As filed with the Securities and Exchange Commission on November 30, 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: September 30, 2015
Item 1. Reports to Stockholders.
Semi-Annual Report
September 30, 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 Strategic Commodity Fund
DBCMX (I-share)
DLCMX (N-share)
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DoubleLine Capital LP DoubleLine Commodity LP | | 333 S. Grand Avenue 18th Floor Los Angeles, California 90071 doubleline.com |
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| | Semi-Annual Report | | September 30, 2015 | | 3 |
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| President’s Letter | | September 30, 2015 |
Dear DoubleLine Funds Shareholder,
On behalf of the DoubleLine Funds, I am pleased to deliver the Semi-Annual Report for the six-month period ended September 30, 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 $59.1 billion as of September 30, 2015. During the period, we continued to enhance our overall lineup of investment strategies available to investors. On May 18, 2015, we launched the DoubleLine Strategic Commodity Fund (DBCMX/DLCMX).
If you have any questions regarding the DoubleLine Funds please don’t hesitate to call us at 877-DLine11 (877-354-6311), or visit our website www.doublelinefunds.com to hear our investment management team offer deeper insights and analysis on relevant capital market activity impacting investors today. We value the trust that you have placed with us, and we will continue to strive to offer thoughtful investment solutions to our shareholders.
Sincerely,
Ronald R. Redell, CFA
President
DoubleLine Funds Trust
November 1, 2015
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| Financial Markets Highlights | | September 30, 2015 |
| · | | Agency Mortgage-Backed Securities (Agency MBS) |
For the 6-month period ended September 30, 2015, the Barclays U.S. MBS Index returned 0.55% and the duration extended to 4.20 years. The U.S. yield curve steepened with 10-year U.S. Treasury yields increasing by 11 basis points (bps). Overall, amongst the MBS fixed rate sectors, lower coupon bonds outperformed their higher coupon counterparts on average across both conventional (Fannie Mae and Freddie Mac) and Ginnie Mae collateral for both 15-year and 30-year mortgage pools. Coupon spreads widened slightly during the period and reached a 2015 high at the end of August, when volatility momentarily increased due to declines in the Chinese equity markets, and then tightened back to the year’s average spreads in September. Total gross Agency MBS issuance averaged about $123 billion a month, totaling close to $739 billion over the past 6-months. The increase in monthly issuance was a function of an increase in prepayment speeds as purchasing activity, as measured by the Mortgage Bankers Association (MBA) Purchase Index, and overall housing turnover increased.
| · | | Non-Agency Mortgage-Backed Securities (Non-Agency MBS) |
Despite the headwinds of slowing growth in China and concerns within the commodity markets, pricing within the non-Agency MBS sector has shown remarkable resilience. While investor interest in non-Agency MBS bonds continued to be very strong during the 6-month period ending September 30, 2015, trading volume declined over the same period. Interest rates have been volatile during this time period with the 10-year U.S. Treasury note rate moving as high as 2.48% and seeing lows at 1.86%. Mortgage rates were also volatile during this period and finished slightly higher than where they started. Prepayment speeds on non-Agency MBS were relatively flat during the period, as lower rates and faster prepayment speeds early in the period were netted out against higher rates and slower prepayment speed toward the end of the period. Liquidations, severities and loan modifications followed a similar pattern with generally the net effect being unchanged over the period. Trading volume has remained consistent, but when compared to a year ago, volumes across all subsectors of non-agencies have declined. We expect this to be the trend going forward with a few spots of increased volume as hedge funds or Government Sponsored Enterprise (GSE) lists come to the market to liquidate their legacy positions.
| · | | Commercial Mortgage-Backed Securities (CMBS) |
Over the 6-month period ended September 30, 2015, CMBS spreads widened as macroeconomic uncertainty continued to weigh on market. The Barclays U.S. CMBS Index returned 0.47%, outperforming the broader Barclays U.S. Aggregate Bond Index by 0.94%. Both new issue and secondary markets experienced tiering as investors paid up for quality. For the period, 10-year AAA last cash flows (LCFs) widened from 0.85% to 1.23% over swaps, while BBB- bonds traded at 5.25%, a 1.75% widening. Total private label issuance during the third quarter of 2015 was $21.8 billion, slightly below the private label CMBS issuance of $23.8 billion for the second quarter. Total year-to-date (YTD) private-label issuance through September 30, 2015 is now $71.7 billion, which is 12% higher than for the same period in 2014. This projects annual 2015 issuance of around $95 billion, just shy of the $100-110 billion forecast range. Delinquency rates declined overall from 5.58% to 5.28% during the period and decreased across four of the five major property types, with industrial representing the lone exception.
| · | | Emerging Markets (EM) Debt |
Over the 6-month period ended September 30, 2015, U.S. dollar (USD) denominated EM fixed income sovereign and corporate bonds indices, represented by the JP Morgan Emerging Markets Bond Index Global Diversified (EMBI) and the JP Morgan Corporate Emerging Markets Bond Index Broad Diversified (CEMBI) respectively, posted modestly negative returns. Both EM sovereign and corporate spreads tightened through April and May, while U.S. Treasury yields moved higher in anticipation of the Federal Reserve’s decision to begin raising the target benchmark interest rate. Starting in June, EM investors’ shifted their focus from a potential Federal Reserve rate hiking cycle to China growth and policy concerns, and continued weak global demand for commodities. EM spreads steadily began to widen, ending September at levels not seen since the European debt crisis in 2011. Commodity prices and political noise dominated EM headlines. Commodity exporting countries, such as Ecuador and Zambia, posted steep losses as the declining terms of trade lowered growth expectations and commodity-related revenues to the government. Ukraine sovereign bond prices more than doubled following the announcement of favorable restructuring terms to creditors. Brazil corporate and sovereign bonds suffered from political uncertainty in implementing a fiscal adjustment to stabilize the country’s debt levels and the corruption scandal. EM local currency debt saw sharp declines as EM currencies broadly fell against the USD.
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| | Semi-Annual Report | | September 30, 2015 | | 5 |
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| Financial Markets Highlights (Cont.) | | September 30, 2015 |
| · | | Investment Grade (IG) Credit |
For the 6-month period ended September 30, 2015, IG credit recorded a total return of -2.37% and an excess return of -2.34%, as measured by the Barclays U.S. Credit Index. Negative returns were driven by higher U.S. Treasury yields and spread widening. Spreads widened from 124 bps to 160 bps, and the 10-year yield increased by 11.4 bps to 2.04%. The long duration and lower quality portion of the Index underperformed over the period. The BBB component of the Index posted a total return of -3.97% compared to the AAA component of the Index that posted +0.15% for the period. The long-end of the Index returned -6.77% while the 1-5 year section of the Index returned +0.33%. Technicals have been negative as supply has remained high and demand has subsided. New issuance has been robust at $685 billion for the 6-month reporting period and is on track to beat last year’s all time high of $1.1 trillion. Demand has been mixed during the period, with only $3.5 billion of inflows compared to $54.6 billion of inflows for the prior year 6-month period.
For the 6-month period ended September 30, 2015, the S&P/LSTA Leveraged Loan Index declined -0.67%. Bank loan performance improved across the credit spectrum as BB loans outperformed their lower B-rated and CCC-rated counterparts. A look at performance by industry for the period showed that outperformance was led by Beverage & Tobacco (+2.28%) and Home Furnishings (+2.20%). As commodity prices remained weak over the period, it comes as no surprise that underperformers were related to the commodity sector. The greatest underperformers were Forest Products (-15.65%) and Oil and Gas (-12.98%).
For the 6-month period ended September 30, 2015, the Citi High-Yield Cash-Pay Capped Index returned -5.29%. Shorter-maturity bonds outperformed longer ones, with those maturing in 10 years or more returning -7.58% while the 1-7 year category returned -5.14%. Credit quality was a significant differentiator, with BB-rated issues returning -4.80% while the CCC-rated issues returned -8.79%. Notable outperformers by industry were Retail-Food & Drug (+1.64%), Airlines (+1.55%), and Restaurants (+1.21%). The underperforming sectors over the period were all commodity-related. Underperformance was led by Secondary Oil & Gas Producers (-20.72%), Metals & Mining (-19.38%), and Paper & Forest Products (-17.80%).
| · | | Collateralized Loan Obligations (CLOs) |
For the 6-month period ended September 30, 2015, total CLO new issuance was $47.5 billion. CLO issuance started the second quarter of 2015 strong with $28.6 billion across 55 deals, but was unable to keep that pace through the third quarter, which only saw $18.9 billion from 36 deals. This issuance slowdown was attributed to seasonality, with historically slower summer months, as well as volatility in the broader U.S. and international markets, oil volatility, and a slower bank loan pipeline. These same factors also caused CLO prices to decrease over the period as many investors were waiting on the sidelines until volatility subsided.
Global equities, as measured by the Morgan Stanley Capital International All Country World Index (MSCI ACWI), declined -8.87% during the 6-month period ended September 30, 2015 as global risk assets came under pressure on increased concerns of global growth deceleration and rising uncertainty around the Federal Reserve’s intention to normalize key interest rates. U.S. equities were not immune and sold off during the 6-month period. In Europe, regional equities declined significantly with the Deutsche Borse AG German Stock Index (DAX) down -19.27%, CAC 40 Index down -9.23%, and Financial Times Stock Exchange 100 (FTSE 100) down -8.62%. In the periphery, equities slumped with the Financial Times Stock Exchange Milano Italia Borse (FTSEMIB) down -5.73% and the Índice Bursátil Español (IBEX) down -15.52%. As “Grexit” (Greek exit) fears abated in the third quarter, concerns increased that the eurozone’s economic recovery would be derailed from an economic slowdown in China and EM. Asian equities came under pressure with the Nikkei 225 Index down -8.85%, Shanghai Composite down -17.29%, Hang Seng down -14.01%, and Kospi down -3.75%. Asian equities sold off on the back of growth concerns out of China as the economic data released during the period indicated China’s economy was indeed slowing. The devaluation of the Chinese Yuan in August sparked fears that China was embarking on a competitive devaluation and in effect would export deflation to its trading partners. EM ended the period significantly lower with MSCI Emerging Markets Index (MSCI EM) down -17.11%. Russian equities declined with MSCI Russia Index down -7.79%. Brazilian equities, as measured by the Ibovespa Brasil Sao Paulo Stock Exchange Index (Bovespa), declined -11.91%. Indian equities, as measured by the BSE India Sensitive Index (Sensex), declined -5.47% during the period.
In the 6-month period ended September 30, 2015, the commodities market declined by 10.50% and 12.27%, as measured by the Bloomberg Commodities Index (BCOM) and the S&P GSCI, respectively. The commodity market endured broad declines during this period with all five sectors ending in the red. The hardest hit sector was industrial metals (-14.92%) with a slowdown in China and emerging markets leading to a selloff in the bellwether copper (-14.54%); the worst performing commodity in this sector was zinc, which declined by 19.61%. The other sector down double digits was energy (-14.61%) as global demand failed to keep pace with increased global supply; the worst performing commodity in this sector was Brent crude (-18.74%). The livestock sector fell 10.07% as global demand for cattle decreased due to high prices, this lead to a fall in live cattle (-18.63%) but an increase in lean hogs (+12.30%). Agriculture was the best performing sector, ending down -4.52%, with grains selling off across the sector while softs were divided; coffee (-13.96%), cotton (-5.48%) and sugar (-2.29%) declined while cocoa rallied (+14.72%). Precious metals, declined by 6.84% as gold (-6.01%) and silver (-13.29%) both fell due to dollar strengthening and a lack of global inflation.
| · | | U.S. Large Cap Equities |
In the 6-month period ended September 30, 2015, the large cap U.S. equity market declined by -6.18% as measured by the S&P 500® Index. The large cap value segment of the U.S. equity market fell by 8.30% over the same time period as measured by the Russell 1000® Value index. Both markets rallied early in the second quarter before falling to close the quarter slightly positive. This sideways movement continued in the first half of the third quarter until both markets sold off rapidly in mid-August as fears of a global growth slowdown emerged. One source of this acute selloff was fear that China was experiencing a financial crisis – efforts by Chinese authorities curbed these notions, at least temporarily, and the market recovered partially from the lows of late August. The Federal Open Market Committee (FOMC) decided against raising the Fed Funds Target Rate during the September meeting, and the continued uncertainty around the timing of a potential rate hike caused a market selloff to end the period.
The U.S. Treasury market was broadly stable through the 6-month period ended September 30, 2015. Investors generally expected higher yields and tighter Federal Reserve policy going into the period. As it turned out, lackluster domestic growth, low inflation with declining commodity prices and economic weakness in Europe and Asia kept the Federal Reserve on hold and kept a lid on U.S. Treasury yields. Greece-related turmoil in the second quarter and a surprise currency devaluation by China in mid-August added some excitement to the period, but investors ultimately remained focused on the prospects for domestic economic growth and the likelihood of a Federal Reserve liftoff. Federal Reserve Chair Yellen saw a late 2015 liftoff at the September FOMC meeting, but investors have become increasingly skeptical in the face of forecasts of weak fourth quarter Gross Domestic Product growth, falling inflation and headwinds from struggling emerging market economies. The benchmark 10-year note yield began the period near the lows of the past year at 1.92%, rose through the second quarter to a high of 2.48% in mid and late June, but then declined through the third quarter to end the period at 2.04%.
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| | Semi-Annual Report | | September 30, 2015 | | 7 |
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| Management’s Discussion of Fund Performance | | September 30, 2015 |
DoubleLine Total Return Bond Fund
The DoubleLine Total Return Bond Fund outperformed the Barclays U.S. Aggregate Bond Index return of -0.47% for the 6-month period ended September 30, 2015. As a result of the steepening U.S. yield curve, longer duration securities such as Agency Residential Mortgage-Backed Securities (RMBS) underperformed their shorter duration counterparts during the period. Specifically, passthroughs and fixed-rate CMOs contributed the most to total return and high interest income helped mitigate declining prices. Non-Agency RMBS performed well despite facing some mixed valuations across the credit quality spectrum, as Alt-A bonds suffered from some declines in price. Overall, non-Agency RMBS has continued to exhibit high carry profiles, which has resulted in robust interest income returns for the Fund. In addition, the non-Agency RMBS space has remained relatively insulated from the widening credit spreads seen within the corporate markets which have been mired by heavy issuance calendars, and concerns over slowing global growth and the energy sector. Other structured product sectors, such as CLOs and CMBS, were impacted more materially as spreads widened across both sectors, resulting in a relatively flat return over the period.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | 1.17% | |
N-Share | | | | | 1.04% | |
Barclays U.S. Aggregate Bond Index | | | | | -0.47% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Core Fixed Income Fund
The DoubleLine Core Fixed Income Fund performed in line with the Barclays U.S. Aggregate Bond Index’s return of -0.47% over the 6-month period ended September 30, 2015 despite a volatile period for fixed income markets. Credit sensitive assets struggled, with HY debt and EMFI declining significantly – particularly in the last three months of the period. Not surprisingly, HY and EMFI were the worst performing sectors within the Fund. IG corporate credit also lagged, but performed in line with the Barclays U.S. Credit Index. Conversely MBS, which, as of the end of the reporting period, continued to have the largest allocation at 34.5% of the Fund’s portfolio, performed well, aided by non-Agency MBS collateral pools in the latter half of the period. Non-Agency RMBS within the Fund performed well due to the high interest income the securities generated, and appreciated moderately. Bank Loans and CLOs additionally contributed total return gains to the Fund over the period despite recent weakness in the last quarter of the period. Municipal holdings and Treasuries also added positive performance, but lagged other sectors held in the portfolio. CMBS slightly detracted from the performance of the Fund as the securities experienced periods of widening spreads caused by volatility in the credit markets.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | -0.46% | |
N-Share | | | | | -0.58% | |
Barclays U.S. Aggregate Bond Index | | | | | -0.47% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Emerging Markets Fixed Income Fund
Over the 6-month period ended September 30, 2015, the DoubleLine Emerging Markets Fixed Income Fund underperformed the JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified. Over the second quarter of 2015, the Fund outperformed the Index, driven by strong security selection and an overweight position, relative to the Index, in Latin American (Latam) credits. The Fund saw strong performance by the Latam export sectors, such as large protein-processing companies, given their dollar revenue base and by energy credits following stabilizing oil prices during the second quarter. The Fund’s gains were reversed in the third quarter after China growth slowdown concerns started to further weigh on commodity prices and the global growth outlook, particularly in the Latin American region. In addition, the Fund’s zero allocation to sovereign and quasi-sovereign credits in Ukraine, Russia, and Argentina hurt performance since each of these three countries outperformed over the period.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | -2.94% | |
N-Share | | | | | -3.07% | |
JP Morgan Emerging Markets Bond Index Global Diversified | | | | | -2.04% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Multi-Asset Growth Fund
The DoubleLine Multi-Asset Growth Fund underperformed the Blended Benchmark during the 6-month period ended September 30, 2015, while the Blended Benchmark declined -4.23%. Allocations to both domestic and international equities detracted from performance during the period, with the MSCI All-Country World Index (ACWI) declining -8.87% during the period. U.S. equities, as measured by the S&P 500® Index, were down -6.18%, while the Eurostoxx 50 and Nikkei 225 were down -13.95% and -8.85%, respectively. The fixed income sleeve of the Fund ended the period lower. Positions in U.S. Treasuries and MBS contributed to performance, while EM credit, Bank Loans, and HY credit detracted from performance. The real assets sleeve detracted from Fund performance, but significantly outperformed the S&P Goldman Sachs Commodity Index (GSCI), which was down -9.41% during the period.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | -7.07% | |
A-Share | | | | | | |
Without Load | | | | | -7.20% | |
With Load | | | | | -11.15% | |
S&P 500® Index | | | | | -6.18% | |
Blended Benchmark* | | | | | -4.23% | |
| * | Blended Benchmark: 60% Barclays U.S. Aggregate Bond Index/25% Morgan Stanley Capital International (MSCI) All Country World Index/15% S&P Goldman Sachs Commodity Index (GSCI) Total Return Index |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Low Duration Bond Fund
The DoubleLine Low Duration Bond Fund underperformed the Bank of America Merrill Lynch 1-3 Year U.S. Treasury Index’s return of 0.46% over the 6-month-period ended September 30, 2015. Credit sensitive assets struggled with EMFI declining significantly – particularly over the last three months. Not surprisingly, EMFI was the worst performing sector within the Fund returning a small negative total return. Conversely, MBS performed well aided by non-Agency collateral pools in the latter half of the period. Non-Agency RMBS within the Fund performed well due to the high interest income the securities generated, while also appreciating moderately. Bank Loans, CMBS and CLOs additionally contributed total return gains to the Fund over the 6-month reporting period despite recent weakness in the last quarter.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | 0.34% | |
N-Share | | | | | 0.31% | |
BofA/Merrill Lynch 1-3 Year U.S. Treasury Index | | | | | 0.46% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Floating Rate Fund
For the 6-month period ended September 30, 2015, the DoubleLine Floating Rate Fund outperformed the S&P/LSTA Leveraged Loan Index return of -0.67%. The Fund benefited by being positioned in the higher quality end of the credit spectrum, with a significant overweight position to B-rated credits that returned 0.17% more than the overall Index, and a moderate underweight position to CCC-rated credits that returned 3.91% less than the overall Index. Furthermore, the Fund held no defaulted securities, which composed 2.08% of the Index for the period and generated a return of -26.75% for the period. Industry allocation had a positive contribution to relative performance, as the Fund maintained underweight positions of approximately 2.50% and 1.00% in Oil & Gas and Metals/Mining credits, respectively. Oil & Gas and Metals/Mining credits returned approximately -12.98% and -11.66% during the period, respectively. Furthermore, the Fund held minimal exposure to Paper, which had negative performance that was in-line with the two aforementioned industries. Other significant drivers included an underweight position in second lien loans, which returned -3.50% during the period. In addition, the Fund also held positions in higher quality unsecured bonds that generated a -3.14% return during the period, which detracted from relative performance as the Index does not hold these instruments.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | 0.40% | |
N-Share | | | | | 0.28% | |
S&P/LSTA Leveraged Loan Index | | | | | -0.67% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
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| | Semi-Annual Report | | September 30, 2015 | | 9 |
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| Management’s Discussion of Fund Performance (Cont.) | | September 30, 2015 |
DoubleLine Shiller Enhanced CAPE®
In the 6-month period ended September 30, 2015, the DoubleLine Shiller Enhanced CAPE® underperformed the S&P 500® Index. During this period, the Fund’s exposure to the Shiller Barclays Enhanced CAPE® (“CAPE® Index”) detracted 6.43% from the Fund’s performance, while the Fund’s fixed income exposure added 0.07% to its performance. Over this period the CAPE® Index was exposed to consumer staples, healthcare, industrials, and technology. All four of these sectors declined in value during the period, with industrials declining the most and consumer staples declining the least. Within the fixed income portfolio, performance was mixed for the period; the best performing sector was MBS while the worst was HY.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | -6.36% | |
N-Share | | | | | -6.48% | |
S&P 500® Index | | | | | -6.18% | |
Shiller Barclays CAPE® U.S. Sector Total Return Index | | | | | -5.93% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Flexible Income Fund
The DoubleLine Flexible Income Fund underperformed during the 6-month period ended September 30, 2015 as credit assets fell significantly, particularly over the last three months of the period. Global fixed income markets were effected by concern over deteriorating growth, weakness in the commodities complex and a surprise currency devaluation in China. As such, both EMFI and HY were the worst performing sectors within the Fund. Conversely, MBS performed well, aided by non-Agency collateral pools in the latter half of the 6-month period. Non-Agency RMBS within the Fund performed well due to the high interest income the securities generated, while also appreciating moderately. Bank Loans, CMBS and CLOs additionally contributed total return gains to the Fund over the 6-month reporting period despite recent weakness in the last quarter of the period.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | -0.15% | |
N-Share | | | | | -0.26% | |
LIBOR* USD 3 Month | | | | | 0.15% | |
| * | LIBOR stands for the London Interbank Offered Rate. |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Low Duration Emerging Markets Fixed Income Fund
Over the 6-month period ended September 30, 2015, the DoubleLine Low Duration Emerging Markets Fixed Income Fund underperformed the JP Morgan Corporate EMBI (CEMBI) Broad Diversified 1-3 Index. The Fund’s underperformance was due to an overweight allocation, relative to the Index, to credits in Latin America. Energy, mining and financial related credits in Brazil, Colombia, and Mexico held in the Fund saw negative returns on the back of lower commodity prices and slowing growth in the region. Performance also was hurt by exposure to commodity related producers in India and Indonesia. In addition, the Fund’s zero allocation to sovereign and quasi sovereign credits in Russia hurt relative performance, as Russian bonds outperformed over the period.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | -1.04% | |
N-Share | | | | | -1.16% | |
JP Morgan CEMBI Broad Diversified 1-3 Year Index | | | | | 0.62% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Long Duration Total Return Bond Fund
For the 6-month period ended September 30, 2015, the DoubleLine Long Duration Total Return Bond Fund outperformed the Barclays U.S. Long Government/Credit Index return of -5.56%. The U.S yield curve steepened during that period with 10-year Treasury yields increasing
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| 10 | | DoubleLine Funds Trust | | | | |
by 11 bps and 30-year Treasury yields increasing by 32 bps. As a result of rising interest rates at the longer end of the curve, longer duration securities in general underperformed relative to their shorter duration counterparts within the fixed income markets. Within Agency RMBS, fixed rate CMOs performed the best; the sector faced declining valuations as a result of the increase in U.S. interest rates, but interest carry helped mitigate these declines in price. In contrast, U.S. Treasury exposure within the Fund detracted from performance the most as they suffered from price declines with less interest carry relative to the mortgage sector; however, the exposure to U.S. Treasuries remains an important allocation in managing the duration and convexity profile of the aggregate portfolio during this relatively low interest rate environment. Overall, the aggregate portfolio’s slightly shorter duration profile relative to the benchmark and the absence of corporate credit, which has faced widening spreads for the period due to concerns over global growth and the energy/oil markets, both benefited the Fund’s performance over the period.
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| Period Ended 9-30-15 | | | | 6-months | |
I-Share | | | | | -1.75% | |
N-Share | | | | | -1.87% | |
Barclays Long Government/Credit Index | | | | | -5.56% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Strategic Commodity Fund
In the period from inception on May 18, 2015 through September 30, 2015, the DoubleLine Strategic Commodity Fund outperformed the broader commodity market, outperforming the Bloomberg Commodity Index (BCOM) return of -16.42% and the 17.28% return of the S&P GSCI. The Fund was exposed to both broad commodity-related beta and a long-short alpha strategy during the period. The Backwardation Focused Multi Commodity Beta Basket (beta) declined by 17.28% while the DoubleLine Commodity Long-Short Strategy (alpha) returned a positive 0.96% over this time. The outperformance of 3.93% over the BCOM was driven primarily by the alpha beta mix as the allocation to the alpha added to performance.
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| Period From 5-18-15 through 9-30-15 | | | | Since Inception
(Not Annualized) | |
I-Share | | | | | -12.50% | |
N-Share | | | | | -12.60% | |
Bloomberg Commodity Index Total Return | | | | | -16.42% | |
| * | Inception Date of 5-18-2015 |
For additional performance information, please refer to the “Standardized Performance Summary.”
Past Performance is not a guarantee of future results.
Opinions expressed herein are as of September 30, 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 result in losing more than the amount invested.
Equities may decline in value due to both real and perceived general market, economic, and industry conditions.
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| | Semi-Annual Report | | September 30, 2015 | | 11 |
| | |
| Management’s Discussion of Fund Performance (Cont.) | | September 30, 2015 |
Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. ETF investments involve additional risks such as the market price trading at a discount to its net asset value, an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.
Floating rate loans and other floating rate investments are subject to credit risk, interest rate risk, counterparty risk and financial services risks, among others.
Additional principal risks for the Funds can be found in the prospectus.
Diversification does not assure a profit or protect against loss in a declining market.
Credit ratings from Moody’s range from the highest rating of Aaa for bonds of the highest quality that offer the lowest degree of investment risk to the lowest rating of C for the lowest rated class of bonds. Credit ratings from Standard & Poor’s (S&P) range from the highest rating of AAA for bonds of the highest quality that offer the lowest degree of investment risk to the lowest rating of D for bonds that are in default.
Credit ratings are determined by the highest available credit rating from any Nationally Recognized Statistical Rating Agency (“NRSRO”, generally S&P, Moody’s and Fitch). DoubleLine chooses to display credit ratings using S&P’s rating convention, although the rating itself might be sourced from another NRSRO.
Alpha—A measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a mutual fund and compares its risk-adjusted performance to a benchmark index.
Backwardation—As the contract approaches expiration, the futures contract will trade at a higher price compared to when the contract was further away from expiration. This is said to occur due to the convenience yield being higher than the prevailing risk free rate.
Backwardation Focused Multi-Commodity Beta Basket—This basket is composed of futures contracts on eleven commodities, which were selected based on (i) the contracts’ historical backwardation relative to other commodity-related futures contracts and (ii) the contracts’ historical liquidity. Of the commodities represented in the basket, five are in the energy sector, two are in the industrial metals sector, and four are in the agricultural and livestock sectors.
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. 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).
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.
Beta—The measure of a mutual fund’s volatility in relation to the market. By definition, the market has a beta of 1.0, and individual mutual funds are ranked according to how much they deviate from the market. A beta of above 1.0 means the fund swings more than the market. If the fund moves less than the market, the beta is less than 1.0.
BSE India Sensitive Index (Sensex)—A cap-weighted index whose members are chosen based on liquidity, depth and floating-stock-adjustment depth and industry representation.
Bloomberg Commodity Index (BCOM)—An index calculated on an excess return basis that reflects commodity futures price movements. The index rebalances annually weighted 2/3 by trading volume and 1/3 by world production and weight-caps are applied at the commodity, sector and group level for diversification. Roll period typically occurs from 6th-10th business day based on the roll schedule.
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.
Cotation Assistee en Continu 40 (CAC 40)—The CAC 40 Index which is a French stock market index. It tracks 40 of the largest French stocks on the Paris Bourse, or stock exchange.
Deutsche Borse AG German Stock Index (DAX)—The German stock index, which represents 30 of the largest and most liquid German companies that trade on the Frankfurt Exchange.
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.
Eurostoxx 50—A stock index of eurozone stocks designed by STOXX, an index provider owned by Deutsche Borse Group and SIX group, with the goal of providing a blue-chip representation of Supersector leaders in the eurozone.
Financial Times Stock Exchange 100 (FTSE 100)—A capitalization-weighted index of the 100 most highly capitalized companies traded on the London Stock Exchange.
Financial Times Stock Exchange Milano Italia Borsa (FTSE MIB)—The benchmark stock market index for the Borsa Italiana, the Italian national stock exchange, which superseded the MIB-30 in September 2004. The index consists of the 40 most-traded stock classes on the exchange.
Hang Seng Index—A free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties.
Ibovespa Brasil Sao Paulo Stock Exchange Index (Bovespa)—A gross return index weighted by traded volume and is comprised of the most liquid stocks traded on the Sao Paulo Stock Exchange. The Bovespa Index has been divided 10 times by a factor of 10 since January 1, 1985.
Indice Bursatil Espanol (IBEX)—The official index of the Spanish Continuous Market. The index is comprised of the 35 most liquid stocks traded on the Continuous market. It is calculated, supervised and published by the Sociedad de Bolsas.
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| 12 | | DoubleLine Funds Trust | | | | |
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 1-3 Year Index—This index is a market capitalization weighted index consisting of US-denominated Emerging Market corporate bonds with 1-3 year maturity. 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.
Korea Composite Stock Price Index (Kospi)—A market capitalization weighted index of all common stocks traded on the Stock Market Division—previously, Korea Stock Exchange—of the Korea Exchange. It is the representative stock market index of South Korea, similar to the Dow Jones Industrial Average or S&P 500 in the United States.
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 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)—The Index is a float-adjusted market capitalization index designed to measure equity market performance in global emerging markets. It consists of indices in 26 emerging economies, including but not limited to, Argentina, Brazil, China, India, Poland, Thailand, Turkey, and Venezuela.
Morgan Stanley Capital International Russia Index—A free-float capitalization-weighted index used to track the equity market performance of Russian securities on the MICEX Stock Exchange.
Mortgage Bankers Association (MBA) Purchase Index—An index that includes all mortgage applications for purchases of single-family homes. It covers the entire market, both conventional and government loans and all products.
Nikkei 225 Index—A price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange. The Nikkei is equivalent to the Dow Jones Industrial Average Index in the U.S.
Russell 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.
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 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)—This composite index of commodity sector returns represents a broadly diversified, unleveraged, long-only position in commodity futures. The index’s components qualify for inclusion in the index based on liquidity measures and are weighted in relation to their global production levels, making the Index a valuable economic indicator and commodities market benchmark. The GSCI Excess Return index is one of the three S&P GSCI Indices published, measuring the return accrued from investing in uncollateralized nearby commodity futures. This Excess Return Index includes an Energy component, which was referenced in this commentary.
S&P/LSTA Leveraged Loan Index—Capitalization-weighted syndicated loan indices are based upon market weightings, spreads and interest payments, and this index covers the U.S. market back to 1997 and currently calculates on a daily basis. Created by the Leveraged Commentary & Data (LCD) team at S&P Capital IQ, the review provides an overview and outlook of the leveraged loan market as well as an expansive review of the S&P Leveraged Loan Index and sub-indexes. The review consists of index general characteristics, results, risk-return profile, default/distress statistics, and repayment analysis.
A direct investment cannot be made in an index. The performance of any index mentioned in this commentary has not been adjusted for ongoing management, distribution and operating expenses applicable to mutual fund investments.
The DoubleLine Funds are distributed by Quasar Distributors, LLC.
DoubleLine® is a registered trademark of DoubleLine Capital LP.
This commentary may include statements that constitute “forward-looking statements” under the U.S. securities laws. Forward-looking statements include, among other things, projections, estimates, and information about possible or future results related to a Fund and market or regulatory developments. The views expressed above are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein.
DoubleLine has no obligation to provide revised assessments in the event of changed circumstances. While we have gathered this information from sources believed to be reliable, DoubleLine cannot guarantee the accuracy of the information provided. Securities discussed are not recommendations and are presented as examples of issue selection or portfolio management processes. They have been picked for comparison or illustration purposes only. No security presented within is either offered for sale or purchase. DoubleLine reserves the right to change its investment perspective and outlook without notice as market conditions dictate or as additional information becomes available.
Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors. The views and forecasts expressed in this material are as of the date indicated, are subject to change without notice, may not come to pass and do not represent a recommendation or offer of any particular security, strategy, or investment. Past performance is no guarantee of future results.
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| | Semi-Annual Report | | September 30, 2015 | | 13 |
| | |
| Standardized Performance Summary | | (Unaudited) September 30, 2015 |
As of September 30, 2015
| | | | | | | | | | | | | | | | | | | | | | | | |
| DBLTX/DLTNX | | | | | | | | | | | | �� | | | | | | | |
Total Return Bond Fund
Returns as of September 30, 2015 | | | 6 Months | | | | 1 Year | | |
| 3 Year
Annualized |
| |
| 5 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10) |
| | Gross
Expense Ratio |
I-share (DBLTX) | | | 1.17% | | | | 4.23% | | | | 3.42% | | | | 5.91% | | | | 8.05% | | | 0.47% |
N-share (DLTNX) | | | 1.04% | | | | 4.07% | | | | 3.20% | | | | 5.66% | | | | 7.80% | | | 0.72% |
Barclays U.S. Aggregate Bond Index | | | -0.47% | | | | 2.94% | | | | 1.71% | | | | 3.10% | | | | 4.03% | | | | | |
| DBLFX/DLFNX | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
Returns as of September 30, 2015 | | | 6 Months | | | | 1 Year | | |
| 3 Year
Annualized |
| |
| 5 Year
Annualized |
| |
| Since Inception
Annualized
(6-1-10) |
| | Gross
Expense Ratio |
I-share (DBLFX) | | | -0.46% | | | | 2.79% | | | | 2.63% | | | | 5.32% | | | | 6.35% | | | 0.50% |
N-share (DLFNX) | | | -0.58% | | | | 2.54% | | | | 2.40% | | | | 5.07% | | | | 6.10% | | | 0.75% |
Barclays U.S. Aggregate Bond Index | | | -0.47% | | | | 2.94% | | | | 1.71% | | | | 3.10% | | | | 3.67% | | | | | |
| DBLEX/DLENX | | | | | | | | | | | | | | | | | | | |
Emerging Markets Fixed Income Fund
Returns as of September 30, 2015 | | | 6 Months | | | | 1 Year | | |
| 3 Year
Annualized |
| |
| 5 Year
Annualized |
| |
| Since Inception
Annualized
(4-6-10) |
| | Gross
Expense Ratio |
I-share (DBLEX) | | | -2.94% | | | | -4.84% | | | | 1.07% | | | | 4.19% | | | | 5.06% | | | 0.90% |
N-share (DLENX) | | | -3.07% | | | | -5.17% | | | | 0.82% | | | | 3.94% | | | | 4.81% | | | 1.15% |
JP Morgan Emerging Markets Bond Index Global Diversified | | | -2.04% | | | | -0.62% | | | | 1.50% | | | | 4.73% | | | | 6.01% | | | | | |
| DMLIX/DMLAX | | | | | | | | | | | | | | | | | | | |
Multi-Asset Growth Fund
Returns as of September 30, 2015 | | | 6 Months | | | | 1 Year | | |
| 3 Year
Annualized |
| | | | | |
| Since Inception
Annualized
(12-20-10) |
| | Gross Expense Ratio | | Net Expense Ratio* |
I-share (DMLIX) | | | -7.07% | | | | -1.41% | | | | 0.65% | | | | | | | | 1.82% | | | 1.49% | | 1.39% |
A-share (DMLAX) | | | | | | | | | | | | | | | | | | | | | | 1.74% | | 1.64% |
A-share (No Load) | | | -7.20% | | | | -1.76% | | | | 0.33% | | | | | | | | 1.53% | | | | | |
A-share (With Load) | | | -11.15% | | | | -5.94% | | | | -1.11% | | | | | | | | 0.61% | | | | | |
S&P 500® Index TR | | | -6.18% | | | | -0.61% | | | | 12.40% | | | | | | | | 11.80% | | | | | |
Blended Benchmark** | | | -4.23% | | | | -7.10% | | | | -0.28% | | | | | | | | 1.98% | | | | | |
| DBLSX/DLSNX | | | | | | | | | | | | | | | | | | | |
Low Duration Bond Fund
Returns as of September 30, 2015 | | | 6 Months | | | | 1 Year | | |
| 3 Year
Annualized |
| | | | | |
| Since Inception
Annualized
(9-30-11) |
| | Gross
Expense Ratio |
I-share (DBLSX) | | | 0.34% | | | | 1.10% | | | | 1.55% | | | | | | | | 2.23% | | | 0.46% |
N-share (DLSNX) | | | 0.31% | | | | 0.95% | | | | 1.33% | | | | | | | | 1.99% | | | 0.71% |
BofA/Merrill Lynch 1-3 Year U.S. Treasury Index | | | 0.46% | | | | 1.16% | | | | 0.67% | | | | | | | | 0.65% | | | | | |
| DBFRX/DLFRX | | | | | | | | | | | | | | | | | | | |
Floating Rate Fund
Returns as of September 30, 2015 | | | 6 Months | | | | 1 Year | | | | | | |
| Since Inception
Annualized
(2-1-13) |
| | Gross Expense Ratio+ | | Net Expense Ratio* |
I-share (DBFRX) | | | 0.40% | | | | 3.44% | | | | | | | | 2.87% | | | 0.68% | | 0.71% |
N-share (DLFRX) | | | 0.28% | | | | 3.18% | | | | | | | | 2.70% | | | 0.93% | | 0.96% |
S&P / LSTA Leveraged Loan Index | | | -0.67% | | | | 0.92% | | | | | | | | 2.72% | | | | | |
| DSEEX/DSENX | | | | | | | | | | | | | | | | | | | |
Shiller Enhanced CAPE®
Returns as of September 30, 2015 | | | 6 Months | | | | 1 Year | | | | | | |
| Since Inception
Annualized
(10-31-13) |
| | Gross Expense Ratio | | Net Expense Ratio* |
I-share (DSEEX) | | | -6.36% | | | | 1.99% | | | | | | | | 9.08% | | | 0.84% | | 0.67% |
N-share (DSENX) | | | -6.48% | | | | 1.66% | | | | | | | | 8.78% | | | 1.09% | | 0.92% |
S&P 500® Index | | | -6.18% | | | | -0.61% | | | | | | | | 6.97% | | | | | |
Shiller Barclays CAPE® U.S. Sector Total Return Index | | | -5.93% | | | | 1.39% | | | | | | | | 7.49% | | | | | |
| | | | | | |
| 14 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
| DFLEX/DLINX | | | | | | | | | | | | | | | |
Flexible Income Fund
Returns as of September 30, 2015 | | | 6 Months | | | 1 Year | | Since Inception
Annualized
(4-7-14) | | Gross Expense Ratio | | Net Expense Ratio* |
I-share (DFLEX) | | | -0.15% | | | 1.65% | | 2.48% | | 1.35% | | 0.84% |
N-share (DLINX) | | | -0.26% | | | 1.40% | | 2.26% | | 1.60% | | 1.09% |
LIBOR USD 3 Month | | | 0.15% | | | 0.27% | | 0.27% | | | | |
| DBLLX/DELNX | | | | | | | | | | | | | | | |
| Low Duration Emerging Markets Fixed Income Fund Returns as of September 30, 2015 | | | 6 Months | | | 1 Year | | Since Inception
Annualized
(4-7-14) | | Gross Expense Ratio | | Net Expense Ratio* |
I-share (DBLLX) | | | -1.04% | | | -1.93% | | 0.58% | | 0.91% | | 0.59% |
N-share (DELNX) | | | -1.16% | | | -2.06% | | 0.42% | | 1.16% | | 0.84% |
JP Morgan CEMBI Broad Diversified 1-3 Year Index | | | 0.62% | | | 1.65% | | 1.74% | | | | |
| DBLDX/DLLDX | | | | | | | | | | | | | | | |
Long Duration Total Return Bond Fund
Returns as of September 30, 2015 | | | 6 Months | | | | | | | Since Inception
(12-15-14) | | Gross Expense Ratio | | Net Expense Ratio*** |
I-share (DBLDX) | | | -1.75% | | | | | | | 3.31% | | 1.33% | | 0.65% |
N-share (DLLDX) | | | -1.87% | | | | | | | 3.02% | | 1.58% | | 0.90% |
Barclays Long Government/Credit Index | | | -5.56% | | | | | | | -1.95% | | | | |
| DBCMX/DLCMX | | | | | | | | | | | | | | | |
Strategic Commodity Fund
Returns as of September 30, 2015 | | | | | | | | | | Since Inception
(5-18-15) | | Gross Expense Ratio | | Net Expense Ratio**** |
I-share (DBCMX) | | | | | | | | | | -12.50% | | 1.30% | | 1.11% |
N-share (DLCMX) | | | | | | | | | | -12.60% | | 1.55% | | 1.36% |
Bloomberg Commodity Index Total Return | | | | | | | | | | -16.42% | | | | |
The performance information shown assumes the reinvestment of all dividends and distributions. Returns over 1- year are average annual returns. Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. The Funds’ gross and net expense ratios are taken from the most recent prospectus and may change over time. The Funds’ gross expense ratio also includes “acquired fund fees and expenses,” which are expenses incurred indirectly as a result of a Fund’s investments in one or more underlying funds, including ETFs and money market funds. Because these costs are indirect, the expense ratios will not correlate to the expense ratios in the Funds’ financial statements, since financial statements only include direct costs of the Funds and not indirect costs of investing in the underlying funds. Performance data current to the most recent month-end may be obtained by calling (213) 633-8200 or by visiting www.doublelinefunds.com.
Performance data shown for the Multi-Asset Growth Fund Class reflects the Class A maximum sales charge of 4.25%. Performance data shown for the Class A No Load does not reflect the deduction of the sales load or fee. If reflected, the load or fee would reduce the performance quoted. The Multi-Asset Growth Fund imposes a Deferred Sales Charge of 0.75% on purchases of $1 million or more of Class A shares if redeemed within 18 months of purchase. The Multi-Asset Growth Fund and Floating Rate Fund impose a 1.00% redemption fee on all share classes if shares are sold within 90 days of purchase. Performance data does not reflect the redemption fee. If it had, returns would be reduced.
*The Adviser has contractually agreed to waive fees and reimburse expenses through July 31, 2016. For additional information regarding these expense limitation arrangements, please see Note 3 in the Notes to Financial Statements.
**The Blended Benchmark for the Multi-Asset Growth Fund is 60% Barclays U.S. Aggregate Bond Index, 25% MSCI All Country World Index & 15% SP GSCI Total Return Index.
***The Adviser has contractually agreed to waive fees and reimburse expenses through November 20, 2016.
****The Adviser has contractually agreed to waive fees and reimburse expenses through May 14, 2016.
+ The Gross Expense Ratio for the Floating Rate Fund is lower than its Net Expense Ratio because the Advisor recouped 0.03% in fees it had waived or expenses it had reimbursed in a prior period pursuant to an expense limitation agreement with the Fund.
Mutual Fund Investing involves risk. Principal loss is possible.
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 15 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 1.3% | | | | | | | | | |
| |
| | | | AVANT Loans Funding Trust, | |
| | 18,845,954 | | | Series 2015-A-A | | | 4.00% | ^ | | | 08/16/2021 | | | | 18,817,685 | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 11,633,749 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 11,633,749 | |
| |
| | | | CAN Capital Funding LLC, | |
| | 50,000,000 | | | Series 2012-1A-B1 | | | 3.12% | ^ | | | 04/15/2020 | | | | 49,900,000 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 66,799,752 | | | Series 2015-PM1-A | | | 1.85% | ^ | | | 12/15/2021 | | | | 66,672,832 | |
| | 29,000,000 | | | Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 28,808,600 | |
| | 10,500,000 | | | Series 2015-PM1-C | | | 5.01% | ^ | | | 12/15/2021 | | | | 10,519,950 | |
| |
| | | | Commonbond Student Loan Trust, | |
| | 31,758,280 | | | Series 2015-A-A | | | 3.20% | ^ | | | 06/25/2032 | | | | 32,179,760 | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| | 40,087,439 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 40,272,101 | |
| |
| | | | DB Master Finance LLC, | |
| | 54,227,500 | | | Series 2015-1A-A2I | | | 3.26% | ^ | | | 02/20/2045 | | | | 54,677,019 | |
| | 37,312,500 | | | Series 2015-1A-A2II | | | 3.98% | ^ | | | 02/20/2045 | | | | 37,704,934 | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| | 114,000,000 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 114,467,400 | |
| |
| | | | ECAF Ltd., | |
| | 75,000,000 | | | Series 2015-1A-A2 | | | 4.95% | ^ | | | 06/15/2040 | | | | 75,172,500 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 42,757,239 | | | Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 42,710,206 | |
| |
| | | | Nelnet Student Loan Trust, | |
| | 29,300,000 | | | Series 2007-2A-B1 | | | 1.47% | #^ | | | 09/25/2035 | | | | 27,184,452 | |
| |
| | | | Progreso Receivables Funding II LLC, | |
| | 9,000,000 | | | Series 2014-A-A | | | 3.50% | ^ | | | 07/08/2019 | | | | 9,002,700 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $619,349,215) | | | | 619,723,888 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 4.4% | |
| |
| | | | Adams Mill Ltd., | |
| | 20,000,000 | | | Series 2014-1A-A1 | | | 1.77% | #^ | | | 07/15/2026 | | | | 19,924,168 | |
| | 10,000,000 | | | Series 2014-1A-C1 | | | 3.29% | #^ | | | 07/15/2026 | | | | 9,860,253 | |
| |
| | | | AIMCO, | |
| | 13,100,378 | | | Series 2006-AA-A1 | | | 0.58% | #^ | | | 08/20/2020 | | | | 13,024,969 | |
| |
| | | | ALM Loan Funding, | |
| | 27,725,000 | | | Series 2012-7A-A1 | | | 1.71% | #^ | | | 10/19/2024 | | | | 27,692,686 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 3,500,000 | | | Series 2014-4A-A1A | | | 1.74% | #^ | | | 07/28/2026 | | | | 3,468,566 | |
| |
| | | | Apidos Ltd., | |
| | 1,500,000 | | | Series 2006-4A-C | | | 1.05% | #^ | | | 10/27/2018 | | | | 1,489,020 | |
| | 1,500,000 | | | Series 2006-4A-D | | | 1.80% | #^ | | | 10/27/2018 | | | | 1,490,664 | |
| | 13,338,281 | | | Series 2007-5A-A18 | | | 0.52% | #^ | | | 04/15/2021 | | | | 13,233,737 | |
| | 43,900,000 | | | Series 2013-16A-A1 | | | 1.74% | #^ | | | 01/19/2025 | | | | 43,657,905 | |
| | 5,500,000 | | | Series 2014-18A-B | | | 3.10% | #^ | | | 07/22/2026 | | | | 5,406,572 | |
| | 25,000,000 | | | Series 2014-19A-A1 | | | 1.79% | #^ | | | 10/17/2026 | | | | 24,893,175 | |
| | 23,000,000 | | | Series 2015-20A-A1 | | | 1.84% | #^ | | | 01/16/2027 | | | | 22,966,307 | |
| |
| | | | ARES Ltd., | |
| | 4,871,029 | | | Series 2007-12A-A | | | 0.96% | #^ | | | 11/25/2020 | | | | 4,800,166 | |
| | 25,000,000 | | | Series 2013-1A-B | | | 2.04% | #^ | | | 04/15/2025 | | | | 24,632,495 | |
| | 6,500,000 | | | Series 2013-1A-D | | | 4.04% | #^ | | | 04/15/2025 | | | | 6,264,394 | |
| | 4,087,872 | | | Series 2014-30A-A2 | | | 1.14% | #^ | | | 04/20/2023 | | | | 4,070,100 | |
| |
| | | | Atrium Corporation, | |
| | 31,465,589 | | | Series 5A-A2A | | | 0.55% | #^ | | | 07/20/2020 | | | | 31,274,895 | |
| |
| | | | Avery Point Ltd., | |
| | 3,950,000 | | | Series 2013-2A-D | | | 3.74% | #^ | | | 07/17/2025 | | | | 3,720,277 | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.82% | #^ | | | 04/25/2026 | | | | 4,985,275 | |
| |
| | | | Babson Ltd., | |
| | 4,500,000 | | | Series 2014-3A-D2 | | | 4.59% | #^ | | | 01/15/2026 | | | | 4,488,381 | |
| | 4,750,000 | | | Series 2014-IIA-C | | | 3.07% | #^ | | | 10/17/2026 | | | | 4,652,253 | |
| | 3,750,000 | | | Series 2014-IIA-D | | | 3.77% | #^ | | | 10/17/2026 | | | | 3,592,865 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Baker Street Funding Ltd., | |
| | 5,000,000 | | | Series 2005-1A-B | | | 0.79% | #^ | | | 12/15/2018 | | | | 4,945,517 | |
| |
| | | | Birchwood Park Ltd., | |
| | 5,000,000 | | | Series 2014-1A-C2 | | | 3.44% | #^ | | | 07/15/2026 | | | | 4,997,489 | |
| | 6,500,000 | | | Series 2014-1A-D2 | | | 4.49% | #^ | | | 07/15/2026 | | | | 6,494,747 | |
| |
| | | | BlackRock Senior Income, | |
| | 4,905,405 | | | Series 2006-4A-A | | | 0.53% | #^ | | | 04/20/2019 | | | | 4,886,863 | |
| | 2,398,276 | | | Series 2007-5A-A3 | | | 0.54% | #^ | | | 08/13/2019 | | | | 2,374,293 | |
| |
| | | | BlueMountain Ltd., | |
| | 54,000,000 | | | Series 2012-2A-A1 | | | 1.75% | #^ | | | 11/20/2024 | | | | 54,065,270 | |
| | 19,000,000 | | | Series 2012-2A-B1 | | | 2.39% | #^ | | | 11/20/2024 | | | | 19,023,993 | |
| | 16,150,000 | | | Series 2012-2A-C | | | 3.08% | #^ | | | 11/20/2024 | | | | 16,131,851 | |
| | 33,150,000 | | | Series 2013-1A-A1 | | | 1.52% | #^ | | | 05/15/2025 | | | | 32,732,615 | |
| | 4,000,000 | | | Series 2013-4A-A | | | 1.79% | #^ | | | 04/15/2025 | | | | 3,988,454 | |
| | 5,000,000 | | | Series 2014-3A-A1 | | | 1.77% | #^ | | | 10/15/2026 | | | | 4,967,881 | |
| | 6,250,000 | | | Series 2014-4A-B1 | | | 2.72% | #^ | | | 11/30/2026 | | | | 6,260,857 | |
| | 50,000,000 | | | Series 2015-3A-A1 | | | 1.81% | #^ | | | 10/20/2027 | | | | 49,894,260 | |
| |
| | | | Bridgeport Ltd., | |
| | 661,316 | | | Series 2006-1A-A1 | | | 0.54% | #^ | | | 07/21/2020 | | | | 653,895 | |
| |
| | | | Brookside Mill Ltd., | |
| | 17,000,000 | | | Series 2013-1A-C1 | | | 2.99% | #^ | | | 04/17/2025 | | | | 16,323,747 | |
| |
| | | | Callidus Debt Partners Fund Ltd., | |
| | 17,562,627 | | | Series 2007-6A-A1T | | | 0.55% | #^ | | | 10/23/2021 | | | | 17,228,991 | |
| |
| | | | Canyon Capital Ltd., | |
| | 9,500,000 | | | Series 2012-1A-B1 | | | 2.24% | #^ | | | 01/15/2024 | | | | 9,424,026 | |
| | 1,000,000 | | | Series 2014-1A-B | | | 2.95% | #^ | | | 04/30/2025 | | | | 966,980 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 17,000,000 | | | Series 2014-3A-B | | | 3.45% | #^ | | | 07/27/2026 | | | | 16,934,847 | |
| | 2,500,000 | | | Series 2014-3A-C2 | | | 4.50% | #^ | | | 07/27/2026 | | | | 2,502,133 | |
| | | |
| | | | Carlyle High Yield Partners Ltd., | | | | | | | | | |
| | 1,750,000 | | | Series 2006-8A-B | | | 0.71% | #^ | | | 05/21/2021 | | | | 1,698,736 | |
| | 5,401,557 | | | Series 2007-10A-A2A | | | 0.50% | #^ | | | 04/19/2022 | | | | 5,313,240 | |
| | | | |
| | | | Catamaran Ltd., | | | | | | | | | | | | |
| | 8,500,000 | | | Series 2015-1A1-B | | | 2.50% | #^ | | | 04/22/2027 | | | | 8,556,715 | |
| | 47,000,000 | | | Series 2015-1A-A | | | 1.85% | #^ | | | 04/22/2027 | | | | 46,870,910 | |
| | | | |
| | | | Cent Ltd., | | | | | | | | | | | | |
| | 5,000,000 | | | Series 2005-10A-D | | | 2.09% | #^ | | | 12/15/2017 | | | | 4,948,940 | |
| | 12,245,478 | | | Series 2006-11A-A1 | | | 0.56% | #^ | | | 04/25/2019 | | | | 12,101,672 | |
| | 1,679,940 | | | Series 2007-14A-A1 | | | 0.53% | #^ | | | 04/15/2021 | | | | 1,650,442 | |
| | 14,112,285 | | | Series 2007-14A-A2A | | | 0.52% | #^ | | | 04/15/2021 | | | | 13,886,050 | |
| | 6,250,000 | | | Series 2014-22A-B | | | 3.51% | #^ | | | 11/07/2026 | | | | 6,257,601 | |
| | 7,250,000 | | | Series 2014-22A-C | | | 4.06% | #^ | | | 11/07/2026 | | | | 7,007,395 | |
| | | |
| | | | Covenant Credit Partners Ltd., | | | | | | | | | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.77% | #^ | | | 07/20/2026 | | | | 4,960,927 | |
| | | | |
| | | | Crown Point Ltd., | | | | | | | | | | | | |
| | 8,851,498 | | | Series 2012-1A-A1LB | | | 1.78% | #^ | | | 11/21/2022 | | | | 8,827,995 | |
| | | | |
| | | | Dryden Leveraged Loan, | | | | | | | | | | | | |
| | 5,000,000 | | | Series 2006-11A-C1 | | | 1.89% | #^ | | | 04/12/2020 | | | | 4,850,102 | |
| | | | |
| | | | Dryden Senior Loan Fund, | | | | | | | | | | | | |
| | 10,000,000 | | | Series 2012-25A-B1 | | | 2.54% | #^ | | | 01/15/2025 | | | | 10,017,991 | |
| | | | |
| | | | Flagship Ltd., | | | | | | | | | | | | |
| | 25,000,000 | | | Series 2014-8A-A | | | 1.85% | #^ | | | 01/16/2026 | | | | 24,877,357 | |
| | | | |
| | | | Flatiron Ltd., | | | | | | | | | | | | |
| | 18,100,000 | | | Series 2013-1A-A1 | | | 1.69% | #^ | | | 01/17/2026 | | | | 17,993,605 | |
| | 6,750,000 | | | Series 2014-1A-C | | | 3.59% | #^ | | | 07/17/2026 | | | | 6,280,614 | |
| | | | |
| | | | Fortress Credit Ltd., | | | | | | | | | | | | |
| | 10,000,000 | | | Series 2013-1A-A | | | 1.47% | #^ | | | 01/19/2025 | | | | 9,827,273 | |
| | 10,000,000 | | | Series 2013-1A-B | | | 2.19% | #^ | | | 01/19/2025 | | | | 9,820,261 | |
| | | | |
| | | | Galaxy Ltd., | | | | | | | | | | | | |
| | 2,000,000 | | | Series 2013-15A-A | | | 1.54% | #^ | | | 04/15/2025 | | | | 1,982,301 | |
| | 13,000,000 | | | Series 2013-15A-B | | | 2.14% | #^ | | | 04/15/2025 | | | | 12,899,436 | |
| | 13,100,000 | | | Series 2013-15A-C | | | 2.89% | #^ | | | 04/15/2025 | | | | 12,879,481 | |
| | 6,125,000 | | | Series 2013-15A-D | | | 3.69% | #^ | | | 04/15/2025 | | | | 5,846,235 | |
| | | | |
| | | | GLG Ore Hill Ltd., | | | | | | | | | | | | |
| | 37,000,000 | | | Series 2013-1A-A | | | 1.41% | #^ | | | 07/15/2025 | | | | 36,169,694 | |
| | | | | | |
| 16 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | |
| | | | GoldenTree Loan Opportunities Ltd., | | | | | |
| | 30,000,000 | | | Series 2014-9A-A | | | 1.80% | #^ | | | 10/29/2026 | | | | 29,893,083 | |
| | |
| | | | Halcyon Loan Advisors Funding Ltd., | | | | | |
| | 6,500,000 | | | Series 2014-2A-C | | | 3.79% | #^ | | | 04/28/2025 | | | | 5,962,989 | |
| | 1,750,000 | | | Series 2014-2A-D | | | 5.29% | #^ | | | 04/28/2025 | | | | 1,429,574 | |
| | 5,000,000 | | | Series 2014-3A-D | | | 3.95% | #^ | | | 10/22/2025 | | | | 4,588,882 | |
| | | | |
| | | | Harbourview Ltd., | | | | | | | | | | | | |
| | 30,000,000 | | | Series 7A-A1 | | | 1.92% | #^ | | | 11/18/2026 | | | | 29,927,916 | |
| | | | |
| | | | Hildene Ltd., | | | | | | | | | | | | |
| | 25,000,000 | | | Series 2014-3A-A | | | 1.89% | #^ | | | 10/20/2026 | | | | 24,940,830 | |
| | 5,000,000 | | | Series 2015-4A-A1A | | | 1.78% | #^ | | | 07/23/2027 | | | | 4,957,806 | |
| | | | |
| | | | ICE Global Credit Ltd., | | | | | | | | | | | | |
| | 20,000,000 | | | Series 2013-1A-A1 | | | 2.04% | #^¥ | | | 04/20/2024 | | | | 18,606,000 | |
| | 15,000,000 | | | Series 2013-1A-B2 | | | 2.84% | #^¥ | | | 04/20/2024 | | | | 12,786,000 | |
| | | | |
| | | | ING Ltd., | | | | | | | | | | | | |
| | 14,249,737 | | | Series 2007-5A-A1A | | | 0.53% | #^ | | | 05/01/2022 | | | | 14,131,186 | |
| | 11,518,131 | | | Series 2012-1RA-A1R | | | 1.54% | #^ | | | 03/14/2022 | | | | 11,506,193 | |
| | 10,500,000 | | | Series 2013-3A-A1 | | | 1.91% | # | | | 08/01/2020 | | | | 10,121,719 | |
| | 3,415,000 | | | Series 2013-3A-A1 | | | 1.74% | #^ | | | 01/18/2026 | | | | 3,387,542 | |
| | 4,250,000 | | | Series 2013-3A-B | | | 2.99% | #^ | | | 01/18/2026 | | | | 4,198,962 | |
| | | | |
| | | | Jamestown Ltd., | | | | | | | | | | | | |
| | 15,000,000 | | | Series 2012-1A-A1 | | | 1.73% | #^ | | | 11/05/2024 | | | | 15,014,652 | |
| | 50,000,000 | | | Series 2013-3A-A1A | | | 1.62% | #^ | | | 01/15/2026 | | | | 49,656,240 | |
| | 15,000,000 | | | Series 2014-4A-A1A | | | 1.79% | #^ | | | 07/15/2026 | | | | 14,905,288 | |
| | 28,750,000 | | | Series 2015-6A-A1A | | | 1.93% | #^ | | | 02/20/2027 | | | | 28,653,984 | |
| | | | |
| | | | KVK Ltd., | | | | | | | | | | | | |
| | 20,000,000 | | | Series 2013-1A-A | | | 1.69% | #^ | | | 04/14/2025 | | | | 19,915,412 | |
| | | | |
| | | | Landmark Ltd., | | | | | | | | | | | | |
| | 9,500,000 | | | Series 2006-8A-C | | | 1.04% | #^ | | | 10/19/2020 | | | | 9,231,706 | |
| | | | |
| | | | LCM LP, | | | | | | | | | | | | |
| | 3,650,000 | | | Series 11A-D2 | | | 4.24% | #^ | | | 04/19/2022 | | | | 3,658,658 | |
| | 12,600,000 | | | Series 13A-C | | | 3.19% | #^ | | | 01/19/2023 | | | | 12,614,714 | |
| | 7,825,000 | | | Series 14A-D | | | 3.79% | #^ | | | 07/15/2025 | | | | 7,492,397 | |
| | 21,000,000 | | | Series 16A-A | | | 1.79% | #^ | | | 07/15/2026 | | | | 20,923,722 | |
| | 2,750,000 | | | Series 16A-D | | | 3.89% | #^ | | | 07/15/2026 | | | | 2,645,558 | |
| | 7,500,000 | | | Series 6A-C | | | 1.13% | #^ | | | 05/28/2019 | | | | 7,390,371 | |
| | | | |
| | | | Limerock Ltd., | | | | | | | | | | | | |
| | 7,250,000 | | | Series 2014-2A-A | | | 1.79% | #^ | | | 04/18/2026 | | | | 7,244,714 | |
| | 25,000,000 | | | Series 2014-3A-A1 | | | 1.82% | #^ | | | 10/20/2026 | | | | 24,921,320 | |
| | | |
| | | | Madison Park Funding Ltd., | | | | | | | | | |
| | 4,468,463 | | | Series 2007-4A-A1A | | | 0.54% | #^ | | | 03/22/2021 | | | | 4,410,137 | |
| | 3,000,000 | | | Series 2014-14A-C1 | | | 3.39% | #^ | | | 07/20/2026 | | | | 3,007,421 | |
| | 5,500,000 | | | Series 2014-15A-C | | | 4.00% | #^ | | | 01/27/2026 | | | | 5,405,080 | |
| | | | |
| | | | Magnetite Ltd., | | | | | | | | | | | | |
| | 19,250,000 | | | Series 2015-12A-A | | | 1.79% | #^ | | | 04/15/2027 | | | | 19,149,363 | |
| | | | |
| | | | MAPS Fund Ltd., | | | | | | | | | | | | |
| | 10,000,000 | | | Series 2007-2A-B | | | 1.19% | #^ | | | 07/20/2022 | | | | 9,637,522 | |
| | | | |
| | | | Marathon Ltd., | | | | | | | | | | | | |
| | 17,000,000 | | | Series 2013-5A-A2A | | | 2.63% | #^ | | | 02/21/2025 | | | | 17,021,224 | |
| | | | |
| | | | Mountain Capital Ltd., | | | | | | | | | | | | |
| | 1,148,771 | | | Series 2007-6A-A | | | 0.53% | #^ | | | 04/25/2019 | | | | 1,142,901 | |
| | | | |
| | | | Nautique Funding Ltd., | | | | | | | | | | | | |
| | 6,291,562 | | | Series 2006-1A-A1A | | | 0.54% | #^ | | | 04/15/2020 | | | | 6,225,055 | |
| | 2,000,000 | | | Series 2006-1A-C | | | 1.99% | #^ | | | 04/15/2020 | | | | 1,955,315 | |
| | | | |
| | | | Nomad Ltd., | | | | | | | | | | | | |
| | 9,000,000 | | | Series 2013-1A-B | | | 3.12% | #^ | | | 01/15/2025 | | | | 8,895,961 | |
| | 3,500,000 | | | Series 2013-1A-C | | | 3.67% | #^ | | | 01/15/2025 | | | | 3,334,904 | |
| | |
| | | | Northwoods Capital Corporation, | | | | | |
| | 30,000,000 | | | Series 2012-9A-A | | | 1.71% | #^ | | | 01/18/2024 | | | | 29,734,632 | |
| | 16,660,000 | | | Series 2013-10-A1 | | | 1.71% | #^ | | | 11/04/2025 | | | | 16,467,854 | |
| | | | |
| | | | Nylim Flatiron Ltd., | | | | | | | | | | | | |
| | 6,670,929 | | | Series 2006-1A-A2A | | | 0.53% | #^ | | | 08/08/2020 | | | | 6,640,980 | |
| | | | |
| | | | Oak Hill Credit Partners, | | | | | | | | | | | | |
| | 29,000,000 | | | Series 2012-7A-A | | | 1.75% | #^ | | | 11/20/2023 | | | | 28,926,932 | |
| | 18,000,000 | | | Series 2012-7A-B1 | | | 2.58% | #^ | | | 11/20/2023 | | | | 18,104,317 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | | | |
| | | | Ocean Trails, | | | | | | | | | | | | |
| | 50,000,000 | | | Series 2014-5A-A2 | | | 1.95% | #^ | | | 10/13/2026 | | | | 49,975,345 | |
| | | | |
| | | | OCP Ltd., | | | | | | | | | | | | |
| | 9,000,000 | | | Series 2012-2A-A2 | | | 1.81% | #^ | | | 11/22/2023 | | | | 9,022,401 | |
| | 1,013,113 | | | Series 2012-2A-X2 | | | 1.81% | #^ | | | 11/22/2023 | | | | 1,014,283 | |
| | 10,000,000 | | | Series 2013-3A-B | | | 3.04% | #^ | | | 01/17/2025 | | | | 9,791,786 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 20,000,000 | | | Series 2013-1A-A | | | 1.58% | #^ | | | 01/19/2025 | | | | 19,778,920 | |
| | 3,500,000 | | | Series 2014-1A-A | | | 1.81% | #^ | | | 04/15/2026 | | | | 3,490,695 | |
| | 15,000,000 | | | Series 2014-1A-A | | | 1.75% | #^ | | | 08/12/2026 | | | | 14,904,310 | |
| | 13,500,000 | | | Series 2014-1A-B | | | 3.48% | #^ | | | 11/14/2026 | | | | 13,396,161 | |
| | 5,500,000 | | | Series 2014-1A-C | | | 3.93% | #^ | | | 11/14/2026 | | | | 5,265,180 | |
| | 1,500,000 | | | Series 2014-1A-C2 | | | 3.80% | #^ | | | 11/22/2025 | | | | 1,489,176 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 15,555,451 | | | Series 2011-1AR-AR | | | 1.20% | #^ | | | 04/20/2021 | | | | 15,562,148 | |
| | 10,000,000 | | | Series 2011-1AR-DR | | | 3.33% | #^ | | | 04/20/2021 | | | | 10,029,164 | |
| |
| | | | OZLM Funding Ltd., | |
| | 9,000,000 | | | Series 2013-5A-A1 | | | 1.79% | #^ | | | 01/17/2026 | | | | 8,973,247 | |
| |
| | | | OZLM Ltd., | |
| | 6,700,000 | | | Series 2014-6A-A1 | | | 1.84% | #^ | | | 04/17/2026 | | | | 6,692,846 | |
| | 25,000,000 | | | Series 2014-9A-A1 | | | 1.87% | #^ | | | 01/20/2027 | | | | 24,981,995 | |
| | 38,500,000 | | | Series 2015-11A-A1A | | | 1.85% | #^ | | | 01/30/2027 | | | | 38,402,564 | |
| | 5,000,000 | | | Series 2015-11A-A2A | | | 2.55% | #^ | | | 01/30/2027 | | | | 4,991,128 | |
| |
| | | | Race Point Ltd., | |
| | 25,000,000 | | | Series 2012-7A-A | | | 1.73% | #^ | | | 11/08/2024 | | | | 24,943,750 | |
| | 24,000,000 | | | Series 2012-7A-B | | | 2.56% | #^ | | | 11/08/2024 | | | | 24,008,218 | |
| | 5,500,000 | | | Series 2013-8A-B | | | 2.23% | #^ | | | 02/20/2025 | | | | 5,449,919 | |
| |
| | | | Regatta Funding Ltd., | |
| | 30,000,000 | | | Series 2014-1A-A1A | | | 1.86% | #^ | | | 10/25/2026 | | | | 29,889,481 | |
| |
| | | | Saturn Ltd., | |
| | 3,200,000 | | | Series 2007-1A-D | | | 4.31% | #^ | | | 05/13/2022 | | | | 3,107,737 | |
| |
| | | | Sierra Ltd., | |
| | 6,500,000 | | | Series 2006-2A-A2L | | | 0.73% | #^ | | | 01/22/2021 | | | | 6,452,937 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 25,000,000 | | | Series 2014-1A-A1 | | | 1.80% | #^ | | | 10/30/2026 | | | | 24,884,427 | |
| |
| | | | Steele Creek Ltd., | |
| | 22,000,000 | | | Series 2014-1A-A1 | | | 1.93% | #^ | | | 08/21/2026 | | | | 21,913,989 | |
| |
| | | | Symphony Ltd., | |
| | 29,500,000 | | | Series 2013-11A-B1 | | | 2.49% | #^ | | | 01/17/2025 | | | | 29,409,388 | |
| | 10,250,000 | | | Series 2013-11A-C | | | 3.44% | #^ | | | 01/17/2025 | | | | 10,166,922 | |
| |
| | | | Thacher Park Ltd., | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.34% | #^ | | | 10/20/2026 | | | | 1,989,418 | |
| | 4,500,000 | | | Series 2014-1A-D1 | | | 3.82% | #^ | | | 10/20/2026 | | | | 4,295,595 | |
| |
| | | | Venture Ltd., | |
| | 11,516,062 | | | Series 2006-1A-A1 | | | 0.54% | #^ | | | 08/03/2020 | | | | 11,353,163 | |
| | 6,981,098 | | | Series 2007-8A-A2A | | | 0.52% | #^ | | | 07/22/2021 | | | | 6,875,658 | |
| | 17,000,000 | | | Series 2014-17A-A | | | 1.77% | #^ | | | 07/15/2026 | | | | 16,893,724 | |
| | 3,250,000 | | | Series 2014-17A-B2 | | | 2.39% | #^ | | | 07/15/2026 | | | | 3,222,762 | |
| |
| | | | Voya Ltd., | |
| | 23,000,000 | | | Series 2014-4A-A1 | | | 1.79% | #^ | | | 10/14/2026 | | | | 22,937,196 | |
| |
| | | | Washington Mill Ltd., | |
| | 56,500,000 | | | Series 2014-1A-A1 | | | 1.79% | #^ | | | 04/20/2026 | | | | 56,302,600 | |
| | 5,000,000 | | | Series 2014-1A-B1 | | | 2.34% | #^ | | | 04/20/2026 | | | | 4,943,348 | |
| | 4,750,000 | | | Series 2014-1A-C | | | 3.29% | #^ | | | 04/20/2026 | | | | 4,679,897 | |
| |
| | | | Westwood Ltd., | |
| | 9,692,574 | | | Series 2006-1X-A1 | | | 0.57% | # | | | 03/25/2021 | | | | 9,552,194 | |
| | 15,933,413 | | | Series 2007-2A-A1 | | | 0.52% | #^ | | | 04/25/2022 | | | | 15,723,922 | |
| |
| | | | WhiteHorse Ltd., | |
| | 50,000,000 | | | Series 2012-1A-A1L | | | 1.70% | #^ | | | 02/03/2025 | | | | 49,807,610 | |
| |
| | | | Wind River Ltd., | |
| | 59,000,000 | | | Series 2012-1A-A | | | 1.69% | #^ | | | 01/15/2024 | | | | 58,920,946 | |
| | 18,000,000 | | | Series 2012-1A-B1 | | | 2.39% | #^ | | | 01/15/2024 | | | | 18,028,469 | |
| | 13,750,000 | | | Series 2012-1A-C1 | | | 3.34% | #^ | | | 01/15/2024 | | | | 13,715,776 | |
| | 19,000,000 | | | Series 2014-1A-A | | | 1.81% | #^ | | | 04/18/2026 | | | | 18,913,784 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 17 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Zais Ltd., | |
| | 30,000,000 | | | Series 2014-2A-A1A | | | 1.80% | #^ | | | 07/25/2026 | | | | 29,810,682 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $2,183,948,920) | | | | 2,176,634,682 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 7.4% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 10,150,000 | | | Series 2011-07C1-A3B | | | 5.38% | ^ | | | 12/15/2016 | | | | 10,429,364 | |
| | 8,350,000 | | | Series 2014-IP-E | | | 2.81% | #^ | | | 06/15/2028 | | | | 8,292,180 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 19,741,000 | | | Series 2006-4-AM | | | 5.68% | | | | 07/10/2046 | | | | 20,381,773 | |
| | 5,038,000 | | | Series 2006-6-AM | | | 5.39% | | | | 10/10/2045 | | | | 5,221,723 | |
| | 27,685,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 28,721,817 | |
| | 11,700,000 | | | Series 2007-2-AM | | | 5.79% | # | | | 04/10/2049 | | | | 12,283,040 | |
| | 59,298,515 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 62,780,731 | |
| | 222,928,719 | | | Series 2007-5-XW | | | 0.50% | #^ I/O | | | 02/10/2051 | | | | 1,476,457 | |
| | 4,000,000 | | | Series 2015-UBS7-B | | | 4.37% | # | | | 09/15/2048 | | | | 4,174,800 | |
| | 60,777,000 | | | Series 2015-UBS7-XA | | | 0.95% | # I/O | | | 09/15/2048 | | | | 3,999,127 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 4,848,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 4,896,562 | |
| | 19,225,000 | | | Series 2006-PW14-AM | | | 5.24% | | | | 12/11/2038 | | | | 19,983,590 | |
| | 7,180,000 | | | Series 2007-PW15-AM | | | 5.36% | | | | 02/11/2044 | | | | 7,383,919 | |
| | 28,000,000 | | | Series 2007-PW16-AM | | | 5.90% | # | | | 06/11/2040 | | | | 29,716,134 | |
| | 12,815,000 | | | Series 2007-PW17-AMFL | | | 0.90% | #^ | | | 06/11/2050 | | | | 12,597,850 | |
| | 4,500,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 4,556,763 | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| | 9,500,000 | | | Series 2013-BOCA-E | | | 3.96% | #^ | | | 08/15/2026 | | | | 9,502,308 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 45,625,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 45,951,812 | |
| | 99,887,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 103,344,289 | |
| | 814,230 | | | Series 2007-CD4-ASB | | | 5.28% | | | | 12/11/2049 | | | | 815,885 | |
| |
| | | | CDGJ Commercial Mortgage Trust, | |
| | 33,200,000 | | | Series 2014-BXCH-B | | | 2.06% | #^ | | | 12/15/2027 | | | | 33,077,459 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 19,881,000 | | | Series 2007-C6-AM | | | 5.90% | # | | | 12/10/2049 | | | | 20,869,404 | |
| | 7,020,000 | | | Series 2007-C6-AMFX | | | 5.90% | #^ | | | 12/10/2049 | | | | 7,348,283 | |
| | 11,250,000 | | | Series 2008-C7-AM | | | 6.35% | # | | | 12/10/2049 | | | | 12,117,803 | |
| | 294,703,986 | | | Series 2012-GC8-XA | | | 2.35% | #^ I/O | | | 09/10/2045 | | | | 26,072,462 | |
| | 9,011,000 | | | Series 2014-GC25-A4 | | | 3.64% | | | | 10/10/2047 | | | | 9,430,908 | |
| | 199,152,738 | | | Series 2014-GC25-XA | | | 1.25% | # I/O | | | 10/10/2047 | | | | 15,078,152 | |
| | 50,000,000 | | | Series 2015-GC27-A5 | | | 3.14% | | | | 02/10/2048 | | | | 50,044,400 | |
| | 6,265,000 | | | Series 2015-GC27-B | | | 3.77% | | | | 02/10/2048 | | | | 6,249,294 | |
| | 8,216,000 | | | Series 2015-GC27-D | | | 4.58% | #^ | | | 02/10/2048 | | | | 6,992,625 | |
| | 223,588,081 | | | Series 2015-GC27-XA | | | 1.60% | # I/O | | | 02/10/2048 | | | | 21,984,410 | |
| | 14,310,000 | | | Series 2015-GC33-C | | | 4.57% | | | | 09/10/2058 | | | | 14,051,853 | |
| | 181,153,000 | | | Series 2015-GC33-XA | | | 0.99% | # I/O | | | 09/10/2058 | | | | 13,055,108 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 17,400,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 17,524,045 | |
| | 22,750,000 | | | Series 2007-C2-AMFX | | | 5.53% | # | | | 04/15/2047 | | | | 23,998,327 | |
| |
| | | | Colony Mortgage Capital Ltd., | |
| | 7,591,000 | | | Series 2015-FL3-A | | | 2.10% | #^ | | | 09/05/2032 | | | | 7,591,000 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 90,637,184 | | | Series 2002-LC4-XA | | | 2.58% | #^ I/O | | | 12/10/2044 | | | | 9,260,673 | |
| | 8,494,191 | | | Series 2007-C9-AJFL | | | 0.89% | #^ | | | 12/10/2049 | | | | 8,234,991 | |
| | 38,347,980 | | | Series 2012-CR2-XA | | | 2.04% | # I/O | | | 08/15/2045 | | | | 3,482,399 | |
| | 181,129,652 | | | Series 2012-CR3-XA | | | 2.31% | # I/O | | | 10/15/2045 | | | | 18,072,754 | |
| | 5,858,689 | | | Series 2012-MVP-A | | | 2.15% | #^ | | | 11/17/2026 | | | | 5,848,864 | |
| | 3,500,000 | | | Series 2012-MVP-B | | | 1.81% | #^ | | | 11/17/2026 | | | | 3,497,750 | |
| | 3,200,000 | | | Series 2012-MVP-C | | | 2.35% | #^ | | | 11/17/2026 | | | | 3,194,214 | |
| | 183,732,321 | | | Series 2013-CR10-XA | | | 1.15% | # I/O | | | 08/10/2046 | | | | 8,465,742 | |
| | 9,850,000 | | | Series 2014-CR19-C | | | 4.88% | # | | | 08/10/2047 | | | | 10,051,285 | |
| | 5,211,000 | | | Series 2014-CR20-A4 | | | 3.59% | | | | 11/10/2047 | | | | 5,443,460 | |
| | 30,400,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 30,295,926 | |
| | 71,378,000 | | | Series 2014-CR21-A3 | | | 3.53% | | | | 12/10/2047 | | | | 74,190,472 | |
| | 20,650,000 | | | Series 2014-KYO-E | | | 2.55% | #^ | | | 06/11/2027 | | | | 20,503,798 | |
| | 10,480,000 | | | Series 2014-KYO-F | | | 3.70% | #^ | | | 06/11/2027 | | | | 10,396,548 | |
| | 15,011,000 | | | Series 2014-UBS3-A4 | | | 3.82% | | | | 06/10/2047 | | | | 15,990,055 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, (Cont.) | |
| | 9,230,000 | | | Series 2015-CCRE23 | | | 4.40% | # | | | 05/10/2048 | | | | 7,728,759 | |
| | 20,970,000 | | | Series 2015-CR22-D | | | 4.27% | #^ | | | 03/10/2048 | | | | 17,500,503 | |
| | 225,997,535 | | | Series 2015-CR22-XA | | | 1.17% | # I/O | | | 03/10/2048 | | | | 14,630,063 | |
| | 9,110,000 | | | Series 2015-CR26-B | | | 4.65% | | | | 10/10/2048 | | | | 9,391,469 | |
| | 50,000,000 | | | Series 2015-DC1-A5 | | | 3.35% | | | | 02/10/2048 | | | | 51,104,950 | |
| | 8,715,000 | | | Series 2015-DC1-C | | | 4.50% | # | | | 02/10/2048 | | | | 8,566,318 | |
| | 13,275,000 | | | Series 2015-DC1-D | | | 4.50% | #^ | | | 02/10/2048 | | | | 11,364,548 | |
| | 410,890,533 | | | Series 2015-DC1-XA | | | 1.33% | # I/O | | | 02/10/2048 | | | | 31,017,099 | |
| | 35,000,000 | | | Series 2015-LC19-A4 | | | 3.18% | | | | 02/10/2048 | | | | 35,473,183 | |
| |
| | | | Core Industrial Trust Commercial Mortgage Pass-Through Certificates, | |
| | 8,215,000 | | | Series 2015-CALW-D | | | 3.98% | #^ | | | 02/10/2034 | | | | 8,280,675 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 24,472,594 | | | Series 2007-MF1-A | | | 6.27% | #^ | | | 11/12/2043 | | | | 25,660,786 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 1,262,470 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 1,269,734 | |
| | 93,704 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 93,346 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 6,500,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 6,703,603 | |
| | 51,221,320 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 53,235,547 | |
| | 5,164,000 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 5,424,513 | |
| | 30,430,000 | | | Series 2007-C4-A1AM | | | 6.15% | # | | | 09/15/2039 | | | | 32,332,681 | |
| | 16,900,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 17,657,965 | |
| | 8,800,000 | | | Series 2010-RR1-1B | | | 5.69% | #^ | | | 04/16/2049 | | | | 9,189,506 | |
| | 5,150,000 | | | Series 2010-RR2-3B | | | 5.34% | #^ | | | 12/15/2043 | | | | 5,381,346 | |
| | 10,000,000 | | | Series 2010-RR5-2B | | | 5.34% | #^ | | | 12/16/2043 | | | | 10,449,440 | |
| | 150,822,000 | | | Series 2014-USA-X1 | | | 0.70% | #^ I/O | | | 09/15/2037 | | | | 6,940,346 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 4,606,000 | | | Series 2015-C1-C | | | 4.44% | # | | | 04/15/2050 | | | | 4,552,359 | |
| | 13,360,000 | | | Series 2015-C2-AS | | | 3.85% | | | | 06/15/2057 | | | | 13,819,190 | |
| | 22,320,000 | | | Series 2015-C3-C | | | 4.51% | # | | | 08/15/2048 | | | | 21,959,331 | |
| |
| | | | DBRR Trust, | |
| | 14,554,963 | | | Series 2011-C32-A3B | | | 5.90% | #^ | | | 06/17/2049 | | | | 15,221,522 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 181,902,034 | | | Series 2011-LC2A-XA | | | 1.56% | #^ I/O | | | 07/10/2044 | | | | 6,923,464 | |
| |
| | | | Del Coronado Trust, | |
| | 8,000,000 | | | Series 2013-HDC-D | | | 2.16% | #^ | | | 03/15/2026 | | | | 7,977,332 | |
| | 9,550,000 | | | Series 2013-HDC-E | | | 2.85% | #^ | | | 03/15/2026 | | | | 9,564,077 | |
| | 5,500,000 | | | Series 2013-HDMZ-M | | | 5.21% | #^ | | | 03/15/2018 | | | | 5,469,088 | |
| |
| | | | Extended Stay America Trust, | |
| | 609,837 | | | Series 2013-ESFL-DFL | | | 3.34% | #^ | | | 12/05/2031 | | | | 611,046 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 7,439,711 | | | Series 2005-GG5-AM | | | 5.28% | # | | | 04/10/2037 | | | | 7,437,576 | |
| | 15,265,000 | | | Series 2006-GG7-AJ | | | 6.01% | # | | | 07/10/2038 | | | | 15,150,940 | |
| | 12,765,000 | | | Series 2006-GG7-AM | | | 6.01% | # | | | 07/10/2038 | | | | 13,077,257 | |
| | 35,860,000 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 36,853,304 | |
| | 8,350,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 8,830,576 | |
| | 53,944,500 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 55,918,140 | |
| | 21,460,000 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 22,334,366 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 13,188,700 | | | Series 2006-GG6-AJ | | | 5.60% | # | | | 04/10/2038 | | | | 13,252,415 | |
| | 9,055,000 | | | Series 2006-GG6-AM | | | 5.62% | # | | | 04/10/2038 | | | | 9,128,259 | |
| | 111,420,573 | | | Series 2006-GG6-XC | | | 0.04% | #^ I/O | | | 04/10/2038 | | | | 10,585 | |
| | 76,033,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 76,709,009 | |
| | 25,000,000 | | | Series 2006-GG8-AM | | | 5.59% | | | | 11/10/2039 | | | | 25,906,838 | |
| | 29,987,526 | | | Series 2011-GC3-X | | | 1.10% | #^ I/O | | | 03/10/2044 | | | | 673,250 | |
| | 111,020,255 | | | Series 2012-GC6-XA | | | 2.26% | #^ I/O | | | 01/10/2045 | | | | 10,488,694 | |
| | 990,841 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 991,426 | |
| | 28,129,143 | | | Series 2013-GC10-XA | | | 1.78% | # I/O | | | 02/10/2046 | | | | 2,492,580 | |
| | 43,425,953 | | | Series 2014-GC20-XA | | | 1.36% | # I/O | | | 04/10/2047 | | | | 3,006,075 | |
| | 60,850,000 | | | Series 2014-GC26-A5 | | | 3.63% | | | | 11/10/2047 | | | | 63,731,552 | |
| | 35,000,000 | | | Series 2015-GC28-A5 | | | 3.40% | | | | 02/10/2048 | | | | 35,760,200 | |
| | 292,047,654 | | | Series 2015-GC28-XA | | | 1.32% | # I/O | | | 02/10/2048 | | | | 21,327,656 | |
| | 256,974,000 | | | Series 2015-GC32-XA | | | 1.06% | # I/O | | | 07/10/2048 | | | | 15,697,128 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 5,246,211 | | | Series 2004-CBX-X1 | | | 0.67% | #^ I/O | | | 01/12/2037 | | | | 26,787 | |
| | 196,814 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 196,853 | |
| | 4,260,000 | | | Series 2004-LN2-D | | | 5.55% | # | | | 07/15/2041 | | | | 3,511,305 | |
| | | | | | |
| 18 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, (Cont.) | |
| | 15,807,242 | | | Series 2005-CIBC12-AJ | | | 4.99% | # | | | 09/12/2037 | | | | 15,806,823 | |
| | 16,435,732 | | | Series 2005-LDP4-X1 | | | 0.35% | #^ I/O | | | 10/15/2042 | | | | 4,635 | |
| | 9,704,000 | | | Series 2006-LDP7-AM | | | 6.10% | # | | | 04/15/2045 | | | | 9,934,004 | |
| | 102,768,017 | | | Series 2006-LDP8-X | | | 0.69% | # I/O | | | 05/15/2045 | | | | 356,605 | |
| | 39,394,685 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 40,418,730 | |
| | 3,533,336 | | | Series 2007-C1-ASB | | | 5.86% | | | | 02/15/2051 | | | | 3,639,926 | |
| | 24,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 25,101,288 | |
| | 162,217,655 | | | Series 2007-CB18-X | | | 0.43% | # I/O | | | 06/12/2047 | | | | 562,409 | |
| | 22,680,000 | | | Series 2007-CB20-AM | | | 6.08% | # | | | 02/12/2051 | | | | 24,397,908 | |
| | 1,011,453,103 | | | Series 2007-CB20-X1 | | | 0.45% | #^ I/O | | | 02/12/2051 | | | | 5,721,790 | |
| | 22,100,000 | | | Series 2007-CIBC19-AM | | | 5.88% | # | | | 02/12/2049 | | | | 23,280,041 | |
| | 35,539,000 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 36,367,112 | |
| | 43,195,330 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 46,071,426 | |
| | 11,336,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 11,796,026 | |
| | 1,310,809 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2028 | | | | 1,319,502 | |
| | 214,893,696 | | | Series 2012-C6-XA | | | 2.05% | # I/O | | | 05/15/2045 | | | | 17,156,253 | |
| | 463,101,512 | | | Series 2012-C8-XA | | | 2.25% | # I/O | | | 10/15/2045 | | | | 41,203,762 | |
| | 160,588,705 | | | Series 2012-CBX-XA | | | 1.92% | # I/O | | | 06/15/2045 | | | | 10,826,489 | |
| | 5,425,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 5,647,582 | |
| | 6,725,000 | | | Series 2014-INN-C | | | 1.91% | #^ | | | 06/15/2029 | | | | 6,698,369 | |
| | 7,250,000 | | | Series 2014-INN-D | | | 2.56% | #^ | | | 06/15/2029 | | | | 7,200,990 | |
| | 24,200,000 | | | Series 2014-PHH-D | | | 2.60% | #^ | | | 08/15/2027 | | | | 24,348,189 | |
| | 14,406,000 | | | Series 2014-PHH-E | | | 3.51% | #^ | | | 08/15/2027 | | | | 14,514,693 | |
| | 7,595,000 | | | Series 2015-CSMO-C | | | 2.46% | #^ | | | 01/15/2032 | | | | 7,565,550 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 107,806,363 | | | Series 2014-C18-XA | | | 1.30% | # I/O | | | 02/15/2047 | | | | 6,499,484 | |
| | 3,396,000 | | | Series 2014-C21-C | | | 4.82% | # | | | 08/15/2047 | | | | 3,405,171 | |
| | 222,936,650 | | | Series 2014-C25-XA | | | 1.16% | # I/O | | | 11/15/2047 | | | | 14,309,077 | |
| | 32,031,000 | | | Series 2014-C26-A4 | | | 3.49% | | | | 01/15/2048 | | | | 33,183,171 | |
| | 6,499,000 | | | Series 2014-C26-C | | | 4.57% | # | | | 01/15/2048 | | | | 6,435,131 | |
| | 257,922,818 | | | Series 2014-C26-XA | | | 1.33% | # I/O | | | 01/15/2048 | | | | 17,610,454 | |
| | 14,055,000 | | | Series 2015-C27-C | | | 4.48% | # | | | 02/15/2048 | | | | 13,341,856 | |
| | 10,425,000 | | | Series 2015-C27-D | | | 3.98% | #^ | | | 02/15/2048 | | | | 8,530,991 | |
| | 59,529,710 | | | Series 2015-C27-XA | | | 1.53% | # I/O | | | 02/15/2048 | | | | 4,971,267 | |
| | 44,827,183 | | | Series 2015-C28-XA | | | 1.35% | # I/O | | | 10/15/2048 | | | | 3,263,307 | |
| | 65,247,135 | | | Series 2015-C29-XA | | | 1.10% | # I/O | | | 05/15/2048 | | | | 3,356,280 | |
| | 6,762,000 | | | Series 2015-C30-B | | | 4.46% | # | | | 07/15/2048 | | | | 6,767,880 | |
| | 174,949,691 | | | Series 2015-C30-XA | | | 0.87% | # I/O | | | 07/15/2048 | | | | 7,978,931 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 7,550,000 | | | Series 2007-C3-AMFL | | | 6.10% | #^ | | | 07/15/2044 | | | | 8,063,574 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 9,452,816 | | | Series 2005-C7-AJ | | | 5.32% | # | | | 11/15/2040 | | | | 9,461,314 | |
| | 141,281,068 | | | Series 2006-C7-XCL | | | 0.85% | #^ I/O | | | 11/15/2038 | | | | 905,329 | |
| | 60,485,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 62,255,789 | |
| | 38,308,952 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 39,935,052 | |
| | 49,774,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 51,974,558 | |
| | 28,975,000 | | | Series 2007-C7-AJ | | | 6.45% | # | | | 09/15/2045 | | | | 30,232,979 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 133,929,769 | | | Series 1998-C1-IO | | | 0.63% | # I/O | | | 11/15/2026 | | | | 1,964,214 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 9,912,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 9,987,594 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 6,970,000 | | | Series 2006-4-AM | | | 5.20% | | | | 12/12/2049 | | | | 7,233,090 | |
| | 42,850,000 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 44,569,206 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 214,422,448 | | | Series 2013-C12-XA | | | 1.14% | # I/O | | | 10/15/2046 | | | | 9,606,983 | |
| | 43,503,675 | | | Series 2013-C7-XA | | | 1.81% | # I/O | | | 02/15/2046 | | | | 3,392,852 | |
| | 11,700,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 12,016,859 | |
| | 45,025,000 | | | Series 2014-C19-A4 | | | 3.53% | | | | 12/15/2047 | | | | 46,697,454 | |
| | 37,950,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 37,116,960 | |
| | 56,050,000 | | | Series 2015-C20-A4 | | | 3.25% | | | | 02/15/2048 | | | | 56,830,216 | |
| | 20,087,700 | | | Series 2015-C20-B | | | 4.16% | | | | 02/15/2048 | | | | 20,698,718 | |
| | 6,457,500 | | | Series 2015-C20-C | | | 4.61% | # | | | 02/15/2048 | | | | 6,473,676 | |
| | 250,434,268 | | | Series 2015-C20-XA | | | 1.57% | # I/O | | | 02/15/2048 | | | | 23,051,473 | |
| | 10,616,000 | | | Series 2015-C23-C | | | 4.27% | # | | | 07/15/2050 | | | | 10,316,002 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 304,228,758 | | | Series 2006-HQ10-X1 | | | 0.70% | #^ I/O | | | 11/12/2041 | | | | 1,110,435 | |
| | 10,650,000 | | | Series 2006-HQ8-AJ | | | 5.67% | # | | | 03/12/2044 | | | | 10,701,285 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Capital, Inc., (Cont.) | |
| | 45,421,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 46,340,026 | |
| | 4,372,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 4,543,745 | |
| | 2,575,000 | | | Series 2014-CPT-E | | | 3.56% | #^ | | | 07/13/2029 | | | | 2,549,461 | |
| | 2,325,000 | | | Series 2014-CPT-F | | | 3.56% | #^ | | | 07/13/2029 | | | | 2,216,726 | |
| | 12,400,000 | | | Series 2014-MP-D | | | 3.82% | #^ | | | 08/11/2029 | | | | 12,643,052 | |
| | 11,000,000 | | | Series 2014-MP-E | | | 3.82% | #^ | | | 08/11/2029 | | | | 11,085,481 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 12,529,000 | | | Series 2009-GG10-A4B | | | 5.99% | #^ | | | 08/12/2045 | | | | 13,280,352 | |
| | 28,800,000 | | | Series 2010-GG10-A4B | | | 5.99% | #^ | | | 08/15/2045 | | | | 30,350,030 | |
| | 48,500,000 | | | Series 2013-AJ-AJA | | | 0.50% | ^ | | | 12/17/2049 | | | | 46,011,950 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 11,138,724 | | | Series 2007-C4-AJ | | | 5.48% | # | | | 08/15/2039 | | | | 11,179,669 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 104,192,756 | | | Series 2012-C3-XA | | | 2.27% | #^ I/O | | | 08/10/2049 | | | | 10,235,896 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 5,840,000 | | | Series 2005-C22-AM | | | 5.52% | # | | | 12/15/2044 | | | | 5,841,615 | |
| | 76,901,401 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 78,113,136 | |
| | 19,500,000 | | | Series 2006-C28-AM | | | 5.60% | # | | | 10/15/2048 | | | | 20,230,304 | |
| | 10,000,000 | | | Series 2007-30-AMFL | | | 0.41% | #^ | | | 12/15/2043 | | | | 9,706,510 | |
| | 31,858,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 32,189,642 | |
| | 19,285,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 20,062,552 | |
| | 5,000,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 5,259,970 | |
| | 8,565,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 9,034,906 | |
| | 52,726,700 | | | Series 2007-C33-AJ | | | 6.15% | # | | | 02/15/2051 | | | | 54,356,219 | |
| | 9,250,000 | | | Series 2007-C33-AM | | | 6.15% | # | | | 02/15/2051 | | | | 9,876,350 | |
| |
| | | | Waterfall Commercial Mortgage Trust, | |
| | 90,000,000 | | | Series 2015-SBC5-A | | | 4.10% | #^ | | | 09/19/2022 | | | | 90,594,540 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 38,265,000 | | | Series 2014-LC18-A5 | | | 3.41% | | | | 12/15/2047 | | | | 39,148,711 | |
| | 4,346,710 | | | Series 2014-LC18-B | | | 3.96% | | | | 12/15/2047 | | | | 4,344,871 | |
| | 30,000,000 | | | Series 2015-C26-A4 | | | 3.17% | | | | 02/15/2048 | | | | 30,151,965 | |
| | 11,460,000 | | | Series 2015-C26-C | | | 4.07% | # | | | 02/15/2048 | | | | 10,895,354 | |
| | 462,545,341 | | | Series 2015-C26-XA | | | 1.56% | # I/O | | | 02/15/2048 | | | | 42,698,023 | |
| | 28,000,000 | | | Series 2015-C27-A5 | | | 3.45% | | | | 02/15/2048 | | | | 28,750,470 | |
| | 267,815,862 | | | Series 2015-C27-XA | | | 1.15% | # I/O | | | 02/15/2048 | | | | 18,803,753 | |
| | 270,013,315 | | | Series 2015-LC20-XA | | | 1.56% | # I/O | | | 04/15/2050 | | | | 25,072,221 | |
| | 12,000,000 | | | Series 2015-LC22-C | | | 4.54% | # | | | 09/15/2058 | | | | 11,834,994 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 78,562,198 | | | Series 2011-C4-XA | | | 0.78% | #^ I/O | | | 06/15/2044 | | | | 1,529,920 | |
| | 113,204,206 | | | Series 2012-C6-XA | | | 2.57% | #^ I/O | | | 04/15/2045 | | | | 10,524,935 | |
| | 133,060,598 | | | Series 2012-C8-XA | | | 2.34% | #^ I/O | | | 08/15/2045 | | | | 11,858,693 | |
| | 52,281,649 | | | Series 2012-C9-XA | | | 2.34% | #^ I/O | | | 11/15/2045 | | | | 5,135,130 | |
| | 100,216,167 | | | Series 2014-C19-XA | | | 1.46% | # I/O | | | 03/15/2047 | | | | 7,177,933 | |
| | 65,605,251 | | | Series 2014-C24-XA | | | 1.13% | # I/O | | | 11/15/2047 | | | | 4,235,409 | |
| | 55,000,000 | | | Series 2014-C25-A5 | | | 3.63% | | | | 11/15/2047 | | | | 57,446,813 | |
| | 8,000,000 | | | Series 2014-C25-C | | | 4.47% | # | | | 11/15/2047 | | | | 7,917,272 | |
| | 204,723,066 | | | Series 2014-C25-XA | | | 1.10% | # I/O | | | 11/15/2047 | | | | 12,625,579 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $3,756,557,394) | | | | 3,676,974,040 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 22.7% |
|
| |
| | | | Acacia Ltd., | |
| | 37,501,968 | | | Series 2004-5A-A | | | 0.69% | #^ | | | 11/08/2039 | | | | 36,095,644 | |
| |
| | | | Accredited Mortgage Loan Trust, | |
| | 10,000,000 | | | Series 2005-4-MI | | | 0.59% | # | | | 12/25/2035 | | | | 7,988,410 | |
| | 103,157,000 | | | Series 2006-2-A4 | | | 0.45% | # | | | 09/25/2036 | | | | 87,616,295 | |
| |
| | | | ACE Securities Corporation, | |
| | 4,925,668 | | | Series 2006-HE1-A2C | | | 0.38% | # | | | 02/25/2036 | | | | 4,902,754 | |
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 9,456,731 | | | Series 2005-10-3A31 | | | 4.19% | # | | | 01/25/2036 | | | | 8,419,933 | |
| | 63,015,648 | | | Series 2005-11-4A1 | | | 2.69% | # | | | 02/25/2036 | | | | 46,027,008 | |
| | 6,200,000 | | | Series 2005-2-6M2 | | | 1.17% | # | | | 06/25/2035 | | | | 5,664,425 | |
| | 5,829,790 | | | Series 2005-7-3A1 | | | 3.10% | # | | | 10/25/2035 | | | | 5,202,749 | |
| | 32,249,044 | | | Series 2006-1-2A1 | | | 3.05% | # | | | 03/25/2036 | | | | 25,441,335 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 19 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Adjustable Rate Mortgage Trust, (Cont.) | |
