N-CSRS 1 d782120dncsrs.htm DOUBLELINE FUNDS TRUST DOUBLELINE FUNDS TRUST

As filed with the Securities and Exchange Commission on December 3, 2019

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22378

DoubleLine Funds Trust

(Exact name of registrant as specified in charter)

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Address of principal executive offices) (Zip code)

Ronald R. Redell

President

DoubleLine Funds Trust

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Name and address of agent for service)

(213) 633-8200

Registrant’s telephone number, including area code

Date of fiscal year end: March 31

Date of reporting period: September 30, 2019


Item 1. Reports to Stockholders.


LOGO     

Semi-Annual Report

September 30, 2019

 

LOGO

 

 

    Class       Class       Class       Class    
         I                 N                 A                 R         6         
     Shares        Shares        Shares        Shares     

DoubleLine Total Return Bond Fund

 

DBLTX

   

DLTNX

       

DDTRX

 

DoubleLine Core Fixed Income Fund

 

DBLFX

   

DLFNX

       

DDCFX

 

DoubleLine Emerging Markets Fixed Income Fund

 

DBLEX

   

DLENX

         

DoubleLine Multi-Asset Growth Fund

 

DMLIX

   

   

DMLAX

     

DoubleLine Low Duration Bond Fund

 

DBLSX

   

DLSNX

       

DDLDX

 

DoubleLine Floating Rate Fund

 

DBFRX

   

DLFRX

         

DoubleLine Shiller Enhanced CAPE®

 

DSEEX

   

DSENX

       

DDCPX

 

DoubleLine Flexible Income Fund

 

DFLEX

   

DLINX

       

DFFLX

 

DoubleLine Low Duration Emerging Markets Fixed Income Fund

 

DBLLX

   

DELNX

         

DoubleLine Long Duration Total Return Bond Fund

 

DBLDX

   

DLLDX

         

DoubleLine Strategic Commodity Fund

 

DBCMX

   

DLCMX

         

DoubleLine Global Bond Fund

 

DBLGX

   

DLGBX

         

DoubleLine Infrastructure Income Fund

 

BILDX

   

BILTX

         

DoubleLine Ultra Short Bond Fund

 

DBULX

   

DLUSX

         

DoubleLine Shiller Enhanced International CAPE®

 

DSEUX

   

DLEUX

         

DoubleLine Colony Real Estate and Income Fund

 

DBRIX

   

DLREX

         

DoubleLine Emerging Markets Local Currency Bond Fund

 

DBELX

   

DLELX

         

DoubleLine Income Fund

 

DBLIX

   

DBLNX

         

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.doublelinefunds.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 877-DLine11 (877-354-6311) or by sending an e-mail request to DoubleLine at fundinfo@doubleline.com.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can call 877-DLINE11 (877-354-6311) or send an email request to fundinfo@doubleline.com to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with a Fund.

 

 

DoubleLine Capital LP & DoubleLine Alternatives LP || 333 South Grand Avenue, 18th Floor || Los Angeles, CA 90071 || (213)  633-8200

fundinfo@doubleline.com || www.doubleline.com

 


Table of Contents    

 

     Page  
  

President’s Letter

     4  

Financial Markets Highlights

     5  

Management’s Discussion of Fund Performance

     8  

Standardized Performance Summary

     19  

Schedules of Investments / Schedules of Investments - Summary

     23  

Statements of Assets and Liabilities

     108  

Statements of Operations

     111  

Statements of Changes in Net Assets

     114  

Financial Highlights

     123  

Notes to Financial Statements

     132  

Shareholder Expenses

     162  

Evaluation of Advisory Agreement by the Board of Trustees

     164  

Federal Tax Information

     167  

Information About Proxy Voting

     169  

Information About Portfolio Holdings

     169  

Householding — Important Notice Regarding Delivery of Shareholder Documents

     169  

Privacy Policy

     170  

 

  Semi-Annual Report   September 30, 2019   3


President’s Letter  

(Unaudited)

September 30, 2019

 

LOGO

Dear DoubleLine Funds Shareholder,

On behalf of the DoubleLine Funds, I am pleased to deliver the Semi-Annual Report for the 6-month period ended September 30, 2019. 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,

 

LOGO

Ronald R. Redell, CFA

President

DoubleLine Funds Trust

November 1, 2019

 

4   DoubleLine Funds Trust     


Financial Markets Highlights  

(Unaudited)

September 30, 2019

 

·  

Agency Mortgage-Backed Securities (Agency MBS)

For the 6-month period ended September 30, 2019, the Bloomberg Barclays U.S. MBS Index returned 3.36%, underperforming both the Bloomberg Barclays U.S. Government/Credit Bond Index and the Bloomberg Barclays U.S. Corporate Index. Typically, during periods when rates rally substantially, mortgages are expected to underperform corporates largely due to the negative convexity profile of mortgages combined with increased prepayment speeds. Risk-free rates declined during this reporting period, with the 2-year, 5-year, 10-year, and 30-year U.S. Treasury (UST) yields down 64 basis points (bps), 69 bps, 74 bps, and 70 bps, respectively. Notably, the shape of the yield curve inverted over the course of the period as well. Prepayments rose to near recent historical highs over the last few months of the period due to a substantial fall in longer-term rates. The 30-year mortgage rate (based on Freddie Mac U.S. 30-year Commitment Rates) decreased by 42 bps and the 15-year mortgage rate (based on Freddie Mac U.S. 15-year Commitment Rates) decreased by 41 bps. Consistent with these factors, overall refinancing activity, as measured by the Mortgage Bankers Association (MBA) Refinance Index Seasonally-Adjusted, increased by 23% and overall purchasing activity, as measured by the MBA Purchase Index Seasonally-Adjusted, decreased by 5%. The balance sheet run-off by the Federal Reserve (Fed) continued with the MBS portions being reinvested into UST. The duration of the Bloomberg Barclays U.S. MBS Index over the period contracted from 4.03 to 2.73 as interest rates declined.

 

·  

Non-Agency Mortgage-Backed Securities (Non-Agency MBS)

For the 6-month period ended September 30, 2019, spreads were mixed across Non-Agency MBS as U.S. Treasury (UST) yields fell dramatically with growing concerns of decelerating economic growth. Gross issuance reached $75 billion over the period, falling short by $5.3 billion relative to the same period in 2018. Notably, non-qualified mortgage (Non-QM) new issuance over the period reached approximately $11.3 billion. Refinancing activity has increased substantially versus last year as the Freddie Mac U.S. 30-Year Commitment Rate fell 42 bps to 3.64%, with mortgage rates reaching their lowest levels since the fourth quarter of 2016.

 

·  

Commercial Mortgage-Backed Securities (CMBS)

For the 6-month period ended September 30, 2019, new issue CMBS spreads were mixed alongside broader credit and equity indices. New issuance in the amount of $49.9 billion priced during the period, as compared to $46.5 billion from April 2018 through September 2018. For the period, spreads on 10-year AAA last cash flows (LCFs) widened and BBB- bonds tightened as investors rotated down the capital stack alongside a sharp rally in rates. The Trepp CMBS Delinquency Rate for U.S. Commercial Real Estate (CRE) loans has fallen in 23 of the last 27 months and is now at 2.51%, 37 bps lower than where it was at the start of the reporting period.

The Bloomberg Barclays U.S. CMBS ERISA Eligible Total Return Index returned 5.23% during the period, underperforming the broader Bloomberg Barclays U.S. Aggregate Bond Index return of 5.42%. The Moody’s/RCA Commercial Property Price Index (CPPI) increased by 4.4% on the national level for the 6-month period ended August 30, 2019, as compared to 2.2% over the prior reporting period. While transaction volume fell sharply in August for the second consecutive month, which was partly attributed to lower entity-level transactions, property prices have continued to grow, albeit at a slower pace, partly due to a well-functioning commercial mortgage market. All else being equal, we believe that the low rate environment continues to be a net positive for borrowers.

 

·  

Emerging Markets (EM) Debt

For the 6-month period ended September 30, 2019, U.S. Dollar (USD)-denominated EM fixed income sovereign and corporate bonds indices, represented by the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified and the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified, respectively, posted positive returns. While spreads widened significantly into the end of May as EM felt the impact of a breakdown in trade negotiations between the U.S. and China, they subsequently tightened following a dovish response by global central banks to heightened trade tensions and global growth concerns. As such, sovereign spreads narrowed over the period, while corporate spreads ended slightly wider. For the period, EM Investment Grade (IG) credits outperformed their High Yield (HY) counterparts.

 

·  

International Sovereign

For the 6-month period ended September 30, 2019, the Financial Times Stock Exchange World Government Bond Index (FTSE WGBI) rose +4.45%, driven primarily by falling global yields. The Japanese Yen was the best performing G-10 currency for the period, while the New Zealand Dollar was the worst performer. Safe haven currencies like the Japanese Yen and the USD benefitted as market participants grew increasingly wary of slowing economic growth and moderating economic cycle indicators. The Fed cut the Fed Funds Rate by 25 bps at both the July and September Federal Open Market Committee (FOMC) meetings, signaling the FOMC’s willingness to respond to ongoing trade policy risks, weakening economic data, and an inflation rate still below their stated 2% target as measured by

 

  Semi-Annual Report   September 30, 2019   5


Financial Markets Highlights  (Cont.)  

(Unaudited)

September 30, 2019

 

the Personal Consumption Expenditures (PCE) Price Index. Other developed market central banks followed suit in making more dovish policy adjustments. As a result, global government yields generally fell over the course of the two quarters. The spread between the 2-year and 10-year UST yields closed negative on August 22, 2019 for the first time since 2007. The amount of global negative yielding debt ended the period at nearly $15 trillion. The Euro finished the period down versus the USD as economic data in the region continued to show a slowdown, specifically in the manufacturing sector. U.S. government bond exposure was the largest contributor to performance in the FTSE WGBI, while government bond exposure in Sweden, Norway, Poland, and South Africa were the only negative returning exposures in the Index for the period.

 

·  

Investment Grade (IG) Credit

For the 6-month period ended September 30, 2019, IG Credit as measured by the Bloomberg Barclays U.S. Credit Index returned 7.4%, outperforming duration-matched UST by 102 bps. Spreads started the period at 112 bps over duration-matched UST and ended the period at 109 bps. Yields declined from 3.6%, and ended the period at 2.85%. The BBB-rated sector and the Bloomberg Barclays U.S. Long Credit Index both outperformed IG Credit, with a total return of 8.2% and 13%, respectively. Gross new issuance was $676 billion and net new issuance was $200 billion for the period.

 

·  

Bank Loans

For the 6-month period ended September 30, 2019, the S&P/LSTA Leveraged Loan Index returned 2.69%, with outperformance seen at the higher end of the credit quality spectrum as investors maintained a cautious posture. BB-rated loans returned 3.35% during the period, outperforming the 2.71% return of single-B rated loans and the -1.54% return of CCC-rated loans. The weighted-average bid price of the Index ended the period at $96.34, virtually unchanged from $96.41 in March 2019, as the bulk of the return was due to interest income. The trailing 12-month default rate, by issuer count, remains low and was up modestly from 1.40% in March 2019 to 1.58% in September 2019.

 

·  

U.S. High Yield (U.S. HY)

For the 6-month period ended September 30, 2019, the Bloomberg Barclays U.S. Corporate High Yield Index returned 3.87%. Intermediate maturity bonds returned 3.70%, underperforming long maturity bonds, which returned 7.40%. Higher-rated bonds outpaced those with lower ratings, as BB-rated bonds returned 5.17%, single-B bonds returned 4.35%, and CCC-rated bonds returned -1.47%. For the period, notable outperformers by industry were Life Insurance, Property & Casualty, and Wireless. Notable underperformers over the period were Oil Field Services, Independent Energy, and Pharmaceuticals.

 

·  

Collateralized Loan Obligations (CLOs)

For the 6-month period ended September 30, 2019, the CLO market saw a total of $60.73 billion in new issuance, with April as the busiest month, with $15.66 billion in total issuance. Spreads at the top of the capital stack were stagnant over the period. Even with unchanged spreads, the all-in yield has gone down as the London Interbank-Offered Rate (LIBOR) continued to move down. Secondary trading volume activity started the period off strong, with May and June seeing the most activity, but trading volumes slowed down in July. August saw them pick back up ahead of the Labor Day weekend, only to see the least amount of secondary trading for the entire period in September. The slowdown in the secondary space can be attributed in significant part to investors favoring the new issue market. As we near the end of the credit cycle, investors favor CLOs with less exposure to distressed loan names. New issue deals are less likely to hold legacy distressed names in the portfolio like secondary seasoned CLOs do.

 

·  

Global Equities

For the 6-month period ended September 30, 2019, Global Equities, as measured by the Morgan Stanley Capital International All Country World Index (MSCI ACWI), were up 3.89%. U.S. equities outperformed, with the S&P 500 Index returning 6.08% during the period. European equities outperformed both the broader market and the U.S. market, with the Eurostoxx 50 Index returning 9.48%. Asian equity markets underperformed, with Japanese equities, as measured by the Nikkei 225 Index, up 3.48%, and Chinese equities, as measured by the Shanghai Composite Index, down 3.73%. EM equities, as measured by the Morgan Stanley Capital International Emerging Markets Index (MSCI EM), significantly underperformed the broader market, and were down 3.46% over the period.

 

·  

Commodities

For the 6-month period ended September 30, 2019, the broad commodity market declined 6.58% and 7.30%, as measured by the S&P Goldman Sachs Commodity Index (GSCI) and Bloomberg Commodity (BCOM) Excess Return Index, respectively. During the period, the

 

6   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

Energy sector declined 8.07%, as Brent Crude (-6.99%) and West Texas Intermediate (WTI) Crude (-10.59%) both dropped. The best performer within the sector was Gasoline (-0.42%) and the worst performer was Natural Gas (-16.05%). Precious Metals rallied 11.77% as both Gold (+11.92%) and Silver (+10.37%) appreciated during the period. Industrial Metals depreciated 8.26% with Nickel rallying 31.57%, while the bellwether Copper declined 12.26%. The Agriculture sector declined 2.52% for the period, with Cocoa (+6.59%) as the best performing and Kansas Wheat (-11.33%) as the worst performing commodity within the sector.

 

·  

Infrastructure Debt

For the 6-month period ended September 30, 2019, the Bloomberg Barclays U.S. Aggregate Bond Index returned 5.42%. Infrastructure debt did not experience the same spread tightening as the IG Corporate bonds within the Index, and the performance period was generally categorized by a sustained rally in long-term rates, which caused infrastructure-related investments with durations of five years or less to underperform. Nevertheless, underlying credit fundamentals for the sector are still strong. Utilization rates for Aviation and Intermodal Shipping Vessels have remained at acceptable levels despite an obvious slowdown in global growth. Counter-cyclical sectors within the infrastructure landscape, such as Power and Utilities, also emerged as a bright spot during this period, as investors pivoted toward safer spread assets with strong credit ratings.

 

·  

Asset-Backed Securities (ABS)

For the 6-month period ended September 30, 2019, the Bloomberg Barclays U.S. ABS Index returned 2.61% and ABS gross new issuance totaled approximately $125 billion. Spread performance during the period generally lagged that of Corporate bonds, as on-the-run ABS sectors (Subprime Auto, Credit Cards, and Student Loans) widened by 5 to 10 bps and esoteric ABS sectors widened between 35 to 50 bps. These spread changes were largely the result of all-in ABS yields remaining relatively unchanged, while the UST curve rallied 64 bps at the 2-year tenor and 74 bps at the 10-year tenor. Secondary trading activity remained robust even throughout the summer months as the average ABS trading volume reported through the Trade Reporting and Compliance Engine (TRACE) totaled approximately $1 billion per trading day.

 

·  

U.S. Large Cap Equities

For the 6-month period ended September 30, 2019, U.S. equity markets demonstrated a remarkable ability to shrug off weakening fundamental news. During the period, the S&P 500 Index traded above 3,000 for the first time in history to establish a number of new all-time highs, and returned 6.08% for the period. Fundamentals—both macroeconomic and corporate earnings—weakened during the period. Weakness in foreign economies had been evident for some time, particularly in export-driven economies such as Germany. Despite a robust employment and consumer picture, signs of macroeconomic weakness also appeared in the U.S. As the period came to a close, consensus estimates for the third quarter (per FactSet) called for earnings to fall 4.1% below the levels of the third quarter of 2018, and full-year 2019 earnings to grow by an anemic 1.2%. The market complacency seems to have been fueled by a strong faith in the ability of policy makers to perpetuate the current economic expansion, now the longest on record for the U.S. Specifically, the ebb and flow of the market seemed tied to the perceived dovishness of the Fed, its willingness to reduce the Fed Funds rate (and pursue quantitative easing as needed), and by extension the persistence of the “Fed put” for risk assets. Similarly, while the tit-for-tat of the trade war with China influenced day-to-day equity market movements, a narrative appeared to emerge that “Trade Peace” was sure to be established prior to the November 2020 U.S. Presidential election.

 

·  

Government Securities

For the 6-month period ended September 30, 2019, the powerful and sustained UST market rally which began in November 2018 continued. Weak growth and inflation in Europe and Asia, slowing manufacturing activity in the U.S., escalating trade tension with China, and a host of risks from Brexit, Argentina, and elsewhere prompted UST investors to push yields lower and the curve flatter. The Fed appeared to adopt a dovish stance in response to these circumstances and delivered its first policy rate cut in over 10 years at the July FOMC meeting, followed by a second rate cut at the next meeting in September. Market participants nevertheless viewed the Fed as being behind the curve; by September 30 the curve from the 3-month to the 10-year UST had been inverted continuously for nearly the entire period and the Fed Funds futures market reflected expectations of additional policy rate cuts in 2019 and 2020. The 10-year UST yield, which had peaked at 3.23% in November 2018, had fallen to 2.41% by March 31, 2019. It dropped to an intra-day low of 1.42% on September 3, before ending the period at 1.67%. Inflation expectations—as indicated by the 10-year breakeven inflation rate—fell to a multi-year low of 1.52% on September 30. The Bloomberg Barclays U.S. Government/Credit Bond Index returned 5.44% over the period and the Bloomberg Barclays U.S. TIPS Total Return Index returned 4.25%.

 

  Semi-Annual Report   September 30, 2019   7


Management’s Discussion of Fund Performance  

(Unaudited)

September 30, 2019

 

DoubleLine Total Return Bond Fund

For the 6-month period ended September 30, 2019, the DoubleLine Total Return Bond Fund underperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 5.42%, driven primarily by duration positioning. The Fund’s average duration of 3.52 years for the period has remained shorter than the average Index duration of 5.77 years, which detracted from performance as rates rallied across all tenures of the curve, with the 2-year, 5-year, 10-year, and 30-year UST yields down 64 bps, 69 bps, 74 bps, and 70 bps, respectively. All sectors within the Fund delivered positive returns during a period of falling yields, as Fed policy became more accommodative. Agency MBS was the largest contributor to performance, as the longer duration Agency pass-throughs and Collateralize Mortgage Obligations (CMOs) benefited from the rate rally. Securitized credit sectors were also accretive to performance, due primarily to interest income. CLOs were the worst performers for the period, due to their floating rate nature. Short-duration ABS positions also detracted from performance and lagged the broader benchmark. During the 6-month period, the Fund utilized UST Futures contracts to manage duration.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          3.96%

N-Share

          3.83%

R6-Share*

          3.97%

Bloomberg Barclays U.S. Aggregate Bond Index

          5.42%

 

*

Inception 7-31-2019. Performance shown for the period prior to the inception date is the actual unadjusted performance of Class I shares.

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Core Fixed Income Fund

For the 6-month period ending September 30, 2019, the DoubleLine Core Fixed Income Fund underperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 5.42%. The UST yield curve flattened during this period, as the 2-year and 10-year yields were down 64 bps and 74 bps, respectively. All sectors within the Fund delivered positive returns during a period of falling yields, as Fed monetary policy became more accommodative. The top performing sectors for the period included IG Corporate Credit and CMBS. International Sovereign Bonds, CLOs, and Bank Loans represented the lowest returning sectors for the period, despite contributing positive returns. The Fund reduced its allocations to both CLOs and Bank Loans during the period, as the outlook for floating-rate securities appears less favorable with further anticipated rate cuts by the Fed. A majority of the Fund’s underperformance can be attributed to the underweight position in duration, at 4.74 years, relative to the benchmark duration of 5.78 years, as intermediate to long rates all rallied over the period.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          4.55%

N-Share

          4.42%

R6-Share*

          4.55%

Bloomberg Barclays U.S. Aggregate Bond Index

          5.42%

 

*

Inception 7-31-2019. Performance shown for the period prior to the inception date is the actual unadjusted performance of Class I shares.

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Emerging Markets Fixed Income Fund

For the 6-month period ended September 30, 2019, the DoubleLine Emerging Markets Fixed Income Fund underperformed the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified return of 5.64%. The EMBI’s return was largely driven by lower UST yields over the period, as EM external debt trades as a spread to UST and thus lower yields indicate an increase in both UST and EM external debt prices. The Fund’s shorter duration relative to the benchmark duration of 7.4, its overweight positioning in Argentina, as well as its underweight positioning in the best performing region over the period (Europe) detracted from relative performance. The Fund’s overweight positioning in Mexico and Brazil, as well as underweight positioning in Venezuela, contributed to performance relative to the Index.

 

8   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          3.68%

N-Share

          3.54%

J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified

          5.64%

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Multi-Asset Growth Fund

For the 6-month period ended September 30, 2019, the DoubleLine Multi-Asset Growth Fund underperformed its benchmarks. The equity sleeve, which utilized derivatives during the period, was a contributor to performance, but underperformed Global Equities, which were up 3.89% as measured by the MSCI ACWI. U.S. equities contributed to performance, while EM equities and Energy stocks detracted from performance. The fixed income sleeve contributed to performance, with positions in UST Futures, IG Corporate Credit, Agency MBS, and Non-Agency MBS. Currencies detracted from performance, with short USD positions versus the Euro and British Pound. A long position in Japanese Yen contributed to performance. Positions in Real Assets, implemented through swaps, mildly detracted from performance, driven by a systematic long/short commodity strategy.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          2.45%

A-Share

             

Without Load

          2.34%

With Load

          -2.01%

S&P 500® Index

          6.08%

Blended Benchmark Unhedged: MSCI ACWI (60%)/Bloomberg Barclays Global Aggregate Bond Index (40%) *

          3.91%

Blended Benchmark USD Hedged: MSCI ACWI (60%)/Bloomberg Barclays Global Aggregate Bond Index (40%)*

          4.53%

 

*

The Unhedged Bloomberg Barclays Global Aggregate Bond Index and USD Hedged Bloomberg Barclays Global Aggregate Bond Index represent measures of global investment grade debt from twenty-four local currency markets. Returns on the Unhedged Bloomberg Barclays Global Aggregate Bond Index are calculated on a currency unhedged basis; returns on the USD Hedged Bloomberg Barclays Global Aggregate Bond Index are calculated on a currency hedged basis in U.S. dollars.

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Low Duration Bond Fund

For the 6-month period ended September 30, 2019, the DoubleLine Low Duration Bond Fund outperformed the ICE BofAML 1-3 Year U.S. Treasury Index return of 2.02%. The UST curve flattened during this period as the 2-year and 10-year yields were down 64 bps and 74 bps, respectively. All sectors within the Fund delivered positive returns during a period of falling yields, as Fed policy became more accommodative. The top performing sector for the period was Bank Loans, as the Fund’s allocation to floating rate securities continued to benefit performance, despite rates falling during the period. During the period, the Fed cut rates twice, benefitting the Government sleeve, which maintains a longer effective duration than the benchmark duration of 1.88 years. While all sectors within the Fund had positive returns, EM Fixed Income detracted from performance, lagging the broader benchmark.

 

  Semi-Annual Report   September 30, 2019   9


Management’s Discussion of Fund Performance  (Cont.)  

(Unaudited)

September 30, 2019

 

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          2.25%

N-Share

          2.13%

R6-Share*

          2.25%

ICE BofAML 1-3 Year U.S. Treasury Index

          2.02%

Bloomberg Barclays U.S. Aggregate 1-3 Year Bond Index

          2.20%

 

*

Inception 7-31-2019. Performance shown for the period prior to the inception date is the actual unadjusted performance of Class I shares.

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Floating Rate Fund

For the 6-month period ended September 30, 2019, the DoubleLine Floating Rate Fund underperformed the S&P/LSTA Leveraged Loan Index return of 2.69%. The Fund generally maintained an overweight position in single-B credits and an underweight position in BB-rated credits and CCC-rated credits. BB-rated loans outperformed the Index during the quarter, while single-B loans basically matched the Index return (ending 2 bps higher than the Index) and CCC-rated loans underperformed. The Fund’s underexposure to BB-rated loans was a drag on performance, while its overweight position in single-B loans did not materially impact performance, although credit-specific issues had a negative impact. The underweight position in CCC-rated loans helped performance. The Fund benefited from overweight exposures to Healthcare, Lodging & Casinos, and Insurance. An underweight exposure to Industrial Equipment hurt performance, while underweight positions in Retailers and Chemicals & Plastics helped performance. The Fund’s exposure to HY bonds and CLO liabilities outperformed the Index during the period, while the Fund’s small cash balance was a drag on performance.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          1.76%

N-Share

          1.52%

S&P/LSTA Leveraged Loan Index

          2.69%

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Shiller Enhanced CAPE®

For the 6-month period ended September 30, 2019, the DoubleLine Shiller Enhanced CAPE® Class I shares outperformed the S&P 500 Index return of 6.08%. During the period, the Shiller Barclays CAPE U.S. Sector Total Return Index (CAPE Index) (which the Fund gained exposure to through the use of swaps contracts), was allocated to six sectors: Communication Services, Consumer Staples, Energy, Healthcare, Materials, and Technology. Four of these sectors contributed positively to returns, with Technology, Communications Services, and Consumer Staples making the greatest positive contributions to returns. The three weakest sectors were Energy and Healthcare, both of which detracted from returns as constituents of the CAPE Index, and Materials, which provided positive returns. The Fund’s fixed income portfolio increased in value during the period, with all sectors delivering positive returns. The three fixed income sectors with the highest returns within the portfolio were CMBS, EM, and IG Corporates. Agency MBS, CLOs, and ABS, while delivering positive total returns, were the lowest returning sectors.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          6.17%

N-Share

          5.97%

R6-Share*

          6.18%

S&P 500® Index

          6.08%

Shiller Barclays CAPE® U.S. Sector TR USD Index

          5.65%

 

*

Inception 7-31-2019. Performance shown for the period prior to the inception date is the actual unadjusted performance of Class I shares.

For additional performance information, please refer to the “Standardized Performance Summary.”

 

10   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

DoubleLine Flexible Income Fund

For the 6-month period ended September 30, 2019, the DoubleLine Flexible Income Fund outperformed the ICE Bank of America/Merrill Lynch 1-3 Year Eurodollar Index return of 2.57%. The UST yield curve flattened during this period, as the 2-year and 10-year yields fell 64 bps and 74 bps, respectively. All sectors within the Fund delivered positive returns during a period of falling yields, as Fed monetary policy became more accommodative. The top performing sectors for the period included HY Corporate Credit and EM Fixed Income. International Sovereign Bonds and Agency MBS represented the lowest returning sectors for the period, despite contributing positive returns. The Fund reduced its allocations to both CLOs and Bank Loans during the period, as the outlook for floating-rate securities appears less favorable with further anticipated rate cuts by the Fed.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          2.72%

N-Share

          2.59%

R6-Share*

          2.72%

ICE BofAML 1-3 Year Eurodollar Index

          2.57%

LIBOR** USD 3 Month

          1.21%

 

*

Inception 7-31-2019. Performance shown for the period prior to the inception date is the actual unadjusted performance of Class I shares.

**

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 6-month period ended September 30, 2019, the DoubleLine Low Duration Emerging Markets Fixed Income Fund outperformed the J.P. Morgan CEMBI Broad Diversified 1-3 Year Index return of 2.68%. The positive performance of the Index during the period was driven primarily by lower UST yields over the period, as EM external debt trades as a spread to UST and thus lower yields indicate an increase in both UST and EM external debt prices. The Fund benefitted from its higher allocation to IG credits relative to the Index, as IG credits significantly outperformed their HY counterparts over the period. The Fund’s shorter duration relative to the Index and underweight exposure to Europe, the best performing region, detracted from relative performance.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          3.07%

N-Share

          3.03%

J.P. Morgan CEMBI Broad Diversified 1-3 Year Index

          2.68%

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Long Duration Total Return Bond Fund

For the 6-month period ended September 30, 2019, the DoubleLine Long Duration Total Return Bond Fund underperformed the Bloomberg Barclays U.S. Long Government/Credit Index return of 13.61%. During the period, the spread between the 3-month and 10-year USTs inverted, ending September at -11 bps. Rates rallied across all tenures of the curve, with the 2-year, 5-year, 10-year, and 30-year UST yields down 64 bps, 69 bps, 74 bps, and 70 bps, respectively. All sectors within the Fund delivered positive returns during a period of falling yields, as Fed policy became more accommodative and two rate cuts occurred (one in July and one in September). Government exposure within the Fund outperformed the benchmark; however, the largest driver of underperformance compared to the Index was sector selection, as the Fund maintained exposure to long duration mortgage bonds in lieu of long duration corporate bonds. On average, the Fund maintained a slightly longer duration of 14.94 versus the benchmark duration of 14.18 years, which was accretive to the Fund’s performance over the year. During the 6-month period, the Fund utilized UST Futures contracts to manage duration.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          12.22%

N-Share

          11.97%

Bloomberg Barclays U.S. Long Government/Credit Index

          13.61%

 

  Semi-Annual Report   September 30, 2019   11


Management’s Discussion of Fund Performance  (Cont.)  

