As filed with the Securities and Exchange Commission on June 2, 2017
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22378
DoubleLine Funds Trust
(Exact name of registrant as specified in charter)
333 South Grand Avenue, Suite 1800
Los Angeles, CA 90071
(Address of principal executive offices) (Zip code)
Ronald R. Redell
President
DoubleLine Funds Trust
333 South Grand Avenue, Suite 1800
Los Angeles, CA 90071
(Name and address of agent for service)
(213) 633-8200
Registrant’s telephone number, including area code
Date of fiscal year end: March 31
Date of reporting period: March 31, 2017
Item 1. Reports to Stockholders.
Annual Report
March 31, 2017
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)
DoubleLine Global Bond Fund
DBLGX (I-share)
DLGBX (N-share)
DoubleLine Infrastructure Income Fund
BILDX (I-share)
BILTX (N-share)
DoubleLine Ultra Short Bond Fund
DBULX (I-share)
DLUSX (N-share)
DoubleLine Shiller Enhanced International CAPE®
DSEUX (I-share)
DLEUX (N-share)
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DoubleLine Capital LP DoubleLine Alternatives LP | | 333 S. Grand Avenue 18th Floor Los Angeles, California 90071 doubleline.com |
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| | Annual Report | | March 31, 2017 | | 3 |
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| President’s Letter | | (Unaudited) March 31, 2017 |
Dear DoubleLine Funds Shareholder,
On behalf of the DoubleLine Funds, I am pleased to deliver the Annual Report for the 12-month period ended March 31, 2017. 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.
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 where our investment management team offers deeper insights and analysis on relevant capital market activity impacting investors today. We value the trust that you have placed with us, and we will continue to strive to offer thoughtful investment solutions to our shareholders.
Sincerely,
Ronald R. Redell, CFA
President
DoubleLine Funds Trust
May 1, 2017
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| Financial Markets Highlights | | (Unaudited) March 31, 2017 |
| · | | Agency Mortgage-Backed Securities (Agency MBS) |
For the 12-month period ended March 31, 2017, the Bloomberg Barclays U.S. MBS Index returned 0.17%, with its duration extending from 3.06 to 4.97 years. During the period, U.S. Treasury yields increased across the curve, with 2-year yields increasing by about 0.53% to 1.26% and 10-year yields increasing by about 0.62% to 2.39%. In aggregate, prepayment speeds declined year-over-year (YoY), mostly due to the selloff in rates towards the end of the year. Despite this, 2016 as a whole showed higher prepayment activity relative to 2015 due to 30-year mortgage rates (based on Freddie Mac 30-year U.S. Commitment Rates) nearing their historic lows during the summer months. Not surprisingly, as a result of the lower rate environment in the middle of 2016, overall refinancing activity, as measured by Mortgage Bankers Association (MBA) U.S. Refinancing Index Seasonally-Adjusted, generally was at local highs. Additionally, overall housing turnover increased, with purchase activity reaching levels not seen since late 2009 according to the MBA Purchase Index Seasonally-Adjusted. As a result of higher prepayment speeds for most of 2016, there was higher total gross Agency MBS issuance relative to 2015 by about 17%. Current coupon spreads against 5-year and 10-year U.S. Treasuries tightened as demand by both domestic banks and overseas investors increased for the period, with the Federal Reserve (Fed) continuing to reinvest paydowns of mortgages on its balance sheet.
| · | | Non-Agency Mortgage-Backed Securities (Non-Agency MBS) |
For the 12-month period ended March 31, 2017, non-Agency MBS spreads continued to tighten since the February 2016 widening in spreads. The tightening in non-Agency MBS spreads occurred in conjunction with a tightening in credit spreads in general (including for Investment Grade Corporate, High Yield (HY), and Structured Products). Contributing to the spread tightening is an improvement in housing fundamentals, primarily home price appreciation and the technicals of the non-Agency MBS market, where no new securities have been created since the financial crisis, leading to a supply and demand imbalance.
| · | | Commercial Mortgage-Backed Securities (CMBS) |
For the 12-month period ended March 31, 2017, new issue CMBS spreads tightened alongside broader credit and equity indices. While the first quarter of 2016 saw meaningful widening on low oil prices and macro uncertainty, the fourth quarter of 2016 and the first quarter of 2017 saw meaningful tightening in credit, largely led by a risk-on sentiment post-election. The Bloomberg Barclays U.S. CMBS Index ERISA Eligible Total Return Value returned 0.59%, outperforming the broader Bloomberg Barclays U.S. Aggregate Bond Index return of 0.44%. For the period, 10-year AAA last cash flows (LCFs) tightened by 0.34% to 0.94% over swaps, while BBB- bonds tightened by 2.25% to 4.40% over swaps. On the new issue front, private label CMBS issuance was down 22% year-over-year (YoY) as issuers grappled with how best to implement the relatively new risk retention rules while facing increased competition from private capital lenders. $45.7 billion in new issuance priced during the 12-month reporting period compared to $58.1 billion from April 2015 through March 2016. The Trepp CMBS Delinquency Rate for U.S. Commercial Real Estate loans has moved higher in 11 of the 13 month-period ended March 31, 2017 and ended the period at 5.37%, 1.15% higher YoY, as 10-year loans originated in 2006/2007 face difficulty refinancing at maturity.
| · | | Emerging Markets (EM) Debt |
For the 12-month period ended March 31, 2017, U.S. dollar (USD)-denominated EM fixed income sovereign and corporate bonds indices, represented by the JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified and the JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified 1-3 Year, respectively, posted high single-digit returns. Improved commodity prices, dissipating concerns of policy instability in China, and rising global growth data, led credit spreads across both the sovereign and corporate index to tighten. High Yield (HY) credits outperformed their Investment Grade counterparts due to improved risk sentiment over the period.
| · | | International Sovereign |
For the 12-month period ended March 31, 2017, the Citi World Government Bond Index (WGBI) fell -3.65% driven by both rising global yields and foreign exchange (FX) devaluation relative to the USD. Global government yields generally rose over the period on improving economic data, firming inflation expectations globally and concerns about potentially reduced monetary accommodation from central banks going forward.
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| | Annual Report | | March 31, 2017 | | 5 |
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| Financial Markets Highlights (Cont.) | | (Unaudited) March 31, 2017 |
| · | | Investment Grade (IG) Credit |
For the 12-month period ended March 31, 2017, investment grade credit, as measured by the Bloomberg Barclays U.S. Credit Index, recorded a total return of 2.96% and an excess return over duration-matched U.S. Treasuries of 4.60%, with spreads tightening by 0.43%, from 1.55% over U.S. Treasuries to 1.12%. The largest outperformance came from the Energy and Metals and Mining sectors. Energy was up 11.42% and Metals and Mining was up 17.02%. The worst performing sectors were Tobacco and Supra-nationals, down 0.3% and 0.21%, respectively. The new issue market during this period was very active with $1.5 billion of gross new issuance.
For the 12-month period ended March 31, 2017, the S&P/LSTA Leverage Loan Index returned 9.72%. There was notable outperformance at the lower end of the credit quality spectrum, as the CCC subindex rose 36% compared to returns of 10% for the single-B subindex and 6% for the BB subindex. Commodity-related sectors showed the strongest performance, with returns of 60% for Oil & Gas and 59% for Nonferrous Metals-Minerals. The weighted-average bid price of the S&P/LSTA Leverage Loan Index ended the period at 98.22, up significantly from 91.51 in March 2016. The default rate by principal amount declined from 1.75% in March 2016 to 1.49% at the end of the period.
For the 12-month period ended March 31, 2017, the Citi High-Yield Cash-Pay Capped Index returned 16.33%. Bonds with lower credit ratings far outpaced those with higher ratings, with CCC-rated issues returning 33.45%, while BB- and B-rated rated issues returned 14.34%. For the period, notable outperformers by industry were commodity-related and included Energy, Metals & Mining and Industrials. The underperforming sectors over the period were Pharmaceuticals, Textiles and Retail.
| · | | Collateralized Loan Obligations (CLOs) |
For the 12-month period ending March 31, 2017, CLO issuance was $81.4 billion, largely due to a rebound from the beginning of the period through the end of 2016, totaling $64 billion. The most active quarter of issuance was during the fourth quarter of 2016 as the Dodd-Frank Risk Retention rule’s effective date of December 24, 2016 approached. Issuance for the first quarter of 2017 started off slowly as the market was still absorbing all the supply from the fourth quarter of 2016. Risk Retention went effective on December 24, 2016 so all deals issued afterward will have to comply with Risk Retention rules. After a slow January 2017 issuance, managers issued more deals in February. In total, the period ended with $17.38 billion in issuance. Coming off the volatility in spreads at the beginning of the period, spreads compressed and ended the period near the all-time tightest spreads across the capital stack. Refinancing activity has also been at historically high levels as managers are trying to bring down their cost of debt and take advantage of the tighter spreads during the period.
For the 12-month period ended March 31, 2017, Global Equities, as measured by the Morgan Stanley Capital International (MSCI) All Country World Index (MSCI ACWI), was up 15.70%. U.S. equities performed better with the S&P 500® Index returning 17.17% during the period. European equities outperformed the broader market, with the Eurostoxx 50 Index returning 21.42%. Asian equity markets posted positive returns, with Japanese equities, as measured by the Nikkei 225 Index, up 14.87%, and Chinese equities, as measured by the Shanghai Composite Index, up 9.50%. EM equities, as measured by the MSCI Emerging Markets Index (MSCI EM), outperformed the broader market, up 17.63% over the period.
For the 12-month period ended March 31, 2017, the commodity market rallied by 8.01% and 8.28%, as measured by the S&P Goldman Sachs Commodity Index (GSCI) and the Bloomberg Commodity Index (BCOM), respectively. The Industrial Metals sector was the best performer over this period, gaining 25.50% as fears of a global recession were found to be untrue. The Energy sector rallied 13.26% as prices recovered from large declines caused by a supply glut in early 2016. The Precious Metals sector, which returned 1.34% was mixed as Gold declined by 0.30% while Silver rallied 15.54%. The Agriculture sector declined by 5.74% as Wheat and Kansas Wheat declined significantly, with returns of -22.92% and -26.82%, respectively. The Livestock sector fell 6.18% with Lean Hogs, Live Cattle and Feeder Cattle all declining by 16.17%, 0.52% and 5.73%, respectively.
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| | | (Unaudited) March 31, 2017 |
For the 12-month period ended March 31, 2017, infrastructure debt was robust, with new issuance totaling over $120 billion financing power, transport, telecom and renewable assets. Performance has been bifurcated with the energy sector outperforming the transport, telecom and power sectors. The entire energy complex was fraught with volatility in 2016. The sharp sell-off in the sector in the first quarter of 2016 was followed by a strong rebound into 2017. Unsurprisingly, mid-stream and down-stream energy issues were the strongest performers during this period. Sectors regarded as traditionally less volatile, such as utilities, underperformed the Bloomberg Barclays U.S. Credit Index during this time. The Bank of America/Merrill Lynch U.S. Utility Index returned 2.58% over the period compared to 2.96% of the Bloomberg Barclays U.S. Credit Index. During the same time frame, the transport sector fared better, as evidenced by the Bank of America/Merrill Lynch U.S. Transport Index, producing a return of 3.33%.
| · | | Asset-Backed Securities (ABS) |
For the 12-month period ending March 31, 2017, ABS performed well notwithstanding some sector specific volatility experienced by the student loan and the consumer loan space. The Bloomberg Barclays U.S. ABS Index outperformed the broader Bloomberg Barclays U.S. Aggregate Bond Index by 0.76% over the period despite some concerns over collateral deterioration. Both the marketplace lending sector and auto loan market suffered upticks in delinquencies over the period with a number of marketplace lending deals hitting early amortization triggers as losses mounted. Stronger issuer names, however, were somewhat immune to this trend as new issue pricing levels remained high as investors continued to seek attractive yield opportunities in the space. Federal Family Education Loan Program student loan deals also faced increased volatility over the period as rating agencies continued to downgrade deals that extended beyond the stated legal maturity date due to slower than expected prepayments and higher loan modification and defaults for loans predominately made during the crisis. The student loan subsector has since bounced back from the widest spreads as investors digested the downgrades, with most becoming comfortable with the low credit risk of the deals which are, at a minimum, 97% backed by the federal government.
| · | | U.S. Large Cap Equities |
For the 12-month period ended March 31, 2017, the large capitalization U.S. equity market posted strong gains, with the S&P 500 Index gaining 17.17% including dividends. There were two key inflection points for equities in 2016: the early July bottom in U.S. Treasury yields and the U.S. Presidential Election. Leading up to the U.S. Presidential Election, large capitalization stocks were up modestly as reflected in the 5.2% total return of the S&P 500 Index. Following the election, stocks staged a strong rally, with the S&P 500 Index gaining 11.4% from Election Day through the end of the period. Earlier in the period, however, the bottoming in U.S. Treasury yields and inflation expectations in July sparked a rotation in the market away from defensive and yield-oriented sectors, such as Utilities and Staples, towards more cyclical sectors, such as Financials and Technology. For the period ended March 31, 2017, Financials were the best returning sector, gaining over 32.6%. Technology, Materials and Industrials also outperformed the broader market, gaining 22.5%, 19.5% and 20.0%, respectively. The weakest sectors in the year ended March 31, 2017 were Real Estate, Staples and Utilities. These three sectors all delivered positive total returns, gaining 2.4%, 5.7% and 7.1%, respectively.
| · | | U.S. Government Securities |
For the 12-month period ended March 31, 2017, two major event risks loomed large over the U.S. Treasuries market: the Brexit Vote and the U.S. Presidential Election. Both produced heavily volatile episodes in the market, where trading volumes spiked. The significance of the latter was more pronounced, since it ended the “lower for longer” mantra and validated the belief that the U.S. Treasuries market was over its turning point. The U.S. Treasuries market was largely treading water from March 2016 through the eve of the Brexit Vote. Amid the fallout of the surprising Brexit Vote result, the yield on 10-year U.S. Treasuries dropped roughly 0.40%, reaching a historically low point of 1.36% on July 8, 2016. It then started a slow recovery process, until now-President Trump’s surprising U.S. Presidential election win ignited severe sell-offs. Yields were hence pushed to elevated levels and then fluctuated from the new base line. More recent developments near the end of the period showed signs that, for the first time in a while, the market may believe in Fed guidance again.
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| | Annual Report | | March 31, 2017 | | 7 |
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| Management’s Discussion of Fund Performance | | (Unaudited) March 31, 2017 |
DoubleLine Total Return Bond Fund
For the 12-month period ended March 31, 2017, the DoubleLine Total Return Bond Fund outperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 0.44%. U.S. Treasury yields increased across the curve, with 2-year yields increasing by 0.53% and 10-year yields increasing by 0.62%. Due to the increasing interest rate environment, Agency MBS broadly suffered from price declines during this period. Not surprisingly, the longer duration sectors such as inverse floating rate securities and principal-only securities suffered the most from price declines. From an absolute return standpoint, Agency pass-throughs were the best performers within the Agency side of the portfolio. Amongst non-Agency MBS, higher credit quality sectors, such as Prime and Alt-A, were the highest contributors to total return; both sectors benefited from modest price appreciation and robust interest carry. CLOs contributed positively to returns as spreads tightened. CMBS contributed positively to returns despite facing some minor price declines as high coupon returns offset those declines during the period. Additionally, ABS contributed positively to returns driven primarily by high interest carry.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 1.46% | |
N-Share | | | | | | | 1.21% | |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | 0.44% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Core Fixed Income Fund
For the 12-month period ended March 31, 2017, the DoubleLine Core Fixed Income Fund outperformed the Bloomberg Barclays U.S. Aggregate Bond Index largely due to a rebound in credit markets. A bull market in spread products resumed after the turmoil and uncertainty of February 2016 quickly fell to the background, demonstrated specifically in the HY and EM exposures. A bounce from the local lows in oil benchmarks helped the fundamental picture improve within both of these sectors. CLOs contributed positively to returns over the period due to the appetite for floating rate products increasing as the Fed’s hawkish tone took ahold of forward-looking short-term rates. Bank Loans were also benefactors of the change in risk appetite and demand for floating products. CMBS and Infrastructure Debt added significant risk-adjusted returns. U.S. Treasury yield curve movements during the period supported Fund performance relative to longer duration funds and benchmarks.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 2.80% | |
N-Share | | | | | | | 2.54% | |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | 0.44% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Emerging Markets Fixed Income Fund
For the 12-month period ended March 31, 2017, the DoubleLine Emerging Markets Fixed Income Fund outperformed the JP Morgan EMBI Global Diversified. The Fund’s outperformance was in large part driven by the Fund’s allocation to lower duration credits ahead of the November U.S. Presidential Election. Following the election, 10-year U.S. Treasury yields rose 0.75%, hitting a 2-year high on December 15, 2016, and subsequently traded within a 0.31% range through the end of the period. The Fund began extending the duration of the portfolio in January to more closely match the duration of the EMBI and was less than 0.5 years shorter by the end of the period. The Fund’s outperformance was also driven by an overweight position in Latin American credits relative to the EMBI, which outperformed CEEMEA (Central and Eastern Europe, Middle East, and Africa) and Asia over the period. The rebound in commodity prices from the early 2016 lows and an improved global growth outlook boosted investors’ appetites for emerging markets credit.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 13.19% | |
N-Share | | | | | | | 12.91% | |
JP Morgan EMBI Global Diversified | | | | | | | 8.92% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
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| | | (Unaudited) March 31, 2017 |
DoubleLine Multi-Asset Growth Fund
For the 12-month period ended March 31, 2017, the DoubleLine Multi-Asset Growth Fund significantly outperformed the Blended Benchmark return of 5.35%. The equity sleeve contributed to performance with Global Equities as measured by the MSCI ACWI up 15.70%. Tactical positions in Real Estate Investment Trusts (REITs), banks, and EM contributed to performance. The fixed income sleeve outperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 0.44%. Positions in Agency and non-Agency MBS contributed to relative performance. EM and CLOs also contributed to performance during the period. Real Assets and currencies detracted from performance during the period.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 14.63% | |
A-Share | | | | | | | | |
Without Load | | | | | | | 14.27% | |
With Load | | | | | | | 9.41% | |
S&P 500® Index TR | | | | | | | 17.17% | |
Blended Benchmark* | | | | | | | 5.35% | |
| * | Blended Benchmark: 60% Bloomberg Barclays U.S. Aggregate Bond Index/25% MSCI ACWI Net/15% S&P Goldman Sachs Commodity Index (GSCI) Total Return |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Low Duration Bond Fund
For the 12-month period ended March 31, 2017, the DoubleLine Low Duration Bond Fund outperformed the Bank of America/Merrill Lynch 1-3 Year U.S. Treasury Index return of 0.25%, largely due to a combination of credit exposure and advantageous interest rate risk management. A bounce from the local lows in oil benchmarks helped the fundamental picture improve within EM and IG Credit. CLOs contributed positively to the Fund’s returns over the period due to the appetite for floating rate products increasing as the Fed’s hawkish tone took a hold of rates in July. CMBS in the Fund had a strong year investing in short duration bonds with relatively high coupons. MBS, U.S. Treasuries, and Bank Loans also contributed positively to returns for the period. In fact, every sector within the Fund finished the year positively.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 2.99% | |
N-Share | | | | | | | 2.64% | |
Bank of America/Merrill Lynch 1-3 Year U.S. Treasury Index | | | | | | | 0.25% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Floating Rate Fund
For the 12-month period ended March 31, 2017, the DoubleLine Floating Rate Fund underperformed the S&P/LSTA Leveraged Loan Index return of 9.72%. The Fund maintained a defensive posture in this period that detracted from overall performance given the strong market backdrop. Market returns were driven by strength at the low-end of the credit spectrum, with the CCC-only component of the Index returning 35.57% and the second lien component of the Index returning 26.81% relative to the overall Index return of 9.72%. The Fund was underweight both of these segments of the market. Moreover, the best performing sectors in the Index were commodity-linked Oil & Gas and Nonferrous Metals-Minerals, which returned 60% and 59%, respectively, and the Fund was generally underweight these sectors.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 4.99% | |
N-Share | | | | | | | 4.73% | |
S&P/LSTA Leveraged Loan Index | | | | | | | 9.72% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
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| | Annual Report | | March 31, 2017 | | 9 |
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| Management’s Discussion of Fund Performance (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Shiller Enhanced CAPE®
For the 12-month period ended March 31, 2017, DoubleLine Shiller Enhanced CAPE® outperformed the S&P 500 Index return of 17.17%. This relative outperformance was due to both the outperformance of the Shiller Barclays CAPE® U.S. Sector Total Return USD Index (the “Index”) and DoubleLine’s implementation of the Fund’s fixed income portfolio. During the period, the Index returned 22.87%. This was 5.70% better than the S&P 500 Index, while the Fund’s total return exceeded the benchmark by 7.58%. The Index was exposed to the following six sectors during parts of the period: Consumer Discretionary, Consumer Staples, Energy, Healthcare, Industrial, and Technology. All six sectors experienced positive returns while constituents of the Index. The best performing sector exposure was Technology, followed by Industrials and Consumer Discretionary. The fixed income portfolio also contributed to total return, with every sector delivering positive returns. The fixed income sectors with the highest returns during the period were, in order, CMBS, CLOs, EM and MBS.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 24.75% | |
N-Share | | | | | | | 24.48% | |
S&P 500® Index | | | | | | | 17.17% | |
Shiller Barclays CAPE® U.S. Sector Total Return USD Index | | | | | | | 22.87% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Flexible Income Fund
For the 12-month period ended March 31, 2017, the DoubleLine Flexible Income Fund outperformed the LIBOR USD 3-Month, largely due to a combination of credit exposure and advantageous interest rate risk management. A bull market in spread products resumed after the turmoil and uncertainty of February 2016 quickly fell to the background. This was most acutely evidenced by the stellar returns for the Fund’s HY and EM exposures. A rebound from the local lows in oil benchmarks helped the fundamental picture improve within both of these sectors. CLOs contributed positively to returns over the period due to an increased appetite for floating rate product as the Fed’s hawkish tone took ahold of forward-looking short-term rates. Residential MBS (RMBS), CMBS, and ABS were also steady and positive contributors to returns over the period adding significant risk-adjusted returns. Fund duration remained well below 2.5 years over the period.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 6.48% | |
N-Share | | | | | | | 6.23% | |
LIBOR* USD 3 Month | | | | | | | 0.83% | |
| * | 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
For the 12-month period ended March 31, 2017, the DoubleLine Low Duration Emerging Markets Fixed Income Fund outperformed the JP Morgan CEMBI Broad Diversified 1-3 Year. The Fund’s positive performance was driven by an overweight position in Latin American credits relative to the JP Morgan CEMBI Broad Diversified 1-3 Year, which outperformed CEEMEA and Asia over the period. The rebound in commodity prices from the early 2016 lows and an improved global growth outlook boosted investors’ appetites for emerging market sovereign and corporate credit. This led to inflows into the EM dollar-denominated fixed income asset class, helping spreads tighten, which more than offset the rise in front-end U.S. Treasury yields.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 5.95% | |
N-Share | | | | | | | 5.69% | |
JP Morgan CEMBI Broad Diversified 1-3 Year | | | | | | | 5.65% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
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| 10 | | DoubleLine Funds Trust | | | | |
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| | | (Unaudited) March 31, 2017 |
DoubleLine Long Duration Total Return Bond Fund
For the 12-month period ended March 31, 2017, the DoubleLine Long Duration Total Return Bond Fund underperformed the Bloomberg Barclays Long U.S. Government/Credit Index return of 0.98%. U.S. Treasury yields increased across the curve during this time with 2-year yields increasing by about 0.53%, 10-year yields increasing by about 0.62%, and 30-year yields increasing by about 0.40%. The underperformance was largely due to the lack of corporate credit exposure within the Fund as U.S. Corporate spreads tightened significantly during this time (based on Bloomberg Barclays Long U.S. Corporate OAS Index). Within the Fund, the U.S. Government exposure performed the best with its mix of Treasury Inflation-Protected Securities, Agency Debentures, and conventional U.S. Treasuries. The relative outperformance between MBS and U.S. Government positions was due to differing exposures to the yield curve, with the Government exposure primarily exposed to a longer portion of the curve relative to MBS. The Fund ended the period with a positive convexity profile for both the MBS and Government sectors.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | -2.82% | |
N-Share | | | | | | | -3.08% | |
Bloomberg Barclays U.S. Long Government/Credit Index | | | | | | | 0.98% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Strategic Commodity Fund
For the 12-month period ended March 31, 2017, the DoubleLine Strategic Commodity Fund underperformed the S&P GSCI return of 8.01% and the BCOM return of 8.28%. The Fund was exposed to both long-only commodity beta through the Morgan Stanley Backwardation-Focused Multi-Commodity Index (MS BFMCI) and the DoubleLine Commodity Long Short alpha strategy during the period, which returned 13.62% and -1.01%, respectively. The Fund’s slight underperformance relative to the BCOM was caused by the allocation between the beta and alpha strategies. As of the end of the reporting period, the Fund was fully collateralized by U.S. Treasury bills, which added incremental return over the period.
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| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | 7.93% | |
N-Share | | | | | | | 7.55% | |
Bloomberg Commodity Index Total Return | | | | | | | 8.71% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Global Bond Fund
For the 12-month period ended March 31, 2017, the DoubleLine Global Bond Fund underperformed the WGBI return of -3.65%. The negative performance was driven by both rising global yields and FX devaluation relative to the USD. Global government yields generally rose over the period on improving economic data and firming inflation expectations globally, as well as concerns about potentially reduced monetary accommodation from central banks going forward. The USD, as indicated by the U.S. Dollar Index (DXY), rose over the period and peaked at the end of the 2016 on heightened reflationary expectations following the U.S. Presidential Election. The USD then gave back some of those gains in the first quarter 2017 on the lack of a concrete fiscal reform plan from the new Trump Administration and the failure to pass a healthcare reform bill.
| | | | | | | | |
| Period Ended 3-31-17 | | | | | 1-Year | |
I-Share | | | | | | | -4.00% | |
N-Share | | | | | | | -4.31% | |
Citi World Government Bond Index (WGBI) | | | | | | | -3.65% | |
For additional performance information, please refer to the “Standardized Performance Summary.”
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| | Annual Report | | March 31, 2017 | | 11 |
| | |
| Management’s Discussion of Fund Performance (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Infrastructure Income Fund
For the period since inception on April 1, 2016 through March 31, 2017, the DoubleLine Infrastructure Income Fund outperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 0.48%. The period was marked with increased volatility due to geopolitical forces which pushed U.S. interest rates higher and investment grade corporate spreads to tighter levels as investors sought safer assets. Within the Fund, the best performing assets were EM as international railroad and utility positions benefited from the bond market rally. ABS additionally contributed strong returns, boosted by positive performance from solar and aircraft exposure. Infrastructure benefited from strong technicals early in 2017 as new issue supply in Infrastructure-related deals lagged other ABS issuance, which resulted in increasing valuations. Other domestic infrastructure positions contributed mixed returns with some sectors, such as water and telecommunications, underperforming while gas and utility related positions outperformed over the period.
| | | | | | | | |
| Period From 4-1-16 through 3-31-17 | | | | | Since Inception* (Not Annualized) | |
I-Share | | | | | | | 3.11% | |
N-Share | | | | | | | 2.76% | |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | 0.48% | |
| * | Inception Date of 4-1-2016 |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Ultra Short Bond Fund
For the period since inception on June 30, 2016 through March 31, 2017, the DoubleLine Ultra Short Bond Fund’s Class I shares outperformed the Bank of America/Merrill Lynch 3-Month Treasury Bill Index return of 0.28% (not annualized), while the N shares underperformed. The outperformance was attributable to the allocation to corporate floating-rate notes and thus credit risk with the benefit of rising LIBOR rates. The Fund’s credit holdings were overweight the Bank and Automotive sectors, which both outperformed the Bloomberg Barclays U.S. Credit Index.
| | | | | | | | |
| Period From 6-30-16 through 3-31-17 | | | | | Since Inception* (Not Annualized) | |
I-Share | | | | | | | 0.36% | |
N-Share | | | | | | | 0.20% | |
Bank of America/Merrill Lynch 3-Month Treasury Bill Index | | | | | | | 0.28% | |
| * | Inception Date of 6-30-2016 |
For additional performance information, please refer to the “Standardized Performance Summary.”
DoubleLine Shiller Enhanced International CAPE®
For the period since inception on December 23, 2016 through March 31, 2017, DoubleLine Shiller Enhanced International CAPE® earned returns roughly in line with the MSCI Europe Net Return USD Index return of 8.77%. In addition to the positive equity market returns of both the benchmark and the Shiller Barclays CAPE® Europe Sector Net TR Index, which returned 9.75%, the appreciation of the Euro relative to the USD and positive fixed income collateral performance contributed to the returns of the Fund.
| | | | | | | | |
| Period From 12-23-16 through 3-31-17 | | | | | Since Inception* (Not Annualized) | |
I-Share | | | | | | | 8.76% | |
N-Share | | | | | | | 8.72% | |
MSCI Europe Net Return USD Index | | | | | | | 8.77% | |
| * | Inception Date of 12-23-2016 |
For additional performance information, please refer to the “Standardized Performance Summary.”
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| 12 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
Past Performance is not a guarantee of future results.
Opinions expressed herein are as of March 31, 2017 and are subject to change at any time, are not guaranteed and should not be considered investment advice. 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.
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.
Mutual fund investing involves risk. Principal loss is possible.
Investments in securities related to real estate may decline in value as a result of factors affecting the real estate industry.
Investments in debt securities typically decline in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. The Funds may invest in foreign securities (or derivatives which give exposure to foreign securities) which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater for investments in emerging markets. Investments in lower rated and non-rated securities present a greater risk of loss to principal and interest than higher rated securities. 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.
In addition, the Funds may invest in other asset classes and investments such as, among others, REITs, credit default swaps, short sales, derivatives and smaller companies which include additional risks.
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.
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. Exchange-traded fund 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 Investors Service, Inc. (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 S&P Global Ratings (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 Organization (“NRSRO”, generally S&P, Moody’s and Fitch Ratings, Inc.). 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.
Bank of America/Merrill Lynch 3 Month Treasury Index—This index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
Bank of America/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.
Bank of America/Merrill Lynch U.S. Transport Index—This index is a subset of The BofA Merrill Lynch US Corporate Index including all securities of Airline, Railroad and other Transportation issuers. The index consists of publically issued US corporate debt that meet the specified maturity, liquidity, and quality requirements.
Bank of America/Merrill Lynch U.S. Utility Index—This index is a subset of The BofA Merrill Lynch US Corporate Index including all securities of Electric and Gas distribution, transmission, generation and integration. The index consists of publically issued US corporate debt that meet the specified maturity, liquidity, and quality requirements.
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.
Bloomberg Barclays Long U.S. Corporate OAS Index—The option-adjusted spread of the Barclays Long U.S. Corporate Index, which includes dollar-denominated debt from U.S. and non-U.S. industrial, utility, and financial institutions issuers with a duration of 10+ years.
Bloomberg Barclays U.S. ABS Index—This index represents the ABS component of the Bloomberg Barclays U.S. Aggregate Index. It includes securities whose value and income payments are derived from and collateralized (‘or backed”) by a specified pool of underlying assets including credit cards, auto loans, etc.
Bloomberg 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.
Bloomberg Barclays U.S. Credit Index—This index is the US Credit component of the US Government/Credit Index and consists of publically issued US corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. The US Credit Index is the same as the former US Corporate Investment Grade Index.
Bloomberg Barclays U.S. CMBS Index ERISA Eligible Total Return Value—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, and includes only ERISA-eligible CMBS.
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| | Annual Report | | March 31, 2017 | | 13 |
| | |
| Management’s Discussion of Fund Performance (Cont.) | | (Unaudited) March 31, 2017 |
Bloomberg 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.
Bloomberg 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).
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.
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.
Citi World Government Bond Index (WGBI)—This index measures the performance of fixed-rate, local currency, investment grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. The WGBI provides a broad benchmark for the global sovereign fixed income market. Sub-indices are available in any combination of currency, maturity, or rating.
Convexity—A measure of the curvature in the relationship between bond prices and bond yields that demonstrates how the duration of a bond changes as the interest rate changes. Convexity is used as a risk-management tool, and helps to measure and manage the amount of market risk to which a portfolio of bonds is exposed.
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 Index—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.
Freddie Mac U.S. 30-year Commitment Rates—The interest rate charged by Freddie Mac to lend money to a qualified borrower on a 30-year fixed-rate mortgage loan.
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—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.
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 Backwardation Focused Multi-Commodity Index (MS BFMCI)—An index comprised of futures contracts selected based on (i) the contracts’ historical backwardation relative to other commodity-related futures contracts and (ii) the contracts’ historical liquidity. The sectors represented in the index (industrial metals, energy and agricultural/livestock) have been selected to provide diversified exposure. The index is typically re-balanced annually in January.
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 (MSCI) Europe Net Return USD Index—The Index is part of the Modern Index Strategy and represents the performance of large and mid-cap equities across 15 developed countries in Europe. The Index has a number of sub-Indexes which cover various sub-regions market segments/sizes, sectors and covers approximately 85% of the free float-adjusted market capitalization in each country.
Mortgage Bankers Association U.S. Refinancing Index Seasonally-Adjusted—An index that covers all mortgage applications to refinance an existing mortgage adjusted to take into account changes in data due to seasonality. It includes conventional and government refinances.
Mortgage Bankers Association Purchase Index Seasonally-Adjusted—An index that includes all mortgage applications for purchases of single-family homes adjusted to take into account changes in data due to seasonality. 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.
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 USD 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.
Shiller Barclays CAPE® Europe Sector Net TR Index—The Index incorporates the principles of long-term investing distilled by Dr. Robert Shiller and expressed through the CAPE® (Cyclically Adjusted Price Earnings) ratio (the “CAPE® Ratio”). The classic CAPE® Ratio assesses equity market valuations and averages ten years of reported earnings to account for earnings and market cycles.
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,
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| 14 | | DoubleLine Funds Trust | | | | |
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| | | (Unaudited) March 31, 2017 |
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.
Trepp CMBS Delinquency Rate—A report published by Trepp on a monthly basis giving the total principal balances of loans with delinquencies divided by the total principal balance of all loans.
U.S. Dollar Index (DXY)—A weighted geometric mean of the United States dollar’s value relative to a basket of 6 major foreign currencies, including the Euro, Japanese yen, Pound sterling, Canadian dollar, Swedish krona and Swiss franc.
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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| | Annual Report | | March 31, 2017 | | 15 |
| | |
| Standardized Performance Summary | | (Unaudited) March 31, 2017 |
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.
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| DBLTX/DLTNX | | | | | | | | | | | | |
Total Return Bond Fund
Returns as of March 31, 2017 | | 1-Year | | 3-Year
Annualized | | 5-Year
Annualized | | Since Inception
Annualized
(4-6-10 to 3-31-17) | | Gross/Net
Expense Ratio |
I-share (DBLTX) | | | | 1.46% | | | | | 3.26% | | | | | 3.64% | | | | | 6.69% | | | | | 0.47% |
N-share (DLTNX) | | | | 1.21% | | | | | 3.04% | | | | | 3.40% | | | | | 6.43% | | | | | 0.72% |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | 0.44% | | | | | 2.68% | | | | | 2.34% | | | | | 3.57% | | | | | | | | |
| DBLFX/DLFNX | | | | | | | | | | | | |
Core Fixed Income Fund
Returns as of March 31, 2017 | | 1-Year | | 3-Year
Annualized | | 5-Year
Annualized | | Since Inception
Annualized
(6-1-10 to 3-31-17) | | Gross/Net
Expense Ratio |
I-share (DBLFX) | | | | 2.80% | | | | | 3.37% | | | | | 3.52% | | | | | 5.62% | | | | | 0.48% |
N-share (DLFNX) | | | | 2.54% | | | | | 3.12% | | | | | 3.27% | | | | | 5.36% | | | | | 0.73% |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | 0.44% | | | | | 2.68% | | | | | 2.34% | | | | | 3.28% | | | | | | | | |
| DBLEX/DLENX | | | | | | | | | | | | |
Emerging Markets Fixed Income Fund
Returns as of March 31, 2017 | | 1-Year | | 3-Year
Annualized | | 5-Year
Annualized | | Since Inception
Annualized
(4-6-10 to 3-31-17) | | Gross/Net
Expense Ratio |
I-share (DBLEX) | | | | 13.19% | | | | | 5.05% | | | | | 4.80% | | | | | 6.20% | | | | | 0.90% |
N-share (DLENX) | | | | 12.91% | | | | | 4.78% | | | | | 4.54% | | | | | 5.94% | | | | | 1.15% |
JP Morgan Emerging Markets Bond Global Diversified Index | | | | 8.92% | | | | | 6.23% | | | | | 5.83% | | | | | 6.92% | | | | | | | | |
| DMLIX/DMLAX | | | | | | | | | | | | |
Multi-Asset Growth Fund
Returns as of March 31, 2017 | | 1-Year | | 3-Year
Annualized | | 5-Year
Annualized | | Since Inception
Annualized
(12-20-10 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio*± |
I-share (DMLIX) | | | | 14.63% | | | | | 5.23% | | | | | 4.36% | | | | | 4.10% | | | | | 1.36% | | | 1.31% |
A-share (DMLAX) | | | | | | | | | | | | | | | | | | | | | | | | 1.61% | | | 1.56% |
A-share (No Load) | | | | 14.27% | | | | | 4.99% | | | | | 4.08% | | | | | 3.82% | | | | | | | | |
A-share (With Load) | | | | 9.41% | | | | | 3.48% | | | | | 3.18% | | | | | 3.11% | | | | | | | | |
Blended Benchmark** | | | | 5.35% | | | | | -0.62% | | | | | 1.32% | | | | | 2.33% | | | | | | | | |
S&P 500® Index TR | | | | 17.17% | | | | | 10.37% | | | | | 13.30% | | | | | 13.10% | | | | | | | | |
| DBLSX/DLSNX | | | | | | | | | | | | |
Low Duration Bond Fund
Returns as of March 31, 2017 | | 1-Year | | 3-Year
Annualized | | 5-Year
Annualized | | Since Inception
Annualized
(9-30-11 to 3-31-17) | | Gross/Net
Expense Ratio |
I-share (DBLSX) | | | | 2.99% | | | | | 1.91% | | | | | 2.02% | | | | | 2.29% | | | | | 0.44% |
N-share (DLSNX) | | | | 2.64% | | | | | 1.66% | | | | | 1.78% | | | | | 2.03% | | | | | 0.69% |
BofA/Merrill Lynch 1-3 Year U.S. Treasury Index | | | | 0.25% | | | | | 0.72% | | | | | 0.64% | | | | | 0.60% | | | | | | |
| DBFRX/DLFRX | | | | | | | | | | | | |
Floating Rate Fund
Returns as of March 31, 2017 | | 1-Year | | 3-Year
Annualized | | | | Since Inception
Annualized
(2-1-13 to 3-31-17) | | Gross/Net
Expense Ratio |
I-share (DBFRX) | | | | 4.99% | | | | | 2.77% | | | | | | | | | | 2.93% | | | | | 0.66% |
N-share (DLFRX) | | | | 4.73% | | | | | 2.54% | | | | | | | | | | 2.73% | | | | | 0.91% |
S&P LSTA Leveraged Loan Index | | | | 9.72% | | | | | 3.57% | | | | | | | | | | 3.88% | | | | | | | | |
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| 16 | | DoubleLine Funds Trust | | | | |
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| | | (Unaudited) March 31, 2017 |
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| DSEEX/DSENX | | | | | | | | | | | | |
Shiller Enhanced CAPE®
Returns as of March 31, 2017 | | 1-Year | | 3-Year
Annualized | | | | Since Inception
Annualized
(10-31-13 to 3-31-17) | | Gross/Net
Expense Ratio |
I-share (DSEEX) | | | | 24.75% | | | | | 15.68% | | | | | | | | | | 16.19% | | | | | 0.64% |
N-share (DSENX) | | | | 24.48% | | | | | 15.38% | | | | | | | | | | 15.90% | | | | | 0.89% |
Shiller Barclays CAPE® U.S. Sector Total Return USD Index | | | | 22.87% | | | | | 14.49% | | | | | | | | | | 14.79% | | | | | | | | |
S&P 500® Index TR | | | | 17.17% | | | | | 10.37% | | | | | | | | | | 11.41% | | | | | | | | |
| DFLEX/DLINX | | | | | | | | | | | | |
Flexible Income Fund
Returns as of March 31, 2017 | | 1-Year | | | | | | Since Inception
Annualized
(4-7-14 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio* |
I-share (DFLEX) | | | | 6.48% | | | | | | | | | | | | | | | 3.29% | | | | | 0.89% | | | 0.84% |
N-share (DLINX) | | | | 6.23% | | | | | | | | | | | | | | | 3.05% | | | | | 1.14% | | | 1.09% |
LIBOR USD 3-Month Index | | | | 0.83% | | | | | | | | | | | | | | | 0.50% | | | | | | | | |
| DBLLX/DELNX | | | | | | | | | | | | |
Low Duration Emerging Markets Fixed Income
Fund
Returns as of March 31, 2017 | | 1-Year | | | | | | Since Inception
Annualized
(4-7-14 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio* |
I-share (DBLLX) | | | | 5.95% | | | | | | | | | | | | | | | 2.98% | | | | | 0.84% | | | 0.59% |
N-share (DELNX) | | | | 5.69% | | | | | | | | | | | | | | | 2.77% | | | | | 1.09% | | | 0.84% |
JP Morgan CEMBI Broad Diversified 1-3 Years | | | | 5.65% | | | | | | | | | | | | | | | 3.63% | | | | | | | | |
| DBLDX/DLLDX | | | | | | | | | | | | |
Long Duration Total Return Bond Fund
Returns as of March 31, 2017 | | 1-Year | | | | | | Since Inception
Annualized
(12-15-14 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio* |
I-share (DBLDX) | | | | -2.82% | | | | | | | | | | | | | | | 2.15% | | | | | 0.84% | | | 0.65% |
N-share (DLLDX) | | | | -3.08% | | | | | | | | | | | | | | | 1.86% | | | | | 1.09% | | | 0.90% |
Bloomberg Barclays Long Government/Credit Index | | | | 0.98% | | | | | | | | | | | | | | | 2.26% | | | | | | | | |
| DBCMX/DLCMX | | | | | | | | | | | | |
Strategic Commodity Fund
Returns as of March 31, 2017 | | 1-Year | | | | | | Since Inception
Annualized
(5-18-15 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio* |
I-share (DBCMX) | | | | 7.93% | | | | | | | | | | | | | | | -3.35% | | | | | 4.47% | | | 1.15% |
N-share (DLCMX) | | | | 7.55% | | | | | | | | | | | | | | | -3.65% | | | | | 4.72% | | | 1.40% |
Bloomberg Commodity Index Total Return | | | | 8.71% | | | | | | | | | | | | | | | -10.27% | | | | | | | | |
| DBLGX/DLGBX | | | | | | | | | | | | |
Global Bond Fund
Returns as of March 31, 2017 | | 1-Year | | | | | | Since Inception
Annualized
(12-17-15 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio* |
I-share (DBLGX) | | | | -4.00% | | | | | | | | | | | | | | | 0.71% | | | | | 0.93% | | | 0.71% |
N-share (DLGBX) | | | | -4.31% | | | | | | | | | | | | | | | 0.42% | | | | | 1.18% | | | 0.96% |
Citi World Government Bond Index | | | | -3.65% | | | | | | | | | | | | | | | 2.78% | | | | | | | | |
| BILDX/BILTX | | | | | | | | | | | | |
Infrastructure Income Fund
Returns as of March 31, 2017 | | | | | | | | Since Inception
Not Annualized
(4-1-16 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio*** |
I-share (BILDX) | | | | | | | | | | | | | | | | | | | 3.11% | | | | | 1.18% | | | 0.66% |
N-share (BILTX) | | | | | | | | | | | | | | | | | | | 2.76% | | | | | 1.43% | | | 0.91% |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | | | | | | | | | | | | | 0.48% | | | | | | | | |
| DBULX/DLUSX | | | | | | | | | | | | |
Ultra Short Bond Fund
Returns as of March 31, 2017 | | | | | | | | Since Inception
Not Annualized
(6-30-16 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio****à |
I-share (DBULX) | | | | | | | | | | | | | | | | | | | 0.36% | | | | | 0.77% | | | 0.31% |
N-share (DLUSX) | | | | | | | | | | | | | | | | | | | 0.20% | | | | | 1.02% | | | 0.56% |
BofA Merrill Lynch 3 Month Treasury Bill Index | | | | | | | | | | | | | | | | | | | 0.28% | | | | | | | | |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 17 |
| | |
| Standardized Performance Summary (Cont.) | | (Unaudited) March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| DSEUX/DLEUX | | | | | | | | | | | | |
Shiller Enhanced International CAPE®
Returns as of March 31, 2017 | | | | | | | | Since Inception
Not Annualized
(12-23-16 to 3-31-17) | | Gross
Expense
Ratio | | Net
Expense
Ratio***** |
I-share (DSEUX) | | | | | | | | | | | | | | | | | | | 8.76% | | | | | 1.04% | | | 0.66% |
N-share (DLEUX) | | | | | | | | | | | | | | | | | | | 8.72% | | | | | 1.29% | | | 0.91% |
MSCI Europe Net Return USD Index | | | | | | | | | | | | | | | | | | | 8.77% | | | | | | | | |
*The Adviser has contractually agreed to waive fees and reimburse expenses through March 24, 2018. 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% Bloomberg Barclays U.S. Aggregate Bond Index, 25% MSCI All Country World Index Net & 15% SP GSCI Total Return Index.
*** The Adviser has contractually agreed to waive fees and reimburse expenses through April 1, 2018.
**** The Adviser has contractually agreed to waive fees and reimburse expenses through June 29, 2018.
***** The Adviser has contractually agreed to waive fees and reimburse expenses through December 21, 2018.
± Effective April 1, 2017, the Multi Asset Growth Fund’s management fee rate and expense limitation agreement were reduced to 0.95% for the fund and 1.15% and 1.40% for I Shares and N Shares, respectively. The Fund’s gross or net expense ratio (if applicable) applies to investors.
à Effective April 1, 2017, the Ultra Short Bond Fund’s management fee rate and expense limitation agreement were reduced to 0.15% for the fund and 0.30% and 0.55% for I Shares and N Shares, respectively. The Fund’s gross or net expense ratio (if applicable) applies to investors.
Mutual Fund Investing involves risk. Principal loss is possible.
| | | | | | |
| 18 | | DoubleLine Funds Trust | | | | |
| | |
| Schedule of Investments—Summary DoubleLine Total Return Bond Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | | | % OF NET
ASSETS | |
| | Asset Backed Obligations | |
| | | | Total Asset Backed Obligations
(Cost $1,526,908,410)#^¥µ | | | | | | | | | | | 1,537,120,957 | | | | 2.8% | |
| | | | | | | | | | | | | | | | | | | | |
| | Collateralized Loan Obligations | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $2,227,003,443)#^¥µ | | | | | | | | | | | 2,241,302,856 | | | | 4.1% | |
| | | | | | | | | | | | | | | | | | | | |
| | Non-Agency Commercial Mortgage Backed Obligations | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $3,928,423,694)# I/O ^µ | | | | | | | | | | | 3,743,171,709 | | | | 6.9% | |
| | | | | | | | | | | | | | | | | | | | |
| | Non-Agency Residential Collateralized Mortgage Obligations | |
| | |
| | | | PR Mortgage Loan Trust, | | | | | |
| | 254,935,937 | | | Series 2014-1-APT | | | 5.92% | # | | | 10/25/2049 | | | | 251,657,384 | | | | 0.5% | |
| | |
| | | | Securitized Mortgage Asset Loan Trust, | | | | | |
| | 372,044,017 | | | Series 2015-1-PC | | | 1.89% | ^¥ | | | 02/25/2054 | | | | 281,995,302 | | | | 0.5% | |
| | |
| | | | Sequoia Mortgage Trust, | | | | | |
| | 232,606,759 | | | Series 2016-2-A1 | | | 3.50% | #^ | | | 08/25/2046 | | | | 232,605,247 | | | | 0.4% | |
| | | | Other Non-Agency Residential Collateralized Mortgage Obligations# I/O I/F P/O ^¥µ | | | | 11,454,101,567 | | | | 21.1% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $12,292,386,620) | | | | | | | | | | | 12,220,359,500 | | | | 22.5% | |
| | | | | | | | | | | | | | | | | | | | |
| | US Government and Agency Obligations | | | | | | | | | |
| | 518,485,000 | | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 04/15/2020 | | | | 526,385,156 | | | | 1.0% | |
| | 1,325,000,000 | | | United States Treasury Notes | | | 1.63% | | | | 11/15/2022 | | | | 1,294,489,225 | | | | 2.4% | |
| | 700,000,000 | | | United States Treasury Notes | | | 2.00% | | | | 02/15/2023 | | | | 696,404,100 | | | | 1.3% | |
| | | | Other US Government and Agency Obligationsµ | | | | 63,381,166 | | | | 0.1% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | Total US Government and Agency Obligations
(Cost $2,595,457,408) | | | | | | | | | | | 2,580,659,647 | | | | 4.8% | |
| | | | | | | | | | | | | | | | | | | | |
| | US Government / Agency Mortgage Backed Obligations | | | | | | | | | |
| | |
| | | | Federal Home Loan Mortgage Corporation Pass-Thru, | | | | | |
| | 267,591,486 | | | Pool Z40117-Z4 | | | 3.00% | | | | 04/01/2045 | | | | 265,477,406 | | | | 0.5% | |
| | | | | |
| | | | Federal Home Loan Mortgage Corporation, | | | | | | | | | | | | | | | | |
| | 202,809,831 | | | Pool G08626 | | | 3.00% | | | | 02/01/2045 | | | | 201,113,679 | | | | 0.4% | |
| | 280,430,633 | | | Pool G08635 | | | 3.00% | | | | 04/01/2045 | | | | 278,085,330 | | | | 0.5% | |
| | 426,647,008 | | | Pool G08648 | | | 3.00% | | | | 06/01/2045 | | | | 423,078,810 | | | | 0.8% | |
| | 639,681,450 | | | Pool G08675 | | | 3.00% | | | | 11/01/2045 | | | | 634,331,154 | | | | 1.2% | |
| | 192,002,098 | | | Pool G08686 | | | 3.00% | | | | 01/01/2046 | | | | 190,395,557 | | | | 0.3% | |
| | 252,802,510 | | | Pool G08692 | | | 3.00% | | | | 02/01/2046 | | | | 250,687,175 | | | | 0.5% | |
| | 508,094,687 | | | Pool G08697 | | | 3.00% | | | | 03/01/2046 | | | | 503,843,184 | | | | 0.9% | |
| | 691,806,771 | | | Pool G08705 | | | 3.00% | | | | 05/01/2046 | | | | 686,018,008 | | | | 1.3% | |
| | 179,479,539 | | | Pool G08721 | | | 3.00% | | | | 09/01/2046 | | | | 177,977,683 | | | | 0.3% | |
| | 257,714,844 | | | Pool G60393 | | | 3.50% | | | | 01/01/2046 | | | | 264,595,156 | | | | 0.5% | |
| | 236,053,308 | | | Series 4573-CA | | | 3.00% | | | | 11/15/2044 | | | | 233,914,169 | | | | 0.4% | |
| | | | | |
| | 176,908,073 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 02/15/2034 | | | | 181,267,636 | | | | 0.3% | |
| | | | Series 4427-CE | | | | | | | | | | | | | | | | |
| | | | Series 4427-MA | | | | | | | | | | | | | | | | |
| | | | | |
| | 311,618,560 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 06/15/2040 | | | | 318,553,548 | | | | 0.6% | |
| | | | Series 4323-GA | | | | | | | | | | | | | | | | |
| | | | Series 4390-NY | | | | | | | | | | | | | | | | |
| | | | | |
| | 338,570,254 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 12/15/2041 | | | | 342,995,614 | | | | 0.6% | |
| | | | Series 4471-BA | | | | | | | | | | | | | | | | |
| | | | Series 4471-BC | | | | | | | | | | | | | | | | |
| | | | | |
| | 209,065,085 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 08/15/2042 | | | | 206,278,297 | | | | 0.4% | |
| | | | Series 267-30 | | | | | | | | | | | | | | | | |
| | | | Series 269-30 | | | | | | | | | | | | | | | | |
| | | | Series 274-30 | | | | | | | | | | | | | | | | |
| | | | | |
| | 476,334,821 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 02/15/2044 | | | | 481,711,475 | | | | 0.9% | |
| | | | Series 4471-GA | | | | | | | | | | | | | | | | |
| | | | Series 4527-CA | | | | | | | | | | | | | | | | |
| | | | Series 4527-GA | | | | | | | | | | | | | | | | |
| | | | Series 4588-DA | | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 19 |
| | |
| Schedule of Investments—Summary DoubleLine Total Return Bond Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | | | % OF NET
ASSETS | |
| | | | | |
| | 421,462,500 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 06/15/2044 | | | | 423,409,736 | | | | 0.8% | |
| | | | Series 4483-CA | | | | | | | | | | | | | | | | |
| | | | Series 4533-AB | | | | | | | | | | | | | | | | |
| | | | | |
| | 324,814,058 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 12/01/2045 | | | | 322,199,152 | | | | 0.6% | |
| | | | Pool G08680 | | | | | | | | | | | | | | | | |
| | | | Pool V82117 | | | | | | | | | | | | | | | | |
| | | | | |
| | 217,256,557 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 08/01/2045 | | | | 215,819,094 | | | | 0.4% | |
| | | | Pool G08658 | | | | | | | | | | | | | | | | |
| | | | Pool V81821 | | | | | | | | | | | | | | | | |
| | | | | |
| | 175,829,047 | | | Federal Home Loan Mortgage Corporation | | | 3.00% | | | | 03/15/2045 | | | | 174,654,717 | | | | 0.3% | |
| | | | Series 4450-JZ | | | | | | | | | | | | | | | | |
| | | | Series 4461-LZ | | | | | | | | | | | | | | | | |
| | | | Series 4573-DA | | | | | | | | | �� | | | | | | | |
| | | | Series 4629-KA | | | | | | | | | | | | | | | | |
| | | | | |
| | 4,343,033,583 | | | Federal Home Loan Mortgage Corporation | | | 2.00%-21.08% | # I/F I/O | | | 12/15/2030-10/15/2049 | | | | 4,110,469,391 | | | | 7.6% | |
| | 2,339,531,832 | | | Federal Home Loan Mortgage Corporation | | | 2.50%-6.00% | | | | 03/01/2028-01/01/2047 | | | | 2,379,988,967 | | | | 4.4% | |
| | | | | |
| | 189,317,736 | | | Federal National Mortgage Association Pass-Thru | | | 3.50% | | | | 01/01/2032 | | | | 197,789,248 | | | | 0.4% | |
| | | | Pool AB4167 | | | | | | | | | | | | | | | | |
| | | | Pool AB4261 | | | | | | | | | | | | | | | | |
| | | | Pool AK0713 | | | | | | | | | | | | | | | | |
| | | | Pool MA0949 | | | | | | | | | | | | | | | | |
| | | | | |
| | 299,251,681 | | | Federal National Mortgage Association Pass-Thru | | | 3.00% | | | | 12/01/2032 | | | | 306,235,346 | | | | 0.5% | |
| | | | Pool AB7344 | | | | | | | | | | | | | | | | |
| | | | Pool MA1275 | | | | | | | | | | | | | | | | |
| | | | | |
| | 200,579,182 | | | Federal National Mortgage Association Pass-Thru | | | 3.50% | | | | 09/01/2042 | | | | 204,539,905 | | | | 0.4% | |
| | | | Pool AP4787 | | | | | | | | | | | | | | | | |
| | | | Pool AP4789 | | | | | | | | | | | | | | | | |
| | | | Pool MA1179 | | | | | | | | | | | | | | | | |
| | | | | |
| | 231,324,553 | | | Federal National Mortgage Association Pass-Thru | | | 3.00% | | | | 11/01/2042 | | | | 230,787,773 | | | | 0.4% | |
| | | | Pool AB6854 | | | | | | | | | | | | | | | | |
| | | | Pool AB7077 | | | | | | | | | | | | | | | | |
| | | | | |
| | 234,145,730 | | | Federal National Mortgage Association Pass-Thru | | | 3.00% | | | | 12/01/2044 | | | | 232,873,965 | | | | 0.4% | |
| | | | Pool AS3961 | | | | | | | | | | | | | | | | |
| | | | Pool AS4154 | | | | | | | | | | | | | | | | |
| | |
| | | | Federal National Mortgage Association Pass-Thru, | | | | | |
| | 331,624,424 | | | Pool AS4625 | | | 3.00% | | | | 03/01/2045 | | | | 329,595,877 | | | | 0.6% | |
| | 139,799,918 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 138,944,573 | | | | 0.3% | |
| | 90,057,826 | | | Pool AY3974 | | | 3.00% | | | | 03/01/2045 | | | | 89,507,356 | | | | 0.2% | |
| | 15,103,644 | | | Pool AY5471 | | | 3.00% | | | | 03/01/2045 | | | | 14,928,475 | | | | 0.0% | |
| | 177,193,721 | | | Pool MA1136 | | | 3.50% | | | | 08/01/2042 | | | | 180,691,881 | | | | 0.3% | |
| | 284,322,481 | | | Pool MA1237 | | | 3.00% | | | | 11/01/2032 | | | | 290,955,776 | | | | 0.5% | |
| | 171,890,370 | | | Pool MA2650 | | | 3.50% | | | | 06/01/2046 | | | | 175,285,597 | | | | 0.3% | |
| | |
| | | | Federal National Mortgage Association, | | | | | |
| | 376,978,583 | | | Pool AS8356 | | | 3.00% | | | | 11/01/2046 | | | | 372,589,878 | | | | 0.7% | |
| | |
| | | | Federal National Mortgage Association, | | | | | |
| | 196,565,816 | | | Series 2014-M11-1A | | | 3.12% | # | | | 08/25/2024 | | | | 198,357,494 | | | | 0.4% | |
| | | | | |
| | 179,582,172 | | | Federal National Mortgage Association | | | 3.00% | | | | 06/25/2040 | | | | 184,471,606 | | | | 0.3% | |
| | | | Series 2014-65-CD | | | | | | | | | | | | | | | | |
| | | | Series 2014-73-CQ | | | | | | | | | | | | | | | | |
| | | | | |
| | 225,876,162 | | | Federal National Mortgage Association | | | 3.00% | | | | 04/25/2044 | | | | 228,505,233 | | | | 0.4% | |
| | | | Series 2014-21-GZ | | | | | | | | | | | | | | | | |
| | | | Series 2015-88-BA | | | | | | | | | | | | | | | | |
| | | | | |
| | 272,586,142 | | | Federal National Mortgage Association | | | 3.00% | | | | 10/25/2044 | | | | 256,649,267 | | | | 0.5% | |
| | | | Series 2014-60-EZ | | | | | | | | | | | | | | | | |
| | | | Series 2014-61-ZV | | | | | | | | | | | | | | | | |
| | | | Series 2014-64-NZ | | | | | | | | | | | | | | | | |
| | | | Series 2014-67-DZ | | | | | | | | | | | | | | | | |
| | | | Series 2016-32-LA | | | | | | | | | | | | | | | | |
| | | | | |
| | 323,894,202 | | | Federal National Mortgage Association | | | 3.00% | | | | 08/01/2046 | | | | 320,123,326 | | | | 0.6% | |
| | | | Pool AS7661 | | | | | | | | | | | | | | | | |
| | | | Pool MA2711 | | | | | | | | | | | | | | | | |
| | | | | |
| | 4,314,753,457 | | | Federal National Mortgage Association | | | 1.50%-46.37% | # I/F I/O | | | 01/25/2026-10/25/2050 | | | | 4,034,270,441 | | | | 7.4% | |
| | 5,609,901,996 | | | Federal National Mortgage Association | | | 2.50%-6.50% | | | | 01/01/2019-09/01/2053 | | | | 5,761,496,418 | | | | 10.6% | |
| | | | Other US Government / Agency Mortgage Backed
Obligations# I/O I/F P/O µ | | | | | | | | | | | 1,210,209,293 | | | | 2.2% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $28,181,099,214) | | | | | | | | | | | 28,225,673,666 | | | | 51.9% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 20 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | | | % OF NET
ASSETS | |
| | Short Term Investments | | | | | | | | | |
| | 344,040,144 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 344,040,144 | | | | 0.6% | |
| | 175,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 04/28/2017 | | | | 174,917,400 | | | | 0.3% | |
| | 200,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 05/24/2017 | | | | 199,796,000 | | | | 0.4% | |
| | 700,000,000 | | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 04/19/2017-05/25/2017 | | | | 699,552,101 | | | | 1.3% | |
| | 344,040,144 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 344,040,144 | | | | 0.6% | |
| | 344,040,144 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 344,040,144 | | | | 0.6% | |
| | 250,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 04/27/2017 | | | | 249,881,000 | | | | 0.5% | |
| | 250,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 05/25/2017 | | | | 249,746,250 | | | | 0.5% | |
| | 250,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 06/15/2017 | | | | 249,637,000 | | | | 0.5% | |
| | 250,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 07/20/2017 | | | | 249,430,000 | | | | 0.5% | |
| | | | Other Short Term Investmentsµ | | | | | | | | | | | 749,682,750 | | | | 1.3% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $3,855,462,191) | | | | | | | | | | | 3,854,762,933 | | | | 7.1% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | Total Investments
(Cost $54,606,740,980) | | | | | | | | | | | 54,403,051,268 | | | | 100.1% | |
| | | | Liabilities in Excess of Other Assets | | | | | | | | | | | (49,057,204 | ) | | | (0.1)% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | NET ASSETS | | | | | | | | | | | $54,353,994,064 | | | | 100.0% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
US Government / Agency Mortgage Backed Obligations | | | 51.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 22.5% | |
Short Term Investments | | | 7.1% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 6.9% | |
US Government and Agency Obligations | | | 4.8% | |
Collateralized Loan Obligations | | | 4.1% | |
Asset Backed Obligations | | | 2.8% | |
Other Assets and Liabilities | | | (0.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $10,450,424,022 or 19.2% of net assets. |
| ¥ | Includes illiquid securities. At March 31, 2017, the value of these securities amounted to $773,843,305 or 1.4% of net assets. |
| # | Includes variable rate securities. Rate disclosed as of March 31, 2017. |
| I/O | Includes interest only securities |
| I/F | Includes inverse floating rate securities whose interest rate moves in the opposite direction of reference interest rates |
| P/O | Includes principal only securities |
| ¨ | Seven-day yield as of March 31, 2017 |
| µ | Represents issues not identified in the Fund’s top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate, respectively, as of March 31, 2017. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 21 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 1.8% | |
| |
| | | | AVANT Loans Funding Trust, | |
| | 576,724 | | | Series 2016-B-A | | | 3.92% | ^ | | | 08/15/2019 | | | | 578,796 | |
| |
| | | | Castlelake Aircraft Securitization Trust, | |
| | 5,967,961 | | | Series 2015-1A-A | | | 4.70% | ^ | | | 12/15/2040 | | | | 6,089,302 | |
| | 12,659,959 | | | Series 2016-1-A | | | 4.45% | | | | 08/15/2041 | | | | 12,841,668 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 3,823,306 | | | Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 3,825,728 | |
| |
| | | | DB Master Finance LLC, | |
| | 14,700,000 | | | Series 2015-1A-A2I | | | 3.26% | ^ | | | 02/20/2045 | | | | 14,809,247 | |
| | 9,800,000 | | | Series 2015-1A-A2II | | | 3.98% | ^ | | | 02/20/2045 | | | | 9,976,191 | |
| |
| | | | Harbour Aircraft Investments Ltd., | |
| | 3,487,260 | | | Series 2016-1-A | | | 4.70% | | | | 07/15/2041 | | | | 3,520,738 | |
| |
| | | | HERO Funding Trust, | |
| | 8,386,541 | | | Series 2016-1A-A | | | 4.05% | ^ | | | 09/20/2041 | | | | 8,481,670 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 2,198,271 | | | Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 2,196,898 | |
| |
| | | | NP SPE II LLC, | |
| | 13,662,365 | | | Series 2016-1A-A1 | | | 4.16% | ^ | | | 04/20/2046 | | | | 13,686,121 | |
| | | | |
| | 148,000 | | | Oncor Electric Delivery Company LLC | | | 2.95% | | | | 04/01/2025 | | | | 146,847 | |
| |
| | | | OneMain Financial Issuance Trust, | |
| | 14,000,000 | | | Series 2015-1A-A | | | 3.19% | ^ | | | 03/18/2026 | | | | 14,165,911 | |
| |
| | | | Shenton Aircraft Investment Ltd., | |
| | 8,762,558 | | | Series 2015-1A-A | | | 4.75% | ^ | | | 10/15/2042 | | | | 8,948,850 | |
| |
| | | | SoFi Consumer Loan Program Trust, | |
| | 3,042,620 | | | Series 2016-2-A | | | 3.09% | ^ | | | 10/27/2025 | | | | 3,048,843 | |
| | 2,816,051 | | | Series 2017-1-A | | | 3.28% | ^ | | | 01/26/2026 | | | | 2,833,149 | |
| | 500,000 | | | Series 2017-1-B | | | 4.73% | #^ | | | 01/26/2026 | | | | 505,212 | |
| | 1,000,000 | | | Series 2017-2-A | | | 3.28% | ^ | | | 02/25/2026 | | | | 1,001,251 | |
| |
| | | | SoFi Professional Loan Program, | |
| | 7,627,535 | | | Series 2016-A-A2 | | | 2.76% | ^ | | | 12/26/2036 | | | | 7,691,783 | |
| | 5,000,000 | | | Series 2017-B-BFX | | | 3.70% | #^ | | | 05/25/2040 | | | | 4,997,671 | |
| |
| | | | Springfield Funding Trust, | |
| | 15,304,000 | | | Series 2015-AA-A | | | 3.16% | ^ | | | 11/15/2024 | | | | 15,455,263 | |
| |
| | | | Spruce Asset Backed Securities Trust, | |
| | 1,836,236 | | | Series 2016-E1-A | | | 4.32% | ^ | | | 06/15/2028 | | | | 1,814,792 | |
| |
| | | | Textainer Marine Containers Ltd., | |
| | 1,516,667 | | | Series 2014-1A-A | | | 3.27% | ^ | | | 10/20/2039 | | | | 1,483,829 | |
| |
| | | | Westlake Automobile Receivables Trust, | |
| | 7,000,000 | | | Series 2016-1A-B | | | 2.68% | ^ | | | 09/15/2021 | | | | 7,043,383 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $143,595,993) | | | | 145,143,143 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 2.6% | |
| |
| | | | Acadia Healthcare Company, Inc., | |
| | 2,511,583 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.98% | # | | | 02/16/2023 | | | | 2,528,850 | |
| |
| | | | AdvancePierre Foods, Inc., | |
| | 2,061,771 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/02/2023 | | | | 2,090,285 | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 2,007,194 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.98% | # | | | 08/25/2021 | | | | 2,018,374 | |
| |
| | | | AlixPartners LLP, | |
| | 1,055,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/28/2024 | | | | 1,061,594 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Alpha 3 B.V., | |
| | 2,050,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.15% | # | | | 01/31/2024 | | | | 2,057,698 | |
| |
| | | | American Axle & Manufacturing, Inc., | |
| | 685,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 03/08/2024 | | | | 685,644 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 2,051,073 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 08/20/2019 | | | | 2,055,781 | |
| |
| | | | American Tire Distributors, Inc., | |
| | 2,482,252 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 09/01/2021 | | | | 2,491,175 | |
| |
| | | | Americold Realty Trust, Inc., | |
| | 2,042,895 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 12/01/2022 | | | | 2,069,719 | |
| |
| | | | Aspen Merger Sub, Inc., | |
| | 1,534,225 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 09/27/2024 | | | | 1,551,677 | |
| |
| | | | Asurion LLC, | |
| | 914,848 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.23% | # | | | 07/08/2020 | | | | 921,901 | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 96,364 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan | | | 5.00% | #& | | | 03/08/2024 | | | | 97,167 | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 2,288,636 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 03/08/2024 | | | | 2,307,712 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 2,013,715 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.06% | # | | | 12/16/2021 | | | | 2,016,232 | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 1,725,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 02/02/2024 | | | | 1,689,267 | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 225,000 | | | Senior Secured 2nd Lien Term Loan | | | 8.50% | # | | | 02/03/2025 | | | | 220,162 | |
| |
| | | | Bright Bidco BV, | |
| | 1,425,000 | | | Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/15/2024 | | | | 1,436,870 | |
| |
| | | | Burger King Restaurant Brands, | |
| | 1,925,984 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.40% | # | | | 02/16/2024 | | | | 1,930,000 | |
| |
| | | | Capital Automotive LP, | |
| | 215,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/24/2025 | | | | 217,890 | |
| |
| | | | Capital Automotive LP, | |
| | 1,350,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/25/2024 | | | | 1,365,187 | |
| |
| | | | Cengage Learning, Inc., | |
| | 2,029,310 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 06/07/2023 | | | | 1,941,481 | |
| |
| | | | Ceva Group PLC, | |
| | 336,639 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 0.90% | # | | | 03/19/2021 | | | | 295,401 | |
| |
| | | | Ceva Group PLC, | |
| | 59,524 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 52,232 | |
| | | | | | |
| 22 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Ceva Group PLC, | |
| | 476,191 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 417,858 | |
| |
| | | | Ceva Intercompany BV, | |
| | 345,239 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 302,947 | |
| |
| | | | CH Hold Corporation, | |
| | 2,131,818 | | | Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 02/01/2024 | | | | 2,150,024 | |
| |
| | | | CH Hold Corporation, | |
| | 213,182 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 1.50% | #& | | | 02/01/2024 | | | | 215,002 | |
| |
| | | | Change Healthcare Holdings LLC, | |
| | 985,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/01/2024 | | | | 987,773 | |
| |
| | | | CHG Healthcare, Inc., | |
| | 2,075,515 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.75% | # | | | 06/07/2023 | | | | 2,104,312 | |
| |
| | | | Chill Merger Sub Inc., | |
| | 915,000 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 03/20/2024 | | | | 925,294 | |
| |
| | | | Colorado Buyer, Inc., | |
| | 2,160,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/15/2024 | | | | 2,175,930 | |
| |
| | | | Columbus McKinnon Corporation, | |
| | 311,011 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 01/31/2024 | | | | 314,025 | |
| |
| | | | Community Health Systems Inc., | |
| | 2,130,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.80% | # | | | 12/31/2019 | | | | 2,119,840 | |
| |
| | | | Compuware Corporation, | |
| | 2,098,438 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 5.25% | # | | | 12/15/2021 | | | | 2,107,094 | |
| |
| | | | CPI Holdco LLC, | |
| | 965,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.15% | # | | | 03/24/2024 | | | | 972,841 | |
| |
| | | | CSC Holdings LLC, | |
| | 2,096,785 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 10/11/2024 | | | | 2,096,135 | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 2,086,711 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 1,972,985 | |
| |
| | | | Dell International, LLC, | |
| | 1,952,108 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.49% | # | | | 09/07/2023 | | | | 1,962,581 | |
| |
| | | | DJO Finance LLC, | |
| | 2,124,608 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 06/08/2020 | | | | 2,061,315 | |
| |
| | | | EFS Cogen Holdings I LLC, | |
| | 1,937,036 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/28/2023 | | | | 1,958,315 | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 2,090,504 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/23/2022 | | | | 2,091,811 | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 1,120,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 2.25% | # | | | 03/15/2024 | | | | 1,120,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 2,057,688 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 06/17/2020 | | | | 2,076,989 | |
| |
| | | | Energy Transfer Equity LP, | |
| | 2,101,681 | | | Senior Secured 1st Lien Term Loan | | | 3.54% | # | | | 02/02/2024 | | | | 2,100,042 | |
| |
| | | | Envision Healthcare Corporation, | |
| | 2,037,910 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.15% | # | | | 12/01/2023 | | | | 2,058,289 | |
| |
| | | | Equinox Holdings, Inc., | |
| | 2,135,000 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 03/08/2024 | | | | 2,153,692 | |
| |
| | | | Evergreen Skills, | |
| | 2,278,645 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 04/28/2021 | | | | 2,102,061 | |
| |
| | | | Fairmount Minerals, | |
| | 1,137,248 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.65% | # | | | 09/05/2019 | | | | 1,116,402 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 2,178,343 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 2,173,758 | |
| |
| | | | Ferrara Candy Company, | |
| | 2,039,824 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.65% | # | | | 06/15/2023 | | | | 1,999,027 | |
| |
| | | | Filtration Group, Inc., | |
| | 2,090,195 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.30% | # | | | 11/23/2020 | | | | 2,109,142 | |
| |
| | | | First Data Corporation, | |
| | 1,082,796 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.98% | # | | | 03/24/2021 | | | | 1,092,270 | |
| |
| | | | Foresight Energy LLC, | |
| | 1,560,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.75% | # | | | 03/16/2022 | | | | 1,523,925 | |
| |
| | | | Galleria Company, | |
| | 2,125,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.81% | # | | | 09/29/2023 | | | | 2,146,250 | |
| |
| | | | Gates Global LLC, | |
| | 2,135,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 07/05/2021 | | | | 2,141,544 | |
| |
| | | | Gavilan Resources LLC, | |
| | 510,000 | | | Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/01/2024 | | | | 505,537 | |
| |
| | | | Genesy’s Telecommunications Laboratories, Inc., | |
| | 2,470,024 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.02% | # | | | 12/01/2023 | | | | 2,493,180 | |
| |
| | | | Greektown Holdings LLC, | |
| | 1,440,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/21/2024 | | | | 1,442,254 | |
| |
| | | | GTCR Valor Companies, Inc., | |
| | 1,032,300 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 7.15% | # | | | 06/16/2023 | | | | 1,039,263 | |
| |
| | | | GTT Communications, | |
| | 922,688 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 01/09/2024 | | | | 936,722 | |
| |
| | | | Harbor Freight Tools USA, Inc., | |
| | 2,025,012 | | | Senior Secured 1st Lien Term Loan | | | 4.23% | # | | | 08/18/2023 | | | | 2,025,012 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 23 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Hargray Corporation, | |
| | 240,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/22/2024 | | | | 241,124 | |
| |
| | | | Harsco Corporation, | |
| | 1,177,050 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 11/02/2023 | | | | 1,196,177 | |
| |
| | | | Huntsman International LLC, | |
| | 2,115,570 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 04/01/2023 | | | | 2,137,614 | |
| |
| | | | Ineos US Finance LLC, | |
| | 204,488 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 04/01/2024 | | | | 205,862 | |
| |
| | | | Informatica Corporation, | |
| | 1,060,107 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 08/05/2022 | | | | 1,056,216 | |
| |
| | | | JDA Software Group, Inc., | |
| | 2,507,000 | | | Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 10/12/2023 | | | | 2,527,633 | |
| |
| | | | Jeld-Wen, Inc., | |
| | 2,064,511 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 07/01/2022 | | | | 2,081,709 | |
| |
| | | | Jo-Ann Stores LLC, | |
| | 1,346,625 | | | Senior Secured 1st Lien Term Loan | | | 6.26% | # | | | 10/20/2023 | | | | 1,323,066 | |
| |
| | | | Kenan Advantage Group, | |
| | 1,673,660 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.00% | # | | | 08/01/2022 | | | | 1,678,362 | |
| |
| | | | KIK Custom Products, Inc., | |
| | 2,086,905 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.65% | # | | | 08/26/2022 | | | | 2,119,074 | |
| |
| | | | Kraton Polymers LLC, | |
| | 1,717,911 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 01/06/2022 | | | | 1,736,877 | |
| |
| | | | Kronos, Inc., | |
| | 2,114,700 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.03% | # | | | 11/01/2023 | | | | 2,129,355 | |
| |
| | | | Leslie’s Poolmart, Inc., | |
| | 2,509,950 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.77% | # | | | 08/16/2023 | | | | 2,523,441 | |
| |
| | | | Lifetime Fitness, | |
| | 2,110,483 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/10/2022 | | | | 2,118,661 | |
| |
| | | | Lightstone Holdco LLC, | |
| | 1,926,332 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.54% | # | | | 01/30/2024 | | | | 1,941,020 | |
| |
| | | | Lightstone Holdco LLC, | |
| | 118,841 | | | Senior Secured 1st Lien Term Loan, Tranche C | | | 5.54% | # | | | 01/30/2024 | | | | 119,747 | |
| |
| | | | Lonestar Intermediate Super Holdings LLC, | |
| | 1,115,000 | | | Senior Unsecured Term Loan (PIK 10.75%) | | | 10.00% | # | | | 08/31/2021 | | | | 1,162,387 | |
| |
| | | | Mallinckrodt International Finance S.A., | |
| | 490,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.90% | # | | | 09/24/2024 | | | | 490,306 | |
| |
| | | | McGraw-Hill Financial, Inc., | |
| | 1,108,943 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 05/04/2022 | | | | 1,099,318 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Micron Technology, Inc., | |
| | 2,044,875 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 09/28/2023 | | | | 2,058,944 | |
| |
| | | | Micron Technology, Inc., | |
| | 1,185,573 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.73% | # | | | 04/26/2022 | | | | 1,194,281 | |
| |
| | | | Mission Broadcasting, Inc., | |
| | 192,771 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 01/17/2024 | | | | 194,699 | |
| |
| | | | Mitchell International, Inc., | |
| | 519,206 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.54% | # | | | 10/11/2021 | | | | 522,453 | |
| |
| | | | Mohegan Tribal Gaming Authority, | |
| | 768,075 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/13/2023 | | | | 771,673 | |
| |
| | | | MPH Acquisition Holdings LLC, | |
| | 1,914,481 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 06/07/2023 | | | | 1,941,485 | |
| |
| | | | National Vision, Inc., | |
| | 2,051,438 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 2,054,218 | |
| |
| | | | NBTY Inc., | |
| | 2,056,772 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 05/05/2023 | | | | 2,073,483 | |
| |
| | | | Nexstar Broadcasting, Inc., | |
| | 1,988,365 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 01/17/2023 | | | | 2,008,249 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 2,122,353 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.55% | # | | | 03/31/2021 | | | | 2,134,959 | |
| |
| | | | Party City Holdings, Inc., | |
| | 2,107,979 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.86% | # | | | 08/19/2022 | | | | 2,106,282 | |
| |
| | | | Peabody Energy Corporation, | |
| | 2,100,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/31/2022 | | | | 2,103,675 | |
| |
| | | | Pharmaceutical Product Development LLC, | |
| | 2,120,248 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 08/18/2022 | | | | 2,129,852 | |
| |
| | | | Pike Corporation, | |
| | 510,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 03/08/2024 | | | | 516,375 | |
| |
| | | | Piscine US Acquisition LLC, | |
| | 2,184,525 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.65% | # | | | 12/20/2023 | | | | 2,203,640 | |
| |
| | | | PODS LLC, | |
| | 2,080,964 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.25% | # | | | 02/02/2022 | | | | 2,101,773 | |
| |
| | | | PQ Corporation, | |
| | 2,105,653 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.29% | # | | | 11/04/2022 | | | | 2,134,227 | |
| |
| | | | Precyse Acquisition Corporation, | |
| | 1,262,357 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.50% | # | | | 10/20/2022 | | | | 1,271,041 | |
| |
| | | | Prime Security Services Borrower LLC, | |
| | 2,048,865 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 05/02/2022 | | | | 2,072,335 | |
| | | | | | |
| 24 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | RCN Corporation, | |
| | 2,115,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 02/01/2024 | | | | 2,128,515 | |
| |
| | | | RentPath LLC, | |
| | 2,274,574 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.25% | #¥ | | | 12/17/2021 | | | | 2,245,186 | |
| |
| | | | Revlon Consumer Products Corporation, | |
| | 1,994,975 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.48% | # | | | 09/07/2023 | | | | 1,998,027 | |
| |
| | | | Reynolds Group, | |
| | 2,130,366 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 02/03/2023 | | | | 2,141,135 | |
| |
| | | | Sabre GLBL Inc., | |
| | 180,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 02/22/2024 | | | | 181,687 | |
| |
| | | | Safway Group Holding LLC, | |
| | 1,315,546 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 08/18/2023 | | | | 1,331,787 | |
| |
| | | | Scientific Games International, Inc., | |
| | 1,004,024 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 4.94% | # | | | 10/01/2021 | | | | 1,018,065 | |
| |
| | | | Seahawk Holding Ltd., | |
| | 2,069,813 | | | Senior Secured 1st Lien Term Loan | | | 7.00% | # | | | 10/31/2022 | | | | 2,103,447 | |
| |
| | | | Select Medical Corporation, | |
| | 1,840,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 03/06/2024 | | | | 1,860,700 | |
| |
| | | | Solarwinds Holdings, Inc., | |
| | 2,129,824 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 02/03/2023 | | | | 2,134,222 | |
| |
| | | | Solenis International LP, | |
| | 508,956 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.80% | # | | | 07/29/2022 | | | | 504,981 | |
| |
| | | | Solenis International LP, | |
| | 732,961 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.30% | # | | | 07/31/2021 | | | | 736,559 | |
| |
| | | | Solera LLC, | |
| | 2,120,461 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/03/2023 | | | | 2,133,862 | |
| |
| | | | Sophia LP, | |
| | 2,116,763 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 09/30/2022 | | | | 2,119,081 | |
| |
| | | | SRS Distribution, Inc., | |
| | 280,764 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.29% | # | | | 08/25/2022 | | | | 285,035 | |
| |
| | | | Summit Materials LLC, | |
| | 2,066,209 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/18/2022 | | | | 2,086,448 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 2,088,111 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 11/03/2020 | | | | 2,114,870 | |
| |
| | | | Team Health Holdings Inc., | |
| | 2,155,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 02/26/2024 | | | | 2,142,878 | |
| |
| | | | Telesat Canada, | |
| | 2,074,688 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 4.15% | # | | | 11/17/2023 | | | | 2,095,435 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | TKC Holdings, | |
| | 2,065,000 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 02/01/2023 | | | | 2,088,665 | |
| |
| | | | TransDigm, Inc., | |
| | 2,142,123 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche F | | | 3.98% | # | | | 06/09/2023 | | | | 2,136,425 | |
| |
| | | | Travel Leaders Group LLC, | |
| | 845,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.23% | # | | | 01/25/2024 | | | | 857,679 | |
| |
| | | | Tribune Media Company, | |
| | 126,234 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 12/24/2020 | | | | 127,576 | |
| |
| | | | Tribune Media Company, | |
| | 1,577,287 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.98% | # | | | 01/26/2024 | | | | 1,589,905 | |
| |
| | | | Tumi Holdings, Inc., | |
| | 2,089,949 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 08/01/2023 | | | | 2,109,876 | |
| |
| | | | UFC Holdings LLC, | |
| | 2,069,750 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/18/2023 | | | | 2,083,607 | |
| |
| | | | Univar USA, Inc., | |
| | 2,137,112 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/01/2022 | | | | 2,144,795 | |
| |
| | | | Univision Communications, Inc., | |
| | 2,025,603 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C5 | | | 3.75% | # | | | 03/15/2024 | | | | 2,016,103 | |
| |
| | | | US Renal Care, Inc., | |
| | 2,136,636 | | | Senior Secured 1st Lien Term Loan | | | 5.40% | # | | | 12/30/2022 | | | | 2,010,435 | |
| |
| | | | USAGM HoldCo LLC, | |
| | 2,032,372 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 07/28/2022 | | | | 2,046,030 | |
| |
| | | | VF Holdings Corporation, | |
| | 2,082,784 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 06/30/2023 | | | | 2,095,802 | |
| |
| | | | Vizient, Inc., | |
| | 582,263 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 02/13/2023 | | | | 587,721 | |
| |
| | | | Western Digital Corporation, | |
| | 1,190,575 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 04/28/2023 | | | | 1,199,338 | |
| |
| | | | Western Refining, Inc., | |
| | 992,323 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 5.50% | # | | | 06/23/2023 | | | | 994,184 | |
| |
| | | | WMG Acquisition Corporation, | |
| | 2,095,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/01/2023 | | | | 2,105,967 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 1,938,154 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 10/01/2021 | | | | 1,895,156 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $212,454,504) | | | | 213,326,517 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 25 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | COLLATERALIZED LOAN OBLIGATIONS 3.5% | |
| |
| | | | Adams Mill Ltd., | |
| | 875,000 | | | Series 2014-1A-D1 | | | 4.52% | #^ | | | 07/15/2026 | | | | 866,250 | |
| | 1,000,000 | | | Series 2014-1A-E1 | | | 6.02% | #^ | | | 07/15/2026 | | | | 957,017 | |
| |
| | | | ALM LLC, | |
| | 3,800,000 | | | Series 2013-7RA-CR | | | 4.97% | #^ | | | 10/15/2028 | | | | 3,845,703 | |
| | 3,000,000 | | | Series 2013-8A-CR | | | 5.06% | #^ | | | 10/15/2028 | | | | 3,057,833 | |
| | 1,880,000 | | | Series 2014-11A-C | | | 4.52% | #^ | | | 10/17/2026 | | | | 1,886,245 | |
| | 2,700,000 | | | Series 2016-19A-B | | | 4.02% | #^ | | | 07/15/2028 | | | | 2,726,623 | |
| | 2,000,000 | | | Series 2016-19A-C | | | 5.37% | #^ | | | 07/15/2028 | | | | 2,036,400 | |
| |
| | | | Apidos Ltd., | |
| | 2,000,000 | | | Series 2013-16A-A1 | | | 2.47% | #^ | | | 01/19/2025 | | | | 2,003,117 | |
| | 2,950,000 | | | Series 2013-16A-B | | | 3.82% | #^ | | | 01/19/2025 | | | | 2,961,807 | |
| | 2,000,000 | | | Series 2014-18A-C | | | 4.69% | #^ | | | 07/22/2026 | | | | 2,018,327 | |
| | 1,000,000 | | | Series 2014-18A-D | | | 6.24% | #^ | | | 07/22/2026 | | | | 987,555 | |
| | 1,500,000 | | | Series 2015-20A-C | | | 4.72% | #^ | | | 01/16/2027 | | | | 1,498,968 | |
| | 2,250,000 | | | Series 2015-21A-C | | | 4.57% | #^ | | | 07/18/2027 | | | | 2,245,178 | |
| |
| | | | ARES Ltd., | |
| | 2,000,000 | | | Series 2013-1A-D | | | 4.77% | #^ | | | 04/15/2025 | | | | 2,004,951 | |
| |
| | | | Atrium Corporation, | |
| | 5,000,000 | | | Series 2017-9A-DR | | | 0.00% | #^ | | | 05/28/2030 | | | | 4,961,795 | |
| |
| | | | Babson Ltd., | |
| | 2,000,000 | | | Series 2012-2A-CR | | | 4.64% | #^ | | | 05/15/2023 | | | | 2,022,633 | |
| | 1,000,000 | | | Series 2014-3A-D2 | | | 5.17% | #^ | | | 01/15/2026 | | | | 1,005,311 | |
| | 1,000,000 | | | Series 2014-3A-E1 | | | 6.12% | #^ | | | 01/15/2026 | | | | 954,015 | |
| | 3,400,000 | | | Series 2015-1A-D1 | | | 4.48% | #^ | | | 04/20/2027 | | | | 3,356,782 | |
| | 5,000,000 | | | Series 2015-2A-D | | | 4.83% | #^ | | | 07/20/2027 | | | | 5,015,000 | |
| |
| | | | Barings Ltd., | |
| | 2,250,000 | | | Series 2016-3A-C | | | 4.87% | #^ | | | 01/15/2028 | | | | 2,275,177 | |
| |
| | | | Betony Ltd., | |
| | 3,000,000 | | | Series 2015-1A-D | | | 4.62% | #^ | | | 04/15/2027 | | | | 2,972,203 | |
| |
| | | | Birchwood Park Ltd., | |
| | 1,000,000 | | | Series 2014-1A-E2 | | | 7.42% | #^ | | | 07/15/2026 | | | | 1,006,973 | |
| |
| | | | BlueMountain Ltd., | |
| | 1,500,000 | | | Series 2012-1A-E | | | 6.53% | #^ | | | 07/20/2023 | | | | 1,507,490 | |
| | 10,100,000 | | | Series 2012-2A-DR | | | 5.20% | #^ | | | 11/20/2028 | | | | 10,154,719 | |
| | 3,000,000 | | | Series 2013-1A-CR | | | 5.18% | #^ | | | 01/20/2029 | | | | 3,078,008 | |
| | 5,000,000 | | | Series 2015-2A-D | | | 4.57% | #^ | | | 07/18/2027 | | | | 5,024,781 | |
| | 2,000,000 | | | Series 2015-2A-E | | | 6.37% | #^ | | | 07/18/2027 | | | | 1,940,320 | |
| | 4,000,000 | | | Series 2015-3A-B | | | 4.13% | #^ | | | 10/20/2027 | | | | 4,090,973 | |
| | 4,000,000 | | | Series 2015-3A-C | | | 4.58% | #^ | | | 10/20/2027 | | | | 4,005,470 | |
| | 5,000,000 | | | Series 2015-4A-C | | | 4.23% | #^ | | | 01/20/2027 | | | | 5,038,950 | |
| | 4,000,000 | | | Series 2015-4A-D1 | | | 5.63% | #^ | | | 01/20/2027 | | | | 4,044,972 | |
| | 2,000,000 | | | Series 2016-3A-D | | | 4.82% | #^ | | | 11/15/2027 | | | | 2,020,946 | |
| |
| | | | Bristol Park Ltd., | |
| | 2,000,000 | | | Series 2016-1A-D | | | 4.98% | #^ | | | 04/15/2029 | | | | 2,023,295 | |
| |
| | | | Brookside Mill Ltd., | |
| | 1,250,000 | | | Series 2013-1A-C1 | | | 3.72% | #^ | | | 04/17/2025 | | | | 1,242,422 | |
| | 2,250,000 | | | Series 2013-1A-D | | | 4.07% | #^ | | | 04/17/2025 | | | | 2,206,316 | |
| | 1,250,000 | | | Series 2013-1A-E | | | 5.42% | #^ | | | 04/17/2025 | | | | 1,155,914 | |
| |
| | | | California Street LP, | |
| | 5,000,000 | | | Series 2012-9A-DR | | | 4.98% | #^ | | | 10/16/2028 | | | | 5,062,330 | |
| |
| | | | Canyon Capital Ltd., | |
| | 5,000,000 | | | Series 2014-1A-B | | | 3.69% | #^ | | | 04/30/2025 | | | | 5,012,698 | |
| | 2,750,000 | | | Series 2014-1A-C | | | 4.29% | #^ | | | 04/30/2025 | | | | 2,682,629 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 1,964,808 | | | Series 2007-10A-A1 | | | 1.25% | #^ | | | 04/19/2022 | | | | 1,967,322 | |
| |
| | | | Carlyle Ltd., | |
| | 2,000,000 | | | Series 2016-4A-C | | | 4.78% | #^ | | | 10/20/2027 | | | | 2,009,703 | |
| |
| | | | Catamaran Ltd., | |
| | 2,500,000 | | | Series 2015-1A-C1 | | | 4.14% | #^ | | | 04/22/2027 | | | | 2,522,155 | |
| |
| | | | Cent Ltd., | |
| | 2,000,000 | | | Series 2013-18A-D | | | 4.49% | #^ | | | 07/23/2025 | | | | 1,997,536 | |
| | 1,500,000 | | | Series 2013-18A-E | | | 5.64% | #^ | | | 07/23/2025 | | | | 1,432,835 | |
| | 5,000,000 | | | Series 2014-21A-D | | | 6.04% | #^ | | | 07/27/2026 | | | | 4,712,590 | |
| | 1,000,000 | | | Series 2014-22A-C | | | 4.78% | #^ | | | 11/07/2026 | | | | 1,000,265 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Dorchester Park Ltd., | |
| | 2,000,000 | | | Series 2015-1A-C | | | 4.23% | #^ | | | 01/20/2027 | | | | 2,023,359 | |
| | 1,000,000 | | | Series 2015-1A-D | | | 4.58% | #^ | | | 01/20/2027 | | | | 996,482 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 2,000,000 | | | Series 2013-28A-B1L | | | 4.24% | #^ | | | 08/15/2025 | | | | 1,985,070 | |
| | 10,000,000 | | | Series 2014-33R-DR | | | 5.37% | #^ | | | 10/15/2028 | | | | 10,102,035 | |
| |
| | | | Eaton Vance Ltd., | |
| | 2,000,000 | | | Series 2006-8A-B | | | 1.69% | #^ | | | 08/15/2022 | | | | 1,992,355 | |
| |
| | | | Emerson Park Ltd., | |
| | 1,000,000 | | | Series 2013-1A-C1 | | | 3.77% | #^ | | | 07/15/2025 | | | | 999,829 | |
| |
| | | | Flatiron Ltd., | |
| | 2,000,000 | | | Series 2014-1A-C | | | 4.32% | #^ | | | 07/17/2026 | | | | 1,967,349 | |
| |
| | | | Galaxy Ltd., | |
| | 1,000,000 | | | Series 2013-15A-C | | | 3.62% | #^ | | | 04/15/2025 | | | | 1,003,983 | |
| | 1,000,000 | | | Series 2013-15A-D | | | 4.42% | #^ | | | 04/15/2025 | | | | 1,002,804 | |
| |
| | | | GLM, | |
| | 2,000,000 | | | Series 2017-1A-D | | | 0.00% | #^ | | | 04/20/2029 | | | | 2,000,000 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 3,750,000 | | | Series 2015-10A-D | | | 4.38% | #^ | | | 07/20/2027 | | | | 3,721,530 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 740,000 | | | Series 2013-2A-C | | | 3.73% | #^ | | | 08/01/2025 | | | | 744,538 | |
| | 1,500,000 | | | Series 2014-3A-D | | | 4.69% | #^ | | | 10/22/2025 | | | | 1,482,580 | |
| |
| | | | ING Ltd., | |
| | 2,000,000 | | | Series 2013-3A-B | | | 3.72% | #^ | | | 01/18/2026 | | | | 2,005,157 | |
| |
| | | | Jamestown Ltd., | |
| | 2,000,000 | | | Series 2015-6A-A1A | | | 2.65% | #^ | | | 02/20/2027 | | | | 2,002,123 | |
| |
| | | | Jay Park Ltd., | |
| | 3,500,000 | | | Series 2016-1A-C | | | 4.66% | #^ | | | 10/20/2027 | | | | 3,530,586 | |
| |
| | | | LCM LP, | |
| | 1,000,000 | | | Series 12A-E | | | 6.77% | #^ | | | 10/19/2022 | | | | 1,004,922 | |
| | 2,850,000 | | | Series 14A-D | | | 4.52% | #^ | | | 07/15/2025 | | | | 2,864,493 | |
| | 2,500,000 | | | Series 15A-C | | | 4.15% | #^ | | | 08/25/2024 | | | | 2,502,864 | |
| | 1,000,000 | | | Series 16A-D | | | 4.62% | #^ | | | 07/15/2026 | | | | 1,006,902 | |
| | 2,000,000 | | | Series 19A-D | | | 4.47% | #^ | | | 07/15/2027 | | | | 1,969,974 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 5,000,000 | | | Series 2007-4A-A1B | | | 1.46% | #^ | | | 03/22/2021 | | | | 4,922,197 | |
| | 5,000,000 | | | Series 2007-4A-B | | | 1.53% | #^ | | | 03/22/2021 | | | | 4,894,797 | |
| | 1,000,000 | | | Series 2007-4A-D | | | 2.59% | #^ | | | 03/22/2021 | | | | 982,958 | |
| | 2,750,000 | | | Series 2007-6A-C | | | 2.03% | #^ | | | 07/26/2021 | | | | 2,684,344 | |
| | 2,000,000 | | | Series 2013-11A-D | | | 4.54% | #^ | | | 10/23/2025 | | | | 2,016,490 | |
| | 1,000,000 | | | Series 2014-13X-E | | | 6.02% | # | | | 01/19/2025 | | | | 985,000 | |
| | 4,750,000 | | | Series 2014-14A-D | | | 4.63% | #^ | | | 07/20/2026 | | | | 4,791,090 | |
| | 750,000 | | | Series 2014-14A-E | | | 5.78% | #^ | | | 07/20/2026 | | | | 737,499 | |
| | 2,000,000 | | | Series 2014-15A-CR | | | 4.49% | #^ | | | 01/27/2026 | | | | 2,015,308 | |
| | 1,250,000 | | | Series 2014-15A-DR | | | 6.48% | #^ | | | 01/27/2026 | | | | 1,247,511 | |
| | 5,000,000 | | | Series 2015-18A-D2 | | | 4.99% | #^ | | | 10/21/2026 | | | | 5,009,377 | |
| |
| | | | Magnetite Ltd., | |
| | 5,000,000 | | | Series 2012-7A-CR | | | 4.77% | #^ | | | 01/15/2025 | | | | 5,062,049 | |
| | 2,000,000 | | | Series 2014-11A-C | | | 4.62% | #^ | | | 01/18/2027 | | | | 2,016,950 | |
| |
| | | | MP Ltd., | |
| | 1,000,000 | | | Series 2014-2A-DR | | | 4.46% | #^ | | | 01/15/2027 | | | | 1,000,000 | |
| |
| | | | Nomad Ltd., | |
| | 1,500,000 | | | Series 2013-1A-B | | | 3.97% | #^ | | | 01/15/2025 | | | | 1,507,469 | |
| | 1,500,000 | | | Series 2013-1A-C | | | 4.52% | #^ | | | 01/15/2025 | | | | 1,507,416 | |
| |
| | | | North End Ltd., | |
| | 1,000,000 | | | Series 2013-1A-D | | | 4.52% | #^ | | | 07/17/2025 | | | | 992,364 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 2,000,000 | | | Series 2013-1A-D | | | 4.37% | #^ | | | 07/17/2025 | | | | 2,000,727 | |
| | 2,000,000 | | | Series 2013-1A-E | | | 5.52% | #^ | | | 07/17/2025 | | | | 1,866,549 | |
| | 1,000,000 | | | Series 2014-1A-C2 | | | 4.54% | #^ | | | 11/25/2025 | | | | 1,001,491 | |
| | 2,000,000 | | | Series 2014-1A-D | | | 4.68% | #^ | | | 08/12/2026 | | | | 2,004,821 | |
| | 1,000,000 | | | Series 2014-1A-D2 | | | 5.62% | #^ | | | 11/25/2025 | | | | 1,005,379 | |
| | 3,500,000 | | | Series 2016-1A-C | | | 4.02% | #^ | | | 07/15/2027 | | | | 3,506,831 | |
| | 10,000,000 | | | Series 2016-1A-D | | | 5.77% | #^ | | | 07/15/2027 | | | | 10,050,276 | |
| | 4,000,000 | | | Series 2017-1A-C | | | 4.53% | #^ | | | 03/17/2030 | | | | 4,004,497 | |
| | 1,760,000 | | | Series 2017-1A-D | | | 7.23% | #^ | | | 03/17/2030 | | | | 1,751,950 | |
| | | | | | |
| 26 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Symphony Ltd., | |
| | 3,000,000 | | | Series 2013-11A-B1 | | | 3.22% | #^ | | | 01/17/2025 | | | | 3,002,204 | |
| | 3,000,000 | | | Series 2013-11A-C | | | 4.17% | #^ | | | 01/17/2025 | | | | 3,005,692 | |
| |
| | | | TCI-Flatiron Ltd., | |
| | 5,000,000 | | | Series 2016-1A-C | | | 4.07% | #^ | | | 07/17/2028 | | | | 5,022,805 | |
| | 4,000,000 | | | Series 2016-1A-C | | | 5.12% | #^ | | | 12/21/2029 | | | | 4,031,163 | |
| |
| | | | TCI-Symphony Ltd., | |
| | 5,000,000 | | | Series 2016-1A-D | | | 4.72% | #^ | | | 10/13/2029 | | | | 5,005,696 | |
| |
| | | | Thacher Park Ltd., | |
| | 2,000,000 | | | Series 2014-1A-D1R | | | 5.26% | #^ | | | 10/20/2026 | | | | 2,002,409 | |
| |
| | | | THL Credit Wind River Ltd., | |
| | 2,000,000 | | | Series 2014-1A-DR | | | 4.61% | #^ | | | 04/18/2026 | | | | 2,000,498 | |
| |
| | | | Venture Ltd., | |
| | 2,450,000 | | | Series 2012-12A-DR | | | 4.75% | #^ | | | 02/28/2026 | | | | 2,455,096 | |
| | 2,500,000 | | | Series 2014-17A-C | | | 3.87% | #^ | | | 07/15/2026 | | | | 2,507,655 | |
| |
| | | | Wind River Ltd., | |
| | 2,000,000 | | | Series 2012-1A-DR | | | 5.12% | #^ | | | 01/15/2026 | | | | 2,028,740 | |
| | 3,000,000 | | | Series 2013-1A-C | | | 4.43% | #^ | | | 04/20/2025 | | | | 3,004,050 | |
| | 4,100,000 | | | Series 2016-1A-B | | | 4.22% | #^ | | | 07/15/2028 | | | | 4,125,435 | |
| | 2,000,000 | | | Series 2016-1A-D | | | 5.67% | #^ | | | 07/15/2028 | | | | 2,019,809 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $280,976,441) | | | | 285,286,029 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 8.0% | |
| | 1,995,800 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 2,145,485 | |
| | 1,995,800 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 2,145,485 | |
| | 700,000 | | | Aeropuerto Argentina S.A. | | | 6.88% | ^ | | | 02/01/2027 | | | | 724,500 | |
| | 6,200,000 | | | AES Andres B.V. | | | 7.95% | ^ | | | 05/11/2026 | | | | 6,667,294 | |
| | 2,000,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 1,865,000 | |
| | 2,800,000 | | | AES Gener S.A. | | | 5.00% | | | | 07/14/2025 | | | | 2,850,614 | |
| | 2,000,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 2,075,000 | |
| | 1,557,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 1,615,388 | |
| | 1,700,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 1,262,250 | |
| | 9,675,000 | | | AstraZeneca PLC | | | 2.38% | | | | 11/16/2020 | | | | 9,694,292 | |
| | 10,835,000 | | | Australia and New Zealand Banking Group Ltd. | | | 4.88% | ^ | | | 01/12/2021 | | | | 11,747,892 | |
| | 800,000 | | | Autoridad del Canal de Panama | | | 4.95% | | | | 07/29/2035 | | | | 878,000 | |
| | 2,600,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 2,589,600 | |
| | 4,700,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 4,681,200 | |
| | 1,500,000 | | | Axiata SPV2 BHD | | | 3.47% | | | | 11/19/2020 | | | | 1,537,585 | |
| | 600,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 626,250 | |
| | 1,500,000 | | | Banco de Bogota S.A. | | | 6.25% | ^ | | | 05/12/2026 | | | | 1,569,375 | |
| | 2,000,000 | | | Banco de Costa Rica | | | 5.25% | ^ | | | 08/12/2018 | | | | 2,036,620 | |
| | 2,500,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 2,545,775 | |
| | 4,300,000 | | | Banco de Reservas de la Republica Dominicana | | | 7.00% | | | | 02/01/2023 | | | | 4,388,838 | |
| | 2,200,000 | | | Banco de Reservas de la Republica Dominicana | | | 7.00% | ^ | | | 02/01/2023 | | | | 2,245,452 | |
| | 3,000,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 3,120,000 | |
| | 2,100,000 | | | Banco GNB Sudameris S.A. | | | 6.50% | ^ | | | 04/03/2027 | | | | 2,133,495 | |
| | 1,000,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 1,095,000 | |
| | 6,200,000 | | | Banco Macro S.A. | | | 6.75% | # | | | 11/04/2026 | | | | 6,238,440 | |
| | 2,500,000 | | | Banco Mercantil del Norte S.A. | | | 5.75% | # | | | 10/04/2031 | | | | 2,453,125 | |
| | 3,000,000 | | | Banco Mercantil del Norte S.A. | | | 5.75% | #^ | | | 10/04/2031 | | | | 2,943,750 | |
| | 4,500,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | # | | | 08/11/2026 | | | | 4,421,250 | |
| | 1,500,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 1,521,720 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 5,700,000 | | | Banco Nacional de Costa Rica | | | 5.88% | ^ | | | 04/25/2021 | | | | 5,806,875 | |
| | 11,280,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 11,703,000 | |
| | 10,360,000 | | | Bank of Montreal | | | 1.90% | | | | 08/27/2021 | | | | 10,096,545 | |
| | 1,250,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 1,168,750 | |
| | 7,200,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 7,200,000 | |
| | 5,700,000 | | | BBVA Bancomer S.A. | | | 5.35% | #^ | | | 11/12/2029 | | | | 5,643,000 | |
| | 2,557,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 2,531,430 | |
| | 1,700,000 | | | Bharat Petroleum Corporation Ltd. | | | 4.63% | | | | 10/25/2022 | | | | 1,813,560 | |
| | 7,300,000 | | | Bharti Airtel Ltd. | | | 4.38% | | | | 06/10/2025 | | | | 7,306,516 | |
| | 2,475,000 | | | BP Capital Markets PLC | | | 3.59% | | | | 04/14/2027 | | | | 2,494,458 | |
| | 7,685,000 | | | BP Capital Markets PLC | | | 3.72% | | | | 11/28/2028 | | | | 7,822,093 | |
| | 9,800,000 | | | BPRL International Singapore Pte Ltd. | | | 4.38% | | | | 01/18/2027 | | | | 10,008,044 | |
| | 20,183,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 20,851,380 | |
| | 1,130,000 | | | Camelot Finance S.A. | | | 7.88% | ^ | | | 10/15/2024 | | | | 1,200,614 | |
| | 2,150,000 | | | Camposol S.A. | | | 10.50% | ^ | | | 07/15/2021 | | | | 2,273,625 | |
| | 95,000 | | | Canadian Pacific Railway Company | | | 2.90% | | | | 02/01/2025 | | | | 93,305 | |
| | 1,600,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 1,700,000 | |
| | 5,800,000 | | | Cencosud S.A. | | | 5.15% | | | | 02/12/2025 | | | | 6,054,397 | |
| | 1,900,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 1,691,000 | |
| | 2,000,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 1,780,000 | |
| | 7,500,000 | | | CK Hutchison International Ltd. | | | 3.50% | ^ | | | 04/05/2027 | | | | 7,486,601 | |
| | 700,000 | | | CNOOC Finance Ltd. | | | 4.25% | | | | 01/26/2021 | | | | 733,961 | |
| | 14,000,000 | | | CNOOC Finance Ltd. | | | 3.50% | | | | 05/05/2025 | | | | 13,879,726 | |
| | 2,000,000 | | | CNPC General Capital Ltd. | | | 3.40% | | | | 04/16/2023 | | | | 2,029,435 | |
| | 1,000,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 1,086,316 | |
| | 3,700,000 | | | Comision Federal de Electricidad | | | 4.75% | | | | 02/23/2027 | | | | 3,718,500 | |
| | 15,815,000 | | | Commonwealth Bank of Australia | | | 2.75% | ^ | | | 03/10/2022 | | | | 15,863,141 | |
| | 3,500,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 3,368,715 | |
| | 2,322,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 2,234,902 | |
| | 6,610,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/29/2049 | | | | 6,659,575 | |
| | 6,600,000 | | | Credito Real S.A.B. de C.V. | | | 7.25% | ^ | | | 07/20/2023 | | | | 6,699,000 | |
| | 1,000,000 | | | Dana Financing, Ltd. | | | 5.75% | ^ | | | 04/15/2025 | | | | 1,011,250 | |
| | 500,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 503,831 | |
| | 5,700,000 | | | DBS Group Holdings Ltd. | | | 3.60% | #† | | | 12/29/2049 | | | | 5,615,680 | |
| | 3,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 3,193,125 | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 482,500 | |
| | 7,100,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 5,555,750 | |
| | 3,900,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 3,051,750 | |
| | 1,500,000 | | | Eldorado International Finance GMBH | | | 8.63% | ^ | | | 06/16/2021 | | | | 1,278,750 | |
| | 4,500,000 | | | Empresa Electrica Angamos S.A. | | | 4.88% | | | | 05/25/2029 | | | | 4,549,149 | |
| | 3,500,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | ^ | | | 04/30/2025 | | | | 3,357,683 | |
| | 2,950,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | | | | 04/30/2025 | | | | 2,830,047 | |
| | 2,200,000 | | | Empresa Nacional de Telecomunicaciones S.A. | | | 4.88% | | | | 10/30/2024 | | | | 2,278,074 | |
| | 6,110,994 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 6,324,879 | |
| | 3,600,000 | | | Engie Energia Chile S.A. | | | 4.50% | | | | 01/29/2025 | | | | 3,689,174 | |
| | 8,000,000 | | | ENTEL Chile S.A. | | | 4.75% | | | | 08/01/2026 | | | | 8,218,143 | |
| | 2,000,000 | | | Fondo Mivivienda S.A. | | | 3.50% | ^ | | | 01/31/2023 | | | | 2,020,000 | |
| | 10,865,000 | | | Fortis, Inc. | | | 2.10% | ^ | | | 10/04/2021 | | | | 10,537,583 | |
| | 1,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 1,030,500 | |
| | 1,500,000 | | | Global Bank Corporation | | | 4.50% | ^ | | | 10/20/2021 | | | | 1,489,500 | |
| | 800,000 | | | GNL Quintero S.A. | | | 4.63% | | | | 07/31/2029 | | | | 820,000 | |
| | 7,600,000 | | | Gohl Capital Ltd. | | | 4.25% | | | | 01/24/2027 | | | | 7,682,863 | |
| | 2,300,000 | | | Grupo Aval Ltd. | | | 4.75% | | | | 09/26/2022 | | | | 2,305,750 | |
| | 3,950,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 4,108,000 | |
| | 2,890,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 2,561,262 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 27 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 5,000,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 4,431,250 | |
| | 400,000 | | | Grupo Televisa SAB | | | 4.63% | | | | 01/30/2026 | | | | 412,292 | |
| | 1,500,000 | | | Grupo Televisa SAB | | | 6.13% | | | | 01/31/2046 | | | | 1,593,696 | |
| | 3,050,000 | | | GrupoSura Finance S.A. | | | 5.50% | | | | 04/29/2026 | | | | 3,221,563 | |
| | 9,950,831 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 10,261,794 | |
| | 3,000,000 | | | Hutchison Whampoa International Ltd. | | | 3.25% | | | | 11/08/2022 | | | | 3,069,820 | |
| | 1,500,000 | | | Indian Oil Corporation, Ltd. | | | 5.63% | | | | 08/02/2021 | | | | 1,647,759 | |
| | 8,484,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 8,523,366 | |
| | 800,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 803,712 | |
| | 2,300,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 2,432,066 | |
| | 2,000,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 2,114,840 | |
| | 1,375,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 1,136,094 | |
| | 740,000 | | | Intelsat Jackson Holdings S.A. | | | 8.00% | ^ | | | 02/15/2024 | | | | 786,250 | |
| | 7,000,000 | | | Inversiones CMPC S.A. | | | 4.38% | ^ | | | 04/04/2027 | | | | 6,973,760 | |
| | 3,000,000 | | | IOI Investment BHD | | | 4.38% | | | | 06/27/2022 | | | | 3,102,744 | |
| | 8,600,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 9,055,800 | |
| | 200,000 | | | Korea Development Bank | | | 3.00% | | | | 01/13/2026 | | | | 199,619 | |
| | 2,300,000 | | | Korea Development Bank | | | 2.00% | | | | 09/12/2026 | | | | 2,098,145 | |
| | 435,000 | | | Kronos Acquisition Holdings, Inc. | | | 9.00% | ^ | | | 08/15/2023 | | | | 443,700 | |
| | 5,000,000 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | | 07/05/2034 | | | | 5,337,500 | |
| | 1,600,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 1,599,200 | |
| | 3,700,000 | | | MARB BondCo PLC | | | 7.00% | ^ | | | 03/15/2024 | | | | 3,681,500 | |
| | 1,000,000 | | | Marfrig Holdings Europe B.V. | | | 8.00% | ^ | | | 06/08/2023 | | | | 1,047,300 | |
| | 2,500,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 2,625,000 | |
| | 3,500,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 3,675,000 | |
| | 10,095,000 | | | National Gas Company of Trinidad and Tobago Ltd. | | | 6.05% | | | | 01/15/2036 | | | | 10,498,800 | |
| | 5,300,000 | | | OAS Financial Ltd. | | | 8.88% | #^†W | | | 04/25/2018 | | | | 238,500 | |
| | 1,500,000 | | | OAS Financial Ltd. | | | 8.88% | #†W | | | 04/29/2049 | | | | 67,500 | |
| | 1,700,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 629,000 | |
| | 1,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/29/2049 | | | | 568,125 | |
| | 9,000,000 | | | ONGC Videsh Ltd. | | | 3.75% | | | | 07/27/2026 | | | | 8,830,962 | |
| | 10,400,000 | | | Ooredoo International Finance Ltd. | | | 3.88% | | | | 01/31/2028 | | | | 10,251,124 | |
| | 10,189,000 | | | Orange S.A. | | | 2.75% | | | | 02/06/2019 | | | | 10,312,328 | |
| | 695,000 | | | Orange S.A. | | | 5.38% | | | | 07/08/2019 | | | | 744,095 | |
| | 5,800,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 5,962,221 | |
| | 4,800,000 | | | Pampa Energia S.A. | | | 7.50% | ^ | | | 01/24/2027 | | | | 4,866,720 | |
| | 5,100,000 | | | Pertamina Persero PT | | | 5.63% | | | | 05/20/2043 | | | | 5,248,257 | |
| | 1,800,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 1,529,820 | |
| | 1,000,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 849,900 | |
| | 2,100,000 | | | Petrobras Global Finance B.V. | | | 7.38% | | | | 01/17/2027 | | | | 2,225,370 | |
| | 12,000,000 | | | Petrobras Global Finance B.V. | | | 7.25% | | | | 03/17/2044 | | | | 11,910,000 | |
| | 5,175,000 | | | Petroleos Mexicanos | | | 6.75% | | | | 09/21/2047 | | | | 5,266,132 | |
| | 8,500,000 | | | Petronas Capital Ltd. | | | 3.50% | | | | 03/18/2025 | | | | 8,648,844 | |
| | 7,500,000 | | | Pontis Ltd. | | | 5.13% | ^ | | | 03/31/2027 | | | | 7,522,500 | |
| | 2,240,000 | | | Potash Corporation of Saskatchewan, Inc. | | | 4.00% | | | | 12/15/2026 | | | | 2,297,485 | |
| | 2,000,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 2,122,340 | |
| | 4,700,000 | | | Reliance Holdings, Inc. | | | 5.40% | | | | 02/14/2022 | | | | 5,133,542 | |
| | 500,000 | | | Reliance Holdings, Inc. | | | 4.13% | | | | 01/28/2025 | | | | 513,169 | |
| | 5,080,000 | | | Royal Bank of Canada | | | 2.13% | | | | 03/02/2020 | | | | 5,083,774 | |
| | 2,485,000 | | | Royal Bank of Canada | | | 2.50% | | | | 01/19/2021 | | | | 2,503,193 | |
| | 600,000 | | | SACI Falabella | | | 3.75% | | | | 04/30/2023 | | | | 605,645 | |
| | 10,310,000 | | | Shire Acquisitions Investments Ireland DAC | | | 2.88% | | | | 09/23/2023 | | | | 10,016,485 | |
| | 1,000,000 | | | Sigma Alimentos S.A. de C.V. | | | 4.13% | | | | 05/02/2026 | | | | 980,000 | |
| | 1,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 05/03/2021 | | | | 993,695 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 15,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 09/29/2026 | | | | 13,930,200 | |
| | 1,000,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | | | | 11/07/2021 | | | | 992,500 | |
| | 1,000,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 992,500 | |
| | 300,000 | | | SUAM Finance B.V. | | | 4.88% | | | | 04/17/2024 | | | | 312,210 | |
| | 8,285,000 | | | Sumitomo Mitsui Financial Group, Inc. | | | 2.93% | | | | 03/09/2021 | | | | 8,358,347 | |
| | 7,155,000 | | | Sumitomo Mitsui Financial Group, Inc. | | | 2.06% | | | | 07/14/2021 | | | | 6,968,491 | |
| | 350,000 | | | Sydney Airport Finance Company Pty Ltd. | | | 3.63% | ^ | | | 04/28/2026 | | | | 349,016 | |
| | 3,200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 3,312,000 | |
| | 1,180,000 | | | Telesat LLC | | | 8.88% | ^ | | | 11/15/2024 | | | | 1,298,000 | |
| | 10,582,000 | | | Teva Pharmaceutical Finance Company B.V. | | | 2.95% | | | | 12/18/2022 | | | | 10,345,429 | |
| | 3,600,000 | | | Teva Pharmaceutical Finance Netherlands B.V. | | | 2.80% | | | | 07/21/2023 | | | | 3,421,062 | |
| | 15,895,000 | | | Toronto Dominion Bank | | | 1.80% | | | | 07/13/2021 | | | | 15,473,798 | |
| | 200,000 | | | Transelec S.A. | | | 3.88% | | | | 01/12/2029 | | | | 194,500 | |
| | 9,900,000 | | | Transportadora de Gas del Peru S.A. | | | 4.25% | | | | 04/30/2028 | | | | 10,023,750 | |
| | 3,350,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 3,350,000 | |
| | 3,200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 3,160,000 | |
| | 2,000,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 2,040,460 | |
| | 2,500,000 | | | United Overseas Bank Ltd. | | | 3.50% | # | | | 09/16/2026 | | | | 2,511,590 | |
| | 9,280,000 | | | Westpac Banking Corporation | | | 2.60% | | | | 11/23/2020 | | | | 9,352,820 | |
| | 1,175,000 | | | Westpac Banking Corporation | | | 2.00% | | | | 08/19/2021 | | | | 1,148,890 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $657,185,848) | | | | 651,541,241 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 2.6% |
|
| | 16,000,000 | | | Argentine Republic Government International Bond | | | 6.88% | ^ | | | 01/26/2027 | | | | 16,212,000 | |
| | 14,000,000 | | | Brazilian Government International Bond | | | 5.63% | | | | 01/07/2041 | | | | 13,685,000 | |
| | 7,000,000 | | | Chile Government International Bond | | | 3.13% | | | | 01/21/2026 | | | | 7,126,000 | |
| | 3,000,000 | | | Colombia Government International Bond | | | 4.50% | | | | 01/28/2026 | | | | 3,176,250 | |
| | 8,140,000 | | | Costa Rica Government International Bond | | | 10.00% | | | | 08/01/2020 | | | | 9,579,152 | |
| | 4,500,000 | | | Dominican Republic International Bond | | | 5.50% | | | | 01/27/2025 | | | | 4,595,625 | |
| | 15,300,000 | | | Dominican Republic International Bond | | | 5.95% | ^ | | | 01/25/2027 | | | | 15,663,375 | |
| | 5,900,000 | | | Dominican Republic International Bond | | | 6.85% | | | | 01/27/2045 | | | | 6,136,000 | |
| | 6,400,000 | | | Guatemala Government Bond | | | 4.50% | | | | 05/03/2026 | | | | 6,385,152 | |
| | 2,715,000 | | | Guatemala Government Bond | | | 4.88% | | | | 02/13/2028 | | | | 2,774,730 | |
| | 5,000,000 | | | Indonesia Government International Bond | | | 5.88% | | | | 03/13/2020 | | | | 5,474,710 | |
| | 5,000,000 | | | Indonesia Government International Bond | | | 4.35% | ^ | | | 01/08/2027 | | | | 5,179,785 | |
| | 13,500,000 | | | Korea International Bond | | | 2.75% | | | | 01/19/2027 | | | | 13,290,412 | |
| | 11,000,000 | | | Mexico Government International Bond | | | 4.13% | | | | 01/21/2026 | | | | 11,335,500 | |
| | 25,431,000 | | | Mexico Government International Bond | | | 4.15% | | | | 03/28/2027 | | | | 25,907,831 | |
| | | | | | |
| 28 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 8,600,000 | | | Mexico Government International Bond | | | 4.75% | | | | 03/08/2044 | | | | 8,385,000 | |
| | 10,800,000 | | | Panama Government International Bond | | | 3.88% | | | | 03/17/2028 | | | | 11,002,500 | |
| | 3,000,000 | | | Panama Government International Bond | | | 4.30% | | | | 04/29/2053 | | | | 2,857,500 | |
| | 6,500,000 | | | Perusahaan Penerbit SBSN Indonesia III | | | 4.15% | ^ | | | 03/29/2027 | | | | 6,535,425 | |
| | 7,000,000 | | | Philippine Government International Bond | | | 3.70% | | | | 02/02/2042 | | | | 6,931,498 | |
| | 6,500,000 | | | Provincia de Buenos Aires | | | 7.88% | ^ | | | 06/15/2027 | | | | 6,598,800 | |
| | 7,000,000 | | | Qatar Government International Bond | | | 2.38% | | | | 06/02/2021 | | | | 6,930,595 | |
| | 8,500,000 | | | Republic of Poland Government International Bond | | | 5.13% | | | | 04/21/2021 | | | | 9,321,780 | |
| | 3,000,000 | | | Republic of Poland Government International Bond | | | 3.25% | | | | 04/06/2026 | | | | 2,980,665 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $204,904,653) | | | | 208,065,285 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 0.3% | |
| | 7,400,000 | | | City of Houston TX Combined Utility System Revenue | | | 5.00% | | | | 11/15/2035 | | | | 8,481,140 | |
| | 2,300,000 | | | Los Angeles County Metropolitan Transportation Authority | | | 5.00% | | | | 06/01/2033 | | | | 2,699,993 | |
| | 5,050,000 | | | Massachusetts School Building Authority | | | 5.00% | | | | 11/15/2034 | | | | 5,855,727 | |
| | 4,950,000 | | | North Texas Municipal Water District Water System Revenue | | | 5.00% | | | | 09/01/2035 | | | | 5,703,341 | |
| | 1,780,000 | | | State of California | | | 5.00% | | | | 08/01/2033 | | | | 2,026,494 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $24,472,801) | | | | 24,766,695 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE BACKED
OBLIGATIONS 7.5% |
|
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 2,000,000 | | | Series 2014-IP-E | | | 2.72% | #^ | | | 06/15/2028 | | | | 1,974,064 | |
| | 118,650,000 | | | Series 2015-200P-XA | | | 0.38% | #^ I/O | | | 04/14/2033 | | | | 3,372,140 | |
| |
| | | | Barclays Commercial Mortgage Securities LLC, | |
| | 77,344,161 | | | Series 2017-C1-XA | | | 1.53% | # I/O | | | 02/15/2050 | | | | 8,719,703 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 3,775,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 3,627,474 | |
| |
| | | | CFCRE Commercial Mortgage Trust, | |
| | 74,856,789 | | | Series 2016-C3-XA | | | 1.09% | # I/O | | | 01/10/2048 | | | | 5,355,958 | |
| | 9,279,000 | | | Series 2016-C7-A3 | | | 3.84% | | | | 12/10/2054 | | | | 9,579,612 | |
| |
| | | | CGCMT Commercial Mortgage Trust, | |
| | 3,214,000 | | | Series 2016-SMPL-D | | | 3.52% | ^ | | | 09/10/2031 | | | | 3,189,365 | |
| |
| | | | Chicago Skyscraper Trust, | |
| | 6,014,000 | | | Series 2017-SKY-B | | | 2.01% | #^ | | | 04/15/2030 | | | | 6,017,608 | |
| | 3,331,000 | | | Series 2017-SKY-C | | | 2.16% | #^ | | | 04/15/2030 | | | | 3,331,000 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 10,899,161 | | | Series 2012-GC8-XA | | | 2.12% | #^ I/O | | | 09/10/2045 | | | | 671,479 | |
| | 4,234,500 | | | Series 2015-GC27-D | | | 4.43% | #^ | | | 02/10/2048 | | | | 3,407,448 | |
| | 4,213,581 | | | Series 2015-GC27-XA | | | 1.43% | # I/O | | | 02/10/2048 | | | | 351,831 | |
| | 5,572,000 | | | Series 2015-GC35-C | | | 4.50% | # | | | 11/10/2048 | | | | 5,571,115 | |
| | 73,792,369 | | | Series 2015-GC35-XA | | | 0.90% | # I/O | | | 11/10/2048 | | | | 3,850,744 | |
| | 6,303,000 | | | Series 2016-C32-A5 | | | 3.72% | # | | | 12/10/2049 | | | | 6,540,057 | |
| | 46,020,675 | | | Series 2016-P3-XA | | | 1.71% | # I/O | | | 04/15/2049 | | | | 5,109,496 | |
| | 8,530,000 | | | Series 2016-P4-A4 | | | 2.90% | | | | 07/10/2049 | | | | 8,305,452 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Citigroup Commercial Mortgage Trust, (Cont.) | |
| | 58,742,557 | | | Series 2016-P4-XA | | | 2.01% | # I/O | | | 07/10/2049 | | | | 7,630,059 | |
| | 84,506,250 | | | Series 2016-P5-XA | | | 1.56% | # I/O | | | 10/10/2049 | | | | 8,467,323 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 2,602,680 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 2,631,960 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 3,988,084 | | | Series 2002-LC4-XA | | | 2.23% | #^ I/O | | | 12/10/2044 | | | | 323,126 | |
| | 1,043,365 | | | Series 2010-C1-XPA | | | 1.59% | #^ I/O | | | 07/10/2046 | | | | 10,186 | |
| | 27,463,649 | | | Series 2012-CR3-XA | | | 2.07% | # I/O | | | 10/15/2045 | | | | 2,022,670 | |
| | 8,626,000 | | | Series 2012-CR4-D | | | 4.57% | #^ | | | 10/15/2045 | | | | 7,871,949 | |
| | 7,910,000 | | | Series 2013-CR11-D | | | 5.17% | #^ | | | 08/10/2050 | | | | 7,463,890 | |
| | 3,500,000 | | | Series 2014-CR20-C | | | 4.51% | # | | | 11/10/2047 | | | | 3,449,742 | |
| | 5,000,000 | | | Series 2015-CR23-D | | | 4.26% | # | | | 05/10/2048 | | | | 3,803,983 | |
| | 1,400,000 | | | Series 2015-CR25-C | | | 4.55% | # | | | 08/10/2048 | | | | 1,377,619 | |
| | 61,242,797 | | | Series 2015-CR26-XA | | | 1.05% | # I/O | | | 10/10/2048 | | | | 3,824,735 | |
| | 4,310,000 | | | Series 2015-LC21-C | | | 4.31% | # | | | 07/10/2048 | | | | 4,081,016 | |
| | 5,579,000 | | | Series 2015-LC23-C | | | 4.65% | # | | | 10/10/2048 | | | | 5,492,441 | |
| | 6,664,000 | | | Series 2016-CR28-C | | | 4.65% | # | | | 02/10/2049 | | | | 6,501,681 | |
| | 3,786,000 | | | Series 2016-DC2-C | | | 4.64% | # | | | 02/10/2049 | | | | 3,662,968 | |
| | 59,705,469 | | | Series 2016-DC2-XA | | | 1.07% | # I/O | | | 02/10/2049 | | | | 4,116,197 | |
| | 9,247,000 | | | Series 2016-GCT-E | | | 3.46% | #^ | | | 08/10/2029 | | | | 8,917,949 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 8,659 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 8,664 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 9,157,000 | | | Series 2007-C4-A1AM | | | 5.96% | # | | | 09/15/2039 | | | | 9,216,257 | |
| | 5,135,000 | | | Series 2015-SAND-D | | | 3.76% | #^ | | | 08/15/2030 | | | | 5,161,231 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 5,597,000 | | | Series 2015-C4-C | | | 4.58% | # | | | 11/15/2048 | | | | 5,493,995 | |
| | 58,927,471 | | | Series 2016-C6-XA | | | 1.81% | # I/O | | | 01/15/2049 | | | | 6,718,563 | |
| |
| | | | DBRR Trust, | |
| | 1,000,000 | | | Series 2011-C32-A3B | | | 5.76% | #^ | | | 06/17/2049 | | | | 998,232 | |
| |
| | | | DBUBS Mortgage Trust, | |
| | 3,513,636 | | | Series 2011-LC2A-XA | | | 1.32% | #^ I/O | | | 07/10/2044 | | | | 122,345 | |
| |
| | | | Deutsche Bank Commercial Mortgage Trust, | |
| | 61,953,470 | | | Series 2016-C1-XA | | | 1.50% | # I/O | | | 05/10/2049 | | | | 6,282,447 | |
| |
| | | | Deutsche Bank Mortgage Trust, | |
| | 4,475,000 | | | Series 2016-C1-C | | | 3.35% | # | | | 05/10/2049 | | | | 4,211,732 | |
| |
| | | | GE Commercial Mortgage Corporation Trust, | |
| | 4,078,000 | | | Series 2007-C1-AM | | | 5.61% | # | | | 12/10/2049 | | | | 4,057,692 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 3,795,300 | | | Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 3,860,783 | |
| | 3,500,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 3,541,741 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 88,599 | | | Series 2006-GG6-XC | | | 0.00% | #^ I/O | | | 04/10/2038 | | | | 1 | |
| | 2,993,637 | | | Series 2011-GC5-XA | | | 1.36% | #^ I/O | | | 08/10/2044 | | | | 143,528 | |
| | 5,000,649 | | | Series 2012-GC6-XA | | | 1.96% | #^ I/O | | | 01/10/2045 | | | | 378,372 | |
| | 3,741,000 | | | Series 2014-GC26-C | | | 4.51% | # | | | 11/10/2047 | | | | 3,773,790 | |
| | 9,957,000 | | | Series 2014-GC26-D | | | 4.51% | #^ | | | 11/10/2047 | | | | 8,320,818 | |
| | 99,181,538 | | | Series 2015-GS1-XA | | | 0.83% | # I/O | | | 11/10/2048 | | | | 5,618,803 | |
| | 61,842,199 | | | Series 2016-GS2-XA | | | 1.67% | # I/O | | | 05/10/2049 | | | | 6,728,029 | |
| | 5,663,000 | | | Series 2016-ICE2-A | | | 2.84% | #^ | | | 02/15/2033 | | | | 5,719,371 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 2,566,003 | | | Series 2006-LDP8-X | | | 0.42% | # I/O | | | 05/15/2045 | | | | 26 | |
| | 1,539,482 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 1,538,238 | |
| | 467,889 | | | Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 468,910 | |
| | 5,568,600 | | | Series 2007-CB19-AM | | | 5.83% | # | | | 02/12/2049 | | | | 5,572,368 | |
| | 5,055,300 | | | Series 2007-CB20-AJ | | | 6.18% | # | | | 02/12/2051 | | | | 5,178,523 | |
| | 6,350,000 | | | Series 2007-LD12-AM | | | 6.07% | # | | | 02/15/2051 | | | | 6,442,329 | |
| | 12,050,000 | | | Series 2009-IWST-XB | | | 0.30% | #^ I/O | | | 12/05/2027 | | | | 125,326 | |
| | 30,068 | | | Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 30,035 | |
| | 7,896,587 | | | Series 2011-C4-XA | | | 1.36% | #^ I/O | | | 07/15/2046 | | | | 185,474 | |
| | 25,173,782 | | | Series 2012-C8-XA | | | 1.93% | # I/O | | | 10/15/2045 | | | | 1,908,888 | |
| | 5,953,945 | | | Series 2012-CBX-XA | | | 1.66% | # I/O | | | 06/15/2045 | | | | 333,937 | |
| | 79,342,792 | | | Series 2015-JP1-XA | | | 1.15% | # I/O | | | 01/15/2049 | | | | 4,566,908 | |
| | 6,097,000 | | | Series 2007-LD11-AM | | | 5.84% | # | | | 06/15/2049 | | | | 6,241,840 | |
| | 18,000,379 | | | Series 2007-LDPX-AM | | | 5.46% | # | | | 01/15/2049 | | | | 17,985,671 | |
| | 2,704,000 | | | Series 2016-JP2-B | | | 3.46% | | | | 08/15/2049 | | | | 2,663,600 | |
| | 2,080,000 | | | Series 2016-JP2-C | | | 3.80% | # | | | 08/15/2049 | | | | 2,021,960 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 29 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, (Cont.) | |
| | 60,354,211 | | | Series 2016-JP2-XA | | | 1.86% | # I/O | | | 08/15/2049 | | | | 7,981,024 | |
| | 9,281,000 | | | Series 2016-WIKI-E | | | 4.01% | #^ | | | 10/05/2031 | | | | 9,088,421 | |
| | 9,287,000 | | | Series 2016-WPT-E | | | 5.91% | #^ | | | 10/15/2033 | | | | 9,479,789 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 57,173,750 | | | Series 2014-C18-XA | | | 1.07% | # I/O | | | 02/15/2047 | | | | 2,577,536 | |
| | 3,000,000 | | | Series 2014-C21-C | | | 4.66% | # | | | 08/15/2047 | | | | 2,992,394 | |
| | 2,766,125 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 2,773,753 | |
| | 3,766,500 | | | Series 2014-C25-C | | | 4.45% | # | | | 11/15/2047 | | | | 3,713,996 | |
| | 58,177,610 | | | Series 2014-C25-XA | | | 0.99% | # I/O | | | 11/15/2047 | | | | 3,029,157 | |
| | 50,394,697 | | | Series 2014-C26-XA | | | 1.17% | # I/O | | | 01/15/2048 | | | | 2,696,489 | |
| | 12,131,110 | | | Series 2015-C27-D | | | 3.84% | #^ | | | 02/15/2048 | | | | 9,585,526 | |
| | 34,294,254 | | | Series 2015-C27-XA | | | 1.37% | # I/O | | | 02/15/2048 | | | | 2,383,794 | |
| | 4,500,000 | | | Series 2015-C30-B | | | 4.31% | # | | | 07/15/2048 | | | | 4,410,488 | |
| | 51,537,796 | | | Series 2015-C31-XA | | | 1.01% | # I/O | | | 08/15/2048 | | | | 2,924,780 | |
| | 4,750,000 | | | Series 2015-C32-C | | | 4.67% | # | | | 11/15/2048 | | | | 4,515,992 | |
| | 6,470,000 | | | Series 2015-C33-C | | | 4.62% | # | | | 12/15/2048 | | | | 6,492,881 | |
| | 6,122,000 | | | Series 2016-C1-C | | | 4.75% | # | | | 03/15/2049 | | | | 6,316,906 | |
| | 63,559,030 | | | Series 2016-C2-XA | | | 1.71% | # I/O | | | 06/15/2049 | | | | 6,397,839 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 1,579,500 | | | Series 2007-C3-AM | | | 6.05% | # | | | 07/15/2044 | | | | 1,587,380 | |
| | 3,000,000 | | | Series 2007-C3-AMFL | | | 6.05% | #^ | | | 07/15/2044 | | | | 3,018,548 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 639,036 | | | Series 2006-C7-XCL | | | 0.49% | #^ I/O | | | 11/15/2038 | | | | 2,255 | |
| | 515,373 | | | Series 2006-C7-XW | | | 0.49% | #^ I/O | | | 11/15/2038 | | | | 1,819 | |
| | 3,017,800 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 3,019,368 | |
| | 4,708,000 | | | Series 2007-C7-AJ | | | 6.25% | # | | | 09/15/2045 | | | | 4,801,814 | |
| |
| | | | LSTAR Commercial Mortgage Trust, | |
| | 5,425,000 | | | Series 2016-4-C | | | 4.55% | #^ | | | 03/10/2049 | | | | 5,003,689 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 518,725 | | | Series 2006-C1-AJ | | | 5.44% | # | | | 05/12/2039 | | | | 518,229 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 2,382,360 | | | Series 2012-C5-XA | | | 1.57% | #^ I/O | | | 08/15/2045 | | | | 135,585 | |
| | 3,000,000 | | | Series 2014-C18-C | | | 4.49% | # | | | 10/15/2047 | | | | 2,958,235 | |
| | 4,000,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 3,738,116 | |
| | 39,044,805 | | | Series 2015-C20-XA | | | 1.40% | # I/O | | | 02/15/2048 | | | | 2,855,686 | |
| | 4,600,000 | | | Series 2015-C25-C | | | 4.53% | # | | | 10/15/2048 | | | | 4,681,796 | |
| | 7,500,000 | | | Series 2015-C26-D | | | 3.06% | ^ | | | 10/15/2048 | | | | 5,608,184 | |
| | 4,674,000 | | | Series 2015-C27-C | | | 4.54% | # | | | 12/15/2047 | | | | 4,464,273 | |
| | 6,710,000 | | | Series 2015-C27-D | | | 3.24% | #^ | | | 12/15/2047 | | | | 4,312,204 | |
| | 75,237,372 | | | Series 2016-C30-XA | | | 1.47% | # I/O | | | 09/15/2049 | | | | 7,659,714 | |
| | 6,907,000 | | | Series 2016-C32-A4 | | | 3.72% | | | | 12/15/2049 | | | | 7,168,914 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 639,824 | | | Series 2006-HQ8-AJ | | | 5.40% | # | | | 03/12/2044 | | | | 640,538 | |
| | 3,462,000 | | | Series 2007-1Q16-AMA | | | 6.06% | # | | | 12/12/2049 | | | | 3,541,812 | |
| | 1,278,404 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 1,255,399 | |
| | 827,022 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 825,301 | |
| | 1,400,000 | | | Series 2007-IQ16-AM | | | 6.07% | # | | | 12/12/2049 | | | | 1,428,186 | |
| | 12,539,365 | | | Series 2011-C1-XA | | | 0.46% | #^ I/O | | | 09/15/2047 | | | | 167,809 | |
| | 4,000,000 | | | Series 2014-CPT-G | | | 3.45% | #^ | | | 07/13/2029 | | | | 3,890,910 | |
| | 4,000,000 | | | Series 2014-MP-D | | | 3.69% | #^ | | | 08/11/2029 | | | | 4,050,144 | |
| | 92,780,923 | | | Series 2015-UBS8-XA | | | 0.97% | # I/O | | | 12/15/2048 | | | | 5,880,687 | |
| | 5,617,000 | | | Series 2015-XLF2-AFSC | | | 3.91% | #^ | | | 08/15/2026 | | | | 5,618,313 | |
| | 32,082,528 | | | Series 2016-UB11-XA | | | 1.68% | # I/O | | | 08/15/2049 | | | | 3,403,815 | |
| | 7,347,000 | | | Series 2017-PRME-D | | | 4.31% | #^ | | | 02/15/2034 | | | | 7,386,534 | |
| |
| | | | MSCG Trust, | |
| | 9,213,000 | | | Series 2016-SNR-C | | | 5.21% | ^ | | | 11/15/2034 | | | | 9,252,130 | |
| |
| | | | PFP Ltd., | |
| | 3,421,000 | | | Series 2017-3-A | | | 1.83% | #^ | | | 01/14/2035 | | | | 3,432,214 | |
| | 2,851,000 | | | Series 2017-3-AS | | | 2.08% | #^ | | | 01/14/2035 | | | | 2,868,631 | |
| | 1,639,000 | | | Series 2017-3-B | | | 2.53% | #^ | | | 01/14/2035 | | | | 1,651,316 | |
| | 1,710,000 | | | Series 2017-3-C | | | 3.28% | #^ | | | 01/14/2035 | | | | 1,725,773 | |
| |
| | | | SG Commercial Mortgage Securities Trust, | |
| | 54,958,606 | | | Series 2016-C5-XA | | | 2.03% | # I/O | | | 10/10/2048 | | | | 7,024,276 | |
| |
| | | | Sutherland Commercial Mortgage Loans LLC, | |
| | 5,925,867 | | | Series 2015-SBC4-A | | | 4.00% | ^ | | | 06/25/2039 | | | | 5,904,382 | |
| |
| | | | TIAA Seasoned Commercial Mortgage Trust, | |
| | 148,265 | | | Series 2007-C4-AJ | | | 5.47% | # | | | 08/15/2039 | | | | 149,777 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 13,644,303 | | | Series 2012-C3-XA | | | 2.01% | #^ I/O | | | 08/10/2049 | | | | 1,005,682 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 1,739,010 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 1,745,531 | |
| | 1,933,229 | | | Series 2006-C29-IO | | | 0.28% | # I/O | | | 11/15/2048 | | | | 19 | |
| | 1,836,726 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 1,850,495 | |
| | 5,488,832 | | | Series 2007-C33-AM | | | 6.05% | # | | | 02/15/2051 | | | | 5,532,255 | |
| | 2,500,000 | | | Series 2007-C33-B | | | 6.05% | # | | | 02/15/2051 | | | | 2,436,838 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 6,750,000 | | | Series 2014-LC16-D | | | 3.94% | ^ | | | 08/15/2050 | | | | 5,592,017 | |
| | 2,200,000 | | | Series 2015-C28-C | | | 4.14% | # | | | 05/15/2048 | | | | 1,984,320 | |
| | 5,403,000 | | | Series 2015-C31-C | | | 4.61% | # | | | 11/15/2048 | | | | 5,488,980 | |
| | 78,175,811 | | | Series 2015-C31-XA | | | 1.11% | # I/O | | | 11/15/2048 | | | | 5,357,396 | |
| | 4,610,000 | | | Series 2015-LC22-C | | | 4.54% | # | | | 09/15/2058 | | | | 4,660,581 | |
| | 55,640,700 | | | Series 2015-NXS1-XA | | | 1.19% | # I/O | | | 05/15/2048 | | | | 3,588,413 | |
| | 4,000,000 | | | Series 2015-NXS3-C | | | 4.49% | # | | | 09/15/2057 | | | | 3,812,598 | |
| | 5,672,000 | | | Series 2015-NXS4-C | | | 4.60% | # | | | 12/15/2048 | | | | 5,809,202 | |
| | 5,613,000 | | | Series 2015-P2-A4 | | | 3.81% | | | | 12/15/2048 | | | | 5,859,406 | |
| | 78,677,741 | | | Series 2015-P2-XA | | | 1.03% | # I/O | | | 12/15/2048 | | | | 4,849,255 | |
| | 4,650,000 | | | Series 2016-C32-C | | | 4.72% | # | | | 01/15/2059 | | | | 4,521,816 | |
| | 4,483,000 | | | Series 2016-C33-C | | | 3.90% | | | | 03/15/2059 | | | | 4,318,999 | |
| | 17,697,709 | | | Series 2016-LC24-XA | | | 1.74% | # I/O | | | 10/15/2049 | | | | 2,020,724 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 17,982,843 | | | Series 2012-C9-XA | | | 2.09% | #^ I/O | | | 11/15/2045 | | | | 1,311,154 | |
| | 87,021,756 | | | Series 2014-C21-XA | | | 1.15% | # I/O | | | 08/15/2047 | | | | 5,056,391 | |
| | 55,755,711 | | | Series 2014-C22-XA | | | 0.93% | # I/O | | | 09/15/2057 | | | | 2,676,703 | |
| | 58,827,226 | | | Series 2014-C24-XA | | | 0.97% | # I/O | | | 11/15/2047 | | | | 2,983,888 | |
| | 82,284,833 | | | Series 2016-NXS6-XA | | | 1.66% | # I/O | | | 11/15/2049 | | | | 8,746,903 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $622,113,857) | | | | 606,448,554 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 7.8% |
|
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 11,952,263 | | | Series 2007-1-4A1 | | | 4.41% | # | | | 03/25/2037 | | | | 9,271,635 | |
| | 79,505 | | | Series 2007-3-1A1 | | | 4.25% | #^ | | | 11/25/2037 | | | | 74,296 | |
| |
| | | | Alternative Loan Trust, | |
| | 22,667,819 | | | Series 2005-49CB-A2 | | | 5.50% | | | | 11/25/2035 | | | | 21,238,971 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 1,568,012 | | | Series 2005-G-A3 | | | 3.10% | # | | | 10/20/2035 | | | | 1,477,036 | |
| | 689,666 | | | Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 678,302 | |
| | 490,179 | | | Series 2006-6-1A2 | | | 6.25% | | | | 08/25/2036 | | | | 459,150 | |
| |
| | | | Bayview Opportunity Master Fund Trust, | |
| | 24,333,196 | | | Series 2016-RPL3-A1 | | | 3.47% | #^ | | | 07/28/2031 | | | | 24,310,379 | |
| |
| | | | BCAP LLC Trust, | |
| | 89,876 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 90,363 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 285,833 | | | Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 220,796 | |
| |
| | | | Chase Mortgage Finance Trust, | |
| | 4,113,244 | | | Series 2007-A2-6A4 | | | 3.22% | # | | | 07/25/2037 | | | | 3,943,667 | |
| | 1,544,368 | | | Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 1,197,973 | |
| |
| | | | CIM Trust, | |
| | 20,000,000 | | | Series 2016-2RR-B2 | | | 13.12% | #^ | | | 02/27/2056 | | | | 17,543,924 | |
| | 20,000,000 | | | Series 2016-3RR-B2 | | | 11.38% | #^ | | | 02/27/2056 | | | | 17,546,440 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 108,389 | | | Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 110,582 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 1,800,000 | | | Series 2006-2-A5 | | | 5.68% | # | | | 09/25/2036 | | | | 1,850,513 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 297,879 | | | Series 2006-WF2-A2C | | | 5.85% | # | | | 05/25/2036 | | | | 178,839 | |
| | 4,928,000 | | | Series 2008-AR4-2A1B | | | 3.25% | #^ | | | 11/25/2038 | | | | 5,136,625 | |
| | 2,379,836 | | | Series 2010-8-5A4 | | | 6.00% | #^ | | | 11/25/2036 | | | | 2,454,657 | |
| | 12,280,956 | | | Series 2010-8-6A4 | | | 6.00% | #^ | | | 12/25/2036 | | | | 12,367,196 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 187,429 | | | Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 163,171 | |
| | 87,755 | | | Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 72,907 | |
| | | | | | |
| 30 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | CitiMortgage Alternative Loan Trust, (Cont.) | |
| | 194,539 | | | Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 178,118 | |
| | 10,969,375 | | | Series 2007-A5-1A10 | | | 5.75% | | | | 05/25/2037 | | | | 10,052,163 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 1,987,675 | | | Series 2004-22CB-1A1 | | | 6.00% | | | | 10/25/2034 | | | | 2,054,977 | |
| | 231,268 | | | Series 2005-20CB-1A1 | | | 5.50% | | | | 07/25/2035 | | | | 210,809 | |
| | 285,499 | | | Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 225,212 | |
| | 1,321,158 | | | Series 2005-46CB-A22 | | | 5.25% | | | | 10/25/2035 | | | | 1,230,801 | |
| | 227,496 | | | Series 2005-J10-1A13 | | | 1.68% | # | | | 10/25/2035 | | | | 175,338 | |
| | 454,820 | | | Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 380,364 | |
| | 11,561,825 | | | Series 2006-42-1A8 | | | 6.00% | | | | 01/25/2047 | | | | 9,848,853 | |
| | 1,731,075 | | | Series 2007-12T1-A1 | | | 6.00% | | | | 06/25/2037 | | | | 1,398,023 | |
| | 1,864,805 | | | Series 2007-16CB-2A1 | | | 1.43% | # | | | 08/25/2037 | | | | 990,855 | |
| | 540,001 | | | Series 2007-16CB-2A2 | | | 46.40% | # I/F | | | 08/25/2037 | | | | 1,096,027 | |
| | 134,108 | | | Series 2007-17CB-1A10 | | | 25.38% | # I/F | | | 08/25/2037 | | | | 195,783 | |