| | 27,742,866 | | | Series 2006-2-3A1 | | | 2.93% | # | | | 05/25/2036 | | | | 24,953,875 | |
| | 22,139,751 | | | Series 2006-2-5A1 | | | 3.74% | # | | | 05/25/2036 | | | | 16,445,673 | |
| | 26,047,421 | | | Series 2007-1-3A1 | | | 3.22% | # | | | 03/25/2037 | | | | 21,948,469 | |
| | 4,188,668 | | | Series 2007-3-1A1 | | | 3.69% | #^ | | | 11/25/2037 | | | | 3,507,264 | |
| |
| | | | Aegis Asset Backed Securities Trust, | |
| | 424,361 | | | Series 2003-2-M2 | | | 2.74% | # | | | 11/25/2033 | | | | 407,079 | |
| | 2,090,563 | | | Series 2004-1-M2 | | | 2.22% | # | | | 04/25/2034 | | | | 1,867,437 | |
| | 617,792 | | | Series 2004-2-M2 | | | 2.14% | # | | | 06/25/2034 | | | | 467,925 | |
| | 21,067,436 | | | Series 2004-6-M2 | | | 1.19% | # | | | 03/25/2035 | | | | 19,480,763 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 8,750,015 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 8,852,425 | |
| | 12,000,000 | | | Series 2010-1-A4 | | | 5.65% | #^ | | | 03/25/2058 | | | | 12,465,870 | |
| |
| | | | American Home Mortgage Investment Trust, | |
| | 3,528,811 | | | Series 2005-1-7A2 | | | 2.54% | # | | | 06/25/2045 | | | | 3,474,748 | |
| | 11,201,749 | | | Series 2005-4-3A1 | | | 0.49% | # | | | 11/25/2045 | | | | 8,975,603 | |
| | 39,568,508 | | | Series 2005-4-5A | | | 2.28% | # | | | 11/25/2045 | | | | 30,843,691 | |
| | 2,545,459 | | | Series 2006-2-3A4 | | | 6.60% | # | | | 06/25/2036 | | | | 1,238,366 | |
| | 9,338,178 | | | Series 2007-A-13A1 | | | 6.10% | #^ | | | 01/25/2037 | | | | 5,123,905 | |
| |
| | | | Ameriquest Mortgage Securities, Inc., | |
| | 16,500,000 | | | Series 2004-R8-M2 | | | 1.21% | # | | | 09/25/2034 | | | | 14,541,004 | |
| |
| | | | Amortizing Residential Collateral Trust, | |
| | 13,611,356 | | | Series 2002-BC7-M1 | | | 1.39% | # | | | 10/25/2032 | | | | 10,238,693 | |
| |
| | | | Argent Securities, Inc., | |
| | 271,214 | | | Series 2004-W6-M1 | | | 1.02% | # | | | 05/25/2034 | | | | 260,717 | |
| |
| | | | Asset Backed Securities Corporation Home Equity Loan Trust, | |
| | 4,878,699 | | | Series 2003-HE6-M1 | | | 1.17% | # | | | 11/25/2033 | | | | 4,703,946 | |
| | 886,477 | | | Series 2004-HE3-M2 | | | 1.87% | # | | | 06/25/2034 | | | | 753,292 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 4,156,074 | | | Series 2005-10-4A1 | | | 5.75% | | | | 11/25/2035 | | | | 3,934,701 | |
| | 4,329,465 | | | Series 2005-5-2CB1 | | | 6.00% | | | | 06/25/2035 | | | | 4,115,884 | |
| | 7,635,309 | | | Series 2005-6-2CB2 | | | 6.00% | | | | 07/25/2035 | | | | 7,367,722 | |
| | 3,992,164 | | | Series 2005-6-4CB1 | | | 6.50% | | | | 07/25/2035 | | | | 3,863,622 | |
| | 2,614,598 | | | Series 2005-8-2CB1 | | | 6.00% | | | | 09/25/2035 | | | | 2,525,166 | |
| | 2,400,465 | | | Series 2006-5-CB14 | | | 6.00% | # | | | 06/25/2046 | | | | 2,062,542 | |
| | 4,583,386 | | | Series 2006-6-CB3 | | | 6.00% | | | | 07/25/2046 | | | | 3,799,645 | |
| | 17,101,355 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 10,905,175 | |
| | 6,809,708 | | | Series 2006-8-1A1 | | | 6.31% | # I/F I/O | | | 11/25/2036 | | | | 1,262,908 | |
| | 2,426,940 | | | Series 2006-8-1A2 | | | 0.64% | # | | | 11/25/2036 | | | | 1,529,511 | |
| | 11,871,646 | | | Series 2006-9-1CB1 | | | 6.00% | | | | 01/25/2037 | | | | 10,207,491 | |
| | 1,929,999 | | | Series 2007-2-2A1 | | | 6.00% | | | | 06/25/2037 | | | | 1,533,507 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 14,298,026 | | | Series 2006-2-3A1 | | | 6.00% | | | | 03/25/2036 | | | | 14,644,260 | |
| | 381,295 | | | Series 2006-2-4A1 | | | 22.22% | I/F | | | 03/25/2036 | | | | 533,766 | |
| | 1,466,849 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 1,474,425 | |
| | 10,446,479 | | | Series 2006-3-1A1 | | | 6.00% | | | | 03/25/2036 | | | | 9,946,908 | |
| | 1,881,600 | | | Series 2006-3-6A1 | | | 6.29% | # | | | 03/25/2036 | | | | 1,923,419 | |
| | 11,528,859 | | | Series 2006-6-1A7 | | | 6.25% | | | | 08/25/2036 | | | | 11,385,388 | |
| | 2,836,016 | | | Series 2006-7-T2A5 | | | 6.04% | # | | | 10/25/2036 | | | | 2,474,809 | |
| | 13,366,994 | | | Series 2006-7-T2A8 | | | 5.91% | # | | | 10/25/2036 | | | | 11,589,331 | |
| | 2,702,325 | | | Series 2006-8T2-A8 | | | 6.10% | # | | | 10/25/2036 | | | | 2,257,809 | |
| | 1,361,075 | | | Series 2006-B-7A1 | | | 5.73% | # | | | 03/20/2036 | | | | 1,230,285 | |
| | 15,542,427 | | | Series 2006-D-6A1 | | | 4.67% | # | | | 05/20/2036 | | | | 13,249,499 | |
| | 1,297,593 | | | Series 2006-G-2A1 | | | 0.44% | # | | | 07/20/2036 | | | | 1,219,354 | |
| | 627,699 | | | Series 2006-H-3A1 | | | 2.87% | # | | | 09/20/2046 | | | | 507,610 | |
| | 1,922,494 | | | Series 2007-1-TA10 | | | 5.84% | # | | | 01/25/2037 | | | | 1,615,518 | |
| | 2,553,454 | | | Series 2007-3-TA1B | | | 5.83% | # | | | 04/25/2037 | | | | 2,311,149 | |
| | 3,657,254 | | | Series 2007-5-1A1 | | | 5.50% | | | | 07/25/2037 | | | | 3,096,941 | |
| | 4,762,437 | | | Series 2009-R14-3A | | | 15.66% | #^ I/F | | | 06/26/2035 | | | | 5,962,805 | |
| | 6,107,936 | | | Series 2009-R15A-4A2 | | | 5.75% | ^ | | | 12/26/2036 | | | | 5,819,746 | |
| | 2,485,485 | | | Series 2010-R1-3A | | | 13.99% | #^ I/F | | | 07/26/2036 | | | | 2,608,769 | |
| | 44,162,049 | | | Series 2012-R4-A | | | 0.46% | #^ | | | 03/04/2039 | | | | 43,765,368 | |
| | 17,516,646 | | | Series 2012-R5-A | | | 0.46% | #^ | | | 10/03/2039 | | | | 17,420,662 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 1,873,324 | | | Series 2004-K-4A1 | | | 2.48% | # | | | 12/25/2034 | | | | 1,835,408 | |
| | 6,946,340 | | | Series 2006-1-A9 | | | 6.00% | | | | 05/25/2036 | | | | 6,248,796 | |
| | 858,610 | | | Series 2007-1-2A5 | | | 5.75% | | | | 01/25/2037 | | | | 814,003 | |
| |
| | | | BCAP LLC Trust, | |
| | 5,004,631 | | | Series 2007-AA2-2A7 | | | 6.00% | | | | 04/25/2037 | | | | 4,253,541 | |
| | 5,418,196 | | | Series 2007-AA2-2A8 | | | 5.75% | | | | 04/25/2037 | | | | 4,553,847 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | BCAP LLC Trust, (Cont.) | |
| | 5,418,196 | | | Series 2007-AA2-2A8 | | | 5.75% | | | | 04/25/2037 | | | | 4,553,847 | |
| | 17,725,168 | | | Series 2008-RR3-A1B | | | 6.65% | #^ | | | 10/25/2036 | | | | 13,144,196 | |
| | 6,162,183 | | | Series 2009-RR13-18A2 | | | 5.75% | #^ | | | 07/26/2037 | | | | 5,728,543 | |
| | 20,423,372 | | | Series 2009-RR1-3A3 | | | 6.00% | #^ | | | 08/26/2037 | | | | 20,342,865 | |
| | 6,493,276 | | | Series 2010-RR10-5A1 | | | 7.17% | #^ | | | 04/27/2037 | | | | 7,133,693 | |
| | 10,986,844 | | | Series 2010-RR12-3A15 | | | 6.53% | #^ | | | 08/26/2037 | | | | 11,603,571 | |
| | 3,350,000 | | | Series 2010-RR5-2A3 | | | 6.10% | #^ | | | 04/26/2037 | | | | 3,407,441 | |
| | 3,077,393 | | | Series 2011-RR12-2A5 | | | 2.29% | #^ | | | 12/26/2036 | | | | 3,078,520 | |
| | 5,119,934 | | | Series 2012-RR1-3A3 | | | 3.50% | #^ | | | 10/26/2035 | | | | 5,145,828 | |
| |
| | | | Bear Stearns Adjustable Rate Mortgage Trust, | |
| | 12,026,144 | | | Series 2005-12-13A1 | | | 4.16% | # | | | 02/25/2036 | | | | 11,353,679 | |
| | 12,564,139 | | | Series 2006-4-4A1 | | | 5.35% | # | | | 10/25/2046 | | | | 11,171,656 | |
| | 12,748,011 | | | Series 2007-1-2A1 | | | 2.72% | # | | | 02/25/2047 | | | | 11,073,661 | |
| |
| | | | Bear Stearns Alt-A Trust, | |
| | 4,908,139 | | | Series 2004-11-2A3 | | | 2.52% | # | | | 11/25/2034 | | | | 4,788,979 | |
| | 32,514,158 | | | Series 2006-3-21A1 | | | 2.75% | # | | | 05/25/2036 | | | | 25,017,238 | |
| | 18,580,213 | | | Series 2006-6-2A1 | | | 4.14% | # | | | 11/25/2036 | | | | 14,206,394 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 10,644,982 | | | Series 2004-AC4-A2 | | | 6.00% | # | | | 08/25/2034 | | | | 11,030,852 | |
| | 27,563,366 | | | Series 2005-AC2-1A | | | 5.75% | # | | | 04/25/2035 | | | | 28,200,163 | |
| | 9,275,520 | | | Series 2005-AC2-2A1 | | | 5.75% | # | | | 04/25/2035 | | | | 9,645,627 | |
| | 13,870,907 | | | Series 2005-AC7-A4 | | | 5.50% | # | | | 10/25/2035 | | | | 13,980,265 | |
| | 18,303,406 | | | Series 2006-AC1-1A1 | | | 5.75% | # | | | 02/25/2036 | | | | 13,998,902 | |
| | 2,252,423 | | | Series 2007-SD1-1A2A | | | 6.00% | | | | 10/25/2036 | | | | 1,859,645 | |
| | 1,551,820 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 1,254,525 | |
| | 5,647,721 | | | Series 2007-SD1-23A1 | | | 3.72% | # | | | 10/25/2036 | | | | 4,541,247 | |
| |
| | | | Belle Haven Ltd., | |
| | 1,114,116,104 | | | Series 2006-1A-A1 | | | 0.53% | #^ | | | 07/05/2046 | | | | 65,287,204 | |
| |
| | | | Centex Home Equity, | |
| | 2,750,000 | | | Series 2004-A-AF5 | | | 5.43% | # | | | 01/25/2034 | | | | 2,796,636 | |
| |
| | | | Chase Funding Mortgage Loan Asset-Backed Certificates, | |
| | 1,909,634 | | | Series 2003-4-2M1 | | | 1.09% | # | | | 03/25/2033 | | | | 1,824,504 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 13,419,345 | | | Series 2005-A1-2A4 | | | 2.43% | # | | | 12/25/2035 | | | | 12,475,482 | |
| | 19,463,263 | | | Series 2006-S2-1A9 | | | 6.25% | | | | 10/25/2036 | | | | 17,432,680 | |
| | 10,034,761 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 11/25/2036 | | | | 8,704,975 | |
| | 26,414,934 | | | Series 2006-S4-A8 | | | 6.00% | | | | 12/25/2036 | | | | 22,638,946 | |
| | 12,274,464 | | | Series 2007-A2-6A4 | | | 2.62% | # | | | 07/25/2037 | | | | 10,907,800 | |
| | 5,196,637 | | | Series 2007-S3-1A5 | | | 6.00% | | | | 05/25/2037 | | | | 4,426,573 | |
| | 2,637,702 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 2,322,412 | |
| | 5,379,022 | | | Series 2007-S5-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 4,648,142 | |
| |
| | | | ChaseFlex Trust, | |
| | 240,018 | | | Series 2006-1-A2A | | | 4.80% | # | | | 06/25/2036 | | | | 240,965 | |
| | 3,198,589 | | | Series 2006-1-A5 | | | 4.80% | # | | | 06/25/2036 | | | | 3,164,606 | |
| | 7,811,039 | | | Series 2006-2-A2B | | | 0.39% | # | | | 09/25/2036 | | | �� | 6,070,630 | |
| | 6,711,428 | | | Series 2007-1-1A1 | | | 6.50% | | | | 02/25/2037 | | | | 5,014,625 | |
| | 15,460,939 | | | Series 2007-M1-2F4 | | | 4.26% | # | | | 08/25/2037 | | | | 13,236,296 | |
| | 16,080,751 | | | Series 2007-M1-2F5 | | | 4.26% | # | | | 08/25/2037 | | | | 13,765,622 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 13,069,284 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 13,265,022 | |
| | 2,791,510 | | | Series 2006-7-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 2,571,173 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 6,594,000 | | | Series 2006-2-A5 | | | 5.93% | # | | | 09/25/2036 | | | | 6,618,081 | |
| | 50,713,804 | | | Series 2007-1-A4 | | | 5.84% | # | | | 03/25/2037 | | | | 53,883,366 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 3,711,996 | | | Series 2005-5-2A2 | | | 5.75% | | | | 08/25/2035 | | | | 3,255,561 | |
| | 1,970,330 | | | Series 2005-9-21A1 | | | 5.50% | | | | 11/25/2035 | | | | 1,762,937 | |
| | 6,163,194 | | | Series 2006-4-2A1A | | | 6.00% | | | | 12/25/2035 | | | | 5,760,627 | |
| | 5,566,397 | | | Series 2006-FX1-A6 | | | 5.85% | # | | | 10/25/2036 | | | | 4,672,951 | |
| | 2,795,959 | | | Series 2006-WF1-A2D | | | 5.38% | # | | | 03/25/2036 | | | | 2,042,610 | |
| | 16,749,835 | | | Series 2006-WF2-A2D | | | 5.53% | # | | | 05/25/2036 | | | | 11,231,719 | |
| | 7,580,000 | | | Series 2006-WFH3-M1 | | | 0.48% | # | | | 10/25/2036 | | | | 6,702,714 | |
| | 9,692,806 | | | Series 2007-10-1A1A | | | 5.66% | # | | | 04/25/2037 | | | | 10,038,859 | |
| | 1,299,772 | | | Series 2007-12-2A1 | | | 6.50% | ^ | | | 10/25/2036 | | | | 1,025,887 | |
| | 1,019,217 | | | Series 2007-2-2A | | | 6.00% | | | | 11/25/2036 | | | | 962,402 | |
| | 37,684,857 | | | Series 2007-9-1A1 | | | 5.75% | ^ | | | 04/25/2047 | | | | 32,036,282 | |
| | 1,894,660 | | | Series 2007-9-2A2 | | | 6.50% | ^ | | | 05/25/2037 | | | | 1,553,971 | |
| | 6,968,353 | | | Series 2007-OPX1-A3A | | | 5.97% | # | | | 01/25/2037 | | | | 4,719,888 | |
| | | | | | |
| 20 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., (Cont.) | |
| | 15,360,757 | | | Series 2007-OXP1-A5A | | | 5.76% | # | | | 01/25/2037 | | | | 10,406,913 | |
| | 52,402,458 | | | Series 2007-WFH3-A2 | | | 0.35% | # | | | 06/25/2037 | | | | 49,923,927 | |
| | 20,000,000 | | | Series 2008-AR4-1A1B | | | 2.72% | #^ | | | 11/25/2038 | | | | 19,017,852 | |
| | 920,202 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 929,781 | |
| | 1,130,198 | | | Series 2010-2-5A1 | | | 5.50% | #^ | | | 12/25/2035 | | | | 1,156,699 | |
| | 183,691,139 | | | Series 2010-8-5A4 | | | 7.17% | #^ | | | 11/25/2036 | | | | 167,980,238 | |
| | 6,710,452 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 6,800,202 | |
| | 146,027,402 | | | Series 2010-8-6A4 | | | 6.90% | #^ | | | 12/25/2036 | | | | 134,184,682 | |
| | 21,593,145 | | | Series 2010-8-76I2 | | | 1.00% | ^ I/O | | | 06/25/2037 | | | | 156,087 | |
| | 130,603,630 | | | Series 2010-8-7A4 | | | 6.61% | #^ | | | 06/25/2037 | | | | 121,166,342 | |
| | 1,136,599 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 1,138,857 | |
| | 4,106,259 | | | Series 2011-12-3A1 | | | 2.67% | #^ | | | 09/25/2047 | | | | 4,099,648 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 7,722,519 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 6,833,255 | |
| | 6,916,711 | | | Series 2006-A3-1A13 | | | 6.00% | | | | 07/25/2036 | | | | 6,251,247 | |
| | 4,925,616 | | | Series 2006-A4-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 4,453,127 | |
| | 2,344,263 | | | Series 2006-A5-2A1 | | | 5.50% | | | | 10/25/2021 | | | | 2,394,416 | |
| | 5,027,095 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 4,197,539 | |
| | 8,278,251 | | | Series 2007-A1-1A5 | | | 6.00% | | | | 01/25/2037 | | | | 7,139,329 | |
| | 4,036,195 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 3,480,895 | |
| | 10,327,123 | | | Series 2007-A1-1A9 | | | 5.21% | # I/F I/O | | | 01/25/2037 | | | | 1,608,191 | |
| | 8,861,159 | | | Series 2007-A3-1A1 | | | 6.00% | # | | | 03/25/2037 | | | | 7,926,058 | |
| | 20,392,364 | | | Series 2007-A3-1A3 | | | 5.21% | # I/F I/O | | | 03/25/2037 | | | | 3,187,021 | |
| | 7,991,330 | | | Series 2007-A3-1A4 | | | 5.75% | | | | 03/25/2037 | | | | 7,038,908 | |
| | 14,646,401 | | | Series 2007-A4-1A3 | | | 0.52% | # | | | 04/25/2037 | | | | 10,315,827 | |
| | 14,646,401 | | | Series 2007-A4-1A4 | | | 6.48% | # I/F I/O | | | 04/25/2037 | | | | 3,136,783 | |
| | 2,088,255 | | | Series 2007-A5-1A11 | | | 6.00% | | | | 05/25/2037 | | | | 1,825,521 | |
| | 27,532,120 | | | Series 2007-A5-1A8 | | | 6.00% | | | | 05/25/2037 | | | | 24,068,166 | |
| | 975,965 | | | Series 2007-A8-A1 | | | 6.00% | | | | 10/25/2037 | | | | 895,191 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 41,408,081 | | | Series 2004-36CB-1A1 | | | 6.00% | | | | 02/25/2035 | | | | 38,646,617 | |
| | 10,691,166 | | | Series 2005-13CB-A3 | | | 5.50% | | | | 05/25/2035 | | | | 10,666,844 | |
| | 8,234,853 | | | Series 2005-20CB-2A1 | | | 0.69% | # | | | 07/25/2035 | | | | 6,973,768 | |
| | 16,812,825 | | | Series 2005-20CB-2A2 | | | 4.81% | # I/F I/O | | | 07/25/2035 | | | | 2,340,261 | |
| | 1,602,201 | | | Series 2005-20CB-4A1 | | | 5.25% | | | | 07/25/2020 | | | | 1,582,666 | |
| | 5,877,891 | | | Series 2005-26CB-A11 | | | 12.70% | # I/F | | | 07/25/2035 | | | | 6,451,114 | |
| | 8,226,291 | | | Series 2005-28CB-1A2 | | | 0.94% | # | | | 08/25/2035 | | | | 6,992,767 | |
| | 2,802,558 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 2,243,187 | |
| | 4,077,876 | | | Series 2005-46CB-A20 | | | 5.50% | | | | 10/25/2035 | | | | 3,923,216 | |
| | 13,307,270 | | | Series 2005-48T1-A2 | | | 5.50% | | | | 11/25/2035 | | | | 12,264,712 | |
| | 5,550,730 | | | Series 2005-54CB-3A4 | | | 5.50% | | | | 11/25/2035 | | | | 5,301,047 | |
| | 1,042,612 | | | Series 2005-60T1-A7 | | | 34.51% | # I/F | | | 12/25/2035 | | | | 1,599,249 | |
| | 1,523,506 | | | Series 2005-64CB-1A14 | | | 5.50% | | | | 12/25/2035 | | | | 1,478,897 | |
| | 22,111,790 | | | Series 2005-64CB-1A4 | | | 5.50% | | | | 12/25/2035 | | | | 21,464,346 | |
| | 3,823,894 | | | Series 2005-73CB-1A5 | | | 0.99% | # | | | 01/25/2036 | | | | 3,217,894 | |
| | 9,620,125 | | | Series 2005-73CB-1A6 | | | 4.51% | # I/F I/O | | | 01/25/2036 | | | | 1,073,014 | |
| | 83,310,710 | | | Series 2005-77T1-1A1 | | | 6.00% | | | | 02/25/2036 | | | | 75,024,627 | |
| | 2,160,352 | | | Series 2005-79CB-A5 | | | 5.50% | | | | 01/25/2036 | | | | 1,969,370 | |
| | 50,748,016 | | | Series 2005-85CB-1A1 | | | 6.00% | | | | 02/25/2036 | | | | 44,366,148 | |
| | 4,671,004 | | | Series 2005-85CB-2A6 | | | 20.92% | # I/F | | | 02/25/2036 | | | | 5,910,249 | |
| | 2,911,081 | | | Series 2005-86CB-A5 | | | 5.50% | | | | 02/25/2036 | | | | 2,690,750 | |
| | 5,148,066 | | | Series 2005-J10-1A11 | | | 5.50% | | | | 10/25/2035 | | | | 4,840,917 | |
| | 1,171,579 | | | Series 2005-J10-1A13 | | | 0.89% | # | | | 10/25/2035 | | | | 937,395 | |
| | 548,819 | | | Series 2005-J10-1A15 | | | 5.50% | | | | 10/25/2035 | | | | 516,075 | |
| | 1,414,263 | | | Series 2005-J11-1A3 | | | 5.50% | | | | 11/25/2035 | | | | 1,311,533 | |
| | 1,654,129 | | | Series 2005-J11-6A1 | | | 6.50% | | | | 09/25/2032 | | | | 1,624,583 | |
| | 2,296,280 | | | Series 2005-J13-2A5 | | | 0.67% | # | | | 11/25/2035 | | | | 1,815,947 | |
| | 4,592,561 | | | Series 2005-J13-2A6 | | | 4.83% | # I/F I/O | | | 11/25/2035 | | | | 528,043 | |
| | 3,891,000 | | | Series 2005-J1-5A3 | | | 5.50% | | | | 02/25/2035 | | | | 3,555,401 | |
| | 2,822,043 | | | Series 2005-J1-7A1 | | | 5.50% | | | | 01/25/2020 | | | | 2,857,807 | |
| | 1,738,590 | | | Series 2005-J2-1A5 | | | 0.69% | # | | | 04/25/2035 | | | | 1,524,055 | |
| | 5,349,509 | | | Series 2005-J2-1A6 | | | 4.81% | # I/F I/O | | | 04/25/2035 | | | | 630,389 | |
| | 13,261,786 | | | Series 2005-J3-2A8 | | | 0.49% | # | | | 05/25/2035 | | | | 10,862,000 | |
| | 13,261,786 | | | Series 2005-J3-2A9 | | | 5.01% | # I/F I/O | | | 05/25/2035 | | | | 2,047,706 | |
| | 6,248,980 | | | Series 2006-12CB-A3 | | | 5.75% | # | | | 05/25/2036 | | | | 5,311,683 | |
| | 3,000,076 | | | Series 2006-15CB-A1 | | | 6.50% | | | | 06/25/2036 | | | | 2,454,525 | |
| | 2,256,611 | | | Series 2006-18CB-A12 | | | 0.79% | # | | | 07/25/2036 | | | | 1,595,393 | |
| | 2,256,611 | | | Series 2006-18CB-A13 | | | 5.31% | # I/F I/O | | | 07/25/2036 | | | | 455,205 | |
| | 11,003,331 | | | Series 2006-19CB-A12 | | | 0.59% | # | | | 08/25/2036 | | | | 7,964,354 | |
| | 14,921,178 | | | Series 2006-19CB-A13 | | | 5.41% | # I/F I/O | | | 08/25/2036 | | | | 3,275,773 | |
| | 2,297,326 | | | Series 2006-19CB-A15 | | | 6.00% | | | | 08/25/2036 | | | | 2,111,034 | |
| | 3,550,731 | | | Series 2006-24CB-A11 | | | 5.75% | | | | 06/25/2036 | | | | 3,209,711 | |
| | 10,392,553 | | | Series 2006-24CB-A14 | | | 6.96% | # I/F I/O | | | 06/25/2036 | | | | 2,745,068 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, (Cont.) | |
| | 8,333,474 | | | Series 2006-24CB-A22 | | | 6.00% | | | | 06/25/2036 | | | | 7,679,488 | |
| | 8,944,321 | | | Series 2006-24CB-A5 | | | 0.79% | # | | | 06/25/2036 | | | | 6,294,745 | |
| | 3,356,433 | | | Series 2006-26CB-A17 | | | 6.25% | | | | 09/25/2036 | | | | 2,903,281 | |
| | 4,308,267 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 3,792,486 | |
| | 7,430,013 | | | Series 2006-29T1-1A2 | | | 6.25% | | | | 10/25/2036 | | | | 6,857,404 | |
| | 1,129,420 | | | Series 2006-29T1-2A12 | | | 44.89% | # I/F | | | 10/25/2036 | | | | 2,347,159 | |
| | 691,794 | | | Series 2006-29T1-2A23 | | | 32.53% | # I/F | | | 10/25/2036 | | | | 1,174,021 | |
| | 7,887,299 | | | Series 2006-30T1-1A2 | | | 6.25% | | | | 11/25/2036 | | | | 7,446,857 | |
| | 5,371,105 | | | Series 2006-32CB-A1 | | | 0.86% | # | | | 11/25/2036 | | | | 3,859,939 | |
| | 8,959,003 | | | Series 2006-32CB-A2 | | | 5.14% | # I/F I/O | | | 11/25/2036 | | | | 1,977,288 | |
| | 8,634,775 | | | Series 2006-36T2-2A1 | | | 6.25% | | | | 12/25/2036 | | | | 6,807,993 | |
| | 3,048,127 | | | Series 2006-39CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 2,894,099 | |
| | 19,933,617 | | | Series 2006-39CB-2A2 | | | 6.36% | # I/F I/O | | | 01/25/2037 | | | | 6,602,432 | |
| | 6,788,337 | | | Series 2006-39CB-2A4 | | | 0.64% | # | | | 01/25/2037 | | | | 2,161,407 | |
| | 4,537,765 | | | Series 2006-40T1-1A11 | | | 6.00% | | | | 01/25/2037 | | | | 4,129,093 | |
| | 7,721,732 | | | Series 2006-40T1-1A4 | | | 5.26% | # I/F I/O | | | 01/25/2037 | | | | 1,255,399 | |
| | 7,479,816 | | | Series 2006-41CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 6,428,004 | |
| | 7,876,408 | | | Series 2006-41CB-1A9 | | | 6.00% | | | | 01/25/2037 | | | | 6,768,827 | |
| | 6,446,278 | | | Series 2006-45T1-1A4 | | | 0.79% | # | | | 02/25/2037 | | | | 3,632,220 | |
| | 6,446,278 | | | Series 2006-45T1-1A5 | | | 5.21% | # I/F I/O | | | 02/25/2037 | | | | 1,002,219 | |
| | 2,526,039 | | | Series 2006-6CB-1A4 | | | 5.50% | | | | 05/25/2036 | | | | 2,383,891 | |
| | 15,229,663 | | | Series 2006-J1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 13,802,948 | |
| | 7,506,137 | | | Series 2006-J1-A10 | | | 5.50% | | | | 02/25/2036 | | | | 6,802,962 | |
| | 2,691,020 | | | Series 2006-J4-2A2 | | | 6.00% | | | | 07/25/2036 | | | | 2,416,245 | |
| | 1,574,107 | | | Series 2007-11T1-A24 | | | 38.74% | # I/F | | | 05/25/2037 | | | | 3,383,454 | |
| | 25,082,800 | | | Series 2007-15CB-A1 | | | 6.00% | | | | 07/25/2037 | | | | 24,554,819 | |
| | 16,425,929 | | | Series 2007-16CB-2A1 | | | 0.64% | # | | | 08/25/2037 | | | | 10,223,465 | |
| | 4,756,538 | | | Series 2007-16CB-2A2 | | | 52.97% | # I/F | | | 08/25/2037 | | | | 11,603,742 | |
| | 10,199,676 | | | Series 2007-16CB-4A7 | | | 6.00% | | | | 08/25/2037 | | | | 10,084,960 | |
| | 15,030,392 | | | Series 2007-17CB-1A10 | | | 29.01% | # I/F | | | 08/25/2037 | | | | 23,890,041 | |
| | 2,496,677 | | | Series 2007-18CB-2A25 | | | 6.00% | | | | 08/25/2037 | | | | 2,248,253 | |
| | 1,366,856 | | | Series 2007-19-1A10 | | | 37.84% | # I/F | | | 08/25/2037 | | | | 2,779,961 | |
| | 20,089,855 | | | Series 2007-19-1A4 | | | 6.00% | | | | 08/25/2037 | | | | 16,851,330 | |
| | 43,137,337 | | | Series 2007-19-2A1 | | | 6.50% | | | | 08/25/2037 | | | | 30,162,187 | |
| | 7,606,943 | | | Series 2007-21CB-2A2 | | | 27.62% | # I/F | | | 09/25/2037 | | | | 13,373,454 | |
| | 31,066,335 | | | Series 2007-22-2A16 | | | 6.50% | | | | 09/25/2037 | | | | 24,638,865 | |
| | 18,282,036 | | | Series 2007-23CB-A3 | | | 0.69% | # | | | 09/25/2037 | | | | 12,108,759 | |
| | 25,945,999 | | | Series 2007-23CB-A4 | | | 6.31% | # I/F I/O | | | 09/25/2037 | | | | 7,351,708 | |
| | 17,039,000 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 7,421,660 | |
| | 9,645,497 | | | Series 2007-5CB-1A18 | | | 5.46% | # I/F I/O | | | 04/25/2037 | | | | 1,970,903 | |
| | 9,645,497 | | | Series 2007-5CB-1A23 | | | 0.74% | # | | | 04/25/2037 | | | | 6,286,328 | |
| | 7,849,766 | | | Series 2007-6-A4 | | | 5.75% | | | | 04/25/2047 | | | | 7,025,493 | |
| | 666,021 | | | Series 2007-8CB-A12 | | | 39.04% | # I/F | | | 05/25/2037 | | | | 1,241,526 | |
| | 710,968 | | | Series 2007-8CB-A8 | | | 38.92% | # I/F | | | 05/25/2037 | | | | 1,320,747 | |
| | 945,404 | | | Series 2007-9T1-1A4 | | | 0.69% | # | | | 05/25/2037 | | | | 574,885 | |
| | 945,404 | | | Series 2007-9T1-1A5 | | | 5.31% | # I/F I/O | | | 05/25/2037 | | | | 179,567 | |
| | 25,895,905 | | | Series 2007-9T1-1A6 | | | 6.00% | | | | 05/25/2037 | | | | 20,149,656 | |
| | 2,758,676 | | | Series 2007-9T1-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 2,258,475 | |
| | 1,296,752 | | | Series 2007-9T1-3A1 | | | 5.50% | | | | 05/25/2022 | | | | 1,136,591 | |
| | 36,814,215 | | | Series 2007-HY2-1A | | | 2.51% | # | | | 03/25/2047 | | | | 35,036,530 | |
| | 1,283,264 | | | Series 2007-HY5R-2A1A | | | 2.56% | # | | | 03/25/2047 | | | | 1,920,302 | |
| | 9,931,921 | | | Series 2007-HY5R-2A1B | | | 2.56% | # | | | 03/25/2047 | | | | 9,485,059 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 3,994,855 | | | Series 2003-BC6-M1 | | | 1.02% | # | | | 11/25/2033 | | | | 3,906,194 | |
| | 2,392,115 | | | Series 2005-13-AF3 | | | 4.90% | # | | | 04/25/2036 | | | | 2,162,240 | |
| | 23,200,000 | | | Series 2005-4-AF5B | | | 5.01% | # | | | 10/25/2035 | | | | 23,171,510 | |
| | 1,254,366 | | | Series 2006-2-2A2 | | | 0.38% | # | | | 06/25/2036 | | | | 1,232,673 | |
| |
| | | | Countrywide Home Loans, | |
| | 1,559,563 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 1,579,841 | |
| | 4,820,048 | | | Series 2003-60-4A1 | | | 2.53% | # | | | 02/25/2034 | | | | 4,801,443 | |
| | 5,121,548 | | | Series 2004-R2-1AF1 | | | 0.61% | #^ | | | 11/25/2034 | | | | 4,554,019 | |
| | 5,021,646 | | | Series 2004-R2-1AS | | | 5.77% | #^ I/O | | | 11/25/2034 | | | | 659,352 | |
| | 10,284,444 | | | Series 2005-20-A5 | | | 5.50% | | | | 10/25/2035 | | | | 10,031,519 | |
| | 7,595,572 | | | Series 2005-20-A8 | | | 5.25% | | | | 10/25/2035 | | | | 7,362,191 | |
| | 22,830,426 | | | Series 2005-23-A1 | | | 5.50% | | | | 11/25/2035 | | | | 21,116,637 | |
| | 6,191,596 | | | Series 2005-24-A8 | | | 5.50% | | | | 11/25/2035 | | | | 6,016,811 | |
| | 1,644,297 | | | Series 2005-27-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 1,497,552 | |
| | 3,194,974 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 2,967,028 | |
| | 37,152,586 | | | Series 2005-HYB1-4A1 | | | 2.40% | # | | | 03/25/2035 | | | | 34,536,040 | |
| | 4,221,577 | | | Series 2005-HYB8-1A1 | | | 2.49% | # | | | 12/20/2035 | | | | 3,485,317 | |
| | 6,382,068 | | | Series 2005-J3-2A4 | | | 4.50% | | | | 09/25/2035 | | | | 6,228,225 | |
| | 6,799,205 | | | Series 2005-J4-A5 | | | 5.50% | | | | 11/25/2035 | | | | 6,715,697 | |
| | 1,570,772 | | | Series 2005-R1-1AF1 | | | 0.55% | #^ | | | 03/25/2035 | | | | 1,411,304 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 21 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Home Loans, (Cont.) | |
| | 1,523,852 | | | Series 2005-R1-1AS | | | 5.90% | #^ I/O | | | 03/25/2035 | | | | 200,377 | |
| | 10,292,483 | | | Series 2006-16-2A1 | | | 6.50% | | | | 11/25/2036 | | | | 9,433,339 | |
| | 11,326,998 | | | Series 2006-1-A2 | | | 6.00% | | | | 03/25/2036 | | | | 10,682,515 | |
| | 4,555,444 | | | Series 2006-20-1A21 | | | 6.00% | | | | 02/25/2037 | | | | 4,215,467 | |
| | 3,158,281 | | | Series 2006-J3-A4 | | | 5.50% | | | | 05/25/2036 | | | | 3,270,236 | |
| | 12,221,633 | | | Series 2007-10-A7 | | | 6.00% | | | | 07/25/2037 | | | | 11,191,007 | |
| | 38,924,991 | | | Series 2007-11-A1 | | | 6.00% | | | | 08/25/2037 | | | | 35,479,428 | |
| | 27,307,589 | | | Series 2007-12-A9 | | | 5.75% | | | | 08/25/2037 | | | | 25,956,574 | |
| | 10,946,260 | | | Series 2007-13-A1 | | | 6.00% | | | | 08/25/2037 | | | | 10,455,254 | |
| | 12,821,488 | | | Series 2007-13-A110 | | | 6.00% | | | | 08/25/2037 | | | | 12,246,368 | |
| | 12,443,101 | | | Series 2007-15-1A1 | | | 6.25% | | | | 09/25/2037 | | | | 12,179,961 | |
| | 1,372,119 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 1,343,102 | |
| | 6,114,069 | | | Series 2007-15-1A29 | | | 6.25% | | | | 09/25/2037 | | | | 5,976,524 | |
| | 12,412,961 | | | Series 2007-17-1A2 | | | 6.00% | | | | 10/25/2037 | | | | 12,254,720 | |
| | 1,425,075 | | | Series 2007-18-1A1 | | | 6.00% | | | | 11/25/2037 | | | | 1,314,026 | |
| | 12,659,168 | | | Series 2007-3-A1 | | | 6.00% | | | | 04/25/2037 | | | | 11,824,422 | |
| | 4,875,493 | | | Series 2007-3-A12 | | | 6.00% | | | | 04/25/2037 | | | | 4,577,318 | |
| | 9,127,022 | | | Series 2007-4-1A39 | | | 6.00% | | | | 05/25/2037 | | | | 8,372,227 | |
| | 4,507,426 | | | Series 2007-5-A2 | | | 5.75% | | | | 05/25/2037 | | | | 4,288,599 | |
| | 17,296,473 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 16,819,488 | |
| | 5,184,892 | | | Series 2007-7-A2 | | | 5.75% | | | | 06/25/2037 | | | | 4,995,656 | |
| | 12,664,986 | | | Series 2007-8-1A4 | | | 6.00% | | | | 01/25/2038 | | | | 11,444,613 | |
| | 6,646,538 | | | Series 2007-8-1A5 | | | 5.44% | | | | 01/25/2038 | | | | 5,793,655 | |
| | 15,431,863 | | | Series 2007-8-1A9 | | | 6.00% | # | | | 01/25/2038 | | | | 13,944,879 | |
| | 2,860,203 | | | Series 2007-9-A11 | | | 5.75% | | | | 07/25/2037 | | | | 2,730,581 | |
| | 18,863,343 | | | Series 2007-HY1-1A1 | | | 2.63% | # | | | 04/25/2037 | | | | 17,775,248 | |
| | 33,629,771 | | | Series 2007-J1-2A1 | | | 6.00% | | | | 02/25/2037 | | | | 26,299,490 | |
| | 1,072,381 | | | Series 2007-J3-A1 | | | 0.69% | # | | | 07/25/2037 | | | | 774,160 | |
| | 5,361,903 | | | Series 2007-J3-A2 | | | 5.31% | # I/F I/O | | | 07/25/2037 | | | | 546,740 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 5,847,535 | | | Series 2006-3-A4B | | | 6.11% | # | | | 11/25/2036 | | | | 2,960,081 | |
| | 3,834,030 | | | Series 2006-4-A6A | | | 5.68% | # | | | 12/25/2036 | | | | 2,299,743 | |
| | 12,769,794 | | | Series 2007-1-1A1A | | | 5.90% | # | | | 05/25/2037 | | | | 7,248,391 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 204,911 | | | Series 2004-AR8-2A1 | | | 2.60% | # | | | 09/25/2034 | | | | 204,434 | |
| | 3,891,697 | | | Series 2005-10-5A4 | | | 5.50% | | | | 11/25/2035 | | | | 3,609,981 | |
| | 1,155,160 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 1,071,540 | |
| | 22,330,550 | | | Series 2005-12-5A1 | | | 5.25% | | | | 01/25/2036 | | | | 21,556,472 | |
| | 12,071,565 | | | Series 2005-12-7A1 | | | 7.00% | | | | 01/25/2036 | | | | 5,556,505 | |
| | 9,998,236 | | | Series 2005-8-3A10 | | | 5.50% | | | | 09/25/2035 | | | | 9,762,607 | |
| | 6,272,975 | | | Series 2005-8-7A1 | | | 7.00% | | | | 09/25/2035 | | | | 4,749,796 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 3,959,442 | | | Series 2005-1R-2A5 | | | 5.75% | ^ | | | 12/26/2035 | | | | 3,617,934 | |
| | 25,847,523 | | | Series 2006-1-2A1 | | | 6.00% | | | | 02/25/2036 | | | | 19,539,306 | |
| | 3,807,052 | | | Series 2006-2-3A1 | | | 6.50% | | | | 03/25/2036 | | | | 2,544,687 | |
| | 4,748,190 | | | Series 2006-2-5A1 | | | 0.89% | # | | | 03/25/2036 | | | | 2,750,788 | |
| | 26,540,201 | | | Series 2006-2-5A2 | | | 5.11% | # I/F I/O | | | 03/25/2036 | | | | 5,736,253 | |
| | 5,528,287 | | | Series 2006-2-5A3 | | | 6.25% | | | | 03/25/2036 | | | | 4,448,458 | |
| | 14,961,755 | | | Series 2006-2-5A4 | | | 6.00% | | | | 03/25/2036 | | | | 11,794,022 | |
| | 8,860,835 | | | Series 2006-3-4A3 | | | 5.50% | | | | 04/25/2036 | | | | 8,327,475 | |
| | 5,356,601 | | | Series 2006-3-4A4 | | | 5.50% | | | | 04/25/2036 | | | | 5,034,171 | |
| | 5,846,021 | | | Series 2006-4-1A8 | | | 6.00% | # | | | 05/25/2036 | | | | 4,751,710 | |
| | 27,031,803 | | | Series 2006-4-4A1 | | | 7.00% | | | | 05/25/2036 | | | | 12,913,498 | |
| | 17,927,091 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 15,492,251 | |
| | 17,180,621 | | | Series 2006-6-1A4 | | | 6.00% | | | | 07/25/2036 | | | | 13,516,064 | |
| | 12,704,096 | | | Series 2006-6-3A1 | | | 7.00% | | | | 07/25/2036 | | | | 4,567,002 | |
| | 546,736 | | | Series 2006-7-3A11 | | | 6.00% | | | | 08/25/2036 | | | | 474,770 | |
| | 6,697,927 | | | Series 2006-7-7A5 | | | 6.00% | | | | 08/25/2036 | | | | 6,092,890 | |
| | 9,703,494 | | | Series 2006-9-2A1 | | | 5.50% | | | | 11/25/2036 | | | | 9,371,804 | |
| | 31,164,766 | | | Series 2006-9-3A1 | | | 6.00% | | | | 11/25/2036 | | | | 30,289,955 | |
| | 8,670,342 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 8,138,781 | |
| | 12,236,884 | | | Series 2006-9-6A14 | | | 6.00% | | | | 11/25/2036 | | | | 11,803,429 | |
| | 1,988,297 | | | Series 2006-9-6A15 | | | 38.70% | # I/F | | | 11/25/2036 | | | | 3,841,687 | |
| | 12,826,704 | | | Series 2007-1-1A4 | | | 6.13% | # | | | 02/25/2037 | | | | 7,467,348 | |
| | 15,603,546 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 12,511,860 | |
| | 8,939,808 | | | Series 2007-1-5A14 | | | 6.00% | | | | 02/25/2037 | | | | 7,922,440 | |
| | 172,892 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 171,464 | |
| | 7,888,871 | | | Series 2007-5-2A5 | | | 5.00% | | | | 08/25/2037 | | | | 7,625,734 | |
| | 58,718,945 | | | Series 2007-5-3A19 | | | 6.00% | | | | 08/25/2037 | | | | 58,877,779 | |
| | 26,463,738 | | | Series 2007-5-3A9 | | | 6.00% | | | | 08/25/2037 | | | | 26,209,078 | |
| | 5,125,847 | | | Series 2009-1R-4A2 | | | 3.11% | #^ | | | 07/20/2035 | | | | 4,625,463 | |
| | 93,898,000 | | | Series 2010-17R-6A1 | | | 2.23% | #^ | | | 06/26/2037 | | | | 87,567,106 | |
| | 39,657,995 | | | Series 2010-2R-4A17 | | | 6.00% | #^ | | | 03/26/2037 | | | | 38,716,209 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, (Cont.) | |
| | 77,344,471 | | | Series 2010-4R-3A17 | | | 6.00% | #^ | | | 06/26/2037 | | | | 76,941,019 | |
| | 38,187,130 | | | Series 2010-4R-8A17 | | | 6.00% | #^ | | | 06/26/2037 | | | | 37,613,662 | |
| | 7,533,272 | | | Series 2010-6R-2A6A | | | 6.25% | ^ | | | 07/26/2037 | | | | 7,988,585 | |
| | 28,994,819 | | | Series 2010-7R-4A17 | | | 6.00% | #^ | | | 04/26/2037 | | | | 27,841,071 | |
| | 50,000,000 | | | Series 2010-9R-2A5 | | | 4.00% | ^ | | | 02/27/2038 | | | | 48,866,695 | |
| | 77,085,276 | | | Series 2013-6-1A1 | | | 2.50% | #^ | | | 07/25/2028 | | | | 77,452,665 | |
| | 63,585,747 | | | Series 2013-9R-A1 | | | 3.00% | #^ | | | 05/27/2043 | | | | 63,248,316 | |
| | 45,254,877 | | | Series 2013-IVR4 | | | 3.50% | #^ | | | 07/25/2043 | | | | 45,830,089 | |
| | 32,013,635 | | | Series 2013-IVR4-A2 | | | 3.00% | #^ | | | 07/25/2043 | | | | 31,717,061 | |
| | 80,187,091 | | | Series 2014-CIM1-A3 | | | 2.23% | #^ | | | 01/25/2058 | | | | 80,029,924 | |
| | 12,886,732 | | | Series 2014-WIN1-2A4 | | | 3.00% | #^ | | | 09/25/2044 | | | | 12,707,929 | |
| | 142,832,026 | | | Series 2015-1-A1 | | | 2.50% | #^ | | | 01/25/2045 | | | | 138,460,581 | |
| | 158,175,911 | | | Series 2015-PR2-A1 | | | 4.25% | #^ | | | 07/26/2055 | | | | 157,110,169 | |
| | 98,006,982 | | | Series 2015-RPL1-A1 | | | 3.63% | #^ | | | 02/25/2057 | | | | 97,788,524 | |
| | 97,291,764 | | | Series 2015-RPL2-A1A | | | 3.75% | #^ | | | 11/25/2057 | | | | 97,266,468 | |
| | 29,339,528 | | | Series 2015-RPL3-A1 | | | 3.75% | #^ | | | 12/25/2056 | | | | 29,474,842 | |
| |
| | | | Credit-Based Asset Servicing and Securitization LLC, | |
| | 576,132 | | | Series 2005-CB6-A4 | | | 3.92% | # | | | 07/25/2035 | | | | 575,739 | |
| | 9,750,000 | | | Series 2007-MX1-A3 | | | 5.83% | #^ | | | 12/25/2036 | | | | 9,404,977 | |
| | | | |
| | | | CSMLT Trust, | | | | | | | | | | | | |
| | 12,815,435 | | | Series 2015-1-A9 | | | 3.50% | ^ | | | 05/25/2045 | | | | 13,034,195 | |
| | 69,000,000 | | | Series 2015-2-A7 | | | 3.50% | #^ | | | 08/25/2045 | | | | 69,892,860 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 26,611,268 | | | Series 2005-4-A5 | | | 5.50% | # | | | 09/25/2035 | | | | 23,527,714 | |
| | 1,885,853 | | | Series 2005-5-1A6 | | | 34.51% | # I/F | | | 11/25/2035 | | | | 2,826,690 | |
| | 1,775,731 | | | Series 2005-5-2A1 | | | 0.39% | # | | | 11/25/2035 | | | | 1,198,259 | |
| | 5,359,348 | | | Series 2005-5-2A2 | | | 5.11% | # I/F I/O | | | 11/25/2035 | | | | 958,104 | |
| | 18,979,689 | | | Series 2005-6-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 16,607,114 | |
| | 3,245,801 | | | Series 2006-AF1-A3 | | | 0.37% | # | | | 04/25/2036 | | | | 3,218,523 | |
| | 62,999,924 | | | Series 2007-1-1A3A | | | 0.40% | # | | | 08/25/2037 | | | | 53,864,431 | |
| | 22,397,843 | | | Series 2007-OA5-A1B | | | 0.41% | # | | | 08/25/2047 | | | | 19,486,011 | |
| |
| | | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, | |
| | 2,936,971 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 2,464,817 | |
| | 1,489,115 | | | Series 2006-AB2-A2 | | | 6.05% | # | | | 06/25/2036 | | | | 1,264,241 | |
| | 41,012,358 | | | Series 2006-AB4-A2 | | | 5.65% | # | | | 10/25/2036 | | | | 33,965,779 | |
| | 2,921,637 | | | Series 2006-AB4-A3 | | | 5.90% | # | | | 10/25/2036 | | | | 2,447,747 | |
| | 4,299,609 | | | Series 2006-AB4-A3A1 | | | 5.90% | # | | | 10/25/2036 | | | | 3,602,212 | |
| | 8,559,110 | | | Series 2006-AB4-A6A1 | | | 5.87% | # | | | 10/25/2036 | | | | 7,160,611 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 23,042,324 | | | Series 2006-PR1-3A1 | | | 11.85% | #^ I/F | | | 04/15/2036 | | | | 26,565,691 | |
| | 8,229,534 | | | Series 2006-PR1-4AI1 | | | 11.83% | #^ I/F | | | 04/15/2036 | | | | 9,589,778 | |
| | 13,447,384 | | | Series 2006-PR1-4AI2 | | | 14.23% | #^ I/F | | | 04/15/2036 | | | | 16,609,173 | |
| | 704,507 | | | Series 2006-PR1-5AI1 | | | 18.76% | #^ I/F | | | 04/15/2036 | | | | 1,031,230 | |
| | 6,121,355 | | | Series 2006-PR1-5AI3 | | | 12.27% | #^ I/F | | | 04/15/2036 | | | | 7,764,336 | |
| | 101,351,503 | | | Series 2006-PR1-5AI4 | | | 11.85% | #^ I/F | | | 04/15/2036 | | | | 121,813,763 | |
| | 17,799,744 | | | Series 2009-RS2-4A2 | | | 0.32% | #^ | | | 04/26/2037 | | | | 17,283,734 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 8,447,804 | | | Series 2006-FF1-2A3 | | | 0.43% | # | | | 01/25/2036 | | | | 8,355,634 | |
| | 15,149,613 | | | Series 2006-FF3-A2B | | | 0.39% | # | | | 02/25/2036 | | | | 14,662,636 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 14,712,484 | | | Series 2005-AA4-1A1 | | | 2.29% | # | | | 05/25/2035 | | | | 12,358,221 | |
| | 8,802,895 | | | Series 2005-FA5-1A4 | | | 5.50% | | | | 08/25/2035 | | | | 8,179,466 | |
| | 12,986,413 | | | Series 2005-FA8-1A4 | | | 5.50% | | | | 11/25/2035 | | | | 11,462,912 | |
| | 1,602,134 | | | Series 2005-FA8-2A1 | | | 5.00% | | | | 11/25/2020 | | | | 1,634,220 | |
| | 5,512,790 | | | Series 2006-FA1-1A12 | | | 6.00% | | | | 04/25/2036 | | | | 4,520,444 | |
| | 425,007 | | | Series 2006-FA1-1A6 | | | 0.94% | # | | | 04/25/2036 | | | | 415,781 | |
| | 3,646,052 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 3,079,139 | |
| | 1,137,183 | | | Series 2006-FA7-A8 | | | 6.25% | | | | 12/25/2036 | | | | 922,224 | |
| | 5,092,022 | | | Series 2006-FA8-1A5 | | | 6.00% | | | | 02/25/2037 | | | | 4,002,365 | |
| | 11,295,271 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 10,507,156 | |
| | 29,802,562 | | | Series 2007-FA3-A3 | | | 6.00% | | | | 06/25/2037 | | | | 23,971,155 | |
| | 1,533,495 | | | Series 2007-FA3-A4 | | | 6.00% | | | | 06/25/2037 | | | | 1,233,439 | |
| | 1,687,840 | | | Series 2007-FA4-1A13 | | | 6.25% | | | | 08/25/2037 | | | | 1,347,239 | |
| | 5,210,489 | | | Series 2007-FA4-1A4 | | | 6.25% | | | | 08/25/2037 | | | | 4,159,028 | |
| | 2,448,182 | | | Series 2007-FA4-1A5 | | | 6.25% | | | | 08/25/2037 | | | | 1,954,146 | |
| |
| | | | First Horizon Asset Securities, Inc., | |
| | 4,288,728 | | | Series 2006-1-1A2 | | | 6.00% | | | | 05/25/2036 | | | | 4,136,864 | |
| | 8,721,077 | | | Series 2007-1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 8,090,674 | |
| | 6,000,142 | | | Series 2007-4-1A1 | | | 6.00% | | | | 08/25/2037 | | | | 5,251,714 | |
| | | | | | |
| 22 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | GE-WMC Asset-Backed Pass-Through Certificates, | |
| | 46,273,000 | | | Series 2005-2-A2D | | | 0.51% | # | | | 12/25/2035 | | | | 35,833,395 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 8,169,556 | | | Series 2003-AR1-A5 | | | 3.28% | # | | | 10/19/2033 | | | | 8,301,498 | |
| | 11,181,769 | | | Series 2005-AR5-3A1 | | | 3.09% | # | | | 09/19/2035 | | | | 10,781,948 | |
| | 15,399,653 | | | Series 2005-J1-A14 | | | 5.50% | | | | 12/25/2035 | | | | 15,267,124 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 2,092,933 | | | Series 2008-2R-1A1 | | | 7.50% | #^ | | | 09/25/2036 | | | | 1,739,886 | |
| | 8,236,020 | | | Series 2009-3R-1A2 | | | 6.00% | #^ | | | 04/25/2037 | | | | 7,817,059 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 314,086 | | | Series 2005-12-AF3 | | | 5.07% | # | | | 09/25/2035 | | | | 279,411 | |
| | 2,611,066 | | | Series 2005-7-AF2 | | | 4.48% | # | | | 05/25/2035 | | | | 2,622,722 | |
| | 45,361,000 | | | Series 2005-7-AF3 | | | 4.75% | # | | | 05/25/2035 | | | | 45,811,752 | |
| | 12,674,655 | | | Series 2006-10-AF3 | | | 5.98% | # | | | 06/25/2036 | | | | 6,983,722 | |
| | 9,071,468 | | | Series 2006-10-AF4 | | | 6.30% | # | | | 06/25/2036 | | | | 4,996,093 | |
| | 17,344,644 | | | Series 2006-15-AF4 | | | 5.96% | # | | | 09/25/2036 | | | | 9,910,244 | |
| | 2,862,905 | | | Series 2006-18-AF3A | | | 5.77% | # | | | 11/25/2036 | | | | 1,726,177 | |
| | 6,102,124 | | | Series 2006-18-AF6 | | | 5.68% | # | | | 11/25/2036 | | | | 3,374,621 | |
| | 9,625,486 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 8,501,095 | |
| | 4,589,340 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 3,514,406 | |
| |
| | | | GSMPS Mortgage Loan Trust, | |
| | 17,855,308 | | | Series 2005-RP2-1AF | | | 0.54% | #^ | | | 03/25/2035 | | | | 15,439,003 | |
| | 17,855,308 | | | Series 2005-RP2-1AS | | | 4.78% | #^ I/O | | | 03/25/2035 | | | | 2,018,900 | |
| | 10,099,593 | | | Series 2005-RP3-1AF | | | 0.54% | #^ | | | 09/25/2035 | | | | 8,673,510 | |
| | 10,099,592 | | | Series 2005-RP3-1AS | | | 4.64% | #^ I/O | | | 09/25/2035 | | | | 1,327,728 | |
| | 38,685,725 | | | Series 2006-RP1-1AS | | | 4.51% | #^ I/O | | | 01/25/2036 | | | | 5,758,003 | |
| | 38,685,725 | | | Series 2006-RP1-AF1 | | | 0.54% | #^ | | | 01/25/2036 | | | | 33,968,581 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 3,636,650 | | | Series 2005-1F-1A2 | | | 5.50% | | | | 02/25/2035 | | | | 3,736,783 | |
| | 7,260,337 | | | Series 2005-1F-3A3 | | | 6.00% | | | | 01/25/2035 | | | | 7,423,477 | |
| | 1,219,258 | | | Series 2005-6F-3A5 | | | 6.00% | | | | 07/25/2035 | | | | 1,252,220 | |
| | 11,772,335 | | | Series 2005-6F-3A9 | | | 6.71% | # I/F I/O | | | 07/25/2035 | | | | 1,910,385 | |
| | 1,132,738 | | | Series 2005-6F-4A1 | | | 0.69% | # | | | 07/25/2035 | | | | 899,154 | |
| | 739,712 | | | Series 2005-7F-3A1 | | | 0.69% | # | | | 09/25/2035 | | | | 689,034 | |
| | 16,864,405 | | | Series 2005-8F-3A5 | | | 6.00% | | | | 11/25/2035 | | | | 14,551,502 | |
| | 5,380,662 | | | Series 2005-8F-4A1 | | | 6.00% | | | | 11/25/2035 | | | | 4,289,582 | |
| | 2,548,709 | | | Series 2006-1F-1A2 | | | 5.50% | | | | 02/25/2036 | | | | 2,458,062 | |
| | 1,591,073 | | | Series 2006-2F-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 1,476,966 | |
| | 5,590,343 | | | Series 2006-2F-3A3 | | | 6.00% | | | | 02/25/2036 | | | | 4,631,141 | |
| | 20,117,571 | | | Series 2006-6F-2A3 | | | 6.00% | | | | 07/25/2036 | | | | 17,303,948 | |
| | 18,437,506 | | | Series 2006-7F-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 17,138,068 | |
| | 9,876,655 | | | Series 2006-7F-3A4 | | | 6.25% | | | | 08/25/2036 | | | | 7,441,674 | |
| | 13,814,465 | | | Series 2006-9F-2A1 | | | 6.00% | | | | 10/25/2036 | | | | 12,826,330 | |
| | 30,711,863 | | | Series 2006-9F-4A1 | | | 6.50% | | | | 10/25/2036 | | | | 27,029,848 | |
| | 252,107 | | | Series 2006-9F-8A1 | | | 5.50% | | | | 08/25/2021 | | | | 238,764 | |
| | 25,785,465 | | | Series 2006-OA1-2A1 | | | 0.38% | # | | | 08/25/2046 | | | | 25,156,145 | |
| | 2,763,472 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 2,648,049 | |
| | 4,070,614 | | | Series 2007-4F-1A1 | | | 5.00% | | | | 07/25/2037 | | | | 3,772,519 | |
| | 51,689,180 | | | Series 2007-4F-3A11 | | | 6.00% | | | | 07/25/2037 | | | | 47,458,834 | |
| |
| | | | HarborView Mortgage Loan Trust, | |
| | 3,422,259 | | | Series 2005-14-3A1A | | | 2.73% | # | | | 12/19/2035 | | | | 3,046,337 | |
| | 10,691,951 | | | Series 2006-10-2A1A | | | 0.40% | # | | | 11/19/2036 | | | | 8,886,049 | |
| | 27,006,053 | | | Series 2006-11-A1A | | | 0.39% | # | | | 12/19/2036 | | | | 20,164,177 | |
| |
| | | | Home Equity Asset Trust, | |
| | 1,822,344 | | | Series 2003-3-M1 | | | 1.48% | # | | | 08/25/2033 | | | | 1,746,990 | |
| | 710,369 | | | Series 2004-7-M2 | | | 1.18% | # | | | 01/25/2035 | | | | 634,126 | |
| |
| | | | HomeBanc Mortgage Trust, | |
| | 2,419,559 | | | Series 2005-1-M2 | | | 0.68% | # | | | 03/25/2035 | | | | 1,970,806 | |
| | 36,345,807 | | | Series 2005-3-A1 | | | 0.43% | # | | | 07/25/2035 | | | | 33,703,794 | |
| | 4,093,940 | | | Series 2006-1-3A1 | | | 2.29% | # | | | 04/25/2037 | | | | 3,625,761 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 389,601 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 391,238 | |
| | 49,251,158 | | | Series 2007-2-3A6 | | | 6.00% | | | | 09/25/2037 | | | | 40,244,205 | |
| | 7,885,144 | | | Series 2007-AR1-3A1 | | | 2.45% | # | | | 01/25/2037 | | | | 6,389,498 | |
| |
| | | | IMPAC Trust, | |
| | 1,351,019 | | | Series 2002-9F-A1 | | | 5.22% | # | | | 12/25/2032 | | | | 1,382,203 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 8,649,797 | | | Series 2006-AR2-4A1 | | | 2.80% | # | | | 09/25/2036 | | | | 7,414,943 | |
| | 38,093,343 | | | Series 2006-AR3-1A1 | | | 2.67% | # | | | 12/25/2036 | | | | 33,723,465 | |
| | 12,101,655 | | | Series 2006-AR7-3A1 | | | 2.67% | # | | | 05/25/2036 | | | | 10,289,638 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | IndyMac Mortgage Loan Trust, (Cont.) | |
| | 7,411,397 | | | Series 2007-A1-A1 | | | 6.00% | | | | 08/25/2037 | | | | 6,428,934 | |
| | 5,425,721 | | | Series 2007-A1-A7 | | | 6.00% | | | | 08/25/2037 | | | | 4,706,482 | |
| | 34,133,238 | | | Series 2007-A3-A1 | | | 6.25% | | | | 11/25/2037 | | | | 29,036,839 | |
| | 8,886,889 | | | Series 2007-AR3-3A1 | | | 5.09% | # | | | 07/25/2037 | | | | 7,907,634 | |
| | 713,120 | | | Series 2007-F2-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 644,204 | |
| | 29,933,748 | | | Series 2007-F2-2A1 | | | 6.50% | | | | 07/25/2037 | | | | 19,456,308 | |
| |
| | | | Jefferies & Company, Inc., | |
| | 4,305,708 | | | Series 2010-R1-1A1 | | | 6.00% | #^ | | | 03/26/2037 | | | | 4,467,387 | |
| | 10,925,846 | | | Series 2010-R4-1A4 | | | 6.42% | #^ | | | 10/26/2036 | | | | 10,281,792 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 17,886,645 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 17,210,414 | |
| | 5,734,077 | | | Series 2005-S1-2A9 | | | 6.00% | | | | 12/25/2035 | | | | 5,517,291 | |
| | 5,767,264 | | | Series 2006-S1-1A8 | | | 5.75% | | | | 03/25/2036 | | | | 5,112,033 | |
| | 17,194,394 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 12,797,890 | |
| | 10,212,667 | | | Series 2006-S4-A3A | | | 5.78% | # | | | 12/25/2036 | | | | 9,854,988 | |
| | 28,022,567 | | | Series 2006-S4-A4 | | | 5.96% | # | | | 12/25/2036 | | | | 23,635,017 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 14,384,920 | | | Series 2006-CH2-AF3 | | | 5.05% | # | | | 10/25/2036 | | | | 11,467,846 | |
| | 4,979,504 | | | Series 2006-WF1-A5 | | | 6.41% | # | | | 07/25/2036 | | | | 3,013,362 | |
| | 15,000,000 | | | Series 2007-CH1-AF5 | | | 5.05% | # | | | 11/25/2036 | | | | 14,364,315 | |
| | 2,896,753 | | | Series 2007-CH5-A3 | | | 0.30% | # | | | 05/25/2037 | | | | 2,855,578 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 2,199,415 | | | Series 2005-A6-5A1 | | | 2.61% | # | | | 08/25/2035 | | | | 2,153,852 | |
| | 3,729,293 | | | Series 2005-S2-2A13 | | | 5.50% | | | | 09/25/2035 | | | | 3,856,310 | |
| | 2,775,846 | | | Series 2006-S2-3A3 | | | 6.00% | | | | 07/25/2036 | | | | 2,424,643 | |
| | 7,957,488 | | | Series 2006-S3-1A2 | | | 6.00% | | | | 08/25/2036 | | | | 6,925,195 | |
| | 11,461,867 | | | Series 2006-S3-1A21 | | | 0.57% | # | | | 08/25/2036 | | | | 5,653,325 | |
| | 11,461,867 | | | Series 2006-S3-1A22 | | | 6.93% | # I/F I/O | | | 08/25/2036 | | | | 4,425,622 | |
| | 3,707,590 | | | Series 2006-S3-1A9 | | | 6.00% | | | | 08/25/2036 | | | | 3,226,693 | |
| | 11,855,190 | | | Series 2006-S4-A8 | | | 0.57% | # | | | 01/25/2037 | | | | 7,574,423 | |
| | 11,855,190 | | | Series 2006-S4-A9 | | | 6.43% | # I/F I/O | | | 01/25/2037 | | | | 2,674,086 | |
| | 3,749,523 | | | Series 2007-A2-2A1 | | | 2.60% | # | | | 04/25/2037 | | | | 3,311,568 | |
| | 16,219,354 | | | Series 2007-S1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 13,696,385 | |
| | 6,357,360 | | | Series 2007-S3-1A1 | | | 5.50% | | | | 08/25/2037 | | | | 5,805,738 | |
| | 10,673,534 | | | Series 2007-S3-1A35 | | | 6.00% | | | | 08/25/2037 | | | | 9,847,659 | |
| | 1,808,542 | | | Series 2007-S3-1A9 | | | 6.00% | | | | 08/25/2037 | | | | 1,669,405 | |
| | 9,841,543 | | | Series 2007-S3-1A96 | | | 6.00% | | | | 08/25/2037 | | | | 9,095,396 | |
| | 11,208,719 | | | Series 2007-S3-1A97 | | | 6.00% | | | | 08/25/2037 | | | | 10,360,544 | |
| | 2,310,289 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 2,285,813 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 21,909,597 | | | Series 2010-1-1A4 | | | 6.00% | ^ | | | 02/26/2037 | | | | 20,350,624 | |
| | 17,948,009 | | | Series 2010-2-3A9 | | | 6.00% | ^ | | | 07/26/2036 | | | | 15,891,091 | |
| | 2,100,063 | | | Series 2010-8-2A3 | | | 2.50% | #^ | | | 11/26/2034 | | | | 2,093,648 | |
| | 7,011,528 | | | Series 2011-2-7A11 | | | 6.00% | #^ | | | 04/26/2036 | | | | 7,022,738 | |
| | 3,421,593 | | | Series 2012-2-3A3 | | | 2.32% | #^ | | | 10/26/2036 | | | | 3,423,393 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 5,457,144 | | | Series 2005-2-3A5 | | | 5.50% | | | | 12/25/2035 | | | | 4,869,349 | |
| | 5,131,390 | | | Series 2005-2-5A5 | | | 5.75% | | | | 12/25/2035 | | | | 4,834,067 | |
| | 6,679,985 | | | Series 2005-3-2A1 | | | 6.00% | | | | 01/25/2036 | | | | 6,224,517 | |
| | 568,827 | | | Series 2005-3-2A3 | | | 5.50% | | | | 01/25/2036 | | | | 518,825 | |
| | 3,055,134 | | | Series 2005-3-2A7 | | | 6.00% | | | | 01/25/2036 | | | | 2,846,823 | |
| | 2,802,713 | | | Series 2006-1-1A1 | | | 0.94% | # | | | 02/25/2036 | | | | 1,917,115 | |
| | 8,408,140 | | | Series 2006-1-1A2 | | | 4.56% | # I/F I/O | | | 02/25/2036 | | | | 1,077,511 | |
| | 10,892,715 | | | Series 2006-1-3A1 | | | 0.94% | # | | | 02/25/2036 | | | | 9,357,235 | |
| | 10,892,715 | | | Series 2006-1-3A2 | | | 4.56% | # I/F I/O | | | 02/25/2036 | | | | 1,325,812 | |
| | 7,018,084 | | | Series 2006-1-3A4 | | | 5.50% | | | | 02/25/2036 | | | | 6,814,728 | |
| | 5,540,307 | | | Series 2006-4-1A3 | | | 5.21% | # I/F I/O | | | 08/25/2036 | | | | 938,747 | |
| | 3,521,299 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 3,009,408 | |
| | 9,676,229 | | | Series 2006-5-2A1 | | | 0.54% | # | | | 09/25/2036 | | | | 3,920,082 | |
| | 20,155,480 | | | Series 2006-5-2A2 | | | 6.96% | # I/F I/O | | | 09/25/2036 | | | | 7,172,076 | |
| | 16,727,337 | | | Series 2006-6-3A9 | | | 5.50% | | | | 10/25/2036 | | | | 13,525,809 | |
| | 8,724,606 | | | Series 2006-6-4A5 | | | 6.00% | | | | 12/25/2036 | | | | 8,578,452 | |
| | 4,853,736 | | | Series 2006-7-2A2 | | | 0.64% | # | | | 11/25/2036 | | | | 2,064,240 | |
| | 15,817,583 | | | Series 2006-7-2A5 | | | 6.36% | # I/F I/O | | | 11/25/2036 | | | | 4,888,590 | |
| | 4,503,446 | | | Series 2006-9-1A19 | | | 29.79% | # I/F | | | 01/25/2037 | | | | 6,856,951 | |
| | 4,982,029 | | | Series 2006-9-1A5 | | | 0.79% | # | | | 01/25/2037 | | | | 3,188,842 | |
| | 14,816,539 | | | Series 2006-9-1A6 | | | 4.96% | # I/F I/O | | | 01/25/2037 | | | | 2,311,921 | |
| | 6,090,758 | | | Series 2006-9-2A1 | | | 0.57% | # | | | 01/25/2037 | | | | 2,472,768 | |
| | 11,951,339 | | | Series 2006-9-2A2 | | | 6.43% | # I/F I/O | | | 01/25/2037 | | | | 3,574,371 | |
| | 12,801,376 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 10,329,930 | |
| | 3,974,512 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 3,138,144 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 23 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Lehman Mortgage Trust, (Cont.) | |
| | 4,062,045 | | | Series 2007-4-2A11 | | | 0.52% | # | | | 05/25/2037 | | | | 1,461,643 | |
| | 16,535,175 | | | Series 2007-4-2A8 | | | 6.48% | # I/F I/O | | | 05/25/2037 | | | | 5,638,528 | |
| | 1,573,570 | | | Series 2007-4-2A9 | | | 0.52% | # | | | 05/25/2037 | | | | 525,800 | |
| | 17,911,742 | | | Series 2007-5-11A1 | | | 5.43% | # | | | 06/25/2037 | | | | 13,411,077 | |
| | 6,997,831 | | | Series 2007-5-3A4 | | | 5.00% | | | | 12/25/2035 | | | | 6,575,050 | |
| | 2,810,035 | | | Series 2007-5-4A3 | | | 38.92% | # I/F | | | 08/25/2036 | | | | 5,013,375 | |
| | 1,285,734 | | | Series 2007-5-7A3 | | | 7.50% | | | | 10/25/2036 | | | | 1,048,442 | |
| | 924,246 | | | Series 2007-6-1A8 | | | 6.00% | | | | 07/25/2037 | | | | 847,540 | |
| | 8,071,259 | | | Series 2008-2-1A6 | | | 6.00% | | | | 03/25/2038 | | | | 6,507,469 | |
| |
| | | | Lehman XS Trust, | |
| | 1,963,886 | | | Series 2005-10-2A3B | | | 5.55% | # | | | 01/25/2036 | | | | 1,772,191 | |
| | 14,605,263 | | | Series 2005-4-2A3A | | | 5.00% | # | | | 10/25/2035 | | | | 13,310,302 | |
| | 2,045,256 | | | Series 2006-5-2A4A | | | 5.89% | # | | | 04/25/2036 | | | | 1,937,608 | |
| | 22,856,766 | | | Series 2007-1-2A1 | | | 5.46% | # | | | 02/25/2037 | | | | 21,392,448 | |
| |
| | | | Long Beach Mortgage Loan Trust, | |
| | 8,420,669 | | | Series 2006-WL1-2A3 | | | 0.43% | # | | | 01/25/2046 | | | | 7,949,137 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 6,152,701 | | | Series 2005-2-2A1 | | | 2.49% | # | | | 03/25/2035 | | | | 4,871,420 | |
| | 5,118,003 | | | Series 2005-6-5A1 | | | 2.60% | # | | | 07/25/2035 | | | | 4,462,852 | |
| | 26,189,759 | | | Series 2007-1-2A1 | | | 2.85% | # | | | 11/25/2036 | | | | 23,892,524 | |
| | 4,561,380 | | | Series 2007-2-A2 | | | 0.30% | # | | | 03/25/2047 | | | | 4,492,674 | |
| |
| | | | MASTR Alternative Loans Trust, | |
| | 2,345,112 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 2,289,296 | |
| | 811,297 | | | Series 2005-5-2A3 | | | 5.50% | | | | 07/25/2025 | | | | 814,064 | |
| | 6,749,020 | | | Series 2005-6-1A5 | | | 5.50% | | | | 12/25/2035 | | | | 6,052,488 | |
| | 3,520,317 | | | Series 2006-3-1A2 | | | 6.25% | | | | 07/25/2036 | | | | 3,077,528 | |
| | 7,071,224 | | | Series 2007-1-1A5 | | | 5.75% | | | | 10/25/2036 | | | | 6,744,321 | |
| | 7,698,621 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 5,921,117 | |
| |
| | | | MASTR Asset Backed Securities Trust, | |
| | 4,975,000 | | | Series 2003-OPT1-M3 | | | 4.32% | # | | | 12/25/2032 | | | | 4,897,139 | |
| | 21,321,574 | | | Series 2006-AM2-A3 | | | 0.36% | # | | | 06/25/2036 | | | | 15,930,435 | |
| | 1,463,828 | | | Series 2006-NC1-A3 | | | 0.38% | # | | | 01/25/2036 | | | | 1,454,644 | |
| |
| | | | MASTR Asset Securitization Trust, | |
| | 317,056 | | | Series 2003-1-30B2 | | | 5.75% | | | | 02/25/2033 | | | | 317,165 | |
| | 104,900 | | | Series 2007-1-1A1 | | | 5.50% | | | | 11/25/2037 | | | | 105,343 | |
| | 6,548,009 | | | Series 2007-1-1A3 | | | 6.25% | | | | 11/25/2037 | | | | 5,746,919 | |
| |
| | | | MASTR Seasoned Securitization Trust, | |
| | 1,808,649 | | | Series 2005-2-1A4 | | | 6.00% | | | | 10/25/2032 | | | | 1,812,620 | |
| | 2,137,644 | | | Series 2005-2-2A1 | | | 0.59% | # | | | 10/25/2032 | | | | 1,906,676 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 12,947,721 | | | Series 2006-3-1A | | | 2.35% | # | | | 10/25/2036 | | | | 12,640,737 | |
| | 3,649,792 | | | Series 2006-F1-1A2 | | | 6.00% | | | | 04/25/2036 | | | | 3,430,425 | |
| |
| | | | Monterey Ltd., | |
| | 73,297,144 | | | Series 2006-1A-A1A | | | 0.56% | #^ | | | 09/06/2042 | | | | 7,329,714 | |
| | 289,361,833 | | | Series 2006-1A-A1B | | | 0.56% | #^ | | | 09/06/2042 | | | | 28,936,183 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 880,096 | | | Series 2003-NC6-M2 | | | 3.12% | # | | | 06/25/2033 | | | | 843,334 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 2,658,240 | | | Series 2005-10-1A1 | | | 0.89% | # | | | 12/25/2035 | | | | 2,185,488 | |
| | 6,660,090 | | | Series 2005-10-1A6 | | | 5.75% | | | | 12/25/2035 | | | | 6,286,226 | |
| | 8,912,509 | | | Series 2005-10-2A1 | | | 5.53% | # | | | 12/25/2035 | | | | 8,956,983 | |
| | 960,662 | | | Series 2005-6AR-1A1 | | | 0.47% | # | | | 11/25/2035 | | | | 933,274 | |
| | 6,548,514 | | | Series 2006-11-1A6 | | | 6.23% | # | | | 08/25/2036 | | | | 3,231,770 | |
| | 15,743,032 | | | Series 2006-11-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 12,977,564 | |
| | 9,034,280 | | | Series 2006-17XS-A3A | | | 5.65% | # | | | 10/25/2046 | | | | 5,606,141 | |
| | 2,814,019 | | | Series 2006-17XS-A6 | | | 5.58% | # | | | 10/25/2046 | | | | 1,591,410 | |
| | 11,750,314 | | | Series 2006-2-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 11,252,570 | |
| | 44,981,908 | | | Series 2006-7-3A | | | 5.28% | # | | | 06/25/2036 | | | | 38,067,019 | |
| | 3,976,141 | | | Series 2006-7-4A4 | | | 6.00% | | | | 06/25/2036 | | | | 3,544,750 | |
| | 4,025,155 | | | Series 2006-7-4A7 | | | 6.00% | | | | 06/25/2036 | | | | 3,588,446 | |
| | 5,373,082 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 4,485,336 | |
| | 20,507,266 | | | Series 2007-14AR-2A3 | | | 2.46% | # | | | 10/25/2037 | | | | 17,380,318 | |
| | 4,429,859 | | | Series 2007-1XS-2A3 | | | 5.92% | # | | | 09/25/2046 | | | | 2,585,646 | |
| | 3,237,097 | | | Series 2007-1XS-2A4A | | | 6.08% | # | | | 09/25/2046 | | | | 2,049,704 | |
| | 1,797,880 | | | Series 2007-3XS-1A2A | | | 5.62% | # | | | 01/25/2047 | | | | 1,753,248 | |
| | 9,650,177 | | | Series 2007-3XS-2A3S | | | 5.86% | # | | | 01/25/2047 | | | | 6,915,182 | |
| | 5,644,443 | | | Series 2007-3XS-2A4S | | | 5.96% | # | | | 01/25/2047 | | | | 4,044,255 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 1,171,534 | | | Series 2010-R9-1A | | | 4.00% | #^ | | | 08/26/2036 | | | | 1,181,346 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Re-Remic Trust, (Cont.) | |
| | 6,757,148 | | | Series 2010-R9-1B | | | 6.37% | #^ | | | 08/26/2036 | | | | 5,147,455 | |
| | 53,646,453 | | | Series 2010-R9-3C | | | 6.00% | #^ | | | 11/26/2036 | | | | 53,462,150 | |
| | 6,609,300 | | | Series 2011-R1-1A | | | 5.94% | #^ | | | 02/26/2037 | | | | 7,045,549 | |
| | | | |
| | | | MSCC Heloc Trust, | | | | | | | | | | | | |
| | 23,242,449 | | | Series 2007-1-A | | | 0.29% | # | | | 12/25/2031 | | | | 22,486,465 | |
| |
| | | | New Century Home Equity Loan Trust, | |
| | 33,589,250 | | | Series 2005-2-M3 | | | 0.68% | # | | | 06/25/2035 | | | | 27,735,483 | |
| |
| | | | New Residential Mortgage Loan Trust, | |
| | 30,026,590 | | | Series 2014-2A-A3 | | | 3.75% | #^ | | | 05/25/2054 | | | | 31,510,789 | |
| |
| | | | New York Mortgage Trust, | |
| | 1,390,052 | | | Series 2005-2-A | | | 0.52% | # | | | 08/25/2035 | | | | 1,294,452 | |
| |
| | | | Nomura Asset Acceptance Corporation, | |
| | 744,131 | | | Series 2005-AP1-2A5 | | | 4.86% | # | | | 02/25/2035 | | | | 758,736 | |
| | 18,923,212 | | | Series 2006-AF1-1A2 | | | 6.16% | # | | | 05/25/2036 | | | | 10,232,708 | |
| | 3,845,535 | | | Series 2006-AF1-1A3 | | | 6.41% | # | | | 05/25/2036 | | | | 2,078,700 | |
| | 23,125,056 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 13,484,312 | |
| | 3,908,621 | | | Series 2006-AP1-A3 | | | 5.65% | # | | | 01/25/2036 | | | | 2,297,171 | |
| | 1,973,359 | | | Series 2006-WF1-A2 | | | 5.76% | # | | | 06/25/2036 | | | | 1,142,969 | |
| |
| | | | Nomura Home Equity Loan, Inc., | |
| | 20,485,845 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 11,182,670 | |
| | 3,709,177 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 2,044,101 | |
| | 18,487,394 | | | Series 2007-1-1A3 | | | 5.99% | # | | | 02/25/2037 | | | | 10,189,345 | |
| |
| | | | Option One Mortgage Loan Trust, | |
| | 957,464 | | | Series 2002-2-A | | | 0.73% | # | | | 06/25/2032 | | | | 898,696 | |
| | 1,368,582 | | | Series 2004-3-M3 | | | 1.17% | # | | | 11/25/2034 | | | | 1,242,237 | |
| |
| | | | Park Place Securities, Inc., | |
| | 13,000,000 | | | Series 2005-WHQ4-M2 | | | 0.68% | # | | | 09/25/2035 | | | | 10,585,055 | |
| |
| | | | PFCA Home Equity Investment Trust, | |
| | 45,867,751 | | | Series 2003-IFC5-A | | | 4.17% | #^ | | | 01/22/2035 | | | | 43,708,976 | |
| | 51,566,509 | | | Series 2003-IFC6-A | | | 4.43% | #^ | | | 04/22/2035 | | | | 47,511,881 | |
| |
| | | | PHH Alternative Mortgage Trust, | |
| | 11,579,413 | | | Series 2007-1-1A1 | | | 0.35% | # | | | 02/25/2037 | | | | 9,848,928 | |
| | 32,566,502 | | | Series 2007-2-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 29,442,658 | |
| | 1,430,176 | | | Series 2007-2-3A1 | | | 6.00% | | | | 05/25/2037 | | | | 1,273,430 | |
| | 18,118,210 | | | Series 2007-3-A2 | | | 0.38% | # | | | 07/25/2037 | | | | 17,599,966 | |
| |
| | | | Popular ABS Mortgage Pass-Through Trust, | |
| | 469,114 | | | Series 2005-5-AF6 | | | 4.50% | # | | | 11/25/2035 | | | | 469,631 | |
| |
| | | | PR Mortgage Loan Trust, | |
| | 294,858,334 | | | Series 2014-1-APT | | | 5.93% | #^ | | | 10/25/2049 | | | | 305,178,375 | |
| |
| | | | Prime Mortgage Trust, | |
| | 4,124,784 | | | Series 2006-DR1-2A1 | | | 5.50% | ^ | | | 05/25/2035 | | | | 3,958,817 | |
| | 6,515,667 | | | Series 2006-DR1-2A2 | | | 6.00% | ^ | | | 05/25/2035 | | | | 6,409,780 | |
| |
| | | | RBSGC Structured Trust, | |
| | 47,457,183 | | | Series 2008-B-A1 | | | 6.00% | ^ | | | 06/25/2037 | | | | 41,993,390 | |
| |
| | | | Renaissance Home Equity Loan Trust, | |
| | 1,386,585 | | | Series 2006-1-AF6 | | | 5.75% | # | | | 05/25/2036 | | | | 979,543 | |
| | 10,858,863 | | | Series 2006-4-AF4 | | | 5.47% | # | | | 01/25/2037 | | | | 6,257,116 | |
| | 21,383,311 | | | Series 2006-4-AF5 | | | 5.69% | # | | | 01/25/2037 | | | | 12,770,712 | |
| | 18,088,687 | | | Series 2007-2-AF2 | | | 5.68% | # | | | 06/25/2037 | | | | 9,126,340 | |
| | 9,782,957 | | | Series 2007-2-AF5 | | | 6.20% | # | | | 06/25/2037 | | | | 5,395,134 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 6,620,184 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 6,866,571 | |
| | 59,095,336 | | | Series 2005-QA11-4A1 | | | 3.27% | # | | | 10/25/2035 | | | | 49,466,460 | |
| | 30,361,119 | | | Series 2005-QA13-2A1 | | | 3.57% | # | | | 12/25/2035 | | | | 26,349,413 | |
| | 19,425,871 | | | Series 2005-QA3-CB1 | | | 3.13% | # | | | 03/25/2035 | | | | 13,608,910 | |
| | 821,074 | | | Series 2005-QS12-A11 | | | 49.02% | # I/F | | | 08/25/2035 | | | | 1,450,460 | |
| | 3,591,116 | | | Series 2005-QS13-1A6 | | | 5.50% | | | | 09/25/2035 | | | | 3,206,608 | |
| | 6,688,843 | | | Series 2005-QS13-2A1 | | | 0.89% | # | | | 09/25/2035 | | | | 4,986,847 | |
| | 27,424,256 | | | Series 2005-QS13-2A2 | | | 4.86% | # I/F I/O | | | 09/25/2035 | | | | 3,427,703 | |
| | 12,058,943 | | | Series 2005-QS14-2A1 | | | 6.00% | | | | 09/25/2035 | | | | 9,402,624 | |
| | 5,886,980 | | | Series 2005-QS15-2A | | | 6.00% | | | | 10/25/2035 | | | | 4,633,878 | |
| | 6,031,501 | | | Series 2005-QS15-3A | | | 6.00% | | | | 10/25/2035 | | | | 5,438,032 | |
| | 6,926,442 | | | Series 2005-QS16-A1 | | | 0.89% | # | | | 11/25/2035 | | | | 5,141,158 | |
| | 6,925,244 | | | Series 2005-QS16-A2 | | | 4.61% | # I/F I/O | | | 11/25/2035 | | | | 1,027,180 | |
| | 3,144,405 | | | Series 2005-QS17-A1 | | | 6.00% | | | | 12/25/2035 | | | | 2,769,800 | |
| | 2,178,911 | | | Series 2005-QS17-A10 | | | 6.00% | | | | 12/25/2035 | | | | 1,919,329 | |
| | | | | | |
| 24 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Accredit Loans, Inc., (Cont.) | |
| | 9,113,151 | | | Series 2005-QS17-A11 | | | 6.00% | | | | 12/25/2035 | | | | 8,027,465 | |
| | 6,477,341 | | | Series 2005-QS17-A2 | | | 1.04% | # | | | 12/25/2035 | | | | 4,591,113 | |
| | 6,477,341 | | | Series 2005-QS17-A4 | | | 4.96% | # I/F I/O | | | 12/25/2035 | | | | 1,082,173 | |
| | 5,211,869 | | | Series 2005-QS17-A6 | | | 6.00% | | | | 12/25/2035 | | | | 4,590,958 | |
| | 2,357,129 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 2,384,731 | |
| | 2,619,224 | | | Series 2005-QS5-A3 | | | 5.70% | | | | 04/25/2035 | | | | 2,484,247 | |
| | 2,184,849 | | | Series 2005-QS9-A1 | | | 0.69% | # | | | 06/25/2035 | | | | 1,824,285 | |
| | 5,356,828 | | | Series 2005-QS9-A4 | | | 4.81% | # I/F I/O | | | 06/25/2035 | | | | 751,325 | |
| | 2,571,084 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 2,088,386 | |
| | 16,771,782 | | | Series 2006-QS11-1A1 | | | 6.50% | | | | 08/25/2036 | | | | 14,099,853 | |
| | 2,628,479 | | | Series 2006-QS12-1A1 | | | 6.50% | | | | 09/25/2036 | | | | 1,964,055 | |
| | 6,803,039 | | | Series 2006-QS12-2A18 | | | 5.75% | | | | 09/25/2036 | | | | 5,612,405 | |
| | 10,123,933 | | | Series 2006-QS14-A18 | | | 6.25% | | | | 11/25/2036 | | | | 8,572,269 | |
| | 5,419,512 | | | Series 2006-QS15-A1 | | | 6.50% | | | | 10/25/2036 | | | | 4,522,490 | |
| | 2,085,526 | | | Series 2006-QS16-A10 | | | 6.00% | | | | 11/25/2036 | | | | 1,721,837 | |
| | 7,415,799 | | | Series 2006-QS16-A11 | | | 6.00% | | | | 11/25/2036 | | | | 6,122,713 | |
| | 2,164,755 | | | Series 2006-QS16-A7 | | | 6.00% | | | | 11/25/2036 | | | | 1,787,288 | |
| | 2,339,273 | | | Series 2006-QS16-A8 | | | 6.00% | | | | 11/25/2036 | | | | 1,931,376 | |
| | 925,694 | | | Series 2006-QS16-A9 | | | 6.00% | | | | 11/25/2036 | | | | 764,282 | |
| | 4,862,415 | | | Series 2006-QS17-A4 | | | 6.00% | | | | 12/25/2036 | | | | 4,050,975 | |
| | 27,013,472 | | | Series 2006-QS17-A5 | | | 6.00% | | | | 12/25/2036 | | | | 22,505,464 | |
| | 2,722,527 | | | Series 2006-QS1-A6 | | | 41.37% | # I/F | | | 01/25/2036 | | | | 5,323,246 | |
| | 18,768,606 | | | Series 2006-QS3-1A11 | | | 6.00% | | | | 03/25/2036 | | | | 16,267,689 | |
| | 4,194,322 | | | Series 2006-QS4-A8 | | | 8.00% | # I/F | | | 04/25/2036 | | | | 4,120,899 | |
| | 11,929,921 | | | Series 2006-QS5-A3 | | | 6.00% | | | | 05/25/2036 | | | | 10,372,601 | |
| | 35,555,653 | | | Series 2006-QS5-A4 | | | 6.00% | | | | 05/25/2036 | | | | 30,914,254 | |
| | 15,370,663 | | | Series 2006-QS8-A1 | | | 6.00% | | | | 08/25/2036 | | | | 12,563,965 | |
| | 26,654,974 | | | Series 2006-QS8-A5 | | | 5.36% | # I/F I/O | | | 08/25/2036 | | | | 4,824,617 | |
| | 8,706,343 | | | Series 2006-QS9-1A6 | | | 5.11% | # I/F I/O | | | 07/25/2036 | | | | 1,452,296 | |
| | 8,770,056 | | | Series 2007-QS11-A1 | | | 7.00% | | | | 10/25/2037 | | | | 7,341,817 | |
| | 29,351,157 | | | Series 2007-QS1-1A2 | | | 5.26% | # I/F I/O | | | 01/25/2037 | | | | 5,419,075 | |
| | 2,954,505 | | | Series 2007-QS1-1A4 | | | 6.00% | | | | 01/25/2037 | | | | 2,492,805 | |
| | 7,076,709 | | | Series 2007-QS1-2A10 | | | 6.00% | | | | 01/25/2037 | | | | 5,739,339 | |
| | 1,282,535 | | | Series 2007-QS2-A6 | | | 6.25% | | | | 01/25/2037 | | | | 1,059,933 | |
| | 46,867,456 | | | Series 2007-QS3-A1 | | | 6.50% | | | | 02/25/2037 | | | | 38,986,553 | |
| | 7,473,308 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 6,123,763 | |
| | 11,787,272 | | | Series 2007-QS4-3A3 | | | 6.00% | | | | 03/25/2037 | | | | 10,194,729 | |
| | 5,535,002 | | | Series 2007-QS5-A1 | | | 5.50% | | | | 03/25/2037 | | | | 4,352,111 | |
| | 2,283,414 | | | Series 2007-QS5-A5 | | | 0.49% | # | | | 03/25/2037 | | | | 1,388,080 | |
| | 7,583,739 | | | Series 2007-QS5-A8 | | | 6.51% | # I/F I/O | | | 03/25/2037 | | | | 1,865,672 | |
| | 6,244,298 | | | Series 2007-QS6-A102 | | | 5.75% | | | | 04/25/2037 | | | | 5,163,223 | |
| | 2,007,723 | | | Series 2007-QS6-A13 | | | 53.38% | # I/F | | | 04/25/2037 | | | | 4,718,018 | |
| | 8,941,345 | | | Series 2007-QS6-A45 | | | 5.75% | | | | 04/25/2037 | | | | 7,393,330 | |
| | 14,249,742 | | | Series 2007-QS6-A6 | | | 6.25% | | | | 04/25/2037 | | | | 12,145,782 | |
| | 984,185 | | | Series 2007-QS6-A77 | | | 54.22% | # I/F | | | 04/25/2037 | | | | 2,354,749 | |
| | 10,859,534 | | | Series 2007-QS7-2A1 | | | 6.75% | | | | 06/25/2037 | | | | 7,254,277 | |
| | 46,190,546 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 40,705,788 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 162,788 | | | Series 2004-RS4-AI6 | | | 5.07% | # | | | 04/25/2034 | | | | 167,040 | |
| | 1,173,330 | | | Series 2004-RS5-AI6 | | | 5.55% | # | | | 05/25/2034 | | | | 1,180,291 | |
| | 7,639,783 | | | Series 2004-RS7-A3 | | | 2.86% | # | | | 07/25/2034 | | | | 6,828,598 | |
| | 1,782,244 | | | Series 2004-RS7-AI6 | | | 5.22% | # | | | 07/25/2034 | | | | 1,704,005 | |
| | 556,383 | | | Series 2004-RS9-AI6 | | | 4.72% | # | | | 07/25/2034 | | | | 560,003 | |
| | 959,397 | | | Series 2004-RZ2-AI4 | | | 5.35% | # | | | 02/25/2033 | | | | 958,093 | |
| | 7,516,044 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 7,564,913 | |
| | 58,563,760 | | | Series 2005-RS9-AI4 | | | 0.51% | # | | | 11/25/2035 | | | | 48,343,330 | |
| | 40,000,000 | | | Series 2006-RS2-A3A | | | 0.49% | # | | | 03/25/2036 | | | | 34,993,800 | |
| | 1,927,043 | | | Series 2006-RS5-A3 | | | 0.36% | # | | | 09/25/2036 | | | | 1,897,836 | |
| | 12,760,000 | | | Series 2006-RX5-A3 | | | 0.44% | # | | | 08/25/2046 | | | | 11,164,158 | |
| | 12,300,000 | | | Series 2006-RZ3-A3 | | | 0.48% | # | | | 08/25/2036 | | | | 11,296,910 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 334,437 | | | Series 2002-KS1-AI6 | | | 6.08% | # | | | 06/25/2032 | | | | 347,692 | |
| | 2,485,724 | | | Series 2003-KS11-MI1 | | | 5.13% | # | | | 01/25/2034 | | | | 2,395,136 | |
| | 2,095,603 | | | Series 2005-AHL3-A2 | | | 0.43% | # | | | 11/25/2035 | | | | 2,067,263 | |
| | 27,100,365 | | | Series 2005-KS11-M2 | | | 0.61% | # | | | 12/25/2035 | | | | 23,261,327 | |
| | 14,552,505 | | | Series 2006-EMX5-A3 | | | 0.35% | # | | | 07/25/2036 | | | | 13,157,546 | |
| | 55,294 | | | Series 2006-KS4-A3 | | | 0.34% | # | | | 06/25/2036 | | | | 55,372 | |
| | 37,100,000 | | | Series 2007-KS3-AI3 | | | 0.44% | # | | | 04/25/2037 | | | | 34,068,893 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 7,600,655 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 6,238,906 | |
| | 5,206,525 | | | Series 2005-A12-A7 | | | 4.81% | # I/F I/O | | | 11/25/2035 | | | | 691,354 | |
| | 4,168,821 | | | Series 2005-A12-A8 | | | 0.74% | # | | | 11/25/2035 | | | | 3,116,123 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Asset Securitization Trust, (Cont.) | |
| | 16,757,470 | | | Series 2005-A13-2A1 | | | 5.50% | | | | 10/25/2035 | | | | 13,237,463 | |
| | 16,346,581 | | | Series 2005-A15-5A3 | | | 5.75% | | | | 02/25/2036 | | | | 13,444,572 | |
| | 2,862,936 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 2,561,975 | |
| | 7,423,235 | | | Series 2005-A8CB-A11 | | | 6.00% | | | | 07/25/2035 | | | | 7,190,023 | |
| | 7,419,725 | | | Series 2005-A8CB-A2 | | | 4.81% | # I/F I/O | | | 07/25/2035 | | | | 1,078,780 | |
| | 7,128,048 | | | Series 2006-A10-A5 | | | 6.50% | | | | 09/25/2036 | | | | 5,293,972 | |
| | 1,191,739 | | | Series 2006-A1-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 974,639 | |
| | 10,281,711 | | | Series 2006-A12-A1 | | | 6.25% | | | | 11/25/2036 | | | | 7,625,883 | |
| | 9,901,882 | | | Series 2006-A13-A1 | | | 6.25% | | | | 12/25/2036 | | | | 6,911,771 | |
| | 21,159,460 | | | Series 2006-A1-3A2 | | | 6.00% | | | | 04/25/2036 | | | | 16,662,229 | |
| | 18,331,143 | | | Series 2006-A14C-2A6 | | | 0.64% | # | | | 12/25/2036 | | | | 5,341,237 | |
| | 40,454,083 | | | Series 2006-A14C-2A7 | | | 6.36% | # I/F I/O | | | 12/25/2036 | | | | 13,878,218 | |
| | 9,731,595 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 7,930,228 | |
| | 6,737,783 | | | Series 2006-A2-A4 | | | 6.00% | | | | 01/25/2046 | | | | 5,490,411 | |
| | 1,123,182 | | | Series 2006-A4-2A5 | | | 6.00% | | | | 05/25/2036 | | | | 1,020,450 | |
| | 6,302,534 | | | Series 2006-A8-1A1 | | | 6.00% | | | | 08/25/2036 | | | | 5,745,012 | |
| | 8,282,426 | | | Series 2006-R1-A1 | | | 27.62% | # I/F | | | 01/25/2046 | | | | 15,371,107 | |
| | 47,093,741 | | | Series 2007-A2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 39,314,986 | |
| | 1,365,620 | | | Series 2007-A3-1A2 | | | 44.90% | # I/F | | | 04/25/2037 | | | | 2,992,127 | |
| | 25,962,059 | | | Series 2007-A5-1A4 | | | 5.91% | # I/F I/O | | | 05/25/2037 | | | | 6,138,638 | |
| | 6,701,644 | | | Series 2007-A5-1A6 | | | 0.59% | # | | | 05/25/2037 | | | | 1,513,312 | |
| | 10,613,926 | | | Series 2007-A5-2A3 | | | 6.00% | | | | 05/25/2037 | | | | 9,292,514 | |
| | 4,651,542 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 4,072,434 | |
| | 19,031,193 | | | Series 2007-A6-1A2 | | | 6.00% | | | | 06/25/2037 | | | | 17,110,032 | |
| | 11,760,595 | | | Series 2007-A7-A1 | | | 6.00% | | | | 07/25/2037 | | | | 8,571,933 | |
| | 22,920,760 | | | Series 2007-A7-A6 | | | 6.00% | | | | 07/25/2037 | | | | 16,706,232 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 2,720,678 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 2,742,778 | |
| | 5,423,064 | | | Series 2005-S9-A10 | | | 6.25% | | | | 12/25/2035 | | | | 5,243,579 | |
| | 14,145,123 | | | Series 2005-S9-A6 | | | 5.75% | | | | 12/25/2035 | | | | 14,200,614 | |
| | 1,051,548 | | | Series 2005-S9-A8 | | | 5.50% | | | | 12/25/2035 | | | | 1,034,386 | |
| | 18,172,025 | | | Series 2006-S10-1A1 | | | 6.00% | | | | 10/25/2036 | | | | 16,516,699 | |
| | 32,617,022 | | | Series 2006-S11-A1 | | | 6.00% | | | | 11/25/2036 | | | | 30,642,485 | |
| | 5,905,239 | | | Series 2006-S5-A12 | | | 6.00% | | | | 06/25/2036 | | | | 5,438,636 | |
| | 404,298 | | | Series 2006-S5-A15 | | | 6.00% | | | | 06/25/2036 | | | | 372,352 | |
| | 10,023,673 | | | Series 2006-S9-A1 | | | 6.25% | | | | 09/25/2036 | | | | 9,589,537 | |
| | 7,865,919 | | | Series 2007-S1-A7 | | | 6.00% | | | | 01/25/2037 | | | | 7,225,106 | |
| | 6,610,157 | | | Series 2007-S2-A1 | | | 6.00% | | | | 02/25/2037 | | | | 6,070,722 | |
| | 7,447,070 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 6,839,337 | |
| | 13,902,828 | | | Series 2007-S2-A5 | | | 6.00% | | | | 02/25/2037 | | | | 12,768,260 | |
| | 2,172,549 | | | Series 2007-S2-A9 | | | 6.00% | | | | 02/25/2037 | | | | 1,995,253 | |
| | 6,651,865 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 6,068,490 | |
| | 2,153,155 | | | Series 2007-S4-A1 | | | 6.00% | | | | 04/25/2037 | | | | 1,955,353 | |
| | 5,747,791 | | | Series 2007-S4-A2 | | | 6.00% | | | | 04/25/2037 | | | | 5,219,764 | |
| | 45,648,578 | | | Series 2007-S5-A1 | | | 6.00% | | | | 05/25/2037 | | | | 42,692,878 | |
| | 13,229,138 | | | Series 2007-S5-A8 | | | 6.00% | | | | 05/25/2037 | | | | 12,372,565 | |
| | 7,421,141 | | | Series 2007-S6-2A4 | | | 6.00% | | | | 06/25/2037 | | | | 6,944,956 | |
| | 39,130,461 | | | Series 2007-S7-A20 | | | 6.00% | | | | 07/25/2037 | | | | 35,617,133 | |
| | 15,388,168 | | | Series 2007-S8-1A1 | | | 6.00% | | | | 09/25/2037 | | | | 13,781,644 | |
| | 7,181,539 | | | Series 2007-SA1-4A | | | 6.03% | # | | | 02/25/2037 | | | | 6,404,546 | |
| | 14,458,359 | | | Series 2007-SA2-2A1 | | | 3.09% | # | | | 04/25/2037 | | | | 12,688,165 | |
| |
| | | | RMAT LLC, | |
| | 31,178,167 | | | Series 2015-RPL1-A1 | | | 3.97% | #^ | | | 05/26/2020 | | | | 31,354,885 | |
| |
| | | | Saxon Asset Securities Trust, | |
| | 63,598,248 | | | Series 2006-3-A3 | | | 0.36% | # | | | 10/25/2046 | | | | 52,405,083 | |
| |
| | | | Securitized Mortgage Asset Loan Trust, | |
| | 411,526,943 | | | Series 2015-1-PC | | | 1.71% | #^¥ | | | 02/25/2054 | | | | 310,224,483 | |
| | 84,131,265 | | | Series 2015-2-PC | | | 3.57% | ^¥ | | | 12/26/2059 | | | | 73,858,332 | |
| | 153,563,423 | | | Series 2015-3-PC | | | 3.59% | ^¥ | | | 10/25/2044 | | | | 143,014,691 | |
| |
| | | | Sequoia Mortgage Trust, | |
| | 326,184 | | | Series 2003-4-2A1 | | | 0.57% | # | | | 07/20/2033 | | | | 309,049 | |
| | 14,811,238 | | | Series 2013-2-A | | | 1.87% | # | | | 02/25/2043 | | | | 13,791,573 | |
| |
| | | | Shellpoint Co-Originator Trust, | |
| | 49,917,290 | | | Series 2015-1-A3 | | | 3.50% | #^ | | | 08/25/2045 | | | | 50,420,357 | |
| |
| | | | Soundview Home Equity Loan Trust, | |
| | 10,541,757 | | | Series 2007-NS1-A2 | | | 0.34% | # | | | 01/25/2037 | | | | 10,397,720 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 118,132,750 | | | Series 2013-1A-B3F | | | 6.00% | #^ | | | 06/25/2058 | | | | 118,730,738 | |
| | 61,983,000 | | | Series 2013-2A-B1 | | | 6.00% | #^ | | | 12/25/2065 | | | | 62,818,748 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 25 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | STARM Mortgage Loan Trust, | |
| | 23,066,410 | | | Series 2007-2-1A1 | | | 2.67% | # | | | 04/25/2037 | | | | 19,489,848 | |
| | 12,621,032 | | | Series 2007-3-1A1 | | | 2.74% | # | | | 06/25/2037 | | | | 11,539,296 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 11,057,928 | | | Series 2004-12-8A | | | 2.50% | # | | | 09/25/2034 | | | | 10,890,748 | |
| | 4,307,134 | | | Series 2006-1-8A1 | | | 5.21% | # | | | 02/25/2036 | | | | 3,279,310 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 75,046 | | | Series 2003-18XS-A6 | | | 4.54% | # | | | 06/25/2033 | | | | 75,571 | |
| | 4,749,169 | | | Series 2003-24A-1A3 | | | 2.42% | # | | | 07/25/2033 | | | | 4,690,251 | |
| | 11,119,759 | | | Series 2003-35-1A1 | | | 5.21% | # | | | 12/25/2033 | | | | 11,593,438 | |
| | 3,936,616 | | | Series 2004-11XS-2A2 | | | 5.11% | # | | | 06/25/2034 | | | | 4,409,087 | |
| | 2,131,648 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 2,161,404 | |
| | 10,110,655 | | | Series 2004-22-A2 | | | 5.04% | # | | | 01/25/2035 | | | | 10,467,131 | |
| | 28,776,643 | | | Series 2005-10-1A1 | | | 5.75% | | | | 06/25/2035 | | | | 28,097,615 | |
| | 3,481,757 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 3,580,888 | |
| | 7,134,500 | | | Series 2005-13-3A1 | | | 6.00% | | | | 09/25/2035 | | | | 6,116,021 | |
| | 2,257,339 | | | Series 2005-14-1A1 | | | 0.49% | # | | | 07/25/2035 | | | | 1,940,968 | |
| | 915,370 | | | Series 2005-14-1A4 | | | 23.66% | # I/F | | | 07/25/2035 | | | | 1,226,580 | |
| | 45,472,820 | | | Series 2005-14-4A1 | | | 5.75% | | | | 07/25/2035 | | | | 46,785,757 | |
| | 4,446,686 | | | Series 2005-15-1A1 | | | 5.50% | | | | 08/25/2035 | | | | 4,689,679 | |
| | 8,266,041 | | | Series 2005-15-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 8,173,097 | |
| | 15,155,139 | | | Series 2005-15-3A1 | | | 4.96% | # | | | 08/25/2035 | | | | 14,903,420 | |
| | 9,279,606 | | | Series 2005-16-1A2 | | | 5.50% | | | | 09/25/2035 | | | | 9,412,722 | |
| | 10,851,970 | | | Series 2005-3-1A6 | | | 5.75% | | | | 03/25/2035 | | | | 10,487,664 | |
| | 2,750,060 | | | Series 2005-6-4A1 | | | 5.00% | | | | 05/25/2035 | | | | 2,796,898 | |
| | 149,359,704 | | | Series 2007-4-1A3 | | | 5.97% | #^ I/F I/O | | | 03/28/2045 | | | | 27,160,136 | |
| |
| | | | Suntrust Alternative Loan Trust, | |
| | 1,468,386 | | | Series 2005-1F-2A3 | | | 5.75% | | | | 12/25/2035 | | | | 1,358,180 | |
| | 2,346,589 | | | Series 2006-1F-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 1,855,687 | |
| |
| | | | Thornburg Mortgage Securities Trust, | |
| | 1,120,071 | | | Series 2003-6-A2 | | | 1.19% | # | | | 12/25/2033 | | | | 1,041,327 | |
| | 8,584,883 | | | Series 2004-4-5A | | | 2.52% | # | | | 12/25/2044 | | | | 8,211,733 | |
| | 24,655,414 | | | Series 2007-1-A1 | | | 2.15% | # | | | 03/25/2037 | | | | 23,542,049 | |
| | 6,378,848 | | | Series 2007-1-A2A | | | 2.15% | # | | | 03/25/2037 | | | | 5,672,078 | |
| |
| | | | Towd Point Mortgage Trust, | |
| | 18,603,328 | | | Series 2015-1-AE | | | 3.00% | ^ | | | 10/25/2053 | | | | 18,712,828 | |
| | 17,514,033 | | | Series 2015-1-AES | | | 3.00% | ^ | | | 10/25/2053 | | | | 17,724,306 | |
| | 30,299,919 | | | Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 30,153,176 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 9,924,981 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 9,293,316 | |
| | 4,225,538 | | | Series 2005-4-5A1 | | | 5.50% | | | | 06/25/2035 | | | | 4,037,286 | |
| | 1,662,604 | | | Series 2005-5-CB12 | | | 48.47% | # I/F | | | 07/25/2035 | | | | 3,309,357 | |
| | 5,383,921 | | | Series 2005-5-CB6 | | | 0.79% | # | | | 07/25/2035 | | | | 4,383,707 | |
| | 1,718,297 | | | Series 2005-6-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 1,652,334 | |
| | 1,899,115 | | | Series 2005-7-3CB | | | 6.50% | | | | 08/25/2035 | | | | 1,532,405 | |
| | 23,167,773 | | | Series 2005-8-1A2 | | | 5.50% | | | | 10/25/2035 | | | | 21,768,463 | |
| | 18,106,874 | | | Series 2005-9-2A2 | | | 5.50% | | | | 11/25/2035 | | | | 17,882,829 | |
| | 4,592,912 | | | Series 2005-9-CX | | | 5.50% | I/O | | | 11/25/2035 | | | | 1,097,807 | |
| | 7,043,525 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 6,455,947 | |
| | 3,566,745 | | | Series 2006-1-3A2 | | | 5.75% | | | | 02/25/2036 | | | | 3,269,204 | |
| | 3,029,428 | | | Series 2006-1-3A7 | | | 5.75% | | | | 02/25/2036 | | | | 2,776,710 | |
| | 4,012,938 | | | Series 2006-5-1A8 | | | 5.75% | | | | 07/25/2036 | | | | 3,405,174 | |
| | 7,391,302 | | | Series 2006-5-2CB1 | | | 6.00% | | | | 07/25/2036 | | | | 5,877,845 | |
| | 13,425,716 | | | Series 2006-5-2CB6 | | | 6.00% | | | | 07/25/2036 | | | | 10,676,639 | |
| | 8,275,914 | | | Series 2006-5-3A5 | | | 6.45% | # | | | 07/25/2036 | | | | 4,218,349 | |
| | 5,004,779 | | | Series 2006-9-A7 | | | 5.06% | # | | | 10/25/2036 | | | | 2,977,012 | |
| | 16,405,833 | | | Series 2006-AR10-1A1 | | | 2.40% | # | | | 09/25/2036 | | | | 14,895,479 | |
| | 24,881,127 | | | Series 2006-AR15-1A | | | 1.04% | # | | | 11/25/2046 | | | | 20,566,466 | |
| | 2,030,502 | | | Series 2006-AR6-2A3 | | | 4.32% | # | | | 08/25/2036 | | | | 1,826,946 | |
| | 20,565,020 | | | Series 2007-2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 17,603,965 | |
| | 21,034,823 | | | Series 2007-2-1A6 | | | 6.00% | | | | 04/25/2037 | | | | 18,006,124 | |
| | 15,066,918 | | | Series 2007-3-A3 | | | 6.00% | | | | 04/25/2037 | | | | 12,938,294 | |
| | 12,543,877 | | | Series 2007-4-1A1 | | | 5.50% | | | | 06/25/2037 | | | | 11,863,974 | |
| | 669,903 | | | Series 2007-5-A11 | | | 38.32% | # I/F | | | 06/25/2037 | | | | 1,560,325 | |
| | 16,747,581 | | | Series 2007-5-A6 | | | 6.00% | | | | 06/25/2037 | | | | 14,725,210 | |
| | 30,903,825 | | | Series 2007-HY3-4A1 | | | 2.42% | # | | | 03/25/2037 | | | | 29,367,132 | |
| | 29,587,605 | | | Series 2007-HY5-1A1 | | | 2.06% | # | | | 05/25/2037 | | | | 25,803,321 | |
| | 25,346,710 | | | Series 2007-HY6-2A3 | | | 2.26% | # | | | 06/25/2037 | | | | 22,879,283 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 3,035,016 | | | Series 2007-PA1-A10 | | | 6.00% | | | | 03/25/2037 | | | | 2,771,731 | |
| | 13,326,085 | | | Series 2007-PA1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 12,170,061 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wells Fargo Alternative Loan Trust, (Cont.) | |
| | 11,490,001 | | | Series 2007-PA1-A5 | | | 6.00% | | | | 03/25/2037 | | | | 10,493,255 | |
| | 18,831,535 | | | Series 2007-PA1-A6 | | | 6.00% | | | | 03/25/2037 | | | | 17,197,919 | |
| | 88,505,185 | | | Series 2007-PA2-1A1 | | | 6.00% | | | | 06/25/2037 | | | | 86,704,635 | |
| | 13,179,629 | | | Series 2007-PA2-3A1 | | | 0.54% | # | | | 06/25/2037 | | | | 9,342,367 | |
| | 19,415,634 | | | Series 2007-PA2-3A2 | | | 6.46% | # I/F I/O | | | 06/25/2037 | | | | 4,770,625 | |
| | 1,288,953 | | | Series 2007-PA3-1A4 | | | 5.75% | | | | 07/25/2037 | | | | 1,179,320 | |
| | 30,615,783 | | | Series 2007-PA3-2A1 | | | 6.00% | | | | 07/25/2037 | | | | 29,725,706 | |
| | 12,163,847 | | | Series 2007-PA3-2A4 | | | 6.00% | | | | 07/25/2037 | | | | 11,810,214 | |
| | 20,324,290 | | | Series 2007-PA3-3A1 | | | 6.25% | | | | 07/25/2037 | | | | 18,555,752 | |
| | 12,119,230 | | | Series 2007-PA3-4A3 | | | 6.50% | | | | 07/25/2037 | | | | 9,995,104 | |
| | 155,845,016 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 151,620,525 | |
| | 522,060 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 533,094 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 23,853,413 | | | Series 2004-Y-3A3 | | | 2.61% | # | | | 11/25/2034 | | | | 24,468,820 | |
| | 47,658,569 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 48,687,351 | |
| | 145,521 | | | Series 2005-4-A7 | | | 23.12% | # I/F | | | 04/25/2035 | | | | 162,812 | |
| | 4,102,832 | | | Series 2005-8-A1 | | | 5.50% | | | | 10/25/2035 | | | | 4,265,655 | |
| | 3,365,303 | | | Series 2005-AR16-6A4 | | | 2.73% | # | | | 10/25/2035 | | | | 3,252,360 | |
| | 8,655,201 | | | Series 2006-12-A3 | | | 6.00% | | | | 10/25/2036 | | | | 8,465,933 | |
| | 10,103,619 | | | Series 2006-14-A1 | | | 6.00% | | | | 10/25/2036 | | | | 10,135,698 | |
| | 12,431,448 | | | Series 2006-15-A1 | | | 6.00% | | | | 11/25/2036 | | | | 12,050,318 | |
| | 146,406 | | | Series 2006-2-1A4 | | | 18.85% | # I/F | | | 03/25/2036 | | | | 199,943 | |
| | 7,321,172 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 7,496,781 | |
| | 29,422,756 | | | Series 2006-3-A11 | | | 5.50% | | | | 03/25/2036 | | | | 30,379,011 | |
| | 6,589,588 | | | Series 2006-3-A6 | | | 5.50% | | | | 03/25/2036 | | | | 6,690,801 | |
| | 461,642 | | | Series 2006-4-2A2 | | | 5.50% | | | | 04/25/2036 | | | | 449,040 | |
| | 6,504,656 | | | Series 2006-6-2A1 | | | 0.59% | # | | | 05/25/2036 | | | | 5,436,208 | |
| | 6,504,656 | | | Series 2006-6-2A2 | | | 6.91% | # I/F I/O | | | 05/25/2036 | | | | 1,347,846 | |
| | 2,700,464 | | | Series 2006-9-2A1 | | | 0.00% | P/O | | | 08/25/2036 | | | | 1,392,670 | |
| | 2,700,464 | | | Series 2006-9-2A2 | | | 6.00% | I/O | | | 08/25/2036 | | | | 550,067 | |
| | 15,567,675 | | | Series 2006-AR12-1A1 | | | 2.73% | # | | | 09/25/2036 | | | | 14,766,516 | |
| | 8,213,211 | | | Series 2006-AR13-A2 | | | 2.71% | # | | | 09/25/2036 | | | | 7,824,496 | |
| | 8,505,532 | | | Series 2006-AR4-2A1 | | | 5.71% | # | | | 04/25/2036 | | | | 8,361,920 | |
| | 2,915,820 | | | Series 2007-10-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 2,916,395 | |
| | 5,254,655 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 5,049,411 | |
| | 2,952,989 | | | Series 2007-11-A14 | | | 6.00% | | | | 08/25/2037 | | | | 2,932,883 | |
| | 5,893,860 | | | Series 2007-11-A36 | | | 6.00% | | | | 08/25/2037 | | | | 5,853,729 | |
| | 4,188,583 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 4,160,063 | |
| | 52,140,640 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 53,180,898 | |
| | 31,743,704 | | | Series 2007-2-1A1 | | | 6.00% | | | | 03/25/2037 | | | | 31,299,355 | |
| | 1,837,106 | | | Series 2007-2-1A18 | | | 5.75% | | | | 03/25/2037 | | | | 1,797,437 | |
| | 4,137,649 | | | Series 2007-2-1A9 | | | 6.00% | | | | 03/25/2037 | | | | 4,079,730 | |
| | 1,773,948 | | | Series 2007-2-3A2 | | | 5.25% | | | | 03/25/2037 | | | | 1,823,875 | |
| | 3,276,781 | | | Series 2007-3-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 3,315,660 | |
| | 3,270,408 | | | Series 2007-4-A11 | | | 6.50% | | | | 04/25/2037 | | | | 3,275,661 | |
| | 12,562,760 | | | Series 2007-4-A15 | | | 6.00% | | | | 04/25/2037 | | | | 12,375,035 | |
| | 7,410,085 | | | Series 2007-4-A3 | | | 6.00% | | | | 04/25/2037 | | | | 7,299,356 | |
| | 7,814,928 | | | Series 2007-4-A8 | | | 6.00% | | | | 04/25/2037 | | | | 7,698,149 | |
| | 9,268,190 | | | Series 2007-6-A4 | | | 6.00% | | | | 05/25/2037 | | | | 9,259,413 | |
| | 4,428,792 | | | Series 2007-6-A6 | | | 6.00% | | | | 05/25/2037 | | | | 4,424,598 | |
| | 13,810,216 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 13,876,975 | |
| | 960,473 | | | Series 2007-7-A32 | | | 5.75% | | | | 06/25/2037 | | | | 956,225 | |
| | 31,099,590 | | | Series 2007-7-A34 | | | 6.00% | | | | 06/25/2037 | | | | 31,249,925 | |
| | 8,390,670 | | | Series 2007-7-A36 | | | 6.00% | | | | 06/25/2037 | | | | 8,431,230 | |
| | 2,864,626 | | | Series 2007-7-A43 | | | 0.69% | # | | | 06/25/2037 | | | | 2,498,320 | |
| | 7,826,097 | | | Series 2007-7-A49 | | | 6.00% | | | | 06/25/2037 | | | | 7,863,928 | |
| | 3,313,155 | | | Series 2007-7-A8 | | | 0.69% | # | | | 06/25/2037 | | | | 2,889,495 | |
| | 1,494,622 | | | Series 2007-7-A9 | | | 37.84% | # I/F | | | 06/25/2037 | | | | 2,484,792 | |
| | 2,281,584 | | | Series 2007-8-1A13 | | | 0.56% | # | | | 07/25/2037 | | | | 1,953,649 | |
| | 2,281,584 | | | Series 2007-8-1A14 | | | 38.62% | # I/F | | | 07/25/2037 | | | | 3,972,159 | |
| | 37,075,733 | | | Series 2007-8-1A16 | | | 6.00% | | | | 07/25/2037 | | | | 36,889,947 | |
| | 24,740,066 | | | Series 2007-8-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 24,616,094 | |
| | 3,497,527 | | | Series 2007-8-1A20 | | | 6.00% | | | | 07/25/2037 | | | | 3,480,001 | |
| | 31,248,104 | | | Series 2007-8-1A22 | | | 6.00% | | | | 07/25/2037 | | | | 31,091,520 | |
| | 10,875,531 | | | Series 2007-8-1A3 | | | 6.00% | | | | 07/25/2037 | | | | 10,821,034 | |
| | 13,634,102 | | | Series 2007-8-2A9 | | | 6.00% | | | | 07/25/2037 | | | | 13,941,619 | |
| | 69,146,358 | | | Series 2007-AR9-A1 | | | 6.00% | # | | | 12/28/2037 | | | | 68,300,974 | |
| |
| | | | Wells Fargo Mortgage Loan Trust, | |
| | 10,354,244 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 10,387,848 | |
| |
| | | | WinWater Mortgage Loan Trust, | |
| | 45,388,514 | | | Series 2015-4-A5 | | | 3.50% | #^ | | | 06/20/2045 | | | | 46,095,463 | |
| | | | | | |
| 26 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | WinWater Mortgage Loan Trust, (Cont.) | |
| | 147,000,000 | | | Series 2015-5-A3 | | | 3.50% | #^ | | | 08/20/2045 | | | | 147,987,656 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $11,227,307,739) | | | | 11,220,867,499 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 50.2% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 15,596,349 | | | Pool C03490 | | | 4.50% | | | | 08/01/2040 | | | | 16,926,065 | |
| | 84,000,558 | | | Pool C91388 | | | 3.50% | | | | 02/01/2032 | | | | 88,958,501 | |
| | 43,901,401 | | | Pool C91403 | | | 3.50% | | | | 03/01/2032 | | | | 46,495,114 | |
| | 43,832,259 | | | Pool C91413 | | | 3.50% | | | | 12/01/2031 | | | | 46,419,044 | |
| | 21,801,752 | | | Pool C91417 | | | 3.50% | | | | 01/01/2032 | | | | 23,091,701 | |
| | 87,027,574 | | | Pool C91447 | | | 3.50% | | | | 05/01/2032 | | | | 92,175,652 | |
| | 94,929,520 | | | Pool C91594 | | | 3.00% | | | | 01/01/2033 | | | | 98,548,847 | |
| | 27,481,703 | | | Pool C91596 | | | 3.00% | | | | 02/01/2033 | | | | 28,530,412 | |
| | 15,223,663 | | | Pool D98901 | | | 3.50% | | | | 01/01/2032 | | | | 16,122,700 | |
| | 42,105,539 | | | Pool D98923 | | | 3.50% | | | | 01/01/2032 | | | | 44,592,937 | |
| | 35,823,850 | | | Pool D99724 | | | 3.00% | | | | 11/01/2032 | | | | 37,189,717 | |
| | 39,005,405 | | | Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 43,191,043 | |
| | 8,528,498 | | | Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 9,342,680 | |
| | 22,213,215 | | | Pool G06172 | | | 5.50% | | | | 12/01/2038 | | | | 24,604,046 | |
| | 30,715,713 | | | Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 34,719,889 | |
| | 42,627,106 | | | Pool G07011 | | | 6.00% | | | | 05/01/2040 | | | | 48,225,562 | |
| | 33,129,076 | | | Pool G07801 | | | 4.00% | | | | 10/01/2044 | | | | 35,480,521 | |
| | 66,063,111 | | | Pool G07862 | | | 4.00% | | | | 01/01/2044 | | | | 70,757,609 | |
| | 74,071,432 | | | Pool G07905 | | | 4.00% | | | | 01/01/2042 | | | | 79,142,313 | |
| | 103,786,709 | | | Pool G08534 | | | 3.00% | | | | 06/01/2043 | | | | 105,294,298 | |
| | 33,232,376 | | | Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 33,701,983 | |
| | 91,845,208 | | | Pool G08614 | | | 3.00% | | | | 11/01/2044 | | | | 92,974,294 | |
| | 106,911,131 | | | Pool G08619 | | | 3.00% | | | | 12/01/2044 | | | | 108,225,428 | |
| | 138,770,438 | | | Pool G08622 | | | 3.00% | | | | 01/01/2045 | | | | 140,476,392 | |
| | 258,709,158 | | | Pool G08626 | | | 3.00% | | | | 02/01/2045 | | | | 261,889,563 | |
| | 133,959,693 | | | Pool G08631 | | | 3.00% | | | | 03/01/2045 | | | | 135,606,508 | |
| | 331,976,012 | | | Pool G08635 | | | 3.00% | | | | 04/01/2045 | | | | 336,057,113 | |
| | 96,792,828 | | | Pool G08640 | | | 3.00% | | | | 05/01/2045 | | | | 97,982,737 | |
| | 494,827,566 | | | Pool G08648 | | | 3.00% | | | | 06/01/2045 | | | | 500,910,660 | |
| | 95,391,462 | | | Pool G08653 | | | 3.00% | | | | 07/01/2045 | | | | 96,564,143 | |
| | 52,373,519 | | | Pool G08658 | | | 3.00% | | | | 08/01/2045 | | | | 53,017,365 | |
| | 156,605,088 | | | Pool J22834 | | | 2.50% | | | | 03/01/2028 | | | | 161,302,163 | |
| | 152,470,868 | | | Pool Q16672 | | | 3.00% | | | | 03/01/2043 | | | | 154,741,022 | |
| | 10,030,827 | | | Pool Q23595 | | | 4.00% | | | | 12/01/2043 | | | | 10,803,323 | |
| | 12,861,989 | | | Pool Q24052 | | | 4.00% | | | | 01/01/2044 | | | | 13,852,539 | |
| | 10,894,148 | | | Pool Q24172 | | | 4.00% | | | | 01/01/2044 | | | | 11,737,575 | |
| | 8,944,582 | | | Pool Q24979 | | | 4.00% | | | | 02/01/2044 | | | | 9,631,905 | |
| | 77,721,465 | | | Pool Q31596 | | | 3.50% | | | | 02/01/2045 | | | | 81,065,686 | |
| | 26,370,092 | | | Pool Q32861 | | | 3.50% | | | | 04/01/2045 | | | | 27,530,183 | |
| | 70,770,827 | | | Pool Q32921 | | | 3.50% | | | | 04/01/2045 | | | | 73,815,255 | |
| | 14,141,485 | | | Pool T60392 | | | 4.00% | | | | 10/01/2041 | | | | 14,803,197 | |
| | 11,995,804 | | | Pool T60681 | | | 4.00% | | | | 05/01/2042 | | | | 12,555,704 | |
| | 32,381,880 | | | Pool T60782 | | | 3.50% | | | | 07/01/2042 | | | | 33,369,345 | |
| | 53,936,916 | | | Pool T60853 | | | 3.50% | | | | 09/01/2042 | | | | 55,588,163 | |