(Unaudited)

September 30, 2019

 

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Strategic Commodity Fund

For the 6-month period ended September 30, 2019, the DoubleLine Strategic Commodity Fund declined 5.96%. During the period, The Morgan Stanley Backwardation-Focused Multi-Commodity Index (MS BFMCISM) (beta exposure), which the Fund gained exposure to through the use of swaps contracts, declined by 3.36%, while the DoubleLine Commodity Long Short Strategy (DCLS) (tactical exposure), a systematic long/short commodity strategy implemented through swap contracts, declined by 4.02%. The Fund’s underperformance relative to the BCOM Total Return Index return of -3.00% was driven by the underperformance of the MS BFMCI and DCLS, as well as the timing between beta exposure and alpha exposure. The Fund’s use of derivative instruments to gain exposure to commodities facilitated investment of the Fund’s remaining assets in UST securities, which added incremental return in the period.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          -5.96%

N-Share

          -6.01%

Bloomberg Commodity Index (BCOM) Total Return

          -3.00%

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Global Bond Fund

For the 6-month period ended September 30, 2019, the DoubleLine Global Bond Fund underperformed its benchmark, the FTSE WGBI, which returned 4.45%. Positive performance during the period was led primarily by falling global yields, but the Fund’s performance was hurt by its shorter duration relative to the benchmark. The Fund’s underperformance over the period was also driven by foreign exchange market (FX) depreciation against the USD, as indicated by the U.S. Dollar Index (DXY), which rose significantly during the third quarter of 2019. Performance relative to the Index was hurt by the Fund’s overweight positioning in Central and Eastern Europe (CEE) and European periphery countries, as well as in developed Asia.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          1.16%

N-Share

          1.13%

FTSE World Government Bond Index (WGBI)

          4.45%

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Infrastructure Income Fund

For the 6-month period ended September 30, 2019, the DoubleLine Infrastructure Income Fund underperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 5.42%. The primary driver of this underperformance was duration positioning, as the Fund consistently maintained a shorter duration of 4.6 than the Index duration of 5.7, and 5-year UST yields declined by 69 bps. Still, nearly every subsector within the Fund generated positive total returns over the period, with IG Corporates and EM Corporates producing the largest contributions to return. Specifically, these securities experienced above-average price returns due to their longer durations stemming from final maturities in the 2028-2038 range. Two sectors within the Fund which lagged the Index return over this period were Aircraft ABS and Shipping Container ABS, which are shorter-duration sectors that did not enjoy the same spread tightening or price increases as the corporate bonds and UST within the index.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          4.88%

N-Share

          4.75%

Bloomberg Barclays U.S. Aggregate Bond Index

          5.42%

For additional performance information, please refer to the “Standardized Performance Summary.”

 

12   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

DoubleLine Ultra Short Bond Fund

For the 6-month period ended September 30, 2019, the DoubleLine Ultra Short Bond Fund’s Class I shares returned 1.39%, outperforming the ICE BofAML 3-Month U.S. Treasury Bill Index return of 1.20%. Within the Fund, corporate credit outperformed UST, with corporate spreads tightening over the period as measured by the Bloomberg Barclays U.S. 1-3 Year Credit Index. The 3-month UST yield ended the period at 1.82%, while 3-month LIBOR was 2.09%. The Fund was overweight commercial paper and LIBOR floating rate notes, which benefited from the yield pickup in LIBOR vs. UST. The Fund also held Secured Overnight Financing Rate (SOFR) floating rate notes, which outperformed 3-month UST during the period.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          1.39%

N-Share

          1.26%

ICE BofAML 3-Month U.S. Treasury Bill Index

          1.20%

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Shiller Enhanced International CAPE®

For the 6-month period ended September 30, 2019, the DoubleLine Shiller Enhanced International CAPE® gained 4.51% and outperformed the broad European equity market, as measured by the MSCI Europe Net Return USD Index’s 2.59% gain. During the period, the Shiller Barclays CAPE® Europe Sector Net TR NoC USD Index (which the Fund gained exposure to through the use of swap contracts) was allocated to seven sectors: Communication Services, Consumer Discretionary, Consumer Staples, Healthcare, Industrials, Materials, and Utilities. Five of the seven sectors contributed positively to returns during the six months, with the best returns found in Utilities, Healthcare, and Consumer Staples. The weakest returns were in Industrials and Consumer Discretionary, both of which posted negative returns, followed by Communication Services, which provided positive returns. The Fund’s fixed income portfolio increased in value during the six months, with all sectors delivering positive returns. The three fixed income sectors with the highest returns within the portfolio were CMBS, EM, and IG Corporate Bonds. Government Bonds, Bank Loans, and ABS, while delivering positive total returns, were the lowest returning sectors.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          4.51%

N-Share

          4.38%

MSCI Europe Net Return USD Index

          2.59%

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Colony Real Estate and Income Fund

For the 6-month period ended September 30, 2019, the DoubleLine Colony Real Estate and Income Fund returned 9.77%, ahead of the 7.70% return of the Dow Jones U.S. Select REIT Total Return Index benchmark. Exposure to the Real Estate Investment Trust (REIT) sector of the U.S. equity market was obtained through exposure to the Colony Capital Fundamental U.S. Real Estate Index, which the Fund gained through the use of swap contracts. The Fund’s fixed income portfolio increased in value during the period, with all sectors delivering positive returns. The three fixed income sectors with the highest returns within the portfolio were EM, CMBS, and IG Corporate Bonds. Agency MBS, Non-Agency MBS, and CLOs, while delivering positive total returns, were the lowest returning sectors.

 

6-Month Period Ended 9-30-19      

6-months

(Not Annualized)

I-Share

          9.77%

N-Share

          9.73%

Dow Jones U.S. Select REIT Total Return Index

          7.70%

For additional performance information, please refer to the “Standardized Performance Summary.”

 

  Semi-Annual Report   September 30, 2019   13


Management’s Discussion of Fund Performance  (Cont.)  

(Unaudited)

September 30, 2019

 

DoubleLine Emerging Markets Local Currency Bond Fund

For the period since inception on June 28, 2019, the DoubleLine Emerging Markets Local Currency Bond Fund underperformed its benchmark, the J.P. Morgan GBI-EM Global Diversified Total Return Index. The performance of the Index was driven by lower UST yields over the period, as EM external debt trades as a spread to UST and thus lower yields indicate an increase in both UST and EM external debt prices, and was negatively impacted by FX depreciation against the USD, the relative value of which rose significantly in the last three months. The Fund benefited from an overweight positioning in Israel. However, an overweight exposure in Argentina earlier in the period and underweight exposure in Turkey, Thailand, and Russia detracted from the Fund’s performance. The Fund’s shorter duration relative to the benchmark duration of 5.50 also detracted from performance.

 

6-Month Period Ended 9-30-19      

Since Inception*

(Not Annualized)

I-Share

          -3.22%

N-Share

          -3.28%

JPM GBI-EM Global Diversified TR Index

          -0.79%

 

*

Inception 6-28-2019

For additional performance information, please refer to the “Standardized Performance Summary.”

DoubleLine Income Fund

For the period since inception on September 3, 2019, the DoubleLine Income Fund outperformed the Bloomberg Barclays U.S. Aggregate Bond Index. The best performing sector since inception was Non-Agency MBS, as spreads tightened modestly for all subsectors aside from RPLs. The Fund had a majority exposure to non-front pay bonds, which are generally not exposed to prepayments because of their position in the deal structure, and which were a benefit during a period of substantial refinancing activity. The sector which lagged the most was UST, as yields rose during the month due to increased investor risk appetite while the U.S. delayed the October 1 tariffs on China. Both CMBS and ABS delivered positive returns during the period, due to interest income, as credit spreads for these sectors were largely unchanged.

 

6-Month Period Ended 9-30-19      

Since Inception*

(Not Annualized)

I-Share

          -0.24%

N-Share

          -0.16%

Bloomberg Barclays U.S. Aggregate Bond Index

          -0.71%

 

*

Inception 9-3-2019

For additional performance information, please refer to the “Standardized Performance Summary.”

Past Performance is not a guarantee of future results.

Opinions expressed herein are as of September 30, 2019 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.

A Fund’s investment objectives, risks, charges and expenses must be considered carefully before investing. You can obtain a Fund’s current prospectus and certain other regulatory filings by calling 1 (877) 354-6311/ 1 (877) DLINE11, or visiting www.doublelinefunds.com. You should read these reports and other filings carefully before investing.

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. 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

 

14   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

than the amount invested. 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. Equities may decline in value due to both real and perceived general market, economic, and industry conditions. 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. 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. 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. 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.

Earnings growth is not representative of the fund’s future performance.

Credit ratings from Moody’s Investor Services, 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. In limited situations when the rating agency has not issued a formal rating, the rating agency will classify the security as nonrated.

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.

The Shiller Barclays CAPE® US Index Family

Barclays Bank PLC and its affiliates (“Barclays”) is not the issuer or producer of DoubleLine Shiller Enhanced CAPE ® (the “Fund”) and Barclays has no responsibilities, obligations or duties to investors in the Fund. The Shiller Barclays CAPE® US Sector USD Index (the “Index”) is a trademark owned by Barclays and licensed for use by the Fund. While the Fund may execute transaction(s) with Barclays in or relating to the Index, Fund investors acquire interests solely in the Fund and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in the Fund. The Fund is not sponsored, endorsed, sold or promoted by Barclays and Barclays makes no representation regarding the advisability of the Fund or use of the Index or any data included therein. Barclays shall not be liable in any way to the Fund, investors or to other third parties in respect of the use or accuracy of the Index or any data included therein.

The Shiller Barclays CAPE® US Index Family (the “Index Family”) has been developed in part by RSBB-I, LLC, the research principal of which is Dr. Robert J. Shiller. RSBB-I, LLC is not an investment advisor and does not guarantee the accuracy and completeness of the Index Family or any data or methodology either included therein or upon which it is based. RSBB-I, LLC shall have no liability for any errors, omissions or interruptions therein and makes no warranties expressed or implied, as to the performance or results experienced by any party from the use of any information included therein or upon which it is based, and expressly disclaims all warranties of the merchantability or fitness for a particular purpose with respect thereto, and shall not be liable for any claims or losses of any nature in connection with the use of such information, including but not limited to, lost profits or punitive or consequential damages even, if RSBB-I, LLC is advised of the possibility of same.

Shiller Barclays CAPE® US Sector Total Return USD Index incorporates the principles of long-term investing distilled by Dr. Robert J. 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.

Disclaimers—The Colony Capital Fundamental US Real Estate Index (the “Index”)

Colony Capital, Inc.

The Colony Capital Fundamental US Real Estate Index (the “Index”) has been licensed by Barclays for use by DoubleLine Alternatives LP. Colony Capital is a registered trademark of Colony Capital QIS, LLC or its affiliates and has been sub-licensed for use for certain purposes by DoubleLine Alternatives LP. DoubleLine Colony Real Estate and Income Fund (the “Fund”) is not sponsored, endorsed, sold, or promoted by Colony Capital QIS, LLC or any of its affiliates. Neither Colony Capital QIS, LLC nor any of its affiliates make any representation or warranty, express or implied, to the owners of the Fund or any member of the public regarding the advisability of investing in securities generally or in the Fund particularly or the ability of the Index to track market performance. Colony Capital QIS, LLC’s and its affiliates’ only relationship to DoubleLine Alternatives LP with respect to the Index is through the sublicensing of certain rules incorporated in the Index and certain trademarks, service marks, and/or trade names owned by Colony Capital QIS, LLC and its affiliates through Barclays and/or its affiliates to DoubleLine Alternatives LP. The Index is not determined, composed, or calculated by Colony Capital QIS, LLC. Neither Colony Capital QIS, LLC nor its affiliates are responsible for and have not participated in the determination of the prices or amount of shares of the Fund or the timing of the issuance or sale of shares of the Fund or in the determination or calculation of the equation by which shares of the Fund are to be converted into cash, surrendered, or redeemed, as the case may be. Colony Capital QIS, LLC and its affiliates have no obligation or liability in connection with the administration, marketing, or trading of the Fund. There is no assurance that investment products based on the Index shall accurately track index performance or provide positive investment returns. Colony Capital QIS, LLC and its affiliates are not investment advisors with respect to investors in the Fund. Inclusion of a security within an index is not a recommendation by Colony Capital QIS, LLC or its affiliates to buy, sell, or hold such security, nor is it considered to be investment advice.

NEITHER COLONY CAPITAL QIS, LLC NOR ITS AFFILIATES GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE INDEX, ANY DATA RELATED THERETO, OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL, WRITTEN, OR ELECTRONIC COMMUNICATIONS WITH RESPECT THERETO AND LICENSOR AND ITS AFFILIATES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. COLONY CAPITAL QIS, LLC AND ITS AFFILIATES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE, OR USE, OR AS TO RESULTS TO BE OBTAINED BY DOUBLELINE ALTERNATIVES LP, INVESTORS IN THE FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL LICENSOR OR ITS AFFILIATES BE LIABLE, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE, FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES OR FOR LOSS OF PROFITS, TRADING LOSSES, LOST TIME, OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES.

Barclays Bank PLC

©Barclays Bank PLC, its wholly-owned subsidiary ©Barclays Capital Inc. or an affiliate (collectively “Barclays”) owns the intellectual property and licensing rights in and to the Colony Capital Fundamental US Real Estate Index (the “Index”) and either entity may act as licensor of the Index. All rights reserved.

Neither Barclays nor the Index Sponsor, as defined below, make any representation or warranty, express or implied, to DoubleLine Colony Real Estate and Income Fund (the “Fund”) or any member of the public regarding the advisability of investing in transactions generally or other instruments or related derivatives or in the Index particularly or the ability of the Barclays indices, including without limitation, the Index, to track the performance of any market or underlying assets or data. Neither Barclays nor the Index Sponsor has any obligation to take the needs of the Fund into consideration in determining, composing or calculating the Index.

Barclays’ indices are administered, calculated and published by the Index Sponsor. The Index Sponsor role is performed by Barclays Index Administration (“BINDA”), a distinct function within the Investment Bank of Barclays Bank PLC. As the administrator of the Barclays family of indices, BINDA operates independently from Barclays Investment Bank’s sales, trading, structuring and banking departments. Notwithstanding the foregoing, potential conflicts of interest may exist where: (i) Barclays acts

 

  Semi-Annual Report   September 30, 2019   15


Management’s Discussion of Fund Performance  (Cont.)  

(Unaudited)

September 30, 2019

 

in multiple capacities with respect to a particular Barclays index, including but not limited to functioning as index sponsor, index administrator, calculation agent, licensing agent, and/or publisher; (ii) sales, trading or structuring desks in Barclays Investment Bank launch products linked to the performance of a Barclays index, which are typically hedged by Barclays’ trading desks. In hedging an index, a trading desk may purchase or sell constituents of that index. These purchases or sales may affect the prices of the index constituents which could in turn affect the level of that index; and (iii) Barclays may use price contributions from trading desks in Barclays Investment Bank as a pricing source for a Barclays index. Barclays has in place policies and governance procedures (including separation of reporting lines) that are designed to avoid or otherwise appropriately manage such conflicts of interest and ensure the independence of BINDA and the integrity of Barclays indices. Where permitted and subject to appropriate restrictions, BINDA personnel regularly interact with trading and structuring desk personnel in Barclays Investment Bank regarding current market conditions and prices although decisions made by BINDA are independent and not influenced by trading and structuring desk personnel. Additional information about Barclays indices together with copies of the BINDA IOSCO Compliance Statement and Control Framework are available at: https://index.barcap.com/Home/BINDA.

The Index Sponsor is under no obligation to continue the calculation, publication and dissemination of the Index or the level of the Index. While the Index Sponsor currently employs the methodology ascribed to the Index (and application of such methodology shall be conclusive and binding), no assurance can be given that market, regulatory, juridical, financial, fiscal or other circumstances (including, but not limited to, any changes to or any suspension or termination of or any other events affecting any constituent within the Index) will not arise that would, in the view of the Index Sponsor, necessitate an adjustment, modification or change of such methodology. In certain circumstances, the Index Sponsor may suspend or terminate the Index.

BARCLAYS AND THE INDEX SPONSOR DO NOT GUARANTEE, AND SHALL HAVE NO LIABILITY TO THE PURCHASERS OR TRADERS, AS THE CASE MAY BE, OF THE FUND OR TO THIRD PARTIES FOR, THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BARCLAYS INDICES, OR ANY DATA INCLUDED THEREIN, OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BARCLAYS INDICES. BARCLAYS AND THE INDEX SPONSOR MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BARCLAYS INDICES, INCLUDING WITHOUT LIMITATION, THE INDEX, OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS OR THE INDEX SPONSOR HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES SAVE TO THE EXTENT THAT SUCH EXCLUSION OF LIABILITY IS PROHIBITED BY LAW.

The Morgan Stanley Index

The Morgan Stanley Index is expected to track the performance of futures contracts on eleven commodities, selected by Morgan Stanley Capital Group Inc. (the “Morgan Stanley Index Sponsor”), a direct, wholly-owned subsidiary of Morgan Stanley, based on (i) the contracts’ historical backwardation relative to other commodity-related futures contracts and (ii) the contracts’ historical liquidity. Of the commodities represented in the Morgan Stanley Index, currently five are in the energy sector, two are in the industrial metals sector, and four are in the agricultural sector or livestock sector. As of the date of this Summary Prospectus, the Morgan Stanley Index’s exposure was weighted approximately one third to each of the energy sector, the industrial metals sector, and the agricultural and livestock sectors. The Morgan Stanley Index’s actual exposure to futures contracts and sectors will change throughout the year based on changes in the market values of the futures contracts. The Morgan Stanley Index Sponsor also may alter the commodities that comprise the Morgan Stanley Index or the parameters that determine the futures contracts that comprise the Morgan Stanley Index. The Morgan Stanley Index is normally rebalanced annually during the month of January. In addition, the Morgan Stanley Index Sponsor may make interim changes to the Morgan Stanley Index in its discretion if it determines that a disruption event has occurred that requires modification of the Morgan Stanley Index; such events may include, but are not limited to market or trading disruptions in the commodities underlying the Morgan Stanley Index, changes in law, or other events or circumstances beyond the reasonable anticipation or control of the Morgan Stanley Index Sponsor.

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.

Basis Points (bps)—A basis point equals 0.01%.

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 Global Aggregate Bond Index—This index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

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. Aggregate 1-3 Year Index—This index represents the 1-3 year component of the Bloomberg Barclays U.S. Aggregate Index.

Bloomberg Barclays U.S. CMBS ERISA Eligible Total Return IndexThis index measures the performance of investment-grade CMBS and includes only CMBS that are Employee Retirement Income Security Act of 1974, which will deem ERISA eligible the certificates with the first priority of principal repayment, as long as certain conditions are met, including the requirement that the certificates be rated in one of the three highest rating categories by Fitch, Inc., Moody’s Investors Services or Standard & Poor’s.

Bloomberg Barclays U.S. Corporate Index—An index that represents the total return measure of the corporates portion of the Barclays U.S. Aggregate Index.

Bloomberg Barclays U.S. Corporate High Yield Index—This index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below. The Bloomberg Barclays U.S. High Yield Long Index, including bonds with maturities of 10 years or greater, and the Bloomberg Barclays U.S. High Yield Intermediate Index, including bonds with maturities of 1 to 9.999 years, are subindices of the Bloomberg Barclays U.S. Corporate High Yield Index.

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. Government/Credit Bond Index—This index is a broad-based flagship benchmark that measures the non-securitized component of the U.S. Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.

Bloomberg Barclays U.S. Long Credit Index—This index measures the performance of the long term sector of the United States investment bond market, which includes investment grade corporate debt and sovereign, supranational, local authority and non-U.S. agency bonds that are dollar denominated and have a remaining maturity of greater than or equal to 10 years. 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.

 

16   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

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 Barclays U.S. TIPS Total Return Index—This index measures the performance of the U.S. TIPS market. Federal Reserve holdings of US TIPS are not index eligible and are excluded from the face amount outstanding of each bond in the index.

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. The BCOM Total Return Index includes collateral to the futures in the form of treasury securities, while the BCOM Excess Return Index includes futures only, with no collateral.

Colony Capital Fundamental U.S. Real Estate Index—This Index is a rules-based index that incorporates the fundamental criteria originally developed by Colony Capital, Inc. The Index is rebalanced and reconstituted quarterly by applying a systematic methodology to the universe of REITs. It is not possible to invest directly in an index.

Dow Jones U.S. Select REIT Total Return Index—This index tracks the performance of publicly traded REITs and REIT-like securities and is designed to serve as a proxy for direct real estate investment, in part by excluding companies whose performance may be driven by factors other than the value of real estate.

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.

Fed Funds Rate—The interest rate at which banks and other depository institutions lend money to each other, usually on an

overnight basis. The law requires banks to keep a certain percentage of their customer’s money on reserve, where the banks earn no interest on it.

Freddie Mac U.S. 15-year Commitment Rates—The interest rate charged by Freddie Mac to lend money to a qualified borrower on a 15-year fixed-rate mortgage loan.

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.

Eurostoxx 50 IndexA 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.

FTSE World Government Bond Index (FTSE 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.

G-10 (Group of 10)—The G10 consists of eleven industrialized nations that meet on an annual basis or more frequently, as necessary, to consult each other, debate and cooperate on international financial matters. The member countries are: Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States.

ICE BofAML 1-3 Year Eurodollar Index—This index is a subset of the BAML Eurodollar Index including all securities with a remaining term to final maturity less than 3 years. The BAML Eurodollar Index tracks the performance of US dollar-denominated investment grade quasigovernment, corporate, securitized and collateralized debt publicly issued in the eurobond markets.

ICE BofAML 1-3 Year U.S. Treasury Index—This index is an unmanaged index that tracks the performance of the direct soversign debt of the U.S. Government having a maturity of at least one year and less than three years.

ICE BofAML 3-Month Treasury Bill Index—This index is an unmanaged index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified—This index is a market capitalization weighted index consisting of U.S-denominated Emerging Market corporate bonds. It is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa.

J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified 1-3 Year Index—This index is a market capitalization weighted index consisting of US-denominated Emerging Market corporate bonds with 1-3 year maturity. It is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa.

J.P. 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. There is also a high yield sub-index and investment grade sub-index which are subsets of the EMBI.

J.P. Morgan GBI-EM Global Diversified Total Return Index—This index tracks local currency bonds issued by Emerging Market governments.

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.

Moody’s/RCA Commercial Property Price Index (CPPI)—An index that describes various non-residential property types for the U.S. (10 monthly series from 2000). This index is a periodic same-property round-trip investment price change index of the U.S. commercial investment property market. The dataset contains 20 monthly indicators.

Morgan Stanley Backwardation Focused Multi-Commodity Index (MS BFMCISM)—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)—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.

 

  Semi-Annual Report   September 30, 2019   17


Management’s Discussion of Fund Performance  (Cont.)  

(Unaudited)

September 30, 2019

 

Morgan Stanley Capital International (MSCI) Europe Net Return USD IndexThe 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 (MBA) Purchase Index Seasonally-AdjustedAn 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.

Mortgage Bankers Association (MBA) Refinance Index Seasonally-AdjustedAn 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.

Nikkei 225 IndexA 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.

Personal Consumption Expenditures (PCE) Price Index—Measures price changes in consumer goods and services. Expenditures included in the index are actual U.S. household expenditures. Data that pertains to services, durables, and non-durables are measured by the index.

Real Assets—Physical assets that have an intrinsic worth due to their substance and properties, including precious metals, commodities, real estate, land, equipment, and natural resources.

Secured Overnight Financing Rate (SOFR)—An influential interest rate that banks use to price U.S. dollar-denominated derivatives and loans. The daily SOFR is based on transactions in the UST repurchase market, where investors offer banks overnight loans backed by their bond assets.

Shanghai Composite IndexA 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® U.S. Sector Total Return IndexAn 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 NoC USD Index (European CAPE® 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 inflation adjusted 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 ® IndexThe Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

S&P Goldman Sachs Commodity Index (GSCI)This composite index of commodity sector returns represents a broadly diversified, unleveraged, long-only position in commodity futures. The index’s components qualify for inclusion in the index based on liquidity measures and are weighted in relation to their global production levels, making the Index a valuable economic indicator and commodities market benchmark.

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.

Trade Reporting and Compliance Engine (TRACE)—The Trade Reporting and Compliance Engine is the FINRA-developed vehicle that facilitates the mandatory reporting of over-the-counter secondary market transactions in eligible fixed income securities.

Trepp CMBS Delinquency Rate—Trepp, LLC, provides information, analytics and technology to the structured finance, commercial real estate (CRE) and banking markets. A delinquency rate is the percentage of loans within a loan portfolio that have delinquent payments.

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.

Yield curve—A curve in which the yield of fixed interest securities is plotted against the length of time they have to run to maturity.

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.

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.

The DoubleLine Funds are distributed by Quasar Distributors, LLC.

DoubleLine® is a registered trademark of DoubleLine Capital LP.

 

18   DoubleLine Funds Trust     


Standardized Performance Summary  

(Unaudited)

September 30, 2019

 

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 shown are from the most recent prospectus and may change over time. See the financial highlights section of the financial statements for more recent expense ratios. The Funds’ gross and net expense ratios also include “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.

 

DBLTX/DLTNX/DDTRX                            
DoubleLine Total Return Bond Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(4-6-10 to 9-30-19)
  Expense Ratio

I Share (DBLTX)

      3.96%       7.87%       3.20%       3.48%       6.02%   0.48%

N Share (DLTNX)

      3.83%       7.71%       2.98%       3.25%       5.77%   0.73%

R6 share (DDTRX)1

      3.97%       7.88%       3.21%       3.49%       6.02%   0.43%

Bloomberg Barclays U.S. Aggregate Bond Index

      5.42%       10.30%       2.92%       3.38%       3.80%    
DBLFX/DLFNX/DDCFX                            
DoubleLine Core Fixed Income Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(6-1-10 to 9-30-19)
  Expense Ratio

I Share (DBLFX)

      4.55%       8.29%       3.22%       3.63%       5.27%   0.48%

N Share (DLFNX)

      4.42%       8.03%       2.97%       3.36%       5.01%   0.73%

R6 Share (DDCFX)2

      4.55%       8.30%       3.22%       3.63%       5.27%   0.43%

Bloomberg Barclays U.S. Aggregate Bond Index

      5.42%       10.30%       2.92%       3.38%       3.59%    
DBLEX/DLENX                            
DoubleLine Emerging Markets
Fixed Income Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(4-6-10 to 9-30-19)
  Expense Ratio

I Share (DBLEX)

      3.68%       7.56%       4.47%       4.13%       5.67%   0.89%

N Share (DLENX)

      3.54%       7.28%       4.20%       3.85%       5.41%   1.14%

J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index

      5.64%       11.57%       4.61%       5.74%       6.59%    
DMLIX/DMLAX                            
DoubleLine Multi-Asset Growth Fund
Returns as of September 30,  2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(12-20-10 to 9-30-19)
  Expense Ratio

I Share (DMLIX)

      2.45%       0.31%       5.69%       5.05%       4.03%   1.35%

A Share (DMLAX)3

                      1.60%

A Share (No Load)

      2.34%       0.06%       5.38%       4.76%       3.75%    

A Share (With Load)

      -2.01%       -4.19%       3.87%       3.86%       3.24%    

S&P 500® Index

      6.08%       4.25%       13.39%       10.84%       12.75%    

Blended Benchmark Unhedged4

      3.91%       4.19%       6.56%       4.94%       5.75%    

Blended Benchmark USD Hedged4

      4.53%       5.38%       7.43%       5.82%       6.55%    
DBLSX/DLSNX/DDLDX                            
DoubleLine Low Duration Bond Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(9-30-11 to 9-30-19)
 
Expense Ratio

I Share (DBLSX)

      2.25%       4.22%       2.70%       2.39%       2.47%   0.43%

N Share (DLSNX)

      2.13%       3.97%       2.45%       2.14%       2.22%   0.68%

R6 Share (DDLDX)5

      2.25%       4.22%       2.70%       2.39%       2.47%   0.38%

ICE BofAML 1-3 Year U.S. Treasury Index

      2.02%       4.36%       1.52%       1.32%       1.00%    

Bloomberg Barclays U.S. Aggregate 1-3 Yr Bond Index

      2.20%       4.67%       1.84%       1.61%       1.37%    

 

  Semi-Annual Report   September 30, 2019   19


Standardized Performance Summary  (Cont.)  