| | 642,017 | | | Series 2007-18CB-2A17 | | | 6.00% | | | | 08/25/2037 | | | | 578,165 | |
| | 2,828,758 | | | Series 2007-23CB-A3 | | | 1.48% | # | | | 09/25/2037 | | | | 1,794,644 | |
| | 2,778,774 | | | Series 2007-23CB-A4 | | | 5.52% | # I/F I/O | | | 09/25/2037 | | | | 637,634 | |
| | 784,831 | | | Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 224,708 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 87,793 | | | Series 2005-13-AF3 | | | 4.78% | # | | | 04/25/2036 | | | | 76,627 | |
| |
| | | | Countrywide Home Loans, | |
| | 25,273 | | | Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 25,346 | |
| | 481,952 | | | Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 433,524 | |
| | 933,763 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 804,443 | |
| | 416,941 | | | Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 383,715 | |
| | 1,112,084 | | | Series 2007-3-A17 | | | 6.00% | | | | 04/25/2037 | | | | 950,772 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 130,106 | | | Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 124,689 | |
| | 1,814,706 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 1,632,164 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 5,092,368 | | | Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 3,914,901 | |
| | 107,612 | | | Series 2006-4-7A1 | | | 5.50% | | | | 05/25/2021 | | | | 102,157 | |
| | 116,967 | | | Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 84,296 | |
| | 40,762 | | | Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 40,081 | |
| | 4,837,884 | | | Series 2010-4R-3A17 | | | 6.00% | #^ | | | 06/26/2037 | | | | 5,138,877 | |
| | 9,558,112 | | | Series 2013-IVR1-A1 | | | 2.50% | #^ | | | 03/25/2043 | | | | 9,166,411 | |
| | 20,065,319 | | | Series 2013-IVR4-A11 | | | 3.48% | #^ | | | 07/25/2043 | | | | 19,908,518 | |
| | 17,743,059 | | | Series 2015-PR2-A1 | | | 4.25% | #^ | | | 07/26/2055 | | | | 17,950,156 | |
| | 43,299,363 | | | Series 2015-RPL3-A1 | | | 3.75% | #^ | | | 12/25/2056 | | | | 43,391,634 | |
| | 13,144,074 | | | Series 2016-PR1-A1 | | | 5.10% | #^ | | | 07/25/2056 | | | | 12,896,424 | |
| |
| | | | CSMC Trust, | |
| | 41,624,815 | | | Series 2014-WIN2-A3 | | | 3.50% | #^ | | | 10/25/2044 | | | | 41,467,931 | |
| |
| | | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, | |
| | 13,568,243 | | | Series 2005-6-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 11,875,107 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 1,491,726 | | | Series 2006-PR1-3A1 | | | 11.05% | #^ I/F | | | 04/15/2036 | | | | 1,616,782 | |
| | 191,924 | | | Series 2006-PR1-4AI2 | | | 13.13% | #^ I/F | | | 04/15/2036 | | | | 221,058 | |
| | 1,484,440 | | | Series 2006-PR1-5AI4 | | | 11.05% | #^ I/F | | | 04/15/2036 | | | | 1,521,035 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 448,368 | | | Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 354,410 | |
| | 4,196,684 | | | Series 2006-FA8-1A1 | | | 6.25% | | | | 02/25/2037 | | | | 3,365,709 | |
| | 105,075 | | | Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 93,347 | |
| |
| | | | FirstKey Mortgage Trust, | |
| | 10,997,928 | | | Series 2014-1-A8 | | | 3.50% | #^ | | | 11/25/2044 | | | | 11,141,205 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 5,691,984 | | | Series 2006-J1-A6 | | | 5.75% | | | | 04/25/2036 | | | | 5,365,586 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 233,656 | | | Series 2005-7-AF5 | | | 4.61% | # | | | 05/25/2035 | | | | 235,969 | |
| | 1,621,878 | | | Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 1,368,276 | |
| | 1,425,061 | | | Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 1,024,978 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 57,169 | | | Series 2006-2F-5A1 | | | 4.50% | | | | 01/25/2021 | | | | 54,976 | |
| | 6,005,015 | | | Series 2006-3F-4A1 | | | 6.00% | | | | 03/25/2036 | | | | 5,460,113 | |
| | 714,751 | | | Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 690,217 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 36,503,796 | | | Series 2006-5-1A1C | | | 1.25% | # | | | 02/25/2037 | | | | 28,152,231 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 400,194 | | | Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 324,318 | |
| | 9,155,442 | | | Series 2006-S3-A4 | | | 6.31% | # | | | 08/25/2036 | | | | 7,799,967 | |
| | 756,210 | | | Series 2006-S3-A6 | | | 6.12% | # | | | 08/25/2036 | | | | 745,427 | |
| | 880,902 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 859,282 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 347,693 | | | Series 2007-S3-1A7 | | | 6.00% | | | | 08/25/2037 | | | | 309,562 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 1,898,813 | | | Series 2005-1-2A4 | | | 5.50% | | | | 11/25/2035 | | | | 1,770,852 | |
| | 777,978 | | | Series 2006-3-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 628,219 | |
| | 52,320 | | | Series 2006-9-1A19 | | | 26.17% | # I/F | | | 01/25/2037 | | | | 71,334 | |
| | 870,683 | | | Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 640,392 | |
| | 199,226 | | | Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 173,290 | |
| |
| | | | MASTR Alternative Loans Trust, | |
| | 132,512 | | | Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 123,908 | |
| | 53,908 | | | Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 36,533 | |
| |
| | | | MASTR Asset Securitization Trust, | |
| | 2,867,122 | | | Series 2006-2-1A11 | | | 6.00% | # | | | 06/25/2036 | | | | 2,765,239 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 89,401 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 92,053 | |
| | 1,288,559 | | | Series 2005-7-7A4 | | | 5.50% | | | | 11/25/2035 | | | | 1,330,736 | |
| | 3,666,588 | | | Series 2006-7-3A | | | 5.13% | # | | | 06/25/2036 | | | | 3,028,704 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 1,941,277 | | | Series 2010-R6-5C | | | 5.75% | #^ | | | 05/26/2037 | | | | 1,831,290 | |
| |
| | | | Nomura Asset Acceptance Corporation, | |
| | 242,327 | | | Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 139,356 | |
| |
| | | | Nomura Home Equity Loan, Inc., | |
| | 655,503 | | | Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 308,089 | |
| | 1,168,618 | | | Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 603,126 | |
| |
| | | | Option One Mortgage Loan Trust, | |
| | 70,079 | | | Series 2004-3-M3 | | | 1.96% | # | | | 11/25/2034 | | | | 64,688 | |
| |
| | | | PHH Alternative Mortgage Trust, | |
| | 454,720 | | | Series 2007-2-4A1 | | | 6.00% | | | | 05/25/2022 | | | | 461,143 | |
| |
| | | | PR Mortgage Loan Trust, | |
| | 11,575,828 | | | Series 2014-1-APT | | | 5.92% | # | | | 10/25/2049 | | | | 11,426,959 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 231,784 | | | Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 235,833 | |
| | 459,862 | | | Series 2005-QS14-3A3 | | | 6.00% | | | | 09/25/2035 | | | | 435,814 | |
| | 62,249 | | | Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 62,313 | |
| | 522,990 | | | Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 435,636 | |
| | 5,706,860 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 4,982,925 | |
| | 5,535,625 | | | Series 2006-QS4-A10 | | | 6.00% | | | | 04/25/2036 | | | | 4,801,220 | |
| | 1,112,479 | | | Series 2006-QS6-1A15 | | | 6.00% | | | | 06/25/2036 | | | | 954,776 | |
| | 237,414 | | | Series 2006-QS6-2A1 | | | 6.00% | | | | 06/25/2021 | | | | 233,394 | |
| | 1,764,958 | | | Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 1,443,038 | |
| | 6,159,183 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 5,473,624 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 396,272 | | | Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 398,859 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 232,947 | | | Series 2005-A10-A3 | | | 5.50% | | | | 09/25/2035 | | | | 204,705 | |
| | 323,850 | | | Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 254,354 | |
| | 70,338 | | | Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 60,299 | |
| | 1,909,108 | | | Series 2006-A6-1A1 | | | 6.50% | | | | 07/25/2036 | | | | 987,751 | |
| | 169,495 | | | Series 2006-R1-A1 | | | 24.47% | # I/F | | | 01/25/2046 | | | | 258,086 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 139,701 | | | Series 2006-S10-1A2 | | | 6.00% | | | | 10/25/2036 | | | | 134,022 | |
| | 703,814 | | | Series 2006-S11-A3 | | | 6.00% | | | | 11/25/2036 | | | | 655,053 | |
| | 1,398,158 | | | Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 1,309,378 | |
| | 942,861 | | | Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 844,020 | |
| |
| | | | Securitized Mortgage Asset Loan Trust, | |
| | 46,658,675 | | | Series 2015-1-PC | | | 1.89% | ^¥ | | | 02/25/2054 | | | | 35,365,512 | |
| | 8,730,091 | | | Series 2015-2-PC | | | 0.00% | ^¥ | | | 12/26/2059 | | | | 7,970,006 | |
| | 13,081,108 | | | Series 2015-3-PC | | | 0.00% | ^¥ | | | 10/25/2044 | | | | 12,041,918 | |
| |
| | | | SGR Residential Mortgage Trust, | |
| | 13,764,172 | | | Series 2016-1-A1 | | | 3.75% | ^ | | | 11/25/2046 | | | | 13,895,772 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 31 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Shellpoint Co-Originator Trust, | |
| | 30,728,282 | | | Series 2016-1-1A10 | | | 3.50% | #^ | | | 11/25/2046 | | | | 31,300,098 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 1,042,682 | | | Series 2003-35-1A1 | | | 5.16% | # | | | 12/25/2033 | | | | 1,072,139 | |
| | 1,424,981 | | | Series 2005-14-1A1 | | | 1.28% | # | | | 07/25/2035 | | | | 1,140,372 | |
| | 1,373,274 | | | Series 2005-16-1A3 | | | 5.50% | | | | 09/25/2035 | | | | 1,335,311 | |
| | 1,625,191 | | | Series 2005-RF1-A | | | 1.33% | #^ | | | 03/25/2035 | | | | 1,414,205 | |
| | 1,629,102 | | | Series 2005-RF1-AIO | | | 4.30% | #^ I/O | | | 03/25/2035 | | | | 205,748 | |
| |
| | | | VOLT LLC, | |
| | 30,000,000 | | | Series 2017-NPL2-A1 | | | 3.50% | #^ | | | 03/25/2047 | | | | 30,087,660 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 165,399 | | | Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 154,206 | |
| | 1,243,865 | | | Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 1,170,982 | |
| | 2,785,511 | | | Series 2006-2-4CB | | | 6.00% | | | | 03/25/2036 | | | | 2,660,384 | |
| | 5,037,362 | | | Series 2006-8-A6 | | | 4.56% | # | | | 10/25/2036 | | | | 3,253,366 | |
| | 3,780,459 | | | Series 2006-AR19-2A | | | 1.87% | # | | | 01/25/2047 | | | | 3,613,049 | |
| | 2,568,630 | | | Series 2007-3-A6 | | | 6.00% | | | | 04/25/2037 | | | | 2,416,807 | |
| | 166,013 | | | Series 2007-5-A11 | | | 33.59% | # I/F | | | 06/25/2037 | | | | 322,883 | |
| | 12,398,605 | | | Series 2007-5-A3 | | | 7.00% | | | | 06/25/2037 | | | | 8,109,896 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 1,635,638 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 1,577,251 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 1,150,266 | | | Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 1,129,322 | |
| | 77,245 | | | Series 2005-AR14-A6 | | | 2.98% | # | | | 08/25/2035 | | | | 73,917 | |
| | 115,049 | | | Series 2005-AR16-6A4 | | | 3.08% | # | | | 10/25/2035 | | | | 114,728 | |
| | 458,239 | | | Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 460,523 | |
| | 1,131,639 | | | Series 2006-7-2A1 | | | 6.00% | | | | 06/25/2036 | | | | 1,091,513 | |
| | 1,166,672 | | | Series 2007-10-1A5 | | | 6.00% | | | | 07/25/2037 | | | | 1,153,267 | |
| | 1,431,514 | | | Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 1,402,189 | |
| | 2,049,410 | | | Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 2,026,781 | |
| | 2,401,918 | | | Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 2,367,227 | |
| | 571,006 | | | Series 2007-4-A16 | | | 5.50% | | | | 04/25/2037 | | | | 554,386 | |
| | 137,644 | | | Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 135,236 | |
| |
| | | | WinWater Mortgage Loan Trust, | |
| | 21,176,778 | | | Series 2015-5-A3 | | | 3.50% | #^ | | | 08/20/2045 | | | | 21,372,007 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $634,990,266) | | | | 633,381,789 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 12.7% | |
| | 10,051,000 | | | AbbVie, Inc. | | | 4.70% | | | | 05/14/2045 | | | | 10,060,428 | |
| | 1,575,000 | | | Acadia Healthcare Company, Inc. | | | 5.63% | | | | 02/15/2023 | | | | 1,638,976 | |
| | 10,052,000 | | | Actavis Funding SCS | | | 2.35% | | | | 03/12/2018 | | | | 10,097,767 | |
| | 1,225,000 | | | AECOM | | | 5.13% | ^ | | | 03/15/2027 | | | | 1,231,125 | |
| | 11,458,000 | | | Air Lease Corporation | | | 3.75% | | | | 02/01/2022 | | | | 11,812,637 | |
| | 2,560,000 | | | Air Medical Merger Sub Corporation | | | 6.38% | ^ | | | 05/15/2023 | | | | 2,489,600 | |
| | 2,135,000 | | | Albertson’s Holdings LLC | | | 5.75% | ^ | | | 03/15/2025 | | | | 2,076,287 | |
| | 780,000 | | | Allison Transmission, Inc. | | | 5.00% | ^ | | | 10/01/2024 | | | | 789,750 | |
| | 9,017,000 | | | Ally Financial, Inc. | | | 4.13% | | | | 03/30/2020 | | | | 9,219,882 | |
| | 1,670,000 | | | Ally Financial, Inc. | | | 4.25% | | | | 04/15/2021 | | | | 1,707,575 | |
| | 770,000 | | | AMC Entertainment Holdings, Inc. | | | 5.88% | ^ | | | 11/15/2026 | | | | 780,587 | |
| | 760,000 | | | AMC Entertainment Holdings, Inc. | | | 6.13% | ^ | | | 05/15/2027 | | | | 768,550 | |
| | 2,220,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 2,297,700 | |
| | 4,900,000 | | | American Express Credit Corporation | | | 2.25% | | | | 08/15/2019 | | | | 4,939,861 | |
| | 9,760,000 | | | American Express Credit Corporation | | | 2.25% | | | | 05/05/2021 | | | | 9,671,545 | |
| | 8,600,000 | | | American Express Credit Corporation | | | 2.70% | | | | 03/03/2022 | | | | 8,597,119 | |
| | 10,625,000 | | | Analog Devices, Inc. | | | 2.50% | | | | 12/05/2021 | | | | 10,533,529 | |
| | 4,595,000 | | | Anheuser-Busch InBev Finance, Inc. | | | 4.90% | | | | 02/01/2046 | | | | 4,980,985 | |
| | 4,676,000 | | | Apache Corporation | | | 4.75% | | | | 04/15/2043 | | | | 4,698,548 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 5,320,000 | | | Applied Materials, Inc. | | | 4.35% | | | | 04/01/2047 | | | | 5,394,453 | |
| | 1,220,000 | | | Aramark Services, Inc. | | | 5.00% | ^ | | | 04/01/2025 | | | | 1,259,650 | |
| | 2,730,000 | | | Argos Merger Sub, Inc. | | | 7.13% | ^ | | | 03/15/2023 | | | | 2,600,325 | |
| | 1,254,000 | | | Asbury Automotive Group, Inc. | | | 6.00% | | | | 12/15/2024 | | | | 1,301,025 | |
| | 1,115,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 1,158,206 | |
| | 10,505,000 | | | AT&T, Inc. | | | 3.80% | | | | 03/01/2024 | | | | 10,633,150 | |
| | 1,930,000 | | | B&G Foods, Inc. | | | 5.25% | | | | 04/01/2025 | | | | 1,951,712 | |
| | 7,944,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 7,965,878 | |
| | 7,810,000 | | | Bank of America Corporation | | | 2.50% | | | | 10/21/2022 | | | | 7,616,531 | |
| | 12,449,000 | | | Berkshire Hathaway Energy Company | | | 6.50% | | | | 09/15/2037 | | | | 16,241,376 | |
| | 1,620,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 1,688,850 | |
| | 840,000 | | | BlueLine Rental Finance Corporation | | | 9.25% | ^ | | | 03/15/2024 | | | | 862,050 | |
| | 5,173,000 | | | Boeing Company | | | 6.88% | | | | 03/15/2039 | | | | 7,316,008 | |
| | 10,208,000 | | | Boston Properties LP | | | 4.13% | | | | 05/15/2021 | | | | 10,743,165 | |
| | 4,570,000 | | | Broadcom Corporation | | | 3.63% | ^ | | | 01/15/2024 | | | | 4,609,412 | |
| | 810,000 | | | Builders FirstSource, Inc. | | | 5.63% | ^ | | | 09/01/2024 | | | | 825,187 | |
| | 9,834,000 | | | Burlington Northern Santa Fe LLC | | | 4.55% | | | | 09/01/2044 | | | | 10,392,355 | |
| | 1,535,000 | | | BWAY Holding Company | | | 5.50% | ^ | | | 04/15/2024 | | | | 1,550,350 | |
| | 755,000 | | | Calpine Corporation | | | 5.75% | | | | 01/15/2025 | | | | 753,022 | |
| | 11,303,000 | | | Cardinal Health, Inc. | | | 1.95% | | | | 06/15/2018 | | | | 11,340,379 | |
| | 402,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 418,080 | |
| | 525,000 | | | CCO Holdings LLC | | | 5.13% | ^ | | | 05/01/2023 | | | | 542,062 | |
| | 225,000 | | | CCO Holdings LLC | | | 5.13% | ^ | | | 05/01/2027 | | | | 227,109 | |
| | 4,965,000 | | | Celgene Corporation | | | 3.88% | | | | 08/15/2025 | | | | 5,083,068 | |
| | 1,405,000 | | | Cengage Learning, Inc. | | | 9.50% | ^ | | | 06/15/2024 | | | | 1,264,500 | |
| | 750,000 | | | Centene Corporation | | | 5.63% | | | | 02/15/2021 | | | | 786,825 | |
| | 1,600,000 | | | Centene Corporation | | | 4.75% | | | | 01/15/2025 | | | | 1,613,008 | |
| | 2,465,000 | | | Cequel Communications Holdings LLC | | | 6.38% | ^ | | | 09/15/2020 | | | | 2,542,031 | |
| | 9,841,000 | | | Charter Communications Operating LLC | | | 4.91% | | | | 07/23/2025 | | | | 10,408,688 | |
| | 6,800,000 | | | Chevron Corporation | | | 1.56% | | | | 05/16/2019 | | | | 6,779,138 | |
| | 5,815,000 | | | Chevron Corporation | | | 2.50% | | | | 03/03/2022 | | | | 5,848,355 | |
| | 830,000 | | | CHS Community Health Systems, Inc. | | | 8.00% | | | | 11/15/2019 | | | | 816,512 | |
| | 1,005,000 | | | CHS Community Health Systems, Inc. | | | 6.25% | | | | 03/31/2023 | | | | 1,028,869 | |
| | 1,620,000 | | | Cincinnati Bell, Inc. | | | 7.00% | ^ | | | 07/15/2024 | | | | 1,703,025 | |
| | 3,625,000 | | | Cintas Corporation | | | 3.70% | | | | 04/01/2027 | | | | 3,711,239 | |
| | 10,335,000 | | | Cisco Systems, Inc. | | | 1.85% | | | | 09/20/2021 | | | | 10,140,898 | |
| | 15,095,000 | | | Citigroup, Inc. | | | 2.70% | | | | 03/30/2021 | | | | 15,125,764 | |
| | 275,000 | | | Cliffs Natural Resources, Inc. | | | 5.75% | ^ | | | 03/01/2025 | | | | 267,437 | |
| | 5,445,000 | | | Coca Cola Company | | | 1.55% | | | | 09/01/2021 | | | | 5,320,533 | |
| | 1,282,000 | | | Comcast Corporation | | | 4.20% | | | | 08/15/2034 | | | | 1,305,158 | |
| | 9,014,000 | | | Comcast Corporation | | | 4.40% | | | | 08/15/2035 | | | | 9,358,452 | |
| | 1,663,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 1,714,969 | |
| | 870,000 | | | CSC Holdings LLC | | | 5.25% | | | | 06/01/2024 | | | | 868,912 | |
| | 11,080,000 | | | CSX Corporation | | | 3.80% | | | | 11/01/2046 | | | | 10,142,577 | |
| | 585,000 | | | CyrusOne Finance Corporation | | | 5.00% | ^ | | | 03/15/2024 | | | | 602,550 | |
| | 6,399,000 | | | Delphi Corporation | | | 4.15% | | | | 03/15/2024 | | | | 6,691,210 | |
| | 3,396,000 | | | Delphi Corporation | | | 4.25% | | | | 01/15/2026 | | | | 3,551,150 | |
| | 4,510,000 | | | Delta Air Lines, Inc. | | | 3.63% | | | | 03/15/2022 | | | | 4,608,427 | |
| | 1,600,000 | | | Diamond 1 Finance Corporation | | | 7.13% | ^ | | | 06/15/2024 | | | | 1,769,618 | |
| | 430,000 | | | DJO Finance, LLC | | | 8.13% | ^ | | | 06/15/2021 | | | | 373,025 | |
| | 3,615,000 | | | Duke Energy Corporation | | | 3.75% | | | | 09/01/2046 | | | | 3,271,618 | |
| | 8,955,000 | | | Duke Energy Progress, Inc. | | | 4.15% | | | | 12/01/2044 | | | | 9,113,083 | |
| | 1,286,000 | | | Embarq Corporation | | | 8.00% | | | | 06/01/2036 | | | | 1,286,000 | |
| | 10,760,000 | | | Enable Midstream Partners LP | | | 4.40% | | | | 03/15/2027 | | | | 10,699,841 | |
| | 1,210,000 | | | Energy Transfer Equity LP | | | 5.50% | | | | 06/01/2027 | | | | 1,270,500 | |
| | 9,565,000 | | | Energy Transfer Partners LP | | | 4.75% | | | | 01/15/2026 | | | | 9,859,535 | |
| | | | | | |
| 32 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,250,000 | | | Energy Transfer Partners LP | | | 4.20% | | | | 04/15/2027 | | | | 1,237,352 | |
| | 2,340,000 | | | Ensemble S Merger Sub, Inc. | | | 9.00% | ^ | | | 09/30/2023 | | | | 2,468,700 | |
| | 1,965,000 | | | Envision Healthcare Corporation | | | 6.25% | ^ | | | 12/01/2024 | | | | 2,068,163 | |
| | 275,000 | | | EP Energy LLC | | | 9.38% | | | | 05/01/2020 | | | | 260,562 | |
| | 1,525,000 | | | Equinix Inc. | | | 5.88% | | | | 01/15/2026 | | | | 1,626,031 | |
| | 1,706,000 | | | ESH Hospitality, Inc. | | | 5.25% | ^ | | | 05/01/2025 | | | | 1,724,118 | |
| | 5,175,000 | | | Exelon Corporation | | | 3.40% | | | | 04/15/2026 | | | | 5,099,021 | |
| | 4,723,000 | | | Express Scripts Holding Company | | | 4.50% | | | | 02/25/2026 | | | | 4,852,826 | |
| | 3,390,000 | | | Express Scripts Holding Company | | | 3.40% | | | | 03/01/2027 | | | | 3,199,106 | |
| | 845,000 | | | Extraction Oil & Gas Holdings LLC | | | 7.88% | ^ | | | 07/15/2021 | | | | 895,700 | |
| | 9,867,000 | | | FedEx Corporation | | | 4.75% | | | | 11/15/2045 | | | | 10,141,954 | |
| | 7,595,000 | | | Fidelity National Information Services, Inc. | | | 3.63% | | | | 10/15/2020 | | | | 7,897,835 | |
| | 1,125,000 | | | First Data Corporation | | | 7.00% | ^ | | | 12/01/2023 | | | | 1,209,375 | |
| | 1,140,000 | | | First Data Corporation | | | 5.75% | ^ | | | 01/15/2024 | | | | 1,180,185 | |
| | 1,230,000 | | | Flex Acquisition Company, Inc. | | | 6.88% | ^ | | | 01/15/2025 | | | | 1,257,675 | |
| | 8,365,000 | | | Ford Motor Company | | | 7.45% | | | | 07/16/2031 | | | | 10,574,456 | |
| | 340,000 | | | Foresight Energy LLC | | | 11.50% | ^ | | | 04/01/2023 | | | | 319,600 | |
| | 1,210,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 1,281,087 | |
| | 404,000 | | | FTS International, Inc. | | | 6.25% | | | | 05/01/2022 | | | | 355,520 | |
| | 2,420,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 2,462,350 | |
| | 470,000 | | | Gartner, Inc. | | | 5.13% | ^ | | | 04/01/2025 | | | | 479,987 | |
| | 1,810,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 1,850,725 | |
| | 8,420,000 | | | General Motors Financial Company, Inc. | | | 2.40% | | | | 05/09/2019 | | | | 8,441,681 | |
| | 4,045,000 | | | General Motors Financial Company, Inc. | | | 3.20% | | | | 07/13/2020 | | | | 4,117,256 | |
| | 3,605,000 | | | General Motors Financial Company, Inc. | | | 3.20% | | | | 07/06/2021 | | | | 3,621,835 | |
| | 1,725,000 | | | Genesy’s Telecommunications Laboratories, Inc. | | | 10.00% | ^ | | | 11/30/2024 | | | | 1,880,250 | |
| | 21,067,000 | | | Georgia-Pacific LLC | | | 3.60% | ^ | | | 03/01/2025 | | | | 21,550,635 | |
| | 750,000 | | | GLP Capital LP | | | 5.38% | | | | 04/15/2026 | | | | 776,250 | |
| | 6,230,000 | | | Goldman Sachs Group, Inc. | | | 2.35% | | | | 11/15/2021 | | | | 6,112,072 | |
| | 4,105,000 | | | Goldman Sachs Group, Inc. | | | 3.00% | | | | 04/26/2022 | | | | 4,113,025 | |
| | 1,575,000 | | | Goodyear Tire & Rubber Company | | | 5.13% | | | | 11/15/2023 | | | | 1,642,922 | |
| | 820,000 | | | Gray Television, Inc. | | | 5.13% | ^ | | | 10/15/2024 | | | | 811,800 | |
| | 1,165,000 | | | Gray Television, Inc. | | | 5.88% | ^ | | | 07/15/2026 | | | | 1,188,300 | |
| | 765,000 | | | Grinding Media Canada, Inc. | | | 7.38% | ^ | | | 12/15/2023 | | | | 805,162 | |
| | 465,000 | | | Halcon Resources Corporation | | | 6.75% | ^ | | | 02/15/2025 | | | | 458,955 | |
| | 7,390,000 | | | Hewlett Packard Enterprise Company | | | 3.60% | | | | 10/15/2020 | | | | 7,600,837 | |
| | 1,605,000 | | | Hexion, Inc. | | | 10.38% | ^ | | | 02/01/2022 | | | | 1,605,000 | |
| | 3,075,000 | | | Hilton Domestic Operating Company, Inc. | | | 4.25% | ^ | | | 09/01/2024 | | | | 3,051,937 | |
| | 2,626,000 | | | Home Depot, Inc. | | | 3.35% | | | | 09/15/2025 | | | | 2,703,315 | |
| | 7,400,000 | | | Home Depot, Inc. | | | 3.00% | | | | 04/01/2026 | | | | 7,394,975 | |
| | 1,245,000 | | | Icahn Enterprises LP | | | 6.25% | ^ | | | 02/01/2022 | | | | 1,266,787 | |
| | 1,560,000 | | | Infor US, Inc. | | | 6.50% | | | | 05/15/2022 | | | | 1,610,856 | |
| | 2,085,000 | | | Informatica LLC | | | 7.13% | ^ | | | 07/15/2023 | | | | 2,038,087 | |
| | 1,000,000 | | | ING Groep NV | | | 3.95% | | | | 03/29/2027 | | | | 1,002,743 | |
| | 5,505,000 | | | International Paper Company | | | 3.00% | | | | 02/15/2027 | | | | 5,156,049 | |
| | 1,535,000 | | | InVentiv Group Holdings, Inc. | | | 7.50% | ^ | | | 10/01/2024 | | | | 1,586,806 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,550,000 | | | Jack Ohio Finance Corporation | | | 6.75% | ^ | | | 11/15/2021 | | | | 1,608,125 | |
| | 1,310,000 | | | JBS LLC | | | 5.75% | ^ | | | 06/15/2025 | | | | 1,329,650 | |
| | 7,187,000 | | | John Deere Capital Corporation | | | 2.65% | | | | 01/06/2022 | | | | 7,216,970 | |
| | 10,125,000 | | | JP Morgan Chase & Company | | | 2.97% | | | | 01/15/2023 | | | | 10,122,762 | |
| | 9,725,000 | | | JP Morgan Chase & Company | | | 4.25% | | | | 10/01/2027 | | | | 10,001,229 | |
| | 9,349,000 | | | Kinder Morgan Energy Partners LP | | | 6.95% | | | | 01/15/2038 | | | | 10,876,757 | |
| | 4,867,000 | | | Kraft Heinz Foods Company | | | 1.60% | | | | 06/30/2017 | | | | 4,868,791 | |
| | 5,703,000 | | | Kraft Heinz Foods Company | | | 2.00% | | | | 07/02/2018 | | | | 5,718,313 | |
| | 13,715,000 | | | Kroger Company | | | 3.40% | | | | 04/15/2022 | | | | 14,027,496 | |
| | 9,802,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 9,890,473 | |
| | 2,951,000 | | | Level 3 Communications, Inc. | | | 5.75% | | | | 12/01/2022 | | | | 3,061,662 | |
| | 765,000 | | | Levi Strauss & Company | | | 5.00% | | | | 05/01/2025 | | | | 788,103 | |
| | 13,049,000 | | | Liberty Mutual Group, Inc. | | | 6.50% | ^ | | | 05/01/2042 | | | | 16,296,987 | |
| | 825,000 | | | LifePoint Health, Inc. | | | 5.38% | ^ | | | 05/01/2024 | | | | 841,087 | |
| | 1,625,000 | | | Live Nation Entertainment, Inc. | | | 4.88% | ^ | | | 11/01/2024 | | | | 1,629,063 | |
| | 9,687,000 | | | Lockheed Martin Corporation | | | 4.70% | | | | 05/15/2046 | | | | 10,531,939 | |
| | 420,000 | | | MEG Energy Corporation | | | 7.00% | ^ | | | 03/31/2024 | | | | 378,000 | |
| | 2,853,000 | | | Memorial Production Partners LP | | | 6.88% | W | | | 08/01/2022 | | | | 1,069,875 | |
| | 50,000 | | | Metropolitan Edison Company | | | 4.00% | ^ | | | 04/15/2025 | | | | 50,500 | |
| | 555,000 | | | MGM Growth Properties LP | | | 5.63% | | | | 05/01/2024 | | | | 588,300 | |
| | 1,255,000 | | | Micron Technology, Inc. | | | 5.25% | ^ | | | 08/01/2023 | | | | 1,292,650 | |
| | 10,130,000 | | | Microsoft Corporation | | | 4.45% | | | | 11/03/2045 | | | | 10,724,489 | |
| | 3,555,000 | | | Morgan Stanley | | | 2.50% | | | | 04/21/2021 | | | | 3,538,843 | |
| | 7,145,000 | | | Morgan Stanley | | | 2.63% | | | | 11/17/2021 | | | | 7,096,064 | |
| | 11,040,000 | | | Morgan Stanley | | | 3.63% | | | | 01/20/2027 | | | | 10,976,995 | |
| | 2,795,000 | | | MPH Acquisition Holdings LLC | | | 7.13% | ^ | | | 06/01/2024 | | | | 3,011,962 | |
| | 8,269,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 8,271,233 | |
| | 1,925,000 | | | MUFG Americas Holdings Corporation | | | 2.25% | | | | 02/10/2020 | | | | 1,923,880 | |
| | 10,645,000 | | | Mylan NV | | | 3.15% | | | | 06/15/2021 | | | | 10,699,737 | |
| | 7,660,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 2.00% | | | | 01/27/2020 | | | | 7,633,895 | |
| | 1,264,000 | | | Nationstar Capital Corporation | | | 6.50% | | | | 07/01/2021 | | | | 1,286,120 | |
| | 1,275,000 | | | Navient Corporation | | | 6.50% | | | | 06/15/2022 | | | | 1,287,750 | |
| | 1,595,000 | | | NCL Corporation Ltd. | | | 4.75% | ^ | | | 12/15/2021 | | | | 1,622,913 | |
| | 7,300,000 | | | New York Life Global Funding | | | 2.90% | ^ | | | 01/17/2024 | | | | 7,325,149 | |
| | 2,455,000 | | | Newell Brands, Inc. | | | 3.15% | | | | 04/01/2021 | | | | 2,513,719 | |
| | 1,260,000 | | | Nexstar Escrow Corporation | | | 5.63% | ^ | | | 08/01/2024 | | | | 1,282,050 | |
| | 825,000 | | | NGL Energy Finance Corporation | | | 7.50% | ^ | | | 11/01/2023 | | | | 855,938 | |
| | 1,295,000 | | | NGL Energy Finance Corporation | | | 6.13% | ^ | | | 03/01/2025 | | | | 1,262,625 | |
| | 445,000 | | | Noble Holding International Ltd. | | | 7.75% | | | | 01/15/2024 | | | | 429,425 | |
| | 1,145,000 | | | Novelis Corporation | | | 6.25% | ^ | | | 08/15/2024 | | | | 1,196,525 | |
| | 475,000 | | | Novelis Corporation | | | 5.88% | ^ | | | 09/30/2026 | | | | 485,688 | |
| | 1,600,000 | | | NRG Energy, Inc. | | | 7.25% | | | | 05/15/2026 | | | | 1,656,000 | |
| | 2,445,000 | | | Occidental Petroleum Corporation | | | 3.40% | | | | 04/15/2026 | | | | 2,442,851 | |
| | 920,000 | | | Olin Corporation | | | 5.13% | | | | 09/15/2027 | | | | 937,848 | |
| | 10,680,000 | | | Omnicom Group, Inc. | | | 3.60% | | | | 04/15/2026 | | | | 10,693,895 | |
| | 865,000 | | | OPE KAG Finance Sub, Inc. | | | 7.88% | ^ | | | 07/31/2023 | | | | 888,788 | |
| | 1,925,000 | | | Open Text Corporation | | | 5.88% | ^ | | | 06/01/2026 | | | | 2,021,250 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 33 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 9,825,000 | | | Oracle Corporation | | | 1.90% | | | | 09/15/2021 | | | | 9,662,976 | |
| | 9,685,000 | | | Oracle Corporation | | | 4.13% | | | | 05/15/2045 | | | | 9,442,497 | |
| | 500,000 | | | PDC Energy, Inc. | | | 6.13% | ^ | | | 09/15/2024 | | | | 515,000 | |
| | 820,000 | | | Peabody Securities Finance Corporation | | | 6.00% | ^ | | | 03/31/2022 | | | | 818,975 | |
| | 5,180,000 | | | Penske Truck Leasing Company | | | 4.20% | ^ | | | 04/01/2027 | | | | 5,284,056 | |
| | 11,000,000 | | | PepsiCo, Inc. | | | 3.45% | | | | 10/06/2046 | | | | 9,975,801 | |
| | 4,462,000 | | | Phillips 66 | | | 5.88% | | | | 05/01/2042 | | | | 5,123,143 | |
| | 1,610,000 | | | Pilgrim’s Pride Corporation | | | 5.75% | ^ | | | 03/15/2025 | | | | 1,630,125 | |
| | 1,560,000 | | | Pinnacle Entertainment, Inc. | | | 5.63% | ^ | | | 05/01/2024 | | | | 1,585,350 | |
| | 9,726,000 | | | PNC Funding Corporation | | | 3.30% | | | | 03/08/2022 | | | | 10,021,544 | |
| | 820,000 | | | Post Holdings, Inc. | | | 5.50% | ^ | | | 03/01/2025 | | | | 822,050 | |
| | 1,125,000 | | | PQ Corporation | | | 6.75% | ^ | | | 11/15/2022 | | | | 1,200,938 | |
| | 1,535,000 | | | Prime Security Services Borrower LLC | | | 9.25% | ^ | | | 05/15/2023 | | | | 1,686,581 | |
| | 1,610,000 | | | Quintiles Transnational Corporation | | | 4.88% | ^ | | | 05/15/2023 | | | | 1,640,188 | |
| | 805,000 | | | RegionalCare Hospital Partners Holdings, Inc. | | | 8.25% | ^ | | | 05/01/2023 | | | | 862,960 | |
| | 1,569,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 1,574,884 | |
| | 385,000 | | | Revlon Consumer Products Corporation | | | 6.25% | | | | 08/01/2024 | | | | 385,000 | |
| | 1,070,000 | | | Reynolds Group Issuer Inc. | | | 7.00% | ^ | | | 07/15/2024 | | | | 1,147,575 | |
| | 10,015,000 | | | Reynolds, Inc. | | | 4.00% | | | | 06/12/2022 | | | | 10,522,490 | |
| | 1,645,000 | | | Rite Aid Corporation | | | 6.13% | ^ | | | 04/01/2023 | | | | 1,636,775 | |
| | 4,530,000 | | | S&P Global, Inc. | | | 4.40% | | | | 02/15/2026 | | | | 4,815,906 | |
| | 1,575,000 | | | Sabre GLBL, Inc. | | | 5.25% | ^ | | | 11/15/2023 | | | | 1,618,313 | |
| | 2,321,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 2,399,334 | |
| | 895,000 | | | Sanchez Energy Corporation | | | 6.13% | | | | 01/15/2023 | | | | 834,588 | |
| | 5,025,000 | | | Schlumberger Holdings Corporation | | | 2.35% | ^ | | | 12/21/2018 | | | | 5,059,627 | |
| | 1,070,000 | | | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 1,146,238 | |
| | 1,670,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 1,695,050 | |
| | 10,220,000 | | | Shell International Finance B.V. | | | 1.38% | | | | 05/10/2019 | | | | 10,131,617 | |
| | 1,760,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 1,813,891 | |
| | 11,405,000 | | | Simon Property Group LP | | | 3.30% | | | | 01/15/2026 | | | | 11,267,421 | |
| | 450,000 | | | Sinclair Television Group, Inc. | | | 5.63% | ^ | | | 08/01/2024 | | | | 456,750 | |
| | 1,705,000 | | | Sirius XM Radio Inc. | | | 5.38% | ^ | | | 07/15/2026 | | | | 1,747,625 | |
| | 2,360,000 | | | Six Flags Entertainment Corporation | | | 4.88% | ^ | | | 07/31/2024 | | | | 2,334,925 | |
| | 2,435,000 | | | Six Flags Entertainment Corporation | | | 5.50% | ^ | | | 04/15/2027 | | | | 2,435,000 | |
| | 970,000 | | | SM Energy Company | | | 5.00% | | | | 01/15/2024 | | | | 921,500 | |
| | 10,100,000 | | | Smithfield Foods, Inc. | | | 4.25% | ^ | | | 02/01/2027 | | | | 10,231,401 | |
| | 1,075,000 | | | Solera Finance, Inc. | | | 10.50% | ^ | | | 03/01/2024 | | | | 1,233,219 | |
| | 14,121,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 14,243,584 | |
| | 1,686,000 | | | Southern Company | | | 1.85% | | | | 07/01/2019 | | | | 1,677,594 | |
| | 1,230,000 | | | Spectrum Brands, Inc. | | | 5.75% | | | | 07/15/2025 | | | | 1,306,875 | |
| | 7,235,000 | | | State Street Corporation | | | 3.55% | | | | 08/18/2025 | | | | 7,442,543 | |
| | 3,350,000 | | | State Street Corporation | | | 2.65% | | | | 05/19/2026 | | | | 3,212,844 | |
| | 1,420,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 1,480,350 | |
| | 10,174,000 | | | Synchrony Financial | | | 3.00% | | | | 08/15/2019 | | | | 10,337,425 | |
| | 915,000 | | | Targa Resources Partners Finance Corporation | | | 5.38% | ^ | | | 02/01/2027 | | | | 951,600 | |
| | 1,665,000 | | | Team Health Holdings, Inc. | | | 6.38% | ^ | | | 02/01/2025 | | | | 1,635,863 | |
| | 815,000 | | | Tempur Sealy International, Inc. | | | 5.63% | | | | 10/15/2023 | | | | 823,150 | |
| | 1,725,000 | | | Tenet Healthcare Corporation | | | 6.75% | | | | 06/15/2023 | | | | 1,699,125 | |
| | 790,000 | | | The ServiceMaster Company LLC | | | 5.13% | ^ | | | 11/15/2024 | | | | 811,725 | |
| | 14,740,000 | | | Thermo Fisher Scientific, Inc. | | | 3.30% | | | | 02/15/2022 | | | | 15,044,646 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 10,220,000 | | | TIAA Asset Management Finance Company LLC | | | 2.95% | ^ | | | 11/01/2019 | | | | 10,393,546 | |
| | 715,000 | | | TreeHouse Foods, Inc. | | | 6.00% | ^ | | | 02/15/2024 | | | | 752,538 | |
| | 10,335,000 | | | Tyson Foods, Inc. | | | 3.95% | | | | 08/15/2024 | | | | 10,554,691 | |
| | 675,000 | | | United Rentals North America, Inc. | | | 5.50% | | | | 05/15/2027 | | | | 683,438 | |
| | 10,430,000 | | | UnitedHealth Group, Inc. | | | 4.20% | | | | 01/15/2047 | | | | 10,600,291 | |
| | 1,265,000 | | | Universal Hospital Services, Inc. | | | 7.63% | | | | 08/15/2020 | | | | 1,265,000 | |
| | 7,075,000 | | | Vale Overseas Ltd. | | | 5.88% | | | | 06/10/2021 | | | | 7,599,399 | |
| | 855,000 | | | Valeant Pharmaceuticals International, Inc. | | | 7.00% | ^ | | | 03/15/2024 | | | | 879,581 | |
| | 10,747,000 | | | Verizon Communications, Inc. | | | 4.40% | | | | 11/01/2034 | | | | 10,198,022 | |
| | 485,000 | | | Videotron Ltd. | | | 5.13% | ^ | | | 04/15/2027 | | | | 485,000 | |
| | 2,315,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 2,410,494 | |
| | 1,400,000 | | | Vizient, Inc. | | | 10.38% | ^ | | | 03/01/2024 | | | | 1,601,250 | |
| | 7,525,000 | | | Waste Management, Inc. | | | 4.10% | | | | 03/01/2045 | | | | 7,574,025 | |
| | 1,285,000 | | | WellCare Health Plans, Inc. | | | 5.25% | | | | 04/01/2025 | | | | 1,328,369 | |
| | 10,164,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 10,211,872 | |
| | 10,245,000 | | | Wells Fargo & Company | | | 3.07% | | | | 01/24/2023 | | | | 10,295,723 | |
| | 4,660,000 | | | Wells Fargo & Company | | | 3.00% | | | | 04/22/2026 | | | | 4,467,509 | |
| | 7,090,000 | | | Wells Fargo & Company | | | 3.00% | | | | 10/23/2026 | | | | 6,795,942 | |
| | 605,000 | | | Western Digital Corporation | | | 7.38% | ^ | | | 04/01/2023 | | | | 664,744 | |
| | 1,600,000 | | | Williams Partners LP | | | 4.88% | | | | 03/15/2024 | | | | 1,647,379 | |
| | 1,990,000 | | | WMG Acquisition Corporation | | | 6.75% | ^ | | | 04/15/2022 | | | | 2,099,450 | |
| | 6,429,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 6,429,000 | |
| | 2,948,000 | | | Zimmer Holdings, Inc. | | | 2.70% | | | | 04/01/2020 | | | | 2,970,576 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $1,022,642,392) | | | | 1,030,200,004 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 16.6% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 992,050 | | | Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 1,090,462 | |
| | 542,232 | | | Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 590,211 | |
| | 18,400,661 | | | Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 18,319,028 | |
| | 43,239,997 | | | Pool G08622 | | | 3.00% | | | | 01/01/2045 | | | | 42,878,370 | |
| | 12,330,410 | | | Pool G08686 | | | 3.00% | | | | 01/01/2046 | | | | 12,227,238 | |
| | 54,333,194 | | | Pool G08701 | | | 3.00% | | | | 04/01/2046 | | | | 53,878,558 | |
| | 63,545,458 | | | Pool G08721 | | | 3.00% | | | | 09/01/2046 | | | | 63,013,720 | |
| | 3,187,963 | | | Pool N70081 | | | 5.50% | | | | 07/01/2038 | | | | 3,529,276 | |
| | 10,170,308 | | | Pool Q33789 | | | 3.50% | | | | 06/01/2045 | | | | 10,445,005 | |
| | 4,157,108 | | | Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 4,231,999 | |
| | 703,939 | | | Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 745,575 | |
| | 45,738,518 | | | Pool V82851 | | | 3.00% | | | | 01/01/2047 | | | | 45,355,807 | |
| | 5,373,863 | | | Series 2016-KF22-B | | | 5.83% | #^ | | | 07/25/2023 | | | | 5,423,265 | |
| | 78,116 | | | Series 2692-SC | | | 11.46% | # I/F | | | 07/15/2033 | | | | 94,836 | |
| | 2,796,202 | | | Series 2722-PS | | | 8.88% | # I/F | | | 12/15/2033 | | | | 3,211,304 | |
| | 142,056 | | | Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 155,780 | |
| | 290,094 | | | Series 3002-SN | | | 5.59% | # I/F I/O | | | 07/15/2035 | | | | 46,143 | |
| | 129,050 | | | Series 3045-DI | | | 5.82% | # I/F I/O | | | 10/15/2035 | | | | 20,795 | |
| | 468,976 | | | Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 526,651 | |
| | 41,773 | | | Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 44,139 | |
| | 571,587 | | | Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 625,160 | |
| | 162,858 | | | Series 3275-SC | | | 5.17% | # I/F I/O | | | 02/15/2037 | | | | 20,889 | |
| | | | | | |
| 34 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation, (Cont.) | |
| | 935,637 | | | Series 3382-SB | | | 5.09% | # I/F I/O | | | 11/15/2037 | | | | 104,323 | |
| | 1,164,034 | | | Series 3384-S | | | 5.48% | # I/F I/O | | | 11/15/2037 | | | | 158,231 | |
| | 1,165,348 | | | Series 3417-SX | | | 5.27% | # I/F I/O | | | 02/15/2038 | | | | 170,000 | |
| | 111,243 | | | Series 3423-GS | | | 4.74% | # I/F I/O | | | 03/15/2038 | | | | 12,679 | |
| | 111,243 | | | Series 3423-SG | | | 4.74% | # I/F I/O | | | 03/15/2038 | | | | 11,667 | |
| | 203,653 | | | Series 3524-LB | | | 3.97% | # | | | 06/15/2038 | | | | 196,110 | |
| | 393,944 | | | Series 3562-WS | | | 4.04% | # I/F I/O | | | 08/15/2039 | | | | 36,107 | |
| | 314,625 | | | Series 3582-SA | | | 5.09% | # I/F I/O | | | 10/15/2049 | | | | 40,520 | |
| | 659,066 | | | Series 3606-CS | | | 5.44% | # I/F I/O | | | 12/15/2039 | | | | 119,892 | |
| | 377,303 | | | Series 3616-SG | | | 5.44% | # I/F I/O | | | 03/15/2032 | | | | 62,383 | |
| | 1,615,681 | | | Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 1,754,623 | |
| | 640,198 | | | Series 3666-SC | | | 4.86% | # I/F I/O | | | 05/15/2040 | | | | 92,170 | |
| | 413,973 | | | Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 452,118 | |
| | 2,524,181 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 2,633,974 | |
| | 1,400,000 | | | Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 1,450,073 | |
| | 510,694 | | | Series 3786-SG | | | 7.68% | # I/F | | | 01/15/2041 | | | | 529,667 | |
| | 4,906,417 | | | Series 3792-SE | | | 8.04% | # I/F | | | 01/15/2041 | | | | 5,236,882 | |
| | 2,558,455 | | | Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 2,695,905 | |
| | 63,096 | | | Series 3798-SD | | | 7.78% | # I/F | | | 12/15/2040 | | | | 64,203 | |
| | 1,562,907 | | | Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 1,745,558 | |
| | 1,156,635 | | | Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 1,198,596 | |
| | 2,757,660 | | | Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 2,978,273 | |
| | 1,786,783 | | | Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 1,961,245 | |
| | 3,736,782 | | | Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 3,963,756 | |
| | 251,282 | | | Series 3828-SW | | | 10.46% | # I/F | | | 02/15/2041 | | | | 311,812 | |
| | 2,770,337 | | | Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 3,029,165 | |
| | 3,688,726 | | | Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 3,907,969 | |
| | 16,091,551 | | | Series 3889-VZ | | | 4.00% | | | | 07/15/2041 | | | | 17,015,459 | |
| | 2,871,864 | | | Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 3,295,627 | |
| | 21,120,247 | | | Series 3967-ZP | | | 4.00% | | | | 09/15/2041 | | | | 22,646,130 | |
| | 5,448,810 | | | Series 3972-AZ | | | 3.50% | | | | 12/15/2041 | | | | 5,488,833 | |
| | 24,177,352 | | | Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 25,426,073 | |
| | 8,769,224 | | | Series 4096-DZ | | | 3.50% | | | | 08/15/2042 | | | | 8,795,574 | |
| | 27,649,991 | | | Series 4165-ZT | | | 3.00% | | | | 02/15/2043 | | | | 25,597,308 | |
| | 8,357,426 | | | Series 4291-MS | | | 4.99% | # I/F I/O | | | 01/15/2054 | | | | 1,406,243 | |
| | 17,929,093 | | | Series 4341-AZ | | | 3.00% | | | | 05/15/2044 | | | | 16,420,993 | |
| | 18,860,023 | | | Series 4377-A | | | 3.00% | | | | 06/15/2039 | | | | 19,138,954 | |
| | 14,014,307 | | | Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 14,292,295 | |
| | 13,019,581 | | | Series 4413-AZ | | | 3.50% | | | | 11/15/2044 | | | | 13,107,736 | |
| | 2,442,425 | | | Series 4419-TB | | | 3.00% | | | | 02/15/2040 | | | | 2,456,471 | |
| | 10,818,098 | | | Series 4423-Z | | | 3.50% | | | | 12/15/2044 | | | | 10,756,130 | |
| | 18,941,269 | | | Series 4427-MA | | | 3.00% | | | | 02/15/2034 | | | | 19,394,837 | |
| | 28,254,148 | | | Series 4471-BA | | | 3.00% | | | | 12/15/2041 | | | | 28,464,800 | |
| | 40,054,924 | | | Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 40,319,799 | |
| | 24,542,033 | | | Series 4481-B | | | 3.00% | | | | 12/15/2042 | | | | 24,633,428 | |
| | 14,796,450 | | | Series 4511-QA | | | 3.00% | | | | 01/15/2041 | | | | 14,968,707 | |
| | 69,855,850 | | | Series 4542-AC | | | 2.70% | | | | 01/15/2045 | | | | 69,260,490 | |
| | 4,781,000 | | | Series K-050-A2 | | | 3.33% | # | | | 08/25/2025 | | | | 4,967,952 | |
| | 6,528,000 | | | Series K-053-A2 | | | 3.00% | | | | 12/25/2025 | | | | 6,612,043 | |
| | 618,736 | | | Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 700,790 | |
| |
| | | | Federal Home Loan Mortgage Corporation Pass-Thru, | |
| | 6,720,000 | | | Series K054-A2 | | | 2.75% | | | | 01/25/2026 | | | | 6,671,471 | |
| | 106,129,187 | | | Series K722-X1 | | | 1.31% | # I/O | | | 03/25/2023 | | | | 6,767,423 | |
| |
| | | | Federal National Mortgage Association, | |
| | 18,818,755 | | | Pool AL9238 | | | 3.00% | | | | 10/01/2041 | | | | 18,775,078 | |
| | 51,529,827 | | | Pool AS7661 | | | 3.00% | | | | 08/01/2046 | | | | 50,929,910 | |
| | 10,144,741 | | | Pool AS7724 | | | 2.50% | | | | 08/01/2046 | | | | 9,680,185 | |
| | 40,694,858 | | | Pool AS8522 | | | 3.00% | | | | 12/01/2046 | | | | 40,398,410 | |
| | 23,999,061 | | | Pool BC9081 | | | 3.00% | | | | 12/01/2046 | | | | 23,824,236 | |
| | 23,900,135 | | | Pool BD8013 | | | 2.50% | | | | 09/01/2046 | | | | 22,805,658 | |
| | 20,447,832 | | | Pool MA2621 | | | 3.50% | | | | 05/01/2046 | | | | 20,851,724 | |
| | 30,641,427 | | | Pool MA2649 | | | 3.00% | | | | 06/01/2046 | | | | 30,284,960 | |
| | 69,193,310 | | | Pool MA2737 | | | 3.00% | | | | 09/01/2046 | | | | 68,689,244 | |
| | 38,527 | | | Series 2003-117-KS | | | 6.12% | # I/F I/O | | | 08/25/2033 | | | | 1,007 | |
| | 391,809 | | | Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 439,604 | |
| | 3,160,005 | | | Series 2005-20-QH | | | 5.00% | | | | 03/25/2035 | | | | 3,440,868 | |
| | 550,646 | | | Series 2006-101-SA | | | 5.60% | # I/F I/O | | | 10/25/2036 | | | | 92,113 | |
| | 247,152 | | | Series 2006-56-SM | | | 5.77% | # I/F I/O | | | 07/25/2036 | | | | 39,333 | |
| | 203,179 | | | Series 2007-116-BI | | | 5.27% | # I/F I/O | | | 05/25/2037 | | | | 30,874 | |
| | 2,244,264 | | | Series 2007-30-FS | | | 25.28% | # I/F | | | 04/25/2037 | | | | 3,455,326 | |
| | 872,644 | | | Series 2007-30-OI | | | 5.46% | # I/F I/O | | | 04/25/2037 | | | | 152,201 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal National Mortgage Association, (Cont.) | |
| | 154,612 | | | Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 165,802 | |
| | 163,893 | | | Series 2008-62-SC | | | 5.02% | # I/F I/O | | | 07/25/2038 | | | | 21,125 | |
| | 961,676 | | | Series 2009-111-EZ | | | 5.00% | | | | 01/25/2040 | | | | 1,010,801 | |
| | 51,072 | | | Series 2009-111-SE | | | 5.27% | # I/F I/O | | | 01/25/2040 | | | | 7,492 | |
| | 100,950 | | | Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 110,427 | |
| | 141,846 | | | Series 2009-48-WS | | | 4.97% | # I/F I/O | | | 07/25/2039 | | | | 15,118 | |
| | 628,754 | | | Series 2009-62-PS | | | 5.12% | # I/F I/O | | | 08/25/2039 | | | | 79,122 | |
| | 1,671,312 | | | Series 2009-77-ZA | | | 4.50% | | | | 10/25/2039 | | | | 1,792,371 | |
| | 384,222 | | | Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 402,179 | |
| | 175,440 | | | Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 185,152 | |
| | 55,491 | | | Series 2010-109-BS | | | 46.37% | # I/F | | | 10/25/2040 | | | | 208,592 | |
| | 587,753 | | | Series 2010-112-ZA | | | 4.00% | | | | 10/25/2040 | | | | 602,010 | |
| | 388,068 | | | Series 2010-121-SD | | | 3.52% | # I/F I/O | | | 10/25/2040 | | | | 33,730 | |
| | 29,336 | | | Series 2010-137-VS | | | 12.65% | # I/F | | | 12/25/2040 | | | | 40,478 | |
| | 2,566,983 | | | Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 2,690,517 | |
| | 88,038 | | | Series 2010-31-SA | | | 4.02% | # I/F I/O | | | 04/25/2040 | | | | 8,365 | |
| | 124,868 | | | Series 2010-34-PS | | | 3.95% | # I/F I/O | | | 04/25/2040 | | | | 13,339 | |
| | 242,789 | | | Series 2010-35-SP | | | 5.37% | # I/F I/O | | | 04/25/2050 | | | | 50,123 | |
| | 82,969 | | | Series 2010-35-SV | | | 5.47% | # I/F I/O | | | 04/25/2040 | | | | 10,929 | |
| | 3,245,356 | | | Series 2010-37-MY | | | 4.50% | | | | 04/25/2040 | | | | 3,433,764 | |
| | 228,681 | | | Series 2010-59-PS | | | 5.47% | # I/F I/O | | | 03/25/2039 | | | | 20,824 | |
| | 361,163 | | | Series 2010-59-SC | | | 4.02% | # I/F I/O | | | 01/25/2040 | | | | 42,834 | |
| | 1,477,958 | | | Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 1,547,660 | |
| | 323,394 | | | Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 354,531 | |
| | 666,624 | | | Series 2010-7-PE | | | 5.00% | | | | 02/25/2040 | | | | 723,008 | |
| | 352,873 | | | Series 2010-90-GS | | | 5.02% | # I/F I/O | | | 08/25/2040 | | | | 44,745 | |
| | 57,791 | | | Series 2010-99-SG | | | 21.08% | # I/F | | | 09/25/2040 | | | | 100,279 | |
| | 7,514,274 | | | Series 2011-141-PZ | | | 4.00% | | | | 01/25/2042 | | | | 7,932,421 | |
| | 16,064,719 | | | Series 2011-18-UZ | | | 4.00% | | | | 03/25/2041 | | | | 16,889,337 | |
| | 1,533,918 | | | Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 1,571,050 | |
| | 1,000,000 | | | Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 1,031,256 | |
| | 1,791,902 | | | Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 1,918,397 | |
| | 24,120,277 | | | Series 2013-45-LZ | | | 3.00% | | | | 05/25/2043 | | | | 22,143,010 | |
| | 30,971,965 | | | Series 2013-6-ZB | | | 3.00% | | | | 02/25/2043 | | | | 28,075,981 | |
| | 13,161,328 | | | Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 13,445,714 | |
| | 24,816,430 | | | Series 2014-70-VZ | | | 3.00% | | | | 11/25/2044 | | | | 22,934,431 | |
| | 8,306,977 | | | Series 2014-73-CZ | | | 3.00% | | | | 11/25/2044 | | | | 7,609,484 | |
| | 33,257,923 | | | Series 2015-09-HA | | | 3.00% | | | | 01/25/2045 | | | | 33,955,501 | |
| | 6,348,000 | | | Series 2016-M3-A2 | | | 2.70% | | | | 02/25/2026 | | | | 6,249,498 | |
| | 432,873 | | | Series 400-S4 | | | 4.47% | # I/F I/O | | | 11/25/2039 | | | | 60,561 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 194,014 | | | Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 212,888 | |
| | 167,178 | | | Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 183,010 | |
| | 1,274,071 | | | Pool 735383 | | | 5.00% | | | | 04/01/2035 | | | | 1,394,788 | |
| | 681,839 | | | Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 746,321 | |
| | 977,177 | | | Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 1,069,659 | |
| | 188,938 | | | Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 206,260 | |
| | 1,181,723 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 1,323,612 | |
| | 1,128,301 | | | Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 1,236,128 | |
| | 1,029,879 | | | Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 1,090,409 | |
| | 125,666 | | | Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 131,677 | |
| | 15,986,962 | | | Pool AB6854 | | | 3.00% | | | | 11/01/2042 | | | | 15,949,860 | |
| | 44,250 | | | Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 45,372 | |
| | 33,900 | | | Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 36,460 | |
| | 1,468,687 | | | Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 1,554,973 | |
| | 32,748,832 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 32,548,464 | |
| | 807,642 | | | Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 868,219 | |
| | 51,091 | | | Pool MA0282 | | | 5.00% | | | | 12/01/2039 | | | | 56,001 | |
| | 575,112 | | | Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 618,400 | |
| | 33,540 | | | Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 35,874 | |
| | 17,587,638 | | | Pool MA2151 | | | 3.50% | | | | 01/01/2045 | | | | 17,934,981 | |
| | 11,220,508 | | | Pool MA2248 | | | 3.00% | | | | 04/01/2045 | | | | 11,090,209 | |
| | 14,204,809 | | | Pool MA2621 | | | 3.50% | | | | 04/01/2046 | | | | 14,569,937 | |
| |
| | | | Government National Mortgage Association, | |
| | 475,399 | | | Pool 752494SF | | | 5.50% | | | | 09/20/2039 | | | | 521,357 | |
| | 271,875 | | | Series 2003-67-SP | | | 6.12% | # I/F I/O | | | 08/20/2033 | | | | 62,754 | |
| | 207,294 | | | Series 2008-82-SM | | | 5.07% | # I/F I/O | | | 09/20/2038 | | | | 30,598 | |
| | 2,706,773 | | | Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 2,892,842 | |
| | 3,035,178 | | | Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 3,270,420 | |
| | 3,199,759 | | | Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 3,407,280 | |
| | 3,875,829 | | | Series 2009-75-HZ | | | 5.00% | | | | 09/20/2039 | | | | 4,188,465 | |
| | 9,942,453 | | | Series 2010-113-SM | | | 5.07% | # I/F I/O | | | 09/20/2040 | | | | 1,381,601 | |
| | 121,921 | | | Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 131,789 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 35 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Government National Mortgage Association, (Cont.) | |
| | 5,974,964 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 6,316,194 | |
| | 8,375,358 | | | Series 2011-70-WS | | | 7.74% | # I/F | | | 12/20/2040 | | | | 9,003,925 | |
| | 12,995,383 | | | Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 13,857,381 | |
| | 19,697,449 | | | Series 2013-117-MS | | | 5.17% | # I/F I/O | | | 02/20/2043 | | | | 2,707,929 | |
| | 8,802,987 | | | Series 2013-122-SB | | | 5.17% | # I/F I/O | | | 08/16/2043 | | | | 1,511,920 | |
| | 41,549,689 | | | Series 2013-169-SE | | | 5.12% | # I/F I/O | | | 11/16/2043 | | | | 5,950,161 | |
| | 13,958,257 | | | Series 2014-102-TS | | | 4.62% | # I/F I/O | | | 07/20/2044 | | | | 2,009,330 | |
| | 11,099,585 | | | Series 2014-118-PS | | | 5.22% | # I/F I/O | | | 08/20/2044 | | | | 1,615,356 | |
| | 9,712,137 | | | Series 2014-118-SA | | | 5.22% | # I/F I/O | | | 08/20/2044 | | | | 1,515,282 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $1,343,747,213) | | | | 1,344,698,453 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS 24.3% | |
| | 6,100,000 | | | United States Treasury Bonds | | | 1.50% | | | | 02/28/2023 | | | | 5,896,748 | |
| | 202,250,000 | | | United States Treasury Bonds | | | 2.75% | | | | 11/15/2042 | | | | 192,583,866 | |
| | 39,374,335 | | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 07/15/2024 | | | | 39,041,622 | |
| | 39,915,746 | | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 07/15/2026 | | | | 38,974,772 | |
| | 95,723,792 | | | United States Treasury Inflation Indexed Bonds | | | 1.00% | | | | 02/15/2046 | | | | 97,309,265 | |
| | 54,500,000 | | | United States Treasury Notes | | | 0.63% | | | | 05/31/2017 | | | | 54,495,149 | |
| | 135,900,000 | | | United States Treasury Notes | | | 0.63% | | | | 09/30/2017 | | | | 135,719,525 | |
| | 192,000,000 | | | United States Treasury Notes | | | 1.00% | | | | 02/15/2018 | | | | 191,917,440 | |
| | 19,500,000 | | | United States Treasury Notes | | | 1.00% | | | | 05/15/2018 | | | | 19,476,386 | |
| | 110,700,000 | | | United States Treasury Notes | | | 1.00% | | | | 05/31/2018 | | | | 110,548,673 | |
| | 175,300,000 | | | United States Treasury Notes | | | 1.50% | | | | 05/31/2020 | | | | 174,865,256 | |
| | 167,000,000 | | | United States Treasury Notes | | | 2.00% | | | | 11/30/2020 | | | | 168,728,784 | |
| | 8,550,000 | | | United States Treasury Notes | | | 1.75% | | | | 12/31/2020 | | | | 8,556,849 | |
| | 184,700,000 | | | United States Treasury Notes | | | 2.25% | | | | 03/31/2021 | | | | 187,997,264 | |
| | 271,200,000 | | | United States Treasury Notes | | | 1.75% | | | | 03/31/2022 | | | | 268,646,923 | |
| | 48,600,000 | | | United States Treasury Notes | | | 2.13% | | | | 02/29/2024 | | | | 48,333,283 | |
| | 242,750,000 | | | United States Treasury Notes | | | 1.63% | | | | 05/15/2026 | | | | 227,696,587 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government and Agency Obligations
(Cost $1,975,905,192) | | | | 1,970,788,392 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 9.9% | |
| | 38,177,441 | | | DoubleLine Global Bond Fund (Class I) | | | | | | | | | | | 383,301,511 | |
| | 37,092,309 | | | DoubleLine Infrastructure Income Fund (Class I) | | | | | | | | | | | 373,519,556 | |
| | 5,000,000 | | | DoubleLine Long Duration Total Return Bond Fund (Class I) | | | | | | | | | | | 48,950,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $809,000,000) | | | | 805,771,067 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.1% | |
| | 34,833 | | | Energy Gulf Coast, Inc.* | | | | | | | | | | | 1,043,950 | |
| | 67,847 | | | Pacific Exploration and Production Corporation* | | | | | | | | | | | 2,110,029 | |
| | 7,893 | | | SandRidge Energy, Inc.* | | | | | | | | | | | 145,942 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $15,752,527) | | | | 3,299,921 | |
| | | | | | | | | | | | | | | | |
| | WARRANTS 0.0% | |
| | | | Energy Gulf Coast, Inc., | |
| | 11,182 | | | Expiration 12/30/2021, Strike Price $43.66* | | | | | | | | | | | 69,887 | |
| | | | | | | | | | | | | | | | |
| | | | Total Warrants
(Cost $237,990) | | | | 69,887 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 2.9% | |
| | 78,680,077 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 78,680,077 | |
| | 78,680,077 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 78,680,077 | |
| | 78,680,077 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 78,680,077 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $236,040,231) | | | | 236,040,231 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 100.6%
(Cost $8,184,019,908) | | | | 8,158,827,208 | |
| | | | Liabilities in Excess of Other Assets (0.6)% | | | | (49,307,982 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 8,109,519,226 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
US Government and Agency Obligations | | | 24.3% | |
US Government / Agency Mortgage Backed Obligations | | | 16.6% | |
US Corporate Bonds | | | 12.7% | |
Affiliated Mutual Funds | | | 9.9% | |
Foreign Corporate Bonds | | | 8.0% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 7.8% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.5% | |
Collateralized Loan Obligations | | | 3.5% | |
Short Term Investments | | | 2.9% | |
Bank Loans | | | 2.6% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 2.6% | |
Asset Backed Obligations | | | 1.8% | |
Municipal Bonds | | | 0.3% | |
Exchange Traded Funds and Common Stocks | | | 0.1% | |
Warrants | | | 0.0% | |
Other Assets and Liabilities | | | (0.6)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 36 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
US Government and Agency Obligations | | | 24.3% | |
US Government / Agency Mortgage Backed Obligations | | | 16.6% | |
Affiliated Mutual Funds | | | 9.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 7.8% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 7.5% | |
Banking | | | 4.4% | |
Collateralized Loan Obligations | | | 3.5% | |
Short Term Investments | | | 2.9% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 2.6% | |
Oil & Gas | | | 1.9% | |
Asset Backed Obligations | | | 1.8% | |
Telecommunications | | | 1.5% | |
Utilities | | | 1.5% | |
Healthcare | | | 1.1% | |
Transportation | | | 1.1% | |
Technology | | | 1.1% | |
Media | | | 1.0% | |
Pharmaceuticals | | | 0.8% | |
Consumer Products | | | 0.6% | |
Automotive | | | 0.6% | |
Energy | | | 0.5% | |
Finance | | | 0.5% | |
Retailers (other than Food/Drug) | | | 0.5% | |
Electronics/Electric | | | 0.5% | |
Insurance | | | 0.5% | |
Financial Intermediaries | | | 0.5% | |
Chemicals/Plastics | | | 0.4% | |
Aerospace & Defense | | | 0.4% | |
Pulp & Paper | | | 0.4% | |
Food Products | | | 0.4% | |
Real Estate | | | 0.3% | |
Food/Drug Retailers | | | 0.3% | |
Municipal Bonds | | | 0.3% | |
Beverage and Tobacco | | | 0.3% | |
Containers and Glass Products | | | 0.3% | |
Health Care Providers & Services | | | 0.3% | |
Hotels/Motels/Inns and Casinos | | | 0.3% | |
Building and Development (including Steel/Metals) | | | 0.2% | |
Industrial Equipment | | | 0.2% | |
Business Equipment and Services | | | 0.2% | |
Leisure | | | 0.2% | |
Mining | | | 0.1% | |
Conglomerates | | | 0.1% | |
Construction | | | 0.1% | |
Environmental Control | | | 0.1% | |
Biotechnology | | | 0.1% | |
Cosmetics/Toiletries | | | 0.1% | |
Other Assets and Liabilities | | | (0.6)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | | | | |
United States | | | 90.0% | |
Mexico | | | 1.5% | |
Chile | | | 0.8% | |
Brazil | | | 0.7% | |
Canada | | | 0.6% | |
United Kingdom | | | 0.5% | |
Dominican Republic | | | 0.5% | |
Australia | | | 0.5% | |
India | | | 0.5% | |
Argentina | | | 0.4% | |
China | | | 0.4% | |
Peru | | | 0.4% | |
Costa Rica | | | 0.3% | |
Guatemala | | | 0.3% | |
Panama | | | 0.3% | |
Israel | | | 0.3% | |
Indonesia | | | 0.3% | |
Colombia | | | 0.3% | |
Malaysia | | | 0.3% | |
Qatar | | | 0.2% | |
Singapore | | | 0.2% | |
South Korea | | | 0.2% | |
Japan | | | 0.2% | |
Poland | | | 0.2% | |
Luxembourg | | | 0.1% | |
France | | | 0.1% | |
Hong Kong | | | 0.1% | |
Trinidad & Tobago | | | 0.1% | |
Ireland | | | 0.1% | |
Jamaica | | | 0.1% | |
Philippines | | | 0.1% | |
Netherlands | | | 0.0% | ~ |
Paraguay | | | 0.0% | ~ |
El Salvador | | | 0.0% | ~ |
Hungary | | | 0.0% | ~ |
Other Assets and Liabilities | | | (0.6)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $1,397,141,706 or 17.2% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| & | Unfunded or partially unfunded loan commitment. At March 31, 2017, the value of these securities amounted to $312,169 or 0.0% of net assets. |
| I/O | Interest only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
| ¨ | Seven-day yield as of March 31, 2017 |
| ¥ | Illiquid security. At March 31, 2017, the value of these securities amounted to $57,622,622 or 0.7% of net assets. |
| ~ | Represents less than 0.05% of net assets |
| PIK | A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings. |
| * | Non-income producing security |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 37 |
| | |
| Schedule of Investments DoubleLine Core Fixed Income Fund (Cont.) | | March 31, 2017 |
A summary of the DoubleLine Core Fixed Income Fund’s investments in affiliated mutual funds for the year ended March 31, 2017 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2016 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
March 31,
2017 | | | Value at
March 31,
2017 | | | Dividend
Income Earned
in the Year
Ended March 31,
2017 | | | Net Realized Gain
(Loss) in the Year
Ended March 31,
2017 | |
DoubleLine Global Bond Fund | | $ | 85,656,164 | | | $ | 304,500,000 | | | $ | — | | | | 38,177,441 | | | $ | 383,301,511 | | | $ | 473,841 | | | $ | — | |
DoubleLine Long Duration Total Return Bond Fund | | | 52,000,000 | | | | — | | | | — | | | | 5,000,000 | | | | 48,950,000 | | | | 1,638,282 | | | | — | |
DoubleLine Infrastructure Income Fund | | | — | | | | 373,000,000 | | | | — | | | | 37,092,309 | | | | 373,519,556 | | | | 3,398,472 | | | | — | |
| | | | |
| | $ | 137,656,164 | | | $ | 677,500,000 | | | $ | — | | | | 80,269,750 | | | $ | 805,771,067 | | | $ | 5,510,595 | | | $ | — | |
| | | | |
| | | | | | |
| 38 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 69.0% | |
| | |
| | ARGENTINA 1.4% | |
| | 800,000 | | | Aeropuerto Argentina S.A. | | | 6.88% | ^ | | | 02/01/2027 | | | | 828,000 | |
| | 500,000 | | | Banco Macro S.A. | | | 6.75% | #^ | | | 11/04/2026 | | | | 503,100 | |
| | 6,800,000 | | | Banco Macro S.A. | | | 6.75% | # | | | 11/04/2026 | | | | 6,842,160 | |
| | 6,200,000 | | | Pampa Energia S.A. | | | 7.50% | ^ | | | 01/24/2027 | | | | 6,286,180 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,459,440 | |
| | | | | | | | | | | | | | | | |
| | BRAZIL 7.8% | |
| | 5,000,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 5,200,000 | |
| | 1,300,000 | | | BR Malls International Finance Ltd. | | | 8.50% | † | | | 04/21/2049 | | | | 1,309,750 | |
| | 4,500,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | ^ | | | 07/17/2024 | | | | 4,005,000 | |
| | 2,200,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 1,958,000 | |
| | 7,631,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/29/2049 | | | | 7,688,232 | |
| | 1,500,000 | | | Eldorado International Finance GMBH | | | 8.63% | ^ | | | 06/16/2021 | | | | 1,278,750 | |
| | 2,000,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 2,012,500 | |
| | 4,000,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 3,998,000 | |
| | 3,500,000 | | | MARB BondCo PLC | | | 7.00% | ^ | | | 03/15/2024 | | | | 3,482,500 | |
| | 3,000,000 | | | Marfrig Holdings Europe B.V. | | | 8.00% | ^ | | | 06/08/2023 | | | | 3,141,900 | |
| | 7,600,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 7,980,000 | |
| | 2,500,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 2,625,000 | |
| | 10,500,000 | | | Pontis Ltd. | | | 5.13% | ^ | | | 03/31/2027 | | | | 10,531,500 | |
| | 11,000,000 | | | OAS Financial Ltd. | | | 8.88% | #^†W | | | 04/25/2018 | | | | 495,000 | |
| | 4,900,000 | | | Odebrecht Finance Ltd. | | | 7.13% | | | | 06/26/2042 | | | | 1,813,000 | |
| | 3,500,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/29/2049 | | | | 1,325,625 | |
| | 2,800,000 | | | Petrobras Global Finance B.V. | | | 7.38% | | | | 01/17/2027 | | | | 2,967,160 | |
| | 17,000,000 | | | Petrobras Global Finance B.V. | | | 7.25% | | | | 03/17/2044 | | | | 16,872,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 78,684,417 | |
| | | | | | | | | | | | | | | | |
| | CHILE 9.4% | |
| | 5,123,000 | | | AES Gener S.A. | | | 5.00% | | | | 07/14/2025 | | | | 5,215,606 | |
| | 6,143,000 | | | Celulosa Arauco y Constitucion S.A. | | | 7.25% | | | | 07/29/2019 | | | | 6,776,033 | |
| | 7,700,000 | | | Cencosud S.A. | | | 5.15% | | | | 02/12/2025 | | | | 8,037,734 | |
| | 2,000,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 2,172,632 | |
| | 8,200,000 | | | CorpGroup Banking S.A. | | | 6.75% | ^ | | | 03/15/2023 | | | | 7,892,418 | |
| | 4,000,000 | | | Empresa Electrica Angamos S.A. | | | 4.88% | | | | 05/25/2029 | | | | 4,043,688 | |
| | 4,000,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | ^ | | | 04/30/2025 | | | | 3,837,352 | |
| | 6,435,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | | | | 04/30/2025 | | | | 6,173,341 | |
| | 3,600,000 | | | Empresa Nacional de Telecomunicaciones S.A. | | | 4.88% | | | | 10/30/2024 | | | | 3,727,757 | |
| | 5,100,000 | | | Engie Energia Chile S.A. | | | 4.50% | | | | 01/29/2025 | | | | 5,226,330 | |
| | 11,008,000 | | | ENTEL Chile S.A. | | | 4.75% | | | | 08/01/2026 | | | | 11,308,164 | |
| | 900,000 | | | GNL Quintero S.A. | | | 4.63% | | | | 07/31/2029 | | | | 922,500 | |
| | 14,224,326 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 14,668,836 | |
| | 11,620,000 | | | Inversiones CMPC S.A. | | | 4.38% | ^ | | | 04/04/2027 | | | | 11,576,441 | |
| | 2,810,000 | | | SUAM Finance B.V. | | | 4.88% | | | | 04/17/2024 | | | | 2,924,367 | |
| | 204,000 | | | Transelec S.A. | | | 3.88% | | | | 01/12/2029 | | | | 198,390 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 94,701,589 | |
| | | | | | | | | | | | | | | | |
| | CHINA 4.8% | |
| | 2,000,000 | | | CNOOC Finance Ltd. | | | 4.25% | | | | 01/26/2021 | | | | 2,097,032 | |
| | 16,500,000 | | | CNOOC Finance Ltd. | | | 3.50% | | | | 05/05/2025 | | | | 16,358,248 | |
| | 7,400,000 | | | CNPC General Capital Ltd. | | | 3.40% | | | | 04/16/2023 | | | | 7,508,908 | |
| | 4,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 05/03/2021 | | | | 3,974,780 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 20,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 09/29/2026 | | | | 18,573,600 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 48,512,568 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 2.1% | |
| | 5,100,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 5,079,600 | |
| | 8,500,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 8,466,000 | |
| | 200,000 | | | Banco de Bogota S.A. | | | 6.25% | ^ | | | 05/12/2026 | | | | 209,250 | |
| | 3,100,000 | | | Banco GNB Sudameris S.A. | | | 6.50% | ^ | | | 04/03/2027 | | | | 3,149,445 | |
| | 4,609,000 | | | GrupoSura Finance S.A. | | | 5.50% | | | | 04/29/2026 | | | | 4,868,256 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,772,551 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 1.9% | |
| | 10,970,000 | | | Banco Nacional de Costa Rica | | | 5.88% | ^ | | | 04/25/2021 | | | | 11,175,687 | |
| | 1,400,000 | | | Banco Nacional de Costa Rica | | | 5.88% | | | | 04/25/2021 | | | | 1,426,250 | |
| | 3,600,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | ^ | | | 11/10/2021 | | | | 3,806,712 | |
| | 3,000,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 3,172,260 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,580,909 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 1.7% | |
| | 7,500,000 | | | AES Andres B.V. | | | 7.95% | ^ | | | 05/11/2026 | | | | 8,065,275 | |
| | 1,800,000 | | | Banco de Reservas de la Republica Dominicana | | | 7.00% | ^ | | | 02/01/2023 | | | | 1,837,188 | |
| | 7,098,000 | | | Banco de Reservas de la Republica Dominicana | | | 7.00% | | | | 02/01/2023 | | | | 7,244,645 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 17,147,108 | |
| | | | | | | | | | | | | | | | |
| | EL SALVADOR 0.7% | |
| | 7,200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 6,714,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,714,000 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 1.7% | |
| | 2,300,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 2,386,250 | |
| | 1,600,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 1,660,000 | |
| | 2,500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 2,337,500 | |
| | 5,900,000 | | | Industrial Senior Trust | | | 5.50% | ^ | | | 11/01/2022 | | | | 5,927,376 | |
| | 4,400,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 4,420,416 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,731,542 | |
| | | | | | | | | | | | | | | | |
| | HONG KONG 1.3% | |
| | 13,500,000 | | | CK Hutchison International Ltd. | | | 3.50% | ^ | | | 04/05/2027 | | | | 13,475,881 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,475,881 | |
| | | | | | | | | | | | | | | | |
| | INDIA 5.8% | |
| | 1,753,000 | | | Bharat Petroleum Corporation Ltd. | | | 4.63% | | | | 10/25/2022 | | | | 1,870,101 | |
| | 10,000,000 | | | Bharti Airtel Ltd. | | | 4.38% | | | | 06/10/2025 | | | | 10,008,926 | |
| | 15,595,000 | | | BPRL International Singapore Pte Ltd. | | | 4.38% | | | | 01/18/2027 | | | | 15,926,066 | |
| | 1,000,000 | | | Indian Oil Corporation Ltd. | | | 5.63% | | | | 08/02/2021 | | | | 1,098,506 | |
| | 13,900,000 | | | ONGC Videsh Ltd. | | | 3.75% | | | | 07/27/2026 | | | | 13,638,930 | |
| | 9,000,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 9,550,530 | |
| | 5,600,000 | | | Reliance Holdings, Inc. | | | 5.40% | | | | 02/14/2022 | | | | 6,116,561 | |
| | 500,000 | | | Reliance Industries Ltd. | | | 8.25% | | | | 01/15/2027 | | | | 652,028 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 58,861,648 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 39 |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | INDONESIA 0.9% | |
| | 8,400,000 | | | Pertamina Persero PT | | | 5.63% | | | | 05/20/2043 | | | | 8,644,188 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,644,188 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 2.6% | |
| | 4,700,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 4,876,250 | |
| | 1,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.08% | ^ | | | 12/30/2023 | | | | 1,048,750 | |
| | 4,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 4,257,500 | |
| | 15,060,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 15,858,180 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 26,040,680 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 1.6% | |
| | 500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 482,500 | |
| | 7,500,000 | | | Digicel Ltd. | | | 7.13% | ^ | | | 04/01/2022 | | | | 5,868,750 | |
| | 12,000,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 9,390,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,741,250 | |
| | | | | | | | | | | | | | | | |
| | MALAYSIA 2.9% | |
| | 2,800,000 | | | Axiata SPV2 BHD | | | 3.47% | | | | 11/19/2020 | | | | 2,870,160 | |
| | 11,000,000 | | | Gohl Capital Ltd. | | | 4.25% | | | | 01/24/2027 | | | | 11,119,933 | |
| | 15,400,000 | | | Petronas Capital Ltd. | | | 3.50% | | | | 03/18/2025 | | | | 15,669,669 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 29,659,762 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 10.9% | |
| | 1,000,000 | | | Banco Mercantil del Norte S.A. | | | 5.75% | #^ | | | 10/04/2031 | | | | 981,250 | |
| | 6,400,000 | | | Banco Mercantil del Norte S.A. | | | 5.75% | # | | | 10/04/2031 | | | | 6,280,000 | |
| | 3,000,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | # | | | 08/11/2026 | | | | 2,947,500 | |
| | 9,200,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 9,545,000 | |
| | 9,000,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 9,000,000 | |
| | 1,600,000 | | | BBVA Bancomer S.A. | | | 5.35% | #^ | | | 11/12/2029 | | | | 1,584,000 | |
| | 6,850,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 6,781,500 | |
| | 19,700,000 | | | Comision Federal de Electricidad | | | 4.75% | | | | 02/23/2027 | | | | 19,798,500 | |
| | 1,300,000 | | | Comision Federal de Electricidad | | | 6.13% | | | | 06/16/2045 | | | | 1,342,250 | |
| | 9,600,000 | | | Credito Real S.A.B. de C.V. | | | 7.25% | ^ | | | 07/20/2023 | | | | 9,744,000 | |
| | 1,000,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 1,040,000 | |
| | 8,500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | ^ | | | 12/18/2020 | | | | 7,533,125 | |
| | 7,104,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 6,295,920 | |
| | 1,500,000 | | | Grupo Posadas S.A.B. de C.V. | | | 7.88% | ^ | | | 06/30/2022 | | | | 1,548,750 | |
| | 1,700,000 | | | Grupo Televisa SAB | | | 4.63% | | | | 01/30/2026 | | | | 1,752,241 | |
| | 5,000,000 | | | Grupo Televisa SAB | | | 6.13% | | | | 01/31/2046 | | | | 5,312,318 | |
| | 2,200,000 | | | Sigma Alimentos S.A. de C.V. | | | 4.13% | | | | 05/02/2026 | | | | 2,156,000 | |
| | 2,000,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 1,985,000 | |
| | 6,834,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 6,834,000 | |
| | 7,200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 7,110,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 109,571,354 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 2.2% | |
| | 1,193,000 | | | Autoridad del Canal de Panama | | | 4.95% | | | | 07/29/2035 | | | | 1,309,318 | |
| | 10,847,886 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 11,227,562 | |
| | 2,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 2,061,000 | |
| | 5,400,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 5,564,700 | |
| | 1,500,000 | | | Global Bank Corporation | | | 4.50% | ^ | | | 10/20/2021 | | | | 1,489,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,652,080 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | PARAGUAY 0.4% | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | ^ | | | 12/13/2022 | | | | 414,000 | |
| | 3,300,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 3,415,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,829,500 | |
| | | | | | | | | | | | | | | | |
| | PERU 5.2% | |
| | 6,665,972 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 7,165,920 | |
| | 8,033,095 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 8,635,577 | |
| | 3,900,000 | | | Ajecorp B.V. | | | 6.50% | | | | 05/14/2022 | | | | 2,895,750 | |
| | 190,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 208,288 | |
| | 2,100,000 | | | Banco International del Peru S.A.A. | | | 8.50% | # | | | 04/23/2070 | | | | 2,299,500 | |
| | 5,818,000 | | | Camposol S.A. | | | 10.50% | ^ | | | 07/15/2021 | | | | 6,152,535 | |
| | 2,750,000 | | | Fondo Mivivienda S.A. | | | 3.50% | ^ | | | 01/31/2023 | | | | 2,777,500 | |
| | 4,100,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | ^ | | | 01/31/2020 | | | | 3,484,590 | |
| | 2,730,000 | | | Pesquera Exalmar S.A.A. | | | 7.38% | | | | 01/31/2020 | | | | 2,320,227 | |
| | 16,488,000 | | | Transportadora de Gas del Peru S.A. | | | 4.25% | | | | 04/30/2028 | | | | 16,694,100 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 52,633,987 | |
| | | | | | | | | | | | | | | | |
| | QATAR 1.5% | |
| | 15,138,000 | | | Ooredoo International Finance Ltd. | | | 3.88% | | | | 01/31/2028 | | | | 14,921,300 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,921,300 | |
| | | | | | | | | | | | | | | | |
| | SINGAPORE 1.4% | |
| | 7,000,000 | | | DBS Group Holdings Ltd. | | | 3.60% | #† | | | 12/29/2049 | | | | 6,896,449 | |
| | 7,000,000 | | | United Overseas Bank Ltd. | | | 3.50% | # | | | 09/16/2026 | | | | 7,032,452 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,928,901 | |
| | | | | | | | | | | | | | | | |
| | SOUTH KOREA 0.5% | |
| | 305,000 | | | GS Caltex Corporation | | | 3.25% | | | | 10/01/2018 | | | | 309,558 | |
| | 1,500,000 | | | Kia Motors Corporation | | | 2.63% | | | | 04/21/2021 | | | | 1,490,276 | |
| | 200,000 | | | Korea Development Bank | | | 3.00% | | | | 01/13/2026 | | | | 199,619 | |
| | 2,900,000 | | | Korea Development Bank | | | 2.00% | | | | 09/12/2026 | | | | 2,645,487 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,644,940 | |
| | | | | | | | | | | | | | | | |
| | TRINIDAD & TOBAGO 0.3% | |
| | 3,000,000 | | | National Gas Company of Trinidad and Tobago Ltd. | | | 6.05% | | | | 01/15/2036 | | | | 3,120,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,120,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $709,451,521) | | | | 695,029,595 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 28.7% |
|
| | |
| | ARGENTINA 3.4% | |
| | 24,100,000 | | | Argentine Republic Government International Bond | | | 6.88% | ^ | | | 01/26/2027 | | | | 24,419,325 | |
| | 10,000,000 | | | Provincia de Buenos Aires | | | 7.88% | ^ | | | 06/15/2027 | | | | 10,152,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 34,571,325 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 40 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BRAZIL 1.9% | |
| | 20,000,000 | | | Brazilian Government International Bond | | | 5.63% | | | | 01/07/2041 | | | | 19,550,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,550,000 | |
| | | | | | | | | | | | | | | | |
| | CHILE 1.0% | |
| | 10,000,000 | | | Chile Government International Bond | | | 3.13% | | | | 01/21/2026 | | | | 10,180,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,180,000 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 0.4% | |
| | 4,200,000 | | | Colombia Government International Bond | | | 4.50% | | | | 01/28/2026 | | | | 4,446,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,446,750 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 1.9% | |
| | 15,808,000 | | | Costa Rica Government International Bond | | | 10.00% | | | | 08/01/2020 | | | | 18,602,854 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,602,854 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 3.6% | |
| | 6,800,000 | | | Dominican Republic International Bond | | | 5.50% | | | | 01/27/2025 | | | | 6,944,500 | |
| | 18,300,000 | | | Dominican Republic International Bond | | | 5.95% | ^ | | | 01/25/2027 | | | | 18,734,625 | |
| | 10,000,000 | | | Dominican Republic International Bond | | | 6.85% | | | | 01/27/2045 | | | | 10,400,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 36,079,125 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 1.6% | |
| | 10,200,000 | | | Guatemala Government Bond | | | 4.50% | | | | 05/03/2026 | | | | 10,176,336 | |
| | 5,285,000 | | | Guatemala Government Bond | | | 4.88% | | | | 02/13/2028 | | | | 5,401,270 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,577,606 | |
| | | | | | | | | | | | | | | | |
| | HUNGARY 0.4% | |
| | 4,000,000 | | | Hungary Government International Bond | | | 6.25% | | | | 01/29/2020 | | | | 4,388,284 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,388,284 | |
| | | | | | | | | | | | | | | | |
| | INDONESIA 2.8% | |
| | 12,000,000 | | | Indonesia Government International Bond | | | 5.88% | | | | 03/13/2020 | | | | 13,139,304 | |
| | 5,500,000 | | | Indonesia Government International Bond | | | 4.35% | ^ | | | 01/08/2027 | | | | 5,697,763 | |
| | 9,700,000 | | | Perusahaan Penerbit SBSN Indonesia III | | | 4.15% | ^ | | | 03/29/2027 | | | | 9,752,865 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 28,589,932 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 4.1% | |
| | 13,000,000 | | | Mexico Government International Bond | | | 4.13% | | | | 01/21/2026 | | | | 13,396,500 | |
| | 15,000,000 | | | Mexico Government International Bond | | | 4.15% | | | | 03/28/2027 | | | | 15,281,250 | |
| | 12,410,000 | | | Mexico Government International Bond | | | 4.75% | | | | 03/08/2044 | | | | 12,099,750 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 40,777,500 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 1.9% | |
| | 15,000,000 | | | Panama Government International Bond | | | 3.88% | | | | 03/17/2028 | | | | 15,281,250 | |
| | 4,000,000 | | | Panama Government International Bond | | | 4.30% | | | | 04/29/2053 | | | | 3,810,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,091,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | PHILIPPINES 1.0% | |
| | 9,900,000 | | | Philippine Government International Bond | | | 3.70% | | | | 02/02/2042 | | | | 9,803,119 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,803,119 | |
| | | | | | | | | | | | | | | | |
| | POLAND 1.0% | |
| | 6,000,000 | | | Republic of Poland Government International Bond | | | 5.13% | | | | 04/21/2021 | | | | 6,580,080 | |
| | 3,000,000 | | | Republic of Poland Government International Bond | | | 3.25% | | | | 04/06/2026 | | | | 2,980,665 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,560,745 | |
| | | | | | | | | | | | | | | | |
| | QATAR 1.8% | |
| | 18,000,000 | | | Qatar Government International Bond | | | 2.38% | | | | 06/02/2021 | | | | 17,821,530 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 17,821,530 | |
| | | | | | | | | | | | | | | | |
| | SOUTH KOREA 1.9% | |
| | 20,000,000 | | | Korea International Bond | | | 2.75% | | | | 01/19/2027 | | | | 19,689,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,689,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $284,827,216) | | | | 288,729,520 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.4% | |
| | |
| | COLOMBIA 0.4% | |
| | 114,249 | | | Pacific Exploration and Production Corporation* | | | | | | | | | | | 3,553,136 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $20,010,064) | | | | 3,553,136 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 2.4% | |
| | 8,089,337 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 8,089,337 | |
| | 8,089,338 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 8,089,338 | |
| | 8,089,338 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 8,089,338 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $24,268,013) | | | | 24,268,013 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 100.5%
(Cost $1,038,556,814) | | | | 1,011,580,264 | |
| | | | Liabilities in Excess of Other Assets (0.5)% | | | | (4,531,835 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 1,007,048,429 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 41 |
| | |
| Schedule of Investments DoubleLine Emerging Markets Fixed Income Fund (Cont.) | | March 31, 2017 |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 28.7% | |
Oil & Gas | | | 15.5% | |
Banking | | | 12.2% | |
Utilities | | | 11.0% | |
Telecommunications | | | 6.2% | |
Transportation | | | 5.8% | |
Consumer Products | | | 3.9% | |
Media | | | 3.3% | |
Finance | | | 2.5% | |
Short Term Investments | | | 2.4% | |
Pulp & Paper | | | 1.9% | |
Chemicals/Plastics | | | 1.4% | |
Conglomerates | | | 1.3% | |
Hotels/Motels/Inns and Casinos | | | 1.3% | |
Building and Development (including Steel/Metals) | | | 1.1% | |
Retailers (other than Food/Drug) | | | 0.8% | |
Construction | | | 0.4% | |
Beverage and Tobacco | | | 0.3% | |
Technology | | | 0.2% | |
Automotive | | | 0.2% | |
Real Estate | | | 0.1% | |
Other Assets and Liabilities | | | (0.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
Mexico | | | 14.9% | |
Chile | | | 10.4% | |
Brazil | | | 9.8% | |
India | | | 5.8% | |
Dominican Republic | | | 5.3% | |
Peru | | | 5.2% | |
Argentina | | | 4.9% | |
China | | | 4.8% | |
Panama | | | 4.0% | |
Costa Rica | | | 3.8% | |
Indonesia | | | 3.7% | |
Qatar | | | 3.3% | |
Guatemala | | | 3.2% | |
Colombia | | | 3.0% | |
Malaysia | | | 2.9% | |
Israel | | | 2.6% | |
South Korea | | | 2.4% | |
United States | | | 2.4% | |
Jamaica | | | 1.6% | |
Singapore | | | 1.4% | |
Hong Kong | | | 1.3% | |
Philippines | | | 1.0% | |
Poland | | | 1.0% | |
El Salvador | | | 0.7% | |
Hungary | | | 0.4% | |
Paraguay | | | 0.4% | |
Trinidad & Tobago | | | 0.3% | |
Other Assets and Liabilities | | | (0.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $269,737,985 or 26.8% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| ¨ | Seven-day yield as of March 31, 2017 |
| W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
| * | Non-income producing security |
| | | | | | |
| 42 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Multi-Asset Growth Fund (Consolidated) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 4.0% | |
| |
| | | | Arcadia Receivables Credit Trust, | |
| | 941,107 | | | Series 2017-1-A | | | 3.25% | ^ | | | 06/15/2023 | | | | 944,544 | |
| |
| | | | AVANT Loans Funding Trust, | |
| | 109,439 | | | Series 2015-A-A | | | 4.00% | ^ | | | 08/16/2021 | | | | 109,801 | |
| | 812,859 | | | Series 2015-A-B | | | 6.00% | ^ | | | 08/16/2021 | | | | 820,731 | |
| |
| | | | BMW Vehicle Lease Trust, | |
| | 1,000,000 | | | Series 2017-1-A1 | | | 1.00% | | | | 03/20/2018 | | | | 1,000,080 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 764,661 | | | Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 765,146 | |
| | 500,000 | | | Series 2015-PM1-C | | | 5.01% | ^ | | | 12/15/2021 | | | | 499,018 | |
| |
| | | | LendingClub Issuance Trust, | |
| | 391,814 | | | Series 2016-NP2-A | | | 3.00% | ^ | | | 01/17/2023 | | | | 393,034 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 169,098 | | | Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 168,992 | |
| |
| | | | SoFi Consumer Loan Program Trust, | |
| | 1,000,000 | | | Series 2017-2-A | | | 3.28% | ^ | | | 02/25/2026 | | | | 1,001,251 | |
| |
| | | | Westlake Automobile Receivables Trust, | |
| | 1,000,000 | | | Series 2017-1A-A1 | | | 1.10% | ^ | | | 03/15/2018 | | | | 1,000,017 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $6,687,764) | | | | 6,702,614 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 2.3% | |
| |
| | | | Brookside Mill Ltd., | |
| | 1,000,000 | | | Series 2013-1A-E | | | 5.42% | #^ | | | 04/17/2025 | | | | 924,732 | |
| | 1,000,000 | | | Series 2013-1A-SUB | | | 6.81% | #^@ | | | 04/17/2025 | | | | 467,865 | |
| |
| | | | Cent Ltd., | |
| | 1,000,000 | | | Series 2013-18A-E | | | 5.64% | #^ | | | 07/23/2025 | | | | 955,223 | |
| | 1,000,000 | | | Series 2013-18A-SUB | | | 7.58% | #^@ | | | 07/23/2025 | | | | 519,454 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 500,000 | | | Series 2014-15A-DR | | | 6.48% | #^ | | | 01/27/2026 | | | | 499,004 | |
| |
| | | | MP Ltd., | |
| | 500,000 | | | Series 2014-1A-AR | | | 2.21% | #^ | | | 07/18/2026 | | | | 500,975 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $4,657,939) | | | | 3,867,253 | |
| | | | | | | | | | | | | | | | |
| | MUNICIPAL BONDS 0.9% | |
| | 2,500,000 | | | Commonwealth of Puerto Rico General Obligation | | | 8.00% | W | | | 07/01/2035 | | | | 1,556,250 | |
| | | | | | | | | | | | | | | | |
| | | | Total Municipal Bonds
(Cost $2,249,008) | | | | 1,556,250 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 6.4% |
|
| |
| | | | Adjustable Rate Mortgage Trust, | |
| | 229,984 | | | Series 2006-1-2A1 | | | 3.66% | # | | | 03/25/2036 | | | | 184,082 | |
| |
| | | | Banc of America Alternative Loan Trust, | |
| | 440,290 | | | Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 263,915 | |
| |
| | | | BCAP LLC Trust, | |
| | 41,326 | | | Series 2007-AA2-2A5 | | | 6.00% | | | | 04/25/2037 | | | | 36,060 | |
| | 2,881,219 | | | Series 2009-RR4-1A2 | | | 9.27% | #^ | | | 06/26/2037 | | | | 1,399,618 | |
| |
| | | | ChaseFlex Trust, | |
| | 245,460 | | | Series 2007-M1-2F4 | | | 4.30% | # | | | 08/25/2037 | | | | 205,380 | |
| |
| | | | CIM Trust, | |
| | 910,000 | | | Series 2017-3RR-B2 | | | 16.78% | #^ | | | 01/27/2057 | | | | 1,001,000 | |
| |
| | | | Citicorp Mortgage Securities, Inc., | |
| | 37,075 | | | Series 2007-2-3A1 | | | 5.50% | | | | 02/25/2037 | | | | 36,980 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 167,085 | | | Series 2009-7-2A2 | | | 5.50% | ^ | | | 10/25/2021 | | | | 178,018 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 259,681 | | | Series 2007-A6-1A11 | | | 6.00% | | | | 06/25/2037 | | | | 225,969 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 96,776 | | | Series 2006-32CB-A16 | | | 5.50% | | | | 11/25/2036 | | | | 80,754 | |
| | 740,421 | | | Series 2006-J1-2A1 | | | 7.00% | | | | 02/25/2036 | | | | 280,758 | |
| | 21,457 | | | Series 2007-17CB-1A10 | | | 25.38% | # I/F | | | 08/25/2037 | | | | 31,325 | |
| | 14,194 | | | Series 2007-21CB-2A2 | | | 24.47% | # I/F | | | 09/25/2037 | | | | 18,794 | |
| |
| | | | Countrywide Home Loans, | |
| | 222,667 | | | Series 2007-10-A5 | | | 6.00% | | | | 07/25/2037 | | | | 191,829 | |
| | 11,831 | | | Series 2007-4-1A5 | | | 6.50% | | | | 05/25/2037 | | | | 10,275 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 145,177 | | | Series 2005-8-1A3 | | | 5.25% | | | | 09/25/2035 | | | | 130,573 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 43,496 | | | Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 34,958 | |
| | 255,325 | | | Series 2010-7R-4A17 | | | 6.00% | #^ | | | 04/26/2037 | | | | 258,178 | |
| |
| | | | Deutsche Mortgage Securities, Inc., | |
| | 132,722 | | | Series 2006-PR1-3A1 | | | 11.05% | #^ I/F | | | 04/15/2036 | | | | 143,848 | |
| | 296,888 | | | Series 2006-PR1-5AI4 | | | 11.05% | #^ I/F | | | 04/15/2036 | | | | 304,207 | |
| |
| | | | First Horizon Alternative Mortgage Securities, | |
| | 53,733 | | | Series 2007-FA2-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 40,832 | |
| |
| | | | GreenPoint Mortgage Funding Trust, | |
| | 1,508,526 | | | Series 2005-AR3-2A1 | | | 1.24% | # | | | 08/25/2045 | | | | 979,024 | |
| |
| | | | GSAA Home Equity Trust, | |
| | 1,000,000 | | | Series 2006-15-AF3B | | | 5.93% | # | | | 09/25/2036 | | | | 167,340 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 116,078 | | | Series 2006-2F-2A20 | | | 10.32% | # I/F | | | 02/25/2036 | | | | 116,211 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 32,755 | | | Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 29,846 | |
| | 496,031 | | | Series 2006-S1-1A3 | | | 5.50% | | | | 03/25/2036 | | | | 417,901 | |
| |
| | | | JP Morgan Mortgage Acquisition Corporation, | |
| | 157,981 | | | Series 2006-CH2-AF3 | | | 5.46% | # | | | 10/25/2036 | | | | 122,184 | |
| |
| | | | Lavender Trust, | |
| | 128,698 | | | Series 2010-R12A-A3 | | | 6.00% | ^ | | | 06/26/2037 | | | | 129,891 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 80,022 | | | Series 2006-4-1A3 | | | 4.42% | # I/F I/O | | | 08/25/2036 | | | | 13,414 | |
| | 5,001 | | | Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 4,501 | |
| | 43,669 | | | Series 2007-5-11A1 | | | 5.35% | # | | | 06/25/2037 | | | | 33,901 | |
| |
| | | | Lehman XS Trust, | |
| | 200,256 | | | Series 2005-1-3A3A | | | 5.11% | # | | | 07/25/2035 | | | | 185,251 | |
| |
| | | | MASTR Resecuritization Trust, | |
| | 307,695 | | | Series 2008-4-A1 | | | 6.00% | #^ | | | 06/27/2036 | | | | 280,037 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 1,776,548 | | | Series 2006-8AR-1A4 | | | 1.23% | # | | | 06/25/2036 | | | | 910,163 | |
| | 307,267 | | | Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 258,563 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 225,568 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 196,954 | |
| | 3,938 | | | Series 2006-QS13-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 3,322 | |
| | 225,768 | | | Series 2006-QS2-1A4 | | | 5.50% | | | | 02/25/2036 | | | | 195,459 | |
| | 46,057 | | | Series 2006-QS7-A4 | | | 1.38% | # | | | 06/25/2036 | | | | 29,625 | |
| | 138,171 | | | Series 2006-QS7-A5 | | | 4.62% | # I/F I/O | | | 06/25/2036 | | | | 20,811 | |
| | 84,229 | | | Series 2006-QS8-A4 | | | 1.43% | # | | | 08/25/2036 | | | | 54,822 | |
| | 252,686 | | | Series 2006-QS8-A5 | | | 4.57% | # I/F I/O | | | 08/25/2036 | | | | 36,451 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 280,642 | | | Series 2004-RS2-MII1 | | | 1.85% | # | | | 02/25/2034 | | | | 272,093 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 22,892 | | | Series 2005-A12-A12 | | | 5.50% | | | | 11/25/2035 | | | | 21,812 | |
| | 552,232 | | | Series 2006-A16-1A3 | | | 6.00% | | | | 02/25/2037 | | | | 426,633 | |
| | 444,837 | | | Series 2007-A1-A8 | | | 6.00% | | | | 03/25/2037 | | | | 290,262 | |
| | 354,353 | | | Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 310,933 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 296,315 | | | Series 2006-8-A6 | | | 4.56% | # | | | 10/25/2036 | | | | 191,375 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $11,108,527) | | | | 10,756,132 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 43 |
| | |
| Schedule of Investments DoubleLine Multi-Asset Growth Fund (Consolidated) (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 2.9% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 64,065 | | | Series 3261-SA | | | 5.52% | # I/F I/O | | | 01/15/2037 | | | | 11,752 | |
| | 30,554 | | | Series 3317-DS | | | 12.72% | # I/F | | | 05/15/2037 | | | | 38,807 | |
| | 131,717 | | | Series 3355-BI | | | 5.14% | # I/F I/O | | | 08/15/2037 | | | | 19,868 | |
| | 109,128 | | | Series 3384-S | | | 5.48% | # I/F I/O | | | 11/15/2037 | | | | 14,834 | |
| | 169,050 | | | Series 3384-SG | | | 5.40% | # I/F I/O | | | 08/15/2036 | | | | 23,262 | |
| | 108,404 | | | Series 3417-SX | | | 5.27% | # I/F I/O | | | 02/15/2038 | | | | 15,814 | |
| | 139,053 | | | Series 3423-GS | | | 4.74% | # I/F I/O | | | 03/15/2038 | | | | 15,849 | |
| | 1,369,004 | | | Series 3423-TG | | | 0.35% | # I/F I/O | | | 03/15/2038 | | | | 15,727 | |
| | 155,442 | | | Series 3500-SA | | | 4.61% | # I/F I/O | | | 01/15/2039 | | | | 15,704 | |
| | 267,494 | | | Series 3523-SM | | | 5.09% | # I/F I/O | | | 04/15/2039 | | | | 40,934 | |
| | 39,394 | | | Series 3562-WS | | | 4.04% | # I/F I/O | | | 08/15/2039 | | | | 3,611 | |
| | 256,934 | | | Series 3728-SV | | | 3.54% | # I/F I/O | | | 09/15/2040 | | | | 23,841 | |
| | 218,103 | | | Series 3758-S | | | 5.12% | # I/F I/O | | | 11/15/2040 | | | | 37,505 | |
| | 79,184 | | | Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 82,628 | |
| | 257,162 | | | Series 3815-ST | | | 4.94% | # I/F I/O | | | 02/15/2041 | | | | 35,775 | |
| | 96,101 | | | Series 3900-SB | | | 5.06% | # I/F I/O | | | 07/15/2041 | | | | 12,219 | |
| | 432,891 | | | Series 3923-CZ | | | 5.00% | | | | 09/15/2041 | | | | 487,115 | |
| |
| | | | Federal National Mortgage Association, | |
| | 114,718 | | | Series 2006-101-SA | | | 5.60% | # I/F I/O | | | 10/25/2036 | | | | 19,190 | |
| | 60,599 | | | Series 2006-123-LI | | | 5.34% | # I/F I/O | | | 01/25/2037 | | | | 10,772 | |
| | 419,871 | | | Series 2007-39-AI | | | 5.14% | # I/F I/O | | | 05/25/2037 | | | | 72,288 | |
| | 193,699 | | | Series 2007-57-SX | | | 5.64% | # I/F I/O | | | 10/25/2036 | | | | 35,066 | |
| | 12,742 | | | Series 2009-49-S | | | 5.77% | # I/F I/O | | | 07/25/2039 | | | | 2,381 | |
| | 293,613 | | | Series 2009-86-CI | | | 4.82% | # I/F I/O | | | 09/25/2036 | | | | 36,228 | |
| | 105,736 | | | Series 2009-90-IA | | | 4.77% | # I/F I/O | | | 03/25/2037 | | | | 12,943 | |
| | 102,253 | | | Series 2009-90-IB | | | 4.74% | # I/F I/O | | | 04/25/2037 | | | | 12,980 | |
| | 314,976 | | | Series 2010-39-SL | | | 4.69% | # I/F I/O | | | 05/25/2040 | | | | 44,284 | |
| | 152,560 | | | Series 2011-5-PS | | | 5.42% | # I/F I/O | | | 11/25/2040 | | | | 18,950 | |
| | 365,078 | | | Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 386,788 | |
| | 1,121,712 | | | Series 2013-53-ZC | | | 3.00% | | | | 06/25/2043 | | | | 1,046,397 | |
| | 687,773 | | | Series 2013-55-KS | | | 4.53% | # I/F | | | 06/25/2043 | | | | 628,229 | |
| | 1,047,548 | | | Series 2013-55-VZ | | | 3.00% | | | | 06/25/2043 | | | | 972,495 | |
| |
| | | | Government National Mortgage Association, | |
| | 31,220 | | | Series 2009-6-SM | | | 4.97% | # I/F I/O | | | 02/20/2038 | | | | 5,108 | |
| | 497,914 | | | Series 2011-45-GZ | | | 4.50% | | | | 03/20/2041 | | | | 526,349 | |
| | 250,000 | | | Series 2011-7-LS | | | 7.92% | # I/F | | | 12/20/2040 | | | | 267,525 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $4,806,914) | | | | 4,993,218 | |
| | | | | | | | | | | | | | | | |
| | REAL ESTATE INVESTMENT TRUSTS 4.8% | |
| | 460,000 | | | Annaly Capital Management, Inc. | | | | | | | | | | | 5,110,600 | |
| | 148,747 | | | Chimera Investment Corporation | | | | | | | | | | | 3,001,715 | |
| | | | | | | | | | | | | | | | |
| | | | Total Real Estate Investment Trusts
(Cost $6,852,088) | | | | 8,112,315 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 23.6% | |
| | 171,500 | | | iShares Core MSCI Emerging Markets ETF | | | | | | | | | | | 8,195,985 | |
| | 101,500 | | | iShares MSCI Australia Index ETF | | | | | | | | | | | 2,294,915 | |
| | 183,000 | | | iShares MSCI France ETF | | | | | | | | | | | 4,851,330 | |
| | 55,000 | | | iShares MSCI Hong Kong Index ETF | | | | | | | | | | | 1,223,750 | |
| | 19,375 | | | iShares MSCI Singapore Capped ETF | | | | | | | | | | | 441,944 | |
| | 18,000 | | | iShares MSCI Sweden Capped ETF | | | | | | | | | | | 568,260 | |
| | 42,500 | | | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | | | | | | | | | | | 322,150 | |
| | 330,000 | | | PowerShares Senior Loan Portfolio | | | | | | | | | | | 7,675,800 | |
| | 217,000 | | | SPDR EURO STOXX 50 ETF | | | | | | | | | | | 7,887,950 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 25,600 | | | Stone Harbor Emerging Markets Income Fund | | | | | | | | | | | 404,992 | |
| | 37,500 | | | Templeton Emerging Markets Income Fund | | | | | | | | | | | 421,125 | |
| | 143,000 | | | VanEck Vectors Gold Miners ETF | | | | | | | | | | | 3,261,830 | |
| | 51,343 | | | Western Asset Emerging Markets Debt Fund, Inc. | | | | | | | | | | | 795,816 | |
| | 129,206 | | | Western Asset/Claymore Inflation-Linked Opportunities & Income Fund | | | | | | | | | | | 1,443,231 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $39,941,920) | | | | 39,789,078 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 25.7% | |
| | 578,000 | | | DoubleLine Core Fixed Income Fund (Class I) | | | | | | | | | | | 6,277,078 | |
| | 199,203 | | | DoubleLine Flexible Income Fund (Class I) | | | | | | | | | | | 1,956,175 | |
| | 675,944 | | | DoubleLine Low Duration Bond Fund (Class I) | | | | | | | | | | | 6,786,481 | |
| | 2,663,622 | | | DoubleLine Total Return Bond Fund (Class I) | | | | | | | | | | | 28,314,301 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $45,097,852) | | | | 43,334,035 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 23.5% | |
| | 11,229,103 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 11,229,103 | |
| | 1,654,600 | | | Dreyfus Government Cash Management - Institutional Shares | | | 0.66% | ¨ | | | | | | | 1,654,600 | |
| | 9,574,503 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 9,574,503 | |
| | 11,229,103 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨‡ | | | | | | | 11,229,103 | |
| | 6,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 05/04/2017 | | | | 5,996,495 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $39,683,904) | | | | 39,683,804 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 94.1%
(Cost $161,085,916) | | | | 158,794,699 | |
| | | | Other Assets in Excess of Liabilities 5.9% | | | | 10,020,252 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 168,814,951 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Affiliated Mutual Funds | | | 25.7% | |
Exchange Traded Funds and Common Stocks | | | 23.6% | |
Short Term Investments | | | 23.5% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 6.4% | |
Real Estate Investment Trusts | | | 4.8% | |
Asset Backed Obligations | | | 4.0% | |
US Government / Agency Mortgage Backed Obligations | | | 2.9% | |
Collateralized Loan Obligations | | | 2.3% | |
Municipal Bonds | | | 0.9% | |
Other Assets and Liabilities | | | 5.9% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 44 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $13,264,584 or 7.9% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| I/O | Interest only security |
| ¨ | Seven-day yield as of March 31, 2017 |
| @ | Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of March 31, 2017. |
| W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
| ‡ | All or a portion of security has been pledged as collateral in connection with swaps. |
| | | | | | | | | | |
| Futures Contracts - Long | | | | | | |
| Contracts | | Security Description | | Expiration
Month/Year | | | Unrealized
Appreciation
(Depreciation) | |
198 | | Euro STOXX 50 Future | | | 06/2017 | | | $ | 241,709 | |
30 | | CME Ultra Long Term US Treasury Bond Future | | | 06/2017 | | | | 17,430 | |
27 | | Ultra 10-Year US Treasury Note Future | | | 06/2017 | | | | 10,068 | |
23 | | Gold Future | | | 06/2017 | | | | 4,991 | |
63 | | mini MSCI Emerging Markets Index Future | | | 06/2017 | | | | (16,277 | ) |
58 | | FTSE 100 Index Future | | | 06/2017 | | | | (27,675 | ) |
89 | | E-mini S&P 500 Future | | | 06/2017 | | | | (93,895 | ) |
74 | | Nikkei-225 Future | | | 06/2017 | | | | (139,677 | ) |
| | | | | | | | | | |
| | | | | | | | $ | (3,326 | ) |
| | | | | | | | | | |
| | | | | | | | | | |
| Futures Contracts - Short | | | | | | |
| Contracts | | Security Description | | Expiration
Month/Year | | | Unrealized
Appreciation
(Depreciation) | |
75 | | Euro-OAT Future | | | 06/2017 | | | $ | (39,335 | ) |
134 | | 5-Year US Treasury Note Futures | | | 06/2017 | | | | (92,516 | ) |
| | | | | | | | | | |
| | | | | | | | $ | (131,851 | ) |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Total Return Swaps - Long | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Unleaded Gasoline Official Close Index | | Morgan Stanley | | | 0.20% | | | | 580,000 | | | | 04/06/2017 | | | $ | 6,645 | |
S&P GSCI Gold Official Close Index | | Morgan Stanley | | | 0.20% | | | | 580,000 | | | | 04/06/2017 | | | | 1,484 | |
S&P GSCI Cocoa Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (281 | ) |
S&P GSCI Aluminum Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (2,949 | ) |
S&P GSCI Copper Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (11,696 | ) |
S&P GSCI Zinc Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (20,346 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 31,300,000 | | | | 04/28/2017 | | | | 6,808,820 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 6,781,677 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| Total Return Swaps - Short | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
S&P GSCI Natural Gas Official Close Index | | Morgan Stanley | | | 0.15% | | | | 580,000 | | | | 04/06/2017 | | | $ | 179 | |
S&P GSCI Crude Oil Official Close Index | | Morgan Stanley | | | 0.15% | | | | 580,000 | | | | 04/06/2017 | | | | (2,882 | ) |
S&P GSCI Kansas Wheat Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (4,522 | ) |
S&P GSCI Wheat Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (7,581 | ) |
S&P GSCI Cotton Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (8,373 | ) |
S&P GSCI Corn Official Close Index | | Morgan Stanley | | | 0.25% | | | | 580,000 | | | | 04/06/2017 | | | | (10,955 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (34,134 | ) |
| | | | | | | | | | | | | | | | | | |
| ¤ | 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 March 31, 2017, the four sector constituents with each index ticker indicated in parentheses and their weightings were as follows: Consumer Discretionary Select Sector Index (IXYTR) 25.4%, Technology Select Sector Index (IXTTR) 25.3%, Health Care Select Sector Index (IXVTR) 24.7%, Industrial Select Sector Index (IXITR) 24.6%. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 45 |
| | |
| Schedule of Investments DoubleLine Multi-Asset Growth Fund (Consolidated) (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaps | | | | | | | | | | | | | |
| Fixed Rate | | Reference Index | | Floating Rate
Paid or Received | | | Maturity Date | | | Notional
Amount | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
1.99% | | US CPI Urban Consumers NSA Index | | | Received | | | | 10/19/2026 | | | | 5,000,000 | | | | Bank of America Merrill Lynch | | | $ | 149,024 | |
2.03% | | US CPI Urban Consumers NSA Index | | | Received | | | | 10/28/2026 | | | | 5,000,000 | | | | Bank of America Merrill Lynch | | | | 133,122 | |
2.04% | | US CPI Urban Consumers NSA Index | | | Received | | | | 11/03/2026 | | | | 5,000,000 | | | | Bank of America Merrill Lynch | | | | 126,158 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 408,304 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Exchange Contracts | | | | | | | | | | | | | | | | | |
| Settlement Date | | Currency to be Delivered | | | U.S. Value | | | Currency to be Received | | U.S. Value | | | Counterparty | | Unrealized
Appreciation
(Depreciation) | |
04/18/2017 | | | 4,891,279 | | | | United States Dollar | | | $ | 4,891,279 | | | | 4,017,903 | | | British Pound | | $ | 5,036,136 | | | BNP Paribas | | $ | 144,857 | |
04/28/2017 | | | 7,146,718 | | | | United States Dollar | | | | 7,146,718 | | | | 6,600,000 | | | Euro | | | 7,049,733 | | | Morgan Stanley | | | (96,985 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 12,037,997 | | | | | | | | | $ | 12,085,869 | | | | | $ | 47,872 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
A summary of the DoubleLine Multi-Asset Growth Fund’s (Consolidated) investments in affiliated mutual funds for the year ended March 31, 2017 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2016 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
March 31,
2017 | | | Value at
March 31,
2017 | | | Dividend
Income Earned
in the Year
Ended March 31,
2017 | | | Net Realized
Gain (Loss)
in the Year
Ended March 31,
2017 | |
DoubleLine Total Return Bond Fund | | $ | 28,953,571 | | | $ | — | | | $ | — | | | | 2,663,622 | | | $ | 28,314,301 | | | $ | 1,058,608 | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | 6,282,858 | | | | — | | | | — | | | | 578,000 | | | | 6,277,078 | | | | 180,713 | | | | — | |
DoubleLine Flexible Income Fund | | | 1,902,390 | | | | — | | | | — | | | | 199,203 | | | | 1,956,175 | | | | 67,916 | | | | — | |
DoubleLine Low Duration Bond Fund | | | — | | | | 6,800,000 | | | | — | | | | 675,944 | | | | 6,786,481 | | | | 123,512 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 37,138,819 | | | $ | 6,800,000 | | | $ | — | | | | 4,116,769 | | | $ | 43,334,035 | | | $ | 1,430,749 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 46 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 8.3% | |
| |
| | | | Access Group, Inc., | |
| | 11,198,521 | | | Series 2007-A-B | | | 1.60% | # | | | 02/25/2037 | | | | 9,903,281 | |
| |
| | | | Access Point Funding LLC, | |
| | 867,157 | | | Series 2015-A-A | | | 2.61% | ^ | | | 04/15/2020 | | | | 867,648 | |
| |
| | | | AMPLIT Trust, | |
| | 2,555,169 | | | Series 2015-A-A | | | 5.00% | ^ | | | 09/15/2021 | | | | 2,564,916 | |
| |
| | | | Arcadia Receivables Credit Trust, | |
| | 23,527,663 | | | Series 2017-1-A | | | 3.25% | ^ | | | 06/15/2023 | | | | 23,613,609 | |
| |
| | | | AVANT Loans Funding Trust, | |
| | 1,255,182 | | | Series 2016-B-A | | | 3.92% | ^ | | | 08/15/2019 | | | | 1,259,692 | |
| | 315,657 | | | Series 2016-C-A | | | 2.96% | ^ | | | 09/16/2019 | | | | 316,176 | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 109,595 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 109,880 | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| | 54,593 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 54,594 | |
| |
| | | | Consumer Installment Loan Trust, | |
| | 1,416,704 | | | Series 2016-LD1-A | | | 3.96% | ^ | | | 07/15/2022 | | | | 1,429,912 | |
| |
| | | | Eagle Ltd., | |
| | 1,957,813 | | | Series 2014-1A-A1 | | | 2.57% | ^ | | | 12/15/2039 | | | | 1,946,367 | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| | 3,306,708 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 3,299,463 | |
| |
| | | | Earnest Student Loan Program, | |
| | 13,382,755 | | | Series 2016-A-A2 | | | 2.50% | ^ | | | 04/25/2033 | | | | 13,298,163 | |
| |
| | | | Flagship Credit Auto Trust, | |
| | 6,000,000 | | | Series 2016-3-B | | | 2.43% | ^ | | | 06/15/2021 | | | | 5,972,303 | |
| | 12,750,000 | | | Series 2016-4-B | | | 2.41% | ^ | | | 10/15/2021 | | | | 12,634,368 | |
| | 15,000,000 | | | Series 2017-1-B | | | 2.83% | ^ | | | 03/15/2023 | | | | 14,995,161 | |
| |
| | | | Invitation Homes Trust, | |
| | 13,239,615 | | | Series 2015-SFR3-A | | | 2.24% | #^ | | | 08/17/2032 | | | | 13,341,199 | |
| |
| | | | LendingClub Issuance Trust, | |
| | 13,713,504 | | | Series 2016-NP2-A | | | 3.00% | ^ | | | 01/17/2023 | | | | 13,756,194 | |
| |
| | | | Lendmark Funding Trust, | |
| | 17,750,000 | | | Series 2016-2A-A | | | 3.26% | ^ | | | 04/21/2025 | | | | 17,684,076 | |
| |
| | | | Mariner Finance Issuance Trust, | |
| | 10,000,000 | | | Series 2017-AA-A | | | 3.62% | ^ | | | 02/20/2029 | | | | 10,063,509 | |
| |
| | | | Marketplace Loan Trust, | |
| | 5,263,305 | | | Series 2015-AV2-A | | | 4.00% | ^ | | | 10/15/2021 | | | | 5,302,848 | |
| |
| | | | OneMain Financial Issuance Trust, | |
| | 1,480,542 | | | Series 2014-1A-A | | | 2.43% | ^ | | | 06/18/2024 | | | | 1,480,940 | |
| | 10,000,000 | | | Series 2015-1A-A | | | 3.19% | ^ | | | 03/18/2026 | | | | 10,118,508 | |
| |
| | | | Oportun Funding LLC, | |
| | 10,000,000 | | | Series 2016-C-A | | | 3.28% | ^ | | | 11/08/2021 | | | | 9,921,411 | |
| |
| | | | Progress Residential Trust, | |
| | 7,722,215 | | | Series 2016-SFR1-A | | | 2.44% | #^ | | | 09/17/2033 | | | | 7,829,526 | |
| |
| | | | SCF Equipment Leasing LLC, | |
| | 4,880,182 | | | Series 2017-1A-A | | | 3.77% | ^ | | | 01/20/2023 | | | | 4,875,447 | |
| |
| | | | Sierra Timeshare Receivables Funding LLC, | |
| | 14,553,678 | | | Series 2016-2A-A | | | 2.33% | ^ | | | 07/20/2033 | | | | 14,556,583 | |
| |
| | | | Sofi Consumer Loan Program LLC, | |
| | 1,136,742 | | | Series 2016-1-A | | | 3.26% | ^ | | | 08/25/2025 | | | | 1,135,931 | |
| | 6,918,649 | | | Series 2016-3-A | | | 3.05% | ^ | | | 12/26/2025 | | | | 6,931,196 | |
| |
| | | | SoFi Consumer Loan Program Trust, | |
| | 7,606,549 | | | Series 2016-2-A | | | 3.09% | ^ | | | 10/27/2025 | | | | 7,622,107 | |
| | 14,080,255 | | | Series 2017-1-A | | | 3.28% | ^ | | | 01/26/2026 | | | | 14,165,745 | |
| | 10,000,000 | | | Series 2017-2-A | | | 3.28% | ^ | | | 02/25/2026 | | | | 10,012,512 | |
| |
| | | | SoFi Professional Loan Program, | |
| | 2,831,276 | | | Series 2013-A-A | | | 3.75% | ^ | | | 12/25/2029 | | | | 2,894,263 | |
| | 988,704 | | | Series 2014-A-A2 | | | 3.02% | ^ | | | 10/25/2027 | | | | 1,000,420 | |
| | 4,168,086 | | | Series 2015-C-A2 | | | 2.51% | ^ | | | 08/25/2033 | | | | 4,162,566 | |
| | 7,627,535 | | | Series 2016-A-A2 | | | 2.76% | ^ | | | 12/26/2036 | | | | 7,691,783 | |
| | 5,000,000 | | | Series 2017-A-A2B | | | 2.40% | ^ | | | 03/26/2040 | | | | 4,924,352 | |
| | 28,000,000 | | | Series 2017-B-A1FX | | | 1.83% | ^ | | | 05/25/2040 | | | | 27,997,880 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | SpringCastle America Funding LLC, | |
| | 24,771,022 | | | Series 2016-AA-A | | | 3.05% | ^ | | | 04/25/2029 | | | | 24,972,906 | |
| |
| | | | Springfield Funding Trust, | |
| | 10,000,000 | | | Series 2015-AA-A | | | 3.16% | ^ | | | 11/15/2024 | | | | 10,098,839 | |
| |
| | | | Springleaf Funding Trust, | |
| | 15,810,000 | | | Series 2016-AA-A | | | 2.90% | ^ | | | 11/15/2029 | | | | 15,907,865 | |
| |
| | | | Spruce Trust, | |
| | 734,494 | | | Series 2016-E1-A | | | 4.32% | ^ | | | 06/15/2028 | | | | 725,917 | |
| |
| | | | Westlake Automobile Receivables Trust, | |
| | 7,000,000 | | | Series 2016-2A-B | | | 2.30% | ^ | | | 11/15/2019 | | | | 7,020,136 | |
| | 10,000,000 | | | Series 2016-3A-C | | | 2.46% | ^ | | | 01/18/2022 | | | | 9,966,094 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $358,059,771) | | | | 358,426,286 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 4.5% | |
| |
| | | | Allison Transmission, Inc., | |
| | 8,500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.99% | # | | | 09/23/2022 | | | | 8,586,190 | |
| |
| | | | Avolon Holdings, Ltd., | |
| | 8,750,000 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.73% | # | | | 03/20/2022 | | | | 8,877,619 | |
| |
| | | | Berry Plastics Corporation, | |
| | 8,790,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche I | | | 3.52% | # | | | 10/01/2022 | | | | 8,856,848 | |
| |
| | | | Burger King Restaurant Brands, | |
| | 8,517,242 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 02/16/2024 | | | | 8,535,000 | |
| |
| | | | Charter Communications Operating LLC, | |
| | 8,805,000 | | | Guaranteed Senior Secured 1st Lien Term Loan Tranche I | | | 3.23% | # | | | 01/15/2024 | | | | 8,857,610 | |
| |
| | | | CSC Holdings LLC, | |
| | 4,025,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 10/11/2024 | | | | 4,023,752 | |
| |
| | | | Dell International, LLC, | |
| | 8,460,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.49% | # | | | 09/07/2023 | | | | 8,505,388 | |
| |
| | | | Delta Air Lines, Inc., | |
| | 8,480,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 3.35% | # | | | 10/18/2018 | | | | 8,527,022 | |
| |
| | | | First Data Corporation, | |
| | 8,440,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.98% | # | | | 03/24/2021 | | | | 8,513,850 | |
| |
| | | | Galleria Company, | |
| | 8,405,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.81% | # | | | 09/29/2023 | | | | 8,489,050 | |
| |
| | | | Grifols Worldwide Operations USA, Inc., | |
| | 8,850,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.19% | # | | | 01/31/2025 | | | | 8,875,045 | |
| |
| | | | HCA Inc., | |
| | 8,490,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B9 | | | 2.98% | # | | | 03/17/2023 | | | | 8,540,728 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 47 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Hilton Worldwide, | |
| | 8,425,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 2.98% | # | | | 10/25/2023 | | | | 8,500,151 | |
| |
| | | | Huntsman International LLC, | |
| | 8,480,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 04/01/2023 | | | | 8,568,362 | |
| |
| | | | Kar Auction Services, Inc., | |
| | 8,405,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 4.50% | # | | | 03/09/2023 | | | | 8,511,827 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 8,835,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 02/22/2024 | | | | 8,860,754 | |
| |
| | | | Lockheed Martin Corporation, | |
| | 8,374,013 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 08/16/2023 | | | | 8,461,940 | |
| |
| | | | MGM Growth Properties LP, | |
| | 8,810,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.48% | # | | | 04/25/2023 | | | | 8,865,062 | |
| |
| | | | Pinnacle Foods LLC, | |
| | 8,448,825 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 2.81% | # | | | 02/02/2024 | | | | 8,495,378 | |
| |
| | | | RPI Finance Trust, | |
| | 9,200,000 | | | Senior Secured 1st Lien Term Loan, Tranche B6 | | | 3.15% | # | | | 03/16/2023 | | | | 9,237,352 | |
| |
| | | | ServiceMaster Company LLC, | |
| | 8,423,888 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.48% | # | | | 11/08/2023 | | | | 8,514,697 | |
| |
| | | | Sprint Communications, | |
| | 8,510,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.50% | # | | | 02/02/2024 | | | | 8,519,148 | |
| |
| | | | Trans Union LLC, | |
| | 8,413,349 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.48% | # | | | 04/09/2023 | | | | 8,478,216 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $194,978,761) | | | | 194,200,989 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 15.2% | |
| |
| | | | ALM LLC, | |
| | 7,500,000 | | | Series 2016-19A-A1 | | | 2.57% | #^ | | | 07/15/2028 | | | | 7,582,500 | |
| | 2,500,000 | | | Series 2016-19A-A2 | | | 3.22% | #^ | | | 07/15/2028 | | | | 2,527,464 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 950,000 | | | Series 2014-4A-A1A | | | 2.49% | #^ | | | 07/28/2026 | | | | 954,406 | |
| |
| | | | Apidos Ltd., | |
| | 10,000,000 | | | Series 2013-14A-A | | | 2.17% | #^ | | | 04/15/2025 | | | | 10,006,724 | |
| | 9,975,000 | | | Series 2013-16A-A1 | | | 2.47% | #^ | | | 01/19/2025 | | | | 9,990,544 | |
| |
| | | | Arbor Realty Ltd., | |
| | 3,710,000 | | | Series 2015-FL2A-C | | | 5.91% | #^ | | | 09/15/2025 | | | | 3,757,440 | |
| |
| | | | ARES Ltd., | |
| | 362,577 | | | Series 2007-3RA-A2 | | | 1.24% | #^ | | | 04/16/2021 | | | | 362,794 | |
| |
| | | | Avery Point Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A | | | 2.56% | #^ | | | 04/25/2026 | | | | 3,003,750 | |
| |
| | | | Babson Ltd., | |
| | 3,160,000 | | | Series 2013-IA-A | | | 2.13% | #^ | | | 04/20/2025 | | | | 3,162,528 | |
| | 10,000,000 | | | Series 2014-3A-AR | | | 2.30% | #^ | | | 01/15/2026 | | | | 10,037,500 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Bluemountain Ltd., | |
| | 5,000,000 | | | Series 2007-3A-C | | | 1.84% | #^ | | | 03/17/2021 | | | | 5,005,721 | |
| |
| | | | BlueMountain Ltd., | |
| | 1,624,463 | | | Series 2006-2A-A2 | | | 1.30% | #^ | | | 07/15/2018 | | | | 1,624,072 | |
| | 6,700,000 | | | Series 2012-2A-AR | | | 2.47% | #^ | | | 11/20/2028 | | | | 6,756,112 | |
| | 9,500,000 | | | Series 2014-3A-A1 | | | 2.50% | #^ | | | 10/15/2026 | | | | 9,513,546 | |
| | 15,000,000 | | | Series 2015-2A-A1 | | | 2.45% | #^ | | | 07/18/2027 | | | | 15,106,425 | |
| | 15,000,000 | | | Series 2015-3A-A1 | | | 2.51% | #^ | | | 10/20/2027 | | | | 15,067,500 | |
| |
| | | | Brookside Mill Ltd., | |
| | 20,000,000 | | | Series 2013-1A-A1 | | | 2.17% | #^ | | | 04/17/2025 | | | | 20,024,137 | |
| |
| | | | Callidus Debt Partners Fund Ltd., | |
| | 4,781,377 | | | Series 6A-A1T | | | 1.30% | #^ | | | 10/23/2021 | | | | 4,782,758 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 2,250,000 | | | Series 2013-2A-D | | | 4.77% | #^ | | | 04/18/2025 | | | | 2,252,877 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 1,000,000 | | | Series 20017-10A-A2B | | | 1.32% | #^ | | | 04/19/2022 | | | | 1,001,168 | |
| | 7,859,232 | | | Series 2007-10A-A1 | | | 1.25% | #^ | | | 04/19/2022 | | | | 7,869,290 | |
| | 2,892,675 | | | Series 2007-10A-A2A | | | 1.24% | #^ | | | 04/19/2022 | | | | 2,894,427 | |
| |
| | | | Catamaran Ltd., | |
| | 30,000,000 | | | Series 2013-1A-A | | | 2.19% | #^ | | | 01/27/2025 | | | | 30,027,823 | |
| | 5,000,000 | | | Series 2014-1A-A1 | | | 2.58% | #^ | | | 04/20/2026 | | | | 5,018,519 | |
| | 1,250,000 | | | Series 2014-1A-B | | | 3.68% | #^ | | | 04/20/2026 | | | | 1,243,913 | |
| | | | |
| | | | Cathedral Lake Ltd., | | | | | | | | | | | | |
| | 5,000,000 | | | Series 2013-1A-A1R | | | 2.42% | #^ | | | 01/15/2026 | | | | 5,007,156 | |
| |
| | | | Cent Ltd., | |
| | 842,075 | | | Series 2007-14A-A1 | | | 1.26% | #^ | | | 04/15/2021 | | | | 839,151 | |
| | 8,245,277 | | | Series 2007-14A-A2A | | | 1.25% | #^ | | | 04/15/2021 | | | | 8,225,017 | |
| | 1,637,620 | | | Series 2012-16A-A1AR | | | 2.28% | #^ | | | 08/01/2024 | | | | 1,637,145 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 500,000 | | | Series 2012-25A-D | | | 5.02% | #^ | | | 01/15/2025 | | | | 502,609 | |
| | 5,855,000 | | | Series 2014-31A-A | | | 2.37% | #^ | | | 04/18/2026 | | | | 5,856,756 | |
| |
| | | | Eaton Vance Ltd., | |
| | 1,672,874 | | | Series 2006-8A-A | | | 1.29% | #^ | | | 08/15/2022 | | | | 1,669,930 | |
| | 1,500,000 | | | Series 2006-8A-B | | | 1.69% | #^ | | | 08/15/2022 | | | | 1,494,266 | |
| |
| | | | Franklin Ltd., | |
| | 2,218,708 | | | Series 6A-A | | | 1.27% | #^ | | | 08/09/2019 | | | | 2,217,784 | |
| |
| | | | Galaxy Ltd., | |
| | 3,900,000 | | | Series 2013-15A-A | | | 2.27% | #^ | | | 04/15/2025 | | | | 3,906,771 | |
| |
| | | | Goldentree Loan Opportunities Ltd., | |
| | 5,000,000 | | | Series 2014-8A-AR | | | 2.24% | #^ | | | 04/19/2026 | | | | 5,005,757 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 9,000,000 | | | Series 2012-1X-A2 | | | 3.54% | # | | | 08/15/2023 | | | | 9,044,252 | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 2.55% | #^ | | | 04/18/2026 | | | | 999,509 | |
| | 2,250,000 | | | Series 2014-2A-C | | | 4.54% | #^ | | | 04/28/2025 | | | | 2,200,810 | |
| |
| | | | Harbourview Ltd., | |
| | 9,000,000 | | | Series 7A-A1R | | | 2.30% | #^ | | | 11/18/2026 | | | | 8,960,669 | |
| |
| | | | Hillmark Funding Ltd., | |
| | 8,001,615 | | | Series 2006-1A-A1 | | | 1.30% | #^ | | | 05/21/2021 | | | | 7,990,914 | |
| |
| | | | Jamestown Ltd., | |
| | 10,000,000 | | | Series 2014-4A-A1A | | | 2.52% | #^ | | | 07/15/2026 | | | | 10,004,844 | |
| | 31,000,000 | | | Series 2016-9A-A1B | | | 2.32% | #^ | | | 10/20/2028 | | | | 31,324,511 | |
| |
| | | | Kingsland Ltd., | |
| | 10,400,000 | | | Series 2007-4A-B | | | 1.42% | #^ | | | 04/16/2021 | | | | 10,318,549 | |
| |
| | | | LCM LP, | |
| | 19,639,074 | | | Series 12A-AR | | | 2.28% | #^ | | | 10/19/2022 | | | | 19,707,510 | |
| | 1,000,000 | | | Series 15A-C | | | 4.15% | #^ | | | 08/25/2024 | | | | 1,001,145 | |
| | 5,500,000 | | | Series 16A-A | | | 2.52% | #^ | | | 07/15/2026 | | | | 5,524,764 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 352,828 | | | Series 2007-4A-A2 | | | 1.39% | #^ | | | 03/22/2021 | | | | 350,724 | |
| | 1,520,778 | | | Series 2013-11A-A1A | | | 2.32% | #^ | | | 10/23/2025 | | | | 1,522,559 | |
| |
| | | | Magnetite Ltd., | |
| | 4,750,000 | | | Series 2014-9A-A1 | | | 2.46% | #^ | | | 07/25/2026 | | | | 4,757,775 | |
| |
| | | | Marathon Ltd., | |
| | 3,000,000 | | | Series 2017-9A-A2 | | | 0.00% | #^ | | | 04/15/2029 | | | | 3,003,044 | |
| | | | | | |
| 48 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Mountain Hawk Ltd., | |
| | 18,400,000 | | | Series 2014-A3-A | | | 2.52% | #^ | | | 04/18/2025 | | | | 18,423,857 | |
| |
| | | | Mountain View Ltd., | |
| | 4,866,814 | | | Series 2006-2A-A1 | | | 1.27% | #^ | | | 01/12/2021 | | | | 4,867,574 | |
| | 293,928 | | | Series 2007-3A-A2 | | | 1.36% | #^ | | | 04/16/2021 | | | | 293,797 | |
| |
| | | | MP Ltd., | |
| | 7,500,000 | | | Series 2014-1A-AR | | | 2.21% | #^ | | | 07/18/2026 | | | | 7,514,628 | |
| | 3,500,000 | | | Series 2014-2A-AR | | | 2.16% | #^ | | | 01/15/2027 | | | | 3,500,000 | |
| |
| | | | NewMark Capital Funding Ltd., | |
| | 20,000,000 | | | Series 2013-1A-A2 | | | 2.18% | #^ | | | 06/02/2025 | | | | 19,975,698 | |
| |
| | | | Northwoods Capital Corporation, | |
| | 20,000,000 | | | Series 2012-9A-A | | | 2.44% | #^ | | | 01/18/2024 | | | | 20,019,523 | |
| | 3,000,000 | | | Series 2013-10A-A1 | | | 2.43% | #^ | | | 11/04/2025 | | | | 3,001,488 | |
| |
| | | | OCP Ltd., | |
| | 20,000,000 | | | Series 2012-2A-A1R | | | 2.45% | #^ | | | 11/22/2025 | | | | 20,032,295 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 852,960 | | | Series 2012-1A-AR | | | 2.30% | #^ | | | 05/05/2023 | | | | 853,943 | |
| | 8,750,000 | | | Series 2016-1A-B | | | 3.17% | #^ | | | 07/15/2027 | | | | 8,862,093 | |
| |
| | | | Palmer Square Loan Funding Ltd., | |
| | 1,432,552 | | | Series 2016-2A-A1 | | | 2.39% | #^ | | | 06/21/2024 | | | | 1,434,268 | |
| |
| | | | Palmer Square Ltd., | |
| | 16,000,000 | | | Series 2014-1A-A1R | | | 2.39% | #^ | | | 01/17/2027 | | | | 16,004,322 | |
| |
| | | | Regatta Funding Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A1A | | | 2.60% | #^ | | | 10/25/2026 | | | | 3,000,000 | |
| |
| | | | Shackleton Ltd., | |
| | 1,900,000 | | | Series 2016-9A-X | | | 1.86% | #^ | | | 10/20/2028 | | | | 1,905,264 | |
| |
| | | | Silverado Ltd., | |
| | 308,844 | | | Series 2006-2A-A1 | | | 1.26% | #^ | | | 10/16/2020 | | | | 309,159 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 3,000,000 | | | Series 2014-1A-A1 | | | 2.54% | #^ | | | 10/30/2026 | | | | 3,005,320 | |
| |
| | | | Steele Creek Ltd., | |
| | 2,000,000 | | | Series 2014-1A-A1R | | | 2.37% | #^ | | | 08/21/2026 | | | | 1,999,952 | |
| | 24,400,000 | | | Series 2014-1A-A2R | | | 2.37% | #^ | | | 08/21/2026 | | | | 24,399,410 | |
| |
| | | | Symphony Ltd., | |
| | 4,000,000 | | | Series 2007-3A-C | | | 1.70% | #^ | | | 05/15/2019 | | | | 3,999,706 | |
| | 7,237,789 | | | Series 2012-8A-AR | | | 2.11% | #^ | | | 01/09/2023 | | | | 7,257,376 | |
| | 10,000,000 | | | Series 2013-11A-A | | | 2.32% | #^ | | | 01/17/2025 | | | | 10,023,950 | |
| |
| | | | TCI-Flatiron Ltd., | |
| | 20,000,000 | | | Series 2016-1A-A | | | 2.57% | #^ | | | 07/17/2028 | | | | 20,354,379 | |
| |
| | | | Tryon Park Ltd., | |
| | 1,200,000 | | | Series 2013-1A-A1 | | | 2.14% | #^ | | | 07/15/2025 | | | | 1,201,404 | |
| |
| | | | Venture Ltd., | |
| | 9,250,000 | | | Series 2014-16A-A1L | | | 2.52% | #^ | | | 04/15/2026 | | | | 9,250,000 | |
| | 14,000,000 | | | Series 2014-17A-A | | | 2.50% | #^ | | | 07/15/2026 | | | | 14,008,063 | |
| | 1,000,000 | | | Series 2014-17A-B2 | | | 3.12% | #^ | | | 07/15/2026 | | | | 1,002,223 | |
| | 2,000,000 | | | Series 2014-18A-A | | | 2.47% | #^ | | | 10/15/2026 | | | | 2,001,050 | |
| | 10,000,000 | | | Series 2016-23A-A | | | 2.67% | #^ | | | 07/19/2028 | | | | 10,102,632 | |
| |
| | | | Vibrant Ltd., | |
| | 30,000,000 | | | Series 2015-3A-A1R | | | 2.51% | #^ | | | 04/20/2026 | | | | 30,012,721 | |
| | 5,000,000 | | | Series 2016-5A-A | | | 2.55% | #^ | | | 01/20/2029 | | | | 5,022,240 | |
| |
| | | | Voya Ltd., | |
| | 9,770,000 | | | Series 2012-3A-BR | | | 2.97% | #^ | | | 10/15/2022 | | | | 9,789,540 | |
| | 1,000,000 | | | Series 2013-2A-A1 | | | 2.19% | #^ | | | 04/25/2025 | | | | 1,001,275 | |
| |
| | | | Wasatch Ltd., | |
| | 8,516,445 | | | Series 2006-1A-A1B | | | 1.28% | #^ | | | 11/14/2022 | | | | 8,413,412 | |
| |
| | | | Westwood Ltd., | |
| | 95,933 | | | Series 2007-2A-A1 | | | 1.26% | #^ | | | 04/25/2022 | | | | 95,992 | |
| |
| | | | WhiteHorse Ltd., | |
| | 2,500,000 | | | Series 2012-1A-B1L | | | 5.28% | #^ | | | 02/03/2025 | | | | 2,503,295 | |
| | 5,000,000 | | | Series 2013-1A-A1L | | | 2.45% | #^ | | | 11/24/2025 | | | | 5,034,329 | |
| | 3,250,000 | | | Series 2014-1A-A | | | 2.53% | #^ | | | 05/01/2026 | | | | 3,237,688 | |
| |
| | | | Wind River Ltd., | |
| | 10,000,000 | | | Series 2013-2A-A1 | | | 2.47% | #^ | | | 01/18/2026 | | | | 10,024,506 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | York Ltd., | |
| | 2,000,000 | | | Series 2016-2A-X | | | 1.96% | #^ | | | 01/20/2030 | | | | 2,002,113 | |
| |
| | | | Zais Ltd., | |
| | 4,500,000 | | | Series 2014-2A-A1A | | | 2.54% | #^ | | | 07/25/2026 | | | | 4,520,371 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $649,196,361) | | | | 652,908,715 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 16.0% | |
| | 10,000,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 3.50% | | | | 07/29/2020 | | | | 10,077,882 | |
| | 1,990,769 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 2,135,100 | |
| | 3,900,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 4,127,094 | |
| | 3,550,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 3,683,125 | |
| | 1,450,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 1,504,375 | |
| | 12,500,000 | | | America Movil SAB de CV | | | 3.13% | | | | 07/16/2022 | | | | 12,623,318 | |
| | 7,600,000 | | | AstraZeneca PLC | | | 1.75% | | | | 11/16/2018 | | | | 7,603,922 | |
| | 7,000,000 | | | Axiata SPV2 BHD | | | 3.47% | | | | 11/19/2020 | | | | 7,175,399 | |
| | 9,000,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 9,067,500 | |
| | 9,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 9,164,790 | |
| | 3,000,000 | | | Banco de Credito del Peru | | | 2.75% | | | | 01/09/2018 | | | | 3,022,500 | |
| | 2,000,000 | | | Banco de Credito del Peru | | | 2.75% | ^ | | | 01/09/2018 | | | | 2,015,000 | |
| | 700,000 | | | Banco de Credito del Peru | | | 2.25% | ^ | | | 10/25/2019 | | | | 695,625 | |
| | 1,000,000 | | | Banco de Credito del Peru | | | 4.25% | | | | 04/01/2023 | | | | 1,040,000 | |
| | 15,400,000 | | | Banco del Estado de Chile | | | 3.88% | | | | 02/08/2022 | | | | 15,996,507 | |
| | 8,300,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 8,320,750 | |
| | 1,000,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | ^ | | | 05/02/2018 | | | | 1,002,500 | |
| | 2,000,000 | | | Banco Latinoamericano de Comercio Exterior S.A. | | | 3.75% | | | | 04/04/2017 | | | | 2,000,000 | |
| | 6,000,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | | | | 05/07/2020 | | | | 6,066,000 | |
| | 4,000,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | ^ | | | 05/07/2020 | | | | 4,044,000 | |
| | 725,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | #^ | | | 08/11/2026 | | | | 712,312 | |
| | 15,775,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | # | | | 08/11/2026 | | | | 15,498,937 | |
| | 9,000,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 9,130,320 | |
| | 2,000,000 | | | Banco Nacional de Costa Rica | | | 5.88% | ^ | | | 04/25/2021 | | | | 2,037,500 | |
| | 400,000 | | | Banco Nacional de Costa Rica | | | 5.88% | | | | 04/25/2021 | | | | 407,500 | |
| | 1,000,000 | | �� | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 1,069,900 | |
| | 4,000,000 | | | Banco Santander | | | 3.88% | | | | 09/20/2022 | | | | 4,152,495 | |
| | 500,000 | | | Banco Santander | | | 4.13% | | | | 11/09/2022 | | | | 506,500 | |
| | 12,891,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 13,374,412 | |
| | 5,150,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 5,568,695 | |
| | 6,010,000 | | | Bank of Montreal | | | 1.50% | | | | 07/18/2019 | | | | 5,949,095 | |
| | 2,070,000 | | | Bank of Montreal | | | 2.10% | | | | 12/12/2019 | | | | 2,080,015 | |
| | 8,750,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 8,883,000 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 49 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 12,800,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 12,800,000 | |
| | 6,800,000 | | | Bharat Petroleum Corporation Ltd. | | | 4.63% | | | | 10/25/2022 | | | | 7,254,240 | |
| | 5,286,000 | | | BP Capital Markets PLC | | | 1.68% | | | | 05/03/2019 | | | | 5,261,098 | |
| | 2,351,000 | | | BP Capital Markets PLC | | | 2.32% | | | | 02/13/2020 | | | | 2,371,350 | |
| | 5,130,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 5,299,885 | |
| | 3,550,000 | | | Celulosa Arauco y Constitucion S.A. | | | 7.25% | | | | 07/29/2019 | | | | 3,915,826 | |
| | 125,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.00% | | | | 01/21/2021 | | | | 132,458 | |
| | 9,993,000 | | | Celulosa Arauco y Constitucion S.A. | | | 4.75% | | | | 01/11/2022 | | | | 10,489,055 | |
| | 6,000,000 | | | CK Hutchison International Ltd. | | | 2.88% | ^ | | | 04/05/2022 | | | | 6,006,691 | |
| | 8,000,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 7,978,473 | |
| | 9,500,000 | | | CNOOC Finance Ltd. | | | 3.88% | | | | 05/02/2022 | | | | 9,814,735 | |
| | 13,000,000 | | | CNPC General Capital Ltd. | | | 3.95% | | | | 04/19/2022 | | | | 13,530,584 | |
| | 1,000,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 1,086,316 | |
| | 17,000,000 | | | Comision Federal de Electricidad | | | 4.88% | | | | 05/26/2021 | | | | 17,871,250 | |
| | 4,460,000 | | | Commonwealth Bank of Australia | | | 2.25% | ^ | | | 03/10/2020 | | | | 4,464,393 | |
| | 10,500,000 | | | Corpbanca S.A. | | | 3.13% | | | | 01/15/2018 | | | | 10,594,770 | |
| | 400,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 413,178 | |
| | 4,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 4,073,200 | |
| | 4,000,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 4,073,200 | |
| | 1,500,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 05/05/2017 | | | | 1,511,250 | |
| | 4,324,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 4,429,052 | |
| | 6,000,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 6,045,970 | |
| | 10,000,000 | | | DBS Group Holdings Ltd. | | | 3.60% | #† | | | 09/07/2021 | | | | 9,852,070 | |
| | 7,000,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 7,132,125 | |
| | 7,400,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 7,677,500 | |
| | 1,300,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 1,254,500 | |
| | 2,500,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 2,158,425 | |
| | 2,800,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 2,891,000 | |
| | 5,000,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 5,618,000 | |
| | 11,309,616 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 11,705,453 | |
| | 10,600,000 | | | Export-Import Bank of India | | | 3.13% | | | | 07/20/2021 | | | | 10,693,556 | |
| | 3,000,000 | | | Fondo Mivivienda S.A. | | | 3.38% | ^ | | | 04/02/2019 | | | | 3,052,500 | |
| | 5,400,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 5,494,500 | |
| | 6,000,000 | | | Fondo Mivivienda S.A. | | | 3.50% | ^ | | | 01/31/2023 | | | | 6,060,000 | |
| | 3,000,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 3,091,500 | |
| | 4,000,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 4,122,000 | |
| | 6,500,000 | | | Global Bank Corporation | | | 4.50% | | | | 10/20/2021 | | | | 6,454,500 | |
| | 4,000,000 | | | Global Bank Corporation | | | 4.50% | ^ | | | 10/20/2021 | | | | 3,972,000 | |
| | 12,550,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 12,628,437 | |
| | 2,800,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 2,912,000 | |
| | 500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 443,125 | |
| | 8,120,033 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 8,373,784 | |
| | 6,000,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 6,034,200 | |
| | 2,620,000 | | | Indian Oil Corporation, Ltd. | | | 5.63% | | | | 08/02/2021 | | | | 2,878,086 | |
| | 1,400,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 1,480,388 | |
| | 2,362,010 | | | Interoceanica Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 2,317,722 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 7,000,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 7,105,919 | |
| | 7,300,000 | | | Inversiones CMPC S.A. | | | 4.50% | | | | 04/25/2022 | | | | 7,546,737 | |
| | 1,500,000 | | | IOI Investment BHD | | | 4.38% | | | | 06/27/2022 | | | | 1,551,372 | |
| | 400,000 | | | Israel Electric Corporation Ltd. | | | 2.98% | # | | | 01/17/2018 | | | | 400,742 | |
| | 11,000,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 11,451,000 | |
| | 5,000,000 | | | Kia Motors Corporation | | | 2.63% | ^ | | | 04/21/2021 | | | | 4,967,585 | |
| | 2,940,000 | | | Korea Development Bank | | | 2.50% | | | | 01/13/2021 | | | | 2,928,382 | |
| | 18,000,000 | | | Korea Development Bank | | | 2.63% | | | | 02/27/2022 | | | | 17,936,983 | |
| | 2,000,000 | | | Malayan Banking BHD | | | 3.25% | # | | | 09/20/2022 | | | | 2,007,300 | |
| | 8,455,000 | | | Medtronic Global Holdings SCA | | | 1.70% | | | | 03/28/2019 | | | | 8,453,301 | |
| | 2,000,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 2,100,000 | |
| | 7,323,000 | | | Nacional Financiera S.N.C. | | | 3.38% | | | | 11/05/2020 | | | | 7,447,491 | |
| | 7,470,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 7,587,652 | |
| | 4,800,000 | | | ONGC Videsh Ltd. | | | 2.88% | | | | 01/27/2022 | | | | 4,706,477 | |
| | 8,000,000 | | | Ooredoo Tamweel Ltd. | | | 3.04% | | | | 12/03/2018 | | | | 8,125,920 | |
| | 7,377,000 | | | Orange S.A. | | | 2.75% | | | | 02/06/2019 | | | | 7,466,291 | |
| | 3,000,000 | | | Oversea-Chinese Banking Corporation | | | 3.75% | # | | | 11/15/2022 | | | | 3,031,680 | |
| | 9,000,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 9,251,722 | |
| | 80,689 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | ^ | | | 05/31/2018 | | | | 79,381 | |
| | 3,096,990 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 3,046,818 | |
| | 1,250,000 | | | Petrobras Global Finance B.V. | | | 6.13% | | | | 01/17/2022 | | | | 1,313,750 | |
| | 6,500,000 | | | Petronas Capital Ltd. | | | 3.13% | | | | 03/18/2022 | | | | 6,560,177 | |
| | 8,000,000 | | | Petronas Global Sukuk Ltd. | | | 2.71% | | | | 03/18/2020 | | | | 8,069,336 | |
| | 1,922,400 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 2,028,978 | |
| | 3,500,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 3,714,095 | |
| | 13,500,000 | | | Reliance Holdings, Inc. | | | 5.40% | | | | 02/14/2022 | | | | 14,745,280 | |
| | 6,790,000 | | | Royal Bank of Canada | | | 2.00% | | | | 12/10/2018 | | | | 6,816,332 | |
| | 5,720,000 | | | Shire Acquisitions Investments Ireland DAC | | | 1.90% | | | | 09/23/2019 | | | | 5,677,781 | |
| | 5,200,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | | | | 04/28/2020 | | | | 5,179,768 | |
| | 1,800,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | ^ | | | 04/28/2020 | | | | 1,792,997 | |
| | 4,200,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 05/03/2021 | | | | 4,173,519 | |
| | 3,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.00% | ^ | | | 09/29/2021 | | | | 2,883,888 | |
| | 3,000,000 | | | SK Telecom Company Ltd. | | | 2.13% | | | | 05/01/2018 | | | | 3,006,610 | |
| | 200,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 207,000 | |
| | 13,000,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 13,260,221 | |
| | 1,000,000 | | | Tencent Holdings Ltd. | | | 2.88% | | | | 02/11/2020 | | | | 1,010,635 | |
| | 1,400,000 | | | Tencent Holdings Ltd. | | | 2.88% | ^ | | | 02/11/2020 | | | | 1,414,889 | |
| | 2,355,000 | | | Teva Pharmaceutical Finance Netherlands B.V. | | | 1.70% | | | | 07/19/2019 | | | | 2,329,236 | |
| | 7,885,000 | | | Toronto Dominion Bank | | | 1.75% | | | | 07/23/2018 | | | | 7,903,885 | |
| | 575,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | ^ | | | 03/20/2022 | | | | 593,687 | |
| | 7,000,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 7,227,500 | |
| | 5,000,000 | | | United Overseas Bank Ltd. | | | 2.88% | # | | | 10/17/2022 | | | | 5,030,200 | |
| | 9,000,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 9,182,070 | |
| | 1,300,000 | | | United Overseas Bank Ltd. | | | 3.50% | # | | | 09/16/2026 | | | | 1,306,027 | |
| | 2,930,000 | | | Westpac Banking Corporation | | | 1.95% | | | | 11/23/2018 | | | | 2,935,734 | |
| | | | | | |
| 50 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 2,755,000 | | | Westpac Banking Corporation | | | 1.60% | | | | 08/19/2019 | | | | 2,726,276 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $681,789,903) | | | | 686,733,037 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 2.4% |
|
| | 200,000 | | | Brazilian Government International Bond | | | 8.00% | | | | 01/15/2018 | | | | 207,910 | |
| | 3,500,000 | | | Brazilian Government International Bond | | | 4.88% | | | | 01/22/2021 | | | | 3,692,500 | |
| | 4,150,000 | | | Chile Government International Bond | | | 2.25% | | | | 10/30/2022 | | | | 4,075,923 | |
| | 1,210,000 | | | Costa Rica Government International Bond | | | 10.00% | | | | 08/01/2020 | | | | 1,423,928 | |
| | 9,000,000 | | | Dominican Republic International Bond | | | 7.50% | | | | 05/06/2021 | | | | 9,967,500 | |
| | 4,700,000 | | | Guatemala Government Bond | | | 5.75% | | | | 06/06/2022 | | | | 5,169,201 | |
| | 2,860,000 | | | Indonesia Government International Bond | | | 4.88% | | | | 05/05/2021 | | | | 3,063,300 | |
| | 6,740,000 | | | Indonesia Government International Bond | | | 3.70% | ^ | | | 01/08/2022 | | | | 6,885,685 | |
| | 23,650,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 24,584,175 | |
| | 5,000,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 5,412,500 | |
| | 5,000,000 | | | Perusahaan Penerbit SBSN | | | 6.13% | | | | 03/15/2019 | | | | 5,369,000 | |
| | 12,000,000 | | | Qatar Government International Bond | | | 2.38% | | | | 06/02/2021 | | | | 11,881,020 | |
| | 13,500,000 | | | Republic of Chile | | | 3.25% | | | | 09/14/2021 | | | | 13,992,750 | |
| | 6,000,000 | | | Republic of Poland Government International Bond | | | 5.13% | | | | 04/21/2021 | | | | 6,580,080 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $101,809,928) | | | | 102,305,472 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE BACKED
OBLIGATIONS 14.1% |
|
| |
| | | | A10 LLC, | |
| | 9,595,000 | | | Series 2016-1-A1 | | | 2.42% | ^ | | | 03/15/2035 | | | | 9,531,139 | |
| |
| | | | Asset Securitization Corporation, | |
| | 4,056,747 | | | Series 1997-D4-PS1 | | | 1.10% | # I/O | | | 04/14/2029 | | | | 2,285 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 9,150,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 9,337,864 | |
| |
| | | | Barclays Commercial Mortgage Securities LLC, | |
| | 96,349,668 | | | Series 2017-C1-XA | | | 1.53% | # I/O | | | 02/15/2050 | | | | 10,862,365 | |
| | 9,971,000 | | | Series 2014-BXO-E | | | 3.33% | #^ | | | 08/15/2027 | | | | 9,951,945 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities Trust, | |
| | 5,174,109 | | | Series 2007-PW17-A4 | | | 5.69% | # | | | 06/11/2050 | | | | 5,211,258 | |
| | 2,645,000 | | | Series 2007-PW18-AM | | | 6.08% | # | | | 06/11/2050 | | | | 2,699,811 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 529,647 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 529,169 | |
| | 5,201,539 | | | Series 2007-PW16-AM | | | 5.77% | # | | | 06/11/2040 | | | | 5,212,635 | |
| | 662,000 | | | Series 2007-PW17-AM | | | 5.89% | # | | | 06/11/2050 | | | | 670,840 | |
