N-CSRS 1 dncsrs.htm DOUBLELINE FUNDS TRUST SEMIANNUAL REPORT DoubleLine Funds Trust Semiannual Report
Table of Contents

As filed with the Securities and Exchange Commission on December 9, 2010

 

 

 

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, 2011

Date of reporting period: September 30, 2010

 

 

 


Table of Contents

Item 1. Reports to Stockholders.


Table of Contents

 

 

LOGO

 

 

Semi-Annual Report

September 30th, 2010

 

LOGO

 

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 Capital LP

 

333 S. Grand Avenue

18th Floor

Los Angeles, California 90071

 

doubleline.com

 

LOGO

 


Table of Contents

Table of Contents

 

            Page  
     

President’s Letter

        4   

Schedules of Investments

        7   

Statements of Assets and Liabilities

        16   

Statements of Operations

        17   

Statements of Changes in Net Assets

        18   

Financial Highlights

        19   

Notes to Financial Statements

        20   

Shareholder Expenses

        25   

Evaluation of Advisory Agreement by the Board of Trustees

        26   

Information About Proxy Voting

        27   

Information About the Portfolio Holdings

        27   

Householding

        27   

Privacy Notice

        28   

 

  Semi-Annual Report   September 30, 2010   3


Table of Contents

President’s Letter  

 

 

Dear DoubleLine Funds Shareholder:

 

The DoubleLine Funds were organized on January 12, 2010. We launched two Funds on April 6, the DoubleLine Total Return Bond Fund and the DoubleLine Emerging Markets Fixed Income Fund. On June 1, we launched our third Fund, the DoubleLine Core Fixed Income Fund. Since April 6, investors have allocated over $3 billion to the Funds through September 30, 2010. We strive to deliver superior risk-adjusted returns while working to avoid the double line of risk on the road to successful investing. This motto was inspired by Piet Mondrian (1872-1944), a leading abstract painter of the 20th century, known for his simplicity in balancing brilliant colors and bold black lines. DoubleLine Capital, advisor to the Funds, strives for similar balance by providing investment solutions that integrate risk management with the pursuit of excess returns.

 

Highlights of Financial Markets through our Semi-Annual reporting period

 

  ·  

Mortgage-Backed Securities (MBS): Agency MBS underperformed the Barclay’s Capital U.S. Aggregate Bond Index and the Barclay’s Capital U.S. Treasury Index during the nine months ended September 30. This underperformance was due to two factors: the drop in Treasury rates and growing concern over faster prepayments for premium mortgages. Particularly in the third quarter, market chatter picked up over the possibility of a government-engineered “Great Refi”. Many technical and fundamental problems stand in the way of a Washington-orchestrated mass refinancing, although such an outcome cannot be excluded, particularly if the housing market worsens. Non-Agency MBS continued their ascent as the market grew more comfortable with its ability to price these securities, which, as of September 30, 2010 were trading at significant discounts even under severe stress-case scenarios, and the technical advantage afforded by the bid for yield and the shrinking supply of non-Agency inventory after three years of no significant new issuance.

 

  ·  

Treasuries: Rates on Treasuries declined while the yield curve flattened, an evolution begun by the flight to quality spurred by concerns over Greek, Ireland and Eurozone stability, and which persisted on economic weakness in the U.S. and growing expectation of large-scale asset purchases by the Federal Reserve. The yield on the 10-year Treasury note, which on April 5 marked 3.988% as the high for the year to date, marked a low for the nine-month period, ended September 30, 2010 of 2.467% on September 28. The 10-year to 2-year spread tightened from a reporting-period high of 291 basis points to a reporting-period low of 195 bps on August 26. After the reporting period, the 10-year yield backed up somewhat, although in contained fashion. “Quantitative easing” essentially means the central bank is increasing the money supply. Consequently, QE2 has raised inflation concerns, although expectations of high joblessness persist. Furthermore, money velocity continues to remain below 1, indicating hoarding of dollars, rather than their recirculation in the form of spending and lending activity.

 

  ·  

Corporates: Risk appetite returned to both the investment grade and the high yield corporate markets despite some hiccups courtesy of natural disasters (the Icelandic volcano) and man-made disasters (the BP oil spill). Spread-tightening took a breather in the second quarter, primarily due to concerns surrounding the sovereign risks inherent in debt issued by Greece. Nonetheless, due to the low absolute level of interest rates and a desire to invest higher on the capital structure, money continued to flow into spread products at the expense of other asset classes. The fundamental credit quality of Corporate debt continued to look good with corporate balance sheets continuing to de-lever. From a technical perspective, the strong bid suggests strongly that 2010 will prove to be a banner year for corporate debt issuance as corporate treasurers continue to take advantage of historically low borrowing rates.

 

4   DoubleLine Funds     


Table of Contents

 

  ·  

Emerging Market Debt: The sector experienced strong inflows from sovereign wealth funds, retail investors and domestic institutional investors, the lest of these having increased their allocations on the strength of the sector’s solid credit fundamentals, exhibited by a series of sovereign credit ratings upgrades. At the start of 2010, emerging markets benefited from general optimism over the prospects for global growth. In May, the sector was buffeted by contagion fears of a Greek debt default and later in the year worries of a double-dip recession in the US. However, in July, action by the European Union and International Monetary Fund and the results of European bank stress tests appeared to persuade the markets that the debt problem was contained. Fears of a resumption of recession in the US have been calmed by signals in August from Federal Reserve officials of their determination to pursue a further round of quantitative easing. These various policy moves and policy signals led to a resurgence in demand for risk assets. Furthermore, robust debt-to-GDP fundamentals played in favor of certain emerging markets issuers given the backdrop of concern over lurking credit quality issues elsewhere, notably in the peripheral European countries.

 

Performance

 

DoubleLine Total Return Bond Fund

 

Since inception on April 6, the Fund’s I shares have outperformed the Barclay’s Capital U.S. Aggregate Bond Index by 8.11% (14.75% versus 6.64%) as of the end of September. This outperformance was primarily driven by investment positions in two subsectors of the MBS market: (1) non-Agency residential mortgage backed securities (RMBS), which have generated higher loss-adjusted yields than other credit sectors, and (2) long-dated Agency collateralized mortgage obligations (CMOs), which made price gains on the May-August decline in longer-term interest rates.

 

          

September

(9-1-10 to 9-30-10)

   

3Q2010

(7-1-10 to 9-30-10)

   

Since Inception

(4-6-10 to 9-30-10)

 

I-share

      1.77%        6.18%        14.75%   

N-share

      1.75%        6.12%        14.65%   

Barclays Capital U.S. Aggregate Bond Index

      0.11%        2.48%        6.64%   

 

DoubleLine Core Fixed Income Fund

 

Since inception on June 1st, the Fund’s I shares have outperformed the Barclay’s Capital U.S. Aggregate Bond Index by 3.10% (7.14% versus 4.04%). The Fund’s outperformance can be attributed substantially to our overweight in US Treasuries; our allocation to non-agency mortgages within the MBS portfolio; and our allocation to corporate credit at the end of August.

 

          

September

(9-1-10 to 9-30-10)

   

3Q2010

(7-1-10 to 9-30-10)

   

Since Inception

(6-1-10 to 9-30-10)

 

I-share

      1.35%        5.13%        7.14%   

N-share

      1.33%        5.08%        7.08%   

Barclays Capital U.S. Aggregate Bond Index

      0.11%        2.48%        4.04%   

 

DoubleLine Emerging Markets Fixed Income Fund

 

Since inception on April 6, the Fund’s I shares have underperformed the JP Morgan EMBI Global Diversified Index by 2.59% (6.75% versus 9.34%) as of the end of September. During this period, 10-year and longer-dated Treasuries rallied, while the Fund (which purchased only U.S.-dollar denominated emerging markets bonds during the period) held a more conservative, shorter-duration positioning relative to the index. This explains a significant portion of the

 

  Semi-Annual Report   September 30, 2010   5


Table of Contents

underperformance. Another contributor to the underperformance was the Fund’s underweight exposure to lower-rated sovereign credits, including Indonesia, the Philippines and Argentina, all of which posted sharply higher returns for the period.

