 | | | | 5,217,203 | |
| | 925,990 | | | Series 2004-HE3-M2 | | | 1.85% | # | | | 06/25/2034 | | | | 792,486 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 5,134,111 | | | Series 2005-10-4A1 | | | 5.75% | | | | 11/25/2035 | | | | 4,863,123 | |
| | 4,825,135 | | | Series 2005-5-2CB1 | | | 6.00% | | | | 06/25/2035 | | | | 4,603,734 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 19 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Banc of America Alternative Loan Trust, (Cont.) | |
| $ | 8,809,824 | | | Series 2005-6-2CB2 | | | 6.00% | | | | 07/25/2035 | | | | 8,326,728 | |
| | 4,523,042 | | | Series 2005-6-4CB1 | | | 6.50% | | | | 07/25/2035 | | | | 4,095,818 | |
| | 2,903,540 | | | Series 2005-8-2CB1 | | | 6.00% | | | | 09/25/2035 | | | | 2,701,622 | |
| | 2,654,945 | | | Series 2006-5-CB14 | | | 6.00% | # | | | 06/25/2046 | | | | 2,186,756 | |
| | 5,039,229 | | | Series 2006-6-CB3 | | | 6.00% | | | | 07/25/2046 | | | | 4,191,591 | |
| | 18,235,818 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 12,231,110 | |
| | 7,877,967 | | | Series 2006-8-1A1 | | | 6.33% | # I/F I/O | | | 11/25/2036 | | | | 1,489,255 | |
| | 2,807,661 | | | Series 2006-8-1A2 | | | 0.62% | # | | | 11/25/2036 | | | | 1,893,018 | |
| | 13,453,366 | | | Series 2006-9-1CB1 | | | 6.00% | | | | 01/25/2037 | | | | 10,565,816 | |
| | 2,171,198 | | | Series 2007-2-2A1 | | | 6.00% | | | | 06/25/2037 | | | | 1,634,454 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 16,796,396 | | | Series 2006-2-3A1 | | | 6.00% | | | | 03/25/2036 | | | | 16,815,325 | |
| | 445,688 | | | Series 2006-2-4A1 | | | 22.28% | # I/F | | | 03/25/2036 | | | | 628,319 | |
| | 2,175,822 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 2,213,276 | |
| | 13,823,752 | | | Series 2006-3-1A1 | | | 6.00% | | | | 03/25/2036 | | | | 13,110,460 | |
| | 2,432,036 | | | Series 2006-3-6A1 | | | 6.30% | # | | | 03/25/2036 | | | | 2,489,556 | |
| | 13,260,803 | | | Series 2006-6-1A7 | | | 6.25% | | | | 08/25/2036 | | | | 13,143,153 | |
| | 3,078,351 | | | Series 2006-7-T2A5 | | | 6.04% | # | | | 10/25/2036 | | | | 2,688,471 | |
| | 14,509,192 | | | Series 2006-7-T2A8 | | | 5.91% | # | | | 10/25/2036 | | | | 12,582,037 | |
| | 3,019,771 | | | Series 2006-8T2-A8 | | | 6.10% | # | | | 10/25/2036 | | | | 2,483,387 | |
| | 1,589,047 | | | Series 2006-B-7A1 | | | 5.67% | # | | | 03/20/2036 | | | | 1,452,918 | |
| | 15,931,443 | | | Series 2006-D-6A1 | | | 5.05% | # | | | 05/20/2036 | | | | 13,037,226 | |
| | 1,462,825 | | | Series 2006-G-2A1 | | | 0.40% | # | | | 07/20/2036 | | | | 1,371,585 | |
| | 795,258 | | | Series 2006-H-3A1 | | | 2.79% | # | | | 09/20/2046 | | | | 643,853 | |
| | 2,094,979 | | | Series 2007-1-TA10 | | | 5.84% | # | | | 01/25/2037 | | | | 1,693,273 | |
| | 2,792,997 | | | Series 2007-3-TA1B | | | 5.83% | # | | | 04/25/2037 | | | | 2,463,094 | |
| | 4,146,205 | | | Series 2007-5-1A1 | | | 5.50% | | | | 07/25/2037 | | | | 3,517,097 | |
| | 5,243,003 | | | Series 2009-R14-3A | | | 15.70% | #^ I/F | | | 06/26/2035 | | | | 6,561,677 | |
| | 6,107,936 | | | Series 2009-R15A-4A2 | | | 5.75% | ^ | | | 12/26/2036 | | | | 5,736,705 | |
| | 2,732,680 | | | Series 2010-R1-3A | | | 14.02% | #^ I/F | | | 07/26/2036 | | | | 2,868,369 | |
| | 71,228,644 | | | Series 2012-R4-A | | | 0.43% | #^ | | | 03/04/2039 | | | | 70,249,646 | |
| | 26,334,753 | | | Series 2012-R5-A | | | 0.43% | #^ | | | 10/03/2039 | | | | 26,033,412 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 1,908,992 | | | Series 2004-K-4A1 | | | 2.48% | # | | | 12/25/2034 | | | | 1,870,585 | |
| | 7,735,539 | | | Series 2006-1-A9 | | | 6.00% | | | | 05/25/2036 | | | | 7,036,904 | |
| | 1,022,258 | | | Series 2007-1-2A5 | | | 5.75% | | | | 01/25/2037 | | | | 974,152 | |
| |
| | | | BCAP LLC Trust, | |
| | 5,296,326 | | | Series 2007-AA2-2A7 | | | 6.00% | | | | 04/25/2037 | | | | 4,524,746 | |
| | 5,733,995 | | | Series 2007-AA2-2A8 | | | 5.75% | | | | 04/25/2037 | | | | 4,827,078 | |
| | 18,000,000 | | | Series 2008-RR3-A1B | | | 6.65% | # | | | 10/25/2036 | | | | 13,748,137 | |
| | 7,320,631 | | | Series 2009-RR13-18A2 | | | 5.75% | #^ | | | 07/26/2037 | | | | 6,880,963 | |
| | 24,092,566 | | | Series 2009-RR1-3A3 | | | 6.00% | #^ | | | 08/26/2037 | | | | 23,846,229 | |
| | 6,620,564 | | | Series 2010-RR10-5A1 | | | 7.28% | #^ | | | 04/27/2037 | | | | 7,318,424 | |
| | 11,596,242 | | | Series 2010-RR12-3A15 | | | 6.70% | #^ | | | 08/26/2037 | | | | 12,297,309 | |
| | 3,350,000 | | | Series 2010-RR5-2A3 | | | 6.10% | #^ | | | 04/26/2037 | | | | 3,345,362 | |
| | 3,632,577 | | | Series 2011-RR12-2A5 | | | 2.19% | #^ | | | 12/26/2036 | | | | 3,630,710 | |
| | 7,573,195 | | | Series 2012-RR1-3A3 | | | 3.50% | #^ | | | 10/26/2035 | | | | 7,641,972 | |
| |
| | | | Bear Stearns Adjustable Rate Mortgage Trust, | |
| | 14,114,966 | | | Series 2005-12-13A1 | | | 5.42% | # | | | 02/25/2036 | | | | 13,246,373 | |
| | 14,282,473 | | | Series 2006-4-4A1 | | | 5.12% | # | | | 10/25/2046 | | | | 12,852,869 | |
| | 13,423,654 | | | Series 2007-1-2A1 | | | 2.73% | # | | | 02/25/2047 | | | | 11,307,334 | |
| |
| | | | Bear Stearns Alt-A Trust, | |
| | 5,342,368 | | | Series 2004-11-2A3 | | | 2.43% | # | | | 11/25/2034 | | | | 5,250,843 | |
| | 20,474,914 | | | Series 2006-6-2A1 | | | 4.27% | # | | | 11/25/2036 | | | | 15,769,922 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 12,246,006 | | | Series 2004-AC4-A2 | | | 6.00% | # | | | 08/25/2034 | | | | 12,671,475 | |
| | 30,730,517 | | | Series 2005-AC2-1A | | | 5.75% | # | | | 04/25/2035 | | | | 31,469,770 | |
| | 10,047,798 | | | Series 2005-AC2-2A1 | | | 5.75% | # | | | 04/25/2035 | | | | 10,407,755 | |
| | 15,104,168 | | | Series 2005-AC7-A4 | | | 5.50% | # | | | 10/25/2035 | | | | 15,016,595 | |
| | 19,476,063 | | | Series 2006-AC1-1A1 | | | 5.75% | # | | | 02/25/2036 | | | | 16,300,121 | |
| | 2,320,337 | | | Series 2007-SD1-1A2A | | | 6.00% | | | | 10/25/2036 | | | | 1,959,837 | |
| | 1,589,316 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 1,322,976 | |
| | 6,202,597 | | | Series 2007-SD1-23A1 | | | 4.55% | # | | | 10/25/2036 | | | | 5,038,785 | |
| |
| | | | Belle Haven Ltd., | |
| | 1,124,746,129 | | | Series 2006-1A-A1 | | | 0.51% | #^ | | | 07/05/2046 | | | | 78,732,229 | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 16,500,000 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 16,504,950 | |
| |
| | | | Centex Home Equity, | |
| | 2,750,000 | | | Series 2004-A-AF5 | | | 5.43% | # | | | 01/25/2034 | | | | 2,810,446 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Chase Funding Mortgage Loan Asset-Backed Certificates, | |
| $ | 2,098,256 | | | Series 2003-4-2M1 | | | 1.07% | # | | | 03/25/2033 | | | | 2,005,840 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 14,588,482 | | | Series 2005-A1-2A4 | | | 2.42% | # | | | 12/25/2035 | | | | 13,463,520 | |
| | 20,493,635 | | | Series 2006-S2-1A9 | | | 6.25% | | | | 10/25/2036 | | | | 18,207,714 | |
| | 10,767,096 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 11/25/2036 | | | | 9,482,495 | |
| | 29,718,217 | | | Series 2006-S4-A8 | | | 6.00% | | | | 12/25/2036 | | | | 25,773,421 | |
| | 14,074,131 | | | Series 2007-A2-6A4 | | | 2.48% | # | | | 07/25/2037 | | | | 12,481,362 | |
| | 5,638,186 | | | Series 2007-S3-1A5 | | | 6.00% | | | | 05/25/2037 | | | | 4,814,594 | |
| | 2,843,420 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 2,693,606 | |
| | 5,982,018 | | | Series 2007-S5-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 5,250,471 | |
| |
| | | | ChaseFlex Trust, | |
| | 389,616 | | | Series 2006-1-A2A | | | 4.92% | # | | | 06/25/2036 | | | | 391,334 | |
| | 3,594,408 | | | Series 2006-1-A5 | | | 4.92% | # | | | 06/25/2036 | | | | 3,575,322 | |
| | 8,127,123 | | | Series 2006-2-A2B | | | 0.37% | # | | | 09/25/2036 | | | | 5,858,899 | |
| | 7,017,812 | | | Series 2007-1-1A1 | | | 6.50% | | | | 02/25/2037 | | | | 5,372,528 | |
| | 16,542,268 | | | Series 2007-M1-2F4 | | | 3.47% | # | | | 08/25/2037 | | | | 13,445,307 | |
| | 17,205,429 | | | Series 2007-M1-2F5 | | | 3.47% | # | | | 08/25/2037 | | | | 13,982,887 | |
| |
| | | | Citicorp Mortgage Securities Inc., | |
| | 14,956,365 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 15,314,727 | |
| | 3,268,091 | | | Series 2006-7-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 3,213,391 | |
| |
| | | | Citicorp Residential Mortgage Securities Inc., | |
| | 6,594,000 | | | Series 2006-2-A5 | | | 6.04% | # | | | 09/25/2036 | | | | 6,677,269 | |
| | 11,272,579 | | | Series 2007-1-A4 | | | 5.89% | # | | | 03/25/2037 | | | | 11,818,770 | |
| |
| | | | Citigroup Mortgage Loan Trust Inc., | |
| | 4,327,469 | | | Series 2005-5-2A2 | | | 5.75% | | | | 08/25/2035 | | | | 3,784,653 | |
| | 2,157,527 | | | Series 2005-9-21A1 | | | 5.50% | | | | 11/25/2035 | | | | 1,917,820 | |
| | 6,791,436 | | | Series 2006-4-2A1A | | | 6.00% | | | | 12/25/2035 | | | | 6,321,822 | |
| | 5,849,446 | | | Series 2006-FX1-A6 | | | 5.85% | # | | | 10/25/2036 | | | | 5,045,024 | |
| | 2,923,314 | | | Series 2006-WF1-A2D | | | 5.44% | # | | | 03/25/2036 | | | | 2,132,777 | |
| | 17,300,044 | | | Series 2006-WF2-A2D | | | 5.61% | # | | | 05/25/2036 | | | | 11,321,322 | |
| | 7,580,000 | | | Series 2006-WFH3-M1 | | | 0.46% | # | | | 10/25/2036 | | | | 6,585,845 | |
| | 12,047,795 | | | Series 2007-10-1A1A | | | 5.69% | # | | | 04/25/2037 | | | | 12,487,684 | |
| | 1,390,977 | | | Series 2007-12-2A1 | | | 6.50% | ^ | | | 10/25/2036 | | | | 1,109,062 | |
| | 1,190,688 | | | Series 2007-2-2A | | | 6.00% | | | | 11/25/2036 | | | | 1,122,750 | |
| | 40,402,487 | | | Series 2007-9-1A1 | | | 5.75% | ^ | | | 04/25/2047 | | | | 34,658,413 | |
| | 1,991,351 | | | Series 2007-9-2A2 | | | 6.50% | ^ | | | 05/25/2037 | | | | 1,637,581 | |
| | 7,280,609 | | | Series 2007-OPX1-A3A | | | 5.97% | # | | | 01/25/2037 | | | | 5,186,182 | |
| | 16,049,082 | | | Series 2007-OXP1-A5A | | | 5.76% | # | | | 01/25/2037 | | | | 11,435,003 | |
| | 58,420,407 | | | Series 2007-WFH3-A2 | | | 0.33% | # | | | 06/25/2037 | | | | 55,527,429 | |
| | 20,000,000 | | | Series 2008-AR4-1A1B | | | 2.72% | #^ | | | 11/25/2038 | | | | 18,202,328 | |
| | 1,328,464 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 1,349,040 | |
| | 1,480,124 | | | Series 2010-2-5A1 | | | 5.50% | #^ | | | 12/25/2035 | | | | 1,526,262 | |
| | 186,863,403 | | | Series 2010-8-5A4 | | | 7.58% | #^ | | | 11/25/2036 | | | | 165,337,486 | |
| | 10,098,165 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 10,297,223 | |
| | 149,019,592 | | | Series 2010-8-6A4 | | | 7.37% | #^ | | | 12/25/2036 | | | | 128,185,044 | |
| | 36,386,112 | | | Series 2010-8-76I2 | | | 1.00% | ^ I/O | | | 06/25/2037 | | | | 386,306 | |
| | 132,616,203 | | | Series 2010-8-7A4 | | | 6.86% | #^ | | | 06/25/2037 | | | | 118,656,663 | |
| | 2,507,425 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 2,520,081 | |
| | 4,894,331 | | | Series 2011-12-3A1 | | | 2.55% | #^ | | | 09/25/2047 | | | | 4,889,583 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 8,302,379 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 7,325,322 | |
| | 7,431,342 | | | Series 2006-A3-1A13 | | | 6.00% | | | | 07/25/2036 | | | | 6,558,174 | |
| | 5,392,138 | | | Series 2006-A4-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 4,876,132 | |
| | 2,527,921 | | | Series 2006-A5-2A1 | | | 5.50% | | | | 10/25/2021 | | | | 2,583,480 | |
| | 6,601,404 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 5,478,987 | |
| | 9,044,555 | | | Series 2007-A1-1A5 | | | 6.00% | | | | 01/25/2037 | | | | 7,786,512 | |
| | 4,409,819 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 3,796,440 | |
| | 11,283,089 | | | Series 2007-A1-1A9 | | | 5.23% | # I/F I/O | | | 01/25/2037 | | | | 1,740,450 | |
| | 9,816,618 | | | Series 2007-A3-1A1 | | | 6.00% | # | | | 03/25/2037 | | | | 8,812,692 | |
| | 22,591,182 | | | Series 2007-A3-1A3 | | | 5.23% | # I/F I/O | | | 03/25/2037 | | | | 3,499,577 | |
| | 8,853,000 | | | Series 2007-A3-1A4 | | | 5.75% | | | | 03/25/2037 | | | | 7,825,733 | |
| | 16,218,159 | | | Series 2007-A4-1A3 | | | 0.50% | # | | | 04/25/2037 | | | | 11,391,473 | |
| | 16,218,159 | | | Series 2007-A4-1A4 | | | 6.50% | # I/F I/O | | | 04/25/2037 | | | | 3,439,069 | |
| | 2,261,967 | | | Series 2007-A5-1A11 | | | 6.00% | | | | 05/25/2037 | | | | 1,987,515 | |
| | 29,822,383 | | | Series 2007-A5-1A8 | | | 6.00% | | | | 05/25/2037 | | | | 26,203,944 | |
| | 1,103,780 | | | Series 2007-A8-A1 | | | 6.00% | | | | 10/25/2037 | | | | 1,014,821 | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| | 31,735,892 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 31,878,069 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 43,797,667 | | | Series 2004-36CB-1A1 | | | 6.00% | | | | 02/25/2035 | | | | 41,537,488 | |
| | | | | | |
| 20 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, (Cont.) | |
| $ | 12,280,162 | | | Series 2005-13CB-A3 | | | 5.50% | | | | 05/25/2035 | | | | 12,355,623 | |
| | 9,499,906 | | | Series 2005-20CB-2A1 | | | 0.67% | # | | | 07/25/2035 | | | | 8,009,979 | |
| | 19,395,641 | | | Series 2005-20CB-2A2 | | | 4.83% | # I/F I/O | | | 07/25/2035 | | | | 2,661,043 | |
| | 1,939,933 | | | Series 2005-20CB-4A1 | | | 5.25% | | | | 07/25/2020 | | | | 1,927,502 | |
| | 6,582,155 | | | Series 2005-26CB-A11 | | | 12.74% | # I/F | | | 07/25/2035 | | | | 7,290,372 | |
| | 9,135,606 | | | Series 2005-28CB-1A2 | | | 0.92% | # | | | 08/25/2035 | | | | 7,704,632 | |
| | 3,011,319 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 2,432,661 | |
| | 4,481,519 | | | Series 2005-46CB-A20 | | | 5.50% | | | | 10/25/2035 | | | | 4,374,050 | |
| | 6,202,136 | | | Series 2005-54CB-3A4 | | | 5.50% | | | | 11/25/2035 | | | | 5,672,381 | |
| | 1,207,593 | | | Series 2005-60T1-A7 | | | 34.66% | # I/F | | | 12/25/2035 | | | | 1,848,907 | |
| | 1,682,717 | | | Series 2005-64CB-1A14 | | | 5.50% | | | | 12/25/2035 | | | | 1,610,332 | |
| | 24,422,537 | | | Series 2005-64CB-1A4 | | | 5.50% | | | | 12/25/2035 | | | | 23,371,953 | |
| | 4,149,887 | | | Series 2005-73CB-1A5 | | | 0.97% | # | | | 01/25/2036 | | | | 3,465,703 | |
| | 10,440,256 | | | Series 2005-73CB-1A6 | | | 4.53% | # I/F I/O | | | 01/25/2036 | | | | 1,160,184 | |
| | 93,032,361 | | | Series 2005-77T1-1A1 | | | 6.00% | | | | 02/25/2036 | | | | 84,330,859 | |
| | 2,330,542 | | | Series 2005-79CB-A5 | | | 5.50% | | | | 01/25/2036 | | | | 2,086,464 | |
| | 5,101,993 | | | Series 2005-85CB-2A6 | | | 21.00% | # I/F | | | 02/25/2036 | | | | 6,451,934 | |
| | 3,201,353 | | | Series 2005-86CB-A5 | | | 5.50% | | | | 02/25/2036 | | | | 2,967,936 | |
| | 5,967,022 | | | Series 2005-J10-1A11 | | | 5.50% | | | | 10/25/2035 | | | | 5,653,294 | |
| | 1,357,955 | | | Series 2005-J10-1A13 | | | 0.87% | # | | | 10/25/2035 | | | | 1,111,688 | |
| | 636,126 | | | Series 2005-J10-1A15 | | | 5.50% | | | | 10/25/2035 | | | | 602,680 | |
| | 1,556,509 | | | Series 2005-J11-1A3 | | | 5.50% | | | | 11/25/2035 | | | | 1,454,484 | |
| | 1,845,078 | | | Series 2005-J11-6A1 | | | 6.50% | | | | 09/25/2032 | | | | 1,818,453 | |
| | 2,628,978 | | | Series 2005-J13-2A5 | | | 0.65% | # | | | 11/25/2035 | | | | 2,051,000 | |
| | 5,257,957 | | | Series 2005-J13-2A6 | | | 4.85% | # I/F I/O | | | 11/25/2035 | | | | 609,923 | |
| | 3,891,000 | | | Series 2005-J1-5A3 | | | 5.50% | | | | 02/25/2035 | | | | 3,718,648 | |
| | 3,005,945 | | | Series 2005-J1-7A1 | | | 5.50% | | | | 01/25/2020 | | | | 3,066,358 | |
| | 2,089,643 | | | Series 2005-J2-1A5 | | | 0.67% | # | | | 04/25/2035 | | | | 1,872,573 | |
| | 6,429,671 | | | Series 2005-J2-1A6 | | | 4.83% | # I/F I/O | | | 04/25/2035 | | | | 725,006 | |
| | 6,617,740 | | | Series 2006-12CB-A3 | | | 5.75% | # | | | 05/25/2036 | | | | 5,547,936 | |
| | 3,248,796 | | | Series 2006-15CB-A1 | | | 6.50% | | | | 06/25/2036 | | | | 2,732,877 | |
| | 2,441,168 | | | Series 2006-18CB-A12 | | | 0.77% | # | | | 07/25/2036 | | | | 1,732,497 | |
| | 2,441,168 | | | Series 2006-18CB-A13 | | | 5.33% | # I/F I/O | | | 07/25/2036 | | | | 467,023 | |
| | 12,143,681 | | | Series 2006-19CB-A12 | | | 0.57% | # | | | 08/25/2036 | | | | 8,621,819 | |
| | 16,467,560 | | | Series 2006-19CB-A13 | | | 5.43% | # I/F I/O | | | 08/25/2036 | | | | 3,629,928 | |
| | 2,535,414 | | | Series 2006-19CB-A15 | | | 6.00% | | | | 08/25/2036 | | | | 2,309,159 | |
| | 3,855,606 | | | Series 2006-24CB-A11 | | | 5.75% | | | | 06/25/2036 | | | | 3,506,697 | |
| | 11,284,886 | | | Series 2006-24CB-A14 | | | 6.98% | # I/F I/O | | | 06/25/2036 | | | | 3,354,156 | |
| | 9,049,008 | | | Series 2006-24CB-A22 | | | 6.00% | | | | 06/25/2036 | | | | 8,387,345 | |
| | 9,712,305 | | | Series 2006-24CB-A5 | | | 0.77% | # | | | 06/25/2036 | | | | 6,797,564 | |
| | 3,616,515 | | | Series 2006-26CB-A17 | | | 6.25% | | | | 09/25/2036 | | | | 3,142,863 | |
| | 4,642,105 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 4,104,252 | |
| | 8,407,817 | | | Series 2006-29T1-1A2 | | | 6.25% | | | | 10/25/2036 | | | | 7,788,128 | |
| | 1,176,799 | | | Series 2006-29T1-2A12 | | | 45.02% | # I/F | | | 10/25/2036 | | | | 2,481,116 | |
| | 720,814 | | | Series 2006-29T1-2A23 | | | 32.61% | # I/F | | | 10/25/2036 | | | | 1,240,164 | |
| | 8,099,380 | | | Series 2006-30T1-1A2 | | | 6.25% | | | | 11/25/2036 | | | | 7,685,202 | |
| | 5,790,285 | | | Series 2006-32CB-A1 | | | 0.84% | # | | | 11/25/2036 | | | | 4,176,145 | |
| | 9,658,195 | | | Series 2006-32CB-A2 | | | 5.16% | # I/F I/O | | | 11/25/2036 | | | | 2,072,586 | |
| | 4,255,639 | | | Series 2006-36T2-2A1 | | | 6.25% | | | | 12/25/2036 | | | | 3,439,794 | |
| | 3,286,821 | | | Series 2006-39CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 3,123,791 | |
| | 20,247,542 | | | Series 2006-39CB-2A2 | | | 6.38% | # I/F I/O | | | 01/25/2037 | | | | 6,660,712 | |
| | 6,895,243 | | | Series 2006-39CB-2A4 | | | 0.62% | # | | | 01/25/2037 | | | | 2,295,982 | |
| | 4,904,119 | | | Series 2006-40T1-1A11 | | | 6.00% | | | | 01/25/2037 | | | | 4,457,476 | |
| | 8,345,143 | | | Series 2006-40T1-1A4 | | | 5.28% | # I/F I/O | | | 01/25/2037 | | | | 1,329,974 | |
| | 8,111,448 | | | Series 2006-41CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 7,162,685 | |
| | 8,541,530 | | | Series 2006-41CB-1A9 | | | 6.00% | | | | 01/25/2037 | | | | 7,542,461 | |
| | 6,830,869 | | | Series 2006-45T1-1A4 | | | 0.77% | # | | | 02/25/2037 | | | | 3,975,962 | |
| | 6,830,869 | | | Series 2006-45T1-1A5 | | | 5.23% | # I/F I/O | | | 02/25/2037 | | | | 1,034,829 | |
| | 2,782,424 | | | Series 2006-6CB-1A4 | | | 5.50% | | | | 05/25/2036 | | | | 2,559,702 | |
| | 16,805,072 | | | Series 2006-J1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 15,265,173 | |
| | 8,282,597 | | | Series 2006-J1-A10 | | | 5.50% | | | | 02/25/2036 | | | | 7,523,638 | |
| | 2,850,819 | | | Series 2006-J4-2A2 | | | 6.00% | | | | 07/25/2036 | | | | 2,606,946 | |
| | 1,698,804 | | | Series 2007-11T1-A24 | | | 38.86% | # I/F | | | 05/25/2037 | | | | 3,572,565 | |
| | 27,396,448 | | | Series 2007-15CB-A1 | | | 6.00% | | | | 07/25/2037 | | | | 27,037,582 | |
| | 17,690,834 | | | Series 2007-16CB-2A1 | | | 0.62% | # | | | 08/25/2037 | | | | 11,303,735 | |
| | 5,122,823 | | | Series 2007-16CB-2A2 | | | 53.14% | # I/F | | | 08/25/2037 | | | | 12,773,386 | |
| | 11,344,324 | | | Series 2007-16CB-4A7 | | | 6.00% | | | | 08/25/2037 | | | | 11,067,993 | |
| | 16,078,297 | | | Series 2007-17CB-1A10 | | | 29.10% | # I/F | | | 08/25/2037 | | | | 25,265,676 | |
| | 2,720,410 | | | Series 2007-18CB-2A25 | | | 6.00% | | | | 08/25/2037 | | | | 2,477,456 | |
| | 1,465,927 | | | Series 2007-19-1A10 | | | 37.96% | # I/F | | | 08/25/2037 | | | | 2,995,806 | |
| | 21,545,984 | | | Series 2007-19-1A4 | | | 6.00% | | | | 08/25/2037 | | | | 18,233,030 | |
| | 45,139,064 | | | Series 2007-19-2A1 | | | 6.50% | | | | 08/25/2037 | | | | 32,121,229 | |
| | 8,215,776 | | | Series 2007-21CB-2A2 | | | 27.71% | # I/F | | | 09/25/2037 | | | | 14,603,263 | |
| | 32,514,217 | | | Series 2007-22-2A16 | | | 6.50% | | | | 09/25/2037 | | | | 26,301,791 | |
| | 20,064,822 | | | Series 2007-23CB-A3 | | | 0.67% | # | | | 09/25/2037 | | | | 13,347,822 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, (Cont.) | |
| $ | 28,476,142 | | | Series 2007-23CB-A4 | | | 6.33% | # I/F I/O | | | 09/25/2037 | | | | 8,216,506 | |
| | 17,068,703 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 4,837,578 | |
| | 10,582,221 | | | Series 2007-5CB-1A18 | | | 5.48% | # I/F I/O | | | 04/25/2037 | | | | 2,111,375 | |
| | 10,582,221 | | | Series 2007-5CB-1A23 | | | 0.72% | # | | | 04/25/2037 | | | | 6,941,281 | |
| | 8,407,752 | | | Series 2007-6-A4 | | | 5.75% | | | | 04/25/2047 | | | | 7,556,198 | |
| | 734,713 | | | Series 2007-8CB-A12 | | | 39.16% | # I/F | | | 05/25/2037 | | | | 1,390,671 | |
| | 784,295 | | | Series 2007-8CB-A8 | | | 39.04% | # I/F | | | 05/25/2037 | | | | 1,479,445 | |
| | 1,010,364 | | | Series 2007-9T1-1A4 | | | 0.67% | # | | | 05/25/2037 | | | | 675,308 | |
| | 1,010,364 | | | Series 2007-9T1-1A5 | | | 5.33% | # I/F I/O | | | 05/25/2037 | | | | 185,091 | |
| | 27,675,256 | | | Series 2007-9T1-1A6 | | | 6.00% | | | | 05/25/2037 | | | | 23,487,105 | |
| | 3,034,921 | | | Series 2007-9T1-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 2,529,795 | |
| | 1,532,227 | | | Series 2007-9T1-3A1 | | | 5.50% | | | | 05/25/2022 | | | | 1,426,837 | |
| | 4,210,348 | | | Series 2007-HY5R-2A1A | | | 2.91% | # | | | 03/25/2047 | | | | 4,443,231 | |
| | 10,292,220 | | | Series 2007-HY5R-2A1B | | | 2.91% | # | | | 03/25/2047 | | | | 9,673,369 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 3,994,855 | | | Series 2003-BC6-M1 | | | 1.00% | # | | | 11/25/2033 | | | | 3,899,618 | |
| | 2,595,002 | | | Series 2005-13-AF3 | | | 5.02% | # | | | 04/25/2036 | | | | 2,353,044 | |
| | 1,549,389 | | | Series 2006-2-2A2 | | | 0.36% | # | | | 06/25/2036 | | | | 1,516,748 | |
| |
| | | | Countrywide Home Loans, | |
| | 2,468,313 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 2,507,364 | |
| | 4,908,719 | | | Series 2003-60-4A1 | | | 2.53% | # | | | 02/25/2034 | | | | 4,890,345 | |
| | 5,612,994 | | | Series 2004-R2-1AF1 | | | 0.59% | #^ | | | 11/25/2034 | | | | 5,047,833 | |
| | 5,655,553 | | | Series 2004-R2-1AS | | | 5.82% | #^ I/O | | | 11/25/2034 | | | | 829,650 | |
| | 11,748,035 | | | Series 2005-20-A5 | | | 5.50% | | | | 10/25/2035 | | | | 11,490,577 | |
| | 8,599,886 | | | Series 2005-20-A8 | | | 5.25% | | | | 10/25/2035 | | | | 8,408,474 | |
| | 25,931,135 | | | Series 2005-23-A1 | | | 5.50% | | | | 11/25/2035 | | | | 24,146,269 | |
| | 6,917,613 | | | Series 2005-24-A8 | | | 5.50% | | | | 11/25/2035 | | | | 6,747,069 | |
| | 1,976,463 | | | Series 2005-27-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 1,819,742 | |
| | 3,667,855 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 3,414,831 | |
| | 39,970,578 | | | Series 2005-HYB1-4A1 | | | 2.43% | # | | | 03/25/2035 | | | | 37,127,031 | |
| | 4,299,073 | | | Series 2005-HYB8-1A1 | | | 2.47% | # | | | 12/20/2035 | | | | 3,536,942 | |
| | 7,598,206 | | | Series 2005-J3-2A4 | | | 4.50% | | | | 09/25/2035 | | | | 7,438,792 | |
| | 8,184,836 | | | Series 2005-J4-A5 | | | 5.50% | | | | 11/25/2035 | | | | 8,250,266 | |
| | 1,727,733 | | | Series 2005-R1-1AF1 | | | 0.53% | #^ | | | 03/25/2035 | | | | 1,553,534 | |
| | 1,731,559 | | | Series 2005-R1-1AS | | | 5.84% | #^ I/O | | | 03/25/2035 | | | | 266,025 | |
| | 11,275,687 | | | Series 2006-16-2A1 | | | 6.50% | | | | 11/25/2036 | | | | 10,452,810 | |
| | 12,467,335 | | | Series 2006-1-A2 | | | 6.00% | | | | 03/25/2036 | | | | 11,828,645 | |
| | 5,082,346 | | | Series 2006-20-1A21 | | | 6.00% | | | | 02/25/2037 | | | | 4,754,672 | |
| | 3,705,923 | | | Series 2006-J3-A4 | | | 5.50% | | | | 05/25/2036 | | | | 3,849,772 | |
| | 13,384,055 | | | Series 2007-10-A7 | | | 6.00% | | | | 07/25/2037 | | | | 12,659,831 | |
| | 43,597,109 | | | Series 2007-11-A1 | | | 6.00% | | | | 08/25/2037 | | | | 38,447,985 | |
| | 31,194,150 | | | Series 2007-12-A9 | | | 5.75% | | | | 08/25/2037 | | | | 29,908,062 | |
| | 12,869,332 | | | Series 2007-13-A1 | | | 6.00% | | | | 08/25/2037 | | | | 12,379,995 | |
| | 15,074,007 | | | Series 2007-13-A110 | | | 6.00% | | | | 08/25/2037 | | | | 14,500,841 | |
| | 13,569,608 | | | Series 2007-15-1A1 | | | 6.25% | | | | 09/25/2037 | | | | 13,315,504 | |
| | 1,496,340 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 1,468,320 | |
| | 6,667,592 | | | Series 2007-15-1A29 | | | 6.25% | | | | 09/25/2037 | | | | 6,534,724 | |
| | 14,519,068 | | | Series 2007-17-1A2 | | | 6.00% | | | | 10/25/2037 | | | | 14,326,088 | |
| | 1,672,488 | | | Series 2007-18-1A1 | | | 6.00% | | | | 11/25/2037 | | | | 1,553,862 | |
| | 14,155,377 | | | Series 2007-3-A1 | | | 6.00% | | | | 04/25/2037 | | | | 13,317,931 | |
| | 5,451,736 | | | Series 2007-3-A12 | | | 6.00% | | | | 04/25/2037 | | | | 5,129,206 | |
| | 10,382,527 | | | Series 2007-4-1A39 | | | 6.00% | | | | 05/25/2037 | | | | 9,399,592 | |
| | 5,344,822 | | | Series 2007-5-A2 | | | 5.75% | | | | 05/25/2037 | | | | 5,188,336 | |
| | 19,819,067 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 18,482,053 | |
| | 5,941,079 | | | Series 2007-7-A2 | | | 5.75% | | | | 06/25/2037 | | | | 5,466,084 | |
| | 14,001,305 | | | Series 2007-8-1A4 | | | 6.00% | | | | 01/25/2038 | | | | 12,710,553 | |
| | 7,347,834 | | | Series 2007-8-1A5 | | | 5.44% | | | | 01/25/2038 | | | | 6,444,499 | |
| | 17,060,124 | | | Series 2007-8-1A9 | | | 6.00% | # | | | 01/25/2038 | | | | 15,487,385 | |
| | 3,397,901 | | | Series 2007-9-A11 | | | 5.75% | | | | 07/25/2037 | | | | 3,189,640 | |
| | 36,202,795 | | | Series 2007-J1-2A1 | | | 6.00% | | | | 02/25/2037 | | | | 28,777,349 | |
| | 1,306,441 | | | Series 2007-J3-A1 | | | 0.67% | # | | | 07/25/2037 | | | | 948,695 | |
| | 6,532,207 | | | Series 2007-J3-A2 | | | 5.33% | # I/F I/O | | | 07/25/2037 | | | | 750,146 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 6,081,161 | | | Series 2006-3-A4B | | | 6.11% | # | | | 11/25/2036 | | | | 3,282,246 | |
| | 3,985,494 | | | Series 2006-4-A6A | | | 5.68% | # | | | 12/25/2036 | | | | 2,602,511 | |
| | 13,221,537 | | | Series 2007-1-1A1A | | | 5.90% | # | | | 05/25/2037 | | | | 7,626,249 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 237,368 | | | Series 2004-AR8-2A1 | | | 2.47% | # | | | 09/25/2034 | | | | 236,410 | |
| | 4,445,301 | | | Series 2005-10-5A4 | | | 5.50% | | | | 11/25/2035 | | | | 4,047,295 | |
| | 1,319,485 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 1,201,346 | |
| | 24,839,303 | | | Series 2005-12-5A1 | | | 5.25% | | | | 01/25/2036 | | | | 24,006,913 | |
| | 12,858,330 | | | Series 2005-12-7A1 | | | 7.00% | | | | 01/25/2036 | | | | 6,355,918 | |
| | 11,817,364 | | | Series 2005-8-3A10 | | | 5.50% | | | | 09/25/2035 | | | | 11,604,114 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 21 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, (Cont.) | |
| $ | 6,574,182 | | | Series 2005-8-7A1 | | | 7.00% | | | | 09/25/2035 | | | | 5,085,972 | |
| | 4,608,663 | | | Series 2005-1R-2A5 | | | 5.75% | ^ | | | 12/26/2035 | | | | 4,152,435 | |
| | 27,549,538 | | | Series 2006-1-2A1 | | | 6.00% | | | | 02/25/2036 | | | | 20,955,639 | |
| | 4,063,537 | | | Series 2006-2-3A1 | | | 6.50% | | | | 03/25/2036 | | | | 2,824,963 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 5,239,781 | | | Series 2006-2-5A1 | | | 0.87% | # | | | 03/25/2036 | | | | 3,192,400 | |
| | 29,287,967 | | | Series 2006-2-5A2 | | | 5.13% | # I/F I/O | | | 03/25/2036 | | | | 5,385,135 | |
| | 6,100,643 | | | Series 2006-2-5A3 | | | 6.25% | | | | 03/25/2036 | | | | 5,109,062 | |
| | 16,510,779 | | | Series 2006-2-5A4 | | | 6.00% | | | | 03/25/2036 | | | | 13,535,273 | |
| | 10,322,237 | | | Series 2006-3-4A3 | | | 5.50% | | | | 04/25/2036 | | | | 9,711,790 | |
| | 6,240,056 | | | Series 2006-3-4A4 | | | 5.50% | | | | 04/25/2036 | | | | 5,871,025 | |
| | 6,281,534 | | | Series 2006-4-1A8 | | | 6.00% | # | | | 05/25/2036 | | | | 5,382,069 | |
| | 27,597,348 | | | Series 2006-4-4A1 | | | 7.00% | | | | 05/25/2036 | | | | 13,641,990 | |
| | 19,241,597 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 17,051,673 | |
| | 18,420,245 | | | Series 2006-6-1A4 | | | 6.00% | | | | 07/25/2036 | | | | 15,205,433 | |
| | 13,309,705 | | | Series 2006-6-3A1 | | | 7.00% | | | | 07/25/2036 | | | | 4,816,709 | |
| | 605,871 | | | Series 2006-7-3A11 | | | 6.00% | | | | 08/25/2036 | | | | 528,030 | |
| | 7,365,772 | | | Series 2006-7-7A5 | | | 6.00% | | | | 08/25/2036 | | | | 6,683,627 | |
| | 10,275,279 | | | Series 2006-9-2A1 | | | 5.50% | | | | 11/25/2036 | | | | 10,015,351 | |
| | 33,203,335 | | | Series 2006-9-3A1 | | | 6.00% | | | | 11/25/2036 | | | | 32,421,214 | |
| | 8,879,477 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 8,455,109 | |
| | 13,703,533 | | | Series 2006-9-6A14 | | | 6.00% | | | | 11/25/2036 | | | | 13,248,877 | |
| | 2,226,289 | | | Series 2006-9-6A15 | | | 38.87% | # I/F | | | 11/25/2036 | | | | 4,135,485 | |
| | 13,207,726 | | | Series 2007-1-1A4 | | | 6.13% | # | | | 02/25/2037 | | | | 8,174,063 | |
| | 16,916,778 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 13,940,457 | |
| | 10,214,067 | | | Series 2007-1-5A14 | | | 6.00% | | | | 02/25/2037 | | | | 9,200,556 | |
| | 227,437 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 225,591 | |
| | 8,129,792 | | | Series 2007-5-2A5 | | | 5.00% | | | | 08/25/2037 | | | | 7,879,273 | |
| | 61,097,069 | | | Series 2007-5-3A19 | | | 6.00% | | | | 08/25/2037 | | | | 61,265,880 | |
| | 27,535,523 | | | Series 2007-5-3A9 | | | 6.00% | | | | 08/25/2037 | | | | 27,461,342 | |
| | 5,125,847 | | | Series 2009-1R-4A2 | | | 2.91% | #^ | | | 07/20/2035 | | | | 4,455,456 | |
| | 93,898,000 | | | Series 2010-17R-6A1 | | | 2.13% | #^ | | | 06/26/2037 | | | | 86,065,113 | |
| | 1,489,744 | | | Series 2010-1R-5A1 | | | 4.96% | #^ | | | 01/27/2036 | | | | 1,498,977 | |
| | 49,723,700 | | | Series 2010-2R-4A17 | | | 6.02% | #^ | | | 03/26/2037 | | | | 47,739,660 | |
| | 88,992,957 | | | Series 2010-4R-3A17 | | | 6.13% | #^ | | | 06/26/2037 | | | | 83,135,031 | |
| | 43,937,783 | | | Series 2010-4R-8A17 | | | 6.13% | #^ | | | 06/26/2037 | | | | 41,045,566 | |
| | 8,084,340 | | | Series 2010-6R-2A6A | | | 6.25% | ^ | | | 07/26/2037 | | | | 8,602,674 | |
| | 30,067,122 | | | Series 2010-7R-4A17 | | | 6.28% | #^ | | | 04/26/2037 | | | | 27,718,390 | |
| | 50,000,000 | | | Series 2010-9R-2A5 | | | 4.00% | ^ | | | 02/27/2038 | | | | 48,491,340 | |
| | 84,363,742 | | | Series 2013-6-1A1 | | | 2.50% | #^ | | | 07/25/2028 | | | | 85,358,981 | |
| | 34,736,459 | | | Series 2013-IVR4-A2 | | | 3.00% | #^ | | | 07/25/2043 | | | | 34,701,722 | |
| | 87,694,962 | | | Series 2014-CIM1-A3 | | | 2.18% | #^ | | | 01/25/2058 | | | | 87,539,567 | |
| | 16,516,986 | | | Series 2014-WIN1-2A4 | | | 3.00% | #^ | | | 09/25/2044 | | | | 16,413,424 | |
| | 163,419,317 | | | Series 2015-1-A1 | | | 2.50% | #^ | | | 01/25/2045 | | | | 157,454,512 | |
| | 102,297,300 | | | Series 2015-RPL1-A1 | | | 3.63% | #^ | | | 02/25/2057 | | | | 102,085,750 | |
| |
| | | | Credit-Based Asset Servicing and Securitization LLC, | |
| | 713,371 | | | Series 2005-CB6-A4 | | | 4.00% | # | | | 07/25/2035 | | | | 715,493 | |
| | 9,750,000 | | | Series 2007-MX1-A3 | | | 5.83% | #^ | | | 12/25/2036 | | | | 9,382,776 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 29,372,125 | | | Series 2005-4-A5 | | | 5.50% | # | | | 09/25/2035 | | | | 26,076,778 | |
| | 2,119,677 | | | Series 2005-5-1A6 | | | 34.66% | # I/F | | | 11/25/2035 | | | | 3,289,527 | |
| | 2,082,094 | | | Series 2005-5-2A1 | | | 0.37% | # | | | 11/25/2035 | | | | 1,365,362 | |
| | 6,283,987 | | | Series 2005-5-2A2 | | | 5.13% | # I/F I/O | | | 11/25/2035 | | | | 1,115,747 | |
| | 20,926,315 | | | Series 2005-6-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 17,536,754 | |
| | 1,594,391 | | | Series 2006-AB2-A2 | | | 6.14% | # | | | 06/25/2036 | | | | 1,364,590 | |
| | 3,219,556 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 2,696,906 | |
| | 44,958,427 | | | Series 2006-AB4-A2 | | | 5.65% | # | | | 10/25/2036 | | | | 36,953,534 | |
| | 3,202,747 | | | Series 2006-AB4-A3 | | | 5.90% | # | | | 10/25/2036 | | | | 2,667,930 | |
| | 4,715,680 | | | Series 2006-AB4-A3A1 | | | 5.90% | # | | | 10/25/2036 | | | | 3,928,336 | |
| | 9,391,344 | | | Series 2006-AB4-A6A1 | | | 5.87% | # | | | 10/25/2036 | | | | 7,810,292 | |
| | 5,656,574 | | | Series 2006-AF1-A3 | | | 0.35% | # | | | 04/25/2036 | | | | 5,564,352 | |
| | 73,773,150 | | | Series 2007-1-1A3A | | | 0.38% | # | | | 08/25/2037 | | | | 62,367,600 | |
| | 23,476,131 | | | Series 2007-OA5-A1B | | | 0.39% | # | | | 08/25/2047 | | | | 20,201,328 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 25,256,386 | | | Series 2006-PR1-3A1 | | | 11.88% | #^ I/F | | | 04/15/2036 | | | | 29,668,815 | |
| | 8,728,317 | | | Series 2006-PR1-4AI1 | | | 11.87% | #^ I/F | | | 04/15/2036 | | | | 10,117,328 | |
| | 14,273,204 | | | Series 2006-PR1-4AI2 | | | 14.27% | #^ I/F | | | 04/15/2036 | | | | 17,584,901 | |
| | 726,456 | | | Series 2006-PR1-5AI1 | | | 18.83% | #^ I/F | | | 04/15/2036 | | | | 1,051,707 | |
| | 6,316,470 | | | Series 2006-PR1-5AI3 | | | 12.33% | #^ I/F | | | 04/15/2036 | | | | 7,895,370 | |
| | 104,585,320 | | | Series 2006-PR1-5AI4 | | | 11.88% | #^ I/F | | | 04/15/2036 | | | | 123,860,447 | |
| | 24,250,031 | | | Series 2009-RS2-4A2 | | | 0.30% | #^ | | | 04/26/2037 | | | | 23,346,316 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| $ | 10,786,552 | | | Series 2006-FF1-2A3 | | | 0.41% | # | | | 01/25/2036 | | | | 10,683,087 | |
| | 16,445,616 | | | Series 2006-FF3-A2B | | | 0.37% | # | | | 02/25/2036 | | | | 15,907,441 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 15,917,461 | | | Series 2005-AA4-1A1 | | | 2.27% | # | | | 05/25/2035 | | | | 13,460,378 | |
| | 9,727,530 | | | Series 2005-FA5-1A4 | | | 5.50% | | | | 08/25/2035 | | | | 9,196,085 | |
| | 14,584,432 | | | Series 2005-FA8-1A4 | | | 5.50% | | | | 11/25/2035 | | | | 13,402,466 | |
| | 1,942,003 | | | Series 2005-FA8-2A1 | | | 5.00% | | | | 11/25/2020 | | | | 1,984,053 | |
| | 5,862,306 | | | Series 2006-FA1-1A12 | | | 6.00% | | | | 04/25/2036 | | | | 4,916,552 | |
| | 471,593 | | | Series 2006-FA1-1A6 | | | 0.92% | # | | | 04/25/2036 | | | | 461,182 | |
| | 4,044,481 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 3,483,677 | |
| | 1,212,029 | | | Series 2006-FA7-A8 | | | 6.25% | | | | 12/25/2036 | | | | 1,018,395 | |
| | 5,512,112 | | | Series 2006-FA8-1A5 | | | 6.00% | | | | 02/25/2037 | | | | 4,652,162 | |
| | 13,296,075 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 12,418,053 | |
| | 33,004,252 | | | Series 2007-FA3-A3 | | | 6.00% | | | | 06/25/2037 | | | | 27,129,693 | |
| | 1,698,238 | | | Series 2007-FA3-A4 | | | 6.00% | | | | 06/25/2037 | | | | 1,395,962 | |
| | 1,883,560 | | | Series 2007-FA4-1A13 | | | 6.25% | | | | 08/25/2037 | | | | 1,534,003 | |
| | 5,814,691 | | | Series 2007-FA4-1A4 | | | 6.25% | | | | 08/25/2037 | | | | 4,735,583 | |
| | 2,732,070 | | | Series 2007-FA4-1A5 | | | 6.25% | | | | 08/25/2037 | | | | 2,225,044 | |
| |
| | | | First Horizon Asset Securities, Inc., | |
| | 4,993,387 | | | Series 2006-1-1A2 | | | 6.00% | | | | 05/25/2036 | | | | 4,861,265 | |
| | 9,986,786 | | | Series 2007-1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 9,355,731 | |
| | 7,097,016 | | | Series 2007-4-1A1 | | | 6.00% | | | | 08/25/2037 | | | | 6,293,059 | |
| |
| | | | GE-WMC Asset-Backed Pass-Through Certificates, | |
| | 46,273,000 | | | Series 2005-2-A2D | | | 0.49% | # | | | 12/25/2035 | | | | 35,727,661 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 8,924,967 | | | Series 2003-AR1-A5 | | | 3.07% | # | | | 10/19/2033 | | | | 9,041,349 | |
| | 12,276,576 | | | Series 2005-AR5-3A1 | | | 2.94% | # | | | 09/19/2035 | | | | 11,840,101 | |
| | 18,245,177 | | | Series 2005-J1-A14 | | | 5.50% | | | | 12/25/2035 | | | | 18,126,693 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 2,197,937 | | | Series 2008-2R-1A1 | | | 7.50% | #^ | | | 09/25/2036 | | | | 1,923,157 | |
| | 8,315,672 | | | Series 2009-3R-1A2 | | | 6.00% | #^ | | | 04/25/2037 | | | | 7,743,481 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 538,063 | | | Series 2005-12-AF3 | | | 5.07% | # | | | 09/25/2035 | | | | 506,589 | |
| | 9,749,509 | | | Series 2005-7-AF2 | | | 4.48% | # | | | 05/25/2035 | | | | 9,889,341 | |
| | 45,361,000 | | | Series 2005-7-AF3 | | | 4.75% | # | | | 05/25/2035 | | | | 45,924,111 | |
| | 13,228,753 | | | Series 2006-10-AF3 | | | 5.98% | # | | | 06/25/2036 | | | | 7,822,374 | |
| | 9,468,046 | | | Series 2006-10-AF4 | | | 6.30% | # | | | 06/25/2036 | | | | 5,596,069 | |
| | 17,944,249 | | | Series 2006-15-AF4 | | | 5.96% | # | | | 09/25/2036 | | | | 10,680,291 | |
| | 2,963,020 | | | Series 2006-18-AF3A | | | 5.77% | # | | | 11/25/2036 | | | | 1,814,373 | |
| | 6,286,837 | | | Series 2006-18-AF6 | | | 5.68% | # | | | 11/25/2036 | | | | 3,579,769 | |
| | 10,465,604 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 9,316,585 | |
| | 5,034,279 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 4,040,971 | |
| |
| | | | GSMPS Mortgage Loan Trust, | |
| | 18,838,727 | | | Series 2005-RP2-1AF | | | 0.52% | #^ | | | 03/25/2035 | | | | 16,576,987 | |
| | 18,838,727 | | | Series 2005-RP2-1AS | | | 4.88% | #^ I/O | | | 03/25/2035 | | | | 2,168,969 | |
| | 10,764,900 | | | Series 2005-RP3-1AF | | | 0.52% | #^ | | | 09/25/2035 | | | | 9,267,265 | |
| | 10,764,900 | | | Series 2005-RP3-1AS | | | 4.73% | #^ I/O | | | 09/25/2035 | | | | 1,443,708 | |
| | 40,874,990 | | | Series 2006-RP1-1AS | | | 4.60% | #^ I/O | | | 01/25/2036 | | | | 5,367,172 | |
| | 40,874,990 | | | Series 2006-RP1-AF1 | | | 0.52% | #^ | | | 01/25/2036 | | | | 35,808,535 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 4,177,750 | | | Series 2005-1F-1A2 | | | 5.50% | | | | 02/25/2035 | | | | 4,295,715 | |
| | 9,192,639 | | | Series 2005-1F-3A3 | | | 6.00% | | | | 01/25/2035 | | | | 9,401,078 | |
| | 1,378,688 | | | Series 2005-6F-3A5 | | | 6.00% | | | | 07/25/2035 | | | | 1,438,007 | |
| | 13,278,013 | | | Series 2005-6F-3A9 | | | 6.73% | # I/F I/O | | | 07/25/2035 | | | | 2,380,688 | |
| | 1,367,185 | | | Series 2005-6F-4A1 | | | 0.67% | # | | | 07/25/2035 | | | | 1,084,674 | |
| | 891,413 | | | Series 2005-7F-3A1 | | | 0.67% | # | | | 09/25/2035 | | | | 829,430 | |
| | 18,511,445 | | | Series 2005-8F-3A5 | | | 6.00% | | | | 11/25/2035 | | | | 16,256,178 | |
| | 6,171,426 | | | Series 2005-8F-4A1 | | | 6.00% | | | | 11/25/2035 | | | | 5,048,584 | |
| | 3,057,383 | | | Series 2006-1F-1A2 | | | 5.50% | | | | 02/25/2036 | | | | 2,977,420 | |
| | 1,754,419 | | | Series 2006-2F-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 1,631,594 | |
| | 6,322,033 | | | Series 2006-2F-3A3 | | | 6.00% | | | | 02/25/2036 | | | | 5,206,757 | |
| | 22,375,280 | | | Series 2006-6F-2A3 | | | 6.00% | | | | 07/25/2036 | | | | 19,414,203 | |
| | 20,014,445 | | | Series 2006-7F-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 18,578,028 | |
| | 10,801,090 | | | Series 2006-7F-3A4 | | | 6.25% | | | | 08/25/2036 | | | | 8,775,421 | |
| | 16,236,571 | | | Series 2006-9F-2A1 | | | 6.00% | | | | 10/25/2036 | | | | 15,222,045 | |
| | 35,197,495 | | | Series 2006-9F-4A1 | | | 6.50% | | | | 10/25/2036 | | | | 31,493,100 | |
| | 291,925 | | | Series 2006-9F-8A1 | | | 5.50% | | | | 08/25/2021 | | | | 277,301 | |
| | 34,731,932 | | | Series 2006-OA1-2A1 | | | 0.36% | # | | | 08/25/2046 | | | | 33,657,621 | |
| | 3,336,141 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 3,208,994 | |
| | 4,976,312 | | | Series 2007-4F-1A1 | | | 5.00% | | | | 07/25/2037 | | | | 4,607,139 | |
| | 57,880,048 | | | Series 2007-4F-3A11 | | | 6.00% | | | | 07/25/2037 | | | | 52,585,008 | |
| | | | | | |
| 22 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Harborview Mortgage Loan Trust, | |
| $ | 3,966,913 | | | Series 2005-14-3A1A | | | 2.65% | # | | | 12/19/2035 | | | | 3,529,128 | |
| | 11,220,989 | | | Series 2006-10-2A1A | | | 0.36% | # | | | 11/19/2036 | | | | 9,169,703 | |
| | 28,644,845 | | | Series 2006-11-A1A | | | 0.35% | # | | | 12/19/2036 | | | | 21,626,399 | |
| |
| | | | Home Equity Asset Trust, | |
| | 1,943,437 | | | Series 2003-3-M1 | | | 1.46% | # | | | 08/25/2033 | | | | 1,843,172 | |
| | 934,069 | | | Series 2004-7-M2 | | | 1.16% | # | | | 01/25/2035 | | | | 900,480 | |
| |
| | | | Homebanc Mortgage Trust, | |
| | 2,661,512 | | | Series 2005-1-M2 | | | 0.66% | # | | | 03/25/2035 | | | | 2,209,483 | |
| | 42,113,190 | | | Series 2005-3-A1 | | | 0.41% | # | | | 07/25/2035 | | | | 38,896,964 | |
| | 4,591,344 | | | Series 2006-1-3A1 | | | 2.18% | # | | | 04/25/2037 | | | | 3,977,490 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 947,337 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 927,628 | |
| | 53,458,801 | | | Series 2007-2-3A6 | | | 6.00% | | | | 09/25/2037 | | | | 44,440,943 | |
| | 8,785,125 | | | Series 2007-AR1-3A1 | | | 2.39% | # | | | 01/25/2037 | | | | 7,092,794 | |
| |
| | | | IMPAC Trust, | |
| | 1,486,619 | | | Series 2002-9F-A1 | | | 5.22% | # | | | 12/25/2032 | | | | 1,523,258 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 8,847,753 | | | Series 2006-AR2-4A1 | | | 2.57% | # | | | 09/25/2036 | | | | 7,537,852 | |
| | 40,010,990 | | | Series 2006-AR3-1A1 | | | 2.58% | # | | | 12/25/2036 | | | | 35,033,503 | |
| | 12,647,940 | | | Series 2006-AR7-3A1 | | | 2.60% | # | | | 05/25/2036 | | | | 10,706,152 | |
| | 8,568,989 | | | Series 2007-A1-A1 | | | 6.00% | | | | 08/25/2037 | | | | 7,543,341 | |
| | 6,273,169 | | | Series 2007-A1-A7 | | | 6.00% | | | | 08/25/2037 | | | | 5,522,315 | |
| | 34,673,148 | | | Series 2007-A3-A1 | | | 6.25% | | | | 11/25/2037 | | | | 29,906,179 | |
| | 11,579,463 | | | Series 2007-AR3-3A1 | | | 5.29% | # | | | 07/25/2037 | | | | 10,445,127 | |
| | 798,407 | | | Series 2007-F2-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 719,745 | |
| | 30,747,722 | | | Series 2007-F2-2A1 | | | 6.50% | | | | 07/25/2037 | | | | 20,765,382 | |
| | |
| | | | Jefferies & Company, Inc., | | | | | |
| | 5,576,431 | | | Series 2010-R1-1A1 | | | 6.00% | #^ | | | 03/26/2037 | | | | 5,834,112 | |
| | 11,101,132 | | | Series 2010-R4-1A4 | | | 6.65% | #^ | | | 10/26/2036 | | | | 10,215,371 | |
| | |
| | | | JP Morgan Alternative Loan Trust, | | | | | |
| | 19,618,653 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 18,433,098 | |
| | 6,289,322 | | | Series 2005-S1-2A9 | | | 6.00% | | | | 12/25/2035 | | | | 5,909,258 | |
| | 6,405,008 | | | Series 2006-S1-1A8 | | | 5.75% | | | | 03/25/2036 | | | | 5,685,444 | |
| | 17,766,030 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 13,024,419 | |
| | 11,612,868 | | | Series 2006-S4-A3A | | | 5.78% | # | | | 12/25/2036 | | | | 10,636,609 | |
| | 28,700,000 | | | Series 2006-S4-A4 | | | 5.96% | # | | | 12/25/2036 | | | | 23,350,750 | |
| | |
| | | | JP Morgan Mortgage Acquisition Corporation, | | | | | |
| | 14,806,192 | | | Series 2006-CH2-AF3 | | | 5.10% | # | | | 10/25/2036 | | | | 11,954,342 | |
| | 5,132,718 | | | Series 2006-WF1-A5 | | | 6.41% | # | | | 07/25/2036 | | | | 3,090,415 | |
| | 15,000,000 | | | Series 2007-CH1-AF5 | | | 4.51% | # | | | 11/25/2036 | | | | 14,402,505 | |
| | 4,249,819 | | | Series 2007-CH5-A3 | | | 0.28% | # | | | 05/25/2037 | | | | 4,163,331 | |
| | |
| | | | JP Morgan Mortgage Trust, | | | | | |
| | 2,831,824 | | | Series 2005-A6-5A1 | | | 5.01% | # | | | 08/25/2035 | | | | 2,793,270 | |
| | 4,199,927 | | | Series 2005-S2-2A13 | | | 5.50% | | | | 09/25/2035 | | | | 4,357,523 | |
| | 2,920,069 | | | Series 2006-S2-3A3 | | | 6.00% | | | | 07/25/2036 | | | | 2,609,015 | |
| | 9,353,534 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 08/25/2036 | | | | 8,298,006 | |
| | 11,920,543 | | | Series 2006-S3-1A21 | | | 0.55% | # | | | 08/25/2036 | | | | 6,185,069 | |
| | 11,920,543 | | | Series 2006-S3-1A22 | | | 6.95% | # I/F I/O | | | 08/25/2036 | | | | 4,845,754 | |
| | 4,358,042 | | | Series 2006-S3-1A9 | | | 6.00% | | | | 08/25/2036 | | | | 3,866,259 | |
| | 12,969,987 | | | Series 2006-S4-A8 | | | 0.55% | # | | | 01/25/2037 | | | | 8,559,945 | |
| | 12,969,987 | | | Series 2006-S4-A9 | | | 6.45% | # I/F I/O | | | 01/25/2037 | | | | 2,844,973 | |
| | 4,076,536 | | | Series 2007-A2-2A1 | | | 2.53% | # | | | 04/25/2037 | | | | 3,666,351 | |
| | 17,683,511 | | | Series 2007-S1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 15,269,464 | |
| | 6,923,818 | | | Series 2007-S3-1A1 | | | 5.50% | | | | 08/25/2037 | | | | 6,199,344 | |
| | 11,625,390 | | | Series 2007-S3-1A35 | | | 6.00% | | | | 08/25/2037 | | | | 10,576,640 | |
| | 1,970,003 | | | Series 2007-S3-1A9 | | | 6.00% | | | | 08/25/2037 | | | | 1,791,029 | |
| | 10,719,203 | | | Series 2007-S3-1A96 | | | 6.00% | | | | 08/25/2037 | | | | 9,757,015 | |
| | 12,208,161 | | | Series 2007-S3-1A97 | | | 6.00% | | | | 08/25/2037 | | | | 11,113,760 | |
| | 3,450,405 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 3,430,492 | |
| | |
| | | | JP Morgan Resecuritization Trust, | | | | | |
| | 22,382,374 | | | Series 2010-1-1A4 | | | 6.00% | ^ | | | 02/26/2037 | | | | 17,503,245 | |
| | 18,243,980 | | | Series 2010-2-3A9 | | | 6.00% | ^ | | | 07/26/2036 | | | | 15,354,232 | |
| | 2,956,569 | | | Series 2010-8-2A3 | | | 2.45% | #^ | | | 11/26/2034 | | | | 2,951,842 | |
| | 11,359,180 | | | Series 2011-2-7A11 | | | 6.14% | #^ | | | 04/26/2036 | | | | 11,246,415 | |
| | 4,268,829 | | | Series 2012-2-3A3 | | | 2.26% | #^ | | | 10/26/2036 | | | | 4,262,440 | |
| | |
| | | | Lehman Mortgage Trust, | | | | | |
| | 5,993,576 | | | Series 2005-2-3A5 | | | 5.50% | | | | 12/25/2035 | | | | 5,405,870 | |
| | 5,972,773 | | | Series 2005-2-5A5 | | | 5.75% | | | | 12/25/2035 | | | | 5,363,843 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | |
| | | | Lehman Mortgage Trust, (Cont.) | | | | | |
| $ | 8,197,706 | | | Series 2005-3-2A1 | | | 6.00% | | | | 01/25/2036 | | | | 7,627,310 | |
| | 698,068 | | | Series 2005-3-2A3 | | | 5.50% | | | | 01/25/2036 | | | | 633,084 | |
| | 3,749,279 | | | Series 2005-3-2A7 | | | 6.00% | | | | 01/25/2036 | | | | 3,488,405 | |
| | 3,038,112 | | | Series 2006-1-1A1 | | | 0.92% | # | | | 02/25/2036 | | | | 2,127,930 | |
| | 9,114,335 | | | Series 2006-1-1A2 | | | 4.58% | # I/F I/O | | | 02/25/2036 | | | | 1,145,754 | |
| | 12,216,061 | | | Series 2006-1-3A1 | | | 0.92% | # | | | 02/25/2036 | | | | 10,754,813 | |
| | 12,216,061 | | | Series 2006-1-3A2 | | | 4.58% | # I/F I/O | | | 02/25/2036 | | | | 1,507,175 | |
| | 7,870,704 | | | Series 2006-1-3A4 | | | 5.50% | | | | 02/25/2036 | | | | 7,718,025 | |
| | 5,670,760 | | | Series 2006-4-1A3 | | | 5.23% | # I/F I/O | | | 08/25/2036 | | | | 768,490 | |
| | 3,604,213 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 3,085,786 | |
| | 10,272,269 | | | Series 2006-5-2A1 | | | 0.52% | # | | | 09/25/2036 | | | | 4,446,018 | |
| | 21,397,025 | | | Series 2006-5-2A2 | | | 6.98% | # I/F I/O | | | 09/25/2036 | | | | 7,504,301 | |
| | 17,791,078 | | | Series 2006-6-3A9 | | | 5.50% | | | | 10/25/2036 | | | | 14,422,516 | |
| | 10,695,547 | | | Series 2006-6-4A5 | | | 6.00% | | | | 12/25/2036 | | | | 10,706,232 | |
| | 5,184,014 | | | Series 2006-7-2A2 | | | 0.62% | # | | | 11/25/2036 | | | | 2,344,151 | |
| | 16,487,823 | | | Series 2006-7-2A5 | | | 6.38% | # I/F I/O | | | 11/25/2036 | | | | 5,587,444 | |
| | 4,834,938 | | | Series 2006-9-1A19 | | | 29.88% | # I/F | | | 01/25/2037 | | | | 7,462,185 | |
| | 5,353,445 | | | Series 2006-9-1A5 | | | 0.77% | # | | | 01/25/2037 | | | | 3,470,205 | |
| | 15,917,085 | | | Series 2006-9-1A6 | | | 4.98% | # I/F I/O | | | 01/25/2037 | | | | 2,456,547 | |
| | 6,503,765 | | | Series 2006-9-2A1 | | | 0.55% | # | | | 01/25/2037 | | | | 2,768,461 | |
| | 13,168,968 | | | Series 2006-9-2A2 | | | 6.45% | # I/F I/O | | | 01/25/2037 | | | | 3,894,209 | |
| | 14,511,064 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 12,687,590 | |
| | 4,361,841 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 3,486,756 | |
| | 4,290,601 | | | Series 2007-4-2A11 | | | 0.50% | # | | | 05/25/2037 | | | | 1,567,584 | |
| | 16,930,244 | | | Series 2007-4-2A8 | | | 6.50% | # I/F I/O | | | 05/25/2037 | | | | 5,724,623 | |
| | 1,657,784 | | | Series 2007-4-2A9 | | | 0.50% | # | | | 05/25/2037 | | | | 572,320 | |
| | 19,804,415 | | | Series 2007-5-11A1 | | | 5.54% | # | | | 06/25/2037 | | | | 15,009,469 | |
| | 8,434,677 | | | Series 2007-5-3A4 | | | 5.00% | | | | 12/25/2035 | | | | 7,991,730 | |
| | 3,053,334 | | | Series 2007-5-4A3 | | | 39.04% | # I/F | | | 08/25/2036 | | | | 5,490,154 | |
| | 1,356,366 | | | Series 2007-5-7A3 | | | 7.50% | | | | 10/25/2036 | | | | 1,131,447 | |
| | 1,059,276 | | | Series 2007-6-1A8 | | | 6.00% | | | | 07/25/2037 | | | | 969,615 | |
| | 9,056,543 | | | Series 2008-2-1A6 | | | 6.00% | | | | 03/25/2038 | | | | 7,640,589 | |
| | |
| | | | Lehman XS Trust, | | | | | |
| | 2,277,085 | | | Series 2005-10-2A3B | | | 5.55% | # | | | 01/25/2036 | | | | 2,049,998 | |
| | 14,814,731 | | | Series 2005-4-2A3A | | | 5.00% | # | | | 10/25/2035 | | | | 13,487,020 | |
| | 3,005,672 | | | Series 2006-5-2A4A | | | 5.89% | # | | | 04/25/2036 | | | | 2,847,418 | |
| | 24,583,938 | | | Series 2007-1-2A1 | | | 5.53% | # | | | 02/25/2037 | | | | 22,840,199 | |
| | |
| | | | Long Beach Mortgage Loan Trust, | | | | | |
| | 8,874,343 | | | Series 2006-WL1-2A3 | | | 0.41% | # | | | 01/25/2046 | | | | 8,519,778 | |
| | |
| | | | MASTR Adjustable Rate Mortgages Trust, | | | | | |
| | 6,468,503 | | | Series 2005-2-2A1 | | | 2.46% | # | | | 03/25/2035 | | | | 5,190,890 | |
| | 5,777,091 | | | Series 2005-6-5A1 | | | 2.50% | # | | | 07/25/2035 | | | | 5,008,518 | |
| | 26,460,983 | | | Series 2007-1-2A1 | | | 2.78% | # | | | 11/25/2036 | | | | 24,159,248 | |
| | 6,171,160 | | | Series 2007-2-A2 | | | 0.28% | # | | | 03/25/2047 | | | | 6,055,075 | |
| | |
| | | | MASTR Alternative Loans Trust, | | | | | |
| | 2,521,394 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 2,525,960 | |
| | 962,902 | | | Series 2005-5-2A3 | | | 5.50% | | | | 07/25/2025 | | | | 966,713 | |
| | 7,440,431 | | | Series 2005-6-1A5 | | | 5.50% | | | | 12/25/2035 | | | | 6,664,944 | |
| | 3,926,765 | | | Series 2006-3-1A2 | | | 6.25% | | | | 07/25/2036 | | | | 3,457,187 | |
| | 8,007,001 | | | Series 2007-1-1A5 | | | 5.75% | | | | 10/25/2036 | | | | 7,647,879 | |
| | 8,563,321 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 6,760,048 | |
| | |
| | | | MASTR Asset Backed Securities Trust, | | | | | |
| | 4,975,000 | | | Series 2003-OPT1-M3 | | | 4.30% | # | | | 12/25/2032 | | | | 4,923,310 | |
| | 22,970,332 | | | Series 2006-AM2-A3 | | | 0.34% | # | | | 06/25/2036 | | | | 18,380,078 | |
| | 2,599,112 | | | Series 2006-NC1-A3 | | | 0.36% | # | | | 01/25/2036 | | | | 2,572,526 | |
| | |
| | | | MASTR Asset Securitization Trust, | | | | | |
| | 336,161 | | | Series 2003-1-30B2 | | | 5.75% | | | | 02/25/2033 | | | | 336,226 | |
| | 434,103 | | | Series 2007-1-1A1 | | | 5.50% | | | | 11/25/2037 | | | | 419,342 | |
| | 6,896,479 | | | Series 2007-1-1A3 | | | 6.25% | | | | 11/25/2037 | | | | 6,099,212 | |
| | |
| | | | MASTR Seasoned Securitization Trust, | | | | | |
| | 1,755,326 | | | Series 2005-2-1A4 | | | 6.00% | | | | 10/25/2032 | | | | 1,759,135 | |
| | 2,203,885 | | | Series 2005-2-2A1 | | | 0.57% | # | | | 10/25/2032 | | | | 1,957,222 | |
| | |
| | | | Merrill Lynch Mortgage Investors Trust, | | | | | |
| | 13,123,008 | | | Series 2006-3-1A | | | 2.33% | # | | | 10/25/2036 | | | | 12,828,429 | |
| | 4,026,007 | | | Series 2006-F1-1A2 | | | 6.00% | | | | 04/25/2036 | | | | 3,821,627 | |
| | |
| | | | Monterey Ltd., | | | | | |
| | 73,986,534 | | | Series 2006-1A-A1A | | | 0.47% | #^ | | | 09/06/2042 | | | | 7,768,586 | |
| | 292,083,400 | | | Series 2006-1A-A1B | | | 0.47% | #^ | | | 09/06/2042 | | | | 30,668,757 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 23 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | |
| | | | Morgan Stanley Capital, Inc., | | | | | |
| $ | 1,132,086 | | | Series 2003-NC6-M2 | | | 3.10% | # | | | 06/25/2033 | | | | 1,070,465 | |
| | |
| | | | Morgan Stanley Mortgage Loan Trust, | | | | | |
| | 3,044,865 | | | Series 2005-10-1A1 | | | 0.87% | # | | | 12/25/2035 | | | | 2,495,550 | |
| | 7,628,736 | | | Series 2005-10-1A6 | | | 5.75% | | | | 12/25/2035 | | | | 7,209,346 | |
| | 9,206,706 | | | Series 2005-10-2A1 | | | 5.53% | # | | | 12/25/2035 | | | | 9,265,380 | |
| | 1,158,119 | | | Series 2005-6AR-1A1 | | | 0.45% | # | | | 11/25/2035 | | | | 1,122,633 | |
| | 6,771,469 | | | Series 2006-11-1A6 | | | 6.23% | # | | | 08/25/2036 | | | | 3,457,160 | |
| | 16,967,482 | | | Series 2006-11-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 14,036,790 | |
| | 9,311,042 | | | Series 2006-17XS-A3A | | | 5.65% | # | | | 10/25/2046 | | | | 6,019,086 | |
| | 2,887,943 | | | Series 2006-17XS-A6 | | | 5.58% | # | | | 10/25/2046 | | | | 1,709,483 | |
| | 12,989,969 | | | Series 2006-2-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 12,380,973 | |
| | 50,865,804 | | | Series 2006-7-3A | | | 5.34% | # | | | 06/25/2036 | | | | 43,307,044 | |
| | 4,257,909 | | | Series 2006-7-4A4 | | | 6.00% | | | | 06/25/2036 | | | | 3,820,847 | |
| | 4,310,396 | | | Series 2006-7-4A7 | | | 6.00% | | | | 06/25/2036 | | | | 3,867,947 | |
| | 5,783,652 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 4,951,708 | |
| | 21,793,709 | | | Series 2007-14AR-2A3 | | | 2.46% | # | | | 10/25/2037 | | | | 18,380,160 | |
| | 4,600,081 | | | Series 2007-1XS-2A3 | | | 5.92% | # | | | 09/25/2046 | | | | 2,825,973 | |
| | 3,382,604 | | | Series 2007-1XS-2A4A | | | 6.08% | # | | | 09/25/2046 | | | | 2,244,514 | |
| | 1,951,042 | | | Series 2007-3XS-1A2A | | | 5.62% | # | | | 01/25/2047 | | | | 1,896,535 | |
| | 10,059,800 | | | Series 2007-3XS-2A3S | | | 5.86% | # | | | 01/25/2047 | | | | 7,510,465 | |
| | 5,884,034 | | | Series 2007-3XS-2A4S | | | 5.96% | # | | | 01/25/2047 | | | | 4,392,419 | |
| | |
| | | | Morgan Stanley Re-Remic Trust, | | | | | |
| | 1,941,561 | | | Series 2010-R9-1A | | | 4.00% | #^ | | | 08/26/2036 | | | | 1,967,315 | |
| | 6,905,806 | | | Series 2010-R9-1B | | | 6.57% | #^ | | | 08/26/2036 | | | | 5,184,576 | |
| | 59,188,335 | | | Series 2010-R9-3C | | | 6.10% | #^ | | | 11/26/2036 | | | | 58,729,868 | |
| | 7,163,572 | | | Series 2011-R1-1A | | | 5.94% | #^ | | | 02/26/2037 | | | | 7,618,698 | |
| | |
| | | | MSCC Heloc Trust, | | | | | |
| | 27,564,239 | | | Series 2007-1-A | | | 0.27% | # | | | 12/25/2031 | | | | 26,257,418 | |
| | |
| | | | New Century Home Equity Loan Trust, | | | | | |
| | 33,589,250 | | | Series 2005-2-M3 | | | 0.66% | # | | | 06/25/2035 | | | | 27,515,373 | |
| | |
| | | | New Residential Mortgage Loan Trust, | | | | | |
| | 35,001,938 | | | Series 2014-2A-A3 | | | 3.75% | #^ | | | 05/25/2054 | | | | 36,202,977 | |
| | |
| | | | New York Mortgage Trust, | | | | | |
| | 1,503,113 | | | Series 2005-2-A | | | 0.50% | # | | | 08/25/2035 | | | | 1,393,656 | |
| | |
| | | | Newcastle Mortgage Securities Trust, | | | | | |
| | 1,489,030 | | | Series 2006-1-A3 | | | 0.35% | # | | | 03/25/2036 | | | | 1,490,786 | |
| | |
| | | | Nomura Asset Acceptance Corporation, | | | | | |
| | 863,775 | | | Series 2005-AP1-2A5 | | | 4.86% | # | | | 02/25/2035 | | | | 880,725 | |
| | 19,564,250 | | | Series 2006-AF1-1A2 | | | 6.16% | # | | | 05/25/2036 | | | | 10,923,366 | |
| | 3,975,805 | | | Series 2006-AF1-1A3 | | | 6.41% | # | | | 05/25/2036 | | | | 2,219,048 | |
| | 23,881,760 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 14,735,309 | |
| | 4,036,520 | | | Series 2006-AP1-A3 | | | 5.65% | # | | | 01/25/2036 | | | | 2,512,322 | |
| | 2,037,102 | | | Series 2006-WF1-A2 | | | 5.76% | # | | | 06/25/2036 | | | | 1,221,405 | |
| | |
| | | | Nomura Home Equity Loan, Inc., | | | | | |
| | 20,788,568 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 11,270,626 | |
| | 3,799,436 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 2,250,057 | |
| | 18,937,267 | | | Series 2007-1-1A3 | | | 5.99% | # | | | 02/25/2037 | | | | 11,215,558 | |
| | |
| | | | Option One Mortgage Loan Trust, | | | | | |
| | 1,005,256 | | | Series 2002-2-A | | | 0.71% | # | | | 06/25/2032 | | | | 942,668 | |
| | 1,432,640 | | | Series 2004-3-M3 | | | 1.15% | # | | | 11/25/2034 | | | | 1,299,674 | |
| | |
| | | | Park Place Securities, Inc., | | | | | |
| | 13,000,000 | | | Series 2005-WHQ4-M2 | | | 0.66% | # | | | 09/25/2035 | | | | 10,609,235 | |
| | |
| | | | PFCA Home Equity Investment Trust, | | | | | |
| | 51,153,979 | | | Series 2003-IFC5-A | | | 4.23% | #^ | | | 01/22/2035 | | | | 48,779,831 | |
| | 56,089,218 | | | Series 2003-IFC6-A | | | 4.27% | #^ | | | 04/22/2035 | | | | 51,810,755 | |
| | |
| | | | PHH Alternative Mortgage Trust, | | | | | |
| | 12,226,054 | | | Series 2007-1-1A1 | | | 0.33% | # | | | 02/25/2037 | | | | 10,402,269 | |
| | 35,049,140 | | | Series 2007-2-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 31,714,565 | |
| | 1,476,291 | | | Series 2007-2-3A1 | | | 6.00% | | | | 05/25/2037 | | | | 1,311,794 | |
| | 22,685,890 | | | Series 2007-3-A2 | | | 0.36% | # | | | 07/25/2037 | | | | 22,042,541 | |
| | |
| | | | Popular ABS Mortgage Pass-Through Trust, | | | | | |
| | 755,111 | | | Series 2005-5-AF6 | | | 4.56% | # | | | 11/25/2035 | | | | 757,061 | |
| | |
| | | | PR Mortgage Loan Trust, | | | | | |
| | 312,850,154 | | | Series 2014-1-APT | | | 5.93% | #^ | | | 10/25/2049 | | | | 319,576,432 | |
| | |
| | | | Prime Mortgage Trust, | | | | | |
| | 4,283,639 | | | Series 2006-DR1-2A1 | | | 5.50% | ^ | | | 05/25/2035 | | | | 4,196,717 | |
| | 6,714,434 | | | Series 2006-DR1-2A2 | | | 6.00% | ^ | | | 05/25/2035 | | | | 6,664,076 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | |
| | | | RBSGC Structured Trust, | | | | | |
| $ | 50,640,128 | | | Series 2008-B-A1 | | | 6.00% | ^ | | | 06/25/2037 | | | | 45,084,207 | |
| | |
| | | | Renaissance Home Equity Loan Trust, | | | | | |
| | 1,470,079 | | | Series 2006-1-AF6 | | | 5.75% | # | | | 05/25/2036 | | | | 1,070,653 | |
| | 10,939,828 | | | Series 2006-4-AF4 | | | 5.47% | # | | | 01/25/2037 | | | | 6,467,517 | |
| | 21,542,747 | | | Series 2006-4-AF5 | | | 5.69% | # | | | 01/25/2037 | | | | 13,205,144 | |
| | 18,139,410 | | | Series 2007-2-AF2 | | | 5.68% | # | | | 06/25/2037 | | | | 9,452,174 | |
| | 9,810,389 | | | Series 2007-2-AF5 | | | 6.20% | # | | | 06/25/2037 | | | | 5,574,253 | |
| | |
| | | | Residential Accredit Loans, Inc., | | | | | |
| | 7,735,036 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 8,071,479 | |
| | 62,031,222 | | | Series 2005-QA11-4A1 | | | 3.29% | # | | | 10/25/2035 | | | | 52,080,236 | |
| | 31,991,894 | | | Series 2005-QA13-2A1 | | | 3.55% | # | | | 12/25/2035 | | | | 27,665,982 | |
| | 21,202,549 | | | Series 2005-QA3-CB1 | | | 3.03% | # | | | 03/25/2035 | | | | 15,081,967 | |
| | 903,857 | | | Series 2005-QS12-A11 | | | 49.24% | # I/F | | | 08/25/2035 | | | | 1,639,612 | |
| | 3,998,616 | | | Series 2005-QS13-1A6 | | | 5.50% | | | | 09/25/2035 | | | | 3,533,317 | |
| | 7,448,989 | | | Series 2005-QS13-2A1 | | | 0.87% | # | | | 09/25/2035 | | | | 5,579,286 | |
| | 30,540,856 | | | Series 2005-QS13-2A2 | | | 4.88% | # I/F I/O | | | 09/25/2035 | | | | 3,735,880 | |
| | 12,830,131 | | | Series 2005-QS14-2A1 | | | 6.00% | | | | 09/25/2035 | | | | 10,176,026 | |
| | 6,413,426 | | | Series 2005-QS15-2A | | | 6.00% | | | | 10/25/2035 | | | | 5,023,604 | |
| | 6,593,367 | | | Series 2005-QS15-3A | | | 6.00% | | | | 10/25/2035 | | | | 5,950,718 | |
| | 7,417,923 | | | Series 2005-QS16-A1 | | | 0.87% | # | | | 11/25/2035 | | | | 5,492,690 | |
| | 7,416,640 | | | Series 2005-QS16-A2 | | | 4.63% | # I/F I/O | | | 11/25/2035 | | | | 996,211 | |
| | 3,422,392 | | | Series 2005-QS17-A1 | | | 6.00% | | | | 12/25/2035 | | | | 3,071,853 | |
| | 2,371,541 | | | Series 2005-QS17-A10 | | | 6.00% | | | | 12/25/2035 | | | | 2,128,636 | |
| | 9,918,814 | | | Series 2005-QS17-A11 | | | 6.00% | | | | 12/25/2035 | | | | 8,902,880 | |
| | 7,049,981 | | | Series 2005-QS17-A2 | | | 1.02% | # | | | 12/25/2035 | | | | 5,165,810 | |
| | 7,049,981 | | | Series 2005-QS17-A4 | | | 4.98% | # I/F I/O | | | 12/25/2035 | | | | 1,167,279 | |
| | 5,672,633 | | | Series 2005-QS17-A6 | | | 6.00% | | | | 12/25/2035 | | | | 5,091,613 | |
| | 2,699,638 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 2,734,637 | |
| | 2,918,960 | | | Series 2005-QS5-A3 | | | 5.70% | | | | 04/25/2035 | | | | 2,768,230 | |
| | 2,550,097 | | | Series 2005-QS9-A1 | | | 0.67% | # | | | 06/25/2035 | | | | 2,150,092 | |
| | 6,290,610 | | | Series 2005-QS9-A4 | | | 4.83% | # I/F I/O | | | 06/25/2035 | | | | 763,482 | |
| | 2,745,607 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 2,294,957 | |
| | 18,561,963 | | | Series 2006-QS11-1A1 | | | 6.50% | | | | 08/25/2036 | | | | 15,654,287 | |
| | 2,894,453 | | | Series 2006-QS12-1A1 | | | 6.50% | | | | 09/25/2036 | | | | 2,191,431 | |
| | 7,252,003 | | | Series 2006-QS12-2A18 | | | 5.75% | | | | 09/25/2036 | | | | 5,837,550 | |
| | 10,986,448 | | | Series 2006-QS14-A18 | | | 6.25% | | | | 11/25/2036 | | | | 9,343,249 | |
| | 5,965,230 | | | Series 2006-QS15-A1 | | | 6.50% | | | | 10/25/2036 | | | | 4,993,160 | |
| | 2,221,040 | | | Series 2006-QS16-A10 | | | 6.00% | | | | 11/25/2036 | | | | 1,744,502 | |
| | 7,897,664 | | | Series 2006-QS16-A11 | | | 6.00% | | | | 11/25/2036 | | | | 6,203,173 | |
| | 2,305,416 | | | Series 2006-QS16-A7 | | | 6.00% | | | | 11/25/2036 | | | | 1,810,775 | |
| | 2,491,274 | | | Series 2006-QS16-A8 | | | 6.00% | | | | 11/25/2036 | | | | 1,956,757 | |
| | 985,844 | | | Series 2006-QS16-A9 | | | 6.00% | | | | 11/25/2036 | | | | 774,325 | |
| | 5,256,477 | | | Series 2006-QS17-A4 | | | 6.00% | | | | 12/25/2036 | | | | 4,368,574 | |
| | 29,202,712 | | | Series 2006-QS17-A5 | | | 6.00% | | | | 12/25/2036 | | | | 24,269,907 | |
| | 2,960,054 | | | Series 2006-QS1-A6 | | | 41.52% | # I/F | | | 01/25/2036 | | | | 5,614,417 | |
| | 20,358,323 | | | Series 2006-QS3-1A11 | | | 6.00% | | | | 03/25/2036 | | | | 17,687,352 | |
| | 4,536,692 | | | Series 2006-QS4-A8 | | | 8.00% | # I/F | | | 04/25/2036 | | | | 4,235,764 | |
| | 13,181,552 | | | Series 2006-QS5-A3 | | | 6.00% | | | | 05/25/2036 | | | | 11,172,262 | |
| | 39,285,984 | | | Series 2006-QS5-A4 | | | 6.00% | | | | 05/25/2036 | | | | 33,297,543 | |
| | 16,741,861 | | | Series 2006-QS8-A1 | | | 6.00% | | | | 08/25/2036 | | | | 13,835,139 | |
| | 29,032,831 | | | Series 2006-QS8-A5 | | | 5.38% | # I/F I/O | | | 08/25/2036 | | | | 4,806,617 | |
| | 9,597,684 | | | Series 2006-QS9-1A6 | | | 5.13% | # I/F I/O | | | 07/25/2036 | | | | 1,586,324 | |
| | 9,318,652 | | | Series 2007-QS11-A1 | | | 7.00% | | | | 10/25/2037 | | | | 7,823,353 | |
| | 32,103,047 | | | Series 2007-QS1-1A2 | | | 5.28% | # I/F I/O | | | 01/25/2037 | | | | 4,681,651 | |
| | 3,231,512 | | | Series 2007-QS1-1A4 | | | 6.00% | | | | 01/25/2037 | | | | 2,774,641 | |
| | 7,710,004 | | | Series 2007-QS1-2A10 | | | 6.00% | | | | 01/25/2037 | | | | 6,341,478 | |
| | 1,375,617 | | | Series 2007-QS2-A6 | | | 6.25% | | | | 01/25/2037 | | | | 1,140,185 | |
| | 50,506,119 | | | Series 2007-QS3-A1 | | | 6.50% | | | | 02/25/2037 | | | | 41,757,600 | |
| | 8,053,515 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 6,566,619 | |
| | 12,782,783 | | | Series 2007-QS4-3A3 | | | 6.00% | | | | 03/25/2037 | | | | 10,759,767 | |
| | 6,059,426 | | | Series 2007-QS5-A1 | | | 5.50% | | | | 03/25/2037 | | | | 4,777,033 | |
| | 2,499,760 | | | Series 2007-QS5-A5 | | | 0.47% | # | | | 03/25/2037 | | | | 1,522,071 | |
| | 8,302,275 | | | Series 2007-QS5-A8 | | | 6.53% | # I/F I/O | | | 03/25/2037 | | | | 2,026,025 | |
| | 6,725,224 | | | Series 2007-QS6-A102 | | | 5.75% | | | | 04/25/2037 | | | | 5,573,798 | |
| | 2,162,355 | | | Series 2007-QS6-A13 | | | 53.55% | # I/F | | | 04/25/2037 | | | | 4,784,472 | |
| | 9,629,993 | | | Series 2007-QS6-A45 | | | 5.75% | | | | 04/25/2037 | | | | 7,981,242 | |
| | 15,347,233 | | | Series 2007-QS6-A6 | | | 6.25% | | | | 04/25/2037 | | | | 13,114,395 | |
| | 1,059,985 | | | Series 2007-QS6-A77 | | | 54.39% | # I/F | | | 04/25/2037 | | | | 2,385,906 | |
| | 11,507,944 | | | Series 2007-QS7-2A1 | | | 6.75% | | | | 06/25/2037 | | | | 7,254,286 | |
| | 49,578,922 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 43,434,458 | |
| | |
| | | | Residential Asset Mortgage Products, Inc., | | | | | |
| | 244,729 | | | Series 2004-RS4-AI6 | | | 5.07% | # | | | 04/25/2034 | | | | 251,201 | |
| | 1,506,593 | | | Series 2004-RS5-AI6 | | | 5.55% | # | | | 05/25/2034 | | | | 1,496,649 | |
| | | | | | |
| 24 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | |
| | | | Residential Asset Mortgage Products, Inc., (Cont.) | | | | | |
| $ | 7,994,709 | | | Series 2004-RS7-A3 | | | 2.75% | # | | | 07/25/2034 | | | | 7,103,003 | |
| | 2,562,479 | | | Series 2004-RS7-AI6 | | | 5.22% | # | | | 07/25/2034 | | | | 2,449,525 | |
| | 21,105 | | | Series 2004-RS9-AI4 | | | 4.77% | # | | | 10/25/2032 | | | | 32,307 | |
| | 747,747 | | | Series 2004-RS9-AI6 | | | 4.72% | # | | | 07/25/2034 | | | | 737,620 | |
| | 1,667,246 | | | Series 2004-RZ2-AI4 | | | 5.35% | # | | | 02/25/2033 | | | | 1,669,075 | |
| | 7,550,000 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 7,596,289 | |
| | 61,742,448 | | | Series 2005-RS9-AI4 | | | 0.49% | # | | | 11/25/2035 | | | | 50,753,651 | |
| | 40,000,000 | | | Series 2006-RS2-A3A | | | 0.47% | # | | | 03/25/2036 | | | | 34,546,520 | |
| | 3,022,805 | | | Series 2006-RS5-A3 | | | 0.34% | # | | | 09/25/2036 | | | | 2,954,108 | |
| | 12,760,000 | | | Series 2006-RX5-A3 | | | 0.42% | # | | | 08/25/2046 | | | | 11,104,326 | |
| | 12,300,000 | | | Series 2006-RZ3-A3 | | | 0.46% | # | | | 08/25/2036 | | | | 11,208,928 | |
| | |
| | | | Residential Asset Securities Corporation, | | | | | |
| | 398,947 | | | Series 2002-KS1-AI6 | | | 6.08% | # | | | 06/25/2032 | | | | 410,986 | |
| | 2,653,607 | | | Series 2003-KS11-MI1 | | | 5.13% | # | | | 01/25/2034 | | | | 2,556,418 | |
| | 2,468,916 | | | Series 2005-AHL3-A2 | | | 0.41% | # | | | 11/25/2035 | | | | 2,433,587 | |
| | 27,100,365 | | | Series 2005-KS11-M2 | | | 0.59% | # | | | 12/25/2035 | | | | 23,124,118 | |
| | 15,888,005 | | | Series 2006-EMX5-A3 | | | 0.33% | # | | | 07/25/2036 | | | | 14,581,836 | |
| | 307,826 | | | Series 2006-KS4-A3 | | | 0.32% | # | | | 06/25/2036 | | | | 307,389 | |
| | 37,100,000 | | | Series 2007-KS3-AI3 | | | 0.42% | # | | | 04/25/2037 | | | | 33,766,008 | |
| | |
| | | | Residential Asset Securitization Trust, | | | | | |
| | 8,048,741 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 6,291,089 | |
| | 5,860,633 | | | Series 2005-A12-A7 | | | 4.83% | # I/F I/O | | | 11/25/2035 | | | | 776,414 | |
| | 4,660,773 | | | Series 2005-A12-A8 | | | 0.72% | # | | | 11/25/2035 | | | | 3,529,044 | |
| | 17,745,301 | | | Series 2005-A15-5A3 | | | 5.75% | | | | 02/25/2036 | | | | 14,873,153 | |
| | 3,306,441 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 3,001,551 | |
| | 8,078,658 | | | Series 2005-A8CB-A11 | | | 6.00% | | | | 07/25/2035 | | | | 7,550,629 | |
| | 8,131,128 | | | Series 2005-A8CB-A2 | | | 4.83% | # I/F I/O | | | 07/25/2035 | | | | 1,157,490 | |
| | 7,505,895 | | | Series 2006-A10-A5 | | | 6.50% | | | | 09/25/2036 | | | | 5,701,988 | |
| | 1,299,972 | | | Series 2006-A1-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 1,076,536 | |
| | 10,868,085 | | | Series 2006-A12-A1 | | | 6.25% | | | | 11/25/2036 | | | | 7,819,152 | |
| | 10,566,053 | | | Series 2006-A13-A1 | | | 6.25% | | | | 12/25/2036 | | | | 7,800,579 | |
| | 22,452,262 | | | Series 2006-A1-3A2 | | | 6.00% | | | | 04/25/2036 | | | | 17,976,067 | |
| | 18,895,196 | | | Series 2006-A14C-2A6 | | | 0.62% | # | | | 12/25/2036 | | | | 5,878,522 | |
| | 41,698,864 | | | Series 2006-A14C-2A7 | | | 6.38% | # I/F I/O | | | 12/25/2036 | | | | 14,179,344 | |
| | 10,436,891 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 8,741,669 | |
| | 7,225,867 | | | Series 2006-A2-A4 | | | 6.00% | | | | 01/25/2046 | | | | 6,052,198 | |
| | 1,205,160 | | | Series 2006-A4-2A5 | | | 6.00% | | | | 05/25/2036 | | | | 1,099,986 | |
| | 6,990,734 | | | Series 2006-A8-1A1 | | | 6.00% | | | | 08/25/2036 | | | | 6,427,757 | |
| | 8,598,453 | | | Series 2006-R1-A1 | | | 27.71% | # I/F | | | 01/25/2046 | | | | 16,145,043 | |
| | 50,053,138 | | | Series 2007-A2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 43,406,582 | |
| | 1,440,395 | | | Series 2007-A3-1A2 | | | 45.05% | # I/F | | | 04/25/2037 | | | | 3,137,044 | |
| | 26,612,030 | | | Series 2007-A5-1A4 | | | 5.93% | # I/F I/O | | | 05/25/2037 | | | | 6,261,212 | |
| | 6,869,672 | | | Series 2007-A5-1A6 | | | 0.57% | # | | | 05/25/2037 | | | | 1,798,697 | |
| | 11,628,867 | | | Series 2007-A5-2A3 | | | 6.00% | | | | 05/25/2037 | | | | 10,326,003 | |
| | 5,096,338 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 4,525,360 | |
| | 20,050,076 | | | Series 2007-A6-1A2 | | | 6.00% | | | | 06/25/2037 | | | | 18,314,642 | |
| | 12,291,750 | | | Series 2007-A7-A1 | | | 6.00% | | | | 07/25/2037 | | | | 9,078,748 | |
| | 23,955,952 | | | Series 2007-A7-A6 | | | 6.00% | | | | 07/25/2037 | | | | 17,693,986 | |
| | |
| | | | Residential Funding Mortgage Securities Trust, | | | | | |
| | 3,579,275 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 3,611,835 | |
| | 6,216,658 | | | Series 2005-S9-A10 | | | 6.25% | | | | 12/25/2035 | | | | 6,073,159 | |
| | 16,077,515 | | | Series 2005-S9-A6 | | | 5.75% | | | | 12/25/2035 | | | | 16,245,895 | |
| | 1,195,098 | | | Series 2005-S9-A8 | | | 5.50% | | | | 12/25/2035 | | | | 1,182,871 | |
| | 20,481,064 | | | Series 2006-S10-1A1 | | | 6.00% | | | | 10/25/2036 | | | | 18,217,681 | |
| | 36,148,394 | | | Series 2006-S11-A1 | | | 6.00% | | | | 11/25/2036 | | | | 34,051,462 | |
| | 6,698,187 | | | Series 2006-S5-A12 | | | 6.00% | | | | 06/25/2036 | | | | 6,203,968 | |
| | 458,586 | | | Series 2006-S5-A15 | | | 6.00% | | | | 06/25/2036 | | | | 424,750 | |
| | 10,997,333 | | | Series 2006-S9-A1 | | | 6.25% | | | | 09/25/2036 | | | | 9,999,743 | |
| | 8,588,376 | | | Series 2007-S1-A7 | | | 6.00% | | | | 01/25/2037 | | | | 7,900,954 | |
| | 7,346,663 | | | Series 2007-S2-A1 | | | 6.00% | | | | 02/25/2037 | | | | 6,638,842 | |
| | 8,276,825 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 7,479,386 | |
| | 15,451,886 | | | Series 2007-S2-A5 | | | 6.00% | | | | 02/25/2037 | | | | 13,963,159 | |
| | 2,414,615 | | | Series 2007-S2-A9 | | | 6.00% | | | | 02/25/2037 | | | | 2,182,008 | |
| | 7,264,041 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 6,642,987 | |
| | 2,348,209 | | | Series 2007-S4-A1 | | | 6.00% | | | | 04/25/2037 | | | | 2,106,935 | |
| | 6,268,481 | | | Series 2007-S4-A2 | | | 6.00% | | | | 04/25/2037 | | | | 5,624,407 | |
| | 50,865,362 | | | Series 2007-S5-A1 | | | 6.00% | | | | 05/25/2037 | | | | 46,670,648 | |
| | 14,740,983 | | | Series 2007-S5-A8 | | | 6.00% | | | | 05/25/2037 | | | | 13,489,414 | |
| | 8,373,649 | | | Series 2007-S6-2A4 | | | 6.00% | | | | 06/25/2037 | | | | 7,601,607 | |
| | 42,331,949 | | | Series 2007-S7-A20 | | | 6.00% | | | | 07/25/2037 | | | | 38,526,222 | |
| | 17,285,388 | | | Series 2007-S8-1A1 | | | 6.00% | | | | 09/25/2037 | | | | 15,668,651 | |
| | 7,239,246 | | | Series 2007-SA1-4A | | | 6.03% | # | | | 02/25/2037 | | | | 6,516,747 | |
| | 16,686,183 | | | Series 2007-SA2-2A1 | | | 3.03% | # | | | 04/25/2037 | | | | 14,637,487 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | |
| | | | Saxon Asset Securities Trust, | | | | | |
| $ | 66,873,178 | | | Series 2006-3-A3 | | | 0.34% | # | | | 10/25/2046 | | | | 55,301,844 | |
| | |
| | | | Securitized Mortgage Asset Loan Trust, | | | | | |
| | 422,018,341 | | | Series 2015-1-PC | | | 2.19% | #^µ | | | 02/25/2054 | | | | 301,333,039 | |
| | |
| | | | Sequoia Mortgage Trust, | | | | | |
| | 344,728 | | | Series 2003-4-2A1 | | | 0.53% | # | | | 07/20/2033 | | | | 326,169 | |
| | 16,137,075 | | | Series 2013-2-A | | | 1.87% | # | | | 02/25/2043 | | | | 15,172,385 | |
| | |
| | | | Solstice Ltd., | | | | | |
| | 2,262,096 | | | Series 2003-3A-A2 | | | 1.37% | #^ | | | 09/15/2033 | | | | 2,262,322 | |
| | |
| | | | Soundview Home Equity Loan Trust, | | | | | |
| | 17,713,730 | | | Series 2007-NS1-A2 | | | 0.32% | # | | | 01/25/2037 | | | | 17,339,457 | |
| | |
| | | | Springleaf Mortgage Loan Trust, | | | | | |
| | 118,132,750 | | | Series 2013-1A-B3F | | | 6.00% | #^ | | | 06/25/2058 | | | | 119,276,511 | |
| | 61,983,000 | | | Series 2013-2A-B1 | | | 6.00% | #^ | | | 12/25/2065 | | | | 64,218,913 | |
| | |
| | | | STARM Mortgage Loan Trust, | | | | | |
| | 25,335,925 | | | Series 2007-2-1A1 | | | 2.71% | # | | | 04/25/2037 | | | | 21,549,015 | |
| | 13,190,786 | | | Series 2007-3-1A1 | | | 2.62% | # | | | 06/25/2037 | | | | 12,024,865 | |
| | |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
| | 11,550,801 | | | Series 2004-12-8A | | | 2.44% | # | | | 09/25/2034 | | | | 11,358,399 | |
| | 4,475,792 | | | Series 2006-1-8A1 | | | 5.27% | # | | | 02/25/2036 | | | | 3,439,610 | |
| | |
| | | | Structured Asset Securities Corporation, | | | | | |
| | 112,942 | | | Series 2003-18XS-A6 | | | 4.54% | # | | | 06/25/2033 | | | | 113,777 | |
| | 5,010,411 | | | Series 2003-24A-1A3 | | | 2.44% | # | | | 07/25/2033 | | | | 4,975,268 | |
| | 12,688,794 | | | Series 2003-35-1A1 | | | 5.21% | # | | | 12/25/2033 | | | | 13,236,240 | |
| | 5,056,120 | | | Series 2004-11XS-2A2 | | | 5.05% | # | | | 06/25/2034 | | | | 6,007,664 | |
| | 2,601,971 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 2,640,841 | |
| | 12,035,720 | | | Series 2004-22-A2 | | | 5.09% | # | | | 01/25/2035 | | | | 12,500,558 | |
| | 33,163,693 | | | Series 2005-10-1A1 | | | 5.75% | | | | 06/25/2035 | | | | 32,704,409 | |
| | 4,341,308 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 4,501,807 | |
| | 8,185,964 | | | Series 2005-13-3A1 | | | 6.00% | | | | 09/25/2035 | | | | 7,175,882 | |
| | 2,616,757 | | | Series 2005-14-1A1 | | | 0.47% | # | | | 07/25/2035 | | | | 2,324,104 | |
| | 915,370 | | | Series 2005-14-1A4 | | | 23.75% | # I/F | | | 07/25/2035 | | | | 1,266,121 | |
| | 52,728,773 | | | Series 2005-14-4A1 | | | 5.75% | | | | 07/25/2035 | | | | 51,945,197 | |
| | 5,162,670 | | | Series 2005-15-1A1 | | | 5.50% | | | | 08/25/2035 | | | | 5,416,758 | |
| | 10,430,433 | | | Series 2005-15-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 10,326,952 | |
| | 18,065,403 | | | Series 2005-15-3A1 | | | 4.95% | # | | | 08/25/2035 | | | | 17,929,931 | |
| | 10,381,512 | | | Series 2005-16-1A2 | | | 5.50% | | | | 09/25/2035 | | | | 10,662,343 | |
| | 12,452,128 | | | Series 2005-3-1A6 | | | 5.75% | | | | 03/25/2035 | | | | 12,111,363 | |
| | 2,989,953 | | | Series 2005-6-4A1 | | | 5.00% | | | | 05/25/2035 | | | | 3,041,600 | |
| | |
| | | | Suntrust Alternative Loan Trust, | | | | | |
| | 1,575,113 | | | Series 2005-1F-2A3 | | | 5.75% | | | | 12/25/2035 | | | | 1,413,825 | |
| | 2,570,220 | | | Series 2006-1F-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 2,061,278 | |
| | |
| | | | Thornburg Mortgage Securities Trust, | | | | | |
| | 1,345,694 | | | Series 2003-6-A2 | | | 1.17% | # | | | 12/25/2033 | | | | 1,250,068 | |
| | 9,455,673 | | | Series 2004-4-5A | | | 2.47% | # | | | 12/25/2044 | | | | 9,258,773 | |
| | 26,497,630 | | | Series 2007-1-A1 | | | 1.47% | # | | | 03/25/2037 | | | | 25,259,078 | |
| | 6,620,391 | | | Series 2007-1-A2A | | | 1.47% | # | | | 03/25/2037 | | | | 5,922,800 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 10,157,119 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 9,700,881 | |
| | 5,208,095 | | | Series 2005-4-5A1 | | | 5.50% | | | | 06/25/2035 | | | | 5,016,112 | |
| | 1,827,037 | | | Series 2005-5-CB12 | | | 48.69% | # I/F | | | 07/25/2035 | | | | 3,469,324 | |
| | 5,916,394 | | | Series 2005-5-CB6 | | | 0.77% | # | | | 07/25/2035 | | | | 4,679,513 | |
| | 1,936,860 | | | Series 2005-6-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 1,871,864 | |
| | 1,949,076 | | | Series 2005-7-3CB | | | 6.50% | | | | 08/25/2035 | | | | 1,567,997 | |
| | 25,240,172 | | | Series 2005-8-1A2 | | | 5.50% | | | | 10/25/2035 | | | | 23,714,000 | |
| | 19,449,598 | | | Series 2005-9-2A2 | | | 5.50% | | | | 11/25/2035 | | | | 17,822,503 | |
| | 4,813,671 | | | Series 2005-9-CX | | | 5.50% | I/O | | | 11/25/2035 | | | | 1,147,213 | |
| | 7,968,821 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 7,316,055 | |
| | 4,033,292 | | | Series 2006-1-3A2 | | | 5.75% | | | | 02/25/2036 | | | | 3,703,554 | |
| | 3,427,399 | | | Series 2006-1-3A7 | | | 5.75% | | | | 02/25/2036 | | | | 3,145,989 | |
| | 4,302,643 | | | Series 2006-5-1A8 | | | 5.75% | | | | 07/25/2036 | | | | 3,500,135 | |
| | 7,963,823 | | | Series 2006-5-2CB1 | | | 6.00% | | | | 07/25/2036 | | | | 6,102,542 | |
| | 14,465,653 | | | Series 2006-5-2CB6 | | | 6.00% | | | | 07/25/2036 | | | | 11,084,784 | |
| | 8,527,767 | | | Series 2006-5-3A5 | | | 6.45% | # | | | 07/25/2036 | | | | 4,743,912 | |
| | 5,245,038 | | | Series 2006-9-A7 | | | 5.13% | # | | | 10/25/2036 | | | | 3,360,155 | |
| | 17,751,643 | | | Series 2006-AR10-1A1 | | | 2.24% | # | | | 09/25/2036 | | | | 16,091,652 | |
| | 26,490,958 | | | Series 2006-AR15-1A | | | 0.97% | # | | | 11/25/2046 | | | | 22,303,718 | |
| | 2,289,975 | | | Series 2006-AR6-2A3 | | | 4.48% | # | | | 08/25/2036 | | | | 2,090,591 | |
| | 22,010,587 | | | Series 2007-2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 18,913,191 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 25 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, (Cont.) | |
| $ | 22,512,790 | | | Series 2007-2-1A6 | | | 6.00% | | | | 04/25/2037 | | | | 19,344,723 | |
| | 16,444,187 | | | Series 2007-3-A3 | | | 6.00% | | | | 04/25/2037 | | | | 14,138,976 | |
| | 14,182,352 | | | Series 2007-4-1A1 | | | 5.50% | | | | 06/25/2037 | | | | 13,426,376 | |
| | 704,276 | | | Series 2007-5-A11 | | | 38.44% | # I/F | | | 06/25/2037 | | | | 1,373,361 | |
| | 17,606,905 | | | Series 2007-5-A6 | | | 6.00% | | | | 06/25/2037 | | | | 15,468,793 | |
| | 33,979,414 | | | Series 2007-HY3-4A1 | | | 2.36% | # | | | 03/25/2037 | | | | 32,314,253 | |
| | 31,866,180 | | | Series 2007-HY5-1A1 | | | 1.98% | # | | | 05/25/2037 | | | | 28,794,918 | |
| | 27,270,146 | | | Series 2007-HY6-2A3 | | | 2.15% | # | | | 06/25/2037 | | | | 24,564,266 | |
| | |
| | | | Wells Fargo Alternative Loan Trust, | | | | | |
| | 3,359,097 | | | Series 2007-PA1-A10 | | | 6.00% | | | | 03/25/2037 | | | | 2,895,081 | |
| | 14,749,052 | | | Series 2007-PA1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 12,711,663 | |
| | 12,716,910 | | | Series 2007-PA1-A5 | | | 6.00% | | | | 03/25/2037 | | | | 10,960,234 | |
| | 20,842,378 | | | Series 2007-PA1-A6 | | | 6.00% | | | | 03/25/2037 | | | | 17,963,274 | |
| | 100,299,153 | | | Series 2007-PA2-1A1 | | | 6.00% | | | | 06/25/2037 | | | | 98,196,983 | |
| | 14,187,238 | | | Series 2007-PA2-3A1 | | | 0.52% | # | | | 06/25/2037 | | | | 10,270,383 | |
| | 20,899,999 | | | Series 2007-PA2-3A2 | | | 6.48% | # I/F I/O | | | 06/25/2037 | | | | 5,099,683 | |
| | 1,467,200 | | | Series 2007-PA3-1A4 | | | 5.75% | | | | 07/25/2037 | | | | 1,340,749 | |
| | 34,697,256 | | | Series 2007-PA3-2A1 | | | 6.00% | | | | 07/25/2037 | | | | 33,807,566 | |
| | 13,785,442 | | | Series 2007-PA3-2A4 | | | 6.00% | | | | 07/25/2037 | | | | 13,431,963 | |
| | 22,391,892 | | | Series 2007-PA3-3A1 | | | 6.25% | | | | 07/25/2037 | | | | 20,459,897 | |
| | 13,384,783 | | | Series 2007-PA3-4A3 | | | 6.50% | | | | 07/25/2037 | | | | 11,027,228 | |
| | 172,126,488 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 167,727,709 | |
| | 1,102,050 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 1,135,125 | |
| | |
| | | | Wells Fargo Mortgage Backed Securities Trust, | | | | | |
| | 27,337,843 | | | Series 2004-Y-3A3 | | | 2.60% | # | | | 11/25/2034 | | | | 28,036,639 | |
| | 55,017,727 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 56,181,737 | |
| | 205,340 | | | Series 2005-4-A7 | | | 23.20% | # I/F | | | 04/25/2035 | | | | 240,737 | |
| | 4,842,828 | | | Series 2005-8-A1 | | | 5.50% | | | | 10/25/2035 | | | | 5,048,202 | |
| | 4,004,686 | | | Series 2005-AR16-6A4 | | | 2.61% | # | | | 10/25/2035 | | | | 3,860,235 | |
| | 10,142,385 | | | Series 2006-12-A3 | | | 6.00% | | | | 10/25/2036 | | | | 9,911,128 | |
| | 12,189,682 | | | Series 2006-14-A1 | | | 6.00% | | | | 10/25/2036 | | | | 12,206,857 | |
| | 14,678,766 | | | Series 2006-15-A1 | | | 6.00% | | | | 11/25/2036 | | | | 14,214,815 | |
| | 9,787,789 | | | Series 2006-16-A2 | | | 5.00% | | | | 11/25/2036 | | | | 10,095,057 | |
| | 168,055 | | | Series 2006-2-1A4 | | | 18.91% | # I/F | | | 03/25/2036 | | | | 221,748 | |
| | 8,243,981 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 8,504,829 | |
| | 33,321,799 | | | Series 2006-3-A11 | | | 5.50% | | | | 03/25/2036 | | | | 34,686,261 | |
| | 6,411,255 | | | Series 2006-3-A6 | | | 5.50% | | | | 03/25/2036 | | | | 6,537,861 | |
| | 527,834 | | | Series 2006-4-2A2 | | | 5.50% | | | | 04/25/2036 | | | | 515,332 | |
| | 6,886,437 | | | Series 2006-6-2A1 | | | 0.57% | # | | | 05/25/2036 | | | | 5,721,851 | |
| | 6,886,437 | | | Series 2006-6-2A2 | | | 6.93% | # I/F I/O | | | 05/25/2036 | | | | 1,460,551 | |
| | 4,040,788 | | | Series 2006-9-2A1 | | | 0.00% | P/O | | | 08/25/2036 | | | | 2,046,855 | |
| | 4,040,788 | | | Series 2006-9-2A2 | | | 6.00% | I/O | | | 08/25/2036 | | | | 761,987 | |
| | 17,143,508 | | | Series 2006-AR12-1A1 | | | 2.49% | # | | | 09/25/2036 | | | | 16,043,221 | |
| | 9,178,438 | | | Series 2006-AR13-A2 | | | 2.61% | # | | | 09/25/2036 | | | | 8,721,297 | |
| | 9,693,035 | | | Series 2006-AR4-2A1 | | | 5.65% | # | | | 04/25/2036 | | | | 9,670,256 | |
| | 3,398,805 | | | Series 2007-10-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 3,353,574 | |
| | 6,005,313 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 5,756,492 | |
| | 3,483,514 | | | Series 2007-11-A14 | | | 6.00% | | | | 08/25/2037 | | | | 3,447,731 | |
| | 6,952,731 | | | Series 2007-11-A36 | | | 6.00% | | | | 08/25/2037 | | | | 6,881,312 | |
| | 4,941,090 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 4,890,335 | |
| | 61,174,371 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 62,263,489 | |
| | 36,847,734 | | | Series 2007-2-1A1 | | | 6.00% | | | | 03/25/2037 | | | | 36,020,484 | |
| | 2,132,492 | | | Series 2007-2-1A18 | | | 5.75% | | | | 03/25/2037 | | | | 2,068,355 | |
| | 4,802,936 | | | Series 2007-2-1A9 | | | 6.00% | | | | 03/25/2037 | | | | 4,695,108 | |
| | 2,455,453 | | | Series 2007-2-3A2 | | | 5.25% | | | | 03/25/2037 | | | | 2,522,128 | |
| | 3,622,582 | | | Series 2007-3-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 3,666,992 | |
| | 3,790,747 | | | Series 2007-4-A11 | | | 6.50% | | | | 04/25/2037 | | | | 3,796,676 | |
| | 14,561,560 | | | Series 2007-4-A15 | | | 6.00% | | | | 04/25/2037 | | | | 14,341,702 | |
| | 8,589,068 | | | Series 2007-4-A3 | | | 6.00% | | | | 04/25/2037 | | | | 8,459,386 | |
| | 9,058,323 | | | Series 2007-4-A8 | | | 6.00% | | | | 04/25/2037 | | | | 8,921,556 | |
| | 2,403,622 | | | Series 2007-5-1A6 | | | 23.75% | # I/F | | | 05/25/2037 | | | | 3,211,171 | |
| | 11,365,281 | | | Series 2007-6-A4 | | | 6.00% | | | | 05/25/2037 | | | | 11,348,551 | |
| | 5,430,884 | | | Series 2007-6-A6 | | | 6.00% | | | | 05/25/2037 | | | | 5,422,890 | |
| | 16,321,191 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 16,569,037 | |
| | 1,135,107 | | | Series 2007-7-A32 | | | 5.75% | | | | 06/25/2037 | | | | 1,141,290 | |
| | 36,754,121 | | | Series 2007-7-A34 | | | 6.00% | | | | 06/25/2037 | | | | 37,312,251 | |
| | 9,914,035 | | | Series 2007-7-A36 | | | 6.00% | | | | 06/25/2037 | | | | 10,064,585 | |
| | 3,385,472 | | | Series 2007-7-A43 | | | 0.67% | # | | | 06/25/2037 | | | | 2,960,724 | |
| | 9,249,038 | | | Series 2007-7-A49 | | | 6.00% | | | | 06/25/2037 | | | | 9,389,490 | |
| | 3,915,553 | | | Series 2007-7-A8 | | | 0.67% | # | | | 06/25/2037 | | | | 3,424,300 | |
| | 1,766,375 | | | Series 2007-7-A9 | | | 37.96% | # I/F | | | 06/25/2037 | | | | 3,038,944 | |
| | 2,655,462 | | | Series 2007-8-1A13 | | | 0.54% | # | | | 07/25/2037 | | | | 2,338,525 | |
| | 2,655,462 | | | Series 2007-8-1A14 | | | 38.74% | # I/F | | | 07/25/2037 | | | | 4,788,377 | |
| | 43,151,259 | | | Series 2007-8-1A16 | | | 6.00% | | | | 07/25/2037 | | | | 43,717,555 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, (Cont.) | |
| $ | 28,794,171 | | | Series 2007-8-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 28,582,131 | |
| | 4,070,660 | | | Series 2007-8-1A20 | | | 6.00% | | | | 07/25/2037 | | | | 4,124,081 | |
| | 18,218,392 | | | Series 2007-8-1A22 | | | 6.00% | | | | 07/25/2037 | | | | 18,457,481 | |
| | 12,657,683 | | | Series 2007-8-1A3 | | | 6.00% | | | | 07/25/2037 | | | | 12,564,471 | |
| | 15,412,402 | | | Series 2007-8-2A9 | | | 6.00% | | | | 07/25/2037 | | | | 15,760,122 | |
| | 8,764,397 | | | Series 2007-9-1A5 | | | 5.50% | | | | 07/25/2037 | | | | 8,955,859 | |
| | 78,588,812 | | | Series 2007-AR9-A1 | | | 6.00% | # | | | 12/28/2037 | | | | 77,812,472 | |
| | |
| | | | Wells Fargo Mortgage Loan Trust, | | | | | |
| | 16,339,857 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 16,431,334 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $10,729,651,007) | | | | 10,819,712,248 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 49.9% | |
| | |
| | | | Federal Home Loan Mortgage Corporation, | | | | | |
| | 18,327,636 | | | Pool C03490 | | | 4.50% | | | | 08/01/2040 | | | | 20,013,506 | |
| | 93,770,864 | | | Pool C91388 | | | 3.50% | | | | 02/01/2032 | | | | 99,004,956 | |
| | 48,360,593 | | | Pool C91403 | | | 3.50% | | | | 03/01/2032 | | | | 51,050,987 | |
| | 48,664,353 | | | Pool C91413 | | | 3.50% | | | | 12/01/2031 | | | | 51,373,173 | |
| | 24,283,762 | | | Pool C91417 | | | 3.50% | | | | 01/01/2032 | | | | 25,639,824 | |
| | 97,221,442 | | | Pool C91447 | | | 3.50% | | | | 05/01/2032 | | | | 102,661,047 | |
| | 102,208,504 | | | Pool C91594 | | | 3.00% | | | | 01/01/2033 | | | | 105,779,877 | |
| | 29,340,935 | | | Pool C91596 | | | 3.00% | | | | 02/01/2033 | | | | 30,368,045 | |
| | 16,146,980 | | | Pool D98901 | | | 3.50% | | | | 01/01/2032 | | | | 17,040,169 | |
| | 47,173,841 | | | Pool D98923 | | | 3.50% | | | | 01/01/2032 | | | | 49,801,026 | |
| | 38,383,511 | | | Pool D99724 | | | 3.00% | | | | 11/01/2032 | | | | 39,727,620 | |
| | 45,271,649 | | | Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 50,425,189 | |
| | 10,174,991 | | | Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 11,270,614 | |
| | 26,939,421 | | | Pool G06172 | | | 5.50% | | | | 12/01/2038 | | | | 30,237,709 | |
| | 36,530,245 | | | Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 41,481,839 | |
| | 49,710,926 | | | Pool G07011 | | | 6.00% | | | | 05/01/2040 | | | | 56,504,102 | |
| | 35,254,310 | | | Pool G07801 | | | 4.00% | | | | 10/01/2044 | | | | 38,013,931 | |
| | 73,413,024 | | | Pool G07862 | | | 4.00% | | | | 01/01/2044 | | | | 79,159,280 | |
| | 81,469,830 | | | Pool G07905 | | | 4.00% | | | | 01/01/2042 | | | | 87,514,192 | |
| | 109,486,534 | | | Pool G08534 | | | 3.00% | | | | 06/01/2043 | | | | 111,970,742 | |
| | 34,873,897 | | | Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 35,657,099 | |
| | 97,300,332 | | | Pool G08614 | | | 3.00% | | | | 11/01/2044 | | | | 99,409,428 | |
| | 112,671,367 | | | Pool G08619 | | | 3.00% | | | | 12/01/2044 | | | | 115,113,648 | |
| | 143,879,004 | | | Pool G08622 | | | 3.00% | | | | 01/01/2045 | | | | 146,997,745 | |
| | 266,133,712 | | | Pool G08626 | | | 3.00% | | | | 02/01/2045 | | | | 271,902,463 | |
| | 137,000,000 | | | Pool G08631 | | | 3.00% | | | | 03/01/2045 | | | | 139,969,631 | |
| | 169,172,508 | | | Pool J22834 | | | 2.50% | | | | 03/01/2028 | | | | 173,824,958 | |
| | 162,200,785 | | | Pool Q16672 | | | 3.00% | | | | 03/01/2043 | | | | 165,919,790 | |
| | 10,360,463 | | | Pool Q23595 | | | 4.00% | | | | 12/01/2043 | | | | 11,230,685 | |
| | 13,834,826 | | | Pool Q24052 | | | 4.00% | | | | 01/01/2044 | | | | 14,996,904 | |
| | 11,859,531 | | | Pool Q24172 | | | 4.00% | | | | 01/01/2044 | | | | 12,860,975 | |
| | 9,725,243 | | | Pool Q24979 | | | 4.00% | | | | 02/01/2044 | | | | 10,546,543 | |
| | 79,839,482 | | | Pool Q31596 | | | 3.50% | | | | 02/01/2045 | | | | 83,809,431 | |
| | 16,931,751 | | | Pool T60392 | | | 4.00% | | | | 10/01/2041 | | | | 17,759,541 | |
| | 14,143,828 | | | Pool T60681 | | | 4.00% | | | | 05/01/2042 | | | | 14,837,307 | |
| | 39,195,072 | | | Pool T60782 | | | 3.50% | | | | 07/01/2042 | | | | 40,540,812 | |
| | 58,352,998 | | | Pool T60853 | | | 3.50% | | | | 09/01/2042 | | | | 60,349,002 | |
| | 51,239,276 | | | Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 52,975,608 | |
| | 5,741,512 | | | Pool T65110 | | | 3.50% | | | | 10/01/2042 | | | | 5,938,445 | |
| | 13,708,968 | | | Pool T69016 | | | 5.00% | | | | 06/01/2041 | | | | 14,912,360 | |
| | 888,652 | | | Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 968,839 | |
| | 3,545,876 | | | Series 2519-ZD | | | 5.50% | | | | 11/15/2032 | | | | 3,905,183 | |
| | 2,175,457 | | | Series 2596-ZL | | | 5.00% | | | | 04/15/2033 | | | | 2,419,705 | |
| | 76,814,403 | | | Series 267-30 | | | 3.00% | | | | 08/15/2042 | | | | 78,708,772 | |
| | 1,084,344 | | | Series 2684-ZN | | | 4.00% | | | | 10/15/2033 | | | | 1,164,481 | |
| | 140,831,986 | | | Series 269-30 | | | 3.00% | | | | 08/15/2042 | | | | 144,439,000 | |
| | 62,337,869 | | | Series 274-30 | | | 3.00% | | | | 08/15/2042 | | | | 63,927,593 | |
| | 7,127,233 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 7,936,006 | |
| | 170,652,729 | | | Series 280-30 | | | 3.00% | | | | 09/15/2042 | | | | 174,987,505 | |
| | 28,492,374 | | | Series 2819-MS | | | 6.30% | # I/F I/O | | | 06/15/2040 | | | | 5,016,424 | |
| | 13,466,826 | | | Series 2825-PZ | | | 5.50% | | | | 07/15/2034 | | | | 15,234,381 | |
| | 41,920,547 | | | Series 284-300 | | | 3.00% | | | | 10/15/2042 | | | | 42,867,727 | |
| | 11,632,754 | | | Series 2898-JZ | | | 5.00% | | | | 12/15/2034 | | | | 12,949,332 | |
| | 22,673,937 | | | Series 2899-AZ | | | 5.00% | | | | 12/15/2034 | | | | 25,225,220 | |
| | 18,644,472 | | | Series 2909-Z | | | 5.00% | | | | 12/15/2034 | | | | 20,756,368 | |
| | 33,978,227 | | | Series 2932-Z | | | 5.00% | | | | 02/15/2035 | | | | 37,786,031 | |
| | 3,105,994 | | | Series 2990-JL | | | 6.48% | # I/F I/O | | | 03/15/2035 | | | | 371,544 | |
| | | | | | |
| 26 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 9,958,486 | | | Series 3002-SN | | | 6.33% | # I/F I/O | | | 07/15/2035 | | | | 1,840,268 | |
| | 6,649,370 | | | Series 3030-SL | | | 5.93% | # I/F I/O | | | 09/15/2035 | | | | 976,317 | |
| | 2,025,190 | | | Series 3045-DI | | | 6.56% | # I/F I/O | | | 10/15/2035 | | | | 390,009 | |
| | 17,305,511 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 19,525,921 | |
| | 3,990,504 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 4,296,769 | |
| | 8,495,353 | | | Series 3174-PZ | | | 5.00% | | | | 01/15/2036 | | | | 9,435,224 | |
| | 2,225,038 | | | Series 3187-JZ | | | 5.00% | | | | 07/15/2036 | | | | 2,474,418 | |
| | 5,613,931 | | | Series 3188-ZK | | | 5.00% | | | | 07/15/2036 | | | | 6,248,634 | |
| | 8,393,897 | | | Series 3203-SE | | | 6.33% | # I/F I/O | | | 08/15/2036 | | | | 1,423,781 | |
| | 14,740,716 | | | Series 3203-Z | | | 5.00% | | | | 07/15/2036 | | | | 16,387,416 | |
| | 23,356,768 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 25,965,976 | |
| | 9,688,552 | | | Series 3261-SA | | | 6.26% | # I/F I/O | | | 01/15/2037 | | | | 1,843,184 | |
| | 9,091,326 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 9,925,914 | |
| | 13,583,672 | | | Series 3275-SC | | | 5.91% | # I/F I/O | | | 02/15/2037 | | | | 1,869,860 | |
| | 8,050,410 | | | Series 3315-HZ | | | 6.00% | | | | 05/15/2037 | | | | 8,953,610 | |
| | 23,503,704 | | | Series 3326-GS | | | 6.48% | # I/F I/O | | | 06/15/2037 | | | | 3,207,550 | |
| | 2,476,239 | | | Series 3351-ZC | | | 5.50% | | | | 07/15/2037 | | | | 2,783,627 | |
| | 21,657,304 | | | Series 3355-BI | | | 5.88% | # I/F I/O | | | 08/15/2037 | | | | 3,619,564 | |
| | 2,143,655 | | | Series 3369-Z | | | 6.00% | | | | 09/15/2037 | | | | 2,425,049 | |
| | 7,531,181 | | | Series 3405-ZG | | | 5.50% | | | | 01/15/2038 | | | | 8,308,911 | |
| | 10,034,128 | | | Series 3417-SI | | | 6.01% | # I/F I/O | | | 02/15/2038 | | | | 1,111,867 | |
| | 13,970,325 | | | Series 3423-GS | | | 5.48% | # I/F I/O | | | 03/15/2038 | | | | 1,436,820 | |
| | 2,294,074 | | | Series 3423-SG | | | 5.48% | # I/F I/O | | | 03/15/2038 | | | | 252,236 | |
| | 2,843,340 | | | Series 3451-S | | | 5.86% | # I/F I/O | | | 02/15/2037 | | | | 389,280 | |
| | 3,087,846 | | | Series 3455-SC | | | 5.89% | # I/F I/O | | | 06/15/2038 | | | | 361,885 | |
| | 2,444,431 | | | Series 3473-SM | | | 5.90% | # I/F I/O | | | 07/15/2038 | | | | 337,201 | |
| | 11,753,993 | | | Series 3484-SE | | | 5.68% | # I/F I/O | | | 08/15/2038 | | | | 1,925,474 | |
| | 10,170,111 | | | Series 3519-SD | | | 5.38% | # I/F I/O | | | 02/15/2038 | | | | 1,607,986 | |
| | 4,174,943 | | | Series 3524-LB | | | 4.79% | # | | | 06/15/2038 | | | | 4,271,038 | |
| | 194,404 | | | Series 3530-GZ | | | 4.50% | | | | 05/15/2039 | | | | 202,707 | |
| | 17,116,600 | | | Series 3541-EI | | | 6.58% | # I/F I/O | | | 06/15/2039 | | | | 3,023,647 | |
| | 5,119,158 | | | Series 3545-SA | | | 5.98% | # I/F I/O | | | 06/15/2039 | | | | 532,113 | |
| | 2,129,559 | | | Series 3549-SA | | | 5.63% | # I/F I/O | | | 07/15/2039 | | | | 210,330 | |
| | 18,875,920 | | | Series 3577-LS | | | 7.03% | # I/F I/O | | | 08/15/2035 | | | | 3,840,306 | |
| | 4,354,380 | | | Series 3582-SA | | | 5.83% | #I/F I/O | | | 10/15/2049 | | | | 516,303 | |
| | 5,760,089 | | | Series 3583-GB | | | 4.50% | | | | 10/15/2039 | | | | 6,300,310 | |
| | 36,066,356 | | | Series 3606-CS | | | 6.18% | # I/F I/O | | | 12/15/2039 | | | | 7,876,567 | |
| | 9,201,520 | | | Series 3616-SG | | | 6.18% | # I/F I/O | | | 03/15/2032 | | | | 1,493,329 | |
| | 16,036,419 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 17,708,713 | |
| | 4,143,817 | | | Series 3631-SE | | | 6.23% | # I/F I/O | | | 05/15/2039 | | | | 223,861 | |
| | 21,356,152 | | | Series 3641-Z | | | 5.50% | | | | 02/15/2036 | | | | 24,119,660 | |
| | 20,448,656 | | | Series 3654-ZB | | | 5.50% | | | | 11/15/2037 | | | | 22,650,220 | |
| | 44,921,636 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 50,033,965 | |
| | 6,501,903 | | | Series 3667-SB | | | 6.28% | # I/F I/O | | | 05/15/2040 | | | | 766,860 | |
| | 2,819,998 | | | Series 3688-CM | | | 4.00% | | | | 07/15/2029 | | | | 2,829,712 | |
| | 17,140,483 | | | Series 3702-SG | | | 5.88% | # I/F I/O | | | 08/15/2032 | | | | 2,731,902 | |
| | 7,271,921 | | | Series 3704-EI | | | 5.00% | I/O | | | 12/15/2036 | | | | 1,060,940 | |
| | 3,741,293 | | | Series 3712-SG | | | 24.14% | # I/F | | | 08/15/2040 | | | | 6,238,991 | |
| | 13,674,914 | | | Series 3724-CM | | | 5.50% | | | | 06/15/2037 | | | | 15,360,306 | |
| | 128,144,092 | | | Series 3725-CS | | | 5.83% | # I/F I/O | | | 05/15/2040 | | | | 19,368,723 | |
| | 42,906,016 | | | Series 3726-SA | | | 5.88% | # I/F I/O | | | 09/15/2040 | | | | 6,843,789 | |
| | 98,000,000 | | | Series 3738-BP | | | 4.00% | | | | 12/15/2038 | | | | 105,147,287 | |
| | 5,925,303 | | | Series 3741-SC | | | 9.65% | # I/F | | | 10/15/2040 | | | | 6,814,049 | |
| | 238,477 | | | Series 3745-SY | | | 9.65% | # I/F | | | 10/15/2040 | | | | 246,796 | |
| | 36,493,515 | | | Series 3752-BS | | | 9.66% | # I/F | | | 11/15/2040 | | | | 39,765,797 | |
| | 1,883,625 | | | Series 3758-SM | | | 9.66% | # I/F | | | 11/15/2040 | | | | 1,923,063 | |
| | 14,834,643 | | | Series 3768-ZX | | | 5.00% | | | | 12/15/2040 | | | | 17,643,070 | |
| | 15,734,049 | | | Series 3771-AL | | | 4.00% | | | | 12/15/2030 | | | | 16,921,671 | |
| | 18,761,630 | | | Series 3779-BY | | | 3.50% | | | | 12/15/2030 | | | | 20,304,455 | |
| | 27,008,604 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 28,689,700 | |
| | 24,250,000 | | | Series 3779-LB | | | 4.00% | | | | 12/15/2030 | | | | 26,160,015 | |
| | 2,689,783 | | | Series 3779-SH | | | 9.45% | # I/F | | | 12/15/2040 | | | | 2,852,797 | |
| | 3,500,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 3,805,632 | |
| | 15,000,000 | | | Series 3783-AC | | | 4.00% | | | | 01/15/2031 | | | | 16,829,453 | |
| | 14,119,194 | | | Series 3786-SG | | | 9.15% | # I/F | | | 01/15/2041 | | | | 14,921,701 | |
| | 11,731,674 | | | Series 3788-AY | | | 3.50% | | | | 01/15/2031 | | | | 12,422,417 | |
| | 11,148,285 | | | Series 3790-Z | | | 4.00% | | | | 01/15/2041 | | | | 12,295,454 | |
| | 11,810,330 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 12,554,198 | |
| | 801,268 | | | Series 3798-SD | | | 9.25% | # I/F | | | 12/15/2040 | | | | 850,638 | |
| | 18,658,629 | | | Series 3800-VZ | | | 4.50% | | | | 02/15/2041 | | | | 21,564,692 | |
| | 12,766,928 | | | Series 3803-ZM | | | 4.00% | | | | 02/15/2041 | | | | 13,920,656 | |
| | 71,316,053 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 81,128,073 | |
| | 18,000,000 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 19,052,415 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 15,277,557 | | | Series 3812-EY | | | 3.50% | | | | 02/15/2031 | | | | 16,161,944 | |
| | 13,164,958 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 14,435,548 | |
| | 19,927,208 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 22,212,062 | |
| | 35,500,000 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 38,432,336 | |
| | 3,350,433 | | | Series 3828-SW | | | 12.68% | # I/F | | | 02/15/2041 | | | | 3,725,653 | |
| | 15,251,583 | | | Series 3829-VZ | | | 4.00% | | | | 03/15/2041 | | | | 16,219,425 | |
| | 6,079,147 | | | Series 3843-PZ | | | 5.00% | | | | 04/15/2041 | | | | 7,348,366 | |
| | 398,201 | | | Series 3843-SC | | | 12.83% | # I/F | | | 04/15/2041 | | | | 406,102 | |
| | 2,455,347 | | | Series 3845-LS | | | 12.83% | # I/F | | | 03/15/2041 | | | | 2,537,868 | |
| | 60,677,187 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 67,295,429 | |
| | 10,229,000 | | | Series 3870-PB | | | 4.50% | | | | 06/15/2041 | | | | 11,383,123 | |
| | 75,067,438 | | | Series 3871-LZ | | | 5.50% | | | | 06/15/2041 | | | | 88,952,211 | |
| | 38,762,072 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 40,746,593 | |
| | 30,140,854 | | | Series 3877-EY | | | 4.50% | | | | 06/15/2041 | | | | 32,634,573 | |
| | 12,378,000 | | | Series 3877-GY | | | 4.50% | | | | 06/15/2041 | | | | 13,537,608 | |
| | 54,044,637 | | | Series 3877-ZU | | | 4.50% | | | | 06/15/2041 | | | | 59,381,599 | |
| | 30,678,666 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 32,878,741 | |
| | 18,864,467 | | | Series 3888-ZU | | | 4.50% | | | | 06/15/2041 | | | | 21,585,752 | |
| | 17,103,001 | | | Series 3900-SB | | | 5.80% | # I/F I/O | | | 07/15/2041 | | | | 2,458,069 | |
| | 41,018,692 | | | Series 3901-VZ | | | 4.00% | | | | 07/15/2041 | | | | 43,355,280 | |
| | 21,523,948 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 24,524,419 | |
| | 9,566,199 | | | Series 3910-ZE | | | 5.00% | | | | 10/15/2034 | | | | 10,585,765 | |
| | 12,330,000 | | | Series 3919-KL | | | 4.50% | | | | 09/15/2041 | | | | 13,820,327 | |
| | 27,732,561 | | | Series 3919-ZJ | | | 4.00% | | | | 09/15/2041 | | | | 29,337,070 | |
| | 528,299 | | | Series 3924-US | | | 9.22% | # I/F | | | 09/15/2041 | | | | 573,716 | |
| | 7,520,231 | | | Series 3942-JZ | | | 4.00% | | | | 10/15/2041 | | | | 7,884,733 | |
| | 11,461,854 | | | Series 3944-AZ | | | 4.00% | | | | 10/15/2041 | | | | 12,263,588 | |
| | 14,156,950 | | | Series 3946-SM | | | 14.18% | # I/F | | | 10/15/2041 | | | | 15,833,041 | |
| | 7,864,878 | | | Series 3957-DZ | | | 3.50% | | | | 11/15/2041 | | | | 7,795,596 | |
| | 10,000,000 | | | Series 3964-VM | | | 4.00% | | | | 11/15/2034 | | | | 10,867,975 | |
| | 50,113,761 | | | Series 3969-AB | | | 4.00% | | | | 10/15/2033 | | | | 53,598,722 | |
| | 11,170,285 | | | Series 3982-AZ | | | 3.50% | | | | 01/15/2042 | | | | 11,227,298 | |
| | 56,123,978 | | | Series 3990-ZA | | | 3.50% | | | | 01/15/2042 | | | | 57,855,459 | |
| | 16,965,442 | | | Series 3999-EZ | | | 4.00% | | | | 02/15/2042 | | | | 18,407,199 | |
| | 47,503,236 | | | Series 3999-ZB | | | 4.00% | | | | 02/15/2042 | | | | 50,891,737 | |
| | 26,934,254 | | | Series 4016-KZ | | | 4.00% | | | | 03/15/2042 | | | | 29,093,829 | |
| | 32,927,925 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 32,400,733 | |
| | 66,964,433 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 73,027,962 | |
| | 66,719,713 | | | Series 4084-TZ | | | 4.00% | | | | 07/15/2042 | | | | 73,089,510 | |
| | 15,106,205 | | | Series 4097-TG | | | 2.00% | | | | 05/15/2039 | | | | 15,148,494 | |
| | 37,700,262 | | | Series 4097-ZA | | | 3.50% | | | | 08/15/2042 | | | | 39,165,502 | |
| | 97,063,000 | | | Series 4109-GE | | | 4.50% | | | | 10/15/2041 | | | | 108,384,525 | |
| | 57,575,472 | | | Series 4109-KD | | | 3.00% | | | | 05/15/2032 | | | | 59,265,168 | |
| | 5,549,427 | | | Series 4121-AV | | | 3.00% | | | | 12/15/2035 | | | | 5,695,502 | |
| | 81,795,776 | | | Series 4160-HP | | | 2.50% | | | | 01/15/2033 | | | | 84,022,093 | |
| | 27,080,057 | | | Series 4162-ZJ | | | 3.00% | | | | 02/15/2033 | | | | 26,817,773 | |
| | 38,665,927 | | | Series 4174-Z | | | 3.50% | | | | 03/15/2043 | | | | 40,866,154 | |
| | 95,643,115 | | | Series 4179-AZ | | | 4.00% | | | | 01/15/2041 | | | | 105,771,003 | |
| | 28,651,706 | | | Series 4183-ZB | | | 3.00% | | | | 03/15/2043 | | | | 28,088,098 | |
| | 23,756,541 | | | Series 4186-ZJ | | | 3.00% | | | | 03/15/2033 | | | | 23,009,267 | |
| | 13,000,000 | | | Series 4189-ML | | | 3.00% | | | | 04/15/2038 | | | | 13,112,392 | |
| | 212,986,521 | | | Series 4212-US | | | 5.19% | # I/F | | | 06/15/2043 | | | | 213,708,439 | |
| | 92,749,099 | | | Series 4223-US | | | 5.22% | # I/F | | | 07/15/2043 | | | | 91,266,458 | |
| | 26,853,463 | | | Series 4229-TZ | | | 3.00% | | | | 06/15/2043 | | | | 25,651,556 | |
| | 19,965,044 | | | Series 4250-BZ | | | 3.00% | | | | 09/15/2033 | | | | 19,621,835 | |
| | 19,758,338 | | | Series 4267-BZ | | | 4.00% | | | | 10/15/2040 | | | | 21,473,193 | |
| | 134,514,402 | | | Series 4323-GA | | | 3.00% | | | | 06/15/2040 | | | | 140,121,500 | |
| | 46,926,085 | | | Series 4360-KA | | | 3.00% | | | | 05/15/2040 | | | | 48,728,516 | |
| | 77,845,805 | | | Series 4375-CG | | | 3.00% | | | | 04/15/2039 | | | | 81,387,244 | |
| | 13,738,029 | | | Series 4376-GZ | | | 3.00% | | | | 08/15/2044 | | | | 12,986,435 | |
| | 43,676,516 | | | Series 4377-LZ | | | 3.00% | | | | 08/15/2044 | | | | 41,159,788 | |
| | 53,111,388 | | | Series 4377-UZ | | | 3.00% | | | | 08/15/2044 | | | | 51,798,394 | |
| | 38,029,090 | | | Series 4384-A | | | 3.00% | | | | 12/15/2040 | | | | 39,266,423 | |
| | 23,874,309 | | | Series 4384-ZY | | | 3.00% | | | | 09/15/2044 | | | | 22,620,633 | |
| | 13,345,342 | | | Series 4386-US | | | 7.84% | # I/F | | | 09/15/2044 | | | | 13,522,041 | |
| | 310,055,016 | | | Series 4390-NY | | | 3.00% | | | | 06/15/2040 | | | | 323,963,154 | |
| | 120,999,212 | | | Series 4390-NZ | | | 3.00% | | | | 09/15/2044 | | | | 116,729,271 | |
| | 82,036,806 | | | Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 85,300,764 | |
| | 109,894,943 | | | Series 4408-PB | | | 3.00% | | | | 04/15/2044 | | | | 113,504,168 | |
| | 43,093,447 | | | Series 4419-TB | | | 3.00% | | | | 02/15/2040 | | | | 44,703,331 | |
| | 166,790,873 | | | Series 4427-CE | | | 3.00% | | | | 02/15/2034 | | | | 174,362,679 | |
| | 97,771,959 | | | Series 4427-MA | | | 3.00% | | | | 02/15/2034 | | | | 102,284,184 | |
| | 55,147,551 | | | Series 4427-PS | | | 5.43% | # I/F I/O | | | 07/15/2044 | | | | 9,849,408 | |
| | 84,361,955 | | | Series 4429-HA | | | 3.00% | | | | 04/15/2034 | | | | 88,455,788 | |
| | 23,057,500 | | | Series 4434-LZ | | | 3.00% | | | | 02/15/2045 | | | | 22,033,955 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 27 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 33,051,347 | | | Series 4438-B | | | 3.00% | | | | 10/15/2043 | | | | 34,135,282 | |
| | 8,621,500 | | | Series 4441-VZ | | | 3.00% | | | | 02/15/2045 | | | | 8,193,490 | |
| | 84,344,124 | | | Series 4444-CH | | | 3.00% | | | | 01/15/2041 | | | | 87,946,672 | |
| | 84,092,000 | | | Series 4447-A | | | 3.00% | | | | 06/15/2041 | | | | 87,350,565 | |
| | 45,000,000 | | | Series 6840-ZC | | | 3.00% | | | | 03/20/2045 | | | | 42,721,875 | |
| | 151,672,654 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 170,984,374 | |
| |
| | | | Federal National Mortgage Assocation Pass-Thru, | |
| | 170,754,079 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 174,819,486 | |
| |
| | | | Federal National Mortgage Association, | |
| | 1,857,079 | | | Series 2002-70-QZ | | | 5.50% | | | | 11/25/2032 | | | | 2,022,748 | |
| | 2,870,627 | | | Series 2002-75-ZG | | | 5.50% | | | | 11/25/2032 | | | | 3,252,149 | |
| | 2,707,427 | | | Series 2003-117-KS | | | 6.93% | # I/F I/O | | | 08/25/2033 | | | | 184,626 | |
| | 33,611,807 | | | Series 2003-129-ZT | | | 5.50% | | | | 01/25/2034 | | | | 38,592,354 | |
| | 7,652,049 | | | Series 2003-29-ZL | | | 5.00% | | | | 04/25/2033 | | | | 8,526,639 | |
| | 3,896,482 | | | Series 2003-64-ZG | | | 5.50% | | | | 07/25/2033 | | | | 4,317,495 | |
| | 22,725,660 | | | Series 2003-84-PZ | | | 5.00% | | | | 09/25/2033 | | | | 25,273,968 | |
| | 19,500,000 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 21,305,222 | |
| | 7,902,281 | | | Series 2004-46-PJ | | | 5.83% | # I/F I/O | | | 03/25/2034 | | | | 1,191,988 | |
| | 6,208,497 | | | Series 2004-51-XP | | | 7.53% | # I/F I/O | | | 07/25/2034 | | | | 1,384,411 | |
| | 5,000,000 | | | Series 2004-W10-A6 | | | 5.75% | | | | 08/25/2034 | | | | 5,757,068 | |
| | 4,725,792 | | | Series 2004-W4-A5 | | | 5.50% | | | | 06/25/2034 | | | | 4,999,938 | |
| | 607,692 | | | Series 2005-107-EG | | | 4.50% | | | | 01/25/2026 | | | | 658,070 | |
| | 1,957,116 | | | Series 2005-37-ZK | | | 4.50% | | | | 05/25/2035 | | | | 2,111,599 | |
| | 15,932,003 | | | Series 2005-87-SE | | | 5.88% | # I/F I/O | | | 10/25/2035 | | | | 2,173,699 | |
| | 12,956,749 | | | Series 2005-87-SG | | | 6.53% | # I/F I/O | | | 10/25/2035 | | | | 2,549,791 | |
| | 10,144,918 | | | Series 2006-101-SA | | | 6.41% | # I/F I/O | | | 10/25/2036 | | | | 2,121,591 | |
| | 4,060,038 | | | Series 2006-123-LI | | | 6.15% | # I/F I/O | | | 01/25/2037 | | | | 765,200 | |
| | 5,277,783 | | | Series 2006-16-HZ | | | 5.50% | | | | 03/25/2036 | | | | 5,777,024 | |
| | 18,516,217 | | | Series 2006-56-SM | | | 6.58% | # I/F I/O | | | 07/25/2036 | | | | 3,706,280 | |
| | 22,228,393 | | | Series 2006-60-YI | | | 6.40% | # I/F I/O | | | 07/25/2036 | | | | 5,281,777 | |
| | 2,905,072 | | | Series 2006-93-SN | | | 6.43% | # I/F I/O | | | 10/25/2036 | | | | 506,687 | |
| | 12,416,938 | | | Series 2007-109-VZ | | | 5.00% | | | | 10/25/2035 | | | | 14,128,948 | |
| | 2,996,042 | | | Series 2007-116-BI | | | 6.08% | # I/F I/O | | | 05/25/2037 | | | | 450,193 | |
| | 16,973,974 | | | Series 2007-14-PS | | | 6.64% | # I/F I/O | | | 03/25/2037 | | | | 2,579,289 | |
| | 7,945,591 | | | Series 2007-30-OI | | | 6.27% | # I/F I/O | | | 04/25/2037 | | | | 1,747,470 | |
| | 1,988,691 | | | Series 2007-30-SI | | | 5.94% | # I/F I/O | | | 04/25/2037 | | | | 236,179 | |
| | 8,901,652 | | | Series 2007-32-SG | | | 5.93% | # I/F I/O | | | 04/25/2037 | | | | 1,299,067 | |
| | 7,356,102 | | | Series 2007-57-SX | | | 6.45% | # I/F I/O | | | 10/25/2036 | | | | 1,174,093 | |
| | 13,046,431 | | | Series 2007-60-VZ | | | 6.00% | | | | 07/25/2037 | | | | 14,930,421 | |
| | 5,346,505 | | | Series 2007-71-GZ | | | 6.00% | | | | 07/25/2047 | | | | 5,922,053 | |
| | 8,415,199 | | | Series 2007-75-ID | | | 5.70% | # I/F I/O | | | 08/25/2037 | | | | 1,531,857 | |
| | 691,479 | | | Series 2007-93-SB | | | 3.98% | # I/F I/O | | | 01/25/2036 | | | | 7,994 | |
| | 3,961,823 | | | Series 2007-9-SD | | | 6.48% | #I/F I/O | | | 03/25/2037 | | | | 639,535 | |
| | 3,524,144 | | | Series 2008-27-B | | | 5.50% | | | | 04/25/2038 | | | | 3,857,216 | |
| | 11,299,466 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 12,374,379 | |
| | 20,298,078 | | | Series 2008-48-BE | | | 5.00% | | | | 06/25/2034 | | | | 22,127,392 | |
| | 4,844,195 | | | Series 2008-48-SD | | | 5.83% | # I/F I/O | | | 06/25/2037 | | | | 529,621 | |
| | 4,915,097 | | | Series 2008-53-LI | | | 5.98% | # I/F I/O | | | 07/25/2038 | | | | 593,262 | |
| | 5,373,164 | | | Series 2008-57-SE | | | 5.83% | # I/F I/O | | | 02/25/2037 | | | | 634,272 | |
| | 2,726,797 | | | Series 2008-5-MS | | | 6.08% | # I/F I/O | | | 02/25/2038 | | | | 355,254 | |
| | 4,307,226 | | | Series 2008-61-SC | | | 5.83% | # I/F I/O | | | 07/25/2038 | | | | 624,938 | |
| | 4,604,684 | | | Series 2008-62-SC | | | 5.83% | # I/F I/O | | | 07/25/2038 | | | | 650,838 | |
| | 6,191,384 | | | Series 2008-65-SA | | | 5.83% | # I/F I/O | | | 08/25/2038 | | | | 721,668 | |
| | 9,190,407 | | | Series 2008-81-LP | | | 5.50% | | | | 09/25/2038 | | | | 10,061,450 | |
| | 22,657,408 | | | Series 2009-106-EZ | | | 4.50% | | | | 01/25/2040 | | | | 24,056,356 | |
| | 6,203,994 | | | Series 2009-111-SE | | | 6.08% | # I/F I/O | | | 01/25/2040 | | | | 760,324 | |
| | 1,663,172 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 1,851,339 | |
| | 13,042,436 | | | Series 2009-42-SI | | | 5.83% | # I/F I/O | | | 06/25/2039 | | | | 1,411,328 | |
| | 6,668,698 | | | Series 2009-42-SX | | | 5.83% | # I/F I/O | | | 06/25/2039 | | | | 1,026,636 | |
| | 6,278,659 | | | Series 2009-47-SA | | | 5.93% | # I/F I/O | | | 07/25/2039 | | | | 775,713 | |
| | 2,412,781 | | | Series 2009-48-WS | | | 5.78% | # I/F I/O | | | 07/25/2039 | | | | 282,726 | |
| | 13,670,147 | | | Series 2009-49-S | | | 6.58% | # I/F I/O | | | 07/25/2039 | | | | 2,177,203 | |
| | 2,147,808 | | | Series 2009-51-BZ | | | 4.50% | | | | 07/25/2039 | | | | 2,280,284 | |
| | 4,396,355 | | | Series 2009-54-EZ | | | 5.00% | | | | 07/25/2039 | | | | 4,839,875 | |
| | 5,318,882 | | | Series 2009-70-SA | | | 5.63% | # I/F I/O | | | 09/25/2039 | | | | 558,733 | |
| | 10,000,000 | | | Series 2009-80-PM | | | 4.50% | | | | 10/25/2039 | | | | 11,020,385 | |
| | 8,952,679 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 9,499,723 | |
| | 26,817,269 | | | Series 2009-85-ES | | | 7.06% | # I/F I/O | | | 01/25/2036 | | | | 5,568,995 | |
| | 34,782,476 | | | Series 2009-85-JS | | | 6.58% | # I/F I/O | | | 10/25/2039 | | | | 8,173,604 | |
| | 7,986,178 | | | Series 2009-90-IB | | | 5.55% | # I/F I/O | | | 04/25/2037 | | | | 810,773 | |
| | 4,293,296 | | | Series 2009-94-BC | | | 5.00% | | | | 11/25/2039 | | | | 4,660,446 | |
| | 30,579,041 | | | Series 2010-101-SA | | | 4.31% | # I/F I/O | | | 09/25/2040 | | | | 4,266,602 | |
| | 21,312,288 | | | Series 2010-101-ZC | | | 4.50% | | | | 09/25/2040 | | | | 22,745,902 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 60,200,734 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 66,357,764 | |
| | 13,925,586 | | | Series 2010-10-SA | | | 6.18% | # I/F I/O | | | 02/25/2040 | | | | 2,497,004 | |
| | 7,357,182 | | | Series 2010-10-ZA | | | 4.50% | | | | 02/25/2040 | | | | 7,808,225 | |
| | 3,796,940 | | | Series 2010-111-S | | | 5.78% | # I/F I/O | | | 10/25/2050 | | | | 466,272 | |
| | 13,128,347 | | | Series 2010-116-Z | | | 4.00% | | | | 10/25/2040 | | | | 13,908,840 | |
| | 8,293,113 | | | Series 2010-117-SA | | | 4.33% | # I/F I/O | | | 10/25/2040 | | | | 681,764 | |
| | 12,817,065 | | | Series 2010-120-KD | | | 4.00% | | | | 10/25/2040 | | | | 13,646,849 | |
| | 58,753,968 | | | Series 2010-121-SD | | | 4.33% | # I/F I/O | | | 10/25/2040 | | | | 6,758,498 | |
| | 242,685 | | | Series 2010-126-SU | | | 53.11% | # I/F | | | 11/25/2040 | | | | 872,771 | |
| | 178,693 | | | Series 2010-126-SX | | | 14.48% | # I/F | | | 11/25/2040 | | | | 323,749 | |
| | 13,098,626 | | | Series 2010-128-HZ | | | 4.00% | | | | 11/25/2040 | | | | 14,185,831 | |
| | 12,579,431 | | | Series 2010-132-Z | | | 4.50% | | | | 11/25/2040 | | | | 13,365,758 | |
| | 88,008 | | | Series 2010-137-VS | | | 14.48% | # I/F | | | 12/25/2040 | | | | 139,068 | |
| | 6,470,000 | | | Series 2010-142-AV | | | 4.00% | | | | 11/25/2029 | | | | 6,720,803 | |
| | 18,277,263 | | | Series 2010-142-AZ | | | 4.00% | | | | 12/25/2040 | | | | 19,491,613 | |
| | 33,213,159 | | | Series 2010-148-SA | | | 6.48% | # I/F I/O | | | 01/25/2026 | | | | 5,075,834 | |
| | 31,994,185 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 34,149,825 | |
| | 4,674,000 | | | Series 2010-153-VB | | | 4.00% | | | | 05/25/2027 | | | | 4,761,280 | |
| | 26,923,867 | | | Series 2010-16-SA | | | 5.28% | # I/F I/O | | | 03/25/2040 | | | | 3,310,613 | |
| | 3,534,409 | | | Series 2010-21-DZ | | | 5.00% | | | | 03/25/2040 | | | | 4,009,875 | |
| | 5,805,968 | | | Series 2010-21-KS | | | 4.78% | # I/F I/O | | | 03/25/2040 | | | | 537,720 | |
| | 2,529,827 | | | Series 2010-2-GS | | | 6.28% | # I/F I/O | | | 12/25/2049 | | | | 366,454 | |
| | 6,653,210 | | | Series 2010-2-MS | | | 6.08% | # I/F I/O | | | 02/25/2050 | | | | 1,203,636 | |
| | 9,641,198 | | | Series 2010-31-SA | | | 4.83% | # I/F I/O | | | 04/25/2040 | | | | 941,116 | |
| | 16,580,442 | | | Series 2010-31-VZ | | | 4.00% | | | | 04/25/2040 | | | | 17,493,411 | |
| | 13,004,248 | | | Series 2010-34-PS | | | 4.76% | # I/F I/O | | | 04/25/2040 | | | | 1,322,382 | |
| | 3,057,159 | | | Series 2010-35-ES | | | 6.28% | # I/F I/O | | | 04/25/2040 | | | | 430,997 | |
| | 4,160,297 | | | Series 2010-35-SV | | | 6.28% | # I/F I/O | | | 04/25/2040 | | | | 512,505 | |
| | 5,108,864 | | | Series 2010-46-MS | | | 4.78% | # I/F I/O | | | 05/25/2040 | | | | 415,897 | |
| | 24,153,328 | | | Series 2010-49-ZW | | | 4.50% | | | | 05/25/2040 | | | | 27,175,175 | |
| | 5,790,416 | | | Series 2010-4-SK | | | 6.06% | # I/F I/O | | | 02/25/2040 | | | | 928,250 | |
| | 3,751,844 | | | Series 2010-58-ES | | | 12.02% | # I/F | | | 06/25/2040 | | | | 4,290,674 | |
| | 15,436,538 | | | Series 2010-59-MS | | | 5.60% | # I/F I/O | | | 06/25/2040 | | | | 2,666,384 | |
| | 33,864,239 | | | Series 2010-59-PS | | | 6.28% | # I/F I/O | | | 03/25/2039 | | | | 3,988,445 | |
| | 17,074,082 | | | Series 2010-59-SC | | | 4.83% | # I/F I/O | | | 01/25/2040 | | | | 1,687,227 | |
| | 3,860,522 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 4,117,913 | |
| | 2,315,740 | | | Series 2010-61-EL | | | 4.50% | | | | 06/25/2040 | | | | 2,488,245 | |
| | 13,855,638 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 15,440,550 | |
| | 40,342,967 | | | Series 2010-76-ZK | | | 4.50% | | | | 07/25/2040 | | | | 45,393,321 | |
| | 16,777,371 | | | Series 2010-79-CZ | | | 4.00% | | | | 07/25/2040 | | | | 17,588,582 | |
| | 36,151,623 | | | Series 2010-79-VZ | | | 4.50% | | | | 07/25/2040 | | | | 40,415,725 | |
| | 14,038,257 | | | Series 2010-84-ZC | | | 4.50% | | | | 08/25/2040 | | | | 15,081,762 | |
| | 28,076,453 | | | Series 2010-84-ZD | | | 4.50% | | | | 08/25/2040 | | | | 30,163,460 | |
| | 33,064,372 | | | Series 2010-84-ZG | | | 4.50% | | | | 08/25/2040 | | | | 35,118,182 | |
| | 3,680,979 | | | Series 2010-90-SA | | | 5.68% | # I/F I/O | | | 08/25/2040 | | | | 375,414 | |
| | 6,105,623 | | | Series 2010-94-Z | | | 4.50% | | | | 08/25/2040 | | | | 6,480,944 | |
| | 8,668,587 | | | Series 2010-99-SG | | | 24.14% | # I/F | | | 09/25/2040 | | | | 15,025,778 | |
| | 7,586,294 | | | Series 2010-9-DS | | | 5.13% | # I/F I/O | | | 02/25/2040 | | | | 964,354 | |
| | 32,308,593 | | | Series 2011-106-LZ | | | 3.50% | | | | 10/25/2041 | | | | 33,191,118 | |
| | 520,021 | | | Series 2011-110-LS | | | 9.76% | # I/F | | | 11/25/2041 | | | | 731,205 | |
| | 23,995,097 | | | Series 2011-111-CZ | | | 4.00% | | | | 11/25/2041 | | | | 26,537,114 | |
| | 7,886,777 | | | Series 2011-111-EZ | | | 5.00% | | | | 11/25/2041 | | | | 8,981,683 | |
| | 16,046,596 | | | Series 2011-111-VZ | | | 4.00% | | | | 11/25/2041 | | | | 17,249,521 | |
| | 30,000,000 | | | Series 2011-131-PB | | | 4.50% | | | | 12/25/2041 | | | | 35,187,960 | |
| | 29,500,000 | | | Series 2011-16-AL | | | 3.50% | | | | 03/25/2031 | | | | 31,918,558 | |
| | 38,800,000 | | | Series 2011-17-NY | | | 3.50% | | | | 03/25/2031 | | | | 42,233,781 | |
| | 4,003,735 | | | Series 2011-17-SA | | | 6.30% | # I/F I/O | | | 03/25/2041 | | | | 548,936 | |
| | 11,000,000 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 11,398,211 | |
| | 4,744,126 | | | Series 2011-27-BS | | | 8.66% | # I/F | | | 04/25/2041 | | | | 5,257,132 | |
| | 56,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 60,607,176 | |
| | 17,715,495 | | | Series 2011-2-GZ | | | 4.00% | | | | 02/25/2041 | | | | 19,184,517 | |
| | 10,000,000 | | | Series 2011-2-VD | | | 4.00% | | | | 07/25/2027 | | | | 10,397,070 | |
| | 58,659,934 | | | Series 2011-32-X | | | 4.00% | | | | 04/25/2041 | | | | 62,729,554 | |
| | 16,620,080 | | | Series 2011-36-VZ | | | 4.50% | | | | 05/25/2041 | | | | 17,647,957 | |
| | 29,196,905 | | | Series 2011-37-Z | | | 4.50% | | | | 05/25/2041 | | | | 31,551,344 | |
| | 7,785,576 | | | Series 2011-38-BZ | | | 4.00% | | | | 05/25/2041 | | | | 8,270,835 | |
| | 8,748,233 | | | Series 2011-39-CB | | | 3.00% | | | | 05/25/2026 | | | | 9,087,857 | |
| | 14,574,008 | | | Series 2011-40-LZ | | | 4.50% | | | | 05/25/2041 | | | | 15,479,207 | |
| | 26,048,670 | | | Series 2011-42-MZ | | | 4.50% | | | | 05/25/2041 | | | | 28,323,448 | |
| | 17,509,113 | | | Series 2011-45-ZA | | | 4.00% | | | | 05/25/2031 | | | | 18,968,489 | |
| | 28,154,797 | | | Series 2011-45-ZB | | | 4.50% | | | | 05/25/2041 | | | | 30,665,994 | |
| | 11,000,000 | | | Series 2011-48-SC | | | 8.85% | # I/F | | | 06/25/2041 | | | | 11,862,444 | |
| | 23,998,470 | | | Series 2011-58-SA | | | 6.38% | # I/F I/O | | | 07/25/2041 | | | | 4,231,470 | |
| | 4,668,292 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 5,047,537 | |
| | | | | | |
| 28 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 13,969,748 | | | Series 2011-60-EL | | | 3.00% | | | | 07/25/2026 | | | | 14,687,535 | |
| | 17,423,167 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 18,082,686 | |
| | 46,306,349 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 49,974,321 | |
| | 12,000,000 | | | Series 2011-74-KL | | | 5.00% | | | | 06/25/2040 | | | | 13,282,872 | |
| | 23,734,177 | | | Series 2011-77-Z | | | 3.50% | | | | 08/25/2041 | | | | 24,648,335 | |
| | 21,787,531 | | | Series 2011-8-AV | | | 4.00% | | | | 01/25/2030 | | | | 23,000,541 | |
| | 23,404,720 | | | Series 2011-99-CZ | | | 4.50% | | | | 10/25/2041 | | | | 27,109,593 | |
| | 107,173,187 | | | Series 2011-99-DZ | | | 5.00% | | | | 10/25/2041 | | | | 121,039,576 | |
| | 11,274,712 | | | Series 2012-104-Z | | | 3.50% | | | | 09/25/2042 | | | | 11,633,992 | |
| | 14,332,227 | | | Series 2012-111-LB | | | 3.50% | | | | 05/25/2041 | | | | 15,043,843 | |
| | 63,304,298 | | | Series 2012-111-MJ | | | 4.00% | | | | 04/25/2042 | | | | 67,744,620 | |
| | 42,193,666 | | | Series 2012-114-DC | | | 2.00% | | | | 08/25/2039 | | | | 41,626,583 | |
| | 155,254,326 | | | Series 2012-122-AD | | | 2.00% | | | | 02/25/2040 | | | | 153,507,404 | |
| | 109,572,176 | | | Series 2012-122-DB | | | 3.00% | | | | 11/25/2042 | | | | 110,905,341 | |
| | 119,278,379 | | | Series 2012-125-LA | | | 3.00% | | | | 11/25/2042 | | | | 120,438,182 | |
| | 14,156,980 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 16,144,025 | |
| | 87,128,427 | | | Series 2012-144-PT | | | 4.42% | # | | | 11/25/2049 | | | | 92,004,395 | |
| | 9,613,750 | | | Series 2012-14-BZ | | | 4.00% | | | | 03/25/2042 | | | | 10,347,563 | |
| | 20,840,153 | | | Series 2012-15-PZ | | | 4.00% | | | | 03/25/2042 | | | | 22,792,500 | |
| | 16,706,699 | | | Series 2012-20-ZT | | | 3.50% | | | | 03/25/2042 | | | | 17,001,631 | |
| | 50,727,234 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 56,807,477 | |
| | 41,709,059 | | | Series 2012-31-Z | | | 4.00% | | | | 04/25/2042 | | | | 44,371,515 | |
| | 21,995,378 | | | Series 2012-63-EB | | | 2.00% | | | | 08/25/2040 | | | | 21,663,413 | |
| | 29,966,005 | | | Series 2012-74-Z | | | 4.00% | | | | 07/25/2042 | | | | 32,566,020 | |
| | 16,841,423 | | | Series 2012-80-EA | | | 2.00% | | | | 04/25/2042 | | | | 16,066,347 | |
| | 22,181,887 | | | Series 2012-86-ZC | | | 3.50% | | | | 08/25/2042 | | | | 23,592,910 | |
| | 30,905,180 | | | Series 2012-96-VZ | | | 3.50% | | | | 09/25/2042 | | | | 31,920,600 | |
| | 79,112,222 | | | Series 2012-98-BG | | | 4.50% | | | | 08/25/2040 | | | | 85,739,967 | |
| | 99,813,218 | | | Series 2012-99-QE | | | 3.00% | | | | 09/25/2042 | | | | 102,970,659 | |
| | 11,148,449 | | | Series 2013-36-Z | | | 3.00% | | | | 04/25/2043 | | | | 10,711,352 | |
| | 24,646,212 | | | Series 2013-41-ZH | | | 3.00% | | | | 05/25/2033 | | | | 24,431,950 | |
| | 19,292,416 | | | Series 2013-51-HS | | | 5.19% | # I/F | | | 04/25/2043 | | | | 17,267,407 | |
| | 9,871,483 | | | Series 2013-53-AB | | | 1.50% | | | | 03/25/2028 | | | | 9,721,179 | |
| | 9,339,694 | | | Series 2013-58-SC | | | 5.74% | # I/F | | | 06/25/2043 | | | | 8,551,741 | |
| | 7,923,536 | | | Series 2013-6-ZH | | | 1.50% | | | | 02/25/2043 | | | | 7,491,335 | |
| | 120,236,504 | | | Series 2013-81-ZQ | | | 3.00% | | | | 08/25/2043 | | | | 112,290,134 | |
| | 42,394,535 | | | Series 2013-82-SH | | | 5.88% | # I/F I/O | | | 12/25/2042 | | | | 7,831,521 | |
| | 23,983,000 | | | Series 2013-8-Z | | | 3.00% | | | | 02/25/2043 | | | | 23,650,296 | |
| | 20,771,747 | | | Series 2014-12-GZ | | | 3.50% | | | | 03/25/2044 | | | | 21,611,975 | |
| | 27,191,571 | | | Series 2014-37-ZY | | | 2.50% | | | | 07/25/2044 | | | | 23,965,659 | |
| | 15,837,034 | | | Series 2014-46-NZ | | | 3.00% | | | | 06/25/2043 | | | | 15,464,119 | |
| | 88,769,176 | | | Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 92,652,517 | |
| | 13,916,911 | | | Series 2014-56-AD | | | 3.00% | | | | 01/25/2040 | | | | 14,312,701 | |
| | 51,482,524 | | | Series 2014-60-EZ | | | 3.00% | | | | 10/25/2044 | | | | 48,948,271 | |
| | 36,340,791 | | | Series 2014-61-ZV | | | 3.00% | | | | 10/25/2044 | | | | 34,723,280 | |
| | 30,646,197 | | | Series 2014-64-NZ | | | 3.00% | | | | 10/25/2044 | | | | 29,368,220 | |
| | 181,356,531 | | | Series 2014-65-CD | | | 3.00% | | | | 06/25/2040 | | | | 188,862,969 | |
| | 10,791,086 | | | Series 2014-67-DZ | | | 3.00% | | | | 10/25/2044 | | | | 10,317,368 | |
| | 172,406,705 | | | Series 2014-68-MA | | | 3.00% | | | | 11/25/2040 | | | | 178,914,283 | |
| | 34,497,378 | | | Series 2014-68-MZ | | | 3.00% | | | | 11/25/2044 | | | | 32,957,622 | |
| | 73,646,441 | | | Series 2014-73-CQ | | | 3.00% | | | | 06/25/2040 | | | | 76,636,597 | |
| | 19,474,132 | | | Series 2014-77-VZ | | | 3.00% | | | | 11/25/2044 | | | | 18,797,386 | |
| | 40,538,646 | | | Series 2014-82-YA | | | 3.00% | | | | 04/25/2041 | | | | 42,071,270 | |
| | 25,009,898 | | | Series 2014-84-KZ | | | 3.00% | | | | 12/25/2044 | | | | 23,987,105 | |
| | 197,054,103 | | | Series 2014-95-NA | | | 3.00% | | | | 04/25/2041 | | | | 207,470,678 | |
| | 199,368,722 | | | Series 2014-M11-1A | | | 3.22% | # | | | 08/25/2024 | | | | 211,068,177 | |
| | 67,030,823 | | | Series 2015-11-A | | | 3.00% | | | | 05/25/2034 | | | | 70,301,357 | |
| | 160,000,000 | | | Series 2015-21-G | | | 3.00% | | | | 02/25/2042 | | | | 166,432,112 | |
| | 23,524,406 | | | Series 400-S4 | | | 5.28% | # I/F I/O | | | 11/25/2039 | | | | 3,219,303 | |
| | 161,996,767 | | | Series 412-A3 | | | 3.00% | | | | 08/25/2042 | | | | 164,576,213 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 22,823,461 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 25,486,787 | |
| | 24,170,530 | | | Pool 735141 | | | 5.50% | | | | 01/01/2035 | | | | 27,357,006 | |
| | 8,938,110 | | | Pool 735230 | | | 5.50% | | | | 02/01/2035 | | | | 10,114,942 | |
| | 17,009,833 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 18,973,535 | |
| | 28,148,918 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 31,390,285 | |
| | 19,924,256 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 22,196,932 | |
| | 7,424,509 | | | Pool 735667 | | | 5.00% | | | | 07/01/2035 | | | | 8,297,979 | |
| | 6,474,689 | | | Pool 735893 | | | 5.00% | | | | 10/01/2035 | | | | 7,205,090 | |
| | 16,274,743 | | | Pool 745275 | | | 5.00% | | | | 02/01/2036 | | | | 18,111,515 | |
| | 2,039,601 | | | Pool 745571 | | | 4.00% | | | | 01/01/2019 | | | | 2,153,871 | |
| | 740,167 | | | Pool 888695 | | | 5.00% | | | | 08/01/2037 | | | | 822,161 | |
| | 3,151,107 | | | Pool 888968 | | | 5.00% | | | | 08/01/2035 | | | | 3,519,342 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 8,920,313 | | | Pool 889509 | | | 6.00% | | | | 05/01/2038 | | | | 10,187,180 | |
| | 17,580,475 | | | Pool 889662 | | | 6.00% | | | | 06/01/2038 | | | | 20,064,123 | |
| | 22,513,199 | | | Pool 890549 | | | 4.00% | | | | 11/01/2043 | | | | 24,426,028 | |
| | 23,820,932 | | | Pool 890565 | | | 3.00% | | | | 11/01/2043 | | | | 24,424,681 | |
| | 2,614,859 | | | Pool 929321 | | | 5.50% | | | | 03/01/2038 | | | | 2,942,828 | |
| | 1,925,305 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 2,147,700 | |
| | 1,556,537 | | | Pool 961410 | | | 6.00% | | | | 01/01/2038 | | | | 1,775,865 | |
| | 571,192 | | | Pool 975116 | | | 5.00% | | | | 05/01/2038 | | | | 634,468 | |
| | 6,074,057 | | | Pool 982036 | | | 6.00% | | | | 05/01/2038 | | | | 6,922,414 | |
| | 5,930,775 | | | Pool 985190 | | | 6.00% | | | | 08/01/2038 | | | | 6,763,513 | |
| | 3,276,998 | | | Pool 986864 | | | 6.50% | | | | 08/01/2038 | | | | 3,771,145 | |
| | 4,215,865 | | | Pool 987316 | | | 6.50% | | | | 09/01/2038 | | | | 4,844,197 | |
| | 15,352,505 | | | Pool 995070 | | | 5.50% | | | | 08/01/2037 | | | | 17,367,957 | |
| | 57,088,784 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 64,568,985 | |
| | 29,560,195 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 33,035,824 | |
| | 2,365,291 | | | Pool 995581 | | | 6.00% | | | | 01/01/2039 | | | | 2,699,125 | |
| | 50,409,983 | | | Pool 995849 | | | 5.00% | | | | 08/01/2036 | | | | 56,360,580 | |
| | 38,200,726 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 41,145,172 | |
| | 709,280 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 752,928 | |
| | 5,691,384 | | | Pool AB3713 | | | 4.00% | | | | 10/01/2031 | | | | 6,128,996 | |
| | 20,168,094 | | | Pool AB3796 | | | 3.50% | | | | 11/01/2031 | | | | 21,325,623 | |
| | 10,961,931 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 11,507,705 | |
| | 19,069,046 | | | Pool AB3923 | | | 4.00% | | | | 11/01/2041 | | | | 20,019,224 | |
| | 61,307,686 | | | Pool AB4167 | | | 3.50% | | | | 01/01/2032 | | | | 64,872,151 | |
| | 62,783,197 | | | Pool AB4261 | | | 3.50% | | | | 01/01/2032 | | | | 66,428,054 | |
| | 12,526,790 | | | Pool AB5084 | | | 3.50% | | | | 05/01/2032 | | | | 13,316,049 | |
| | 24,089,152 | | | Pool AB5156 | | | 3.50% | | | | 05/01/2032 | | | | 25,492,691 | |
| | 38,290,615 | | | Pool AB5212 | | | 3.50% | | | | 05/01/2032 | | | | 40,513,635 | |
| | 15,281,324 | | | Pool AB5243 | | | 4.00% | | | | 05/01/2042 | | | | 16,042,626 | |
| | 54,813,257 | | | Pool AB5911 | | | 3.00% | | | | 08/01/2032 | | | | 56,847,948 | |
| | 13,309,174 | | | Pool AB6280 | | | 3.00% | | | | 09/01/2042 | | | | 13,623,666 | |
| | 22,795,049 | | | Pool AB6349 | | | 3.00% | | | | 10/01/2032 | | | | 23,642,285 | |
| | 66,486,435 | | | Pool AB6750 | | | 3.00% | | | | 10/01/2032 | | | | 68,958,577 | |
| | 32,235,930 | | | Pool AB6751 | | | 3.00% | | | | 10/01/2032 | | | | 33,434,554 | |
| | 170,286,134 | | | Pool AB6854 | | | 3.00% | | | | 11/01/2042 | | | | 174,613,774 | |
| | 129,910,262 | | | Pool AB7077 | | | 3.00% | | | | 11/01/2042 | | | | 133,211,053 | |
| | 106,684,753 | | | Pool AB7344 | | | 3.00% | | | | 12/01/2032 | | | | 110,649,427 | |
| | 44,718,776 | | | Pool AB7776 | | | 3.00% | | | | 02/01/2043 | | | | 45,774,211 | |
| | 54,824,435 | | | Pool AB7877 | | | 3.00% | | | | 02/01/2043 | | | | 56,118,732 | |
| | 25,838,747 | | | Pool AB8418 | | | 3.00% | | | | 02/01/2033 | | | | 26,798,420 | |
| | 39,210,540 | | | Pool AB8520 | | | 3.00% | | | | 02/01/2033 | | | | 40,666,258 | |
| | 40,843,848 | | | Pool AB8703 | | | 3.00% | | | | 03/01/2038 | | | | 42,097,649 | |
| | 22,026,365 | | | Pool AB8858 | | | 3.00% | | | | 04/01/2033 | | | | 22,844,564 | |
| | 33,722,687 | | | Pool AB9020 | | | 3.00% | | | | 04/01/2038 | | | | 34,758,896 | |
| | 35,151,584 | | | Pool AB9197 | | | 3.00% | | | | 05/01/2033 | | | | 36,457,289 | |
| | 105,899,137 | | | Pool AB9406 | | | 3.00% | | | | 05/01/2033 | | | | 109,821,807 | |
| | 22,271,925 | | | Pool AB9409 | | | 3.00% | | | | 05/01/2033 | | | | 23,100,032 | |
| | 1,287,711 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 1,404,094 | |
| | 54,747,774 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 61,817,922 | |
| | 25,251,416 | | | Pool AD0500 | | | 5.50% | | | | 09/01/2036 | | | | 28,615,512 | |
| | 1,442,084 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 1,580,836 | |
| | 2,750,353 | | | Pool AD6438 | | | 5.00% | | | | 06/01/2040 | | | | 3,060,368 | |
| | 474,457 | | | Pool AD7018 | | | 5.00% | | | | 04/01/2040 | | | | 517,685 | |
| | 1,918,371 | | | Pool AD7859 | | | 5.00% | | | | 06/01/2040 | | | | 2,146,232 | |
| | 17,193,463 | | | Pool AH0607 | | | 4.00% | | | | 12/01/2040 | | | | 18,549,746 | |
| | 3,463,531 | | | Pool AH1140 | | | 4.50% | | | | 12/01/2040 | | | | 3,677,253 | |
| | 17,684,692 | | | Pool AH4437 | | | 4.00% | | | | 01/01/2041 | | | | 18,563,231 | |
| | 4,225,752 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 4,552,531 | |
| | 20,053,904 | | | Pool AH9323 | | | 4.00% | | | | 04/01/2026 | | | | 21,359,193 | |
| | 2,608,802 | | | Pool AI8889 | | | 4.00% | | | | 08/01/2041 | | | | 2,732,868 | |
| | 15,471,393 | | | Pool AI9831 | | | 4.00% | | | | 09/01/2041 | | | | 16,229,960 | |
| | 3,971,812 | | | Pool AJ1265 | | | 4.00% | | | | 09/01/2041 | | | | 4,166,921 | |
| | 5,973,376 | | | Pool AJ1399 | | | 4.00% | | | | 09/01/2041 | | | | 6,267,338 | |
| | 21,457,551 | | | Pool AJ1467 | | | 4.00% | | | | 10/01/2041 | | | | 22,523,436 | |
| | 10,806,527 | | | Pool AJ3392 | | | 4.00% | | | | 10/01/2041 | | | | 11,343,890 | |
| | 5,319,313 | | | Pool AJ3854 | | | 4.00% | | | | 10/01/2041 | | | | 5,585,027 | |
| | 66,195,164 | | | Pool AJ4118 | | | 4.00% | | | | 11/01/2041 | | | | 69,496,048 | |
| | 17,927,816 | | | Pool AJ4131 | | | 4.00% | | | | 10/01/2041 | | | | 18,815,900 | |
| | 3,964,246 | | | Pool AJ5172 | | | 4.00% | | | | 11/01/2041 | | | | 4,161,919 | |
| | 66,322,749 | | | Pool AJ5322 | | | 4.00% | | | | 11/01/2041 | | | | 71,460,803 | |
| | 32,333,239 | | | Pool AJ7677 | | | 3.50% | | | | 12/01/2041 | | | | 33,507,508 | |
| | 8,000,971 | | | Pool AJ8334 | | | 4.00% | | | | 12/01/2041 | | | | 8,398,508 | |
| | 63,898,645 | | | Pool AK0713 | | | 3.50% | | | | 01/01/2032 | | | | 67,619,889 | |
| | 18,394,310 | | | Pool AK4039 | | | 4.00% | | | | 02/01/2042 | | | | 19,310,010 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 29 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 13,815,564 | | | Pool AK4763 | | | 4.00% | | | | 02/01/2042 | | | | 14,503,960 | |
| | 16,164,862 | | | Pool AK9438 | | | 4.00% | | | | 03/01/2042 | | | | 16,969,504 | |
| | 21,616,137 | | | Pool AK9439 | | | 4.00% | | | | 03/01/2042 | | | | 22,694,058 | |
| | 2,680,791 | | | Pool AK9446 | | | 4.50% | | | | 03/01/2042 | | | | 2,849,964 | |
| | 16,727,974 | | | Pool AL1485 | | | 6.00% | | | | 01/01/2040 | | | | 19,067,636 | |
| | 8,835,720 | | | Pool AL1548 | | | 6.00% | | | | 07/01/2039 | | | | 10,104,541 | |
| | 17,727,920 | | | Pool AL1554 | | | 6.00% | | | | 01/01/2040 | | | | 20,253,653 | |
| | 34,594,358 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 39,473,638 | |
| | 47,681,794 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 54,414,680 | |
| | 14,936,687 | | | Pool AL1745 | | | 6.00% | | | | 03/01/2040 | | | | 17,036,286 | |
| | 16,841,909 | | | Pool AL1793 | | | 6.00% | | | | 01/01/2041 | | | | 19,222,753 | |
| | 129,221,238 | | | Pool AL3038 | | | 3.00% | | | | 01/01/2033 | | | | 134,012,972 | |
| | 175,104,395 | | | Pool AL3699 | | | 3.00% | | | | 06/01/2043 | | | | 179,236,695 | |
| | 88,109,818 | | | Pool AL3883 | | | 3.00% | | | | 07/01/2043 | | | | 90,185,831 | |
| | 9,454,079 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 10,195,906 | |
| | 17,924,973 | | | Pool AL4312 | | | 4.00% | | | | 10/01/2043 | | | | 19,448,064 | |
| | 36,948,305 | | | Pool AL6075 | | | 3.50% | | | | 09/01/2053 | | | | 38,159,122 | |
| | 44,902,102 | | | Pool AL6076 | | | 3.00% | | | | 06/01/2053 | | | | 45,248,876 | |
| | 169,926,547 | | | Pool AL6141 | | | 4.00% | | | | 04/01/2042 | | | | 183,262,519 | |
| | 93,770,880 | | | Pool AL6325 | | | 3.00% | | | | 10/01/2044 | | | | 96,065,912 | |
| | 74,570,690 | | | Pool AL6486 | | | 4.50% | | | | 02/01/2045 | | | | 81,796,078 | |
| | 166,368,306 | | | Pool AL6538 | | | 4.50% | | | | 06/01/2044 | | | | 182,454,657 | |
| | 62,772,018 | | | Pool AO2980 | | | 4.00% | | | | 05/01/2042 | | | | 65,776,687 | |
| | 116,535,909 | | | Pool AP4787 | | | 3.50% | | | | 09/01/2042 | | | | 120,796,602 | |
| | 113,021,863 | | | Pool AP4789 | | | 3.50% | | | | 09/01/2042 | | | | 117,154,869 | |
| | 27,314,211 | | | Pool AQ5541 | | | 3.00% | | | | 12/01/2042 | | | | 28,007,467 | |
| | 31,816,388 | | | Pool AR9856 | | | 3.00% | | | | 04/01/2043 | | | | 32,616,429 | |
| | 71,960,484 | | | Pool AS1927 | | | 4.50% | | | | 03/01/2044 | | | | 78,819,847 | |
| | 73,584,282 | | | Pool AS2038 | | | 4.50% | | | | 03/01/2044 | | | | 80,600,037 | |
| | 64,953,532 | | | Pool AS2517 | | | 4.50% | | | | 05/01/2044 | | | | 71,190,333 | |
| | 35,534,289 | | | Pool AS2551 | | | 4.50% | | | | 06/01/2044 | | | | 38,843,067 | |
| | 30,646,809 | | | Pool AS2765 | | | 4.50% | | | | 07/01/2044 | | | | 33,497,498 | |
| | 65,923,430 | | | Pool AS3201 | | | 3.00% | | | | 08/01/2034 | | | | 68,339,416 | |
| | 249,850,415 | | | Pool AS3961 | | | 3.00% | | | | 12/01/2044 | | | | 255,798,991 | |
| | 67,641,988 | | | Pool AS4154 | | | 3.00% | | | | 12/01/2044 | | | | 69,252,446 | |
| | 411,715,252 | | | Pool AS4625 | | | 3.00% | | | | 03/01/2045 | | | | 421,517,595 | |
| | 122,164,456 | | | Pool AY3974 | | | 3.00% | | | | 03/01/2045 | | | | 125,073,015 | |
| | 53,636,518 | | | Pool AY4295 | | | 3.00% | | | | 02/01/2045 | | | | 54,305,657 | |
| | 30,083,324 | | | Pool AY4296 | | | 3.00% | | | | 01/01/2045 | | | | 30,458,621 | |
| | 25,806,610 | | | Pool AY5471 | | | 3.00% | | | | 03/01/2045 | | | | 26,128,548 | |
| | 5,586,905 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 6,091,649 | |
| | 128,060 | | | Pool MA0315 | | | 4.50% | | | | 01/01/2025 | | | | 130,574 | |
| | 22,160,521 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 24,164,455 | |
| | 4,926,399 | | | Pool MA0406 | | | 4.50% | | | | 05/01/2030 | | | | 5,372,311 | |
| | 410,595 | | | Pool MA0445 | | | 5.00% | | | | 06/01/2040 | | | | 447,711 | |
| | 1,568,756 | | | Pool MA0459 | | | 4.00% | | | | 07/01/2020 | | | | 1,656,889 | |
| | 1,093,010 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 1,180,688 | |
| | 5,105,617 | | | Pool MA0502 | | | 4.00% | | | | 08/01/2020 | | | | 5,393,315 | |
| | 2,191,715 | | | Pool MA0517 | | | 4.00% | | | | 09/01/2020 | | | | 2,315,303 | |
| | 6,789,345 | | | Pool MA0534 | | | 4.00% | | | | 10/01/2030 | | | | 7,313,509 | |
| | 13,359,565 | | | Pool MA0536 | | | 4.00% | | | | 10/01/2020 | | | | 14,110,310 | |
| | 16,576,928 | | | Pool MA0580 | | | 4.00% | | | | 11/01/2020 | | | | 17,515,704 | |
| | 1,364,840 | | | Pool MA0587 | | | 4.00% | | | | 12/01/2030 | | | | 1,470,350 | |
| | 34,630,901 | | | Pool MA0616 | | | 4.00% | | | | 01/01/2031 | | | | 37,311,362 | |
| | 16,006,446 | | | Pool MA0896 | | | 4.00% | | | | 11/01/2041 | | | | 16,800,666 | |
| | 237,446,777 | | | Pool MA0919 | | | 3.50% | | | | 12/01/2031 | | | | 251,158,179 | |
| | 101,725,101 | | | Pool MA0949 | | | 3.50% | | | | 01/01/2032 | | | | 107,607,909 | |
| | 119,421,719 | | | Pool MA0976 | | | 3.50% | | | | 02/01/2032 | | | | 126,335,445 | |
| | 58,147,849 | | | Pool MA1010 | | | 3.50% | | | | 03/01/2032 | | | | 61,519,749 | |
| | 18,158,864 | | | Pool MA1039 | | | 3.50% | | | | 04/01/2042 | | | | 18,816,932 | |
| | 78,374,697 | | | Pool MA1059 | | | 3.50% | | | | 05/01/2032 | | | | 82,930,492 | |
| | 11,149,131 | | | Pool MA1068 | | | 3.50% | | | | 05/01/2042 | | | | 11,554,565 | |
| | 170,120,470 | | | Pool MA1084 | | | 3.50% | | | | 06/01/2032 | | | | 179,994,745 | |
| | 25,752,214 | | | Pool MA1093 | | | 3.50% | | | | 06/01/2042 | | | | 26,681,479 | |
| | 22,572,478 | | | Pool MA1094 | | | 4.00% | | | | 06/01/2042 | | | | 23,698,141 | |
| | 100,722,379 | | | Pool MA1107 | | | 3.50% | | | | 07/01/2032 | | | | 106,566,314 | |
| | 239,874,533 | | | Pool MA1117 | | | 3.50% | | | | 07/01/2042 | | | | 248,564,268 | |
| | 280,878,893 | | | Pool MA1136 | | | 3.50% | | | | 08/01/2042 | | | | 291,076,783 | |
| | 66,278,470 | | | Pool MA1138 | | | 3.50% | | | | 08/01/2032 | | | | 70,123,653 | |
| | 76,190,597 | | | Pool MA1179 | | | 3.50% | | | | 09/01/2042 | | | | 78,950,774 | |
| | 13,153,587 | | | Pool MA1201 | | | 3.50% | | | | 10/01/2032 | | | | 13,918,640 | |
| | 173,970,030 | | | Pool MA1209 | | | 3.50% | | | | 10/01/2042 | | | | 180,264,532 | |
| | 397,509,764 | | | Pool MA1237 | | | 3.00% | | | | 11/01/2032 | | | | 412,249,612 | |
| | 10,340,895 | | | Pool MA1242 | | | 3.50% | | | | 11/01/2042 | | | | 10,714,472 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| $ | 305,267,908 | | | Pool MA1275 | | | 3.00% | | | | 12/01/2032 | | | | 316,590,667 | |
| | 41,238,725 | | | Pool MA1338 | | | 3.00% | | | | 02/01/2033 | | | | 42,769,471 | |
| | 162,014,951 | | | Pool MA1366 | | | 3.00% | | | | 03/01/2033 | | | | 168,029,027 | |
| | 98,822,183 | | | Pool MA1401 | | | 3.00% | | | | 04/01/2033 | | | | 102,491,700 | |
| | 177,057,176 | | | Pool MA1459 | | | 3.00% | | | | 06/01/2033 | | | | 183,621,555 | |
| | 22,083,154 | | | Pool MA1490 | | | 3.00% | | | | 07/01/2033 | | | | 22,902,328 | |
| | 151,478,069 | | | Pool MA2018 | | | 3.50% | | | | 09/01/2034 | | | | 160,223,519 | |
| | 86,326,668 | | | Pool MA2114 | | | 3.50% | | | �� | 12/01/2044 | | | | 89,293,758 | |
| | 68,449,728 | | | Pool MA2151 | | | 3.50% | | | | 01/01/2045 | | | | 70,849,012 | |
| | 85,969,658 | | | Pool MA2164 | | | 3.50% | | | | 02/01/2035 | | | | 91,016,130 | |
| | 194,059,633 | | | Pool MA2166 | | | 3.50% | | | | 02/01/2045 | | | | 201,058,467 | |
| | 10,000,000 | | | Pool MA2248 | | | 3.00% | | | | 04/01/2045 | | | | 10,124,745 | |
| | 22,000,000 | | | Pool MA2270 | | | 3.00% | | | | 04/01/2045 | | | | 22,244,064 | |
| | 18,197,823 | | | Pool MA3894 | | | 4.00% | | | | 09/01/2031 | | | | 19,649,252 | |
| |
| | | | Government National Mortgage Association, | |
| | 17,714,316 | | | Pool MA2511 | | | 3.50% | | | | 01/20/2045 | | | | 18,413,324 | |
| | 14,700,000 | | | Series 2003-67-SP | | | 6.92% | # I/F I/O | | | 08/20/2033 | | | | 4,759,970 | |
| | 11,847,165 | | | Series 2003-86-ZK | | | 5.00% | | | | 10/20/2033 | | | | 13,279,464 | |
| | 5,369,240 | | | Series 2004-49-Z | | | 6.00% | | | | 06/20/2034 | | | | 6,205,158 | |
| | 4,997,875 | | | Series 2004-80-PH | | | 5.00% | | | | 07/20/2034 | | | | 5,280,534 | |
| | 11,988,141 | | | Series 2004-83-CS | | | 5.90% | # I/F I/O | | | 10/20/2034 | | | | 1,985,914 | |
| | 3,193,799 | | | Series 2005-21-Z | | | 5.00% | | | | 03/20/2035 | | | | 3,568,988 | |
| | 21,559,830 | | | Series 2005-39-ZB | | | 5.00% | | | | 07/20/2034 | | | | 24,407,236 | |
| | 919,545 | | | Series 2006-24-CX | | | 38.68% | # I/F | | | 05/20/2036 | | | | 2,252,046 | |
| | 17,695,291 | | | Series 2007-26-SJ | | | 4.51% | # I/F I/O | | | 04/20/2037 | | | | 1,612,510 | |
| | 9,088,869 | | | Series 2008-2-SM | | | 6.33% | # I/F I/O | | | 01/16/2038 | | | | 1,761,309 | |
| | 16,218,057 | | | Series 2008-42-AI | | | 7.52% | # I/F I/O | | | 05/16/2038 | | | | 4,259,665 | |
| | 7,434,769 | | | Series 2008-43-SH | | | 6.16% | # I/F I/O | | | 05/20/2038 | | | | 1,209,258 | |
| | 8,704,270 | | | Series 2008-51-SC | | | 6.07% | # I/F I/O | | | 06/20/2038 | | | | 1,337,655 | |
| | 5,164,537 | | | Series 2008-51-SE | | | 6.08% | # I/F I/O | | | 06/16/2038 | | | | 1,075,949 | |
| | 3,260,174 | | | Series 2008-82-SM | | | 5.87% | # I/F I/O | | | 09/20/2038 | | | | 458,077 | |
| | 5,692,101 | | | Series 2008-83-SD | | | 6.39% | # I/F I/O | | | 11/16/2036 | | | | 1,087,567 | |
| | 15,248,144 | | | Series 2009-106-VZ | | | 4.50% | | | | 11/20/2039 | | | | 16,957,278 | |
| | 10,566,065 | | | Series 2009-10-NS | | | 6.48% | # I/F I/O | | | 02/16/2039 | | | | 2,148,377 | |
| | 5,506,195 | | | Series 2009-24-SN | | | 5.92% | # I/F I/O | | | 09/20/2038 | | | | 506,212 | |
| | 14,552,953 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 16,091,855 | |
| | 71,474,606 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 77,904,247 | |
| | 6,340 | | | Series 2009-41-ZQ | | | 4.50% | | | | 06/16/2039 | | | | 8,047 | |
| | 9,203,790 | | | Series 2009-48-Z | | | 5.00% | | | | 06/16/2039 | | | | 10,297,311 | |
| | 2,465,960 | | | Series 2009-50-KP | | | 4.50% | | | | 06/20/2039 | | | | 2,631,810 | |
| | 7,850,167 | | | Series 2009-69-TS | | | 6.03% | # I/F I/O | | | 04/16/2039 | | | | 1,069,966 | |
| | 10,241,813 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 11,125,707 | |
| | 11,063,722 | | | Series 2009-87-IG | | | 6.56% | # I/F I/O | | | 03/20/2037 | | | | 1,429,206 | |
| | 66,958,718 | | | Series 2010-106-PS | | | 5.87% | # I/F I/O | | | 03/20/2040 | | | | 10,185,258 | |
| | 19,270,244 | | | Series 2010-1-SA | | | 5.58% | # I/F I/O | | | 01/16/2040 | | | | 2,664,631 | |
| | 3,223,884 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 3,367,324 | |
| | 178,201,687 | | | Series 2010-26-QS | | | 6.07% | # I/F I/O | | | 02/20/2040 | | | | 29,803,163 | |
| | 12,767,000 | | | Series 2010-42-AY | | | 5.00% | | | | 11/20/2039 | | | | 14,016,091 | |
| | 15,758,393 | | | Series 2010-42-ES | | | 5.50% | # I/F I/O | | | 04/20/2040 | | | | 2,467,252 | |
| | 4,699,020 | | | Series 2010-61-AS | | | 6.37% | # I/F I/O | | | 09/20/2039 | | | | 726,950 | |
| | 46,116,447 | | | Series 2010-62-SB | | | 5.57% | # I/F I/O | | | 05/20/2040 | | | | 7,399,315 | |
| | 8,642,914 | | | Series 2010-62-ZG | | | 5.50% | | | | 05/16/2040 | | | | 9,900,100 | |
| | 87,197,810 | | | Series 2010-9-XD | | | 6.43% | # I/F I/O | | | 01/16/2040 | | | | 15,272,696 | |
| | 93,777 | | | Series 2011-12-PO | | | 0.00% | P/O | | | 12/20/2040 | | | | 86,292 | |
| | 7,833,334 | | | Series 2011-18-SN | | | 9.15% | # I/F | | | 12/20/2040 | | | | 9,115,929 | |
| | 8,333,334 | | | Series 2011-18-YS | | | 9.15% | # I/F | | | 12/20/2040 | | | | 9,697,038 | |
| | 11,923,431 | | | Series 2011-51-UZ | | | 4.50% | | | | 04/20/2041 | | | | 12,978,094 | |