| | 7,756,214 | | | Series 2007-PW18-A4 | | | 5.70% | | | | 06/11/2050 | | | | 7,849,861 | |
| | 5,209,139 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 5,005,567 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 7,842,000 | | | Series 2007-CD5-TR | | | 6.84% | # | | | 11/15/2044 | | | | 7,958,780 | |
| |
| | | | CG-CCRE Commercial Mortgage Trust, | |
| | 5,538,677 | | | Series 2014-FL2-A | | | 2.77% | #^ | | | 11/15/2031 | | | | 5,540,777 | |
| |
| | | | Chicago Skyscraper Trust, | |
| | 3,676,000 | | | Series 2017-SKY-B | | | 2.01% | #^ | | | 04/15/2030 | | | | 3,678,206 | |
| | 2,036,000 | | | Series 2017-SKY-C | | | 2.16% | #^ | | | 04/15/2030 | | | | 2,036,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 2,849,120 | | | Series 2007-C6-A4 | | | 5.78% | # | | | 12/10/2049 | | | | 2,852,517 | |
| | 10,500,000 | | | Series 2007-C6-AMFX | | | 5.78% | #^ | | | 12/10/2049 | | | | 10,554,902 | |
| | 9,157,400 | | | Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 9,341,575 | |
| | 34,767,856 | | | Series 2016-GC36-XA | | | 1.35% | # I/O | | | 02/10/2049 | | | | 3,053,810 | |
| | 65,625,269 | | | Series 2016-P3-XA | | | 1.71% | # I/O | | | 04/15/2049 | | | | 7,286,118 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 12,000,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 12,135,000 | |
| |
| | | | Colony Mortgage Capital Ltd., | |
| | 2,583,273 | | | Series 2015-FL3-A | | | 2.78% | #^ | | | 09/05/2032 | | | | 2,605,892 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 8,359,062 | | | Series 2012-CR2-XA | | | 1.72% | # I/O | | | 08/15/2045 | | | | 606,228 | |
| | 130,817,536 | | | Series 2013-CC12-XA | | | 1.35% | # I/O | | | 10/10/2046 | | | | 7,745,942 | |
| | 3,890,000 | | | Series 2014-TWC-C | | | 2.73% | #^ | | | 02/13/2032 | | | | 3,909,892 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 7,097,100 | | | Series 2007-MF1-A | | | 6.21% | #^ | | | 11/12/2043 | | | | 7,136,493 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 4,330 | | | Series 1998-C2-F | | | 6.75% | #^ | | | 11/15/2030 | | | | 4,332 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 10,500,000 | | | Series 2007-C4-A1AM | | | 5.96% | # | | | 09/15/2039 | | | | 10,567,948 | |
| | 5,534,917 | | | Series 2007-C5-A4 | | | 5.70% | # | | | 09/15/2040 | | | | 5,559,650 | |
| | 7,540,100 | | | Series 2008-C1-AM | | | 6.06% | #^ | | | 02/15/2041 | | | | 7,676,184 | |
| |
| | | | CSMC Mortgage Securities Trust, | |
| | 3,435,000 | | | Series 2017-HD-B | | | 2.26% | #^ | | | 02/15/2031 | | | | 3,435,000 | |
| | 1,649,000 | | | Series 2017-HD-C | | | 2.61% | #^ | | | 02/15/2031 | | | | 1,649,000 | |
| | 3,559,000 | | | Series 2017-HD-D | | | 3.41% | #^ | | | 02/15/2031 | | | | 3,559,000 | |
| |
| | | | GE Commercial Mortgage Corporation Trust, | |
| | 10,497,000 | | | Series 2007-C1-AM | | | 5.61% | # | | | 12/10/2049 | | | | 10,444,726 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 4,838,500 | | | Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 4,921,983 | |
| | 8,430,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 8,530,537 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 3,609,719 | | | Series 2007-GG10-A4 | | | 5.95% | # | | | 08/10/2045 | | | | 3,610,410 | |
| | 9,379,000 | | | Series 2016-ICE2-A | | | 2.84% | #^ | | | 02/15/2033 | | | | 9,472,360 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 36,800 | | | Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 36,736 | |
| | 5,345,082 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 5,340,762 | |
| | 4,260,000 | | | Series 2007-C1-AM | | | 5.99% | # | | | 02/15/2051 | | | | 4,305,142 | |
| | 5,378,386 | | | Series 2007-CB18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 5,390,154 | |
| | 10,548,000 | | | Series 2007-CB19-AM | | | 5.83% | # | | | 02/12/2049 | | | | 10,555,138 | |
| | 9,950,000 | | | Series 2007-CB20-AJ | | | 6.18% | # | | | 02/12/2051 | | | | 10,192,531 | |
| | 10,866,373 | | | Series 2007-CB20-AM | | | 5.98% | # | | | 02/12/2051 | | | | 11,024,019 | |
| | 693,000 | | | Series 2007-CB20-AMFX | | | 5.93% | # | | | 02/12/2051 | | | | 703,882 | |
| | 16,360,000 | | | Series 2007-LD12-AM | | | 6.07% | # | | | 02/15/2051 | | | | 16,597,874 | |
| | 2,500,000 | | | Series 2014-INN-C | | | 2.61% | #^ | | | 06/15/2029 | | | | 2,501,520 | |
| | 2,500,000 | | | Series 2014-INN-D | | | 3.26% | #^ | | | 06/15/2029 | | | | 2,502,166 | |
| | 9,000,000 | | | Series 2014-PHH-D | | | 3.31% | #^ | | | 08/15/2027 | | | | 9,003,110 | |
| | 6,568,510 | | | Series 2015-JP1-A1 | | | 1.95% | | | | 01/15/2049 | | | | 6,570,860 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Trust, | |
| | 1,793,000 | | | Series 2006-LDP9-AMS | | | 5.34% | | | | 05/15/2047 | | | | 1,773,342 | |
| | 9,341,000 | | | Series 2007-LD11-AM | | | 5.84% | # | | | 06/15/2049 | | | | 9,562,904 | |
| | 11,946,571 | | | Series 2007-LDPX-AM | | | 5.46% | # | | | 01/15/2049 | | | | 11,936,810 | |
| | 8,463,041 | | | Series 2008-C2-A4 | | | 6.07% | | | | 02/12/2051 | | | | 8,567,492 | |
| | 1,931,501 | | | Series 2014-FL6-A | | | 2.31% | #^ | | | 11/15/2031 | | | | 1,936,119 | |
| | 9,412,000 | | | Series 2014-FRR1-A707 | | | 4.35% | ^ | | | 01/27/2047 | | | | 9,287,906 | |
| | 2,240,000 | | | Series 2015-FL7-C | | | 3.76% | #^ | | | 05/15/2028 | | | | 2,244,697 | |
| | 6,280,000 | | | Series 2016-ASH-B | | | 3.06% | #^ | | | 10/15/2034 | | | | 6,319,264 | |
| | 3,545,000 | | | Series 2016-ASH-C | | | 3.66% | #^ | | | 10/15/2034 | | | | 3,571,563 | |
| | 72,576,106 | | | Series 2016-JP4-XA | | | 0.82% | # I/O | | | 12/15/2049 | | | | 3,650,095 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 10,730,000 | | | Series 2007-C3-AM | | | 6.05% | # | | | 07/15/2044 | | | | 10,783,532 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 4,027,595 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 4,029,686 | |
| | 8,405,858 | | | Series 2007-C7-A3 | | | 5.87% | # | | | 09/15/2045 | | | | 8,532,968 | |
| | 8,338,600 | | | Series 2007-C7-AJ | | | 6.25% | # | | | 09/15/2045 | | | | 8,504,760 | |
| |
| | | | LMREC, Inc., | |
| | 8,385,000 | | | Series 2015-CRE1-A | | | 2.73% | #^ | | | 02/22/2032 | | | | 8,450,831 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 51 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | LSTAR Commercial Mortgage Trust, | |
| | 79,604,600 | | | Series 2017-5-X | | | 1.39% | #^ I/O | | | 03/10/2050 | | | | 4,645,677 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 9,341,000 | | | Series 2007-C1-AM | | | 5.84% | # | | | 06/12/2050 | | | | 9,192,674 | |
| |
| | | | ML-CFC Commercial Mortgage Trust, | |
| | 3,688,720 | | | Series 2007-7-A4 | | | 5.79% | # | | | 06/12/2050 | | | | 3,688,803 | |
| | 7,296,770 | | | Series 2007-9-A4 | | | 5.70% | | | | 09/12/2049 | | | | 7,364,386 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 3,176,480 | | | Series 2012-C5-XA | | | 1.57% | #^ I/O | | | 08/15/2045 | | | | 180,780 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 3,191,444 | | | Series 2006-HQ10-X1 | | | 0.19% | #^ I/O | | | 11/12/2041 | | | | 32 | |
| | 9,252,567 | | | Series 2006-XLF-J | | | 1.34% | #^ | | | 07/15/2019 | | | | 9,224,537 | |
| | 4,948,662 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 4,859,608 | |
| | 2,816,570 | | | Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 2,810,709 | |
| | 10,055,000 | | | Series 2007-IQ16-AM | | | 6.07% | # | | | 12/12/2049 | | | | 10,257,436 | |
| | 10,205,000 | | | Series 2017-A-PRME | | | 1.81% | #^ | | | 02/15/2034 | | | | 10,291,285 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 1,715,000 | | | Series 2009-GG10-A4B | | | 5.95% | #^ | | | 08/12/2045 | | | | 1,715,640 | |
| | 339,904 | | | Series 2012-IO-AXA | | | 1.00% | ^ | | | 03/27/2051 | | | | 335,757 | |
| |
| | | | Sutherland Commercial Mortgage Loans LLC, | |
| | 7,009,120 | | | Series 2015-SBC4-A | | | 4.00% | ^ | | | 06/25/2039 | | | | 6,983,708 | |
| |
| | | | TRU Trust, | |
| | 13,923,301 | | | Series 2016-TOYS-A | | | 3.16% | #^ | | | 11/15/2030 | | | | 13,982,049 | |
| |
| | | | Velocity Commercial Capital Loan Trust, | |
| | 10,515,160 | | | Series 2015-1-AFL | | | 3.41% | #^ | | | 06/25/2045 | | | | 10,605,359 | |
| | 7,886,280 | | | Series 2016-1-AFX | | | 3.53% | #^ | | | 04/25/2046 | | | | 7,881,498 | |
| | 10,489,987 | | | Series 2016-2-AFX | | | 3.00% | # | | | 10/25/2046 | | | | 10,395,924 | |
| |
| | | | VSD LLC, | |
| | 8,803,897 | | | Series 2017-PLT1-A | | | 3.60% | ^ | | | 12/25/2043 | | | | 8,807,172 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 13,294,000 | | | Series 2006-C25-F | | | 5.88% | # | | | 05/15/2043 | | | | 13,334,034 | |
| | 11,734,000 | | | Series 2006-C26-AM | | | 6.06% | # | | | 06/15/2045 | | | | 11,822,185 | |
| | 6,639,540 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 6,664,438 | |
| | 9,484,275 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 9,555,374 | |
| | 5,878,636 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 5,917,284 | |
| | 6,850,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 6,927,256 | |
| | 4,120,000 | | | Series 2007-C33-AJ | | | 6.05% | # | | | 02/15/2051 | | | | 4,135,202 | |
| | 10,065,000 | | | Series 2007-C33-AM | | | 6.05% | # | | | 02/15/2051 | | | | 10,144,626 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 51,775,821 | | | Series 2017-RB1X-A | | | 1.45% | # I/O | | | 03/15/2050 | | | | 5,174,993 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 15,016,180 | | | Series 2012-C8-XA | | | 1.98% | #^ I/O | | | 08/15/2045 | | | | 1,051,744 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $617,619,462) | | | | 604,564,034 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 14.1% |
|
| |
| | | | Ajax Mortgage Loan Trust, | |
| | 19,911,894 | | | Series 2015-B-A | | | 3.88% | #^ | | | 07/25/2060 | | | | 19,907,536 | |
| |
| | | | Angel Oak Mortgage Trust LLC, | |
| | 15,684,662 | | | Series 2017-1-A1 | | | 2.81% | #^ | | | 01/25/2047 | | | | 15,810,453 | |
| | 7,648,256 | | | Series 2017-1-A2 | | | 3.09% | #^ | | | 01/25/2047 | | | | 7,710,498 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 422,647 | | | Series 2005-E-6A1 | | | 3.13% | # | | | 05/20/2035 | | | | 421,919 | |
| |
| | | | Banc of America Mortgage Securities, Inc., | |
| | 2,497,216 | | | Series 2005-E-2A1 | | | 3.24% | # | | | 06/25/2035 | | | | 2,350,149 | |
| |
| | | | Bayview Opportunity Master Fund Trust, | |
| | 14,629,248 | | | Series 2016-RN2-A1 | | | 3.60% | #^ | | | 08/28/2031 | | | | 14,553,737 | |
| | 11,188,064 | | | Series 2016-RPL2-A1 | | | 3.84% | #^ | | | 06/28/2031 | | | | 11,073,310 | |
| | 7,044,229 | | | Series 2016-RPL4-A1 | | | 3.47% | #^ | | | 07/28/2018 | | | | 7,012,492 | |
| |
| | | | BCAP LLC Trust, | |
| | 2,419 | | | Series 2009-RR13-6A5 | | | 6.00% | #^ | | | 04/26/2037 | | | | 2,432 | |
| | 259,063 | | | Series 2011-RR12-2A5 | | | 2.77% | #^ | | | 12/26/2036 | | | | 260,869 | |
| | 2,696,765 | | | Series 2011-RR1-8A3 | | | 6.00% | #^ | | | 08/28/2021 | | | | 2,904,512 | |
| | 2,298,193 | | | Series 2013-RR1-4A2 | | | 4.00% | #^ | | | 08/26/2037 | | | | 2,322,333 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Bear Stearns Adjustable Rate Mortgage Trust, | |
| | 4,073,148 | | | Series 2003-9-4A1 | | | 3.42% | # | | | 02/25/2034 | | | | 4,078,455 | |
| |
| | | | Bear Stearns Asset Backed Securities Trust, | |
| | 836,823 | | | Series 2004-AC2-2A | | | 5.00% | | | | 05/25/2034 | | | | 832,243 | |
| |
| | | | CAM Mortgage Trust, | |
| | 30,000,000 | | | Series 2017-1-A1 | | | 3.22% | #^ | | | 08/01/2057 | | | | 30,000,000 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 3,120,940 | | | Series 2007-1-A4 | | | 5.66% | # | | | 03/25/2037 | | | | 3,240,026 | |
| | 14,187,060 | | | Series 2007-2-A4 | | | 5.33% | # | | | 06/25/2037 | | | | 14,584,138 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 2,671,357 | | | Series 2006-AR1-2A1 | | | 2.99% | # | | | 03/25/2036 | | | | 2,544,087 | |
| | 116,005 | | | Series 2007-WFH2-A3 | | | 1.16% | # | | | 03/25/2037 | | | | 116,199 | |
| |
| | | | Countrywide Asset-Backed Certificates, | |
| | 137,694 | | | Series 2005-15-1AF6 | | | 4.15% | # | | | 04/25/2036 | | | | 140,016 | |
| |
| | | | Countrywide Home Loans, | |
| | 8,069,376 | | | Series 2004-HYB9-1A1 | | | 3.31% | # | | | 02/20/2035 | | | | 8,124,067 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 95,827 | | | Series 2005-11-5A1 | | | 5.25% | | | | 12/25/2020 | | | | 94,922 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 12,000,000 | | | Series 2011-5R-6A9 | | | 3.12% | #^ | | | 11/27/2037 | | | | 12,387,541 | |
| | 4,454,730 | | | Series 2013-3R-1A1 | | | 1.91% | #^ | | | 04/27/2035 | | | | 4,559,995 | |
| | 26,190,187 | | | Series 2015-RPL3-A1 | | | 3.75% | #^ | | | 12/25/2056 | | | | 26,245,998 | |
| |
| | | | Credit Suisse Commercial Mortgage Trust, | |
| | 19,351,250 | | | Series 2017-1A-A | | | 4.50% | ^ | | | 03/25/2021 | | | | 19,410,387 | |
| |
| | | | CSMC Mortgage Securities Trust, | |
| | 30,000,000 | | | Series 2017-3R-1A1 | | | 2.98% | #^ | | | 03/06/2047 | | | | 30,000,000 | |
| |
| | | | Fieldstone Mortgage Investment Trust, | |
| | 373,906 | | | Series 2004-5-M2 | | | 2.71% | # | | | 02/25/2035 | | | | 373,412 | |
| |
| | | | First Franklin Mortgage Loan Trust, | |
| | 211,000 | | | Series 2006-FF1-2A3 | | | 1.22% | # | | | 01/25/2036 | | | | 210,608 | |
| |
| | | | First Horizon Asset Securities, Inc., | |
| | 10,251,035 | | | Series 2007-AR2-1A1 | | | 3.02% | # | | | 08/25/2037 | | | | 8,228,654 | |
| |
| | | | GCAT LLC, | |
| | 20,000,000 | | | Series 2017-1-A1 | | | 3.38% | ^ | | | 03/25/2047 | | | | 19,970,000 | |
| |
| | | | GreenPoint Mortgage Funding Trust, | |
| | 393 | | | Series 2007-AR2-1A1 | | | 1.11% | # | | | 04/25/2047 | | | | 396 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 4,573,052 | | | Series 2005-AR7-3A1 | | | 3.25% | # | | | 11/25/2035 | | | | 4,363,688 | |
| | 436,083 | | | Series 2006-4F-2A7 | | | 5.50% | | | | 05/25/2036 | | | | 436,289 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 17,971,099 | | | Series 2006-5-1A1C | | | 1.25% | # | | | 02/25/2037 | | | | 13,859,560 | |
| |
| | | | JP Morgan Alternative Loan Trust, | |
| | 587,268 | | | Series 2006-S4-A6 | | | 5.71% | # | | | 12/25/2036 | | | | 572,854 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 107,130 | | | Series 2007-S1-1A1 | | | 5.00% | | | | 03/25/2022 | | | | 106,482 | |
| | 73,228 | | | Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 72,027 | |
| |
| | | | JP Morgan Resecuritization Trust, | |
| | 242,739 | | | Series 2012-2-3A3 | | | 2.88% | #^ | | | 10/26/2036 | | | | 244,582 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 7,872,816 | | | Series 2006-2-2A1 | | | 3.26% | # | | | 04/25/2036 | | | | 7,304,434 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 5,270,677 | | | Series 2005-3-2A | | | 3.06% | # | | | 11/25/2035 | | | | 5,189,841 | |
| |
| | | | Mill City Mortgage Loan Trust, | |
| | 19,000,000 | | | Series 2017-1-A1 | | | 2.75% | #^ | | | 11/25/2058 | | | | 18,957,531 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 383,439 | | | Series 2005-WMC3-M3 | | | 1.69% | # | | | 03/25/2035 | | | | 383,297 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 32,509 | | | Series 2004-1-1A1 | | | 5.00% | | | | 11/25/2018 | | | | 33,474 | |
| |
| | | | Morgan Stanley Re-Remic Trust, | |
| | 3,726,640 | | | Series 2012-R3-2A | | | 1.01% | #^ | | | 02/26/2037 | | | | 3,732,860 | |
| |
| | | | Nationstar HECM Loan Trust, | |
| | 11,965,025 | | | Series 2016-2A-A | | | 2.24% | ^ | | | 06/25/2026 | | | | 11,968,423 | |
| | | | | | |
| 52 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Opteum Mortgage Acceptance Corporation, | |
| | 336,770 | | | Series 2005-5-2AN | | | 5.68% | # | | | 12/25/2035 | | | | 339,671 | |
| |
| | | | Pacific Bay Ltd., | |
| | 5,711,515 | | | Series 2003-1A-A2 | | | 2.49% | #^ | | | 11/04/2038 | | | | 5,583,006 | |
| |
| | | | Pretium Mortgage Credit Partners LLC, | |
| | 14,952,044 | | | Series 2016-NPL1-A1 | | | 4.38% | #^ | | | 02/27/2031 | | | | 15,137,158 | |
| | 7,001,898 | | | Series 2016-NPL4-A | | | 4.00% | #^ | | | 07/27/2031 | | | | 7,029,750 | |
| | 18,588,491 | | | Series 2016-NPL5-A | | | 3.88% | #^ | | | 09/27/2031 | | | | 18,635,096 | |
| |
| | | | PRPM LLC, | |
| | 12,542,753 | | | Series 2017-1A-A1 | | | 4.25% | #^ | | | 01/25/2022 | | | | 12,588,202 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 2,825,457 | | | Series 2005-EFC7-AI3 | | | 1.23% | # | | | 12/25/2035 | | | | 2,758,296 | |
| |
| | | | Residential Asset Securities Corporation, | |
| | 1,003,451 | | | Series 2006-KS6-A3 | | | 1.13% | # | | | 08/25/2036 | | | | 994,469 | |
| |
| | | | Residential Funding Mortgage Securities Trust, | |
| | 36,995 | | | Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 37,098 | |
| |
| | | | Sequoia Mortgage Trust, | |
| | 27,246,274 | | | Series 2016-3-A11 | | | 3.00% | #^ | | | 11/25/2046 | | | | 27,369,727 | |
| |
| | | | SG Mortgage Securities Trust, | |
| | 20,000,000 | | | Series 2017-1A-A | | | 3.71% | #^ | | | 04/25/2047 | | | | 19,984,520 | |
| |
| | | | Shellpoint Co-Originator Trust, | |
| | 28,364,568 | | | Series 2016-1-1A10 | | | 3.50% | #^ | | | 11/25/2046 | | | | 28,892,398 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 3,553,432 | | | Series 2014-3A-A | | | 1.87% | #^ | | | 09/25/2057 | | | | 3,559,058 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 866,988 | | | Series 2007-1-2A2 | | | 3.45% | # | | | 02/25/2037 | | | | 851,442 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 386,326 | | | Series 2003-24A-1A3 | | | 3.21% | # | | | 07/25/2033 | | | | 379,903 | |
| | 100,327 | | | Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 101,139 | |
| | 261,638 | | | Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 266,012 | |
| | 2,609,177 | | | Series 2006-OW1-FLT | | | 1.18% | #^ | | | 12/25/2035 | | | | 2,563,770 | |
| |
| | | | Towd Point Mortgage Trust, | |
| | 21,402,579 | | | Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 21,244,386 | |
| |
| | | | US Residential Opportunity Fund Trust, | |
| | 9,703,031 | | | Series 2016-3-A | | | 3.60% | #^ | | | 10/27/2036 | | | | 9,674,734 | |
| |
| | | | Verus Securitization Trust, | |
| | 26,439,014 | | | Series 2017-1A-A1 | | | 2.85% | #^ | | | 01/25/2047 | | | | 26,503,943 | |
| | 3,916,891 | | | Series 2017-1A-A2 | | | 3.16% | #^ | | | 01/25/2047 | | | | 3,928,878 | |
| |
| | | | VOLT LLC, | |
| | 9,526,845 | | | Series 2016-NPL11-A1 | | | 3.50% | #^ | | | 10/25/2046 | | | | 9,619,513 | |
| | 14,832,970 | | | Series 2016-NPL6-A1 | | | 3.84% | #^ | | | 06/25/2046 | | | | 14,897,717 | |
| | 29,528,957 | | | Series 2017-NPL1-A1 | | | 3.63% | #^ | | | 02/25/2047 | | | | 29,549,509 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 1,063,071 | | | Series 2002-AR16-A | | | 2.70% | # | | | 12/25/2032 | | | | 1,036,619 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 32,049 | | | Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 32,140 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 3,994,555 | | | Series 2006-AR6-5A1 | | | 3.07% | # | | | 03/25/2036 | | | | 3,982,570 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $604,603,336) | | | | 604,237,450 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 9.0% | |
| | 7,667,000 | | | AbbVie, Inc. | | | 1.80% | | | | 05/14/2018 | | | | 7,677,381 | |
| | 6,340,000 | | | Amazon.com, Inc. | | | 2.60% | | | | 12/05/2019 | | | | 6,469,209 | |
| | 5,100,000 | | | American Express Credit Corporation | | | 1.80% | | | | 07/31/2018 | | | | 5,105,952 | |
| | 2,200,000 | | | American Express Credit Corporation | | | 2.25% | | | | 08/15/2019 | | | | 2,217,897 | |
| | 850,000 | | | American Express Credit Corporation | | | 2.20% | | | | 03/03/2020 | | | | 852,753 | |
| | 4,785,000 | | | American Honda Finance Corporation | | | 1.70% | | | | 02/22/2019 | | | | 4,780,741 | |
| | 6,684,000 | | | American Honda Finance Corporation | | | 1.20% | | | | 07/12/2019 | | | | 6,595,638 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 5,385,000 | | | Anheuser-Busch InBev Finance, Inc. | | | 1.90% | | | | 02/01/2019 | | | | 5,394,812 | |
| | 4,665,000 | | | Apple, Inc. | | | 1.90% | | | | 02/07/2020 | | | | 4,679,238 | |
| | 9,630,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 9,656,521 | |
| | 4,845,000 | | | BB&T Corporation | | | 2.25% | | | | 02/01/2019 | | | | 4,879,046 | |
| | 4,875,000 | | | Berkshire Hathaway Finance Corporation | | | 1.70% | | | | 03/15/2019 | | | | 4,884,443 | |
| | 3,200,000 | | | Berkshire Hathaway Finance Corporation | | | 1.30% | | | | 08/15/2019 | | | | 3,170,163 | |
| | 6,025,000 | | | Boston Properties LP | | | 5.88% | | | | 10/15/2019 | | | | 6,523,376 | |
| | 2,905,000 | | | Broadcom Corporation | | | 2.38% | ^ | | | 01/15/2020 | | | | 2,906,272 | |
| | 4,652,000 | | | Capital One Financial Corporation | | | 2.45% | | | | 04/24/2019 | | | | 4,680,652 | |
| | 7,150,000 | | | Cardinal Health, Inc. | | | 1.95% | | | | 06/15/2018 | | | | 7,173,645 | |
| | 3,675,000 | | | Caterpillar Financial Services Corporation | | | 1.70% | | | | 06/16/2018 | | | | 3,676,882 | |
| | 2,770,000 | | | Caterpillar Financial Services Corporation | | | 2.10% | | | | 01/10/2020 | | | | 2,771,302 | |
| | 7,200,000 | | | Celgene Corporation | | | 2.13% | | | | 08/15/2018 | | | | 7,236,202 | |
| | 345,000 | | | Chevron Corporation | | | 1.37% | | | | 03/02/2018 | | | | 344,850 | |
| | 1,068,000 | | | Chevron Corporation | | | 1.56% | | | | 05/16/2019 | | | | 1,064,723 | |
| | 2,965,000 | | | Chevron Corporation | | | 1.99% | | | | 03/03/2020 | | | | 2,969,673 | |
| | 8,061,000 | | | Cisco Systems, Inc. | | | 1.40% | | | | 09/20/2019 | | | | 7,997,963 | |
| | 9,635,000 | | | Citigroup, Inc. | | | 2.05% | | | | 12/07/2018 | | | | 9,655,879 | |
| | 2,710,000 | | | Comcast Corporation | | | 5.88% | | | | 02/15/2018 | | | | 2,813,191 | |
| | 4,370,000 | | | Comcast Corporation | | | 5.15% | | | | 03/01/2020 | | | | 4,761,657 | |
| | 2,255,000 | | | Consolidated Edison, Inc. | | | 2.00% | | | | 03/15/2020 | | | | 2,253,124 | |
| | 7,941,000 | | | CVS Health Corporation | | | 1.90% | | | | 07/20/2018 | | | | 7,958,566 | |
| | 7,370,000 | | | Daimler Finance North America LLC | | | 2.25% | ^ | | | 03/02/2020 | | | | 7,367,745 | |
| | 5,316,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 5,320,646 | |
| | 4,445,000 | | | Duke Energy Corporation | | | 1.85% | | | | 01/15/2020 | | | | 4,442,960 | |
| | 7,335,000 | | | Express Scripts Holding Company | | | 2.25% | | | | 06/15/2019 | | | | 7,347,704 | |
| | 7,895,000 | | | General Mills, Inc. | | | 2.20% | | | | 10/21/2019 | | | | 7,947,889 | |
| | 4,982,000 | | | General Motors Financial Co, Inc. | | | 3.15% | | | | 01/15/2020 | | | | 5,070,052 | |
| | 2,966,000 | | | Goldman Sachs Group, Inc. | | | 2.90% | | | | 07/19/2018 | | | | 3,003,757 | |
| | 3,300,000 | | | Goldman Sachs Group, Inc. | | | 2.30% | | | | 12/13/2019 | | | | 3,303,742 | |
| | 6,720,000 | | | Hewlett Packard Enterprise Company | | | 2.85% | | | | 10/05/2018 | | | | 6,802,172 | |
| | 1,030,000 | | | Hewlett Packard Enterprise Company | | | 3.60% | | | | 10/15/2020 | | | | 1,059,386 | |
| | 4,885,000 | | | John Deere Capital Corporation | | | 1.60% | | | | 07/13/2018 | | | | 4,891,360 | |
| | 2,825,000 | | | John Deere Capital Corporation | | | 1.95% | | | | 01/08/2019 | | | | 2,841,119 | |
| | 7,770,000 | | | JP Morgan Chase & Company | | | 2.25% | | | | 01/23/2020 | | | | 7,797,723 | |
| | 6,915,000 | | | Kinder Morgan, Inc. | | | 3.05% | | | | 12/01/2019 | | | | 7,035,044 | |
| | 7,340,000 | | | Kraft Heinz Foods Company | | | 2.00% | | | | 07/02/2018 | | | | 7,359,708 | |
| | 7,243,000 | | | Kroger Company | | | 6.15% | | | | 01/15/2020 | | | | 7,991,818 | |
| | 7,240,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 7,305,348 | |
| | 3,199,000 | | | McKesson Corporation | | | 2.28% | | | | 03/15/2019 | | | | 3,218,344 | |
| | 2,267,000 | | | Medtronic, Inc. | | | 1.50% | | | | 03/15/2018 | | | | 2,267,791 | |
| | 3,350,000 | | | Microsoft Corporation | | | 1.85% | | | | 02/06/2020 | | | | 3,358,455 | |
| | 3,745,000 | | | Molson Coors Brewing Company | | | 1.45% | | | | 07/15/2019 | | | | 3,698,255 | |
| | 10,075,000 | | | Morgan Stanley | | | 2.45% | | | | 02/01/2019 | | | | 10,172,163 | |
| | 5,110,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 5,111,380 | |
| | 135,000 | | | MUFG Americas Holdings Corporation | | | 2.25% | | | | 02/10/2020 | | | | 134,921 | |
| | 6,095,000 | | | Mylan NV | | | 2.50% | | | | 06/07/2019 | | | | 6,125,554 | |
| | 5,490,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 2.30% | | | | 11/15/2019 | | | | 5,543,143 | |
| | 1,153,000 | | | Newell Brands, Inc. | | | 2.60% | | | | 03/29/2019 | | | | 1,167,724 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 53 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 3,695,000 | | | Oracle Corporation | | | 2.25% | | | | 10/08/2019 | | | | 3,741,232 | |
| | 6,290,000 | | | PepsiCo, Inc. | | | 2.15% | | | | 10/14/2020 | | | | 6,328,218 | |
| | 6,475,000 | | | Philip Morris International, Inc. | | | 5.65% | | | | 05/16/2018 | | | | 6,767,974 | |
| | 4,978,000 | | | PNC Funding Corporation | | | 4.38% | | | | 08/11/2020 | | | | 5,306,334 | |
| | 3,885,000 | | | Prudential Financial, Inc. | | | 7.38% | | | | 06/15/2019 | | | | 4,333,298 | |
| | 5,335,000 | | | Reynolds American, Inc. | | | 3.25% | | | | 06/12/2020 | | | | 5,477,493 | |
| | 5,022,000 | | | Shell International Finance B.V. | | | 1.38% | | | | 05/10/2019 | | | | 4,978,570 | |
| | 7,317,000 | | | Simon Property Group LP | | | 2.20% | | | | 02/01/2019 | | | | 7,362,387 | |
| | 4,840,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 4,882,016 | |
| | 3,175,000 | | | Southern Company | | | 1.85% | | | | 07/01/2019 | | | | 3,159,169 | |
| | 4,750,000 | | | Synchrony Financial | | | 3.00% | | | | 08/15/2019 | | | | 4,826,299 | |
| | 5,948,000 | | | Thermo Fisher Scientific, Inc. | | | 2.15% | | | | 12/14/2018 | | | | 5,970,995 | |
| | 4,492,000 | | | TIAA Asset Management Finance Company LLC | | | 2.95% | ^ | | | 11/01/2019 | | | | 4,568,279 | |
| | 415,000 | | | Toyota Motor Credit Corporation | | | 1.55% | | | | 07/13/2018 | | | | 415,494 | |
| | 3,970,000 | | | Toyota Motor Credit Corporation | | | 1.70% | | | | 02/19/2019 | | | | 3,978,131 | |
| | 8,145,000 | | | United Technologies Corporation | | | 1.50% | | | | 11/01/2019 | | | | 8,090,934 | |
| | 9,615,000 | | | Verizon Communications, Inc. | | | 2.95% | ^ | | | 03/15/2022 | | | | 9,583,867 | |
| | 4,000,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 4,003,856 | |
| | 2,567,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 2,579,091 | |
| | 8,120,000 | | | Wells Fargo & Company | | | 1.50% | | | | 01/16/2018 | | | | 8,106,391 | |
| | 4,451,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 4,451,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $388,010,809) | | | | 387,748,682 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 1.2% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 118,003 | | | Pool G06871 | | | 6.00% | | | | 06/01/2038 | | | | 133,401 | |
| | 247,478 | | | Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 279,554 | |
| | 382,556 | | | Pool N70081 | | | 5.50% | | | | 07/01/2038 | | | | 423,513 | |
| | 26,577 | | | Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 27,866 | |
| | 95,244 | | | Series 3818-JA | | | 4.50% | | | | 01/15/2040 | | | | 97,267 | |
| | 47,708 | | | Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 49,153 | |
| | 3,581,009 | | | Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 3,552,541 | |
| |
| | | | Federal Home Loan Mortgage Corporation Pass-Thru, | |
| | 134,791,946 | | | Series K722-X1 | | | 1.31% | # I/O | | | 03/25/2023 | | | | 8,595,130 | |
| |
| | | | Federal National Mortgage Association, | |
| | 9,995,036 | | | Pool AL9932 | | | 3.42% | | | | 01/01/2024 | | | | 10,213,052 | |
| | 176,611 | | | Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 187,513 | |
| | 1,540,350 | | | Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 1,740,431 | |
| | 18,608,346 | | | Series 2016-89-FH | | | 1.48% | # | | | 12/25/2046 | | | | 18,579,656 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 42,204 | | | Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 47,272 | |
| | 134,917 | | | Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 140,367 | |
| | 128,183 | | | Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 143,381 | |
| | 233,890 | | | Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 264,209 | |
| | 181,586 | | | Pool AL1691 | | | 6.00% | | | | 06/01/2041 | | | | 205,271 | |
| | 241,212 | | | Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 272,701 | |
| | 5,110,797 | | | Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 5,409,001 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $48,409,633) | | | | 50,361,279 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS 10.1% | |
| | 70,300,000 | | | United States Treasury Notes | | | 0.88% | | | | 11/30/2017 | | | | 70,254,656 | |
| | 79,100,000 | | | United States Treasury Notes | | | 1.00% | | | | 12/31/2017 | | | | 79,093,830 | |
| | 70,600,000 | | | United States Treasury Notes | | | 0.75% | | | | 01/31/2018 | | | | 70,434,514 | |
| | 35,300,000 | | | United States Treasury Notes | | | 1.00% | | | | 03/15/2018 | | | | 35,275,855 | |
| | 57,500,000 | | | United States Treasury Notes | | | 0.75% | | | | 10/31/2018 | | | | 57,099,052 | |
| | 39,200,000 | | | United States Treasury Notes | | | 1.63% | | | | 06/30/2019 | | | | 39,455,702 | |
| | 62,500,000 | | | United States Treasury Notes | | | 0.88% | | | | 09/15/2019 | | | | 61,731,000 | |
| | 21,900,000 | | | United States Treasury Notes | | | 1.63% | | | | 06/30/2020 | | | | 21,919,666 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government and Agency Obligations
(Cost $435,686,708) | | | | 435,264,275 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 1.1% | |
| | 5,000,000 | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I) | | | | | | | | | | | 49,250,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $50,000,000) | | | | 49,250,000 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.0% | |
| | 44,664 | | | Pacific Exploration and Production Corporation* | | | | | | | | | | | 1,389,063 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $8,231,569) | | | | 1,389,063 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 8.5% | |
| | 121,300,411 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 121,300,411 | |
| | 121,300,411 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 121,300,411 | |
| | 121,300,411 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 121,300,411 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $363,901,233) | | | | 363,901,233 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 104.5%
(Cost $4,502,297,474) | | | | 4,491,290,515 | |
| | | | Liabilities in Excess of Other Assets (4.5)% | | | | (194,344,251 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | | | $ | 4,296,946,264 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 54 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
Foreign Corporate Bonds | | | 16.0% | |
Collateralized Loan Obligations | | | 15.2% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 14.1% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 14.1% | |
US Government and Agency Obligations | | | 10.1% | |
US Corporate Bonds | | | 9.0% | |
Short Term Investments | | | 8.5% | |
Asset Backed Obligations | | | 8.3% | |
Bank Loans | | | 4.5% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 2.4% | |
US Government / Agency Mortgage Backed Obligations | | | 1.2% | |
Affiliated Mutual Funds | | | 1.1% | |
Exchange Traded Funds and Common Stocks | | | 0.0% | ~ |
Other Assets and Liabilities | | | (4.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
Collateralized Loan Obligations | | | 15.2% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 14.1% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 14.1% | |
US Government and Agency Obligations | | | 10.1% | |
Banking | | | 8.9% | |
Short Term Investments | | | 8.5% | |
Asset Backed Obligations | | | 8.3% | |
Oil & Gas | | | 3.1% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 2.4% | |
Telecommunications | | | 2.1% | |
Healthcare | | | 1.4% | |
Utilities | | | 1.4% | |
Transportation | | | 1.4% | |
US Government / Agency Mortgage Backed Obligations | | | 1.2% | |
Affiliated Mutual Funds | | | 1.1% | |
Pharmaceuticals | | | 1.0% | |
Automotive | | | 0.9% | |
Media | | | 0.8% | |
Food Products | | | 0.8% | |
Technology | | | 0.8% | |
Business Equipment and Services | | | 0.7% | |
Pulp & Paper | | | 0.7% | |
Aerospace & Defense | | | 0.6% | |
Beverage and Tobacco | | | 0.6% | |
Finance | | | 0.6% | |
Hotels/Motels/Inns and Casinos | | | 0.4% | |
Food/Drug Retailers | | | 0.4% | |
Construction | | | 0.4% | |
Real Estate | | | 0.3% | |
Insurance | | | 0.3% | |
Energy | | | 0.3% | |
Conglomerates | | | 0.2% | |
Electronics/Electric | | | 0.2% | |
Chemicals/Plastics | | | 0.2% | |
Containers and Glass Products | | | 0.2% | |
Financial Intermediaries | | | 0.2% | |
Cosmetics/Toiletries | | | 0.2% | |
Biotechnology | | | 0.2% | |
Consumer Products | | | 0.1% | |
Building and Development (including Steel/Metals) | | | 0.1% | |
Other Assets and Liabilities | | | (4.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 86.3% | |
Mexico | | | 2.5% | |
Chile | | | 2.5% | |
India | | | 1.4% | |
Panama | | | 1.1% | |
China | | | 1.1% | |
Peru | | | 1.0% | |
Singapore | | | 1.0% | |
Colombia | | | 1.0% | |
South Korea | | | 0.7% | |
Israel | | | 0.6% | |
Malaysia | | | 0.6% | |
Costa Rica | | | 0.6% | |
Canada | | | 0.5% | |
Qatar | | | 0.5% | |
Brazil | | | 0.5% | |
United Kingdom | | | 0.5% | |
Indonesia | | | 0.4% | |
Luxembourg | | | 0.3% | |
Guatemala | | | 0.2% | |
Australia | | | 0.2% | |
Dominican Republic | | | 0.2% | |
France | | | 0.2% | |
Poland | | | 0.2% | |
Hong Kong | | | 0.1% | |
Ireland | | | 0.1% | |
Jamaica | | | 0.1% | |
Netherlands | | | 0.1% | |
Paraguay | | | 0.0% | ~ |
Other Assets and Liabilities | | | (4.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 55 |
| | |
| Schedule of Investments DoubleLine Low Duration Bond Fund (Cont.) | | March 31, 2017 |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $1,818,991,110 or 42.3% of net assets. |
| I/O | Interest only security |
| ¥ | Illiquid security. At March 31, 2017, the value of these securities amounted to $3,299,463 or 0.1% of net assets. |
| ~ | Represents less than 0.05% of net assets |
| ¨ | Seven-day yield as of March 31, 2017 |
| * | Non-income producing security |
A summary of the DoubleLine Low Duration Bond Fund’s investments in affiliated mutual funds for the year ended March 31, 2017 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31,
2016 | | | Gross
Purchases | | | Gross
Sales | | | Shares
Held at
March 31,
2017 | | | Value at
March 31,
2017 | | | Dividend
Income Earned
in the Year
Ended March 31,
2017 | | | Net Realized
Gain (Loss)
in the Year
Ended March 31,
2017 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | $ | 47,950,000 | | | $ | — | | | $ | — | | | | 5,000,000 | | | $ | 49,250,000 | | | $ | 1,524,278 | | | $ | — | |
DoubleLine Global Bond Fund | | | — | | | | 28,800,000 | | | | 28,964,260 | | | | — | | | | — | | | | 44,978 | | | | 164,260 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 47,950,000 | | | $ | 28,800,000 | | | $ | 28,964,260 | | | | 5,000,000 | | | $ | 49,250,000 | | | $ | 1,569,256 | | | $ | 164,260 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 56 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | BANK LOANS 91.8% | |
| | |
| | AEROSPACE & DEFENSE 2.6% | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 160,606 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan | | | 5.00% | #& | | | 03/08/2024 | | | | 161,945 | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 3,814,394 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 03/08/2024 | | | | 3,846,187 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 3,572,727 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.04% | # | | | 12/16/2021 | | | | 3,577,193 | |
| |
| | | | TransDigm, Inc., | |
| | 3,769,925 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche F | | | 3.98% | # | | | 06/09/2023 | | | | 3,759,896 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,345,221 | |
| | | | | | | | | | | | | | | | |
| | AUTOMOTIVE 4.3% | |
| |
| | | | American Axle & Manufacturing, Inc., | |
| | 1,245,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 03/08/2024 | | | | 1,246,170 | |
| |
| | | | American Tire Distributors, Inc., | |
| | 4,141,686 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 09/01/2021 | | | | 4,156,575 | |
| |
| | | | Capital Automotive LP, | |
| | 380,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/24/2025 | | | | 385,107 | |
| |
| | | | Capital Automotive LP, | |
| | 2,390,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/25/2024 | | | | 2,416,888 | |
| |
| | | | Ceva Group PLC, | |
| | 613,891 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 0.90% | # | | | 03/19/2021 | | | | 538,689 | |
| |
| | | | Ceva Group PLC, | |
| | 868,376 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 762,000 | |
| |
| | | | Ceva Group PLC, | |
| | 108,547 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 95,250 | |
| |
| | | | Ceva Intercompany BV, | |
| | 629,573 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 552,450 | |
| |
| | | | CH Hold Corporation, | |
| | 3,568,182 | | | Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 02/01/2024 | | | | 3,598,654 | |
| |
| | | | CH Hold Corporation, | |
| | 356,818 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 1.50% | #& | | | 02/01/2024 | | | | 359,866 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 4,203,665 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 4,194,816 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,306,465 | |
| | | | | | | | | | | | | | | | |
| | BEVERAGE AND TOBACCO 1.3% | |
| |
| | | | AdvancePierre Foods, Inc., | |
| | 3,904,723 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/02/2023 | | | | 3,958,725 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Chill Merger Sub Inc., | |
| | 1,715,000 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 03/20/2024 | | | | 1,734,294 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,693,019 | |
| | | | | | | | | | | | | | | | |
| | BUILDING AND DEVELOPMENT (INCLUDING STEEL/METALS) 2.6% | |
| |
| | | | Gates Global LLC, | |
| | 3,755,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 07/05/2021 | | | | 3,766,509 | |
| |
| | | | Jeld-Wen, Inc., | |
| | 3,920,503 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 07/01/2022 | | | | 3,953,161 | |
| |
| | | | Summit Materials LLC, | |
| | 3,593,329 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/18/2022 | | | | 3,628,525 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,348,195 | |
| | | | | | | | | | | | | | | | |
| | BUSINESS EQUIPMENT AND SERVICES 4.8% | |
| |
| | | | AlixPartners LLP, | |
| | 2,060,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/28/2024 | | | | 2,072,875 | |
| |
| | | | AlixPartners LLP, | |
| | 274,057 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 07/28/2022 | | | | 275,355 | |
| |
| | | | Bright Bidco BV, | |
| | 2,530,000 | | | Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/15/2024 | | | | 2,551,075 | |
| |
| | | | Mitchell International, Inc., | |
| | 1,544,603 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.54% | # | | | 10/11/2021 | | | | 1,554,264 | |
| |
| | | | RentPath LLC, | |
| | 3,814,322 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.25% | #¥ | | | 12/17/2021 | | | | 3,765,041 | |
| |
| | | | Sabre GLBL Inc., | |
| | 330,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 02/22/2024 | | | | 333,094 | |
| |
| | | | Scientific Games International, Inc., | |
| | 1,828,445 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 4.85% | # | | | 10/01/2021 | | | | 1,854,016 | |
| |
| | | | Solera LLC, | |
| | 4,039,458 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/03/2023 | | | | 4,064,987 | |
| |
| | | | USAGM HoldCo LLC, | |
| | 3,774,874 | | | Senior Secured 1st Lien Term Loan | | | 4.79% | # | | | 07/28/2022 | | | | 3,800,241 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 20,270,948 | |
| | | | | | | | | | | | | | | | |
| | CHEMICALS/PLASTICS 6.5% | |
| |
| | | | Alpha 3 B.V., | |
| | 3,640,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.15% | # | | | 01/31/2024 | | | | 3,653,668 | |
| |
| | | | Huntsman International LLC, | |
| | 3,698,708 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 04/01/2023 | | | | 3,737,249 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 57 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Ineos US Finance LLC, | |
| | 374,063 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 04/01/2024 | | | | 376,576 | |
| |
| | | | Kraton Polymers LLC, | |
| | 2,660,556 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 01/06/2022 | | | | 2,689,928 | |
| |
| | | | Kronos, Inc., | |
| | 3,700,725 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.03% | # | | | 11/01/2023 | | | | 3,726,371 | |
| |
| | | | Milacron LLC, | |
| | 3,635,888 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 09/28/2023 | | | | 3,660,903 | |
| |
| | | | PQ Corporation, | |
| | 3,994,166 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.29% | # | | | 11/04/2022 | | | | 4,048,367 | |
| |
| | | | Solenis International LP, | |
| | 948,117 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.80% | # | | | 07/29/2022 | | | | 940,712 | |
| |
| | | | Solenis International LP, | |
| | 1,202,484 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.27% | # | | | 07/31/2021 | | | | 1,208,388 | |
| |
| | | | Univar USA, Inc., | |
| | 3,736,416 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/01/2022 | | | | 3,749,848 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 27,792,010 | |
| | | | | | | | | | | | | | | | |
| | CONSUMER PRODUCTS 3.7% | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 3,075,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 02/02/2024 | | | | 3,011,301 | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 402,000 | | | Senior Secured 2nd Lien Term Loan | | | 8.50% | # | | | 02/03/2025 | | | | 393,357 | |
| |
| | | | Equinox Holdings, Inc., | |
| | 4,060,000 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 03/08/2024 | | | | 4,095,545 | |
| |
| | | | Life Time Fitness, | |
| | 3,725,421 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/10/2022 | | | | 3,739,857 | |
| |
| | | | Revlon Consumer Products Corporation, | |
| | 4,136,210 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.48% | # | | | 09/07/2023 | | | | 4,142,539 | |
| |
| | | | SRS Distribution, Inc., | |
| | 650,632 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.29% | # | | | 08/25/2022 | | | | 660,528 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,043,127 | |
| | | | | | | | | | | | | | | | |
| | CONTAINERS AND GLASS PRODUCTS 0.9% | |
| |
| | | | Reynolds Group, | |
| | 3,730,054 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 02/03/2023 | | | | 3,748,909 | |
| | | | | | | | | | | | | | | | |
| | COSMETICS/TOILETRIES 1.8% | |
| |
| | | | Galleria Company, | |
| | 3,750,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.81% | # | | | 09/29/2023 | | | | 3,787,500 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | KIK Custom Products, Inc., | |
| | 3,711,033 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.65% | # | | | 08/26/2022 | | | | 3,768,238 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,555,738 | |
| | | | | | | | | | | | | | | | |
| | ELECTRONICS/ELECTRIC 1.7% | |
| |
| | | | Evergreen Skills, | |
| | 4,052,596 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 04/28/2021 | | | | 3,738,540 | |
| |
| | | | GTT Communications, Inc., | |
| | 1,356,600 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.00% | # | | | 01/09/2024 | | | | 1,377,234 | |
| |
| | | | Informatica Corporation, | |
| | 1,942,707 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 08/05/2022 | | | | 1,935,578 | |
| |
| | | | ON Semiconductor Corporation, | |
| | 81,539 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.23% | # | | | 03/31/2023 | | | | 82,014 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,133,366 | |
| | | | | | | | | | | | | | | | |
| | ENERGY 3.1% | |
| |
| | | | Energy Transfer Equity LP, | |
| | 3,738,542 | | | Senior Secured 1st Lien Term Loan | | | 3.54% | # | | | 02/02/2024 | | | | 3,735,626 | |
| |
| | | | Foresight Energy LLC, | |
| | 2,770,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.75% | # | | | 03/16/2022 | | | | 2,705,944 | |
| |
| | | | Gavilan Resources LLC, | |
| | 925,000 | | | Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/01/2024 | | | | 916,906 | |
| |
| | | | Peabody Energy Corporation, | |
| | 3,725,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/31/2022 | | | | 3,731,519 | |
| |
| | | | Peabody Energy Corporation, | |
| | 2,000,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 09/24/2020 | | | | 2,039,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,129,495 | |
| | | | | | | | | | | | | | | | |
| | FINANCIAL INTERMEDIARIES 2.1% | |
| |
| | | | First Data Corporation, | |
| | 1,899,953 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.98% | # | | | 03/24/2021 | | | | 1,916,578 | |
| |
| | | | GTCR Valor Companies, Inc., | |
| | 2,982,488 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 7.15% | # | | | 06/16/2023 | | | | 3,002,605 | |
| |
| | | | Prime Security Services Borrower LLC, | |
| | 3,902,995 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 05/02/2022 | | | | 3,947,704 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,866,887 | |
| | | | | | | | | | | | | | | | |
| | FOOD PRODUCTS 3.1% | |
| |
| | | | Burger King Restaurant Brands, | |
| | 3,512,676 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.40% | # | | | 02/16/2024 | | | | 3,520,000 | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 3,166,382 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 2,993,814 | |
| | | | | | |
| 58 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Ferrara Candy Company, | |
| | 2,972,761 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.65% | # | | | 06/15/2023 | | | | 2,913,306 | |
| |
| | | | NBTY Inc., | |
| | 3,924,690 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 05/05/2023 | | | | 3,956,578 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,383,698 | |
| | | | | | | | | | | | | | | | |
| | FOOD/DRUG RETAILERS 0.9% | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 3,891,613 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.98% | # | | | 08/25/2021 | | | | 3,913,289 | |
| | | | | | | | | | | | | | | | |
| | HEALTH CARE PROVIDERS & SERVICES 1.9% | |
| |
| | | | Envision Healthcare Corporation, | |
| | 3,932,334 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.15% | # | | | 12/01/2023 | | | | 3,971,657 | |
| |
| | | | Team Health Holdings Inc., | |
| | 3,995,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 02/06/2024 | | | | 3,972,528 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,944,185 | |
| | | | | | | | | | | | | | | | |
| | HEALTHCARE 10.6% | |
| |
| | | | Acadia Healthcare Company, Inc., | |
| | 4,190,072 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.98% | # | | | 02/16/2023 | | | | 4,218,878 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 3,936,754 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 08/20/2019 | | | | 3,945,789 | |
| |
| | | | Change Healthcare Holdings LLC, | |
| | 1,820,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/01/2024 | | | | 1,825,123 | |
| |
| | | | CHG Healthcare, Inc., | |
| | 3,899,965 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.75% | # | | | 06/07/2023 | | | | 3,954,077 | |
| |
| | | | Community Health Systems, Inc., | |
| | 3,795,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.75% | # | | | 12/31/2019 | | | | 3,776,898 | |
| |
| | | | CPI Holdco LLC, | |
| | 1,885,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.15% | # | | | 03/24/2024 | | | | 1,900,316 | |
| |
| | | | DJO Finance LLC, | |
| | 4,018,567 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 06/08/2020 | | | | 3,898,854 | |
| |
| | | | Kinetic Concepts, Inc., | |
| | 1,130,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 02/02/2024 | | | | 1,132,475 | |
| |
| | | | MPH Acquisition Holdings LLC, | |
| | 3,628,678 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 06/07/2023 | | | | 3,679,861 | |
| |
| | | | Pharmaceutical Product Development LLC, | |
| | 3,949,787 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 08/18/2022 | | | | 3,967,680 | |
| |
| | | | Precyse Acquisition Corporation, | |
| | 2,375,171 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.50% | # | | | 10/20/2022 | | | | 2,391,512 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Select Medical Corporation, | |
| | 3,520,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 03/06/2024 | | | | 3,559,600 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 3,701,355 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 11/03/2020 | | | | 3,748,788 | |
| |
| | | | US Renal Care, Inc., | |
| | 3,675,500 | | | Senior Secured 1st Lien Term Loan | | | 5.40% | # | | | 12/30/2022 | | | | 3,458,407 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 45,458,258 | |
| | | | | | | | | | | | | | | | |
| | HOTELS/MOTELS/INNS AND CASINOS 2.2% | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 3,668,501 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/23/2022 | | | | 3,670,794 | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 1,985,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 2.25% | # | | | 03/15/2024 | | | | 1,985,000 | |
| |
| | | | Greektown Holdings LLC, | |
| | 2,815,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/21/2024 | | | | 2,819,405 | |
| |
| | | | Mohegan Tribal Gaming Authority, | |
| | 1,127,175 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/13/2023 | | | | 1,132,456 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,607,655 | |
| | | | | | | | | | | | | | | | |
| | INDUSTRIAL EQUIPMENT 3.5% | |
| |
| | | | Aspen Merger Sub, Inc., | |
| | 2,626,500 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 09/27/2023 | | | | 2,656,376 | |
| |
| | | | Columbus McKinnon Corporation, | |
| | 549,129 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 01/31/2024 | | | | 554,450 | |
| |
| | | | Filtration Group, Inc., | |
| | 3,923,073 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.30% | # | | | 11/23/2020 | | | | 3,958,636 | |
| |
| | | | Manitowoc Foodservice, Inc., | |
| | 898,816 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/03/2023 | | | | 909,678 | |
| |
| | | | Pike Corporation, | |
| | 925,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 03/08/2024 | | | | 936,563 | |
| |
| | | | Piscine US Acquisition LLC, | |
| | 3,721,963 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.65% | # | | | 12/20/2023 | | | | 3,754,530 | |
| |
| | | | Safway Group Holding LLC, | |
| | 2,189,636 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 08/18/2023 | | | | 2,216,667 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,986,900 | |
| | | | | | | | | | | | | | | | |
| | INSURANCE 2.4% | |
| |
| | | | Asurion LLC, | |
| | 1,638,530 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.23% | # | | | 07/08/2020 | | | | 1,651,163 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 59 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Lonestar Intermediate Super Holdings LLC, | |
| | 1,625,000 | | | Senior Unsecured Term Loan (PIK 10.75%) | | | 10.00% | # | | | 08/31/2021 | | | | 1,694,062 | |
| |
| | | | VF Holdings Corporation, | |
| | 3,651,518 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 06/30/2023 | | | | 3,674,340 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 3,227,906 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 10/01/2021 | | | | 3,156,295 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,175,860 | |
| | | | | | | | | | | | | | | | |
| | LEISURE 2.0% | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 3,139,799 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 06/17/2020 | | | | 3,169,251 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 3,730,185 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.55% | # | | | 03/31/2021 | | | | 3,752,342 | |
| |
| | | | Travel Leaders Group LLC, | |
| | 1,490,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Trance B | | | 6.23% | # | | | 01/25/2024 | | | | 1,512,357 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,433,950 | |
| | | | | | | | | | | | | | | | |
| | MEDIA 7.3% | |
| |
| | | | Cengage Learning, Inc., | |
| | 3,409,674 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 06/07/2023 | | | | 3,262,104 | |
| |
| | | | CSC Holdings LLC, | |
| | 3,710,525 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 10/11/2024 | | | | 3,709,375 | |
| |
| | | | McGraw-Hill Financial, Inc., | |
| | 2,182,864 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 05/04/2022 | | | | 2,163,917 | |
| |
| | | | Mission Broadcasting, Inc., | |
| | 336,189 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 01/17/2024 | | | | 339,551 | |
| |
| | | | Nexstar Broadcasting, Inc., | |
| | 3,467,675 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 01/17/2024 | | | | 3,502,351 | |
| |
| | | | RCN Corporation, | |
| | 3,935,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 02/01/2024 | | | | 3,960,145 | |
| |
| | | | Tribune Media Company, | |
| | 219,357 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 12/24/2020 | | | | 221,688 | |
| |
| | | | Tribune Media Company, | |
| | 2,740,854 | | | Guaranteed Senior Secured 1st Lien Term Loan, Trance C | | | 3.98% | # | | | 01/26/2024 | | | | 2,762,781 | |
| |
| | | | UFC Holdings LLC, | |
| | 3,688,258 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/18/2023 | | | | 3,712,951 | |
| |
| | | | Univision Communications, Inc., | |
| | 3,713,711 | | | Guaranteed Senior Secured 1st Lien Term Loan, Trance C5 | | | 3.75% | # | | | 03/15/2024 | | | | 3,696,294 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | WMG Acquisition Corporation, | |
| | 3,940,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/01/2023 | | | | 3,960,626 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 31,291,783 | |
| | | | | | | | | | | | | | | | |
| | MINING 1.0% | |
| |
| | | | Fairmount Minerals, | |
| | 1,925,013 | | | Guaranteed Senior Secured 1st Lien Term Loan, Trance B2 | | | 4.65% | # | | | 09/05/2019 | | | | 1,889,728 | |
| | | | |
| | | | Harsco Corporation, | | | | | | | | | | | | |
| | 2,304,713 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 11/02/2023 | | | | 2,342,164 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,231,892 | |
| | | | | | | | | | | | | | | | |
| | OIL & GAS 0.4% | |
| |
| | | | Western Refining, Inc., | |
| | 1,753,132 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 5.50% | # | | | 06/23/2023 | | | | 1,756,419 | |
| | | | | | | | | | | | | | | | |
| | PHARMACEUTICALS 0.4% | |
| |
| | | | Mallinckrodt International Finance S.A., | |
| | 890,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Trance B | | | 3.90% | # | | | 09/24/2024 | | | | 890,556 | |
| |
| | | | Vizient, Inc., | |
| | 1,038,238 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 02/13/2023 | | | | 1,047,972 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,938,528 | |
| | | | | | | | | | | | | | | | |
| | REAL ESTATE 0.9% | |
| |
| | | | Lightstone Holdco LLC, | |
| | 3,467,397 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.54% | # | | | 01/30/2024 | | | | 3,493,836 | |
| |
| | | | Lightstone Holdco LLC, | |
| | 213,913 | | | Senior Secured 1st Lien Term Loan, Tranche C | | | 5.54% | # | | | 01/30/2024 | | | | 215,544 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,709,380 | |
| | | | | | | | | | | | | | | | |
| | RETAILERS (OTHER THAN FOOD/DRUG) 5.4% | |
| |
| | | | Harbor Freight Tools USA, Inc., | |
| | 3,743,332 | | | Senior Secured 1st Lien Term Loan | | | 4.23% | # | | | 08/18/2023 | | | | 3,743,332 | |
| |
| | | | Jo-Ann Stores LLC, | |
| | 2,972,550 | | | Senior Secured 1st Lien Term Loan | | | 6.26% | # | | | 10/20/2023 | | | | 2,920,545 | |
| |
| | | | Leslie’s Poolmart, Inc., | |
| | 4,206,736 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.77% | # | | | 08/16/2023 | | | | 4,229,348 | |
| |
| | | | National Vision, Inc., | |
| | 4,121,728 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 4,127,314 | |
| |
| | | | Party City Holdings, Inc., | |
| | 3,958,154 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.86% | # | | | 08/19/2022 | | | | 3,954,967 | |
| |
| | | | Tumi Holdings, Inc., | |
| | 3,933,527 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 08/01/2023 | | | | 3,971,033 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 22,946,539 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 60 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | TECHNOLOGY 6.3% | |
| |
| | | | Compuware Corporation, | |
| | 3,938,125 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 5.25% | # | | | 12/15/2021 | | | | 3,954,370 | |
| |
| | | | Dell International, LLC, | |
| | 2,907,713 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.49% | # | | | 09/07/2023 | | | | 2,923,312 | |
| |
| | | | JDA Software Group, Inc., | |
| | 4,169,513 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/12/2023 | | | | 4,203,828 | |
| |
| | | | Micron Technology, Inc., | |
| | 2,194,497 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.73% | # | | | 04/26/2022 | | | | 2,210,616 | |
| |
| | | | Seahawk Holding Ltd., | |
| | 4,035,788 | | | Senior Secured 1st Lien Term Loan | | | 7.00% | # | | | 10/31/2022 | | | | 4,101,369 | |
| |
| | | | SolarWinds Holdings, Inc., | |
| | 3,765,238 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 02/03/2023 | | | | 3,773,013 | |
| |
| | | | Sophia LP, | |
| | 3,714,602 | | | Senior Secured 1st Lien Term Loan, Trance B | | | 4.40% | # | | | 09/30/2022 | | | | 3,718,670 | |
| |
| | | | Western Digital Corporation, | |
| | 2,209,537 | | | Guaranteed Senior Secured 1st Lien Term Loan, Trance B2 | | | 3.50% | # | | | 04/28/2023 | | | | 2,225,800 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 27,110,978 | |
| | | | | | | | | | | | | | | | |
| | TELECOMMUNICATIONS 3.8% | |
| |
| | | | Colorado Buyer, Inc., | |
| | 4,195,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/15/2024 | | | | 4,225,938 | |
| |
| | | | Genesy’s Telecommunications Laboratories, Inc., | |
| | 4,137,505 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.02% | # | | | 12/01/2023 | | | | 4,176,294 | |
| |
| | | | Hargray Corporation, | |
| | 470,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/22/2024 | | | | 472,202 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 3,300,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 02/22/2024 | | | | 3,309,619 | |
| |
| | | | Telesat Canada, | |
| | 3,892,844 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 4.15% | # | | | 11/17/2023 | | | | 3,931,772 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,115,825 | |
| | | | | | | | | | | | | | | | |
| | TRANSPORTATION 3.4% | |
| |
| | | | Americold Realty Trust, Inc., | |
| | 3,598,346 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 12/01/2022 | | | | 3,645,592 | |
| |
| | | | Kenan Advantage Group, Inc., | |
| | 3,157,597 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.00% | # | | | 08/01/2022 | | | | 3,166,470 | |
| |
| | | | PODS LLC, | |
| | 3,950,914 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.25% | # | | | 02/02/2022 | | | | 3,990,423 | |
| |
| | | | TKC Holdings, Inc., | |
| | 3,900,000 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 02/01/2023 | | | | 3,944,694 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,747,179 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | UTILITIES 0.9% | |
| |
| | | | EFS Cogen Holdings I LLC, | |
| | 3,671,610 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/28/2023 | | | | 3,711,942 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $391,475,084) | | | | 392,697,640 | |
| | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 0.7% | |
| | 1,000,000 | | | Madison Park Funding Ltd. | | | 6.48% | #^ | | | 01/27/2026 | | | | 998,009 | |
| | 1,000,000 | | | Octagon Investment Partners Ltd. | | | 7.23% | #^ | | | 03/17/2030 | | | | 995,426 | |
| | 1,000,000 | | | Venture Ltd. | | | 7.79% | #^ | | | 10/20/2028 | | | | 1,004,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $2,972,520) | | | | 2,997,935 | |
| | | | | | | | | |
| | FOREIGN CORPORATE BONDS 0.5% | |
| | |
| | CONTAINERS AND GLASS PRODUCTS 0.5% | |
| | 2,000,000 | | | Ardagh Packaging Finance, Inc. | | | 6.00% | ^ | | | 02/15/2025 | | | | 2,027,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $2,002,032) | | | | 2,027,500 | |
| | | | | | | | | |
| | US CORPORATE BONDS 3.5% | |
| | |
| | CONGLOMERATES 0.2% | |
| | 1,000,000 | | | Icahn Enterprises LP | | | 6.25% | ^ | | | 02/01/2022 | | | | 1,017,500 | |
| | | | | | | | | | | | | | | | |
| | FOOD PRODUCTS 0.5% | |
| | 1,035,000 | | | B&G Foods, Inc. | | | 5.25% | | | | 04/01/2025 | | | | 1,046,644 | |
| | 1,000,000 | | | Post Holdings, Inc. | | | 5.50% | ^ | | | 03/01/2025 | | | | 1,002,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,049,144 | |
| | | | | | | | | | | | | | | | |
| | FOOD/DRUG RETAILERS 0.2% | |
| | 1,010,000 | | | Albertson’s Holdings LLC | | | 5.75% | ^ | | | 03/15/2025 | | | | 982,225 | |
| | | | | | | | | | | | | | | | |
| | HEALTH CARE PROVIDERS & SERVICES 0.2% | |
| | 1,000,000 | | | Centene Corporation | | | 4.75% | | | | 01/15/2025 | | | | 1,008,130 | |
| | | | | | | | | | | | | | | | |
| | HEALTHCARE 0.2% | |
| | 1,000,000 | | | Universal Hospital Services, Inc. | | | 7.63% | | | | 08/15/2020 | | | | 1,000,000 | |
| | | | | | | | | | | | | | | | |
| | HOTELS/MOTELS/INNS AND CASINOS 0.2% | |
| | 950,000 | | | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 1,017,687 | |
| | | | | | | | | | | | | | | | |
| | LEISURE 0.4% | |
| | 1,330,000 | | | Six Flags Entertainment Corporation | | | 4.88% | ^ | | | 07/31/2024 | | | | 1,315,869 | |
| | 500,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 520,625 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,836,494 | |
| | | | | | | | | | | | | | | | |
| | MINING 0.1% | |
| | 405,000 | | | Cliffs Natural Resources, Inc. | | | 5.75% | ^ | | | 03/01/2025 | | | | 393,862 | |
| | | | | | | | | | | | | | | | |
| | OIL & GAS 0.5% | |
| | 1,000,000 | | | Sanchez Energy Corporation | | | 7.75% | | | | 06/15/2021 | | | | 992,500 | |
| | 1,000,000 | | | SM Energy Company | | | 5.00% | | | | 01/15/2024 | | | | 950,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,942,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 61 |
| | |
| Schedule of Investments DoubleLine Floating Rate Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/ SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | PHARMACEUTICALS 0.4% | |
| | 1,665,000 | | | inVentiv Group Holdings, Inc. | | | 7.50% | ^ | | | 10/01/2024 | | | | 1,721,194 | |
| | | | | | | | | | | | | | | | |
| | TELECOMMUNICATIONS 0.3% | |
| | 1,000,000 | | | Cincinnati Bell, Inc. | | | 7.00% | ^ | | | 07/15/2024 | | | | 1,051,250 | |
| | | | | | | | | | | | | | | | |
| | UTILITIES 0.3% | |
| | 1,000,000 | | | NGL Energy Finance Corporation | | | 7.50% | ^ | | | 11/01/2023 | | | | 1,037,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $15,094,141) | | | | | | | | 15,057,486 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 14.0% | |
| | 20,011,982 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 20,011,982 | |
| | 20,011,981 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 20,011,981 | |
| | 20,011,981 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 20,011,981 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $60,035,944) | | | | 60,035,944 | |
| | | | | | | | | |
| | | | Total Investments 110.5%
(Cost $471,579,721) | | | | | | | | 472,816,505 | |
| | | | Liabilities in Excess of Other Assets (10.5)% | | | | (44,812,638 | ) |
| | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 428,003,867 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
Bank Loans | | | 91.8% | |
Short Term Investments | | | 14.0% | |
US Corporate Bonds | | | 3.5% | |
Collateralized Loan Obligations | | | 0.7% | |
Foreign Corporate Bonds | | | 0.5% | |
Other Assets and Liabilities | | | (10.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $15,085,647 or 3.5% of net assets. |
| ¨ | Seven-day yield as of March 31, 2017 |
| ¥ | Illiquid security. At March 31, 2017, the value of these securities amounted to $3,765,041 or 0.9% of net assets. |
| PIK | A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings. |
| & | Unfunded or partially unfunded loan commitment. At March 31, 2017, the value of these securities amounted to $521,811 or 0.1% of net assets. |
| | | | | | |
| 62 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 6.0% | |
| |
| | | | Arcadia Receivables Credit Trust, | |
| | 9,411,065 | | | Series 2017-1-A | | | 3.25% | ^ | | | 06/15/2023 | | | | 9,445,444 | |
| |
| | | | AVANT Loans Funding Trust, | |
| | 115,345 | | | Series 2016-B-A | | | 3.92% | ^ | | | 08/15/2019 | | | | 115,759 | |
| |
| | | | Blue Elephant Loan Trust, | |
| | 23,073 | | | Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 23,133 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 764,661 | | | Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 765,146 | |
| |
| | | | Colony American Finance Ltd., | |
| | 986,574 | | | Series 2016-1-A | | | 2.54% | ^ | | | 06/15/2048 | | | | 969,946 | |
| |
| | | | Colony American Homes, | |
| | 3,000,000 | | | Series 2014-2A-E | | | 4.18% | #^ | | | 07/17/2031 | | | | 3,006,164 | |
| |
| | | | Colony Starwood Homes Trust, | |
| | 6,200,000 | | | Series 2016-2A-D | | | 3.29% | #^ | | | 12/17/2033 | | | | 6,235,102 | |
| |
| | | | Consumer Credit Origination Loan Trust, | |
| | 17,834 | | | Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 17,834 | |
| |
| | | | Consumer Installment Loan Trust, | |
| | 354,176 | | | Series 2016-LD1-A | | | 3.96% | ^ | | | 07/15/2022 | | | | 357,478 | |
| |
| | | | Flagship Credit Auto Trust, | |
| | 2,500,000 | | | Series 2016-3-B | | | 2.43% | ^ | | | 06/15/2021 | | | | 2,488,459 | |
| | 8,120,000 | | | Series 2016-4-C | | | 2.71% | ^ | | | 11/15/2022 | | | | 8,036,709 | |
| | 6,850,000 | | | Series 2017-1-C | | | 3.22% | ^ | | | 05/15/2023 | | | | 6,881,762 | |
| |
| | | | HERO Funding Trust, | |
| | 5,031,925 | | | Series 2016-1A-A | | | 4.05% | ^ | | | 09/20/2041 | | | | 5,089,002 | |
| |
| | | | Kabbage Asset Securitization LLC, | |
| | 15,000,000 | | | Series 2017-1-A | | | 4.57% | ^ | | | 03/15/2022 | | | | 15,394,035 | |
| |
| | | | LendingClub Issuance Trust, | |
| | 3,918,144 | | | Series 2016-NP2-A | | | 3.00% | ^ | | | 01/17/2023 | | | | 3,930,341 | |
| |
| | | | Mariner Finance Issuance Trust, | |
| | 5,000,000 | | | Series 2017-AA-A | | | 3.62% | ^ | | | 02/20/2029 | | | | 5,031,754 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 279,324 | | | Series 2015-AV2-A | | | 4.00% | ^ | | | 10/15/2021 | | | | 281,423 | |
| |
| | | | Mosaic Solar Loans LLC, | |
| | 3,467,602 | | | Series 2017-1A-A | | | 4.45% | ^ | | | 06/20/2042 | | | | 3,486,614 | |
| |
| | | | OneMain Direct Auto Receivables Trust, | |
| | 4,000,000 | | | Series 2016-1A-B | | | 2.76% | ^ | | | 05/15/2021 | | | | 4,010,123 | |
| |
| | | | OneMain Financial Issuance Trust, | |
| | 1,970,772 | | | Series 2014-1A-A | | | 2.43% | ^ | | | 06/18/2024 | | | | 1,971,301 | |
| |
| | | | Oportun Funding LLC, | |
| | 3,000,000 | | | Series 2016-B-A | | | 3.69% | ^ | | | 07/08/2021 | | | | 3,009,584 | |
| | 3,000,000 | | | Series 2016-C-A | | | 3.28% | ^ | | | 11/08/2021 | | | | 2,976,423 | |
| |
| | | | Progress Residential Trust, | |
| | 2,650,000 | | | Series 2016-SFR1-C | | | 3.44% | #^ | | | 09/17/2033 | | | | 2,686,859 | |
| | 3,000,000 | | | Series 2016-SFR2-D | | | 3.44% | #^ | | | 01/17/2034 | | | | 3,008,643 | |
| |
| | | | SCF Equipment Leasing LLC, | |
| | 4,880,182 | | | Series 2017-1A-A | | | 3.77% | ^ | | | 01/20/2023 | | | | 4,875,447 | |
| |
| | | | Sierra Timeshare Receivables Funding LLC, | |
| | 7,883,933 | | | Series 2016-3A-A | | | 2.43% | ^ | | | 10/20/2033 | | | | 7,801,942 | |
| |
| | | | SLM Private Credit Student Loan Trust, | |
| | 9,000,000 | | | Series 2006-A-A5 | | | 1.42% | # | | | 06/15/2039 | | | | 8,467,643 | |
| |
| | | | SoFi Consumer Loan Program LLC, | |
| | 2,273,485 | | | Series 2016-1-A | | | 3.26% | ^ | | | 08/25/2025 | | | | 2,271,862 | |
| | 2,594,494 | | | Series 2016-3-A | | | 3.05% | ^ | | | 12/26/2025 | | | | 2,599,198 | |
| |
| | | | SoFi Consumer Loan Program Trust, | |
| | 1,521,310 | | | Series 2016-2-A | | | 3.09% | ^ | | | 10/27/2025 | | | | 1,524,421 | |
| | 9,386,837 | | | Series 2017-1-A | | | 3.28% | ^ | | | 01/26/2026 | | | | 9,443,830 | |
| | 5,000,000 | | | Series 2017-2-A | | | 3.28% | ^ | | | 02/25/2026 | | | | 5,006,256 | |
| |
| | | | SoFi Professional Loan Program, | |
| | 5,000,000 | | | Series 2017-A-A2B | | | 2.40% | ^ | | | 03/26/2040 | | | | 4,924,352 | |
| |
| | | | SpringCastle America Funding LLC, | |
| | 4,345,793 | | | Series 2016-AA-A | | | 3.05% | ^ | | | 04/25/2029 | | | | 4,381,211 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Springleaf Funding Trust, | |
| | 9,000,000 | | | Series 2016-AA-A | | | 2.90% | ^ | | | 11/15/2029 | | | | 9,055,711 | |
| |
| | | | Spruce Asset Backed Securities Trust, | |
| | 2,203,483 | | | Series 2016-E1-A | | | 4.32% | ^ | | | 06/15/2028 | | | | 2,177,751 | |
| |
| | | | TAL Advantage LLC, | |
| | 24,100,000 | | | Series 2017-1A-A | | | 4.50% | ^ | | | 04/20/2042 | | | | 24,392,360 | |
| |
| | | | Westlake Automobile Receivables Trust, | |
| | 1,000,000 | | | Series 2016-2A-B | | | 2.30% | ^ | | | 11/15/2019 | | | | 1,002,877 | |
| | 14,000,000 | | | Series 2017-1A-C | | | 2.70% | ^ | | | 10/17/2022 | | | | 14,037,901 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $190,329,918) | | | | 191,181,800 | |
| | | | | | | | | |
| | BANK LOANS 5.7% | |
| |
| | | | Acadia Healthcare Company, Inc., | |
| | 2,241,764 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.98% | # | | | 02/16/2023 | | | | 2,257,176 | |
| |
| | | | AdvancePierre Foods, Inc., | |
| | 1,988,489 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/02/2023 | | | | 2,015,990 | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 2,009,605 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.98% | # | | | 08/25/2021 | | | | 2,020,799 | |
| |
| | | | AlixPartners LLP, | |
| | 1,515,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 07/28/2022 | | | | 1,522,174 | |
| |
| | | | AlixPartners LLP, | |
| | 1,015,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 03/28/2024 | | | | 1,021,344 | |
| |
| | | | Alpha 3 B.V., | |
| | 1,855,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.04% | # | | | 01/31/2024 | | | | 1,861,966 | |
| |
| | | | American Axle & Manufacturing, Inc., | |
| | 180,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.41% | # | | | 03/08/2024 | | | | 180,169 | |
| |
| | | | American Renal Holdings, Inc., | |
| | 2,020,828 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 08/20/2019 | | | | 2,025,466 | |
| |
| | | | American Tire Distributors, Inc., | |
| | 2,218,017 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.40% | # | | | 09/01/2021 | | | | 2,225,991 | |
| |
| | | | Americold Realty Trust, Inc., | |
| | 1,847,598 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.78% | # | | | 12/01/2022 | | | | 1,871,857 | |
| |
| | | | Aspen Merger Sub, Inc., | |
| | 944,050 | | | Senior Secured 1st Lien Term Loan | | | 5.40% | # | | | 09/27/2023 | | | | 954,789 | |
| |
| | | | Asurion LLC, | |
| | 826,137 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.39% | # | | | 07/08/2020 | | | | 832,506 | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 86,465 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan | | | 5.12% | #& | | | 03/08/2024 | | | | 87,185 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 63 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 2,053,535 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 03/08/2024 | | | | 2,070,652 | |
| |
| | | | B/E Aerospace, Inc., | |
| | 354,091 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.04% | # | | | 12/16/2021 | | | | 354,534 | |
| |
| | | | Berry Plastics Corporation, | |
| | 528,590 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche I | | | 3.48% | # | | | 10/01/2022 | | | | 532,610 | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 1,620,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 02/02/2024 | | | | 1,586,442 | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 212,000 | | | Senior Secured 2nd Lien Term Loan | | | 8.50% | # | | | 02/03/2025 | | | | 207,442 | |
| |
| | | | Bright Bidco BV, | |
| | 1,330,000 | | | Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/15/2024 | | | | 1,341,079 | |
| |
| | | | Burger King Restaurant Brands, | |
| | 1,792,328 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.40% | # | | | 02/16/2024 | | | | 1,796,065 | |
| |
| | | | Capital Automotive LP, | |
| | 200,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/24/2025 | | | | 202,688 | |
| |
| | | | Capital Automotive LP, | |
| | 1,260,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/25/2024 | | | | 1,274,175 | |
| |
| | | | Cengage Learning, Inc., | |
| | 1,687,080 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 06/07/2023 | | | | 1,614,063 | |
| |
| | | | Ceva Group PLC, | |
| | 56,268 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 49,375 | |
| |
| | | | Ceva Group PLC, | |
| | 318,226 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 0.90% | # | | | 03/19/2021 | | | | 279,243 | |
| |
| | | | Ceva Group PLC, | |
| | 450,145 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 395,002 | |
| |
| | | | Ceva Intercompany BV, | |
| | 326,355 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 286,376 | |
| |
| | | | CH Hold Corporation, | |
| | 1,931,818 | | | Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 02/01/2024 | | | | 1,948,316 | |
| |
| | | | CH Hold Corporation, | |
| | 193,182 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 3.00% | #& | | | 02/01/2024 | | | | 194,832 | |
| |
| | | | Change Healthcare Holdings LLC, | |
| | 2,060,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/01/2024 | | | | 2,065,799 | |
| |
| | | | Charter Communications Operating LLC, | |
| | 521,482 | | | Guaranteed Senior Secured 1st Lien Term Loan Tranche I | | | 3.23% | # | | | 01/15/2024 | | | | 524,598 | |
| | | | |
| | | | CHG Healthcare, Inc., | | | | | | | | | | | | |
| | 1,983,675 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.75% | # | | | 06/07/2023 | | | | 2,011,199 | |
| | | | |
| | | | Chill Merger Sub Inc., | | | | | | | | | | | | |
| | 550,000 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 03/20/2024 | | | | 556,187 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | | | |
| | | | Colorado Buyer, Inc., | | | | | | | | | | | | |
| | 2,055,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/15/2024 | | | | 2,070,156 | |
| |
| | | | Columbus McKinnon Corporation, | |
| | 72,893 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 01/31/2024 | | | | 73,600 | |
| |
| | | | Community Health Systems Inc., | |
| | 1,990,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.75% | # | | | 12/31/2019 | | | | 1,980,508 | |
| | | | |
| | | | Compuware Corporation, | | | | | | | | | | | | |
| | 2,008,688 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 5.25% | # | | | 12/15/2021 | | | | 2,016,973 | |
| | | | |
| | | | CPI Holdco LLC, | | | | | | | | | | | | |
| | 930,000 | | | Senior Secured 1st Lien Term Loan | | | 5.15% | # | | | 03/24/2024 | | | | 937,556 | |
| | | | |
| | | | CSC Holdings LLC, | | | | | | | | | | | | |
| | 1,211,363 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 10/11/2024 | | | | 1,210,988 | |
| | | | |
| | | | CSC Holdings LLC, | | | | | | | | | | | | |
| | 695,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.30% | # | | | 07/15/2025 | | | | 695,434 | |
| | | | |
| | | | CSM Bakery Supplies LLC, | | | | | | | | | | | | |
| | 1,706,753 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 1,613,735 | |
| | | | |
| | | | Dell International, LLC, | | | | | | | | | | | | |
| | 1,474,200 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.49% | # | | | 09/07/2023 | | | | 1,482,109 | |
| | | | |
| | | | DJO Finance LLC, | | | | | | | | | | | | |
| | 2,092,620 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 06/08/2020 | | | | 2,030,281 | |
| | | | |
| | | | EFS Cogen Holdings I LLC, | | | | | | | | | | | | |
| | 1,959,250 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/28/2023 | | | | 1,980,772 | |
| | | | |
| | | | Eldorado Resorts, Inc., | | | | | | | | | | | | |
| | 485,071 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 07/23/2022 | | | | 485,374 | |
| | | | |
| | | | Eldorado Resorts, Inc., | | | | | | | | | | | | |
| | 1,045,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 2.25% | # | | | 03/15/2024 | | | | 1,045,000 | |
| |
| | | | Emerald Expositions Holdings, Inc., | |
| | 596,716 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 06/17/2020 | | | | 602,313 | |
| | | | |
| | | | Energy Transfer Equity LP, | | | | | | | | | | | | |
| | 1,975,405 | | | Senior Secured 1st Lien Term Loan | | | 3.73% | # | | | 02/02/2024 | | | | 1,973,865 | |
| | | | |
| | | | Envision Healthcare Corporation, | | | | | | | | | | | | |
| | 2,012,269 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.15% | # | | | 12/01/2023 | | | | 2,032,392 | |
| | | | |
| | | | Equinox Holdings, Inc., | | | | | | | | | | | | |
| | 2,070,000 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 03/08/2024 | | | | 2,088,123 | |
| | | | |
| | | | Fairmount Minerals, | | | | | | | | | | | | |
| | 1,034,289 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.65% | # | | | 09/05/2019 | | | | 1,015,331 | |
| | | | | | |
| 64 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 2,088,681 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 2,084,285 | |
| | | | |
| | | | Ferrara Candy Company, | | | | | | | | | | | | |
| | 372,324 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.65% | # | | | 06/15/2023 | | | | 364,878 | |
| | | | |
| | | | Filtration Group, Inc., | | | | | | | | | | | | |
| | 2,000,571 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.30% | # | | | 11/23/2020 | | | | 2,018,706 | |
| | | | |
| | | | First Data Corporation, | | | | | | | | | | | | |
| | 1,014,388 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.98% | # | | | 03/24/2021 | | | | 1,023,263 | |
| | | | |
| | | | Foresight Energy LLC, | | | | | | | | | | | | |
| | 1,455,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.75% | # | | | 03/16/2022 | | | | 1,421,353 | |
| | | | |
| | | | Galleria Company, | | | | | | | | | | | | |
| | 1,975,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 09/29/2023 | | | | 1,994,750 | |
| | | | |
| | | | Gates Global LLC, | | | | | | | | | | | | |
| | 1,995,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 07/05/2021 | | | | 2,001,115 | |
| | | | |
| | | | Gavilan Resources LLC, | | | | | | | | | | | | |
| | 480,000 | | | Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/01/2024 | | | | 475,800 | |
| |
| | | | Genesy’s Telecommunications Laboratories, Inc., | |
| | 2,219,027 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.02% | # | | | 12/01/2023 | | | | 2,239,830 | |
| | | | |
| | | | Greektown Holdings LLC, | | | | | | | | | | | | |
| | 1,385,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/21/2024 | | | | 1,387,168 | |
| |
| | | | GTCR Valor Companies, Inc., | |
| | 971,927 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 7.15% | # | | | 06/16/2023 | | | | 978,483 | |
| | | | |
| | | | GTT Communications, | | | | | | | | | | | | |
| | 159,600 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 01/09/2024 | | | | 162,028 | |
| | | | |
| | | | Harbor Freight Tools USA, Inc., | | | | | | | | | | | | |
| | 517,899 | | | Senior Secured 1st Lien Term Loan | | | 4.23% | # | | | 08/18/2023 | | | | 517,899 | |
| | | | |
| | | | Hargray Corporation, | | | | | | | | | | | | |
| | 230,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/22/2024 | | | | 231,078 | |
| | | | |
| | | | Harsco Corporation, | | | | | | | | | | | | |
| | 1,154,013 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 11/02/2023 | | | | 1,172,765 | |
| | | | |
| | | | HCA Inc., | | | | | | | | | | | | |
| | 99,750 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B8 | | | 3.23% | # | | | 02/15/2024 | | | | 100,694 | |
| |
| | | | Huntsman International LLC, | |
| | 1,996,380 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 04/01/2023 | | | | 2,017,182 | |
| | | | |
| | | | Ineos US Finance LLC, | | | | | | | | | | | | |
| | 54,863 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 04/01/2024 | | | | 55,231 | |
| | | | |
| | | | Informatica Corporation, | | | | | | | | | | | | |
| | 1,015,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 08/05/2022 | | | | 1,011,275 | |
| | | | |
| | | | JDA Software Group, Inc., | | | | | | | | | | | | |
| | 2,239,025 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/12/2023 | | | | 2,257,452 | |
| | | | |
| | | | Jeld-Wen, Inc., | | | | | | | | | | | | |
| | 2,001,236 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 07/01/2022 | | | | 2,017,906 | |
| | | | |
| | | | Jo-Ann Stores LLC, | | | | | | | | | | | | |
| | 1,269,438 | | | Senior Secured 1st Lien Term Loan | | | 6.26% | # | | | 10/20/2023 | | | | 1,247,229 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | | | |
| | | | Kenan Advantage Group, | | | | | | | | | | | | |
| | 1,509,646 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.00% | # | | | 08/01/2022 | | | | 1,513,888 | |
| |
| | | | KIK Custom Products, Inc., | |
| | 609,272 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.65% | # | | | 08/26/2022 | | | | 618,664 | |
| | | | |
| | | | Kinetic Concepts, Inc., | | | | | | | | | | | | |
| | 155,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 02/02/2024 | | | | 155,339 | |
| | | | |
| | | | Kraton Polymers LLC, | | | | | | | | | | | | |
| | 797,246 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 01/06/2022 | | | | 806,047 | |
| | | | |
| | | | Kronos, Inc., | | | | | | | | | | | | |
| | 1,985,025 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.03% | # | | | 11/01/2023 | | | | 1,998,781 | |
| | | | |
| | | | Leslie’s Poolmart, Inc., | | | | | | | | | | | | |
| | 2,247,786 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.77% | # | | | 08/16/2023 | | | | 2,259,868 | |
| | | | |
| | | | Level 3 Financing, Inc., | | | | | | | | | | | | |
| | 1,695,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 02/22/2024 | | | | 1,699,941 | |
| | | | |
| | | | Lifetime Fitness, | | | | | | | | | | | | |
| | 1,995,197 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/10/2022 | | | | 2,002,928 | |
| | | | |
| | | | Lightstone Holdco LLC, | | | | | | | | | | | | |
| | 549,709 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.54% | # | | | 01/30/2024 | | | | 553,901 | |
| | | | |
| | | | Lightstone Holdco LLC, | | | | | | | | | | | | |
| | 33,913 | | | Senior Secured 1st Lien Term Loan, Tranche C | | | 5.54% | # | | | 01/30/2024 | | | | 34,172 | |
| |
| | | | Lonestar Intermediate Super Holdings LLC, | |
| | 205,000 | | | Senior Unsecured Term Loan (PIK 10.75%) | | | 10.00% | # | | | 08/31/2021 | | | | 213,712 | |
| |
| | | | Mallinckrodt International Finance S.A., | |
| | 130,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.90% | # | | | 09/24/2024 | | | | 130,081 | |
| |
| | | | Manitowoc Foodservice, Inc., | |
| | 260,878 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/03/2023 | | | | 264,031 | |
| |
| | | | McGraw Hill Financial, Inc., | |
| | 1,091,239 | | | Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 05/04/2022 | | | | 1,081,767 | |
| |
| | | | MGM Growth Properties LP, | |
| | 555,768 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.48% | # | | | 04/25/2023 | | | | 559,241 | |
| | | | |
| | | | Micron Technology, Inc., | | | | | | | | | | | | |
| | 397,995 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.73% | # | | | 04/26/2022 | | | | 400,918 | |
| | | | |
| | | | Milacron, | | | | | | | | | | | | |
| | 1,868,575 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 09/28/2023 | | | | 1,881,431 | |
| |
| | | | Mission Broadcasting, Inc., | |
| | 48,931 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 01/17/2024 | | | | 49,420 | |
| |
| | | | Mitchell International, Inc., | |
| | 85,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 8.54% | # | | | 10/11/2021 | | | | 85,532 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 65 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Mohegan Tribal Gaming Authority, | |
| | 129,675 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.50% | # | | | 10/13/2023 | | | | 130,283 | |
| |
| | | | MPH Acquisition Holdings LLC, | |
| | 1,843,590 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 06/07/2023 | | | | 1,869,593 | |
| | | | |
| | | | National Vision, Inc., | | | | | | | | | | | | |
| | 2,045,291 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 2,048,062 | |
| | | | |
| | | | NBTY Inc., | | | | | | | | | | | | |
| | 2,061,354 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 05/05/2023 | | | | 2,078,102 | |
| |
| | | | Nexstar Broadcasting, Inc., | |
| | 511,069 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 01/17/2024 | | | | 516,180 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 1,975,903 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.55% | # | | | 03/31/2021 | | | | 1,987,640 | |
| |
| | | | Party City Holdings, Inc., | |
| | 2,072,987 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.03% | # | | | 08/19/2022 | | | | 2,071,318 | |
| |
| | | | Peabody Energy Corporation, | |
| | 1,970,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/31/2022 | | | | 1,973,447 | |
| |
| | | | Pharmaceutical Product Development LLC, | |
| | 2,035,020 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 08/18/2022 | | | | 2,044,239 | |
| | | | |
| | | | Pike Corporation, | | | | | | | | | | | | |
| | 135,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 03/08/2024 | | | | 136,687 | |
| |
| | | | Piscine US Acquisition LLC, | |
| | 1,884,038 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.65% | # | | | 12/20/2023 | | | | 1,900,523 | |
| | | | |
| | | | PODS LLC, | | | | | | | | | | | | |
| | 2,011,295 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.25% | # | | | 02/02/2022 | | | | 2,031,408 | |
| | | | |
| | | | PQ Corporation, | | | | | | | | | | | | |
| | 2,055,346 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.29% | # | | | 11/04/2022 | | | | 2,083,237 | |
| |
| | | | Precyse Acquisition Corporation, | |
| | 1,069,158 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.50% | # | | | 10/20/2022 | | | | 1,076,514 | |
| |
| | | | Prime Security Services Borrower LLC, | |
| | 2,002,565 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 05/02/2022 | | | | 2,025,504 | |
| | | | |
| | | | RCN Corporation, | | | | | | | | | | | | |
| | 2,030,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.98% | # | | | 02/01/2024 | | | | 2,042,972 | |
| | | | |
| | | | RentPath LLC, | | | | | | | | | | | | |
| | 2,033,001 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.25% | #¥ | | | 12/17/2021 | | | | 2,006,735 | |
| |
| | | | Revlon Consumer Products Corporation, | |
| | 2,064,704 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.48% | # | | | 09/07/2023 | | | | 2,067,863 | |
| |
| | | | Reynolds Group, | |
| | 2,042,611 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 02/03/2023 | | | | 2,052,937 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Sabre GLBL Inc., | |
| | 45,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 02/22/2024 | | | | 45,422 | |
| |
| | | | Safway Group Holding LLC, | |
| | 1,183,100 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 08/18/2023 | | | | 1,197,705 | |
| |
| | | | Scientific Games International, Inc., | |
| | 930,752 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 4.85% | # | | | 10/01/2021 | | | | 943,769 | |
| |
| | | | Seahawk Holding Ltd., | |
| | 2,058,675 | | | Senior Secured 1st Lien Term Loan | | | 7.00% | # | | | 10/31/2022 | | | | 2,092,128 | |
| |
| | | | Select Medical Corporation, | |
| | 1,800,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 03/06/2024 | | | | 1,820,250 | |
| |
| | | | Skillsoft | |
| | 2,064,668 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 04/28/2021 | | | | 1,904,666 | |
| |
| | | | Solarwinds Holdings, Inc., | |
| | 2,062,324 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 02/03/2023 | | | | 2,066,582 | |
| |
| | | | Solenis International LP, | |
| | 344,692 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.80% | # | | | 07/29/2022 | | | | 342,000 | |
| |
| | | | Solenis International LP, | |
| | 97,022 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.30% | # | | | 07/31/2021 | | | | 97,499 | |
| |
| | | | Solera LLC, | |
| | 2,081,113 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/03/2023 | | | | 2,094,266 | |
| |
| | | | Sophia LP, | |
| | 2,046,118 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 09/30/2022 | | | | 2,048,359 | |
| |
| | | | SRS Distribution, Inc., | |
| | 110,242 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 5.29% | # | | | 08/25/2022 | | | | 111,919 | |
| |
| | | | Summit Materials LLC, | |
| | 1,849,880 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/18/2022 | | | | 1,867,999 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 614,297 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 11/03/2020 | | | | 622,169 | |
| |
| | | | Team Health Holdings Inc., | |
| | 2,055,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 02/06/2024 | | | | 2,043,441 | |
| |
| | | | Telesat Canada, | |
| | 1,994,077 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 4.15% | # | | | 11/17/2023 | | | | 2,014,018 | |
| |
| | | | TKC Holdings, | |
| | 1,980,000 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 02/01/2023 | | | | 2,002,691 | |
| |
| | | | TransDigm, Inc., | |
| | 2,002,312 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche F | | | 3.98% | # | | | 06/09/2023 | | | | 1,996,985 | |
| |
| | | | Travel Leaders Group LLC, | |
| | 200,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.23% | # | | | 01/25/2024 | | | | 203,001 | |
| | | | | | |
| 66 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Tribune Media Company, | |
| | 36,241 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 12/24/2020 | | | | 36,626 | |
| |
| | | | Tribune Media, | |
| | 452,828 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.98% | # | | | 01/26/2024 | | | | 456,451 | |
| |
| | | | Tumi Holdings, Inc., | |
| | 2,006,341 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 08/01/2023 | | | | 2,025,472 | |
| |
| | | | UFC Holdings LLC, | |
| | 1,902,887 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/18/2023 | | | | 1,915,626 | |
| |
| | | | Univar USA, Inc., | |
| | 2,066,211 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/01/2022 | | | | 2,073,639 | |
| |
| | | | Univision Communications, Inc., | |
| | 507,689 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C5 | | | 3.75% | # | | | 03/15/2024 | | | | 505,308 | |
| |
| | | | US Renal Care, Inc., | |
| | 1,901,470 | | | Senior Secured 1st Lien Term Loan | | | 5.40% | # | | | 12/30/2022 | | | | 1,789,160 | |
| |
| | | | USAGM HoldCo LLC, | |
| | 1,935,484 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 07/28/2022 | | | | 1,948,490 | |
| |
| | | | VF Holdings Corporation, | |
| | 1,872,498 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 06/30/2023 | | | | 1,884,201 | |
| |
| | | | Vizient, Inc., | |
| | 170,978 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 02/13/2023 | | | | 172,581 | |
| |
| | | | Western Digital Corporation, | |
| | 1,168,050 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 04/28/2023 | | | | 1,176,647 | |
| |
| | | | Western Refining, Inc., | |
| | 226,206 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 5.50% | # | | | 06/23/2023 | | | | 226,630 | |
| |
| | | | WMG Acquisition Corporation, | |
| | 2,035,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/01/2023 | | | | 2,045,653 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 1,732,216 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 10/01/2021 | | | | 1,693,787 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $182,463,855) | | | | 182,201,015 | |
| | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 10.9% | |
| |
| | | | Adams Mill Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 2.50% | #^ | | | 07/15/2026 | | | | 1,001,776 | |
| | 250,000 | | | Series 2014-1A-D1 | | | 4.52% | #^ | | | 07/15/2026 | | | | 247,500 | |
| |
| | | | ALM LLC, | |
| | 3,935,000 | | | Series 2014-14A-A1 | | | 2.47% | #^ | | | 07/28/2026 | | | | 3,938,935 | |
| | 5,000,000 | | | Series 2016-19A-A1 | | | 2.57% | #^ | | | 07/15/2028 | | | | 5,055,000 | |
| | 2,500,000 | | | Series 2016-19A-A2 | | | 3.22% | #^ | | | 07/15/2028 | | | | 2,527,464 | |
| |
| | | | Anchorage Capital Ltd., | |
| | 10,000,000 | | | Series 2012-1A-A2R | | | 3.12% | #^ | | | 01/13/2027 | | | | 10,055,702 | |
| | 1,600,000 | | | Series 2014-4A-A1A | | | 2.49% | #^ | | | 07/28/2026 | | | | 1,607,420 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Apidos Ltd., | |
| | 2,000,000 | | | Series 2013-16A-A1 | | | 2.47% | #^ | | | 01/19/2025 | | | | 2,003,117 | |
| | 10,000,000 | | | Series 2014-18A-A1 | | | 2.45% | #^ | | | 07/22/2026 | | | | 10,020,175 | |
| | 1,000,000 | | | Series 2015-20A-A1R | | | 2.35% | #^ | | | 01/16/2027 | | | | 1,003,010 | |
| | 5,000,000 | | | Series 2016-24A-A2 | | | 3.03% | #^ | | | 07/20/2027 | | | | 5,025,135 | |
| |
| | | | Arrowpoint Ltd., | |
| | 4,500,000 | | | Series 2013-1A-A1R | | | 2.35% | #^ | | | 11/15/2028 | | | | 4,519,776 | |
| | 2,410,000 | | | Series 2014-2A-A1L | | | 2.62% | #^ | | | 03/12/2026 | | | | 2,418,934 | |
| |
| | | | Avery Point Ltd., | |
| | 250,000 | | | Series 2013-2A-D | | | 4.47% | #^ | | | 07/17/2025 | | | | 248,714 | |
| | 6,000,000 | | | Series 2013-3A-A | | | 2.42% | #^ | | | 01/18/2025 | | | | 6,003,290 | |
| | 500,000 | | | Series 2014-1A-C | | | 4.14% | #^ | | | 04/25/2026 | | | | 501,251 | |
| |
| | | | Babson Ltd., | |
| | 20,000,000 | | | Series 2014-3A-AR | | | 2.30% | #^ | | | 01/15/2026 | | | | 20,075,000 | |
| | 500,000 | | | Series 2014-3A-D2 | | | 5.17% | #^ | | | 01/15/2026 | | | | 502,656 | |
| | 2,500,000 | | | Series 2015-2A-D | | | 4.83% | #^ | | | 07/20/2027 | | | | 2,507,500 | |
| |
| | | | Betony Ltd., | |
| | 1,000,000 | | | Series 2015-1A-D | | | 4.62% | #^ | | | 04/15/2027 | | | | 990,734 | |
| |
| | | | BlueMountain Ltd., | |
| | 447,106 | | | Series 2012-1A-A | | | 2.35% | #^ | | | 07/20/2023 | | | | 447,608 | |
| | 2,500,000 | | | Series 2013-1A-A1R | | | 2.43% | #^ | | | 01/20/2029 | | | | 2,512,760 | |
| | 2,500,000 | | | Series 2013-4A-A | | | 2.52% | #^ | | | 04/15/2025 | | | | 2,506,305 | |
| | 4,000,000 | | | Series 2015-3A-A1 | | | 2.51% | #^ | | | 10/20/2027 | | | | 4,018,000 | |
| |
| | | | Canyon Capital Ltd., | |
| | 4,500,000 | | | Series 2006-1A-D | | | 2.73% | #^ | | | 12/15/2020 | | | | 4,436,778 | |
| | 1,500,000 | | | Series 2014-1A-B | | | 3.69% | #^ | | | 04/30/2025 | | | | 1,503,810 | |
| | 5,800,000 | | | Series 2016-2A-B | | | 2.79% | #^ | | | 10/15/2028 | | | | 5,795,752 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 3,129,462 | | | Series 2012-2A-A1R | | | 2.33% | #^ | | | 07/20/2023 | | | | 3,132,470 | |
| | 2,000,000 | | | Series 2015-1A-A | | | 2.56% | #^ | | | 04/20/2027 | | | | 2,001,719 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 818,670 | | | Series 2007-10A-A1 | | | 1.25% | #^ | | | 04/19/2022 | | | | 819,718 | |
| | 503,074 | | | Series 2007-10A-A2A | | | 1.24% | #^ | | | 04/19/2022 | | | | 503,379 | |
| |
| | | | Catamaran Ltd., | |
| | 250,000 | | | Series 2014-1A-B | | | 3.68% | #^ | | | 04/20/2026 | | | | 248,783 | |
| | 2,000,000 | | | Series 2015-1A-A | | | 2.59% | #^ | | | 04/22/2027 | | | | 2,012,609 | |
| | 1,000,000 | | | Series 2015-1A-B | | | 3.24% | #^ | | | 04/22/2027 | | | | 1,002,433 | |
| |
| | | | Cent Ltd., | |
| | 1,000,000 | | | Series 2014-21A-A1AR | | | 0.00% | #^ | | | 07/27/2026 | | | | 1,000,227 | |
| | 2,750,000 | | | Series 2006-12A-D | | | 2.45% | #^ | | | 11/18/2020 | | | | 2,702,558 | |
| | 1,000,000 | | | Series 2013-19A-A1A | | | 2.37% | #^ | | | 10/29/2025 | | | | 1,001,105 | |
| | 250,000 | | | Series 2014-22A-C | | | 4.78% | #^ | | | 11/07/2026 | | | | 250,066 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 8,750,000 | | | Series 2014-31A-A | | | 2.37% | #^ | | | 04/18/2026 | | | | 8,752,625 | |
| | 1,000,000 | | | Series 2014-31A-B | | | 2.92% | #^ | | | 04/18/2026 | | | | 1,000,000 | |
| |
| | | | Eaton Vance Ltd., | |
| | 570,298 | | | Series 2006-8A-A | | | 1.29% | #^ | | | 08/15/2022 | | | | 569,294 | |
| | 2,500,000 | | | Series 2006-8A-B | | | 1.69% | #^ | | | 08/15/2022 | | | | 2,490,444 | |
| |
| | | | Flatiron Ltd., | |
| | 250,000 | | | Series 2014-1A-C | | | 4.32% | #^ | | | 07/17/2026 | | | | 245,919 | |
| |
| | | | Franklin Ltd., | |
| | 1,674,496 | | | Series 2007-6A-A | | | 1.27% | #^ | | | 08/09/2019 | | | | 1,673,799 | |
| |
| | | | Galaxy Ltd., | |
| | 500,000 | | | Series 2014-18A-D1 | | | 4.72% | #^ | | | 10/15/2026 | | | | 495,001 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 500,000 | | | Series 2012-1X-A2 | | | 3.54% | # | | | 08/15/2023 | | | | 502,458 | |
| | 500,000 | | | Series 2013-2A-C | | | 3.73% | #^ | | | 08/01/2025 | | | | 503,066 | |
| | 250,000 | | | Series 2013-2A-D | | | 4.83% | #^ | | | 08/01/2025 | | | | 251,222 | |
| | 500,000 | | | Series 2014-2A-C | | | 4.54% | #^ | | | 04/28/2025 | | | | 489,069 | |
| |
| | | | Hildene Ltd., | |
| | 20,000,000 | | | Series 2014-2A-AR | | | 0.00% | #^ | | | 07/19/2026 | | | | 20,000,000 | |
| | 3,000,000 | | | Series 2015-4A-A1A | | | 2.54% | #^ | | | 07/23/2027 | | | | 3,018,266 | |
| |
| | | | Jamestown Ltd., | |
| | 5,000,000 | | | Series 2013-3A-A1A | | | 2.47% | #^ | | | 01/15/2026 | | | | 5,016,531 | |
| | 3,000,000 | | | Series 2014-4A-A1A | | | 2.52% | #^ | | | 07/15/2026 | | | | 3,001,453 | |
| | 1,000,000 | | | Series 2015-6A-A1A | | | 2.65% | #^ | | | 02/20/2027 | | | | 1,001,062 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 67 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | LCM LP, | |
| | 10,000,000 | | | Series 14A-A | | | 2.17% | #^ | | | 07/15/2025 | | | | 10,004,839 | |
| | 500,000 | | | Series 14A-D | | | 4.52% | #^ | | | 07/15/2025 | | | | 502,543 | |
| | 500,000 | | | Series 15A-C | | | 4.15% | #^ | | | 08/25/2024 | | | | 500,573 | |
| | 250,000 | | | Series 16A-D | | | 4.62% | #^ | | | 07/15/2026 | | | | 251,725 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 10,000,000 | | | Series 2013-11A-A2 | | | 2.34% | #^ | | | 10/23/2025 | | | | 10,004,959 | |
| | 250,000 | | | Series 2014-14A-C1 | | | 4.13% | #^ | | | 07/20/2026 | | | | 250,068 | |
| | 1,000,000 | | | Series 2014-14A-D | | | 4.63% | #^ | | | 07/20/2026 | | | | 1,008,651 | |
| | 1,000,000 | | | Series 2014-15A-CR | | | 4.49% | #^ | | | 01/27/2026 | | | | 1,007,654 | |
| |
| | | | Magnetite Ltd., | |
| | 1,000,000 | | | Series 2014-11A-C | | | 4.62% | #^ | | | 01/18/2027 | | | | 1,008,475 | |
| |
| | | | Marathon Ltd., | |
| | 8,625,000 | | | Series 2017-9A-A2 | | | 0.00% | #^ | | | 04/15/2029 | | | | 8,633,752 | |
| |
| | | | MP Ltd., | |
| | 10,000,000 | | | Series 2014-1A-AR | | | 2.21% | #^ | | | 07/18/2026 | | | | 10,019,505 | |
| | 5,000,000 | | | Series 2014-2A-AR | | | 2.16% | #^ | | | 01/15/2027 | | | | 5,000,000 | |
| |
| | | | North End Ltd., | |
| | 500,000 | | | Series 2013-1A-C | | | 3.77% | #^ | | | 07/17/2025 | | | | 500,474 | |
| | 250,000 | | | Series 2013-1A-D | | | 4.52% | #^ | | | 07/17/2025 | | | | 248,091 | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 955,315 | | | Series 2012-1A-AR | | | 2.30% | #^ | | | 05/05/2023 | | | | 956,416 | |
| | 3,750,000 | | | Series 2013-1A-A | | | 2.14% | #^ | | | 07/17/2025 | | | | 3,757,753 | |
| | 1,000,000 | | | Series 2014-1A-A | | | 2.52% | #^ | | | 11/25/2025 | | | | 1,003,715 | |
| | 750,000 | | | Series 2014-1A-C | | | 4.69% | #^ | | | 11/14/2026 | | | | 753,063 | |
| |
| | | | OZLM Ltd., | |
| | 1,000,000 | | | Series 2015-11A-A1A | | | 2.59% | #^ | | | 01/30/2027 | | | | 1,002,760 | |
| |
| | | | Palmer Square Ltd., | |
| | 3,000,000 | | | Series 2013-2A-A1B | | | 3.12% | ^ | | | 10/17/2025 | | | | 3,000,000 | |
| |
| | | | Primus Ltd., | |
| | 2,000,000 | | | Series 2007-2A-D | | | 3.42% | #^ | | | 07/15/2021 | | | | 1,995,439 | |
| | | | |
| | | | Race Point Ltd., | | | | | | | | | | | | |
| | 250,000 | | | Series 2012-6A-CR | | | 4.16% | #^ | | | 05/24/2023 | | | | 251,779 | |
| | 250,000 | | | Series 2012-6A-DR | | | 5.16% | #^ | | | 05/24/2023 | | | | 250,444 | |
| | | | |
| | | | Regatta Funding Ltd., | | | | | | | | | | | | |
| | 500,000 | | | Series 2014-1A-A1A | | | 2.60% | #^ | | | 10/25/2026 | | | | 500,000 | |
| | | | |
| | | | Silverado Ltd., | | | | | | | | | | | | |
| | 144,127 | | | Series 2006-2A-A1 | | | 1.26% | #^ | | | 10/16/2020 | | | | 144,274 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 1,944,000 | | | Series 2014-1A-A1 | | | 2.54% | #^ | | | 10/30/2026 | | | | 1,947,447 | |
| | | | |
| | | | Steele Creek Ltd., | | | | | | | | | | | | |
| | 20,000,000 | | | Series 2014-1A-A1R | | | 2.37% | #^ | | | 08/21/2026 | | | | 19,999,516 | |
| | | | |
| | | | Stewart Park Ltd., | | | | | | | | | | | | |
| | 5,000,000 | | | Series 2015-1A-B | | | 3.02% | #^ | | | 04/15/2026 | | | | 5,027,252 | |
| | | | |
| | | | Symphony Ltd., | | | | | | | | | | | | |
| | 3,327,719 | | | Series 2012-8A-AR | | | 2.11% | #^ | | | 01/09/2023 | | | | 3,336,725 | |
| | 2,000,000 | | | Series 2013-11A-A | | | 2.32% | #^ | | | 01/17/2025 | | | | 2,004,790 | |
| | 1,500,000 | | | Series 2013-11A-B1 | | | 3.22% | #^ | | | 01/17/2025 | | | | 1,501,102 | |
| | 1,500,000 | | | Series 2013-11A-C | | | 4.17% | #^ | | | 01/17/2025 | | | | 1,502,846 | |
| | | | |
| | | | TCI-Cent Ltd., | | | | | | | | | | | | |
| | 3,500,000 | | | Series 2016-1A-A1 | | | 2.64% | #^ | | | 12/21/2029 | | | | 3,528,635 | |
| | 6,000,000 | | | Series 2016-1A-A2 | | | 3.32% | #^ | | | 12/21/2029 | | | | 6,067,354 | |
| |
| | | | TCI-Flatiron Ltd, | |
| | 2,000,000 | | | Series 2016-1A-B | | | 3.22% | #^ | | | 07/17/2028 | | | | 2,032,339 | |
| | | | |
| | | | Venture Ltd., | | | | | | | | | | | | |
| | 395,750 | | | Series 2007-8A-A2A | | | 1.26% | #^ | | | 07/22/2021 | | | | 395,201 | |
| | 4,000,000 | | | Series 2007-8A-C | | | 1.94% | #^ | | | 07/22/2021 | | | | 3,910,526 | |
| | 887,305 | | | Series 2012-11A-AR | | | 2.34% | #^ | | | 11/14/2022 | | | | 888,414 | |
| | 500,000 | | | Series 2013-14A-B1 | | | 2.90% | #^ | | | 08/28/2025 | | | | 500,423 | |
| | 17,620,000 | | | Series 2014-16A-A1L | | | 2.52% | #^ | | | 04/15/2026 | | | | 17,620,000 | |
| | 6,000,000 | | | Series 2014-17A-A | | | 2.50% | #^ | | | 07/15/2026 | | | | 6,003,455 | |
| | 4,000,000 | | | Series 2014-18A-A | | | 2.47% | #^ | | | 10/15/2026 | | | | 4,002,100 | |
| | 6,000,000 | | | Series 2014-18A-B | | | 2.92% | #^ | | | 10/15/2026 | | | | 6,022,604 | |
| |
| | | | Vibrant Ltd., | |
| | 5,000,000 | | | Series 2015-3A-A1R | | | 2.51% | #^ | | | 04/20/2026 | | | | 5,002,120 | |
| | 3,500,000 | | | Series 2016-5A-B | | | 3.10% | #^ | | | 01/20/2029 | | | | 3,499,575 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | | | |
| | | | Voya Ltd., | | | | | | | | | | | | |
| | 551,557 | | | Series 2006-3A-B | | | 1.70% | #^ | | | 12/13/2020 | | | | 552,809 | |
| | 6,250,000 | | | Series 2013-2A-A1 | | | 2.19% | #^ | | | 04/25/2025 | | | | 6,257,968 | |
| | 3,060,000 | | | Series 2014-4A-A1 | | | 2.52% | #^ | | | 10/14/2026 | | | | 3,069,961 | |
| | | | |
| | | | WhiteHorse Ltd., | | | | | | | | | | | | |
| | 6,150,000 | | | Series 2014-1A-A | | | 2.53% | #^ | | | 05/01/2026 | | | | 6,126,701 | |
| | | | |
| | | | Wind River Ltd., | | | | | | | | | | | | |
| | 4,600,000 | | | Series 2013-1A-A1 | | | 2.18% | #^ | | | 04/20/2025 | | | | 4,604,229 | |
| | 5,000,000 | | | Series 2016-1A-C | | | 3.37% | #^ | | | 07/15/2028 | | | | 5,059,551 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $346,704,253) | | | | 348,179,973 | |
| | | | | | | | | |
| | FOREIGN CORPORATE BONDS 8.2% | |
| | 2,500,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 3.50% | | | | 07/29/2020 | | | | 2,519,470 | |
| | 2,488,462 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 2,668,875 | |
| | 1,000,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 1,058,229 | |
| | 200,000 | | | Agromercantil Senior Trust | | | 6.25% | ^ | | | 04/10/2019 | | | | 207,500 | |
| | 1,000,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 1,037,500 | |
| | 5,200,000 | | | America Movil SAB de CV | | | 3.13% | | | | 07/16/2022 | | | | 5,251,300 | |
| | 4,685,000 | | | AstraZeneca PLC | | | 1.75% | | | | 11/16/2018 | | | | 4,687,417 | |
| | 800,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 796,800 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 199,200 | |
| | 2,500,000 | | | Axiata SPV2 BHD | | | 3.47% | | | | 11/19/2020 | | | | 2,562,642 | |
| | 500,000 | | | Banco Davivienda S.A. | | | 2.95% | | | | 01/29/2018 | | | | 503,750 | |
| | 2,600,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 2,647,606 | |
| | 200,000 | | | Banco de Credito del Peru | | | 2.25% | ^ | | | 10/25/2019 | | | | 198,750 | |
| | 6,500,000 | | | Banco de Credito del Peru | | | 4.25% | | | | 04/01/2023 | | | | 6,760,000 | |
| | 4,500,000 | | | Banco del Estado de Chile | | | 3.88% | | | | 02/08/2022 | | | | 4,674,304 | |
| | 1,500,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 1,503,750 | |
| | 2,000,000 | | | Banco Latinoamericano do Comercio Exterior S.A. | | | 3.25% | | | | 05/07/2020 | | | | 2,022,000 | |
| | 400,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | #^ | | | 08/11/2026 | | | | 393,000 | |
| | 5,600,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | # | | | 08/11/2026 | | | | 5,502,000 | |
| | 1,500,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 1,521,720 | |
| | 1,000,000 | | | Banco Nacional de Costa Rica | | | 5.88% | | | | 04/25/2021 | | | | 1,018,750 | |
| | 600,000 | | | Banco Regional SAECA | | | 8.13% | | | | 01/24/2019 | | | | 641,940 | |
| | 3,920,000 | | | Banco Santander | | | 3.88% | | | | 09/20/2022 | | | | 4,069,445 | |
| | 4,100,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 4,253,750 | |
| | 500,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 540,650 | |
| | 2,395,000 | | | Bank of Montreal | | | 1.50% | | | | 07/18/2019 | | | | 2,370,729 | |
| | 2,725,000 | | | Bank of Montreal | | | 2.10% | | | | 12/12/2019 | | | | 2,738,184 | |
| | 1,000,000 | | | BBVA Banco Continental S.A. | | | 3.25% | | | | 04/08/2018 | | | | 1,015,200 | |
| | 4,000,000 | | | BBVA Banco Continental S.A. | | | 5.00% | | | | 08/26/2022 | | | | 4,290,000 | |
| | 2,650,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 2,650,000 | |
| | 5,000,000 | | | Bharat Petroleum Corporation Ltd. | | | 4.63% | | | | 10/25/2022 | | | | 5,334,000 | |
| | 5,560,000 | | | BP Capital Markets PLC | | | 1.68% | | | | 05/03/2019 | | | | 5,533,807 | |
| | 136,000 | | | BP Capital Markets PLC | | | 2.32% | | | | 02/13/2020 | | | | 137,177 | |
| | 2,055,000 | | | British Telecommunications PLC | | | 5.95% | | | | 01/15/2018 | | | | 2,123,053 | |
| | | | | | |
| 68 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 50,000 | | | Camposol S.A. | | | 10.50% | ^ | | | 07/15/2021 | | | | 52,875 | |
| | 300,000 | | | Celulosa Arauco y Constitucion S.A. | | | 7.25% | | | | 07/29/2019 | | | | 330,915 | |
| | 1,250,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.00% | | | | 01/21/2021 | | | | 1,324,584 | |
| | 2,500,000 | | | Celulosa Arauco y Constitucion S.A. | | | 4.75% | | | | 01/11/2022 | | | | 2,624,101 | |
| | 2,500,000 | | | CK Hutchison International Ltd. | | | 2.88% | ^ | | | 04/05/2022 | | | | 2,502,788 | |
| | 3,500,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 3,490,582 | |
| | 3,000,000 | | | CNOOC Finance Ltd. | | | 3.88% | | | | 05/02/2022 | | | | 3,099,390 | |
| | 1,000,000 | | | CNPC General Capital Ltd. | | | 2.75% | | | | 05/14/2019 | | | | 1,010,698 | |
| | 5,000,000 | | | CNPC General Capital Ltd. | | | 3.95% | | | | 04/19/2022 | | | | 5,204,071 | |
| | 2,000,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 2,172,632 | |
| | 5,500,000 | | | Comision Federal de Electricidad | | | 4.88% | | | | 05/26/2021 | | | | 5,781,875 | |
| | 3,620,000 | | | Commonwealth Bank of Australia | | | 2.25% | ^ | | | 03/10/2020 | | | | 3,623,566 | |
| | 700,000 | | | Corpbanca S.A. | | | 3.88% | | | | 09/22/2019 | | | | 723,062 | |
| | 500,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 481,245 | |
| | 500,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | ^ | | | 07/15/2019 | | | | 509,150 | |
| | 300,000 | | | Corporacion Financiera de Desarrollo S.A. | | | 3.25% | | | | 07/15/2019 | | | | 305,490 | |
| | 4,000,000 | | | Corporacion Financiera de Desarrolo S.A. | | | 4.75% | | | | 02/08/2022 | | | | 4,265,000 | |
| | 700,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/29/2049 | | | | 705,250 | |
| | 880,000 | | | Covidien International Finance S.A. | | | 6.00% | | | | 10/15/2017 | | | | 901,380 | |
| | 1,100,000 | | | DBS Bank Ltd. | | | 3.63% | # | | | 09/21/2022 | | | | 1,108,428 | |
| | 5,500,000 | | | DBS Group Holdings Ltd. | | | 3.60% | #† | | | 12/29/2049 | | | | 5,418,639 | |
| | 200,000 | | | Delek & Avner Tamar Bond Ltd. | | | 3.84% | ^ | | | 12/30/2018 | | | | 203,775 | |
| | 3,800,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 3,942,500 | |
| | 900,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 777,033 | |
| | 800,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 626,000 | |
| | 2,500,000 | | | E.CL S.A. | | | 5.63% | | | | 01/15/2021 | | | | 2,713,824 | |
| | 1,500,000 | | | Empresa de Energia de Bogota S.A. | | | 6.13% | | | | 11/10/2021 | | | | 1,548,750 | |
| | 800,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 898,880 | |
| | 2,138,373 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 2,213,216 | |
| | 4,000,000 | | | Export-Import Bank of India | | | 3.13% | | | | 07/20/2021 | | | | 4,035,304 | |
| | 2,000,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 2,035,000 | |
| | 1,500,000 | | | Fondo Mivivienda S.A. | | | 3.50% | | | | 01/31/2023 | | | | 1,515,000 | |
| | 2,500,000 | | | Fondo Mivivienda S.A. | | | 3.50% | ^ | | | 01/31/2023 | | | | 2,525,000 | |
| | 400,000 | | | Global Bank Corporation | | | 5.13% | | | | 10/30/2019 | | | | 412,200 | |
| | 200,000 | | | Global Bank Corporation | | | 5.13% | ^ | | | 10/30/2019 | | | | 206,100 | |
| | 4,500,000 | | | Global Bank Corporation | | | 4.50% | | | | 10/20/2021 | | | | 4,468,500 | |
| | 700,000 | | | Global Bank Corporation | | | 4.50% | ^ | | | 10/20/2021 | | | | 695,100 | |
| | 200,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 201,250 | |
| | 900,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 936,000 | |
| | 1,300,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 1,152,125 | |
| | 583,057 | | | Guanay Finance Ltd. | | | 6.00% | ^ | | | 12/15/2020 | | | | 601,277 | |
| | 1,360,465 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 1,402,980 | |
| | 2,000,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 2,011,400 | |
| | 3,000,000 | | | Indian Oil Corporation, Ltd. | | | 5.63% | | | | 08/02/2021 | | | | 3,295,518 | |
| | 300,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 309,000 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 206,000 | |
| | 1,200,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 1,268,904 | |
| | 543,819 | | | Interoceanica Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 533,622 | |
| | 1,100,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 1,116,644 | |
| | 4,100,000 | | | Inversiones CMPC S.A. | | | 4.50% | | | | 04/25/2022 | | | | 4,238,578 | |
| | 1,700,000 | | | IOI Investment BHD | | | 4.38% | | | | 06/27/2022 | | | | 1,758,222 | |
| | 800,000 | | | Israel Electric Corporation Ltd. | | | 2.98% | # | | | 01/17/2018 | | | | 801,483 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,500,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 1,561,500 | |
| | 1,500,000 | | | Kia Motors Corporation | | | 2.63% | ^ | | | 04/21/2021 | | | | 1,490,275 | |
| | 700,000 | | | Korea Development Bank | | | 2.50% | | | | 01/13/2021 | | | | 697,234 | |
| | 5,000,000 | | | Korea Development Bank | | | 2.63% | | | | 02/27/2022 | | | | 4,982,495 | |
| | 1,500,000 | | | Malayan Banking BHD | | | 3.25% | # | | | 09/20/2022 | | | | 1,505,475 | |
| | 4,855,000 | | | Medtronic Global Holdings SCA | | | 1.70% | | | | 03/28/2019 | | | | 4,854,024 | |
| | 400,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 420,000 | |
| | 2,404,000 | | | Nacional Financiera S.N.C. | | | 3.38% | | | | 11/05/2020 | | | | 2,444,868 | |
| | 200,000 | | | OAS Investments GMBH | | | 8.25% | W | | | 10/19/2019 | | | | 9,000 | |
| | 150,000 | | | Odebrecht Finance Ltd. | | | 7.50% | † | | | 09/29/2049 | | | | 56,813 | |
| | 2,500,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 2,539,375 | |
| | 4,000,000 | | | ONGC Videsh Ltd. | | | 2.88% | | | | 01/27/2022 | | | | 3,922,064 | |
| | 1,000,000 | | | Ooredoo Tamweel Ltd. | | | 3.04% | | | | 12/03/2018 | | | | 1,015,740 | |
| | 3,610,000 | | | Orange S.A. | | | 2.75% | | | | 02/06/2019 | | | | 3,653,695 | |
| | 450,000 | | | Orange S.A. | | | 5.38% | | | | 07/08/2019 | | | | 481,788 | |
| | 2,200,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 2,261,532 | |
| | 693,922 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 682,680 | |
| | 500,000 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 06/02/2025 | | | | 411,460 | |
| | 400,000 | | | Petrobras Global Finance B.V. | | | 6.13% | | | | 01/17/2022 | | | | 420,400 | |
| | 4,000,000 | | | Petronas Capital Ltd. | | | 3.13% | | | | 03/18/2022 | | | | 4,037,032 | |
| | 2,200,000 | | | Petronas Global Sukuk Ltd. | | | 2.71% | | | | 03/18/2020 | | | | 2,219,067 | |
| | 320,400 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 338,163 | |
| | 250,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 265,293 | |
| | 5,500,000 | | | Reliance Holdings, Inc. | | | 5.40% | | | | 02/14/2022 | | | | 6,007,337 | |
| | 2,990,000 | | | Royal Bank of Canada | | | 2.00% | | | | 12/10/2018 | | | | 3,001,595 | |
| | 2,135,000 | | | Royal Bank of Canada | | | 1.50% | | | | 07/29/2019 | | | | 2,113,644 | |
| | 3,015,000 | | | Shire Acquisitions Investments Ireland DAC | | | 1.90% | | | | 09/23/2019 | | | | 2,992,746 | |
| | 500,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | ^ | | | 04/28/2020 | | | | 498,055 | |
| | 500,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | | | | 04/28/2020 | | | | 498,055 | |
| | 2,000,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 05/03/2021 | | | | 1,987,390 | |
| | 500,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.00% | ^ | | | 09/29/2021 | | | | 480,648 | |
| | 2,500,000 | | | Sinopec Group Overseas Development Ltd. | | | 3.90% | | | | 05/17/2022 | | | | 2,590,058 | |
| | 1,400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 1,449,000 | |
| | 4,000,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 4,080,068 | |
| | 2,200,000 | | | Tencent Holdings Ltd. | | | 2.88% | | | | 02/11/2020 | | | | 2,223,397 | |
| | 300,000 | | | Tencent Holdings Ltd. | | | 2.88% | ^ | | | 02/11/2020 | | | | 303,190 | |
| | 1,330,000 | | | Teva Pharmaceutical Finance Netherlands B.V. | | | 1.70% | | | | 07/19/2019 | | | | 1,315,450 | |
| | 4,210,000 | | | Toronto Dominion Bank | | | 1.75% | | | | 07/23/2018 | | | | 4,220,083 | |
| | 200,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 200,000 | |
| | 700,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 691,250 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 69 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 1,400,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 1,428,322 | |
| | 5,000,000 | | | United Overseas Bank Ltd. | | | 3.50% | # | | | 09/16/2026 | | | | 5,023,180 | |
| | 600,000 | | | Want Want China Finance Ltd. | | | 1.88% | ^ | | | 05/14/2018 | | | | 597,612 | |
| | 775,000 | | | Westpac Banking Corporation | | | 1.95% | | | | 11/23/2018 | | | | 776,517 | |
| | 2,030,000 | | | Westpac Banking Corporation | | | 1.60% | | | | 08/19/2019 | | | | 2,008,835 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $262,154,703) | | | | 262,473,809 | |
| | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 1.5% |
|
| | 3,500,000 | | | Brazilian Government International Bond | | | 4.88% | | | | 01/22/2021 | | | | 3,692,500 | |
| | 3,500,000 | | | Chile Government International Bond | | | 2.25% | | | | 10/30/2022 | | | | 3,437,525 | |
| | 965,000 | | | Costa Rica Government International Bond | | | 10.00% | | | | 08/01/2020 | | | | 1,135,612 | |
| | 437,191 | | | Dominican Republic International Bond | | | 9.04% | | | | 01/23/2018 | | | | 453,174 | |
| | 4,000,000 | | | Dominican Republic International Bond | | | 7.50% | | | | 05/06/2021 | | | | 4,430,000 | |
| | 2,800,000 | | | Guatemala Government Bond | | | 5.75% | | | | 06/06/2022 | | | | 3,079,524 | |
| | 500,000 | | | Hungary Government International Bond | | | 4.00% | | | | 03/25/2019 | | | | 519,361 | |
| | 2,900,000 | | | Indonesia Government International Bond | | | 4.88% | | | | 05/05/2021 | | | | 3,106,144 | |
| | 900,000 | | | Indonesia Government International Bond | | | 3.70% | ^ | | | 01/08/2022 | | | | 919,453 | |
| | 1,100,000 | | | Indonesia Government International Bond | | | 3.70% | | | | 01/08/2022 | | | | 1,123,777 | |
| | 8,500,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 8,835,750 | |
| | 3,000,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 3,247,500 | |
| | 1,800,000 | | | Perusahaan Penerbit SBSN | | | 6.13% | | | | 03/15/2019 | | | | 1,932,840 | |
| | 6,000,000 | | | Qatar Government International Bond | | | 2.38% | | | | 06/02/2021 | | | | 5,940,510 | |
| | 3,500,000 | | | Republic of Chile | | | 3.25% | | | | 09/14/2021 | | | | 3,627,750 | |
| | 2,500,000 | | | Republic of Poland Government International Bond | | | 5.13% | | | | 04/21/2021 | | | | 2,741,700 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $48,009,950) | | | | 48,223,120 | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| NON-AGENCY COMMERCIAL MORTGAGE BACKED
OBLIGATIONS 11.8% |
|
| | | | |
| | | | A10 LLC, | | | | | | | | | | | | |
| | 2,328,000 | | | Series 2016-1-A1 | | | 2.42% | ^ | | | 03/15/2035 | | | | 2,312,505 | |
| |
| | | | Americold 2010 LLC Trust, | |
| | 1,080,000 | | | Series 2010-ARTA-C | | | 6.81% | ^ | | | 01/14/2029 | | | | 1,206,768 | |
| | | | |
| | | | Arbor Realty Ltd., | | | | | | | | | | | | |
| | 404,000 | | | Series 2016-FL1A-B | | | 3.86% | #^ | | | 09/15/2026 | | | | 410,578 | |
| |
| | | | BAMLL Commercial Mortgage Securities Trust, | |
| | 200,000 | | | Series 2014-IP-E | | | 2.72% | #^ | | | 06/15/2028 | | | | 197,406 | |
| | 30,000,000 | | | Series 2015-200P-XA | | | 0.38% | #^ I/O | | | 04/14/2033 | | | | 852,627 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 500,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 510,266 | |
| | 2,675,243 | | | Series 2010-UB3-A4B2 | | | 5.88% | #^ | | | 05/15/2046 | | | | 2,673,324 | |
| |
| | | | Barclays Commercial Mortgage Securities LLC, | |
| | 57,941,914 | | | Series 2017-C1-XA | | | 1.53% | # I/O | | | 02/15/2050 | | | | 6,532,313 | |
| | 6,786,000 | | | Series 2014-BXO-E | | | 3.33% | #^ | | | 08/15/2027 | | | | 6,773,032 | |
| | | | |
| | | | BB-UBS Trust, | | | | | | | | | | | | |
| | 7,538,000 | | | Series 2012-TFT-TE | | | 3.56% | #^ | | | 06/05/2030 | | | | 6,957,327 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities Trust, | |
| | 2,614,813 | | | Series 2007-PW17-A4 | | | 5.69% | # | | | 06/11/2050 | | | | 2,633,587 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 25,407 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 25,384 | |
| | 2,438,442 | | | Series 2007-PW18-A4 | | | 5.70% | | | | 06/11/2050 | | | | 2,467,884 | |
| | 500,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 480,460 | |
| |
| | | | BXHTL Mortgage Trust, | |
| | 1,055,000 | | | Series 2015-JWRZ-A | | | 2.14% | #^ | | | 05/15/2029 | | | | 1,058,143 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 68,505,899 | | | Series 2017-CD3-XA | | | 1.05% | # I/O | | | 02/10/2050 | | | | 5,433,408 | |
| |
| | | | CFCRE Commercial Mortgage Trust, | |
| | 22,068,863 | | | Series 2016-C3-XA | | | 1.09% | # I/O | | | 01/10/2048 | | | | 1,579,014 | |
| | 38,784,649 | | | Series 2016-C4-XA | | | 1.77% | # I/O | | | 05/10/2058 | | | | 4,444,275 | |
| | | | |
| | | | CGCMT Trust, | | | | | | | | | | | | |
| | 3,222,000 | | | Series 2010-RR2-JA4B | | | 6.07% | #^ | | | 02/19/2051 | | | | 3,266,195 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 933,000 | | | Series 2007-C6-AM | | | 5.78% | # | | | 12/10/2049 | | | | 945,418 | |
| | 1,500,000 | | | Series 2007-C6-AMFX | | | 5.78% | #^ | | | 12/10/2049 | | | | 1,507,843 | |
| | 1,510,000 | | | Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 1,540,369 | |
| | 8,110,000 | | | Series 2014-GC25-XA | | | 1.06% | # I/O | | | 10/10/2047 | | | | 505,260 | |
| | 1,430,000 | | | Series 2015-GC27-D | | | 4.43% | #^ | | | 02/10/2048 | | | | 1,150,703 | |
| | 5,899,996 | | | Series 2015-GC27-XA | | | 1.43% | # I/O | | | 02/10/2048 | | | | 492,645 | |
| | 1,750,000 | | | Series 2015-GC31-C | | | 4.06% | # | | | 06/10/2048 | | | | 1,677,880 | |
| | 20,004,363 | | | Series 2016-GC36-XA | | | 1.35% | # I/O | | | 02/10/2049 | | | | 1,757,069 | |
| | 14,464,809 | | | Series 2016-P3-XA | | | 1.71% | # I/O | | | 04/15/2049 | | | | 1,605,971 | |
| | 17,984,652 | | | Series 2016-P4-XA | | | 2.01% | # I/O | | | 07/10/2049 | | | | 2,336,023 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 6,020,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 6,087,725 | |
| | 350,000 | | | Series 2007-C3-AM | | | 5.88% | # | | | 05/15/2046 | | | | 355,872 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 2,305,000 | | | Series 2012-CR4-C | | | 4.44% | #^ | | | 10/15/2045 | | | | 2,258,186 | |
| | 5,636,000 | | | Series 2012-CR4-D | | | 4.57% | #^ | | | 10/15/2045 | | | | 5,143,323 | |
| | 30,317,094 | | | Series 2013-CC12-XA | | | 1.35% | # I/O | | | 10/10/2046 | | | | 1,795,130 | |
| | 10,163,067 | | | Series 2013-CR10-XA | | | 0.92% | # I/O | | | 08/10/2046 | | | | 361,723 | |
| | 8,870,000 | | | Series 2013-CR11-D | | | 5.17% | #^ | | | 08/10/2050 | | | | 8,369,748 | |
| | 7,526,000 | | | Series 2013-LC13-D | | | 5.04% | #^ | | | 08/10/2046 | | | | 7,220,295 | |
| | 3,157,881 | | | Series 2014-CR17-XA | | | 1.16% | # I/O | | | 05/10/2047 | | | | 168,940 | |
| | 300,000 | | | Series 2014-CR19-C | | | 4.72% | # | | | 08/10/2047 | | | | 305,552 | |
| | 500,000 | | | Series 2014-CR20-C | | | 4.51% | # | | | 11/10/2047 | | | | 492,820 | |
| | 110,000 | | | Series 2014-TWC-C | | | 2.73% | #^ | | | 02/13/2032 | | | | 110,562 | |
| | 1,500,000 | | | Series 2015-CR22-D | | | 4.13% | #^ | | | 03/10/2048 | | | | 1,208,204 | |
| | 22,173,538 | | | Series 2015-CR22-XA | | | 1.01% | # I/O | | | 03/10/2048 | | | | 1,180,912 | |
| | 1,500,000 | | | Series 2015-CR23-D | | | 4.26% | # | | | 05/10/2048 | | | | 1,141,195 | |
| | 1,386,000 | | | Series 2015-CR25-C | | | 4.55% | # | | | 08/10/2048 | | | | 1,363,843 | |
| | 43,220,193 | | | Series 2015-CR27-XA | | | 1.16% | # I/O | | | 10/13/2048 | | | | 2,792,081 | |
| | 1,000,000 | | | Series 2015-DC1-D | | | 4.35% | #^ | | | 02/10/2048 | | | | 818,341 | |
| | 12,340,690 | | | Series 2015-DC1-XA | | | 1.17% | # I/O | | | 02/10/2048 | | | | 749,472 | |
| | 1,470,000 | | | Series 2015-LC23-C | | | 4.65% | # | | | 10/10/2048 | | | | 1,447,193 | |
| | | | | | |
| 70 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, (Cont.) | |
| | 1,966,000 | | | Series 2016-CR28-C | | | 4.65% | # | | | 02/10/2049 | | | | 1,918,113 | |
| | 17,784,101 | | | Series 2016-DC2-XA | | | 1.07% | # I/O | | | 02/10/2049 | | | | 1,226,066 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 680,139 | | | Series 2007-MF1-A | | | 6.21% | #^ | | | 11/12/2043 | | | | 683,914 | |
| |
| | | | Credit Suisse Commercial Mortgage Trust, | |
| | 2,696,875 | | | Series 2007-C1-AM | | | 5.42% | | | | 02/15/2040 | | | | 2,692,463 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 72,990 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 73,275 | |
| | 328,457 | | | Series 2007-C2-AMFL | | | 1.17% | # | | | 01/15/2049 | | | | 328,327 | |
| | 3,274,000 | | | Series 2007-C4-A1AM | | | 5.96% | # | | | 09/15/2039 | | | | 3,295,187 | |
| | 2,230,603 | | | Series 2007-C5-A4 | | | 5.70% | # | | | 09/15/2040 | | | | 2,240,571 | |
| | 2,180,000 | | | Series 2008-C1-AM | | | 6.06% | #^ | | | 02/15/2041 | | | | 2,219,345 | |
| | 10,092,000 | | | Series 2014-USA-X1 | | | 0.55% | #^ I/O | | | 09/15/2037 | | | | 379,371 | |
| | 1,500,000 | | | Series 2015-SAND-D | | | 3.76% | #^ | | | 08/15/2030 | | | | 1,507,662 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 30,624,315 | | | Series 2015-C1-XA | | | 0.95% | # I/O | | | 04/15/2050 | | | | 1,666,226 | |
| | 4,781,352 | | | Series 2016-C6-XA | | | 1.81% | # I/O | | | 01/15/2049 | | | | 545,142 | |
| |
| | | | Deutsche Bank Commercial Mortgage Trust, | |
| | 19,588,771 | | | Series 2016-C1-XA | | | 1.50% | # I/O | | | 05/10/2049 | | | | 1,986,417 | |
| | | | |
| | | | FORT CRE LLC, | | | | | | | | | | | | |
| | 2,438,000 | | | Series 2016-1A-B | | | 3.53% | #^ | | | 05/21/2036 | | | | 2,472,442 | |
| |
| | | | GE Commercial Mortgage Corporation Trust, | |
| | 1,499,300 | | | Series 2007-C1-AM | | | 5.61% | # | | | 12/10/2049 | | | | 1,491,834 | |
| |
| | | | GMAC Commercial Mortgage Securities Trust, | |
| | 2,488,000 | | | Series 2004-C3-D | | | 5.04% | # | | | 12/10/2041 | | | | 2,551,323 | |
| | 2,806,000 | | | Series 2004-C3-E | | | 5.14% | #^ | | | 12/10/2041 | | | | 2,784,810 | |
| |
| | | | Grace Mortgage Trust, | |
| | 350,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 362,828 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 1,550,000 | | | Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 1,576,743 | |
| | 1,750,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 1,770,871 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 713,355 | | | Series 2007-GG10-A4 | | | 5.95% | # | | | 08/10/2045 | | | | 713,492 | |
| | 300,000 | | | Series 2013-KING-C | | | 3.44% | #^ | | | 12/10/2027 | | | | 304,687 | |
| | 11,931,275 | | | Series 2014-GC20-XA | | | 1.15% | # I/O | | | 04/10/2047 | | | | 641,547 | |
| | 4,435,734 | | | Series 2014-GC24-XA | | | 0.86% | # I/O | | | 09/10/2047 | | | | 199,401 | |
| | 37,258,428 | | | Series 2015-GC32-XA | | | 0.88% | # I/O | | | 07/10/2048 | | | | 1,835,279 | |
| | 9,912,233 | | | Series 2015-GC34-XA | | | 1.37% | # I/O | | | 10/10/2048 | | | | 831,580 | |
| | 9,174,292 | | | Series 2015-GS1-XA | | | 0.83% | # I/O | | | 11/10/2048 | | | | 519,739 | |
| | 19,779,687 | | | Series 2016-GS2-XA | | | 1.67% | # I/O | | | 05/10/2049 | | | | 2,151,901 | |
| | 1,975,000 | | | Series 2016-ICE2-A | | | 2.84% | #^ | | | 02/15/2033 | | | | 1,994,660 | |
| |
| | | | GS Mortgage Securities Trust, | |
| | 1,503,000 | | | Series 2013-GC13-D | | | 4.07% | #^ | | | 07/10/2046 | | | | 1,359,908 | |
| | 3,210,000 | | | Series 2014-GSFL-C | | | 3.16% | #^ | | | 07/15/2031 | | | | 3,191,179 | |
| | 34,452,753 | | | Series 2016-GS3-XA | | | 1.28% | # I/O | | | 10/10/2049 | | | | 3,036,449 | |
| |
| | | | GSCCRE Commercial Mortgage Trust, | |
| | 5,382,000 | | | Series 2015-HULA-D | | | 4.66% | #^ | | | 08/15/2032 | | | | 5,434,393 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 923,689 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 922,943 | |
| | 5,415,000 | | | Series 2007-C1-AM | | | 5.99% | # | | | 02/15/2051 | | | | 5,472,381 | |
| | 3,344,000 | | | Series 2007-CB19-AM | | | 5.83% | # | | | 02/12/2049 | | | | 3,346,263 | |
| | 1,600,000 | | | Series 2007-CB20-AJ | | | 6.18% | # | | | 02/12/2051 | | | | 1,639,000 | |
| | 1,701,000 | | | Series 2007-CB20-AM | | | 5.98% | # | | | 02/12/2051 | | | | 1,725,678 | |
| | 1,750,000 | | | Series 2007-LD12-AM | | | 6.07% | # | | | 02/15/2051 | | | | 1,775,445 | |
| | 350,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 356,181 | |
| | 500,000 | | | Series 2014-PHH-D | | | 3.31% | #^ | | | 08/15/2027 | | | | 500,173 | |
| | 22,891,426 | | | Series 2015-JP1-XA | | | 1.15% | # I/O | | | 01/15/2049 | | | | 1,317,612 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Trust, | |
| | 2,336,000 | | | Series 2004-CBX-D | | | 5.10% | # | | | 01/12/2037 | | | | 2,375,055 | |
| | 6,613,000 | | | Series 2006-LDP9-AMS | | | 5.34% | | | | 05/15/2047 | | | | 6,540,498 | |
| | 6,672,000 | | | Series 2007-LD11-AM | | | 5.84% | # | | | 06/15/2049 | | | | 6,830,499 | |
| | 6,291,014 | | | Series 2007-LDPX-AM | | | 5.46% | # | | | 01/15/2049 | | | | 6,285,873 | |
| | 1,595,264 | | | Series 2008-C2-A4 | | | 6.07% | | | | 02/12/2051 | | | | 1,614,953 | |
| | 3,232,000 | | | Series 2014-FRR1-A707 | | | 4.35% | ^ | | | 01/27/2047 | | | | 3,189,387 | |
| | 7,500,000 | | | Series 2015-FL7-C | | | 3.76% | #^ | | | 05/15/2028 | | | | 7,515,725 | |
| | 2,403,000 | | | Series 2016-ASH-B | | | 3.06% | #^ | | | 10/15/2034 | | | | 2,418,024 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Trust, (Cont.) | |
| | 1,357,000 | | | Series 2016-ASH-C | | | 3.66% | #^ | | | 10/15/2034 | | | | 1,367,168 | |
| | 40,139,818 | | | Series 2016-JP4-XA | | | 0.82% | # I/O | | | 12/15/2049 | | | | 2,018,766 | |
| | 3,472,000 | | | Series 2016-WPT-E | | | 5.91% | #^ | | | 10/15/2033 | | | | 3,544,075 | |
| | 3,218,000 | | | Series 2016-WSP-C | | | 3.76% | #^ | | | 08/15/2033 | | | | 3,228,920 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 2,009,000 | | | Series 2013-C15-D | | | 5.05% | #^ | | | 11/15/2045 | | | | 1,908,450 | |
| | 7,146,719 | | | Series 2014-C18-XA | | | 1.07% | # I/O | | | 02/15/2047 | | | | 322,192 | |
| | 17,893,552 | | | Series 2014-C21-XA | | | 1.09% | # I/O | | | 08/15/2047 | | | | 1,036,067 | |
| | 500,000 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 501,379 | |
| | 23,152,274 | | | Series 2014-C25-XA | | | 0.99% | # I/O | | | 11/15/2047 | | | | 1,205,479 | |
| | 1,303,000 | | | Series 2014-C26-C | | | 4.43% | # | | | 01/15/2048 | | | | 1,270,298 | |
| | 7,608,942 | | | Series 2014-C26-XA | | | 1.17% | # I/O | | | 01/15/2048 | | | | 407,135 | |
| | 1,000,000 | | | Series 2015-C27-D | | | 3.84% | #^ | | | 02/15/2048 | | | | 790,161 | |
| | 8,573,564 | | | Series 2015-C27-XA | | | 1.37% | # I/O | | | 02/15/2048 | | | | 595,948 | |
| | 29,544,907 | | | Series 2015-C29-XA | | | 0.94% | # I/O | | | 05/15/2048 | | | | 1,141,556 | |
| | 30,731,133 | | | Series 2015-C30-XA | | | 0.70% | # I/O | | | 07/15/2048 | | | | 1,107,098 | |
| | 12,992,722 | | | Series 2015-C31-XA | | | 1.01% | # I/O | | | 08/15/2048 | | | | 737,340 | |
| | 25,743,107 | | | Series 2015-C32-XA | | | 1.50% | # I/O | | | 11/15/2048 | | | | 1,744,075 | |
| | 580,000 | | | Series 2015-C33-C | | | 4.62% | # | | | 12/15/2048 | | | | 582,051 | |
| |
| | | | JPMDB Commercial Mortgage Securities Trust, | |
| | 53,283,363 | | | Series 2016-C4-XA | | | 0.85% | # I/O | | | 12/15/2049 | | | | 3,363,342 | |
| |
| | | | LB Commercial Mortgage Trust, | |
| | 2,185,000 | | | Series 2007-C3-AM | | | 6.05% | # | | | 07/15/2044 | | | | 2,195,901 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 975,046 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 975,553 | |
| |
| | | | LSTAR Commercial Mortgage Trust, | |
| | 11,838,787 | | | Series 2016-4-XA | | | 1.95% | #^ I/O | | | 03/10/2049 | | | | 1,019,041 | |
| | 99,712,000 | | | Series 2017-5-X | | | 1.39% | #^ I/O | | | 03/10/2050 | | | | 5,819,132 | |
| |
| | | | Madison Avenue Trust, | |
| | 300,000 | | | Series 2013-650M-D | | | 4.03% | #^ | | | 10/12/2032 | | | | 307,368 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 42,518 | | | Series 2006-C1-AJ | | | 5.44% | # | | | 05/12/2039 | | | | 42,478 | |
| | 5,172,000 | | | Series 2007-C1-AM | | | 5.84% | # | | | 06/12/2050 | | | | 5,089,874 | |
| |
| | | | ML-CFC Commercial Mortgage Trust, | |
| | 865,944 | | | Series 2007-7-A4 | | | 5.79% | # | | | 06/12/2050 | | | | 865,963 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 5,211,104 | | | Series 2013-C12-XA | | | 0.92% | # I/O | | | 10/15/2046 | | | | 168,084 | |
| | 19,256,676 | | | Series 2013-C7-XA | | | 1.50% | # I/O | | | 02/15/2046 | | | | 1,170,138 | |
| | 9,806,877 | | | Series 2014-C14-XA | | | 1.25% | # I/O | | | 02/15/2047 | | | | 453,768 | |
| | 500,000 | | | Series 2014-C18-C | | | 4.49% | # | | | 10/15/2047 | | | | 493,039 | |
| | 620,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 579,408 | |
| | 120,000 | | | Series 2015-C20-C | | | 4.46% | # | | | 02/15/2048 | | | | 111,297 | |
| | 5,965,000 | | | Series 2015-C20-D | | | 3.07% | ^ | | | 02/15/2048 | | | | 4,504,328 | |
| | 2,000,000 | | | Series 2015-C26-D | | | 3.06% | ^ | | | 10/15/2048 | | | | 1,495,516 | |
| | 21,780,836 | | | Series 2016-C28-XA | | | 1.29% | # I/O | | | 01/15/2049 | | | | 1,803,323 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 83,894 | | | Series 2006-HQ8-AJ | | | 5.40% | # | | | 03/12/2044 | | | | 83,987 | |
| | 500,000 | | | Series 2007-1Q16-AMA | | | 6.06% | # | | | 12/12/2049 | | | | 511,527 | |
| | 274,926 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 269,978 | |
| | 2,412,000 | | | Series 2007-IQ16-AM | | | 6.07% | # | | | 12/12/2049 | | | | 2,460,561 | |
| | 175,000 | | | Series 2014-CPT-E | | | 3.45% | #^ | | | 07/13/2029 | | | | 173,798 | |
| | 175,000 | | | Series 2014-CPT-F | | | 3.45% | #^ | | | 07/13/2029 | | | | 171,845 | |
| | 800,000 | | | Series 2014-CPT-G | | | 3.45% | #^ | | | 07/13/2029 | | | | 778,182 | |
| | 500,000 | | | Series 2014-MP-D | | | 3.69% | #^ | | | 08/11/2029 | | | | 506,268 | |
| | 625,000 | | | Series 2015-XLF1-D | | | 3.89% | #^ | | | 08/14/2031 | | | | 624,746 | |
| | 68,822,038 | | | Series 2016-UB12-XA | | | 0.84% | # I/O | | | 12/15/2049 | | | | 3,752,556 | |
| | 8,477,000 | | | Series 2017-PRME-D | | | 4.31% | #^ | | | 02/15/2034 | | | | 8,522,615 | |
| |
| | | | MSCG Trust, | |
| | 1,403,000 | | | Series 2016-SNR-C | | | 5.21% | ^ | | | 11/15/2034 | | | | 1,408,959 | |
| |
| | | | RRX Trust, | |
| | 7,250,000 | | | Series 2014-1A-A | | | 0.00% | ^ P/O | | | 08/26/2044 | | | | 6,921,220 | |
| |
| | | | Sutherland Commercial Mortgage Loans LLC, | |
| | 5,925,633 | | | Series 2015-SBC4-A | | | 4.00% | ^ | | | 06/25/2039 | | | | 5,904,149 | |
| |
| | | | TRU Trust, | |
| | 4,512,851 | | | Series 2016-TOYS-A | | | 3.16% | #^ | | | 11/15/2030 | | | | 4,531,893 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 71 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 3,088,000 | | | Series 2013-C6-D | | | 4.35% | #^ | | | 04/10/2046 | | | | 2,783,684 | |
| |
| | | | Velocity Commercial Capital Loan Trust, | |
| | 2,002,888 | | | Series 2015-1-AFL | | | 3.41% | #^ | | | 06/25/2045 | | | | 2,020,068 | |
| | 4,337,454 | | | Series 2016-1-AFX | | | 3.53% | #^ | | | 04/25/2046 | | | | 4,334,824 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 7,341,000 | | | Series 2006-C25-F | | | 5.88% | # | | | 05/15/2043 | | | | 7,363,107 | |
| | 3,760,000 | | | Series 2006-C26-AM | | | 6.06% | # | | | 06/15/2045 | | | | 3,788,258 | |
| | 1,361,885 | | | Series 2006-C27-AJ | | | 5.83% | # | | | 07/15/2045 | | | | 1,372,897 | |
| | 1,043,406 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 1,047,319 | |
| | 3,866,792 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 3,895,780 | |
| | 4,393,000 | | | Series 2007-C31-AJ | | | 5.66% | # | | | 04/15/2047 | | | | 4,413,139 | |
| | 434,168 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 437,022 | |
| | 713,113 | | | Series 2007-C32-A3 | | | 5.76% | # | | | 06/15/2049 | | | | 712,376 | |
| | 2,663,000 | | | Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 2,693,034 | |
| | 1,045,000 | | | Series 2007-C33-AJ | | | 6.05% | # | | | 02/15/2051 | | | | 1,048,856 | |
| | 1,500,000 | | | Series 2007-C33-AM | | | 6.05% | # | | | 02/15/2051 | | | | 1,511,867 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 1,900,000 | | | Series 2014-LC16-D | | | 3.94% | ^ | | | 08/15/2050 | | | | 1,574,049 | |
| | 540,000 | | | Series 2014-LC18-B | | | 3.96% | | | | 12/15/2047 | | | | 547,135 | |
| | 13,780,051 | | | Series 2015-C27-XA | | | 0.99% | # I/O | | | 02/15/2048 | | | | 781,920 | |
| | 57,567,538 | | | Series 2015-C30-XA | | | 1.01% | # I/O | | | 09/15/2058 | | | | 3,605,915 | |
| | 2,000,000 | | | Series 2015-C31-C | | | 4.61% | # | | | 11/15/2048 | | | | 2,031,827 | |
| | 22,017,871 | | | Series 2015-C31-XA | | | 1.11% | # I/O | | | 11/15/2048 | | | | 1,508,887 | |
| | 32,617,874 | | | Series 2015-NXS2-XA | | | 0.79% | # I/O | | | 07/15/2058 | | | | 1,381,510 | |
| | 1,340,000 | | | Series 2015-NXS3-C | | | 4.49% | # | | | 09/15/2057 | | | | 1,277,220 | |
| | 1,443,000 | | | Series 2016-C32-C | | | 4.72% | # | | | 01/15/2059 | | | | 1,403,222 | |
| | 15,273,778 | | | Series 2016-C33-XA | | | 1.81% | # I/O | | | 03/15/2059 | | | | 1,666,485 | |
| | 26,062,634 | | | Series 2016-LC24-XA | | | 1.74% | # I/O | | | 10/15/2049 | | | | 2,975,831 | |
| | 16,426,000 | | | Series 2017-RC1-XA | | | 1.74% | # I/O | | | 01/15/2060 | | | | 1,801,903 | |
| |
| | | | WFRBS Commercial Mortgage Trust, | |
| | 2,218,000 | | | Series 2012-C6-D | | | 5.58% | #^ | | | 04/15/2045 | | | | 2,224,710 | |
| | 3,897,502 | | | Series 2012-C9-D | | | 4.80% | #^ | | | 11/15/2045 | | | | 3,698,658 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 3,803,273 | | | Series 2014-C19-XA | | | 1.22% | # I/O | | | 03/15/2047 | | | | 210,952 | |
| | 9,717,889 | | | Series 2014-C21-XA | | | 1.15% | # I/O | | | 08/15/2047 | | | | 564,657 | |
| | 29,554,751 | | | Series 2016-NXS6-XA | | | 1.66% | # I/O | | | 11/15/2049 | | | | 3,141,679 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $380,774,685) | | | | 374,924,415 | |
| | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 10.9% |
|
| |
| | | | Ajax Mortgage Loan Trust, | |
| | 2,488,987 | | | Series 2015-B-A | | | 3.88% | #^ | | | 07/25/2060 | | | | 2,488,442 | |
| | 8,394,513 | | | Series 2016-B-A | | | 4.00% | #^ | | | 09/25/2065 | | | | 8,398,997 | |
| |
| | | | Alternative Loan Trust, | |
| | 12,915,415 | | | Series 2005-49CB-A6 | | | 5.50% | | | | 11/25/2035 | | | | 12,101,302 | |
| | 13,618,018 | | | Series 2005-62-1A1 | | | 1.28% | # | | | 12/25/2035 | | | | 11,413,915 | |
| | 12,733,663 | | | Series 2007-HY9-A2 | | | 1.25% | # | | | 08/25/2047 | | | | 10,546,831 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 1,750,000 | | | Series 2005-B-3M1 | | | 1.43% | # | | | 04/20/2035 | | | | 1,464,600 | |
| | 4,375,931 | | | Series 2006-7-T2A1 | | | 5.88% | # | | | 10/25/2036 | | | | 3,587,341 | |
| |
| | | | Banc of America Mortgage Securities Trust, | |
| | 11,887,052 | | | Series 2007-3-1A1 | | | 6.00% | | | | 09/25/2037 | | | | 11,545,066 | |
| |
| | | | Bayview Opportunity Master Fund Trust, | |
| | 8,949,658 | | | Series 2016-RN2-A1 | | | 3.60% | #^ | | | 08/28/2031 | | | | 8,903,462 | |
| | 5,594,032 | | | Series 2016-RPL2-A1 | | | 3.84% | #^ | | | 06/28/2031 | | | | 5,536,655 | |