| | 45,676,703 | | | Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 47,063,010 | |
| | 4,915,590 | | | Pool T65110 | | | 3.50% | | | | 10/01/2042 | | | | 5,065,492 | |
| | 11,480,730 | | | Pool T69016 | | | 5.00% | | | | 06/01/2041 | | | | 12,340,965 | |
| | 840,285 | | | Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 904,963 | |
| | 2,993,500 | | | Series 2519-ZD | | | 5.50% | | | | 11/15/2032 | | | | 3,298,952 | |
| | 1,834,872 | | | Series 2596-ZL | | | 5.00% | | | | 04/15/2033 | | | | 2,027,305 | |
| | 72,089,285 | | | Series 267-30 | | | 3.00% | | | | 08/15/2042 | | | | 73,344,649 | |
| | 961,535 | | | Series 2684-ZN | | | 4.00% | | | | 10/15/2033 | | | | 1,035,331 | |
| | 134,431,033 | | | Series 269-30 | | | 3.00% | | | | 08/15/2042 | | | | 137,142,102 | |
| | 59,470,952 | | | Series 274-30 | | | 3.00% | | | | 08/15/2042 | | | | 60,650,032 | |
| | 6,270,006 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 6,939,411 | |
| | 163,510,817 | | | Series 280-30 | | | 3.00% | | | | 09/15/2042 | | | | 166,978,953 | |
| | 25,633,228 | | | Series 2819-MS | | | 6.26% | # I/F I/O | | | 06/15/2040 | | | | 4,619,646 | |
| | 13,841,433 | | | Series 2825-PZ | | | 5.50% | | | | 07/15/2034 | | | | 15,805,117 | |
| | 39,537,009 | | | Series 284-300 | | | 3.00% | | | | 10/15/2042 | | | | 40,291,594 | |
| | 9,908,208 | | | Series 2898-JZ | | | 5.00% | | | | 12/15/2034 | | | | 11,017,550 | |
| | 20,110,552 | | | Series 2899-AZ | | | 5.00% | | | | 12/15/2034 | | | | 22,250,847 | |
| | 15,669,002 | | | Series 2909-Z | | | 5.00% | | | | 12/15/2034 | | | | 17,268,212 | |
| | 28,890,922 | | | Series 2932-Z | | | 5.00% | | | | 02/15/2035 | | | | 31,881,032 | |
| | 2,718,964 | | | Series 2990-JL | | | 6.44% | # I/F I/O | | | 03/15/2035 | | | | 327,063 | |
| | 8,875,701 | | | Series 3002-SN | | | 6.29% | # I/F I/O | | | 07/15/2035 | | | | 1,634,975 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| | 5,970,372 | | | Series 3030-SL | | | 5.89% | # I/F I/O | | | 09/15/2035 | | | | 872,847 | |
| | 1,824,209 | | | Series 3045-DI | | | 6.52% | # I/F I/O | | | 10/15/2035 | | | | 359,276 | |
| | 15,185,295 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 16,949,841 | |
| | 3,389,966 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 3,622,451 | |
| | 8,510,156 | | | Series 3174-PZ | | | 5.00% | | | | 01/15/2036 | | | | 9,478,254 | |
| | 1,928,112 | | | Series 3187-JZ | | | 5.00% | | | | 07/15/2036 | | | | 2,130,963 | |
| | 4,879,539 | | | Series 3188-ZK | | | 5.00% | | | | 07/15/2036 | | | | 5,377,418 | |
| | 7,286,961 | | | Series 3203-SE | | | 6.29% | # I/F I/O | | | 08/15/2036 | | | | 1,292,802 | |
| | 12,272,863 | | | Series 3203-Z | | | 5.00% | | | | 07/15/2036 | | | | 13,632,678 | |
| | 19,446,437 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 21,601,074 | |
| | 8,565,677 | | | Series 3261-SA | | | 6.22% | # I/F I/O | | | 01/15/2037 | | | | 1,630,828 | |
| | 7,292,876 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 7,910,645 | |
| | 11,304,687 | | | Series 3275-SC | | | 5.87% | # I/F I/O | | | 02/15/2037 | | | | 1,562,782 | |
| | 6,894,835 | | | Series 3315-HZ | | | 6.00% | | | | 05/15/2037 | | | | 7,452,183 | |
| | 19,748,877 | | | Series 3326-GS | | | 6.44% | # I/F I/O | | | 06/15/2037 | | | | 2,728,860 | |
| | 2,083,524 | | | Series 3351-ZC | | | 5.50% | | | | 07/15/2037 | | | | 2,317,598 | |
| | 19,062,739 | | | Series 3355-BI | | | 5.84% | # I/F I/O | | | 08/15/2037 | | | | 3,184,850 | |
| | 1,793,041 | | | Series 3369-Z | | | 6.00% | | | | 09/15/2037 | | | | 2,029,821 | |
| | 6,066,671 | | | Series 3405-ZG | | | 5.50% | | | | 01/15/2038 | | | | 6,624,246 | |
| | 8,222,566 | | | Series 3417-SI | | | 5.97% | # I/F I/O | | | 02/15/2038 | | | | 924,525 | |
| | 11,520,669 | | | Series 3423-GS | | | 5.44% | # I/F I/O | | | 03/15/2038 | | | | 1,438,759 | |
| | 1,891,815 | | | Series 3423-SG | | | 5.44% | # I/F I/O | | | 03/15/2038 | | | | 221,952 | |
| | 2,230,185 | | | Series 3451-S | | | 5.82% | # I/F I/O | | | 02/15/2037 | | | | 311,342 | |
| | 2,778,386 | | | Series 3455-SC | | | 5.85% | # I/F I/O | | | 06/15/2038 | | | | 328,507 | |
| | 1,791,764 | | | Series 3473-SM | | | 5.86% | # I/F I/O | | | 07/15/2038 | | | | 252,570 | |
| | 10,140,675 | | | Series 3484-SE | | | 5.64% | # I/F I/O | | | 08/15/2038 | | | | 1,663,329 | |
| | 9,481,660 | | | Series 3519-SD | | | 5.34% | # I/F I/O | | | 02/15/2038 | | | | 1,496,519 | |
| | 3,621,804 | | | Series 3524-LB | | | 4.66% | # | | | 06/15/2038 | | | | 3,684,467 | |
| | 198,819 | | | Series 3530-GZ | | | 4.50% | | | | 05/15/2039 | | | | 204,849 | |
| | 14,662,086 | | | Series 3541-EI | | | 6.54% | # I/F I/O | | | 06/15/2039 | | | | 2,606,846 | |
| | 4,039,354 | | | Series 3545-SA | | | 5.94% | # I/F I/O | | | 06/15/2039 | | | | 425,879 | |
| | 1,680,363 | | | Series 3549-SA | | | 5.59% | # I/F I/O | | | 07/15/2039 | | | | 214,717 | |
| | 15,949,480 | | | Series 3577-LS | | | 6.99% | # I/F I/O | | | 08/15/2035 | | | | 3,291,255 | |
| | 4,014,149 | | | Series 3582-SA | | | 5.79% | # I/F I/O | | | 10/15/2049 | | | | 670,030 | |
| | 4,854,705 | | | Series 3583-GB | | | 4.50% | | | | 10/15/2039 | | | | 5,251,092 | |
| | 32,508,954 | | | Series 3606-CS | | | 6.14% | # I/F I/O | | | 12/15/2039 | | | | 6,265,938 | |
| | 8,311,809 | | | Series 3616-SG | | | 6.14% | # I/F I/O | | | 03/15/2032 | | | | 1,343,625 | |
| | 13,635,100 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 15,116,492 | |
| | 3,063,379 | | | Series 3631-SE | | | 6.19% | # I/F I/O | | | 05/15/2039 | | | | 169,583 | |
| | 18,521,795 | | | Series 3641-Z | | | 5.50% | | | | 02/15/2036 | | | | 20,603,802 | |
| | 19,842,322 | | | Series 3654-ZB | | | 5.50% | | | | 11/15/2037 | | | | 21,965,461 | |
| | 39,671,127 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 44,395,284 | |
| | 5,101,688 | | | Series 3667-SB | | | 6.24% | # I/F I/O | | | 05/15/2040 | | | | 609,769 | |
| | 15,221,585 | | | Series 3702-SG | | | 5.84% | # I/F I/O | | | 08/15/2032 | | | | 2,413,108 | |
| | 6,137,002 | | | Series 3704-EI | | | 5.00% | I/O | | | 12/15/2036 | | | | 925,445 | |
| | 3,741,293 | | | Series 3712-SG | | | 24.01% | # I/F | | | 08/15/2040 | | | | 6,140,719 | |
| | 11,313,164 | | | Series 3724-CM | | | 5.50% | | | | 06/15/2037 | | | | 12,735,788 | |
| | 110,678,461 | | | Series 3725-CS | | | 5.79% | # I/F I/O | | | 05/15/2040 | | | | 17,046,807 | |
| | 36,021,550 | | | Series 3726-SA | | | 5.84% | # I/F I/O | | | 09/15/2040 | | | | 5,965,403 | |
| | 98,000,000 | | | Series 3738-BP | | | 4.00% | | | | 12/15/2038 | | | | 105,111,958 | |
| | 4,640,762 | | | Series 3741-SC | | | 9.59% | # I/F | | | 10/15/2040 | | | | 5,178,634 | |
| | 29,050,629 | | | Series 3752-BS | | | 9.61% | # I/F | | | 11/15/2040 | | | | 31,558,962 | |
| | 460,919 | | | Series 3758-SM | | | 9.61% | # I/F | | | 11/15/2040 | | | | 462,647 | |
| | 15,209,393 | | | Series 3768-ZX | | | 5.00% | | | | 12/15/2040 | | | | 17,641,801 | |
| | 13,148,473 | | | Series 3771-AL | | | 4.00% | | | | 12/15/2030 | | | | 13,969,648 | |
| | 18,761,630 | | | Series 3779-BY | | | 3.50% | | | | 12/15/2030 | | | | 20,238,527 | |
| | 27,622,023 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 29,174,850 | |
| | 24,250,000 | | | Series 3779-LB | | | 4.00% | | | | 12/15/2030 | | | | 26,088,611 | |
| | 2,166,480 | | | Series 3779-SH | | | 9.39% | # I/F | | | 12/15/2040 | | | | 2,347,647 | |
| | 3,500,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 3,779,862 | |
| | 15,000,000 | | | Series 3783-AC | | | 4.00% | | | | 01/15/2031 | | | | 16,751,407 | |
| | 12,626,291 | | | Series 3786-SG | | | 9.09% | # I/F | | | 01/15/2041 | | | | 13,173,489 | |
| | 11,731,674 | | | Series 3788-AY | | | 3.50% | | | | 01/15/2031 | | | | 12,393,346 | |
| | 10,202,285 | | | Series 3790-Z | | | 4.00% | | | | 01/15/2041 | | | | 10,865,378 | |
| | 12,048,514 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 12,875,048 | |
| | 675,949 | | | Series 3798-SD | | | 9.19% | # I/F | | | 12/15/2040 | | | | 713,477 | |
| | 19,082,404 | | | Series 3800-VZ | | | 4.50% | | | | 02/15/2041 | | | | 21,680,597 | |
| | 13,024,404 | | | Series 3803-ZM | | | 4.00% | | | | 02/15/2041 | | | | 14,310,446 | |
| | 73,261,964 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 83,350,319 | |
| | 18,000,000 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 19,038,483 | |
| | 15,277,557 | | | Series 3812-EY | | | 3.50% | | | | 02/15/2031 | | | | 16,154,787 | |
| | 10,877,422 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 12,025,115 | |
| | 20,481,524 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 22,821,866 | |
| | 35,500,000 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 38,333,184 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 27 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| | 3,350,433 | | | Series 3828-SW | | | 12.58% | # I/F | | | 02/15/2041 | | | | 4,762,719 | |
| | 15,559,168 | | | Series 3829-VZ | | | 4.00% | | | | 03/15/2041 | | | | 16,434,939 | |
| | 6,232,718 | | | Series 3843-PZ | | | 5.00% | | | | 04/15/2041 | | | | 7,459,363 | |
| | 1,350,196 | | | Series 3845-LS | | | 12.73% | # I/F | | | 03/15/2041 | | | | 1,394,687 | |
| | 60,044,052 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 66,748,691 | |
| | 10,229,000 | | | Series 3870-PB | | | 4.50% | | | | 06/15/2041 | | | | 11,334,832 | |
| | 77,155,591 | | | Series 3871-LZ | | | 5.50% | | | | 06/15/2041 | | | | 91,044,755 | |
| | 32,481,325 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 34,140,666 | |
| | 25,461,110 | | | Series 3877-EY | | | 4.50% | | | | 06/15/2041 | | | | 27,681,472 | |
| | 12,378,000 | | | Series 3877-GY | | | 4.50% | | | | 06/15/2041 | | | | 13,499,923 | |
| | 55,272,099 | | | Series 3877-ZU | | | 4.50% | | | | 06/15/2041 | | | | 61,678,079 | |
| | 31,297,375 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 34,122,229 | |
| | 19,292,917 | | | Series 3888-ZU | | | 4.50% | | | | 06/15/2041 | | | | 21,644,724 | |
| | 14,028,385 | | | Series 3900-SB | | | 5.76% | # I/F I/O | | | 07/15/2041 | | | | 2,045,121 | |
| | 41,845,932 | | | Series 3901-VZ | | | 4.00% | | | | 07/15/2041 | | | | 44,598,934 | |
| | 22,067,683 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 24,763,240 | |
| | 9,807,859 | | | Series 3910-ZE | | | 5.00% | | | | 10/15/2034 | | | | 10,939,358 | |
| | 12,330,000 | | | Series 3919-KL | | | 4.50% | | | | 09/15/2041 | | | | 13,680,597 | |
| | 28,291,855 | | | Series 3919-ZJ | | | 4.00% | | | | 09/15/2041 | | | | 29,500,327 | |
| | 6,166,730 | | | Series 3942-JZ | | | 4.00% | | | | 10/15/2041 | | | | 6,426,062 | |
| | 11,693,010 | | | Series 3944-AZ | | | 4.00% | | | | 10/15/2041 | | | | 12,293,581 | |
| | 9,855,917 | | | Series 3946-SM | | | 14.08% | # I/F | | | 10/15/2041 | | | | 11,206,577 | |
| | 8,003,521 | | | Series 3957-DZ | | | 3.50% | | | | 11/15/2041 | | | | 7,963,235 | |
| | 10,000,000 | | | Series 3964-VM | | | 4.00% | | | | 11/15/2034 | | | | 10,778,810 | |
| | 49,998,450 | | | Series 3969-AB | | | 4.00% | | | | 10/15/2033 | | | | 53,422,394 | |
| | 11,367,196 | | | Series 3982-AZ | | | 3.50% | | | | 01/15/2042 | | | | 11,719,380 | |
| | 57,113,338 | | | Series 3990-ZA | | | 3.50% | | | | 01/15/2042 | | | | 58,833,877 | |
| | 17,307,591 | | | Series 3999-EZ | | | 4.00% | | | | 02/15/2042 | | | | 18,610,584 | |
| | 48,461,254 | | | Series 3999-ZB | | | 4.00% | | | | 02/15/2042 | | | | 51,301,689 | |
| | 27,477,448 | | | Series 4016-KZ | | | 4.00% | | | | 03/15/2042 | | | | 29,313,312 | |
| | 28,444,703 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 28,016,610 | |
| | 68,314,933 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 73,403,609 | |
| | 68,065,276 | | | Series 4084-TZ | | | 4.00% | | | | 07/15/2042 | | | | 73,479,971 | |
| | 13,680,133 | | | Series 4097-TG | | | 2.00% | | | | 05/15/2039 | | | | 13,591,964 | |
| | 38,364,846 | | | Series 4097-ZA | | | 3.50% | | | | 08/15/2042 | | | | 39,200,049 | |
| | 97,063,000 | | | Series 4109-GE | | | 4.50% | | | | 10/15/2041 | | | | 106,942,606 | |
| | 46,761,812 | | | Series 4109-KD | | | 3.00% | | | | 05/15/2032 | | | | 47,846,102 | |
| | 5,452,061 | | | Series 4121-AV | | | 3.00% | | | | 12/15/2035 | | | | 5,545,439 | |
| | 75,659,867 | | | Series 4160-HP | | | 2.50% | | | | 01/15/2033 | | | | 77,723,793 | |
| | 27,488,805 | | | Series 4162-ZJ | | | 3.00% | | | | 02/15/2033 | | | | 27,178,085 | |
| | 5,788,644 | | | Series 4165-ZT | | | 3.00% | | | | 02/15/2043 | | | | 5,441,432 | |
| | 39,347,534 | | | Series 4174-Z | | | 3.50% | | | | 03/15/2043 | | | | 40,263,564 | |
| | 97,571,989 | | | Series 4179-AZ | | | 4.00% | | | | 01/15/2041 | | | | 110,245,663 | |
| | 29,084,177 | | | Series 4183-ZB | | | 3.00% | | | | 03/15/2043 | | | | 28,302,976 | |
| | 23,271,941 | | | Series 4186-ZJ | | | 3.00% | | | | 03/15/2033 | | | | 22,347,056 | |
| | 13,000,000 | | | Series 4189-ML | | | 3.00% | | | | 04/15/2038 | | | | 12,994,397 | |
| | 205,727,610 | | | Series 4212-US | | | 5.16% | # I/F | | | 06/15/2043 | | | | 203,248,901 | |
| | 89,015,006 | | | Series 4223-US | | | 5.19% | # I/F | | | 07/15/2043 | | | | 85,697,461 | |
| | 27,258,791 | | | Series 4229-TZ | | | 3.00% | | | | 06/15/2043 | | | | 25,659,804 | |
| | 20,266,398 | | | Series 4250-BZ | | | 3.00% | | | | 09/15/2033 | | | | 19,870,423 | |
| | 20,156,812 | | | Series 4267-BZ | | | 4.00% | | | | 10/15/2040 | | | | 21,608,083 | |
| | 117,390,227 | | | Series 4323-GA | | | 3.00% | | | | 06/15/2040 | | | | 121,837,262 | |
| | 43,815,509 | | | Series 4360-KA | | | 3.00% | | | | 05/15/2040 | | | | 45,318,469 | |
| | 72,618,040 | | | Series 4375-CG | | | 3.00% | | | | 04/15/2039 | | | | 75,929,676 | |
| | 13,945,392 | | | Series 4376-GZ | | | 3.00% | | | | 08/15/2044 | | | | 13,098,934 | |
| | 44,335,772 | | | Series 4377-LZ | | | 3.00% | | | | 08/15/2044 | | | | 40,668,472 | |
| | 53,913,054 | | | Series 4377-UZ | | | 3.00% | | | | 08/15/2044 | | | | 51,700,840 | |
| | 11,404,806 | | | Series 4379-KA | | | 3.00% | | | | 08/15/2044 | | | | 11,831,676 | |
| | 34,829,241 | | | Series 4384-A | | | 3.00% | | | | 12/15/2040 | | | | 35,840,003 | |
| | 24,234,669 | | | Series 4384-ZY | | | 3.00% | | | | 09/15/2044 | | | | 22,468,652 | |
| | 8,690,852 | | | Series 4386-US | | | 7.79% | # I/F | | | 09/15/2044 | | | | 8,835,611 | |
| | 291,324,356 | | | Series 4390-NY | | | 3.00% | | | | 06/15/2040 | | | | 302,907,558 | |
| | 122,825,581 | | | Series 4390-NZ | | | 3.00% | | | | 09/15/2044 | | | | 116,035,169 | |
| | 76,312,375 | | | Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 79,029,287 | |
| | 102,940,415 | | | Series 4408-PB | | | 3.00% | | | | 04/15/2044 | | | | 106,138,002 | |
| | 31,361,450 | | | Series 4419-TB | | | 3.00% | | | | 02/15/2040 | | | | 32,236,497 | |
| | 152,019,102 | | | Series 4427-CE | | | 3.00% | | | | 02/15/2034 | | | | 158,860,950 | |
| | 90,349,633 | | | Series 4427-MA | | | 3.00% | | | | 02/15/2034 | | | | 94,481,638 | |
| | 51,609,330 | | | Series 4427-PS | | | 5.39% | # I/F I/O | | | 07/15/2044 | | | | 9,435,785 | |
| | 78,387,048 | | | Series 4429-HA | | | 3.00% | | | | 04/15/2034 | | | | 81,435,442 | |
| | 23,405,531 | | | Series 4434-LZ | | | 3.00% | | | | 02/15/2045 | | | | 21,955,722 | |
| | 25,714,202 | | | Series 4438-B | | | 3.00% | | | | 10/15/2043 | | | | 26,546,867 | |
| | 8,751,633 | | | Series 4441-VZ | | | 3.00% | | | | 02/15/2045 | | | | 8,214,213 | |
| | 78,883,888 | | | Series 4444-CH | | | 3.00% | | | | 01/15/2041 | | | | 81,926,913 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| | 25,440,795 | | | Series 4444-CZ | | | 3.00% | | | | 02/15/2045 | | | | 23,617,237 | |
| | 77,726,481 | | | Series 4447-A | | | 3.00% | | | | 06/15/2041 | | | | 80,652,417 | |
| | 7,613,205 | | | Series 4450-JZ | | | 3.00% | | | | 03/15/2045 | | | | 7,059,288 | |
| | 6,620,707 | | | Series 4461-LZ | | | 3.00% | | | | 03/15/2045 | | | | 6,245,611 | |
| | 7,808,883 | | | Series 4462-ZA | | | 3.00% | | | | 04/15/2045 | | | | 7,419,114 | |
| | 45,565,319 | | | Series 4463-ZC | | | 3.00% | | | | 04/15/2045 | | | | 43,885,895 | |
| | 25,314,066 | | | Series 4467-ZA | | | 3.00% | | | | 04/15/2045 | | | | 24,185,008 | |
| | 220,224,137 | | | Series 4471-BA | | | 3.00% | | | | 12/15/2041 | | | | 228,243,048 | |
| | 191,497,102 | | | Series 4471-BC | | | 3.00% | | | | 12/15/2041 | | | | 198,469,990 | |
| | 169,110,678 | | | Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 172,862,736 | |
| | 76,948,334 | | | Series 4481-B | | | 3.00% | | | | 12/15/2042 | | | | 78,887,932 | |
| | 316,848,334 | | | Series 4483-CA | | | 3.00% | | | | 06/15/2044 | | | | 327,994,267 | |
| | 15,112,781 | | | Series 4484-ZL | | | 3.00% | | | | 06/15/2045 | | | | 13,983,071 | |
| | 8,046,735 | | | Series 4492-GZ | | | 3.50% | | | | 07/15/2045 | | | | 8,031,406 | |
| | 44,337,883 | | | Series 4499-AB | | | 3.00% | | | | 06/15/2042 | | | | 45,584,221 | |
| | 79,440,805 | | | Series 4504-CA | | | 3.00% | | | | 04/15/2044 | | | | 82,438,821 | |
| | 50,000,000 | | | Series 4511-QA | | | 3.00% | | | | 01/15/2041 | | | | 51,407,500 | |
| | 40,000,000 | | | Series 4511-QC | | | 3.00% | | | | 12/15/2040 | | | | 41,126,000 | |
| | 131,685,048 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 147,856,235 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 26,766,435 | | | Pool AS3456 | | | 3.00% | | | | 10/01/2034 | | | | 27,782,768 | |
| | 61,094,869 | | | Pool AS3666 | | | 3.00% | | | | 10/01/2034 | | | | 63,411,081 | |
| | 48,420,362 | | | Pool AS4212 | | | 3.00% | | | | 01/01/2035 | | | | 50,262,448 | |
| | 75,715,796 | | | Pool AS4281 | | | 3.00% | | | | 01/01/2035 | | | | 78,102,494 | |
| | 57,151,990 | | | Pool AS4360 | | | 3.00% | | | | 01/01/2035 | | | | 59,329,735 | |
| | 63,356,456 | | | Pool AS4779 | | | 3.00% | | | | 04/01/2035 | | | | 65,358,485 | |
| | 63,282,676 | | | Pool AS4780 | | | 3.00% | | | | 04/01/2035 | | | | 65,282,345 | |
| | 87,146,390 | | | Pool AS4840 | | | 3.00% | | | | 04/01/2035 | | | | 89,900,193 | |
| | 41,314,157 | | | Pool AS4881 | | | 3.00% | | | | 05/01/2035 | | | | 42,619,654 | |
| | 41,517,070 | | | Pool AS4882 | | | 3.00% | | | | 05/01/2035 | | | | 42,828,975 | |
| |
| | | | Federal National Mortgage Association, | |
| | 1,614,105 | | | Series 2002-70-QZ | | | 5.50% | | | | 11/25/2032 | | | | 1,752,847 | |
| | 2,539,728 | | | Series 2002-75-ZG | | | 5.50% | | | | 11/25/2032 | | | | 2,862,680 | |
| | 2,095,432 | | | Series 2003-117-KS | | | 6.91% | # I/F I/O | | | 08/25/2033 | | | | 143,488 | |
| | 29,758,617 | | | Series 2003-129-ZT | | | 5.50% | | | | 01/25/2034 | | | | 33,982,600 | |
| | 6,775,282 | | | Series 2003-29-ZL | | | 5.00% | | | | 04/25/2033 | | | | 7,492,900 | |
| | 3,181,526 | | | Series 2003-64-ZG | | | 5.50% | | | | 07/25/2033 | | | | 3,496,078 | |
| | 23,299,753 | | | Series 2003-84-PZ | | | 5.00% | | | | 09/25/2033 | | | | 26,074,439 | |
| | 18,637,802 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 21,331,085 | |
| | 6,976,573 | | | Series 2004-46-PJ | | | 5.81% | # I/F I/O | | | 03/25/2034 | | | | 1,060,202 | |
| | 5,621,358 | | | Series 2004-51-XP | | | 7.51% | # I/F I/O | | | 07/25/2034 | | | | 1,257,085 | |
| | 5,000,000 | | | Series 2004-W10-A6 | | | 5.75% | | | | 08/25/2034 | | | | 5,678,387 | |
| | 3,762,351 | | | Series 2004-W4-A5 | | | 5.50% | | | | 06/25/2034 | | | | 3,949,981 | |
| | 522,665 | | | Series 2005-107-EG | | | 4.50% | | | | 01/25/2026 | | | | 561,946 | |
| | 1,600,583 | | | Series 2005-37-ZK | | | 4.50% | | | | 05/25/2035 | | | | 1,714,160 | |
| | 14,013,622 | | | Series 2005-87-SE | | | 5.86% | # I/F I/O | | | 10/25/2035 | | | | 2,349,005 | |
| | 11,396,620 | | | Series 2005-87-SG | | | 6.51% | # I/F I/O | | | 10/25/2035 | | | | 2,244,240 | |
| | 9,094,484 | | | Series 2006-101-SA | | | 6.39% | # I/F I/O | | | 10/25/2036 | | | | 1,818,538 | |
| | 3,717,016 | | | Series 2006-123-LI | | | 6.13% | # I/F I/O | | | 01/25/2037 | | | | 702,174 | |
| | 4,444,782 | | | Series 2006-16-HZ | | | 5.50% | | | | 03/25/2036 | | | | 4,833,171 | |
| | 16,204,565 | | | Series 2006-56-SM | | | 6.56% | # I/F I/O | | | 07/25/2036 | | | | 3,229,570 | |
| | 21,518,813 | | | Series 2006-60-YI | | | 6.38% | # I/F I/O | | | 07/25/2036 | | | | 5,097,312 | |
| | 2,494,809 | | | Series 2006-93-SN | | | 6.41% | # I/F I/O | | | 10/25/2036 | | | | 436,416 | |
| | 12,730,613 | | | Series 2007-109-VZ | | | 5.00% | | | | 10/25/2035 | | | | 14,421,442 | |
| | 2,658,160 | | | Series 2007-116-BI | | | 6.06% | # I/F I/O | | | 05/25/2037 | | | | 472,722 | |
| | 14,683,145 | | | Series 2007-14-PS | | | 6.62% | # I/F I/O | | | 03/25/2037 | | | | 2,628,085 | |
| | 7,044,456 | | | Series 2007-30-OI | | | 6.25% | # I/F I/O | | | 04/25/2037 | | | | 1,464,912 | |
| | 1,809,516 | | | Series 2007-30-SI | | | 5.92% | # I/F I/O | | | 04/25/2037 | | | | 270,537 | |
| | 7,733,192 | | | Series 2007-32-SG | | | 5.91% | # I/F I/O | | | 04/25/2037 | | | | 1,130,689 | |
| | 6,445,155 | | | Series 2007-57-SX | | | 6.43% | # I/F I/O | | | 10/25/2036 | | | | 1,041,189 | |
| | 11,471,136 | | | Series 2007-60-VZ | | | 6.00% | | | | 07/25/2037 | | | | 13,006,749 | |
| | 4,249,316 | | | Series 2007-71-GZ | | | 6.00% | | | | 07/25/2047 | | | | 4,659,241 | |
| | 7,461,742 | | | Series 2007-75-ID | | | 5.68% | # I/F I/O | | | 08/25/2037 | | | | 1,356,063 | |
| | 38,858 | | | Series 2007-93-SB | | | 3.96% | # I/F I/O | | | 01/25/2036 | | | | 442 | |
| | 3,252,769 | | | Series 2007-9-SD | | | 6.46% | # I/F I/O | | | 03/25/2037 | | | | 448,617 | |
| | 2,885,161 | | | Series 2008-27-B | | | 5.50% | | | | 04/25/2038 | | | | 3,138,803 | |
| | 9,611,666 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 10,441,532 | |
| | 17,814,301 | | | Series 2008-48-BE | | | 5.00% | | | | 06/25/2034 | | | | 19,882,924 | |
| | 4,047,834 | | | Series 2008-48-SD | | | 5.81% | # I/F I/O | | | 06/25/2037 | | | | 445,492 | |
| | 4,211,518 | | | Series 2008-53-LI | | | 5.96% | # I/F I/O | | | 07/25/2038 | | | | 512,441 | |
| | 4,623,679 | | | Series 2008-57-SE | | | 5.81% | # I/F I/O | | | 02/25/2037 | | | | 551,210 | |
| | 2,442,608 | | | Series 2008-5-MS | | | 6.06% | # I/F I/O | | | 02/25/2038 | | | | 319,485 | |
| | 3,641,516 | | | Series 2008-61-SC | | | 5.81% | # I/F I/O | | | 07/25/2038 | | | | 534,121 | |
| | | | | | |
| 28 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| | 4,089,127 | | | Series 2008-62-SC | | | 5.81% | # I/F I/O | | | 07/25/2038 | | | | 582,887 | |
| | 5,272,835 | | | Series 2008-65-SA | | | 5.81% | # I/F I/O | | | 08/25/2038 | | | | 789,064 | |
| | 7,320,283 | | | Series 2008-81-LP | | | 5.50% | | | | 09/25/2038 | | | | 8,002,131 | |
| | 16,243,614 | | | Series 2009-106-EZ | | | 4.50% | | | | 01/25/2040 | | | | 17,126,462 | |
| | 4,951,645 | | | Series 2009-111-SE | | | 6.06% | # I/F I/O | | | 01/25/2040 | | | | 615,593 | |
| | 1,355,071 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 1,495,433 | |
| | 10,327,024 | | | Series 2009-42-SI | | | 5.81% | # I/F I/O | | | 06/25/2039 | | | | 1,133,706 | |
| | 5,711,994 | | | Series 2009-42-SX | | | 5.81% | # I/F I/O | | | 06/25/2039 | | | | 897,883 | |
| | 5,242,209 | | | Series 2009-47-SA | | | 5.91% | # I/F I/O | | | 07/25/2039 | | | | 656,167 | |
| | 1,957,083 | | | Series 2009-48-WS | | | 5.76% | # I/F I/O | | | 07/25/2039 | | | | 232,559 | |
| | 11,670,335 | | | Series 2009-49-S | | | 6.56% | # I/F I/O | | | 07/25/2039 | | | | 1,854,860 | |
| | 1,770,119 | | | Series 2009-51-BZ | | | 4.50% | | | | 07/25/2039 | | | | 1,866,578 | |
| | 3,659,159 | | | Series 2009-54-EZ | | | 5.00% | | | | 07/25/2039 | | | | 3,997,258 | |
| | 4,331,077 | | | Series 2009-70-SA | | | 5.61% | # I/F I/O | | | 09/25/2039 | | | | 460,753 | |
| | 10,000,000 | | | Series 2009-80-PM | | | 4.50% | | | | 10/25/2039 | | | | 10,989,130 | |
| | 7,554,773 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 7,979,748 | |
| | 23,900,307 | | | Series 2009-85-ES | | | 7.04% | # I/F I/O | | | 01/25/2036 | | | | 4,957,939 | |
| | 31,620,557 | | | Series 2009-85-JS | | | 6.56% | # I/F I/O | | | 10/25/2039 | | | | 7,400,728 | |
| | 6,736,071 | | | Series 2009-90-IB | | | 5.53% | # I/F I/O | | | 04/25/2037 | | | | 687,005 | |
| | 4,116,567 | | | Series 2009-94-BC | | | 5.00% | | | | 11/25/2039 | | | | 4,450,328 | |
| | 27,973,293 | | | Series 2010-101-SA | | | 4.29% | # I/F I/O | | | 09/25/2040 | | | | 3,840,761 | |
| | 18,924,636 | | | Series 2010-101-ZC | | | 4.50% | | | | 09/25/2040 | | | | 20,366,788 | |
| | 53,706,836 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 59,460,261 | |
| | 11,942,590 | | | Series 2010-10-SA | | | 6.16% | # I/F I/O | | | 02/25/2040 | | | | 2,162,033 | |
| | 6,040,074 | | | Series 2010-10-ZA | | | 4.50% | | | | 02/25/2040 | | | | 6,376,126 | |
| | 3,126,966 | | | Series 2010-111-S | | | 5.76% | # I/F I/O | | | 10/25/2050 | | | | 388,119 | |
| | 11,088,316 | | | Series 2010-116-Z | | | 4.00% | | | | 10/25/2040 | | | | 11,814,789 | |
| | 6,336,836 | | | Series 2010-117-SA | | | 4.31% | # I/F I/O | | | 10/25/2040 | | | | 523,670 | |
| | 8,758,541 | | | Series 2010-120-KD | | | 4.00% | | | | 10/25/2040 | | | | 9,314,367 | |
| | 52,061,390 | | | Series 2010-121-SD | | | 4.31% | # I/F I/O | | | 10/25/2040 | | | | 5,932,369 | |
| | 242,685 | | | Series 2010-126-SU | | | 52.83% | # I/F | | | 11/25/2040 | | | | 825,356 | |
| | 178,693 | | | Series 2010-126-SX | | | 14.41% | # I/F | | | 11/25/2040 | | | | 310,281 | |
| | 13,362,791 | | | Series 2010-128-HZ | | | 4.00% | | | | 11/25/2040 | | | | 14,816,770 | |
| | 11,055,867 | | | Series 2010-132-Z | | | 4.50% | | | | 11/25/2040 | | | | 11,681,480 | |
| | 88,008 | | | Series 2010-137-VS | | | 14.41% | # I/F | | | 12/25/2040 | | | | 137,287 | |
| | 6,470,000 | | | Series 2010-142-AV | | | 4.00% | | | | 11/25/2029 | | | | 6,635,697 | |
| | 18,645,868 | | | Series 2010-142-AZ | | | 4.00% | | | | 12/25/2040 | | | | 20,128,718 | |
| | 28,906,872 | | | Series 2010-148-SA | | | 6.46% | # I/F I/O | | | 01/25/2026 | | | | 4,405,754 | |
| | 32,639,425 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 34,649,524 | |
| | 1,005,984 | | | Series 2010-153-VB | | | 4.00% | | | | 05/25/2027 | | | | 1,007,641 | |
| | 22,656,339 | | | Series 2010-16-SA | | | 5.26% | # I/F I/O | | | 03/25/2040 | | | | 2,846,905 | |
| | 3,623,695 | | | Series 2010-21-DZ | | | 5.00% | | | | 03/25/2040 | | | | 4,124,616 | |
| | 4,533,537 | | | Series 2010-21-KS | | | 4.76% | # I/F I/O | | | 03/25/2040 | | | | 434,812 | |
| | 2,030,605 | | | Series 2010-2-GS | | | 6.26% | # I/F I/O | | | 12/25/2049 | | | | 261,072 | |
| | 5,510,112 | | | Series 2010-2-MS | | | 6.06% | # I/F I/O | | | 02/25/2050 | | | | 867,278 | |
| | 6,983,110 | | | Series 2010-31-SA | | | 4.81% | # I/F I/O | | | 04/25/2040 | | | | 742,193 | |
| | 13,741,070 | | | Series 2010-31-VZ | | | 4.00% | | | | 04/25/2040 | | | | 14,377,570 | |
| | 11,031,968 | | | Series 2010-34-PS | | | 4.74% | # I/F I/O | | | 04/25/2040 | | | | 1,191,039 | |
| | 2,473,554 | | | Series 2010-35-ES | | | 6.26% | # I/F I/O | | | 04/25/2040 | | | | 353,338 | |
| | 3,457,702 | | | Series 2010-35-SV | | | 6.26% | # I/F I/O | | | 04/25/2040 | | | | 433,698 | |
| | 3,736,675 | | | Series 2010-46-MS | | | 4.76% | # I/F I/O | | | 05/25/2040 | | | | 358,213 | |
| | 23,002,792 | | | Series 2010-49-ZW | | | 4.50% | | | | 05/25/2040 | | | | 25,642,511 | |
| | 5,280,647 | | | Series 2010-4-SK | | | 6.04% | # I/F I/O | | | 02/25/2040 | | | | 841,820 | |
| | 2,757,733 | | | Series 2010-58-ES | | | 11.97% | # I/F | | | 06/25/2040 | | | | 3,156,086 | |
| | 13,676,003 | | | Series 2010-59-MS | | | 5.58% | # I/F I/O | | | 06/25/2040 | | | | 2,351,862 | |
| | 27,914,225 | | | Series 2010-59-PS | | | 6.26% | # I/F I/O | | | 03/25/2039 | | | | 3,399,380 | |
| | 14,997,364 | | | Series 2010-59-SC | | | 4.81% | # I/F I/O | | | 01/25/2040 | | | | 1,768,009 | |
| | 2,913,085 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 3,111,495 | |
| | 1,774,249 | | | Series 2010-61-EL | | | 4.50% | | | | 06/25/2040 | | | | 1,916,974 | |
| | 14,205,657 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 15,923,696 | |
| | 41,230,391 | | | Series 2010-76-ZK | | | 4.50% | | | | 07/25/2040 | | | | 46,513,055 | |
| | 13,426,785 | | | Series 2010-79-CZ | | | 4.00% | | | | 07/25/2040 | | | | 14,011,850 | |
| | 36,972,699 | | | Series 2010-79-VZ | | | 4.50% | | | | 07/25/2040 | | | | 41,382,081 | |
| | 11,908,999 | | | Series 2010-84-ZC | | | 4.50% | | | | 08/25/2040 | | | | 12,804,848 | |
| | 23,817,948 | | | Series 2010-84-ZD | | | 4.50% | | | | 08/25/2040 | | | | 25,609,641 | |
| | 26,103,966 | | | Series 2010-84-ZG | | | 4.50% | | | | 08/25/2040 | | | | 27,902,360 | |
| | 3,150,375 | | | Series 2010-90-SA | | | 5.66% | # I/F I/O | | | 08/25/2040 | | | | 419,732 | |
| | 4,404,109 | | | Series 2010-94-Z | | | 4.50% | | | | 08/25/2040 | | | | 4,644,307 | |
| | 8,668,587 | | | Series 2010-99-SG | | | 24.02% | # I/F | | | 09/25/2040 | | | | 14,739,784 | |
| | 6,345,523 | | | Series 2010-9-DS | | | 5.11% | # I/F I/O | | | 02/25/2040 | | | | 691,332 | |
| | 32,878,132 | | | Series 2011-106-LZ | | | 3.50% | | | | 10/25/2041 | | | | 33,566,370 | |
| | 520,021 | | | Series 2011-110-LS | | | 9.71% | # I/F | | | 11/25/2041 | | | | 696,478 | |
| | 23,067,024 | | | Series 2011-111-CZ | | | 4.00% | | | | 11/25/2041 | | | | 25,711,359 | |
| | 8,086,012 | | | Series 2011-111-EZ | | | 5.00% | | | | 11/25/2041 | | | | 9,127,393 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| | 15,136,530 | | | Series 2011-111-VZ | | | 4.00% | | | | 11/25/2041 | | | | 16,598,008 | |
| | 30,000,000 | | | Series 2011-131-PB | | | 4.50% | | | | 12/25/2041 | | | | 34,951,425 | |
| | 29,500,000 | | | Series 2011-16-AL | | | 3.50% | | | | 03/25/2031 | | | | 31,821,694 | |
| | 38,800,000 | | | Series 2011-17-NY | | | 3.50% | | | | 03/25/2031 | | | | 42,109,756 | |
| | 2,839,158 | | | Series 2011-17-SA | | | 6.28% | # I/F I/O | | | 03/25/2041 | | | | 390,467 | |
| | 11,000,000 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 11,389,141 | |
| | 4,744,126 | | | Series 2011-27-BS | | | 8.61% | # I/F | | | 04/25/2041 | | | | 5,164,479 | |
| | 56,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 60,373,236 | |
| | 18,072,771 | | | Series 2011-2-GZ | | | 4.00% | | | | 02/25/2041 | | | | 19,117,585 | |
| | 10,000,000 | | | Series 2011-2-VD | | | 4.00% | | | | 07/25/2027 | | | | 10,288,030 | |
| | 59,842,953 | | | Series 2011-32-X | | | 4.00% | | | | 04/25/2041 | | | | 63,512,522 | |
| | 13,118,582 | | | Series 2011-36-VZ | | | 4.50% | | | | 05/25/2041 | | | | 13,840,531 | |
| | 29,860,025 | | | Series 2011-37-Z | | | 4.50% | | | | 05/25/2041 | | | | 31,997,256 | |
| | 7,942,590 | | | Series 2011-38-BZ | | | 4.00% | | | | 05/25/2041 | | | | 8,311,289 | |
| | 8,748,233 | | | Series 2011-39-CB | | | 3.00% | | | | 05/25/2026 | | | | 9,081,108 | |
| | 9,787,514 | | | Series 2011-40-LZ | | | 4.50% | | | | 05/25/2041 | | | | 10,333,247 | |
| | 19,154,894 | | | Series 2011-42-MZ | | | 4.50% | | | | 05/25/2041 | | | | 20,831,340 | |
| | 17,862,227 | | | Series 2011-45-ZA | | | 4.00% | | | | 05/25/2031 | | | | 19,166,812 | |
| | 28,794,249 | | | Series 2011-45-ZB | | | 4.50% | | | | 05/25/2041 | | | | 31,660,875 | |
| | 9,670,677 | | | Series 2011-48-SC | | | 8.81% | # I/F | | | 06/25/2041 | | | | 10,171,966 | |
| | 21,519,941 | | | Series 2011-58-SA | | | 6.36% | # I/F I/O | | | 07/25/2041 | | | | 4,408,349 | |
| | 3,895,147 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 4,216,446 | |
| | 13,969,748 | | | Series 2011-60-EL | | | 3.00% | | | | 07/25/2026 | | | | 14,680,103 | |
| | 11,947,899 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 12,248,245 | |
| | 39,867,893 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 43,125,777 | |
| | 11,687,333 | | | Series 2011-74-KL | | | 5.00% | | | | 06/25/2040 | | | | 12,848,294 | |
| | 24,152,566 | | | Series 2011-77-Z | | | 3.50% | | | | 08/25/2041 | | | | 24,628,166 | |
| | 21,787,531 | | | Series 2011-8-AV | | | 4.00% | | | | 01/25/2030 | | | | 22,905,308 | |
| | 23,936,288 | | | Series 2011-99-CZ | | | 4.50% | | | | 10/25/2041 | | | | 27,525,151 | |
| | 109,880,582 | | | Series 2011-99-DZ | | | 5.00% | | | | 10/25/2041 | | | | 124,113,854 | |
| | 11,473,464 | | | Series 2012-104-Z | | | 3.50% | | | | 09/25/2042 | | | | 11,565,992 | |
| | 11,301,200 | | | Series 2012-111-LB | | | 3.50% | | | | 05/25/2041 | | | | 11,790,282 | |
| | 48,973,032 | | | Series 2012-111-MJ | | | 4.00% | | | | 04/25/2042 | | | | 52,409,029 | |
| | 36,924,341 | | | Series 2012-114-DC | | | 2.00% | | | | 08/25/2039 | | | | 36,935,658 | |
| | 142,203,188 | | | Series 2012-122-AD | | | 2.00% | | | | 02/25/2040 | | | | 142,711,351 | |
| | 103,595,388 | | | Series 2012-122-DB | | | 3.00% | | | | 11/25/2042 | | | | 105,053,597 | |
| | 113,229,395 | | | Series 2012-125-LA | | | 3.00% | | | | 11/25/2042 | | | | 114,540,704 | |
| | 11,863,525 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 13,524,170 | |
| | 75,919,800 | | | Series 2012-144-PT | | | 4.37% | # | | | 11/25/2049 | | | | 79,290,221 | |
| | 9,807,635 | | | Series 2012-14-BZ | | | 4.00% | | | | 03/25/2042 | | | | 10,457,023 | |
| | 21,260,445 | | | Series 2012-15-PZ | | | 4.00% | | | | 03/25/2042 | | | | 24,042,193 | |
| | 17,001,207 | | | Series 2012-20-ZT | | | 3.50% | | | | 03/25/2042 | | | | 17,340,508 | |
| | 51,750,271 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 56,770,177 | |
| | 42,550,223 | | | Series 2012-31-Z | | | 4.00% | | | | 04/25/2042 | | | | 44,628,099 | |
| | 19,239,809 | | | Series 2012-63-EB | | | 2.00% | | | | 08/25/2040 | | | | 19,044,073 | |
| | 30,570,341 | | | Series 2012-74-Z | | | 4.00% | | | | 07/25/2042 | | | | 32,790,360 | |
| | 15,244,955 | | | Series 2012-80-EA | | | 2.00% | | | | 04/25/2042 | | | | 14,687,607 | |
| | 22,572,912 | | | Series 2012-86-ZC | | | 3.50% | | | | 08/25/2042 | | | | 23,434,023 | |
| | 31,449,979 | | | Series 2012-96-VZ | | | 3.50% | | | | 09/25/2042 | | | | 31,723,594 | |
| | 74,260,205 | | | Series 2012-98-BG | | | 4.50% | | | | 08/25/2040 | | | | 80,687,648 | |
| | 93,579,130 | | | Series 2012-99-QE | | | 3.00% | | | | 09/25/2042 | | | | 96,446,909 | |
| | 23,650,132 | | | Series 2013-130-ZE | | | 3.00% | | | | 01/25/2044 | | | | 22,220,174 | |
| | 11,316,724 | | | Series 2013-36-Z | | | 3.00% | | | | 04/25/2043 | | | | 10,718,573 | |
| | 24,899,246 | | | Series 2013-41-ZH | | | 3.00% | | | | 05/25/2033 | | | | 24,555,275 | |
| | 19,292,416 | | | Series 2013-51-HS | | | 5.17% | # I/F | | | 04/25/2043 | | | | 18,012,132 | |
| | 9,049,662 | | | Series 2013-53-AB | | | 1.50% | | | | 03/25/2028 | | | | 8,922,971 | |
| | 8,605,363 | | | Series 2013-58-SC | | | 5.71% | # I/F | | | 06/25/2043 | | | | 8,206,690 | |
| | 122,041,758 | | | Series 2013-81-ZQ | | | 3.00% | | | | 08/25/2043 | | | | 113,256,521 | |
| | 39,760,470 | | | Series 2013-82-SH | | | 5.86% | # I/F I/O | | | 12/25/2042 | | | | 7,605,522 | |
| | 24,345,001 | | | Series 2013-8-Z | | | 3.00% | | | | 02/25/2043 | | | | 23,232,070 | |
| | 21,137,914 | | | Series 2014-12-GZ | | | 3.50% | | | | 03/25/2044 | | | | 21,701,250 | |
| | 23,011,321 | | | Series 2014-21-GZ | | | 3.00% | | | | 04/25/2044 | | | | 21,601,037 | |
| | 27,533,241 | | | Series 2014-37-ZY | | | 2.50% | | | | 07/25/2044 | | | | 23,977,819 | |
| | 20,763,268 | | | Series 2014-39-ZA | | | 3.00% | | | | 07/25/2044 | | | | 20,152,382 | |
| | 15,053,688 | | | Series 2014-46-NZ | | | 3.00% | | | | 06/25/2043 | | | | 14,543,729 | |
| | 82,012,548 | | | Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 85,436,695 | |
| | 10,783,824 | | | Series 2014-56-AD | | | 3.00% | | | | 01/25/2040 | | | | 10,989,854 | |
| | 52,259,605 | | | Series 2014-60-EZ | | | 3.00% | | | | 10/25/2044 | | | | 48,588,499 | |
| | 36,889,321 | | | Series 2014-61-ZV | | | 3.00% | | | | 10/25/2044 | | | | 34,423,030 | |
| | 31,108,773 | | | Series 2014-64-NZ | | | 3.00% | | | | 10/25/2044 | | | | 29,186,811 | |
| | 166,781,592 | | | Series 2014-65-CD | | | 3.00% | | | | 06/25/2040 | | | | 172,625,035 | |
| | 10,953,968 | | | Series 2014-67-DZ | | | 3.00% | | | | 10/25/2044 | | | | 10,221,312 | |
| | 158,465,659 | | | Series 2014-68-MA | | | 3.00% | | | | 11/25/2040 | | | | 163,521,981 | |
| | 35,018,083 | | | Series 2014-68-MZ | | | 3.00% | | | | 11/25/2044 | | | | 32,508,740 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 29 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| | 25,020,041 | | | Series 2014-6-Z | | | 2.50% | | | | 02/25/2044 | | | | 20,968,984 | |
| | 68,377,794 | | | Series 2014-73-CQ | | | 3.00% | | | | 06/25/2040 | | | | 70,748,145 | |
| | 19,768,075 | | | Series 2014-77-VZ | | | 3.00% | | | | 11/25/2044 | | | | 18,610,289 | |
| | 37,762,888 | | | Series 2014-82-YA | | | 3.00% | | | | 04/25/2041 | | | | 39,057,475 | |
| | 25,387,399 | | | Series 2014-84-KZ | | | 3.00% | | | | 12/25/2044 | | | | 23,914,967 | |
| | 181,754,199 | | | Series 2014-95-NA | | | 3.00% | | | | 04/25/2041 | | | | 188,220,014 | |
| | 198,735,680 | | | Series 2014-M11-1A | | | 3.22% | # | | | 08/25/2024 | | | | 210,138,140 | |
| | 63,288,213 | | | Series 2015-11-A | | | 3.00% | | | | 05/25/2034 | | | | 66,279,910 | |
| | 149,406,219 | | | Series 2015-21-G | | | 3.00% | | | | 02/25/2042 | | | | 155,662,679 | |
| | 27,965,162 | | | Series 2015-42-CA | | | 3.00% | | | | 03/25/2044 | | | | 28,918,425 | |
| | 86,619,579 | | | Series 2015-49-A | | | 3.00% | | | | 03/25/2044 | | | | 89,963,268 | |
| | 24,696,292 | | | Series 2015-63-KD | | | 3.00% | | | | 07/25/2041 | | | | 25,413,633 | |
| | 19,795,704 | | | Series 400-S4 | | | 5.26% | # I/F I/O | | | 11/25/2039 | | | | 2,795,669 | |
| | 155,144,955 | | | Series 412-A3 | | | 3.00% | | | | 08/25/2042 | | | | 158,292,632 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 19,666,936 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 21,762,744 | |
| | 21,015,471 | | | Pool 735141 | | | 5.50% | | | | 01/01/2035 | | | | 23,670,279 | |
| | 7,852,838 | | | Pool 735230 | | | 5.50% | | | | 02/01/2035 | | | | 8,854,190 | |
| | 14,699,747 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 16,242,229 | |
| | 24,159,836 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 26,696,569 | |
| | 17,081,060 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 18,861,890 | |
| | 6,463,069 | | | Pool 735667 | | | 5.00% | | | | 07/01/2035 | | | | 7,160,449 | |
| | 5,540,378 | | | Pool 735893 | | | 5.00% | | | | 10/01/2035 | | | | 6,107,766 | |
| | 14,020,771 | | | Pool 745275 | | | 5.00% | | | | 02/01/2036 | | | | 15,462,729 | |
| | 1,582,205 | | | Pool 745571 | | | 4.00% | | | | 01/01/2019 | | | | 1,656,339 | |
| | 628,250 | | | Pool 888695 | | | 5.00% | | | | 08/01/2037 | | | | 691,730 | |
| | 2,847,625 | | | Pool 888968 | | | 5.00% | | | | 08/01/2035 | | | | 3,153,945 | |
| | 7,703,307 | | | Pool 889509 | | | 6.00% | | | | 05/01/2038 | | | | 8,729,156 | |
| | 14,979,414 | | | Pool 889662 | | | 6.00% | | | | 06/01/2038 | | | | 16,935,858 | |
| | 20,910,052 | | | Pool 890549 | | | 4.00% | | | | 11/01/2043 | | | | 22,598,477 | |
| | 22,382,729 | | | Pool 890565 | | | 3.00% | | | | 11/01/2043 | | | | 22,783,744 | |
| | 2,156,020 | | | Pool 929321 | | | 5.50% | | | | 03/01/2038 | | | | 2,409,467 | |
| | 1,627,538 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 1,799,866 | |
| | 1,151,853 | | | Pool 961410 | | | 6.00% | | | | 01/01/2038 | | | | 1,300,721 | |
| | 472,990 | | | Pool 975116 | | | 5.00% | | | | 05/01/2038 | | | | 520,782 | |
| | 5,547,493 | | | Pool 982036 | | | 6.00% | | | | 05/01/2038 | | | | 6,272,889 | |
| | 5,120,111 | | | Pool 985190 | | | 6.00% | | | | 08/01/2038 | | | | 5,795,523 | |
| | 2,563,560 | | | Pool 986864 | | | 6.50% | | | | 08/01/2038 | | | | 2,930,879 | |
| | 3,445,993 | | | Pool 987316 | | | 6.50% | | | | 09/01/2038 | | | | 3,939,307 | |
| | 13,351,959 | | | Pool 995070 | | | 5.50% | | | | 08/01/2037 | | | | 15,060,128 | |
| | 49,636,116 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 55,929,047 | |
| | 25,689,748 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 28,455,283 | |
| | 2,024,852 | | | Pool 995581 | | | 6.00% | | | | 01/01/2039 | | | | 2,294,480 | |
| | 43,620,155 | | | Pool 995849 | | | 5.00% | | | | 08/01/2036 | | | | 48,313,028 | |
| | 34,555,739 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 37,273,345 | |
| | 695,227 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 735,150 | |
| | 4,792,329 | | | Pool AB3713 | | | 4.00% | | | | 10/01/2031 | | | | 5,125,467 | |
| | 17,937,792 | | | Pool AB3796 | | | 3.50% | | | | 11/01/2031 | | | | 18,994,520 | |
| | 9,762,332 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 10,241,142 | |
| | 16,845,119 | | | Pool AB3923 | | | 4.00% | | | | 11/01/2041 | | | | 17,671,545 | |
| | 56,198,434 | | | Pool AB4167 | | | 3.50% | | | | 01/01/2032 | | | | 59,529,696 | |
| | 55,597,764 | | | Pool AB4261 | | | 3.50% | | | | 01/01/2032 | | | | 58,892,201 | |
| | 10,664,392 | | | Pool AB5084 | | | 3.50% | | | | 05/01/2032 | | | | 11,297,496 | |
| | 21,903,012 | | | Pool AB5156 | | | 3.50% | | | | 05/01/2032 | | | | 23,203,213 | |
| | 35,209,119 | | | Pool AB5212 | | | 3.50% | | | | 05/01/2032 | | | | 37,288,872 | |
| | 13,489,357 | | | Pool AB5243 | | | 4.00% | | | | 05/01/2042 | | | | 14,151,485 | |
| | 48,687,875 | | | Pool AB5911 | | | 3.00% | | | | 08/01/2032 | | | | 50,568,224 | |
| | 12,969,293 | | | Pool AB6280 | | | 3.00% | | | | 09/01/2042 | | | | 13,190,228 | |
| | 20,888,595 | | | Pool AB6349 | | | 3.00% | | | | 10/01/2032 | | | | 21,686,619 | |
| | 60,603,442 | | | Pool AB6750 | | | 3.00% | | | | 10/01/2032 | | | | 62,945,065 | |
| | 29,796,047 | | | Pool AB6751 | | | 3.00% | | | | 10/01/2032 | | | | 30,947,525 | |
| | 160,526,810 | | | Pool AB6854 | | | 3.00% | | | | 11/01/2042 | | | | 163,402,845 | |
| | 121,253,170 | | | Pool AB7077 | | | 3.00% | | | | 11/01/2042 | | | | 123,401,899 | |
| | 99,117,848 | | | Pool AB7344 | | | 3.00% | | | | 12/01/2032 | | | | 102,952,198 | |
| | 42,418,523 | | | Pool AB7776 | | | 3.00% | | | | 02/01/2043 | | | | 43,139,294 | |
| | 52,213,740 | | | Pool AB7877 | | | 3.00% | | | | 02/01/2043 | | | | 53,100,958 | |
| | 24,479,685 | | | Pool AB8418 | | | 3.00% | | | | 02/01/2033 | | | | 25,424,555 | |
| | 36,745,463 | | | Pool AB8520 | | | 3.00% | | | | 02/01/2033 | | | | 38,166,743 | |
| | 39,138,199 | | | Pool AB8703 | | | 3.00% | | | | 03/01/2038 | | | | 40,009,743 | |
| | 20,728,920 | | | Pool AB8858 | | | 3.00% | | | | 04/01/2033 | | | | 21,531,334 | |
| | 32,482,215 | | | Pool AB9020 | | | 3.00% | | | | 04/01/2038 | | | | 33,206,721 | |
| | 33,226,698 | | | Pool AB9197 | | | 3.00% | | | | 05/01/2033 | | | | 34,511,750 | |
| | 98,966,525 | | | Pool AB9406 | | | 3.00% | | | | 05/01/2033 | | | | 102,790,605 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| | 20,833,559 | | | Pool AB9409 | | | 3.00% | | | | 05/01/2033 | | | | 21,640,050 | |
| | 1,275,449 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 1,378,702 | |
| | 47,290,615 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 53,273,718 | |
| | 22,063,328 | | | Pool AD0500 | | | 5.50% | | | | 09/01/2036 | | | | 24,868,186 | |
| | 1,312,172 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 1,432,012 | |
| | 2,319,735 | | | Pool AD6438 | | | 5.00% | | | | 06/01/2040 | | | | 2,560,546 | |
| | 1,613,790 | | | Pool AD7859 | | | 5.00% | | | | 06/01/2040 | | | | 1,776,899 | |
| | 15,282,103 | | | Pool AH0607 | | | 4.00% | | | | 12/01/2040 | | | | 16,411,859 | |
| | 2,729,169 | | | Pool AH1140 | | | 4.50% | | | | 12/01/2040 | | | | 2,885,041 | |
| | 15,461,705 | | | Pool AH4437 | | | 4.00% | | | | 01/01/2041 | | | | 16,218,831 | |
| | 3,589,406 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 3,839,821 | |
| | 17,524,374 | | | Pool AH9323 | | | 4.00% | | | | 04/01/2026 | | | | 18,665,294 | |
| | 2,115,534 | | | Pool AI8889 | | | 4.00% | | | | 08/01/2041 | | | | 2,219,051 | |
| | 9,750,722 | | | Pool AI9831 | | | 4.00% | | | | 09/01/2041 | | | | 10,211,389 | |
| | 2,907,250 | | | Pool AJ1265 | | | 4.00% | | | | 09/01/2041 | | | | 3,049,626 | |
| | 5,227,844 | | | Pool AJ1399 | | | 4.00% | | | | 09/01/2041 | | | | 5,482,394 | |
| | 16,842,542 | | | Pool AJ1467 | | | 4.00% | | | | 10/01/2041 | | | | 17,664,642 | |
| | 10,102,657 | | | Pool AJ3392 | | | 4.00% | | | | 10/01/2041 | | | | 10,598,260 | |
| | 4,585,997 | | | Pool AJ3854 | | | 4.00% | | | | 10/01/2041 | | | | 4,809,854 | |
| | 53,432,906 | | | Pool AJ4118 | | | 4.00% | | | | 11/01/2041 | | | | 56,041,040 | |
| | 12,537,985 | | | Pool AJ4131 | | | 4.00% | | | | 10/01/2041 | | | | 13,130,769 | |
| | 2,623,756 | | | Pool AJ5172 | | | 4.00% | | | | 11/01/2041 | | | | 2,748,775 | |
| | 58,569,900 | | | Pool AJ5322 | | | 4.00% | | | | 11/01/2041 | | | | 62,743,570 | |
| | 29,240,030 | | | Pool AJ7677 | | | 3.50% | | | | 12/01/2041 | | | | 30,225,916 | |
| | 5,405,999 | | | Pool AJ8334 | | | 4.00% | | | | 12/01/2041 | | | | 5,661,605 | |
| | 58,187,845 | | | Pool AK0713 | | | 3.50% | | | | 01/01/2032 | | | | 61,641,324 | |
| | 15,015,142 | | | Pool AK4039 | | | 4.00% | | | | 02/01/2042 | | | | 15,748,090 | |
| | 11,575,831 | | | Pool AK4763 | | | 4.00% | | | | 02/01/2042 | | | | 12,141,981 | |
| | 13,460,556 | | | Pool AK9438 | | | 4.00% | | | | 03/01/2042 | | | | 14,117,589 | |
| | 17,755,081 | | | Pool AK9439 | | | 4.00% | | | | 03/01/2042 | | | | 18,621,736 | |
| | 2,232,237 | | | Pool AK9446 | | | 4.50% | | | | 03/01/2042 | | | | 2,363,159 | |
| | 13,881,270 | | | Pool AL1485 | | | 6.00% | | | | 01/01/2040 | | | | 15,731,510 | |
| | 7,706,728 | | | Pool AL1548 | | | 6.00% | | | | 07/01/2039 | | | | 8,736,413 | |
| | 14,943,667 | | | Pool AL1554 | | | 6.00% | | | | 01/01/2040 | | | | 16,927,351 | |
| | 29,286,669 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 33,124,015 | |
| | 39,695,912 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 44,939,438 | |
| | 12,310,972 | | | Pool AL1745 | | | 6.00% | | | | 03/01/2040 | | | | 13,910,984 | |
| | 14,312,194 | | | Pool AL1793 | | | 6.00% | | | | 01/01/2041 | | | | 16,206,726 | |
| | 121,764,726 | | | Pool AL3038 | | | 3.00% | | | | 01/01/2033 | | | | 126,477,821 | |
| | 168,092,147 | | | Pool AL3699 | | | 3.00% | | | | 06/01/2043 | | | | 170,953,703 | |
| | 84,935,375 | | | Pool AL3883 | | | 3.00% | | | | 07/01/2043 | | | | 86,378,445 | |
| | 8,178,368 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 8,787,673 | |
| | 16,846,351 | | | Pool AL4312 | | | 4.00% | | | | 10/01/2043 | | | | 18,169,524 | |
| | 34,479,905 | | | Pool AL6075 | | | 3.50% | | | | 09/01/2053 | | | | 35,377,622 | |
| | 43,087,923 | | | Pool AL6076 | | | 3.00% | | | | 06/01/2053 | | | | 43,059,205 | |
| | 152,593,573 | | | Pool AL6141 | | | 4.00% | | | | 04/01/2042 | | | | 163,715,221 | |
| | 88,547,647 | | | Pool AL6325 | | | 3.00% | | | | 10/01/2044 | | | | 90,076,331 | |
| | 65,749,765 | | | Pool AL6486 | | | 4.50% | | | | 02/01/2045 | | | | 71,487,318 | |
| | 144,054,906 | | | Pool AL6538 | | | 4.50% | | | | 06/01/2044 | | | | 156,468,517 | |
| | 56,518,322 | | | Pool AO2980 | | | 4.00% | | | | 05/01/2042 | | | | 59,285,349 | |
| | 108,049,019 | | | Pool AP4787 | | | 3.50% | | | | 09/01/2042 | | | | 111,685,271 | |
| | 102,931,103 | | | Pool AP4789 | | | 3.50% | | | | 09/01/2042 | | | | 106,382,907 | |
| | 24,726,680 | | | Pool AQ5541 | | | 3.00% | | | | 12/01/2042 | | | | 25,105,274 | |
| | 30,046,512 | | | Pool AR9856 | | | 3.00% | | | | 04/01/2043 | | | | 30,575,205 | |
| | 59,511,884 | | | Pool AS1927 | | | 4.50% | | | | 03/01/2044 | | | | 64,598,603 | |
| | 64,334,222 | | | Pool AS2038 | | | 4.50% | | | | 03/01/2044 | | | | 69,872,009 | |
| | 56,735,804 | | | Pool AS2517 | | | 4.50% | | | | 05/01/2044 | | | | 61,616,542 | |
| | 29,046,161 | | | Pool AS2551 | | | 4.50% | | | | 06/01/2044 | | | | 31,576,830 | |
| | 26,498,785 | | | Pool AS2765 | | | 4.50% | | | | 07/01/2044 | | | | 28,812,631 | |
| | 61,872,545 | | | Pool AS3201 | | | 3.00% | | | | 08/01/2034 | | | | 64,329,563 | |
| | 239,526,403 | | | Pool AS3961 | | | 3.00% | | | | 12/01/2044 | | | | 243,193,828 | |
| | 65,165,368 | | | Pool AS4154 | | | 3.00% | | | | 12/01/2044 | | | | 66,163,124 | |
| | 403,225,843 | | | Pool AS4625 | | | 3.00% | | | | 03/01/2045 | | | | 409,399,695 | |
| | 166,592,163 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 169,142,881 | |
| | 119,129,942 | | | Pool AY3974 | | | 3.00% | | | | 03/01/2045 | | | | 120,953,959 | |
| | 48,738,727 | | | Pool AY4295 | | | 3.00% | | | | 02/01/2045 | | | | 49,081,946 | |
| | 25,800,509 | | | Pool AY4296 | | | 3.00% | | | | 01/01/2045 | | | | 25,980,613 | |
| | 25,528,603 | | | Pool AY5471 | | | 3.00% | | | | 03/01/2045 | | | | 25,709,230 | |
| | 4,873,025 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 5,315,808 | |
| | 122,624 | | | Pool MA0315 | | | 4.50% | | | | 01/01/2025 | | | | 123,668 | |
| | 18,869,395 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 20,583,436 | |
| | 4,178,787 | | | Pool MA0406 | | | 4.50% | | | | 05/01/2030 | | | | 4,558,495 | |
| | 300,188 | | | Pool MA0445 | | | 5.00% | | | | 06/01/2040 | | | | 321,555 | |
| | 1,267,346 | | | Pool MA0459 | | | 4.00% | | | | 07/01/2020 | | | | 1,329,782 | |
| | | | | | |
| 30 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| | 905,764 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 979,000 | |
| | 4,147,003 | | | Pool MA0502 | | | 4.00% | | | | 08/01/2020 | | | | 4,351,477 | |
| | 1,831,917 | | | Pool MA0517 | | | 4.00% | | | | 09/01/2020 | | | | 1,922,634 | |
| | 5,849,118 | | | Pool MA0534 | | | 4.00% | | | | 10/01/2030 | | | | 6,296,906 | |
| | 11,247,377 | | | Pool MA0536 | | | 4.00% | | | | 10/01/2020 | | | | 11,803,119 | |
| | 13,634,297 | | | Pool MA0580 | | | 4.00% | | | | 11/01/2020 | | | | 14,292,532 | |
| | 1,203,413 | | | Pool MA0587 | | | 4.00% | | | | 12/01/2030 | | | | 1,297,928 | |
| | 30,494,219 | | | Pool MA0616 | | | 4.00% | | | | 01/01/2031 | | | | 32,888,859 | |
| | 12,688,437 | | | Pool MA0896 | | | 4.00% | | | | 11/01/2041 | | | | 13,306,537 | |
| | 213,164,384 | | | Pool MA0919 | | | 3.50% | | | | 12/01/2031 | | | | 225,746,766 | |
| | 91,108,534 | | | Pool MA0949 | | | 3.50% | | | | 01/01/2032 | | | | 96,487,776 | |
| | 107,985,128 | | | Pool MA0976 | | | 3.50% | | | | 02/01/2032 | | | | 114,377,040 | |
| | 52,827,654 | | | Pool MA1010 | | | 3.50% | | | | 03/01/2032 | | | | 55,948,963 | |
| | 16,322,041 | | | Pool MA1039 | | | 3.50% | | | | 04/01/2042 | | | | 16,871,332 | |
| | 71,216,555 | | | Pool MA1059 | | | 3.50% | | | | 05/01/2032 | | | | 75,437,401 | |
| | 10,125,466 | | | Pool MA1068 | | | 3.50% | | | | 05/01/2042 | | | | 10,466,218 | |
| | 154,136,676 | | | Pool MA1084 | | | 3.50% | | | | 06/01/2032 | | | | 163,268,480 | |
| | 23,208,195 | | | Pool MA1093 | | | 3.50% | | | | 06/01/2042 | | | | 23,991,754 | |
| | 20,521,057 | | | Pool MA1094 | | | 4.00% | | | | 06/01/2042 | | | | 21,531,240 | |
| | 91,640,961 | | | Pool MA1107 | | | 3.50% | | | | 07/01/2032 | | | | 97,060,403 | |
| | 211,348,670 | | | Pool MA1117 | | | 3.50% | | | | 07/01/2042 | | | | 218,450,921 | |
| | 251,010,030 | | | Pool MA1136 | | | 3.50% | | | | 08/01/2042 | | | | 259,457,566 | |
| | 60,671,182 | | | Pool MA1138 | | | 3.50% | | | | 08/01/2032 | | | | 64,260,830 | |
| | 67,938,663 | | | Pool MA1179 | | | 3.50% | | | | 09/01/2042 | | | | 70,220,402 | |
| | 12,053,741 | | | Pool MA1201 | | | 3.50% | | | | 10/01/2032 | | | | 12,767,600 | |
| | 151,710,724 | | | Pool MA1209 | | | 3.50% | | | | 10/01/2042 | | | | 156,816,559 | |
| | 367,812,427 | | | Pool MA1237 | | | 3.00% | | | | 11/01/2032 | | | | 382,023,978 | |
| | 9,213,449 | | | Pool MA1242 | | | 3.50% | | | | 11/01/2042 | | | | 9,523,550 | |
| | 283,212,693 | | | Pool MA1275 | | | 3.00% | | | | 12/01/2032 | | | | 294,143,935 | |
| | 38,483,402 | | | Pool MA1338 | | | 3.00% | | | | 02/01/2033 | | | | 39,968,454 | |
| | 151,907,371 | | | Pool MA1366 | | | 3.00% | | | | 03/01/2033 | | | | 157,777,950 | |
| | 92,798,887 | | | Pool MA1401 | | | 3.00% | | | | 04/01/2033 | | | | 96,385,429 | |
| | 164,519,567 | | | Pool MA1459 | | | 3.00% | | | | 06/01/2033 | | | | 170,866,981 | |
| | 20,666,075 | | | Pool MA1490 | | | 3.00% | | | | 07/01/2033 | | | | 21,489,945 | |
| | 138,136,314 | | | Pool MA2018 | | | 3.50% | | | | 09/01/2034 | | | | 146,042,261 | |
| | 69,776,698 | | | Pool MA2114 | | | 3.50% | | | | 12/01/2044 | | | | 72,108,352 | |
| | 57,072,344 | | | Pool MA2151 | | | 3.50% | | | | 01/01/2045 | | | | 58,980,168 | |
| | 81,300,356 | | | Pool MA2164 | | | 3.50% | | | | 02/01/2035 | | | | 85,773,649 | |
| | 213,345,253 | | | Pool MA2166 | | | 3.50% | | | | 02/01/2045 | | | | 220,462,886 | |
| | 146,834,334 | | | Pool MA2248 | | | 3.00% | | | | 04/01/2045 | | | | 147,875,999 | |
| | 148,235,683 | | | Pool MA2270 | | | 3.00% | | | | 05/01/2045 | | | | 149,288,124 | |
| | 15,803,510 | | | Pool MA3894 | | | 4.00% | | | | 09/01/2031 | | | | 17,044,454 | |
| |
| | | | Government National Mortgage Association, | |
| | 14,882,861 | | | Pool MA2511M | | | 3.50% | | | | 01/20/2045 | | | | 15,425,898 | |
| | 14,700,000 | | | Series 2003-67-SP | | | 6.88% | # I/F I/O | | | 08/20/2033 | | | | 4,789,356 | |
| | 10,604,805 | | | Series 2003-86-ZK | | | 5.00% | | | | 10/20/2033 | | | | 11,738,014 | |
| | 4,888,652 | | | Series 2004-49-Z | | | 6.00% | | | | 06/20/2034 | | | | 5,535,997 | |
| | 4,156,067 | | | Series 2004-80-PH | | | 5.00% | | | | 07/20/2034 | | | | 4,389,139 | |
| | 10,720,373 | | | Series 2004-83-CS | | | 5.86% | # I/F I/O | | | 10/20/2034 | | | | 1,775,170 | |
| | 2,832,076 | | | Series 2005-21-Z | | | 5.00% | | | | 03/20/2035 | | | | 3,162,017 | |
| | 22,104,471 | | | Series 2005-39-ZB | | | 5.00% | | | | 07/20/2034 | | | | 25,061,364 | |
| | 919,533 | | | Series 2006-24-CX | | | 38.38% | # I/F | | | 05/20/2036 | | | | 2,237,332 | |
| | 15,445,775 | | | Series 2007-26-SJ | | | 4.47% | # I/F I/O | | | 04/20/2037 | | | | 1,403,164 | |
| | 8,353,975 | | | Series 2008-2-SM | | | 6.29% | # I/F I/O | | | 01/16/2038 | | | | 1,662,002 | |
| | 14,363,510 | | | Series 2008-42-A | | | 7.48% | # I/F I/O | | | 05/16/2038 | | | | 3,764,740 | |
| | 6,708,129 | | | Series 2008-43-SH | | | 6.12% | # I/F I/O | | | 05/20/2038 | | | | 1,088,776 | |
| | 7,866,892 | | | Series 2008-51-SC | | | 6.03% | # I/F I/O | | | 06/20/2038 | | | | 1,475,215 | |
| | 4,699,625 | | | Series 2008-51-SE | | | 6.04% | # I/F I/O | | | 06/16/2038 | | | | 905,688 | |
| | 2,978,713 | | | Series 2008-82-SM | | | 5.83% | # I/F I/O | | | 09/20/2038 | | | | 415,864 | |
| | 5,231,456 | | | Series 2008-83-SD | | | 6.35% | # I/F I/O | | | 11/16/2036 | | | | 1,171,093 | |
| | 15,594,459 | | | Series 2009-106-VZ | | | 4.50% | | | | 11/20/2039 | | | | 17,278,069 | |
| | 9,703,404 | | | Series 2009-10-NS | | | 6.44% | # I/F I/O | | | 02/16/2039 | | | | 2,242,399 | |
| | 4,784,911 | | | Series 2009-24-SN | | | 5.88% | # I/F I/O | | | 09/20/2038 | | | | 673,146 | |
| | 12,503,949 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 13,589,773 | |
| | 72,700,091 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 79,012,422 | |
| | 6,484 | | | Series 2009-41-ZQ | | | 4.50% | | | | 06/16/2039 | | | | 7,663 | |
| | 8,034,425 | | | Series 2009-48-Z | | | 5.00% | | | | 06/16/2039 | | | | 8,926,346 | |
| | 2,089,225 | | | Series 2009-50-KP | | | 4.50% | | | | 06/20/2039 | | | | 2,231,911 | |
| | 6,998,340 | | | Series 2009-69-TS | | | 5.99% | # I/F I/O | | | 04/16/2039 | | | | 959,161 | |
| | 10,474,425 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 11,324,995 | |
| | 9,331,446 | | | Series 2009-87-IG | | | 6.52% | # I/F I/O | | | 03/20/2037 | | | | 1,218,104 | |
| | 60,234,461 | | | Series 2010-106-PS | | | 5.83% | # I/F I/O | | | 03/20/2040 | | | | 9,053,511 | |
| | 16,494,576 | | | Series 2010-1-SA | | | 5.54% | # I/F I/O | | | 01/16/2040 | | | | 2,272,408 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Government National Mortgage Association, (Cont.) | |
| | 3,297,104 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 3,410,152 | |
| | 151,439,378 | | | Series 2010-26-QS | | | 6.03% | # I/F I/O | | | 02/20/2040 | | | | 25,825,866 | |
| | 12,749,565 | | | Series 2010-42-AY | | | 5.00% | | | | 11/20/2039 | | | | 14,121,087 | |
| | 13,282,323 | | | Series 2010-42-ES | | | 5.46% | # I/F I/O | | | 04/20/2040 | | | | 1,980,627 | |
| | 4,089,004 | | | Series 2010-61-AS | | | 6.33% | # I/F I/O | | | 09/20/2039 | | | | 665,950 | |
| | 39,373,426 | | | Series 2010-62-SB | | | 5.53% | # I/F I/O | | | 05/20/2040 | | | | 6,447,418 | |
| | 8,883,335 | | | Series 2010-62-ZG | | | 5.50% | | | | 05/16/2040 | | | | 10,164,218 | |
| | 72,349,518 | | | Series 2010-9-XD | | | 6.39% | # I/F I/O | | | 01/16/2040 | | | | 13,030,365 | |
| | 7,833,334 | | | Series 2011-18-SN | | | 9.07% | # I/F | | | 12/20/2040 | | | | 8,967,840 | |
| | 8,333,334 | | | Series 2011-18-YS | | | 9.07% | # I/F | | | 12/20/2040 | | | | 9,538,997 | |
| | 11,312,867 | | | Series 2011-51-UZ | | | 4.50% | | | | 04/20/2041 | | | | 12,260,059 | |
| | 6,821,187 | | | Series 2011-69-OC | | | 0.00% | P/O | | | 05/20/2041 | | | | 6,170,838 | |
| | 55,883,168 | | | Series 2011-69-SB | | | 5.13% | # I/F I/O | | | 05/20/2041 | | | | 7,556,550 | |
| | 25,350,643 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 27,504,447 | |
| | 21,141,084 | | | Series 2011-72-AS | | | 5.16% | # I/F I/O | | | 05/20/2041 | | | | 2,958,843 | |
| | 10,891,197 | | | Series 2011-72-DO | | | 0.00% | P/O | | | 03/16/2033 | | | | 10,852,490 | |
| | 14,657,520 | | | Series 2011-72-SK | | | 5.93% | # I/F I/O | | | 05/20/2041 | | | | 2,360,784 | |
| | 14,637,596 | | | Series 2012-105-SE | | | 5.98% | # I/F I/O | | | 01/20/2041 | | | | 1,414,702 | |
| | 26,433,914 | | | Series 2012-52-PN | | | 2.00% | | | | 12/20/2039 | | | | 26,871,224 | |
| | 55,219,453 | | | Series 2013-116-LS | | | 5.93% | # I/F I/O | | | 08/20/2043 | | | | 9,610,449 | |
| | 44,929,175 | | | Series 2013-136-CS | | | 5.99% | # I/F I/O | | | 09/16/2043 | | | | 8,592,682 | |
| | 17,759,451 | | | Series 2013-182-WZ | | | 2.50% | | | | 12/20/2043 | | | | 16,152,452 | |
| | 54,744,431 | | | Series 2013-182-ZW | | | 2.50% | | | | 12/20/2043 | | | | 49,593,473 | |
| | 34,704,261 | | | Series 2013-186-SG | | | 6.04% | # I/F I/O | | | 02/16/2043 | | | | 5,757,732 | |
| | 36,805,684 | | | Series 2013-26-MS | | | 6.03% | # I/F I/O | | | 02/20/2043 | | | | 6,281,332 | |
| | 60,617,542 | | | Series 2013-34-PL | | | 3.00% | | | | 03/20/2042 | | | | 62,567,881 | |
| | 75,998,007 | | | Series 2014-163-PS | | | 5.38% | # I/F I/O | | | 11/20/2044 | | | | 10,480,847 | |
| | 78,453,614 | | | Series 2014-167-SA | | | 5.38% | # I/F I/O | | | 11/20/2044 | | | | 10,185,868 | |
| | 105,110,778 | | | Series 2014-21-SE | | | 5.33% | # I/F I/O | | | 02/20/2044 | | | | 15,979,971 | |
| | 63,747,952 | | | Series 2014-39-SK | | | 5.98% | # I/F I/O | | | 03/20/2044 | | | | 11,848,927 | |
| | 46,454,384 | | | Series 2014-59-DS | | | 6.04% | # I/F I/O | | | 04/16/2044 | | | | 8,595,315 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $24,075,706,330) | | | | 24,782,207,557 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 4.1% | |
| | 1,325,000,000 | | | United States Treasury Notes | | | 1.63% | | | | 11/15/2022 | | | | 1,312,707,975 | |
| | 700,000,000 | | | United States Treasury Notes | | | 2.00% | | | | 02/15/2023 | | | | 709,524,900 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $1,997,737,075) | | | | 2,022,232,875 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT SPONSORED BANKS 0.6% | |
| | 200,000,000 | | | Federal Home Loan Banks | | | 1.63% | | | | 12/18/2017 | | | | 200,592,800 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.75% | # | | | 01/29/2018 | | | | 100,136,100 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Sponsored Banks
(Cost $300,468,290) | | | | 300,728,900 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 9.4% | |
| | 292,418,788 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | | | 292,418,788 | |
| | 150,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 10/02/2015 | | | | 149,999,850 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 10/05/2015 | | | | 99,999,800 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 10/08/2015 | | | | 99,999,600 | |
| | 50,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 10/09/2015 | | | | 49,999,800 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 10/16/2015 | | | | 99,999,200 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 10/19/2015 | | | | 99,999,000 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 11/03/2015 | | | | 99,994,900 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 31 |
| | |
| Schedule of Investments DoubleLine Total Return Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 11/05/2015 | | | | 99,994,600 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 11/06/2015 | | | | 99,994,400 | |
| | 250,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 11/18/2015 | | | | 249,981,250 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 11/24/2015 | | | | 99,991,600 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 12/16/2015 | | | | 99,978,900 | |
| | 250,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 12/17/2015 | | | | 249,946,500 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 12/28/2015 | | | | 99,975,600 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 01/05/2016 | | | | 99,968,000 | |
| | 50,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 01/26/2016 | | | | 49,980,500 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 01/27/2016 | | | | 99,960,700 | |
| | 200,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 02/16/2016 | | | | 199,876,600 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 02/25/2016 | | | | 99,934,300 | |
| | 100,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 09/06/2016 | | | | 99,715,800 | |
| | 100,000,000 | | | Federal Home Loan Banks | | | 0.20% | | | | 10/27/2015 | | | | 100,006,601 | |
| | 214,955,000 | | | Federal Home Loan Banks | | | 0.19% | | | | 11/17/2015 | | | | 214,991,758 | |
| | 50,000,000 | | | Federal Home Loan Banks | | | 0.26% | | | | 01/22/2016 | | | | 50,003,950 | |
| | 100,000,000 | | | Federal Home Loan Mortgage Corporation | | | 2.00% | | | | 08/25/2016 | | | | 101,374,800 | |
| | 175,000,000 | | | Federal Home Loan Mortgage Corporation Discount Notes | | | 0.00% | | | | 12/15/2015 | | | | 174,963,600 | |
| | 250,000,000 | | | Federal National Mortgage Association | | | 4.38% | | | | 10/15/2015 | | | | 250,389,750 | |
| | 175,000,000 | | | Federal National Mortgage Association | | | 1.63% | | | | 10/26/2015 | | | | 175,187,425 | |
| | 100,000,000 | | | Federal National Mortgage Association | | | 5.00% | | | | 03/15/2016 | | | | 102,182,000 | |
| | 25,000,000 | | | Federal National Mortgage Association | | | 0.63% | | | | 08/26/2016 | | | | 25,045,275 | |
| | 100,000,000 | | | Federal National Mortgage Association Discount Notes | | | 0.00% | | | | 11/03/2015 | | | | 99,994,900 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 100,000,000 | | | Federal National Mortgage Association Discount Notes | | | 0.00% | | | | 01/25/2016 | | | | 99,961,300 | |
| | 292,418,788 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | | | 292,418,788 | |
| | 292,418,788 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | | | 292,418,788 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $4,620,010,092) | | | | 4,620,648,623 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 100.1%
(Cost $48,781,085,055) | | | | 49,420,018,064 | |
| | | | Liabilities in Excess of Other Assets (0.1)% | | | | (66,813,709 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 49,353,204,355 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
US Government / Agency Mortgage Backed Obligations | | | 50.2% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 22.7% | |
Short Term Investments | | | 9.4% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.4% | |
Collateralized Loan Obligations | | | 4.4% | |
US Government Bonds and Notes | | | 4.1% | |
Asset Backed Obligations | | | 1.3% | |
US Government Sponsored Banks | | | 0.6% | |
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 DoubleLine Capital LP (the “Adviser”), unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At September 30, 2015, the value of these securities amounted to $7,546,652,103 or 15.3% of net assets. |
| ¥ | Illiquid security. At September 30, 2015, the value of these securities amount to $672,956,906 or 1.4% of net assets. |
| # | Variable rate security. Rate disclosed as of September 30, 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 September 30, 2015 |
| | | | | | |
| 32 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 0.9% | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 5,000,000 | | | Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 4,967,000 | |
| |
| | | | DB Master Finance LLC, | |
| | 14,925,000 | | | Series 2015-1A-A2I | | | 3.26% | ^ | | | 02/20/2045 | | | | 15,048,721 | |
| | 9,950,000 | | | Series 2015-1A-A2II | | | 3.98% | ^ | | | 02/20/2045 | | | | 10,054,649 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 8,735,350 | | | Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 8,725,741 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $38,617,397) | | | | | | | | 38,796,111 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 2.2% | |
| |
| | | | Air Medical Group Holdings, Inc., | |
| | 1,055,075 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/28/2022 | | | | 1,043,374 | |
| |
| | | | Akorn, Inc., | |
| | 1,024,887 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 04/16/2021 | | | | 1,023,929 | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 1,020,354 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 5.50% | # | | | 08/25/2021 | | | | 1,021,869 | |
| |
| | | | Alere, Inc., | |
| | 1,033,750 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 06/20/2022 | | | | 1,035,202 | |
| |
| | | | AlixPartners LLP, | |
| | 1,040,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/28/2022 | | | | 1,038,866 | |
| |
| | | | Allflex Holdings, Inc., | |
| | 1,014,810 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/17/2020 | | | | 1,004,662 | |
| |
| | | | Allied Security Holdings LLC, | |
| | 1,055,259 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 02/12/2021 | | | | 1,044,268 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 1,037,725 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 1,032,106 | |
| |
| | | | American Tire Distributors, Inc., | |
| | 1,012,456 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 09/01/2021 | | | | 1,015,828 | |
| |
| | | | Applied Systems, Inc., | |
| | 515,007 | | | Secured 2nd Lien Term Loan, Tranche B | | | 7.50% | # | | | 01/24/2022 | | | | 511,788 | |
| |
| | | | Ardagh Packaging Finance, | |
| | 1,019,849 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 12/17/2019 | | | | 1,017,620 | |
| |
| | | | Arizona Chemical, Inc., | |
| | 1,023,884 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 06/11/2021 | | | | 1,024,166 | |
| |
| | | | Asurion LLC, | |
| | 798,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 08/04/2022 | | | | 756,480 | |
| | 983,502 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.00% | # | | | 05/24/2019 | | | | 940,720 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 1,023,715 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 1,026,755 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | BMC Software Finance, Inc., | |
| | 1,104,229 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 1,007,333 | |
| |
| | | | Brand Energy & Infrastructure Services, Inc., | |
| | 1,164,455 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 11/26/2020 | | | | 1,056,743 | |
| |
| | | | Builders Firstsource, Inc., | |
| | 1,045,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 07/29/2022 | | | | 1,038,307 | |
| |
| | | | Burger King Corporation, | |
| | 757,067 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 12/10/2021 | | | | 754,512 | |
| |
| | | | Calpine Corporation, | |
| | 1,032,413 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 3.50% | # | | | 05/27/2022 | | | | 1,017,788 | |
| |
| | | | Candy Intermediate Holdings, Inc., | |
| | 1,009,715 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 7.50% | # | | | 06/18/2018 | | | | 1,002,142 | |
| |
| | | | Capital Automotive LP, | |
| | 1,029,185 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 1,030,286 | |
| |
| | | | CCO Safari III LLC, | |
| | 270,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche I | | | 3.50% | # | | | 01/24/2023 | | | | 268,932 | |
| |
| | | | Chemours Company, | |
| | 74,638 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 05/12/2022 | | | | 65,658 | |
| |
| | | | Coveris Holdings S.A., | |
| | 1,021,316 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/08/2019 | | | | 1,021,102 | |
| |
| | | | Crosby Acquisition Corporation, | |
| | 1,987,361 | | | Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/23/2020 | | | | 1,738,941 | |
| |
| | | | CSC Holdings LLC, | |
| | 1,315,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/23/2022 | | | | 1,309,411 | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 1,022,393 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 1,013,877 | |
| |
| | | | DE Master Blenders, | |
| | 1,155,000 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.25% | # | | | 07/02/2022 | | | | 1,156,808 | |
| |
| | | | Dealer Tire LLC, | |
| | 1,022,412 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 12/22/2021 | | | | 1,030,724 | |
| |
| | | | Duff & Phelps Corporation, | |
| | 1,042,487 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.75% | # | | | 04/23/2020 | | | | 1,039,881 | |
| |
| | | | Dynacast International LLC, | |
| | 1,027,419 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/28/2022 | | | | 1,023,889 | |
| |
| | | | EFS Cogen Holdings LLC, | |
| | 988,583 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 12/17/2020 | | | | 986,423 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 33 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 698,250 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/23/2022 | | | | 698,686 | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 1,917,761 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 06/17/2020 | | | | 1,916,563 | |
| |
| | | | Endo Luxembourg Finance I Company S.A.R.L., | |
| | 800,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 06/24/2022 | | | | 798,876 | |
| |
| | | | Energy Transfer Equity LP, | |
| | 418,235 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.00% | # | | | 12/02/2019 | | | | 412,397 | |
| |
| | | | Ensemble S Merger Sub, Inc., | |
| | 935,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 09/16/2022 | | | | 934,271 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 1,047,456 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 996,832 | |
| |
| | | | Filtration Group, Inc., | |
| | 1,047,475 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/20/2020 | | | | 1,049,004 | |
| |
| | | | First Data Corporation, | |
| | 1,040,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C1 | | | 3.70% | # | | | 03/23/2018 | | | | 1,033,016 | |
| |
| | | | Four Seasons Holdings, Inc., | |
| | 1,029,468 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 06/27/2020 | | | | 1,024,645 | |
| |
| | | | Gates Global LLC, | |
| | 541,108 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/05/2021 | | | | 514,148 | |
| |
| | | | Grosvenor Capital Management Holdings LLP, | |
| | 1,057,919 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 01/04/2021 | | | | 1,048,662 | |
| |
| | | | Guggenheim Partners Investment Management Holdings LLC, | |
| | 1,027,329 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/22/2020 | | | | 1,030,324 | |
| |
| | | | Hillman Group, Inc., | |
| | 1,049,836 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2021 | | | | 1,047,868 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 865,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 864,187 | |
| |
| | | | Hostess Brands LLC, | |
| | 1,120,000 | | | Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 08/03/2022 | | | | 1,122,968 | |
| |
| | | | Informatica Corporation, | |
| | 250,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/05/2022 | | | | 248,888 | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 1,045,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 1,018,614 | |
| |
| | | | Jazz Acquisition, Inc., | |
| | 1,040,133 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 06/18/2021 | | | | 1,023,236 | |
| |
| | | | Jeld-Wen, Inc., | |
| | 475,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 06/30/2022 | | | | 474,409 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | KIK Custom Products, Inc., | |
| | 1,055,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 08/26/2022 | | | | 1,035,662 | |
| |
| | | | Kloeckner Pentaplast of America, Inc., | |
| | 331,504 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 04/28/2020 | | | | 333,008 | |
| | 775,721 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 04/28/2020 | | | | 779,238 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 1,040,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BII | | | 3.50% | # | | | 05/31/2022 | | | | 1,033,500 | |
| |
| | | | Live Nation Entertainment, Inc., | |
| | 1,025,773 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 08/14/2020 | | | | 1,024,916 | |
| |
| | | | MacDermid, Inc., | |
| | 1,017,487 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.75% | # | | | 06/05/2020 | | | | 992,686 | |
| |
| | | | Mauser Holding GmbH, | |
| | 1,028,652 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 07/31/2021 | | | | 1,027,001 | |
| |
| | | | MEG Energy Corporation, | |
| | 1,106,973 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/31/2020 | | | | 1,037,942 | |
| |
| | | | MGOC, Inc., | |
| | 1,019,515 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 07/31/2020 | | | | 1,013,041 | |
| |
| | | | Michaels Stores, Inc., | |
| | 1,027,456 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 01/28/2020 | | | | 1,030,019 | |
| |
| | | | Milacron LLC, | |
| | 990,411 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | �� | 4.50% | # | | | 09/28/2020 | | | | 990,411 | |
| |
| | | | Mitchell International, Inc., | |
| | 519,206 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.50% | # | | | 10/11/2021 | | | | 518,775 | |
| |
| | | | National Financial Partners Corporation, | |
| | 520,748 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/01/2020 | | | | 512,937 | |
| |
| | | | National Vision, Inc., | |
| | 1,067,437 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 1,038,531 | |
| |
| | | | Neiman Marcus Group LLC, | |
| | 522,418 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 10/23/2020 | | | | 512,296 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 1,054,924 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 03/31/2021 | | | | 1,038,447 | |
| |
| | | | North American Lifting, | |
| | 1,989,885 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 11/27/2020 | | | | 1,815,770 | |
| |
| | | | Party City Holdings, Inc., | |
| | 650,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/19/2022 | | | | 649,594 | |
| |
| | | | Pharmaceutical Product Development LLC, | |
| | 1,032,413 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/18/2022 | | | | 1,022,574 | |
| | | | | | |
| 34 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | PharMEDium Healthcare Corporation, | |
| | 1,986,801 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 01/28/2021 | | | | 1,969,417 | |
| |
| | | | PODS LLC, | |
| | 1,194,500 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 02/02/2022 | | | | 1,185,541 | |
| |
| | | | Prestige Brands, Inc., | |
| | 1,021,887 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 3.51% | # | | | 09/03/2021 | | | | 1,022,796 | |
| |
| | | | Protection One, Inc., | |
| | 820,000 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 07/01/2021 | | | | 821,542 | |
| |
| | | | RBS Global, Inc., | |
| | 1,039,746 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 08/21/2020 | | | | 1,031,782 | |
| |
| | | | RCS Capital Corporation, | |
| | 1,012,816 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 7.50% | # | | | 04/29/2019 | | | | 954,579 | |
| |
| | | | Reynolds Group Holdings, Inc., | |
| | 1,024,671 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 11/30/2018 | | | | 1,026,418 | |
| |
| | | | Scientific Games International, Inc., | |
| | 1,033,844 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 6.00% | # | | | 10/01/2021 | | | | 1,022,374 | |
| |
| | | | Select Medical Corporation, | |
| | 1,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche E | | | 3.75% | # | | | 06/01/2018 | | | | 999,535 | |
| |
| | | | Serta Simmons Holdings LLC, | |
| | 1,056,672 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/01/2019 | | | | 1,058,780 | |
| |
| | | | Signode Industrial Group, Inc., | |
| | 1,008,740 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 04/30/2021 | | | | 1,002,436 | |
| |
| | | | Solenis International LP, | |
| | 1,057,343 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/31/2021 | | | | 1,045,781 | |
| |
| | | | Southeast PowerGen LLC, | |
| | 1,042,487 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/02/2021 | | | | 1,041,184 | |
| |
| | | | Spin Holdco, Inc., | |
| | 1,049,849 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 1,031,482 | |
| |
| | | | Station Casinos LLC, | |
| | 1,034,669 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/02/2020 | | | | 1,034,240 | |
| |
| | | | Summit Materials LLC, | |
| | 448,875 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/18/2022 | | | | 448,594 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 1,049,887 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 11/03/2020 | | | | 1,051,362 | |
| |
| | | | TI Group Automotive Systems LLC, | |
| | 1,035,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2022 | | | | 1,023,786 | |
| |
| | | | TMS International Corporation, | |
| | 1,071,652 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/16/2020 | | | | 1,039,502 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | TPF II Power LLC, | |
| | 1,480,438 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/01/2021 | | | | 1,482,141 | |
| |
| | | | Transtar Holding Company, | |
| | 1,997,278 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 10/09/2018 | | | | 1,937,360 | |
| |
| | | | TransUnion LLC, | |
| | 1,034,811 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 04/09/2021 | | | | 1,026,082 | |
| |
| | | | Travelport Finance Luxembourg S.A.R.L., | |
| | 1,034,975 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 09/02/2021 | | | | 1,031,420 | |
| |
| | | | TWCC Holding Corporation, | |
| | 995,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 02/11/2020 | | | | 991,020 | |
| |
| | | | Univar, Inc., | |
| | 450,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/01/2022 | | | | 442,370 | |
| |
| | | | Univision Communications Inc, | |
| | 1,044,294 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C3 | | | 4.00% | # | | | 02/28/2020 | | | | 1,038,994 | |
| |
| | | | US Renal Care, Inc., | |
| | 1,029,772 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/03/2019 | | | | 1,029,339 | |
| |
| | | | USAGM HoldCo LLC, | |
| | 108,353 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 6.00% | #& | | | 07/28/2022 | | | | 107,236 | |
| | 1,536,647 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 07/28/2022 | | | | 1,520,804 | |
| |
| | | | Valeant Pharmaceuticals International, Inc., | |
| | 1,035,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BF1 | | | 4.00% | # | | | 04/01/2022 | | | | 1,025,949 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 1,059,799 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 10/01/2021 | | | | 1,020,501 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $100,435,991) | | | | | | | | 99,228,679 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 4.4% | |
| |
| | | | Adams Mill Ltd., | |
| | 875,000 | | | Series 2014-1A-D1 | | | 3.79% | #^ | | | 07/15/2026 | | | | 822,085 | |
| | 1,000,000 | | | Series 2014-1A-E1 | | | 5.29% | #^ | | | 07/15/2026 | | | | 868,376 | |
| |
| | | | Apidos Ltd., | |
| | 2,000,000 | | | Series 2007-5A-B | | | 0.99% | #^ | | | 04/15/2021 | | | | 1,951,801 | |
| | 2,000,000 | | | Series 2013-16A-A1 | | | 1.74% | #^ | | | 01/19/2025 | | | | 1,988,971 | |
| | 2,950,000 | | | Series 2013-16A-B | | | 3.09% | #^ | | | 01/19/2025 | | | | 2,925,119 | |
| | 2,000,000 | | | Series 2014-18A-C | | | 3.95% | #^ | | | 07/22/2026 | | | | 1,925,502 | |
| | 1,000,000 | | | Series 2014-18A-D | | | 5.50% | #^ | | | 07/22/2026 | | | | 900,409 | |
| | 1,000,000 | | | Series 2014-19A-D | | | 4.04% | #^ | | | 10/17/2026 | | | | 966,522 | |
| | 1,500,000 | | | Series 2015-20A-B | | | 3.49% | #^ | | | 01/16/2027 | | | | 1,494,446 | |
| | 1,500,000 | | | Series 2015-20A-C | | | 3.99% | #^ | | | 01/16/2027 | | | | 1,445,000 | |
| | 2,250,000 | | | Series 2015-21A-C | | | 3.83% | #^ | | | 07/18/2027 | | | | 2,125,809 | |
| |
| | | | ARES Ltd., | |
| | 2,000,000 | | | Series 2013-1A-D | | | 4.04% | #^ | | | 04/15/2025 | | | | 1,927,506 | |
| | 2,043,936 | | | Series 2014-30A-A2 | | | 1.14% | #^ | | | 04/20/2023 | | | | 2,035,050 | |
| |
| | | | Babson Ltd., | |
| | 1,500,000 | | | Series 2012-1A-C | | | 4.17% | #^ | | | 04/15/2022 | | | | 1,502,876 | |
| | 2,000,000 | | | Series 2012-2A-CR | | | 3.92% | #^ | | | 05/15/2023 | | | | 1,965,174 | |
| | 1,000,000 | | | Series 2014-3A-D2 | | | 4.59% | #^ | | | 01/15/2026 | | | | 997,418 | |
| | 2,750,000 | | | Series 2015-1A-D1 | | | 3.73% | #^ | | | 04/20/2027 | | | | 2,604,469 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 35 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Babson Ltd., (Cont.) | |
| | 5,000,000 | | | Series 2015-2A-D | | | 3.89% | #^ | | | 07/20/2027 | | | | 4,886,051 | |
| | 2,500,000 | | | Series 2015-1A-C | | | 3.46% | #^ | | | 04/15/2027 | | | | 2,500,518 | |
| | 3,000,000 | | | Series 2015-1A-D | | | 3.89% | #^ | | | 04/15/2027 | | | | 2,839,924 | |
| |
| | | | Birchwood Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.44% | #^ | | | 07/15/2026 | | | | 999,498 | |
| | 1,000,000 | | | Series 2014-1A-D2 | | | 4.49% | #^ | | | 07/15/2026 | | | | 999,192 | |
| | 1,000,000 | | | Series 2014-1A-E2 | | | 6.69% | #^ | | | 07/15/2026 | | | | 968,871 | |
| |
| | | | BlueMountain Ltd., | |
| | 1,500,000 | | | Series 2012-1A-E | | | 5.79% | #^ | | | 07/20/2023 | | | | 1,476,028 | |
| | 5,000,000 | | | Series 2015-2A-D | | | 3.83% | #^ | | | 07/18/2027 | | | | 4,722,712 | |
| | 2,000,000 | | | Series 2015-2A-E | | | 5.63% | #^ | | | 07/18/2027 | | | | 1,770,166 | |
| | 4,000,000 | | | Series 2015-3A-B | | | 3.43% | #^ | | | 10/20/2027 | | | | 3,994,520 | |
| | 4,000,000 | | | Series 2015-3A-C | | | 3.88% | #^ | | | 10/20/2027 | | | | 3,861,456 | |
| |
| | | | Brookside Mill Ltd., | |
| | 1,250,000 | | | Series 2013-1A-C1 | | | 2.99% | #^ | | | 04/17/2025 | | | | 1,200,276 | |
| | 2,250,000 | | | Series 2013-1A-D | | | 3.34% | #^ | | | 04/17/2025 | | | | 2,073,441 | |
| | 1,250,000 | | | Series 2013-1A-E | | | 4.69% | #^ | | | 04/17/2025 | | | | 1,062,470 | |
| |
| | | | Canyon Capital Ltd, | |
| | 2,500,000 | | | Series 2012-1A-C | | | 3.09% | #^ | | | 01/15/2024 | | | | 2,452,955 | |
| | 5,000,000 | | | Series 2014-1A-B | | | 2.95% | #^ | | | 04/30/2025 | | | | 4,834,902 | |
| | 2,750,000 | | | Series 2014-1A-C | | | 3.55% | #^ | | | 04/30/2025 | | | | 2,520,448 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 1,250,000 | | | Series 2014-3A-B | | | 3.45% | #^ | | | 07/27/2026 | | | | 1,245,209 | |
| | 2,000,000 | | | Series 2014-3A-C2 | | | 4.50% | #^ | | | 07/27/2026 | | | | 2,001,707 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 358,192 | | | Series 2006-8A-A2A | | | 0.57% | #^ | | | 05/21/2021 | | | | 355,578 | |
| |
| | | | Catamaran Ltd., | |
| | 2,500,000 | | | Series 2015-1A-C1 | | | 3.40% | #^ | | | 04/22/2027 | | | | 2,469,751 | |
| |
| | | | Cent Ltd., | |
| | 2,000,000 | | | Series 2013-18A-D | | | 3.74% | #^ | | | 07/23/2025 | | | | 1,909,895 | |
| | 1,500,000 | | | Series 2013-18A-E | | | 4.89% | #^ | | | 07/23/2025 | | | | 1,297,156 | |
| | 1,000,000 | | | Series 2014-22A-C | | | 4.06% | #^ | | | 11/07/2026 | | | | 966,537 | |
| |
| | | | ColumbusNova Ltd., | |
| | 2,500,000 | | | Series 2006-2A-D | | | 1.81% | #^ | | | 04/04/2018 | | | | 2,502,443 | |
| |
| | | | Dorchester Park Ltd., | |
| | 1,000,000 | | | Series 2015-1A-C | | | 3.49% | #^ | | | 01/20/2027 | | | | 995,095 | |
| | 1,000,000 | | | Series 2015-1A-D | | | 3.84% | #^ | | | 01/20/2027 | | | | 954,956 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 500,000 | | | Series 2006-11A-C1 | | | 1.89% | #^ | | | 04/12/2020 | | | | 485,010 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 2,000,000 | | | Series 2013-28A-B1L | | | 3.52% | #^ | | | 08/15/2025 | | | | 1,879,931 | |
| |
| | | | Eaton Vance Ltd., | |
| | 2,000,000 | | | Series 2006-8A-B | | | 0.97% | #^ | | | 08/15/2022 | | | | 1,904,309 | |
| |
| | | | Emerson Park Ltd., | |
| | 1,000,000 | | | Series 2013-1A-C1 | | | 3.04% | #^ | | | 07/15/2025 | | | | 987,371 | |
| |
| | | | Flatiron Ltd., | |
| | 2,000,000 | | | Series 2014-1A-C | | | 3.59% | #^ | | | 07/17/2026 | | | | 1,860,923 | |
| |
| | | | Four Corners Ltd., | |
| | 2,000,000 | | | Series 2006-3A-D | | | 1.80% | #^ | | | 07/22/2020 | | | | 1,945,004 | |
| |
| | | | Galaxy Ltd., | |
| | 1,000,000 | | | Series 2013-15A-C | | | 2.89% | #^ | | | 04/15/2025 | | | | 983,167 | |
| | 1,000,000 | | | Series 2013-15A-D | | | 3.69% | #^ | | | 04/15/2025 | | | | 954,487 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 2,000,000 | | | Series 2012-6A-D | | | 4.49% | #^ | | | 04/17/2022 | | | | 2,000,926 | |
| | 3,750,000 | | | Series 2015-10A-D | | | 3.67% | #^ | | | 07/20/2027 | | | | 3,521,097 | |
| |
| | | | Gulf Stream Ltd., | |
| | 1,000,000 | | | Series 2007-1X-B | | | 0.78% | # | | | 06/17/2021 | | | | 970,869 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 740,000 | | | Series 2013-2A-C | | | 3.00% | #^ | | | 08/01/2025 | | | | 699,630 | |
| | 1,500,000 | | | Series 2014-3A-D | | | 3.95% | #^ | | | 10/22/2025 | | | | 1,376,665 | |
| |
| | | | ING Ltd., | |
| | 2,000,000 | | | Series 2013-3A-A1 | | | 1.91% | # | | | 08/01/2020 | | | | 1,927,947 | |
| | 2,000,000 | | | Series 2013-3A-B | | | 2.99% | #^ | | | 01/18/2026 | | | | 1,975,982 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Inwood Park Ltd., | |
| | 2,000,000 | | | Series 2006-1A-B | | | 0.68% | #^ | | | 01/20/2021 | | | | 1,954,027 | |
| |
| | | | Jamestown Ltd., | |
| | 2,000,000 | | | Series 2015-6A-A1A | | | 1.93% | #^ | | | 02/20/2027 | | | | 1,993,321 | |
| |
| | | | LCM LP, | |
| | 2,000,000 | | | Series 11A-D2 | | | 4.24% | #^ | | | 04/19/2022 | | | | 2,004,744 | |
| | 1,000,000 | | | Series 12A-E | | | 6.04% | #^ | | | 10/19/2022 | | | | 983,265 | |
| | 2,850,000 | | | Series 14A-D | | | 3.79% | #^ | | | 07/15/2025 | | | | 2,728,860 | |
| | 2,500,000 | | | Series 15A-C | | | 3.43% | #^ | | | 08/25/2024 | | | | 2,495,262 | |
| | 1,000,000 | | | Series 16A-D | | | 3.89% | #^ | | | 07/15/2026 | | | | 962,021 | |
| | 2,000,000 | | | Series 19A-D | | | 3.78% | #^ | | | 07/15/2027 | | | | 1,874,895 | |
| | 2,000,000 | | | Series 6A-C | | | 1.13% | #^ | | | 05/28/2019 | | | | 1,970,766 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 1,000,000 | | | Series 2007-4A-D | | | 1.75% | #^ | | | 03/22/2021 | | | | 942,554 | |
| | 2,750,000 | | | Series 2007-6A-C | | | 1.30% | #^ | | | 07/26/2021 | | | | 2,644,617 | |
| | 1,000,000 | | | Series 2014-13A-D | | | 3.64% | #^ | | | 01/19/2025 | | | | 953,458 | |
| | 1,000,000 | | | Series 2014-13X-E | | | 5.29% | # | | | 01/19/2025 | | | | 877,442 | |
| | 4,750,000 | | | Series 2014-14A-D | | | 3.89% | #^ | | | 07/20/2026 | | | | 4,589,251 | |
| | 750,000 | | | Series 2014-14A-E | | | 5.04% | #^ | | | 07/20/2026 | | | | 652,839 | |
| | 2,000,000 | | | Series 2014-15A-C | | | 4.00% | #^ | | | 01/27/2026 | | | | 1,965,484 | |
| | 3,000,000 | | | Series 2015-16A-B | | | 3.30% | #^ | | | 04/20/2026 | | | | 2,976,555 | |
| | 5,000,000 | | | Series 2015-18A-D2 | | | 4.26% | #^ | | | 10/21/2026 | | | | 4,912,371 | |
| |
| | | | Magnetite Ltd., | |
| | 1,500,000 | | | Series 2012-7A-D | | | 5.54% | #^ | | | 01/15/2025 | | | | 1,451,774 | |
| | 2,000,000 | | | Series 2014-11A-C | | | 3.77% | #^ | | | 01/18/2027 | | | | 1,914,111 | |
| | 1,500,000 | | | Series 2014-8A-C | | | 3.39% | #^ | | | 04/15/2026 | | | | 1,498,799 | |
| |
| | | | Nautique Funding Ltd., | |
| | 1,000,000 | | | Series 2006-1A-C | | | 1.99% | #^ | | | 04/15/2020 | | | | 977,657 | |
| |
| | | | Nomad Ltd., | |
| | 1,500,000 | | | Series 2013-1A-B | | | 3.12% | #^ | | | 01/15/2025 | | | | 1,482,660 | |
| | 1,500,000 | | | Series 2013-1A-C | | | 3.67% | #^ | | | 01/15/2025 | | | | 1,429,244 | |
| |
| | | | North End Ltd., | |
| | 1,000,000 | | | Series 2013-1A-D | | | 3.79% | #^ | | | 07/17/2025 | | | | 949,383 | |
| |
| | | | OCP Ltd., | |
| | 2,000,000 | | | Series 2013-3A-B | | | 3.04% | #^ | | | 01/17/2025 | | | | 1,958,357 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 2,000,000 | | | Series 2013-1A-D | | | 3.64% | #^ | | | 07/17/2025 | | | | 1,881,769 | |
| | 2,000,000 | | | Series 2013-1A-E | | | 4.79% | #^ | | | 07/17/2025 | | | | 1,738,346 | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.80% | #^ | | | 11/22/2025 | | | | 992,784 | |
| | 1,000,000 | | | Series 2014-1A-D2 | | | 4.88% | #^ | | | 11/22/2025 | | | | 992,472 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 2,000,000 | | | Series 2011-1AR-DR | | | 3.33% | #^ | | | 04/20/2021 | | | | 2,005,833 | |
| |
| | | | OZLM Funding Ltd., | |
| | 10,000,000 | | | Series 2013-3A-A1 | | | 1.63% | #^ | | | 01/22/2025 | | | | 9,935,438 | |
| |
| | | | OZLM Ltd., | |
| | 1,500,000 | | | Series 2015-11A-A2A | | | 2.55% | #^ | | | 01/30/2027 | | | | 1,497,339 | |
| |
| | | | Race Point Ltd., | |
| | 1,000,000 | | | Series 2013-8A-B | | | 2.23% | #^ | | | 02/20/2025 | | | | 990,894 | |
| |
| | | | Saturn Ltd., | |
| | 500,000 | | | Series 2007-1A-D | | | 4.31% | #^ | | | 05/13/2022 | | | | 485,584 | |
| |
| | | | Symphony Ltd., | |
| | 3,000,000 | | | Series 2013-11A-B1 | | | 2.49% | #^ | | | 01/17/2025 | | | | 2,990,785 | |
| | 3,000,000 | | | Series 2013-11A-C | | | 3.44% | #^ | | | 01/17/2025 | | | | 2,975,684 | |
| |
| | | | Thacher Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C | | | 3.34% | #^ | | | 10/20/2026 | | | | 994,709 | |
| | 1,000,000 | | | Series 2014-1A-D1 | | | 3.82% | #^ | | | 10/20/2026 | | | | 954,577 | |
| |
| | | | Venture Ltd., | |
| | 1,900,000 | | | Series 2006-1A-B | | | 0.94% | #^ | | | 08/03/2020 | | | | 1,782,954 | |
| | 500,000 | | | Series 2012-10A-C | | | 3.54% | #^ | | | 07/20/2022 | | | | 500,622 | |
| | 2,000,000 | | | Series 2012-10A-D | | | 4.49% | #^ | | | 07/20/2022 | | | | 2,004,722 | |
| | 5,000,000 | | | Series 2013-15A-C | | | 3.39% | #^ | | | 07/15/2025 | | | | 4,965,064 | |
| | 2,500,000 | | | Series 2014-17A-C | | | 3.14% | #^ | | | 07/15/2026 | | | | 2,448,037 | |
| |
| | | | WG Horizons, | |
| | 1,500,000 | | | Series 2006-1A-C | | | 2.03% | #^ | | | 05/24/2019 | | | | 1,460,690 | |
| | | | | | |
| 36 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wind River Ltd., | |
| | 3,000,000 | | | Series 2013-1A-C | | | 3.69% | #^ | | | 04/20/2025 | | | | 2,803,970 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $205,649,731) | | | | 203,327,596 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 12.8% | |
| | 1,500,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 1,575,000 | |
| | 1,600,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 1,680,000 | |
| | 5,000,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 5,208,575 | |
| | 500,000 | | | Aeropuertos Dominicanos | | | 9.75% | #^ | | | 11/13/2019 | | | | 497,500 | |
| | 1,800,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 1,791,000 | |
| | 700,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 721,000 | |
| | 6,300,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 6,489,000 | |
| | 2,000,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 1,790,000 | |
| | 3,050,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 3,201,649 | |
| | 5,500,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 5,500,000 | |
| | 3,500,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 3,500,000 | |
| | 1,700,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 977,500 | |
| | 13,270,000 | | | Alibaba Group Holding Ltd. | | | 3.60% | ^ | | | 11/28/2024 | | | | 12,421,516 | |
| | 10,835,000 | | | Australia and New Zealand Banking Group Ltd. | | | 4.88% | ^ | | | 01/12/2021 | | | | 12,181,227 | |