 

          

September

(9-1-10 to 9-30-10)

   

3Q2010

(7-1-10 to 9-30-10)

   

Since Inception

(4-6-10 to 9-30-10)

 

I-share

      1.70%        6.18%        6.75%   

N-share

      1.59%        6.13%        6.65%   

JP Morgan Emerging Markets Bond Global
Diversified Index

      1.57%        8.23%        9.34%   

 

On behalf of the team at DoubleLine, we thank you for your support of the Funds. On the following pages of this Semi-Annual Report, you will find specific information regarding each Fund’s operation and holdings. DoubleLine was founded with the prevailing objective that clients come first, and that our success will be predicated upon being relevant to clients. With that in mind, we will continue to strive to provide investment solutions that integrate risk management with the pursuit of excess return. Our goal is to provide a safe journey for our investors, and to stay away from that yellow double line on the road to successful investing. We value the trust you have placed in us and if you have any questions please do not hesitate to call 877-DLINE11 (354-6311) or visit our website at www.doublelinefunds.com.

 

Sincerely,

 

LOGO

 

Ronald R. Redell

 

Past performance does not guarantee future results.

 

Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.

 

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 Schedule of Investments for a complete list of fund holdings.

 

Must be preceded or accompanied by a prospectus.

 

Investments in debt securities typically decrease 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 investor should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Investments in lower rated and non-rated securities present a great risk of loss to principal and interest than higher rated securities.

 

The Emerging Markets Fund is non-diversified meaning it may concentrate its assets in fewer individual holdings than a diversified fund. Therefore, the Fund is more exposed to individual stock volatility than a diversified fund. The Emerging Markets and the Core Fixed Income Funds will also invest in foreign securities, which involve political, economic, and currency risks, greater volatility, and differences in accounting methods. These risks are greater for investments in emerging markets.

 

JP Morgan EMBI Global Diversified Index—This index is 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.

 

Barclay’s Capital U.S. Aggregate 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.

 

Barclay’s Capital U.S. Treasury Index—This index includes public obligations of the U.S. Treasury. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index. In addition, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS are excluded.

 

An investment cannot be made in an index.

 

A basis point (bps) equals 0.01%.

 

The DoubleLine Funds are distributed by Quasar Distributors, LLC.

 

6   DoubleLine Funds     


Table of Contents
Schedule of Investments  DoubleLine Total Return Bond Fund   (Unaudited)
September 30, 2010

 

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  COLLATERALIZED MORTGAGE OBLIGATIONS 48.7%   
 

Adjustable Rate Mortgage Trust,

  

$ 6,200,000     

Series 05-2

    0.81% #      06/25/2035        2,886,463   
  8,180,681     

Series 07-3

    3.98% #^      11/25/2037        4,751,209   
 

Aegis Asset Backed Securities Trust,

  

  786,977     

Series 03-2

    2.88% #      11/25/2033        551,141   
  9,467,258     

Series 04-1

    2.36% #      04/25/2034        6,812,913   
  1,833,764     

Series 04-2

    1.63% #      06/25/2034        1,270,264   
 

American Home Mortgage Investment Trust,

  

  10,032,609     

Series 05-1

    2.70% #      06/25/2045        7,754,971   
 

Argent Securities, Inc.,

  

  932,188     

Series 2004-W6

    0.88% #      04/25/2034        697,298   
 

Asset Backed Securities Corporation,

  

  9,874,459     

Series 03-HE6-M1

    0.98% #      11/25/2033        7,382,417   
  3,293,352     

Series 04-HE3-M2

    1.45% #      06/25/2034        2,368,016   
 

Banc of America Alternative Loan Trust,

  

  15,204,792     

Series 2006-8-1A1

    6.25% # I/O I/F      11/25/2036        2,394,962   
  5,169,629     

Series 2006-8-1A2

    0.70% #      11/25/2036        3,337,050   
 

Banc of America Commercial Mortgage, Inc.,

  

  215,190,517     

Series 2004-6-XP

    0.67% #      12/10/2042        1,123,359   
  314,691,718     

Series 2006-1

    0.33% #      09/10/2045        1,568,077   
 

Banc of America Funding Corporation,

  

  7,332,305     

Series 10-R1-3A

    13.77% # I/F      07/26/2036        6,745,720   
  6,107,936     

Series 2009-R15A-4A2

    5.75% #      12/26/2036        3,318,442   
 

Banc of America Funding Trust,

  

  3,143,792     

Series 06-B-7A1

    5.69% #      03/20/2036        2,579,874   
  6,770,135     

Series 09-R14-3A

    15.76% #^ I/F      06/26/2035        7,076,118   
  953,849     

Series 05-6

    5.50%        10/25/2035        898,412   
  1,193,893     

Series 06-2-4A1

    22.01% # I/F      03/25/2036        1,509,494   
  3,546,436     

Series 06-G

    0.56% #      07/20/2036        2,587,398   
  6,752,089     

Series 06-7-T2A8

    5.91% #      10/25/2036        4,205,319   
  5,929,801     

Series 06-8T2

    6.10% #      10/25/2036        3,858,741   
  3,823,557     

Series 07-1

    5.84% #      01/25/2037        2,352,770   
  2,264,900     

Series 2006-H-3A1

    6.05% #      09/20/2046        1,972,780   
 

Banc of America Mortgage Securities, Inc.,

  

  6,384,567     

Series 2004-K-4A1

    5.23% #      12/25/2034        6,083,123   
 

BCRR Trust,

  

  2,557,976     

Series 2010-LEAF-30A

    4.23% #^      07/22/2032        2,558,376   
 

Bear Stearns Asset Backed Securities Trust,

  

  19,040,404     

Series 2005-AC2-2A1

    5.25%        04/25/2035        17,250,825   
  2,000,048     

Series 07-SD1-IA3A

    6.50%        10/25/2036        1,439,098   
 

Bear Stearns Commercial Mortgage Securities, Inc.,

  

  3,441,000     

Series 2000-WF1-F

    8.20% #      02/15/2032        3,437,830   
  28,899,081     

Series 05-PWR7-X2

    0.38% # I/O      02/11/2041        138,525   
  53,090,611     

Series 04-PWR5-X2

    0.82% # I/O      07/11/2042        699,060   
 

Centex Home Equity Loan Trust,

  

  2,750,000     

Series 04-A

    4.93% #      01/25/2034        2,775,414   
 

CF First Boston Mortgage Securities, Co.,

  

  2,288,613     

Series 05-10-5A5

    5.50%        11/25/2035        1,739,914   
 

Chase Mortgage Loan,

  

  4,088,871     

Series 2003-4-2M1

    1.25% #      03/25/2033        2,383,339   
 

Citi Mortgage Alternative Loan Trust,

  

  16,000,000     

Series 2006-A2

    6.00%        05/25/2036        12,588,192   
  10,000,000     

Series 2006-A5

    6.00%        10/25/2036        7,040,240   
  8,170,873     

Series 07-A1-1A7

    6.00%        01/25/2037        6,094,785   
 

Citicorp Residential Mortgage Securities, Inc.,

  

  6,594,000     

Series 2006-2-A5

    6.04% #      09/25/2036        5,755,200   
 

Citigroup Commercial Mortgage Securities, Inc.,

  

  153,492,550     

Series 2004-C2

    1.10% #^ I/O      10/15/2041        1,596,062   
  7,000,000     

Series 09-RR1-CA4B

    5.32% ^      12/21/2049        6,409,200   
 

Citigroup Mortgage Loan Trust, Inc.,

  

  3,000,000     

Series 2005-9-21A1

    5.50%        10/25/2035        2,282,886   
  5,826,240     

Series 10-2-5A1

    5.50% #^      12/25/2035        5,884,502   
  3,375,000     

Series 2006-WF1-A2D

    5.92% #      03/25/2036        2,071,486   
  3,500,000     

Series 2006-WF2-A2D

    6.16% #      05/25/2036        2,090,823   
  8,102,014     

Series 2006-FX1-6

    5.85% #      10/25/2036        5,520,753   
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
$ 5,131,517     

Series 2007-2

    6.00%        11/25/2036        4,834,610   
  2,390,971     

Series 07-12-2A1

    6.50% #      04/25/2037        1,686,413   
  3,747,862     

Series 07-9-2A2

    6.50%        05/25/2037        2,023,845   
  36,000,000     

Series 2010-8-6A4

    11.53% #      12/25/2036        25,920,000   
 

Citimortgage Alternative Loan Trust,

  

  4,481,000     

Series 2007-A5-1A11

    6.00%        05/25/2037        3,104,372   
 

Commercial Mortgage Pass-Through Certificates,

  

  1,540,000     

Series 07-C9-A2

    5.81% #      12/10/2049        1,602,712   
  3,750,000     

Series 2001-J1A

    7.21% #^      02/16/2034        3,775,127   
 

Countrywide Alternative Loan Trust,

  