| | 8,032,417 | | | Series 2011-69-OC | | | 0.00% | P/O | | | 05/20/2041 | | | | 7,335,970 | |
| | 65,694,859 | | | Series 2011-69-SB | | | 5.17% | # I/F I/O | | | 05/20/2041 | | | | 8,696,390 | |
| | 24,787,666 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 27,026,922 | |
| | 24,840,940 | | | Series 2011-72-AS | | | 5.20% | # I/F I/O | | | 05/20/2041 | | | | 3,112,793 | |
| | 18,660,957 | | | Series 2011-72-DO | | | 0.00% | P/O | | | 03/16/2033 | | | | 18,623,113 | |
| | 16,548,090 | | | Series 2011-72-SK | | | 5.97% | # I/F I/O | | | 05/20/2041 | | | | 2,672,004 | |
| | 19,384,110 | | | Series 2012-105-SE | | | 6.02% | # I/F I/O | | | 01/20/2041 | | | | 1,797,963 | |
| | 31,300,338 | | | Series 2012-52-PN | | | 2.00% | | | | 12/20/2039 | | | | 31,671,106 | |
| | 64,667,521 | | | Series 2013-116-LS | | | 5.97% | # I/F I/O | | | 08/20/2043 | | | | 10,179,056 | |
| | 48,545,235 | | | Series 2013-136-CS | | | 6.03% | # I/F I/O | | | 09/16/2043 | | | | 7,954,889 | |
| | 17,539,068 | | | Series 2013-182-WZ | | | 2.50% | | | | 12/20/2043 | | | | 15,971,610 | |
| | 54,065,087 | | | Series 2013-182-ZW | | | 2.50% | | | | 12/20/2043 | | | | 48,983,753 | |
| | 37,470,783 | | | Series 2013-186-SG | | | 6.08% | # I/F I/O | | | 02/16/2043 | | | | 5,993,171 | |
| | 42,889,038 | | | Series 2013-26-MS | | | 6.07% | # I/F I/O | | | 02/20/2043 | | | | 6,566,097 | |
| | 90,524,824 | | | Series 2014-163-PS | | | 5.42% | # I/F I/O | | | 11/20/2044 | | | | 14,959,997 | |
| | 92,759,382 | | | Series 2014-167-SA | | | 5.42% | # I/F I/O | | | 11/20/2044 | | | | 11,787,955 | |
| | 73,983,598 | | | Series 2014-39-SK | | | 6.02% | # I/F I/O | | | 03/20/2044 | | | | 13,573,438 | |
| | | | | | |
| 30 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT / SHARES | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Government National Mortgage Association, (Cont.) | |
| $ | 51,484,150 | | | Series 2014-59-DS | | | 6.08% | # I/F I/O | | | 04/16/2044 | | | | 9,505,519 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $22,028,958,321) | | | | 22,793,434,085 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 4.4% | |
| | 1,325,000,000 | | | United States Treasury Notes | | | 1.63% | | | | 11/15/2022 | | | | 1,312,163,400 | |
| | 700,000,000 | | | United States Treasury Notes | | | 2.00% | | | | 02/15/2023 | | | | 711,320,400 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $1,996,006,613) | | | | 2,023,483,800 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT SPONSORED BANKS 1.3% | |
| | 200,000,000 | | | Federal Home Loan Banks | | | 0.48% | | | | 06/09/2016 | | | | 200,124,600 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.38% | # | | | 07/20/2017 | | | | 100,042,800 | |
| | 200,000,000 | | | Federal Home Loan Banks | | | 1.63% | | | | 12/18/2017 | | | | 201,478,000 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.75% | # | | | 01/29/2018 | | | | 100,101,600 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Sponsored Banks
(Cost $601,543,317 ) | | | | 601,747,000 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 9.0% | |
| | 264,218,983 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 264,218,983 | |
| | 200,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 04/01/2015 | | | | 200,000,000 | |
| | 150,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 04/06/2015 | | | | 149,999,400 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 04/10/2015 | | | | 99,999,200 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 04/20/2015 | | | | 99,998,400 | |
| | 200,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 04/22/2015 | | | | 199,996,400 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 05/22/2015 | | | | 99,995,500 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 06/29/2015 | | | | 99,987,400 | |
| | 150,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 07/31/2015 | | | | 149,969,700 | |
| | 50,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 10/19/2015 | | | | 49,965,100 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT / SHARES | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 100,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 01/05/2016 | | | | 99,836,500 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Note | | | 0.00% | | | | 02/25/2016 | | | | 99,789,200 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.07% | | | | 04/20/2015 | | | | 99,997,300 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.13% | | | | 05/29/2015 | | | | 100,003,701 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.15% | | | | 07/09/2015 | | | | 100,004,200 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.13% | | | | 08/14/2015 | | | | 99,995,900 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.18% | | | | 08/14/2015 | | | | 100,002,700 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.20% | | | | 08/17/2015 | | | | 100,011,000 | |
| | 250,000,000 | | | Federal Home Loan Banks | | | 0.38% | | | | 08/28/2015 | | | | 250,185,000 | |
| | 70,000,000 | | | Federal Home Loan Banks | | | 0.20% | | | | 09/15/2015 | | | | 70,035,140 | |
| | 80,000,000 | | | Federal Home Loan Banks | | | 0.18% | | | | 09/22/2015 | | | | 80,014,640 | |
| | 225,000,000 | | | Federal Home Loan Banks | | | 0.20% | | | | 09/25/2015 | | | | 224,935,425 | |
| | 214,955,000 | | | Federal Home Loan Banks | | | 0.19% | | | | 11/17/2015 | | | | 214,951,131 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.35% | | | | 03/07/2016 | | | | 100,006,200 | |
| | 250,000,000 | | | Federal National Mortgage Association | | | 4.38% | | | | 10/15/2015 | | | | 255,616,500 | |
| | 175,000,000 | | | Federal National Mortgage Association | | | 1.63% | | | | 10/26/2015 | | | | 176,405,600 | |
| | 264,218,983 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 264,218,983 | |
| | 264,218,983 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 264,218,983 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $4,114,098,867) | | | | 4,114,358,186 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 101.2%
(Cost $45,376,798,440) | | | | 46,254,816,852 | |
| | | | Liabilities in Excess of Other Assets (1.2)% | | | | (528,209,014 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 45,726,607,838 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
US Government / Agency Mortgage Backed Obligations | | | 49.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 23.7% | |
Short Term Investments | | | 9.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.5% | |
Collateralized Loan Obligations | | | 4.9% | |
US Government Bonds and Notes | | | 4.4% | |
US Government Sponsored Banks | | | 1.3% | |
Asset Backed Obligations | | | 0.5% | |
Other Assets and Liabilities | | | (1.2)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $6,325,656,710 or 13.8% of net assets. |
| ¥ | Illiquid security. At March 31, 2015, the value of these securities amount to $406,971,739 or 0.9% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| 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 March 31, 2015 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 31 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 0.6% | |
| |
| | | | DB Master Finance LLC, | |
| $ | 15,000,000 | | | Series 2015-1A-A2I | | | 3.26% | ^ | | | 02/20/2045 | | | | 15,158,122 | |
| | 10,000,000 | | | Series 2015-1A-A2II | | | 3.98% | ^ | | | 02/20/2045 | | | | 10,228,305 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $25,000,000) | | | | 25,386,427 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 1.9% | |
| |
| | | | Akorn, Inc., | |
| | 997,494 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/16/2021 | | | | 1,003,733 | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 5.50% | # | | | 08/25/2021 | | | | 1,009,740 | |
| |
| | | | AlixPartners LLP, | |
| | 997,627 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 07/10/2020 | | | | 1,001,158 | |
| |
| | | | Allflex Holdings, Inc., | |
| | 997,468 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/17/2020 | | | | 999,962 | |
| |
| | | | Allied Security Holdings LLC, | |
| | 997,604 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 02/12/2021 | | | | 998,851 | |
| |
| | | | American Airlines, Inc., | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/08/2021 | | | | 1,007,315 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 997,404 | | | Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 998,656 | |
| |
| | | | American Tire Distributors, Inc., | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 09/01/2021 | | | | 1,005,625 | |
| |
| | | | Ardagh Packaging Finance, | |
| | 997,481 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 12/17/2019 | | | | 1,002,469 | |
| |
| | | | Asurion LLC, | |
| | 997,386 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.00% | # | | | 05/24/2019 | | | | 1,001,610 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 997,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 1,006,842 | |
| |
| | | | BMC Software Finance, Inc., | |
| | 997,383 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 977,904 | |
| |
| | | | Brand Energy & Infrastructure Services, Inc., | |
| | 997,475 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 11/26/2020 | | | | 972,333 | |
| |
| | | | Burger King Corporation, | |
| | 991,170 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/10/2021 | | | | 1,002,044 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Calpine Corporation, | |
| $ | 997,403 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.00% | # | | | 04/02/2018 | | | | 1,001,402 | |
| |
| | | | Candy Intermediate Holdings, Inc., | |
| | 997,442 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 7.50% | # | | | 06/18/2018 | | | | 992,454 | |
| |
| | | | Capital Automotive LP, | |
| | 997,323 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 1,002,624 | |
| |
| | | | Charter Communications, | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 4.25% | # | | | 09/13/2021 | | | | 1,009,725 | |
| |
| | | | Coveris Holdings SA, | |
| | 997,475 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 05/08/2019 | | | | 1,005,165 | |
| |
| | | | Crosby Acquisition Corporation, | |
| | 997,475 | | | Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/23/2020 | | | | 926,405 | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 1,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 1,000,000 | |
| |
| | | | Dave & Buster’s, Inc., | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/24/2020 | | | | 1,005,310 | |
| |
| | | | Delta Air Lines, Inc., | |
| | 997,449 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.25% | # | | | 10/18/2018 | | | | 998,691 | |
| |
| | | | Doosan Infracore International, Inc., | |
| | 997,277 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/28/2021 | | | | 1,009,743 | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 998,215 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 06/17/2020 | | | | 1,004,454 | |
| |
| | | | Energy Transfer Equity LP, | |
| | 450,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.00% | # | | | 12/02/2019 | | | | 449,213 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 997,487 | | | Guranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 996,365 | |
| |
| | | | Filtration Group, Inc., | |
| | 997,475 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 11/20/2020 | | | | 1,005,365 | |
| |
| | | | First Data Corporation, | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C1 | | | 3.67% | # | | | 03/23/2018 | | | | 1,001,000 | |
| |
| | | | Four Seasons Holdings, Inc., | |
| | 992,131 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 06/27/2020 | | | | 992,131 | |
| |
| | | | Gates Global LLC, | |
| | 997,494 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/05/2021 | | | | 994,940 | |
| |
| | | | Goodyear Tire & Rubber Company, | |
| | 1,000,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 4.75% | # | | | 04/30/2019 | | | | 1,011,875 | |
| |
| | | | Grosvenor Capital Management Holdings LLP, | |
| | 1,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 01/04/2021 | | | | 993,125 | |
| | | | | | |
| 32 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Guggenheim Partners Investment Management Holdings LLC, | |
| $ | 997,468 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/22/2020 | | | | 1,006,196 | |
| |
| | | | Hillman Group, Inc., | |
| | 997,487 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2021 | | | | 1,007,043 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 970,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 972,425 | |
| |
| | | | Ikaria, Inc., | |
| | 997,131 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 02/12/2021 | | | | 999,250 | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 997,375 | |
| |
| | | | Interline Brands, Inc., | |
| | 997,481 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/17/2021 | | | | 995,147 | |
| |
| | | | Jazz Acquisition, Inc., | |
| | 997,564 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 06/18/2021 | | | | 996,008 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/31/2022 | | | | 1,006,720 | |
| |
| | | | Live Nation Entertainment, Inc., | |
| | 997,468 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 08/14/2020 | | | | 998,092 | |
| |
| | | | MacDermid, Inc., | |
| | 997,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.75% | # | | | 06/05/2020 | | | | 1,005,605 | |
| |
| | | | MEG Energy Corporation, | |
| | 997,424 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/31/2020 | | | | 958,529 | |
| |
| | | | MGOC, Inc., | |
| | 985,216 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.25% | # | | | 07/31/2020 | | | | 991,127 | |
| |
| | | | Michaels Stores, Inc., | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 01/28/2020 | | | | 1,004,910 | |
| |
| | | | Mitchell International, Inc., | |
| | 1,000,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.50% | # | | | 10/11/2021 | | | | 994,375 | |
| |
| | | | National Financial Partners Corporation, | |
| | 997,494 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/01/2020 | | | | 996,870 | |
| |
| | | | National Vision, Inc., | |
| | 1,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 03/12/2021 | | | | 990,835 | |
| |
| | | | Neiman Marcus Group LLC, | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 10/23/2020 | | | | 998,125 | |
| |
| | | | Onex Wizard Acquisition Company, | |
| | 1,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 03/14/2022 | | | | 1,010,560 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | PharMEDium Healthcare Corporation, | |
| $ | 997,363 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 01/28/2021 | | | | 991,543 | |
| |
| | | | PODS LLC, | |
| | 1,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 02/02/2022 | | | | 1,010,625 | |
| |
| | | | Polarpak, Inc., | |
| | 554,374 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/05/2020 | | | | 555,760 | |
| |
| | | | Prestige Brands, Inc., | |
| | 985,075 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.50% | # | | | 09/03/2021 | | | | 990,000 | |
| |
| | | | Protection One, Inc., | |
| | 997,438 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/21/2019 | | | | 999,936 | |
| |
| | | | RBS Global, Inc., | |
| | 997,468 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 08/21/2020 | | | | 998,780 | |
| |
| | | | RCS Capital Corporation, | |
| | 987,179 | | | Guaranteed Senior Secured 2nd Lien Term Loan | | | 6.50% | # | | | 04/29/2019 | | | | 983,478 | |
| |
| | | | Revlon Consumer Products Corporation, | |
| | 979,538 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 10/08/2019 | | | | 980,919 | |
| |
| | | | Reynolds Group Holdings, Inc., | |
| | 974,671 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 11/30/2018 | | | | 980,154 | |
| |
| | | | Scientific Games International, Inc., | |
| | 997,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 6.00% | # | | | 10/01/2021 | | | | 1,001,171 | |
| |
| | | | Serta Simmons Holdings LLC, | |
| | 1,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/01/2019 | | | | 1,003,645 | |
| |
| | | | Southeast PowerGen LLC, | |
| | 997,500 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/02/2021 | | | | 1,006,852 | |
| |
| | | | Spin Holdco, Inc., | |
| | 997,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 995,939 | |
| |
| | | | Station Casinos LLC, | |
| | 957,895 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/02/2020 | | | | 961,559 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 997,500 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 11/03/2020 | | | | 1,002,492 | |
| |
| | | | TI Group Automotive Systems LLC, | |
| | 997,487 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/02/2021 | | | | 998,734 | |
| |
| | | | TMS International Corporation, | |
| | 997,475 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/16/2020 | | | | 977,525 | |
| |
| | | | Tower Automotive Holdings LLC, | |
| | 997,325 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/23/2020 | | | | 997,948 | |
| |
| | | | TPF II Power LLC, | |
| | 997,500 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/01/2021 | | | | 1,011,216 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 33 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Transtar Holding Company, | |
| $ | 1,000,000 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 10/09/2018 | | | | 986,250 | |
| |
| | | | TransUnion LLC, | |
| | 997,481 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/09/2021 | | | | 998,808 | |
| |
| | | | Travelport Finance Luxembourg S.A.R.L., | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 09/02/2021 | | | | 1,010,800 | |
| |
| | | | Univision Communications Inc, | |
| | 997,360 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C3 | | | 4.00% | # | | | 02/28/2020 | | | | 996,502 | |
| |
| | | | US Renal Care, Inc., | |
| | 997,468 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/03/2019 | | | | 1,000,585 | |
| |
| | | | WNA Holdings, Inc., | |
| | 444,213 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/05/2020 | | | | 445,324 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 997,494 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 10/01/2021 | | | | 996,451 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $75,151,709) | | | | 75,200,417 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 4.5% | |
| |
| | | | Adams Mill Ltd., | |
| | 875,000 | | | Series 2014-1A-D1 | | | 3.75% | #^ | | | 07/15/2026 | | | | 827,203 | |
| | 1,000,000 | | | Series 2014-1A-E1 | | | 5.25% | #^ | | | 07/15/2026 | | | | 882,543 | |
| |
| | | | ALM Loan Funding, | |
| | 1,000,000 | | | Series 2011-4A-C | | | 3.00% | #^ | | | 07/18/2022 | | | | 1,002,512 | |
| |
| | | | Apidos Ltd., | |
| | 2,000,000 | | | Series 2007-5A-B | | | 0.95% | #^ | | | 04/15/2021 | | | | 1,913,975 | |
| | 2,000,000 | | | Series 2013-16A-A1 | | | 1.71% | #^ | | | 01/19/2025 | | | | 2,000,742 | |
| | 2,950,000 | | | Series 2013-16A-B | | | 3.06% | #^ | | | 01/19/2025 | | | | 2,933,427 | |
| | 2,000,000 | | | Series 2014-18A-C | | | 3.91% | #^ | | | 07/22/2026 | | | | 1,933,241 | |
| | 1,000,000 | | | Series 2014-18A-D | | | 5.46% | #^ | | | 07/22/2026 | | | | 921,930 | |
| | 1,000,000 | | | Series 2014-19A-D | | | 3.96% | #^ | | | 10/17/2026 | | | | 975,129 | |
| | 1,500,000 | | | Series 2015-20A-B | | | 3.42% | #^ | | | 01/16/2027 | | | | 1,506,122 | |
| | 1,500,000 | | | Series 2015-20A-C | | | 3.92% | #^ | | | 01/16/2027 | | | | 1,460,961 | |
| |
| | | | ARES Ltd., | |
| | 1,500,000 | | | Series 2012-2A-D | | | 4.95% | #^ | | | 10/12/2023 | | | | 1,509,874 | |
| | 2,000,000 | | | Series 2013-1A-D | | | 4.00% | #^ | | | 04/15/2025 | | | | 1,958,459 | |
| | 2,345,981 | | | Series 2014-30A-A2 | | | 1.11% | #^ | | | 04/20/2023 | | | | 2,334,699 | |
| |
| | | | Babson Ltd., | |
| | 910,720 | | | Series 2005-3A-A | | | 0.51% | #^ | | | 11/10/2019 | | | | 907,940 | |
| | 3,000,000 | | | Series 2005-3A-D | | | 1.96% | #^ | | | 11/10/2019 | | | | 2,974,315 | |
| | 1,500,000 | | | Series 2012-1A-C | | | 4.25% | #^ | | | 04/15/2022 | | | | 1,503,720 | |
| | 1,000,000 | | | Series 2014-3A-D2 | | | 4.69% | #^ | | | 01/15/2026 | | | | 1,009,100 | |
| |
| | | | Ballyrock Ltd., | |
| | 1,000,000 | | | Series 2014-1A-B | | | 3.43% | #^ | | | 10/20/2026 | | | | 992,331 | |
| | 1,000,000 | | | Series 2014-1A-C | | | 3.98% | #^ | | | 10/20/2026 | | | | 962,553 | |
| |
| | | | Betony Ltd., | |
| | 2,500,000 | | | Series 2015-1A-C | | | 3.41% | #^ | | | 04/15/2027 | | | | 2,495,794 | |
| | 3,000,000 | | | Series 2015-1A-D | | | 3.86% | #^ | | | 04/15/2027 | | | | 2,831,779 | |
| |
| | | | Birchwood Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.40% | #^ | | | 07/15/2026 | | | | 1,003,241 | |
| | 1,000,000 | | | Series 2014-1A-D2 | | | 4.45% | #^ | | | 07/15/2026 | | | | 1,007,479 | |
| | 1,000,000 | | | Series 2014-1A-E2 | | | 6.65% | #^ | | | 07/15/2026 | | | | 1,001,830 | |
| |
| | | | BlueMountain Ltd., | |
| | 1,500,000 | | | Series 2012-1A-E | | | 5.76% | #^ | | | 07/20/2023 | | | | 1,476,618 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Brookside Mill Ltd., | |
| $ | 1,250,000 | | | Series 2013-1A-C1 | | | 2.95% | #^ | | | 04/17/2025 | | | | 1,214,914 | |
| | 2,250,000 | | | Series 2013-1A-D | | | 3.30% | #^ | | | 04/17/2025 | | | | 2,079,153 | |
| | 1,250,000 | | | Series 2013-1A-E | | | 4.65% | #^ | | | 04/17/2025 | | | | 1,078,633 | |
| |
| | | | Canyon Capital Ltd, | |
| | 2,500,000 | | | Series 2012-1A-C | | | 3.05% | #^ | | | 01/15/2024 | | | | 2,450,715 | |
| | 5,000,000 | | | Series 2014-1A-B | | | 2.90% | #^ | | | 04/30/2025 | | | | 4,886,930 | |
| | 2,750,000 | | | Series 2014-1A-C | | | 3.50% | #^ | | | 04/30/2025 | | | | 2,565,065 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 1,250,000 | | | Series 2014-3A-B | | | 3.41% | #^ | | | 07/27/2026 | | | | 1,253,904 | |
| | 2,000,000 | | | Series 2014-3A-C2 | | | 4.46% | #^ | | | 07/27/2026 | | | | 2,014,927 | |
| | 1,008,857 | | | Series 2005-7A-D1 | | | 1.97% | #^ | | | 09/30/2019 | | | | 1,008,890 | |
| |
| | | | Catamaran Ltd., | |
| | 2,500,000 | | | Series 2015-1A-C1 | | | 3.38% | #^ | | | 04/22/2027 | | | | 2,476,000 | |
| |
| | | | Cent Ltd., | |
| | 2,000,000 | | | Series 2013-18A-D | | | 3.71% | #^ | | | 07/23/2025 | | | | 1,939,929 | |
| | 1,500,000 | | | Series 2013-18A-E | | | 4.86% | #^ | | | 07/23/2025 | | | | 1,362,519 | |
| | 1,000,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 974,448 | |
| |
| | | | ColumbusNova Ltd., | |
| | 2,500,000 | | | Series 2006-2A-D | | | 1.76% | #^ | | | 04/04/2018 | | | | 2,493,860 | |
| |
| | | | Dorchester Park Ltd., | |
| | 1,000,000 | | | Series 2015-1A-C | | | 3.46% | #^ | | | 01/20/2027 | | | | 1,002,453 | |
| | 1,000,000 | | | Series 2015-1A-D | | | 3.81% | #^ | | | 01/20/2027 | | | | 965,178 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 500,000 | | | Series 2006-11A-C1 | | | 1.85% | #^ | | | 04/12/2020 | | | | 487,691 | |
| | 2,000,000 | | | Series 2012-24A-D | | | 5.01% | #^ | | | 11/15/2023 | | | | 2,024,010 | |
| | 950,000 | | | Series 2012-25A-E | | | 5.73% | #^ | | | 01/15/2025 | | | | 918,184 | |
| | 2,000,000 | | | Series 2013-28A-B1L | | | 3.46% | #^ | | | 08/15/2025 | | | | 1,909,874 | |
| |
| | | | Eaton Vance Ltd., | |
| | 1,500,000 | | | Series 2006-8A-B | | | 0.91% | #^ | | | 08/15/2022 | | | | 1,444,194 | |
| |
| | | | Emerson Park Ltd., | |
| | 1,000,000 | | | Series 2013-1A-C1 | | | 3.00% | #^ | | | 07/15/2025 | | | | 985,096 | |
| |
| | | | Flatiron Ltd., | |
| | 2,000,000 | | | Series 2014-1A-B | | | 3.11% | #^ | | | 07/17/2026 | | | | 1,979,170 | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.56% | #^ | | | 07/17/2026 | | | | 1,918,554 | |
| |
| | | | Four Corners Ltd., | |
| | 2,000,000 | | | Series 2006-3A-D | | | 1.76% | #^ | | | 07/22/2020 | | | | 1,943,525 | |
| | | | |
| | | | Galaxy Ltd., | | | | | | | | | | | | |
| | 2,000,000 | | | Series 2013-15A-B | | | 2.10% | #^ | | | 04/15/2025 | | | | 1,989,525 | |
| | 1,000,000 | | | Series 2013-15A-C | | | 2.85% | #^ | | | 04/15/2025 | | | | 983,272 | |
| | 1,000,000 | | | Series 2013-15A-D | | | 3.65% | #^ | | | 04/15/2025 | | | | 968,484 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 2,000,000 | | | Series 2012-6A-D | | | 4.46% | #^ | | | 04/17/2022 | | | | 2,006,748 | |
| | | | Gulf Stream Ltd., | | | | | | | | | | | | |
| | 1,000,000 | | | Series 2007-1X-B | | | 0.72% | # | | | 06/17/2021 | | | | 977,818 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 740,000 | | | Series 2013-2A-C | | | 2.95% | #^ | | | 08/01/2025 | | | | 707,002 | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.26% | #^ | | | 04/18/2026 | | | | 1,907,258 | |
| | 1,500,000 | | | Series 2014-3A-D | | | 3.91% | #^ | | | 10/22/2025 | | | | 1,361,056 | |
| |
| | | | ING Ltd., | |
| | 2,000,000 | | | Series 2013-3A-A1 | | | 1.85% | # | | | 08/01/2020 | | | | 1,915,957 | |
| | 2,000,000 | | | Series 2013-3A-B | | | 2.96% | #^ | | | 01/18/2026 | | | | 1,969,759 | |
| |
| | | | Inwood Park Ltd., | |
| | 2,000,000 | | | Series 2006-1A-B | | | 0.65% | #^ | | | 01/20/2021 | | | | 1,950,991 | |
| |
| | | | Jamestown Ltd., | |
| | 2,000,000 | | | Series 2015-6A-A1A | | | 1.86% | #^ | | | 02/20/2027 | | | | 2,007,553 | |
| |
| | | | LCM LP, | |
| | 2,000,000 | | | Series 11A-D2 | | | 4.21% | #^ | | | 04/19/2022 | | | | 1,999,649 | |
| | 1,000,000 | | | Series 12A-E | | | 6.01% | #^ | | | 10/19/2022 | | | | 983,822 | |
| | 2,850,000 | | | Series 14A-D | | | 3.75% | #^ | | | 07/15/2025 | | | | 2,771,127 | |
| | 2,500,000 | | | Series 15A-C | | | 3.36% | #^ | | | 08/25/2024 | | | | 2,509,286 | |
| | 1,000,000 | | | Series 16A-D | | | 3.85% | #^ | | | 07/15/2026 | | | | 968,650 | |
| | 2,000,000 | | | Series 6A-C | | | 1.06% | #^ | | | 05/28/2019 | | | | 1,944,969 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 1,000,000 | | | Series 2007-4A-D | | | 1.69% | #^ | | | 03/22/2021 | | | | 967,269 | |
| | 1,702,000 | | | Series 2007-6A-C | | | 1.26% | #^ | | | 07/26/2021 | | | | 1,665,732 | |
| | | | | | |
| 34 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Madison Park Funding Ltd., (Cont.) | |
| $ | 2,000,000 | | | Series 2012-9X-C1 | | | 3.86% | # | | | 08/15/2022 | | | | 2,024,962 | |
| | 1,000,000 | | | Series 2014-13A-D | | | 3.61% | #^ | | | 01/19/2025 | | | | 957,009 | |
| | 1,000,000 | | | Series 2014-13X-E | | | 5.26% | # | | | 01/19/2025 | | | | 922,946 | |
| | 3,500,000 | | | Series 2014-14A-D | | | 3.86% | #^ | | | 07/20/2026 | | | | 3,395,444 | |
| | 750,000 | | | Series 2014-14A-E | | | 5.01% | #^ | | | 07/20/2026 | | | | 680,292 | |
| | 2,000,000 | | | Series 2014-15A-C | | | 3.91% | #^ | | | 01/27/2026 | | | | 1,948,129 | |
| | 3,000,000 | | | Series 2015-16A-B | | | 3.30% | #^ | | | 04/20/2026 | | | | 2,990,033 | |
| |
| | | | Magnetite Ltd., | |
| | 1,500,000 | | | Series 2012-7A-D | | | 5.50% | #^ | | | 01/15/2025 | | | | 1,430,434 | |
| | 2,000,000 | | | Series 2014-11A-C | | | 3.84% | #^ | | | 01/18/2027 | | | | 1,929,120 | |
| | 1,500,000 | | | Series 2014-8A-C | | | 3.35% | #^ | | | 04/15/2026 | | | | 1,498,530 | |
| | 2,000,000 | | | Series 2015-12A-B | | | 2.52% | #^ | | | 04/15/2027 | | | | 2,002,507 | |
| |
| | | | Nautique Funding Ltd., | |
| | 1,000,000 | | | Series 2006-1A-C | | | 1.95% | #^ | | | 04/15/2020 | | | | 974,130 | |
| |
| | | | Nomad Ltd., | |
| | 1,500,000 | | | Series 2013-1A-B | | | 3.20% | #^ | | | 01/15/2025 | | | | 1,479,374 | |
| | 1,500,000 | | | Series 2013-1A-C | | | 3.75% | #^ | | | 01/15/2025 | | | | 1,426,071 | |
| |
| | | | North End Ltd., | |
| | 1,000,000 | | | Series 2013-1A-D | | | 3.76% | #^ | | | 07/17/2025 | | | | 947,073 | |
| |
| | | | OCP Ltd., | |
| | 2,000,000 | | | Series 2013-3A-B | | | 3.01% | #^ | | | 01/17/2025 | | | | 1,952,296 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 2,000,000 | | | Series 2013-1A-D | | | 3.61% | #^ | | | 07/17/2025 | | | | 1,873,124 | |
| | 2,000,000 | | | Series 2013-1A-E | | | 4.76% | #^ | | | 07/17/2025 | | | | 1,745,478 | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.79% | #^ | | | 11/22/2025 | | | | 1,011,420 | |
| | 1,000,000 | | | Series 2014-1A-D2 | | | 4.87% | #^ | | | 11/22/2025 | | | | 1,004,440 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 2,000,000 | | | Series 2011-1AR-DR | | | 3.31% | #^ | | | 04/20/2021 | | | | 2,005,856 | |
| |
| | | | OZLM Funding Ltd., | |
| | 10,000,000 | | | Series 2013-3A-A1 | | | 1.59% | #^ | | | 01/22/2025 | | | | 9,951,505 | |
| |
| | | | OZLM Ltd., | |
| | 1,500,000 | | | Series 2015-11A-A2A | | | 2.52% | #^ | | | 01/30/2027 | | | | 1,504,560 | |
| |
| | | | Race Point Ltd., | |
| | 1,000,000 | | | Series 2007-4A-D | | | 2.25% | #^ | | | 08/01/2021 | | | | 980,126 | |
| | 1,000,000 | | | Series 2013-8A-B | | | 2.13% | #^ | | | 02/20/2025 | | | | 996,355 | |
| |
| | | | Saturn Ltd., | |
| | 500,000 | | | Series 2007-1A-D | | | 4.26% | #^ | | | 05/13/2022 | | | | 477,438 | |
| |
| | | | Symphony Ltd., | |
| | 3,000,000 | | | Series 2013-11A-B1 | | | 2.46% | #^ | | | 01/17/2025 | | | | 3,011,283 | |
| | 3,000,000 | | | Series 2013-11A-C | | | 3.41% | #^ | | | 01/17/2025 | | | | 3,019,327 | |
| |
| | | | Thacher Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C | | | 3.30% | #^ | | | 10/20/2026 | | | | 1,001,803 | |
| | 1,000,000 | | | Series 2014-1A-D1 | | | 3.78% | #^ | | | 10/20/2026 | | | | 961,504 | |
| |
| | | | Venture Ltd., | |
| | 500,000 | | | Series 2012-10A-C | | | 3.51% | #^ | | | 07/20/2022 | | | | 501,251 | |
| | 2,000,000 | | | Series 2012-10A-D | | | 4.46% | #^ | | | 07/20/2022 | | | | 2,004,942 | |
| |
| | | | WG Horizons, | |
| | 1,500,000 | | | Series 2006-1A-C | | | 1.96% | #^ | | | 05/24/2019 | | | | 1,472,022 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,000,000 | | | Series 2006-1A-B1L | | | 2.10% | #^ | | | 05/01/2018 | | | | 2,001,649 | |
| |
| | | | Wind River Ltd., | |
| | 3,000,000 | | | Series 2013-1A-C | | | 3.66% | #^ | | | 04/20/2025 | | | | 2,847,993 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $181,262,040) | | | | 181,191,686 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 13.3% | |
| | 1,500,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 1,695,000 | |
| | 1,600,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 1,808,000 | |
| | 3,700,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 3,831,979 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 500,000 | | | Aeropuertos Dominicanos | | | 9.75% | #^ | | | 11/13/2019 | | | | 483,750 | |
| | 1,500,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 1,451,250 | |
| | 6,300,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 6,583,500 | |
| | 700,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 731,500 | |
| | 2,000,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 1,790,000 | |
| | 3,500,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 3,582,950 | |
| | 5,500,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 5,630,350 | |
| | 1,700,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 1,028,500 | |
| | 8,770,000 | | | Alibaba Group Holding Ltd. | | | 3.60% | ^ | | | 11/28/2024 | | | | 8,815,744 | |
| | 7,700,000 | | | Australia and New Zealand Banking Group Ltd. | | | 4.88% | ^ | | | 01/12/2021 | | | | 8,784,268 | |
| | 2,400,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 2,412,000 | |
| | 2,600,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 2,613,000 | |
| | 3,450,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 3,713,925 | |
| | 500,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 520,625 | |
| | 900,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 897,750 | |
| | 2,500,000 | | | Banco de Bogota S.A. | | | 5.38% | ^ | | | 02/19/2023 | | | | 2,600,000 | |
| | 500,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 520,000 | |
| | 1,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 1,024,500 | |
| | 2,000,000 | | | Banco de Costa Rica | | | 5.25% | ^ | | | 08/12/2018 | | | | 2,049,000 | |
| | 4,200,000 | | | Banco de Credito del Peru | | | 6.13% | # | | | 04/24/2027 | | | | 4,588,080 | |
| | 2,500,000 | | | Banco do Brasil S.A. | | | 8.50% | #† | | | 10/20/2020 | | | | 2,641,250 | |
| | 4,500,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 3,900,735 | |
| | 3,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 2,910,000 | |
| | 4,005,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 4,224,194 | |
| | 3,235,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 3,509,975 | |
| | 1,695,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 1,953,425 | |
| | 2,500,000 | | | Banco Nacional de Costa Rica | | | 6.25% | | | | 11/01/2023 | | | | 2,556,250 | |
| | 2,800,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 2,978,640 | |
| | 400,000 | | | Banco Regional SAECA | | | 8.13% | ^ | | | 01/24/2019 | | | | 425,520 | |
| | 1,800,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 1,907,460 | |
| | 2,000,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 2,146,900 | |
| | 4,255,000 | | | Bank Of Montreal | | | 1.40% | | | | 09/11/2017 | | | | 4,275,113 | |
| | 4,375,000 | | | Bank Of Montreal | | | 2.38% | | | | 01/25/2019 | | | | 4,481,496 | |
| | 1,250,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 1,315,625 | |
| | 400,000 | | | BBVA Banco Continental S.A. | | | 5.25% | #^ | | | 09/22/2029 | | | | 406,880 | |
| | 5,600,000 | | | BBVA Banco Continental S.A. | | | 5.25% | # | | | 09/22/2029 | | | | 5,696,320 | |
| | 1,100,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 1,097,030 | |
| | 5,700,000 | | | BBVA Bancomer S.A. | | | 5.35% | #^ | | | 11/12/2029 | | | | 5,684,610 | |
| | 4,500,000 | | | BP Capital Markets PLC | | | 3.06% | | | | 03/17/2022 | | | | 4,581,927 | |
| | 1,000,000 | | | BR Malls International Finance Ltd. | | | 8.50% | † | | | 01/21/2016 | | | | 1,012,500 | |
| | 3,300,000 | | | Braskem America Finance Company | | | 7.13% | | | | 07/22/2041 | | | | 2,957,130 | |
| | 6,925,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 7,748,466 | |
| | 650,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 643,500 | |
| | 1,500,000 | | | Camposol S.A. | | | 9.88% | ^ | | | 02/02/2017 | | | | 1,485,000 | |
| | 3,700,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 3,949,750 | |
| | 2,000,000 | | | Cemex S.A.B. de C.V. | | | 5.70% | | | | 01/11/2025 | | | | 1,978,000 | |
| | 5,000,000 | | | Cemex S.A.B. de C.V. | | | 5.70% | ^ | | | 01/11/2025 | | | | 4,945,000 | |
| | 4,000,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 3,970,520 | |
| | 2,700,000 | | | Cencosud S.A. | | | 5.15% | ^ | | | 02/12/2025 | | | | 2,672,257 | |
| | 6,456,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 6,819,150 | |
| | 1,900,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 1,577,000 | |
| | 2,000,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 1,660,000 | |
| | 5,500,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 5,802,500 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 35 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 500,000 | | | Columbus International, Inc. | | | 7.38% | ^ | | | 03/30/2021 | | | | 527,500 | |
| | 2,400,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 2,563,200 | |
| | 5,000,000 | | | Comcel Trust | | | 6.88% | ^ | | | 02/06/2024 | | | | 5,340,000 | |
| | 6,000,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 5,947,500 | |
| | 1,500,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 1,493,133 | |
| | 3,500,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 3,483,977 | |
| | 4,000,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 3,592,000 | |
| | 2,000,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 2,106,786 | |
| | 800,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | ^ | | | 02/10/2017 | | | | 802,000 | |
| | 2,444,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | | | | 02/10/2017 | | | | 2,450,110 | |
| | 500,000 | | | Cosan Luxembourg S.A. | | | 5.00% | | | | 03/14/2023 | | | | 445,000 | |
| | 700,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 697,270 | |
| | 3,500,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 3,594,500 | |
| | 6,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 6,056,940 | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 512,500 | |
| | 3,000,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 3,019,500 | |
| | 3,900,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 3,577,080 | |
| | 5,100,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 4,677,720 | |
| | 3,400,000 | | | Ecopetrol S.A. | | | 4.13% | | | | 01/16/2025 | | | | 3,263,592 | |
| | 1,300,000 | | | Ecopetrol S.A. | | | 7.38% | | | | 09/18/2043 | | | | 1,418,625 | |
| | 11,900,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 11,215,750 | |
| | 2,148,588 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 2,218,417 | |
| | 3,700,000 | | | ENTEL Chile S.A. | | | 4.75% | | | | 08/01/2026 | | | | 3,810,626 | |
| | 3,300,000 | | | ENTEL Chile S.A. | | | 4.75% | ^ | | | 08/01/2026 | | | | 3,398,667 | |
| | 2,100,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 2,052,750 | |
| | 4,400,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 4,301,000 | |
| | 3,673,120 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 3,865,958 | |
| | 500,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.88% | | | | 03/15/2023 | | | | 463,668 | |
| | 10,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 5.45% | | | | 03/15/2043 | | | | 8,982,010 | |
| | 8,000,000 | | | Fresnillo PLC | | | 5.50% | | | | 11/13/2023 | | | | 8,400,000 | |
| | 300,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 309,300 | |
| | 3,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 3,127,200 | |
| | 3,500,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 3,648,400 | |
| | 2,000,000 | | | GNL Quintero S.A. | | | 4.63% | | | | 07/31/2029 | | | | 2,082,888 | |
| | 2,000,000 | | | GNL Quintero S.A. | | | 4.63% | ^ | | | 07/31/2029 | | | | 2,082,888 | |
| | 1,600,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 1,164,000 | |
| | 4,300,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 4,271,835 | |
| | 3,200,000 | | | Grupo Aval Ltd. | | | 4.75% | ^ | | | 09/26/2022 | | | | 3,179,040 | |
| | 3,950,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 4,269,950 | |
| | 2,000,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 2,085,000 | |
| | 900,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 925,875 | |
| | 4,000,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 4,115,000 | |
| | 2,200,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | ^ | | | 12/04/2022 | | | | 2,253,900 | |
| | 2,400,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | | | | 12/04/2022 | | | | 2,458,800 | |
| | 2,500,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 2,690,625 | |
| | 800,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 777,840 | |
| | 5,300,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 5,153,190 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 208,500 | |
| | 1,800,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 1,876,500 | |
| | 1,500,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 1,578,750 | |
| | 500,000 | | | InRetail Shopping Malls | | | 6.50% | ^ | | | 07/09/2021 | | | | 526,250 | |
| | 2,300,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 2,429,375 | |
| | 2,800,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 2,957,500 | |
| | 6,340,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 6,015,075 | |
| | 6,000,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 6,240,000 | |
| | 200,000 | | | JBS Investments GmbH | | | 7.25% | ^ | | | 04/03/2024 | | | | 205,750 | |
| | 3,800,000 | | | JBS Investments GmbH | | | 7.25% | | | | 04/03/2024 | | | | 3,909,250 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 750,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 791,250 | |
| | 1,600,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 1,256,000 | |
| | 2,000,000 | | | Marfrig Holdings B.V. | | | 8.38% | | | | 05/09/2018 | | | | 1,900,000 | |
| | 4,100,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 3,495,250 | |
| | 2,900,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 2,472,250 | |
| | 1,350,000 | | | Metalsa S.A. de C.V. | | | 4.90% | | | | 04/24/2023 | | | | 1,285,875 | |
| | 1,000,000 | | | Mexichem S.A.B. de C.V. | | | 6.75% | | | | 09/19/2042 | | | | 1,085,000 | |
| | 900,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | ^ | | | 09/17/2044 | | | | 891,000 | |
| | 2,500,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | | | | 09/17/2044 | | | | 2,475,000 | |
| | 3,700,000 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 3,764,750 | |
| | 1,000,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 984,000 | |
| | 8,400,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 8,914,500 | |
| | 4,500,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 4,297,500 | |
| | 3,500,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 3,342,500 | |
| | 1,300,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 1,283,750 | |
| | 300,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 296,250 | |
| | 1,000,000 | | | Nakilat, Inc. | | | 6.07% | | | | 12/31/2033 | | | | 1,173,750 | |
| | 1,938,784 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 2,284,188 | |
| | 5,300,000 | | | OAS Financial Ltd. | | | 8.88% | #^†W | | | 04/25/2018 | | | | 808,250 | |
| | 1,500,000 | | | OAS Financial Ltd. | | | 8.88% | #†W | | | 04/29/2049 | | | | 228,750 | |
| | 1,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/14/2015 | | | | 1,252,500 | |
| | 1,700,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 1,421,625 | |
| | 4,000,000 | | | Oleoducto Central S.A. | | | 4.00% | | | | 05/07/2021 | | | | 3,992,000 | |
| | 3,915,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 4,004,211 | |
| | 6,600,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 6,888,090 | |
| | 4,700,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 2,761,250 | |
| | 1,500,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | ^ | | | 03/28/2023 | | | | 881,250 | |
| | 1,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | | | | 01/19/2025 | | | | 590,700 | |
| | 5,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 2,953,500 | |
| | 1,000,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 792,500 | |
| | 1,800,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 1,426,500 | |
| | 500,000 | | | Petrobras Global Finance B.V. | | | 4.88% | | | | 03/17/2020 | | | | 450,250 | |
| | 1,000,000 | | | Petrobras Global Finance B.V. | | | 5.38% | | | | 01/27/2021 | | | | 912,000 | |
| | 2,500,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 2,756,250 | |
| | 2,000,000 | | | Petroleos Mexicanos | | | 4.50% | ^ | | | 01/23/2026 | | | | 2,043,000 | |
| | 2,000,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 06/27/2044 | | | | 2,027,500 | |
| | 9,040,000 | | | Petroleos Mexicanos | | | 5.63% | ^ | | | 01/23/2046 | | | | 9,218,992 | |
| | 2,960,000 | | | Reliance Industries Ltd. | | | 5.88% | † | | | 02/05/2018 | | | | 2,989,304 | |
| | 3,450,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 3,153,366 | |
| | 600,000 | | | Rio Oil Finance Trust | | | 6.25% | ^ | | | 07/06/2024 | | | | 548,411 | |
| | 3,550,000 | | | SACI Falabella | | | 4.38% | | | | 01/27/2025 | | | | 3,673,260 | |
| | 3,160,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 3,239,000 | |
| | 1,000,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 1,047,800 | |
| | 1,500,000 | | | Southern Copper Corporation | | | 7.50% | | | | 07/27/2035 | | | | 1,725,810 | |
| | 8,000,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 8,608,800 | |
| | 3,800,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 3,410,880 | |
| | 6,700,000 | | | SUAM Finance B.V. | | | 4.88% | ^ | | | 04/17/2024 | | | | 6,951,250 | |
| | 1,300,000 | | | SUAM Finance B.V. | | | 4.88% | | | | 04/17/2024 | | | | 1,348,750 | |
| | 3,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 2,954,367 | |
| | 8,000,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 8,220,000 | |
| | 5,000,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 5,046,125 | |
| | 4,000,000 | | | Tencent Holdings Ltd. | | | 3.80% | ^ | | | 02/11/2025 | | | | 4,095,996 | |
| | 4,442,000 | | | Teva Pharmaceutical Finance Company B.V. | | | 2.95% | | | | 12/18/2022 | | | | 4,440,605 | |
| | 3,122,000 | | | TransCanada PipeLines Ltd. | | | 4.63% | | | | 03/01/2034 | | | | 3,371,345 | |
| | 4,200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 4,488,750 | |
| | | | | | |
| 36 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 1,625,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | | | | 07/22/2019 | | | | 1,517,913 | |
| | 1,400,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 1,307,740 | |
| | 3,000,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | ^ | | | 10/30/2021 | | | | 3,040,500 | |
| | 6,000,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 6,227,160 | |
| | 2,000,000 | | | Vale Overseas Ltd. | | | 4.63% | | | | 09/15/2020 | | | | 2,004,000 | |
| | 2,500,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 2,279,688 | |
| | 2,200,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 1,826,000 | |
| | 1,800,000 | | | Vedanta Resources PLC | | | 7.13% | | | | 05/31/2023 | | | | 1,494,000 | |
| | 5,000,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 4,765,000 | |
| | 8,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 8,320,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $547,019,399) | | | | 535,388,005 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.6% |
|
| | 6,658,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 6,825,722 | |
| | 1,000,000 | | | Costa Rica Government International Bond | | | 7.00% | ^ | | | 04/04/2044 | | | | 1,020,000 | |
| | 3,500,000 | | | Costa Rica Government International Bond | | | 7.16% | ^ | | | 03/12/2045 | | | | 3,622,500 | |
| | 6,300,000 | | | Panama Government International Bond | | | 3.75% | | | | 03/16/2025 | | | | 6,489,000 | |
| | 6,330,000 | | | United Mexican States | | | 4.00% | | | | 10/02/2023 | | | | 6,717,712 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $23,963,533) | | | | 24,674,934 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 3.9% | |
| | 6,100,000 | | | City of Dallas, TX | | | 5.00% | | | | 02/15/2027 | | | | 7,385,758 | |
| | 8,700,000 | | | County of Montgomery, MD | | | 5.00% | | | | 11/01/2026 | | | | 10,868,214 | |
| | 5,100,000 | | | East Bay Municipal Utility District Water System Revenue | | | 5.00% | | | | 06/01/2031 | | | | 6,222,306 | |
| | 12,900,000 | | | Gwinnett County School District | | | 5.00% | | | | 02/01/2031 | | | | 15,803,790 | |
| | 7,100,000 | | | New York Dormitory Authority | | | 5.00% | | | | 02/15/2032 | | | | 8,364,510 | |
| | 5,000,000 | | | State of Arkansas | | | 5.00% | | | | 04/01/2025 | | | | 6,275,500 | |
| | 8,600,000 | | | State of California | | | 5.00% | | | | 05/01/2031 | | | | 10,090,896 | |
| | 6,900,000 | | | State of Louisiana | | | 5.00% | | | | 12/01/2027 | | | | 8,371,080 | |
| | 10,700,000 | | | State of Nevada | | | 5.00% | | | | 11/01/2026 | | | | 13,218,352 | |
| | 10,500,000 | | | State of Oregon Department of Transporation | | | 5.00% | | | | 11/15/2029 | | | | 12,681,375 | |
| | 13,700,000 | | | State of Texas | | | 5.00% | | | | 04/01/2027 | | | | 16,625,498 | |
| | 9,600,000 | | | State of Washington | | | 5.00% | | | | 07/01/2027 | | | | 11,699,424 | |
| | 12,100,000 | | | University of Texas | | | 5.00% | | | | 08/15/2027 | | | | 14,804,229 | |
| | 9,500,000 | | | Utah Transit Authority | | | 5.00% | | | | 06/15/2031 | | | | 11,464,695 | |
| | 3,100,000 | | | Virginia Resources Authority | | | 5.00% | | | | 11/01/2028 | | | | 3,780,016 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $156,863,545) | | | | 157,655,643 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 5.0% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 2,000,000 | | | Series 2014-IP-E | | | 2.72% | #^ | | | 06/15/2028 | | | | 2,001,385 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| $ | 358,412 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 358,435 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 3,775,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 3,906,865 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 3,735,300 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 3,911,688 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 11,584,225 | | | Series 2012-GC8-XA | | | 2.36% | #^ I/O | | | 09/10/2045 | | | | 1,129,004 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 4,234,500 | | | Series 2015-GC27-D | | | 4.43% | #^ | | | 02/10/2048 | | | | 3,911,410 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 2,602,680 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 2,666,275 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 4,686,053 | | | Series 2002-LC4-XA | | | 2.59% | #^ I/O | | | 12/10/2044 | | | | 525,923 | |
| | 2,008,549 | | | Series 2010-C1-XPA | | | 2.20% | #^ I/O | | | 07/10/2046 | | | | 50,323 | |
| | 29,067,631 | | | Series 2012-CR3-XA | | | 2.17% | # I/O | | | 10/15/2045 | | | | 3,147,719 | |
| | 2,370,000 | | | Series 2014-CR15-D | | | 4.92% | #^ | | | 02/10/2047 | | | | 2,392,737 | |
| | 3,500,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 3,699,136 | |
| | 3,783,000 | | | Series 2015-LC19-B | | | 3.83% | # | | | 02/10/2048 | | | | 3,951,268 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 604,648 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 623,667 | |
| | 40,658 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 40,663 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,875,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 1,977,023 | |
| | 2,500,000 | | | Series 2007-C4-A1AM | | | 5.90% | # | | | 09/15/2039 | | | | 2,709,747 | |
| | 3,800,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 4,012,165 | |
| |
| | | | DBRR Trust, | |
| | 1,000,000 | | | Series 2011-C32-A3B | | | 5.71% | #^ | | | 06/17/2049 | | | | 1,059,517 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 5,316,663 | | | Series 2011-LC2A-XA | | | 1.56% | #^ I/O | | | 07/10/2044 | | | | 236,918 | |
| |
| | | | Extended Stay America Trust, | |
| | 1,000,000 | | | Series 2013-ESFL-DFL | | | 3.32% | #^ | | | 12/05/2031 | | | | 1,001,258 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 449,329 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 449,200 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 3,707,800 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 3,936,868 | |
| | 3,500,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 3,793,141 | |
| | 3,681,100 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 3,894,893 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 2,600,000 | | | Series 2006-GG6-AJ | | | 5.71% | # | | | 04/10/2038 | | | | 2,659,337 | |
| | 13,017,009 | | | Series 2006-GG6-XC | | | 0.13% | #^ I/O | | | 04/10/2038 | | | | 5,324 | |
| | 3,811,500 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 3,902,585 | |
| | 4,714,213 | | | Series 2011-GC5-XA | | | 1.83% | #^ I/O | | | 08/10/2044 | | | | 260,265 | |
| | 5,698,887 | | | Series 2012-GC6-XA | | | 2.30% | #^ I/O | | | 01/10/2045 | | | | 588,353 | |
| | 3,741,000 | | | Series 2014-GC26-C | | | 4.66% | # | | | 11/10/2047 | | | | 3,941,501 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 34,865,130 | | | Series 2006-LDP8-X | | | 0.72% | # I/O | | | 05/15/2045 | | | | 207,413 | |
| | 2,500,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 2,602,266 | |
| | 1,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 1,065,360 | |
| | 3,684,600 | | | Series 2007-CIBC19-AM | | | 5.89% | # | | | 02/12/2049 | | | | 3,901,253 | |
| | 3,705,300 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 3,906,716 | |
| | 3,750,000 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 4,079,816 | |
| | 12,050,000 | | | Series 2009-IWST-XB | | | 0.54% | #^ I/O | | | 12/05/2027 | | | | 205,880 | |
| | 1,000,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 1,059,340 | |
| | 11,292,986 | | | Series 2011-C4-XA | | | 1.47% | #^ I/O | | | 07/15/2046 | | | | 459,805 | |
| | 32,956,073 | | | Series 2012-C8-XA | | | 2.12% | # I/O | | | 10/15/2045 | | | | 3,255,994 | |
| | 7,207,692 | | | Series 2012-CBX-XA | | | 1.75% | # I/O | | | 06/15/2045 | | | | 545,330 | |
| | 1,250,000 | | | Series 2015-CSMO-C | | | 2.43% | #^ | | | 01/15/2032 | | | | 1,251,957 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 59,281,647 | | | Series 2014-C18-XA | | | 1.15% | # I/O | | | 02/15/2047 | | | | 3,848,565 | |
| | 3,000,000 | | | Series 2014-C21-C | | | 4.66% | # | | | 08/15/2047 | | | | 3,224,361 | |
| | 2,766,125 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 2,927,163 | |
| | 3,766,500 | | | Series 2014-C25-C | | | 4.45% | # | | | 11/15/2047 | | | | 3,981,384 | |
| | 58,882,024 | | | Series 2014-C25-XA | | | 1.02% | # I/O | | | 11/15/2047 | | | | 4,096,364 | |
| | 51,053,539 | | | Series 2014-C26-XA | | | 1.19% | # I/O | | | 01/15/2048 | | | | 3,859,214 | |
| | 34,969,466 | | | Series 2015-C27-XA | | | 1.40% | # I/O | | | 02/15/2048 | | | | 3,170,157 | |
| | 4,474,600 | | | Series 2015-C27-D | | | 3.85% | #^ | | | 02/15/2048 | | | | 3,964,390 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 37 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | LB Commercial Mortgage Trust, | |
| $ | 3,000,000 | | | Series 2007-C3-AMFL | | | 5.90% | #^ | | | 07/15/2044 | | | | 3,272,546 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 9,277,450 | | | Series 2006-C7-XCL | | | 0.63% | #^ I/O | | | 11/15/2038 | | | | 83,979 | |
| | 7,482,128 | | | Series 2006-C7-XW | | | 0.63% | #^ I/O | | | 11/15/2038 | | | | 67,728 | |
| | 2,100,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 2,193,989 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 3,050,000 | | | Series 2006-C1-AJ | | | 5.87% | # | | | 05/12/2039 | | | | 3,091,347 | |
| | 1,600,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 1,626,275 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 3,728,700 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 3,943,175 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 2,886,381 | | | Series 2012-C5-XA | | | 1.87% | #^ I/O | | | 08/15/2045 | | | | 228,837 | |
| | 2,975,000 | | | Series 2014-C14-D | | | 4.83% | #^ | | | 02/15/2047 | | | | 3,008,499 | |
| | 3,000,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 3,141,269 | |
| | 4,000,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 3,993,658 | |
| | 4,735,900 | | | Series 2015-C20-D | | | 3.07% | ^ | | | 02/15/2048 | | | | 3,976,636 | |
| | 39,806,082 | | | Series 2015-C20-XA | | | 1.43% | # I/O | | | 02/15/2048 | | | | 3,921,038 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 3,813,300 | | | Series 2006-HQ8-AJ | | | 5.68% | # | | | 03/12/2044 | | | | 3,902,188 | |
| | 3,462,000 | | | Series 2007-1Q16-AMA | | | 6.28% | # | | | 12/12/2049 | | | | 3,770,622 | |
| | 16,585 | | | Series 2007-HQ12-A2FL | | | 0.43% | # | | | 04/12/2049 | | | | 16,580 | |
| | 3,818,800 | | | Series 2007-IQ13-AJ | | | 5.44% | | | | 03/15/2044 | | | | 3,888,648 | |
| | 3,700,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 3,945,680 | |
| | 1,400,000 | | | Series 2007-IQ16-AM | | | 6.29% | # | | | 12/12/2049 | | | | 1,539,021 | |
| | 28,611,354 | | | Series 2011-C1-XA | | | 0.90% | #^ I/O | | | 09/15/2047 | | | | 399,944 | |
| | 4,000,000 | | | Series 2014-CPT-G | | | 3.56% | #^ | | | 07/13/2029 | | | | 3,843,518 | |
| | 4,000,000 | | | Series 2014-MP-D | | | 3.69% | #^ | | | 08/11/2029 | | | | 4,131,958 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 1,000,000 | | | Series 2007-C4-AJ | | | 5.53% | # | | | 08/15/2039 | | | | 1,012,717 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 14,348,193 | | | Series 2012-C3-XA | | | 2.28% | #^ I/O | | | 08/10/2049 | | | | 1,539,741 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 2,500,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 2,568,448 | |
| | 16,122,492 | | | Series 2006-C29-IO | | | 0.37% | # I/O | | | 11/15/2048 | | | | 104,006 | �� |
| | 1,900,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 1,947,523 | |
| | 3,500,000 | | | Series 2007-C33-AM | | | 5.96% | # | | | 02/15/2051 | | | | 3,796,692 | |
| | 2,500,000 | | | Series 2007-C33-B | | | 5.96% | # | | | 02/15/2051 | | | | 2,559,941 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 19,057,781 | | | Series 2012-C9-XA | | | 2.20% | #^ I/O | | | 11/15/2045 | | | | 2,070,085 | |
| | 56,730,743 | | | Series 2014-C22-XA | | | 0.97% | # I/O | | | 09/15/2057 | | | | 3,701,029 | |
| | 59,556,929 | | | Series 2014-C24-XA | | | 0.99% | # I/O | | | 11/15/2047 | | | | 4,087,392 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $200,635,017) | | | | 199,732,030 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 9.0% |
|
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 95,954 | | | Series 2007-3-1A1 | | | 3.70% | #^ | | | 11/25/2037 | | | | 80,341 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 4,000,000 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 4,092,598 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 2,266,894 | | | Series 2005-G-A3 | | | 4.72% | # | | | 10/20/2035 | | | | 2,177,221 | |
| | 1,423,967 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 1,448,479 | |
| | 867,191 | | | Series 2006-6-1A2 | | | 6.25% | | | | 08/25/2036 | | | | 859,497 | |
| |
| | | | BCAP LLC Trust, | |
| | 1,284,068 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 1,324,290 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 307,610 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 256,060 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 6,268,048 | | | Series 2007-A2-6A4 | | | 2.48% | # | | | 07/25/2037 | | | | 5,558,693 | |
| | 2,103,957 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 1,993,104 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 180,693 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 185,022 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 1,800,000 | | | Series 2006-2-A5 | | | 6.04% | # | | | 09/25/2036 | | | | 1,822,730 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| $ | 372,190 | | | Series 2006-WF2-A2C | | | 5.61% | # | | | 05/25/2036 | | | | 243,662 | |
| | 4,928,000 | | | Series 2008-AR4-2A1B | | | 2.75% | #^ | | | 11/25/2038 | | | | 4,432,961 | |
| | 2,734,586 | | | Series 2010-8-5A4 | | | 7.58% | #^ | | | 11/25/2036 | | | | 2,419,573 | |
| | 13,943,354 | | | Series 2010-8-6A4 | | | 7.37% | #^ | | | 12/25/2036 | | | | 11,993,922 | |
| | 1,631,444 | | | Series 2011-12-3A1 | | | 2.55% | #^ | | | 09/25/2047 | | | | 1,629,861 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 271,903 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 239,904 | |
| | 149,852 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 124,373 | |
| | 269,989 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 232,435 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 3,066,273 | | | Series 2004-22CB-1A1 | | | 6.00% | | | | 10/25/2034 | | | | 3,273,802 | |
| | 344,657 | | | Series 2005-20CB-1A1 | | | 5.50% | | | | 07/25/2035 | | | | 326,919 | |
| | 395,773 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 319,721 | |
| | 1,961,789 | | | Series 2005-46CB-A22 | | | 5.25% | | | | 10/25/2035 | | | | 1,884,919 | |
| | 339,489 | | | Series 2005-J10-1A13 | | | 0.87% | # | | | 10/25/2035 | | | | 277,922 | |
| | 635,349 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 561,735 | |
| | 14,619,981 | | | Series 2006-42-1A8 | | | 6.00% | | | | 01/25/2047 | | | | 13,001,228 | |
| | 2,273,605 | | | Series 2007-12T1-A1 | | | 6.00% | | | | 06/25/2037 | | | | 1,945,096 | |
| | 2,468,488 | | | Series 2007-16CB-2A1 | | | 0.62% | # | | | 08/25/2037 | | | | 1,577,265 | |
| | 714,813 | | | Series 2007-16CB-2A2 | | | 53.14% | # I/F | | | 08/25/2037 | | | | 1,782,333 | |
| | 182,708 | | | Series 2007-17CB-1A10 | | | 29.10% | # I/F | | | 08/25/2037 | | | | 287,110 | |
| | 948,846 | | | Series 2007-18CB-2A17 | | | 6.00% | | | | 08/25/2037 | | | | 864,106 | |
| | 3,928,565 | | | Series 2007-23CB-A3 | | | 0.67% | # | | | 09/25/2037 | | | | 2,613,419 | |
| | 3,859,147 | | | Series 2007-23CB-A4 | | | 6.33% | # I/F I/O | | | 09/25/2037 | | | | 1,113,518 | |
| | 799,209 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 226,510 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 165,638 | | | Series 2005-13-AF3 | | | 5.02% | # | | | 04/25/2036 | | | | 150,194 | |
| |
| | | | Countrywide Home Loans, | |
| | 164,554 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 167,158 | |
| | 797,360 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 742,355 | |
| | 1,417,993 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 1,341,264 | |
| | 620,981 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 609,353 | |
| | 1,703,156 | | | Series 2007-3-A17 | | | 6.00% | | | | 04/25/2037 | | | | 1,602,396 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 179,164 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 163,123 | |
| | 2,732,830 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 2,662,682 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 6,413,866 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 5,683,891 | |
| | 261,734 | | | Series 2006-4-7A1 | | | 5.50% | | | | 05/25/2021 | | | | 250,164 | |
| | 191,583 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 157,876 | |
| | 89,522 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 88,795 | |
| | 9,136,854 | | | Series 2010-4R-3A17 | | | 6.13% | #^ | | | 06/26/2037 | | | | 8,535,424 | |
| | 13,238,367 | | | Series 2013-IVR1-A1 | | | 2.50% | #^ | | | 03/25/2043 | | | | 12,826,389 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 19,681,925 | | | Series 2005-6-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 16,493,925 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 2,333,470 | | | Series 2006-PR1-3A1 | | | 11.88% | #^ I/F | | | 04/15/2036 | | | | 2,741,141 | |
| | 248,538 | | | Series 2006-PR1-4AI2 | | | 14.27% | #^ I/F | | | 04/15/2036 | | | | 306,205 | |
| | 1,704,534 | | | Series 2006-PR1-5AI4 | | | 11.88% | #^ I/F | | | 04/15/2036 | | | | 2,018,680 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 659,250 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 567,839 | |
| | 5,911,648 | | | Series 2006-FA8-1A1 | | | 6.25% | | | | 02/25/2037 | | | | 5,086,016 | |
| | 170,361 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 159,111 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 633,475 | | | Series 2005-7-AF5 | | | 4.61% | # | | | 05/25/2035 | | | | 664,509 | |
| | 2,502,282 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 2,227,557 | |
| | 1,890,809 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 1,517,735 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 106,728 | | | Series 2006-2F-5A1 | | | 4.50% | | | | 01/25/2021 | | | | 101,894 | |
| | 8,641,739 | | | Series 2006-3F-4A1 | | | 6.00% | | | | 03/25/2036 | | | | 7,974,527 | |
| | 1,384,499 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 1,331,733 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 82,004 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 80,298 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 38,421,248 | | | Series 2006-5-1A1C | | | 0.44% | # | | | 02/25/2037 | | | | 29,899,108 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 455,539 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 333,959 | |
| | | | | | |
| 38 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Alternative Loan Trust, (Cont.) | |
| $ | 9,901,160 | | | Series 2006-S3-A4 | | | 6.31% | # | | | 08/25/2036 | | | | 8,001,266 | |
| | 1,688,119 | | | Series 2006-S3-A6 | | | 6.12% | # | | | 08/25/2036 | | | | 1,601,478 | |
| | 2,354,816 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 2,175,876 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 480,325 | | | Series 2007-S3-1A7 | | | 6.00% | | | | 08/25/2037 | | | | 436,763 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 2,859,003 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 2,879,289 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 3,188,909 | | | Series 2005-1-2A4 | | | 5.50% | | | | 11/25/2035 | | | | 3,007,429 | |
| | 1,024,090 | | | Series 2006-3-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 836,090 | |
| | 73,118 | | | Series 2006-9-1A19 | | | 29.88% | # I/F | | | 01/25/2037 | | | | 112,850 | |
| | 1,261,832 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 1,103,269 | |
| | 274,399 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 219,348 | |
| |
| | | | MASTR Alternative Loans Trust, | |
| | 167,307 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 167,610 | |
| | 74,802 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 59,050 | |
| |
| | | | MASTR Asset Securitization Trust, | |
| | 268,138 | | | Series 2003-2-30B2 | | | 5.75% | | | | 04/25/2033 | | | | 265,702 | |
| | 4,459,634 | | | Series 2006-2-1A11 | | | 6.00% | # | | | 06/25/2036 | | | | 4,270,396 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 398,218 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 407,303 | |
| | 2,175,909 | | | Series 2005-7-7A4 | | | 5.50% | | | | 11/25/2035 | | | | 2,218,299 | |
| | 5,425,686 | | | Series 2006-7-3A | | | 5.34% | # | | | 06/25/2036 | | | | 4,619,418 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 3,535,728 | | | Series 2010-R6-5C | | | 5.75% | #^ | | | 05/26/2037 | | | | 3,239,747 | |
| |
| | | | Nomura Asset Acceptance Corporation, | |
| | 275,148 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 169,769 | |
| |
| | | | Nomura Home Equity Loan, Inc., | |
| | 702,283 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 380,746 | |
| | 1,266,479 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 750,019 | |
| |
| | | | Option One Mortgage Loan Trust, | |
| | 85,172 | | | Series 2004-3-M3 | | | 1.15% | # | | | 11/25/2034 | | | | 77,267 | |
| |
| | | | PHH Alternative Mortgage Trust, | |
| | 1,350,069 | | | Series 2007-2-4A1 | | | 6.00% | | | | 05/25/2022 | | | | 1,262,289 | |
| |
| | | | PR Mortgage Loan Trust, | |
| | 14,205,528 | | | Series 2014-1-APT | | | 5.93% | #^ | | | 10/25/2049 | | | | 14,510,947 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 438,438 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 457,508 | |
| | 677,965 | | | Series 2005-QS14-3A3 | | | 6.00% | | | | 09/25/2035 | | | | 626,232 | |
| | 155,004 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 157,014 | |
| | 725,711 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 606,597 | |
| | 7,918,948 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 6,912,513 | |
| | 7,996,022 | | | Series 2006-QS4-A10 | | | 6.00% | | | | 04/25/2036 | | | | 6,688,160 | |
| | 1,661,450 | | | Series 2006-QS6-1A15 | | | 6.00% | | | | 06/25/2036 | | | | 1,397,022 | |
| | 452,584 | | | Series 2006-QS6-2A1 | | | 6.00% | | | | 06/25/2021 | | | | 445,249 | |
| | 2,396,880 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 1,954,351 | |
| | 8,332,592 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 7,299,909 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 550,000 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 553,372 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 317,192 | | | Series 2005-A10-A3 | | | 5.50% | | | | 09/25/2035 | | | | 288,131 | |
| | 402,437 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 314,554 | |
| | 102,261 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 92,831 | |
| | 2,111,560 | | | Series 2006-A6-1A1 | | | 6.50% | | | | 07/25/2036 | | | | 1,321,665 | |
| | 211,437 | | | Series 2006-R1-A1 | | | 27.71% | # I/F | | | 01/25/2046 | | | | 397,009 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 218,337 | | | Series 2006-S10-1A2 | | | 6.00% | | | | 10/25/2036 | | | | 194,208 | |
| | 1,125,904 | | | Series 2006-S11-A3 | | | 6.00% | | | | 11/25/2036 | | | | 1,060,591 | |
| | 2,069,206 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 1,869,847 | |
| | 1,452,808 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 1,328,597 | |
| |
| | | | Securitized Mortgage Asset Loan Trust, | |
| | 52,926,040 | | | Series 2015-1-PC | | | 2.19% | #^¥ | | | 02/25/2054 | | | | 37,790,690 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 1,768,741 | | | Series 2003-35-1A1 | | | 5.21% | # | | | 12/25/2033 | | | | 1,845,052 | |
| | 2,407,416 | | | Series 2005-14-1A1 | | | 0.47% | # | | | 07/25/2035 | | | | 2,138,176 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Structured Asset Securities Corporation, (Cont.) | |
| $ | 2,258,633 | | | Series 2005-16-1A3 | | | 5.50% | | | | 09/25/2035 | | | | 2,319,731 | |
| | 2,096,077 | | | Series 2005-RF1-A | | | 0.52% | #^ | | | 03/25/2035 | | | | 1,775,300 | |
| | 2,096,077 | | | Series 2005-RF1-AIO | | | 5.14% | #^ I/O | | | 03/25/2035 | | | | 292,590 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 201,662 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 192,604 | |
| | 2,049,304 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 1,881,435 | |
| | 3,776,183 | | | Series 2006-2-4CB | | | 6.00% | | | | 03/25/2036 | | | | 3,339,256 | |
| | 5,881,757 | | | Series 2006-8-A6 | | | 4.82% | # | | | 10/25/2036 | | | | 4,279,373 | |
| | 5,008,954 | | | Series 2006-AR19-2A | | | 1.94% | # | | | 01/25/2047 | | | | 4,543,056 | |
| | 3,557,233 | | | Series 2007-3-A6 | | | 6.00% | | | | 04/25/2037 | | | | 3,058,566 | |
| | 226,659 | | | Series 2007-5-A11 | | | 38.44% | # I/F | | | 06/25/2037 | | | | 441,993 | |
| | 12,362,410 | | | Series 2007-5-A3 | | | 7.00% | | | | 06/25/2037 | | | | 7,667,760 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 2,546,957 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 2,481,868 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 2,704,671 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 2,761,894 | |
| | 139,884 | | | Series 2005-AR14-A6 | | | 5.37% | # | | | 08/25/2035 | | | | 135,143 | |
| | 222,483 | | | Series 2005-AR16-6A4 | | | 2.61% | # | | | 10/25/2035 | | | | 214,457 | |
| | 950,021 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 980,080 | |
| | 2,316,016 | | | Series 2006-7-2A1 | | | 6.00% | | | | 06/25/2036 | | | | 2,243,598 | |
| | 2,167,830 | | | Series 2007-10-1A5 | | | 6.00% | | | | 07/25/2037 | | | | 2,138,967 | |
| | 2,482,971 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 2,380,093 | |
| | 3,679,535 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 3,641,739 | |
| | 4,315,527 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 4,392,358 | |
| | 1,073,724 | | | Series 2007-4-A16 | | | 5.50% | | | | 04/25/2037 | | | | 1,040,838 | |
| | 2,683,113 | | | Series 2007-5-1A1 | | | 5.50% | | | | 05/25/2037 | | | | 2,835,909 | |
| | 267,005 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 271,060 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $353,338,069) | | | | 361,476,796 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 16.7% | |
| | 1,970,000 | | | 21st Century Fox America, Inc. | | | 4.75% | | | | 09/15/2044 | | | | 2,217,320 | |
| | 4,570,000 | | | Actavis Funding SCS | | | 2.35% | | | | 03/12/2018 | | | | 4,634,378 | |
| | 4,570,000 | | | Actavis Funding SCS | | | 4.75% | | | | 03/15/2045 | | | | 4,869,632 | |
| | 4,503,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 4,806,952 | |
| | 4,500,000 | | | Air Lease Corporation | | | 3.75% | | | | 02/01/2022 | | | | 4,579,344 | |