| | 2,600,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 2,210,000 | |
| | 4,700,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 3,995,000 | |
| | 3,450,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 3,531,937 | |
| | 500,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 513,750 | |
| | 2,000,000 | | | Banco de Costa Rica | | | 5.25% | ^ | | | 08/12/2018 | | | | 2,015,000 | |
| | 1,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 1,007,500 | |
| | 2,500,000 | | | Banco do Brasil S.A. | | | 8.50% | #† | | | 10/20/2020 | | | | 2,062,500 | |
| | 4,500,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 2,664,315 | |
| | 2,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 1,920,000 | |
| | 4,005,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 4,029,030 | |
| | 2,097,000 | | | Banco Inbursa S.A. | | | 4.13% | | | | 06/06/2024 | | | | 2,036,187 | |
| | 3,000,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 2,985,000 | |
| | 6,000,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | ^ | | | 05/07/2020 | | | | 5,970,000 | |
| | 1,500,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | | | | 05/07/2020 | | | | 1,492,500 | |
| | 2,650,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 2,630,125 | |
| | 5,450,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 5,490,875 | |
| | 400,000 | | | Banco Regional SAECA | | | 8.13% | ^ | | | 01/24/2019 | | | | 403,000 | |
| | 7,000,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 7,213,500 | |
| | 7,500,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 7,696,875 | |
| | 6,245,000 | | | Bank Of Montreal | | | 2.38% | | | | 01/25/2019 | | | | 6,342,984 | |
| | 1,250,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 1,271,875 | |
| | 4,000,000 | | | BBVA Banco Continental S.A. | | | 5.25% | # | | | 09/22/2029 | | | | 3,900,800 | |
| | 4,470,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 4,548,225 | |
| | 5,700,000 | | | BBVA Bancomer S.A. | | | 5.35% | #^ | | | 11/12/2029 | | | | 5,628,750 | |
| | 2,557,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 2,525,037 | |
| | 1,250,000 | | | BBVA Colombia S.A. | | | 4.88% | ^ | | | 04/21/2025 | | | | 1,193,375 | |
| | 6,205,000 | | | BP Capital Markets PLC | | | 3.06% | | | | 03/17/2022 | | | | 6,225,508 | |
| | 1,000,000 | | | BR Malls International Finance Ltd. | | | 8.50% | † | | | 01/21/2016 | | | | 802,500 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 3,300,000 | | | Braskem Finance Company | | | 7.13% | | | | 07/22/2041 | | | | 2,319,900 | |
| | 12,176,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 13,352,311 | |
| | 1,500,000 | | | Camposol S.A. | | | 9.88% | ^ | | | 02/02/2017 | | | | 1,353,900 | |
| | 650,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 586,690 | |
| | 600,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.00% | | | | 01/21/2021 | | | | 629,707 | |
| | 3,200,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 3,320,000 | |
| | 3,500,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 3,627,456 | |
| | 2,760,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 2,660,651 | |
| | 6,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 6,309,000 | |
| | 1,900,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 1,293,900 | |
| | 2,000,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 1,362,000 | |
| | 10,000,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 9,867,320 | |
| | 750,000 | | | CNPC General Capital Ltd. | | | 2.75% | | | | 05/14/2019 | | | | 752,974 | |
| | 200,000 | | | CNPC Overseas Capital Ltd. | | | 4.50% | | | | 04/28/2021 | | | | 213,170 | |
| | 1,000,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 1,103,350 | |
| | 4,000,000 | | | Comcel Trust | | | 6.88% | ^ | | | 02/06/2024 | | | | 3,950,000 | |
| | 2,400,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 2,370,000 | |
| | 4,300,000 | | | Comision Federal de Electricidad | | | 4.88% | | | | 05/26/2021 | | | | 4,466,625 | |
| | 8,000,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 7,688,000 | |
| | 3,000,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 3,035,880 | |
| | 1,500,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 1,432,500 | |
| | 3,500,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 3,342,500 | |
| | 4,000,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 3,320,000 | |
| | 500,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 501,625 | |
| | 6,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 6,019,500 | |
| | 2,000,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 1,570,000 | |
| | 3,500,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 3,473,750 | |
| | 5,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 5,056,250 | |
| | 4,500,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 4,516,875 | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 496,250 | |
| | 3,000,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 2,790,000 | |
| | 5,100,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 4,424,250 | |
| | 3,900,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 3,383,250 | |
| | 100,000 | | | E.Cl S.A. | | | 5.63% | | | | 01/15/2021 | | | | 109,381 | |
| | 3,400,000 | | | Ecopetrol S.A. | | | 4.13% | | | | 01/16/2025 | | | | 2,873,000 | |
| | 1,300,000 | | | Ecopetrol S.A. | | | 7.38% | | | | 09/18/2043 | | | | 1,192,750 | |
| | 11,900,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 9,044,000 | |
| | 3,500,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 3,640,000 | |
| | 10,000,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | ^ | | | 04/30/2025 | | | | 9,494,710 | |
| | 600,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 685,500 | |
| | 5,547,197 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 5,713,613 | |
| | 1,500,000 | | | ENTEL Chile S.A. | | | 4.75% | ^ | | | 08/01/2026 | | | | 1,449,004 | |
| | 3,700,000 | | | ENTEL Chile S.A. | | | 4.75% | | | | 08/01/2026 | | | | 3,574,211 | |
| | 3,800,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 3,505,500 | |
| | 2,100,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 1,937,250 | |
| | 992,735 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | | | | 03/30/2038 | | | | 943,098 | |
| | 2,937,610 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 2,790,729 | |
| | 1,500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 1,492,500 | |
| | 1,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 4.00% | | | | 11/14/2021 | | | | 785,000 | |
| | 800,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.88% | | | | 03/15/2023 | | | | 599,000 | |
| | 10,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 5.45% | | | | 03/15/2043 | | | | 7,000,000 | |
| | 2,000,000 | | | Gibson Energy, Inc. | | | 6.75% | ^ | | | 07/15/2021 | | | | 1,932,500 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 37 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 3,000,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 3,040,500 | |
| | 5,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 5,062,500 | |
| | 6,000,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 6,075,000 | |
| | 1,900,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 1,900,000 | |
| | 1,600,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 992,000 | |
| | 1,500,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 1,530,000 | |
| | 3,500,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 3,165,750 | |
| | 1,950,000 | | | Grupo Bimbo S.A.B. de C.V. | | | 4.50% | | | | 01/25/2022 | | | | 2,020,200 | |
| | 3,950,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 4,127,750 | |
| | 4,350,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 4,154,250 | |
| | 2,890,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 2,904,450 | |
| | 5,000,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 5,025,000 | |
| | 600,000 | | | Grupo Posadas S.A.B. de C.V. | | | 7.88% | ^ | | | 06/30/2022 | | | | 543,000 | |
| | 4,000,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 4,164,000 | |
| | 12,000,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 11,895,000 | |
| | 4,000,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 4,174,716 | |
| | 1,500,000 | | | Hutchison Whampoa International Ltd. | | | 3.25% | | | | 11/08/2022 | | | | 1,492,524 | |
| | 800,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 743,600 | |
| | 5,300,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 4,926,350 | |
| | 1,800,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 1,876,500 | |
| | 1,000,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 1,042,500 | |
| | 2,300,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 2,343,125 | |
| | 2,800,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 2,852,500 | |
| | 2,400,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 1,986,000 | |
| | 1,000,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 1,066,250 | |
| | 2,100,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 2,153,256 | |
| | 3,800,000 | | | JBS Investments GmbH | | | 7.25% | | | | 04/03/2024 | | | | 3,667,000 | |
| | 200,000 | | | JBS Investments GmbH | | | 7.25% | ^ | | | 04/03/2024 | | | | 193,000 | |
| | 6,000,000 | | | Latam Airlines Group S.A. | | | 7.25% | ^ | | | 06/09/2020 | | | | 5,340,000 | |
| | 5,000,000 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | | 07/05/2034 | | | | 4,862,500 | |
| | 485,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 515,313 | |
| | 1,600,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 1,056,000 | |
| | 2,000,000 | | | Marfrig Holdings B.V. | | | 8.38% | | | | 05/09/2018 | | | | 1,875,000 | |
| | 5,100,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 4,424,250 | |
| | 2,900,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 2,515,750 | |
| | 3,838,068 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 3,600,108 | |
| | 4,800,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 4,272,000 | |
| | 3,500,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 3,115,000 | |
| | 1,300,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 1,144,000 | |
| | 300,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 264,000 | |
| | 3,000,000 | | | Minsur S.A. | | | 6.25% | | | | 02/07/2024 | | | | 3,015,000 | |
| | 311,175 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 358,107 | |
| | 5,300,000 | | | OAS Financial Ltd. | | | 8.88% | #^†W | | | 04/25/2018 | | | | 556,500 | |
| | 1,500,000 | | | OAS Financial Ltd. | | | 8.88% | #†W | | | 04/29/2049 | | | | 157,500 | |
| | 1,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 10/30/2015 | | | | 907,500 | |
| | 1,700,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 973,250 | |
| | 6,031,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 6,126,796 | |
| | 10,400,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 10,668,206 | |
| | 4,700,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 1,645,000 | |
| | 1,500,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | ^ | | | 03/28/2023 | | | | 525,000 | |
| | 1,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | | | | 01/19/2025 | | | | 356,250 | |
| | 5,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 1,781,250 | |
| | 5,800,000 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 06/02/2025 | | | | 4,465,420 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,800,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 1,449,000 | |
| | 1,000,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 805,000 | |
| | 3,000,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 3,154,500 | |
| | 1,000,000 | | | Petroleos Mexicanos | | | 4.50% | ^ | | | 01/23/2026 | | | | 924,400 | |
| | 13,560,000 | | | Petroleos Mexicanos | | | 5.63% | ^ | | | 01/23/2046 | | | | 11,153,778 | |
| | 2,960,000 | | | Reliance Industries Ltd. | | | 5.88% | † | | | 02/05/2018 | | | | 2,882,300 | |
| | 2,185,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 2,064,825 | |
| | 200,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 04/10/2019 | | | | 203,019 | |
| | 2,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | ^ | | | 04/28/2020 | | | | 1,973,964 | |
| | 1,000,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 943,750 | |
| | 200,000 | | | Sociedad Quimica y Minera S.A. | | | 5.50% | | | | 04/21/2020 | | | | 202,017 | |
| | 500,000 | | | Sociedad Quimica y Minera S.A. | | | 4.38% | | | | 01/28/2025 | | | | 430,828 | |
| | 1,500,000 | | | Southern Copper Corporation | | | 7.50% | | | | 07/27/2035 | | | | 1,463,160 | |
| | 6,000,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 5,357,160 | |
| | 3,800,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 2,893,662 | |
| | 2,500,000 | | | Southern Copper Corporation | | | 5.88% | | | | 04/23/2045 | | | | 2,032,850 | |
| | 6,816,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 6,808,618 | |
| | 8,000,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 7,760,000 | |
| | 3,000,000 | | | Tencent Holdings Ltd. | | | 3.80% | ^ | | | 02/11/2025 | | | | 2,897,574 | |
| | 6,622,000 | | | Teva Pharmaceutical Finance Company B.V. | | | 2.95% | | | | 12/18/2022 | | | | 6,354,465 | |
| | 6,330,000 | | | Toronto Dominion Bank | | | 1.75% | | | | 07/23/2018 | | | | 6,351,307 | |
| | 6,825,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 6,893,250 | |
| | 1,175,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | ^ | | | 03/20/2022 | | | | 1,186,750 | |
| | 3,350,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 2,964,750 | |
| | 3,200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 2,651,200 | |
| | 2,150,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | | | | 07/22/2019 | | | | 2,026,375 | |
| | 1,400,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 1,319,500 | |
| | 2,000,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | ^ | | | 10/30/2021 | | | | 1,930,000 | |
| | 2,550,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 2,460,750 | |
| | 7,500,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 7,666,050 | |
| | 2,500,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 1,850,000 | |
| | 2,200,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 1,465,750 | |
| | 1,800,000 | | | Vedanta Resources PLC | | | 7.13% | | | | 05/31/2023 | | | | 1,199,250 | |
| | 7,800,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 6,513,000 | |
| | 8,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 7,280,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $634,878,693) | | | | 584,340,668 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 1.0% |
|
| | 20,000,000 | | | Colombia Government International Bond | | | 4.38% | | | | 07/12/2021 | | | | 20,420,000 | |
| | 12,000,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 12,240,000 | |
| | | | | | |
| 38 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 9,096,000 | | | Mexico Government International Bond | | | 4.00% | | | | 10/02/2023 | | | | 9,287,016 | |
| | 2,500,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 2,703,125 | |
| | 2,500,000 | | | Peruvian Government International Bond | | | 4.13% | | | | 08/25/2027 | | | | 2,475,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $47,947,453) | | | | 47,125,141 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 3.8% | |
| | 6,100,000 | | | Arizona Department of Transporation State Highway Fund | | | 5.00% | | | | 07/01/2032 | | | | 7,133,645 | |
| | 6,500,000 | | | Central Puget Sound Regional Transit Authority | | | 5.00% | | | | 11/01/2032 | | | | 7,741,045 | |
| | 8,500,000 | | | Commonwealth of Virginia | | | 5.00% | | | | 06/01/2027 | | | | 10,559,975 | |
| | 6,600,000 | | | East Bay Municipal Utility District Water System Revenue | | | 5.00% | | | | 06/01/2031 | | | | 7,913,466 | |
| | 13,300,000 | | | Gwinnett County School District | | | 5.00% | | | | 02/01/2031 | | | | 16,127,846 | |
| | 11,300,000 | | | New York State Dormitory Authority | | | 5.00% | | | | 03/15/2033 | | | | 13,066,077 | |
| | 12,600,000 | | | State of California | | | 5.00% | | | | 08/01/2033 | | | | 14,613,354 | |
| | 7,700,000 | | | State of Louisiana | | | 5.00% | | | | 05/01/2028 | | | | 9,092,391 | |
| | 3,850,000 | | | State of Minnesota | | | 5.00% | | | | 08/01/2033 | | | | 4,594,705 | |
| | 11,850,000 | | | State of Nevada | | | 5.00% | | | | 11/01/2026 | | | | 14,448,113 | |
| | 11,500,000 | | | State of Oregon Department of Transporation | | | 5.00% | | | | 11/15/2029 | | | | 13,798,160 | |
| | 11,400,000 | | | State of Texas | | | 5.00% | | | | 10/01/2028 | | | | 13,691,856 | |
| | 11,000,000 | | | State of Washington | | | 5.00% | | | | 07/01/2033 | | | | 12,772,870 | |
| | 12,800,000 | | | University of Texas | | | 5.00% | | | | 08/15/2027 | | | | 15,533,056 | |
| | 10,000,000 | | | Utah Transit Authority | | | 5.00% | | | | 06/15/2031 | | | | 11,893,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $172,049,803) | | | | 172,980,059 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 4.8% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 2,000,000 | | | Series 2014-IP-E | | | 2.81% | #^ | | | 06/15/2028 | | | | 1,986,151 | |
| | 118,650,000 | | | Series 2015-200P-XA | | | 0.50% | #^ I/O | | | 04/14/2033 | | | | 3,966,683 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 3,775,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 3,822,618 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 3,735,300 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 3,864,586 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 11,483,887 | | | Series 2012-GC8-XA | | | 2.35% | #^ I/O | | | 09/10/2045 | | | | 1,015,979 | |
| | 4,234,500 | | | Series 2015-GC27-D | | | 4.58% | #^ | | | 02/10/2048 | | | | 3,603,977 | |
| | 4,267,347 | | | Series 2015-GC27-XA | | | 1.60% | # I/O | | | 02/10/2048 | | | | 419,589 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 2,602,680 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 2,621,235 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 4,647,107 | | | Series 2002-LC4-XA | | | 2.58% | #^ I/O | | | 12/10/2044 | | | | 474,809 | |
| | 1,217,688 | | | Series 2010-C1-XPA | | | 1.81% | #^ I/O | | | 07/10/2046 | | | | 38,123 | |
| | 28,390,673 | | | Series 2012-CR3-XA | | | 2.31% | # I/O | | | 10/15/2045 | | | | 2,832,765 | |
| | 3,500,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 3,488,018 | |
| | 5,000,000 | | | Series 2015-CCRE23 | | | 4.40% | # | | | 05/10/2048 | | | | 4,186,760 | |
| | 1,400,000 | | | Series 2015-CR25-C | | | 4.70% | # | | | 08/10/2048 | | | | 1,367,859 | |
| | 4,310,000 | | | Series 2015-LC21-C | | | 4.46% | # | | | 07/10/2048 | | | | 4,113,434 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 413,925 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 416,306 | |
| | 24,659 | | | Series 2001-CF2-G | | | 6.93% | ^ | | | 02/15/2034 | | | | 24,565 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,875,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 1,933,732 | |
| | 2,500,000 | | | Series 2007-C4-A1AM | | | 6.15% | # | | | 09/15/2039 | | | | 2,656,316 | |
| | 3,800,000 | | | Series 2009-RR2-IQB | | | 5.69% | #^ | | | 04/16/2049 | | | | 3,970,430 | |
| | 5,135,000 | | | Series 2015-SAND-D | | | 3.06% | #^ | | | 08/15/2030 | | | | 5,165,476 | |
| |
| | | | DBRR Trust, | |
| | 1,000,000 | | | Series 2011-C32-A3B | | | 5.90% | #^ | | | 06/17/2049 | | | | 1,045,796 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 5,268,484 | | | Series 2011-LC2A-XA | | | 1.56% | #^ I/O | | | 07/10/2044 | | | | 200,526 | |
| |
| | | | Extended Stay America Trust, | |
| | 174,239 | | | Series 2013-ESFL-DFL | | | 3.34% | #^ | | | 12/05/2031 | | | | 174,585 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 3,707,800 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 3,810,504 | |
| | 3,500,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 3,701,439 | |
| | 3,681,100 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 3,831,083 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 2,600,000 | | | Series 2006-GG6-AJ | | | 5.60% | # | | | 04/10/2038 | | | | 2,612,561 | |
| | 10,122,951 | | | Series 2006-GG6-XC | | | 0.04% | #^ I/O | | | 04/10/2038 | | | | 962 | |
| | 3,811,500 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 3,845,388 | |
| | 4,674,125 | | | Series 2011-GC5-XA | | | 1.81% | #^ I/O | | | 08/10/2044 | | | | 223,741 | |
| | 5,611,332 | | | Series 2012-GC6-XA | | | 2.26% | #^ I/O | | | 01/10/2045 | | | | 530,133 | |
| | 3,741,000 | | | Series 2014-GC26-C | | | 4.66% | # | | | 11/10/2047 | | | | 3,763,066 | |
| | 986,700 | | | Series 2015-GC32-B | | | 4.55% | # | | | 07/10/2048 | | | | 1,028,135 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 28,237,747 | | | Series 2006-LDP8-X | | | 0.69% | # I/O | | | 05/15/2045 | | | | 97,985 | |
| | 2,500,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 2,564,986 | |
| | 1,000,000 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 1,045,887 | |
| | 3,684,600 | | | Series 2007-CIBC19-AM | | | 5.88% | # | | | 02/12/2049 | | | | 3,881,341 | |
| | 3,705,300 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 3,791,639 | |
| | 3,750,000 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 3,999,688 | |
| | 12,050,000 | | | Series 2009-IWST-XB | | | 0.54% | #^ I/O | | | 12/05/2027 | | | | 183,497 | |
| | 1,000,000 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 1,040,581 | |
| | 10,970,394 | | | Series 2011-C4-XA | | | 1.63% | #^ I/O | | | 07/15/2046 | | | | 378,391 | |
| | 32,632,612 | | | Series 2012-C8-XA | | | 2.25% | # I/O | | | 10/15/2045 | | | | 2,903,438 | |
| | 7,120,044 | | | Series 2012-CBX-XA | | | 1.92% | # I/O | | | 06/15/2045 | | | | 480,016 | |
| | 1,700,000 | | | Series 2015-CSMO-C | | | 2.46% | #^ | | | 01/15/2032 | | | | 1,693,408 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 58,937,419 | | | Series 2014-C18-XA | | | 1.30% | # I/O | | | 02/15/2047 | | | | 3,553,249 | |
| | 3,000,000 | | | Series 2014-C21-C | | | 4.82% | # | | | 08/15/2047 | | | | 3,008,102 | |
| | 2,766,125 | | | Series 2014-C23-C | | | 4.61% | # | | | 09/15/2047 | | | | 2,776,234 | |
| | 3,766,500 | | | Series 2014-C25-C | | | 4.60% | # | | | 11/15/2047 | | | | 3,750,786 | |
| | 58,746,652 | | | Series 2014-C25-XA | | | 1.16% | # I/O | | | 11/15/2047 | | | | 3,770,624 | |
| | 50,930,755 | | | Series 2014-C26-XA | | | 1.33% | # I/O | | | 01/15/2048 | | | | 3,477,450 | |
| | 4,474,600 | | | Series 2015-C27-D | | | 3.98% | #^ | | | 02/15/2048 | | | | 3,661,657 | |
| | 34,812,696 | | | Series 2015-C27-XA | | | 1.53% | # I/O | | | 02/15/2048 | | | | 2,907,173 | |
| | 4,500,000 | | | Series 2015-C30-B | | | 4.46% | # | | | 07/15/2048 | | | | 4,503,913 | |
| | 52,519,049 | | | Series 2015-C31-XA | | | 1.20% | # I/O | | | 08/15/2048 | | | | 3,581,221 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 3,000,000 | | | Series 2007-C3-AMFL | | | 6.10% | #^ | | | 07/15/2044 | | | | 3,204,069 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 8,466,647 | | | Series 2006-C7-XCL | | | 0.85% | #^ I/O | | | 11/15/2038 | | | | 54,254 | |
| | 6,828,228 | | | Series 2006-C7-XW | | | 0.85% | #^ I/O | | | 11/15/2038 | | | | 42,062 | |
| | 2,100,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 2,161,481 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 3,050,000 | | | Series 2006-C1-AJ | | | 5.87% | # | | | 05/12/2039 | | | | 3,067,245 | |
| | 1,600,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 1,612,202 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 3,728,700 | | | Series 2007-5-AM | | | 5.42% | | | | 08/12/2048 | | | | 3,878,301 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 2,821,189 | | | Series 2012-C5-XA | | | 1.97% | #^ I/O | | | 08/15/2045 | | | | 205,147 | |
| | 3,000,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 3,081,246 | |
| | 4,000,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 3,912,196 | |
| | 39,647,277 | | | Series 2015-C20-XA | | | 1.57% | # I/O | | | 02/15/2048 | | | | 3,649,373 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 3,813,300 | | | Series 2006-HQ8-AJ | | | 5.67% | # | | | 03/12/2044 | | | | 3,831,663 | |
| | 3,462,000 | | | Series 2007-1Q16-AMA | | | 6.27% | # | | | 12/12/2049 | | | | 3,698,460 | |
| | 3,818,800 | | | Series 2007-IQ13-AJ | | | 5.44% | | | | 03/15/2044 | | | | 3,834,629 | |
| | 3,700,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 3,845,347 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 39 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Capital, Inc., (Cont.) | |
| | 1,400,000 | | | Series 2007-IQ16-AM | | | 6.28% | # | | | 12/12/2049 | | | | 1,508,483 | |
| | 18,672,613 | | | Series 2011-C1-XA | | | 0.95% | #^ I/O | | | 09/15/2047 | | | | 284,813 | |
| | 4,000,000 | | | Series 2014-CPT-G | | | 3.56% | #^ | | | 07/13/2029 | | | | 3,852,392 | |
| | 4,000,000 | | | Series 2014-MP-D | | | 3.82% | #^ | | | 08/11/2029 | | | | 4,078,404 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 665,157 | | | Series 2007-C4-AJ | | | 5.48% | # | | | 08/15/2039 | | | | 667,602 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 14,208,103 | | | Series 2012-C3-XA | | | 2.27% | #^ I/O | | | 08/10/2049 | | | | 1,395,804 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 2,500,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 2,539,393 | |
| | 15,771,911 | | | Series 2006-C29-IO | | | 0.53% | # I/O | | | 11/15/2048 | | | | 66,274 | |
| | 1,900,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 1,919,779 | |
| | 3,500,000 | | | Series 2007-C33-AM | | | 6.15% | # | | | 02/15/2051 | | | | 3,736,997 | |
| | 2,500,000 | | | Series 2007-C33-B | | | 6.15% | # | | | 02/15/2051 | | | | 2,531,105 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 2,200,000 | | | Series 2015-C28-C | | | 4.28% | # | | | 05/15/2048 | | | | 2,098,498 | |
| | 56,343,156 | | | Series 2015-NXS1-XA | | | 1.35% | # I/O | | | 05/15/2048 | | | | 4,352,255 | |
| | 4,000,000 | | | Series 2015-NXS3-C | | | 4.64% | # | | | 09/15/2057 | | | | 3,832,240 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 18,838,876 | | | Series 2012-C9-XA | | | 2.34% | #^ I/O | | | 11/15/2045 | | | | 1,850,364 | |
| | 29,801,557 | | | Series 2014-C21-XA | | | 1.34% | # I/O | | | 08/15/2047 | | | | 2,163,980 | |
| | 56,523,316 | | | Series 2014-C22-XA | | | 1.11% | # I/O | | | 09/15/2057 | | | | 3,427,150 | |
| | 59,409,672 | | | Series 2014-C24-XA | | | 1.13% | # I/O | | | 11/15/2047 | | | | 3,835,429 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $225,514,256) | | | | 218,007,233 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 10.5% |
|
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 94,185 | | | Series 2007-3-1A1 | | | 3.69% | #^ | | | 11/25/2037 | | | | 78,863 | |
| |
| | | | American General Mortgage Loan Trust, | |
| | 2,916,672 | | | Series 2010-1-A3 | | | 5.65% | #^ | | | 03/25/2058 | | | | 2,950,808 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 2,171,650 | | | Series 2005-G-A3 | | | 3.26% | # | | | 10/20/2035 | | | | 2,073,715 | |
| | 959,980 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 964,938 | |
| | 753,930 | | | Series 2006-6-1A2 | | | 6.25% | | | | 08/25/2036 | | | | 744,548 | |
| |
| | | | BCAP LLC Trust, | |
| | 1,007,143 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 1,032,462 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 300,352 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 242,811 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 5,466,549 | | | Series 2007-A2-6A4 | | | 2.62% | # | | | 07/25/2037 | | | | 4,857,892 | |
| | 1,951,738 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 1,718,443 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 157,894 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 160,259 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 1,800,000 | | | Series 2006-2-A5 | | | 5.93% | # | | | 09/25/2036 | | | | 1,806,574 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 360,353 | | | Series 2006-WF2-A2C | | | 5.53% | # | | | 05/25/2036 | | | | 241,728 | |
| | 4,928,000 | | | Series 2008-AR4-2A1B | | | 2.79% | #^ | | | 11/25/2038 | | | | 4,685,204 | |
| | 2,688,163 | | | Series 2010-8-5A4 | | | 7.17% | #^ | | | 11/25/2036 | | | | 2,458,247 | |
| | 13,663,383 | | | Series 2010-8-6A4 | | | 6.90% | #^ | | | 12/25/2036 | | | | 12,555,292 | |
| | 1,368,753 | | | Series 2011-12-3A1 | | | 2.67% | #^ | | | 09/25/2047 | | | | 1,366,549 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 252,913 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 223,789 | |
| | 114,115 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 95,284 | |
| | 247,114 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 213,116 | |
| | 14,342,738 | | | Series 2007-A5-1A10 | | | 5.75% | | | | 05/25/2037 | | | | 12,359,209 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 2,763,427 | | | Series 2004-22CB-1A1 | | | 6.00% | | | | 10/25/2034 | | | | 2,932,039 | |
| | 313,854 | | | Series 2005-20CB-1A1 | | | 5.50% | | | | 07/25/2035 | | | | 298,289 | |
| | 368,336 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 294,819 | |
| | 1,785,094 | | | Series 2005-46CB-A22 | | | 5.25% | | | | 10/25/2035 | | | | 1,686,507 | |
| | 292,895 | | | Series 2005-J10-1A13 | | | 0.89% | # | | | 10/25/2035 | | | | 234,349 | |
| | 589,658 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 519,065 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, (Cont.) | |
| | 13,524,602 | | | Series 2006-42-1A8 | | | 6.00% | | | | 01/25/2047 | | | | 12,291,591 | |
| | 2,120,539 | | | Series 2007-12T1-A1 | | | 6.00% | | | | 06/25/2037 | | | | 1,792,294 | |
| | 2,291,990 | | | Series 2007-16CB-2A1 | | | 0.64% | # | | | 08/25/2037 | | | | 1,426,530 | |
| | 663,703 | | | Series 2007-16CB-2A2 | | | 52.97% | # I/F | | | 08/25/2037 | | | | 1,619,127 | |
| | 170,800 | | | Series 2007-17CB-1A10 | | | 29.01% | # I/F | | | 08/25/2037 | | | | 271,478 | |
| | 870,810 | | | Series 2007-18CB-2A17 | | | 6.00% | | | | 08/25/2037 | | | | 784,164 | |
| | 3,579,507 | | | Series 2007-23CB-A3 | | | 0.69% | # | | | 09/25/2037 | | | | 2,370,818 | |
| | 3,516,257 | | | Series 2007-23CB-A4 | | | 6.31% | # I/F I/O | | | 09/25/2037 | | | | 996,319 | |
| | 797,818 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 347,505 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 152,688 | | | Series 2005-13-AF3 | | | 4.90% | # | | | 04/25/2036 | | | | 138,015 | |
| |
| | | | Countrywide Home Loans, | |
| | 103,971 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 105,323 | |
| | 694,560 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 645,006 | |
| | 1,294,839 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 1,185,648 | |
| | 569,429 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 557,387 | |
| | 1,523,134 | | | Series 2007-3-A17 | | | 6.00% | | | | 04/25/2037 | | | | 1,422,699 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 156,852 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 145,497 | |
| | 2,428,755 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 2,231,030 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 5,975,697 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 5,164,084 | |
| | 212,207 | | | Series 2006-4-7A1 | | | 5.50% | | | | 05/25/2021 | | | | 203,301 | |
| | 176,711 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 141,697 | |
| | 68,052 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 67,490 | |
| | 7,940,911 | | | Series 2010-4R-3A17 | | | 6.00% | #^ | | | 06/26/2037 | | | | 7,899,489 | |
| | 12,275,540 | | | Series 2013-IVR1-A1 | | | 2.50% | #^ | | | 03/25/2043 | | | | 11,796,192 | |
| | 25,141,598 | | | Series 2013-IVR4 | | | 3.50% | #^ | | | 07/25/2043 | | | | 25,461,161 | |
| | 19,771,989 | | | Series 2015-PR2-A1 | | | 4.25% | #^ | | | 07/26/2055 | | | | 19,638,771 | |
| | 34,229,449 | | | Series 2015-RPL3-A1 | | | 3.75% | #^ | | | 12/25/2056 | | | | 34,387,315 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 17,851,056 | | | Series 2005-6-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 15,619,567 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 2,128,910 | | | Series 2006-PR1-3A1 | | | 11.85% | #^ I/F | | | 04/15/2036 | | | | 2,454,439 | |
| | 234,158 | | | Series 2006-PR1-4AI2 | | | 14.23% | #^ I/F | | | 04/15/2036 | | | | 289,214 | |
| | 1,651,829 | | | Series 2006-PR1-5AI4 | | | 11.85% | #^ I/F | | | 04/15/2036 | | | | 1,985,323 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 594,307 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 501,900 | |
| | 5,461,108 | | | Series 2006-FA8-1A1 | | | 6.25% | | | | 02/25/2037 | | | | 4,385,270 | |
| | 144,725 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 134,627 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 497,086 | | | Series 2005-7-AF5 | | | 4.61% | # | | | 05/25/2035 | | | | 522,090 | |
| | 2,301,414 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 2,032,576 | |
| | 1,723,696 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 1,319,965 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 85,131 | | | Series 2006-2F-5A1 | | | 4.50% | | | | 01/25/2021 | | | | 81,539 | |
| | 7,879,277 | | | Series 2006-3F-4A1 | | | 6.00% | | | | 03/25/2036 | | | | 7,228,322 | |
| | 1,146,841 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 1,098,940 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 33,725 | | | Series 2006-2-2A1 | | | 5.50% | | | | 12/25/2021 | | | | 33,867 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 36,967,555 | | | Series 2006-5-1A1C | | | 0.46% | # | | | 02/25/2037 | | | | 28,535,034 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 440,882 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 328,151 | |
| | 9,614,129 | | | Series 2006-S3-A4 | | | 6.31% | # | | | 08/25/2036 | | | | 7,969,940 | |
| | 1,306,559 | | | Series 2006-S3-A6 | | | 6.12% | # | | | 08/25/2036 | | | | 1,240,240 | |
| | 1,867,825 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 1,807,761 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 440,957 | | | Series 2007-S3-1A7 | | | 6.00% | | | | 08/25/2037 | | | | 407,033 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 1,692,777 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 1,699,487 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 2,885,542 | | | Series 2005-1-2A4 | | | 5.50% | | | | 11/25/2035 | | | | 2,728,745 | |
| | 949,251 | | | Series 2006-3-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 714,954 | |
| | 68,105 | | | Series 2006-9-1A19 | | | 29.79% | # I/F | | | 01/25/2037 | | | | 103,697 | |
| | 1,113,163 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 898,255 | |
| | 250,032 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 197,417 | |
| | | | | | |
| 40 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | MASTR Alternative Loans Trust, | |
| | 155,610 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 151,907 | |
| | 67,249 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 51,722 | |
| |
| | | | MASTR Asset Securitization Trust, | |
| | 224,643 | | | Series 2003-2-30B2 | | | 5.75% | | | | 04/25/2033 | | | | 222,582 | |
| | 4,180,076 | | | Series 2006-2-1A11 | | | 6.00% | # | | | 06/25/2036 | | | | 4,057,428 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 270,769 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 276,977 | |
| | 1,844,401 | | | Series 2005-7-7A4 | | | 5.50% | | | | 11/25/2035 | | | | 1,880,675 | |
| | 4,798,070 | | | Series 2006-7-3A | | | 5.28% | # | | | 06/25/2036 | | | | 4,060,482 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 2,925,231 | | | Series 2010-R6-5C | | | 5.75% | #^ | | | 05/26/2037 | | | | 2,688,277 | |
| |
| | | | Nomura Asset Acceptance Corporation, | |
| | 266,430 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 155,356 | |
| |
| | | | Nomura Home Equity Loan, Inc., | |
| | 692,056 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 377,775 | |
| | 1,236,392 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 681,367 | |
| |
| | | | Option One Mortgage Loan Trust, | |
| | 81,364 | | | Series 2004-3-M3 | | | 1.17% | # | | | 11/25/2034 | | | | 73,852 | |
| |
| | | | PHH Alternative Mortgage Trust, | |
| | 944,657 | | | Series 2007-2-4A1 | | | 6.00% | | | | 05/25/2022 | | | | 866,844 | |
| |
| | | | PR Mortgage Loan Trust, | |
| | 13,388,577 | | | Series 2014-1-APT | | | 5.93% | #^ | | | 10/25/2049 | | | | 13,857,177 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 375,245 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 389,211 | |
| | 596,791 | | | Series 2005-QS14-3A3 | | | 6.00% | | | | 09/25/2035 | | | | 549,826 | |
| | 135,339 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 136,923 | |
| | 679,582 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 551,996 | |
| | 7,415,583 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 6,323,609 | |
| | 7,392,588 | | | Series 2006-QS4-A10 | | | 6.00% | | | | 04/25/2036 | | | | 6,416,094 | |
| | 1,491,196 | | | Series 2006-QS6-1A15 | | | 6.00% | | | | 06/25/2036 | | | | 1,239,260 | |
| | 387,790 | | | Series 2006-QS6-2A1 | | | 6.00% | | | | 06/25/2021 | | | | 380,579 | |
| | 2,224,199 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 1,822,549 | |
| | 7,763,117 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 6,841,309 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 547,526 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 551,086 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 291,280 | | | Series 2005-A10-A3 | | | 5.50% | | | | 09/25/2035 | | | | 256,934 | |
| | 380,033 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 311,945 | |
| | 88,544 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 79,236 | |
| | 2,078,657 | | | Series 2006-A6-1A1 | | | 6.50% | | | | 07/25/2036 | | | | 1,235,454 | |
| | 203,666 | | | Series 2006-R1-A1 | | | 27.62% | # I/F | | | 01/25/2046 | | | | 377,978 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 193,722 | | | Series 2006-S10-1A2 | | | 6.00% | | | | 10/25/2036 | | | | 176,075 | |
| | 1,015,913 | | | Series 2006-S11-A3 | | | 6.00% | | | | 11/25/2036 | | | | 954,413 | |
| | 1,861,767 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 1,709,834 | |
| | 1,330,373 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 1,213,698 | |
| |
| | | | Securitized Mortgage Asset Loan Trust, | |
| | 51,610,296 | | | Series 2015-1-PC | | | 1.71% | #^¥ | | | 02/25/2054 | | | | 38,905,782 | |
| | 9,878,254 | | | Series 2015-2-PC | | | 3.57% | ^¥ | | | 12/26/2059 | | | | 8,672,060 | |
| | 16,950,679 | | | Series 2015-3-PC | | | 3.59% | ^¥ | | | 10/25/2044 | | | | 15,786,286 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 1,550,027 | | | Series 2003-35-1A1 | | | 5.21% | # | | | 12/25/2033 | | | | 1,616,055 | |
| | 2,076,752 | | | Series 2005-14-1A1 | | | 0.49% | # | | | 07/25/2035 | | | | 1,785,691 | |
| | 2,018,899 | | | Series 2005-16-1A3 | | | 5.50% | | | | 09/25/2035 | | | | 2,047,860 | |
| | 1,949,215 | | | Series 2005-RF1-A | | | 0.54% | #^ | | | 03/25/2035 | | | | 1,628,758 | |
| | 1,960,257 | | | Series 2005-RF1-AIO | | | 5.06% | #^ I/O | | | 03/25/2035 | | | | 272,740 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 197,053 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 184,512 | |
| | 1,811,350 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 1,660,245 | |
| | 3,496,555 | | | Series 2006-2-4CB | | | 6.00% | | | | 03/25/2036 | | | | 3,094,899 | |
| | 5,641,923 | | | Series 2006-8-A6 | | | 4.73% | # | | | 10/25/2036 | | | | 3,750,886 | |
| | 4,742,650 | | | Series 2006-AR19-2A | | | 1.91% | # | | | 01/25/2047 | | | | 4,309,708 | |
| | 3,253,616 | | | Series 2007-3-A6 | | | 6.00% | | | | 04/25/2037 | | | | 2,793,952 | |
| | 215,597 | | | Series 2007-5-A11 | | | 38.32% | # I/F | | | 06/25/2037 | | | | 502,164 | |
| | 11,961,096 | | | Series 2007-5-A3 | | | 7.00% | | | | 06/25/2037 | | | | 8,135,926 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 2,306,040 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 2,243,530 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 2,342,895 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 2,393,470 | |
| | 113,598 | | | Series 2005-AR14-A6 | | | 2.72% | # | | | 08/25/2035 | | | | 108,703 | |
| | 186,961 | | | Series 2005-AR16-6A4 | | | 2.73% | # | | | 10/25/2035 | | | | 180,687 | |
| | 843,678 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 863,915 | |
| | 1,951,532 | | | Series 2006-7-2A1 | | | 6.00% | | | | 06/25/2036 | | | | 1,896,216 | |
| | 1,859,772 | | | Series 2007-10-1A5 | | | 6.00% | | | | 07/25/2037 | | | | 1,860,139 | |
| | 2,172,602 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 2,087,741 | |
| | 3,119,158 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 3,097,919 | |
| | 3,678,245 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 3,751,630 | |
| | 926,338 | | | Series 2007-4-A16 | | | 5.50% | | | | 04/25/2037 | | | | 898,220 | |
| | 225,927 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 227,019 | |
| |
| | | | WinWater Mortgage Loan Trust, | |
| | 30,000,000 | | | Series 2015-5-A3 | | | 3.50% | #^ | | | 08/20/2045 | | | | 30,201,563 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $471,707,212) | | | | 480,081,789 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 15.3% | |
| | 3,159,000 | | | 21st Century Fox America, Inc. | | | 4.75% | | | | 09/15/2044 | | | | 3,097,949 | |
| | 6,256,000 | | | AbbVie, Inc. | | | 4.70% | | | | 05/14/2045 | | | | 6,097,267 | |
| | 12,550,000 | | | Actavis Funding SCS | | | 2.35% | | | | 03/12/2018 | | | | 12,607,366 | |
| | 1,693,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 1,786,115 | |
| | 6,840,000 | | | Air Lease Corporation | | | 3.75% | | | | 02/01/2022 | | | | 6,814,186 | |
| | 2,315,000 | | | Air Medical Merger Sub Corporation | | | 6.38% | ^ | | | 05/15/2023 | | | | 2,118,225 | |
| | 3,800,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 3,876,000 | |
| | 6,165,000 | | | Ally Financial, Inc. | | | 4.13% | | | | 03/30/2020 | | | | 6,114,909 | |
| | 3,595,000 | | | Amazon.com, Inc. | | | 3.80% | | | | 12/05/2024 | | | | 3,688,333 | |
| | 2,985,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 3,014,850 | |
| | 2,645,000 | | | American Express Credit Corporation | | | 2.13% | | | | 03/18/2019 | | | | 2,664,512 | |
| | 9,745,000 | | | American Express Credit Corporation | | | 2.25% | | | | 08/15/2019 | | | | 9,785,091 | |
| | 3,174,000 | | | Amgen, Inc. | | | 2.70% | | | | 05/01/2022 | | | | 3,102,823 | |
| | 1,935,000 | | | Apache Corporation | | | 4.75% | | | | 04/15/2043 | | | | 1,753,423 | |
| | 4,747,000 | | | Apple, Inc. | | | 0.90% | | | | 05/12/2017 | | | | 4,757,235 | |
| | 610,000 | | | Argos Merger Sub, Inc. | | | 7.13% | ^ | | | 03/15/2023 | | | | 618,387 | |
| | 884,000 | | | Asbury Automotive Group, Inc. | | | 6.00% | | | | 12/15/2024 | | | | 919,360 | |
| | 1,905,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 1,781,175 | |
| | 6,425,000 | | | AT&T, Inc. | | | 3.40% | | | | 05/15/2025 | | | | 6,147,665 | |
| | 1,834,000 | | | Audatex North America, Inc. | | | 6.00% | ^ | | | 06/15/2021 | | | | 1,844,527 | |
| | 1,870,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 1,811,562 | |
| | 9,339,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 9,379,270 | |
| | 4,690,000 | | | Baxalta, Inc. | | | 5.25% | ^ | | | 06/23/2045 | | | | 4,656,968 | |
| | 6,255,000 | | | BB&T Corporation | | | 2.45% | | | | 01/15/2020 | | | | 6,318,426 | |
| | 6,411,000 | | | Berkshire Hathaway Energy Company | | | 6.50% | | | | 09/15/2037 | | | | 8,083,040 | |
| | 2,445,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 2,374,706 | |
| | 4,592,000 | | | Boeing Company | | | 6.88% | | | | 03/15/2039 | | | | 6,363,208 | |
| | 6,092,000 | | | Boston Properties LP | | | 4.13% | | | | 05/15/2021 | | | | 6,505,226 | |
| | 6,505,000 | | | Burlington Northern Santa Fe LLC | | | 4.55% | | | | 09/01/2044 | | | | 6,409,591 | |
| | 6,470,000 | | | Cardinal Health, Inc. | | | 1.95% | | | | 06/15/2018 | | | | 6,481,646 | |
| | 3,857,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 3,625,580 | |
| | 440,000 | | | CCO Holdings LLC | | | 5.13% | ^ | | | 05/01/2023 | | | | 406,173 | |
| | 1,885,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 1,972,181 | |
| | 3,205,000 | | | Celgene Corporation | | | 3.88% | | | | 08/15/2025 | | | | 3,213,503 | |
| | 2,700,000 | | | Cequel Communications LLC | | | 6.38% | ^ | | | 09/15/2020 | | | | 2,558,250 | |
| | 6,660,000 | | | Chevron Corporation | | | 1.37% | | | | 03/02/2018 | | | | 6,667,666 | |
| | 6,250,000 | | | Cisco Systems, Inc. | | | 1.65% | | | | 06/15/2018 | | | | 6,298,456 | |
| | 9,380,000 | | | Citigroup, Inc. | | | 1.75% | | | | 05/01/2018 | | | | 9,327,669 | |
| | 6,230,000 | | | Coca-Cola Company | | | 1.65% | | | | 11/01/2018 | | | | 6,295,023 | |
| | 2,200,000 | | | Comcast Corporation | | | 4.20% | | | | 08/15/2034 | | | | 2,175,279 | |
| | 4,050,000 | | | Comcast Corporation | | | 4.40% | | | | 08/15/2035 | | | | 4,085,782 | |
| | 1,853,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 1,818,256 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 41 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 2,785,000 | | | ConocoPhillips Company | | | 6.50% | | | | 02/01/2039 | | | | 3,370,376 | |
| | 8,015,000 | | | Covidien International Finance S.A. | | | 2.95% | | | | 06/15/2023 | | | | 7,926,939 | |
| | 990,000 | | | Dana Holding Corporation | | | 5.50% | | | | 12/15/2024 | | | | 957,825 | |
| | 6,399,000 | | | Delphi Corporation | | | 4.15% | | | | 03/15/2024 | | | | 6,466,420 | |
| | 5,489,000 | | | Devon Energy Corporation | | | 6.30% | | | | 01/15/2019 | | | | 6,149,788 | |
| | 475,000 | | | Dollar Tree, Inc. | | | 5.75% | ^ | | | 03/01/2023 | | | | 495,187 | |
| | 6,390,000 | | | Dow Chemical Company | | | 3.00% | | | | 11/15/2022 | | | | 6,188,728 | |
| | 6,415,000 | | | Duke Energy Progress, Inc. | | | 4.15% | | | | 12/01/2044 | | | | 6,474,416 | |
| | 2,625,000 | | | Energy Gulf Coast, Inc. | | | 9.25% | | | | 12/15/2017 | | | | 564,375 | |
| | 427,000 | | | Energy Gulf Coast, Inc. | | | 11.00% | ^ | | | 03/15/2020 | | | | 202,825 | |
| | 990,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 133,650 | |
| | 1,355,000 | | | Energy Partners Ltd. | | | 8.25% | | | | 02/15/2018 | | | | 338,750 | |
| | 6,505,000 | | | Energy Transfer Partners LP | | | 4.75% | | | | 01/15/2026 | | | | 5,999,535 | |
| | 2,575,000 | | | Ensemble S Merger Sub, Inc. | | | 9.00% | ^ | | | 09/30/2023 | | | | 2,500,969 | |
| | 4,838,000 | | | Enterprise Products Operating LLC | | | 3.70% | | | | 02/15/2026 | | | | 4,583,391 | |
| | 1,143,000 | | | EP Energy LLC | | | 9.38% | | | | 05/01/2020 | | | | 988,695 | |
| | 7,040,000 | | | FedEx Corporation | | | 4.10% | | | | 02/01/2045 | | | | 6,406,935 | |
| | 4,985,000 | | | Ford Motor Company | | | 7.45% | | | | 07/16/2031 | | | | 6,210,178 | |
| | 545,000 | | | Frontier Communications Corporation | | | 10.50% | ^ | | | 09/15/2022 | | | | 531,375 | |
| | 6,230,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 6,120,975 | |
| | 5,280,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 4,276,800 | |
| | 12,244,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 12,540,158 | |
| | 1,275,000 | | | General Motors Financial Company, Inc. | | | 2.40% | | | | 04/10/2018 | | | | 1,265,129 | |
| | 6,900,000 | | | General Motors Financial Company, Inc. | | | 3.20% | | | | 07/13/2020 | | | | 6,823,610 | |
| | 12,629,000 | | | Georgia-Pacific LLC | | | 3.60% | ^ | | | 03/01/2025 | | | | 12,648,221 | |
| | 6,195,000 | | | Goldman Sachs Group, Inc. | | | 2.60% | | | | 04/23/2020 | | | | 6,210,822 | |
| | 1,170,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 1,247,512 | |
| | 2,985,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 3,070,819 | |
| | 1,865,000 | | | HCA, Inc. | | | 5.38% | | | | 02/01/2025 | | | | 1,855,675 | |
| | 1,900,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 1,985,500 | |
| | 5,225,000 | | | Hewlett-Packard Company | | | 3.60% | ^ | | | 10/15/2020 | | | | 5,239,006 | |
| | 2,150,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 1,838,250 | |
| | 6,160,000 | | | HJ Heinz Company | | | 1.60% | ^ | | | 06/30/2017 | | | | 6,172,111 | |
| | 3,205,000 | | | Home Depot, Inc. | | | 3.35% | | | | 09/15/2025 | | | | 3,269,321 | |
| | 2,600,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 2,610,400 | |
| | 3,505,000 | | | Infor, Inc. | | | 6.50% | ^ | | | 05/15/2022 | | | | 3,224,600 | |
| | 10,000,000 | | | International Business Machines Corporation | | | 1.13% | | | | 02/06/2018 | | | | 9,979,240 | |
| | 2,760,000 | | | International Business Machines Corporation | | | 1.25% | | | | 02/08/2018 | | | | 2,762,981 | |
| | 1,325,000 | | | JBS LLC | | | 5.75% | ^ | | | 06/15/2025 | | | | 1,219,000 | |
| | 6,196,000 | | | JP Morgan Chase & Company | | | 1.70% | | | | 03/01/2018 | | | | 6,184,079 | |
| | 6,435,000 | | | JPMorgan Chase & Company | | | 4.25% | | | | 10/01/2027 | | | | 6,426,770 | |
| | 3,591,000 | | | Kellogg Company | | | 7.45% | | | | 04/01/2031 | | | | 4,660,407 | |
| | 5,970,000 | | | Kinder Morgan Energy Partners LP | | | 6.95% | | | | 01/15/2038 | | | | 5,934,884 | |
| | 1,725,000 | | | Kindred Healthcare, Inc. | | | 8.00% | ^ | | | 01/15/2020 | | | | 1,832,812 | |
| | 9,251,000 | | | Kroger Company | | | 3.40% | | | | 04/15/2022 | | | | 9,444,596 | |
| | 6,202,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 6,275,977 | |
| | 6,795,000 | | | Laboratory Corporation | | | 4.70% | | | | 02/01/2045 | | | | 6,193,799 | |
| | 2,516,000 | | | Level 3 Communications, Inc. | | | 5.75% | | | | 12/01/2022 | | | | 2,475,115 | |
| | 1,875,000 | | | Levi Strauss & Company | | | 5.00% | | | | 05/01/2025 | | | | 1,846,875 | |
| | 8,104,000 | | | Liberty Mutual Group, Inc. | | | 6.50% | ^ | | | 05/01/2042 | | | | 9,702,506 | |
| | 2,960,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 2,993,300 | |
| | 3,230,000 | | | McGraw Hill Financial, Inc. | | | 4.40% | ^ | | | 02/15/2026 | | | | 3,285,915 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 5,510,000 | | | Memorial Productions Partners LP | | | 6.88% | | | | 08/01/2022 | | | | 3,388,650 | |
| | 13,046,000 | | | MetLife, Inc. | | | 4.13% | | | | 08/13/2042 | | | | 12,425,415 | |
| | 1,150,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 1,184,500 | |
| | 2,220,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 2,275,500 | |
| | 6,215,000 | | | Morgan Stanley | | | 2.65% | | | | 01/27/2020 | | | | 6,248,586 | |
| | 6,220,000 | | | Morgan Stanley | | | 3.75% | | | | 02/25/2023 | | | | 6,363,048 | |
| | 6,344,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 6,331,820 | |
| | 2,715,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 10.38% | | | | 11/01/2018 | | | | 3,396,682 | |
| | 7,690,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 2.00% | | | | 01/27/2020 | | | | 7,621,720 | |
| | 4,291,000 | | | NCL Corporation Ltd. | | | 5.25% | ^ | | | 11/15/2019 | | | | 4,395,615 | |
| | 8,612,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 8,782,940 | |
| | 3,800,000 | | | Oracle Corporation | | | 2.25% | | | | 10/08/2019 | | | | 3,848,853 | |
| | 2,985,000 | | | PepsiCo, Inc. | | | 3.10% | | | | 07/17/2022 | | | | 3,055,858 | |
| | 2,114,000 | | | Phillips 66 | | | 5.88% | | | | 05/01/2042 | | | | 2,297,313 | |
| | 705,000 | | | Phillips 66 | | | 4.88% | | | | 11/15/2044 | | | | 682,389 | |
| | 890,000 | | | Pilgrim’s Pride Corporation | | | 5.75% | ^ | | | 03/15/2025 | | | | 876,650 | |
| | 4,665,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 4,478,400 | |
| | 945,000 | | | Platform Specialty Products Corporation | | | 6.50% | ^ | | | 02/01/2022 | | | | 817,425 | |
| | 6,131,000 | | | PNC Funding Corporation | | | 3.30% | | | | 03/08/2022 | | | | 6,319,467 | |
| | 1,765,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 1,802,506 | |
| | 1,845,000 | | | Quintiles Transnational Corporation | | | 4.88% | ^ | | | 05/15/2023 | | | | 1,831,162 | |
| | 1,725,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 1,701,281 | |
| | 3,879,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 3,782,025 | |
| | 4,300,000 | | | Reynolds Group Issuer LLC | | | 8.25% | | | | 02/15/2021 | | | | 4,310,750 | |
| | 6,130,000 | | | Reynolds, Inc. | | | 4.00% | | | | 06/12/2022 | | | | 6,416,725 | |
| | 1,030,000 | | | Rite Aid Corporation | | | 6.13% | ^ | | | 04/01/2023 | | | | 1,026,137 | |
| | 2,474,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 2,591,515 | |
| | 1,365,000 | | | Sanchez Energy Corporation | | | 6.13% | | | | 01/15/2023 | | | | 921,375 | |
| | 735,000 | | | Sandridge Energy, Inc. | | | 8.75% | ^ | | | 06/01/2020 | | | | 446,972 | |
| | 4,073,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 4,210,464 | |
| | 1,860,000 | | | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 1,846,050 | |
| | 3,200,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 3,136,000 | |
| | 3,282,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 3,396,870 | |
| | 4,900,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 4,655,000 | |
| | 2,630,000 | | | Simon Property Group LP | | | 5.65% | | | | 02/01/2020 | | | | 2,986,299 | |
| | 3,853,000 | | | Simon Property Group LP | | | 4.13% | | | | 12/01/2021 | | | | 4,126,135 | |
| | 9,380,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 9,491,275 | |
| | 2,295,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 2,214,675 | |
| | 2,530,000 | | | Spectrum Brands, Inc. | | | 5.75% | ^ | | | 07/15/2025 | | | | 2,593,250 | |
| | 2,630,000 | | | State Street Corporation | | | 3.55% | | | | 08/18/2025 | | | | 2,681,225 | |
| | 2,065,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 2,157,925 | |
| | 2,990,000 | | | Steel Dynamics, Inc. | | | 5.13% | | | | 10/01/2021 | | | | 2,847,975 | |
| | 6,188,000 | | | Synchrony Financial | | | 3.00% | | | | 08/15/2019 | | | | 6,242,937 | |
| | 1,835,000 | | | Tenet Healthcare Corporation | | | 6.75% | | | | 06/15/2023 | | | | 1,825,825 | |
| | 3,061,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 2,976,822 | |
| | 3,945,000 | | | Tesoro Logistics LP | | | 6.25% | ^ | | | 10/15/2022 | | | | 3,866,100 | |
| | 9,555,000 | | | Thermo Fisher Scientific, Inc. | | | 3.30% | | | | 02/15/2022 | | | | 9,598,294 | |
| | 6,360,000 | | | TIAA Asset Management Finance Company LLC | | | 2.95% | ^ | | | 11/01/2019 | | | | 6,454,961 | |
| | 3,290,000 | | | Time Warner, Inc. | | | 3.60% | | | | 07/15/2025 | | | | 3,236,916 | |
| | 4,110,000 | | | TransDigm, Inc. | | | 6.00% | | | | 07/15/2022 | | | | 3,853,125 | |
| | | | | | |
| 42 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 4,263,000 | | | Triangle USA Petroleum Corporation | | | 6.75% | ^ | | | 07/15/2022 | | | | 1,811,775 | |
| | 2,515,000 | | | Tribune Media Company | | | 5.88% | ^ | | | 07/15/2022 | | | | 2,445,837 | |
| | 12,280,000 | | | Tyson Foods, Inc. | | | 3.95% | | | | 08/15/2024 | | | | 12,536,075 | |
| | 3,590,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 2,602,750 | |
| | 2,065,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 2,204,388 | |
| | 13,385,000 | | | Verizon Communications, Inc. | | | 4.40% | | | | 11/01/2034 | | | | 12,499,194 | |
| | 4,120,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 4,532,000 | |
| | 13,235,000 | | | Walgreens Boots Alliance, Inc. | | | 4.80% | | | | 11/18/2044 | | | | 12,743,333 | |
| | 5,130,000 | | | Waste Management, Inc. | | | 4.10% | | | | 03/01/2045 | | | | 4,827,181 | |
| | 2,065,000 | | | WCI Communities, Inc. | | | 6.88% | | | | 08/15/2021 | | | | 2,152,763 | |
| | 6,242,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 6,273,098 | |
| | 12,890,000 | | | Wells Fargo & Company | | | 3.55% | | | | 09/29/2025 | | | | 12,921,838 | |
| | 6,105,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 6,211,502 | |
| | 6,325,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 6,314,608 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $716,143,143) | | | | | | | | 701,620,125 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 19.6% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 1,460,301 | | | Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 1,617,005 | |
| | 844,832 | | | Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 925,485 | |
| | 21,863,405 | | | Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 22,172,357 | |
| | 56,465,213 | | | Pool G08622 | | | 3.00% | | | | 01/01/2045 | | | | 57,159,360 | |
| | 4,226,073 | | | Pool N70081 | | | 5.50% | | | | 07/01/2038 | | | | 4,763,056 | |
| | 10,557,940 | | | Pool Q33789 | | | 3.50% | | | | 06/01/2045 | | | | 11,022,387 | |
| | 5,701,035 | | | Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 5,874,063 | |
| | 864,482 | | | Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 931,023 | |
| | 108,713 | | | Series 2692-SC | | | 12.87% | # I/F | | | 07/15/2033 | | | | 127,664 | |
| | 4,125,065 | | | Series 2722-PS | | | 9.66% | # I/F | | | 12/15/2033 | | | | 4,701,887 | |
| | 216,207 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 239,290 | |
| | 403,441 | | | Series 3002-SN | | | 6.29% | # I/F I/O | | | 07/15/2035 | | | | 74,317 | |
| | 179,229 | | | Series 3045-DI | | | 6.52% | # I/F I/O | | | 10/15/2035 | | | | 35,299 | |
| | 683,338 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 762,743 | |
| | 72,934 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 77,936 | |
| | 864,286 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 960,048 | |
| | 230,708 | | | Series 3275-SC | | | 5.87% | # I/F I/O | | | 02/15/2037 | | | | 31,893 | |
| | 1,612,229 | | | Series 3382-SB | | | 5.79% | # I/F I/O | | | 11/15/2037 | | | | 220,400 | |
| | 1,578,427 | | | Series 3384-S | | | 6.18% | # I/F I/O | | | 11/15/2037 | | | | 229,049 | |
| | 1,767,852 | | | Series 3417-SX | | | 5.97% | # I/F I/O | | | 02/15/2038 | | | | 212,283 | |
| | 194,032 | | | Series 3423-GS | | | 5.44% | # I/F I/O | | | 03/15/2038 | | | | 24,232 | |
| | 194,032 | | | Series 3423-SG | | | 5.44% | # I/F I/O | | | 03/15/2038 | | | | 22,764 | |
| | 298,492 | | | Series 3524-LB | | | 4.66% | # | | | 06/15/2038 | | | | 303,657 | |
| | 767,646 | | | Series 3562-WS | | | 4.74% | # I/F I/O | | | 08/15/2039 | | | | 82,665 | |
| | 523,585 | | | Series 3582-SA | | | 5.79% | # I/F I/O | | | 10/15/2049 | | | | 87,395 | |
| | 928,827 | | | Series 3606-CS | | | 6.14% | # I/F I/O | | | 12/15/2039 | | | | 179,027 | |
| | 507,591 | | | Series 3616-SG | | | 6.14% | # I/F I/O | | | 03/15/2032 | | | | 82,053 | |
| | 2,454,318 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 2,720,969 | |
| | 867,893 | | | Series 3666-SC | | | 5.56% | # I/F I/O | | | 05/15/2040 | | | | 125,741 | |
| | 572,069 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 640,192 | |
| | 2,482,771 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 2,622,345 | |
| | 1,400,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 1,511,945 | |
| | 189,564 | | | Series 3780-YS | | | 9.49% | # I/F | | | 12/15/2040 | | | | 200,462 | |
| | 688,707 | | | Series 3786-SG | | | 9.09% | # I/F | | | 01/15/2041 | | | | 718,554 | |
| | 11,817,123 | | | Series 3792-SE | | | 9.45% | # I/F | | | 01/15/2041 | | | | 12,302,080 | |
| | 2,409,703 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 2,575,010 | |
| | 84,494 | | | Series 3798-SD | | | 9.19% | # I/F | | | 12/15/2040 | | | | 89,185 | |
| | 1,927,946 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 2,193,429 | |
| | 1,156,635 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 1,223,365 | |
| | 3,955,426 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 4,372,769 | |
| | 2,540,943 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 2,831,286 | |
| | 3,736,782 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 4,035,007 | |
| | 251,282 | | | Series 3828-SW | | | 12.58% | # I/F | | | 02/15/2041 | | | | 357,204 | |
| | 3,873,810 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 4,306,367 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| | 3,543,099 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 3,862,894 | |
| | 17,715,495 | | | Series 3889-VZ | | | 4.00% | | | | 07/15/2041 | | | | 18,796,477 | |
| | 2,664,768 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 2,990,268 | |
| | 19,892,284 | | | Series 3967-ZP | | | 4.00% | | | | 09/15/2041 | | | | 21,323,484 | |
| | 5,700,175 | | | Series 3972-AZ | | | 3.50% | | | | 12/15/2041 | | | | 5,638,776 | |
| | 22,771,644 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 24,467,870 | |
| | 8,321,352 | | | Series 4096-DZ | | | 3.50% | | | | 08/15/2042 | | | | 8,471,332 | |
| | 26,434,806 | | | Series 4165-ZT | | | 3.00% | | | | 02/15/2043 | | | | 24,849,207 | |
| | 12,373,268 | | | Series 4291-MS | | | 5.69% | # I/F I/O | | | 01/15/2054 | | | | 2,605,606 | |
| | 17,141,130 | | | Series 4341-AZ | | | 3.00% | | | | 05/15/2044 | | | | 15,835,242 | |
| | 25,266,823 | | | Series 4377-A | | | 3.00% | | | | 06/15/2039 | | | | 26,101,222 | |
| | 17,754,290 | | | Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 18,386,387 | |
| | 12,354,630 | | | Series 4413-AZ | | | 3.50% | | | | 11/15/2044 | | | | 12,663,526 | |
| | 12,544,580 | | | Series 4419-TB | | | 3.00% | | | | 02/15/2040 | | | | 12,894,599 | |
| | 10,265,583 | | | Series 4423-Z | | | 3.50% | | | | 12/15/2044 | | | | 10,287,577 | |
| | 25,297,897 | | | Series 4427-MA | | | 3.00% | | | | 02/15/2034 | | | | 26,454,859 | |
| | 34,358,697 | | | Series 4471-BA | | | 3.00% | | | | 12/15/2041 | | | | 35,609,783 | |
| | 48,317,337 | | | Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 49,389,353 | |
| | 29,595,513 | | | Series 4481-B | | | 3.00% | | | | 12/15/2042 | | | | 30,341,512 | |
| | 20,000,000 | | | Series 4511-QA | | | 3.00% | | | | 01/15/2041 | | | | 20,563,000 | |
| | 908,799 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 1,020,402 | |
| |
| | | | Federal National Mortgage Association, | |
| | 101,662 | | | Series 2003-117-KS | | | 6.91% | # I/F I/O | | | 08/25/2033 | | | | 6,961 | |
| | 477,892 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 546,951 | |
| | 4,658,924 | | | Series 2005-20-QH | | | 5.00% | | | | 03/25/2035 | | | | 5,176,417 | |
| | 758,374 | | | Series 2006-101-SA | | | 6.39% | # I/F I/O | | | 10/25/2036 | | | | 151,645 | |
| | 346,005 | | | Series 2006-56-SM | | | 6.56% | # I/F I/O | | | 07/25/2036 | | | | 68,959 | |
| | 286,251 | | | Series 2007-116-BI | | | 6.06% | # I/F I/O | | | 05/25/2037 | | | | 50,906 | |
| | 3,105,758 | | | Series 2007-30-FS | | | 28.93% | # I/F | | | 04/25/2037 | | | | 5,295,076 | |
| | 1,207,621 | | | Series 2007-30-OI | | | 6.25% | # I/F I/O | | | 04/25/2037 | | | | 251,128 | |
| | 233,617 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 253,787 | |
| | 272,608 | | | Series 2008-62-SC | | | 5.81% | # I/F I/O | | | 07/25/2038 | | | | 38,859 | |
| | 1,604,571 | | | Series 2009-111-EZ | | | 5.00% | | | | 01/25/2040 | | | | 1,708,160 | |
| | 87,382 | | | Series 2009-111-SE | | | 6.06% | # I/F I/O | | | 01/25/2040 | | | | 10,863 | |
| | 155,890 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 172,037 | |
| | 230,245 | | | Series 2009-48-WS | | | 5.76% | # I/F I/O | | | 07/25/2039 | | | | 27,360 | |
| | 1,254,477 | | | Series 2009-62-PS | | | 5.91% | # I/F I/O | | | 08/25/2039 | | | | 153,784 | |
| | 2,524,740 | | | Series 2009-77-ZA | | | 4.50% | | | | 10/25/2039 | | | | 2,742,372 | |
| | 671,535 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 709,311 | |
| | 291,318 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 322,526 | |
| | 55,491 | | | Series 2010-109-BS | | | 52.83% | # I/F | | | 10/25/2040 | | | | 218,463 | |
| | 1,040,756 | | | Series 2010-112-ZA | | | 4.00% | | | | 10/25/2040 | | | | 1,086,083 | |
| | 523,504 | | | Series 2010-121-SD | | | 4.31% | # I/F I/O | | | 10/25/2040 | | | | 59,653 | |
| | 29,336 | | | Series 2010-137-VS | | | 14.41% | # I/F | | | 12/25/2040 | | | | 45,762 | |
| | 2,417,735 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 2,566,631 | |
| | 205,386 | | | Series 2010-31-SA | | | 4.81% | # I/F I/O | | | 04/25/2040 | | | | 21,829 | |
| | 213,522 | | | Series 2010-34-PS | | | 4.74% | # I/F I/O | | | 04/25/2040 | | | | 23,052 | |
| | 341,644 | | | Series 2010-35-SP | | | 6.16% | # I/F I/O | | | 04/25/2050 | | | | 64,592 | |
| | 159,268 | | | Series 2010-35-SV | | | 6.26% | # I/F I/O | | | 04/25/2040 | | | | 19,977 | |
| | 5,770,199 | | | Series 2010-37-MY | | | 4.50% | | | | 04/25/2040 | | | | 6,232,793 | |
| | 432,986 | | | Series 2010-59-PS | | | 6.26% | # I/F I/O | | | 03/25/2039 | | | | 52,729 | |
| | 503,267 | | | Series 2010-59-SC | | | 4.81% | # I/F I/O | | | 01/25/2040 | | | | 59,329 | |
| | 2,604,290 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 2,781,669 | |
| | 391,465 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 438,808 | |
| | 1,069,968 | | | Series 2010-7-PE | | | 5.00% | | | | 02/25/2040 | | | | 1,147,062 | |
| | 602,188 | | | Series 2010-90-GS | | | 5.81% | # I/F I/O | | | 08/25/2040 | | | | 79,398 | |
| | 57,791 | | | Series 2010-99-SG | | | 24.02% | # I/F | | | 09/25/2040 | | | | 98,265 | |
| | 7,077,383 | | | Series 2011-141-PZ | | | 4.00% | | | | 01/25/2042 | | | | 7,401,513 | |
| | 15,130,692 | | | Series 2011-18-UZ | | | 4.00% | | | | 03/25/2041 | | | | 15,743,167 | |
| | 1,533,918 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 1,588,183 | |
| | 1,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 1,078,093 | |
| | 2,701,537 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 2,924,379 | |
| | 7,168,739 | | | Series 2011-63-ZE | | | 4.00% | | | | 08/25/2038 | | | | 7,348,947 | |
| | 23,060,219 | | | Series 2013-45-LZ | | | 3.00% | | | | 05/25/2043 | | | | 22,184,956 | |
| | 29,610,784 | | | Series 2013-6-ZB | | | 3.00% | | | | 02/25/2043 | | | | 27,203,116 | |
| | 17,265,800 | | | Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 17,986,673 | |
| | 23,725,777 | | | Series 2014-70-VZ | | | 3.00% | | | | 11/25/2044 | | | | 21,819,862 | |
| | 7,941,895 | | | Series 2014-73-CZ | | | 3.00% | | | | 11/25/2044 | | | | 7,276,094 | |
| | 674,854 | | | Series 400-S4 | | | 5.26% | # I/F I/O | | | 11/25/2039 | | | | 95,307 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 288,372 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 319,102 | |
| | 244,996 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 270,704 | |
| | 1,911,189 | | | Pool 735383 | | | 5.00% | | | | 04/01/2035 | | | | 2,113,207 | |
| | 1,006,660 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 1,112,357 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 43 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association Pass-Thru, (Cont.) | |
| | 1,453,585 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 1,605,132 | |
| | 271,256 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 299,978 | |
| | 1,737,264 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 1,957,517 | |
| | 1,648,666 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 1,826,147 | |
| | 1,427,762 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 1,540,048 | |
| | 134,222 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 141,930 | |
| | 19,068,430 | | | Pool AB6854 | | | 3.00% | | | | 11/01/2042 | | | | 19,410,064 | |
| | 67,435 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 72,894 | |
| | 37,060 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 40,445 | |
| | 2,153,644 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 2,303,892 | |
| | 39,025,050 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 39,622,569 | |
| | 1,169,526 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 1,275,794 | |
| | 129,605 | | | Pool MA0282 | | | 5.00% | | | | 12/01/2039 | | | | 145,384 | |
| | 857,197 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 935,062 | |
| | 57,970 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 62,658 | |
| | 32,641,599 | | | Pool MA2151 | | | 3.50% | | | | 01/01/2045 | | | | 33,732,748 | |
| | 14,683,433 | | | Pool MA2248 | | | 3.00% | | | | 04/01/2045 | | | | 14,787,600 | |
| |
| | | | Government National Mortgage Association, | |
| | 739,990 | | | Pool 752494 | | | 5.50% | | | | 09/20/2039 | | | | 819,092 | |
| | 271,875 | | | Series 2003-67-SP | | | 6.88% | # I/F I/O | | | 08/20/2033 | | | | 88,579 | |
| | 297,871 | | | Series 2008-82-SM | | | 5.83% | # I/F I/O | | | 09/20/2038 | | | | 41,586 | |
| | 3,978,529 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 4,324,019 | |
| | 4,626,369 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 5,028,063 | |
| | 4,582,561 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 4,954,685 | |
| | 5,396,071 | | | Series 2009-75-HZ | | | 5.00% | | | | 09/20/2039 | | | | 6,058,498 | |
| | 15,346,195 | | | Series 2010-113-SM | | | 5.83% | # I/F I/O | | | 09/20/2040 | | | | 2,546,578 | |
| | 113,977 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 117,885 | |
| | 7,343,979 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 7,965,977 | |
| | 8,390,271 | | | Series 2011-70-WS | | | 9.27% | # I/F | | | 12/20/2040 | | | | 9,702,757 | |
| | 12,148,678 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 13,180,836 | |
| | 31,041,915 | | | Series 2013-117-MS | | | 5.93% | # I/F I/O | | | 02/20/2043 | | | | 5,006,611 | |
| | 13,753,636 | | | Series 2013-122-SB | | | 5.89% | # I/F I/O | | | 08/16/2043 | | | | 2,254,455 | |
| | 64,620,661 | | | Series 2013-169-SE | | | 5.84% | # I/F I/O | | | 11/16/2043 | | | | 9,917,527 | |
| | 21,739,035 | | | Series 2014-102-TS | | | 5.38% | # I/F I/O | | | 07/20/2044 | | | | 3,238,355 | |
| | 18,381,292 | | | Series 2014-118-PS | | | 5.98% | # I/F I/O | | | 08/20/2044 | | | | 3,002,897 | |
| | 16,083,631 | | | Series 2014-118-SA | | | 5.98% | # I/F I/O | | | 08/20/2044 | | | | 2,713,196 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $869,048,756) | | | | 898,168,939 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 18.2% | |
| | 55,100,000 | | | United States Treasury Bonds | | | 2.75% | | | | 11/15/2042 | | | | 53,703,821 | |
| | 32,000,000 | | | United States Treasury Bonds | | | 3.63% | | | | 02/15/2044 | | | | 36,822,496 | |
| | 2,800,000 | | | United States Treasury Notes | | | 0.25% | | | | 11/30/2015 | | | | 2,800,986 | |
| | 40,000,000 | | | United States Treasury Notes | | | 0.25% | | | | 12/31/2015 | | | | 40,019,800 | |
| | 20,700,000 | | | United States Treasury Notes | | | 0.38% | | | | 03/31/2016 | | | | 20,723,308 | |
| | 118,706,175 | | | United States Treasury Notes | | | 0.13% | | | | 04/15/2019 | | | | 118,383,175 | |
| | 22,600,000 | | | United States Treasury Notes | | | 2.13% | | | | 01/31/2021 | | | | 23,325,822 | |
| | 94,900,000 | | | United States Treasury Notes | | | 2.25% | | | | 03/31/2021 | | | | 98,540,269 | |
| | 99,600,000 | | | United States Treasury Notes | | | 2.00% | | | | 08/31/2021 | | | | 101,844,287 | |
| | 99,500,000 | | | United States Treasury Notes | | | 1.75% | | | | 02/28/2022 | | | | 99,880,289 | |
| | 93,700,000 | | | United States Treasury Notes | | | 1.75% | | | | 03/31/2022 | | | | 93,985,504 | |
| | 51,500,000 | | | United States Treasury Notes | | | 1.75% | | | | 05/15/2023 | | | | 51,083,262 | |
| | 100,000 | | | United States Treasury Notes | | | 2.38% | | | | 08/15/2024 | | | | 103,047 | |
| | 89,200,000 | | | United States Treasury Notes | | | 2.25% | | | | 11/15/2024 | | | | 90,918,349 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $820,950,526) | | | | 832,134,415 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ | |
| | AFFILIATED MUTUAL FUNDS 1.6% (a) | |
| | 2,212,445 | | | DoubleLine Floating Rate Fund | | | | | | 22,080,201 | |
| | 5,000,000 | | | DoubleLine Long Duration Total
Return Bond Fund | | | | | | 50,450,000 | |
| | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $72,085,401) | | | 72,530,201 | |
| | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 5.2% | |
| | 79,634,492 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | 79,634,492 | |
| | 79,634,493 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | 79,634,493 | |
| | 79,634,492 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | 79,634,492 | |
| | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $238,903,477) | | | 238,903,477 | |
| | | | | | | | | | | | | | |
| | | | Total Investments 100.3%
(Cost $4,613,931,839) | | | 4,587,244,433 | |
| | | | Liabilities in Excess of Other Assets (0.3)% | | | (14,444,762 | ) |
| | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | $ | 4,572,799,671 | |
| | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
US Government / Agency Mortgage Backed Obligations | | | 19.6% | |
US Government Bonds and Notes | | | 18.2% | |
US Corporate Bonds | | | 15.3% | |
Foreign Corporate Bonds | | | 12.8% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.5% | |
Short Term Investments | | | 5.2% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 4.8% | |
Collateralized Loan Obligations | | | 4.4% | |
Municipal Bonds | | | 3.8% | |
Bank Loans | | | 2.2% | |
Affiliated Mutual Funds | | | 1.6% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.0% | |
Asset Backed Obligations | | | 0.9% | |
Other Assets and Liabilities | | | (0.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 44 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 86.2% | |
Mexico | | | 2.3% | |
Colombia | | | 1.8% | |
Peru | | | 1.7% | |
Chile | | | 1.4% | |
Brazil | | | 1.0% | |
Panama | | | 0.8% | |
China | | | 0.7% | |
Guatemala | | | 0.7% | |
Canada | | | 0.5% | |
United Kingdom | | | 0.5% | |
Israel | | | 0.4% | |
Singapore | | | 0.4% | |
Paraguay | | | 0.4% | |
Australia | | | 0.3% | |
Costa Rica | | | 0.2% | |
Jamaica | | | 0.2% | |
Indonesia | | | 0.2% | |
Dominican Republic | | | 0.2% | |
India | | | 0.2% | |
France | | | 0.1% | |
Luxembourg | | | 0.1% | |
El Salvador | | | 0.0% | ~ |
Ireland | | | 0.0% | ~ |
Qatar | | | 0.0% | ~ |
Other Assets and Liabilities | | | (0.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
US Government / Agency Mortgage Backed Obligations | | | 19.6% | |
US Government Bonds and Notes | | | 18.2% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.5% | |
Banking | | | 5.5% | |
Short Term Investments | | | 5.2% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 4.8% | |
Collateralized Loan Obligations | | | 4.4% | |
Municipal Bonds | | | 3.8% | |
Oil & Gas | | | 2.5% | |
Telecommunications | | | 1.9% | |
Affiliated Mutual Funds | | | 1.6% | |
Healthcare | | | 1.5% | |
Transportation | | | 1.5% | |
Utilities | | | 1.4% | |
Technology | | | 1.2% | |
Media | | | 1.1% | |
Electronics/Electric | | | 1.1% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.0% | |
Mining | | | 1.0% | |
Consumer Products | | | 0.9% | |
Asset Backed Obligations | | | 0.9% | |
Pharmaceuticals | | | 0.8% | |
Business Equipment and Services | | | 0.7% | |
Finance | | | 0.7% | |
Financial Intermediaries | | | 0.7% | |
Retailers (other than Food/Drug) | | | 0.7% | |
Food Products | | | 0.7% | |
Automotive | | | 0.7% | |
Insurance | | | 0.7% | |
Building and Development | | | 0.6% | |
Chemicals/Plastics | | | 0.5% | |
Industrial Equipment | | | 0.5% | |
Containers and Glass Products | | | 0.5% | |
Food/Drug Retailers | | | 0.4% | |
Beverage and Tobacco | | | 0.4% | |
Energy | | | 0.4% | |
Aerospace & Defense | | | 0.3% | |
Leisure | | | 0.3% | |
Pulp & Paper | | | 0.3% | |
Real Estate | | | 0.3% | |
Hotels/Motels/Inns and Casinos | | | 0.2% | |
Conglomerates | | | 0.1% | |
Environmental Control | | | 0.1% | |
Construction | | | 0.1% | |
Cosmetics/Toiletries | | | 0.0% | ~ |
Other Assets and Liabilities | | | (0.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At September 30, 2015, the value of these securities amounted to $810,105,828 or 17.7% of net assets. |
| # | Variable rate security. Rate disclosed as of September 30, 2015. |
| & | Unfunded or partially unfunded loan commitment |
| 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 September 30, 2015, the value of these securities amount to $63,364,128 or 1.4% of net assets. |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of September 30, 2015 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 45 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | (Unaudited) September 30, 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 period ended September 30, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2015 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2015 | | | Value at
September 30,
2015 | | | Dividend
Income Earned
in the Period
Ended September 30,
2015 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2015 | |
DoubleLine Floating Rate Fund | | $ | 107,442,440 | | | $ | — | | | $ | 85,000,000 | | | | 2,212,445 | | | $ | 22,080,201 | | | $ | 983,292 | | | $ | 712,463 | |
DoubleLine Long Duration Total Return Bond Fund | | | 52,150,000 | | | | — | | | | — | | | | 5,000,000 | | | | 50,450,000 | | | | 774,339 | | | | — | |
| | | | |
| | $ | 159,592,440 | | | $ | — | | | $ | 85,000,000 | | | | 7,212,445 | | | $ | 72,530,201 | | | $ | 1,757,631 | | | $ | 712,463 | |
| | | | |
| | | | | | |
| 46 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 91.5% | |
| | |
| | BRAZIL 7.5% | |
| | 10,000,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 5,920,700 | |
| | 1,300,000 | | | BR Malls International Finance Ltd. | | | 8.50% | † | | | 01/21/2016 | | | | 1,043,250 | |
| | 2,700,000 | | | Braskem Finance Company | | | 7.13% | | | | 07/22/2041 | | | | 1,898,100 | |
| | 4,500,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 3,064,500 | |
| | 2,200,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 1,498,200 | |
| | 4,131,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 3,242,835 | |
| | 1,000,000 | | | ESAL GmbH | | | 6.25% | ^ | | | 02/05/2023 | | | | 922,500 | |
| | 2,000,000 | | | ESAL GmbH | | | 6.25% | | | | 02/05/2023 | | | | 1,845,000 | |
| | 2,890,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 2,890,000 | |
| | 5,000,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 3,100,000 | |
| | 2,000,000 | | | GTL Trade Finance, Inc. | | | 5.89% | ^ | | | 04/29/2024 | | | | 1,655,000 | |
| | 3,000,000 | | | JBS Investments GmbH | | | 7.25% | ^ | | | 04/03/2024 | | | | 2,895,000 | |
| | 1,000,000 | | | JBS Investments GmbH | | | 7.25% | | | | 04/03/2024 | | | | 965,000 | |
| | 6,575,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 4,339,500 | |
| | 1,000,000 | | | Marfrig Holdings B.V. | | | 8.38% | | | | 05/09/2018 | | | | 937,500 | |
| | 11,000,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 9,542,500 | |
| | 3,500,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 3,036,250 | |
| | 7,600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 6,764,000 | |
| | 3,900,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 3,471,000 | |
| | 3,050,000 | | | Minerva Luxembourg S.A. | | | 7.75% | ^ | | | 01/31/2023 | | | | 2,684,000 | |
| | 500,000 | | | Minerva Luxembourg S.A. | | | 7.75% | | | | 01/31/2023 | | | | 440,000 | |
| | 11,000,000 | | | OAS Financial Ltd. | | | 8.88% | #^†W | | | 04/25/2018 | | | | 1,155,000 | |
| | 3,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 10/30/2015 | | | | 2,117,500 | |
| | 4,900,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 2,805,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 68,232,585 | |
| | | | | | | | | | | | | | | | |
| | CHILE 11.8% | |
| | 10,000,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 10,497,210 | |
| | 870,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.00% | | | | 01/21/2021 | | | | 913,075 | |
| | 1,000,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 1,036,416 | |
| | 6,000,000 | | | Cencosud S.A. | | | 4.88% | ^ | | | 01/20/2023 | | | | 5,784,024 | |
| | 650,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 626,603 | |
| | 5,700,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 6,289,095 | |
| | 500,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 505,980 | |
| | 8,200,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 7,831,000 | |
| | 242,000 | | | E.Cl S.A. | | | 5.63% | | | | 01/15/2021 | | | | 264,701 | |
| | 13,650,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | ^ | | | 04/30/2025 | | | | 12,960,279 | |
| | 6,000,000 | | | ENTEL Chile S.A. | | | 4.75% | ^ | | | 08/01/2026 | | | | 5,796,018 | |
| | 500,000 | | | ENTEL Chile S.A. | | | 4.75% | | | | 08/01/2026 | | | | 483,001 | |
| | 21,000,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 20,816,250 | |
| | 10,300,000 | | | Latam Airlines Group S.A. | | | 7.25% | ^ | | | 06/09/2020 | | | | 9,167,000 | |
| | 300,000 | | | Sociedad Quimica y Minera S.A. | | | 5.50% | | | | 04/21/2020 | | | | 303,025 | |
| | 1,000,000 | | | Sociedad Quimica y Minera S.A. | | | 4.38% | | | | 01/28/2025 | | | | 861,655 | |
| | 11,883,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 11,870,131 | |
| | 505,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 493,377 | |
| | 11,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 10,010,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 106,508,840 | |
| | | | | | | | | | | | | | | | |
| | CHINA 3.3% | |
| | 16,300,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 16,083,732 | |
| | 750,000 | | | CNPC General Capital Ltd. | | | 2.75% | | | | 05/14/2019 | | | | 752,974 | |
| | 510,000 | | | CNPC Overseas Capital Ltd. | | | 4.50% | | | | 04/28/2021 | | | | 543,583 | |
| | 7,200,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 7,514,489 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 500,000 | | | Hutchison Whampoa International Ltd. | | | 3.25% | | | | 11/08/2022 | | | | 497,508 | |
| | 200,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 04/10/2019 | | | | 203,019 | |
| | 2,500,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | ^ | | | 04/28/2020 | | | | 2,467,455 | |
| | 1,100,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | | | | 04/28/2020 | | | | 1,085,680 | |
| | 500,000 | | | Tencent Holdings Ltd. | | | 3.80% | ^ | | | 02/11/2025 | | | | 482,929 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 29,631,369 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 10.8% | |
| | 5,100,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 4,335,000 | |
| | 8,900,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 7,565,000 | |
| | 500,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 513,750 | |
| | 5,667,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 5,701,002 | |
| | 12,000,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 12,315,000 | |
| | 1,750,000 | | | BBVA Colombia S.A. | | | 4.88% | ^ | | | 04/21/2025 | | | | 1,670,725 | |
| | 4,530,000 | | | Ecopetrol S.A. | | | 4.13% | | | | 01/16/2025 | | | | 3,827,850 | |
| | 1,810,000 | | | Ecopetrol S.A. | | | 7.38% | | | | 09/18/2043 | | | | 1,660,675 | |
| | 17,870,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 13,581,200 | |
| | 6,845,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 7,118,800 | |
| | 2,000,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 2,285,000 | |
| | 1,000,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 1,020,000 | |
| | 7,000,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 6,331,500 | |
| | 8,000,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 8,328,000 | |
| | 14,600,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 5,110,000 | |
| | 4,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 1,425,000 | |
| | 2,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | | | | 01/19/2025 | | | | 712,500 | |
| | 935,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | ^ | | | 03/20/2022 | | | | 944,350 | |
| | 13,065,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 13,195,650 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 97,641,002 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 2.2% | |
| | 2,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 2,015,000 | |
| | 8,700,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 8,634,750 | |
| | 4,500,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 4,584,375 | |
| | 4,500,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 4,584,375 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,818,500 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 2.1% | |
| | 1,300,000 | | | Aeropuertos Dominicanos | | | 9.75% | #^ | | | 11/13/2019 | | | | 1,293,500 | |
| | 3,700,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 3,681,500 | |
| | 1,600,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 1,648,000 | |
| | 12,313,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 12,682,390 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,305,390 | |
| | | | | | | | | | | | | | | | |
| | EL SALVADOR 0.7% | |
| | 7,200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 6,444,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,444,000 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 6.0% | |
| | 9,000,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 9,000,000 | |
| | 6,545,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 6,545,000 | |
| | 2,500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 2,543,750 | |
| | 600,000 | | | Cementos Progreso Trust | | | 7.13% | ^ | | | 11/06/2023 | | | | 622,500 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 47 |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 7,250,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 7,521,875 | |
| | 3,146,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 3,308,019 | |
| | 6,000,000 | | | Comcel Trust | | | 6.88% | ^ | | | 02/06/2024 | | | | 5,925,000 | |
| | 5,500,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 5,431,250 | |
| | 5,900,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 5,484,050 | |
| | 8,000,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 7,436,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 53,817,444 | |
| | | | | | | | | | | | | | | | |
| | INDIA 1.3% | |
| | 4,000,000 | | | Reliance Industries Ltd. | | | 5.88% | † | | | 02/05/2018 | | | | 3,895,000 | |
| | 500,000 | | | Reliance Industries Ltd. | | | 8.25% | | | | 01/15/2027 | | | | 651,516 | |
| | 5,400,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 3,996,000 | |
| | 4,400,000 | | | Vedanta Resources PLC | | | 7.13% | ^ | | | 05/31/2023 | | | | 2,931,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,474,016 | |
| | | | | | | | | | | | | | | | |
| | INDONESIA 1.6% | |
| | 4,200,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 4.00% | | | | 11/14/2021 | | | | 3,297,000 | |
| | 3,800,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.88% | | | | 03/15/2023 | | | | 2,845,250 | |
| | 12,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 5.45% | | | | 03/15/2043 | | | | 8,400,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,542,250 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 2.4% | |
| | 11,100,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 11,224,875 | |
| | 3,500,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 3,513,125 | |
| | 6,000,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 6,397,500 | |
| | 500,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 512,680 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,648,180 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 1.9% | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 496,250 | |
| | 7,500,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 6,506,250 | |
| | 12,000,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 10,410,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 17,412,500 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 13.5% | |
| | 800,000 | | | Banco Inbursa S.A. | | | 4.13% | | | | 06/06/2024 | | | | 776,800 | |
| | 15,000,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 15,457,500 | |
| | 7,000,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 7,122,500 | |
| | 5,000,000 | | | BBVA Bancomer S.A. | | | 5.35% | #^ | | | 11/12/2029 | | | | 4,937,500 | |
| | 7,600,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 7,505,000 | |
| | 8,000,000 | | | Comision Federal de Electricidad | | | 4.88% | | | | 05/26/2021 | | | | 8,310,000 | |
| | 3,000,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 2,977,500 | |
| | 3,300,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | | | | 03/13/2019 | | | | 3,275,250 | |
| | 5,875,219 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 5,581,458 | |
| | 2,978,205 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | | | | 03/30/2038 | | | | 2,829,295 | |
| | 5,235,000 | | | Grupo Bimbo S.A.B. de C.V. | | | 4.50% | | | | 01/25/2022 | | | | 5,423,460 | |
| | 1,000,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 1,045,000 | |
| | 8,407,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 8,028,685 | |
| | 8,500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 8,542,500 | |
| | 7,104,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 7,139,520 | |
| | 1,500,000 | | | Grupo Posadas S.A.B. de C.V. | | | 7.88% | ^ | | | 06/30/2022 | | | | 1,357,500 | |
| | 6,987,252 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 6,554,043 | |
| | 3,000,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 3,154,500 | |
| | 2,000,000 | | | Petroleos Mexicanos | | | 4.50% | ^ | | | 01/23/2026 | | | | 1,848,800 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 2,000,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 1,887,500 | |
| | 6,834,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 6,048,090 | |
| | 7,200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 5,965,200 | |
| | 2,800,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 2,639,000 | |
| | 3,890,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | | | | 07/22/2019 | | | | 3,666,325 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 122,072,926 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 6.9% | |
| | 9,700,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 10,104,636 | |
| | 13,400,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | ^ | | | 05/07/2020 | | | | 13,333,000 | |
| | 1,500,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | | | | 05/07/2020 | | | | 1,492,500 | |
| | 13,207,613 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 13,603,841 | |
| | 5,000,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 5,067,500 | |
| | 10,600,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 10,732,500 | |
| | 7,900,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 7,998,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 62,332,727 | |
| | | | | | | | | | | | | | | | |
| | PARAGUAY 2.8% | |
| | 6,910,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 7,074,112 | |
| | 900,000 | | | Banco Regional SAECA | | | 8.13% | ^ | | | 01/24/2019 | | | | 906,750 | |
| | 9,490,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 9,561,175 | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 388,000 | |
| | 7,600,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 7,372,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 25,302,037 | |
| | | | | | | | | | | | | | | | |
| | PERU 12.7% | |
| | 3,100,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 3,255,000 | |
| | 3,800,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 3,990,000 | |
| | 3,900,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 2,242,500 | |
| | 1,000,000 | | | Banco International del Peru S.A.A. | | | 6.63% | #^ | | | 03/19/2029 | | | | 995,000 | |
| | 6,000,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 5,970,000 | |
| | 3,000,000 | | | BBVA Banco Continental S.A. | | | 5.25% | # | | | 09/22/2029 | | | | 2,925,600 | |
| | 3,000,000 | | | Camposol S.A. | | | 9.88% | ^ | | | 02/02/2017 | | | | 2,707,800 | |
| | 2,818,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 2,543,527 | |
| | 900,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | ^ | | | 01/23/2021 | | | | 864,900 | |
| | 11,100,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 10,667,100 | |
| | 6,300,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 5,229,000 | |
| | 5,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 5,016,250 | |
| | 4,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 4,013,000 | |
| | 3,000,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 2,985,000 | |
| | 2,900,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 3,023,250 | |
| | 1,900,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 1,980,750 | |
| | 1,294,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 1,374,875 | |
| | 5,300,000 | | | Minsur S.A. | | | 6.25% | | | | 02/07/2024 | | | | 5,326,500 | |
| | 21,132,000 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 06/02/2025 | | | | 16,269,527 | |
| | 4,100,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 3,300,500 | |
| | 2,730,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 2,197,650 | |