  4,828,584     

Series 2005-J11-6A1

    6.50%        09/25/2032        4,426,032   
  16,936,645     

Series 2005-J2-1A6

    4.74% # I/O I/F      04/25/2035        1,776,217   
  5,449,351     

Series 2005-J2

    0.76% #      04/25/2035        4,470,852   
  10,687,216     

Series 05-26CB-A11

    12.45% # I/F      07/25/2035        9,755,645   
  16,378,344     

Series 2005-28CB-1A2

    1.01% #      08/25/2035        12,066,434   
  3,354,505     

Series 2005-28CB-3A6

    6.00%        08/25/2035        2,166,116   
  3,364,473     

Series 2005-J10

    0.96% #      10/25/2035        2,513,312   
  13,479,613     

Series 2005-J10-1A11

    5.50%        10/25/2035        11,738,061   
  7,992,834     

Series 05-J11-1A3

    5.50%        11/25/2035        7,257,470   
  2,828,323     

Series 2005-64CB-1A14

    5.50%        12/25/2035        2,107,532   
  2,027,179     

Series 2005-60T1-A7

    34.05% # I/F      12/25/2035        2,963,545   
  5,141,724     

Series 05-79CB-A5

    5.50%        01/25/2036        3,747,142   
  5,897,225     

Series 2005-86CB-A5

    5.50%        02/25/2036        4,146,492   
  8,872,811     

Series 05-85CB-2A6

    20.67% # I/F      02/25/2036        9,188,593   
  5,000,000     

Series 2006-6CB-1A4

    5.50%        05/25/2036        3,814,553   
  5,165,514     

Series 06-19CB-A15

    6.00%        08/25/2036        4,548,680   
    20,120,308     

Series 06-24CB-A14

    6.82% # I/O  I/F      08/25/2036        3,361,230   
  17,910,971     

Series 06-24CB-A5

    0.93% #      08/25/2036        11,719,659   
  6,895,832     

Series 06-26CB-A17

    6.25%        09/25/2036        4,739,143   
  2,694,668     

Series 06-29T1-2A12

    44.01% # I/F      10/25/2036        4,142,320   
  1,603,014     

Series 06-29T1-2A23

    31.94% # I/F      10/25/2036        2,147,885   
  7,582,874     

Series 2006-36T2

    6.25%        12/25/2036        5,172,066   
  6,388,356     

Series 06-39CB-1A10

    6.00%        01/25/2037        4,612,253   
  2,119,803     

Series 07-9T1-1A5

    5.17% # I/O I/F      05/25/2037        261,597   
  2,610,341     

Series 07-9T1-2A1

    6.00%        05/25/2037        1,624,217   
  3,133,356     

Series 07-11T1-A24

    37.93% # I/F      05/25/2037        4,347,487   
  2,119,803     

Series 07-9T1-1A4

    0.83% #      05/25/2037        1,141,371   
  3,049,158     

Series 07-19-1A10

    37.03% # I/F      08/25/2037        4,412,320   
  12,698,203     

Series 2007-21CB-2A2

    27.35% # I/F      09/25/2037        17,787,097   
 

Countrywide Asset-Backed Certificates,

  

  4,416,221     

Series 05-13-AF3

    5.43%        02/25/2033        3,154,003   
 

Countrywide Home Loans,

  

  5,772,361     

Series 2005-HYB8-1A1

    2.68% #      12/20/2035        4,392,103   
  2,564,703     

Series 2005-27-2A1

    5.50%        12/25/2035        2,309,699   
 

Countrywide Home Loans Mortgage Pass Through Trust,

  

  22,529,764     

Series 2007-7

    5.75%        06/25/2037        20,018,033   
  23,850,940     

Series 07-J3-A2

    5.17% # I/O I/F      07/25/2037        3,471,240   
  4,625,825     

Series 07-J3-A1

    0.83% # I/F      07/25/2037        2,942,557   
  7,000,000     

Series 2007-9-A11

    5.75%        07/25/2037        5,864,562   
 

Credit Suisse First Boston Mortgage Securities Corp.,

  

  5,963,456     

Series 06-TFL2-SVA1

    0.57% #^      10/15/2021        5,546,703   
  662,149     

Series 01-CF2-A4

    6.51%        02/15/2034        663,477   
  687,508     

Series 04-AR8-2A1

    2.81% #      09/25/2034        634,772   
  8,505,652     

Series 06-3-A4B

    6.11% #      11/25/2036        5,149,211   
  6,536,641     

Series 06-4-A64

    5.68% #      12/25/2036        4,248,643   
  67,631,820     

Series 05-C4-ASP

    0.42% # ^ I/O      08/15/2038        327,500   
  7,887,000     

Series 2001-CF2-F

    6.56% ^      02/15/2034        7,891,185   
 

Credit Suisse Mortgage Capital Certificates,

  

  5,125,847     

Series 09-1R-4A2

    4.90% # I/F      07/20/2035        3,190,840   
  48,008,003     

Series 2006-2-5A2

    4.97% # I/O I/F      03/25/2036        6,824,059   
  8,588,900     

Series 2006-2-5A1

    1.03% #      03/25/2036        4,907,586   
  2,780,874     

Series 06-2-3A1

    6.50%        03/25/2036        1,985,799   
  1,395,000     

Series 06-7-3A11

    6.00%        08/25/2036        1,029,473   
  6,964,192     

Series 06-9-6A15

    37.93% # I/F      11/25/2036        10,333,753   
 

Credit-Based Asset Servicing and Securitization,

  

  1,521,094     

Series 2005-CB6-A4

    5.16% #      06/25/2035        1,438,707   
  3,750,000     

Series 2007-MX1-A3

    5.83% #^      12/25/2036        2,882,951   
 

Capital Trust Ltd.,

  

  11,424,000     

Series 2005-3A-A2

    5.16% ^      06/25/2035        11,438,280   

 

See Accompanying Notes   Semi-Annual Report   September 30, 2010   7


Table of Contents

 

 

 

 

 

 

Schedule of Investments  DoubleLine Total Return Bond Fund  (Cont.)    

 

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Deutsche ALT-A Securities Inc. Alternate Loan,

  

$ 4,101,020     

Series 2005-5

    0.46% #      11/25/2035        2,520,089   
  3,626,687     

Series 2005-5-1A6

    33.52% # I/F      11/25/2035        5,456,667   
  12,469,763     

Series 2005-5-2A2

    5.04% # I/O I/F      11/25/2035        1,614,380   
  13,278,772     

Series 2007-1-1A2

    0.51% #      08/25/2037        11,876,500   
  3,871,486     

Series 06-AF1-A3

    0.44% #      04/25/2036        2,901,607   
 

Deutsche ALT-B Securities Inc. Mortgage Loan Trust,

  

  2,500,000     

Series 2006-AB2-A2

    6.16% #      06/25/2036        1,497,583   
  2,789,019     

Series 2006-AB4-A6A1

    5.87% #      10/25/2036        1,703,577   
  6,273,918     

Series 2006-AB4-A3

    5.90% #      10/25/2036        3,480,541   
 

Deutsche Mortgage Securities, Inc.,

  

    39,751,883     

Series 2006-PR1-5A14

    11.65% # I/F      04/15/2036        39,751,883   
  14,913,045     

Series 2006-PR1-4AI1

    11.62% # I/F      04/15/2036        14,521,215   
  24,480,733     

Series 2006-PR1-4A12

    13.94% # I/F      04/15/2036        25,700,035   
  1,077,989     

Series 06-PR1-5AI1

    18.33% # I/F      04/15/2036        1,235,314   
  9,293,292     

Series 06-PR1-5AI3

    12.09% # I/F      04/15/2036        9,064,956   
 

DLJ Commercial Mortgage Corp.,

  

  4,000,000     

Series 00-CKP1-B1

    7.95% #      11/10/2033        3,998,549   
 

Ellington Loan Acquisition Trust,

  

  5,610,170     

Series 2007-1-A2A2

    1.06% #^      05/25/2037        5,009,627   
 

First Horizon Alternative Mortgage Securities,

  

  16,547,030     

Series 2006-RE1-A1

    5.50%        05/25/2035        14,421,051   
  2,157,300     

Series 2006-FA7-A8

    6.25%        12/25/2036        1,547,624   
 

First Horizon Asset Securities, Inc.,

  

  1,214,166     

Series 06-FA1-1A6

    1.08% #      09/25/2034        1,072,065   
  573,272     

Series 05-2-1A6

    22.58% # I/F      06/25/2032        640,773   
 

First Union Commercial Mortgage Securities, Inc.,

  