(Unaudited)

September 30, 2019

 

DBFRX/DLFRX                            
DoubleLine Floating Rate Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(2-1-13 to 9-30-19)
 
Expense Ratio

I Share (DBFRX)6

      1.76%       1.95%       3.43%       3.26%       3.08%   0.65%

N Share (DLFRX)6

      1.52%       1.58%       3.13%       2.98%       2.84%   0.89%

S&P/LSTA Leveraged Loan Index

      2.69%       3.10%       4.53%       3.98%       3.94%    
DSEEX/DSENX/DDCPX                            
DoubleLine Shiller Enhanced CAPE®
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(10-31-13 to 9-30-19)
 
Expense Ratio

I Share (DSEEX)

      6.17%       4.39%       14.25%       13.97%       14.49%   0.57%

N Share (DSENX)

      5.97%       4.13%       13.96%       13.67%       14.20%   0.82%

R6 Share (DDCPX)7

      6.18%       4.40%       14.26%       13.97%       14.49%   0.52%

S&P 500® Index8

      6.08%       4.25%       13.39%       10.84%       11.61%    

Shiller Barclays CAPE® U.S. Sector TR USD Index8

      5.65%       3.71%       14.22%       13.48%       13.65%    
DFLEX/DLINX/DFFLX                            
DoubleLine Flexible Income Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(4-7-14 to 9-30-19)
 
Expense Ratio

I Share (DFLEX)

      2.72%       4.57%       3.80%       3.48%       3.54%   0.76%

N Share (DLINX)

      2.59%       4.31%       3.52%       3.21%       3.28%   1.01%

R6 Share (DFFLX)9

      2.72%       4.57%       3.81%       3.48%       3.55%   0.71%

ICE BofAML 1-3 Year Eurodollar Index

      2.57%       5.33%       2.43%       2.11%       2.00%    

LIBOR USD 3 Month

      1.21%       2.55%       1.88%       1.30%       1.22%    
DBLLX/DELNX                            
DoubleLine Low Duration Emerging
Markets Fixed Income Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
  5-Year
Annualized
  Since Inception
Annualized
(4-7-14 to 9-30-19)
  Gross
Expense
Ratio
  Net
Expense
Ratio10

I Share (DBLLX)

      3.07%       6.62%       3.21%       2.93%       3.20%   0.65%   0.59%

N Share (DELNX)

      3.03%       6.45%       2.97%       2.71%       2.97%   0.93%   0.84%

J.P. Morgan CEMBI Broad Diversified 1-3 Year Index

      2.68%       6.24%       3.58%       3.80%       3.63%    
DBLDX/DLLDX                            
DoubleLine Long Duration Total
Return Bond Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
      Since Inception
Annualized
(12-15-14 to 9-30-19)
  Gross
Expense
Ratio
  Net
Expense
Ratio10

I Share (DBLDX)

      12.22%       21.20%       3.40%           5.08%   0.70%   0.65%

N Share (DLLDX)

      11.97%       20.92%       3.14%           4.81%   0.95%   0.90%

Bloomberg Barclays U.S. Long Government/Credit Index

      13.61%       21.88%       5.56%           6.00%    
DBCMX/DLCMX                            
DoubleLine Strategic Commodity Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
      Since Inception
Annualized
(5-18-15 to 9-30-19)
 
Expense Ratio

I Share (DBCMX)

      -5.96%       -9.65%       2.01%           -0.46%   1.11%

N Share (DLCMX)

      -6.01%       -9.88%       1.76%           -0.74%   1.36%

Bloomberg Commodity Index Total Return

      -3.00%       -6.57%       -1.50%           -5.58%    
DBLGX/DLGBX                            
DoubleLine Global Bond Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
      Since Inception
Annualized
(12-17-15 to 9-30-19)
 
Expense Ratio

I Share (DBLGX)

      1.16%       3.37%       -0.07%           1.83%   0.55%

N Share (DLGBX)

      1.13%       3.14%       -0.30%           1.60%   0.80%

FTSE World Government Bond Index

      4.45%       8.13%       1.19%           3.89%    

 

20   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

BILDX/BILTX                            
DoubleLine Infrastructure Income Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
      Since Inception
Annualized
(4-1-16 to 9-30-19)
 
Expense Ratio

I Share (BILDX)

      4.88%       8.96%       3.86%           4.33%   0.59%

N Share (BILTX)

      4.75%       8.77%       3.60%           4.07%   0.84%

Bloomberg Barclays U.S. Aggregate Bond Index

      5.42%       10.30%       2.92%           3.29%    
DBULX/DLUSX                            
DoubleLine Ultra Short Bond Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
  1-Year   3-Year
Annualized
      Since Inception
Annualized
(6-30-16 to 9-30-19)
 
Expense Ratio

I Share (DBULX)

      1.39%       2.60%       1.79%           1.65%   0.22%

N Share (DLUSX)

      1.26%       2.36%       1.53%           1.41%   0.47%

ICE BofAML 3-Month U.S. Treasury Bill Index

      1.20%       2.39%       1.54%           1.45%    
DSEUX/DLEUX                            

DoubleLine Shiller Enhanced
International CAPE®

Returns as of September 30, 2019

  6-Months
(Not Annualized)
  1-Year           Since Inception
Annualized
(12-23-16 to 9-30-19)
  Gross
Expense
Ratio
  Net
Expense
Ratio10

I Share (DSEUX)

      4.51%       5.35%               7.93%   0.98%   0.67%

N Share (DLEUX)

      4.38%       5.08%               7.67%   1.22%   0.92%

MSCI Europe Net Return USD Index8

      2.59%       -0.75%               7.76%    
DBRIX/DLREX                            
DoubleLine Colony Real Estate and
Income Fund
Returns as of September 30, 2019
  6-Months
(Not Annualized)
              Since Inception
Not Annualized
(12-17-18 to 9-30-19)
  Gross
Expense
Ratio
  Net
Expense
Ratio11

I Share (DBRIX)

      9.77%                   24.79%   0.75%   0.66%

N Share (DLREX)

      9.73%                   24.58%   1.00%   0.91%

Dow Jones U.S. Select REIT Total Return Index

      7.70%                   20.97%    
DBELX/DLELX                            

DoubleLine Emerging Markets Local
Currency Bond Fund

Returns as of September 30, 2019

                  Since Inception
Not Annualized
(6-28-19 to 9-30-19)
  Gross
Expense
Ratio
  Net
Expense
Ratio12

I Share (DBELX)

                      -3.22%   1.05%   0.91%

N Share (DLELX)

                      -3.28%   1.30%   1.16%

JPM GBI-EM Global Diversified TR Index

                      -0.79%    
DBLIX/DBLNX                            

DoubleLine Income Fund

Returns as of September 30, 2019

                  Since Inception
Not Annualized
(9-3-19 to 9-30-19)
  Gross
Expense
Ratio
  Net
Expense
Ratio13

I Share (DBLIX)

                      -0.24%   0.80%   0.66%

N Share (DBLNX)

                      -0.16%   1.05%   0.91%

Bloomberg Barclays U.S. Aggregate Bond Index

                      -0.71%    

1 The inception date of the Class I shares of DoubleLine Total Return Bond Fund (DBLTX) was 4/6/2010, while the inception date of the R6 Class (DDTRX) was 7/31/2019. The returns of DDTRX shown for periods prior to its inception date reflect the returns of DBLTX.

2 The inception date of the Class I shares of DoubleLine Core Fixed Income Fund (DBLFX) was 6/1/2010, while the inception date of the R6 Class (DDCFX) was 7/31/2019. The returns of DDCFX shown for periods prior to its inception date reflect the returns of DBLFX.

3 Performance data shown for the Multi-Asset Growth Fund reflect the Class A maximum sales charge of 4.25%. 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. 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. Performance data does not reflect the deferred sales charge. If it had, returns would have been reduced.

4 The Blended Benchmark Unhedged is MSCI ACWI (60%)/Bloomberg Barclays Global Aggregate Bond Index (40%). The Blended Benchmark USD Hedged is MSCI ACWI (60%)/Bloomberg Barclays Global Aggregate Bond Index (40%) Hedged to USD.

5 The inception date of the Class I shares of DoubleLine Low Duration Bond Fund (DBLSX) was 9/30/2011, while the inception date of the R6 Class (DDLDX) was 7/31/2019. The returns of DDLDX shown for periods prior to its inception date reflect the returns of DBLSX.

6 The Floating Rate Fund imposes 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.

 

  Semi-Annual Report   September 30, 2019   21


Standardized Performance Summary  (Cont.)  

(Unaudited)

September 30, 2019

 

7 The inception date of Class I shares of DoubleLine Shiller Enhanced CAPE® (DSEEX) was 10/31/2013, while the inception date of the R6 Class (DDCPX) was 7/31/2019. The returns of DDCPX shown for periods prior to its inception date reflect the returns of DSEEX.

8 Reflects no deduction for fees, expenses, or taxes.

9 The inception date of the Class I shares of Flexible Income Fund (DFLEX) was 4/7/2014, while the inception date of the R6 Class (DFFLX) was 7/31/2019. The returns of DFFLX shown for periods prior to its inception date reflect the returns of DFLEX.

10 The Adviser has contractually agreed to waive fees and reimburse expenses through July 31, 2020. For additional information regarding these expense limitation arrangements, please see note 3 in the notes to financial statements.

11 The Adviser has contractually agreed to waive fees and expenses through December 11, 2020. For additional information regarding these expense limitation arrangements, please see note 3 in the notes to financial statements.

12 The Adviser has contractually agreed to waive fees and expenses through June 26, 2021. For additional information regarding these expense limitation arrangements, please see note 3 in the notes to financial statements.

13 The Adviser has contractually agreed to waive fees and expenses through September 2, 2021. For additional information regarding these expense limitation arrangements, please see note 3 in the notes to financial statements.

Mutual fund investing involves risk. Principal loss is possible.

 

22   DoubleLine Funds Trust     


Schedule of Investments - Summary  DoubleLine Total Return Bond Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
  ASSET BACKED OBLIGATIONSµ  
  Total Asset Backed Obligations
(Cost $2,090,164,576)
         2,135,675,427       3.9%  
      

 

 

   

 

 

 
  COLLATERALIZED LOAN OBLIGATIONSµ  
  Total Collateralized Loan Obligations
(Cost $2,652,304,548)
         2,648,015,031       4.9%  
      

 

 

   

 

 

 
  NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONSµ  
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $3,862,856,219)
         3,674,540,833       6.7%  
      

 

 

   

 

 

 
  NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS  
 

CIM Trust,

    3.02% #^       06/25/2057       173,055,300       0.3%  
  171,988,558    

Series 2017-6-A1

        
 

Citigroup Mortgage Loan Trust,

    3.93% #^       07/25/2067       206,761,803       0.4%  
  196,684,926    

Series 2017-RP2-A1A

        
 

Citigroup Mortgage Loan Trust,

    3.92% ^       10/25/2058       187,925,675       0.3%  
  187,123,029    

Series 2019-A-PT1

        
 

Citigroup Mortgage Loan Trust,

    3.25% ^       04/25/2059       273,656,628       0.5%  
  278,180,680    

Series 2019-D-PT1

        
 

CSMC Trust,

    4.00% ^       08/26/2058       176,782,513       0.3%  
  174,458,207    

Series 2018-RPL7-A1

        
 

CSMC Trust,

    4.09% #^       11/25/2058       304,244,809       0.6%  
  299,490,104    

Series 2019-RPL6-PT1

        
 

Legacy Mortgage Asset Trust,

    0.00% ^       06/25/2058       212,844,112       0.4%  
  208,287,204    

Series 2019-RPL3-PT1

        
 

PR Mortgage Loan Trust,

    5.91% #^       10/25/2049       195,876,063       0.4%  
  200,164,855    

Series 2014-1-APT

        
 

Securitized Mortgage Asset Loan Trust,

    2.74% #^       02/25/2054       271,830,453       0.5%  
  291,816,592    

Series 2015-1-PC

        
 

Towd Point Mortgage Trust,

    3.75% #^       03/25/2058       240,027,155       0.4%  
  228,589,954    

Series 2019-1-A1

        
 

VOLT LLC,

    4.21% ^§       10/26/2048       146,775,229       0.3%  
  145,904,123    

Series 2018-NPL8-A1A

        
 

Other Non-Agency Residential Collateralized Mortgage Obligationsµ

      12,970,212,810       23.8%  
        

 

 

   

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $15,287,217,299)

 

    15,359,992,550       28.2%  
      

 

 

   

 

 

 
  US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS      
 

Federal Home Loan Mortgage Corporation,

        
  29,148,652    

Series 4791-LI

    3.00% I/O       05/15/2048       3,321,783       0.0%  
  460,805,195    

Series 4791-JT

    3.00%        05/15/2048       470,406,900       0.9%  
  99,805,712    

Series 4792-A

    3.00%        05/15/2048       101,319,086       0.2%  
 

Federal Home Loan Mortgage Corporation,

        
  498,718,208    

Pool G08675

    3.00%        11/01/2045       511,343,289       0.9%  
  416,088,882    

Federal Home Loan Mortgage Corporation,

    3.00%        04/01/2045       426,610,748       0.8%  
 

Pool G08635

        
 

Pool Z40117

        
  351,391,063    

Federal Home Loan Mortgage Corporation,

    3.00%        02/15/2044       360,847,143       0.7%  
 

Series 4471-GA

        
 

Series 4527-CA

        
 

Series 4527-GA

        
 

Series 4588-DA

        
  189,940,145    

Federal Home Loan Mortgage Corporation,

    3.00%        06/15/2040       193,399,366       0.4%  
 

Series 4323-GA

        
 

Series 4390-NY

        
 

Federal Home Loan Mortgage Corporation,

    3.00%        06/01/2045       333,749,957       0.6%  
  325,492,220    

Pool G08648

        
 

Federal Home Loan Mortgage Corporation,

        
  173,221,785    

Series 4573-CA

    3.00%        11/15/2044       178,520,034       0.3%  
 

Federal Home Loan Mortgage Corporation,

    2.88%  I/F       06/15/2043       158,814,842       0.3%  
  158,263,310    

Series 4212-US (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

        

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   23


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

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $     OF NET
ASSETS
 
 

Federal Home Loan Mortgage Corporation,

    3.00%       02/01/2046       200,316,495       0.4%  
  195,372,132    

Pool G08692

       
  241,286,935    

Federal Home Loan Mortgage Corporation,

    3.00%       12/15/2041       247,497,806       0.5%  
 

Series 4471-BA

       
 

Series 4471-BC

       
 

Federal Home Loan Mortgage Corporation,

    3.50%       01/01/2046       193,159,467       0.3%  
  184,377,367    

Pool G60393

       
 

Federal Home Loan Mortgage Corporation,

    3.00%       02/01/2045       155,812,647       0.3%  
  151,895,581    

Pool G08626

       
  244,068,338    

Federal Home Loan Mortgage Corporation,

    3.00%       12/01/2045       250,313,685       0.5%  
 

Pool G08680

       
 

Pool V82117

       
  163,542,034    

Federal Home Loan Mortgage Corporation,

    3.00%       08/01/2045       167,929,474       0.3%  
 

Pool G08658

       
 

Pool V81821

       
  296,120,694    

Federal Home Loan Mortgage Corporation,

    3.00%       06/15/2044       303,735,218       0.6%  
 

Series 4483-CA

       
 

Series 4533-AB

       
  165,785,142    

Federal Home Loan Mortgage Corporation,

    3.00% >      09/15/2044       170,270,404       0.3%  
 

Series 4384-ZY

       
 

Series 4390-NZ

       
  4,173,519,879    

Federal Home Loan Mortgage Corporation

    0.00% – 14.50% I/F I/O P/O >      12/15/2030 – 10/15/2049       4,242,356,793       7.8%  
  2,113,547,568    

Federal Home Loan Mortgage Corporation

    2.50% – 5.00%       03/01/2028 – 06/01/2048       2,184,586,198       4.0%  
  167,379,856    

Federal Home Loan Mortgage Association,

    3.00% >      05/15/2048       178,217,184       0.3%  
 

Series 2014-21-GZ

       
 

Series 2015-88-BA

       
  262,244,131    

Federal National Mortgage Association,

    3.00%       08/01/2046       264,761,494       0.5%  
 

Pool AS7661

       
 

Pool MA2711

       
  454,637,323    

Federal National Mortgage Association,

    3.00%       06/25/2048       466,789,124       0.9%  
 

Series 2018-36-A

       
 

Series 2018-38-JB

       
 

Series 2018-39-AB

       
  147,620,071    

Federal National Mortgage Association,

    4.00%       04/25/2042       161,670,639       0.3%  
 

Series 2018-36-A

       
 

Series 2018-38-JB

       
 

Series 2018-39-AB

       
 

Federal National Mortgage Association,

    3.00%       12/25/2047       219,416,346       0.4%  
  216,515,429    

Series 2018-27-JA

       
  236,857,594    

Federal National Mortgage Association,

    3.00% # ^      10/25/2044       243,565,029       0.4%  
 

Series 2014-60-EZ

       
 

Series 2014-61-ZV

       
 

Series 2014-64-NZ

       
 

Series 2014-67-DZ

       
 

Series 2016-32-LA

       
  5,473,891,908    

Federal National Mortgage Association

    2.27% – 6.50%       07/01/2020 – 09/01/2053       5,661,279,365       10.4%  
  3,866,108,493    

Federal National Mortgage Association

    0.00% – 31.90% # I/F I/O P/O >      01/25/2026 – 10/25/2050       3,749,766,773       6.9%  
  440,728,084    

Federal National Mortgage Association

    2.29% – 2.62%       10/25/2029 – 12/25/2031       447,529,584       0.8%  
  177,659,964    

Federal National Mortgage Association Pass-Thru,

    3.00%       12/01/2044       182,212,225       0.3%  
 

Pool AS3961

       
 

Pool AS4154

       
  175,170,109    

Federal National Mortgage Association Pass-Thru,

    3.00%       11/01/2042       180,605,290       0.3%  
 

Pool AB6854

       
 

Pool AB7077

       
  532,562,186    

Federal National Mortgage Association Pass-Thru,

    3.00%       03/01/2045       460,870,342       0.8%  
 

Pool AS4625

       
 

Pool AS4645

       
 

Pool AY3974

       
 

Pool AY5471

       
  322,718,094    

Federal National Mortgage Association Pass-Thru,

    3.00%       11/01/2046       329,679,974       0.6%  
 

Pool BC9003

       
 

Pool AS8269

       
 

Pool AS8356

       
 

Pool MA2806

       

 

24   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $/
SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
  152,853,091    

Federal National Mortgage Association Pass-Thru,

    3.50%        09/01/2042       155,918,371       0.3%  
 

Pool AP4787

        
 

Pool AP4789

        
 

Pool MA1179

        
 

Other US Government and Agency Mortgage Backed Obligations µ

         879,986,905       1.6%  
      

 

 

   

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $23,556,742,141)

 

    24,436,579,980       44.9%  
      

 

 

   

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS         
  1,508,200,000    

United States Treasury Notes

    2.38%        05/15/2029       1,602,285,754       2.9%  
  600,000,000    

United States Treasury Notes

    2.88%        05/15/2028       658,734,372       1.2%  
  500,000,000    

United States Treasury Notes

    3.13%        11/15/2028       561,552,735       1.0%  
  500,000,000    

United States Treasury Notes

    2.25%        02/15/2027       521,757,810       1.0%  
  500,000,000    

United States Treasury Notes

    2.00%        11/15/2026       512,841,795       1.0%  
  370,800,000    

United States Treasury Notes

    2.63%        02/15/2029       401,485,150       0.7%  
  300,000,000    

United States Treasury Notes

    2.88%        08/15/2028       329,964,843       0.6%  
  100,000,000    

United States Treasury Notes

    2.88%        05/15/2049       116,750,000       0.2%  
 

Other US Government and Agency Obligationsµ

         83,233,620       0.2%  
      

 

 

   

 

 

 
  Total US Government and Agency Obligations
(Cost $4,517,825,272)

 

    4,788,606,079       8.8%  
      

 

 

   

 

 

 
  AFFILIATED MUTUAL FUNDSµ         
  Total Affiliated Mutual Funds
(Cost $70,000,000)

 

       69,980,655       0.1%  
      

 

 

   

 

 

 
  SHORT TERM INVESTMENTS         
  406,895,506    

First American Government Obligations Fund - Class U

    1.88% ¨         406,895,506       0.7%  
  406,895,506    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         406,895,506       0.7%  
  406,895,506    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         406,895,506       0.7%  
  250,000,000    

United States Treasury Bills

    0.00%        10/15/2019       249,830,753       0.5%  
  250,000,000    

United States Treasury Bills

    0.00%        10/22/2019       249,737,258       0.5%  
        

 

 

   

 

 

 
  Total Short Term Investments
(Cost $1,720,211,759)
         1,720,254,529       3.2%  
      

 

 

   

 

 

 
  Total Investments
(Cost $53,757,321,814)
         54,833,645,084       100.7%  
  Other Assets in Excess of Liabilities          (392,031,038     (0.7)%  
      

 

 

   

 

 

 
  NET ASSETS        $ 54,441,614,046       100.0%  
      

 

 

   

 

 

 
SECURITY TYPE BREAKDOWN as a % of Net Assets:       

US Government and Agency Mortgage Backed Obligations

         44.9%  

Non-Agency Residential Collateralized Mortgage Obligations

         28.2%  

US Government and Agency Obligations

         8.8%  

Non-Agency Commercial Mortgage Backed Obligations

         6.7%  

Collateralized Loan Obligations

         4.9%  

Asset Backed Obligations

         3.9%  

Short Term Investments

         3.2%  

Affiliated Mutual Funds

         0.1%  

Other Assets and Liabilities

         (0.7)%  
      

 

 

 
         100.0%  
      

 

 

 

    

 
µ

Represents issues not identified as the 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 September 30, 2019.

 

^

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.

 

#

Includes variable rate securities. Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

P/O

Includes principal only securities

 

I/O

Includes interest only securities

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   25


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

(Unaudited)

September 30, 2019

 

 

I/F

Includes inverse floating rate securities whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

 

>

Includes U.S. Agency bonds that accrue interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019.

 

Futures Contracts          
Description    Long/Short    Contract Quantity    Expiration Date    Notional Amount•    Value/
Unrealized
Appreciation
(Depreciation)

Ultra 10-Year US Treasury Note Future

   Long        250        12/19/2019        35,601,563      $ (217,327 )

US Treasury Long Bond Future

   Long        1,750        12/19/2019        284,046,875        (1,752,597 )

CME Ultra Long Term US Treasury Bond Future

   Long        1,500        12/19/2019        287,859,375        (4,683,363 )

10-Year US Treasury Note Future

   Long        4,000        12/19/2019        521,250,000        (5,227,208 )
                      

 

 

 
                       $ (11,880,495 )
                      

 

 

 

 

Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.

A summary of the DoubleLine Total Return Bond Fund’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund    Value at
March 31,
2019
   Gross
Purchases
   Gross
Sales
   Shares Held at
September 30,
2019
   Value at
September 30,
2019
   Change in
Unrealized for the
Period Ended
September 30,
2019
   Dividend Income
Earned in the
Period Ended
September 30,
2019
   Net Realized
Gain (Loss) in
the Period Ended
September 30,
2019

DoubleLine Income Fund (Class I)

     $ —        $  70,000,000      $ —          7,026,170      $  69,980,655      $  (19,345 )      $  109,256      $ —  
    

 

 

 

 

26   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments - Summary   DoubleLine Core Fixed Income Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
  ASSET BACKED OBLIGATIONSµ  
  Total Asset Backed Obligations
(Cost $286,808,925)
         293,260,793       2.3%  
        

 

 

   

 

 

 
  BANK LOANSµ  
  Total Bank Loans
(Cost $324,464,506)
         317,687,745       2.5%  
        

 

 

   

 

 

 
  COLLATERALIZED LOAN OBLIGATIONSµ  
  Total Collateralized Loan Obligations
(Cost $359,819,072)
         351,300,022       2.8%  
        

 

 

   

 

 

 
  FOREIGN CORPORATE BONDSµ  
  Total Foreign Corporate Bonds
(Cost $1,572,800,118)
         1,611,834,402       12.8%  
        

 

 

   

 

 

 
  FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONSµ  
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $117,404,889)

 

    122,181,862       1.0%  
        

 

 

   

 

 

 
  MUNICIPAL BONDSµ  
  Total Municipal Bonds
(Cost $9,996,738)
         11,048,461       0.1%  
        

 

 

   

 

 

 
  NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONSµ  
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $920,014,224)
         927,903,562       7.3%  
        

 

 

   

 

 

 
  NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS  
 

Citigroup Mortgage Loan Trust,

 

 
  44,324,273    

Series 2019-A-PT1

    3.92% ^       10/25/2058       44,514,398       0.4%  
 

CSMC Trust,

 

 
  43,843,278    

Series 2018-RPL8-A1

    4.13% #^       07/25/2058       44,331,061       0.4%  
 

Legacy Mortgage Asset Trust,

 

 
  36,322,145    

Series 2018-GS2-A1

    4.00% ^§       04/25/2058       36,788,137       0.3%  
 

Legacy Mortgage Asset Trust,

 

 
  47,813,908    

Series 2018-SL1-A

    4.00% #^       02/25/2058       48,289,288       0.4%  
 

Legacy Mortgage Asset Trust,

 

 
  39,576,085    

Series 2019-RPL3-PT1

    4.00% ^§       04/25/2058       40,441,931       0.3%  
 

Other Non-Agency Residential Collateralized Mortgage Obligationsµ

      925,563,842       7.2%  
        

 

 

   

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $1,117,707,538)

 

    1,139,928,657       9.0%  
        

 

 

   

 

 

 
  US CORPORATE BONDSµ  
  Total US Corporate Bonds
(Cost $1,529,571,447)
         1,610,166,786       12.7%  
        

 

 

   

 

 

 
  US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS    
 

Federal Home Loan Mortgage Corporation,

 

 
  61,624,166    

Pool G61645

    4.00%        10/01/2048       64,121,279       0.5%  
 

Federal Home Loan Mortgage Corporation,

 

 
  43,526,209    

Pool Q51461

    3.50%        10/01/2047       45,000,212       0.4%  
 

Federal Home Loan Mortgage Corporation,

 

 
  54,721,509    

Pool SD0035

    3.00%        04/01/2047       56,004,963       0.4%  
 

Federal Home Loan Mortgage Corporation,

 

 
  35,084,510    

Pool ZT1827

    3.00%        07/01/2047       35,954,640       0.3%  
 

Federal Home Loan Mortgage Corporation,

 

 
  57,760,990    

Series 358-300

    3.00%        10/15/2047       59,338,964       0.5%  
 

Federal Home Loan Mortgage Corporation,

 

 
  48,494,540    

Series 4542-AC

    2.70%        01/15/2045       49,190,776       0.4%  
 

Federal Home Loan Mortgage Corporation,

 

 
  85,741,053    

Series 4750-PA

    3.00%        07/15/2046       87,106,419       0.7%  

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   27


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

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $/
SHARES

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $     OF NET
ASSETS
 
 

Federal Home Loan Mortgage Corporation,

 

 
  64,442,534    

Series 4752-PL

    3.00%       09/15/2046       66,644,522       0.5%  
 

Federal Home Loan Mortgage Corporation,

 

 
  41,754,683    

Pool G08701

    3.00%       04/01/2046       42,812,943       0.3%  
  295,441,632    

Federal Home Loan Mortgage Corporation

    2.92% – 9.23% I/F I/O P/O>      12/15/2030 – 01/15/2054       305,429,021       2.4%  
  67,256,421    

Federal Home Loan Mortgage Corporation

    3.00% – 5.50%       07/01/2035 – 04/01/2047       69,936,911       0.5%  
  51,850,586    

Federal National Mortgage Association,

    3.00%       08/01/2046       52,348,705       0.4%  
 

Pool AS7661

       
 

Pool MA2711

       
  110,429,000    

Federal National Mortgage Association,

    2.14%       10/25/2029       109,898,940       0.9%  
 

Pool JM2334

       
 

Pool JM2336

       
 

Pool JM2337

       
 

Pool JM2338

       
  87,942,681    

Federal National Mortgage Association,

    3.00%       06/25/2048       90,307,036       0.7%  
 

Series 2018-36-A

       
 

Series 2018-39-AB

       
 

Federal National Mortgage Association,

 

     
  87,484,466    

Series 2018-21-PO

    0.00% P/O      04/25/2048       80,259,754       0.6%  
  35,699,854    

Federal National Mortgage Association,

    3.00% >      11/25/2044       36,297,467       0.3%  
 

Series 2014-70-VZ

       
 