| | 2,000,000 | | | Southern Copper Corporation | | | 7.50% | | | | 07/27/2035 | | | | 1,950,880 | |
| | | | | | |
| 48 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 4,800,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 4,285,728 | |
| | 7,000,000 | | | Southern Copper Corporation | | | 5.25% | | | | 11/08/2042 | | | | 5,330,430 | |
| | 4,000,000 | | | Southern Copper Corporation | | | 5.88% | | | | 04/23/2045 | | | | 3,252,560 | |
| | 7,000,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 6,755,000 | |
| | 8,000,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 6,680,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 115,132,327 | |
| | | | | | | | | | | | | | | | |
| | QATAR 0.1% | |
| | 761,044 | | | Nakilat, Inc. | | | 6.27% | | | | 12/31/2033 | | | | 875,828 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 875,828 | |
| | | | | | | | | | | | | | | | |
| | SINGAPORE 3.9% | |
| | 500,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | #^ | | | 10/15/2024 | | | | 512,894 | |
| | 17,000,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 17,438,413 | |
| | 17,050,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 17,427,487 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 35,378,794 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $906,891,698) | | | | 827,570,715 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 6.8% |
|
| | |
| | COLOMBIA 4.0% | |
| | 36,000,000 | | | Colombia Government International Bond | | | 4.38% | | | | 07/12/2021 | | | | 36,756,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 36,756,000 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 1.5% | |
| | 13,000,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 13,260,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,260,000 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 0.8% | |
| | 6,500,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 7,028,125 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,028,125 | |
| | | | | | | | | | | | | | | | |
| | PERU 0.5% | |
| | 4,250,000 | | | Peruvian Government International Bond | | | 4.13% | | | | 08/25/2027 | | | | 4,207,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,207,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $62,749,978) | | | | 61,251,625 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 1.9% | |
| | 5,784,751 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | | | 5,784,751 | |
| | 5,784,752 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | | | 5,784,752 | |
| | | | | | | | | | | | | | |
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ | |
| | 5,784,752 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | 5,784,752 | |
| | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $17,354,255) | | | 17,354,255 | |
| | | | | | | | | | | | | | |
| | | | Total Investments 100.2%
(Cost $986,995,931) | | | 906,176,595 | |
| | | | Liabilities in Excess of Other Assets (0.2)% | | | (1,551,497 | ) |
| | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | $ | 904,625,098 | |
| | | | | | | | | | | | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | | | | |
Mexico | | | 15.0% | |
Colombia | | | 14.8% | |
Peru | | | 13.2% | |
Chile | | | 11.8% | |
Panama | | | 7.7% | |
Brazil | | | 7.5% | |
Guatemala | | | 6.0% | |
Singapore | | | 3.9% | |
China | | | 3.3% | |
Paraguay | | | 2.8% | |
Israel | | | 2.4% | |
Costa Rica | | | 2.2% | |
Dominican Republic | | | 2.1% | |
Jamaica | | | 1.9% | |
United States | | | 1.9% | |
Indonesia | | | 1.6% | |
India | | | 1.3% | |
El Salvador | | | 0.7% | |
Qatar | | | 0.1% | |
Other Assets and Liabilities | | | (0.2)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
Banking | | | 24.1% | |
Transportation | | | 11.6% | |
Utilities | | | 11.4% | |
Oil & Gas | | | 9.2% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 6.8% | |
Mining | | | 6.6% | |
Consumer Products | | | 6.1% | |
Telecommunications | | | 5.9% | |
Finance | | | 5.3% | |
Building and Development | | | 2.9% | |
Chemicals/Plastics | | | 2.1% | |
Short Term Investments | | | 1.9% | |
Media | | | 1.7% | |
Retailers (other than Food/Drug) | | | 1.0% | |
Conglomerates | | | 0.9% | |
Food/Drug Retailers | | | 0.8% | |
Construction | | | 0.7% | |
Beverage and Tobacco | | | 0.6% | |
Technology | | | 0.2% | |
Hotels/Motels/Inns and Casinos | | | 0.2% | |
Real Estate | | | 0.1% | |
Pulp & Paper | | | 0.1% | |
Other Assets and Liabilities | | | (0.2)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 49 |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| # | Variable rate security. Rate disclosed as of September 30, 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 September 30, 2015, the value of these securities amounted to $218,620,437 or 24.2% of net assets. |
| W | Issuer is in default of interest payments |
| ¨ | Seven-day yield as of September 30, 2015 |
| | | | | | |
| 50 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 3.3% | | | | | | | | | |
| |
| | | | AVANT Loans Funding Trust, | |
| �� | 942,298 | | | Series 2015-A-A | | | 4.00% | ^ | | | 08/16/2021 | | | | 940,884 | |
| | 1,000,000 | | | Series 2015-A-B | | | 6.00% | ^ | | | 08/16/2021 | | | | 999,000 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 430,966 | | | Series 2015-PM1-A | | | 1.85% | ^ | | | 12/15/2021 | | | | 430,147 | |
| | 1,000,000 | | | Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 993,400 | |
| | 500,000 | | | Series 2015-PM1-C | | | 5.01% | ^ | | | 12/15/2021 | | | | 500,950 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 459,755 | | | Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 459,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $4,333,156) | | | | 4,323,631 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 5.3% | |
| |
| | | | Babson Ltd., | |
| | 456,241 | | | Series 2007-1A-A1 | | | 0.51% | #^ | | | 01/18/2021 | | | | 449,178 | |
| |
| | | | Brookside Mill Ltd., | |
| | 1,000,000 | | | Series 2013-1A-E | | | 4.69% | #^ | | | 04/17/2025 | | | | 849,976 | |
| | 1,000,000 | | | Series 2013-1A-SUB | | | 4.35% | #^@ | | | 04/17/2025 | | | | 624,849 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 358,192 | | | Series 2006-8A-A2A | | | 0.57% | #^ | | | 05/21/2021 | | | | 355,578 | |
| |
| | | | Cent Ltd., | |
| | 1,000,000 | | | Series 2013-18A-D | | | 3.74% | #^ | | | 07/23/2025 | | | | 954,948 | |
| | 1,000,000 | | | Series 2013-18A-E | | | 4.89% | #^ | | | 07/23/2025 | | | | 864,771 | |
| | 1,000,000 | | | Series 2013-18A-SUB | | | 6.94% | #^@ | | | 07/23/2025 | | | | 668,563 | |
| | 500,000 | | | Series 2014-22A-C | | | 4.06% | #^ | | | 11/07/2026 | | | | 483,269 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 500,000 | | | Series 2014-13A-D | | | 3.64% | #^ | | | 01/19/2025 | | | | 476,729 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.93% | #^ | | | 11/14/2026 | | | | 478,653 | |
| | 500,000 | | | Series 2014-1A-D | | | 6.88% | #^ | | | 11/14/2026 | | | | 487,356 | |
| |
| | | | Saturn Ltd., | |
| | 326,413 | | | Series 2007-1A-A1 | | | 0.54% | #^ | | | 05/13/2022 | | | | 323,067 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $7,835,404) | | | | 7,016,937 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 1.4% | |
| | 2,500,000 | | | Commonwealth of Puerto Rico | | | 8.00% | | | | 07/01/2035 | | | | 1,881,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $2,261,238) | | | | 1,881,250 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 7.9% |
|
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 292,742 | | | Series 2006-1-2A1 | | | 3.05% | # | | | 03/25/2036 | | | | 230,945 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 528,908 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 337,274 | |
| |
| | | | BCAP LLC Trust, | |
| | 52,462 | | | Series 2007-AA2-2A5 | | | 6.00% | | | | 04/25/2037 | | | | 44,693 | |
| | 2,743,425 | | | Series 2009-RR4-1A2 | | | 10.60% | #^ | | | 06/26/2037 | | | | 1,432,226 | |
| |
| | | | ChaseFlex Trust, | |
| | 295,476 | | | Series 2007-M1-2F4 | | | 4.26% | # | | | 08/25/2037 | | | | 252,960 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 84,335 | | | Series 2007-2-3A1 | | | 5.50% | | | | 02/25/2037 | | | | 84,581 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 281,108 | | | Series 2009-7-2A2 | | | 5.50% | ^ | | | 10/25/2021 | | | | 292,420 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 336,513 | | | Series 2007-A6-1A11 | | | 6.00% | | | | 06/25/2037 | | | | 296,171 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 125,986 | | | Series 2006-32CB-A16 | | | 5.50% | | | | 11/25/2036 | | | | 113,631 | |
| | 851,520 | | | Series 2006-J1-2A1 | | | 7.00% | | | | 02/25/2036 | | | | 440,751 | |
| | 27,328 | | | Series 2007-17CB-1A10 | | | 29.01% | # I/F | | | 08/25/2037 | | | | 43,436 | |
| | 19,017 | | | Series 2007-21CB-2A2 | | | 27.62% | # I/F | | | 09/25/2037 | | | | 33,434 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Home Loans, | |
| | 308,769 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 282,731 | |
| | 16,128 | | | Series 2007-4-1A5 | | | 6.50% | | | | 05/25/2037 | | | | 15,237 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 194,300 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 178,482 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 49,263 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 46,243 | |
| | 414,212 | | | Series 2010-7R-4A17 | | | 6.00% | #^ | | | 04/26/2037 | | | | 397,730 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 189,413 | | | Series 2006-PR1-3A1 | | | 11.85% | #^ I/F | | | 04/15/2036 | | | | 218,376 | |
| | 330,366 | | | Series 2006-PR1-5AI4 | | | 11.85% | #^ I/F | | | 04/15/2036 | | | | 397,065 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 69,233 | | | Series 2007-FA2-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 53,860 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 1,000,000 | | | Series 2006-15-AF3B | | | 5.93% | # | | | 09/25/2036 | | | | 202,061 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 170,645 | | | Series 2006-2F-2A20 | | | 10.90% | # I/F | | | 02/25/2036 | | | | 178,272 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 41,277 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 39,716 | |
| | 685,056 | | | Series 2006-S1-1A3 | | | 5.50% | | | | 03/25/2036 | | | | 593,506 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 179,812 | | | Series 2006-CH2-AF3 | | | 5.05% | # | | | 10/25/2036 | | | | 143,348 | |
| |
| | | | Lavender Trust, | |
| | 297,000 | | | Series 2010-R12A-A3 | | | 6.00% | ^ | | | 06/26/2037 | | | | 303,766 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 104,534 | | | Series 2006-4-1A3 | | | 5.21% | # I/F I/O | | | 08/25/2036 | | | | 17,712 | |
| | 6,533 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 5,583 | |
| | 59,706 | | | Series 2007-5-11A1 | | | 5.43% | # | | | 06/25/2037 | | | | 44,704 | |
| |
| | | | Lehman XS Trust, | |
| | 281,965 | | | Series 2005-1-3A3A | | | 5.11% | # | | | 07/25/2035 | | | | 266,003 | |
| |
| | | | Long Beach Mortgage Loan Trust, | |
| | 232,124 | | | Series 2005-WL2-M1 | | | 0.90% | # | | | 08/25/2035 | | | | 230,407 | |
| |
| | | | MASTR Resecuritization Trust, | |
| | 383,197 | | | Series 2008-4-A1 | | | 6.00% | #^ | | | 06/27/2036 | | | | 346,594 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 350,729 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 292,781 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 293,106 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 249,945 | |
| | 5,316 | | | Series 2006-QS13-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 4,308 | |
| | 290,038 | | | Series 2006-QS2-1A4 | | | 5.50% | | | | 02/25/2036 | | | | 257,420 | |
| | 60,376 | | | Series 2006-QS7-A4 | | | 0.59% | # | | | 06/25/2036 | | | | 38,382 | |
| | 181,129 | | | Series 2006-QS7-A5 | | | 5.41% | # I/F I/O | | | 06/25/2036 | | | | 32,746 | |
| | 109,881 | | | Series 2006-QS8-A4 | | | 0.64% | # | | | 08/25/2036 | | | | 69,991 | |
| | 329,644 | | | Series 2006-QS8-A5 | | | 5.36% | # I/F I/O | | | 08/25/2036 | | | | 59,666 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 347,491 | | | Series 2004-RS2-MII1 | | | 1.06% | # | | | 02/25/2034 | | | | 333,974 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 29,673 | | | Series 2005-A12-A12 | | | 5.50% | | | | 11/25/2035 | | | | 28,170 | |
| | 672,209 | | | Series 2006-A16-1A3 | | | 6.00% | | | | 02/25/2037 | | | | 516,780 | |
| | 525,736 | | | Series 2007-A1-A8 | | | 6.00% | | | | 03/25/2037 | | | | 381,321 | |
| | 481,917 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 421,919 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 331,878 | | | Series 2006-8-A6 | | | 4.73% | # | | | 10/25/2036 | | | | 220,640 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $9,952,411) | | | | 10,471,961 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 4.2% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 85,657 | | | Series 3261-SA | | | 6.22% | # I/F I/O | | | 01/15/2037 | | | | 16,308 | |
| | 88,192 | | | Series 3317-DS | | | 14.48% | # I/F | | | 05/15/2037 | | | | 114,086 | |
| | 178,156 | | | Series 3355-BI | | | 5.84% | # I/F I/O | | | 08/15/2037 | | | | 29,765 | |
| | 147,978 | | | Series 3384-S | | | 6.18% | # I/F I/O | | | 11/15/2037 | | | | 21,473 | |
| | 268,300 | | | Series 3384-SG | | | 6.10% | # I/F I/O | | | 08/15/2036 | | | | 34,460 | |
| | 164,451 | | | Series 3417-SX | | | 5.97% | # I/F I/O | | | 02/15/2038 | | | | 19,747 | |
| | 242,540 | | | Series 3423-GS | | | 5.44% | # I/F I/O | | | 03/15/2038 | | | | 30,290 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 51 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| | 2,430,956 | | | Series 3423-TG | | | 0.35% | # I/F I/O | | | 03/15/2038 | | | | 20,007 | |
| | 251,568 | | | Series 3500-SA | | | 5.31% | # I/F I/O | | | 01/15/2039 | | | | 27,667 | |
| | 374,820 | | | Series 3523-SM | | | 5.79% | # I/F I/O | | | 04/15/2039 | | | | 59,449 | |
| | 76,765 | | | Series 3562-WS | | | 4.74% | # I/F I/O | | | 08/15/2039 | | | | 8,266 | |
| | 411,495 | | | Series 3728-SV | | | 4.24% | # I/F I/O | | | 09/15/2040 | | | | 44,975 | |
| | 318,311 | | | Series 3758-S | | | 5.82% | # I/F I/O | | | 11/15/2040 | | | | 57,380 | |
| | 77,885 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 82,263 | |
| | 17,855 | | | Series 3780-YS | | | 9.49% | # I/F | | | 12/15/2040 | | | | 18,882 | |
| | 387,768 | | | Series 3815-ST | | | 5.64% | # I/F I/O | | | 02/15/2041 | | | | 62,389 | |
| | 149,238 | | | Series 3900-SB | | | 5.76% | # I/F I/O | | | 07/15/2041 | | | | 21,757 | |
| | 401,675 | | | Series 3923-CZ | | | 5.00% | | | | 09/15/2041 | | | | 459,298 | |
| |
| | | | Federal National Mortgage Association, | |
| | 157,995 | | | Series 2006-101-SA | | | 6.39% | # I/F I/O | | | 10/25/2036 | | | | 31,593 | |
| | 81,774 | | | Series 2006-123-LI | | | 6.13% | # I/F I/O | | | 01/25/2037 | | | | 15,448 | |
| | 561,677 | | | Series 2007-39-AI | | | 5.93% | # I/F I/O | | | 05/25/2037 | | | | 100,709 | |
| | 274,262 | | | Series 2007-57-SX | | | 6.43% | # I/F I/O | | | 10/25/2036 | | | | 44,306 | |
| | 17,968 | | | Series 2009-49-S | | | 6.56% | # I/F I/O | | | 07/25/2039 | | | | 2,856 | |
| | 480,943 | | | Series 2009-86-CI | | | 5.61% | # I/F I/O | | | 09/25/2036 | | | | 57,264 | |
| | 212,123 | | | Series 2009-90-IA | | | 5.56% | # I/F I/O | | | 03/25/2037 | | | | 28,011 | |
| | 202,082 | | | Series 2009-90-IB | | | 5.53% | # I/F I/O | | | 04/25/2037 | | | | 20,610 | |
| | 460,604 | | | Series 2010-39-SL | | | 5.48% | # I/F I/O | | | 05/25/2040 | | | | 63,849 | |
| | 253,959 | | | Series 2011-5-PS | | | 6.21% | # I/F I/O | | | 11/25/2040 | | | | 29,952 | |
| | 343,852 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 377,206 | |
| | 1,072,415 | | | Series 2013-53-ZC | | | 3.00% | | | | 06/25/2043 | | | | 1,003,323 | |
| | 829,635 | | | Series 2013-55-KS | | | 5.71% | # I/F | | | 06/25/2043 | | | | 778,702 | |
| | 1,001,510 | | | Series 2013-55-VZ | | | 3.00% | | | | 06/25/2043 | | | | 939,073 | |
| |
| | | | Government National Mortgage Association, | |
| | 44,770 | | | Series 2009-6-SM | | | 5.73% | # I/F I/O | | | 02/20/2038 | | | | 7,240 | |
| | 611,998 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 663,831 | |
| | 250,000 | | | Series 2011-7-LS | | | 9.45% | # I/F | | | 12/20/2040 | | | | 290,566 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $5,212,170) | | | | 5,583,001 | |
| | | | | | | | | | | | | | | | |
| | REAL ESTATE INVESTMENT TRUSTS 3.3% | |
| | 240,000 | | | Annaly Capital Management, Inc. | | | | | | | | 2,368,800 | |
| | 148,747 | | | Chimera Investment Corporation | | | | | | | | 1,988,747 | |
| | | | | | | | | | | | | | | | |
| | | | Total Real Estate Investment Trusts
(Cost $4,707,946) | | | | 4,357,547 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 27.6% (a) | |
| | 578,000 | | | DoubleLine Core Fixed Income Fund | | | | | | | | | | | 6,271,298 | |
| | 186,012 | | | DoubleLine Equities Growth Fund | | | | | | | | | | | 2,256,324 | |
| | 199,203 | | | DoubleLine Flexible Income Fund | | | | | | | | | | | 1,948,207 | |
| | 2,388,645 | | | DoubleLine Total Return Bond Fund | | | | | | | | | | | 26,131,775 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $37,797,852) | | | | 36,607,604 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 10.8% | |
| | 55,000 | | | iShares MSCI Hong Kong Index Fund | | | | | | | | | | | 1,051,600 | |
| | 38,750 | | | iShares MSCI Singapore Index Fund | | | | | | | | | | | 394,088 | |
| | 18,000 | | | iShares MSCI Sweden Index Fund | | | | | | | | | | | 522,540 | |
| | 62,000 | | | iShares MSCI Switzerland Capped Index Fund | | | | | | | | | | | 1,896,580 | |
| | 170,500 | | | iShares MSCI United Kingdom Index Fund | | | | | | | | | | | 2,794,495 | |
| | 84,000 | | | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | | | | | | | | | | | 577,920 | |
| | 100,000 | | | PowerShares Chinese Yuan Dim Sum Bond Portfolio | | | | | | | | | | | 2,358,000 | |
| | 84,000 | | | PureFunds ISE Cyber Security ETF * | | | | | | | | | | | 2,121,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 50,500 | | | Stone Harbor Emerging Markets Income Fund | | | | | | | | | | | 601,960 | |
| | 74,000 | | | Templeton Emerging Markets Income Fund | | | | | | | | | | | 717,060 | |
| | 50,000 | | | Western Asset Emerging Markets Debt Fund, Inc. | | | | | | | | | | | 666,000 | |
| | 72,000 | | | Western Asset Emerging Markets Income Fund, Inc. | | | | | | | | | | | 688,320 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $17,017,220) | | | | 14,389,563 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 33.6% | |
| | 13,277,707 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | | | 13,277,707 | |
| | 13,277,707 | | | Fidelity Institutional Money Market Government
Portfolio - Class I | | | 0.01% | ¨ | | | | | | | 13,277,707 | |
| | 14,009,707 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | | | 14,009,707 | |
| | 4,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 10/29/2015 | | | | 4,000,064 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $44,565,096) | | | | 44,565,185 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 97.4%
(Cost $133,682,493) | | | | 129,196,679 | |
| | | | Other Assets in Excess of Liabilities 2.6% | | | | 3,488,968 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | | | $ | 132,685,647 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
Short Term Investments | | | 33.6% | |
Affiliated Mutual Funds | | | 27.6% | |
Exchange Traded Funds and Common Stocks | | | 10.8% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 7.9% | |
Collateralized Loan Obligations | | | 5.3% | |
US Government / Agency Mortgage Backed Obligations | | | 4.2% | |
Real Estate Investment Trusts | | | 3.3% | |
Asset Backed Obligations | | | 3.3% | |
Municipal Bonds | | | 1.4% | |
Other Assets and Liabilities | | | 2.6% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 52 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 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 September 30, 2015, the value of these securities amounted to $14,728,745 or 11.1% of net assets. |
| # | Variable rate security. Rate disclosed as of September 30, 2015. |
| @ | Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of September 30, 2015. |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| I/O | Interest only security |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of September 30, 2015 |
| | | | | | | | | | |
| Futures Contracts - Long | | | | | | |
| Contracts | | Security Description | | Expiration
Month | | | Unrealized
Appreciation
(Depreciation) | |
30 | | E-mini S&P 500 Future | | | 12/2015 | | | $ | (30,704 | ) |
164 | | Euro STOXX 50 Future | | | 12/2015 | | | | (283,897 | ) |
8 | | German Stock Index Future | | | 12/2015 | | | | (134,144 | ) |
26 | | Gold Future | | | 12/2015 | | | | 49,318 | |
77 | | mini MSCI EAFE Index Future | | | 12/2015 | | | | (326,833 | ) |
95 | | Nikkei-225 Future | | | 12/2015 | | | | (197,477 | ) |
75 | | US Treasury Long Bond Future | | | 12/2015 | | | | 125,631 | |
79 | | 10 Year US Treasury Note Future | | | 12/2015 | | | | 120,185 | |
| | | | | | | | | | |
| | | | | | | | $ | (677,921 | ) |
| | | | | | | | | | |
| | | | | | | | | | |
| Futures Contracts - Short | | | | | | |
| Contracts | | Security Description | | Expiration
Month | | | Unrealized
Appreciation
(Depreciation) | |
45 | | Euro/Bund Future | | | 12/2015 | | | $ | (155,445 | ) |
40 | | NASDAQ 100 E-mini Future | | | 12/2015 | | | | 33,104 | |
117 | | mini MSCI Emerging Markets Index Future | | | 12/2015 | | | | (56,143 | ) |
| | | | | | | | | | |
| | | | | | | | $ | (178,484 | ) |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Total Return Swaps - Long | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Cotton Official Close Index | | Morgan Stanley | | | 0.25% | | | | 500,000 | | | | 10/01/2015 | | | $ | 1,057 | |
S&P GSCI Sugar Official Close Index | | Morgan Stanley | | | 0.20% | | | | 500,000 | | | | 10/01/2015 | | | | 42,985 | |
S&P GSCI Copper Official Close Index | | Morgan Stanley | | | 0.25% | | | | 500,000 | | | | 10/01/2015 | | | | 11,146 | |
S&P GSCI Cocoa Official Close Index | | Morgan Stanley | | | 0.25% | | | | 500,000 | | | | 10/01/2015 | | | | (27,199 | ) |
S&P GSCI Gold Official Close Index | | Morgan Stanley | | | 0.20% | | | | 500,000 | | | | 10/01/2015 | | | | (16,744 | ) |
S&P GSCI Unleaded Gasoline Official Close Index | | Morgan Stanley | | | 0.20% | | | | 500,000 | | | | 10/01/2015 | | | | 5,682 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 2,500,000 | | | | 10/01/2015 | | | | (230,055 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 25,000,000 | | | | 03/31/2016 | | | | (1,990,872 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (2,204,000 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Total Return Swaps - Short | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Kansas Wheat Official Close Index | | Morgan Stanley | | | 0.25% | | | | 500,000 | | | | 10/01/2015 | | | $ | (12,011 | ) |
S&P GSCI Brent Crude Official Close Index | | Morgan Stanley | | | 0.15% | | | | 500,000 | | | | 10/01/2015 | | | | (1,957 | ) |
S&P GSCI Natural Gas Official Close Index | | Morgan Stanley | | | 0.15% | | | | 500,000 | | | | 10/01/2015 | | | | 28,036 | |
S&P GSCI Crude Oil Official Close Index | | Morgan Stanley | | | 0.15% | | | | 500,000 | | | | 10/01/2015 | | | | (2,017 | ) |
S&P GSCI Corn Official Close Index | | Morgan Stanley | | | 0.25% | | | | 500,000 | | | | 10/01/2015 | | | | (8,212 | ) |
S&P GSCI Heating Oil Official Close Index | | Morgan Stanley | | | 0.20% | | | | 500,000 | | | | 10/01/2015 | | | | 2,121 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 5,960 | |
| | | | | | | | | | | | | | | | | | |
| ¤ | 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. At September 30, 2015, the four sector constituents and their weightings were as follows: Consumer Staples 25.6%, Technology 25.3%, Industrial 24.9%, and Health Care 24.2%. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 53 |
| | |
| Schedule of Investments (Consolidated) DoubleLine Multi-Asset Growth Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaps | | | | | | | | | | | | | | | | | | | | | |
| Fixed Rate | | Reference
Currency | | | Floating Rate
Paid or
Received | | | Maturity
Date | | | Notional Amount | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
2.71% | | | Australian Dollar | | | | Paid | | | | 04/10/2025 | | | | Australian Dollar | | | | 5,200,000 | | | | JP Morgan Securities LLC | | | $ | (33,965 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (33,965 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Settlement Date | | Currency to be Delivered | | U.S. Value | | | Currency to be Received | | U.S. Value | | | Counterparty | | Unrealized
Appreciation
(Depreciation) | |
12/18/2015 | | | 1,117,638,500 | | | Japanese Yen | | $ | 9,330,536 | | | | 9,282,375 | | | U.S. Dollars | | $ | 9,282,375 | | | Morgan Stanley | | $ | (48,161 | ) |
10/14/2015 | | | 16,340,300 | | | China Renminbi | | | 2,562,084 | | | | 2,500,000 | | | U.S. Dollars | | | 2,500,000 | | | JP Morgan Securities LLC | | | (62,084 | ) |
12/28/2015 | | | 5,992,100,000 | | | South Korean Won | | | 5,041,231 | | | | 5,000,000 | | | U.S. Dollars | | | 5,000,000 | | | JP Morgan Securities LLC | | | (41,231 | ) |
12/28/2015 | | | 5,990,750,000 | | | South Korean Won | | | 5,040,096 | | | | 5,000,000 | | | U.S. Dollars | | | 5,000,000 | | | JP Morgan Securities LLC | | | (40,096 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 21,973,947 | | | | | | | | | $ | 21,782,375 | | | | | $ | (191,572 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 period ended September 30, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2015 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2015 | | | Value at
September 30,
2015 | | | Dividend
Income Earned
in the Period
Ended September 30,
2015 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2015 | |
DoubleLine Core Fixed Income Fund | | $ | 7,263,507 | | | $ | — | | | $ | 850,000 | | | | 578,000 | | | $ | 6,271,298 | | | $ | 115,112 | | | $ | 20,620 | |
DoubleLine Emerging Markets Fixed Income Fund | | | 6,805,772 | | | | — | | | | 6,588,154 | | | | — | | | | — | | | | 125,329 | | | | (511,845 | ) |
DoubleLine Equities Growth Fund | | | 2,566,964 | | | | — | | | | — | | | | 186,012 | | | | 2,256,324 | | | | — | | | | — | |
DoubleLine Flexible Income Fund | | | — | | | | 2,000,000 | | | | — | | | | 199,203 | | | | 1,948,207 | | | | 26,390 | | | | — | |
DoubleLine Total Return Bond Fund | | | 26,370,639 | | | | — | | | | — | | | | 2,388,645 | | | | 26,131,775 | | | | 541,098 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 43,006,882 | | | $ | 2,000,000 | | | $ | 7,438,154 | | | | 3,351,860 | | | $ | 36,607,604 | | | $ | 807,929 | | | $ | (491,225 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 54 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 1.8% | |
| |
| | | | Access Group, Inc., | |
| | 14,061,137 | | | Series 2007-A-B | | | 0.88% | # | | | 02/25/2037 | | | | 11,948,465 | |
| |
| | | | Access Point Funding LLC, | |
| | 8,480,416 | | | Series 2015-A-A | | | 2.61% | ^ | | | 04/15/2020 | | | | 8,477,354 | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 3,172,841 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 3,172,840 | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| | 4,853,984 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 4,876,344 | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| | 5,000,000 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 5,020,500 | |
| |
| | | | SoFi Professional Loan Program, | |
| | 6,301,063 | | | Series 2013-A-A | | | 3.75% | ^ | | | 12/25/2029 | | | | 6,406,291 | |
| | 2,059,943 | | | Series 2014-A-A2 | | | 3.02% | ^ | | | 10/25/2027 | | | | 2,096,198 | |
| | 6,885,479 | | | Series 2015-C-A2 | | | 2.51% | ^ | | | 08/25/2033 | | | | 6,899,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $49,782,196) | | | | 48,897,242 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 6.8% | |
| |
| | | | Activision Blizzard, Inc., | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 10/13/2020 | | | | 6,011,670 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 5,500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 5,516,335 | |
| |
| | | | Calpine Construction, | |
| | 5,485,969 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.00% | # | | | 05/04/2020 | | | | 5,362,535 | |
| |
| | | | CBS Outdoor Americas Capital LLC, | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 02/01/2021 | | | | 5,976,960 | |
| |
| | | | CCO Safari III LLC, | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche I | | | 3.50% | # | | | 01/24/2023 | | | | 5,976,270 | |
| |
| | | | Cedar Fair LP, | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 03/06/2020 | | | | 6,018,750 | |
| |
| | | | Cequel Communications LLC, | |
| | 5,985,442 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 02/14/2019 | | | | 5,921,876 | |
| |
| | | | DaVita HealthCare Partners, Inc., | |
| | 5,986,111 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 06/24/2021 | | | | 5,986,081 | |
| |
| | | | Delta Air Lines, Inc., | |
| | 5,477,253 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.25% | # | | | 10/18/2018 | | | | 5,478,020 | |
| |
| | | | Dollar Tree, Inc., | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 07/06/2022 | | | | 6,012,510 | |
| |
| | | | GXS Group, Inc., | |
| | 5,986,041 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 01/19/2021 | | | | 5,998,521 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | HCA, Inc., | |
| | 5,986,005 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.08% | # | | | 05/01/2018 | | | | 5,987,891 | |
| |
| | | | Hill-Rom Holdings, Inc., | |
| | 6,000,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 09/08/2022 | | | | 6,017,670 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 6,491,715 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 6,485,613 | |
| |
| | | | Huntsman International LLC, | |
| | 5,857,901 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.26% | # | | | 04/19/2019 | | | | 5,707,792 | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 5,848,500 | |
| |
| | | | Jarden Corporation, | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 2.95% | # | | | 07/29/2022 | | | | 6,005,610 | |
| |
| | | | KAR Auctions Services, Inc., | |
| | 5,982,186 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 03/11/2021 | | | | 5,984,699 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BII | | | 3.50% | # | | | 05/31/2022 | | | | 5,962,500 | |
| |
| | | | Nielsen Finance LLC, | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.20% | # | | | 04/15/2021 | | | | 6,022,470 | |
| |
| | | | NRG Energy, Inc., | |
| | 5,485,934 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.75% | # | | | 06/29/2018 | | | | 5,381,015 | |
| |
| | | | Owens-Brockway Glass Container, Inc., | |
| | 2,962,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche A | | | 1.93% | # | | | 04/22/2020 | | | | 2,975,461 | |
| |
| | | | Pinnacle Foods Finance LLC, | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.00% | # | | | 04/29/2020 | | | | 5,993,580 | |
| |
| | | | Regal Cinemas Corporation, | |
| | 5,986,250 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 04/01/2022 | | | | 6,002,593 | |
| |
| | | | SBA Senior Finance LLC, | |
| | 5,986,111 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 03/24/2021 | | | | 5,920,862 | |
| |
| | | | Sensata Technologies, | |
| | 5,986,216 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 10/14/2021 | | | | 5,988,550 | |
| |
| | | | Sinclair Television Group, Inc., | |
| | 5,986,250 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 07/30/2021 | | | | 5,945,124 | |
| |
| | | | Six Flags Theme Parks, Inc., | |
| | 5,986,250 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 06/30/2022 | | | | 5,996,217 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 55 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Spectrum Brands, Inc., | |
| | 5,092,593 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 06/23/2022 | | | | 5,117,343 | |
| |
| | | | Vantiv LLC, | |
| | 5,483,769 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 06/13/2021 | | | | 5,499,754 | |
| |
| | | | Virgin Media Investment Holdings Ltd., | |
| | 6,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche F | | | 3.50% | # | | | 06/30/2023 | | | | 5,921,280 | |
| |
| | | | WR Grace & Company, | |
| | 4,034,309 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.75% | # | | | 02/03/2021 | | | | 4,003,204 | |
| |
| | | | WR Grace & Company, | |
| | 1,451,795 | | | Guarnateed Senior Secured 1st Lien Delayed-Draw Term Loan | | | 2.75% | # | | | 02/03/2021 | | | | 1,440,602 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $184,789,114) | | | | 184,467,858 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 19.2% | |
| |
| | | | AB Ltd., | |
| | 5,250,000 | | | Series 2007-1A-B | | | 1.04% | #^ | | | 04/15/2021 | | | | 5,250,897 | |
| |
| | | | ACAS Ltd., | |
| | 579,616 | | | Series 2007-1X-A1S | | | 0.50% | # | | | 04/20/2021 | | | | 578,652 | |
| | 4,500,000 | | | Series 2014-1A-A | | | 1.80% | #^ | | | 07/18/2026 | | | | 4,476,464 | |
| |
| | | | ALM Loan Funding, | |
| | 10,000,000 | | | Series 2012-7A-A1 | | | 1.71% | #^ | | | 10/19/2024 | | | | 9,988,345 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 950,000 | | | Series 2014-4A-A1A | | | 1.74% | #^ | | | 07/28/2026 | | | | 941,468 | |
| |
| | | | Apidos Ltd., | |
| | 738,043 | | | Series 2007-5A-A18 | | | 0.52% | #^ | | | 04/15/2021 | | | | 732,258 | |
| | 9,975,000 | | | Series 2013-16A-A1 | | | 1.74% | #^ | | | 01/19/2025 | | | | 9,919,991 | |
| |
| | | | ARES Ltd., | |
| | 1,948,412 | | | Series 2007-12A-A | | | 0.96% | #^ | | | 11/25/2020 | | | | 1,920,066 | |
| | 750,000 | | | Series 2007-12A-C | | | 2.33% | #^ | | | 11/25/2020 | | | | 748,998 | |
| | 2,915,971 | | | Series 2007-3RA-A2 | | | 0.51% | #^ | | | 04/16/2021 | | | | 2,877,923 | |
| |
| | | | Atrium Corporation, | |
| | 6,402,090 | | | Series 5A-A2A | | | 0.55% | #^ | | | 07/20/2020 | | | | 6,363,290 | |
| |
| | | | Avalon Capital Ltd., | |
| | 4,937,371 | | | Series 2014-1AR-AR | | | 1.46% | #^ | | | 04/17/2023 | | | | 4,938,232 | |
| |
| | | | Avenue Ltd., | |
| | 69,304 | | | Series 2007-6A-A1 | | | 0.51% | #^ | | | 07/17/2019 | | | | 69,276 | |
| |
| | | | Avery Point Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A | | | 1.82% | #^ | | | 04/25/2026 | | | | 2,991,165 | |
| |
| | | | Babson Ltd., | |
| | 6,005,652 | | | Series 2007-1A-A2A | | | 0.50% | #^ | | | 01/18/2021 | | | | 5,962,726 | |
| | 4,644,371 | | | Series 2007-1X-A2A | | | 0.50% | # | | | 01/18/2021 | | | | 4,611,175 | |
| |
| | | | Betony Ltd., | |
| | 2,500,000 | | | Series 2015-1A-X | | | 1.27% | #^ | | | 04/15/2027 | | | | 2,501,735 | |
| |
| | | | Birchwood Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 3.44% | #^ | | | 07/15/2026 | | | | 999,498 | |
| |
| | | | BlackRock Senior Income, | |
| | 4,337,411 | | | Series 2006-4A-A | | | 0.53% | #^ | | | 04/20/2019 | | | | 4,321,016 | |
| | 2,664,751 | | | Series 2007-5A-A3 | | | 0.54% | #^ | | | 08/13/2019 | | | | 2,638,103 | |
| |
| | | | BlueMountain Ltd., | |
| | 8,960,054 | | | Series 2007-3A-A1B | | | 0.58% | #^ | | | 03/17/2021 | | | | 8,858,267 | |
| | 5,000,000 | | | Series 2012-2A-A1 | | | 1.75% | #^ | | | 11/20/2024 | | | | 5,006,043 | |
| | 4,000,000 | | | Series 2014-3A-A1 | | | 1.77% | #^ | | | 10/15/2026 | | | | 3,974,305 | |
| | 4,000,000 | | | Series 2014-4A-B1 | | | 2.72% | #^ | | | 11/30/2026 | | | | 4,006,948 | |
| | 15,000,000 | | | Series 2015-2A-A1 | | | 1.71% | #^ | | | 07/18/2027 | | | | 14,869,850 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | BlueMountain Ltd., (Cont.) | |
| | 11,000,000 | | | Series 2015-3A-A1 | | | 1.81% | #^ | | | 10/20/2027 | | | | 10,976,737 | |
| |
| | | | Bridgeport Ltd., | |
| | 661,316 | | | Series 2006-1A-A1 | | | 0.54% | #^ | | | 07/21/2020 | | | | 653,895 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 2,250,000 | | | Series 2013-2A-D | | | 4.04% | #^ | | | 04/18/2025 | | | | 2,188,096 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 1,268,138 | | | Series 2006-8A-A1 | | | 0.58% | #^ | | | 05/21/2021 | | | | 1,253,342 | |
| | 13,700,851 | | | Series 2006-8A-A2A | | | 0.57% | #^ | | | 05/21/2021 | | | | 13,600,850 | |
| | 7,284,552 | | | Series 2006-9A-A1 | | | 0.53% | #^ | | | 08/01/2021 | | | | 7,203,425 | |
| | 19,075,603 | | | Series 2007-10-A1 | | | 0.51% | #^ | | | 04/19/2022 | | | | 18,478,537 | |
| | 8,873,986 | | | Series 2007-10A-A2A | | | 0.50% | #^ | | | 04/19/2022 | | | | 8,728,894 | |
| |
| | | | Catamaran Ltd., | |
| | 5,000,000 | | | Series 2012-1A-A | | | 1.69% | #^ | | | 12/20/2023 | | | | 5,005,069 | |
| | 5,000,000 | | | Series 2014-1A-A1 | | | 1.84% | #^ | | | 04/20/2026 | | | | 4,989,178 | |
| | 1,250,000 | | | Series 2014-1A-B | | | 2.94% | #^ | | | 04/20/2026 | | | | 1,211,529 | |
| |
| | | | Cent Ltd., | |
| | 1,260,667 | | | Series 2005-10A-A1 | | | 0.59% | #^ | | | 12/15/2017 | | | | 1,253,278 | |
| | 1,611,247 | | | Series 2006-11A-A1 | | | 0.56% | #^ | | | 04/25/2019 | | | | 1,592,325 | |
| | 959,966 | | | Series 2007-14A-A1 | | | 0.53% | #^ | | | 04/15/2021 | | | | 943,109 | |
| | 2,388,794 | | | Series 2007-14A-A2A | | | 0.52% | #^ | | | 04/15/2021 | | | | 2,350,500 | |
| |
| | | | Clydesdale Ltd., | |
| | 2,263,940 | | | Series 2006-1A-A1 | | | 0.57% | #^ | | | 12/19/2018 | | | | 2,249,869 | |
| |
| | | | ColumbusNova Ltd., | |
| | 3,250,000 | | | Series 2006-1A-D | | | 1.84% | #^ | | | 07/18/2018 | | | | 3,225,959 | |
| | 2,469,952 | | | Series 2007-1A-A1 | | | 0.57% | #^ | | | 05/16/2019 | | | | 2,463,514 | |
| |
| | | | Cornerstone Ltd., | |
| | 1,605,485 | | | Series 2007-1A-A1S | | | 0.51% | #^ | | | 07/15/2021 | | | | 1,591,065 | |
| |
| | | | Covenant Credit Partners Ltd., | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.77% | #^ | | | 07/20/2026 | | | | 4,960,927 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 2,500,000 | | | Series 2006-16A-A2 | | | 0.67% | #^ | | | 10/20/2020 | | | | 2,462,337 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 500,000 | | | Series 2012-25A-D | | | 4.29% | #^ | | | 01/15/2025 | | | | 495,263 | |
| |
| | | | Eaton Vance Ltd., | |
| | 5,723,425 | | | Series 2006-8A-A | | | 0.57% | #^ | | | 08/15/2022 | | | | 5,582,297 | |
| | 1,500,000 | | | Series 2006-8A-B | | | 0.97% | #^ | | | 08/15/2022 | | | | 1,428,232 | |
| |
| | | | Flatiron Ltd., | |
| | 1,000,000 | | | Series 2013-1A-A1 | | | 1.69% | #^ | | | 01/17/2026 | | | | 994,122 | |
| |
| | | | Four Corners Ltd., | |
| | 457,368 | | | Series 2006-2A-A | | | 0.57% | #^ | | | 01/26/2020 | | | | 454,390 | |
| | 1,542,051 | | | Series 2006-3A-A | | | 0.55% | #^ | | | 07/22/2020 | | | | 1,532,510 | |
| |
| | | | Franklin Ltd., | |
| | 346,847 | | | Series 2006-5A-A2 | | | 0.60% | #^ | | | 06/15/2018 | | | | 345,765 | |
| |
| | | | Galaxy Ltd., | |
| | 3,000,000 | | | Series 2014-18A-A | | | 1.76% | #^ | | | 10/15/2026 | | | | 2,988,104 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 2,750,000 | | | Series 2005-10A-X | | | 1.32% | #^ | | | 07/20/2027 | | | | 2,750,941 | |
| | 2,000,000 | | | Series 2012-6A-D | | | 4.49% | #^ | | | 04/17/2022 | | | | 2,000,926 | |
| | 5,000,000 | | | Series 2014-8A-A | | | 1.74% | #^ | | | 04/19/2026 | | | | 4,973,398 | |
| |
| | | | Gulf Stream Ltd., | |
| | 620,020 | | | Series 2007-1A-A1A | | | 0.56% | #^ | | | 06/17/2021 | | | | 617,174 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 9,000,000 | | | Series 2012-1X-A2 | | | 2.77% | # | | | 08/15/2023 | | | | 9,013,186 | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 1.82% | #^ | | | 04/18/2026 | | | | 995,073 | |
| | 2,250,000 | | | Series 2014-2A-C | | | 3.79% | #^ | | | 04/28/2025 | | | | 2,064,112 | |
| |
| | | | ING Ltd., | |
| | 7,678,754 | | | Series 2012-1RA-A1R | | | 1.54% | #^ | | | 03/14/2022 | | | | 7,670,795 | |
| | 1,280,000 | | | Series 2012-4A-A1 | | | 1.68% | #^ | | | 10/15/2023 | | | | 1,281,240 | |
| | 3,000,000 | | | Series 2012-4A-A2 | | | 2.54% | #^ | | | 10/15/2023 | | | | 3,002,957 | |
| |
| | | | Inwood Park Ltd., | |
| | 373,801 | | | Series 2006-1A-A1A | | | 0.51% | #^ | | | 01/20/2021 | | | | 373,788 | |
| |
| | | | Jamestown Ltd., | |
| | 4,000,000 | | | Series 2014-4A-A1A | | | 1.79% | #^ | | | 07/15/2026 | | | | 3,974,744 | |
| | | | | | |
| 56 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | KKR Financial Corporation, | |
| | 1,576,598 | | | Series 2007-1A-A | | | 0.67% | #^ | | | 05/15/2021 | | | | 1,571,922 | |
| |
| | | | Landmark Ltd., | |
| | 5,738,585 | | | Series 2006-8A-A1 | | | 0.53% | #^ | | | 10/19/2020 | | | | 5,716,844 | |
| |
| | | | LCM LP, | |
| | 4,633,205 | | | Series 10AR-AR | | | 1.55% | #^ | | | 04/15/2022 | | | | 4,638,072 | |
| | 500,000 | | | Series 10AR-BR | | | 2.19% | #^ | | | 04/15/2022 | | | | 500,618 | |
| | 500,000 | | | Series 10AR-CR | | | 3.14% | #^ | | | 04/15/2022 | | | | 502,209 | |
| | 1,000,000 | | | Series 11A-B | | | 2.44% | #^ | | | 04/19/2022 | | | | 1,001,308 | |
| | 1,000,000 | | | Series 15A-C | | | 3.43% | #^ | | | 08/25/2024 | | | | 998,105 | |
| | 5,500,000 | | | Series 16A-A | | | 1.79% | #^ | | | 07/15/2026 | | | | 5,480,022 | |
| | 1,113,663 | | | Series 5A-C | | | 1.02% | #^ | | | 03/21/2019 | | | | 1,113,931 | |
| |
| | | | LCM Ltd., | |
| | 25,000,000 | | | Series 12A-AR | | | 1.55% | #^ | | | 10/19/2022 | | | | 24,979,220 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 476,292 | | | Series 2007-4A-A2 | | | 0.55% | #^ | | | 03/22/2021 | | | | 466,592 | |
| | 10,000,000 | | | Series 2012-10A-A1A | | | 1.66% | #^ | | | 01/20/2025 | | | | 10,001,668 | |
| | 500,000 | | | Series 2014-15A-C | | | 4.00% | #^ | | | 01/27/2026 | | | | 491,371 | |
| | 2,500,000 | | | Series 2015-18A-X | | | 1.31% | #^ | | | 10/21/2026 | | | | 2,500,767 | |
| |
| | | | Magnetite Ltd., | |
| | 1,750,000 | | | Series 2014-9A-A1 | | | 1.72% | #^ | | | 07/25/2026 | | | | 1,737,376 | |
| | 250,000 | | | Series 2015-12A-A | | | 1.79% | #^ | | | 04/15/2027 | | | | 248,693 | |
| |
| | | | MAPS Fund Ltd., | |
| | 1,000,000 | | | Series 2007-2A-B | | | 1.19% | #^ | | | 07/20/2022 | | | | 963,752 | |
| |
| | | | Mountain Capital Ltd., | |
| | 437,627 | | | Series 2007-6A-A | | | 0.53% | #^ | | | 04/25/2019 | | | | 435,391 | |
| |
| | | | Mountain Hawk Ltd., | |
| | 18,400,000 | | | Series 2014-A3-A | | | 1.79% | #^ | | | 04/18/2025 | | | | 18,309,409 | |
| |
| | | | Mountain View Ltd., | |
| | 14,702,094 | | | Series 2006-2A-A1 | | | 0.54% | #^ | | | 01/12/2021 | | | | 114,570,180 | |
| |
| | | | Nautique Funding Ltd., | |
| | 4,718,672 | | | Series 2006-1A-A1A | | | 0.54% | #^ | | | 04/15/2020 | | | | 4,668,791 | |
| |
| | | | Navigare Funding Ltd., | |
| | 3,000,000 | | | Series 2007-2A-C | | | 1.04% | #^ | | | 04/17/2021 | | | | 2,933,032 | |
| |
| | | | NewMark Capital Funding Ltd., | |
| | 9,750,000 | | | Series 2013-1A-A2 | | | 1.45% | #^ | | | 06/02/2025 | | | | 9,597,536 | |
| | 10,000,000 | | | Series 2013-A1-A1 | | | 1.27% | #^ | | | 06/02/2025 | | | | 9,794,840 | |
| |
| | | | Northwoods Capital Corporation, | |
| | 20,000,000 | | | Series 2012-9A-A | | | 1.71% | #^ | | | 01/18/2024 | | | | 19,823,088 | |
| | 3,000,000 | | | Series 2013-10-A1 | | | 1.71% | #^ | | | 11/04/2025 | | | | 2,965,400 | |
| |
| | | | Nylim Flatiron Ltd., | |
| | 4,893,783 | | | Series 2006-1A-A1 | | | 0.55% | #^ | | | 08/08/2020 | | | | 4,860,639 | |
| |
| | | | Oak Hill Credit Partners, | |
| | 1,000,000 | | | Series 2012-7A-A | | | 1.75% | #^ | | | 11/20/2023 | | | | 997,480 | |
| |
| | | | Ocean Trails, | |
| | 105,628 | | | Series 2006-1X-A1 | | | 0.54% | # | | | 10/12/2020 | | | | 104,569 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 255,612 | | | Series 2006-1A-A1 | | | 0.53% | #^ | | | 04/23/2020 | | | | 255,612 | |
| |
| | | | OZLM Funding Ltd., | |
| | 3,110,000 | | | Series 2013-5A-A1 | | | 1.79% | #^ | | | 01/17/2026 | | | | 3,100,755 | |
| |
| | | | OZLM Ltd., | |
| | 5,500,000 | | | Series 2014-6A-A1 | | | 1.84% | #^ | | | 04/17/2026 | | | | 5,494,127 | |
| |
| | | | Pacifica Corporation, | |
| | 3,671,074 | | | Series 2006-6A-A1A | | | 0.56% | #^ | | | 08/15/2021 | | | | 3,612,882 | |
| |
| | | | Prospect Park Ltd., | |
| | 2,453,590 | | | Series 2006-1 | | | 0.54% | #^ | | | 07/15/2020 | | | | 2,442,367 | |
| |
| | | | Regatta Funding Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A1A | | | 1.86% | #^ | | | 10/25/2026 | | | | 2,988,948 | |
| |
| | | | Sands Point Funding Ltd., | |
| | 151,184 | | | Series 2006-1A-A1 | | | 0.55% | #^ | | | 07/18/2020 | | | | 151,356 | |
| | | | |
| | | | Silverado Ltd., | | | | | | | | | | | | |
| | 4,331,770 | | | Series 2006-2A-A1 | | | 0.53% | #^ | | | 10/16/2020 | | | | 4,271,330 | |
| |
| | | | Slater Mill Loan Fund, | |
| | 3,800,000 | | | Series 2012-1A-B | | | 2.97% | #^ | | | 08/17/2022 | | | | 3,826,027 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A1 | | | 1.80% | #^ | | | 10/30/2026 | | | | 2,986,131 | |
| |
| | | | Steele Creek Ltd., | |
| | 2,000,000 | | | Series 2014-1A-A1 | | | 1.93% | #^ | | | 08/21/2026 | | | | 1,992,181 | |
| |
| | | | Symphony Ltd., | |
| | 6,160,945 | | | Series 2012-8AR-AR | | | 1.38% | #^ | | | 01/09/2023 | | | | 6,146,502 | |
| | 1,000,000 | | | Series 2014-15A-X | | | 1.29% | #^ | | | 10/17/2026 | | | | 1,000,441 | |
| |
| | | | Venture Ltd., | |
| | 710,189 | | | Series 2005-1A-A2 | | | 0.78% | #^ | | | 11/22/2018 | | | | 709,508 | |
| | 9,250,000 | | | Series 2014-16A-A1L | | | 1.79% | #^ | | | 04/15/2026 | | | | 9,208,649 | |
| | 2,500,000 | | | Series 2014-17A-A | | | 1.77% | #^ | | | 07/15/2026 | | | | 2,484,371 | |
| | 1,000,000 | | | Series 2014-17A-B2 | | | 2.39% | #^ | | | 07/15/2026 | | | | 991,619 | |
| |
| | | | Wasatch Ltd., | |
| | 12,190,459 | | | Series 2006-1A-A1B | | | 0.55% | #^ | | | 11/14/2022 | | | | 11,883,012 | |
| |
| | | | Washington Mill Ltd., | |
| | 5,000,000 | | | Series 2014-1A-A1 | | | 1.79% | #^ | | | 04/20/2026 | | | | 4,982,531 | |
| | 1,000,000 | | | Series 2014-1A-B1 | | | 2.34% | #^ | | | 04/20/2026 | | | | 988,670 | |
| | 1,000,000 | | | Series 2014-1A-C | | | 3.29% | #^ | | | 04/20/2026 | | | | 985,241 | |
| |
| | | | Wellfleet Ltd., | |
| | 1,000,000 | | | Series 2015-1A-X | | | 1.39% | #^ | | | 09/24/2027 | | | | 999,864 | |
| |
| | | | Westwood Ltd., | |
| | 5,815,544 | | | Series 2006-1X-A1 | | | 0.57% | # | | | 03/25/2021 | | | | 5,731,316 | |
| | 3,263,694 | | | Series 2007-2A-A1 | | | 0.52% | #^ | | | 04/25/2022 | | | | 3,220,783 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,500,000 | | | Series 2012-1A-B1L | | | 4.55% | #^ | | | 02/03/2025 | | | | 2,441,096 | |
| | 5,000,000 | | | Series 2013-1A-A1L | | | 1.73% | #^ | | | 11/24/2025 | | | | 4,974,784 | |
| | 3,250,000 | | | Series 2014-1A-A | | | 1.69% | #^ | | | 05/01/2026 | | | | 3,224,578 | |
| |
| | | | Wind River Ltd., | |
| | 10,000,000 | | | Series 2013-2A-A1 | | | 1.74% | #^ | | | 01/18/2026 | | | | 9,943,439 | |
| | 5,000,000 | | | Series 2014-1A-A | | | 1.81% | #^ | | | 04/18/2026 | | | | 4,977,312 | |
| |
| | | | Zais Ltd., | |
| | 4,500,000 | | | Series 2014-2A-A1A | | | 1.80% | #^ | | | 07/25/2026 | | | | 4,471,602 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $522,574,124) | | | | 521,928,002 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 17.8% | |
| | 2,000,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 2,099,442 | |
| | 1,450,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 1,450,000 | |
| | 3,550,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 3,550,000 | |
| | 1,971,000 | | | Australia and New Zealand Banking Group Ltd. | | | 3.25% | ^ | | | 03/01/2016 | | | | 1,992,370 | |
| | 1,000,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 1,023,750 | |
| | 7,000,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 6,930,000 | |
| | 1,500,000 | | | Banco Davivienda S.A. | | | 2.95% | ^ | | | 01/29/2018 | | | | 1,485,000 | |
| | 4,000,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 4,110,000 | |
| | 2,453,000 | | | Banco de Chile | | | 6.25% | | | | 06/15/2016 | | | | 2,534,533 | |
| | 6,900,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 6,951,750 | |
| | 4,500,000 | | | Banco de Credito del Peru | | | 2.75% | ^ | | | 01/09/2018 | | | | 4,488,750 | |
| | 5,500,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 5,486,250 | |
| | 3,000,000 | | | Banco de Credito e Inversiones | | | 3.00% | | | | 09/13/2017 | | | | 3,032,679 | |
| | 2,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | ^ | | | 05/02/2018 | | | | 1,920,000 | |
| | 7,400,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 7,104,000 | |
| | 5,500,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 5,579,062 | |
| | 5,000,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | ^ | | | 05/07/2020 | | | | 4,975,000 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 57 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 3,525,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 3,674,813 | |
| | 7,000,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 6,947,500 | |
| | 1,000,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 1,007,500 | |
| | 4,000,000 | | | Banco Santander | | | 1.89% | # | | | 01/19/2016 | | | | 4,005,000 | |
| | 6,000,000 | | | Banco Santander | | | 1.19% | # | | | 04/11/2017 | | | | 5,912,814 | |
| | 2,500,000 | | | Banco Santander | | | 2.21% | # | | | 06/07/2018 | | | | 2,525,000 | |
| | 11,100,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 11,438,550 | |
| | 1,146,000 | | | Bancolombia S.A. | | | 6.88% | | | | 05/25/2017 | | | | 1,214,760 | |
| | 5,100,000 | | | Bank of Montreal | | | 1.80% | | | | 07/31/2018 | | | | 5,121,226 | |
| | 8,750,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 8,848,438 | |
| | 12,000,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 12,210,000 | |
| | 2,761,000 | | | BP Capital Markets PLC | | | 1.85% | | | | 05/05/2017 | | | | 2,785,385 | |
| | 1,450,000 | | | BP Capital Markets PLC | | | 1.67% | | | | 02/13/2018 | | | | 1,452,185 | |
| | 3,915,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 4,293,224 | |
| | 1,000,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 1,037,500 | |
| | 4,100,000 | | | Cemex S.A.B. de C.V. | | | 5.04% | # | | | 10/15/2018 | | | | 4,253,750 | |
| | 10,000,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 10,364,160 | |
| | 6,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 6,309,000 | |
| | 8,000,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 7,893,856 | |
| | 1,000,000 | | | CNPC General Capital Ltd. | | | 1.21% | #^ | | | 05/14/2017 | | | | 995,936 | |
| | 1,000,000 | | | CNPC General Capital Ltd. | | | 2.75% | | | | 05/14/2019 | | | | 1,003,965 | |
| | 1,000,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 1,103,350 | |
| | 2,000,000 | | | Comision Federal de Electricidad | | | 4.88% | | | | 05/26/2021 | | | | 2,077,500 | |
| | 500,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 480,500 | |
| | 11,000,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 10,975,195 | |
| | 400,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 404,784 | |
| | 4,450,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 4,464,463 | |
| | 7,500,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 7,524,375 | |
| | 6,000,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 6,016,884 | |
| | 1,500,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 1,177,500 | |
| | 2,022,000 | | | DBS Bank Ltd. | | | 0.90% | # | | | 07/15/2021 | | | | 2,009,868 | |
| | 11,000,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 11,263,846 | |
| | 7,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 7,052,500 | |
| | 3,500,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 3,539,375 | |
| | 1,800,000 | | | Ecopetrol S.A. | | | 4.25% | | | | 09/18/2018 | | | | 1,822,500 | |
| | 2,000,000 | | | Embraer Overseas Ltd. | | | 6.38% | | | | 01/24/2017 | | | | 2,055,000 | |
| | 300,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 312,000 | |
| | 5,000,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 5,712,500 | |
| | 11,252,886 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 11,590,472 | |
| | 6,500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | ^ | | | 04/02/2019 | | | | 6,467,500 | |
| | 4,500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 4,477,500 | |
| | 9,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 7,920,000 | |
| | 8,000,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 8,108,000 | |
| | 4,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 4,050,000 | |
| | 1,500,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 1,518,750 | |
| | 12,550,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 12,550,000 | |
| | 9,800,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 9,996,000 | |
| | 200,000 | | | Grupo Aval Ltd. | | | 5.25% | ^ | | | 02/01/2017 | | | | 204,000 | |
| | 500,000 | | | Grupo Bimbo S.A.B. de C.V. | | | 4.50% | | | | 01/25/2022 | | | | 518,000 | |
| | 2,800,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 2,926,000 | |
| | 500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 502,500 | |
| | 1,000,000 | | | Grupo Televisa S.A.B | | | 6.00% | | | | 05/15/2018 | | | | 1,094,000 | |
| | 6,400,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 6,662,400 | |
| | 7,750,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 7,682,187 | |
| | 11,000,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 11,480,469 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 4,133,517 | | | Interoceanica IV Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 3,885,506 | |
| | 9,500,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 9,802,280 | |
| | 400,000 | | | Israel Electric Corporation Ltd. | | | 2.11% | # | | | 01/17/2018 | | | | 399,000 | |
| | 7,000,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 7,463,750 | |
| | 8,000,000 | | | LPG International, Inc. | | | 7.25% | | | | 12/20/2015 | | | | 8,064,000 | |
| | 2,800,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 2,429,000 | |
| | 2,000,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 1,780,000 | |
| | 3,900,000 | | | National Australia Bank Ltd. | | | 3.00% | ^ | | | 07/27/2016 | | | | 3,971,518 | |
| | 1,700,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 1,712,257 | |
| | 4,190,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 4,256,554 | |
| | 5,000,000 | | | Oversea-Chinese Banking Corporation | | | 3.75% | # | | | 11/15/2022 | | | | 5,129,200 | |
| | 7,200,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 7,385,681 | |
| | 1,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | ^ | | | 01/26/2019 | | | | 382,500 | |
| | 7,000,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 2,677,500 | |
| | 6,000,324 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 5,801,413 | |
| | 161,377 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | ^ | | | 05/31/2018 | | | | 156,027 | |
| | 2,400,000 | | | Petroleos Mexicanos | | | 2.31% | # | | | 07/18/2018 | | | | 2,384,328 | |
| | 10,000,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 10,135,000 | |
| | 2,600,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 2,733,900 | |
| | 4,500,000 | | | Raizen Energy Finance Ltd. | | | 7.00% | | | | 02/01/2017 | | | | 4,578,750 | |
| | 2,362,950 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 2,536,622 | |
| | 500,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 535,918 | |
| | 9,000,000 | | | Sigma Alimentos S.A. | | | 5.63% | | | | 04/14/2018 | | | | 9,415,800 | |
| | 600,000 | | | Sinopec Group Overseas Development Ltd. | | | 1.20% | #^ | | | 04/10/2019 | | | | 599,477 | |
| | 1,800,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | ^ | | | 04/28/2020 | | | | 1,776,568 | |
| | 3,000,000 | | | SK Telecom Company Ltd. | | | 2.13% | | | | 05/01/2018 | | | | 3,018,393 | |
| | 8,800,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 8,972,612 | |
| | 3,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 2,996,751 | |
| | 1,000,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | ^ | | | 03/13/2018 | | | | 998,917 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 194,000 | |
| | 1,400,000 | | | Tencent Holdings Ltd. | | | 2.88% | ^ | | | 02/11/2020 | | | | 1,391,004 | |
| | 4,550,000 | | | Thomson Reuters Corporation | | | 1.30% | | | | 02/23/2017 | | | | 4,541,978 | |
| | 4,500,000 | | | Toronto Dominion Bank | | | 1.75% | | | | 07/23/2018 | | | | 4,515,147 | |
| | 4,080,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 4,120,800 | |
| | 575,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | ^ | | | 03/20/2022 | | | | 580,750 | |
| | 420,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 405,300 | |
| | 5,000,000 | | | United Overseas Bank Ltd. | | | 2.88% | # | | | 10/17/2022 | | | | 5,043,190 | |
| | 7,500,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 7,666,050 | |
| | 4,365,000 | | | Westpac Banking Corporation | | | 2.00% | | | | 08/14/2017 | | | | 4,419,803 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $491,424,986) | | | | 482,604,310 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 58 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 1.0% |
|
| | 500,000 | | | Brazilian Government International Bond | | | 8.00% | | | | 01/15/2018 | | | | 526,250 | |
| | 2,184,000 | | | Colombia Government International Bond | | | 8.70% | | | | 02/15/2016 | | | | 2,265,813 | |
| | 6,450,000 | | | Colombia Government International Bond | | | 4.38% | | | | 07/12/2021 | | | | 6,585,450 | |
| | 13,200,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/20211 | | | | 13,464,000 | |
| | 3,300,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 3,568,125 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $26,770,748) | | | | 26,409,638 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 16.4% | |
| |
| | | | Arbor Realty Ltd., | |
| | 3,710,000 | | | Series 2015- FL2A-C | | | 5.18% | #^ | | | 09/15/2025 | | | | 3,691,450 | |
| |
| | | | Asset Securitization Corporation, | |
| | 4,738,609 | | | Series 1997-D4-PS1 | | | 2.02% | # I/O | | | 04/14/2029 | | | | 123,220 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 9,750,000 | | | Series 2006-5-AM | | | 5.45% | | | | 09/10/2047 | | | | 10,021,035 | |
| | 6,340,000 | | | Series 2006-6-AM | | | 5.39% | | | | 10/10/2045 | | | | 6,571,204 | |
| | 9,150,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 9,687,320 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 6,254,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 6,316,646 | |
| | 205,359 | | | Series 2007-PW17-AAB | | | 5.70% | | | | 06/11/2050 | | | | 205,873 | |
| | 5,209,139 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 5,274,847 | |
| |
| | | | Boca Hotel Portfolio Trust, | |
| | 1,523,024 | | | Series 2013-BOCA-A | | | 1.36% | #^ | | | 08/15/2026 | | | | 1,520,128 | |
| | 4,100,000 | | | Series 2013-BOCA-D | | | 3.26% | #^ | | | 08/15/2026 | | | | 4,092,600 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 10,000,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 10,071,630 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 10,500,000 | | | Series 2007-C6-AMFX | | | 5.90% | #^ | | | 12/10/2049 | | | | 10,991,022 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 12,000,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 12,085,548 | |
| |
| | | | Colony Mortgage Capital Ltd., | |
| | 9,315,000 | | | Series 2015-FL3-A | | | 2.10% | #^ | | | 09/05/2032 | | | | 9,315,000 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 9,353,166 | | | Series 2012-CR2-XA | | | 2.04% | # I/O | | | 08/15/2045 | | | | 849,366 | |
| | 30,998 | | | Series 2012-MVP-A | | | 2.15% | #^ | | | 11/17/2026 | | | | 30,946 | |
| | 28,665,028 | | | Series 2014-CR19-XA | | | 1.46% | # I/O | | | 08/10/2047 | | | | 2,092,160 | |
| | 8,600,000 | | | Series 2014-KYO-E | | | 2.55% | #^ | | | 06/11/2027 | | | | 8,539,112 | |
| | 9,650,000 | | | Series 2014-KYO-F | | | 3.70% | #^ | | | 06/11/2027 | | | | 9,573,157 | |
| | 3,890,000 | | | Series 2014-TWC-C | | | 2.04% | #^ | | | 02/13/2032 | | | | 3,871,139 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 9,420,387 | | | Series 2007-MF1-A | | | 6.27% | #^ | | | 11/12/2043 | | | | 9,877,765 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 206,962 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 208,153 | |
| | 3,382,690 | | | Series 2005-C2-AMFX | | | 4.88% | | | | 04/15/2037 | | | | 3,380,438 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 5,940,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 6,126,062 | |
| | 10,500,000 | | | Series 2007-C4-A1AM | | | 6.15% | # | | | 09/15/2039 | | | | 11,156,528 | |
| | 3,180,000 | | | Series 2008-C1-AM | | | 6.27% | #^ | | | 02/15/2041 | | | | 3,450,131 | |
| |
| | | | Del Coronado Trust, | |
| | 2,100,000 | | | Series 2013-HDC-A | | | 1.00% | #^ | | | 03/15/2026 | | | | 2,095,826 | |
| | 2,500,000 | | | Series 2013-HDC-B | | | 1.51% | #^ | | | 03/15/2026 | | | | 2,496,638 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 4,838,500 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 4,972,524 | |
| | 8,430,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 8,915,180 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 9,770,000 | | | Series 2006-GG6-AJ | | | 5.60% | # | | | 04/10/2038 | | | | 9,817,199 | |
| | 3,620,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 3,652,185 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | GS Mortgage Securities Corporation, (Cont.) | |
| | 275,233 | | | Series 2012-GCJ7-A1 | | | 1.14% | | | | 05/10/2045 | | | | 275,396 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 112,420 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 112,442 | |
| | 39,893 | | | Series 2006-CB15-ASB | | | 5.79% | # | | | 06/12/2043 | | | | 39,860 | |
| | 484,265 | | | Series 2006-CB17-ASB | | | 5.42% | | | | 12/12/2043 | | | | 487,949 | |
| | 5,970,000 | | | Series 2006-LDP8-AJ | | | 5.48% | # | | | 05/15/2045 | | | | 6,134,915 | |
| | 8,680,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 8,905,632 | |
| | 4,260,000 | | | Series 2007-C1-AM | | | 6.16% | # | | | 02/15/2051 | | | | 4,542,110 | |
| | 2,700,000 | | | Series 2007-CIBC19-AM | | | 5.88% | # | | | 02/12/2049 | | | | 2,844,168 | |
| | 8,550,000 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 8,749,228 | |
| | 6,360,000 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 6,783,471 | |
| | 122,982 | | | Series 2010-C1-A1 | | | 3.85% | ^ | | | 06/15/2043 | | | | 122,793 | |
| | 262,162 | | | Series 2011-PLSD-A1 | | | 2.19% | ^ | | | 11/13/2028 | | | | 263,900 | |
| | 5,750,000 | | | Series 2014-FBLU-B | | | 1.71% | #^ | | | 12/15/2028 | | | | 5,748,833 | |
| | 2,500,000 | | | Series 2014-INN-C | | | 1.91% | #^ | | | 06/15/2029 | | | | 2,490,100 | |
| | 2,500,000 | | | Series 2014-INN-D | | | 2.56% | #^ | | | 06/15/2029 | | | | 2,483,100 | |
| | 9,000,000 | | | Series 2014-PHH-D | | | 2.60% | #^ | | | 08/15/2027 | | | | 9,055,112 | |
| | 10,500,000 | | | Series 2015-CSMO-C | | | 2.46% | #^ | | | 01/15/2032 | | | | 10,459,286 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 4,182,608 | | | Series 2005-C7-AJ | | | 5.32% | # | | | 11/15/2040 | | | | 4,186,369 | |
| | 4,350,000 | | | Series 2006-C7-AM | | | 5.38% | | | | 11/15/2038 | | | | 4,495,094 | |
| | 3,400,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 3,499,540 | |
| | 7,650,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 7,988,214 | |
| | 7,081,600 | | | Series 2007-C7-AJ | | | 6.45% | # | | | 09/15/2045 | | | | 7,389,055 | |
| |
| | | | LMREC, Inc., | |
| | 8,385,000 | | | Series 2015-CRE1-A | | | 1.95% | #^ | | | 02/22/2032 | | | | 8,320,436 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 5,672,819 | | | Series 2005-CKI1-AJ | | | 5.60% | # | | | 11/12/2037 | | | | 5,670,615 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 8,000,000 | | | Series 2006-1-AJ | | | 5.75% | # | | | 02/12/2039 | | | | 8,070,676 | |
| | 2,985,000 | | | Series 2006-2-AJ | | | 6.07% | # | | | 06/12/2046 | | | | 3,048,373 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 3,761,586 | | | Series 2012-C5-XA | | | 1.97% | #^ I/O | | | 08/15/2045 | | | | 273,529 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 9,000,000 | | | Series 2005-HQ7-AJ | | | 5.40% | # | | | 11/14/2042 | | | | 8,993,367 | |
| | 3,212,242 | | | Series 2005-IQ10-AJ | | | 5.53% | # | | | 09/15/2042 | | | | 3,210,620 | |
| | 1,284,152 | | | Series 2005-T19-AJ | | | 4.99% | # | | | 06/12/2047 | | | | 1,283,854 | |
| | 21,730,626 | | | Series 2006-HQ10-X1 | | | 0.70% | #^ I/O | | | 11/12/2041 | | | | 79,317 | |
| | 9,252,567 | | | Series 2006-XLF-J | | | 0.64% | #^ | | | 07/15/2019 | | | | 9,239,405 | |
| | 9,000,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 9,182,102 | |
| | 7,657,000 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 7,957,790 | |
| | 10,780,000 | | | Series 2007-IQ14-A4 | | | 5.69% | # | | | 04/15/2049 | | | | 11,257,985 | |
| | 10,055,000 | | | Series 2007-IQ16-AM | | | 6.28% | # | | | 12/12/2049 | | | | 10,834,142 | |
| | 4,020,855 | | | Series 2007-XLFA-D | | | 0.40% | #^ | | | 10/15/2020 | | | | 4,016,879 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 1,715,000 | | | Series 2009-GG10-A4B | | | 5.99% | #^ | | | 08/12/2045 | | | | 1,817,847 | |
| | 703,000 | | | Series 2012-IO-AXA | | | 1.00% | ^ | | | 03/27/2051 | | | | 698,992 | |
| |
| | | | Velocity Commercial Capital Loan Trust 2015-1, | |
| | 19,772,247 | | | Series 2015-1-AFL | | | 2.62% | #^ | | | 06/25/2045 | | | | 19,862,327 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 10,626,000 | | | Series 2006-C23-AJ | | | 5.52% | # | | | 01/15/2045 | | | | 10,708,777 | |
| | 15,301 | | | Series 2006-C26-APB | | | 6.00% | | | | 06/15/2045 | | | | 15,332 | |
| | 8,770,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 8,908,189 | |
| | 9,160,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 9,529,322 | |
| | 6,770,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 7,121,999 | |
| | 6,850,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 7,225,815 | |
| | 8,065,000 | | | Series 2007-C33-AM | | | 6.15% | # | | | 02/15/2051 | | | | 8,611,109 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 17,896,345 | | | Series 2012-C8-XA | | | 2.34% | #^ I/O | | | 08/15/2045 | | | | 1,594,967 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $453,187,029) | | | | 445,662,365 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 15.2% |
|
| |
| | | | Ajax Mortgage Loan Trust, | |
| | 23,695,419 | | | Series 2015-B-A | | | 3.88% | #^ | | | 07/25/2060 | | | | 23,848,112 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 59 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Ameriquest Mortgage Securities, Inc., | |
| | 13,149,192 | | | Series 2004-R11-M1 | | | 1.18% | # | | | 11/25/2034 | | | | 12,340,833 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 1,049,922 | | | Series 2005-E-6A1 | | | 2.59% | # | | | 05/20/2035 | | | | 1,055,916 | |
| | 464,864 | | | Series 2012-R4-A | | | 0.46% | #^ | | | 03/04/2039 | | | | 460,688 | |
| | 1,732,416 | | | Series 2012-R5-A | | | 0.46% | #^ | | | 10/03/2039 | | | | 1,722,923 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 3,772,208 | | | Series 2005-E-2A1 | | | 2.79% | # | | | 06/25/2035 | | | | 3,631,109 | |
| |
| | | | BCAP LLC Trust, | |
| | 27,105 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 27,787 | |
| | 743,152 | | | Series 2011-RR12-2A5 | | | 2.29% | #^ | | | 12/26/2036 | | | | 743,424 | |
| | 4,108,200 | | | Series 2011-RR1-8A3 | | | 6.00% | #^ | | | 08/28/2021 | | | | 4,143,027 | |
| | 4,190,242 | | | Series 2013-RR1-4A2 | | | 4.00% | #^ | | | 08/26/2037 | | | | 4,202,474 | |
| |
| | | | Bear Stearns Adjustable Rate Mortgage Trust, | |
| | 6,892,937 | | | Series 2003-9-4A1 | | | 2.59% | # | | | 02/25/2034 | | | | 6,899,857 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 1,214,650 | | | Series 2004-AC2-2A | | | 5.00% | | | | 05/25/2034 | | | | 1,225,582 | |
| |
| | | | CAM Mortgage LLC, | |
| | 20,928,541 | | | Series 2015-1-A | | | 3.38% | #^ | | | 07/15/2064 | | | | 20,975,965 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 4,668,585 | | | Series 2007-1-A4 | | | 5.84% | # | | | 03/25/2037 | | | | 4,960,367 | |
| | 21,216,421 | | | Series 2007-2-A4 | | | 5.50% | # | | | 06/25/2037 | | | | 22,217,199 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 4,316,340 | | | Series 2006-AR1-2A1 | | | 2.51% | # | | | 03/25/2036 | | | | 4,122,096 | |
| | 3,314,175 | | | Series 2007-WFHE2-A3 | | | 0.37% | # | | | 03/25/2037 | | | | 3,256,240 | |
| | 277,462 | | | Series 2010-12-3A1 | | | 4.00% | ^ | | | 04/25/2037 | | | | 280,350 | |
| | 730,327 | | | Series 2010-8-5A6 | | | 4.00% | ^ | | | 11/25/2036 | | | | 740,095 | |
| | 322,898 | | | Series 2011-12-1A1 | | | 3.50% | #^ | | | 04/25/2036 | | | | 323,539 | |
| | 524,506 | | | Series 2011-12-3A1 | | | 2.67% | #^ | | | 09/25/2047 | | | | 523,662 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 1,134,130 | | | Series 2004-28CB-1A1 | | | 5.50% | | | | 01/25/2035 | | | | 1,162,831 | |
| | 69,729 | | | Series 2007-HY5R-2A1A | | | 2.56% | # | | | 03/25/2047 | | | | 104,343 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 898,876 | | | Series 2005-15-1AF6 | | | 4.47% | # | | | 04/25/2036 | | | | 914,232 | |
| | 528,154 | | | Series 2006-2-2A2 | | | 0.38% | # | | | 06/25/2036 | | | | 519,020 | |
| |
| | | | Countrywide Home Loans, | |
| | 13,853,841 | | | Series 2004-HYB9-1A1 | | | 2.51% | # | | | 02/20/2035 | | | | 13,765,425 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 261,217 | | | Series 2005-11-5A1 | | | 5.25% | | | | 12/25/2020 | | | | 262,973 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 12,000,000 | | | Series 2011-5R-6A9 | | | 2.74% | #^ | | | 11/27/2037 | | | | 10,875,866 | |
| | 6,603,925 | | | Series 2013-3R-1A1 | | | 1.32% | #^ | | | 04/27/2035 | | | | 6,170,133 | |
| | 29,339,528 | | | Series 2015-RPL3-A1 | | | 3.75% | #^ | | | 12/25/2056 | | | | 29,474,842 | |
| |
| | | | Ellington Loan Acquisition Trust, | |
| | 184,345 | | | Series 2007-2-A2A | | | 1.09% | #^ | | | 05/25/2037 | | | | 184,392 | |
| |
| | | | Fieldstone Mortgage Investment Trust, | |
| | 1,549,467 | | | Series 2004-5-M2 | | | 1.92% | # | | | 02/25/2035 | | | | 1,536,852 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 4,918,113 | | | Series 2005-FF12-A2B | | | 0.45% | # | | | 11/25/2036 | | | | 4,862,888 | |
| | 727,225 | | | Series 2006-FF1-2A3 | | | 0.43% | # | | | 01/25/2036 | | | | 719,290 | |
| |
| | | | First Horizon Asset Securities, Inc., | |
| | 12,915,553 | | | Series 2007-AR2-1A1 | | | 2.73% | # | | | 08/25/2037 | | | | 10,679,497 | |
| |
| | | | GreenPoint Mortgage Funding Trust, | |
| | 86 | | | Series 2006-AR8-1A1A | | | 0.27% | # | | | 01/25/2047 | | | | 86 | |
| | 1 | | | Series 2007-AR2-1A1 | | | 0.32% | # | | | 04/25/2047 | | | | 1 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 6,456,902 | | | Series 2005-AR7-3A1 | | | 2.76% | # | | | 11/25/2035 | | | | 6,111,793 | |
| | 1,109,944 | | | Series 2006-4F-2A7 | | | 5.50% | | | | 05/25/2036 | | | | 1,084,136 | |
| |
| | | | Home Equity Mortgage Loan Asset-Backed Trust, | |
| | 1,807,148 | | | Series 2006-D-2A2 | | | 0.30% | # | | | 11/25/2036 | | | | 1,778,881 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 18,199,412 | | | Series 2006-5-1A1C | | | 0.46% | # | | | 02/25/2037 | | | | 14,048,017 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 1,245,217 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 1,205,174 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 2,794,478 | | | Series 2006-NC1-A4 | | | 0.36% | # | | | 04/25/2036 | | | | 2,751,530 | |
| | 2,751,916 | | | Series 2007-CH5-A3 | | | 0.30% | # | | | 05/25/2037 | | | | 2,712,799 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 160,513 | | | Series 2007-S1-1A1 | | | 5.00% | | | | 03/25/2022 | | | | 159,461 | |
| | 137,517 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 136,060 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 82,813 | | | Series 2009-7-8A1 | | | 2.93% | #^ | | | 01/27/2047 | | | | 82,799 | |
| | 141,065 | | | Series 2011-2-2A3 | | | 3.50% | #^ | | | 07/26/2036 | | | | 141,624 | |
| | 623,915 | | | Series 2012-2-3A3 | | | 2.32% | #^ | | | 10/26/2036 | | | | 624,244 | |
| |
| | | | Lehman XS Trust, | |
| | 1,851,055 | | | Series 2007-4N-1A1 | | | 0.32% | # | | | 03/25/2047 | | | | 1,816,629 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 11,357,560 | | | Series 2006-2-2A1 | | | 2.63% | # | | | 04/25/2036 | | | | 10,622,544 | |
| | 2,082,369 | | | Series 2007-2-A2 | | | 0.30% | # | | | 03/25/2047 | | | | 2,051,003 | |
| |
| | | | MASTR Asset Backed Securities Trust, | |
| | 57,287 | | | Series 2006-NC1-A3 | | | 0.38% | # | | | 01/25/2036 | | | | 56,928 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 7,757,226 | | | Series 2005-3-2A | | | 2.19% | # | | | 11/25/2035 | | | | 7,660,450 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 1,279,118 | | | Series 2005-WMC3-M3 | | | 0.90% | # | | | 03/25/2035 | | | | 1,277,847 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 98,462 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 100,719 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 5,719,426 | | | Series 2012-R3-2A | | | 0.43% | #^ | | | 02/26/2037 | | | | 5,364,436 | |
| |
| | | | Opteum Mortgage Acceptance Corporation, | |
| | 1,497,199 | | | Series 2005-5-2AN | | | 5.68% | # | | | 12/25/2035 | | | | 1,556,911 | |
| |
| | | | Pacific Bay Ltd., | |
| | 10,510,583 | | | Series 2003-1A-A2 | | | 1.65% | #^ | | | 11/04/2038 | | | | 10,090,160 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 8,386,181 | | | Series 2005-EFC7-AI3 | | | 0.44% | # | | | 12/25/2035 | | | | 7,895,430 | |
| | 8,093,733 | | | Series 2006-RS4-A3 | | | 0.36% | # | | | 07/25/2036 | | | | 7,898,727 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 3,261,136 | | | Series 2006-KS6-A3 | | | 0.34% | # | | | 08/25/2036 | | | | 3,147,026 | |
| | 2,494,119 | | | Series 2007-KS2-AI2 | | | 0.31% | # | | | 02/25/2037 | | | | 2,483,474 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 115,774 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 116,714 | |
| | 736,766 | | | Series 2007-HI1-A3 | | | 5.72% | | | | 03/25/2037 | | | | 743,296 | |
| |
| | | | Soundview Home Equity Loan Trust, | |
| | 2,803,062 | | | Series 2007-NS1-A2 | | | 0.34% | # | | | 01/25/2037 | | | | 2,764,763 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 6,206,909 | | | Series 2014-3A-A | | | 1.87% | #^ | | | 09/25/2057 | | | | 6,219,211 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 2,448,493 | | | Series 2007-1-2A2 | | | 4.21% | # | | | 02/25/2037 | | | | 2,362,028 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 561,261 | | | Series 2003-24A-1A3 | | | 2.42% | # | | | 07/25/2033 | | | | 554,298 | |
| | 201,099 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 203,906 | |
| | 482,866 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 496,614 | |
| | 2,601,361 | | | Series 2005-AXS-1A3 | | | 5.00% | # | | | 03/25/2035 | | | | 2,615,312 | |
| |
| | | | Towd Point Mortgage Trust, | |
| | 31,213,127 | | | Series 2015-1-AES | | | 3.00% | ^ | | | 10/25/2053 | | | | 31,587,872 | |
| | 28,406,174 | | | Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 28,268,603 | |
| | 37,000,000 | | | Series 2015-4-A1B | | | 2.75% | #^ | | | 04/26/2055 | | | | 37,013,579 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 1,344,672 | | | Series 2002-AR16-A | | | 2.33% | # | | | 12/25/2032 | | | | 1,316,516 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 241,972 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 247,086 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 5,702,364 | | | Series 2006-AR6-5A1 | | | 2.70% | # | | | 03/25/2036 | | | | 5,708,454 | |
| |
| | | | Wells Fargo Mortgage Loan Trust, | |
| | 258,856 | | | Series 2012-RR1-A1 | | | 2.85% | #^ | | | 08/27/2037 | | | | 259,696 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $410,502,426) | | | | 412,270,666 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 60 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US CORPORATE BONDS 9.0% | |
| | 4,815,000 | | | AbbVie, Inc. | | | 1.80% | | | | 05/14/2018 | | | | 4,805,004 | |
| | 5,100,000 | | | American Express Credit Corporation | | | 1.80% | | | | 07/31/2018 | | | | 5,100,847 | |
| | 1,795,000 | | | Amgen, Inc. | | | 2.13% | | | | 05/15/2017 | | | | 1,818,540 | |
| | 4,635,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 1.38% | | | | 07/15/2017 | | | | 4,634,879 | |
| | 4,520,000 | | | AT&T, Inc. | | | 1.70% | | | | 06/01/2017 | | | | 4,536,471 | |
| | 4,415,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 4,434,037 | |
| | 4,654,000 | | | BB&T Corporation | | | 2.15% | | | | 03/22/2017 | | | | 4,716,331 | |
| | 2,244,000 | | | Berkshire Hathaway Finance Corporation | | | 0.95% | | | | 08/15/2016 | | | | 2,251,365 | |
| | 2,796,000 | | | Berkshire Hathaway Finance Corporation | | | 1.60% | | | | 05/15/2017 | | | | 2,824,726 | |
| | 4,330,000 | | | Cardinal Health, Inc. | | | 1.95% | | | | 06/15/2018 | | | | 4,337,794 | |
| | 4,591,000 | | | Caterpillar Financial Services Corporation | | | 1.00% | | | | 03/03/2017 | | | | 4,590,949 | |
| | 2,170,000 | | | Celgene Corporation | | | 2.13% | | | | 08/15/2018 | | | | 2,188,862 | |
| | 4,555,000 | | | Chevron Corporation | | | 1.37% | | | | 03/02/2018 | | | | 4,560,243 | |
| | 4,455,000 | | | Cisco Systems, Inc. | | | 1.65% | | | | 06/15/2018 | | | | 4,489,540 | |
| | 4,380,000 | | | Citigroup, Inc. | | | 1.35% | | | | 03/10/2017 | | | | 4,373,461 | |
| | 3,896,000 | | | Comcast Corporation | | | 6.50% | | | | 01/15/2017 | | | | 4,163,059 | |
| | 4,095,000 | | | ConocoPhillips Company | | | 1.05% | | | | 12/15/2017 | | | | 4,063,550 | |
| | 4,099,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 4,478,641 | |
| | 4,125,000 | | | Daimler Finance North America LLC | | | 1.65% | ^ | | | 03/02/2018 | | | | 4,070,204 | |
| | 4,550,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 4,568,164 | |
| | 4,455,000 | | | eBay, Inc. | | | 1.35% | | | | 07/15/2017 | | | | 4,431,580 | |
| | 4,112,000 | | | ERP Operating LP | | | 5.75% | | | | 06/15/2017 | | | | 4,403,886 | |
| | 1,150,000 | | | Express Scripts Holding Company | | | 2.65% | | | | 02/15/2017 | | | | 1,169,323 | |
| | 3,410,000 | | | Express Scripts Holding Company | | | 1.25% | | | | 06/02/2017 | | | | 3,400,875 | |
| | 4,360,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 4,465,460 | |
| | 4,281,000 | | | General Mills, Inc. | | | 5.70% | | | | 02/15/2017 | | | | 4,540,664 | |
| | 3,680,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 10/01/2016 | | | | 3,848,294 | |
| | 575,000 | | | Goldman Sachs Group, Inc. | | | 2.90% | | | | 07/19/2018 | | | | 589,889 | |
| | 3,750,000 | | | Hewlett-Packard Company | | | 3.30% | | | | 12/09/2016 | | | | 3,827,655 | |
| | 552,000 | | | Hewlett-Packard Company | | | 2.60% | | | | 09/15/2017 | | | | 560,454 | |
| | 5,825,000 | | | Hewlett-Packard Company | | | 2.85% | ^ | | | 10/05/2018 | | | | 5,817,544 | |
| | 4,955,000 | | | HJ Heinz Company | | | 2.00% | ^ | | | 07/02/2018 | | | | 4,965,549 | |
| | 4,885,000 | | | John Deere Capital Corporation | | | 1.60% | | | | 07/13/2018 | | | | 4,901,111 | |
| | 3,950,000 | | | JP Morgan Chase & Company | | | 3.15% | | | | 07/05/2016 | | | | 4,017,320 | |
| | 550,000 | | | JP Morgan Chase & Company | | | 1.35% | | | | 02/15/2017 | | | | 550,826 | |
| | 3,930,000 | | | Kellogg Company | | | 1.75% | | | | 05/17/2017 | | | | 3,947,787 | |
| | 3,642,000 | | | Kinder Morgan Energy Partners LP | | | 6.00% | | | | 02/01/2017 | | | | 3,811,058 | |
| | 3,720,000 | | | Kroger Company | | | 2.20% | | | | 01/15/2017 | | | | 3,767,077 | |
| | 4,260,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 4,310,813 | |
| | 2,895,000 | | | McGraw Hill Financial, Inc. | | | 2.50% | ^ | | | 08/15/2018 | | | | 2,919,153 | |
| | 4,520,000 | | | McKesson Corporation | | | 1.29% | | | | 03/10/2017 | | | | 4,513,026 | |
| | 4,225,000 | | | Metropolitan Life Global Funding | | | 1.50% | ^ | | | 01/10/2018 | | | | 4,219,867 | |
| | 4,410,000 | | | Morgan Stanley | | | 1.88% | | | | 01/05/2018 | | | | 4,421,567 | |
| | 4,510,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 4,501,341 | |
| | 4,348,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 1.10% | | | | 01/27/2017 | | | | 4,361,187 | |
| | 3,810,000 | | | ONEOK Partners LP | | | 3.25% | | | | 02/01/2016 | | | | 3,827,217 | |
| | 3,995,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 4,074,297 | |
| | 400,000 | | | Oracle Corporation | | | 2.25% | | | | 10/08/2019 | | | | 405,142 | |
| | 4,465,000 | | | Phillips 66 | | | 2.95% | | | | 05/01/2017 | | | | 4,569,637 | |
| | 4,175,000 | | | PNC Funding Corporation | | | 2.70% | | | | 09/19/2016 | | | | 4,235,053 | |
| | 3,960,000 | | | Procter & Gamble Company | | | 0.75% | | | | 11/04/2016 | | | | 3,965,916 | |
| | 4,759,000 | | | Simon Property Group LP | | | 2.15% | | | | 09/15/2017 | | | | 4,828,044 | |
| | 4,415,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 4,467,375 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 2,400,000 | | | Toyota Motor Credit Corporation | | | 1.45% | | | | 01/12/2018 | | | | 2,403,600 | |
| | 2,200,000 | | | Toyota Motor Credit Corporation | | | 1.55% | | | | 07/13/2018 | | | | 2,211,077 | |
| | 4,595,000 | | | United Technologies Corporation | | | 1.78% | # | | | 05/04/2018 | | | | 4,589,330 | |
| | 5,016,000 | | | Walgreens Boots Alliance, Inc. | | | 1.75% | | | | 11/17/2017 | | | | 5,037,193 | |
| | 4,850,000 | | | Wal-Mart Stores, Inc. | | | 1.13% | | | | 04/11/2018 | | | | 4,848,380 | |
| | 3,754,000 | | | Waste Management, Inc. | | | 2.60% | | | | 09/01/2016 | | | | 3,805,982 | |
| | 250,000 | | | Waste Management, Inc. | | | 6.10% | | | | 03/15/2018 | | | | 275,713 | |
| | 3,850,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 3,853,638 | |
| | 625,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 628,114 | |
| | 4,315,000 | | | Wells Fargo & Company | | | 2.10% | | | | 05/08/2017 | | | | 4,376,320 | |
| | 4,170,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 4,242,746 | |
| | 4,325,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 4,317,894 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $244,190,707) | | | | 244,232,641 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 0.7% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 182,175 | | | Pool G06871 | | | 6.00% | | | | 06/01/2038 | | | | 206,948 | |
| | 390,436 | | | Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 441,334 | |
| | 507,129 | | | Pool N70081 | | | 5.50% | | | | 07/01/2038 | | | | 571,567 | |
| | 85,984 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 93,268 | |
| | 231,622 | | | Series 3818-JA | | | 4.50% | | | | 01/15/2040 | | | | 242,399 | |
| | 75,755 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 79,625 | |
| | 5,571,275 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 5,487,428 | |
| |
| | | | Federal National Mortgage Association, | |
| | 270,062 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 292,131 | |
| | 2,372,705 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 2,704,834 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 62,045 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 69,911 | |
| | 251,290 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 263,615 | |
| | 198,331 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 223,423 | |
| | 366,632 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 414,671 | |
| | 283,603 | | | Pool AL1691 | | | 6.00% | | | | 06/01/2041 | | | | 321,131 | |
| | 374,627 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 424,112 | |
| | 7,635,566 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 8,204,430 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $19,397,477) | | | | 20,040,827 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 7.3% | |
| | 5,850,000 | | | United States Treasury Notes | | | 0.25% | | | | 11/30/2015 | | | | 5,852,059 | |
| | 28,600,000 | | | United States Treasury Notes | | | 3.13% | | | | 01/31/2017 | | | | 29,609,008 | |
| | 19,700,000 | | | United States Treasury Notes | | | 3.25% | | | | 03/31/2017 | | | | 20,509,296 | |
| | 30,600,000 | | | United States Treasury Notes | | | 0.88% | | | | 05/15/2017 | | | | 30,758,171 | |
| | 30,600,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/15/2017 | | | | 30,822,125 | |
| | 27,600,000 | | | United States Treasury Notes | | | 0.88% | | | | 01/15/2018 | | | | 27,676,369 | |
| | 30,600,000 | | | United States Treasury Notes | | | 0.75% | | | | 02/28/2018 | | | | 30,586,261 | |
| | 22,400,000 | | | United States Treasury Notes | | | 0.75% | | | | 04/15/2018 | | | | 22,369,805 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $197,569,256) | | | | 198,183,094 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 1.8% (a) | |
| | 5,000,000 | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | | | | | 47,800,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $50,000,000) | | | | 47,800,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 61 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | |
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ | |
| | SHORT TERM INVESTMENTS 3.5% | |
| | 31,796,647 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | 31,796,647 | |
| | 31,796,648 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | 31,796,648 | |
| | 31,796,647 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | 31,796,647 | |
| | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $95,389,942) | | | 95,389,942 | |
| | | | | | | | | | | | | | |
| | | | Total Investments 100.5%
(Cost $2,745,578,005) | | | 2,727,886,585 | |
| | | | Liabilities in Excess of Other Assets (0.5)% | | | (12,626,855 | ) |
| | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | $ | 2,715,259,730 | |
| | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Collateralized Loan Obligations | | | 19.2% | |
Foreign Corporate Bonds | | | 17.8% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 16.4% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 15.2% | |
US Corporate Bonds | | | 9.0% | |
US Government Bonds and Notes | | | 7.3% | |
Bank Loans | | | 6.8% | |
Short Term Investments | | | 3.5% | |
Asset Backed Obligations | | | 1.8% | |
Affiliated Mutual Funds | | | 1.8% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.0% | |
US Government / Agency Mortgage Backed Obligations | | | 0.7% | |
Other Assets and Liabilities | | | (0.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 81.5% | |
Chile | | | 2.9% | |
Mexico | | | 2.8% | |
Colombia | | | 2.4% | |
Peru | | | 1.9% | |
Panama | | | 1.5% | |
Singapore | | | 1.4% | |
Brazil | | | 1.2% | |
China | | | 0.9% | |
Israel | | | 0.7% | |
United Kingdom | | | 0.5% | |
Canada | | | 0.5% | |
Costa Rica | | | 0.5% | |
Guatemala | | | 0.5% | |
Australia | | | 0.4% | |
Indonesia | | | 0.3% | |
France | | | 0.2% | |
South Korea | | | 0.1% | |
Qatar | | | 0.1% | |
India | | | 0.1% | |
Paraguay | | | 0.1% | |
Other Assets and Liabilities | | | (0.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
Collateralized Loan Obligations | | | 19.2% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 16.4% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 15.2% | |
Banking | | | 10.0% | |
US Government Bonds and Notes | | | 7.3% | |
Short Term Investments | | | 3.5% | |
Oil & Gas | | | 2.9% | |
Media | | | 2.1% | |
Healthcare | | | 1.8% | |
Asset Backed Obligations | | | 1.8% | |
Affiliated Mutual Funds | | | 1.8% | |
Transportation | | | 1.5% | |
Electronics/Electric | | | 1.4% | |
Telecommunications | | | 1.3% | |
Utilities | | | 1.1% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.0% | |
Consumer Products | | | 0.9% | |
Technology | | | 0.9% | |
Finance | | | 0.8% | |
Industrial Equipment | | | 0.7% | |
US Government / Agency Mortgage Backed Obligations | | | 0.7% | |
Food Products | | | 0.7% | |
Leisure | | | 0.7% | |
Business Equipment and Services | | | 0.6% | |
Retailers (other than Food/Drug) | | | 0.6% | |
Mining | | | 0.5% | |
Food/Drug Retailers | | | 0.5% | |
Conglomerates | | | 0.4% | |
Beverage and Tobacco | | | 0.4% | |
Aerospace & Defense | | | 0.4% | |
Pulp & Paper | | | 0.4% | |
Construction | | | 0.3% | |
Real Estate | | | 0.3% | |
Pharmaceuticals | | | 0.3% | |
Chemicals/Plastics | | | 0.3% | |
Insurance | | | 0.3% | |
Automotive | | | 0.3% | |
Building and Development | | | 0.3% | |
Hotels/Motels/Inns and Casinos | | | 0.2% | |
Energy | | | 0.3% | |
Financial Intermediaries | | | 0.2% | |
Environmental Control | | | 0.2% | |
Other Assets and Liabilities | | | (0.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 62 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| # | Variable rate security. Rate disclosed as of September 30, 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 September 30, 2015, the value of these securities amounted to $997,115,973 or 36.7% of net assets. |
| ¥ | Illiquid security. At September 30, 2015, the value of these securities amount to $5,025,000 or 0.2% of net assets. |
| I/O | Interest only security |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of September 30, 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 period ended September 30, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2015 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2015 | | | Value at
September 30,
2015 | | | Dividend
Income Earned
in the Period
Ended September 30,
2015 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2015 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | $ | 49,150,000 | | | $ | — | | | $ | — | | | | 5,000,000 | | | $ | 47,800,000 | | | $ | 861,071 | | | $ | — | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 63 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 89.2% | |
| | |
| | AEROSPACE & DEFENSE 1.9% | |
| |
| | | | B/E Aerospace, Inc., | |
| | 3,062,727 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 3,071,824 | |
| |
| | | | Jazz Acquisition, Inc., | |
| | 3,078,657 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 06/18/2021 | | | | 3,028,644 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,100,468 | |
| | | | | | | | | | | | | | | | |
| | AUTOMOTIVE 4.9% | |
| |
| | | | American Tire Distributors, Inc., | |
| | 3,027,393 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 09/01/2021 | | | | 3,037,475 | |
| |
| | | | Dealer Tire LLC, | |
| | 3,034,606 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 12/22/2021 | | | | 3,059,278 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 3,154,925 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 3,002,447 | |
| |
| | | | TI Group Automotive Systems LLC, | |
| | 3,115,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2022 | | | | 3,081,249 | |
| |
| | | | Transtar Holding Company, | |
| | 3,994,557 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 10/09/2018 | | | | 3,874,720 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,055,169 | |
| | | | | | | | | | | | | | | | |
| | BUILDING AND DEVELOPMENT 5.2% | |
| |
| | | | Builders Firstsource, Inc., | |
| | 3,140,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 07/29/2022 | | | | 3,119,888 | |
| |
| | | | Capital Automotive LP, | |
| | 3,060,892 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 3,064,168 | |
| |
| | | | Gates Global LLC, | |
| | 1,585,995 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/05/2021 | | | | 1,506,973 | |
| |
| | | | Jeld-Wen, Inc., | |
| | 3,095,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 06/30/2022 | | | | 3,091,147 | |
| |
| | | | Summit Materials LLC, | |
| | 3,077,288 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/18/2022 | | | | 3,075,364 | |
| |
| | | | TMS International Corporation, | |
| | 3,165,536 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/16/2020 | | | | 3,070,569 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,928,109 | |
| | | | | | | | | | | | | | | | |
| | BUSINESS EQUIPMENT AND SERVICES 9.9% | |
| |
| | | | AlixPartners LLP, | |
| | 3,130,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/28/2022 | | | | 3,126,588 | |
| |
| | | | Allied Security Holdings LLC, | |
| | 3,134,696 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 02/12/2021 | | | | 3,102,049 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Brand Energy & Infrastructure Services, Inc., | |