  8,000,000     

Series 2000-C2-G

    8.51% #      10/15/2032        7,988,625   
 

First Union NB-Bank of America Commercial Mortgage Trust,

  

  1,500,000     

Series 2001-C1-F

    6.84% ^      03/15/2033        1,512,480   
 

GE Capital Commercial Mortgage Corporation,

  

  1,854,140     

Series 2004-C2

    0.77% #^ I/O      03/10/2040        5,359   
 

G-Force, LLC

  

  12,321,827     

Series 2005-RRA-A1

    4.39% ^      08/22/2036        12,321,827   
 

GMAC Commercial Mortgage Securities, Inc.,

  

  2,653,800     

Series 2004-C1

    1.02% # ^ I/O      03/10/2038        10,464   
  61,020,243     

Series 2004-C2

    0.56% # ^ I/O      08/10/2038        204,680   
  1,036,837     

Series 2003-C3

    4.65%        04/10/2040        1,055,103   
  147,737,632     

Series 2004-C3-X2

    0.80% # I/O      12/10/2041        948,815   
 

GMAC Mortgage Corporation Loan Trust,

  

  3,774,397     

Series 2004-J2-A6

    16.07% # I/F      06/25/2034        4,016,869   
 

Greenwish Capital Commercial Funding Corp.,

  

  7,936,000     

Series 2004-FL2

    0.66% #^      11/05/2019        7,542,378   
 

GS Mortgage Securities Corp.,

  

  3,627,100     

Series 08-2R-1A1

    7.50% #^      09/25/2036        3,220,185   
 

GSAA Home Equity Trust,

  

  2,823,232     

Series 05-12-AF3

    5.07% #      09/25/2035        2,277,851   
  10,959,887     

Series 2006-4-4A1

    0.45% #      03/25/2036        9,699,708   
  8,320,844     

Series 06-18-AF6

    5.68% #      11/25/2036        5,236,993   
 

GSR Mortgage Loan Trust,

  

  5,681,246     

Series 2005-6F-4A1

    0.83% #      06/25/2035        4,700,700   
  8,176,661     

Series 2005-6F-3A16

    5.50%        07/25/2035        7,673,257   
  42,749,836     

Series 2005-6F-3A9

    6.57% # I/O I/F      07/25/2035        7,072,246   
  2,944,631     

Series 2005-6F-3A16

    6.00%        07/25/2035        2,633,752   
  5,244,895     

Series 2005-7F-3A1

    0.83% #      09/25/2035        4,413,107   
  4,650,973     

Series 2006-2F-2A3

    5.75%        02/25/2036        4,053,816   
 

Harborview Mortgage Loan Trust,

  

  8,011,587     

Series 05-14-3A1A

    4.91% #      12/19/2035        6,051,641   
 

Home Equity Asset Trust,

  

  6,375,000     

Series 2004-7

    1.01% #      01/25/2035        4,997,614   
 

Home Equity Mortgage Trust,

  

  3,261,343     

Series 03-3-M1

    1.62% #      08/25/2033        2,556,257   
 

Homebanc Mortgage Trust,

  

  4,112,767     

Series 2005-1

    0.84% #      03/25/2035        2,403,314   
  9,899,807     

Series 2006-1

    5.82% #      04/25/2037        8,066,080   
 

Indymac Imsc Mortgage Loan Trust,

  

  1,781,567     

Series 2007-F2-1A2

    6.00%        07/25/2037        1,211,568   
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

JMAC Co.,

  

  $15,200,000     

Series 10-R1-1A1

    6.00% #      03/26/2037        15,086,000   
 

JP Morgan,

  

  27,546,803     

Series 2010-1-1A4

    6.00% #      02/26/2037        12,792,735   
 

JP Morgan Alternative Loan Trust,

  

  1,979,720     

Series 05-S1-2A9

    6.00%        12/25/2035        1,650,302   
  10,255,974     

Series 2006-S1-1A8

    5.75%        03/25/2036        7,868,701   
  6,500,000     

Series 2006-S2-A4

    6.19% #      05/25/2036        3,202,176   
 

JP Morgan Chase,

  

  195,328,596     

Series 07-CIBC18-X

    0.45% # I/O      06/12/2047        2,876,565   
 

JP Morgan Chase Commercial Mortgage Securities Trust,

  

  6,000,000     

Series 2001-C1-F

    7.10% #^      10/12/2035        6,118,377   
 

JP Morgan Chase Commercial Mortgage Security Corporation,

  

  31,429,380     

Series 2004-CBX-X1

    0.35% #^ I/O I/F      01/12/2037        592,931   
 

JP Morgan Commercial Mortgage Certificates,

  

  1,137,605     

Series 1997-C5-F

    7.56% ^      09/15/2029        1,196,843   
  335,069,886     

Series 05-LDP3-X2

    0.17% # I/O      08/15/2042        1,203,538   
  138,785,626     

Series 2005-LDP4

    0.15% #^ I/O      10/15/2042        1,020,116   
  117,541,780     

Series 2006-CIBC16-X2

    0.51% # I/O      05/12/2045        1,547,532   
 

JP Morgan Mortgage Acquisition Trust,

  

  6,841,000     

Series 06-WF1-A5

    6.41% #      07/25/2036        3,419,956   
 

LB-UBS Commercial Mortgage Trust,

  

  6,845,000     

Series 2001-WM-B

    6.65% ^      07/14/2016        6,927,471   
  70,840,336     

Series 05-C1-XCP

    0.72% # I/O      02/15/2040        567,495   
  177,695,140     

Series 05-C2-XCP

    0.33% # I/O I/F      04/15/2040        797,869   
  58,366,115     

Series 05-C5-XCP

    0.41% # I/O      09/15/2040        496,626   
 

Lehman Mortgage Trust,

  

  4,665,153     

Series 2005-3-2A3

    5.50%        01/25/2036        4,261,494   
  5,298,676     

Series 06-1-1A1

    1.08% #      02/25/2036        3,193,933   
  16,067,198     

Series 06-1-1A2

    4.42% # I/O I/F      02/25/2036        1,725,387   
  19,387,122     

Series 2006-5-2A2

    1.82% # I/O I/F      09/25/2036        3,813,383   
  6,336,907     

Series 2006-5

    0.61% # I/F      09/25/2036        2,958,965   
  2,000,798     

Series 07-5-7A3

    7.50%        10/25/2036        1,603,058   
  29,368,031     

Series 06-9-1A6

    4.80% # I/O I/F      01/25/2037        3,708,721   
  9,687,004     

Series 2006-9

    0.95% # I/F      01/25/2037        5,547,064   
  10,707,740     

Series 2006-9-2A1

    0.73% #      01/25/2037        5,571,617   
  9,343,579     

Series 2006-9-1A19

    29.08% # I/F      01/25/2037        12,768,724   
  26,155,602     

Series 2006-9-2A2

    6.27% # I/O I/F      01/25/2037        4,850,114   
  7,948,000     

Series 2007-2-1A1

    5.75%        03/25/2037        5,373,865   
  25,928,808     

Series 07-4-2A8

    6.41% # I/O I/F      05/25/2037        4,768,878   
  3,314,888     

Series 07-4-2A9

    0.66% # I/F      05/25/2037        1,524,849   
  7,235,671     

Series 07-4-2A11

    0.66% #      05/25/2037        3,256,052   
  2,115,166     

Series 2007-6-1A8

    6.00%        07/25/2037        1,435,743   
 

Lehman XS Trust,

  

  4,583,100     

Series 2005-10-2A3B

    5.55% #      01/25/2036        3,618,850   
  16,500,000     

Series 2005-4-2A3A

    5.00% #      10/25/2035        9,750,807   
 

Master Alternative Loans Trust,

  

  4,932,211     

Series 2005-2-3A1

    6.00%        03/25/2035        4,372,309   
  15,857,700     

Series 2007-1-2A7

    6.00%        10/25/2036        11,856,810   
 

Master Asset Backed Securities Trust,

  

  4,975,000     

Series 2003-OPT1-M3

    4.39% #      12/25/2032        3,711,599   
  9,077,298     

Series 2005-2

    2.68% #      03/25/2035        6,253,632   
 

MASTR Seasoned Securitization Trust,

  

  5,807,831     

Series 05-2-2A1

    0.73% #      10/25/2032        3,738,597   
  1,341,734     

Series 05-2-1A4

    6.00%        10/25/2032        1,254,422   
 

Merrill Lynch Mortgage Trust,

  

  34,068,433     

Series 03-KEY1-XP

    0.33% #^ I/O      11/12/2035        9,938   
  445,309,452     

Series 04-BPC1-XP

    0.94% #^ I/O      10/12/2041        4,766,726   
 

Morgan Stanley Capital, Inc.,

  