| | 3,127,660 | | | Series 2016-RPL3-A1 | | | 3.47% | #^ | | | 07/28/2031 | | | | 3,124,727 | |
| | 7,044,229 | | | Series 2016-RPL4-A1 | | | 3.47% | #^ | | | 07/28/2018 | | | | 7,012,492 | |
| |
| | | | BCAP LLC Trust, | |
| | 3,301,347 | | | Series 2012-RR1-3A4 | | | 5.50% | #^ | | | 10/26/2035 | | | | 3,083,663 | |
| |
| | | | Citicorp Residential Mortgage Securities, Inc., | |
| | 1,733,855 | | | Series 2007-1-A4 | | | 5.66% | # | | | 03/25/2037 | | | | 1,800,015 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 1,994,432 | | | Series 2007-A5-1A10 | | | 5.75% | | | | 05/25/2037 | | | | 1,827,666 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 106,884 | | | Series 2004-33-1A1 | | | 3.60% | # | | | 12/25/2034 | | | | 105,774 | |
| | 905,188 | | | Series 2005-23CB-A15 | | | 5.50% | | | | 07/25/2035 | | | | 854,795 | |
| | 3,234,525 | | | Series 2005-28CB-1A6 | | | 5.50% | | | | 08/25/2035 | | | | 3,005,963 | |
| | 3,037,707 | | | Series 2006-J6-A5 | | | 6.00% | | | | 09/25/2036 | | | | 2,654,335 | |
| | 675,381 | | | Series 2007-15CB-A7 | | | 6.00% | | | | 07/25/2037 | | | | 600,335 | |
| |
| | | | Countrywide Home Loans, | |
| | 2,167,187 | | | Series 2005-10-A2 | | | 5.50% | | | | 05/25/2035 | | | | 2,023,310 | |
| | 1,225,193 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 1,148,918 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 13,343 | | | Series 2004-8-6A1 | | | 4.50% | | | | 12/25/2019 | | | | 13,338 | |
| | 3,562,125 | | | Series 2005-11-2A1 | | | 6.00% | | | | 12/25/2035 | | | | 3,419,685 | |
| | 151,295 | | | Series 2005-11-8A5 | | | 6.00% | | | | 12/25/2035 | | | | 148,759 | |
| | 1,393,040 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 1,201,422 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,000,000 | | | Series 2011-12R-3A5 | | | 3.05% | #^ | | | 07/27/2036 | | | | 967,161 | |
| | 1,000,000 | | | Series 2011-5R-6A9 | | | 3.12% | #^ | | | 11/27/2037 | | | | 1,032,295 | |
| |
| | | | Credit Suisse Mortgage Trust, | |
| | 14,000,000 | | | Series 2017-1A-A | | | 4.50% | ^ | | | 03/25/2021 | | | | 14,042,784 | |
| |
| | | | CSMC Mortgage Securities Trust, | |
| | 20,000,000 | | | Series 2017-3R-1A1 | | | 0.00% | #^ | | | 03/06/2047 | | | | 20,000,000 | |
| |
| | | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, | |
| | 1,219,212 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 1,094,868 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 776,689 | | | Series 2014-RS1-1A2 | | | 7.58% | #^ | | | 07/27/2037 | | | | 678,730 | |
| |
| | | | FirstKey Mortgage Trust, | |
| | 7,172,562 | | | Series 2014-1-A8 | | | 3.50% | #^ | | | 11/25/2044 | | | | 7,266,003 | |
| |
| | | | GMACM Mortgage Loan Trust, | |
| | 185,610 | | | Series 2005-J1-A6 | | | 6.00% | | | | 12/25/2035 | | | | 179,311 | |
| |
| | | | GSR Mortgage Loan Trust, | |
| | 19,548 | | | Series 2004-2F-14A1 | | | 5.50% | | | | 09/25/2019 | | | | 19,811 | |
| | 860,476 | | | Series 2006-2F-3A4 | | | 6.00% | | | | 02/25/2036 | | | | 705,275 | |
| |
| | | | Home Equity Mortgage Trust, | |
| | 165,632 | | | Series 2003-6-M2 | | | 3.18% | # | | | 03/25/2034 | | | | 163,076 | |
| |
| | | | HSI Asset Loan Obligation Trust, | |
| | 295,339 | | | Series 2006-2-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 181,503 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 1,123,194 | | | Series 2006-5-1A1C | | | 1.25% | # | | | 02/25/2037 | | | | 866,223 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 2,508,695 | | | Series 2006-AR5-2A1 | | | 3.09% | # | | | 05/25/2036 | | | | 2,148,854 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 426,362 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 379,157 | |
| | | | |
| | | | Lehman XS Trust, | | | | | | | | | | | | |
| | 23,182 | | | Series 2005-6-3A2B | | | 5.42% | # | | | 11/25/2035 | | | | 23,289 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 308,738 | | | Series 2006-2-2A1 | | | 3.26% | # | | | 04/25/2036 | | | | 286,448 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 612,894 | | | Series 2007-F1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 465,163 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 2,308,891 | | | Series 2006-AF1-AF2C | | | 6.25% | | | | 08/25/2036 | | | | 1,843,620 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 512,452 | | | Series 2006-2-7A1 | | | 5.41% | # | | | 02/25/2036 | | | | 451,114 | |
| |
| | | | Nationstar HECM Loan Trust, | |
| | 9,000,000 | | | Series 2016-3A-M1 | | | 3.15% | ^ | | | 08/25/2026 | | | | 8,964,081 | |
| | 20,000,000 | | | Pretium Mortgage Credit Partners LLC 2017-NPL1-A1 | | | 3.50% | ^ | | | 04/29/2031 | | | | 20,000,000 | |
| |
| | | | Pretium Mortgage Credit Partners LLC, | |
| | 16,613,382 | | | Series 2016-NPL1-A1 | | | 4.38% | #^ | | | 02/27/2031 | | | | 16,819,064 | |
| | | | |
| | | | RCO Trust, | | | | | | | | | | | | |
| | 6,834,364 | | | Series 2016-SFR1-A | | | 3.75% | #^ | | | 11/25/2051 | | | | 6,904,649 | |
| | | | | | |
| 72 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 1,495,668 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 1,323,806 | |
| | 2,030,375 | | | Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 1,804,380 | |
| |
| | | | Residential Asset Mortgage Products, Inc., | |
| | 217,343 | | | Series 2005-EFC7-AI3 | | | 1.23% | # | | | 04/25/2034 | | | | 212,177 | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 1,055,349 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 820,411 | |
| |
| | | | Shellpoint Co-Originator Trust, | |
| | 4,727,428 | | | Series 2016-1-1A10 | | | 3.50% | #^ | | | 11/25/2046 | | | | 4,815,400 | |
| |
| | | | Soundview Home Loan Trust, | |
| | 6,327,876 | | | Series 2007-OPT3-2A3 | | | 1.16% | # | | | 08/25/2037 | | | | 5,897,430 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 1,250,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 1,253,795 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 9,927,737 | | | Series 2005-22-4A1 | | | 3.35% | # | | | 12/25/2035 | | | | 9,322,547 | |
| |
| | | | Structured Asset Securities Corporation, | |
| | 2,026,360 | | | Series 2005-16-1A2 | | | 5.50% | | | | 09/25/2035 | | | | 1,970,343 | |
| |
| | | | Towd Point Mortgage Trust, | |
| | 3,567,096 | | | Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 3,540,731 | |
| | | | |
| | | | VOLT LLC, | | | | | | | | | | | | |
| | 6,542,845 | | | Series 2015-NP11-A1 | | | 3.63% | #^ | | | 07/25/2045 | | | | 6,588,540 | |
| | 3,194,657 | | | Series 2015-NPL3-A1 | | | 3.38% | #^ | | | 10/25/2058 | | | | 3,190,117 | |
| | 20,959,059 | | | Series 2016-NPL11-A1 | | | 3.50% | #^ | | | 10/25/2046 | | | | 21,162,927 | |
| | 12,042,307 | | | Series 2016-NPL4-A1 | | | 4.25% | #^ | | | 04/25/2046 | | | | 12,193,544 | |
| | 8,900,553 | | | Series 2016-NPL8-A1 | | | 3.50% | #^ | | | 07/25/2046 | | | | 8,970,590 | |
| | 19,685,971 | | | Series 2017-NPL1-A1 | | | 3.63% | #^ | | | 02/25/2047 | | | | 19,699,673 | |
| |
| | | | WaMu Mortgage Pass-Through Certificates Trust, | |
| | 9,934,148 | | | Series 2006-AR10-2A1 | | | 2.97% | # | | | 09/25/2036 | | | | 9,271,713 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 199,487 | | | Series 2006-5-1A5 | | | 6.00% | | | | 07/25/2036 | | | | 172,000 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 2,480,028 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 2,391,499 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 7,617,974 | | | Series 2007-11-A85 | | | 6.00% | | | | 08/25/2037 | | | | 7,552,711 | |
| | 11,134,265 | | | Series 2007-13-A7 | | | 6.00% | | | | 09/25/2037 | | | | 11,236,952 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $347,730,812) | | | | 346,885,573 | |
| | | | | | | | | |
| | US CORPORATE BONDS 7.4% | |
| | 4,572,000 | | | AbbVie, Inc. | | | 1.80% | | | | 05/14/2018 | | | | 4,578,190 | |
| | 5,184,000 | | | Amazon.com, Inc. | | | 2.60% | | | | 12/05/2019 | | | | 5,289,650 | |
| | 1,260,000 | | | American Express Credit Corporation | | | 1.80% | | | | 07/31/2018 | | | | 1,261,470 | |
| | 2,828,000 | | | American Express Credit Corporation | | | 2.25% | | | | 08/15/2019 | | | | 2,851,006 | |
| | 475,000 | | | American Express Credit Corporation | | | 2.20% | | | | 03/03/2020 | | | | 476,539 | |
| | 1,375,000 | | | American Honda Finance Corporation | | | 1.70% | | | | 02/22/2019 | | | | 1,373,776 | |
| | 3,991,000 | | | American Honda Finance Corporation | | | 1.20% | | | | 07/12/2019 | | | | 3,938,239 | |
| | 3,840,000 | | | Anheuser-Busch InBev Finance, Inc. | | | 1.90% | | | | 02/01/2019 | | | | 3,846,996 | |
| | 2,655,000 | | | Apple, Inc. | | | 1.90% | | | | 02/07/2020 | | | | 2,663,103 | |
| | 7,187,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 7,206,793 | |
| | 2,330,000 | | | BB&T Corporation | | | 2.25% | | | | 02/01/2019 | | | | 2,346,373 | |
| | 1,750,000 | | | Berkshire Hathaway Finance Corporation | | | 1.70% | | | | 03/15/2019 | | | | 1,753,390 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 3,815,000 | | | Berkshire Hathaway Finance Corporation | | | 1.30% | | | | 08/15/2019 | | | | 3,779,429 | |
| | 3,093,000 | | | Boston Properties LP | | | 5.88% | | | | 10/15/2019 | | | | 3,348,847 | |
| | 1,465,000 | | | Broadcom Corporation | | | 2.38% | ^ | | | 01/15/2020 | | | | 1,465,642 | |
| | 3,010,000 | | | Capital One Financial Corporation | | | 2.45% | | | | 04/24/2019 | | | | 3,028,539 | |
| | 4,120,000 | | | Cardinal Health, Inc. | | | 1.95% | | | | 06/15/2018 | | | | 4,133,625 | |
| | 1,925,000 | | | Caterpillar Financial Services Corporation | | | 1.70% | | | | 06/16/2018 | | | | 1,925,986 | |
| | 2,010,000 | | | Caterpillar Financial Services Corporation | | | 2.10% | | | | 01/10/2020 | | | | 2,010,945 | |
| | 5,064,000 | | | Celgene Corporation | | | 2.13% | | | | 08/15/2018 | | | | 5,089,462 | |
| | 1,740,000 | | | Chevron Corporation | | | 1.56% | | | | 05/16/2019 | | | | 1,734,662 | |
| | 1,665,000 | | | Chevron Corporation | | | 1.99% | | | | 03/03/2020 | | | | 1,667,624 | |
| | 4,090,000 | | | Cisco Systems, Inc. | | | 1.40% | | | | 09/20/2019 | | | | 4,058,016 | |
| | 6,116,000 | | | Citigroup, Inc. | | | 2.05% | | | | 12/07/2018 | | | | 6,129,253 | |
| | 1,405,000 | | | Comcast Corporation | | | 5.88% | | | | 02/15/2018 | | | | 1,458,500 | |
| | 3,432,000 | | | Comcast Corporation | | | 5.15% | | | | 03/01/2020 | | | | 3,739,590 | |
| | 2,750,000 | | | Consolidated Edison, Inc. | | | 2.00% | | | | 03/15/2020 | | | | 2,747,712 | |
| | 5,755,000 | | | CVS Health Corporation | | | 1.90% | | | | 07/20/2018 | | | | 5,767,730 | |
| | 5,070,000 | | | Daimler Finance North America LLC | | | 2.25% | ^ | | | 03/02/2020 | | | | 5,068,449 | |
| | 2,155,000 | | | Duke Energy Corporation | | | 1.63% | | | | 08/15/2017 | | | | 2,156,883 | |
| | 4,095,000 | | | Duke Energy Corporation | | | 1.85% | | | | 01/15/2020 | | | | 4,093,120 | |
| | 5,665,000 | | | Express Scripts Holding Company | | | 2.25% | | | | 06/15/2019 | | | | 5,674,812 | |
| | 4,505,000 | | | General Mills, Inc. | | | 2.20% | | | | 10/21/2019 | | | | 4,535,179 | |
| | 2,805,000 | | | General Motors Financial Co, Inc. | | | 3.15% | | | | 01/15/2020 | | | | 2,854,576 | |
| | 1,422,000 | | | Goldman Sachs Group, Inc. | | | 2.90% | | | | 07/19/2018 | | | | 1,440,102 | |
| | 2,565,000 | | | Goldman Sachs Group, Inc. | | | 2.30% | | | | 12/13/2019 | | | | 2,567,909 | |
| | 2,405,000 | | | Hewlett Packard Enterprise Company | | | 2.85% | | | | 10/05/2018 | | | | 2,434,408 | |
| | 1,750,000 | | | Hewlett Packard Enterprise Company | | | 3.60% | | | | 10/15/2020 | | | | 1,799,927 | |
| | 1,150,000 | | | John Deere Capital Corporation | | | 1.60% | | | | 07/13/2018 | | | | 1,151,497 | |
| | 3,872,000 | | | John Deere Capital Corporation | | | 1.95% | | | | 01/08/2019 | | | | 3,894,094 | |
| | 5,013,000 | | | JP Morgan Chase & Company | | | 2.25% | | | | 01/23/2020 | | | | 5,030,886 | |
| | 4,245,000 | | | Kinder Morgan, Inc. | | | 3.05% | | | | 12/01/2019 | | | | 4,318,693 | |
| | 4,485,000 | | | Kraft Heinz Foods Company | | | 2.00% | | | | 07/02/2018 | | | | 4,497,042 | |
| | 4,190,000 | | | Kroger Company | | | 6.15% | | | | 01/15/2020 | | | | 4,623,183 | |
| | 3,843,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 3,877,687 | |
| | 2,505,000 | | | McKesson Corporation | | | 2.28% | | | | 03/15/2019 | | | | 2,520,148 | |
| | 2,950,000 | | | Medtronic, Inc. | | | 1.50% | | | | 03/15/2018 | | | | 2,951,030 | |
| | 710,000 | | | Microsoft Corporation | | | 1.10% | | | | 08/08/2019 | | | | 702,421 | |
| | 1,715,000 | | | Microsoft Corporation | | | 1.85% | | | | 02/06/2020 | | | | 1,719,329 | |
| | 1,885,000 | | | Molson Coors Brewing Company | | | 1.45% | | | | 07/15/2019 | | | | 1,861,471 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 73 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 6,990,000 | | | Morgan Stanley | | | 2.45% | | | | 02/01/2019 | | | | 7,057,412 | |
| | 1,660,000 | | | MUFG Americas Holdings Corporation | | | 1.63% | | | | 02/09/2018 | | | | 1,660,448 | |
| | 915,000 | | | MUFG Americas Holdings Corporation | | | 2.25% | | | | 02/10/2020 | | | | 914,467 | |
| | 2,210,000 | | | Mylan NV | | | 2.50% | | | | 06/07/2019 | | | | 2,221,079 | |
| | 1,743,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 2.30% | | | | 11/15/2019 | | | | 1,759,872 | |
| | 563,000 | | | Newell Brands, Inc. | | | 2.60% | | | | 03/29/2019 | | | | 570,190 | |
| | 1,880,000 | | | Oracle Corporation | | | 2.25% | | | | 10/08/2019 | | | | 1,903,523 | |
| | 3,250,000 | | | PepsiCo, Inc. | | | 2.15% | | | | 10/14/2020 | | | | 3,269,747 | |
| | 4,210,000 | | | Philip Morris International, Inc. | | | 5.65% | | | | 05/16/2018 | | | | 4,400,490 | |
| | 3,500,000 | | | PNC Funding Corporation | | | 4.38% | | | | 08/11/2020 | | | | 3,730,849 | |
| | 2,210,000 | | | Prudential Financial, Inc. | | | 7.38% | | | | 06/15/2019 | | | | 2,465,016 | |
| | 3,075,000 | | | Reynolds American, Inc. | | | 3.25% | | | | 06/12/2020 | | | | 3,157,130 | |
| | 2,580,000 | | | Shell International Finance B.V. | | | 1.38% | | | | 05/10/2019 | | | | 2,557,688 | |
| | 5,476,000 | | | Simon Property Group LP | | | 2.20% | | | | 02/01/2019 | | | | 5,509,968 | |
| | 1,510,000 | | | Southern Company | | | 2.45% | | | | 09/01/2018 | | | | 1,523,108 | |
| | 2,604,000 | | | Southern Company | | | 1.85% | | | | 07/01/2019 | | | | 2,591,016 | |
| | 3,470,000 | | | Synchrony Financial | | | 3.00% | | | | 08/15/2019 | | | | 3,525,739 | |
| | 2,900,000 | | | Thermo Fisher Scientific, Inc. | | | 2.15% | | | | 12/14/2018 | | | | 2,911,211 | |
| | 2,894,000 | | | TIAA Asset Management Finance Company LLC | | | 2.95% | ^ | | | 11/01/2019 | | | | 2,943,143 | |
| | 315,000 | | | Toyota Motor Credit Corporation | | | 1.55% | | | | 07/13/2018 | | | | 315,375 | |
| | 1,865,000 | | | Toyota Motor Credit Corporation | | | 1.70% | | | | 02/19/2019 | | | | 1,868,820 | |
| | 5,980,000 | | | United Technologies Corporation | | | 1.50% | | | | 11/01/2019 | | | | 5,940,305 | |
| | 4,923,000 | | | Verizon Communications, Inc. | | | 2.95% | ^ | | | 03/15/2022 | | | | 4,907,059 | |
| | 250,000 | | | WellPoint, Inc. | | | 1.88% | | | | 01/15/2018 | | | | 250,241 | |
| | 2,580,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 2,592,152 | |
| | 4,680,000 | | | Wells Fargo & Company | | | 1.50% | | | | 01/16/2018 | | | | 4,672,156 | |
| | 842,000 | | | Zimmer Holdings, Inc. | | | 1.45% | | | | 04/01/2017 | | | | 842,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $235,723,059) | | | | 235,504,137 | |
| | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 5.1% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 2,281,427 | | | Pool G08626 | | | 3.00% | | | | 02/01/2045 | | | | 2,262,347 | |
| | 2,390,293 | | | Pool G08631 | | | 3.00% | | | | 03/01/2045 | | | | 2,370,302 | |
| | 19,135,747 | | | Pool G67700 | | | 3.50% | | | | 08/01/2046 | | | | 19,667,181 | |
| | 23,900,002 | | | Pool V82248 | | | 3.50% | | | | 03/01/2046 | | | | 24,545,763 | |
| | 3,394,387 | | | Series 2016-KF22-B | | | 5.83% | #^ | | | 07/25/2023 | | | | 3,425,592 | |
| | 835,831 | | | Series 3417-SM | | | 5.37% | # I/F I/O | | | 02/15/2038 | | | | 146,347 | |
| | 2,232,138 | | | Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 2,246,898 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Federal Home Loan Mortgage Corporation Pass-Thru, | |
| | 33,498,053 | | | Series K722-X1 | | | 1.31% | # I/O | | | 03/25/2023 | | | | 2,136,033 | |
| |
| | | | Federal National Mortgage Association, | |
| | 19,787,694 | | | Pool AL9593 | | | 3.50% | | | | 12/01/2046 | | | | 20,343,479 | |
| | 24,493,059 | | | Pool AS8265 | | | 3.00% | | | | 11/01/2046 | | | | 24,207,896 | |
| | 4,477,028 | | | Series 2015-09-HA | | | 3.00% | | | | 01/25/2045 | | | | 4,570,933 | |
| | 7,342,116 | | | Series 2015-59-A | | | 3.00% | | | | 06/25/2041 | | | | 7,485,304 | |
| | 9,786,362 | | | Series 2016-72-PA | | | 3.00% | | | | 07/25/2046 | | | | 9,904,184 | |
| | 9,934,292 | | | Series 2017-13-ML | | | 3.00% | | | | 08/25/2041 | | | | 10,075,217 | |
| | 9,919,782 | | | Series 2017-2-HA | | | 3.00% | | | | 09/25/2041 | | | | 10,123,213 | |
| | 9,930,297 | | | Series 2017-4-CH | | | 3.00% | | | | 06/25/2042 | | | | 10,131,197 | |
| |
| | | | Federal National Mortgage Association Pass-Thru, | |
| | 3,274,883 | | | Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 3,254,846 | |
| | 690,574 | | | Pool MA1200 | | | 3.00% | | | | 10/01/2032 | | | | 709,955 | |
| | 5,884,606 | | | Pool MA2270 | | | 3.00% | | | | 05/01/2045 | | | | 5,816,240 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $163,592,668) | | | | 163,422,927 | |
| | | | | | | | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS 16.8% | |
| | 86,600,000 | | | United States Treasury Notes | | | 0.88% | | | | 11/30/2017 | | | | 86,544,143 | |
| | 97,500,000 | | | United States Treasury Notes | | | 1.00% | | | | 12/31/2017 | | | | 97,492,395 | |
| | 86,900,000 | | | United States Treasury Notes | | | 0.75% | | | | 01/31/2018 | | | | 86,696,306 | |
| | 43,400,000 | | | United States Treasury Notes | | | 1.00% | | | | 03/15/2018 | | | | 43,370,315 | |
| | 70,900,000 | | | United States Treasury Notes | | | 0.75% | | | | 10/31/2018 | | | | 70,405,614 | |
| | 48,400,000 | | | United States Treasury Notes | | | 1.63% | | | | 06/30/2019 | | | | 48,715,713 | |
| | 76,900,000 | | | United States Treasury Notes | | | 0.88% | | | | 09/15/2019 | | | | 75,953,823 | |
| | 27,000,000 | | | United States Treasury Notes | | | 1.63% | | | | 06/30/2020 | | | | 27,024,246 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government and Agency Obligations
(Cost $536,440,455) | | | | 536,202,555 | |
| | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.0% | |
| | 4,745 | | | Pacific Exploration and Production Corporation* | | | | | | | | | | | 147,570 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $852,503) | | | | 147,570 | |
| | | | | | | | | |
| | SHORT TERM INVESTMENTS 13.7% | |
| | 88,965,448 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 88,965,448 | |
| | 88,965,447 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 88,965,447 | |
| | 88,965,445 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 88,965,445 | |
| | | | | | |
| 74 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 140,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 04/13/2017 | | | | 139,972,280 | |
| | 30,000,000 | | | United States Treasury Bills | | | 0.00% | | | | 05/04/2017 | | | | 29,982,480 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $436,846,884) | | | | 436,851,100 | |
| | | | | | | | | |
| | | | Total Investments 98.0%
(Cost $3,131,623,745) | | | | 3,126,197,994 | |
| | | | Other Assets in Excess of Liabilities 2.0% | | | | 64,926,496 | |
| | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 3,191,124,490 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
US Government and Agency Obligations | | | 16.8% | |
Short Term Investments | | | 13.7% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 11.8% | |
Collateralized Loan Obligations | | | 10.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.9% | |
Foreign Corporate Bonds | | | 8.2% | |
US Corporate Bonds | | | 7.4% | |
Asset Backed Obligations | | | 6.0% | |
Bank Loans | | | 5.7% | |
US Government / Agency Mortgage Backed Obligations | | | 5.1% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.5% | |
Exchange Traded Funds and Common Stocks | | | 0.0% | ~ |
Other Assets and Liabilities | | | 2.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
US Government and Agency Obligations | | | 16.8% | |
Short Term Investments | | | 13.7% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 11.8% | |
Collateralized Loan Obligations | | | 10.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 10.9% | |
Asset Backed Obligations | | | 6.0% | |
US Government / Agency Mortgage Backed Obligations | | | 5.1% | |
Banking | | | 4.9% | |
Oil & Gas | | | 2.0% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 1.5% | |
Healthcare | | | 1.5% | |
Telecommunications | | | 1.3% | |
Utilities | | | 1.1% | |
Technology | | | 1.0% | |
Automotive | | | 0.8% | |
Beverage and Tobacco | | | 0.6% | |
Pharmaceuticals | | | 0.6% | |
Business Equipment and Services | | | 0.6% | |
Media | | | 0.5% | |
Transportation | | | 0.5% | |
Finance | | | 0.4% | |
Chemicals/Plastics | | | 0.4% | |
Insurance | | | 0.4% | |
Energy | | | 0.4% | |
Food/Drug Retailers | | | 0.4% | |
Consumer Products | | | 0.4% | |
Aerospace & Defense | | | 0.4% | |
Retailers (other than Food/Drug) | | | 0.4% | |
Food Products | | | 0.3% | |
Real Estate | | | 0.3% | |
Construction | | | 0.3% | |
Electronics/Electric | | | 0.3% | |
Pulp & Paper | | | 0.2% | |
Industrial Equipment | | | 0.2% | |
Biotechnology | | | 0.2% | |
Conglomerates | | | 0.2% | |
Health Care Providers & Services | | | 0.2% | |
Building and Development (including Steel/Metals) | | | 0.1% | |
Financial Intermediaries | | | 0.1% | |
Leisure | | | 0.1% | |
Cosmetics/Toiletries | | | 0.1% | |
Containers and Glass Products | | | 0.1% | |
Hotels/Motels/Inns and Casinos | | | 0.0% | ~ |
Mining | | | 0.0% | ~ |
Other Assets and Liabilities | | | 2.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 75 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced CAPE® (Cont.) | | March 31, 2017 |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 88.2% | |
Chile | | | 1.2% | |
Mexico | | | 1.2% | |
India | | | 0.9% | |
Peru | | | 0.8% | |
China | | | 0.7% | |
Canada | | | 0.5% | |
Panama | | | 0.5% | |
Singapore | | | 0.5% | |
United Kingdom | | | 0.4% | |
Malaysia | | | 0.4% | |
Costa Rica | | | 0.2% | |
Qatar | | | 0.2% | |
South Korea | | | 0.2% | |
Indonesia | | | 0.2% | |
Israel | | | 0.2% | |
Australia | | | 0.2% | |
Colombia | | | 0.2% | |
Luxembourg | | | 0.2% | |
Brazil | | | 0.2% | |
Dominican Republic | | | 0.2% | |
Guatemala | | | 0.1% | |
France | | | 0.1% | |
Ireland | | | 0.1% | |
Poland | | | 0.1% | |
Paraguay | | | 0.1% | |
Hong Kong | | | 0.1% | |
Jamaica | | | 0.1% | |
Netherlands | | | 0.0% | ~ |
Hungary | | | 0.0% | ~ |
Other Assets and Liabilities | | | 2.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $948,222,553 or 29.7% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| I/O | Interest only security |
| P/O | Principal only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| ~ | Represents less than 0.05% of net assets |
| W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
| ¨ | Seven-day yield as of March 31, 2017 |
| ¥ | Illiquid security. At March 31, 2017, the value of these securities amounted to $2,006,735 or 0.1% of net assets. |
| PIK | A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings. |
| & | Unfunded or partially unfunded loan commitment. At March 31, 2017, the value of these securities amounted to $282,017 or 0.0% of net assets. |
| * | Non-income producing security |
| | | | | | |
| 76 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | |
| 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% | | | | 111,000,000 | | | | 04/13/2017 | | | $ | 15,581 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 60,000,000 | | | | 04/27/2017 | | | | 13,035,874 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 25,000,000 | | | | 05/24/2017 | | | | 5,512,435 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 05/25/2017 | | | | 21,549,612 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 25,000,000 | | | | 06/28/2017 | | | | 5,167,750 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 06/29/2017 | | | | 21,618,265 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 25,000,000 | | | | 07/26/2017 | | | | 4,833,586 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 90,000,000 | | | | 07/27/2017 | | | | 17,582,665 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 25,000,000 | | | | 08/30/2017 | | | | 3,743,082 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 08/31/2017 | | | | 13,509,830 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 50,000,000 | | | | 09/27/2017 | | | | 6,527,132 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 60,000,000 | | | | 09/28/2017 | | | | 8,262,038 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 90,000,000 | | | | 10/25/2017 | | | | 11,848,036 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 90,000,000 | | | | 10/26/2017 | | | | 11,546,099 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 75,000,000 | | | | 11/29/2017 | | | | 9,053,665 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 11/30/2017 | | | | 10,955,384 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Bank of America Merrill Lynch | | | 0.43% | | | | 25,000,000 | | | | 12/19/2017 | | | | 1,587,670 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 75,000,000 | | | | 12/20/2017 | | | | 7,253,700 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 12/21/2017 | | | | 6,496,756 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Bank of America Merrill Lynch | | | 0.43% | | | | 75,000,000 | | | | 01/23/2018 | | | | 4,502,608 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 100,000,000 | | | | 01/24/2018 | | | | 6,259,885 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 75,000,000 | | | | 01/25/2018 | | | | 4,583,245 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Bank of America Merrill Lynch | | | 0.43% | | | | 96,000,000 | | | | 02/20/2018 | | | | 2,265,293 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 100,000,000 | | | | 02/21/2018 | | | | 5,652,854 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 02/22/2018 | | | | 3,470,685 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Bank of America Merrill Lynch | | | 0.43% | | | | 50,000,000 | | | | 03/13/2018 | | | | 375,594 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 100,000,000 | | | | 03/14/2018 | | | | 750,458 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 03/15/2018 | | | | (147,700 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Bank of America Merrill Lynch | | | 0.43% | | | | 100,000,000 | | | | 03/27/2018 | | | | 1,892,823 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 100,000,000 | | | | 03/28/2018 | | | | 1,894,354 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 03/29/2018 | | | | 536,870 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Bank of America Merrill Lynch | | | 0.43% | | | | 100,000,000 | | | | 04/10/2018 | | | | (412,315 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 100,000,000 | | | | 04/11/2018 | | | | 324,775 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Barclays Capital, Inc. | | | 0.40% | | | | 100,000,000 | | | | 04/12/2018 | | | | (174,641 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | Bank of America Merrill Lynch | | | 0.43% | | | | 100,000,000 | | | | 04/24/2018 | | | | 29,781 | |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 100,000,000 | | | | 04/25/2018 | | | | (412,315 | ) |
Shiller Barclays CAPE® US Sector ER II USD Index¤ | | BNP Paribas | | | 0.43% | | | | 50,000,000 | | | | 05/16/2018 | | | | (87,362 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 211,404,052 | |
| | | | | | | | | | | | | | | | | | |
| « | 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 March 31, 2017, the four sector constituents with each fund ticker indicated in parentheses and their weightings were as follows: Technology Select Sector SPDR® Fund (XLK) 25.4%, Consumer Discretionary Select Sector SPDR® Fund (XLY) 25.3%, Health Care Select Sector SPDR® Fund (XLV) 24.7%, Industrial Select Sector SPDR® Fund (XLI) 24.6%. |
| ¤ | 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 March 31, 2017, the four sector constituents with each index ticker indicated in parentheses and their weightings were as follows: Consumer Discretionary Select Sector Index (IXYTR) 25.4%, Technology Select Sector Index (IXTTR) 25.3%, Health Care Select Sector Index (IXVTR) 24.7%, Industrial Select Sector Index (IXITR) 24.6%. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 77 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 4.2% | |
| |
| | | | Arcadia Receivables Credit Trust, | |
| | 941,107 | | | Series 2017-1-A | | | 3.25% | ^ | | | 06/15/2023 | | | | 944,544 | |
| |
| | | | AVANT Loans Funding Trust, | |
| | 273,596 | | | Series 2015-A-A | | | 4.00% | ^ | | | 08/16/2021 | | | | 274,502 | |
| | 115,345 | | | Series 2016-B-A | | | 3.92% | ^ | | | 08/15/2019 | | | | 115,759 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 1,000,000 | | | Series 2015-PM1-C | | | 5.01% | ^ | | | 12/15/2021 | | | | 998,036 | |
| |
| | | | Colony Starwood Homes Trust, | |
| | 1,000,000 | | | Series 2016-2A-D | | | 3.29% | #^ | | | 12/17/2033 | | | | 1,005,662 | |
| |
| | | | Consumer Installment Loan Trust, | |
| | 354,176 | | | Series 2016-LD1-A | | | 3.96% | ^ | | | 07/15/2022 | | | | 357,478 | |
| |
| | | | Eaglewood Consumer Loan Trust, | |
| | 661,342 | | | Series 2014-1-A | | | 3.50% | ^¥ | | | 10/15/2019 | | | | 659,893 | |
| |
| | | | ECAF Ltd., | |
| | 1,363,687 | | | Series 2015-1A-A2 | | | 4.95% | ^ | | | 06/15/2040 | | | | 1,324,687 | |
| |
| | | | Kabbage Asset Securitization LLC, | |
| | 10,000,000 | | | Series 2017-1-A | | | 4.57% | ^ | | | 03/15/2022 | | | | 10,262,690 | |
| |
| | | | LendingClub Issuance Trust, | |
| | 1,567,258 | | | Series 2016-NP2-A | | | 3.00% | ^ | | | 01/17/2023 | | | | 1,572,136 | |
| |
| | | | MarketPlace Loan Trust, | |
| | 676,391 | | | Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 675,969 | |
| |
| | | | SoFi Consumer Loan Program Trust, | |
| | 380,327 | | | Series 2016-2-A | | | 3.09% | ^ | | | 10/27/2025 | | | | 381,105 | |
| | 1,877,367 | | | Series 2017-1-A | | | 3.28% | ^ | | | 01/26/2026 | | | | 1,888,766 | |
| | 500,000 | | | Series 2017-1-B | | | 4.73% | #^ | | | 01/26/2026 | | | | 505,212 | |
| | 2,000,000 | | | Series 2017-2-A | | | 3.28% | ^ | | | 02/25/2026 | | | | 2,002,502 | |
| |
| | | | Springleaf Funding Trust, | |
| | 1,000,000 | | | Series 2016-AA-A | | | 2.90% | ^ | | | 11/15/2029 | | | | 1,006,190 | |
| |
| | | | TAL Advantage LLC, | |
| | 7,200,000 | | | Series 2017-1A-A | | | 4.50% | ^ | | | 04/20/2042 | | | | 7,287,344 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $30,928,519) | | | | 31,262,475 | |
| | | | | | | | | | | | | | | | |
| | BANK LOANS 9.2% | |
| |
| | | | Acadia Healthcare Company, Inc., | |
| | 743,194 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.98% | # | | | 02/16/2023 | | | | 748,304 | |
| |
| | | | AdvancePierre Foods, Inc., | |
| | 720,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/02/2023 | | | | 729,958 | |
| |
| | | | Albertson’s Holdings LLC, | |
| | 730,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 3.98% | # | | | 08/25/2021 | | | | 734,066 | |
| |
| | | | AlixPartners LLP, | |
| | 724,863 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 07/28/2022 | | | | 728,295 | |
| | 365,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/28/2024 | | | | 367,281 | |
| |
| | | | Alpha 3 B.V., | |
| | 685,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.15% | # | | | 01/31/2024 | | | | 687,572 | |
| |
| | | | American Axle & Manufacturing, Inc., | |
| | 220,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.00% | # | | | 03/08/2024 | | | | 220,207 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | American Renal Holdings, Inc., | |
| | 730,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 08/20/2019 | | | | 731,675 | |
| |
| | | | American Tire Distributors, Inc., | |
| | 750,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 09/01/2021 | | | | 752,696 | |
| |
| | | | Americold Realty Trust, Inc., | |
| | 690,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 12/01/2022 | | | | 699,060 | |
| |
| | | | Aspen Merger Sub, Inc., | |
| | 295,000 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 09/27/2023 | | | | 298,356 | |
| |
| | | | Asurion LLC, | |
| | 300,000 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.23% | # | | | 07/08/2020 | | | | 302,313 | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 29,697 | | | Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan | | | 5.00% | #& | | | 03/08/2024 | | | | 29,944 | |
| |
| | | | Avantor Performance Materials Holdings LLC, | |
| | 705,303 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.00% | # | | | 03/08/2024 | | | | 711,182 | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 595,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 02/02/2024 | | | | 582,675 | |
| |
| | | | BJ’s Wholesale Club, Inc., | |
| | 78,000 | | | Senior Secured 2nd Lien Term Loan | | | 8.50% | # | | | 02/03/2025 | | | | 76,323 | |
| |
| | | | Bright Bidco BV, | |
| | 495,000 | | | Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/15/2024 | | | | 499,123 | |
| |
| | | | Burger King Restaurant Brands, | |
| | 645,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.25% | # | | | 02/16/2024 | | | | 646,345 | |
| |
| | | | Capital Automotive LP, | |
| | 75,000 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/24/2025 | | | | 76,008 | |
| |
| | | | Capital Automotive LP, | |
| | 460,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/25/2024 | | | | 465,175 | |
| |
| | | | Cengage Learning, Inc., | |
| | 550,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.25% | # | | | 06/07/2023 | | | | 526,196 | |
| |
| | | | Ceva Group PLC, | |
| | 165,744 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 145,440 | |
| |
| | | | Ceva Group PLC, | |
| | 117,171 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 0.90% | # | | | 03/19/2021 | | | | 102,818 | |
| |
| | | | Ceva Group PLC, | |
| | 20,718 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 18,180 | |
| |
| | | | Ceva Intercompany BV, | |
| | 120,164 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.54% | # | | | 03/19/2021 | | | | 105,444 | |
| |
| | | | CH Hold Corporation, | |
| | 659,091 | | | Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 02/01/2024 | | | | 664,720 | |
| |
| | | | CH Hold Corporation, | |
| | 65,909 | | | Senior Secured 1st Lien Delayed-Draw Term Loan | | | 1.50% | #& | | | 02/01/2024 | | | | 66,472 | |
| |
| | | | Change Healthcare Holdings LLC, | |
| | 740,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/01/2024 | | | | 742,083 | |
| | | | | | |
| 78 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Charter Communications Operating LLC, | |
| | 590,000 | | | Guaranteed Senior Secured 1st Lien Term Loan Tranche B | | | 3.23% | # | | | 01/15/2024 | | | | 593,525 | |
| |
| | | | CHG Healthcare, Inc., | |
| | 720,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 06/07/2023 | | | | 729,990 | |
| |
| | | | Chill Merger Sub Inc., | |
| | 300,000 | | | Senior Secured 1st Lien Term Loan | | | 5.25% | # | | | 03/20/2024 | | | | 303,375 | |
| |
| | | | Colorado Buyer, Inc., | |
| | 745,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.00% | # | | | 03/15/2024 | | | | 750,494 | |
| |
| | | | Community Health Systems Inc., | |
| | 730,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche G | | | 3.75% | # | | | 12/31/2019 | | | | 726,518 | |
| |
| | | | Compuware Corporation, | |
| | 730,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 5.25% | # | | | 12/15/2021 | | | | 733,011 | |
| |
| | | | CPI Holdco LLC, | |
| | 335,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.15% | # | | | 03/24/2024 | | | | 337,722 | |
| |
| | | | CSC Holdings LLC, | |
| | 685,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.94% | # | | | 10/11/2024 | | | | 684,788 | |
| |
| | | | CSM Bakery Supplies LLC, | |
| | 570,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 07/03/2020 | | | | 538,935 | |
| |
| | | | Dell International, LLC, | |
| | 530,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.49% | # | | | 09/07/2023 | | | | 532,843 | |
| |
| | | | DJO Finance LLC, | |
| | 755,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 06/08/2020 | | | | 732,509 | |
| |
| | | | EFS Cogen Holdings I LLC, | |
| | 720,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 06/28/2023 | | | | 727,909 | |
| |
| | | | Eldorado Resorts, Inc., | |
| | 380,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 2.25% | # | | | 03/15/2024 | | | | 380,000 | |
| |
| | | | Energy Transfer Equity LP, | |
| | 725,000 | | | Senior Secured 1st Lien Term Loan | | | 3.54% | # | | | 02/02/2024 | | | | 724,435 | |
| |
| | | | Envision Healthcare Corporation, | |
| | 725,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.15% | # | | | 12/01/2023 | | | | 732,250 | |
| |
| | | | Equinox Holdings, Inc., | |
| | 745,000 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 03/08/2024 | | | | 751,522 | |
| |
| | | | Evergreen Skills, | |
| | 770,000 | | | Senior Secured 1st Lien Term Loan | | | 5.75% | # | | | 04/28/2021 | | | | 710,329 | |
| |
| | | | Fairmount Minerals, | |
| | 345,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.65% | # | | | 09/05/2019 | | | | 338,676 | |
| |
| | | | Federal-Mogul Holdings Corporation, | |
| | 760,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 4.75% | # | | | 04/15/2021 | | | | 758,400 | |
| |
| | | | Filtration Group, Inc., | |
| | 720,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.30% | # | | | 11/23/2020 | | | | 726,527 | |
| |
| | | | First Data Corporation, | |
| | 370,629 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C | | | 3.98% | # | | | 03/24/2021 | | | | 373,872 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Foresight Energy LLC, | |
| | 530,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 6.75% | # | | | 03/16/2022 | | | | 517,744 | |
| |
| | | | Galleria Company, | |
| | 720,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.81% | # | | | 09/29/2023 | | | | 727,200 | |
| |
| | | | Gates Global LLC, | |
| | 730,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 07/05/2021 | | | | 732,237 | |
| |
| | | | Gavilan Resources LLC, | |
| | 175,000 | | | Secured 2nd Lien Term Loan | | | 7.00% | # | | | 03/01/2024 | | | | 173,469 | |
| |
| | | | Genesy’s Telecommunications Laboratories, Inc., | |
| | 740,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.02% | # | | | 12/01/2023 | | | | 746,937 | |
| |
| | | | Greektown Holdings LLC, | |
| | 500,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 03/21/2024 | | | | 500,783 | |
| |
| | | | GTCR Valor Companies, Inc., | |
| | 360,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 7.15% | # | | | 06/16/2023 | | | | 362,428 | |
| |
| | | | Harbor Freight Tools USA, Inc., | |
| | 608,471 | | | Senior Secured 1st Lien Term Loan | | | 4.23% | # | | | 08/18/2023 | | | | 608,471 | |
| |
| | | | Hargray Corporation, | |
| | 85,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/22/2024 | | | | 85,398 | |
| |
| | | | Harsco Corporation, | |
| | 425,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 6.00% | # | | | 11/02/2023 | | | | 431,906 | |
| |
| | | | Huntsman International LLC, | |
| | 725,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 04/01/2023 | | | | 732,554 | |
| |
| | | | Ineos US Finance LLC, | |
| | 65,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 04/01/2024 | | | | 65,437 | |
| |
| | | | Informatica Corporation, | |
| | 359,943 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 08/05/2022 | | | | 358,622 | |
| |
| | | | JDA Software Group, Inc., | |
| | 745,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 10/12/2023 | | | | 751,131 | |
| |
| | | | Jeld-Wen, Inc., | |
| | 723,064 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.15% | # | | | 07/01/2022 | | | | 729,087 | |
| |
| | | | Jo-Ann Stores LLC, | |
| | 465,000 | | | Senior Secured 1st Lien Term Loan | | | 6.26% | # | | | 10/20/2023 | | | | 456,865 | |
| |
| | | | Kenan Advantage Group, | |
| | 575,000 | | | Senior Secured 1st Lien Term Loan, Tranche B1 | | | 4.00% | # | | | 08/01/2022 | | | | 576,616 | |
| |
| | | | KIK Custom Products, Inc., | |
| | 709,419 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.65% | # | | | 08/26/2022 | | | | 720,355 | |
| |
| | | | Kraton Polymers LLC, | |
| | 529,304 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 01/06/2022 | | | | 535,147 | |
| |
| | | | Kronos, Inc., | |
| | 725,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.03% | # | | | 11/01/2023 | | | | 730,024 | |
| |
| | | | Leslie’s Poolmart, Inc., | |
| | 745,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.77% | # | | | 08/16/2023 | | | | 749,004 | |
| |
| | | | Level 3 Financing, Inc., | |
| | 610,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 02/22/2024 | | | | 611,778 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 79 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Life Time Fitness, | |
| | 730,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 06/10/2022 | | | | 732,829 | |
| |
| | | | Lightstone Holdco LLC, | |
| | 650,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.54% | # | | | 01/30/2024 | | | | 654,956 | |
| |
| | | | Lightstone Holdco LLC, | |
| | 40,000 | | | Senior Secured 1st Lien Term Loan, Tranche C | | | 5.54% | # | | | 01/30/2024 | | | | 40,305 | |
| |
| | | | Mallinckrodt International Finance S.A., | |
| | 160,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.90% | # | | | 09/24/2024 | | | | 160,100 | |
| |
| | | | McGraw Hill Financial, Inc., | |
| | 395,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 05/04/2022 | | | | 391,571 | |
| |
| | | | MGM Growth Properties LP, | |
| | 665,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.48% | # | | | 04/25/2023 | | | | 669,156 | |
| |
| | | | Micron Technology, Inc., | |
| | 405,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.73% | # | | | 04/26/2022 | | | | 407,975 | |
| |
| | | | Milacron LLC, | |
| | 685,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 09/28/2023 | | | | 689,713 | |
| |
| | | | MPH Acquisition Holdings LLC, | |
| | 669,876 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 06/07/2023 | | | | 679,324 | |
| |
| | | | National Vision, Inc., | |
| | 740,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.00% | # | | | 03/12/2021 | | | | 741,003 | |
| |
| | | | NBTY Inc., | |
| | 745,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.65% | # | | | 05/05/2023 | | | | 751,053 | |
| |
| | | | Nord Anglia Education Finance LLC, | |
| | 725,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.55% | # | | | 03/31/2021 | | | | 729,306 | |
| |
| | | | Party City Holdings, Inc., | |
| | 750,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.86% | # | | | 08/19/2022 | | | | 749,396 | |
| |
| | | | Peabody Energy Corporation, | |
| | 720,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.50% | # | | | 03/31/2022 | | | | 721,260 | |
| |
| | | | Pharmaceutical Product Development LLC, | |
| | 735,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 08/18/2022 | | | | 738,330 | |
| |
| | | | Pike Corporation, | |
| | 165,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.75% | # | | | 03/08/2024 | | | | 167,063 | |
| |
| | | | Piscine US Acquisition LLC, | |
| | 705,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 5.65% | # | | | 12/20/2023 | | | | 711,169 | |
| |
| | | | PODS LLC, | |
| | 730,000 | | | Senior Secured 1st Lien Term Loan, Tranche B2 | | | 4.25% | # | | | 02/02/2022 | | | | 737,300 | |
| |
| | | | PQ Corporation, | |
| | 739,206 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.29% | # | | | 11/04/2022 | | | | 749,237 | |
| |
| | | | Precyse Acquisition Corporation, | |
| | 440,917 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.50% | # | | | 10/20/2022 | | | | 443,950 | |
| |
| | | | Prime Security Services Borrower LLC, | |
| | 720,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 05/02/2022 | | | | 728,248 | |
| |
| | | | RCN Corporation, | |
| | 730,000 | | | Senior Secured 1st Lien Term Loan | | | 3.98% | # | | | 02/01/2024 | | | | 734,665 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | RentPath LLC, | |
| | 718,888 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 6.25% | #¥ | | | 12/17/2021 | | | | 709,600 | |
| |
| | | | Revlon Consumer Products Corporation, | |
| | 750,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.48% | # | | | 09/07/2023 | | | | 751,147 | |
| |
| | | | Reynolds Group, | |
| | 740,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.98% | # | | | 02/03/2023 | | | | 743,741 | |
| |
| | | | Sabre GLBL Inc., | |
| | 60,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 02/22/2024 | | | | 60,563 | |
| |
| | | | Safway Group Holding LLC, | |
| | 405,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 5.75% | # | | | 08/18/2023 | | | | 410,000 | |
| |
| | | | Scientific Games International, Inc., | |
| | 340,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B3 | | | 4.85% | # | | | 10/01/2021 | | | | 344,755 | |
| |
| | | | Seahawk Holding Ltd., | |
| | 738,325 | | | Senior Secured 1st Lien Term Loan | | | 7.00% | # | | | 10/31/2022 | | | | 750,323 | |
| |
| | | | Select Medical Corporation, | |
| | 650,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.50% | # | | | 03/06/2024 | | | | 657,313 | |
| |
| | | | SolarWinds Holdings, Inc., | |
| | 745,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.50% | # | | | 02/03/2023 | | | | 746,538 | |
| |
| | | | Solenis International LP, | |
| | 178,395 | | | Guaranteed Secured 2nd Lien Term Loan | | | 7.80% | # | | | 07/29/2022 | | | | 177,002 | |
| |
| | | | Solera LLC, | |
| | 745,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 03/03/2023 | | | | 749,708 | |
| |
| | | | Sophia LP, | |
| | 743,727 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.40% | # | | | 09/30/2022 | | | | 744,541 | |
| |
| | | | Summit Materials LLC, | |
| | 690,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/18/2022 | | | | 696,759 | |
| |
| | | | Surgery Center Holdings, Inc., | |
| | 705,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 11/03/2020 | | | | 714,035 | |
| |
| | | | Team Health Holdings Inc., | |
| | 745,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.75% | # | | | 02/06/2024 | | | | 740,809 | |
| |
| | | | Telesat Canada, | |
| | 725,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4 | | | 4.15% | # | | | 11/17/2023 | | | | 732,250 | |
| |
| | | | TKC Holdings, Inc., | |
| | 715,000 | | | Senior Secured 1st Lien Term Loan | | | 4.75% | # | | | 02/01/2023 | | | | 723,194 | |
| |
| | | | TransDigm, Inc., | |
| | 735,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche F | | | 3.98% | # | | | 06/09/2023 | | | | 733,045 | |
| |
| | | | Tumi Holdings, Inc., | |
| | 725,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.23% | # | | | 08/01/2023 | | | | 731,913 | |
| |
| | | | UFC Holdings LLC, | |
| | 685,000 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 4.25% | # | | | 08/18/2023 | | | | 689,586 | |
| |
| | | | Univar USA, Inc., | |
| | 740,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 3.73% | # | | | 07/01/2022 | | | | 742,660 | |
| | | | | | |
| 80 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Univision Communications, Inc., | |
| | 683,163 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche C5 | | | 3.75% | # | | | 03/15/2024 | | | | 679,959 | |
| |
| | | | US Renal Care, Inc., | |
| | 635,000 | | | Senior Secured 1st Lien Term Loan | | | 5.40% | # | | | 12/30/2022 | | | | 597,494 | |
| |
| | | | USAGM HoldCo LLC, | |
| | 695,000 | | | Senior Secured 1st Lien Term Loan | | | 4.79% | # | | | 07/28/2022 | | | | 699,670 | |
| |
| | | | VF Holdings Corporation, | |
| | 720,000 | | | Senior Secured 1st Lien Term Loan | | | 4.25% | # | | | 06/30/2023 | | | | 724,500 | |
| |
| | | | Vizient, Inc., | |
| | 197,669 | | | Senior Secured 1st Lien Term Loan, Tranche B | | | 5.00% | # | | | 02/13/2023 | | | | 199,522 | |
| |
| | | | Western Digital Corporation, | |
| | 425,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2 | | | 3.50% | # | | | 04/28/2023 | | | | 428,128 | |
| |
| | | | WMG Acquisition Corporation, | |
| | 735,000 | | | Guaranteed Senior Secured 1st Lien Term Loan | | | 3.75% | # | | | 11/01/2023 | | | | 738,848 | |
| |
| | | | York Risk Services Group, Inc., | |
| | 580,000 | | | Guaranteed Senior Secured 1st Lien Term Loan, Tranche B | | | 4.90% | # | | | 10/01/2021 | | | | 567,133 | |
| | | | | | | | | | | | | | | | |
| | | | Total Bank Loans
(Cost $68,490,216) | | | | 68,361,379 | |
| | | | | | | | | | | | | | | | |
| | COLLATERALIZED LOAN OBLIGATIONS 15.7% | |
| |
| | | | Adams Mill Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 2.50% | #^ | | | 07/15/2026 | | | | 1,001,776 | |
| | 250,000 | | | Series 2014-1A-D1 | | | 4.52% | #^ | | | 07/15/2026 | | | | 247,500 | |
| | 250,000 | | | Series 2014-1A-E1 | | | 6.02% | #^ | | | 07/15/2026 | | | | 239,254 | |
| |
| | | | ALM LLC, | |
| | 2,000,000 | | | Series 2013-8A-DR | | | 8.12% | #^ | | | 10/15/2028 | | | | 2,021,673 | |
| | 1,000,000 | | | Series 2014-14A-A1 | | | 2.47% | #^ | | | 07/28/2026 | | | | 1,001,000 | |
| | 500,000 | | | Series 2016-19A-A2 | | | 3.22% | #^ | | | 07/15/2028 | | | | 505,493 | |
| | 500,000 | | | Series 2016-19A-B | | | 4.02% | #^ | | | 07/15/2028 | | | | 504,930 | |
| |
| | | | Apidos Ltd., | |
| | 2,500,000 | | | Series 2015-21A-C | | | 4.57% | #^ | | | 07/18/2027 | | | | 2,494,642 | |
| | 250,000 | | | Series 2015-21A-D | | | 6.57% | #^ | | | 07/18/2027 | | | | 244,917 | |
| | 1,250,000 | | | Series 2016-24A-C | | | 4.98% | #^ | | | 07/20/2027 | | | | 1,272,491 | |
| |
| | | | Atrium Corporation, | |
| | 3,000,000 | | | Series 2017-9A-DR | | | 0.00% | #^ | | | 05/28/2030 | | | | 2,977,077 | |
| |
| | | | Avery Point Ltd., | |
| | 500,000 | | | Series 2013-2A-D | | | 4.47% | #^ | | | 07/17/2025 | | | | 497,427 | |
| |
| | | | Babson Ltd., | |
| | 500,000 | | | Series 2012-2A-CR | | | 4.64% | #^ | | | 05/15/2023 | | | | 505,658 | |
| | 3,500,000 | | | Series 2014-3A-D1 | | | 4.52% | #^ | | | 01/15/2026 | | | | 3,508,750 | |
| | 500,000 | | | Series 2014-3A-D2 | | | 5.17% | #^ | | | 01/15/2026 | | | | 502,656 | |
| | 2,250,000 | | | Series 2014-3A-E1 | | | 6.12% | #^ | | | 01/15/2026 | | | | 2,146,534 | |
| | 250,000 | | | Series 2014-3A-E2 | | | 7.52% | #^ | | | 01/15/2026 | | | | 251,843 | |
| | 1,000,000 | | | Series 2015-2A-D | | | 4.83% | #^ | | | 07/20/2027 | | | | 1,003,000 | |
| |
| | | | Barings Ltd., | |
| | 2,000,000 | | | Series 2016-3A-C | | | 4.87% | #^ | | | 01/15/2028 | | | | 2,022,380 | |
| |
| | | | Battalion Ltd., | |
| | 500,000 | | | Series 2007-1A-C | | | 1.82% | #^ | | | 07/14/2022 | | | | 497,723 | |
| |
| | | | Betony Ltd., | |
| | 500,000 | | | Series 2015-1A-D | | | 4.62% | #^ | | | 04/15/2027 | | | | 495,367 | |
| |
| | | | BlueMountain Ltd., | |
| | 750,000 | | | Series 2015-2A-C | | | 3.72% | #^ | | | 07/18/2027 | | | | 746,786 | |
| | 1,000,000 | | | Series 2015-2A-D | | | 4.57% | #^ | | | 07/18/2027 | | | | 1,004,956 | |
| | 500,000 | | | Series 2015-2A-E | | | 6.37% | #^ | | | 07/18/2027 | | | | 485,080 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | BlueMountain Ltd., (Cont.) | |
| | 1,000,000 | | | Series 2015-3A-B | | | 4.13% | #^ | | | 10/20/2027 | | | | 1,022,743 | |
| | 500,000 | | | Series 2015-3A-C | | | 4.58% | #^ | | | 10/20/2027 | | | | 500,684 | |
| | 750,000 | | | Series 2016-2A-C | | | 5.15% | #^ | | | 08/20/2028 | | | | 767,697 | |
| | 1,000,000 | | | Series 2016-3A-D | | | 4.82% | #^ | | | 11/15/2027 | | | | 1,010,473 | |
| |
| | | | California Street LP, | |
| | 2,000,000 | | | Series 2012-9A-DR | | | 4.98% | #^ | | | 10/16/2028 | | | | 2,024,932 | |
| | 2,000,000 | | | Series 2012-9A-ER | | | 8.20% | #^ | | | 10/16/2028 | | | | 2,008,858 | |
| |
| | | | Canyon Capital Ltd., | |
| | 2,000,000 | | | Series 2006-1A-D | | | 2.73% | #^ | | | 12/15/2020 | | | | 1,971,901 | |
| | 1,000,000 | | | Series 2012-1A-DR | | | 5.12% | #^ | | | 01/15/2026 | | | | 1,022,148 | |
| |
| | | | Carlyle Global Market Strategies Ltd., | |
| | 2,000,000 | | | Series 2016-2A-D2 | | | 7.47% | #^ | | | 07/15/2027 | | | | 1,972,358 | |
| |
| | | | Carlyle High Yield Partners Ltd., | |
| | 654,936 | | | Series 2007-10A-A1 | | | 1.25% | #^ | | | 04/19/2022 | | | | 655,774 | |
| | 251,537 | | | Series 2007-10A-A2A | | | 1.24% | #^ | | | 04/19/2022 | | | | 251,689 | |
| |
| | | | Catamaran Ltd., | |
| | 250,000 | | | Series 2015-1A-C1 | | | 4.14% | #^ | | | 04/22/2027 | | | | 252,215 | |
| |
| | | | Cent Ltd., | |
| | 2,000,000 | | | Series 2006-12A-D | | | 2.45% | #^ | | | 11/18/2020 | | | | 1,965,497 | |
| | 2,375,000 | | | Series 2007-15A-D | | | 5.27% | #^ | | | 03/11/2021 | | | | 2,336,813 | |
| | 621,332 | | | Series 2012-16A-A1AR | | | 2.28% | #^ | | | 08/01/2024 | | | | 621,152 | |
| | 2,000,000 | | | Series 2014-22A-C | | | 4.78% | #^ | | | 11/07/2026 | | | | 2,000,529 | |
| | 1,595,000 | | | Series 2014-22A-D | | | 6.33% | #^ | | | 11/07/2026 | | | | 1,523,569 | |
| |
| | | | Dryden Senior Loan Fund, | |
| | 500,000 | | | Series 2012-24RA-DR | | | 4.74% | #^ | | | 11/15/2023 | | | | 496,484 | |
| | 250,000 | | | Series 2012-25A-D | | | 5.02% | #^ | | | 01/15/2025 | | | | 251,304 | |
| | 2,500,000 | | | Series 2014-34A-DR | | | 0.00% | #^ | | | 10/15/2026 | | | | 2,500,000 | |
| | 1,000,000 | | | Series 2016-45-D | | | 4.87% | #^ | | | 07/15/2027 | | | | 1,010,107 | |
| |
| | | | Duane Street Ltd., | |
| | 1,500,000 | | | Series 2007-4A-D | | | 3.29% | #^ | | | 11/14/2021 | | | | 1,502,898 | |
| |
| | | | Eaton Vance Ltd., | |
| | 380,199 | | | Series 2006-8A-A | | | 1.29% | #^ | | | 08/15/2022 | | | | 379,529 | |
| | 500,000 | | | Series 2006-8A-B | | | 1.69% | #^ | | | 08/15/2022 | | | | 498,089 | |
| |
| | | | Galaxy Ltd., | |
| | 250,000 | | | Series 2014-18A-D1 | | | 4.72% | #^ | | | 10/15/2026 | | | | 247,501 | |
| |
| | | | GLM 2017-1A D, | |
| | 1,000,000 | | | Series 2017-1A-D | | | 4.53% | # | | | 04/20/2029 | | | | 1,000,000 | |
| |
| | | | GoldenTree Loan Opportunities Ltd., | |
| | 1,000,000 | | | Series 2015-10A-D | | | 4.38% | #^ | | | 07/20/2027 | | | | 992,408 | |
| |
| | | | Halcyon Loan Advisors Funding Ltd., | |
| | 250,000 | | | Series 2013-2A-C | | | 3.73% | #^ | | | 08/01/2025 | | | | 251,533 | |
| | 250,000 | | | Series 2014-2A-C | | | 4.54% | #^ | | | 04/28/2025 | | | | 244,534 | |
| | 250,000 | | | Series 2014-2A-D | | | 6.04% | #^ | | | 04/28/2025 | | | | 230,554 | |
| |
| | | | ING Ltd., | |
| | 500,000 | | | Series 2013-1A-D | | | 6.02% | #^ | | | 04/15/2024 | | | | 496,306 | |
| |
| | | | Jay Park Ltd., | |
| | 2,000,000 | | | Series 2016-1A-C | | | 4.66% | #^ | | | 10/20/2027 | | | | 2,017,478 | |
| |
| | | | LCM LP, | |
| | 500,000 | | | Series 12A-DR | | | 4.72% | #^ | | | 10/19/2022 | | | | 504,463 | |
| | 500,000 | | | Series 14A-D | | | 4.52% | #^ | | | 07/15/2025 | | | | 502,543 | |
| | 250,000 | | | Series 16A-D | | | 4.62% | #^ | | | 07/15/2026 | | | | 251,725 | |
| |
| | | | Madison Park Funding Ltd., | |
| | 705,655 | | | Series 2007-4A-A2 | | | 1.39% | #^ | | | 03/22/2021 | | | | 701,448 | |
| | 1,000,000 | | | Series 2007-6A-C | | | 2.03% | #^ | | | 07/26/2021 | | | | 976,125 | |
| | 2,095,000 | | | Series 2013-11A-D | | | 4.54% | #^ | | | 10/23/2025 | | | | 2,112,274 | |
| | 250,000 | | | Series 2014-13X-E | | | 6.02% | # | | | 01/19/2025 | | | | 246,250 | |
| | 750,000 | | | Series 2014-14A-D | | | 4.63% | #^ | | | 07/20/2026 | | | | 756,488 | |
| | 1,000,000 | | | Series 2014-15A-CR | | | 4.49% | #^ | | | 01/27/2026 | | | | 1,007,654 | |
| | 2,500,000 | | | Series 2014-15A-DR | | | 6.48% | #^ | | | 01/27/2026 | | | | 2,495,021 | |
| | 500,000 | | | Series 2015-18A-D2 | | | 4.99% | #^ | | | 10/21/2026 | | | | 500,938 | |
| |
| | | | Magnetite Ltd., | |
| | 250,000 | | | Series 2014-9A-B | | | 4.04% | #^ | | | 07/25/2026 | | | | 252,914 | |
| |
| | | | Marathon Ltd., | |
| | 1,000,000 | | | Series 2017-9A-A2 | | | 0.00% | #^ | | | 04/15/2029 | | | | 1,001,015 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 81 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Octagon Investment Partners Ltd., | |
| | 500,000 | | | Series 2014-1A-C | | | 4.69% | #^ | | | 11/14/2026 | | | | 502,042 | |
| | 500,000 | | | Series 2014-1A-C2 | | | 4.54% | #^ | | | 11/25/2025 | | | | 500,746 | |
| | 2,000,000 | | | Series 2014-1A-D | | | 7.64% | #^ | | | 11/14/2026 | | | | 2,020,054 | |
| | 500,000 | | | Series 2014-1A-D2 | | | 5.62% | #^ | | | 11/25/2025 | | | | 502,689 | |
| | 2,500,000 | | | Series 2017-1A-C | | | 4.53% | #^ | | | 03/17/2030 | | | | 2,502,811 | |
| | 1,250,000 | | | Series 2017-1A-D | | | 7.23% | #^ | | | 03/17/2030 | | | | 1,244,282 | |
| |
| | | | Palmer Square Ltd., | |
| | 1,000,000 | | | Series 2013-2A-A1B | | | 3.12% | ^ | | | 10/17/2025 | | | | 1,000,000 | |
| |
| | | | Race Point Ltd., | |
| | 250,000 | | | Series 2012-6A-CR | | | 4.16% | #^ | | | 05/24/2023 | | | | 251,779 | |
| | 250,000 | | | Series 2012-6A-DR | | | 5.16% | #^ | | | 05/24/2023 | | | | 250,444 | |
| |
| | | | Sound Harbor Loan Fund Ltd., | |
| | 1,000,000 | | | Series 2014-1A-A1 | | | 2.54% | #^ | | | 10/30/2026 | | | | 1,001,773 | |
| |
| | | | Symphony Ltd., | |
| | 500,000 | | | Series 2013-11A-C | | | 4.17% | #^ | | | 01/17/2025 | | | | 500,949 | |
| | 500,000 | | | Series 2014-14A-D2 | | | 4.62% | #^ | | | 07/14/2026 | | | | 498,814 | |
| |
| | | | TCI-Flatiron Ltd., | |
| | 2,000,000 | | | Series 2016-1A-C | | | 5.12% | #^ | | | 12/21/2029 | | | | 2,015,581 | |
| |
| | | | TCI-Symphony Ltd., | |
| | 1,000,000 | | | Series 2016-1A-D | | | 4.72% | #^ | | | 10/13/2029 | | | | 1,001,139 | |
| |
| | | | Thacher Park Ltd., | |
| | 3,000,000 | | | Series 2014-1A-D1R | | | 5.26% | #^ | | | 10/20/2026 | | | | 3,003,614 | |
| |
| | | | THL Credit Wind River Ltd., | |
| | 4,000,000 | | | Series 2014-1A-DR | | | 4.61% | #^ | | | 04/18/2026 | | | | 4,000,995 | |
| | 2,000,000 | | | Series 2014-2A-D | | | 4.92% | #^ | | | 07/15/2026 | | | | 2,023,771 | |
| | 2,000,000 | | | Series 2017-1A-DR | | | 4.78% | #^ | | | 04/18/2029 | | | | 2,002,089 | |
| | 1,750,000 | | | Series 2017-1A-E | | | 7.45% | #^ | | | 04/18/2029 | | | | 1,742,853 | |
| |
| | | | Venture Ltd., | |
| | 4,000,000 | | | Series 2007-8A-C | | | 1.94% | #^ | | | 07/22/2021 | | | | 3,910,526 | |
| | 4,000,000 | | | Series 2012-12A-DR | | | 4.75% | #^ | | | 02/28/2026 | | | | 4,008,319 | |
| | 500,000 | | | Series 2014-17A-C | | | 3.87% | #^ | | | 07/15/2026 | | | | 501,531 | |
| | 2,500,000 | | | Series 2016-12A-ER | | | 7.25% | #^ | | | 02/28/2026 | | | | 2,450,218 | |
| | 1,000,000 | | | Series 2016-23A-B | | | 3.32% | #^ | | | 07/19/2028 | | | | 1,004,213 | |
| | 2,000,000 | | | Series 2016-24A-E | | | 7.79% | #^ | | | 10/20/2028 | | | | 2,009,000 | |
| |
| | | | Westcott Park Ltd., | |
| | 1,000,000 | | | Series 2016-1A-D | | | 5.38% | #^ | | | 07/20/2028 | | | | 1,018,691 | |
| |
| | | | Wind River Ltd., | |
| | 2,000,000 | | | Series 2012-1A-DR | | | 5.12% | #^ | | | 01/15/2026 | | | | 2,028,740 | |
| | 500,000 | | | Series 2016-1A-B | | | 4.22% | #^ | | | 07/15/2028 | | | | 503,102 | |
| | 500,000 | | | Series 2016-1A-C | | | 3.37% | #^ | | | 07/15/2028 | | | | 505,955 | |
| | | | | | | | | | | | | | | | |
| | | | Total Collateralized Loan Obligations
(Cost $114,884,094) | | | | 116,022,248 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 11.8% | |
| | 199,580 | | | Abengoa Transmision Sur S.A. | | | 6.88% | ^ | | | 04/30/2043 | | | | 214,548 | |
| | 199,580 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 214,549 | |
| | 300,000 | | | Aeropuerto Argentina S.A. | | | 6.88% | ^ | | | 02/01/2027 | | | | 310,500 | |
| | 500,000 | | | AES Andres B.V. | | | 7.95% | ^ | | | 05/11/2026 | | | | 537,685 | |
| | 200,000 | | | AES El Salvador Trust | | | 6.75% | | | | 03/28/2023 | | | | 186,500 | |
| | 700,000 | | | AES Gener S.A. | | | 5.00% | | | | 07/14/2025 | | | | 712,654 | |
| | 300,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 311,250 | |
| | 200,000 | | | Autoridad del Canal de Panama | | | 4.95% | | | | 07/29/2035 | | | | 219,500 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | | | | 05/10/2020 | | | | 199,200 | |
| | 200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 199,200 | |
| | 200,000 | | | Axiata SPV2 BHD | | | 3.47% | | | | 11/19/2020 | | | | 205,011 | |
| | 300,000 | | | Banco de Bogota S.A. | | | 5.38% | | | | 02/19/2023 | | | | 313,125 | |
| | 1,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 1,018,310 | |
| | 200,000 | | | Banco de Reservas de la Republica Dominicana | | | 7.00% | ^ | | | 02/01/2023 | | | | 204,132 | |
| | 200,000 | | | Banco de Reservas de la Republica Dominicana | | | 7.00% | | | | 02/01/2023 | | | | 204,132 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 200,000 | | | Banco do Brasil S.A. | | | 9.00% | #^† | | | 06/18/2024 | | | | 208,000 | |
| | 300,000 | | | Banco GNB Sudameris S.A. | | | 3.88% | | | | 05/02/2018 | | | | 300,750 | |
| | 500,000 | | | Banco GNB Sudameris S.A. | | | 6.50% | ^ | | | 04/03/2027 | | | | 507,975 | |
| | 100,000 | | | Banco International del Peru S.A.A. | | | 6.63% | # | | | 03/19/2029 | | | | 109,625 | |
| | 1,450,000 | | | Banco Macro S.A. | | | 6.75% | # | | | 11/04/2026 | | | | 1,458,990 | |
| | 2,500,000 | | | Banco Mercantil del Norte S.A. | | | 5.75% | # | | | 10/04/2031 | | | | 2,453,125 | |
| | 2,000,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | # | | | 08/11/2026 | | | | 1,965,000 | |
| | 600,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 608,688 | |
| | 400,000 | | | Banco Nacional de Costa Rica | | | 5.88% | ^ | | | 04/25/2021 | | | | 407,500 | |
| | 900,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 933,750 | |
| | 400,000 | | | Bancolombia S.A. | | | 6.13% | | | | 07/26/2020 | | | | 432,520 | |
| | 200,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 200,000 | |
| | 400,000 | | | BBVA Bancomer S.A. | | | 5.35% | # | | | 11/12/2029 | | | | 396,000 | |
| | 1,500,000 | | | Bharti Airtel Ltd. | | | 4.38% | | | | 06/10/2025 | | | | 1,501,339 | |
| | 2,000,000 | | | BPRL International Singapore Pte Ltd. | | | 4.38% | | | | 01/18/2027 | | | | 2,042,458 | |
| | 295,000 | | | Camelot Finance S.A. | | | 7.88% | ^ | | | 10/15/2024 | | | | 313,435 | |
| | 100,000 | | | Camposol S.A. | | | 10.50% | ^ | | | 07/15/2021 | | | | 105,750 | |
| | 500,000 | | | Cementos Progreso Trust | | | 7.13% | | | | 11/06/2023 | | | | 531,250 | |
| | 1,500,000 | | | Cencosud S.A. | | | 5.15% | | | | 02/12/2025 | | | | 1,565,792 | |
| | 400,000 | | | CIMPOR Financial Operations B.V. | | | 5.75% | | | | 07/17/2024 | | | | 356,000 | |
| | 2,000,000 | | | CK Hutchison International Ltd. | | | 3.50% | ^ | | | 04/05/2027 | | | | 1,996,427 | |
| | 200,000 | | | CNOOC Finance Ltd. | | | 4.25% | | | | 01/26/2021 | | | | 209,703 | |
| | 2,500,000 | | | CNOOC Finance Ltd. | | | 3.50% | | | | 05/05/2025 | | | | 2,478,522 | |
| | 1,000,000 | | | CNPC General Capital Ltd. | | | 3.40% | | | | 04/16/2023 | | | | 1,014,717 | |
| | 300,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 325,895 | |
| | 2,500,000 | | | Comision Federal de Electricidad | | | 4.75% | | | | 02/23/2027 | | | | 2,512,500 | |
| | 900,000 | | | Comision Federal de Electricidad | | | 6.13% | | | | 06/16/2045 | | | | 929,250 | |
| | 500,000 | | | CorpGroup Banking S.A. | | | 6.75% | | | | 03/15/2023 | | | | 481,245 | |
| | 500,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/29/2049 | | | | 503,750 | |
| | 400,000 | | | Credito Real S.A.B. de C.V. | | | 7.25% | ^ | | | 07/20/2023 | | | | 406,000 | |
| | 250,000 | | | Dana Financing, Ltd. | | | 5.75% | ^ | | | 04/15/2025 | | | | 252,812 | |
| | 2,000,000 | | | DBS Group Holdings Ltd. | | | 3.60% | #† | | | 12/29/2049 | | | | 1,970,414 | |
| | 200,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 207,500 | |
| | 500,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 532,187 | |
| | 200,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 172,674 | |
| | 2,000,000 | | | Digicel Ltd. | | | 7.13% | | | | 04/01/2022 | | | | 1,565,000 | |
| | 200,000 | | | Eldorado International Finance GMBH | | | 8.63% | ^ | | | 06/16/2021 | | | | 170,500 | |
| | 400,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | ^ | | | 04/30/2025 | | | | 383,735 | |
| | 800,000 | | | Empresa Electrica Guacolda S.A. | | | 4.56% | | | | 04/30/2025 | | | | 767,471 | |
| | 300,000 | | | Empresa Nacional de Telecomunicaciones S.A. | | | 4.88% | | | | 10/30/2024 | | | | 310,646 | |
| | 791,990 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 819,710 | |
| | 1,600,000 | | | Engie Energia Chile S.A. | | | 4.50% | | | | 01/29/2025 | | | | 1,639,633 | |
| | 1,500,000 | | | ENTEL Chile S.A. | | | 4.75% | | | | 08/01/2026 | | | | 1,540,902 | |
| | 800,000 | | | Export-Import Bank of India | | | 3.13% | | | | 07/20/2021 | | | | 807,061 | |
| | 400,000 | | | Fondo Mivivienda S.A. | | | 3.38% | | | | 04/02/2019 | | | | 407,000 | |
| | 400,000 | | | Fondo Mivivienda S.A. | | | 3.50% | ^ | | | 01/31/2023 | | | | 404,000 | |
| | 1,000,000 | | | Global Bank Corporation | | | 4.50% | | | | 10/20/2021 | | | | 993,000 | |
| | 1,000,000 | | | Global Bank Corporation | | | 4.50% | ^ | | | 10/20/2021 | | | | 993,000 | |
| | 500,000 | | | GNL Quintero S.A. | | | 4.63% | | | | 07/31/2029 | | | | 512,500 | |
| | 1,500,000 | | | Gohl Capital Ltd. | | | 4.25% | | | | 01/24/2027 | | | | 1,516,355 | |
| | 200,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 208,000 | |
| | | | | | |
| 82 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 400,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 354,500 | |
| | 200,000 | | | Grupo Posadas S.A.B. de C.V. | | | 7.88% | ^ | | | 06/30/2022 | | | | 206,500 | |
| | 400,000 | | | Grupo Televisa SAB | | | 4.63% | | | | 01/30/2026 | | | | 412,292 | |
| | 600,000 | | | Grupo Televisa SAB | | | 6.13% | | | | 01/31/2046 | | | | 637,478 | |
| | 750,000 | | | GrupoSura Finance S.A. | | | 5.50% | | | | 04/29/2026 | | | | 792,188 | |
| | 583,056 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 601,277 | |
| | 500,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 502,850 | |
| | 2,000,000 | | | Industrial Senior Trust | | | 5.50% | | | | 11/01/2022 | | | | 2,009,280 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 206,000 | |
| | 200,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 211,484 | |
| | 150,000 | | | Intelsat Jackson Holdings S.A. | | | 5.50% | | | | 08/01/2023 | | | | 123,937 | |
| | 100,000 | | | Intelsat Jackson Holdings S.A. | | | 8.00% | ^ | | | 02/15/2024 | | | | 106,250 | |
| | 1,800,000 | | | Inversiones CMPC S.A. | | | 4.38% | ^ | | | 04/04/2027 | | | | 1,793,252 | |
| | 300,000 | | | IOI Investment BHD | | | 4.38% | | | | 06/27/2022 | | | | 310,274 | |
| | 2,500,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 2,632,500 | |
| | 2,500,000 | | | Korea Development Bank | | | 3.00% | | | | 01/13/2026 | | | | 2,495,234 | |
| | 135,000 | | | Kronos Acquisition Holdings, Inc. | | | 9.00% | ^ | | | 08/15/2023 | | | | 137,700 | |
| | 200,000 | | | Magnesita Finance Ltd. | | | 8.63% | † | | | 04/05/2017 | | | | 199,900 | |
| | 800,000 | | | Malayan Banking BHD | | | 3.25% | # | | | 09/20/2022 | | | | 802,920 | |
| | 1,000,000 | | | MARB BondCo PLC | | | 7.00% | ^ | | | 03/15/2024 | | | | 995,000 | |
| | 400,000 | | | Marfrig Holdings Europe B.V. | | | 8.00% | ^ | | | 06/08/2023 | | | | 418,920 | |
| | 380,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 399,000 | |
| | 200,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #^† | | | 04/03/2019 | | | | 210,000 | |
| | 100,000 | | | National Gas Company of Trinidad and Tobago Ltd. | | | 6.05% | | | | 01/15/2036 | | | | 104,000 | |
| | 200,000 | | | OAS Financial Ltd. | | | 8.88% | †W | | | 04/29/2049 | | | | 9,000 | |
| | 2,500,000 | | | ONGC Videsh Ltd. | | | 3.75% | | | | 07/27/2026 | | | | 2,453,045 | |
| | 2,400,000 | | | Ooredoo International Finance Ltd. | | | 3.88% | | | | 01/31/2028 | | | | 2,365,644 | |
| | 800,000 | | | Pampa Energia S.A. | | | 7.50% | ^ | | | 01/24/2027 | | | | 811,120 | |
| | 1,000,000 | | | Pertamina Persero PT | | | 5.63% | | | | 05/20/2043 | | | | 1,029,070 | |
| | 400,000 | | | Petrobras Global Finance B.V. | | | 7.38% | | | | 01/17/2027 | | | | 423,880 | |
| | 2,000,000 | | | Petrobras Global Finance B.V. | | | 7.25% | | | | 03/17/2044 | | | | 1,985,000 | |
| | 2,200,000 | | | Petronas Capital Ltd. | | | 3.50% | | | | 03/18/2025 | | | | 2,238,524 | |
| | 1,500,000 | | | Pontis Ltd. | | | 5.13% | ^ | | | 03/31/2027 | | | | 1,504,500 | |
| | 250,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 265,293 | |
| | 500,000 | | | Reliance Holdings, Inc. | | | 5.40% | | | | 02/14/2022 | | | | 546,122 | |
| | 200,000 | | | Sigma Alimentos S.A. de C.V. | | | 4.13% | | | | 05/02/2026 | | | | 196,000 | |
| | 2,800,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.75% | | | | 09/29/2026 | | | | 2,600,304 | |
| | 200,000 | | | Sixsigma Networks Mexico S.A. de C.V. | | | 8.25% | ^ | | | 11/07/2021 | | | | 198,500 | |
| | 900,000 | | | SUAM Finance B.V. | | | 4.88% | | | | 04/17/2024 | | | | 936,630 | |
| | 310,000 | | | Telesat LLC | | | 8.88% | ^ | | | 11/15/2024 | | | | 341,000 | |
| | 200,000 | | | Tenedora Nemak S.A. de C.V. | | | 5.50% | | | | 02/28/2023 | | | | 208,750 | |
| | 2,500,000 | | | Transportadora de Gas del Peru S.A. | | | 4.25% | | | | 04/30/2028 | | | | 2,531,250 | |
| | 400,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 400,000 | |
| | 400,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 395,000 | |
| | 800,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 816,184 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $86,628,995) | | | | 87,397,904 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 4.5% |
|
| | 2,900,000 | | | Argentine Republic Government International Bond | | | 6.88% | ^ | | | 01/26/2027 | | | | 2,938,425 | |
| | 2,500,000 | | | Brazilian Government International Bond | | | 5.63% | | | | 01/07/2041 | | | | 2,443,750 | |
| | 1,500,000 | | | Chile Government International Bond | | | 3.13% | | | | 01/21/2026 | | | | 1,527,000 | |
| | 300,000 | | | Colombia Government International Bond | | | 4.50% | | | | 01/28/2026 | | | | 317,625 | |
| | 800,000 | | | Costa Rica Government International Bond | | | 10.00% | | | | 08/01/2020 | | | | 941,440 | |
| | 300,000 | | | Dominican Republic International Bond | | | 5.50% | | | | 01/27/2025 | | | | 306,375 | |
| | 2,600,000 | | | Dominican Republic International Bond | | | 5.95% | ^ | | | 01/25/2027 | | | | 2,661,750 | |
| | 1,200,000 | | | Dominican Republic International Bond | | | 6.85% | | | | 01/27/2045 | | | | 1,248,000 | |
| | 1,400,000 | | | Guatemala Government Bond | | | 4.50% | | | | 05/03/2026 | | | | 1,396,752 | |
| | 500,000 | | | Guatemala Government Bond | | | 4.88% | | | | 02/13/2028 | | | | 511,000 | |
| | 1,500,000 | | | Indonesia Government International Bond | | | 5.88% | | | | 03/13/2020 | | | | 1,642,413 | |
| | 500,000 | | | Indonesia Government International Bond | | | 4.35% | ^ | | | 01/08/2027 | | | | 517,979 | |
| | 3,000,000 | | | Korea International Bond | | | 2.75% | | | | 01/19/2027 | | | | 2,953,425 | |
| | 3,000,000 | | | Mexico Government International Bond | | | 4.13% | | | | 01/21/2026 | | | | 3,091,500 | |
| | 800,000 | | | Mexico Government International Bond | | | 4.15% | | | | 03/28/2027 | | | | 815,000 | |
| | 1,500,000 | | | Mexico Government International Bond | | | 4.75% | | | | 03/08/2044 | | | | 1,462,500 | |
| | 3,000,000 | | | Panama Government International Bond | | | 3.88% | | | | 03/17/2028 | | | | 3,056,250 | |
| | 600,000 | | | Panama Government International Bond | | | 4.30% | | | | 04/29/2053 | | | | 571,500 | |
| | 1,400,000 | | | Perusahaan Penerbit SBSN Indonesia III | | | 4.15% | ^ | | | 03/29/2027 | | | | 1,407,630 | |
| | 1,200,000 | | | Philippine Government International Bond | | | 3.70% | | | | 02/02/2042 | | | | 1,188,257 | |
| | 1,200,000 | | | Provincia de Buenos Aires | | | 7.88% | ^ | | | 06/15/2027 | | | | 1,218,240 | |
| | 800,000 | | | Republic of Poland Government International Bond | | | 5.13% | | | | 04/21/2021 | | | | 877,344 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $32,534,193) | | | | 33,094,155 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE BACKED
OBLIGATIONS 9.8% |
|
| | 159,000 | | | Americold 2010 LLC Trust, Series 2010-ARTA-C | | | 6.81% | ^ | | | 01/14/2029 | | | | 177,663 | |
| |
| | | | Banc of America Commercial Mortgage Trust, | |
| | 100,000 | | | Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 102,053 | |
| |
| | | | Barclays Commercial Mortgage Securities LLC, | |
| | 11,389,514 | | | Series 2017-C1-XA | | | 1.53% | # I/O | | | 02/15/2050 | | | | 1,284,042 | |
| | 1,259,000 | | | Series 2014-BXO-E | | | 3.33% | #^ | | | 08/15/2027 | | | | 1,256,594 | |
| |
| | | | BB-UBS Trust, | |
| | 1,430,000 | | | Series 2012-TFT-TE | | | 3.56% | #^ | | | 06/05/2030 | | | | 1,319,843 | |
| |
| | | | Bear Stearns Commercial Mortgage Securities Trust, | |
| | 493,405 | | | Series 2007-PW17-A4 | | | 5.69% | # | | | 06/11/2050 | | | | 496,948 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 83 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Bear Stearns Commercial Mortgage Securities, Inc., | |
| | 8,469 | | | Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 8,461 | |
| | 443,430 | | | Series 2007-PW18-A4 | | | 5.70% | | | | 06/11/2050 | | | | 448,784 | |
| | 250,000 | | | Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 240,230 | |
| |
| | | | BXHTL Mortgage Trust, | |
| | 550,000 | | | Series 2015-JWRZ-A | | | 2.14% | #^ | | | 05/15/2029 | | | | 551,639 | |
| |
| | | | CD Commercial Mortgage Trust, | |
| | 13,285,774 | | | Series 2017-CD3-XA | | | 1.05% | # I/O | | | 02/10/2050 | | | | 1,053,735 | |
| |
| | | | CFCRE Commercial Mortgage Trust, | |
| | 7,605,734 | | | Series 2016-C4-XA | | | 1.77% | # I/O | | | 05/10/2058 | | | | 871,530 | |
| |
| | | | Citigroup Commercial Mortgage Trust, | |
| | 412,000 | | | Series 2007-C6-AM | | | 5.78% | # | | | 12/10/2049 | | | | 417,483 | |
| | 210,000 | | | Series 2007-C6-AMFX | | | 5.78% | #^ | | | 12/10/2049 | | | | 211,098 | |
| | 275,000 | | | Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 280,531 | |
| | 100,000 | | | Series 2014-GC21-D | | | 4.84% | #^ | | | 05/10/2047 | | | | 84,305 | |
| | 1,843,470 | | | Series 2014-GC25-XA | | | 1.06% | # I/O | | | 10/10/2047 | | | | 114,850 | |
| | 200,000 | | | Series 2015-GC27-D | | | 4.43% | #^ | | | 02/10/2048 | | | | 160,937 | |
| | 3,325,915 | | | Series 2016-P4-XA | | | 2.01% | # I/O | | | 07/10/2049 | | | | 432,002 | |
| |
| | | | COBALT Commercial Mortgage Trust, | |
| | 1,290,000 | | | Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 1,304,513 | |
| | 100,000 | | | Series 2007-C3-AM | | | 5.88% | # | | | 05/15/2046 | | | | 101,678 | |
| |
| | | | Commercial Mortgage Pass-Through Certificates, | |
| | 440,000 | | | Series 2012-CR4-C | | | 4.44% | #^ | | | 10/15/2045 | | | | 431,064 | |
| | 1,187,000 | | | Series 2012-CR4-D | | | 4.57% | #^ | | | 10/15/2045 | | | | 1,083,237 | |
| | 3,127,098 | | | Series 2013-CR10-XA | | | 0.92% | # I/O | | | 08/10/2046 | | | | 111,299 | |
| | 2,000,000 | | | Series 2013-CR11-D | | | 5.17% | #^ | | | 08/10/2050 | | | | 1,887,204 | |
| | 1,565,000 | | | Series 2013-LC13-D | | | 5.04% | #^ | | | 08/10/2046 | | | | 1,501,430 | |
| | 1,311,735 | | | Series 2014-CR17-XA | | | 1.16% | # I/O | | | 05/10/2047 | | | | 70,175 | |
| | 100,000 | | | Series 2014-CR19-C | | | 4.72% | # | | | 08/10/2047 | | | | 101,851 | |
| | 125,000 | | | Series 2014-CR20-C | | | 4.51% | # | | | 11/10/2047 | | | | 123,205 | |
| | 375,000 | | | Series 2015-CR22-D | | | 4.13% | #^ | | | 03/10/2048 | | | | 302,051 | |
| | 300,000 | | | Series 2015-CR23-D | | | 4.26% | # | | | 05/10/2048 | | | | 228,239 | |
| | 8,245,847 | | | Series 2015-CR27-XA | | | 1.16% | # I/O | | | 10/13/2048 | | | | 532,692 | |
| | 2,468,138 | | | Series 2015-DC1-XA | | | 1.17% | # I/O | | | 02/10/2048 | | | | 149,894 | |
| | 815,000 | | | Series 2015-LC21-C | | | 4.31% | # | | | 07/10/2048 | | | | 771,700 | |
| | 406,000 | | | Series 2015-LC23-C | | | 4.65% | # | | | 10/10/2048 | | | | 399,701 | |
| | 3,618,754 | | | Series 2016-DC2-XA | | | 1.07% | # I/O | | | 02/10/2049 | | | | 249,483 | |
| |
| | | | Cosmopolitan Hotel Trust, | |
| | 595,000 | | | Series 2016-CSMO-C | | | 3.56% | #^ | | | 11/15/2033 | | | | 604,224 | |
| |
| | | | Countrywide Commercial Mortgage Trust, | |
| | 133,071 | | | Series 2007-MF1-A | | | 6.21% | #^ | | | 11/12/2043 | | | | 133,809 | |
| |
| | | | Credit Suisse Commercial Mortgage Trust, | |
| | 586,088 | | | Series 2007-C1-AM | | | 5.42% | | | | 02/15/2040 | | | | 585,129 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 20,854 | | | Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 20,936 | |
| | 551,000 | | | Series 2007-C4-A1AM | | | 5.96% | # | | | 09/15/2039 | | | | 554,566 | |
| | 238,340 | | | Series 2007-C5-A4 | | | 5.70% | # | | | 09/15/2040 | | | | 239,405 | |
| | 2,018,458 | | | Series 2014-USA-X1 | | | 0.55% | #^ I/O | | | 09/15/2037 | | | | 75,876 | |
| | 875,000 | | | Series 2015-SAND-D | | | 3.76% | #^ | | | 08/15/2030 | | | | 879,470 | |
| |
| | | | CSAIL Commercial Mortgage Trust, | |
| | 2,713,085 | | | Series 2015-C1-XA | | | 0.95% | # I/O | | | 04/15/2050 | | | | 147,615 | |
| |
| | | | FORT CRE LLC, | |
| | 536,000 | | | Series 2016-1A-B | | | 3.53% | #^ | | | 05/21/2036 | | | | 543,572 | |
| |
| | | | GE Commercial Mortgage Corporation Trust, | |
| | 399,200 | | | Series 2007-C1-AM | | | 5.61% | # | | | 12/10/2049 | | | | 397,212 | |
| |
| | | | GMAC Commercial Mortgage Securities Trust, | |
| | 406,000 | | | Series 2004-C3-D | | | 5.04% | # | | | 12/10/2041 | | | | 416,333 | |
| | 564,000 | | | Series 2004-C3-E | | | 5.14% | #^ | | | 12/10/2041 | | | | 559,741 | |
| |
| | | | Grace Mortgage Trust, | |
| | 100,000 | | | Series 2014-GRCE-A | | | 3.37% | ^ | | | 06/10/2028 | | | | 103,665 | |
| |
| | | | Greenwich Capital Commercial Funding Corporation, | |
| | 300,000 | | | Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 305,176 | |
| | 150,000 | | | Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 151,789 | |
| |
| | | | GS Mortgage Securities Corporation, | |
| | 132,287 | | | Series 2007-GG10-A4 | | | 5.95% | # | | | 08/10/2045 | | | | 132,312 | |
| | 3,137,827 | | | Series 2013-GC10-XA | | | 1.59% | # I/O | | | 02/10/2046 | | | | 219,965 | |
| | 3,719,071 | | | Series 2014-GC20-XA | | | 1.15% | # I/O | | | 04/10/2047 | | | | 199,975 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | GS Mortgage Securities Corporation, (Cont.) | |
| | 9,127,225 | | | Series 2014-GC24-XA | | | 0.86% | # I/O | | | 09/10/2047 | | | | 410,299 | |
| | 7,438,615 | | | Series 2015-GS1-XA | | | 0.83% | # I/O | | | 11/10/2048 | | | | 421,410 | |
| | 7,406,658 | | | Series 2016-GS2-XA | | | 1.67% | # I/O | | | 05/10/2049 | | | | 805,796 | |
| |
| | | | GS Mortgage Securities Trust, | |
| | 257,000 | | | Series 2013-GC13-D | | | 4.07% | #^ | | | 07/10/2046 | | | | 232,533 | |
| |
| | | | GSCCRE Commercial Mortgage Trust, | |
| | 1,056,000 | | | Series 2015-HULA-D | | | 4.66% | #^ | | | 08/15/2032 | | | | 1,066,280 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Corporation, | |
| | 214,624 | | | Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 214,451 | |
| | 1,044,000 | | | Series 2007-C1-AM | | | 5.99% | # | | | 02/15/2051 | | | | 1,055,063 | |
| | 257,339 | | | Series 2007-CB18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 257,902 | |
| | 631,000 | | | Series 2007-CB19-AM | | | 5.83% | # | | | 02/12/2049 | | | | 631,427 | |
| | 385,000 | | | Series 2007-CB20-AJ | | | 6.18% | # | | | 02/12/2051 | | | | 394,384 | |
| | 150,000 | | | Series 2007-CB20-AM | | | 5.98% | # | | | 02/12/2051 | | | | 152,176 | |
| | 475,000 | | | Series 2007-LD12-AM | | | 6.07% | # | | | 02/15/2051 | | | | 481,907 | |
| | 100,000 | | | Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 101,766 | |
| | 150,000 | | | Series 2014-PHH-D | | | 3.31% | #^ | | | 08/15/2027 | | | | 150,052 | |
| |
| | | | JP Morgan Chase Commercial Mortgage Securities Trust, | |
| | 412,000 | | | Series 2004-CBX-D | | | 5.10% | # | | | 01/12/2037 | | | | 418,888 | |
| | 1,266,000 | | | Series 2006-LDP9-AMS | | | 5.34% | | | | 05/15/2047 | | | | 1,252,120 | |
| | 1,587,000 | | | Series 2007-LD11-AM | | | 5.84% | # | | | 06/15/2049 | | | | 1,624,701 | |
| | 1,241,510 | | | Series 2007-LDPX-AM | | | 5.46% | # | | | 01/15/2049 | | | | 1,240,496 | |
| | 543,000 | | | Series 2014-FRR1-A707 | | | 4.35% | ^ | | | 01/27/2047 | | | | 535,841 | |
| | 1,500,000 | | | Series 2015-FL7-C | | | 3.76% | #^ | | | 05/15/2028 | | | | 1,503,145 | |
| | 1,476,000 | | | Series 2015-JP1-F | | | 4.74% | #^ | | | 01/15/2049 | | | | 1,058,420 | |
| | 406,000 | | | Series 2016-ASH-B | | | 3.06% | #^ | | | 10/15/2034 | | | | 408,538 | |
| | 229,000 | | | Series 2016-ASH-C | | | 3.66% | #^ | | | 10/15/2034 | | | | 230,716 | |
| | 6,449,723 | | | Series 2016-JP4-XA | | | 0.82% | # I/O | | | 12/15/2049 | | | | 324,378 | |
| | 594,000 | | | Series 2016-WPT-E | | | 5.91% | #^ | | | 10/15/2033 | | | | 606,331 | |
| |
| | | | JPMBB Commercial Mortgage Securities Trust, | |
| | 318,000 | | | Series 2013-C15-D | | | 5.05% | #^ | | | 11/15/2045 | | | | 302,084 | |
| | 2,144,016 | | | Series 2014-C18-XA | | | 1.07% | # I/O | | | 02/15/2047 | | | | 96,658 | |
| | 1,225,183 | | | Series 2014-C21-XA | | | 1.09% | # I/O | | | 08/15/2047 | | | | 70,940 | |
| | 100,000 | | | Series 2014-C23-C | | | 4.46% | # | | | 09/15/2047 | | | | 100,276 | |
| | 150,000 | | | Series 2014-C25-C | | | 4.45% | # | | | 11/15/2047 | | | | 147,909 | |
| | 425,000 | | | Series 2014-C26-C | | | 4.43% | # | | | 01/15/2048 | | | | 414,334 | |
| | 6,893,812 | | | Series 2015-C29-XA | | | 0.94% | # I/O | | | 05/15/2048 | | | | 266,363 | |
| | 5,702,361 | | | Series 2015-C31-XA | | | 1.01% | # I/O | | | 08/15/2048 | | | | 323,610 | |
| | 470,000 | | | Series 2015-C33-C | | | 4.62% | # | | | 12/15/2048 | | | | 471,662 | |
| |
| | | | JPMDB Commercial Mortgage Securities Trust, | |
| | 9,255,819 | | | Series 2016-C4-XA | | | 0.85% | # I/O | | | 12/15/2049 | | | | 584,244 | |
| |
| | | | LB-UBS Commercial Mortgage Trust, | |
| | 289,566 | | | Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 289,716 | |
| |
| | | | LSTAR Commercial Mortgage Trust, | |
| | 4,601,536 | | | Series 2016-4-XA | | | 1.95% | #^ I/O | | | 03/10/2049 | | | | 396,084 | |
| | 18,807,000 | | | Series 2017-5-X | | | 1.39% | #^ I/O | | | 03/10/2050 | | | | 1,097,565 | |
| |
| | | | Merrill Lynch Mortgage Trust, | |
| | 542,000 | | | Series 2007-C1-AM | | | 5.84% | # | | | 06/12/2050 | | | | 533,394 | |
| |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust, | |
| | 100,000 | | | Series 2014-C18-C | | | 4.49% | # | | | 10/15/2047 | | | | 98,608 | |
| | 500,000 | | | Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 467,265 | |
| | 500,000 | | | Series 2015-C20-C | | | 4.46% | # | | | 02/15/2048 | | | | 463,736 | |
| | 1,664,000 | | | Series 2015-C20-D | | | 3.07% | ^ | | | 02/15/2048 | | | | 1,256,530 | |
| | 180,000 | | | Series 2015-C21-C | | | 4.16% | # | | | 03/15/2048 | | | | 174,129 | |
| | 360,000 | | | Series 2015-C23-C | | | 4.14% | # | | | 07/15/2050 | | | | 341,170 | |
| | 550,000 | | | Series 2015-C26-D | | | 3.06% | ^ | | | 10/15/2048 | | | | 411,267 | |
| | 274,000 | | | Series 2015-C27-C | | | 4.54% | # | | | 12/15/2047 | | | | 261,705 | |
| |
| | | | Morgan Stanley Capital, Inc., | |
| | 41,947 | | | Series 2006-HQ8-AJ | | | 5.40% | # | | | 03/12/2044 | | | | 41,994 | |
| | 109,970 | | | Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 107,991 | |
| | 616,000 | | | Series 2007-IQ16-AM | | | 6.07% | # | | | 12/12/2049 | | | | 628,402 | |
| | 150,000 | | | Series 2014-MP-D | | | 3.69% | #^ | | | 08/11/2029 | | | | 151,880 | |
| | 11,578,517 | | | Series 2016-UB12-XA | | | 0.84% | # I/O | | | 12/15/2049 | | | | 631,324 | |
| | 1,651,000 | | | Series 2017-PRME-D | | | 4.31% | #^ | | | 02/15/2034 | | | | 1,659,884 | |
| |
| | | | MSCG Trust, | |
| | 648,000 | | | Series 2016-SNR-C | | | 5.21% | ^ | | | 11/15/2034 | | | | 650,752 | |
| | | | | | |
| 84 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | RRX Trust, | |
| | 2,000,000 | | | Series 2014-1A-A | | | 0.00% | ^ P/O | | | 08/26/2044 | | | | 1,909,302 | |
| |
| | | | Sutherland Commercial Mortgage Loans LLC, | |
| | 1,105,227 | | | Series 2015-SBC4-A | | | 4.00% | ^ | | | 06/25/2039 | | | | 1,101,220 | |
| |
| | | | TRU Trust, | |
| | 1,306,952 | | | Series 2016-TOYS-A | | | 3.16% | #^ | | | 11/15/2030 | | | | 1,312,466 | |
| |
| | | | UBS-Barclays Commercial Mortgage Trust, | |
| | 571,000 | | | Series 2013-C6-D | | | 4.35% | #^ | | | 04/10/2046 | | | | 514,729 | |
| |
| | | | Wachovia Bank Commercial Mortgage Trust, | |
| | 1,417,000 | | | Series 2006-C25-F | | | 5.88% | # | | | 05/15/2043 | | | | 1,421,267 | |
| | 1,252,000 | | | Series 2006-C26-AM | | | 6.06% | # | | | 06/15/2045 | | | | 1,261,409 | |
| | 262,514 | | | Series 2006-C27-AJ | | | 5.83% | # | | | 07/15/2045 | | | | 264,636 | |
| | 250,417 | | | Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 251,357 | |
| | 609,020 | | | Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 613,585 | |
| | 1,629,000 | | | Series 2007-C31-AJ | | | 5.66% | # | | | 04/15/2047 | | | | 1,636,468 | |
| | 130,250 | | | Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 131,107 | |
| | 136,358 | | | Series 2007-C32-A3 | | | 5.76% | # | | | 06/15/2049 | | | | 136,217 | |
| | 485,000 | | | Series 2007-C33-AJ | | | 6.05% | # | | | 02/15/2051 | | | | 486,790 | |
| | 407,000 | | | Series 2007-C33-AM | | | 6.05% | # | | | 02/15/2051 | | | | 410,220 | |
| |
| | | | Wells Fargo Commercial Mortgage Trust, | |
| | 500,000 | | | Series 2014-LC16-D | | | 3.94% | ^ | | | 08/15/2050 | | | | 414,224 | |
| | 200,000 | | | Series 2015-C27-C | | | 3.89% | | | | 02/15/2048 | | | | 176,621 | |
| | 400,000 | | | Series 2015-C28-C | | | 4.14% | # | | | 05/15/2048 | | | | 360,785 | |
| | 11,052,463 | | | Series 2015-C30-XA | | | 1.01% | # I/O | | | 09/15/2058 | | | | 692,304 | |
| | 540,000 | | | Series 2015-C31-C | | | 4.61% | # | | | 11/15/2048 | | | | 548,593 | |
| | 5,937,403 | | | Series 2015-C31-XA | | | 1.11% | # I/O | | | 11/15/2048 | | | | 406,891 | |
| | 2,707,293 | | | Series 2015-NXS1-XA | | | 1.19% | # I/O | | | 05/15/2048 | | | | 174,600 | |
| | 8,895,784 | | | Series 2015-NXS2-XA | | | 0.79% | # I/O | | | 07/15/2058 | | | | 376,776 | |
| | 411,000 | | | Series 2015-NXS4-C | | | 4.60% | # | | | 12/15/2048 | | | | 420,942 | |
| | 2,770,274 | | | Series 2016-C33-XA | | | 1.81% | # I/O | | | 03/15/2059 | | | | 302,258 | |
| | 3,155,000 | | | Series 2017-RC1-XA | | | 1.74% | # I/O | | | 01/15/2060 | | | | 346,098 | |
| |
| | | | WFRBS Commercial Mortgage Trust, | |
| | 1,192,000 | | | Series 2012-C6-D | | | 5.58% | #^ | | | 04/15/2045 | | | | 1,195,606 | |
| | 1,066,647 | | | Series 2012-C9-D | | | 4.80% | #^ | | | 11/15/2045 | | | | 1,012,229 | |
| |
| | | | WF-RBS Commercial Mortgage Trust, | |
| | 4,130,103 | | | Series 2014-C21-XA | | | 1.15% | # I/O | | | 08/15/2047 | | | | 239,979 | |
| | 2,521,167 | | | Series 2014-C24-XA | | | 0.97% | # I/O | | | 11/15/2047 | | | | 127,881 | |
| | 5,056,309 | | | Series 2016-NXS6-XA | | | 1.66% | # I/O | | | 11/15/2049 | | | | 537,487 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $73,078,729) | | | | 71,937,457 | |
| | | | | | | | | | | | | | | | |
| NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 25.4% |
|
| |
| | | | ACE Securities Corporation Home Equity Loan Trust Series, | |
| | 5,581,208 | | | Series 2007-HE1-A2A | | | 1.07% | # | | | 01/25/2037 | | | | 3,938,003 | |
| |
| | | | Ajax Mortgage Loan Trust, | |
| | 1,866,740 | | | Series 2015-B-A | | | 3.88% | #^ | | | 07/25/2060 | | | | 1,866,331 | |
| | 4,504,587 | | | Series 2016-1-A | | | 4.25% | #^ | | | 07/25/2047 | | | | 4,462,329 | |
| | 3,801,641 | | | Series 2016-C-A | | | 4.00% | #^ | | | 10/25/2057 | | | | 3,793,040 | |
| |
| | | | Banc of America Funding Corporation, | |
| | 750,000 | | | Series 2005-B-3M1 | | | 1.43% | # | | | 04/20/2035 | | | | 627,686 | |
| |
| | | | Bayview Opportunity Master Fund Trust, | |
| | 3,187,016 | | | Series 2016-RN3-A1 | | | 3.60% | #^ | | | 09/28/2031 | | | | 3,190,116 | |
| | 2,237,613 | | | Series 2016-RPL2-A1 | | | 3.84% | #^ | | | 06/28/2031 | | | | 2,214,662 | |
| | 2,817,691 | | | Series 2016-RPL4-A1 | | | 3.47% | #^ | | | 07/28/2018 | | | | 2,804,997 | |
| |
| | | | Bear Stearns Alt-A Trust, | |
| | 1,861,901 | | | Series 2006-4-22A1 | | | 3.49% | # | | | 08/25/2036 | | | | 1,554,861 | |
| |
| | | | Bear Stearns ARM Trust, | |
| | 4,193,026 | | | Series 2006-2-2A1 | | | 3.34% | # | | | 07/25/2036 | | | | 4,080,544 | |
| |
| | | | Chase Mortgage Finance Trust Series, | |
| | 3,521,167 | | | Series 2007-S4-A4 | | | 1.58% | # | | | 06/25/2037 | | | | 2,076,074 | |
| |
| | | | CHL Mortgage Pass-Through Trust, | |
| | 10,968,172 | | | Series 2007-14-A19 | | | 6.00% | | | | 09/25/2037 | | | | 9,964,722 | |
| | 9,064,281 | | | Series 2007-9-A1 | | | 5.75% | | | | 07/25/2037 | | | | 8,404,826 | |
| | 10,220,590 | | | Series 2007-9-A13 | | | 5.75% | | | | 07/25/2037 | | | | 9,370,519 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | CIM Trust, | |
| | 13,420,000 | | | Series 2017-3RR-B2 | | | 16.78% | #^ | | | 01/27/2057 | | | | 14,762,000 | |
| |
| | | | Citigroup Mortgage Loan Trust, Inc., | |
| | 4,688,333 | | | Series 2006-AMC1-A1 | | | 1.13% | #^ | | | 09/25/2036 | | | | 4,139,776 | |
| | 9,297,219 | | | Series 2006-AR6-2A3 | | | 1.23% | # | | | 09/25/2036 | | | | 8,689,659 | |
| |
| | | | CitiMortgage Alternative Loan Trust, | |
| | 12,283,967 | | | Series 2007-A5-1A1 | | | 6.00% | | | | 05/25/2037 | | | | 11,402,695 | |
| | 1,994,432 | | | Series 2007-A5-1A10 | | | 5.75% | | | | 05/25/2037 | | | | 1,827,666 | |
| |
| | | | Countrywide Alternative Loan Trust, | |
| | 753,378 | | | Series 2005-75CB-A3 | | | 5.50% | | | | 01/25/2036 | | | | 675,522 | |
| | 889,637 | | | Series 2006-23CB-2A2 | | | 6.50% | | | | 08/25/2036 | | | | 593,527 | |
| | 675,381 | | | Series 2007-15CB-A7 | | | 6.00% | | | | 07/25/2037 | | | | 600,335 | |
| | 898,313 | | | Series 2008-1R-2A3 | | | 6.00% | | | | 08/25/2037 | | | | 720,802 | |
| |
| | | | Countrywide Home Loans, | |
| | 870,096 | | | Series 2005-HYB9-3A2A | | | 3.31% | # | | | 02/20/2036 | | | | 775,428 | |
| | 560,088 | | | Series 2007-14-A15 | | | 6.50% | | | | 09/25/2037 | | | | 525,220 | |
| | 1,559,692 | | | Series 2007-HY1-1A1 | | | 3.55% | # | | | 04/25/2037 | | | | 1,499,152 | |
| |
| | | | Credit Suisse First Boston Mortgage Backed Trust, | |
| | 482,187 | | | Series 2006-2-A5A | | | 6.08% | # | | | 09/25/2036 | | | | 308,366 | |
| |
| | | | Credit Suisse First Boston Mortgage Securities Corporation, | |
| | 971,179 | | | Series 2005-10-6A9 | | | 5.50% | | | | 11/25/2035 | | | | 802,023 | |
| | 500,499 | | | Series 2005-9-5A9 | | | 5.50% | | | | 10/25/2035 | | | | 431,654 | |
| |
| | | | Credit Suisse Mortgage Capital Certificates, | |
| | 1,500,000 | | | Series 2011-12R-3A5 | | | 3.05% | #^ | | | 07/27/2036 | | | | 1,450,741 | |
| | 402,000 | | | Series 2011-5R-6A9 | | | 3.12% | #^ | | | 11/27/2037 | | | | 414,983 | |
| | 3,492,025 | | | Series 2015-RPL3-A1 | | | 3.75% | #^ | | | 12/25/2056 | | | | 3,499,466 | |
| |
| | | | Credit Suisse Mortgage Trust, | |
| | 5,000,000 | | | Series 2017-1-A | | | 4.50% | ^ | | | 03/25/2021 | | | | 5,015,280 | |
| |
| | | | CSMC Mortgage Securities Trust, | |
| | 5,000,000 | | | Series 2017-3R-1A1 | | | 2.98% | #^ | | | 03/06/2047 | | | | 5,000,000 | |
| |
| | | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, | |
| | 566,233 | | | Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 508,484 | |
| |
| | | | Deutsche Mortgage & Asset Receiving Corporation, | |
| | 237,762 | | | Series 2014-RS1-1A2 | | | 7.58% | #^ | | | 07/27/2037 | | | | 207,774 | |
| |
| | | | Impac Secured Assets Trust, | |
| | 1,123,194 | | | Series 2006-5-1A1C | | | 1.25% | # | | | 02/25/2037 | | | | 866,223 | |
| |
| | | | IndyMac Mortgage Loan Trust, | |
| | 3,731,502 | | | Series 2004-AR4-3A | | | 3.17% | # | | | 08/25/2034 | | | | 3,673,950 | |
| | 3,582,840 | | | Series 2006-AR19-2A1 | | | 3.21% | # | | | 08/25/2036 | | | | 3,145,403 | |
| |
| | | | JP Morgan Mortgage Trust, | |
| | 822,516 | | | Series 2005-S3-1A2 | | | 5.75% | | | | 01/25/2036 | | | | 693,884 | |
| | 1,371,443 | | | Series 2007-A2-4A1M | | | 3.31% | # | | | 04/25/2037 | | | | 1,214,332 | |
| |
| | | | Lehman Mortgage Trust, | |
| | 243,636 | | | Series 2006-1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 216,661 | |
| |
| | | | MASTR Adjustable Rate Mortgages Trust, | |
| | 308,738 | | | Series 2006-2-2A1 | | | 3.26% | # | | | 04/25/2036 | | | | 286,448 | |
| |
| | | | Merrill Lynch Alternative Note Asset Trust, | |
| | 477,929 | | | Series 2007-F1-2A7 | | | 6.00% | | | | 03/25/2037 | | | | 362,730 | |
| |
| | | | Merrill Lynch Mortgage Investors Trust, | |
| | 1,062,373 | | | Series 2006-AF1-AF2C | | | 6.25% | | | | 08/25/2036 | | | | 848,291 | |
| |
| | | | Morgan Stanley Mortgage Loan Trust, | |
| | 213,763 | | | Series 2005-7-4A1 | | | 5.50% | | | | 11/25/2035 | | | | 198,306 | |
| | 189,405 | | | Series 2006-2-2A4 | | | 5.75% | | | | 02/25/2036 | | | | 180,365 | |
| | 640,565 | | | Series 2006-2-7A1 | | | 5.41% | # | | | 02/25/2036 | | | | 563,893 | |
| | 770,536 | | | Series 2007-8XS-A1 | | | 5.75% | # | | | 04/25/2037 | | | | 550,900 | |
| |
| | | | Nationstar HECM Loan Trust, | |
| | 2,500,000 | | | Series 2016-2A-M1 | | | 3.60% | ^ | | | 06/25/2026 | | | | 2,509,123 | |
| |
| | | | New Century Home Equity Loan Trust, | |
| | 6,076,467 | | | Series 2006-1-A2B | | | 1.16% | # | | | 05/25/2036 | | | | 5,181,459 | |
| |
| | | | PRPM LLC, | |
| | 4,824,136 | | | Series 2017-1A-A1 | | | 4.25% | #^ | | | 01/25/2022 | | | | 4,841,616 | |
| |
| | | | Residential Accredit Loans, Inc., | |
| | 383,465 | | | Series 2006-QS10-A9 | | | 6.50% | | | | 08/25/2036 | | | | 334,821 | |
| | 802,554 | | | Series 2006-QS12-2A3 | | | 6.00% | | | | 09/25/2036 | | | | 710,335 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 85 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| |
| | | | Residential Asset Securitization Trust, | |
| | 2,523,381 | | | Series 2005-A15-5A2 | | | 5.75% | | | | 02/25/2036 | | | | 1,947,135 | |
| | 527,674 | | | Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 410,206 | |
| |
| | | | RFMSI Trust, | |
| | 8,698,537 | | | Series 2006-S8-A10 | | | 6.00% | | | | 09/25/2036 | | | | 8,098,500 | |
| |
| | | | Springleaf Mortgage Loan Trust, | |
| | 750,000 | | | Series 2013-2A-B2 | | | 6.00% | #^ | | | 12/25/2065 | | | | 752,277 | |
| |
| | | | Structured Adjustable Rate Mortgage Loan Trust, | |
| | 4,897,684 | | | Series 2005-22-4A1 | | | 3.35% | # | | | 12/25/2035 | | | | 4,599,123 | |
| |
| | | | Towd Point Mortgage Trust, | |
| | 2,853,677 | | | Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 2,832,585 | |
| |
| | | | Verus Securitization, | |
| | 4,896,114 | | | Series 2017-1A-A3 | | | 3.72% | #^ | | | 01/25/2047 | | | | 4,911,028 | |
| |
| | | | VOLT LLC, | |
| | 1,145,684 | | | Series 2015-NPL3-A1 | | | 3.38% | #^ | | | 10/25/2058 | | | | 1,144,056 | |
| | 4,892,187 | | | Series 2016-NPL4-A1 | | | 4.25% | #^ | | | 04/25/2046 | | | | 4,953,627 | |
| | 4,921,493 | | | Series 2017-NPL1-A1 | | | 3.63% | #^ | | | 02/25/2047 | | | | 4,924,918 | |
| |
| | | | Washington Mutual Mortgage Pass-Through Certificates, | |
| | 1,266,141 | | | Series 2006-2-4CB | | | 6.00% | | | | 03/25/2036 | | | | 1,209,265 | |
| |
| | | | Wells Fargo Alternative Loan Trust, | |
| | 1,180,966 | | | Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 1,138,809 | |
| |
| | | | Wells Fargo Mortgage Backed Securities Trust, | |
| | 241,306 | | | Series 2007-2-1A15 | | | 5.75% | | | | 03/25/2037 | | | | 237,861 | |
| | 132,210 | | | Series 2007-3-1A4 | | | 6.00% | | | | 04/25/2037 | | | | 132,294 | |
| |
| | | | WinWater Mortgage Loan Trust, | |
| | 2,085,673 | | | Series 2016-1-2A3 | | | 3.00% | #^ | | | 12/20/2030 | | | | 2,091,213 | |
| | | | | | | | | | | | | | | | |
| | | | Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $188,969,587) | | | | 187,960,900 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 5.7% | |
| | 440,000 | | | Acadia Healthcare Company, Inc. | | | 5.63% | | | | 02/15/2023 | | | | 457,873 | |
| | 290,000 | | | AECOM | | | 5.13% | ^ | | | 03/15/2027 | | | | 291,450 | |
| | 650,000 | | | Air Medical Merger Sub Corporation | | | 6.38% | ^ | | | 05/15/2023 | | | | 632,125 | |
| | 455,000 | | | Albertson’s Holdings LLC | | | 5.75% | ^ | | | 03/15/2025 | | | | 442,487 | |
| | 235,000 | | | Allison Transmission, Inc. | | | 5.00% | ^ | | | 10/01/2024 | | | | 237,937 | |
| | 235,000 | | | AMC Entertainment Holdings, Inc. | | | 5.88% | ^ | | | 11/15/2026 | | | | 238,231 | |
| | 190,000 | | | AMC Entertainment Holdings, Inc. | | | 6.13% | ^ | | | 05/15/2027 | | | | 192,137 | |
| | 585,000 | | | American Axle & Manufacturing, Inc. | | | 6.63% | | | | 10/15/2022 | | | | 605,475 | |
| | 300,000 | | | Aramark Services, Inc. | | | 5.00% | ^ | | | 04/01/2025 | | | | 309,750 | |
| | 580,000 | | | Argos Merger Sub, Inc. | | | 7.13% | ^ | | | 03/15/2023 | | | | 552,450 | |
| | 335,000 | | | Asbury Automotive Group, Inc. | | | 6.00% | | | | 12/15/2024 | | | | 347,562 | |
| | 280,000 | | | Ashland, Inc. | | | 4.75% | | | | 08/15/2022 | | | | 290,850 | |
| | 410,000 | | | B&G Foods, Inc. | | | 5.25% | | | | 04/01/2025 | | | | 414,612 | |
| | 415,000 | | | Berry Plastics Corporation | | | 5.50% | | | | 05/15/2022 | | | | 432,637 | |
| | 215,000 | | | BlueLine Rental Finance Corporation | | | 9.25% | ^ | | | 03/15/2024 | | | | 220,644 | |
| | 232,000 | | | Builders FirstSource, Inc. | | | 5.63% | ^ | | | 09/01/2024 | | | | 236,350 | |
| | 380,000 | | | BWAY Holding Company | | | 5.50% | ^ | | | 04/15/2024 | | | | 383,800 | |
| | 185,000 | | | Calpine Corporation | | | 5.75% | | | | 01/15/2025 | | | | 184,515 | |
| | 100,000 | | | CCO Holdings LLC | | | 5.25% | | | | 09/30/2022 | | | | 104,000 | |
| | 160,000 | | | CCO Holdings LLC | | | 5.13% | ^ | | | 05/01/2023 | | | | 165,200 | |
| | 55,000 | | | CCO Holdings LLC | | | 5.13% | ^ | | | 05/01/2027 | | | | 55,516 | |
| | 380,000 | | | Cengage Learning, Inc. | | | 9.50% | ^ | | | 06/15/2024 | | | | 342,000 | |
| | 185,000 | | | Centene Corporation | | | 5.63% | | | | 02/15/2021 | | | | 194,083 | |
| | 435,000 | | | Centene Corporation | | | 4.75% | | | | 01/15/2025 | | | | 438,537 | |
| | 480,000 | | | Cequel Communications Holdings LLC | | | 6.38% | ^ | | | 09/15/2020 | | | | 495,000 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 240,000 | | | CHS Community Health Systems, Inc. | | | 8.00% | | | | 11/15/2019 | | | | 236,100 | |
| | 215,000 | | | CHS Community Health Systems, Inc. | | | 6.25% | | | | 03/31/2023 | | | | 220,106 | |
| | 400,000 | | | Cincinnati Bell, Inc. | | | 7.00% | ^ | | | 07/15/2024 | | | | 420,500 | |
| | 65,000 | | | Cliffs Natural Resources, Inc. | | | 5.75% | ^ | | | 03/01/2025 | | | | 63,212 | |
| | 405,000 | | | CommScope, Inc. | | | 5.00% | ^ | | | 06/15/2021 | | | | 417,656 | |
| | 240,000 | | | CSC Holdings LLC | | | 5.25% | | | | 06/01/2024 | | | | 239,700 | |
| | 145,000 | | | CyrusOne Finance Corporation | | | 5.00% | ^ | | | 03/15/2024 | | | | 149,350 | |
| | 410,000 | | | Diamond 1 Finance Corporation | | | 7.13% | ^ | | | 06/15/2024 | | | | 453,465 | |
| | 110,000 | | | DJO Finance LLC | | | 8.13% | ^ | | | 06/15/2021 | | | | 95,425 | |
| | 335,000 | | | Embarq Corporation | | | 8.00% | | | | 06/01/2036 | | | | 335,000 | |
| | 325,000 | | | Energy Transfer Equity LP | | | 5.50% | | | | 06/01/2027 | | | | 341,250 | |
| | 590,000 | | | Ensemble S Merger Sub, Inc. | | | 9.00% | ^ | | | 09/30/2023 | | | | 622,450 | |
| | 515,000 | | | Envision Healthcare Corporation | | | 6.25% | ^ | | | 12/01/2024 | | | | 542,038 | |
| | 70,000 | | | EP Energy LLC | | | 9.38% | | | | 05/01/2020 | | | | 66,325 | |
| | 410,000 | | | Equinix, Inc. | | | 5.88% | | | | 01/15/2026 | | | | 437,162 | |
| | 386,000 | | | ESH Hospitality, Inc. | | | 5.25% | ^ | | | 05/01/2025 | | | | 390,099 | |
| | 220,000 | | | Extraction Oil & Gas Holdings LLC | | | 7.88% | ^ | | | 07/15/2021 | | | | 233,200 | |
| | 320,000 | | | First Data Corporation | | | 7.00% | ^ | | | 12/01/2023 | | | | 344,000 | |
| | 330,000 | | | First Data Corporation | | | 5.75% | ^ | | | 01/15/2024 | | | | 341,632 | |
| | 325,000 | | | Flex Acquisition Company, Inc. | | | 6.88% | ^ | | | 01/15/2025 | | | | 332,312 | |
| | 85,000 | | | Foresight Energy LLC | | | 11.50% | ^ | | | 04/01/2023 | | | | 79,900 | |
| | 320,000 | | | Frontier Communications Corporation | | | 8.50% | | | | 04/15/2020 | | | | 338,800 | |
| | 122,000 | | | FTS International, Inc. | | | 6.25% | | | | 05/01/2022 | | | | 107,360 | |
| | 480,000 | | | Gannett Company, Inc. | | | 4.88% | ^ | | | 09/15/2021 | | | | 488,400 | |
| | 115,000 | | | Gartner, Inc. | | | 5.13% | ^ | | | 04/01/2025 | | | | 117,444 | |
| | 455,000 | | | Gates Global LLC | | | 6.00% | ^ | | | 07/15/2022 | | | | 465,237 | |
| | 425,000 | | | Genesy’s Telecommunications Laboratories, Inc. | | | 10.00% | ^ | | | 11/30/2024 | | | | 463,250 | |
| | 230,000 | | | GLP Capital LP | | | 5.38% | | | | 04/15/2026 | | | | 238,050 | |
| | 380,000 | | | Goodyear Tire & Rubber Company | | | 5.13% | | | | 11/15/2023 | | | | 396,387 | |
| | 240,000 | | | Gray Television, Inc. | | | 5.13% | ^ | | | 10/15/2024 | | | | 237,600 | |
| | 350,000 | | | Gray Television, Inc. | | | 5.88% | ^ | | | 07/15/2026 | | | | 357,000 | |
| | 215,000 | | | Grinding Media Canada, Inc. | | | 7.38% | ^ | | | 12/15/2023 | | | | 226,287 | |
| | 110,000 | | | Halcon Resources Corporation | | | 6.75% | ^ | | | 02/15/2025 | | | | 108,570 | |
| | 415,000 | | | Hexion, Inc. | | | 10.38% | ^ | | | 02/01/2022 | | | | 415,000 | |
| | 655,000 | | | Hilton Domestic Operating Company, Inc. | | | 4.25% | ^ | | | 09/01/2024 | | | | 650,087 | |
| | 330,000 | | | Icahn Enterprises LP | | | 6.25% | ^ | | | 02/01/2022 | | | | 335,775 | |
| | 415,000 | | | Infor US, Inc. | | | 6.50% | | | | 05/15/2022 | | | | 428,529 | |
| | 445,000 | | | Informatica LLC | | | 7.13% | ^ | | | 07/15/2023 | | | | 434,987 | |
| | 420,000 | | | InVentiv Group Holdings, Inc. | | | 7.50% | ^ | | | 10/01/2024 | | | | 434,175 | |
| | 415,000 | | | Jack Ohio Finance Corporation | | | 6.75% | ^ | | | 11/15/2021 | | | | 430,562 | |
| | 265,000 | | | JBS LLC | | | 5.75% | ^ | | | 06/15/2025 | | | | 268,975 | |
| | 628,000 | | | Level 3 Communications, Inc. | | | 5.75% | | | | 12/01/2022 | | | | 651,550 | |
| | 235,000 | | | Levi Strauss & Company | | | 5.00% | | | | 05/01/2025 | | | | 242,097 | |
| | 205,000 | | | LifePoint Health, Inc. | | | 5.38% | ^ | | | 05/01/2024 | | | | 208,997 | |
| | 415,000 | | | Live Nation Entertainment, Inc. | | | 4.88% | ^ | | | 11/01/2024 | | | | 416,038 | |
| | 105,000 | | | MEG Energy Corporation | | | 7.00% | ^ | | | 03/31/2024 | | | | 94,500 | |
| | 325,000 | | | Memorial Production Partners LP | | | 6.88% | W | | | 08/01/2022 | | | | 121,875 | |
| | 140,000 | | | MGM Growth Properties LP | | | 5.63% | | | | 05/01/2024 | | | | 148,400 | |
| | 350,000 | | | Micron Technology, Inc. | | | 5.25% | ^ | | | 08/01/2023 | | | | 360,500 | |
| | 595,000 | | | MPH Acquisition Holdings LLC | | | 7.13% | ^ | | | 06/01/2024 | | | | 641,187 | |
| | 260,000 | | | Nationstar Capital Corporation | | | 6.50% | | | | 07/01/2021 | | | | 264,550 | |
| | 325,000 | | | Navient Corporation | | | 6.50% | | | | 06/15/2022 | | | | 328,250 | |
| | | | | | |
| 86 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 430,000 | | | NCL Corporation Ltd. | | | 4.75% | ^ | | | 12/15/2021 | | | | 437,525 | |
| | 335,000 | | | Nexstar Escrow Corporation | | | 5.63% | ^ | | | 08/01/2024 | | | | 340,863 | |
| | 220,000 | | | NGL Energy Finance Corporation | | | 7.50% | ^ | | | 11/01/2023 | | | | 228,250 | |
| | 310,000 | | | NGL Energy Finance Corporation | | | 6.13% | ^ | | | 03/01/2025 | | | | 302,250 | |
| | 140,000 | | | Noble Holding International Ltd. | | | 7.75% | | | | 01/15/2024 | | | | 135,100 | |
| | 300,000 | | | Novelis Corporation | | | 6.25% | ^ | | | 08/15/2024 | | | | 313,500 | |
| | 110,000 | | | Novelis Corporation | | | 5.88% | ^ | | | 09/30/2026 | | | | 112,475 | |
| | 410,000 | | | NRG Energy, Inc. | | | 7.25% | | | | 05/15/2026 | | | | 424,350 | |
| | 230,000 | | | Olin Corporation | | | 5.13% | | | | 09/15/2027 | | | | 234,462 | |
| | 235,000 | | | OPE KAG Finance Sub, Inc. | | | 7.88% | ^ | | | 07/31/2023 | | | | 241,463 | |
| | 411,000 | | | Open Text Corporation | | | 5.88% | ^ | | | 06/01/2026 | | | | 431,550 | |
| | 105,000 | | | PDC Energy, Inc. | | | 6.13% | ^ | | | 09/15/2024 | | | | 108,150 | |
| | 230,000 | | | Peabody Securities Finance Corporation | | | 6.00% | ^ | | | 03/31/2022 | | | | 229,713 | |
| | 395,000 | | | Pilgrim’s Pride Corporation | | | 5.75% | ^ | | | 03/15/2025 | | | | 399,938 | |
| | 385,000 | | | Pinnacle Entertainment, Inc. | | | 5.63% | ^ | | | 05/01/2024 | | | | 391,256 | |
| | 215,000 | | | Post Holdings, Inc. | | | 5.50% | ^ | | | 03/01/2025 | | | | 215,538 | |
| | 285,000 | | | PQ Corporation | | | 6.75% | ^ | | | 11/15/2022 | | | | 304,238 | |
| | 380,000 | | | Prime Security Services Borrower LLC | | | 9.25% | ^ | | | 05/15/2023 | | | | 417,525 | |
| | 410,000 | | | Quintiles Transnational Corporation | | | 4.88% | ^ | | | 05/15/2023 | | | | 417,688 | |
| | 150,000 | | | RegionalCare Hospital Partners Holdings, Inc. | | | 8.25% | ^ | | | 05/01/2023 | | | | 160,800 | |
| | 419,000 | | | Revlon Consumer Products Corporation | | | 5.75% | | | | 02/15/2021 | | | | 420,571 | |
| | 135,000 | | | Revlon Consumer Products Corporation | | | 6.25% | | | | 08/01/2024 | | | | 135,000 | |
| | 260,000 | | | Reynolds Group Issuer Inc. | | | 7.00% | ^ | | | 07/15/2024 | | | | 278,850 | |
| | 405,000 | | | Rite Aid Corporation | | | 6.13% | ^ | | | 04/01/2023 | | | | 402,975 | |
| | 415,000 | | | Sabre GLBL, Inc. | | | 5.25% | ^ | | | 11/15/2023 | | | | 426,413 | |
| | 586,000 | | | Sally Holdings LLC | | | 5.75% | | | | 06/01/2022 | | | | 605,778 | |
| | 215,000 | | | Sanchez Energy Corporation | | | 6.13% | | | | 01/15/2023 | | | | 200,488 | |
| | 300,000 | | �� | Scientific Games International, Inc. | | | 7.00% | ^ | | | 01/01/2022 | | | | 321,375 | |
| | 415,000 | | | Select Medical Corporation | | | 6.38% | | | | 06/01/2021 | | | | 421,225 | |
| | 195,000 | | | ServiceMaster Company LLC | | | 5.13% | ^ | | | 11/15/2024 | | | | 200,363 | |
| | 405,000 | | | Signode Industrial Group, Inc. | | | 6.38% | ^ | | | 05/01/2022 | | | | 417,401 | |
| | 105,000 | | | Sinclair Television Group, Inc. | | | 5.63% | ^ | | | 08/01/2024 | | | | 106,575 | |
| | 404,000 | | | Sirius XM Radio Inc. | | | 5.38% | ^ | | | 07/15/2026 | | | | 414,100 | |
| | 500,000 | | | Six Flags Entertainment Corporation | | | 4.88% | ^ | | | 07/31/2024 | | | | 494,688 | |
| | 520,000 | | | Six Flags Entertainment Corporation | | | 5.50% | ^ | | | 04/15/2027 | | | | 520,000 | |
| | 235,000 | | | SM Energy Company | | | 5.00% | | | | 01/15/2024 | | | | 223,250 | |
| | 290,000 | | | Solera Finance, Inc. | | | 10.50% | ^ | | | 03/01/2024 | | | | 332,682 | |
| | 330,000 | | | Spectrum Brands, Inc. | | | 5.75% | | | | 07/15/2025 | | | | 350,625 | |
| | 310,000 | | | Station Casinos LLC | | | 7.50% | | | | 03/01/2021 | | | | 323,175 | |
| | 230,000 | | | Targa Resources Partners Finance Corporation | | | 5.38% | ^ | | | 02/01/2027 | | | | 239,200 | |
| | 450,000 | | | Team Health Holdings, Inc. | | | 6.38% | ^ | | | 02/01/2025 | | | | 442,125 | |
| | 205,000 | | | Tempur Sealy International, Inc. | | | 5.63% | | | | 10/15/2023 | | | | 207,050 | |
| | 425,000 | | | Tenet Healthcare Corporation | | | 6.75% | | | | 06/15/2023 | | | | 418,625 | |
| | 231,000 | | | TreeHouse Foods, Inc. | | | 6.00% | ^ | | | 02/15/2024 | | | | 243,128 | |
| | 165,000 | | | United Rentals North America, Inc. | | | 5.50% | | | | 05/15/2027 | | | | 167,063 | |
| | 315,000 | | | Universal Hospital Services, Inc. | | | 7.63% | | | | 08/15/2020 | | | | 315,000 | |
| | 210,000 | | | Valeant Pharmaceuticals International, Inc. | | | 7.00% | ^ | | | 03/15/2024 | | | | 216,038 | |
| | 105,000 | | | Videotron Ltd. | | | 5.13% | ^ | | | 04/15/2027 | | | | 105,000 | |
| | 610,000 | | | Viking Cruises Ltd. | | | 8.50% | ^ | | | 10/15/2022 | | | | 635,163 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 380,000 | | | Vizient, Inc. | | | 10.38% | ^ | | | 03/01/2024 | | | | 434,625 | |
| | 320,000 | | | WellCare Health Plans, Inc. | | | 5.25% | | | | 04/01/2025 | | | | 330,800 | |
| | 125,000 | | | Western Digital Corporation | | | 7.38% | ^ | | | 04/01/2023 | | | | 137,344 | |
| | 405,000 | | | Williams Partners LP | | | 4.88% | | | | 03/15/2024 | | | | 416,993 | |
| | 500,000 | | | WMG Acquisition Corporation | | | 6.75% | ^ | | | 04/15/2022 | | | | 527,500 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $41,913,406) | | | | 42,324,344 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS 4.4% | |
| | 32,121,524 | | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 04/15/2021 | | | | 32,472,547 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government and Agency Obligations (Cost $32,499,574) | | | | 32,472,547 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT / AGENCY MORTGAGE BACKED OBLIGATIONS 0.6% | |
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 570,561 | | | Series 2016-KF22-B | | | 5.83% | #^ | | | 07/25/2023 | | | | 575,806 | |
| | 4,360,976 | | | Series 3926-HS | | | 5.54% | # I/F I/O | | | 09/15/2041 | | | | 748,848 | |
| | 713,001 | | | Series 4390-NY | | | 3.00% | | | | 06/15/2040 | | | | 727,233 | |
| | 801,098 | | | Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 806,396 | |
| |
| | | | Federal Home Loan Mortgage Corporation Pass-Thru, | |
| | 6,468,665 | | | Series K722-X1 | | | 1.31% | # I/O | | | 03/25/2023 | | | | 412,480 | |
| |
| | | | Federal National Mortgage Association, | |
| | 1,468,423 | | | Series 2015-59-A | | | 3.00% | | | | 06/25/2041 | | | | 1,497,061 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $4,813,842) | | | | 4,767,824 | |
| | | | | | | | | | | | | | | | |
| | AFFILIATED MUTUAL FUNDS 3.7% | |
| | 2,740,782 | | | DoubleLine Global Bond Fund (Class I) | | | | | | | | | | | 27,517,456 | |
| | | | | | | | | | | | | | | | |
| | | | Total Affiliated Mutual Funds
(Cost $27,550,000) | | | | 27,517,456 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.0% | |
| | 1,224 | | | Energy Gulf Coast, Inc.* | | | | | | | | | | | 36,693 | |
| | 2,784 | | | Pacific Exploration and Production Corporation* | | | | | | | | | | | 86,588 | |
| | 756 | | | SandRidge Energy, Inc.* | | | | | | | | | | | 13,979 | |
| | | | | | | | | | | | | | | | |
| | | | Total Exchange Traded Funds and Common Stocks
(Cost $627,721) | | | | 137,260 | |
| | | | | | | | | | | | | | | | |
| | WARRANTS 0.0% | |
| | |
| | | | Energy Gulf Coast, Inc., | | | | | |
| | 466 | | | Expiration 12/30/2021, Strike Price $43.66 * | | | | | | | | | | | 2,913 | |
| | | | | | | | | | | | | | | | |
| | | | Total Warrants (Cost $9,918) | | | | 2,913 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 10.1% | |
| | 24,860,925 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 24,860,925 | |
| | 24,860,926 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 24,860,926 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 87 |
| | |
| Schedule of Investments DoubleLine Flexible Income Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 24,860,925 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 24,860,925 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $74,582,776) | | | | 74,582,776 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 105.1%
(Cost $777,511,570) | | | | 777,841,638 | |
| | | | Liabilities in Excess of Other Assets (5.1)% | | | | (37,593,393 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 740,248,245 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 25.4% | |
Collateralized Loan Obligations | | | 15.7% | |
Foreign Corporate Bonds | | | 11.8% | |
Short Term Investments | | | 10.1% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 9.8% | |
Bank Loans | | | 9.2% | |
US Corporate Bonds | | | 5.7% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 4.5% | |
US Government and Agency Obligations | | | 4.4% | |
Asset Backed Obligations | | | 4.2% | |
Affiliated Mutual Funds | | | 3.7% | |
US Government / Agency Mortgage Backed Obligations | | | 0.6% | |
Exchange Traded Funds and Common Stocks | | | 0.0% | ~ |
Warrants | | | 0.0% | ~ |
Other Assets and Liabilities | | | (5.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 25.4% | |
Collateralized Loan Obligations | | | 15.7% | |
Short Term Investments | | | 10.1% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 9.8% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 4.5% | |
US Government and Agency Obligations | | | 4.4% | |
Asset Backed Obligations | | | 4.2% | |
Affiliated Mutual Funds | | | 3.7% | |
Banking | | | 3.3% | |
Oil & Gas | | | 2.8% | |
Utilities | | | 1.9% | |
Healthcare | | | 1.8% | |
Media | | | 1.7% | |
Telecommunications | | | 1.7% | |
Technology | | | 1.1% | |
Consumer Products | | | 1.1% | |
Transportation | | | 1.1% | |
Retailers (other than Food/Drug) | | | 1.1% | |
Chemicals/Plastics | | | 0.9% | |
Hotels/Motels/Inns and Casinos | | | 0.7% | |
Business Equipment and Services | | | 0.7% | |
Automotive | | | 0.7% | |
US Government/Agency Mortgage Backed Obligations | | | 0.6% | |
Finance | | | 0.6% | |
Food Products | | | 0.5% | |
Leisure | | | 0.5% | |
Building and Development (including Steel/Metals) | | | 0.5% | |
Health Care Providers & Services | | | 0.4% | |
Industrial Equipment | | | 0.4% | |
Conglomerates | | | 0.4% | |
Energy | | | 0.3% | |
Financial Intermediaries | | | 0.3% | |
Electronics/Electric | | | 0.3% | |
Pulp & Paper | | | 0.3% | |
Real Estate | | | 0.2% | |
Containers and Glass Products | | | 0.2% | |
Insurance | | | 0.2% | |
Aerospace & Defense | | | 0.2% | |
Cosmetics/Toiletries | | | 0.2% | |
Food/Drug Retailers | | | 0.2% | |
Mining | | | 0.2% | |
Beverage and Tobacco | | | 0.1% | |
Pharmaceuticals | | | 0.1% | |
Construction | | | 0.0% | ~ |
Other Assets and Liabilities | | | (5.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | | | |
| 88 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | | | | |
United States | | | 88.7% | |
Mexico | | | 2.5% | |
Chile | | | 1.8% | |
Brazil | | | 1.3% | |
India | | | 1.0% | |
Argentina | | | 0.9% | |
Panama | | | 0.9% | |
China | | | 0.9% | |
South Korea | | | 0.7% | |
Dominican Republic | | | 0.7% | |
Malaysia | | | 0.7% | |
Guatemala | | | 0.7% | |
Indonesia | | | 0.6% | |
Peru | | | 0.6% | |
Israel | | | 0.5% | |
Costa Rica | | | 0.4% | |
Colombia | | | 0.4% | |
Singapore | | | 0.4% | |
Hong Kong | | | 0.3% | |
Qatar | | | 0.3% | |
Jamaica | | | 0.2% | |
Canada | | | 0.2% | |
Philippines | | | 0.2% | |
Luxembourg | | | 0.1% | |
Poland | | | 0.1% | |
El Salvador | | | 0.0% | ~ |
Trinidad & Tobago | | | 0.0% | ~ |
Hungary | | | 0.0% | ~ |
Other Assets and Liabilities | | | (5.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $314,586,389 or 42.6% of net assets. |
| ¥ | Illiquid security. At March 31, 2017, the value of these securities amounted to $1,369,493 or 0.2% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| I/O | Interest only security |
| P/O | Principal only security |
| I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates |
| ~ | Represents less than 0.05% of net assets |
| W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
| ¨ | Seven-day yield as of March 31, 2017 |
| * | Non-income producing security |
| & | Unfunded or partially unfunded loan commitment. At March 31, 2017, the value of these securities amounted to $96,416 or 0.0% of net assets. |
A summary of the DoubleLine Flexible Income Fund’s investments in affiliated mutual funds for the year ended March 31, 2017 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Value at
March 31, 2016 | | | Gross
Purchases | | | Gross
Sales | | | Shares Held
at March 31,
2017 | | | Value at
March 31,
2017 | | | Dividend
Income Earned
in the Year
Ended March 31,
2017 | | | Net Realized
Gain (Loss) in
the Year
Ended March 31,
2017 | |
DoubleLine Floating Rate Fund | | $ | 21,755,488 | | | $ | 19,900,000 | | | $ | (42,099,483 | ) | | | — | | | $ | — | | | $ | 927,291 | | | $ | (340,904 | ) |
DoubleLine Global Bond Fund | | | — | | | | 27,550,000 | | | | — | | | | 2,740,782 | | | | 27,517,456 | | | | 13,991 | | | | — | |
| | | | |
| | $ | 21,755,488 | | | $ | 47,450,000 | | | $ | (42,099,483 | ) | | | 2,740,782 | | | $ | 27,517,456 | | | $ | 941,282 | | | $ | (340,904 | ) |
| | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 89 |
| | |
| Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 74.4% | |
| | |
| | BRAZIL 2.7% | |
| | 3,000,000 | | | Cosan Overseas Ltd. | | | 8.25% | † | | | 11/29/2049 | | | | 3,022,500 | |
| | 4,500,000 | | | Globo Communicacao e Participacoes S.A. | | | 5.31% | # | | | 05/11/2022 | | | | 4,528,125 | |
| | 1,000,000 | | | Minerva Luxembourg S.A. | | | 8.75% | #† | | | 04/03/2019 | | | | 1,050,000 | |
| | 1,000,000 | | | OAS Investments GMBH | | | 8.25% | W | | | 10/19/2019 | | | | 45,000 | |
| | 750,000 | | | Petrobras Global Finance B.V. | | | 6.13% | | | | 01/17/2022 | | | | 788,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,433,875 | |
| | | | | | | | | | | | | | | | |
| | CHILE 10.0% | |
| | 1,901,000 | | | AES Gener S.A. | | | 5.25% | | | | 08/15/2021 | | | | 2,011,694 | |
| | 8,000,000 | | | Banco del Estado de Chile | | | 3.88% | | | | 02/08/2022 | | | | 8,309,874 | |
| | 3,000,000 | | | Banco Santander | | | 1.91% | # | | | 04/11/2017 | | | | 3,000,577 | |
| | 2,000,000 | | | Celulosa Arauco y Constitucion S.A. | | | 7.25% | | | | 07/29/2019 | | | | 2,206,099 | |
| | 2,623,000 | | | Celulosa Arauco y Constitucion S.A. | | | 5.00% | | | | 01/21/2021 | | | | 2,779,507 | |
| | 1,000,000 | | | Celulosa Arauco y Constitucion S.A. | | | 4.75% | | | | 01/11/2022 | | | | 1,049,640 | |
| | 1,000,000 | | | Colbun S.A. | | | 6.00% | | | | 01/21/2020 | | | | 1,086,316 | |
| | 575,000 | | | E.CL S.A. | | | 5.63% | | | | 01/15/2021 | | | | 624,180 | |
| | 3,614,945 | | | Guanay Finance Ltd. | | | 6.00% | | | | 12/15/2020 | | | | 3,727,912 | |
| | 3,000,000 | | | Inversiones CMPC S.A. | | | 4.75% | | | | 01/19/2018 | | | | 3,045,394 | |
| | 3,700,000 | | | Inversiones CMPC S.A. | | | 4.50% | | | | 04/25/2022 | | | | 3,825,058 | |
| | 3,195,000 | | | Telefonica Chile S.A. | | | 3.88% | | | | 10/12/2022 | | | | 3,258,954 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 34,925,205 | |
| | | | | | | | | | | | | | | | |
| | CHINA 8.3% | |
| | 5,835,000 | | | CNOOC Finance Ltd. | | | 2.63% | | | | 05/05/2020 | | | | 5,819,299 | |
| | 1,800,000 | | | CNOOC Finance Ltd. | | | 3.88% | | | | 05/02/2022 | | | | 1,859,634 | |
| | 5,000,000 | | | CNPC General Capital Ltd. | | | 2.75% | | | | 05/14/2019 | | | | 5,053,489 | |
| | 3,000,000 | | | CNPC General Capital Ltd. | | | 3.95% | | | | 04/19/2022 | | | | 3,122,443 | |
| | 1,700,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.13% | | | | 05/03/2019 | | | | 1,693,263 | |
| | 4,041,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.50% | | | | 04/28/2020 | | | | 4,025,277 | |
| | 1,500,000 | | | Sinopec Group Overseas Development Ltd. | | | 2.00% | ^ | | | 09/29/2021 | | | | 1,441,944 | |
| | 6,000,000 | | | Tencent Holdings Ltd. | | | 2.88% | | | | 02/11/2020 | | | | 6,063,809 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 29,079,158 | |
| | | | | | | | | | | | | | | | |
| | COLOMBIA 2.5% | |
| | 1,200,000 | | | Avianca Holdings S.A. | | | 8.38% | ^ | | | 05/10/2020 | | | | 1,195,200 | |
| | 4,000,000 | | | Empresas Publicas de Medellin E.S.P. | | | 7.63% | | | | 07/29/2019 | | | | 4,494,400 | |
| | 3,000,000 | | | Transportadora de Gas Internacional S.A. | | | 5.70% | | | | 03/20/2022 | | | | 3,097,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,787,100 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 2.0% | |
| | 2,000,000 | | | Banco de Costa Rica | | | 5.25% | | | | 08/12/2018 | | | | 2,036,620 | |
| | 1,200,000 | | | Banco Nacional de Costa Rica | | | 4.88% | | | | 11/01/2018 | | | | 1,217,376 | |
| | 1,000,000 | | | Banco Nacional de Costa Rica | | | 5.88% | ^ | | | 04/25/2021 | | | | 1,018,750 | |
| | 2,500,000 | | | Instituto Costarricense de Electricidad | | | 6.95% | | | | 11/10/2021 | | | | 2,643,550 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,916,296 | |
| | | | | | | | | | | | | | | | |
| | GUATEMALA 0.9% | |
| | 2,500,000 | | | Agromercantil Senior Trust | | | 6.25% | | | | 04/10/2019 | | | | 2,593,750 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 500,000 | | | Bantrab Senior Trust | | | 9.00% | | | | 11/14/2020 | | | | 467,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,061,250 | |
| | | | | | | | | | | | | | | | |
| | HONG KONG 0.3% | |
| | 1,000,000 | | | Hutchison Whampoa International Ltd. | | | 6.00% | #† | | | 05/07/2017 | | | | 1,005,700 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,005,700 | |
| | | | | | | | | | | | | | | | |
| | INDIA 11.2% | |
| | 7,000,000 | | | Adani Ports & Special Economic Zone Ltd. | | | 3.50% | | | | 07/29/2020 | | | | 7,054,517 | |
| | 3,950,000 | | | Bharat Petroleum Corporation Ltd. | | | 4.63% | | | | 10/25/2022 | | | | 4,213,860 | |
| | 3,000,000 | | | Export-Import Bank of India | | | 3.13% | | | | 07/20/2021 | | | | 3,026,478 | |
| | 5,600,000 | | | Indian Oil Corporation, Ltd. | | | 5.63% | | | | 08/02/2021 | | | | 6,151,634 | |
| | 4,595,000 | | | Oil India Ltd. | | | 3.88% | | | | 04/17/2019 | | | | 4,714,957 | |
| | 5,000,000 | | | ONGC Videsh Ltd. | | | 3.25% | | | | 07/15/2019 | | | | 5,078,750 | |
| | 2,700,000 | | | ONGC Videsh Ltd. | | | 2.88% | | | | 01/27/2022 | | | | 2,647,393 | |
| | 6,000,000 | | | Reliance Holdings, Inc. | | | 4.50% | | | | 10/19/2020 | | | | 6,367,020 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 39,254,609 | |
| | | | | | | | | | | | | | | | |
| | ISRAEL 3.0% | |
| | 6,200,000 | | | Delek & Avner Tamar Bond Ltd. | | | 4.44% | ^ | | | 12/30/2020 | | | | 6,432,500 | |
| | 4,000,000 | | | Israel Electric Corporation Ltd. | | | 5.63% | | | | 06/21/2018 | | | | 4,164,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,596,500 | |
| | | | | | | | | | | | | | | | |
| | JAMAICA 0.8% | |
| | 1,500,000 | | | Digicel Ltd. | | | 7.00% | | | | 02/15/2020 | | | | 1,447,500 | |
| | 1,500,000 | | | Digicel Ltd. | | | 8.25% | | | | 09/30/2020 | | | | 1,295,055 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,742,555 | |
| | | | | | | | | | | | | | | | |
| | MALAYSIA 5.7% | |
| | 6,000,000 | | | Axiata SPV2 BHD | | | 3.47% | | | | 11/19/2020 | | | | 6,150,342 | |
| | 1,500,000 | | | IOI Investment BHD | | | 4.38% | | | | 06/27/2022 | | | | 1,551,372 | |
| | 4,000,000 | | | Malayan Banking BHD | | | 3.25% | # | | | 09/20/2022 | | | | 4,014,600 | |
| | 1,500,000 | | | Petronas Capital Ltd. | | | 3.13% | | | | 03/18/2022 | | | | 1,513,887 | |
| | 6,700,000 | | | Petronas Global Sukuk Ltd. | | | 2.71% | | | | 03/18/2020 | | | | 6,758,069 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,988,270 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 12.0% | |
| | 6,500,000 | | | America Movil SAB de C.V. | | | 3.13% | | | | 07/16/2022 | | | | 6,564,125 | |
| | 8,000,000 | | | Banco Nacional de Comercio Exterior S.N.C. | | | 3.80% | # | | | 08/11/2026 | | | | 7,860,000 | |
| | 7,000,000 | | | Banco Santander | | | 5.95% | # | | | 01/30/2024 | | | | 7,262,500 | |
| | 6,670,000 | | | BBVA Bancomer S.A. | | | 6.01% | # | | | 05/17/2022 | | | | 6,670,000 | |
| | 7,000,000 | | | Comision Federal de Electricidad | | | 4.88% | | | | 05/26/2021 | | | | 7,358,750 | |
| | 2,700,000 | | | Grupo Cementos de Chihuahua S.A.B de C.V. | | | 8.13% | | | | 02/08/2020 | | | | 2,808,000 | |
| | 1,500,000 | | | Grupo Idesa S.A. de C.V. | | | 7.88% | | | | 12/18/2020 | | | | 1,329,375 | |
| | 400,000 | | | TV Azteca S.A.B. de C.V. | | | 7.50% | | | | 05/25/2018 | | | | 400,000 | |
| | 1,500,000 | | | TV Azteca S.A.B. de C.V. | | | 7.63% | | | | 09/18/2020 | | | | 1,481,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 41,734,000 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 3.9% | |
| | 6,967,692 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 7,472,850 | |
| | 6,019,124 | | | ENA Norte Trust | | | 4.95% | | | | 04/25/2023 | | | | 6,229,793 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,702,643 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| 90 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | PARAGUAY 0.1% | |
| | 400,000 | | | Telefonica Celular del Paraguay S.A. | | | 6.75% | | | | 12/13/2022 | | | | 414,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 414,000 | |
| | | | | | | | | | | | | | | | |
| | PERU 3.1% | |
| | 4,000,000 | | | Banco International del Peru S.A.A. | | | 5.75% | | | | 10/07/2020 | | | | 4,400,000 | |
| | 600,000 | | | Camposol S.A. | | | 10.50% | ^ | | | 07/15/2021 | | | | 634,500 | |
| | 200,000 | | | Inkia Energy Ltd. | | | 8.38% | ^ | | | 04/04/2021 | | | | 206,000 | |
| | 2,000,000 | | | Inkia Energy Ltd. | | | 8.38% | | | | 04/04/2021 | | | | 2,060,000 | |
| | 736,422 | | | Interoceanica Finance Ltd. | | | 0.00% | | | | 11/30/2018 | | | | 722,614 | |
| | 2,270,092 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 05/31/2018 | | | | 2,233,317 | |
| | 700,000 | | | Peru Enhanced Pass-Through Finance Ltd. | | | 0.00% | | | | 06/02/2025 | | | | 576,044 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,832,475 | |
| | | | | | | | | | | | | | | | |
| | QATAR 0.3% | |
| | 1,081,670 | | | Ras Laffan Liquefied Natural Gas Company | | | 5.30% | | | | 09/30/2020 | | | | 1,141,638 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,141,638 | |
| | | | | | | | | | | | | | | | |
| | SINGAPORE 5.3% | |
| | 7,500,000 | | | DBS Group Holdings Ltd. | | | 3.60% | #† | | | 12/29/2049 | | | | 7,389,053 | |
| | 5,000,000 | | | Oversea-Chinese Banking Corporation | | | 4.00% | # | | | 10/15/2024 | | | | 5,139,846 | |
| | 2,000,000 | | | United Overseas Bank Ltd. | | | 3.75% | # | | | 09/19/2024 | | | | 2,040,460 | |
| | 4,000,000 | | | United Overseas Bank Ltd. | | | 3.50% | # | | | 09/16/2026 | | | | 4,018,544 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,587,903 | |
| | | | | | | | | | | | | | | | |
| | SOUTH KOREA 2.3% | |
| | 2,500,000 | | | Kia Motors Corporation | | | 2.63% | ^ | | | 04/21/2021 | | | | 2,483,793 | |
| | 1,200,000 | | | Korea Development Bank | | | 2.50% | | | | 01/13/2021 | | | | 1,195,258 | |
| | 4,500,000 | | | Korea Development Bank | | | 2.63% | | | | 02/27/2022 | | | | 4,484,246 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,163,297 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $261,184,299) | | | | 260,366,474 | |
| | | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 16.3% |
|
| | |
| | CHILE 0.5% | |
| | 1,500,000 | | | Chile Government International Bond | | | 2.25% | | | | 10/30/2022 | | | | 1,473,225 | |
| | 400,000 | | | Chile Government International Bond | | | 3.25% | | | | 09/14/2021 | | | | 414,600 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,887,825 | |
| | | | | | | | | | | | | | | | |
| | COSTA RICA 0.8% | |
| | 2,300,000 | | | Costa Rica Government International Bond | | | 10.00% | | | | 08/01/2020 | | | | 2,706,640 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,706,640 | |
| | | | | | | | | | | | | | | | |
| | DOMINICAN REPUBLIC 2.2% | |
| | 2,994,757 | | | Dominican Republic International Bond | | | 9.04% | | | | 01/23/2018 | | | | 3,104,245 | |
| | 4,000,000 | | | Dominican Republic International Bond | | | 7.50% | | | | 05/06/2021 | | | | 4,430,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,534,245 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | GUATEMALA 0.9% | |
| | 3,000,000 | | | Guatemala Government Bond | | | 5.75% | | | | 06/06/2022 | | | | 3,299,490 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,299,490 | |
| | | | | | | | | | | | | | | | |
| | INDONESIA 2.5% | |
| | 1,600,000 | | | Indonesia Government International Bond | | | 4.88% | | | | 05/05/2021 | | | | 1,713,734 | |
| | 5,600,000 | | | Indonesia Government International Bond | | | 3.70% | | | | 01/08/2022 | | | | 5,721,044 | |
| | 1,100,000 | | | Indonesia Government International Bond | | | 6.13% | | | | 03/15/2019 | | | | 1,181,180 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,615,958 | |
| | | | | | | | | | | | | | | | |
| | MEXICO 2.1% | |
| | 7,000,000 | | | Mexico Government International Bond | | | 3.50% | | | | 01/21/2021 | | | | 7,276,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,276,500 | |
| | | | | | | | | | | | | | | | |
| | PANAMA 2.8% | |
| | 9,000,000 | | | Panama Government International Bond | | | 5.20% | | | | 01/30/2020 | | | | 9,742,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,742,500 | |
| | | | | | | | | | | | | | | | |
| | POLAND 2.2% | |
| | 7,000,000 | | | Republic of Poland Government International Bond | | | 5.13% | | | | 04/21/2021 | | | | 7,676,760 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,676,760 | |
| | | | | | | | | | | | | | | | |
| | QATAR 2.3% | |
| | 8,000,000 | | | Qatar Government International Bond | | | 2.38% | | | | 06/02/2021 | | | | 7,920,680 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,920,680 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $56,580,687) | | | | 56,660,598 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.2% | |
| | |
| | COLOMBIA 0.2% | |
| | 21,215 | | | Pacific Exploration and Production Corporation* | | | | | | | | | | | 659,791 | |
| | | | | | | | | | | | | | | | |
| | | | Exchange Traded Funds and Common Stocks
(Cost $3,794,240) | | | | 659,791 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 5.8% | |
| | 6,791,548 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 6,791,548 | |
| | 6,791,548 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 6,791,548 | |
| | 6,791,548 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 6,791,548 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $20,374,644) | | | | | | | | 20,374,644 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 96.7%
(Cost $341,933,870) | | | | | | | | 338,061,507 | |
| | | | Other Assets in Excess of Liabilities 3.3% | | | | 11,702,958 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | | | $ | 349,764,465 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 91 |
| | |
| Schedule of Investments DoubleLine Low Duration Emerging Markets Fixed Income Fund (Contd.) | | March 31, 2017 |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
Foreign Corporate Bonds | | | 74.4% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 16.3% | |
Short Term Investments | | | 5.8% | |
Exchange Traded Funds and Common Stocks | | | 0.2% | |
Other Assets and Liabilities | | | 3.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
Banking | | | 21.8% | |
Oil & Gas | | | 19.9% | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 16.3% | |
Transportation | �� | | 9.1% | |
Utilities | | | 7.0% | |
Short Term Investments | | | 5.8% | |
Telecommunications | | | 5.5% | |
Pulp & Paper | | | 3.7% | |
Media | | | 3.6% | |
Consumer Products | | | 1.8% | |
Building and Development (including Steel/Metals) | | | 0.8% | |
Automotive | | | 0.7% | |
Chemicals/Plastics | | | 0.4% | |
Conglomerates | | | 0.3% | |
Construction | | | 0.0% | ~ |
Other Assets and Liabilities | | | 3.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
Mexico | | | 14.1% | |
India | | | 11.2% | |
Chile | | | 10.5% | |
China | | | 8.3% | |
Panama | | | 6.7% | |
United States | | | 5.8% | |
Malaysia | | | 5.7% | |
Singapore | | | 5.3% | |
Peru | | | 3.1% | |
Israel | | | 3.0% | |
Costa Rica | | | 2.8% | |
Colombia | | | 2.7% | |
Brazil | | | 2.7% | |
Qatar | | | 2.6% | |
Indonesia | | | 2.5% | |
South Korea | | | 2.3% | |
Poland | | | 2.2% | |
Dominican Republic | | | 2.2% | |
Guatemala | | | 1.8% | |
Jamaica | | | 0.8% | |
Hong Kong | | | 0.3% | |
Paraguay | | | 0.1% | |
Other Assets and Liabilities | | | 3.3% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $13,412,687 or 3.8% of net assets. |
| W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
| ¨ | Seven-day yield as of March 31, 2017 |
| ~ | Represents less than 0.05% of net assets |
| * | Non-income producing security |
| | | | | | |
| 92 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Long Duration Total Return Bond Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS 19.4% | |
| | 3,850,000 | | | Tennessee Valley Authority | | | 5.38% | | | | 04/01/2056 | | | | 5,031,472 | |
| | 2,700,000 | | | Tennessee Valley Authority | | | 4.63% | | | | 09/15/2060 | | | | 3,090,295 | |
| | 300,000 | | | Tennessee Valley Authority | | | 4.25% | | | | 09/15/2065 | | | | 317,435 | |
| | 1,823,562 | | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 07/15/2026 | | | | 1,780,573 | |
| | 1,050,000 | | | United States Treasury Notes | | | 0.63% | | | | 08/31/2017 | | | | 1,049,015 | |
| | 800,000 | | | United States Treasury Notes | | | 2.50% | | | | 02/15/2046 | | | | 716,875 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government and Agency Obligations
(Cost $12,376,157) | | | | 11,985,665 | |
| | | | | | | | | | | | | | | | |
| US GOVERNMENT / AGENCY MORTGAGE BACKED
OBLIGATIONS 79.4% |
|
| |
| | | | Federal Home Loan Mortgage Corporation, | |
| | 1,652,816 | | | Series 4057-ZB | | | 3.50% | | | | 06/15/2042 | | | | 1,664,885 | |
| | 1,652,816 | | | Series 4057-ZC | | | 3.50% | | | | 06/15/2042 | | | | 1,665,542 | |
| | 1,124,517 | | | Series 4194-ZL | | | 3.00% | | | | 04/15/2043 | | | | 1,045,801 | |
| | 2,513,907 | | | Series 4204-QZ | | | 3.00% | | | | 05/15/2043 | | | | 2,335,056 | |
| | 1,715,040 | | | Series 4206-LZ | | | 3.50% | | | | 05/15/2043 | | | | 1,694,374 | |
| | 633,809 | | | Series 4210-Z | | | 3.00% | | | | 05/15/2043 | | | | 583,696 | |
| | 334,837 | | | Series 4226-GZ | | | 3.00% | | | | 07/15/2043 | | | | 313,135 | |
| | 2,414,235 | | | Series 4390-NZ | | | 3.00% | | | | 09/15/2044 | | | | 2,232,525 | |
| | 2,139,480 | | | Series 4417-PZ | | | 3.00% | | | | 12/15/2044 | | | | 1,962,768 | |
| | 2,855,896 | | | Series 4420-CZ | | | 3.00% | | | | 12/15/2044 | | | | 2,585,269 | |
| | 2,106,813 | | | Series 4440-ZD | | | 2.50% | | | | 02/15/2045 | | | | 1,818,636 | |
| | 1,061,513 | | | Series 4460-KB | | | 3.50% | | | | 03/15/2045 | | | | 1,063,229 | |
| | 2,118,219 | | | Series 4461-LZ | | | 3.00% | | | | 03/15/2045 | | | | 1,922,656 | |
| |
| | | | Federal National Mortgage Association, | |
| | 2,100,000 | | | Series 2012-128-UC | | | 2.50% | | | | 11/25/2042 | | | | 1,845,107 | |
| | 1,652,816 | | | Series 2012-68-ZA | | | 3.50% | | | | 07/25/2042 | | | | 1,640,763 | |
| | 2,354,298 | | | Series 2012-92-AZ | | | 3.50% | | | | 08/25/2042 | | | | 2,375,351 | |
| | 3,082,895 | | | Series 2013-127-MZ | | | 3.00% | | | | 12/25/2043 | | | | 2,810,137 | |
| | 519,871 | | | Series 2013-66-ZK | | | 3.00% | | | | 07/25/2043 | | | | 444,461 | |
| | 1,710,053 | | | Series 2013-74-ZH | | | 3.50% | | | | 07/25/2043 | | | | 1,703,639 | |
| | 1,255,140 | | | Series 2014-42-BZ | | | 3.00% | | | | 07/25/2044 | | | | 1,150,225 | |
| | 1,500,000 | | | Series 2014-67-HD | | | 3.00% | | | | 10/25/2044 | | | | 1,441,768 | |
| | 904,000 | | | Series 2014-68-TD | | | 3.00% | | | | 11/25/2044 | | | | 865,208 | |
| | 2,501,108 | | | Series 2014-80-DZ | | | 3.00% | | | | 12/25/2044 | | | | 2,292,640 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 918,979 | | | Series 2014-80-KL | | | 2.00% | | | | 05/25/2043 | | | | 711,443 | |
| | 3,153,649 | | | Series 2015-16-ZY | | | 2.50% | | | | 04/25/2045 | | | | 2,640,774 | |
| | 2,775,447 | | | Series 2015-52-GZ | | | 3.00% | | | | 07/25/2045 | | | | 2,508,425 | |
| |
| | | | Government National Mortgage Association, | |
| | 579,168 | | | Series 2013-180-LO | | | 0.00% | P/O | | | 11/16/2043 | | | | 482,721 | |
| | 3,316,099 | | | Series 2015-53-EZ | | | 2.00% | | | | 04/16/2045 | | | | 2,488,961 | |
| | 2,925,210 | | | Series 2015-79-VZ | | | 2.50% | | | | 05/20/2045 | | | | 2,486,970 | |
| | 279,844 | | | Series 2016-12-MZ | | | 3.00% | | | | 01/20/2046 | | | | 255,222 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government / Agency Mortgage Backed Obligations
(Cost $49,352,161) | | | | 49,031,387 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 1.1% | |
| | 224,878 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 224,878 | |
| | 224,878 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 224,878 | |
| | 224,878 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 224,878 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $674,634) | | | | 674,634 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 99.9%
(Cost $62,402,952) | | | | 61,691,686 | |
| | | | Other Assets in Excess of Liabilities 0.1% | | | | 49,494 | |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | | | | $ | 61,741,180 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
US Government / Agency Mortgage Backed Obligations | | | 79.4% | |
US Government and Agency Obligations | | | 19.4% | |
Short Term Investments | | | 1.1% | |
Other Assets and Liabilities | | | 0.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| P/O | Principal only security |
| ¨ | Seven-day yield as of March 31, 2017 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 93 |
| | |
| Schedule of Investments DoubleLine Strategic Commodity Fund (Consolidated) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | SHORT TERM INVESTMENTS 106.5% | |
| | 1,790,241 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 1,790,241 | |
| | 1,790,241 | | | Dreyfus Government Cash Management - Institutional Shares | | | 0.66% | ¨ | | | | | | | 1,790,241 | |
| | 11,500,000 | | | United States Treasury Bills | | | 0.00% | ‡ | | | 04/27/2017 | | | | 11,494,525 | |
| | 13,000,000 | | | United States Treasury Bills | | | 0.00% | ‡ | | | 05/04/2017 | | | | 12,992,408 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 2,600,000 | | | United States Treasury Bills | | | 0.00% | ‡ | | | 05/11/2017 | | | | 2,598,042 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $30,667,477) | | | | 30,665,457 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 106.5% (Cost $30,667,477) | | | | | | | | 30,665,457 | |
| | | | Liabilities in Excess of Other Assets (6.5)% | | | | (1,882,170 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | $ | 28,783,287 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Short Term Investments | | | 106.5% | |
Other Assets and Liabilities | | | (6.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ¨ | Seven-day yield as of March 31, 2017 |
| 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. |
| ‡ | All or a portion of this security has been pledged as collateral in connection with swaps. |
| | | | | | | | | | | | | | | | | | |
| Excess Return Swaps - Long | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
Long Commodity Basket Swapj | | Bank of America Merrill Lynch | | | 0.20% | | | | 50,000 | | | | 04/03/2017 | | | $ | (2,100 | ) |
Commodity Beta Basket Swapg | | Bank of America Merrill Lynch | | | 0.23% | | | | 30,610,000 | | | | 04/03/2017 | | | | (1,751,147 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (1,753,247 | ) |