| | 3,387,423 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 11/26/2020 | | | | 3,074,087 | |
| |
| | | | Duff & Phelps Corporation, | |
| | 3,137,500 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.75% | # | | | 04/23/2020 | | | | 3,129,656 | |
| |
| | | | Hillman Group, Inc., | |
| | 3,117,184 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2021 | | | | 3,111,340 | |
| |
| | | | Mitchell International, Inc., | |
| | 1,544,603 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.50% | # | | | 10/11/2021 | | | | 1,543,321 | |
| |
| | | | Protection One, Inc., | |
| | 3,100,000 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 07/01/2021 | | | | 3,105,828 | |
| |
| | | | RCS Capital Corporation, | |
| | 3,042,790 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 7.50% | # | | | 04/29/2019 | | | | 2,867,829 | |
| |
| | | | TransUnion LLC, | |
| | 3,082,177 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 04/09/2021 | | | | 3,056,179 | |
| |
| | | | Travelport Finance Luxembourg S.A.R.L., | |
| | 2,977,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 09/02/2021 | | | | 2,967,272 | |
| |
| | | | USAGM HoldCo LLC, | |
| | 216,707 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 4.75% | #& | | | 07/28/2022 | | | | 214,472 | |
| | 3,073,293 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 07/28/2022 | | | | 3,041,608 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 32,340,229 | |
| | | | | | | | | | | | | | | | |
| | CHEMICALS/PLASTICS 4.2% | |
| |
| | | | Arizona Chemical, Inc., | |
| | 3,054,977 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 06/11/2021 | | | | 3,055,817 | |
| |
| | | | Chemours Company, | |
| | 1,623,575 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 05/12/2022 | | | | 1,428,243 | |
| |
| | | | MacDermid, Inc., | |
| | 3,042,462 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.75% | # | | | 06/05/2020 | | | | 2,968,302 | |
| |
| | | | Solenis International LP, | |
| | 3,182,128 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/31/2021 | | | | 3,147,332 | |
| |
| | | | Univar, Inc., | |
| | 3,095,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/01/2022 | | | | 3,042,524 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,642,218 | |
| | | | | | | | | | | | | | | | |
| | CONTAINERS AND GLASS PRODUCTS 3.7% | |
| |
| | | | Ardagh Packaging Finance, | |
| | 3,067,102 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 12/17/2019 | | | | 3,060,401 | |
| |
| | | | Coveris Holdings S.A., | |
| | 3,082,778 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/08/2019 | | | | 3,082,130 | |
| | | | | | |
| 64 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Kloeckner Pentaplast of America, Inc., | |
| | 901,931 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 04/28/2020 | | | | 906,021 | |
| | 2,110,519 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 04/28/2020 | | | | 2,120,090 | |
| |
| | | | Reynolds Group Holdings, Inc., | |
| | 3,069,774 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 11/30/2018 | | | | 3,075,008 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,243,650 | |
| | | | | | | | | | | | | | | | |
| | COSMETICS/TOILETRIES 1.9% | |
| |
| | | | KIK Custom Products, Inc., | |
| | 3,120,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 08/26/2022 | | | | 3,062,811 | |
| |
| | | | Prestige Brands, Inc., | |
| | 3,044,508 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 3.51% | # | | | 09/03/2021 | | | | 3,047,217 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,110,028 | |
| | | | | | | | | | | | | | | | |
| | ELECTRONICS/ELECTRIC 4.1% | |
| |
| | | | Allflex Holdings, Inc., | |
| | 3,035,151 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/17/2020 | | | | 3,004,799 | |
| |
| | | | Applied Systems, Inc., | |
| | 1,541,131 | | | Secured 2nd Lien Term Loan, Tranche B | | | 7.50% | # | | | 01/24/2022 | | | | 1,531,499 | |
| |
| | | | BMC Software Finance, Inc., | |
| | 3,322,584 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 3,031,027 | |
| |
| | | | Ensemble S Merger Sub, Inc., | |
| | 2,710,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 09/16/2022 | | | | 2,707,886 | |
| |
| | | | Freescale Semiconductor, Inc., | |
| | 1,523,312 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 5.00% | # | | | 01/15/2021 | | | | 1,526,168 | |
| |
| | | | Informatica Corporation, | |
| | 1,555,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/05/2022 | | | | 1,548,080 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,349,459 | |
| | | | | | | | | | | | | | | | |
| | FINANCIAL INTERMEDIARIES 3.3% | |
| |
| | | | First Data Corporation, | |
| | 3,095,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C1 | | | 3.70% | # | | | 03/23/2018 | | | | 3,074,217 | |
| |
| | | | Grosvenor Capital Management Holdings LLP, | |
| | 3,159,967 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 01/04/2021 | | | | 3,132,318 | |
| |
| | | | Guggenheim Partners Investment Management Holdings LLC, | |
| | 3,050,151 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/22/2020 | | | | 3,059,042 | |
| |
| | | | National Financial Partners Corporation, | |
| | 1,556,775 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/01/2020 | | | | 1,533,423 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,799,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOOD PRODUCTS 3.8% | |
| |
| | | | Candy Intermediate Holdings, Inc., | |
| | 3,064,553 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 7.50% | # | | | 06/18/2018 | | | | 3,041,569 | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 3,085,175 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 3,059,476 | |
| |
| | | | DE Master Blenders, | |
| | 3,140,000 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.25% | # | | | 07/02/2022 | | | | 3,144,914 | |
| |
| | | | Hostess Brands LLC, | |
| | 3,085,000 | | | Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 08/03/2022 | | | | 3,093,175 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,339,134 | |
| | | | | | | | | | | | | | | | |
| | FOOD/DRUG RETAILERS 1.8% | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 3,070,708 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 5.50% | # | | | 08/25/2021 | | | | 3,075,268 | |
| |
| | | | Burger King Corporation, | |
| | 3,028,268 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 12/10/2021 | | | | 3,018,047 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,093,315 | |
| | | | | | | | | | | | | | | | |
| | HEALTHCARE 8.2% | |
| |
| | | | Air Medical Group Holdings, Inc., | |
| | 3,159,275 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/28/2022 | | | | 3,124,239 | |
| |
| | | | Akorn, Inc., | |
| | 3,057,280 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 04/16/2021 | | | | 3,054,421 | |
| |
| | | | Alere, Inc., | |
| | 3,107,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 06/20/2022 | | | | 3,111,866 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 3,073,763 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 3,057,119 | |
| |
| | | | Pharmaceutical Product Development LLC, | |
| | 1,406,475 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/18/2022 | | | | 1,393,071 | |
| |
| | | | PharMEDium Healthcare Corporation, | |
| | 3,762,222 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 01/28/2021 | | | | 3,729,303 | |
| |
| | | | Select Medical Corporation, | |
| | 3,088,311 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche E | | | 3.75% | # | | | 06/01/2018 | | | | 3,086,874 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 3,110,360 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 11/03/2020 | | | | 3,114,730 | |
| |
| | | | US Renal Care, Inc., | |
| | 3,075,714 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/03/2019 | | | | 3,074,423 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 26,746,046 | |
| | | | | | | | | | | | | | | | |
| | HOTELS/MOTELS/INNS AND CASINOS 4.7% | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 3,086,450 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/23/2022 | | | | 3,088,379 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 65 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Four Seasons Holdings, Inc., | |
| | 3,083,911 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 06/27/2020 | | | | 3,069,463 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 3,278,932 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 3,275,850 | |
| |
| | | | Scientific Games International, Inc., | |
| | 3,096,244 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 6.00% | # | | | 10/01/2021 | | | | 3,061,891 | |
| |
| | | | Station Casinos LLC, | |
| | 3,062,604 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/02/2020 | | | | 3,061,333 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,556,916 | |
| | | | | | | | | | | | | | | | |
| | INDUSTRIAL EQUIPMENT 8.2% | |
| |
| | | | Crosby Acquisition Corporation, | |
| | 2,940,076 | | | Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/23/2020 | | | | 2,572,566 | |
| |
| | | | Dynacast International LLC, | |
| | 3,062,306 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/28/2022 | | | | 3,051,787 | |
| |
| | | | Filtration Group, Inc., | |
| | 3,145,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/20/2020 | | | | 3,149,592 | |
| |
| | | | Mauser Holding GmbH, | |
| | 2,733,073 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 07/31/2021 | | | | 2,728,686 | |
| |
| | | | Milacron LLC, | |
| | 2,641,096 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 09/28/2020 | | | | 2,641,096 | |
| |
| | | | North American Lifting, | |
| | 3,979,770 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 11/27/2020 | | | | 3,631,540 | |
| |
| | | | PODS LLC, | |
| | 3,141,125 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 02/02/2022 | | | | 3,117,566 | |
| |
| | | | RBS Global, Inc., | |
| | 3,082,137 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 08/21/2020 | | | | 3,058,528 | |
| |
| | | | Signode Industrial Group, Inc., | |
| | 3,009,926 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 04/30/2021 | | | | 2,991,114 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 26,942,475 | |
| | | | | | | | | | | | | | | | |
| | INSURANCE 1.9% | |
| |
| | | | Asurion LLC, | |
| | 1,596,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 08/04/2022 | | | | 1,512,960 | |
| | 1,953,667 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.00% | # | | | 05/24/2019 | | | | 1,868,682 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 2,970,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 10/01/2021 | | | | 2,859,873 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,241,515 | |
| | | | | | | | | | | | | | | | |
| | LEISURE 2.8% | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 3,059,065 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 06/17/2020 | | | | 3,057,153 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Live Nation Entertainment, Inc., | |
| | 3,052,214 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 08/14/2020 | | | | 3,049,665 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 3,148,002 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 03/31/2021 | | | | 3,098,831 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,205,649 | |
| | | | | | | | | | | | | | | | |
| | MEDIA 4.0% | |
| |
| | | | CCO Safari III LLC, | |
| | 790,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche I | | | 3.50% | # | | | 01/24/2023 | | | | 786,876 | |
| |
| | | | CSC Holdings LLC, | |
| | 3,070,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/23/2022 | | | | 3,056,952 | |
| |
| | | | MGOC, Inc., | |
| | 3,014,645 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 07/31/2020 | | | | 2,995,502 | |
| |
| | | | TWCC Holding Corporation, | |
| | 3,102,206 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 02/11/2020 | | | | 3,089,797 | |
| |
| | | | Univision Communications Inc, | |
| | 3,107,850 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C3 | | | 4.00% | # | | | 02/28/2020 | | | | 3,092,078 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,021,205 | |
| | | | | | | | | | | | | | | | |
| | OIL & GAS 2.1% | |
| |
| | | | Energy Transfer Equity LP, | |
| | 3,118,235 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.00% | # | | | 12/02/2019 | | | | 3,074,705 | |
| |
| | | | MEG Energy Corporation, | |
| | 3,958,885 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/31/2020 | | | | 3,712,009 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,786,714 | |
| | | | | | | | | | | | | | | | |
| | PHARMACEUTICALS 1.9% | |
| |
| | | | Endo Luxembourg Finance I Company S.A.R.L., | |
| | 3,065,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 09/24/2022 | | | | 3,060,693 | |
| |
| | | | Valeant Pharmaceuticals International, Inc., | |
| | 3,125,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BF1 | | | 4.00% | # | | | 04/01/2022 | | | | 3,097,672 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,158,365 | |
| | | | | | | | | | | | | | | | |
| | RETAILERS (OTHER THAN FOOD/DRUG) 5.0% | |
| |
| | | | Michaels Stores, Inc., | |
| | 3,053,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 01/28/2020 | | | | 3,060,617 | |
| |
| | | | National Vision, Inc., | |
| | 3,220,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 3,132,802 | |
| |
| | | | Neiman Marcus Group LLC, | |
| | 1,539,875 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 10/23/2020 | | | | 1,510,040 | |
| | | | | | |
| 66 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Party City Holdings, Inc., | |
| | 1,890,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/19/2022 | | | | 1,888,819 | |
| |
| | | | Serta Simmons Holdings LLC, | |
| | 3,714,179 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/01/2019 | | | | 3,721,589 | |
| |
| | | | Spin Holdco, Inc., | |
| | 3,120,474 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 3,065,881 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,379,748 | |
| | | | | | | | | | | | | | | | |
| | TELECOMMUNICATIONS 1.9% | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 3,120,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 3,041,220 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 3,090,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BII | | | 3.50% | # | | | 05/31/2022 | | | | 3,070,687 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,111,907 | |
| | | | | | | | | | | | | | | | |
| | UTILITIES 3.8% | |
| |
| | | | Calpine Corporation, | |
| | 3,115,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 3.50% | # | | | 05/27/2022 | | | | 3,070,876 | |
| |
| | | | EFS Cogen Holdings LLC, | |
| | 2,908,927 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 12/17/2020 | | | | 2,902,572 | |
| |
| | | | Southeast PowerGen LLC, | |
| | 3,135,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/02/2021 | | | | 3,131,081 | |
| |
| | | | TPF II Power LLC, | |
| | 3,306,641 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/01/2021 | | | | 3,310,444 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,414,973 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $294,176,395) | | | | | | | | | | | 291,566,292 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US CORPORATE BONDS 2.6% | |
| | 1,000,000 | | | CommScope Technologies Finance LLC | | | 6.00% | ^ | | | 06/15/2025 | | | | 961,880 | |
| | 2,601,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 2,718,045 | |
| | 3,300,000 | | | Infor, Inc. | | | 6.50% | ^ | | | 05/15/2022 | | | | 3,036,000 | |
| | 2,000,000 | | | TransDigm, Inc. | | | 6.50% | ^ | | | 05/15/2025 | | | | 1,887,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $9,049,192) | | | | 8,603,425 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 10.1% | |
| | 11,029,896 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | | | 11,029,896 | |
| | 11,029,896 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | | | 11,029,896 | |
| | 11,029,895 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | | | 11,029,895 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $33,089,687) | | | | 33,089,687 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 101.9%
(Cost $336,315,274) | | | | 333,259,404 | |
| | | | Liabilities in Excess of Other Assets (1.9)% | | | | (6,355,589 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | | | $ | 326,903,815 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Bank Loans | | | 89.2% | |
Short Term Investments | | | 10.1% | |
US Corporate Bonds | | | 2.6% | |
Other Assets and Liabilities | | | (1.9)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 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 September 30, 2015, the value of these securities amounted to $5,885,380 or 1.8% of net assets. |
| ¨ | Seven-day yield as of September 30, 2015 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 67 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 0.6% | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 705,076 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 705,076 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 1,000,000 | | | Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 993,400 | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| | 1,585,635 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 1,592,939 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $3,295,476) | | | | 3,291,415 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 3.0% | |
| |
| | | | Air Medical Group Holdings, Inc., | |
| | 169,288 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 04/28/2022 | | | | 167,410 | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 166,338 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 5.50% | # | | | 08/25/2021 | | | | 166,585 | |
| |
| | | | Alere, Inc., | |
| | 169,688 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 06/20/2022 | | | | 169,926 | |
| |
| | | | AlixPartners LLP, | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/28/2022 | | | | 174,809 | |
| |
| | | | Allied Security Holdings LLC, | |
| | 169,591 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 02/12/2021 | | | | 167,824 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 168,325 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/20/2019 | | | | 167,414 | |
| |
| | | | American Tire Distributors, Inc., | |
| | 164,586 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 09/01/2021 | | | | 165,135 | |
| |
| | | | Applied Systems, Inc., | |
| | 85,000 | | | Secured 2nd Lien Term Loan, Tranche B | | | 7.50% | # | | | 01/24/2022 | | | | 84,469 | |
| |
| | | | Ardagh Packaging Finance, | |
| | 168,310 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 12/17/2019 | | | | 167,942 | |
| |
| | | | Arizona Chemical, Inc., | |
| | 160,327 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 06/11/2021 | | | | 160,371 | |
| |
| | | | Asurion LLC, | |
| | 199,500 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 08/04/2022 | | | | 189,120 | |
| | 246,053 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.00% | # | | | 05/24/2019 | | | | 235,350 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 169,091 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 12/16/2021 | | | | 169,593 | |
| |
| | | | BMC Software Finance, Inc., | |
| | 181,903 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/10/2020 | | | | 165,941 | |
| |
| | | | Builders Firstsource, Inc., | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 07/29/2022 | | | | 173,879 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Burger King Corporation, | |
| | 378,534 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 12/10/2021 | | | | 377,256 | |
| |
| | | | Calpine Corporation, | |
| | 169,575 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 3.50% | # | | | 05/27/2022 | | | | 167,173 | |
| |
| | | | Candy Intermediate Holdings, Inc., | |
| | 162,024 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 7.50% | # | | | 06/18/2018 | | | | 160,809 | |
| |
| | | | Capital Automotive LP, | |
| | 166,873 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 04/10/2019 | | | | 167,051 | |
| |
| | | | CCO Safari III LLC, | |
| | 45,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche I | | | 3.50% | # | | | 01/23/2023 | | | | 44,822 | |
| |
| | | | Chemours Company, | |
| | 89,825 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 05/12/2022 | | | | 79,018 | |
| |
| | | | Coveris Holdings S.A., | |
| | 168,306 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 05/08/2019 | | | | 168,271 | |
| |
| | | | Crosby Acquisition Corporation, | |
| | 498,731 | | | Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/23/2020 | | | | 436,390 | |
| |
| | | | CSC Holdings LLC, | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 09/23/2022 | | | | 174,256 | |
| |
| | | | DE Master Blenders, | |
| | 170,000 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.25% | # | | | 07/02/2022 | | | | 170,266 | |
| |
| | | | Dealer Tire LLC, | |
| | 168,323 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 12/22/2021 | | | | 169,691 | |
| |
| | | | Duff & Phelps Corporation, | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.75% | # | | | 04/23/2020 | | | | 174,563 | |
| |
| | | | Dynacast International LLC, | |
| | 168,327 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 01/28/2022 | | | | 167,749 | |
| |
| | | | EFS Cogen Holdings LLC, | |
| | 161,671 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 12/17/2020 | | | | 161,318 | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 174,563 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/23/2022 | | | | 174,672 | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 169,516 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 06/17/2020 | | | | 169,410 | |
| |
| | | | Endo Luxembourg Finance I Company S.A.R.L., | |
| | 200,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 09/26/2022 | | | | 199,719 | |
| |
| | | | Energy Transfer Equity LP, | |
| | 170,882 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.00% | # | | | 12/02/2019 | | | | 168,497 | |
| |
| | | | Ensemble S Merger Sub, Inc., | |
| | 150,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 09/16/2022 | | | | 149,883 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 172,487 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 164,151 | |
| |
| | | | Filtration Group, Inc., | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/20/2020 | | | | 175,256 | |
| | | | | | |
| 68 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | First Data Corporation, | |
| | 170,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C1 | | | 3.70% | # | | | 03/23/2018 | | | | 168,858 | |
| |
| | | | Four Seasons Holdings, Inc., | |
| | 169,409 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.50% | # | | | 06/27/2020 | | | | 168,616 | |
| |
| | | | Freescale Semiconductor, Inc., | |
| | 82,259 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5 | | | 5.00% | # | | | 01/15/2021 | | | | 82,413 | |
| |
| | | | Gates Global LLC, | |
| | 87,273 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/05/2021 | | | | 82,925 | |
| |
| | | | Grosvenor Capital Management Holdings LLP, | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 01/04/2021 | | | | 173,469 | |
| |
| | | | Guggenheim Partners Investment Management Holdings LLC, | |
| | 167,462 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/22/2020 | | | | 167,950 | |
| |
| | | | Hillman Group, Inc., | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2021 | | | | 174,672 | |
| |
| | | | Hilton Worldwide Finance LLC, | |
| | 432,500 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 10/26/2020 | | | | 432,093 | |
| |
| | | | Hostess Brands LLC, | |
| | 280,000 | | | Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 08/03/2022 | | | | 280,742 | |
| |
| | | | Informatica Corporation, | |
| | 85,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 08/05/2022 | | | | 84,622 | |
| |
| | | | Intelsat Jackson Holdings S.A., | |
| | 170,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.75% | # | | | 06/28/2019 | | | | 165,708 | |
| |
| | | | Jeld-Wen, Inc., | |
| | 170,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 06/30/2022 | | | | 169,788 | |
| |
| | | | KIK Custom Products, Inc., | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 08/26/2022 | | | | 171,792 | |
| |
| | | | Kloeckner Pentaplast of America, Inc., | |
| | 113,488 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 04/28/2020 | | | | 114,003 | |
| | 265,562 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 04/28/2020 | | | | 266,766 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 170,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BII | | | 3.50% | # | | | 05/31/2022 | | | | 168,938 | |
| |
| | | | Live Nation Entertainment, Inc., | |
| | 168,302 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.50% | # | | | 08/14/2020 | | | | 168,161 | |
| |
| | | | Mauser Holding GmbH, | |
| | 165,831 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 07/31/2021 | | | | 165,565 | |
| |
| | | | MEG Energy Corporation, | |
| | 179,534 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/31/2020 | | | | 168,338 | |
| |
| | | | MGOC, Inc., | |
| | 167,598 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B | | | 4.00% | # | | | 07/31/2020 | | | | 166,534 | |
| |
| | | | Michaels Stores, Inc., | |
| | 168,741 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.00% | # | | | 01/28/2020 | | | | 169,162 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Milacron LLC, | |
| | 330,137 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 09/28/2020 | | | | 330,137 | |
| |
| | | | Mitchell International, Inc., | |
| | 85,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.50% | # | | | 10/11/2021 | | | | 84,929 | |
| |
| | | | National Financial Partners Corporation, | |
| | 82,134 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 07/01/2020 | | | | 80,902 | |
| |
| | | | National Vision, Inc., | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 170,261 | |
| |
| | | | Neiman Marcus Group LLC, | |
| | 82,475 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 10/23/2020 | | | | 80,877 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 03/31/2021 | | | | 172,267 | |
| |
| | | | North American Lifting, | |
| | 497,471 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 11/27/2020 | | | | 453,943 | |
| |
| | | | Party City Holdings, Inc., | |
| | 105,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/19/2022 | | | | 104,934 | |
| |
| | | | Pharmaceutical Product Development LLC, | |
| | 174,563 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/18/2022 | | | | 172,899 | |
| |
| | | | PODS LLC, | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 02/02/2022 | | | | 173,688 | |
| |
| | | | Prestige Brands, Inc., | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 3.51% | # | | | 09/03/2021 | | | | 175,156 | |
| |
| | | | Protection One, Inc., | |
| | 205,000 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 07/01/2021 | | | | 205,385 | |
| |
| | | | RBS Global, Inc., | |
| | 169,567 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 08/21/2020 | | | | 168,269 | |
| |
| | | | RCS Capital Corporation, | |
| | 167,426 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 7.50% | # | | | 04/29/2019 | | | | 157,799 | |
| |
| | | | Reynolds Group Holdings, Inc., | |
| | 167,336 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.50% | # | | | 11/30/2018 | | | | 167,621 | |
| |
| | | | Scientific Games International, Inc., | |
| | 171,715 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 6.00% | # | | | 10/01/2021 | | | | 169,810 | |
| |
| | | | Select Medical Corporation, | |
| | 170,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche E | | | 3.75% | # | | | 06/01/2018 | | | | 169,921 | |
| |
| | | | Serta Simmons Holdings LLC, | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 10/01/2019 | | | | 175,349 | |
| |
| | | | Signode Industrial Group, Inc., | |
| | 164,894 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 04/30/2021 | | | | 163,864 | |
| |
| | | | Solenis International LP, | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/31/2021 | | | | 173,086 | |
| |
| | | | Southeast PowerGen LLC, | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 12/02/2021 | | | | 174,781 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 69 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Spin Holdco, Inc., | |
| | 172,067 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 11/14/2019 | | | | 169,056 | |
| |
| | | | Station Casinos LLC, | |
| | 167,172 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/02/2020 | | | | 167,103 | |
| |
| | | | Summit Materials LLC, | |
| | 169,575 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/18/2022 | | | | 169,469 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 175,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 11/03/2020 | | | | 175,246 | |
| |
| | | | TI Group Automotive Systems LLC, | |
| | 170,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/30/2022 | | | | 168,158 | |
| |
| | | | TPF II Power LLC, | |
| | 175,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/01/2021 | | | | 175,201 | |
| |
| | | | TransUnion LLC, | |
| | 172,044 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 04/09/2021 | | | | 170,593 | |
| |
| | | | Travelport Finance Luxembourg S.A.R.L., | |
| | 167,494 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 09/02/2021 | | | | 166,918 | |
| |
| | | | TWCC Holding Corporation, | |
| | 248,750 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 02/11/2020 | | | | 247,755 | |
| |
| | | | Univar, Inc., | |
| | 170,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/01/2022 | | | | 167,118 | |
| |
| | | | Univision Communications Inc, | |
| | 166,040 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C3 | | | 4.00% | # | | | 02/28/2020 | | | | 165,197 | |
| |
| | | | US Renal Care, Inc., | |
| | 167,042 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 07/03/2019 | | | | 166,972 | |
| |
| | | | USAGM HoldCo LLC, | |
| | 27,665 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 6.00% | #& | | | 07/28/2022 | | | | 27,379 | |
| | 392,335 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 07/28/2022 | | | | 388,290 | |
| |
| | | | Valeant Pharmaceuticals International, Inc., | |
| | 170,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche BF1 | | | 4.00% | # | | | 04/01/2022 | | | | 168,513 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $16,670,462) | | | | 16,475,950 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 20.5% | |
| |
| | | | AB Ltd., | |
| | 500,000 | | | Series 2007-1A-B | | | 1.04% | #^ | | | 04/15/2021 | | | | 500,085 | |
| |
| | | | Adams Mill Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 1.77% | #^ | | | 07/15/2026 | | | | 996,208 | |
| | 250,000 | | | Series 2014-1A-D1 | | | 3.79% | #^ | | | 07/15/2026 | | | | 234,881 | |
| |
| | | | AIMCO, | |
| | 495,288 | | | Series 2006-AA-A1 | | | 0.58% | #^ | | | 08/20/2020 | | | | 492,437 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | ALM Loan Funding, | |
| | 2,500,000 | | | Series 2012-7A-A1 | | | 1.71% | #^ | | | 10/19/2024 | | | | 2,497,086 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 650,000 | | | Series 2014-3A-A2A | | | 2.54% | #^ | | | 04/28/2026 | | | | 650,957 | |
| |
| | | | Apidos Ltd., | |
| | 1,000,000 | | | Series 2006-4A-C | | | 1.05% | #^ | | | 10/27/2018 | | | | 992,680 | |
| | 2,000,000 | | | Series 2007-5A-B | | | 0.99% | #^ | | | 04/15/2021 | | | | 1,951,801 | |
| | 2,000,000 | | | Series 2013-16A-A1 | | | 1.74% | #^ | | | 01/19/2025 | | | | 1,988,971 | |
| | 500,000 | | | Series 2014-19A-D | | | 4.04% | #^ | | | 10/17/2026 | | | | 483,261 | |
| | 1,000,000 | | | Series 2015-20A-A1 | | | 1.84% | #^ | | | 01/16/2027 | | | | 998,535 | |
| | 500,000 | | | Series 2015-20A-A2 | | | 2.64% | #^ | | | 01/16/2027 | | | | 500,946 | |
| |
| | | | ARES Ltd., | |
| | 870,940 | | | Series 2007-12A-A | | | 0.96% | #^ | | | 11/25/2020 | | | | 858,270 | |
| | 500,000 | | | Series 2014-1A-A2 | | | 2.29% | #^ | | | 04/17/2026 | | | | 497,714 | |
| | 817,574 | | | Series 2014-30A-A2 | | | 1.14% | #^ | | | 04/20/2023 | | | | 814,020 | |
| |
| | | | Atrium Corporation, | |
| | 544,859 | | | Series 5A-A2A | | | 0.55% | #^ | | | 07/20/2020 | | | | 541,557 | |
| |
| | | | Avalon Capital Ltd., | |
| | 1,810,219 | | | Series 2014-1AR-AR | | | 1.46% | #^ | | | 04/17/2023 | | | | 1,810,534 | |
| |
| | | | Avery Point Ltd., | |
| | 250,000 | | | Series 2013-2A-D | | | 3.74% | #^ | | | 07/17/2025 | | | | 235,461 | |
| | 500,000 | | | Series 2014-1A-C | | | 3.40% | #^ | | | 04/25/2026 | | | | 496,811 | |
| |
| | | | Babson Ltd., | |
| | 456,241 | | | Series 2007-1A-A1 | | | 0.51% | #^ | | | 01/18/2021 | | | | 449,178 | |
| | 240,226 | | | Series 2007-1A-A2A | | | 0.50% | #^ | | | 01/18/2021 | | | | 238,509 | |
| | 500,000 | | | Series 2014-3A-C1 | | | 3.29% | #^ | | | 01/15/2026 | | | | 496,293 | |
| | 500,000 | | | Series 2014-3A-D2 | | | 4.59% | #^ | | | 01/15/2026 | | | | 498,709 | |
| | 2,500,000 | | | Series 2015-2A-D | | | 3.89% | #^ | | | 07/20/2027 | | | | 2,443,025 | |
| |
| | | | Betony Ltd., | |
| | 1,000,000 | | | Series 2015-1A-C | | | 3.46% | #^ | | | 04/15/2027 | | | | 1,000,207 | |
| | 1,000,000 | | | Series 2015-1A-D | | | 3.89% | #^ | | | 04/15/2027 | | | | 946,641 | |
| |
| | | | Birchwood Park Ltd., | |
| | 500,000 | | | Series 2014-1A-C2 | | | 3.44% | #^ | | | 07/15/2026 | | | | 499,749 | |
| | 500,000 | | | Series 2014-1A-D2 | | | 4.49% | #^ | | | 07/15/2026 | | | | 499,596 | |
| |
| | | | Black Diamond Ltd., | |
| | 175,541 | | | Series 2005-2A-A | | | 0.54% | #^ | | | 01/07/2018 | | | | 175,233 | |
| |
| | | | BlackRock Senior Income, | |
| | 491,770 | | | Series 2006-4A-A | | | 0.53% | #^ | | | 04/20/2019 | | | | 489,911 | |
| |
| | | | BlueMountain Ltd., | |
| | 2,500,000 | | | Series 2012-2A-A1 | | | 1.75% | #^ | | | 11/20/2024 | | | | 2,503,022 | |
| | 1,000,000 | | | Series 2013-1A-A1 | | | 1.52% | #^ | | | 05/15/2025 | | | | 987,409 | |
| | 2,500,000 | | | Series 2013-4A-A | | | 1.79% | #^ | | | 04/15/2025 | | | | 2,492,784 | |
| | 1,000,000 | | | Series 2014-4A-B1 | | | 2.72% | #^ | | | 11/30/2026 | | | | 1,001,737 | |
| | 4,000,000 | | | Series 2015-3A-A1 | | | 1.81% | #^ | | | 10/20/2027 | | | | 3,991,541 | |
| |
| | | | Canyon Capital Ltd., | |
| | 1,000,000 | | | Series 2012-1A-C | | | 3.09% | #^ | | | 01/15/2024 | | | | 981,182 | |
| | 1,500,000 | | | Series 2014-1A-B | | | 2.95% | #^ | | | 04/30/2025 | | | | 1,450,471 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 1,250,000 | | | Series 2014-1A-C | | | 3.29% | #^ | | | 04/17/2025 | | | | 1,240,352 | |
| | 500,000 | | | Series 2014-3A-B | | | 3.45% | #^ | | | 07/27/2026 | | | | 498,084 | |
| | 500,000 | | | Series 2014-3A-C2 | | | 4.50% | #^ | | | 07/27/2026 | | | | 500,427 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 1,074,577 | | | Series 2006-8A-A2A | | | 0.57% | #^ | | | 05/21/2021 | | | | 1,066,733 | |
| | 500,000 | | | Series 2006-8A-B | | | 0.71% | #^ | | | 05/21/2021 | | | | 485,353 | |
| | 1,987,042 | | | Series 2007-10-A1 | | | 0.51% | #^ | | | 04/19/2022 | | | | 1,924,848 | |
| | 771,651 | | | Series 2007-10A-A2A | | | 0.50% | #^ | | | 04/19/2022 | | | | 759,034 | |
| |
| | | | Catamaran Ltd., | |
| | 250,000 | | | Series 2014-1A-B | | | 2.94% | #^ | | | 04/20/2026 | | | | 242,306 | |
| | 1,000,000 | | | Series 2015-1A1-B | | | 2.50% | #^ | | | 04/22/2027 | | | | 1,006,672 | |
| | 2,000,000 | | | Series 2015-1A-A | | | 1.85% | #^ | | | 04/22/2027 | | | | 1,994,507 | |
| |
| | | | Cent Ltd., | |
| | 1,500,000 | | | Series 2005-10A-D | | | 2.09% | #^ | | | 12/15/2017 | | | | 1,484,682 | |
| | 1,000,000 | | | Series 2013-19A-A1A | | | 1.62% | #^ | | | 10/29/2025 | | | | 991,171 | |
| | 500,000 | | | Series 2014-22A-B | | | 3.51% | #^ | | | 11/07/2026 | | | | 500,608 | |
| | 250,000 | | | Series 2014-22A-C | | | 4.06% | #^ | | | 11/07/2026 | | | | 241,634 | |
| |
| | | | ColumbusNova Ltd., | |
| | 500,000 | | | Series 2006-2A-D | | | 1.81% | #^ | | | 04/04/2018 | | | | 500,489 | |
| | | | | | |
| 70 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Cornerstone Ltd., | |
| | 941,885 | | | Series 2007-1A-A1S | | | 0.51% | #^ | | | 07/15/2021 | | | | 933,425 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 800,000 | | | Series 2006-11A-C1 | | | 1.89% | #^ | | | 04/12/2020 | | | | 776,016 | |
| |
| | | | Eaton Vance Ltd., | |
| | 2,500,000 | | | Series 2006-8A-B | | | 0.97% | #^ | | | 08/15/2022 | | | | 2,380,386 | |
| |
| | | | Flatiron Ltd., | |
| | 500,000 | | | Series 2013-1A-B | | | 3.04% | #^ | | | 01/17/2026 | | | | 481,762 | |
| | 250,000 | | | Series 2014-1A-C | | | 3.59% | #^ | | | 07/17/2026 | | | | 232,615 | |
| |
| | | | Franklin Ltd., | |
| | 121,300 | | | Series 2006-5A-A2 | | | 0.60% | #^ | | | 06/15/2018 | | | | 120,921 | |
| |
| | | | Galaxy Ltd., | |
| | 2,000,000 | | | Series 2014-18A-A | | | 1.76% | #^ | | | 10/15/2026 | | | | 1,992,069 | |
| | 500,000 | | | Series 2014-18A-D1 | | | 3.99% | #^ | | | 10/15/2026 | | | | 457,532 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 700,000 | | | Series 2012-6A-D | | | 4.49% | #^ | | | 04/17/2022 | | | | 700,324 | |
| |
| | | | Gulf Stream Ltd., | |
| | 613,881 | | | Series 2007-1A-A1A | | | 0.56% | #^ | | | 06/17/2021 | | | | 611,064 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 500,000 | | | Series 2012-1X-A2 | | | 2.77% | # | | | 08/15/2023 | | | | 500,733 | |
| | 500,000 | | | Series 2013-2A-C | | | 3.00% | #^ | | | 08/01/2025 | | | | 472,723 | |
| | 250,000 | | | Series 2013-2A-D | | | 4.10% | #^ | | | 08/01/2025 | | | | 233,610 | |
| | 500,000 | | | Series 2014-2A-C | | | 3.79% | #^ | | | 04/28/2025 | | | | 458,691 | |
| |
| | | | Hildene Ltd., | |
| | 3,000,000 | | | Series 2015-4A-A1A | | | 1.78% | #^ | | | 07/23/2027 | | | | 2,974,684 | |
| |
| | | | ING Ltd., | |
| | 1,785,310 | | | Series 2012-1RA-A1R | | | 1.54% | #^ | | | 03/14/2022 | | | | 1,783,460 | |
| | 500,000 | | | Series 2012-1RA-BR | | | 3.09% | #^ | | | 03/14/2022 | | | | 503,444 | |
| |
| | | | Inwood Park Ltd., | |
| | 1,000,000 | | | Series 2006-1A-B | | | 0.68% | #^ | | | 01/20/2021 | | | | 977,014 | |
| |
| | | | Jamestown Ltd., | |
| | 1,000,000 | | | Series 2015-6A-A1A | | | 1.93% | #^ | | | 02/20/2027 | | | | 996,660 | |
| |
| | | | LCM LP, | |
| | 500,000 | | | Series 10AR-BR | | | 2.19% | #^ | | | 04/15/2022 | | | | 500,618 | |
| | 500,000 | | | Series 10AR-CR | | | 3.14% | #^ | | | 04/15/2022 | | | | 502,209 | |
| | 500,000 | | | Series 11A-B | | | 2.44% | #^ | | | 04/19/2022 | | | | 500,654 | |
| | 250,000 | | | Series 11A-D2 | | | 4.24% | #^ | | | 04/19/2022 | | | | 250,593 | |
| | 500,000 | | | Series14A-D | | | 3.79% | #^ | | | 07/15/2025 | | | | 478,747 | |
| | 500,000 | | | Series 15A-C | | | 3.43% | #^ | | | 08/25/2024 | | | | 499,052 | |
| | 250,000 | | | Series 16A-D | | | 3.89% | #^ | | | 07/15/2026 | | | | 240,505 | |
| | 185,611 | | | Series 5A-C | | | 1.02% | #^ | | | 03/21/2019 | | | | 185,655 | |
| |
| | | | Limerock Ltd., | |
| | 1,800,000 | | | Series 2014-2A-A | | | 1.79% | #^ | | | 04/18/2026 | | | | 1,798,688 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 2,400,000 | | | Series 2012-10A-A1A | | | 1.66% | #^ | | | 01/20/2025 | | | | 2,400,400 | |
| | 250,000 | | | Series 2014-13A-D | | | 3.64% | #^ | | | 01/19/2025 | | | | 238,365 | |
| | 250,000 | | | Series 2014-14A-C1 | | | 3.39% | #^ | | | 07/20/2026 | | | | 250,618 | |
| | 1,000,000 | | | Series 2014-14A-D | | | 3.89% | #^ | | | 07/20/2026 | | | | 966,158 | |
| | 1,000,000 | | | Series 2014-15A-C | | | 4.00% | #^ | | | 01/27/2026 | | | | 982,742 | |
| | 1,000,000 | | | Series 2015-16A-B | | | 3.30% | #^ | | | 04/20/2026 | | | | 992,185 | |
| |
| | | | Magnetite Ltd., | |
| | 1,000,000 | | | Series 2014-11A-C | | | 3.77% | #^ | | | 01/18/2027 | | | | 957,056 | |
| |
| | | | MAPS Fund Ltd., | |
| | 1,000,000 | | | Series 2007-2A-B | | | 1.19% | #^ | | | 07/20/2022 | | | | 963,752 | |
| |
| | | | Nautique Funding Ltd., | |
| | 500,000 | | | Series 2006-1A-C | | | 1.99% | #^ | | | 04/15/2020 | | | | 488,829 | |
| |
| | | | Navigare Funding Ltd., | |
| | 3,000,000 | | | Series 2007-2A-C | | | 1.04% | #^ | | | 04/17/2021 | | | | 2,933,032 | |
| |
| | | | North End Ltd., | |
| | 500,000 | | | Series 2013-1A-C | | | 3.04% | #^ | | | 07/17/2025 | | | | 486,268 | |
| | 250,000 | | | Series 2013-1A-D | | | 3.79% | #^ | | | 07/17/2025 | | | | 237,346 | |
| |
| | | | Ocean Trails, | |
| | 500,000 | | | Series 2006-1A-A2 | | | 0.74% | #^ | | | 10/12/2020 | | | | 484,170 | |
| |
| | | | OCP Ltd., | |
| | 250,000 | | | Series 2012-2A-A2 | | | 1.81% | #^ | | | 11/22/2023 | | | | 250,622 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A | | | 1.78% | #^ | | | 11/22/2025 | | | | 994,868 | |
| | 2,500,000 | | | Series 2014-1A-A | | | 1.81% | #^ | | | 04/15/2026 | | | | 2,493,354 | |
| | 500,000 | | | Series 2014-1A-B | | | 3.48% | #^ | | | 11/14/2026 | | | | 496,154 | |
| | 750,000 | | | Series 2014-1A-C | | | 3.93% | #^ | | | 11/14/2026 | | | | 717,979 | |
| |
| | | | OHA Intrepid Leverage Loan Fund Ltd., | |
| | 1,141,347 | | | Series 2011-1AR-AR | | | 1.20% | #^ | | | 04/20/2021 | | | | 1,141,838 | |
| |
| | | | OZLM Funding Ltd., | |
| | 500,000 | | | Series 2013-5A-A1 | | | 1.79% | #^ | | | 01/17/2026 | | | | 498,514 | |
| |
| | | | OZLM Ltd., | |
| | 1,000,000 | | | Series 2015-11A-A1A | | | 1.85% | #^ | | | 01/30/2027 | | | | 997,469 | |
| | 1,000,000 | | | Series 2015-11A-A2A | | | 2.55% | #^ | | | 01/30/2027 | | | | 998,226 | |
| |
| | | | Pinnacle Park Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.39% | #^ | | | 04/15/2026 | | | | 498,125 | |
| |
| | | | Race Point Ltd., | |
| | 250,000 | | | Series 2012-6RA-CR | | | 3.44% | #^ | | | 05/24/2023 | | | | 251,309 | |
| | 250,000 | | | Series 2012-6RA-DR | | | 4.44% | #^ | | | 05/24/2023 | | | | 247,446 | |
| |
| | | | Regatta Funding Ltd., | |
| | 500,000 | | | Series 2014-1A-A1A | | | 1.86% | #^ | | | 10/25/2026 | | | | 498,158 | |
| |
| | | | Sierra Ltd., | |
| | 1,000,000 | | | Series 2006-2A-A2L | | | 0.73% | #^ | | | 01/22/2021 | | | | 992,760 | |
| |
| | | | Slater Mill Loan Fund, | |
| | 500,000 | | | Series 2012-1A-B | | | 2.97% | #^ | | | 08/17/2022 | | | | 503,425 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 500,000 | | | Series 2014-1A-A1 | | | 1.80% | #^ | | | 10/30/2026 | | | | 497,689 | |
| |
| | | | Steele Creek Ltd., | |
| | 250,000 | | | Series 2014-1A-A1 | | | 1.93% | #^ | | | 08/21/2026 | | | | 249,023 | |
| |
| | | | Symphony Ltd., | |
| | 2,954,890 | | | Series 2012-8AR-AR | | | 1.38% | #^ | | | 01/09/2023 | | | | 2,947,962 | |
| | 1,500,000 | | | Series 2013-11A-B1 | | | 2.49% | #^ | | | 01/17/2025 | | | | 1,495,393 | |
| | 1,500,000 | | | Series 2013-11A-C | | | 3.44% | #^ | | | 01/17/2025 | | | | 1,487,842 | |
| |
| | | | Thacher Park Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 3.34% | #^ | | | 10/20/2026 | | | | 497,355 | |
| | 500,000 | | | Series 2014-1A-D1 | | | 3.82% | #^ | | | 10/20/2026 | | | | 477,288 | |
| |
| | | | Venture Ltd., | |
| | 355,095 | | | Series 2005-1A-A2 | | | 0.78% | #^ | | | 11/22/2018 | | | | 354,754 | |
| | 907,543 | | | Series 2007-8A-A2A | | | 0.52% | #^ | | | 07/22/2021 | | | | 893,836 | |
| | 500,000 | | | Series 2012-10A-C | | | 3.54% | #^ | | | 07/20/2022 | | | | 500,622 | |
| | 500,000 | | | Series 2013-14A-B1 | | | 2.18% | #^ | | | 08/28/2025 | | | | 492,057 | |
| | 250,000 | | | Series 2014-16A-A1L | | | 1.79% | #^ | | | 04/15/2026 | | | | 248,882 | |
| |
| | | | Washington Mill Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 1.79% | #^ | | | 04/20/2026 | | | | 996,506 | |
| |
| | | | WG Horizons, | |
| | 500,000 | | | Series 2006-1A-C | | | 2.03% | #^ | | | 05/24/2019 | | | | 486,897 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $110,437,568) | | | | 110,255,440 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 17.9% | |
| | 600,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 625,029 | |
| | 200,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 199,000 | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 206,000 | |
| | 800,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 824,000 | |
| | 1,400,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 1,469,609 | |
| | 200,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 200,000 | |
| | 1,000,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 1,000,000 | |
| | 270,000 | | | Australia and New Zealand Banking Group Ltd. | | | 3.25% | ^ | | | 03/01/2016 | | | | 272,927 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 170,000 | |
| | 800,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 680,000 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 71 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,100,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 1,126,125 | |
| | 1,000,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 990,000 | |
| | 500,000 | | | Banco de Bogota S.A. | | | 5.00% | | | | 01/15/2017 | | | | 513,750 | |
| | 700,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 705,250 | |
| | 400,000 | | | Banco de Credito del Peru | | | 2.75% | ^ | | | 01/09/2018 | | | | 399,000 | |
| | 400,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 399,000 | |
| | 600,000 | | | Banco de Credito e Inversiones | | | 3.00% | | | | 09/13/2017 | | | | 606,536 | |
| | 500,000 | | | Banco del Estado de Chile | | | 4.13% | | | | 10/07/2020 | | | | 525,400 | |
| | 500,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 503,000 | |
| | 200,000 | | | Banco Inbursa S.A. | | | 4.13% | | | | 06/06/2024 | | | | 194,200 | |
| | 600,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | ^ | | | 05/07/2020 | | | | 597,000 | |
| | 895,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 933,038 | |
| | 900,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 893,250 | |
| | 600,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 604,500 | |
| | 450,000 | | | Banco Santander | | | 1.19% | # | | | 04/11/2017 | | | | 443,461 | |
| | 400,000 | | | Banco Santander | | | 2.21% | # | | | 06/07/2018 | | | | 404,000 | |
| | 1,400,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 1,442,700 | |
| | 500,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 513,125 | |
| | 960,000 | | | Bank of Montreal | | | 1.80% | | | | 07/31/2018 | | | | 963,996 | |
| | 2,000,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 2,035,000 | |
| | 250,000 | | | BP Capital Markets PLC | | | 1.85% | | | | 05/05/2017 | | | | 252,208 | |
| | 550,000 | | | BP Capital Markets PLC | | | 1.67% | | | | 02/13/2018 | | | | 550,829 | |
| | 815,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 893,736 | |
| | 50,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 45,130 | |
| | 200,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 207,500 | |
| | 800,000 | | | Cemex S.A.B. de C.V. | | | 5.04% | # | | | 10/15/2018 | | | | 830,000 | |
| | 1,400,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 1,450,982 | |
| | 1,000,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 1,051,500 | |
| | 1,500,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 1,480,098 | |
| | 300,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 331,005 | |
| | 500,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 493,750 | |
| | 900,000 | | | Comision Federal de Electricidad | | | 4.88% | | | | 05/26/2021 | | | | 934,875 | |
| | 1,075,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 1,033,075 | |
| | 400,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 399,098 | |
| | 500,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 505,980 | |
| | 500,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 477,500 | |
| | 400,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 332,000 | |
| | 700,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 702,275 | |
| | 1,200,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 1,203,900 | |
| | 700,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 701,970 | |
| | 700,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 549,500 | |
| | 200,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | | | | 03/13/2019 | | | | 198,500 | |
| | 2,500,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 2,559,965 | |
| | 200,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 201,500 | |
| | 1,800,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 1,820,250 | |
| | 200,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 198,500 | |
| | 900,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 837,000 | |
| | 800,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 694,000 | |
| | 500,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 520,000 | |
| | 1,200,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | ^ | | | 04/30/2025 | | | | 1,139,365 | |
| | 800,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 914,000 | |
| | 1,849,066 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 1,904,538 | |
| | 2,000,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 1,990,000 | |
| | 1,300,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 1,144,000 | |
| | 350,000 | | | Gibson Energy, Inc. | | | 6.75% | ^ | | | 07/15/2021 | | | | 338,187 | |
| | 1,100,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 1,114,850 | |
| | 900,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 911,250 | |
| | 200,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 202,500 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 200,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 200,000 | |
| | 2,400,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 2,448,000 | |
| | 200,000 | | | Grupo Bimbo S.A.B. de C.V. | | | 4.50% | | | | 01/25/2022 | | | | 207,200 | |
| | 900,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 940,500 | |
| | 700,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 668,500 | |
| | 1,300,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 1,306,500 | |
| | 1,500,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 1,561,500 | |
| | 1,250,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 1,239,063 | |
| | 750,000 | | | Guanay Finance Ltd. | | | 6.00% | ^ | | | 12/15/2020 | | | | 743,438 | |
| | 2,000,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 2,087,358 | |
| | 300,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 312,750 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 208,500 | |
| | 1,000,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 1,018,750 | |
| | 951,683 | | | Interoceanica IV Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 894,582 | |
| | 600,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 619,091 | |
| | 800,000 | | | Israel Electric Corporation Ltd. | | | 2.11% | # | | | 01/17/2018 | | | | 798,000 | |
| | 1,500,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 1,599,375 | |
| | 600,000 | | | JBS Investments GmbH | | | 7.75% | | | | 10/28/2020 | | | | 618,000 | |
| | 400,000 | | | Latam Airlines Group S.A. | | | 7.25% | ^ | | | 06/09/2020 | | | | 356,000 | |
| | 100,000 | | | LPG International, Inc. | | | 7.25% | | | | 12/20/2015 | | | | 100,800 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 173,500 | |
| | 1,300,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 1,127,750 | |
| | 196,824 | | | Mexico Generadora de Energia | | | 5.50% | | | | 12/06/2032 | | | | 184,621 | |
| | 1,600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 1,424,000 | |
| | 635,000 | | | National Australia Bank Ltd. | | | 3.00% | ^ | | | 07/27/2016 | | | | 646,645 | |
| | 200,000 | | | OAS Investments GmbH | | | 8.25% | W | | | 10/19/2019 | | | | 19,600 | |
| | 150,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 10/30/2015 | | | | 90,750 | |
| | 300,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 302,163 | |
| | 790,000 | | | Orange S.A. | | | 2.75% | | | | 09/14/2016 | | | | 802,548 | |
| | 2,000,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 2,051,578 | |
| | 850,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 325,125 | |
| | 1,387,843 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 1,341,836 | |
| | 400,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 405,400 | |
| | 600,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 630,900 | |
| | 393,825 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 422,770 | |
| | 250,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 267,959 | |
| | 335,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 316,575 | |
| | 200,000 | | | Sigma Alimentos S.A. | | | 6.88% | | | | 12/16/2019 | | | | 222,240 | |
| | 500,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | ^ | | | 04/28/2020 | | | | 493,491 | |
| | 500,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | | | | 04/28/2020 | | | | 493,491 | |
| | 1,200,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 1,223,538 | |
| | 1,200,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 1,198,700 | |
| | 1,400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 1,358,000 | |
| | 1,100,000 | | | Tencent Holdings Ltd. | | | 2.88% | ^ | | | 02/11/2020 | | | | 1,092,931 | |
| | 925,000 | | | Thomson Reuters Corporation | | | 1.30% | | | | 02/23/2017 | | | | 923,369 | |
| | 915,000 | | | Toronto Dominion Bank | | | 1.75% | | | | 07/23/2018 | | | | 918,080 | |
| | 1,500,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 1,515,000 | |
| | 200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 177,000 | |
| | 700,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 579,950 | |
| | 400,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | | | | 07/22/2019 | | | | 377,000 | |
| | 200,000 | | | Unifin Financiera S.A.P.I. de C.V. | | | 6.25% | ^ | | | 07/22/2019 | | | | 188,500 | |
| | 1,150,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 1,109,750 | |
| | 300,000 | | | United Overseas Bank Ltd. | | | 2.88% | # | | | 10/17/2022 | | | | 302,591 | |
| | | | | | |
| 72 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,800,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 1,839,852 | |
| | 400,000 | | | Vedanta Resources PLC | | | 6.00% | | | | 01/31/2019 | | | | 291,935 | |
| | 1,000,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 910,000 | |
| | 900,000 | | | Westpac Banking Corporation | | | 2.00% | | | | 08/14/2017 | | | | 911,300 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $99,555,365) | | | | 96,142,557 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 1.3% |
|
| | 3,500,000 | | | Colombia Government International Bond | | | 4.38% | | | | 07/12/2021 | | | | 3,573,500 | |
| | 1,250,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 1,275,000 | |
| | 2,000,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 2,162,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $7,172,000) | | | | 7,011,000 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 16.5% | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 200,000 | | | Series 2014-IP-E | | | 2.81% | #^ | | | 06/15/2028 | | | | 198,615 | |
| | 30,000,000 | | | Series 2015-200P-XA | | | 0.50% | #^ I/O | | | 04/14/2033 | | | | 1,002,954 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 350,000 | | | Series 2006-5-AM | | | 5.45% | | | | 09/10/2047 | | | | 359,729 | |
| | 500,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 518,725 | |
| | 500,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 529,362 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 110,000 | | | Series 2004-PWR4-D | | | 6.10% | # | | | 06/11/2041 | | | | 112,390 | |
| | 300,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 303,005 | |
| | 500,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 506,307 | |
| | | | |
| | | | BXHTL Mortgage Trust, | | | | | | | | | | | | |
| | 1,055,000 | | | Series 2015-JWRZ-A | | | 1.44% | #^ | | | 05/15/2029 | | | | 1,050,519 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 350,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 352,507 | |
| | 900,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 931,151 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 933,000 | | | Series 2007-C6-AM | | | 5.90% | # | | | 12/10/2049 | | | | 979,385 | |
| | 1,500,000 | | | Series 2007-C6-AMFX | | | 5.90% | #^ | | | 12/10/2049 | | | | 1,570,146 | |
| | 6,066,787 | | | Series 2014-GC25-XA | | | 1.25% | # I/O | | | 10/10/2047 | | | | 459,326 | |
| | 1,430,000 | | | Series 2015-GC27-D | | | 4.58% | #^ | | | 02/10/2048 | | | | 1,217,071 | |
| | 5,975,282 | | | Series 2015-GC27-XA | | | 1.60% | # I/O | | | 02/10/2048 | | | | 587,523 | |
| | 1,750,000 | | | Series 2015-GC31-C | | | 4.20% | | | | 06/10/2048 | | | | 1,682,890 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 300,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 302,139 | |
| | 350,000 | | | Series 2007-C3-AM | | | 5.96% | # | | | 05/15/2046 | | | | 372,141 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 110,000 | | | Series 2006-C7-AM | | | 5.98% | # | | | 06/10/2046 | | | | 112,261 | |
| | 10,412,885 | | | Series 2013-CR10-XA | | | 1.15% | # I/O | | | 08/10/2046 | | | | 479,789 | |
| | 3,215,163 | | | Series 2014-CR17-XA | | | 1.36% | # I/O | | | 05/10/2047 | | | | 220,534 | |
| | 300,000 | | | Series 2014-CR19-C | | | 4.88% | # | | | 08/10/2047 | | | | 306,130 | |
| | 500,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 498,288 | |
| | 700,000 | | | Series 2014-KYO-E | | | 2.55% | #^ | | | 06/11/2027 | | | | 695,044 | |
| | 1,500,000 | | | Series 2014-KYO-F | | | 3.70% | #^ | | | 06/11/2027 | | | | 1,488,055 | |
| | 110,000 | | | Series 2014-TWC-C | | | 2.04% | #^ | | | 02/13/2032 | | | | 109,467 | |
| | 1,500,000 | | | Series 2015-CR22-D | | | 4.27% | #^ | | | 03/10/2048 | | | | 1,251,824 | |
| | 22,424,840 | | | Series 2015-CR22-XA | | | 1.17% | # I/O | | | 03/10/2048 | | | | 1,451,683 | |
| | 1,500,000 | | | Series 2015-CR23-D | | | 4.40% | # | | | 05/10/2048 | | | | 1,256,028 | |
| | 1,386,000 | | | Series 2015-CR25-C | | | 4.70% | # | | | 08/10/2048 | | | | 1,354,180 | |
| | 1,000,000 | | | Series 2015-DC1-D | | | 4.50% | #^ | | | 02/10/2048 | | | | 856,086 | |
| | 12,465,704 | | | Series 2015-DC1-XA | | | 1.33% | # I/O | | | 02/10/2048 | | | | 941,005 | |
| | 950,000 | | | Series 2015-LC19-B | | | 3.83% | # | | | 02/10/2048 | | | | 956,407 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 902,787 | | | Series 2007-MF1-A | | | 6.27% | #^ | | | 11/12/2043 | | | | 946,619 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 39,168 | | | Series 2005-C2-AMFX | | | 4.88% | | | | 04/15/2037 | | | | 39,142 | |
| | 310,000 | | | Series 2005-C6-AJ | | | 5.23% | # | | | 12/15/2040 | | | | 310,197 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 100,000 | | | Series 2006-C1-C | | | 5.65% | # | | | 02/15/2039 | | | | 100,827 | |
| | 110,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 113,446 | |
| | 190,000 | | | Series 2006-C5-AM | | | 5.34% | | | | 12/15/2039 | | | | 197,472 | |
| | 350,000 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 367,657 | |
| | 1,575,000 | | | Series 2007-C2-AMFL | | | 0.44% | # | | | 01/15/2049 | | | | 1,523,044 | |
| | 300,000 | | | Series 2007-C4-A1AM | | | 6.15% | # | | | 09/15/2039 | | | | 318,758 | |
| | 1,750,000 | | | Series 2008-C1-AM | | | 6.27% | #^ | | | 02/15/2041 | | | | 1,898,657 | |
| | 10,092,000 | | | Series 2014-USA-X1 | | | 0.70% | #^ I/O | | | 09/15/2037 | | | | 464,402 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 16,955,084 | | | Series 2015-C1-XA | | | 1.12% | # I/O | | | 04/15/2050 | | | | 1,098,969 | |
| |
| | | | Grace Mortgage Trust, | |
| | 350,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 366,682 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 600,000 | | | Series 2006-GG7-AJ | | | 6.01% | # | | | 07/10/2038 | | | | 595,517 | |
| | 1,550,000 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 1,592,934 | |
| | 1,750,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 1,850,719 | |
| | 550,000 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 570,123 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 350,000 | | | Series 2006-GG6-AJ | | | 5.60% | # | | | 04/10/2038 | | | | 351,691 | |
| | 1,415,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 1,427,581 | |
| | 300,000 | | | Series 2013-KING-C | | | 3.55% | #^ | | | 12/10/2027 | | | | 308,322 | |
| | 38,000,000 | | | Series 2015-GC32-XA | | | 1.06% | # I/O | | | 07/10/2048 | | | | 2,321,211 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 1,500,000 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 1,538,992 | |
| | 900,000 | | | Series 2007-CB20-AM | | | 6.08% | # | | | 02/12/2051 | | | | 968,171 | |
| | 530,000 | | | Series 2007-CIBC19-AM | | | 5.88% | # | | | 02/12/2049 | | | | 558,300 | |
| | 1,600,000 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 1,637,282 | |
| | 1,500,000 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 1,599,875 | |
| | 350,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 364,360 | |
| | 500,000 | | | Series 2014-PHH-D | | | 2.60% | #^ | | | 08/15/2027 | | | | 503,062 | |
| | 1,550,000 | | | Series 2015-CSMO-C | | | 2.46% | #^ | | | 01/15/2032 | | | | 1,543,990 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 7,367,177 | | | Series 2014-C18-XA | | | 1.30% | # I/O | | | 02/15/2047 | | | | 444,156 | |
| | 500,000 | | | Series 2014-C23-C | | | 4.61% | # | | | 09/15/2047 | | | | 501,827 | |
| | 23,378,729 | | | Series 2014-C25-XA | | | 1.16% | # I/O | | | 11/15/2047 | | | | 1,500,552 | |
| | 1,303,000 | | | Series 2014-C26-C | | | 4.57% | # | | | 01/15/2048 | | | | 1,290,195 | |
| | 7,689,879 | | | Series 2014-C26-XA | | | 1.33% | # I/O | | | 01/15/2048 | | | | 525,050 | |
| | 1,000,000 | | | Series 2015-C27-D | | | 3.98% | #^ | | | 02/15/2048 | | | | 818,320 | |
| | 8,703,174 | | | Series 2015-C27-XA | | | 1.53% | # I/O | | | 02/15/2048 | | | | 726,793 | |
| | 29,939,034 | | | Series 2015-C29-XA | | | 1.10% | # I/O | | | 05/15/2048 | | | | 1,540,049 | |
| | 31,145,748 | | | Series 2015-C30-XA | | | 0.87% | # I/O | | | 07/15/2048 | | | | 1,420,464 | |
| | 13,240,096 | | | Series 2015-C31-XA | | | 1.20% | # I/O | | | 08/15/2048 | | | | 902,829 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2006-C7-AM | | | 5.38% | | | | 11/15/2038 | | | | 155,003 | |
| | 1,550,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 1,595,379 | |
| | 179,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 186,914 | |
| |
| | | | Madison Avenue Trust, | |
| | 300,000 | | | Series 2013-650M-D | | | 4.17% | #^ | | | 10/12/2032 | | | | 312,198 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 250,000 | | | Series 2006-C1-AJ | | | 5.87% | # | | | 05/12/2039 | | | | 251,413 | |
| | 150,000 | | | Series 2006-C2-AJ | | | 5.80% | # | | | 08/12/2043 | | | | 151,144 | |
| | 100,000 | | | Series 2006-C2-AM | | | 5.78% | # | | | 08/12/2043 | | | | 103,020 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 300,000 | | | Series 2006-1-AJ | | | 5.75% | # | | | 02/12/2039 | | | | 302,650 | |
| | 750,000 | | | Series 2006-4-AM | | | 5.20% | | | | 12/12/2049 | | | | 778,309 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 5,360,561 | | | Series 2013-C12-XA | | | 1.14% | # I/O | | | 10/15/2046 | | | | 240,175 | |
| | 21,397,589 | | | Series 2013-C7-XA | | | 1.81% | # I/O | | | 02/15/2046 | | | | 1,668,798 | |
| | 9,974,569 | | | Series 2014-C14-XA | | | 1.45% | # I/O | | | 02/15/2047 | | | | 625,555 | |
| | 500,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 513,541 | |
| | 620,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 606,390 | |
| | 120,000 | | | Series 2015-C20-C | | | 4.61% | # | | | 02/15/2048 | | | | 120,301 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 310,000 | | | Series 2005-HQ7-AJ | | | 5.40% | # | | | 11/14/2042 | | | | 309,772 | |
| | 50,908 | | | Series 2005-HQ7-AM | | | 5.40% | # | | | 11/14/2042 | | | | 50,888 | |
| | 500,000 | | | Series 2006-HQ8-AJ | | | 5.67% | # | | | 03/12/2044 | | | | 502,408 | |
| | 500,000 | | | Series 2007-1Q16-AMA | | | 6.27% | # | | | 12/12/2049 | | | | 534,151 | |
| | 500,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 510,117 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 73 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Morgan Stanley Capital, Inc., (Cont.) | |
| | 900,000 | | | Series 2007-IQ13-AJ | | | 5.44% | | | | 03/15/2044 | | | | 903,731 | |
| | 750,000 | | | Series 2007-IQ16-AM | | | 6.28% | # | | | 12/12/2049 | | | | 808,116 | |
| | 175,000 | | | Series 2014-CPT-E | | | 3.56% | #^ | | | 07/13/2029 | | | | 173,264 | |
| | 175,000 | | | Series 2014-CPT-F | | | 3.56% | #^ | | | 07/13/2029 | | | | 166,850 | |
| | 800,000 | | | Series 2014-CPT-G | | | 3.56% | #^ | | | 07/13/2029 | | | | 770,478 | |
| | 500,000 | | | Series 2014-MP-D | | | 3.82% | #^ | | | 08/11/2029 | | | | 509,801 | |
| | 625,000 | | | Series 2015-XLF1-D | | | 3.21% | #^ | | | 08/14/2031 | | | | 622,041 | |
| |
| | | | Velocity Commercial Capital Loan Trust 2015-1, | |
| | 3,766,142 | | | Series 2015-1-AFL | | | 2.62% | #^ | | | 06/25/2045 | | | | 3,783,300 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 110,000 | | | Series 2005-C22-AM | | | 5.52% | # | | | 12/15/2044 | | | | 110,030 | |
| | 1,500,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 1,523,636 | |
| | 110,000 | | | Series 2006-C28-AM | | | 5.60% | # | | | 10/15/2048 | | | | 114,120 | |
| | 1,800,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 1,872,574 | |
| | 500,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 525,997 | |
| | 500,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 527,432 | |
| | 1,045,000 | | | Series 2007-C33-AJ | | | 6.15% | # | | | 02/15/2051 | | | | 1,077,296 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 540,000 | | | Series 2014-LC18-B | | | 3.96% | | | | 12/15/2047 | | | | 539,772 | |
| | 13,954,176 | | | Series 2015-C27-XA | | | 1.15% | # I/O | | | 02/15/2048 | | | | 979,744 | |
| | 32,965,579 | | | Series 2015-NXS2-XA | | | 0.95% | # I/O | | | 07/15/2058 | | | | 1,735,868 | |
| | 1,340,000 | | | Series 2015-NXS3-C | | | 4.64% | # | | | 09/15/2057 | | | | 1,283,800 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 3,910,036 | | | Series 2014-C19-XA | | | 1.46% | # I/O | | | 03/15/2047 | | | | 280,054 | |
| | 9,891,648 | | | Series 2014-C21-XA | | | 1.34% | # I/O | | | 08/15/2047 | | | | 718,262 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $90,052,960) | | | | 88,705,195 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 11.4% |
|
| |
| | | | Ajax Mortgage Loan Trust, | |
| | 2,961,927 | | | Series 2015-B-A | | | 3.88% | #^ | | | 07/25/2060 | | | | 2,981,014 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 1,750,000 | | | Series 2005-B-3M1 | | | 0.67% | # | | | 04/20/2035 | | | | 1,418,886 | |
| |
| | | | BCAP LLC Trust, | |
| | 3,434,404 | | | Series 2012-RR1-3A4 | | | 6.16% | #^ | | | 10/26/2035 | | | | 3,052,907 | |
| |
| | | | CAM Mortgage LLC, | |
| | 2,511,425 | | | Series 2015-1-A | | | 3.38% | #^ | | | 07/15/2064 | | | | 2,517,116 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 40,000 | | | Series 2004-S3-2A4 | | | 5.50% | | | | 03/25/2034 | | | | 40,225 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 2,593,658 | | | Series 2007-1-A4 | | | 5.84% | # | | | 03/25/2037 | | | | 2,755,760 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 2,607,771 | | | Series 2007-A5-1A10 | | | 5.75% | | | | 05/25/2037 | | | | 2,247,129 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 215,355 | | | Series 2004-33-1A1 | | | 2.76% | # | | | 12/25/2034 | | | | 214,151 | |
| | 1,271,982 | | | Series 2005-23CB-A15 | | | 5.50% | | | | 07/25/2035 | | | | 1,247,049 | |
| | 4,111,139 | | | Series 2006-J6-A5 | | | 6.00% | | | | 09/25/2036 | | | | 3,759,086 | |
| | 851,563 | | | Series 2007-15CB-A7 | | | 6.00% | | | | 07/25/2037 | | | | 800,125 | |
| |
| | | | Countrywide Home Loans, | |
| | 3,182,605 | | | Series 2005-10-A2 | | | 5.50% | | | | 05/25/2035 | | | | 3,097,759 | |
| | 1,758,226 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 1,745,727 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 28,959 | | | Series 2004-8-6A1 | | | 4.50% | | | | 12/25/2019 | | | | 29,425 | |
| | 210,000 | | | Series 2005-11-8A5 | | | 6.00% | | | | 12/25/2035 | | | | 209,028 | |
| | 1,972,079 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 1,749,686 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,000,000 | | | Series 2011-12R-3A5 | | | 2.37% | #^ | | | 07/27/2036 | | | | 927,497 | |
| | 1,000,000 | | | Series 2011-5R-6A9 | | | 2.74% | #^ | | | 11/27/2037 | | | | 906,322 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 1,636,193 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 1,373,155 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 875,072 | | | Series 2014-RS1-1A2 | | | 8.46% | #^ | | | 07/27/2037 | | | | 643,178 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 199,969 | | | Series 2005-J1-A6 | | | 6.00% | | | | 12/25/2035 | | | | 197,260 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 49,263 | | | Series 2004-2F-14A1 | | | 5.50% | | | | 09/25/2019 | | | | 50,864 | |
| | 1,190,886 | | | Series 2006-2F-3A4 | | | 6.00% | | | | 02/25/2036 | | | | 974,073 | |
| |
| | | | Home Equity Mortgage Loan Asset-Backed Trust, | |
| | 114,284 | | | Series 2006-D-2A2 | | | 0.30% | # | | | 11/25/2036 | | | | 112,496 | |
| |
| | | | Home Equity Mortgage Trust, | |
| | 294,605 | | | Series 2003-6-M2 | | | 2.39% | # | | | 03/25/2034 | | | | 285,343 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 427,476 | | | Series 2006-2-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 310,700 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 1,137,463 | | | Series 2006-5-1A1C | | | 0.46% | # | | | 02/25/2037 | | | | 878,001 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 3,277,556 | | | Series 2006-AR5-2A1 | | | 4.19% | # | | | 05/25/2036 | | | | 2,830,035 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 564,351 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 458,242 | |
| |
| | | | Lehman XS Trust, | |
| | 49,072 | | | Series 2005-6-3A2B | | | 5.42% | # | | | 11/25/2035 | | | | 49,668 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 445,395 | | | Series 2006-2-2A1 | | | 2.63% | # | | | 04/25/2036 | | | | 416,570 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 740,250 | | | Series 2007-F1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 568,566 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 2,837,039 | | | Series 2006-AF1-AF2C | | | 6.25% | | | | 08/25/2036 | | | | 2,343,584 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 700,702 | | | Series 2006-2-7A1 | | | 5.54% | # | | | 02/25/2036 | | | | 656,032 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 1,966,458 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 1,651,630 | |
| | 2,559,112 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 2,255,237 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 645,091 | | | Series 2005-EFC7-AI3 | | | 0.44% | # | | | 12/25/2035 | | | | 607,341 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 1,226,878 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 999,777 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 1,250,000 | | | Series 2013-1A-B2 | | | 6.00% | #^ | | | 06/25/2058 | | | | 1,260,476 | |
| | 1,250,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 1,263,734 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 2,979,024 | | | Series 2005-16-1A2 | | | 5.50% | | | | 09/25/2035 | | | | 3,021,758 | |
| |
| | | | Towd Point Mortgage Trust, | |
| | 4,734,362 | | | Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 4,711,434 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 259,333 | | | Series 2006-5-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 225,089 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 3,496,523 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 3,401,743 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 14,298 | | | Series 2005-9-2A2 | | | 5.25% | | | | 10/25/2035 | | | | 14,376 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $61,554,445) | | | | 61,259,254 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 10.2% | |
| | 930,000 | | | AbbVie, Inc. | | | 1.80% | | | | 05/14/2018 | | | | 928,069 | |
| | 357,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 364,140 | |
| | 335,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 338,350 | |
| | 960,000 | | | American Express Credit Corporation | | | 1.80% | | | | 07/31/2018 | | | | 960,159 | |
| | 295,000 | | | Amgen, Inc. | | | 2.13% | | | | 05/15/2017 | | | | 298,869 | |
| | 926,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | | 1.38% | | | | 07/15/2017 | | | | 925,976 | |
| | 925,000 | | | AT&T, Inc. | | | 1.70% | | | | 06/01/2017 | | | | 928,371 | |
| | 912,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 915,933 | |
| | | | | | |
| 74 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 848,000 | | | BB&T Corporation | | | 2.15% | | | | 03/22/2017 | | | | 859,357 | |
| | 300,000 | | | Berkshire Hathaway Finance Corporation | | | 0.95% | | | | 08/15/2016 | | | | 300,985 | |
| | 680,000 | | | Berkshire Hathaway Finance Corporation | | | 1.60% | | | | 05/15/2017 | | | | 686,986 | |
| | 205,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 199,106 | |
| | 860,000 | | | Cardinal Health, Inc. | | | 1.95% | | | | 06/15/2018 | | | | 861,548 | |
| | 842,000 | | | Caterpillar Financial Services Corporation | | | 1.00% | | | | 03/03/2017 | | | | 841,991 | |
| | 215,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 202,100 | |
| | 75,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 78,469 | |
| | 415,000 | | | Celgene Corporation | | | 2.13% | | | | 08/15/2018 | | | | 418,607 | |
| | 860,000 | | | Chevron Corporation | | | 1.37% | | | | 03/02/2018 | | | | 860,990 | |
| | 930,000 | | | Cisco Systems, Inc. | | | 1.65% | | | | 06/15/2018 | | | | 937,210 | |
| | 920,000 | | | Citigroup, Inc. | | | 1.35% | | | | 03/10/2017 | | | | 918,626 | |
| | 860,000 | | | Comcast Corporation | | | 6.50% | | | | 01/15/2017 | | | | 918,950 | |
| | 620,000 | | | ConocoPhillips Company | | | 1.05% | | | | 12/15/2017 | | | | 615,238 | |
| | 745,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 814,000 | |
| | 800,000 | | | Daimler Finance North America LLC | | | 1.65% | ^ | | | 03/02/2018 | | | | 789,373 | |
| | 910,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 913,633 | |
| | 720,000 | | | eBay, Inc. | | | 1.35% | | | | 07/15/2017 | | | | 716,215 | |
| | 55,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 7,425 | |
| | 809,000 | | | ERP Operating LP | | | 5.75% | | | | 06/15/2017 | | | | 866,426 | |
| | 875,000 | | | Express Scripts Holding Company | | | 2.65% | | | | 02/15/2017 | | | | 889,703 | |
| | 460,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 372,600 | |
| | 900,000 | | | General Electric Capital Corporation | | | 2.90% | | | | 01/09/2017 | | | | 921,769 | |
| | 850,000 | | | General Mills, Inc. | | | 5.70% | | | | 02/15/2017 | | | | 901,557 | |
| | 315,000 | | | Goldman Sachs Group, Inc. | | | 5.75% | | | | 10/01/2016 | | | | 329,406 | |
| | 550,000 | | | Goldman Sachs Group, Inc. | | | 2.90% | | | | 07/19/2018 | | | | 564,242 | |
| | 335,000 | | | HCA, Inc. | | | 4.25% | | | | 10/15/2019 | | | | 338,769 | |
| | 400,000 | | | Hewlett-Packard Company | | | 3.30% | | | | 12/09/2016 | | | | 408,283 | |
| | 500,000 | | | Hewlett-Packard Company | | | 2.60% | | | | 09/15/2017 | | | | 507,658 | |
| | 1,120,000 | | | Hewlett-Packard Company | | | 2.85% | | | | 10/05/2018 | | | | 1,118,566 | |
| | 945,000 | | | HJ Heinz Company | | | 2.00% | ^ | | | 07/02/2018 | | | | 947,012 | |
| | 185,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 185,740 | |
| | 925,000 | | | John Deere Capital Corporation | | | 1.60% | | | | 07/13/2018 | | | | 928,051 | |
| | 315,000 | | | JP Morgan Chase & Company | | | 3.15% | | | | 07/05/2016 | | | | 320,369 | |
| | 575,000 | | | JP Morgan Chase & Company | | | 1.35% | | | | 02/15/2017 | | | | 575,864 | |
| | 695,000 | | | Kellogg Company | | | 1.75% | | | | 05/17/2017 | | | | 698,146 | |
| | 538,000 | | | Kinder Morgan Energy Partners LP | | | 6.00% | | | | 02/01/2017 | | | | 562,973 | |
| | 315,000 | | | Kindred Healthcare, Inc. | | | 8.00% | ^ | | | 01/15/2020 | | | | 334,687 | |
| | 600,000 | | | Kroger Company | | | 2.20% | | | | 01/15/2017 | | | | 607,593 | |
| | 901,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 911,747 | |
| | 255,000 | | | Levi Strauss & Company | | | 5.00% | | | | 05/01/2025 | | | | 251,175 | |
| | 205,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 207,306 | |
| | 560,000 | | | McGraw Hill Financial, Inc. | | | 2.50% | ^ | | | 08/15/2018 | | | | 564,672 | |
| | 875,000 | | | McKesson Corporation | | | 1.29% | | | | 03/10/2017 | | | | 873,650 | |
| | 563,000 | | | Memorial Productions Partners LP | | | 6.88% | | | | 08/01/2022 | | | | 346,245 | |
| | 925,000 | | | Metropolitan Life Global Funding | | | 1.50% | ^ | | | 01/10/2018 | | | | 923,876 | |
| | 910,000 | | | Morgan Stanley | | | 1.88% | | | | 01/05/2018 | | | | 912,387 | |
| | 885,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 883,301 | |
| | 850,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 1.10% | | | | 01/27/2017 | | | | 852,578 | |
| | 340,000 | | | NCL Corporation Ltd. | | | 5.25% | ^ | | | 11/15/2019 | | | | 348,289 | |
| | 175,000 | | | ONEOK Partners LP | | | 3.25% | | | | 02/01/2016 | | | | 175,791 | |
| | 615,000 | | | Oracle Corporation | | | 2.38% | | | | 01/15/2019 | | | | 627,207 | |
| | 300,000 | | | Oracle Corporation | | | 2.25% | | | | 10/08/2019 | | | | 303,857 | |
| | 850,000 | | | Phillips 66 | | | 2.95% | | | | 05/01/2017 | | | | 869,920 | |
| | 380,000 | | | Platform Specialty Products Corporation | | | 6.50% | ^ | | | 02/01/2022 | | | | 328,700 | |
| | 815,000 | | | PNC Funding Corporation | | | 2.70% | | | | 09/19/2016 | | | | 826,723 | |
| | 240,000 | | | Procter & Gamble Company | | | 0.75% | | | | 11/04/2016 | | | | 240,359 | |
| | 375,000 | | | Procter & Gamble Company | | | 1.60% | | | | 11/15/2018 | | | | 380,735 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 340,000 | | | Quintiles Transnational Corporation | | | 4.88% | ^ | | | 05/15/2023 | | | | 337,450 | |
| | 345,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 340,256 | |
| | 370,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 360,750 | |
| | 187,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 195,882 | |
| | 270,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 279,112 | |
| | 325,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 318,500 | |
| | 320,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 331,200 | |
| | 375,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 356,250 | |
| | 875,000 | | | Simon Property Group LP | | | 2.15% | | | | 09/15/2017 | | | | 887,694 | |
| | 910,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 920,795 | |
| | 285,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 297,825 | |
| | 315,000 | | | Steel Dynamics, Inc. | | | 5.13% | | | | 10/01/2021 | | | | 300,038 | |
| | 285,000 | | | Tesoro Logistics LP | | | 6.25% | ^ | | | 10/15/2022 | | | | 279,300 | |
| | 450,000 | | | Toyota Motor Credit Corporation | | | 1.45% | | | | 01/12/2018 | | | | 450,675 | |
| | 400,000 | | | Toyota Motor Credit Corporation | | | 1.55% | | | | 07/13/2018 | | | | 402,014 | |
| | 285,000 | | | TransDigm, Inc. | | | 6.00% | | | | 07/15/2022 | | | | 267,188 | |
| | 430,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 311,750 | |
| | 25,000 | | | Ultra Petroleum Corporation | | | 6.13% | ^ | | | 10/01/2024 | | | | 14,375 | |
| | 100,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 106,750 | |
| | 890,000 | | | United Technologies Corporation | | | 1.78% | # | | | 05/04/2018 | | | | 888,902 | |
| | 295,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 324,500 | |
| | 905,000 | | | Walgreens Boots Alliance, Inc. | | | 1.75% | | | | 11/17/2017 | | | | 908,824 | |
| | 925,000 | | | Wal-Mart Stores, Inc. | | | 1.13% | | | | 04/11/2018 | | | | 924,691 | |
| | 325,000 | | | Waste Management, Inc. | | | 2.60% | | | | 09/01/2016 | | | | 329,500 | |
| | 325,000 | | | Waste Management, Inc. | | | 6.10% | | | | 03/15/2018 | | | | 358,427 | |
| | 250,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 250,236 | |
| | 630,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 633,139 | |
| | 900,000 | | | Wells Fargo & Company | | | 2.10% | | | | 05/08/2017 | | | | 912,790 | |
| | 855,000 | | | Xerox Corporation | | | 2.95% | | | | 03/15/2017 | | | | 869,915 | |
| | 810,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 808,669 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $55,314,206) | | | | 54,776,005 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 5.9% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 2,910,244 | | | Pool G08626 | | | 3.00% | | | | 02/01/2045 | | | | 2,946,021 | |
| | 2,933,424 | | | Pool G08631 | | | 3.00% | | | | 03/01/2045 | | | | 2,969,486 | |
| | 1,152,413 | | | Series 3417-SM | | | 6.07% | # I/F I/O | | | 02/15/2038 | | | | 232,433 | |
| | 2,692,576 | | | Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 2,752,317 | |
| |
| | | | Federal National Mortgage Association, | |
| | 9,931,127 | | | Series 2015-59-A | | | 3.00% | | | | 06/25/2041 | | | | 10,217,505 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 3,902,505 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 3,962,257 | |
| | 891,609 | | | Pool MA1200 | | | 3.00% | | | | 10/01/2032 | | | | 926,037 | |
| | 7,563,061 | | | Pool MA2270 | | | 3.00% | | | | 05/01/2045 | | | | 7,616,757 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $31,493,094) | | | | 31,622,813 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 14.3% | |
| | 14,000,000 | | | United States Treasury Notes | | | 0.50% | | | | 07/31/2016 | | | | 14,021,602 | |
| | 14,000,000 | | | United States Treasury Notes | | | 0.50% | | | | 08/31/2016 | | | | 14,016,128 | |
| | 15,000,000 | | | United States Treasury Notes | | | 0.88% | | | | 09/15/2016 | | | | 15,071,190 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 75 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 6,000,000 | | | United States Treasury Notes | | | 1.00% | | | | 09/15/2017 | | | | 6,043,554 | |
| | 9,650,000 | | | United States Treasury Notes | | | 0.88% | | | | 01/15/2018 | | | | 9,676,701 | |
| | 10,600,000 | | | United States Treasury Notes | | | 0.75% | | | | 02/28/2018 | | | | 10,595,241 | |
| | 7,850,000 | | | United States Treasury Notes | | | 0.75% | | | | 04/15/2018 | | | | 7,839,418 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $77,166,298) | | | | 77,263,834 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 4.1% | |
| | 7,319,209 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | | | 7,319,209 | |
| | 7,319,208 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | | | 7,319,208 | |
| | 7,319,208 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | | | 7,319,208 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $21,957,625) | | | | 21,957,625 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 105.7%
(Cost $574,669,499) | | | | 568,761,088 | |
| | | | Liabilities in Excess of Other Assets (5.7)% | | | | (30,586,760 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | | | $ | 538,174,328 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Collateralized Loan Obligations | | | 20.5% | |
Foreign Corporate Bonds | | | 17.9% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 16.5% | |
US Government Bonds and Notes | | | 14.3% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 11.4% | |
US Corporate Bonds | | | 10.2% | |
US Government / Agency Mortgage Backed Obligations | | | 5.9% | |
Short Term Investments | | | 4.1% | |
Bank Loans | | | 3.0% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.3% | |
Asset Backed Obligations | | | 0.6% | |
Other Assets and Liabilities | | | (5.7)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 86.0% | |
Chile | | | 2.8% | |
Colombia | | | 2.8% | |
Mexico | | | 2.4% | |
Peru | | | 1.9% | |
Panama | | | 1.4% | |
Singapore | | | 1.3% | |
China | | | 1.1% | |
Canada | | | 1.0% | |
Israel | | | 0.7% | |
Brazil | | | 0.7% | |
Paraguay | | | 0.6% | |
Guatemala | | | 0.5% | |
Costa Rica | | | 0.5% | |
United Kingdom | | | 0.4% | |
Australia | | | 0.3% | |
Jamaica | | | 0.3% | |
Dominican Republic | | | 0.2% | |
Indonesia | | | 0.2% | |
India | | | 0.2% | |
Luxembourg | | | 0.2% | |
France | | | 0.1% | |
Qatar | | | 0.1% | |
Ireland | | | 0.0% | ~ |
Other Assets and Liabilities | | | (5.7)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 76 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
Collateralized Loan Obligations | | | 20.5% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 16.5% | |
US Government Bonds and Notes | | | 14.3% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 11.4% | |
Banking | | | 7.9% | |
US Government / Agency Mortgage Backed Obligations | | | 5.9% | |
Short Term Investments | | | 4.1% | |
Utilities | | | 2.2% | |
Oil & Gas | | | 2.1% | |
Transportation | | | 1.7% | |
Healthcare | | | 1.7% | |
Telecommunications | | | 1.4% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.3% | |
Finance | | | 1.2% | |
Media | | | 1.0% | |
Consumer Products | | | 0.9% | |
Technology | | | 0.9% | |
Building and Development | | | 0.8% | |
Business Equipment and Services | | | 0.7% | |
Retailers (other than Food/Drug) | | | 0.6% | |
Mining | | | 0.6% | |
Chemicals/Plastics | | | 0.6% | |
Asset Backed Obligations | | | 0.6% | |
Food Products | | | 0.6% | |
Industrial Equipment | | | 0.6% | |
Electronics/Electric | | | 0.5% | |
Food/Drug Retailers | | | 0.5% | |
Insurance | | | 0.5% | |
Automotive | | | 0.4% | |
Conglomerates | | | 0.4% | |
Pharmaceuticals | | | 0.4% | |
Beverage and Tobacco | | | 0.4% | |
Real Estate | | | 0.4% | |
Leisure | | | 0.4% | |
Construction | | | 0.3% | |
Financial Intermediaries | | | 0.3% | |
Hotels/Motels/Inns and Casinos | | | 0.2% | |
Energy | | | 0.2% | |
Aerospace & Defense | | | 0.2% | |
Environmental Control | | | 0.2% | |
Containers and Glass Products | | | 0.1% | |
Pulp & Paper | | | 0.1% | |
Cosmetics/Toiletries | | | 0.1% | |
Other Assets and Liabilities | | | (5.7)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At September 30, 2015, the value of these securities amounted to $172,032,402 or 32.0% of net assets. |
| # | Variable rate security. Rate disclosed as of September 30, 2015. |
| & | Unfunded or partially unfunded loan commitment |
| 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 September 30, 2015 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 77 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | | | |
| Total Return Swaps - Long | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
Shiller Barclays CAPE® US Sector ER USD Index« | | Barclays Capital, Inc. | | | 0.47% | | | | 28,300,000 | | | | 10/08/2015 | | | $ | (277,928 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 17,000,000 | | | | 10/29/2015 | | | | 216,498 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 11,000,000 | | | | 11/19/2015 | | | | (300,208 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 20,000,000 | | | | 12/17/2015 | | | | (999,028 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 65,000,000 | | | | 01/28/2016 | | | | (3,295,890 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 55,000,000 | | | | 02/25/2016 | | | | (2,915,392 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 57,000,000 | | | | 03/31/2016 | | | | (3,700,863 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 50,000,000 | | | | 04/28/2016 | | | | (3,267,134 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 30,000,000 | | | | 05/26/2016 | | | | (2,215,085 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 96,000,000 | | | | 06/30/2016 | | | | (7,677,920 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 20,000,000 | | | | 07/28/2016 | | | | (1,785,291 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 50,000,000 | | | | 08/25/2016 | | | | (3,962,967 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 70,000,000 | | | | 09/29/2016 | | | | (1,079,088 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (31,260,296 | ) |
| | | | | | | | | | | | | | | | | | |
| « | The 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. At September 30, 2015, the four sector constituents and their weightings were as follows: Consumer Staples 25.7%, Technology 25.2%, Industrial 25.0%, and Healthcare 24.1%. |
| ¤ | The 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. At September 30, 2015, the four sector constituents and their weightings were as follows: Consumer Staples 25.6%, Technology 25.3%, Industrial 24.9%, and Healthcare 24.2%. |
| | | | | | |
| 78 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 1.8% | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 1,000,000 | | | Series 2015-PM1-C | | | 5.01% | ^ | | | 12/15/2021 | | | | 1,001,900 | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| | 1,000,000 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 1,004,100 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 1,839,021 | | | Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 1,836,998 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $3,838,775) | | | | 3,842,998 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 20.0% | |
| |
| | | | Adams Mill Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 1.77% | #^ | | | 07/15/2026 | | | | 996,208 | |
| | 250,000 | | | Series 2014-1A-D1 | | | 3.79% | #^ | | | 07/15/2026 | | | | 234,881 | |
| | 250,000 | | | Series 2014-1A-E1 | | | 5.29% | #^ | | | 07/15/2026 | | | | 217,094 | |
| |
| | | | ALM Loan Funding, | |
| | 1,000,000 | | | Series 2012-7A-A1 | | | 1.71% | #^ | | | 10/19/2024 | | | | 998,835 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 250,000 | | | Series 2014-3A-A2A | | | 2.54% | #^ | | | 04/28/2026 | | | | 250,368 | |
| |
| | | | Apidos Ltd., | |
| | 1,000,000 | | | Series 2006-4A-C | | | 1.05% | #^ | | | 10/27/2018 | | | | 992,680 | |
| | 143,340 | | | Series 2006-QA-A | | | 0.54% | #^ | | | 01/20/2019 | | | | 143,450 | |
| | 500,000 | | | Series 2014-19A-D | | | 4.04% | #^ | | | 10/17/2026 | | | | 483,261 | |
| | 500,000 | | | Series 2015-21A-C | | | 3.83% | #^ | | | 07/18/2027 | | | | 472,402 | |
| | 250,000 | | | Series 2015-21A-D | | | 5.83% | #^ | | | 07/18/2027 | | | | 226,148 | |
| |
| | | | ARES Ltd., | |
| | 97,421 | | | Series 2007-12A-A | | | 0.96% | #^ | | | 11/25/2020 | | | | 96,003 | |
| | 1,000,000 | | | Series 2007-12A-C | | | 2.33% | #^ | | | 11/25/2020 | | | | 998,664 | |
| |
| | | | Avery Point Ltd., | |
| | 250,000 | | | Series 2013-2A-C | | | 3.04% | #^ | | | 07/17/2025 | | | | 240,685 | |
| | 500,000 | | | Series 2013-2A-D | | | 3.74% | #^ | | | 07/17/2025 | | | | 470,921 | |
| |
| | | | Babson Ltd., | |
| | 373,283 | | | Series 2007-1A-A1 | | | 0.51% | #^ | | | 01/18/2021 | | | | 367,505 | |
| | 500,000 | | | Series 2012-2A-CR | | | 3.92% | #^ | | | 05/15/2023 | | | | 491,293 | |
| | 500,000 | | | Series 2014-3A-D2 | | | 4.59% | #^ | | | 01/15/2026 | | | | 498,709 | |
| | 250,000 | | | Series 2014-3A-E2 | | | 6.79% | #^ | | | 01/15/2026 | | | | 240,409 | |
| | 1,000,000 | | | Series 2015-2A-D | | | 3.89% | #^ | | | 07/20/2027 | | | | 977,210 | |
| |
| | | | Betony Ltd., | |
| | 500,000 | | | Series 2015-1A-D | | | 3.89% | #^ | | | 04/15/2027 | | | | 473,321 | |
| |
| | | | BlueMountain Ltd., | |
| | 750,000 | | | Series 2015-2A-C | | | 2.98% | #^ | | | 07/19/2027 | | | | 728,642 | |
| | 500,000 | | | Series 2012-2A-C | | | 3.08% | #^ | | | 11/20/2024 | | | | 499,438 | |
| | 1,000,000 | | | Series 2015-2A-D | | | 3.83% | #^ | | | 07/18/2027 | | | | 944,543 | |
| | 500,000 | | | Series 2015-2A-E | | | 5.63% | #^ | | | 07/18/2027 | | | | 442,542 | |
| | 1,000,000 | | | Series 2015-3A-B | | | 3.43% | #^ | | | 10/20/2027 | | | | 998,630 | |
| | 500,000 | | | Series 2015-3A-C | | | 3.88% | #^ | | | 10/20/2027 | | | | 482,682 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 771,651 | | | Series 2007-10A-A2A | | | 0.50% | #^ | | | 04/19/2022 | | | | 759,034 | |
| |
| | | | Catamaran Ltd., | |
| | 250,000 | | | Series 2015-1A-C1 | | | 3.40% | #^ | | | 04/22/2027 | | | | 246,975 | |
| |
| | | | Cent Ltd., | |
| | 250,000 | | | Series 2005-10A-D | | | 2.09% | #^ | | | 12/15/2017 | | | | 247,447 | |