  1,485,000     

Series 99-LIFE1-G

    7.09% #^      04/15/2033        1,514,997   
  2,169,389     

Series 2003-NC6-M2

    3.25% #      06/25/2033        1,842,620   
  191,505,877     

Series 2004-HQ4-X2

    0.36% # ^ I/O      04/14/2040        1,419,844   
  230,120,058     

Series 2005-IQ9-X2

    1.21% # ^ I/O      07/15/2056        3,090,075   
 

Morgan Stanley Mortgage Loan Trust,

  

  2,990,111     

Series 05-6AR-1A1

    0.61% #      11/25/2035        2,183,466   
  5,513,015     

Series 2005-10-1A1

    1.03% #      12/25/2035        3,787,568   
  2,068,488     

Series 2006-2-2A3

    5.75%        02/25/2036        1,658,408   
  4,663,133     

Series 07-1XS-2A4A

    6.08% #      09/25/2046        2,768,761   

 

8   DoubleLine Funds        See Accompanying Notes   


Table of Contents

 

 

 

 

 

 

    (Unaudited)
September 30, 2010

 

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  $13,391,225     

Series 2006-17XS-A3A

    5.65% #      10/25/2046        8,708,367   
  3,977,764     

Series 2006-17XS-A6

    5.58% #      10/25/2046        2,503,127   
 

Morgan Stanley Dean Witter Capital,

  

  10,000,000     

Series 2001-FRMA-E

    6.69% #      07/12/2016        10,243,703   
  3,000,000     

Series 2001-TOPL-E

    7.53% #      02/15/2033        2,733,081   
 

New York Mortgage Trust,

  

  2,402,339     

Series 05-2-A

    0.66% #      08/25/2035        2,113,750   
 

Nomura Asset Acceptance Corporation,

  

  3,307,668     

Series 2005-AP1-2A5

    4.86% #      02/25/2035        2,673,466   
  28,387,195     

Series 2006-AP1-A2

    5.52% #      01/25/2036        20,204,685   
  5,000,000     

Series 06-AP1-A3

    5.65%        01/25/2036        3,299,025   
  4,787,000     

Series 06-AF1-IA3

    6.41%        05/25/2036        2,713,094   
  4,343,830     

Series 2006-WF1-A2

    5.76% #      06/25/2036        3,096,008   
 

Nomura Home Equity Loan Trust,

  

  24,912,542     

Series 2006-AF1-A2

    5.80% #      10/25/2036        12,920,429   
  4,730,822     

Series 2007-1

    6.06% #      02/25/2037        2,569,867   
 

Option One Mortgage Loan Trust,

  

  1,762,866     

Series 2002-2-A

    0.87% #      06/25/2032        1,478,009   
  8,410,261     

Series 2004-3-M3

    1.00% #      11/25/2034        6,888,731   
 

PHH Alternative Mortgage Trust,

  

  2,762,033     

Series 2007-2-3A1

    6.00%        05/25/2037        2,261,912   
 

PNC Mortgage Accpetance Corporation,

  

  852,567     

Series 1999-CM1-B3

    7.10% ^      12/10/2032        852,567   
 

Popular ABS Mortgage Pass-Thru Trust,

  

  1,645,855     

Series 2005-5-AF6

    5.33% #      11/25/2035        1,397,400   
 

Prime Mortgage Trust,

  

  9,361,261     

Series 2006-1-2A5

    6.00%        06/25/2036        8,538,874   
 

Renaissance Home Equity Loan Trust,

  

  2,010,573     

Series 2006-1-AF6

    5.75% #      05/25/2036        1,460,238   
  22,252,000     

Series 06-4-AF5

    5.69% #      01/25/2037        12,224,092   
  11,300,000     

Series 06-4-AF4

    5.47% #      01/25/2037        6,203,367   
  18,490,000     

Series 07-2-AF2

    5.68% #      06/25/2037        9,559,579   
  10,000,000     

Series 07-2-AF5

    6.20% #      06/25/2037        5,419,695   
 

Residential Accredit Loans, Inc.,

  

  8,613,794     

Series 05-QS1-A5

    5.50%        01/25/2035        7,563,268   
  7,350,398     

Series 2005-QS13-1A6

    5.50%        09/25/2035        5,602,385   
  9,833,138     

Series 2005-QS14-2A1

    6.00%        09/25/2035        7,896,246   
  7,294,543     

Series 2005-QS13-A1

    0.96% #      09/25/2035        4,682,225   
  29,178,171     

Series 2005-QS13-2A2

    4.79% # I/O I/F      09/25/2035        4,322,195   
  12,872,287     

Series 05-QS17-A2

    1.19% #      12/25/2035        7,540,444   
  12,872,547     

Series 05-QS17-A4

    4.81% # I/O I/F      12/25/2035        1,426,038   
  4,218,247     

Series 2006-QS1-A6

    40.19% # I/F      01/25/2036        6,208,453   
  8,216,964     

Series 06-QS4-A8

    1.41% # I/F      04/25/2036        5,940,981   
  2,455,587     

Series 07-QS2-A6

    6.25%        01/25/2037        1,673,965   
  4,714,974     

Series 07-QS5-A5

    0.63% #      03/25/2037        2,351,516   
  15,975,526     

Series 07-QS5-A8

    6.37% # I/O I/F      03/25/2037        3,352,071   
 

Residential Asset Mortgage Products, Inc.,

  

  3,079,640     

Series 04-RS9-AI4

    4.77% #      10/25/2032        2,840,513   
  8,376,274     

Series 04-RS5-AI6

    5.55% #      05/25/2034        6,695,893   
  3,359,586     

Series 2004-RS9-Ii6

    4.72% #      07/25/2034        2,792,995   
  7,550,000     

Series 2005-RS1-AI5

    5.41% #      12/25/2034        6,176,927   
 

Residential Asset Securities Corporation,

  

  1,332,233     

Series 02-KS1-AI6

    6.08%        06/25/2032        1,044,389   
  4,857,646     

Series 03-KS11-MI1

    5.13%        01/25/2034        4,260,268   
  4,222,328     

Series 06-KS4-A3

    0.48% #      01/25/2035        3,715,163   
 

Residential Asset Securitization Trust,

  

  9,136,633     

Series 2005-A7-A3

    5.50%        06/25/2035        7,502,976   
  11,056,888     

Series 2005-A11-2A4

    6.00%        10/25/2035        7,659,239   
  2,405,439     

Series 06-A1-1A3

    6.00%        04/25/2036        1,823,242   
  2,400,435     

Series 07-A3-1A2

    43.86% # I/F      04/25/2037        3,970,095   
  14,533,343     

Series 2006-R1-A1

    27.01% # I/F      01/25/2046        16,978,528   
 

Residential Funding Mortgage Securities I,

  

  1,318,711     

Series 2006-S5-A15

    6.00%        06/25/2036        1,134,094   
  18,000,000     

Series 2007-S1-A7

    6.00%        01/25/2037        14,888,691   
  2,846,432     

Series 2005-S9-A8

    5.50%        12/25/2035        2,526,850   
 

Salomon Brothers Mortgage Securities,

  

  4,860,000     

Series 2001-C1-C

    6.73% #      12/18/2035        4,942,190   
  3,000,000     

Series 01-C1-E

    6.31% #      12/18/2035        3,006,914   
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Sequoia Mortgage Trust,

  

  $     700,402     

Series 03-4-2A1

    0.69% #      07/20/2033        660,583   
 

Soundview Home Equity Loan Trust,

  

  10,875,507     

Series 2007-1-2A1

    0.35% #      03/25/2037        10,018,207   
 

Structured Asset Securities Corp.,

  

  22,040,602     

Series 02-BC7-M1

    1.15% #      10/25/2032        15,211,476   
  1,717,747     

Series 03-18XS-A6

    4.04%        06/25/2033        1,738,801   
  1,390,181     

Series 05-10-4A5

    18.76% # I/F      12/25/2034        1,459,344   
 

Suntrust Alternative Loan Trust,

  

  2,544,553     

Series 2005-1F-2A3

    5.75%        12/25/2035        2,104,628   
 

Thornburg Mortgage Securities Trust,

  

  3,252,982     

Series 03-6-A2

    1.33% #      12/25/2033        2,571,863   
 

TIAA Real Estate CDO,

  

  10,000,000     

Series 2002-1A-IIFL

    1.59%        5/22/2037        9,490,625   
 

Wachovia Bank Commercial Mortgage Trust,

  