Series 2014-73-CZ

       
  57,208,065    

Federal National Mortgage Association,

    3.00%       12/25/2047       57,974,550       0.5%  
 

Series 2018-27-JA

       
  158,406,564    

Federal National Mortgage Association,

    0.00% P/O      05/25/2048       139,786,712       1.1%  
 

Series 2018-35-PO

       
  179,257,730    

Federal National Mortgage Association

    2.48% – 20.48% I/F I/O>      4/25/2026 – 4/25/2050       133,525,528       1.1%  
  306,805,822    

Federal National Mortgage Association

    2.50% – 5.00%       12/01/2029 – 04/01/2047       314,389,899       2.5%  
  53,418,000    

Federal National Mortgage Association

    2.28% – 2.46%       10/01/2029 – 10/25/2031       53,752,468       0.4%  
 

Other US Government and Agency Mortgage Backed Obligationsµ

        96,079,785       0.8%  
       

 

 

   

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $1,961,783,336)

 

      2,046,161,494       16.2%  
       

 

 

   

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS  
  117,162,206    

United States Treasury Inflation Indexed Bonds

    1.00%       02/15/2046       130,868,982       1.0%  
  59,747,268    

United States Treasury Inflation Indexed Bonds

    0.88%       01/15/2029       63,546,143       0.5%  
  197,750,000    

United States Treasury Notes

    1.75%       11/30/2021       198,225,063       1.6%  
  169,900,000    

United States Treasury Notes

    2.88%       10/15/2021       174,074,496       1.4%  
  142,100,000    

United States Treasury Notes

    2.25%       08/15/2027       148,588,863       1.2%  
  143,550,000    

United States Treasury Notes

    2.63%       02/28/2023       148,540,605       1.2%  
  139,250,000    

United States Treasury Notes

    2.25%       10/31/2024       143,859,937       1.1%  
  122,000,000    

United States Treasury Notes

    2.25%       11/15/2027       127,652,031       1.0%  
  122,300,000    

United States Treasury Notes

    2.13%       09/30/2024       125,560,538       1.0%  
  118,400,000    

United States Treasury Notes

    2.50%       03/31/2023       122,155,500       1.0%  
  116,100,000    

United States Treasury Notes

    2.75%       04/30/2023       120,834,703       1.0%  
  96,700,000    

United States Treasury Notes

    2.38%       05/15/2027       101,910,846       0.8%  
  95,700,000    

United States Treasury Notes

    1.63%       05/31/2023       95,913,082       0.8%  
  83,200,000    

United States Treasury Notes

    2.75%       11/15/2047       94,331,250       0.7%  
  86,150,000    

United States Treasury Notes

    3.00%       09/30/2025       92,999,935       0.7%  
  77,750,000    

United States Treasury Notes

    3.13%       02/15/2043       92,817,099       0.7%  
  61,200,000    

United States Treasury Notes

    3.75%       11/15/2043       80,576,015       0.6%  
  62,250,000    

United States Treasury Notes

    3.63%       08/15/2043       80,359,644       0.6%  
  73,300,000    

United States Treasury Notes

    2.75%       08/15/2021       74,745,957       0.6%  
  63,900,000    

United States Treasury Notes

    2.75%       02/28/2025       67,766,449       0.5%  
  65,400,000    

United States Treasury Notes

    2.50%       01/15/2022       66,676,066       0.5%  
  49,500,000    

United States Treasury Notes

    1.88%       08/31/2024       50,243,467       0.4%  
  36,000,000    

United States Treasury Notes

    2.63% – 2.75%       01/31/20206 – 11/15/2042       39,034,735       0.4%  
       

 

 

   

 

 

 
  Total US Government and Agency Obligations
(Cost $2,316,038,382)

 

    2,441,281,406       19.3%  
       

 

 

   

 

 

 
  AFFILIATED MUTUAL FUNDS  
  84,724,040    

DoubleLine Global Bond Fund (Class I)

        874,352,093       6.9%  
  45,674,545    

DoubleLine Infrastructure Income Fund (Class I)

        476,385,502       3.8%  
  5,000,000    

DoubleLine Long Duration Total Return Bond Fund (Class I)

        54,700,000       0.4%  
       

 

 

   

 

 

 
  Total Affiliated Mutual Funds
(Cost $1,378,400,000)

 

    1,405,437,595       11.1%  
       

 

 

   

 

 

 

 

28   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $/
SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
  EXCHANGE TRADED FUNDS AND COMMON STOCKSµ  
  Total Exchange Traded Funds and Common Stocks
(Cost $11,867,203)

 

    1,310,765       0.0%  
        

 

 

   

 

 

 
  WARRANTSµ  
  Total Warrants
(Cost $—)

 

    —         0.0%  
        

 

 

   

 

 

 
  SHORT TERM INVESTMENTS  
  134,370,719    

First American Government Obligations Fund - Class U

    1.88% ¨         134,370,719       1.1%  
  134,370,719    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         134,370,719       1.1%  
  134,370,719    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         134,370,719       1.1%  
  6,650,000    

United States Treasury Bills

    0.00%        11/07/2019       6,638,290       0.0%  
  169,000,000    

United States Treasury Bills

    0.00%        09/10/2020       166,234,561       1.3%  
        

 

 

   

 

 

 
  Total Short Term Investments
(Cost $575,905,061)

 

    575,985,008       4.6%  
        

 

 

   

 

 

 
  Total Investments
(Cost $12,482,581,439)

 

    12,855,488,558       101.7%  
  Liabilities in Excess of Other Assets

 

    (216,050,542     (1.7)%  
        

 

 

   

 

 

 
  NET ASSETS

 

  $ 12,639,438,016       100.0%  
        

 

 

   

 

 

 
SECURITY TYPE BREAKDOWN as a % of Net Assets:     

US Government and Agency Obligations

       19.3%  

US Government and Agency Mortgage Backed Obligations

       16.2%  

Foreign Corporate Bonds

       12.8%  

US Corporate Bonds

       12.7%  

Affiliated Mutual Funds

       11.1%  

Non-Agency Residential Collateralized Mortgage Obligations

       9.0%  

Non-Agency Commercial Mortgage Backed Obligations

       7.3%  

Short Term Investments

       4.6%  

Collateralized Loan Obligations

       2.8%  

Bank Loans

       2.5%  

Asset Backed Obligations

       2.3%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

       1.0%  

Municipal Bonds

       0.1%  

Exchange Traded Funds and Common Stocks

       0.0% ~ 

Warrants

       0.0% ~ 

Other Assets and Liabilities

       (1.7)%  
    

 

 

 
       100.0%  
    

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:       

US Government and Agency Obligations

         19.3%  

US Government and Agency Mortgage Backed Obligations

         16.2%  

Affiliated Mutual Funds

         11.1%  

Non-Agency Residential Collateralized Mortgage Obligations

         9.0%  

Non-Agency Commercial Mortgage Backed Obligations

         7.3%  

Banking

         5.3%  

Short Term Investments

         4.6%  

Energy

         2.9%  

Collateralized Loan Obligations

         2.8%  

Utilities

         2.4%  

Asset Backed Obligations

         2.3%  

Telecommunications

         2.1%  

Finance

         1.3%  

Healthcare

         1.2%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         1.1%  

INVESTMENT BREAKDOWN as a % of Net Assets:

(Cont.)

Media

         1.0%  

Transportation

         0.9%  

Insurance

         0.8%  

Consumer Products

         0.7%  

Real Estate

         0.7%  

Technology

         0.7%  

Chemicals/Plastics

         0.7%  

Mining

         0.6%  

Pharmaceuticals

         0.6%  

Food Products

         0.5%  

Automotive

         0.5%  

Aerospace & Defense

         0.4%  

Beverage and Tobacco

         0.4%  

Hotels/Motels/Inns and Casinos

         0.4%  

Retailers (other than Food/Drug)

         0.4%  

Electronics/Electric

         0.4%  

Pulp & Paper

         0.3%  

Leisure

         0.3%  

Construction

         0.3%  

Building and Development (including Steel/Metals)

         0.3%  

Food Service

         0.2%  

Business Equipment and Services

         0.2%  

Containers and Glass Products

         0.2%  

Environmental Control

         0.2%  

Commercial Services

         0.2%  

Diversified Manufacturing

         0.2%  

Food/Drug Retailers

         0.2%  

Municipal Bonds

         0.1%  

Conglomerates

         0.1%  

Financial Intermediaries

         0.1%  

Industrial Equipment

         0.1%  

Chemical Products

         0.1%  

Cosmetics/Toiletries

         0.0% ~ 

Other Assets and Liabilities

         (1.7)%  
      

 

 

 
         100.0%  
      

 

 

 
 
µ

Represents issues not identified as the 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 September 30, 2019.

 

^

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.

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   29


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

(Unaudited)

September 30, 2019

 

 

#

Includes variable rate securities. Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

I/F

Includes inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

 

I/O

Includes interest only securities

 

P/O

Includes principal only securities

 

>

Includes U.S. Agency bonds that accrue interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019.

 

~

Represents less than 0.05% of net assets.

A summary of the DoubleLine Core Fixed Income Fund’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund  

Value at
March 31,

2019

 

Gross

Purchases

 

Gross

Sales

 

Shares Held at

September 30,

2019

 

Value at

September 30,

2019

 

Change in

Unrealized for the

Period Ended

September 30,

2019

 

Dividend Income

Earned in the

Period Ended

September 30,

2019

 

Net Realized

Gain (Loss) in

the Period Ended

September 30,

2019

DoubleLine Global Bond Fund (Class I)

    $ 779,217,300     $ 93,000,000     $ —         84,724,040     $ 874,352,093     $ 2,134,793     $ 7,772,574     $ —  

DoubleLine Infrastructure Income Fund (Class I)

      461,769,648       —         —         45,674,545       476,385,502       14,615,854       6,679,524       —  

DoubleLine Long Duration Total Return Bond Fund (Class I)

      49,400,000       —         —         5,000,000       54,700,000       5,300,000       696,399       —  
   

 

 

 
    $ 1,290,386,948     $ 93,000,000     $ —         135,398,585     $ 1,405,437,595     $ 22,050,647     $ 15,148,497     $ —  
   

 

 

 

 

30   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments  DoubleLine Emerging Markets Fixed Income Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  FOREIGN CORPORATE BONDS 92.2%  
  ARGENTINA 3.3%  
  2,350,000    

Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)

    6.75% ^       11/04/2026       1,627,375  
  9,650,000    

Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)

    6.75%        11/04/2026       6,682,625  
  14,245,000    

Pampa Energia S.A.

    7.50%        01/24/2027       10,861,813  
  1,000,000    

Pampa Energia S.A.

    9.13% ^       04/15/2029       795,610  
  9,918,530    

Stoneway Capital Corporation

    10.00%        03/01/2027       5,975,914  
  700,000    

Telecom Argentina SA

    8.00% ^       07/18/2026       614,250  
  10,800,000    

YPF S.A.

    8.50%        07/28/2025       8,532,108  
  4,400,000    

YPF S.A.

    6.95%        07/21/2027       3,371,280  
        

 

 

 
           38,460,975  
        

 

 

 
  BRAZIL 14.5%  
  18,400,000    

Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%)

    7.75% ^       02/15/2029       19,228,000  
  18,700,000    

Banco do Brasil S.A. (10 Year CMT Rate + 4.40%)

     6.25%        04/15/2024       18,466,250  
  3,000,000    

Braskem Finance Ltd.

    5.75%        04/15/2021       3,120,030  
  4,700,000    

CIMPOR Financial Operations B.V.

    5.75%        07/17/2024       3,536,750  
  7,631,000    

Cosan Overseas Ltd.

     8.25%        11/05/2019       7,917,239  
  5,100,000    

CSN Islands Corporation

     7.00%        12/23/2019       4,465,739  
  4,900,000    

CSN Resources S.A.

    7.63%        02/13/2023       5,126,625  
  7,100,000    

CSN Resources S.A.

    7.63% ^       04/17/2026       7,384,816  
  600,000    

CSN Resources S.A.

    7.63%        04/17/2026       624,069  
  1,800,000    

Globo Comunicacao e Participacoes S.A.

    4.88%        04/11/2022       1,868,643  
  1,929,352    

Invepar Holdings

    0.00% WÞ       12/30/2028       82,503  
  3,800,000    

Itau Unibanco Holding S.A.

    6.20%        12/21/2021       4,037,538  
  8,000,000    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.86%)

     6.50%        03/19/2023       8,257,600  
  3,555,000    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)

     6.13%        12/12/2022       3,594,105  
  1,528,000    

JBS Investments GMBH

    6.25%        02/05/2023       1,558,575  
  8,300,000    

JBS Investments GMBH

    7.00% ^       01/15/2026       8,976,367  
  6,300,000    

JBS Investments GMBH

    5.75% ^       01/15/2028       6,575,625  
  15,200,000    

JSL Europe S.A.

    7.75%        07/26/2024       16,378,456  
  3,500,000    

MARB BondCo PLC

    7.00% ^       03/15/2024       3,657,535  
  500,000    

MARB BondCo PLC

    7.00%        03/15/2024       522,505  
  10,880,000    

MARB BondCo PLC

    6.88%        01/19/2025       11,402,240  
  9,000,000    

Minerva Luxembourg S.A.

    6.50%        09/20/2026       9,395,550  
  6,907,000    

Minerva Luxembourg S.A.

    5.88%        01/19/2028       6,942,916  
  3,000,000    

NBM US Holdings, Inc.

    7.00% ^       05/14/2026       3,155,625  
  5,000,000    

Petrobras Global Finance B.V.

    5.75%        02/01/2029       5,526,900  
  3,450,000    

Petrobras Global Finance B.V.

    7.25%        03/17/2044       4,138,275  
  3,750,000    

Petrobras Global Finance B.V.

    6.90%        03/19/2049       4,308,750  
        

 

 

 
           170,249,226  
        

 

 

 
  CHILE 10.7%  
  500,000    

AES Gener S.A.

    5.00%        07/14/2025       523,812  
  9,000,000    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

    7.13% ^       03/26/2079       9,461,250  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  6,800,000    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

    7.13%        03/26/2079       7,148,500  
  2,000,000    

Banco de Credito e Inversiones

    4.00%        02/11/2023       2,097,797  
  1,500,000    

Celulosa Arauco y Constitucion S.A.

    4.75%        01/11/2022       1,561,875  
  5,700,000    

Celulosa Arauco y Constitucion S.A.

    5.50% ^       04/30/2049       6,334,125  
  6,500,000    

ECL S.A.

    5.63%        01/15/2021       6,774,961  
  8,000,000    

Embotelladora Andina S.A.

    5.00%        10/01/2023       8,616,073  
  2,260,700    

Empresa Electrica Angamos S.A.

    4.88%        05/25/2029       2,370,557  
  8,240,000    

Empresa Electrica Guacolda S.A.

    4.56%        04/30/2025       7,457,510  
  8,392,000    

ENTEL Chile S.A.

    4.75%        08/01/2026       8,874,408  
  13,000,000    

Geopark Ltd.

    6.50%        09/21/2024       13,422,500  
  5,138,476    

Guanay Finance Ltd.

    6.00%        12/15/2020       5,215,553  
  4,500,000    

Inversiones CMPC S.A.

    4.50%        04/25/2022       4,685,670  
  3,475,000    

Latam Finance Ltd.

    6.88%        04/11/2024       3,660,044  
  7,200,000    

Latam Finance Ltd.

    7.00% ^       03/01/2026       7,690,824  
  4,000,000    

SACI Falabella

    3.75%        04/30/2023       4,119,816  
  900,000    

Sociedad Quimica y Minera S.A.

    4.38%        01/28/2025       955,125  
  4,500,000    

SUAM Finance B.V.

    4.88%        04/17/2024       4,854,375  
  2,500,000    

Telefonica Chile S.A.

    3.88%        10/12/2022       2,589,000  
  900,000    

Transelec S.A.

    4.63%        07/26/2023       960,759  
  2,084,000    

VTR Finance B.V.

    6.88% ^       01/15/2024       2,151,730  
  13,768,000    

VTR Finance B.V.

    6.88%        01/15/2024       14,215,460  
        

 

 

 
           125,741,724  
        

 

 

 
  CHINA 2.2%  
  5,000,000    

CNOOC Finance Ltd.

    3.50%        05/05/2025       5,220,345  
  4,000,000    

Sinopec Group Overseas Development Ltd.

    2.75%        09/29/2026       4,000,913  
  250,000    

Syngenta Finance N.V.

    4.38%        03/28/2042       229,783  
  700,000    

Syngenta Finance N.V.

    5.68% ^       04/24/2048       724,816  
  15,500,000    

Syngenta Finance N.V.

    5.68%        04/24/2048       16,049,496  
        

 

 

 
           26,225,353  
        

 

 

 
  COLOMBIA 7.8%  
  3,150,000    

AI Candelaria Spain SLU

    7.50% ^       12/15/2028       3,587,094  
  5,700,000    

AI Candelaria Spain SLU

    7.50%        12/15/2028       6,490,932  
  5,400,000    

Bancolombia S.A.

    5.13%        09/11/2022       5,690,304  
  4,000,000    

Bancolombia S.A. (5 Year CMT Rate + 2.93%)

    4.88%        10/18/2027       4,125,000  
  1,000,000    

BBVA Colombia S.A.

    4.88%        04/21/2025       1,073,750  
  1,545,000    

Canacol Energy Ltd.

    7.25% ^       05/03/2025       1,640,404  
  12,000,000    

Canacol Energy Ltd.

    7.25%        05/03/2025       12,741,000  
  2,200,000    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

     8.50%        03/30/2020       2,263,250  
  9,800,000    

Empresas Publicas de Medellin ESP

    4.25% ^       07/18/2029       10,328,220  
  2,000,000    

Fideicomiso Pacifico Tres

    8.25%        01/15/2035       2,280,000  
  1,500,000    

Gilex Holding Sarl

    8.50% ^       05/02/2023       1,614,390  
  4,568,000    

Gilex Holding Sarl

    8.50%        05/02/2023       4,916,355  
  400,000    

Gran Tierra Energy International Holdings Ltd.

    6.25% ^       02/15/2025       360,000  
  11,300,000    

Gran Tierra Energy International Holdings Ltd.

    6.25%        02/15/2025       10,170,000  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   31


Schedule of Investments  DoubleLine Emerging Markets Fixed Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  2,100,000    

Gran Tierra Energy, Inc.

    7.75% ^       05/23/2027       1,979,250  
  200,000    

Grupo Aval Ltd.

    4.75%        09/26/2022       207,200  
  4,000,000    

Millicom International Cellular S.A.

    6.00%        03/15/2025       4,160,000  
  6,700,000    

Millicom International Cellular S.A.

    5.13%        01/15/2028       7,010,545  
  6,500,000    

Millicom International Cellular S.A.

    6.25% ^       03/25/2029       7,114,900  
  2,500,000    

Oleoducto Central S.A.

    4.00%        05/07/2021       2,556,275  
  1,100,000    

Tecnoglass, Inc.

    8.20%        01/31/2022       1,190,750  
        

 

 

 
           91,499,619  
        

 

 

 
  COSTA RICA 0.1%  
  606,000    

Banco Nacional de Costa Rica

    5.88%        04/25/2021       617,671  
        

 

 

 
           617,671  
        

 

 

 
  DOMINICAN REPUBLIC 1.5%  
  7,500,000    

AES Andres B.V.

    7.95% ^       05/11/2026       8,015,625  
  4,000,000    

AES Dominicana

    7.95%        05/11/2026       4,275,000  
  1,800,000    

Banco de Reservas de la Republica Dominicana

    7.00% ^       02/01/2023       1,892,268  
  4,000,000    

Banco de Reservas de la Republica Dominicana

    7.00%        02/01/2023       4,205,040  
        

 

 

 
           18,387,933  
        

 

 

 
  GUATEMALA 1.0%  
  2,500,000    

Bantrab Senior Trust

    9.00%        11/14/2020       2,581,900  
  4,783,000    

Comcel Trust

    6.88%        02/06/2024       4,938,447  
  3,323,000    

Energuate Trust

    5.88%        05/03/2027       3,339,615  
  1,000,000    

Industrial Senior Trust

    5.50%        11/01/2022       1,048,750  
        

 

 

 
           11,908,712  
        

 

 

 
  HONG KONG 1.8%  
  5,000,000    

CK Hutchison International Ltd.

    3.50% ^       04/05/2027       5,254,237  
  15,950,000    

Radiant Access Ltd.

     4.60%        05/18/2020       15,650,937  
        

 

 

 
           20,905,174  
        

 

 

 
  INDIA 13.3%  
  4,432,000    

Adani Ports & Special Economic Zone Ltd.

    3.95%        01/19/2022       4,538,646  
  17,964,000    

Bharti Airtel Ltd.

    5.13%        03/11/2023       18,929,049  
  10,000,000    

Bharti Airtel Ltd.

    4.38%        06/10/2025       10,359,160  
  19,195,000    

BPRL International Singapore Pte Ltd.

    4.38%        01/18/2027       20,552,876  
  21,825,000    

Indian Oil Corporation Ltd.

    5.75%        08/01/2023       24,059,053  
  25,000,000    

ONGC Videsh Ltd.

    3.75%        07/27/2026       25,986,726  
  16,730,000    

Reliance Holdings, Inc.

    5.40%        02/14/2022       17,790,347  
  500,000    

Reliance Industries Ltd.

    8.25%        01/15/2027       661,089  
  9,500,000    

UPL Corporation Ltd.

    3.25%        10/13/2021       9,545,374  
  3,000,000    

UPL Corporation Ltd.

    4.50%        03/08/2028       3,114,786  
  4,800,000    

Vedanta Resources Finance PLC

    9.25% ^       04/23/2026       4,789,200  
  4,300,000    

Vedanta Resources PLC

    7.13%        05/31/2023       4,253,775  
  13,100,000    

Vedanta Resources PLC

    6.13%        08/09/2024       12,102,900  
        

 

 

 
           156,682,981  
        

 

 

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  INDONESIA 4.9%  
  13,550,000    

Freeport-McMoRan Copper & Gold, Inc.

    5.40%        11/14/2034       12,940,250  
  8,800,000    

Freeport-McMoRan Copper & Gold, Inc.

    5.45%        03/15/2043       7,967,344  
  8,893,800    

LLPL Capital Pte Ltd.

    6.88% ^       02/04/2039       10,359,943  
  7,000,000    

Minejesa Capital B.V.

    4.63%        08/10/2030       7,221,375  
  6,200,000    

Minejesa Capital B.V.

    5.63%        08/10/2037       6,718,802  
  191,600    

Star Energy Geothermal Wayang Windu Ltd.

    6.75% ^       04/24/2033       200,265  
  11,544,858    

Star Energy Geothermal Wayang Windu Ltd.

    6.75%        04/24/2033       12,066,970  
        

 

 

 
           57,474,949  
        

 

 

 
  ISRAEL 0.4%  
  1,300,000    

Delek & Avner Tamar Bond Ltd.

    5.08% ^       12/30/2023       1,337,811  
  2,320,000    

Delek & Avner Tamar Bond Ltd.

    5.41% ^       12/30/2025       2,403,589  
  1,000,000    

Israel Electric Corporation Ltd.

    5.00% ^       11/12/2024       1,103,000  
        

 

 

 
           4,844,400  
        

 

 

 
  JAMAICA 0.2%  
  19,583,417    

Digicel Group Two Ltd. (7.13% Cash + 2.00% PIK)

    9.13% ^       04/01/2024       2,056,259  
        

 

 

 
           2,056,259  
        

 

 

 
  MALAYSIA 2.4%  
  17,000,000    

Gohl Capital Ltd.

    4.25%        01/24/2027       17,810,248  
  8,000,000    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

    3.91%        10/29/2026       8,142,320  
  2,000,000    

Petronas Capital Ltd.

    3.50%        03/18/2025       2,107,387  
        

 

 

 
           28,059,955  
        

 

 

 
  MEXICO 12.8%  
  8,100,000    

Banco Mercantil de Norte (10 Year CMT Rate + 5.47%)

     7.50% ^       06/27/2029       8,231,625  
  16,472,000    

Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%)

     7.63%        01/10/2028       16,863,375  
  1,000,000    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 4.45%)

    5.75%        10/04/2031       1,003,760  
  3,000,000    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%)

     6.88%        07/06/2022       3,022,500  
  8,600,000    

Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) (5 Year CMT Rate + 3.00%)

    3.80%        08/11/2026       8,718,336  
  5,000,000    

Banco Santander (5 Year CMT Rate + 3.00%)

    5.95% ^       10/01/2028       5,373,750  
  17,500,000    

BBVA Bancomer S.A. (5 Year CMT Rate + 2.65%)

    5.13%        01/18/2033       16,734,375  
  3,061,000    

BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%)

    5.35%        11/12/2029       3,053,378  
  2,400,000    

BBVA Bancomer S.A. (5 Year CMT Rate + 4.31%)

    5.88% ^       09/13/2034       2,391,000  
  19,500,000    

Cometa Energia S.A. de C.V.

    6.38%        04/24/2035       20,816,250  
 

 

32   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  4,800,000    

Controladora Mabe S.A. de C.V.

    5.60%        10/23/2028       5,184,048  
  9,000,000    

Credito Real S.A.B. de C.V.

    9.50% ^       02/07/2026       10,395,000  
  5,983,000    

Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)

     9.13%        11/29/2022       6,162,550  
  5,500,000    

Docuformas SAPI de C.V.

    10.25% ^       07/24/2024       5,441,975  
  200,000    

El Puerto de Liverpool S.A.B. de C.V.

    3.88%        10/06/2026       203,752  
  4,000,000    

Fresnillo PLC

    5.50%        11/13/2023       4,370,040  
  4,900,000    

Grupo Bimbo S.A.B. de C.V. (5 Year CMT Rate + 3.28%)

     5.95%        04/17/2023       5,179,300  
  1,000,000    

Grupo Idesa S.A. de C.V.

    7.88% ^       12/18/2020       735,000  
  7,104,000    

Grupo Idesa S.A. de C.V.

    7.88%        12/18/2020       5,221,440  
  5,043,060    

Mexico Generadora de Energia

    5.50%        12/06/2032       5,446,555  
  1,000,000    

Unifin Financiera S.A.B. de C.V.

    7.38%        02/12/2026       982,510  
  17,533,000    

Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)

     8.88%        01/29/2025       15,648,378  
        

 

 

 
           151,178,897  
        

 

 

 
  PANAMA 6.5%  
  200,000    

Aeropuerto Internacional de Tocumen S.A.

    5.63%        05/18/2036       235,002  
  4,000,000    

Banistmo S.A.

    3.65% ^       09/19/2022       4,035,040  
  2,000,000    

C&W Senior Financing DAC

    7.50% ^       10/15/2026       2,115,000  
  800,000    

C&W Senior Financing DAC

    7.50%        10/15/2026       846,000  
  1,000,000    

C&W Senior Financing DAC

    6.88% ^       09/15/2027       1,040,000  
  15,743,000    

C&W Senior Financing DAC

    6.88%        09/15/2027       16,372,720  
  6,000,000    

Empresa de Transmision Electrica S.A.

    5.13% ^       05/02/2049       6,926,250  
  7,353,678    

ENA Norte Trust

    4.95%        04/25/2023       7,611,131  
  1,500,000    

Global Bank Corporation

    4.50% ^       10/20/2021       1,547,820  
  2,500,000    

Global Bank Corporation

    4.50%        10/20/2021       2,579,700  
  11,000,000    

Global Bank Corporation (3 Month LIBOR USD + 3.30%)

    5.25% ^       04/16/2029       11,682,000  
  11,104,119    

Panama Metro Line SP

    0.00% ^       12/05/2022       10,662,731  
  11,104,119    

Panama Metro Line SP

    0.00%        12/05/2022       10,662,730  
        

 

 

 
           76,316,124  
        

 

 

 
  PARAGUAY 0.2%  
  2,500,000    

Telefonica Celular del Paragu

    5.88% ^       04/15/2027       2,681,875  
        

 

 

 
           2,681,875  
        

 

 

 
  PERU 1.8%  
  3,900,000    

AJE Corporation B.V.

    6.50%        05/14/2022       3,719,625  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  2,100,000    

Banco International del Peru S.A.A. (3 Month LIBOR USD + 6.74%)

    8.50%        04/23/2070       2,168,271  
  200,000    

Inkia Energy Ltd.

    5.88% ^       11/09/2027       208,252  
  7,500,000    

Inkia Energy Ltd.

    5.88%        11/09/2027       7,809,450  
  2,000,000    

Orazul Energy Egenor S en C por A

    5.63%        04/28/2027       2,071,250  
  5,000,000    

Transportadora de Gas del Peru S.A.

    4.25%        04/30/2028       5,321,925  
        

 

 

 
           21,298,773  
        

 

 

 
  PHILIPPINES 1.2%  
  1,000,000    

BDO Unibank, Inc.

    2.63%        10/24/2021       1,004,269  
  13,500,000    

BDO Unibank, Inc.