| | 645,000 | | | Series 2014-16AR-A1AR | | | 1.55% | #^ | | | 08/01/2024 | | | | 643,917 | |
| | 250,000 | | | Series 2014-22A-B | | | 3.51% | #^ | | | 11/07/2026 | | | | 250,304 | |
| | 500,000 | | | Series 2014-22A-C | | | 4.06% | #^ | | | 11/07/2026 | | | | 483,269 | |
| |
| | | | ColumbusNova Ltd., | |
| | 250,000 | | | Series 2006-1A-D | | | 1.84% | #^ | | | 07/18/2018 | | | | 248,151 | |
| |
| | | | Cornerstone Ltd., | |
| | 428,129 | | | Series 2007-1A-A1S | | | 0.51% | #^ | | | 07/15/2021 | | | | 424,284 | |
| |
| | | | Dryden Leveraged Loan, | |
| | 500,000 | | | Series 2006-11A-C1 | | | 1.89% | #^ | | | 04/12/2020 | | | | 485,010 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 500,000 | | | Series 2012-24RA-DR | | | 4.02% | #^ | | | 11/15/2023 | | | | 490,477 | |
| | 250,000 | | | Series 2012-25A-D | | | 4.29% | #^ | | | 01/15/2025 | | | | 247,631 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Eaton Vance Ltd., | |
| | 500,000 | | | Series 2006-8A-B | | | 0.97% | #^ | | | 08/15/2022 | | | | 476,077 | |
| |
| | | | Flatiron Ltd., | |
| | 500,000 | | | Series 2013-1A-B | | | 3.04% | #^ | | | 01/17/2026 | | | | 481,762 | |
| |
| | | | Galaxy Ltd., | |
| | 1,000,000 | | | Series 2014-18A-A | | | 1.76% | #^ | | | 10/15/2026 | | | | 996,035 | |
| | 250,000 | | | Series 2014-18A-D1 | | | 3.99% | #^ | | | 10/15/2026 | | | | 228,766 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 500,000 | | | Series 2012-6A-D | | | 4.49% | #^ | | | 04/17/2022 | | | | 500,231 | |
| | 1,000,000 | | | Series 2015-10A-D | | | 3.67% | #^ | | | 07/20/2027 | | | | 938,959 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 250,000 | | | Series 2013-2A-C | | | 3.00% | #^ | | | 08/01/2025 | | | | 236,362 | |
| | 250,000 | | | Series 2014-2A-C | | | 3.79% | #^ | | | 04/28/2025 | | | | 229,346 | |
| | 250,000 | | | Series 2014-2A-D | | | 5.29% | #^ | | | 04/28/2025 | | | | 204,225 | |
| |
| | | | ING Ltd., | |
| | 500,000 | | | Series 2013-1A-D | | | 5.29% | #^ | | | 04/15/2024 | | | | 451,339 | |
| |
| | | | LCM LP, | |
| | 500,000 | | | Series 10AR-BR | | | 2.19% | #^ | | | 04/15/2022 | | | | 500,618 | |
| | 500,000 | | | Series 12A-DR | | | 3.90% | #^ | | | 10/19/2022 | | | | 491,634 | |
| | 500,000 | | | Series 14A-D | | | 3.79% | #^ | | | 07/15/2025 | | | | 478,747 | |
| | 250,000 | | | Series 16A-D | | | 3.89% | #^ | | | 07/15/2026 | | | | 240,505 | |
| | 500,000 | | | Series 6A-C | | | 1.13% | #^ | | | 05/28/2019 | | | | 492,691 | |
| | 1,000,000 | | | Series 6A-D | | | 2.58% | #^ | | | 05/28/2019 | | | | 997,799 | |
| |
| | | | Limerock Ltd., | |
| | 250,000 | | | Series 2007-1A-B | | | 0.92% | #^ | | | 04/24/2023 | | | | 239,694 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 952,583 | | | Series 2007-4A-A2 | | | 0.55% | #^ | | | 03/22/2021 | | | | 933,184 | |
| | 1,000,000 | | | Series 2007-6A-C | | | 1.30% | #^ | | | 07/26/2021 | | | | 961,679 | |
| | 250,000 | | | Series 2014-13A-D | | | 3.64% | #^ | | | 01/19/2025 | | | | 238,365 | |
| | 250,000 | | | Series 2014-13X-E | | | 5.29% | # | | | 01/19/2025 | | | | 219,360 | |
| | 750,000 | | | Series 2014-14A-D | | | 3.89% | #^ | | | 07/20/2026 | | | | 724,619 | |
| | 500,000 | | | Series 2014-15A-C | | | 4.00% | #^ | | | 01/27/2026 | | | | 491,371 | |
| | 500,000 | | | Series 2015-16A-B | | | 3.30% | #^ | | | 04/20/2026 | | | | 496,093 | |
| | 500,000 | | | Series 2015-18A-D2 | | | 4.26% | #^ | | | 10/21/2026 | | | | 491,237 | |
| |
| | | | Magnetite Ltd., | |
| | 250,000 | | | Series 2014-9A-B | | | 3.30% | #^ | | | 07/25/2026 | | | | 247,682 | |
| |
| | | | Marea Ltd., | |
| | 750,000 | | | Series 2012-1A-DR | | | 4.04% | #^ | | | 10/15/2023 | | | | 742,290 | |
| |
| | | | Ocean Trails, | |
| | 250,000 | | | Series 2006-1A-A2 | | | 0.74% | #^ | | | 10/12/2020 | | | | 242,085 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 805,361 | | | Series 2006-10A-A1 | | | 0.53% | #^ | | | 10/18/2020 | | | | 801,748 | |
| | 500,000 | | | Series 2014-1A-C | | | 3.93% | #^ | | | 11/14/2026 | | | | 478,653 | |
| | 500,000 | | | Series 2014-1A-C2 | | | 3.80% | #^ | | | 11/22/2025 | | | | 496,392 | |
| | 250,000 | | | Series 2014-1A-D | | | 6.88% | #^ | | | 11/14/2026 | | | | 243,678 | |
| | 500,000 | | | Series 2014-1A-D2 | | | 4.88% | #^ | | | 11/22/2025 | | | | 496,236 | |
| |
| | | | OZLM Funding Ltd., | |
| | 500,000 | | | Series 2013-5A-A1 | | | 1.79% | #^ | | | 01/17/2026 | | | | 498,514 | |
| |
| | | | Pinnacle Park Ltd., | |
| | 250,000 | | | Series 2014-1A-C | | | 3.39% | #^ | | | 04/15/2026 | | | | 249,063 | |
| |
| | | | Race Point Ltd., | |
| | 250,000 | | | Series 2012-6RA-CR | | | 3.44% | #^ | | | 05/24/2023 | | | | 251,309 | |
| | 250,000 | | | Series 2012-6RA-DR | | | 4.44% | #^ | | | 05/24/2023 | | | | 247,447 | |
| |
| | | | Sierra Ltd., | |
| | 500,000 | | | Series 2006-2A-A3L | | | 1.02% | #^ | | | 01/22/2021 | | | | 492,213 | |
| |
| | | | Symphony Ltd., | |
| | 500,000 | | | Series 2013-11A-C | | | 3.44% | #^ | | | 01/17/2025 | | | | 495,947 | |
| | 500,000 | | | Series 2014-14A-D2 | | | 3.89% | #^ | | | 07/14/2026 | | | | 480,073 | |
| |
| | | | Thacher Park Ltd., | |
| | 500,000 | | | Series 2014-1A-D1 | | | 3.82% | #^ | | | 10/20/2026 | | | | 477,288 | |
| |
| | | | Venture Ltd., | |
| | 1,000,000 | | | Series 2006-1A-B | | | 0.94% | #^ | | | 08/03/2020 | | | | 938,397 | |
| | 500,000 | | | Series 2013-15A-C | | | 3.39% | #^ | | | 07/15/2025 | | | | 496,506 | |
| | 500,000 | | | Series 2014-17A-C | | | 3.14% | #^ | | | 07/15/2026 | | | | 489,607 | |
| |
| | | | Washington Mill Ltd., | |
| | 250,000 | | | Series 2014-1A-C | | | 3.29% | #^ | | | 04/20/2026 | | | | 246,310 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 79 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | WG Horizons, | |
| | 500,000 | | | Series 2006-1A-C | | | 2.03% | #^ | | | 05/24/2019 | | | | 486,897 | |
| |
| | | | Wind River Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A | | | 1.81% | #^ | | | 04/18/2026 | | | | 995,462 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $42,321,436) | | | | 41,827,518 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 16.9% | |
| | 200,000 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 210,000 | |
| | 500,000 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 520,858 | |
| | 200,000 | | | Aeropuertos Dominicanos | | | 9.75% | | | | 11/13/2019 | | | | 199,000 | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 206,000 | |
| | 200,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 206,000 | |
| | 200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 179,000 | |
| | 650,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 682,319 | |
| | 500,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 500,000 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 170,000 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 170,000 | |
| | 500,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 511,875 | |
| | 200,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 201,500 | |
| | 200,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 118,414 | |
| | 200,000 | | | Banco GNB Sudameris S.A. | | | 7.50% | | | | 07/30/2022 | | | | 201,200 | |
| | 400,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 398,000 | |
| | 700,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | ^ | | | 05/07/2020 | | | | 696,500 | |
| | 500,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 496,250 | |
| | 350,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 352,625 | |
| | 700,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 721,350 | |
| | 600,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 615,750 | |
| | 600,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 610,500 | |
| | 400,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 395,000 | |
| | 100,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 90,260 | |
| | 200,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 207,500 | |
| | 600,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 621,850 | |
| | 200,000 | | | Cencosud S.A. | | | 4.88% | | | | 01/20/2023 | | | | 192,801 | |
| | 200,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 210,300 | |
| | 400,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 272,400 | |
| | 600,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 592,039 | |
| | 400,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 441,340 | |
| | 200,000 | | | Comcel Trust | | | 6.88% | | | | 02/06/2024 | | | | 197,500 | |
| | 400,000 | | | Compania Minera Ares S.A.C. | | | 7.75% | | | | 01/23/2021 | | | | 384,400 | |
| | 350,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 354,186 | |
| | 500,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 477,500 | |
| | 100,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 83,000 | |
| | 200,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 200,650 | |
| | 500,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 501,625 | |
| | 500,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 392,500 | |
| | 600,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 606,750 | |
| | 100,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 100,375 | |
| | 200,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 186,000 | |
| | 400,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 347,000 | |
| | 100,000 | | | E.Cl S.A. | | | 5.63% | | | | 01/15/2021 | | | | 109,381 | |
| | 170,000 | | | Ecopetrol S.A. | | | 7.38% | | | | 09/18/2043 | | | | 155,975 | |
| | 200,000 | | | Ecopetrol S.A. | | | 5.88% | | | | 05/28/2045 | | | | 152,000 | |
| | 600,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 624,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 400,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | ^ | | | 04/30/2025 | | | | 379,788 | |
| | 400,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 457,000 | |
| | 748,431 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 770,884 | |
| | 195,841 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 186,049 | |
| | 500,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 497,500 | |
| | 100,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 4.00% | | | | 11/14/2021 | | | | 78,500 | |
| | 400,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 3.88% | | | | 03/15/2023 | | | | 299,500 | |
| | 200,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 5.45% | | | | 03/15/2043 | | | | 140,000 | |
| | 290,000 | | | Gibson Energy, Inc. | | | 6.75% | ^ | | | 07/15/2021 | | | | 280,212 | |
| | 400,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 405,400 | |
| | 200,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 202,500 | |
| | 200,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 202,500 | |
| | 400,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 400,000 | |
| | 200,000 | | | Gol LuxCo S.A. | | | 8.88% | ^ | | | 01/24/2022 | | | | 124,000 | |
| | 400,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 408,000 | |
| | 150,000 | | | Grupo Bimbo S.A.B. de C.V. | | | 4.50% | | | | 01/25/2022 | | | | 155,400 | |
| | 200,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 209,000 | |
| | 500,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 477,500 | |
| | 400,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 402,000 | |
| | 200,000 | | | Grupo Posadas S.A.B. de C.V. | | | 7.88% | ^ | | | 06/30/2022 | | | | 181,000 | |
| | 400,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 416,400 | |
| | 750,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 743,437 | |
| | 500,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 521,840 | |
| | 200,000 | | | Hutchison Whampoa International Ltd. | | | 3.25% | | | | 11/08/2022 | | | | 199,003 | |
| | 200,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 185,900 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 208,500 | |
| | 200,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 203,750 | |
| | 225,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 186,187 | |
| | 400,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 426,500 | |
| | 450,000 | | | JBS Investments GmbH | | | 7.25% | | | | 04/03/2024 | | | | 434,250 | |
| | 300,000 | | | Latam Airlines Group S.A. | | | 7.25% | ^ | | | 06/09/2020 | | | | 267,000 | |
| | 200,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 132,000 | |
| | 300,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 260,250 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 173,500 | |
| | 200,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 178,000 | |
| | 380,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 338,200 | |
| | 300,000 | | | Minsur S.A. | | | 6.25% | | | | 02/07/2024 | | | | 301,500 | |
| | 200,000 | | | OAS Financial Ltd. | | | 8.88% | #†W | | | 04/25/2018 | | | | 21,000 | |
| | 900,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 923,210 | |
| | 200,000 | | | Pacific Rubiales Energy Corporation | | | 5.13% | | | | 03/28/2023 | | | | 70,000 | |
| | 200,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | ^ | | | 01/19/2025 | | | | 71,250 | |
| | 100,000 | | | Pacific Rubiales Energy Corporation | | | 5.63% | | | | 01/19/2025 | | | | 35,625 | |
| | 800,000 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 06/02/2025 | | | | 615,920 | |
| | 400,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 420,600 | |
| | 215,000 | | | Seven Generations Energy Ltd. | | | 8.25% | ^ | | | 05/15/2020 | | | | 203,175 | |
| | 200,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | ^ | | | 04/28/2020 | | | | 197,396 | |
| | 200,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 188,750 | |
| | 300,000 | | | Southern Copper Corporation | | | 6.75% | | | | 04/16/2040 | | | | 267,858 | |
| | 300,000 | | | Southern Copper Corporation | | | 5.88% | | | | 04/23/2045 | | | | 243,942 | |
| | 500,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 499,459 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 194,000 | |
| | 200,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 195,397 | |
| | 200,000 | | | Tencent Holdings Ltd. | | | 3.80% | ^ | | | 02/11/2025 | | | | 193,172 | |
| | 900,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 909,000 | |
| | | | | | |
| 80 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 400,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 354,000 | |
| | 400,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 331,400 | |
| | 375,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 361,875 | |
| | 800,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 817,712 | |
| | 200,000 | | | Vedanta Resources PLC | | | 8.25% | | | | 06/07/2021 | | | | 148,000 | |
| | 200,000 | | | Vedanta Resources PLC | | | 7.13% | | | | 05/31/2023 | | | | 133,250 | |
| | 600,000 | | | Volcan Cia Minera S.A.A. | | | 5.38% | | | | 02/02/2022 | | | | 501,000 | |
| | 200,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 182,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $37,870,779) | | | | 35,375,414 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 2.5% |
|
| | 1,500,000 | | | Colombia Government International Bond | | | 4.38% | | | | 07/12/2021 | | | | 1,531,500 | |
| | 1,500,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 1,530,000 | |
| | 1,500,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 1,621,875 | |
| | 500,000 | | | Peruvian Government International Bond | | | 4.13% | | | | 08/25/2027 | | | | 495,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $5,258,053) | | | | 5,178,375 | |
| | | | | | | | | | | | | | | | |
| | NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 10.0% | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2006-6-AM | | | 5.39% | | | | 10/10/2045 | | | | 155,470 | |
| | 100,000 | | | Series 2007-1-AMFX | | | 5.48% | # | | | 01/15/2049 | | | | 103,745 | |
| | 100,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 105,872 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 100,000 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 101,002 | |
| | 250,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 253,154 | |
| |
| | | | BXHTL Mortgage Trust, | |
| | 550,000 | | | Series 2015-JWRZ-A | | | 1.44% | #^ | | | 05/15/2029 | | | | 547,664 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2006-CD2-AM | | | 5.53% | # | | | 01/15/2046 | | | | 100,716 | |
| | 100,000 | | | Series 2007-CD4-AMFX | | | 5.37% | # | | | 12/11/2049 | | | | 103,461 | |
| |
| | | | CGBAM Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2014-HD-D | | | 2.21% | #^ | | | 02/15/2031 | | | | 99,466 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 210,000 | | | Series 2007-C6-AMFX | | | 5.90% | #^ | | | 12/10/2049 | | | | 219,820 | |
| | 100,000 | | | Series 2014-GC21-D | | | 5.00% | #^ | | | 05/10/2047 | | | | 90,559 | |
| | 1,878,715 | | | Series 2014-GC25-XA | | | 1.25% | # I/O | | | 10/10/2047 | | | | 142,240 | |
| | 200,000 | | | Series 2015-GC27-D | | | 4.58% | #^ | | | 02/10/2048 | | | | 170,220 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 150,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 151,069 | |
| | 100,000 | | | Series 2007-C3-AM | | | 5.96% | # | | | 05/15/2046 | | | | 106,326 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 3,203,965 | | | Series 2013-CR10-XA | | | 1.15% | # I/O | | | 08/10/2046 | | | | 147,627 | |
| | 1,335,529 | | | Series 2014-CR17-XA | | | 1.36% | # I/O | | | 05/10/2047 | | | | 91,607 | |
| | 100,000 | | | Series 2014-CR19-C | | | 4.88% | # | | | 08/10/2047 | | | | 102,044 | |
| | 1,482,674 | | | Series 2014-CR19-XA | | | 1.46% | # I/O | | | 08/10/2047 | | | | 108,215 | |
| | 125,000 | | | Series 2014-CR20-C | | | 4.66% | # | | | 11/10/2047 | | | | 124,572 | |
| | 150,000 | | | Series 2014-KYO-E | | | 2.55% | #^ | | | 06/11/2027 | | | | 148,938 | |
| | 100,000 | | | Series 2014-KYO-F | | | 3.70% | #^ | | | 06/11/2027 | | | | 99,204 | |
| | 375,000 | | | Series 2015-CR22-D | | | 4.27% | #^ | | | 03/10/2048 | | | | 312,956 | |
| | 300,000 | | | Series 2015-CR23-D | | | 4.40% | # | | | 05/10/2048 | | | | 251,206 | |
| | 2,493,141 | | | Series 2015-DC1-XA | | | 1.33% | # I/O | | | 02/10/2048 | | | | 188,201 | |
| | 815,000 | | | Series 2015-LC21-C | | | 4.46% | # | | | 07/10/2048 | | | | 777,830 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 176,632 | | | Series 2007-MF1-A | | | 6.27% | #^ | | | 11/12/2043 | | | | 185,208 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 150,000 | | | Series 2006-C4-AM | | | 5.51% | | | | 09/15/2039 | | | | 154,699 | |
| | 100,000 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 105,045 | |
| | 375,000 | | | Series 2007-C4-A1AM | | | 6.15% | # | | | 09/15/2039 | | | | 398,447 | |
| | 2,018,458 | | | Series 2014-USA-X1 | | | 0.70% | #^ I/O | | | 09/15/2037 | | | | 92,883 | |
| | 475,000 | | | Series 2015-SAND-D | | | 3.06% | #^ | | | 08/15/2030 | | | | 477,819 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 2,742,734 | | | Series 2015-C1-XA | | | 1.12% | # I/O | | | 04/15/2050 | | | | 177,774 | |
| |
| | | | Grace Mortgage Trust, | |
| | 100,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 104,766 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 100,000 | | | Series 2006-GG7-AJ | | | 6.01% | # | | | 07/10/2038 | | | | 99,253 | |
| | 300,000 | | | Series 2007-GG11-AJ | | | 6.25% | # | | | 12/10/2049 | | | | 308,310 | |
| | 150,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 158,633 | |
| | 200,000 | | | Series 2007-GG9-AM | | | 5.48% | | | | 03/10/2039 | | | | 207,317 | |
| | 175,000 | | | Series 2007-GG9-AMFX | | | 5.48% | | | | 03/10/2039 | | | | 182,130 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 100,000 | | | Series 2006-GG6-AJ | | | 5.60% | # | | | 04/10/2038 | | | | 100,483 | |
| | 225,000 | | | Series 2006-GG8-AJ | | | 5.62% | | | | 11/10/2039 | | | | 227,000 | |
| | 3,237,488 | | | Series 2013-GC10-XA | | | 1.78% | # I/O | | | 02/10/2046 | | | | 286,880 | |
| | 4,182,746 | | | Series 2014-GC20-XA | | | 1.36% | # I/O | | | 04/12/2047 | | | | 289,542 | |
| | 9,270,656 | | | Series 2014-GC24-XA | | | 1.02% | # I/O | | | 09/12/2047 | | | | 508,996 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 150,000 | | | Series 2006-LDP8-AJ | | | 5.48% | # | | | 05/15/2045 | | | | 154,144 | |
| | 348,533 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 357,593 | |
| | 150,000 | | | Series 2007-CB20-AM | | | 6.08% | # | | | 02/12/2051 | | | | 161,362 | |
| | 150,000 | | | Series 2007-CIBC18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 156,965 | |
| | 385,000 | | | Series 2007-CIBC20 | | | 6.28% | # | | | 02/12/2051 | | | | 393,971 | |
| | 225,000 | | | Series 2007-LD12-AM | | | 6.21% | # | | | 02/15/2051 | | | | 239,981 | |
| | 100,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 104,103 | |
| | 150,000 | | | Series 2014-PHH-D | | | 2.60% | #^ | | | 08/15/2027 | | | | 150,919 | |
| | 550,000 | | | Series 2015-CSMO-C | | | 2.46% | #^ | | | 01/15/2032 | | | | 547,867 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 2,210,153 | | | Series 2014-C18-XA | | | 1.30% | # I/O | | | 02/15/2047 | | | | 133,247 | |
| | 1,239,109 | | | Series 2014-C21-XA | | | 1.27% | # I/O | | | 08/15/2047 | | | | 88,847 | |
| | 100,000 | | | Series 2014-C23-C | | | 4.61% | # | | | 09/15/2047 | | | | 100,365 | |
| | 150,000 | | | Series 2014-C25-C | | | 4.60% | # | | | 11/15/2047 | | | | 149,374 | |
| | 425,000 | | | Series 2014-C26-C | | | 4.57% | # | | | 01/15/2048 | | | | 420,823 | |
| | 6,985,775 | | | Series 2015-C29-XA | | | 1.10% | # I/O | | | 05/15/2048 | | | | 359,345 | |
| | 5,810,931 | | | Series 2015-C31-XA | | | 1.20% | # I/O | | | 08/15/2048 | | | | 396,242 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 845,000 | | | Series 2007-C1-AJ | | | 5.48% | | | | 02/15/2040 | | | | 869,739 | |
| | 100,000 | | | Series 2007-C1-AM | | | 5.46% | | | | 02/15/2040 | | | | 104,245 | |
| | 550,000 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 574,316 | |
| |
| | | | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2006-1-AJ | | | 5.75% | # | | | 02/12/2039 | | | | 100,883 | |
| | 300,000 | | | Series 2006-2-AJ | | | 6.07% | # | | | 06/12/2046 | | | | 306,369 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 100,000 | | | Series 2014-C18-C | | | 4.49% | | | | 10/15/2047 | | | | 102,708 | |
| | 500,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 489,025 | |
| | 500,000 | | | Series 2015-C20-C | | | 4.61% | # | | | 02/15/2048 | | | | 501,253 | |
| | 180,000 | | | Series 2015-C21-C | | | 4.30% | # | | | 03/15/2048 | | | | 175,610 | |
| | 360,000 | | | Series 2015-C23-C | | | 4.27% | # | | | 07/15/2050 | | | | 349,827 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 100,000 | | | Series 2005-HQ7-AJ | | | 5.40% | # | | | 11/14/2042 | | | | 99,926 | |
| | 101,439 | | | Series 2005-IQ10-AJ | | | 5.53% | # | | | 09/15/2042 | | | | 101,388 | |
| | 250,000 | | | Series 2006-HQ8-AJ | | | 5.67% | # | | | 03/12/2044 | | | | 251,204 | |
| | 200,000 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 204,047 | |
| | 150,000 | | | Series 2007-IQ16-AM | | | 6.28% | # | | | 12/12/2049 | | | | 161,623 | |
| | 150,000 | | | Series 2014-MP-D | | | 3.82% | #^ | | | 08/11/2029 | | | | 152,940 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 360,000 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 365,673 | |
| | 100,000 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 101,041 | |
| | 600,000 | | | Series 2007-C30-AM | | | 5.38% | | | | 12/15/2043 | | | | 624,191 | |
| | 150,000 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 157,799 | |
| | 485,000 | | | Series 2007-C33-AJ | | | 6.15% | # | | | 02/15/2051 | | | | 499,989 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 200,000 | | | Series 2015-C27-C | | | 3.89% | | | | 02/15/2048 | | | | 187,710 | |
| | 400,000 | | | Series 2015-C28-C | | | 4.28% | # | | | 05/15/2048 | | | | 381,545 | |
| | 2,741,472 | | | Series 2015-NXS1-XA | | | 1.35% | # I/O | | | 05/15/2048 | | | | 211,766 | |
| | 8,990,612 | | | Series 2015-NXS2-XA | | | 0.95% | # I/O | | | 07/15/2058 | | | | 473,419 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 4,203,950 | | | Series 2014-C21-XA | | | 1.34% | # I/O | | | 08/15/2047 | | | | 305,261 | |
| | 2,546,129 | | | Series 2014-C24-XA | | | 1.13% | # I/O | | | 11/15/2047 | | | | 164,376 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $21,133,680) | | | | 20,801,390 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 81 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 22.3% |
|
| |
| | | | Banc of America Funding Corporation, | |
| | 750,000 | | | Series 2005-B-3M1 | | | 0.67% | # | | | 04/20/2035 | | | | 608,094 | |
| |
| | | | Bear Stearns Alt-A Trust, | |
| | 2,285,032 | | | Series 2006-4-22A1 | | | 2.87% | # | | | 08/25/2036 | | | | 1,862,546 | |
| |
| | | | CAM Mortgage LLC, | |
| | 1,674,283 | | | Series 2015-1-A | | | 3.38% | #^ | | | 07/15/2064 | | | | 1,678,077 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 2,607,771 | | | Series 2007-A5-1A10 | | | 5.75% | | | | 05/25/2037 | | | | 2,247,129 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 1,053,960 | | | Series 2005-75CB-A3 | | | 5.50% | | | | 01/25/2036 | | | | 1,003,478 | |
| | 1,089,942 | | | Series 2006-23CB-2A2 | | | 6.50% | | | | 08/25/2036 | | | | 843,176 | |
| | 851,563 | | | Series 2007-15CB-A7 | | | 6.00% | | | | 07/25/2037 | | | | 800,125 | |
| | 1,090,560 | | | Series 2008-1R-2A3 | | | 6.00% | | | | 08/25/2037 | | | | 941,267 | |
| |
| | | | Countrywide Home Loans, | |
| | 1,189,676 | | | Series 2005-HYB9-3A2A | | | 2.59% | # | | | 02/20/2036 | | | | 1,108,439 | |
| | 803,761 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 798,047 | |
| | 1,932,775 | | | Series 2007-HY1-1A1 | | | 2.63% | # | | | 04/25/2037 | | | | 1,821,287 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 588,324 | | | Series 2006-2-A5A | | | 6.08% | # | | | 09/25/2036 | | | | 421,722 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 1,243,696 | | | Series 2005-10-6A9 | | | 5.50% | | | | 11/25/2035 | | | | 1,072,721 | |
| | 708,540 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 628,637 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,500,000 | | | Series 2011-12R-3A5 | | | 2.37% | #^ | | | 07/27/2036 | | | | 1,391,245 | |
| | 402,000 | | | Series 2011-5R-6A9 | | | 2.74% | #^ | | | 11/27/2037 | | | | 364,342 | |
| | 3,911,937 | | | Series 2015-RPL3-A1 | | | 3.75% | #^ | | | 12/25/2056 | | | | 3,929,979 | |
| |
| | | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, | |
| | 759,889 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 637,728 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 267,879 | | | Series 2014-RS1-1A2 | | | 8.46% | #^ | | | 07/27/2037 | | | | 196,891 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 1,137,463 | | | Series 2006-5-1A1C | | | 0.46% | # | | | 02/25/2037 | | | | 878,001 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 5,173,892 | | | Series 2006-AR19-2A1 | | | 2.84% | # | | | 08/25/2036 | | | | 4,256,250 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 1,136,739 | | | Series 2005-S3-1A2 | | | 5.75% | | | | 01/25/2036 | | | | 1,008,366 | |
| | 1,780,181 | | | Series 2007-A2-4A1M | | | 4.62% | # | | | 04/25/2037 | | | | 1,606,799 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 322,486 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 261,853 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 445,395 | | | Series 2006-2-2A1 | | | 2.63% | # | | | 04/25/2036 | | | | 416,570 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 577,240 | | | Series 2007-F1-2A7 | | | 6.00% | | | | 03/25/2037 | | | | 443,362 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 1,305,386 | | | Series 2006-AF1-AF2C | | | 6.25% | | | | 08/25/2036 | | | | 1,078,336 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 293,061 | | | Series 2005-7-4A1 | | | 5.50% | | | | 11/25/2035 | | | | 267,010 | |
| | 323,263 | | | Series 2006-2-2A4 | | | 5.75% | | | | 02/25/2036 | | | | 309,570 | |
| | 875,878 | | | Series 2006-2-7A1 | | | 5.54% | # | | | 02/25/2036 | | | | 820,041 | |
| | 875,065 | | | Series 2007-8XS-A1 | | | 5.75% | # | | | 04/25/2037 | | | | 663,980 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 498,280 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 424,907 | |
| | 1,055,173 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 886,241 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 613,439 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 499,888 | |
| |
| | | | RMAT LLC, | |
| | 1,461,477 | | | Series 2015-RPL1-A1 | | | 3.97% | #^ | | | 05/26/2020 | | | | 1,469,760 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 750,000 | | | Series 2013-1A-B2 | | | 6.00% | #^ | | | 06/25/2058 | | | | 756,286 | |
| | 750,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 758,240 | |
| |
| | | | Towd Point Mortgage Trust, | |
| | 3,787,490 | | | Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 3,769,147 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 1,589,343 | | | Series 2006-2-4CB | | | 6.00% | | | | 03/25/2036 | | | | 1,406,772 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 1,665,011 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 1,619,877 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 392,155 | | | Series 2007-2-1A15 | | | 5.75% | | | | 03/25/2037 | | | | 383,687 | |
| | 210,051 | | | Series 2007-3-1A4 | | | 6.00% | | | | 04/25/2037 | | | | 208,917 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $46,768,360) | | | | 46,548,790 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 8.6% | |
| | 160,000 | | | Activision Blizzard, Inc. | | | 5.63% | ^ | | | 09/15/2021 | | | | 168,800 | |
| | 270,000 | | | Air Medical Merger Sub Corporation | | | 6.38% | ^ | | | 05/15/2023 | | | | 247,050 | |
| | 405,000 | | | Alere, Inc. | | | 6.50% | | | | 06/15/2020 | | | | 413,100 | |
| | 50,000 | | | Alere, Inc. | | | 6.38% | ^ | | | 07/01/2023 | | | | 50,875 | |
| | 365,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 368,650 | |
| | 60,000 | | | Argos Merger Sub, Inc. | | | 7.13% | ^ | | | 03/15/2023 | | | | 60,825 | |
| | 85,000 | | | Asbury Automotive Group, Inc. | | | 6.00% | | | | 12/15/2024 | | | | 88,400 | |
| | 175,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 163,625 | |
| | 175,000 | | | Audatex North America, Inc. | | | 6.00% | ^ | | | 06/15/2021 | | | | 176,004 | |
| | 170,000 | | | Avis Budget Car Rental LLC | | | 5.50% | | | | 04/01/2023 | | | | 164,687 | |
| | 295,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 286,519 | |
| | 410,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 385,400 | |
| | 45,000 | | | CCO Holdings LLC | | | 5.13% | ^ | | | 05/01/2023 | | | | 41,540 | |
| | 197,000 | | | CDW LLC | | | 6.00% | | | | 08/15/2022 | | | | 206,111 | |
| | 245,000 | | | Cequel Communications LLC | | | 6.38% | ^ | | | 09/15/2020 | | | | 232,137 | |
| | 170,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 166,812 | |
| | 90,000 | | | Dana Holding Corporation | | | 5.50% | | | | 12/15/2024 | | | | 87,075 | |
| | 45,000 | | | Dollar Tree, Inc. | | | 5.75% | ^ | | | 03/01/2023 | | | | 46,912 | |
| | 40,000 | | | Energy Gulf Coast, Inc. | | | 9.25% | | | | 12/15/2017 | | | | 8,600 | |
| | 15,000 | | | Energy Gulf Coast, Inc. | | | 11.00% | ^ | | | 03/15/2020 | | | | 7,125 | |
| | 50,000 | | | Energy Gulf Coast, Inc. | | | 7.50% | | | | 12/15/2021 | | | | 6,750 | |
| | 85,000 | | | Energy Partners Ltd. | | | 8.25% | | | | 02/15/2018 | | | | 21,250 | |
| | 235,000 | | | Ensemble S Merger Sub, Inc. | | | 9.00% | ^ | | | 09/30/2023 | | | | 228,244 | |
| | 155,000 | | | EP Energy LLC | | | 9.38% | | | | 05/01/2020 | | | | 134,075 | |
| | 65,000 | | | Frontier Communications Corporation | | | 10.50% | ^ | | | 09/15/2022 | | | | 63,375 | |
| | 525,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 515,813 | |
| | 650,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 526,500 | |
| | 105,000 | | | Goodyear Tire & Rubber Company | | | 7.00% | | | | 05/15/2022 | | | | 111,956 | |
| | 390,000 | | | Gray Television, Inc. | | | 7.50% | | | | 10/01/2020 | | | | 401,213 | |
| | 180,000 | | | HCA, Inc. | | | 5.38% | | | | 02/01/2025 | | | | 179,100 | |
| | 165,000 | | | HD Supply, Inc. | | | 7.50% | | | | 07/15/2020 | | | | 172,425 | |
| | 190,000 | | | Hexion Finance Corporation | | | 6.63% | | | | 04/15/2020 | | | | 162,450 | |
| | 345,000 | | | Icahn Enterprises LP | | | 4.88% | | | | 03/15/2019 | | | | 346,380 | |
| | 425,000 | | | Infor, Inc. | | | 6.50% | ^ | | | 05/15/2022 | | | | 391,000 | |
| | 125,000 | | | JBS LLC | | | 5.75% | ^ | | | 06/15/2025 | | | | 115,000 | |
| | 170,000 | | | Kindred Healthcare, Inc. | | | 8.00% | ^ | | | 01/15/2020 | | | | 180,625 | |
| | 235,000 | | | Level 3 Communications, Inc. | | | 5.75% | | | | 12/01/2022 | | | | 231,181 | |
| | 235,000 | | | Levi Strauss & Company | | | 5.00% | | | | 05/01/2025 | | | | 231,475 | |
| | 340,000 | | | Lifepoint Hospitals, Inc. | | | 5.50% | | | | 12/01/2021 | | | | 343,825 | |
| | 440,000 | | | Memorial Productions Partners LP | | | 6.88% | | | | 08/01/2022 | | | | 270,600 | |
| | 110,000 | | | MGM Resorts International | | | 6.63% | | | | 12/15/2021 | | | | 113,300 | |
| | 275,000 | | | Milacron LLC | | | 7.75% | ^ | | | 02/15/2021 | | | | 281,875 | |
| | 55,000 | | | NCL Corporation Ltd. | | | 5.00% | | | | 02/15/2018 | | | | 55,963 | |
| | 515,000 | | | NCL Corporation Ltd. | | | 5.25% | ^ | | | 11/15/2019 | | | | 527,556 | |
| | | | | | |
| 82 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 145,000 | | | Pilgrim’s Pride Corporation | | | 5.75% | ^ | | | 03/15/2025 | | | | 142,825 | |
| | 460,000 | | | Plastipak Holdings, Inc. | | | 6.50% | ^ | | | 10/01/2021 | | | | 441,600 | |
| | 155,000 | | | Platform Specialty Products Corporation | | | 6.50% | ^ | | | 02/01/2022 | | | | 134,075 | |
| | 165,000 | | | Post Holdings, Inc. | | | 7.38% | | | | 02/15/2022 | | | | 168,506 | |
| | 265,000 | | | Quintiles Transnational Corporation | | | 4.88% | ^ | | | 05/15/2023 | | | | 263,013 | |
| | 205,000 | | | Regal Entertainment Group | | | 5.75% | | | | 03/15/2022 | | | | 202,181 | |
| | 479,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 467,025 | |
| | 440,000 | | | Reynolds Group Issuer LLC | | | 8.25% | | | | 02/15/2021 | | | | 441,100 | |
| | 105,000 | | | Rite Aid Corporation | | | 6.13% | ^ | | | 04/01/2023 | | | | 104,606 | |
| | 266,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 278,635 | |
| | 125,000 | | | Sanchez Energy Corporation | | | 6.13% | | | | 01/15/2023 | | | | 84,375 | |
| | 70,000 | | | Sandridge Energy, Inc. | | | 8.75% | ^ | | | 06/01/2020 | | | | 42,569 | |
| | 395,000 | | | SBA Communications Corporation | | | 5.63% | | | | 10/01/2019 | | | | 408,331 | |
| | 190,000 | | | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 188,575 | |
| | 410,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 401,800 | |
| | 370,000 | | | Service Corporation International | | | 5.38% | | | | 01/15/2022 | | | | 382,950 | |
| | 545,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 517,750 | |
| | 120,000 | | | Southern Star Central Corporation | | | 5.13% | ^ | | | 07/15/2022 | | | | 115,800 | |
| | 380,000 | | | Spectrum Brands, Inc. | | | 5.75% | ^ | | | 07/15/2025 | | | | 389,500 | |
| | 235,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 245,575 | |
| | 365,000 | | | Steel Dynamics, Inc. | | | 5.13% | | | | 10/01/2021 | | | | 347,663 | |
| | 175,000 | | | Tenet Healthcare Corporation | | | 6.75% | | | | 06/15/2023 | | | | 174,125 | |
| | 375,000 | | | Terex Corporation | | | 6.00% | | | | 05/15/2021 | | | | 364,688 | |
| | 480,000 | | | Tesoro Logistics LP | | | 6.25% | ^ | | | 10/15/2022 | | | | 470,400 | |
| | 470,000 | | | TransDigm, Inc. | | | 6.00% | | | | 07/15/2022 | | | | 440,625 | |
| | 250,000 | | | Triangle USA Petroleum Corporation | | | 6.75% | ^ | | | 07/15/2022 | | | | 106,250 | |
| | 240,000 | | | Tribune Media Company | | | 5.88% | ^ | | | 07/15/2022 | | | | 233,400 | |
| | 385,000 | | | Ultra Petroleum Corporation | | | 5.75% | ^ | | | 12/15/2018 | | | | 279,125 | |
| | 225,000 | | | United Rentals North America, Inc. | | | 7.63% | | | | 04/15/2022 | | | | 240,188 | |
| | 465,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 511,500 | |
| | 265,000 | | | WCI Communities, Inc. | | | 6.88% | | | | 08/15/2021 | | | | 276,263 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $18,850,931) | | | | | | | | | | | 17,847,196 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 2.5% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 6,981,811 | | | Series 3926-HS | | | 6.24% | # I/F I/O | | | 09/15/2041 | | | | 1,230,829 | |
| | 901,933 | | | Series 4390-NY | | | 3.00% | | | | 06/15/2040 | | | | 937,794 | |
| | 966,347 | | | Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 987,787 | |
| |
| | | | Federal National Mortgage Association, | |
| | 1,986,225 | | | Series 2015-59-A | | | 3.00% | | | | 06/25/2041 | | | | 2,043,501 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $5,262,000) | | | | 5,199,911 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 2.4% | |
| | 5,000,000 | | | United States Treasury Notes | | | 1.38% | | | | 09/30/2020 | | | | 4,999,870 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $5,002,539) | | | | 4,999,870 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ | |
| | AFFILIATED MUTUAL FUNDS 10.1% (a) | |
| | 2,116,323 | | | DoubleLine Floating Rate Fund | | | | | | 21,120,900 | |
| | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $21,440,387) | | | 21,120,900 | |
| | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 1.6% | |
| | 1,108,655 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | 1,108,655 | |
| | 1,108,656 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | 1,108,656 | |
| | 1,108,656 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | 1,108,656 | |
| | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $3,325,967) | | | 3,325,967 | |
| | | | | | | | | | | | | | |
| | | | Total Investments 98.7%
(Cost $211,072,907) | | | 206,068,329 | |
| | | | Other Assets in Excess of Liabilities 1.3% | | | 2,699,696 | |
| | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | $ | 208,768,025 | |
| | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 22.3% | |
Collateralized Loan Obligations | | | 20.0% | |
Foreign Corporate Bonds | | | 16.9% | |
Affiliated Mutual Funds | | | 10.1% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 10.0% | |
US Corporate Bonds | | | 8.6% | |
US Government / Agency Mortgage Backed Obligations | | | 2.5% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 2.5% | |
US Government Bonds and Notes | | | 2.4% | |
Asset Backed Obligations | | | 1.8% | |
Short Term Investments | | | 1.6% | |
Other Assets and Liabilities | | | 1.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 83 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 79.3% | |
Mexico | | | 3.0% | |
Colombia | | | 2.8% | |
Chile | | | 2.5% | |
Peru | | | 2.4% | |
Panama | | | 2.1% | |
Brazil | | | 1.5% | |
China | | | 0.9% | |
Singapore | | | 0.8% | |
Guatemala | | | 0.6% | |
Israel | | | 0.5% | |
Paraguay | | | 0.5% | |
Costa Rica | | | 0.4% | |
Dominican Republic | | | 0.3% | |
Jamaica | | | 0.3% | |
Indonesia | | | 0.2% | |
Canada | | | 0.2% | |
India | | | 0.2% | |
United Kingdom | | | 0.1% | |
El Salvador | | | 0.1% | |
Other Assets and Liabilities | | | 1.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 22.3% | |
Collateralized Loan Obligations | | | 20.0% | |
Affiliated Mutual Funds | | | 10.1% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 10.0% | |
Banking | | | 4.7% | |
US Government / Agency Mortgage Backed Obligations | | | 2.5% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 2.5% | |
US Government Bonds and Notes | | | 2.4% | |
Transportation | | | 2.2% | |
Utilities | | | 2.1% | |
Oil & Gas | | | 2.0% | |
Asset Backed Obligations | | | 1.8% | |
Short Term Investments | | | 1.6% | |
Media | | | 1.5% | |
Mining | | | 1.3% | |
Consumer Products | | | 1.3% | |
Healthcare | | | 1.1% | |
Telecommunications | | | 1.1% | |
Building and Development | | | 1.1% | |
Finance | | | 0.8% | |
Leisure | | | 0.6% | |
Retailers (other than Food/Drug) | | | 0.5% | |
Containers and Glass Products | | | 0.5% | |
Industrial Equipment | | | 0.5% | |
Electronics/Electric | | | 0.5% | |
Chemicals/Plastics | | | 0.5% | |
Food/Drug Retailers | | | 0.4% | |
Hotels/Motels/Inns and Casinos | | | 0.4% | |
Conglomerates | | | 0.4% | |
Energy | | | 0.3% | |
Technology | | | 0.3% | |
Automotive | | | 0.3% | |
Business Equipment and Services | | | 0.3% | |
Aerospace & Defense | | | 0.2% | |
Financial Intermediaries | | | 0.2% | |
Food Products | | | 0.2% | |
Construction | | | 0.1% | |
Beverage and Tobacco | | | 0.1% | |
Other Assets and Liabilities | | | 1.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At September 30, 2015, the value of these securities amounted to $76,582,492 or 36.7% of net assets. |
| ¥ | Illiquid security. At September 30, 2015, the value of these securities amount to $1,004,100 or 0.5% of net assets. |
| # | Variable rate security. Rate disclosed as of September 30, 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 |
| (a) | Institutional class shares held |
| ¨ | Seven-day yield as of September 30, 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 Flexible Income Fund’s investments in affiliated mutual funds for the period ended September 30, 2015 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2015 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
September 30,
2015 | | | Value at
September 30,
2015 | | | Dividend
Income Earned
in the Period
Ended September 30,
2015 | | | Net Realized
Gain (Loss)
in the Period
Ended September 30,
2015 | |
DoubleLine Floating Rate Fund | | $ | 8,175,333 | | | $ | 13,300,000 | | | $ | — | | | | 2,116,323 | | | $ | 21,120,900 | | | $ | 334,354 | | | $ | — | |
| | | | | | |
| 84 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 86.9% | |
| | |
| | BRAZIL 6.5% | |
| | 3,000,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/05/2015 | | | | 2,355,000 | |
| | 100,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | #^ | | | 05/11/2022 | | | | 100,000 | |
| | 3,700,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 3,700,000 | |
| | 200,000 | | | Marfrig Holdings B.V. | | | 8.38% | | | | 05/09/2018 | | | | 187,500 | |
| | 1,500,000 | | | Marfrig Holdings B.V. | | | 6.88% | ^ | | | 06/24/2019 | | | | 1,301,250 | |
| | 1,000,000 | | | Marfrig Holdings B.V. | | | 6.88% | | | | 06/24/2019 | | | | 867,500 | |
| | 600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 534,000 | |
| | 1,900,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 1,691,000 | |
| | 1,000,000 | | | OAS Investments GmbH | | | 8.25% | W | | | 10/19/2019 | | | | 98,000 | |
| | 200,000 | | | Raizen Energy Finance Ltd. | | | 7.00% | | | | 02/01/2017 | | | | 203,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,037,750 | |
| | | | | | | | | | | | | | | | |
| | CHILE 14.1% | |
| | 2,000,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 2,099,442 | |
| | 150,000 | | | Banco Santander | | | 1.19% | #^ | | | 04/11/2017 | | | | 147,820 | |
| | 3,850,000 | | | Banco Santander | | | 1.19% | # | | | 04/11/2017 | | | | 3,794,056 | |
| | 600,000 | | | Banco Santander | | | 2.21% | # | | | 06/07/2018 | | | | 606,000 | |
| | 2,000,000 | | | Cencosud S.A. | | | 5.50% | | | | 01/20/2021 | | | | 2,072,832 | |
| | 2,500,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 2,494,363 | |
| | 1,500,000 | | | Corporacion Nacional del Cobre de Chile | | | 3.75% | | | | 11/04/2020 | | | | 1,504,221 | |
| | 4,000,000 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 3,965,000 | |
| | 2,600,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 2,682,729 | |
| | 2,300,000 | | | Sociedad Quimica y Minera S.A. | | | 6.13% | | | | 04/15/2016 | | | | 2,345,115 | |
| | 1,900,000 | | | Tanner Servicios Financieros S.A. | | | 4.38% | | | | 03/13/2018 | | | | 1,897,942 | |
| | 300,000 | | | VTR Finance B.V. | | | 6.88% | | | | 01/15/2024 | | | | 273,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 23,882,520 | |
| | | | | | | | | | | | | | | | |
| | CHINA 3.2% | |
| | 400,000 | | | CNPC General Capital Ltd. | | | 1.21% | #^ | | | 05/14/2017 | | | | 398,375 | |
| | 3,600,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 3,757,244 | |
| | 1,200,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 04/10/2019 | | | | 1,218,114 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,373,733 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 8.7% | |
| | 1,200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 1,020,000 | |
| | 2,500,000 | | | Ecopetrol S.A. | | | 4.25% | | | | 09/18/2018 | | | | 2,531,250 | |
| | 1,500,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 1,560,000 | |
| | 1,500,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 1,713,750 | |
| | 2,500,000 | | | Grupo Aval Ltd. | | | 5.25% | | | | 02/01/2017 | | | | 2,550,000 | |
| | 700,000 | | | GrupoSura Finance S.A. | | | 5.70% | | | | 05/18/2021 | | | | 728,700 | |
| | 3,800,000 | | | Pacific Rubiales Energy Corporation | | | 5.38% | | | | 01/26/2019 | | | | 1,453,500 | |
| | 3,200,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 3,232,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,789,200 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 1.8% | |
| | 2,000,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 1,985,000 | |
| | 1,000,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 1,018,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,003,750 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 1.9% | |
| | 200,000 | | | Aeropuertos Dominicanos | | | 9.75% | # | | | 11/13/2019 | | | | 199,000 | |
| | 500,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | ^ | | | 11/12/2020 | | | | 515,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 2,500,000 | | | AES Andres Dominicana Ltd. | | | 9.50% | | | | 11/12/2020 | | | | 2,575,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,289,000 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 4.0% | |
| | 900,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 900,000 | |
| | 1,600,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 1,600,000 | |
| | 500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 508,750 | |
| | 1,250,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 1,296,875 | |
| | 2,350,000 | | | Central American Bottling Corporation | | | 6.75% | | | | 02/09/2022 | | | | 2,471,025 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,776,650 | |
| | | | | | | | | | | | | | | | |
| | INDIA 1.3% | |
| | 700,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 705,047 | |
| | 2,000,000 | | | Vedanta Resources PLC | | | 6.00% | | | | 01/31/2019 | | | | 1,459,674 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,164,721 | |
| | | | | | | | | | | | | | | | |
| | INDONESIA 2.1% | |
| | 4,000,000 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 2.38% | | | | 03/15/2018 | | | | 3,520,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,520,000 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 6.2% | |
| | 2,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 2,015,000 | |
| | 2,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 2,022,500 | |
| | 4,000,000 | | | Israel Electric Corporation Ltd. | | | 2.11% | # | | | 01/17/2018 | | | | 3,990,000 | |
| | 2,300,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 2,452,375 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,479,875 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 1.5% | |
| | 1,200,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 1,191,000 | |
| | 1,500,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 1,395,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,586,000 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 12.7% | |
| | 1,000,000 | | | Banco Mercantil del Norte | | | 6.86% | # | | | 10/13/2021 | | | | 1,042,500 | |
| | 2,927,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 3,016,273 | |
| | 3,900,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 3,968,250 | |
| | 500,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | ^ | | | 03/13/2019 | | | | 496,250 | |
| | 200,000 | | | Credito Real S.A.B. de C.V. | | | 7.50% | | | | 03/13/2019 | | | | 198,500 | |
| | 2,700,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 2,821,500 | |
| | 2,500,000 | | | Grupo Elektra S.A.B. de C.V. | | | 7.25% | | | | 08/06/2018 | | | | 2,387,500 | |
| | 1,500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 1,507,500 | |
| | 2,300,000 | | | Petroleos Mexicanos | | | 3.50% | | | | 07/18/2018 | | | | 2,331,050 | |
| | 2,000,000 | | | Petroleos Mexicanos | | | 5.50% | | | | 01/21/2021 | | | | 2,103,000 | |
| | 400,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 354,000 | |
| | 1,500,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 1,242,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,469,073 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 6.2% | |
| | 250,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 253,594 | |
| | 2,900,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | ^ | | | 05/07/2020 | | | | 2,885,500 | |
| | 4,274,864 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 4,403,110 | |
| | 1,500,000 | | | Global Bank Corporation | | | 4.75% | | | | 10/05/2017 | | | | 1,520,250 | |
| | 1,500,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 1,518,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,581,204 | |
| | | | | | | | | | | | | | | | |
| | PARAGUAY 1.7% | |
| | 500,000 | | | Banco Continental SAECA | | | 8.88% | | | | 10/15/2017 | | | | 511,875 | |
| | 1,080,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 1,088,100 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 85 |
| | |
| Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,000,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 970,000 | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 388,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,957,975 | |
| | | | | | | | | | | | | | | | |
| | PERU 8.9% | |
| | 1,000,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 997,500 | |
| | 1,000,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 1,011,250 | |
| | 600,000 | | | Camposol S.A. | | | 9.88% | | | | 02/02/2017 | | | | 541,560 | |
| | 200,000 | | | Corporacion Azucarera del Peru S.A. | | | 6.38% | | | | 08/02/2022 | | | | 166,000 | |
| | 600,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 601,950 | |
| | 1,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 1,003,250 | |
| | 2,000,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 1,990,000 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 208,500 | |
| | 740,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 771,450 | |
| | 1,288,738 | | | Interoceanica IV Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 1,211,413 | |
| | 194,000 | | | Maestro Peru S.A. | | | 6.75% | | | | 09/26/2019 | | | | 206,125 | |
| | 4,540,183 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 4,389,676 | |
| | 1,500,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | ^ | | | 10/30/2021 | | | | 1,447,500 | |
| | 500,000 | | | Union Andina de Cementos S.A.A. | | | 5.88% | | | | 10/30/2021 | | | | 482,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,028,674 | |
| | | | | | | | | | | | | | | | |
| | QATAR 0.8% | |
| | 1,329,553 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 1,427,273 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,427,273 | |
| | | | | | | | | | | | | | | | |
| | SINGAPORE 5.3% | |
| | 251,000 | | | DBS Bank Ltd. | | | 0.90% | # | | | 07/15/2021 | �� | | | 249,494 | |
| | 2,000,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 2,047,973 | |
| | 3,500,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 3,590,261 | |
| | 3,000,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 3,066,420 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,954,148 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $155,810,561) | | | | 147,321,546 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 8.6% |
|
| | |
| | COLOMBIA 4.1% | |
| | 6,700,000 | | | Colombia Government International Bond | | | 4.38% | | | | 07/12/2021 | | | | 6,840,700 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,840,700 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 1.2% | |
| | 2,050,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 2,091,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,091,000 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 3.3% | |
| | 5,200,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 5,622,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,622,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies (Cost $14,947,445) | | | | 14,554,200 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | VALUE $ | |
| | SHORT TERM INVESTMENTS 3.3% | |
| | 1,870,478 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | 1,870,478 | |
| | 1,870,477 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01% | ¨ | | | | | 1,870,477 | |
| | 1,870,477 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | 1,870,477 | |
| | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $5,611,432) | | | 5,611,432 | |
| | | | | | | | | | | | | | |
| | | | Total Investments 98.8%
(Cost $176,369,438) | | | 167,487,178 | |
| | | | Other Assets in Excess of Liabilities 1.2% | | | 1,990,697 | |
| | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | $ | 169,477,875 | |
| | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Foreign Corporate Bonds | | | 86.9% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 8.6% | |
Short Term Investments | | | 3.3% | |
Other Assets and Liabilities | | | 1.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
Chile | | | 14.1% | |
Mexico | | | 13.9% | |
Colombia | | | 12.8% | |
Panama | | | 9.5% | |
Peru | | | 8.9% | |
Brazil | | | 6.5% | |
Israel | | | 6.2% | |
Singapore | | | 5.3% | |
Guatemala | | | 4.0% | |
United States | | | 3.3% | |
China | | | 3.2% | |
Indonesia | | | 2.1% | |
Dominican Republic | | | 1.9% | |
Costa Rica | | | 1.8% | |
Paraguay | | | 1.7% | |
Jamaica | | | 1.5% | |
India | | | 1.3% | |
Qatar | | | 0.8% | |
Other Assets and Liabilities | | | 1.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 86 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
Banking | | | 25.0% | |
Oil & Gas | | | 11.1% | |
Transportation | | | 10.9% | |
Utilities | | | 10.0% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 8.6% | |
Mining | | | 3.8% | |
Building and Development | | | 3.6% | |
Finance | | | 3.5% | |
Short Term Investments | | | 3.3% | |
Media | | | 3.2% | |
Consumer Products | | | 3.1% | |
Telecommunications | | | 2.5% | |
Chemicals/Plastics | | | 2.3% | |
Conglomerates | | | 2.2% | |
Pulp & Paper | | | 1.6% | |
Retailers (other than Food/Drug) | | | 1.5% | |
Beverage and Tobacco | | | 1.4% | |
Food/Drug Retailers | | | 1.2% | |
Construction | | | 0.0% | ~ |
Other Assets and Liabilities | | | 1.2% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of September 30, 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 September 30, 2015, the value of these securities amounted to $17,082,395 or 10.1% of net assets. |
| W | Issuer is in default of interest payments |
| ¨ | Seven-day yield as of September 30, 2015 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 87 |
| | |
| Schedule of Investments DoubleLine Long Duration Total Return Bond Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 73.2% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 1,568,401 | | | Series 4057-ZB | | | 3.50% | | | | 06/15/2042 | | | | 1,635,213 | |
| | 1,568,401 | | | Series 4057-ZC | | | 3.50% | | | | 06/15/2042 | | | | 1,618,420 | |
| | 2,182,607 | | | Series 4182-ZD | | | 3.50% | | | | 03/15/2043 | | | | 2,192,102 | |
| | 1,075,096 | | | Series 4194-ZL | | | 3.00% | | | | 04/15/2043 | | | | 1,009,588 | |
| | 2,403,423 | | | Series 4204-QZ | | | 3.00% | | | | 05/15/2043 | | | | 2,256,495 | |
| | 1,627,448 | | | Series 4206-LZ | | | 3.50% | | | | 05/15/2043 | | | | 1,637,657 | |
| | 605,954 | | | Series 4210-Z | | | 3.00% | | | | 05/15/2043 | | | | 554,774 | |
| | 320,122 | | | Series 4226-GZ | | | 3.00% | | | | 07/15/2043 | | | | 293,888 | |
| | 2,308,132 | | | Series 4390-NZ | | | 3.00% | | | | 09/15/2044 | | | | 2,180,527 | |
| | 2,045,453 | | | Series 4417-PZ | | | 3.00% | | | | 12/15/2044 | | | | 1,894,903 | |
| | 2,730,383 | | | Series 4420-CZ | | | 3.00% | | | | 12/15/2044 | | | | 2,509,575 | |
| | 4,851,088 | | | Series 4427-XG | | | 3.00% | | | | 01/15/2045 | | | | 4,410,020 | |
| | 2,029,350 | | | Series 4440-ZD | | | 2.50% | | | | 02/15/2045 | | | | 1,730,250 | |
| | 1,061,513 | | | Series 4460-KB | | | 3.50% | | | | 03/15/2045 | | | | 1,034,406 | |
| | 2,025,125 | | | Series 4461-LZ | | | 3.00% | | | | 03/15/2045 | | | | 1,910,392 | |
| |
| | | | Federal National Mortgage Association, | |
| | 2,100,000 | | | Series 2012-128-UC | | | 2.50% | | | | 11/25/2042 | | | | 1,888,055 | |
| | 1,568,401 | | | Series 2012-68-ZA | | | 3.50% | | | | 07/25/2042 | | | | 1,612,828 | |
| | 2,234,057 | | | Series 2012-92-AZ | | | 3.50% | | | | 08/25/2042 | | | | 2,253,697 | |
| | 2,947,405 | | | Series 2013-127-MZ | | | 3.00% | | | | 12/25/2043 | | | | 2,721,095 | |
| | 497,024 | | | Series 2013-66-ZK | | | 3.00% | | | | 07/25/2043 | | | | 430,379 | |
| | 1,622,715 | | | Series 2013-74-ZH | | | 3.50% | | | | 07/25/2043 | | | | 1,650,785 | |
| | 1,199,978 | | | Series 2014-42-BZ | | | 3.00% | | | | 07/25/2044 | | | | 1,103,267 | |
| | 1,500,000 | | | Series 2014-67-HD | | | 3.00% | | | | 10/25/2044 | | | | 1,448,985 | |
| | 904,000 | | | Series 2014-68-TD | | | 3.00% | | | | 11/25/2044 | | | | 867,337 | |
| | 2,391,187 | | | Series 2014-80-DZ | | | 3.00% | | | | 12/25/2044 | | | | 2,178,078 | |
| | 1,108,524 | | | Series 2014-80-KL | | | 2.00% | | | | 05/25/2043 | | | | 832,902 | |
| | 3,037,696 | | | Series 2015-16-ZY | | | 2.50% | | | | 04/25/2045 | | | | 2,534,313 | |
| | 2,653,469 | | | Series 2015-52-GZ | | | 3.00% | | | | 07/25/2045 | | | | 2,404,589 | |
| |
| | | | Government National Mortgage Association, | |
| | 690,794 | | | Series 2013-180-LO | | | 0.00% | P/O | | | 11/16/2043 | | | | 556,731 | |
| | 3,218,174 | | | Series 2015-53-EZ | | | 2.00% | | | | 04/16/2045 | | | | 2,293,972 | |
| | 2,817,656 | | | Series 2015-79 | | | 2.50% | | | | 05/20/2045 | | | | 2,298,078 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $53,187,495) | | | | 53,943,301 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT BONDS AND NOTES 24.8% | |
| | 1,000,000 | | | United States Treasury Bonds | | | 5.25% | | | | 11/15/2028 | | | | 1,339,401 | |
| | 300,000 | | | United States Treasury Bonds | | | 4.25% | | | | 05/15/2039 | | | | 378,223 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 300,000 | | | United States Treasury Bonds | | | 3.38% | | | | 05/15/2044 | | | | 329,352 | |
| | 3,673,251 | | | United States Treasury Inflation Indexed Bonds | | | 0.38% | | | | 07/15/2025 | | | | 3,583,498 | |
| | 6,500,000 | | | United States Treasury Notes | | | 0.25% | | | | 12/15/2015 | | | | 6,502,795 | |
| | 5,800,000 | | | United States Treasury Notes | | | 1.88% | | | | 05/31/2022 | | | | 5,856,190 | |
| | 300,000 | | | United States Treasury Notes | | | 2.50% | | | | 05/15/2024 | | | | 312,562 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government Bonds and Notes
(Cost $18,207,387) | | | | 18,302,021 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 2.0% | |
| | 488,593 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01% | ¨ | | | | | | | 488,593 | |
| | 488,592 | | | Fidelity Institutional Money Market Government
Portfolio - Class I | | | 0.01% | ¨ | | | | | | | 488,592 | |
| | 488,592 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.04% | ¨ | | | | | | | 488,592 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $1,465,777) | | | | 1,465,777 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 100.0%
(Cost $72,860,659) | | | | 73,711,099 | |
| | | | Liabilities in Excess of Other Assets 0.0% | | | | (7,026 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 73,704,073 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
US Government / Agency Mortgage Backed Obligations | | | 73.2% | |
US Government Bonds and Notes | | | 24.8% | |
Short Term Investments | | | 2.0% | |
Other Assets and Liabilities | | | 0.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| P/O | Principal only security |
| ¨ | Seven-day yield as of September 30, 2015 |
| | | | | | |
| 88 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments (Consolidated) DoubleLine Strategic Commodity Fund | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ /
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | SHORT TERM INVESTMENTS 99.1% | |
| | 1,432,444 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.01 | %¨ | | | | | | | 1,432,444 | |
| | 1,432,444 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.01 | %¨ | | | | | | | 1,432,444 | |
| | 610,000 | | | United States Treasury Bills | | | 0.00 | % | | | 11/19/2015 | | | | 610,016 | |
| | 1,140,000 | | | United States Treasury Bills | | | 0.00 | % | | | 04/28/2016 | | | | 1,139,568 | |
| | 15,150,000 | | | United States Treasury Bills | | | 0.00 | % | | | 06/23/2016 | | | | 15,130,972 | |
| | 4,000,000 | | | United States Treasury Bills | | | 0.00 | % | | | 07/21/2016 | | | | 3,992,324 | |
| | 4,000,000 | | | United States Treasury Bills | | | 0.00 | % | | | 08/18/2016 | | | | 3,989,848 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $27,724,699) | | | | 27,727,616 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.1%
(Cost $27,724,699) | | | | 27,727,616 | |
| | | | Other Assets in Excess of Liabilities 0.9% | | | | 259,982 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 27,987,598 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Short Term Investments | | | 99.1% | |
Other Assets and Liabilities | | | 0.9% | |
| | | | |
| | | 100.0% | |
| | | | |
| ¨ | Seven-day yield as of September 30, 2015 |
| All or a portion of this security is owned by DoubleLine Strategic Commodity Ltd., which is a wholly-owned subsidiary of the DoubleLine Strategic Commodity Fund. |
| | | | | | | | | | | | | | | | | | |
| Excess Return Swaps - Long | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
Commodity Beta Basket Swap g | | Morgan Stanley | | | 0.28% | | | | 14,435,000 | | | | 10/01/2015 | | | $ | 175,427 | |
Long Commodity Basket Swap j | | Morgan Stanley | | | 0.22% | | | | 6,650,000 | | | | 10/01/2015 | | | | (21,351 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 154,076 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Excess Return Swaps - Short | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
Short Commodity Basket Swap y | | Morgan Stanley | | | 0.22% | | | | 6,650,000 | | | | 10/01/2015 | | | $ | 88,923 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 88,923 | |
| | | | | | | | | | | | | | | | | | |
| g | The Commodity Beta Basket Swap represents a swap on a basket of commodity indices designed to approximate the broad commodity market. At September 30, 2015, the constituents and their weightings were as follows: Copper 21.1%, Soybeans 21.0%, Nickel 10.0%, Brent Crude 9.9%, Crude Oil 9.9%, Unleaded Gasoline 5.9%, Gas Oil 5.4%, Live Cattle 5.1%, Cotton 4.5%, Sugar 4.0%, and Heating Oil 3.2%. |
| j | The Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2015, the constituents and their weightings were as follows: Copper 20.5%, Soybeans 20.4%, Cocoa 20.0%, Gold 19.7%, and Cotton 19.4%. |
| y | The Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2015, the constituents and their weightings were as follows: Kansas Wheat 21.3%, Crude Oil 20.0%, Heating Oil 19.8%, Brent Crude 19.6%, and Natural Gas 19.3%. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 89 |
| | |
| Statements of Assets and Liabilities | | (Unaudited) September 30, 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* | | $ | 44,799,369,441 | | | $ | 4,275,810,755 | | | $ | 888,822,340 | | | $ | 48,023,890 | | | $ | 2,584,696,643 | | | $ | 300,169,717 | |
Investments in Affiliated Securities, at Value* | | | — | | | | 72,530,201 | | | | — | | | | 36,607,604 | | | | 47,800,000 | | | | — | |
Short Term Investments* | | | 4,620,648,623 | | | | 238,903,477 | | | | 17,354,255 | | | | 44,565,185 | | | | 95,389,942 | | | | 33,089,687 | |
Receivable for Fund Shares Sold | | | 201,248,624 | | | | 18,121,800 | | | | 2,294,429 | | | | 514,207 | | | | 10,222,135 | | | | 2,062,989 | |
Interest and Dividends Receivable | | | 167,893,630 | | | | 29,905,528 | | | | 14,389,279 | | | | 487,096 | | | | 13,261,157 | | | | 1,360,758 | |
Receivable for Investments Sold | | | 4,547,585 | | | | 66,683,822 | | | | — | | | | — | | | | 21,059,847 | | | | 20,093,448 | |
Prepaid Expenses and Other Assets | | | 952,277 | | | | 136,601 | | | | 99,223 | | | | 26,001 | | | | 100,834 | | | | 21,590 | |
Cash | | | 166,667 | | | | — | | | | — | | | | 3,340,000 | | | | — | | | | — | |
Deposit at Broker for Futures | | | — | | | | — | | | | — | | | | 2,542,760 | | | | — | | | | — | |
Variation Margin Receivable | | | — | | | | — | | | | — | | | | 197,651 | | | | — | | | | — | |
Total Assets | | | 49,794,826,847 | | | | 4,702,092,184 | | | | 922,959,526 | | | | 136,304,394 | | | | 2,772,530,558 | | | | 356,798,189 | |
| | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 286,804,674 | | | | 116,939,270 | | | | 14,699,761 | | | | — | | | | 51,867,581 | | | | 28,788,299 | |
Payable for Fund Shares Redeemed | | | 79,299,682 | | | | 6,347,447 | | | | 2,320,798 | | | | 294,596 | | | | 2,833,526 | | | | 186,628 | |
Distribution Payable | | | 50,996,416 | | | | 3,772,514 | | | | 510,322 | | | | 676,913 | | | | 1,033,299 | | | | 584,318 | |
Investment Advisory Fees Payable | | | 15,962,606 | | | | 1,439,667 | | | | 561,395 | | | | 87,303 | | | | 741,744 | | | | 138,736 | |
Transfer Agent Expenses Payable | | | 3,173,856 | | | | 257,177 | | | | 49,000 | | | | 16,489 | | | | 162,216 | | | | 36,819 | |
Distribution Fees Payable | | | 2,267,460 | | | | 156,940 | | | | 41,474 | | | | 23,435 | | | | 305,702 | | | | 21,201 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 1,756,125 | | | | 183,228 | | | | 39,446 | | | | 19,505 | | | | 176,226 | | | | 44,890 | |
Accrued Expenses | | | 901,567 | | | | 159,226 | | | | 103,810 | | | | 75,889 | | | | 120,443 | | | | 69,943 | |
Registration Fees Payable | | | 460,106 | | | | 37,044 | | | | 8,422 | | | | 1,040 | | | | 30,091 | | | | 23,540 | |
Unrealized Depreciation on Swaps | | | — | | | | — | | | | — | | | | 2,232,005 | | | | — | | | | — | |
Unrealized Depreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | 191,572 | | | | — | | | | — | |
Total Liabilities | | | 441,622,492 | | | | 129,292,513 | | | | 18,334,428 | | | | 3,618,747 | | | | 57,270,828 | | | | 29,894,374 | |
Net Assets | | $ | 49,353,204,355 | | | $ | 4,572,799,671 | | | $ | 904,625,098 | | | $ | 132,685,647 | | | $ | 2,715,259,730 | | | $ | 326,903,815 | |
| | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 50,331,898,503 | | | $ | 4,639,479,655 | | | $ | 1,002,473,947 | | | $ | 143,089,101 | | | $ | 2,743,581,316 | | | $ | 331,278,644 | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | | (170,524,172 | ) | | | (5,517,040 | ) | | | 215,367 | | | | 496,767 | | | | (1,741,896 | ) | | | 45,791 | |
Accumulated Net Realized Gain (Loss) on Investments | | | (1,447,102,985 | ) | | | (34,475,538 | ) | | | (17,244,880 | ) | | | (3,134,425 | ) | | | (8,888,270 | ) | | | (1,364,750 | ) |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 638,294,478 | | | | (27,132,206 | ) | | | (80,819,336 | ) | | | (3,295,655 | ) | | | (15,491,420 | ) | | | (3,055,870 | ) |
Investments in Affiliated Securities | | | — | | | | 444,800 | | | | — | | | | (1,190,248 | ) | | | (2,200,000 | ) | | | — | |
Short Term Investments | | | 638,531 | | | | — | | | | — | | | | 89 | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | (191,572 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (856,405 | ) | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (2,232,005 | ) | | | — | | | | — | |
Net Assets | | $ | 49,353,204,355 | | | $ | 4,572,799,671 | | | $ | 904,625,098 | | | $ | 132,685,647 | | | $ | 2,715,259,730 | | | $ | 326,903,815 | |
| | | | | | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 44,161,074,963 | | | $ | 4,302,942,961 | | | $ | 969,641,676 | | | $ | 51,319,545 | | | $ | 2,600,188,063 | | | $ | 303,225,587 | |
Investments in Affiliated Securities | | | — | | | | 72,085,401 | | | | — | | | | 37,797,852 | | | | 50,000,000 | | | | — | |
Short Term Investments | | | 4,620,010,092 | | | | 238,903,477 | | | | 17,354,255 | | | | 44,565,096 | | | | 95,389,942 | | | | 33,089,687 | |
| | | | | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 39,525,437,808 | | | $ | 3,830,242,174 | | | $ | 687,302,010 | | | $ | 41,972,479 | | | $ | 1,553,849,419 | | | $ | 258,162,387 | |
Shares Outstanding | | | 3,611,909,552 | | | | 352,911,703 | | | | 70,884,297 | | | | 4,765,931 | | | | 154,543,399 | | | | 25,874,875 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.94 | | | $ | 10.85 | | | $ | 9.70 | | | $ | 8.81 | | | $ | 10.05 | | | $ | 9.98 | |
| | | | | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 9,827,766,547 | | | $ | 742,557,497 | | | $ | 217,323,088 | | | $ | — | | | $ | 1,161,410,311 | | | $ | 68,741,428 | |
Shares Outstanding | | | 898,439,364 | | | | 68,462,579 | | | | 22,411,806 | | | | — | | | | 115,589,529 | | | | 6,876,157 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.94 | | | $ | 10.85 | | | $ | 9.70 | | | $ | — | | | $ | 10.05 | | | $ | 10.00 | |
| | | | | | |
Class A (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | — | | | $ | — | | | $ | — | | | $ | 90,713,168 | | | $ | — | | | $ | — | |
Shares Outstanding | | | — | | | | — | | | | — | | | | 10,326,277 | | | | — | | | | — | |
Net Asset Value, Offering Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 9.15 | | | $ | — | | | $ | — | |
Net Asset Value, Redemption Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 8.78 | | | $ | — | | | $ | — | |
| | | | | | |
| 90 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible
Income Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | | | DoubleLine
Strategic
Commodity
Fund
(Consolidated) | |
| | | | | |
ASSETS | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | $ | 546,803,463 | | | $ | 181,621,462 | | | $ | 161,875,746 | | | $ | 72,245,322 | | | $ | — | |
Investments in Affiliated Securities, at Value* | | | — | | | | 21,120,900 | | | | — | | | | — | | | | — | |
Short Term Investments* | | | 21,957,625 | | | | 3,325,967 | | | | 5,611,432 | | | | 1,465,777 | | | | 27,727,616 | |
Receivable for Investments Sold | | | 7,835,393 | | | | 6,906,800 | | | | — | | | | 1,001,206 | | | | — | |
Interest and Dividends Receivable | | | 3,362,973 | | | | 1,573,995 | | | | 2,188,262 | | | | 218,928 | | | | 13 | |
Receivable for Fund Shares Sold | | | 1,951,674 | | | | 537,640 | | | | 307,458 | | | | 10,000 | | | | 3,042 | |
Prepaid Expenses and Other Assets | | | 60,617 | | | | 41,814 | | | | 26,371 | | | | 31,348 | | | | 10,626 | |
Unrealized Appreciation on Swaps | | | — | | | | — | | | | — | | | | — | | | | 242,999 | |
Due from Advisor | | | — | | | | — | | | | — | | | | — | | | | 31,404 | |
Total Assets | | | 581,971,745 | | | | 215,128,578 | | | | 170,009,269 | | | | 74,972,581 | | | | 28,015,700 | |
| | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | |
Unrealized Depreciation on Swaps | | | 31,260,296 | | | | — | | | | — | | | | — | | | | — | |
Payable for Investments Purchased | | | 10,926,405 | | | | 5,302,051 | | | | 185,876 | | | | 1,030,653 | | | | — | |
Payable for Fund Shares Redeemed | | | 563,863 | | | | 715,161 | | | | 85,295 | | | | 1,684 | | | | — | |
Payable for Swaps Sold | | | 419,125 | | | | — | | | | — | | | | — | | | | — | |
Distribution Payable | | | 214,204 | | | | 130,380 | | | | 169,810 | | | | 119,262 | | | | — | |
Investment Advisory Fees Payable | | | 200,070 | | | | 94,907 | | | | 31,943 | | | | 18,348 | | | | — | |
Transfer Agent Expenses Payable | | | 125,203 | | | | 43,186 | | | | 6,484 | | | | 20,130 | | | | 13,466 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 41,197 | | | | 29,610 | | | | 10,567 | | | | 12,101 | | | | 798 | |
Accrued Expenses | | | 22,161 | | | | 31,424 | | | | 19,727 | | | | 61,292 | | | | 13,289 | |
Distribution Fees Payable | | | 19,553 | | | | 11,871 | | | | 19,853 | | | | 3,776 | | | | 96 | |
Registration Fees Payable | | | 5,340 | | | | 1,963 | | | | 1,839 | | | | 1,262 | | | | 453 | |
Total Liabilities | | | 43,797,417 | | | | 6,360,553 | | | | 531,394 | | | | 1,268,508 | | | | 28,102 | |
Net Assets | | $ | 538,174,328 | | | $ | 208,768,025 | | | $ | 169,477,875 | | | $ | 73,704,073 | | | $ | 27,987,598 | |
| | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 569,119,321 | | | $ | 214,629,249 | | | $ | 178,406,915 | | | $ | 73,835,013 | | | $ | 28,064,234 | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | | (508,365 | ) | | | (313,072 | ) | | | (71,324 | ) | | | 10,807 | | | | (10,853 | ) |
Accumulated Net Realized Gain (Loss) on Investments | | | 6,732,079 | | | | (543,574 | ) | | | 24,544 | | | | (992,187 | ) | | | (311,699 | ) |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (5,908,411 | ) | | | (4,685,091 | ) | | | (8,882,260 | ) | | | 850,440 | | | | — | |
Investments in Affiliated Securities | | | — | | | | (319,487 | ) | | | — | | | | — | | | | — | |
Short Term Investments | | | — | | | | — | | | | — | | | | — | | | | 2,917 | |
Swaps | | | (31,260,296 | ) | | | — | | | | — | | | | — | | | | 242,999 | |
Net Assets | | $ | 538,174,328 | | | $ | 208,768,025 | | | $ | 169,477,875 | | | $ | 73,704,073 | | | $ | 27,987,598 | |
| | | | | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 552,711,874 | | | $ | 186,306,553 | | | $ | 170,758,006 | | | $ | 71,394,882 | | | $ | — | |
Investments in Affiliated Securities | | | — | | | | 21,440,387 | | | | — | | | | — | | | | — | |
Short Term Investments | | | 21,957,625 | | | | 3,325,967 | | | | 5,611,432 | | | | 1,465,777 | | | | 27,724,699 | |
| | | | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 437,253,953 | | | $ | 149,268,011 | | | $ | 66,049,965 | | | $ | 55,008,325 | | | $ | 27,814,861 | |
Shares Outstanding | | | 39,079,738 | | | | 15,259,944 | | | | 6,906,170 | | | | 5,452,327 | | | | 3,178,684 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 11.19 | | | $ | 9.78 | | | $ | 9.56 | | | $ | 10.09 | | | $ | 8.75 | |
| | | | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 100,920,375 | | | $ | 59,500,014 | | | $ | 103,427,910 | | | $ | 18,695,748 | | | $ | 172,737 | |
Shares Outstanding | | | 9,024,688 | | | | 6,084,073 | | | | 10,806,665 | | | | 1,854,387 | | | | 19,763 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 11.18 | | | $ | 9.78 | | | $ | 9.57 | | | $ | 10.08 | | | $ | 8.74 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 91 |
| | |
| Statements of Operations | | (Unaudited) For the Period Ended September 30, 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 | | $ | 908,380,073 | | | $ | 82,146,354 | | | $ | 25,391,794 | | | $ | 1,287,636 | | | $ | 32,969,624 | | | $ | 7,906,664 | |
Dividends from Unaffiliated Securities | | | — | | | | — | | | | — | | | | 746,688 | | | | — | | | | — | |
Dividends from Affiliated Securities | | | — | | | | 1,757,631 | | | | — | | | | 807,929 | | | | 861,071 | | | | — | |
Total Investment Income | | | 908,380,073 | | | | 83,903,985 | | | | 25,391,794 | | | | 2,842,253 | | | | 33,830,695 | | | | 7,906,664 | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 93,955,880 | | | | 8,724,997 | | | | 3,413,475 | | | | 716,288 | | | | 4,336,906 | | | | 872,306 | |
Distribution Fees - Class N | | | 11,930,804 | | | | 829,564 | | | | 316,654 | | | | — | | | | 1,449,421 | | | | 72,470 | |
Distribution Fees - Class A | | | — | | | | — | | | | — | | | | 111,714 | | | | — | | | | — | |
Transfer Agent Expenses | | | 9,954,878 | | | | 662,972 | | | | 338,440 | | | | 45,906 | | | | 466,329 | | | | 72,993 | |
Administration, Fund Accounting and Custodian Fees | | | 3,544,813 | | | | 424,970 | | | | 82,995 | | | | 29,368 | | | | 298,948 | | | | 72,682 | |
Registration Fees | | | 1,204,610 | | | | 99,540 | | | | 77,012 | | | | 34,447 | | | | 101,838 | | | | 25,346 | |
Shareholder Reporting Expenses | | | 740,102 | | | | 99,313 | | | | 35,191 | | | | 1,943 | | | | 32,420 | | | | 6,741 | |
Professional Fees | | | 408,532 | | | | 86,577 | | | | 63,945 | | | | 46,704 | | | | 52,040 | | | | 35,892 | |
Insurance Expenses | | | 367,507 | | | | 30,587 | | | | 7,975 | | | | 2,452 | | | | 24,615 | | | | 7,040 | |
Trustees’ Fees | | | 272,726 | | | | 24,515 | | | | 5,428 | | | | 742 | | | | 14,606 | | | | 1,961 | |
Miscellaneous Expenses | | | 167,513 | | | | 11,769 | | | | 1,643 | | | | 4,134 | | | | 9,297 | | | | 28,656 | |
Total Expenses | | | 122,547,365 | | | | 10,994,804 | | | | 4,342,758 | | | | 993,698 | | | | 6,786,420 | | | | 1,196,087 | |
Less: Investment Advisory Fees (Waived) | | | — | | | | (272,019 | ) | | | — | | | | (151,599 | ) | | | (124,032 | ) | | | — | |
Less: Fees (Waived)/Recouped | | | — | | | | 203,659 | | | | — | | | | (33,120 | ) | | | 228,850 | | | | — | |
Net Expenses | | | 122,547,365 | | | | 10,926,444 | | | | 4,342,758 | | | | 808,979 | | | | 6,891,238 | | | | 1,196,087 | |
| | | | | | |
Net Investment Income (Loss) | | | 785,832,708 | | | | 72,977,541 | | | | 21,049,036 | | | | 2,033,274 | | | | 26,939,457 | | | | 6,710,577 | |
| | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (2,481,385 | ) | | | (8,452,631 | ) | | | 3,409,847 | | | | 482,123 | | | | (718,196 | ) | | | (356,590 | ) |
Investments in Affiliated Securities | | | — | | | | 712,463 | | | | — | | | | (491,225 | ) | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | (822,300 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (2,348,169 | ) | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (340,932 | ) | | | — | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (239,464,615 | ) | | | (82,799,542 | ) | | | (57,610,437 | ) | | | (5,379,146 | ) | | | (16,833,763 | ) | | | (5,114,491 | ) |
Investments in Affiliated Securities | | | — | | | | (2,774,701 | ) | | | — | | | | (469,898 | ) | | | (1,350,000 | ) | | | — | |
Short Term Investments | | | 379,212 | | | | — | | | | — | | | | 101 | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | 54,650 | | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (994,079 | ) | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | (1,797,184 | ) | | | — | | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (241,566,788 | ) | | | (93,314,411 | ) | | | (54,200,590 | ) | | | (12,106,059 | ) | | | (18,901,959 | ) | | | (5,471,081 | ) |
| | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 544,265,920 | | | $ | (20,336,870 | ) | | $ | (33,151,554 | ) | | $ | (10,072,785 | ) | | $ | 8,037,498 | | | $ | 1,239,496 | |
| | | | | | |
| 92 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | (Unaudited) For the Period Ended September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | | | DoubleLine Flexible Income Fund | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | DoubleLine Long Duration Total Return
Bond Fund | | | DoubleLine
Strategic
Commodity
Fund
(Consolidated)1 | |
| | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 8,457,443 | | | $ | 3,349,843 | | | $ | 3,338,997 | | | $ | 1,338,319 | | | $ | 1,952 | |
Dividends from Affiliated Securities | | | — | | | | 334,354 | | | | — | | | | — | | | | — | |
Total Investment Income | | | 8,457,443 | | | | 3,684,197 | | | | 3,338,997 | | | | 1,338,319 | | | | 1,952 | |
Expenses: | | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 1,088,271 | | | | 496,374 | | | | 411,639 | | | | 179,397 | | | | 14,337 | |
Transfer Agent Expenses | | | 235,449 | | | | 85,536 | | | | 162,053 | | | | 40,770 | | | | 20,694 | |
Distribution Fees - Class N | | | 118,919 | | | | 54,170 | | | | 116,248 | | | | 22,474 | | | | 96 | |
Administration, Fund Accounting and Custodian Fees | | | 108,508 | | | | 58,109 | | | | 23,292 | | | | 10,332 | | | | 1,104 | |
Miscellaneous Expenses | | | 54,539 | | | | 2,826 | | | | 1,421 | | | | 3,828 | | | | 4,213 | |
Registration Fees | | | 51,899 | | | | 41,812 | | | | 41,966 | | | | 38,187 | | | | 16,705 | |
Professional Fees | | | 42,683 | | | | 32,198 | | | | 25,618 | | | | 26,875 | | | | 87,139 | |
Shareholder Reporting Expenses | | | 15,712 | | | | 5,427 | | | | 12,969 | | | | 5,601 | | | | 14,822 | |
Insurance Expenses | | | 3,049 | | | | 1,100 | | | | 1,776 | | | | 792 | | | | 88 | |
Trustees’ Fees | | | 2,207 | | | | 870 | | | | 1,069 | | | | 455 | | | | 140 | |
Total Expenses | | | 1,721,236 | | | | 778,422 | | | | 798,051 | | | | 328,711 | | | | 159,338 | |
Less: Investment Advisory Fees (Waived) | | | — | | | | (38,435 | ) | | | — | | | | — | | | | (2,174 | ) |
Less: Fees (Waived)/Recouped | | | (40,888 | ) | | | (67,752 | ) | | | (196,069 | ) | | | (73,018 | ) | | | (144,359 | ) |
Net Expenses | | | 1,680,348 | | | | 672,235 | | | | 601,982 | | | | 255,693 | | | | 12,805 | |
| | | | | |
Net Investment Income (Loss) | | | 6,777,095 | | | | 3,011,962 | | | | 2,737,015 | | | | 1,082,626 | | | | (10,853 | ) |
| | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (1,034,597 | ) | | | (280,110 | ) | | | 278,963 | | | | (1,058,501 | ) | | | 9,065 | |
Swaps | | | 2,131,765 | | | | — | | | | — | | | | — | | | | (320,764 | ) |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (6,189,413 | ) | | | (4,141,418 | ) | | | (5,584,818 | ) | | | (1,375,373 | ) | | | — | |
Investments in Affiliated Securities | | | — | | | | (354,433 | ) | | | — | | | | — | | | | — | |
Short Term Investments | | | — | | | | — | | | | — | | | | — | | | | 2,917 | |
Swaps | | | (41,894,589 | ) | | | — | | | | — | | | | — | | | | 242,999 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (46,986,834 | ) | | | (4,775,961 | ) | | | (5,305,855 | ) | | | (2,433,874 | ) | | | (65,783 | ) |
| | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (40,209,739 | ) | | $ | (1,763,999 | ) | | $ | (2,568,840 | ) | | $ | (1,351,248 | ) | | $ | (76,636 | ) |
| 1 | Commencement of operations on May 18, 2015. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 93 |
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Total Return Bond Fund | | | DoubleLine
Core Fixed Income Fund | |
| | | Period Ended
September 30, 2015
(Unaudited) | | | Year Ended
March 31, 2015 | | | Period Ended
September 30, 2015
(Unaudited) | | | Year Ended
March 31, 2015 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 785,832,708 | | | $ | 1,372,410,265 | | | $ | 72,977,541 | | | $ | 91,410,507 | |
Net Realized Gain (Loss) on Investments | | | (2,481,385 | ) | | | 3,427,405 | | | | (7,740,168 | ) | | | 16,905,648 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (239,085,403 | ) | | | 746,039,607 | | | | (85,574,243 | ) | | | 43,651,274 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 544,265,920 | | | | 2,121,877,277 | | | | (20,336,870 | ) | | | 151,967,429 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (780,023,101 | ) | | | (1,333,251,287 | ) | | | (67,552,715 | ) | | | (83,191,481 | ) |
Class N | | | (186,106,434 | ) | | | (325,614,446 | ) | | | (11,440,107 | ) | | | (16,874,140 | ) |
| | | | |
Total Distributions to Shareholders | | | (966,129,535 | ) | | | (1,658,865,733 | ) | | | (78,992,822 | ) | | | (100,065,621 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 3,571,986,363 | | | | 11,289,659,328 | | | | 507,859,133 | | | | 2,012,382,225 | |
Class N | | | 476,473,769 | | | | 2,271,852,073 | | | | 145,576,179 | | | | 218,937,983 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 4,048,460,132 | | | | 13,561,511,401 | | | | 653,435,312 | | | | 2,231,320,208 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 3,626,596,517 | | | $ | 14,024,522,945 | | | $ | 554,105,620 | | | $ | 2,283,222,016 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 45,726,607,838 | | | $ | 31,702,084,893 | | | $ | 4,018,694,051 | | | $ | 1,735,472,035 | |
End of Period | | $ | 49,353,204,355 | | | $ | 45,726,607,838 | | | $ | 4,572,799,671 | | | $ | 4,018,694,051 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (170,524,172 | ) | | $ | 9,772,655 | | | $ | (5,517,040 | ) | | $ | 498,241 | |
| | | | | | |
| 94 | | 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) | |
| | | Period Ended
September 30, 2015
(Unaudited) | | | Year Ended
March 31, 2015 | | | Period Ended
September 30, 2015
(Unaudited) | | | Year Ended
March 31, 2015 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 21,049,036 | | | $ | 33,859,605 | | | $ | 2,033,274 | | | $ | 3,753,049 | |
Net Realized Gain (Loss) on Investments | | | 3,409,847 | | | | 910,510 | | | | (3,520,503 | ) | | | 4,618,082 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (57,610,437 | ) | | | (20,412,635 | ) | | | (8,585,556 | ) | | | (547,185 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (33,151,554 | ) | | | 14,357,480 | | | | (10,072,785 | ) | | | 7,823,946 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (15,687,409 | ) | | | (24,679,407 | ) | | | (1,503,206 | ) | | | (1,984,995 | ) |
Class N | | | (5,421,360 | ) | | | (10,288,341 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | (2,984,292 | ) | | | (3,186,549 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (2,245,080 | ) |
Class A | | | — | | | | — | | | | — | | | | (3,948,695 | ) |
| | | | |
Total Distributions to Shareholders | | | (21,108,769 | ) | | | (34,967,748 | ) | | | (4,487,498 | ) | | | (11,365,319 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 189,237,889 | | | | 223,550,943 | | | | 3,908,088 | | | | (22,074,409 | ) |
Class N | | | (3,241,785 | ) | | | 54,182,018 | | | | — | | | | — | |
Class A | | | — | | | | — | | | | 16,234,482 | | | | (10,306,195 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 185,996,104 | | | | 277,732,961 | | | | 20,142,570 | | | | (32,380,604 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 131,735,781 | | | $ | 257,122,693 | | | $ | 5,582,287 | | | $ | (35,921,977 | ) |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 772,889,317 | | | $ | 515,766,624 | | | $ | 127,103,360 | | | $ | 163,025,337 | |
End of Period | | $ | 904,625,098 | | | $ | 772,889,317 | | | $ | 132,685,647 | | | $ | 127,103,360 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | 215,367 | | | $ | 275,100 | | | $ | 496,767 | | | $ | 2,950,991 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 95 |
| | |
| Statements of Changes in Net Assets (Cont.) | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Low Duration Bond Fund | | | DoubleLine
Floating Rate Fund | |
| | | Period Ended
September 30, 2015
(Unaudited) | | | Year Ended
March 31, 2015 | | | Period Ended
September 30, 2015
(Unaudited) | | | Year Ended
March 31, 2015 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 26,939,457 | | | $ | 43,773,895 | | | $ | 6,710,577 | | | $ | 11,989,619 | |
Net Realized Gain (Loss) on Investments | | | (718,196 | ) | | | (2,379,603 | ) | | | (356,590 | ) | | | (957,215 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (18,183,763 | ) | | | (7,261,258 | ) | | | (5,114,491 | ) | | | 874,963 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 8,037,498 | | | | 34,133,034 | | | | 1,239,496 | | | | 11,907,367 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (16,560,609 | ) | | | (23,936,627 | ) | | | (5,705,740 | ) | | | (10,079,356 | ) |
Class N | | | (12,812,240 | ) | | | (22,121,181 | ) | | | (1,110,612 | ) | | | (1,871,512 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (224,448 | ) |
Class N | | | — | | | | — | | | | — | | | | (41,580 | ) |
| | | | |
Total Distributions to Shareholders | | | (29,372,849 | ) | | | (46,057,808 | ) | | | (6,816,352 | ) | | | (12,216,896 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 399,239,546 | | | | 320,882,912 | | | | (47,703,724 | ) | | | 33,787,831 | |
Class N | | | 22,187,486 | | | | 92,351,618 | | | | 18,713,982 | | | | (53,064,447 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 421,427,032 | | | | 413,234,530 | | | | (28,989,742 | ) | | | (19,276,616 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 400,091,681 | | | $ | 401,309,756 | | | $ | (34,566,598 | ) | | $ | (19,586,145 | ) |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 2,315,168,049 | | | $ | 1,913,858,293 | | | $ | 361,470,413 | | | $ | 381,056,558 | |
End of Period | | $ | 2,715,259,730 | | | $ | 2,315,168,049 | | | $ | 326,903,815 | | | $ | 361,470,413 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (1,741,896 | ) | | $ | 691,496 | | | $ | 45,791 | | | $ | 151,566 | |
| | | | | | |
| 96 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Shiller Enhanced CAPE® | | | DoubleLine
Flexible Income Fund | |
| | | Period Ended
September 30, 2015
(Unaudited) | | | Year Ended
March 31, 2015 | | | Period Ended
September 30, 2015
(Unaudited) | | | Period Ended
March 31, 20151 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 6,777,095 | | | $ | 4,369,964 | | | $ | 3,011,962 | | | $ | 2,055,344 | |
Net Realized Gain (Loss) on Investments | | | 1,097,168 | | | | 6,152,439 | | | | (280,110 | ) | | | (23,570 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (48,084,002 | ) | | | 9,564,812 | | | | (4,495,851 | ) | | | (508,727 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (40,209,739 | ) | | | 20,087,215 | | | | (1,763,999 | ) | | | 1,523,047 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (6,003,817 | ) | | | (3,813,749 | ) | | | (2,474,524 | ) | | | (1,461,010 | ) |
Class N | | | (1,329,017 | ) | | | (1,031,003 | ) | | | (870,775 | ) | | | (813,963 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (32,317 | ) | | | — | | | | — | |
Class N | | | — | | | | (8,962 | ) | | | — | | | | — | |
| | | | |
Total Distributions to Shareholders | | | (7,332,834 | ) | | | (4,886,031 | ) | | | (3,345,299 | ) | | | (2,274,973 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 174,796,587 | | | | 259,720,132 | | | | 95,515,897 | | | | 57,939,114 | |
Class N | | | 30,506,528 | | | | 64,717,418 | | | | 33,433,748 | | | | 27,740,490 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 205,303,115 | | | | 324,437,550 | | | | 128,949,645 | | | | 85,679,604 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 157,760,542 | | | $ | 339,638,734 | | | $ | 123,840,347 | | | $ | 84,927,678 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 380,413,786 | | | $ | 40,775,052 | | | $ | 84,927,678 | | | $ | — | |
End of Period | | $ | 538,174,328 | | | $ | 380,413,786 | | | $ | 208,768,025 | | | $ | 84,927,678 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (508,365 | ) | | $ | 47,374 | | | $ | (313,072 | ) | | $ | 20,265 | |
| 1 | Commencement of operations on April 7, 2014. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 97 |
| | |
| Statements of Changes in Net Assets (Cont.) | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Low Duration Emerging Markets
Fixed Income Fund | | | DoubleLine
Long Duration Total Return
Bond Fund | |
| | | Period Ended
September 30, 2015
(Unaudited) | | | Period Ended
March 31, 20151 | | | Period Ended
September 30, 2015
(Unaudited) | | | Period Ended
March 31, 20152 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 2,737,015 | | | $ | 3,532,181 | | | $ | 1,082,626 | | | $ | 578,097 | |
Net Realized Gain (Loss) on Investments | | | 278,963 | | | | (183,082 | ) | | | (1,058,501 | ) | | | 66,314 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (5,584,818 | ) | | | (3,297,442 | ) | | | (1,375,373 | ) | | | 2,225,813 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (2,568,840 | ) | | | 51,657 | | | | (1,351,248 | ) | | | 2,870,224 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (1,272,636 | ) | | | (2,105,211 | ) | | | (832,960 | ) | | | (445,918 | ) |
Class N | | | (1,543,132 | ) | | | (1,382,171 | ) | | | (255,703 | ) | | | (115,335 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (50,222 | ) | | | — | | | | — | |
Class N | | | — | | | | (63,660 | ) | | | — | | | | — | |
| | | | |
Total Distributions to Shareholders | | | (2,815,768 | ) | | | (3,601,264 | ) | | | (1,088,663 | ) | | | (561,253 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 3,261,866 | | | | 66,054,608 | | | | 578,104 | | | | 53,980,829 | |