  975,361     

Series 06-C28-A1

    5.32%        10/15/2048        978,593   
 

Washington Mutual Mortgage Pass Through Certificates,

  

  14,887,169     

Series 05-1-2A

    6.00%        03/25/2035        12,058,532   
  8,222,645     

Series 2005-5-CB6

    0.93% #      07/25/2035        5,547,190   
  2,539,229     

Series 05-5-CB12

    46.78% # I/F      07/25/2035        3,962,628   
  10,277,294     

Series 05-9-CX

    5.50% I/O      11/25/2035        1,979,759   
  7,939,410     

Series 2006-9

    5.93% #      10/25/2036        5,401,776   
  4,508,727     

Series 07-4-1A4

    6.00%        06/25/2037        440,313   
  1,430,549     

Series 07-5-A11

    37.40% # I/F      06/25/2037        2,326,009   
 

Washington Mutual Mortgage Securities,

  

  383,172     

Series 05-C1A-A2

    5.15% #^      05/25/2036        385,899   
 

Wells Fargo Alternative Loan Trust,

  

  3,096,996     

Series 07-PA3-1A4

    5.75%        07/25/2037        2,491,927   
 

Wells Fargo Mortgage Backed Securities Trust,

  

  2,604,876     

Series 2005-4-A7

    22.51% # I/F      04/25/2035        3,106,396   
  8,866,341     

Series 05-AR16-6A4

    3.60% #      10/25/2035        4,218,778   
  5,008,719     

Series 06-3-A6

    5.50%        03/25/2036        4,186,706   
  439,587     

Series 06-2-1A4

    18.48% # I/F      03/25/2036        539,065   
  1,365,811     

Series 2006-4-2A2

    5.50%        04/25/2036        1,270,643   
  10,582,821     

Series 2006-9-2A2

    6.00% I/O      08/25/2036        2,171,302   
  10,197,189     

Series 2006-9-2A1

    0.00% P/O      08/25/2036        6,573,313   
  6,041,553     

Series 2007-2-3A2

    5.25%        03/25/2037        5,310,187   
  6,570,890     

Series 07-8-1A14

    38.24% # I/F      07/25/2037        10,276,113   
             
  Total Collateralized Mortgage Obligations
(Cost $1,294,533,797)
        1,339,868,087   
             
  US GOVERNMENT AGENCY OBLIGATIONS 40.8%   
 

Federal Home Loan Mortgage Corp.,

  

  27,692,640     

Series 3616-SG

    6.07% # I/O I/F      03/15/2032        3,846,414   
  13,833,229     

Series 2519

    5.50%        11/15/2032        15,269,628   
  4,343,477     

Series 2596-ZL

    5.00%        04/15/2033        4,694,452   
  2,359,435     

Series 2684-ZN

    4.00%        10/15/2033        2,422,953   
  12,083,076     

Series 2750-ZT

    5.00%        02/15/2034        12,791,941   
  2,805,380     

Series 2825-PZ

    5.50%        07/15/2034        3,162,191   
  51,353,920     

Series 3641-SB

    6.16% # I/O I/F      10/15/2034        4,986,327   
  11,400,399     

Series 2990-JL

    6.31% # I/O I/F      03/15/2035        1,114,258   
  32,592,871     

Series 3002-SN

    6.16% # I/O I/F      07/15/2035        4,552,025   
  1,907,752     

Series 3014-SJ

    10.73% # I/F      08/15/2035        1,964,422   
  6,367,917     

Series 3045-DI

    6.38% # I/O I/F      10/15/2035        916,124   
  20,955,216     

Series R003

    5.50%        10/15/2035        23,424,012   
  6,786,849     

Series 3174-PZ

    5.00%        01/15/2036        7,311,511   
  22,611,975     

Series 3641

    5.50%        02/15/2036        25,314,807   
  5,710,434     

Series 3117-ZN

    4.50%        02/15/2036        5,903,832   
  3,693,272     

Series 3187-JZ

    5.00%        07/15/2036        3,992,057   
  5,083,149     

Series 3188-ZK

    5.00%        07/15/2036        5,487,392   
  35,313,466     

Series 3666-VZ

    5.50%        08/15/2036        39,992,500   
  18,336,912     

Series 3704-EL

    5.00% I/O      12/15/2036        2,235,664   
  63,755,955     

Series 3275-SC

    5.73% # I/O I/F      02/15/2037        7,418,892   
  2,912,877     

Series 3351-ZC

    5.50%        07/15/2037        3,189,852   
  2,971,124     

Series 3369-Z

    6.00%        09/15/2037        3,308,926   
  17,627,467     

Series 3654-ZB

    5.50%        11/15/2037        19,919,038   
  75,618,278     

Series 3417-SI

    5.83% # I/O I/F      02/15/2038        6,967,188   
  41,683,405     

Series 3631-SE

    6.05% # I/O I/F      05/15/2039        5,123,316   
  3,245,604     

Series 3530-BF

    4.50%        05/15/2039        3,253,823   
  11,140,980     

Series 3583-GB

    4.50%        10/15/2039        11,817,993   

 

See Accompanying Notes   Semi-Annual Report   September 30, 2010   9


Table of Contents

 

 

 

 

 

 

Schedule of Investments  DoubleLine Total Return Bond Fund  (Cont.)    

 

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  $  71,523,801     

Series 3490-CO

    4.50%        08/01/2040        74,486,107   
  22,218,190     

Series 3712-SG

    23.70% # I/F      08/15/2040        28,523,379   
  54,859,957     

Series 3667-SB

    6.11% # I/O I/F      05/15/2040        5,792,674   
  22,411,568     

Series 3030-SL

    5.82% # I/O I/F      09/15/2035        2,982,637   
  40,228,280     

Series 3545-SA

    5.87% # I/O I/F      06/15/2039        4,578,783   
 

Federal National Mortgage Association,

  