| | | | | | | | | | | | | | | | | | |
| Excess Return Swaps - Short | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
Short Commodity Basket Swapy | | Bank of America Merrill Lynch | | | 0.00% | | | | 50,000 | | | | 04/03/2017 | | | $ | 3,023 | |
| | | | | | | | | | | | | | | | | | |
| 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. |
| j | Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At March 31, 2017, the constituents with each ticker indicated in parentheses and their weightings were as follows: S&P GSCI 2 Month Forward Cotton Index ER (SG2MCTP) 20.8%, S&P GSCI 2 Month Forward Unleaded Gasoline Index ER (SG2MHUP) 20.5%, S&P GSCI 2 Month Forward Copper Index ER (SG2MICP) 20.3%, S&P GSCI 2 Month Forward Zinc Index ER (SG2MIZP) 20.2%, S&P GSCI 2 Month Forward Sugar Index ER (SG2MSBP) 18.2%. |
| g | Commodity Beta Basket Swap represents a swap on a basket of commodity indices designed to approximate the broad commodity market. At March 31, 2017, the constituents with each ticker indicated in parentheses and their weightings were as follows: Cotton No. 2 Future (CT1) 4.3%, Nickel Future (LN1) 14.2%, Soybean Future (S 1) 18.5%, Electrolytic Copper Future (LP1) 20.6%, Live Cattle Future (LC1) 5.4%, Low Sulphur Gas Oil Future (QS1) 4.9%, Crude Oil Future (CL1) 9.8%, Brent Crude Future (CO1) 10.0%, NY Harbor ULSD Heating Oil Future (HO1) 3.0%, Sugar No. 11 Future (SB1) 4.4%, Gasoline RBOB Future (XB1) 4.9%. |
| y | Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At March 31, 2017, the constituents with each ticker indicated in parentheses and their weightings were as follows: S&P GSCI 2 Month Forward Coffee Index ER (SG2MKCP) 20.5%, S&P GSCI 2 Month Forward Heating Oil Index ER (SG2MHOP) 20.4%, S&P GSCI 2 Month Forward Corn Index ER (SG2MCNP) 20.3%, S&P GSCI 2 Month Forward Wheat Index ER (SG2MWHP) 19.9%, S&P GSCI 2 Month Forward Kansas Wheat Index ER (SG2MKWP) 18.9%. |
| | | | | | |
| 94 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Global Bond Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND
FOREIGN AGENCIES 68.1% |
|
| | |
| | AUSTRALIA 3.8% | |
| | 20,150,000 | | | | AUD | | | Australia Government Bond | | | 1.75% | | | | 11/21/2020 | | | | 15,247,942 | |
| | 4,500,000 | | | | AUD | | | Australia Government Bond | | | 3.25% | | | | 04/21/2025 | | | | 3,605,824 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 18,853,766 | |
| | | | | | | | | | | | | | | | | | | | |
| | BELGIUM 3.5% | |
| | 2,750,000 | | | | EUR | | | Kingdom of Belgium Government Bond | | | 0.80% | ^ | | | 06/22/2025 | | | | 3,003,555 | |
| | 13,100,000 | | | | EUR | | | Kingdom of Belgium Government Bond | | | 1.00% | ^ | | | 06/22/2026 | | | | 14,396,905 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 17,400,460 | |
| | | | | | | | | | | | | | | | | | | | |
| | CANADA 1.6% | |
| | 6,700,000 | | | | CAD | | | Canadian Government Bond | | | 2.75% | | | | 06/01/2022 | | | | 5,433,608 | |
| | 3,240,000 | | | | CAD | | | Canadian Government Bond | | | 2.25% | | | | 06/01/2025 | | | | 2,570,097 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 8,003,705 | |
| | | | | | | | | | | | | | | | | | | | |
| | CZECH REPUBLIC 4.5% | |
| | 300,000,000 | | | | CZK | | | Czech Republic Government Bond | | | 0.45% | | | | 10/25/2023 | | | | 11,860,860 | |
| | 200,000,000 | | | | CZK | | | Czech Republic Government Bond | | | 5.70% | | | | 05/25/2024 | | | | 10,834,605 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 22,695,465 | |
| | | | | | | | | | | | | | | | | | | | |
| | GERMANY 3.0% | |
| | 6,500,000 | | | | EUR | | | Bundesrepublik Deutschland | | | 0.50% | | | | 02/15/2026 | | | | 7,142,262 | |
| | 7,700,000 | | | | EUR | | | Bundesrepublik Deutschland | | | 0.00% | | | | 08/15/2026 | | | | 8,021,363 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 15,163,625 | |
| | | | | | | | | | | | | | | | | | | | |
| | HUNGARY 3.4% | |
| | 3,100,000,000 | | | | HUF | | | Hungary Government Bond | | | 3.50% | | | | 06/24/2020 | | | | 11,608,508 | |
| | 1,250,000,000 | | | | HUF | | | Hungary Government Bond | | | 6.00% | | | | 11/24/2023 | | | | 5,235,872 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 16,844,380 | |
| | | | | | | | | | | | | | | | | | | | |
| | IRELAND 5.1% | |
| | 8,925,000 | | | | EUR | | | Ireland Government Bond | | | 5.40% | | | | 03/13/2025 | | | | 12,943,859 | |
| | 11,800,000 | | | | EUR | | | Ireland Government Bond | | | 1.00% | | | | 05/15/2026 | | | | 12,610,030 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 25,553,889 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ISRAEL 2.7% | |
| | 17,950,000 | | | | ILS | | | Israel Government Bond | | | 4.25% | | | | 03/31/2023 | | | | 5,787,357 | |
| | 27,925,000 | | | | ILS | | | Israel Government Bond | | | 1.75% | | | | 08/31/2025 | | | | 7,691,420 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 13,478,777 | |
| | | | | | | | | | | | | | | | | | | | |
| | JAPAN 19.6% | |
| | 700,000,000 | | | | JPY | | | Japan Government Ten Year Bond | | | 0.60% | | | | 06/20/2024 | | | | 6,579,736 | |
| | 1,210,000,000 | | | | JPY | | | Japan Government Ten Year Bond | | | 0.40% | | | | 06/20/2025 | | | | 11,222,122 | |
| | 1,287,500,000 | | | | JPY | | | Japan Government Ten Year Bond | | | 0.40% | | | | 09/20/2025 | | | | 11,943,347 | |
| | 1,650,000,000 | | | | JPY | | | Japan Government Ten Year Bond | | | 0.10% | | | | 12/20/2026 | | | | 14,880,753 | |
| | 1,000,000,000 | | | | JPY | | | Japan Government Twenty Year Bond | | | 2.20% | | | | 09/20/2027 | | | | 10,962,822 | |
| | 850,000,000 | | | | JPY | | | Japan Government Twenty Year Bond | | | 2.10% | | | | 12/20/2027 | | | | 9,267,252 | |
| | 875,000,000 | | | | JPY | | | Japan Government Twenty Year Bond | | | 1.50% | | | | 06/20/2034 | | | | 9,182,572 | |
| | 1,300,000,000 | | | | JPY | | | Japan Government Twenty Year Bond | | | 1.30% | | | | 06/20/2035 | | | | 13,217,262 | |
| | 1,075,000,000 | | | | JPY | | | Japan Government Twenty Year Bond | | | 1.20% | | | | 09/20/2035 | | | | 10,743,029 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 97,998,895 | |
| | | | | | | | | | | | | | | | | | | | |
| | MEXICO 1.9% | |
| | 185,000,000 | | | | MXN | | | Mexican Bonos | | | 6.50% | | | | 06/09/2022 | | | | 9,708,467 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 9,708,467 | |
| | | | | | | | | | | | | | | | | | | | |
| | NEW ZEALAND 3.3% | |
| | 18,400,000 | | | | NZD | | | New Zealand Government Bond | | | 3.00% | | | | 04/15/2020 | | | | 13,147,900 | |
| | 3,875,000 | | | | NZD | | | New Zealand Government Bond | | | 5.50% | | | | 04/15/2023 | | | | 3,123,959 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 16,271,859 | |
| | | | | | | | | | | | | | | | | | | | |
| | PERU 1.2% | |
| | 18,500,000 | | | | PEN | | | Peruvian Government International Bond - GDN | | | 7.84% | ^ | | | 08/12/2020 | | | | 6,256,030 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 6,256,030 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 95 |
| | |
| Schedule of Investments DoubleLine Global Bond Fund (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT | | | | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | POLAND 4.1% | |
| | 50,350,000 | | | | PLN | | | Republic of Poland Government Bond | | | 1.50% | | | | 04/25/2020 | | | | 12,398,007 | |
| | 31,250,000 | | | | PLN | | | Republic of Poland Government Bond | | | 3.25% | | | | 07/25/2025 | | | | 7,865,493 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 20,263,500 | |
| | | | | | | | | | | | | | | | | | | | |
| | PORTUGAL 4.3% | |
| | 13,000,000 | | | | EUR | | | Portugal Obrigacoes do Tesouro OT | | | 2.20% | ^ | | | 10/17/2022 | | | | 13,837,418 | |
| | 2,400,000 | | | | EUR | | | Portugal Obrigacoes do Tesouro OT | | | 2.88% | ^ | | | 10/15/2025 | | | | 2,467,024 | |
| | 4,500,000 | | | | EUR | | | Portugal Obrigacoes do Tesouro OT | | | 4.95% | ^ | | | 10/25/2023 | | | | 5,381,547 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 21,685,989 | |
| | | | | | | | | | | | | | | | | | | | |
| | SOUTH AFRICA 0.7% | |
| | 45,000,000 | | | | ZAR | | | Republic of South Africa Government Bond | | | 7.75% | | | | 02/28/2023 | | | | 3,271,110 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 3,271,110 | |
| | | | | | | | | | | | | | | | | | | | |
| | SPAIN 5.4% | |
| | 11,400,000 | | | | EUR | | | Spain Government Bond | | | 5.85% | ^ | | | 01/31/2022 | | | | 15,340,065 | |
| | 9,700,000 | | | | EUR | | | Spain Government Bond | | | 2.75% | ^ | | | 10/31/2024 | | | | 11,529,007 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 26,869,072 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
(Cost $340,008,464) | | | | 340,318,989 | |
| | | | | | | | | | | | | | | | | | | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS 26.5% | |
| | |
| | UNITED STATES 26.5% | |
| | 2,840,562 | | | | USD | | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 01/15/2023 | | | | 2,841,164 | |
| | 5,875,922 | | | | USD | | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 07/15/2026 | | | | 5,737,403 | |
| | 11,800,000 | | | | USD | | | United States Treasury Notes | | | 0.75% | | | | 04/30/2018 | | | | 11,755,986 | |
| | 6,000,000 | | | | USD | | | United States Treasury Notes | | | 1.38% | | | | 04/30/2020 | | | | 5,968,128 | |
| | 7,250,000 | | | | USD | | | United States Treasury Notes | | | 1.63% | | | | 06/30/2020 | | | | 7,256,511 | |
| | | | | | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT/
SHARES | | | | | | SECURITY
DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 7,000,000 | | | | USD | | | United States Treasury Notes | | | 1.38% | | | | 08/31/2020 | | | | 6,935,740 | |
| | 6,750,000 | | | | USD | | | United States Treasury Notes | | | 1.50% | | | | 01/31/2022 | | | | 6,617,376 | |
| | 7,500,000 | | | | USD | | | United States Treasury Notes | | | 1.75% | | | | 04/30/2022 | | | | 7,423,245 | |
| | 9,000,000 | | | | USD | | | United States Treasury Notes | | | 1.88% | | | | 08/31/2022 | | | | 8,931,096 | |
| | 6,000,000 | | | | USD | | | United States Treasury Notes | | | 2.00% | | | | 11/30/2022 | | | | 5,977,500 | |
| | 6,500,000 | | | | USD | | | United States Treasury Notes | | | 2.50% | | | | 05/15/2024 | | | | 6,615,654 | |
| | 6,000,000 | | | | USD | | | United States Treasury Notes | | | 2.38% | | | | 08/15/2024 | | | | 6,047,460 | |
| | 10,000,000 | | | | USD | | | United States Treasury Notes | | | 2.00% | | | | 02/15/2025 | | | | 9,778,120 | |
| | 10,000,000 | | | | USD | | | United States Treasury Notes | | | 2.00% | | | | 08/15/2025 | | | | 9,737,300 | |
| | 11,400,000 | | | | USD | | | United States Treasury Notes | | | 1.63% | | | | 02/15/2026 | | | | 10,718,896 | |
| | 11,500,000 | | | | USD | | | United States Treasury Notes | | | 2.00% | | | | 11/15/2026 | | | | 11,108,505 | |
| | 9,100,000 | | | | USD | | | United States Treasury Notes | | | 2.88% | | | | 05/15/2043 | | | | 8,860,233 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 132,310,317 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total US Government and Agency Obligations
(Cost $133,787,446) | | | | 132,310,317 | |
| | | | | | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 3.7% | |
| | 6,131,544 | | | | | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 6,131,544 | |
| | 6,131,544 | | | | | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 6,131,544 | |
| | 6,131,544 | | | | | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 6,131,544 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Short Term Investments
(Cost $18,394,632) | | | | 18,394,632 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Investments 98.3%
(Cost $492,190,542) | | | | 491,023,938 | |
| | | | | | | | Other Assets in Excess of Liabilities 1.7% | | | | 8,362,435 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | NET ASSETS 100.0% | | | | | | | | | | $ | 499,386,373 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 96 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | 68.1% | |
US Government and Agency Obligations | | | 26.5% | |
Short Term Investments | | | 3.7% | |
Other Assets and Liabilities | | | 1.7% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | | | | |
United States | | | 30.2% | |
Japan | | | 19.6% | |
Spain | | | 5.4% | |
Ireland | | | 5.1% | |
Czech Republic | | | 4.5% | |
Portugal | | | 4.3% | |
Poland | | | 4.1% | |
Australia | | | 3.8% | |
Belgium | | | 3.5% | |
Hungary | | | 3.4% | |
New Zealand | | | 3.3% | |
Germany | | | 3.0% | |
Israel | | | 2.7% | |
Mexico | | | 1.9% | |
Canada | | | 1.6% | |
Peru | | | 1.2% | |
South Africa | | | 0.7% | |
Other Assets and Liabilities | | | 1.7% | |
| | | | |
| | | 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 March 31, 2017, the value of these securities amounted to $72,211,551 or 14.5% of net assets. |
| GDN | Global Depositary Note |
| ¨ | Seven-day yield as of March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Exchange Contracts | | | | | | | | | | | | | | | | | |
Settlement
Date | | Currency to be Delivered | | | U.S. Value | | | Currency to be Received | | U.S. Value | | | Counterparty | | Unrealized
Appreciation
(Depreciation) | |
04/06/2017 | | | 22,125,000 | | | | New Zealand Dollar | | | $ | 15,507,241 | | | | 15,617,263 | | | United States Dollar | | $ | 15,617,263 | | | JP Morgan Securities LLC | | $ | 110,022 | |
04/06/2017 | | | 15,456,282 | | | | United States Dollar | | | | 15,456,282 | | | | 22,125,000 | | | New Zealand Dollar | | | 15,507,241 | | | JP Morgan Securities LLC | | | 50,959 | |
04/06/2017 | | | 17,608,020 | | | | United States Dollar | | | | 17,608,020 | | | | 22,950,000 | | | Australian Dollar | | | 17,531,970 | | | JP Morgan Securities LLC | | | (76,050 | ) |
04/06/2017 | | | 22,950,000 | | | | Australian Dollar | | | | 17,531,970 | | | | 17,372,347 | | | United States Dollar | | | 17,372,347 | | | JP Morgan Securities LLC | | | (159,623 | ) |
04/06/2017 | | | 16,499,972 | | | | United States Dollar | | | | 16,499,972 | | | | 1,867,500,000 | | | Japanese Yen | | | 16,777,684 | | | Morgan Stanley | | | 277,712 | |
04/06/2017 | | | 1,867,500,000 | | | | Japanese Yen | | | | 16,777,684 | | | | 16,331,464 | | | United States Dollar | | | 16,331,464 | | | Morgan Stanley | | | (446,220 | ) |
04/13/2017 | | | 23,512,282 | | | | United States Dollar | | | | 23,512,282 | | | | 2,690,000,000 | | | Japanese Yen | | | 24,174,088 | | | Morgan Stanley | | | 661,806 | |
04/13/2017 | | | 2,690,000,000 | | | | Japanese Yen | | | | 24,174,088 | | | | 23,482,090 | | | United States Dollar | | | 23,482,090 | | | Morgan Stanley | | | (691,998 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 147,067,539 | | | | | | | | | $ | 146,794,147 | | | | | $ | (273,392 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 97 |
| | |
| Schedule of Investments DoubleLine Infrastructure Income Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 35.0% | | | | | |
| |
| | | | Blackbird Capital Aircraft Lease Securitization Ltd., | |
| | 6,432,292 | | | Series 2016-1A-B | | | 5.68% | #^ | | | 12/16/2041 | | | | 6,550,845 | |
| |
| | | | CAL Funding II Ltd., | |
| | 2,328,000 | | | Series 2013-1A-A | | | 3.35% | ^ | | | 03/27/2028 | | | | 2,272,747 | |
| |
| | | | Castlelake Aircraft Securitization Trust, | |
| | 2,489,492 | | | Series 2015-1A-A | | | 4.70% | ^ | | | 12/15/2040 | | | | 2,540,109 | |
| | 9,980,114 | | | Series 2016-1-A | | | 4.45% | | | | 08/15/2041 | | | | 10,123,358 | |
| |
| | | | CLI Funding LLC, | |
| | 274,480 | | | Series 2013-1A-NOTE | | | 2.83% | ^ | | | 03/18/2028 | | | | 264,096 | |
| | 2,062,433 | | | Series 2013-2A-NOTE | | | 3.22% | ^ | | | 06/18/2028 | | | | 1,990,717 | |
| | 997,347 | | | Series 2014-1A-A | | | 3.29% | ^ | | | 06/18/2029 | | | | 974,446 | |
| | 5,113,414 | | | Series 2014-2A-A | | | 3.38% | ^ | | | 10/18/2029 | | | | 5,017,154 | |
| |
| | | | Eagle Ltd., | |
| | 1,750,000 | | | Series 2014-1A-A1 | | | 2.57% | ^ | | | 12/15/2039 | | | | 1,739,770 | |
| |
| | | | ECAF Ltd., | |
| | 2,983,735 | | | Series 2015-1A-A1 | | | 3.47% | ^ | | | 06/15/2040 | | | | 2,949,168 | |
| |
| | | | Element Rail Leasing LLC, | |
| | 2,050,000 | | | Series 2014-1A-A2 | | | 3.67% | ^ | | | 04/19/2044 | | | | 2,017,354 | |
| | 7,065,349 | | | Series 2016-1A-A2 | | | 5.05% | ^ | | | 03/19/2046 | | | | 7,257,252 | |
| |
| | | | Falcon Aerospace Ltd., | |
| | 14,916,000 | | | Series 2017-1-A | | | 4.58% | | | | 02/15/2042 | | | | 15,149,764 | |
| |
| | | | Global SC Finance SRL, | |
| | 3,345,833 | | | Series 2013-1A-A | | | 2.98% | ^ | | | 04/17/2028 | | | | 3,259,806 | |
| | 92,120 | | | Series 2013-2A-A | | | 3.67% | ^ | | | 11/17/2028 | | | | 90,865 | |
| | 4,007,667 | | | Series 2014-1A-A1 | | | 3.19% | ^ | | | 07/17/2029 | | | | 3,905,094 | |
| |
| | | | Harbour Aircraft Investments Ltd., | |
| | 5,689,740 | | | Series 2016-1-A | | | 4.70% | | | | 07/15/2041 | | | | 5,744,362 | |
| |
| | | | HERO Funding Trust, | |
| | 81,088 | | | Series 2015-2A-A | | | 3.99% | ^ | | | 09/20/2040 | | | | 83,405 | |
| | 2,254,133 | | | Series 2016-3A-A2 | | | 3.91% | ^ | | | 09/20/2042 | | | | 2,296,761 | |
| | 4,874,400 | | | Series 2016-4A-A2 | | | 4.29% | ^ | | | 09/20/2047 | | | | 5,044,039 | |
| |
| | | | InSite Issuer LLC, | |
| | 2,250,000 | | | Series 2016-1A-B | | | 4.56% | ^ | | | 11/15/2046 | | | | 2,206,829 | |
| |
| | | | Mosaic Solar Loans LLC, | |
| | 15,411,562 | | | Series 2017-1A-A | | | 4.45% | ^ | | | 06/20/2042 | | | | 15,496,061 | |
| |
| | | | NP SPE II LLC, | |
| | 231,566 | | | Series 2016-1A-A1 | | | 4.16% | ^ | | | 04/20/2046 | | | | 231,968 | |
| |
| | | | Shenton Aircraft Investment Ltd., | |
| | 280,402 | | | Series 2015-1A-A | | | 4.75% | ^ | | | 10/15/2042 | | | | 286,363 | |
| |
| | | | TAL Advantage LLC, | |
| | 233,333 | | | Series 2013-2A-A | | | 3.55% | ^ | | | 11/20/2038 | | | | 229,551 | |
| | 762,217 | | | Series 2014-1A-A | | | 3.51% | ^ | | | 02/22/2039 | | | | 748,082 | |
| | 1,141,250 | | | Series 2014-1A-B | | | 4.10% | ^ | | | 02/22/2039 | | | | 1,088,966 | |
| | 22,150,000 | | | Series 2017-1A-A | | | 4.50% | ^ | | | 04/21/2042 | | | | 22,418,704 | |
| |
| | | | Textainer Marine Containers Ltd., | |
| | 916,500 | | | Series 2013-1A-A | | | 3.90% | ^ | | | 09/20/2038 | | | | 913,198 | |
| | 9,941,750 | | | Series 2014-1A-A | | | 3.27% | ^ | | | 10/20/2039 | | | | 9,726,497 | |
| |
| | | | Trinity Rail Leasing LLC, | |
| | 4,371,317 | | | Series 2010-1A-A | | | 5.19% | ^ | | | 10/16/2040 | | | | 4,501,462 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $136,160,336) | | | | 137,118,793 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 25.8% | |
| | 2,145,485 | | | Abengoa Transmision Sur S.A. | | | 6.88% | | | | 04/30/2043 | | | | 2,306,396 | |
| | 6,171,385 | | | Aeropuerto Internacional de Tocumen S.A. | | | 5.75% | | | | 10/09/2023 | | | | 6,618,810 | |
| | 10,500,000 | | | APT Pipelines Ltd. | | | 4.25% | ^ | | | 07/15/2027 | | | | 10,609,168 | |
| | 771,000 | | | Canadian Pacific Railway Company | | | 2.90% | | | | 02/01/2025 | | | | 757,246 | |
| | 3,150,000 | | | Delek & Avner Tamar Bond Ltd. | | | 5.41% | ^ | | | 12/30/2025 | | | | 3,352,781 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 10,652,000 | | | Empresa de Transporte de Pasajeros Metro S.A. | | | 5.00% | ^ | | | 01/25/2047 | | | | 11,175,546 | |
| | 10,336,192 | | | Energia Eolica S.A. | | | 6.00% | ¥ | | | 08/30/2034 | | | | 10,439,554 | |
| | 3,174,588 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | ^ | | | 03/30/2038 | | | | 3,269,826 | |
| | 235,504 | | | Fermaca Enterprises S. de R.L. de C.V. | | | 6.38% | | | | 03/30/2038 | | | | 242,569 | |
| | 4,000,000 | | | Fideicomiso P.A. Costera | | | 6.75% | ^¥ | | | 01/15/2034 | | | | 4,130,000 | |
| | 1,906,000 | | | GNL Quintero S.A. | | | 4.63% | | | | 07/31/2029 | | | | 1,953,650 | |
| | 3,568,668 | | | Interoceanica Finance Ltd. | | | 0.00% | ^ | | | 11/30/2025 | | | | 2,917,386 | |
| | 8,207,944 | | | Interoceanica Finance Ltd. | | | 0.00% | | | | 11/30/2025 | | | | 6,709,994 | |
| | 3,640,000 | | | Israel Electric Corporation Ltd. | | | 5.00% | ^ | | | 11/12/2024 | | | | 3,832,920 | |
| | 6,500,000 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | ^ | | | 07/05/2034 | | | | 6,938,750 | |
| | 1,450,000 | | | Lima Metro Line 2 Finance Ltd. | | | 5.88% | | | | 07/05/2034 | | | | 1,547,875 | |
| | 13,050,000 | | | Mexico City Airport Trust | | | 4.25% | ^ | | | 10/31/2026 | | | | 13,262,062 | |
| | 4,216,000 | | | Sydney Airport Finance Company Pty Ltd. | | | 3.38% | ^ | | | 04/30/2025 | | | | 4,138,742 | |
| | 2,440,000 | | | Sydney Airport Finance Company Pty Ltd. | | | 3.63% | ^ | | | 04/28/2026 | | | | 2,433,141 | |
| | 840,000 | | | Transelec S.A. | | | 4.63% | ^ | | | 07/26/2023 | | | | 882,786 | |
| | 500,000 | | | Transelec S.A. | | | 4.25% | ^ | | | 01/14/2025 | | | | 512,313 | |
| | 3,500,000 | | | Transelec S.A. | | | 3.88% | ^ | | | 01/12/2029 | | | | 3,403,750 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $100,943,801) | | | | 101,435,265 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 31.7% | |
| | 3,865,000 | | | Ameren Corporation | | | 3.65% | | | | 02/15/2026 | | | | 3,912,165 | |
| | 6,860,000 | | | American Electric Power Company, Inc. | | | 2.95% | | | | 12/15/2022 | | | | 6,902,628 | |
| | 11,250,000 | | | American Tower Corporation | | | 4.40% | | | | 02/15/2026 | | | | 11,657,531 | |
| | 700,000 | | | American Tower Corporation | | | 3.38% | | | | 10/15/2026 | | | | 668,676 | |
| | 474,000 | | | American Transmission Systems, Inc. | | | 5.25% | ^ | | | 01/15/2022 | | | | 522,259 | |
| | 7,515,000 | | | American Water Capital Corporation | | | 3.40% | | | | 03/01/2025 | | | | 7,716,733 | |
| | 2,500,000 | | | Commonwealth Edison Company | | | 4.35% | | | | 11/15/2045 | | | | 2,612,193 | |
| | 2,500,000 | | | Connecticut Light & Power Company | | | 3.20% | | | | 03/15/2027 | | | | 2,515,768 | |
| | 3,557,000 | | | Crown Castle International Corporation | | | 3.70% | | | | 06/15/2026 | | | | 3,497,022 | |
| | 175,000 | | | DTE Energy Company | | | 2.85% | | | | 10/01/2026 | | | | 164,060 | |
| | 8,000,000 | | | DTE Energy Company | | | 3.80% | | | | 03/15/2027 | | | | 8,128,248 | |
| | 6,250,000 | | | Duke Energy Corporation | | | 3.20% | | | | 01/15/2027 | | | | 6,289,094 | |
| | 135,000 | | | Eversource Energy | | | 2.80% | | | | 05/01/2023 | | | | 133,817 | |
| | 7,266,000 | | | Exelon Corporation | | | 3.40% | | | | 04/15/2026 | | | | 7,159,321 | |
| | 8,200,000 | | | Great Plains Energy, Inc. | | | 3.90% | | | | 04/01/2027 | | | | 8,284,066 | |
| | 7,000,000 | | | ITC Holdings Corporation | | | 3.25% | | | | 06/30/2026 | | | | 6,812,785 | |
| | 3,730,000 | | | Metropolitan Edison Company | | | 4.00% | ^ | | | 04/15/2025 | | | | 3,767,296 | |
| | 7,069,000 | | | NextEra Energy Capital Holdings, Inc. | | | 3.63% | | | | 06/15/2023 | | | | 7,173,105 | |
| | | | | | |
| 98 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 100,000 | | | Oglethorpe Power Corporation | | | 4.25% | | | | 04/01/2046 | | | | 94,702 | |
| | 2,650,000 | | | Oncor Electric Delivery Company LLC | | | 2.95% | | | | 04/01/2025 | | | | 2,629,354 | |
| | 245,000 | | | SBA Tower Trust | | | 2.24% | ^ | | | 04/16/2018 | | | | 245,094 | |
| | 2,500,000 | | | SBA Tower Trust | | | 2.88% | ^ | | | 07/15/2021 | | | | 2,488,400 | |
| | 7,350,000 | | | Sierra Pacific Power Company | | | 2.60% | | | | 05/01/2026 | | | | 7,051,450 | |
| | 7,250,000 | | | Sunoco Logistics Partners Operations LP | | | 3.90% | | | | 07/15/2026 | | | | 7,017,652 | |
| | 2,000,000 | | | Union Pacific Corporation | | | 2.75% | | | | 03/01/2026 | | | | 1,952,766 | |
| | 3,450,000 | | | Union Pacific Corporation | | | 3.00% | | | | 04/15/2027 | | | | 3,412,205 | |
| | 5,300,000 | | | Virginia Electric & Power Company | | | 3.50% | | | | 03/15/2027 | | | | 5,419,457 | |
| | 6,417,000 | | | Xcel Energy, Inc. | | | 3.30% | | | | 06/01/2025 | | | | 6,436,983 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $125,825,397) | | | | 124,664,830 | |
| | | | | | | | | | | | | | | | |
| | EXCHANGE TRADED FUNDS AND COMMON STOCKS 6.0% | |
| | 100,400 | | | iShares iBoxx Investment Grade Corporate Bond ETF | | | | | | | | | | | 11,838,164 | |
| | 137,600 | | | Vanguard Intermediate-Term Corporate Bond ETF | | | | | | | | | | | 11,885,888 | |
| | | | | | | | | | | | | | | | |
| | | | Exchange Traded Funds and Common Stocks
(Cost $23,567,505) | | | | 23,724,052 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 6.5% | |
| | 8,515,420 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 8,515,420 | |
| | 8,515,420 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 8,515,420 | |
| | 8,515,420 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 8,515,420 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $25,546,260) | | | | 25,546,260 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 105.0%
(Cost $412,043,299) | | | | 412,489,200 | |
| | | | Liabilities in Excess of Other Assets (5.0)% | | | | (19,806,026 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 392,683,174 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Asset Backed Obligations | | | 35.0% | |
US Corporate Bonds | | | 31.7% | |
Foreign Corporate Bonds | | | 25.8% | |
Short Term Investments | | | 6.5% | |
Exchange Traded Funds and Common Stocks | | | 6.0% | |
Other Assets and Liabilities | | | (5.0)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
Asset Backed Obligations | | | 35.0% | |
Utilities | | | 26.6% | |
Transportation | | | 16.8% | |
Energy | | | 7.1% | |
Short Term Investments | | | 6.5% | |
Exchange Traded Funds and Common Stock | | | 6.0% | |
Telecommunications | | | 4.8% | |
Oil & Gas | | | 2.2% | |
Other Assets and Liabilities | | | (5.0)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 81.9% | |
Peru | | | 7.8% | |
Chile | | | 4.6% | |
Mexico | | | 4.3% | |
Israel | | | 1.8% | |
Panama | | | 1.7% | |
Australia | | | 1.7% | |
Colombia | | | 1.0% | |
Canada | | | 0.2% | |
Other Assets and Liabilities | | | (5.0)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $183,983,529 or 46.9% of net assets. |
| ¥ | Illiquid security. At March 31, 2017, the value of these securities amounted to $14,569,554 or 3.7% of net assets. |
| ¨ | Seven-day yield as of March 31, 2017 |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 99 |
| | |
| Schedule of Investments DoubleLine Ultra Short Bond Fund | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | FOREIGN CORPORATE BONDS 23.9% | |
| | 250,000 | | | Australia and New Zealand Banking Group Ltd. | | | 1.82% | #^ | | | 09/23/2019 | | | | 251,847 | |
| | 450,000 | | | Westpac Banking Corporation | | | 1.61% | # | | | 08/19/2019 | | | | 451,874 | |
| | 450,000 | | | Bank of Montreal | | | 1.65% | # | | | 07/31/2018 | | | | 451,666 | |
| | 155,000 | | | Royal Bank of Canada | | | 1.86% | # | | | 03/22/2018 | | | | 155,274 | |
| | 450,000 | | | Nissan Motor Acceptance Corporation | | | 2.12% | #^ | | | 03/08/2019 | | | | 454,515 | |
| | 250,000 | | | Sumitomo Mitsui Banking Corporation | | | 1.56% | # | | | 01/11/2019 | | | | 250,238 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $2,012,132) | | | | 2,015,414 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 24.4% | |
| | 250,000 | | | American Express Credit Corporation | | | 1.65% | # | | | 07/31/2018 | | | | 251,097 | |
| | 250,000 | | | BB&T Corporation | | | 1.70% | # | | | 06/15/2020 | | | | 250,434 | |
| | 350,000 | | | Caterpillar Financial Services Corporation | | | 1.44% | # | | | 03/22/2019 | | | | 350,049 | |
| | 350,000 | | | JP Morgan Chase & Company | | | 1.59% | # | | | 04/25/2018 | | | | 351,502 | |
| | 400,000 | | | Philip Morris International, Inc. | | | 1.47% | # | | | 02/21/2020 | | | | 402,024 | |
| | 450,000 | | | Toyota Motor Credit Corporation | | | 1.41% | # | | | 01/17/2019 | | | | 451,596 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $2,052,768) | | | | 2,056,702 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 52.0% | |
| | |
| | COMMERCIAL PAPER 25.6% | |
| | 250,000 | | | Canadian National Railway Company | | | 0.00% | ^ | | | 04/20/2017 | | | | 249,880 | |
| | 305,000 | | | Commonwealth Bank of Australia | | | 0.00% | ^ | | | 04/03/2017 | | | | 304,979 | |
| | 250,000 | | | GE Capital Treasury Services LLC | | | 0.00% | | | | 12/18/2017 | | | | 247,832 | |
| | 250,000 | | | Mitsubishi Corporation | | | 0.00% | | | | 05/25/2017 | | | | 249,609 | |
| | 250,000 | | | National Rural Utilities Cooperative Finance Corporation | | | 0.00% | | | | 04/19/2017 | | | | 249,886 | |
| | 250,000 | | | Pfizer, Inc. | | | 0.00% | ^ | | | 07/05/2017 | | | | 249,373 | |
| | 250,000 | | | Simon Property Group LP | | | 0.00% | ^ | | | 05/08/2017 | | | | 249,763 | |
| | 350,000 | | | Wal-Mart Stores, Inc. | | | 0.00% | ^ | | | 04/03/2017 | | | | 349,978 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,151,300 | |
| | | | | | | | | | | | | | | | |
| | MONEY MARKET FUNDS 2.7% | |
| | 75,516 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 75,516 | |
| | 75,516 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 75,516 | |
| | 75,516 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 75,516 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 226,548 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | US TREASURY BILLS 23.7% | |
| | 500,000 | | | United States Treasury Bills | | | 0.00% | | | | 04/27/2017 | | | | 499,762 | |
| | 250,000 | | | United States Treasury Bills | | | 0.00% | | | | 06/01/2017 | | | | 249,718 | |
| | 500,000 | | | United States Treasury Bills | | | 0.00% | | | | 07/13/2017 | | | | 498,943 | |
| | 350,000 | | | United States Treasury Bills | | | 0.00% | | | | 08/03/2017 | | | | 349,088 | |
| | 400,000 | | | United States Treasury Bills | | | 0.00% | | | | 09/14/2017 | | | | 398,460 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,995,971 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments (Cost $4,374,066) | | | | | | | | 4,373,819 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 100.3% (Cost $8,438,966) | | | | | | | | 8,445,935 | |
| | | | Liabilities in Excess of Other Assets (0.3)% | | | | (27,647 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | | | | | $ | 8,418,288 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | |
Short Term Investments | | | 52.0% | |
US Corporate Bonds | | | 24.4% | |
Foreign Corporate Bonds | | | 23.9% | |
Other Assets and Liabilities | | | (0.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | |
Banking | | | 35.3% | |
US Treasury Bills | | | 23.7% | |
Automotive | | | 10.8% | |
Beverage and Tobacco | | | 4.8% | |
Retailers (other than Food/Drug) | | | 4.2% | |
Construction | | | 4.1% | |
Real Estate | | | 3.0% | |
Utilities | | | 3.0% | |
Transportation | | | 2.9% | |
Finance | | | 2.9% | |
Pharmaceuticals | | | 2.9% | |
Money Market Funds | | | 2.7% | |
Other Assets and Liabilities | | | (0.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 72.1% | |
Australia | | | 12.0% | |
Canada | | | 10.2% | |
Japan | | | 6.0% | |
Other Assets and Liabilities | | | (0.3)% | |
| | | | |
| | | 100.0% | |
| | | | |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $2,110,335 or 25.1% of net assets. |
| ¨ | Seven-day yield as of March 31, 2017 |
| | | | | | |
| 100 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced International CAPE® | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | ASSET BACKED OBLIGATIONS 12.5% | |
| |
| | | | Arcadia Receivables Credit Trust, | |
| | 470,553 | | | Series 2017-1-A | | | 3.25% | ^ | | | 06/15/2023 | | | | 472,272 | |
| |
| | | | Citi Held For Asset Issuance, | |
| | 381,320 | | | Series 2016-PM1-A | | | 4.65% | ^ | | | 04/15/2025 | | | | 386,476 | |
| |
| | | | DRB Prime Student Loan Trust, | |
| | 163,535 | | | Series 2015-B-A3 | | | 2.54% | ^ | | | 04/27/2026 | | | | 163,713 | |
| |
| | | | Global SC Finance SRL, | |
| | 341,000 | | | Series 2014-1A-A1 | | | 3.19% | ^ | | | 07/17/2029 | | | | 332,272 | |
| |
| | | | Kabbage Asset Securitization LLC, | |
| | 500,000 | | | Series 2017-1-A | | | 4.57% | ^ | | | 03/15/2022 | | | | 513,134 | |
| |
| | | | OneMain Financial Issuance Trust, | |
| | 500,000 | | | Series 2015-2A-A | | | 2.57% | ^ | | | 07/18/2025 | | | | 501,644 | |
| |
| | | | SoFi Consumer Loan Program Trust, | |
| | 250,000 | | | Series 2017-2-A | | | 3.28% | ^ | | | 02/25/2026 | | | | 250,313 | |
| |
| | | | SpringCastle America Funding LLC, | |
| | 434,579 | | | Series 2016-AA-A | | | 3.05% | ^ | | | 04/25/2029 | | | | 438,121 | |
| |
| | | | TAL Advantage LLC, | |
| | 300,000 | | | Series 2017-1A-A | | | 4.50% | ^ | | | 04/21/2042 | | | | 303,639 | |
| |
| | | | Westlake Automobile Receivables Trust, | |
| | 500,000 | | | Series 2017-1A-C | | | 2.70% | #^ | | | 10/17/2022 | | | | 501,354 | |
| | | | | | | | | | | | | | | | |
| | | | Total Asset Backed Obligations
(Cost $3,839,737) | | | | 3,862,938 | |
| | | | | | | | | | | | | | | | |
| | FOREIGN CORPORATE BONDS 4.1% | |
| | 140,000 | | | AstraZeneca PLC | | | 1.75% | | | | 11/16/2018 | | | | 140,072 | |
| | 90,000 | | | Bank of Montreal | | | 2.10% | | | | 12/12/2019 | | | | 90,435 | |
| | 175,000 | | | BP Capital Markets PLC | | | 1.68% | | | | 05/03/2019 | | | | 174,176 | |
| | 150,000 | | | Commonwealth Bank of Australia | | | 2.25% | ^ | | | 03/10/2020 | | | | 150,148 | |
| | 150,000 | | | Medtronic Global Holdings SCA | | | 1.70% | | | | 03/28/2019 | | | | 149,970 | |
| | 165,000 | | | Orange S.A. | | | 2.75% | | | | 02/06/2019 | | | | 166,997 | |
| | 160,000 | | | Royal Bank of Canada | | | 1.50% | | | | 07/29/2019 | | | | 158,399 | |
| | 55,000 | | | Shire Acquisitions Investments Ireland DAC | | | 1.90% | | | | 09/23/2019 | | | | 54,594 | |
| | 35,000 | | | Teva Pharmaceutical Finance Netherlands B.V. | | | 1.70% | | | | 07/19/2019 | | | | 34,617 | |
| | 80,000 | | | Toronto Dominion Bank | | | 1.75% | | | | 07/23/2018 | | | | 80,192 | |
| | 55,000 | | | Westpac Banking Corporation | | | 1.60% | | | | 08/19/2019 | | | | 54,427 | |
| | | | | | | | | | | | | | | | |
| | | | Total Foreign Corporate Bonds
(Cost $1,253,461) | | | | 1,254,027 | |
| | | | | | | | | | | | | | | | |
| | US CORPORATE BONDS 21.9% | |
| | 145,000 | | | AbbVie, Inc. | | | 1.80% | | | | 05/14/2018 | | | | 145,196 | |
| | 140,000 | | | Amazon.com, Inc. | | | 2.60% | | | | 12/05/2019 | | | | 142,853 | |
| | 95,000 | | | American Express Credit Corporation | | | 2.25% | | | | 08/15/2019 | | | | 95,773 | |
| | 10,000 | | | American Express Credit Corporation | | | 2.20% | | | | 03/03/2020 | | | | 10,032 | |
| | 205,000 | | | American Honda Finance Corporation | | | 1.20% | | | | 07/12/2019 | | | | 202,290 | |
| | 105,000 | | | Anheuser-Busch InBev Finance, Inc. | | | 1.90% | | | | 02/01/2019 | | | | 105,191 | |
| | 40,000 | | | Apple, Inc. | | | 1.90% | | | | 02/07/2020 | | | | 40,122 | |
| | 175,000 | | | Bank of America Corporation | | | 2.00% | | | | 01/11/2018 | | | | 175,482 | |
| | 25,000 | | | BB&T Corporation | | | 2.25% | | | | 02/01/2019 | | | | 25,176 | |
| | 125,000 | | | Berkshire Hathaway Finance Corporation | | | 1.30% | | | | 08/15/2019 | | | | 123,835 | |
| | 20,000 | | | Boston Properties LP | | | 5.88% | | | | 10/15/2019 | | | | 21,654 | |
| | 15,000 | | | Broadcom Corporation | | | 2.38% | ^ | | | 01/15/2020 | | | | 15,007 | |
| | 180,000 | | | Capital One Financial Corporation | | | 2.45% | | | | 04/24/2019 | | | | 181,109 | |
| | 165,000 | | | Cardinal Health, Inc. | | | 1.95% | | | | 06/15/2018 | | | | 165,546 | |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $ | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 60,000 | | | Caterpillar Financial Services Corporation | | | 2.10% | | | | 01/10/2020 | | | | 60,028 | |
| | 155,000 | | | Celgene Corporation | | | 2.13% | | | | 08/15/2018 | | | | 155,779 | |
| | 30,000 | | | Chevron Corporation | | | 1.56% | | | | 05/16/2019 | | | | 29,908 | |
| | 25,000 | | | Chevron Corporation | | | 1.99% | | | | 03/03/2020 | | | | 25,039 | |
| | 80,000 | | | Cisco Systems, Inc. | | | 1.40% | | | | 09/20/2019 | | | | 79,374 | |
| | 175,000 | | | Citigroup, Inc. | | | 2.05% | | | | 12/07/2018 | | | | 175,379 | |
| | 230,000 | | | Comcast Corporation | | | 5.15% | | | | 03/01/2020 | | | | 250,614 | |
| | 35,000 | | | Consolidated Edison, Inc. | | | 2.00% | | | | 03/15/2020 | | | | 34,971 | |
| | 240,000 | | | CVS Health Corporation | | | 1.90% | | | | 07/20/2018 | | | | 240,531 | |
| | 250,000 | | | Daimler Finance North America LLC | | | 2.25% | ^ | | | 03/02/2020 | | | | 249,924 | |
| | 105,000 | | | Duke Energy Corporation | | | 1.85% | | | | 01/15/2020 | | | | 104,952 | |
| | 245,000 | | | Express Scripts Holding Company | | | 2.25% | | | | 06/15/2019 | | | | 245,424 | |
| | 165,000 | | | General Mills, Inc. | | | 2.20% | | | | 10/21/2019 | | | | 166,105 | |
| | 75,000 | | | General Motors Financial Company, Inc. | | | 3.15% | | | | 01/15/2020 | | | | 76,326 | |
| | 145,000 | | | Goldman Sachs Group, Inc. | | | 2.30% | | | | 12/13/2019 | | | | 145,164 | |
| | 90,000 | | | Hewlett Packard Enterprise Company | | | 3.60% | | | | 10/15/2020 | | | | 92,568 | |
| | 75,000 | | | John Deere Capital Corporation | | | 1.95% | | | | 01/08/2019 | | | | 75,428 | |
| | 145,000 | | | JP Morgan Chase & Company | | | 2.25% | | | | 01/23/2020 | | | | 145,517 | |
| | 190,000 | | | Kinder Morgan, Inc. | | | 3.05% | | | | 12/01/2019 | | | | 193,298 | |
| | 190,000 | | | Kraft Heinz Foods Company | | | 2.00% | | | | 07/02/2018 | | | | 190,510 | |
| | 145,000 | | | Kroger Company | | | 6.15% | | | | 01/15/2020 | | | | 159,991 | |
| | 75,000 | | | Laboratory Corporation | | | 2.50% | | | | 11/01/2018 | | | | 75,677 | |
| | 75,000 | | | McKesson Corporation | | | 2.28% | | | | 03/15/2019 | | | | 75,454 | |
| | 85,000 | | | Medtronic, Inc. | | | 1.50% | | | | 03/15/2018 | | | | 85,030 | |
| | 20,000 | | | Microsoft Corporation | | | 1.85% | | | | 02/06/2020 | | | | 20,051 | |
| | 20,000 | | | Molson Coors Brewing Company | | | 1.45% | | | | 07/15/2019 | | | | 19,750 | |
| | 300,000 | | | Morgan Stanley | | | 2.45% | | | | 02/01/2019 | | | | 302,893 | |
| | 35,000 | | | MUFG Americas Holdings Corporation | | | 2.25% | | | | 02/10/2020 | | | | 34,980 | |
| | 7,000 | | | Newell Brands, Inc. | | | 2.60% | | | | 03/29/2019 | | | | 7,089 | |
| | 35,000 | | | Oracle Corporation | | | 2.25% | | | | 10/08/2019 | | | | 35,438 | |
| | 60,000 | | | PepsiCo, Inc. | | | 2.15% | | | | 10/14/2020 | | | | 60,365 | |
| | 95,000 | | | Philip Morris International, Inc. | | | 5.65% | | | | 05/16/2018 | | | | 99,298 | |
| | 60,000 | | | PNC Funding Corporation | | | 4.38% | | | | 08/11/2020 | | | | 63,957 | |
| | 50,000 | | | Prudential Financial, Inc. | | | 7.38% | | | | 06/15/2019 | | | | 55,770 | |
| | 110,000 | | | Reynolds American, Inc. | | | 3.25% | | | | 06/12/2020 | | | | 112,938 | |
| | 65,000 | | | Shell International Finance B.V. | | | 1.38% | | | | 05/10/2019 | | | | 64,438 | |
| | 255,000 | | | Simon Property Group LP | | | 2.20% | | | | 02/01/2019 | | | | 256,582 | |
| | 170,000 | | | Southern Company | | | 1.85% | | | | 07/01/2019 | | | | 169,152 | |
| | 60,000 | | | Synchrony Financial | | | 3.00% | | | | 08/15/2019 | | | | 60,964 | |
| | 70,000 | | | Thermo Fisher Scientific, Inc. | | | 2.15% | | | | 12/14/2018 | | | | 70,271 | |
| | 90,000 | | | TIAA Asset Management Finance Company LLC | | | 2.95% | ^ | | | 11/01/2019 | | | | 91,528 | |
| | 50,000 | | | Toyota Motor Credit Corporation | | | 1.70% | | | | 02/19/2019 | | | | 50,102 | |
| | 250,000 | | | United Technologies Corporation | | | 1.50% | | | | 11/01/2019 | | | | 248,341 | |
| | 76,000 | | | Verizon Communications, Inc. | | | 2.95% | ^ | | | 03/15/2022 | | | | 75,754 | |
| | 125,000 | | | WellPoint, Inc. | | | 2.30% | | | | 07/15/2018 | | | | 125,589 | |
| | 155,000 | | | Wells Fargo & Company | | | 1.50% | | | | 01/16/2018 | | | | 154,740 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Corporate Bonds
(Cost $6,761,261) | | | | 6,762,247 | |
| | | | | | | | | | | | | | | | |
| | US GOVERNMENT AND AGENCY OBLIGATIONS 39.1% | |
| | 1,950,000 | | | United States Treasury Notes | | | 0.88% | | | | 11/30/2017 | | | | 1,948,742 | |
| | 2,190,000 | | | United States Treasury Notes | | | 1.00% | | | | 12/31/2017 | | | | 2,189,829 | |
| | 1,950,000 | | | United States Treasury Notes | | | 0.75% | | | | 01/31/2018 | | | | 1,945,429 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 101 |
| | |
| Schedule of Investments DoubleLine Shiller Enhanced International CAPE® (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT $/
SHARES | | | SECURITY DESCRIPTION | | RATE | | | MATURITY | | | VALUE $ | |
| | 980,000 | | | United States Treasury Notes | | | 1.00% | | | | 03/15/2018 | | | | 979,330 | |
| | 1,590,000 | | | United States Treasury Notes | | | 0.75% | | | | 10/31/2018 | | | | 1,578,913 | |
| | 1,090,000 | | | United States Treasury Notes | | | 1.63% | | | | 06/30/2019 | | | | 1,097,110 | |
| | 1,730,000 | | | United States Treasury Notes | | | 0.88% | | | | 09/15/2019 | | | | 1,708,714 | |
| | 610,000 | | | United States Treasury Notes | | | 1.63% | | | | 06/30/2020 | | | | 610,548 | |
| | | | | | | | | | | | | | | | |
| | | | Total US Government and Agency Obligations
(Cost $12,053,038) | | | | 12,058,615 | |
| | | | | | | | | | | | | | | | |
| | SHORT TERM INVESTMENTS 28.6% | |
| | 2,949,207 | | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ¨ | | | | | | | 2,949,207 | |
| | 2,949,207 | | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ¨ | | | | | | | 2,949,207 | |
| | 2,949,207 | | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ¨ | | | | | | | 2,949,207 | |
| | | | | | | | | | | | | | | | |
| | | | Total Short Term Investments
(Cost $8,847,621) | | | | 8,847,621 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments 106.2%
(Cost $32,755,118) | | | | 32,785,448 | |
| | | | Liabilities in Excess of Other Assets (6.2)% | | | | (1,902,442 | ) |
| | | | | | | | | | | | | | | | |
| | | | NET ASSETS 100.0% | | | $ | 30,883,006 | |
| | | | | | | | | | | | | | | | |
| | | | |
| SECURITY TYPE BREAKDOWN as a % of Net Assets: | | | | |
US Government and Agency Obligations | | | 39.1% | |
Short Term Investments | | | 28.6% | |
US Corporate Bonds | | | 21.9% | |
Asset Backed Obligations | | | 12.5% | |
Foreign Corporate Bonds | | | 4.1% | |
Other Assets and Liabilities | | | (6.2)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| INVESTMENT BREAKDOWN as a % of Net Assets: | | | | |
US Government and Agency Obligations | | | 39.1% | |
Short Term Investments | | | 28.6% | |
Asset Backed Obligations | | | 12.5% | |
Banking | | | 6.0% | |
Healthcare | | | 2.7% | |
Automotive | | | 1.6% | |
Pharmaceuticals | | | 1.5% | |
Food/Drug Retailers | | | 1.3% | |
Beverage and Tobacco | | | 1.3% | |
Finance | | | 1.2% | |
Food Products | | | 1.2% | |
Telecommunications | | | 1.0% | |
Utilities | | | 1.0% | |
Real Estate | | | 0.9% | |
Energy | | | 0.8% | |
Media | | | 0.8% | |
Aerospace & Defense | | | 0.8% | |
Oil & Gas | | | 0.8% | |
Insurance | | | 0.7% | |
Technology | | | 0.7% | |
Biotechnology | | | 0.5% | |
Business Equipment and Services | | | 0.5% | |
Construction | | | 0.5% | |
Electronics/Electric | | | 0.2% | |
Consumer Products | | | 0.0% | ~ |
Other Assets and Liabilities | | | (6.2)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | | | |
| COUNTRY BREAKDOWN as a % of Net Assets: | |
United States | | | 102.1% | |
Canada | | | 1.1% | |
United Kingdom | | | 1.0% | |
Australia | | | 0.7% | |
France | | | 0.5% | |
Luxembourg | | | 0.5% | |
Ireland | | | 0.2% | |
Netherlands | | | 0.1% | |
Other Assets and Liabilities | | | (6.2)% | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $4,445,299 or 14.4% of net assets. |
| # | Variable rate security. Rate disclosed as of March 31, 2017. |
| ¨ | Seven-day yield as of March 31, 2017 |
| ~ | Represents less than 0.05% of net assets |
| | | | | | | | | | | | | | | | | | |
| Total Return Swaps - Long | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Financing
Rate | | | Notional
Amount | | | Termination
Date | | | Unrealized
Appreciation
(Depreciation) | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index | | Barclays Capital, Inc. | | | 0.20% | | | | 8,400,000 | Euro | | | 04/28/2017 | | | $ | 8,997 | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index | | Barclays Capital, Inc. | | | 0.20% | | | | 5,000,000 | Euro | | | 03/29/2018 | | | | 138,643 | |
Shiller Barclays CAPE® Europe Sector Net ER NoC Index | | Barclays Capital, Inc. | | | 0.20% | | | | 15,000,000 | Euro | | | 04/26/2018 | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 147,640 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
| 102 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| Shiller Barclays CAPE® Europe Sector Net ER NoC Index aims to provide notional long exposure to the top four European 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 European sector is represented by an index that invests primarily in equity securities of companies in the relevant sector. At March 31, 2017, the four sector constituents with each index ticker indicated in parentheses and their weightings were as follows: MSCI Europe Utilities Net Return EUR Index (M7EU0UT) 25.6%, MSCI Europe Consumer Staples Net Return EUR Index (M7EU0CS) 25.1%, MSCI Europe Materials Net Return EUR Index (M7EU0MT) 24.8%, MSCI Europe Energy Net Return EUR Index (M7EU0EN) 24.5%. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Exchange Contracts | | | | | | | | | | | | | | | | | |
| Settlement Date | | Currency to be Delivered | | | U.S. Value | | | Currency to be Received | | U.S. Value | | | Counterparty | | Unrealized
Appreciation
(Depreciation) | |
04/04/2017 | | | 28,097,986 | | | | United States Dollar | | | $ | 28,097,986 | | | | 26,400,000 | | | Euro | | $ | 28,168,331 | | | Barclays Capital, Inc. | | $ | 70,345 | |
04/04/2017 | | | 26,400,000 | | | | Euro | | | | 28,168,327 | | | | 28,151,451 | | | United States Dollar | | | 28,151,451 | | | Barclays Capital, Inc. | | | (16,876 | ) |
05/02/2017 | | | 30,397,576 | | | | United States Dollar | | | | 30,397,576 | | | | 28,400,000 | | | Euro | | | 30,340,994 | | | Barclays Capital, Inc. | | | (56,582 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 86,663,889 | | | | | | | | | $ | 86,660,776 | | | | | $ | (3,113 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 103 |
| | |
| Statements of Assets and Liabilities | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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* | | $ | 50,548,288,335 | | | $ | 7,117,015,910 | | | $ | 987,312,251 | | | $ | 75,776,860 | | | $ | 4,078,139,282 | | | $ | 412,780,561 | |
Investments in Affiliated Securities, at Value* | | | — | | | | 805,771,067 | | | | — | | | | 43,334,035 | | | | 49,250,000 | | | | — | |
Short Term Investments* | | | 3,854,762,933 | | | | 236,040,231 | | | | 24,268,013 | | | | 39,683,804 | | | | 363,901,233 | | | | 60,035,944 | |
Foreign Currency, at Value* | | | — | | | | — | | | | — | | | | 817,992 | | | | — | | | | — | |
Interest and Dividends Receivable | | | 175,782,604 | | | | 41,453,497 | | | | 12,475,813 | | | | 507,302 | | | | 19,056,729 | | | | 2,328,310 | |
Receivable for Fund Shares Sold | | | 135,904,666 | | | | 38,821,087 | | | | 3,191,150 | | | | 348,635 | | | | 18,221,016 | | | | 3,055,211 | |
Receivable for Investments Sold | | | 815,028 | | | | 62,029,150 | | | | 20,726,013 | | | | 56,174 | | | | 14,871,992 | | | | 37,596,611 | |
Prepaid Expenses and Other Assets | | | 493,316 | | | | 157,383 | | | | 15,379 | | | | 25,540 | | | | 76,576 | | | | 37,078 | |
Unrealized Appreciation on Swaps | | | — | | | | — | | | | — | | | | 7,155,847 | | | | — | | | | — | |
Deposit at Broker for Futures | | | — | | | | — | | | | — | | | | 2,223,559 | | | | — | | | | — | |
Unrealized Appreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | 47,872 | | | | — | | | | — | |
Due from Advisor | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Assets | | | 54,716,046,882 | | | | 8,301,288,325 | | | | 1,047,988,619 | | | | 169,977,620 | | | | 4,543,516,828 | | | | 515,833,715 | |
| | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 201,245,145 | | | | 126,076,058 | | | | 38,150,262 | | | | 126,601 | | | | 178,453,158 | | | | 86,127,727 | |
Payable for Fund Shares Redeemed | | | 80,625,296 | | | | 56,025,974 | | | | 1,081,630 | | | | 431,699 | | | | 63,984,674 | | | | 738,782 | |
Distribution Payable | | | 47,294,342 | | | | 5,653,480 | | | | 557,944 | | | | 227,113 | | | | 1,472,418 | | | | 579,388 | |
Investment Advisory Fees Payable | | | 18,436,541 | | | | 2,387,944 | | | | 615,860 | | | | 126,063 | | | | 1,224,466 | | | | 176,113 | |
Transfer Agent Expenses Payable | | | 6,240,121 | | | | 638,663 | | | | 254,724 | | | | 44,646 | | | | 348,527 | | | | 54,189 | |
Distribution Fees Payable | | | 4,153,878 | | | | 403,661 | | | | 74,864 | | | | 45,124 | | | | 723,589 | | | | 41,803 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 1,880,873 | | | | 323,668 | | | | 40,470 | | | | 15,423 | | | | 198,204 | | | | 32,742 | |
Accrued Expenses | | | 1,166,329 | | | | 70,460 | | | | 52,246 | | | | 2,492 | | | | 70,597 | | | | 14,194 | |
Registration Fees Payable | | | 622,204 | | | | 65,732 | | | | 10,312 | | | | 1,435 | | | | 37,233 | | | | 14,409 | |
Professional Fees Payable | | | 388,089 | | | | 123,459 | | | | 101,878 | | | | 53,479 | | | | 57,698 | | | | 50,501 | |
Variation Margin Payable | | | — | | | | — | | | | — | | | | 88,594 | | | | — | | | | — | |
Unrealized Depreciation on Swaps | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Unrealized Depreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Liabilities | | | 362,052,818 | | | | 191,769,099 | | | | 40,940,190 | | | | 1,162,669 | | | | 246,570,564 | | | | 87,829,848 | |
Net Assets | | $ | 54,353,994,064 | | | $ | 8,109,519,226 | | | | 1,007,048,429 | | | $ | 168,814,951 | | | | 4,296,946,264 | | | $ | 428,003,867 | |
| | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 57,027,661,504 | | | $ | 8,186,631,136 | | | $ | 1,047,378,095 | | | $ | 163,142,514 | | | $ | 4,328,513,754 | | | $ | 435,555,176 | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | | 17,150,907 | | | | 1,606,145 | | | | (348,570 | ) | | | (903,060 | ) | | | 250,567 | | | | 113,145 | |
Accumulated Net Realized Gain (Loss) on Investments | | | (2,487,128,635 | ) | | | (53,525,355 | ) | | | (13,004,546 | ) | | | 1,781,345 | | | | (20,811,098 | ) | | | (8,901,238 | ) |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (202,990,454 | ) | | | (21,963,767 | ) | | | (26,976,550 | ) | | | (527,300 | ) | | | (10,256,959 | ) | | | 1,236,784 | |
Investments in Affiliated Securities | | | — | | | | (3,228,933 | ) | | | — | | | | (1,763,817 | ) | | | (750,000 | ) | | | — | |
Short Term Investments | | | (699,258 | ) | | | — | | | | — | | | | (100 | ) | | | — | | | | — | |
Foreign Currency | | | — | | | | — | | | | — | | | | 16,827 | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | 47,872 | | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (135,177 | ) | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | 7,155,847 | | | | — | | | | — | |
Translation of Other Assets and Liabilities Denominated in Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Net Assets | | $ | 54,353,994,064 | | | $ | 8,109,519,226 | | | $ | 1,007,048,429 | | | $ | 168,814,951 | | | $ | 4,296,946,264 | | | $ | 428,003,867 | |
| | | | | | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 50,751,278,789 | | | $ | 7,138,979,677 | | | $ | 1,014,288,801 | | | $ | 76,304,160 | | | $ | 4,088,396,241 | | | $ | 411,543,777 | |
Investments in Affiliated Securities | | | — | | | | 809,000,000 | | | | — | | | | 45,097,852 | | | | 50,000,000 | | | | — | |
Short Term Investments | | | 3,855,462,191 | | | | 236,040,231 | | | | 24,268,013 | | | | 39,683,904 | | | | 363,901,233 | | | | 60,035,944 | |
Foreign Currency | | | — | | | | — | | | | — | | | | 801,165 | | | | — | | | | — | |
| | | | | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 44,379,729,976 | | | $ | 7,034,665,144 | | | $ | 775,961,342 | | | $ | 49,379,666 | | | $ | 2,756,497,971 | | | $ | 297,060,278 | |
Shares Outstanding | | | 4,174,097,449 | | | | 647,935,523 | | | | 73,880,580 | | | | 5,020,507 | | | | 274,506,332 | | | | 29,996,137 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.63 | | | $ | 10.86 | | | $ | 10.50 | | | $ | 9.84 | | | $ | 10.04 | | | $ | 9.90 | |
| | | | | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 9,974,264,088 | | | $ | 1,074,854,082 | | | $ | 231,087,087 | | | $ | — | | | $ | 1,540,448,293 | | | $ | 130,943,589 | |
Shares Outstanding | | | 938,531,696 | | | | 99,069,876 | | | | 22,001,138 | | | | — | | | | 153,512,986 | | | | 13,197,402 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.63 | | | $ | 10.85 | | | $ | 10.50 | | | $ | — | | | $ | 10.03 | | | $ | 9.92 | |
| | | | | | |
Class A (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | — | | | $ | — | | | $ | — | | | $ | 119,435,285 | | | $ | — | | | $ | — | |
Shares Outstanding | | | — | | | | — | | | | — | | | | 12,178,366 | | | | — | | | | — | |
Net Asset Value, Offering Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 10.23 | | | $ | — | | | $ | — | |
Net Asset Value, Redemption Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | 9.81 | | | $ | — | | | $ | — | |
| | | | | | |
| 104 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced
CAPE® | | | DoubleLine Flexible Income Fund | | | DoubleLine Low Duration
Emerging
Markets Fixed
Income Fund | | | DoubleLine
Long Duration
Total Return
Bond Fund | | | DoubleLine
Strategic
Commodity
Fund
(Consolidated) | | | DoubleLine
Global Bond Fund | |
| | | | | | |
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | $ | 2,689,346,894 | | | $ | 675,741,406 | | | $ | 317,686,863 | | | $ | 61,017,052 | | | $ | — | | | $ | 472,629,306 | |
Investments in Affiliated Securities, at Value* | | | — | | | | 27,517,456 | | | | — | | | | — | | | | — | | | | — | |
Short Term Investments* | | | 436,851,100 | | | | 74,582,776 | | | | 20,374,644 | | | | 674,634 | | | | 30,665,457 | | | | 18,394,632 | |
Foreign Currency, at Value* | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,573,762 | |
Interest and Dividends Receivable | | | 11,384,937 | | | | 4,290,605 | | | | 3,475,884 | | | | 243,699 | | | | 1,776 | | | | 3,369,941 | |
Receivable for Fund Shares Sold | | | 32,359,082 | | | | 3,825,016 | | | | 525,892 | | | | 29,764 | | | | 33,901 | | | | 168,681 | |
Receivable for Investments Sold | | | 38,642,419 | | | | 9,321,096 | | | | 8,576,157 | | | | — | | | | — | | | | 2,938,933 | |
Prepaid Expenses and Other Assets | | | 181,619 | | | | 83,151 | | | | 48,625 | | | | 28,541 | | | | 198 | | | | 35,833 | |
Unrealized Appreciation on Swaps | | | 211,404,052 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Deposit at Broker for Futures | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Unrealized Appreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Due from Advisor | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Assets | | | 3,420,170,103 | | | | 795,361,506 | | | | 350,688,065 | | | | 61,993,690 | | | | 30,701,332 | | | | 500,111,088 | |
| | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for Investments Purchased | | | 222,729,692 | | | | 53,214,092 | | | | — | | | | — | | | | — | | | | — | |
Payable for Fund Shares Redeemed | | | 3,411,278 | | | | 873,615 | | | | 440,194 | | | | 659 | | | | 49 | | | | 17,210 | |
Distribution Payable | | | 1,031,101 | | | | 395,786 | | | | 221,069 | | | | 161,809 | | | | — | | | | — | |
Investment Advisory Fees Payable | | | 1,133,802 | | | | 401,976 | | | | 91,849 | | | | 17,816 | | | | 6,538 | | | | 205,740 | |
Transfer Agent Expenses Payable | | | 286,479 | | | | 89,489 | | | | 42,302 | | | | 24,489 | | | | 32,205 | | | | 97,651 | |
Distribution Fees Payable | | | 231,334 | | | | 54,920 | | | | 81,796 | | | | 3,835 | | | | 2,235 | | | | 5,616 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 125,658 | | | | 47,629 | | | | 18,247 | | | | 5,347 | | | | 2,493 | | | | 42,233 | |
Accrued Expenses | | | 17,110 | | | | 328 | | | | 4,328 | | | | 4,748 | | | | 40,780 | | | | 22,656 | |
Registration Fees Payable | | | 12,468 | | | | 3,197 | | | | 2,712 | | | | 1,742 | | | | 1,014 | | | | 16,377 | |
Professional Fees Payable | | | 66,691 | | | | 32,229 | | | | 21,103 | | | | 32,065 | | | | 82,507 | | | | 43,840 | |
Variation Margin Payable | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Unrealized Depreciation on Swaps | | | — | | | | — | | | | — | | | | — | | | | 1,750,224 | | | | — | |
Unrealized Depreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | 273,392 | |
Total Liabilities | | | 229,045,613 | | | | 55,113,261 | | | | 923,600 | | | | 252,510 | | | | 1,918,045 | | | | 724,715 | |
Net Assets | | $ | 3,191,124,490 | | | $ | 740,248,245 | | | $ | 349,764,465 | | | $ | 61,741,180 | | | $ | 28,783,287 | | | $ | 499,386,373 | |
| | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 2,863,119,685 | | | $ | 742,373,264 | | | $ | 353,419,866 | | | $ | 63,788,141 | | | $ | 30,685,197 | | | $ | 504,598,372 | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | | 273,584 | | | | 164,531 | | | | (57,445 | ) | | | (5,110 | ) | | | (150,622 | ) | | | (2,816,373 | ) |
Accumulated Net Realized Gain (Loss) on Investments | | | 121,752,920 | | | | (2,619,618 | ) | | | 274,407 | | | | (1,330,585 | ) | | | 956 | | | | (968,281 | ) |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (5,429,967 | ) | | | 362,612 | | | | (3,872,363 | ) | | | (711,266 | ) | | | — | | | | (1,166,604 | ) |
Investments in Affiliated Securities | | | — | | | | (32,544 | ) | | | — | | | | — | | | | — | | | | — | |
Short Term Investments | | | 4,216 | | | | — | | | | — | | | | — | | | | (2,020 | ) | | | — | |
Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2,156 | ) |
Forwards | | | — | | | | — | | | | — | | | | — | | | | — | | | | (273,392 | ) |
Futures | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Swaps | | | 211,404,052 | | | | — | | | | — | | | | — | | | | (1,750,224 | ) | | | — | |
Translation of Other Assets and Liabilities Denominated in Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | — | | | | 14,807 | |
Net Assets | | $ | 3,191,124,490 | | | $ | 740,248,245 | | | $ | 349,764,465 | | | $ | 61,741,180 | | | $ | 28,783,287 | | | $ | 499,386,373 | |
| | | | | | |
*Identified Cost: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 2,694,776,861 | | | $ | 675,378,794 | | | $ | 321,559,226 | | | $ | 61,728,318 | | | $ | — | | | $ | 473,795,910 | |
Investments in Affiliated Securities | | | — | | | | 27,550,000 | | | | — | | | | — | | | | — | | | | — | |
Short Term Investments | | | 436,846,884 | | | | 74,582,776 | | | | 20,374,644 | | | | 674,634 | | | | 30,667,477 | | | | 18,394,632 | |
Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,575,918 | |
| | | | | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 2,432,724,800 | | | $ | 593,152,895 | | | $ | 133,046,686 | | | $ | 50,464,973 | | | $ | 22,243,096 | | | $ | 475,328,191 | |
Shares Outstanding | | | 164,868,994 | | | | 60,390,085 | | | | 13,504,624 | | | | 5,155,192 | | | | 2,383,466 | | | | 47,356,847 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 14.76 | | | $ | 9.82 | | | $ | 9.85 | | | $ | 9.79 | | | $ | 9.33 | | | $ | 10.04 | |
| | | | | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 758,399,690 | | | $ | 147,095,350 | | | $ | 216,717,779 | | | $ | 11,276,207 | | | $ | 6,540,191 | | | $ | 24,058,182 | |
Shares Outstanding | | | 51,434,203 | | | | 14,984,150 | | | | 21,977,590 | | | | 1,152,702 | | | | 704,822 | | | | 2,400,298 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 14.75 | | | $ | 9.82 | | | $ | 9.86 | | | $ | 9.78 | | | $ | 9.28 | | | $ | 10.02 | |
| | | | | | |
Class A (unlimited shares authorized): | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Shares Outstanding | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Net Asset Value, Offering Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Net Asset Value, Redemption Price per Share | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 105 |
| | |
| Statements of Assets and Liabilities (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | |
| | | DoubleLine
Infrastructure Income Fund | | | DoubleLine Ultra Short Bond Fund | | | DoubleLine
Shiller Enhanced
International CAPE® | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Value* | | $ | 386,942,940 | | | $ | 4,072,116 | | | $ | 23,937,827 | |
Investments in Affiliated Securities, at Value* | | | — | | | | — | | | | — | |
Short Term Investments* | | | 25,546,260 | | | | 4,373,819 | | | | 8,847,621 | |
Foreign Currency, at Value* | | | — | | | | — | | | | — | |
Interest and Dividends Receivable | | | 2,070,878 | | | | 8,668 | | | | 78,218 | |
Receivable for Fund Shares Sold | | | 251 | | | | — | | | | 153,817 | |
Receivable for Investments Sold | | | 15,182,798 | | | | — | | | | 349,979 | |
Prepaid Expenses and Other Assets | | | 17,855 | | | | 13,754 | | | | — | |
Unrealized Appreciation on Swaps | | | — | | | | — | | | | 147,640 | |
Deposit at Broker for Futures | | | — | | | | — | | | | — | |
Unrealized Appreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | — | |
Due from Advisor | | | — | | | | 24,372 | | | | 45,624 | |
Total Assets | | | 429,760,982 | | | | 8,492,729 | | | | 33,560,726 | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Payable for Investments Purchased | | | 35,961,947 | | | | — | | | | 2,443,329 | |
Payable for Fund Shares Redeemed | | | 47 | | | | — | | | | 157,298 | |
Distribution Payable | | | 848,431 | | | | 3 | | | | 4,015 | |
Investment Advisory Fees Payable | | | 158,438 | | | | — | | | | — | |
Transfer Agent Expenses Payable | | | 39,093 | | | | 17,834 | | | | 16,684 | |
Distribution Fees Payable | | | 241 | | | | 325 | | | | 712 | |
Administration, Fund Accounting and Custodian Fees Payable | | | 15,175 | | | | 4,540 | | | | 1,395 | |
Accrued Expenses | | | 5,946 | | | | 11,061 | | | | 30,312 | |
Registration Fees Payable | | | 4,987 | | | | 599 | | | | 1,560 | |
Professional Fees Payable | | | 43,503 | | | | 40,079 | | | | 19,302 | |
Variation Margin Payable | | | — | | | | — | | | | — | |
Unrealized Depreciation on Swaps | | | — | | | | — | | | | — | |
Unrealized Depreciation on Forward Currency Exchange Contracts | | | — | | | | — | | | | 3,113 | |
Total Liabilities | | | 37,077,808 | | | | 74,441 | | | | 2,677,720 | |
Net Assets | | $ | 392,683,174 | | | $ | 8,418,288 | | | $ | 30,883,006 | |
| | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in Capital | | $ | 392,138,920 | | | $ | 8,409,157 | | | $ | 30,127,081 | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | | 103,324 | | | | 525 | | | | (948 | ) |
Accumulated Net Realized Gain (Loss) on Investments | | | (4,971 | ) | | | 1,637 | | | | 582,016 | |
Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 445,901 | | | | 7,216 | | | | 30,330 | |
Investments in Affiliated Securities | | | — | | | | — | | | | — | |
Short Term Investments | | | — | | | | (247 | ) | | | — | |
Foreign Currency | | | — | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | (3,113 | ) |
Futures | | | — | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | 147,640 | |
Translation of Other Assets and Liabilities Denominated in Foreign Currency | | | — | | | | — | | | | — | |
Net Assets | | $ | 392,683,174 | | | $ | 8,418,288 | | | $ | 30,883,006 | |
| | | |
*Identified Cost: | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | $ | 386,497,039 | | | $ | 4,064,900 | | | $ | 23,907,497 | |
Investments in Affiliated Securities | | | — | | | | — | | | | — | |
Short Term Investments | | | 25,546,260 | | | | 4,374,066 | | | | 8,847,621 | |
Foreign Currency | | | | | | | | | | | | |
| | | |
Class I (unlimited shares authorized): | | | | | | | | | | | | |
Net Assets | | $ | 392,116,512 | | | $ | 8,293,788 | | | $ | 19,384,116 | |
Shares Outstanding | | | 38,961,080 | | | | 828,501 | | | | 1,784,590 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.07 | | | $ | 10.01 | | | $ | 10.86 | |
| | | |
Class N (unlimited shares authorized): | | | | | | | | | | | | |
Net Assets | | $ | 566,662 | | | $ | 124,500 | | | $ | 11,498,890 | |
Shares Outstanding | | | 56,348 | | | | 12,426 | | | | 1,058,492 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 10.06 | | | $ | 10.02 | | | $ | 10.86 | |
| | | |
Class A (unlimited shares authorized): | | | | | | | | | | | | |
Net Assets | | $ | — | | | $ | — | | | $ | — | |
Shares Outstanding | | | — | | | | — | | | | — | |
Net Asset Value, Offering Price per Share | | $ | — | | | $ | — | | | $ | — | |
Net Asset Value, Redemption Price per Share | | $ | — | | | $ | — | | | $ | — | |
| | | | | | |
| 106 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Statements of Operations | | For the Period Ended March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Total Return Bond Fund | | | DoubleLine Core Fixed Income Fund | | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Low Duration
Bond Fund | | | DoubleLine
Floating Rate Fund | |
| | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 1,717,025,971 | | | $ | 226,511,972 | | | $ | 45,818,194 | | | $ | 1,970,994 | | | $ | 86,021,107 | | | $ | 13,711,192 | |
Dividends from Affiliated Securities | | | — | | | | 5,510,595 | | | | — | | | | 1,430,749 | | | | 1,569,256 | | | | — | |
Dividends from Unaffiliated Securities | | | — | | | | — | | | | — | | | | 1,189,031 | | | | — | | | | — | |
Foreign Taxes Withheld | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Investment Income | | | 1,717,025,971 | | | | 232,022,567 | | | | 45,818,194 | | | | 4,590,774 | | | | 87,590,363 | | | | 13,711,192 | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 235,579,986 | | | | 29,326,283 | | | | 6,599,979 | | | | 1,562,439 | | | | 11,494,505 | | | | 1,600,131 | |
Distribution Fees - Class N | | | 28,888,771 | | | | 2,611,572 | | | | 515,234 | | | | — | | | | 3,235,616 | | | | 207,263 | |
Distribution Fees - Class A | | | — | | | | — | | | | — | | | | 281,404 | | | | — | | | | — | |
Transfer Agent Expenses | | | 23,804,954 | | | | 2,744,380 | | | | 831,166 | | | | 97,410 | | | | 1,372,886 | | | | 236,278 | |
Administration, Fund Accounting and Custodian Fees | | | 8,245,983 | | | | 1,287,708 | | | | 168,865 | | | | 57,534 | | | | 610,898 | | | | 116,565 | |
Shareholder Reporting Expenses | | | 2,001,959 | | | | 202,984 | | | | 64,726 | | | | 5,559 | | | | 105,072 | | | | 18,068 | |
Registration Fees | | | 1,909,869 | | | | 284,419 | | | | 195,684 | | | | 57,404 | | | | 197,680 | | | | 65,565 | |
Professional Fees | | | 1,200,729 | | | | 281,519 | | | | 164,579 | | | | 93,884 | | | | 108,898 | | | | 78,413 | |
Insurance Expenses | | | 690,861 | | | | 73,135 | | | | 16,045 | | | | 3,471 | | | | 45,351 | | | | 6,928 | |
Trustees Fees | | | 682,646 | | | | 76,486 | | | | 9,548 | | | | 1,586 | | | | 37,994 | | | | 3,255 | |
Miscellaneous Expenses | | | 499,622 | | | | 61,710 | | | | 52,947 | | | | 8,829 | | | | 34,974 | | | | 53,083 | |
Total Expenses | | | 303,505,380 | | | | 36,950,196 | | | | 8,618,773 | | | | 2,169,520 | | | | 17,243,874 | | | | 2,385,549 | |
Less: Investment Advisory Fees (Waived) | | | — | | | | (1,994,411 | ) | | | — | | | | (169,619 | ) | | | (270,570 | ) | | | — | |
Less: Other Fees (Reimbursed)/Recouped | | | — | | | | — | | | | — | | | | (21,559 | ) | | | — | | | | — | |
Net Expenses | | | 303,505,380 | | | | 34,955,785 | | | | 8,618,773 | | | | 1,978,342 | | | | 16,973,304 | | | | 2,385,549 | |
| | | | | | |
Net Investment Income (Loss) | | | 1,413,520,591 | | | | 197,066,782 | | | | 37,199,421 | | | | 2,612,432 | | | | 70,617,059 | | | | 11,325,643 | |
| | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 47,277,263 | | | | 14,684,386 | | | | 7,893,429 | | | | 806,178 | | | | 2,566,710 | | | | 1,008,729 | |
Investments in Affiliated Securities | | | — | | | | — | | | | — | | | | — | | | | 164,260 | | | | — | |
Foreign Currency | | | — | | | | — | | | | — | | | | 12,931 | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | (690,171 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | 7,288,223 | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | 2,111,998 | | | | — | | | | — | |
Written Options | | | — | | | | — | | | | — | | | | 279,800 | | | | — | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | (691,884,200 | ) | | | (23,744,239 | ) | | | 59,538,767 | | | | 2,512,348 | | | | 16,664,493 | | | | 2,633,916 | |
Investments in Affiliated Securities | | | — | | | | (9,385,097 | ) | | | — | | | | (604,784 | ) | | | 1,300,000 | | | | — | |
Short Term Investments | | | (2,523,229 | ) | | | — | | | | — | | | | (100 | ) | | | — | | | | — | |
Foreign Currency | | | — | | | | — | | | | — | | | | 16,637 | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | — | | | | (41,246 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | (325,406 | ) | | | — | | | | — | |
Swaps | | | — | | | | — | | | | — | | | | 7,155,847 | | | | — | | | | — | |
Written Options | | | — | | | | — | | | | — | | | | (100,800 | ) | | | — | | | | — | |
Translation of Other Assets and Liabilities Denominated in Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (647,130,166 | ) | | | (18,444,950 | ) | | | 67,432,196 | | | | 18,421,455 | | | | 20,695,463 | | | | 3,642,645 | |
| | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 766,390,425 | | | $ | 178,621,832 | | | $ | 104,631,617 | | | $ | 21,033,887 | | | $ | 91,312,522 | | | $ | 14,968,288 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 107 |
| | |
| Statements of Operations (Cont.) | | For the Period Ended March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | | | DoubleLine
Global
Bond Fund | |
| | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 40,964,227 | | | $ | 14,616,678 | | | $ | 10,519,142 | | | $ | 2,714,158 | | | $ | 91,085 | | | $ | 3,698,741 | |
Dividends from Affiliated Securities | | | — | | | | 941,282 | | | | — | | | | — | | | | — | | | | — | |
Dividends from Unaffiliated Securities | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Foreign Taxes Withheld | | | — | | | | — | | | | — | | | | — | | | | — | | | | (74,841 | ) |
Total Investment Income | | | 40,964,227 | | | | 15,557,960 | | | | 10,519,142 | | | | 2,714,158 | | | | 91,085 | | | | 3,623,900 | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 7,077,396 | | | | 2,346,875 | | | | 1,453,830 | | | | 361,113 | | | | 233,677 | | | | 1,553,042 | |
Distribution Fees - Class N | | | 873,406 | | | | 251,771 | | | | 463,909 | | | | 42,836 | | | | 9,815 | | | | 100,551 | |
Distribution Fees - Class A | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfer Agent Expenses | | | 913,834 | | | | 310,149 | | | | 459,120 | | | | 85,044 | | | | 65,087 | | | | 188,944 | |
Administration, Fund Accounting and Custodian Fees | | | 412,275 | | | | 182,946 | | | | 71,437 | | | | 14,881 | | | | 3,170 | | | | 86,336 | |
Shareholder Reporting Expenses | | | 57,591 | | | | 17,542 | | | | 33,219 | | | | 2,000 | | | | 28,410 | | | | 29,200 | |
Registration Fees | | | 104,059 | | | | 96,338 | | | | 56,404 | | | | 40,249 | | | | 86,600 | | | | 89,046 | |
Professional Fees | | | 107,208 | | | | 69,872 | | | | 59,565 | | | | 39,184 | | | | 37,510 | | | | 98,328 | |
Insurance Expenses | | | 11,552 | | | | 3,022 | | | | 4,208 | | | | 2,482 | | | | 1,004 | | | | 2,190 | |
Trustees Fees | | | 22,616 | | | | 2,629 | | | | 2,109 | | | | 890 | | | | 20 | | | | 3,211 | |
Miscellaneous Expenses | | | 19,552 | | | | 9,445 | | | | 18,794 | | | | 3,996 | | | | 12,158 | | | | 9,925 | |
Total Expenses | | | 9,599,489 | | | | 3,290,589 | | | | 2,622,595 | | | | 592,675 | | | | 477,451 | | | | 2,160,773 | |
Less: Investment Advisory Fees (Waived) | | | — | | | | (176,197 | ) | | | — | | | | — | | | | — | | | | — | |
Less: Other Fees (Reimbursed)/Recouped | | | 691,888 | | | | (1,210 | ) | | | (443,142 | ) | | | (80,395 | ) | | | (183,840 | ) | | | (13,273 | ) |
Net Expenses | | | 10,291,377 | | | | 3,113,182 | | | | 2,179,453 | | | | 512,280 | | | | 293,611 | | | | 2,147,500 | |
| | | | | | |
Net Investment Income (Loss) | | | 30,672,850 | | | | 12,444,778 | | | | 8,339,689 | | | | 2,201,878 | | | | (202,526 | ) | | | 1,476,400 | |
| | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 1,141,508 | | | | 1,295,256 | | | | 910,129 | | | | (331,246 | ) | | | (4,383 | ) | | | (5,591,256 | ) |
Investments in Affiliated Securities | | | — | | | | (340,904 | ) | | | — | | | | — | | | | — | | | | — | |
Foreign Currency | | | — | | | | 54 | | | | — | | | | — | | | | — | | | | 270,070 | |
Forwards | | | — | | | | — | | | | — | | | | — | | | | — | | | | 73,942 | |
Futures | | | — | | | | — | | | | — | | | | (32,660 | ) | | | — | | | | — | |
Swaps | | | 156,255,578 | | | | — | | | | — | | | | — | | | | 3,859,951 | | | | — | |
Written Options | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 4,434,056 | | | | 8,168,110 | | | | 4,439,898 | | | | (3,969,120 | ) | | | — | | | | (6,215,134 | ) |
Investments in Affiliated Securities | | | — | | | | 752,355 | | | | — | | | | — | | | | — | | | | — | |
Short Term Investments | | | 4,216 | | | | — | | | | — | | | | — | | | | (794 | ) | | | — | |
Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | — | | | | (6,466 | ) |
Forwards | | | — | | | | — | | | | — | | | | — | | | | — | | | | (273,392 | ) |
Futures | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Swaps | | | 165,838,050 | | | | — | | | | — | | | | — | | | | (2,194,156 | ) | | | — | |
Written Options | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Translation of Other Assets and Liabilities Denominated in Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | — | | | | (15,891 | ) |
Net Realized and Unrealized Gain (Loss) on Investments | | | 327,673,408 | | | | 9,874,871 | | | | 5,350,027 | | | | (4,333,026 | ) | | | 1,660,618 | | | | (11,758,127 | ) |
| | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 358,346,258 | | | $ | 22,319,649 | | | $ | 13,689,716 | | | $ | (2,131,148 | ) | | $ | 1,458,092 | | | $ | (10,281,727 | ) |
| | | | | | |
| 108 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| | | For the Period Ended March 31, 2017 |
| | | | | | | | | | | | |
| | | DoubleLine
Infrastructure Income Fund1 | | | DoubleLine Ultra Short Bond Fund2 | | | DoubleLine
Shiller Enhanced
International CAPE®3 | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Income: | | | | | | | | | | | | |
Interest | | $ | 4,116,027 | | | $ | 37,564 | | | $ | 38,417 | |
Dividends from Affiliated Securities | | | — | | | | — | | | | — | |
Dividends from Unaffiliated Securities | | | 174,974 | | | | — | | | | — | |
Foreign Taxes Withheld | | | — | | | | — | | | | — | |
Total Investment Income | | | 4,291,001 | | | | 37,564 | | | | 38,417 | |
Expenses: | | | | | | | | | | | | |
Investment Advisory Fees | | | 628,193 | | | | 9,751 | | | | 13,901 | |
Distribution Fees - Class N | | | 670 | | | | 219 | | | | 761 | |
Distribution Fees - Class A | | | — | | | | — | | | | — | |
Transfer Agent Expenses | | | 79,967 | | | | 48,128 | | | | 18,179 | |
Administration, Fund Accounting and Custodian Fees | | | 41,841 | | | | 8,890 | | | | 4,520 | |
Shareholder Reporting Expenses | | | 34,417 | | | | 27,000 | | | | 31,200 | |
Registration Fees | | | 47,870 | | | | 43,598 | | | | 41,693 | |
Professional Fees | | | 130,129 | | | | 91,303 | | | | 77,933 | |
Insurance Expenses | | | — | | | | — | | | | — | |
Trustees Fees | | | 1,563 | | | | 1,129 | | | | 379 | |
Miscellaneous Expenses | | | 7,979 | | | | 8,000 | | | | 2,148 | |
Total Expenses | | | 972,629 | | | | 238,018 | | | | 190,714 | |
Less: Investment Advisory Fees (Waived) | | | — | | | | — | | | | — | |
Less: Other Fees (Reimbursed)/Recouped | | | (172,344 | ) | | | (220,735 | ) | | | (171,882 | ) |
Net Expenses | | | 800,285 | | | | 17,283 | | | | 18,832 | |
| | | |
Net Investment Income (Loss) | | | 3,490,716 | | | | 20,281 | | | | 19,585 | |
| | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 98,565 | | | | 1,637 | | | | (3,867 | ) |
Investments in Affiliated Securities | | | — | | | | — | | | | — | |
Foreign Currency | | | — | | | | — | | | | (60,699 | ) |
Forwards | | | — | | | | — | | | | 25,824 | |
Futures | | | — | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | 620,993 | |
Written Options | | | — | | | | — | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Investments in Unaffiliated Securities | | | 445,901 | | | | 7,216 | | | | 30,330 | |
Investments in Affiliated Securities | | | — | | | | — | | | | — | |
Short Term Investments | | | — | | | | (247 | ) | | | — | |
Foreign Currency | | | — | | | | — | | | | — | |
Forwards | | | — | | | | — | | | | (3,113 | ) |
Futures | | | — | | | | — | | | | — | |
Swaps | | | — | | | | — | | | | 147,640 | |
Written Options | | | — | | | | — | | | | — | |
Translation of Other Assets and Liabilities Denominated in Foreign Currency | | | — | | | | — | | | | — | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 544,466 | | | | 8,606 | | | | 757,108 | |
| | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 4,035,182 | | | $ | 28,887 | | | $ | 776,693 | |
| 1 | Commencement of operations on April 1, 2016. |
| 2 | Commencement of operations on June 30, 2016. |
| 3 | Commencement of operations on December 23, 2016. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 109 |
| | |
| Statements of Changes in Net Assets | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Total Return Bond Fund | | | DoubleLine Core Fixed Income Fund | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 1,413,520,591 | | | $ | 1,613,496,446 | | | $ | 197,066,782 | | | $ | 150,307,900 | |
Net Realized Gain (Loss) on Investments | | | 47,277,263 | | | | (9,092,364 | ) | | | 14,684,386 | | | | (16,033,579 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (694,407,429 | ) | | | (387,300,695 | ) | | | (33,129,336 | ) | | | (50,950,201 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 766,390,425 | | | | 1,217,103,387 | | | | 178,621,832 | | | | 83,324,120 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (1,736,543,665 | ) | | | (1,592,585,033 | ) | | | (181,347,576 | ) | | | (138,890,859 | ) |
Class N | | | (393,065,536 | ) | | | (378,136,485 | ) | | | (27,354,511 | ) | | | (24,114,624 | ) |
| | | | |
Total Distributions to Shareholders | | | (2,129,609,201 | ) | | | (1,970,721,518 | ) | | | (208,702,087 | ) | | | (163,005,483 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | (601,278,088 | ) | | | 10,394,862,523 | | | | 1,947,964,711 | | | | 1,775,047,253 | |
Class N | | | (1,514,557,094 | ) | | | 2,465,195,792 | | | | 124,379,558 | | | | 353,195,271 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (2,115,835,182 | ) | | | 12,860,058,315 | | | | 2,072,344,269 | | | | 2,128,242,524 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | (3,479,053,958 | ) | | $ | 12,106,440,184 | | | $ | 2,042,264,014 | | | $ | 2,048,561,161 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 57,833,048,022 | | | $ | 45,726,607,838 | | | $ | 6,067,255,212 | | | $ | 4,018,694,051 | |
End of Period | | $ | 54,353,994,064 | | | $ | 57,833,048,022 | | | $ | 8,109,519,226 | | | $ | 6,067,255,212 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | 17,150,907 | | | $ | 5,390,358 | | | $ | 1,606,145 | | | $ | 50,261 | |
| | | | | | |
| 110 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Emerging Markets
Fixed Income Fund | | | DoubleLine
Multi-Asset Growth Fund
(Consolidated) | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 37,199,421 | | | $ | 42,670,585 | | | $ | 2,612,432 | | | $ | 3,549,336 | |
Net Realized Gain (Loss) on Investments | | | 7,893,429 | | | | (144,365 | ) | | | 9,808,959 | | | | (4,955,139 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 59,538,767 | | | | (63,306,418 | ) | | | 8,612,496 | | | | (4,638,104 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 104,631,617 | | | | (20,780,198 | ) | | | 21,033,887 | | | | (6,043,907 | ) |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (28,818,155 | ) | | | (32,607,064 | ) | | | (1,307,129 | ) | | | (2,028,228 | ) |
Class N | | | (8,401,863 | ) | | | (10,765,477 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | (3,138,601 | ) | | | (4,345,777 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (484,512 | ) |
Class A | | | — | | | | — | | | | — | | | | (1,359,935 | ) |
| | | | |
Total Distributions to Shareholders | | | (37,220,018 | ) | | | (43,372,541 | ) | | | (4,445,730 | ) | | | (8,218,452 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 176,618,809 | | | | 58,855,393 | | | | 2,686,021 | | | | 3,592,084 | |
Class N | | | 13,507,133 | | | | (18,081,083 | ) | | | — | | | | — | |
Class A | | | — | | | | — | | | | (6,340,222 | ) | | | 39,447,910 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 190,125,942 | | | | 40,774,310 | | | | (3,654,201 | ) | | | 43,039,994 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 257,537,541 | | | $ | (23,378,429 | ) | | $ | 12,933,956 | | | $ | 28,777,635 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 749,510,888 | | | $ | 772,889,317 | | | $ | 155,880,995 | | | $ | 127,103,360 | |
End of Period | | $ | 1,007,048,429 | | | $ | 749,510,888 | | | $ | 168,814,951 | | | $ | 155,880,995 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (348,570 | ) | | $ | (426,856 | ) | | $ | (903,060 | ) | | $ | 123,468 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 111 |
| | |
| Statements of Changes in Net Assets (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Bond Fund | | | DoubleLine Floating Rate Fund | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 70,617,059 | | | $ | 57,374,597 | | | $ | 11,325,643 | | | $ | 12,054,620 | |
Net Realized Gain (Loss) on Investments | | | 2,730,970 | | | | (2,621,104 | ) | | | 1,008,729 | | | | (8,862,940 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 17,964,493 | | | | (29,463,795 | ) | | | 2,633,916 | | | | (3,455,753 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 91,312,522 | | | | 25,289,698 | | | | 14,968,288 | | | | (264,073 | ) |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (49,550,718 | ) | | | (37,160,611 | ) | | | (8,515,997 | ) | | | (9,859,110 | ) |
Class N | | | (28,675,848 | ) | | | (25,796,298 | ) | | | (2,793,714 | ) | | | (2,288,730 | ) |
| | | | |
Total Distributions to Shareholders | | | (78,226,566 | ) | | | (62,956,909 | ) | | | (11,309,711 | ) | | | (12,147,840 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 1,026,115,258 | | | | 577,796,275 | | | | 64,616,215 | | | | (71,003,853 | ) |
Class N | | | 372,499,199 | | | | 29,948,738 | | | | 57,836,015 | | | | 23,838,413 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 1,398,614,457 | | | | 607,745,013 | | | | 122,452,230 | | | | (47,165,440 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 1,411,700,413 | | | $ | 570,077,802 | | | $ | 126,110,807 | | | $ | (59,577,353 | ) |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 2,885,245,851 | | | $ | 2,315,168,049 | | | $ | 301,893,060 | | | $ | 361,470,413 | |
End of Period | | $ | 4,296,946,264 | | | $ | 2,885,245,851 | | | $ | 428,003,867 | | | $ | 301,893,060 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | 250,567 | | | $ | (479,167 | ) | | $ | 113,145 | | | $ | 58,346 | |
| | | | | | |
| 112 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | | | DoubleLine Flexible Income Fund | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 30,672,850 | | | $ | 15,019,154 | | | $ | 12,444,778 | | | $ | 6,940,921 | |
Net Realized Gain (Loss) on Investments | | | 157,397,086 | | | | 6,344,146 | | | | 954,406 | | | | (1,326,954 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 170,276,322 | | | | 24,786,684 | | | | 8,920,465 | | | | (8,081,670 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 358,346,258 | | | | 46,149,984 | | | | 22,319,649 | | | | (2,467,703 | ) |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (26,323,650 | ) | | | (13,392,963 | ) | | | (10,043,521 | ) | | | (5,784,363 | ) |
Class N | | | (6,691,277 | ) | | | (3,099,774 | ) | | | (3,341,565 | ) | | | (2,055,590 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | (26,627,563 | ) | | | (7,556,918 | ) | | | — | | | | — | |
Class N | | | (7,449,458 | ) | | | (1,947,414 | ) | | | — | | | | — | |
| | | | |
Total Distributions to Shareholders | | | (67,091,948 | ) | | | (25,997,069 | ) | | | (13,385,086 | ) | | | (7,839,953 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 1,534,079,370 | | | | 356,497,043 | | | | 425,937,884 | | | | 110,612,477 | |
Class N | | | 505,497,768 | | | | 103,229,298 | | | | 81,906,031 | | | | 38,237,268 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 2,039,577,138 | | | | 459,726,341 | | | | 507,843,915 | | | | 148,849,745 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 2,330,831,448 | | | $ | 479,879,256 | | | $ | 516,778,478 | | | $ | 138,542,089 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 860,293,042 | | | $ | 380,413,786 | | | $ | 223,469,767 | | | $ | 84,927,678 | |
End of Period | | $ | 3,191,124,490 | | | $ | 860,293,042 | | | $ | 740,248,245 | | | $ | 223,469,767 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | 273,584 | | | $ | (20,613 | ) | | $ | 164,531 | | | $ | 1,237 | |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 113 |
| | |
| Statements of Changes in Net Assets (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Low Duration Emerging Markets
Fixed Income Fund | | | DoubleLine
Long Duration Total Return
Bond Fund | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 8,339,689 | | | $ | 5,718,160 | | | $ | 2,201,878 | | | $ | 2,042,122 | |
Net Realized Gain (Loss) on Investments | | | 910,129 | | | | 167,007 | | | | (363,906 | ) | | | (929,778 | ) |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 4,439,898 | | | | (5,014,819 | ) | | | (3,969,120 | ) | | | 1,032,041 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 13,689,716 | | | | 870,348 | | | | (2,131,148 | ) | | | 2,144,385 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (3,196,392 | ) | | | (2,508,967 | ) | | | (1,739,864 | ) | | | (1,548,525 | ) |
Class N | | | (5,136,394 | ) | | | (3,421,817 | ) | | | (474,185 | ) | | | (503,394 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | (145,250 | ) | | | — | | | | — | | | | (76,976 | ) |
Class N | | | (251,863 | ) | | | — | | | | — | | | | (26,240 | ) |
| | | | |
Total Distributions to Shareholders | | | (8,729,899 | ) | | | (5,930,784 | ) | | | (2,214,049 | ) | | | (2,155,135 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | 64,287,333 | | | | 4,024,591 | | | | (3,195,885 | ) | | | 709,097 | |
Class N | | | 94,918,197 | | | | 42,324,640 | | | | (13,323,494 | ) | | | 6,094,941 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 159,205,530 | | | | 46,349,231 | | | | (16,519,379 | ) | | | 6,804,038 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | 164,165,347 | | | $ | 41,288,795 | | | $ | (20,864,576 | ) | | $ | 6,793,288 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 185,599,118 | | | $ | 144,310,323 | | | $ | 82,605,756 | | | $ | 75,812,468 | |
End of Period | | $ | 349,764,465 | | | $ | 185,599,118 | | | $ | 61,741,180 | | | $ | 82,605,756 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (57,445 | ) | | $ | (161,981 | ) | | $ | (5,110 | ) | | $ | 7,061 | |
| | | | | | |
| 114 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine
Strategic Commodity Fund (Consolidated) | | | DoubleLine
Global Bond Fund | |
| | | Year Ended
March 31, 2017 | | | Period Ended
March 31, 20161 | | | Year Ended
March 31, 2017 | | | Period Ended
March 31, 20162 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | (202,526 | ) | | $ | (163,838 | ) | | $ | 1,476,400 | | | $ | 189,083 | |
Net Realized Gain (Loss) on Investments | | | 3,855,568 | | | | (525,917 | ) | | | (5,247,244 | ) | | | 391,350 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | (2,194,950 | ) | | | 442,706 | | | | (6,510,883 | ) | | | 5,083,538 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,458,092 | | | | (247,049 | ) | | | (10,281,727 | ) | | | 5,663,971 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | | | | | |
Class I | | | (169,986 | ) | | | — | | | | (348,763 | ) | | | (169,086 | ) |
Class N | | | (12,617 | ) | | | — | | | | (48,215 | ) | | | (28,179 | ) |
From Net Realized Gain | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (8,845 | ) | | | — | | | | — | |
Class N | | | — | | | | (243 | ) | | | — | | | | — | |
From Return of Capital | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | (249,602 | ) | | | — | |
Class N | | | — | | | | — | | | | (34,507 | ) | | | — | |
| | | | |
Total Distributions to Shareholders | | | (182,603 | ) | | | (9,088 | ) | | | (681,087 | ) | | | (197,265 | ) |
| | | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Class I | | | (6,967,137 | ) | | | 28,243,359 | | | | 389,038,263 | | | | 90,111,915 | |
Class N | | | 5,056,471 | | | | 1,431,242 | | | | (15,257,228 | ) | | | 40,989,531 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | (1,910,666 | ) | | | 29,674,601 | | | | 373,781,035 | | | | 131,101,446 | |
| | | | |
Total Increase (Decrease) in Net Assets | | $ | (635,177 | ) | | $ | 29,418,464 | | | $ | 362,818,221 | | | $ | 136,568,152 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period | | $ | 29,418,464 | | | $ | — | | | $ | 136,568,152 | | | $ | — | |
End of Period | | $ | 28,783,287 | | | $ | 29,418,464 | | | $ | 499,386,373 | | | $ | 136,568,152 | |
| | | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | (150,622 | ) | | $ | 180,134 | | | $ | (2,816,373 | ) | | $ | 159,508 | |
| 1 | Commencement of operations on May 18, 2015. |
| 2 | Commencement of operations on December 17, 2015. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 115 |
| | |
| Statements of Changes in Net Assets (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | |
| | | DoubleLine Infrastructure
Income Fund | | | DoubleLine Ultra Short
Bond Fund | | | DoubleLine Shiller Enhanced
International CAPE® | |
| | | Period Ended
March 31, 20171 | | | Period Ended
March 31, 20172 | | | Period Ended
March 31, 20173 | |
| | | |
OPERATIONS | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 3,490,716 | | | $ | 20,281 | | | $ | 19,585 | |
Net Realized Gain (Loss) on Investments | | | 98,565 | | | | 1,637 | | | | 582,251 | |
Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 445,901 | | | | 6,969 | | | | 174,857 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 4,035,182 | | | | 28,887 | | | | 776,693 | |
| | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | |
From Net Investment Income | | | | | | | | | | | | |
Class I | | | (3,422,792 | ) | | | (19,756 | ) | | | (16,423 | ) |
Class N | | | (6,782 | ) | | | — | | | | (4,345 | ) |
From Net Realized Gain | | | | | | | | | | | | |
Class I | | | (61,163 | ) | | | — | | | | — | |
Class N | | | (191 | ) | | | — | | | | — | |
| | | |
Total Distributions to Shareholders | | | (3,490,928 | ) | | | (19,756 | ) | | | (20,768 | ) |
| | | |
NET SHARE TRANSACTIONS | | | | | | | | | | | | |
Class I | | | 391,569,220 | | | | 8,284,896 | | | | 18,692,469 | |
Class N | | | 569,700 | | | | 124,261 | | | | 11,434,612 | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | 392,138,920 | | | | 8,409,157 | | | | 30,127,081 | |
| | | |
Total Increase (Decrease) in Net Assets | | $ | 392,683,174 | | | $ | 8,418,288 | | | $ | 30,883,006 | |
| | | |
NET ASSETS | | | | | | | | | | | | |
Beginning of Period | | $ | — | | | $ | — | | | $ | — | |
End of Period | | $ | 392,683,174 | | | $ | 8,418,288 | | | $ | 30,883,006 | |
| | | |
Undistributed (Accumulated) Net Investment Income (Loss) (See Note 6) | | $ | 103,324 | | | $ | 525 | | | $ | (948 | ) |
| 1 | Commencement of operations on April 1, 2016. |
| 2 | Commencement of operations on June 30, 2016. |
| 3 | Commencement of operations on December 23, 2016. |
| | | | | | |
| 116 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | |
| Financial Highlights | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Total Return Bond Fund | |
| | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | |
| | | 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 | | $ | 10.87 | | | $ | 11.04 | | | $ | 10.90 | | | $ | 11.34 | | | $ | 11.17 | | | $ | 10.87 | | | $ | 11.04 | | | $ | 10.89 | | | $ | 11.33 | | | $ | 11.16 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)1 | | | 0.27 | | | | 0.35 | | | | 0.41 | | | | 0.42 | | | | 0.46 | | | | 0.24 | | | | 0.33 | | | | 0.40 | | | | 0.39 | | | | 0.44 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.11 | ) | | | (0.09 | ) | | | 0.22 | | | | (0.30 | ) | | | 0.34 | | | | (0.11 | ) | | | (0.09 | ) | | | 0.22 | | | | (0.30 | ) | | | 0.34 | |
Total from Investment Operations | | | 0.16 | | | | 0.26 | | | | 0.63 | | | | 0.12 | | | | 0.80 | | | | 0.13 | | | | 0.24 | | | | 0.62 | | | | 0.09 | | | | 0.78 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.40 | ) | | | (0.43 | ) | | | (0.49 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.37 | ) | | | (0.41 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.61 | ) |
Total Distributions | | | (0.40 | ) | | | (0.43 | ) | | | (0.49 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.37 | ) | | | (0.41 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.61 | ) |
Net Asset Value, End of Period | | $ | 10.63 | | | $ | 10.87 | | | $ | 11.04 | | | $ | 10.90 | | | $ | 11.34 | | | $ | 10.63 | | | $ | 10.87 | | | $ | 11.04 | | | $ | 10.89 | | | $ | 11.33 | |
Total Return | | | 1.46% | | | | 2.45% | | | | 5.93% | | | | 1.13% | | | | 7.37% | | | | 1.21% | | | | 2.20% | | | | 5.76% | | | | 0.88% | | | | 7.11% | |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 44,379,730 | | | $ | 46,082,294 | | | $ | 36,286,609 | | | $ | 24,631,306 | | | $ | 30,398,069 | | | $ | 9,974,264 | | | $ | 11,750,754 | | | $ | 9,439,999 | | | $ | 7,070,779 | | | $ | 9,441,917 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.47% | | | | 0.47% | | | | 0.47% | | | | 0.47% | | | | 0.48% | | | | 0.72% | | | | 0.72% | | | | 0.72% | | | | 0.72% | | | | 0.73% | |
Expenses After Investment Advisory Fees (Waived) | | | 0.47% | | | | 0.47% | | | | 0.47% | | | | 0.47% | | | | 0.48% | | | | 0.72% | | | | 0.72% | | | | 0.72% | | | | 0.72% | | | | 0.73% | |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.47% | | | | 0.47% | | | | 0.47% | | | | 0.48% | | | | 0.48% | | | | 0.72% | | | | 0.72% | | | | 0.72% | | | | 0.73% | | | | 0.73% | |
Net Investment Income (Loss) | | | 2.45% | | | | 3.29% | | | | 3.74% | | | | 3.78% | | | | 4.02% | | | | 2.20% | | | | 3.04% | | | | 3.50% | | | | 3.25% | | | | 3.76% | |
Portfolio Turnover Rate | | | 22% | | | | 15% | | | | 13% | | | | 14% | | | | 23% | | | | 22% | | | | 15% | | | | 13% | | | | 14% | | | | 23% | |
| 1 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 117 |
| | |
| Financial Highlights (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Core Fixed Income Fund | |
| | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | |
| | | 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 | | $ | 10.87 | | | $ | 11.10 | | | $ | 10.88 | | | $ | 11.29 | | | $ | 11.06 | | | $ | 10.86 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 11.28 | | | $ | 11.05 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)1 | | | 0.29 | | | | 0.36 | | | | 0.39 | | | | 0.41 | | | | 0.36 | | | | 0.27 | | | | 0.32 | | | | 0.37 | | | | 0.40 | | | | 0.33 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.01 | | | | (0.22 | ) | | | 0.26 | | | | (0.31 | ) | | | 0.36 | | | | 0.01 | | | | (0.22 | ) | | | 0.26 | | | | (0.31 | ) | | | 0.36 | |
Total from Investment Operations | | | 0.30 | | | | 0.14 | | | | 0.65 | | | | 0.10 | | | | 0.72 | | | | 0.28 | | | | 0.10 | | | | 0.63 | | | | 0.09 | | | | 0.69 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.31 | ) | | | (0.37 | ) | | | (0.43 | ) | | | (0.47 | ) | | | (0.44 | ) | | | (0.29 | ) | | | (0.34 | ) | | | (0.40 | ) | | | (0.46 | ) | | | (0.41 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | (0.04 | ) | | | (0.05 | ) | | | — | | | | — | | | | — | | | | (0.04 | ) | | | (0.05 | ) |
Total Distributions | | | (0.31 | ) | | | (0.37 | ) | | | (0.43 | ) | | | (0.51 | ) | | | (0.49 | ) | | | (0.29 | ) | | | (0.34 | ) | | | (0.40 | ) | | | (0.50 | ) | | | (0.46 | ) |
Net Asset Value, End of Period | | $ | 10.86 | | | $ | 10.87 | | | $ | 11.10 | | | $ | 10.88 | | | $ | 11.29 | | | $ | 10.85 | | | $ | 10.86 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 11.28 | |
Total Return | | | 2.80% | | | | 1.31% | | | | 6.07% | | | | 1.03% | | | | 6.53% | | | | 2.54% | | | | 0.97% | | | | 5.91% | | | | 0.77% | | | | 6.27% | |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 7,034,665 | | | $ | 5,114,336 | | | $ | 3,406,628 | | | $ | 1,351,760 | | | $ | 1,829,092 | | | $ | 1,074,854 | | | $ | 952,919 | | | $ | 612,066 | | | $ | 383,712 | | | $ | 731,957 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.47% | | | | 0.47% | | | | 0.48% | | | | 0.51% | | | | 0.51% | | | | 0.72% | | | | 0.72% | | | | 0.73% | | | | 0.76% | | | | 0.76% | |
Expenses After Investment Advisory Fees (Waived) | | | 0.44% | | | | 0.46% | | | | 0.46% | | | | 0.48% | | | | 0.51% | | | | 0.69% | | | | 0.71% | | | | 0.71% | | | | 0.73% | | | | 0.76% | |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.44% | | | | 0.46% | | | | 0.47% | | | | 0.48% | | | | 0.50% | | | | 0.69% | | | | 0.71% | | | | 0.72% | | | | 0.73% | | | | 0.75% | |
Net Investment Income (Loss) | | | 2.72% | | | | 3.17% | | | | 3.60% | | | | 3.76% | | | | 3.14% | | | | 2.47% | | | | 2.92% | | | | 3.39% | | | | 3.32% | | | | 2.91% | |
Portfolio Turnover Rate | | | 81% | | | | 70% | | | | 65% | | | | 53% | | | | 83% | | | | 81% | | | | 70% | | | | 65% | | | | 53% | | | | 83% | |
| 1 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 118 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Emerging Markets Fixed Income Fund | |
| | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | |
| | | 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 | | $ | 9.68 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | | | $ | 9.68 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.70 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)1 | | | 0.45 | | | | 0.49 | | | | 0.55 | | | | 0.46 | | | | 0.38 | | | | 0.42 | | | | 0.46 | | | | 0.52 | | | | 0.44 | | | | 0.36 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.81 | | | | (0.54 | ) | | | (0.24 | ) | | | (0.38 | ) | | | 0.46 | | | | 0.81 | | | | (0.54 | ) | | | (0.24 | ) | | | (0.38 | ) | | | 0.46 | |
Total from Investment Operations | | | 1.26 | | | | (0.05 | ) | | | 0.31 | | | | 0.08 | | | | 0.84 | | | | 1.23 | | | | (0.08 | ) | | | 0.28 | | | | 0.06 | | | | 0.82 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.44 | ) | | | (0.50 | ) | | | (0.56 | ) | | | (0.48 | ) | | | (0.38 | ) | | | (0.41 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.46 | ) | | | (0.36 | ) |
Distributions from Net Realized Gain | | | — | | | | — | | | | — | | | | (0.15 | ) | | | (0.13 | ) | | | — | | | | — | | | | — | | | | (0.15 | ) | | | (0.13 | ) |
Total Distributions | | | (0.44 | ) | | | (0.50 | ) | | | (0.56 | ) | | | (0.63 | ) | | | (0.51 | ) | | | (0.41 | ) | | | (0.47 | ) | | | (0.53 | ) | | | (0.61 | ) | | | (0.49 | ) |
Net Asset Value, End of Period | | $ | 10.50 | | | $ | 9.68 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | | | $ | 10.50 | | | $ | 9.68 | | | $ | 10.23 | | | $ | 10.48 | | | $ | 11.03 | |
Total Return | | | 13.19% | | | | (0.48 | )% | | | 2.90% | | | | 0.95% | | | | 8.04% | | | | 12.91% | | | | (0.73 | )% | | | 2.64% | | | | 0.69% | | | | 7.78% | |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 775,961 | | | $ | 548,221 | | | $ | 539,542 | | | $ | 331,790 | | | $ | 620,479 | | | $ | 231,087 | | | $ | 201,290 | | | $ | 233,347 | | | $ | 183,977 | | | $ | 167,750 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.92% | | | | 0.90% | | | | 0.90% | | | | 0.92% | | | | 0.91% | | | | 1.17% | | | | 1.15% | | | | 1.15% | | | | 1.17% | | | | 1.16% | |
Expenses After Investment Advisory Fees (Waived) | | | 0.92% | | | | 0.90% | | | | 0.90% | | | | 0.92% | | | | 0.91% | | | | 1.17% | | | | 1.15% | | | | 1.15% | | | | 1.17% | | | | 1.16% | |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.92% | | | | 0.90% | | | | 0.90% | | | | 0.92% | | | | 0.91% | | | | 1.17% | | | | 1.15% | | | | 1.15% | | | | 1.17% | | | | 1.16% | |
Net Investment Income (Loss) | | | 4.28% | | | | 4.92% | | | | 5.20% | | | | 4.40% | | | | 3.53% | | | | 4.03% | | | | 4.67% | | | | 4.95% | | | | 4.25% | | | | 3.30% | |
Portfolio Turnover Rate | | | 108% | | | | 75% | | | | 67% | | | | 79% | | | | 105% | | | | 108% | | | | 75% | | | | 67% | | | | 79% | | | | 105% | |
| 1 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 119 |
| | |
| Financial Highlights (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class I | | | Class A | | | Class A | | | Class A | | | Class A | | | Class A | |
| | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 8.85 | | | $ | 9.81 | | | $ | 10.10 | | | $ | 9.96 | | | $ | 10.03 | | | $ | 8.83 | | | $ | 9.78 | | | $ | 10.07 | | | $ | 9.95 | | | $ | 10.02 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)1 | | | 0.18 | | | | 0.24 | | | | 0.28 | | | | 0.18 | | | | 0.31 | | | | 0.15 | | | | 0.22 | | | | 0.26 | | | | 0.12 | | | | 0.29 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 1.09 | | | | (0.65 | ) | | | 0.32 | | | | 0.18 | | | | (0.06 | ) | | | 1.09 | | | | (0.65 | ) | | | 0.32 | | | | 0.19 | | | | (0.06 | ) |
Total from Investment Operations | | | 1.27 | | | | (0.41 | ) | | | 0.60 | | | | 0.36 | | | | 0.25 | | | | 1.24 | | | | (0.43 | ) | | | 0.58 | | | | 0.31 | | | | 0.23 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.28 | ) | | | (0.44 | ) | | | (0.40 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.26 | ) | | | (0.41 | ) | | | (0.38 | ) | | | (0.19 | ) | | | (0.30 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.11 | ) | | | (0.49 | ) | | | — | | | | — | | | | — | | | | (0.11 | ) | | | (0.49 | ) | | | — | | | | — | |
Total Distributions | | | (0.28 | ) | | | (0.55 | ) | | | (0.89 | ) | | | (0.22 | ) | | | (0.32 | ) | | | (0.26 | ) | | | (0.52 | ) | | | (0.87 | ) | | | (0.19 | ) | | | (0.30 | ) |
Net Asset Value, End of Period | | $ | 9.84 | | | $ | 8.85 | | | $ | 9.81 | | | $ | 10.10 | | | $ | 9.96 | | | $ | 9.81 | | | $ | 8.83 | | | $ | 9.78 | | | $ | 10.07 | | | $ | 9.95 | |
Total Return2 | | | 14.63% | | | | (4.29 | )% | | | 6.22% | | | | 3.65% | | | | 2.49% | | | | 14.27% | | | | (4.42 | )% | | | 5.96% | | | | 3.28% | | | | 2.19% | |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 49,380 | | | $ | 42,075 | | | $ | 42,796 | | | $ | 66,292 | | | $ | 105,114 | | | $ | 119,435 | | | $ | 113,806 | | | $ | 84,307 | | | $ | 96,734 | | | $ | 159,714 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 1.21% | | | | 1.25% | | | | 1.30% | | | | 1.33% | | | | 1.45% | | | | 1.46% | | | | 1.50% | | | | 1.55% | | | | 1.58% | | | | 1.70% | |
Expenses After Investment Advisory Fees (Waived) | | | 1.10% | | | | 1.12% | | | | 1.09% | | | | 1.26% | | | | 1.35% | | | | 1.35% | | | | 1.37% | | | | 1.34% | | | | 1.51% | | | | 1.60% | |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 1.09% | | | | 1.07% | | | | 0.99% | | | | 1.13% | | | | 1.10% | | | | 1.34% | | | | 1.32% | | | | 1.24% | | | | 1.38% | | | | 1.35% | |
Net Investment Income (Loss) | | | 1.87% | | | | 2.72% | | | | 2.87% | | | | 1.67% | | | | 3.11% | | | | 1.62% | | | | 2.47% | | | | 2.66% | | | | 1.01% | | | | 2.48% | |
Portfolio Turnover Rate | | | 59% | | | | 56% | | | | 86% | | | | 150% | | | | 88% | | | | 59% | | | | 56% | | | | 86% | | | | 150% | | | | 88% | |
| 1 | Calculated based on average shares outstanding during the period. |
| 2 | Total return does not include the effects of sales charges for Class A. |
| | | | | | |
| 120 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Bond Fund | |
| | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Year Ended
March 31,
2013 | |
| | | 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 | | $ | 9.99 | | | $ | 10.14 | | | $ | 10.19 | | | $ | 10.21 | | | $ | 10.16 | | | $ | 9.99 | | | $ | 10.13 | | | $ | 10.18 | | | $ | 10.20 | | | $ | 10.15 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)1 | | | 0.24 | | | | 0.22 | | | | 0.22 | | | | 0.15 | | | | 0.20 | | | | 0.20 | | | | 0.21 | | | | 0.19 | | | | 0.13 | | | | 0.17 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.06 | | | | (0.12 | ) | | | (0.04 | ) | | | — | | | | 0.09 | | | | 0.06 | | | | (0.12 | ) | | | (0.04 | ) | | | — | | | | 0.09 | |
Total from Investment Operations | | | 0.30 | | | | 0.10 | | | | 0.18 | | | | 0.15 | | | | 0.29 | | | | 0.26 | | | | 0.09 | | | | 0.15 | | | | 0.13 | | | | 0.26 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.25 | ) | | | (0.25 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.22 | ) | | | (0.23 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.21 | ) |
Total Distributions | | | (0.25 | ) | | | (0.25 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.22 | ) | | | (0.23 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.21 | ) |
Net Asset Value, End of Period | | $ | 10.04 | | | $ | 9.99 | | | $ | 10.14 | | | $ | 10.19 | | | $ | 10.21 | | | $ | 10.03 | | | $ | 9.99 | | | $ | 10.13 | | | $ | 10.18 | | | $ | 10.20 | |
Total Return | | | 2.99% | | | | 1.00% | | | | 1.76% | | | | 1.51% | | | | 2.88% | | | | 2.64% | | | | 0.85% | | | | 1.51% | | | | 1.26% | | | | 2.64% | |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 2,756,498 | | | $ | 1,722,942 | | | $ | 1,166,438 | | | $ | 851,771 | | | $ | 375,840 | | | $ | 1,540,448 | | | $ | 1,162,303 | | | $ | 1,148,730 | | | $ | 1,062,088 | | | $ | 237,727 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.43% | | | | 0.43% | | | | 0.45% | | | | 0.48% | | | | 0.53% | | | | 0.68% | | | | 0.68% | | | | 0.70% | | | | 0.73% | | | | 0.78% | |
Expenses After Investment Advisory Fees (Waived) | | | 0.42% | | | | 0.42% | | | | 0.44% | | | | 0.48% | | | | 0.53% | | | | 0.67% | | | | 0.67% | | | | 0.69% | | | | 0.73% | | | | 0.78% | |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.42% | | | | 0.43% | | | | 0.46% | | | | 0.47% | | | | 0.47% | | | | 0.67% | | | | 0.68% | | | | 0.71% | | | | 0.72% | | | | 0.72% | |
Net Investment Income (Loss) | | | 2.25% | | | | 2.30% | | | | 2.16% | | | | 1.46% | | | | 1.98% | | | | 2.00% | | | | 2.05% | | | | 1.90% | | | | 1.30% | | | | 1.70% | |
Portfolio Turnover Rate | | | 69% | | | | 66% | | | | 61% | | | | 53% | | | | 71% | | | | 69% | | | | 66% | | | | 61% | | | | 53% | | | | 71% | |
| 1 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 121 |
| | |
| Financial Highlights (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Floating Rate Fund | |
| | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 31,
20131 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 31,
20131 | |
| | | 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 | | $ | 9.77 | | | $ | 10.14 | | | $ | 10.15 | | | $ | 10.08 | | | $ | 10.00 | | | $ | 9.79 | | | $ | 10.16 | | | $ | 10.16 | | | $ | 10.08 | | | $ | 10.00 | |
| | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.35 | | | | 0.36 | | | | 0.34 | | | | 0.27 | | | | — | | | | 0.33 | | | | 0.34 | | | | 0.32 | | | | 0.25 | | | | — | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.13 | | | | (0.36 | ) | | | — | | | | 0.04 | | | | 0.08 | | | | 0.13 | | | | (0.36 | ) | | | — | | | | 0.05 | | | | 0.08 | |
Total from Investment Operations | | | 0.48 | | | | — | | | | 0.34 | | | | 0.31 | | | | 0.08 | | | | 0.46 | | | | (0.02 | ) | | | 0.32 | | | | 0.30 | | | | 0.08 | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.35 | ) | | | (0.37 | ) | | | (0.34 | ) | | | (0.24 | ) | | | — | | | | (0.33 | ) | | | (0.35 | ) | | | (0.31 | ) | | | (0.22 | ) | | | — | |
Distributions from Net Realized Gain | | | — | | | | — | | | | (0.01 | ) | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) | | | — | | | | — | |
Total Distributions | | | (0.35 | ) | | | (0.37 | ) | | | (0.35 | ) | | | (0.24 | ) | | | — | | | | (0.33 | ) | | | (0.35 | ) | | | (0.32 | ) | | | (0.22 | ) | | | — | |
Net Asset Value, End of Period | | $ | 9.90 | | | $ | 9.77 | | | $ | 10.14 | | | $ | 10.15 | | | $ | 10.08 | | | $ | 9.92 | | | $ | 9.79 | | | $ | 10.16 | | | $ | 10.16 | | | $ | 10.08 | |
Total Return | | | 4.99% | | | | 0.02% | | | | 3.36% | | | | 3.07% | | | | 0.80% | 2 | | | 4.73% | | | | (0.23 | )% | | | 3.19% | | | | 2.93% | | | | 0.80% | 2 |
| | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 297,060 | | | $ | 229,612 | | | $ | 310,368 | | | $ | 276,737 | | | $ | 63,436 | | | $ | 130,944 | | | $ | 72,281 | | | $ | 51,103 | | | $ | 104,320 | | | $ | 10 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.68% | | | | 0.65% | | | | 0.67% | | | | 0.73% | | | | 2.01% | 3 | | | 0.93% | | | | 0.90% | | | | 0.92% | | | | 0.98% | | | | 2.26% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 0.68% | | | | 0.65% | | | | 0.67% | | | | 0.73% | | | | 2.01% | 3 | | | 0.93% | | | | 0.90% | | | | 0.92% | | | | 0.98% | | | | 2.26% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.68% | | | | 0.65% | | | | 0.70% | | | | 0.73% | | | | 0.75% | 3 | | | 0.93% | | | | 0.90% | | | | 0.95% | | | | 0.98% | | | | 1.00% | 3 |
Net Investment Income (Loss) | | | 3.60% | | | | 3.70% | | | | 3.35% | | | | 2.68% | | | | (0.13 | )%3 | | | 3.35% | | | | 3.45% | | | | 3.06% | | | | 2.68% | | | | (0.13 | )%3 |
Portfolio Turnover Rate | | | 106% | | | | 70% | | | | 84% | | | | 66% | | | | 20% | 2 | | | 106% | | | | 70% | | | | 84% | | | | 66% | | | | 20% | 2 |
| 1 | Commencement of operations on February 1, 2013. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 122 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Shiller Enhanced CAPE® | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Year Ended
March 31, 2015 | | | Period Ended
March 31, 20141 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Year Ended
March 31, 2015 | | | Period Ended
March 31, 20141 | |
| | | Class I | | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | | | Class N | |
| | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 12.32 | | | $ | 12.13 | | | $ | 10.68 | | | $ | 10.00 | | | $ | 12.31 | | | $ | 12.12 | | | $ | 10.68 | | | $ | 10.00 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.27 | | | | 0.32 | | | | 0.34 | | | | 0.11 | | | | 0.24 | | | | 0.29 | | | | 0.30 | | | | 0.10 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 2.72 | | | | 0.40 | | | | 1.45 | | | | 0.67 | | | | 2.72 | | | | 0.40 | | | | 1.45 | | | | 0.67 | |
Total from Investment Operations | | | 2.99 | | | | 0.72 | | | | 1.79 | | | | 0.78 | | | | 2.96 | | | | 0.69 | | | | 1.75 | | | | 0.77 | |
| | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.28 | ) | | | (0.34 | ) | | | (0.34 | ) | | | (0.10 | ) | | | (0.25 | ) | | | (0.31 | ) | | | (0.31 | ) | | | (0.09 | ) |
Distributions from Net Realized Gain | | | (0.27 | ) | | | (0.19 | ) | | | — | 5 | | | — | | | | (0.27 | ) | | | (0.19 | ) | | | — | 5 | | | — | |
Total Distributions | | | (0.55 | ) | | | (0.53 | ) | | | (0.34 | ) | | | (0.10 | ) | | | (0.52 | ) | | | (0.50 | ) | | | (0.31 | ) | | | (0.09 | ) |
Net Asset Value, End of Period | | $ | 14.76 | | | $ | 12.32 | | | $ | 12.13 | | | $ | 10.68 | | | $ | 14.75 | | | $ | 12.31 | | | $ | 12.12 | | | $ | 10.68 | |
Total Return | | | 24.75% | | | | 6.09% | | | | 16.96% | | | | 7.83% | 2 | | | 24.48% | | | | 5.84% | | | | 16.60% | | | | 7.73% | 2 |
| | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 2,432,725 | | | $ | 673,308 | | | $ | 301,580 | | | $ | 30,061 | | | $ | 758,400 | | | $ | 186,985 | | | $ | 78,834 | | | $ | 10,714 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.55% | | | | 0.63% | | | | 0.82% | | | | 4.98% | 3 | | | 0.80% | | | | 0.88% | | | | 1.07% | | | | 5.23% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 0.55% | | | | 0.63% | | | | 0.79% | | | | 4.72% | 3 | | | 0.80% | | | | 0.88% | | | | 1.04% | | | | 4.97% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.60% | | | | 0.63% | | | | 0.62% | | | | 0.39% | 3 | | | 0.85% | | | | 0.88% | | | | 0.87% | | | | 0.64% | 3 |
Net Investment Income (Loss) | | | 2.01% | | | | 2.66% | | | | 2.89% | | | | 2.64% | 3 | | | 1.76% | | | | 2.41% | | | | 2.63% | | | | 2.35% | 3 |
Portfolio Turnover Rate | | | 68% | | | | 67% | | | | 68% | | | | 120% | 2 | | | 68% | | | | 67% | | | | 68% | | | | 120% | 2 |
| 1 | Commencement of operations on October 31, 2013. |
| 4 | Calculated based on average shares outstanding during the period. |
| 5 | Less than $0.005 per share. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 123 |
| | |
| Financial Highlights (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Flexible Income Fund | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Period Ended
March 31, 20151 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | |
| | | | | | |
Net Asset Value, Beginning of Period | | $ | 9.55 | | | $ | 9.99 | | | $ | 10.00 | | | $ | 9.55 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.32 | | | | 0.36 | | | | 0.42 | | | | 0.30 | | | | 0.34 | | | | 0.40 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.29 | | | | (0.40 | ) | | | (0.04 | ) | | | 0.29 | | | | (0.40 | ) | | | (0.04 | ) |
Total from Investment Operations | | | 0.61 | | | | (0.04 | ) | | | 0.38 | | | | 0.59 | | | | (0.06 | ) | | | 0.36 | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.34 | ) | | | (0.40 | ) | | | (0.39 | ) | | | (0.32 | ) | | | (0.38 | ) | | | (0.37 | ) |
Total Distributions | | | (0.34 | ) | | | (0.40 | ) | | | (0.39 | ) | | | (0.32 | ) | | | (0.38 | ) | | | (0.37 | ) |
Net Asset Value, End of Period | | $ | 9.82 | | | $ | 9.55 | | | $ | 9.99 | | | $ | 9.82 | | | $ | 9.55 | | | $ | 9.99 | |
Total Return | | | 6.48% | | | | (0.43)% | | | | 3.85% | 2 | | | 6.23% | | | | (0.66)% | | | | 3.63% | 2 |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 593,153 | | | $ | 160,590 | | | $ | 57,511 | | | $ | 147,095 | | | $ | 62,880 | | | $ | 27,417 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.80% | | | | 0.87% | | | | 1.33% | 3 | | | 1.05% | | | | 1.12% | | | | 1.58% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 0.76% | | | | 0.82% | | | | 1.27% | 3 | | | 1.01% | | | | 1.07% | | | | 1.52% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.76% | | | | 0.77% | | | | 0.76% | 3 | | | 1.01% | | | | 1.02% | | | | 1.01% | 3 |
Net Investment Income (Loss) | | | 3.36% | | | | 3.75% | | | | 4.26% | 3 | | | 3.11% | | | | 3.50% | | | | 4.08% | 3 |
Portfolio Turnover Rate | | | 58% | | | | 42% | | | | 55% | 2 | | | 58% | | | | 42% | | | | 55% | 2 |
| 1 | Commencement of operations on April 7, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 124 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Period Ended
March 31, 20151 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | |
| | | | | | |
Net Asset Value, Beginning of Period | | $ | 9.59 | | | $ | 9.83 | | | $ | 10.00 | | | $ | 9.60 | | | $ | 9.84 | | | $ | 10.00 | |
| | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.29 | | | | 0.33 | | | | 0.37 | | | | 0.27 | | | | 0.31 | | | | 0.35 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | 0.27 | | | | (0.23 | ) | | | (0.17 | ) | | | 0.27 | | | | (0.23 | ) | | | (0.17 | ) |
Total from Investment Operations | | | 0.56 | | | | 0.10 | | | | 0.20 | | | | 0.54 | | | | 0.08 | | | | 0.18 | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.29 | ) | | | (0.34 | ) | | | (0.36 | ) | | | (0.27 | ) | | | (0.32 | ) | | | (0.33 | ) |
Distributions from Net Realized Gain | | | (0.01 | ) | | | — | | | | (0.01 | ) | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Total Distributions | | | (0.30 | ) | | | (0.34 | ) | | | (0.37 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.34 | ) |
Net Asset Value, End of Period | | $ | 9.85 | | | $ | 9.59 | | | $ | 9.83 | | | $ | 9.86 | | | $ | 9.60 | | | $ | 9.84 | |
Total Return | | | 5.95% | | | | 1.06% | | | | 1.92% | 2 | | | 5.69% | | | | 0.82% | | | | 1.80% | 2 |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 133,047 | | | $ | 66,797 | | | $ | 64,891 | | | $ | 216,718 | | | $ | 118,802 | | | $ | 79,419 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.74% | | | | 0.84% | | | | 0.91% | 3 | | | 0.99% | | | | 1.09% | | | | 1.16% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 0.74% | | | | 0.84% | | | | 0.91% | 3 | | | 0.99% | | | | 1.09% | | | | 1.16% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.59% | | | | 0.59% | | | | 0.59% | 3 | | | 0.84% | | | | 0.84% | | | | 0.84% | 3 |
Net Investment Income (Loss) | | | 3.03% | | | | 3.44% | | | | 3.80% | 3 | | | 2.78% | | | | 3.19% | | | | 3.58% | 3 |
Portfolio Turnover Rate | | | 61% | | | | 39% | | | | 21% | 2 | | | 61% | | | | 39% | | | | 21% | 2 |
| 1 | Commencement of operations on April 7, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 125 |
| | |
| Financial Highlights (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DoubleLine Long Duration Total Return Bond Fund | |
| | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Period Ended
March 31, 20151 | | | Year Ended
March 31, 2017 | | | Year Ended
March 31, 2016 | | | Period Ended
March 31, 20151 | |
| | | Class I | | | Class I | | | Class I | | | Class N | | | Class N | | | Class N | |
| | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.40 | | | $ | 10.43 | | | $ | 10.00 | | | $ | 10.39 | | | $ | 10.42 | | | $ | 10.00 | |
| | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.32 | | | | 0.29 | | | | 0.10 | | | | 0.29 | | | | 0.26 | | | | 0.09 | |
Net Gain (Loss) on Investments
(Realized and Unrealized) | | | (0.60 | ) | | | (0.02 | ) | | | 0.41 | | | | (0.60 | ) | | | (0.02 | ) | | | 0.41 | |
Total from Investment Operations | | | (0.28 | ) | | | 0.27 | | | | 0.51 | | | | (0.31 | ) | | | 0.24 | | | | 0.50 | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.33 | ) | | | (0.29 | ) | | | (0.08 | ) | | | (0.30 | ) | | | (0.26 | ) | | | (0.08 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | — | |
Total Distributions | | | (0.33 | ) | | | (0.30 | ) | | | (0.08 | ) | | | (0.30 | ) | | | (0.27 | ) | | | (0.08 | ) |
Net Asset Value, End of Period | | $ | 9.79 | | | $ | 10.40 | | | $ | 10.43 | | | $ | 9.78 | | | $ | 10.39 | | | $ | 10.42 | |
Total Return | | | (2.82)% | | | | 2.76% | | | | 5.15% | 2 | | | (3.08 | )% | | | 2.51% | | | | 4.99% | 2 |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 50,465 | | | $ | 56,843 | | | $ | 56,240 | | | $ | 11,276 | | | $ | 25,763 | | | $ | 19,572 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.76% | | | | 0.84% | | | | 1.33% | 3 | | | 1.01% | | | | 1.09% | | | | 1.58% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 0.76% | | | | 0.84% | | | | 1.33% | 3 | | | 1.01% | | | | 1.09% | | | | 1.58% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.65% | | | | 0.65% | | | | 0.65% | 3 | | | 0.90% | | | | 0.90% | | | | 0.90% | 3 |
Net Investment Income (Loss) | | | 3.13% | | | | 2.87% | | | | 3.02% | 3 | | | 2.79% | | | | 2.62% | | | | 3.00% | 3 |
Portfolio Turnover Rate | | | 94% | | | | 52% | | | | 72% | 2 | | | 94% | | | | 52% | | | | 72% | 2 |
| 1 | Commencement of operations on December 15, 2014. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 126 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Strategic Commodity Fund
(Consolidated) | |
| | | Year Ended
March 31, 2017 | | | Period Ended
March 31, 20161 | | | Year Ended
March 31, 2017 | | | Period Ended
March 31, 20161 | |
| | | Class I | | | Class I | | | Class N | | | Class N | |
| | | | |
Net Asset Value, Beginning of Period | | $ | 8.69 | | | $ | 10.00 | | | $ | 8.67 | | | $ | 10.00 | |
| | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | (0.06 | ) | | | (0.07 | ) | | | (0.09 | ) | | | (0.09 | ) |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.75 | | | | (1.24 | ) | | | 0.75 | | | | (1.24 | ) |
Total from Investment Operations | | | 0.69 | | | | (1.31 | ) | | | 0.66 | | | | (1.33 | ) |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.05 | ) | | | — | | | | (0.05 | ) | | | — | |
Distributions from Net Realized Gain | | | — | | | | — | 5 | | | — | | | | — | 5 |
Total Distributions | | | (0.05 | ) | | | — | 5 | | | (0.05 | ) | | | — | 5 |
Net Asset Value, End of Period | | $ | 9.33 | | | $ | 8.69 | | | $ | 9.28 | | | $ | 8.67 | |
Total Return | | | 7.93% | | | | (13.07)% | 2 | | | 7.55% | | | | (13.27)% | 2 |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 22,243 | | | $ | 27,997 | | | $ | 6,540 | | | $ | 1,421 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 1.77% | | | | 4.42% | 3 | | | 2.23% | | | | 4.67% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 1.77% | | | | 4.42% | 3 | | | 2.23% | | | | 4.67% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 1.10% | | | | 1.06% | 3 | | | 1.35% | | | | 1.31% | 3 |
Net Investment Income (Loss) | | | (0.75)% | | | | (1.05)% | 3 | | | (1.00)% | | | | (1.30)% | 3 |
Portfolio Turnover Rate | | | 0% | | | | 0% | 2 | | | 0% | | | | 0% | 2 |
| 1 | Commencement of operations on May 18, 2015. |
| 4 | Calculated based on average shares outstanding during the period. |
| 5 | Less than $0.005 per share. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 127 |
| | |
| Financial Highlights (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | DoubleLine Global Bond Fund | |
| | | Year Ended
March 31, 2017 | | | Period Ended
March 31, 20161 | | | Year Ended
March 31, 2017 | | | Period Ended
March 31, 20161 | |
| | | Class I | | | Class I | | | Class N | | | Class N | |
| | | | |
Net Asset Value, Beginning of Period | | $ | 10.49 | | | $ | 10.00 | | | $ | 10.49 | | | $ | 10.00 | |
| | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.05 | | | | 0.02 | | | | 0.02 | | | | 0.02 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | (0.47 | ) | | | 0.49 | | | | (0.47 | ) | | | 0.49 | |
Total from Investment Operations | | | (0.42 | ) | | | 0.51 | | | | (0.45 | ) | | | 0.51 | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.02 | ) | | | (0.02 | ) | | | (0.01 | ) | | | (0.02 | ) |
Distributions from Return of Capital | | | (0.01 | ) | | | — | | | | (0.01 | ) | | | — | |
Total Distributions | | | (0.03 | ) | | | (0.02 | ) | | | (0.02 | ) | | | (0.02 | ) |
Net Asset Value, End of Period | | $ | 10.04 | | | $ | 10.49 | | | $ | 10.02 | | | $ | 10.49 | |
Total Return | | | (4.00 | )% | | | 5.11% | 2 | | | (4.31 | )% | | | 5.07% | 2 |
| | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 475,328 | | | $ | 94,631 | | | $ | 24,058 | | | $ | 41,937 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.66% | | | | 1.29% | 3 | | | 0.91% | | | | 1.54% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 0.66% | | | | 1.29% | 3 | | | 0.91% | | | | 1.54% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.66% | | | | 0.70% | 3 | | | 0.91% | | | | 0.95% | 3 |
Net Investment Income (Loss) | | | 0.52% | | | | 0.83% | 3 | | | 0.20% | | | | 0.58% | 3 |
Portfolio Turnover Rate | | | 57% | | | | 13% | 2 | | | 57% | | | | 13% | 2 |
| 1 | Commencement of operations on December 17, 2015. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 128 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | |
| | | DoubleLine Infrastructure Income Fund | |
| | | Period Ended
March 31, 20171 | | | Period Ended
March 31, 20171 | |
| | | Class I | | | Class N | |
| | |
Net Asset Value, Beginning of Period | | $ | 10.00 | | | $ | 10.00 | |
| | |
Income (Loss) from Investment Operations: | | | | | | | | |
Net Investment Income (Loss)4 | | | 0.29 | | | | 0.26 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.01 | | | | 0.01 | |
Total from Investment Operations | | | 0.30 | | | | 0.27 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.23 | ) | | | (0.21 | ) |
Distributions from Net Realized Gain | | | — | 5 | | | — | 5 |
Total Distributions | | | (0.23 | ) | | | (0.21 | ) |
Net Asset Value, End of Period | | $ | 10.07 | | | $ | 10.06 | |
Total Return | | | 3.11% | 2 | | | 2.76% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 392,117 | | | $ | 567 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.77% | 3 | | | 1.50% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 0.77% | 3 | | | 1.50% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.64% | 3 | | | 0.89% | 3 |
Net Investment Income (Loss) | | | 2.78% | 3 | | | 2.53% | 3 |
Portfolio Turnover Rate | | | 43% | 2 | | | 43% | 2 |
| 1 | Commencement of operations on April 1, 2016. |
| 4 | Calculated based on average shares outstanding during the period. |
| 5 | Less than $0.005 per share. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 129 |
| | |
| Financial Highlights (Cont.) | | March 31, 2017 |
| | | | | | | | |
| | | DoubleLine Ultra Short Bond Fund | |
| | | Period Ended
March 31, 20171 | | | Period Ended
March 31, 20171 | |
| | | 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 | | | | 0.01 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.01 | | | | 0.01 | |
Total from Investment Operations | | | 0.04 | | | | 0.02 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.03 | ) | | | — | |
Total Distributions | | | (0.03 | ) | | | — | |
Net Asset Value, End of Period | | $ | 10.01 | | | $ | 10.02 | |
Total Return | | | 0.36% | 2 | | | 0.20% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 8,294 | | | $ | 125 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 4.87% | 3 | | | 5.42% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 4.87% | 3 | | | 5.42% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.35% | 3 | | | 0.60% | 3 |
Net Investment Income (Loss) | | | 0.42% | 3 | | | 0.11% | 3 |
Portfolio Turnover Rate | | | 79% | 2 | | | 79% | 2 |
| 1 | Commencement of operations on June 30, 2016. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| 130 | | DoubleLine Funds Trust | | | | The accompanying notes are an integral part of these financial statements. |
| | | | | | | | |
| | | DoubleLine Shiller Enhanced
International CAPE® | |
| | | Period Ended
March 31, 20171 | | | Period Ended
March 31, 20171 | |
| | | 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 | | | | 0.02 | |
Net Gain (Loss) on Investments (Realized and Unrealized) | | | 0.85 | | | | 0.85 | |
Total from Investment Operations | | | 0.88 | | | | 0.87 | |
| | |
Less Distributions: | | | | | | | | |
Distributions from Net Investment Income | | | (0.02 | ) | | | (0.01 | ) |
Total Distributions | | | (0.02 | ) | | | (0.01 | ) |
Net Asset Value, End of Period | | $ | 10.86 | | | $ | 10.86 | |
Total Return | | | 8.76% | 2 | | | 8.72% | 2 |
| | |
Supplemental Data: | | | | | | | | |
Net Assets, End of Period (000’s) | | $ | 19,384 | | | $ | 11,499 | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses Before Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 7.10% | 3 | | | 4.93% | 3 |
Expenses After Investment Advisory Fees (Waived) | | | 7.10% | 3 | | | 4.93% | 3 |
Expenses After Investment Advisory Fees (Waived) and Other Fees (Reimbursed)/Recouped | | | 0.64% | 3 | | | 0.89% | 3 |
Net Investment Income (Loss) | | | 0.72% | 3 | | | 0.58% | 3 |
Portfolio Turnover Rate | | | 38% | 2 | | | 38% | 2 |
| 1 | Commencement of operations on December 23, 2016. |
| 4 | Calculated based on average shares outstanding during the period. |
| | | | | | |
| The accompanying notes are an integral part of these financial statements. | | Annual Report | | March 31, 2017 | | 131 |
| | |
| Notes to Financial Statements | | March 31, 2017 |
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 16 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, DoubleLine Strategic Commodity Fund, DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Ultra Short Bond Fund and DoubleLine Shiller Enhanced International CAPE® (each, a “Fund” and, collectively, the “Funds”). For financial information related to the DoubleLine Selective Credit Fund, please refer to the DoubleLine Selective Credit Fund’s separate annual report.
Effective March 7, 2017, the name of DoubleLine Strategic Commodity Fund’s investment adviser changed from DoubleLine Commodity LP to DoubleLine Alternatives LP.
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 | | | | — | |
DoubleLine Global Bond Fund | | | | | | Seek long-term total return | | | | | | | 12/17/2015 | | | | 12/17/2015 | | | | — | |
DoubleLine Infrastructure Income Fund | | | | | | Seek long-term total return while striving to generate current income | | | | | | | 4/1/2016 | | | | 4/1/2016 | | | | — | |
DoubleLine Ultra Short Bond Fund | | | | | | Seek to provide a level of current income consistent with limited price volatility | | | | | | | 6/30/2016 | | | | 6/30/2016 | | | | — | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | Seek total return which exceeds the total return of its benchmark index over a full market cycle | | | | | | | 12/23/2016 | | | | 12/23/2016 | | | | — | |
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.
| | | | | | |
| 132 | | DoubleLine Funds Trust | | | | |
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Funds are authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3.
| | | | | | |
| Fixed-income class | | | | | Examples of 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 proprietary 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 March 31, 2017, 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 swap 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.
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| | Annual Report | | March 31, 2017 | | 133 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
The following is a summary of the fair valuations according to the inputs used to value the Funds’ investments as of March 31, 20171:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | | | | $ | 1,032,120,432 | | | $ | 236,040,231 | | | $ | 24,268,013 | | | $ | 33,687,309 | | | $ | 363,901,233 | | | $ | 60,035,944 | |
Affiliated Mutual Funds | | | | | | | — | | | | 805,771,067 | | | | — | | | | 43,334,035 | | | | 49,250,000 | | | | — | |
Exchange Traded Funds and Common Stock | | | | | | | — | | | | 3,299,921 | | | | 3,553,136 | | | | 39,789,078 | | | | 1,389,063 | | | | — | |
Real Estate Investment Trusts | | | | | | | — | | | | — | | | | — | | | | 8,112,315 | | | | — | | | | — | |
Total Level 1 | | | | | | | 1,032,120,432 | | | | 1,045,111,219 | | | | 27,821,149 | | | | 124,922,737 | | | | 414,540,296 | | | | 60,035,944 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
US Government / Agency Mortgage Backed Obligations | | | | | | | 28,225,673,666 | | | | 1,344,698,453 | | | | — | | | | 4,993,218 | | | | 50,361,279 | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | | | 12,037,420,175 | | | | 633,381,789 | | | | — | | | | 10,756,132 | | | | 604,237,450 | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | | | 3,743,171,709 | | | | 606,448,554 | | | | — | | | | — | | | | 604,564,034 | | | | — | |
Other Short Term Investments | | | | | | | 2,822,642,501 | | | | — | | | | — | | | | 5,996,495 | | | | — | | | | — | |
US Government and Agency Obligations | | | | | | | 2,580,659,647 | | | | 1,970,788,392 | | | | — | | | | — | | | | 435,264,275 | | | | — | |
Collateralized Loan Obligations | | | | | | | 2,221,347,627 | | | | 285,286,029 | | | | — | | | | 3,867,253 | | | | 652,908,715 | | | | 2,997,935 | |
Asset Backed Obligations | | | | | | | 1,461,893,199 | | | | 145,143,143 | | | | — | | | | 6,702,614 | | | | 355,126,823 | | | | — | |
US Corporate Bonds | | | | | | | — | | | | 1,030,200,004 | | | | — | | | | — | | | | 387,748,682 | | | | 15,057,486 | |
Foreign Corporate Bonds | | | | | | | — | | | | 651,541,241 | | | | 695,029,595 | | | | — | | | | 686,733,037 | | | | 2,027,500 | |
Bank Loans | | | | | | | — | | | | 213,326,517 | | | | — | | | | — | | | | 194,200,989 | | | | 392,697,640 | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | | | — | | | | 208,065,285 | | | | 288,729,520 | | | | — | | | | 102,305,472 | | | | — | |
Municipal Bonds | | | | | | | — | | | | 24,766,695 | | | | — | | | | 1,556,250 | | | | — | | | | — | |
Warrants | | | | | | | — | | | | 69,887 | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | | | | | 53,092,808,524 | | | | 7,113,715,989 | | | | 983,759,115 | | | | 33,871,962 | | | | 4,073,450,756 | | | | 412,780,561 | |
Level 3 | | | | | | | | | | | | | | | | | | | . | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | | | 182,939,325 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | | | | | 75,227,758 | | | | — | | | | — | | | | — | | | | 3,299,463 | | | | — | |
Collateralized Loan Obligations | | | | | | | 19,955,229 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Level 3 | | | | | | | 278,122,312 | | | | — | | | | — | | | | — | | | | 3,299,463 | | | | — | |
Total | | | | | | $ | 54,403,051,268 | | | $ | 8,158,827,208 | | | $ | 1,011,580,264 | | | $ | 158,794,699 | | | $ | 4,491,290,515 | | | $ | 472,816,505 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | (135,177 | ) | | $ | — | | | $ | — | |
Total Level 1 | | | | | | | — | | | | — | | | | — | | | | (135,177 | ) | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return Swaps | | | | | | | — | | | | — | | | | — | | | | 6,747,543 | | | | — | | | | — | |
Interest Rate Swaps | | | | | | | — | | | | — | | | | — | | | | 408,304 | | | | — | | | | — | |
Forward Currency Exchange Contracts | | | | | | | — | | | | — | | | | — | | | | 47,872 | | | | — | | | | — | |
Total Level 2 | | | | | | | — | | | | — | | | | — | | | | 7,203,719 | | | | — | | | | — | |
Level 3 | | | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | 7,068,542 | | | $ | — | | | $ | — | |
| | | | | | |
| 134 | | DoubleLine Funds Trust | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category | | | | | DoubleLine Shiller Enhanced CAPE® | | | DoubleLine Flexible Income Fund | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | DoubleLine Long Duration Total Return Bond Fund | | | DoubleLine Strategic Commodity Fund (Consolidated) | | | DoubleLine Global Bond Fund | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | $ | 266,896,340 | | | $ | 74,582,776 | | | $ | 20,374,644 | | | $ | 674,634 | | | $ | 3,580,482 | | | $ | 18,394,632 | |
Exchange Traded Funds and Common Stock | | | | | | | 147,570 | | | | 137,260 | | | | 659,791 | | | | — | | | | — | | | | — | |
Affiliated Mutual Funds | | | | | | | — | | | | 27,517,456 | | | | — | | | | — | | | | — | | | | — | |
Total Level 1 | | | | | | | 267,043,910 | | | | 102,237,492 | | | | 21,034,435 | | | | 674,634 | | | | 3,580,482 | | | | 18,394,632 | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
US Government and Agency Obligations | | | | | | | 536,202,555 | | | | 32,472,547 | | | | — | | | | 11,985,665 | | | | — | | | | 132,310,317 | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | | | 374,924,415 | | | | 70,879,037 | | | | — | | | | — | | | | — | | | | — | |
Collateralized Loan Obligations | | | | | | | 348,179,973 | | | | 116,022,248 | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | | | 345,239,682 | | | | 186,302,385 | | | | — | | | | — | | | | — | | | | — | |
Foreign Corporate Bonds | | | | | | | 262,473,809 | | | | 87,397,904 | | | | 260,366,474 | | | | — | | | | — | | | | — | |
US Corporate Bonds | | | | | | | 235,504,137 | | | | 42,324,344 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | | | | | 191,181,800 | | | | 30,602,582 | | | | — | | | | — | | | | — | | | | — | |
Bank Loans | | | | | | | 182,201,015 | | | | 68,361,379 | | | | — | | | | — | | | | — | | | | — | |
Other Short Term Investments | | | | | | | 169,954,760 | | | | — | | | | — | | | | — | | | | 27,084,975 | | | | — | |
US Government / Agency Mortgage Backed Obligations | | | | | | | 163,422,927 | | | | 4,767,824 | | | | — | | | | 49,031,387 | | | | — | | | | — | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | | | | | 48,223,120 | | | | 33,094,155 | | | | 56,660,598 | | | | — | | | | — | | | | 340,318,989 | |
Warrants | | | | | | | — | | | | 2,913 | | | | — | | | | — | | | | — | | | | — | |
Total Level 2 | | | | | | | 2,857,508,193 | | | | 672,227,318 | | | | 317,027,072 | | | | 61,017,052 | | | | 27,084,975 | | | | 472,629,306 | |
Level 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency Residential Collateralized Mortgage Obligations | | | | | | | 1,645,891 | | | | 1,658,515 | | | | — | | | | — | | | | — | | | | — | |
Non-Agency Commercial Mortgage Backed Obligations | | | | | | | — | | | | 1,058,420 | | | | — | | | | — | | | | — | | | | — | |
Asset Backed Obligations | | | | | | | — | | | | 659,893 | | | | — | | | | — | | | | — | | | | — | |
Total Level 3 | | | | | | | 1,645,891 | | | | 3,376,828 | | | | — | | | | — | | | | — | | | | — | |
Total | | | | | | $ | 3,126,197,994 | | | $ | 777,841,638 | | | $ | 338,061,507 | | | $ | 61,691,686 | | | $ | 30,665,457 | | | $ | 491,023,938 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Level 1 | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total Level 1 | | | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return Swaps | | | | | | | 211,404,052 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Excess Return Swaps | | | | | | | — | | | | — | | | | — | | | | — | | | | (1,750,224 | ) | | | — | |
Forward Currency Exchange Contracts | | | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (273,392 | ) |
Total Level 2 | | | | | | | 211,404,052 | | | | — | | | | — | | | | — | | | | (1,750,224 | ) | | | (273,392 | ) |
Level 3 | | | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total | | | | | | $ | 211,404,052 | | | $ | — | | | $ | — | | | $ | — | | | $ | (1,750,224 | ) | | $ | (273,392 | ) |
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| | Annual Report | | March 31, 2017 | | 135 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | |
| Category | | | | | DoubleLine Infrastructure Income Fund | | | DoubleLine Ultra Short Bond Fund | | | DoubleLine Shiller Enhanced International
CAPE® | |
Investments in Securities | | | | | | | | | | | | | | | | |
Level 1 | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | $ | 25,546,260 | | | $ | 226,548 | | | $ | 8,847,621 | |
Exchange Traded Funds and Common Stock | | | | | | | 23,724,052 | | | | — | | | | — | |
Total Level 1 | | | | | | | 49,270,312 | | | | 226,548 | | | | 8,847,621 | |
Level 2 | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | | | | | | 137,118,793 | | | | — | | | | 3,862,938 | |
US Corporate Bonds | | | | | | | 124,664,830 | | | | 2,056,702 | | | | 6,762,247 | |
Foreign Corporate Bonds | | | | | | | 101,435,265 | | | | 2,015,414 | | | | 1,254,027 | |
Commercial Paper | | | | | | | — | | | | 2,151,300 | | | | — | |
Other Short Term Investments | | | | | | | — | | | | 1,995,971 | | | | — | |
US Government and Agency Obligations | | | | | | | — | | | | — | | | | 12,058,615 | |
Total Level 2 | | | | | | | 363,218,888 | | | | 8,219,387 | | | | 23,937,827 | |
Level 3 | | | | | | | — | | | | — | | | | — | |
Total | | | | | | $ | 412,489,200 | | | $ | 8,445,935 | | | $ | 32,785,448 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Level 1 | | | | | | $ | — | | | $ | — | | | $ | — | |
Total Level 1 | | | | | | | — | | | | — | | | | — | |
Level 2 | | | | | | | | | | | | | | | | |
Total Return Swaps | | | | | | | — | | | | — | | | | 147,640 | |
Forward Currency Exchange Contracts | | | | | | | — | | | | — | | | | (3,113 | ) |
Total Level 2 | | | | | | | — | | | | — | | | | 144,527 | |
Level 3 | | | | | | | — | | | | — | | | | — | |
Total | | | | | | $ | — | | | $ | — | | | $ | — | |
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 March 31, 2017. |
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, 2016, 2015 and 2014 for the Funds, are those that are open for exam by taxing authorities. As of March 31, 2017, 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, 2017. The Funds identify their major tax jurisdictions as U.S. Federal, the State of Delaware 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. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income on the Statements of Operations.