    2.95%        03/06/2023       13,694,675  
        

 

 

 
           14,698,944  
        

 

 

 
  SINGAPORE 4.9%  
  1,100,000    

DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%)

    2.90%        07/25/2022       1,105,121  
  15,619,000    

DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%)

     3.60%        09/07/2021       15,697,095  
  1,500,000    

Oversea-Chinese Banking Ltd. (3 Month LIBOR USD + 0.45%)

    2.57%        05/17/2021       1,501,810  
  19,000,000    

Temasek Financial Ltd.

    2.38%        01/23/2023       19,281,368  
  6,500,000    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.79%)

     3.88%        10/19/2023       6,555,366  
  13,000,000    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%)

    3.50%        09/16/2026       13,160,940  
        

 

 

 
           57,301,700  
        

 

 

 
  THAILAND 0.7%  
  3,100,000    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%)

    3.00%        05/23/2024       3,110,809  
  400,000    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%)

    3.04%        11/20/2023       401,912  
  5,050,000    

PTTEP Treasury Center Company Ltd. (5 Year CMT Rate + 2.72%)

     4.60%        07/17/2022       5,174,725  
        

 

 

 
           8,687,446  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $1,079,631,361)

 

    1,085,278,690  
        

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   33


Schedule of Investments  DoubleLine Emerging Markets Fixed Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 5.9%
 
 
  COSTA RICA 1.4%  
  15,808,000    

Costa Rica Government International Bond

    10.00%        08/01/2020       16,657,838  
        

 

 

 
           16,657,838  
        

 

 

 
  DOMINICAN REPUBLIC 0.4%  
  4,000,000    

Dominican Republic International Bond

    6.40% ^       06/05/2049       4,270,040  
        

 

 

 
           4,270,040  
        

 

 

 
  INDONESIA 3.4%  
  3,200,000    

Perusahaan Penerbit

    3.40%        03/29/2022       3,270,880  
  7,900,000    

Perusahaan Penerbit

    4.15%        03/29/2027       8,468,800  
  13,708,000    

Perusahaan Penerbit

    3.75%        03/01/2023       14,220,474  
  13,500,000    

Perusahaan Penerbit

    4.15% ^       03/29/2027       14,472,000  
        

 

 

 
           40,432,154  
        

 

 

 
  PHILIPPINES 0.7%  
  7,000,000    

Philippine Government International Bond

    4.20%        01/21/2024       7,601,628  
        

 

 

 
           7,601,628  
        

 

 

 
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $66,871,135)

 

    68,961,660  
        

 

 

 
  EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.2%  
  228,497    

Frontera Energy Corporation

         2,207,286  
        

 

 

 
  Total Exchange Traded Funds and Common Stocks
(Cost $20,010,063)

 

    2,207,286  
        

 

 

 
  WARRANTS 0.0%  
  1,609,815    

OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00*Þ

         —    
        

 

 

 
  Total Warrants
(Cost $–)

 

    —    
        

 

 

 
  SHORT TERM INVESTMENTS 0.7%  
  2,952,461    

First American Government Obligations Fund - Class U

    1.88% ¨         2,952,461  
  2,952,462    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         2,952,462  
    
    
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  2,952,462    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         2,952,462  
        

 

 

 
  Total Short Term Investments
(Cost $8,857,385)

 

    8,857,385  
        

 

 

 
  Total Investments 99.0%
(Cost $1,175,369,944)

 

    1,165,305,021  
  Other Assets in Excess of Liabilities 1.0%

 

    12,302,091  
        

 

 

 
  NET ASSETS 100.0%

 

  $ 1,177,607,112  
        

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:       

Banking

         20.1%  

Energy

         15.1%  

Utilities

         13.5%  

Telecommunications

         9.2%  

Transportation

         7.4%  

Finance

         5.9%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         5.9%  

Consumer Products

         5.5%  

Mining

         3.9%  

Chemicals/Plastics

         2.6%  

Building and Development (including Steel/Metals)

         2.3%  

Hotels/Motels/Inns and Casinos

         1.5%  

Real Estate

         1.3%  

Pulp & Paper

         1.1%  

Containers and Glass Products

         1.1%  

Chemical Products

         0.8%  

Short Term Investments

         0.7%  

Conglomerates

         0.5%  

Retailers (other than Food/Drug)

         0.4%  

Media

         0.2%  

Construction

         0.0% ~ 

Other Assets and Liabilities

         1.0%  
      

 

 

 
         100.0%  
      

 

 

 

 

COUNTRY BREAKDOWN as a % of Net Assets:

 

Brazil

         14.5%  

India

         13.3%  

Mexico

         12.8%  

Chile

         10.7%  

Indonesia

         8.3%  

Colombia

         8.0%  

Panama

         6.5%  

Singapore

         4.9%  

Argentina

         3.3%  

Malaysia

         2.4%  

China

         2.2%  

Dominican Republic

         1.9%  

Philippines

         1.9%  

Peru

         1.8%  

Hong Kong

         1.8%  

Costa Rica

         1.5%  

Guatemala

         1.0%  

United States

         0.7%  

Thailand

         0.7%  

Israel

         0.4%  

Paraguay

         0.2%  

Jamaica

         0.2%  

Other Assets and Liabilities

         1.0%  
      

 

 

 
         100.0%  
      

 

 

 
 

 

34   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

^

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.

 

W

Security is in default or has failed to make a scheduled payment. Income is not being accrued.

 

Perpetual Maturity

 

Þ

Value determined using significant unobservable inputs.

 

¨

Seven-day yield as of September 30, 2019

 

BRL

Brazilian Real

 

*

Non-income producing security

 

~

Represents less than 0.05% of net assets

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   35


Schedule of Investments  DoubleLine Multi-Asset Growth Fund (Consolidated)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  ASSET BACKED OBLIGATIONS 0.0%  
 

Citi Held For Asset Issuance,

 

  11,222    

Series 2015-PM1-C

    5.01% ^      12/15/2021       11,229  
       

 

 

 
  Total Asset Backed Obligations
(Cost $11,219)

 

    11,229  
       

 

 

 
  COLLATERALIZED LOAN OBLIGATIONS 0.1%  
 

Brookside Mill Ltd.,

 

  1,000,000    

Series 2013-1A-SUB

    6.81% #^@Þ      01/17/2028       252,774  
       

 

 

 
  Total Collateralized Loan Obligations
(Cost $494,615)

 

    252,774  
       

 

 

 
 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 6.3%
 
 
 

Adjustable Rate Mortgage Trust,

 

  153,758    

Series 2006-1-2A1

    4.52% #      03/25/2036       122,846  
 

Alternative Loan Trust,

 

  356,766    

Series 2005-55CB-1A1

    5.50%       11/25/2035       333,821  
  273,152    

Series 2005-J8-1A5

    5.50%       07/25/2035       253,232  
  398,253    

Series 2006-OA7-1A2 (12 Month US Treasury Average + 0.94%, 0.94% Floor)

    3.39%       06/25/2046       373,019  
  344,009    

Series 2007-HY4-4A1

    3.97% #      06/25/2037       328,583  
 

Banc of America Alternative Loan Trust,

 

  342,013    

Series 2006-7-A4

    6.00% ß      10/25/2036       186,337  
 

BCAP LLC Trust,

 

  30,113    

Series 2007-AA2-2A5

    6.00%       04/25/2037       24,910  
  2,558,670    

Series 2009-RR4-1A2

    6.50% #^      06/26/2037       1,295,396  
 

Chase Mortgage Finance Trust

 

  217,150    

Series 2006-S2-1A13, Series 2006-S2-1A13

    6.25%       10/25/2036       162,051  
 

ChaseFlex Trust,

 

  177,808    

Series 2007-M1-2F4

    4.22% ß      08/25/2037       170,505  
 

CIM Trust,

 

  910,000    

Series 2017-3RR-B2

    10.97% #^Þ      01/27/2057       945,249  
 

Citicorp Mortgage Securities Trust,

 

  613    

Series 2007-2-3A1

    5.50%       02/25/2037       601  
 

Citigroup Mortgage Loan Trust, Inc.,

 

  57,061    

Series 2009-7-2A2

    5.50% ^      10/25/2021       56,510  
 

CitiMortgage Alternative Loan Trust,

 

  170,510    

Series 2007-A6-1A11

    6.00%       06/25/2037       168,764  
 

Countrywide Alternative Loan Trust,

 

  280,392    

Series 2005-48T1-A2

    5.50%       11/25/2035       250,735  
  535,276    

Series 2006-15CB-A1

    6.50%       06/25/2036       404,396  
  72,205    

Series 2006-32CB-A16

    5.50%       11/25/2036       60,096  
  719,655    

Series 2006-J1-2A1

    7.00%       02/25/2036       195,327  
  14,099    

Series 2007-17CB-1A10 (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap)

    20.62% I/F      08/25/2037       25,237  
  9,943    

Series 2007-21CB-2A2 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)

    20.33% I/F      09/25/2037       15,464  
 

Countrywide Home Loans,

 

  156,264    

Series 2007-10-A5

    6.00%       07/25/2037       129,938  
  8,502    

Series 2007-4-1A5

    6.50%       05/25/2037       6,798  
 

Credit Suisse First Boston Mortgage Securities Corporation,

 

  85,977    

Series 2005-8-1A3

    5.25%       09/25/2035       79,315  
 

Credit Suisse Mortgage Capital Certificates,

 

  32,799    

Series 2006-9-4A1

    6.00%       11/25/2036       21,471  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Deutsche Mortgage Securities, Inc.,

 

  59,150    

Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)

    9.29% ^ I/F      04/15/2036       57,769  
  242,462    

Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)

    9.29% ^ I/F      04/15/2036       239,686  
 

First Horizon Alternative Mortgage Securities Trust,

 

  34,798    

Series 2007-FA2-1A3

    6.00%       04/25/2037       23,638  
 

GreenPoint Mortgage Funding Trust,

 

  1,082,886    

Series 2005-AR3-2A1 (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap)

    2.28%       08/25/2045       764,210  
 

GSAA Home Equity Trust,

 

  1,000,000    

Series 2006-15-AF3B

    5.93% #      09/25/2036       124,349  
 

GSR Mortgage Loan Trust,

 

  70,900    

Series 2006-2F-2A20 (-1 x 1 Month LIBOR USD + 11.10%, 5.00% Floor, 11.10% Cap)

    9.00% I/F      02/25/2036       75,192  
 

HarborView Mortgage Loan Trust,

 

  429,266    

Series 2006-14-1A1A (1 Month LIBOR USD + 0.18%, 0.18% Floor)

    2.24%       01/25/2047       413,552  
  481,115    

Series 2007-3-1A1A (1 Month LIBOR USD + 0.20%)

    2.26%       05/19/2047       477,167  
 

JP Morgan Alternative Loan Trust,

 

  22,748    

Series 2005-S1-2A11

    6.00%       12/25/2035       21,566  
  329,702    

Series 2006-S1-1A3

    5.50%       03/25/2036       269,166  
 

JP Morgan Mortgage Acquisition Trust,

 

  117,443    

Series 2006-CH2-AF3

    5.46% ß      09/25/2029       94,538  
 

Lehman Mortgage Trust,

 

  61,462    

Series 2006-4-1A3
(-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

    3.38% I/F I/O      08/25/2036       10,315  
  3,841    

Series 2006-4-1A4

    6.00%       08/25/2036       3,720  
  776,198    

Series 2007-10-2A1

    6.50%       01/25/2038       508,848  
  35,472    

Series 2007-5-11A1

    5.10% #      06/25/2037       27,397  
  885,970    

Series 2007-5-1A3

    5.75%       06/25/2037       885,484  
 

Lehman XS Trust,

 

  134,333    

Series 2005-1-3A3A

    5.11%       07/25/2035       136,272  
 

MASTR Resecuritization Trust,

 

  202,455    

Series 2008-4-A1

    6.00% #^      06/27/2036       187,404  
 

Morgan Stanley Mortgage Loan Trust,

 

  1,417,752    

Series 2006-8AR-1A4 (1 Month LIBOR USD + 0.50%, 0.25% Floor)

    2.52%       06/25/2036       679,566  
  226,914    

Series 2007-13-6A1

    6.00%       10/25/2037       187,756  
 

Residential Accredit Loans, Inc.,

 

  144,486    

Series 2006-QS10-A9

    6.50%       08/25/2036       138,719  
  2,696    

Series 2006-QS13-1A8

    6.00%       09/25/2036       2,471  
  140,683    

Series 2006-QS2-1A4

    5.50%       02/25/2036       131,985  
  28,217    

Series 2006-QS7-A4 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap)

    2.42%       06/25/2036       21,556  
  84,651    

Series 2006-QS7-A5 (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

    3.58% I/F I/O      06/25/2036       12,713  
  53,372    

Series 2006-QS8-A4 (1 Month LIBOR USD + 0.45%, 0.45% Floor)

    2.47%       08/25/2036       42,175  
 

 

36   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Residential Accredit Loans, Inc., (Cont.)

 

  160,117    

Series 2006-QS8-A5 (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)

    3.53% I/F I/O      08/25/2036       22,747  
 

Residential Asset Mortgage Products, Inc.,

 

  188,713    

Series 2004-RS2-MII1 (1 Month LIBOR USD + 0.87%, 0.58% Floor, 14.00% Cap)

    2.89%       02/25/2034       186,910  
 

Residential Asset Securitization Trust,

 

  208,188    

Series 2005-A11-1A4

    5.50%       10/25/2035       195,223  
  16,538    

Series 2005-A12-A12

    5.50%       11/25/2035       15,010  
  420,798    

Series 2006-A16-1A3

    6.00%       02/25/2037       303,774  
  607,545    

Series 2006-A9CB-A6

    6.00%       09/25/2036       345,923  
  351,302    

Series 2007-A1-A8

    6.00%       03/25/2037       203,763  
  265,062    

Series 2007-A5-2A5

    6.00%       05/25/2037       227,251  
 

VOLT LLC,

 

  1,578,753    

Series 2018-NPL5-A1A

    4.21%       08/25/2048       1,586,800  
 

Washington Mutual Mortgage Pass-Through Certificates,

 

  240,141    

Series 2006-8-A6

    4.38% ß      10/25/2036       134,392  
       

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $15,183,443)

 

    14,369,608  
       

 

 

 
 
US GOVERNMENT AND AGENCY MORTGAGE BACKED
OBLIGATIONS 2.5%
 
 
 

Federal Home Loan Mortgage Corporation,

 

  43,952    

Series 3261-SA (-1 x 1 Month LIBOR USD + 6.43%, 6.43% Cap)

    4.40% I/F I/O      01/15/2037       7,703  
  84,156    

Series 3355-BI (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

    4.02% I/F I/O      08/15/2037       15,907  
  28,983    

Series 3384-S (-1 x 1 Month LIBOR USD + 6.39%, 6.39% Cap)

    4.36% I/F I/O      11/15/2037       3,556  
  100,165    

Series 3384-SG (-1 x 1 Month LIBOR USD + 6.31%, 6.31% Cap)

    4.28% I/F I/O      08/15/2036       14,791  
  39,407    

Series 3417-SX (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap)

    4.15% I/F I/O      02/15/2038       3,950  
  53,491    

Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)

    3.62% I/F I/O      03/15/2038       6,009  
  490,989    

Series 3423-TG (-1 x 1 Month LIBOR USD + 6.00%, 0.35% Cap)

    0.35% I/F I/O      03/15/2038       3,754  
  57,787    

Series 3500-SA (-1 x 1 Month LIBOR USD + 5.52%, 5.52% Cap)

    3.49% I/F I/O      01/15/2039       5,680  
  158,305    

Series 3523-SM (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

    3.97% I/F I/O      04/15/2039       25,467  
  12,493    

Series 3562-WS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)

    2.92% I/F I/O      08/15/2039       1,078  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Federal Home Loan Mortgage Corporation, (Cont.)

 

  133,509    

Series 3728-SV (-1 x 1 Month LIBOR USD + 4.45%, 4.45% Cap)

    2.42% I/F I/O      09/15/2040       10,595  
  122,141    

Series 3758-S (-1 x 1 Month LIBOR USD + 6.03%, 6.03% Cap)

    4.00% I/F I/O      11/15/2040       24,542  
  78,319    

Series 3779-DZ

    4.50%       12/15/2040       87,268  
  153,485    

Series 3815-ST (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap)

    3.82% I/F I/O      02/15/2041       23,181  
  55,255    

Series 3900-SB (-1 x 1 Month LIBOR USD + 5.97%, 5.97% Cap)

    3.94% I/F I/O      07/15/2041       7,355  
  607,508    

Series 4183-Z

    3.00% >      03/15/2043       642,942  
 

Federal National Mortgage Association,

 

  71,160    

Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap)

    4.56% I/F I/O      10/25/2036       14,104  
  37,195    

Series 2006-123-LI (-1 x 1 Month LIBOR USD + 6.32%, 6.32% Cap)

    4.30% I/F I/O      01/25/2037       7,106  
  267,931    

Series 2007-39-AI (-1 x 1 Month LIBOR USD + 6.12%, 6.12% Cap)

    4.10% I/F I/O      05/25/2037       47,188  
  113,777    

Series 2007-57-SX (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)

    4.60% I/F I/O      10/25/2036       15,512  
  7,603    

Series 2009-49-S (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)

    4.73% I/F I/O      07/25/2039       1,207  
  118,678    

Series 2009-86-CI (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap)

    3.78% I/F I/O      09/25/2036       11,913  
  36,577    

Series 2009-90-IA (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap)

    3.73% I/F I/O      03/25/2037       4,732  
  38,275    

Series 2009-90-IB (-1 x 1 Month LIBOR USD + 5.72%, 5.72% Cap)

    3.70% I/F I/O      04/25/2037       4,467  
  196,081    

Series 2010-39-SL (-1 x 1 Month LIBOR USD + 5.67%, 5.67% Cap)

    3.65% I/F I/O      05/25/2040       19,252  
  85,506    

Series 2011-5-PS (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap)

    4.38% I/F I/O      11/25/2040       6,044  
  403,406    

Series 2012-30-DZ

    4.00% >      04/25/2042       439,898  
  1,208,963    

Series 2013-53-ZC

    3.00% >      06/25/2043       1,233,319  
  1,129,030    

Series 2013-55-VZ

    3.00% >      06/25/2043       1,152,027  
  582,260    

Series 2014-58-VZ

    3.00% >      09/25/2044       594,601  
  586,863    

Series 2015-9-ZA

    3.50% >      03/25/2045       645,644  
 

Government National Mortgage Association,

 

  19,472    

Series 2009-6-SM
(-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)

    3.91% I/F I/O      02/20/2038       2,104  
  336,459    

Series 2011-45-GZ

    4.50%       03/20/2041       361,588  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   37


Schedule of Investments  DoubleLine Multi-Asset Growth Fund (Consolidated)  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $/
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Government National Mortgage Association, (Cont.)

 

  180,733    

Series 2011-7-LS
(-2 x 1 Month LIBOR USD + 9.88%, 9.88% Cap)

    5.79% I/F       12/20/2040       198,477  
        

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $5,180,228)

 

    5,642,961  
        

 

 

 
  REAL ESTATE INVESTMENT TRUSTS 1.3%  
  148,747    

Chimera Investment Corporation

         2,909,491  
        

 

 

 
  Total Real Estate Investment Trusts
(Cost $2,232,665)

 

    2,909,491  
        

 

 

 
  AFFILIATED MUTUAL FUNDS 28.7%  
  882,076    

DoubleLine Core Fixed Income Fund (Class I)

         9,817,509  
  1,011,049    

DoubleLine Flexible Income Fund (Class I)

         9,797,066  
  965,918    

DoubleLine Low Duration Bond Fund (Class I)

         9,688,158  
  3,300,984    

DoubleLine Total Return Bond Fund (Class I)

         35,485,583  
        

 

 

 
  Total Affiliated Mutual Funds
(Cost $66,150,315)

 

    64,788,316  
        

 

 

 
  EXCHANGE TRADED FUNDS AND COMMON STOCKS 20.0%  
  33,500    

Energy Select Sector SPDR Fund

         1,983,200  
  95,500    

iShares Core MSCI Emerging Markets ETF

         4,681,410  
  109,000    

iShares MSCI Australia Index ETF

         2,425,250  
  25,500    

iShares MSCI Brazil ETF

         1,074,315  
  139,000    

iShares MSCI Canada Index Fund

         4,017,100  
  36,000    

iShares MSCI Hong Kong Index ETF

         817,200  
  173,000    

iShares MSCI Japan ETF

         9,816,020  
  34,000    

iShares MSCI Singapore Capped ETF

         788,800  
  37,000    

iShares MSCI Sweden Capped ETF

         1,089,650  
  147,000    

SPDR Blackstone ETF

         6,809,040  
  181,000    

SPDR EURO STOXX 50 ETF

         6,830,940  
  43,000    

Utilities Select Sector SPDR Fund

         2,783,820  
  35,000    

Vanguard Global ex-U.S. Real Estate ETF

         2,050,650  
        

 

 

 
  Total Exchange Traded Funds and Common Stocks
(Cost $45,576,000)

 

    45,167,395  
        

 

 

 
    
    
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  SHORT TERM INVESTMENTS 37.2%  
  25,920,091    

First American Government Obligations Fund - Class U

    1.88% ¨         25,920,091  
  25,920,091    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         25,920,091  
  25,920,091    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         25,920,091  
  1,300,000    

United States Treasury Bills

     0.00%        10/08/2019       1,299,557  
  5,000,000    

United States Treasury Bills

     0.00%        11/14/2019       4,989,015  
        

 

 

 
  Total Short Term Investments
(Cost $84,045,497)

 

    84,048,845  
        

 

 

 
  Total Investments 96.1%
(Cost $218,873,982)

 

    217,190,619  
  Other Assets in Excess of Liabilities 3.9%

 

    8,809,792  
        

 

 

 
  NET ASSETS 100.0%        $ 226,000,411  
        

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Short Term Investments

         37.2%  

Affiliated Mutual Funds

         28.7%  

Exchange Traded Funds and Common Stocks

         20.0%  

Non-Agency Residential Collateralized Mortgage Obligations

         6.3%  

US Government and Agency Mortgage Backed Obligations

         2.5%  

Real Estate Investment Trusts

         1.3%  

Collateralized Loan Obligations

         0.1%  

Asset Backed Obligations

         0.0% ~ 

Other Assets and Liabilities

         3.9%  
      

 

 

 
         100.0%  
      

 

 

 
 

 

38   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

 

^

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.

 

#

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

ß

The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of September 30, 2019.

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

I/F

Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

 

I/O

Interest only security

 

@

Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of September 30, 2019.

 

Þ

Value determined using significant unobservable inputs.

 

All or a portion of this security has been pledged as collateral.

 

>

This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019

 

~

Represents less than 0.05% of net assets

 

Futures Contracts                
Description    Long/Short    Contract Quantity      Expiration Date      Notional Amount•      Value/Unrealized
Appreciation
(Depreciation)
 

FTSE 100 Index Future

   Long      63        12/20/2019        5,719,351      $ 69,240  

Ultra 10-Year US Treasury Note Future

   Long      41        12/19/2019        5,838,656        (35,642

CBOT 5 Year US Treasury Note Future

   Long      166        12/31/2019        19,778,641        (58,703

CME E-Mini Standard & Poor’s 500 Index Future

   Long      244        12/20/2019        36,337,700        (224,475

ICE US MSCI Emerging Markets EM Index Future

   Long      157        12/20/2019        7,864,915        (225,673
              

 

 

 
               $ (475,253
              

 

 

 

 

Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.

 

Swap Agreements                                        
Excess Return Swaps                                        
Reference Entity   Counterparty   Long/Short     Financing
Rate
    Payment
Frequency
    Termination
Date
    Notional
Amount
    Value/Unrealized
Appreciation
(Depreciation)
 

Shiller Barclays CAPE® US Sector ER II USD Index ¤

  Barclays Capital, Inc.     Long       0.40     Termination       07/31/2020       44,000,000     $ 201,407  

Short Commodity Basket Swap  LOGO

  Morgan Stanley     Short       (0.22 )%      Termination       10/03/2019       (4,290,000     (41,795

Long Commodity Basket Swap  LOGO

  Morgan Stanley     Long       0.19     Termination       10/03/2019       4,290,000       (112,676
             

 

 

 
              $ 46,936  
             

 

 

 

 

¤

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 of equity securities of companies in the relevant sector. Information on the sector constituents as of September 30, 2019, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E.

 

LOGO

Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the Morgan Stanley index. At September 30, 2019, all constituents and their weightings were as follows:

 

Sub-Index      Ticker      Contract Value d      Value of Index      Weightings

Morgan Stanley Gasoil Roll

         MSCYQS0          0.17        $ 77          17.0 %

Morgan Stanley Nickel Roll

         MSCYLN0          0.15          77          17.0 %

Morgan Stanley Heating Oil Roll

         MSCYHO0          0.18          75          16.6 %

Morgan Stanley RBOB Roll

         MSCYXB0          0.17          75          16.5 %

Morgan Stanley Brent Oil Roll

         MSCYCO0          0.19          75          16.5 %

Morgan Stanley Crude Oil Roll

         MSCYCL0          0.27          74          16.4 %
                    

 

 

 
                     $ 453          100.0 %
                    

 

 

 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   39


Schedule of Investments  DoubleLine Multi-Asset Growth Fund (Consolidated)  (Cont.)  

(Unaudited)

September 30, 2019

 

 

LOGO

Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the Morgan Stanley index. At September 30, 2019, all constituents and their weightings were as follows:

 

Sub-Index      Ticker      Contract Value d      Value of Index      Weightings

Morgan Stanley Corn Roll

         MSCYCN0          0.27        $ 77          17.2 %

Morgan Stanley Wheat Roll

         MSCYWH0          0.30          76          16.9 %

Morgan Stanley Kansas Wheat Roll

         MSCYKW0          0.49          75          16.8 %

Morgan Stanley Soybeans Roll

         MSCYSY0          0.21          75          16.8 %

Morgan Stanley Coffee (Arabica) Roll

         MSCYKC0          0.42          74          16.6 %

Morgan Stanley Natural Gas Roll

         MSCYNG0          0.41          70          15.7 %
                    

 

 

 
                     $ 447          100.0 %
                    

 

 

 

 

d

Contract value represents the number of units of the underlying constituent’s index in one unit of the custom basket index at creation. The contract value is calculated by multiplying each constituent’s weight by the starting price of the custom basket index and dividing by the starting price of the constituent’s index. The contract value will differ depending on the date the swap is initiated.