    57,225,525     

Series 2010-99-SG

    23.72% I/F      09/25/2040        70,029,736   
  2,900,000     

Series 05-107-EG

    4.50%        01/25/2026        3,163,928   
  2,822,125     

Series 09-16-MZ

    5.00%        03/25/2029        3,177,543   
  12,043,747     

Series 2002-75

    5.50%        11/25/2032        12,940,575   
  3,088,140     

Series 02-70-QZ

    5.50%        11/25/2032        3,445,146   
  13,629,921     

Series 03-29-ZL

    5.00%        04/25/2033        14,593,865   
  11,164,532     

Series 03-64-ZG

    5.50%        07/25/2033        12,394,507   
  18,564,126     

Series 03-117-KS

    6.75% # I/O I/F      08/25/2033        2,131,938   
  20,523,228     

Series 04-51-XP

    7.35% # I/O I/F      07/25/2034        3,220,213   
  5,000,000     

Series 04-W10-AG

    5.75%        08/25/2034        5,376,791   
  1,913,166     

Series 05-37-ZK

    4.50%        05/25/2035        1,985,186   
  36,221,046     

Series 2009-85-ES

    6.97% # I/O I/F      01/25/2036        7,924,165   
  60,179,192     

Series 06-56-SM

    6.40% # I/O I/F      07/25/2036        9,892,550   
  18,377,771     

Series 2006-93-SN

    6.25% # I/O I/F      10/25/2036        1,962,110   
  19,856,233     

Series 2007-9-SD

    6.30% # I/O I/F      03/25/2037        2,032,047   
  18,994,337     

Series 07-116-BI

    5.90% # I/O I/F      05/25/2037        2,695,494   
  16,111,250     

Series 2008-29-ZA

    4.50%        04/25/2038        16,481,736   
  31,675,298     

Series 2008-62-SC

    5.65% # I/O I/F      07/25/2038        3,084,930   
  36,380,565     

Series 2008-65-SA

    5.65% # I/O I/F      08/25/2038        3,478,146   
  80,586,418     

Series 2010-59-PS

    6.12% # I/O I/F      03/25/2039        12,095,618   
  4,217,748     

Series 09-54-EZ

    5.00%        07/25/2039        4,564,640   
  7,086,931     

Series 09-51-BZ

    4.50%        07/25/2039        7,072,828   
  7,961,318     

Series 10-60-VZ

    5.00%        10/25/2039        8,599,773   
  5,950,063     

Series 09-94-BC

    5.00%        11/25/2039        6,412,771   
  82,617,502     

Series 400-S4

    5.10% # I/O I/F      11/25/2039        11,387,484   
  29,353,298     

Series 2009-106

    4.50%        01/25/2040        29,487,231   
  68,769,935     

Series 2010-59-SC

    4.74% # I/O I/F      01/25/2040        6,071,099   
  54,353,644     

Series 2009-111-SE

    5.99% # I/O I/F      01/25/2040        6,156,349   
  94,556,380     

Series 2010-16-SA

    5.10% # I/O I/F      03/25/2040        13,374,886   
  69,809,568     

Series 10-21-KS

    4.62% # I/O I/F      03/25/2040        7,033,921   
  4,885,085     

Series 10-27-SP

    13.71% # I/F      04/25/2040        5,020,958   
  75,973,438     

Series 10-34-PS

    4.60% # I/O I/F      04/25/2040        8,721,880   
  110,318,137     

Series 10-31-SA

    4.67% # I/O I/F      04/25/2040        7,127,743   
  34,657,379     

Series 2010-35-SV

    6.19% # I/O I/F      04/25/2040        3,888,901   
  19,945,677     

Series 10-31-VZ

    4.00%        04/25/2040        19,018,219   
  1,120,643     

Series 10-39-LS

    18.69% # I/F      05/25/2040        1,225,605   
  46,881,823     

Series 10-46-MS

    4.60% # I/O I/F      05/25/2040        5,631,435   
  8,274,126     

Series 10-39-SC

    16.40% # I/F      05/25/2040        8,633,793   
  11,069,125     

Series 2010-64-EZ

    5.00%        06/25/2040        11,916,172   
  49,183,750     

Series 2010-101-ZH

    4.50%        07/25/2040        49,234,021   
  28,581,159     

Series 2010-84

    4.50%        08/25/2040        28,686,789   
  40,300,562     

Series 2010-84

    4.50%        08/25/2040        40,610,111   
  19,500,000     

Series 2003-W17-1A7

    5.75%        08/25/2043        22,270,230   
  16,307,518     

Series 10-2-GS

    6.19% # I/O I/F      12/25/2049        1,740,371   
  38,200,727     

Series 10-2-MS

    5.99% # I/O I/F      02/25/2050        4,820,668   
 

Federal National Mortgage Association Pass-Thru,

  

  13,593,668     

Pool 745571

    4.00%        01/01/2019        14,418,391   
  7,736,043     

Pool MA0459

    4.00%        07/01/2020        8,170,961   
  24,353,072     

Pool MA0502

    4.00%        08/01/2020        25,708,799   
  10,461,648     

Pool MA0517

    4.00%        09/01/2020        11,049,275   
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  $  3,572,191     

Pool MA0315

    4.50%        01/01/2025        3,729,511   
  19,328,881     

Pool MA0406

    4.50%        05/01/2030        20,320,903   
  6,148,121     

Pool AD2177

    4.50%        06/01/2030        6,463,663   
  14,119,845     

Pool 880968

    5.00%        08/01/2035        14,963,460   
  4,753,300     

Pool 888695

    5.00%        08/01/2037        5,016,499   
  4,771,071     

Pool 975116

    5.00%        05/01/2038        5,026,785   
  5,511,792     

Pool 931104

    5.00%        05/01/2039        5,879,621   
  5,908,545     

Pool AD70918

    5.00%        04/01/2040        6,155,392   
  7,538,214     

Pool AC1032

    5.00%        06/01/2040        7,853,145   
  3,799,448     

Pool MA0445

    5.00%        06/01/2040        3,958,182   
  4,915,547     

Pool AD7859

    5.00%        06/01/2040        5,178,513   
  9,805,368     

Pool AD6438

    5.00%        06/01/2040        10,329,923   
  13,959,459     

Pool MA0468

    5.00%        07/01/2040        14,542,657   
 

Government National Mortgage Association,

  

 
  14,700,000     

Series 03-67-SP

    6.76% # I/O      08/20/2033        4,505,704   
  13,274,230     

Series 03-86-ZK

    5.00%        10/20/2033        14,340,323   
  5,233,077     

Series 04-49-Z

    6.00%        06/20/2034        5,991,955   
  6,500,000     

Series 04-80-PH

    5.00%        07/20/2034        6,965,319   
  2,631,557     

Series 05-21-Z

    5.00%        03/20/2035        2,832,298   
  2,162,208     

Series 06-24-CX

    37.49% # I/F      05/20/2036        4,137,690   
  46,863,922     

Series 08-42-AI

    7.35% # I/O I/F      05/16/2038        7,906,230   
  1,732,723     

Series 09-31-ZM

    4.50% I/F      08/20/2038        1,689,692   
  12,218,687     

Series 08-82-SM

    5.70% # I/O I/F      09/20/2038        1,038,841   
  13,304,453     

Series 2009-48

    5.00%        06/16/2039        14,390,054   
  5,170,911     

Series 09-41-ZQ

    4.50%        06/16/2039        5,204,945   
  11,655,353     

Series 10-25-ZB

    4.50%        02/16/2040        11,623,462   
  39,291,649     

Series 10-42-ES

    5.34% # I/O I/F      04/20/2040        5,187,071   
  6,751,774     

Series 10-62-ZG

    5.50%        05/16/2040        7,650,604   
             
  Total US Government Agency Obligations
(Cost $1,078,165,750)
        1,119,789,088   
             
  SHORT TERM INVESTMENTS 12.1%   
$ 25,000,000     

Federal Home Loan Discount Note

    0.00%        10/15/2010        24,998,736   
  50,000,000     

Federal Home Loan Discount Note

    0.00%        10/27/2010        49,995,667   
  25,000,000     

Federal Home Loan Discount Note

    0.00%        11/17/2010        24,996,083   
  50,000,000     

Federal Home Loan Discount Note

    0.00%        10/30/2010        50,000,000   
  182,379,059     

Fidelity Institutional Government Portfolio

    0.06% 1        182,379,059   
             
  Total Short Term Investments
(Cost $332,369,545)
        332,369,545   
             
  Total Investments 101.6%
(Cost $2,705,069,092)
          2,792,026,720   
  Liabilities in Excess of Other Assets (1.6)%        (45,081,536
             
  NET ASSETS 100.0%        $ 2,746,945,184   
             

# Variable rate security. Rate disclosed is as of September 30, 2010.
^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund's Board of Trustees. At September 30, 2010, the value of these securities amounted to $117,859,997 or 4.3% of net assets.
1 Seven-day yield as of September 30, 2010.
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 prevailing interest rates.

 

10   DoubleLine Funds        See Accompanying Notes   


Table of Contents

 

 

 

 

 

 

Schedule of Investments  DoubleLine Core Fixed Income Fund   (Unaudited)
September 30, 2010

 

 

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  COLLATERALIZED MORTGAGE OBLIGATIONS 23.7%   
 

Adjustable Rate Mortgage Trust,

  

$ 183,947     

Series 07-3

    3.98% #^      11/25/2037        106,834   
 

Bear Stearns Asset Backed Securities Trust,

  

  387,106     

Series 07-SD1-IA3A

    6.50%        10/25/2036        278,535   
 

CF First Boston Mortgage Securities, Company,

  

  310,756     

Series 05-10-5A5

    5.50%        11/25/2035        236,252   
 

Citi Mortgage Alternative Loan Trust,

  

  524,000     

Series 2006-A2

    6.00%        05/25/2036        412,263   
  227,000     

Series 2006-A5

    6.00%        10/25/2036        159,813   
  500,258     

Series 07-A1-1A7

    6.00%        01/25/2037        373,150   
 

Commercial Mortgage Pass-Through Certificates,

  

  250,000     

Series 2001-J1A

    7.21% #^      02/16/2034        251,675   
 

Countrywide Alternative Loan Trust,

  

  440,878     

Series 2005-28CB-3A6

    6.00%        08/25/2035        284,690   
  841,118     

Series 2005-J10

    0.96% #      10/25/2035        628,328   
  1,148,913     

Series 2006-26CB

    6.50%        09/25/2036        828,190   
 

Countrywide Asset-Backed Certificates,

  

  281,886     

Series 05-13-AF3

    5.43%        02/25/2033        201,319   
 

Deutsche Mortgage Securities, Inc.,

  

  426,281     

Series 2006-PR1-4A12

    13.94% # I/F      04/15/2036        447,513   
  537,188     

Series 2006-PR1-5A14

    11.65% # I/F      04/15/2036        537,188   
 

First Horizon Alternative Mortgage Securities,

  

  351,774     

Series 2006-RE1-A1

    5.50%        05/25/2035        306,578   
 

First Union Commercial Mortgage Securities, Inc.,

  

  235,000     

Series 2000-C2-G

    8.51% #      10/15/2032        234,666   
 

Greenwish Capital Commercial Funding Corporation,

  