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| 136 | | DoubleLine Funds Trust | | | | |
D. Foreign Currency Translation. The Funds’ books and records are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation. Investment securities transactions, income and expense items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds’ do not isolate changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments.
E. Dividends and Distributions to Shareholders. With the exception of the DoubleLine Multi-Asset Growth Fund, the DoubleLine Strategic Commodity Fund and the DoubleLine Global Bond 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 and, effective April 1, 2017, the DoubleLine Global Bond Fund will be declared and paid quarterly. Prior to April 1, 2017, the DoubleLine Global Bond Fund declared and paid dividends from net investment income monthly. Dividends from the net investment income 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 (accumulated) net investment income (loss), and/or undistributed (accumulated) realized gain (loss). Undistributed (accumulated) 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.
F. 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.
G. 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).
H. 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.
I. 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.
J. 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 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 each Fund and its respective Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
| | | | | | |
| | Annual Report | | March 31, 2017 | | 137 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
As of March 31, 2017, 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 | | | | | | $ | 168,814,951 | | | $ | 28,783,287 | |
Subsidiary % of Fund Net Assets | | | | | | | 6.56% | | | | 16.78% | |
Subsidiary Financial Statement Information | | | | | | | | | | | | |
Net Assets | | | | | | $ | 11,079,065 | | | $ | 4,828,636 | |
Total Income | | | | | | | 34,055 | | | | 20,355 | |
Net Realized Gain/(Loss) | | | | | | | (73,024 | ) | | | 3,854,962 | |
K. 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 in such a manner as the Funds’ Board may in its sole discretion consider fair and equitable to each Fund. Investment income, Fund 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 Alternatives LP, (formerly 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 the applicable 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 certain of 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 DoubleLine Infrastructure Income Fund, DoubleLine Ultra Short Bond Fund and DoubleLine Shiller Enhanced International CAPE®, each Fund’s expense limitation is expected to apply until at least March 24, 2018. DoubleLine Infrastructure Income Fund’s expense limitation is expected to apply until at least April 1, 2018. DoubleLine Ultra Short Bond Fund’s expense limitation is expected to apply until at least June 29, 2018. DoubleLine Shiller Enhanced International CAPE®’s expense limitation is expected to apply until at least December 21, 2018. Each may be terminated during the term only by a majority vote of the disinterested Trustees of the Board.
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 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 | |
DoubleLine Global Bond Fund | | | | | | | 0.50% | | | | 0.70% | | | | 0.95% | | | | N/A | |
DoubleLine Infrastructure Income Fund | | | | | | | 0.50% | | | | 0.65% | | | | 0.90% | | | | N/A | |
DoubleLine Ultra Short Bond Fund | | | | | | | 0.20% | | | | 0.35% | | | | 0.60% | | | | N/A | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 0.50% | | | | 0.65% | | | | 0.90% | | | | N/A | |
| | | | | | |
| 138 | | DoubleLine Funds Trust | | | | |
To the extent that an Adviser waives its investment advisory fee and/or reimburses a Fund for other ordinary operating expenses, it may seek reimbursement of a portion or all of such amounts at any time within three fiscal years after the fiscal year in which such amounts were waived or reimbursed. Each Fund must pay its current ordinary operating expenses before each Adviser is entitled to any recoupment. Any such recoupment would be 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 or the fees were waived.
Each Adviser, as applicable, 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, | |
| | | | | | 2018 | | | 2019 | | | 2020 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | $ | 133,348 | | | $ | 68,149 | | | $ | 21,559 | |
DoubleLine Flexible Income Fund | | | | | | | 212,093 | | | | 84,116 | | | | 37,456 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 302,278 | | | | 432,477 | | | | 443,142 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 130,444 | | | | 134,851 | | | | 80,395 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | — | | | | 526,045 | | | | 183,840 | |
DoubleLine Global Bond Fund | | | | | | | — | | | | 132,643 | | | | 13,273 | |
DoubleLine Infrastructure Income Fund | | | | | | | — | | | | — | | | | 172,344 | |
DoubleLine Ultra Short Bond Fund | | | | | | | — | | | | — | | | | 220,735 | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | — | | | | — | | | | 171,882 | |
For the period ended March 31, 2017, each Adviser recouped the amounts shown from the following Funds:
| | | | | | | | |
DoubleLine Shiller Enhanced CAPE® | | | | | | $ | 691,888 | |
DoubleLine Flexible Income Fund | | | | | | | 36,246 | |
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 year ended March 31, 2017.
| | | | | | | | |
DoubleLine Core Fixed Income Fund | | | | | | $ | 1,994,411 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | | 169,619 | |
DoubleLine Low Duration Bond Fund | | | | | | | 270,570 | |
DoubleLine Flexible Income Fund | | | | | | | 176,197 | |
As of March 31, 2017, greater than 5% of the following DoubleLine Funds was held by other DoubleLine Funds as follows:
| | | | | | | | | | |
| Affiliated Fund Held | | | | | % Owned | | | Significant Owner |
DoubleLine Global Bond Fund | | | | | | | 77% | | | DoubleLine Core Fixed Income Fund |
DoubleLine Infrastructure Income Fund | | | | | | | 95% | | | DoubleLine Core Fixed Income Fund |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 79% | | | DoubleLine Core Fixed Income Fund |
DoubleLine Global Bond Fund | | | | | | | 6% | | | DoubleLine Flexible Income Fund |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 14% | | | DoubleLine Low Duration Bond Fund |
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 Note for more information. Records available to the Funds reflect that greater than 25% of the following Funds were held by third-party accounts as of March 31, 2017:
| | | | | | | | |
| | | | | | % Owned | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | | 77% | |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 139 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
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 these 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 March 31, 2017 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 | | | | | | $ | 12,922,513,030 | | | $ | 11,856,479,043 | | | $ | — | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | | | 4,058,037,041 | | | | 2,163,700,598 | | | | 3,784,225,308 | | | | 3,355,976,169 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | | 1,120,637,193 | | | | 928,799,945 | | | | — | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | | 82,471,181 | | | | 58,073,435 | | | | — | | | | — | |
DoubleLine Low Duration Bond Fund | | | | | | | 2,599,463,521 | | | | 1,386,031,332 | | | | 849,494,637 | | | | 769,317,352 | |
DoubleLine Floating Rate Fund | | | | | | | 467,930,950 | | | | 323,711,917 | | | | — | | | | — | |
DoubleLine Shiller Enhanced CAPE ® | | | | | | | 1,929,792,624 | | | | 394,741,391 | | | | 778,444,813 | | | | 503,075,836 | |
DoubleLine Flexible Income Fund | | | | | | | 640,338,570 | | | | 171,520,677 | | | | 45,212,981 | | | | 27,895,576 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 306,510,245 | | | | 171,554,481 | | | | — | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 18,062,050 | | | | 15,106,281 | | | | 48,352,288 | | | | 61,683,305 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | — | | | | — | | | | — | | | | — | |
DoubleLine Global Bond Fund | | | | | | | 401,250,358 | | | | 137,593,683 | | | | 116,199,930 | | | | 24,804,088 | |
DoubleLine Infrastructure Income Fund | | | | | | | 440,158,236 | | | | 53,810,965 | | | | — | | | | — | |
DoubleLine Ultra Short Bond Fund | | | | | | | 5,363,981 | | | | 1,454,647 | | | | — | | | | — | |
DoubleLine Shiller Enhanced International CAPE ® | | | | | | | 11,974,239 | | | | 366,174 | | | | 8,864,759 | | | | 2,686,243 | |
| 1 | U.S. Government transactions are defined as those involving long-term U.S. Treasury bills, bonds and notes. |
| | | | | | |
| 140 | | DoubleLine Funds Trust | | | | |
6. Income Tax Information and Distributions to Shareholders
The tax character of distributions for the Funds were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Period Ended March 31, 2017 | | | | | | Period Ended March 31, 2016 | |
| | | | | | Ordinary Income | | | Long Term
Capital Gain | | | Return of Capital | | | Ordinary Income | | | Long Term
Capital Gain | |
DoubleLine Total Return Bond Fund | | | | | | $ | 2,129,609,201 | | | $ | — | | | $ | — | | | $ | 1,970,721,518 | | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | | | 208,702,087 | | | | — | | | | — | | | | 163,005,483 | | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | | 37,220,018 | | | | — | | | | — | | | | 43,372,541 | | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | | 4,445,730 | | | | — | | | | — | | | | 6,392,116 | | | | 1,826,336 | |
DoubleLine Low Duration Bond Fund | | | | | | | 78,226,566 | | | | — | | | | — | | | | 62,956,909 | | | | — | |
DoubleLine Floating Rate Fund | | | | | | | 11,309,711 | | | | — | | | | — | | | | 12,147,840 | | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | | | 34,848,113 | | | | 32,243,835 | | | | — | | | | 16,492,737 | | | | 9,504,332 | |
DoubleLine Flexible Income Fund | | | | | | | 13,385,086 | | | | — | | | | — | | | | 7,839,953 | | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 8,729,899 | | | | — | | | | — | | | | 5,930,784 | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 2,214,049 | | | | — | | | | — | | | | 2,155,135 | | | | — | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | 182,603 | | | | — | | | | — | | | | 9,088 | | | | — | |
DoubleLine Global Bond Fund | | | | | | | 396,978 | | | | — | | | | 284,109 | | | | 197,265 | | | | — | |
DoubleLine Infrastructure Income Fund | | | | | | | 3,490,928 | | | | — | | | | — | | | | N/A | | | | N/A | |
DoubleLine Ultra Short Bond Fund | | | | | | | 19,756 | | | | — | | | | — | | | | N/A | | | | N/A | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 20,768 | | | | — | | | | — | | | | N/A | | | | N/A | |
The Funds designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero.
The cost basis of investments for federal income tax purposes as of March 31, 2017, 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 | | | | | | $ | 55,255,328,567 | | | $ | 8,198,687,874 | | | $ | 1,039,906,753 | | | $ | 163,885,449 | | | $ | 4,503,370,739 | | | $ | 471,609,792 | |
Gross Tax Unrealized Appreciation | | | | | | | 1,382,110,137 | | | | 85,396,878 | | | | 16,619,026 | | | | 9,883,389 | | | | 19,653,027 | | | | 2,648,975 | |
Gross Tax Unrealized Depreciation | | | | | | | (2,234,387,436 | ) | | | (125,257,544 | ) | | | (44,945,515 | ) | | | (14,974,139 | ) | | | (31,733,251 | ) | | | (1,442,262 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | | | | (852,277,299 | ) | | | (39,860,666 | ) | | | (28,326,489 | ) | | | (5,090,750 | ) | | | (12,080,224 | ) | | | 1,206,713 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | 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) | | | DoubleLine Global Bond Fund | |
Tax Cost of Investments | | | | | | $ | 3,132,226,277 | | | $ | 777,746,162 | | | $ | 342,351,078 | | | $ | 62,423,491 | | | $ | 34,467,715 | | | $ | 492,424,716 | |
Gross Tax Unrealized Appreciation | | | | | | | 226,068,114 | | | | 5,875,323 | | | | 2,125,030 | | | | 610,099 | | | | 352,300 | | | | 8,866,412 | |
Gross Tax Unrealized Depreciation | | | | | | | (232,096,397 | ) | | | (5,779,847 | ) | | | (6,414,601 | ) | | | (1,341,904 | ) | | | (4,154,558 | ) | | | (10,267,190 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | | | | (6,028,283 | ) | | | 95,476 | | | | (4,289,571 | ) | | | (731,805 | ) | | | (3,802,258 | ) | | | (1,400,778 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Infrastructure Income Fund | | | DoubleLine Ultra Short Bond Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | |
Tax Cost of Investments | | | | | | $ | 412,055,370 | | | $ | 8,438,966 | | | $ | 32,757,670 | |
Gross Tax Unrealized Appreciation | | | | | | | 2,958,209 | | | | 7,601 | | | | 213,952 | |
Gross Tax Unrealized Depreciation | | | | | | | (2,524,379 | ) | | | (632 | ) | | | (186,174 | ) |
Net Tax Unrealized Appreciation (Depreciation) | | | | | | | 433,830 | | | | 6,969 | | | | 27,778 | |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 141 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
As of March 31, 2017, 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) | | | | | | $ | (852,277,299 | ) | | $ | (39,860,666 | ) | | $ | (28,326,489 | ) | | $ | (5,090,750 | ) | | $ | (12,080,224 | ) | | $ | 1,206,713 | |
Undistributed Ordinary Income | | | | | | | 44,303,185 | | | | 5,643,509 | | | | 872,343 | | | | 3,813,664 | | | | 2,482,218 | | | | 694,902 | |
Undistributed Long Term Capital Gains | | | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributable Earnings | | | | | | | 44,303,185 | | | | 5,643,509 | | | | 872,343 | | | | 3,813,664 | | | | 2,482,218 | | | | 694,902 | |
Other Accumulated Gains (Losses) | | | | | | | (1,865,693,326 | ) | | | (42,894,753 | ) | | | (12,875,520 | ) | | | 6,949,523 | | | | (21,969,484 | ) | | | (9,452,924 | ) |
Total Accumulated Earnings (Losses) | | | | | | | (2,673,667,440 | ) | | | (77,111,910 | ) | | | (40,329,666 | ) | | | 5,672,437 | | | | (31,567,490 | ) | | | (7,551,309 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | 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) | | | DoubleLine Global Bond Fund | |
Net Tax Unrealized Appreciation (Depreciation) | | | | | | $ | (6,028,283 | ) | | $ | 95,476 | | | $ | (4,289,571 | ) | | $ | (731,805 | ) | | $ | (3,802,258 | ) | | $ | (1,400,778 | ) |
Undistributed Ordinary Income | | | | | | | 20,314,438 | | | | 591,840 | | | | 627,097 | | | | 171,965 | | | | 3,650,661 | | | | — | |
Undistributed Long Term Capital Gains | | | | | | | 103,257,701 | | | | — | | | | 128,299 | | | | — | | | | — | | | | — | |
Total Distributable Earnings | | | | | | | 123,572,139 | | | | 591,840 | | | | 755,396 | | | | 171,965 | | | | 3,650,661 | | | | — | |
Other Accumulated Gains (Losses) | | | | | | | 210,460,949 | | | | (2,812,335 | ) | | | (121,226 | ) | | | (1,487,121 | ) | | | (1,750,313 | ) | | | (3,811,221 | ) |
Total Accumulated Earnings (Losses) | | | | | | | 328,004,805 | | | | (2,125,019 | ) | | | (3,655,401 | ) | | | (2,046,961 | ) | | | (1,901,910 | ) | | | (5,211,999 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | DoubleLine
Infrastructure
Income Fund | | | DoubleLine
Ultra Short
Bond Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | |
Net Tax Unrealized Appreciation (Depreciation) | | | | | | $ | 433,830 | | | $ | 6,969 | | | $ | 27,778 | |
Undistributed Ordinary Income | | | | | | | 959,057 | | | | 2,175 | | | | 584,568 | |
Undistributed Long Term Capital Gains | | | | | | | — | | | | — | | | | — | |
Total Distributable Earnings | | | | | | | 959,057 | | | | 2,175 | | | | 584,568 | |
Other Accumulated Gains (Losses) | | | | | | | (848,633 | ) | | | (13 | ) | | | 143,579 | |
Total Accumulated Earnings (Losses) | | | | | | | 544,254 | | | | 9,131 | | | | 755,925 | |
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, 2017, 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 | | | | | | | 1,814,355,048 | | | | Indefinite | |
DoubleLine Core Fixed Income Fund | | | | | | | 37,550,909 | | | | Indefinite | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | | 12,932,672 | | | | Indefinite | |
DoubleLine Low Duration Bond Fund | | | | | | | 20,597,203 | | | | Indefinite | |
DoubleLine Floating Rate Fund | | | | | | | 8,871,167 | | | | Indefinite | |
DoubleLine Flexible Income Fund | | | | | | | 2,456,449 | | | | Indefinite | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 1,324,911 | | | | Indefinite | |
| | | | | | |
| 142 | | DoubleLine Funds Trust | | | | |
As of March 31, 2017, the following Funds deferred, on a tax basis, losses of:
| | | | | | | | | | | | |
| | | | | | Post-October
Loss | | | Late-Year
Loss | |
DoubleLine Global Bond Fund | | | | | | $ | 916,736 | | | $ | 1,914,490 | |
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) and consent fee income. For the period ended March 31, 2017, 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 | | | | | | $ | 727,849,159 | | | $ | (727,849,159 | ) | | $ | — | |
DoubleLine Core Fixed Income Fund | | | | | | | 13,191,189 | | | | (13,191,189 | ) | | | — | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | | 98,883 | | | | (98,883 | ) | | | — | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | | 806,770 | | | | (622,893 | ) | | | (183,877 | ) |
DoubleLine Low Duration Bond Fund | | | | | | | 8,339,241 | | | | (8,339,241 | ) | | | — | |
DoubleLine Floating Rate Fund | | | | | | | 38,867 | | | | (38,867 | ) | | | — | |
DoubleLine Shiller Enhanced CAPE® | | | | | | | 2,636,274 | | | | (2,636,274 | ) | | | — | |
DoubleLine Flexible Income Fund | | | | | | | 1,103,602 | | | | (1,103,602 | ) | | | — | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 97,633 | | | | (97,633 | ) | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | — | | | | — | | | | — | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | 54,373 | | | | (3,854,612 | ) | | | 3,800,239 | |
DoubleLine Global Bond Fund | | | | | | | (3,771,194 | ) | | | 4,055,303 | | | | (284,109 | ) |
DoubleLine Infrastructure Income Fund | | | | | | | 42,182 | | | | (42,182 | ) | | | — | |
DoubleLine Ultra Short Bond Fund | | | | | | | — | | | | — | | | | — | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 235 | | | | (235 | ) | | | — | |
7. Share Transactions
Transactions in each Fund’s shares were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Total Return Bond Fund | | | | | | DoubleLine Core Fixed Income Fund | |
| | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | |
| | | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 1,511,555,139 | | | $ | 16,337,735,560 | | | | 1,762,519,501 | | | $ | 19,220,239,412 | | | | | | | | 324,434,484 | | | $ | 3,550,991,953 | | | | 299,595,407 | | | $ | 3,249,703,452 | |
Class N | | | | | | | 348,301,837 | | | | 3,765,457,623 | | | | 475,211,866 | | | | 5,179,721,681 | | | | | | | | 47,100,233 | | | | 515,180,881 | | | | 54,551,178 | | | | 591,687,811 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 111,334,724 | | | | 1,200,621,661 | | | | 97,679,661 | | | | 1,064,103,215 | | | | | | | | 11,549,298 | | | | 126,516,108 | | | | 9,055,797 | | | | 98,353,071 | |
Class N | | | | | | | 30,312,173 | | | | 326,729,209 | | | | 27,160,833 | | | | 295,814,232 | | | | | | | | 2,309,279 | | | | 25,291,372 | | | | 2,022,844 | | | | 21,944,431 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | (1,687,474,677 | ) | | | (18,139,635,309 | ) | | | (907,208,165 | ) | | | (9,889,480,104 | ) | | | | | | | (158,503,101 | ) | | | (1,729,543,350 | ) | | | (145,001,023 | ) | | | (1,573,009,270 | ) |
Class N | | | | | | | (521,395,138 | ) | | | (5,606,743,926 | ) | | | (276,177,861 | ) | | | (3,010,340,121 | ) | | | | | | | (38,056,037 | ) | | | (416,092,695 | ) | | | (24,013,524 | ) | | | (260,436,971 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | | | (207,365,942 | ) | | $ | (2,115,835,182 | ) | | | 1,179,185,835 | | | $ | 12,860,058,315 | | | | | | | | 188,834,156 | | | $ | 2,072,344,269 | | | | 196,210,679 | | | $ | 2,128,242,524 | |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 143 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Emerging Markets Fixed Income Fund | | | | | | DoubleLine Multi-Asset Growth Fund (Consolidated) | |
| | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | |
| | | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 45,973,297 | | | $ | 472,413,041 | | | | 55,178,656 | | | $ | 554,648,724 | | | | | | | | 2,589,863 | | | $ | 24,144,395 | | | | 2,500,752 | | | $ | 22,491,147 | |
Class N | | | | | | | 14,611,713 | | | | 150,698,505 | | | | 21,032,858 | | | | 211,676,846 | | | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | | | — | | | | — | | | | — | | | | — | | | | | | | | 4,860,323 | | | | 45,195,042 | | | | 8,322,576 | | | | 75,994,583 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 2,376,393 | | | | 24,404,747 | | | | 2,858,479 | | | | 28,039,810 | | | | | | | | 76,181 | | | | 701,542 | | | | 185,849 | | | | 1,691,777 | |
Class N | | | | | | | 649,217 | | | | 6,663,623 | | | | 857,976 | | | | 8,459,813 | | | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | | | — | | | | — | | | | — | | | | — | | | | | | | | 35,819 | | | | 328,309 | | | | 211,996 | | | | 1,914,682 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | (31,095,986 | ) | | | (320,198,979 | ) | | | (54,134,807 | ) | | | (523,833,141 | ) | | | | | | | (2,397,783 | ) | | | (22,159,916 | )# | | | (2,298,221 | ) | | | (20,590,840 | )* |
Class N | | | | | | | (14,050,414 | ) | | | (143,854,995 | ) | | | (23,900,960 | ) | | | (238,217,742 | ) | | | | | | | — | | | | — | | | | — | | | | — | |
Class A | | | | | | | — | | | | — | | | | — | | | | — | | | | | | | | (5,607,038 | ) | | | (51,863,573 | )# | | | (4,262,149 | ) | | | (38,461,355 | )* |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | | | 18,464,220 | | | $ | 190,125,942 | | | | 1,892,202 | | | $ | 40,774,310 | | | | | | | | (442,635 | ) | | $ | (3,654,201 | ) | | | 4,660,803 | | | $ | 43,039,994 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Low Duration Bond Fund | | | | | | DoubleLine Floating Rate Fund | |
| | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | |
| | | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 215,030,009 | | | $ | 2,159,461,515 | | | | 134,933,087 | | | $ | 1,357,710,671 | | | | | | | | 18,481,730 | | | $ | 183,178,045 | | | | 17,393,275 | | | $ | 174,009,480 | |
Class N | | | | | | | 73,298,275 | | | | 735,441,924 | | | | 45,028,340 | | | | 452,716,429 | | | | | | | | 9,091,207 | | | | 90,293,490 | | | | 4,824,858 | | | | 48,272,154 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 3,949,425 | | | | 39,652,904 | | | | 2,902,515 | | | | 29,164,428 | | | | | | | | 431,276 | | | | 4,260,647 | | | | 445,232 | | | | 4,423,456 | |
Class N | | | | | | | 2,254,104 | | | | 22,616,259 | | | | 2,074,916 | | | | 20,849,788 | | | | | | | | 172,847 | | | | 1,711,179 | | | | 147,867 | | | | 1,470,439 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | (116,878,696 | ) | | | (1,172,999,161 | ) | | | (80,500,458 | ) | | | (809,078,824 | ) | | | | | | | (12,426,950 | ) | | | (122,822,477 | )~ | | | (24,939,341 | ) | | | (249,436,789 | )^ |
Class N | | | | | | | (38,426,807 | ) | | | (385,558,984 | ) | | | (44,109,966 | ) | | | (443,617,479 | ) | | | | | | | (3,452,232 | ) | | | (34,168,654 | )~ | | | (2,616,823 | ) | | | (25,904,180 | )^ |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | | | 139,226,310 | | | $ | 1,398,614,457 | | | | 60,328,434 | | | $ | 607,745,013 | | | | | | | | 12,297,878 | | | $ | 122,452,230 | | | | (4,744,932 | ) | | $ | (47,165,440 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Shiller Enhanced CAPE® | | | | | | DoubleLine Flexible Income Fund | |
| | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | |
| | | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 128,671,146 | | | $ | 1,786,629,059 | | | | 41,453,903 | | | $ | 494,197,119 | | | | | | | | 52,891,181 | | | $ | 516,918,176 | | | | 21,499,928 | | | $ | 211,974,817 | |
Class N | | | | | | | 45,626,661 | | | | 634,244,411 | | | | 12,189,003 | | | | 144,752,851 | | | | | | | | 11,830,952 | | | | 115,360,862 | | | | 7,486,460 | | | | 73,646,868 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 3,095,216 | | | | 42,589,328 | | | | 1,476,805 | | | | 17,668,300 | | | | | | | | 734,612 | | | | 7,177,826 | | | | 447,693 | | | | 4,361,213 | |
Class N | | | | | | | 825,260 | | | | 11,355,650 | | | | 373,282 | | | | 4,466,707 | | | | | | | | 316,282 | | | | 3,086,449 | | | | 184,609 | | | | 1,796,873 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | (21,548,437 | ) | | | (295,139,017 | ) | | | (13,146,855 | ) | | | (155,368,376 | ) | | | | | | | (10,049,430 | ) | | | (98,158,118 | ) | | | (10,890,962 | ) | | | (105,723,553 | ) |
Class N | | | | | | | (10,204,236 | ) | | | (140,102,293 | ) | | | (3,879,667 | ) | | | (45,990,260 | ) | | | | | | | (3,748,450 | ) | | | (36,541,280 | ) | | | (3,830,401 | ) | | | (37,206,473 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | | | 146,465,610 | | | $ | 2,039,577,138 | | | | 38,466,471 | | | $ | 459,726,341 | | | | | | | | 51,975,147 | | | $ | 507,843,915 | | | | 14,897,327 | | | $ | 148,849,745 | |
| | | | | | |
| 144 | | DoubleLine Funds Trust | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | DoubleLine Long Duration Total Return Bond Fund | |
| | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | | | | | | Year Ended March 31, 2017 | | | Year Ended March 31, 2016 | |
| | | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 9,645,650 | | | $ | 94,767,162 | | | | 5,615,248 | | | $ | 55,212,165 | | | | | | | | 495,668 | | | $ | 5,130,338 | | | | 528,232 | | | $ | 5,304,239 | |
Class N | | | | | | | 12,840,946 | | | | 126,784,920 | | | | 7,167,948 | | | | 70,403,717 | | | | | | | | 1,658,759 | | | | 17,151,231 | | | | 1,704,462 | | | | 17,319,167 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 106,089 | | | | 1,040,548 | | | | 67,638 | | | | 656,267 | | | | | | | | 7,621 | | | | 79,809 | | | | 10,593 | | | | 106,495 | |
Class N | | | | | | | 494,414 | | | | 4,859,319 | | | | 313,363 | | | | 3,026,806 | | | | | | | | 38,978 | | | | 404,559 | | | | 46,632 | | | | 467,544 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | (3,210,924 | ) | | | (31,520,377 | ) | | | (5,317,565 | ) | | | (51,843,841 | ) | | | | | | | (814,365 | ) | | | (8,406,032 | ) | | | (464,030 | ) | | | (4,701,637 | ) |
Class N | | | | | | | (3,733,673 | ) | | | (36,726,042 | ) | | | (3,175,455 | ) | | | (31,105,883 | ) | | | | | | | (3,024,266 | ) | | | (30,879,284 | ) | | | (1,149,451 | ) | | | (11,691,770 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | | | 16,142,502 | | | $ | 159,205,530 | | | | 4,671,177 | | | $ | 46,349,231 | | | | | | | | (1,637,605 | ) | | $ | (16,519,379 | ) | | | 676,438 | | | $ | 6,804,038 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | DoubleLine Global Bond Fund | |
| | | | | | Year Ended March 31, 2017 | | | Period Ended March 31, 2016 | | | | | | Year Ended March 31, 2017 | | | Period Ended
March 31, 2016 | |
| | | | | | Shares | | | Amount | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 2,255,511 | | | $ | 21,277,815 | | | | 3,265,686 | | | $ | 28,623,750 | | | | | | | | 42,140,256 | | | $ | 428,673,225 | | | | 9,507,800 | | | $ | 95,140,112 | |
Class N | | | | | | | 666,499 | | | | 6,246,262 | | | | 198,077 | | | | 1,720,801 | | | | | | | | 2,186,617 | | | | 23,056,324 | | | | 4,028,788 | | | | 41,320,016 | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 16,781 | | | | 159,081 | | | | 947 | | | | 8,236 | | | | | | | | 3,057 | | | | 32,242 | | | | 774 | | | | 8,045 | |
Class N | | | | | | | 1,250 | | | | 11,827 | | | | 25 | | | | 214 | | | | | | | | 7,466 | | | | 78,428 | | | | 2,585 | | | | 26,935 | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | (3,110,492 | ) | | | (28,404,033 | ) | | | (44,967 | ) | | | (388,627 | ) | | | | | | | (3,803,702 | ) | | | (39,667,204 | ) | | | (491,338 | ) | | | (5,036,242 | ) |
Class N | | | | | | | (126,863 | ) | | | (1,201,618 | ) | | | (34,166 | ) | | | (289,773 | ) | | | | | | | (3,790,430 | ) | | | (38,391,980 | ) | | | (34,728 | ) | | | (357,420 | ) |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | | | (297,314 | ) | | $ | (1,910,666 | ) | | | 3,385,602 | | | $ | 29,674,601 | | | | | | | | 36,743,264 | | | $ | 373,781,035 | | | | 13,013,881 | | | $ | 131,101,446 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Infrastructure
Income Fund | | | | | | DoubleLine Ultra Short
Bond Fund | | | | | | DoubleLine Shiller Enhanced
International CAPE® | | | | | | | |
| | | | | | Period Ended March 31, 2017 | | | | | | Period Ended March 31, 2017 | | | | | | Period Ended March 31, 2017 | | | | | | | |
| | | | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | | | | Shares | | | Amount | | | | | | | |
Shares Sold | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 39,499,646 | | | $ | 397,100,699 | | | | | | | | 960,051 | | | $ | 9,600,513 | | | | | | | | 2,298,659 | | | $ | 24,078,547 | | | | | | | | | |
Class N | | | | | | | 88,718 | | | | 899,656 | | | | | | | | 37,696 | | | | 376,964 | | | | | | | | 1,070,884 | | | | 11,568,756 | | | | | | | | | |
Reinvested Dividends | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | 4,507 | | | | 45,748 | | | | | | | | 1,974 | | | | 19,750 | | | | | | | | 547 | | | | 5,882 | | | | | | | | | |
Class N | | | | | | | 668 | | | | 6,718 | | | | | | | | — | | | | — | | | | | | | | 388 | | | | 4,213 | | | | | | | | | |
Shares Redeemed | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | (543,073 | ) | | | (5,577,227 | ) | | | | | | | (133,524 | ) | | | (1,335,367 | ) | | | | | | | (514,616 | ) | | | (5,391,960 | ) | | | | | | | | |
Class N | | | | | | | (33,038 | ) | | | (336,674 | ) | | | | | | | (25,270 | ) | | | (252,703 | ) | | | | | | | (12,780 | ) | | | (138,357 | ) | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Share Transactions | | | | | | | 39,017,428 | | | $ | 392,138,920 | | | | | | | | 840,927 | | | $ | 8,409,157 | | | | | | | | 2,843,082 | | | $ | 30,127,081 | | | | | | | | | |
| # | Net of redemption fees of $4,348 and $3,078 for Class I and Class A, respectively |
| ~ | Net of redemption fees of $74,170 and $13,516 for Class I and Class N, respectively |
| * | Net of redemption fees of $8,639 and $4,093 for Class I and Class A, respectively. |
| ^ | Net of redemption fees of $81,279 and $15,764 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
| | | | | | |
| | Annual Report | | March 31, 2017 | | 145 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
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 March 31, 2017, the Trustees received as a group:
| | | | | | | | | | | | | | | | |
| | | | | | Current
Fees | | | Increase/(Decrease) in
Value of Deferred
Amount | | | Trustees Fees | |
DoubleLine Total Return Bond Fund | | | | | | $ | 649,995 | | | $ | 32,651 | | | $ | 682,646 | |
DoubleLine Core Fixed Income Fund | | | | | | | 72,455 | | | | 4,031 | | | | 76,486 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | | 9,067 | | | | 481 | | | | 9,548 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | | 1,497 | | | | 89 | | | | 1,586 | |
DoubleLine Low Duration Bond Fund | | | | | | | 36,153 | | | | 1,841 | | | | 37,994 | |
DoubleLine Floating Rate Fund | | | | | | | 3,071 | | | | 184 | | | | 3,255 | |
DoubleLine Shiller Enhanced CAPE® | | | | | | | 21,749 | | | | 867 | | | | 22,616 | |
DoubleLine Flexible Income Fund | | | | | | | 2,409 | | | | 220 | | | | 2,629 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 1,997 | | | | 112 | | | | 2,109 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 850 | | | | 40 | | | | 890 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | 3 | | | | 17 | | | | 20 | |
DoubleLine Global Bond Fund | | | | | | | 3,044 | | | | 167 | | | | 3,211 | |
DoubleLine Infrastructure Income Fund | | | | | | | 1,496 | | | | 67 | | | | 1,563 | |
DoubleLine Ultra Short Bond Fund | | | | | | | 1,126 | | | | 3 | | | | 1,129 | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 333 | | | | 46 | | | | 379 | |
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 March 31, 2017, is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | DoubleLine Multi-
Asset Growth Fund
(Consolidated) | | | DoubleLine Shiller
Enhanced CAPE® | | | DoubleLine Strategic
Commodity Fund
(Consolidated) | | | DoubleLine Global
Bond Fund | | | DoubleLine Shiller
Enhanced
International CAPE® | |
Average Market Value | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased Options | | | | | | $ | 73,000 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Written Options | | | | | | | 35,800 | | | | — | | | | — | | | | — | | | | — | |
Futures Contracts - Long | | | | | | | 323,132 | | | | — | | | | — | | | | — | | | | — | |
Futures Contracts - Short | | | | | | | (41,174 | ) | | | — | | | | — | | | | — | | | | — | |
Average Notional Balance | | | | | | | | | | | | | | | | | | | | | | | | |
Excess Return Swaps - Long | | | | | | | — | | | | — | | | | 23,238,000 | | | | — | | | | — | |
Excess Return Swaps - Short | | | | | | | — | | | | — | | | | 2,315,000 | | | | — | | | | — | |
Interest Rate Swaps | | | | | | | 8,000,000 | | | | — | | | | — | | | | — | | | | — | |
Total Return Swaps - Long | | | | | | | 36,292,902 | | | | 1,572,100,000 | | | | — | | | | — | | | | 4,960,000 | |
Total Return Swaps - Short | | | | | | | 10,610,529 | | | | — | | | | — | | | | — | | | | — | |
Forward Currency Exchange Contracts | | | | | | | 17,285,819 | | | | — | | | | — | | | | 81,264,766 | | | $ | 45,924,411 | |
| | | | | | |
| 146 | | DoubleLine Funds Trust | | | | |
Options Contracts The Funds may purchase or sell put and call options. When a Fund purchases an option it pays a premium in return for the potential to profit from the change in value of an underlying investment or index during the term of the option. The option premium is included on the Funds’ Statements of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing options is limited to the loss of the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. When a Fund writes (i.e., sells) an option it receives a premium in return for bearing the risk of the change in value of an underlying instrument during the term off the option. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying instrument to determine the realized gain or loss when the underlying instrument is sold. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk that the market for options contracts may be illiquid and that a Fund may not be able to close out or sell an option at a particular time or at an anticipated price.
The activity in written options during the period ended March 31, 2017, is as follows:
| | | | | | | | | | | | |
DoubleLine Multi-Asset Growth Fund
(Consolidated) | | | | | Number of
Contracts | | | Premium
Amount | |
Outstanding, Beginning of Period | | | | | | | 100 | | | $ | 279,800 | |
Options Expired | | | | | | | (100 | ) | | | (279,800 | ) |
Outstanding, End of Period | | | | | | | — | | | $ | — | |
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.
| | | | | | |
| | Annual Report | | March 31, 2017 | | 147 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund typically will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund typically will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. Recovery values are typically estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. An index credit default swap references all the names in the index, and if there is a default with respect to a single name in the index, the credit event is settled based on that name’s weight in the index.
Credit default swaps are considered to have credit risk related contingent features since they require payment by the protection seller to the protection buyer upon occurrence of a defined credit event. A Fund’s maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract, which may be mitigated by the posting of collateral by the counterparty to a Fund to cover a Fund’s exposure to the counterparty.
Total Return Swap Agreements The Funds may enter into total return swaps for investment purposes. Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument. For example, the agreement to pay a predetermined or fixed interest rate in exchange for a market-linked return based on a notional amount. To the extent the total return of a referenced index or instrument exceeds the offsetting interest obligation, a Fund will receive a payment from the counterparty. To the extent it is less, a Fund will make a payment to the counterparty. Payments received or made at the termination of the swap are recorded as realized gain or loss on the Statements of Operations.
The Funds’ derivative instrument holdings are summarized in the following tables.
The effect of derivative instruments on the Statements of Assets and Liabilities for the period ended March 31, 2017, 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) | | | DoubleLine
Global Bond Fund | | | DoubleLine Shiller
Enhanced
International CAPE® | |
Forward Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Currency | | Net Unrealized Appreciation (Depreciation) on Forwards | | | | | | $ | 47,872 | | | $ | — | | | $ | — | | | $ | (273,392 | ) | | $ | (3,113 | ) |
Futures Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Commodity | | | | | | | | $ | 4,991 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Index | | | | | | | | | (35,815 | ) | | | — | | | | — | | | | — | | | | — | |
| Treasury Bond | | | | | | | | | (104,353 | ) | | | — | | | | — | | | | — | | | | — | |
| | Net Unrealized Appreciation (Depreciation) on Futures | | | | | | $ | (135,177 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Swap Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Excess Return | | | | | | | | $ | — | | | $ | — | | | $ | (1,750,224 | ) | | $ | — | | | $ | — | |
| Interest Rate | | | | | | | | | 408,304 | | | | — | | | | — | | | | — | | | | — | |
| Total Return | | | | | | | | | 6,747,543 | | | | 211,404,052 | | | | — | | | | — | | | | 147,640 | |
| | Net Unrealized Appreciation (Depreciation) on Swaps | | | | | | $ | 7,155,847 | | | $ | 211,404,052 | | | $ | (1,750,224 | ) | | $ | — | | | $ | 147,640 | |
| | | | | | |
| 148 | | DoubleLine Funds Trust | | | | |
The effect of derivative instruments on the Statements of Operations for the period ended March 31, 2017, 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
Global
Bond Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | | | | | | DoubleLine
Multi-Asset
Growth Fund
(Consolidated) | | | DoubleLine
Shiller
Enhanced
CAPE® | | | DoubleLine
Strategic
Commodity Fund
(Consolidated) | | | DoubleLine
Global Bond
Fund | | | DoubleLine
Shiller
Enhanced
International
CAPE® | |
Purchased Options | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Equity | | | | | | | | $ | (226,341 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Index | | | | | | | | | (521,200 | ) | | | — | | | | — | | | | — | | | | — | | | | | | | | 156,200 | | | | — | | | | — | | | | — | | | | — | |
| | Net Realized and Unrealized Gain (Loss) on Investments in Unaffiliated Securities | | | | | | $ | (747,541 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | $ | 156,200 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Written Options | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Index | | Net Realized and Unrealized Gain (Loss) on Written Options | | | | | | $ | 279,800 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | $ | (100,800 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Forward Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Currency | | Net Realized and Unrealized Gain (Loss) on Forwards | | | | | | $ | (690,171 | ) | | $ | — | | | $ | — | | | $ | 73,942 | | | $ | 25,824 | | | | | | | $ | (41,246 | ) | | $ | — | | | $ | — | | | $ | (273,392 | ) | | $ | (3,113 | ) |
Futures Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Commodity | | | | | | | | $ | 1,272,848 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | $ | 14,624 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Exchange Rate | | | | | | | | | 1,396 | | | | — | | | | — | | | | — | | | | — | | | | | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Index | | | | | | | | | 6,062,552 | | | | — | | | | — | | | | — | | | | — | | | | | | | | (235,677 | ) | | | — | | | | — | | | | — | | | | — | |
| Treasury Bond | | | | | | | | | (48,573 | ) | | | — | | | | — | | | | — | | | | — | | | | | | | | (104,353 | ) | | | — | | | | — | | | | — | | | | — | |
| | Net Realized and Unrealized Gain (Loss) on Futures | | | | | | $ | 7,288,223 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | $ | (325,406 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Swap Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Excess Return | | | | | | | | $ | — | | | $ | — | | | $ | 3,859,951 | | | $ | — | | | $ | — | | | | | | | $ | — | | | $ | — | | | $ | (2,194,156 | ) | | $ | — | | | $ | — | |
| Interest Rate | | | | | | | | | 248,000 | | | | — | | | | — | | | | — | | | | — | | | | | | | | 408,304 | | | | — | | | | — | | | | — | | | | — | |
| Total Return | | | | | | | | | 1,863,998 | | | | 156,255,578 | | | | — | | | | — | | | | 620,993 | | | | | | | | 6,747,543 | | | | 165,838,050 | | | | — | | | | — | | | | 147,640 | |
| | Net Realized and Unrealized Gain (Loss) on Swaps | | | | | | $ | 2,111,998 | | | $ | 156,255,578 | | | $ | 3,859,951 | | | $ | — | | | $ | 620,993 | | | | | | | $ | 7,155,847 | | | $ | 165,838,050 | | | $ | (2,194,156 | ) | | $ | — | | | $ | 147,640 | |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 149 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
10. Offsetting Assets and Liabilities
The Funds are subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.
As of March 31, 2017, the Trust held the following derivative instruments that were subject to offsetting on the Statements of Assets and Liabilities:
DoubleLine Multi-Asset Growth Fund (Consolidated)
Assets:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash Collateral
Received | | |
Forwards | | $ | 144,857 | | | $ | 96,985 | | | $ | 47,872 | | | $ | — | | | $ | — | | | $ | 47,872 | |
Swap Contracts | | | 7,225,432 | | | | 69,585 | | | | 7,155,847 | | | | 69,585 | | | | 6,808,820 | | | | 277,442 | |
| | $ | 7,370,289 | | | $ | 166,570 | | | $ | 7,203,719 | | | $ | 69,585 | | | $ | 6,808,820 | | | $ | 325,314 | |
Liabilities:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Forwards | | $ | 96,985 | | | $ | 96,985 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Swap Contracts | | | 69,585 | | | | 69,585 | | | | — | | | | — | | | | — | | | | — | |
| | $ | 166,570 | | | $ | 166,570 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
DoubleLine Shiller Enhanced CAPE®
Assets:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Received | | |
Swap Contracts | | $ | 212,802,747 | | | $ | 1,398,695 | | | $ | 211,404,052 | | | $ | 78,563,489 | | | $ | 132,840,563 | | | $ | — | |
Liabilities:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Swap Contracts | | $ | 1,398,695 | | | $ | 1,398,695 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | |
| 150 | | DoubleLine Funds Trust | | | | |
DoubleLine Strategic Commodity Fund (Consolidated)
Assets:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Received | | |
Swap Contracts | | $ | 3,023 | | | $ | 3,023 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Liabilities:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Swap Contracts | | $ | 1,753,247 | | | $ | 3,023 | | | $ | 1,750,224 | | | $ | 1,750,224 | | | $ | — | | | $ | — | |
DoubleLine Global Bond Fund
Assets:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Received | | |
Forwards | | $ | 1,100,499 | | | $ | 1,100,499 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Liabilities:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Forwards | | $ | 1,373,891 | | | $ | 1,100,499 | | | $ | 273,392 | | | $
| —
|
| | $ | — | | | $ | 273,392 | |
DoubleLine Shiller Enhanced International CAPE®
Assets:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Received | | |
Forwards | | $ | 173,521 | | | $ | 173,521 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Swap Contracts | | | 147,640 | | | | — | | | | 147,640 | | | | — | | | | — | | | | 147,640 | |
| | $ | 321,161 | | | $ | 173,521 | | | $ | 147,640 | | | $ | — | | | $ | — | | | $ | 147,640 | |
Liabilities:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | 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 | |
| | | | | Financial
Instruments | | | Cash
Collateral
Pledged | | |
Forwards | | $ | 176,634 | | | $ | 173,521 | | | $ | 3,113 | | | $ | — | | | $ | — | | | $ | 3,113 | |
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
| | | | | | |
| | Annual Report | | March 31, 2017 | | 151 |
| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
rates—i.e., rates that adjust periodically based on a known lending rate, such as a bank’s prime rate. The Funds may purchase and sell interests in bank loans on a when-issued and delayed delivery basis, with payment delivery scheduled for a future date. Securities purchased on a delayed delivery basis are marked to market daily and no income accrues to the Funds prior to the date the Funds actually take delivery of such securities. These transactions are subject to market fluctuations and are subject, among other risks, to the risk that the value at delivery may be more or less than the trade purchase price.
12. Credit Facility
U.S. Bank, N.A. (the “Bank”) has made available to the Trust (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 3.07% for the year ended March 31, 2017).
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 March 31, 2017, the Funds’ credit facility activity is as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Average
Borrowings | | | Maximum
Amount
Outstanding | | | Interest
Expense | | | Commitment
Fee | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | $ | 4,665,950 | | | $ | 47,808,000 | | | $ | 15,713 | | | $ | — | |
DoubleLine Floating Rate Fund | | | | | | | — | | | | — | | | | — | | | | 48,667 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 1,220,000 | | | | 2,446,000 | | | | 1,933 | | | | — | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 5,428,286 | | | | 5,645,000 | | | | 3,166 | | | | — | |
DoubleLine Global Bond Fund | | | | | | | 1,121,000 | | | | 6,452,000 | | | | 934 | | | | — | |
DoubleLine Infrastructure Income Fund | | | | | | | 36,000 | | | | 116,000 | | | | 15 | | | | — | |
DoubleLine Ultra Short Bond Fund | | | | | | | 116,000 | | | | 116,000 | | | | 10 | | | | — | |
13. Significant Shareholder Holdings
As of March 31, 2017, a single beneficial shareholder unaffiliated with the Funds held 39% of the outstanding Class I shares of DoubleLine Ultra Short Bond Fund and 38% of DoubleLine Ultra Short Bond Fund’s total outstanding shares. That shareholder may be deemed to control the DoubleLine Ultra Short Bond Fund and a redemption of all or a substantial portion of that shareholder’s investment in the DoubleLine Ultra Short Bond Fund may adversely affect its investment performance.
As of March 31, 2017, shareholders affiliated with the Funds and/or Advisers owned shares of the Funds as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Shares | | | % of Total Outstanding
Shares - Per Class | | | % of Total Outstanding
Shares - Total Fund | |
DoubleLine Strategic Commodity Fund (Consolidated) - Class I | | | | | | | 1,491,712 | | | | 63% | | | | 48% | |
DoubleLine Ultra Short Bond Fund - Class I | | | | | | | 491,252 | | | | 59% | | | | 60% | |
DoubleLine Ultra Short Bond Fund - Class N | | | | | | | 10,000 | | | | 80% | | | | 60% | |
DoubleLine Shiller Enhanced International CAPE® - Class I | | | | | | | 490,000 | | | | 27% | | | | 17% | |
Investment activities of these shareholders could have a material affect on each Fund. See the description of Large Shareholder Risk in the following Principal Risks Note.
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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, an Adviser may have an incentive to invest a portion of a Fund’s assets in investment companies sponsored or managed by the Adviser or its related parties in lieu of investments by the Fund directly in portfolio securities, or may have an incentive to invest in such investment companies over investment companies sponsored or managed by others. Similarly, an Adviser may have an incentive to delay or decide against the sale of interests held by the Fund in investment companies sponsored or managed by the Adviser or its related parties. |
| | • | 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: 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. Normally, collateralized bond obligations (“CBOs”), CLOs and other CDOs are privately offered and sold, and thus are not registered under the securities laws. As a result, investments in CDOs may be characterized by a Fund as illiquid securities; however, an active dealer market, or other relevant measures of liquidity, may exist for CDOs allowing a CDO potentially to be deemed liquid by an Adviser under liquidity policies approved by the Board. 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. A Fund may at times have significant exposure to particular sectors through its commodities-related investments, including, without limitation, the energy, industrial metals, and agricultural and livestock sectors and may be exposed to greater risk associated with events affecting those sectors. |
| | • | confidential information access risk: the risk that the intentional or unintentional receipt of material, non-public information (“Confidential Information”) by an Adviser could limit a Fund’s ability to sell certain investments held by the Fund or pursue certain investment opportunities on behalf of the Fund, potentially for a substantial period of time. |
| | • | counterparty risk: the risk that a Fund will be subject to credit risk with respect to the counterparties to the derivative contracts and other instruments entered into directly by the Fund or held by special purpose or structured vehicles in which the Fund invests. Subject to certain limitations for U.S. federal income tax purposes, the Fund is not subject to any limit with respect to the number of transactions it can enter into with a single counterparty. 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 an issuer or counterparty will fail to pay its obligations to a Fund when they are due. As a result, a Fund’s income might be reduced, the value of the Fund’s investment might fall, and/or the Fund could lose the entire |
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| Notes to Financial Statements (Cont.) | | March 31, 2017 |
| | amount of its investment. 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, including, but not limited to, floating rate loans and mortgage-related securities, may occur at a slower rate than expected and the expected maturity of those securities could lengthen as a result. Securities that are subject to extension risk generally have a greater potential for loss when prevailing interest rates rise, which could cause their values to fall sharply. |
| | ° | | 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. As of the date of this report, interest rates in the U.S. are at or near historically low levels, increasing the exposure of bond investors to the risks associated with rising interest rates. |
| | ° | | 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. In times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. Prepayments can therefore result in lower yields to shareholders of a Fund. |
| | • | 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 by an Adviser, may not be available at the time or price desired, cannot be closed out at a favorable time or price, will increase a Fund’s transaction costs, 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 or at all with that of the cash investment; that the positions may be improperly executed or constructed; 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, thinner trading markets, different clearing and settlement procedures and custodial services, 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; (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; and (v) the interconnectedness or interdependence among financial services companies, including the risk that the financial distress or failure of one financial services company may materially and adversely affect a number of other financial services companies. |
| | • | 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. |
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| | • | 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. To the extent that investments are made in a limited number of countries, events in those countries will have a more significant impact on a Fund. If a Fund buys securities denominated in a foreign currency, receives income in foreign currencies, or holds foreign currencies from time to time, the value of the Fund’s assets, as measured in U.S. dollars, can be affected unfavorably by changes in exchange rates relative to the U.S. dollar or other foreign currencies. Foreign markets are also subject to the risk that a foreign government could restrict foreign exchange transactions or otherwise implement unfavorable currency regulations. |
| | • | 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, commonly known as ‘junk bonds,’ 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. |
| | • | index risk: the risk that a Fund’s return may not match or may underperform 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 an 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 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 risks. |
| | • | investment company and exchange-traded fund risk: the risk that an investment company or other pooled investment vehicle, including any exchange-traded funds (“ETFs”) or money market funds, 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 an Adviser or funds or accounts over which an Adviser (or related parties of an 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, including as a result of an asset allocation decision made by an Adviser (or related parties of an Adviser), will adversely affect the Fund’s performance if it is forced to sell portfolio securities or invest cash when the 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 newly formed fund has no or 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 |
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| | |
| Notes to Financial Statements (Cont.) | | March 31, 2017 |
| | 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 markets 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. Markets may, in response to governmental actions or intervention, political, 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 times when the Fund would otherwise not do so, and potentially at unfavorable prices. Certain securities may be difficult to value during such periods. These risks may be heightened for fixed income securities due to the current historically low interest rate environment. |
| | • | mortgage-backed securities risk: the risk that borrowers may default on their mortgage obligations or the guarantees underlying the mortgage-backed securities will default or otherwise fail and that, during periods of falling interest rates, mortgage-backed securities will be called or prepaid, which may result in a Fund having to reinvest proceeds in other investments at a lower interest rate. During periods of rising interest rates, the average life of a mortgage-backed security may extend, which may lock in a below-market interest rate, increase the security’s duration, and reduce the value of the security. Enforcing rights against the underlying assets or collateral may be difficult, or the underlying assets or collateral may be insufficient if the issuer defaults. The values of certain types of mortgage-backed securities, such as inverse floaters and interest-only and principal-only securities, may be extremely sensitive to changes in interest rates and prepayment rates. |
| | • | portfolio management risk: the risk that an investment strategy may fail to produce the intended results or that the securities held by a Fund will underperform other comparable funds because of the portfolio managers’ choice of investments. |
| | • | portfolio turnover risk: the risk that frequent purchases and sales of portfolio securities may result in higher Fund expenses and may result in larger distributions of taxable capital gains to investors as compared to a fund that trades less frequently. |
| | • | preferred securities risk: the risk that: (i) certain preferred stocks contain provisions that allow an issuer under certain conditions to skip or defer distributions; (ii) preferred stocks may be subject to redemption, including at the issuer’s call, and, in the event of redemption, the Fund may not be able to reinvest the proceeds at comparable or favorable rates of return; (iii) preferred stocks are generally subordinated to bonds and other debt securities in an issuer’s capital structure in terms of priority for corporate income and liquidation payments; and (iv) preferred stocks may trade less frequently and in a more limited volume and may be subject to more abrupt or erratic price movements than many other securities. |
| | • | price volatility risk: the risk that the value of a Fund’s investment portfolio will change, 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. |
| | • | restricted securities risk: a Fund may hold securities that are restricted as to resale under the U.S. federal securities laws. There can be no assurance that a trading market will exist at any time for any particular restricted security. Limitations on the resale of these securities may prevent a Fund from disposing of them promptly at reasonable prices or at all. A Fund may have to bear the expense of registering the securities for resale and the risk of substantial delays in effecting the registration. Also, restricted securities may be difficult to value because market quotations may not be readily available, and the values of restricted securities may have significant volatility. |
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| 156 | | DoubleLine Funds Trust | | | | |
| | • | securities or sector selection risk: the risk that the securities held by a Fund will underperform securities held in other funds investing in similar asset classes or comparable benchmarks because of the portfolio managers’ choice of securities or sectors for investment. To the extent a Fund focuses or concentrates its investments 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 inability to repay principal and interest when due in accordance with the terms of the debt or otherwise in a timely manner. |
| | • | 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. Certain investments in commodity-linked derivatives do not give rise to qualifying income for this purpose, and it is possible that certain investments in other commodity-linked instruments, ETFs and other investment pools will not give rise to qualifying income. Any income a Fund derives from investments in instruments that do not generate qualifying income must be limited to a maximum of 10% of a 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. Subsequent Events
Effective April 1, 2017, the DoubleLine Global Bond Fund began declaring and paying dividends of net investment income quarterly, rather than monthly.
Effective April 1, 2017, the following Funds’ Advisory Fee rates were reduced and the Adviser lowered the expense caps applicable to those Funds. Under the revised expense caps, the Adviser has contractually agreed to waive its investment advisory fee and to reimburse each Fund for other ordinary operating expenses to the extent necessary to limit the Funds’ ordinary operating expenses to amounts not to exceed the amounts shown in the following table. Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, Acquired Fund Fees and Expenses, and any extraordinary expenses. These expense limitations are expected to apply until March 24, 2018 for the DoubleLine Multi-Asset Growth Fund and June 29, 2018 for the DoubleLine Ultra Short Bond Fund, except that they may be terminated by the Board at any time.
| | | | | | | | | | | | | | | | |
| | | | | | | | | Expense Caps | |
| | | | | | Advisory Fee | | | I Shares | | | N Shares | |
DoubleLine Multi-Asset Growth Fund | | | | | | | 0.95% | | | | 1.15% | | | | 1.40% | |
DoubleLine Ultra Short Bond Fund | | | | | | | 0.15% | | | | 0.30% | | | | 0.55% | |
On April 6, 2017, DoubleLine Low Duration Emerging Markets Fixed Income Fund honored redemption requests representing approximately 40% of its then outstanding shares by distributing to the redeeming shareholders an approximately pro rata portion of its portfolio. The Fund’s net assets following that redemption on April 7, 2017 were approximately $198 million.
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 additional subsequent events that would need to be disclosed in the Funds’ financial statements.
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| | Annual Report | | March 31, 2017 | | 157 |
| | |
| Report of Independent Registered Public Accounting Firm | | |
To the Board of Trustees and Shareholders of DoubleLine Funds Trust
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments (summary schedule of investments for DoubleLine Total Return Bond Fund), and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund (Consolidated), DoubleLine Low Duration Bond Fund, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible Income Fund, DoubleLine Low Duration Emerging Markets Fixed Income Fund, DoubleLine Long Duration Total Return Bond Fund, DoubleLine Strategic Commodity Fund (Consolidated), DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Ultra Short Bond Fund, and DoubleLine Shiller Enhanced International CAPE® (fifteen of the funds constituting DoubleLine Funds Trust, hereafter referred to as the “Funds”) as of March 31, 2017, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of March 31, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Los Angeles, California
May 23, 2017
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| | |
| Shareholder Expenses | | (Unaudited) March 31, 2017 |
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 10/1/16 through 3/31/17.*
Actual Expenses
The actual return columns in the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the respective line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. In addition to the expenses shown below in the table, as a shareholder you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Fund’s transfer agent. Currently, if you request a redemption be made by wire, a $15.00 fee is charged by the Fund’s transfer agent. You will be charged a redemption fee equal to 1.00% of the net amount of the redemption if you redeem shares that have been held for less than 90 days in the DoubleLine Multi-Asset Growth Fund and the DoubleLine Floating Rate Fund. An Individual Retirement Account (“IRA”) will be charged a $15.00 annual maintenance fee. The transfer agent charges a transaction fee of $25.00 on returned checks and stop payment orders. If you paid a transaction fee, you would add the fee amount to the expenses paid on your account this period to obtain your total expenses paid.
Hypothetical Example for Comparison Purposes
The hypothetical return columns in the following table provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect the transaction fees discussed above. Therefore, those columns are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Actual | | | Hypothetical
(5% return
before expenses) | |
| | | | | | | | Fund’s
Annualized
Expense Ratio1 | | | Beginning
Account
Value | | | Ending
Account
Value
3/31/17 | | | Expenses
Paid During
Period*1 | | | Ending
Account
Value
3/31/17 | | | Expenses
Paid During
Period*1 | |
DoubleLine Total Return Bond Fund | | | | | | Class I | | | 0.47% | | | $ | 1,000 | | | $ | 992 | | | $ | 2.33 | | | $ | 1,023 | | | $ | 2.37 | |
| | | | | | | Class N | | | 0.72% | | | $ | 1,000 | | | $ | 992 | | | $ | 3.58 | | | $ | 1,021 | | | $ | 3.63 | |
DoubleLine Core Fixed Income Fund | | | | | | Class I | | | 0.43% | | | $ | 1,000 | | | $ | 990 | | | $ | 2.13 | | | $ | 1,023 | | | $ | 2.17 | |
| | | | | | | Class N | | | 0.68% | | | $ | 1,000 | | | $ | 988 | | | $ | 3.37 | | | $ | 1,022 | | | $ | 3.43 | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | Class I | | | 0.92% | | | $ | 1,000 | | | $ | 1,028 | | | $ | 4.65 | | | $ | 1,020 | | | $ | 4.63 | |
| | | | | | | Class N | | | 1.17% | | | $ | 1,000 | | | $ | 1,027 | | | $ | 5.91 | | | $ | 1,019 | | | $ | 5.89 | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | Class I | | | 1.08% | | | $ | 1,000 | | | $ | 1,075 | | | $ | 5.59 | | | $ | 1,020 | | | $ | 5.44 | |
| | | | | | | Class A | | | 1.33% | | | $ | 1,000 | | | $ | 1,072 | | | $ | 6.87 | | | $ | 1,018 | | | $ | 6.69 | |
DoubleLine Low Duration Bond Fund | | | | | | Class I | | | 0.42% | | | $ | 1,000 | | | $ | 1,009 | | | $ | 2.10 | | | $ | 1,023 | | | $ | 2.12 | |
| | | | | | | Class N | | | 0.67% | | | $ | 1,000 | | | $ | 1,008 | | | $ | 3.35 | | | $ | 1,022 | | | $ | 3.38 | |
DoubleLine Floating Rate Fund | | | | | | Class I | | | 0.67% | | | $ | 1,000 | | | $ | 1,020 | | | $ | 3.37 | | | $ | 1,022 | | | $ | 3.38 | |
| | | | | | | Class N | | | 0.92% | | | $ | 1,000 | | | $ | 1,019 | | | $ | 4.63 | | | $ | 1,020 | | | $ | 4.63 | |
DoubleLine Shiller Enhanced CAPE® | | | | | | Class I | | | 0.57% | | | $ | 1,000 | | | $ | 1,118 | | | $ | 3.01 | | | $ | 1,022 | | | $ | 2.87 | |
| | | | | | | Class N | | | 0.82% | | | $ | 1,000 | | | $ | 1,117 | | | $ | 4.33 | | | $ | 1,021 | | | $ | 4.13 | |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 159 |
| | |
| Shareholder Expenses (Cont.) | | (Unaudited) March 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Actual | | | Hypothetical
(5% return
before expenses) | |
| | | | | | | | Fund’s
Annualized
Expense Ratio1 | | | Beginning
Account
Value | | | Ending
Account
Value
3/31/17 | | | Expenses
Paid During
Period*1 | | | Ending
Account
Value
3/31/17 | | | Expenses
Paid During
Period*1 | |
DoubleLine Flexible Income Fund | | | | | | Class I | | | 0.75% | | | $ | 1,000 | | | $ | 1,018 | | | $ | 3.77 | | | $ | 1,021 | | | $ | 3.78 | |
| | | | | | | Class N | | | 1.00% | | | $ | 1,000 | | | $ | 1,016 | | | $ | 5.03 | | | $ | 1,020 | | | $ | 5.04 | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | Class I | | | 0.59% | | | $ | 1,000 | | | $ | 1,010 | | | $ | 2.96 | | | $ | 1,022 | | | $ | 2.97 | |
| | | | | | | Class N | | | 0.84% | | | $ | 1,000 | | | $ | 1,009 | | | $ | 4.21 | | | $ | 1,021 | | | $ | 4.23 | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | Class I | | | 0.65% | | | $ | 1,000 | | | $ | 915 | | | $ | 3.10 | | | $ | 1,022 | | | $ | 3.28 | |
| | | | | | | Class N | | | 0.90% | | | $ | 1,000 | | | $ | 914 | | | $ | 4.29 | | | $ | 1,020 | | | $ | 4.53 | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | Class I | | | 1.10% | | | $ | 1,000 | | | $ | 1,016 | | | $ | 5.53 | | | $ | 1,019 | | | $ | 5.54 | |
| | | | | | | Class N | | | 1.35% | | | $ | 1,000 | | | $ | 1,015 | | | $ | 6.78 | | | $ | 1,018 | | | $ | 6.79 | |
DoubleLine Global Bond Fund | | | | | | Class I | | | 0.63% | | | $ | 1,000 | | | $ | 940 | | | $ | 3.05 | | | $ | 1,022 | | | $ | 3.18 | |
| | | | | | | Class N | | | 0.88% | | | $ | 1,000 | | | $ | 938 | | | $ | 4.25 | | | $ | 1,021 | | | $ | 4.43 | |
DoubleLine Infrastructure Income Fund | | | | | | Class I | | | 0.63% | | | $ | 1,000 | | | $ | 996 | | | $ | 3.13 | | | $ | 1,022 | | | $ | 3.18 | |
| | | | | | | Class N | | | 0.88% | | | $ | 1,000 | | | $ | 994 | | | $ | 4.37 | | | $ | 1,021 | | | $ | 4.43 | |
DoubleLine Ultra Short Bond Fund | | | | | | Class I | | | 0.35% | | | $ | 1,000 | | | $ | 1,003 | | | $ | 1.75 | | | $ | 1,023 | | | $ | 1.77 | |
| | | | | | | Class N | | | 0.60% | | | $ | 1,000 | | | $ | 1,002 | | | $ | 2.99 | | | $ | 1,022 | | | $ | 3.02 | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | Class I | | | 0.65% | | | $ | 1,000 | | | $ | 1,074 | | | $ | 1.81 | | | $ | 1,022 | | | $ | 3.28 | |
| | | | | | | Class N | | | 0.90% | | | $ | 1,000 | | | $ | 1,073 | | | $ | 2.51 | | | $ | 1,020 | | | $ | 4.53 | |
* Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The actual dollar amounts shown as expenses paid during the period for the DoubleLine Shiller Enhanced International CAPE® are multiplied by 98/365, which is based on the date of inception (December 23, 2016).
1 Reflects fee waiver and expense limitation arrangements in effect during the period.
| | | | | | |
| 160 | | DoubleLine Funds Trust | | | | |
| | |
| Growth of Investment | | (Unaudited) March 31, 2017 |
DoubleLine Total Return Bond Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | | | | | |
| | | | | | 1 Year | | | 5 Year | | | Since
Inception
(4/6/2010) | |
DoubleLine Total Return Bond Fund Class I | | | | | | | 1.46% | | | | 3.64% | | | | 6.69% | |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | 0.44% | | | | 2.34% | | | | 3.57% | |
| | | | |
DoubleLine Total Return Bond Fund Class N | | | | | | | 1.21% | | | | 3.40% | | | | 6.43% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Bloomberg Barclays U.S. Aggregate Bond Index — This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 161 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Core Fixed Income Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | | | | | |
| | | | | | 1 Year | | | 5 Year | | | Since
Inception
(6/1/2010) | |
DoubleLine Core Fixed Income Fund Class I | | | | | | | 2.80% | | | | 3.52% | | | | 5.62% | |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | 0.44% | | | | 2.34% | | | | 3.28% | |
| | | | |
DoubleLine Core Fixed Income Fund Class N | | | | | | | 2.54% | | | | 3.27% | | | | 5.36% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Bloomberg Barclays U.S. Aggregate Bond Index — This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 162 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
DoubleLine Emerging Markets Fixed Income Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | | | | | |
| | | | | | 1 Year | | | 5 Year | | | Since
Inception
(4/6/2010) | |
DoubleLine Emerging Markets Fixed Income Fund Class I | | | | | | | 13.19% | | | | 4.80% | | | | 6.20% | |
JP Morgan Emerging Markets Bond Global Diversified Index | | | | | | | 8.92% | | | | 5.83% | | | | 6.92% | |
| | | | |
DoubleLine Emerging Markets Fixed Income Fund Class N | | | | | | | 12.91% | | | | 4.54% | | | | 5.94% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | JP Morgan Emerging Markets Bond Global Diversified Index — This index is a uniquely-weighted version of the EMBI Global. It limits the weights of those index countries with larger debt supplies by only including specified portions of these countries’ eligible current face amounts of debt outstanding. The countries covered in the Emerging Markets Bond Global Diversified are identical to those covered by EMBI Global. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 163 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Multi-Asset Growth Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | | | | | |
| | | | | | 1 Year | | | 5 Year | | | Since
Inception
(12/20/2010) | |
DoubleLine Multi-Asset Growth Fund Class I | | | | | | | 14.63% | | | | 4.36% | | | | 4.10% | |
S&P 500® Index | | | | | | | 17.17% | | | | 13.30% | | | | 13.10% | |
Blended Benchmark | | | | | | | 5.35% | | | | 1.32% | | | | 2.33% | |
| | | | |
DoubleLine Multi-Asset Growth Fund (with load) Class A | | | | | | | 9.41% | | | | 3.18% | | | | 3.11% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | The S&P 500® Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. |
| | Blended Benchmark: 60% Bloomberg Barclays U.S. Aggregate Bond Index/ 25% Morgan Stanley Capital International All Country World Index Net/ 15% Standard & Poor’s Goldman Sachs Commodity Index (GSCI) Total Return Index. The Bloomberg Barclays U.S. Aggregate Bond Index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Standard & Poor’s/Goldman Sachs Commodity Total Return Index is a composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures. This index’s components qualify for inclusion in the index based on liquidity measures and are weighted in relation to their global production levels, making the index a valuable economic indicator and commodities market benchmark. The Morgan Stanley Capital International All Country World Index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI All Country World Index Ex-U.S. includes both developed and emerging markets. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 164 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
DoubleLine Low Duration Bond Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | | | | | |
| | | | | | 1 Year | | | 5 Year | | | Since
Inception
(9/30/2011) | |
DoubleLine Low Duration Bond Fund Class I | | | | | | | 2.99% | | | | 2.02% | | | | 2.29% | |
BofA/Merrill Lynch 1-3 Year U.S. Treasury Index | | | | | | | 0.25% | | | | 0.64% | | | | 0.60% | |
| | | | |
DoubleLine Low Duration Bond Fund Class N | | | | | | | 2.64% | | | | 1.78% | | | | 2.03% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | The BofA/Merrill Lynch 1-3 Year U.S. Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 165 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Floating Rate Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | |
| | | | | | 1 Year | | | Since
Inception
(2/1/2013) | |
DoubleLine Floating Rate Fund Class I | | | | | | | 4.99% | | | | 2.93% | |
S&P/LSTA Leveraged Loan Index | | | | | | | 9.72% | | | | 3.88% | |
| | | |
DoubleLine Floating Rate Fund Class N | | | | | | | 4.73% | | | | 2.73% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | S&P/LSTA Leveraged Loan Index — The S&P/LSTA Leveraged Loan Index is a broad index designed to reflect the performance of U.S. dollar facilities in the leverage loan market. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 166 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
DoubleLine Shiller Enhanced CAPE®
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | |
| | | | | | 1 Year | | | Since
Inception
(10/31/2013) | |
DoubleLine Shiller Enhanced CAPE® Class I | | | | | | | 24.75% | | | | 16.19% | |
S&P 500® Index | | | | | | | 17.17% | | | | 11.41% | |
Shiller Barclays CAPE® US Sector Total Return USD Index | | | | | | | 22.87% | | | | 14.79% | |
| | | |
DoubleLine Shiller Enhanced CAPE® Class N | | | | | | | 24.48% | | | | 15.90% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Shiller Barclays CAPE® US Sector Total Return USD Index — The Index incorporates the principles of long-term investing distilled by Dr. Robert Shiller and expressed through the CAPE® (Cyclically Adjusted Price Earnings) ratio (the “CAPE® Ratio”). The Index aims to identify undervalued sectors based on a modified CAPE® Ratio, and then uses a momentum factor to seek to reduce the risk of investing in a sector that may appear undervalued, but which may have also had recent relative price underperformance due to fundamental issues with the sector that may negatively affect the sector’s long-term total return. |
| | The S&P 500® Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 167 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Flexible Income Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | |
| | | | | | 1 Year | | | Since Inception (4/7/2014) | |
DoubleLine Flexible Income Fund Class I | | | | | | | 6.48% | | | | 3.29% | |
LIBOR USD 3 Month | | | | | | | 0.83% | | | | 0.50% | |
| | | |
DoubleLine Flexible Income Fund Class N | | | | | | | 6.23% | | | | 3.05% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | LIBOR USD 3 Month — London Interbank Offered Rate (LIBOR) is an indicative average interest rate at which a selection of banks known as the panel banks are prepared to lend one another unsecured funds on the London money market. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 168 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
DoubleLine Low Duration Emerging Markets Fixed Income Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | |
| | | | | | 1 Year | | | Since Inception (4/7/2014) | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund Class I | | | | | | | 5.95% | | | | 2.98% | |
JP Morgan CEMBI Broad Diversified 1-3 Year index | | | | | | | 5.65% | | | | 3.63% | |
| | | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund Class N | | | | | | | 5.69% | | | | 2.77% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | JP Morgan CEMBI Broad Diversified 1-3 Year Index — This index is a market capitalization weighted index consisting of 1-3 year maturity US-denominated Emerging Market corporate bonds. It is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 169 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Long Duration Total Return Bond Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | |
| | | | | | 1 Year | | | Since Inception (12/15/2014) | |
DoubleLine Long Duration Total Return Bond Fund Class I | | | | | | | (2.82)% | | | | 2.15% | |
Bloomberg Barclays U.S. Long-Term Government/Credit Index | | | | | | | 0.98% | | | | 2.26% | |
| | | |
DoubleLine Long Duration Total Return Bond Fund Class N | | | | | | | (3.08)% | | | | 1.86% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Bloomberg Barclays U.S. Long-Term Government/Credit Index — This index includes publicly issued U.S. Treasury debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 170 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
DoubleLine Strategic Commodity Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | |
| | | | | | 1 Year | | | Since Inception (5/18/2015) | |
DoubleLine Strategic Commodity Fund Class I | | | | | | | 7.93% | | | | (3.35)% | |
Bloomberg Commodity Index Total Return | | | | | | | 8.71% | | | | (10.27)% | |
| | | |
DoubleLine Strategic Commodity Fund Class N | | | | | | | 7.55% | | | | (3.65)% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Bloomberg Commodity Index Total Return—This index is calculated on an excess return basis and 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. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 171 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Global Bond Fund
Value of a $100,000 Investment
Class I Shares1
Average Annual Total Returns1
As of March 31, 2017
| | | | | | | | | | | | |
| | | | | | 1 Year | | | Since Inception (12/17/2015) | |
DoubleLine Global Bond Fund Class I | | | | | | | (4.00 | )% | | | 0.71% | |
Citi World Government Bond Index | | | | | | | (3.65 | )% | | | 2.78% | |
| | | |
DoubleLine Global Bond Fund Class N | | | | | | | (4.31 | )% | | | 0.42% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | The Citi World Government Bond Index measures the performance of fixed-rate, local currency and investment grade sovereign bonds. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 172 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
DoubleLine Infrastructure Income Fund
Value of a $100,000 Investment
Class I Shares1
Total Returns1
As of March 31, 2017
| | | | | | | | |
| | | | | | Since Inception
Not Annualized
(4/1/2016) | |
DoubleLine Infrastructure Income Fund Class I | | | | | | | 3.11% | |
Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | 0.48% | |
| | |
DoubleLine Infrastructure Income Fund Class N | | | | | | | 2.76% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | Bloomberg Barclays U.S. Aggregate Bond Index — This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 173 |
| | |
| Growth of Investment (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Ultra Short Bond Fund
Value of a $100,000 Investment
Class I Shares1
Total Returns1
As of March 31, 2017
| | | | | | | | |
| | | | | | Since Inception Not Annualized (6/30/2016) | |
DoubleLine Ultra Short Bond Fund Class I | | | | | | | 0.36% | |
BofA/Merrill Lynch 3 Month Treasury Bill Index | | | | | | | 0.28% | |
| | |
DoubleLine Ultra Short Bond Fund Class N | | | | | | | 0.20% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | BofA Merrill Lynch 3 Month Treasury Bill Index —This index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but no beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| 174 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
DoubleLine Shiller Enhanced International CAPE®
Value of a $100,000 Investment
Class I Shares1
Total Returns1
As of March 31, 2017
| | | | | | | | |
| | | | | | Since Inception Not Annualized (12/23/2016) | |
DoubleLine Shiller Enhanced International CAPE® Class I | | | | | | | 8.76% | |
MSCI Europe Net Return USD Index | | | | | | | 8.77% | |
| | |
DoubleLine Shiller Enhanced International CAPE® Class N | | | | | | | 8.72% | |
| 1 | Past performance is not an indication of future results. Returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, expense limitations and the effects of compounding. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.doubleline.com. The Fund’s adviser waived a portion of its management fee and/or reimbursed Fund expenses during the period shown. Had the adviser not done so, the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 877-DLine11 or visit www.doubleline.com for performance results current to the most recent month-end. |
| 2 | Performance of other classes will be greater or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. |
| | MSCI Europe Net Return USD Index —This index captures large and mid cap representation across 15 Developed Markets (DM) countries in Europe. With 446 constituents, the index covers approximately 85% of the free float-adjusted market capitalization across the European Developed Markets equity universe. The Fund’s investments likely will diverge widely from the components of the benchmark Index which could lead to performance dispersion between the Fund and the benchmark Index, meaning that the Fund could outperform or underperform the Index at any given time. |
| | | | | | |
| | Annual Report | | March 31, 2017 | | 175 |
| | |
| Evaluation of Advisory Agreement by the Boards of Trustees | | (Unaudited) March 31, 2017 |
DoubleLine Total Return Bond Fund
DoubleLine Core Fixed Income Fund
DoubleLine Emerging Markets Fixed Income Fund
DoubleLine Multi-Asset Growth Fund
DoubleLine Cayman Multi Asset Growth Fund I Ltd.
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 Long Duration Total Return Bond Fund
DoubleLine Selective Credit Fund
DoubleLine Strategic Commodity Fund
DoubleLine Strategic Commodity Ltd.
DoubleLine Global Bond Fund
DoubleLine Opportunistic Credit Fund
DoubleLine Income Solutions Fund
At the February 9, 2017 meeting (the “Meeting”) of the Boards of Trustees of DoubleLine Funds Trust (“DFT”), DoubleLine Opportunistic Credit Fund (“DBL”), and DoubleLine Income Solutions Fund (“DSL” which, together with DBL, are the “Closed-End Funds” and, together with DFT and DBL, are the “Trusts”), including in respect of each of DFT’s series of shares of beneficial interest (each, an “Open-End Fund” and, collectively with the Closed-End Funds, the “Funds”), the Board of Trustees, including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trusts (“Independent Trustees”) voting separately, approved the renewal of the Investment Advisory and Management Agreements (the “DFT Advisory Agreements”) between DoubleLine Capital LP (“DoubleLine Capital” or an “Adviser” or “DoubleLine”) and DFT, in respect of each of DoubleLine Total Return Bond Fund (“Total Return”), DoubleLine Core Fixed Income Fund (“Core Fixed Income”), DoubleLine Emerging Markets Fixed Income Fund (“EMFI”), DoubleLine Multi-Asset Growth Fund (“MAG”), DoubleLine Cayman Multi Asset Growth Fund I Ltd., DoubleLine Low Duration Fund (“Low Duration”), DoubleLine Floating Rate Fund (“Floating Rate”), DoubleLine Shiller Enhanced CAPE® (“CAPE”), DoubleLine Flexible Income Fund (“Flexible Income”), DoubleLine Low Duration Emerging Markets Fixed Income Fund (“LDEMFI”), DoubleLine Selective Credit Fund (“Selective Credit”), DoubleLine Long Duration Total Return Bond Fund (“LD Total Return”), and DoubleLine Global Bond Fund (“Global Bond”) (collectively, with DoubleLine Strategic Commodity Fund (“Strategic Commodity”), the “DFT 15(c) Funds”), for an additional one-year period; the Investment Management Agreements (the “Commodity Advisory Agreements”) between DoubleLine Alternatives LP (formerly, DoubleLine Commodity LP) (“DoubleLine Alternatives” or an “Adviser” or “DoubleLine”) and DFT, in respect of each of Strategic Commodity and DoubleLine Strategic Commodity Ltd., as applicable, for an additional one-year period; the Investment Management Agreement (the “DBL Advisory Agreement”) between DoubleLine Capital and DBL for an additional one-year period; and the Investment Management Agreement between DoubleLine Capital and DSL (the “DSL Advisory Agreement” and together with the DFT Advisory Agreements, the Commodity Advisory Agreements, and the DBL Advisory Agreement, the “Advisory Agreements”) for an additional one-year period.
The Trustees meet over the course of the year with investment advisory personnel from the Advisers and regularly review detailed information, presented both orally and in writing, regarding the investment program, performance and operations of each Fund. The Trustees noted that they would consider the proposed renewal of each Fund’s Advisory Agreement and any information presented anew, but that their deliberations and conclusions may be informed, at least in part, by their other recent deliberations, as well as the information gathered over the course of the year.
The Trustees’ determination to approve the continuance of each Advisory Agreement was made on the basis of each Trustee’s business judgment after an evaluation of all of the information provided to the Trustees, both for the February 9, 2017 meeting and at prior meetings. Those meetings include meetings held by the Independent Trustees outside the presence of management and meetings held on February 1, 2017, February 3, 2017 and February 7, 2017 specifically to review and consider materials related to the proposed continuance of each Advisory Agreement. This summary describes a number, but not necessarily all, of the most important factors considered by the Board and the Independent Trustees. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. No single factor was determined to be decisive. In all of their deliberations, the Independent Trustees were advised by independent counsel.
| | | | | | |
| 176 | | DoubleLine Funds Trust | | | | |
| | |
| | | (Unaudited) March 31, 2017 |
The Trustees considered the nature, extent, and quality of the services provided and expected to be provided by the Adviser to each Fund, including the expertise and experience of its investment personnel. In this regard, the Trustees considered that the Adviser provides a full investment program for the Funds it advises, and noted the Adviser’s representation that it seeks to provide attractive returns with a strong emphasis on risk management. In respect of each Fund, the Board considered the difficulty of managing debt-related portfolios, noting that managing such portfolios requires a portfolio management team to balance a number of factors, which may include, among others, varying maturities, prepayments, collateral management, counterparty management, pay-downs, credit events, workouts and net new issuances.
The Trustees reviewed reports (the “Strategic Insight Reports”) provided by Strategic Insight, an Asset International Company (“Strategic Insight”), that compared the DFT 15(c) Funds’ advisory fee rates, total expense ratios (Class I shares), and performance records (Class I shares) for the three-month, six-month and one-year periods ended December 31, 2016 and, where applicable, the performance records (Class I shares) for the three- and five-year periods ended December 31, 2016 against a group of each DFT 15(c) Fund’s peer funds selected by Strategic Insight. The Independent Trustees met with Strategic Insight representatives to receive a report regarding Strategic Insight’s selection of peer groups, including the views of Strategic Insight regarding the challenges Strategic Insight encountered in assembling a peer group of funds with investment strategies substantially similar to those of certain 15(c) Funds, such as CAPE, LDEMFI and MAG.
With respect to the comparative performance information in the Strategic Insight Reports, the Trustees noted in particular that each DFT 15(c) Fund, other than Total Return, LDEMFI, Selective Credit, Floating Rate and Global Bond, was in the first or second performance quartile relative to its respective peer group over the one-year period ending December 31, 2016, and that each DFT 15(c) Fund with a sufficiently long track record was in the first or second performance quartile relative to its respective peers for the three- and five-year periods ended December 31, 2016 (other than MAG, which was in the second and third performance quartiles for the three- and five-year periods, respectively, and Floating Rate, which was in the third quartile for the three-year period). The Trustees noted the reasons provided by management for the relative underperformance of each Fund that performed in the third or fourth performance quartile over the one- or three-year period ending December 31, 2016 (as applicable), including Floating Rate’s relatively low exposure to lower quality credits and Total Return’s and Selective Credit’s relative underweight to corporate bonds. The Trustees also considered management’s explanation of the unique investment strategies of MAG and LDEMFI in evaluating their performance relative to the peer groups as presented by Strategic Insight. The Trustees further noted the reasons provided by management for the relative underperformance of Global Bond during its initial period of operations and they considered that the Fund has only a short operating history.
The Trustees considered the portion of the Strategic Insight Reports covering the DFT 15(c) Funds’ expenses and advisory fees, noting that the reports showed that each DFT 15(c) Fund, other than CAPE and EMFI, had a net total expense ratio in the first or second quartile of its peer group. The Trustees noted that each DFT 15(c) Fund, other than EMFI and MAG, had a net management fee ratio in the first or second quartile relative to its respective peer group. The Trustees noted that CAPE’s net total expense ratio was only slightly above the median of its peer group. They noted that EMFI’s net total expense ratio was near the median of its peer group, that EMFI’s net management fee, though above the median, was below a number of its peers, and that EMFI’s performance was in the first quartile of its peer group over each period shown in the Strategic Insight Reports. The Trustees noted that MAG’s net management fee was only slightly above median and that MAG’s net total expense ratio was below the median of its peer group. The Trustees also noted DoubleLine’s commitment, effective April 1, 2017, to reduce MAG’s investment advisory fee from 1.00% to 0.95%, and make a commensurate reduction in MAG’s expense limitation agreement for a period of at least one year.
The Trustees evaluated each DFT 15(c) Fund’s net management fee rate in light of its asset size, noting that a number of the DFT 15(c) Funds had achieved significant scale. The Trustees noted that the net management fee rates of the DFT 15(c) Funds with significant scale were generally attractive or at least highly competitive relative to their peer groups and appeared to be consistent with DoubleLine’s general pricing philosophy of setting a Fund’s initial management fee rate at a level that generally reflects reasonably foreseeable economies of scale instead of relying on breakpoints in a Fund’s management fee rate.
The Trustees considered the Strategic Insight Report regarding DBL that compared the Fund’s management fees (based on managed assets and net assets (i.e., not including those assets attributable to borrowings and certain other forms of leverage)), total expense ratio (both inclusive and exclusive of investment related expenses (“IRE”)) also based on managed assets and net assets, and the performance record based on net asset value for the three-year, one-year, six-month, and three-month periods ended December 31, 2016 against a group of DBL’s peer funds. The Trustees noted that DBL had performed in the top quartile of its Morningstar category as presented by Strategic Insight for the three-year period shown, but that DBL’s performance had been in the fourth quartile over the one-year period. The Trustees noted that DBL’s net management fee ratio based on managed assets was above the median of its peer group, but that DBL’s net total expense ratios (both on a managed assets and net asset basis and including IRE in both instances) were below DBL’s peer group medians, as was DBL’s net management fee based on net assets.
| | | | | | |
| | Annual Report | | March 31, 2017 | | 177 |
| | |
| Evaluation of Advisory Agreement by the Boards of Trustees (Cont.) | | (Unaudited) March 31, 2017 |
The Trustees considered the Strategic Insight Report regarding DSL, noting that DSL had performed in the top quartile of its Morningstar category as presented by Strategic Insight for each of the three-month, six-month, one-year, and three-year periods shown. The Trustees noted that DSL’s management fee (both on a managed assets and net asset basis) was above median and near the highest in its peer group on a managed assets basis, and that DSL’s net operating expense ratios (both on a managed assets and net asset basis and including investment related expenses in each case) were above, but near the median of DSL’s peer group.
In evaluating DBL’s and DSL’s comparative management fees and expenses, the Trustees considered they had received reports from DoubleLine supporting the conclusion that DBL’s and DSL’s total return performance had generally benefitted from the use of leverage notwithstanding the expenses associated with it. The Trustees noted also DSL’s first quartile performance across all periods shown, and DoubleLine’s representations that DBL invests more heavily in mortgage-related investments than other funds included in the peer group. The Trustees also acknowledged comments from DoubleLine that DBL’s lack of exposure to high yield and other corporate debt contributed to its recent relative underperformance. In evaluating the comparative net management fees, the Trustees also considered DoubleLine’s statement that the Adviser had attempted to set each Fund’s fees at each Fund’s inception at rates that reflect competitive market levels, but that also reflect the experience and expertise the Adviser brings to managing the Funds.
The Trustees noted that both DBL and DSL employed leverage during the period ended December 31, 2016. They noted further that the use of such leverage increases total assets and thus the absolute amount of fees received by the Adviser under DBL’s and DSL’s Advisory Agreements (because the fees are calculated based on total managed assets, including assets attributable to borrowings, reverse repurchase agreements and other forms of leverage outstanding). The Trustees noted that, in this regard, the Adviser has a financial incentive for DBL and DSL to continue to use leverage, which may create a conflict of interest between the Adviser, on the one hand, and DBL’s and DSL’s common shareholders, respectively, on the other. The Trustees considered information from DoubleLine, including discussions with management, regarding the reasons why the Adviser believes DBL’s and DSL’s use of leverage has benefitted the total return performance of DBL and DSL and continues to be appropriate and in the best interests of each Fund’s common shareholders under current market conditions.
The Trustees considered that DoubleLine provides a variety of other services to the Funds in addition to investment advisory services, including, among others, a number of back-office services, valuation services, compliance services, certain forms of information technology services (such as internal reporting), assistance with accounting and distribution services and supervision and monitoring of the Funds’ other service providers. The Trustees reviewed DoubleLine’s ongoing efforts to keep the Trustees informed about matters relevant to the Trusts and their shareholders. The Trustees also considered the nature, extent, and structure of the Funds’ compliance program, including the policies and procedures of the Funds and their various service providers (including the Advisers). The Trustees considered the quality of those non-investment advisory services and determined that their quality supported the renewal of the Funds’ arrangements with DoubleLine.
The Trustees also considered DoubleLine’s reports, provided at the Board’s regular meetings, that it had continued to hire additional resources to support DoubleLine’s ability to provide services. The Trustees concluded that it appeared that DoubleLine continued to have sufficient quality and depth of personnel, resources, and investment methods.
The Trustees considered materials relating to the fees charged by DoubleLine to non-Fund clients, including institutional separate accounts and mutual funds for which DoubleLine serves as sub-adviser, where DoubleLine employs investment strategies substantially similar to one or more Funds’ investment strategies. The Trustees noted the information management provided regarding certain large institutional separate accounts and funds sub-advised by DoubleLine that are subject to fee schedules that differ from, including some that are lower than, the rates paid by a Fund with substantially similar investment strategies. The Trustees noted DoubleLine’s representations that administrative, compliance, operational, legal, and other burdens of providing investment advice to mutual funds exceed in many respects those required to provide advisory services to non-mutual fund clients, such as institutional accounts for retirement or pension plans, which may have differing contractual requirements. The Trustees noted DoubleLine’s representations that there are substantially greater legal and other responsibilities and risks to DoubleLine in managing and sponsoring public mutual funds than in managing private accounts or in sub-advising mutual funds sponsored by others, and that the services and resources required of DoubleLine when it sub-advises mutual funds sponsored by others generally are less than in the case of the Funds because many of the sponsorship, operational, and compliance responsibilities related to the advisory function are retained by the primary adviser.
The Trustees reviewed the financial and profitability information for DoubleLine, including information as to each Adviser’s profitability with respect to each Fund. The Trustees considered information provided by management regarding the methodologies, estimates, and assumptions that had been used in compiling those reports. The Trustees also reviewed information
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| | | (Unaudited) March 31, 2017 |
concerning the profitability to DoubleLine of its service arrangements with the Funds and took into account both the direct and indirect benefits to DoubleLine from managing the Funds. The Trustees also noted other benefits that DoubleLine reported it and its affiliates receive as a result of DoubleLine’s relationship with the Funds, including possible ancillary benefits to DoubleLine’s institutional investment management business due to the reputation and market penetration of the Funds. In evaluating DoubleLine’s profitability, the Trustees considered that DoubleLine presented profitability information that was reduced by certain distributions made to the DoubleLine’s employee owners that may be comparable to the ordinary compensation expense incurred by investment advisers that are not closely-held by their employees. The Trustees considered DoubleLine’s compensation practices and considered DoubleLine’s representation that those compensation and incentive policies and practices enable DoubleLine to retain, motivate, and attract highly qualified and experienced employees. The Trustees noted that the Adviser’s profitability in respect of each 15(c) Fund was shown both before and after certain distribution and shareholder servicing payments made by the Adviser. They noted that they would consider the profitability margins before distribution and shareholder servicing payments borne by DoubleLine for purposes of evaluating whether to continue each Advisory Agreement for another one-year period. The Trustees noted that DoubleLine had significant profitability in respect of certain of the Funds, but noted that in those cases it would be appropriate to consider that in light of other considerations they might find relevant, such as the nature and quality of the services provided by DoubleLine, the efficiency and cost structure of DoubleLine, and the competitiveness of the management fees and total operating expenses of the Funds.
The Trustees considered the potential benefits that DoubleLine could receive in respect of certain soft dollar credits generated by the brokerage commissions paid by the DoubleLine funds, and they noted DoubleLine’s representations that soft dollar arrangements are not currently in place for any of the Funds. The Trustees separately considered that DoubleLine was continuing to invest in its business to maintain its ability to provide high quality services for the Funds, and noted DoubleLine’s need to invest in technology, infrastructure and staff to continue to provide services and accommodate rapidly changing regulatory requirements.
The Trustees considered statements from management that DoubleLine did not believe that implementation of breakpoints or fee reductions would be appropriate at this time, for a number of reasons, including DoubleLine’s general approach to investment advisory fees, which was to seek to set a fee from a Fund’s inception at a rate that reflected reasonably foreseeable economies of scale. They noted statements from management that that approach has facilitated the Open-End Funds’ asset raising efforts and allowed the Open-End Funds to compete with peer funds with larger asset bases from inception notwithstanding, in some cases, the Open-End Funds’ smaller asset bases. The Trustees further noted that the Adviser was still subsidizing the expenses of a number of the Funds. The Trustees also noted the Adviser’s rapid growth and changes to the regulatory environment, which required DoubleLine to re-invest significantly in its business and infrastructure.
With regard to the Closed-End Funds, the Trustees noted that they have not increased in assets significantly from their initial offering due principally to their status as closed-end investment companies. They noted that there were no substantial increases in economies of scale realized with respect to the Closed-End Funds since their inception and that, in the Adviser’s view, the levels of the firm’s profitability in respect of DBL and DSL are appropriate in light of the investment the firm has made in the products, the quality of the investment management and other teams provided by the firm, and the continued investments by the firm in its own business.
The Trustees noted that, due to tax rules applicable to companies seeking to qualify as regulated investment companies, MAG and Strategic Commodity made certain investments through subsidiaries organized as a Cayman Islands exempted company (the “Subsidiaries”) in order to obtain certain desired investment exposure without eliminating its ability to qualify as a regulated investment company under the Internal Revenue Code. The Trustees considered the advisory arrangements for the Subsidiaries generally in the same manner as they had considered the advisory arrangements for MAG and Strategic Commodity.
On the basis of these considerations as well as others and in the exercise of their business judgment, the Trustees determined that they were satisfied with the nature, extent and the quality of the services provided to each Fund under its Advisory Agreement; that it appeared that the management fees paid by each Fund to DoubleLine were generally within the range of management fees paid by its peer funds, and with respect to some Funds lower than the median management fees paid by their peer funds, and generally reasonable in light of the services provided, the quality of the portfolio management teams and each Fund’s performance to date; that the fees paid by each Fund did not appear inconsistent with the fee schedules charged to DoubleLine’s other clients (where applicable) in light of the differences in the services provided and the risks borne by DoubleLine; that the profitability of each Fund to DoubleLine did not appear excessive or such as to preclude renewal of any Fund’s Advisory Agreement; and that it did not appear that implementation of breakpoints for any of the Funds would be appropriate at this time, although the Trustees would continue to consider the topic over time; and that it would be appropriate to approve each Advisory Agreement for an additional one-year period.
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| | Annual Report | | March 31, 2017 | | 179 |
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| Evaluation of Advisory Agreement by the Boards of Trustees (Cont.) | | (Unaudited) March 31, 2017 |
DoubleLine Shiller Enhanced International CAPE®
At the November 10, 2016 meeting of the Board of Trustees of DoubleLine Funds Trust (the “Trust”), the Board of Trustees, including the Independent Trustees, voting separately, approved the Investment Management Agreement (the “Agreement”) between the Trust, on behalf of DoubleLine Shiller Enhanced International CAPE® (the “Fund”) and DoubleLine Capital LP (the “Adviser”). This summary describes a number, but not necessarily all, of the most important factors considered by the Board and the Independent Trustees.
The Trustees considered a wide range of materials, including information provided to the Trustees in connection with their duties as Trustees of the other DoubleLine funds and in connection with their consideration of the renewal of advisory contracts between the Adviser and the other series of the Trust, which at that time had last occurred at the February 2016 meeting. The Trustees noted that they would consider the Fund’s Agreement and any information presented anew, but that their deliberations and conclusions may be informed, at least in part, by their other recent deliberations, as well as the information gathered over the course of the year. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. No single factor was determined to be decisive. In all of their deliberations, the Board of Trustees and the Independent Trustees were advised by counsel to the Trust and counsel to the Independent Trustees.
The Trustees’ determination to approve the Agreement was based on an evaluation of all of the information provided to them. In the process of considering the approval of the Agreement, the Trustees considered the terms of the proposed Agreement between the Adviser and the Trust and noted that the proposed terms of the Agreement were the same, except at to fees, as the terms of the advisory agreements between the Adviser and DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, and DoubleLine Ultra Short Bond Fund.
The Trustees considered the Adviser’s specific responsibilities in all aspects of the day-to-day management of the Fund as well as the qualifications, experience, and responsibilities of the proposed portfolio managers of the Fund, including with respect to investment in derivatives, and other key personnel who would be involved in the day-to-day investment activities of the Fund. The Board considered the expected difficulty of managing the Fund given the unusual aspects of its strategy, noting that managing the Fund’s strategy requires a portfolio management team to balance a number of factors, which may include, among others, varying maturities, prepayments, counter-party exposure, credit events, subscription and redemption activity and the potential extensive use of derivative instruments, and that the Fund’s strategy would be more complex and challenging to manage than the strategies of either a traditional equity or bond fund. The Trustees noted the Adviser’s experience with the management of DoubleLine Shiller Enhanced CAPE® (“CAPE”), a fund with an investment structure similar to that proposed for the Fund. The Trustees considered the Adviser’s experience managing both the portion of CAPE’s portfolio intended to approximate the return of the Shiller Barclays CAPE® US Sector TR USD Index as well as the portion of CAPE’s portfolio that has been invested in a portfolio of fixed income assets, each in a manner similar to how the Adviser proposes to manage portions of the Fund’s portfolio. The Trustees considered generally the performance record of CAPE and the other series of the Trust advised by DoubleLine. The Trustees considered information DoubleLine had provided regarding its experience managing foreign currency related exposures, noting that managing the Fund, unlike CAPE, would involve the management of foreign currency exposures and related aspects of the Fund’s investment strategies. They also considered the possible effects of adding additional funds to the Trust on the capacities of the Adviser.
The Trustees reviewed the proposed services the Adviser would provide to the Funds as investment adviser. The Trustees considered that the Adviser would provide a variety of services 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 also considered the nature, extent, and structure of the compliance procedures and the trading capabilities of the Adviser. The Trustees concluded that it appeared the Adviser would have, or have available to it, sufficient quality and depth of personnel, resources, and investment methods, and would have compliance policies and procedures essential to performing its duties under the proposed Agreement and that, in the Trustees’ view, the nature, overall quality, and extent of the management services to be provided appeared likely to be satisfactory and reliable.
The Board then turned to the proposed structure and level of the advisory fees to be paid under the Agreement. The Trustees considered that the Adviser anticipated launching the Fund with two classes of shares and noted the overall fee structure and expense caps proposed for the Fund. The Trustees considered information provided by Strategic Insight, an Asset International Company (“Strategic Insight”). In considering the peer group information presented, the Trustees took into account the information orally provided during the meeting by a representative of Strategic Insight who participated in the analysis of the peer
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funds selected by Strategic Insight, including Strategic Insight’s assessment of the unique nature of the Fund’s investment approach and Strategic Insight’s view of the Fund as belonging to an emerging investment category. the Trustees noted that Strategic Insight’s assessments had led it to create and present three peer groups for their consideration: (i) a collection of European focused equity funds, (ii) a core group of international enhanced index (or index-related) funds, and (iii) a broader group of enhanced index (or index related) funds that pursued a multi-asset approach similar to that proposed for the Fund, against which the Trustees could compare the Fund’s proposed advisory fees and expected net expenses. The Trustees noted that the Fund’s net management fee ratio and net total expense ratio would be the lowest among the group of European focused equity funds. They noted that the Fund’s net management fee ratio and expected net expenses were higher than, though near, the median of the group of international enhanced index funds and the median of larger group of funds pursuing a multi-asset approach, except that the proposed net management fee for the Fund was below the median of the net management fee of the larger group of funds pursuing a multi-asset approach. The Trustees considered each of these comparisons in light of the differences between the Fund’s proposed principal investment strategies and those of the other funds included in the peer groups.
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 as part of each meeting’s materials and that was provided at previous meetings of the Trustees and they took into account both the likely direct and indirect benefits to the Adviser from managing the Fund. The Trustees also considered in this regard the Adviser’s significant investment in sponsoring, forming, registering and promoting the Fund during its start-up period and the related risks to DoubleLine of those activities. The Trustees noted other benefits received by the Adviser and its affiliates as a result of the Adviser’s relationship with the Trust, including possible ancillary benefits to the Adviser’s institutional investment management business due to the reputation and market penetration of the Fund. The Trustees also considered DoubleLine’s representation that it had proposed advisory fees designed to cause the Fund to have a competitive fee structure at low assets levels and that DoubleLine believed the proposed advisory fees also reflected reasonably foreseeable economies of scale that DoubleLine might experience as a Fund’s assets grow. The Trustees considered that the Adviser was also implementing expense caps for the Fund that would limit the overall expense ratio of the Fund during the proposed initial term of the Agreement. In light of all of the information evaluated, including relevant information received from the Adviser in prior meetings concerning other funds, the Trustees concluded that the Adviser’s profit from managing the Fund would likely not be excessive in the start-up periods and that it did not appear appropriate at this time to consider the implementation of breakpoints in the investment advisory fee.
On the basis of these considerations and others and in the exercise of their business judgment, the Trustees determined to approve the Agreement for the proposed initial term.
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| | Annual Report | | March 31, 2017 | | 181 |
| | |
| Federal Tax Information | | (Unaudited) March 31, 2017 |
For the fiscal year ended March 31, 2017, 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) | | | | | | | 6.96% | |
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% | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | 0.00% | |
DoubleLine Global Bond Fund | | | | | | | 0.00% | |
DoubleLine Infrastructure Income Fund | | | | | | | 0.00% | |
DoubleLine Ultra Short Bond Fund | | | | | | | 0.00% | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 0.00% | |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended March 31, 2017 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) | | | | | | | 2.32% | |
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% | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | 0.00% | |
DoubleLine Global Bond Fund | | | | | | | 0.00% | |
DoubleLine Infrastructure Income Fund | | | | | | | 0.00% | |
DoubleLine Ultra Short Bond Fund | | | | | | | 0.00% | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 0.00% | |
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| | | (Unaudited) March 31, 2017 |
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 the fiscal year ended March 31, 2017 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) | | | | | | | 0.00% | |
DoubleLine Low Duration Bond Fund | | | | | | | 0.00% | |
DoubleLine Floating Rate Fund | | | | | | | 0.00% | |
DoubleLine Shiller Enhanced CAPE® | | | | | | | 5.26% | |
DoubleLine Flexible Income Fund | | | | | | | 0.00% | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 4.55% | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 4.79% | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | 0.00% | |
DoubleLine Global Bond Fund | | | | | | | 56.34% | |
DoubleLine Infrastructure Income Fund | | | | | | | 1.76% | |
DoubleLine Ultra Short Bond Fund | | | | | | | 0.00% | |
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 0.00% | |
The percentage of taxable ordinary income distributions that are designated as interest related dividends under Internal Revenue Section 871(k)(1)(c) for the fiscal year ended March 31, 2017 for each Fund was as follows:
| | | | | | | | |
| Qualified Interest Income | | | | | | |
DoubleLine Total Return Bond Fund | | | | | | | 100.00% | |
DoubleLine Core Fixed Income Fund | | | | | | | 93.76% | |
DoubleLine Emerging Markets Fixed Income Fund | | | | | | | 0.11% | |
DoubleLine Multi-Asset Growth Fund (Consolidated) | | | | | | | 34.54% | |
DoubleLine Low Duration Bond Fund | | | | | | | 94.77% | |
DoubleLine Floating Rate Fund | | | | | | | 97.54% | |
DoubleLine Shiller Enhanced CAPE® | | | | | | | 65.64% | |
DoubleLine Flexible Income Fund | | | | | | | 83.90% | |
DoubleLine Low Duration Emerging Markets Fixed Income Fund | | | | | | | 64.61% | |
DoubleLine Long Duration Total Return Bond Fund | | | | | | | 99.83% | |
DoubleLine Strategic Commodity Fund (Consolidated) | | | | | | | 0.00% | |
DoubleLine Global Bond Fund | | | | | | | 20.11% | |
DoubleLine Infrastructure Income Fund | | | | | | | 71.77% | |
DoubleLine Ultra Short Bond Fund | | | | | |
| 100.00%
|
|
DoubleLine Shiller Enhanced International CAPE® | | | | | | | 6.79% | |
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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| | Annual Report | | March 31, 2017 | | 183 |
| | |
| Trustees and Officers | | (Unaudited) March 31, 2017 |
| | | | | | | | | | |
Name, Address, and
Year of Birth(1) | | Position with Trust | | Term of Office
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
Overseen(2) | | Other Directorships
Held by Trustee
During Past 5 Years |
| | | | | |
Independent Trustees | | | | | | | | | | |
| | | | | |
| Joseph J. Ciprari, 1964 | | Trustee | | Indefinite / Since March 2010 | | President, Remo Consultants, a real estate financial consulting firm. Formerly, Managing Director, UBS AG. Formerly, Managing Director, Ally Securities LLC. | | 18 | | None |
| | | | | |
| John C. Salter, 1957 | | Trustee | | Indefinite / Since March 2010 | | Partner, Stark Municipal Brokers. Formerly, Managing Director, Municipals, Tullet Prebon Financial Services LLC (d/b/a Chapdelaine). Formerly, Partner, Stark, Salter & Smith, a securities brokerage firm specializing in tax exempt bonds. | | 18 | | None |
| | | | | |
| Raymond B. Woolson, 1958 | | Trustee | | Indefinite / Since March 2010 | | President, Apogee Group, Inc., a company providing financial consulting services. | | 18 | | Trustee,
Advisors
Series
Trust(3) |
(1) The address of each Independent Trustee is c/o DoubleLine Funds, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.
(2) Includes each series of DoubleLine Funds Trust, DoubleLine Opportunistic Credit Fund and DoubleLine Income Solutions Fund.
(3) Quasar Distributors, LLC serves as the principal underwriter of DoubleLine Funds Trust and Advisors Series Trust.
The following Trustees are “interested persons” of the Trust as defined in the 1940 Act because they are officers of the Advisers, and indirect shareholders in the Advisers.
| | | | | | | | | | |
Name, Address, and
Year of Birth(1) | | Position with Trust | | Term of Office
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
Overseen | | Other Directorships
Held by Trustee
During Past 5 Years |
| | | | | |
Interested Trustees | | | | | | | | | | |
| | | | | |
| Jeffrey E. Gundlach, 1959 | | Trustee | | Indefinite / Since January 2010 | | Chief Executive Officer and Chief Investment Officer, DoubleLine Capital LP (since December 2009). | | 16 | | None |
| | | | | |
| Philip A. Barach, 1952 | | Trustee | | Indefinite / Since January 2010 | | President, DoubleLine Capital LP (since December 2009). | | 16 | | None |
(1) The address of each Interested Trustee is c/o DoubleLine Funds, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.
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Officers
The officers of the Trust who are not also Trustees of the Trust are:
| | | | | | |
Name, Address, and
Year of Birth(1) | | Position(s)
Held with Trust | | Term of Office
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
| Ronald R. Redell, 1970 | | President | | Indefinite/Since Inception | | Trustee, Chairman, President and Chief Executive Officer, DoubleLine Income Solutions Fund (since January 2013); Executive, DoubleLine Group LP (since January 2013); Trustee, Chairman, President and Chief Executive Officer, DoubleLine Opportunistic Credit Fund (since July 2011); Executive, DoubleLine Capital LP (since July 2010); President, DoubleLine Funds Trust (since January 2010). |
| | | |
| Susan Nichols, 1962 | | Treasurer and Principal Financial and Accounting Officer | | Indefinite/Since October 2011 | | Treasurer and Principal Financial and Accounting Officer, DoubleLine Income Solutions Fund (since January 2013); Treasurer and Principal Financial and Accounting Officer, DoubleLine Funds Trust (since October 2011); Treasurer and Principal Financial and Accounting Officer, DoubleLine Opportunistic Credit Fund (since July 2011); Director of Mutual Funds Operations, DoubleLine Capital LP. Formerly, Southern Wholesaler, DoubleLine Capital LP. Formerly, Assistant Treasurer, DoubleLine Funds Trust. |
| | | |
| Keith T. Kirk, 1963 | | Chief Compliance Officer | | Indefinite/Since May 2012 | | Chief Compliance Officer, DoubleLine Income Solutions Fund (since January 2013); Chief Compliance Officer, DoubleLine Funds Trust (since May 2012); Chief Compliance Officer, DoubleLine Opportunistic Credit Fund (since May 2012); Deputy General Counsel and Chief Compliance Officer, DoubleLine Capital LP (since January 2012). |
| | | |
| Louis C. Lucido, 1948 | | Secretary | | Indefinite/Since Inception | | Member of the Board of Directors, 826LA (since June 2013); Member of the Board of Directors, Junior Achievement of Southern California (since June 2013); Member of the Board of Directors, CASA of Los Angeles (since February 2013) and Chairman (since June 2016); Secretary, DoubleLine Income Solutions Fund (since January 2013); Secretary, DoubleLine Opportunistic Credit Fund (since July 2011); Chief Operating Officer, DoubleLine Capital LP (since June 2010); Secretary, DoubleLine Funds Trust (since January 2010); Formerly, Executive Vice President, DoubleLine Capital LP (from December 2009 through May 2010); Formerly, Vice Chairman, CASA of Los Angeles (from June 2014 to June 2016). |
| | | |
| Grace Walker, 1970 | | Assistant Treasurer | | Indefinite/Since March 2012 | | Assistant Treasurer, DoubleLine Income Solutions Fund (since January 2013); Assistant Treasurer, DoubleLine Opportunistic Credit Fund (since March 2012); Assistant Treasurer, DoubleLine Funds Trust (since March 2012). |
| | | |
| Cris Santa Ana, 1965 | | Vice President | | Indefinite/Since April 2011 | | Vice President, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Opportunistic Credit Fund (since July 2011); Vice President, DoubleLine Funds Trust (since April 2011); Chief Risk Officer, DoubleLine Capital LP (since June 2010). Formerly, Chief Operating Officer, DoubleLine Capital LP (from December 2009 through May 2010). |
| | | |
| Earl A. Lariscy, 1966 | | Vice President | | Indefinite/Since May 2012 | | Vice President and Assistant Secretary, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Funds Trust (since May 2012); Vice President and Assistant Secretary, DoubleLine Opportunistic Credit Fund (since May 2012 and inception, respectively); General Counsel, DoubleLine Capital LP (since April 2010). |
| | | |
| David Kennedy, 1964 | | Vice President | | Indefinite/Since May 2012 | | Vice President, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Funds Trust (since May 2012); Vice President, DoubleLine Opportunistic Credit Fund (since May 2012); Manager, Trading and Settlements, DoubleLine Capital LP (since December 2009). |
| | | |
| Patrick A. Townzen, 1978 | | Vice President | | Indefinite/Since September 2012 | | Vice President, DoubleLine Income Solutions Fund (since January 2013); Vice President, DoubleLine Funds Trust (since September 2012); Vice President, DoubleLine Opportunistic Credit Fund (since September 2012); Manager of Operations, DoubleLine Capital LP (since September 2012). Formerly, Manager, Western Asset Management Company. |
(1) The address of each officer is c/o DoubleLine Funds, 333 South Grand Avenue, Suite 1800, Los Angeles, CA 90071.
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 877-DLine11 (877-354-6311).
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| | Annual Report | | March 31, 2017 | | 185 |
| | |
| Information About Proxy Voting | | (Unaudited) March 31, 2017 |
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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| | |
| Privacy Notice | | (Unaudited) March 31, 2017 |
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.
| | | | | | |
| | Annual Report | | March 31, 2017 | | 187 |
| | | | |
DoubleLine Capital LP DoubleLine Alternatives 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 Alternatives LP
333 South Grand Avenue
18th Floor
Los Angeles, CA 90071
Distributor:
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Administrator and Transfer Agent:
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian:
U.S. Bank, N.A.
1555 North River Center Drive
Suite 302
Milwaukee, WI 53212
Independent Registered
Public Accounting Firm:
PricewaterhouseCoopers LLP
601 South Figueroa Street
Los Angeles, CA 90017
Legal Counsel:
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Contact Information:
doublelinefunds.com
fundinfo@doubleline.com
1-877-DLine11 or
1-877-354-6311
DL-ANNUAL-DFT
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report. A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Raymond B. Woolson is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| | | | |
| | | FYE 3/31/2017 | | FYE 3/31/2016 |
Audit Fees | | $919,039 | | $815,230 |
Audit-Related Fees | | $3,670 | | $3,550 |
Tax Fees | | $177,810 | | $145,250 |
All Other Fees | | N/A | | N/A |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of fees billed by PricewaterhouseCoopers LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| | | | |
| | | FYE 3/31/2017 | | FYE 3/31/2016 |
Audit-Related Fees | | 0% | | 0% |
Tax Fees | | 0% | | 0% |
All Other Fees | | 0% | | 0% |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. (If more than 50 percent of the accountant’s hours were spent to audit the registrant’s financial statements for the most recent fiscal year, state how many hours were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.)
The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
| | | | | | | | |
| Non-Audit Related Fees | | FYE 3/31/2017 | | | FYE 3/31/2016 | |
Registrant | | | $177,810 | | | | $145,250 | |
Registrant’s Investment Adviser | | | $1,454,202 | | | | $854,258 | |
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.
The information required by this Item 6 (except with respect to the DoubleLine Total Return Bond Fund) is included as part of the annual report to shareholders filed under Item 1 of this Form N-CSR.