Class N | | | 27,290,294 | | | | 81,805,322 | | | | (246,588 | ) | | | 19,522,668 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 30,552,160 | | | | 147,859,930 | | | | 331,516 | | | | 73,503,497 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 25,167,552 | | | $ | 144,310,323 | | | $ | (2,108,395 | ) | | $ | 75,812,468 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 144,310,323 | | | $ | — | | | $ | 75,812,468 | | | $ | — | |
End of Period | | $ | 169,477,875 | | | $ | 144,310,323 | | | $ | 73,704,073 | | | $ | 75,812,468 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (71,324 | ) | | $ | 7,429 | | | $ | 10,807 | | | $ | 16,844 | |
| 1 | Commencement of operations on April 7, 2014. |
| 2 | Commencement of operations on December 15, 2014. |
| | | | | | |
| 98 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| | | DoubleLine
Strategic Commodity Fund
(Consolidated) | |
| | | Period Ended
September 30, 20151
(Unaudited) | |
| |
OPERATIONS | | | | |
Net Investment Income (Loss) | | $ | (10,853 | ) |
Net Realized Gain (Loss) on Investments | | | (311,699 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 245,916 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (76,636 | ) |
| |
NET SHARE TRANSACTIONS | | | | |
Class I | | | 27,878,653 | |
Class N | | | 185,581 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 28,064,234 | |
| |
Total Increase (Decrease) in Net Assets | | $ | 27,987,598 | |
| |
NET ASSETS | | | | |
Beginning of Period | | $ | — | |
End of Period | | $ | 27,987,598 | |
| |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (10,853 | ) |
| 1 | Commencement of operations on May 18, 2015. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 99 |
| | |
| Financial Highlights | | September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Total Return Bond Fund | |
| | | Period Ended September 30,
2015 (Unaudited) | | | 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 | | | Period Ended September 30,
2015 (Unaudited) | | | 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 I | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 11.04 | | | $ | 10.90 | | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.96 | | | $ | 10.00 | | | $ | 11.04 | | | $ | 10.89 | | | $ | 11.33 | | | $ | 11.16 | | | $ | 10.96 | | | $ | 10.00 | |
| | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.19 | | | | 0.41 | | | | 0.42 | | | | 0.46 | | | | 0.77 | | | | 1.02 | | | | 0.17 | | | | 0.40 | | | | 0.39 | | | | 0.44 | | | | 0.73 | | | | 0.99 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.06 | ) | | | 0.22 | | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | | | | (0.06 | ) | | | 0.22 | | | | (0.30 | ) | | | 0.34 | | | | 0.31 | | | | 0.87 | |
Total from Investment Operations | | | 0.13 | | | | 0.63 | | | | 0.12 | | | | 0.80 | | | | 1.08 | | | | 1.89 | | | | 0.11 | | | | 0.62 | | | | 0.09 | | | | 0.78 | | | | 1.04 | | | | 1.86 | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.23 | ) | | | (0.49 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.21 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Total Distributions | | | (0.23 | ) | | | (0.49 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.87 | ) | | | (0.93 | ) | | | (0.21 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.84 | ) | | | (0.90 | ) |
Net Asset Value,
End of Period | | $ | 10.94 | | | $ | 11.04 | | | $ | 10.90 | | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.96 | | | $ | 10.94 | | | $ | 11.04 | | | $ | 10.89 | | | $ | 11.33 | | | $ | 11.16 | | | $ | 10.96 | |
Total Return | | | 1.17% | 2 | | | 5.93% | | | | 1.13% | | | | 7.37% | | | | 10.18% | | | | 19.28% | 2 | | | 1.04% | 2 | | | 5.76% | | | | 0.88% | | | | 7.11% | | | | 9.83% | | | | 19.04% | 2 |
| | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 39,525,438 | | | $ | 36,286,609 | | | $ | 24,631,306 | | | $ | 30,398,069 | | | $ | 16,226,569 | | | $ | 4,330,408 | | | $ | 9,827,767 | | | $ | 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% | 3 | | | 0.47% | | | | 0.47% | | | | 0.48% | | | | 0.50% | | | | 0.53% | 3 | | | 0.72% | 3 | | | 0.72% | | | | 0.72% | | | | 0.73% | | | | 0.75% | | | | 0.78% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.47% | 3 | | | 0.47% | | | | 0.48% | | | | 0.48% | | | | 0.49% | | | | 0.49% | 3 | | | 0.72% | 3 | | | 0.72% | | | | 0.73% | | | | 0.73% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment
Income (Loss) | | | 3.40% | 3 | | | 3.74% | | | | 3.78% | | | | 4.02% | | | | 6.86% | | | | 9.42% | 3 | | | 3.15% | 3 | | | 3.50% | | | | 3.25% | | | | 3.76% | | | | 6.58% | | | | 9.17% | 3 |
Portfolio Turnover Rate | | | 8% | 2 | | | 13% | | | | 14% | | | | 23% | | | | 15% | | | | 17% | 2 | | | 8% | 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. |
| | | | | | |
| 100 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Core Fixed Income Fund | |
| | | Period Ended September 30,
2015 (Unaudited) | | | 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 | | | Period Ended September 30,
2015 (Unaudited) | | | 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 I | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 11.10 | | | $ | 10.88 | | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.46 | | | $ | 10.00 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 11.28 | | | $ | 11.05 | | | $ | 10.46 | | | $ | 10.00 | |
| | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.18 | | | | 0.39 | | | | 0.41 | | | | 0.36 | | | | 0.50 | | | | 0.57 | | | | 0.17 | | | | 0.37 | | | | 0.40 | | | | 0.33 | | | | 0.47 | | | | 0.55 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.23 | ) | | | 0.26 | | | | (0.31 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | | | | (0.23 | ) | | | 0.26 | | | | (0.31 | ) | | | 0.36 | | | | 0.65 | | | | 0.41 | |
Total from Investment Operations | | | (0.05 | ) | | | 0.65 | | | | 0.10 | | | | 0.72 | | | | 1.15 | | | | 0.98 | | | | (0.06 | ) | | | 0.63 | | | | 0.09 | | | | 0.69 | | | | 1.12 | | | | 0.96 | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.20 | ) | | | (0.43 | ) | | | (0.47 | ) | | | (0.44 | ) | | | (0.52 | ) | | | (0.48 | ) | | | (0.19 | ) | | | (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 | | | (0.20 | ) | | | (0.43 | ) | | | (0.51 | ) | | | (0.49 | ) | | | (0.55 | ) | | | (0.52 | ) | | | (0.19 | ) | | | (0.40 | ) | | | (0.50 | ) | | | (0.46 | ) | | | (0.53 | ) | | | (0.50 | ) |
Net Asset Value, End of Period | | $ | 10.85 | | | $ | 11.10 | | | $ | 10.88 | | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.46 | | | $ | 10.85 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 11.28 | | | $ | 11.05 | | | $ | 10.46 | |
Total Return | | | (0.46)% | 2 | | | 6.07% | | | | 1.03% | | | | 6.53% | | | | 11.19% | | | | 9.90% | 2 | | | (0.58)% | 2 | | | 5.91% | | | | 0.77% | | | | 6.27% | | | | 10.85% | | | | 9.71% | 2 |
| | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 3,830,242 | | | $ | 3,406,628 | | | $ | 1,351,760 | | | $ | 1,829,092 | | | $ | 1,544,169 | | | $ | 158,043 | | | $ | 742,557 | | | $ | 612,066 | | | $ | 383,712 | | | $ | 731,957 | | | $ | 539,143 | | | $ | 30,586 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped5 | | | 0.45% | 3 | | | 0.46% | | | | 0.48% | | | | 0.51% | | | | 0.54% | | | | 0.85% | 3 | | | 0.70% | 3 | | | 0.71% | | | | 0.73% | | | | 0.76% | | | | 0.79% | | | | 1.09% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.46% | 3 | | | 0.47% | | | | 0.48% | | | | 0.50% | | | | 0.49% | | | | 0.49% | 3 | | | 0.71% | 3 | | | 0.72% | | | | 0.73% | | | | 0.75% | | | | 0.74% | | | | 0.74% | 3 |
Net Investment Income (Loss) | | | 3.38% | 3 | | | 3.60% | | | | 3.76% | | | | 3.14% | | | | 4.51% | | | | 6.56% | 3 | | | 3.13% | 3 | | | 3.39% | | | | 3.32% | | | | 2.91% | | | | 4.22% | | | | 6.38% | 3 |
Portfolio Turnover Rate | | | 31% | 2 | | | 65% | | | | 53% | | | | 83% | | | | 81% | | | | 84% | 2 | | | 31% | 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. |
| 5 | Includes investment advisory fees waived. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 101 |
| | |
| Financial Highlights (Cont.) | | September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Emerging Markets Fixed Income Fund | |
| | | Period Ended September 30,
2015 (Unaudited) | | | 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 | | | Period Ended September 30,
2015 (Unaudited) | | | 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 I | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.00 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 10.00 | |
| | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.24 | | | | 0.55 | | | | 0.46 | | | | 0.38 | | | | 0.58 | | | | 0.60 | | | | 0.23 | | | | 0.52 | | | | 0.44 | | | | 0.36 | | | | 0.55 | | | | 0.58 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.53 | ) | | | (0.24 | ) | | | (0.38 | ) | | | 0.46 | | | | 0.23 | | | | 0.52 | | | | (0.53 | ) | | | (0.24 | ) | | | (0.38 | ) | | | 0.46 | | | | 0.23 | | | | 0.52 | |
Total from Investment Operations | | | (0.29 | ) | | | 0.31 | | | | 0.08 | | | | 0.84 | | | | 0.81 | | | | 1.12 | | | | (0.30 | ) | | | 0.28 | | | | 0.06 | | | | 0.82 | | | | 0.78 | | | | 1.10 | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.24 | ) | | | (0.56 | ) | | | (0.48 | ) | | | (0.38 | ) | | | (0.58 | ) | | | (0.52 | ) | | | (0.23 | ) | | | (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 | | | (0.24 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.51 | ) | | | (0.68 | ) | | | (0.55 | ) | | | (0.23 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.49 | ) | | | (0.65 | ) | | | (0.53 | ) |
Net Asset Value, End of Period | | $ | 9.70 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | | | $ | 9.70 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 10.57 | |
Total Return | | | (2.94)% | 2 | | | 2.90% | | | | 0.95% | | | | 8.04% | | | | 7.96% | | | | 11.48% | 2 | | | (3.07)% | 2 | | | 2.64% | | | | 0.69% | | | | 7.78% | | | | 7.71% | | | | 11.25% | 2 |
| | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 687,302 | | | $ | 539,542 | | | $ | 331,790 | | | $ | 620,479 | | | $ | 349,926 | | | $ | 106,227 | | | $ | 217,323 | | | $ | 233,347 | | | $ | 183,977 | | | $ | 167,750 | | | $ | 81,484 | | | $ | 26,277 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.88% | 3 | | | 0.90% | | | | 0.92% | | | | 0.91% | | | | 0.95% | | | | 1.32% | 3 | | | 1.13% | 3 | | | 1.15% | | | | 1.17% | | | | 1.16% | | | | 1.20% | | | | 1.57% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.88% | 3 | | | 0.90% | | | | 0.92% | | | | 0.91% | | | | 0.95% | | | | 0.95% | 3 | | | 1.13% | 3 | | | 1.15% | | | | 1.17% | | | | 1.16% | | | | 1.20% | | | | 1.20% | 3 |
Net Investment Income (Loss) | | | 4.69% | 3 | | | 5.20% | | | | 4.40% | | | | 3.53% | | | | 5.47% | | | | 5.85% | 3 | | | 4.45% | 3 | | | 4.95% | | | | 4.25% | | | | 3.30% | | | | 5.26% | | | | 5.66% | 3 |
Portfolio Turnover Rate | | | 36% | 2 | | | 67% | | | | 79% | | | | 105% | | | | 177% | | | | 109% | 2 | | | 36% | 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. |
| | | | | | |
| 102 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | Period Ended September 30,
2015 (Unaudited) | | | 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 | | | Period Ended September 30,
2015 (Unaudited) | | | 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 I | | | Class A | | | Class A | | | Class A | �� | | Class A | | | Class A | | | Class A | |
| | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 9.81 | | | $ | 10.10 | | | $ | 9.96 | | | $ | 10.03 | | | $ | 10.11 | | | $ | 10.00 | | | $ | 9.78 | | | $ | 10.07 | | | $ | 9.95 | | | $ | 10.02 | | | $ | 10.09 | | | $ | 10.00 | |
| | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.15 | | | | 0.28 | | | | 0.18 | | | | 0.31 | | | | 0.42 | | | | 0.10 | | | | 0.14 | | | | 0.26 | | | | 0.12 | | | | 0.29 | | | | 0.41 | | | | 0.10 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.83 | ) | | | 0.32 | | | | 0.18 | | | | (0.06 | ) | | | (0.16 | ) | | | 0.02 | | | | (0.83 | ) | | | 0.32 | | | | 0.19 | | | | (0.06 | ) | | | (0.16 | ) | | | — | |
Total from Investment Operations | | | (0.68 | ) | | | 0.60 | | | | 0.36 | | | | 0.25 | | | | 0.26 | | | | 0.12 | | | | (0.69 | ) | | | 0.58 | | | | 0.31 | | | | 0.23 | | | | 0.25 | | | | 0.10 | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.32 | ) | | | (0.40 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.31 | ) | | | (0.38 | ) | | | (0.19 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.49 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.49 | ) | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.32 | ) | | | (0.89 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.34 | ) | | | (0.01 | ) | | | (0.31 | ) | | | (0.87 | ) | | | (0.19 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.01 | ) |
Net Asset Value, End of Period | | $ | 8.81 | | | $ | 9.81 | | | $ | 10.10 | | | $ | 9.96 | | | $ | 10.03 | | | $ | 10.11 | | | $ | 8.78 | | | $ | 9.78 | | | $ | 10.07 | | | $ | 9.95 | | | $ | 10.02 | | | $ | 10.09 | |
Total Return5 | | | (7.07)% | 2 | | | 6.22% | | | | 3.65% | | | | 2.49% | | | | 2.67% | | | | 1.24% | 2 | | | (7.20)% | 2 | | | 5.96% | | | | 3.28% | | | | 2.19% | | | | 2.57% | | | | 1.02% | 2 |
| | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 41,972 | | | $ | 42,796 | | | $ | 66,292 | | | $ | 105,114 | | | $ | 85,073 | | | $ | 22,128 | | | $ | 90,713 | | | $ | 84,307 | | | $ | 96,734 | | | $ | 159,714 | | | $ | 42,261 | | | $ | 6,071 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped6 | | | 1.02% | 3 | | | 1.09% | | | | 1.26% | | | | 1.35% | | | | 1.51% | | | | 5.11% | 3 | | | 1.27% | 3 | | | 1.34% | | | | 1.51% | | | | 1.60% | | | | 1.76% | | | | 6.05% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.97% | 3 | | | 0.99% | | | | 1.13% | | | | 1.10% | | | | 1.09% | | | | 1.18% | 3 | | | 1.22% | 3 | | | 1.24% | | | | 1.38% | | | | 1.35% | | | | 1.34% | | | | 1.43% | 3 |
Net Investment Income (Loss) | | | 3.20% | 3 | | | 2.87% | | | | 1.67% | | | | 3.11% | | | | 4.14% | | | | 3.57% | 3 | | | 2.98% | 3 | | | 2.66% | | | | 1.01% | | | | 2.48% | | | | 3.88% | | | | 3.57% | 3 |
Portfolio Turnover Rate | | | 28% | 2 | | | 86% | | | | 150% | | | | 88% | | | | 48% | | | | 19% | 2 | | | 28% | 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. |
| 6 | Includes investment advisory fees waived. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 103 |
| | |
| Financial Highlights (Cont.) | | September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Bond Fund | |
| | | Period Ended September 30,
2015 (Unaudited) | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Period Ended
March 31,
20121 | | | Period Ended September 30,
2015 (Unaudited) | | | 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 I | | | Class N | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.14 | | | $ | 10.19 | | | $ | 10.21 | | | $ | 10.16 | | | $ | 10.00 | | | $ | 10.13 | | | $ | 10.18 | | | $ | 10.20 | | | $ | 10.15 | | | $ | 10.00 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.10 | | | | 0.22 | | | | 0.15 | | | | 0.20 | | | | 0.11 | | | | 0.10 | | | | 0.19 | | | | 0.13 | | | | 0.17 | | | | 0.09 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.07 | ) | | | (0.04 | ) | | | — | | | | 0.09 | | | | 0.13 | | | | (0.07 | ) | | | (0.04 | ) | | | — | | | | 0.09 | | | | 0.13 | |
Total from Investment Operations | | | 0.03 | | | | 0.18 | | | | 0.15 | | | | 0.29 | | | | 0.24 | | | | 0.03 | | | | 0.15 | | | | 0.13 | | | | 0.26 | | | | 0.22 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.12 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.11 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.21 | ) | | | (0.07 | ) |
Total Distributions | | | (0.12 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.11 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.21 | ) | | | (0.07 | ) |
Net Asset Value, End of Period | | $ | 10.05 | | | $ | 10.14 | | | $ | 10.19 | | | $ | 10.21 | | | $ | 10.16 | | | $ | 10.05 | | | $ | 10.13 | | | $ | 10.18 | | | $ | 10.20 | | | $ | 10.15 | |
Total Return | | | 0.34% | 2 | | | 1.76% | | | | 1.51% | | | | 2.88% | | | | 2.44% | 2 | | | 0.31% | 2 | | | 1.51% | | | | 1.26% | | | | 2.64% | | | | 2.25% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 1,553,849 | | | $ | 1,166,438 | | | $ | 851,771 | | | $ | 375,840 | | | $ | 132,117 | | | $ | 1,161,410 | | | $ | 1,148,730 | | | $ | 1,062,088 | | | $ | 237,727 | | | $ | 85,343 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped5 | | | 0.42% | 3 | | | 0.44% | | | | 0.48% | | | | 0.53% | | | | 0.94% | 3 | | | 0.67% | 3 | | | 0.69% | | | | 0.73% | | | | 0.78% | | | | 1.19% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.44% | 3 | | | 0.46% | | | | 0.47% | | | | 0.47% | | | | 0.47% | 3 | | | 0.69% | 3 | | | 0.71% | | | | 0.72% | | | | 0.72% | | | | 0.72% | 3 |
Net Investment Income (Loss) | | | 2.30% | 3 | | | 2.16% | | | | 1.46% | | | | 1.98% | | | | 2.10% | 3 | | | 2.04% | 3 | | | 1.90% | | | | 1.30% | | | | 1.70% | | | | 1.74% | 3 |
Portfolio Turnover Rate | | | 28% | 2 | | | 61% | | | | 53% | | | | 71% | | | | 46% | 2 | | | 28% | 2 | | | 61% | | | | 53% | | | | 71% | | | | 46% | 2 |
| 1 | Commencement of operations on September 30, 2011. |
| 4 | Calculated based on average shares outstanding during the period. |
| 5 | Includes investment advisory fees waived. |
| | | | | | |
| 104 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Floating Rate Fund | |
| | | Period Ended September 30,
2015 (Unaudited) | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 31,
20131 | | | Period Ended September 30,
2015 (Unaudited) | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 31,
20131 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.14 | | | $ | 10.15 | | | $ | 10.08 | | | $ | 10.00 | | | $ | 10.16 | | | $ | 10.16 | | | $ | 10.08 | | | $ | 10.00 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.20 | | | | 0.34 | | | | 0.27 | | | | — | | | | 0.19 | | | | 0.32 | | | | 0.25 | | | | — | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.16 | ) | | | — | | | | 0.04 | | | | 0.08 | | | | (0.16 | ) | | | — | | | | 0.05 | | | | 0.08 | |
Total from Investment Operations | | | 0.04 | | | | 0.34 | | | | 0.31 | | | | 0.08 | | | | 0.03 | | | | 0.32 | | | | 0.30 | | | | 0.08 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.20 | ) | | | (0.34 | ) | | | (0.24 | ) | | | — | | | | (0.19 | ) | | | (0.31 | ) | | | (0.22 | ) | | | — | |
Distributions from Net Realized Gain | | | — | | | | (0.01 | ) | | | — | | | | — | | | | — | | | | (0.01 | ) | | | — | | | | — | |
Total Distributions | | | (0.20 | ) | | | (0.35 | ) | | | (0.24 | ) | | | — | | | | (0.19 | ) | | | (0.32 | ) | | | (0.22 | ) | | | — | |
Net Asset Value, End of Period | | $ | 9.98 | | | $ | 10.14 | | | $ | 10.15 | | | $ | 10.08 | | | $ | 10.00 | | | $ | 10.16 | | | $ | 10.16 | | | $ | 10.08 | |
Total Return | | | 0.40% | 2 | | | 3.36 | % | | | 3.07 | % | | | 0.80 | %2 | | | 0.28% | 2 | | | 3.19 | % | | | 2.93 | % | | | 0.80 | %2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 258,162 | | | $ | 310,368 | | | $ | 276,737 | | | $ | 63,436 | | | $ | 68,741 | | | $ | 51,103 | | | $ | 104,320 | | | $ | 10 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.64% | 3 | | | 0.67 | % | | | 0.73 | % | | | 2.01 | %3 | | | 0.89% | 3 | | | 0.92 | % | | | 0.98 | % | | | 2.26 | %3 |
Expenses After Fees (Waived)/Recouped | | | 0.64% | 3 | | | 0.70 | % | | | 0.73 | % | | | 0.75 | %3 | | | 0.89% | 3 | | | 0.95 | % | | | 0.98 | % | | | 1.00 | %3 |
Net Investment Income (Loss) | | | 3.88% | 3 | | | 3.35 | % | | | 2.68 | % | | | (0.13) | %3 | | | 3.65% | 3 | | | 3.06 | % | | | 2.68 | % | | | (0.13) | %3 |
Portfolio Turnover Rate | | | 36% | 2 | | | 84 | % | | | 66 | % | | | 20 | %2 | | | 36% | 2 | | | 84 | % | | | 66 | % | | | 20 | %2 |
| 1 | Commencement of operations on February 1, 2013. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 105 |
| | |
| Financial Highlights (Cont.) | | September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | |
| | | Period Ended September 30, 2015 (Unaudited) | | | Year Ended
March 31, 2015 | | | Period Ended
March 31, 20141 | | | Period Ended September 30, 2015 (Unaudited) | | | Year Ended
March 31, 2015 | | | Period Ended
March 31, 20141 | |
| | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | |
| | | | | | |
Net Asset Value, Beginning of Period | | $ | 12.13 | | | $ | 10.68 | | | $ | 10.00 | | | $ | 12.12 | | | $ | 10.68 | | | $ | 10.00 | |
| | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.18 | | | | 0.34 | | | | 0.11 | | | | 0.16 | | | | 0.30 | | | | 0.10 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.94 | ) | | | 1.45 | | | | 0.67 | | | | (0.94 | ) | | | 1.45 | | | | 0.67 | |
Total from Investment Operations | | | (0.76 | ) | | | 1.79 | | | | 0.78 | | | | (0.78 | ) | | | 1.75 | | | | 0.77 | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.18 | ) | | | (0.34 | ) | | | (0.10 | ) | | | (0.16 | ) | | | (0.31 | ) | | | (0.09 | ) |
Distributions from Net Realized Gain | | | — | | | | — | 5 | | | — | | | | — | | | | — | 5 | | | — | |
Total Distributions | | | (0.18 | ) | | | (0.34 | ) | | | (0.10 | ) | | | (0.16 | ) | | | (0.31 | ) | | | (0.09 | ) |
Net Asset Value, End of Period | | $ | 11.19 | | | $ | 12.13 | | | $ | 10.68 | | | $ | 11.18 | | | $ | 12.12 | | | $ | 10.68 | |
Total Return | | | (6.36)% | 2 | | | 16.96% | | | | 7.83% | 2 | | | (6.48)% | 2 | | | 16.60% | | | | 7.73% | 2 |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 437,254 | | | $ | 301,580 | | | $ | 30,061 | | | $ | 100,920 | | | $ | 78,834 | | | $ | 10,714 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped6 | | | 0.66% | 3 | | | 0.79% | | | | 4.98% | 3 | | | 0.91% | 3 | | | 1.04% | | | | 5.23% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.65% | 3 | | | 0.62% | | | | 0.65% | 3 | | | 0.90% | 3 | | | 0.87% | �� | | | 0.90% | 3 |
Net Investment Income (Loss) | | | 2.85% | 3 | | | 2.89% | | | | 2.64% | 3 | | | 2.60% | 3 | | | 2.63% | | | | 2.35% | 3 |
Portfolio Turnover Rate | | | 47% | 2 | | | 68% | | | | 120% | 2 | | | 47% | 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. |
| 6 | Includes investment advisory fees waived. |
| | | | | | |
| 106 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Flexible Income Fund | |
| | | Period Ended September 30, 2015 (Unaudited) | | | Period Ended
March 31, 20151 | | | Period Ended September 30, 2015 (Unaudited) | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class I | | | Class N | | | Class N | |
| | | | |
Net Asset Value, Beginning of Period | | $ | 9.99 | | | $ | 10.00 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.19 | | | | 0.42 | | | | 0.18 | | | | 0.40 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.20 | ) | | | (0.04 | ) | | | (0.20 | ) | | | (0.04 | ) |
Total from Investment Operations | | | (0.01 | ) | | | 0.38 | | | | (0.02 | ) | | | 0.36 | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.20 | ) | | | (0.39 | ) | | | (0.19 | ) | | | (0.37 | ) |
Total Distributions | | | (0.20 | ) | | | (0.39 | ) | | | (0.19 | ) | | | (0.37 | ) |
Net Asset Value, End of Period | | $ | 9.78 | | | $ | 9.99 | | | $ | 9.78 | | | $ | 9.99 | |
Total Return | | | (0.15)% | 2 | | | 3.85% | 2 | | | (0.26)% | 2 | | | 3.63% | 2 |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 149,268 | | | $ | 57,511 | | | $ | 59,500 | | | $ | 27,417 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped5 | | | 0.86% | 3 | | | 1.27% | 3 | | | 1.11% | 3 | | | 1.52% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.77% | 3 | | | 0.76% | 3 | | | 1.02% | 3 | | | 1.01% | 3 |
Net Investment Income (Loss) | | | 3.82% | 3 | | | 4.26% | 3 | | | 3.60% | 3 | | | 4.08% | 3 |
Portfolio Turnover Rate | | | 11% | 2 | | | 55% | 2 | | | 11% | 2 | | | 55% | 2 |
| 1 | Commencement of operations on April 7, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| 5 | Includes investment advisory fees waived. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 107 |
| | |
| Financial Highlights (Cont.) | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | |
| | | Period Ended September 30, 2015 (Unaudited) | | | Period Ended
March 31, 20151 | | | Period Ended September 30, 2015 (Unaudited) | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class I | | | Class N | | | Class N | |
| | | | |
Net Asset Value, Beginning of Period | | $ | 9.83 | | | $ | 10.00 | | | $ | 9.84 | | | $ | 10.00 | |
| | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.17 | | | | 0.37 | | | | 0.16 | | | | 0.35 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.27 | ) | | | (0.17 | ) | | | (0.27 | ) | | | (0.17 | ) |
Total from Investment Operations | | | (0.10 | ) | | | 0.20 | | | | (0.11 | ) | | | 0.18 | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.17 | ) | | | (0.36 | ) | | | (0.16 | ) | | | (0.33 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Total Distributions | | | (0.17 | ) | | | (0.37 | ) | | | (0.16 | ) | | | (0.34 | ) |
Net Asset Value, End of Period | | $ | 9.56 | | | $ | 9.83 | | | $ | 9.57 | | | $ | 9.84 | |
Total Return | | | (1.04)% | 2 | | | 1.92% | 2 | | | (1.16)% | 2 | | | 1.80% | 2 |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 66,050 | | | $ | 64,891 | | | $ | 103,428 | | | $ | 79,419 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.83% | 3 | | | 0.91% | 3 | | | 1.08% | 3 | | | 1.16% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.59% | 3 | | | 0.59% | 3 | | | 0.84% | 3 | | | 0.84% | 3 |
Net Investment Income (Loss) | | | 3.47% | 3 | | | 3.80% | 3 | | | 3.21% | 3 | | | 3.58% | 3 |
Portfolio Turnover Rate | | | 28% | 2 | | | 21% | 2 | | | 28% | 2 | | | 21% | 2 |
| 1 | Commencement of operations on April 7, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 108 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Long Duration Total Return Bond Fund | |
| | | Period Ended September 30, 2015 (Unaudited) | | | Period Ended
March 31, 20151 | | | Period Ended September 30, 2015 (Unaudited) | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class I | | | Class N | | | Class N | |
| | | | |
Net Asset Value, Beginning of Period | | $ | 10.43 | | | $ | 10.00 | | | $ | 10.42 | | | $ | 10.00 | |
| | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.15 | | | | 0.10 | | | | 0.14 | | | | 0.09 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.34 | ) | | | 0.41 | | | | (0.34 | ) | | | 0.41 | |
Total from Investment Operations | | | (0.19 | ) | | | 0.51 | | | | (0.20 | ) | | | 0.50 | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.15 | ) | | | (0.08 | ) | | | (0.14 | ) | | | (0.08 | ) |
Total Distributions | | | (0.15 | ) | | | (0.08 | ) | | | (0.14 | ) | | | (0.08 | ) |
Net Asset Value, End of Period | | $ | 10.09 | | | $ | 10.43 | | | $ | 10.08 | | | $ | 10.42 | |
Total Return | | | (1.75)% | 2 | | | 5.15% | 2 | | | (1.87)% | 2 | | | 4.99% | 2 |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 55,008 | | | $ | 56,240 | | | $ | 18,696 | | | $ | 19,572 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Fees (Waived)/Recouped | | | 0.85% | 3 | | | 1.33% | 3 | | | 1.10% | 3 | | | 1.58% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.65% | 3 | | | 0.65% | 3 | | | 0.90% | 3 | | | 0.90% | 3 |
Net Investment Income (Loss) | | | 3.08% | 3 | | | 3.02% | 3 | | | 2.82% | 3 | | | 3.00% | 3 |
Portfolio Turnover Rate | | | 30% | 2 | | | 72% | 2 | | | 30% | 2 | | | 72% | 2 |
| 1 | Commencement of operations on December 15, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Semi-Annual Report | | September 30, 2015 | | 109 |
| | |
| Financial Highlights (Cont.) | | September 30, 2015 |
| | | | | | | | |
| | | DoubleLine Strategic Commodity Fund
(Consolidated) | |
| | | Period Ended
September 30, 20151 (Unaudited) | | | Period Ended
September 30, 20151 (Unaudited) | |
| | | Class I | | | Class N | |
| | |
Net Asset Value, Beginning of Period | | $ | 10.00 | | | $ | 10.00 | |
| | |
Income (Loss) from Investment Operations: | | | | | | | | |
Net Investment Income (Loss)4 | | | (0.03 | ) | | | (0.04 | ) |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (1.22 | ) | | | (1.22 | ) |
Total from Investment Operations | | | (1.25 | ) | | | (1.26 | ) |
Net Asset Value, End of Period | | $ | 8.75 | | | $ | 8.74 | |
Total Return | | | (12.50)% | 2 | | | (12.60)%2 | |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 27,815 | | | $ | 173 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Fees (Waived)/Recouped5 | | | 11.67% | 3 | | | 11.92% | 3 |
Expenses After Fees (Waived)/Recouped | | | 0.94% | 3 | | | 1.19% | 3 |
Net Investment Income (Loss) | | | (0.80)% | 3 | | | (1.07)% | 3 |
Portfolio Turnover Rate | | | 0% | 2 | | | 0% | 2 |
| 1 | Commencement of operations on May 18, 2015. |
| 4 | Calculated based on average shares outstanding during the period. |
| 5 | Includes investment advisory fees waived. |
| | | | | | |
| 110 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Notes to Financial Statements | | (Unaudited) September 30, 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 12 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, Doubleline Long Duration Total Return Bond Fund and DoubleLine Strategic Commodity Fund (each, a “Fund” and, collectively, the “Funds”). For financial information related to the DoubleLine Selective Credit Fund, please refer to the DoubleLine Selective Credit Fund’s separate semi-annual report.
The 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 | | | | — | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | Seek long-term total return | | | | | 5/18/2015 | | | | 5/18/2015 | | | | — | |
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.
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 111 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
| | | | |
| 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 | | | | Standard inputs |
Investments in registered open-end management investment companies will be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in private investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. As of September 30, 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.
| | | | | | |
| 112 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2015 |
The following is a summary of the fair valuations according to the inputs used to value the Funds’ investments as of September 30, 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 | | | | $ | 877,256,364 | | | $ | 238,903,477 | | | $ | 17,354,255 | | | $ | 40,565,121 | | | $ | 95,389,942 | | | $ | 33,089,687 | |
Affiliated Mutual Funds | | | | | — | | | | 72,530,201 | | | | — | | | | 36,607,604 | | | | 47,800,000 | | | | — | |
Exchange Traded Funds and Common Stock | | | | | — | | | | — | | | | — | | | | 14,389,563 | | | | — | | | | — | |
Real Estate Investment Trusts | | | | | — | | | | — | | | | — | | | | 4,357,547 | | | | — | | | | — | |
Total Level 1 | | | | | 877,256,364 | | | | 311,433,678 | | | | 17,354,255 | | | | 95,919,835 | | | | 143,189,942 | | | | 33,089,687 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
US Government / Agency Mortgage Backed Obligations | | | | | 24,782,207,557 | | | | 898,168,939 | | | | — | | | | 5,583,001 | | | | 20,040,827 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 10,578,648,513 | | | | 460,383,046 | | | | — | | | | 10,125,367 | | | | 401,394,800 | | | | — | |
Other Short Term Investments | | | | | 3,743,392,259 | | | | — | | | | — | | | | 4,000,064 | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | 3,676,974,040 | | | | 218,007,233 | | | | — | | | | — | | | | 445,662,365 | | | | — | |
Collateralized Loan Obligations | | | | | 2,145,242,682 | | | | 203,327,596 | | | | — | | | | 7,016,937 | | | | 521,928,002 | | | | — | |
US Government Bonds and Notes | | | | | 2,022,232,875 | | | | 832,134,415 | | | | — | | | | — | | | | 198,183,094 | | | | — | |
Asset Backed Obligations | | | | | 505,256,488 | | | | 38,796,111 | | | | — | | | | 4,323,631 | | | | 43,876,742 | | | | — | |
US Government Sponsored Banks | | | | | 300,728,900 | | | | — | | | | — | | | | — | | | | — | | | | — | |
US Corporate Bonds | | | | | — | | | | 701,620,125 | | | | — | | | | — | | | | 244,232,641 | | | | 8,603,425 | |
Foreign Corporate Bonds | | | | | — | | | | 584,340,668 | | | | 827,570,715 | | | | — | | | | 482,604,310 | | | | — | |
Municipal Bonds | | | | | — | | | | 172,980,059 | | | | — | | | | 1,881,250 | | | | — | | | | — | |
Bank Loans | | | | | — | | | | 99,228,679 | | | | — | | | | — | | | | 184,467,858 | | | | 291,566,292 | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | — | | | | 47,125,141 | | | | 61,251,625 | | | | — | | | | 26,409,638 | | | | — | |
Total Level 2 | | | | | 47,754,683,314 | | | | 4,256,112,012 | | | | 888,822,340 | | | | 32,930,250 | | | | 2,568,800,277 | | | | 300,169,717 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 642,218,986 | | | | 19,698,743 | | | | — | | | | 346,594 | | | | 10,875,866 | | | | — | |
Asset Backed Obligations | | | | | 114,467,400 | | | | — | | | | — | | | | — | | | | 5,020,500 | | | | — | |
Collateralized Loan Obligations | | | | | 31,392,000 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 3 | | | | | 788,078,386 | | | | 19,698,743 | | | | — | | | | 346,594 | | | | 15,896,366 | | | | — | |
Total | | | | $ | 49,420,018,064 | | | $ | 4,587,244,433 | | | $ | 906,176,595 | | | $ | 129,196,679 | | | $ | 2,727,886,585 | | | $ | 333,259,404 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | $ | — | | | $ | — | | | $ | — | | | $ | (856,405 | ) | | $ | — | | | $ | — | |
Total Level 1 | | | | | — | | | | — | | | | — | | | | (856,405 | ) | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return Swaps | | | | | — | | | | — | | | | — | | | | (2,198,040 | ) | | | — | | | | — | |
Forward Currency Exchange Contracts | | | | | — | | | | — | | | | — | | | | (191,572 | ) | | | — | | | | — | |
Interest Rate Swaps | | | | | — | | | | — | | | | — | | | | (33,965 | ) | | | — | | | | — | |
Total Level 2 | | | | | — | | | | — | | | | — | | | | (2,423,577 | ) | | | — | | | | — | |
Level 3 | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | $ | — | | | $ | — | | | $ | — | | | $ | (3,279,982 | ) | | $ | — | | | $ | — | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 113 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | |
| Category | | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Flexible
Income Fund | | | DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | | | DoubleLine
Strategic
Commodity
Fund
(Consolidated) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | $ | 21,957,625 | | | $ | 3,325,967 | | | $ | 5,611,432 | | | $ | 1,465,777 | | | $ | 2,864,888 | |
Affiliated Mutual Funds | | | | | — | | | | 21,120,900 | | | | — | | | | — | | | | — | |
Total Level 1 | | | | | 21,957,625 | | | | 24,446,867 | | | | 5,611,432 | | | | 1,465,777 | | | | 2,864,888 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | |
Collateralized Loan Obligations | | | | | 110,255,440 | | | | 41,827,518 | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | | | 96,142,557 | | | | 35,375,414 | | | | 147,321,546 | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | 88,705,195 | | | | 20,801,390 | | | | — | | | | — | | | | — | |
US Government Bonds and Notes | | | | | 77,263,834 | | | | 4,999,870 | | | | — | | | | 18,302,021 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 59,709,754 | | | | 45,987,557 | | | | — | | | | — | | | | — | |
US Corporate Bonds | | | | | 54,776,005 | | | | 17,847,196 | | | | — | | | | — | | | | — | |
US Government / Agency Mortgage Backed Obligations | | | | | 31,622,813 | | | | 5,199,911 | | | | — | | | | 53,943,301 | | | | — | |
Bank Loans | | | | | 16,475,950 | | | | — | | | | — | | | | — | | | | — | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | 7,011,000 | | | | 5,178,375 | | | | 14,554,200 | | | | — | | | | — | |
Asset Backed Obligations | | | | | 3,291,415 | | | | 2,838,898 | | | | — | | | | — | | | | — | |
Other Short Term Investments | | | | | — | | | | — | | | | — | | | | — | | | | 24,862,728 | |
Total Level 2 | | | | | 545,253,963 | | | | 180,056,129 | | | | 161,875,746 | | | | 72,245,322 | | | | 24,862,728 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | 1,549,500 | | | | 561,233 | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | | | — | | | | 1,004,100 | | | | — | | | | — | | | | — | |
Total Level 3 | | | | | 1,549,500 | | | | 1,565,333 | | | | — | | | | — | | | | — | |
Total | | | | $ | 568,761,088 | | | $ | 206,068,329 | | | $ | 167,487,178 | | | $ | 73,711,099 | | | $ | 27,727,616 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | |
Total Return Swaps | | | | | (31,260,296 | ) | | | — | | | | — | | | | — | | | | — | |
Excess Return Swaps | | | | | — | | | | — | | | | — | | | | — | | | | 242,999 | |
Total Level 2 | | | | | (31,260,296 | ) | | | — | | | | — | | | | — | | | | 242,999 | |
Level 3 | | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | $ | (31,260,296 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | 242,999 | |
See the Schedules of Investments for further disaggregation of investment categories.
| 1 | There were no transfers into or out of Level 1 during the period ended September 30, 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
3/31/2015 | | | Net
Realized
Gain (Loss) | | | Net Change in
Unrealized
Appreciation
(Depreciation)4 | | | Net Accretion
(Amortization) | | | Purchases 1 | | | Sales 2 | | | Transfers
Into
Level 3 3 | | | Transfers Out
of Level 3 3 | | | Balance as of
9/30/2015 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
9/30/20154 | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | $ | 642,376,417 | | | $ | 1,362,980 | | | $ | 16,934,863 | | | $ | 7,790,326 | | | $ | — | | | $ | (13,380,306 | ) | | $ | — | | | $ | (12,865,294 | ) | | $ | 642,218,986 | | | $ | 16,927,969 | |
Asset Backed Obligations | | | | | 54,475,200 | | | | — | | | | (7,800 | ) | | | — | | | | 60,000,000 | | | | — | | | | — | | | | — | | | | 114,467,400 | | | | (7,800 | ) |
Collateralized Loan Obligations | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 31,392,000 | | | | — | | | | 31,392,000 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | $ | 696,851,617 | | | $ | 1,362,980 | | | $ | 16,927,063 | | | $ | 7,790,326 | | | $ | 60,000,000 | | | $ | (13,380,306 | ) | | $ | 31,392,000 | | | $ | (12,865,294 | ) | | $ | 788,078,386 | | | $ | 16,920,169 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 114 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2015 |
| 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 from the prior fiscal year end. |
| 4 | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at September 30, 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
9/30/2015* | | | Valuation
Techniques | | Unobservable
Input | | | Input Values | | | Impact to valuation from an increase to input |
Non-Agency Residential Collateralized Mortgage Obligations | | $ | 642,218,986 | | | Market Comparables | |
| Market
Quotes |
| | $ | 73.16 - $110.97 | | | Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security |
Asset Backed Obligations | | | 114,467,400 | | | Market Comparables | |
| Market
Quotes |
| | $ | 100.41 - $100.55 | | | Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security |
Collateralized Loan Obligations | | | 31,392,000 | | | Market Comparables | |
| Market
Quotes |
| | $ | 85.24 - $93.03 | | | 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 each 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, 2015, 2014 and 2013 for the Funds, are those that are open for exam by taxing authorities. As of September 30, 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.
D. Dividends and Distributions to Shareholders. With the exception of the DoubleLine Multi-Asset Growth Fund and the DoubleLine Strategic Commodity 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 and of the DoubleLine Strategic Commodity Fund will be declared and paid annually. 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.
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 115 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
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 is calculated on days when the New York Stock Exchange opens for regular trading (except that the Funds, other than DoubleLine Strategic Commodity Fund, do not calculate their NAV 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 The DoubleLine Multi-Asset Growth Fund and the DoubleLine Strategic Commodity Fund may invest up to 25% of their total assets in the DoubleLine Cayman Multi-Asset Growth Fund I, Ltd. and the DoubleLine Strategic Commodity, Ltd. (each, a “Subsidiary” and, collectively, the “Subsidiaries”), respectively. The Subsidiaries, which are organized under the laws of the Cayman Islands, are wholly-owned and controlled by each respective Fund. Each Subsidiary invests in commodity-related investments and other investments. The consolidated financial statements include the accounts and balances of the each Fund and each Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
As of September 30, 2015, the relationship of the Subsidiary to each respective fund was as follows:
| | | | | | | | | | |
| | | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Strategic
Commodity
Fund
(Consolidated) | |
Commencement of Operations | | | | | 6/15/2011 | | | | 5/18/2015 | |
Fund Net Assets | | | | | 132,685,647 | | | | 27,987,598 | |
Subsidiary % of Fund Net Assets | | | | | 7.54% | | | | 20.84% | |
Subsidiary Financial Statement Information | | | | | | | | | | |
Net Assets | | | | | 10,005,857 | | | | 5,831,572 | |
Total Income | | | | | 934 | | | | 193 | |
Net Realized Gain/(Loss) | | | | | (331,586 | ) | | | (320,759 | ) |
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 and DoubleLine Commodity LP (each, an “Adviser” and, collectively, the “Advisers”) provide the Funds with investment management services under investment management agreements (the “Agreements”). Under the Agreements, each 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, each 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. Each Adviser has arrangements with DoubleLine Group LP to provide personnel and other resources to the Funds.
Each 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 each 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 and DoubleLine Strategic Commodity 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 and the DoubleLine Strategic Commodity Fund’s expense limitation is expected to apply until at least May 14, 2016. Each may be terminated during the term only by a majority vote of the disinterested Trustees of the Board.
| | | | | | |
| 116 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 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 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | 0.90% | | | | 1.10% | | | | 1.35% | | | | N/A | |
Each 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 each Adviser is entitled to any reimbursement of fees waived and/or expenses reimbursed. Any such reimbursement requested by each 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.
Each 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 | | | 2019 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | $ | 391,977 | | | $ | 283,515 | | | $ | 133,348 | | | $ | 33,120 | |
DoubleLine Shiller Enhanced CAPE® | | | | | — | | | | 399,206 | | | | 270,166 | | | | 40,888 | |
DoubleLine Flexible Income Fund | | | | | — | | | | — | | | | 248,339 | | | | 67,752 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | — | | | | — | | | | 302,278 | | | | 196,069 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | — | | | | — | | | | 130,444 | | | | 73,018 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | — | | | | — | | | | — | | | | 144,359 | |
For the period ended September 30, 2015, each Adviser recouped the amounts shown from the following Funds:
| | | | | | |
DoubleLine Core Fixed Income Fund | | | | $ | 203,659 | |
DoubleLine Low Duration Bond Fund | | | | | 228,850 | |
If a Fund invested in other investment vehicles sponsored by an Adviser (“other DoubleLine Funds”) during the period, such 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 period ended September 30, 2015:
| | | | | | |
DoubleLine Core Fixed Income Fund | | | | $ | 272,019 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 151,599 | |
DoubleLine Low Duration Bond Fund | | | | | 124,032 | |
DoubleLine Flexible Income Fund | | | | | 38,435 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | 2,174 | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 117 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
As of September 30, 2015, greater than 5% of the following DoubleLine Funds was held by other DoubleLine Funds as follows:
| | | | | | | | | | |
| Affiliated Fund Held | | | | % Owned | | | Significant Owner | |
DoubleLine Floating Rate Fund | | | | | 7% | | | | DoubleLine Core Fixed Income Fund | |
DoubleLine Floating Rate Fund | | | | | 6% | | | | DoubleLine Flexible Income Fund | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 28% | | | | DoubleLine Low Duration Bond Fund | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 68% | | | | DoubleLine Core Fixed Income Fund | |
DoubleLine Equities Growth Fund | | | | | 31% | | | | DoubleLine Multi-Asset Growth Fund (Consolidated | ) |
DoubleLine Capital LP and certain DoubleLine affiliated advisers provide investment advisory, sub-advisory, or consulting services to a variety of investors, including investment program sponsors, separate accounts, and mutual funds sponsored by third parties (collectively “third-party accounts”). Those services may result, directly or indirectly, in investments by the third-party accounts in one or more of the Funds. At times, the third-party accounts’ investments, individually or in the aggregate, may represent material interests in one or more of the Funds. The third-party accounts’ transaction activity in a Fund may cause a Fund to incur material transaction costs, to realize taxable gains distributable to shareholders, and/or to buy or sell assets at a time when the Fund might not otherwise do so, each of which may adversely affect a Fund’s performance. See the description of “large shareholder risk” in the Principal Risks footnote for more information. The Funds’ transfer agent’s register reflects that greater than 25% of the following Funds were held by third-party accounts as of September 30, 2015:
| | | | | | |
| | | | | % Owned | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 58% | |
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 transactions (excluding short-term investments) for the period ended September 30, 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 | | | | $ | 6,345,726,058 | | | $ | 3,672,692,624 | | | $ | — | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 618,101,116 | | | | 916,091,354 | | | | 1,378,386,697 | | | | 344,868,423 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 498,180,041 | | | | 313,663,455 | | | | — | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 26,454,175 | | | | 34,768,317 | | | | — | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | 716,588,951 | | | | 562,593,643 | | | | 302,329,281 | | | | 122,690,531 | |
DoubleLine Floating Rate Fund | | | | | 116,979,442 | | | | 156,215,269 | | | | — | | | | — | |
DoubleLine Shiller Enhanced CAPE | | | | | 109,381,442 | | | | 100,096,989 | | | | 264,835,694 | | | | 106,605,712 | |
DoubleLine Flexible Income Fund | | | | | 140,525,609 | | | | 16,565,155 | | | | — | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 68,347,226 | | | | 43,823,861 | | | | — | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 10,401,507 | | | | 421,379 | | | | 9,637,226 | | | | 26,372,402 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | 1,121,812 | | | | 1,130,872 | | | | — | | | | — | |
| 1 | U.S. Government transactions are defined as those involving long-term U.S. Treasury bills, bonds and notes. |
| | | | | | |
| 118 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2015 |
6. Income Tax Information
The tax character of distributions for the Funds were as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | Period Ended September 30, 2015 | | | Period Ended March 31, 2015 | |
| | | | | Ordinary Income | | | Long Term
Capital Gain | | | Ordinary Income | | | Long Term
Capital Gain | |
DoubleLine Total Return Bond Fund | | | | $ | 966,129,535 | | | $ | — | | | $ | 1,658,865,733 | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | 78,992,822 | | | | — | | | | 100,065,621 | | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 21,108,769 | | | | — | | | | 34,967,748 | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 4,487,498 | | | | — | | | | 8,783,328 | | | | 2,581,991 | |
DoubleLine Low Duration Bond Fund | | | | | 29,372,849 | | | | — | | | | 46,057,808 | | | | — | |
DoubleLine Floating Rate Fund | | | | | 6,816,352 | | | | — | | | | 12,204,973 | | | | 11,923 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 7,332,834 | | | | — | | | | 4,864,087 | | | | 21,944 | |
DoubleLine Flexible Income Fund | | | | | 3,345,299 | | | | — | | | | 2,274,973 | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 2,815,768 | | | | — | | | | 3,601,264 | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 1,088,663 | | | | — | | | | 561,253 | | | | — | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | — | | | | — | | | | | | | | | |
The amount and character of tax-basis distributions and composition of net assets, including undistributed (accumulated) net investment income (loss), are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of the date of this report.
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 September 30, 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 | | | | $ | 48,959,225,524 | | | $ | 4,619,283,991 | | | $ | 987,098,238 | | | $ | 134,922,505 | | | $ | 2,745,823,989 | | | $ | 336,321,638 | |
Gross Tax Unrealized Appreciation | | | | | 1,227,788,723 | | | | 59,857,595 | | | | 1,799,722 | | | | 6,993,353 | | | | 7,682,588 | | | | 690,663 | |
Gross Tax Unrealized Depreciation | | | | | (766,996,183 | ) | | | (91,897,153 | ) | | | (82,721,365 | ) | | | (12,719,179 | ) | | | (25,619,992 | ) | | | (3,752,897 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | | 460,792,540 | | | | (32,039,558 | ) | | | (80,921,643 | ) | | | (5,725,826 | ) | | | (17,937,404 | ) | | | (3,062,234 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine
Shiller Enhanced
CAPE® | | | DoubleLine
Flexible Income
Fund | | | DoubleLine Low
Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | | | DoubleLine
Strategic
Commodity Fund
(Consolidated) | |
Tax Cost of Investments | | | | $ | 574,706,261 | | | $ | 211,082,121 | | | $ | 176,436,002 | | | $ | 72,897,560 | | | $ | 27,724,699 | |
Gross Tax Unrealized Appreciation | | | | | 1,212,844 | | | | 362,569 | | | | 102,198 | | | | 1,336,523 | | | | 88,744 | |
Gross Tax Unrealized Depreciation | | | | | (7,158,017 | ) | | | (5,376,361 | ) | | | (9,051,022 | ) | | | (522,984 | ) | | | (85,827 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | | (5,945,173 | ) | | | (5,013,792 | ) | | | (8,948,824 | ) | | | 813,539 | | | | 2,917 | |
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 119 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
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 | |
| | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | | | — | |
| | | | | | |
| 120 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2015 |
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
(Accumulated)
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 | | | | | — | | | | — | | | | — | |
7. Share Transactions
Transactions in each Fund’s shares were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Total Return Bond Fund | | | | | DoubleLine Core Fixed Income Fund | |
| | | | | Period Ended
September 30, 2015 | | | Year Ended
March 31, 2015 | | | | | Period Ended
September 30, 2015 | | | Year Ended
March 31, 2015 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 664,094,458 | | | $ | 7,270,760,198 | | | | 1,558,010,043 | | | $ | 17,148,705,516 | | | | | | 103,063,904 | | | $ | 1,132,467,889 | | | | 230,438,036 | | | $ | 2,541,026,162 | |
Class N | | | | | 163,789,991 | | | | 1,793,472,236 | | | | 454,573,725 | | | | 5,004,430,061 | | | | | | 22,128,409 | | | | 242,399,602 | | | | 36,562,856 | | | | 402,958,798 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 47,424,175 | | | | 518,475,045 | | | | 80,206,318 | | | | 881,703,118 | | | | | | 4,380,563 | | | | 47,959,405 | | | | 5,684,656 | | | | 62,733,460 | |
Class N | | | | | 13,268,100 | | | | 145,022,100 | | | | 22,572,716 | | | | 248,096,489 | | | | | | 941,193 | | | | 10,294,367 | | | | 1,328,000 | | | | 14,641,059 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (385,300,347 | ) | | | (4,217,248,880 | ) | | | (612,602,713 | ) | | | (6,740,749,306 | ) | | | | | (61,337,425 | ) | | | (672,568,161 | ) | | | (53,606,529 | ) | | | (591,377,397 | ) |
Class N | | | | | (133,736,713 | ) | | | (1,462,020,567 | ) | | | (271,054,941 | ) | | | (2,980,674,477 | ) | | | | | (9,762,926 | ) | | | (107,117,790 | ) | | | (18,034,346 | ) | | | (198,661,874 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | 369,539,664 | | | $ | 4,048,460,132 | | | | 1,231,705,148 | | | $ | 13,561,511,401 | | | | | | 59,413,718 | | | $ | 653,435,312 | | | | 202,372,673 | | | $ | 2,231,320,208 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Emerging Markets Fixed Income Fund | | | | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | | | Period Ended
September 30, 2015 | | | Year Ended
March 31, 2015 | | | | | Period Ended
September 30, 2015 | | | Year Ended
March 31, 2015 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 34,530,300 | | | $ | 355,786,620 | | | | 48,464,178 | | | $ | 512,367,218 | | | | | | 938,758 | | | $ | 9,000,406 | | | | 1,196,955 | | | $ | 11,927,076 | |
Class N | | | | | 14,067,788 | | | | 144,989,881 | | | | 17,993,367 | | | | 189,439,392 | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | 3,160,136 | | | | 29,902,954 | | | | 3,020,401 | | | | 29,928,377 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 1,296,021 | | | | 13,195,948 | | | | 1,788,406 | | | | 18,901,203 | | | | | | 105,811 | | | | 975,138 | | | | 357,528 | | | | 3,500,423 | |
Class N | | | | | 428,710 | | | | 4,383,108 | | | | 735,937 | | | | 7,789,995 | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | 45,949 | | | | 422,808 | | | | 459,846 | | | | 4,465,787 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (17,666,572 | ) | | | (179,744,679 | ) | | | (29,176,327 | ) | | | (307,717,478 | ) | | | | | (642,504 | ) | | | (6,067,456 | )# | | | (3,756,397 | ) | | | (37,501,908 | )* |
Class N | | | | | (14,885,440 | ) | | | (152,614,774 | ) | | | (13,475,224 | ) | | | (143,047,369 | ) | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | — | | | | — | | | | — | | | | — | | | | | | (1,496,647 | ) | | | (14,091,280 | )# | | | (4,464,933 | ) | | | (44,700,359 | )* |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | 17,770,807 | | | $ | 185,996,104 | | | | 26,330,337 | | | $ | 277,732,961 | | | | | | 2,111,503 | | | $ | 20,142,570 | | | | (3,186,600 | ) | | $ | (32,380,604 | ) |
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 121 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Low Duration Bond Fund | | | | | DoubleLine Floating Rate Fund | |
| | | | | Period Ended
September 30, 2015 | | | Year Ended
March 31, 2015 | | | | | Period Ended
September 30, 2015 | | | Year Ended
March 31, 2015 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 62,200,675 | | | $ | 629,655,863 | | | | 106,256,430 | | | $ | 1,080,831,534 | | | | | | 10,305,777 | | | $ | 104,515,684 | | | | 21,835,983 | | | $ | 220,180,224 | |
Class N | | | | | 20,397,519 | | | | 206,448,177 | | | | 50,471,628 | | | | 513,317,544 | | | | | | 2,661,669 | | | | 26,972,327 | | | | 1,986,975 | | | | 20,090,929 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 1,308,900 | | | | 13,231,665 | | | | 1,922,215 | | | | 19,551,236 | | | | | | 223,496 | | | | 2,256,266 | | | | 316,515 | | | | 3,189,878 | |
Class N | | | | | 1,031,029 | | | | 10,420,307 | | | | 1,799,041 | | | | 18,290,065 | | | | | | 70,156 | | | | 709,101 | | | | 131,252 | | | | 1,325,930 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (24,036,626 | ) | | | (243,647,982 | ) | | | (76,705,087 | ) | | | (779,499,858 | ) | | | | | (15,265,313 | ) | | | (154,475,674 | )~ | | | (18,819,723 | ) | | | (189,582,271 | )^ |
Class N | | | | | (19,233,143 | ) | | | (194,680,998 | ) | | | (43,180,922 | ) | | | (439,255,991 | ) | | | | | (885,346 | ) | | | (8,967,446 | )~ | | | (7,357,051 | ) | | | (74,481,306 | )^ |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | 41,668,354 | | | $ | 421,427,032 | | | | 40,563,305 | | | $ | 413,234,530 | | | | | | (2,889,561 | ) | | $ | (28,989,742 | ) | | | (1,906,049 | ) | | $ | (19,276,616 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Shiller Enhanced CAPE® | | | | | DoubleLine Flexible Income Fund | |
| | | | | Period Ended
September 30, 2015 | | | Year Ended
March 31, 2015 | | | | | Period Ended
September 30, 2015 | | | Period Ended
March 31, 2015 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 18,259,992 | | | $ | 222,663,041 | | | | 24,010,369 | | | $ | 282,366,924 | | | | | | 12,693,447 | | | $ | 127,217,270 | | | | 8,439,758 | | | $ | 84,838,598 | |
Class N | | | | | 3,989,627 | | | | 48,274,932 | | | | 7,120,050 | | | | 83,477,991 | | | | | | 4,595,611 | | | | 45,954,154 | | | | 3,935,101 | | | | 39,646,317 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 427,558 | | | | 5,069,247 | | | | 278,813 | | | | 3,298,566 | | | | | | 191,917 | | | | 1,905,777 | | | | 119,818 | | | | 1,199,839 | |
Class N | | | | | 100,926 | | | | 1,197,934 | | | | 79,425 | | | | 935,897 | | | | | | 76,662 | | | | 761,414 | | | | 73,547 | | | | 737,094 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (4,475,028 | ) | | | (52,935,701 | ) | | | (2,236,761 | ) | | | (25,945,358 | ) | | | | | (3,382,483 | ) | | | (33,607,150 | ) | | | (2,802,513 | ) | | | (28,099,323 | ) |
Class N | | | | | (1,569,765 | ) | | | (18,966,338 | ) | | | (1,698,935 | ) | | | (19,696,470 | ) | | | | | (1,332,898 | ) | | | (13,281,820 | ) | | | (1,263,950 | ) | | | (12,642,921 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | 16,733,310 | | | $ | 205,303,115 | | | | 27,552,961 | | | $ | 324,437,550 | | | | | | 12,842,256 | | | $ | 128,949,645 | | | | 8,501,761 | | | $ | 85,679,604 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | DoubleLine Long Duration Total Return Bond Fund | |
| | | | | Period Ended
September 30, 2015 | | | Period Ended
March 31, 2015 | | | | | Period Ended
September 30, 2015 | | | Period Ended
March 31, 2015 | |
| | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 2,493,151 | | | $ | 25,061,953 | | | | 6,793,837 | | | $ | 68,019,507 | | | | | | 211,476 | | | $ | 2,108,663 | | | | 5,579,541 | | | $ | 55,943,736 | |
Class N | | | | | 4,650,267 | | | | 46,386,881 | | | | 8,771,415 | | | | 88,791,916 | | | | | | 383,177 | | | | 3,801,346 | | | | 1,921,385 | | | | 19,969,246 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 32,750 | | | | 324,368 | | | | 29,706 | | | | 295,980 | | | | | | 5,761 | | | | 57,565 | | | | 1,871 | | | | 19,580 | |
Class N | | | | | 136,935 | | | | 1,351,683 | | | | 130,008 | | | | 1,292,322 | | | | | | 24,502 | | | | 244,434 | | | | 10,894 | | | | 114,122 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (2,218,219 | ) | | | (22,124,455 | ) | | | (225,055 | ) | | | (2,260,879 | ) | | | | | (156,383 | ) | | | (1,588,124 | ) | | | (189,939 | ) | | | (1,982,487 | ) |
Class N | | | | | (2,050,584 | ) | | | (20,448,270 | ) | | | (831,376 | ) | | | (8,278,916 | ) | | | | | (430,880 | ) | | | (4,292,368 | ) | | | (54,691 | ) | | | (560,700 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | 3,044,300 | | | $ | 30,552,160 | | | | 14,668,535 | | | $ | 147,859,930 | | | | | | 37,653 | | | $ | 331,516 | | | | 7,269,061 | | | $ | 73,503,497 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | DoubleLine Strategic Commodity
Fund (Consolidated) | | | | | | | | | | | | |
| | | | | Period Ended
September 30, 2015 | | | | | | | | | | | | |
| | | | | Shares | | | Amount | | | | | | | | | | | | | | | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 3,178,684 | | | $ | 27,878,653 | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class N | | | | | 19,763 | | | | 185,581 | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | 3,198,447 | | | $ | 28,064,234 | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 122 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2015 |
| # | Net of redemption fees of $4,383 and $1,566 for Class I and Class A, respectively |
| * | Net of redemption fees of $2,358 and $1,411 for Class I and Class A, respectively |
| ~ | Net of redemption fees of $73,767 and $7,263 for Class I and Class N, respectively |
| ^ | Net of redemption fees of $10,717 and $28,406 for Class I and Class N, respectively |
8. Trustees’ Fees
Trustees who are not affiliated with each 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 each 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 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 each Adviser; such trustees and officers are not compensated by the Funds.
For the period ended September 30, 2015, the Trustees received, as a group:
| | | | | | | | | | | | | | |
| | | | | Current
Fees | | | Increase/(Decrease) in
Value of Deferred
Amount | | | Trustees’ Fees | |
DoubleLine Total Return Bond Fund | | | | $ | 274,919 | | | $ | (2,193 | ) | | $ | 272,726 | |
DoubleLine Core Fixed Income Fund | | | | | 24,715 | | | | (200 | ) | | | 24,515 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | 5,449 | | | | (21 | ) | | | 5,428 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | 749 | | | | (7 | ) | | | 742 | |
DoubleLine Low Duration Bond Fund | | | | | 14,723 | | | | (117 | ) | | | 14,606 | |
DoubleLine Floating Rate Fund | | | | | 1,978 | | | | (17 | ) | | | 1,961 | |
DoubleLine Shiller Enhanced CAPE® | | | | | 2,229 | | | | (22 | ) | | | 2,207 | |
DoubleLine Flexible Income Fund | | | | | 877 | | | | (7 | ) | | | 870 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 1,077 | | | | (8 | ) | | | 1,069 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | 458 | | | | (3 | ) | | | 455 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | 140 | | | | — | | | | 140 | |
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 period ended September 30, 2015 is as follows:
| | | | | | | | | | | | | | |
| | | | | DoubleLine Multi-
Asset Growth Fund
(Consolidated) | | | DoubleLine Shiller
Enhanced CAPE® | | | DoubleLine Strategic
Commodity Fund
(Consolidated) | |
Average Market Value | | | | | | | | | | | | | | |
Futures Contracts - Long | | | | $ | (264,788 | ) | | $ | — | | | $ | — | |
Futures Contracts - Short | | | | | (80,314 | ) | | | — | | | | — | |
Average Notional Balance | | | | | | | | | | | | | | |
Interest Rate Swaps | | | | $ | 5,200,000 | | | $ | — | | | $ | — | |
Total Return Swaps - Long | | | | | 40,490,672 | | | | 478,052,333 | | | | — | |
Total Return Swaps - Short | | | | | 4,659,102 | | | | — | | | | — | |
Excess Return Swaps - Long | | | | | — | | | | — | | | | 11,522,500 | |
Excess Return Swaps - Short | | | | | — | | | | — | | | | 3,570,000 | |
Forward Currency Exchange Contracts | | | | | 25,872,419 | | | | — | | | | — | |
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
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 123 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
loss of the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. When a Fund writes (i.e., sells) an option it receives a premium in return for bearing the risk of the change in value of an underlying instrument during the term off the option. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying instrument to determine the realized gain or loss when the underlying instrument is sold. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk that the market for options contracts may be illiquid and that a Fund may not be able to close out or sell an option at a particular time or at an anticipated price.
There was no activity in written options during the period ended September 30, 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 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.
| | | | | | |
| 124 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) September 30, 2015 |
The effect of derivative instruments on the Statements of Assets and Liabilities for the year ended September 30, 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® | | | DoubleLine Strategic
Commodity Fund
(Consolidated) | |
| Forward Contracts | | | | | | | | | | | | | | | | |
| Currency | | Net Unrealized Appreciation (Depreciation) on Forwards | | | | $ | (191,572 | ) | | $ | — | | | $ | — | |
| Futures Contracts | | | | | | | | | | | | | | | | |
| Commodity | | | | | | $ | (390,024 | ) | | $ | — | | | $ | — | |
| Index | | | | | | | (466,381 | ) | | | — | | | | — | |
| | Net Unrealized Appreciation (Depreciation) on Futures | | | | $ | (856,405 | ) | | $ | — | | | $ | — | |
| Swap Contracts | | | | | | | | | | | | | | | | |
| Excess Return | | | | | | $ | — | | | $ | — | | | $ | 242,999 | |
| Interest Rate | | | | | | | (33,965 | ) | | | — | | | | — | |
| Total Return | | | | | | | (2,198,040 | ) | | | (31,260,296 | ) | | | — | |
| | Net Unrealized Appreciation (Depreciation) on Swaps | | | | $ | (2,232,005 | ) | | $ | (31,260,296 | ) | | $ | 242,999 | |
The effect of derivative instruments on the Statements of Operations for the year ended September 30, 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 Strategic
Commodity Fund
(Consolidated) | | | | | DoubleLine Multi-
Asset Growth Fund
(Consolidated) | | | DoubleLine Shiller
Enhanced CAPE® | | | DoubleLine Strategic
Commodity Fund
(Consolidated) | |
| Forward Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Currency | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net Realized and Unrealized Gain (Loss) on Forwards | | | | $ | (822,300 | ) | | $ | — | | | $ | — | | | | | $ | 54,650 | | | $ | — | | | $ | — | |
| Futures Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Commodity | | | | | | $ | (240,315 | ) | | $ | — | | | $ | — | | | | | $ | (345,487 | ) | | $ | — | | | $ | — | |
| Index | | | | | | | (2,107,854 | ) | | | — | | | | — | | | | | | (622,145 | ) | | | — | | | | — | |
| Treasury Bond | | | | | | | — | | | | — | | | | — | | | | | | (26,447 | ) | | | — | | | | — | |
| | Net Realized and Unrealized Gain (Loss) on Futures | | | | $ | (2,348,169 | ) | | $ | — | | | $ | — | | | | | $ | (994,079 | ) | | $ | — | | | $ | — | |
| Swap Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Excess Return | | | | | | $ | — | | | $ | — | | | $ | (320,764 | ) | | | | $ | — | | | $ | — | | | $ | 242,999 | |
| Interest Rate | | | | | | | — | | | | — | | | | — | | | | | | (33,965 | ) | | | — | | | | — | |
| Total Return | | | | | | | (340,932 | ) | | | 2,131,765 | | | | — | | | | | | (1,763,219 | ) | | | (41,894,589 | ) | | | — | |
| | Net Realized and Unrealized Gain (Loss) on Swaps | | | | $ | (340,932 | ) | | $ | 2,131,765 | | | $ | (320,764 | ) | | | | $ | (1,797,184 | ) | | $ | (41,894,589 | ) | | $ | 242,999 | |
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.
| | | | | | |
| | Semi-Annual Report | | September 30, 2015 | | 125 |
| | |
| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
As of September 30, 2015, the Funds held the following instruments that were subject to offsetting on the Statement of Assets and Liabilities:
DoubleLine Multi-Asset Growth Fund (Consolidated)
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 | | | Net
Amount | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Received | | |
Swap Contracts | | $ | 91,027 | | | $ | 91,027 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
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 | | | Net
Amount | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Forwards | | $ | 191,572 | | | $ | — | | | $ | 191,572 | | | $ | 191,572 | | | $ | — | | | $ | — | |
Swap Contracts | | | 2,323,032 | | | | 91,027 | | | | 2,232,005 | | | | 2,232,005 | | | | — | | | | — | |
| | $ | 2,514,604 | | | $ | 91,027 | | | $ | 2,423,577 | | | $ | 2,423,577 | | | $ | — | | | $ | — | |
DoubleLine Shiller Enhanced CAPE®
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 | | | Net
Amount | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Received | | |
Swap Contracts | | $ | 257,973 | | | $ | 257,973 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
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 | | | Net
Amount | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Swap Contracts | | $ | 31,518,269 | | | $ | 257,973 | | | $ | 31,260,296 | | | $ | 31,260,296 | | | $ | — | | | $ | — | |
DoubleLine Strategic Commodity Fund (Consolidated)
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 | | | Net
Amount | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Received | | |
Swap Contracts | | $ | 266,967 | | | $ | 23,968 | | | $ | 242,999 | | | $ | 242,999 | | | $ | — | | | $ | — | |
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 | | | Net
Amount | |
| Description | | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Swap Contracts | | $ | 23,968 | | | $ | 23,968 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
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.
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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 period ended September 30, 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.
For the period ended September 30, 2015, the Funds’ credit facility activity was as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | Average
Borrowings | | | Maximum
Amount
Outstanding | | | Interest
Expense | | | Commitment
Fee | |
DoubleLine Emerging Markets Fixed Income Fund | | | | $ | 11,580,571 | | | $ | 31,024,000 | | | $ | 12,385 | | | $ | — | |
DoubleLine Floating Rate Fund | | | | | — | | | | — | | | | — | | | | 24,400 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | 3,332,355 | | | | 13,822,000 | | | | 7,891 | | | | — | |
13. Significant Shareholder Holdings
As of September 30, 2015, a single beneficial shareholder held 91% of the Outstanding Class I shares of DoubleLine Strategic Commodity Fund and 90% of the DoubleLine Strategic Commodity Fund’s outstanding shares. That shareholder may control the DoubleLine Strategic Commodity Fund and a redemption of all or a substantial portion of that shareholder’s investment in the Fund may adversely affect the Fund and its investment performance. See the description of “large shareholder risk” in the following Principal Risks footnote.
14. 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, each Adviser may choose to invest a portion of a Fund’s assets in investment companies sponsored or managed by each Adviser or its affiliates in lieu of investments by the Fund directly in portfolio securities, or may choose to invest in such investment companies over investment companies sponsored or managed by others. |
| | • | asset allocation risk: the risk that a Fund’s investment performance may depend, at least in part, on how its assets are allocated and reallocated among asset classes, 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 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 the Fund’s investment exposures to commodities or commodity-related instruments, which may be extremely volatile and difficult to value. The value of commodities and commodity-related instruments may be affected by market movements, commodity index volatility, changes in interest rates, or factors affecting a particular sector, industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. |
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| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
| | • | confidential information access risk: the risk that the intentional or unintentional receipt of material, non-public information by each 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. |
| | ° | | 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 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, sector, group of industries or sectors, country, region, group of countries, or asset class 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, regulatory or other occurrence affecting, for example, the particular markets, industries, countries, regions, sectors or asset classes in which the Fund is invested. |
| | • | 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: the risk that debt instruments rated below investment grade or debt instruments that are unrated and determined by each Adviser to be of comparable quality are predominantly speculative. These instruments have a higher degree of default risk and may be less liquid than higher-rated bonds. These instruments may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of high yield investments generally, and less secondary market liquidity. |
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| | | (Unaudited) September 30, 2015 |
| | • | index risk: the risk that a Fund’s return may not match or exceed the return of an index utilized by the Fund. In addition, a decline in the value of an index used by the Fund should be expected to reduce the overall total return of the Fund. Although each Adviser may license from an index’s sponsor the right to use an index as part of implementing the Fund’s principal investment strategies, there can be no guarantee that an index used by the Fund will be maintained indefinitely or that the Fund will be able to continue to utilize the index to implement the Fund’s principal investment strategies indefinitely. |
| | • | 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 each 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 each 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. It is unclear whether the protections of the securities laws against fraud and misrepresentation extend to loans and other forms of direct indebtedness. In the absence of definitive regulatory guidance, the Fund relies on the Adviser’s research in an attempt to avoid situations where fraud or misrepresentation could adversely affect the Fund. There can be no assurance that the Adviser’s efforts in this regard will be successful. |
| | • | 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 |
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| Notes to Financial Statements (Cont.) | | (Unaudited) September 30, 2015 |
| | 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 each adviser: the risk associated with each Fund’s ability to achieve its investment objective being dependent upon each Adviser’s ability to identify profitable investment opportunities for the Fund. While the portfolio managers of a Fund may have considerable experience in managing other portfolios with investment objectives, policies and strategies that are similar, the past experience of the portfolio managers does not guarantee future results for the Fund. |
| | • | securities or sector selection risk: the risk that the securities held by a Fund will underperform securities held in other funds investing in similar asset classes or comparable benchmarks because of the portfolio managers’ choice of securities or sectors for investment. 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 position risk: the risk that an increase in the value of an instrument with respect to which a Fund has established a short position will result in a loss to the Fund. |
| | • | 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. |
15. Recently Issued Accounting Pronouncements
In June 2014, the FASB issued Accounting Standards Update (“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.
In May 2015, the FASB issued ASU No. 2015-07, which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The guidance is effective for fiscal years beginning after December 15, 2015 and for interim periods within those years and early adoption is permitted.
Management is currently evaluating the implications of these changes and their impact on the financial statements.
16. Subsequent Events
In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. The Funds have determined there are no subsequent events that would need to be disclosed in the Funds’ financial statements.
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| Shareholder Expenses | | (Unaudited) September 30, 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 4/1/15 through 9/30/15.*
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.
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| | | | | | | | | | | | | Actual | | | Hypothetical
(5% return
before expenses) | |
| | | | | | | Fund’s
Annualized
Expense Ratio1 | | | Beginning
Account
Value | | | Ending
Account
Value
9/30/15 | | | Expenses
Paid During
Period*1 | | | Ending
Account
Value
9/30/15 | | | Expenses
Paid During
Period*1 | |
DoubleLine Total Return Bond Fund | | | | Class I | | | 0.47% | | | $ | 1,000 | | | $ | 1,012 | | | $ | 2.37 | | | $ | 1,023 | | | $ | 2.38 | |
| | | | | Class N | | | 0.72% | | | $ | 1,000 | | | $ | 1,010 | | | $ | 3.63 | | | $ | 1,021 | | | $ | 3.65 | |
DoubleLine Core Fixed Income Fund | | | | Class I | | | 0.46% | | | $ | 1,000 | | | $ | 995 | | | $ | 2.30 | | | $ | 1,023 | | | $ | 2.33 | |
| | | | | Class N | | | 0.71% | | | $ | 1,000 | | | $ | 994 | | | $ | 3.55 | | | $ | 1,022 | | | $ | 3.60 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | Class I | | | 0.88% | | | $ | 1,000 | | | $ | 971 | | | $ | 4.35 | | | $ | 1,021 | | | $ | 4.46 | |
| | | | | Class N | | | 1.13% | | | $ | 1,000 | | | $ | 969 | | | $ | 5.58 | | | $ | 1,019 | | | $ | 5.72 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | Class I | | | 0.97% | | | $ | 1,000 | | | $ | 929 | | | $ | 4.69 | | | $ | 1,020 | | | $ | 4.91 | |
| | | | | Class A | | | 1.22% | | | $ | 1,000 | | | $ | 928 | | | $ | 5.90 | | | $ | 1,019 | | | $ | 6.17 | |
DoubleLine Low Duration Bond Fund | | | | Class I | | | 0.44% | | | $ | 1,000 | | | $ | 1,003 | | | $ | 2.21 | | | $ | 1,023 | | | $ | 2.23 | |
| | | | | Class N | | | 0.69% | | | $ | 1,000 | | | $ | 1,003 | | | $ | 3.46 | | | $ | 1,022 | | | $ | 3.50 | |
DoubleLine Floating Rate Fund | | | | Class I | | | 0.64% | | | $ | 1,000 | | | $ | 1,004 | | | $ | 3.22 | | | $ | 1,022 | | | $ | 3.24 | |
| | | | | Class N | | | 0.89% | | | $ | 1,000 | | | $ | 1,003 | | | $ | 4.47 | | | $ | 1,021 | | | $ | 4.51 | |
DoubleLine Shiller Enhanced CAPE® | | | | Class I | | | 0.65% | | | $ | 1,000 | | | $ | 936 | | | $ | 3.16 | | | $ | 1,022 | | | $ | 3.29 | |
| | | | | Class N | | | 0.90% | | | $ | 1,000 | | | $ | 935 | | | $ | 4.37 | | | $ | 1,021 | | | $ | 4.56 | |
DoubleLine Flexible Income Fund | | | | Class I | | | 0.77% | | | $ | 1,000 | | | $ | 999 | | | $ | 3.86 | | | $ | 1,021 | | | $ | 3.90 | |
| | | | | Class N | | | 1.02% | | | $ | 1,000 | | | $ | 997 | | | $ | 5.11 | | | $ | 1,020 | | | $ | 5.16 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | Class I | | | 0.59% | | | $ | 1,000 | | | $ | 990 | | | $ | 2.94 | | | $ | 1,022 | | | $ | 2.99 | |
| | | | | Class N | | | 0.84% | | | $ | 1,000 | | | $ | 988 | | | $ | 4.19 | | | $ | 1,021 | | | $ | 4.26 | |
DoubleLine Long Duration Total Return Bond Fund | | | | Class I | | | 0.65% | | | $ | 1,000 | | | $ | 983 | | | $ | 3.23 | | | $ | 1,022 | | | $ | 3.29 | |
| | | | | Class N | | | 0.90% | | | $ | 1,000 | | | $ | 981 | | | $ | 4.47 | | | $ | 1,021 | | | $ | 4.56 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | Class I | | | 0.94% | | | $ | 1,000 | | | $ | 875 | | | $ | 3.26 | | | $ | 1,020 | | | $ | 4.76 | |
| | | | | Class N | | | 1.19% | | | $ | 1,000 | | | $ | 874 | | | $ | 4.12 | | | $ | 1,019 | | | $ | 6.02 | |
* Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The actual dollar amounts shown as expenses paid during the period for the DoubleLine Strategic Commodity Fund are multiplied by 135/365, which is based on the date of inception (May 18, 2015).
1 Reflects fee waiver and expense limitation arrangements in effect during the period.
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| | Semi-Annual Report | | September 30, 2015 | | 131 |
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| Evaluation of Advisory Agreement by the Boards of Trustees | | (Unaudited) September 30, 2015 |
DoubleLine Strategic Commodity Fund
At its February 2015 meeting, the Board of Trustees, including the Independent Trustees voting separately, approved the Investment Management Agreement (the “Advisory Agreement”) between DoubleLine Commodity LP and DoubleLine Funds Trust, in respect of the DoubleLine Strategic Commodity Fund (the “Fund”) for an initial two-year period from the date of its execution. At the February 2015 meeting, the Board of Trustees had received information regarding the proposed Advisory Agreement for the Fund, as well as a wide variety of information relating to the Board’s consideration of the renewal of the advisory agreements for the other, existing DoubleLine funds. In evaluating whether to approve the Fund’s Advisory Agreement, each Trustee considered the information he had received in his capacity as a Trustee of the other DoubleLine funds to the extent he determined that information relevant.
The Trustees’ determination to approve the Advisory 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 DoubleLine Funds Trust and counsel to the Independent Trustees.
In evaluating the proposed Advisory Agreement, the Trustees noted that a separate adviser had been established, DoubleLine Commodity LP, to advise the Fund due, in part, to the separate compliance obligations that the Adviser would be subject to as a “commodity pool operator” and, potentially, as a “commodity trading advisor” under the Commodity Exchange Act. In this regard, the Trustees considered representations made by representatives of DoubleLine Group LP (“DoubleLine Group”) regarding the resources that DoubleLine Group would commit to the Adviser and that the Adviser would enter into contractual arrangements to share certain personnel with DoubleLine Group, which arrangements would be substantially similar to the arrangements currently in place for DoubleLine Capital LP and DoubleLine Equity LP (“DoubleLine Equity”). The Trustees also considered information the Adviser provided regarding the differences in the ownership, management, and control of the Adviser as compared to the other DoubleLine-branded registered investment advisers, and noted that the proposed portfolio managers of the Fund would have significant ownership interests in the Adviser. The Trustees also discussed DoubleLine Group’s intention to hire an additional individual as part of the legal and compliance team for the Adviser who would assist with the additional compliance obligations under the Commodity Exchange Act, the rules and regulations of the U.S. Commodities Futures Trading Commission, and the rules and regulations of the National Futures Association.
The Trustees then considered the qualifications, experience, and responsibilities of the portfolio managers and other personnel who were proposed to be involved in the day-to-day activities of the Fund, as well as the anticipated difficulty of managing a commodities-related Fund. In this regard, the Trustees evaluated the performance record that certain of the proposed portfolio managers had achieved in managing accounts with investment strategies similar to those proposed for the Fund. The Trustees noted that the Fund’s proposed strategies might require the Adviser to invest in certain derivative instruments, which would add a level of complexity beyond managing a traditional equity or fixed income fund, and the Trustees evaluated the proposed portfolio management team’s experience with such investments. The Trustees also noted that the Adviser may obtain the Fund’s commodities-related exposure by investing in investments related to one or more commodities-related indices or components of a commodities-related index and that the Adviser was expected initially to bear the costs associated with securing any intellectual property rights necessary for the Adviser and Fund to so invest. The Trustees noted that certain of the Fund’s proposed investment exposures could be obtained without significant use of the Fund’s available cash and that, as a result, the Adviser may also be responsible for investing the Fund’s available cash in other investments, such as U.S. Government securities or other high-quality short-term fixed income instruments.
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 noted the Adviser’s representation that the proposed terms of the Advisory Agreement were substantially similar to the advisory agreement with DoubleLine Equity that the Board had approved in February 2013 with respect to the DoubleLine Equity Funds. The Trustees also considered the nature, extent, and structure of the compliance procedures the Adviser proposed to establish and their similarity to those employed in respect of the other DoubleLine funds 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 Advisory 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.
The Board considered the anticipated cost of the proposed services, and the proposed structure and level of the advisory fees to be paid under the Advisory 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 noted the Adviser’s representation that the proposed investment advisory fee was designed to cause the Fund to have a competitive fee structure at low assets levels. The Trustees also considered information provided by Strategic Insight comparing the proposed and anticipated fee levels for the Fund with those of certain peer funds. The Trustees noted that the information provided by Strategic Insight indicated that the DoubleLine Strategic Commodity Fund’s proposed advisory fee was above the median of the peer group shown but significantly below a number of the funds in the peer group and that the estimated net total expenses for Class I shares (after the effect of the proposed expense limitation) were above though near the median of the peer group.
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 at the Meeting and took into account both the likely direct and indirect
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| | | (Unaudited) September 30, 2015 |
benefits to the Adviser from managing the Fund. The Trustees took into account that the Adviser expected to make payments, from its own legitimate earnings and profits, for the rights to use a commodities-related index in connection with the management of the Fund, and that those payments would be made to an entity an affiliate of which may be active in the distribution of the Fund’s shares. In evaluating whether the proposed advisory fee might, through this arrangement, be viewed as having been paid indirectly for distribution services, the Trustees considered, among other things, the expected level of profitability of the advisory fee to the Adviser and the apparently competitive level of the advisory fee compared to peer funds. The Trustees noted other potential benefits received by the Adviser and its affiliates as a result of the Adviser’s relationship with the Trust, including possible ancillary benefits to the Adviser’s institutional investment management business due to the reputation and market penetration of the Funds. The Trustees also noted the information the Adviser provided regarding the substantial organizational expenses and fee waivers the Adviser expected to incur in respect of the Fund’s organization, registration and initial operations. The Trustees concluded that the Adviser’s estimated profit from managing the Fund would likely not be excessive in the start-up period. The Trustees concluded that it did not appear appropriate at this time to consider the implementation of breakpoints in the investment advisory fees.
The Trustees noted that due to tax rules applicable to companies seeking to qualify as regulated investment companies, the Adviser had formed a subsidiary organized as a Cayman Islands exempted company in order to obtain the Fund’s desired investment exposure without eliminating the Fund’s ability to qualify as a regulated investment company under the Internal Revenue Code. The Trustees evaluated the advisory arrangements for the subsidiary generally in the same manner as they had considered the advisory arrangements for the Fund.
On the basis of these considerations and others and in the exercise of their business judgment, the Trustees determined to approve the Advisory Agreement for the proposed initial term.
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| | Semi-Annual Report | | September 30, 2015 | | 133 |
| | |
| Federal Tax Information | | (Unaudited) September 30, 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% | |
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| 134 | | DoubleLine Funds Trust | | | | |
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| | | (Unaudited) September 30, 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.
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| | Semi-Annual Report | | September 30, 2015 | | 135 |
| | |
| Information About Proxy Voting | | (Unaudited) September 30, 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 website at http://www.sec.gov.
Information About Portfolio Holdings
It is the policy of the Trust to provide certain unaudited information regarding the portfolio composition of the Funds as of month-end to shareholders and others upon request to the Funds, beginning on the 15th calendar day after the end of the month (or, if not a business day, the next business day thereafter).
Shareholders and others who wish to obtain portfolio holdings for a particular month may make a request by contacting the Funds at no charge at 877-DLine11 (877-354-6311) between the hours of 7:00 a.m. and 5:00 p.m. Pacific time, Monday through Friday, beginning on the 15th day following the end of that month (or, if not a business day, the next business day thereafter). Requests for portfolio holdings may be made on a monthly basis pursuant to this procedure, or standing requests for portfolio holdings may be accepted.
The Trust is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Form N-Q. The Trust’s Forms N-Q are available on the SEC website at www.sec.gov. You can also review and obtain copies of the Forms N-Q at the SEC Public Reference Room in Washington, DC (information on the operation of Public Reference Room may be obtained by calling 1-800-SEC-0330).
Householding — Important Notice Regarding Delivery of Shareholder Documents
In an effort to conserve resources, the Funds intend to reduce the number of duplicate Prospectuses and Annual and Semi-Annual Reports you receive by sending only one copy of each to addresses where we reasonably believe two or more accounts are from the same family. If you would like to discontinue householding of your accounts, please call toll-free 877-DLine11 (877-354-6311) to request individual copies of these documents. We will begin sending individual copies thirty days after receiving your request to stop householding.
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| 136 | | DoubleLine Funds Trust | | | | |
| | |
| Privacy Notice | | (Unaudited) September 30, 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.
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| | Semi-Annual Report | | September 30, 2015 | | 137 |
| | | | |
DoubleLine Capital LP DoubleLine Commodity LP | | 333 South Grand Avenue 18th Floor Los Angeles, CA 90071 doubleline.com | | fundinfo@doubleline.com 1. 213. 633. 8200 |
Investment Advisers:
DoubleLine Capital LP and
DoubleLine Commodity 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-SEMI-DFT
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
| (a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive and principal financial officers have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this |
| | report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
| | (2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith. |
| | (3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies. |
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | |
| (Registrant) | | DoubleLine Funds Trust |
| | |
| |
| By (Signature and Title) | | /s/ Ronald R. Redell |
| | Ronald R. Redell, President |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By (Signature and Title) | | /s/ Ronald R. Redell |
| | Ronald R. Redell, President |
| | |
| |
| By (Signature and Title) | | /s/ Susan Nichols |
| | Susan Nichols, Treasurer and Principal Financial and Accounting Officer |