  300,000     

Series 2004-FL2

    0.66% #^      11/05/2019        285,120   
 

GSR Mortgage Loan Trust,

  

  245,833     

Series 2005-6F-3A16

    5.50%        07/25/2035        230,698   
 

JP Morgan Alternative Loan Trust,

  

  500,000     

Series 2006-S2-A4

    6.19% #      05/25/2036        246,321   
 

JP Morgan Chase Commercial Mortgage Security Corporation,

  

  1,002,001     

Series 2006-CIBC16-X2

    0.51% # I/O      05/12/2045        13,192   
 

Lehman Mortgage Trust,

  

  141,302     

Series 2006-9-1A19

    29.08% # I/F      01/25/2037        193,100   
  500,000     

Series 2007-2-1A1

    5.75%        03/25/2037        338,064   
 

Master Alternative Loans Trust,

  

  327,278     

Series 2005-2-3A1

    6.00%        03/25/2035        290,125   
  138,519     

Series 2007-1-2A7

    6.00%        10/25/2036        103,571   
 

Morgan Stanley Capital, Inc.,

  

  11,729,039     

Series 2004-HQ4-X2

    0.36% #^ I/O      04/14/2040        86,960   
  36,655,568     

Series 2005-IQ9-X2

    1.21% #^ I/O      07/15/2056        492,215   
 

Nomura Asset Acceptance Corporation,

  

  419,979     

Series 2006-AP1-A2

    5.52% #      01/25/2036        298,921   
 

Nomura Home Equity Loan Trust,

  

  841,600     

Series 2006-AF1-A2

    5.80% #      10/25/2036        436,480   
  1,576,941     

Series 2007-1

    6.06% #      02/25/2037        856,623   
 

Option One Mortgage Loan Trust,

  

  500,000     

Series 2004-3-M3

    1.00% #      11/25/2034        409,543   
 

Residential Accredit Loans, Inc.,

  

  494,575     

Series 05-QS1-A5

    5.50%        01/25/2035        434,258   
 

Residential Asset Mortgage Products, Inc.,

  

  350,000     

Series 2005-RS1-AI5

    5.41% #      12/25/2034        286,348   
 

Residential Asset Securitization Trust,

  

  282,576     

Series 2005-A7-A3

    5.50%        06/25/2035        232,051   
  552,844     

Series 2005-A11-2A4

    6.00%        10/25/2035        382,962   
  357,377     

Series 2006-R1-A1

    27.01% # I/F      01/25/2046        417,505   
 

RFMSI Series Trust,

  

  855,683     

Series 2006-S10

    6.00%        10/25/2036        761,601   
 

Washington Mutual Mortgage Pass Through Certificates,

  

  295,574     

Series 05-1-2A

    6.00%        03/25/2035        239,413   
  459,921     

Series 07-5-A11

    37.40% # I/F      06/25/2037        747,812   
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Washington Mutual Mortgage Securities,

  

$ 165,381     

Series 05-C1A-A2

    5.15% #^       05/25/2036        166,558   
 

Wells Fargo Mortgage Backed Securities Trust,

  

       498,221     

Series 2005-AR14-A6

    5.36% #       08/25/2035        334,362   
  492,575     

Series 05-AR16-6A4

    3.60% #       10/25/2035        234,377   
  841,879     

Series 2007-7-A1

    6.00%         06/25/2037        786,568   
              
  Total Collateralized Mortgage Obligations
(Cost $13,934,458)
        14,591,742   
              
  CORPORATE BONDS 25.0%   
  100,000     

3M Company

    5.70%         03/15/2037        118,278   
  100,000     

Abbott Labs

    4.13%         05/27/2020        109,052   
  100,000     

Abu Dhabi National Energy Company PJSC

    6.17%         10/25/2017        107,250   
  100,000     

Altria Group, Inc.

    9.25%         08/06/2019        134,263   
  100,000     

American Express Credit Corporation

    2.75%         09/15/2015        100,743   
  100,000     

Anheuser Busch Inbev Worldwide

    4.13%         01/15/2015        107,752   
  100,000     

Arcelormittal Sa Luxembourg

    5.38%         06/01/2013        107,438   
  150,000     

AT&T, Inc.

    5.35% ^       09/01/2040        151,269   
  100,000     

Banco Bradesco S.A. Grand

    5.90% ^       01/16/2021        102,000   
  150,000     

Banco Continental TR

    7.38%         10/07/2040        155,813   
  100,000     

Banco Cruzeiro Do Sul S.A.

    8.88% ^       09/22/2020        105,000   
  100,000     

Banco De Credito Del Peru

    5.38% ^       09/16/2020        101,500   
  100,000     

Banco International Del Peru

    5.75%         10/07/2020        100,200   
  100,000     

Banco Mercantil del Norte, S.A.

    6.14% #^       10/13/2016        101,000   
  125,000     

Bank of America Funding Corporation

    3.70%         09/01/2015        126,427   
  100,000     

Bank of Moscow (Kuznetski)

    6.81% #       05/10/2017        100,500   
  100,000     

Bank of New York Mellon

    2.95%         06/18/2015        105,277   
  100,000     

Berkshire Hathaway, Inc.

    3.20%         02/11/2015        106,160   
  100,000     

Boston Properties, Ltd.

    5.63%         11/15/2020        109,957   
  100,000     

BP Capital Markets P.L.C.

    4.75%         03/10/2019        104,749   
  100,000     

British Telecommunications P.L.C.

    5.95%         01/15/2018        111,652   
  100,000     

Calpine Corporation

    7.88% ^       07/31/2020        103,250   
  200,000     

Cisco Systems, Inc.

    5.50%         02/22/2016        236,210   
  100,000     

CIT Group, Inc.

    7.00%         05/01/2013        101,000   
  1,000,000     

Citi Bank N.A.

    1.75%         12/28/2012        1,025,006   
  200,000     

Citigroup, Inc.

    6.00%         12/13/2013        219,437   
  100,000     

Comcast Corporation

    5.85%         11/15/2015        116,019   
  100,000     

Community Health Systems, Inc.

    8.88%         07/15/2015        106,500   
  100,000     

Conagra Foods, Inc.

    5.88%         04/15/2014        114,263   
  100,000     

ConocoPhillips

    6.50%         02/01/2039        125,710   
  100,000     

Corporacion Pesquera Inca S.A.C

    9.00%         02/10/2017        104,000   
  100,000     

Cosan S.A. Industria e Comercio

    8.25%         02/15/2049        101,500   
  100,000     

Covidien International Finance S.A.

    2.80%         06/15/2015        103,739   
  200,000     

Credit Suisse USA, Inc.

    5.38%         03/02/2016        226,282   
  200,000     

Crown Castle International Corporation

    9.00%         01/15/2015        221,500   
  100,000     

Daimler Finance North America LLC

    6.50%         11/15/2013        114,465   
  100,000     

Dow Chemical Company

    8.55%         05/15/2019        126,471   
  140,000     

Drummond Company, Inc.

    7.38%         02/15/2016        143,325   

 

See Accompanying Notes   Semi-Annual Report   September 30, 2010   11


Table of Contents

 

 

 

 

 

 

Schedule of Investments  DoubleLine Core Fixed Income Fund  (Cont.)    

 

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  $     100,000     

EchoStar DBS Corporation

    7.75%         05/31/2015        107,125   
  100,000     

Ege Haina Finance Company

    9.50% ^       04/26/2017        103,750   
  200,000     

El Paso Corporation

    7.00%         06/15/2017        213,372   
  100,000     

Empresa Nacional De Petroleo

    5.25% ^       08/10/2020        103,500   
  75,000     

Flextronics International, Ltd.

    6.25%         11/15/2014        76,688   
  100,000     

Ford Motor Credit Company LLC

    7.00%         04/15/2015        106,962   
  200,000     

Forest Oil Corporation

    7.25%         06/15/2019        205,500   
  200,000     

Frontier Communications Corporation

    8.50%         04/15/2020        221,749   
  200,000     

General Electric Capital Corporation, Series A

    3.75%         11/14/2014        211,992   
  100,000     

General Mills, Inc.

    6.00%         02/15/2012        106,694   
  100,000     

Globo Communicacoao E Participacoes S.A.

    6.25%         10/20/2049        102,750   
  100,000     

GMAC, Inc.

    7.50%         12/31/2013        107,250   
  200,000     

Goldman Sachs Group, Inc.

    6.00%         06/15/2020        220,387   
  100,000     

Grupo Kuo Sab De C.V.