| | 5,590,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 5,813,600 | |
| | 4,470,000 | | | Ally Financial, Inc. | | | 4.13% | | | | 03/30/2020 | | | | 4,453,237 | |
| | 4,424,000 | | | Altria Group, Inc. | | | 2.85% | | | | 08/09/2022 | | | | 4,405,247 | |
| | 4,605,000 | | | Amazon.com, Inc. | | | 3.80% | | | | 12/05/2024 | | | | 4,849,406 | |
| | 4,295,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 4,627,862 | |
| | 2,645,000 | | | American Express Credit Corporation | | | 2.13% | | | | 03/18/2019 | | | | 2,680,583 | |
| | 6,210,000 | | | American Express Credit Corporation | | | 2.25% | | | | 08/15/2019 | | | | 6,303,889 | |
| | 1,555,000 | | | Argos Merger Sub, Inc. | | | 7.13% | ^ | | | 03/15/2023 | | | | 1,615,256 | |
| | 2,245,000 | | | Asbury Automotive Group, Inc. | | | 6.00% | | | | 12/15/2024 | | | | 2,340,412 | |
| | 4,730,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 4,824,600 | |
| | 4,670,000 | | | Audatex North America, Inc. | | | 6.00% | ^ | | | 06/15/2021 | | | | 4,961,875 | |
| | 4,775,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 4,936,156 | |
| | 6,579,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 6,632,152 | |
| | 4,320,000 | | | BB&T Corporation | | | 2.45% | | | | 01/15/2020 | | | | 4,397,458 | |
| | 4,764,000 | | | Berkshire Hathaway Energy Company | | | 6.50% | | | | 09/15/2037 | | | | 6,471,575 | |
| | 6,200,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 6,378,250 | |
| | 4,830,000 | | | Biomet, Inc. | | | 6.50% | | | | 08/01/2020 | | | | 5,131,875 | |
| | 2,782,000 | | | Boeing Company | | | 6.88% | | | | 03/15/2039 | | | | 4,204,489 | |
| | 4,019,000 | | | Boston Properties LP | | | 4.13% | | | | 05/15/2021 | | | | 4,373,584 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 39 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,110,000 | | | Burlington Northern Santa Fe LLC | | | 4.55% | | | | 09/01/2044 | | | | 4,523,088 | |
| | 4,974,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 5,104,567 | |
| | 1,530,000 | | | CCOH Safari LLC | | | 5.50% | | | | 12/01/2022 | | | | 1,568,250 | |
| | 6,240,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 6,721,728 | |
| | 2,315,000 | | | Cequel Communications LLC | | | 6.38% | ^ | | | 09/15/2020 | | | | 2,451,006 | |
| | 4,360,000 | | | Chevron Corporation | | | 1.37% | | | | 03/02/2018 | | | | 4,382,445 | |
| | 1,345,000 | | | Cinemark USA, Inc. | | | 7.38% | | | | 06/15/2021 | | | | 1,449,237 | |
| | 6,730,000 | | | Citigroup, Inc. | | | 1.75% | | | | 05/01/2018 | | | | 6,722,139 | |
| | 4,395,000 | | | Coca-Cola Company | | | 1.80% | | | | 09/01/2016 | | | | 4,471,222 | |
| | 4,255,000 | | | Comcast Corporation | | | 4.20% | | | | 08/15/2034 | | | | 4,619,347 | |
| | 4,833,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 4,851,124 | |
| | 3,275,000 | | | ConocoPhillips Company | | | 6.50% | | | | 02/01/2039 | | | | 4,433,571 | |
| | 5,440,000 | | | Covidien International Finance S.A. | | | 2.95% | | | | 06/15/2023 | | | | 5,533,013 | |
| | 2,575,000 | | | Dana Holding Corporation | | | 5.50% | | | | 12/15/2024 | | | | 2,665,125 | |
| | 3,675,000 | | | Delphi Corporation | | | 4.15% | | | | 03/15/2024 | | | | 3,913,941 | |
| | 3,619,000 | | | Devon Energy Corporation | | | 6.30% | | | | 01/15/2019 | | | | 4,150,931 | |
| | 4,595,000 | | | DIRECTV Holdings LLC | | | 3.95% | | | | 01/15/2025 | | | | 4,743,708 | |
| | 4,700,000 | | | Dow Chemical Company | | | 3.00% | | | | 11/15/2022 | | | | 4,748,321 | |
| | 4,445,000 | | | Duke Energy Progress, Inc. | | | 4.15% | | | | 12/01/2044 | | | | 4,868,729 | |
| | 4,130,000 | | | Ecolab, Inc. | | | 3.00% | | | | 12/08/2016 | | | | 4,259,492 | |
| | 2,625,000 | | | Energy Gulf Coast, Inc. | | | 9.25% | | | | 12/15/2017 | | | | 1,785,000 | |
| | 1,987,000 | | | Energy Gulf Coast, Inc. | | | 11.00% | ^ | | | 03/15/2020 | | | | 1,895,101 | |
| | 990,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 361,350 | |
| | 1,715,000 | | | Energy Partners Ltd. | | | 8.25% | | | | 02/15/2018 | | | | 1,277,675 | |
| | 3,970,000 | | | ERP Operating LP | | | 4.50% | | | | 07/01/2044 | | | | 4,290,907 | |
| | 1,245,000 | | | Family Tree Escrow LLC | | | 5.75% | ^ | | | 03/01/2023 | | | | 1,313,475 | |
| | 4,375,000 | | | Fedex Corporation | | | 4.10% | | | | 02/01/2045 | | | | 4,387,692 | |
| | 6,295,000 | | | Ford Motor Company | | | 7.45% | | | | 07/16/2031 | | | | 8,714,326 | |
| | 3,105,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 3,500,887 | |
| | 6,105,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 6,242,363 | |
| | 6,725,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 6,380,344 | |
| | 8,660,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 8,977,121 | |
| | 5,255,000 | | | General Motors Financial Company, Inc. | | | 3.00% | | | | 09/25/2017 | | | | 5,358,366 | |
| | 8,790,000 | | | Georgia-Pacific LLC | | | 3.60% | ^ | | | 03/01/2025 | | | | 9,029,070 | |
| | 3,370,000 | | | Glencore Funding LLC | | | 3.13% | ^ | | | 04/29/2019 | | | | 3,453,576 | |
| | 4,070,000 | | | Goldman Sachs Group, Inc. | | | 2.60% | | | | 04/23/2020 | | | | 4,118,071 | |
| | 5,980,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 6,607,900 | |
| | 4,500,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 4,758,750 | |
| | 4,236,000 | | | HCA, Inc. | | | 4.25% | | | | 10/15/2019 | | | | 4,357,785 | |
| | 1,980,000 | | | HCA, Inc. | | | 5.38% | | | | 02/01/2025 | | | | 2,082,713 | |
| | 6,010,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 6,460,750 | |
| | 5,290,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 4,866,800 | |
| | 6,395,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 6,530,894 | |
| | 2,357,000 | | | Illinois Tool Works, Inc. | | | 3.38% | | | | 09/15/2021 | | | | 2,508,708 | |
| | 900,000 | | | Illinois Tool Works, Inc. | | | 3.50% | | | | 03/01/2024 | | | | 955,645 | |
| | 4,060,000 | | | Infor, Inc. | | | 6.50% | ^ | | | 05/15/2022 | | | | 4,171,650 | |
| | 9,175,000 | | | International Business Machines Corporation | | | 1.13% | | | | 02/06/2018 | | | | 9,161,164 | |
| | 8,910,000 | | | JP Morgan Chase & Company | | | 1.70% | | | | 03/01/2018 | | | | 8,948,170 | |
| | 2,276,000 | | | Kellogg Company | | | 7.45% | | | | 04/01/2031 | | | | 3,078,718 | |
| | 3,640,000 | | | Kinder Morgan Energy Partners LP | | | 6.95% | | | | 01/15/2038 | | | | 4,326,901 | |
| | 2,385,000 | | | Kindred Escrow Corporation | | | 8.00% | ^ | | | 01/15/2020 | | | | 2,571,328 | |
| | 6,271,000 | | | Kroger Company | | | 3.40% | | | | 04/15/2022 | | | | 6,488,434 | |
| | 2,095,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 2,141,107 | |
| | 4,340,000 | | | Laboratory Corporation | | | 4.70% | | | | 02/01/2045 | | | | 4,485,611 | |
| | 6,281,000 | | | Level 3 Communications, Inc. | | | 5.75% | | | | 12/01/2022 | | | | 6,463,149 | |
| | 310,000 | | | Level 3 Financing, Inc. | | | 5.38% | | | | 08/15/2022 | | | | 320,559 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 5,294,000 | | | Liberty Mutual Group, Inc. | | | 6.50% | ^ | | | 05/01/2042 | | | | 6,834,485 | |
| | 5,220,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 5,494,050 | |
| | 5,820,000 | | | Louisiana-Pacific Corporation | | | 7.50% | | | | 06/01/2020 | | | | 6,241,950 | |
| | 1,920,000 | | | Manitowoc Company, Inc. | | | 8.50% | | | | 11/01/2020 | | | | 2,064,000 | |
| | 625,000 | | | Masonite International Corporation | | | 5.63% | ^ | | | 03/15/2023 | | | | 643,750 | |
| | 3,880,000 | | | Mattel, Inc. | | | 2.50% | | | | 11/01/2016 | | | | 3,945,262 | |
| | 5,510,000 | | | Memorial Production Partners LP | | | 6.88% | ^ | | | 08/01/2022 | | | | 4,903,900 | |
| | 8,711,000 | | | MetLife, Inc. | | | 4.13% | | | | 08/13/2042 | | | | 9,079,510 | |
| | 6,125,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 6,572,891 | |
| | 4,855,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 5,049,200 | |
| | 4,570,000 | | | Morgan Stanley | | | 2.65% | | | | 01/27/2020 | | | | 4,647,192 | |
| | 4,225,000 | | | Morgan Stanley | | | 3.75% | | | | 02/25/2023 | | | | 4,435,587 | |
| | 3,574,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 3,575,869 | |
| | 4,402,000 | | | Mylan, Inc. | | | 2.60% | | | | 06/24/2018 | | | | 4,497,766 | |
| | 5,410,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 10.38% | | | | 11/01/2018 | | | | 7,014,833 | |
| | 3,905,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 2.00% | | | | 01/27/2020 | | | | 3,902,993 | |
| | 1,045,000 | | | NCL Corporation Ltd. | | | 5.00% | | | | 02/15/2018 | | | | 1,071,125 | |
| | 5,111,000 | | | NCL Corporation Ltd. | | | 5.25% | ^ | | | 11/15/2019 | | | | 5,264,330 | |
| | 8,612,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 8,834,155 | |
| | 1,934,000 | | | Phillips 66 | | | 5.88% | | | | 05/01/2042 | | | | 2,312,575 | |
| | 1,970,000 | | | Pilgrim’s Pride Corporation | | | 5.75% | ^ | | | 03/15/2025 | | | | 2,019,250 | |
| | 6,450,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 6,595,125 | |
| | 1,765,000 | | | Platform Specialty Products Corporation | | | 6.50% | ^ | | | 02/01/2022 | | | | 1,853,250 | |
| | 330,000 | | | PNC Funding Corporation | | | 4.38% | | | | 08/11/2020 | | | | 367,778 | |
| | 3,880,000 | | | PNC Funding Corporation | | | 3.30% | | | | 03/08/2022 | | | | 4,092,931 | |
| | 3,865,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 4,009,938 | |
| | 2,325,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 2,386,031 | |
| | 5,494,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 5,700,025 | |
| | 4,950,000 | | | Reynolds Group Issuer LLC | | | 8.25% | | | | 02/15/2021 | | | | 5,321,250 | |
| | 1,850,000 | | | Rite Aid Corporation | | | 6.13% | ^ | | | 04/01/2023 | | | | 1,905,500 | |
| | 4,599,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 4,915,181 | |
| | 1,955,000 | | | Sanchez Energy Corporation | | | 6.13% | | | | 01/15/2023 | | | | 1,766,831 | |
| | 5,700,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 6,039,150 | |
| | 280,000 | | | SBA Telecommunications, Inc. | | | 5.75% | | | | 07/15/2020 | | | | 295,750 | |
| | 4,850,000 | | | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 4,983,375 | |
| | 4,925,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 4,897,297 | |
| | 4,617,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 4,847,850 | |
| | 6,435,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 6,426,956 | |
| | 2,630,000 | | | Simon Property Group LP | | | 5.65% | | | | 02/01/2020 | | | | 3,047,612 | |
| | 1,550,000 | | | Simon Property Group LP | | | 4.13% | | | | 12/01/2021 | | | | 1,699,569 | |
| | 2,019,000 | | | Southern Company | | | 1.95% | | | | 09/01/2016 | | | | 2,050,771 | |
| | 1,750,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 1,804,990 | |
| | 3,078,000 | | | Southern Power Company | | | 4.88% | | | | 07/15/2015 | | | | 3,115,475 | |
| | 3,670,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 3,789,275 | |
| | 3,102,000 | | | Southwest Airlines Company | | | 5.13% | | | | 03/01/2017 | | | | 3,317,794 | |
| | 3,915,000 | | | Spectrum Brands, Inc. | | | 6.75% | | | | 03/15/2020 | | | | 4,140,113 | |
| | 3,266,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 3,494,620 | |
| | 4,590,000 | | | Steel Dynamics, Inc. | | | 5.13% | ^ | | | 10/01/2021 | | | | 4,641,638 | |
| | | | | | |
| 40 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,285,000 | | | Synchrony Financial | | | 3.00% | | | | 08/15/2019 | | | | 4,380,641 | |
| | 4,401,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 4,533,030 | |
| | 6,232,000 | | | Tesoro Logistics LP | | | 6.25% | ^ | | | 10/15/2022 | | | | 6,481,280 | |
| | 6,390,000 | | | Thermo Fisher Scientific, Inc. | | | 3.30% | | | | 02/15/2022 | | | | 6,562,127 | |
| | 4,445,000 | | | TIAA Asset Management Finance Company LLC | | | 2.95% | ^ | | | 11/01/2019 | | | | 4,560,499 | |
| | 6,405,000 | | | Transdigm, Inc. | | | 6.00% | | | | 07/15/2022 | | | | 6,429,019 | |
| | 4,123,000 | | | Triangle USA Petroleum Corporation | | | 6.75% | ^ | | | 07/15/2022 | | | | 3,349,938 | |
| | 8,515,000 | | | Tyson Foods, Inc. | | | 3.95% | | | | 08/15/2024 | | | | 9,013,204 | |
| | 5,320,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 4,827,900 | |
| | 5,785,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 6,357,715 | |
| | 8,530,000 | | | Verizon Communications, Inc. | | | 4.40% | | | | 11/01/2034 | | | | 8,718,462 | |
| | 5,915,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 6,610,013 | |
| | 8,120,000 | | | Walgreens Boots Alliance, Inc. | | | 4.80% | | | | 11/18/2044 | | | | 8,800,716 | |
| | 3,290,000 | | | Waste Management, Inc. | | | 3.13% | | | | 03/01/2025 | | | | 3,328,595 | |
| | 3,290,000 | | | Waste Management, Inc. | | | 4.10% | | | | 03/01/2045 | | | | 3,376,626 | |
| | 4,165,000 | | | WCI Communities, Inc. | | | 6.88% | | | | 08/15/2021 | | | | 4,289,950 | |
| | 4,621,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 4,691,276 | |
| | 2,945,000 | | | Wells Fargo & Company | | | 4.60% | | | | 04/01/2021 | | | | 3,310,068 | |
| | 5,105,000 | | | Wells Fargo & Company | | | 3.50% | | | | 03/08/2022 | | | | 5,424,297 | |
| | 4,425,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 4,558,321 | |
| | 4,405,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 4,416,867 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $655,892,268) | | | | 668,993,468 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 19.1% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 1,694,899 | | | Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 1,887,840 | |
| | 1,007,933 | | | Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 1,116,466 | |
| | 22,943,353 | | | Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 23,458,618 | |
| | 58,543,870 | | | Pool G08622 | | | 3.00% | | | | 01/01/2045 | | | | 59,812,876 | |
| | 4,798,612 | | | Pool N70081 | | | 5.50% | | | | 07/01/2038 | | | | 5,461,225 | |
| | 6,395,315 | | | Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 6,612,031 | |
| | 914,243 | | | Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 996,738 | |
| | 124,116 | | | Series 2692-SC | | | 12.94% | # I/F | | | 07/15/2033 | | | | 146,421 | |
| | 4,647,563 | | | Series 2722-PS | | | 9.70% | # I/F | | | 12/15/2033 | | | | 5,307,422 | |
| | 245,767 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 273,655 | |
| | 452,658 | | | Series 3002-SN | | | 6.33% | # I/F I/O | | | 07/15/2035 | | | | 83,649 | |
| | 198,975 | | | Series 3045-DI | | | 6.56% | # I/F I/O | | | 10/15/2035 | | | | 38,318 | |
| | 778,748 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 878,666 | |
| | 85,855 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 92,444 | |
| | 1,038,079 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 1,154,043 | |
| | 277,218 | | | Series 3275-SC | | | 5.91% | # I/F I/O | | | 02/15/2037 | | | | 38,160 | |
| | 2,151,673 | | | Series 3382-SB | | | 5.83% | # I/F I/O | | | 11/15/2037 | | | | 254,111 | |
| | 1,775,863 | | | Series 3384-S | | | 6.22% | # I/F I/O | | | 11/15/2037 | | | | 216,238 | |
| | 2,157,338 | | | Series 3417-SX | | | 6.01% | # I/F I/O | | | 02/15/2038 | | | | 233,280 | |
| | 235,290 | | | Series 3423-GS | | | 5.48% | # I/F I/O | | | 03/15/2038 | | | | 24,199 | |
| | 235,290 | | | Series 3423-SG | | | 5.48% | # I/F I/O | | | 03/15/2038 | | | | 25,870 | |
| | 344,080 | | | Series 3524-LB | | | 4.79% | # | | | 06/15/2038 | | | | 351,999 | |
| | 931,579 | | | Series 3562-WS | | | 4.78% | # I/F I/O | | | 08/15/2039 | | | | 75,955 | |
| | 567,963 | | | Series 3582-SA | | | 5.83% | # I/F I/O | | | 10/15/2049 | | | | 67,344 | |
| | 1,030,467 | | | Series 3606-CS | | | 6.18% | # I/F I/O | | | 12/15/2039 | | | | 225,045 | |
| | 561,925 | | | Series 3616-SG | | | 6.18% | # I/F I/O | | | 03/15/2032 | | | | 91,196 | |
| | 2,886,555 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 3,187,568 | |
| | 963,825 | | | Series 3666-SC | | | 5.60% | # I/F I/O | | | 05/15/2040 | | | | 139,732 | |
| | 647,782 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 721,504 | |
| | 49,414 | | | Series 3688-CM | | | 4.00% | | | | 07/15/2029 | | | | 49,584 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| $ | 50,069 | | | Series 3745-SY | | | 9.65% | # I/F | | | 10/15/2040 | | | | 51,816 | |
| | 2,427,635 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 2,578,738 | |
| | 1,400,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 1,522,253 | |
| | 294,243 | | | Series 3780-YS | | | 9.55% | # I/F | | | 12/15/2040 | | | | 311,792 | |
| | 770,138 | | | Series 3786-SG | | | 9.15% | # I/F | | | 01/15/2041 | | | | 813,911 | |
| | 16,316,682 | | | Series 3792-SE | | | 9.51% | # I/F | | | 01/15/2041 | | | | 16,995,171 | |
| | 2,362,066 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 2,510,840 | |
| | 100,159 | | | Series 3798-SD | | | 9.25% | # I/F | | | 12/15/2040 | | | | 106,330 | |
| | 59,906 | | | Series 3805-KS | | | 9.15% | # I/F | | | 02/15/2041 | | | | 61,819 | |
| | 1,876,738 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 2,134,949 | |
| | 1,156,635 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 1,224,261 | |
| | 4,787,257 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 5,249,290 | |
| | 2,472,174 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 2,755,634 | |
| | 3,736,782 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 4,045,444 | |
| | 251,282 | | | Series 3828-SW | | | 12.68% | # I/F | | | 02/15/2041 | | | | 279,424 | |
| | 3,914,657 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 4,341,641 | |
| | 3,473,057 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 3,722,122 | |
| | 2,599,110 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 2,961,430 | |
| | 19,499,039 | | | Series 3967-ZP | | | 4.00% | | | | 09/15/2041 | | | | 21,316,847 | |
| | 5,601,432 | | | Series 3972-AZ | | | 3.50% | | | | 12/15/2041 | | | | 5,632,209 | |
| | 22,321,478 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 24,342,654 | |
| | 8,177,203 | | | Series 4096-DZ | | | 3.50% | | | | 08/15/2042 | | | | 8,487,160 | |
| | 26,041,730 | | | Series 4165-ZT | | | 3.00% | | | | 02/15/2043 | | | | 25,040,113 | |
| | 14,156,811 | | | Series 4291-MS | | | 5.73% | # I/F I/O | | | 01/15/2054 | | | | 2,369,107 | |
| | 16,886,248 | | | Series 4341-AZ | | | 3.00% | | | | 05/15/2044 | | | | 16,057,724 | |
| | 27,297,781 | | | Series 4377-A | | | 3.00% | | | | 06/15/2039 | | | | 28,536,978 | |
| | 19,086,095 | | | Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 19,845,463 | |
| | 12,140,614 | | | Series 4413-AZ | | | 3.50% | | | | 11/15/2044 | | | | 12,404,466 | |
| | 17,237,379 | | | Series 4419-TB | | | 3.00% | | | | 02/15/2040 | | | | 17,881,333 | |
| | 10,087,755 | | | Series 4423-Z | | | 3.50% | | | | 12/15/2044 | | | | 10,195,367 | |
| | 27,376,149 | | | Series 4427-MA | | | 3.00% | | | | 02/15/2034 | | | | 28,639,571 | |
| | 1,046,740 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 1,180,016 | |
| |
| | | | Federal National Mortgage Association, | |
| | 131,354 | | | Series 2003-117-KS | | | 6.93% | # I/F I/O | | | 08/25/2033 | | | | 8,957 | |
| | 500,000 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 546,288 | |
| | 5,000,000 | | | Series 2005-20-QH | | | 5.00% | | | | 03/25/2035 | | | | 5,412,415 | |
| | 845,968 | | | Series 2006-101-SA | | | 6.41% | # I/F I/O | | | 10/25/2036 | | | | 176,916 | |
| | 395,364 | | | Series 2006-56-SM | | | 6.58% | # I/F I/O | | | 07/25/2036 | | | | 79,138 | |
| | 322,637 | | | Series 2007-116-BI | | | 6.08% | # I/F I/O | | | 05/25/2037 | | | | 48,480 | |
| | 3,503,050 | | | Series 2007-30-FS | | | 29.02% | # I/F | | | 04/25/2037 | | | | 5,990,416 | |
| | 1,362,101 | | | Series 2007-30-OI | | | 6.27% | # I/F I/O | | | 04/25/2037 | | | | 299,566 | |
| | 274,640 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 300,766 | |
| | 306,979 | | | Series 2008-62-SC | | | 5.83% | # I/F I/O | | | 07/25/2038 | | | | 43,389 | |
| | 1,989,063 | | | Series 2009-111-EZ | | | 5.00% | | | | 01/25/2040 | | | | 2,160,091 | |
| | 109,482 | | | Series 2009-111-SE | | | 6.08% | # I/F I/O | | | 01/25/2040 | | | | 13,417 | |
| | 191,334 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 212,981 | |
| | 283,857 | | | Series 2009-48-WS | | | 5.78% | # I/F I/O | | | 07/25/2039 | | | | 33,262 | |
| | 1,540,145 | | | Series 2009-62-PS | | | 5.93% | # I/F I/O | | | 08/25/2039 | | | | 185,689 | |
| | 2,928,119 | | | Series 2009-77-ZA | | | 4.50% | | | | 10/25/2039 | | | | 3,206,195 | |
| | 795,794 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 844,420 | |
| | 326,542 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 359,939 | |
| | 55,491 | | | Series 2010-109-BS | | | 53.11% | # I/F | | | 10/25/2040 | | | | 227,862 | |
| | 1,389,494 | | | Series 2010-112-ZA | | | 4.00% | | | | 10/25/2040 | | | | 1,456,796 | |
| | 590,801 | | | Series 2010-121-SD | | | 4.33% | # I/F I/O | | | 10/25/2040 | | | | 67,960 | |
| | 29,336 | | | Series 2010-137-VS | | | 14.48% | # I/F | | | 12/25/2040 | | | | 46,356 | |
| | 2,369,940 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 2,529,617 | |
| | 283,565 | | | Series 2010-31-SA | | | 4.83% | # I/F I/O | | | 04/25/2040 | | | | 27,680 | |
| | 251,695 | | | Series 2010-34-PS | | | 4.76% | # I/F I/O | | | 04/25/2040 | | | | 25,595 | |
| | 403,485 | | | Series 2010-35-SP | | | 6.18% | # I/F I/O | | | 04/25/2050 | | | | 79,392 | |
| | 191,630 | | | Series 2010-35-SV | | | 6.28 | %# I/F I/O | | | 04/25/2040 | | | | 23,607 | |
| | 6,837,786 | | | Series 2010-37-MY | | | 4.50% | | | | 04/25/2040 | | | | 7,359,062 | |
| | 525,278 | | | Series 2010-59-PS | | | 6.28% | # I/F I/O | | | 03/25/2039 | | | | 61,866 | |
| | 572,956 | | | Series 2010-59-SC | | | 4.83% | # I/F I/O | | | 01/25/2040 | | | | 56,618 | |
| | 3,451,297 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 3,681,404 | |
| | 381,819 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 425,494 | |
| | 1,466,151 | | | Series 2010-7-PE | | | 5.00% | | | | 02/25/2040 | | | | 1,583,929 | |
| | 703,612 | | | Series 2010-90-GS | | | 5.83% | # I/F I/O | | | 08/25/2040 | | | | 91,274 | |
| | 57,791 | | | Series 2010-99-SG | | | 24.14% | # I/F | | | 09/25/2040 | | | | 100,172 | |
| | 6,937,472 | | | Series 2011-141-PZ | | | 4.00% | | | | 01/25/2042 | | | | 7,402,994 | |
| | 14,831,578 | | | Series 2011-18-UZ | | | 4.00% | | | | 03/25/2041 | | | | 15,600,424 | |
| | 1,533,918 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 1,589,447 | |
| | 1,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 1,082,271 | |
| | 3,237,763 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 3,500,794 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 41 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| $ | 10,453,900 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 10,849,612 | |
| | 328,994 | | | Series 2011-88-SB | | | 8.96% | # I/F | | | 09/25/2041 | | | | 336,455 | |
| | 22,717,322 | | | Series 2013-45-LZ | | | 3.00% | | | | 05/25/2043 | | | | 22,301,777 | |
| | 29,170,483 | | | Series 2013-6-ZB | | | 3.00% | | | | 02/25/2043 | | | | 26,556,589 | |
| | 18,688,248 | | | Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 19,505,793 | |
| | 23,372,984 | | | Series 2014-70-VZ | | | 3.00% | | | | 11/25/2044 | | | | 22,085,764 | |
| | 7,823,802 | | | Series 2014-73-CZ | | | 3.00% | | | | 11/25/2044 | | | | 7,340,174 | |
| | 801,968 | | | Series 400-S4 | | | 5.28% | # I/F I/O | | | 11/25/2039 | | | | 109,749 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 334,655 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 373,707 | |
| | 283,497 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 316,226 | |
| | 2,196,656 | | | Pool 735383 | | | 5.00% | | | | 04/01/2035 | | | | 2,450,966 | |
| | 1,172,872 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 1,307,929 | |
| | 1,695,539 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 1,888,942 | |
| | 320,884 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 357,950 | |
| | 1,998,107 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 2,259,914 | |
| | 1,897,056 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 2,120,108 | |
| | 1,578,365 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 1,700,023 | |
| | 136,935 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 145,362 | |
| | 20,227,707 | | | Pool AB6854 | | | 3.00% | | | | 11/01/2042 | | | | 20,741,772 | |
| | 68,083 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 74,236 | |
| | 40,729 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 44,648 | |
| | 2,535,451 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 2,731,519 | |
| | 40,000,000 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 40,952,342 | |
| | 1,340,857 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 1,461,996 | |
| | 173,508 | | | Pool MA0282 | | | 5.00% | | | | 12/01/2039 | | | | 197,840 | |
| | 1,006,706 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 1,097,740 | |
| | 69,955 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 75,566 | |
| | 39,148,709 | | | Pool MA2151 | | | 3.50% | | | | 01/01/2045 | | | | 40,520,940 | |
| |
| | | | Government National Mortgage Association, | |
| | 992,244 | | | Pool 752494 | | | 5.50% | | | | 09/20/2039 | | | | 1,098,852 | |
| | 271,875 | | | Series 2003-67-SP | | | 6.92% | # I/F I/O | | | 08/20/2033 | | | | 88,035 | |
| | 326,017 | | | Series 2008-82-SM | | | 5.87% | # I/F I/O | | | 09/20/2038 | | | | 45,808 | |
| | 4,630,485 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 5,120,136 | |
| | 4,548,384 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 4,957,543 | |
| | 4,480,793 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 4,867,497 | |
| | 5,263,115 | | | Series 2009-75-HZ | | | 5.00% | | | | 09/20/2039 | | | | 5,962,335 | |
| | 18,022,798 | | | Series 2010-113-SM | | | 5.87% | # I/F I/O | | | 09/20/2040 | | | | 2,844,502 | |
| | 111,446 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 116,404 | |
| | 7,180,886 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 7,749,914 | |
| | 8,390,271 | | | Series 2011-70-WS | | | 9.35% | # I/F | | | 12/20/2040 | | | | 9,816,227 | |
| | 11,878,885 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 12,951,994 | |
| | 33,288,800 | | | Series 2013-117-MS | | | 5.97% | # I/F I/O | | | 02/20/2043 | | | | 5,187,410 | |
| | 16,151,054 | | | Series 2013-122-SB | | | 5.93% | # I/F I/O | | | 08/16/2043 | | | | 2,667,686 | |
| | 77,797,702 | | | Series 2013-169-SE | | | 5.88% | # I/F I/O | | | 11/16/2043 | | | | 11,504,265 | |
| | 25,783,247 | | | Series 2014-102-TS | | | 5.42% | # I/F I/O | | | 07/20/2044 | | | | 3,743,985 | |
| | 24,147,166 | | | Series 2014-118-PS | | | 6.02% | # I/F I/O | | | 08/20/2044 | | | | 3,817,981 | |
| | 21,128,771 | | | Series 2014-118-SA | | | 6.02% | # I/F I/O | | | 08/20/2044 | | | | 3,111,613 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $734,931,027) | | | | 769,118,835 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 16.6% | |
| | 35,900,000 | | | United States Treasury Bonds | | | 4.50% | | | | 02/15/2036 | | | | 48,924,951 | |
| | 53,800,000 | | | United States Treasury Bonds | | | 2.75% | | | | 11/15/2042 | | | | 55,956,196 | |
| | 29,800,000 | | | United States Treasury Bonds | | | 3.63% | | | | 02/15/2044 | | | | 36,465,425 | |
| | 52,600,000 | | | United States Treasury Notes | | | 0.13% | | | | 04/30/2015 | | | | 52,591,794 | |
| | 84,100,000 | | | United States Treasury Notes | | | 0.25% | | | | 05/31/2015 | | | | 84,106,560 | |
| | 93,100,000 | | | United States Treasury Notes | | | 0.25% | | | | 07/31/2015 | | | | 93,143,664 | |
| | 47,800,000 | | | United States Treasury Notes | | | 1.75% | | | | 10/31/2020 | | | | 48,434,832 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT/ SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 75,000,000 | | | United States Treasury Notes | | | 2.38% | | | | 12/31/2020 | | | | 78,480,450 | |
| | 82,800,000 | | | United States Treasury Notes | | | 2.25% | | | | 03/31/2021 | | | | 85,969,667 | |
| | 75,600,000 | | | United States Treasury Notes | | | 2.00% | | | | 08/31/2021 | | | | 77,194,706 | |
| | 5,400,000 | | | United States Treasury Notes | | | 2.75% | | | | 11/15/2023 | | | | 5,790,658 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $656,153,201) | | | | 667,058,903 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 4.0% (a) | |
| | | | |
| | 10,595,901 | | | DoubleLine Floating Rate Fund | | | | | | | | | | | 107,442,440 | |
| | 5,000,000 | | | DoubleLine Long Duration Total Return Bond Fund | | | | | | | | | | | 52,150,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $156,372,939) | | | | 159,592,440 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 4.9% | |
| | 66,086,016 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 66,086,016 | |
| | 66,086,017 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 66,086,017 | |
| | 66,086,016 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 66,086,016 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $198,258,049) | | | | 198,258,049 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 100.1%
(Cost $3,964,840,796) | | | | 4,023,727,633 | |
| | | | Liabilities in Excess of Other Assets (0.1)% | | | | (5,033,582 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 4,018,694,051 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | | | | |
US Government / Agency Mortgage Backed Obligations | | | 19.1% | |
US Corporate Bonds | | | 16.7% | |
US Government Bonds and Notes | | | 16.6% | |
Foreign Corporate Bonds | | | 13.3% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 9.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 5.0% | |
Short Term Investments | | | 4.9% | |
Collateralized Loan Obligations | | | 4.5% | |
Affiliated Mutual Funds | | | 4.0% | |
Municipal Bonds | | | 3.9% | |
Bank Loans | | | 1.9% | |
Asset Backed Obligations | | | 0.6% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.6% | |
Other Assets and Liabilities | | | (0.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 42 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | | | | |
United States | | | 86.1% | |
Mexico | | | 2.2% | |
Colombia | | | 1.6% | |
Peru | | | 1.6% | |
Brazil | | | 1.4% | |
Chile | | | 1.3% | |
Guatemala | | | 0.9% | |
Israel | | | 0.5% | |
Panama | | | 0.5% | |
Canada | | | 0.5% | |
Costa Rica | | | 0.4% | |
Singapore | | | 0.3% | |
China | | | 0.3% | |
United Kingdom | | | 0.3% | |
Paraguay | | | 0.3% | |
Jamaica | | | 0.3% | |
Luxembourg | | | 0.2% | |
Indonesia | | | 0.2% | |
Dominican Republic | | | 0.2% | |
Australia | | | 0.2% | |
India | | | 0.2% | |
Supranational | | | 0.2% | |
Barbados | | | 0.2% | |
France | | | 0.1% | |
Qatar | | | 0.1% | |
El Salvador | | | 0.0% | ~ |
Ireland | | | 0.0% | ~ |
Other Assets and Liabilities | | | (0.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
US Government / Agency Mortgage Backed Obligations | | | 19.1% | |
US Government Bonds and Notes | | | 16.6% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 9.0% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 5.0% | |
Short Term Investments | | | 4.9% | |
Collateralized Loan Obligations | | | 4.5% | |
Banking | | | 4.1% | |
Affiliated Mutual Funds | | | 4.0% | |
Municipal Bond | | | 3.9% | |
Telecommunications | | | 3.0% | |
Oil & Gas | | | 2.9% | |
Building and Development | | | 1.4% | |
Healthcare | | | 1.4% | |
Chemicals/Plastics | | | 1.3% | |
Mining | | | 1.3% | |
Utilities | | | 1.3% | |
Financial Intermediaries | | | 1.2% | |
Automotive | | | 1.2% | |
Media | | | 1.1% | |
Consumer Products | | | 1.0% | |
Business Equipment and Services | | | 1.0% | |
Finance | | | 0.9% | |
Transportation | | | 0.9% | |
Retailers (other than Food/Drug) | | | 0.8% | |
Technology | | | 0.7% | |
Food/Drug Retailers | | | 0.6% | |
Leisure | | | 0.6% | |
Asset Backed Obligations | | | 0.6% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.6% | |
Insurance | | | 0.6% | |
Food Products | | | 0.5% | |
Pharmaceuticals | | | 0.5% | |
Industrial Equipment | | | 0.4% | |
Hotels/Motels/Inns and Casinos | | | 0.4% | |
Real Estate | | | 0.4% | |
Beverage and Tobacco | | | 0.3% | |
Energy | | | 0.3% | |
Conglomerates | | | 0.2% | |
Pulp & Paper | | | 0.2% | |
Electronics/Electric | | | 0.2% | |
Machinery and Tools | | | 0.2% | |
Containers and Glass Products | | | 0.2% | |
Environmental Control | | | 0.2% | |
Industrial | | | 0.2% | |
Cosmetics/Toiletries | | | 0.2% | |
Air Transport | | | 0.1% | |
Construction | | | 0.1% | |
Aerospace & Defense | | | 0.0% | ~ |
Other Assets and Liabilities | | | (0.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $666,820,610 or 16.6% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| W | Issuer is in default of interest payments |
| I/O | Interest only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| ¥ | Illiquid security. At March 31, 2015, the value of these securities amount to $37,790,690 or 0.9% of net assets. |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of March 31, 2015 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 43 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2015 |
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 the DoubleLine Core Fixed Income Fund’s investments in affiliated mutual funds for the year ended March 31, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2014 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
March 31,
2015 | | | Value at
March 31,
2015 | | | Dividend
Income Earned
in the Year
Ended March 31,
2015 | | | Net Realized
Gain (Loss)
in the Year
Ended March 31,
2015 | |
DoubleLine Floating Rate Fund | | $ | 104,358,793 | | | $ | 55,000,000 | | | $ | 52,000,000 | | | | 10,595,901 | | | $ | 107,442,440 | | | $ | 3,770,127 | | | $ | (255,957 | ) |
DoubleLine Long Duration Total Return Bond Fund | | | — | | | | 50,000,000 | | | | — | | | | 5,000,000 | | | | 52,150,000 | | | | 423,929 | | | | — | |
| | | | |
| | $ | 104,358,793 | | | $ | 105,000,000 | | | $ | 52,000,000 | | | | 15,595,901 | | | $ | 159,592,440 | | | $ | 4,194,056 | | | $ | (255,957 | ) |
| | | | |
| | | | | | |
| 44 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 95.1% | |
| | |
| | BARBADOS 1.9% | |
| $ | 4,200,000 | | | Columbus International, Inc. | | | 7.38% | ^ | | | 03/30/2021 | | | | 4,431,000 | |
| | 9,800,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 10,339,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,770,000 | |
| | | | | | | | | | | | | | | | |
| | BRAZIL 11.5% | |
| | 10,000,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 8,668,300 | |
| | 1,300,000 | | | BR Malls International Finance Ltd. | | | 8.50% | † | | | 01/21/2016 | | | | 1,316,250 | |
| | 2,700,000 | | | Braskem America Finance Company | | | 7.13% | | | | 07/22/2041 | | | | 2,419,470 | |
| | 4,500,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 3,735,000 | |
| | 2,200,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 1,826,000 | |
| | 1,000,000 | | | Cosan Luxembourg S.A. | | | 5.00% | ^ | | | 03/14/2023 | | | | 890,000 | |
| | 1,000,000 | | | Cosan Luxembourg S.A. | | | 5.00% | | | | 03/14/2023 | | | | 890,000 | |
| | 800,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 796,880 | |
| | 8,600,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 8,406,500 | |
| | 2,000,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 1,955,000 | |
| | 5,000,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 3,637,500 | |
| | 2,000,000 | | | GTL Trade Finance, Inc. | | | 5.89% | ^ | | | 04/29/2024 | | | | 1,938,000 | |
| | 3,000,000 | | | JBS Investments GmbH | | | 7.25% | ^ | | | 04/03/2024 | | | | 3,086,250 | |
| | 1,000,000 | | | JBS Investments GmbH | | | 7.25% | | | | 04/03/2024 | | | | 1,028,750 | |
| | 6,575,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 5,161,375 | |
| | 1,000,000 | | | Marfrig Holdings B.V. | | | 8.38% | | | | 05/09/2018 | | | | 950,000 | |
| | 11,000,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 9,377,500 | |
| | 2,000,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 1,705,000 | |
| | 2,400,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 2,292,000 | |
| | 7,600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 7,258,000 | |
| | 500,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 493,750 | |
| | 3,050,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 3,011,875 | |
| | 11,000,000 | | | OAS Financial Ltd. | | | 8.88% | #^†W | | | 04/25/2018 | | | | 1,677,500 | |
| | 3,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/14/2015 | | | | 2,922,500 | |
| | 4,900,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 4,097,625 | |
| | 4,500,000 | | | Petrobras Global Finance B.V. | | | 4.88% | | | | 03/17/2020 | | | | 4,052,250 | |
| | 2,000,000 | | | Petrobras Global Finance B.V. | | | 5.38% | | | | 01/27/2021 | | | | 1,824,000 | |
| | 1,000,000 | | | Rio Oil Finance Trust | | | 6.25% | ^ | | | 07/06/2024 | | | | 914,019 | |
| | 1,000,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 914,019 | |
| | 1,800,000 | | | Vale Overseas Ltd. | | | 4.63% | | | | 09/15/2020 | | | | 1,803,600 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 89,048,913 | |
| | | | | | | | | | | | | | | | |
| | CHILE 9.4% | |
| | 11,000,000 | | | Cencosud S.A. | | | 4.88% | ^ | | | 01/20/2023 | | | | 10,918,930 | |
| | 3,000,000 | | | Cencosud S.A. | | | 5.15% | ^ | | | 02/12/2025 | | | | 2,969,175 | |
| | 8,200,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 8,162,460 | |
| | 500,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 526,696 | |
| | 13,500,000 | | | ENTEL Chile S.A. | | | 4.75% | ^ | | | 08/01/2026 | | | | 13,903,636 | |
| | 500,000 | | | ENTEL Chile S.A. | | | 4.75% | | | | 08/01/2026 | | | | 514,950 | |
| | 4,000,000 | | | GNL Quintero S.A. | | | 4.63% | ^ | | | 07/31/2029 | | | | 4,165,776 | |
| | 3,550,000 | | | SACI Falabella | | | 4.38% | | | | 01/27/2025 | | | | 3,673,260 | |
| | 5,350,000 | | | SUAM Finance B.V. | | | 4.88% | | | | 04/17/2024 | | | | 5,550,625 | |
| | 6,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 5,908,734 | |
| | 5,000,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 5,046,125 | |
| | 11,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 11,440,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 72,780,367 | |
| | | | | | | | | | | | | | | | |
| | CHINA 0.3% | |
| | 2,400,000 | | | Tencent Holdings Ltd. | | | 3.80% | ^ | | | 02/11/2025 | | | | 2,457,598 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,457,598 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 12.4% | |
| | 5,100,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 5,125,500 | |
| | 8,900,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 8,944,500 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,000,000 | | | Banco de Bogota S.A. | | | 5.38% | ^ | | | 02/19/2023 | | | | 4,160,000 | |
| | 2,000,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 2,080,000 | |
| | 5,667,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 5,977,155 | |
| | 4,000,000 | | | Bancolombia S.A. | | | 5.13% | | | | 09/11/2022 | | | | 4,051,600 | |
| | 4,530,000 | | | Ecopetrol S.A. | | | 4.13% | | | | 01/16/2025 | | | | 4,348,256 | |
| | 1,810,000 | | | Ecopetrol S.A. | | | 7.38% | | | | 09/18/2043 | | | | 1,975,163 | |
| | 17,870,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 16,842,475 | |
| | 9,000,000 | | | Grupo Aval Ltd. | | | 4.75% | ^ | | | 09/26/2022 | | | | 8,941,050 | |
| | 6,000,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 5,960,700 | |
| | 2,100,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 2,260,125 | |
| | 2,700,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 2,656,800 | |
| | 317,000 | | | Millicom International Cellular S.A. | | | 6.63% | ^ | | | 10/15/2021 | | | | 336,416 | |
| | 9,065,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 9,620,231 | |
| | 14,600,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 8,577,500 | |
| | 4,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 2,362,800 | |
| | 2,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | | | | 01/19/2025 | | | | 1,181,400 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 95,401,671 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 2.8% | |
| | 2,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 2,049,000 | |
| | 10,000,000 | | | Banco Nacional de Costa Rica | | | 6.25% | | | | 11/01/2023 | | | | 10,225,000 | |
| | 4,500,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 4,753,125 | |
| | 4,500,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 4,753,125 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,780,250 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 2.5% | |
| | 1,300,000 | | | Aeropuertos Dominicanos | | | 9.75% | #^ | | | 11/13/2019 | | | | 1,257,750 | |
| | 3,700,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 3,579,750 | |
| | 1,600,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 1,672,000 | |
| | 12,313,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 12,867,085 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,376,585 | |
| | | | | | | | | | | | | | | | |
| | EL SALVADOR 0.8% | |
| | 7,200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 6,444,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,444,000 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 8.6% | | | | | | | | | | | | |
| | 9,000,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 9,213,300 | |
| | 6,545,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 6,700,116 | |
| | 2,500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 2,631,250 | |
| | 600,000 | | | Cementos Progreso Trust | | | 7.13% | ^ | | | 11/06/2023 | | | | 640,500 | |
| | 10,000,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 10,675,000 | |
| | 6,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 6,337,500 | |
| | 8,000,000 | | | Comcel Trust | | | 6.88% | ^ | | | 02/06/2024 | | | | 8,544,000 | |
| | 5,500,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 5,874,000 | |
| | 5,900,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 5,736,570 | |
| | 10,133,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 9,852,316 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 66,204,552 | |
| | | | | | | | | | | | | | | | |
| | INDIA 1.7% | |
| | 4,000,000 | | | Reliance Industries Ltd. | | | 5.88% | † | | | 02/05/2018 | | | | 4,039,600 | |
| | 500,000 | | | Reliance Industries Ltd. | | | 8.25% | | | | 01/15/2027 | | | | 658,373 | |
| | 5,400,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 4,924,125 | |
| | 4,400,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 3,652,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,274,098 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 45 |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | INDONESIA 1.6% | |
| $ | 1,800,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.88% | | | | 03/15/2023 | | | | 1,669,207 | |
| | 12,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 5.45% | | | | 03/15/2043 | | | | 10,778,412 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,447,619 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 2.9% | |
| | 6,290,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 6,771,185 | |
| | 6,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 6,056,940 | |
| | 9,000,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 9,360,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 22,188,125 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 2.4% | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 512,500 | |
| | 7,500,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 6,879,000 | |
| | 12,000,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 11,006,400 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,397,900 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 14.5% | |
| | 4,750,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 5,033,575 | |
| | 5,000,000 | | | BBVA Bancomer S.A. | | | 5.35% | #^ | | | 11/12/2029 | | | | 4,986,500 | |
| | 5,800,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 5,784,340 | |
| | 1,900,000 | | | Cemex Finance LLC | | | 6.00% | | | | 04/01/2024 | | | | 1,900,000 | |
| | 9,000,000 | | | Cemex S.A.B. de C.V. | | | 5.70% | ^ | | | 01/11/2025 | | | | 8,901,000 | |
| | 3,000,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 3,081,000 | |
| | 3,300,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | | | | 03/13/2019 | | | | 3,389,100 | |
| | 6,949,145 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 7,313,975 | |
| | 2,000,000 | | | Fresnillo PLC | | | 5.50% | ^ | | | 11/13/2023 | | | | 2,100,000 | |
| | 6,400,000 | | | Fresnillo PLC | | | 5.50% | | | | 11/13/2023 | | | | 6,720,000 | |
| | 3,500,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 3,783,500 | |
| | 1,800,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 1,876,500 | |
| | 8,500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 8,744,375 | |
| | 2,100,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 2,160,375 | |
| | 3,000,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | ^ | | | 12/04/2022 | | | | 3,073,500 | |
| | 4,000,000 | | | Grupo KUO S.A.B. de C.V. | | | 6.25% | | | | 12/04/2022 | | | | 4,098,000 | |
| | 3,000,000 | | | Metalsa S.A. de C.V. | | | 4.90% | | | | 04/24/2023 | | | | 2,857,500 | |
| | 1,500,000 | | | Mexichem S.A.B. de C.V. | | | 6.75% | | | | 09/19/2042 | | | | 1,627,500 | |
| | 1,900,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | ^ | | | 09/17/2044 | | | | 1,881,000 | |
| | 2,000,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | | | | 09/17/2044 | | | | 1,980,000 | |
| | 8,000,000 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 8,140,000 | |
| | 1,000,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 1,102,500 | |
| | 4,800,000 | | | Petroleos Mexicanos | | | 4.50% | ^ | | | 01/23/2026 | | | | 4,903,200 | |
| | 2,000,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 2,095,600 | |
| | 8,300,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 8,870,625 | |
| | 3,400,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 3,175,940 | |
| | 2,775,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | | | | 07/22/2019 | | | | 2,592,128 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 112,171,733 | |
| | | | | | | | | | | | | | | | |
| | MOROCCO 0.1% | |
| | 500,000 | | | Office Cherifien des Phosphates | | | 5.63% | ^ | | | 04/25/2024 | | | | 545,625 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 545,625 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | PANAMA 3.4% | |
| $ | 6,650,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 6,887,206 | |
| | 8,343,159 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 8,614,312 | |
| | 300,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 309,300 | |
| | 7,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 7,296,800 | |
| | 3,000,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 3,127,200 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 26,234,818 | |
| | | | | | | | | | | | | | | | |
| | PARAGUAY 2.2% | |
| | 500,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 520,625 | |
| | 900,000 | | | Banco Regional SAECA | | | 8.13% | ^ | | | 01/24/2019 | | | | 957,420 | |
| | 6,940,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 7,382,772 | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 411,000 | |
| | 7,300,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 7,500,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,772,567 | |
| | | | | | | | | | | | | | | | |
| | PERU 12.5% | |
| | 3,100,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 3,503,000 | |
| | 3,600,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 4,068,000 | |
| | 3,900,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 2,359,500 | |
| | 4,000,000 | | | Banco de Credito del Peru | | | 6.13% | # | | | 04/24/2027 | | | | 4,369,600 | |
| | 4,000,000 | | | Banco International del Peru S.A.A. | | | 6.63% | #^ | | | 03/19/2029 | | | | 4,340,000 | |
| | 4,265,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 4,627,525 | |
| | 3,508,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 4,042,840 | |
| | 3,000,000 | | | BBVA Banco Continental S.A. | | | 5.25% | # | | | 09/22/2029 | | | | 3,051,600 | |
| | 3,000,000 | | | Camposol S.A. | | | 9.88% | ^ | | | 02/02/2017 | | | | 2,970,000 | |
| | 2,818,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 2,789,820 | |
| | 900,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | ^ | | | 01/23/2021 | | | | 892,125 | |
| | 7,705,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 7,637,581 | |
| | 5,600,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 5,028,800 | |
| | 2,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 5.25% | #^ | | | 07/15/2029 | | | | 2,084,700 | |
| | 1,700,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | ^ | | | 02/10/2017 | | | | 1,704,250 | |
| | 4,205,000 | | | Corporacion Pesquera Inca S.A.C. | | | 9.00% | | | | 02/10/2017 | | | | 4,215,513 | |
| | 2,900,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 3,023,250 | |
| | 1,100,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 1,146,750 | |
| | 1,500,000 | | | InRetail Shopping Malls | | | 6.50% | ^ | | | 07/09/2021 | | | | 1,578,750 | |
| | 3,500,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 3,683,750 | |
| | 2,000,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 2,110,000 | |
| | 2,000,000 | | | Minsur S.A. | | | 6.25% | ^ | | | 02/07/2024 | | | | 2,205,000 | |
| | 4,100,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 3,249,250 | |
| | 2,730,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 2,163,525 | |
| | 2,000,000 | | | Scotiabank Peru S.A. | | | 4.50% | # | | | 12/13/2027 | | | | 2,005,000 | |
| | 2,000,000 | | | Southern Copper Corporation | | | 7.50% | | | | 07/27/2035 | | | | 2,301,080 | |
| | 4,800,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 5,165,280 | |
| | 7,000,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 6,283,200 | |
| | 4,000,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 3,812,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 96,411,689 | |
| | | | | | | | | | | | | | | | |
| | QATAR 1.2% | |
| | 3,341,000 | | | Nakilat, Inc. | | | 6.07% | | | | 12/31/2033 | | | | 3,921,499 | |
| | 4,559,299 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 5,371,560 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,293,059 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 46 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | SINGAPORE 2.4% | |
| $ | 500,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | #^ | | | 10/15/2024 | | | | 521,825 | |
| | 8,500,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 8,871,025 | |
| | 9,000,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 9,340,740 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,733,590 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $758,581,458) | | | | 734,734,759 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 2.2% |
|
| | |
| | COSTA RICA 0.9% | |
| | 500,000 | | | Costa Rica Government International Bond | | | 7.00% | ^ | | | 04/04/2044 | | | | 510,000 | |
| | 6,100,000 | | | Costa Rica Government International Bond | | | 7.16% | ^ | | | 03/12/2045 | | | | 6,313,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,823,500 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 1.3% | |
| | 10,000,000 | | | Panama Government International Bond | | | 3.75% | | | | 03/16/2025 | | | | 10,300,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,300,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $16,485,700) | | | | 17,123,500 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 0.6% | |
| | 1,553,443 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 1,553,443 | |
| | 1,553,443 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 1,553,443 | |
| | 1,553,443 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 1,553,443 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments (Cost $4,660,329) | | | | | | | | 4,660,329 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 97.9%
(Cost $779,727,487) | | | | | | | | 756,518,588 | |
| | | | Other Assets in Excess of Liabilities 2.1% | | | | 16,370,729 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | $ | 772,889,317 | |
| | | | | | | | | | | | | | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | |
Mexico | | | 14.5% | |
Peru | | | 12.5% | |
Colombia | | | 12.4% | |
Brazil | | | 11.5% | |
Chile | | | 9.4% | |
Guatemala | | | 8.6% | |
Panama | | | 4.7% | |
Costa Rica | | | 3.7% | |
Israel | | | 2.9% | |
Dominican Republic | | | 2.5% | |
Singapore | | | 2.4% | |
Jamaica | | | 2.4% | |
Paraguay | | | 2.2% | |
Barbados | | | 1.9% | |
India | | | 1.7% | |
Indonesia | | | 1.6% | |
Qatar | | | 1.2% | |
El Salvador | | | 0.8% | |
United States | | | 0.6% | |
China | | | 0.3% | |
Morocco | | | 0.1% | |
Other Assets and Liabilities | | | 2.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Banking | | | 19.4% | |
Telecommunications | | | 13.7% | |
Oil & Gas | | | 9.5% | |
Consumer Products | | | 8.0% | |
Mining | | | 7.8% | |
Utilities | | | 7.7% | |
Finance | | | 6.3% | |
Transportation | | | 6.2% | |
Building and Development | | | 5.0% | |
Chemicals/Plastics | | | 2.5% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 2.2% | |
Food/Drug Retailers | | | 1.8% | |
Media | | | 1.5% | |
Construction | | | 1.1% | |
Beverage and Tobacco | | | 1.1% | |
Retailers (other than Food/Drug) | | | 1.0% | |
Conglomerates | | | 0.9% | |
Real Estate | | | 0.9% | |
Short Term Investments | | | 0.6% | |
Automotive | | | 0.4% | |
Technology | | | 0.3% | |
Other Assets and Liabilities | | | 2.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $277,433,740 or 35.9% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| W | Issuer is in default of interest payments |
| ¨ | Seven-day yield as of March 31, 2015 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 47 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 5.4% | |
| |
| | | | Brookside Mill Ltd., | |
| $ | 1,000,000 | | | Series 2013-1A-E | | | 4.65% | #^ | | | 04/17/2025 | | | | 862,907 | |
| | 1,000,000 | | | Series 2013-1A-SUB | | | 13.41% | #^@ | | | 04/17/2025 | | | | 873,880 | |
| | | | |
| | | | Cent Ltd., | | | | | | | | | | | | |
| | 1,000,000 | | | Series 2013-18A-D | | | 3.71% | #^ | | | 07/23/2025 | | | | 969,964 | |
| | 1,000,000 | | | Series 2013-18A-E | | | 4.86% | #^ | | | 07/23/2025 | | | | 908,346 | |
| | 1,000,000 | | | Series 2013-18A-SUB | | | 0.00% | #^@ | | | 07/23/2025 | | | | 838,962 | |
| | 500,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 487,224 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 500,000 | | | Series 2014-13A-D | | | 3.61% | #^ | | | 01/19/2025 | | | | 478,504 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.90% | #^ | | | 11/14/2026 | | | | 484,449 | |
| | 500,000 | | | Series 2014-1A-D | | | 6.85% | #^ | | | 11/14/2026 | | | | 498,975 | |
| | | | |
| | | | OZLM Funding Ltd., | | | | | | | | | | | | |
| | 500,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 499,682 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $7,188,297) | | | | 6,902,893 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 1.6% | |
| | 2,500,000 | | | Commonwealth of Puerto Rico | | | 8.00% | | | | 07/01/2035 | | | | 2,056,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $2,258,995) | | | | 2,056,250 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS 8.6% | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 321,750 | | | Series 2006-1-2A1 | | | 3.08% | # | | | 03/25/2036 | | | | 240,885 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 563,994 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 378,282 | |
| | | | |
| | | | BCAP LLC Trust, | | | | | | | | | | | | |
| | 55,519 | | | Series 2007-AA2-2A5 | | | 6.00% | | | | 04/25/2037 | | | | 47,542 | |
| | 2,613,370 | | | Series 2009-RR4-1A2 | | | 4.21% | #^ | | | 06/26/2037 | | | | 1,323,048 | |
| | | | |
| | | | ChaseFlex Trust, | | | | | | | | | | | | |
| | 316,141 | | | Series 2007-M1-2F4 | | | 3.47% | # | | | 08/25/2037 | | | | 256,955 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 85,785 | | | Series 2007-2-3A1 | | | 5.50% | | | | 02/25/2037 | | | | 86,029 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 357,888 | | | Series 2009-7-2A2 | | | 5.50% | ^ | | | 10/25/2021 | | | | 353,239 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 365,672 | | | Series 2007-A6-1A11 | | | 6.00% | | | | 06/25/2037 | | | | 326,153 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 135,819 | | | Series 2006-32CB-A16 | | | 5.50% | | | | 11/25/2036 | | | | 121,073 | |
| | 850,824 | | | Series 2006-J1-2A1 | | | 7.00% | | | | 02/25/2036 | | | | 364,924 | |
| | 29,233 | | | Series 2007-17CB-1A10 | | | 29.10% | # I/F | | | 08/25/2037 | | | | 45,938 | |
| | 20,539 | | | Series 2007-21CB-2A2 | | | 27.71% | # I/F | | | 09/25/2037 | | | | 36,508 | |
| |
| | | | Countrywide Home Loans, | |
| | 338,137 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 319,840 | |
| | 18,346 | | | Series 2007-4-1A5 | | | 6.50% | | | | 05/25/2037 | | | | 17,073 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 218,626 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 213,015 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 50,452 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 48,040 | |
| | 429,530 | | | Series 2010-7R-4A17 | | | 6.28% | #^ | | | 04/26/2037 | | | | 395,977 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 207,613 | | | Series 2006-PR1-3A1 | | | 11.88% | #^ I/F | | | 04/15/2036 | | | | 243,884 | |
| | 340,907 | | | Series 2006-PR1-5AI4 | | | 11.88% | #^ I/F | | | 04/15/2036 | | | | 403,736 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 75,906 | | | Series 2007-FA2-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 59,949 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 1,000,000 | | | Series 2006-15-AF3B | | | 5.93% | # | | | 09/25/2036 | | | | 217,599 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 188,165 | | | Series 2006-2F-2A20 | | | 10.93% | # I/F | | | 02/25/2036 | | | | 194,528 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| $ | 45,274 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 42,538 | |
| | 696,588 | | | Series 2006-S1-1A3 | | | 5.50% | | | | 03/25/2036 | | | | 601,883 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 185,077 | | | Series 2006-CH2-AF3 | | | 5.10% | # | | | 10/25/2036 | | | | 149,429 | |
| | | | |
| | | | Lavender Trust, | | | | | | | | | | | | |
| | 297,000 | | | Series 2010-R12A-A3 | | | 6.00% | ^ | | | 06/26/2037 | | | | 305,065 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 106,995 | | | Series 2006-4-1A3 | | | 5.23% | # I/F I/O | | | 08/25/2036 | | | | 14,500 | |
| | 6,687 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 5,725 | |
| | 66,015 | | | Series 2007-5-11A1 | | | 5.54% | # | | | 06/25/2037 | | | | 50,032 | |
| |
| | | | Lehman XS Trust, | |
| | 301,607 | | | Series 2005-1-3A3A | | | 5.11% | # | | | 07/25/2035 | | | | 283,591 | |
| |
| | | | Long Beach Mortgage Loan Trust, | |
| | 268,416 | | | Series 2005-WL2-M1 | | | 0.64% | # | | | 08/25/2035 | | | | 266,577 | |
| |
| | | | MASTR Resecuritization Trust, | |
| | 414,232 | | | Series 2008-4-A1 | | | 6.00% | #^ | | | 06/27/2036 | | | | 372,436 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 377,529 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 323,224 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 313,002 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 273,222 | |
| | 5,732 | | | Series 2006-QS13-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 4,691 | |
| | 318,057 | | | Series 2006-QS2-1A4 | | | 5.50% | | | | 02/25/2036 | | | | 278,668 | |
| | 65,094 | | | Series 2006-QS7-A4 | | | 0.57% | # | | | 06/25/2036 | | | | 43,232 | |
| | 195,281 | | | Series 2006-QS7-A5 | | | 5.43% | # I/F I/O | | | 06/25/2036 | | | | 41,756 | |
| | 119,684 | | | Series 2006-QS8-A4 | | | 0.62% | # | | | 08/25/2036 | | | | 76,461 | |
| | 359,051 | | | Series 2006-QS8-A5 | | | 5.38% | # I/F I/O | | | 08/25/2036 | | | | 59,444 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 381,160 | | | Series 2004-RS2-MII1 | | | 1.04% | # | | | 02/25/2034 | | | | 366,243 | |
| | 47 | | | Series 2004-RS9-AI4 | | | 4.77% | # | | | 10/25/2032 | | | | 72 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 33,107 | | | Series 2005-A12-A12 | | | 5.50% | | | | 11/25/2035 | | | | 31,733 | |
| | 730,998 | | | Series 2006-A16-1A3 | | | 6.00% | | | | 02/25/2037 | | | | 572,535 | |
| | 548,621 | | | Series 2007-A1-A8 | | | 6.00% | | | | 03/25/2037 | | | | 393,666 | |
| | 527,999 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 468,844 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 345,986 | | | Series 2006-8-A6 | | | 4.82% | # | | | 10/25/2036 | | | | 251,728 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $10,329,670) | | | | 10,971,512 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 0.7% | |
| | 781,000 | | | Interline Brands, Inc. | | | 10.00% | µ | | | 11/15/2018 | | | | 822,002 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $813,845) | | | | 822,002 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 4.6% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 96,886 | | | Series 3261-SA | | | 6.26% | # I/F I/O | | | 01/15/2037 | | | | 18,432 | |
| | 102,222 | | | Series 3317-DS | | | 14.56% | # I/F | | | 05/15/2037 | | | | 132,241 | |
| | 202,405 | | | Series 3355-BI | | | 5.88% | # I/F I/O | | | 08/15/2037 | | | | 33,828 | |
| | 166,487 | | | Series 3384-S | | | 6.22% | # I/F I/O | | | 11/15/2037 | | | | 20,272 | |
| | 320,128 | | | Series 3384-SG | | | 6.14% | # I/F I/O | | | 08/15/2036 | | | | 40,554 | |
| | 200,683 | | | Series 3417-SX | | | 6.01% | # I/F I/O | | | 02/15/2038 | | | | 21,701 | |
| | 294,112 | | | Series 3423-GS | | | 5.48% | # I/F I/O | | | 03/15/2038 | | | | 30,249 | |
| | 2,960,167 | | | Series 3423-TG | | | 0.35% | # I/F I/O | | | 03/15/2038 | | | | 23,693 | |
| | 336,016 | | | Series 3500-SA | | | 5.35% | # I/F I/O | | | 01/15/2039 | | | | 31,797 | |
| | 430,820 | | | Series 3523-SM | | | 5.83% | # I/F I/O | | | 04/15/2039 | | | | 58,180 | |
| | 93,158 | | | Series 3562-WS | | | 4.78% | # I/F I/O | | | 08/15/2039 | | | | 7,596 | |
| | 484,280 | | | Series 3728-SV | | | 4.28% | # I/F I/O | | | 09/15/2040 | | | | 52,959 | |
| | 377,540 | | | Series 3758-S | | | 5.86% | # I/F I/O | | | 11/15/2040 | | | | 67,571 | |
| | 76,155 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 80,895 | |
| | 27,715 | | | Series 3780-YS | | | 9.55% | # I/F | | | 12/15/2040 | | | | 29,368 | |
| | 443,168 | | | Series 3815-ST | | | 5.68% | # I/F I/O | | | 02/15/2041 | | | | 66,698 | |
| | 181,947 | | | Series 3900-SB | | | 5.80% | # I/F I/O | | | 07/15/2041 | | | | 26,150 | |
| | 391,778 | | | Series 3923-CZ | | | 5.00% | | | | 09/15/2041 | | | | 454,691 | |
| | | | | | |
| 48 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, | |
| $ | 176,243 | | | Series 2006-101-SA | | | 6.41% | # I/F I/O | | | 10/25/2036 | | | | 36,858 | |
| | 89,321 | | | Series 2006-123-LI | | | 6.15% | # I/F I/O | | | 01/25/2037 | | | | 16,834 | |
| | 617,944 | | | Series 2007-39-AI | | | 5.95% | # I/F I/O | | | 05/25/2037 | | | | 110,867 | |
| | 313,026 | | | Series 2007-57-SX | | | 6.45% | # I/F I/O | | | 10/25/2036 | | | | 49,961 | |
| | 21,047 | | | Series 2009-49-S | | | 6.58% | # I/F I/O | | | 07/25/2039 | | | | 3,352 | |
| | 555,014 | | | Series 2009-86-CI | | | 5.63% | # I/F I/O | | | 09/25/2036 | | | | 66,062 | |
| | 254,024 | | | Series 2009-90-IA | | | 5.58% | # I/F I/O | | | 03/25/2037 | | | | 33,230 | |
| | 239,585 | | | Series 2009-90-IB | | | 5.55% | # I/F I/O | | | 04/25/2037 | | | | 24,323 | |
| | 528,308 | | | Series 2010-39-SL | | | 5.50% | # I/F I/O | | | 05/25/2040 | | | | 72,775 | |
| | 331,084 | | | Series 2011-5-PS | | | 6.23% | # I/F I/O | | | 11/25/2040 | | | | 34,033 | |
| | 337,054 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 377,454 | |
| | 1,056,468 | | | Series 2013-53-ZC | | | 3.00% | | | | 06/25/2043 | | | | 1,014,687 | |
| | 930,205 | | | Series 2013-55-KS | | | 5.74% | # I/F | | | 06/25/2043 | | | | 867,739 | |
| | 986,618 | | | Series 2013-55-VZ | | | 3.00% | | | | 06/25/2043 | | | | 939,509 | |
| |
| | | | Government National Mortgage Association, | |
| | 50,651 | | | Series 2009-6-SM | | | 5.77% | # I/F I/O | | | 02/20/2038 | | | | 6,793 | |
| | 625 | | | Series 2011-12-PO | | | 0.00% | P/O | | | 12/20/2040 | | | | 575 | |
| | 598,407 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 645,826 | |
| | 250,000 | | | Series 2011-7-LS | | | 9.53% | # I/F | | | 12/20/2040 | | | | 293,736 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $5,373,424) | | | | 5,791,489 | |
| | | | | | | | | | | | | | | | |
| | REAL ESTATE INVESTMENT TRUSTS 1.9% | |
| | 743,735 | | | Chimera Investment Corporation | | | | | | | | | | | 2,335,328 | |
| | | | | | | | | | | | | | | | |
| | | | Total Real Estate Investment Trusts
(Cost $2,264,435) | | | | 2,335,328 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 33.8% (a) | |
| | 654,370 | | | DoubleLine Core Fixed Income Fund | | | | | | | | | | | 7,263,507 | |
| | 665,276 | | | DoubleLine Emerging Markets Fixed Income Fund | | | | | | | | | | | 6,805,772 | |
| | 186,012 | | | DoubleLine Equities Growth Fund | | | | | | | | | | | 2,566,964 | |
| | 2,388,645 | | | DoubleLine Total Return Bond Fund | | | | | | | | | | | 26,370,639 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $43,727,232) | | | | 43,006,882 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 21.0% | |
| | 240,000 | | | iShares Currency Hedged MSCI Germany Index Fund | | | | | | | | | | | 6,849,600 | |
| | 58,100 | | | iShares MSCI Australia Index Fund | | | | | | | | | | | 1,328,166 | |
| | 54,250 | | | iShares MSCI Hong Kong Index Fund | | | | | | | | | | | 1,189,703 | |
| | 38,750 | | | iShares MSCI Singapore Index Fund | | | | | | | | | | | 496,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 18,000 | | | iShares MSCI Sweden Index Fund | | | | | | | | | | | 602,640 | |
| | 215,500 | | | iShares MSCI United Kingdom Index Fund | | | | | | | | | | | 3,881,155 | |
| | 39,000 | | | SPDR EURO STOXX 50 ETF | | | | | | | | | | | 1,513,980 | |
| | 117,800 | | | WisdomTree Europe Hedged Equity Fund | | | | | | | | | | | 7,791,292 | |
| | 135,000 | | | WisdomTree India Earnings Fund | | | | | | | | | | | 3,078,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $25,297,853) | | | | 26,730,536 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 22.2% | |
| | 6,341,899 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 6,341,899 | |
| | 6,341,899 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 6,341,899 | |
| | 7,073,898 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 7,073,898 | |
| | 3,500,000 | | | United States Treasury Bills | | | 0.00% | | | | 04/16/2015 | | | | 3,499,965 | |
| | 5,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 05/21/2015 | | | | 4,999,845 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $28,257,518) | | | | 28,257,506 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.8%
(Cost $125,511,269) | | | | 126,874,398 | |
| | | | Other Assets in Excess of Liabilities 0.2% | | | | 228,962 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 127,103,360 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | | | | |
Affiliated Mutual Funds | | | 33.8% | |
Short Term Investments | | | 22.2% | |
Exchange Traded Funds and Common Stocks | | | 21.0% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 8.6% | |
Collateralized Loan Obligations | | | 5.4% | |
US Government / Agency Mortgage Backed Obligations | | | 4.6% | |
Real Estate Investment Trusts | | | 1.9% | |
Municipal Bonds | | | 1.6% | |
US Corporate Bonds | | | 0.7% | |
Other Assets and Liabilities | | | 0.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $10,300,278 or 8.1% 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 March 31, 2015. |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| I/O | Interest only security |
| µ | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares |
| P/O | Principal only security |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of March 31, 2015 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 49 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | |
| Futures Contracts - Long | | | | | | |
| Contracts | | Security Description | | Expiration
Month | | | Unrealized
Appreciation
(Depreciation) | |
26 | | COMEX Division Gold Future | | | 06/2015 | | | $ | (44,537 | ) |
104 | | E-mini S&P 500 Future | | | 06/2015 | | | | (38,990 | ) |
34 | | mini MSCI EAFE Index Future | | | 06/2015 | | | | 17,264 | |
77 | | Nikkei-225 Stock Average Future | | | 06/2015 | | | | 177,490 | |
11 | | Ultra Long Term U.S. Treasury Bond Future | | | 06/2015 | | | | 26,447 | |
| | | | | | | | | | |
| | | | | | | | $ | 137,674 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | |
| Total Return Swaps - Long | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
GSTHSBH5 Index | | Goldman Sachs | | | 5,002,015 | | | | 04/24/2015 | | | $ | (95,596 | ) |
Markit iBoxx USD Liquid Leveraged Loans Total Return Index | | JP Morgan Securities LLC | | | 10,000,000 | | | | 06/20/2015 | | | | 14,540 | |
Markit iBoxx USD Liquid High Yield Index | | Morgan Stanley | | | 10,000,000 | | | | 06/20/2015 | | | | 56,488 | |
S&P GSCI Cocoa Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | (11,178 | ) |
S&P GSCI Copper Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | (10,911 | ) |
S&P GSCI Gold Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | (9,438 | ) |
S&P GSCI Nickel Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | (48,420 | ) |
S&P GSCI Silver Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | (15,983 | ) |
S&P GSCI Unleaded Gasoline Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | (29,941 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 25,000,000 | | | | 03/31/2016 | | | | (408,284 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (558,723 | ) |
| | | | | | | | | | | | | | |
| | | |
| Total Return Swaps - Short | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
GSTHWBH5 Index | | Goldman Sachs | | | 5,007,305 | | | | 04/24/2015 | | | $ | (17,232 | ) |
S&P GSCI Brent Crude Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | 31,968 | |
S&P GSCI Coffee Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | 26,452 | |
S&P GSCI Corn Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | 19,344 | |
S&P GSCI Crude Oil Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | 37,598 | |
S&P GSCI Natural Gas Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | 9,008 | |
S&P GSCI Sugar Official Close Index | | Morgan Stanley | | | 505,000 | | | | 04/02/2015 | | | | 16,764 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 123,902 | |
| | | | | | | | | | | | | | |
The GSTHSBH5 strong balance sheet index is based on a Goldman Sachs Index which uses the Altman Z-score, a weighted-sum of five key financial ratios, to determine relative balance sheet strength. The five key financial ratios include: 1) working capital/total assets; 2) retained earnings/total assets; 3) earnings before interest and tax/total assets; 4) market value of equity/total liabilities; and 5) sales/total assets. The index is comprised of S&P 500 stocks with high Altman Z-scores.