Please note that the Registrant has included a summary schedule of portfolio securities of the DoubleLine Total Return Bond Fund in its annual report to shareholders, a copy of which is included under Item 1, for this reporting period. The DoubleLine Total Return Bond Fund’s complete schedule of investments in securities of unaffiliated issuers as of the close of this period as set forth in Section 210.12-12 of Regulation S-X is set forth below:
DoubleLine Total Return Bond Fund
Schedule of Investments
March 31, 2017
| | | | | | | | | | | | | | |
Principal Amount
$/Shares | | Security Description | | Rate | | | Maturity | | | Value $ | |
Asset Backed Obligations - 2.8% | | | | | | | | | |
9,324,126 | | AMPLIT Trust, Series 2015-A-A | | | 5.00% | ^ | | | 09/15/2021 | | | | 9,359,693 | |
28,233,195 | | Arcadia Receivables Credit Trust, Series 2017-1-A | | | 3.25% | ^ | | | 06/15/2023 | | | | 28,336,331 | |
2,900,122 | | AVANT Loans Funding Trust, Series 2015-A-A | | | 4.00% | ^ | | | 08/16/2021 | | | | 2,909,717 | |
3,575,689 | | AVANT Loans Funding Trust, Series 2016-B-A | | | 3.92% | ^ | | | 08/15/2019 | | | | 3,588,535 | |
5,050,519 | | AVANT Loans Funding Trust, Series 2016-C-A | | | 2.96% | ^ | | | 09/16/2019 | | | | 5,058,813 | |
380,699 | | Blue Elephant Loan Trust, Series 2015-1-A | | | 3.12% | ^ | | | 12/15/2022 | | | | 381,689 | |
16,510,738 | | CAN Capital Funding LLC, Series 2012-1A-B1 | | | 3.12% | ^ | | | 04/15/2020 | | | | 16,491,883 | |
36,489,821 | | Castlelake Aircraft Securitization Trust, Series 2015-1A-A | | | 4.70% | ^ | | | 12/15/2040 | | | | 37,231,732 | |
46,204,230 | | Castlelake Aircraft Securitization Trust, Series 2016-1-A | | | 4.45% | | | | 08/15/2041 | | | | 46,867,400 | |
22,175,173 | | Citi Held For Asset Issuance, Series 2015-PM1-B | | | 2.93% | ^ | | | 12/15/2021 | | | | 22,189,223 | |
10,500,000 | | Citi Held For Asset Issuance, Series 2015-PM1-C | | | 5.01% | ^ | | | 12/15/2021 | | | | 10,479,380 | |
3,718,243 | | Citi Held For Asset Issuance, Series 2015-PM2-A | | | 2.35% | ^ | | | 03/15/2022 | | | | 3,719,839 | |
45,000,000 | | Citi Held For Asset Issuance, Series 2015-PM2-B | | | 4.00% | ^ | | | 03/15/2022 | | | | 45,318,933 | |
30,000,000 | | Citi Held For Asset Issuance, Series 2015-PM2-C | | | 5.96% | ^ | | | 03/15/2022 | | | | 30,255,774 | |
1,860,672 | | Citi Held For Asset Issuance, Series 2015-PM3-A | | | 2.56% | ^ | | | 05/16/2022 | | | | 1,862,711 | |
15,859,112 | | Citi Held For Asset Issuance, Series 2016-MF1-A | | | 4.48% | ^ | | | 08/15/2022 | | | | 16,057,890 | |
21,184,467 | | Citi Held For Asset Issuance, Series 2016-PM1-A | | | 4.65% | ^ | | | 04/15/2025 | | | | 21,470,866 | |
36,503,254 | | Colony American Finance Ltd., Series 2016-1-A | | | 2.54% | ^ | | | 06/15/2048 | | | | 35,888,014 | |
10,293,000 | | Colony American Homes, Series 2014-2A-E | | | 4.18% | # ^ | | | 07/17/2031 | | | | 10,314,148 | |
15,805,831 | | Commonbond Student Loan Trust, Series 2015-A-A1 | | | 3.20% | ^ | | | 06/25/2032 | | | | 15,863,800 | |
20,903,169 | | Commonbond Student Loan Trust, Series 2016-A-A1 | | | 3.32% | ^ | | | 05/25/2040 | | | | 20,805,948 | |
5,102,968 | | Conn’s Receivables Funding LLC, Series 2016-A-A | | | 4.68% | ^ | | | 04/16/2018 | | | | 5,108,729 | |
450,866 | | Consumer Credit Origination Loan Trust, Series 2015-1-A | | | 2.82% | ^ | | | 03/15/2021 | | | | 450,872 | |
38,959,357 | | Consumer Installment Loan Trust, Series 2016-LD1-A | | | 3.96% | ^ | | | 07/15/2022 | | | | 39,322,567 | |
53,410,000 | | DB Master Finance LLC, Series 2015-1A-A2I | | | 3.26% | ^ | | | 02/20/2045 | | | | 53,806,932 | |
36,750,000 | | DB Master Finance LLC, Series 2015-1A-A2II | | | 3.98% | ^ | | | 02/20/2045 | | | | 37,410,717 | |
75,392,944 | | Eaglewood Consumer Loan Trust, Series 2014-1-A | | | 3.50% | ^ ¥ | | | 10/15/2019 | | | | 75,227,758 | |
20,335,885 | | Earnest Student Loan Program LLC, Series 2016-B-A2 | | | 3.02% | ^ | | | 05/25/2034 | | | | 20,345,760 | |
26,918,148 | | Earnest Student Loan Program LLC, Series 2016-D-A2 | | | 2.72% | ^ | | | 01/25/2041 | | | | 26,543,062 | |
73,054,677 | | ECAF Ltd., Series 2015-1A-A2 | | | 4.95% | ^ | | | 06/15/2040 | | | | 70,965,386 | |
8,575,494 | | Element Rail Leasing LLC, Series 2016-1A-A1 | | | 3.97% | ^ | | | 03/19/2046 | | | | 8,611,351 | |
9,944,000 | | Falcon Aerospace Ltd., Series 2017-1-A | | | 4.58% | | | | 02/15/2042 | | | | 10,099,842 | |
16,222,420 | | Foundation Finance Trust, Series 2016-1A-A | | | 3.96% | ^ | | | 06/15/2035 | | | | 16,274,867 | |
12,587,896 | | HERO Funding Trust, Series 2016-3A-A2 | | | 3.91% | ^ | | | 09/20/2042 | | | | 12,825,946 | |
29,246,399 | | HERO Funding Trust, Series 2016-4A-A2 | | | 4.29% | ^ | | | 09/20/2047 | | | | 30,264,232 | |
7,748,493 | | L2L Education Loan Trust, Series 2006-1A-B | | | 1.41% | # ^ | | | 10/15/2028 | | | | 6,827,583 | |
98,958,333 | | Labrador Aviation Finance Ltd., Series 2016-A-1 | | | 4.30% | ^ | | | 01/15/2042 | | | | 98,795,052 | |
9,768,662 | | LendingClub Issuance Trust, Series 2016-NP1-A | | | 3.75% | ^ | | | 06/15/2022 | | | | 9,847,219 | |
1,567,258 | | LendingClub Issuance Trust, Series 2016-NP2-A | | | 3.00% | ^ | | | 01/17/2023 | | | | 1,572,136 | |
23,000,000 | | Mariner Finance Issuance Trust, Series 2017-AA-A | | | 3.62% | ^ | | | 02/20/2029 | | | | 23,146,071 | |
610,661 | | Marketplace Loan Trust, Series 2015-AV1-A | | | 4.00% | ^ | | | 09/15/2021 | | | | 612,688 | |
11,480,222 | | MarketPlace Loan Trust, Series 2015-AV2-A | | | 4.00% | ^ | | | 10/15/2021 | | | | 11,566,473 | |
14,035,117 | | MarketPlace Loan Trust, Series 2015-CB1-A | | | 4.00% | ^ | | | 07/15/2021 | | | | 14,026,348 | |
21,392,947 | | MarketPlace Loan Trust, Series 2015-LD1-A | | | 4.00% | ^ | | | 12/15/2021 | | | | 21,203,123 | |
32,580,976 | | MarketPlace Loan Trust, Series 2016-LD1-A | | | 5.25% | ^ | | | 03/15/2022 | | | | 33,105,660 | |
39,734,702 | | OneMain Direct Auto Receivables Trust, Series 2016-1A-A | | | 2.04% | ^ | | | 01/15/2021 | | | | 39,812,821 | |
9,795,229 | | OneMain Financial Issuance Trust, Series 2014-1A-A | | | 2.43% | ^ | | | 06/18/2024 | | | | 9,797,861 | |
15,971,000 | | OneMain Financial Issuance Trust, Series 2015-2A-A | | | 2.57% | ^ | | | 07/18/2025 | | | | 16,023,513 | |
90,000,000 | | OneMain Financial Issuance Trust, Series 2016-2A-A | | | 4.10% | ^ | | | 03/20/2028 | | | | 92,282,400 | |
17,000,000 | | Oportun Funding LLC, Series 2016-B-A | | | 3.69% | ^ | | | 07/08/2021 | | | | 17,054,312 | |
25,000,000 | | Oxford Finance Funding LLC, Series 2016-1A-A | | | 3.97% | ^ | | | 06/17/2024 | | | | 24,765,873 | |
4,000,000 | | Progress Residential Trust, Series 2016-SFR2-D | | | 3.44% | # ^ | | | 01/17/2034 | | | | 4,011,524 | |
10,725,070 | | RCO Trust, Series 2016-SFR-1 | | | 4.50% | # ^ | | | 11/25/2051 | | | | 10,708,093 | |
35,148,160 | | RCO Trust, Series 2016-SFR1-A | | | 3.75% | # ^ | | | 11/25/2051 | | | | 35,509,623 | |
47,366,009 | | Shenton Aircraft Investment Ltd., Series 2015-1A-A | | | 4.75% | ^ | | | 10/15/2042 | | | | 48,373,011 | |
4,925,883 | | SoFi Consumer Loan Program LLC, Series 2016-1-A | | | 3.26% | ^ | | | 08/25/2025 | | | | 4,922,369 | |
16,734,408 | | SoFi Consumer Loan Program Trust, Series 2016-2-A | | | 3.09% | ^ | | | 10/27/2025 | | | | 16,768,636 | |
52,750,000 | | SoFi Consumer Loan Program Trust, Series 2017-2-A | | | 3.28% | ^ | | | 02/25/2026 | | | | 52,816,001 | |
21,357,097 | | SoFi Professional Loan Program, Series 2016-A-A2 | | | 2.76% | ^ | | | 12/26/2036 | | | | 21,536,992 | |
104,472,871 | | SpringCastle America Funding LLC, Series 2016-AA-A | | | 3.05% | ^ | | | 04/25/2029 | | | | 105,324,324 | |
| | | | | | | | | | | | | | |
14,000,000 | | Springleaf Funding Trust, Series 2016-AA-A | | | 2.90% | ^ | | | 11/15/2029 | | | | 14,086,661 | |
5,508,707 | | Spruce Asset Backed Securities Trust, Series 2016-E1-A | | | 4.32% | ^ | | | 06/15/2028 | | | | 5,444,377 | |
5,560,000 | | TAL Advantage LLC, Series 2013-2A-A | | | 3.55% | ^ | | | 11/20/2038 | | | | 5,469,873 | |
| | | | | | | | | | | | | | |
| Total Asset Backed Obligations (Cost $1,526,908,410) | | | | | | | | | | | 1,537,120,957 | |
| | | | | | | | | | | | | | |
| | | |
Collateralized Loan Obligations - 4.1% | | | | | | | | | | | | |
20,000,000 | | Adams Mill Ltd., Series 2014-1A-A1 | | | 2.50% | # ^ | | | 07/15/2026 | | | | 20,035,522 | |
10,000,000 | | Adams Mill Ltd., Series 2014-1A-C1 | | | 4.02% | # ^ | | | 07/15/2026 | | | | 10,037,136 | |
20,000,000 | | ALM LLC, Series 2014-14A-A1 | | | 2.47% | # ^ | | | 07/28/2026 | | | | 20,020,000 | |
25,000,000 | | ALM LLC, Series 2016-19A-A1 | | | 2.57% | # ^ | | | 07/15/2028 | | | | 25,275,000 | |
12,600,000 | | Anchorage Capital Ltd., Series 2014-4A-A1A | | | 2.49% | # ^ | | | 07/28/2026 | | | | 12,658,431 | |
20,000,000 | | Anchorage Capital Ltd., Series 2014-5A-A | | | 2.62% | # ^ | | | 10/15/2026 | | | | 20,084,488 | |
43,900,000 | | Apidos Ltd., Series 2013-16A-A1 | | | 2.47% | # ^ | | | 01/19/2025 | | | | 43,968,408 | |
5,500,000 | | Apidos Ltd., Series 2014-18A-B | | | 3.84% | # ^ | | | 07/22/2026 | | | | 5,510,760 | |
23,000,000 | | Apidos Ltd., Series 2015-20A-A1R | | | 2.35% | # ^ | | | 01/16/2027 | | | | 23,069,226 | |
25,000,000 | | ARES Ltd., Series 2013-1A-B | | | 2.77% | # ^ | | | 04/15/2025 | | | | 25,045,952 | |
6,500,000 | | ARES Ltd., Series 2013-1A-D | | | 4.77% | # ^ | | | 04/15/2025 | | | | 6,516,092 | |
75,000,000 | | Arrowpoint Ltd., Series 2013-1A-A1R | | | 2.35% | # ^ | | | 11/15/2028 | | | | 75,329,595 | |
3,950,000 | | Avery Point Ltd., Series 2013-2A-D | | | 4.47% | # ^ | | | 07/17/2025 | | | | 3,929,676 | |
10,000,000 | | Avery Point Ltd., Series 2013-3A-A | | | 2.42% | # ^ | | | 01/18/2025 | | | | 10,005,483 | |
5,000,000 | | Avery Point Ltd., Series 2014-1A-A | | | 2.56% | # ^ | | | 04/25/2026 | | | | 5,006,250 | |
31,500,000 | | Babson Ltd., Series 2014-3A-AR | | | 2.30% | # ^ | | | 01/15/2026 | | | | 31,618,125 | |
4,500,000 | | Babson Ltd., Series 2014-3A-D2 | | | 5.17% | # ^ | | | 01/15/2026 | | | | 4,523,900 | |
4,750,000 | | Babson Ltd., Series 2014-IIA-C | | | 3.92% | # ^ | | | 10/17/2026 | | | | 4,756,934 | |
3,750,000 | | Babson Ltd., Series 2014-IIA-D | | | 4.62% | # ^ | | | 10/17/2026 | | | | 3,737,410 | |
75,000,000 | | BlueMountain Ltd., Series 2012-2A-AR | | | 2.47% | # ^ | | | 11/20/2028 | | | | 75,628,125 | |
33,150,000 | | BlueMountain Ltd., Series 2013-1A-A1R | | | 2.43% | # ^ | | | 01/20/2029 | | | | 33,319,195 | |
4,000,000 | | BlueMountain Ltd., Series 2013-4A-A | | | 2.52% | # ^ | | | 04/15/2025 | | | | 4,010,088 | |
5,000,000 | | BlueMountain Ltd., Series 2014-3A-A1 | | | 2.50% | # ^ | | | 10/15/2026 | | | | 5,007,130 | |
58,250,000 | | BlueMountain Ltd., Series 2015-3A-A1 | | | 2.51% | # ^ | | | 10/20/2027 | | | | 58,512,125 | |
34,500,000 | | BlueMountain Ltd., Series 2015-4A-B | | | 3.28% | # ^ | | | 01/20/2027 | | | | 34,772,230 | |
9,250,000 | | BlueMountain Ltd., Series 2015-4A-C | | | 4.23% | # ^ | | | 01/20/2027 | | | | 9,322,058 | |
8,750,000 | | BlueMountain Ltd., Series 2015-4A-D1 | | | 5.63% | # ^ | | | 01/20/2027 | | | | 8,848,377 | |
22,500,000 | | BlueMountain Ltd., Series 2016-2A-A2 | | | 3.05% | # ^ | | | 08/20/2028 | | | | 22,568,026 | |
17,000,000 | | Brookside Mill Ltd., Series 2013-1A-C1 | | | 3.72% | # ^ | | | 04/17/2025 | | | | 16,896,942 | |
21,522,261 | | Callidus Debt Partners Fund Ltd., Series 2007-6A-A1T | | | 1.30% | # ^ | | | 10/23/2021 | | | | 21,528,474 | |
1,000,000 | | Canyon Capital Ltd., Series 2014-1A-B | | | 3.69% | # ^ | | | 04/30/2025 | | | | 1,002,540 | |
23,026,584 | | Carlyle Global Market Strategies Ltd., Series 2012-2A-A1R | | | 2.33% | # ^ | | | 07/20/2023 | | | | 23,048,715 | |
20,000,000 | | Carlyle Global Market Strategies Ltd., Series 2015-5A-A1A | | | 2.58% | # ^ | | | 01/20/2028 | | | | 20,200,168 | |
8,000,000 | | Carlyle Global Market Strategies Ltd., Series 2015-5A-A2A | | | 3.28% | # ^ | | | 01/20/2028 | | | | 8,080,787 | |
4,000,000 | | Carlyle Global Market Strategies Ltd., Series 2015-5A-B2 | | | 4.28% | # ^ | | | 01/20/2028 | | | | 4,039,668 | |
8,992,366 | | Carlyle High Yield Partners Ltd., Series 2007-10A-A2A | | | 1.24% | # ^ | | | 04/19/2022 | | | | 8,997,811 | |
47,000,000 | | Catamaran Ltd., Series 2015-1A-A | | | 2.59% | # ^ | | | 04/22/2027 | | | | 47,296,310 | |
8,500,000 | | Catamaran Ltd., Series 2015-1A-B | | | 3.24% | # ^ | | | 04/22/2027 | | | | 8,520,680 | |
22,000,000 | | Cathedral Lake Ltd., Series 2013-1A-A1R | | | 2.42% | # ^ | | | 01/15/2026 | | | | 22,031,486 | |
43,000,000 | | Cathedral Lake Ltd., Series 2016-4A-A | | | 2.51% | # ^ | | | 10/20/2028 | | | | 43,037,349 | |
11,000,000 | | Cent Ltd., Series 2014-21A-A1AR | | | 0.00% | # ^ | | | 07/27/2026 | | | | 11,002,500 | |
1,473,631 | | Cent Ltd., Series 2007-14A-A1 | | | 1.26% | # ^ | | | 04/15/2021 | | | | 1,468,514 | |
22,159,481 | | Cent Ltd., Series 2007-14A-A2A | | | 1.25% | # ^ | | | 04/15/2021 | | | | 22,105,032 | |
7,250,000 | | Cent Ltd., Series 2014-22A-C | | | 4.78% | # ^ | | | 11/07/2026 | | | | 7,251,918 | |
3,135,123 | | Crown Point Ltd., Series 2012-1A-A1LB | | | 2.56% | # ^ | | | 11/21/2022 | | | | 3,147,226 | |
3,801,987 | | Eaton Vance Ltd., Series 2006-8A-A | | | 1.29% | # ^ | | | 08/15/2022 | | | | 3,795,294 | |
6,750,000 | | Flatiron Ltd., Series 2014-1A-C | | | 4.32% | # ^ | | | 07/17/2026 | | | | 6,639,804 | |
10,000,000 | | Fortress Credit Ltd., Series 2013-1A-A | | | 2.20% | # ^ | | | 01/19/2025 | | | | 10,040,827 | |
10,000,000 | | Fortress Credit Ltd., Series 2013-1A-B | | | 2.92% | # ^ | | | 01/19/2025 | | | | 10,018,805 | |
30,500,000 | | Galaxy Ltd., Series 2013-15A-A | | | 2.27% | # ^ | | | 04/15/2025 | | | | 30,552,956 | |
15,000,000 | | Galaxy Ltd., Series 2013-15A-B | | | 2.87% | # ^ | | | 04/15/2025 | | | | 15,137,534 | |
13,100,000 | | Galaxy Ltd., Series 2013-15A-C | | | 3.62% | # ^ | | | 04/15/2025 | | | | 13,152,173 | |
6,125,000 | | Galaxy Ltd., Series 2013-15A-D | | | 4.42% | # ^ | | | 04/15/2025 | | | | 6,142,175 | |
50,000,000 | | Galaxy Ltd., Series 2016-22A-A1 | | | 2.60% | # ^ | | | 07/16/2028 | | | | 50,404,375 | |
37,000,000 | | GLG Ore Hill Ltd., Series 2013-1A-A | | | 2.14% | # ^ | | | 07/15/2025 | | | | 36,819,465 | |
6,500,000 | | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C | | | 4.54% | # ^ | | | 04/28/2025 | | | | 6,357,895 | |
1,750,000 | | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D | | | 6.04% | # ^ | | | 04/28/2025 | | | | 1,613,877 | |
5,000,000 | | Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D | | | 4.69% | # ^ | | | 10/22/2025 | | | | 4,941,933 | |
30,000,000 | | Harbourview Ltd., Series 7A-A1R | | | 2.30% | # ^ | | | 11/18/2026 | | | | 29,868,898 | |
25,000,000 | | Hildene Ltd., Series 2014-2A-AR | | | 0.00% | ^ | | | 07/19/2026 | | | | 25,000,000 | |
39,000,000 | | Hildene Ltd., Series 2014-3A-A | | | 2.63% | # ^ | | | 10/20/2026 | | | | 38,999,984 | |
39,000,000 | | Hildene Ltd., Series 2014-3A-AR | | | 0.00% | # ^ | | | 10/20/2026 | | | | 39,000,000 | |
5,000,000 | | Hildene Ltd., Series 2015-4A-A1A | | | 2.54% | # ^ | | | 07/23/2027 | | | | 5,030,444 | |
20,000,000 | | ICE Global Credit Ltd., Series 2013-1A-A1 | | | 2.78% | # ^ ¥ | | | 04/20/2024 | | | | 19,955,229 | |
3,415,000 | | ING Ltd., Series 2013-3A-A1 | | | 2.47% | # ^ | | | 01/18/2026 | | | | 3,427,978 | |
4,250,000 | | ING Ltd., Series 2013-3A-B | | | 3.72% | # ^ | | | 01/18/2026 | | | | 4,260,959 | |
| | | | | | | | | | | | | | |
15,000,000 | | Jamestown Ltd., Series 2012-1A-A1R | | | 2.58% | # ^ | | | 11/05/2028 | | | | 15,059,354 | |
50,000,000 | | Jamestown Ltd., Series 2013-3A-A1A | | | 2.47% | # ^ | | | 01/15/2026 | | | | 50,165,313 | |
46,500,000 | | Jamestown Ltd., Series 2014-4A-A1A | | | 2.52% | # ^ | | | 07/15/2026 | | | | 46,522,525 | |
28,750,000 | | Jamestown Ltd., Series 2015-6A-A1A | | | 2.65% | # ^ | | | 02/20/2027 | | | | 28,780,520 | |
20,000,000 | | KVK Ltd., Series 2013-1A-A | | | 2.42% | # ^ | | | 04/14/2025 | | | | 20,100,369 | |
7,825,000 | | LCM LP, Series 14A-D | | | 4.52% | # ^ | | | 07/15/2025 | | | | 7,864,792 | |
21,000,000 | | LCM LP, Series 16A-A | | | 2.52% | # ^ | | | 07/15/2026 | | | | 21,094,553 | |
2,750,000 | | LCM LP, Series 16A-D | | | 4.62% | # ^ | | | 07/15/2026 | | | | 2,768,980 | |
3,002,328 | | Madison Park Funding Ltd., Series 2007-4A-A1A | | | 1.38% | # ^ | | | 03/22/2021 | | | | 2,989,355 | |
7,000,000 | | Madison Park Funding Ltd., Series 2007-4A-A1B | | | 1.46% | # ^ | | | 03/22/2021 | | | | 6,891,075 | |
2,769,206 | | Madison Park Funding Ltd., Series 2012-9A-AR | | | 2.33% | # ^ | | | 08/15/2022 | | | | 2,784,989 | |
3,000,000 | | Madison Park Funding Ltd., Series 2014-14A-C1 | | | 4.13% | # ^ | | | 07/20/2026 | | | | 3,000,811 | |
5,500,000 | | Madison Park Funding Ltd., Series 2014-15A-CR | | | 4.49% | # ^ | | | 01/27/2026 | | | | 5,542,098 | |
5,000,000 | | Madison Park Funding Ltd., Series 2014-15A-DR | | | 6.48% | # ^ | | | 01/27/2026 | | | | 4,990,042 | |
24,000,000 | | Magnetite Ltd., Series 2015-12A-AR | | | 2.35% | # ^ | | | 04/15/2027 | | | | 24,030,791 | |
17,000,000 | | Marathon Ltd., Series 2013-5A-A2A | | | 3.40% | # ^ | | | 02/21/2025 | | | | 17,008,467 | |
9,185,259 | | Mountain View Ltd., Series 2007-3A-A2 | | | 1.36% | # ^ | | | 04/16/2021 | | | | 9,181,146 | |
22,000,000 | | NewMark Capital Funding Ltd., Series 2013-1A-A2 | | | 2.18% | # ^ | | | 06/02/2025 | | | | 21,973,268 | |
9,000,000 | | Nomad Ltd., Series 2013-1A-B | | | 3.97% | # ^ | | | 01/15/2025 | | | | 9,044,814 | |
3,500,000 | | Nomad Ltd., Series 2013-1A-C | | | 4.52% | # ^ | | | 01/15/2025 | | | | 3,517,303 | |
30,000,000 | | Northwoods Capital Corporation, Series 2012-9A-A | | | 2.44% | # ^ | | | 01/18/2024 | | | | 30,029,284 | |
16,660,000 | | Northwoods Capital Corporation, Series 2013-10-A1 | | | 2.43% | # ^ | | | 11/04/2025 | | | | 16,668,265 | |
50,000,000 | | Ocean Trails, Series 2014-5A-A2R | | | 2.19% | # ^ | | | 10/13/2026 | | | | 49,969,721 | |
60,000,000 | | OCP Ltd., Series 2016-12A-A1 | | | 2.46% | # ^ | | | 10/18/2028 | | | | 60,458,441 | |
20,000,000 | | Octagon Investment Partners Ltd., Series 2013-1A-A | | | 2.31% | # ^ | | | 01/19/2025 | | | | 20,027,038 | |
15,000,000 | | Octagon Investment Partners Ltd., Series 2014-1A-A | | | 2.47% | # ^ | | | 08/12/2026 | | | | 15,030,232 | |
5,500,000 | | Octagon Investment Partners Ltd., Series 2014-1A-C | | | 4.69% | # ^ | | | 11/14/2026 | | | | 5,522,460 | |
1,500,000 | | Octagon Investment Partners Ltd., Series 2014-1A-C2 | | | 4.54% | # ^ | | | 11/25/2025 | | | | 1,502,237 | |
38,500,000 | | OZLM Ltd., Series 2015-11A-A1A | | | 2.59% | # ^ | | | 01/30/2027 | | | | 38,606,279 | |
30,000,000 | | Regatta Funding Ltd., Series 2014-1A-A1A | | | 2.60% | # ^ | | | 10/25/2026 | | | | 30,000,000 | |
35,000,000 | | Regatta Funding Ltd., Series 2016-1A-A1 | | | 2.67% | # ^ | | | 12/20/2028 | | | | 35,317,155 | |
123,538 | | Silverado Ltd., Series 2006-2A-A1 | | | 1.26% | # ^ | | | 10/16/2020 | | | | 123,664 | |
25,000,000 | | Sound Harbor Loan Fund Ltd., Series 2014-1A-A1 | | | 2.54% | # ^ | | | 10/30/2026 | | | | 25,044,332 | |
22,000,000 | | Steele Creek Ltd., Series 2014-1A-A1R | | | 2.37% | # ^ | | | 08/21/2026 | | | | 21,999,468 | |
29,500,000 | | Symphony Ltd., Series 2013-11A-B1 | | | 3.22% | # ^ | | | 01/17/2025 | | | | 29,521,670 | |
10,250,000 | | Symphony Ltd., Series 2013-11A-C | | | 4.17% | # ^ | | | 01/17/2025 | | | | 10,269,449 | |
17,000,000 | | TCI-Cent Ltd., Series 2016-1A-A1 | | | 2.64% | # ^ | | | 12/21/2029 | | | | 17,139,082 | |
10,000,000 | | TCI-Cent Ltd., Series 2016-1A-A2 | | | 3.32% | # ^ | | | 12/21/2029 | | | | 10,112,256 | |
30,000,000 | | TCI-Flatiron Ltd., Series 2016-1A-A | | | 2.57% | # ^ | | | 07/17/2028 | | | | 30,531,568 | |
3,044,233 | | Venture Ltd., Series 2007-8A-A2A | | | 1.26% | # ^ | | | 07/22/2021 | | | | 3,040,007 | |
18,500,000 | | Venture Ltd., Series 2014-16A-A1L | | | 2.52% | # ^ | | | 04/15/2026 | | | | 18,500,000 | |
47,950,000 | | Venture Ltd., Series 2014-17A-A | | | 2.50% | # ^ | | | 07/15/2026 | | | | 47,977,615 | |
3,500,000 | | Venture Ltd., Series 2014-17A-B2 | | | 3.12% | # ^ | | | 07/15/2026 | | | | 3,507,780 | |
18,500,000 | | Venture Ltd., Series 2015-20A-A | | | 2.51% | # ^ | | | 04/15/2027 | | | | 18,537,719 | |
13,000,000 | | Venture Ltd., Series 2016-23A-A | | | 2.67% | # ^ | | | 07/19/2028 | | | | 13,133,422 | |
30,500,000 | | Vibrant Ltd., Series 2016-5A-A | | | 2.55% | # ^ | | | 01/20/2029 | | | | 30,635,663 | |
35,000,000 | | Voya Ltd., Series 2014-4A-A1 | | | 2.52% | # ^ | | | 10/14/2026 | | | | 35,113,935 | |
491,766 | | Westwood Ltd., Series 2007-2A-A1 | | | 1.26% | # ^ | | | 04/25/2022 | | | | 492,067 | |
45,000,000 | | Wind River Ltd., Series 2016-2A-A | | | 2.39% | # ^ | | | 11/01/2028 | | | | 45,109,028 | |
10,000,000 | | York Ltd., Series 2016-2A-A1 | | | 2.59% | # ^ | | | 01/20/2030 | | | | 10,004,177 | |
30,000,000 | | Zais Ltd., Series 2014-2A-A1A | | | 2.54% | # ^ | | | 07/25/2026 | | | | 30,135,810 | |
| | | | | | | | | | | | | | |
Total Collateralized Loan Obligations (Cost $2,227,003,443) | | | | | | | | 2,241,302,856 | |
| | | | | | | | | | | | | | |
| | | |
Non-Agency Commercial Mortgage Backed Obligations - 6.9% | | | | | | | | | | | | |
8,350,000 | | BAMLL Commercial Mortgage Securities Trust, Series 2014-IP-E | | | 2.72% | # ^ | | | 06/15/2028 | | | | 8,241,716 | |
1,905,153 | | Banc of America Commercial Mortgage Trust, Series 2007-2-AM | | | 5.71% | # | | | 04/10/2049 | | | | 1,903,020 | |
59,298,515 | | Banc of America Commercial Mortgage Trust, Series 2007-5-AM | | | 5.77% | # | | | 02/10/2051 | | | | 60,516,008 | |
194,567,670 | | Banc of America Commercial Mortgage Trust, Series 2007-5-XW | | | 0.34% | # ^ I/O | | | 02/10/2051 | | | | 245,661 | |
13,728,000 | | Banc of America Commercial Mortgage Trust, Series 2010-UB3-A4B2 | | | 5.88% | # ^ | | | 05/15/2046 | | | | 13,718,153 | |
4,000,000 | | Banc of America Commercial Mortgage Trust, Series 2015-UBS7-B | | | 4.37% | # | | | 09/15/2048 | | | | 4,206,517 | |
59,756,428 | | Banc of America Commercial Mortgage Trust, Series 2015-UBS7-XA | | | 0.92% | # I/O | | | 09/15/2048 | | | | 3,434,310 | |
67,432,426 | | Banc of America Commercial Mortgage Trust, Series 2016-UBS10-XA | | | 2.01% | # I/O | | | 07/15/2049 | | | | 8,082,282 | |
27,365,000 | | Barclays Commercial Mortgage Securities LLC, Series 2015-STP-D | | | 4.28% | # ^ | | | 09/10/2028 | | | | 27,484,547 | |
410,574 | | Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-PW13-AJ | | | 5.61% | # | | | 09/11/2041 | | | | 410,203 | |
21,190,614 | | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW16-AM | | | 5.77% | # | | | 06/11/2040 | | | | 21,235,818 | |
12,815,000 | | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW17-AMFL | | | 1.57% | # ^ | | | 06/11/2050 | | | | 12,816,717 | |
23,433,127 | | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW18-A4 | | | 5.70% | | | | 06/11/2050 | | | | 23,716,054 | |
4,500,000 | | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ | | | 5.57% | # | | | 01/12/2045 | | | | 4,324,141 | |
33,200,000 | | CDGJ Commercial Mortgage Trust, Series 2014-BXCH-B | | | 2.76% | # ^ | | | 12/15/2027 | | | | 33,254,388 | |
7,155,000 | | CFCRE Commercial Mortgage Trust, Series 2016-C4-XA | | | 4.88% | # | | | 05/10/2058 | | | | 7,344,786 | |
| | | | | | | | | | | | | | |
101,817,454 | | CFCRE Commercial Mortgage Trust, Series 2016-C4-XA | | | 1.77% | # I/O | | | 05/10/2058 | | | | 11,667,109 | |
33,492,000 | | CFCRE Commercial Mortgage Trust, Series 2016-C7-A3 | | | 3.84% | | | | 12/10/2054 | | | | 34,577,040 | |
3,069,000 | | Chicago Skyscraper Trust, Series 2017-SKY-B | | | 2.01% | # ^ | | | 04/15/2030 | | | | 3,070,841 | |
1,700,000 | | Chicago Skyscraper Trust, Series 2017-SKY-C | | | 2.16% | # ^ | | | 04/15/2030 | | | | 1,700,000 | |
42,169,000 | | Citigroup Commercial Mortgage Trust, Series 2007-C6-AM | | | 5.78% | # | | | 12/10/2049 | | | | 42,730,244 | |
7,020,000 | | Citigroup Commercial Mortgage Trust, Series 2007-C6-AMFX | | | 5.78% | # ^ | | | 12/10/2049 | | | | 7,056,706 | |
16,359,000 | | Citigroup Commercial Mortgage Trust, Series 2008-C7-AM | | | 6.13% | # | | | 12/10/2049 | | | | 16,688,014 | |
7,708,000 | | Citigroup Commercial Mortgage Trust, Series 2008-C7-FLT | | | 6.13% | # | | | 12/10/2049 | | | | 7,863,204 | |
279,698,525 | | Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA | | | 2.12% | # ^ I/O | | | 09/10/2045 | | | | 17,231,751 | |
116,509,097 | | Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA | | | 1.23% | # I/O | | | 03/10/2047 | | | | 6,915,910 | |
115,707,746 | | Citigroup Commercial Mortgage Trust, Series 2014-GC21-XA | | | 1.27% | # I/O | | | 05/10/2047 | | | | 7,757,186 | |
9,011,000 | | Citigroup Commercial Mortgage Trust, Series 2014-GC25-A4 | | | 3.64% | | | | 10/10/2047 | | | | 9,315,747 | |
195,416,616 | | Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA | | | 1.06% | # I/O | | | 10/10/2047 | | | | 12,174,631 | |
50,000,000 | | Citigroup Commercial Mortgage Trust, Series 2015-GC27-A5 | | | 3.14% | | | | 02/10/2048 | | | | 49,934,555 | |
6,265,000 | | Citigroup Commercial Mortgage Trust, Series 2015-GC27-B | | | 3.77% | | | | 02/10/2048 | | | | 6,232,019 | |
8,216,000 | | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | | | 4.43% | # ^ | | | 02/10/2048 | | | | 6,611,311 | |
220,770,968 | | Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA | | | 1.43% | # I/O | | | 02/10/2048 | | | | 18,434,199 | |
14,310,000 | | Citigroup Commercial Mortgage Trust, Series 2015-GC33-C | | | 4.57% | # | | | 09/10/2058 | | | | 13,978,988 | |
179,663,755 | | Citigroup Commercial Mortgage Trust, Series 2015-GC33-XA | | | 0.97% | # I/O | | | 09/10/2058 | | | | 10,909,291 | |
20,725,000 | | Citigroup Commercial Mortgage Trust, Series 2015-GC35-C | | | 4.50% | # | | | 11/10/2048 | | | | 20,721,709 | |
153,716,042 | | Citigroup Commercial Mortgage Trust, Series 2016-C1-XA | | | 1.94% | # I/O | | | 05/10/2049 | | | | 19,628,755 | |
220,019,172 | | Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA | | | 1.35% | # I/O | | | 02/10/2049 | | | | 19,325,230 | |
114,637,253 | | Citigroup Commercial Mortgage Trust, Series 2016-P3-XA | | | 1.71% | # I/O | | | 04/15/2049 | | | | 12,727,727 | |
79,429,390 | | Citigroup Commercial Mortgage Trust, Series 2016-P4-XA | | | 2.01% | # I/O | | | 07/10/2049 | | | | 10,317,068 | |
38,491,932 | | Citigroup Commercial Mortgage Trust, Series 2016-P5-XA | | | 1.56% | # I/O | | | 10/10/2049 | | | | 3,856,799 | |
87,023,195 | | Citigroup Mortgage Loan Trust, Inc., Series 2016-GC37-XA | | | 1.81% | # I/O | | | 04/10/2049 | | | | 10,364,715 | |
17,400,000 | | COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX | | | 5.57% | # | | | 04/15/2047 | | | | 17,595,750 | |
22,750,000 | | COBALT Commercial Mortgage Trust, Series 2007-C2-AMFX | | | 5.53% | # | | | 04/15/2047 | | | | 22,750,704 | |
2,105,166 | | Colony Mortgage Capital Ltd., Series 2015-FL3-A | | | 2.78% | # ^ | | | 09/05/2032 | | | | 2,123,599 | |
129,903,074 | | Commercial Mortgage Pass-Through Certificates, Series 2002-LC4-XA | | | 2.23% | # ^ I/O | | | 12/10/2044 | | | | 10,525,111 | |
9,057,191 | | Commercial Mortgage Pass-Through Certificates, Series 2007-C9-AJFL | | | 1.55% | # ^ | | | 12/10/2049 | | | | 8,944,595 | |
3,519,547 | | Commercial Mortgage Pass-Through Certificates, Series 2008-LS1F-LT | | | 6.10% | # | | | 12/10/2049 | | | | 3,554,791 | |
34,272,156 | | Commercial Mortgage Pass-Through Certificates, Series 2012-CR2-XA | | | 1.72% | # I/O | | | 08/15/2045 | | | | 2,485,533 | |
175,215,332 | | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA | | | 2.07% | # I/O | | | 10/15/2045 | | | | 12,904,434 | |
230,992,504 | | Commercial Mortgage Pass-Through Certificates, Series 2013-CC12-XA | | | 1.35% | # I/O | | | 10/10/2046 | | | | 13,677,482 | |
179,324,357 | | Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA | | | 0.92% | # I/O | | | 08/10/2046 | | | | 6,382,495 | |
9,850,000 | | Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C | | | 4.72% | # | | | 08/10/2047 | | | | 10,032,298 | |
5,211,000 | | Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-A4 | | | 3.59% | | | | 11/10/2047 | | | | 5,371,743 | |
30,400,000 | | Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C | | | 4.51% | # | | | 11/10/2047 | | | | 29,963,474 | |
71,378,000 | | Commercial Mortgage Pass-Through Certificates, Series 2014-CR21-A3 | | | 3.53% | | | | 12/10/2047 | | | | 73,233,086 | |
120,410,256 | | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS-3 | | | 1.32% | # I/O | | | 06/10/2047 | | | | 7,327,855 | |
15,011,000 | | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-A4 | | | 3.82% | | | | 06/10/2047 | | | | 15,624,576 | |
8,215,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-CALW-D | | | 3.85% | # ^ | | | 02/10/2034 | | | | 8,358,956 | |
20,970,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D | | | 4.13% | # ^ | | | 03/10/2048 | | | | 16,890,693 | |
223,464,913 | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA | | | 1.01% | # I/O | | | 03/10/2048 | | | | 11,901,227 | |
9,230,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-D | | | 4.26% | # | | | 05/10/2048 | | | | 7,022,153 | |
9,110,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-B | | | 4.49% | # | | | 10/10/2048 | | | | 9,188,014 | |
91,105,102 | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA | | | 1.05% | # I/O | | | 10/10/2048 | | | | 5,689,696 | |
50,000,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-A5 | | | 3.35% | | | | 02/10/2048 | | | | 50,340,745 | |
8,715,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C | | | 4.35% | # | | | 02/10/2048 | | | | 8,412,585 | |
13,275,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-D | | | 4.35% | # ^ | | | 02/10/2048 | | | | 10,863,479 | |
406,769,871 | | Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA | | | 1.17% | # I/O | | | 02/10/2048 | | | | 24,703,867 | |
35,000,000 | | Commercial Mortgage Pass-Through Certificates, Series 2015-LC19-A4 | | | 3.18% | | | | 02/10/2048 | | | | 35,198,940 | |
29,922,000 | | Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C | | | 4.65% | # | | | 02/10/2049 | | | | 29,193,172 | |
20,355,000 | | Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E | | | 3.46% | # ^ | | | 08/10/2029 | | | | 19,630,676 | |
18,437,082 | | Countrywide Commercial Mortgage Trust, Series 2007-MF1-A | | | 6.21% | # ^ | | | 11/12/2043 | | | | 18,539,419 | |
26,410 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 1998-C2-F | | | 6.75% | # ^ | | | 11/15/2030 | | | | 26,426 | |
1,076,921 | | Credit Suisse Mortgage Capital Certificates, Series 2007-C2-AM | | | 5.62% | # | | | 01/15/2049 | | | | 1,081,119 | |
53,214,000 | | Credit Suisse Mortgage Capital Certificates, Series 2007-C4-A1AM | | | 5.96% | # | | | 09/15/2039 | | | | 53,558,358 | |
9,049,828 | | Credit Suisse Mortgage Capital Certificates, Series 2007-C5-A4 | | | 5.70% | # | | | 09/15/2040 | | | | 9,090,269 | |
150,822,000 | | Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1 | | | 0.55% | # ^ I/O | | | 09/15/2037 | | | | 5,669,588 | |
4,606,000 | | CSAIL Commercial Mortgage Trust, Series 2015-C1-C | | | 4.30% | # | | | 04/15/2050 | | | | 4,701,790 | |
13,360,000 | | CSAIL Commercial Mortgage Trust, Series 2015-C2-AS | | | 3.85% | # | | | 06/15/2057 | | | | 13,767,417 | |
22,320,000 | | CSAIL Commercial Mortgage Trust, Series 2015-C3-C | | | 4.36% | # | | | 08/15/2048 | | | | 21,794,692 | |
9,759,000 | | CSAIL Commercial Mortgage Trust, Series 2015-C4-C | | | 4.58% | # | | | 11/15/2048 | | | | 9,579,399 | |
319,180,761 | | CSAIL Commercial Mortgage Trust, Series 2015-C4-XA | | | 0.94% | # I/O | | | 11/15/2048 | | | | 18,494,227 | |
7,185,000 | | CSMC Mortgage Securities Trust, Series 2017-HD-B | | | 2.26% | ^ | | | 02/15/2031 | | | | 7,185,000 | |
3,450,000 | | CSMC Mortgage Securities Trust, Series 2017-HD-C | | | 2.61% | ^ | | | 02/15/2031 | | | | 3,450,000 | |
7,444,000 | | CSMC Mortgage Securities Trust, Series 2017-HD-D | | | 3.41% | ^ | | | 02/15/2031 | | | | 7,444,000 | |
14,554,963 | | DBRR Trust, Series 2011-C32-A3B | | | 5.76% | # ^ | | | 06/17/2049 | | | | 14,529,227 | |
121,313,361 | | DBUBS Mortgage Trust, Series 2011-LC2A-XA | | | 1.32% | # ^ I/O | | | 07/10/2044 | | | | 4,224,143 | |
125,094,410 | | Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA | | | 1.50% | # I/O | | | 05/10/2049 | | | | 12,685,311 | |
11,417,000 | | GE Commercial Mortgage Corporation Trust, Series 2007-C1-AM | | | 5.61% | # | | | 12/10/2049 | | | | 11,360,145 | |
5,412,682 | | Greenwich Capital Commercial Funding Corporation, Series 2006-GG7-AM | | | 5.73% | # | | | 07/10/2038 | | | | 5,410,057 | |
38,266,000 | | Greenwich Capital Commercial Funding Corporation, Series 2007-GG11-AJ | | | 6.05% | # | | | 12/10/2049 | | | | 38,926,234 | |
20,167,000 | | Greenwich Capital Commercial Funding Corporation, Series 2007-GG11-AM | | | 5.87% | # | | | 12/10/2049 | | | | 20,407,514 | |
975,182 | | GS Mortgage Securities Corporation, Series 2006-GG6-XC | | | 0.00% | # ^ I/O | | | 04/10/2038 | | | | 10 | |
7,836,680 | | GS Mortgage Securities Corporation, Series 2007-GG10-A4 | | | 5.95% | # | | | 08/10/2045 | | | | 7,838,178 | |
20,302,006 | | GS Mortgage Securities Corporation, Series 2011-GC3-X | | | 0.68% | # ^ I/O | | | 03/10/2044 | | | | 438,741 | |
98,937,891 | | GS Mortgage Securities Corporation, Series 2012-GC6-XA | | | 1.96% | # ^ I/O | | | 01/10/2045 | | | | 7,486,086 | |
| | | | | | | | | | | | | | |
27,263,238 | | GS Mortgage Securities Corporation, Series 2013-GC10-XA | | | 1.59% | # I/O | | | 02/10/2046 | | | | 1,911,183 | |
38,612,004 | | GS Mortgage Securities Corporation, Series 2014-GC20-XA | | | 1.15% | # I/O | | | 04/10/2047 | | | | 2,076,175 | |
60,850,000 | | GS Mortgage Securities Corporation, Series 2014-GC26-A5 | | | 3.63% | | | | 11/10/2047 | | | | 62,842,649 | |
35,000,000 | | GS Mortgage Securities Corporation, Series 2015-GC28-A5 | | | 3.40% | | | | 02/10/2048 | | | | 35,536,561 | |
288,155,858 | | GS Mortgage Securities Corporation, Series 2015-GC28-XA | | | 1.15% | # I/O | | | 02/10/2048 | | | | 16,994,193 | |
251,959,136 | | GS Mortgage Securities Corporation, Series 2015-GC32-XA | | | 0.88% | # I/O | | | 07/10/2048 | | | | 12,411,028 | |
174,839,668 | | GS Mortgage Securities Corporation, Series 2015-GC34-XA | | | 1.37% | # I/O | | | 10/10/2048 | | | | 14,668,052 | |
69,266,403 | | GS Mortgage Securities Corporation, Series 2015-GS1-XA | | | 0.83% | # I/O | | | 11/10/2048 | | | | 3,924,060 | |
55,800,346 | | GS Mortgage Securities Corporation, Series 2016-GS2-XA | | | 1.67% | # I/O | | | 05/10/2049 | | | | 6,070,715 | |
3,500,000 | | GS Mortgage Securities Trust, Series 2015-GC28-C | | | 4.33% | | | | 02/12/2048 | | | | 3,289,768 | |
360,430,717 | | GS Mortgage Securities Trust, Series 2016-GS3-XA | | | 1.28% | # I/O | | | 10/10/2049 | | | | 31,766,093 | |
2,131,062 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2004-CBX-X1 | | | 0.81% | # ^ I/O | | | 01/12/2037 | | | | 41,790 | |
64,426 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2004-LN2-A2 | | | 5.12% | | | | 07/15/2041 | | | | 64,313 | |
4,361,555 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-CIBC12-AJ | | | 4.99% | # | | | 09/12/2037 | | | | 4,369,490 | |
5,806,859 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-LDP4-X1 | | | 0.18% | # ^ I/O | | | 10/15/2042 | | | | 1,829 | |
270,279 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP7-AM | | | 5.94% | # | | | 04/17/2045 | | | | 269,803 | |
9,338,671 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X | | | 0.42% | # I/O | | | 05/15/2045 | | | | 93 | |
30,552,983 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP9-AM | | | 5.37% | | | | 05/15/2047 | | | | 30,528,293 | |
13,098,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-C1-AM | | | 5.99% | # | | | 02/15/2051 | | | | 13,236,794 | |
11,510,260 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AM | | | 5.47% | # | | | 06/12/2047 | | | | 11,535,446 | |
11,229,340 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AMFX | | | 5.40% | | | | 06/12/2047 | | | | 11,253,849 | |
36,959,942 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-X | | | 0.43% | # I/O | | | 06/12/2047 | | | | 66,487 | |
108,977,691 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB19-AM | | | 5.83% | # | | | 02/12/2049 | | | | 109,051,436 | |
35,539,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB20-AJ | | | 6.18% | # | | | 02/12/2051 | | | | 36,405,263 | |
24,769,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB20-AM | | | 5.98% | # | | | 02/12/2051 | | | | 25,128,341 | |
720,214,624 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB20-X1 | | | 0.35% | # ^ I/O | | | 02/12/2051 | | | | 581,501 | |
51,440,330 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-LD12-AM | | | 6.07% | # | | | 02/15/2051 | | | | 52,188,272 | |
340,855 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2009-RR2-GEB | | | 5.54% | ^ | | | 12/13/2049 | | | | 340,477 | |
175,004,134 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C6-XA | | | 1.61% | # I/O | | | 05/15/2045 | | | | 10,916,250 | |
357,250,494 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA | | | 1.93% | # I/O | | | 10/15/2045 | | | | 27,089,733 | |
134,287,981 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA | | | 1.66% | # I/O�� | | | 06/15/2045 | | | | 7,531,770 | |
5,425,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-DSTY-A | | | 3.43% | ^ | | | 06/10/2027 | | | | 5,520,800 | |
6,725,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-INN-C | | | 2.61% | # ^ | | | 06/15/2029 | | | | 6,729,088 | |
7,250,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-INN-D | | | 3.26% | # ^ | | | 06/15/2029 | | | | 7,256,281 | |
24,200,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-PHH-D | | | 3.31% | # ^ | | | 08/15/2027 | | | | 24,208,364 | |
14,406,000 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-PHH-E | | | 4.21% | # ^ | | | 08/15/2027 | | | | 14,414,443 | |
80,250,434 | | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA | | | 1.15% | # I/O | | | 01/15/2049 | | | | 4,619,151 | |
39,057,000 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11-AM | | | 5.84% | # | | | 06/15/2049 | | | | 39,984,834 | |
15,464,205 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM | | | 5.46% | # | | | 01/15/2049 | | | | 15,451,569 | |
17,732,214 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2008-C2-A4 | | | 6.07% | | | | 02/12/2051 | | | | 17,951,065 | |
18,520,000 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-B | | | 3.06% | # ^ | | | 10/15/2034 | | | | 18,635,793 | |
10,455,000 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-C | | | 3.66% | # ^ | | | 10/15/2034 | | | | 10,533,341 | |
4,857,000 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E | | | 4.01% | # ^ | | | 10/05/2031 | | | | 4,756,218 | |
104,580,317 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA | | | 1.07% | # I/O | | | 02/15/2047 | | | | 4,714,742 | |
3,396,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C | | | 4.66% | # | | | 08/15/2047 | | | | 3,387,390 | |
57,451,492 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22-XA | | | 0.94% | # I/O | | | 09/15/2047 | | | | 3,022,856 | |
220,777,205 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA | | | 0.99% | # I/O | | | 11/15/2047 | | | | 11,495,295 | |
32,031,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-A4 | | | 3.49% | | | | 01/15/2048 | | | | 32,816,131 | |
6,499,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C | | | 4.43% | # | | | 01/15/2048 | | | | 6,335,892 | |
255,208,124 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA | | | 1.17% | # I/O | | | 01/15/2048 | | | | 13,655,523 | |
14,055,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-C | | | 4.34% | # | | | 02/15/2048 | | | | 13,214,695 | |
10,425,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D | | | 3.84% | # ^ | | | 02/15/2048 | | | | 8,237,425 | |
58,643,174 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XA | | | 1.37% | # I/O | | | 02/15/2048 | | | | 4,076,287 | |
8,396,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-C | | | 4.24% | | | | 10/19/2048 | | | | 7,789,612 | |
44,427,455 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-XA | | | 1.19% | # I/O | | | 10/15/2048 | | | | 2,570,288 | |
64,388,201 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA | | | 0.94% | # I/O | | | 05/15/2048 | | | | 2,487,831 | |
6,762,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-B | | | 4.31% | # | | | 07/15/2048 | | | | 6,627,494 | |
172,620,740 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA | | | 0.70% | # I/O | | | 07/15/2048 | | | | 6,218,714 | |
27,395,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C | | | 4.67% | # | | | 11/15/2048 | | | | 26,045,391 | |
99,762,558 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA | | | 1.50% | # I/O | | | 11/15/2048 | | | | 6,758,834 | |
17,630,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C | | | 4.62% | # | | | 12/15/2048 | | | | 17,692,347 | |
32,345,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C | | | 4.75% | # | | | 03/15/2049 | | | | 33,374,768 | |
149,327,172 | | JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA | | | 1.71% | # I/O | | | 06/15/2049 | | | | 15,031,243 | |
171,093,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2017-C5-XA | | | 1.18% | # I/O | | | 03/15/2050 | | | | 12,928,514 | |
3,688,000 | | LB Commercial Mortgage Trust, Series 2007-C3-AM | | | 6.05% | # | | | 07/15/2044 | | | | 3,706,399 | |
23,169,000 | | LB Commercial Mortgage Trust, Series 2007-C3-AMB | | | 5.19% | | | | 07/15/2044 | | | | 23,279,887 | |
7,550,000 | | LB Commercial Mortgage Trust, Series 2007-C3-AMFL | | | 6.05% | # ^ | | | 07/15/2044 | | | | 7,596,679 | |
10,663,449 | | LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL | | | 0.49% | # ^ I/O | | | 11/15/2038 | | | | 37,636 | |
45,473,913 | | LB-UBS Commercial Mortgage Trust, Series 2007-C2-AM | | | 5.49% | # | | | 02/15/2040 | | | | 45,497,528 | |
28,126,121 | | LB-UBS Commercial Mortgage Trust, Series 2007-C7-A3 | | | 5.87% | # | | | 09/15/2045 | | | | 28,551,433 | |
28,975,000 | | LB-UBS Commercial Mortgage Trust, Series 2007-C7-AJ | | | 6.25% | # | | | 09/15/2045 | | | | 29,552,373 | |
25,315,400 | | LSTAR Commercial Mortgage Trust, Series 2017-5-X | | | 1.39% | # ^ I/O | | | 03/10/2050 | | | | 1,477,392 | |
96,311,040 | | Merrill Lynch Mortgage Investors Trust, Series 1998-C1-IO | | | 0.56% | # I/O | | | 11/15/2026 | | | | 1,005,969 | |
1,659,408 | | Merrill Lynch Mortgage Trust, Series 2006-C1-AJ | | | 5.44% | # | | | 05/12/2039 | | | | 1,657,821 | |
56,203,000 | | Merrill Lynch Mortgage Trust, Series 2007-C1-AM | | | 5.84% | # | | | 06/12/2050 | | | | 55,310,553 | |
20,665,036 | | ML-CFC Commercial Mortgage Trust, Series 2007-9-A4 | | | 5.70% | | | | 09/12/2049 | | | | 20,856,531 | |
208,444,167 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA | | | 0.92% | # I/O | | | 10/15/2046 | | | | 6,723,367 | |
39,150,962 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA | | | 1.50% | # I/O | | | 02/15/2046 | | | | 2,379,020 | |
11,700,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C | | | 4.49% | # | | | 10/15/2047 | | | | 11,537,115 | |
45,025,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-A4 | | | 3.53% | | | | 12/15/2047 | | | | 46,227,271 | |
| | | | | | | | | | | | | | |
37,950,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C | | | 4.00% | | | | 12/15/2047 | | | | 35,465,376 | |
56,050,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-A4 | | | 3.25% | | | | 02/15/2048 | | | | 56,450,903 | |
20,087,700 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-B | | | 4.16% | | | | 02/15/2048 | | | | 20,231,526 | |
6,457,500 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C | | | 4.46% | # | | | 02/15/2048 | | | | 5,989,150 | |
246,628,720 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA | | | 1.40% | # I/O | | | 02/15/2048 | | | | 18,038,104 | |
10,616,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C | | | 4.14% | # | | | 07/15/2050 | | | | 10,060,732 | |
8,460,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C | | | 4.53% | # | | | 10/15/2048 | | | | 8,610,434 | |
19,422,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C | | | 4.54% | # | | | 12/15/2047 | | | | 18,550,515 | |
1,517,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D | | | 3.24% | # ^ | | | 12/15/2047 | | | | 974,905 | |
175,855,774 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA | | | 1.29% | # I/O | | | 01/15/2049 | | | | 14,559,803 | |
44,680,210 | | Morgan Stanley Capital, Inc., Series 2006-HQ10-X1 | | | 0.19% | # ^ I/O | | | 11/12/2041 | | | | 447 | |
1,786,937 | | Morgan Stanley Capital, Inc., Series 2006-HQ8-AJ | | | 5.40% | # | | | 03/12/2044 | | | | 1,788,932 | |
24,974,797 | | Morgan Stanley Capital, Inc., Series 2007-HQ11-AJ | | | 5.51% | # | | | 02/12/2044 | | | | 24,525,363 | |
977,227 | | Morgan Stanley Capital, Inc., Series 2007-IQ13-AM | | | 5.41% | | | | 03/15/2044 | | | | 975,194 | |
2,575,000 | | Morgan Stanley Capital, Inc., Series 2014-CPT-E | | | 3.45% | # ^ | | | 07/13/2029 | | | | 2,557,309 | |
2,325,000 | | Morgan Stanley Capital, Inc., Series 2014-CPT-F | | | 3.45% | # ^ | | | 07/13/2029 | | | | 2,283,088 | |
12,400,000 | | Morgan Stanley Capital, Inc., Series 2014-MP-D | | | 3.69% | # ^ | | | 08/11/2029 | | | | 12,555,446 | |
11,000,000 | | Morgan Stanley Capital, Inc., Series 2014-MP-E | | | 3.69% | # ^ | | | 08/11/2029 | | | | 10,985,084 | |
28,032,210 | | Morgan Stanley Capital, Inc., Series 2015-UBS8-XA | | | 0.97% | # I/O | | | 12/15/2048 | | | | 1,776,752 | |
11,733,000 | | Morgan Stanley Capital, Inc., Series 2017-A-PRME | | | 2.26% | # ^ | | | 02/15/2034 | | | | 11,684,437 | |
7,708,000 | | Morgan Stanley Capital, Inc., Series 2017-A-PRME | | | 1.81% | # ^ | | | 02/15/2034 | | | | 7,773,173 | |
5,738,000 | | Morgan Stanley Capital, Inc., Series 2017-C-PRME | | | 2.56% | # ^ | | | 02/15/2034 | | | | 5,781,406 | |
1,156,000 | | Morgan Stanley Capital, Inc., Series 2017-PRME-D | | | 4.31% | # ^ | | | 02/15/2034 | | | | 1,162,220 | |
12,529,000 | | Morgan Stanley Re-Remic Trust, Series 2009-GG10-A4B | | | 5.95% | # ^ | | | 08/12/2045 | | | | 12,533,677 | |
33,028,000 | | Morgan Stanley Re-Remic Trust, Series 2010-GG10-A4B | | | 5.95% | # ^ | | | 08/15/2045 | | | | 33,019,277 | |
25,422,290 | | Morgan Stanley Re-Remic Trust, Series 2013-AJ-AJA | | | 0.50% | ^ | | | 12/17/2049 | | | | 24,340,242 | |
2,274,000 | | PFP Ltd., Series 2017-3-A | | | 1.83% | # ^ | | | 01/14/2035 | | | | 2,281,454 | |
2,270,000 | | PFP Ltd., Series 2017-3-AS | | | 2.08% | # ^ | | | 01/14/2035 | | | | 2,284,038 | |
1,306,000 | | PFP Ltd., Series 2017-3-B | | | 2.53% | # ^ | | | 01/14/2035 | | | | 1,315,813 | |
1,360,000 | | PFP Ltd., Series 2017-3-C | | | 3.28% | # ^ | | | 01/14/2035 | | | | 1,372,545 | |
2,482,838 | | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4-AJ | | | 5.47% | # | | | 08/15/2039 | | | | 2,508,161 | |
3,966,470 | | TRU Trust, Series 2016-TOYS-A | | | 3.16% | # ^ | | | 11/15/2030 | | | | 3,983,206 | |
100,058,222 | | UBS-Barclays Commercial Mortgage Trust, Series 2012-C3-XA | | | 2.01% | # ^ I/O | | | 08/10/2049 | | | | 7,375,001 | |
2,487,230 | | VSD LLC, Series 2017-PLT1-A | | | 3.60% | ^ | | | 12/25/2043 | | | | 2,488,155 | |
31,545,121 | | Velocity Commercial Capital Loan Trust, Series 2016-1-AFX | | | 3.53% | # ^ | | | 04/25/2046 | | | | 31,525,990 | |
4,517,121 | | Wachovia Bank Commercial Mortgage Trust, Series 2006-C27-AJ | | | 5.83% | # | | | 07/15/2045 | | | | 4,553,644 | |
56,710,090 | | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28-AJ | | | 5.63% | # | | | 10/15/2048 | | | | 56,922,753 | |
76,605,991 | | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30-AJ | | | 5.41% | # | | | 12/15/2043 | | | | 77,180,268 | |
4,341,681 | | Wachovia Bank Commercial Mortgage Trust, Series 2007-C31-AM | | | 5.59% | # | | | 04/15/2047 | | | | 4,370,225 | |
5,626,722 | | Wachovia Bank Commercial Mortgage Trust, Series 2007-C32-A3 | | | 5.76% | # | | | 06/15/2049 | | | | 5,620,905 | |
8,565,000 | | Wachovia Bank Commercial Mortgage Trust, Series 2007-C32-AMFX | | | 5.70% | ^ | | | 06/15/2049 | | | | 8,661,599 | |
50,726,700 | | Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AJ | | | 6.05% | # | | | 02/15/2051 | | | | 50,913,866 | |
12,989,316 | | Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AM | | | 6.05% | # | | | 02/15/2051 | | | | 13,092,077 | |
130,122,171 | | Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A | | | 4.10% | # ^ | | | 09/14/2022 | | | | 129,960,767 | |
38,265,000 | | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-A5 | | | 3.41% | | | | 12/15/2047 | | | | 38,810,954 | |
4,346,710 | | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B | | | 3.96% | | | | 12/15/2047 | | | | 4,404,146 | |
30,000,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C26-A4 | | | 3.17% | | | | 02/15/2048 | | | | 29,890,446 | |
11,460,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C26-C | | | 4.07% | # | | | 02/15/2048 | | | | 11,185,127 | |
443,976,849 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C26-XA | | | 1.30% | # I/O | | | 02/15/2048 | | | | 32,955,336 | |
28,000,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C27-A5 | | | 3.45% | | | | 02/15/2048 | | | | 28,438,796 | |
264,473,971 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA | | | 0.99% | # I/O | | | 02/15/2048 | | | | 15,007,020 | |
9,701,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C | | | 4.61% | # | | | 11/15/2048 | | | | 9,855,376 | |
144,038,045 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA | | | 1.11% | # I/O | | | 11/15/2048 | | | | 9,870,942 | |
277,425,179 | | Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-XA | | | 1.39% | # I/O | | | 04/15/2050 | | | | 20,845,839 | |
12,000,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C | | | 4.54% | # | | | 09/15/2058 | | | | 12,131,665 | |
1,794,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C | | | 4.60% | # | | | 12/15/2048 | | | | 1,837,396 | |
5,405,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-P2-A4 | | | 3.81% | | | | 12/15/2048 | | | | 5,642,275 | |
130,811,345 | | Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA | | | 1.03% | # I/O | | | 12/15/2048 | | | | 8,062,479 | |
11,469,000 | | Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C | | | 4.72% | # | | | 01/15/2059 | | | | 11,152,840 | |
8,676,000 | | Wells Fargo Commercial Mortgage Trust, Series 2016-C-C34 | | | 5.03% | # | | | 06/15/2049 | | | | 8,937,002 | |
65,811,507 | | WF-RBS Commercial Mortgage Trust, Series 2011-C4-XA | | | 0.41% | # ^ I/O | | | 06/15/2044 | | | | 935,530 | |
90,977,075 | | WF-RBS Commercial Mortgage Trust, Series 2012-C6-XA | | | 2.13% | # ^ I/O | | | 04/15/2045 | | | | 7,169,940 | |
111,646,368 | | WF-RBS Commercial Mortgage Trust, Series 2012-C8-XA | | | 1.98% | # ^ I/O | | | 08/15/2045 | | | | 7,819,790 | |
49,905,985 | | WF-RBS Commercial Mortgage Trust, Series 2012-C9-XA | | | 2.09% | # ^ I/O | | | 11/15/2045 | | | | 3,638,715 | |
163,605,362 | | WF-RBS Commercial Mortgage Trust, Series 2013-C18-XA | | | 0.91% | # I/O | | | 12/15/2046 | | | | 6,098,455 | |
182,371,690 | | WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA | | | 1.22% | # I/O | | | 03/15/2047 | | | | 10,115,428 | |
64,962,064 | | WF-RBS Commercial Mortgage Trust, Series 2014-C24-XA | | | 0.97% | # I/O | | | 11/15/2047 | | | | 3,295,064 | |
55,000,000 | | WF-RBS Commercial Mortgage Trust, Series 2014-C25-A5 | | | 3.63% | | | | 11/15/2047 | | | | 56,630,365 | |
8,000,000 | | WF-RBS Commercial Mortgage Trust, Series 2014-C25-C | | | 4.32% | # | | | 11/15/2047 | | | | 7,970,819 | |
202,839,729 | | WF-RBS Commercial Mortgage Trust, Series 2014-C25-XA | | | 0.93% | # I/O | | | 11/15/2047 | | | | 10,146,916 | |
140,206,916 | | WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA | | | 1.66% | # I/O | | | 11/15/2049 | | | | 14,904,037 | |
| | | | | | | | | | | | | | |
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $3,928,423,694) | | | | | | | | 3,743,171,709 | |
| | | | | | | | | | | | | | |
| | | |
Non-Agency Residential Collateralized Mortgage Obligations - 22.5% | | | | | | | | | | | | |
24,181,339 | | Acacia Ltd., Series 2004-5A-A | | | 1.42% | # ^ | | | 11/08/2039 | | | | 22,433,028 | |
10,000,000 | | Accredited Mortgage Loan Trust, Series 2005-4-MI | | | 1.38% | # | | | 12/25/2035 | | | | 9,137,529 | |
103,157,000 | | Accredited Mortgage Loan Trust, Series 2006-2-A4 | | | 1.24% | # | | | 09/25/2036 | | | | 95,401,698 | |
16,208,785 | | ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2B | | | 1.10% | # | | | 01/25/2037 | | | | 11,476,075 | |
5,807,723 | | Adjustable Rate Mortgage Trust, Series 2005-10-3A31 | | | 3.10% | # | | | 01/25/2036 | | | | 5,100,576 | |
48,356,871 | | Adjustable Rate Mortgage Trust, Series 2005-11-4A1 | | | 3.25% | # | | | 02/25/2036 | | | | 34,515,321 | |
| | | | | | | | | | | | | | |
6,200,000 | | Adjustable Rate Mortgage Trust, Series 2005-2-6M2 | | | 1.96% | # | | | 06/25/2035 | | | | 5,728,989 | |
3,524,035 | | Adjustable Rate Mortgage Trust, Series 2005-7-3A1 | | | 3.62% | # | | | 10/25/2035 | | | | 3,094,011 | |
25,335,451 | | Adjustable Rate Mortgage Trust, Series 2006-1-2A1 | | | 3.66% | # | | | 03/25/2036 | | | | 20,278,873 | |
20,533,472 | | Adjustable Rate Mortgage Trust, Series 2006-2-3A1 | | | 3.49% | # | | | 05/25/2036 | | | | 18,339,896 | |
19,485,592 | | Adjustable Rate Mortgage Trust, Series 2006-2-5A1 | | | 4.35% | # | | | 05/25/2036 | | | | 13,184,051 | |
21,688,715 | | Adjustable Rate Mortgage Trust, Series 2007-1-3A1 | | | 3.71% | # | | | 03/25/2037 | | | | 18,396,782 | |
3,535,815 | | Adjustable Rate Mortgage Trust, Series 2007-3-1A1 | | | 4.25% | # ^ | | | 11/25/2037 | | | | 3,304,148 | |
352,850 | | Aegis Asset Backed Securities Trust, Series 2003-2-M2 | | | 3.53% | # | | | 11/25/2033 | | | | 332,334 | |
1,777,241 | | Aegis Asset Backed Securities Trust, Series 2004-1-M2 | | | 3.01% | # | | | 04/25/2034 | | | | 1,629,983 | |
617,792 | | Aegis Asset Backed Securities Trust, Series 2004-2-M2 | | | 2.93% | # | | | 06/25/2034 | | | | 558,704 | |
16,694,920 | | Aegis Asset Backed Securities Trust, Series 2004-6-M2 | | | 1.98% | # | | | 03/25/2035 | | | | 15,599,208 | |
57,725,898 | | Agate Bay Mortgage Trust, Series 2015-6-A3 | | | 3.50% | # ^ | | | 09/25/2045 | | | | 58,258,073 | |
87,275,316 | | Ajax Master Trust, Series 2016-1-PC | | | 0.00& | # ^ ¥ | | | 01/01/2057 | | | | 77,620,546 | |
92,432,647 | | Ajax Master Trust, Series 2016-2-PC | | | 0.00& | # ^ ¥ | | | 10/25/2056 | | | | 74,381,143 | |
28,712,158 | | Ajax Mortgage Loan Trust, Series 2015-C-A | | | 3.88% | # ^ | | | 03/25/2057 | | | | 28,177,319 | |
57,153,432 | | Ajax Mortgage Loan Trust, Series 2016-A-A | | | 4.25% | # ^ | | | 08/25/2064 | | | | 57,514,567 | |
11,951,410 | | Ajax Mortgage Loan Trust, Series 2016-C-A | | | 4.00% | # ^ | | | 10/25/2057 | | | | 11,924,370 | |
14,719,336 | | Alternative Loan Trust, Series 2006-41CB-1A2 | | | 1.58% | # | | | 01/25/2037 | | | | 9,809,697 | |
14,719,336 | | Alternative Loan Trust, Series 2006-41CB-1A15 | | | 4.42% | # I/O I/F | | | 01/25/2037 | | | | 3,048,432 | |
10,023,837 | | Alternative Loan Trust, Series 2007-15CB-A2 | | | 5.75% | | | | 07/25/2037 | | | | 8,749,322 | |
30,100,820 | | Alternative Loan Trust, Series 2007-5CB-1A31 | | | 5.50% | | | | 04/25/2037 | | | | 25,043,286 | |
10,151,354 | | Alternative Loan Trust, Series 2007-5CB-2A1 | | | 6.00% | | | | 04/25/2037 | | | | 7,940,753 | |
9,500,978 | | Alternative Loan Trust, Series 2007-6-A1 | | | 5.75% | | | | 04/25/2047 | | | | 8,131,306 | |
124,136,803 | | Alternative Loan Trust, Series 2007-HY9-A2 | | | 1.25% | # | | | 08/25/2047 | | | | 102,818,008 | |
2,058,364 | | American Home Mortgage Investment Trust, Series 2005-1-7A2 | | | 3.36% | # | | | 06/25/2045 | | | | 2,058,752 | |
8,508,303 | | American Home Mortgage Investment Trust, Series 2005-4-3A1 | | | 1.28% | # | | | 11/25/2045 | | | | 6,675,767 | |
31,836,638 | | American Home Mortgage Investment Trust, Series 2005-4-5A | | | 3.11% | # | | | 11/25/2045 | | | | 24,128,809 | |
2,345,494 | | American Home Mortgage Investment Trust, Series 2006-2-3A4 | | | 6.60% | # | | | 06/25/2036 | | | | 1,025,420 | |
8,298,356 | | American Home Mortgage Investment Trust, Series 2007-A-13A1 | | | 6.60% | # ^ | | | 01/25/2037 | | | | 4,581,356 | |
16,500,000 | | Ameriquest Mortgage Securities, Inc., Series 2004-R8-M2 | | | 2.00% | # | | | 09/25/2034 | | | | 15,457,578 | |
11,676,373 | | Amortizing Residential Collateral Trust, Series 2002-BC7-M1 | | | 2.18% | # | | | 10/25/2032 | | | | 9,138,260 | |
174,229 | | Argent Securities, Inc., Series 2004-W6-M1 | | | 1.81% | # | | | 05/25/2034 | | | | 168,536 | |
3,621,922 | | Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE6-M1 | | | 1.96% | # | | | 11/25/2033 | | | | 3,498,161 | |
786,387 | | Asset Backed Securities Corporation Home Equity Loan Trust, Series 2004-HE3-M2 | | | 2.66% | # | | | 06/25/2034 | | | | 717,449 | |
8,266,498 | | Banc of America Alternative Loan Trust, Series 2004-8-1CB1 | | | 6.00% | | | | 09/25/2034 | | | | 7,714,865 | |
18,588,542 | | Banc of America Alternative Loan Trust, Series 2005-10-2CB1 | | | 6.00% | | | | 11/25/2035 | | | | 17,651,626 | |
3,185,124 | | Banc of America Alternative Loan Trust, Series 2005-10-4A1 | | | 5.75% | | | | 11/25/2035 | | | | 3,052,161 | |
10,153,488 | | Banc of America Alternative Loan Trust, Series 2005-11-2CB1 | | | 6.00% | | | | 12/25/2035 | | | | 9,676,350 | |
3,506,724 | | Banc of America Alternative Loan Trust, Series 2005-5-2CB1 | | | 6.00% | | | | 06/25/2035 | | | | 3,453,028 | |
5,400,189 | | Banc of America Alternative Loan Trust, Series 2005-6-2CB2 | | | 6.00% | | | | 07/25/2035 | | | | 5,152,326 | |
3,270,246 | | Banc of America Alternative Loan Trust, Series 2005-6-4CB1 | | | 6.50% | | | | 07/25/2035 | | | | 3,102,647 | |
2,091,089 | | Banc of America Alternative Loan Trust, Series 2005-8-2CB1 | | | 6.00% | | | | 09/25/2035 | | | | 2,075,044 | |
9,904,946 | | Banc of America Alternative Loan Trust, Series 2006-1-3CB1 | | | 6.50% | | | | 02/25/2036 | | | | 9,409,274 | |
5,511,487 | | Banc of America Alternative Loan Trust, Series 2006-2-1CB1 | | | 6.00% | | | | 03/25/2036 | | | | 5,393,857 | |
7,286,817 | | Banc of America Alternative Loan Trust, Series 2006-2-3CB1 | | | 6.50% | | | | 03/25/2036 | | | | 6,373,643 | |
5,361,587 | | Banc of America Alternative Loan Trust, Series 2006-3-4CB1 | | | 6.50% | | | | 04/25/2036 | | | | 4,802,133 | |
1,630,929 | | Banc of America Alternative Loan Trust, Series 2006-5-CB14 | | | 6.00% | # | | | 06/25/2046 | | | | 1,456,848 | |
3,402,869 | | Banc of America Alternative Loan Trust, Series 2006-6-CB3 | | | 6.00% | | | | 07/25/2046 | | | | 2,976,900 | |
14,236,036 | | Banc of America Alternative Loan Trust, Series 2006-7-A4 | | | 6.00% | # | | | 10/25/2036 | | | | 8,533,261 | |
5,146,740 | | Banc of America Alternative Loan Trust, Series 2006-8-1A1 | | | 5.52% | #I/F I/O | | | 11/25/2036 | | | | 1,123,224 | |
1,834,268 | | Banc of America Alternative Loan Trust, Series 2006-8-1A2 | | | 1.43% | # | | | 11/25/2036 | | | | 1,260,932 | |
8,401,999 | | Banc of America Alternative Loan Trust, Series 2006-9-1CB1 | | | 6.00% | | | | 01/25/2037 | | | | 7,336,516 | |
1,272,459 | | Banc of America Alternative Loan Trust, Series 2007-2-2A1 | | | 6.00% | | | | 06/25/2037 | | | | 1,092,045 | |
8,357,353 | | Banc of America Funding Corporation, Series 2006-2-3A1 | | | 6.00% | | | | 03/25/2036 | | | | 8,600,563 | |
268,661 | | Banc of America Funding Corporation, Series 2006-2-4A1 | | | 19.85% | #I/F | | | 03/25/2036 | | | | 346,188 | |
1,053,809 | | Banc of America Funding Corporation, Series 2006-2-6A2 | | | 5.50% | | | | 03/25/2036 | | | | 1,036,445 | |
5,535,224 | | Banc of America Funding Corporation, Series 2006-3-1A1 | | | 6.00% | | | | 03/25/2036 | | | | 5,188,720 | |
1,138,010 | | Banc of America Funding Corporation, Series 2006-3-6A1 | | | 6.22% | # | | | 03/25/2036 | | | | 1,148,845 | |
7,495,659 | | Banc of America Funding Corporation, Series 2006-6-1A7 | | | 6.25% | | | | 08/25/2036 | | | | 7,021,177 | |
2,108,588 | | Banc of America Funding Corporation, Series 2006-7-T2A5 | | | 6.04% | # | | | 10/25/2036 | | | | 1,762,289 | |
9,938,415 | | Banc of America Funding Corporation, Series 2006-7-T2A8 | | | 5.91% | # | | | 10/25/2036 | | | | 8,288,135 | |
2,004,594 | | Banc of America Funding Corporation, Series 2006-8T2-A8 | | | 6.10% | # | | | 10/25/2036 | | | | 1,769,573 | |
939,894 | | Banc of America Funding Corporation, Series 2006-B-7A1 | | | 3.56% | # | | | 03/20/2036 | | | | 844,085 | |
12,174,332 | | Banc of America Funding Corporation, Series 2006-D-6A1 | | | 3.75% | # | | | 05/20/2036 | | | | 10,754,922 | |
839,884 | | Banc of America Funding Corporation, Series 2006-G-2A1 | | | 1.20% | # | | | 07/20/2036 | | | | 833,451 | |
410,976 | | Banc of America Funding Corporation, Series 2006-H-3A1 | | | 3.25% | # | | | 09/20/2046 | | | | 331,291 | |
1,401,522 | | Banc of America Funding Corporation, Series 2007-1-TA10 | | | 5.84% | # | | | 01/25/2037 | | | | 1,234,864 | |
1,945,704 | | Banc of America Funding Corporation, Series 2007-3-TA1B | | | 5.83% | # | | | 04/25/2037 | | | | 1,685,499 | |
3,076,268 | | Banc of America Funding Corporation, Series 2007-5-1A1 | | | 5.50% | | | | 07/25/2037 | | | | 2,522,650 | |
3,351,123 | | Banc of America Funding Corporation, Series 2009-R14-3A | | | 14.35% | # ^I/F | | | 06/26/2035 | | | | 3,584,923 | |
5,289,860 | | Banc of America Funding Corporation, Series 2009-R15A-4A2 | | | 5.75% | ^ | | | 12/26/2036 | | | | 5,082,224 | |
1,845,312 | | Banc of America Funding Corporation, Series 2010-R1-3A | | | 13.08% | # ^I/F | | | 07/26/2036 | | | | 1,834,826 | |
796,716 | | Banc of America Mortgage Securities, Inc., Series 2004-K-4A1 | | | 3.27% | # | | | 12/25/2034 | | | | 773,838 | |
4,230,616 | | Banc of America Mortgage Securities, Inc., Series 2006-1-A9 | | | 6.00% | | | | 05/25/2036 | | | | 3,737,182 | |
510,928 | | Banc of America Mortgage Securities, Inc., Series 2007-1-2A5 | | | 5.75% | | | | 01/25/2037 | | | | 444,562 | |
56,624,317 | | Bayview Opportunity Master Fund Trust, Series 2016-B-A | | | 4.25% | # ^ | | | 03/28/2036 | | | | 56,916,288 | |
34,494,766 | | Bayview Opportunity Master Fund Trust, Series 2016-RN3-A1 | | | 3.60% | # ^ | | | 09/29/2031 | | | | 34,528,312 | |
17,610,572 | | Bayview Opportunity Master Fund Trust, Series 2016-RPL4-A1 | | | 3.47% | # ^ | | | 07/28/2018 | | | | 17,531,231 | |
3,942,312 | | BCAP LLC Trust, Series 2007-AA2-2A7 | | | 6.00% | | | | 04/25/2037 | | | | 3,432,128 | |
4,268,046 | | BCAP LLC Trust, Series 2007-AA2-2A8 | | | 5.75% | | | | 04/25/2037 | | | | 3,666,399 | |
| | | | | | | | | | | | | | |
12,733,190 | | BCAP LLC Trust, Series 2008-RR3-A1B | | | 6.66% | # ^ | | | 10/25/2036 | | | | 8,534,548 | |
4,463,064 | | BCAP LLC Trust, Series 2009-RR13-18A2 | | | 5.75% | # ^ | | | 07/26/2037 | | | | 3,863,592 | |
13,418,962 | | BCAP LLC Trust, Series 2009-RR1-3A3 | | | 6.00% | # ^ | | | 08/26/2037 | | | | 14,155,282 | |
6,250,292 | | BCAP LLC Trust, Series 2009-RR4-4A2 | | | 5.75% | ^ | | | 02/26/2036 | | | | 4,912,786 | |
4,909,879 | | BCAP LLC Trust, Series 2010-RR10-5A1 | | | 7.00% | # ^ | | | 04/27/2037 | | | | 5,460,995 | |
9,019,309 | | BCAP LLC Trust, Series 2010-RR12-3A15 | | | 6.00% | # ^ | | | 08/26/2037 | | | | 9,360,145 | |
3,304,550 | | BCAP LLC Trust, Series 2010-RR5-2A3 | | | 6.10% | # ^ | | | 04/26/2037 | | | | 3,403,845 | |
1,072,778 | | BCAP LLC Trust, Series 2011-RR12-2A5 | | | 2.77% | # ^ | | | 12/26/2036 | | | | 1,080,257 | |
8,067,217 | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12-13A1 | | | 3.53% | # | | | 02/25/2036 | | | | 7,785,616 | |
8,714,088 | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4-4A1 | | | 3.30% | # | | | 10/25/2046 | | | | 7,816,539 | |
10,417,412 | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-2A1 | | | 3.38% | # | | | 02/25/2047 | | | | 8,778,765 | |
5,682,144 | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-3A1 | | | 3.52% | # | | | 02/25/2047 | | | | 4,806,542 | |
3,787,767 | | Bear Stearns Alt-A Trust, Series 2004-11-2A3 | | | 3.25% | # | | | 11/25/2034 | | | | 3,729,226 | |
28,669,466 | | Bear Stearns Alt-A Trust, Series 2006-3-21A1 | | | 3.13% | # | | | 05/25/2036 | | | | 21,913,767 | |
13,844,558 | | Bear Stearns Alt-A Trust, Series 2006-6-2A1 | | | 3.40% | # | | | 11/25/2036 | | | | 12,598,541 | |
8,219,236 | | Bear Stearns Asset Backed Securities Trust, Series 2004-AC4-A2 | | | 6.00% | # | | | 08/25/2034 | | | | 8,484,581 | |
22,816,179 | | Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-1A | | | 5.75% | # | | | 04/25/2035 | | | | 22,722,342 | |
6,859,574 | | Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-2A1 | | | 5.75% | # | | | 04/25/2035 | | | | 7,003,415 | |
11,598,762 | | Bear Stearns Asset Backed Securities Trust, Series 2005-AC7-A4 | | | 6.00% | # | | | 10/25/2035 | | | | 11,097,190 | |
14,935,626 | | Bear Stearns Asset Backed Securities Trust, Series 2006-AC1-1A1 | | | 6.25% | # | | | 02/25/2036 | | | | 11,592,640 | |
8,617,925 | | Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1 | | | 6.25% | # | | | 12/25/2036 | | | | 8,373,274 | |
1,975,323 | | Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A2A | | | 6.00% | | | | 10/25/2036 | | | | 1,479,574 | |
1,476,804 | | Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A | | | 6.50% | | | | 10/25/2036 | | | | 1,140,778 | |
4,117,469 | | Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-23A1 | | | 2.83% | # | | | 10/25/2036 | | | | 3,331,202 | |
21,649,848 | | Bear Stearns Mortgage Funding Trust, Series 2006-AR3-2A1 | | | 1.18% | # | | | 11/25/2036 | | | | 18,372,633 | |
1,087,374,177 | | Belle Haven Ltd., Series 2006-1A-A1 | | | 1.25% | # ^ | | | 07/05/2046 | | | | 26,096,980 | |
22,788,531 | | CAM Mortgage Trust, Series 2016-2-A1 | | | 3.25% | # ^ | | | 06/15/2057 | | | | 22,677,770 | |
2,750,000 | | Centex Home Equity, Series 2004-A-AF5 | | | 5.43% | # | | | 01/25/2034 | | | | 2,771,620 | |
1,611,349 | | Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-4-2M1 | | | 1.88% | # | | | 03/25/2033 | | | | 1,554,316 | |
10,047,092 | | Chase Mortgage Finance Trust, Series 2005-A1-2A4 | | | 3.19% | # | | | 12/25/2035 | | | | 9,757,906 | |
14,501,969 | | Chase Mortgage Finance Trust, Series 2006-S2-1A9 | | | 6.25% | | | | 10/25/2036 | | | | 11,989,487 | |
8,195,655 | | Chase Mortgage Finance Trust, Series 2006-S3-1A2 | | | 6.00% | | | | 11/25/2036 | | | | 6,690,659 | |
21,709,663 | | Chase Mortgage Finance Trust, Series 2006-S4-A8 | | | 6.00% | | | | 12/25/2036 | | | | 17,316,878 | |
9,235,783 | | Chase Mortgage Finance Trust, Series 2007-A2-6A4 | | | 3.22% | # | | | 07/25/2037 | | | | 8,855,019 | |
4,155,751 | | Chase Mortgage Finance Trust, Series 2007-S3-1A5 | | | 6.00% | | | | 05/25/2037 | | | | 3,286,339 | |
2,087,156 | | Chase Mortgage Finance Trust, Series 2007-S3-2A1 | | | 5.50% | | | | 05/25/2037 | | | | 1,619,016 | |
4,207,455 | | Chase Mortgage Finance Trust, Series 2007-S5-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 3,477,323 | |
7,013,542 | | ChaseFlex Trust, Series 2005-1-3A1 | | | 6.00% | | | | 02/25/2035 | | | | 6,970,544 | |
1,861,604 | | ChaseFlex Trust, Series 2006-1-A5 | | | 6.16% | # | | | 06/25/2036 | | | | 1,808,582 | |
6,500,069 | | ChaseFlex Trust, Series 2006-2-A2B | | | 1.18% | # | | | 09/25/2036 | | | | 5,343,215 | |
5,592,675 | | ChaseFlex Trust, Series 2007-1-1A1 | | | 6.50% | | | | 02/25/2037 | | | | 4,059,324 | |
12,843,848 | | ChaseFlex Trust, Series 2007-M1-2F4 | | | 4.30% | # | | | 08/25/2037 | | | | 10,746,633 | |
13,358,744 | | ChaseFlex Trust, Series 2007-M1-2F5 | | | 4.30% | # | | | 08/25/2037 | | | | 11,176,341 | |
22,048,721 | | CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1 | | | 3.03% | # | | | 03/25/2037 | | | | 18,911,171 | |
65,959,595 | | CIM Trust, Series 2016-1RR-B2 | | | 12.32% | ^ | | | 07/26/2055 | | | | 57,833,967 | |
75,440,246 | | CIM Trust, Series 2016-2RR-B2 | | | 13.12% | ^ | | | 02/27/2056 | | | | 66,175,897 | |
73,074,681 | | CIM Trust, Series 2016-3RR-B2 | | | 11.38% | ^ | | | 02/27/2056 | | | | 64,110,025 | |
50,188,672 | | CIM Trust, Series 2017-3RR-B2 | | | 16.78% | ^ | | | 01/27/2057 | | | | 55,207,539 | |
8,971,585 | | Citicorp Mortgage Securities, Inc., Series 2005-1-1A4 | | | 5.50% | | | | 02/25/2035 | | | | 9,153,145 | |
1,963,700 | | Citicorp Mortgage Securities, Inc., Series 2006-7-1A1 | | | 6.00% | | | | 12/25/2036 | | | | 1,785,733 | |
6,594,000 | | Citicorp Residential Mortgage Securities, Inc., Series 2006-2-A5 | | | 5.68% | # | | | 09/25/2036 | | | | 6,779,045 | |
33,902,075 | | Citicorp Residential Mortgage Securities, Inc., Series 2007-1-A4 | | | 5.66% | # | | | 03/25/2037 | | | | 35,195,686 | |
2,719,158 | | Citigroup Mortgage Loan Trust, Inc., Series 2005-5-2A2 | | | 5.75% | | | | 08/25/2035 | | | | 2,066,776 | |
1,512,061 | | Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A1 | | | 5.50% | | | | 11/25/2035 | | | | 1,381,441 | |
4,439,093 | | Citigroup Mortgage Loan Trust, Inc., Series 2006-4-2A1A | | | 6.00% | | | | 12/25/2035 | | | | 4,029,312 | |
51,711,977 | | Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1-A1 | | | 1.13% | # ^ | | | 09/25/2036 | | | | 45,661,438 | |
4,175,398 | | Citigroup Mortgage Loan Trust, Inc., Series 2006-FX1-A6 | | | 5.85% | # | | | 10/25/2036 | | | | 3,490,323 | |
2,336,069 | | Citigroup Mortgage Loan Trust, Inc., Series 2006-WF1-A2D | | | 5.13% | # | | | 03/25/2036 | | | | 1,679,999 | |
13,845,960 | | Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2D | | | 6.16% | # | | | 05/25/2036 | | | | 8,309,134 | |
7,580,000 | | Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH3-M1 | | | 1.27% | # | | | 10/25/2036 | | | | 7,277,522 | |
6,473,378 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-10-1A1A | | | 5.57% | # | | | 04/25/2037 | | | | 6,603,546 | |
1,012,688 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-12-2A1 | | | 6.50% | ^ | | | 10/25/2036 | | | | 739,035 | |
318,661 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-2-2A | | | 6.00% | | | | 11/25/2036 | | | | 327,801 | |
29,946,395 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-9-1A1 | | | 5.75% | ^ | | | 04/25/2047 | | | | 23,672,607 | |
1,383,313 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-9-2A2 | | | 6.50% | ^ | | | 05/25/2037 | | | | 1,371,666 | |
98,857,238 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC2-A1 | | | 1.12% | # ^ | | | 01/25/2037 | | | | 80,071,990 | |
5,524,849 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5-1A3A | | | 3.33% | # | | | 04/25/2037 | | | | 5,022,771 | |
5,792,098 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A3A | | | 5.97% | # | | | 01/25/2037 | | | | 3,892,741 | |
12,767,869 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-OXP1-A5A | | | 5.76% | # | | | 01/25/2037 | | | | 8,583,216 | |
18,922,905 | | Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH3-A2 | | | 1.14% | # | | | 06/25/2037 | | | | 18,765,652 | |
20,000,000 | | Citigroup Mortgage Loan Trust, Inc., Series 2008-AR4-1A1B | | | 3.58% | # ^ | | | 11/25/2038 | | | | 20,397,826 | |
10,505,106 | | Citigroup Mortgage Loan Trust, Inc., Series 2010-7-9A4 | | | 6.00% | # ^ | | | 10/25/2037 | | | | 9,886,455 | |
162,622,126 | | Citigroup Mortgage Loan Trust, Inc., Series 2010-8-5A4 | | | 6.00% | # ^ | | | 11/25/2036 | | | | 167,734,868 | |
131,252,715 | | Citigroup Mortgage Loan Trust, Inc., Series 2010-8-6A4 | | | 6.00% | # ^ | | | 12/25/2036 | | | | 132,174,410 | |
105,879,782 | | Citigroup Mortgage Loan Trust, Inc., Series 2010-8-7A4 | | | 6.00% | # ^ | | | 06/25/2037 | | | | 106,125,306 | |
38,378,398 | | Citigroup Mortgage Loan Trust, Inc., Series 2014-J2-A1 | | | 3.50% | # ^ | | | 11/25/2044 | | | | 38,561,233 | |
5,723,009 | | CitiMortgage Alternative Loan Trust, Series 2006-A2-A2 | | | 6.00% | | | | 05/25/2036 | | | | 4,982,324 | |
5,097,061 | | CitiMortgage Alternative Loan Trust, Series 2006-A3-1A13 | | | 6.00% | | | | 07/25/2036 | | | | 4,743,667 | |
3,701,190 | | CitiMortgage Alternative Loan Trust, Series 2006-A4-1A8 | | | 6.00% | | | | 09/25/2036 | | | | 3,429,715 | |
1,270,339 | | CitiMortgage Alternative Loan Trust, Series 2006-A5-2A1 | | | 5.50% | | | | 10/25/2021 | | | | 1,277,473 | |
| | | | | | | | | | | | | | |
3,865,880 | | CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3 | | | 6.00% | | | | 10/25/2036 | | | | 3,211,760 | |
6,517,017 | | CitiMortgage Alternative Loan Trust, Series 2007-A1-1A5 | | | 6.00% | | | | 01/25/2037 | | | | 5,966,905 | |
3,177,477 | | CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7 | | | 6.00% | | | | 01/25/2037 | | | | 2,909,261 | |
8,129,983 | | CitiMortgage Alternative Loan Trust, Series 2007-A1-1A9 | | | 4.42% | #I/F I/O | | | 01/25/2037 | | | | 1,256,608 | |
6,682,280 | | CitiMortgage Alternative Loan Trust, Series 2007-A3-1A1 | | | 6.00% | # | | | 03/25/2037 | | | | 6,023,460 | |
15,378,067 | | CitiMortgage Alternative Loan Trust, Series 2007-A3-1A3 | | | 4.42% | #I/F I/O | | | 03/25/2037 | | | | 2,177,860 | |
6,026,335 | | CitiMortgage Alternative Loan Trust, Series 2007-A3-1A4 | | | 5.75% | | | | 03/25/2037 | | | | 5,349,548 | |
10,931,259 | | CitiMortgage Alternative Loan Trust, Series 2007-A4-1A3 | | | 1.31% | # | | | 04/25/2037 | | | | 7,734,553 | |
10,931,259 | | CitiMortgage Alternative Loan Trust, Series 2007-A4-1A4 | | | 5.69% | #I/F I/O | | | 04/25/2037 | | | | 2,081,169 | |
1,597,104 | | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A11 | | | 6.00% | | | | 05/25/2037 | | | | 1,482,526 | |
21,056,658 | | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A8 | | | 6.00% | | | | 05/25/2037 | | | | 19,546,019 | |
741,433 | | CitiMortgage Alternative Loan Trust, Series 2007-A8-A1 | | | 6.00% | | | | 10/25/2037 | | | | 673,374 | |
10,122,640 | | COLT Funding LLC, Series 2015-1-A1F | | | 4.00% | # ^ | | | 12/26/2045 | | | | 10,097,627 | |
32,133,797 | | Countrywide Alternative Loan Trust, Series 2004-36CB-1A1 | | | 6.00% | | | | 02/25/2035 | | | | 29,636,978 | |
7,684,480 | | Countrywide Alternative Loan Trust, Series 2005-13CB-A3 | | | 5.50% | | | | 05/25/2035 | | | | 7,531,634 | |
5,888,263 | | Countrywide Alternative Loan Trust, Series 2005-20CB-2A1 | | | 1.48% | # | | | 07/25/2035 | | | | 4,480,905 | |
12,021,870 | | Countrywide Alternative Loan Trust, Series 2005-20CB-2A2 | | | 4.02% | #I/F I/O | | | 07/25/2035 | | | | 1,377,194 | |
895,823 | | Countrywide Alternative Loan Trust, Series 2005-20CB-4A1 | | | 5.25% | | | | 07/25/2020 | | | | 878,978 | |
4,403,748 | | Countrywide Alternative Loan Trust, Series 2005-26CB-A11 | | | 11.27% | #I/F | | | 07/25/2035 | | | | 4,516,438 | |
6,086,711 | | Countrywide Alternative Loan Trust, Series 2005-28CB-1A2 | | | 1.73% | # | | | 08/25/2035 | | | | 4,930,370 | |
2,172,276 | | Countrywide Alternative Loan Trust, Series 2005-28CB-3A6 | | | 6.00% | | | | 08/25/2035 | | | | 1,713,566 | |
3,035,296 | | Countrywide Alternative Loan Trust, Series 2005-46CB-A20 | | | 5.50% | | | | 10/25/2035 | | | | 2,868,566 | |
9,656,257 | | Countrywide Alternative Loan Trust, Series 2005-48T1-A2 | | | 5.50% | | | | 11/25/2035 | | | | 8,017,296 | |
3,809,124 | | Countrywide Alternative Loan Trust, Series 2005-54CB-3A4 | | | 5.50% | | | | 11/25/2035 | | | | 3,296,627 | |
36,513,369 | | Countrywide Alternative Loan Trust, Series 2005-57CB-1A1 | | | 5.50% | | | | 12/25/2035 | | | | 33,082,949 | |
731,547 | | Countrywide Alternative Loan Trust, Series 2005-60T1-A7 | | | 28.73% | #I/F | | | 12/25/2035 | | | | 1,041,335 | |
1,144,471 | | Countrywide Alternative Loan Trust, Series 2005-64CB-1A14 | | | 5.50% | | | | 12/25/2035 | | | | 1,096,699 | |
16,610,565 | | Countrywide Alternative Loan Trust, Series 2005-64CB-1A4 | | | 5.50% | | | | 12/25/2035 | | | | 15,917,215 | |
2,727,026 | | Countrywide Alternative Loan Trust, Series 2005-73CB-1A5 | | | 1.78% | # | | | 01/25/2036 | | | | 2,237,511 | |
6,860,633 | | Countrywide Alternative Loan Trust, Series 2005-73CB-1A6 | | | 3.72% | #I/F I/O | | | 01/25/2036 | | | | 667,160 | |
61,603,443 | | Countrywide Alternative Loan Trust, Series 2005-77T1-1A1 | | | 6.00% | | | | 02/25/2036 | | | | 48,453,812 | |
1,518,456 | | Countrywide Alternative Loan Trust, Series 2005-79CB-A5 | | | 5.50% | | | | 01/25/2036 | | | | 1,266,120 | |
40,667,973 | | Countrywide Alternative Loan Trust, Series 2005-85CB-1A1 | | | 6.00% | | | | 02/25/2036 | | | | 31,978,179 | |
3,571,835 | | Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 | | | 18.03% | #I/F | | | 02/25/2036 | | | | 4,278,932 | |
2,038,426 | | Countrywide Alternative Loan Trust, Series 2005-86CB-A5 | | | 5.50% | | | | 02/25/2036 | | | | 1,772,485 | |
3,998,589 | | Countrywide Alternative Loan Trust, Series 2005-J10-1A11 | | | 5.50% | | | | 10/25/2035 | | | | 3,571,958 | |
909,985 | | Countrywide Alternative Loan Trust, Series 2005-J10-1A13 | | | 1.68% | # | | | 10/25/2035 | | | | 701,353 | |
426,277 | | Countrywide Alternative Loan Trust, Series 2005-J10-1A15 | | | 5.50% | | | | 10/25/2035 | | | | 380,795 | |
1,003,341 | | Countrywide Alternative Loan Trust, Series 2005-J11-1A3 | | | 5.50% | | | | 11/25/2035 | | | | 863,840 | |
1,349,304 | | Countrywide Alternative Loan Trust, Series 2005-J11-6A1 | | | 6.50% | | | | 09/25/2032 | | | | 1,309,578 | |
1,326,711 | | Countrywide Alternative Loan Trust, Series 2005-J13-2A5 | | | 1.46% | # | | | 11/25/2035 | | | | 989,568 | |
2,653,421 | | Countrywide Alternative Loan Trust, Series 2005-J13-2A6 | | | 4.04% | #I/F I/O | | | 11/25/2035 | | | | 309,035 | |
3,891,000 | | Countrywide Alternative Loan Trust, Series 2005-J1-5A3 | | | 5.50% | | | | 02/25/2035 | | | | 3,628,138 | |
1,816,345 | | Countrywide Alternative Loan Trust, Series 2005-J1-7A1 | | | 5.50% | | | | 01/25/2020 | | | | 1,821,263 | |
1,252,426 | | Countrywide Alternative Loan Trust, Series 2005-J2-1A5 | | | 1.48% | # | | | 04/25/2035 | | | | 1,022,479 | |
3,853,619 | | Countrywide Alternative Loan Trust, Series 2005-J2-1A6 | | | 4.02% | #I/F I/O | | | 04/25/2035 | | | | 409,598 | |
11,128,560 | | Countrywide Alternative Loan Trust, Series 2005-J3-2A8 | | | 1.28% | # | | | 05/25/2035 | | | | 9,321,458 | |
11,128,560 | | Countrywide Alternative Loan Trust, Series 2005-J3-2A9 | | | 4.22% | #I/F I/O | | | 05/25/2035 | | | | 1,211,799 | |
4,950,251 | | Countrywide Alternative Loan Trust, Series 2006-12CB-A3 | | | 5.75% | # | | | 05/25/2036 | | | | 3,644,843 | |
2,464,164 | | Countrywide Alternative Loan Trust, Series 2006-15CB-A1 | | | 6.50% | | | | 06/25/2036 | | | | 1,925,422 | |
1,637,858 | | Countrywide Alternative Loan Trust, Series 2006-18CB-A12 | | | 1.58% | # | | | 07/25/2036 | | | | 982,470 | |
1,637,858 | | Countrywide Alternative Loan Trust, Series 2006-18CB-A13 | | | 4.52% | #I/F I/O | | | 07/25/2036 | | | | 250,879 | |
8,315,729 | | Countrywide Alternative Loan Trust, Series 2006-19CB-A12 | | | 1.38% | # | | | 08/25/2036 | | | | 5,549,771 | |
11,276,628 | | Countrywide Alternative Loan Trust, Series 2006-19CB-A13 | | | 4.62% | #I/F I/O | | | 08/25/2036 | | | | 1,784,724 | |
1,735,984 | | Countrywide Alternative Loan Trust, Series 2006-19CB-A15 | | | 6.00% | | | | 08/25/2036 | | | | 1,527,437 | |
2,745,017 | | Countrywide Alternative Loan Trust, Series 2006-24CB-A11 | | | 5.75% | | | | 06/25/2036 | | | | 2,307,161 | |
8,034,328 | | Countrywide Alternative Loan Trust, Series 2006-24CB-A14 | | | 6.17% | #I/F I/O | | | 06/25/2036 | | | | 2,043,915 | |
6,442,485 | | Countrywide Alternative Loan Trust, Series 2006-24CB-A22 | | | 6.00% | | | | 06/25/2036 | | | | 5,523,148 | |
6,914,722 | | Countrywide Alternative Loan Trust, Series 2006-24CB-A5 | | | 1.58% | # | | | 06/25/2036 | | | | 4,510,180 | |
2,588,914 | | Countrywide Alternative Loan Trust, Series 2006-26CB-A17 | | | 6.25% | | | | 09/25/2036 | | | | 2,116,242 | |
3,323,092 | | Countrywide Alternative Loan Trust, Series 2006-26CB-A9 | | | 6.50% | | | | 09/25/2036 | | | | 2,779,088 | |
5,272,201 | | Countrywide Alternative Loan Trust, Series 2006-29T1-1A2 | | | 6.25% | | | | 10/25/2036 | | | | 4,254,225 | |
910,874 | | Countrywide Alternative Loan Trust, Series 2006-29T1-2A12 | | | 39.77% | #I/F | | | 10/25/2036 | | | | 1,773,475 | |
557,929 | | Countrywide Alternative Loan Trust, Series 2006-29T1-2A23 | | | 29.11% | #I/F | | | 10/25/2036 | | | | 869,120 | |
5,870,628 | | Countrywide Alternative Loan Trust, Series 2006-30T1-1A2 | | | 6.25% | | | | 11/25/2036 | | | | 5,171,170 | |
4,125,792 | | Countrywide Alternative Loan Trust, Series 2006-32CB-A1 | | | 1.65% | # | | | 11/25/2036 | | | | 2,609,339 | |
6,881,821 | | Countrywide Alternative Loan Trust, Series 2006-32CB-A2 | | | 4.35% | #I/F I/O | | | 11/25/2036 | | | | 1,198,967 | |
7,183,646 | | Countrywide Alternative Loan Trust, Series 2006-36T2-2A1 | | | 6.25% | | | | 12/25/2036 | | | | 5,065,194 | |
2,270,694 | | Countrywide Alternative Loan Trust, Series 2006-39CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 2,181,689 | |
17,907,186 | | Countrywide Alternative Loan Trust, Series 2006-39CB-2A2 | | | 5.57% | #I/F I/O | | | 01/25/2037 | | | | 4,621,035 | |
6,098,242 | | Countrywide Alternative Loan Trust, Series 2006-39CB-2A4 | | | 1.43% | # | | | 01/25/2037 | | | | 1,423,280 | |
3,288,485 | | Countrywide Alternative Loan Trust, Series 2006-40T1-1A11 | | | 6.00% | | | | 01/25/2037 | | | | 2,845,393 | |
5,596,884 | | Countrywide Alternative Loan Trust, Series 2006-40T1-1A4 | | | 4.47% | #I/F I/O | | | 01/25/2037 | | | | 825,515 | |
6,018,493 | | Countrywide Alternative Loan Trust, Series 2006-41CB-1A10 | | | 6.00% | | | | 01/25/2037 | | | | 5,304,295 | |
6,337,603 | | Countrywide Alternative Loan Trust, Series 2006-41CB-1A9 | | | 6.00% | | | | 01/25/2037 | | | | 5,585,537 | |
5,331,298 | | Countrywide Alternative Loan Trust, Series 2006-45T1-1A4 | | | 1.58% | # | | | 02/25/2037 | | | | 2,287,430 | |
5,331,298 | | Countrywide Alternative Loan Trust, Series 2006-45T1-1A5 | | | 4.42% | #I/F I/O | | | 02/25/2037 | | | | 775,710 | |
1,848,585 | | Countrywide Alternative Loan Trust, Series 2006-6CB-1A4 | | | 5.50% | | | | 05/25/2036 | | | | 1,693,026 | |
11,138,041 | | Countrywide Alternative Loan Trust, Series 2006-J1-1A3 | | | 5.50% | | | | 02/25/2036 | | | | 9,767,255 | |
5,489,528 | | Countrywide Alternative Loan Trust, Series 2006-J1-A10 | | | 5.50% | | | | 02/25/2036 | | | | 4,813,918 | |
| | | | | | | | | | | | | | |
2,035,211 | | Countrywide Alternative Loan Trust, Series 2006-J4-2A2 | | | 6.00% | | | | 07/25/2036 | | | | 1,736,610 | |
1,279,567 | | Countrywide Alternative Loan Trust, Series 2007-11T1-A24 | | | 34.01% | #I/F | | | 05/25/2037 | | | | 2,210,915 | |
19,893,339 | | Countrywide Alternative Loan Trust, Series 2007-15CB-A1 | | | 6.00% | | | | 07/25/2037 | | | | 18,063,901 | |
13,364,433 | | Countrywide Alternative Loan Trust, Series 2007-16CB-2A1 | | | 1.43% | # | | | 08/25/2037 | | | | 7,101,127 | |
3,870,006 | | Countrywide Alternative Loan Trust, Series 2007-16CB-2A2 | | | 46.40% | #I/F | | | 08/25/2037 | | | | 7,854,860 | |
7,715,826 | | Countrywide Alternative Loan Trust, Series 2007-16CB-4A7 | | | 6.00% | | | | 08/25/2037 | | | | 7,233,482 | |
11,801,504 | | Countrywide Alternative Loan Trust, Series 2007-17CB-1A10 | | | 25.38% | #I/F | | | 08/25/2037 | | | | 17,228,864 | |
1,840,709 | | Countrywide Alternative Loan Trust, Series 2007-18CB-2A25 | | | 6.00% | | | | 08/25/2037 | | | | 1,657,643 | |
1,125,904 | | Countrywide Alternative Loan Trust, Series 2007-19-1A10 | | | 33.11% | #I/F | | | 08/25/2037 | | | | 2,047,333 | |
16,548,374 | | Countrywide Alternative Loan Trust, Series 2007-19-1A4 | | | 6.00% | | | | 08/25/2037 | | | | 13,683,632 | |
36,984,496 | | Countrywide Alternative Loan Trust, Series 2007-19-2A1 | | | 6.50% | | | | 08/25/2037 | | | | 23,157,547 | |
5,677,590 | | Countrywide Alternative Loan Trust, Series 2007-21CB-2A2 | | | 24.47% | #I/F | | | 09/25/2037 | | | | 7,517,461 | |
26,804,416 | | Countrywide Alternative Loan Trust, Series 2007-22-2A16 | | | 6.50% | | | | 09/25/2037 | | | | 19,113,288 | |
14,447,650 | | Countrywide Alternative Loan Trust, Series 2007-23CB-A3 | | | 1.48% | # | | | 09/25/2037 | | | | 9,165,996 | |
20,504,211 | | Countrywide Alternative Loan Trust, Series 2007-23CB-A4 | | | 5.52% | #I/F I/O | | | 09/25/2037 | | | | 4,705,021 | |
16,761,644 | | Countrywide Alternative Loan Trust, Series 2007-4CB-2A1 | | | 7.00% | | | | 03/25/2037 | | | | 4,799,095 | |
7,557,363 | | Countrywide Alternative Loan Trust, Series 2007-5CB-1A18 | | | 4.67% | #I/F I/O | | | 04/25/2037 | | | | 1,276,258 | |
7,557,363 | | Countrywide Alternative Loan Trust, Series 2007-5CB-1A23 | | | 1.53% | # | | | 04/25/2037 | | | | 4,955,915 | |
6,270,031 | | Countrywide Alternative Loan Trust, Series 2007-6-A4 | | | 5.75% | | | | 04/25/2047 | | | | 5,366,136 | |
521,107 | | Countrywide Alternative Loan Trust, Series 2007-8CB-A12 | | | 34.31% | #I/F | | | 05/25/2037 | | | | 963,898 | |
556,274 | | Countrywide Alternative Loan Trust, Series 2007-8CB-A8 | | | 34.19% | #I/F | | | 05/25/2037 | | | | 1,025,271 | |
802,208 | | Countrywide Alternative Loan Trust, Series 2007-9T1-1A4 | | | 1.48% | # | | | 05/25/2037 | | | | 381,825 | |
802,208 | | Countrywide Alternative Loan Trust, Series 2007-9T1-1A5 | | | 4.52% | #I/F I/O | | | 05/25/2037 | | | | 147,655 | |
21,973,577 | | Countrywide Alternative Loan Trust, Series 2007-9T1-1A6 | | | 6.00% | | | | 05/25/2037 | | | | 15,793,742 | |
2,352,047 | | Countrywide Alternative Loan Trust, Series 2007-9T1-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 1,716,596 | |
574,593 | | Countrywide Alternative Loan Trust, Series 2007-9T1-3A1 | | | 5.50% | | | | 05/25/2022 | | | | 410,454 | |
65,890,241 | | Countrywide Alternative Loan Trust, Series 2007-HY2-1A | | | 3.26% | # | | | 03/25/2047 | | | | 57,782,335 | |
5,064,104 | | Countrywide Alternative Loan Trust, Series 2007-HY5R-2A1B | | | 4.01% | # | | | 03/25/2047 | | | | 5,060,378 | |
3,994,855 | | Countrywide Asset-Backed Certificates, Series 2003-BC6-M1 | | | 1.81% | # | | | 11/25/2033 | | | | 3,856,098 | |
1,375,421 | | Countrywide Asset-Backed Certificates, Series 2005-13-AF3 | | | 4.78% | # | | | 04/25/2036 | | | | 1,200,492 | |
23,200,000 | | Countrywide Asset-Backed Certificates, Series 2005-4-AF5B | | | 4.78% | # | | | 10/25/2035 | | | | 22,985,514 | |
379,096 | | Countrywide Home Loans, Series 2002-32-2A6 | | | 5.00% | | | | 01/25/2018 | | | | 380,192 | |
3,078,482 | | Countrywide Home Loans, Series 2003-60-4A1 | | | 3.44% | # | | | 02/25/2034 | | | | 3,072,199 | |
3,426,386 | | Countrywide Home Loans, Series 2004-R2-1AF1 | | | 1.40% | # ^ | | | 11/25/2034 | | | | 2,995,642 | |
3,333,866 | | Countrywide Home Loans, Series 2004-R2-1AS | | | 5.39% | # ^ I/O | | | 11/25/2034 | | | | 467,937 | |
7,141,565 | | Countrywide Home Loans, Series 2005-20-A5 | | | 5.50% | | | | 10/25/2035 | | | | 6,898,206 | |
5,161,466 | | Countrywide Home Loans, Series 2005-20-A8 | | | 5.25% | | | | 10/25/2035 | | | | 5,028,359 | |
15,247,156 | | Countrywide Home Loans, Series 2005-23-A1 | | | 5.50% | | | | 11/25/2035 | | | | 14,122,623 | |
4,263,588 | | Countrywide Home Loans, Series 2005-24-A8 | | | 5.50% | | | | 11/25/2035 | | | | 3,789,941 | |
1,281,622 | | Countrywide Home Loans, Series 2005-27-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 1,102,478 | |
2,216,977 | | Countrywide Home Loans, Series 2005-28-A7 | | | 5.25% | | | | 01/25/2019 | | | | 1,994,210 | |
26,663,584 | | Countrywide Home Loans, Series 2005-HYB1-4A1 | | | 3.27% | # | | | 03/25/2035 | | | | 24,920,436 | |
3,430,786 | | Countrywide Home Loans, Series 2005-HYB8-1A1 | | | 3.20% | # | | | 12/20/2035 | | | | 2,685,324 | |
4,596,094 | | Countrywide Home Loans, Series 2005-J3-2A4 | | | 4.50% | | | | 09/25/2035 | | | | 4,331,995 | |
3,471,237 | | Countrywide Home Loans, Series 2005-J4-A5 | | | 5.50% | | | | 11/25/2035 | | | | 3,376,985 | |
1,066,153 | | Countrywide Home Loans, Series 2005-R1-1AF1 | | | 1.34% | # ^ | | | 03/25/2035 | | | | 945,394 | |
1,036,767 | | Countrywide Home Loans, Series 2005-R1-1AS | | | 5.44% | # ^ I/O | | | 03/25/2035 | | | | 136,305 | |
7,582,455 | | Countrywide Home Loans, Series 2006-16-2A1 | | | 6.50% | | | | 11/25/2036 | | | | 6,306,064 | |
8,453,975 | | Countrywide Home Loans, Series 2006-1-A2 | | | 6.00% | | | | 03/25/2036 | | | | 7,144,981 | |
3,270,982 | | Countrywide Home Loans, Series 2006-20-1A21 | | | 6.00% | | | | 02/25/2037 | | | | 2,879,966 | |
2,138,751 | | Countrywide Home Loans, Series 2006-J3-A4 | | | 5.50% | | | | 05/25/2036 | | | | 2,150,234 | |
8,813,536 | | Countrywide Home Loans, Series 2007-10-A7 | | | 6.00% | | | | 07/25/2037 | | | | 7,592,916 | |
29,482,649 | | Countrywide Home Loans, Series 2007-11-A1 | | | 6.00% | | | | 08/25/2037 | | | | 24,665,231 | |
17,304,782 | | Countrywide Home Loans, Series 2007-12-A9 | | | 5.75% | | | | 08/25/2037 | | | | 15,679,865 | |
7,679,126 | | Countrywide Home Loans, Series 2007-13-A1 | | | 6.00% | | | | 08/25/2037 | | | | 6,649,498 | |
8,994,655 | | Countrywide Home Loans, Series 2007-13-A110 | | | 6.00% | | | | 08/25/2037 | | | | 7,788,638 | |
9,110,955 | | Countrywide Home Loans, Series 2007-15-1A1 | | | 6.25% | | | | 09/25/2037 | | | | 8,384,895 | |
1,004,678 | | Countrywide Home Loans, Series 2007-15-1A16 | | | 6.25% | | | | 09/25/2037 | | | | 924,615 | |
4,476,974 | | Countrywide Home Loans, Series 2007-15-1A29 | | | 6.25% | | | | 09/25/2037 | | | | 4,109,941 | |
9,646,981 | | Countrywide Home Loans, Series 2007-17-1A2 | | | 6.00% | | | | 10/25/2037 | | | | 9,267,269 | |
1,128,516 | | Countrywide Home Loans, Series 2007-18-1A1 | | | 6.00% | | | | 11/25/2037 | | | | 1,006,126 | |
9,242,824 | | Countrywide Home Loans, Series 2007-3-A1 | | | 6.00% | | | | 04/25/2037 | | | | 7,902,118 | |
3,559,738 | | Countrywide Home Loans, Series 2007-3-A12 | | | 6.00% | | | | 04/25/2037 | | | | 3,043,385 | |
6,695,446 | | Countrywide Home Loans, Series 2007-4-1A39 | | | 6.00% | | | | 05/25/2037 | | | | 5,611,213 | |
3,279,026 | | Countrywide Home Loans, Series 2007-5-A2 | | | 5.75% | | | | 05/25/2037 | | | | 2,924,138 | |
11,729,548 | | Countrywide Home Loans, Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 10,764,531 | |
3,516,118 | | Countrywide Home Loans, Series 2007-7-A2 | | | 5.75% | | | | 06/25/2037 | | | | 3,187,377 | |
9,697,995 | | Countrywide Home Loans, Series 2007-8-1A4 | | | 6.00% | | | | 01/25/2038 | | | | 8,071,946 | |
5,089,473 | | Countrywide Home Loans, Series 2007-8-1A5 | | | 5.44% | | | | 01/25/2038 | | | | 4,063,514 | |
11,816,684 | | Countrywide Home Loans, Series 2007-8-1A9 | | | 6.00% | # | | | 01/25/2038 | | | | 9,835,397 | |
2,071,549 | | Countrywide Home Loans, Series 2007-9-A11 | | | 5.75% | | | | 07/25/2037 | | | | 1,890,191 | |
15,222,154 | | Countrywide Home Loans, Series 2007-HY1-1A1 | | | 3.55% | # | | | 04/25/2037 | | | | 14,631,300 | |
27,399,531 | | Countrywide Home Loans, Series 2007-J1-2A1 | | | 6.00% | | | | 02/25/2037 | | | | 20,266,162 | |
782,219 | | Countrywide Home Loans, Series 2007-J3-A1 | | | 1.48% | # | | | 07/25/2037 | | | | 460,298 | |
3,911,093 | | Countrywide Home Loans, Series 2007-J3-A2 | | | 4.52% | #I/F I/O | | | 07/25/2037 | | | | 540,849 | |
100,000,000 | | Credit Suisse Commercial Mortgage Trust, Series 2017-1A-A | | | 4.50% | ^ | | | 03/25/2021 | | | | 100,305,600 | |
5,255,634 | | Credit Suisse First Boston Mortgage Backed Trust, Series 2006-3-A4B | | | 6.11% | # | | | 11/25/2036 | | | | 2,112,923 | |
3,409,202 | | Credit Suisse First Boston Mortgage Backed Trust, Series 2006-4-A6A | | | 5.68% | # | | | 12/25/2036 | | | | 1,659,786 | |
11,453,093 | | Credit Suisse First Boston Mortgage Backed Trust, Series 2007-1-1A1A | | | 5.90% | # | | | 05/25/2037 | | | | 5,384,270 | |
121,308 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-AR8-2A1 | | | 3.12% | # | | | 09/25/2034 | | | | 120,228 | |
| | | | | | | | | | | | | | |
3,228,145 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A4 | | | 5.50% | | | | 11/25/2035 | | | | 3,093,758 | |
958,185 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5 | | | 5.50% | | | | 11/25/2035 | | | | 918,295 | |
15,639,808 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1 | | | 5.25% | | | | 01/25/2036 | | | | 14,854,210 | |
10,783,393 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-7A1 | | | 7.00% | | | | 01/25/2036 | | | | 4,133,370 | |
6,436,628 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-3A10 | | | 5.50% | | | | 09/25/2035 | | | | 6,119,755 | |
5,465,822 | | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-7A1 | | | 7.00% | | | | 09/25/2035 | | | | 4,052,354 | |
2,801,770 | | Credit Suisse Mortgage Capital Certificates, Series 2005-1R-2A5 | | | 5.75% | ^ | | | 12/26/2035 | | | | 2,525,692 | |
20,822,324 | | Credit Suisse Mortgage Capital Certificates, Series 2006-1-2A1 | | | 6.00% | | | | 02/25/2036 | | | | 14,905,186 | |
3,146,481 | | Credit Suisse Mortgage Capital Certificates, Series 2006-2-3A1 | | | 6.50% | | | | 03/25/2036 | | | | 1,841,518 | |
3,639,854 | | Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A1 | | | 1.68% | # | | | 03/25/2036 | | | | 1,947,941 | |
20,345,112 | | Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A2 | | | 4.32% | #I/F I/O | | | 03/25/2036 | | | | 3,457,589 | |
4,237,858 | | Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A3 | | | 6.25% | | | | 03/25/2036 | | | | 3,207,928 | |
11,469,340 | | Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A4 | | | 6.00% | | | | 03/25/2036 | | | | 8,490,170 | |
5,256,526 | | Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A3 | | | 5.50% | | | | 04/25/2036 | | | | 4,867,398 | |
3,177,704 | | Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A4 | | | 5.50% | | | | 04/25/2036 | | | | 2,950,209 | |
4,493,494 | | Credit Suisse Mortgage Capital Certificates, Series 2006-4-1A8 | | | 6.00% | # | | | 05/25/2036 | | | | 3,820,684 | |
22,560,525 | | Credit Suisse Mortgage Capital Certificates, Series 2006-4-4A1 | | | 7.00% | | | | 05/25/2036 | | | | 10,065,759 | |
15,277,104 | | Credit Suisse Mortgage Capital Certificates, Series 2006-4-6A1 | | | 6.00% | | | | 05/25/2036 | | | | 11,744,704 | |
13,033,336 | | Credit Suisse Mortgage Capital Certificates, Series 2006-6-1A4 | | | 6.00% | | | | 07/25/2036 | | | | 9,723,532 | |
11,385,350 | | Credit Suisse Mortgage Capital Certificates, Series 2006-6-3A1 | | | 7.00% | | | | 07/25/2036 | | | | 3,459,118 | |
321,265 | | Credit Suisse Mortgage Capital Certificates, Series 2006-7-3A11 | | | 6.00% | | | | 08/25/2036 | | | | 266,873 | |
4,609,211 | | Credit Suisse Mortgage Capital Certificates, Series 2006-7-7A5 | | | 6.00% | | | | 08/25/2036 | | | | 4,439,490 | |
8,336,763 | | Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1 | | | 5.50% | | | | 11/25/2036 | | | | 7,784,517 | |
27,298,275 | | Credit Suisse Mortgage Capital Certificates, Series 2006-9-3A1 | | | 6.00% | | | | 11/25/2036 | | | | 25,794,648 | |
7,655,237 | | Credit Suisse Mortgage Capital Certificates, Series 2006-9-4A1 | | | 6.00% | | | | 11/25/2036 | | | | 6,152,672 | |
7,554,632 | | Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14 | | | 6.00% | | | | 11/25/2036 | | | | 7,349,212 | |
1,227,496 | | Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A15 | | | 35.23% | #I/F | | | 11/25/2036 | | | | 2,196,391 | |
11,814,269 | | Credit Suisse Mortgage Capital Certificates, Series 2007-1-1A4 | | | 6.13% | # | | | 02/25/2037 | | | | 5,443,991 | |
10,328,206 | | Credit Suisse Mortgage Capital Certificates, Series 2007-1-3A1 | | | 6.00% | | | | 02/25/2022 | | | | 7,443,322 | |
6,651,311 | | Credit Suisse Mortgage Capital Certificates, Series 2007-1-5A14 | | | 6.00% | | | | 02/25/2037 | | | | 5,686,860 | |
103,560 | | Credit Suisse Mortgage Capital Certificates, Series 2007-2-2A1 | | | 5.00% | | | | 03/25/2037 | | | | 101,830 | |
10,232,254 | | Credit Suisse Mortgage Capital Certificates, Series 2007-3-2A10 | | | 6.00% | | | | 04/25/2037 | | | | 7,979,226 | |
6,741,537 | | Credit Suisse Mortgage Capital Certificates, Series 2007-5-2A5 | | | 5.00% | | | | 08/25/2037 | | | | 6,239,432 | |
52,434,151 | | Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A19 | | | 6.00% | | | | 08/25/2037 | | | | 50,741,372 | |
23,631,277 | | Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A9 | | | 6.00% | | | | 08/25/2037 | | | | 21,742,809 | |
11,870,806 | | Credit Suisse Mortgage Capital Certificates, Series 2008-2R-1A1 | | | 6.00% | ^ | | | 07/25/2037 | | | | 11,153,881 | |
3,927,369 | | Credit Suisse Mortgage Capital Certificates, Series 2009-1R-4A2 | | | 3.43% | # ^ | | | 07/20/2035 | | | | 3,943,262 | |
6,289,123 | | Credit Suisse Mortgage Capital Certificates, Series 2010-13R-1A2 | | | 5.50% | ^ | | | 12/26/2035 | | | | 6,382,930 | |
93,898,000 | | Credit Suisse Mortgage Capital Certificates, Series 2010-17R-6A1 | | | 2.64% | # ^ | | | 06/26/2037 | | | | 96,913,750 | |
23,133,093 | | Credit Suisse Mortgage Capital Certificates, Series 2010-2R-4A17 | | | 6.00% | # ^ | | | 03/26/2037 | | | | 23,063,287 | |
47,120,993 | | Credit Suisse Mortgage Capital Certificates, Series 2010-4R-3A17 | | | 6.00% | # ^ | | | 06/26/2037 | | | | 50,052,659 | |
23,265,060 | | Credit Suisse Mortgage Capital Certificates, Series 2010-4R-8A17 | | | 6.00% | # ^ | | | 06/26/2037 | | | | 21,796,609 | |
5,774,565 | | Credit Suisse Mortgage Capital Certificates, Series 2010-6R-2A6A | | | 6.25% | ^ | | | 07/26/2037 | | | | 5,907,969 | |
17,872,755 | | Credit Suisse Mortgage Capital Certificates, Series 2010-7R-4A17 | | | 6.00% | # ^ | | | 04/26/2037 | | | | 18,072,463 | |
34,618,976 | | Credit Suisse Mortgage Capital Certificates, Series 2010-9R-2A5 | | | 4.00% | ^ | | | 02/27/2038 | | | | 36,186,360 | |
57,373,270 | | Credit Suisse Mortgage Capital Certificates, Series 2013-6-1A1 | | | 2.50% | # ^ | | | 07/25/2028 | | | | 56,425,291 | |
52,325,773 | | Credit Suisse Mortgage Capital Certificates, Series 2013-9R-A1 | | | 3.00% | # ^ | | | 05/27/2043 | | | | 49,872,767 | |
36,117,574 | | Credit Suisse Mortgage Capital Certificates, Series 2013-IVR4-A11 | | | 3.48% | # ^ | | | 07/25/2043 | | | | 35,835,333 | |
25,549,839 | | Credit Suisse Mortgage Capital Certificates, Series 2013-IVR4-A2 | | | 3.00% | # ^ | | | 07/25/2043 | | | | 24,893,632 | |
56,992,521 | | Credit Suisse Mortgage Capital Certificates, Series 2014-CIM1-A3 | | | 2.92% | # ^ | | | 01/25/2058 | | | | 57,390,226 | |
6,948,075 | | Credit Suisse Mortgage Capital Certificates, Series 2014-WIN1-2A4 | | | 3.00% | # ^ | | | 09/25/2044 | | | | 6,866,898 | |
96,268,208 | | Credit Suisse Mortgage Capital Certificates, Series 2015-1-A1 | | | 2.50% | # ^ | | | 01/25/2045 | | | | 93,795,713 | |
141,944,469 | | Credit Suisse Mortgage Capital Certificates, Series 2015-PR2-A1 | | | 4.25% | # ^ | | | 07/26/2055 | | | | 143,601,244 | |
83,947,606 | | Credit Suisse Mortgage Capital Certificates, Series 2015-RPL1-A1 | | | 3.63% | # ^ | | | 02/25/2057 | | | | 84,330,088 | |
93,932,446 | | Credit Suisse Mortgage Capital Certificates, Series 2015-RPL2-A1A | | | 3.75% | # ^ | | | 11/25/2057 | | | | 92,813,729 | |
26,190,187 | | Credit Suisse Mortgage Capital Certificates, Series 2015-RPL3-A1 | | | 3.75% | # ^ | | | 12/25/2056 | | | | 26,245,998 | |
33,582,232 | | Credit Suisse Mortgage Capital Certificates, Series 2016-PR1-A1 | | | 5.10% | # ^ | | | 07/25/2056 | | | | 32,949,503 | |
238,907 | | Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6-A4 | | | 3.78% | # | | | 06/25/2035 | | | | 237,493 | |
9,750,000 | | Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1-A3 | | | 5.83% | # ^ | | | 12/25/2036 | | | | 9,782,148 | |
40,746,000 | | CSMC Mortgage Securities Trust, Series 2017-3R-1A1 | | | 2.98% | ^ | | | 02/27/2047 | | | | 40,746,000 | |
8,745,437 | | CSMLT Trust, Series 2015-1-A9 | | | 3.50% | # ^ | | | 05/25/2045 | | | | 8,826,061 | |
48,038,925 | | CSMLT Trust, Series 2015-2-A7 | | | 3.50% | # ^ | | | 08/25/2045 | | | | 48,481,796 | |
17,535,645 | | CSMLT Trust, Series 2015-3-1A2 | | | 3.50% | # ^ | | | 11/25/2045 | | | | 17,855,441 | |
20,438,673 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-4-A5 | | | 5.50% | # | | | 09/25/2035 | | | | 18,544,204 | |
1,336,491 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-1A6 | | | 28.73% | #I/F | | | 11/25/2035 | | | | 1,893,983 | |
1,363,165 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A1 | | | 1.18% | # | | | 11/25/2035 | | | | 773,676 | |
4,114,180 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A2 | | | 4.32% | #I/F I/O | | | 11/25/2035 | | | | 666,978 | |
14,426,095 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6-2A1 | | | 5.50% | | | | 12/25/2035 | | | | 12,625,910 | |
24,775,466 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-1-1A3A | | | 1.19% | # | | | 08/25/2037 | | | | 23,492,238 | |
35,825,143 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-2-2A1 | | | 1.28% | # | | | 09/25/2047 | | | | 29,562,897 | |
18,629,617 | | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA5-A1B | | | 1.20% | # | | | 08/25/2047 | | | | 15,533,600 | |
1,126,881 | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2-A2 | | | 5.67% | # | | | 06/25/2036 | | | | 937,689 | |
2,188,490 | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A1A | | | 6.01% | # | | | 10/25/2036 | | | | 1,965,291 | |
30,560,441 | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A2 | | | 5.65% | # | | | 10/25/2036 | | | | 27,343,126 | |
2,177,063 | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3 | | | 5.90% | # | | | 10/25/2036 | | | | 1,955,216 | |
3,200,447 | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3A1 | | | 5.90% | # | | | 10/25/2036 | | | | 2,874,316 | |
6,365,334 | | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A6A1 | | | 5.87% | # | | | 10/25/2036 | | | | 5,716,857 | |
16,145,742 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 | | | 11.05% | # ^I/F | | | 04/15/2036 | | | | 17,499,285 | |
6,758,688 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI1 | | | 11.03% | # ^I/F | | | 04/15/2036 | | | | 7,355,909 | |
11,021,902 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2 | | | 13.13% | # ^I/F | | | 04/15/2036 | | | | 12,695,055 | |
| | | | | | | | | | | | | | |
631,096 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI1 | | | 17.04% | # ^I/F | | | 04/15/2036 | | | | 747,767 | |
5,500,286 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI3 | | | 11.49% | # ^I/F | | | 04/15/2036 | | | | 5,698,660 | |
91,080,985 | | Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 | | | 11.05% | # ^I/F | | | 04/15/2036 | | | | 93,326,386 | |
2,541,881 | | Deutsche Mortgage Securities, Inc., Series 2009-RS2-4A2 | | | 0.91% | # ^ | | | 04/26/2037 | | | | 2,554,640 | |
2,451,076 | | First Franklin Mortgage Loan Trust, Series 2006-FF1-2A3 | | | 1.22% | # | | | 01/25/2036 | | | | 2,446,525 | |
11,209,732 | | First Franklin Mortgage Loan Trust, Series 2006-FF3-A2B | | | 1.18% | # | | | 02/25/2036 | | | | 10,936,546 | |
11,551,057 | | First Horizon Alternative Mortgage Securities, Series 2005-AA4-1A1 | | | 3.03% | # | | | 05/25/2035 | | | | 9,584,425 | |
6,545,733 | | First Horizon Alternative Mortgage Securities, Series 2005-FA5-1A4 | | | 5.50% | | | | 08/25/2035 | | | | 5,874,706 | |
9,286,056 | | First Horizon Alternative Mortgage Securities, Series 2005-FA8-1A4 | | | 5.50% | | | | 11/25/2035 | | | | 7,925,950 | |
788,870 | | First Horizon Alternative Mortgage Securities, Series 2005-FA8-2A1 | | | 5.00% | | | | 11/25/2020 | | | | 794,979 | |
7,178,860 | | First Horizon Alternative Mortgage Securities, Series 2005-FA9-A4A | | | 5.50% | | | | 12/25/2035 | | | | 6,161,694 | |
5,249,392 | | First Horizon Alternative Mortgage Securities, Series 2006-AA3-A1 | | | 3.13% | # | | | 06/25/2036 | | | | 4,321,760 | |
4,209,722 | | First Horizon Alternative Mortgage Securities, Series 2006-FA1-1A12 | | | 6.00% | | | | 04/25/2036 | | | | 3,584,641 | |
232,616 | | First Horizon Alternative Mortgage Securities, Series 2006-FA1-1A6 | | | 1.73% | # | | | 04/25/2036 | | | | 225,433 | |
2,750,727 | | First Horizon Alternative Mortgage Securities, Series 2006-FA2-1A5 | | | 6.00% | | | | 05/25/2036 | | | | 2,174,294 | |
771,330 | | First Horizon Alternative Mortgage Securities, Series 2006-FA7-A8 | | | 6.25% | | | | 12/25/2036 | | | | 641,648 | |
3,913,053 | | First Horizon Alternative Mortgage Securities, Series 2006-FA8-1A5 | | | 6.00% | | | | 02/25/2037 | | | | 3,059,152 | |
8,200,727 | | First Horizon Alternative Mortgage Securities, Series 2006-RE1-A1 | | | 5.50% | | | | 05/25/2035 | | | | 7,285,445 | |
23,471,568 | | First Horizon Alternative Mortgage Securities, Series 2007-FA3-A3 | | | 6.00% | | | | 06/25/2037 | | | | 18,572,995 | |
1,207,733 | | First Horizon Alternative Mortgage Securities, Series 2007-FA3-A4 | | | 6.00% | | | | 06/25/2037 | | | | 955,676 | |
1,321,911 | | First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A13 | | | 6.25% | | | | 08/25/2037 | | | | 1,054,137 | |
4,080,839 | | First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A4 | | | 6.25% | | | | 08/25/2037 | | | | 3,254,200 | |
1,917,409 | | First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A5 | | | 6.25% | | | | 08/25/2037 | | | | 1,529,007 | |
2,795,019 | | First Horizon Asset Securities, Inc., Series 2006-1-1A2 | | | 6.00% | | | | 05/25/2036 | | | | 2,567,544 | |
6,413,516 | | First Horizon Asset Securities, Inc., Series 2007-1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 5,638,719 | |
4,516,943 | | First Horizon Asset Securities, Inc., Series 2007-4-1A1 | | | 6.00% | | | | 08/25/2037 | | | | 3,774,194 | |
57,720,250 | | GCAT LLC, Series 2016-1-A1 | | | 4.50% | # ^ | | | 03/25/2021 | | | | 58,105,082 | |
30,000,000 | | GCAT LLC, Series 2017-1-A1 | | | 3.38% | ^ | | | 03/25/2047 | | | | 29,955,000 | |
46,273,000 | | GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2-A2D | | | 1.30% | # | | | 12/25/2035 | | | | 37,128,173 | |
5,621,852 | | GMACM Mortgage Loan Trust, Series 2003-AR1-A5 | | | 3.85% | # | | | 10/19/2033 | | | | 5,690,719 | |
8,256,496 | | GMACM Mortgage Loan Trust, Series 2005-AR5-3A1 | | | 3.63% | # | | | 09/19/2035 | | | | 7,854,013 | |
10,340,582 | | GMACM Mortgage Loan Trust, Series 2005-J1-A14 | | | 5.50% | | | | 12/25/2035 | | | | 9,958,142 | |
44,427,456 | | GreenPoint Mortgage Funding Trust, Series 2005-AR3-2A1 | | | 1.24% | # | | | 08/25/2045 | | | | 28,833,121 | |
1,682,500 | | GS Mortgage Securities Corporation, Series 2008-2R-1A1 | | | 7.50% | # ^ | | | 09/25/2036 | | | | 1,176,247 | |
6,101,482 | | GS Mortgage Securities Corporation, Series 2009-3R-1A2 | | | 6.00% | # ^ | | | 04/25/2037 | | | | 5,751,180 | |
261,857 | | GSAA Home Equity Trust, Series 2005-12-AF3 | | | 5.07% | # | | | 09/25/2035 | | | | 221,481 | |
27,002,838 | | GSAA Home Equity Trust, Series 2005-7-AF3 | | | 4.75% | # | | | 05/25/2035 | | | | 27,236,140 | |
11,440,950 | | GSAA Home Equity Trust, Series 2006-10-AF3 | | | 5.98% | # | | | 06/25/2036 | | | | 5,775,376 | |
8,188,484 | | GSAA Home Equity Trust, Series 2006-10-AF4 | | | 6.30% | # | | | 06/25/2036 | | | | 4,131,398 | |
15,398,967 | | GSAA Home Equity Trust, Series 2006-15-AF4 | | | 5.96% | # | | | 09/25/2036 | | | | 7,941,584 | |
2,618,918 | | GSAA Home Equity Trust, Series 2006-18-AF3A | | | 5.77% | # | | | 11/25/2036 | | | | 1,440,168 | |
5,651,969 | | GSAA Home Equity Trust, Series 2006-18-AF6 | | | 5.68% | # | | | 11/25/2036 | | | | 2,784,186 | |
6,783,378 | | GSAA Home Equity Trust, Series 2007-10-A1A | | | 6.00% | | | | 11/25/2037 | | | | 5,722,711 | |
3,794,226 | | GSAA Home Equity Trust, Series 2007-10-A2A | | | 6.50% | | | | 11/25/2037 | | | | 2,729,005 | |
30,587,956 | | GSAMP Trust, Series 2006-HE6-A3 | | | 1.13% | # | | | 08/25/2036 | | | | 25,087,495 | |
14,683,162 | | GSMPS Mortgage Loan Trust, Series 2005-RP2-1AF | | | 1.33% | # ^ | | | 03/25/2035 | | | | 13,077,311 | |
14,683,162 | | GSMPS Mortgage Loan Trust, Series 2005-RP2-1AS | | | 4.05% | # ^ I/O | | | 03/25/2035 | | | | 1,292,202 | |
8,416,776 | | GSMPS Mortgage Loan Trust, Series 2005-RP3-1AF | | | 1.33% | # ^ | | | 09/25/2035 | | | | 7,256,455 | |
8,416,776 | | GSMPS Mortgage Loan Trust, Series 2005-RP3-1AS | | | 3.88% | # ^ I/O | | | 09/25/2035 | | | | 842,416 | |
32,501,026 | | GSMPS Mortgage Loan Trust, Series 2006-RP1-1AS | | | 3.79% | # ^ I/O | | | 01/25/2036 | | | | 3,522,032 | |
32,501,026 | | GSMPS Mortgage Loan Trust, Series 2006-RP1-AF1 | | | 1.33% | # ^ | | | 01/25/2036 | | | | 27,473,783 | |
9,915,521 | | GSMSC Pass-Through Trust, Series 2009-3R-3A2 | | | 5.75% | # ^ | | | 04/25/2037 | | | | 9,789,084 | |
2,717,721 | | GSR Mortgage Loan Trust, Series 2005-1F-1A2 | | | 5.50% | | | | 02/25/2035 | | | | 2,762,893 | |
5,211,659 | | GSR Mortgage Loan Trust, Series 2005-1F-3A3 | | | 6.00% | | | | 01/25/2035 | | | | 5,269,014 | |
876,613 | | GSR Mortgage Loan Trust, Series 2005-6F-3A5 | | | 6.00% | | | | 07/25/2035 | | | | 892,739 | |
8,559,091 | | GSR Mortgage Loan Trust, Series 2005-6F-3A9 | | | 5.92% | #I/F I/O | | | 07/25/2035 | | | | 1,036,212 | |
789,929 | | GSR Mortgage Loan Trust, Series 2005-6F-4A1 | | | 1.48% | # | | | 07/25/2035 | | | | 635,027 | |
493,700 | | GSR Mortgage Loan Trust, Series 2005-7F-3A1 | | | 1.48% | # | | | 09/25/2035 | | | | 460,394 | |
12,906,623 | | GSR Mortgage Loan Trust, Series 2005-8F-3A5 | | | 6.00% | | | | 11/25/2035 | | | | 10,648,359 | |
4,156,288 | | GSR Mortgage Loan Trust, Series 2005-8F-4A1 | | | 6.00% | | | | 11/25/2035 | | | | 3,754,395 | |
1,416,332 | | GSR Mortgage Loan Trust, Series 2006-1F-1A2 | | | 5.50% | | | | 02/25/2036 | | | | 1,333,012 | |
1,085,216 | | GSR Mortgage Loan Trust, Series 2006-2F-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 1,013,547 | |
4,039,187 | | GSR Mortgage Loan Trust, Series 2006-2F-3A3 | | | 6.00% | | | | 02/25/2036 | | | | 3,310,653 | |
4,850,780 | | GSR Mortgage Loan Trust, Series 2006-2F-3A6 | | | 6.00% | | | | 02/25/2036 | | | | 3,975,861 | |
13,875,774 | | GSR Mortgage Loan Trust, Series 2006-6F-2A3 | | | 6.00% | | | | 07/25/2036 | | | | 11,681,212 | |
6,964,007 | | GSR Mortgage Loan Trust, Series 2006-7F-3A4 | | | 6.25% | | | | 08/25/2036 | | | | 5,117,825 | |
8,248,833 | | GSR Mortgage Loan Trust, Series 2006-9F-2A1 | | | 6.00% | | | | 10/25/2036 | | | | 7,754,158 | |
23,211,480 | | GSR Mortgage Loan Trust, Series 2006-9F-4A1 | | | 6.50% | | | | 10/25/2036 | | | | 19,459,957 | |
121,077 | | GSR Mortgage Loan Trust, Series 2006-9F-8A1 | | | 5.50% | | | | 08/25/2021 | | | | 113,917 | |
5,376,332 | | GSR Mortgage Loan Trust, Series 2006-OA1-2A1 | | | 1.17% | # | | | 08/25/2046 | | | | 5,347,862 | |
1,722,292 | | GSR Mortgage Loan Trust, Series 2007-1F-2A2 | | | 5.50% | | | | 01/25/2037 | | | | 1,663,173 | |
2,965,961 | | GSR Mortgage Loan Trust, Series 2007-4F-1A1 | | | 5.00% | | | | 07/25/2037 | | | | 2,815,222 | |
36,751,338 | | GSR Mortgage Loan Trust, Series 2007-4F-3A11 | | | 6.00% | | | | 07/25/2037 | | | | 33,200,923 | |
2,003,070 | | HarborView Mortgage Loan Trust, Series 2005-14-3A1A | | | 3.44% | # | | | 12/19/2035 | | | | 1,745,901 | |
9,107,422 | | HarborView Mortgage Loan Trust, Series 2006-10-2A1A | | | 1.16% | # | | | 11/19/2036 | | | | 7,587,190 | |
20,468,965 | | HarborView Mortgage Loan Trust, Series 2006-11-A1A | | | 1.15% | # | | | 12/19/2036 | | | | 17,589,313 | |
1,456,761 | | Home Equity Asset Trust, Series 2003-3-M1 | | | 2.27% | # | | | 08/25/2033 | | | | 1,433,694 | |
584,726 | | Home Equity Asset Trust, Series 2004-7-M2 | | | 1.97% | # | | | 01/25/2035 | | | | 536,158 | |
15,000,000 | | Home Equity Loan Trust, Series 2007-FRE1-2AV2 | | | 1.14% | # | | | 04/25/2037 | | | | 14,108,470 | |
1,718,089 | | HomeBanc Mortgage Trust, Series 2005-1-M2 | | | 1.47% | # | | | 03/25/2035 | | | | 1,315,363 | |
| | | | | | | | | | | | | | |
24,819,968 | | HomeBanc Mortgage Trust, Series 2005-3-A1 | | | 1.22% | # | | | 07/25/2035 | | | | 24,539,929 | |
1,955,456 | | HomeBanc Mortgage Trust, Series 2006-1-3A1 | | | 2.89% | # | | | 04/25/2037 | | | | 1,912,403 | |
33,628,809 | | HSI Asset Loan Obligation Trust, Series 2007-2-3A6 | | | 6.00% | | | | 09/25/2037 | | | | 24,899,265 | |
5,126,987 | | HSI Asset Loan Obligation Trust, Series 2007-AR1-3A1 | | | 3.25% | # | | | 01/25/2037 | | | | 4,504,876 | |
1,039,350 | | IMPAC Trust, Series 2002-9F-A1 | | | 5.22% | # | | | 12/25/2032 | | | | 1,045,907 | |
2,533,256 | | IndyMac Mortgage Loan Trust, Series 2006-AR2-1A1 | | | 3.32% | # | | | 09/25/2036 | | | | 2,013,888 | |
6,907,595 | | IndyMac Mortgage Loan Trust, Series 2006-AR2-4A1 | | | 3.27% | # | | | 09/25/2036 | | | | 5,985,299 | |
28,341,549 | | IndyMac Mortgage Loan Trust, Series 2006-AR3-1A1 | | | 3.46% | # | | | 12/25/2036 | | | | 26,365,143 | |
9,321,482 | | IndyMac Mortgage Loan Trust, Series 2006-AR7-3A1 | | | 3.28% | # | | | 05/25/2036 | | | | 7,983,750 | |
5,426,775 | | IndyMac Mortgage Loan Trust, Series 2007-A1-A1 | | | 6.00% | | | | 08/25/2037 | | | | 4,509,076 | |
3,972,823 | | IndyMac Mortgage Loan Trust, Series 2007-A1-A7 | | | 6.00% | | | | 08/25/2037 | | | | 3,300,996 | |
25,002,179 | | IndyMac Mortgage Loan Trust, Series 2007-A3-A1 | | | 6.25% | | | | 11/25/2037 | | | | 20,074,889 | |
13,531,564 | | IndyMac Mortgage Loan Trust, Series 2007-AR1-3A1 | | | 3.36% | # | | | 03/25/2037 | | | | 11,977,994 | |
6,342,556 | | IndyMac Mortgage Loan Trust, Series 2007-AR3-3A1 | | | 4.32% | # | | | 07/25/2037 | | | | 5,771,557 | |
578,140 | | IndyMac Mortgage Loan Trust, Series 2007-F2-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 520,805 | |
27,496,361 | | IndyMac Mortgage Loan Trust, Series 2007-F2-2A1 | | | 6.50% | | | | 07/25/2037 | | | | 18,123,556 | |
1,657,520 | | Jefferies & Company, Inc., Series 2010-R1-1A1 | | | 6.00% | # ^ | | | 03/26/2037 | | | | 1,692,757 | |
8,892,400 | | Jefferies & Company, Inc., Series 2010-R4-1A4 | | | 6.00% | # ^ | | | 10/26/2036 | | | | 9,118,671 | |
14,194,013 | | JP Morgan Alternative Loan Trust, Series 2005-S1-2A11 | | | 6.00% | | | | 12/25/2035 | | | | 12,933,107 | |
4,550,298 | | JP Morgan Alternative Loan Trust, Series 2005-S1-2A9 | | | 6.00% | | | | 12/25/2035 | | | | 4,158,883 | |
4,568,936 | | JP Morgan Alternative Loan Trust, Series 2006-S1-1A8 | | | 5.75% | | | | 03/25/2036 | | | | 3,894,508 | |
15,607,584 | | JP Morgan Alternative Loan Trust, Series 2006-S2-A4 | | | 6.19% | # | | | 05/25/2036 | | | | 12,648,397 | |
5,599,537 | | JP Morgan Alternative Loan Trust, Series 2006-S4-A3A | | | 5.78% | # | | | 12/25/2036 | | | | 5,589,245 | |
26,683,033 | | JP Morgan Alternative Loan Trust, Series 2006-S4-A4 | | | 5.96% | # | | | 12/25/2036 | | | | 23,714,874 | |
12,638,492 | | JP Morgan Mortgage Acquisition Corporation, Series 2006-CH2-AF3 | | | 5.46% | # | | | 10/25/2036 | | | | 9,774,736 | |
4,475,248 | | JP Morgan Mortgage Acquisition Corporation, Series 2006-WF1-A5 | | | 6.41% | # | | | 07/25/2036 | | | | 2,600,232 | |
23,000,000 | | JP Morgan Mortgage Acquisition Corporation, Series 2007-CH1-AF5 | | | 4.99% | # | | | 11/25/2036 | | | | 21,772,580 | |
1,584,404 | | JP Morgan Mortgage Trust, Series 2005-A6-5A1 | | | 3.04% | # | | | 08/25/2035 | | | | 1,479,864 | |
2,237,372 | | JP Morgan Mortgage Trust, Series 2005-S2-2A13 | | | 5.50% | | | | 09/25/2035 | | | | 2,260,660 | |
1,710,808 | | JP Morgan Mortgage Trust, Series 2006-S2-3A3 | | | 6.00% | | | | 07/25/2036 | | | | 1,397,978 | |
5,193,844 | | JP Morgan Mortgage Trust, Series 2006-S3-1A2 | | | 6.00% | | | | 08/25/2036 | | | | 4,274,259 | |
10,256,384 | | JP Morgan Mortgage Trust, Series 2006-S3-1A21 | | | 1.36% | # | | | 08/25/2036 | | | | 4,308,916 | |
10,256,384 | | JP Morgan Mortgage Trust, Series 2006-S3-1A22 | | | 6.14% | #I/F I/O | | | 08/25/2036 | | | | 3,172,692 | |
2,420,140 | | JP Morgan Mortgage Trust, Series 2006-S3-1A9 | | | 6.00% | | | | 08/25/2036 | | | | 1,991,666 | |
9,547,708 | | JP Morgan Mortgage Trust, Series 2006-S4-A8 | | | 1.36% | # | | | 01/25/2037 | | | | 5,324,849 | |
9,547,708 | | JP Morgan Mortgage Trust, Series 2006-S4-A9 | | | 5.64% | #I/F I/O | | | 01/25/2037 | | | | 2,421,390 | |
2,888,102 | | JP Morgan Mortgage Trust, Series 2007-A2-2A1 | | | 3.36% | # | | | 04/25/2037 | | | | 2,590,438 | |
12,589,457 | | JP Morgan Mortgage Trust, Series 2007-S1-2A6 | | | 6.00% | | | | 03/25/2037 | | | | 10,422,830 | |
5,057,410 | | JP Morgan Mortgage Trust, Series 2007-S3-1A1 | | | 5.50% | | | | 08/25/2037 | | | | 4,495,919 | |
8,417,568 | | JP Morgan Mortgage Trust, Series 2007-S3-1A35 | | | 6.00% | | | | 08/25/2037 | | | | 7,495,704 | |
1,426,029 | | JP Morgan Mortgage Trust, Series 2007-S3-1A9 | | | 6.00% | | | | 08/25/2037 | | | | 1,269,637 | |
7,761,426 | | JP Morgan Mortgage Trust, Series 2007-S3-1A96 | | | 6.00% | | | | 08/25/2037 | | | | 6,919,831 | |
8,839,841 | | JP Morgan Mortgage Trust, Series 2007-S3-1A97 | | | 6.00% | | | | 08/25/2037 | | | | 7,882,722 | |
1,230,229 | | JP Morgan Mortgage Trust, Series 2007-S3-2A2 | | | 5.50% | | | | 08/25/2022 | | | | 1,210,055 | |
12,026,934 | | JP Morgan Resecuritization Trust, Series 2009-4-3A2 | | | 6.00% | ^ | | | 02/26/2037 | | | | 10,596,961 | |
21,609,951 | | JP Morgan Resecuritization Trust, Series 2010-1-1A4 | | | 6.00% | ^ | | | 02/26/2037 | | | | 18,910,263 | |
17,093,773 | | JP Morgan Resecuritization Trust, Series 2010-2-3A9 | | | 6.00% | ^ | | | 07/26/2036 | | | | 17,070,421 | |
265,503 | | JP Morgan Resecuritization Trust, Series 2010-8-2A3 | | | 3.23% | # ^ | | | 11/26/2034 | | | | 267,416 | |
1,037 | | JP Morgan Resecuritization Trust, Series 2011-2-7A11 | | | 6.00% | # ^ | | | 04/26/2036 | | | | 1,036 | |
1,331,199 | | JP Morgan Resecuritization Trust, Series 2012-2-3A3 | | | 2.88% | # ^ | | | 10/26/2036 | | | | 1,341,302 | |
4,009,483 | | Lehman Mortgage Trust, Series 2005-2-3A5 | | | 5.50% | | | | 12/25/2035 | | | | 3,543,383 | |
3,631,062 | | Lehman Mortgage Trust, Series 2005-2-5A5 | | | 5.75% | | | | 12/25/2035 | | | | 3,382,449 | |
5,174,314 | | Lehman Mortgage Trust, Series 2005-3-2A1 | | | 6.00% | | | | 01/25/2036 | | | | 4,740,004 | |
440,613 | | Lehman Mortgage Trust, Series 2005-3-2A3 | | | 5.50% | | | | 01/25/2036 | | | | 392,610 | |
2,366,506 | | Lehman Mortgage Trust, Series 2005-3-2A7 | | | 6.00% | | | | 01/25/2036 | | | | 2,167,871 | |
2,117,425 | | Lehman Mortgage Trust, Series 2006-1-1A1 | | | 1.73% | # | | | 02/25/2036 | | | | 1,472,490 | |
6,352,275 | | Lehman Mortgage Trust, Series 2006-1-1A2 | | | 3.77% | #I/F I/O | | | 02/25/2036 | | | | 1,123,042 | |
7,794,144 | | Lehman Mortgage Trust, Series 2006-1-3A1 | | | 1.73% | # | | | 02/25/2036 | | | | 6,414,553 | |
7,794,144 | | Lehman Mortgage Trust, Series 2006-1-3A2 | | | 3.77% | #I/F I/O | | | 02/25/2036 | | | | 670,758 | |
5,021,701 | | Lehman Mortgage Trust, Series 2006-1-3A4 | | | 5.50% | | | | 02/25/2036 | | | | 4,686,278 | |
4,241,142 | | Lehman Mortgage Trust, Series 2006-4-1A3 | | | 4.42% | #I/F I/O | | | 08/25/2036 | | | | 710,965 | |
2,695,578 | | Lehman Mortgage Trust, Series 2006-4-1A4 | | | 6.00% | | | | 08/25/2036 | | | | 2,425,936 | |
7,886,254 | | Lehman Mortgage Trust, Series 2006-5-2A1 | | | 1.33% | # | | | 09/25/2036 | | | | 2,925,113 | |
16,426,982 | | Lehman Mortgage Trust, Series 2006-5-2A2 | | | 6.17% | #I/F I/O | | | 09/25/2036 | | | | 4,999,741 | |
12,660,710 | | Lehman Mortgage Trust, Series 2006-6-3A9 | | | 5.50% | | | | 10/25/2036 | | | | 11,101,476 | |
4,814,915 | | Lehman Mortgage Trust, Series 2006-6-4A5 | | | 6.00% | | | | 12/25/2036 | | | | 4,492,555 | |
4,041,314 | | Lehman Mortgage Trust, Series 2006-7-2A2 | | | 1.43% | # | | | 11/25/2036 | | | | 1,642,207 | |
13,875,534 | | Lehman Mortgage Trust, Series 2006-7-2A5 | | | 5.57% | #I/F I/O | | | 11/25/2036 | | | | 4,076,019 | |
3,459,665 | | Lehman Mortgage Trust, Series 2006-9-1A19 | | | 26.17% | #I/F | | | 01/25/2037 | | | | 4,716,943 | |
3,816,193 | | Lehman Mortgage Trust, Series 2006-9-1A5 | | | 1.58% | # | | | 01/25/2037 | | | | 2,601,547 | |
11,358,937 | | Lehman Mortgage Trust, Series 2006-9-1A6 | | | 4.17% | #I/F I/O | | | 01/25/2037 | | | | 1,551,667 | |
4,967,946 | | Lehman Mortgage Trust, Series 2006-9-2A1 | | | 1.36% | # | | | 01/25/2037 | | | | 2,111,451 | |
9,503,680 | | Lehman Mortgage Trust, Series 2006-9-2A2 | | | 5.64% | #I/F I/O | | | 01/25/2037 | | | | 2,551,514 | |
10,012,857 | | Lehman Mortgage Trust, Series 2007-10-2A1 | | | 6.50% | | | | 01/25/2038 | | | | 7,364,503 | |
3,166,889 | | Lehman Mortgage Trust, Series 2007-2-1A1 | | | 5.75% | | | | 02/25/2037 | | | | 2,754,617 | |
3,475,408 | | Lehman Mortgage Trust, Series 2007-4-2A11 | | | 1.31% | # | | | 05/25/2037 | | | | 1,581,597 | |
14,145,150 | | Lehman Mortgage Trust, Series 2007-4-2A8 | | | 5.69% | #I/F I/O | | | 05/25/2037 | | | | 4,054,894 | |
1,369,066 | | Lehman Mortgage Trust, Series 2007-4-2A9 | | | 1.31% | # | | | 05/25/2037 | | | | 582,388 | |
13,100,596 | | Lehman Mortgage Trust, Series 2007-5-11A1 | | | 5.35% | # | | | 06/25/2037 | | | | 10,170,395 | |
3,821,611 | | Lehman Mortgage Trust, Series 2007-5-3A4 | | | 5.00% | | | | 12/25/2035 | | | | 3,531,069 | |
| | | | | | | | | | | | | | |
1,927,126 | | Lehman Mortgage Trust, Series 2007-5-4A3 | | | 34.19% | #I/F | | | 08/25/2036 | | | | 3,420,961 | |
1,062,675 | | Lehman Mortgage Trust, Series 2007-5-7A3 | | | 7.50% | | | | 10/25/2036 | | | | 885,424 | |
526,603 | | Lehman Mortgage Trust, Series 2007-6-1A8 | | | 6.00% | | | | 07/25/2037 | | | | 470,928 | |
6,057,786 | | Lehman Mortgage Trust, Series 2008-2-1A6 | | | 6.00% | | | | 03/25/2038 | | | | 4,267,912 | |
1,236,230 | | Lehman XS Trust, Series 2005-10-2A3B | | | 5.55% | # | | | 01/25/2036 | | | | 1,172,523 | |
13,773,374 | | Lehman XS Trust, Series 2005-4-2A3A | | | 5.00% | # | | | 10/25/2035 | | | | 12,771,824 | |
1,121,048 | | Lehman XS Trust, Series 2006-5-2A4A | | | 5.89% | # | | | 04/25/2036 | | | | 1,076,304 | |
20,830,635 | | Lehman XS Trust, Series 2007-1-2A1 | | | 5.00% | # | | | 02/25/2037 | | | | 19,549,418 | |
6,053,482 | | Long Beach Mortgage Loan Trust, Series 2006-WL1-2A3 | | | 1.22% | # | | | 01/25/2046 | | | | 5,780,348 | |
4,572,515 | | MASTR Adjustable Rate Mortgages Trust, Series 2005-2-2A1 | | | 3.26% | # | | | 03/25/2035 | | | | 3,582,847 | |
3,820,708 | | MASTR Adjustable Rate Mortgages Trust, Series 2005-6-5A1 | | | 2.91% | # | | | 07/25/2035 | | | | 3,322,431 | |
20,766,727 | | MASTR Adjustable Rate Mortgages Trust, Series 2007-1-2A1 | | | 3.45% | # | | | 11/25/2036 | | | | 18,179,100 | |
1,997,017 | | MASTR Alternative Loans Trust, Series 2005-2-3A1 | | | 6.00% | | | | 03/25/2035 | | | | 1,867,352 | |
560,380 | | MASTR Alternative Loans Trust, Series 2005-5-2A3 | | | 5.50% | | | | 07/25/2025 | | | | 559,836 | |
4,569,396 | | MASTR Alternative Loans Trust, Series 2005-6-1A5 | | | 5.50% | | | | 12/25/2035 | | | | 4,146,487 | |
2,637,889 | | MASTR Alternative Loans Trust, Series 2006-3-1A2 | | | 6.25% | | | | 07/25/2036 | | | | 2,250,408 | |
4,879,309 | | MASTR Alternative Loans Trust, Series 2007-1-1A5 | | | 5.75% | | | | 10/25/2036 | | | | 4,611,106 | |
6,171,344 | | MASTR Alternative Loans Trust, Series 2007-1-2A7 | | | 6.00% | | | | 10/25/2036 | | | | 4,182,310 | |
4,975,000 | | MASTR Asset Backed Securities Trust, Series 2003-OPT1-M3 | | | 5.11% | # | | | 12/25/2032 | | | | 4,944,773 | |
16,841,995 | | MASTR Asset Backed Securities Trust, Series 2006-AM2-A3 | | | 1.15% | # | | | 06/25/2036 | | | | 14,077,528 | |
5,902,256 | | MASTR Asset Securitization Trust, Series 2006-1-1A4 | | | 5.75% | | | | 05/25/2036 | | | | 5,529,016 | |
4,085,649 | | MASTR Asset Securitization Trust, Series 2006-2-1A11 | | | 6.00% | # | | | 06/25/2036 | | | | 3,940,465 | |
76,245 | | MASTR Asset Securitization Trust, Series 2007-1-1A1 | | | 5.50% | | | | 11/25/2037 | | | | 76,836 | |
4,881,119 | | MASTR Asset Securitization Trust, Series 2007-1-1A3 | | | 6.25% | | | | 11/25/2037 | | | | 4,014,878 | |
20,773,148 | | MASTR Resecuritization Trust, Series 2008-4-A1 | | | 6.00% | # ^ | | | 06/27/2036 | | | | 18,905,923 | |
1,978,533 | | MASTR Seasoned Securitization Trust, Series 2005-2-1A4 | | | 6.00% | | | | 10/25/2032 | | | | 1,970,149 | |
1,436,420 | | MASTR Seasoned Securitization Trust, Series 2005-2-2A1 | | | 1.38% | # | | | 10/25/2032 | | | | 1,279,899 | |
23,609,760 | | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A4 | | | 5.70% | #I/F I/O | | | 03/25/2037 | | | | 7,221,881 | |
23,609,760 | | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A5 | | | 1.30% | # | | | 03/25/2037 | | | | 10,554,484 | |
7,212,063 | | Merrill Lynch Mortgage Investors Trust, Series 2006-3-1A | | | 3.20% | # | | | 10/25/2036 | | | | 7,035,001 | |
2,552,589 | | Merrill Lynch Mortgage Investors Trust, Series 2006-F1-1A2 | | | 6.00% | | | | 04/25/2036 | | | | 2,152,694 | |
71,571,069 | | Monterey Ltd., Series 2006-1A-A1A | | | 1.33% | # ^ | | | 09/06/2042 | | | | 5,045,760 | |
282,547,649 | | Monterey Ltd., Series 2006-1A-A1B | | | 1.33% | # ^ | | | 09/06/2042 | | | | 19,919,609 | |
163,480 | | Morgan Stanley Capital, Inc., Series 2003-NC6-M2 | | | 3.91% | # | | | 06/25/2033 | | | | 165,936 | |
1,816,598 | | Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A1 | | | 1.68% | # | | | 12/25/2035 | | | | 1,453,558 | |
4,551,400 | | Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A6 | | | 5.75% | | | | 12/25/2035 | | | | 4,385,839 | |
6,158,254 | | Morgan Stanley Mortgage Loan Trust, Series 2005-10-2A1 | | | 5.51% | # | | | 12/25/2035 | | | | 6,089,316 | |
474,342 | | Morgan Stanley Mortgage Loan Trust, Series 2005-6AR-1A1 | | | 1.26% | # | | | 11/25/2035 | | | | 466,897 | |
6,084,200 | | Morgan Stanley Mortgage Loan Trust, Series 2006-11-1A6 | | | 6.23% | # | | | 08/25/2036 | | | | 2,695,546 | |
12,505,998 | | Morgan Stanley Mortgage Loan Trust, Series 2006-11-2A1 | | | 6.00% | | | | 08/25/2036 | | | | 10,083,092 | |
7,969,545 | | Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A3A | | | 5.65% | # | | | 10/25/2046 | | | | 4,378,204 | |
2,529,627 | | Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A6 | | | 5.58% | # | | | 10/25/2046 | | | | 1,225,710 | |
6,884,702 | | Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A3 | | | 5.75% | | | | 02/25/2036 | | | | 6,556,106 | |
34,374,265 | | Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A | | | 5.13% | # | | | 06/25/2036 | | | | 28,394,102 | |
3,339,356 | | Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A4 | | | 6.00% | | | | 06/25/2036 | | | | 2,989,526 | |
3,380,520 | | Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A7 | | | 6.00% | | | | 06/25/2036 | | | | 3,026,377 | |
4,707,254 | | Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1 | | | 6.00% | | | | 10/25/2037 | | | | 3,961,121 | |
16,815,777 | | Morgan Stanley Mortgage Loan Trust, Series 2007-14AR-2A3 | | | 3.31% | # | | | 10/25/2037 | | | | 14,256,931 | |
4,106,475 | | Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A3 | | | 5.92% | # | | | 09/25/2046 | | | | 1,971,923 | |
2,960,665 | | Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A4A | | | 6.08% | # | | | 09/25/2046 | | | | 1,599,900 | |
1,182,587 | | Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-1A2A | | | 5.62% | # | | | 01/25/2047 | | | | 1,144,833 | |
8,340,147 | | Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A3S | | | 5.86% | # | | | 01/25/2047 | | | | 5,076,414 | |
4,878,199 | | Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A4S | | | 5.96% | # | | | 01/25/2047 | | | | 2,968,812 | |
5,793,299 | | Morgan Stanley Re-Remic Trust, Series 2010-R9-1B | | | 6.00% | # ^ | | | 08/26/2036 | | | | 4,470,481 | |
35,607,996 | | Morgan Stanley Re-Remic Trust, Series 2010-R9-3C | | | 6.00% | # ^ | | | 11/26/2036 | | | | 36,248,136 | |
5,136,455 | | Morgan Stanley Re-Remic Trust, Series 2011-R1-1A | | | 5.94% | # ^ | | | 02/26/2037 | | | | 5,668,843 | |
8,000,000 | | Nationstar HECM Loan Trust, Series 2016-2A-M1 | | | 3.60% | ^ | | | 06/25/2026 | | | | 8,029,192 | |
33,589,250 | | New Century Home Equity Loan Trust, Series 2005-2-M3 | | | 1.72% | # | | | 06/25/2035 | | | | 30,155,878 | |
18,377,116 | | New Residential Mortgage Loan Trust, Series 2014-2A-A3 | | | 3.75% | # ^ | | | 05/25/2054 | | | | 18,863,275 | |
54,122,458 | | New Residential Mortgage Loan Trust, Series 2015-2A-A1 | | | 3.75% | # ^ | | | 08/25/2055 | | | | 55,485,338 | |
918,131 | | New York Mortgage Trust, Series 2005-2-A | | | 1.31% | # | | | 08/25/2035 | | | | 852,721 | |
377,099 | | Nomura Asset Acceptance Corporation, Series 2005-AP1-2A5 | | | 4.86% | # | | | 02/25/2035 | | | | 384,913 | |
17,350,251 | | Nomura Asset Acceptance Corporation, Series 2006-AF1-1A2 | | | 6.16% | # | | | 05/25/2036 | | | | 7,588,692 | |
3,525,881 | | Nomura Asset Acceptance Corporation, Series 2006-AF1-1A3 | | | 6.41% | # | | | 05/25/2036 | | | | 1,541,421 | |
21,033,037 | | Nomura Asset Acceptance Corporation, Series 2006-AP1-A2 | | | 5.52% | # | | | 01/25/2036 | | | | 12,095,576 | |
3,555,026 | | Nomura Asset Acceptance Corporation, Series 2006-AP1-A3 | | | 5.65% | # | | | 01/25/2036 | | | | 2,057,729 | |
1,757,447 | | Nomura Asset Acceptance Corporation, Series 2006-WF1-A2 | | | 5.76% | # | | | 06/25/2036 | | | | 943,569 | |
19,403,825 | | Nomura Home Equity Loan, Inc., Series 2006-AF1-A2 | | | 5.80% | # | | | 10/25/2036 | | | | 9,119,854 | |
3,505,855 | | Nomura Home Equity Loan, Inc., Series 2007-1-1A1 | | | 6.06% | # | | | 02/25/2037 | | | | 1,809,379 | |
17,473,991 | | Nomura Home Equity Loan, Inc., Series 2007-1-1A3 | | | 5.99% | # | | | 02/25/2037 | | | | 9,019,323 | |
55,779,350 | | Oaks Mortgage Trust Series, Series 2015-2-A3 | | | 3.50% | # ^ | | | 10/25/2045 | | | | 56,293,580 | |
1,178,769 | | Option One Mortgage Loan Trust, Series 2004-3-M3 | | | 1.96% | # | | | 11/25/2034 | | | | 1,088,080 | |
13,000,000 | | Park Place Securities, Inc., Series 2005-WHQ4-M2 | | | 1.47% | # | | | 09/25/2035 | | | | 11,944,976 | |
32,465,055 | | PFCA Home Equity Investment Trust, Series 2003-IFC5-A | | | 4.66% | # ^ ¥ | | | 01/22/2035 | | | | 32,568,009 | |
37,715,137 | | PFCA Home Equity Investment Trust, Series 2003-IFC6-A | | | 3.77% | # ^ ¥ | | | 04/22/2035 | | | | 35,123,379 | |
9,244,358 | | PHH Alternative Mortgage Trust, Series 2007-1-1A1 | | | 1.14% | # | | | 02/25/2037 | | | | 7,830,231 | |
26,577,234 | | PHH Alternative Mortgage Trust, Series 2007-2-2A1 | | | 6.00% | | | | 05/25/2037 | | | | 22,922,920 | |
1,220,184 | | PHH Alternative Mortgage Trust, Series 2007-2-3A1 | | | 6.00% | | | | 05/25/2037 | | | | 1,083,708 | |
5,207,403 | | PHH Alternative Mortgage Trust, Series 2007-3-A2 | | | 1.17% | # | | | 07/25/2037 | | | | 5,192,359 | |
254,935,937 | | PR Mortgage Loan Trust, Series 2014-1-APT | | | 5.92% | # | | | 10/25/2049 | | | | 251,657,384 | |
| | | | | | | | | | | | | | |
122,750,000 | | Pretium Mortgage Credit Partners LLC 2017-NPL1-A1 | | | 3.50% | ^ | | | 04/29/2031 | | | | 122,750,000 | |
55,654,831 | | Pretium Mortgage Credit Partners LLC, Series 2016-NPL1-A1 | | | 4.38% | # ^ | | | 02/27/2031 | | | | 56,343,866 | |
78,005,512 | | Pretium Mortgage Credit Partners LLC, Series 2016-NPL2-A1 | | | 4.38% | # ^ | | | 03/27/2031 | | | | 78,738,148 | |
32,675,522 | | Pretium Mortgage Credit Partners LLC, Series 2016-NPL4-A | | | 4.00% | # ^ | | | 07/27/2031 | | | | 32,805,498 | |
59,256,392 | | Pretium Mortgage Credit Partners LLC, Series 2016-NPL5-A | | | 3.88% | # ^ | | | 09/27/2031 | | | | 59,404,960 | |
75,115,210 | | Pretium Mortgage Credit Partners LLC, Series 2016-NPL6-A1 | | | 3.50% | # ^ | | | 10/27/2031 | | | | 75,509,250 | |
12,121,844 | | Prime Mortgage Trust, Series 2006-DR1-2A1 | | | 5.50% | ^ | | | 05/25/2035 | | | | 11,388,064 | |
5,771,968 | | Prime Mortgage Trust, Series 2006-DR1-2A2 | | | 6.00% | ^ | | | 05/25/2035 | | | | 5,453,528 | |
36,731,662 | | RBSGC Structured Trust, Series 2008-B-A1 | | | 6.00% | ^ | | | 06/25/2037 | | | | 31,511,920 | |
4,327,700 | | RCO Mortgage LLC, Series 2016-1-A | | | 4.50% | # | | | 11/25/2047 | | | | 4,343,723 | |
1,253,355 | | Renaissance Home Equity Loan Trust, Series 2006-1-AF6 | | | 5.75% | # | | | 05/25/2036 | | | | 832,949 | |
10,538,573 | | Renaissance Home Equity Loan Trust, Series 2006-4-AF4 | | | 5.47% | # | | | 01/25/2037 | | | | 6,088,124 | |
20,752,596 | | Renaissance Home Equity Loan Trust, Series 2006-4-AF5 | | | 5.69% | # | | | 01/25/2037 | | | | 12,423,940 | |
17,875,584 | | Renaissance Home Equity Loan Trust, Series 2007-2-AF2 | | | 5.68% | # | | | 06/25/2037 | | | | 8,588,029 | |
9,667,703 | | Renaissance Home Equity Loan Trust, Series 2007-2-AF5 | | | 6.20% | # | | | 06/25/2037 | | | | 5,101,969 | |
4,089,199 | | Residential Accredit Loans, Inc., Series 2004-QS15-A1 | | | 5.25% | | | | 11/25/2034 | | | | 4,160,632 | |
43,108,860 | | Residential Accredit Loans, Inc., Series 2005-QA11-4A1 | | | 3.92% | # | | | 10/25/2035 | | | | 35,625,132 | |
23,663,972 | | Residential Accredit Loans, Inc., Series 2005-QA13-2A1 | | | 4.18% | # | | | 12/25/2035 | | | | 20,772,995 | |
15,468,078 | | Residential Accredit Loans, Inc., Series 2005-QA3-CB1 | | | 3.94% | # | | | 03/25/2035 | | | | 9,979,212 | |
600,925 | | Residential Accredit Loans, Inc., Series 2005-QS12-A11 | | | 40.35% | #I/F | | | 08/25/2035 | | | | 925,541 | |
2,597,115 | | Residential Accredit Loans, Inc., Series 2005-QS13-1A6 | | | 5.50% | | | | 09/25/2035 | | | | 2,395,172 | |
5,022,453 | | Residential Accredit Loans, Inc., Series 2005-QS13-2A1 | | | 1.68% | # | | | 09/25/2035 | | | | 3,757,906 | |
20,592,058 | | Residential Accredit Loans, Inc., Series 2005-QS13-2A2 | | | 4.07% | #I/F I/O | | | 09/25/2035 | | | | 2,165,918 | |
10,011,000 | | Residential Accredit Loans, Inc., Series 2005-QS14-2A1 | | | 6.00% | | | | 09/25/2035 | | | | 7,382,512 | |
4,030,022 | | Residential Accredit Loans, Inc., Series 2005-QS15-2A | | | 6.00% | | | | 10/25/2035 | | | | 3,487,571 | |
4,682,291 | | Residential Accredit Loans, Inc., Series 2005-QS15-3A | | | 6.00% | | | | 10/25/2035 | | | | 4,184,992 | |
5,030,810 | | Residential Accredit Loans, Inc., Series 2005-QS16-A1 | | | 1.68% | # | | | 11/25/2035 | | | | 3,743,367 | |
5,029,940 | | Residential Accredit Loans, Inc., Series 2005-QS16-A2 | | | 3.82% | #I/F I/O | | | 11/25/2035 | | | | 585,404 | |
2,347,117 | | Residential Accredit Loans, Inc., Series 2005-QS17-A1 | | | 6.00% | | | | 12/25/2035 | | | | 2,187,226 | |
1,626,431 | | Residential Accredit Loans, Inc., Series 2005-QS17-A10 | | | 6.00% | | | | 12/25/2035 | | | | 1,515,635 | |
6,802,441 | | Residential Accredit Loans, Inc., Series 2005-QS17-A11 | | | 6.00% | | | | 12/25/2035 | | | | 6,339,043 | |
4,834,961 | | Residential Accredit Loans, Inc., Series 2005-QS17-A2 | | | 1.83% | # | | | 12/25/2035 | | | | 3,730,414 | |
4,834,961 | | Residential Accredit Loans, Inc., Series 2005-QS17-A4 | | | 4.17% | #I/F I/O | | | 12/25/2035 | | | | 669,301 | |
3,890,359 | | Residential Accredit Loans, Inc., Series 2005-QS17-A6 | | | 6.00% | | | | 12/25/2035 | | | | 3,625,339 | |
1,084,163 | | Residential Accredit Loans, Inc., Series 2005-QS1-A5 | | | 5.50% | | | | 01/25/2035 | | | | 1,085,270 | |
2,003,672 | | Residential Accredit Loans, Inc., Series 2005-QS5-A3 | | | 5.70% | | | | 04/25/2035 | | | | 2,006,616 | |
1,573,013 | | Residential Accredit Loans, Inc., Series 2005-QS9-A1 | | | 1.48% | # | | | 06/25/2035 | | | | 1,265,560 | |
3,821,894 | | Residential Accredit Loans, Inc., Series 2005-QS9-A4 | | | 4.02% | #I/F I/O | | | 06/25/2035 | | | | 387,957 | |
1,978,646 | | Residential Accredit Loans, Inc., Series 2006-QS10-A4 | | | 5.75% | | | | 08/25/2036 | | | | 1,648,155 | |
12,927,751 | | Residential Accredit Loans, Inc., Series 2006-QS11-1A1 | | | 6.50% | | | | 08/25/2036 | | | | 11,119,763 | |
2,233,436 | | Residential Accredit Loans, Inc., Series 2006-QS12-1A1 | | | 6.50% | | | | 09/25/2036 | | | | 1,566,008 | |
5,174,323 | | Residential Accredit Loans, Inc., Series 2006-QS12-2A18 | | | 5.75% | | | | 09/25/2036 | | | | 4,515,701 | |
8,054,401 | | Residential Accredit Loans, Inc., Series 2006-QS14-A18 | | | 6.25% | | | | 11/25/2036 | | | | 6,734,716 | |
3,944,509 | | Residential Accredit Loans, Inc., Series 2006-QS15-A1 | | | 6.50% | | | | 10/25/2036 | | | | 3,377,783 | |
1,639,027 | | Residential Accredit Loans, Inc., Series 2006-QS16-A10 | | | 6.00% | | | | 11/25/2036 | | | | 1,383,437 | |
5,828,121 | | Residential Accredit Loans, Inc., Series 2006-QS16-A11 | | | 6.00% | | | | 11/25/2036 | | | | 4,919,281 | |
1,701,294 | | Residential Accredit Loans, Inc., Series 2006-QS16-A7 | | | 6.00% | | | | 11/25/2036 | | | | 1,435,993 | |
1,838,449 | | Residential Accredit Loans, Inc., Series 2006-QS16-A8 | | | 6.00% | | | | 11/25/2036 | | | | 1,551,760 | |
727,509 | | Residential Accredit Loans, Inc., Series 2006-QS16-A9 | | | 6.00% | | | | 11/25/2036 | | | | 614,061 | |
3,585,319 | | Residential Accredit Loans, Inc., Series 2006-QS17-A4 | | | 6.00% | | | | 12/25/2036 | | | | 3,044,276 | |
19,918,479 | | Residential Accredit Loans, Inc., Series 2006-QS17-A5 | | | 6.00% | | | | 12/25/2036 | | | | 16,912,679 | |
2,087,919 | | Residential Accredit Loans, Inc., Series 2006-QS1-A6 | | | 35.33% | #I/F | | | 01/25/2036 | | | | 3,520,641 | |
13,914,836 | | Residential Accredit Loans, Inc., Series 2006-QS3-1A11 | | | 6.00% | | | | 03/25/2036 | | | | 12,921,751 | |