 

Forward Currency Exchange Contracts  
Settlement Date   Counterparty     Currency to be Sold      Value     Currency to be
Purchased
     Value   Unrealized
Appreciation
(Depreciation)
 
12/20/2019     RBC     850,000,000     JPY      $ 7,910,401     8,079,925     USD      $8,079,925   $ 169,524  
12/20/2019     Goldman Sachs     424,000,000     JPY        3,945,894     4,030,878     USD      4,030,878     84,984  
12/20/2019     RBC     7,988,557     USD        7,988,557     850,000,000     JPY      7,910,401     (78,156
12/20/2019     Goldman Sachs     3,985,858     USD        3,985,858     424,000,000     JPY      3,945,894     (39,964
12/20/2019     Goldman Sachs     6,002,834     USD        6,002,834     4,700,000     GBP      5,798,882     (203,952
12/20/2019     RBC     6,096,113     USD        6,096,113     5,300,000     EUR      5,814,193     (281,920
        

 

 

        

 

 
         $ 35,929,657          $35,580,173   $ (349,484
        

 

 

        

 

 

 

EUR

Euro

 

GBP

British Pound

 

JPY

Japanese Yen

 

USD

US Dollar

A summary of the DoubleLine Multi-Asset Growth Fund’s (Consolidated) investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund   Value at
March 31,
2019
  Gross
Purchases
  Gross
Sales
  Shares Held at
September 30,
2019
  Value at
September 30,
2019
  Change in
Unrealized for the
Period Ended
September  30,
2019
  Dividend Income
Earned in the
Period Ended
September  30,
2019
  Net Realized
Gain (Loss) in
the Period Ended
September  30,
2019

DoubleLine Total Return Bond Fund (Class I)

    $ 34,759,366     $ —       $ —         3,300,984     $ 35,485,583     $ 726,217     $ 640,185     $ —  

DoubleLine Flexible Income Fund (Class I)

      9,756,624       —         —         1,011,049       9,797,066       40,442       223,190       —  

DoubleLine Low Duration Bond Fund (Class I)

      9,630,203       —         —         965,918       9,688,158       57,955       157,510       —  

DoubleLine Core Fixed Income Fund (Class I)

      9,552,886       —         —         882,076       9,817,509       264,623       167,183       —  
   

 

 

 
    $ 63,699,079     $ —       $ —         6,160,027     $ 64,788,316     $ 1,089,237     $ 1,188,068     $ —  
   

 

 

 

 

40   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments  DoubleLine Low Duration Bond Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  ASSET BACKED OBLIGATIONS 7.4%       
 

Access Group, Inc.,

 

  6,602,138    

Series 2007-A-B (3 Month LIBOR USD + 0.55%, 0.55% Floor)

    2.68%        02/25/2037       6,360,257  
 

AccessLex Institute,

 

  6,805,656    

Series 2004-2-A3 (3 Month LIBOR USD + 0.19%, 0.19% Floor)

    2.47%        10/25/2024       6,694,896  
 

Avant Loans Funding Trust,

 

  4,250,000    

Series 2017-B-C

    4.99% ^       11/15/2023       4,274,461  
  12,089,337    

Series 2019-A-A

    3.48% ^       07/15/2022       12,135,484  
  16,000,000    

Series 2019-B-A

    2.72% ^       10/15/2026       16,017,202  
 

CLUB Credit Trust,

 

  7,594,054    

Series 2018-2-PT

    8.65% #^       02/15/2041       7,479,766  
 

Commonbond Student Loan Trust,

 

  4,206,514    

Series 2017-BGS-A1

    2.68% ^       09/25/2042       4,227,305  
 

Consumer Loan Underlying Bond Credit Trust,

 

  5,357,724    

Series 2018-P1-A

    3.39% ^       07/15/2025       5,382,008  
  7,562,129    

Series 2018-P2-A

    3.47% ^       10/15/2025       7,603,528  
  16,500,000    

Series 2019-P2-A

    2.47% ^       10/15/2026       16,484,830  
 

Credit Acceptance Auto Loan Trust,

 

  9,993,650    

Series 2017-2A-A

    2.55% ^       02/17/2026       10,003,582  
 

DRB Prime Student Loan Trust,

 

  4,657,327    

Series 2016-R-A1 (1 Month LIBOR USD + 1.90%)

    3.92% ^       10/25/2044       4,707,435  
 

Drive Auto Receivables Trust,

 

  2,154,153    

Series 2019-3-A1

    2.49%        06/15/2020       2,154,408  
 

Earnest Student Loan Program,

 

  3,734,051    

Series 2016-A-A2

    2.50% ^       04/25/2033       3,719,227  
  7,913,371    

Series 2017-A-A2

    2.65% ^       01/25/2041       7,941,147  
 

Flagship Credit Auto Trust,

 

  217,479    

Series 2016-3-B

    2.43% ^       06/15/2021       217,483  
  5,144,637    

Series 2016-4-B

    2.41% ^       10/15/2021       5,143,764  
  8,658,895    

Series 2017-1-B

    2.83% ^       03/15/2023       8,667,790  
 

Foundation Finance Trust,

 

  8,784,932    

Series 2019-1A-A

    3.86% ^       11/15/2034       8,925,359  
 

FREED Trust,

      
  8,836,531    

Series 2019-1-A

    3.42% ^       06/18/2026       8,894,732  
 

GLS Auto Receivables Issuer Trust,

 

  6,368,711    

Series 2019-1A-A

    3.37% ^       01/17/2023       6,419,698  
  13,621,121    

Series 2019-2A-A

    3.06% ^       04/17/2023       13,706,426  
 

Hilton Grand Vacations Trust,

 

  3,354,067    

Series 2018-AA-A

    3.54% ^       02/25/2032       3,462,826  
 

Jimmy Johns Funding LLC,

 

  4,753,980    

Series 2017-1A-A2I

    3.61% ^       07/30/2047       4,799,630  
 

Kabbage Funding LLC,

 

  15,750,000    

Series 2019-1-A

    3.83% ^       03/15/2024       15,928,191  
 

Laurel Road Prime Student Loan Trust,

 

  18,355,426    

Series 2019-A-A1FX

    2.34% ^       10/25/2048       18,364,548  
 

Marlette Funding Trust,

 

  7,785,049    

Series 2018-3A-A

    3.20% ^       09/15/2028       7,805,871  
  6,431,017    

Series 2019-1A-A

    3.44% ^       04/16/2029       6,478,728  
  13,085,557    

Series 2019-2A-A

    3.13% ^       07/16/2029       13,189,213  
  13,333,475    

Series 2019-3A-A

    2.69% ^       09/17/2029       13,382,678  
 

Navient Private Education Refinance Loan Trust,

 

  7,472,104    

Series 2019-CA-A1

    2.82% ^       02/15/2068       7,548,714  
 

NP SPE LLC,

 

  7,500,000    

Series 2019-1A-A1

    2.57% ^       09/20/2049       7,521,270  
 

OneMain Financial Issuance Trust,

 

  31,250,000    

Series 2017-1A-A1

    2.37% ^       09/14/2032       31,231,647  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Pagaya AI Debt Selection Trust,

 

  15,000,000    

Series 2019-3-A

    3.82% ^       11/16/2026       15,049,875  
 

Prosper Marketplace Issuance Trust,

 

  5,248,289    

Series 2018-2A-A

    3.35% ^       10/15/2024       5,263,414  
  7,392,809    

Series 2019-1A-A

    3.54% ^       04/15/2025       7,423,316  
  4,076,058    

Series 2019-2A-A

    3.20% ^       09/15/2025       4,091,075  
 

SCF Equipment Leasing LLC,

 

  1,968,004    

Series 2017-1A-A

    3.77% ^       01/20/2023       1,989,598  
  5,044,112    

Series 2017-2A-A

    3.41% ^       12/20/2023       5,100,969  
 

Sierra Timeshare Receivables Funding LLC,

 

  4,022,388    

Series 2016-2A-A

    2.33% ^       07/20/2033       4,013,812  
 

SLM Private Credit Student Loan Trust,

 

  11,010,913    

Series 2006-A-A5 (3 Month LIBOR USD + 0.29%, 0.29% Floor)

    2.41%        06/15/2039       10,784,837  
  6,553,594    

Series 2006-B-A5 (3 Month LIBOR USD + 0.27%, 0.27% Floor)

    2.39%        12/15/2039       6,399,160  
 

SoFi Consumer Loan Program LLC,

 

  358,788    

Series 2016-1-A

    3.26% ^       08/25/2025       362,546  
  1,274,147    

Series 2016-3-A

    3.05% ^       12/26/2025       1,279,257  
  4,601,890    

Series 2017-6-A2

    2.82% ^       11/25/2026       4,614,464  
 

SoFi Consumer Loan Program Trust,

 

  1,197,660    

Series 2016-2-A

    3.09% ^       10/27/2025       1,202,252  
  3,140,187    

Series 2017-1-A

    3.28% ^       01/26/2026       3,162,739  
  2,262,366    

Series 2017-2-A

    3.28% ^       02/25/2026       2,280,368  
  2,772,269    

Series 2017-3-A

    2.77% ^       05/25/2026       2,781,404  
  4,036,409    

Series 2017-5-A2

    2.78% ^       09/25/2026       4,048,061  
  1,403,194    

Series 2018-1-A1

    2.55% ^       02/25/2027       1,403,460  
  5,027,556    

Series 2018-3-A1

    3.20% ^       08/25/2027       5,042,756  
  6,781,575    

Series 2019-1-A

    3.24% ^       02/25/2028       6,846,902  
  15,869,748    

Series 2019-2-A

    3.01% ^       04/25/2028       16,006,415  
 

Sofi Professional Loan Program LLC,

 

  24,589,357    

Series 2019-C-A1FX

    2.13% ^       11/16/2048       24,597,378  
 

SoFi Professional Loan Program,

 

  5,529,172    

Series 2015-C-A2

    2.51% ^       08/25/2033       5,565,077  
  3,312,086    

Series 2016-A-A2

    2.76% ^       12/26/2036       3,334,062  
  4,808,274    

Series 2017-A-A2B

    2.40% ^       03/26/2040       4,826,326  
  887,797    

Series 2017-C-A2A

    1.75% ^       07/25/2040       886,814  
  4,131,084    

Series 2019-A-A1FX

    3.18% ^       06/15/2048       4,175,748  
 

SoFi Professional Loan Program Trust,

 

  3,448,428    

Series 2018-D-A1FX

    3.12% ^       02/25/2048       3,476,699  
 

Springleaf Funding Trust,

 

  6,966,787    

Series 2016-AA-A

    2.90% ^       11/15/2029       6,968,460  
  25,000,000    

Series 2017-AA-A

    2.68% ^       07/15/2030       25,067,070  
 

Spruce Asset Backed Securities Trust,

 

  253,684    

Series 2016-E1-A

    4.32% ^       06/15/2028       259,528  
 

TAL Advantage LLC,

 

  1,395,833    

Series 2013-2A-A

    3.55% ^       11/20/2038       1,405,475  
 

Triton Container Finance LLC,

 

  7,477,824    

Series 2017-2A-A

    3.62% ^       08/20/2042       7,567,870  
 

Upgrade Master Pass-Thru Trust,

 

  4,593,766    

Series 2019-ST1-A

    4.00% ^       07/15/2025       4,625,389  
 

Upgrade Receivables Trust,

 

  955,556    

Series 2018-1A-A

    3.76% ^       11/15/2024       958,712  
  10,311,117    

Series 2019-1A-A

    3.48% ^       03/15/2025       10,361,482  
 

Upstart Securitization Trust,

 

  4,670,000    

Series 2019-1-B

    4.19% ^       04/20/2026       4,737,657  
  9,603,354    

Series 2019-2-A

    2.90% ^       09/20/2029       9,626,166  
 

Westlake Automobile Receivables Trust,

 

  1,188,396    

Series 2016-3A-C

    2.46% ^       01/18/2022       1,188,444  
  20,000,000    

Series 2017-2A-C

    2.59% ^       12/15/2022       20,015,740  
  12,000,000    

Series 2018-2A-B

    3.20% ^       01/16/2024       12,061,336  
  5,000,000    

Series 2019-2A-A2A

    2.57% ^       02/15/2023       5,016,035  
        

 

 

 
  Total Asset Backed Obligations
(Cost $560,214,180)

 

    562,742,252  
        

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   41


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  BANK LOANS 2.4%  
 

AECOM Technology Corporation,

 

  3,826,273    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.80%        03/13/2025       3,843,625  
 

Aramark Services, Inc.,

 

  6,217,202    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        03/11/2025       6,234,050  
 

Axalta Coating Systems Dutch Holding B.B.V.,

 

  5,775,701    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%)

    3.85%        05/31/2024       5,785,606  
 

Berry Global, Inc.,

 

  5,735,578    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.55%        07/01/2026       5,769,906  
 

Burger King Restaurant Brands,

 

  5,420,008    

Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)

    4.29%        02/16/2024       5,444,398  
 

Charter Communications Operating LLC,

 

  5,674,939    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.05%        04/30/2025       5,715,741  
 

Crown Americas LLC,

 

  1,483,783    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.00%        04/03/2025       1,493,324  
 

CSC Holdings LLC,

 

  5,728,542    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.28%        07/17/2025       5,734,156  
 

Dell International LLC,

 

  5,575,841    

Senior Secured First Lien Term Loan

    4.05% ±       09/19/2025       5,608,711  
 

ESH Hospitality, Inc.,

 

  3,501,806    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        09/18/2026       3,522,326  
 

Gray Television, Inc.,

 

  3,793,355    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.51%        01/02/2026       3,812,056  
 

Grifols Worldwide Operations USA, Inc.,

 

  5,932,010    

Senior Secured First Lien Term Loan (1 Week LIBOR USD + 2.25%)

    4.14%        01/31/2025       5,969,382  
 

HCA, Inc.,

 

  5,709,206    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        03/17/2023       5,733,841  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

HD Supply, Inc.,

 

  4,187,227    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        10/17/2023       4,207,305  
 

Hilton Worldwide Finance LLC,

 

  5,646,161    

Senior Secured First Lien Term Loan

    3.77% ±       06/22/2026       5,686,051  
 

IAA, Inc.,

 

  960,375    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.31%        06/29/2026       966,377  
 

IQVIA, Inc.,

 

  5,700,377    

Senior Secured First Lien Term Loan (2 Month LIBOR USD + 1.75%)

    3.85%        06/09/2025       5,715,541  
 

Iron Mountain Information Management LLC,

 

  3,883,632    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        01/02/2026       3,856,117  
 

Jacobs Douwe Egberts International B.V.,

 

  5,693,297    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.06%        11/03/2025       5,707,530  
 

JBS USA Lux S.A.,

 

  5,933,133    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        05/01/2026       5,967,753  
 

KAR Auction Services, Inc.,

 

  2,452,877    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.31%        09/19/2026       2,467,447  
 

KFC Holding Company,

 

  5,686,859    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        04/03/2025       5,704,630  
 

Lamar Media Corporation,

 

  1,945,375    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%)

    3.81%        03/14/2025       1,956,327  
 

Level 3 Financing, Inc.,

 

  5,715,524    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        02/22/2024       5,733,385  
 

MGM Growth Properties Operating Partnership LP,

 

  5,696,810    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        03/21/2025       5,717,774  
 

Microchip Technology Incorporated,

 

  5,696,851    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.05%        05/29/2025       5,723,541  
 

Nexstar Broadcasting, Inc.,

 

  4,255,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.81%        09/18/2026       4,279,254  
 

 

42   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Open Text Corporation,

 

  1,970,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        05/30/2025       1,981,288  
 

Resideo Funding Inc.,

 

  1,151,300    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%)

    4.11%        10/27/2025       1,152,739  
 

RPI Finance Trust,

 

  3,755,161    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        03/27/2023       3,779,213  
 

Science Applications International Corporation,

 

  5,652,288    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        10/31/2025       5,658,788  
 

ServiceMaster Company LLC,

 

  1,252,528    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        11/08/2023       1,255,991  
 

Six Flags Theme Parks, Inc.,

 

  3,772,846    

Senior Secured First Lien Term Loan

    4.05% ±       04/17/2026       3,782,278  
 

Trans Union LLC,

 

  5,721,141    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        06/19/2025       5,749,747  
 

Universal Health Services, Inc.,

 

  4,538,838    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        10/31/2025       4,557,764  
 

US Foods, Inc.,

      
  2,575,000    

Senior Secured First Lien Term Loan

    4.14% ±       09/13/2026       2,587,347  
 

VICI Properties 1 LLC,

 

  5,730,748    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.05%        12/20/2024       5,752,840  
 

Virgin Media Bristol LLC,

 

  3,799,969    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.53%        01/15/2026       3,806,904  
 

Vistra Operations Company LLC,

 

 

Senior Secured First Lien Term Loan

 

  2,246,615    

(1 Month LIBOR USD + 2.00%)

    4.02%        12/31/2025       2,255,826  
  3,369,923    

(1 Month LIBOR USD + 2.00%)

    4.04%        12/31/2025       3,383,740  
 

W.R. Grace & Company,

 

  3,622,747    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%)

    3.85%        04/03/2025       3,638,035  
  2,113,269    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%)

    3.85%        04/03/2025       2,122,187  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Wyndham Hotels & Resorts, Inc.,

 

  5,667,779    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        05/30/2025       5,701,248  
        

 

 

 
  Total Bank Loans
(Cost $184,728,909)

 

       185,522,089  
        

 

 

 
  COLLATERALIZED LOAN OBLIGATIONS 14.0%  
 

AIMCO,

 

  25,000,000    

Series 2015-AA-AR (3 Month LIBOR USD + 0.85%, 0.85% Floor)

    3.15% ^       01/15/2028       24,901,701  
 

Apres Static Ltd.,

 

  18,480,854    

Series 2019-1A-A1 (3 Month LIBOR USD + 1.17%, 1.17% Floor)

    3.47% ^       01/15/2027       18,463,425  
 

Assurant Ltd.,

 

  20,000,000    

Series 2019-1A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

    3.63% ^       04/20/2030       20,019,269  
 

Atlas Senior Loan Fund Ltd.,

 

  17,000,000    

Series 2013-1A-AR (3 Month LIBOR USD + 0.83%)

    2.95% ^       11/17/2027       16,998,702  
 

Avery Point Ltd.,

 

  20,000,000    

Series 2015-6A-AR (3 Month LIBOR USD + 1.05%)

    3.34% ^       08/05/2027       20,002,000  
  29,500,000    

Series 2015-7A-AR (3 Month LIBOR USD + 1.14%)

    3.44% ^       01/15/2028       29,525,006  
 

Babson Ltd.,

 

  5,987,000    

Series 2015-2A-AR (3 Month LIBOR USD + 1.19%)

    3.47% ^       10/20/2030       5,994,974  
 

Battalion Ltd.,

 

  44,000,000    

Series 2014-7A-A1RR (3 Month LIBOR USD + 1.04%)

    3.34% ^       07/17/2028       43,881,901  
 

CarVal Ltd.,

 

  42,000,000    

Series 2019-1A-AN (3 Month LIBOR USD + 1.48%, 1.48% Floor)

    3.76% ^       04/20/2032       42,080,078  
 

Cathedral Lake Ltd.,

 

  35,000,000    

Series 2018-5A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor)

    3.48% ^       10/21/2030       34,881,047  
 

CFIP Ltd.,

 

  26,500,000    

Series 2014-1A-AR (3 Month LIBOR USD + 1.32%)

    3.62% ^       07/13/2029       26,543,085  
 

CRMN Mortgage Trust,

 

  3,000,000    

Series 2018-1A-A1 (3 Month LIBOR USD + 1.25%, 1.25% Floor)

    3.53% ^       10/25/2031       2,992,854  
 

Crown Point Ltd.,

 

  20,000,000    

Series 2018-6A-A1 (3 Month LIBOR USD + 1.17%, 1.17% Floor)

    3.45% ^       10/20/2028       20,030,134  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   43


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Dryden Ltd.,

 

  21,000,000    

Series 2019-75A-AR (3 Month LIBOR USD + 1.20%, 1.20% Floor)

    3.53% ^       07/15/2030       21,017,109  
 

Greywolf Ltd.,

 

  5,585,000    

Series 2015-1A-A1R (3 Month LIBOR USD + 1.16%, 1.16% Floor)

    3.44% ^       01/27/2031       5,574,658  
  9,100,000    

Series 2018-2A-A1 (3 Month LIBOR USD + 1.18%, 1.18% Floor)

    3.46% ^       10/20/2031       9,063,311  
 

Halcyon Loan Advisors Funding Ltd.,

 

  773,173    

Series 2012-1X-A2 (3 Month LIBOR USD + 2.50%)

    4.66%        08/15/2023       773,893  
  27,744    

Series 2013-1A-A1 (3 Month LIBOR USD + 1.15%)

    3.45% ^       04/15/2025       27,768  
  257,792    

Series 2014-1A-A1R (3 Month LIBOR USD + 1.13%)

    3.43% ^       04/18/2026       258,156  
  14,089,607    

Series 2014-3A-AR (3 Month LIBOR USD + 1.10%)

    3.38% ^       10/22/2025       14,092,950  
  25,000,000    

Series 2015-3A-A1R (3 Month LIBOR USD + 0.90%)

    3.20% ^       10/18/2027       24,999,474  
 

Harbourview Ltd.,

 

  9,000,000    

Series 7RA-A1 (3 Month LIBOR USD + 1.13%, 1.13% Floor)

    3.43% ^       07/18/2031       8,943,124  
 

Jamestown Ltd.,

 

  3,643,053    

Series 2014-4A-A1AR (3 Month LIBOR USD + 0.69%)

    2.99% ^       07/15/2026       3,635,882  
  10,500,000    

Series 2018-6RA-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor)

    3.43% ^       04/25/2030       10,437,304  
 

Jefferson Mill Ltd.,

 

  10,000,000    

Series 2015-1A-AR (3 Month LIBOR USD + 1.18%)

    3.45% ^       10/20/2031       9,949,641  
 

Kingsland Ltd.,

 

  22,000,000    

Series 2018-8A-A (3 Month LIBOR USD + 1.12%, 1.12% Floor)

    3.40% ^       04/20/2031       21,867,107  
 

LCM LP,

 

  35,000,000    

Series 19A-AR (3 Month LIBOR USD + 1.24%, 1.24% Floor)

    3.54% ^       07/15/2027       35,139,406  
 

Madison Park Funding Ltd.,

 

  8,750,000    

Series 2012-10A-AR2 (3 Month LIBOR USD + 1.22%)

    3.50% ^       01/20/2029       8,763,486  
  26,000,000    

Series 2013-11A-AR (3 Month LIBOR USD + 1.16%)

    3.42% ^       07/23/2029       26,036,367  
 

Marathon Ltd.,

 

  20,685,000    

Series 2013-5A-A1R (3 Month LIBOR USD + 0.87%)

    3.02% ^       11/21/2027       20,605,936  
  3,000,000    

Series 2017-9A-A2 (3 Month LIBOR USD + 1.75%)

    4.05% ^       04/15/2029       3,001,684  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Marathon Ltd., (Cont.)

 

  24,100,000    

Series 2018-12A-A1 (3 Month LIBOR USD + 1.18%)

    3.48% ^       04/18/2031       24,048,360  
 

Marble Point Ltd.,

 

  13,500,000    

Series 2018-2A-A1 (3 Month LIBOR USD + 1.33%, 1.33% Floor)

    3.61% ^       01/20/2032       13,528,009  
 

Midocean Credit,

 

  41,500,000    

Series 2017-7A-A1 (3 Month LIBOR USD + 1.32%)

    3.62% ^       07/15/2029       41,583,259  
 

MP Ltd.,

 

  35,000,000    

Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%)

    3.56% ^       07/25/2029       34,964,692  
  13,000,000    

Series 2015-1A-ARR (3 Month LIBOR USD + 1.08%)

    3.38% ^       10/18/2028       12,962,594  
  25,000,000    

Series 2015-2A-AR (3 Month LIBOR USD + 0.91%)

    3.17% ^       10/28/2027       25,022,000  
 

Ocean Trails V,

 

  25,000,000    

Series 2014-5A-ARR (3 Month LIBOR USD + 1.28%, 1.28% Floor)

    3.58% ^       10/13/2031       25,051,293  
 

OCP Ltd.,

 

  16,500,000    

Series 2014-5A-A1R (3 Month LIBOR USD + 1.08%, 1.08% Floor)

    3.35% ^       04/26/2031       16,373,571  
 

Palmer Square Loan Funding Ltd.,

 

  16,233,796    

Series 2018-5A-A1 (3 Month LIBOR USD + 0.85%, 0.85% Floor)

    3.13% ^       01/20/2027       16,208,870  
 

Park Avenue Institutional Advisers Ltd.,

 

  34,000,000    

Series 2018-1A-A1A (3 Month LIBOR USD + 1.28%, 1.28% Floor)

    3.56% ^       10/20/2031       33,957,500  
 

Race Point Ltd.,

 

  25,000,000    

Series 2015-9A-A1AR (3 Month LIBOR USD + 1.21%)

    3.51% ^       10/15/2030       25,000,578  
 

Regatta Funding Ltd.,

 

  12,500,000    

Series 2018-3A-A (3 Month LIBOR USD + 1.19%)

    3.47% ^       10/25/2031       12,444,656  
 

Riserva Ltd.,

 

  10,000,000    

Series 2016-3A-AR (3 Month LIBOR USD + 1.14%)

    3.44% ^       10/18/2028       9,999,717  
 

Romark Ltd.,

 

  22,000,000    

Series 2018-1A-A1 (3 Month LIBOR USD + 1.03%)

    3.31% ^       04/20/2031       21,825,651  
 

Sound Point Ltd.,

 

  16,000,000    

Series 2014-2RA-A (3 Month LIBOR USD + 1.25%, 1.25% Floor)

    3.53% ^       10/20/2031       15,979,811  
  25,000,000    

Series 2015-1RA-A (3 Month LIBOR USD + 1.36%, 1.36% Floor)

    3.96% ^       04/15/2030       25,000,151  
 

 

44   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Steele Creek Ltd.,

 

  2,365,000    

Series 2014-1RA-A (3 Month LIBOR USD + 1.07%, 1.07% Floor)

    3.35% ^       04/21/2031       2,347,714  
  18,000,000    

Series 2019-2A-A1 (3 Month LIBOR USD + 1.36%, 1.36% Floor)

    3.49% ^       07/15/2032       17,997,161  
 

TCI-Flatiron Ltd.,

 

  20,000,000    

Series 2016-1A-AR (3 Month LIBOR USD + 1.22%, 1.22% Floor)

    3.52% ^       07/17/2028       20,012,694  
 

Tralee Ltd.,

 

  44,000,000    

Series 2019-6A-A1 (3 Month LIBOR USD + 1.45%, 0.00% Floor)

    3.47% ^       10/25/2032       44,000,000  
 

Trimaran CAVU LLC,

 

  10,000,000    

Series 2019-1A-A1 (3 Month LIBOR USD + 1.46%, 1.46% Floor)

    3.93% ^       07/20/2032       9,997,446  
 

Vibrant Ltd.,

 

  22,000,000    

Series 2015-3A-A1RR (3 Month LIBOR USD + 1.25%)

    3.53% ^       10/20/2031       21,912,092  
  5,000,000    

Series 2016-5A-A (3 Month LIBOR USD + 1.55%)

    3.83% ^       01/20/2029       5,003,480  
 

Wellfleet Ltd.,

 

  24,700,000    

Series 2016-1A-AR (3 Month LIBOR USD + 0.91%)

    3.19% ^       04/20/2028       24,622,781  
  20,000,000    

Series 2017-2A-A1 (3 Month LIBOR USD + 1.25%)

    3.53% ^       10/20/2029       20,005,253  
 

WhiteHorse Ltd.,

 

  3,619,906    

Series 2014-1A-AR (3 Month LIBOR USD + 0.90%)

    3.15% ^       05/01/2026       3,618,056  
 

Zais Ltd.,

 

  2,624,549    

Series 2014-2A-A1AR (3 Month LIBOR USD + 1.20%)

    3.48% ^       07/25/2026       2,627,218  
  13,000,000    

Series 2016-2A-A1 (3 Month LIBOR USD + 1.53%)

    3.83% ^       10/15/2028       13,006,085  
        

 

 

 
  Total Collateralized Loan Obligations
(Cost $1,070,004,564)

 

    1,069,602,124  
        

 

 

 
  FOREIGN CORPORATE BONDS 15.0%  
  3,000,000    

Adani Ports & Special Economic Zone Ltd.

    3.95%        01/19/2022       3,072,188  
  5,906,000    

AerCap Global Aviation Trust

    4.63%        10/30/2020       6,046,745  
  1,370,000    

AES Dominicana

    7.95%        05/11/2026       1,464,187  
  3,500,000    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

    7.13% ^       03/26/2079       3,679,375  
  5,926,000    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

    7.13%        03/26/2079       6,229,707  
  5,802,000    

Alibaba Group Holding Ltd.

    3.13%        11/28/2021       5,894,352  
  11,625,000    

AstraZeneca PLC

    2.38%        11/16/2020       11,675,517  
  600,000    

AstraZeneca PLC

    2.38%        06/12/2022       604,630  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  5,540,000    

Avolon Holdings Funding Ltd.

    3.63% ^       05/01/2022       5,621,161  
  28,460,000    

Axiata SPV2 BHD

    3.47%        11/19/2020       28,770,265  
  15,420,000    

Banco Bradesco S.A.

    5.90%        01/16/2021       15,998,404  
  9,200,000    

Banco BTG Pactual S.A.

    4.00%        01/16/2020       9,223,092  
  2,500,000    

Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%)

    7.75% ^       02/15/2029       2,612,500  
  3,600,000    

Banco de Reservas de la Republica Dominicana

    7.00%        02/01/2023       3,784,536  
  4,831,000    

Banco del Estado de Chile

    2.67%        01/08/2021       4,834,639  
  8,500,000    

Banco del Estado de Chile

    3.88%        02/08/2022       8,806,710  
  7,200,000    

Banco do Brasil S.A. (10 Year CMT Rate + 7.78%)

     8.50%        10/20/2020       7,593,480  
  7,100,000    

Banco International del Peru S.A.A.

    5.75%        10/07/2020       7,330,821  
  8,000,000    

Banco Latinoamericano do Comercio Exterior S.A.

    3.25%        05/07/2020       8,040,080  
  20,200,000    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%)

     6.88%        07/06/2022       20,351,500  
  12,500,000    

Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%)

    3.80%        08/11/2026       12,672,000  
  2,000,000    

Banco Santander (5 Year CMT Rate + 3.00%)

    5.95% ^       10/01/2028       2,149,500  
  3,094,000    

Banco Santander Chile

    2.50%        12/15/2020       3,115,349  
  4,336,000    

Bancolombia S.A.

    6.13%        07/26/2020       4,456,367  
  15,086,000    

Bancolombia S.A.

    5.95%        06/03/2021       15,915,730  
  9,490,000    

Bangkok Bank PCL

    4.80%        10/18/2020       9,725,848  
  5,683,000    

Bangkok Bank PCL

    3.88%        09/27/2022       5,902,598  
  3,300,000    

Banistmo S.A.

    3.65%        09/19/2022       3,328,908  
  2,400,000    

Banistmo S.A.

    3.65% ^       09/19/2022       2,421,024  
  11,918,000    

Barclays Bank PLC

    2.65%        01/11/2021       11,954,391  
  10,000,000    

BBVA Banco Continental S.A.