The GSTHWBH5 weak balance sheet index is based on a Goldman Sachs Index which uses the Altman Z-score, a weighted-sum of five key financial ratios, to determine relative balance sheet strength. The five key financial ratios include: 1) working capital/total assets; 2) retained earnings/total assets; 3) earnings before interest and tax/total assets; 4) market value of equity/total liabilities; and 5) sales/total assets. The index is comprised of S&P 500 stocks with low Altman Z-scores.
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.
| | | | | | |
| 50 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Settlement Date | | Currency to be Delivered | | U.S. Value | | | Currency to be Received | | U.S. Value | | | Counterparty | | Unrealized
Appreciation
(Depreciation) | |
04/20/2015 | | | 11,848,825 | | | Turkish Lira | | $ | 4,532,786 | | | | 4,665,259 | | | U.S. Dollars | | $ | 4,665,259 | | | Citigroup Global Markets | | $ | 132,473 | |
04/20/2015 | | | 5,000,000 | | | U.S. Dollars | | | 5,000,000 | | | | 11,848,825 | | | Turkish Lira | | | 4,532,786 | | | Citigroup Global Markets | | | (467,214 | ) |
06/09/2015 | | | 7,718,217 | | | Euros | | | 8,306,989 | | | | 8,498,483 | | | U.S. Dollars | | | 8,498,483 | | | State Street Bank & Trust | | | 191,494 | |
06/09/2015 | | | 5,128,178 | | | U.S. Dollars | | | 5,128,178 | | | | 4,718,217 | | | Euros | | | 5,078,139 | | | State Street Bank & Trust | | | (50,039 | ) |
06/19/2015 | | | 1,088,578,175 | | | Japanese Yen | | | 9,086,791 | | | | 8,986,227 | | | U.S. Dollars | | | 8,986,227 | | | Morgan Stanley | | | (100,564 | ) |
06/24/2015 | | | 3,340,482 | | | British Pound | | | 4,952,372 | | | | 5,000,000 | | | U.S. Dollars | | | 5,000,000 | | | UBS Financial Services | | | 47,628 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 37,007,116 | | | | | | | | | $ | 36,760,894 | | | | | $ | (246,222 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 the DoubleLine Multi-Asset Growth Fund’s (Consolidated) investments in affiliated mutual funds for the year ended March 31, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2014 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
March 31,
2015 | | | Value at
March 31,
2015 | | | Dividend
Income Earned
in the Year
Ended March 31,
2015 | | | Net Realized
Gain (Loss)
in the Year
Ended March 31,
2015 | |
DoubleLine Core Fixed Income Fund | | $ | 7,119,545 | | | $ | — | | | $ | — | | | | 654,370 | | | $ | 7,263,507 | | | $ | 281,052 | | | $ | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | — | | | | 7,100,000 | | | | — | | | | 665,276 | | | | 6,805,772 | | | | 344,672 | | | | — | |
DoubleLine Equities Growth Fund | | | — | | | | 2,500,000 | | | | — | | | | 186,012 | | | | 2,566,964 | | | | 65,590 | | | | — | |
DoubleLine Floating Rate Fund | | | 3,807,681 | | | | — | | | | 3,762,269 | | | | — | | | | — | | | | 81,585 | | | | (41,660 | ) |
DoubleLine Total Return Bond Fund | | | 26,036,229 | | | | — | | | | — | | | | 2,388,645 | | | | 26,370,639 | | | | 1,178,967 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 36,963,455 | | | $ | 9,600,000 | | | $ | 3,762,269 | | | | 3,894,303 | | | $ | 43,006,882 | | | $ | 1,951,866 | | | $ | (41,660 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 51 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 1.3% | |
| |
| | | | Access Group, Inc., | |
| $ | 14,929,532 | | | Series 2007-A-B | | | 0.81% | # | | | 02/25/2037 | | | | 13,191,361 | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| | 5,000,000 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 5,044,000 | |
| |
| | | | SoFi Professional Loan Program, | |
| | 8,604,893 | | | Series 2013-A-A | | | 3.75% | ^ | | | 12/25/2029 | | | | 8,868,203 | |
| | 2,586,540 | | | Series 2014-A-A2 | | | 3.02% | ^ | | | 10/25/2027 | | | | 2,637,236 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $29,921,932) | | | | 29,740,800 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 9.9% | |
| |
| | | | Activision Blizzard, Inc., | |
| | 7,131,018 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 10/13/2020 | | | | 7,171,130 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 5,985,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 6,041,050 | |
| |
| | | | Calpine Construction, | |
| | 8,030,223 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.00% | # | | | 05/04/2020 | | | | 7,937,353 | |
| |
| | | | CBS Outdoor Americas Capital LLC, | |
| | 8,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 02/01/2021 | | | | 7,993,320 | |
| |
| | | | Cedar Fair LP, | |
| | 7,870,728 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 03/06/2020 | | | | 7,917,480 | |
| |
| | | | Cequel Commenications LLC, | |
| | 7,978,936 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 02/14/2019 | | | | 7,999,322 | |
| |
| | | | CIH International, | |
| | 7,890,226 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 1.92% | # | | | 06/05/2020 | | | | 7,890,226 | |
| |
| | | | DaVita HealthCare Partners, Inc., | |
| | 7,940,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/24/2021 | | | | 7,969,259 | |
| |
| | | | Delta Air Lines, Inc., | |
| | 7,891,566 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.25% | # | | | 10/18/2018 | | | | 7,901,391 | |
| |
| | | | Dollar Tree, Inc., | |
| | 5,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/09/2022 | | | | 5,058,675 | |
| |
| | | | Goodyear Tire & Rubber Company, | |
| | 6,666,667 | | | Guaranteed Secured 2nd Lien Term Loan | | | 4.75% | # | | | 04/30/2019 | | | | 6,745,833 | |
| |
| | | | GXS Group, Inc., | |
| | 7,954,801 | | | Guarnateed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 01/19/2021 | | | | 7,993,580 | |
| |
| | | | H.J. Heinz Company, | |
| | 5,254,160 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.25% | # | | | 06/05/2020 | | | | 5,270,185 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | HCA, Inc., | |
| $ | 7,894,887 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.03% | # | | | 05/01/2018 | | | | 7,908,032 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 7,279,727 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 7,297,926 | |
| |
| | | | Huntsman International LLC, | |
| | 7,857,901 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.72% | # | | | 04/19/2017 | | | | 7,916,835 | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 8,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 7,979,000 | |
| |
| | | | Jazz Pharmaceuticals, Inc., | |
| | 7,909,925 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 06/12/2018 | | | | 7,942,434 | |
| |
| | | | KAR Auctions Services, Inc., | |
| | 7,910,137 | | | Guarnateed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 03/11/2021 | | | | 7,944,783 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 8,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/31/2022 | | | | 8,053,760 | |
| |
| | | | Nielsen Finance LLC, | |
| | 7,711,825 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.18% | # | | | 04/15/2021 | | | | 7,726,284 | |
| |
| | | | NRG Energy, Inc., | |
| | 7,884,359 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.75% | # | | | 07/02/2018 | | | | 7,871,231 | |
| |
| | | | Pinnacle Foods Finance LLC, | |
| | 7,957,549 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.00% | # | | | 04/29/2020 | | | | 7,937,656 | |
| |
| | | | Regal Cinemas Corporation, | |
| | 7,881,839 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 2.68% | # | | | 08/23/2017 | | | | 7,893,898 | |
| |
| | | | RPI Finance Trust, | |
| | 3,990,000 | | | Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.50% | # | | | 11/09/2020 | | | | 4,019,925 | |
| |
| | | | SBA Senior Finance LLC, | |
| | 7,940,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 03/24/2021 | | | | 7,906,771 | |
| |
| | | | Sensata Technologies B.V., | |
| | 7,960,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/14/2021 | | | | 8,015,322 | |
| |
| | | | Terex Corporation, | |
| | 5,913,005 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 08/13/2021 | | | | 5,934,262 | |
| |
| | | | Vantiv LLC, | |
| | 6,797,143 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 06/13/2021 | | | | 6,835,377 | |
| |
| | | | Virgin Media Investment Holdings Ltd., | |
| | 6,838,476 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/08/2020 | | | | 6,838,510 | |
| | | | | | |
| 52 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | WR Grace & Company, | |
| $ | 5,835,789 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.75% | # | | | 02/03/2021 | | | | 5,843,084 | |
| | 2,100,000 | | | Guarnateed Senior Secured 1st Lien Delayed-Draw Term Loan | | | 2.75% | # | | | 02/03/2021 | | | | 2,102,625 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $227,010,004) | | | | 227,856,519 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 20.3% | |
| |
| | | | AB Ltd., | |
| | 5,250,000 | | | Series 2007-1A-B | | | 1.00% | #^ | | | 04/15/2021 | | | | 5,210,269 | |
| |
| | | | ACAS Ltd., | |
| | 1,346,394 | | | Series 2007-1X-A1S | | | 0.47% | # | | | 04/20/2021 | | | | 1,338,560 | |
| | 4,500,000 | | | Series 2014-1A-A | | | 1.77% | #^ | | | 07/18/2026 | | | | 4,492,653 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 950,000 | | | Series 2014-4A-A1A | | | 1.71% | #^ | | | 07/28/2026 | | | | 942,551 | |
| |
| | | | Apidos Ltd., | |
| | 1,871,103 | | | Series 2006-3A-A1 | | | 0.53% | #^ | | | 06/12/2020 | | | | 1,868,723 | |
| | 5,000,000 | | | Series 2013-16A-A1 | | | 1.71% | #^ | | | 01/19/2025 | | | | 5,001,855 | |
| | 562,500 | | | Series 2014-17A-X | | | 1.26% | #^ | | | 04/17/2026 | | | | 562,522 | |
| |
| | | | ARES Ltd., | |
| | 3,021,743 | | | Series 2007-12A-A | | | 0.89% | #^ | | | 11/25/2020 | | | | 3,009,252 | |
| | 4,280,554 | | | Series 2007-3RA-A2 | | | 0.47% | #^ | | | 04/16/2021 | | | | 4,229,898 | |
| |
| | | | Atrium Corporation, | |
| | 8,132,340 | | | Series 5A-A2A | | | 0.48% | #^ | | | 07/20/2020 | | | | 8,094,539 | |
| |
| | | | Avenue Ltd., | |
| | 1,950,000 | | | Series 2005-2A-B1L | | | 2.05% | #^ | | | 10/30/2017 | | | | 1,948,862 | |
| | 219,911 | | | Series 2007-6A-A1 | | | 0.48% | #^ | | | 07/17/2019 | | | | 219,048 | |
| |
| | | | Avery Point Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A | | | 1.78% | #^ | | | 04/25/2026 | | | | 3,000,556 | |
| | 1,000,000 | | | Series 2014-1A-B1 | | | 2.36% | #^ | | | 04/25/2026 | | | | 1,000,897 | |
| |
| | | | Babson Ltd., | |
| | 6,101,823 | | | Series 2005-3A-A | | | 0.51% | #^ | | | 11/10/2019 | | | | 6,083,201 | |
| | 8,877,401 | | | Series 2007-1X-A2A | | | 0.47% | # | | | 01/18/2021 | | | | 8,852,157 | |
| | 3,500,000 | | | Series 2014-3A-X | | | 1.29% | #^ | | | 01/15/2026 | | | | 3,503,943 | |
| |
| | | | Betony Ltd., | |
| | 2,500,000 | | | Series 2015-1A-X | | | 1.26% | #^ | | | 04/15/2027 | | | | 2,500,451 | |
| |
| | | | Birchwood Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.40% | #^ | | | 07/15/2026 | | | | 1,003,241 | |
| |
| | | | Black Diamond Ltd., | |
| | 9,512,318 | | | Series 2005-1A-A1 | | | 0.54% | #^ | | | 06/20/2017 | | | | 9,498,449 | |
| |
| | | | BlackRock Senior Income, | |
| | 7,838,238 | | | Series 2006-4A-A | | | 0.50% | #^ | | | 04/20/2019 | | | | 7,774,944 | |
| | 4,900,077 | | | Series 2007-5A-A3 | | | 0.49% | #^ | | | 08/13/2019 | | | | 4,847,008 | |
| |
| | | | BlueMountain Ltd., | |
| | 10,436,877 | | | Series 2007-3A-A1B | | | 0.52% | #^ | | | 03/17/2021 | | | | 10,351,305 | |
| | 4,000,000 | | | Series 2014-3A-A1 | | | 1.48% | #^ | | | 10/15/2026 | | | | 3,997,371 | |
| | 4,000,000 | | | Series 2014-4A-B1 | | | 2.65% | #^ | | | 11/30/2026 | | | | 4,018,944 | |
| |
| | | | BMI Trust, | |
| | 2,617,016 | | | Series 2013-1AR-A1R | | | 1.20% | #^ | | | 08/01/2021 | | | | 2,605,308 | |
| |
| | | | Bridgeport Ltd., | |
| | 852,851 | | | Series 2006-1A-A1 | | | 0.51% | #^ | | | 07/21/2020 | | | | 839,643 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 2,250,000 | | | Series 2013-2A-D | | | 4.01% | #^ | | | 04/18/2025 | | | | 2,222,632 | |
| | 530,000 | | | Series 2013-4A-A1 | | | 1.72% | #^ | | | 10/15/2025 | | | | 530,278 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 1,832,463 | | | Series 2006-8A-A1 | | | 0.51% | #^ | | | 05/21/2021 | | | | 1,810,888 | |
| | 12,481,142 | | | Series 2006-8A-A2A | | | 0.50% | #^ | | | 05/21/2021 | | | | 12,369,838 | |
| | 9,408,895 | | | Series 2006-9A-A1 | | | 0.51% | #^ | | | 08/01/2021 | | | | 9,295,016 | |
| | 907,060 | | | Series 2007-10A-A2A | | | 0.47% | #^ | | | 04/19/2022 | | | | 895,277 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Catamaran Ltd., | |
| $ | 5,000,000 | | | Series 2012-1A-A | | | 1.66% | #^ | | | 12/20/2023 | | | | 5,002,028 | |
| | 5,000,000 | | | Series 2014-1A-A1 | | | 1.81% | #^ | | | 04/20/2026 | | | | 5,012,443 | |
| | 1,250,000 | | | Series 2014-1A-A2 | | | 2.06% | #^ | | | 04/20/2026 | | | | 1,218,944 | |
| | 1,250,000 | | | Series 2014-1A-B | | | 2.91% | #^ | | | 04/20/2026 | | | | 1,207,264 | |
| |
| | | | Cent Ltd., | |
| | 2,413,236 | | | Series 2005-10A-A1 | | | 0.52% | #^ | | | 12/15/2017 | | | | 2,401,805 | |
| | 1,865,740 | | | Series 2006-11A-A1 | | | 0.52% | #^ | | | 04/25/2019 | | | | 1,846,241 | |
| | 500,000 | | | Series 2013-18A-A | | | 1.38% | #^ | | | 07/23/2025 | | | | 493,995 | |
| |
| | | | Clydesdale Ltd., | |
| | 4,743,094 | | | Series 2006-1A-A1 | | | 0.51% | #^ | | | 12/19/2018 | | | | 4,708,481 | |
| |
| | | | ColumbusNova Ltd., | |
| | 3,250,000 | | | Series 2006-1A-D | | | 1.81% | #^ | | | 07/18/2018 | | | | 3,211,659 | |
| | 5,696,981 | | | Series 2007-1A-A1 | | | 0.51% | #^ | | | 05/16/2019 | | | | 5,674,856 | |
| |
| | | | Covenant Credit Partners Ltd., | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.74% | #^ | | | 07/20/2026 | | | | 4,962,671 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 2,500,000 | | | Series 2006-16A-A2 | | | 0.64% | #^ | | | 10/20/2020 | | | | 2,466,423 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 500,000 | | | Series 2012-25A-D | | | 4.23% | #^ | | | 01/15/2025 | | | | 499,718 | |
| |
| | | | Eaton Vance Ltd., | |
| | 4,438,946 | | | Series 2006-8A-A | | | 0.51% | #^ | | | 08/15/2022 | | | | 4,400,773 | |
| | 1,500,000 | | | Series 2006-8A-B | | | 0.91% | #^ | | | 08/15/2022 | | | | 1,444,194 | |
| | 829,963 | | | Series 2007-9A-A2 | | | 0.49% | #^ | | | 04/20/2019 | | | | 828,743 | |
| |
| | | | Flatiron Ltd., | |
| | 1,000,000 | | | Series 2013-1A-A1 | | | 1.66% | #^ | | | 01/17/2026 | | | | 995,542 | |
| |
| | | | Four Corners Ltd., | |
| | 2,081,308 | | | Series 2006-3A-A | | | 0.51% | #^ | | | 07/22/2020 | | | | 2,072,053 | |
| |
| | | | Franklin Ltd., | |
| | 975,124 | | | Series 2006-5A-A2 | | | 0.53% | #^ | | | 06/15/2018 | | | | 970,373 | |
| |
| | | | Galaxy Ltd., | |
| | 2,117,500 | | | Series 2006-7A-B | | | 0.64% | #^ | | | 10/13/2018 | | | | 2,119,717 | |
| | 5,000,000 | | | Series 2012-12X-A | | | 1.66% | # | | | 05/19/2023 | | | | 5,002,868 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 2,000,000 | | | Series 2012-6A-D | | | 4.46% | #^ | | | 04/17/2022 | | | | 2,006,748 | |
| | 5,000,000 | | | Series 2014-8A-A | | | 1.71% | #^ | | | 04/19/2026 | | | | 4,999,702 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 9,000,000 | | | Series 2012-1X-A2 | | | 2.76% | # | | | 08/15/2023 | | | | 9,013,072 | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 1.79% | #^ | | | 04/18/2026 | | | | 999,468 | |
| | 711,111 | | | Series 2014-1A-X | | | 1.23% | #^ | | | 04/18/2026 | | | | 711,317 | |
| | 2,250,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 2,013,334 | |
| |
| | | | ING Ltd., | |
| | 8,574,242 | | | Series 2006-3A-A2A | | | 0.47% | #^ | | | 12/13/2020 | | | | 8,580,066 | |
| | 5,000,000 | | | Series 2012-1RA-A1R | | | 1.47% | #^ | | | 03/14/2022 | | | | 5,006,136 | |
| | 1,000,000 | | | Series 2012-1RA-A2R | | | 2.09% | #^ | | | 03/14/2022 | | | | 1,001,969 | |
| | 700,000 | | | Series 2012-4A-A1 | | | 1.64% | #^ | | | 10/15/2023 | | | | 700,003 | |
| | 3,000,000 | | | Series 2012-4A-A2 | | | 2.50% | #^ | | | 10/15/2023 | | | | 3,007,466 | |
| |
| | | | Inwood Park Ltd., | |
| | 456,708 | | | Series 2006-1A-A1A | | | 0.48% | #^ | | | 01/20/2021 | | | | 455,591 | |
| |
| | | | Jamestown Ltd., | |
| | 4,000,000 | | | Series 2014-4A-A1A | | | 1.75% | #^ | | | 07/15/2026 | | | | 3,995,824 | |
| |
| | | | KKR Financial Corporation, | |
| | 2,694,559 | | | Series 2007-1A-A | | | 0.61% | #^ | | | 05/15/2021 | | | | 2,674,459 | |
| | 5,000,000 | | | Series 2013-1A-A1 | | | 1.40% | #^ | | | 07/15/2025 | | | | 4,917,882 | |
| |
| | | | Landmark Ltd., | |
| | 2,500,000 | | | Series 2005-6X-E | | | 5.00% | # | | | 01/14/2018 | | | | 2,503,058 | |
| | 549,799 | | | Series 2006-7A-A2L | | | 0.70% | #^ | | | 07/15/2018 | | | | 551,914 | |
| | 6,093,822 | | | Series 2006-8A-A1 | | | 0.50% | #^ | | | 10/19/2020 | | | | 6,071,460 | |
| |
| | | | LCM LP, | |
| | 5,000,000 | | | Series 10AR-AR | | | 1.51% | #^ | | | 04/15/2022 | | | | 5,004,574 | |
| | 500,000 | | | Series 10AR-BR | | | 2.15% | #^ | | | 04/15/2022 | | | | 500,620 | |
| | 500,000 | | | Series 10AR-CR | | | 3.10% | #^ | | | 04/15/2022 | | | | 502,290 | |
| | 1,000,000 | | | Series 11A-B | | | 2.41% | #^ | | | 04/19/2022 | | | | 1,001,331 | |
| | 3,500,000 | | | Series 12A-A | | | 1.73% | #^ | | | 10/19/2022 | | | | 3,503,524 | |
| | 1,750,000 | | | Series 15A-A | | | 1.76% | #^ | | | 08/26/2024 | | | | 1,752,879 | |
| | 1,000,000 | | | Series 15A-C | | | 3.36% | #^ | | | 08/25/2024 | | | | 1,003,715 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 53 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | LCM LP, (Cont.) | |
| $ | 5,000,000 | | | Series 16A-A | | | 1.75% | #^ | | | 07/15/2026 | | | | 5,002,950 | |
| | 5,618,918 | | | Series 5A-A1 | | | 0.49% | #^ | | | 03/21/2019 | | | | 5,614,568 | |
| | 3,000,000 | | | Series 5A-C | | | 0.93% | #^ | | | 03/21/2019 | | | | 2,925,046 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 1,275,000 | | | Series 2014-13A-X | | | 1.26% | #^ | | | 01/19/2025 | | | | 1,275,564 | |
| |
| | | | Magnetite Ltd., | |
| | 1,750,000 | | | Series 2014-9A-A1 | | | 1.68% | #^ | | | 07/25/2026 | | | | 1,741,636 | |
| |
| | | | Mayport Ltd., | |
| | 4,163,428 | | | Series 2006-1A-A2L | | | 0.62% | #^ | | | 02/22/2020 | | | | 4,157,965 | |
| |
| | | | Mountain Capital Ltd., | |
| | 834,064 | | | Series 2007-6A-A | | | 0.49% | #^ | | | 04/25/2019 | | | | 828,971 | |
| |
| | | | Mountain Hawk Ltd., | |
| | 5,000,000 | | | Series 2014-A3-A | | | 1.75% | #^ | | | 04/18/2025 | | | | 4,963,463 | |
| |
| | | | Mountain View Ltd., | |
| | 16,325,540 | | | Series 2006-2A-A1 | | | 0.50% | #^ | | | 01/12/2021 | | | | 16,208,010 | |
| |
| | | | Nautique Funding Ltd., | |
| | 6,282,145 | | | Series 2006-1A-A1A | | | 0.50% | #^ | | | 04/15/2020 | | | | 6,209,900 | |
| |
| | | | NewMark Capital Funding Ltd., | |
| | 9,750,000 | | | Series 2013-1A-A2 | | | 1.35% | #^ | | | 06/02/2025 | | | | 9,590,520 | |
| | 10,000,000 | | | Series 2013-A1-A1 | | | 1.17% | #^ | | | 06/02/2025 | | | | 9,779,978 | |
| |
| | | | Northwoods Capital Corporation, | |
| | 2,000,000 | | | Series 2013-10-A1 | | | 1.65% | #^ | | | 11/04/2025 | | | | 1,993,282 | |
| |
| | | | Nylim Flatiron Ltd., | |
| | 8,349,934 | | | Series 2006-1A-A1 | | | 0.50% | #^ | | | 08/08/2020 | | | | 8,281,186 | |
| |
| | | | Oak Hill Credit Partners, | |
| | 1,000,000 | | | Series 2012-7A-A | | | 1.68% | #^ | | | 11/20/2023 | | | | 999,077 | |
| |
| | | | Ocean Trails, | |
| | 139,458 | | | Series 2006-1X-A1 | | | 0.50% | # | | | 10/12/2020 | | | | 139,109 | |
| | 9,750,000 | | | Series 2013-4A-A | | | 1.56% | #^ | | | 08/13/2025 | | | | 9,694,820 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 702,252 | | | Series 2006-1A-A1 | | | 0.50% | #^ | | | 04/23/2020 | | | | 698,032 | |
| |
| | | | OZLM Ltd., | |
| | 5,500,000 | | | Series 2014-6A-A1 | | | 1.81% | #^ | | | 04/17/2026 | | | | 5,513,698 | |
| |
| | | | Pacifica Corporation, | |
| | 4,811,834 | | | Series 2006-6A-A1A | | | 0.50% | #^ | | | 08/15/2021 | | | | 4,767,613 | |
| |
| | | | Prospect Park Ltd., | |
| | 3,489,026 | | | Series 2006-1 | | | 0.50% | #^ | | | 07/15/2020 | | | | 3,460,125 | |
| |
| | | | Race Point Ltd., | |
| | 3,172,559 | | | Series 2006-3-A | | | 0.51% | #^ | | | 04/15/2020 | | | | 3,169,831 | |
| | 1,389,027 | | | Series 2007-4A-A1A | | | 0.45% | #^ | | | 08/01/2021 | | | | 1,384,766 | |
| |
| | | | Regatta Funding Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A1A | | | 1.79% | #^ | | | 10/25/2026 | | | | 3,005,044 | |
| |
| | | | Sands Point Funding Ltd., | |
| | 2,540,386 | | | Series 2006-1A-A1 | | | 0.52% | #^ | | | 07/18/2020 | | | | 2,540,771 | |
| |
| | | | Silverado Ltd., | |
| | 6,152,425 | | | Series 2006-II | | | 0.49% | #^ | | | 10/16/2020 | | | | 6,072,884 | |
| |
| | | | Slater Mill Loan Fund, | |
| | 3,800,000 | | | Series 2012-1A-B | | | 2.91% | #^ | | | 08/17/2022 | | | | 3,828,448 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 10/30/2026 | | | | 2,992,768 | |
| |
| | | | Steele Creek Ltd., | |
| | 2,000,000 | | | Series 2014-1A-A1 | | | 1.86% | #^ | | | 08/21/2026 | | | | 1,995,533 | |
| |
| | | | Symphony Ltd., | |
| | 2,000,000 | | | Series 2014-15A-X | | | 1.20% | #^ | | | 10/17/2026 | | | | 2,000,617 | |
| |
| | | | Venture Ltd., | |
| | 4,000,000 | | | Series 2005-1A-A2 | | | 0.71% | #^ | | | 11/22/2018 | | | | 3,992,012 | |
| | 9,250,000 | | | Series 2014-16A-A1L | | | 1.75% | #^ | | | 04/15/2026 | | | | 9,241,558 | |
| | 2,250,000 | | | Series 2014-17A-A | | | 1.73% | #^ | | | 07/15/2026 | | | | 2,246,765 | |
| | 1,000,000 | | | Series 2014-17A-B2 | | | 2.35% | #^ | | | 07/15/2026 | | | | 996,740 | |
| |
| | | | Vitesse Ltd., | |
| | 556,392 | | | Series 2006-1A-A1L | | | 0.51% | #^ | | | 08/17/2020 | | | | 555,806 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wasatch Ltd., | |
| $ | 13,029,333 | | | Series 2006-1A-A1B | | | 0.50% | #^ | | | 11/14/2022 | | | | 12,565,831 | |
| |
| | | | Washington Mill Ltd., | |
| | 5,000,000 | | | Series 2014-1A-A1 | | | 1.76% | #^ | | | 04/20/2026 | | | | 4,990,398 | |
| | 1,000,000 | | | Series 2014-1A-B1 | | | 2.31% | #^ | | | 04/20/2026 | | | | 993,753 | |
| | 1,000,000 | | | Series 2014-1A-C | | | 3.26% | #^ | | | 04/20/2026 | | | | 978,023 | |
| | 2,625,000 | | | Series 2014-1A-X | | | 1.26% | #^ | | | 04/20/2026 | | | | 2,625,984 | |
| |
| | | | Westwood Ltd., | |
| | 7,835,644 | | | Series 2006-1X-A1 | | | 0.51% | # | | | 03/25/2021 | | | | 7,761,395 | |
| | 4,434,333 | | | Series 2007-2A-A1 | | | 0.48% | #^ | | | 04/25/2022 | | | | 4,395,276 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,500,000 | | | Series 2012-1A-B1L | | | 4.50% | #^ | | | 02/03/2025 | | | | 2,443,812 | |
| | 5,000,000 | | | Series 2013-1A-A1L | | | 1.57% | #^ | | | 11/24/2025 | | | | 4,964,114 | |
| | 3,250,000 | | | Series 2014-1A-A | | | 1.75% | #^ | | | 05/01/2026 | | | | 3,242,617 | |
| |
| | | | Wind River Ltd., | |
| | 10,000,000 | | | Series 2013-2A-A1 | | | 1.71% | #^ | | | 01/18/2026 | | | | 9,942,332 | |
| |
| | | | Zais Ltd., | |
| | 4,500,000 | | | Series 2014-2A-A1A | | | 1.73% | #^ | | | 07/25/2026 | | | | 4,478,418 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $469,823,024) | | | | 470,190,281 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 19.3% | |
| | 1,450,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 1,484,365 | |
| | 3,550,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 3,634,135 | |
| | 4,311,000 | | | Australia and New Zealand Banking Group Ltd. | | | 3.25% | ^ | | | 03/01/2016 | | | | 4,415,149 | |
| | 1,500,000 | | | Banco Davivienda S.A. | | | 2.95% | ^ | | | 01/29/2018 | | | | 1,496,250 | |
| | 7,000,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 6,982,500 | |
| | 4,000,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 4,160,000 | |
| | 2,453,000 | | | Banco de Chile | | | 6.25% | | | | 06/15/2016 | | | | 2,604,066 | |
| | 6,900,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 7,069,050 | |
| | 5,500,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 5,552,250 | |
| | 4,500,000 | | | Banco de Credito del Peru | | | 2.75% | ^ | | | 01/09/2018 | | | | 4,542,750 | |
| | 8,000,000 | | | Banco de Credito e Inversiones | | | 3.00% | | | | 09/13/2017 | | | | 8,182,976 | |
| | 2,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | ^ | | | 05/02/2018 | | | | 1,940,000 | |
| | 9,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 8,730,000 | |
| | 7,500,000 | | | Banco International del Peru S.A.A. | | | 5.75% | | | | 10/07/2020 | | | | 8,287,500 | |
| | 4,000,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 4,120,000 | |
| | 3,525,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 3,690,252 | |
| | 7,000,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 7,113,400 | |
| | 1,000,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 1,063,800 | |
| | 4,000,000 | | | Banco Santander | | | 1.88% | # | | | 01/19/2016 | | | | 4,030,000 | |
| | 1,640,000 | | | Banco Santander | | | 1.15% | # | | | 04/11/2017 | | | | 1,635,913 | |
| | 3,140,000 | | | Banco Santander | | | 2.14% | # | | | 06/07/2018 | | | | 3,204,370 | |
| | 11,100,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 11,762,670 | |
| | 1,146,000 | | | Bancolombia S.A. | | | 6.88% | | | | 05/25/2017 | | | | 1,243,410 | |
| | 5,000,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 5,367,250 | |
| | 3,825,000 | | | Bank Of Montreal | | | 1.30% | | | | 07/15/2016 | | | | 3,853,244 | |
| | 360,000 | | | Bank Of Montreal | | | 1.30% | | | | 07/14/2017 | | | | 361,271 | |
| | 4,030,000 | | | Bank Of Nova Scotia | | | 1.25% | | | | 04/11/2017 | | | | 4,042,650 | |
| | 8,750,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 9,012,500 | |
| | 11,000,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 11,605,000 | |
| | 2,761,000 | | | BP Capital Markets PLC | | | 1.85% | | | | 05/05/2017 | | | | 2,795,217 | |
| | | | | | |
| 54 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 1,100,000 | | | BP Capital Markets PLC | | | 1.67% | | | | 02/13/2018 | | | | 1,105,499 | |
| | 3,625,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 4,056,056 | |
| | 1,270,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.63% | | | | 04/20/2015 | | | | 1,272,692 | |
| | 1,000,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 1,067,500 | |
| | 4,100,000 | | | Cemex S.A.B. de C.V. | | | 5.00% | # | | | 10/15/2018 | | | | 4,292,700 | |
| | 6,000,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 6,286,248 | |
| | 6,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 6,337,500 | |
| | 1,000,000 | | | CNPC General Capital Ltd. | | | 1.16% | #^ | | | 05/14/2017 | | | | 1,001,917 | |
| | 500,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 495,625 | |
| | 11,000,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 10,941,612 | |
| | 400,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 401,268 | |
| | 4,500,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 4,578,750 | |
| | 4,450,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 4,527,875 | |
| | 1,000,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 1,053,393 | |
| | 1,500,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 1,494,150 | |
| | 2,022,000 | | | DBS Bank Ltd. | | | 0.86% | # | | | 07/15/2021 | | | | 2,006,835 | |
| | 7,627,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 7,917,688 | |
| | 7,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 7,011,536 | |
| | 1,800,000 | | | Ecopetrol S.A. | | | 4.25% | | | | 09/18/2018 | | | | 1,890,000 | |
| | 2,000,000 | | | Embraer Overseas Ltd. | | | 6.38% | | | | 01/24/2017 | | | | 2,107,100 | |
| | 2,500,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 2,956,250 | |
| | 11,465,116 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 11,837,732 | |
| | 2,500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 2,543,750 | |
| | 6,500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | ^ | | | 04/02/2019 | | | | 6,613,750 | |
| | 9,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 8,960,841 | |
| | 6,000,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 6,186,000 | |
| | 1,500,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 1,563,600 | |
| | 4,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 4,169,600 | |
| | 3,100,000 | | | Globo Communicacao e Participacoes S.A. | | | 6.25% | #† | | | 07/20/2015 | | | | 3,146,500 | |
| | 12,550,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 13,130,437 | |
| | 200,000 | | | Grupo Aval Ltd. | | | 5.25% | ^ | | | 02/01/2017 | | | | 209,500 | |
| | 9,300,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 9,741,750 | |
| | 2,800,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 3,026,800 | |
| | 3,000,000 | | | Grupo Televisa S.A.B | | | 6.00% | | | | 05/15/2018 | | | | 3,417,270 | |
| | 6,400,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 6,888,000 | |
| | 450,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 473,625 | |
| | 1,500,000 | | | Hutchison Whampoa International Ltd. | | | 2.00% | | | | 11/08/2017 | | | | 1,512,540 | |
| | 732,513 | | | Interoceanica IV Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 693,323 | |
| | 9,500,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 9,983,920 | |
| | 6,500,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 6,944,834 | |
| | 8,000,000 | | | LPG International, Inc. | | | 7.25% | | | | 12/20/2015 | | | | 8,236,000 | |
| | 2,800,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 2,387,000 | |
| | 2,500,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 2,653,125 | |
| | 1,000,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 955,000 | |
| | 3,900,000 | | | National Australia Bank Ltd. | | | 3.00% | ^ | | | 07/27/2016 | | | | 4,014,024 | |
| | 3,000,000 | | | Oleoducto Central S.A. | | | 4.00% | | | | 05/07/2021 | | | | 2,994,000 | |
| | 1,700,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 1,730,338 | |
| | 4,025,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 4,116,718 | |
| | 5,000,000 | | | Oversea-Chinese Banking Corporation | | | 3.75% | # | | | 11/15/2022 | | | | 5,196,500 | |
| | 7,000,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 7,305,550 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 7,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 4,637,500 | |
| | 1,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | ^ | | | 01/26/2019 | | | | 662,500 | |
| | 188,273 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | ^ | | | 05/31/2018 | | | | 180,102 | |
| | 7,000,377 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 6,696,561 | |
| | 4,500,000 | | | Petrobras Global Finance B.V. | | | 1.88% | # | | | 05/20/2016 | | | | 4,264,200 | |
| | 1,500,000 | | | Petrobras Global Finance B.V. | | | 2.00% | | | | 05/20/2016 | | | | 1,438,500 | |
| | 1,500,000 | | | Petrobras Global Finance B.V. | | | 2.39% | # | | | 01/15/2019 | | | | 1,303,125 | |
| | 2,400,000 | | | Petroleos Mexicanos | | | 2.30% | # | | | 07/18/2018 | | | | 2,462,400 | |
| | 10,000,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 10,425,000 | |
| | 4,500,000 | | | Raizen Energy Finance Ltd. | | | 7.00% | | | | 02/01/2017 | | | | 4,803,750 | |
| | 2,577,150 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 2,782,678 | |
| | 4,500,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 4,808,633 | |
| | 300,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 274,206 | |
| | 9,000,000 | | | Sigma Alimentos S.A. | | | 5.63% | | | | 04/14/2018 | | | | 9,821,250 | |
| | 600,000 | | | Sinopec Group Overseas Development Ltd. | | | 1.17% | #^ | | | 04/10/2019 | | | | 599,411 | |
| | 3,000,000 | | | SK Telecom Company Ltd. | | | 2.13% | | | | 05/01/2018 | | | | 3,028,791 | |
| | 6,700,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 6,800,366 | |
| | 1,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | ^ | | | 03/13/2018 | | | | 984,789 | |
| | 1,500,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 1,477,184 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 205,500 | |
| | 2,079,000 | | | Telemovil Finance Company Ltd. | | | 8.00% | | | | 10/01/2017 | | | | 2,172,555 | |
| | 1,400,000 | | | Tencent Holdings Ltd. | | | 2.88% | ^ | | | 02/11/2020 | | | | 1,411,770 | |
| | 5,000,000 | | | United Overseas Bank Ltd. | | | 2.88% | # | | | 10/17/2022 | | | | 5,099,000 | |
| | 6,800,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 7,057,448 | |
| | 450,000 | | | Vale Overseas Ltd. | | | 4.63% | | | | 09/15/2020 | | | | 450,900 | |
| | 4,015,000 | | | Westpac Banking Corporation | | | 2.00% | | | | 08/14/2017 | | | | 4,094,027 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $444,329,963) | | | | 445,358,305 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.3% |
|
| | 600,000 | | | Brazilian Government International Bond | | | 8.00% | | | | 01/15/2018 | | | | 649,500 | |
| | 2,184,000 | | | Colombia Government International Bond | | | 8.70% | | | | 02/15/2016 | | | | 2,353,260 | |
| | 3,670,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 3,762,451 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $6,681,921) | | | | 6,765,211 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 17.5% | |
| |
| | | | Asset Securitization Corporation, | |
| | 5,624,177 | | | Series 1997-D4-PS1 | | | 2.02% | # I/O | | | 04/14/2029 | | | | 168,694 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 9,750,000 | | | Series 2006-5-AM | | | 5.45% | | | | 09/10/2047 | | | | 10,243,282 | |
| | 6,340,000 | | | Series 2006-6-AM | | | 5.39% | | | | 10/10/2045 | | | | 6,711,270 | |
| | 9,150,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 9,774,460 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 55 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| $ | 34,733 | | | Series 2004-PWR4-A3 | | | 5.47% | # | | | 06/11/2041 | | | | 34,721 | |
| | 1,066,285 | | | Series 2005-PWR8-A4 | | | 4.67% | | | | 06/11/2041 | | | | 1,067,158 | |
| | 6,250,000 | | | Series 2005-PWR8-AJ | | | 4.75% | | | | 06/11/2041 | | | | 6,281,109 | |
| | 465,936 | | | Series 2005-T18-AJ | | | 5.01% | # | | | 02/13/2042 | | | | 465,966 | |
| | 6,254,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 6,445,266 | |
| | 407,755 | | | Series 2007-PW17-AAB | | | 5.70% | | | | 06/11/2050 | | | | 410,026 | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| | 1,523,024 | | | Series 2013-BOCA-A | | | 1.32% | #^ | | | 08/15/2026 | | | | 1,523,333 | |
| | 4,100,000 | | | Series 2013-BOCA-D | | | 3.22% | #^ | | | 08/15/2026 | | | | 4,096,642 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 10,000,000 | | | Series 2006-CD2-AM | | | 5.35% | # | | | 01/15/2046 | | | | 10,331,000 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 10,500,000 | | | Series 2007-C6-AMFX | | | 5.70% | #^ | | | 12/10/2049 | | | | 11,185,923 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 12,000,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 12,293,214 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 9,605,456 | | | Series 2012-CR2-XA | | | 1.90% | # I/O | | | 08/15/2045 | | | | 929,477 | |
| | 37,252 | | | Series 2012-MVP-A | | | 2.12% | #^ | | | 11/17/2026 | | | | 37,259 | |
| | 28,822,764 | | | Series 2014-CR19-XA | | | 1.47% | # I/O | | | 08/10/2047 | | | | 2,271,248 | |
| | 8,600,000 | | | Series 2014-KYO-E | | | 2.53% | #^ | | | 06/11/2027 | | | | 8,599,880 | |
| | 9,650,000 | | | Series 2014-KYO-F | | | 3.68% | #^ | | | 06/11/2027 | | | | 9,637,677 | |
| | 3,890,000 | | | Series 2014-TWC-C | | | 2.02% | #^ | | | 02/13/2032 | | | | 3,893,937 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 9,804,029 | | | Series 2007-MF1-A | | | 6.28% | #^ | | | 11/12/2043 | | | | 10,318,740 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 302,324 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 311,834 | |
| | 9,500,000 | | | Series 2005-C2-AMFX | | | 4.88% | | | | 04/15/2037 | | | | 9,501,924 | |
| | 2,000,000 | | | Series 2005-C6-AM | | | 5.23% | # | | | 12/15/2040 | | | | 2,042,713 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 5,940,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 6,263,210 | |
| | 5,725,000 | | | Series 2007-C4-A1AM | | | 5.90% | # | | | 09/15/2039 | | | | 6,205,322 | |
| | 4,350,000 | | | Series 2014-SURF-E | | | 3.28% | #^ | | | 02/15/2029 | | | | 4,348,512 | |
| |
| | | | Del Coronado Trust, | |
| | 2,100,000 | | | Series 2013-HDC-A | | | 0.97% | #^ | | | 03/15/2026 | | | | 2,102,529 | |
| | 2,500,000 | | | Series 2013-HDC-B | | | 1.47% | #^ | | | 03/15/2026 | | | | 2,500,700 | |
| |
| | | | Extended Stay America Trust, | |
| | 5,000,000 | | | Series 2013-ESH5-A15 | | | 1.28% | ^ | | | 12/05/2031 | | | | 4,975,504 | |
| |
| | | | GE Capital Commercial Mortgage Corporation, | |
| | 494,261 | | | Series 2005-C2-B | | | 5.11% | # | | | 05/10/2043 | | | | 494,120 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 6,535,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 7,082,336 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 5,650,000 | | | Series 2006-GG6-AJ | | | 5.71% | # | | | 04/10/2038 | | | | 5,778,944 | |
| | 447,352 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 448,612 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 169,011 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 169,196 | |
| | 10,991 | | | Series 2006-CB14-ASB | | | 5.51% | # | | | 12/12/2044 | | | | 11,012 | |
| | 118,509 | | | Series 2006-CB15-ASB | | | 5.79% | # | | | 06/12/2043 | | | | 119,584 | |
| | 831,403 | | | Series 2006-CB17-ASB | | | 5.42% | | | | 12/12/2043 | | | | 848,044 | |
| | 4,450,000 | | | Series 2006-LDP8 | | | 5.44% | | | | 05/15/2045 | | | | 4,676,794 | |
| | 5,970,000 | | | Series 2006-LDP8-AJ | | | 5.48% | # | | | 05/15/2045 | | | | 6,244,342 | |
| | 8,680,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 9,035,068 | |
| | 2,700,000 | | | Series 2007-CIBC19-AM | | | 5.89% | # | | | 02/12/2049 | | | | 2,858,759 | |
| | 5,150,000 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 5,429,949 | |
| | 5,050,000 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 5,494,153 | |
| | 421,298 | | | Series 2010-C1-A1 | | | 3.85% | ^ | | | 06/15/2043 | | | | 421,557 | |
| | 367,053 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2044 | | | | 371,397 | |
| | 5,000,000 | | | Series 2013-JWRZ-A | | | 0.95% | #^ | | | 04/15/2030 | | | | 4,999,053 | |
| | 2,400,000 | | | Series 2013-JWRZ-D | | | 3.16% | #^ | | | 04/15/2030 | | | | 2,400,194 | |
| | 5,750,000 | | | Series 2014-FBLU-B | | | 1.67% | #^ | | | 12/15/2028 | | | | 5,755,994 | |
| | 2,500,000 | | | Series 2014-INN-C | | | 1.88% | #^ | | | 06/15/2029 | | | | 2,490,064 | |
| | 2,500,000 | | | Series 2014-INN-D | | | 2.53% | #^ | | | 06/15/2029 | | | | 2,487,344 | |
| | 9,000,000 | | | Series 2014-PHH-D | | | 2.57% | #^ | | | 08/15/2027 | | | | 9,039,308 | |
| | 10,500,000 | | | Series 2015-CSMO-C | | | 2.43% | #^ | | | 01/15/2032 | | | | 10,516,440 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 10,345,000 | | | Series 2005-C7-AJ | | | 5.32% | # | | | 11/15/2040 | | | | 10,582,878 | |
| | 4,350,000 | | | Series 2006-C7-AM | | | 5.38% | | | | 11/15/2038 | | | | 4,596,863 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | LB-UBS Commercial Mortgage Trust, (Cont.) | |
| $ | 7,650,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 8,099,529 | |
| | 7,081,600 | | | Series 2007-C7-AJ | | | 6.35% | # | | | 09/15/2045 | | | | 7,599,945 | |
| |
| | | | LMREC, Inc., | |
| | 8,385,000 | | | Series 2015-CRE1-A | | | 1.92% | #^ | | | 02/22/2032 | | | | 8,465,496 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 3,250,000 | | | Series 2005-CIP1-AM | | | 5.11% | # | | | 07/12/2038 | | | | 3,283,049 | |
| | 10,350,000 | | | Series 2005-CKI1-AJ | | | 5.45% | # | | | 11/12/2037 | | | | 10,555,189 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 8,000,000 | | | Series 2006-1-AJ | | | 5.75% | # | | | 02/12/2039 | | | | 8,203,464 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 3,848,508 | | | Series 2012-C5-XA | | | 1.87% | #^ I/O | | | 08/15/2045 | | | | 305,115 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 9,000,000 | | | Series 2005-HQ7-AJ | | | 5.36% | # | | | 11/14/2042 | | | | 9,118,152 | |
| | 4,750,000 | | | Series 2005-IQ10-AJ | | | 5.20% | # | | | 09/15/2042 | | | | 4,816,058 | |
| | 10,750,000 | | | Series 2005-T19-AJ | | | 4.99% | # | | | 06/12/2047 | | | | 10,845,181 | |
| | 22,125,486 | | | Series 2006-HQ10-X1 | | | 0.70% | #^ I/O | | | 11/12/2041 | | | | 143,948 | |
| | 9,252,567 | | | Series 2006-XLF-J | | | 0.60% | #^ | | | 07/15/2019 | | | | 9,187,350 | |
| | 9,000,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 9,411,642 | |
| | 7,657,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 8,165,425 | |
| | 10,055,000 | | | Series 2007-IQ16-AM | | | 6.29% | # | | | 12/12/2049 | | | | 11,053,472 | |
| | 4,350,000 | | | Series 2007-XLFA-D | | | 0.36% | #^ | | | 10/15/2020 | | | | 4,300,678 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 1,715,000 | | | Series 2009-GG10-A4B | | | 5.99% | #^ | | | 08/12/2045 | | | | 1,841,752 | |
| | 839,050 | | | Series 2012-IO-AXA | | | 1.00% | ^ | | | 03/27/2051 | | | | 832,170 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 24,860 | | | Series 2006-C26-APB | | | 6.00% | | | | 06/15/2045 | | | | 25,276 | |
| | 8,500,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 9,022,997 | |
| | 6,770,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 7,235,434 | |
| | 6,850,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 7,361,609 | |
| | 8,065,000 | | | Series 2007-C33-AM | | | 5.96% | # | | | 02/15/2051 | | | | 8,748,662 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 3,372,594 | | | Series 2012-C8-XA | | | 2.19% | #^ I/O | | | 08/15/2045 | | | | 336,153 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $410,527,903) | | | | 406,282,281 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 11.3% |
|
| |
| | | | Ameriquest Mortgage Securities, Inc., | |
| | 13,149,192 | | | Series 2004-R11-M1 | | | 1.16% | # | | | 11/25/2034 | | | | 12,323,252 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 1,186,994 | | | Series 2005-E-6A1 | | | 3.12% | # | | | 05/20/2035 | | | | 1,190,908 | |
| | 749,775 | | | Series 2012-R4-A | | | 0.43% | #^ | | | 03/04/2039 | | | | 739,470 | |
| | 2,604,536 | | | Series 2012-R5-A | | | 0.43% | #^ | | | 10/03/2039 | | | | 2,574,733 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 4,189,418 | | | Series 2005-E-2A1 | | | 2.68% | # | | | 06/25/2035 | | | | 4,036,936 | |
| |
| | | | BCAP LLC Trust, | |
| | 34,558 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 35,640 | |
| | 877,222 | | | Series 2011-RR12-2A5 | | | 2.19% | #^ | | | 12/26/2036 | | | | 876,771 | |
| | 4,919,052 | | | Series 2011-RR1-8A3 | | | 6.00% | #^ | | | 08/28/2021 | | | | 4,886,364 | |
| | 4,382,763 | | | Series 2013-RR1-4A2 | | | 4.00% | #^ | | | 08/26/2037 | | | | 4,381,016 | |
| |
| | | | Bear Stearns Adjustable Rate Mortgage Trust, | |
| | 7,504,406 | | | Series 2003-9-4A1 | | | 2.72% | # | | | 02/25/2034 | | | | 7,517,606 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 1,401,487 | | | Series 2004-AC2-2A | | | 5.00% | | | | 05/25/2034 | | | | 1,413,968 | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 4,500,000 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 4,501,350 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 5,095,017 | | | Series 2006-AR1-2A1 | | | 2.51% | # | | | 03/25/2036 | | | | 4,844,628 | |
| | 3,964,997 | | | Series 2007-WFHE2-A3 | | | 0.35% | # | | | 03/25/2037 | | | | 3,889,127 | |
| | 400,562 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 406,766 | |
| | 1,099,026 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 1,120,690 | |
| | 712,337 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 715,932 | |
| | 625,169 | | | Series 2011-12-3A1 | | | 2.55% | #^ | | | 09/25/2047 | | | | 624,563 | |
| | | | | | |
| 56 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| $ | 4,295,083 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 4,314,325 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 1,654,037 | | | Series 2004-28CB-1A1 | | | 5.50% | | | | 01/25/2035 | | | | 1,711,482 | |
| | 228,777 | | | Series 2007-HY5R-2A1A | | | 2.91% | # | | | 03/25/2047 | | | | 241,431 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 1,158,755 | | | Series 2005-15-1AF6 | | | 4.57% | # | | | 04/25/2036 | | | | 1,178,380 | |
| | 652,374 | | | Series 2006-2-2A2 | | | 0.36% | # | | | 06/25/2036 | | | | 638,631 | |
| |
| | | | Countrywide Home Loans, | |
| | 15,901,452 | | | Series 2004-HYB9-1A1 | | | 2.47% | # | | | 02/20/2035 | | | | 15,709,951 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 445,633 | | | Series 2005-11-5A1 | | | 5.25% | | | | 12/25/2020 | | | | 456,200 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 75,583 | | | Series 2009-13R-2A1 | | | 6.00% | ^ | | | 01/26/2037 | | | | 75,693 | |
| | 21,590 | | | Series 2010-1R-5A1 | | | 4.96% | #^ | | | 01/27/2036 | | | | 21,724 | |
| | 12,000,000 | | | Series 2011-5R-6A9 | | | 2.65% | #^ | | | 11/27/2037 | | | | 10,818,960 | |
| | 7,842,122 | | | Series 2013-3R-1A1 | | | 1.30% | #^ | | | 04/27/2035 | | | | 7,256,435 | |
| |
| | | | Ellington Loan Acquisition Trust, | |
| | 758,860 | | | Series 2007-2-A2A | | | 1.07% | #^ | | | 05/25/2037 | | | | 755,485 | |
| |
| | | | Fieldstone Mortgage Investment Trust, | |
| | 2,257,076 | | | Series 2004-5-M2 | | | 1.90% | # | | | 02/25/2035 | | | | 2,234,881 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 5,640,824 | | | Series 2005-FF12-A2B | | | 0.43% | # | | | 11/25/2036 | | | | 5,577,235 | |
| | 928,554 | | | Series 2006-FF1-2A3 | | | 0.41% | # | | | 01/25/2036 | | | | 919,648 | |
| |
| | | | First Horizon Asset Securities, Inc., | |
| | 14,276,395 | | | Series 2007-AR2-1A1 | | | 2.60% | # | | | 08/25/2037 | | | | 11,831,125 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 7,516,026 | | | Series 2005-AR7-3A1 | | | 2.50% | # | | | 11/25/2035 | | | | 7,102,096 | |
| | 1,636,274 | | | Series 2006-4F-2A7 | | | 5.50% | | | | 05/25/2036 | | | | 1,599,302 | |
| |
| | | | Home Equity Mortgage Loan Asset-Backed Trust, | |
| | 2,746,853 | | | Series 2006-D-2A2 | | | 0.28% | # | | | 11/25/2036 | | | | 2,686,463 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 18,915,076 | | | Series 2006-5-1A1C | | | 0.44% | # | | | 02/25/2037 | | | | 14,719,561 | |
| |
| | | | Jefferies & Company, Inc., | |
| | 298,707 | | | Series 2010-R7-5A1 | | | 1.17% | #^ | | | 09/26/2035 | | | | 294,121 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 1,569,877 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 1,450,584 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 3,090,574 | | | Series 2006-NC1-A4 | | | 0.34% | # | | | 04/25/2036 | | | | 3,039,887 | |
| | 4,037,328 | | | Series 2007-CH5-A3 | | | 0.28% | # | | | 05/25/2037 | | | | 3,955,164 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 173,848 | | | Series 2007-S1-1A1 | | | 5.00% | | | | 03/25/2022 | | | | 171,903 | |
| | 205,381 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 204,196 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 260,814 | | | Series 2009-7-8A1 | | | 2.87% | #^ | | | 01/27/2047 | | | | 261,101 | |
| | 238,250 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 239,941 | |
| | 176,120 | | | Series 2011-2-6A11 | | | 5.50% | #^ | | | 12/26/2035 | | | | 175,358 | |
| | 778,406 | | | Series 2012-2-3A3 | | | 2.26% | #^ | | | 10/26/2036 | | | | 777,241 | |
| |
| | | | Lehman XS Trust, | |
| | 3,439,662 | | | Series 2007-4N-1A1 | | | 0.30% | # | | | 03/25/2047 | | | | 3,351,904 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 12,305,797 | | | Series 2006-2-2A1 | | | 2.56% | # | | | 04/25/2036 | | | | 11,568,176 | |
| | 2,817,269 | | | Series 2007-2-A2 | | | 0.28% | # | | | 03/25/2047 | | | | 2,764,273 | |
| |
| | | | MASTR Asset Backed Securities Trust, | |
| | 101,717 | | | Series 2006-NC1-A3 | | | 0.36% | # | | | 01/25/2036 | | | | 100,676 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 8,520,580 | | | Series 2005-3-2A | | | 2.16% | # | | | 11/25/2035 | | | | 8,396,742 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 1,568,970 | | | Series 2005-WMC3-M3 | | | 0.88% | # | | | 03/25/2035 | | | | 1,568,821 | |
| | 323,546 | | | Series 2006-NC2-A2C | | | 0.35% | # | | | 02/25/2036 | | | | 323,920 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 144,807 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 148,110 | |
| |
| | | | Opteum Mortgage Acceptance Corporation, | |
| | 2,143,151 | | | Series 2005-5-2AN | | | 5.68% | # | | | 12/25/2035 | | | | 2,234,634 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Pacific Bay Ltd., | |
| $ | 12,069,750 | | | Series 2003-1A-A2 | | | 1.57% | #^ | | | 11/04/2038 | | | | 11,526,611 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 10,375,167 | | | Series 2005-EFC7-AI3 | | | 0.42% | # | | | 12/25/2035 | | | | 9,712,028 | |
| | 9,777,423 | | | Series 2006-RS4-A3 | | | 0.34% | # | | | 07/25/2036 | | | | 9,521,514 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 3,868,808 | | | Series 2006-KS6-A3 | | | 0.32% | # | | | 08/25/2036 | | | | 3,719,401 | |
| | 6,641,023 | | | Series 2007-KS2-AI2 | | | 0.29% | # | | | 02/25/2037 | | | | 6,564,183 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 152,310 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 153,695 | |
| | 1,822,871 | | | Series 2007-HI1-A3 | | | 5.72% | | | | 03/25/2037 | | | | 1,862,079 | |
| |
| | | | Soundview Home Equity Loan Trust, | |
| | 4,710,096 | | | Series 2007-NS1-A2 | | | 0.32% | # | | | 01/25/2037 | | | | 4,610,577 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 7,032,603 | | | Series 2014-3A-A | | | 1.87% | #^ | | | 09/25/2057 | | | | 7,031,668 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 76,877 | | | Series 2006-5-5A3 | | | 4.96% | # | | | 06/25/2036 | | | | 76,747 | |
| | 3,448,911 | | | Series 2007-1-2A2 | | | 4.31% | # | | | 02/25/2037 | | | | 3,303,654 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 592,135 | | | Series 2003-24A-1A3 | | | 2.44% | # | | | 07/25/2033 | | | | 587,982 | |
| | 245,469 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 249,136 | |
| | 602,073 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 624,332 | |
| | 5,062,096 | | | Series 2005-AXS-1A3 | | | 5.00% | # | | | 03/25/2035 | | | | 5,111,436 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 1,924,194 | | | Series 2002-AR16-A | | | 2.45% | # | | | 12/25/2032 | | | | 1,865,821 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 510,794 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 526,124 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 6,507,757 | | | Series 2006-AR6-5A1 | | | 2.62% | # | | | 03/25/2036 | | | | 6,515,684 | |
| |
| | | | Wells Fargo Mortgage Loan Trust, | |
| | 408,496 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 410,783 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $259,298,017) | | | | 260,928,935 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 9.3% | |
| | 4,200,000 | | | American Express Credit Corporation | | | 1.13% | | | | 06/05/2017 | | | | 4,199,811 | |
| | 3,975,000 | | | Amgen, Inc. | | | 2.13% | | | | 05/15/2017 | | | | 4,049,468 | |
| | 3,915,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 1.38% | | | | 07/15/2017 | | | | 3,940,694 | |
| | 3,890,000 | | | AT&T, Inc. | | | 1.70% | | | | 06/01/2017 | | | | 3,904,588 | |
| | 4,215,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 4,249,053 | |
| | 4,085,000 | | | BB&T Corporation | | | 2.15% | | | | 03/22/2017 | | | | 4,160,683 | |
| | 3,139,000 | | | Berkshire Hathaway Finance Corporation | | | 0.95% | | | | 08/15/2016 | | | | 3,153,753 | |
| | 901,000 | | | Berkshire Hathaway Finance Corporation | | | 1.60% | | | | 05/15/2017 | | | | 914,861 | |
| | 3,700,000 | | | Boeing Company | | | 3.75% | | | | 11/20/2016 | | | | 3,881,300 | |
| | 4,150,000 | | | Caterpillar Financial Services Corporation | | | 1.00% | | | | 03/03/2017 | | | | 4,166,314 | |
| | 4,010,000 | | | Chevron Corporation | | | 1.37% | | | | 03/02/2018 | | | | 4,030,643 | |
| | 4,105,000 | | | Citigroup, Inc. | | | 1.35% | | | | 03/10/2017 | | | | 4,099,388 | |
| | 3,696,000 | | | Comcast Corporation | | | 6.50% | | | | 01/15/2017 | | | | 4,054,615 | |
| | 4,095,000 | | | ConocoPhillips Company | | | 1.05% | | | | 12/15/2017 | | | | 4,081,790 | |
| | 4,099,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 4,573,111 | |
| | 1,530,000 | | | Daimler Finance North America LLC | | | 1.45% | ^ | | | 08/01/2016 | | | | 1,540,598 | |
| | 2,425,000 | | | Daimler Finance North America LLC | | | 1.65% | ^ | | | 03/02/2018 | | | | 2,439,145 | |
| | 3,925,000 | | | DIRECTV Holdings LLC | | | 2.40% | | | | 03/15/2017 | | | | 3,996,725 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 57 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,225,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 4,272,333 | |
| | 4,455,000 | | | eBay, Inc. | | | 1.35% | | | | 07/15/2017 | | | | 4,451,356 | |
| | 150,000 | | | Ecolab, Inc. | | | 1.55% | | | | 01/12/2018 | | | | 150,063 | |
| | 3,512,000 | | | ERP Operating LP | | | 5.75% | | | | 06/15/2017 | | | | 3,848,885 | |
| | 500,000 | | | Express Scripts Holding Company | | | 2.65% | | | | 02/15/2017 | | | | 512,331 | |
| | 3,410,000 | | | Express Scripts Holding Company | | | 1.25% | | | | 06/02/2017 | | | | 3,408,036 | |
| | 3,875,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 4,016,899 | |
| | 3,481,000 | | | General Mills, Inc. | | | 5.70% | | | | 02/15/2017 | | | | 3,774,020 | |
| | 3,839,000 | | | Gilead Sciences, Inc. | | | 3.05% | | | | 12/01/2016 | | | | 3,974,858 | |
| | 3,680,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 10/01/2016 | | | | 3,927,473 | |
| | 3,750,000 | | | Hewlett-Packard Company | | | 3.30% | | | | 12/09/2016 | | | | 3,878,768 | |
| | 200,000 | | | Hewlett-Packard Company | | | 2.60% | | | | 09/15/2017 | | | | 205,148 | |
| | 4,030,000 | | | John Deere Capital Corporation | | | 1.40% | | | | 03/15/2017 | | | | 4,072,045 | |
| | 3,950,000 | | | JP Morgan Chase & Company | | | 3.15% | | | | 07/05/2016 | | | | 4,052,874 | |
| | 100,000 | | | JP Morgan Chase & Company | | | 1.35% | | | | 02/15/2017 | | | | 100,381 | |
| | 3,930,000 | | | Kellogg Company | | | 1.75% | | | | 05/17/2017 | | | | 3,971,296 | |
| | 3,642,000 | | | Kinder Morgan Energy Partners LP | | | 6.00% | | | | 02/01/2017 | | | | 3,914,797 | |
| | 3,943,000 | | | Kraft Foods, Inc. | | | 4.13% | | | | 02/09/2016 | | | | 4,049,855 | |
| | 3,720,000 | | | Kroger Company | | | 2.20% | | | | 01/15/2017 | | | | 3,784,456 | |
| | 2,040,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 2,084,896 | |
| | 2,600,000 | | | McKesson Corporation | | | 1.29% | | | | 03/10/2017 | | | | 2,603,487 | |
| | 4,025,000 | | | Metropolitan Life Global Funding | | | 1.50% | ^ | | | 01/10/2018 | | | | 4,044,107 | |
| | 4,010,000 | | | Morgan Stanley | | | 1.88% | | | | 01/05/2018 | | | | 4,039,554 | |
| | 3,335,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 3,336,744 | |
| | 4,054,000 | | | Mylan, Inc. | | | 1.80% | | | | 06/24/2016 | | | | 4,087,344 | |
| | 3,851,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 1.10% | | | | 01/27/2017 | | | | 3,868,095 | |
| | 3,810,000 | | | ONEOK Partners LP | | | 3.25% | | | | 02/01/2016 | | | | 3,861,309 | |
| | 3,995,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 4,098,055 | |
| | 3,775,000 | | | Phillips 66 | | | 2.95% | | | | 05/01/2017 | | | | 3,905,743 | |
| | 3,875,000 | | | PNC Funding Corporation | | | 2.70% | | | | 09/19/2016 | | | | 3,968,016 | |
| | 3,960,000 | | | Procter & Gamble Company | | | 0.75% | | | | 11/04/2016 | | | | 3,966,748 | |
| | 3,775,000 | | | Simon Property Group LP | | | 2.15% | | | | 09/15/2017 | | | | 3,854,675 | |
| | 4,030,000 | | | Southern Company | | | 1.95% | | | | 09/01/2016 | | | | 4,093,416 | |
| | 3,925,000 | | | Thomson Reuters Corporation | | | 1.30% | | | | 02/23/2017 | | | | 3,930,715 | |
| | 1,895,000 | | | Toyota Motor Credit Corporation | | | 1.75% | | | | 05/22/2017 | | | | 1,925,225 | |
| | 2,400,000 | | | Toyota Motor Credit Corporation | | | 1.45% | | | | 01/12/2018 | | | | 2,415,996 | |
| | 4,216,000 | | | Walgreens Boots Alliance, Inc. | | | 1.75% | | | | 11/17/2017 | | | | 4,256,431 | |
| | 4,150,000 | | | Wal-Mart Stores, Inc. | | | 1.13% | | | | 04/11/2018 | | | | 4,156,856 | |
| | 3,754,000 | | | Waste Management, Inc. | | | 2.60% | | | | 09/01/2016 | | | | 3,823,599 | |
| | 3,850,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 3,880,773 | |
| | 625,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 634,505 | |
| | 4,115,000 | | | Wells Fargo & Company | | | 2.10% | | | | 05/08/2017 | | | | 4,205,316 | |
| | 4,025,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 4,146,269 | |
| | 4,075,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 4,085,978 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $214,362,309) | | | | 215,076,266 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 1.0% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| $ | 213,206 | | | Pool G06871 | | | 6.00% | | | | 06/01/2038 | | | | 243,770 | |
| | 464,346 | | | Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 527,287 | |
| | 575,833 | | | Pool N70081 | | | 5.50% | | | | 07/01/2038 | | | | 655,347 | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 107,189 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 117,028 | |
| | 322,501 | | | Series 3818-JA | | | 4.50% | | | | 01/15/2040 | | | | 336,855 | |
| | 90,403 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 95,031 | |
| | 6,449,374 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 6,346,117 | |
| |
| | | | Federal National Mortgage Association, | |
| | 313,675 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 338,522 | |
| | 2,831,396 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 3,228,805 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 71,361 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 80,711 | |
| | 282,169 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 296,218 | |
| | 229,605 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 259,257 | |
| | 433,078 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 494,160 | |
| | 341,992 | | | Pool AL1691 | | | 6.00% | | | | 06/01/2041 | | | | 390,321 | |
| | 449,993 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 513,534 | |
| | 8,826,607 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 9,519,198 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $22,728,890) | | | | 23,442,161 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 6.9% | |
| | 22,200,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/30/2016 | | | | 22,390,787 | |
| | 24,950,000 | | | United States Treasury Notes | | | 1.00% | | | | 10/31/2016 | | | | 25,168,313 | |
| | 25,050,000 | | | United States Treasury Notes | | | 0.88% | | | | 11/30/2016 | | | | 25,214,378 | |
| | 23,450,000 | | | United States Treasury Notes | | | 3.13% | | | | 01/31/2017 | | | | 24,562,046 | |
| | 22,500,000 | | | United States Treasury Notes | | | 3.25% | | | | 03/31/2017 | | | | 23,693,557 | |
| | 18,800,000 | | | United States Treasury Notes | | | 0.88% | | | | 05/15/2017 | | | | 18,907,216 | |
| | 21,050,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/15/2017 | | | | 21,193,077 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $160,743,827) | | | | 161,129,374 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 2.1% (a) | |
| | 5,000,000 | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | | | | | 49,150,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $50,000,000) | | | | 49,150,000 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 0.3% | |
| | 2,204,971 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 2,204,971 | |
| | 2,204,971 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 2,204,971 | |
| | 2,204,971 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 2,204,971 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $6,614,913) | | | | 6,614,913 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.5%
(Cost $2,302,042,703) | | | | 2,302,535,046 | |
| | | | Other Assets in Excess of Liabilities 0.5% | | | | 12,633,003 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 2,315,168,049 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 58 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
Collateralized Loan Obligations | | | 20.3% | |
Foreign Corporate Bonds | | | 19.3% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 17.5% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 11.3% | |
Bank Loans | | | 9.9% | |
US Corporate Bonds | | | 9.3% | |
US Government Bonds and Notes | | | 6.9% | |
Affiliated Mutual Funds | | | 2.1% | |
Asset Backed Obligations | | | 1.3% | |
US Government / Agency Mortgage Backed Obligations | | | 1.0% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.3% | |
Short Term Investments | | | 0.3% | |
Other Assets and Liabilities | | | 0.5% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | |
United States | | | 79.0% | |
Colombia | | | 2.8% | |
Chile | | | 2.6% | |
Mexico | | | 2.6% | |
Peru | | | 2.3% | |
Brazil | | | 1.9% | |
Singapore | | | 1.5% | |
Panama | | | 1.2% | |
United Kingdom | | | 0.7% | |
Costa Rica | | | 0.6% | |
Israel | | | 0.6% | |
Guatemala | | | 0.5% | |
Australia | | | 0.5% | |
Indonesia | | | 0.4% | |
Canada | | | 0.4% | |
Netherlands | | | 0.3% | |
Luxembourg | | | 0.3% | |
India | | | 0.3% | |
China | | | 0.2% | |
France | | | 0.2% | |
Supranational | | | 0.2% | |
South Korea | | | 0.1% | |
Qatar | | | 0.1% | |
El Salvador | | | 0.1% | |
Paraguay | | | 0.1% | |
Other Assets and Liabilities | | | 0.5% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Collateralized Loan Obligations | | | 20.3% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 17.5% | |
Banking | | | 11.3% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 11.3% | |
US Government Bonds and Notes | | | 6.9% | |
Oil & Gas | | | 3.3% | |
Media | | | 2.4% | |
Healthcare | | | 2.1% | |
Affiliated Mutual Funds | | | 2.1% | |
Telecommunications | | | 1.9% | |
Utilities | | | 1.5% | |
Asset Backed Obligations | | | 1.3% | |
Leisure | | | 1.3% | |
Transportation | | | 1.2% | |
Food Products | | | 1.1% | |
Business Equipment and Services | | | 1.0% | |
Electronics/Electric | | | 1.0% | |
US Government/Agency Mortgage Backed Obligations | | | 1.0% | |
Chemicals/Plastics | | | 1.0% | |
Finance | | | 0.8% | |
Beverage and Tobacco | | | 0.8% | |
Consumer Products | | | 0.7% | |
Automotive | | | 0.7% | |
Food/Drug Retailers | | | 0.6% | |
Financial Intermediaries | | | 0.5% | |
Pharmaceuticals | | | 0.5% | |
Pulp & Paper | | | 0.5% | |
Mining | | | 0.5% | |
Retailers (other than Food/Drug) | | | 0.4% | |
Construction | | | 0.4% | |
Building and Development | | | 0.4% | |
Technology | | | 0.4% | |
Insurance | | | 0.4% | |
Air Transport | | | 0.3% | |
Energy | | | 0.3% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.3% | |
Short Term Investments | | | 0.3% | |
Aerospace & Defense | | | 0.3% | |
Industrial Equipment | | | 0.3% | |
Real Estate | | | 0.3% | |
Environmental Control | | | 0.2% | |
Conglomerates | | | 0.1% | |
Other Assets and Liabilities | | | 0.5% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $707,467,347 or 30.7% of net assets. |
| ¥ | Illiquid security. At March 31, 2015, the value of these securities amount to $5,044,000 or 0.2% of net assets. |
| I/O | Interest only security |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of March 31, 2015 |
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 the DoubleLine Low Duration Bond Fund’s investments in affiliated mutual funds for the year ended March 31, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2014 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
March 31,
2015 | | | Value at
March 31,
2015 | | | Dividend
Income Earned
in the Year
Ended March 31,
2015 | | | Net Realized
Gain (Loss) in the
Year Ended
March 31, 2015 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | $ | — | | | $ | 50,000,000 | | | $ | — | | | | 5,000,000 | | | $ | 49,150,000 | | | $ | 1,817,110 | | | $ | — | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 59 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 90.4% | | | | | | | | | |
| | |
| | AEROSPACE & DEFENSE 1.1% | | | | | | | | | |
| |
| | | | B/E Aerospace, Inc., | |
| $ | 3,997,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 4,034,937 | |
| | | | | | | | | | | | | | | | |
| | AIR TRANSPORT 2.8% | | | | | | | | | |
| |
| | | | American Airlines, Inc., | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/08/2021 | | | | 4,029,260 | |
| |
| | | | Delta Air Lines, Inc., | |
| | 1,927,364 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.25% | # | | | 10/18/2018 | | | | 1,929,763 | |
| |
| | | | Orbitz Worldwide, Inc., | |
| | 3,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 04/15/2021 | | | | 3,991,821 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,950,844 | |
| | | | | | | | | | | | | | | | |
| | AUTOMOTIVE 9.5% | | | | | | | | | |
| |
| | | | American Tire Distributors, Inc., | |
| | 3,963,497 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 7.00% | # | | | 06/01/2018 | | | | 3,973,406 | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 09/01/2021 | | | | 4,022,500 | |
| |
| | | | Dealer Tire LLC, | |
| | 3,541,125 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 12/22/2021 | | | | 3,596,473 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 3,989,975 | | | Guranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 3,985,486 | |
| |
| | | | Gates Global LLC, | |
| | 3,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/05/2021 | | | | 3,969,811 | |
| |
| | | | Goodyear Tire & Rubber Company, | |
| | 3,333,333 | | | Guaranteed Secured 2nd Lien Term Loan | | | 4.75% | # | | | 04/30/2019 | | | | 3,372,916 | |
| |
| | | | TI Group Automotive Systems LLC, | |
| | 3,971,244 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/02/2021 | | | | 3,976,208 | |
| |
| | | | Tower Automotive Holdings LLC, | |
| | 3,577,528 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/23/2020 | | | | 3,579,764 | |
| |
| | | | Transtar Holding Company, | |
| | 4,000,000 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 10/09/2018 | | | | 3,945,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 34,421,564 | |
| | | | | | | | | | | | | | | | |
| | BUILDING AND DEVELOPMENT 3.2% | | | | | | | | | |
| |
| | | | Capital Automotive LP, | |
| | 3,638,920 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 3,658,261 | |
| |
| | | | Interline Brands, Inc., | |
| | 3,964,962 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/17/2021 | | | | 3,955,684 | |
| |
| | | | Signode Industrial Group, Inc., | |
| | 3,750,367 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 04/30/2021 | | | | 3,733,959 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,347,904 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BUSINESS EQUIPMENT AND SERVICES 9.8% | | | | | | | | | |
| | | | |
| | | | AlixPartners LLP, | | | | | | | | | | | | |
| $ | 3,915,684 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 07/10/2020 | | | | 3,929,546 | |
| | | | |
| | | | Allied Security Holdings LLC, | | | | | | | | | | | | |
| | 2,924,286 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 02/12/2021 | | | | 2,927,941 | |
| |
| | | | Brand Energy & Infrastructure Services, Inc., | |
| | 3,956,058 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 11/26/2020 | | | | 3,856,345 | |
| |
| | | | Duff & Phelps Corporation, | |
| | 1,496,250 | | | Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B1 | | | 4.50% | # | | | 04/23/2020 | | | | 1,499,991 | |
| | 1,496,250 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 04/23/2020 | | | | 1,499,991 | |
| |
| | | | Hillman Group, Inc., | |
| | 3,970,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2021 | | | | 4,008,033 | |
| |
| | | | Mitchell International, Inc., | |
| | 3,500,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.50% | # | | | 10/11/2021 | | | | 3,480,312 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 3,250,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 03/31/2021 | | | | 3,260,156 | |
| |
| | | | Protection One, Inc., | |
| | 3,904,347 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/21/2019 | | | | 3,914,127 | |
| |
| | | | TransUnion LLC, | |
| | 3,960,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/09/2021 | | | | 3,965,267 | |
| |
| | | | Travelport Finance Luxembourg S.A.R.L., | |
| | 2,992,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 09/02/2021 | | | | 3,024,819 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 35,366,528 | |
| | | | | | | | | | | | | | | | |
| | CHEMICALS/PLASTICS 2.8% | | | | | | | | | |
| |
| | | | Arizona Chemical, Inc., | |
| | 2,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/11/2021 | | | | 2,006,390 | |
| |
| | | | MacDermid, Inc., | |
| | 997,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.75% | # | | | 06/05/2020 | | | | 1,005,604 | |
| |
| | | | Polarpak, Inc., | |
| | 1,962,207 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/05/2020 | | | | 1,967,112 | |
| |
| | | | Solenis International LP, | |
| | 3,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/31/2021 | | | | 3,961,354 | |
| |
| | | | WNA Holdings, Inc., | |
| | 1,270,120 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/05/2020 | | | | 1,273,296 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,213,756 | |
| | | | | | | | | | | | | | | | |
| | CONTAINERS AND GLASS PRODUCTS 3.0% | | | | | | | | | |
| |
| | | | Ardagh Packaging Finance, | |
| | 3,974,925 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 12/17/2019 | | | | 3,994,799 | |
| | | | | | |
| 60 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | | | |
| | | | Coveris Holdings SA, | | | | | | | | | | | | |
| $ | 3,945,063 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 05/08/2019 | | | | 3,975,479 | |
| | | | |
| | | | Mauser Holding GmbH, | | | | | | | | | | | | |
| | 2,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 07/31/2021 | | | | 1,988,540 | |
| | | | |
| | | | Reynolds Group Holdings, Inc., | | | | | | | | | | | | |
| | 969,774 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 11/30/2018 | | | | 975,229 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,934,047 | |
| | | | | | | | | | | | | | | | |
| | COSMETICS/TOILETRIES 2.1% | | | | | | | | | |
| | | | |
| | | | Prestige Brands, Inc., | | | | | | | | | | | | |
| | 3,666,667 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.50% | # | | | 09/03/2021 | | | | 3,685,000 | |
| |
| | | | Revlon Consumer Products Corporation, | |
| | 3,878,969 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 10/08/2019 | | | | 3,884,439 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,569,439 | |
| | | | | | | | | | | | | | | | |
| | ELECTRONICS/ELECTRIC 3.2% | | | | | | | | | |
| |
| | | | Allflex Holdings, Inc., | |
| | 3,930,101 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/17/2020 | | | | 3,939,926 | |
| |
| | | | BMC Software Finance, Inc., | |
| | 3,806,335 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 3,731,998 | |
| |
| | | | Freescale Semiconductor, Inc., | |
| | 3,972,279 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 5.00% | # | | | 01/15/2021 | | | | 3,997,384 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,669,308 | |
| | | | | | | | | | | | | | | | |
| | FINANCIAL INTERMEDIARIES 3.9% | | | | | | | | | |
| |
| | | | Grosvenor Capital Management Holdings LLP, | |
| | 2,910,764 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 01/04/2021 | | | | 2,890,753 | |
| |
| | | | Guggenheim Partners Investment Management Holdings LLC, | |
| | 3,930,101 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/22/2020 | | | | 3,964,489 | |
| |
| | | | National Financial Partners Corporation, | |
| | 3,224,433 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/01/2020 | | | | 3,222,418 | |
| |
| | | | RCS Capital Corporation, | |
| | 4,000,000 | | | Guaranteed Senior Secured 2nd Lien Term Loan | | | 6.50% | # | | | 04/29/2019 | | | | 3,985,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,062,660 | |
| | | | | | | | | | | | | | | | |
| | FOOD PRODUCTS 2.8% | | | | | | | | | |
| |
| | | | Candy Intermediate Holdings, Inc., | |
| | 3,586,654 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 7.50% | # | | | 06/18/2018 | | | | 3,568,721 | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 3,930,088 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 3,930,088 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | DE Master Blenders, | |
| $ | 2,500,000 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # & | | | 07/23/2021 | | | | 2,490,625 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,989,434 | |
| | | | | | | | | | | | | | | | |
| | FOOD/DRUG RETAILERS 2.2% | | | | | | | | | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B4 | | | 5.50% | # | | | 08/25/2021 | | | | 4,038,960 | |
| | | | |
| | | | Burger King Corporation, | | | | | | | | | | | | |
| | 3,964,681 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/10/2021 | | | | 4,008,174 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,047,134 | |
| | | | | | | | | | | | | | | | |
| | HEALTHCARE 4.4% | | | | | | | | | |
| | | | |
| | | | American Renal Holdings, Inc., | | | | | | | | | | | | |
| | 3,832,102 | | | Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 3,836,911 | |
| |
| | | | PharMEDium Healthcare Corporation, | |
| | 3,782,222 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 01/28/2021 | | | | 3,760,153 | |
| | | | |
| | | | Select Medical Corporation, | | | | | | | | | | | | |
| | 1,448,311 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche E | | | 3.75% | # | | | 06/01/2018 | | | | 1,451,026 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 2,867,813 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 11/03/2020 | | | | 2,882,166 | |
| |
| | | | US Renal Care, Inc., | |
| | 3,963,621 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/03/2019 | | | | 3,976,007 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,906,263 | |
| | | | | | | | | | | | | | | | |
| | HOTELS/MOTELS/INNS AND CASINOS 4.3% | | | | | | | | | |
| |
| | | | Four Seasons Holdings, Inc., | |
| | 3,930,101 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 06/27/2020 | | | | 3,930,100 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 3,676,953 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 3,686,145 | |
| |
| | | | Scientific Games International, Inc., | |
| | 3,990,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 6.00% | # | | | 10/01/2021 | | | | 4,004,683 | |
| |
| | | | Station Casinos LLC, | |
| | 3,821,537 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/02/2020 | | | | 3,836,154 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,457,082 | |
| | | | | | | | | | | | | | | | |
| | INDUSTRIAL EQUIPMENT 8.6% | | | | | | | | | |
| |
| | | | Crosby Acquisition Corporation, | |
| | 2,955,038 | | | Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/23/2020 | | | | 2,744,491 | |
| |
| | | | Doosan Infracore International, Inc., | |
| | 3,662,308 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/28/2021 | | | | 3,708,087 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 61 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Dynacast International LLC, | |
| $ | 3,500,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 01/28/2022 | | | | 3,539,375 | |
| |
| | | | Filtration Group, Inc., | |
| | 3,950,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 11/20/2020 | | | | 3,981,245 | |
| |
| | | | Jazz Acquisition, Inc., | |
| | 3,970,909 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 06/18/2021 | | | | 3,964,714 | |
| |
| | | | Onex Wizard Acquisition Company, | |
| | 2,700,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 03/14/2022 | | | | 2,728,512 | |
| |
| | | | PODS LLC, | |
| | 2,625,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 02/02/2022 | | | | 2,652,891 | |
| |
| | | | RBS Global, Inc., | |
| | 3,940,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 08/21/2020 | | | | 3,945,181 | |
| |
| | | | TMS International Corporation, | |
| | 3,945,050 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/16/2020 | | | | 3,866,149 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 31,130,645 | |
| | | | | | | | | | | | | | | | |
| | INSURANCE 3.0% | | | | | | | | | |
| | | | |
| | | | Applied Systems, Inc., | | | | | | | | | | | | |
| | 4,000,000 | | | Secured 2nd Lien Term Loan, Tranche B | | | 7.50% | # | | | 01/24/2022 | | | | 4,001,240 | |
| | | | |
| | | | Asurion LLC, | | | | | | | | | | | | |
| | 3,959,631 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.00% | # | | | 05/24/2019 | | | | 3,976,400 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 2,985,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 10/01/2021 | | | | 2,981,881 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,959,521 | |
| | | | | | | | | | | | | | | | |
| | LEISURE 3.0% | | | | | | | | | |
| |
| | | | Dave & Buster’s, Inc., | |
| | 3,729,517 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/24/2020 | | | | 3,749,321 | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 3,171,813 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 06/17/2020 | | | | 3,191,637 | |
| |
| | | | Live Nation Entertainment, Inc., | |
| | 3,940,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 08/14/2020 | | | | 3,942,463 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,883,421 | |
| | | | | | | | | | | | | | | | |
| | MEDIA 4.2% | | | | | | | | | |
| |
| | | | Charter Communications, | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 4.25% | # | | | 09/13/2021 | | | | 4,038,900 | |
| |
| | | | MGOC, Inc., | |
| | 3,553,257 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.25% | # | | | 07/31/2020 | | | | 3,574,577 | |
| |
| | | | Univision Communications Inc, | |
| | 3,968,862 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C3 | | | 4.00% | # | | | 02/28/2020 | | | | 3,965,448 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Virgin Media Investment Holdings Ltd., | |
| $ | 3,419,238 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/08/2020 | | | | 3,419,255 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,998,180 | |
| | | | | | | | | | | | | | | | |
| | OIL & GAS 2.2% | | | | | | | | | |
| |
| | | | Energy Transfer Equity LP, | |
| | 2,150,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.00% | # | | | 12/02/2019 | | | | 2,146,237 | |
| | | | |
| | | | MEG Energy Corporation, | | | | | | | | | | | | |
| | 3,979,443 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/31/2020 | | | | 3,824,264 | |
| | | | |
| | | | TPF II Power LLC, | | | | | | | | | | | | |
| | 2,094,750 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/01/2021 | | | | 2,123,553 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,094,054 | |
| | | | | | | | | | | | | | | | |
| | PHARMACEUTICALS 2.4% | | | | | | | | | |
| | | | |
| | | | Akorn, Inc., | | | | | | | | | | | | |
| | 3,980,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/16/2021 | | | | 4,004,895 | |
| | | | |
| | | | Ikaria, Inc., | | | | | | | | | | | | |
| | 3,475,618 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 02/12/2021 | | | | 3,483,004 | |
| |
| | | | Valeant Pharmaceuticals International, Inc., | |
| | 433,735 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche BF2 | | | 0.00% | # & | | | 04/01/2022 | | | | 436,175 | |
| | 566,265 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BF1 | | | 4.00% | # | | | 04/01/2022 | | | | 569,450 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,493,524 | |
| | | | | | | | | | | | | | | | |
| | RETAILERS (OTHER THAN FOOD/DRUG) 5.4% | | | | | | | | | |
| | | | |
| | | | Michaels Stores, Inc., | | | | | | | | | | | | |
| | 3,902,611 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 01/28/2020 | | | | 3,921,773 | |
| |
| | | | National Vision, Inc., | |
| | 3,970,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 03/12/2021 | | | | 3,933,615 | |
| |
| | | | Neiman Marcus Group LLC, | |
| | 3,969,925 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 10/23/2020 | | | | 3,962,481 | |
| |
| | | | Serta Simmons Holdings LLC, | |
| | 3,842,235 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/01/2019 | | | | 3,856,240 | |
| |
| | | | Spin Holdco, Inc., | |
| | 3,930,325 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 3,924,174 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,598,283 | |
| | | | | | | | | | | | | | | | |
| | TECHNOLOGY 1.1% | | | | | | | | | |
| | | | |
| | | | First Data Corporation, | | | | | | | | | | | | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C1 | | | 3.67% | # | | | 03/23/2018 | | | | 4,004,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 62 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | TELECOMMUNICATIONS 2.2% | | | | | | | | | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| $ | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 3,989,500 | |
| | | | |
| | | | Level 3 Financing, Inc., | | | | | | | | | | | | |
| | 4,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/31/2022 | | | | 4,026,880 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,016,380 | |
| | | | | | | | | | | | | | | | |
| | UTILITIES 3.2% | | | | | | | | | |
| | | | |
| | | | Calpine Corporation, | | | | | | | | | | | | |
| | 3,913,395 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.54% | # | | | 04/02/2018 | | | | 3,929,088 | |
| | | | |
| | | | EFS Cogen Holdings LLC, | | | | | | | | | | | | |