3,140,740 | | Residential Accredit Loans, Inc., Series 2006-QS4-A8 | | | 8.00% | #I/F | | | 04/25/2036 | | | | 2,932,954 | |
9,188,518 | | Residential Accredit Loans, Inc., Series 2006-QS5-A3 | | | 6.00% | | | | 05/25/2036 | | | | 7,903,554 | |
27,385,240 | | Residential Accredit Loans, Inc., Series 2006-QS5-A4 | | | 6.00% | | | | 05/25/2036 | | | | 23,667,335 | |
3,478,223 | | Residential Accredit Loans, Inc., Series 2006-QS6-1A16 | | | 6.00% | | | | 06/25/2036 | | | | 2,985,157 | |
5,720,953 | | Residential Accredit Loans, Inc., Series 2006-QS6-1A2 | | | 6.00% | | | | 06/25/2036 | | | | 4,909,961 | |
11,782,290 | | Residential Accredit Loans, Inc., Series 2006-QS8-A1 | | | 6.00% | | | | 08/25/2036 | | | | 9,927,671 | |
20,432,211 | | Residential Accredit Loans, Inc., Series 2006-QS8-A5 | | | 4.57% | #I/F I/O | | | 08/25/2036 | | | | 2,947,442 | |
6,821,012 | | Residential Accredit Loans, Inc., Series 2006-QS9-1A6 | | | 4.32% | #I/F I/O | | | 07/25/2036 | | | | 960,976 | |
6,373,143 | | Residential Accredit Loans, Inc., Series 2007-QS11-A1 | | | 7.00% | | | | 10/25/2037 | | | | 5,389,485 | |
22,342,205 | | Residential Accredit Loans, Inc., Series 2007-QS1-1A2 | | | 4.47% | #I/F I/O | | | 01/25/2037 | | | | 3,490,319 | |
2,248,980 | | Residential Accredit Loans, Inc., Series 2007-QS1-1A4 | | | 6.00% | | | | 01/25/2037 | | | | 1,969,867 | |
5,491,140 | | Residential Accredit Loans, Inc., Series 2007-QS1-2A10 | | | 6.00% | | | | 01/25/2037 | | | | 4,705,650 | |
990,255 | | Residential Accredit Loans, Inc., Series 2007-QS2-A6 | | | 6.25% | | | | 01/25/2037 | | | | 798,935 | |
37,190,507 | | Residential Accredit Loans, Inc., Series 2007-QS3-A1 | | | 6.50% | | | | 02/25/2037 | | | | 30,936,912 | |
5,930,258 | | Residential Accredit Loans, Inc., Series 2007-QS3-A4 | | | 6.25% | | | | 02/25/2037 | | | | 4,848,606 | |
9,320,918 | | Residential Accredit Loans, Inc., Series 2007-QS4-3A3 | | | 6.00% | | | | 03/25/2037 | | | | 8,141,248 | |
4,344,532 | | Residential Accredit Loans, Inc., Series 2007-QS5-A1 | | | 5.50% | | | | 03/25/2037 | | | | 3,476,857 | |
1,792,296 | | Residential Accredit Loans, Inc., Series 2007-QS5-A5 | | | 1.28% | # | | | 03/25/2037 | | | | 1,138,868 | |
5,952,626 | | Residential Accredit Loans, Inc., Series 2007-QS5-A8 | | | 5.72% | #I/F I/O | | | 03/25/2037 | | | | 1,106,843 | |
4,679,898 | | Residential Accredit Loans, Inc., Series 2007-QS6-A102 | | | 5.75% | | | | 04/25/2037 | | | | 4,145,927 | |
1,504,723 | | Residential Accredit Loans, Inc., Series 2007-QS6-A13 | | | 46.82% | #I/F | | | 04/25/2037 | | | | 2,880,471 | |
6,701,247 | | Residential Accredit Loans, Inc., Series 2007-QS6-A45 | | | 5.75% | | | | 04/25/2037 | | | | 5,936,642 | |
10,679,717 | | Residential Accredit Loans, Inc., Series 2007-QS6-A6 | | | 6.25% | | | | 04/25/2037 | | | | 9,641,805 | |
737,614 | | Residential Accredit Loans, Inc., Series 2007-QS6-A77 | | | 47.65% | #I/F | | | 04/25/2037 | | | | 1,432,202 | |
8,819,815 | | Residential Accredit Loans, Inc., Series 2007-QS7-2A1 | | | 6.75% | | | | 06/25/2037 | | | | 5,499,127 | |
36,647,140 | | Residential Accredit Loans, Inc., Series 2007-QS9-A33 | | | 6.50% | | | | 07/25/2037 | | | | 32,568,064 | |
77,236 | | Residential Asset Mortgage Products, Inc., Series 2004-RS4-AI6 | | | 5.07% | # | | | 04/25/2034 | | | | 79,226 | |
| | | | | | | | | | | | | | |
574,202 | | Residential Asset Mortgage Products, Inc., Series 2004-RS5-AI6 | | | 5.55% | # | | | 05/25/2034 | | | | 609,252 | |
5,016,320 | | Residential Asset Mortgage Products, Inc., Series 2004-RS7-A3 | | | 2.86% | # | | | 07/25/2034 | | | | 4,512,891 | |
746,487 | | Residential Asset Mortgage Products, Inc., Series 2004-RS7-AI6 | | | 5.22% | # | | | 07/25/2034 | | | | 721,351 | |
260,510 | | Residential Asset Mortgage Products, Inc., Series 2004-RS9-AI6 | | | 4.72% | # | | | 07/25/2034 | | | | 282,290 | |
5,439,738 | | Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5 | | | 5.41% | # | | | 01/25/2035 | | | | 5,475,245 | |
47,222,894 | | Residential Asset Mortgage Products, Inc., Series 2005-RS9-AI4 | | | 1.30% | # | | | 11/25/2035 | | | | 40,480,036 | |
34,366,151 | | Residential Asset Mortgage Products, Inc., Series 2006-RS2-A3A | | | 1.28% | # | | | 03/25/2036 | | | | 31,998,361 | |
12,760,000 | | Residential Asset Mortgage Products, Inc., Series 2006-RX5-A3 | | | 1.23% | # | | | 08/25/2046 | | | | 11,540,721 | |
12,300,000 | | Residential Asset Mortgage Products, Inc., Series 2006-RZ3-A3 | | | 1.27% | # | | | 08/25/2036 | | | | 11,944,476 | |
177,726 | | Residential Asset Securities Corporation, Series 2002-KS1-AI6 | | | 6.08% | # | | | 06/25/2032 | | | | 192,200 | |
418,844 | | Residential Asset Securities Corporation, Series 2005-AHL3-A2 | | | 1.22% | # | | | 11/25/2035 | | | | 418,305 | |
27,100,365 | | Residential Asset Securities Corporation, Series 2005-KS11-M2 | | | 1.40% | # | | | 12/25/2035 | | | | 25,272,399 | |
9,664,328 | | Residential Asset Securities Corporation, Series 2006-EMX5-A3 | | | 1.14% | # | | | 07/25/2036 | | | | 8,697,695 | |
28,795,338 | | Residential Asset Securities Corporation, Series 2007-KS3-AI3 | | | 1.23% | # | | | 04/25/2037 | | | | 27,694,222 | |
6,476,993 | | Residential Asset Securitization Trust, Series 2005-A11-2A4 | | | 6.00% | | | | 10/25/2035 | | | | 5,087,077 | |
3,732,379 | | Residential Asset Securitization Trust, Series 2005-A12-A7 | | | 4.02% | #I/F I/O | | | 11/25/2035 | | | | 576,434 | |
3,164,375 | | Residential Asset Securitization Trust, Series 2005-A12-A8 | | | 1.53% | # | | | 11/25/2035 | | | | 2,389,245 | |
12,222,980 | | Residential Asset Securitization Trust, Series 2005-A13-2A1 | | | 5.50% | | | | 10/25/2035 | | | | 8,967,442 | |
11,740,871 | | Residential Asset Securitization Trust, Series 2005-A15-5A3 | | | 5.75% | | | | 02/25/2036 | | | | 9,059,696 | |
2,274,261 | | Residential Asset Securitization Trust, Series 2005-A7-A3 | | | 5.50% | | | | 06/25/2035 | | | | 1,949,662 | |
5,932,171 | | Residential Asset Securitization Trust, Series 2005-A8CB-A11 | | | 6.00% | | | | 07/25/2035 | | | | 5,587,676 | |
5,907,251 | | Residential Asset Securitization Trust, Series 2005-A8CB-A2 | | | 4.02% | #I/F I/O | | | 07/25/2035 | | | | 887,837 | |
6,530,334 | | Residential Asset Securitization Trust, Series 2006-A10-A5 | | | 6.50% | | | | 09/25/2036 | | | | 4,783,903 | |
1,012,304 | | Residential Asset Securitization Trust, Series 2006-A1-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 784,435 | |
9,202,378 | | Residential Asset Securitization Trust, Series 2006-A12-A1 | | | 6.25% | | | | 11/25/2036 | | | | 6,579,866 | |
8,866,582 | | Residential Asset Securitization Trust, Series 2006-A13-A1 | | | 6.25% | | | | 12/25/2036 | | | | 5,718,916 | |
17,219,721 | | Residential Asset Securitization Trust, Series 2006-A1-3A2 | | | 6.00% | | | | 04/25/2036 | | | | 12,953,409 | |
16,759,643 | | Residential Asset Securitization Trust, Series 2006-A14C-2A6 | | | 1.43% | # | | | 12/25/2036 | | | | 4,789,304 | |
36,986,017 | | Residential Asset Securitization Trust, Series 2006-A14C-2A7 | | | 5.57% | #I/F I/O | | | 12/25/2036 | | | | 10,991,527 | |
8,371,025 | | Residential Asset Securitization Trust, Series 2006-A2-A11 | | | 6.00% | | | | 01/25/2046 | | | | 6,507,502 | |
5,804,634 | | Residential Asset Securitization Trust, Series 2006-A2-A4 | | | 6.00% | | | | 01/25/2046 | | | | 4,505,617 | |
788,295 | | Residential Asset Securitization Trust, Series 2006-A4-2A5 | | | 6.00% | | | | 05/25/2036 | | | | 743,335 | |
4,903,243 | | Residential Asset Securitization Trust, Series 2006-A8-1A1 | | | 6.00% | | | | 08/25/2036 | | | | 4,324,522 | |
6,892,800 | | Residential Asset Securitization Trust, Series 2006-R1-A1 | | | 24.47% | #I/F | | | 01/25/2046 | | | | 10,495,483 | |
37,624,014 | | Residential Asset Securitization Trust, Series 2007-A2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 33,164,507 | |
1,110,636 | | Residential Asset Securitization Trust, Series 2007-A3-1A2 | | | 38.86% | #I/F | | | 04/25/2037 | | | | 2,181,083 | |
24,479,165 | | Residential Asset Securitization Trust, Series 2007-A5-1A4 | | | 5.12% | #I/F I/O | | | 05/25/2037 | | | | 4,577,969 | |
6,306,336 | | Residential Asset Securitization Trust, Series 2007-A5-1A6 | | | 1.38% | # | | | 05/25/2037 | | | | 1,341,158 | |
7,804,412 | | Residential Asset Securitization Trust, Series 2007-A5-2A3 | | | 6.00% | | | | 05/25/2037 | | | | 6,848,122 | |
3,420,275 | | Residential Asset Securitization Trust, Series 2007-A5-2A5 | | | 6.00% | | | | 05/25/2037 | | | | 3,001,182 | |
14,611,254 | | Residential Asset Securitization Trust, Series 2007-A6-1A2 | | | 6.00% | | | | 06/25/2037 | | | | 13,296,683 | |
10,332,724 | | Residential Asset Securitization Trust, Series 2007-A7-A1 | | | 6.00% | | | | 07/25/2037 | | | | 7,038,701 | |
45,449,955 | | Residential Asset Securitization Trust, Series 2007-A7-A2 | | | 6.00% | | | | 07/25/2037 | | | | 30,960,728 | |
20,137,916 | | Residential Asset Securitization Trust, Series 2007-A7-A6 | | | 6.00% | | | | 07/25/2037 | | | | 13,718,045 | |
869,390 | | Residential Funding Mortgage Securities Trust, Series 2003-S16-A1 | | | 4.75% | | | | 09/25/2018 | | | | 871,799 | |
3,818,571 | | Residential Funding Mortgage Securities Trust, Series 2005-S9-A10 | | | 6.25% | | | | 12/25/2035 | | | | 3,639,332 | |
10,112,489 | | Residential Funding Mortgage Securities Trust, Series 2005-S9-A6 | | | 5.75% | | | | 12/25/2035 | | | | 9,919,989 | |
752,223 | | Residential Funding Mortgage Securities Trust, Series 2005-S9-A8 | | | 5.50% | | | | 12/25/2035 | | | | 722,330 | |
13,104,651 | | Residential Funding Mortgage Securities Trust, Series 2006-S10-1A1 | | | 6.00% | | | | 10/25/2036 | | | | 12,571,937 | |
22,596,723 | | Residential Funding Mortgage Securities Trust, Series 2006-S11-A1 | | | 6.00% | | | | 11/25/2036 | | | | 21,031,208 | |
4,136,704 | | Residential Funding Mortgage Securities Trust, Series 2006-S5-A12 | | | 6.00% | | | | 06/25/2036 | | | | 3,957,399 | |
283,216 | | Residential Funding Mortgage Securities Trust, Series 2006-S5-A15 | | | 6.00% | | | | 06/25/2036 | | | | 270,940 | |
7,348,353 | | Residential Funding Mortgage Securities Trust, Series 2006-S9-A1 | | | 6.25% | | | | 09/25/2036 | | | | 6,783,060 | |
5,478,681 | | Residential Funding Mortgage Securities Trust, Series 2007-S1-A7 | | | 6.00% | | | | 01/25/2037 | | | | 5,205,817 | |
4,964,123 | | Residential Funding Mortgage Securities Trust, Series 2007-S2-A1 | | | 6.00% | | | | 02/25/2037 | | | | 4,648,913 | |
5,592,631 | | Residential Funding Mortgage Securities Trust, Series 2007-S2-A4 | | | 6.00% | | | | 02/25/2037 | | | | 5,237,512 | |
10,440,803 | | Residential Funding Mortgage Securities Trust, Series 2007-S2-A5 | | | 6.00% | | | | 02/25/2037 | | | | 9,777,836 | |
1,631,549 | | Residential Funding Mortgage Securities Trust, Series 2007-S2-A9 | | | 6.00% | | | | 02/25/2037 | | | | 1,527,950 | |
4,714,304 | | Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4 | | | 6.00% | | | | 03/25/2037 | | | | 4,220,102 | |
1,522,428 | | Residential Funding Mortgage Securities Trust, Series 2007-S4-A1 | | | 6.00% | | | | 04/25/2037 | | | | 1,355,513 | |
4,064,082 | | Residential Funding Mortgage Securities Trust, Series 2007-S4-A2 | | | 6.00% | | | | 04/25/2037 | | | | 3,618,506 | |
33,452,462 | | Residential Funding Mortgage Securities Trust, Series 2007-S5-A1 | | | 6.00% | | | | 05/25/2037 | | | | 31,291,858 | |
9,694,656 | | Residential Funding Mortgage Securities Trust, Series 2007-S5-A8 | | | 6.00% | | | | 05/25/2037 | | | | 9,068,504 | |
5,196,291 | | Residential Funding Mortgage Securities Trust, Series 2007-S6-2A4 | | | 6.00% | | | | 06/25/2037 | | | | 4,809,754 | |
27,241,495 | | Residential Funding Mortgage Securities Trust, Series 2007-S7-A20 | | | 6.00% | | | | 07/25/2037 | | | | 25,239,466 | |
11,984,463 | | Residential Funding Mortgage Securities Trust, Series 2007-S8-1A1 | | | 6.00% | | | | 09/25/2037 | | | | 10,631,820 | |
3,243,998 | | Residential Funding Mortgage Securities Trust, Series 2007-SA1-4A | | | 4.75% | # | | | 02/25/2037 | | | | 2,735,610 | |
11,049,530 | | Residential Funding Mortgage Securities Trust, Series 2007-SA2-2A1 | | | 3.91% | # | | | 04/25/2037 | | | | 10,153,353 | |
34,948,463 | | RMAT LLC, Series 2015-PR2-A1 | | | 5.85% | # ^ | | | 11/25/2035 | | | | 34,832,105 | |
50,413,602 | | Saxon Asset Securities Trust, Series 2006-3-A3 | | | 1.15% | # | | | 10/25/2046 | | | | 43,031,604 | |
372,044,017 | | Securitized Mortgage Asset Loan Trust, Series 2015-1-PC | | | 1.89% | ^ ¥ | | | 02/25/2054 | | | | 281,995,302 | |
74,352,576 | | Securitized Mortgage Asset Loan Trust, Series 2015-2-PC | | | 0.00% | ^ ¥ | | | 12/26/2059 | | | | 67,879,069 | |
118,507,329 | | Securitized Mortgage Asset Loan Trust, Series 2015-3-PC | | | 0.00% | ^ ¥ | | | 10/25/2044 | | | | 109,092,870 | |
240,596 | | Sequoia Mortgage Trust, Series 2003-4-2A1 | | | 1.33% | # | | | 07/20/2033 | | | | 226,810 | |
10,754,534 | | Sequoia Mortgage Trust, Series 2013-2-A | | | 1.87% | # | | | 02/25/2043 | | | | 10,291,422 | |
12,637,175 | | Sequoia Mortgage Trust, Series 2013-6-A2 | | | 3.00% | # | | | 05/25/2043 | | | | 12,437,224 | |
89,812,728 | | Sequoia Mortgage Trust, Series 2015-4-A1 | | | 3.00% | # ^ | | | 11/25/2030 | | | | 90,724,866 | |
150,002,760 | | Sequoia Mortgage Trust, Series 2016-1-A1 | | | 3.50% | # ^ | | | 06/25/2046 | | | | 151,423,136 | |
232,606,759 | | Sequoia Mortgage Trust, Series 2016-2-A1 | | | 3.50% | # ^ | | | 08/25/2046 | | | | 232,605,247 | |
17,880,462 | | SG Mortgage Securities Trust, Series 2006-FRE1-A1A | | | 1.15% | # | | | 02/25/2036 | | | | 16,630,114 | |
| | | | | | | | | | | | | | |
24,496,500 | | SG Mortgage Securities Trust, Series 2017-1A-A | | | 3.71% | # ^ | | | 04/25/2047 | | | | 24,477,540 | |
68,594,945 | | Shellpoint Co-Originator Trust, Series 2015-1-A3 | | | 3.50% | # ^ | | | 08/25/2045 | | | | 69,227,322 | |
53,402,202 | | SoFi Mortgage Trust, Series 2016-1A-1A4 | | | 3.00% | # ^ | | | 11/25/2046 | | | | 51,994,152 | |
38,802,010 | | Soundview Home Equity Loan Trust, Series 2007-NS1-A3 | | | 1.18% | # | | | 01/25/2037 | | | | 35,472,661 | |
61,983,000 | | Springleaf Mortgage Loan Trust, Series 2013-2A-B1 | | | 6.00% | # ^ | | | 12/25/2065 | | | | 62,223,717 | |
18,321,698 | | STARM Mortgage Loan Trust, Series 2007-2-1A1 | | | 3.60% | # | | | 04/25/2037 | | | | 15,398,713 | |
8,547,877 | | STARM Mortgage Loan Trust, Series 2007-3-1A1 | | | 3.14% | # | | | 06/25/2037 | | | | 7,652,308 | |
10,417,770 | | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1 | | | 3.35% | # | | | 12/25/2035 | | | | 9,782,708 | |
6,695,624 | | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12-8A | | | 3.22% | # | | | 09/25/2034 | | | | 6,583,598 | |
3,118,321 | | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-8A1 | | | 3.47% | # | | | 02/25/2036 | | | | 2,282,970 | |
5,390,396 | | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-6-3A1 | | | 3.19% | # | | | 07/25/2036 | | | | 4,270,698 | |
26,563 | | Structured Asset Securities Corporation, Series 2003-18XS-A6 | | | 4.54% | # | | | 06/25/2033 | | | | 26,584 | |
3,268,938 | | Structured Asset Securities Corporation, Series 2003-24A-1A3 | | | 3.21% | # | | | 07/25/2033 | | | | 3,214,586 | |
7,480,109 | | Structured Asset Securities Corporation, Series 2003-35-1A1 | | | 5.16% | # | | | 12/25/2033 | | | | 7,691,431 | |
2,257,355 | | Structured Asset Securities Corporation, Series 2004-11XS-2A2 | | | 5.40% | # | | | 06/25/2034 | | | | 2,393,871 | |
1,063,464 | | Structured Asset Securities Corporation, Series 2004-15-2A1 | | | 4.75% | | | | 09/25/2019 | | | | 1,072,073 | |
5,691,048 | | Structured Asset Securities Corporation, Series 2004-22-A2 | | | 4.98% | # | | | 01/25/2035 | | | | 5,940,507 | |
21,298,109 | | Structured Asset Securities Corporation, Series 2005-10-1A1 | | | 5.75% | | | | 06/25/2035 | | | | 19,981,221 | |
1,886,569 | | Structured Asset Securities Corporation, Series 2005-10-6A1 | | | 5.00% | | | | 06/25/2020 | | | | 1,918,108 | |
5,480,407 | | Structured Asset Securities Corporation, Series 2005-13-3A1 | | | 6.00% | | | | 09/25/2035 | | | | 4,364,846 | |
1,548,892 | | Structured Asset Securities Corporation, Series 2005-14-1A1 | | | 1.28% | # | | | 07/25/2035 | | | | 1,239,534 | |
626,908 | | Structured Asset Securities Corporation, Series 2005-14-1A4 | | | 20.15% | #I/F | | | 07/25/2035 | | | | 779,616 | |
32,212,718 | | Structured Asset Securities Corporation, Series 2005-14-4A1 | | | 5.75% | | | | 07/25/2035 | | | | 31,878,076 | |
2,729,016 | | Structured Asset Securities Corporation, Series 2005-15-1A1 | | | 5.50% | | | | 08/25/2035 | | | | 2,861,970 | |
6,058,809 | | Structured Asset Securities Corporation, Series 2005-15-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 5,972,586 | |
8,325,005 | | Structured Asset Securities Corporation, Series 2005-15-3A1 | | | 4.67% | # | | | 08/25/2035 | | | | 8,047,768 | |
6,312,077 | | Structured Asset Securities Corporation, Series 2005-16-1A2 | | | 5.50% | | | | 09/25/2035 | | | | 6,137,584 | |
7,040,790 | | Structured Asset Securities Corporation, Series 2005-3-1A6 | | | 5.75% | | | | 03/25/2035 | | | | 6,601,788 | |
58,859,954 | | Structured Asset Securities Corporation, Series 2006-BC4-A4 | | | 1.15% | # | | | 12/25/2036 | | | | 52,591,899 | |
120,601,618 | | Structured Asset Securities Corporation, Series 2007-4-1A3 | | | 5.27% | # ^I/F I/O | | | 03/28/2045 | | | | 18,532,971 | |
910,851 | | Suntrust Alternative Loan Trust, Series 2005-1F-2A3 | | | 5.75% | | | | 12/25/2035 | | | | 876,646 | |
1,453,166 | | Suntrust Alternative Loan Trust, Series 2006-1F-1A3 | | | 6.00% | | | | 04/25/2036 | | | | 1,366,229 | |
769,010 | | Thornburg Mortgage Securities Trust, Series 2003-6-A2 | | | 1.98% | # | | | 12/25/2033 | | | | 707,104 | |
7,223,750 | | Thornburg Mortgage Securities Trust, Series 2004-4-5A | | | 2.92% | # | | | 12/25/2044 | | | | 6,920,823 | |
19,649,630 | | Thornburg Mortgage Securities Trust, Series 2007-1-A1 | | | 3.10% | # | | | 03/25/2037 | | | | 18,662,548 | |
4,736,523 | | Thornburg Mortgage Securities Trust, Series 2007-1-A2A | | | 3.10% | # | | | 03/25/2037 | | | | 4,168,295 | |
14,174,400 | | Towd Point Mortgage Trust, Series 2015-1-AE | | | 3.00% | ^ | | | 10/25/2053 | | | | 14,220,294 | |
12,550,501 | | Towd Point Mortgage Trust, Series 2015-1-AES | | | 3.00% | ^ | | | 10/25/2053 | | | | 12,666,455 | |
8,568,166 | | Towd Point Mortgage Trust, Series 2015-2-1A12 | | | 2.75% | #^ | | | 11/25/2060 | | | | 8,567,439 | |
22,829,417 | | Towd Point Mortgage Trust, Series 2015-2-1A13 | | | 2.50% | #^ | | | 11/25/2060 | | | | 22,660,678 | |
67,186,607 | | Towd Point Mortgage Trust, Series 2015-5-A1B | | | 2.75% | #^ | | | 05/25/2055 | | | | 67,389,766 | |
79,621,997 | | Towd Point Mortgage Trust, Series 2015-6-A1B | | | 2.75% | #^ | | | 04/25/2055 | | | | 79,743,675 | |
46,436,997 | | US Residential Opportunity Fund Trust, Series 2016-1II-A | | | 3.47% | #^ | | | 07/27/2036 | | | | 46,169,107 | |
65,692,479 | | US Residential Opportunity Fund Trust, Series 2016-1III-A | | | 3.47% | #^ | | | 07/27/2036 | | | | 65,518,598 | |
14,554,547 | | US Residential Opportunity Fund Trust, Series 2016-3-A | | | 3.60% | #^ | | | 10/27/2036 | | | | 14,512,102 | |
70,017,897 | | Vericrest Opportunity Loan Trust, Series 2016-NPL3-A1 | | | 4.25% | #^ | | | 03/26/2046 | | | | 70,525,793 | |
22,770,509 | | VOLT LLC, Series 2015-NPL5-A1 | | | 3.50% | #^ | | | 03/25/2055 | | | | 22,912,235 | |
43,823,486 | | VOLT LLC, Series 2016-NPL11-A1 | | | 3.50% | #^ | | | 10/25/2046 | | | | 44,249,757 | |
136,572,960 | | VOLT LLC, Series 2016-NPL1-A1 | | | 4.25% | #^ | | | 02/26/2046 | | | | 137,565,627 | |
17,565,359 | | VOLT LLC, Series 2016-NPL6-A1 | | | 3.84% | #^ | | | 06/25/2046 | | | | 17,642,033 | |
46,502,410 | | VOLT LLC, Series 2016-NPL7-A1 | | | 3.75% | #^ | | | 06/25/2046 | | | | 46,562,919 | |
52,173,833 | | VOLT LLC, Series 2016-NPL8-A1 | | | 3.50% | #^ | | | 07/25/2046 | | | | 52,584,378 | |
19,685,971 | | VOLT LLC, Series 2017-NPL1-A1 | | | 3.63% | #^ | | | 02/25/2047 | | | | 19,699,673 | |
82,500,000 | | VOLT LLC, Series 2017-NPL2-A1 | | | 3.50% | #^ | | | 03/25/2047 | | | | 82,741,065 | |
8,330,634 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A | | | 6.00% | | | | 03/25/2035 | | | | 7,766,918 | |
3,322,572 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-4-5A1 | | | 5.50% | | | | 06/25/2035 | | | | 3,213,135 | |
1,271,199 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB12 | | | 39.80% | #I/F | | | 07/25/2035 | | | | 2,177,181 | |
4,116,454 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB6 | | | 1.58% | # | | | 07/25/2035 | | | | 3,320,846 | |
1,283,731 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6-2A7 | | | 5.50% | | | | 08/25/2035 | | | | 1,177,097 | |
1,526,739 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB6 | | | 39.25% | #I/F | | | 08/25/2035 | | | | 2,508,928 | |
16,794,125 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB7 | | | 2.43% | # | | | 08/25/2035 | | | | 14,902,988 | |
1,591,704 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-3CB | | | 6.50% | | | | 08/25/2035 | | | | 1,282,318 | |
15,988,307 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8-1A2 | | | 5.50% | | | | 10/25/2035 | | | | 14,968,189 | |
12,723,568 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-2A2 | | | 5.50% | | | | 11/25/2035 | | | | 11,509,137 | |
3,362,828 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-CX | | | 5.50% | I/O | | | 11/25/2035 | | | | 767,563 | |
4,836,832 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1 | | | 5.75% | | | | 02/25/2036 | | | | 4,553,423 | |
2,449,180 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A2 | | | 5.75% | | | | 02/25/2036 | | | | 2,305,673 | |
2,080,255 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A7 | | | 5.75% | | | | 02/25/2036 | | | | 1,958,365 | |
5,045,977 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-3-3CB4 | | | 6.00% | | | | 04/25/2036 | | | | 4,621,619 | |
3,086,886 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A8 | | | 5.75% | | | | 07/25/2036 | | | | 2,607,688 | |
5,847,875 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB1 | | | 6.00% | | | | 07/25/2036 | | | | 4,835,255 | |
10,622,202 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB6 | | | 6.00% | | | | 07/25/2036 | | | | 8,782,858 | |
7,561,642 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-3A5 | | | 6.45% | # | | | 07/25/2036 | | | | 3,348,324 | |
4,456,576 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-9-A7 | | | 4.82% | # | | | 10/25/2036 | | | | 2,375,153 | |
12,460,555 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-1A1 | | | 2.88% | # | | | 09/25/2036 | | | | 11,742,911 | |
19,444,962 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR15-1A | | | 1.48% | # | | | 11/25/2046 | | | | 15,547,122 | |
1,607,740 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6-2A3 | | | 2.87% | # | | | 08/25/2036 | | | | 1,456,754 | |
16,208,789 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A2 | | | 6.00% | | | | 04/25/2037 | | | | 13,694,957 | |
16,579,874 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A6 | | | 6.00% | | | | 04/25/2037 | | | | 14,008,489 | |
8,816,060 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A2 | | | 6.00% | | | | 04/25/2037 | | | | 8,294,971 | |
| | | | | | | | | | | | | | |
11,907,069 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A3 | | | 6.00% | | | | 04/25/2037 | | | | 11,203,280 | |
9,659,321 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-4-1A1 | | | 5.50% | | | | 06/25/2037 | | | | 9,070,892 | |
515,836 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11 | | | 33.59% | #I/F | | | 06/25/2037 | | | | 1,003,262 | |
12,895,906 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A6 | | | 6.00% | | | | 06/25/2037 | | | | 12,408,925 | |
22,839,358 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY3-4A1 | | | 2.98% | # | | | 03/25/2037 | | | | 22,391,425 | |
23,533,386 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY5-1A1 | | | 2.51% | # | | | 05/25/2037 | | | | 20,659,823 | |
20,484,767 | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY6-2A3 | | | 2.67% | # | | | 06/25/2037 | | | | 18,825,530 | |
2,184,330 | | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A10 | | | 6.00% | | | | 03/25/2037 | | | | 1,943,306 | |
9,590,911 | | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A3 | | | 6.00% | | | | 03/25/2037 | | | | 8,532,626 | |
8,269,464 | | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A5 | | | 6.00% | | | | 03/25/2037 | | | | 7,356,990 | |
13,553,236 | | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A6 | | | 6.00% | | | | 03/25/2037 | | | | 12,057,738 | |
62,189,352 | | Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1 | | | 6.00% | | | | 06/25/2037 | | | | 62,006,298 | |
9,226,933 | | Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A1 | | | 1.33% | # | | | 06/25/2037 | | | | 6,346,576 | |
13,592,701 | | Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A2 | | | 5.67% | #I/F I/O | | | 06/25/2037 | | | | 2,966,789 | |
885,791 | | Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4 | | | 5.75% | | | | 07/25/2037 | | | | 806,241 | |
19,697,965 | | Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1 | | | 6.00% | | | | 07/25/2037 | | | | 18,484,442 | |
7,826,128 | | Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A4 | | | 6.00% | | | | 07/25/2037 | | | | 7,343,987 | |
14,905,181 | | Wells Fargo Alternative Loan Trust, Series 2007-PA3-3A1 | | | 6.25% | | | | 07/25/2037 | | | | 14,123,674 | |
7,425,023 | | Wells Fargo Alternative Loan Trust, Series 2007-PA3-4A3 | | | 6.50% | | | | 07/25/2037 | | | | 6,162,560 | |
110,538,398 | | Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1 | | | 6.25% | | | | 11/25/2037 | | | | 106,592,531 | |
69,146 | | Wells Fargo Alternative Loan Trust, Series 2007-PA5-2A1 | | | 6.00% | | | | 11/25/2022 | | | | 69,342 | |
9,585,765 | | Wells Fargo Alternative Loan Trust, Series 2007-PA6-A1 | | | 3.17% | # | | | 12/28/2037 | | | | 8,865,808 | |
15,866,046 | | Wells Fargo Mortgage Backed Securities Trust, Series 2004-Y-3A3 | | | 3.04% | # | | | 11/25/2034 | | | | 16,172,045 | |
23,398,420 | | Wells Fargo Mortgage Backed Securities Trust, Series 2005-17-1A1 | | | 5.50% | | | | 01/25/2036 | | | | 22,972,377 | |
26,790 | | Wells Fargo Mortgage Backed Securities Trust, Series 2005-4-A7 | | | 19.98% | #I/F | | | 04/25/2035 | | | | 29,421 | |
2,333,082 | | Wells Fargo Mortgage Backed Securities Trust, Series 2005-8-A1 | | | 5.50% | | | | 10/25/2035 | | | | 2,409,467 | |
2,070,884 | | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16-6A4 | | | 3.08% | # | | | 10/25/2035 | | | | 2,065,100 | |
5,052,500 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-12-A3 | | | 6.00% | | | | 10/25/2036 | | | | 4,930,196 | |
6,150,741 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-14-A1 | | | 6.00% | | | | 10/25/2036 | | | | 6,090,988 | |
7,314,858 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-15-A1 | | | 6.00% | | | | 11/25/2036 | | | | 7,304,959 | |
87,895 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-1A4 | | | 16.69% | #I/F | | | 03/25/2036 | | | | 101,053 | |
3,976,455 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-3A1 | | | 5.75% | | | | 03/25/2036 | | | | 3,996,275 | |
19,582,695 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A11 | | | 5.50% | | | | 03/25/2036 | | | | 20,035,901 | |
4,447,071 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A6 | | | 5.50% | | | | 03/25/2036 | | | | 4,392,607 | |
270,684 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-4-2A2 | | | 5.50% | | | | 04/25/2036 | | | | 260,739 | |
3,147,311 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-6-2A1 | | | 1.38% | # | | | 05/25/2036 | | | | 2,588,203 | |
3,147,311 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-6-2A2 | | | 6.12% | #I/F I/O | | | 05/25/2036 | | | | 647,703 | |
1,929,788 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-9-2A1 | | | 0.00% | P/O | | | 08/25/2036 | | | | 1,104,068 | |
1,929,788 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-9-2A2 | | | 6.00% | I/O | | | 08/25/2036 | | | | 431,144 | |
9,892,063 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12-1A1 | | | 3.23% | # | | | 09/25/2036 | | | | 9,371,797 | |
5,635,471 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR13-A2 | | | 3.00% | # | | | 09/25/2036 | | | | 5,552,756 | |
6,089,359 | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4-2A1 | | | 3.34% | # | | | 04/25/2036 | | | | 5,603,908 | |
1,829,152 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-1A18 | | | 6.00% | | | | 07/25/2037 | | | | 1,808,135 | |
3,462,260 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-2A11 | | | 6.00% | | | | 07/25/2037 | | | | 3,391,334 | |
1,940,231 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A14 | | | 6.00% | | | | 08/25/2037 | | | | 1,918,808 | |
3,872,499 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A36 | | | 6.00% | | | | 08/25/2037 | | | | 3,829,741 | |
2,752,064 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A96 | | | 6.00% | | | | 08/25/2037 | | | | 2,721,678 | |
34,048,179 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-14-1A1 | | | 6.00% | | | | 10/25/2037 | | | | 33,556,421 | |
19,532,961 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A1 | | | 6.00% | | | | 03/25/2037 | | | | 19,402,602 | |
1,130,433 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A18 | | | 5.75% | | | | 03/25/2037 | | | | 1,114,294 | |
2,546,033 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A9 | | | 6.00% | | | | 03/25/2037 | | | | 2,529,042 | |
755,908 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-3A2 | | | 5.25% | | | | 03/25/2037 | | | | 773,906 | |
2,062,474 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-3-1A3 | | | 6.00% | | | | 04/25/2037 | | | | 2,063,779 | |
2,015,919 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A11 | | | 6.50% | | | | 04/25/2037 | | | | 2,025,890 | |
7,743,836 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A15 | | | 6.00% | | | | 04/25/2037 | | | | 7,644,267 | |
4,567,666 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A3 | | | 6.00% | | | | 04/25/2037 | | | | 4,508,935 | |
4,817,215 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A8 | | | 6.00% | | | | 04/25/2037 | | | | 4,755,276 | |
5,329,107 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-6-A4 | | | 6.00% | | | | 05/25/2037 | | | | 5,353,881 | |
2,546,506 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-6-A6 | | | 6.00% | | | | 05/25/2037 | | | | 2,558,345 | |
8,413,737 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1 | | | 6.00% | | | | 06/25/2037 | | | | 8,266,578 | |
585,159 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A32 | | | 5.75% | | | | 06/25/2037 | | | | 570,456 | |
18,947,116 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A34 | | | 6.00% | | | | 06/25/2037 | | | | 18,615,725 | |
5,128,398 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A36 | | | 6.00% | | | | 06/25/2037 | | | | 5,038,700 | |
1,745,245 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A43 | | | 1.48% | # | | | 06/25/2037 | | | | 1,492,625 | |
4,767,972 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A49 | | | 6.00% | | | | 06/25/2037 | | | | 4,684,578 | |
2,018,507 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A8 | | | 1.48% | # | | | 06/25/2037 | | | | 1,726,315 | |
910,584 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A9 | | | 33.11% | #I/F | | | 06/25/2037 | | | | 1,289,828 | |
1,462,550 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A13 | | | 1.35% | # | | | 07/25/2037 | | | | 1,290,254 | |
1,462,550 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A14 | | | 33.89% | #I/F | | | 07/25/2037 | | | | 2,161,829 | |
23,766,444 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A16 | | | 6.00% | | | | 07/25/2037 | | | | 23,548,941 | |
15,858,982 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A2 | | | 6.00% | | | | 07/25/2037 | | | | 15,713,846 | |
2,242,000 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A20 | | | 6.00% | | | | 07/25/2037 | | | | 2,221,482 | |
20,030,793 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A22 | | | 6.00% | | | | 07/25/2037 | | | | 19,847,487 | |
6,971,479 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A3 | | | 6.00% | | | | 07/25/2037 | | | | 6,907,680 | |
8,579,093 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-2A9 | | | 6.00% | | | | 07/25/2037 | | | | 8,718,469 | |
51,018,528 | | Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR9-A1 | | | 6.00% | # | | | 12/28/2037 | | | | 49,403,384 | |
23,995,770 | | WinWater Mortgage Loan Trust, Series 2015-4-A5 | | | 3.50% | # ^ | | | 06/20/2045 | | | | 24,469,298 | |
154,943,427 | | WinWater Mortgage Loan Trust, Series 2015-5-A3 | | | 3.50% | # ^ | | | 08/20/2045 | | | | 156,371,850 | |
26,073,467 | | WinWater Mortgage Loan Trust, Series 2016-1-1A5 | | | 3.50% | # ^ | | | 01/20/2046 | | | | 26,346,430 | |
| | | | | | | | | | | | | | |
| Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $12,292,386,620) | | | | | | | | | | | 12,220,359,500 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| US Government and Agency Obligations - 4.8% | | | | | | | | | | | | |
59,900,000 | | Tennessee Valley Authority | | | 4.25% | | | | 09/15/2065 | | | | 63,381,166 | |
518,485,000 | | United States Treasury Inflation Indexed Bonds | | | 0.13% | | | | 04/15/2020 | | | | 526,385,156 | |
1,325,000,000 | | United States Treasury Notes | | | 1.63% | | | | 11/15/2022 | | | | 1,294,489,225 | |
700,000,000 | | United States Treasury Notes | | | 2.00% | | | | 02/15/2023 | | | | 696,404,100 | |
| | | | | | | | | | | | | | |
| Total US Government and Agency Obligations (Cost $2,595,457,408) | | | | | | | | | | | 2,580,659,647 | |
| | | | | | | | | | | | | | |
| | | |
| US Government / Agency Mortgage Backed Obligations - 51.9% | | | | | | | | | | | | |
74,375,000 | | Federal Home Loan Mortgage Corporation | | | 1.00% | | | | 10/11/2018 | | | | 73,944,889 | |
120,000,000 | | Federal Home Loan Mortgage Corporation | | | 0.63% | # | | | 10/26/2018 | | | | 119,970,960 | |
10,537,588 | | Federal Home Loan Mortgage Corporation, Pool C03490 | | | 4.50% | | | | 08/01/2040 | | | | 11,338,951 | |
61,569,339 | | Federal Home Loan Mortgage Corporation, Pool C91388 | | | 3.50% | | | | 02/01/2032 | | | | 64,278,432 | |
32,235,911 | | Federal Home Loan Mortgage Corporation, Pool C91403 | | | 3.50% | | | | 03/01/2032 | | | | 33,654,410 | |
31,212,077 | | Federal Home Loan Mortgage Corporation, Pool C91413 | | | 3.50% | | | | 12/01/2031 | | | | 32,585,255 | |
15,724,056 | | Federal Home Loan Mortgage Corporation, Pool C91417 | | | 3.50% | | | | 01/01/2032 | | | | 16,414,973 | |
65,614,668 | | Federal Home Loan Mortgage Corporation, Pool C91447 | | | 3.50% | | | | 05/01/2032 | | | | 68,421,023 | |
72,646,921 | | Federal Home Loan Mortgage Corporation, Pool C91594 | | | 3.00% | | | | 01/01/2033 | | | | 74,242,980 | |
21,608,977 | | Federal Home Loan Mortgage Corporation, Pool C91596 | | | 3.00% | | | | 02/01/2033 | | | | 22,082,946 | |
11,215,160 | | Federal Home Loan Mortgage Corporation, Pool D98901 | | | 3.50% | | | | 01/01/2032 | | | | 11,707,787 | |
29,598,829 | | Federal Home Loan Mortgage Corporation, Pool D98923 | | | 3.50% | | | | 01/01/2032 | | | | 30,876,990 | |
27,958,443 | | Federal Home Loan Mortgage Corporation, Pool D99724 | | | 3.00% | | | | 11/01/2032 | | | | 28,572,682 | |
26,498,174 | | Federal Home Loan Mortgage Corporation, Pool G01840 | | | 5.00% | | | | 07/01/2035 | | | | 29,126,818 | |
5,473,781 | | Federal Home Loan Mortgage Corporation, Pool G04817 | | | 5.00% | | | | 09/01/2038 | | | | 5,958,126 | |
13,890,605 | | Federal Home Loan Mortgage Corporation, Pool G06172 | | | 5.50% | | | | 12/01/2038 | | | | 15,411,368 | |
19,469,183 | | Federal Home Loan Mortgage Corporation, Pool G06954 | | | 6.00% | | | | 05/01/2040 | | | | 21,992,628 | |
27,636,449 | | Federal Home Loan Mortgage Corporation, Pool G07011 | | | 6.00% | | | | 05/01/2040 | | | | 31,222,367 | |
25,320,079 | | Federal Home Loan Mortgage Corporation, Pool G07801 | | | 4.00% | | | | 10/01/2044 | | | | 26,727,994 | |
49,258,429 | | Federal Home Loan Mortgage Corporation, Pool G07862 | | | 4.00% | | | | 01/01/2044 | | | | 52,005,674 | |
56,004,473 | | Federal Home Loan Mortgage Corporation, Pool G07905 | | | 4.00% | | | | 01/01/2042 | | | | 59,019,861 | |
86,663,879 | | Federal Home Loan Mortgage Corporation, Pool G08534 | | | 3.00% | | | | 06/01/2043 | | | | 86,351,051 | |
27,969,004 | | Federal Home Loan Mortgage Corporation, Pool G08537 | | | 3.00% | | | | 07/01/2043 | | | | 27,844,923 | |
68,125,963 | | Federal Home Loan Mortgage Corporation, Pool G08614 | | | 3.00% | | | | 11/01/2044 | | | | 67,566,784 | |
78,867,640 | | Federal Home Loan Mortgage Corporation, Pool G08619 | | | 3.00% | | | | 12/01/2044 | | | | 78,212,132 | |
106,267,790 | | Federal Home Loan Mortgage Corporation, Pool G08622 | | | 3.00% | | | | 01/01/2045 | | | | 105,379,046 | |
202,809,831 | | Federal Home Loan Mortgage Corporation, Pool G08626 | | | 3.00% | | | | 02/01/2045 | | | | 201,113,679 | |
109,156,700 | | Federal Home Loan Mortgage Corporation, Pool G08631 | | | 3.00% | | | | 03/01/2045 | | | | 108,243,802 | |
280,430,633 | | Federal Home Loan Mortgage Corporation, Pool G08635 | | | 3.00% | | | | 04/01/2045 | | | | 278,085,330 | |
82,580,020 | | Federal Home Loan Mortgage Corporation, Pool G08640 | | | 3.00% | | | | 05/01/2045 | | | | 81,889,377 | |
426,647,008 | | Federal Home Loan Mortgage Corporation, Pool G08648 | | | 3.00% | | | | 06/01/2045 | | | | 423,078,810 | |
82,639,592 | | Federal Home Loan Mortgage Corporation, Pool G08653 | | | 3.00% | | | | 07/01/2045 | | | | 81,948,434 | |
45,428,135 | | Federal Home Loan Mortgage Corporation, Pool G08658 | | | 3.00% | | | | 08/01/2045 | | | | 45,048,187 | |
54,734,315 | | Federal Home Loan Mortgage Corporation, Pool G08670 | | | 3.00% | | | | 10/01/2045 | | | | 54,276,517 | |
639,681,450 | | Federal Home Loan Mortgage Corporation, Pool G08675 | | | 3.00% | | | | 11/01/2045 | | | | 634,331,154 | |
278,707,841 | | Federal Home Loan Mortgage Corporation, Pool G08680 | | | 3.00% | | | | 12/01/2045 | | | | 276,376,720 | |
192,002,098 | | Federal Home Loan Mortgage Corporation, Pool G08686 | | | 3.00% | | | | 01/01/2046 | | | | 190,395,557 | |
252,802,510 | | Federal Home Loan Mortgage Corporation, Pool G08692 | | | 3.00% | | | | 02/01/2046 | | | | 250,687,175 | |
508,094,687 | | Federal Home Loan Mortgage Corporation, Pool G08697 | | | 3.00% | | | | 03/01/2046 | | | | 503,843,184 | |
691,806,771 | | Federal Home Loan Mortgage Corporation, Pool G08705 | | | 3.00% | | | | 05/01/2046 | | | | 686,018,008 | |
179,479,539 | | Federal Home Loan Mortgage Corporation, Pool G08721 | | | 3.00% | | | | 09/01/2046 | | | | 177,977,683 | |
72,721,261 | | Federal Home Loan Mortgage Corporation, Pool G60251 | | | 3.50% | | | | 10/01/2045 | | | | 74,685,599 | |
257,714,844 | | Federal Home Loan Mortgage Corporation, Pool G60393 | | | 3.50% | | | | 01/01/2046 | | | | 264,595,156 | |
116,691,547 | | Federal Home Loan Mortgage Corporation, Pool J22834 | | | 2.50% | | | | 03/01/2028 | | | | 118,100,612 | |
75,052,221 | | Federal Home Loan Mortgage Corporation, Pool Q13637 | | | 3.00% | | | | 11/01/2042 | | | | 74,843,884 | |
75,638,893 | | Federal Home Loan Mortgage Corporation, Pool Q13638 | | | 3.00% | | | | 11/01/2042 | | | | 75,428,401 | |
125,843,100 | | Federal Home Loan Mortgage Corporation, Pool Q16672 | | | 3.00% | | | | 03/01/2043 | | | | 125,492,883 | |
8,091,983 | | Federal Home Loan Mortgage Corporation, Pool Q23595 | | | 4.00% | | | | 12/01/2043 | | | | 8,571,571 | |
11,058,943 | | Federal Home Loan Mortgage Corporation, Pool Q24052 | | | 4.00% | | | | 01/01/2044 | | | | 11,714,379 | |
9,100,399 | | Federal Home Loan Mortgage Corporation, Pool Q24172 | | | 4.00% | | | | 01/01/2044 | | | | 9,639,532 | |
7,895,176 | | Federal Home Loan Mortgage Corporation, Pool Q24979 | | | 4.00% | | | | 02/01/2044 | | | | 8,362,959 | |
60,769,732 | | Federal Home Loan Mortgage Corporation, Pool Q31596 | | | 3.50% | | | | 02/01/2045 | | | | 62,241,926 | |
21,996,219 | | Federal Home Loan Mortgage Corporation, Pool Q32861 | | | 3.50% | | | | 04/01/2045 | | | | 22,555,647 | |
60,189,362 | | Federal Home Loan Mortgage Corporation, Pool Q32921 | | | 3.50% | | | | 04/01/2045 | | | | 61,648,224 | |
34,692,753 | | Federal Home Loan Mortgage Corporation, Pool Q39502 | | | 3.50% | | | | 03/01/2046 | | | | 35,618,972 | |
7,819,486 | | Federal Home Loan Mortgage Corporation, Pool T60392 | | | 4.00% | | | | 10/01/2041 | | | | 8,131,530 | |
7,743,555 | | Federal Home Loan Mortgage Corporation, Pool T60681 | | | 4.00% | | | | 05/01/2042 | | | | 8,052,683 | |
24,270,535 | | Federal Home Loan Mortgage Corporation, Pool T60782 | | | 3.50% | | | | 07/01/2042 | | | | 24,708,691 | |
42,555,633 | | Federal Home Loan Mortgage Corporation, Pool T60853 | | | 3.50% | | | | 09/01/2042 | | | | 43,323,813 | |
33,306,758 | | Federal Home Loan Mortgage Corporation, Pool T60854 | | | 3.50% | | | | 09/01/2042 | | | | 33,906,785 | |
3,917,918 | | Federal Home Loan Mortgage Corporation, Pool T65110 | | | 3.50% | | | | 10/01/2042 | | | | 3,988,489 | |
8,870,470 | | Federal Home Loan Mortgage Corporation, Pool T69016 | | | 5.00% | | | | 06/01/2041 | | | | 9,408,479 | |
31,040,296 | | Federal Home Loan Mortgage Corporation, Pool T69050 | | | 3.50% | | | | 05/01/2046 | | | | 31,603,248 | |
684,235 | | Federal Home Loan Mortgage Corporation, Pool U60299 | | | 4.00% | | | | 11/01/2040 | | | | 724,706 | |
171,828,422 | | Federal Home Loan Mortgage Corporation, Pool V81821 | | | 3.00% | | | | 08/01/2045 | | | | 170,770,907 | |
46,106,217 | | Federal Home Loan Mortgage Corporation, Pool V82117 | | | 3.00% | | | | 12/01/2045 | | | | 45,822,432 | |
53,178,243 | | Federal Home Loan Mortgage Corporation, Pool V82209 | | | 3.50% | | | | 02/01/2046 | | | | 54,598,009 | |
16,406,010 | | Federal Home Loan Mortgage Corporation, Pool V82248 | | | 3.50% | | | | 03/01/2046 | | | | 16,849,289 | |
129,519,059 | | Federal Home Loan Mortgage Corporation, Pool V82851 | | | 3.00% | | | | 01/01/2047 | | | | 128,435,325 | |
73,556,727 | | Federal Home Loan Mortgage Corporation, Series 2015-SC02-1A | | | 3.00% | | | | 09/25/2045 | | | | 71,274,534 | |
49,890,831 | | Federal Home Loan Mortgage Corporation, Series 2016-SC01-1A | | | 3.00% | | | | 07/25/2046 | | | | 48,806,179 | |
| | | | | | | | | | | | | | | | |
| | 1,900,034 | | | Federal Home Loan Mortgage Corporation, Series 2519-ZD | | | 5.50% | | | | 11/15/2032 | | | | 2,079,875 | |
| | 1,139,032 | | | Federal Home Loan Mortgage Corporation, Series 2596-ZL | | | 5.00% | | | | 04/15/2033 | | | | 1,244,575 | |
| | 56,034,234 | | | Federal Home Loan Mortgage Corporation, Series 267-30 | | | 3.00% | | | | 08/15/2042 | | | | 55,255,687 | |
| | 622,192 | | | Federal Home Loan Mortgage Corporation, Series 2684-ZN | | | 4.00% | | | | 10/15/2033 | | | | 652,829 | |
| | 106,971,113 | | | Federal Home Loan Mortgage Corporation, Series 269-30 | | | 3.00% | | | | 08/15/2042 | | | | 105,569,085 | |
| | 46,059,738 | | | Federal Home Loan Mortgage Corporation, Series 274-30 | | | 3.00% | | | | 08/15/2042 | | | | 45,453,525 | |
| | 4,119,629 | | | Federal Home Loan Mortgage Corporation, Series 2750-ZT | | | 5.00% | | | | 02/15/2034 | | | | 4,517,632 | |
| | 131,655,092 | | | Federal Home Loan Mortgage Corporation, Series 280-30 | | | 3.00% | | | | 09/15/2042 | | | | 130,011,181 | |
| | 16,793,904 | | | Federal Home Loan Mortgage Corporation, Series 2819-MS | | | 5.56% | #I/F I/O | | | 06/15/2040 | | | | 2,650,177 | |
| | 10,351,048 | | | Federal Home Loan Mortgage Corporation, Series 2825-PZ | | | 5.50% | | | | 07/15/2034 | | | | 11,374,471 | |
| | 31,968,151 | | | Federal Home Loan Mortgage Corporation, Series 284-300 | | | 3.00% | | | | 10/15/2042 | | | | 31,508,555 | |
| | 6,498,615 | | | Federal Home Loan Mortgage Corporation, Series 2898-JZ | | | 5.00% | | | | 12/15/2034 | | | | 7,166,872 | |
| | 14,012,629 | | | Federal Home Loan Mortgage Corporation, Series 2899-AZ | | | 5.00% | | | | 12/15/2034 | | | | 15,383,612 | |
| | 10,579,895 | | | Federal Home Loan Mortgage Corporation, Series 2909-Z | | | 5.00% | | | | 12/15/2034 | | | | 11,601,693 | |
| | 18,739,827 | | | Federal Home Loan Mortgage Corporation, Series 2932-Z | | | 5.00% | | | | 02/15/2035 | | | | 20,548,640 | |
| | 1,781,851 | | | Federal Home Loan Mortgage Corporation, Series 2990-JL | | | 5.74% | #I/F I/O | | | 03/15/2035 | | | | 201,833 | |
| | 6,382,063 | | | Federal Home Loan Mortgage Corporation, Series 3002-SN | | | 5.59% | #I/F I/O | | | 07/15/2035 | | | | 1,015,140 | |
| | 4,369,135 | | | Federal Home Loan Mortgage Corporation, Series 3030-SL | | | 5.19% | #I/F I/O | | | 09/15/2035 | | | | 657,744 | |
| | 1,313,481 | | | Federal Home Loan Mortgage Corporation, Series 3045-DI | | | 5.82% | #I/F I/O | | | 10/15/2035 | | | | 211,649 | |
| | 10,421,698 | | | Federal Home Loan Mortgage Corporation, Series 3116-Z | | | 5.50% | | | | 02/15/2036 | | | | 11,703,350 | |
| | 1,941,598 | | | Federal Home Loan Mortgage Corporation, Series 3117-ZN | | | 4.50% | | | | 02/15/2036 | | | | 2,051,564 | |
| | 5,529,455 | | | Federal Home Loan Mortgage Corporation, Series 3174-PZ | | | 5.00% | | | | 01/15/2036 | | | | 6,045,150 | |
| | 1,284,310 | | | Federal Home Loan Mortgage Corporation, Series 3187-JZ | | | 5.00% | | | | 07/15/2036 | | | | 1,412,055 | |
| | 3,451,699 | | | Federal Home Loan Mortgage Corporation, Series 3188-ZK | | | 5.00% | | | | 07/15/2036 | | | | 3,781,860 | |
| | 5,325,554 | | | Federal Home Loan Mortgage Corporation, Series 3203-SE | | | 5.59% | #I/F I/O | | | 08/15/2036 | | | | 890,868 | |
| | 8,116,535 | | | Federal Home Loan Mortgage Corporation, Series 3203-Z | | | 5.00% | | | | 07/15/2036 | | | | 8,877,265 | |
| | 12,860,707 | | | Federal Home Loan Mortgage Corporation, Series 3203-ZC | | | 5.00% | | | | 07/15/2036 | | | | 14,066,089 | |
| | 6,406,539 | | | Federal Home Loan Mortgage Corporation, Series 3261-SA | | | 5.52% | #I/F I/O | | | 01/15/2037 | | | | 1,175,224 | |
| | 2,254,192 | | | Federal Home Loan Mortgage Corporation, Series 3267-BA | | | 5.80% | | | | 11/15/2036 | | | | 2,363,447 | |
| | 7,980,052 | | | Federal Home Loan Mortgage Corporation, Series 3275-SC | | | 5.17% | #I/F I/O | | | 02/15/2037 | | | | 1,023,537 | |
| | 4,078,878 | | | Federal Home Loan Mortgage Corporation, Series 3315-HZ | | | 6.00% | | | | 05/15/2037 | | | | 4,253,186 | |
| | 10,055,927 | | | Federal Home Loan Mortgage Corporation, Series 3326-GS | | | 5.74% | #I/F I/O | | | 06/15/2037 | | | | 1,095,548 | |
| | 1,349,721 | | | Federal Home Loan Mortgage Corporation, Series 3351-ZC | | | 5.50% | | | | 07/15/2037 | | | | 1,508,437 | |
| | 14,093,670 | | | Federal Home Loan Mortgage Corporation, Series 3355-BI | | | 5.14% | #I/F I/O | | | 08/15/2037 | | | | 2,125,833 | |
| | 802,940 | | | Federal Home Loan Mortgage Corporation, Series 3369-Z | | | 6.00% | | | | 09/15/2037 | | | | 868,241 | |
| | 2,984,685 | | | Federal Home Loan Mortgage Corporation, Series 3405-ZG | | | 5.50% | | | | 01/15/2038 | | | | 3,254,014 | |
| | 5,420,222 | | | Federal Home Loan Mortgage Corporation, Series 3417-SI | | | 5.27% | #I/F I/O | | | 02/15/2038 | | | | 770,726 | |
| | 6,605,025 | | | Federal Home Loan Mortgage Corporation, Series 3423-GS | | | 4.74% | #I/F I/O | | | 03/15/2038 | | | | 752,812 | |
| | 1,084,615 | | | Federal Home Loan Mortgage Corporation, Series 3423-SG | | | 4.74% | #I/F I/O | | | 03/15/2038 | | | | 113,754 | |
| | 1,156,949 | | | Federal Home Loan Mortgage Corporation, Series 3451-S | | | 5.12% | #I/F I/O | | | 02/15/2037 | | | | 124,666 | |
| | 1,503,951 | | | Federal Home Loan Mortgage Corporation, Series 3455-SC | | | 5.15% | #I/F I/O | | | 06/15/2038 | | | | 183,973 | |
| | 980,294 | | | Federal Home Loan Mortgage Corporation, Series 3473-SM | | | 5.16% | #I/F I/O | | | 07/15/2038 | | | | 126,000 | |
| | 7,173,121 | | | Federal Home Loan Mortgage Corporation, Series 3484-SE | | | 4.94% | #I/F I/O | | | 08/15/2038 | | | | 1,066,327 | |
| | 6,842,488 | | | Federal Home Loan Mortgage Corporation, Series 3519-SD | | | 4.64% | #I/F I/O | | | 02/15/2038 | | | | 1,017,364 | |
| | 2,471,059 | | | Federal Home Loan Mortgage Corporation, Series 3524-LB | | | 3.97% | # | | | 06/15/2038 | | | | 2,379,526 | |
| | 212,676 | | | Federal Home Loan Mortgage Corporation, Series 3530-GZ | | | 4.50% | | | | 05/15/2039 | | | | 210,471 | |
| | 9,454,339 | | | Federal Home Loan Mortgage Corporation, Series 3541-EI | | | 5.84% | #I/F I/O | | | 06/15/2039 | | | | 1,504,015 | |
| | 2,303,732 | | | Federal Home Loan Mortgage Corporation, Series 3545-SA | | | 5.24% | #I/F I/O | | | 06/15/2039 | | | | 291,267 | |
| | 958,347 | | | Federal Home Loan Mortgage Corporation, Series 3549-SA | | | 4.89% | #I/F I/O | | | 07/15/2039 | | | | 112,379 | |
| | 10,660,315 | | | Federal Home Loan Mortgage Corporation, Series 3577-LS | | | 6.29% | #I/F I/O | | | 08/15/2035 | | | | 1,867,122 | |
| | 2,412,128 | | | Federal Home Loan Mortgage Corporation, Series 3582-SA | | | 5.09% | #I/F I/O | | | 10/15/2049 | | | | 310,650 | |
| | 3,217,719 | | | Federal Home Loan Mortgage Corporation, Series 3583-GB | | | 4.50% | | | | 10/15/2039 | | | | 3,445,337 | |
| | 23,067,303 | | | Federal Home Loan Mortgage Corporation, Series 3606-CS | | | 5.44% | #I/F I/O | | | 12/15/2039 | | | | 4,196,228 | |
| | 6,178,339 | | | Federal Home Loan Mortgage Corporation, Series 3616-SG | | | 5.44% | #I/F I/O | | | 03/15/2032 | | | | 1,021,514 | |
| | 8,976,003 | | | Federal Home Loan Mortgage Corporation, Series 3626-AZ | | | 5.50% | | | | 08/15/2036 | | | | 9,747,907 | |
| | 1,037,586 | | | Federal Home Loan Mortgage Corporation, Series 3631-SE | | | 5.49% | #I/F I/O | | | 05/15/2039 | | | | 21,863 | |
| | 12,530,517 | | | Federal Home Loan Mortgage Corporation, Series 3641-Z | | | 5.50% | | | | 02/15/2036 | | | | 13,829,397 | |
| | 12,604,287 | | | Federal Home Loan Mortgage Corporation, Series 3654-ZB | | | 5.50% | | | | 11/15/2037 | | | | 13,623,255 | |
| | 28,707,678 | | | Federal Home Loan Mortgage Corporation, Series 3666-VZ | | | 5.50% | | | | 08/15/2036 | | | | 31,352,930 | |
| | 3,096,506 | | | Federal Home Loan Mortgage Corporation, Series 3667-SB | | | 5.54% | #I/F I/O | | | 05/15/2040 | | | | 454,418 | |
| | 11,199,837 | | | Federal Home Loan Mortgage Corporation, Series 3702-SG | | | 5.14% | #I/F I/O | | | 08/15/2032 | | | | 1,827,801 | |
| | 3,208,291 | | | Federal Home Loan Mortgage Corporation, Series 3704-EI | | | 5.00% | I/O | | | 12/15/2036 | | | | 820,694 | |
| | 3,741,293 | | | Federal Home Loan Mortgage Corporation, Series 3712-SG | | | 21.08% | #I/F | | | 08/15/2040 | | | | 5,430,466 | |
| | 7,357,920 | | | Federal Home Loan Mortgage Corporation, Series 3724-CM | | | 5.50% | | | | 06/15/2037 | | | | 8,188,775 | |
| | 76,408,546 | | | Federal Home Loan Mortgage Corporation, Series 3725-CS | | | 5.09% | #I/F I/O | | | 05/15/2040 | | | | 9,188,273 | |
| | 23,679,338 | | | Federal Home Loan Mortgage Corporation, Series 3726-SA | | | 5.14% | #I/F I/O | | | 09/15/2040 | | | | 3,625,896 | |
| | 71,544,427 | | | Federal Home Loan Mortgage Corporation, Series 3738-BP | | | 4.00% | | | | 12/15/2038 | | | | 74,686,944 | |
| | 2,564,253 | | | Federal Home Loan Mortgage Corporation, Series 3741-SC | | | 8.18% | #I/F | | | 10/15/2040 | | | | 2,804,405 | |
| | 19,609,735 | | | Federal Home Loan Mortgage Corporation, Series 3752-BS | | | 8.43% | #I/F | | | 11/15/2040 | | | | 19,814,690 | |
| | 16,391,410 | | | Federal Home Loan Mortgage Corporation, Series 3768-ZX | | | 5.00% | | | | 12/15/2040 | | | | 18,346,322 | |
| | 8,630,307 | | | Federal Home Loan Mortgage Corporation, Series 3771-AL | | | 4.00% | | | | 12/15/2030 | | | | 9,034,892 | |
| | 18,761,630 | | | Federal Home Loan Mortgage Corporation, Series 3779-BY | | | 3.50% | | | | 12/15/2030 | | | | 19,880,821 | |
| | 28,082,726 | | | Federal Home Loan Mortgage Corporation, Series 3779-DZ | | | 4.50% | | | | 12/15/2040 | | | | 29,304,232 | |
| | 24,250,000 | | | Federal Home Loan Mortgage Corporation, Series 3779-LB | | | 4.00% | | | | 12/15/2030 | | | | 25,695,591 | |
| | 3,500,000 | | | Federal Home Loan Mortgage Corporation, Series 3779-YA | | | 3.50% | | | | 12/15/2030 | | | | 3,625,183 | |
| | 15,000,000 | | | Federal Home Loan Mortgage Corporation, Series 3783-AC | | | 4.00% | | | | 01/15/2031 | | | | 16,246,359 | |
| | 9,362,730 | | | Federal Home Loan Mortgage Corporation, Series 3786-SG | | | 7.68% | #I/F | | | 01/15/2041 | | | | 9,710,563 | |
| | 11,731,674 | | | Federal Home Loan Mortgage Corporation, Series 3788-AY | | | 3.50% | | | | 01/15/2031 | | | | 12,222,371 | |
| | 6,633,781 | | | Federal Home Loan Mortgage Corporation, Series 3790-Z | | | 4.00% | | | | 01/15/2041 | | | | 6,943,225 | |
| | 12,792,276 | | | Federal Home Loan Mortgage Corporation, Series 3795-VZ | | | 4.00% | | | | 01/15/2041 | | | | 13,479,523 | |
| | | | | | | | | | | | | | | | |
| | 504,765 | | | Federal Home Loan Mortgage Corporation, Series 3798-SD | | | 7.78% | #I/F | | | 12/15/2040 | | | | 513,627 | |
| | 20,412,356 | | | Federal Home Loan Mortgage Corporation, Series 3800-VZ | | | 4.50% | | | | 02/15/2041 | | | | 22,581,726 | |
| | 10,849,942 | | | Federal Home Loan Mortgage Corporation, Series 3803-ZM | | | 4.00% | | | | 02/15/2041 | | | | 11,097,451 | |
| | 59,390,463 | | | Federal Home Loan Mortgage Corporation, Series 3806-CZ | | | 5.50% | | | | 07/15/2034 | | | | 66,331,213 | |
| | 18,000,000 | | | Federal Home Loan Mortgage Corporation, Series 3808-DB | | | 3.50% | | | | 02/15/2031 | | | | 18,653,011 | |
| | 15,277,557 | | | Federal Home Loan Mortgage Corporation, Series 3812-EY | | | 3.50% | | | | 02/15/2031 | | | | 15,881,253 | |
| | 7,583,566 | | | Federal Home Loan Mortgage Corporation, Series 3818-CZ | | | 4.50% | | | | 03/15/2041 | | | | 8,190,251 | |
| | 14,402,539 | | | Federal Home Loan Mortgage Corporation, Series 3819-ZU | | | 5.50% | | | | 07/15/2034 | | | | 15,808,814 | |
| | 35,500,000 | | | Federal Home Loan Mortgage Corporation, Series 3824-EY | | | 3.50% | | | | 03/15/2031 | | | | 37,656,284 | |
| | 3,350,433 | | | Federal Home Loan Mortgage Corporation, Series 3828-SW | | | 10.46% | #I/F | | | 02/15/2041 | | | | 4,157,498 | |
| | 16,519,645 | | | Federal Home Loan Mortgage Corporation, Series 3829-VZ | | | 4.00% | | | | 03/15/2041 | | | | 17,532,591 | |
| | 6,717,101 | | | Federal Home Loan Mortgage Corporation, Series 3843-PZ | | | 5.00% | | | | 04/15/2041 | | | | 7,735,411 | |
| | 42,940,221 | | | Federal Home Loan Mortgage Corporation, Series 3863-ZA | | | 5.50% | | | | 08/15/2034 | | | | 46,952,057 | |
| | 10,229,000 | | | Federal Home Loan Mortgage Corporation, Series 3870-PB | | | 4.50% | | | | 06/15/2041 | | | | 10,959,512 | |
| | 66,309,659 | | | Federal Home Loan Mortgage Corporation, Series 3871-LZ | | | 5.50% | | | | 06/15/2041 | | | | 75,690,930 | |
| | 20,455,890 | | | Federal Home Loan Mortgage Corporation, Series 3872-BA | | | 4.00% | | | | 06/15/2041 | | | | 21,075,339 | |
| | 15,331,342 | | | Federal Home Loan Mortgage Corporation, Series 3877-EY | | | 4.50% | | | | 06/15/2041 | | | | 16,402,032 | |
| | 8,766,133 | | | Federal Home Loan Mortgage Corporation, Series 3877-GY | | | 4.50% | | | | 06/15/2041 | | | | 9,268,793 | |
| | 42,229,669 | | | Federal Home Loan Mortgage Corporation, Series 3877-ZU | | | 4.50% | | | | 06/15/2041 | | | | 43,737,040 | |
| | 32,583,743 | | | Federal Home Loan Mortgage Corporation, Series 3888-ZG | | | 4.00% | | | | 07/15/2041 | | | | 34,520,390 | |
| | 20,637,541 | | | Federal Home Loan Mortgage Corporation, Series 3888-ZU | | | 4.50% | | | | 06/15/2041 | | | | 22,621,037 | |
| | 9,033,502 | | | Federal Home Loan Mortgage Corporation, Series 3900-SB | | | 5.06% | #I/F I/O | | | 07/15/2041 | | | | 1,148,593 | |
| | 44,262,192 | | | Federal Home Loan Mortgage Corporation, Series 3901-VZ | | | 4.00% | | | | 07/15/2041 | | | | 47,153,908 | |
| | 23,782,700 | | | Federal Home Loan Mortgage Corporation, Series 3910-GZ | | | 5.00% | | | | 08/15/2041 | | | | 27,291,995 | |
| | 9,103,965 | | | Federal Home Loan Mortgage Corporation, Series 3910-ZE | | | 5.00% | | | | 10/15/2034 | | | | 9,946,189 | |
| | 12,330,000 | | | Federal Home Loan Mortgage Corporation, Series 3919-KL | | | 4.50% | | | | 09/15/2041 | | | | 13,100,921 | |
| | 30,038,329 | | | Federal Home Loan Mortgage Corporation, Series 3919-ZJ | | | 4.00% | | | | 09/15/2041 | | | | 31,527,569 | |
| | 4,322,957 | | | Federal Home Loan Mortgage Corporation, Series 3942-JZ | | | 4.00% | | | | 10/15/2041 | | | | 4,477,723 | |
| | 12,414,827 | | | Federal Home Loan Mortgage Corporation, Series 3944-AZ | | | 4.00% | | | | 10/15/2041 | | | | 12,647,260 | |
| | 4,205,115 | | | Federal Home Loan Mortgage Corporation, Series 3946-SM | | | 11.96% | #I/F | | | 10/15/2041 | | | | 5,164,370 | |
| | 7,338,742 | | | Federal Home Loan Mortgage Corporation, Series 3957-DZ | | | 3.50% | | | | 11/15/2041 | | | | 7,431,083 | |
| | 10,000,000 | | | Federal Home Loan Mortgage Corporation, Series 3964-VM | | | 4.00% | | | | 11/15/2034 | | | | 10,554,934 | |
| | 41,298,045 | | | Federal Home Loan Mortgage Corporation, Series 3969-AB | | | 4.00% | | | | 10/15/2033 | | | | 42,777,452 | |
| | 11,979,001 | | | Federal Home Loan Mortgage Corporation, Series 3982-AZ | | | 3.50% | | | | 01/15/2042 | | | | 12,588,887 | |
| | 60,187,294 | | | Federal Home Loan Mortgage Corporation, Series 3990-ZA | | | 3.50% | | | | 01/15/2042 | | | | 60,349,318 | |
| | 18,375,999 | | | Federal Home Loan Mortgage Corporation, Series 3999-EZ | | | 4.00% | | | | 02/15/2042 | | | | 19,536,627 | |
| | 51,452,797 | | | Federal Home Loan Mortgage Corporation, Series 3999-ZB | | | 4.00% | | | | 02/15/2042 | | | | 53,808,393 | |
| | 29,173,648 | | | Federal Home Loan Mortgage Corporation, Series 4016-KZ | | | 4.00% | | | | 03/15/2042 | | | | 30,880,537 | |
| | 18,283,197 | | | Federal Home Loan Mortgage Corporation, Series 4050-BC | | | 2.00% | | | | 05/15/2041 | | | | 18,137,855 | |
| | 72,532,055 | | | Federal Home Loan Mortgage Corporation, Series 4057-ZA | | | 4.00% | | | | 06/15/2042 | | | | 76,278,220 | |
| | 72,266,988 | | | Federal Home Loan Mortgage Corporation, Series 4084-TZ | | | 4.00% | | | | 07/15/2042 | | | | 76,391,178 | |
| | 9,910,726 | | | Federal Home Loan Mortgage Corporation, Series 4097-TG | | | 2.00% | | | | 05/15/2039 | | | | 9,884,937 | |
| | 40,429,720 | | | Federal Home Loan Mortgage Corporation, Series 4097-ZA | | | 3.50% | | | | 08/15/2042 | | | | 40,800,894 | |
| | 97,063,000 | | | Federal Home Loan Mortgage Corporation, Series 4109-GE | | | 4.50% | | | | 10/15/2041 | | | | 102,951,482 | |
| | 12,231,366 | | | Federal Home Loan Mortgage Corporation, Series 4109-KD | | | 3.00% | | | | 05/15/2032 | | | | 12,364,422 | |
| | 5,151,058 | | | Federal Home Loan Mortgage Corporation, Series 4121-AV | | | 3.00% | | | | 12/15/2035 | | | | 5,094,155 | |
| | 59,534,530 | | | Federal Home Loan Mortgage Corporation, Series 4160-HP | | | 2.50% | | | | 01/15/2033 | | | | 60,088,117 | |
| | 28,752,441 | | | Federal Home Loan Mortgage Corporation, Series 4162-ZJ | | | 3.00% | | | | 02/15/2033 | | | | 28,052,935 | |
| | 6,054,743 | | | Federal Home Loan Mortgage Corporation, Series 4165-ZT | | | 3.00% | | | | 02/15/2043 | | | | 5,605,250 | |
| | 41,465,298 | | | Federal Home Loan Mortgage Corporation, Series 4174-Z | | | 3.50% | | | | 03/15/2043 | | | | 41,985,290 | |
| | 103,595,166 | | | Federal Home Loan Mortgage Corporation, Series 4179-AZ | | | 4.00% | | | | 01/15/2041 | | | | 108,598,937 | |
| | 30,421,151 | | | Federal Home Loan Mortgage Corporation, Series 4183-ZB | | | 3.00% | | | | 03/15/2043 | | | | 27,878,372 | |
| | 18,931,234 | | | Federal Home Loan Mortgage Corporation, Series 4186-ZJ | | | 3.00% | | | | 03/15/2033 | | | | 18,017,069 | |
| | 13,000,000 | | | Federal Home Loan Mortgage Corporation, Series 4189-ML | | | 3.00% | | | | 04/15/2038 | | | | 12,657,986 | |
| | 177,393,975 | | | Federal Home Loan Mortgage Corporation, Series 4212-US | | | 4.46% | #I/F | | | 06/15/2043 | | | | 150,457,533 | |
| | 12,588,156 | | | Federal Home Loan Mortgage Corporation, Series 4215-KC | | | 2.25% | | | | 03/15/2038 | | | | 12,690,639 | |
| | 77,422,868 | | | Federal Home Loan Mortgage Corporation, Series 4223-US | | | 4.48% | #I/F | | | 07/15/2043 | | | | 68,105,854 | |
| | 23,153,710 | | | Federal Home Loan Mortgage Corporation, Series 4223-ZV | | | 4.00% | | | | 07/15/2043 | | | | 24,464,032 | |
| | 28,511,854 | | | Federal Home Loan Mortgage Corporation, Series 4229-TZ | | | 3.00% | | | | 06/15/2043 | | | | 27,093,147 | |
| | 28,942,138 | | | Federal Home Loan Mortgage Corporation, Series 4229-ZA | | | 4.00% | | | | 07/15/2043 | | | | 30,732,990 | |
| | 22,200,427 | | | Federal Home Loan Mortgage Corporation, Series 4249-CS | | | 4.06% | #I/F | | | 09/15/2043 | | | | 20,457,203 | |
| | 21,198,026 | | | Federal Home Loan Mortgage Corporation, Series 4250-BZ | | | 3.00% | | | | 09/15/2033 | | | | 20,387,918 | |
| | 21,401,105 | | | Federal Home Loan Mortgage Corporation, Series 4267-BZ | | | 4.00% | | | | 10/15/2040 | | | | 22,515,781 | |
| | 81,319,276 | | | Federal Home Loan Mortgage Corporation, Series 4323-GA | | | 3.00% | | | | 06/15/2040 | | | | 83,657,352 | |
| | 17,857,182 | | | Federal Home Loan Mortgage Corporation, Series 4355-ZX | | | 4.00% | | | | 05/15/2044 | | | | 19,060,969 | |
| | 33,895,687 | | | Federal Home Loan Mortgage Corporation, Series 4360-KA | | | 3.00% | | | | 05/15/2040 | | | | 34,394,916 | |
| | 55,492,263 | | | Federal Home Loan Mortgage Corporation, Series 4375-CG | | | 3.00% | | | | 04/15/2039 | | | | 56,840,947 | |
| | 14,586,449 | | | Federal Home Loan Mortgage Corporation, Series 4376-GZ | | | 3.00% | | | | 08/15/2044 | | | | 13,521,817 | |
| | 46,373,849 | | | Federal Home Loan Mortgage Corporation, Series 4377-LZ | | | 3.00% | | | | 08/15/2044 | | | | 42,455,644 | |
| | 56,391,390 | | | Federal Home Loan Mortgage Corporation, Series 4377-UZ | | | 3.00% | | | | 08/15/2044 | | | | 51,766,969 | |
| | 7,757,472 | | | Federal Home Loan Mortgage Corporation, Series 4379-KA | | | 3.00% | | | | 08/15/2044 | | | | 7,926,795 | |
| | 26,681,449 | | | Federal Home Loan Mortgage Corporation, Series 4384-A | | | 3.00% | | | | 12/15/2040 | | | | 27,035,336 | |
| | 25,348,716 | | | Federal Home Loan Mortgage Corporation, Series 4384-ZY | | | 3.00% | | | | 09/15/2044 | | | | 23,052,173 | |
| | 1,865,878 | | | Federal Home Loan Mortgage Corporation, Series 4386-US | | | 6.76% | #I/F | | | 09/15/2044 | | | | 1,829,903 | |
| | 230,299,284 | | | Federal Home Loan Mortgage Corporation, Series 4390-NY | | | 3.00% | | | | 06/15/2040 | | | | 234,896,196 | |
| | 128,471,766 | | | Federal Home Loan Mortgage Corporation, Series 4390-NZ | | | 3.00% | | | | 09/15/2044 | | | | 118,802,248 | |
| | 60,236,996 | | | Federal Home Loan Mortgage Corporation, Series 4391-MA | | | 3.00% | | | | 07/15/2040 | | | | 61,431,857 | |
| | 76,186,296 | | | Federal Home Loan Mortgage Corporation, Series 4408-PB | | | 3.00% | | | | 04/15/2044 | | | | 76,040,026 | |
| | 6,106,063 | | | Federal Home Loan Mortgage Corporation, Series 4419-TB | | | 3.00% | | | | 02/15/2040 | | | | 6,141,177 | |
| | 109,260,683 | | | Federal Home Loan Mortgage Corporation, Series 4427-CE | | | 3.00% | | | | 02/15/2034 | | | | 112,000,362 | |
| | | | | | | | | | | | | | | | |
| | 67,647,390 | | | Federal Home Loan Mortgage Corporation, Series 4427-MA | | | 3.00% | | | | 02/15/2034 | | | | 69,267,274 | |
| | 41,525,665 | | | Federal Home Loan Mortgage Corporation, Series 4427-PS | | | 4.69% | #I/F I/O | | | 07/15/2044 | | | | 6,345,346 | |
| | 55,837,329 | | | Federal Home Loan Mortgage Corporation, Series 4429-HA | | | 3.00% | | | | 04/15/2034 | | | | 56,865,557 | |
| | 24,481,463 | | | Federal Home Loan Mortgage Corporation, Series 4434-LZ | | | 3.00% | | | | 02/15/2045 | | | | 22,352,408 | |
| | 14,063,633 | | | Federal Home Loan Mortgage Corporation, Series 4438-B | | | 3.00% | | | | 10/15/2043 | | | | 14,297,680 | |
| | 9,153,938 | | | Federal Home Loan Mortgage Corporation, Series 4441-VZ | | | 3.00% | | | | 02/15/2045 | | | | 8,361,401 | |
| | 62,373,457 | | | Federal Home Loan Mortgage Corporation, Series 4444-CH | | | 3.00% | | | | 01/15/2041 | | | | 63,814,191 | |
| | 26,610,286 | | | Federal Home Loan Mortgage Corporation, Series 4444-CZ | | | 3.00% | | | | 02/15/2045 | | | | 23,952,559 | |
| | 59,544,506 | | | Federal Home Loan Mortgage Corporation, Series 4447-A | | | 3.00% | | | | 06/15/2041 | | | | 60,683,056 | |
| | 24,912,288 | | | Federal Home Loan Mortgage Corporation, Series 4447-YZ | | | 4.00% | | | | 08/15/2043 | | | | 26,424,882 | |
| | 7,963,178 | | | Federal Home Loan Mortgage Corporation, Series 4450-JZ | | | 3.00% | | | | 03/15/2045 | | | | 7,231,346 | |
| | 6,925,055 | | | Federal Home Loan Mortgage Corporation, Series 4461-LZ | | | 3.00% | | | | 03/15/2045 | | | | 6,285,705 | |
| | 8,167,851 | | | Federal Home Loan Mortgage Corporation, Series 4462-ZA | | | 3.00% | | | | 04/15/2045 | | | | 7,610,681 | |
| | 47,659,917 | | | Federal Home Loan Mortgage Corporation, Series 4463-ZC | | | 3.00% | | | | 04/15/2045 | | | | 44,036,967 | |
| | 26,477,732 | | | Federal Home Loan Mortgage Corporation, Series 4467-ZA | | | 3.00% | | | | 04/15/2045 | | | | 23,853,770 | |
| | 181,096,662 | | | Federal Home Loan Mortgage Corporation, Series 4471-BA | | | 3.00% | | | | 12/15/2041 | | | | 182,446,846 | |
| | 157,473,592 | | | Federal Home Loan Mortgage Corporation, Series 4471-BC | | | 3.00% | | | | 12/15/2041 | | | | 160,548,768 | |
| | 140,192,234 | | | Federal Home Loan Mortgage Corporation, Series 4471-GA | | | 3.00% | | | | 02/15/2044 | | | | 141,119,297 | |
| | 63,809,287 | | | Federal Home Loan Mortgage Corporation, Series 4481-B | | | 3.00% | | | | 12/15/2042 | | | | 64,046,913 | |
| | 252,135,287 | | | Federal Home Loan Mortgage Corporation, Series 4483-CA | | | 3.00% | | | | 06/15/2044 | | | | 254,744,761 | |
| | 145,975,745 | | | Federal Home Loan Mortgage Corporation, Series 4483-PA | | | 2.50% | | | | 06/15/2045 | | | | 146,005,641 | |
| | 15,807,503 | | | Federal Home Loan Mortgage Corporation, Series 4484-ZL | | | 3.00% | | | | 06/15/2045 | | | | 14,757,648 | |
| | 8,479,826 | | | Federal Home Loan Mortgage Corporation, Series 4492-GZ | | | 3.50% | | | | 07/15/2045 | | | | 8,259,298 | |
| | 43,100,244 | | | Federal Home Loan Mortgage Corporation, Series 4498-PD | | | 2.50% | | | | 08/15/2042 | | | | 43,009,471 | |
| | 36,552,231 | | | Federal Home Loan Mortgage Corporation, Series 4499-AB | | | 3.00% | | | | 06/15/2042 | | | | 36,771,215 | |
| | 63,189,002 | | | Federal Home Loan Mortgage Corporation, Series 4504-CA | | | 3.00% | | | | 04/15/2044 | | | | 64,198,256 | |
| | 36,991,124 | | | Federal Home Loan Mortgage Corporation, Series 4511-QA | | | 3.00% | | | | 01/15/2041 | | | | 37,421,767 | |
| | 30,795,405 | | | Federal Home Loan Mortgage Corporation, Series 4511-QC | | | 3.00% | | | | 12/15/2040 | | | | 31,245,640 | |
| | 74,522,660 | | | Federal Home Loan Mortgage Corporation, Series 4527-CA | | | 3.00% | | | | 02/15/2044 | | | | 75,420,546 | |
| | 175,492,787 | | | Federal Home Loan Mortgage Corporation, Series 4527-GA | | | 3.00% | | | | 02/15/2044 | | | | 178,467,354 | |
| | 169,327,213 | | | Federal Home Loan Mortgage Corporation, Series 4533-AB | | | 3.00% | | | | 06/15/2044 | | | | 168,664,975 | |
| | 149,770,469 | | | Federal Home Loan Mortgage Corporation, Series 4543-HG | | | 2.70% | | | | 04/15/2044 | | | | 148,823,470 | |
| | 236,053,308 | | | Federal Home Loan Mortgage Corporation, Series 4573-CA | | | 3.00% | | | | 11/15/2044 | | | | 233,914,169 | |
| | 77,174,781 | | | Federal Home Loan Mortgage Corporation, Series 4573-DA | | | 3.00% | | | | 03/15/2045 | | | | 76,409,446 | |
| | 170,130,748 | | | Federal Home Loan Mortgage Corporation, Series 4582-HA | | | 3.00% | | | | 09/15/2045 | | | | 172,383,245 | |
| | 86,127,140 | | | Federal Home Loan Mortgage Corporation, Series 4588-DA | | | 3.00% | | | | 02/15/2044 | | | | 86,704,278 | |
| | 83,766,033 | | | Federal Home Loan Mortgage Corporation, Series 4629-KA | | | 3.00% | | | | 03/15/2045 | | | | 84,728,220 | |
| | 89,654,817 | | | Federal Home Loan Mortgage Corporation, Series R003-ZA | | | 5.50% | | | | 10/15/2035 | | | | 101,544,481 | |
| | 267,591,486 | | | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Z40117-Z4 | | | 3.00% | | | | 04/01/2045 | | | | 265,477,406 | |
| | 6,583,000 | | | Federal Home Loan Mortgage Corporation Pass-Thru, Series K054-A2 | | | 2.75% | | | | 01/25/2026 | | | | 6,535,460 | |
| | 39,064,833 | | | Federal National Mortgage Association, Pool AL9220 | | | 3.00% | | | | 06/01/2045 | | | | 38,970,177 | |
| | 85,090,878 | | | Federal National Mortgage Association, Pool AS7473 | | | 3.00% | | | | 07/01/2046 | | | | 84,100,244 | |
| | 11,646,037 | | | Federal National Mortgage Association, Pool AS7610 | | | 2.50% | | | | 07/01/2046 | | | | 11,047,225 | |
| | 187,709,543 | | | Federal National Mortgage Association, Pool AS7661 | | | 3.00% | | | | 08/01/2046 | | | | 185,524,204 | |
| | 108,146,542 | | | Federal National Mortgage Association, Pool AS8111 | | | 3.00% | | | | 10/01/2041 | | | | 107,895,537 | |
| | 72,676,268 | | | Federal National Mortgage Association, Pool AS8306 | | | 3.00% | | | | 11/01/2041 | | | | 72,507,588 | |
| | 376,978,583 | | | Federal National Mortgage Association, Pool AS8356 | | | 3.00% | | | | 11/01/2046 | | | | 372,589,878 | |
| | 44,665,088 | | | Federal National Mortgage Association, Pool AS8522 | | | 3.00% | | | | 12/01/2046 | | | | 44,339,718 | |
| | 22,792,999 | | | Federal National Mortgage Association, Pool AZ0576 | | | 3.50% | | | | 04/01/2042 | | | | 23,467,861 | |
| | 26,720,604 | | | Federal National Mortgage Association, Pool BC9081 | | | 3.00% | | | | 12/01/2046 | | | | 26,525,954 | |
| | 163,623,012 | | | Federal National Mortgage Association, Pool MA2621 | | | 3.50% | | | | 05/01/2046 | | | | 166,854,951 | |
| | 126,038,710 | | | Federal National Mortgage Association, Pool MA2649 | | | 3.00% | | | | 06/01/2046 | | | | 124,572,439 | |
| | 45,147,963 | | | Federal National Mortgage Association, Pool MA2673 | | | 3.00% | | | | 07/01/2046 | | | | 44,622,331 | |
| | 136,184,659 | | | Federal National Mortgage Association, Pool MA2711 | | | 3.00% | | | | 08/01/2046 | | | | 134,599,122 | |
| | 77,151,025 | | | Federal National Mortgage Association, Pool MA2737 | | | 3.00% | | | | 09/01/2046 | | | | 76,588,989 | |
| | 12,679,089 | | | Federal National Mortgage Association, Pool MA2743 | | | 3.00% | | | | 09/01/2046 | | | | 12,531,472 | |
| | 1,114,858 | | | Federal National Mortgage Association, Series 2002-70-QZ | | | 5.50% | | | | 11/25/2032 | | | | 1,217,874 | |
| | 1,738,849 | | | Federal National Mortgage Association, Series 2002-75-ZG | | | 5.50% | | | | 11/25/2032 | | | | 1,946,859 | |
| | 794,104 | | | Federal National Mortgage Association, Series 2003-117-KS | | | 6.12% | #I/F I/O | | | 08/25/2033 | | | | 20,753 | |
| | 22,830,849 | | | Federal National Mortgage Association, Series 2003-129-ZT | | | 5.50% | | | | 01/25/2034 | | | | 26,025,172 | |
| | 4,435,973 | | | Federal National Mortgage Association, Series 2003-29-ZL | | | 5.00% | | | | 04/25/2033 | | | | 4,857,864 | |
| | 2,201,100 | | | Federal National Mortgage Association, Series 2003-64-ZG | | | 5.50% | | | | 07/25/2033 | | | | 2,387,064 | |
| | 18,746,854 | | | Federal National Mortgage Association, Series 2003-84-PZ | | | 5.00% | | | | 09/25/2033 | | | | 20,465,476 | |
| | 15,280,566 | | | Federal National Mortgage Association, Series 2003-W17-1A7 | | | 5.75% | | | | 08/25/2033 | | | | 17,144,572 | |
| | 5,047,433 | | | Federal National Mortgage Association, Series 2004-46-PJ | | | 5.02% | #I/F I/O | | | 03/25/2034 | | | | 605,277 | |
| | 4,146,174 | | | Federal National Mortgage Association, Series 2004-51-XP | | | 6.72% | #I/F I/O | | | 07/25/2034 | | | | 920,508 | |
| | 5,000,000 | | | Federal National Mortgage Association, Series 2004-W10-A6 | | | 5.75% | | | | 08/25/2034 | | | | 5,625,905 | |
| | 1,394,579 | | | Federal National Mortgage Association, Series 2004-W4-A5 | | | 5.50% | | | | 06/25/2034 | | | | 1,451,557 | |
| | 336,748 | | | Federal National Mortgage Association, Series 2005-107-EG | | | 4.50% | | | | 01/25/2026 | | | | 358,098 | |
| | 1,057,165 | | | Federal National Mortgage Association, Series 2005-37-ZK | | | 4.50% | | | | 05/25/2035 | | | | 1,115,606 | |
| | 10,020,671 | | | Federal National Mortgage Association, Series 2005-87-SE | | | 5.07% | #I/F I/O | | | 10/25/2035 | | | | 1,550,623 | |
| | 8,149,341 | | | Federal National Mortgage Association, Series 2005-87-SG | | | 5.72% | #I/F I/O | | | 10/25/2035 | | | | 1,296,990 | |
| | 6,603,396 | | | Federal National Mortgage Association, Series 2006-101-SA | | | 5.60% | #I/F I/O | | | 10/25/2036 | | | | 1,104,629 | |
| | 2,754,490 | | | Federal National Mortgage Association, Series 2006-123-LI | | | 5.34% | #I/F I/O | | | 01/25/2037 | | | | 489,621 | |
| | 1,960,223 | | | Federal National Mortgage Association, Series 2006-16-HZ | | | 5.50% | | | | 03/25/2036 | | | | 2,090,948 | |
| | 11,574,956 | | | Federal National Mortgage Association, Series 2006-56-SM | | | 5.77% | #I/F I/O | | | 07/25/2036 | | | | 1,842,074 | |
| | 17,534,591 | | | Federal National Mortgage Association, Series 2006-60-YI | | | 5.59% | #I/F I/O | | | 07/25/2036 | | | | 4,021,641 | |
| | 1,653,695 | | | Federal National Mortgage Association, Series 2006-93-SN | | | 5.62% | #I/F I/O | | | 10/25/2036 | | | | 248,719 | |
| | 13,719,988 | | | Federal National Mortgage Association, Series 2007-109-VZ | | | 5.00% | | | | 10/25/2035 | | | | 15,140,124 | |
| | 1,886,739 | | | Federal National Mortgage Association, Series 2007-116-BI | | | 5.27% | #I/F I/O | | | 05/25/2037 | | | | 286,704 | |
| | | | | | | | | | | | | | | | |
| | 10,608,550 | | | Federal National Mortgage Association, Series 2007-14-PS | | | 5.83% | #I/F I/O | | | 03/25/2037 | | | | 2,001,854 | |
| | 5,090,421 | | | Federal National Mortgage Association, Series 2007-30-OI | | | 5.46% | #I/F I/O | | | 04/25/2037 | | | | 887,841 | |
| | 1,180,662 | | | Federal National Mortgage Association, Series 2007-30-SI | | | 5.13% | #I/F I/O | | | 04/25/2037 | | | | 154,568 | |
| | 5,591,131 | | | Federal National Mortgage Association, Series 2007-32-SG | | | 5.12% | #I/F I/O | | | 04/25/2037 | | | | 943,612 | |
| | 4,551,915 | | | Federal National Mortgage Association, Series 2007-57-SX | | | 5.64% | #I/F I/O | | | 10/25/2036 | | | | 824,046 | |
| | 6,854,429 | | | Federal National Mortgage Association, Series 2007-60-VZ | | | 6.00% | | | | 07/25/2037 | | | | 7,762,091 | |
| | 3,008,975 | | | Federal National Mortgage Association, Series 2007-71-GZ | | | 6.00% | | | | 07/25/2047 | | | | 3,302,241 | |
| | 5,494,776 | | | Federal National Mortgage Association, Series 2007-75-ID | | | 4.89% | #I/F I/O | | | 08/25/2037 | | | | 926,913 | |
| | 1,537,642 | | | Federal National Mortgage Association, Series 2007-9-SD | | | 5.67% | #I/F I/O | | | 03/25/2037 | | | | 183,548 | |
| | 1,107,131 | | | Federal National Mortgage Association, Series 2008-27-B | | | 5.50% | | | | 04/25/2038 | | | | 1,173,310 | |
| | 6,361,165 | | | Federal National Mortgage Association, Series 2008-29-ZA | | | 4.50% | | | | 04/25/2038 | | | | 6,821,579 | |
| | 12,368,724 | | | Federal National Mortgage Association, Series 2008-48-BE | | | 5.00% | | | | 06/25/2034 | | | | 13,497,101 | |
| | 2,172,559 | | | Federal National Mortgage Association, Series 2008-48-SD | | | 5.02% | #I/F I/O | | | 06/25/2037 | | | | 304,085 | |
| | 2,153,577 | | | Federal National Mortgage Association, Series 2008-53-LI | | | 5.17% | #I/F I/O | | | 07/25/2038 | | | | 263,876 | |
| | 2,048,099 | | | Federal National Mortgage Association, Series 2008-57-SE | | | 5.02% | #I/F I/O | | | 02/25/2037 | | | | 266,480 | |
| | 1,514,842 | | | Federal National Mortgage Association, Series 2008-5-MS | | | 5.27% | #I/F I/O | | | 02/25/2038 | | | | 211,836 | |
| | 1,912,806 | | | Federal National Mortgage Association, Series 2008-61-SC | | | 5.02% | #I/F I/O | | | 07/25/2038 | | | | 235,237 | |
| | 2,458,394 | | | Federal National Mortgage Association, Series 2008-62-SC | | | 5.02% | #I/F I/O | | | 07/25/2038 | | | | 316,875 | |
| | 3,450,823 | | | Federal National Mortgage Association, Series 2008-65-SA | | | 5.02% | #I/F I/O | | | 08/25/2038 | | | | 521,577 | |
| | 3,547,125 | | | Federal National Mortgage Association, Series 2008-81-LP | | | 5.50% | | | | 09/25/2038 | | | | 3,833,546 | |
| | 10,629,795 | | | Federal National Mortgage Association, Series 2009-106-EZ | | | 4.50% | | | | 01/25/2040 | | | | 11,131,751 | |
| | 2,894,104 | | | Federal National Mortgage Association, Series 2009-111-SE | | | 5.27% | #I/F I/O | | | 01/25/2040 | | | | 424,571 | |
| | 877,509 | | | Federal National Mortgage Association, Series 2009-16-MZ | | | 5.00% | | | | 03/25/2029 | | | | 959,883 | |
| | 5,965,467 | | | Federal National Mortgage Association, Series 2009-42-SI | | | 5.02% | #I/F I/O | | | 06/25/2039 | | | | 829,422 | |
| | 3,083,538 | | | Federal National Mortgage Association, Series 2009-42-SX | | | 5.02% | #I/F I/O | | | 06/25/2039 | | | | 362,065 | |
| | 2,508,499 | | | Federal National Mortgage Association, Series 2009-47-SA | | | 5.12% | #I/F I/O | | | 07/25/2039 | | | | 281,787 | |
| | 1,205,688 | | | Federal National Mortgage Association, Series 2009-48-WS | | | 4.97% | #I/F I/O | | | 07/25/2039 | | | | 128,503 | |
| | 8,276,114 | | | Federal National Mortgage Association, Series 2009-49-S | | | 5.77% | #I/F I/O | | | 07/25/2039 | | | | 1,546,489 | |
| | 1,191,515 | | | Federal National Mortgage Association, Series 2009-51-BZ | | | 4.50% | | | | 07/25/2039 | | | | 1,250,222 | |
| | 2,529,731 | | | Federal National Mortgage Association, Series 2009-54-EZ | | | 5.00% | | | | 07/25/2039 | | | | 2,716,140 | |
| | 2,491,818 | | | Federal National Mortgage Association, Series 2009-70-SA | | | 4.82% | #I/F I/O | | | 09/25/2039 | | | | 255,410 | |
| | 8,451,649 | | | Federal National Mortgage Association, Series 2009-80-PM | | | 4.50% | | | | 10/25/2039 | | | | 9,062,004 | |
| | 4,322,497 | | | Federal National Mortgage Association, Series 2009-83-Z | | | 4.50% | | | | 10/25/2039 | | | | 4,524,516 | |
| | 18,054,151 | | | Federal National Mortgage Association, Series 2009-85-ES | | | 6.25% | #I/F I/O | | | 01/25/2036 | | | | 3,449,130 | |
| | 25,208,473 | | | Federal National Mortgage Association, Series 2009-85-JS | | | 5.77% | #I/F I/O | | | 10/25/2039 | | | | 4,483,768 | |
| | 3,408,431 | | | Federal National Mortgage Association, Series 2009-90-IB | | | 4.74% | #I/F I/O | | | 04/25/2037 | | | | 432,667 | |
| | 2,316,096 | | | Federal National Mortgage Association, Series 2009-94-BC | | | 5.00% | | | | 11/25/2039 | | | | 2,477,159 | |
| | 21,670,672 | | | Federal National Mortgage Association, Series 2010-101-SA | | | 3.50% | #I/F I/O | | | 09/25/2040 | | | | 2,350,217 | |
| | 10,871,231 | | | Federal National Mortgage Association, Series 2010-101-ZC | | | 4.50% | | | | 09/25/2040 | | | | 11,576,863 | |
| | 32,343,863 | | | Federal National Mortgage Association, Series 2010-101-ZH | | | 4.50% | | | | 07/25/2040 | | | | 34,134,296 | |
| | 7,595,078 | | | Federal National Mortgage Association, Series 2010-10-SA | | | 5.37% | #I/F I/O | | | 02/25/2040 | | | | 1,284,266 | |
| | 3,482,574 | | | Federal National Mortgage Association, Series 2010-10-ZA | | | 4.50% | | | | 02/25/2040 | | | | 3,591,183 | |
| | 1,820,669 | | | Federal National Mortgage Association, Series 2010-111-S | | | 4.97% | #I/F I/O | | | 10/25/2050 | | | | 224,135 | |
| | 6,437,628 | | | Federal National Mortgage Association, Series 2010-116-Z | | | 4.00% | | | | 10/25/2040 | | | | 6,799,072 | |
| | 2,934,323 | | | Federal National Mortgage Association, Series 2010-117-SA | | | 3.52% | #I/F I/O | | | 10/25/2040 | | | | 237,511 | |
| | 5,524,947 | | | Federal National Mortgage Association, Series 2010-120-KD | | | 4.00% | | | | 10/25/2040 | | | | 5,856,093 | |
| | 38,592,561 | | | Federal National Mortgage Association, Series 2010-121-SD | | | 3.52% | #I/F I/O | | | 10/25/2040 | | | | 3,354,373 | |
| | 242,685 | | | Federal National Mortgage Association, Series 2010-126-SU | | | 46.37% | #I/F | | | 11/25/2040 | | | | 784,636 | |
| | 178,693 | | | Federal National Mortgage Association, Series 2010-126-SX | | | 12.65% | #I/F | | | 11/25/2040 | | | | 273,801 | |
| | 8,764,639 | | | Federal National Mortgage Association, Series 2010-128-HZ | | | 4.00% | | | | 11/25/2040 | | | | 9,076,567 | |
| | 6,870,028 | | | Federal National Mortgage Association, Series 2010-132-Z | | | 4.50% | | | | 11/25/2040 | | | | 7,210,184 | |
| | 88,008 | | | Federal National Mortgage Association, Series 2010-137-VS | | | 12.65% | #I/F | | | 12/25/2040 | | | | 121,434 | |
| | 17,357,299 | | | Federal National Mortgage Association, Series 2010-142-AZ | | | 4.00% | | | | 12/25/2040 | | | | 17,867,482 | |
| | 19,926,373 | | | Federal National Mortgage Association, Series 2010-148-SA | | | 5.67% | #I/F I/O | | | 01/25/2026 | | | | 2,463,223 | |
| | 34,654,276 | | | Federal National Mortgage Association, Series 2010-150-ZA | | | 4.00% | | | | 01/25/2041 | | | | 36,321,985 | |
| | 14,532,496 | | | Federal National Mortgage Association, Series 2010-16-SA | | | 4.47% | #I/F I/O | | | 03/25/2040 | | | | 2,118,972 | |
| | 3,905,315 | | | Federal National Mortgage Association, Series 2010-21-DZ | | | 5.00% | | | | 03/25/2040 | | | | 4,294,904 | |
| | 2,334,273 | | | Federal National Mortgage Association, Series 2010-21-KS | | | 3.97% | #I/F I/O | | | 03/25/2040 | | | | 163,670 | |
| | 1,059,215 | | | Federal National Mortgage Association, Series 2010-2-GS | | | 5.47% | #I/F I/O | | | 12/25/2049 | | | | 113,959 | |
| | 3,285,869 | | | Federal National Mortgage Association, Series 2010-2-MS | | | 5.27% | #I/F I/O | | | 02/25/2050 | | | | 469,390 | |
| | 2,993,292 | | | Federal National Mortgage Association, Series 2010-31-SA | | | 4.02% | #I/F I/O | | | 04/25/2040 | | | | 284,395 | |
| | 7,570,065 | | | Federal National Mortgage Association, Series 2010-31-VZ | | | 4.00% | | | | 04/25/2040 | | | | 7,767,977 | |
| | 6,451,527 | | | Federal National Mortgage Association, Series 2010-34-PS | | | 3.95% | #I/F I/O | | | 04/25/2040 | | | | 689,191 | |
| | 1,200,446 | | | Federal National Mortgage Association, Series 2010-35-ES | | | 5.47% | #I/F I/O | | | 04/25/2040 | | | | 156,165 | |
| | 1,801,265 | | | Federal National Mortgage Association, Series 2010-35-SV | | | 5.47% | #I/F I/O | | | 04/25/2040 | | | | 237,265 | |
| | 2,069,512 | | | Federal National Mortgage Association, Series 2010-46-MS | | | 3.97% | #I/F I/O | | | 05/25/2040 | | | | 197,832 | |
| | 15,800,224 | | | Federal National Mortgage Association, Series 2010-49-ZW | | | 4.50% | | | | 05/25/2040 | | | | 16,500,074 | |
| | 3,924,886 | | | Federal National Mortgage Association, Series 2010-4-SK | | | 5.25% | #I/F I/O | | | 02/25/2040 | | | | 591,481 | |
| | 1,468,109 | | | Federal National Mortgage Association, Series 2010-58-ES | | | 9.95% | #I/F | | | 06/25/2040 | | | | 1,657,048 | |
| | 10,351,523 | | | Federal National Mortgage Association, Series 2010-59-MS | | | 4.79% | #I/F I/O | | | 06/25/2040 | | | | 1,747,716 | |
| | 14,742,875 | | | Federal National Mortgage Association, Series 2010-59-PS | | | 5.47% | #I/F I/O | | | 03/25/2039 | | | | 1,342,530 | |
| | 10,762,656 | | | Federal National Mortgage Association, Series 2010-59-SC | | | 4.02% | #I/F I/O | | | 01/25/2040 | | | | 1,276,442 | |
| | 1,653,202 | | | Federal National Mortgage Association, Series 2010-60-VZ | | | 5.00% | | | | 10/25/2039 | | | | 1,731,168 | |
| | 987,323 | | | Federal National Mortgage Association, Series 2010-61-EL | | | 4.50% | | | | 06/25/2040 | | | | 1,054,360 | |
| | 11,735,481 | | | Federal National Mortgage Association, Series 2010-64-EZ | | | 5.00% | | | | 06/25/2040 | | | | 12,865,378 | |
| | 35,587,840 | | | Federal National Mortgage Association, Series 2010-76-ZK | | | 4.50% | | | | 07/25/2040 | | | | 37,859,875 | |
| | 9,276,617 | | | Federal National Mortgage Association, Series 2010-79-CZ | | | 4.00% | | | | 07/25/2040 | | | | 9,499,890 | |
| | 33,805,647 | | | Federal National Mortgage Association, Series 2010-79-VZ | | | 4.50% | | | | 07/25/2040 | | | | 36,293,337 | |
| | 6,216,614 | | | Federal National Mortgage Association, Series 2010-84-ZC | | | 4.50% | | | | 08/25/2040 | | | | 6,622,971 | |
| | 12,433,202 | | | Federal National Mortgage Association, Series 2010-84-ZD | | | 4.50% | | | | 08/25/2040 | | | | 13,245,914 | |
| | | | | | | | | | | | | | | | |
| | 15,181,696 | | | Federal National Mortgage Association, Series 2010-84-ZG | | | 4.50% | | | | 08/25/2040 | | | | 16,417,750 | |
| | 1,846,071 | | | Federal National Mortgage Association, Series 2010-90-SA | | | 4.87% | #I/F I/O | | | 08/25/2040 | | | | 225,508 | |
| | 2,725,271 | | | Federal National Mortgage Association, Series 2010-94-Z | | | 4.50% | | | | 08/25/2040 | | | | 2,853,932 | |
| | 8,668,587 | | | Federal National Mortgage Association, Series 2010-99-SG | | | 21.08% | #I/F | | | 09/25/2040 | | | | 15,041,924 | |
| | 3,485,783 | | | Federal National Mortgage Association, Series 2010-9-DS | | | 4.32% | #I/F I/O | | | 02/25/2040 | | | | 365,089 | |
| | 34,647,700 | | | Federal National Mortgage Association, Series 2011-106-LZ | | | 3.50% | | | | 10/25/2041 | | | | 35,474,574 | |
| | 520,021 | | | Federal National Mortgage Association, Series 2011-110-LS | | | 8.53% | #I/F | | | 11/25/2041 | | | | 644,649 | |
| | 11,578,862 | | | Federal National Mortgage Association, Series 2011-111-CZ | | | 4.00% | | | | 11/25/2041 | | | | 11,978,349 | |
| | 8,714,426 | | | Federal National Mortgage Association, Series 2011-111-EZ | | | 5.00% | | | | 11/25/2041 | | | | 9,473,156 | |
| | 7,557,874 | | | Federal National Mortgage Association, Series 2011-111-VZ | | | 4.00% | | | | 11/25/2041 | | | | 7,759,402 | |
| | 30,000,000 | | | Federal National Mortgage Association, Series 2011-131-PB | | | 4.50% | | | | 12/25/2041 | | | | 33,162,492 | |
| | 29,500,000 | | | Federal National Mortgage Association, Series 2011-16-AL | | | 3.50% | | | | 03/25/2031 | | | | 31,138,799 | |
| | 38,800,000 | | | Federal National Mortgage Association, Series 2011-17-NY | | | 3.50% | | | | 03/25/2031 | | | | 40,327,118 | |
| | 1,852,847 | | | Federal National Mortgage Association, Series 2011-17-SA | | | 5.49% | #I/F I/O | | | 03/25/2041 | | | | 252,432 | |
| | 11,000,000 | | | Federal National Mortgage Association, Series 2011-25-KY | | | 3.00% | | | | 04/25/2026 | | | | 11,266,277 | |
| | 4,744,126 | | | Federal National Mortgage Association, Series 2011-27-BS | | | 7.43% | #I/F | | | 04/25/2041 | | | | 4,948,388 | |
| | 56,000,000 | | | Federal National Mortgage Association, Series 2011-29-AL | | | 3.50% | | | | 04/25/2031 | | | | 57,750,353 | |
| | 17,735,053 | | | Federal National Mortgage Association, Series 2011-2-GZ | | | 4.00% | | | | 02/25/2041 | | | | 18,693,356 | |
| | 828,639 | | | Federal National Mortgage Association, Series 2011-2-VD | | | 4.00% | | | | 07/25/2027 | | | | 828,059 | |
| | 48,730,703 | | | Federal National Mortgage Association, Series 2011-32-X | | | 4.00% | | | | 04/25/2041 | | | | 50,271,519 | |
| | 8,680,472 | | | Federal National Mortgage Association, Series 2011-36-VZ | | | 4.50% | | | | 05/25/2041 | | | | 9,147,145 | |
| | 22,811,413 | | | Federal National Mortgage Association, Series 2011-37-Z | | | 4.50% | | | | 05/25/2041 | | | | 24,660,579 | |
| | 8,432,891 | | | Federal National Mortgage Association, Series 2011-38-BZ | | | 4.00% | | | | 05/25/2041 | | | | 8,604,836 | |
| | 8,748,233 | | | Federal National Mortgage Association, Series 2011-39-CB | | | 3.00% | | | | 05/25/2026 | | | | 8,907,522 | |
| | 23,210,843 | | | Federal National Mortgage Association, Series 2011-39-ZD | | | 4.00% | | | | 02/25/2041 | | | | 24,698,834 | |
| | 5,926,002 | | | Federal National Mortgage Association, Series 2011-40-LZ | | | 4.50% | | | | 05/25/2041 | | | | 6,229,635 | |
| | 11,962,452 | | | Federal National Mortgage Association, Series 2011-42-MZ | | | 4.50% | | | | 05/25/2041 | | | | 12,754,283 | |
| | 18,964,873 | | | Federal National Mortgage Association, Series 2011-45-ZA | | | 4.00% | | | | 05/25/2031 | | | | 19,876,180 | |
| | 21,728,333 | | | Federal National Mortgage Association, Series 2011-45-ZB | | | 4.50% | | | | 05/25/2041 | | | | 23,727,448 | |
| | 4,344,841 | | | Federal National Mortgage Association, Series 2011-48-SC | | | 7.24% | #I/F | | | 06/25/2041 | | | | 4,423,237 | |
| | 15,902,442 | | | Federal National Mortgage Association, Series 2011-58-SA | | | 5.57% | #I/F I/O | | | 07/25/2041 | | | | 2,917,375 | |
| | 2,583,611 | | | Federal National Mortgage Association, Series 2011-59-MA | | | 4.50% | | | | 07/25/2041 | | | | 2,765,995 | |
| | 13,969,748 | | | Federal National Mortgage Association, Series 2011-60-EL | | | 3.00% | | | | 07/25/2026 | | | | 14,377,274 | |
| | 26,072,258 | | | Federal National Mortgage Association, Series 2011-64-DB | | | 4.00% | | | | 07/25/2041 | | | | 27,681,579 | |
| | 10,266,179 | | | Federal National Mortgage Association, Series 2011-74-KL | | | 5.00% | | | | 06/25/2040 | | | | 11,079,761 | |
| | 25,452,506 | | | Federal National Mortgage Association, Series 2011-77-Z | | | 3.50% | | | | 08/25/2041 | | | | 27,454,697 | |
| | 21,787,531 | | | Federal National Mortgage Association, Series 2011-8-AV | | | 4.00% | | | | 01/25/2030 | | | | 22,061,653 | |
| | 25,604,532 | | | Federal National Mortgage Association, Series 2011-99-CZ | | | 4.50% | | | | 10/25/2041 | | | | 28,471,556 | |
| | 118,420,085 | | | Federal National Mortgage Association, Series 2011-99-DZ | | | 5.00% | | | | 10/25/2041 | | | | 131,330,100 | |
| | 12,090,989 | | | Federal National Mortgage Association, Series 2012-104-Z | | | 3.50% | | | | 09/25/2042 | | | | 11,920,025 | |
| | 11,284,029 | | | Federal National Mortgage Association, Series 2012-111-LB | | | 3.50% | | | | 05/25/2041 | | | | 11,529,292 | |
| | 39,366,865 | | | Federal National Mortgage Association, Series 2012-111-MJ | | | 4.00% | | | | 04/25/2042 | | | | 41,259,443 | |
| | 23,585,710 | | | Federal National Mortgage Association, Series 2012-114-DC | | | 2.00% | | | | 08/25/2039 | | | | 23,495,266 | |
| | 105,151,084 | | | Federal National Mortgage Association, Series 2012-122-AD | | | 2.00% | | | | 02/25/2040 | | | | 104,564,551 | |
| | 81,965,394 | | | Federal National Mortgage Association, Series 2012-122-DB | | | 3.00% | | | | 11/25/2042 | | | | 81,702,760 | |
| | 92,513,761 | | | Federal National Mortgage Association, Series 2012-125-LA | | | 3.00% | | | | 11/25/2042 | | | | 91,764,502 | |
| | 7,701,751 | | | Federal National Mortgage Association, Series 2012-133-PB | | | 6.50% | | | | 04/25/2042 | | | | 8,702,154 | |
| | 51,692,162 | | | Federal National Mortgage Association, Series 2012-144-PT | | | 4.35% | # | | | 11/25/2049 | | | | 56,352,980 | |
| | 10,413,066 | | | Federal National Mortgage Association, Series 2012-14-BZ | | | 4.00% | | | | 03/25/2042 | | | | 10,948,270 | |
| | 23,797,931 | | | Federal National Mortgage Association, Series 2012-15-PZ | | | 4.00% | | | | 03/25/2042 | | | | 24,835,412 | |
| | 17,916,246 | | | Federal National Mortgage Association, Series 2012-20-ZT | | | 3.50% | | | | 03/25/2042 | | | | 18,069,668 | |
| | 54,944,847 | | | Federal National Mortgage Association, Series 2012-30-DZ | | | 4.00% | | | | 04/25/2042 | | | | 58,212,307 | |
| | 45,176,874 | | | Federal National Mortgage Association, Series 2012-31-Z | | | 4.00% | | | | 04/25/2042 | | | | 47,647,462 | |
| | 11,745,277 | | | Federal National Mortgage Association, Series 2012-63-EB | | | 2.00% | | | | 08/25/2040 | | | | 11,763,485 | |
| | 32,457,467 | | | Federal National Mortgage Association, Series 2012-74-Z | | | 4.00% | | | | 07/25/2042 | | | | 33,303,731 | |
| | 9,509,515 | | | Federal National Mortgage Association, Series 2012-80-EA | | | 2.00% | | | | 04/25/2042 | | | | 9,050,171 | |
| | 23,787,831 | | | Federal National Mortgage Association, Series 2012-86-ZC | | | 3.50% | | | | 08/25/2042 | | | | 24,071,577 | |
| | 33,142,681 | | | Federal National Mortgage Association, Series 2012-96-VZ | | | 3.50% | | | | 09/25/2042 | | | | 32,457,622 | |
| | 44,885,166 | | | Federal National Mortgage Association, Series 2012-98-BG | | | 4.50% | | | | 08/25/2040 | | | | 47,774,775 | |
| | 73,915,845 | | | Federal National Mortgage Association, Series 2012-99-QE | | | 3.00% | | | | 09/25/2042 | | | | 74,157,225 | |
| | 24,737,308 | | | Federal National Mortgage Association, Series 2013-130-ZE | | | 3.00% | | | | 01/25/2044 | | | | 23,006,678 | |
| | 22,226,320 | | | Federal National Mortgage Association, Series 2013-133-ZT | | | 3.00% | | | | 01/25/2039 | | | | 20,548,437 | |
| | 11,836,944 | | | Federal National Mortgage Association, Series 2013-36-Z | | | 3.00% | | | | 04/25/2043 | | | | 11,118,539 | |
| | 21,003,301 | | | Federal National Mortgage Association, Series 2013-41-ZH | | | 3.00% | | | | 05/25/2033 | | | | 20,778,681 | |
| | 19,292,416 | | | Federal National Mortgage Association, Series 2013-51-HS | | | 4.22% | #I/F | | | 04/25/2043 | | | | 17,946,737 | |
| | 6,687,392 | | | Federal National Mortgage Association, Series 2013-53-AB | | | 1.50% | | | | 03/25/2028 | | | | 6,418,548 | |
| | 7,059,931 | | | Federal National Mortgage Association, Series 2013-58-SC | | | 4.53% | #I/F | | | 06/25/2043 | | | | 6,083,757 | |
| | 111,562,918 | | | Federal National Mortgage Association, Series 2013-81-ZQ | | | 3.00% | | | | 08/25/2043 | | | | 100,393,395 | |
| | 32,392,416 | | | Federal National Mortgage Association, Series 2013-82-SH | | | 5.07% | #I/F I/O | | | 12/25/2042 | | | | 5,389,016 | |
| | 25,448,946 | | | Federal National Mortgage Association, Series 2013-8-Z | | | 3.00% | | | | 02/25/2043 | | | | 24,195,980 | |
| | 22,275,599 | | | Federal National Mortgage Association, Series 2014-12-GZ | | | 3.50% | | | | 03/25/2044 | | | | 22,232,654 | |
| | 24,069,131 | | | Federal National Mortgage Association, Series 2014-21-GZ | | | 3.00% | | | | 04/25/2044 | | | | 21,740,308 | |
| | 28,584,226 | | | Federal National Mortgage Association, Series 2014-37-ZY | | | 2.50% | | | | 07/25/2044 | | | | 24,474,644 | |
| | 45,607,249 | | | Federal National Mortgage Association, Series 2014-39-ZA | | | 3.00% | | | | 07/25/2044 | | | | 43,956,927 | |
| | 12,463,471 | | | Federal National Mortgage Association, Series 2014-46-NZ | | | 3.00% | | | | 06/25/2043 | | | | 12,031,525 | |
| | 62,516,308 | | | Federal National Mortgage Association, Series 2014-55-MA | | | 3.00% | | | | 10/25/2039 | | | | 63,867,142 | |
| | 4,733,015 | | | Federal National Mortgage Association, Series 2014-56-AD | | | 3.00% | | | | 01/25/2040 | | | | 4,760,970 | |
| | 54,661,933 | | | Federal National Mortgage Association, Series 2014-60-EZ | | | 3.00% | | | | 10/25/2044 | | | | 49,018,498 | |
| | 38,585,091 | | | Federal National Mortgage Association, Series 2014-61-ZV | | | 3.00% | | | | 10/25/2044 | | | | 34,485,382 | |
| | 32,538,816 | | | Federal National Mortgage Association, Series 2014-64-NZ | | | 3.00% | | | | 10/25/2044 | | | | 29,364,218 | |
| | | | | | | | | | | | | | |
126,482,459 | | Federal National Mortgage Association, Series 2014-65-CD | | | 3.00% | | | | 06/25/2040 | | | | 129,972,110 | |
11,457,512 | | Federal National Mortgage Association, Series 2014-67-DZ | | | 3.00% | | | | 10/25/2044 | | | | 10,444,173 | |
122,028,448 | | Federal National Mortgage Association, Series 2014-68-MA | | | 3.00% | | | | 11/25/2040 | | | | 124,177,149 | |
36,627,834 | | Federal National Mortgage Association, Series 2014-68-MZ | | | 3.00% | | | | 11/25/2044 | | | | 32,591,351 | |
25,975,094 | | Federal National Mortgage Association, Series 2014-6-Z | | | 2.50% | | | | 02/25/2044 | | | | 22,192,234 | |
53,099,713 | | Federal National Mortgage Association, Series 2014-73-CQ | | | 3.00% | | | | 06/25/2040 | | | | 54,499,496 | |
20,676,796 | | Federal National Mortgage Association, Series 2014-77-VZ | | | 3.00% | | | | 11/25/2044 | | | | 18,333,449 | |
29,629,764 | | Federal National Mortgage Association, Series 2014-82-YA | | | 3.00% | | | | 04/25/2041 | | | | 30,135,631 | |
26,554,435 | | Federal National Mortgage Association, Series 2014-84-KZ | | | 3.00% | | | | 12/25/2044 | | | | 24,134,867 | |
139,783,975 | | Federal National Mortgage Association, Series 2014-95-NA | | | 3.00% | | | | 04/25/2041 | | | | 141,927,450 | |
196,565,816 | | Federal National Mortgage Association, Series 2014-M11-1A | | | 3.12% | # | | | 08/25/2024 | | | | 198,357,494 | |
95,296,741 | | Federal National Mortgage Association, Series 2015-09-HA | | | 3.00% | | | | 01/25/2045 | | | | 97,295,571 | |
45,382,000 | | Federal National Mortgage Association, Series 2015-11-A | | | 3.00% | | | | 05/25/2034 | | | | 46,732,596 | |
118,693,714 | | Federal National Mortgage Association, Series 2015-21-G | | | 3.00% | | | | 02/25/2042 | | | | 122,562,666 | |
22,828,916 | | Federal National Mortgage Association, Series 2015-42-CA | | | 3.00% | | | | 03/25/2044 | | | | 23,063,495 | |
72,801,343 | | Federal National Mortgage Association, Series 2015-49-A | | | 3.00% | | | | 03/25/2044 | | | | 73,573,670 | |
17,349,080 | | Federal National Mortgage Association, Series 2015-63-KD | | | 3.00% | | | | 07/25/2041 | | | | 17,755,683 | |
67,942,835 | | Federal National Mortgage Association, Series 2015-88-AC | | | 3.00% | | | | 04/25/2043 | | | | 69,161,131 | |
201,807,031 | | Federal National Mortgage Association, Series 2015-88-BA | | | 3.00% | | | | 04/25/2044 | | | | 206,764,925 | |
28,976,242 | | Federal National Mortgage Association, Series 2015-94-MA | | | 3.00% | | | | 01/25/2046 | | | | 29,397,246 | |
63,166,856 | | Federal National Mortgage Association, Series 2016-02-JA | | | 2.50% | | | | 02/25/2046 | | | | 63,188,560 | |
135,342,790 | | Federal National Mortgage Association, Series 2016-32-LA | | | 3.00% | | | | 10/25/2044 | | | | 133,336,996 | |
30,212,874 | | Federal National Mortgage Association, Series 2016-71-ZQ | | | 3.00% | | | | 10/25/2046 | | | | 25,816,454 | |
127,977,850 | | Federal National Mortgage Association, Series 2016-72-PA | | | 3.00% | | | | 07/25/2046 | | | | 129,518,627 | |
100,374,734 | | Federal National Mortgage Association, Series 2016-74-PA | | | 3.00% | | | | 12/25/2044 | | | | 101,131,861 | |
49,076,829 | | Federal National Mortgage Association, Series 2016-79-EP | | | 3.00% | | | | 01/25/2044 | | | | 49,356,390 | |
127,343,961 | | Federal National Mortgage Association, Series 2016-81-PA | | | 3.00% | | | | 02/25/2044 | | | | 127,740,179 | |
67,051,618 | | Federal National Mortgage Association, Series 2016-94-PA | | | 3.00% | | | | 03/25/2044 | | | | 67,969,810 | |
65,028,285 | | Federal National Mortgage Association, Series 2017-13-ML | | | 3.00% | | | | 08/25/2041 | | | | 65,950,757 | |
35,142,812 | | Federal National Mortgage Association, Series 2017-2-HA | | | 3.00% | | | | 09/25/2041 | | | | 35,863,507 | |
24,329,227 | | Federal National Mortgage Association, Series 2017-4-CH | | | 3.00% | | | | 06/25/2042 | | | | 24,821,432 | |
12,697,595 | | Federal National Mortgage Association, Series 400-S4 | | | 4.47% | #I/F I/O | | | 11/25/2039 | | | | 1,776,449 | |
126,478,391 | | Federal National Mortgage Association, Series 412-A3 | | | 3.00% | | | | 08/25/2042 | | | | 124,769,787 | |
13,231,758 | | Federal National Mortgage Association Pass-Thru, Pool 555743 | | | 5.00% | | | | 09/01/2033 | | | | 14,518,943 | |
14,439,933 | | Federal National Mortgage Association Pass-Thru, Pool 735141 | | | 5.50% | | | | 01/01/2035 | | | | 16,175,250 | |
5,365,283 | | Federal National Mortgage Association Pass-Thru, Pool 735230 | | | 5.50% | | | | 02/01/2035 | | | | 6,009,336 | |
10,030,653 | | Federal National Mortgage Association Pass-Thru, Pool 735382 | | | 5.00% | | | | 04/01/2035 | | | | 10,980,615 | |
16,364,134 | | Federal National Mortgage Association Pass-Thru, Pool 735402 | | | 5.00% | | | | 04/01/2035 | | | | 17,911,692 | |
11,482,800 | | Federal National Mortgage Association Pass-Thru, Pool 735484 | | | 5.00% | | | | 05/01/2035 | | | | 12,569,551 | |
4,418,545 | | Federal National Mortgage Association Pass-Thru, Pool 735667 | | | 5.00% | | | | 07/01/2035 | | | | 4,841,552 | |
3,714,144 | | Federal National Mortgage Association Pass-Thru, Pool 735893 | | | 5.00% | | | | 10/01/2035 | | | | 4,065,498 | |
9,282,500 | | Federal National Mortgage Association Pass-Thru, Pool 745275 | | | 5.00% | | | | 02/01/2036 | | | | 10,160,600 | |
502,050 | | Federal National Mortgage Association Pass-Thru, Pool 745571 | | | 4.00% | | | | 01/01/2019 | | | | 519,120 | |
402,917 | | Federal National Mortgage Association Pass-Thru, Pool 888695 | | | 5.00% | | | | 08/01/2037 | | | | 440,005 | |
1,845,458 | | Federal National Mortgage Association Pass-Thru, Pool 888968 | | | 5.00% | | | | 08/01/2035 | | | | 2,017,370 | |
5,438,174 | | Federal National Mortgage Association Pass-Thru, Pool 889509 | | | 6.00% | | | | 05/01/2038 | | | | 6,149,264 | |
9,831,879 | | Federal National Mortgage Association Pass-Thru, Pool 889662 | | | 6.00% | | | | 06/01/2038 | | | | 11,131,047 | |
16,520,961 | | Federal National Mortgage Association Pass-Thru, Pool 890549 | | | 4.00% | | | | 11/01/2043 | | | | 17,479,514 | |
18,467,025 | | Federal National Mortgage Association Pass-Thru, Pool 890565 | | | 3.00% | | | | 11/01/2043 | | | | 18,424,198 | |
1,247,534 | | Federal National Mortgage Association Pass-Thru, Pool 929321 | | | 5.50% | | | | 03/01/2038 | | | | 1,386,834 | |
1,133,628 | | Federal National Mortgage Association Pass-Thru, Pool 931104 | | | 5.00% | | | | 05/01/2039 | | | | 1,237,559 | |
631,918 | | Federal National Mortgage Association Pass-Thru, Pool 961410 | | | 6.00% | | | | 01/01/2038 | | | | 713,835 | |
310,128 | | Federal National Mortgage Association Pass-Thru, Pool 975116 | | | 5.00% | | | | 05/01/2038 | | | | 338,675 | |
3,591,937 | | Federal National Mortgage Association Pass-Thru, Pool 982036 | | | 6.00% | | | | 05/01/2038 | | | | 4,057,569 | |
3,067,278 | | Federal National Mortgage Association Pass-Thru, Pool 985190 | | | 6.00% | | | | 08/01/2038 | | | | 3,464,897 | |
2,221,772 | | Federal National Mortgage Association Pass-Thru, Pool 986864 | | | 6.50% | | | | 08/01/2038 | | | | 2,534,490 | |
1,790,301 | | Federal National Mortgage Association Pass-Thru, Pool 987316 | | | 6.50% | | | | 09/01/2038 | | | | 1,990,924 | |
9,223,776 | | Federal National Mortgage Association Pass-Thru, Pool 995070 | | | 5.50% | | | | 08/01/2037 | | | | 10,326,166 | |
33,763,528 | | Federal National Mortgage Association Pass-Thru, Pool 995112 | | | 5.50% | | | | 07/01/2036 | | | | 37,817,493 | |
17,581,341 | | Federal National Mortgage Association Pass-Thru, Pool 995203 | | | 5.00% | | | | 07/01/2035 | | | | 19,261,526 | |
1,409,618 | | Federal National Mortgage Association Pass-Thru, Pool 995581 | | | 6.00% | | | | 01/01/2039 | | | | 1,592,350 | |
30,300,982 | | Federal National Mortgage Association Pass-Thru, Pool 995849 | | | 5.00% | | | | 08/01/2036 | | | | 33,179,480 | |
24,925,872 | | Federal National Mortgage Association Pass-Thru, Pool AB2123 | | | 4.00% | | | | 01/01/2031 | | | | 26,390,857 | |
650,910 | | Federal National Mortgage Association Pass-Thru, Pool AB2370 | | | 4.50% | | | | 09/01/2035 | | | | 682,044 | |
2,551,382 | | Federal National Mortgage Association Pass-Thru, Pool AB3713 | | | 4.00% | | | | 10/01/2031 | | | | 2,695,934 | |
13,084,555 | | Federal National Mortgage Association Pass-Thru, Pool AB3796 | | | 3.50% | | | | 11/01/2031 | | | | 13,670,614 | |
5,241,357 | | Federal National Mortgage Association Pass-Thru, Pool AB3850 | | | 4.00% | | | | 11/01/2041 | | | | 5,453,075 | |
8,732,770 | | Federal National Mortgage Association Pass-Thru, Pool AB3923 | | | 4.00% | | | | 11/01/2041 | | | | 9,092,185 | |
41,392,727 | | Federal National Mortgage Association Pass-Thru, Pool AB4167 | | | 3.50% | | | | 01/01/2032 | | | | 43,247,670 | |
41,173,170 | | Federal National Mortgage Association Pass-Thru, Pool AB4261 | | | 3.50% | | | | 01/01/2032 | | | | 43,016,817 | |
6,922,868 | | Federal National Mortgage Association Pass-Thru, Pool AB5084 | | | 3.50% | | | | 05/01/2032 | | | | 7,233,116 | |
15,735,490 | | Federal National Mortgage Association Pass-Thru, Pool AB5156 | | | 3.50% | | | | 05/01/2032 | | | | 16,438,647 | |
25,833,917 | | Federal National Mortgage Association Pass-Thru, Pool AB5212 | | | 3.50% | | | | 05/01/2032 | | | | 26,989,352 | |
9,396,440 | | Federal National Mortgage Association Pass-Thru, Pool AB5243 | | | 4.00% | | | | 05/01/2042 | | | | 9,783,395 | |
37,623,043 | | Federal National Mortgage Association Pass-Thru, Pool AB5911 | | | 3.00% | | | | 08/01/2032 | | | | 38,501,804 | |
10,762,253 | | Federal National Mortgage Association Pass-Thru, Pool AB6280 | | | 3.00% | | | | 09/01/2042 | | | | 10,707,471 | |
16,346,999 | | Federal National Mortgage Association Pass-Thru, Pool AB6349 | | | 3.00% | | | | 10/01/2032 | | | | 16,728,817 | |
46,921,950 | | Federal National Mortgage Association Pass-Thru, Pool AB6750 | | | 3.00% | | | | 10/01/2032 | | | | 48,017,896 | |
22,886,209 | | Federal National Mortgage Association Pass-Thru, Pool AB6751 | | | 3.00% | | | | 10/01/2032 | | | | 23,420,420 | |
134,585,600 | | Federal National Mortgage Association Pass-Thru, Pool AB6854 | | | 3.00% | | | | 11/01/2042 | | | | 134,273,255 | |
| | | | | | | | | | | | | | |
96,738,953 | | Federal National Mortgage Association Pass-Thru, Pool AB7077 | | | 3.00% | | | | 11/01/2042 | | | | 96,514,518 | |
79,331,188 | | Federal National Mortgage Association Pass-Thru, Pool AB7344 | | | 3.00% | | | | 12/01/2032 | | | | 81,184,218 | |
36,818,077 | | Federal National Mortgage Association Pass-Thru, Pool AB7776 | | | 3.00% | | | | 02/01/2043 | | | | 36,630,618 | |
45,713,348 | | Federal National Mortgage Association Pass-Thru, Pool AB7877 | | | 3.00% | | | | 02/01/2043 | | | | 45,479,401 | |
19,168,415 | | Federal National Mortgage Association Pass-Thru, Pool AB8418 | | | 3.00% | | | | 02/01/2033 | | | | 19,614,615 | |
28,811,619 | | Federal National Mortgage Association Pass-Thru, Pool AB8520 | | | 3.00% | | | | 02/01/2033 | | | | 29,484,656 | |
33,246,515 | | Federal National Mortgage Association Pass-Thru, Pool AB8703 | | | 3.00% | | | | 03/01/2038 | | | | 33,138,510 | |
17,041,596 | | Federal National Mortgage Association Pass-Thru, Pool AB8858 | | | 3.00% | | | | 04/01/2033 | | | | 17,439,704 | |
28,421,630 | | Federal National Mortgage Association Pass-Thru, Pool AB9020 | | | 3.00% | | | | 04/01/2038 | | | | 28,329,297 | |
26,857,791 | | Federal National Mortgage Association Pass-Thru, Pool AB9197 | | | 3.00% | | | | 05/01/2033 | | | | 27,485,270 | |
78,153,534 | | Federal National Mortgage Association Pass-Thru, Pool AB9406 | | | 3.00% | | | | 05/01/2033 | | | | 79,976,963 | |
16,502,317 | | Federal National Mortgage Association Pass-Thru, Pool AB9409 | | | 3.00% | | | | 05/01/2033 | | | | 16,887,290 | |
836,944 | | Federal National Mortgage Association Pass-Thru, Pool AC1032 | | | 5.00% | | | | 06/01/2040 | | | | 858,159 | |
30,564,407 | | Federal National Mortgage Association Pass-Thru, Pool AD0189 | | | 5.50% | | | | 02/01/2039 | | | | 34,188,068 | |
15,284,506 | | Federal National Mortgage Association Pass-Thru, Pool AD0500 | | | 5.50% | | | | 09/01/2036 | | | | 17,125,130 | |
1,200,289 | | Federal National Mortgage Association Pass-Thru, Pool AD2177 | | | 4.50% | | | | 06/01/2030 | | | | 1,290,917 | |
1,478,822 | | Federal National Mortgage Association Pass-Thru, Pool AD6438 | | | 5.00% | | | | 06/01/2040 | | | | 1,617,550 | |
1,103,634 | | Federal National Mortgage Association Pass-Thru, Pool AD7859 | | | 5.00% | | | | 06/01/2040 | | | | 1,207,521 | |
11,504,065 | | Federal National Mortgage Association Pass-Thru, Pool AH0607 | | | 4.00% | | | | 12/01/2040 | | | | 12,133,142 | |
1,302,364 | | Federal National Mortgage Association Pass-Thru, Pool AH1140 | | | 4.50% | | | | 12/01/2040 | | | | 1,363,276 | |
10,753,444 | | Federal National Mortgage Association Pass-Thru, Pool AH4437 | | | 4.00% | | | | 01/01/2041 | | | | 11,199,309 | |
2,447,812 | | Federal National Mortgage Association Pass-Thru, Pool AH7309 | | | 4.00% | | | | 02/01/2031 | | | | 2,591,622 | |
12,501,252 | | Federal National Mortgage Association Pass-Thru, Pool AH9323 | | | 4.00% | | | | 04/01/2026 | | | | 13,164,745 | |
522,690 | | Federal National Mortgage Association Pass-Thru, Pool AI8889 | | | 4.00% | | | | 08/01/2041 | | | | 544,443 | |
5,731,456 | | Federal National Mortgage Association Pass-Thru, Pool AI9831 | | | 4.00% | | | | 09/01/2041 | | | | 5,958,561 | |
1,447,924 | | Federal National Mortgage Association Pass-Thru, Pool AJ1265 | | | 4.00% | | | | 09/01/2041 | | | | 1,508,149 | |
3,238,266 | | Federal National Mortgage Association Pass-Thru, Pool AJ1399 | | | 4.00% | | | | 09/01/2041 | | | | 3,372,169 | |
8,957,698 | | Federal National Mortgage Association Pass-Thru, Pool AJ1467 | | | 4.00% | | | | 10/01/2041 | | | | 9,312,658 | |
4,865,787 | | Federal National Mortgage Association Pass-Thru, Pool AJ3392 | | | 4.00% | | | | 10/01/2041 | | | | 5,066,058 | |
1,942,536 | | Federal National Mortgage Association Pass-Thru, Pool AJ3854 | | | 4.00% | | | | 10/01/2041 | | | | 2,021,847 | |
32,282,250 | | Federal National Mortgage Association Pass-Thru, Pool AJ4118 | | | 4.00% | | | | 11/01/2041 | | | | 33,621,148 | |
8,195,416 | | Federal National Mortgage Association Pass-Thru, Pool AJ4131 | | | 4.00% | | | | 10/01/2041 | | | | 8,535,493 | |
1,259,134 | | Federal National Mortgage Association Pass-Thru, Pool AJ5172 | | | 4.00% | | | | 11/01/2041 | | | | 1,311,515 | |
41,759,033 | | Federal National Mortgage Association Pass-Thru, Pool AJ5322 | | | 4.00% | | | | 11/01/2041 | | | | 43,993,853 | |
20,127,850 | | Federal National Mortgage Association Pass-Thru, Pool AJ7677 | | | 3.50% | | | | 12/01/2041 | | | | 20,525,178 | |
3,033,786 | | Federal National Mortgage Association Pass-Thru, Pool AJ8334 | | | 4.00% | | | | 12/01/2041 | | | | 3,157,411 | |
42,035,995 | | Federal National Mortgage Association Pass-Thru, Pool AK0713 | | | 3.50% | | | | 01/01/2032 | | | | 43,908,961 | |
11,238,374 | | Federal National Mortgage Association Pass-Thru, Pool AK4039 | | | 4.00% | | | | 02/01/2042 | | | | 11,704,350 | |
8,230,636 | | Federal National Mortgage Association Pass-Thru, Pool AK4763 | | | 4.00% | | | | 02/01/2042 | | | | 8,572,798 | |
8,523,275 | | Federal National Mortgage Association Pass-Thru, Pool AK9438 | | | 4.00% | | | | 03/01/2042 | | | | 8,874,090 | |
10,361,586 | | Federal National Mortgage Association Pass-Thru, Pool AK9439 | | | 4.00% | | | | 03/01/2042 | | | | 10,788,029 | |
1,644,389 | | Federal National Mortgage Association Pass-Thru, Pool AK9446 | | | 4.50% | | | | 03/01/2042 | | | | 1,721,707 | |
8,876,917 | | Federal National Mortgage Association Pass-Thru, Pool AL1485 | | | 6.00% | | | | 01/01/2040 | | | | 10,037,344 | |
5,504,286 | | Federal National Mortgage Association Pass-Thru, Pool AL1548 | | | 6.00% | | | | 07/01/2039 | | | | 6,227,359 | |
9,320,768 | | Federal National Mortgage Association Pass-Thru, Pool AL1554 | | | 6.00% | | | | 01/01/2040 | | | | 10,540,140 | |
18,683,168 | | Federal National Mortgage Association Pass-Thru, Pool AL1690 | | | 6.00% | | | | 05/01/2041 | | | | 21,105,117 | |
25,559,166 | | Federal National Mortgage Association Pass-Thru, Pool AL1744 | | | 6.00% | | | | 10/01/2040 | | | | 28,895,767 | |
7,264,508 | | Federal National Mortgage Association Pass-Thru, Pool AL1745 | | | 6.00% | | | | 03/01/2040 | | | | 8,206,225 | |
9,132,928 | | Federal National Mortgage Association Pass-Thru, Pool AL1793 | | | 6.00% | | | | 01/01/2041 | | | | 10,324,135 | |
94,288,928 | | Federal National Mortgage Association Pass-Thru, Pool AL3038 | | | 3.00% | | | | 01/01/2033 | | | | 96,490,754 | |
147,965,009 | | Federal National Mortgage Association Pass-Thru, Pool AL3699 | | | 3.00% | | | | 06/01/2043 | | | | 147,209,302 | |
74,411,822 | | Federal National Mortgage Association Pass-Thru, Pool AL3883 | | | 3.00% | | | | 07/01/2043 | | | | 74,032,263 | |
5,474,117 | | Federal National Mortgage Association Pass-Thru, Pool AL4292 | | | 4.50% | | | | 04/01/2026 | | | | 5,793,520 | |
13,163,223 | | Federal National Mortgage Association Pass-Thru, Pool AL4312 | | | 4.00% | | | | 10/01/2043 | | | | 13,935,434 | |
27,375,155 | | Federal National Mortgage Association Pass-Thru, Pool AL6075 | | | 3.50% | | | | 09/01/2053 | | | | 27,621,105 | |
38,002,000 | | Federal National Mortgage Association Pass-Thru, Pool AL6076 | | | 3.00% | | | | 06/01/2053 | | | | 37,124,072 | |
110,215,604 | | Federal National Mortgage Association Pass-Thru, Pool AL6141 | | | 4.00% | | | | 04/01/2042 | | | | 116,101,837 | |
74,276,766 | | Federal National Mortgage Association Pass-Thru, Pool AL6325 | | | 3.00% | | | | 10/01/2044 | | | | 74,085,253 | |
43,021,384 | | Federal National Mortgage Association Pass-Thru, Pool AL6486 | | | 4.50% | | | | 02/01/2045 | | | | 46,156,339 | |
98,321,275 | | Federal National Mortgage Association Pass-Thru, Pool AL6538 | | | 4.50% | | | | 06/01/2044 | | | | 105,882,761 | |
65,822,013 | | Federal National Mortgage Association Pass-Thru, Pool AL8304 | | | 3.50% | | | | 03/01/2046 | | | | 67,513,769 | |
37,275,180 | | Federal National Mortgage Association Pass-Thru, Pool AO2980 | | | 4.00% | | | | 05/01/2042 | | | | 38,809,397 | |
79,162,845 | | Federal National Mortgage Association Pass-Thru, Pool AP4787 | | | 3.50% | | | | 09/01/2042 | | | | 80,726,492 | |
72,601,507 | | Federal National Mortgage Association Pass-Thru, Pool AP4789 | | | 3.50% | | | | 09/01/2042 | | | | 74,034,735 | |
19,508,331 | | Federal National Mortgage Association Pass-Thru, Pool AQ5541 | | | 3.00% | | | | 12/01/2042 | | | | 19,463,055 | |
23,880,120 | | Federal National Mortgage Association Pass-Thru, Pool AR9856 | | | 3.00% | | | | 04/01/2043 | | | | 23,824,781 | |
38,223,220 | | Federal National Mortgage Association Pass-Thru, Pool AS1927 | | | 4.50% | | | | 03/01/2044 | | | | 40,994,520 | |
39,258,914 | | Federal National Mortgage Association Pass-Thru, Pool AS2038 | | | 4.50% | | | | 03/01/2044 | | | | 42,113,163 | |
31,706,367 | | Federal National Mortgage Association Pass-Thru, Pool AS2517 | | | 4.50% | | | | 05/01/2044 | | | | 33,997,630 | |
17,175,053 | | Federal National Mortgage Association Pass-Thru, Pool AS2551 | | | 4.50% | | | | 06/01/2044 | | | | 18,431,558 | |
15,302,598 | | Federal National Mortgage Association Pass-Thru, Pool AS2765 | | | 4.50% | | | | 07/01/2044 | | | | 16,414,942 | |
45,750,794 | | Federal National Mortgage Association Pass-Thru, Pool AS3201 | | | 3.00% | | | | 08/01/2034 | | | | 46,437,188 | |
20,389,909 | | Federal National Mortgage Association Pass-Thru, Pool AS3456 | | | 3.00% | | | | 10/01/2034 | | | | 20,695,910 | |
44,275,392 | | Federal National Mortgage Association Pass-Thru, Pool AS3666 | | | 3.00% | | | | 10/01/2034 | | | | 44,939,693 | |
180,100,373 | | Federal National Mortgage Association Pass-Thru, Pool AS3961 | | | 3.00% | | | | 12/01/2044 | | | | 179,152,265 | |
54,045,357 | | Federal National Mortgage Association Pass-Thru, Pool AS4154 | | | 3.00% | | | | 12/01/2044 | | | | 53,721,700 | |
36,281,915 | | Federal National Mortgage Association Pass-Thru, Pool AS4212 | | | 3.00% | | | | 01/01/2035 | | | | 36,826,008 | |
56,515,959 | | Federal National Mortgage Association Pass-Thru, Pool AS4281 | | | 3.00% | | | | 01/01/2035 | | | | 57,363,687 | |
33,888,357 | | Federal National Mortgage Association Pass-Thru, Pool AS4345 | | | 3.50% | | | | 01/01/2045 | | | | 34,768,353 | |
41,279,740 | | Federal National Mortgage Association Pass-Thru, Pool AS4360 | | | 3.00% | | | | 01/01/2035 | | | | 41,899,222 | |
| | | | | | | | | | | | | | |
331,624,424 | | Federal National Mortgage Association Pass-Thru, Pool AS4625 | | | 3.00% | | | | 03/01/2045 | | | | 329,595,877 | |
139,799,918 | | Federal National Mortgage Association Pass-Thru, Pool AS4645 | | | 3.00% | | | | 03/01/2045 | | | | 138,944,573 | |
50,591,777 | | Federal National Mortgage Association Pass-Thru, Pool AS4779 | | | 3.00% | | | | 04/01/2035 | | | | 51,350,884 | |
49,877,088 | | Federal National Mortgage Association Pass-Thru, Pool AS4780 | | | 3.00% | | | | 04/01/2035 | | | | 50,625,680 | |
65,866,807 | | Federal National Mortgage Association Pass-Thru, Pool AS4840 | | | 3.00% | | | | 04/01/2035 | | | | 66,855,227 | |
31,708,411 | | Federal National Mortgage Association Pass-Thru, Pool AS4881 | | | 3.00% | | | | 05/01/2035 | | | | 32,184,396 | |
34,218,403 | | Federal National Mortgage Association Pass-Thru, Pool AS4882 | | | 3.00% | | | | 05/01/2035 | | | | 34,731,998 | |
62,256,293 | | Federal National Mortgage Association Pass-Thru, Pool AX9696 | | | 3.00% | | | | 07/01/2045 | | | | 61,532,286 | |
90,057,826 | | Federal National Mortgage Association Pass-Thru, Pool AY3974 | | | 3.00% | | | | 03/01/2045 | | | | 89,507,356 | |
31,316,660 | | Federal National Mortgage Association Pass-Thru, Pool AY4295 | | | 3.00% | | | | 02/01/2045 | | | | 30,953,648 | |
14,802,663 | | Federal National Mortgage Association Pass-Thru, Pool AY4296 | | | 3.00% | | | | 01/01/2045 | | | | 14,630,863 | |
15,103,644 | | Federal National Mortgage Association Pass-Thru, Pool AY5471 | | | 3.00% | | | | 03/01/2045 | | | | 14,928,475 | |
3,365,174 | | Federal National Mortgage Association Pass-Thru, Pool MA0264 | | | 4.50% | | | | 12/01/2029 | | | | 3,617,578 | |
46,714 | | Federal National Mortgage Association Pass-Thru, Pool MA0315 | | | 4.50% | | | | 01/01/2025 | | | | 46,997 | |
12,659,876 | | Federal National Mortgage Association Pass-Thru, Pool MA0353 | | | 4.50% | | | | 03/01/2030 | | | | 13,612,783 | |
2,765,953 | | Federal National Mortgage Association Pass-Thru, Pool MA0406 | | | 4.50% | | | | 05/01/2030 | | | | 2,974,038 | |
182,751 | | Federal National Mortgage Association Pass-Thru, Pool MA0445 | | | 5.00% | | | | 06/01/2040 | | | | 195,463 | |
626,109 | | Federal National Mortgage Association Pass-Thru, Pool MA0459 | | | 4.00% | | | | 07/01/2020 | | | | 647,398 | |
524,046 | | Federal National Mortgage Association Pass-Thru, Pool MA0468 | | | 5.00% | | | | 07/01/2040 | | | | 560,515 | |
2,061,542 | | Federal National Mortgage Association Pass-Thru, Pool MA0502 | | | 4.00% | | | | 08/01/2020 | | | | 2,131,636 | |
940,247 | | Federal National Mortgage Association Pass-Thru, Pool MA0517 | | | 4.00% | | | | 09/01/2020 | | | | 972,216 | |
3,881,318 | | Federal National Mortgage Association Pass-Thru, Pool MA0534 | | | 4.00% | | | | 10/01/2030 | | | | 4,108,651 | |
5,862,025 | | Federal National Mortgage Association Pass-Thru, Pool MA0536 | | | 4.00% | | | | 10/01/2020 | | | | 6,061,339 | |
7,161,446 | | Federal National Mortgage Association Pass-Thru, Pool MA0580 | | | 4.00% | | | | 11/01/2020 | | | | 7,404,940 | |
833,416 | | Federal National Mortgage Association Pass-Thru, Pool MA0587 | | | 4.00% | | | | 12/01/2030 | | | | 882,325 | |
20,720,846 | | Federal National Mortgage Association Pass-Thru, Pool MA0616 | | | 4.00% | | | | 01/01/2031 | | | | 21,935,631 | |
7,802,435 | | Federal National Mortgage Association Pass-Thru, Pool MA0896 | | | 4.00% | | | | 11/01/2041 | | | | 8,126,120 | |
152,998,620 | | Federal National Mortgage Association Pass-Thru, Pool MA0919 | | | 3.50% | | | | 12/01/2031 | | | | 159,843,041 | |
64,715,844 | | Federal National Mortgage Association Pass-Thru, Pool MA0949 | | | 3.50% | | | | 01/01/2032 | | | | 67,615,800 | |
78,625,581 | | Federal National Mortgage Association Pass-Thru, Pool MA0976 | | | 3.50% | | | | 02/01/2032 | | | | 82,148,491 | |
38,493,751 | | Federal National Mortgage Association Pass-Thru, Pool MA1010 | | | 3.50% | | | | 03/01/2032 | | | | 40,218,133 | |
11,235,531 | | Federal National Mortgage Association Pass-Thru, Pool MA1039 | | | 3.50% | | | | 04/01/2042 | | | | 11,457,331 | |
53,099,277 | | Federal National Mortgage Association Pass-Thru, Pool MA1059 | | | 3.50% | | | | 05/01/2032 | | | | 55,474,649 | |
7,185,216 | | Federal National Mortgage Association Pass-Thru, Pool MA1068 | | | 3.50% | | | | 05/01/2042 | | | | 7,326,930 | |
113,798,663 | | Federal National Mortgage Association Pass-Thru, Pool MA1084 | | | 3.50% | | | | 06/01/2032 | | | | 118,885,297 | |
16,338,787 | | Federal National Mortgage Association Pass-Thru, Pool MA1093 | | | 3.50% | | | | 06/01/2042 | | | | 16,661,349 | |
14,524,626 | | Federal National Mortgage Association Pass-Thru, Pool MA1094 | | | 4.00% | | | | 06/01/2042 | | | | 15,123,627 | |
67,266,589 | | Federal National Mortgage Association Pass-Thru, Pool MA1107 | | | 3.50% | | | | 07/01/2032 | | | | 70,279,184 | |
149,998,645 | | Federal National Mortgage Association Pass-Thru, Pool MA1117 | | | 3.50% | | | | 07/01/2042 | | | | 152,959,910 | |
177,193,721 | | Federal National Mortgage Association Pass-Thru, Pool MA1136 | | | 3.50% | | | | 08/01/2042 | | | | 180,691,881 | |
45,506,171 | | Federal National Mortgage Association Pass-Thru, Pool MA1138 | | | 3.50% | | | | 08/01/2032 | | | | 47,541,645 | |
48,814,830 | | Federal National Mortgage Association Pass-Thru, Pool MA1179 | | | 3.50% | | | | 09/01/2042 | | | | 49,778,678 | |
9,020,308 | | Federal National Mortgage Association Pass-Thru, Pool MA1201 | | | 3.50% | | | | 10/01/2032 | | | | 9,423,607 | |
107,769,777 | | Federal National Mortgage Association Pass-Thru, Pool MA1209 | | | 3.50% | | | | 10/01/2042 | | | | 109,903,888 | |
284,322,481 | | Federal National Mortgage Association Pass-Thru, Pool MA1237 | | | 3.00% | | | | 11/01/2032 | | | | 290,955,776 | |
6,777,443 | | Federal National Mortgage Association Pass-Thru, Pool MA1242 | | | 3.50% | | | | 11/01/2042 | | | | 6,911,250 | |
219,920,493 | | Federal National Mortgage Association Pass-Thru, Pool MA1275 | | | 3.00% | | | | 12/01/2032 | | | | 225,051,128 | |
30,394,733 | | Federal National Mortgage Association Pass-Thru, Pool MA1338 | | | 3.00% | | | | 02/01/2033 | | | | 31,104,211 | |
119,741,508 | | Federal National Mortgage Association Pass-Thru, Pool MA1366 | | | 3.00% | | | | 03/01/2033 | | | | 122,536,068 | |
73,531,662 | | Federal National Mortgage Association Pass-Thru, Pool MA1401 | | | 3.00% | | | | 04/01/2033 | | | | 75,247,522 | |
130,288,462 | | Federal National Mortgage Association Pass-Thru, Pool MA1459 | | | 3.00% | | | | 06/01/2033 | | | | 133,327,287 | |
16,480,883 | | Federal National Mortgage Association Pass-Thru, Pool MA1490 | | | 3.00% | | | | 07/01/2033 | | | | 16,865,487 | |
97,882,486 | | Federal National Mortgage Association Pass-Thru, Pool MA2018 | | | 3.50% | | | | 09/01/2034 | | | | 101,803,776 | |
37,403,235 | | Federal National Mortgage Association Pass-Thru, Pool MA2114 | | | 3.50% | | | | 12/01/2044 | | | | 38,141,923 | |
30,751,181 | | Federal National Mortgage Association Pass-Thru, Pool MA2151 | | | 3.50% | | | | 01/01/2045 | | | | 31,358,495 | |
59,215,267 | | Federal National Mortgage Association Pass-Thru, Pool MA2164 | | | 3.50% | | | | 02/01/2035 | | | | 61,569,883 | |
117,824,245 | | Federal National Mortgage Association Pass-Thru, Pool MA2166 | | | 3.50% | | | | 02/01/2045 | | | | 120,151,208 | |
112,205,076 | | Federal National Mortgage Association Pass-Thru, Pool MA2248 | | | 3.00% | | | | 04/01/2045 | | | | 110,902,090 | |
115,338,041 | | Federal National Mortgage Association Pass-Thru, Pool MA2270 | | | 3.00% | | | | 05/01/2045 | | | | 113,998,069 | |
24,285,884 | | Federal National Mortgage Association Pass-Thru, Pool MA2621 | | | 3.50% | | | | 04/01/2046 | | | | 24,910,141 | |
49,887,630 | | Federal National Mortgage Association Pass-Thru, Pool MA2643 | | | 3.00% | | | | 06/01/2036 | | | | 50,637,208 | |
171,890,370 | | Federal National Mortgage Association Pass-Thru, Pool MA2650 | | | 3.50% | | | | 06/01/2046 | | | | 175,285,597 | |
10,824,347 | | Federal National Mortgage Association Pass-Thru, Pool MA3894 | | | 4.00% | | | | 09/01/2031 | | | | 11,459,817 | |
6,707,404 | | Government National Mortgage Association, Pool MA251JM | | | 3.50% | | | | 01/20/2045 | | | | 6,913,597 | |
14,700,000 | | Government National Mortgage Association, Series 2003-67-SP | | | 6.12% | #I/F I/O | | | 08/20/2033 | | | | 3,393,063 | |
7,709,733 | | Government National Mortgage Association, Series 2003-86-ZK | | | 5.00% | | | | 10/20/2033 | | | | 8,344,786 | |
3,696,834 | | Government National Mortgage Association, Series 2004-49-Z | | | 6.00% | | | | 06/20/2034 | | | | 4,163,677 | |
2,015,604 | | Government National Mortgage Association, Series 2004-80-PH | | | 5.00% | | | | 07/20/2034 | | | | 2,084,209 | |
7,891,244 | | Government National Mortgage Association, Series 2004-83-CS | | | 5.10% | #I/F I/O | | | 10/20/2034 | | | | 1,231,489 | |
2,042,144 | | Government National Mortgage Association, Series 2005-21-Z | | | 5.00% | | | | 03/20/2035 | | | | 2,245,529 | |
21,872,628 | | Government National Mortgage Association, Series 2005-39-ZB | | | 5.00% | | | | 07/20/2034 | | | | 23,896,168 | |
908,946 | | Government National Mortgage Association, Series 2006-24-CX | | | 32.79% | #I/F | | | 05/20/2036 | | | | 2,016,096 | |
10,485,527 | | Government National Mortgage Association, Series 2007-26-SJ | | | 3.71% | #I/F I/O | | | 04/20/2037 | | | | 1,055,534 | |
6,639,471 | | Government National Mortgage Association, Series 2008-2-SM | | | 5.57% | #I/F I/O | | | 01/16/2038 | | | | 1,252,306 | |
10,941,595 | | Government National Mortgage Association, Series 2008-42-AI | | | 6.76% | #I/F I/O | | | 05/16/2038 | | | | 2,928,119 | |
4,846,135 | | Government National Mortgage Association, Series 2008-43-SH | | | 5.36% | #I/F I/O | | | 05/20/2038 | | | | 824,533 | |
5,610,607 | | Government National Mortgage Association, Series 2008-51-SC | | | 5.27% | #I/F I/O | | | 06/20/2038 | | | | 840,390 | |
3,685,702 | | Government National Mortgage Association, Series 2008-51-SE | | | 5.32% | #I/F I/O | | | 06/16/2038 | | | | 628,290 | |
2,072,936 | | Government National Mortgage Association, Series 2008-82-SM | | | 5.07% | #I/F I/O | | | 09/20/2038 | | | | 305,978 | |
3,778,577 | | Government National Mortgage Association, Series 2008-83-SD | | | 5.63% | #I/F I/O | | | 11/16/2036 | | | | 665,169 | |
| | | | | | | | | | | | | | |
15,398,656 | | Government National Mortgage Association, Series 2009-106-VZ | | | 4.50% | | | | 11/20/2039 | | | | 16,553,626 | |
7,499,006 | | Government National Mortgage Association, Series 2009-10-NS | | | 5.72% | #I/F I/O | | | 02/16/2039 | | | | 1,368,975 | |
3,163,024 | | Government National Mortgage Association, Series 2009-24-SN | | | 5.12% | #I/F I/O | | | 09/20/2038 | | | | 341,080 | |
8,507,001 | | Government National Mortgage Association, Series 2009-32-ZE | | | 4.50% | | | | 05/16/2039 | | | | 9,091,788 | |
47,695,661 | | Government National Mortgage Association, Series 2009-35-DZ | | | 4.50% | | | | 05/20/2039 | | | | 51,392,313 | |
6,936 | | Government National Mortgage Association, Series 2009-41-ZQ | | | 4.50% | | | | 06/16/2039 | | | | 7,764 | |
4,800,351 | | Government National Mortgage Association, Series 2009-48-Z | | | 5.00% | | | | 06/16/2039 | | | | 5,230,455 | |
1,254,087 | | Government National Mortgage Association, Series 2009-50-KP | | | 4.50% | | | | 06/20/2039 | | | | 1,327,619 | |
4,550,048 | | Government National Mortgage Association, Series 2009-69-TS | | | 5.27% | #I/F I/O | | | 04/16/2039 | | | | 600,829 | |
7,313,735 | | Government National Mortgage Association, Series 2009-75-GZ | | | 4.50% | | | | 09/20/2039 | | | | 7,788,068 | |
5,876,911 | | Government National Mortgage Association, Series 2009-87-IG | | | 5.76% | #I/F I/O | | | 03/20/2037 | | | | 886,053 | |
42,634,228 | | Government National Mortgage Association, Series 2010-106-PS | | | 5.07% | #I/F I/O | | | 03/20/2040 | | | | 5,464,736 | |
11,022,153 | | Government National Mortgage Association, Series 2010-1-SA | | | 4.82% | #I/F I/O | | | 01/16/2040 | | | | 1,301,378 | |
3,526,897 | | Government National Mortgage Association, Series 2010-25-ZB | | | 4.50% | | | | 02/16/2040 | | | | 3,812,362 | |
99,258,732 | | Government National Mortgage Association, Series 2010-26-QS | | | 5.27% | #I/F I/O | | | 02/20/2040 | | | | 16,899,196 | |
8,448,043 | | Government National Mortgage Association, Series 2010-42-AY | | | 5.00% | | | | 11/20/2039 | | | | 9,330,944 | |
8,469,504 | | Government National Mortgage Association, Series 2010-42-ES | | | 4.70% | #I/F I/O | | | 04/20/2040 | | | | 1,218,339 | |
2,659,104 | | Government National Mortgage Association, Series 2010-61-AS | | | 5.57% | #I/F I/O | | | 09/20/2039 | | | | 383,913 | |
25,846,519 | | Government National Mortgage Association, Series 2010-62-SB | | | 4.77% | #I/F I/O | | | 05/20/2040 | | | | 3,896,673 | |
9,645,471 | | Government National Mortgage Association, Series 2010-62-ZG | | | 5.50% | | | | 05/16/2040 | | | | 10,972,905 | |
7,833,334 | | Government National Mortgage Association, Series 2011-18-SN | | | 7.54% | #I/F | | | 12/20/2040 | | | | 8,496,647 | |
8,333,334 | | Government National Mortgage Association, Series 2011-18-YS | | | 7.54% | #I/F | | | 12/20/2040 | | | | 9,039,048 | |
6,227,483 | | Government National Mortgage Association, Series 2011-51-UZ | | | 4.50% | | | | 04/20/2041 | | | | 6,640,693 | |
4,046,666 | | Government National Mortgage Association, Series 2011-69-OC | | | 0.00% | P/O | | | 05/20/2041 | | | | 3,537,270 | |
36,771,197 | | Government National Mortgage Association, Series 2011-69-SB | | | 4.37% | #I/F I/O | | | 05/20/2041 | | | | 4,925,373 | |
27,117,462 | | Government National Mortgage Association, Series 2011-71-ZA | | | 4.50% | | | | 02/20/2041 | | | | 28,916,193 | |
13,554,736 | | Government National Mortgage Association, Series 2011-72-AS | | | 4.40% | #I/F I/O | | | 05/20/2041 | | | | 1,833,937 | |
10,325,295 | | Government National Mortgage Association, Series 2011-72-SK | | | 5.17% | #I/F I/O | | | 05/20/2041 | | | | 1,818,705 | |
7,175,195 | | Government National Mortgage Association, Series 2012-105-SE | | | 5.22% | #I/F I/O | | | 01/20/2041 | | | | 593,678 | |
15,864,170 | | Government National Mortgage Association, Series 2012-52-PN | | | 2.00% | | | | 12/20/2039 | | | | 16,052,817 | |
36,023,679 | | Government National Mortgage Association, Series 2013-116-LS | | | 5.17% | #I/F I/O | | | 08/20/2043 | | | | 5,914,605 | |
34,699,562 | | Government National Mortgage Association, Series 2013-136-CS | | | 5.27% | #I/F I/O | | | 09/16/2043 | | | | 5,860,999 | |
18,437,356 | | Government National Mortgage Association, Series 2013-182-WZ | | | 2.50% | | | | 12/20/2043 | | | | 17,090,974 | |
56,834,108 | | Government National Mortgage Association, Series 2013-182-ZW | | | 2.50% | | | | 12/20/2043 | | | | 52,683,814 | |
25,459,068 | | Government National Mortgage Association, Series 2013-186-SG | | | 5.32% | #I/F I/O | | | 02/16/2043 | | | | 3,640,430 | |
24,246,256 | | Government National Mortgage Association, Series 2013-26-MS | | | 5.27% | #I/F I/O | | | 02/20/2043 | | | | 4,210,707 | |
48,167,151 | | Government National Mortgage Association, Series 2013-34-PL | | | 3.00% | | | | 03/20/2042 | | | | 48,523,944 | |
47,663,060 | | Government National Mortgage Association, Series 2014-163-PS | | | 4.62% | #I/F I/O | | | 11/20/2044 | | | | 6,946,171 | |
49,826,612 | | Government National Mortgage Association, Series 2014-167-SA | | | 4.62% | #I/F I/O | | | 11/20/2044 | | | | 7,076,351 | |
71,949,806 | | Government National Mortgage Association, Series 2014-21-SE | | | 4.57% | #I/F I/O | | | 02/20/2044 | | | | 11,267,030 | |
41,656,739 | | Government National Mortgage Association, Series 2014-39-SK | | | 5.22% | #I/F I/O | | | 03/20/2044 | | | | 6,622,418 | |
34,902,564 | | Government National Mortgage Association, Series 2014-59-DS | | | 5.32% | #I/F I/O | | | 04/16/2044 | | | | 5,749,608 | |
9,070,053 | | Government National Mortgage Association, Series 2016-99-TL | | | 2.00% | | | | 04/16/2044 | | | | 7,745,423 | |
| | | | | | | | | | | | | | |
| Total US Government / Agency Mortgage Backed Obligations (Cost $28,181,099,214) | | | | | | | | | | | 28,225,673,666 | |
| | | | | | | | | | | | | | |
| | | |
Short Term Investments - 7.1% | | | | | | | | | | | | |
344,040,144 | | BlackRock Liquidity Funds FedFund - Institutional Shares | | | 0.60% | ◆ | | | | | | | 344,040,144 | |
100,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 04/19/2017 | | | | 99,969,801 | |
100,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 04/21/2017 | | | | 99,966,000 | |
100,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 04/24/2017 | | | | 99,960,300 | |
175,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 04/28/2017 | | | | 174,917,400 | |
100,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 05/08/2017 | | | | 99,930,000 | |
100,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 05/09/2017 | | | | 99,928,000 | |
100,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 05/22/2017 | | | | 99,902,000 | |
200,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 05/24/2017 | | | | 199,796,000 | |
100,000,000 | | Federal Home Loan Bank Discount Notes | | | 0.00% | | | | 05/25/2017 | | | | 99,896,000 | |
150,000,000 | | Federal Home Loan Banks | | | 0.88% | | | | 05/24/2017 | | | | 150,022,050 | |
100,000,000 | | Federal Home Loan Banks | | | 0.69% | | | | 07/26/2017 | | | | 99,938,400 | |
100,000,000 | | Federal Home Loan Banks | | | 0.70% | | | | 09/01/2017 | | | | 99,892,900 | |
100,000,000 | | Federal Home Loan Banks | | | 0.63% | | | | 11/01/2017 | | | | 99,788,800 | |
100,000,000 | | Federal Home Loan Mortgage Corporation | | | 1.00% | | | | 06/29/2017 | | | | 100,035,600 | |
100,000,000 | | Federal Home Loan Mortgage Corporation | | | 1.00% | | | | 07/28/2017 | | | | 100,039,000 | |
100,000,000 | | Federal Home Loan Mortgage Corporation Discount Notes | | | 0.00% | | | | 04/21/2017 | | | | 99,966,000 | |
344,040,144 | | Fidelity Institutional Money Market Government Portfolio - Class I | | | 0.56% | ◆ | | | | | | | 344,040,144 | |
344,040,144 | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.60% | ◆ | | | | | | | 344,040,144 | |
250,000,000 | | United States Treasury Bills | | | 0.00% | | | | 04/27/2017 | | | | 249,881,000 | |
250,000,000 | | United States Treasury Bills | | | 0.00% | | | | 05/25/2017 | | | | 249,746,250 | |
250,000,000 | | United States Treasury Bills | | | 0.00% | | | | 06/15/2017 | | | | 249,637,000 | |
250,000,000 | | United States Treasury Bills | | | 0.00% | | | | 07/20/2017 | | | | 249,430,000 | |
| | | | | | | | | | | | | | |
| Total Short Term Investments (Cost $3,855,462,191) | | | | | | | | | | | 3,854,762,933 | |
| | | | | | | | | | | | | | |
| | | |
| Total Investments - 100.1% (Cost $54,606,740,980) | | | | | | | | | | | 54,403,051,268 | |
Liabilities in Excess of Other Assets - (0.1)% | | | | | | | | | | | (49,057,204 | ) |
| | | | | | | | | | | | | | |
| NET ASSETS - 100.0% | | | | | | | | | | $ | 54,353,994,064 | |
| | | | | | | | | | | | |
| | ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At March 31, 2017, the value of these securities amounted to $10,450,424,022 or 19.2% of net assets. | | | | | | | | | | | | |
| | | | | | | | |
| | µ Illiquid security. At March 31, 2017 the value of these securities amounted to $773,843,305 or 1.4% of net assets. # Variable rate security. Rate disclosed as of March 31, 2017. I/O Interest only security I/F Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates P/O Principal only security ◆ Seven-day yield as of March 31, 2017 |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
| | | | |
US Government / Agency Mortgage Backed Obligations | | | 51.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 22.5% | |
Short Term Investments | | | 7.1% | |
Non-Agency Commercial Mortgage Backed Obligations | | | 6.9% | |
US Government and Agency Obligations | | | 4.8% | |
Collateralized Loan Obligations | | | 4.1% | |
Asset Backed Obligations | | | 2.8% | |
Other Assets and Liabilities | | | (0.1)% | |
| | | | |
| | | 100.0% | |
| | | | |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of DoubleLine Funds Trust
In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of DoubleLine Total Return Bond Fund (one of the funds constituting DoubleLine Funds Trust, hereafter referred to as the “Fund”) as of March 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedule of investments (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of March 31, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
May 23, 2017
|
| |
PricewaterhouseCoopers LLP, 601 South Figueroa, Los Angeles, CA 90017 T: (213) 356 6000, F: (813) 637 4444, www.pwc.com/us |
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. Filed herewith. |
| | (2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith. |
| | (3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies. |
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | | | | | |
(Registrant) | | DoubleLine Funds Trust |
| | | | | | | | |
| |
| By (Signature and Title) | | /s/ Ronald R. Redell |
| | Ronald R. Redell, President |
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 |