    5.00%        08/26/2022       10,685,000  
  6,700,000    

BBVA Bancomer S.A.

    7.25%        04/22/2020       6,864,150  
  9,900,000    

BBVA Bancomer S.A.

    6.50%        03/10/2021       10,345,599  
  5,200,000    

BBVA Bancomer S.A.

    6.75%        09/30/2022       5,694,000  
  3,421,000    

BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%)

    5.35%        11/12/2029       3,412,482  
  11,000,000    

BDO Unibank, Inc.

    2.63%        10/24/2021       11,046,962  
  17,400,000    

Bharat Petroleum Corporation Ltd.

    4.63%        10/25/2022       18,355,956  
  2,800,000    

Bharat Petroleum Ltd.

    4.38%        01/24/2022       2,901,304  
  5,500,000    

Bharti Airtel Ltd.

    5.13%        03/11/2023       5,795,467  
  4,620,000    

Brasil Bolsa Balcao S.A

    5.50%        07/16/2020       4,735,546  
  1,530,000    

Braskem Finance Ltd.

    7.00%        05/07/2020       1,568,403  
  4,600,000    

Braskem Finance Ltd.

    5.75%        04/15/2021       4,784,046  
  12,500,000    

C&W Senior Financing DAC

    7.50%        10/15/2026       13,218,750  
  9,993,000    

Celulosa Arauco y Constitucion S.A.

    4.75%        01/11/2022       10,405,211  
  4,900,000    

Cemex S.A.B. de C.V.

    6.13%        05/05/2025       5,108,250  
  3,750,000    

Cemex S.A.B. de C.V.

    7.75%        04/16/2026       4,073,475  
  14,000,000    

CK Hutchison International Ltd.

    2.88% ^       04/05/2022       14,137,114  
  3,000,000    

CK Hutchison International Ltd.

    2.88%        04/05/2022       3,029,382  
  8,200,000    

CNOOC Finance Ltd.

    2.63%        05/05/2020       8,210,537  
  17,900,000    

CNOOC Finance Ltd.

    3.88%        05/02/2022       18,497,176  
  16,791,000    

CNPC General Capital Ltd.

    3.95%        04/19/2022       17,392,372  
  7,129,000    

CNPC Overseas Capital Ltd.

    4.50%        04/28/2021       7,349,294  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   45


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  5,962,000    

Coca-Cola Femsa S.A.B. de C.V.

    4.63%        02/15/2020       6,008,448  
  3,514,000    

Colombia Telecomunicaciones S.A.

    5.38%        09/27/2022       3,562,317  
  6,965,000    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

     8.50%        03/30/2020       7,165,244  
  400,000    

Comcel Trust

    6.88%        02/06/2024       413,000  
  5,746,000    

Commonwealth Bank of Australia

    2.25% ^       03/10/2020       5,752,013  
  3,670,000    

Commonwealth Bank of Australia

    2.05% ^       09/18/2020       3,673,251  
  2,275,000    

Commonwealth Bank of Australia

    2.75% ^       03/10/2022       2,313,039  
  900,000    

Corp Nacional del Cobre de Chile

    3.88%        11/03/2021       926,784  
  6,125,000    

Credit Suisse Group AG (3 Month LIBOR USD + 1.24%)

    3.37% ^       06/12/2024       6,167,689  
  2,955,000    

Credito Real S.A.B. de C.V.

    7.25%        07/20/2023       3,143,381  
  437,000    

Credito Real S.A.B. de C.V.

    7.25% ^       07/20/2023       464,859  
  212,000    

DBS Group Holdings Ltd.

    2.85% ^       04/16/2022       215,055  
  1,950,000    

DBS Group Holdings Ltd.

    2.85%        04/16/2022       1,978,098  
  2,500,000    

DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%)

    2.90%        07/25/2022       2,511,639  
  2,000,000    

DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%)

    4.52%        12/11/2028       2,127,692  
  18,527,000    

DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%)

     3.60%        09/07/2021       18,619,635  
  6,320,000    

Delek & Avner Tamar Bond Ltd.

    4.44% ^       12/30/2020       6,405,946  
  3,400,000    

Digicel Group Ltd.

    8.25% ^       09/30/2022       731,000  
  7,800,000    

ECL S.A.

    5.63%        01/15/2021       8,129,953  
  1,000,000    

Empresa Electrica Guacolda S.A.

    4.56%        04/30/2025       905,038  
  14,572,539    

ENA Norte Trust

    4.95%        04/25/2023       15,082,723  
  1,796,000    

ESAL GMBH

    6.25%        02/05/2023       1,831,938  
  1,850,000    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%)

    3.00%        05/23/2024       1,856,451  
  1,700,000    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%)

    3.04%        11/20/2023       1,708,127  
  10,000,000    

Export-Import Bank of India

    3.13%        07/20/2021       10,104,100  
  11,200,000    

Freeport-McMoRan, Inc.

    4.55%        11/14/2024       11,505,760  
  2,309,000    

GlaxoSmithKline Capital PLC

    3.13%        05/14/2021       2,355,359  
  9,670,000    

GlaxoSmithKline Capital PLC

    2.88%        06/01/2022       9,883,175  
  9,000,000    

Global Bank Corporation

    4.50%        10/20/2021       9,286,920  
  1,900,000    

Global Bank Corporation

    4.50% ^       10/20/2021       1,960,572  
  9,170,000    

Globo Comunicacao e Participacoes S.A.

    4.88%        04/11/2022       9,519,698  
  7,500,000    

Grupo Aval Ltd.

    4.75%        09/26/2022       7,770,000  
  10,392,000    

Grupo Bimbo S.A.B. de C.V.

    4.88%        06/30/2020       10,591,472  
  12,600,000    

Grupo Bimbo S.A.B. de C.V. (5 Year CMT Rate + 3.28%)

     5.95%        04/17/2023       13,318,200  
  5,770,000    

GrupoSura Finance S.A.

    5.70%        05/18/2021       6,051,287  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  2,932,861    

Guanay Finance Ltd.

    6.00%        12/15/2020       2,976,854  
  6,085,000    

HSBC Holdings PLC (3 Month LIBOR USD + 1.00%)

    3.12%        05/18/2024       6,112,475  
  8,900,000    

Hutchison Whampoa International Ltd.

    4.63%        01/13/2022       9,315,754  
  7,935,000    

Indian Oil Corporation Ltd.

    5.63%        08/02/2021       8,360,078  
  6,000,000    

Indian Oil Corporation Ltd.

    5.75%        08/01/2023       6,614,173  
  1,000,000    

Indian Oil Corporation Ltd.

    4.75%        01/16/2024       1,068,321  
  10,725,000    

Inversiones CMPC S.A.

    4.50%        04/25/2022       11,167,513  
  1,600,000    

Israel Electric Corporation Ltd.

    6.88%        06/21/2023       1,827,200  
  700,000    

Itau Unibanco Holding S.A.

    6.20%        12/21/2021       743,757  
  1,300,000    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)

     6.13%        12/12/2022       1,314,300  
  3,450,000    

Itau Unibanco Holdings S.A.

    6.20%        04/15/2020       3,519,862  
  9,825,000    

Itau Unibanco Holdings S.A.

    5.75%        01/22/2021       10,161,997  
  1,000,000    

JBS Investments GMBH

    7.00% ^       01/15/2026       1,081,490  
  10,000,000    

Latam Finance Ltd.

    6.88%        04/11/2024       10,532,500  
  11,428,000    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

    3.91%        10/29/2026       11,631,304  
  19,600,000    

MARB BondCo PLC

    7.00%        03/15/2024       20,482,196  
  9,500,000    

Millicom International Cellular S.A.

    6.00%        03/15/2025       9,880,000  
  1,500,000    

Millicom International Cellular SA

    6.63%        10/15/2026       1,635,000  
  12,670,000    

Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.86%)

    3.13%        07/26/2023       12,710,182  
  12,025,000    

Mizuho Financial Group, Inc. (3 Month LIBOR USD + 0.79%)

    2.92%        03/05/2023       12,068,924  
  3,900,000    

Multibank, Inc.

    4.38%        11/09/2022       4,020,939  
  5,484,000    

Nacional Financiera S.N.C.

    3.38%        11/05/2020       5,532,040  
  14,150,000    

Oleoducto Central S.A.

    4.00%        05/07/2021       14,468,517  
  10,700,000    

ONGC Videsh Ltd.

    2.88%        01/27/2022       10,713,054  
  3,000,000    

ONGC Videsh Ltd.

    3.75%        05/07/2023       3,095,580  
  12,000,000    

Oversea-Chinese Banking Corporation (5 Year Swap Rate USD + 2.20%)

    4.00%        10/15/2024       12,007,672  
  3,600,000    

Pampa Energia S.A.

    7.38%        07/21/2023       2,970,000  
  17,459,946    

Panama Metro Line SP

    0.00%        12/05/2022       16,765,913  
  5,210,394    

Panama Metro Line SP

    0.00% ^       12/05/2022       5,003,281  
  15,981,000    

Pertamina Persero PT

    5.25%        05/23/2021       16,687,715  
  9,000,000    

Pertamina Persero PT

    4.88%        05/03/2022       9,513,206  
  3,334,000    

Perusahaan Listrik Negara PT

    5.50%        11/22/2021       3,542,375  
  3,376,000    

Petrobras Global Finance B.V.

    5.38%        01/27/2021       3,497,536  
  7,000,000    

Petronas Capital Ltd.

    3.13%        03/18/2022       7,123,948  
  21,600,000    

Petronas Global Sukuk Ltd.

    2.71%        03/18/2020       21,582,180  
  2,340,000    

PTTEP Canada International Finance Ltd.

    5.69%        04/05/2021       2,450,117  
  10,500,000    

PTTEP Treasury Center Company Ltd. (5 Year CMT Rate + 2.72%)

     4.60%        07/17/2022       10,759,329  
  4,250,000    

Reliance Holdings, Inc.

    4.50%        10/19/2020       4,333,002  
  17,560,000    

Reliance Holdings, Inc.

    5.40%        02/14/2022       18,672,952  
  6,380,000    

Royal Bank of Scotland Group PLC (3 Month LIBOR USD + 1.55%)

    3.66%        06/25/2024       6,396,806  
 

 

46   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  11,585,000    

Santander UK PLC

    2.50%        01/05/2021       11,602,570  
  4,160,000    

Scotiabank Peru S.A. (3 Month LIBOR USD + 3.86%)

    4.50%        12/13/2027       4,331,642  
  18,600,000    

Sinochem Overseas Capital Ltd.

    4.50%        11/12/2020       19,004,681  
  10,800,000    

Sinopec Group Overseas Development Ltd.

    2.50%        04/28/2020       10,807,890  
  500,000    

Sinopec Group Overseas Development Ltd.

    2.25%        09/13/2020       499,677  
  4,200,000    

Sinopec Group Overseas Development Ltd.

    2.75%        05/03/2021       4,220,105  
  2,090,000    

Sinopec Group Overseas Development Ltd.

    2.00%        09/29/2021       2,072,186  
  3,000,000    

Sinopec Group Overseas Development Ltd.

    2.00% ^       09/29/2021       2,974,430  
  3,710,000    

Sinopec Group Overseas Development Ltd.

    3.00% ^       04/12/2022       3,755,362  
  4,000,000    

Sinopec Group Overseas Development Ltd.

    3.00%        04/12/2022       4,048,908  
  2,500,000    

Sociedad Quimica y Minera S.A.

    5.50%        04/21/2020       2,546,000  
  13,600,000    

Southern Copper Corporation

    5.38%        04/16/2020       13,788,365  
  12,335,000    

Sumitomo Mitsui Financial Group, Inc.

    2.06%        07/14/2021       12,301,308  
  5,552,000    

Takeda Pharmaceutical Company Ltd.

    4.00% ^       11/26/2021       5,750,101  
  6,511,000    

Tecnoglass, Inc.

    8.20%        01/31/2022       7,048,157  
  16,500,000    

Telefonica Chile S.A.

    3.88%        10/12/2022       17,087,402  
  1,000,000    

Temasek Financial Ltd.

    2.38%        01/23/2023       1,014,809  
  11,830,000    

Toronto-Dominion Bank

    3.25%        06/11/2021       12,081,783  
  6,580,000    

UBS AG

    2.45% ^       12/01/2020       6,607,457  
  9,720,000    

Unifin Financiera S.A.B. de C.V.

    7.25%        09/27/2023       10,079,640  
  4,300,000    

Union Bank of the Philippines

    3.37%        11/29/2022       4,410,178  
  775,000    

United Overseas Bank Ltd. (3 Month LIBOR USD + 0.48%)

    2.74% ^       04/23/2021       777,077  
  850,000    

United Overseas Bank Ltd. (3 Month LIBOR USD + 0.48%)

    2.74%        04/23/2021       852,278  
  5,620,000    

United Overseas Bank Ltd. (5 Year CMT Rate + 1.50%)

    3.75%        04/15/2029       5,832,088  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  7,637,000    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%)

    2.88%        03/08/2027       7,638,298  
  7,550,000    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%)

    3.50%        09/16/2026       7,643,469  
  10,000,000    

UPL Corporation

    3.25%        10/13/2021       10,047,762  
  2,915,000    

Vedanta Resources PLC

    7.13%        05/31/2023       2,883,664  
  1,000,000    

Vedanta Resources PLC

    6.13%        08/09/2024       923,885  
  13,936,000    

VTR Finance B.V.

    6.88%        01/15/2024       14,388,920  
  8,605,000    

Westpac Banking Corporation

    2.65%        01/25/2021       8,672,911  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $1,138,257,740)

 

    1,152,958,988  
        

 

 

 
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 1.4%
 
 
  5,600,000    

Brazilian Government International Bond

    4.88%        01/22/2021       5,803,056  
  14,159,000    

Chile Government International Bond

    3.88%        08/05/2020       14,382,004  
  26,500,000    

Colombia Government International Bond

    4.38%        07/12/2021       27,474,140  
  1,210,000    

Costa Rica Government International Bond

    10.00%        08/01/2020       1,275,050  
  24,033,333    

Dominican Republic International Bond

    7.50%        05/06/2021       25,144,875  
  8,000,000    

Indonesia Government International Bond

    4.88%        05/05/2021       8,303,847  
  6,740,000    

Indonesia Government International Bond

    3.70% ^        01/08/2022       6,933,243  
  600,000    

Indonesia Government International Bond

    3.75%        04/25/2022       619,499  
  4,000,000    

Philippine Government International Bond

    4.00%        01/15/2021       4,093,448  
  10,100,000    

Perusahaan Penerbit

    3.40%        03/29/2022       10,323,715  
  250,000    

Wakala Global Sukuk BHD

    4.65%        07/06/2021       260,514  
        

 

 

 
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $104,115,252)

 

    104,613,391  
        

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   47


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 16.6%  
 

Americold LLC,

 

  1,900,000    

Series 2010-ARTA-D

    7.44% ^       01/14/2029       1,978,874  
 

Arbor Realty Ltd.,

 

  15,000,000    

Series 2017-FL2-A (1 Month LIBOR USD + 0.99%)

    3.02% ^       08/15/2027       15,017,880  
  12,618,000    

Series 2018-FL1-A (1 Month LIBOR USD + 1.15%)

    3.18% ^       06/15/2028       12,648,788  
 

AREIT Trust,

 

  363,000    

Series 2018-CRE1-B (1 Month LIBOR USD + 1.65%, 1.65% Floor)

    3.68% ^       02/14/2035       363,794  
 

Ashford Hospitality Trust,

 

  9,423,579    

Series 2018-ASHF-A (1 Month LIBOR USD + 0.90%, 0.90% Floor)

    2.93% ^       04/15/2035       9,423,122  
 

Atrium Hotel Portfolio Trust,

 

  12,019,000    

Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%)

    5.08% ^       12/15/2036       12,101,090  
  12,570,000    

Series 2018-ATRM-A (1 Month LIBOR USD + 0.95%, 0.95% Floor)

    2.98% ^       06/15/2035       12,594,225  
  225,000    

Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)

    5.43% ^       06/15/2035       227,153  
 

Bancorp Commercial Mortgage Trust,

 

  14,809,387    

Series 2018-CRE4-A (1 Month LIBOR USD + 0.90%, 0.95% Floor)

    2.93% ^       09/15/2035       14,822,407  
 

BANK,

 

  88,888,894    

Series 2017-BNK5-XA

    1.23% # I/O      06/15/2060       5,216,791  
  103,506,922    

Series 2017-BNK6-XA

    1.00% # I/O      07/15/2060       5,217,515  
 

Barclays Commercial Mortgage Securities LLC,

 

  94,767,524    

Series 2017-C1-XA

    1.67% # I/O      02/15/2050       8,140,492  
  2,261,000    

Series 2017-DELC-C (1 Month LIBOR USD + 1.20%)

    3.23% ^       08/15/2036       2,256,340  
  2,577,000    

Series 2017-DELC-D (1 Month LIBOR USD + 1.70%)

    3.73% ^       08/15/2036       2,583,080  
  5,194,000    

Series 2017-DELC-E (1 Month LIBOR USD + 2.50%)

    4.53% ^       08/15/2036       5,211,780  
  5,175,000    

Series 2017-DELC-F (1 Month LIBOR USD + 3.50%)

    5.53% ^      08/15/2036       5,201,180  
 

BBCMS Mortgage Trust,

 

  13,430,131    

Series 2018-BXH-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

    3.03% ^      10/15/2037       13,419,954  
  168,500    

Series 2018-CBM-D (1 Month LIBOR USD + 2.39%, 2.39% Floor)

    4.42% ^      07/15/2037       168,929  
  17,989,000    

Series 2018-TALL-A (1 Month LIBOR USD + 0.72%)

    2.75% ^      03/15/2037       17,971,198  
 

BDS Ltd.,

 

  12,783,000    

Series 2019-FL4-A (1 Month LIBOR USD + 1.10%, 0.00% Floor)

    3.13% ^      08/15/2036       12,831,742  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Bear Stearns Commercial Mortgage Securities, Inc.,

 

  1,362,412    

Series 2005-PW10-AJ

    5.78% #      12/11/2040       1,392,038  
  5,209,139    

Series 2007-T26-AJ

    5.57% #      01/12/2045       4,544,860  
 

Benchmark Mortgage Trust,

 

  128,706,968    

Series 2018-B1-XA

    0.66% # I/O      01/15/2051       4,536,612  
 

BHMS Trust,

 

  12,792,000    

Series 2018-ATLS-A (1 Month LIBOR USD + 1.25%, 1.25% Floor)

    3.28% ^      07/15/2035       12,813,168  
  2,050,000    

Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor)

    3.93% ^      07/15/2035       2,057,353  
  13,797,000    

Series 2019-BXHP-A (1 Month LIBOR USD + 0.98%, 0.98% Floor)

    3.00% ^      08/15/2036       13,745,391  
  5,797,000    

Series 2019-BXHP-C (1 Month LIBOR USD + 1.52%, 1.52% Floor)

    3.55% ^      08/15/2036       5,786,585  
 

Bsprt Issuer Ltd.,

 

  18,407,000    

Series 2019-FL5-A (1 Month LIBOR USD + 1.15%, 1.15% Floor)

    3.48% ^      05/15/2029       18,477,167  
 

BX Commercial Mortgage Trust,

 

  615,000    

Series 2018-BIOA-C (1 Month LIBOR USD + 1.12%, 1.10% Floor)

    3.15% ^      03/15/2037       615,923  
  3,590,000    

Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor)

    3.35% ^      03/15/2037       3,604,445  
  8,976,000    

Series 2018-BIOA-E (1 Month LIBOR USD + 1.95%, 1.98% Floor)

    3.98% ^      03/15/2037       9,018,298  
  1,950,883    

Series 2018-EXCL-C (1 Month LIBOR USD + 1.98%)

    4.00% ^      09/15/2037       1,956,866  
  12,926,472    

Series 2018-IND-A (1 Month LIBOR USD + 0.75%, 0.75% Floor)

    2.78% ^      11/15/2035       12,938,952  
 

BX Trust,

 

  3,506,536    

Series 2017-APPL-A (1 Month LIBOR USD + 0.88%, 0.88% Floor)

    2.91% ^      07/15/2034       3,510,035  
  14,603,850    

Series 2017-APPL-B (1 Month LIBOR USD + 1.15%, 1.15% Floor)

    3.18% ^      07/15/2034       14,623,257  
  3,761,250    

Series 2017-APPL-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

    4.08% ^      07/15/2034       3,770,983  
  5,819,950    

Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor)

    5.18% ^      07/15/2034       5,849,235  
  6,117,000    

Series 2017-FL1-C (1 Month LIBOR USD + 1.95%, 1.95% Floor)

    3.97% ^      06/15/2035       6,117,000  
  5,854,800    

Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%)

    4.08% ^      07/15/2034       5,862,052  
 

 

48   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

BX Trust, (Cont.)

 

  9,922,900    

Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%)

    5.18% ^      07/15/2034       9,984,856  
  14,601,676    

Series 2018-EXCL-A (1 Month LIBOR USD + 1.09%)

    3.12% ^      09/15/2037       14,613,354  
  3,532,459    

Series 2018-EXCL-B (1 Month LIBOR USD + 1.33%, 1.33% Floor)

    3.35% ^      09/15/2037       3,531,581  
  11,441,000    

Series 2018-GW-A (1 Month LIBOR USD + 0.80%, 0.80% Floor)

    2.83% ^      05/15/2035       11,433,808  
  1,001,000    

Series 2018-GW-D (1 Month LIBOR USD + 1.77%, 1.77% Floor)

    3.80% ^      05/15/2035       1,005,760  
  10,499,130    

Series 2018-MCSF-D (1 Month LIBOR USD + 1.45%, 1.45% Floor)

    3.48% ^      04/15/2035       10,502,985  
  124,000    

Series 2018-MCSF-F (1 Month LIBOR USD + 2.65%, 2.65% Floor)

    4.67% ^      04/15/2035       124,951  
  10,620,000    

Series 2019-MMP-B (1 Month LIBOR USD + 1.30%, 1.30% Floor)

    3.33% ^      08/15/2036       10,646,550  
  1,905,000    

Series 2019-MMP-C (1 Month LIBOR USD + 1.45%, 1.45% Floor)

    3.48% ^      08/15/2036       1,909,759  
  660,000    

Series 2019-MMP-E (1 Month LIBOR USD + 1.90%, 1.90% Floor)

    3.93% ^      08/15/2036       664,532  
 

Caesars Palace Las Vegas Trust,

 

  4,055,000    

Series 2017-VICI-E

    4.50% #^      10/15/2034       4,202,660  
 

CAMB Commercial Mortgage Trust,

 

  17,352,000    

Series 2019-LIFE-A (1 Month LIBOR USD + 1.07%, 1.07% Floor)

    3.10% ^      12/15/2037       17,410,743  
 

CCRESG Commercial Mortgage Trust,

 

  712,000    

Series 2016-HEAT-A

    3.36% ^      04/10/2029       718,630  
 

CD Commercial Mortgage Trust,

 

  26,128,433    

Series 2017-CD4-XA

    1.47% # I/O      05/10/2050       1,902,369  
 

CF Trust,

 

  6,444,000    

Series 2019-MF1-A (1 Month LIBOR USD + 1.05%, 1.05% Floor)

    3.08% ^      08/21/2032       6,460,174  
 

CFCRE Commercial Mortgage Trust,

 

  114,032,864    

Series 2017-C8-XA

    1.81% # I/O      06/15/2050       10,114,453  
  42,452,000    

Series 2017-C8-XB

    1.12% # I/O      06/15/2050       2,749,731  
  5,586,000    

Series 2018-TAN-B

    4.69% ^      02/15/2033       5,949,031  
  4,752,000    

Series 2018-TAN-C

    5.29% ^      02/15/2033       5,092,912  
  2,851,000    

Series 2018-TAN-D

    6.10% ^      02/15/2033       3,063,337  
 

CG-CCRE Commercial Mortgage Trust,

 

  1,364,901    

Series 2014-FL2-A (1 Month LIBOR USD + 1.85%, 1.85% Floor)

    3.88% ^      11/15/2031       1,362,475  
 

CGDBB Commercial Mortgage Trust,

 

  2,410,000    

Series 2017-BIOC-A (1 Month LIBOR USD + 0.79%, 0.75% Floor)

    2.82% ^      07/15/2032       2,412,185  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

CGDBB Commercial Mortgage Trust, (Cont.)

 

  4,165,000    

Series 2017-BIOC-B (1 Month LIBOR USD + 0.97%, 0.95% Floor)

    3.00% ^      07/15/2032       4,168,755  
  4,697,000    

Series 2017-BIOC-D (1 Month LIBOR USD + 1.60%, 1.60% Floor)

    3.63% ^      07/15/2032       4,701,687  
  6,576,000    

Series 2017-BIOC-E (1 Month LIBOR USD + 2.15%, 2.25% Floor)

    4.18% ^      07/15/2032       6,584,040  
 

CGGS Commercial Mortgage Trust,

 

  12,600,000    

Series 2018-WSS-D (1 Month LIBOR USD + 2.30%, 2.30% Floor)

    4.33% ^      02/15/2037       12,605,529  
 

CHT Mortgage Trust,

 

  973,000    

Series 2017-CSMO-A (1 Month LIBOR USD + 0.93%, 0.11% Floor)

    2.96% ^      11/15/2036       974,310  
  7,731,000    

Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor)

    5.03% ^       11/15/2036       7,768,355  
  4,123,000    

Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor)

    5.77% ^      11/15/2036       4,149,572  
 

Citigroup Commercial Mortgage Trust,

 

  33,588,572    

Series 2016-GC36-XA

    1.44% # I/O      02/10/2049       2,147,600  
  64,565,884    

Series 2016-P3-XA

    1.85% # I/O      04/15/2049       5,072,354  
  9,000,000    

Series 2018-TBR-A (1 Month LIBOR USD + 0.83%, 0.80% Floor)

    2.86% ^      12/15/2036       8,989,912  
  179,000    

Series 2018-TBR-D (1 Month LIBOR USD + 1.80%, 1.80% Floor)

    3.83% ^      12/15/2036       179,154  
 

CLNS Trust,

 

  363,000    

Series 2017-IKPR-C (1 Month LIBOR USD + 1.10%, 1.10% Floor)

    3.15% ^      06/11/2032       362,766  
  6,919,000    

Series 2017-IKPR-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

    4.10% ^      06/11/2032       6,923,262  
  6,919,000    

Series 2017-IKPR-E (1 Month LIBOR USD + 3.50%, 3.50% Floor)

    5.55% ^      06/11/2032       6,941,981  
 

Commercial Mortgage Pass-Through Certificates,

 

  7,727,681    

Series 2012-CR2-XA

    1.80% # I/O      08/15/2045       290,223  
  111,035,351    

Series 2013-CR12-XA

    1.32% # I/O      10/10/2046       4,240,251  
  28,296,139    

Series 2013-LC6-XA

    1.49% # I/O      01/10/2046       1,031,940  
  2,950,000    

Series 2014-FL5-C (1 Month LIBOR USD + 2.15%, 2.15% Floor)

    3.58% ^      10/15/2031       2,954,233  
  6,657,000    

Series 2014-FL5-D (1 Month LIBOR USD + 4.00%, 4.00% Floor)

    3.58% ^      10/15/2031       6,597,951  
  170,451,075    

Series 2015-CR25-XA

    1.04% # I/O      08/10/2048       7,070,686  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   49


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Commercial Mortgage Pass-Through Certificates, (Cont.)