| | 3,677,306 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 12/17/2020 | | | | 3,694,166 | |
| |
| | | | Southeast PowerGen LLC, | |
| | 3,990,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/02/2021 | | | | 4,027,406 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,650,660 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $325,401,012) | | | | | | | | | | | 326,799,568 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 5.3% | | | | | |
| | 2,000,000 | | | Audatex North America, Inc. | | | 6.13% | ^ | | | 11/01/2023 | | | | 2,122,500 | |
| | 1,740,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 1,874,328 | |
| | 1,000,000 | | | CDW LLC | | | 5.00% | | | | 09/01/2023 | | | | 1,017,500 | |
| | 3,001,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 3,226,075 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 4,000,000 | | | H.J. Heinz Company | | | 4.88% | ^ | | | 02/15/2025 | | | | 4,345,000 | |
| | 3,300,000 | | | Infor, Inc. | | | 6.50% | ^ | | | 05/15/2022 | | | | 3,390,750 | |
| | 2,945,000 | | | Reynolds Group Issuer LLC | | | 5.75% | | | | 10/15/2020 | | | | 3,051,756 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $18,367,844) | | | | | | | | | | | 19,027,909 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 10.0% | | | | | |
| | 12,100,145 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 12,100,145 | |
| | 12,100,146 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 12,100,146 | |
| | 12,100,145 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 12,100,145 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $36,300,436) | | | | 36,300,436 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 105.7%
(Cost $380,069,292) | | | | 382,127,913 | |
| | | | Liabilities in Excess of Other Assets (5.7)% | | | | (20,657,500 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 361,470,413 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | | | | |
Bank Loans | | | 90.4% | |
Short Term Investments | | | 10.0% | |
US Corporate Bonds | | | 5.3% | |
Other Assets and Liabilities | | | (5.7)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| & | Unfunded or partially 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 March 31, 2015, the value of these securities amounted to $9,858,250 or 2.7% of net assets. |
| ¨ | Seven-day yield as of March 31, 2015 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 63 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 4.3% | |
| |
| | | | Albertson’s Holdings LLC, | |
| $ | 500,000 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B4 | | | 5.50% | # | | | 08/25/2021 | | | | 504,870 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 498,702 | | | Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 499,328 | |
| |
| | | | Asurion LLC, | |
| | 498,693 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.00% | # | | | 05/24/2019 | | | | 500,805 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 498,750 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 503,421 | |
| |
| | | | BMC Software Finance, Inc., | |
| | 498,691 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 488,952 | |
| |
| | | | Burger King Corporation, | |
| | 495,585 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/10/2021 | | | | 501,022 | |
| |
| | | | Calpine Corporation, | |
| | 498,701 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.00% | # | | | 04/02/2018 | | | | 500,701 | |
| |
| | | | Candy Intermediate Holdings, Inc., | |
| | 498,721 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 7.50% | # | | | 06/18/2018 | | | | 496,227 | |
| |
| | | | Capital Automotive LP, | |
| | 498,662 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 501,312 | |
| |
| | | | Charter Communications, | |
| | 500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 4.25% | # | | | 09/13/2021 | | | | 504,863 | |
| |
| | | | DaVita HealthCare Partners, Inc., | |
| | 498,744 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/24/2021 | | | | 500,582 | |
| |
| | | | Delta Air Lines, Inc., | |
| | 498,724 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.25% | # | | | 10/18/2018 | | | | 499,345 | |
| |
| | | | Doosan Infracore International, Inc., | |
| | 498,638 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/28/2021 | | | | 504,871 | |
| |
| | | | Energy Transfer Equity LP, | |
| | 200,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.00% | # | | | 12/02/2019 | | | | 199,650 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 500,000 | | | Guranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 499,438 | |
| |
| | | | First Data Corporation, | |
| | 500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C1 | | | 3.67% | # | | | 03/23/2018 | | | | 500,500 | |
| |
| | | | Freescale Semiconductor, Inc., | |
| | 498,734 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 5.00% | # | | | 01/15/2021 | | | | 501,886 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Gates Global LLC, | |
| $ | 498,747 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/05/2021 | | | | 497,470 | |
| |
| | | | Goodyear Tire & Rubber Company, | |
| | 500,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 4.75% | # | | | 04/30/2019 | | | | 505,937 | |
| |
| | | | HCA, Inc., | |
| | 498,734 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.03% | # | | | 05/01/2018 | | | | 499,564 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 485,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 486,212 | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 498,688 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/31/2022 | | | | 503,360 | |
| |
| | | | MGOC, Inc., | |
| | 489,712 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.25% | # | | | 07/31/2020 | | | | 492,650 | |
| |
| | | | Neiman Marcus Group LLC, | |
| | 500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 10/23/2020 | | | | 499,063 | |
| |
| | | | Reynolds Group Holdings, Inc., | |
| | 487,336 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 11/30/2018 | | | | 490,077 | |
| |
| | | | Scientific Games International, Inc., | |
| | 498,750 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 6.00% | # | | | 10/01/2021 | | | | 500,585 | |
| |
| | | | Spin Holdco, Inc., | |
| | 498,750 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 497,969 | |
| |
| | | | Station Casinos LLC, | |
| | 478,947 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/02/2020 | | | | 480,780 | |
| |
| | | | TransUnion LLC, | |
| | 498,741 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/09/2021 | | | | 499,404 | |
| |
| | | | Travelport Finance Luxembourg S.A.R.L., | |
| | 500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 09/02/2021 | | | | 505,400 | |
| |
| | | | Univision Communications Inc, | |
| | 498,680 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C3 | | | 4.00% | # | | | 02/28/2020 | | | | 498,251 | |
| |
| | | | US Renal Care, Inc., | |
| | 498,734 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/03/2019 | | | | 500,293 | |
| |
| | | | Virgin Media Investment Holdings Ltd., | |
| | 427,405 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/08/2020 | | | | 427,407 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $16,554,871) | | | | 16,590,883 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 64 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 18.2% | |
| |
| | | | AB Ltd., | |
| $ | 500,000 | | | Series 2007-1A-B | | | 1.00% | #^ | | | 04/15/2021 | | | | 496,216 | |
| |
| | | | Adams Mill Ltd., | |
| | 250,000 | | | Series 2014-1A-D1 | | | 3.75% | #^ | | | 07/15/2026 | | | | 236,344 | |
| |
| | | | Aimco, | |
| | 789,794 | | | Series 2006-AA-A1 | | | 0.51% | #^ | | | 08/20/2020 | | | | 786,602 | |
| |
| | | | Apidos Ltd., | |
| | 1,000,000 | | | Series 2013-16A-A1 | | | 1.71% | #^ | | | 01/19/2025 | | | | 1,000,371 | |
| | 500,000 | | | Series 2014-19A-D | | | 3.96% | #^ | | | 10/17/2026 | | | | 487,565 | |
| | 1,000,000 | | | Series 2015-20A-A1 | | | 1.77% | #^ | | | 01/16/2027 | | | | 1,000,613 | |
| | 500,000 | | | Series 2015-20A-A2 | | | 2.57% | #^ | | | 01/16/2027 | | | | 504,307 | |
| |
| | | | ARES Ltd., | |
| | 604,349 | | | Series 2007-12A-A | | | 0.89% | #^ | | | 11/25/2020 | | | | 601,850 | |
| | 500,000 | | | Series 2014-1A-A2 | | | 2.26% | #^ | | | 04/17/2026 | | | | 497,495 | |
| | 938,392 | | | Series 2014-30A-A2 | | | 1.11% | #^ | | | 04/20/2023 | | | | 933,880 | |
| |
| | | | Atrium Corporation, | |
| | 439,586 | | | Series 5A-A2A | | | 0.48% | #^ | | | 07/20/2020 | | | | 437,543 | |
| |
| | | | Avery Point Ltd., | |
| | 250,000 | | | Series 2013-2A-D | | | 3.71% | #^ | | | 07/17/2025 | | | | 240,465 | |
| | 250,000 | | | Series 2014-1A-B1 | | | 2.36% | #^ | | | 04/25/2026 | | | | 250,224 | |
| | 500,000 | | | Series 2014-1A-C | | | 3.36% | #^ | | | 04/25/2026 | | | | 499,533 | |
| | 250,000 | | | Series 2014-1A-D | | | 3.76% | #^ | | | 04/25/2026 | | | | 243,044 | |
| | 364,288 | | | Series 2005-3A-A | | | 0.51% | #^ | | | 11/10/2019 | | | | 363,176 | |
| |
| | | | Babson Ltd., | |
| | 459,176 | | | Series 2007-1A-A2A | | | 0.47% | #^ | | | 01/18/2021 | | | | 457,870 | |
| | 500,000 | | | Series 2014-3A-C1 | | | 3.29% | #^ | | | 01/15/2026 | | | | 499,604 | |
| | 500,000 | | | Series 2014-3A-D2 | | | 4.69% | #^ | | | 01/15/2026 | | | | 504,550 | |
| |
| | | | Ballyrock Ltd., | |
| | 500,000 | | | Series 2014-1A-B | | | 3.43% | #^ | | | 10/20/2026 | | | | 496,165 | |
| | 250,000 | | | Series 2014-1A-C | | | 3.98% | #^ | | | 10/20/2026 | | | | 240,638 | |
| |
| | | | Betony Ltd., | |
| | 1,000,000 | | | Series 2015-1A-C | | | 3.41% | #^ | | | 04/15/2027 | | | | 998,318 | |
| | 1,000,000 | | | Series 2015-1A-D | | | 3.86% | #^ | | | 04/15/2027 | | | | 943,926 | |
| |
| | | | Birchwood Park Ltd., | |
| | 500,000 | | | Series 2014-1A-C2 | | | 3.40% | #^ | | | 07/15/2026 | | | | 501,621 | |
| | 500,000 | | | Series 2014-1A-D2 | | | 4.45% | #^ | | | 07/15/2026 | | | | 503,739 | |
| |
| | | | Black Diamond Ltd., | |
| | 285,429 | | | Series 2005-2A-A | | | 0.51% | #^ | | | 01/07/2018 | | | | 282,412 | |
| |
| | | | BlackRock Senior Income, | |
| | 888,689 | | | Series 2006-4A-A | | | 0.50% | #^ | | | 04/20/2019 | | | | 881,513 | |
| |
| | | | BlueMountain Ltd., | |
| | 1,000,000 | | | Series 2013-1A-A1 | | | 1.46% | #^ | | | 05/15/2025 | | | | 990,132 | |
| | 1,000,000 | | | Series 2014-4A-B1 | | | 2.65% | #^ | | | 11/30/2026 | | | | 1,004,736 | |
| |
| | | | Canyon Capital Ltd, | |
| | 1,000,000 | | | Series 2012-1A-C | | | 3.05% | #^ | | | 01/15/2024 | | | | 980,286 | |
| | 1,500,000 | | | Series 2014-1A-B | | | 2.90% | #^ | | | 04/30/2025 | | | | 1,466,079 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 1,250,000 | | | Series 2014-1A-C | | | 3.26% | #^ | | | 04/17/2025 | | | | 1,253,235 | |
| | 500,000 | | | Series 2014-3A-B | | | 3.41% | #^ | | | 07/27/2026 | | | | 501,562 | |
| | 500,000 | | | Series 2014-3A-C2 | | | 4.46% | #^ | | | 07/27/2026 | | | | 503,732 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 201,771 | | | Series 2005-7A-D1 | | | 1.97% | #^ | | | 09/30/2019 | | | | 201,778 | |
| | 500,000 | | | Series 2006-8A-B | | | 0.64% | #^ | | | 05/21/2021 | | | | 485,606 | |
| | 907,060 | | | Series 2007-10A-A2A | | | 0.47% | #^ | | | 04/19/2022 | | | | 895,278 | |
| |
| | | | Catamaran Ltd., | |
| | 250,000 | | | Series 2014-1A-A2 | | | 2.06% | #^ | | | 04/20/2026 | | | | 243,789 | |
| | 250,000 | | | Series 2014-1A-B | | | 2.91% | #^ | | | 04/20/2026 | | | | 241,453 | |
| | 1,000,000 | | | Series 2015-1A1-B | | | 2.48% | #^ | | | 04/22/2027 | | | | 1,000,000 | |
| | 2,000,000 | | | Series 2015-1A-A | | | 1.83% | #^ | | | 04/22/2027 | | | | 2,000,000 | |
| |
| | | | Cent Ltd., | |
| | 500,000 | | | Series 2014-22A-B | | | 3.43% | #^ | | | 11/07/2026 | | | | 502,173 | |
| | 250,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 243,612 | |
| |
| | | | ColumbusNova Ltd., | |
| | 500,000 | | | Series 2006-2A-D | | | 1.76% | #^ | | | 04/04/2018 | | | | 498,772 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Cornerstone Ltd., | |
| $ | 183,879 | | | Series 2007-1A-A1S | | | 0.47% | #^ | | | 07/15/2021 | | | | 182,533 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 800,000 | | | Series 2006-11A-C1 | | | 1.85% | #^ | | | 04/12/2020 | | | | 780,305 | |
| |
| | | | Eaton Vance Ltd., | |
| | 2,000,000 | | | Series 2006-8A-B | | | 0.91% | #^ | | | 08/15/2022 | | | | 1,925,592 | |
| |
| | | | Flatiron Ltd., | |
| | 500,000 | | | Series 2013-1A-B | | | 3.01% | #^ | | | 01/17/2026 | | | | 491,728 | |
| | 250,000 | | | Series 2014-1A-B | | | 3.11% | #^ | | | 07/17/2026 | | | | 247,396 | |
| | 250,000 | | | Series 2014-1A-C | | | 3.56% | #^ | | | 07/17/2026 | | | | 239,819 | |
| |
| | | | Franklin Ltd., | |
| | 341,021 | | | Series 2006-5A-A2 | | | 0.53% | #^ | | | 06/15/2018 | | | | 339,359 | |
| |
| | | | Galaxy Ltd., | |
| | 500,000 | | | Series 2014-18A-D1 | | | 3.96% | #^ | | | 10/15/2026 | | | | 487,272 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 700,000 | | | Series 2012-6A-D | | | 4.46% | #^ | | | 04/17/2022 | | | | 702,362 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 500,000 | | | Series 2012-1X-A2 | | | 2.76% | # | | | 08/15/2023 | | | | 500,726 | |
| | 500,000 | | | Series 2013-2A-C | | | 2.95% | #^ | | | 08/01/2025 | | | | 477,704 | |
| | 250,000 | | | Series 2013-2A-D | | | 4.05% | #^ | | | 08/01/2025 | | | | 228,059 | |
| | 88,889 | | | Series 2014-1A-X | | | 1.23% | #^ | | | 04/18/2026 | | | | 88,915 | |
| | 500,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 447,408 | |
| |
| | | | ING Ltd., | |
| | 500,000 | | | Series 2012-1RA-A2R | | | 2.09% | #^ | | | 03/14/2022 | | | | 500,985 | |
| | 500,000 | | | Series 2012-1RA-BR | | | 2.99% | #^ | | | 03/14/2022 | | | | 501,496 | |
| |
| | | | Inwood Park Ltd., | |
| | 1,000,000 | | | Series 2006-1A-B | | | 0.65% | #^ | | | 01/20/2021 | | | | 975,495 | |
| |
| | | | Jamestown Ltd., | |
| | 1,000,000 | | | Series 2015-6A-A1A | | | 1.86% | #^ | | | 02/20/2027 | | | | 1,003,777 | |
| | | | |
| | | | Landmark Ltd., | | | | | | | | | | | | |
| | 733,065 | | | Series 2006-7A-A2L | | | 0.70% | #^ | | | 07/15/2018 | | | | 735,886 | |
| | | | |
| | | | LCM LP, | | | | | | | | | | | | |
| | 500,000 | | | Series 10AR-BR | | | 2.15% | #^ | | | 04/15/2022 | | | | 500,620 | |
| | 500,000 | | | Series 10AR-CR | | | 3.10% | #^ | | | 04/15/2022 | | | | 502,290 | |
| | 500,000 | | | Series 11A-B | | | 2.41% | #^ | | | 04/19/2022 | | | | 500,665 | |
| | 250,000 | | | Series 11A-D2 | | | 4.21% | #^ | | | 04/19/2022 | | | | 249,956 | |
| | 1,000,000 | | | Series 12A-A | | | 1.73% | #^ | | | 10/19/2022 | | | | 1,001,007 | |
| | 750,000 | | | Series 12A-D | | | 4.76% | #^ | | | 10/19/2022 | | | | 751,924 | |
| | 500,000 | | | Series 14A-D | | | 3.75% | #^ | | | 07/15/2025 | | | | 486,163 | |
| | 500,000 | | | Series 15A-C | | | 3.36% | #^ | | | 08/25/2024 | | | | 501,857 | |
| | 250,000 | | | Series 16A-D | | | 3.85% | #^ | | | 07/15/2026 | | | | 242,163 | |
| | 500,000 | | | Series 5A-C | | | 0.93% | #^ | | | 03/21/2019 | | | | 487,508 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 250,000 | | | Series 2012-9X-C1 | | | 3.86% | # | | | 08/15/2022 | | | | 253,120 | |
| | 250,000 | | | Series 2014-13A-D | | | 3.61% | #^ | | | 01/19/2025 | | | | 239,252 | |
| | 125,000 | | | Series 2014-13A-X | | | 1.26% | #^ | | | 01/19/2025 | | | | 125,055 | |
| | 250,000 | | | Series 2014-14A-C1 | | | 3.36% | #^ | | | 07/20/2026 | | | | 252,011 | |
| | 1,000,000 | | | Series 2014-14A-D | | | 3.86% | #^ | | | 07/20/2026 | | | | 970,127 | |
| | 1,000,000 | | | Series 2014-15A-C | | | 3.91% | #^ | | | 01/27/2026 | | | | 974,064 | |
| | 1,000,000 | | | Series 2015-16A-B | | | 3.30% | #^ | | | 04/20/2026 | | | | 996,678 | |
| |
| | | | Magnetite Ltd., | |
| | 1,000,000 | | | Series 2014-11A-C | | | 3.84% | #^ | | | 01/18/2027 | | | | 964,560 | |
| | 1,000,000 | | | Series 2015-12A-B | | | 2.52% | #^ | | | 04/15/2027 | | | | 1,001,253 | |
| | | | |
| | | | Nautique Funding Ltd., | | | | | | | | | | | | |
| | 500,000 | | | Series 2006-1A-C | | | 1.95% | #^ | | | 04/15/2020 | | | | 487,065 | |
| | | | |
| | | | North End Ltd., | | | | | | | | | | | | |
| | 500,000 | | | Series 2013-1A-C | | | 3.01% | #^ | | | 07/17/2025 | | | | 486,897 | |
| | 250,000 | | | Series 2013-1A-D | | | 3.76% | #^ | | | 07/17/2025 | | | | 236,768 | |
| | | | |
| | | | OCP Ltd., | | | | | | | | | | | | |
| | 250,000 | | | Series 2012-2A-A2 | | | 1.74% | #^ | | | 11/22/2023 | | | | 250,542 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 500,000 | | | Series 2014-1A-B | | | 3.45% | #^ | | | 11/14/2026 | | | | 502,423 | |
| | 750,000 | | | Series 2014-1A-C | | | 3.90% | #^ | | | 11/14/2026 | | | | 726,673 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 219,328 | | | Series 2011-1AR-AR | | | 1.18% | #^ | | | 04/20/2021 | | | | 218,788 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 65 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | | | |
| | | | OZLM Funding Ltd., | | | | | | | | | | | | |
| $ | 500,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 499,682 | |
| | | | |
| | | | OZLM Ltd., | | | | | | | | | | | | |
| | 1,000,000 | | | Series 2015-11A-A1A | | | 1.82% | #^ | | | 01/30/2027 | | | | 1,001,242 | |
| | 1,000,000 | | | Series 2015-11A-A2A | | | 2.52% | #^ | | | 01/30/2027 | | | | 1,003,040 | |
| | | | |
| | | | Pinnacle Park Ltd., | | | | | | | | | | | | |
| | 500,000 | | | Series 2014-1A-C | | | 3.35% | #^ | | | 04/15/2026 | | | | 501,867 | |
| | | | |
| | | | Race Point Ltd., | | | | | | | | | | | | |
| | 138,903 | | | Series 2007-4A-A1A | | | 0.45% | #^ | | | 08/01/2021 | | | | 138,477 | |
| | 500,000 | | | Series 2007-4A-D | | | 2.25% | #^ | | | 08/01/2021 | | | | 490,063 | |
| | 250,000 | | | Series 2012-6RA-CR | | | 3.34% | #^ | | | 05/24/2023 | | | | 248,592 | |
| | 250,000 | | | Series 2012-6RA-DR | | | 4.34% | #^ | | | 05/24/2023 | | | | 244,987 | |
| | | | |
| | | | Regatta Funding Ltd., | | | | | | | | | | | | |
| | 500,000 | | | Series 2014-1A-A1A | | | 1.79% | #^ | | | 10/25/2026 | | | | 500,841 | |
| | | | |
| | | | Sierra Ltd., | | | | | | | | | | | | |
| | 1,000,000 | | | Series 2006-2A-A2L | | | 0.69% | #^ | | | 01/22/2021 | | | | 989,954 | |
| | | | |
| | | | Slater Mill Loan Fund, | | | | | | | | | | | | |
| | 500,000 | | | Series 2012-1A-B | | | 2.91% | #^ | | | 08/17/2022 | | | | 503,743 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 500,000 | | | Series 2014-1A-A1 | | | 1.73% | #^ | | | 10/30/2026 | | | | 498,795 | |
| | | | |
| | | | Steele Creek Ltd., | | | | | | | | | | | | |
| | 250,000 | | | Series 2014-1A-A1 | | | 1.86% | #^ | | | 08/21/2026 | | | | 249,442 | |
| | | | |
| | | | Symphony Ltd., | | | | | | | | | | | | |
| | 1,500,000 | | | Series 2013-11A-B1 | | | 2.46% | #^ | | | 01/17/2025 | | | | 1,505,641 | |
| | 1,500,000 | | | Series 2013-11A-C | | | 3.41% | #^ | | | 01/17/2025 | | | | 1,509,663 | |
| | | | |
| | | | Thacher Park Ltd., | | | | | | | | | | | | |
| | 500,000 | | | Series 2014-1A-C | | | 3.30% | #^ | | | 10/20/2026 | | | | 500,901 | |
| | 500,000 | | | Series 2014-1A-D1 | | | 3.78% | #^ | | | 10/20/2026 | | | | 480,752 | |
| | | | |
| | | | Venture Ltd., | | | | | | | | | | | | |
| | 2,000,000 | | | Series 2005-1A-A2 | | | 0.71% | #^ | | | 11/22/2018 | | | | 1,996,006 | |
| | 972,088 | | | Series 2007-8A-A2A | | | 0.48% | #^ | | | 07/22/2021 | | | | 959,453 | |
| | 500,000 | | | Series 2012-10A-C | | | 3.51% | #^ | | | 07/20/2022 | | | | 501,251 | |
| | 500,000 | | | Series 2013-14A-B1 | | | 2.11% | #^ | | | 08/28/2025 | | | | 495,283 | |
| | 250,000 | | | Series 2014-16A-A1L | | | 1.75% | #^ | | | 04/15/2026 | | | | 249,772 | |
| | | | |
| | | | Washington Mill Ltd., | | | | | | | | | | | | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 1.76% | #^ | | | 04/20/2026 | | | | 998,080 | |
| | | | |
| | | | WG Horizons, | | | | | | | | | | | | |
| | 500,000 | | | Series 2006-1A-C | | | 1.96% | #^ | | | 05/24/2019 | | | | 490,674 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $69,055,397) | | | | 69,226,254 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 17.9% | |
| | 600,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 621,402 | |
| | 200,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 193,500 | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 209,000 | |
| | 800,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 836,000 | |
| | 200,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 204,740 | |
| | 1,000,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 1,023,700 | |
| | 590,000 | | | Australia and New Zealand Banking Group Ltd. | | | 3.25% | ^ | | | 03/01/2016 | | | | 604,254 | |
| | 400,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 402,000 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 201,000 | |
| | 500,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 538,250 | |
| | 270,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 281,138 | |
| | 1,000,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 997,500 | |
| | 500,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 520,000 | |
| | 700,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 717,150 | |
| | 400,000 | | | Banco de Credito del Peru | | | 2.75% | ^ | | | 01/09/2018 | | | | 403,800 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 400,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 403,800 | |
| | 1,000,000 | | | Banco de Credito e Inversiones | | | 3.00% | | | | 09/13/2017 | | | | 1,022,872 | |
| | 500,000 | | | Banco del Estado de Chile | | | 4.13% | | | | 10/07/2020 | | | | 530,116 | |
| | 900,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 873,000 | |
| | 600,000 | | | Banco International del Peru S.A.A. | | | 5.75% | | | | 10/07/2020 | | | | 663,000 | |
| | 895,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 936,958 | |
| | 900,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 914,580 | |
| | 600,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 638,280 | |
| | 450,000 | | | Banco Santander | | | 1.15% | # | | | 04/11/2017 | | | | 448,879 | |
| | 400,000 | | | Banco Santander | | | 2.14% | # | | | 06/07/2018 | | | | 408,200 | |
| | 1,400,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 1,483,580 | |
| | 800,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 858,760 | |
| | 225,000 | | | Bank Of Montreal | | | 1.30% | | | | 07/15/2016 | | | | 226,661 | |
| | 399,000 | | | Bank Of Montreal | | | 1.30% | | | | 07/14/2017 | | | | 400,408 | |
| | 615,000 | | | Bank Of Nova Scotia | | | 1.25% | | | | 04/11/2017 | | | | 616,930 | |
| | 1,500,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 1,582,500 | |
| | 250,000 | | | BP Capital Markets PLC | | | 1.85% | | | | 05/05/2017 | | | | 253,098 | |
| | 200,000 | | | BP Capital Markets PLC | | | 1.67% | | | | 02/13/2018 | | | | 201,000 | |
| | 225,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 251,755 | |
| | 50,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 49,500 | |
| | 200,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 213,500 | |
| | 800,000 | | | Cemex S.A.B. de C.V. | | | 5.00% | # | | | 10/15/2018 | | | | 837,600 | |
| | 300,000 | | | Cemex S.A.B. de C.V. | | | 5.88% | | | | 03/25/2019 | | | | 310,500 | |
| | 1,000,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 1,047,708 | |
| | 1,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 1,056,250 | |
| | 800,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 844,000 | |
| | 800,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 793,000 | |
| | 400,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 397,877 | |
| | 500,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 501,585 | |
| | 500,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 497,711 | |
| | 200,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 179,600 | |
| | 500,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 508,750 | |
| | 200,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 203,500 | |
| | 500,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 526,697 | |
| | 700,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 697,270 | |
| | 200,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | | | | 03/13/2019 | | | | 205,400 | |
| | 1,000,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 1,038,113 | |
| | 200,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 200,330 | |
| | 200,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 205,000 | |
| | 200,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 201,300 | |
| | 400,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 366,880 | |
| | 200,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 215,000 | |
| | 1,525,094 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 1,574,659 | |
| | 1,000,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 1,017,500 | |
| | 1,300,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 1,294,344 | |
| | 900,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 927,900 | |
| | 200,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 208,480 | |
| | 200,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 208,480 | |
| | 200,000 | | | Globo Communicacao e Participacoes S.A. | | | 6.25% | #† | | | 07/20/2015 | | | | 203,000 | |
| | 200,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 209,250 | |
| | 1,500,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 1,571,250 | |
| | 900,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 972,900 | |
| | 400,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 417,000 | |
| | 1,000,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 1,028,750 | |
| | 650,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 699,562 | |
| | | | | | |
| 66 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 1,000,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 1,052,500 | |
| | 500,000 | | | Hutchison Whampoa International Ltd. | | | 2.00% | | | | 11/08/2017 | | | | 504,180 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 208,500 | |
| | 300,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 312,750 | |
| | 1,000,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 1,052,500 | |
| | 1,000,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 1,056,250 | |
| | 445,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 422,194 | |
| | 600,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 630,563 | |
| | 1,000,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 1,068,436 | |
| | 600,000 | | | JBS Investments GmbH | | | 7.75% | | | | 10/28/2020 | | | | 637,500 | |
| | 200,000 | | | Korea Development Bank | | | 3.25% | | | | 03/09/2016 | | | | 204,125 | |
| | 100,000 | | | LPG International, Inc. | | | 7.25% | | | | 12/20/2015 | | | | 102,950 | |
| | 600,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 511,500 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 170,500 | |
| | 200,000 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 203,500 | |
| | 400,000 | | | Millicom International Cellular S.A. | | | 4.75% | | | | 05/22/2020 | | | | 393,600 | |
| | 600,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 636,750 | |
| | 200,000 | | | Millicom International Cellular S.A. | | | 6.63% | ^ | | | 10/15/2021 | | | | 212,250 | |
| | 1,000,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 955,000 | |
| | 400,000 | | | National Australia Bank Ltd. | | | 3.00% | ^ | | | 07/27/2016 | | | | 411,695 | |
| | 200,000 | | | OAS Investments GmbH | | | 8.25% | W | | | 10/19/2019 | | | | 30,500 | |
| | 150,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/14/2015 | | | | 125,250 | |
| | 600,000 | | | Oleoducto Central S.A. | | | 4.00% | | | | 05/07/2021 | | | | 598,800 | |
| | 600,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 613,672 | |
| | 1,200,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 1,252,380 | |
| | 850,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 563,125 | |
| | 1,619,150 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 1,548,879 | |
| | 400,000 | | | Petrobras Global Finance B.V. | | | 3.15% | # | | | 03/17/2020 | | | | 346,000 | |
| | 400,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 417,000 | |
| | 143,175 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 154,593 | |
| | 200,000 | | | Rearden G Holdings EINS GmbH | | | 7.88% | | | | 03/30/2020 | | | | 178,000 | |
| | 250,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 267,146 | |
| | 250,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 228,505 | |
| | 220,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 225,500 | |
| | 200,000 | | | Sigma Alimentos S.A. | | | 6.88% | | | | 12/16/2019 | | | | 231,600 | |
| | 1,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 984,789 | |
| | 1,000,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 1,027,500 | |
| | 1,100,000 | | | Tencent Holdings Ltd. | | | 2.88% | ^ | | | 02/11/2020 | | | | 1,109,248 | |
| | 700,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 748,125 | |
| | 200,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 186,820 | |
| | 400,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | | | | 07/22/2019 | | | | 373,640 | |
| | 1,000,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 1,013,500 | |
| | 300,000 | | | United Overseas Bank Ltd. | | | 2.88% | # | | | 10/17/2022 | | | | 305,940 | |
| | 500,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 518,930 | |
| | 250,000 | | | Vale Overseas Ltd. | | | 4.63% | | | | 09/15/2020 | | | | 250,500 | |
| | 400,000 | | | Vedanta Resources PLC | | | 6.00% | | | | 01/31/2019 | | | | 358,396 | |
| | 1,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 1,040,000 | |
| | 600,000 | | | Westpac Banking Corporation | | | 2.00% | | | | 08/14/2017 | | | | 611,810 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $68,567,696) | | | | 67,955,348 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.1% |
|
| $ | 251,000 | | | Corporacion Andina de Fomento | | | 3.75% | | | | 01/15/2016 | | | | 257,323 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $256,751) | | | | 257,323 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 14.5% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 200,000 | | | Series 2014-IP-E | | | 2.72% | #^ | | | 06/15/2028 | | | | 200,138 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 350,000 | | | Series 2006-5-AM | | | 5.45% | | | | 09/10/2047 | | | | 367,708 | |
| | 500,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 521,744 | |
| | 500,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 534,123 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 110,000 | | | Series 2004-PWR4-D | | | 6.03% | # | | | 06/11/2041 | | | | 114,680 | |
| | 300,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 309,175 | |
| | 500,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 517,465 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 350,000 | | | Series 2006-CD2-AM | | | 5.35% | # | | | 01/15/2046 | | | | 361,585 | |
| | 900,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 942,500 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 933,000 | | | Series 2007-C6-AM | | | 5.90% | # | | | 12/10/2049 | | | | 994,941 | |
| | 1,500,000 | | | Series 2007-C6-AMFX | | | 5.70% | #^ | | | 12/10/2049 | | | | 1,597,989 | |
| | 6,084,773 | | | Series 2014-GC25-XA | | | 1.25% | # I/O | | | 10/10/2047 | | | | 487,412 | |
| | 300,000 | | | Series 2015-GC27-D | | | 4.43% | #^ | | | 02/10/2048 | | | | 277,110 | |
| | 5,995,760 | | | Series 2015-GC27-XA | | | 1.45% | # I/O | | | 02/10/2048 | | | | 638,123 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 300,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 307,330 | |
| | 350,000 | | | Series 2007-C3-AM | | | 5.76% | # | | | 05/15/2046 | | | | 378,212 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 110,000 | | | Series 2006-C7-AM | | | 5.96% | # | | | 06/10/2046 | | | | 115,479 | |
| | 10,493,097 | | | Series 2013-CR10-XA | | | 1.16% | # I/O | | | 08/10/2046 | | | | 545,258 | |
| | 3,229,206 | | | Series 2014-CR17-XA | | | 1.36% | # I/O | | | 05/10/2047 | | | | 235,414 | |
| | 300,000 | | | Series 2014-CR19-C | | | 4.88% | # | | | 08/10/2047 | | | | 321,412 | |
| | 500,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 528,448 | |
| | 700,000 | | | Series 2014-KYO-E | | | 2.53% | #^ | | | 06/11/2027 | | | | 699,990 | |
| | 1,500,000 | | | Series 2014-KYO-F | | | 3.68% | #^ | | | 06/11/2027 | | | | 1,498,084 | |
| | 110,000 | | | Series 2014-TWC-C | | | 2.02% | #^ | | | 02/13/2032 | | | | 110,111 | |
| | 1,500,000 | | | Series 2015-CR22-D | | | 4.27% | #^ | | | 03/10/2048 | | | | 1,371,024 | |
| | 22,500,000 | | | Series 2015-CR22-XA | | | 1.17% | # I/O | | | 03/10/2048 | | | | 1,592,651 | |
| | 1,000,000 | | | Series 2015-DC1-D | | | 4.50% | #^ | | | 02/10/2048 | | | | 933,789 | |
| | 12,500,000 | | | Series 2015-DC1-XA | | | 1.34% | # I/O | | | 02/10/2048 | | | | 1,012,169 | |
| | 950,000 | | | Series 2015-LC19-B | | | 3.83% | # | | | 02/10/2048 | | | | 992,256 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 939,553 | | | Series 2007-MF1-A | | | 6.28% | #^ | | | 11/12/2043 | | | | 988,879 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 110,000 | | | Series 2005-C2-AMFX | | | 4.88% | | | | 04/15/2037 | | | | 110,022 | |
| | 310,000 | | | Series 2005-C6-AJ | | | 5.23% | # | | | 12/15/2040 | | | | 315,976 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 100,000 | | | Series 2006-C1-C | | | 5.47% | # | | | 02/15/2039 | | | | 101,902 | |
| | 110,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 115,985 | |
| | 190,000 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 199,504 | |
| | 350,000 | | | Series 2007-C2-AM | | | 5.57% | # | | | 01/15/2049 | | | | 375,591 | |
| | 1,575,000 | | | Series 2007-C2-AMFL | | | 0.41% | # | | | 01/15/2049 | | | | 1,514,581 | |
| | 300,000 | | | Series 2007-C4-A1AM | | | 5.90% | # | | | 09/15/2039 | | | | 325,170 | |
| | 300,000 | | | Series 2014-SURF-E | | | 3.28% | #^ | | | 02/15/2029 | | | | 299,897 | |
| | 10,092,000 | | | Series 2014-USA-X1 | | | 0.55% | #^ I/O | | | 09/15/2037 | | | | 489,796 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 17,000,000 | | | Series 2015-C1-XA | | | 1.12% | # I/O | | | 04/15/2050 | | | | 1,191,700 | |
| |
| | | | Grace Mortgage Trust, | |
| | 350,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 370,534 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 300,000 | | | Series 2006-GG7-AJ | | | 6.01% | # | | | 07/10/2038 | | | | 307,398 | |
| | 550,000 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 583,979 | |
| | 250,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 270,939 | |
| | 550,000 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 580,705 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 67 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | GS Mortgage Securities Corporation, | |
| $ | 350,000 | | | Series 2006-GG6-AJ | | | 5.71% | # | | | 04/10/2038 | | | | 357,988 | |
| | 915,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 936,866 | |
| | 300,000 | | | Series 2013-KING-C | | | 3.55% | #^ | | | 12/10/2027 | | | | 309,569 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 500,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 520,453 | |
| | 900,000 | | | Series 2007-CB20-AM | | | 6.08% | # | | | 02/12/2051 | | | | 987,447 | |
| | 530,000 | | | Series 2007-CIBC19-AM | | | 5.89% | # | | | 02/12/2049 | | | | 561,164 | |
| | 350,000 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 369,026 | |
| | 1,500,000 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 1,631,926 | |
| | 350,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 365,209 | |
| | 500,000 | | | Series 2014-PHH-D | | | 2.57% | #^ | | | 08/15/2027 | | | | 502,184 | |
| | 1,000,000 | | | Series 2015-CSMO-C | | | 2.43% | #^ | | | 01/15/2032 | | | | 1,001,566 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 7,410,206 | | | Series 2014-C18-XA | | | 1.15% | # I/O | | | 02/15/2047 | | | | 481,071 | |
| | 500,000 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 529,109 | |
| | 23,432,601 | | | Series 2014-C25-XA | | | 1.02% | # I/O | | | 11/15/2047 | | | | 1,630,183 | |
| | 558,000 | | | Series 2014-C26-C | | | 4.43% | # | | | 01/15/2048 | | | | 584,979 | |
| | 7,708,418 | | | Series 2014-C26-XA | | | 1.19% | # I/O | | | 01/15/2048 | | | | 582,691 | |
| | 8,742,367 | | | Series 2015-C27-XA | | | 1.40% | # I/O | | | 02/15/2048 | | | | 792,539 | |
| | 1,000,000 | | | Series 2015-C27-D | | | 3.85% | #^ | | | 02/15/2048 | | | | 885,976 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2006-C7-AM | | | 5.38% | | | | 11/15/2038 | | | | 158,513 | |
| | 300,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 313,427 | |
| | 179,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 189,518 | |
| |
| | | | Madison Avenue Trust, | |
| | 300,000 | | | Series 2013-650M-D | | | 4.17% | #^ | | | 10/12/2032 | | | | 315,142 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 500,000 | | | Series 2005-CIP1-AM | | | 5.11% | # | | | 07/12/2038 | | | | 505,085 | |
| | 250,000 | | | Series 2006-C1-AJ | | | 5.87% | # | | | 05/12/2039 | | | | 253,389 | |
| | 150,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 152,463 | |
| | 100,000 | | | Series 2006-C2-AM | | | 5.78% | # | | | 08/12/2043 | | | | 105,536 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 300,000 | | | Series 2006-1-AJ | | | 5.75% | # | | | 02/12/2039 | | | | 307,630 | |
| | 750,000 | | | Series 2006-4-AM | | | 5.20% | | | | 12/12/2049 | | | | 795,208 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 5,399,433 | | | Series 2013-C12-XA | | | 1.01% | # I/O | | | 10/15/2046 | | | | 266,038 | |
| | 10,019,725 | | | Series 2014-C14-XA | | | 1.30% | # I/O | | | 02/15/2047 | | | | 682,038 | |
| | 500,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 523,545 | |
| | 500,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 499,207 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 310,000 | | | Series 2005-HQ7-AJ | | | 5.36% | # | | | 11/14/2042 | | | | 314,070 | |
| | 94,000 | | | Series 2005-HQ7-AM | | | 5.36% | # | | | 11/14/2042 | | | | 95,778 | |
| | 500,000 | | | Series 2006-HQ8-AJ | | | 5.68% | # | | | 03/12/2044 | | | | 511,655 | |
| | 500,000 | | | Series 2007-1Q16-AMA | | | 6.28% | # | | | 12/12/2049 | | | | 544,573 | |
| | 500,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 522,869 | |
| | 900,000 | | | Series 2007-IQ13-AJ | | | 5.44% | | | | 03/15/2044 | | | | 916,461 | |
| | 750,000 | | | Series 2007-IQ16-AM | | | 6.29% | # | | | 12/12/2049 | | | | 824,476 | |
| | 175,000 | | | Series 2014-CPT-E | | | 3.56% | #^ | | | 07/13/2029 | | | | 177,008 | |
| | 175,000 | | | Series 2014-CPT-F | | | 3.56% | #^ | | | 07/13/2029 | | | | 171,832 | |
| | 800,000 | | | Series 2014-CPT-G | | | 3.56% | #^ | | | 07/13/2029 | | | | 768,704 | |
| | 500,000 | | | Series 2014-MP-D | | | 3.69% | #^ | | | 08/11/2029 | | | | 516,495 | |
| | 625,000 | | | Series 2015-XLF1-D | | | 3.15% | #^ | | | 08/14/2031 | | | | 628,108 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 110,000 | | | Series 2005-C22-AM | | | 5.32% | # | | | 12/15/2044 | | | | 112,038 | |
| | 250,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 256,845 | |
| | 110,000 | | | Series 2006-C28-AM | | | 5.60% | # | | | 10/15/2048 | | | | 116,630 | |
| | 300,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 318,459 | |
| | 500,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 534,375 | |
| | 500,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 537,344 | |
| | 500,000 | | | Series 2007-C33-AJ | | | 5.96% | # | | | 02/15/2051 | | | | 528,194 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 540,000 | | | Series 2014-LC18-B | | | 3.96% | | | | 12/15/2047 | | | | 568,245 | |
| | 14,000,000 | | | Series 2015-C27-XA | | | 1.15% | # I/O | | | 02/15/2048 | | | | 1,038,919 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 3,940,534 | | | Series 2014-C19-XA | | | 1.31% | # I/O | | | 03/15/2047 | | | | 300,440 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $54,883,048) | | | | 55,049,081 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 10.2% |
|
| |
| | | | Banc of America Funding Trust, | |
| $ | 1,750,000 | | | Series 2005-B-3M1 | | | 0.63% | # | | | 04/20/2035 | | | | 1,407,623 | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 1,000,000 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 1,000,300 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 40,000 | | | Series 2004-S3-2A4 | | | 5.50% | | | | 03/25/2034 | | | | 40,227 | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| | 954,463 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 958,739 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 225,138 | | | Series 2004-33-1A1 | | | 2.75% | # | | | 12/25/2034 | | | | 223,973 | |
| | 1,437,288 | | | Series 2005-23CB-A15 | | | 5.50% | | | | 07/25/2035 | | | | 1,399,743 | |
| | 4,337,041 | | | Series 2006-J6-A5 | | | 6.00% | | | | 09/25/2036 | | | | 3,986,057 | |
| | 930,112 | | | Series 2007-15CB-A7 | | | 6.00% | | | | 07/25/2037 | | | | 877,764 | |
| |
| | | | Countrywide Home Loans, | |
| | 2,007,936 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 2,004,667 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 34,845 | | | Series 2004-8-6A1 | | | 4.50% | | | | 12/25/2019 | | | | 35,454 | |
| | 210,000 | | | Series 2005-11-8A5 | | | 6.00% | | | | 12/25/2035 | | | | 209,356 | |
| | 2,176,645 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 1,920,373 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,000,000 | | | Series 2011-12R-3A5 | | | 2.26% | #^ | | | 07/27/2036 | | | | 924,399 | |
| | 1,000,000 | | | Series 2011-5R-6A9 | | | 5.49% | #^ | | | 11/27/2037 | | | | 901,580 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 1,793,622 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 1,502,452 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 917,572 | | | Series 2014-RS1-1A2 | | | 10.16% | #^ | | | 07/27/2037 | | | | 746,880 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 200,471 | | | Series 2005-J1-A6 | | | 6.00% | | | | 12/25/2035 | | | | 197,379 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 63,962 | | | Series 2004-2F-14A1 | | | 5.50% | | | | 09/25/2019 | | | | 65,220 | |
| | 1,335,727 | | | Series 2006-2F-3A4 | | | 6.00% | | | | 02/25/2036 | | | | 1,131,376 | |
| |
| | | | Home Equity Mortgage Loan Asset-Backed Trust, | |
| | 173,711 | | | Series 2006-D-2A2 | | | 0.28% | # | | | 11/25/2036 | | | | 169,892 | |
| |
| | | | Home Equity Mortgage Trust, | |
| | 373,472 | | | Series 2003-6-M2 | | | 2.37% | # | | | 03/25/2034 | | | | 360,853 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 459,632 | | | Series 2006-2-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 321,351 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 1,182,192 | | | Series 2006-5-1A1C | | | 0.44% | # | | | 02/25/2037 | | | | 919,973 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 611,751 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 506,605 | |
| |
| | | | Lehman XS Trust, | |
| | 55,749 | | | Series 2005-6-3A2B | | | 5.42% | # | | | 11/25/2035 | | | | 56,737 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 482,580 | | | Series 2006-2-2A1 | | | 2.56% | # | | | 04/25/2036 | | | | 453,654 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 783,079 | | | Series 2007-F1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 627,531 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 3,024,985 | | | Series 2006-AF1-AF2C | | | 6.25% | | | | 08/25/2036 | | | | 2,459,367 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 734,681 | | | Series 2006-2-7A1 | | | 5.56% | # | | | 02/25/2036 | | | | 712,374 | |
| |
| | | | NovaStar Mortgage Funding Trust, | |
| | 47,326 | | | Series 2005-4-A2C | | | 0.41% | # | | | 01/25/2036 | | | | 47,360 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 2,096,234 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 1,718,266 | |
| | 2,746,839 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 2,406,415 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 798,090 | | | Series 2005-EFC7-AI3 | | | 0.42% | # | | | 12/25/2035 | | | | 747,079 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 1,315,796 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 1,102,076 | |
| | | | | | |
| 68 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| $ | 1,250,000 | | | Series 2013-1A-B2 | | | 6.00% | #^ | | | 06/25/2058 | | | | 1,319,283 | |
| | 1,250,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 1,281,289 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 278,055 | | | Series 2006-5-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 231,374 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 3,861,812 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 3,763,122 | |
| |
| | | | Wells Fargo Mortgage Backed Securities, | |
| | 50,900 | | | Series 2005-9-2A2 | | | 5.25% | | | | 10/25/2035 | | | | 51,791 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $38,806,876) | | | | 38,789,954 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 15.4% | |
| | 620,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 661,850 | |
| | 622,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 646,880 | |
| | 600,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 646,500 | |
| | 635,000 | | | American Express Credit Corporation | | | 1.13% | | | | 06/05/2017 | | | | 634,971 | |
| | 450,000 | | | Amgen, Inc. | | | 2.13% | | | | 05/15/2017 | | | | 458,430 | |
| | 626,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 1.38% | | | | 07/15/2017 | | | | 630,108 | |
| | 135,000 | | | Argos Merger Sub, Inc. | | | 7.13% | ^ | | | 03/15/2023 | | | | 140,231 | |
| | 135,000 | | | Asbury Automotive Group, Inc. | | | 6.00% | | | | 12/15/2024 | | | | 140,737 | |
| | 360,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 367,200 | |
| | 475,000 | | | AT&T, Inc. | | | 1.70% | | | | 06/01/2017 | | | | 476,781 | |
| | 354,000 | | | Audatex North America, Inc. | | | 6.00% | ^ | | | 06/15/2021 | | | | 376,125 | |
| | 360,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 372,150 | |
| | 572,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 576,621 | |
| | 648,000 | | | BB&T Corporation | | | 2.15% | | | | 03/22/2017 | | | | 660,005 | |
| | 300,000 | | | Berkshire Hathaway Finance Corporation | | | 0.95% | | | | 08/15/2016 | | | | 301,410 | |
| | 300,000 | | | Berkshire Hathaway Finance Corporation | | | 1.60% | | | | 05/15/2017 | | | | 304,615 | |
| | 455,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 468,081 | |
| | 560,000 | | | Biomet, Inc. | | | 6.50% | | | | 08/01/2020 | | | | 595,000 | |
| | 275,000 | | | Boeing Company | | | 3.75% | | | | 11/20/2016 | | | | 288,475 | |
| | 625,000 | | | Caterpillar Financial Services Corporation | | | 1.00% | | | | 03/03/2017 | | | | 627,457 | |
| | 565,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 579,831 | |
| | 70,000 | | | CCOH Safari LLC | | | 5.50% | | | | 12/01/2022 | | | | 71,750 | |
| | 475,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 511,670 | |
| | 605,000 | | | Cequel Communications LLC | | | 6.38% | ^ | | | 09/15/2020 | | | | 640,544 | |
| | 535,000 | | | Chevron Corporation | | | 1.37% | | | | 03/02/2018 | | | | 537,754 | |
| | 85,000 | | | Cinemark USA, Inc. | | | 7.38% | | | | 06/15/2021 | | | | 91,587 | |
| | 620,000 | | | Citigroup, Inc. | | | 1.35% | | | | 03/10/2017 | | | | 619,152 | |
| | 560,000 | | | Comcast Corporation | | | 6.50% | | | | 01/15/2017 | | | | 614,336 | |
| | 665,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 667,494 | |
| | 470,000 | | | ConocoPhillips Company | | | 1.05% | | | | 12/15/2017 | | | | 468,484 | |
| | 545,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 608,037 | |
| | 170,000 | | | Daimler Finance North America LLC | | | 1.38% | ^ | | | 08/01/2017 | | | | 170,146 | |
| | 450,000 | | | Daimler Finance North America LLC | | | 1.65% | ^ | | | 03/02/2018 | | | | 452,625 | |
| | 170,000 | | | Dana Holding Corporation | | | 5.50% | | | | 12/15/2024 | | | | 175,950 | |
| | 600,000 | | | DIRECTV Holdings LLC | | | 2.40% | | | | 03/15/2017 | | | | 610,964 | |
| | 250,000 | | | Dow Chemical Company | | | 2.50% | | | | 02/15/2016 | | | | 253,808 | |
| | 211,000 | | | Dow Chemical Company | | | 5.70% | | | | 05/15/2018 | | | | 237,406 | |
| | 610,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 616,834 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 620,000 | | | eBay, Inc. | | | 1.35% | | | | 07/15/2017 | | | | 619,493 | |
| | 301,000 | | | Ecolab, Inc. | | | 3.00% | | | | 12/08/2016 | | | | 310,438 | |
| | 350,000 | | | Ecolab, Inc. | | | 1.55% | | | | 01/12/2018 | | | | 350,147 | |
| | 200,000 | | | Energy Gulf Coast, Inc. | | | 9.25% | | | | 12/15/2017 | | | | 136,000 | |
| | 145,000 | | | Energy Gulf Coast, Inc. | | | 11.00% | ^ | | | 03/15/2020 | | | | 138,294 | |
| | 55,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 20,075 | �� |
| | 100,000 | | | Energy Partners Ltd. | | | 8.25% | | | | 02/15/2018 | | | | 74,500 | |
| | 545,000 | | | ERP Operating LP | | | 5.75% | | | | 06/15/2017 | | | | 597,279 | |
| | 625,000 | | | Express Scripts Holding Company | | | 2.65% | | | | 02/15/2017 | | | | 640,414 | |
| | 115,000 | | | Family Tree Escrow LLC | | | 5.75% | ^ | | | 03/01/2023 | | | | 121,325 | |
| | 225,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 253,687 | |
| | 470,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 480,575 | |
| | 670,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 635,662 | |
| | 600,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 621,971 | |
| | 425,000 | | | General Mills, Inc. | | | 5.70% | | | | 02/15/2017 | | | | 460,775 | |
| | 252,000 | | | Gilead Sciences, Inc. | | | 3.05% | | | | 12/01/2016 | | | | 260,918 | |
| | 315,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 10/01/2016 | | | | 336,183 | |
| | 250,000 | | | Goldman Sachs Group, Inc. | | | 2.90% | | | | 07/19/2018 | | | | 258,456 | |
| | 605,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 668,525 | |
| | 295,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 311,962 | |
| | 370,000 | | | HCA, Inc. | | | 4.25% | | | | 10/15/2019 | | | | 380,637 | |
| | 180,000 | | | HCA, Inc. | | | 5.38% | | | | 02/01/2025 | | | | 189,337 | |
| | 605,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 650,375 | |
| | 400,000 | | | Hewlett-Packard Company | | | 3.30% | | | | 12/09/2016 | | | | 413,735 | |
| | 200,000 | | | Hewlett-Packard Company | | | 2.60% | | | | 09/15/2017 | | | | 205,148 | |
| | 380,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 349,600 | |
| | 635,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 648,494 | |
| | 350,000 | | | Infor, Inc. | | | 6.50% | ^ | | | 05/15/2022 | | | | 359,625 | |
| | 620,000 | | | John Deere Capital Corporation | | | 1.40% | | | | 03/15/2017 | | | | 626,468 | |
| | 315,000 | | | JP Morgan Chase & Company | | | 3.15% | | | | 07/05/2016 | | | | 323,204 | |
| | 300,000 | | | JP Morgan Chase & Company | | | 1.35% | | | | 02/15/2017 | | | | 301,143 | |
| | 445,000 | | | Kellogg Company | | | 1.75% | | | | 05/17/2017 | | | | 449,676 | |
| | 363,000 | | | Kinder Morgan Energy Partners LP | | | 6.00% | | | | 02/01/2017 | | | | 390,190 | |
| | 590,000 | | | Kindred Escrow Corporation | | | 8.00% | ^ | | | 01/15/2020 | | | | 636,094 | |
| | 627,000 | | | Kraft Foods, Inc. | | | 4.13% | | | | 02/09/2016 | | | | 643,992 | |
| | 600,000 | | | Kroger Company | | | 2.20% | | | | 01/15/2017 | | | | 610,396 | |
| | 200,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 204,402 | |
| | 420,000 | | | Level 3 Communications, Inc. | | | 5.75% | | | | 12/01/2022 | | | | 432,180 | |
| | 65,000 | | | Level 3 Financing, Inc. | | | 5.38% | | | | 08/15/2022 | | | | 67,214 | |
| | 395,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 415,737 | |
| | 405,000 | | | Louisiana-Pacific Corporation | | | 7.50% | | | | 06/01/2020 | | | | 434,363 | |
| | 100,000 | | | Manitowoc Company, Inc. | | | 8.50% | | | | 11/01/2020 | | | | 107,500 | |
| | 45,000 | | | Masonite International Corporation | | | 5.63% | ^ | | | 03/15/2023 | | | | 46,350 | |
| | 250,000 | | | McKesson Corporation | | | 1.29% | | | | 03/10/2017 | | | | 250,335 | |
| | 710,000 | | | Memorial Production Partners LP | | | 6.88% | ^ | | | 08/01/2022 | | | | 631,900 | |
| | 625,000 | | | Metropolitan Life Global Funding | | | 1.50% | ^ | | | 01/10/2018 | | | | 627,967 | |
| | 595,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 638,509 | |
| | 360,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 374,400 | |
| | 610,000 | | | Morgan Stanley | | | 1.88% | | | | 01/05/2018 | | | | 614,496 | |
| | 380,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 380,199 | |
| | 340,000 | | | Mylan, Inc. | | | 1.80% | | | | 06/24/2016 | | | | 342,797 | |
| | 300,000 | | | Mylan, Inc. | | | 2.60% | | | | 06/24/2018 | | | | 306,527 | |
| | 300,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 1.10% | | | | 01/27/2017 | | | | 301,332 | |
| | 65,000 | | | NCL Corporation Ltd. | | | 5.00% | | | | 02/15/2018 | | | | 66,625 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 69 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 395,000 | | | NCL Corporation Ltd. | | | 5.25% | ^ | | | 11/15/2019 | | | | 406,850 | |
| | 175,000 | | | ONEOK Partners LP | | | 3.25% | | | | 02/01/2016 | | | | 177,357 | |
| | 615,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 630,865 | |
| | 600,000 | | | Phillips 66 | | | 2.95% | | | | 05/01/2017 | | | | 620,780 | |
| | 145,000 | | | Pilgrim’s Pride Corporation | | | 5.75% | ^ | | | 03/15/2025 | | | | 148,625 | |
| | 450,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 460,125 | |
| | 135,000 | | | Platform Specialty Products Corporation | | | 6.50% | ^ | | | 02/01/2022 | | | | 141,750 | |
| | 615,000 | | | PNC Funding Corporation | | | 2.70% | | | | 09/19/2016 | | | | 629,762 | |
| | 235,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 243,813 | |
| | 240,000 | | | Procter & Gamble Company | | | 0.75% | | | | 11/04/2016 | | | | 240,409 | |
| | 375,000 | | | Procter & Gamble Company | | | 1.60% | | | | 11/15/2018 | | | | 380,191 | |
| | 140,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 143,675 | |
| | 620,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 643,250 | |
| | 425,000 | | | Reynolds Group Issuer LLC | | | 8.25% | | | | 02/15/2021 | | | | 456,875 | |
| | 150,000 | | | Rite Aid Corporation | | | 6.13% | ^ | | | 04/01/2023 | | | | 154,500 | |
| | 327,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 349,481 | |
| | 135,000 | | | Sanchez Energy Corporation | | | 6.13% | | | | 01/15/2023 | | | | 122,006 | |
| | 455,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 482,073 | |
| | 5,000 | | | SBA Telecommunications, Inc. | | | 5.75% | | | | 07/15/2020 | | | | 5,281 | |
| | 615,000 | | | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 631,913 | |
| | 370,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 367,919 | |
| | 625,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 656,250 | |
| | 550,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 549,313 | |
| | 250,000 | | | Simon Property Group LP | | | 2.15% | | | | 09/15/2017 | | | | 255,277 | |
| | 290,000 | | | Southern Company | | | 1.95% | | | | 09/01/2016 | | | | 294,563 | |
| | 200,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 206,285 | |
| | 320,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 330,400 | |
| | 230,000 | | | Southwest Airlines Company | | | 5.13% | | | | 03/01/2017 | | | | 246,000 | |
| | 225,000 | | | Spectrum Brands, Inc. | | | 6.75% | | | | 03/15/2020 | | | | 237,938 | |
| | 600,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 642,000 | |
| | 620,000 | | | Steel Dynamics, Inc. | | | 5.13% | ^ | | | 10/01/2021 | | | | 626,975 | |
| | 335,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 345,050 | |
| | 465,000 | | | Tesoro Logistics LP | | | 6.25% | ^ | | | 10/15/2022 | | | | 483,600 | |
| | 625,000 | | | Thomson Reuters Corporation | | | 1.30% | | | | 02/23/2017 | | | | 625,910 | |
| | 170,000 | | | Toyota Motor Credit Corporation | | | 1.75% | | | | 05/22/2017 | | | | 172,712 | |
| | 450,000 | | | Toyota Motor Credit Corporation | | | 1.45% | | | | 01/12/2018 | | | | 452,999 | |
| | 655,000 | | | Transdigm, Inc. | | | 6.00% | | | | 07/15/2022 | | | | 657,456 | |
| | 285,000 | | | Triangle USA Petroleum Corporation | | | 6.75% | ^ | | | 07/15/2022 | | | | 231,563 | |
| | 690,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 626,175 | |
| | 585,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 642,915 | |
| | 500,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 558,750 | |
| | 605,000 | | | Walgreens Boots Alliance, Inc. | | | 1.75% | | | | 11/17/2017 | | | | 610,802 | |
| | 625,000 | | | Wal-Mart Stores, Inc. | | | 1.13% | | | | 04/11/2018 | | | | 626,033 | |
| | 325,000 | | | Waste Management, Inc. | | | 2.60% | | | | 09/01/2016 | | | | 331,026 | |
| | 310,000 | | | WCI Communities, Inc. | | | 6.88% | | | | 08/15/2021 | | | | 319,300 | |
| | 250,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 251,998 | |
| | 375,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 380,703 | |
| | 600,000 | | | Wells Fargo & Company | | | 2.10% | | | | 05/08/2017 | | | | 613,169 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 500,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 515,065 | |
| | 580,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 581,563 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $58,185,197) | | | | 58,528,915 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT/AGENCY MORTGAGE BACKED OBLIGATIONS 3.0% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 2,993,764 | | | Pool G08626 | | | 3.00% | | | | 02/01/2045 | | | | 3,058,657 | |
| | 3,000,000 | | | Pool G08631 | | | 3.00% | | | | 03/01/2045 | | | | 3,065,028 | |
| | 1,255,573 | | | Series 3417-SM | | | 6.11% | # I/F I/O | | | 02/15/2038 | | | | 236,935 | |
| |
| | | | Federal National Mortgage Assocation Pass-Thru, | |
| | 4,000,000 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 4,095,234 | |
| | 965,036 | | | Pool MA1200 | | | 3.00% | | | | 10/01/2032 | | | | 1,000,822 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $11,312,059) | | | | 11,456,676 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 6.9% | |
| | 3,520,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/30/2016 | | | | 3,550,251 | |
| | 4,070,000 | | | United States Treasury Notes | | | 1.00% | | | | 10/31/2016 | | | | 4,105,612 | |
| | 4,050,000 | | | United States Treasury Notes | | | 0.88% | | | | 11/30/2016 | | | | 4,076,576 | |
| | 3,800,000 | | | United States Treasury Notes | | | 3.13% | | | | 01/31/2017 | | | | 3,980,204 | |
| | 3,680,000 | | | United States Treasury Notes | | | 3.25% | | | | 03/31/2017 | | | | 3,875,213 | |
| | 3,060,000 | | | United States Treasury Notes | | | 0.88% | | | | 05/15/2017 | | | | 3,077,451 | |
| | 3,430,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/15/2017 | | | | 3,453,314 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $26,070,158) | | | | 26,118,621 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 10.8% | |
| | 13,734,789 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 13,734,789 | |
| | 13,734,789 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 13,734,789 | |
| | 13,734,790 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 13,734,790 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $41,204,368) | | | | 41,204,368 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 101.3%
(Cost $384,896,421) | | | | 385,177,423 | |
| | | | Liabilities in Excess of Other Assets (1.3)% | | | | (4,763,637 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 380,413,786 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 70 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | | | | |
Collateralized Loan Obligations | | | 18.2% | |
Foreign Corporate Bonds | | | 17.9% | |
US Corporate Bonds | | | 15.4% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 14.5% | |
Short Term Investments | | | 10.8% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.2% | |
US Government Bonds and Notes | | | 6.9% | |
Bank Loans | | | 4.3% | |
US Government / Agency Mortgage Backed Obligations | | | 3.0% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.1% | |
Other Assets and Liabilities | | | (1.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | | | | |
United States | | | 82.8% | |
Mexico | | | 2.6% | |
Chile | | | 2.4% | |
Colombia | | | 2.3% | |
Peru | | | 2.2% | |
Brazil | | | 1.2% | |
Panama | | | 0.9% | |
Singapore | | | 0.8% | |
Costa Rica | | | 0.7% | |
Guatemala | | | 0.7% | |
Canada | | | 0.5% | |
Paraguay | | | 0.5% | |
Israel | | | 0.5% | |
Australia | | | 0.5% | |
China | | | 0.4% | |
Luxembourg | | | 0.4% | |
Indonesia | | | 0.3% | |
Dominican Republic | | | 0.3% | |
United Kingdom | | | 0.3% | |
Barbados | | | 0.2% | |
Jamaica | | | 0.2% | |
India | | | 0.2% | |
France | | | 0.2% | |
Supranational | | | 0.1% | |
South Korea | | | 0.1% | |
Qatar | | | 0.0% | ~ |
Other Assets and Liabilities | | | (1.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Collateralized Loan Obligations | | | 18.2% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 14.5% | |
Short Term Investments | | | 10.8% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.2% | |
Banking | | | 8.0% | |
US Government Bonds and Notes | | | 6.9% | |
US Government / Agency Mortgage Backed Obligations | | | 3.0% | |
Telecommunications | | | 2.7% | |
Media | | | 2.1% | |
Healthcare | | | 2.1% | |
Oil & Gas | | | 2.1% | |
Building and Development | | | 1.7% | |
Transportation | | | 1.7% | |
Utilities | | | 1.5% | |
Automotive | | | 1.3% | |
Finance | | | 1.2% | |
Chemicals/Plastics | | | 1.0% | |
Business Equipment and Services | | | 1.0% | |
Retailers (other than Food/Drug) | | | 0.9% | |
Consumer Products | | | 0.9% | |
Food/Drug Retailers | | | 0.9% | |
Mining | | | 0.8% | |
Hotels/Motels/Inns and Casinos | | | 0.8% | |
Technology | | | 0.7% | |
Food Products | | | 0.6% | |
Leisure | | | 0.6% | |
Financial Intermediaries | | | 0.6% | |
Real Estate | | | 0.5% | |
Insurance | | | 0.5% | |
Beverage and Tobacco | | | 0.4% | |
Pharmaceuticals | | | 0.4% | |
Construction | | | 0.4% | |
Electronics/Electric | | | 0.3% | |
Industrial Equipment | | | 0.2% | |
Containers and Glass Products | | | 0.2% | |
Energy | | | 0.2% | |
Air Transport | | | 0.2% | |
Conglomerates | | | 0.2% | |
Industrial | | | 0.2% | |
Cosmetics/Toiletries | | | 0.2% | |
Pulp & Paper | | | 0.2% | |
Aerospace & Defense | | | 0.1% | |
Machinery and Tools | | | 0.1% | |
Environmental Control | | | 0.1% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.1% | |
Other Assets and Liabilities | | | (1.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $108,430,969 or 28.5% of net assets. |
| W | Issuer is in default of interest payments |
| I/O | Interest only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| ¨ | Seven-day yield as of March 31, 2015 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 71 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | |
| 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. | | | 10,900,000 | | | | 04/02/2015 | | | $ | 12,223 | |
Shiller Barclays CAPE® US Sector ER USD Index | | Barclays Capital, Inc. | | | 940,000 | | | | 04/09/2015 | | | | — | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 5,507,000 | | | | 04/30/2015 | | | | 779,438 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 6,000,000 | | | | 05/28/2015 | | | | 743,856 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 11,500,000 | | | | 06/25/2015 | | | | 1,009,482 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 19,000,000 | | | | 07/30/2015 | | | | 1,210,630 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 12,000,000 | | | | 08/27/2015 | | | | 831,788 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 40,000,000 | | | | 09/24/2015 | | | | 2,252,085 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 17,000,000 | | | | 10/29/2015 | | | | 1,398,383 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 11,000,000 | | | | 11/19/2015 | | | | 434,995 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 20,000,000 | | | | 12/17/2015 | | | | 307,265 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 65,000,000 | | | | 01/28/2016 | | | | 944,863 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 60,000,000 | | | | 02/25/2016 | | | | 642,317 | |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 60,000,000 | | | | 03/31/2016 | | | | (93,420 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index | | Barclays Capital, Inc. | | | 30,000,000 | | | | 04/28/2016 | | | | 160,388 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 10,634,293 | |
| | | | | | | | | | | | | | |
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 the DoubleLine Shiller Enhanced CAPE®’s investments in affiliated mutual funds for the year ended March 31, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2014 | | | Gross
Purchases | | | Gross Sales | | | Shares
Held at
March 31,
2015 | | | Value at
March 31,
2015 | | | Dividend
Income Earned
in the Year
Ended March 31,
2015 | | | Net Realized
Gain (Loss)
in the Year
Ended March 31,
2015 | |
DoubleLine Core Fixed Income Fund | | $ | 5,292,413 | | | $ | 35,250,000 | | | $ | 41,113,644 | | | | — | | | $ | — | | | $ | 158,873 | | | $ | 80,698 | |
DoubleLine Floating Rate Fund | | | 3,831,323 | | | | 11,635,000 | | | | 15,490,727 | | | | — | | | | — | | | | 219,499 | | | | 28,726 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9,123,736 | | | $ | 46,885,000 | | | $ | 56,604,371 | | | | — | | | $ | — | | | $ | 378,372 | | | $ | 109,424 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 72 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 1.2% | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| $ | 1,000,000 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 1,008,800 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $1,000,000) | | | | 1,008,800 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 19.9% | |
| |
| | | | Adams Mill Ltd., | |
| | 250,000 | | | Series 2014-1A-D1 | | | 3.75% | #^ | | | 07/15/2026 | | | | 236,344 | |
| | 250,000 | | | Series 2014-1A-E1 | | | 5.25% | #^ | | | 07/15/2026 | | | | 220,636 | |
| |
| | | | Apidos Ltd., | |
| | 500,000 | | | Series 2014-19A-D | | | 3.96% | #^ | | | 10/17/2026 | | | | 487,565 | |
| |
| | | | ARES Ltd., | |
| | 151,087 | | | Series 2007-12A-A | | | 0.89% | #^ | | | 11/25/2020 | | | | 150,463 | |
| |
| | | | Avery Point Ltd., | |
| | 250,000 | | | Series 2013-2A-C | | | 3.01% | #^ | | | 07/17/2025 | | | | 244,989 | |
| | 500,000 | | | Series 2013-2A-D | | | 3.71% | #^ | | | 07/17/2025 | | | | 480,929 | |
| |
| | | | Babson Ltd., | |
| | 500,000 | | | Series 2014-3A-D2 | | | 4.69% | #^ | | | 01/15/2026 | | | | 504,550 | |
| | 250,000 | | | Series 2014-3A-E2 | | | 6.79% | #^ | | | 01/15/2026 | | | | 250,618 | |
| |
| | | | Betony Ltd., | |
| | 500,000 | | | Series 2015-1A-D | | | 3.86% | #^ | | | 04/15/2027 | | | | 471,963 | |
| |
| | | | Catamaran Ltd., | |
| | 250,000 | | | Series 2015-1A-C1 | | | 3.38% | #^ | | | 04/22/2027 | | | | 247,600 | |
| |
| | | | Cent Ltd., | |
| | 250,000 | | | Series 2014-22A-B | | | 3.43% | #^ | | | 11/07/2026 | | | | 251,087 | |
| | 500,000 | | | Series 2014-22A-C | | | 3.98% | #^ | | | 11/07/2026 | | | | 487,224 | |
| |
| | | | ColumbusNova Ltd., | |
| | 250,000 | | | Series 2006-1A-D | | | 1.81% | #^ | | | 07/18/2018 | | | | 247,051 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 500,000 | | | Series 2006-11A-C1 | | | 1.85% | #^ | | | 04/12/2020 | | | | 487,691 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 250,000 | | | Series 2012-25A-D | | | 4.23% | #^ | | | 01/15/2025 | | | | 249,859 | |
| |
| | | | Eaton Vance Ltd., | |
| | 500,000 | | | Series 2006-8A-B | | | 0.91% | #^ | | | 08/15/2022 | | | | 481,398 | |
| |
| | | | Flatiron Ltd., | |
| | 500,000 | | | Series 2013-1A-B | | | 3.01% | #^ | | | 01/17/2026 | | | | 491,728 | |
| |
| | | | Galaxy Ltd., | |
| | 250,000 | | | Series 2014-18A-D1 | | | 3.96% | #^ | | | 10/15/2026 | | | | 243,636 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 500,000 | | | Series 2012-6A-D | | | 4.46% | #^ | | | 04/17/2022 | | | | 501,687 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 250,000 | | | Series 2013-2A-C | | | 2.95% | #^ | | | 08/01/2025 | | | | 238,852 | |
| | 250,000 | | | Series 2014-2A-C | | | 3.73% | #^ | | | 04/28/2025 | | | | 223,704 | |
| | 250,000 | | | Series 2014-2A-D | | | 5.26% | #^ | | | 04/28/2025 | | | | 218,750 | |
| |
| | | | ING Ltd., | |
| | 500,000 | | | Series 2013-1A-D | | | 5.25% | #^ | | | 04/15/2024 | | | | 466,543 | |
| |
| | | | LCM LP, | |
| | 500,000 | | | Series 10AR-BR | | | 2.15% | #^ | | | 04/15/2022 | | | | 500,620 | |
| | 100,000 | | | Series 12A-C | | | 3.51% | #^ | | | 10/19/2022 | | | | 100,255 | |
| | 500,000 | | | Series 12A-D | | | 4.76% | #^ | | | 10/19/2022 | | | | 501,282 | |
| | 500,000 | | | Series 14A-D | | | 3.75% | #^ | | | 07/15/2025 | | | | 486,163 | |
| | 250,000 | | | Series 16A-D | | | 3.85% | #^ | | | 07/15/2026 | | | | 242,162 | |
| | 500,000 | | | Series 6A-C | | | 1.06% | #^ | | | 05/28/2019 | | | | 486,242 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 250,000 | | | Series 2014-13A-D | | | 3.61% | #^ | | | 01/19/2025 | | | | 239,252 | |
| | 250,000 | | | Series 2014-13X-E | | | 5.26% | # | | | 01/19/2025 | | | | 230,736 | |
| | 250,000 | | | Series 2014-14A-D | | | 3.86% | #^ | | | 07/20/2026 | | | | 242,532 | |
| | 500,000 | | | Series 2015-16A-B | | | 3.30% | #^ | | | 04/20/2026 | | | | 498,339 | |
| |
| | | | Magnetite Ltd., | |
| | 250,000 | | | Series 2014-9A-B | | | 3.26% | #^ | | | 07/25/2026 | | | | 249,996 | |
| | 500,000 | | | Series 2015-12A-B | | | 2.52% | #^ | | | 04/15/2027 | | | | 500,627 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Octagon Investment Partners Ltd., | |
| $ | 500,000 | | | Series 2014-1A-C | | | 3.90% | #^ | | | 11/14/2026 | | | | 484,449 | |
| | 500,000 | | | Series 2014-1A-C2 | | | 3.79% | #^ | | | 11/22/2025 | | | | 505,710 | |
| | 250,000 | | | Series 2014-1A-D | | | 6.85% | #^ | | | 11/14/2026 | | | | 249,488 | |
| | 500,000 | | | Series 2014-1A-D2 | | | 4.87% | #^ | | | 11/22/2025 | | | | 502,220 | |
| |
| | | | OZLM Funding Ltd., | |
| | 500,000 | | | Series 2013-5A-A1 | | | 1.73% | #^ | | | 01/17/2026 | | | | 499,681 | |
| |
| | | | Pinnacle Park Ltd., | |
| | 250,000 | | | Series 2014-1A-C | | | 3.35% | #^ | | | 04/15/2026 | | | | 250,934 | |
| |
| | | | Race Point Ltd., | |
| | 250,000 | | | Series 2012-6RA-CR | | | 3.34% | #^ | | | 05/24/2023 | | | | 248,592 | |
| | 250,000 | | | Series 2012-6RA-DR | | | 4.34% | #^ | | | 05/24/2023 | | | | 244,987 | |
| |
| | | | Symphony Ltd., | |
| | 500,000 | | | Series 2013-11A-C | | | 3.41% | #^ | | | 01/17/2025 | | | | 503,221 | |
| |
| | | | Thacher Park Ltd., | |
| | 500,000 | | | Series 2014-1A-D1 | | | 3.78% | #^ | | | 10/20/2026 | | | | 480,752 | |
| |
| | | | Washington Mill Ltd., | |
| | 250,000 | | | Series 2014-1A-C | | | 3.26% | #^ | | | 04/20/2026 | | | | 244,506 | |
| |
| | | | WG Horizons, | |
| | 500,000 | | | Series 2006-1A-C | | | 1.96% | #^ | | | 05/24/2019 | | | | 490,674 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $16,872,988) | | | | 16,868,287 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 19.2% | |
| | 200,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 226,000 | |
| | 200,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 207,134 | |
| | 200,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 193,500 | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 209,000 | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 209,000 | |
| | 200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 179,000 | |
| | 200,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 204,740 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 201,000 | |
| | 150,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 161,475 | |
| | 200,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 208,250 | |
| | 200,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 204,900 | |
| | 300,000 | | | Banco de Credito del Peru | | | 6.13% | # | | | 04/24/2027 | | | | 327,720 | |
| | 200,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 173,366 | |
| | 200,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 210,946 | |
| | 150,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 162,750 | |
| | 200,000 | | | Banco Nacional de Costa Rica | | | 6.25% | | | | 11/01/2023 | | | | 204,500 | |
| | 200,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 212,760 | |
| | 200,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 211,940 | |
| | 200,000 | | | Bancolombia S.A. | | | 5.13% | | | | 09/11/2022 | | | | 202,580 | |
| | 200,000 | | | BBVA Banco Continental S.A. | | | 5.25% | #^ | | | 09/22/2029 | | | | 203,440 | |
| | 100,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 99,000 | |
| | 200,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 213,500 | |
| | 400,000 | | | Cemex S.A.B. de C.V. | | | 5.70% | ^ | | | 01/11/2025 | | | | 395,600 | |
| | 200,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 198,526 | |
| | 200,000 | | | Cencosud S.A. | | | 5.15% | ^ | | | 02/12/2025 | | | | 197,945 | |
| | 200,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 211,250 | |
| | 200,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 166,000 | |
| | 200,000 | | | Columbus International, Inc. | | | 7.38% | | | | 03/30/2021 | | | | 211,000 | |
| | 400,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 427,200 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 73 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 200,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 198,250 | |
| | 250,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 248,856 | |
| | 100,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 89,800 | |
| | 100,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 105,339 | |
| | 100,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 100,949 | |
| | 200,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 201,300 | |
| | 200,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 183,440 | |
| | 170,000 | | | Ecopetrol S.A. | | | 7.38% | | | | 09/18/2043 | | | | 185,512 | |
| | 200,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 188,500 | |
| | 403,701 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 416,822 | |
| | 198,547 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 208,971 | |
| | 200,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 5.45% | | | | 03/15/2043 | | | | 179,640 | |
| | 200,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 208,480 | |
| | 200,000 | | | GNL Quintero S.A. | | | 4.63% | ^ | | | 07/31/2029 | | | | 208,289 | |
| | 200,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 145,500 | |
| | 200,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 198,690 | |
| | 200,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 216,200 | |
| | 100,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 104,250 | |
| | 400,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 411,500 | |
| | 200,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 194,460 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 208,500 | |
| | 200,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 211,250 | |
| | 205,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 194,494 | |
| | 200,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 208,000 | |
| | 450,000 | | | JBS Investments GmbH | | | 7.25% | | | | 04/03/2024 | | | | 462,937 | |
| | 200,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 157,000 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 170,500 | |
| | 200,000 | | | Mexichem S.A.B. de C.V. | | | 5.88% | ^ | | | 09/17/2044 | | | | 198,000 | |
| | 200,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 212,250 | |
| | 200,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 191,000 | |
| | 90,176 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 106,241 | |
| | 200,000 | | | OAS Financial Ltd. | | | 8.88% | #†W | | | 04/29/2049 | | | | 30,500 | |
| | 200,000 | | | Oleoducto Central S.A. | | | 4.00% | | | | 05/07/2021 | | | | 199,600 | |
| | 200,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 117,500 | |
| | 200,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 118,140 | |
| | 100,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | | | | 01/19/2025 | | | | 59,070 | |
| | 200,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 220,500 | |
| | 250,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 228,505 | |
| | 95,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 97,375 | |
| | 200,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 209,560 | |
| | 300,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 322,830 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 205,500 | |
| | 200,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 201,845 | |
| | 200,000 | | | Tencent Holdings Ltd. | | | 3.80% | ^ | | | 02/11/2025 | | | | 204,800 | |
| | 200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 213,750 | |
| | 200,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 186,820 | |
| | 200,000 | | | Vale Overseas Ltd. | | | 4.63% | | | | 09/15/2020 | | | | 200,400 | |
| | 200,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 182,375 | |
| | 200,000 | | | Vedanta Resources PLC | | | 7.13% | | | | 05/31/2023 | | | | 166,000 | |
| | 400,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 381,200 | |
| | 200,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 208,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds (Cost $16,947,129) | | | | 16,303,212 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 0.2% |
|
| $ | 200,000 | | | Panama Government International Bond | | | 3.75% | | | | 03/16/2025 | | | | 206,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $197,714) | | | | 206,000 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 9.9% | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2006-6-AM | | | 5.39% | | | | 10/10/2045 | | | | 158,784 | |
| | 100,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 104,349 | |
| | 100,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 106,825 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 100,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 103,058 | |
| | 250,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 258,733 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2006-CD2-AM | | | 5.35% | # | | | 01/15/2046 | | | | 103,310 | |
| | 100,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 104,722 | |
| |
| | | | CGBAM Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2014-HD-D | | | 2.17% | #^ | | | 02/15/2031 | | | | 99,569 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 210,000 | | | Series 2007-C6-AMFX | | | 5.70% | #^ | | | 12/10/2049 | | | | 223,718 | |
| | 1,884,285 | | | Series 2014-GC25-XA | | | 1.25% | # I/O | | | 10/10/2047 | | | | 150,938 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 153,665 | |
| | 100,000 | | | Series 2007-C3-AM | | | 5.76% | # | | | 05/15/2046 | | | | 108,061 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 3,228,645 | | | Series 2013-CR10-XA | | | 1.16% | # I/O | | | 08/10/2046 | | | | 167,772 | |
| | 1,341,363 | | | Series 2014-CR17-XA | | | 1.36% | # I/O | | | 05/10/2047 | | | | 97,787 | |
| | 100,000 | | | Series 2014-CR19-C | | | 4.88% | # | | | 08/10/2047 | | | | 107,137 | |
| | 1,490,833 | | | Series 2014-CR19-XA | | | 1.47% | # I/O | | | 08/10/2047 | | | | 117,478 | |
| | 125,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 132,112 | |
| | 150,000 | | | Series 2014-KYO-E | | | 2.53% | #^ | | | 06/11/2027 | | | | 149,998 | |
| | 100,000 | | | Series 2014-KYO-F | | | 3.68% | #^ | | | 06/11/2027 | | | | 99,872 | |
| | 2,500,000 | | | Series 2015-DC1-XA | | | 1.34% | # I/O | | | 02/10/2048 | | | | 202,434 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 183,826 | | | Series 2007-MF1-A | | | 6.28% | #^ | | | 11/12/2043 | | | | 193,476 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 150,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 158,162 | |
| | 100,000 | | | Series 2007-C2-AM | | | 5.57% | # | | | 01/15/2049 | | | | 107,312 | |
| | 100,000 | | | Series 2007-C4-A1AM | | | 5.90% | # | | | 09/15/2039 | | | | 108,390 | |
| | 2,018,458 | | | Series 2014-USA-X1 | | | 0.55% | # ^ I/O | | | 09/15/2037 | | | | 97,962 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 2,750,000 | | | Series 2015-C1-XA | | | 1.12% | # I/O | | | 04/15/2050 | | | | 192,775 | |
| |
| | | | Grace Mortgage Trust, | |
| | 100,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 105,867 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 100,000 | | | Series 2006-GG7-AJ | | | 6.01% | # | | | 07/10/2038 | | | | 102,466 | |
| | 150,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 162,563 | |
| | 200,000 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 211,166 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 100,000 | | | Series 2006-GG6-AJ | | | 5.71% | # | | | 04/10/2038 | | | | 102,282 | |
| | 175,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 179,182 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 150,000 | | | Series 2006-LDP8-AJ | | | 5.48% | # | | | 05/15/2045 | | | | 156,893 | |
| | 198,533 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 206,654 | |
| | 150,000 | | | Series 2007-CB20-AM | | | 6.08% | # | | | 02/12/2051 | | | | 164,574 | |
| | 150,000 | | | Series 2007-CIBC18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 159,290 | |
| | 100,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 104,345 | |
| | 150,000 | | | Series 2014-PHH-D | | | 2.57% | #^ | | | 08/15/2027 | | | | 150,655 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 2,223,062 | | | Series 2014-C18-XA | | | 1.15% | # I/O | | | 02/15/2047 | | | | 144,321 | |
| | 1,245,317 | | | Series 2014-C21-XA | | | 1.13% | # I/O | | | 08/15/2047 | | | | 96,622 | |
| | 100,000 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 105,822 | |
| | 150,000 | | | Series 2014-C25-C | | | 4.45% | # | | | 11/15/2047 | | | | 158,558 | |
| | | | | | |
| 74 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| $ | 100,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 104,476 | |
| | 100,000 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 106,892 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 100,000 | | | Series 2005-CIP1-AM | | | 5.11% | # | | | 07/12/2038 | | | | 101,017 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2006-1-AJ | | | 5.75% | # | | | 02/12/2039 | | | | 102,543 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 100,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 104,709 | |
| | 180,000 | | | Series 2015-C21-C | | | 4.16% | # | | | 03/15/2048 | | | | 184,818 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 100,000 | | | Series 2005-HQ7-AJ | | | 5.36% | # | | | 11/14/2042 | | | | 101,313 | |
| | 150,000 | | | Series 2005-IQ10-AJ | | | 5.20% | # | | | 09/15/2042 | | | | 152,086 | |
| | 250,000 | | | Series 2006-HQ8-AJ | | | 5.68% | # | | | 03/12/2044 | | | | 255,828 | |
| | 200,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 209,148 | |
| | 150,000 | | | Series 2007-IQ16-AM | | | 6.29% | # | | | 12/12/2049 | | | | 164,895 | |
| | 150,000 | | | Series 2014-MP-D | | | 3.69% | #^ | | | 08/11/2029 | | | | 154,948 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 102,501 | |
| | 100,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 106,153 | |
| | 150,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 160,312 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 200,000 | | | Series 2015-C27-C | | | 3.89% | | | | 02/15/2048 | | | | 196,626 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 2,552,440 | | | Series 2014-C24-XA | | | 0.99% | # I/O | | | 11/15/2047 | | | | 175,174 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations (Cost $8,392,141) | | | | 8,403,098 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 23.8% |
|
| |
| | | | Banc of America Funding Trust, | |
| | 750,000 | | | Series 2005-B-3M1 | | | 0.63% | # | | | 04/20/2035 | | | | 603,267 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 930,112 | | | Series 2007-15CB-A7 | | | 6.00% | | | | 07/25/2037 | | | | 877,764 | |
| | 1,175,011 | | | Series 2008-1R-2A3 | | | 6.00% | | | | 08/25/2037 | | | | 991,488 | |
| |
| | | | Countrywide Home Loans, | |
| | 917,914 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 916,419 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 623,574 | | | Series 2006-2-A5A | | | 6.08% | # | | | 09/25/2036 | | | | 479,541 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 782,037 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 689,963 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,500,000 | | | Series 2011-12R-3A5 | | | 2.26% | #^ | | | 07/27/2036 | | | | 1,386,599 | |
| | 402,000 | | | Series 2011-5R-6A9 | | | 5.49% | #^ | | | 11/27/2037 | | | | 362,435 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 833,003 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 697,776 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 280,889 | | | Series 2014-RS1-1A2 | | | 10.16% | #^ | | | 07/27/2037 | | | | 228,637 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 1,182,192 | | | Series 2006-5-1A1C | | | 0.44% | # | | | 02/25/2037 | | | | 919,972 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 349,572 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 289,489 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 482,580 | | | Series 2006-2-2A1 | | | 2.56% | # | | | 04/25/2036 | | | | 453,654 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 610,637 | | | Series 2007-F1-2A7 | | | 6.00% | | | | 03/25/2037 | | | | 489,343 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 1,391,864 | | | Series 2006-AF1-AF2C | | | 6.25% | | | | 08/25/2036 | | | | 1,131,611 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 343,607 | | | Series 2005-7-4A1 | | | 5.50% | | | | 11/25/2035 | | | | 312,617 | |
| | 357,368 | | | Series 2006-2-2A4 | | | 5.75% | | | | 02/25/2036 | | | | 340,613 | |
| | 918,351 | | | Series 2006-2-7A1 | | | 5.56% | # | | | 02/25/2036 | | | | 890,468 | |
| | 896,072 | | | Series 2007-8XS-A1 | | | 5.75% | # | | | 04/25/2037 | | | | 700,236 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Accredit Loans, Inc., | |
| $ | 532,103 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 464,477 | |
| | 1,124,808 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 921,996 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 657,898 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 551,038 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 750,000 | | | Series 2013-1A-B2 | | | 6.00% | #^ | | | 06/25/2058 | | | | 791,570 | |
| | 750,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 768,774 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 1,716,447 | | | Series 2006-2-4CB | | | 6.00% | | | | 03/25/2036 | | | | 1,517,844 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 1,838,958 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 1,791,963 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 455,210 | | | Series 2007-2-1A15 | | | 5.75% | | | | 03/25/2037 | | | | 441,519 | |
| | 232,218 | | | Series 2007-3-1A4 | | | 6.00% | | | | 04/25/2037 | | | | 231,007 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $20,272,310) | | | | 20,242,080 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 11.4% | |
| | 140,000 | | | Activision Blizzard, Inc. | | | 5.63%^ | | | | 09/15/2021 | | | | 149,450 | |
| | 185,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 192,400 | |
| | 135,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 145,462 | |
| | 60,000 | | | Argos Merger Sub, Inc. | | | 7.13% | ^ | | | 03/15/2023 | | | | 62,325 | |
| | 75,000 | | | Asbury Automotive Group, Inc. | | | 6.00% | | | | 12/15/2024 | | | | 78,187 | |
| | 145,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 147,900 | |
| | 155,000 | | | Audatex North America, Inc. | | | 6.00% | ^ | | | 06/15/2021 | | | | 164,687 | |
| | 145,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 149,894 | |
| | 195,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 200,606 | |
| | 145,000 | | | Biomet, Inc. | | | 6.50% | | | | 08/01/2020 | | | | 154,062 | |
| | 120,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 123,150 | |
| | 90,000 | | | CCOH Safari LLC | | | 5.50% | | | | 12/01/2022 | | | | 92,250 | |
| | 195,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 210,054 | |
| | 80,000 | | | Cequel Communications LLC | | | 6.38% | ^ | | | 09/15/2020 | | | | 84,700 | |
| | 165,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 165,619 | |
| | 80,000 | | | Dana Holding Corporation | | | 5.50% | | | | 12/15/2024 | | | | 82,800 | |
| | 40,000 | | | Energy Gulf Coast, Inc. | | | 9.25% | | | | 12/15/2017 | | | | 27,200 | |
| | 65,000 | | | Energy Gulf Coast, Inc. | | | 11.00% | ^ | | | 03/15/2020 | | | | 61,994 | |
| | 50,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 18,250 | |
| | 85,000 | | | Energy Partners Ltd. | | | 8.25% | | | | 02/15/2018 | | | | 63,325 | |
| | 40,000 | | | Family Tree Escrow LLC | | | 5.75% | ^ | | | 03/01/2023 | | | | 42,200 | |
| | 95,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 107,112 | |
| | 205,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 209,612 | |
| | 215,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 203,981 | |
| | 185,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 204,425 | |
| | 155,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 163,912 | |
| | 145,000 | | | HCA, Inc. | | | 4.25% | | | | 10/15/2019 | | | | 149,169 | |
| | 60,000 | | | HCA, Inc. | | | 5.38% | | | | 02/01/2025 | | | | 63,112 | |
| | 190,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 204,250 | |
| | 175,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 161,000 | |
| | 215,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 219,569 | |
| | 130,000 | | | Infor, Inc. | | | 6.50% | ^ | | | 05/15/2022 | | | | 133,575 | |
| | 80,000 | | | Kindred Escrow Corporation | | | 8.00% | ^ | | | 01/15/2020 | | | | 86,250 | |
| | 200,000 | | | Level 3 Communications, Inc. | | | 5.75% | | | | 12/01/2022 | | | | 205,800 | |
| | 15,000 | | | Level 3 Financing, Inc. | | | 5.38% | | | | 08/15/2022 | | | | 15,511 | |
| | 165,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 173,663 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 75 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT / SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| $ | 175,000 | | | Louisiana-Pacific Corporation | | | 7.50% | | | | 06/01/2020 | | | | 187,688 | |
| | 75,000 | | | Manitowoc Company, Inc. | | | 8.50% | | | | 11/01/2020 | | | | 80,625 | |
| | 20,000 | | | Masonite International Corporation | | | 5.63% | ^ | | | 03/15/2023 | | | | 20,600 | |
| | 180,000 | | | Memorial Production Partners LP | | | 6.88% | ^ | | | 08/01/2022 | | | | 160,200 | |
| | 200,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 214,625 | |
| | 160,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 166,400 | |
| | 55,000 | | | NCL Corporation Ltd. | | | 5.00% | | | | 02/15/2018 | | | | 56,375 | |
| | 150,000 | | | NCL Corporation Ltd. | | | 5.25% | ^ | | | 11/15/2019 | | | | 154,500 | |
| | 60,000 | | | Pilgrim’s Pride Corporation | | | 5.75% | ^ | | | 03/15/2025 | | | | 61,500 | |
| | 195,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 199,388 | |
| | 65,000 | | | Platform Specialty Products Corporation | | | 6.50% | ^ | | | 02/01/2022 | | | | 68,250 | |
| | 130,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 134,875 | |
| | 65,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 66,706 | |
| | 185,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 191,938 | |
| | 100,000 | | | Reynolds Group Issuer LLC | | | 8.25% | | | | 02/15/2021 | | | | 107,500 | |
| | 60,000 | | | Rite Aid Corporation | | | 6.13% | ^ | | | 04/01/2023 | | | | 61,800 | |
| | 145,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 154,969 | |
| | 55,000 | | | Sanchez Energy Corporation | | | 6.13% | | | | 01/15/2023 | | | | 49,706 | |
| | 190,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 201,305 | |
| | 10,000 | | | SBA Telecommunications, Inc. | | | 5.75% | | | | 07/15/2020 | | | | 10,563 | |
| | 160,000 | | | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 164,400 | |
| | 155,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 154,128 | |
| | 150,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 157,500 | |
| | 205,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 204,744 | |
| | 120,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 123,900 | |
| | 135,000 | | | Spectrum Brands, Inc. | | | 6.75% | | | | 03/15/2020 | | | | 142,763 | |
| | 105,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 112,350 | |
| | 145,000 | | | Steel Dynamics, Inc. | | | 5.13% | ^ | | | 10/01/2021 | | | | 146,631 | |
| | 145,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 149,350 | |
| | 205,000 | | | Tesoro Logistics LP | | | 6.25% | ^ | | | 10/15/2022 | | | | 213,200 | |
| | 215,000 | | | Transdigm, Inc. | | | 6.00% | | | | 07/15/2022 | | | | 215,806 | |
| | 125,000 | | | Triangle USA Petroleum Corporation | | | 6.75% | ^ | | | 07/15/2022 | | | | 101,563 | |
| | 170,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 154,275 | |
| | 185,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 203,315 | |
| | 185,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 206,738 | |
| | 135,000 | | | WCI Communities, Inc. | | | 6.88% | | | | 08/15/2021 | | | | 139,050 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $9,575,237) | | | | 9,656,682 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT/AGENCY MORTGAGE BACKED OBLIGATIONS 1.2% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 959,923 | | | Series 4390-NY | | | 3.00% | | | | 06/15/2040 | | | | 1,002,982 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $977,295) | | | | | | | | | | | 1,002,982 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 9.6% (a) | |
| | 806,246 | | | DoubleLine Floating Rate Fund | | | | | | | | | | | 8,175,333 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $8,140,387) | | | | | | | | | | | 8,175,333 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ | |
| | SHORT TERM INVESTMENTS 3.5% | |
| | 990,301 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | 990,301 | |
| | 990,302 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | 990,302 | |
| | 990,302 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | 990,302 | |
| | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $2,970,905) | | | | | | 2,970,905 | |
| | | | | | | | | | | | | | |
| | | | Total Investments 99.9%
(Cost $85,346,106) | | | | | | | | | 84,837,379 | |
| | | | Other Assets in Excess of Liabilities 0.1% | | | 90,299 | |
| | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | $ | 84,927,678 | |
| | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 23.8% | |
Collateralized Loan Obligations | | | 19.9% | |
Foreign Corporate Bonds | | | 19.2% | |
US Corporate Bonds | | | 11.4% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 9.9% | |
Affiliated Mutual Funds | | | 9.6% | |
Short Term Investments | | | 3.5% | |
Asset Backed Obligations | | | 1.2% | |
US Government / Agency Mortgage Backed Obligations | | | 1.2% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.2% | |
Other Assets and Liabilities | | | 0.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 76 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | | | | |
United States | | | 80.5% | |
Mexico | | | 3.0% | |
Peru | | | 2.6% | |
Brazil | | | 2.3% | |
Colombia | | | 2.2% | |
Chile | | | 1.6% | |
Guatemala | | | 1.5% | |
Panama | | | 1.2% | |
Paraguay | | | 0.8% | |
Costa Rica | | | 0.7% | |
Dominican Republic | | | 0.7% | |
Israel | | | 0.6% | |
Jamaica | | | 0.5% | |
India | | | 0.4% | |
Barbados | | | 0.3% | |
China | | | 0.2% | |
Luxembourg | | | 0.2% | |
Indonesia | | | 0.2% | |
El Salvador | | | 0.2% | |
Qatar | | | 0.1% | |
Canada | | | 0.1% | |
Other Assets and Liabilities | | | 0.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 23.8% | |
Collateralized Loan Obligations | | | 19.9% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 9.9% | |
Affiliated Mutual Funds | | | 9.6% | |
Short Term Investments | | | 3.5% | |
Banking | | | 3.5% | |
Telecommunications | | | 3.4% | |
Oil & Gas | | | 3.0% | |
Building and Development | | | 2.4% | |
Mining | | | 2.0% | |
Transportation | | | 1.7% | |
Utilities | | | 1.7% | |
Chemicals/Plastics | | | 1.6% | |
Media | | | 1.3% | |
Consumer Products | | | 1.2% | |
Asset Backed Obligations | | | 1.2% | |
US Government/Agency Mortgage Backed Obligations | | | 1.2% | |
Healthcare | | | 1.2% | |
Retailers (other than Food/Drug) | | | 0.8% | |
Automotive | | | 0.8% | |
Finance | | | 0.8% | |
Leisure | | | 0.8% | |
Business Equipment and Services | | | 0.6% | |
Technology | | | 0.6% | |
Hotels/Motels/Inns and Casinos | | | 0.6% | |
Industrial | | | 0.5% | |
Food/Drug Retailers | | | 0.5% | |
Financial Intermediaries | | | 0.3% | |
Beverage and Tobacco | | | 0.3% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 0.2% | |
Food Products | | | 0.2% | |
Cosmetics/Toiletries | | | 0.2% | |
Machinery and Tools | | | 0.2% | |
Conglomerates | | | 0.2% | |
Energy | | | 0.1% | |
Containers and Glass Products | | | 0.1% | |
Construction | | | 0.0% | ~ |
Other Assets and Liabilities | | | 0.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $30,569,968 or 36.0% of net assets. |
| ¥ | Illiquid security. At March 31, 2015, the value of these securities amount to $1,008,800 or 1.2% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| W | Issuer is in default of interest payments |
| I/O | Interest only security |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of March 31, 2015 |
| ~ | Represents less than 0.05% of net assets |
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 the DoubleLine Flexible Income Fund’s investments in affiliated mutual funds for the period ended March 31, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
April 7,
2014 | | | Gross Purchases | | | Gross Sales | | | Shares Held at March 31, 2015 | | | Value at
March 31,
2015 | | | Dividend
Income Earned
in the Year
Ended March 31,
2015 | | | Net Realized
Gain (Loss) in
the Year
Ended March 31,
2015 | |
DoubleLine Floating Rate Fund | | $ | — | | | $ | 10,669,000 | | | $ | 2,525,600 | | | | 806,246 | | | $ | 8,175,333 | | | $ | 174,921 | | | $ | (3,013 | ) |
DoubleLine Total Return Bond Fund | | | — | | | | 12,000,000 | | | | 12,024,123 | | | | — | | | | — | | | | 34,270 | | | | 24,123 | |
| | | | |
| | $ | — | | | $ | 22,669,000 | | | $ | 14,549,723 | | | | 806,246 | | | $ | 8,175,333 | | | $ | 209,191 | | | $ | 21,110 | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 77 |
| | |
| Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 0.5% | |
| | |
| | MEXICO 0.5% | | | | | | | | | | | | |
| |
| | | | New Sunward Holding B.V., | |
| $ | 724,926 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche A6 | | | 4.68% | # | | | 02/14/2017 | | | | 726,137 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $724,020) | | | | | | | | | | | 726,137 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 98.3% | |
| | |
| | BARBADOS 0.7% | |
| | 1,000,000 | | | Columbus International, Inc. | | | 7.38% | ^ | | | 03/30/2021 | | | | 1,055,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,055,000 | |
| | | | | | | | | | | | | | | | |
| | BRAZIL 12.0% | |
| | 3,000,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 2,988,300 | |
| | 550,000 | | | Globo Communicacao e Participacoes S.A. | | | 6.25% | #† | | | 07/20/2015 | | | | 558,250 | |
| | 100,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | #^ | | | 05/11/2022 | | | | 104,625 | |
| | 2,930,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 3,065,512 | |
| | 1,750,000 | | | JBS Investments GmbH | | | 7.75% | | | | 10/28/2020 | | | | 1,859,375 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 8.38% | | | | 05/09/2018 | | | | 190,000 | |
| | 1,500,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 1,278,750 | |
| | 1,000,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 852,500 | |
| | 600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 573,000 | |
| | 1,900,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 1,814,500 | |
| | 1,000,000 | | | OAS Investments GmbH | | | 8.25% | W | | | 10/19/2019 | | | | 152,500 | |
| | 2,500,000 | | | Petrobras Global Finance B.V. | | | 3.15% | # | | | 03/17/2020 | | | | 2,162,500 | |
| | 200,000 | | | Raizen Energy Finance Ltd. | | | 7.00% | | | | 02/01/2017 | | | | 213,500 | |
| | 1,300,000 | | | Rearden G Holdings EINS GmbH | | | 7.88% | | | | 03/30/2020 | | | | 1,157,000 | |
| | 250,000 | | | Rio Oil Finance Trust | | | 6.25% | | | | 07/06/2024 | | | | 228,505 | |
| | 150,000 | | | Vale Overseas Ltd. | | | 4.63% | | | | 09/15/2020 | | | | 150,300 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 17,349,117 | |
| | | | | | | | | | | | | | | | |
| | CHILE 13.1% | |
| | 150,000 | | | Banco Santander | | | 1.15% | #^ | | | 04/11/2017 | | | | 149,626 | |
| | 2,163,000 | | | Banco Santander | | | 1.15% | # | | | 04/11/2017 | | | | 2,157,610 | |
| | 600,000 | | | Banco Santander | | | 2.14% | # | | | 06/07/2018 | | | | 612,300 | |
| | 300,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 314,312 | |
| | 2,500,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 2,486,730 | |
| | 700,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 702,219 | |
| | 2,000,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 2,106,786 | |
| | 3,000,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 3,157,500 | |
| | 3,000,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 3,152,817 | |
| | 1,300,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 1,319,474 | |
| | 2,500,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 2,461,973 | |
| | 300,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 312,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,933,347 | |
| | | | | | | | | | | | | | | | |
| | CHINA 2.3% | |
| | 400,000 | | | CNPC General Capital Ltd. | | | 1.16% | #^ | | | 05/14/2017 | | | | 400,767 | |
| | 1,100,000 | | | CNPC General Capital Ltd. | | | 1.16% | # | | | 05/14/2017 | | | | 1,102,108 | |
| | 800,000 | | | Hutchison Whampoa International Ltd. | | | 2.00% | | | | 11/08/2017 | | | | 806,688 | |
| | 1,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 1.17% | #^ | | | 04/10/2019 | | | | 999,018 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,308,581 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLOMBIA 13.2% | |
| $ | 1,200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 1,206,000 | |
| | 1,600,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 1,552,000 | |
| | 1,200,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 1,288,140 | |
| | 2,500,000 | | | Ecopetrol S.A. | | | 4.25% | | | | 09/18/2018 | | | | 2,625,000 | |
| | 1,200,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 1,290,000 | |
| | 2,200,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 2,304,500 | |
| | 400,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 430,500 | |
| | 800,000 | | | Millicom International Cellular S.A. | | | 4.75% | �� | | | 05/22/2020 | | | | 787,200 | |
| | 1,200,000 | | | Millicom International Cellular S.A. | | | 6.63% | | | | 10/15/2021 | | | | 1,273,500 | |
| | 1,000,000 | | | Oleoducto Central S.A. | | | 4.00% | | | | 05/07/2021 | | | | 998,000 | |
| | 3,800,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 2,517,500 | |
| | 2,600,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 2,743,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,015,340 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 2.9% | |
| | 1,300,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 1,331,850 | |
| | 1,200,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 1,219,440 | |
| | 1,500,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 1,584,375 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,135,665 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 2.3% | |
| | 200,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 193,500 | |
| | 500,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 522,500 | |
| | 2,500,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 2,612,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,328,500 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 5.3% | |
| | 900,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 921,330 | |
| | 1,600,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 1,637,920 | |
| | 500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 526,250 | |
| | 2,000,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 2,135,000 | |
| | 2,350,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 2,482,187 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,702,687 | |
| | | | | | | | | | | | | | | | |
| | INDIA 1.4% | |
| | 200,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 203,569 | |
| | 2,000,000 | | | Vedanta Resources PLC | | | 6.00% | | | | 01/31/2019 | | | | 1,791,980 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,995,549 | |
| | | | | | | | | | | | | | | | |
| | INDONESIA 2.4% | |
| | 3,400,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 3,385,207 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,385,207 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 4.3% | |
| | 600,000 | | | B Communications Ltd. | | | 7.38% | ^ | | | 02/15/2021 | | | | 645,900 | |
| | 2,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 2,003,296 | |
| | 2,000,000 | | | Israel Electric Corporation Ltd. | | | 2.00% | # | | | 01/17/2018 | | | | 1,980,000 | |
| | 1,500,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 1,602,654 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,231,850 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 78 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | JAMAICA 1.9% | |
| $ | 1,200,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 1,230,000 | |
| | 1,500,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 1,509,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,739,750 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 14.6% | |
| | 1,000,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 1,046,880 | |
| | 2,000,000 | | | Banco Santander Mexico | | | 5.95% | # | | | 01/30/2024 | | | | 2,119,400 | |
| | 2,800,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 2,954,000 | |
| | 3,200,000 | | | Cemex S.A.B. de C.V. | | | 5.00% | # | | | 10/15/2018 | | | | 3,350,400 | |
| | 500,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 513,500 | |
| | 200,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | | | | 03/13/2019 | | | | 205,400 | |
| | 2,700,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 2,918,700 | |
| | 1,000,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 1,042,500 | |
| | 1,700,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 1,748,875 | |
| | 500,000 | | | Grupo Posadas S.A.B de C.V | | | 7.88% | | | | 11/30/2017 | | | | 492,500 | |
| | 2,700,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 2,814,750 | |
| | 1,500,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 1,603,125 | |
| | 300,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 280,230 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,090,260 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 4.9% | |
| | 250,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 257,500 | |
| | 3,588,456 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 3,705,080 | |
| | 1,500,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 1,546,500 | |
| | 1,500,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 1,563,600 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,072,680 | |
| | | | | | | | | | | | | | | | |
| | PARAGUAY 1.8% | |
| | 1,080,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 1,148,904 | |
| | 1,000,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 1,027,500 | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 411,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,587,404 | |
| | | | | | | | | | | | | | | | |
| | PERU 12.8% | |
| | 2,500,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 2,523,750 | |
| | 3,000,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 3,090,000 | |
| | 600,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 594,000 | |
| | 200,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 179,600 | |
| | 600,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 610,500 | |
| | 1,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 1,017,500 | |
| | 300,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 305,250 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 208,500 | |
| | 740,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 771,450 | |
| | 1,500,000 | | | InRetail Shopping Malls | | | 6.50% | | | | 07/09/2021 | | | | 1,578,750 | |
| | 300,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 316,500 | |
| | 5,296,880 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 5,066,996 | |
| | 1,500,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | ^ | | | 10/30/2021 | | | | 1,520,250 | |
| | 700,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 709,450 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,492,496 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | QATAR 0.6% | |
| $ | 762,836 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 823,673 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 823,673 | |
| | | | | | | | | | | | | | | | |
| | SINGAPORE 1.8% | |
| | 251,000 | | | DBS Bank Ltd. | | | 0.86% | # | | | 07/15/2021 | | | | 249,118 | |
| | 1,500,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 1,557,169 | |
| | 800,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 834,920 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,641,207 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $145,187,872) | | | | | | | | 141,888,313 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 0.3% | |
| | 120,636 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 120,636 | |
| | 120,636 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 120,636 | |
| | 120,636 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 120,636 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $361,908) | | | | 361,908 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.1%
(Cost $146,273,800) | | | | 142,976,358 | |
| | | | Other Assets in Excess of Liabilities 0.9% | | | | 1,333,965 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | | | $ | 144,310,323 | |
| | | | | | | | | | | | | | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets | | | | |
Mexico | | | 15.1% | |
Colombia | | | 13.2% | |
Chile | | | 13.1% | |
Peru | | | 12.8% | |
Brazil | | | 12.0% | |
Guatemala | | | 5.3% | |
Panama | | | 4.9% | |
Israel | | | 4.3% | |
Costa Rica | | | 2.9% | |
Indonesia | | | 2.4% | |
China | | | 2.3% | |
Dominican Republic | | | 2.3% | |
Jamaica | | | 1.9% | |
Paraguay | | | 1.8% | |
Singapore | | | 1.8% | |
India | | | 1.4% | |
Other Assets and Liabilities | | | 0.9% | |
Barbados | | | 0.7% | |
Qatar | | | 0.6% | |
United States | | | 0.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 79 |
| | |
| Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund (Cont.) | | March 31, 2015 |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets | | | | |
Banking | | | 24.5% | |
Oil & Gas | | | 13.2% | |
Transportation | | | 11.8% | |
Building and Development | | | 8.7% | |
Utilities | | | 7.3% | |
Telecommunications | | | 5.7% | |
Mining | | | 5.2% | |
Consumer Products | | | 5.1% | |
Finance | | | 4.3% | |
Media | | | 3.7% | |
Pulp & Paper | | | 2.2% | |
Chemicals/Plastics | | | 2.2% | |
Beverage and Tobacco | | | 1.7% | |
Real Estate | | | 1.1% | |
Retailers (other than Food/Drug) | | | 0.9% | |
Conglomerates | | | 0.6% | |
Hotels/Motels/Inns and Casinos | | | 0.3% | |
Short Term Investments | | | 0.3% | |
Food/Drug Retailers | | | 0.2% | |
Construction | | | 0.1% | |
Other Assets and Liabilities | | | 0.9% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2015. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2015, the value of these securities amounted to $15,583,892 or 10.8% of net assets. |
| W | Issuer is in default of interest payments |
| ¨ | Seven-day yield as of March 31, 2015 |
| | | | | | |
| 80 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Long Duration Total Return Bond Fund | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT/AGENCY MORTGAGE BACKED OBLIGATIONS 58.9% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| $ | 1,541,232 | | | Series 4057-ZB | | | 3.50% | | | | 06/15/2042 | | | | 1,632,490 | |
| | 1,541,232 | | | Series 4057-ZC | | | 3.50% | | | | 06/15/2042 | | | | 1,614,895 | |
| | 2,144,798 | | | Series 4182-ZD | | | 3.50% | | | | 03/15/2043 | | | | 2,206,450 | |
| | 1,059,109 | | | Series 4194-ZL | | | 3.00% | | | | 04/15/2043 | | | | 1,003,849 | |
| | 2,367,685 | | | Series 4204-QZ | | | 3.00% | | | | 05/15/2043 | | | | 2,243,055 | |
| | 1,599,256 | | | Series 4206-LZ | | | 3.50% | | | | 05/15/2043 | | | | 1,651,048 | |
| | 596,944 | | | Series 4210-Z | | | 3.00% | | | | 05/15/2043 | | | | 589,244 | |
| | 315,362 | | | Series 4226-GZ | | | 3.00% | | | | 07/15/2043 | | | | 306,222 | |
| | 2,273,811 | | | Series 4390-NZ | | | 3.00% | | | | 09/15/2044 | | | | 2,193,570 | |
| | 2,015,038 | | | Series 4417-PZ | | | 3.00% | | | | 12/15/2044 | | | | 1,915,041 | |
| | 2,689,783 | | | Series 4420-CZ | | | 3.00% | | | | 12/15/2044 | | | | 2,480,257 | |
| | 4,778,954 | | | Series 4427-XG | | | 3.00% | | | | 01/15/2045 | | | | 4,473,357 | |
| | 2,004,167 | | | Series 4440-ZD | | | 2.50% | | | | 02/15/2045 | | | | 1,758,272 | |
| |
| | | | Federal National Mortgage Association, | |
| | 3,000,000 | | | Series 2015-16-ZY | | | 2.50% | | | | 04/25/2045 | | | | 2,580,000 | |
| | 2,100,000 | | | Series 2012-128-UC | | | 2.50% | | | | 11/25/2042 | | | | 1,933,483 | |
| | 1,541,232 | | | Series 2012-68-ZA | | | 3.50% | | | | 07/25/2042 | | | | 1,613,673 | |
| | 2,195,357 | | | Series 2012-92-AZ | | | 3.50% | | | | 08/25/2042 | | | | 2,263,536 | |
| | 2,903,579 | | | Series 2013-127-MZ | | | 3.00% | | | | 12/25/2043 | | | | 2,741,974 | |
| | 489,633 | | | Series 2013-66-ZK | | | 3.00% | | | | 07/25/2043 | | | | 430,570 | |
| | 1,594,605 | | | Series 2013-74-ZH | | | 3.50% | | | | 07/25/2043 | | | | 1,635,259 | |
| | 1,182,135 | | | Series 2014-42-BZ | | | 3.00% | | | | 07/25/2044 | | | | 1,126,213 | |
| | 1,500,000 | | | Series 2014-67-HD | | | 3.00% | | | | 10/25/2044 | | | | 1,452,370 | |
| | 904,000 | | | Series 2014-68-TD | | | 3.00% | | | | 11/25/2044 | | | | 861,831 | |
| | 2,355,631 | | | Series 2014-80-DZ | | | 3.00% | | | | 12/25/2044 | | | | 2,232,518 | |
| | 1,485,700 | | | Series 2014-80-KL | | | 2.00% | | | | 05/25/2043 | | | | 1,177,060 | |
| |
| | | | Government National Mortgage Association, | |
| | 734,997 | | | Series 2013-180-LO | | | 0.00% | P/O | | | 11/16/2043 | | | | 566,513 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government/Agency Mortgage Backed Obligations
(Cost $42,864,978) | | | | 44,682,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL AMOUNT /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT BONDS AND NOTES 38.2% | |
| $ | 5,000,000 | | | United States Treasury Bonds | | | 5.25% | | | | 11/15/2028 | | | | 6,826,170 | |
| | 8,900,000 | | | United States Treasury Bonds | | | 4.50% | | | | 02/15/2036 | | | | 12,129,027 | |
| | 5,400,000 | | | United States Treasury Bonds | | | 3.38% | | | | 05/15/2044 | | | | 6,331,079 | |
| | 3,500,000 | | | United States Treasury Notes | | | 2.50% | | | | 05/15/2024 | | | | 3,676,641 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $28,554,876) | | | | 28,962,917 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 2.6% | |
| | 647,171 | | | BlackRock Institutional Liquidity Funds FedFund Portfolio | | | 0.03% | ¨ | | | | | | | 647,171 | |
| | 647,171 | | | Fidelity Institutional Government Portfolio | | | 0.01% | ¨ | | | | | | | 647,171 | |
| | 647,170 | | | Morgan Stanley Institutional Liquidity Fund Government Portfolio | | | 0.04% | ¨ | | | | | | | 647,170 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $1,941,512) | | | | 1,941,512 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.7%
(Cost $73,361,366) | | | | 75,587,179 | |
| | | | Other Assets in Excess of Liabilities 0.3% | | | | 225,289 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 75,812,468 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets | |
US Government / Agency Mortgage Backed Obligations | | | 58.9% | |
US Government Bonds and Notes | | | 38.2% | |
Short Term Investments | | | 2.6% | |
Other Assets and Liabilities | | | 0.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| P/O | Principal only security |
| ¨ | Seven-day yield as of March 31, 2015 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 81 |
| | |
| Statements of Assets and Liabilities | | March 31, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine
Total Return
Bond Fund | | | DoubleLine
Core Fixed
Income Fund | | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | |
| | | | | | |
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | $ | 42,140,458,666 | | | $ | 3,665,877,144 | | | $ | 751,858,259 | | | $ | 55,610,010 | | | $ | 2,246,770,133 | | | $ | 345,827,477 | |
Investments in Affiliated Securities, at Value* | | | — | | | | 159,592,440 | | | | — | | | | 43,006,882 | | | | 49,150,000 | | | | — | |
Short Term Investments* | | | 4,114,358,186 | | | | 198,258,049 | | | | 4,660,329 | | | | 28,257,506 | | | | 6,614,913 | | | | 36,300,436 | |
Interest and Dividends Receivable | | | 160,386,739 | | | | 27,105,671 | | | | 11,995,273 | | | | 439,516 | | | | 11,381,645 | | | | 2,686,921 | |
Receivable for Fund Shares Sold | | | 158,938,885 | | | | 14,996,280 | | | | 9,423,299 | | | | 318,333 | | | | 3,284,636 | | | | 543,246 | |
Receivable for Investments Sold | | | 1,024,182 | | | | 4,652,858 | | | | 50,854 | | | | — | | | | 23,880,504 | | | | 2,452,096 | |
Prepaid Expenses and Other Assets | | | 750,490 | | | | 74,321 | | | | 62,362 | | | | 35,833 | | | | 68,575 | | | | 33,530 | |
Deposit at Broker for Futures | | | — | | | | — | | | | — | | | | 1,086,800 | | | | — | | | | — | |
Cash | | | — | | | | — | | | | — | | | | 280,000 | | | | — | | | | — | |
Total Assets | | | 46,575,917,148 | | | | 4,070,556,763 | | | | 778,050,376 | | | | 129,034,880 | | | | 2,341,150,406 | | | | 387,843,706 | |
| | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 722,738,813 | | | | 42,204,363 | | | | 2,335,095 | | | | — | | | | 10,235,438 | | | | 25,141,185 | |
Payable for Fund Shares Redeemed | | | 52,270,400 | | | | 4,144,603 | | | | 1,352,679 | | | | 148,957 | | | | 13,210,264 | | | | 194,033 | |
Distribution Payable | | | 49,645,246 | | | | 3,132,032 | | | | 660,469 | | | | 563,990 | | | | 797,563 | | | | 630,122 | |
Investment Advisory Fees Payable | | | 15,300,914 | | | | 1,350,401 | | | | 484,284 | | | | 85,344 | | | | 758,118 | | | | 152,316 | |
Transfer Agent Expenses Payable | | | 2,945,740 | | | | 359,172 | | | | 57,028 | | | | 51,266 | | | | 259,396 | | | | 60,708 | |
Distribution Fees Payable | | | 2,295,219 | | | | 147,224 | | | | 45,137 | | | | 24,662 | | | | 298,505 | | | | 20,974 | |
Administration Fees Payable | | | 2,148,517 | | | | 226,113 | | | | 51,851 | | | | 23,058 | | | | 207,082 | | | | 48,563 | |
Registration Fees Payable | | | 1,004,577 | | | | 101,092 | | | | 17,487 | | | | 3,653 | | | | 71,711 | | | | 44,554 | |
Accrued Expenses | | | 959,884 | | | | 197,712 | | | | 157,029 | | | | 78,356 | | | | 144,280 | | | | 80,838 | |
Unrealized Depreciation on Swaps | | | — | | | | — | | | | — | | | | 434,821 | | | | — | | | | — | |
Variation Margin Payable | | | — | | | | — | | | | — | | | | 271,191 | | | | — | | | | — | |
Unrealized Depreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | 246,222 | | | | — | | | | — | |
Total Liabilities | | | 849,309,310 | | | | 51,862,712 | | | | 5,161,059 | | | | 1,931,520 | | | | 25,982,357 | | | | 26,373,293 | |
Net Assets | | $ | 45,726,607,838 | | | $ | 4,018,694,051 | | | $ | 772,889,317 | | | $ | 127,103,360 | | | $ | 2,315,168,049 | | | $ | 361,470,413 | |
| | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 46,283,438,371 | | | $ | 3,986,044,343 | | | $ | 816,477,843 | | | $ | 122,946,531 | | | $ | 2,322,154,284 | | | $ | 360,268,386 | |
Undistributed (Accumulated) Net Investment Income (Loss) | | | 9,772,655 | | | | 498,241 | | | | 275,100 | | | | 2,950,991 | | | | 691,496 | | | | 151,566 | |
Accumulated Net Realized Gain (Loss) on Investments | | | (1,444,621,600 | ) | | | (26,735,370 | ) | | | (20,654,727 | ) | | | 386,078 | | | | (8,170,074 | ) | | | (1,008,160 | ) |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 877,759,093 | | | | 55,667,336 | | | | (23,208,899 | ) | | | 2,083,491 | | | | 1,342,343 | | | | 2,058,621 | |
Investments in Affiliated Securities | | | — | | | | 3,219,501 | | | | — | | | | (720,350 | ) | | | (850,000 | ) | | | — | |
Short Term Investments | | | 259,319 | | | | — | | | | — | | | | (12 | ) | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | (246,222 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | 137,674 | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (434,821 | ) | | | — | | | | — | |
Net Assets | | $ | 45,726,607,838 | | | $ | 4,018,694,051 | | | $ | 772,889,317 | | | $ | 127,103,360 | | | $ | 2,315,168,049 | | | $ | 361,470,413 | |
| | | | | | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 41,262,699,573 | | | $ | 3,610,209,808 | | | $ | 775,067,158 | | | $ | 53,526,519 | | | $ | 2,245,427,790 | | | $ | 343,768,856 | |
Investments in Affiliated Securities | | | — | | | | 156,372,939 | | | | — | | | | 43,727,232 | | | | 50,000,000 | | | | — | |
Short Term Investments | | | 4,114,098,867 | | | | 198,258,049 | | | | 4,660,329 | | | | 28,257,518 | | | | 6,614,913 | | | | 36,300,436 | |
| | | | | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 36,286,608,513 | | | $ | 3,406,628,189 | | | $ | 539,542,169 | | | $ | 42,796,217 | | | $ | 1,166,437,630 | | | $ | 310,367,627 | |
Shares Outstanding | | | 3,285,691,266 | | | | 306,804,661 | | | | 52,724,548 | | | | 4,363,866 | | | | 115,070,450 | | | | 30,610,915 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 11.04 | | | $ | 11.10 | | | $ | 10.23 | | | $ | 9.81 | | | $ | 10.14 | | | $ | 10.14 | |
| | | | | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 9,439,999,325 | | | $ | 612,065,862 | | | $ | 233,347,148 | | | $ | — | | | $ | 1,148,730,419 | | | $ | 51,102,786 | |
Shares Outstanding | | | 855,117,986 | | | | 55,155,903 | | | | 22,800,748 | | | | — | | | | 113,394,124 | | | | 5,029,678 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 11.04 | | | $ | 11.10 | | | $ | 10.23 | | | $ | — | | | $ | 10.13 | | | $ | 10.16 | |
| | | | | | |
Class A (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | — | | | $ | — | | | $ | — | | | $ | 84,307,143 | | | $ | — | | | $ | — | |
Shares Outstanding | | | — | | | | — | | | | — | | | | 8,616,839 | | | | — | | | | — | |
Net Asset Value, Offering Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 10.20 | | | $ | — | | | $ | — | |
Net Asset Value, Redemption Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 9.78 | | | $ | — | | | $ | — | |
| | | | | | |
| 82 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | | | DoubleLine Flexible Income Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | |
| | | | |
ASSETS | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | $ | 343,973,055 | | | $ | 73,691,141 | | | $ | 142,614,450 | | | $ | 73,645,667 | |
Investments in Affiliated Securities, at Value* | | | — | | | | 8,175,333 | | | | — | | | | — | |
Short Term Investments* | | | 41,204,368 | | | | 2,970,905 | | | | 361,908 | | | | 1,941,512 | |
Unrealized Appreciation on Swaps | | | 10,634,293 | | | | — | | | | — | | | | — | |
Interest and Dividends Receivable | | | 2,469,401 | | | | 759,623 | | | | 1,810,475 | | | | 367,593 | |
Receivable for Fund Shares Sold | | | 1,480,552 | | | | 545,931 | | | | 153,897 | | | | 78,000 | |
Receivable for Investments Sold | | | 203,374 | | | | — | | | | 62,204 | | | | — | |
Prepaid Expenses and Other Assets | | | 49,835 | | | | 39,283 | | | | 37,374 | | | | 51,745 | |
Total Assets | | | 400,014,878 | | | | 86,182,216 | | | | 145,040,308 | | | | 76,084,517 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 18,563,250 | | | | 524,973 | | | | 361,108 | | | | — | |
Payable for Fund Shares Redeemed | | | 580,225 | | | | 567,619 | | | | 71,846 | | | | 4,577 | |
Investment Advisory Fees Payable | | | 117,457 | | | | 15,788 | | | | 29,569 | | | | 6,506 | |
Distribution Payable | | | 112,025 | | | | 53,933 | | | | 191,353 | | | | 162,926 | |
Accrued Expenses | | | 89,080 | | | | 27,024 | | | | 26,722 | | | | 57,538 | |
Transfer Agent Expenses Payable | | | 65,252 | | | | 28,748 | | | | 12,322 | | | | 22,756 | |
Administration Fees Payable | | | 50,838 | | | | 28,639 | | | | 18,596 | | | | 11,045 | |
Distribution Fees Payable | | | 15,247 | | | | 5,725 | | | | 15,873 | | | | 3,837 | |
Registration Fees Payable | | | 7,718 | | | | 2,089 | | | | 2,596 | | | | 2,864 | |
Total Liabilities | | | 19,601,092 | | | | 1,254,538 | | | | 729,985 | | | | 272,049 | |
Net Assets | | $ | 380,413,786 | | | $ | 84,927,678 | | | $ | 144,310,323 | | | $ | 75,812,468 | |
| | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 363,816,206 | | | $ | 85,679,604 | | | $ | 147,854,755 | | | $ | 73,503,497 | |
Undistributed (Accumulated) Net Investment Income (Loss) | | | 47,374 | | | | 20,265 | | | | 7,429 | | | | 16,844 | |
Accumulated Net Realized Gain (Loss) on Investments | | | 5,634,911 | | | | (263,464 | ) | | | (254,419 | ) | | | 66,314 | |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 281,002 | | | | (543,673 | ) | | | (3,297,442 | ) | | | 2,225,813 | |
Investments in Affiliated Securities | | | — | | | | 34,946 | | | | — | | | | — | |
Swaps | | | 10,634,293 | | | | — | | | | — | | | | — | |
Net Assets | | $ | 380,413,786 | | | $ | 84,927,678 | | | $ | 144,310,323 | | | $ | 75,812,468 | |
| | | | |
*Identified Cost: | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 343,692,053 | | | $ | 74,234,814 | | | $ | 145,911,892 | | | $ | 71,419,854 | |
Investments in Affiliated Securities | | | — | | | | 8,140,387 | | | | — | | | | — | |
Short Term Investments | | | 41,204,368 | | | | 2,970,905 | | | | 361,908 | | | | 1,941,512 | |
| | | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | |
Net Assets | | $ | 301,579,554 | | | $ | 57,510,817 | | | $ | 64,890,842 | | | $ | 56,240,093 | |
Shares Outstanding | | | 24,867,216 | | | | 5,757,063 | | | | 6,598,488 | | | | 5,391,473 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 12.13 | | | $ | 9.99 | | | $ | 9.83 | | | $ | 10.43 | |
| | | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | |
Net Assets | | $ | 78,834,232 | | | $ | 27,416,861 | | | $ | 79,419,481 | | | $ | 19,572,375 | |
Shares Outstanding | | | 6,503,900 | | | | 2,744,698 | | | | 8,070,047 | | | | 1,877,588 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 12.12 | | | $ | 9.99 | | | $ | 9.84 | | | $ | 10.42 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 83 |
| | |
| Statements of Operations | | For the Period Ended March 31, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine
Total Return
Bond Fund | | | DoubleLine Core
Fixed Income
Fund | | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | |
| | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 1,566,609,015 | | | $ | 100,358,777 | | | $ | 40,311,698 | | | $ | 2,356,554 | | | $ | 54,568,846 | | | $ | 14,676,859 | |
Dividends from Unaffiliated Securities | | | — | | | | — | | | | — | | | | 1,095,923 | | | | — | | | | — | |
Dividends from Affiliated Securities | | | — | | | | 4,194,056 | | | | — | | | | 1,951,866 | | | | 1,817,110 | | | | — | |
Total Investment Income | | | 1,566,609,015 | | | | 104,552,833 | | | | 40,311,698 | | | | 5,404,343 | | | | 56,385,956 | | | | 14,676,859 | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 148,776,095 | | | | 9,641,108 | | | | 4,953,719 | | | | 1,197,807 | | | | 7,317,393 | | | | 1,816,769 | |
Distribution Fees - Class N | | | 19,138,739 | | | | 1,149,657 | | | | 506,324 | | | | — | | | | 2,772,235 | | | | 158,683 | |
Distribution Fees - Class A | | | — | | | | — | | | | — | | | | 212,575 | | | | — | | | | — | |
Transfer Agent Expenses | | | 14,866,784 | | | | 993,685 | | | | 450,798 | | | | 110,339 | | | | 1,111,243 | | | | 187,464 | |
Administration, Fund Accounting and Custodian Fees | | | 6,086,900 | | | | 563,984 | | | | 152,803 | | | | 74,938 | | | | 623,849 | | | | 158,834 | |
Registration Fees | | | 1,704,792 | | | | 249,973 | | | | 129,032 | | | | 61,172 | | | | 138,488 | | | | 96,464 | |
Insurance Expenses | | | 829,236 | | | | 51,271 | | | | 17,065 | | | | 6,868 | | | | 52,234 | | | | 12,805 | |
Professional Fees | | | 728,083 | | | | 174,895 | | | | 153,874 | | | | 108,515 | | | | 107,086 | | | | 87,573 | |
Trustees’ Fees and Expenses | | | 532,003 | | | | 31,558 | | | | 9,656 | | | | 2,087 | | | | 32,934 | | | | 5,626 | |
Shareholder Reporting Expenses | | | 494,689 | | | | 31,469 | | | | 27,586 | | | | 660 | | | | 104,598 | | | | 17,276 | |
Miscellaneous Expenses | | | 319,381 | | | | 27,429 | | | | 40,091 | | | | 9,681 | | | | 22,899 | | | | 61,643 | |
Total Expenses | | | 193,476,702 | | | | 12,915,029 | | | | 6,440,948 | | | | 1,784,642 | | | | 12,282,959 | | | | 2,603,137 | |
Less: Fees (Waived)/Recouped | | | 722,048 | | | | 227,297 | | | | 11,145 | | | | (133,348 | ) | | | 329,102 | | | | 84,103 | |
Net Expenses | | | 194,198,750 | | | | 13,142,326 | | | | 6,452,093 | | | | 1,651,294 | | | | 12,612,061 | | | | 2,687,240 | |
| | | | | | |
Net Investment Income | | | 1,372,410,265 | | | | 91,410,507 | | | | 33,859,605 | | | | 3,753,049 | | | | 43,773,895 | | | | 11,989,619 | |
| | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 3,427,405 | | | | 17,161,605 | | | | 910,510 | | | | (3,996,274 | ) | | | (2,379,603 | ) | | | (957,215 | ) |
Investments in Affiliated Securities | | | — | | | | (255,957 | ) | | | — | | | | (41,660 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | 4,582,201 | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | 3,014,547 | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | 1,059,268 | | | | — | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 745,815,917 | | | | 41,161,670 | | | | (20,412,635 | ) | | | 609,142 | | | | (6,411,258 | ) | | | 874,963 | |
Investments in Affiliated Securities | | | — | | | | 2,489,604 | | | | — | | | | 247,356 | | | | (850,000 | ) | | | — | |
Short Term Investments | | | 223,690 | | | | — | | | | — | | | | (12 | ) | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | (246,222 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (524,492 | ) | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (632,957 | ) | | | — | | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 749,467,012 | | | | 60,556,922 | | | | (19,502,125 | ) | | | 4,070,897 | | | | (9,640,861 | ) | | | (82,252 | ) |
| | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 2,121,877,277 | | | $ | 151,967,429 | | | $ | 14,357,480 | | | $ | 7,823,946 | | | $ | 34,133,034 | | | $ | 11,907,367 | |
| | | | | | |
| 84 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | For the Period Ended March 31, 2015 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | | | DoubleLine Flexible Income Fund1 | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund1 | | | DoubleLine
Long Duration
Total Return Bond
Fund2 | |
| | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | |
Interest | | $ | 5,038,108 | | | $ | 2,265,134 | | | $ | 4,189,182 | | | $ | 711,848 | |
Dividends from Affiliated Securities | | | 378,372 | | | | 209,191 | | | | — | | | | — | |
Total Investment Income | | | 5,416,480 | | | | 2,474,325 | | | | 4,189,182 | | | | 711,848 | |
Expenses: | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 648,430 | | | | 275,987 | | | | 476,800 | | | | 95,848 | |
Transfer Agent Expenses | | | 195,516 | | | | 92,550 | | | | 108,151 | | | | 24,435 | |
Administration, Fund Accounting and Custodian Fees | | | 129,398 | | | | 70,075 | | | | 50,862 | | | | 14,450 | |
Distribution Fees - Class N | | | 88,965 | | | | 45,034 | | | | 94,370 | | | | 9,147 | |
Registration Fees | | | 86,275 | | | | 58,772 | | | | 62,238 | | | | 16,531 | |
Professional Fees | | | 75,420 | | | | 99,135 | | | | 107,803 | | | | 69,398 | |
Miscellaneous Expenses | | | 53,790 | | | | 3,552 | | | | 9,357 | | | | 8,795 | |
Shareholder Reporting Expenses | | | 34,146 | | | | 20,543 | | | | 45,436 | | | | 25,296 | |
Trustees’ Fees and Expenses | | | 2,436 | | | | 581 | | | | 1,379 | | | | 287 | |
Insurance Expenses | | | 2,306 | | | | 1,091 | | | | 2,883 | | | | 8 | |
Total Expenses | | | 1,316,682 | | | | 667,320 | | | | 959,279 | | | | 264,195 | |
Less: Fees (Waived)/Recouped | | | (270,166 | ) | | | (248,339 | ) | | | (302,278 | ) | | | (130,444 | ) |
Net Expenses | | | 1,046,516 | | | | 418,981 | | | | 657,001 | | | | 133,751 | |
| | | | |
Net Investment Income | | | 4,369,964 | | | | 2,055,344 | | | | 3,532,181 | | | | 578,097 | |
| | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (104,497 | ) | | | (44,680 | ) | | | (183,082 | ) | | | 66,314 | |
Investments in Affiliated Securities | | | 109,424 | | | | 21,110 | | | | — | | | | — | |
Swaps | | | 6,147,512 | | | | — | | | | — | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 237,271 | | | | (543,673 | ) | | | (3,297,442 | ) | | | 2,225,813 | |
Investments in Affiliated Securities | | | (789 | ) | | | 34,946 | | | | — | | | | — | |
Swaps | | | 9,328,330 | | | | — | | | | — | | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 15,717,251 | | | | (532,297 | ) | | | (3,480,524 | ) | | | 2,292,127 | |
| | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 20,087,215 | | | $ | 1,523,047 | | | $ | 51,657 | | | $ | 2,870,224 | |
| 1 | Commencement of operations on April 7, 2014 |
| 2 | Commencement of operations on December 15, 2014 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 85 |
| | |
| Statements of Changes in Net Assets | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Total Return Bond Fund | | | DoubleLine
Core Fixed Income Fund | |
| | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 1,372,410,265 | | | $ | 1,306,704,704 | | | $ | 91,410,507 | | | $ | 73,955,562 | |
Net Realized Gain (Loss) on Investments | | | 3,427,405 | | | | (27,164,096 | ) | | | 16,905,648 | | | | (22,492,605 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 746,039,607 | | | | (1,092,128,473 | ) | | | 43,651,274 | | | | (56,429,723 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 2,121,877,277 | | | | 187,412,135 | | | | 151,967,429 | | | | (4,966,766 | ) |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (1,333,251,287 | ) | | | (1,379,861,329 | ) | | | (83,191,481 | ) | | | (63,903,379 | ) |
Class N | | | (325,614,446 | ) | | | (385,329,341 | ) | | | (16,874,140 | ) | | | (19,950,791 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (5,663,885 | ) |
Class N | | | — | | | | — | | | | — | | | | (1,613,333 | ) |
| | | | |
Total Distributions to Shareholders | | | (1,658,865,733 | ) | | | (1,765,190,670 | ) | | | (100,065,621 | ) | | | (91,131,388 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 11,289,659,328 | | | | (4,558,179,006 | ) | | | 2,012,382,225 | | | | (408,475,174 | ) |
Class N | | | 2,271,852,073 | | | | (2,001,943,791 | ) | | | 218,937,983 | | | | (321,003,550 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 13,561,511,401 | | | | (6,560,122,797 | ) | | | 2,231,320,208 | | | | (729,478,724 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 14,024,522,945 | | | $ | (8,137,901,332 | ) | | $ | 2,283,222,016 | | | $ | (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 | | $ | 45,726,607,838 | | | $ | 31,702,084,893 | | | $ | 4,018,694,051 | | | $ | 1,735,472,035 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) | | $ | 9,772,655 | | | $ | 12,870,889 | | | $ | 498,241 | | | $ | 793,887 | |
| | | | | | |
| 86 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine
Multi-Asset Growth Fund
(Consolidated) | |
| | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 33,859,605 | | | $ | 26,904,771 | | | $ | 3,753,049 | | | $ | 3,117,142 | |
Net Realized Gain (Loss) on Investments | | | 910,510 | | | | (20,321,605 | ) | | | 4,618,082 | | | | 2,390,264 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (20,412,635 | ) | | | (16,108,225 | ) | | | (547,185 | ) | | | 905,963 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 14,357,480 | | | | (9,525,059 | ) | | | 7,823,946 | | | | 6,413,369 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (24,679,407 | ) | | | (19,891,979 | ) | | | (1,984,995 | ) | | | (1,703,969 | ) |
Class N | | | (10,288,341 | ) | | | (6,995,101 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | (3,186,549 | ) | | | (2,264,145 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (5,281,666 | ) | | | (2,245,080 | ) | | | — | |
Class N | | | — | | | | (2,327,665 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | (3,948,695 | ) | | | — | |
| | | | |
Total Distributions to Shareholders | | | (34,967,748 | ) | | | (34,496,411 | ) | | | (11,365,319 | ) | | | (3,968,114 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 223,550,943 | | | | (252,764,751 | ) | | | (22,074,409 | ) | | | (39,665,897 | ) |
Class N | | | 54,182,018 | | | | 24,323,638 | | | | — | | | | — | |
Class A | | | — | | | | — | | | | (10,306,195 | ) | | | (64,581,935 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 277,732,961 | | | | (228,441,113 | ) | | | (32,380,604 | ) | | | (104,247,832 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 257,122,693 | | | $ | (272,462,583 | ) | | $ | (35,921,977 | ) | | $ | (101,802,577 | ) |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 515,766,624 | | | $ | 788,229,207 | | | $ | 163,025,337 | | | $ | 264,827,914 | |
End of Period | | $ | 772,889,317 | | | $ | 515,766,624 | | | $ | 127,103,360 | | | $ | 163,025,337 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) | | $ | 275,100 | | | $ | 688,465 | | | $ | 2,950,991 | | | $ | 327,510 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 87 |
| | |
| Statements of Changes in Net Assets (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating Rate Fund | |
| | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 43,773,895 | | | $ | 16,098,576 | | | $ | 11,989,619 | | | $ | 7,572,835 | |
Net Realized Gain (Loss) on Investments | | | (2,379,603 | ) | | | 863,812 | | | | (957,215 | ) | | | 273,530 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (7,261,258 | ) | | | 4,227,453 | | | | 874,963 | | | | 764,341 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 34,133,034 | | | | 21,189,841 | | | | 11,907,367 | | | | 8,610,706 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (23,936,627 | ) | | | (9,321,891 | ) | | | (10,079,356 | ) | | | (5,424,016 | ) |
Class N | | | (22,121,181 | ) | | | (9,318,777 | ) | | | (1,871,512 | ) | | | (2,077,972 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | (224,448 | ) | | | (5,406 | ) |
Class N | | | — | | | | — | | | | (41,580 | ) | | | (2,638 | ) |
| | | | |
Total Distributions to Shareholders | | | (46,057,808 | ) | | | (18,640,668 | ) | | | (12,216,896 | ) | | | (7,510,032 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 320,882,912 | | | | 476,032,359 | | | | 33,787,831 | | | | 212,411,666 | |
Class N | | | 92,351,618 | | | | 821,710,023 | | | | (53,064,447 | ) | | | 104,098,336 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 413,234,530 | | | | 1,297,742,382 | | | | (19,276,616 | ) | | | 316,510,002 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 401,309,756 | | | $ | 1,300,291,555 | | | $ | (19,586,145 | ) | | $ | 317,610,676 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 1,913,858,293 | | | $ | 613,566,738 | | | $ | 381,056,558 | | | $ | 63,445,882 | |
End of Period | | $ | 2,315,168,049 | | | $ | 1,913,858,293 | | | $ | 361,470,413 | | | $ | 381,056,558 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) | | $ | 691,496 | | | $ | 232,289 | | | $ | 151,566 | | | $ | 62,412 | |
| | | | | | |
| 88 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Shiller Enhanced
CAPE® | | | DoubleLine Flexible
Income Fund | | | DoubleLine
Low Duration
Emerging Markets
Fixed Income
Fund | |
| | | Year Ended
March 31, 2015 | | | Period Ended
March 31, 20141 | | | Period Ended
March 31, 20152 | | | Period Ended
March 31, 20152 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 4,369,964 | | | $ | 230,903 | | | $ | 2,055,344 | | | $ | 3,532,181 | |
Net Realized Gain (Loss) on Investments | | | 6,152,439 | | | | 41,175 | | | | (23,570 | ) | | | (183,082 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 9,564,812 | | | | 1,350,483 | | | | (508,727 | ) | | | (3,297,442 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 20,087,215 | | | | 1,622,561 | | | | 1,523,047 | | | | 51,657 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (3,813,749 | ) | | | (130,379 | ) | | | (1,461,010 | ) | | | (2,105,211 | ) |
Class N | | | (1,031,003 | ) | | | (95,786 | ) | | | (813,963 | ) | | | (1,382,171 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | (32,317 | ) | | | — | | | | — | | | | (50,222 | ) |
Class N | | | (8,962 | ) | | | — | | | | — | | | | (63,660 | ) |
| | | | |
Total Distributions to Shareholders | | | (4,886,031 | ) | | | (226,165 | ) | | | (2,274,973 | ) | | | (3,601,264 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 259,720,132 | | | | 29,316,916 | | | | 57,939,114 | | | | 66,054,608 | |
Class N | | | 64,717,418 | | | | 10,061,740 | | | | 27,740,490 | | | | 81,805,322 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 324,437,550 | | | | 39,378,656 | | | | 85,679,604 | | | | 147,859,930 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 339,638,734 | | | $ | 40,775,052 | | | $ | 84,927,678 | | | $ | 144,310,323 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 40,775,052 | | | $ | — | | | $ | — | | | $ | — | |
End of Period | | $ | 380,413,786 | | | $ | 40,775,052 | | | $ | 84,927,678 | | | $ | 144,310,323 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) | | $ | 47,374 | | | $ | 4,763 | | | $ | 20,265 | | | $ | 7,429 | |
| 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. | | Annual Report | | March 31, 2015 | | 89 |
| | |
| Statements of Changes in Net Assets (Cont.) | | March 31, 2015 |
| | | | |
| | | DoubleLine
Long Duration
Total Return
Bond Fund | |
| | | Period Ended
March 31, 20151 | |
| |
OPERATIONS | | | | |
Net Investment Income | | $ | 578,097 | |
Net Realized Gain (Loss) on Investments | | | 66,314 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 2,225,813 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 2,870,224 | |
| |
DISTRIBUTIONS TO SHAREHOLDERS | | | | |
From Net Investment Income | | | | |
Class I | | | (445,918 | ) |
Class N | | | (115,335 | ) |
From Net Realized Gain | | | | |
Class I | | | — | |
Class N | | | — | |
| |
Total Distributions to Shareholders | | | (561,253 | ) |
| |
NET SHARE TRANSACTIONS | | | | |
Class I | | | 53,980,829 | |
Class N | | | 19,522,668 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 73,503,497 | |
| |
Total Increase (Decrease) in Net Assets | | $ | 75,812,468 | |
| |
NET ASSETS | | | | |
Beginning of Period | | $ | — | |
End of Period | | $ | 75,812,468 | |
| |
Undistributed (Accumulated) Net Investment Income (Loss) | | $ | 16,844 | |
| 1 | Commencement of operations on December 15, 2014 |
| | | | | | |
| 90 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Financial Highlights | | March 31, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Total Return Bond Fund | |
| | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Year Ended
March 31,
2015 | | | 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 | | | 0.41 | | | | 0.42 | | | | 0.46 | | | | 0.77 | | | | 1.02 | | | | 0.40 | | | | 0.39 | | | | 0.44 | | | | 0.73 | | | | 0.99 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | 0.22 | | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | | | | 0.22 | | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | |
Total from Investment Operations | | | 0.63 | | | | 0.12 | | | | 0.80 | | | | 1.08 | | | | 1.89 | | | | 0.62 | | | | 0.09 | | | | 0.78 | | | | 1.04 | | | | 1.86 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.49 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.49 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Net Asset Value,
End of Period | | $ | 11.04 | | | $ | 10.90 | | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.96 | | | $ | 11.04 | | | $ | 10.89 | | | $ | 11.33 | | | $ | 11.16 | | | $ | 10.96 | |
Total Return | | | 5.93% | | | | 1.13% | | | | 7.37% | | | | 10.18% | | | | 19.28% | 2 | | | 5.76% | | | | 0.88% | | | | 7.11% | | | | 9.83% | | | | 19.04% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 36,286,609 | | | $ | 24,631,306 | | | $ | 30,398,069 | | | $ | 16,226,569 | | | $ | 4,330,408 | | | $ | 9,439,999 | | | $ | 7,070,779 | | | $ | 9,441,917 | | | $ | 6,115,779 | | | $ | 1,479,601 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.47% | | | | 0.47% | | | | 0.48% | | | | 0.50% | | | | 0.53% | 3 | | | 0.72% | | | | 0.72% | | | | 0.73% | | | | 0.75% | | | | 0.78% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.47% | | | | 0.48% | | | | 0.48% | | | | 0.49% | | | | 0.49% | 3 | | | 0.72% | | | | 0.73% | | | | 0.73% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment
Income (Loss) | | | 3.74% | | | | 3.78% | | | | 4.02% | | | | 6.86% | | | | 9.42% | 3 | | | 3.50% | | | | 3.25% | | | | 3.76% | | | | 6.58% | | | | 9.17% | 3 |
Portfolio Turnover Rate | | | 13% | | | | 14% | | | | 23% | | | | 15% | | | | 17% | 2 | | | 13% | | | | 14% | | | | 23% | | | | 15% | | | | 17% | 2 |
| 1 | Commencement of operations on April 6, 2010. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 91 |
| | |
| Financial Highlights (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Core Fixed Income Fund | |
| | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Year Ended
March 31,
2015 | | | 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 | | | 0.39 | | | | 0.41 | | | | 0.36 | | | | 0.50 | | | | 0.57 | | | | 0.37 | | | | 0.40 | | | | 0.33 | | | | 0.47 | | | | 0.55 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.26 | | | | (0.31 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | | | | 0.26 | | | | (0.31 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | |
Total from Investment Operations | | | 0.65 | | | | 0.10 | | | | 0.72 | | | | 1.15 | | | | 0.98 | | | | 0.63 | | | | 0.09 | | | | 0.69 | | | | 1.12 | | | | 0.96 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.43 | ) | | | (0.47 | ) | | | (0.44 | ) | | | (0.52 | ) | | | (0.48 | ) | | | (0.40 | ) | | | (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 | | | (0.43 | ) | | | (0.51 | ) | | | (0.49 | ) | | | (0.55 | ) | | | (0.52 | ) | | | (0.40 | ) | | | (0.50 | ) | | | (0.46 | ) | | | (0.53 | ) | | | (0.50 | ) |
Net Asset Value, End of Period | | $ | 11.10 | | | $ | 10.88 | | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.46 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 11.28 | | | $ | 11.05 | | | $ | 10.46 | |
Total Return | | | 6.07% | | | | 1.03% | | | | 6.53% | | | | 11.19% | | | | 9.90% | 2 | | | 5.91% | | | | 0.77% | | | | 6.27% | | | | 10.85% | | | | 9.71% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 3,406,628 | | | $ | 1,351,760 | | | $ | 1,829,092 | | | $ | 1,544,169 | | | $ | 158,043 | | | $ | 612,066 | | | $ | 383,712 | | | $ | 731,957 | | | $ | 539,143 | | | $ | 30,586 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.46% | | | | 0.48% | | | | 0.51% | | | | 0.54% | | | | 0.85% | 3 | | | 0.71% | | | | 0.73% | | | | 0.76% | | | | 0.79% | | | | 1.09% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.47% | | | | 0.48% | | | | 0.50% | | | | 0.49% | | | | 0.49% | 3 | | | 0.72% | | | | 0.73% | | | | 0.75% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment Income (Loss) | | | 3.60% | | | | 3.76% | | | | 3.14% | | | | 4.51% | | | | 6.56% | 3 | | | 3.39% | | | | 3.32% | | | | 2.91% | | | | 4.22% | | | | 6.38% | 3 |
Portfolio Turnover Rate | | | 65% | | | | 53% | | | | 83% | | | | 81% | | | | 84% | 2 | | | 65% | | | | 53% | | | | 83% | | | | 81% | | | | 84% | 2 |
| 1 | Commencement of operations on June 1, 2010. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 92 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Emerging Markets Fixed Income Fund | |
| | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Year Ended
March 31,
2015 | | | 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 | | | 0.55 | | | | 0.46 | | | | 0.38 | | | | 0.58 | | | | 0.60 | | | | 0.52 | | | | 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 | | | 0.31 | | | | 0.08 | | | | 0.84 | | | | 0.81 | | | | 1.12 | | | | 0.28 | | | | 0.06 | | | | 0.82 | | | | 0.78 | | | | 1.10 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.56 | ) | | | (0.48 | ) | | | (0.38 | ) | | | (0.58 | ) | | | (0.52 | ) | | | (0.53 | ) | | | (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 | | | (0.56 | ) | | | (0.63 | ) | | | (0.51 | ) | | | (0.68 | ) | | | (0.55 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.49 | ) | | | (0.65 | ) | | | (0.53 | ) |
Net Asset Value, End of Period | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | |
Total Return | | | 2.90% | | | | 0.95% | | | | 8.04% | | | | 7.96% | | | | 11.48% | 2 | | | 2.64% | | | | 0.69% | | | | 7.78% | | | | 7.71% | | | | 11.25% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 539,542 | | | $ | 331,790 | | | $ | 620,479 | | | $ | 349,926 | | | $ | 106,227 | | | $ | 233,347 | | | $ | 183,977 | | | $ | 167,750 | | | $ | 81,484 | | | $ | 26,277 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.90% | | | | 0.92% | | | | 0.91% | | | | 0.95% | | | | 1.32% | 3 | | | 1.15% | | | | 1.17% | | | | 1.16% | | | | 1.20% | | | | 1.57% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.90% | | | | 0.92% | | | | 0.91% | | | | 0.95% | | | | 0.95% | 3 | | | 1.15% | | | | 1.17% | | | | 1.16% | | | | 1.20% | | | | 1.20% | 3 |
Net Investment Income (Loss) | | | 5.20% | | | | 4.40% | | | | 3.53% | | | | 5.47% | | | | 5.85% | 3 | | | 4.95% | | | | 4.25% | | | | 3.30% | | | | 5.26% | | | | 5.66% | 3 |
Portfolio Turnover Rate | | | 67% | | | | 79% | | | | 105% | | | | 177% | | | | 109% | 2 | | | 67% | | | | 79% | | | | 105% | | | | 177% | | | | 109% | 2 |
| 1 | Commencement of operations on April 6, 2010. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 93 |
| | |
| Financial Highlights (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2012 | | | Period Ended
March 31,
20111 | | | Year Ended
March 31,
2015 | | | 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 | | | 0.28 | | | | 0.18 | | | | 0.31 | | | | 0.42 | | | | 0.10 | | | | 0.26 | | | | 0.12 | | | | 0.29 | | | | 0.41 | | | | 0.10 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.32 | | | | 0.18 | | | | (0.06 | ) | | | (0.16 | ) | | | 0.02 | | | | 0.32 | | | | 0.19 | | | | (0.06 | ) | | | (0.16 | ) | | | — | |
Total from Investment Operations | | | 0.60 | | | | 0.36 | | | | 0.25 | | | | 0.26 | | | | 0.12 | | | | 0.58 | | | | 0.31 | | | | 0.23 | | | | 0.25 | | | | 0.10 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.40 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.38 | ) | | | (0.19 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Distributions from Net Realized Gain | | | (0.49 | ) | | | — | | | | — | | | | — | | | | — | | | | (0.49 | ) | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.89 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.87 | ) | | | (0.19 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Net Asset Value, End of Period | | $ | 9.81 | | | $ | 10.10 | | | $ | 9.96 | | | $ | 10.03 | | | $ | 10.11 | | | $ | 9.78 | | | $ | 10.07 | | | $ | 9.95 | | | $ | 10.02 | | | $ | 10.09 | |
Total Return5 | | | 6.22% | | | | 3.65% | | | | 2.49% | | | | 2.67% | | | | 1.24% | 2 | | | 5.96% | | | | 3.28% | | | | 2.19% | | | | 2.57% | | | | 1.02% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 42,796 | | | $ | 66,292 | | | $ | 105,114 | | | $ | 85,073 | | | $ | 22,128 | | | $ | 84,307 | | | $ | 96,734 | | | $ | 159,714 | | | $ | 42,261 | | | $ | 6,071 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 1.09% | | | | 1.26% | | | | 1.35% | | | | 1.51% | | | | 5.11% | 3 | | | 1.34% | | | | 1.51% | | | | 1.60% | | | | 1.76% | | | | 6.05% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.99% | | | | 1.13% | | | | 1.10% | | | | 1.09% | | | | 1.18% | 3 | | | 1.24% | | | | 1.38% | | | | 1.35% | | | | 1.34% | | | | 1.43% | 3 |
Net Investment Income (Loss) | | | 2.87% | | | | 1.67% | | | | 3.11% | | | | 4.14% | | | | 3.57% | 3 | | | 2.66% | | | | 1.01% | | | | 2.48% | | | | 3.88% | | | | 3.57% | 3 |
Portfolio Turnover Rate | | | 86% | | | | 150% | | | | 88% | | | | 48% | | | | 19% | 2 | | | 86% | | | | 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. |
| | | | | | |
| 94 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Bond Fund | |
| | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Period Ended
March 31,
20121 | | | Year Ended
March 31,
2015 | | | 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 | | | 0.22 | | | | 0.15 | | | | 0.20 | | | | 0.11 | | | | 0.19 | | | | 0.13 | | | | 0.17 | | | | 0.09 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.04 | ) | | | — | | | | 0.09 | | | | 0.13 | | | | (0.04 | ) | | | — | | | | 0.09 | | | | 0.13 | |
Total from Investment Operations | | | 0.18 | | | | 0.15 | | | | 0.29 | | | | 0.24 | | | | 0.15 | | | | 0.13 | | | | 0.26 | | | | 0.22 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.23 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.21 | ) | | | (0.07 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.23 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.21 | ) | | | (0.07 | ) |
Net Asset Value, End of Period | | $ | 10.14 | | | $ | 10.19 | | | $ | 10.21 | | | $ | 10.16 | | | $ | 10.13 | | | $ | 10.18 | | | $ | 10.20 | | | $ | 10.15 | |
Total Return | | | 1.76% | | | | 1.51% | | | | 2.88% | | | | 2.44% | 2 | | | 1.51% | | | | 1.26% | | | | 2.64% | | | | 2.25% | 2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 1,166,438 | | | $ | 851,771 | | | $ | 375,840 | | | $ | 132,117 | | | $ | 1,148,730 | | | $ | 1,062,088 | | | $ | 237,727 | | | $ | 85,343 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.44% | | | | 0.48% | | | | 0.53% | | | | 0.94% | 3 | | | 0.69% | | | | 0.73% | | | | 0.78% | | | | 1.19% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.46% | | | | 0.47% | | | | 0.47% | | | | 0.47% | 3 | | | 0.71% | | | | 0.72% | | | | 0.72% | | | | 0.72% | 3 |
Net Investment Income (Loss) | | | 2.16% | | | | 1.46% | | | | 1.98% | | | | 2.10% | 3 | | | 1.90% | | | | 1.30% | | | | 1.70% | | | | 1.74% | 3 |
Portfolio Turnover Rate | | | 61% | | | | 53% | | | | 71% | | | | 46% | 2 | | | 61% | | | | 53% | | | | 71% | | | | 46% | 2 |
| 1 | Commencement of operations on September 30, 2011. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 95 |
| | |
| Financial Highlights (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Floating Rate Fund | |
| | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 31,
20131 | | | Year Ended
March 31,
2015 | | | 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 | | | 0.34 | | | | 0.27 | | | | — | | | | 0.32 | | | | 0.25 | | | | — | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | — | | | | 0.04 | | | | 0.08 | | | | — | | | | 0.05 | | | | 0.08 | |
Total from Investment Operations | | | 0.34 | | | | 0.31 | | | | 0.08 | | | | 0.32 | | | | 0.30 | | | | 0.08 | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.34 | ) | | | (0.24 | ) | | | — | | | | (0.31 | ) | | | (0.22 | ) | | | — | |
Distributions from Net Realized Gain | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | — | | | | — | |
Total Distributions | | | (0.35 | ) | | | (0.24 | ) | | | — | | | | (0.32 | ) | | | (0.22 | ) | | | — | |
Net Asset Value, End of Period | | $ | 10.14 | | | $ | 10.15 | | | $ | 10.08 | | | $ | 10.16 | | | $ | 10.16 | | | $ | 10.08 | |
Total Return | | | 3.36 | % | | | 3.07 | % | | | 0.80 | %2 | | | 3.19 | % | | | 2.93 | % | | | 0.80 | %2 |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 310,368 | | | $ | 276,737 | | | $ | 63,436 | | | $ | 51,103 | | | $ | 104,320 | | | $ | 10 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.67 | % | | | 0.73 | % | | | 2.01 | %3 | | | 0.92 | % | | | 0.98 | % | | | 2.26 | %3 |
Expenses After Fees (Waived)/Recouped | | | 0.70 | % | | | 0.73 | % | | | 0.75 | %3 | | | 0.95 | % | | | 0.98 | % | | | 1.00 | %3 |
Net Investment Income (Loss) | | | 3.35 | % | | | 2.68 | % | | | (0.13 | )%3 | | | 3.06 | % | | | 2.68 | % | | | (0.13 | )%3 |
Portfolio Turnover Rate | | | 84 | % | | | 66 | % | | | 20 | %2 | | | 84 | % | | | 66 | % | | | 20 | %2 |
| 1 | Commencement of operations on February 1, 2013. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 96 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | |
| | | Year Ended
March 31, 2015 | | | Period Ended
March 31, 20141 | | | Year Ended
March 31, 2015 | | | 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 | | | 0.34 | | | | 0.11 | | | | 0.30 | | | | 0.10 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 1.45 | | | | 0.67 | | | | 1.45 | | | | 0.67 | |
Total from Investment Operations | | | 1.79 | | | | 0.78 | | | | 1.75 | | | | 0.77 | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.34 | ) | | | (0.10 | ) | | | (0.31 | ) | | | (0.09 | ) |
Distributions from Net Realized Gain | | | — | 5 | | | — | | | | — | 5 | | | — | |
Total Distributions | | | (0.34 | ) | | | (0.10 | ) | | | (0.31 | ) | | | (0.09 | ) |
Net Asset Value, End of Period | | $ | 12.13 | | | $ | 10.68 | | | $ | 12.12 | | | $ | 10.68 | |
Total Return | | | 16.96% | | | | 7.83% | 2 | | | 16.60% | | | | 7.73% | 2 |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 301,580 | | | $ | 30,061 | | | $ | 78,834 | | | $ | 10,714 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.79% | | | | 4.98% | 3 | | | 1.04% | | | | 5.23% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.62% | | | | 0.65% | 3 | | | 0.87% | | | | 0.90% | 3 |
Net Investment Income (Loss) | | | 2.89% | | | | 2.64% | 3 | | | 2.63% | | | | 2.35% | 3 |
Portfolio Turnover Rate | | | 68% | | | | 120% | 2 | | | 68% | | | | 120% | 2 |
| 1 | Commencement of operations on October 31, 2013. |
| 4 | Calculated based on average shares outstanding during the period. |
| 5 | Less than $0.01 per share. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2015 | | 97 |
| | |
| Financial Highlights (Cont.) | | March 31, 2015 |
| | | | | | | | |
| | | DoubleLine Flexible Income Fund | |
| | | Period Ended
March 31, 20151 | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class N | |
| | |
Net Asset Value, Beginning of Period | | $ | 10.00 | | | $ | 10.00 | |
| | |
Income (Loss) from Investment Operations: | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.42 | | | | 0.40 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.04 | ) | | | (0.04 | ) |
Total from Investment Operations | | | 0.38 | | | | 0.36 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.39 | ) | | | (0.37 | ) |
Distributions from Net Realized Gain | | | — | | | | — | |
Total Distributions | | | (0.39 | ) | | | (0.37 | ) |
Net Asset Value, End of Period | | $ | 9.99 | | | $ | 9.99 | |
Total Return | | | 3.85% | 2 | | | 3.63% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 57,511 | | | $ | 27,417 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 1.27% | 3 | | | 1.52% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.76% | 3 | | | 1.01% | 3 |
Net Investment Income (Loss) | | | 4.26% | 3 | | | 4.08% | 3 |
Portfolio Turnover Rate | | | 55% | 2 | | | 55% | 2 |
| 1 | Commencement of operations on April 7, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 98 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | |
| | | DoubleLine Low Duration Emerging Markets Fixed
Income Fund | |
| | | Period Ended
March 31, 20151 | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class N | |
| | |
Net Asset Value, Beginning of Period | | $ | 10.00 | | | $ | 10.00 | |
| | |
Income (Loss) from Investment Operations: | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.37 | | | | 0.35 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.17 | ) | | | (0.17 | ) |
Total from Investment Operations | | | 0.20 | | | | 0.18 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.36 | ) | | | (0.33 | ) |
Distributions from Net Realized Gain | | | (0.01 | ) | | | (0.01 | ) |
Total Distributions | | | (0.37 | ) | | | (0.34 | ) |
Net Asset Value, End of Period | | $ | 9.83 | | | $ | 9.84 | |
Total Return | | | 1.92% | 2 | | | 1.80% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 64,891 | | | $ | 79,419 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.91% | 3 | | | 1.16% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.59% | 3 | | | 0.84% | 3 |
Net Investment Income (Loss) | | | 3.80% | 3 | | | 3.58% | 3 |
Portfolio Turnover Rate | | | 21% | 2 | | | 21% | 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. | | Annual Report | | March 31, 2015 | | 99 |
| | |
| Financial Highlights (Cont.) | | March 31, 2015 |
| | | | | | | | |
| | | DoubleLine Long Duration Total Return
Bond Fund | |
| | | Period Ended
March 31, 20151 | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class N | |
| | |
Net Asset Value, Beginning of Period | | $ | 10.00 | | | $ | 10.00 | |
| | |
Income (Loss) from Investment Operations: | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.10 | | | | 0.09 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.41 | | | | 0.41 | |
Total from Investment Operations | | | 0.51 | | | | 0.50 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.08 | ) | | | (0.08 | ) |
Distributions from Net Realized Gain | | | — | | | | — | |
Total Distributions | | | (0.08 | ) | | | (0.08 | ) |
Net Asset Value, End of Period | | $ | 10.43 | | | $ | 10.42 | |
Total Return | | | 5.15% | 2 | | | 4.99% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 56,240 | | | $ | 19,572 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 1.33% | 3 | | | 1.58% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.65% | 3 | | | 0.90% | 3 |
Net Investment Income (Loss) | | | 3.02% | 3 | | | 3.00% | 3 |
Portfolio Turnover Rate | | | 72% | 2 | | | 72% | 2 |
| 1 | Commencement of operations on December 15, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 100 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Notes to Financial Statements | | March 31, 2015 |
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 11 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, DoubleLine Selective Credit Fund and Doubleline Long Duration Total Return Bond 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 annual report.
The Funds’ investment objectives and commencement of operations of each share class are as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | Commencement of Operations | |
| Fund Name | | | | Investment Objective | | | | I Shares | | | N Shares | | | A Shares | |
DoubleLine Total Return Bond Fund | | | | Maximize total return | | | | | 4/6/2010 | | | | 4/6/2010 | | | | — | |
DoubleLine Core Fixed Income Fund | | | | Maximize current income and total return | | | | | 6/1/2010 | | | | 6/1/2010 | | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | Seek high total return from current income and capital appreciation | | | | | 4/6/2010 | | | | 4/6/2010 | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | Seek long-term capital appreciation | | | | | 12/20/2010 | | | | — | | | | 12/20/2010 | |
DoubleLine Low Duration Bond Fund | | | | Seek current income | | | | | 9/30/2011 | | | | 9/30/2011 | | | | — | |
DoubleLine Floating Rate Fund | | | | Seek high level of current income | | | | | 2/1/2013 | | | | 2/1/2013 | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | Seek total return which exceeds the total return of its benchmark index | | | | | 10/31/2013 | | | | 10/31/2013 | | | | — | |
DoubleLine Flexible Income Fund | | | | Seek long-term total return while striving to generate current income | | | | | 4/7/2014 | | | | 4/7/2014 | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | Seek long-term total return | | | | | 4/7/2014 | | | | 4/7/2014 | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | Seek long-term total return | | | | | 12/15/2014 | | | | 12/15/2014 | | | | — | |
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 Funds are 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 |
US bonds and notes of government and government agencies | | | | Standard inputs |
Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) | | | | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports |
Bank loans | | | | Quotations from dealers and trading systems |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 101 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
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 March 31, 2015, the Funds did not hold any investments in private investment funds.
Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, 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 March 31, 20151:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | | | DoubleLine
Total Return
Bond Fund | | | DoubleLine
Core Fixed
Income Fund | | | DoubleLine
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating
Rate Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | $ | 792,656,949 | | | $ | 198,258,049 | | | $ | 4,660,329 | | | $ | 19,757,696 | | | $ | 6,614,913 | | | $ | 36,300,436 | |
Affiliated Mutual Funds | | | | | — | | | | 159,592,440 | | | | — | | | | 43,006,882 | | | | 49,150,000 | | | | — | |
Exchange Traded Funds and Common Stock | | | | | — | | | | — | | | | — | | | | 26,730,536 | | | | — | | | | — | |
Real Estate Investment Trusts | | | | | — | | | | — | | | | — | | | | 2,335,328 | | | | — | | | | — | |
Total Level 1 | | | | | 792,656,949 | | | | 357,850,489 | | | | 4,660,329 | | | | 91,830,442 | | | | 55,764,913 | | | | 36,300,436 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
US Government / Agency Mortgage Backed Obligations | | | | | 22,793,434,085 | | | | 769,118,835 | | | | — | | | | 5,791,489 | | | | 23,442,161 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 10,177,335,831 | | | | 342,630,340 | | | | — | | | | 10,599,076 | | | | 250,109,975 | | | | — | |
Other Short Term Investments | | | | | 3,321,701,237 | | | | — | | | | — | | | | 8,499,810 | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | 3,420,793,330 | | | | 199,732,030 | | | | — | | | | — | | | | 406,282,281 | | | | — | |
Collateralized Loan Obligations | | | | | 2,253,616,911 | | | | 181,191,686 | | | | — | | | | 6,902,893 | | | | 470,190,281 | | | | — | |
US Government Bonds and Notes | | | | | 2,023,483,800 | | | | 667,058,903 | | | | — | | | | — | | | | 161,129,374 | | | | — | |
US Government Sponsored Banks | | | | | 601,747,000 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | | | 173,196,092 | | | | 25,386,427 | | | | — | | | | — | | | | 24,696,800 | | | | — | |
US Corporate Bonds | | | | | — | | | | 668,993,468 | | | | — | | | | 822,002 | | | | 215,076,266 | | | | 19,027,909 | |
Foreign Corporate Bonds | | | | | — | | | | 535,388,005 | | | | 734,734,759 | | | | — | | | | 445,358,305 | | | | — | |
Municipal Bonds | | | | | — | | | | 157,655,643 | | | | — | | | | 2,056,250 | | | | — | | | | — | |
Bank Loans | | | | | — | | | | 75,200,417 | | | | — | | | | — | | | | 227,856,519 | | | | 326,799,568 | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | — | | | | 24,674,934 | | | | 17,123,500 | | | | — | | | | 6,765,211 | | | | — | |
Total Level 2 | | | | | 44,765,308,286 | | | | 3,647,030,688 | | | | 751,858,259 | | | | 34,671,520 | | | | 2,230,907,173 | | | | 345,827,477 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 642,376,417 | | | | 18,846,456 | | | | — | | | | 372,436 | | | | 10,818,960 | | | | — | |
Asset Backed Obligations | | | | | 54,475,200 | | | | — | | | | — | | | | — | | | | 5,044,000 | | | | — | |
Total Level 3 | | | | | 696,851,617 | | | | 18,846,456 | | | | — | | | | 372,436 | | | | 15,862,960 | | | | — | |
Total | | | | $ | 46,254,816,852 | | | $ | 4,023,727,633 | | | $ | 756,518,588 | | | $ | 126,874,398 | | | $ | 2,302,535,046 | | | $ | 382,127,913 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | $ | — | | | $ | — | | | $ | — | | | $ | 137,674 | | | $ | — | | | $ | — | |
Total Level 1 | | | | | — | | | | — | | | | — | | | | 137,674 | | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | | | — | | | | — | | | | — | | | | (246,222 | ) | | | — | | | | — | |
Swaps | | | | | — | | | | — | | | | — | | | | (434,821 | ) | | | — | | | | — | |
Total Level 2 | | | | | — | | | | — | | | | — | | | | (681,043 | ) | | | — | | | | — | |
Level 3 | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | $ | — | | | $ | — | | | $ | — | | | $ | (543,369 | ) | | $ | — | | | $ | — | |
| | | | | | |
| 102 | | DoubleLine Funds Trust | | | | |
| | | | | | | | | | | | | | | | | | |
| Category | | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible
Income Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | $ | 41,204,368 | | | $ | 2,970,905 | | | $ | 361,908 | | | $ | 1,941,512 | |
Affiliated Mutual Funds | | | | | — | | | | 8,175,333 | | | | — | | | | — | |
Total Level 1 | | | | | 41,204,368 | | | | 11,146,238 | | | | 361,908 | | | | 1,941,512 | |
Level 2 | | | | | | | | | | | | | | | | | | |
Collateralized Loan Obligations | | | | | 69,226,254 | | | | 16,868,287 | | | | — | | | | — | |
Foreign Corporate Bonds | | | | | 67,955,348 | | | | 16,303,212 | | | | 141,888,313 | | | | — | |
US Corporate Bonds | | | | | 58,528,915 | | | | 9,656,682 | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | 55,049,081 | | | | 8,403,098 | | | | — | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 37,141,494 | | | | 19,651,008 | | | | — | | | | — | |
US Government Bonds and Notes | | | | | 26,118,621 | | | | — | | | | — | | | | 28,962,917 | |
Bank Loans | | | | | 16,590,883 | | | | — | | | | 726,137 | | | | — | |
US Government / Agency Mortgage Backed Obligations | | | | | 11,456,676 | | | | 1,002,982 | | | | — | | | | 44,682,750 | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | 257,323 | | | | 206,000 | | | | — | | | | — | |
Total Level 2 | | | | | 342,324,595 | | | | 72,091,269 | | | | 142,614,450 | | | | 73,645,667 | |
Level 3 | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 1,648,460 | | | | 591,072 | | | | — | | | | — | |
Asset Backed Obligations | | | | | — | | | | 1,008,800 | | | | — | | | | — | |
Total Level 3 | | | | | 1,648,460 | | | | 1,599,872 | | | | — | | | | — | |
Total | | | | $ | 385,177,423 | | | $ | 84,837,379 | | | $ | 142,976,358 | | | $ | 75,587,179 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | |
Level 1 | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Level 2 | | | | | | | | | | | | | | | | | | |
Swaps | | | | | 10,634,293 | | | | — | | | | — | | | | — | |
Total Level 2 | | | | | 10,634,293 | | | | — | | | | — | | | | — | |
Level 3 | | | | | — | | | | — | | | | — | | | | — | |
Total | | | | $ | 10,634,293 | | | $ | — | | | $ | — | | | $ | — | |
| 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 March 31, 2015. |
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) | | | Change in Net
Unrealized
Appreciation
(Depreciation)4 | | | Net Accretion
(Amortization) | | | Purchases1 | | | Sales2 | | | Transfers Into
Level 33 | | | Transfers Out
of Level 33 | | | Balance as of
3/31/2015 | | | Change in Net
Unrealized
Appreciation
(Depreciation)
on securities
held at
3/31/20154 | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | $ | 862,153,296 | | | $ | 3,508,756 | | | $ | (4,770,524 | ) | | $ | 32,366,594 | | | $ | 10,453,882 | | | $ | (26,478,527 | ) | | $ | 61,700,713 | | | $ | (296,557,773 | ) | | $ | 642,376,417 | | | $ | (7,599,398 | ) |
Asset Backed Obligations | | | | | — | | | | — | | | | 475,200 | | | | — | | | | 54,000,000 | | | | — | | | | — | | | | — | | | | 54,475,200 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | $ | 862,153,296 | | | $ | 3,508,756 | | | $ | (4,295,324 | ) | | $ | 32,366,594 | | | $ | 64,453,882 | | | $ | (26,478,527 | ) | | $ | 61,700,713 | | | $ | (296,557,773 | ) | | $ | 696,851,617 | | | $ | (7,599,398 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 103 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| DoubleLine Flexible Income Fund | | | | Balance as of
4/7/2014 | | | Net Realized
Gain (Loss) | | | Change in Net
Unrealized
Appreciation
(Depreciation)4 | | | Net Accretion
(Amortization) | | | Purchases1 | | | Sales2 | | | Transfers Into
Level 3 3 | | | Transfers Out
of Level 3 3 | | | Balance as of
3/31/2015 | | | Change in Net
Unrealized
Appreciation
(Depreciation)
on securities
held at
3/31/20154 | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | $ | — | | | $ | 4,151 | | | $ | (6,863 | ) | | $ | 11,112 | | | $ | 601,782 | | | $ | (19,110 | ) | | $ | — | | | $ | — | | | $ | 591,072 | | | $ | — | |
Asset Backed Obligations | | | | | — | | | | — | | | | 8,800 | | | | — | | | | 1,000,000 | | | | — | | | | — | | | | — | | | | 1,008,800 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | $ | — | | | $ | 4,151 | | | $ | 1,937 | | | $ | 11,112 | | | $ | 1,601,782 | | | $ | (19,110 | ) | | $ | — | | | $ | — | | | $ | 1,599,872 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Purchases include all purchases of securities and payups. |
| 2 | Sales include all sales of securities, maturities, and paydowns. |
| 3 | Transfers between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
| 4 | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at March 31, 2015 may be due to a security that was not held or categorized as Level 3 at either period end. |
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| | | | | | | | | | | | | | | | |
| DoubleLine Total Return Bond Fund | | Fair Value as of
3/31/2015* | | | Valuation Techniques | | Unobservable
Input | | | Input Values | | | Impact to valuation from an increase to input |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 642,376,417 | | | Market Comparables | | | Market Quotes | | | $ | 49.19 - $125.15 | | | Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security |
Asset Backed Obligations | | $ | 54,475,200 | | | Market Comparables | | | Market Quotes | | | $ | 100.36 - $100.88 | | | Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security |
| | | | | |
| DoubleLine Flexible Income Fund | | Fair Value as of
3/31/2015 * | | | Valuation Techniques | | Unobservable
Input | | | Input Values | | | Impact to valuation from an increase to input |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 591,072 | | | Market Comparables | | | Market Quotes | | | $ | 73.18 - $95.95 | | | Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security |
Asset Backed Obligations | | $ | 1,008,800 | | | Market Comparables | | | Market Quotes | | | $ | 100.88 | | | 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 March 31, 2015 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, 2015. 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 action 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.
| | | | | | |
| 104 | | DoubleLine Funds Trust | | | | |
D. Dividends and Distributions to Shareholders. With the exception of the DoubleLine Multi-Asset Growth Fund, dividends from net investment income 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 US GAAP. 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 US GAAP 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 New York Stock Exchange is closed for trading, or, except with respect to DoubleLine Multi-Asset Growth Fund, on holidays when the principal U.S. bond markets are closed, such as Columbus Day and Veterans Day.
G. Unfunded Loan Commitments. The Funds may enter into certain credit agreements, 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 Funds 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 March 31, 2015 net assets of the DoubleLine Multi-Asset Growth Fund were $127,103,360 of which $10,302,358, or approximately 8.11%, 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 providing certain resources to assist with 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 rates of the average daily net assets of the Funds (the “Advisory Fee”) in the following table. 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 Funds’ ordinary operating expenses so that its ratio of such expenses to average net assets will not exceed the following ratios (the “Expense Caps”). 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. With the exception of the DoubleLine Long Duration Total Return Bond Fund, each Fund’s expense limitation is expected to apply until at least July 31, 2016. The DoubleLine Long Duration Total Return Bond Fund’s expense limitation is expected to apply until at least November 20, 2016. Each may be terminated during the term only by a majority vote of the disinterested Trustees of the Board.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 105 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | Expense Caps | |
| | | | | Advisory Fee | | | I Shares | | | N Shares | | | A Shares | |
DoubleLine Total Return Bond Fund | | | | | 0.40% | | | | N/A | | | | N/A | | | | N/A | |
DoubleLine Core Fixed Income Fund | | | | | 0.40% | | | | N/A | | | | N/A | | | | N/A | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 0.75% | | | | 0.95% | | | | 1.20% | | | | N/A | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 1.00% | | | | 1.20% | | | | N/A | | | | 1.45% | |
DoubleLine Low Duration Bond Fund | | | | | 0.35% | | | | 0.47% | | | | 0.72% | | | | N/A | |
DoubleLine Floating Rate Fund | | | | | 0.50% | | | | 0.75% | | | | 1.00% | | | | N/A | |
DoubleLine Shiller Enhanced CAPE® | | | | | 0.45% | | | | 0.65% | | | | 0.90% | | | | N/A | |
DoubleLine Flexible Income Fund | | | | | 0.62% | | | | 0.82% | | | | 1.07% | | | | N/A | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 0.50% | | | | 0.59% | | | | 0.84% | | | | N/A | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 0.50% | | | | 0.65% | | | | 0.90% | | | | N/A | |
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 in the following table:
| | | | | | | | | | | | | | |
| | | | | March 31, | |
| | | | | 2016 | | | 2017 | | | 2018 | |
DoubleLine Total Return Bond Fund | | | | $ | — | | | $ | — | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 203,659 | | | | — | | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | — | | | | — | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 391,977 | | | | 283,515 | | | | 133,348 | |
DoubleLine Low Duration Bond Fund | | | | | 91,042 | | | | 105,391 | | | | 32,417 | |
DoubleLine Floating Rate Fund | | | | | — | | | | — | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | — | | | | 399,206 | | | | 270,166 | |
DoubleLine Flexible Income Fund | | | | | — | | | | — | | | | 248,339 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | — | | | | — | | | | 302,278 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | — | | | | — | | | | 130,444 | |
For the year ended March 31, 2015, the Adviser recouped from the following Funds:
| | | | | | |
DoubleLine Total Return Bond Fund | | | | $ | 722,048 | |
DoubleLine Core Fixed Income Fund | | | | | 227,297 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 11,145 | |
DoubleLine Low Duration Bond Fund | | | | | 361,519 | |
DoubleLine Floating Rate Fund | | | | | 84,103 | |
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.
| | | | | | |
| 106 | | DoubleLine Funds Trust | | | | |
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 the following fees for the year ended March 31, 2015:
| | | | | | |
DoubleLine Core Fixed Income Fund | | | | $ | 618,884 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 287,944 | |
DoubleLine Low Duration Bond Fund | | | | | 245,663 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 47,068 | |
DoubleLine Flexible Income Fund | | | | | 27,677 | |
As of March 31, 2015, significant ownership of the following funds by other DoubleLine Funds was as follows:
| | | | | | | | |
| Affiliated Fund Held | | | | % Owned | | | Significant Owner |
DoubleLine Floating Rate Fund | | | | | 30% | | | DoubleLine Core Fixed Income Fund |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 34% | | | DoubleLine Low Duration Bond Fund |
DoubleLine Long Duration Total Return Bond Fund | | | | | 69% | | | DoubleLine Core Fixed Income Fund |
DoubleLine Equities Growth Fund | | | | | 31% | | | DoubleLine Multi-Asset Growth Fund (Consolidated) |
4. Distribution, Sales Charge and Redemption Fees
Class N shares and Class A shares of the Funds make payments under a distribution plan (the “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 March 31, 2015 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 | | | | $ | 15,943,480,886 | | | $ | 4,475,994,222 | | | $ | — | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 2,548,834,379 | | | | 796,587,943 | | | | 886,738,608 | | | | 696,150,910 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 701,011,809 | | | | 432,247,902 | | | | — | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 95,671,141 | | | | 87,402,007 | | | | — | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | 1,463,953,871 | | | | 959,395,278 | | | | 381,061,242 | | | | 286,683,963 | |
DoubleLine Floating Rate Fund | | | | | 287,836,440 | | | | 303,663,502 | | | | — | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | 361,359,631 | | | | 84,541,412 | | | | 36,921,024 | | | | 12,013,371 | |
DoubleLine Flexible Income Fund | | | | | 109,133,582 | | | | 27,348,564 | | | | — | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 166,647,955 | | | | 20,191,886 | | | | — | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 117,664,842 | | | | 46,455,746 | | | | — | | | | — | |
| 1 | U.S. Government transactions are defined as those involving U.S. Treasury bills, bonds, and notes. |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 107 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
6. Income Tax Information
The tax character of distributions for the Funds were as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | Period Ended March 31, 2015 | | | Period Ended March 31, 2014 | |
| | | | | Ordinary Income | | | Long Term
Capital Gain | | | Ordinary Income | | | Long Term
Capital Gain | |
DoubleLine Total Return Bond Fund | | | | $ | 1,658,865,733 | | | $ | — | | | $ | 1,765,190,670 | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 100,065,621 | | | | — | | | | 85,341,715 | | | | 5,789,673 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 34,967,748 | | | | — | | | | 33,266,474 | | | | 1,229,937 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 8,783,328 | | | | 2,581,991 | | | | 3,968,114 | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | 46,057,808 | | | | — | | | | 18,640,668 | | | | — | |
DoubleLine Floating Rate Fund | | | | | 12,204,973 | | | | 11,923 | | | | 7,510,032 | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | 4,864,087 | | | | 21,944 | | | | 226,165 | | | | — | |
DoubleLine Flexible Income Fund | | | | | 2,274,973 | | | | — | | | | — | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 3,601,264 | | | | — | | | | — | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 561,253 | | | | — | | | | — | | | | — | |
The Funds 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 Funds related to net capital gain to zero.
The cost basis of investments for federal income tax purposes as of March 31, 2015 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 | |
Tax Cost of Investments | | | | $ | 45,554,938,909 | | | $ | 3,970,192,948 | | | $ | 779,829,794 | | | $ | 126,751,281 | | | $ | 2,302,288,687 | | | $ | 380,075,656 | |
Gross Tax Unrealized Appreciation | | | | | 1,499,557,487 | | | | 95,540,635 | | | | 13,128,050 | | | | 9,696,554 | | | | 13,266,472 | | | | 2,997,096 | |
Gross Tax Unrealized Depreciation | | | | | (799,679,544 | ) | | | (42,005,950 | ) | | | (36,439,256 | ) | | | (9,573,437 | ) | | | (13,020,113 | ) | | | (944,839 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | | 699,877,943 | | | | 53,534,685 | | | | (23,311,206 | ) | | | 123,117 | | | | 246,359 | | | | 2,052,257 | |
| | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine
Shiller Enhanced
CAPE® | | | DoubleLine
Flexible Income
Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | |
Tax Cost of Investments | | | | $ | 384,933,183 | | | $ | 85,355,320 | | | $ | 146,340,364 | | | $ | 73,398,267 | |
Gross Tax Unrealized Appreciation | | | | | 13,686,192 | | | | 701,052 | | | | 871,218 | | | | 2,291,629 | |
Gross Tax Unrealized Depreciation | | | | | (13,441,952 | ) | | | (1,218,993 | ) | | | (4,235,224 | ) | | | (102,717 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | | 244,240 | | | | (517,941 | ) | | | (3,364,006 | ) | | | 2,188,912 | |
As of March 31, 2015, the components of accumulated earnings (losses) for income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Total
Return Bond Fund | | | DoubleLine Core
Fixed Income Fund | | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine Multi-
Asset Growth Fund
(Consolidated) | | | DoubleLine Low
Duration Bond
Fund | | | DoubleLine
Floating
Rate Fund | |
Net Tax Unrealized Appreciation (Depreciation) | | | | $ | 699,877,943 | | | $ | 53,534,685 | | | $ | (23,311,206 | ) | | $ | 123,117 | | | $ | 246,359 | | | $ | 2,052,257 | |
Undistributed Ordinary Income | | | | | 59,482,306 | | | | 3,694,546 | | | | 953,604 | | | | 2,856,225 | | | | 1,692,303 | | | | 782,387 | |
Undistributed Long Term Capital Gain | | | | | — | | | | — | | | | — | | | | 1,826,336 | | | | — | | | | — | |
Total Distributable Earnings | | | | | 59,482,306 | | | | 3,694,546 | | | | 953,604 | | | | 4,682,561 | | | | 1,692,303 | | | | 782,387 | |
Other Accumulated Gains (Losses) | | | | | (1,316,190,782 | ) | | | (24,579,523 | ) | | | (21,230,924 | ) | | | (648,849 | ) | | | (8,924,897 | ) | | | (1,632,617 | ) |
Total Accumulated Earnings (Losses) | | | | | (556,830,533 | ) | | | 32,649,708 | | | | (43,588,526 | ) | | | 4,156,829 | | | | (6,986,235 | ) | | | 1,202,027 | |
| | | | | | |
| 108 | | DoubleLine Funds Trust | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine
Shiller Enhanced
CAPE® | | | DoubleLine
Flexible Income
Fund | | | DoubleLine Low
Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | |
Net Tax Unrealized Appreciation (Depreciation) | | | | $ | 244,240 | | | $ | (517,941 | ) | | $ | (3,364,006 | ) | | $ | 2,188,912 | |
Undistributed Ordinary Income | | | | | 187,153 | | | | 74,248 | | | | 300,163 | | | | 283,018 | |
Undistributed Long Term Capital Gain | | | | | 5,651,448 | | | | — | | | | — | | | | — | |
Total Distributable Earnings | | | | | 5,838,601 | | | | 74,248 | | | | 300,163 | | | | 283,018 | |
Other Accumulated Gains (Losses) | | | | | 10,514,739 | | | | (308,233 | ) | | | (480,589 | ) | | | (162,959 | ) |
Total Accumulated Earnings (Losses) | | | | | 16,597,580 | | | | (751,926 | ) | | | (3,544,432 | ) | | | 2,308,971 | |
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, 2015, 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 | | | | | 1,074,248,429 | | | | Indefinite | |
DoubleLine Core Fixed Income Fund | | | | | 21,401,431 | | | | Indefinite | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 20,569,284 | | | | Indefinite | |
DoubleLine Low Duration Bond Fund | | | | | 4,279,164 | | | | Indefinite | |
DoubleLine Floating Rate Fund | | | | | 264,600 | | | | Indefinite | |
DoubleLine Flexible Income Fund | | | | | 30,881 | | | | Indefinite | |
As of March 31, 2015, the following Funds deferred, on a tax basis, post-October losses of:
| | | | | | |
DoubleLine Total Return Bond Fund | | | | $ | 188,522,944 | |
DoubleLine Core Fixed Income Fund | | | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | 3,844,298 | |
DoubleLine Floating Rate Fund | | | | | 737,196 | |
DoubleLine Shiller Enhanced CAPE® | | | | | — | |
DoubleLine Flexible Income Fund | | | | | 223,369 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 252,208 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | — | |
Additionally, US GAAP requires 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 NAV per share. The permanent differences primarily relate to paydown losses, accretion of discount on certain debt instruments, foreign currency gains (losses), sales of PFIC securities and consent fee income. For the year ended March 31, 2015, 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 | | | | $ | 283,357,234 | | | $ | (283,357,234 | ) | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 8,359,468 | | | | (8,359,468 | ) | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 694,778 | | | | (694,778 | ) | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 4,041,976 | | | | (3,020,544 | ) | | | (1,021,432 | ) |
DoubleLine Low Duration Bond Fund | | | | | 2,743,120 | | | | (2,743,119 | ) | | | (1 | ) |
DoubleLine Floating Rate Fund | | | | | 50,403 | | | | (50,403 | ) | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | 517,399 | | | | (517,399 | ) | | | — | |
DoubleLine Flexible Income Fund | | | | | 239,894 | | | | (239,894 | ) | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | (37,370 | ) | | | 42,545 | | | | (5,175 | ) |
DoubleLine Long Duration Total Return Bond Fund | | | | | — | | | | — | | | | — | |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 109 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
7. Share Transactions
Transactions in each Fund’s shares were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Total Return Bond Fund | | | | | DoubleLine Core Fixed Income Fund | |
| | | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | | | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 1,558,010,043 | | | $ | 17,148,705,516 | | | | 1,031,663,229 | | | $ | 11,427,193,274 | | | | | | 230,438,036 | | | $ | 2,541,026,162 | | | | 70,269,777 | | | $ | 772,152,766 | |
Class N | | | | | 454,573,725 | | | | 5,004,430,061 | | | | 277,503,986 | | | | 3,071,207,850 | | | | | | 36,562,856 | | | | 402,958,798 | | | | 20,690,105 | | | | 227,519,631 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 80,206,318 | | | | 881,703,118 | | | | 79,819,280 | | | | 878,017,247 | | | | | | 5,684,656 | | | | 62,733,460 | | | | 4,554,311 | | | | 49,619,411 | |
Class N | | | | | 22,572,716 | | | | 248,096,489 | | | | 27,102,303 | | | | 298,129,358 | | | | | | 1,328,000 | | | | 14,641,059 | | | | 1,663,484 | | | | 18,144,770 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (612,602,713 | ) | | | (6,740,749,306 | ) | | | (1,532,225,773 | ) | | | (16,863,389,527 | ) | | | | | (53,606,529 | ) | | | (591,377,397 | ) | | | (112,516,721 | ) | | | (1,230,247,351 | ) |
Class N | | | | | (271,054,941 | ) | | | (2,980,674,477 | ) | | | (488,591,413 | ) | | | (5,371,280,999 | ) | | | | | (18,034,346 | ) | | | (198,661,874 | ) | | | (51,915,655 | ) | | | (566,667,951 | ) |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 1,231,705,148 | | | $ | 13,561,511,401 | | | | (604,728,388 | ) | | $ | (6,560,122,797 | ) | | | | | 202,372,673 | | | $ | 2,231,320,208 | | | | (67,254,699 | ) | | $ | (729,478,724 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Emerging Markets Fixed Income Fund | | | | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | | | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 48,464,178 | | | $ | 512,367,218 | | | | 20,169,003 | | | $ | 212,554,617 | | | | | | 1,196,955 | | | $ | 11,927,076 | | | | 3,711,339 | | | $ | 37,171,840 | |
Class N | | | | | 17,993,367 | | | | 189,439,392 | | | | 14,455,439 | | | | 151,680,438 | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | 3,020,401 | | | | 29,928,377 | | | | 4,417,677 | | | | 44,102,001 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 1,788,406 | | | | 18,901,203 | | | | 1,693,391 | | | | 17,529,848 | | | | | | 357,528 | | | | 3,500,423 | | | | 119,162 | | | | 1,198,077 | |
Class N | | | | | 735,937 | | | | 7,789,995 | | | | 668,682 | | | | 6,899,691 | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | 459,846 | | | | 4,465,787 | | | | 47,577 | | | | 477,314 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (29,176,327 | ) | | | (307,717,478 | ) | | | (46,491,820 | ) | | | (482,849,216 | ) | | | | | (3,756,397 | ) | | | (37,501,908 | )# | | | (7,814,272 | ) | | | (78,035,814 | )* |
Class N | | | | | (13,475,224 | ) | | | (143,047,369 | ) | | | (12,792,405 | ) | | | (134,256,491 | ) | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | (4,464,933 | ) | | | (44,700,359 | )# | | | (10,922,811 | ) | | | (109,161,250 | )* |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 26,330,337 | | | $ | 277,732,961 | | | | (22,297,710 | ) | | $ | (228,441,113 | ) | | | | | (3,186,600 | ) | | $ | (32,380,604 | ) | | | (10,441,328 | ) | | $ | (104,247,832 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | DoubleLine Low Duration Bond Fund | | | | | DoubleLine Floating Rate Fund | |
| | | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | | | | | Year Ended
March 31, 2015 | | | Year Ended
March 31, 2014 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 106,256,430 | | | $ | 1,080,831,534 | | | | 101,456,040 | | | $ | 1,032,848,486 | | | | | | 21,835,983 | | | $ | 220,180,224 | | | | 28,702,601 | | | $ | 290,762,751 | |
Class N | | | | | 50,471,628 | | | | 513,317,544 | | | | 109,669,589 | | | | 1,113,469,189 | | | | | | 1,986,975 | | | | 20,090,929 | | | | 16,121,720 | | | | 163,649,322 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 1,922,215 | | | | 19,551,236 | | | | 721,367 | | | | 7,343,381 | | | | | | 316,515 | | | | 3,189,878 | | | | 165,560 | | | | 1,680,180 | |
Class N | | | | | 1,799,041 | | | | 18,290,065 | | | | 742,346 | | | | 7,552,818 | | | | | | 131,252 | | | | 1,325,930 | | | | 137,273 | | | | 1,395,100 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (76,705,087 | ) | | | (779,499,858 | ) | | | (55,389,051 | ) | | | (564,159,508 | ) | | | | | (18,819,723 | ) | | | (189,582,271 | )~ | | | (7,881,567 | ) | | | (80,031,265 | )^ |
Class N | | | | | (43,180,922 | ) | | | (439,255,991 | ) | | | (29,407,261 | ) | | | (299,311,984 | ) | | | | | (7,357,051 | ) | | | (74,481,306 | )~ | | | (5,991,491 | ) | | | (60,946,086 | )^ |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 40,563,305 | | | $ | 413,234,530 | | | | 127,793,030 | | | $ | 1,297,742,382 | | | | | | (1,906,049 | ) | | $ | (19,276,616 | ) | | | 31,254,096 | | | $ | 316,510,002 | |
| | | | | | |
| 110 | | DoubleLine Funds Trust | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Shiller Enhanced CAPE® | | | | | DoubleLine Flexible Income Fund | | | | | DoubleLine Low Duration Emerging
Markets Fixed Income Fund | |
| | | | | Year Ended
March 31, 2015 | | | Period Ended
March 31, 2014 | | | | | Period Ended
March 31, 2015 | | | | | Period Ended
March 31, 2015 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 24,010,369 | | | $ | 282,366,924 | | | | 2,877,090 | | | $ | 29,950,853 | | | | | | 8,439,758 | | | $ | 84,838,598 | | | | | | 6,793,837 | | | $ | 68,019,507 | |
Class N | | | | | 7,120,050 | | | | 83,477,991 | | | | 1,424,882 | | | | 14,494,826 | | | | | | 3,935,101 | | | | 39,646,317 | | | | | | 8,771,415 | | | | 88,791,916 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 278,813 | | | | 3,298,566 | | | | 9,305 | | | | 97,421 | | | | | | 119,818 | | | | 1,199,839 | | | | | | 29,706 | | | | 295,980 | |
Class N | | | | | 79,425 | | | | 935,897 | | | | 8,824 | | | | 91,474 | | | | | | 73,547 | | | | 737,094 | | | | | | 130,008 | | | | 1,292,322 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (2,236,761 | ) | | | (25,945,358 | ) | | | (71,600 | ) | | | (731,358 | ) | | | | | (2,802,513 | ) | | | (28,099,323 | ) | | | | | (225,055 | ) | | | (2,260,879 | ) |
Class N | | | | | (1,698,935 | ) | | | (19,696,470 | ) | | | (430,346 | ) | | | (4,524,560 | ) | | | | | (1,263,950 | ) | | | (12,642,921 | ) | | | | | (831,376 | ) | | | (8,278,916 | ) |
Net Increase (Decrease) Resulting From Fund Share Transactions | | | | | 27,552,961 | | | $ | 324,437,550 | | | | 3,818,155 | | | $ | 39,378,656 | | | | | | 8,501,761 | | | $ | 85,679,604 | | | | | | 14,668,535 | | | $ | 147,859,930 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Long Duration Total Return
Bond Fund | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Period Ended
March 31, 2015 | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Shares | | | Amount | | | | | | | | | | | | | | | | | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 5,579,541 | | | $ | 55,943,736 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class N | | | | | 1,921,385 | | | | 19,969,246 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 1,871 | | | | 19,580 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class N | | | | | 10,894 | | | | 114,122 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (189,939 | ) | | | (1,982,487 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class N | | | | | (54,691 | ) | | | (560,700 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) resulting from Fund share transactions | | | | | 7,269,061 | | | $ | 73,503,497 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| # | Net of redemption fees of $2,358 and $1,411 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 $10,717 and $28,406 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 Statements 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.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 111 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
For the year ended March 31, 2015, the Trustees received, as a group:
| | | | | | | | | | | | | | |
| | | | | Current
Fees | | | Increase/(Decrease) in
Value of Deferred
Amount | | | Trustees’ Fees
and Expenses | |
DoubleLine Total Return Bond Fund | | | | $ | 529,065 | | | $ | 2,938 | | | $ | 532,003 | |
DoubleLine Core Fixed Income Fund | | | | | 31,374 | | | | 184 | | | | 31,558 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 9,602 | | | | 54 | | | | 9,656 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 2,075 | | | | 12 | | | | 2,087 | |
DoubleLine Low Duration Bond Fund | | | | | 32,759 | | | | 175 | | | | 32,934 | |
DoubleLine Floating Rate Fund | | | | | 5,596 | | | | 30 | | | | 5,626 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 2,427 | | | | 9 | | | | 2,436 | |
DoubleLine Flexible Income Fund | | | | | 578 | | | | 3 | | | | 581 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 1,372 | | | | 7 | | | | 1,379 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 285 | | | | 2 | | | | 287 | |
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.
The average volume of derivative activity during the year ended March 31, 2015 is as follows:
| | | | | | | | | | |
| | | | | DoubleLine Multi-Asset Growth
Fund (Consolidated) | | | DoubleLine Shiller Enhanced
CAPE® | |
Average Market Value | | | | | | | | | | |
Purchased Options | | | | $ | 1,159,013 | | | $ | — | |
Futures Contracts - Long | | | | | 251,929 | | | | — | |
Futures Contracts - Short | | | | | 8,396 | | | | — | |
Average Notional Balance | | | | | | | | | | |
Total Return Swaps - Long | | | | $ | 26,957,270 | | | $ | 165,168,800 | |
Total Return Swaps - Short | | | | | 5,821,274 | | | | — | |
Forward Currency Exchange Contracts | | | | | 33,468,106 | | | | — | |
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 year ended March 31, 2015.
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
| | | | | | |
| 112 | | DoubleLine Funds Trust | | | | |
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 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 Statements 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 year ended March 31, 2015 was as follows:
| | | | | | | | | | | | |
| | | | | | | Unrealized Appreciation (Depreciation) | |
Derivatives not accounted
for as hedging instruments | | Statements of Assets and Liabilities Location | | | | DoubleLine Multi- Asset Growth Fund (Consolidated) | | | DoubleLine Shiller Enhanced CAPE® | |
Futures Contracts | | | | | | | | | | | | |
| Commodity | | | | | | $ | (44,537 | ) | | $ | — | |
| Index | | | | | | | 155,764 | | | | — | |
| Treasury Bond | | | | | | | 26,447 | | | | — | |
| | Net Unrealized Appreciation (Depreciation) on Futures | | | | $ | 137,674 | | | $ | — | |
| | | | |
Swap Contracts | | | | | | | | | | | | |
| Total Return | | Net Unrealized Appreciation (Depreciation) on Swaps | | | | $ | (434,821 | ) | | $ | 10,634,293 | |
| | | | |
Forward Contracts | | | | | | | | | | | | |
| Currency | | Net Unrealized Appreciation (Depreciation) on Forwards | | | | $ | (246,222 | ) | | $ | — | |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 113 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
The effect of derivative instruments on the Statements of Operations for the year ended March 31, 2015 was as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Realized Gain (Loss) on Derivatives | | | | | Change in Unrealized Appreciation (Depreciation) on Derivatives | |
Derivatives not accounted
for as hedging instruments | | Statements of Operations Location | | | | DoubleLine Multi- Asset Growth Fund
(Consolidated) | | | DoubleLine Shiller
Enhanced CAPE® | | | | | DoubleLine Multi-
Asset Growth Fund
(Consolidated) | | | DoubleLine Shiller
Enhanced CAPE® | |
Purchased Options | | | | | | | | | | | | | | | | | | | | | | |
| Commodity | | | | | | $ | (616,603 | ) | | $ | — | | | | | $ | 241,360 | | | $ | — | |
| Exchange Rate | | | | | | | (149,245 | ) | | | — | | | | | | 410,608 | | | | — | |
| Equity | | | | | | | — | | | | — | | | | | | 540,887 | | | | — | |
| Index | | | | | | | (1,685,879 | ) | | | — | | | | | | — | | | | — | |
| | Net Realized and Unrealized Gain (Loss) on Investments in Unaffiliated Securities | | | | $ | (2,451,727 | ) | | $ | — | | | | | $ | 1,192,855 | | | $ | — | |
Futures Contracts | | | | | | | | | | | | | | | | | | | | | | |
| Commodity | | | | | | $ | (910,832 | ) | | $ | — | | | | | $ | (662,938 | ) | | $ | — | |
| Exchange Rate | | | | | | | (14,240 | ) | | | — | | | | | | — | | | | — | |
| Index | | | | | | | 4,440,403 | | | | — | | | | | | 17,211 | | | | — | |
| Treasury Bond | | | | | | | 1,066,870 | | | | — | | | | | | 121,235 | | | | — | |
| | Net Realized and Unrealized Gain (Loss) on Futures | | | | $ | 4,582,201 | | | $ | — | | | | | $ | (524,492 | ) | | $ | — | |
| | | | | | | |
Swap Contracts | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | Net Realized and Unrealized Gain (Loss) on Swaps | | | | $ | 1,059,268 | | | $ | 6,147,512 | | | | | $ | (632,957 | ) | | $ | 9,328,330 | |
Forward Contracts | | | | | | | | | | | | | | | | | | | | | | |
| Currency | | Net Realized and Unrealized Gain (Loss) on Forwards | | | | $ | 3,014,547 | | | $ | — | | | | | $ | (246,222 | ) | | $ | — | |
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 March 31, 2015 , DoubleLine Multi-Asset Growth Fund held the following 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 | | $ | 371,595 | | | $ | 371,595 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Swap Contracts | | | 212,162 | | | | 212,162 | | | | — | | | | — | | | | — | | | | — | |
| | $ | 583,757 | | | $ | 583,757 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | |
| 114 | | DoubleLine Funds Trust | | | | |
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 | | $ | 617,817 | | | $ | 371,595 | | | $ | 246,222 | | | $ | — | | | $ | 246,222 | | | $ | — | |
Swap Contracts | | | 646,983 | | | | 212,162 | | | | 434,821 | | | | 112,828 | | | | 321,993 | | | | — | |
| | $ | 1,264,800 | | | $ | 583,757 | | | $ | 681,043 | | | $ | 112,828 | | | $ | 568,215 | | | $ | — | |
As of March 31, 2015, 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 | | $ | 11,031,100 | | | $ | 396,807 | | | $ | 10,634,293 | | | $ | 10,634,293 | | | $ | — | | | $ | — | |
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 | | $ | 396,807 | | | $ | 396,807 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
11. Bank Loans
The Funds may make loans directly to borrowers and may acquire or invest in loans made by others (“loans”). The Funds may acquire a loan interest directly by acting as a member of the original lending syndicate. Alternatively, the Funds may acquire some or all of the interest of a bank or other lending institution in a loan to a particular borrower by means of a novation, an assignment or a participation. The loans in which the Funds may invest include those that pay fixed rates of interest and those that pay floating rates—i.e., rates that adjust periodically based on a known lending rate, such as a bank’s prime 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, $600,000,000 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 year ended March 31, 2015).
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.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 115 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
For the period ended March 31, 2015, the Funds’ credit facility activity was as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | Average
Borrowings | | | Maximum
Amount
Outstanding | | | Interest
Expense | | | Commitment
Fee | |
DoubleLine Emerging Markets Fixed Income Fund | | | | $ | 6,674,300 | | | $ | 47,013,000 | | | $ | 30,591 | | | $ | — | |
DoubleLine Floating Rate Fund | | | | | 4,681,667 | | | | 7,046,000 | | | | 2,146 | | | | 48,576 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 1,143,000 | | | | 1,143,000 | | | | 262 | | | | — | |
DoubleLine Flexible Income Fund | | | | | 356,143 | | | | 980,000 | | | | 381 | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 95,600 | | | | 184,000 | | | | 37 | | | | — | |
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. |
| | | | | | |
| 116 | | DoubleLine Funds Trust | | | | |
| | ° | | 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 or other pooled investment vehicle, 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 |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 117 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2015 |
| | 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. |
| | | | | | |
| 118 | | DoubleLine Funds Trust | | | | |
| | • | 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.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 119 |
| | |
| Report of Independent Registered Public Accounting Firm | | |
To the Board of Trustees and Shareholders of DoubleLine Funds Trust
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine 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, and DoubleLine Long Duration Total Return Bond Fund (ten of the funds constituting DoubleLine Funds Trust, hereafter referred to as the “Funds”) at March 31, 2015, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Los Angeles, California
May 22, 2015
| | | | | | |
| 120 | | DoubleLine Funds Trust | | | | |
| | |
| Shareholder Expenses | | (Unaudited) March 31, 2015 |
Example
As a shareholder of 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 a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect the transaction fees discussed above. Therefore, those columns are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | Actual | | | Hypothetical
(5% return
before expenses) | |
| | | | | | | Fund’s
Annualized
Expense Ratio1 | | | Beginning
Account
Value | | | Ending
Account
Value
3/31/15 | | | Expenses
Paid During
Period*1 | | | Ending
Account
Value
3/31/15 | | | Expenses
Paid During
Period*1 | |
DoubleLine Total Return Bond Fund | | | | Class I | | | 0.47% | | | $ | 1,000 | | | $ | 1,030 | | | $ | 2.38 | | | $ | 1,023 | | | $ | 2.37 | |
| | | | | Class N | | | 0.72% | | | $ | 1,000 | | | $ | 1,030 | | | $ | 3.64 | | | $ | 1,021 | | | $ | 3.63 | |
DoubleLine Core Fixed Income Fund | | | | Class I | | | 0.46% | | | $ | 1,000 | | | $ | 1,033 | | | $ | 2.33 | | | $ | 1,023 | | | $ | 2.32 | |
| | | | | Class N | | | 0.71% | | | $ | 1,000 | | | $ | 1,031 | | | $ | 3.60 | | | $ | 1,021 | | | $ | 3.58 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | Class I | | | 0.89% | | | $ | 1,000 | | | $ | 980 | | | $ | 4.39 | | | $ | 1,020 | | | $ | 4.48 | |
| | | | | Class N | | | 1.14% | | | $ | 1,000 | | | $ | 978 | | | $ | 5.62 | | | $ | 1,019 | | | $ | 5.74 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | Class I | | | 0.95% | | | $ | 1,000 | | | $ | 1,061 | | | $ | 4.88 | | | $ | 1,020 | | | $ | 4.78 | |
| | | | | Class A | | | 1.20% | | | $ | 1,000 | | | $ | 1,059 | | | $ | 6.16 | | | $ | 1,019 | | | $ | 6.04 | |
DoubleLine Low Duration Bond Fund | | | | Class I | | | 0.46% | | | $ | 1,000 | | | $ | 1,008 | | | $ | 2.30 | | | $ | 1,023 | | | $ | 2.32 | |
| | | | | Class N | | | 0.71% | | | $ | 1,000 | | | $ | 1,006 | | | $ | 3.55 | | | $ | 1,021 | | | $ | 3.58 | |
DoubleLine Floating Rate Fund | | | | Class I | | | 0.64% | | | $ | 1,000 | | | $ | 1,030 | | | $ | 3.24 | | | $ | 1,022 | | | $ | 3.23 | |
| | | | | Class N | | | 0.89% | | | $ | 1,000 | | | $ | 1,029 | | | $ | 4.50 | | | $ | 1,020 | | | $ | 4.48 | |
DoubleLine Shiller Enhanced CAPE® | | | | Class I | | | 0.62% | | | $ | 1,000 | | | $ | 1,089 | | | $ | 3.23 | | | $ | 1,022 | | | $ | 3.13 | |
| | | | | Class N | | | 0.87% | | | $ | 1,000 | | | $ | 1,087 | | | $ | 4.53 | | | $ | 1,021 | | | $ | 4.38 | |
DoubleLine Flexible Income Fund | | | | Class I | | | 0.77% | | | $ | 1,000 | | | $ | 1,018 | | | $ | 3.87 | | | $ | 1,021 | | | $ | 3.88 | |
| | | | | Class N | | | 1.02% | | | $ | 1,000 | | | $ | 1,017 | | | $ | 5.13 | | | $ | 1,020 | | | $ | 5.14 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | Class I | | | 0.59% | | | $ | 1,000 | | | $ | 991 | | | $ | 2.93 | | | $ | 1,022 | | | $ | 2.97 | |
| | | | | Class N | | | 0.84% | | | $ | 1,000 | | | $ | 991 | | | $ | 4.17 | | | $ | 1,021 | | | $ | 4.23 | |
DoubleLine Long Duration Total Return Bond Fund | | | | Class I | | | 0.65% | | | $ | 1,000 | | | $ | 1,052 | | | $ | 1.94 | | | $ | 1,022 | | | $ | 3.28 | |
| | | | | Class N | | | 0.90% | | | $ | 1,000 | | | $ | 1,050 | | | $ | 2.68 | | | $ | 1,020 | | | $ | 4.53 | |
* 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 182/365 (to reflect the one-half year period). The actual dollar amounts shown as expenses paid during the period for the DoubleLine Long Duration Total Return Bond Fund are multiplied by 106/365, which is based on the date of inception (December 15, 2014).
1 Reflects fee waiver and expense limitation arrangements in effect during the period.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 121 |
| | |
| Growth of Investment | | (Unaudited) March 31, 2015 |
DoubleLine Total Return Bond Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2015
| | | | | | | | | | |
| | | | | 1 Year | | | Since
Inception
(4/6/2010) | |
DoubleLine Total Return Bond Fund Class I | | | | | 5.93% | | | | 8.65% | |
Barclays U.S. Aggregate Bond Index | | | | | 5.72% | | | | 4.54% | |
| | | |
DoubleLine Total Return Bond Fund Class N | | | | | 5.76% | | | | 8.39% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Barclays U.S. Aggregate Bond Index — This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 122 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
DoubleLine Core Fixed Income Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2015
| | | | | | | | | | |
| | | | | 1 Year | | | Since
Inception
(6/1/2010) | |
DoubleLine Core Fixed Income Fund Class I | | | | | 6.07% | | | | 7.13% | |
Barclays U.S. Aggregate Bond Index | | | | | 5.72% | | | | 4.16% | |
| | | |
DoubleLine Core Fixed Income Fund Class N | | | | | 5.91% | | | | 6.88% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Barclays U.S. Aggregate Bond Index — This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 123 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2015 |
DoubleLine Emerging Markets Fixed Income Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2015
| | | | | | | | | | |
| | | | | 1 Year | | | Since
Inception
(4/6/2010) | |
DoubleLine Emerging Markets Fixed Income Fund Class I | | | | | 2.90% | | | | 6.22% | |
JP Morgan Emerging Markets Bond Global Diversified Index | | | | | 5.65% | | | | 7.08% | |
| | | |
DoubleLine Emerging Markets Fixed Income Fund Class N | | | | | 2.64% | | | | 5.96% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | JP Morgan EMBI Global Diversified Index — This index is an uniquely-weighted version of the EMBI Global. It limits the weights of those index countries with larger debt supplies by only including specified portions of these countries’ eligible current face amounts of debt outstanding. The countries covered in the Emerging Markets Bond Global Diversified are identical to those covered by EMBI Global. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 124 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
DoubleLine Multi-Asset Growth Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2015
| | | | | | | | | | |
| | | | | 1 Year | | | Since
Inception
(12/20/2010) | |
DoubleLine Multi-Asset Growth Fund Class I | | | | | 6.22% | | | | 3.80% | |
S&P 500® Index | | | | | 12.73% | | | | 14.97% | |
Blended Benchmark | | | | | (2.60)% | | | | 3.26% | |
| | | |
DoubleLine Multi-Asset Growth Fund (with load) Class A | | | | | 1.45% | | | | 2.46% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | The S&P 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. |
| | 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. The Barclays Capital U.S. Aggregate Bond Index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Standard & Poor’s/Goldman Sachs Commodity Total Return Index is a composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures. This index’s components qualify for inclusion in the index based on liquidity measures and are weighted in relation to their global production levels, making the index a valuable economic indicator and commodities market benchmark. The Morgan Stanley Capital International All Country World Index is designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI All Country World Index Ex-U.S. includes both developed and emerging markets. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 125 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2015 |
DoubleLine Low Duration Bond Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2015
| | | | | | | | | | |
| | | | | 1 Year | | | Since
Inception
(9/30/2011) | |
DoubleLine Low Duration Bond Fund Class I | | | | | 1.76% | | | | 2.45% | |
BofA/Merrill Lynch 1-3 Year Treasury Index | | | | | 1.00% | | | | 0.61% | |
| | | |
DoubleLine Low Duration Bond Fund Class N | | | | | 1.51% | | | | 2.19% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | The BofA/Merrill Lynch 1-3 Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 126 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
DoubleLine Floating Rate Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2015
| | | | | | | | | | |
| | | | | 1 Year | | | Since
Inception
(2/1/2013) | |
DoubleLine Floating Rate Fund Class I | | | | | 3.36% | | | | 3.35% | |
S&P/LSTA Leveraged Loan Index | | | | | 2.53% | | | | 3.68% | |
| | | |
DoubleLine Floating Rate Fund Class N | | | | | 3.19% | | | | 3.21% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | S&P/LSTA Leveraged Loan Index — The S&P/LSTA Leveraged Loan Index is a broad index designed to reflect the performance of U.S. dollar facilities in the leverage loan market. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 127 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2015 |
DoubleLine Shiller Enhanced CAPE®
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2015
| | | | | | | | | | |
| | | | | 1 Year | | | Since
Inception
(10/31/2013) | |
DoubleLine Shiller Enhanced CAPE® Class I | | | | | 16.96% | | | | 17.84% | |
S&P 500® Index | | | | | 12.73% | | | | 14.61% | |
Shiller Barclays CAPE® US Sector Total Return USD Index | | | | | 14.39% | | | | 15.15% | |
| | | |
DoubleLine Shiller Enhanced CAPE® Class N | | | | | 16.60% | | | | 17.51% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Shiller Barclays CAPE® US Sector Total Return USD Index — The Index 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”). The Index aims to identify undervalued sectors based on a modified CAPE® Ratio, and then uses a momentum factor to seek to reduce the risk of investing in a sector that may appear undervalued, but which may have also had recent relative price underperformance due to fundamental issues with the sector that may negatively affect the sector’s long-term total return. |
| | The S&P 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. |
| | | | | | |
| 128 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
DoubleLine Flexible Income Fund
Value of a $100,000 Investment
Class I Shares1
Total Returns1
As of March 31, 2015
| | | | | | |
| | | | | Since Inception Not Annualized (4/7/2014) | |
DoubleLine Flexible Income Fund Class I | | | | | 3.85% | |
Libor USD 3 Month | | | | | 0.23% | |
| | |
DoubleLine Flexible Income Fund Class N | | | | | 3.63% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Libor USD 3 Month — London Interbank Offering Rate (LIBOR) is 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. |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 129 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2015 |
DoubleLine Low Duration Emerging Markets Fixed Income Fund
Value of a $100,000 Investment
Class I Shares1
Total Returns1
As of March 31, 2015
| | | | | | |
| | | | | Since Inception Not Annualized (4/7/2014) | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund Class I | | | | | 1.92% | |
JP Morgan CEMBI Broad Diversified 1-3 Year index | | | | | 1.96% | |
| | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund Class N | | | | | 1.80% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | JP Morgan CEMBI Broad Diversified 1-3 Year Index – This index is a market capitalization weighted index consisting of 1-3 year maturity US-denominated Emerging Market corporate bonds. It is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa. |
| | | | | | |
| 130 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
DoubleLine Long Duration Total Return Bond Fund
Value of a $100,000 Investment
Class I Shares1
Total Returns1
As of March 31, 2015
| | | | | | |
| | | | | Since Inception Not Annualized (12/15/2014) | |
DoubleLine Long Duration Total Return Bond Fund Class I | | | | | 5.15% | |
Barclays Long-Term Government/Credit Index | | | | | 3.82% | |
| | |
DoubleLine Long Duration Total Return Bond Fund Class N | | | | | 4.99% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Barclays Long U.S. Government/Credit Index — This index includes publicly issued U.S. Treasury debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt. |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 131 |
| | |
| Evaluation of Advisory Agreement by the Boards of Trustees | | (Unaudited) March 31, 2015 |
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 Equities Growth Fund
DoubleLine Opportunistic Credit Fund
DoubleLine Income Solutions Fund
At the February 26, 2015 meeting (the “Meeting”) of the Board of Trustees of DoubleLine Funds Trust (“DFT”), DoubleLine Equity Funds (“DEF”), DoubleLine Opportunistic Credit Fund (“DBL”), and DoubleLine Income Solutions Fund (“DSL” which, together with DBL, are the “Closed-End Funds” and, together with DFT, DEF, and DBL, are the “Trusts”), including in respect of each of DFT’s and DEF’s series of shares of beneficial interest (each, an “Open-End Fund” and, collectively with the Closed-End Funds, the “Funds”), the Board of Trustees, including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trusts (“Independent Trustees”) voting separately, approved the renewal of the Investment Advisory and Management Agreements (the “DFT Advisory Agreements”) between DoubleLine Capital LP (“DoubleLine Capital” or an “Adviser”) and DFT, in respect of the DoubleLine Total Return Bond Fund, the DoubleLine Core Fixed Income Fund, the DoubleLine Emerging Markets Fixed Income Fund, the DoubleLine Multi-Asset Growth Fund, the DoubleLine Low Duration Bond Fund, the DoubleLine Floating Rate Fund, and DoubleLine Shiller Enhanced CAPE® (the “DFT Reviewed Funds”) for an additional one-year period, the Investment Management Agreement (the “DEF Advisory Agreement”) between DoubleLine Equity LP (“DoubleLine Equity” or an “Adviser”) and DEF, in respect of the DoubleLine Equities Growth Fund for an additional one-year period, the Investment Management Agreement (the “DBL Advisory Agreement”) between DoubleLine Capital and DBL for an additional one-year period, and the Investment Management Agreement (the “DSL Advisory Agreement”) between DoubleLine Capital and DSL for an additional one-year period.
The Trustees meet over the course of the year with investment advisory personnel from the Advisers and regularly review detailed information, presented both orally and in writing, regarding the investment program, performance and operations of each Fund. The Trustees’ determination to approve the continuance of the Advisory Agreements was made on the basis of each Trustee’s business judgment after an evaluation of all of the information provided to the Trustees, both at the February 26, 2015 meeting and at prior meetings. This summary describes a number, but not necessarily all, of the most important factors considered by the Board and the Independent Trustees. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. No single factor was determined to be decisive. In all of their deliberations, the Board of Trustees and the Independent Trustees were advised by counsel to the Funds and the Independent Trustees.
The Trustees considered the nature, extent, and quality of the services provided and expected to be provided by DoubleLine, including the expertise and experience of its investment personnel. In this regard, the Trustees considered that DoubleLine provides a full investment program for each of the Funds, and noted DoubleLine’s representation that it seeks to provide attractive returns with a strong emphasis on risk management. The Board considered the 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, collateral management, counterparty management, pay-downs, credit events, workouts and net new issuances.
The Trustees reviewed reports (the “Strategic Insight Reports”) provided by Strategic Insight (“Strategic Insight”), an Asset International Company, that compared the Funds’ management fee rates, total expense ratios (Class I shares, where applicable), and performance records (Class I shares, where applicable) for the one-year and, where applicable, three-year periods ending December 31, 2014 against a group of each Fund’s peer funds. The Trustees noted in particular that the DoubleLine Total Return Bond Fund, the DoubleLine Core Fixed Income Fund, the DoubleLine Emerging Markets Fixed Income Fund, the DoubleLine Low Duration Bond Fund, the DoubleLine Floating Rate Fund and DoubleLine Shiller Enhanced CAPE® generally had experienced favorable relative investment results since their inception dates. The Trustees considered DoubleLine’s explanation that, although the DoubleLine Multi-Asset Growth Fund’s performance record was in the third and fourth quartiles of its peer funds over the one- and three-year periods ending December 31, 2014, DoubleLine believed that the relative underperformance was the result, in part, of DoubleLine’s focus on limiting downside risk in that Fund. In this regard, the Trustees noted DoubleLine’s assertion that the DoubleLine Multi-Asset Growth Fund’s portfolio had a greater allocation to fixed-income instruments as compared to that of a number of other funds included in the Fund’s peer group and that this contributed, in part, to the relative underperformance of the Fund versus its peer funds. The Trustees also considered information presented by DoubleLine showing that the DoubleLine Multi-Asset Growth Fund had outperformed its blended benchmark since inception and had done so with lower annualized volatility. The Trustees also noted that the Adviser had presented information regarding enhancements it had made in an attempt to improve the DoubleLine Multi-Asset Growth Fund’s performance. With respect to the DoubleLine Equities Growth Fund, the Trustees noted DoubleLine’s explanation of the contributors to that Fund’s relative underperformance over the one-year period ended December 31, 2014 could be partially attributed to cash held by the Fund during the initial ramp up of its investment portfolio. They also noted that although the Fund still had a relatively short operating history, it had performed in the first and second quartile of its peer funds over the three-month and six-month periods ending December 31, 2014, respectively.
The Trustees reviewed the Closed-End Funds’ performance records based on their net asset values. They noted that DBL had performed near the top of its peers shown in the Strategic Insight Report for the one-year period ended December 31, 2014. The Trustees noted that DSL had performed in the third quartile of its peer funds for the one-year period ending December 31, 2014, but that its net asset value performance had outperformed its benchmark
| | | | | | |
| 132 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
index for the period. They discussed DoubleLine’s explanation that the relative underperformance of the Fund was partially attributable to its investments in emerging market high yield corporate debt instruments, which had detracted from performance during the period.
The Trustees considered that DoubleLine provides 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 DoubleLine’s ongoing efforts to keep the Trustees informed about matters relevant to the Trusts and their shareholders. The Trustees also considered the nature, extent, and structure of the Funds’ compliance program, including the policies and procedures of the Funds and their various service providers (including the Advisers). The Trustees considered the quality of those non-investment advisory services and determined that their quality supported the renewal of the Funds’ arrangements with DoubleLine.
The Trustees also considered DoubleLine’s reports, provided at the Board’s regular meetings, that it had continued to hire additional resources, including investment personnel, to support each Adviser’s ability to provide services. The Trustees concluded that it appeared that DoubleLine continued to have sufficient quality and depth of personnel, resources, and investment methods.
The Trustees considered the advisory fees and total expense ratios borne by the Funds. In that regard, the Trustees noted that the Strategic Insight Reports showed the gross advisory and net management fees paid by the DoubleLine Total Return Bond Fund were below the median of its peers, and that the gross advisory and net management fees paid by the DoubleLine Core Fixed Income Fund were below or slightly below the median of its peers. The Trustees noted that the gross advisory and net management fees paid by the DoubleLine Multi-Asset Growth Fund and the DoubleLine Emerging Markets Fixed Income Fund were higher than the Funds’ respective expense group medians, but that their net operating expenses were near the median of their respective peer groups. The Trustees observed that the gross advisory and net management fees paid by each of the DoubleLine Low Duration Bond Fund and the DoubleLine Floating Rate Fund were each below its peer group median. The Trustees also noted that the gross advisory fee for DoubleLine Shiller Enhanced CAPE® was slightly above its peer group median, but that that Fund’s net total expense ratio was at the median of the Fund’s peer group. The Trustees also noted that the net management fees for the DoubleLine Equities Growth Fund were the lowest of the peer funds included in the Strategic Insight Reports. The Trustees noted that DoubleLine Equities Growth Fund’s gross advisory fees and net total expense ratio were above the median of its peer group, but that the Fund’s net total expense ratio was still lower than a number of the Fund’s peer funds. The Trustees also observed that the Adviser continues to waive a substantial amount of the fees associated with the DoubleLine Equities Growth Fund, which contributed to the low net management fee figures that were included in the Strategic Insight Reports.
The Trustees discussed the management fees and expense ratios of the Closed-End Funds as presented in the Strategic Insight Reports. They noted that DBL’s management fee and total net expense ratio were, respectively, higher than the median of DBL’s peer funds. The Trustees considered DoubleLine’s representation that DBL invests more heavily in mortgage- and other asset-backed securities compared to a number of the peers that were included in the peer group and the Trustees considered information DoubleLine presented regarding the additional complexity of managing those investments. The Trustees noted that DSL’s management fee was the highest in its peer group and that DSL’s net operating expense ratio (excluding investment related expenses) was among the highest of its peers. In this regard, the Trustees considered DoubleLine’s explanation that the Adviser had attempted to set its management fees at inception at rates that reflect the experience and expertise the Adviser brings to managing the Funds.
The Trustees also took into account that each Closed-End Fund employed leverage during the period ended December 31, 2014. The Trustees noted that the use of such leverage increases total assets and thus the absolute amount of fees received by the Adviser under those Advisory Agreements (because the fees are calculated based on total managed assets, including assets attributable to reverse repurchase agreements and other forms of leverage outstanding). In this regard, the Trustees took into account that the Adviser has a financial incentive for DBL and DSL to continue to use leverage, which may create a conflict of interest between the Adviser, on the one hand, and each of the Fund’s common shareholders, on the other. The Trustees considered information provided to them throughout the year by the Adviser as to why each Fund’s use of leverage continues to be appropriate and in the best interests of each Fund’s common shareholders.
The Trustees considered information relating to the fees charged by DoubleLine to clients other than the Funds, including institutional separate accounts and mutual funds for which DoubleLine serves as sub-adviser, where the Adviser employs investment strategies substantially similar to one or more of the Funds’ principal investment strategies. The Trustees took into account DoubleLine’s representation that certain large institutional separate accounts and funds sub-advised by DoubleLine are subject to fee schedules that differ from, including some that are lower than, the rates paid by the Funds. The Trustees considered that DoubleLine had also explained that administrative, compliance, operational, legal, and other burdens of providing investment advice to mutual funds exceed in many respects those required to provide advisory services to non-mutual fund clients, such as institutional accounts for retirement or pension plans, which may have differing contractual requirements. The Trustees also took into account DoubleLine’s representation that there are substantially greater legal and other responsibilities and risks to DoubleLine in managing public mutual funds than in managing private accounts or in sub-advising mutual funds sponsored by others, and that the services and resources required of DoubleLine when it sub-advises mutual funds sponsored by others generally are less than in the case of the Funds because many of the operational and compliance responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fees paid by each Fund to DoubleLine were generally reasonable in light of the services provided, the quality of the portfolio management teams, and each Fund’s performance to date.
The Trustees reviewed financial information for DoubleLine, including information as to the Adviser’s profitability with respect to the Funds. The Trustees also reviewed information concerning the profitability to DoubleLine of its service arrangements with the Funds and took into account both the direct and indirect benefits to the Adviser from managing the Funds. The Trustees noted other benefits received by DoubleLine and its affiliates as a result of
| | | | | | |
| | Annual Report | | March 31, 2015 | | 133 |
| | |
| Evaluation of Advisory Agreement by the Boards of Trustees (Cont.) | | (Unaudited) March 31, 2015 |
DoubleLine’s relationship with the Funds, including possible ancillary benefits to DoubleLine’s institutional investment management business due to the reputation and market penetration of the Funds. In evaluating the Adviser’s profitability, the Trustees considered that the Adviser presented profitability information that was reduced by certain distributions made to the Adviser’s employee owners that may be comparable to the ordinary compensation expense incurred by investment advisers that are not closely-held by their employees. The Trustees considered DoubleLine’s compensation practices and considered DoubleLine’s representation that those compensation and incentive policies and practices enable DoubleLine to retain, motivate, and attract highly qualified and experienced employees. The Trustees also considered the potential benefits that DoubleLine receives in respect of certain research received by DoubleLine due to the amounts of brokerage commissions paid by the DoubleLine funds and noted DoubleLine’s representation that those arrangements are only in place with respect to a small number of Funds and that their use is limited. The Trustees considered the profitability of the Advisers both before and after certain distribution and shareholder servicing payments made by the Advisers and they reviewed the Advisers’ profit margins both before and after such costs. The Trustees also took into account DoubleLine’s representation that it was continuing to invest in its business to maintain its ability to provide high quality services for the Funds. In so doing, the Board considered DoubleLine’s need to invest in technology, infrastructure and staff to continue to provide services and accommodate rapidly changing regulatory requirements.
The Trustees discussed with DoubleLine whether economies of scale would likely be realized as the Funds grow and whether a reduction in the advisory fees paid by the Funds by means of breakpoints would be appropriate. The Trustees considered DoubleLine’s statement that it did not believe that implementation of breakpoints or fee reductions would be appropriate at this time, for a number of reasons. The Trustees noted DoubleLine’s approach to advisory fees which was to set a fee from a Fund’s inception at a rate that reflected reasonably foreseeable economies of scale. The Trustees noted DoubleLine’s assertion that that approach has facilitated the Funds’ asset raising efforts and allowed the Funds from their inception to compete with peer funds with larger asset bases. The Trustees considered DoubleLine’s representation that each of the DoubleLine Total Return Bond Fund, the DoubleLine Core Fixed Income Fund, the DoubleLine Low Duration Bond Fund and the DoubleLine Floating Rate Fund already pay net management fees that are approximately at or below their peer medians. The Trustees noted DoubleLine’s view that, although DoubleLine’s profitability was higher in respect of certain Funds as compared to the other Funds based on the expense allocation methodology used, those Funds’ profitability was reasonable nonetheless. The Trustees also noted that DoubleLine’s rapid growth and significant changes to the regulatory environment required DoubleLine to re-invest significantly in its business. After considering the information provided, the Trustees concluded that the profitability of the Funds to DoubleLine did not appear excessive or such as to preclude renewal of the Advisory Agreements and that, for the reasons noted, it did not appear that implementation of breakpoints for any of the Funds would be appropriate at this time, although the Trustees would continue to consider the topic over time.
The Trustees noted that due to tax rules applicable to companies seeking to qualify as regulated investment companies, DoubleLine Multi-Asset Growth Fund made certain investments through a subsidiary organized as a Cayman islands exempted company (the “Subsidiary”) in order to obtain certain desired investment exposure without eliminating its ability to qualify as a regulated investment company under the Internal Revenue Code. The Trustees considered the advisory arrangements for the Subsidiary generally in the same manner as they had considered the advisory arrangements for DoubleLine Multi-Asset Growth Fund.
On the basis of these considerations as well as others and in the exercise of their business judgment, the Trustees determined that they were satisfied with the nature, extent and the quality of the services provided to each Fund under its Advisory Agreement; that it appeared that the management fees paid by each Fund to DoubleLine was generally within the range of management fees paid by its peer funds, and with respect to some Funds lower than the median management fees paid by their peer funds, and generally reasonable in light of the quality of the portfolio management teams and each Fund’s performance to date; that the fees paid by each Fund did not appear inconsistent with the fee schedules charged to DoubleLine’s other clients (where applicable) in light of the nature of the services provided and the risks borne by DoubleLine; that the profitability of each Fund to DoubleLine did not appear excessive or such as to preclude renewal of a Fund’s Advisory Agreement; and that, for the reasons noted by DoubleLine, and that it would be appropriate to approve each Advisory Agreement for an additional one-year period.
DoubleLine Long Duration Total Return Bond Fund
At the November 20, 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 the Investment Advisory Agreement (the “Agreement”) between the Trust, on behalf of DoubleLine Long Duration Total Return Bond Fund (the “Fund”), 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 the 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 Agreement, the Trustees considered the terms of the proposed Agreement between the Adviser and the Trust, with respect to the Fund, and noted that the proposed Agreement, with the exception of the rate of 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 Fund as well as the qualifications, experience, and responsibilities of the proposed portfolio managers of the Fund and other key personnel that would be involved in the day-to-day activities of the Fund. The Board considered the expected difficulty of managing a debt-related fund,
| | | | | | |
| 134 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
noting that managing such a fund would require 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 generally the performance record of the other series of the Trust, and they considered the possible effect of adding an additional fund to the Trust on the capacities of the Adviser.
The Trustees reviewed the proposed services the Adviser would provide to the Fund as investment adviser. The Trustees considered that the Adviser would provide a variety of other services to the Fund 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 Fund’s 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 the 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 the Agreement. The Trustees considered that the Adviser anticipated launching the Fund with two classes of shares and noted the overall fee structure and expense caps proposed for the 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 the Fund’s proposed gross advisory fee under the Agreement was higher than the median of the peer funds presented for their consideration, though similar in amount to the gross advisory fees of a number of the peer funds shown. In considering the peer group information presented, the Trustees took into account the information provided by a representative of Strategic Insight who participated in the selection of the peer funds shown. They noted that the representative had reported to them that there was a very limited number of long duration funds with an investment focus on mortgage-related investments and that, accordingly, the peer group also included a number of long duration funds with either a broader or different focus. In evaluating the proposed advisory fee, the Trustees also considered that the Fund’s total expense ratio would be near the median of the peer group shown after the effect of the expense cap proposed by the Adviser.
The Trustees noted the Adviser’s representation that it does not manage any other accounts with investment strategies substantially similar to the strategies proposed for the Fund.
The Trustees discussed information provided by the Adviser as to the estimated profitability of the Adviser from managing the 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 Fund. The Trustees also considered in this regard the Adviser’s significant investment in forming, registering and promoting the Fund during its start-up period. 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 Fund. The Trustees concluded that the Adviser’s profit from managing the Fund would likely not be excessive in the start-up period. The Trustees considered that the Adviser was implementing expense caps for the Fund that would limit the overall expense ratio of the Fund during the proposed term of the Agreement. The Trustees concluded that it did not appear appropriate at this time to consider the implementation of breakpoints in the investment advisory fee.
On the basis of these considerations and others and in the exercise of their business judgment, the Trustees determined to approve the Agreement for the proposed initial term.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 135 |
| | |
| Federal Tax Information | | (Unaudited) March 31, 2015 |
For the fiscal year ended March 31, 2015, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% (20% for taxpayers with taxable income greater than $400,000 for single individuals and $450,000 for married couples filing jointly), as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and The American Taxpayer Relief Act of 2012. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
| | | | | | |
| Qualified Dividend Income | | | | | |
DoubleLine Total Return Bond Fund | | | | | 0.00% | |
DoubleLine Core Fixed Income Fund | | | | | 0.00% | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 0.00% | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 4.86% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | 0.00% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 0.00% | |
DoubleLine Flexible Income Fund | | | | | 0.00% | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 0.00% | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 0.00% | |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended March 31, 2015 was as follows:
| | | | | | |
| Dividends Received Deduction | | | | | |
DoubleLine Total Return Bond Fund | | | | | 0.00% | |
DoubleLine Core Fixed Income Fund | | | | | 0.00% | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 0.00% | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 0.64% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | 0.00% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 0.00% | |
DoubleLine Flexible Income Fund | | | | | 0.00% | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 0.00% | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 0.00% | |
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) for each Fund was as follows:
| | | | | | |
| Qualified Short-Term Gains | | | | | |
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) | | | | | 41.12% | |
DoubleLine Low Duration Bond Fund | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | 2.08% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 0.40% | |
DoubleLine Flexible Income Fund | | | | | 0.00% | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 3.16% | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 0.00% | |
| | | | | | |
| 136 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
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 was as follows:
| | | | | | |
| Qualified Interest Income | | | | | |
DoubleLine Total Return Bond Fund | | | | | 99.85% | |
DoubleLine Core Fixed Income Fund | | | | | 85.38% | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 0.00% | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 29.08% | |
DoubleLine Low Duration Bond Fund | | | | | 81.68% | |
DoubleLine Floating Rate Fund | | | | | 99.96% | |
DoubleLine Shiller Enhanced CAPE® | | | | | 84.45% | |
DoubleLine Flexible Income Fund | | | | | 74.56% | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 0.02% | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 78.09% | |
Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Funds.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 137 |
| | |
| Trustees and Officers | | (Unaudited) March 31, 2015 |
| | | | | | | | | | |
Name, Address, and Year of Birth(1) | | Position with Trust | | Term of Office and Length of Time Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
Overseen(2) | | Other Directorships
Held by Trustee During Past 5 years |
| | | | | |
Independent Trustees | | | | | | | | | | |
| | | | | |
| Joseph J. Ciprari, 1964 | | Trustee | | Indefinite/Since Inception | | President, Remo Consultants, a real estate financial consulting firm. Formerly, Managing Director, UBS AG. Formerly, Managing Director, Ally Securities LLC. | | 14 | | None |
| | | | | |
| John C. Salter, 1957 | | Trustee | | Indefinite/Since Inception | | Managing Director, Municipals, Chapdelaine & Co. Formerly, Partner, Stark, Salter & Smith, a securities brokerage firm specializing in tax exempt bonds. | | 14 | | None |
| | | | | |
| Raymond B. Woolson, 1958 | | Trustee | | Indefinite/Since Inception | | President, Apogee Group, Inc., a company providing financial consulting services. | | 14 | | None |
(1) The address of each Independent Trustee is c/o DoubleLine Capital LP, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.
(2) Includes each series of DoubleLine Funds Trust and DoubleLine Equity Funds, DoubleLine Opportunistic Credit Fund and DoubleLine Income Solutions Fund.
The following Trustees are “interested persons” of the Fund Complex as defined in the 1940 Act because they are officers of the Adviser, and indirect shareholders in the Adviser.
| | | | | | | | | | |
Name, Address, and Year of Birth(1) | | Position with Trust | | Term of Office and Length of Time Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
Overseen | | Other Directorships
Held by Trustee
During Past 5 years |
| | | | | |
Interested Trustees | | | | | | | | | | |
| | | | | |
| Jeffrey E. Gundlach, 1959 | | Trustee | | Indefinite/Since Inception | | Chief Executive Officer and Chief Investment Officer, DoubleLine Equity LP (since January 2013); Chief Executive Officer and Chief Investment Officer, DoubleLine Capital LP (since December 2009). | | 12 | | None |
| | | | | |
| Phillip A. Barach, 1952 | | Trustee | | Indefinite/Since Inception | | President, DoubleLine Capital LP (since December 2009). | | 11 | | None |
(1) The address of each Interested Trustee is c/o DoubleLine Capital LP, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.
| | | | | | |
| 138 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2015 |
Officers
The officers of the Trust who are not also Trustees of the Trust are:
| | | | | | |
Name, Address, and Year of Birth(1) | | Position(s) Held with Trust | | Term of Office and Length of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
| Ronald R. Redell, 1970 | | President | | Indefinite/Since Inception | | President, DoubleLine Equity Funds (since February 2013); Trustee, Chairman, President and Chief Executive Officer, DoubleLine Income Solutions Fund (since January 2013); Executive, DoubleLine Group LP (since January 2013); Trustee, Chairman, President and Chief Executive Officer, DoubleLine Opportunistic Credit Fund (since July 2011); Executive, DoubleLine Capital LP (since July 2010); President, DoubleLine Funds Trust (since January 2010). |
| | | |
| Susan Nichols, 1962 | | Treasurer and Principal Financial and Accounting Officer | | Indefinite/Since October 2011 | | Treasurer and Principal Financial and Accounting Officer, DoubleLine Equity Funds (since February 2013); Treasurer and Principal Financial and Accounting Officer, DoubleLine Income Solutions Fund (since January 2013); Treasurer and Principal Financial and Accounting Officer, DoubleLine Funds Trust (since October 2011); Treasurer and Principal Financial and Accounting Officer, DoubleLine Opportunistic Credit Fund (since July 2011); Director of Mutual Funds Operations, DoubleLine Capital LP. Formerly, Southern Wholesaler, DoubleLine Capital LP. Formerly, Assistant Treasurer, DoubleLine Funds Trust. |
| | | |
| Keith T. Kirk, 1963 | | Chief Compliance Officer | | Indefinite/Since May 2012 | | Chief Compliance Officer, DoubleLine Equity Funds (since February 2013); Chief Compliance Officer, DoubleLine Income Solutions Fund (since January 2013); Chief Compliance Officer, DoubleLine Funds Trust (since May 2012); Chief Compliance Officer, DoubleLine Opportunistic Credit Fund (since May 2012); Deputy General Counsel and Chief Compliance Officer, DoubleLine Capital LP (since January 2012). Formerly, Independent Compliance Consultant (from September 2009 through December 2011). |
| | | |
| Louis C. Lucido, 1948 | | Secretary | | Indefinite/Since Inception | | Member of the Board of Directors, 826LA (since June 2013); Member of the Board of Directors, Junior Achievement of Southern California (since June 2013); Secretary, DoubleLine Equity Funds (since February 2013); Member of the Board of Directors, CASA of Los Angeles (since February 2013) and Vice Chairman (since June 2014); Secretary, DoubleLine Income Solutions Fund (since January 2013); Secretary, DoubleLine Opportunistic Credit Fund (since July 2011); Chief Operating Officer, DoubleLine Capital LP (since June 2010); Secretary, DoubleLine Funds Trust (since January 2010). Formerly, Executive Vice President, DoubleLine Capital LP (from December 2009 through May 2010). |
| | | |
| Grace Walker, 1970 | | Assistant Treasurer | | Indefinite/Since March 2012 | | Assistant Treasurer, DoubleLine Equity Funds (since February 2013); Assistant Treasurer, DoubleLine Income Solutions Fund (since January 2013); Assistant Treasurer, DoubleLine Opportunistic Credit Fund (since March 2012); Assistant Treasurer, DoubleLine Funds Trust (since March 2012). Formerly, Assistant Treasurer of the private funds of Western Asset Management Company (from December 2004 through March 2012). |
| | | |
| Earl A. Lariscy, 1966 | | Vice President | | Indefinite/Since May 2012 | | Vice President, DoubleLine Equity Funds (since February 2013); Vice President and Assistant Secretary, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Funds Trust (since May 2012); Vice President and Assistant Secretary, DoubleLine Opportunistic Credit Fund (since May 2012 and inception, respectively); General Counsel, DoubleLine Capital LP (since April 2010). Formerly, Director, Barclays Capital and Agency. Formerly, General Manager, Barclays Bank PLC’s California-based banking operations. |
| | | |
| Cris Santa Ana, 1965 | | Vice President | | Indefinite/Since April 2011 | | Vice President, DoubleLine Equity Funds (since February 2013); Vice President, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Opportunistic Credit Fund (since July 2011); Vice President, DoubleLine Funds Trust (since April 2011); Chief Risk Officer, DoubleLine (since June 2010). Formerly, Chief Operating Officer, DoubleLine Capital LP (from December 2009 through May 2010). |
| | | | | | |
| | Annual Report | | March 31, 2015 | | 139 |
| | |
| Trustees and Officers (Cont.) | | (Unaudited) March 31, 2015 |
| | | | | | |
Name, Address, and Year of Birth(1) | | Position(s) Held with Trust | | Term of Office and Length of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
| David J. Kennedy, 1964 | | Vice President | | Indefinite/Since May 2012 | | Vice President, DoubleLine Equity Funds (since February 2013); Vice President, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Funds Trust (since May 2012); Vice President, DoubleLine Opportunistic Credit Fund (since May 2012); Manager, Trading and Settlements, DoubleLine Capital LP (since December 2009). |
| | | |
| Patrick A. Townzen, 1978 | | Vice President | | Indefinite/Since September 2012 | | Vice President, DoubleLine Equity Funds (since February 2013); Vice President, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Funds Trust (since September 2012); Vice President, DoubleLine Opportunistic Credit Fund (since September 2012); Manager of Operations, DoubleLine Capital LP (since September 2012). Formerly, Manager, Western Asset Management Company. |
(1) The address of each officer is c/o DoubleLine Capital LP, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 877-DLine11 (877-354-6311).
| | | | | | |
| 140 | | DoubleLine Funds Trust | | | | |
| | |
| Information About Proxy Voting | | (Unaudited) March 31, 2015 |
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.
| | | | | | |
| | Annual Report | | March 31, 2015 | | 141 |
| | |
| Privacy Notice | | (Unaudited) March 31, 2015 |
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.
| | | | | | |
| 142 | | DoubleLine Funds Trust | | | | |
| | | | |
| DoubleLine Capital LP | | 333 South Grand Avenue 18th Floor Los Angeles, CA 90071 doubleline.com | | fundinfo@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
DL-ANNUAL-DFT
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report. A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Raymond B. Woolson is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| | | | |
| | | FYE 3/31/2015 | | FYE 3/31/2014 |
Audit Fees | | $758,625 | | $647,450 |
Audit-Related Fees | | $3,591 | | $8,516 |
Tax Fees | | $113,390 | | $95,200 |
All Other Fees | | N/A | | N/A |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of fees billed by PricewaterhouseCoopers LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| | | | |
| | | FYE 3/31/2015 | | FYE 3/31/2014 |
Audit-Related Fees | | 0% | | 0% |
Tax Fees | | 0% | | 0% |
All Other Fees | | 0% | | 0% |
1
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. (If more than 50 percent of the accountant’s hours were spent to audit the registrant’s financial statements for the most recent fiscal year, state how many hours were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.)
The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
| | | | | | | | |
| Non-Audit Related Fees | | FYE 3/31/2015 | | | FYE 3/31/2014 | |
Registrant | | | $113,390 | | | | $95,200 | |
Registrant’s Investment Adviser | | | $705,479 | | | | $665,100 | |
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.
2
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive and principal financial officers have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
3
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) Ronald R. Redell
Ronald R. Redell, President
Date 5/28/2015
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) Ronald R. Redell
Ronald R. Redell, President
Date 5/28/2015
By (Signature and Title) Susan Nichols
Susan Nichols, Treasurer and
Principal Financial and Accounting Officer
Date 5/28/2015
1