 

  21,308,000    

Series 2018-HCLV-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

    3.03% ^      09/15/2033       21,291,062  
 

Credit Suisse Commercial Mortgage Securities Corporation,

 

  10,603,000    

Series 2019-SKLZ-A (1 Month LIBOR USD + 1.25%, 1.25% Floor)

    3.28% ^      01/15/2034       10,634,815  
 

Credit Suisse Mortgage Capital Certificates,

 

  18,505,000    

Series 2019-ICE4-A (1 Month LIBOR USD + 0.98%, 0.98% Floor)

    3.01% ^      05/15/2036           18,526,244  
 

Credit Suisse Mortgage Trust,

 

  5,464,000    

Series 2017-LSTK-C

    3.23% ^      04/05/2033       5,469,808  
  6,501,000    

Series 2017-LSTK-D

    3.44% #^      04/05/2033       6,502,448  
 

CSAIL Commercial Mortgage Trust,

 

  126,479,738    

Series 2017-C8-XA

    1.39% # I/O      06/15/2050       7,819,433  
  19,983,080    

Series 2017-CX9-XA

    1.02% # I/O      09/15/2050       764,251  
 

CSMC Trust 2017-MOON,

 

  583,000    

Series 2017-MOON-D

    3.30% #^      07/10/2034       587,595  
 

CSMC Trust,

 

  10,862,000    

Series 2017-CHOP-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

    3.93% ^      07/15/2032       10,900,299  
  811,000    

Series 2017-LSTK-E

    3.44% #^      04/05/2033       806,640  
 

CSWF Trust,

 

  20,220,000    

Series 2018-TOP-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

    3.03% ^      08/15/2035       20,241,093  
 

DBCG Mortgage Trust,

 

  12,925,000    

Series 2017-BBG-B (1 Month LIBOR USD + 0.85%, 0.95% Floor)

    2.88% ^      06/15/2034       12,907,967  
 

DBGS Mortgage Trust,

 

  11,744,670    

Series 2018-BIOD-A (1 Month LIBOR USD + 0.80%, 0.80% Floor)

    2.83% ^      05/15/2035       11,763,047  
 

Exantas Capital Corporation Ltd.,

 

  18,119,352    

Series 2019-RSO7-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

    3.02% ^      04/15/2036       18,146,531  
 

GPMT Ltd.,

 

  7,361,855    

Series 2018-FL1-A (1 Month LIBOR USD + 0.90%, 0.90% Floor)

    2.94% ^      11/21/2035       7,368,296  
  12,432,000    

Series 2018-FL1-D (1 Month LIBOR USD + 2.95%, 2.95% Floor)

    4.99% ^      11/21/2035       12,525,240  
  17,691,000    

Series 2019-FL2-A (1 Month LIBOR USD + 1.30%, 1.30% Floor)

    3.33% ^      02/22/2036       17,797,146  
 

GPT Mortgage Trust,

 

  6,396,000    

Series 2018-GPP-B (1 Month LIBOR USD + 1.28%, 1.28% Floor)

    3.31% ^      06/15/2035       6,378,448  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Great Wolf Trust,

 

  12,112,000    

Series 2017-WOLF-B (1 Month LIBOR USD + 1.10%, 1.10% Floor)

    3.13% ^      09/15/2034       12,120,105  
  3,487,000    

Series 2017-WOLF-D (1 Month LIBOR USD + 2.10%, 1.00% Floor)

    4.13% ^      09/15/2034       3,491,852  
  5,404,000    

Series 2017-WOLF-E (1 Month LIBOR USD + 3.10%, 1.00% Floor)

    5.13% ^      09/15/2034       5,419,105  
  2,876,000    

Series 2017-WOLF-F (1 Month LIBOR USD + 4.07%, 1.00% Floor)

    6.10% ^      09/15/2034       2,887,845  
 

GS Mortgage Securities Corporation Trust,

 

  1,512,000    

Series 2017-500K-D (1 Month LIBOR USD + 1.30%, 1.55% Floor)

    3.33% ^      07/15/2032       1,513,910  
 

GS Mortgage Securities Corporation,

 

  26,411,500    

Series 2018-FBLU-E (1 Month LIBOR USD + 2.75%, 2.75% Floor)

    4.78% ^      11/15/2035       26,532,288  
  6,000,000    

Series 2018-TWR-A (1 Month LIBOR USD + 0.90%, 0.85% Floor)

    2.93% ^      07/15/2031       5,992,253  
  6,000,000    

Series 2018-TWR-D (1 Month LIBOR USD + 1.60%, 1.50% Floor)

    3.63% ^      07/15/2031       5,983,021  
 

GS Mortgage Securities Trust,

 

  6,788,000    

Series 2017-500K-E (1 Month LIBOR USD + 1.50%, 1.75% Floor)

    3.53% ^      07/15/2032       6,803,106  
  9,116,000    

Series 2017-500K-F (1 Month LIBOR USD + 1.80%, 2.15% Floor)

    3.83% ^      07/15/2032       9,148,090  
  110,743,570    

Series 2017-GS6-XA

    1.19% # I/O      05/10/2050       7,631,218  
  133,154,181    

Series 2017-GS7-XA

    1.28% # I/O      08/10/2050       9,301,792  
  153,895,862    

Series 2017-GS8-XA

    1.12% # I/O      11/10/2050       9,594,207  
 

Hilton Orlando Trust,

 

  9,236,000    

Series 2018-ORL-B (1 Month LIBOR USD + 1.05%)

    3.08% ^      12/15/2034       9,240,278  
 

Hunt Ltd.,

 

  7,250,000    

Series 2017-FL1-B (1 Month LIBOR USD + 1.65%)

    3.68% ^      08/15/2034       7,233,666  
  20,301,000    

Series 2018-FL2-A (1 Month LIBOR USD + 1.08%, 1.08% Floor)

    3.11% ^      08/15/2028       20,384,742  
 

IMT Trust,

 

  3,990,000    

Series 2017-APTS-DFL (1 Month LIBOR USD + 1.55%)

    3.58% ^      06/15/2034       3,992,622  
 

JP Morgan Chase Commercial Mortgage Securities Corporation,

 

  1,116,630    

Series 2015-JP1-A1

    1.95%       01/15/2049       1,114,231  
  1,272,494    

Series 2017-FL10-B (1 Month LIBOR USD + 1.00%, 1.00% Floor)

    3.03% ^      06/15/2032       1,268,187  
 

 

50   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

JP Morgan Chase Commercial Mortgage Securities Corporation, (Cont.)

 

  2,027,000    

Series 2017-FL10-C (1 Month LIBOR USD + 1.25%, 1.25% Floor)

    3.28% ^      06/15/2032       2,017,576  
  6,562,000    

Series 2017-FL10-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

    3.93% ^      06/15/2032       6,523,499  
  12,337,848    

Series 2018-LAQ-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

    3.03% ^      06/15/2032       12,345,939  
 

JP Morgan Chase Commercial Mortgage Securities Trust,

 

  393,142    

Series 2006-LDP9-AMS

    5.34%       05/15/2047       377,942  
  384,371    

Series 2007-LDPX-AM

    5.46% #      01/15/2049       385,096  
  4,546,000    

Series 2011-C4-E

    5.72% #^      07/15/2046       4,748,952  
  16,544,685    

Series 2014-C20-XA

    1.13% # I/O      07/15/2047       448,151  
  69,598,035    

Series 2016-JP4-XA

    0.88% # I/O      12/15/2049       2,323,837  
  3,188,000    

Series 2016-WIKI-A

    2.80% ^      10/05/2031       3,220,405  
  12,491,000    

Series 2018-WPT-EFL (1 Month LIBOR USD + 2.60%, 2.60% Floor)

    4.67% ^      07/05/2033       12,551,935  
 

JPMBB Commercial Mortgage Securities Trust,

 

  86,811,867    

Series 2015-C32-XA

    1.52% # I/O      11/15/2048       3,408,043  
 

JPMCC Commercial Mortgage Securities Trust,

 

  15,902,000    

Series 2019-MFP-A (1 Month LIBOR USD + 1.00%, 0.96% Floor)

    3.03% ^      07/15/2036       15,901,428  
 

LCCM Mortgage Trust,

 

  500,000    

Series 2014-909-D

    4.03% #^      05/15/2031       506,204  
  3,792,000    

Series 2014-PKMD-MRC

    2.95% #^      11/14/2027       3,787,225  
 

LMREC, Inc.,

 

  1,955,494    

Series 2015-CRE1-AR (1 Month LIBOR USD + 0.98%)

    3.02% ^      02/22/2032       1,960,383  
 

LoanCore Issuer Ltd.,

 

  11,004,000    

Series 2018-CRE1-A (1 Month LIBOR USD + 1.13%, 1.13% Floor)

    3.16% ^      05/15/2028       11,010,877  
  18,273,000    

Series 2019-CRE2-AS (1 Month LIBOR USD + 1.50%, 1.50% Floor)

    3.53% ^      05/15/2036       18,346,092  
  12,297,000    

Series 2019-CRE3-A (1 Month LIBOR USD + 1.05%, 1.05% Floor)

    3.08% ^      04/15/2034       12,315,445  
 

LSTAR Commercial Mortgage Trust,

 

  69,647,284    

Series 2017-5-X

    1.26% #^ I/O      03/10/2050       2,895,885  
 

Marathon CRE,

 

  12,970,000    

Series 2018-FL1-A (1 Month LIBOR USD + 1.15%, 1.15% Floor)

    3.18% ^      06/15/2028       12,997,561  
 

Monarch Beach Resort Trust,

 

  20,092,000    

Series 2018-MBR-A (1 Month LIBOR USD + 0.92%, 0.92% Floor)

    2.95% ^      07/15/2035             20,086,997  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Morgan Stanley Bank of America Merrill Lynch Trust,

 

  2,619,718    

Series 2012-C5-XA

    1.60% #^ I/O      08/15/2045       85,550  
  14,957,651    

Series 2014-C19-LNCX

    0.60% ^ I/O      12/15/2046       421,390  
 

Morgan Stanley Capital Trust,

 

  2,906,000    

Series 2006-IQ11-B

    6.39% #      10/15/2042       2,945,250  
  9,283,706    

Series 2007-T27-AJ

    6.14% #      06/11/2042       9,868,025  
  3,240,000    

Series 2013-WLSR-A

    2.70% ^      01/11/2032       3,236,971  
  4,297,000    

Series 2013-WLSR-C

    3.20% ^      01/11/2032       4,293,456  
  2,409,000    

Series 2014-CPT-G

    3.56% #^      07/13/2029       2,415,703  
  3,216,000    

Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%)

    4.23% ^      11/15/2034       3,220,010  
  4,824,000    

Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%)

    5.18% ^      11/15/2034       4,830,016  
  3,655,000    

Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%)

    6.38% ^      11/15/2034       3,661,846  
  12,901,000    

Series 2018-SUN-A (1 Month LIBOR USD + 0.90%, 0.90% Floor)

    2.93% ^      07/15/2035       12,905,776  
 

Morgan Stanley Capital, Inc.,

 

  1,430,515    

Series 2006-HQ10-X1

    0.72% #^ I/O      11/12/2041       20  
  68,784,310    

Series 2017-H1-XA

    1.60% # I/O      06/15/2050       5,271,354  
 

Motel 6 Trust,

 

  10,673,915    

Series 2017-MTL6-D (1 Month LIBOR USD + 2.15%, 2.15% Floor)

    4.18% ^      08/15/2034       10,716,202  
 

MSCG Trust,

 

  16,416,000    

Series 2018-SELF-A (1 Month LIBOR USD + 0.90%, 0.90% Floor)

    2.93% ^      10/15/2037       16,460,389  
 

Natixis Commercial Mortgage Securities Trust 2018-850T,

 

  5,185,000    

Series 2018-850T-C (1 Month LIBOR USD + 1.15%, 1.15% Floor)

    3.18% ^      07/15/2033       5,183,401  
 

Natixis Commercial Mortgage Securities Trust,

 

  12,017,911    

Series 2018-FL1-A (1 Month LIBOR USD + 0.95%, 0.95% Floor)

    3.15% ^      06/15/2035       11,984,699  
 

NLY Commercial Mortgage Trust,

 

  19,570,000    

Series 2019-FL2-AS (1 Month LIBOR USD + 1.60%, 1.60% Floor)

    3.63% ^      02/15/2036       19,711,882  
 

OBP Depositor LLC Trust,

 

  10,201,000    

Series 2010-OBP-A

    4.65% ^      07/15/2045       10,270,008  
 

PFP Ltd.,

 

  12,998,798    

Series 2019-5-A (1 Month LIBOR USD + 0.97%)

    3.00% ^      04/14/2036       13,052,418  
 

RAIT Trust,

 

  2,363,000    

Series 2017-FL7-AS (1 Month LIBOR USD + 1.30%, 1.30% Floor)

    3.33% ^      06/15/2037       2,351,171  
 

Ready Capital Mortgage Trust,

 

  16,720,741    

Series 2019-5-A

    3.78% ^      02/25/2052       17,217,714  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   51


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Rosslyn Portfolio Trust,

 

  5,437,000    

Series 2017-ROSS-A (1 Month LIBOR USD + 0.95%, 1.94% Floor)

    2.98% ^      06/15/2033       5,441,807  
  6,186,000    

Series 2017-ROSS-B (1 Month LIBOR USD + 1.25%, 2.24% Floor)

    3.28% ^      06/15/2033       6,185,477  
 

Shelter Growth Issuer Ltd.,

 

  16,920,000    

Series 2019-FL2-B (1 Month LIBOR USD + 1.80%, 1.80% Floor)

    4.33% ^      05/15/2036       17,000,285  
 

SLIDE,

 

  15,370,973    

Series 2018-FUN-A (1 Month LIBOR USD + 0.90%, 0.90% Floor)

    2.93% ^      06/15/2031       15,369,640  
  778,523    

Series 2018-FUN-B (1 Month LIBOR USD + 1.25%, 1.25% Floor)

    3.28% ^      06/15/2031       778,980  
 

STWD Ltd.,

 

  12,887,000    

Series 2019-FL1-AS (1 Month LIBOR USD + 1.40%, 0.00% Floor)

    3.67% ^      07/15/2038       12,930,494  
 

UBS Commercial Mortgage Trust,

 

  26,603,123    

Series 2012-C1-XA

    2.24% #^ I/O      05/10/2045       1,094,585  
  70,475,822    

Series 2017-C1-XA

    1.73% # I/O      06/15/2050       6,403,659  
  105,693,691    

Series 2017-C3-XA

    1.26% # I/O      08/15/2050       6,808,692  
  118,059,156    

Series 2018-C8-XA

    1.04% # I/O      02/15/2051       7,070,303  
 

VMC Finance LLC,

 

  15,681,313    

Series 2018-FL2-A (1 Month LIBOR USD + 0.92%, 0.92% Floor)

    2.94% ^      10/15/2035       15,711,688  
 

Wells Fargo Commercial Mortgage Trust 2019-C51,

 

  184,547,258    

Series 2019-C51-XA

    1.53% # I/O      06/15/2052       18,734,924  
 

Wells Fargo Commercial Mortgage Trust,

 

  31,315,713    

Series 2015-LC22-XA

    0.99% # I/O      09/15/2058       1,225,290  
 

WF-RBS Commercial Mortgage Trust,

 

  12,309,477    

Series 2012-C8-XA

    1.98% #^ I/O      08/15/2045       503,390  
       

 

 

 
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $1,287,695,668)

 

    1,271,832,769  
       

 

 

 
 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 18.0%
 
 
 

Ajax Mortgage Loan Trust,

 

  18,028,024    

Series 2017-C-A

    3.75%       07/25/2060       18,134,674  
  9,101,504    

Series 2018-E-A

    4.38% #^      06/25/2058       9,222,844  
  35,491,077    

Series 2018-F-A

    4.38% #^      11/25/2058       35,725,211  
  3,564,721    

Series 2019-C-A

    3.95% #^      10/25/2058       3,591,396  
 

Angel Oak Mortgage Trust LLC,

 

  2,431,822    

Series 2017-1-A1

    2.81% #^      01/25/2047       2,433,383  
  1,188,494    

Series 2017-1-A2

    3.09% #^      01/25/2047       1,189,895  
  16,471,137    

Series 2018-2-A1

    3.67% #^      07/27/2048       16,664,294  
 

Arroyo Mortgage Trust,

 

  22,626,350    

Series 2019-3-A2

    3.21% #^      10/25/2048       22,848,857  
  12,228,394    

Series 2019-3-A3

    3.42% #^      10/25/2048       12,348,253  
 

Banc of America Funding Corporation,

 

  182,862    

Series 2005-E-6A1

    4.77% #      05/20/2035       188,360  
 

Banc of America Mortgage Securities Trust,

 

  1,079,586    

Series 2005-E-2A1

    4.70% #      06/25/2035       1,042,122  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Bayview Opportunity Master Fund Trust,

 

  1,403,241    

Series 2018-RN6-A1

    4.09%        07/25/2033       1,406,580  
  10,772,941    

Series 2019-SBR1-A1

    3.47%        06/28/2034       10,804,544  
  20,112,593    

Series 2019-SBR2-A1

    3.43%        06/28/2034       20,092,499  
 

BCAP LLC Trust,

 

  1,104,493    

Series 2011-RR1-8A3

    6.00% #^       08/28/2021       1,131,644  
 

Bear Stearns Adjustable Rate Mortgage Trust,

 

  2,215,924    

Series 2003-9-4A1

    4.75% #       02/25/2034       2,289,862  
 

Bear Stearns Asset Backed Securities Trust,

 

  233,903    

Series 2004-AC2-2A

    5.00%        05/25/2034       244,968  
 

Bellemeade Ltd.,

 

  6,544,587    

Series 2018-2A-M1A (1 Month LIBOR USD + 0.95%)

    2.97% ^       08/25/2028       6,547,060  
 

CAM Mortgage Trust,

 

  693,564    

Series 2018-1-A1

    3.96%        12/01/2065       694,970  
 

Carrington Mortgage Loan Trust,

 

  6,673,969    

Series 2007-FRE1-A2 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 14.50% Cap)

    2.22%        02/25/2037       6,666,589  
 

CIM Trust,

 

  7,031,709    

Series 2017-6-A1

    3.02% #^       06/25/2057       7,075,322  
  19,944,357    

Series 2017-8-A1

    3.00% #^       12/25/2065       19,938,473  
 

CitiCorporationResidential Mortgage Securities, Inc.,

 

  604,229    

Series 2007-1-A4

    5.26% ß       03/25/2037       614,116  
  4,105,744    

Series 2007-2-A4

    5.01% ß       06/25/2037       4,134,686  
 

Citigroup Mortgage Loan Trust, Inc.,

 

  1,044,077    

Series 2006-AR1-2A1 (1 Year CMT Rate + 2.40%, 2.40% Floor, 9.87% Cap)

    4.98%        03/25/2036       1,058,568  
  37,292,847    

Series 2018-A-A1

    4.00% #^       01/25/2068       37,428,264  
  9,534,691    

Series 2018-C-A1

    4.13%        03/25/2059       9,612,191  
 

Citigroup Mortgage Loan Trust,

 

  9,816,661    

Series 2019-B-A1

    3.26% #^       04/25/2066       9,840,421  
 

COLT Mortgage Loan Trust,

 

  1,573,615    

Series 2018-1-A2

    2.98% #^       02/25/2048       1,576,676  
  1,963,013    

Series 2018-1-A3

    3.08% #^       02/25/2048       1,966,915  
  4,222,258    

Series 2018-3-A1

    3.69% #^       10/26/2048       4,260,213  
  2,918,326    

Series 2018-3-A2

    3.76% #^       10/26/2048       2,944,489  
  2,794,142    

Series 2018-3-A3

    3.87% #^       10/26/2048             2,819,121  
 

Countrywide Asset-Backed Certificates,

 

  9,092    

Series 2005-15-1AF6

    3.81% #       04/25/2036       9,139  
 

Countrywide Home Loans,

 

  2,762,150    

Series 2004-HYB9-1A1

    4.24% #       02/20/2035       2,796,891  
 

Credit Suisse First Boston Mortgage Securities Corporation,

 

  27,008    

Series 2005-11-5A1

    5.25%        12/25/2020       26,671  
 

Credit Suisse Mortgage Capital Certificates,

 

  6,458,330    

Series 2011-5R-6A9

    3.95% #^       11/27/2037       6,624,484  
  352,535    

Series 2013-3R-1A1

    3.28% #^       04/27/2035       353,870  
 

CSMC Trust,

 

  25,223,213    

Series 2018-RPL7-A1

    4.00% ^       08/26/2058       25,559,262  
  46,506,319    

Series 2018-RPL8-A1

    4.13% #^       07/25/2058       47,023,729  
  22,106,260    

Series 2019-3R-1A1 (1 Month LIBOR USD + 1.40%, 1.40% Floor)

    3.51% ^       06/02/2047       22,287,715  
  19,358,668    

Series 2019-RPL2-A1

    3.92% ^       07/25/2058       19,678,963  
 

Deephaven Residential Mortgage Trust,

 

  1,905,650    

Series 2017-2A-A1

    2.45% #^       06/25/2047       1,904,245  
  925,601    

Series 2017-2A-A2

    2.61% #^       06/25/2047       925,031  
  1,361,178    

Series 2017-2A-A3

    2.71% #^       06/25/2047       1,360,315  
 

 

52   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

First Horizon Mortgage Pass-Through Trust,

 

  4,675,369    

Series 2007-AR2-1A1

    4.82% #       08/25/2037       3,685,135  
 

GCAT LLC,

 

  10,001,961    

Series 2018-1-A1

    3.84%        06/25/2048       10,040,670  
  14,545,726    

Series 2019-2-A1

    3.47%        06/25/2024       14,612,546  
 

GS Mortgage-Backed Securities Trust,

 

  32,489,998    

Series 2019-SL1-A1

    2.63% #^       01/25/2059       32,361,090  
 

GSR Mortgage Loan Trust,

 

  2,056,811    

Series 2005-AR7-3A1

    4.46% #       11/25/2035       2,003,350  
 

Homeward Opportunities Fund Trust,

 

  5,683,955    

Series 2018-1-A1

    3.77% #^       06/25/2048       5,754,795  
  7,359,771    

Series 2018-1-A2

    3.90% #^       06/25/2048       7,454,531  
  8,551,847    

Series 2018-1-A3

    4.00% #^       06/25/2048       8,663,842  
 

Invitation Homes Trust,

 

  29,416,649    

Series 2017-SFR2-A (1 Month LIBOR USD + 0.85%, 0.85% Floor)

    2.87% ^       12/17/2036       29,472,211  
  19,015,662    

Series 2018-SFR1-A (1 Month LIBOR USD + 0.70%)

    2.72% ^       03/17/2037       18,808,424  
 

JP Morgan Alternative Loan Trust,

 

  163,162    

Series 2006-S4-A6

    5.71% ß       12/25/2036       161,745  
 

JP Morgan Mortgage Trust,

 

  28,389    

Series 2007-S1-1A1

    5.00%        03/25/2022       27,926  
  24,941    

Series 2007-S3-2A2

    5.50%        08/25/2022       24,105  
  18,995,419    

Series 2018-7FRB-A2 (1 Month LIBOR USD + 0.75%)

    2.90% ^       04/25/2046       18,980,998  
 

Legacy Mortgage Asset Trust 2019-GS4,

 

  14,508,290    

Series 2019-GS4-A1

    3.44%        05/25/2059       14,647,976  
 

Legacy Mortgage Asset Trust,

 

  16,923,553    

Series 2017-GS1-A1

    3.50%        01/25/2057       16,891,436  
  22,205,972    

Series 2018-GS1-A1

    4.00%        03/25/2058       22,433,512  
  18,608,352    

Series 2018-GS3-A1

    4.00%        06/25/2058       18,864,878  
  34,268,866    

Series 2019-GS1-A1

    4.00%        01/25/2059       34,773,979  
  18,546,130    

Series 2019-GS2-A1

    3.75%        01/25/2059       19,338,050  
  28,718,433    

Series 2019-GS3-A1

    3.75%        04/25/2059       29,361,273  
  541,759    

Series 2019-GS5-A1

    3.20%        05/25/2059       545,010  
  30,497,833    

Series 2019-GS6-A1

    3.00%        06/25/2059             30,719,309  
 

MASTR Adjustable Rate Mortgages Trust,

 

  3,670,354    

Series 2006-2-2A1

    4.56% #       04/25/2036       3,249,931  
 

Merrill Lynch Mortgage Investors Trust,

 

  2,546,345    

Series 2005-3-2A

    4.37% #       11/25/2035       2,583,922  
 

MFA LLC,

 

  12,150,697    

Series 2017-NPL1-A1

    3.35%        11/25/2047       12,224,977  
  15,316,954    

Series 2018-NPL1-A1

    3.88%        05/25/2048       15,449,066  
 

Mill City Mortgage Loan Trust,

 

  9,802,788    

Series 2017-1-A1

    2.75% #^       11/25/2058       9,852,608  
  17,195,645    

Series 2017-3-A1

    2.75% #^       01/25/2061       17,304,449  
 

Morgan Stanley Mortgage Loan Trust,

 

  7,360    

Series 2004-1-1A1

    5.00%        08/25/2020       7,518  
 

Morgan Stanley Re-Remic Trust,

 

  803,076    

Series 2012-R3-2A (1 Month LIBOR USD + 0.23%, 0.23% Floor)

    2.25% ^       02/26/2037       802,957  
 

Nationstar HECM Loan Trust,

 

  4,400,000    

Series 2018-2A-M2

    3.82% #^       07/25/2028       4,395,195  
 

New Residential Mortgage Loan Trust,

 

  13,939,517    

Series 2018-FNT1-A

    3.61% ^       05/25/2023       14,132,464  
  14,144,806    

Series 2019-NQM1-A1

    3.67% #^       01/25/2049       14,406,182  
  11,594,140    

Series 2019-NQM1-A2

    3.88% #^       01/25/2049       11,787,993  
  36,059,575    

Series 2019-RPL1-A1

    4.33%        02/26/2024       36,395,344  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

NRZ Excess Spread-Collateralized Notes,

 

  17,341,004    

Series 2018-PLS1-A

    3.19% ^       01/25/2023       17,430,376  
  14,621,779    

Series 2018-PLS2-A

    3.27% ^       02/25/2023       14,728,663  
 

Oak Hill Advisors Residential Loan Trust,

 

  1,527,204    

Series 2017-NPL1-A1

    3.00%        06/25/2057       1,530,941  
  734,891    

Series 2017-NPL2-A1

    3.00%        07/25/2057       736,185  
 

Oaktown Ltd.,

 

  9,400,000    

Series 2019-1A-M1A (1 Month LIBOR USD + 1.40%, 1.40% Floor)

    3.42% ^       07/25/2029       9,427,025  
 

OBX Trust,

 

  5,233,804    

Series 2018-1-A2 (1 Month LIBOR USD + 0.65%)

    2.67% ^       06/25/2057       5,224,995  
 

Opteum Mortgage Acceptance Corporation,

 

  35,502    

Series 2005-5-2AN

    5.68% #       12/25/2035       35,812  
 

Park Avenue Funding Trust,

 

  36,111,456    

Series 2019-3-PT (1 Month LIBOR USD + 1.50%, 1.50% Floor)

    3.55% ^       01/27/2021       36,113,038  
 

Pretium Mortgage Credit Partners LLC,

 

  6,028,381    

Series 2018-NPL4-A1

    4.83%        09/25/2058       6,076,395  
  43,625,140    

Series 2019-1A-A1

    4.50%        01/25/2024       44,042,485  
  44,369,406    

Series 2019-NPL1-A1

    4.21%        07/25/2060       44,792,859  
  4,303,507    

Series 2019-NPL2-A1

    3.84%        12/25/2058       4,326,875  
 

PRPM LLC,

 

  2,095,136    

Series 2017-1A-A1

    4.25%        01/25/2022       2,104,926  
  16,658,533    

Series 2018-1A-A1

    3.75% #^       04/25/2023       16,715,549  
  27,193,617    

Series 2018-2A-A1

    4.00% #^       08/25/2023       27,400,571  
  4,071,275    

Series 2019-3A-A1

    3.35%        07/25/2024       4,088,841  
 

Radnor Ltd.,

 

  32,385,551    

Series 2019-2-M1A (1 Month LIBOR USD + 1.20%, 1.20% Floor)

    3.22% ^       06/25/2029       32,403,998  
 

Starwood Mortgage Residential Trust,

 

  5,882,582    

Series 2018-IMC1-A2

    3.90% #^       03/25/2048       5,993,692  
 

Structured Asset Securities Corporation,

 

  243,286    

Series 2003-24A-1A3

    4.41% #       07/25/2033       249,775  
  41,308    

Series 2005-10-6A1

    5.00%        06/25/2020       41,927  
 

Towd Point Mortgage Trust,

 

  29,885,923    

Series 2019-SJ1-A1

    3.75% #^       11/25/2058       30,207,830  
 

Velocity Commercial Capital Loan Trust,

 

  275,390    

Series 2016-1-AFX

    3.53% #^       04/25/2046       274,885  
  2,471,439    

Series 2016-2-AFX

    3.00% #       10/25/2046       2,475,914  
  10,124,228    

Series 2017-1-AFX

    3.00% #^       05/25/2047       10,100,561  
  7,640,927    

Series 2019-2-A

    3.13% #^       07/25/2049       7,701,249  
 

Vericrest Opportunity Loan Trust,

 

  33,582,919    

Series 2019-NPL3-A1

    3.97%        03/25/2049       33,854,534  
 

Verus Securitization Trust,

 

  7,001,589    

Series 2017-1A-A1

    2.85% #^       01/25/2047       7,008,773  
  1,037,272    

Series 2017-1A-A2

    3.16% #^       01/25/2047       1,038,131  
  10,834,148    

Series 2018-1-A1

    2.93% #^       02/25/2048       10,860,861  
 

VOLT LLC,

 

  6,530,824    

Series 2017-NP11-A1

    3.38%        10/25/2047       6,557,130  
  13,634,364    

Series 2017-NPL9-A1

    3.13%        09/25/2047       13,676,028  
  8,890,667    

Series 2018-NPL1-A1

    3.75%        04/25/2048       8,927,084  
  11,840,645    

Series 2018-NPL5-A1A

    4.21%        08/25/2048       11,901,003  
  27,350,676    

Series 2018-NPL6-A1A

    4.11%        09/25/2048       27,498,339  
  6,357,737    

Series 2018-NPL7-A1A

    3.97%        09/25/2048       6,404,241  
  13,849,735    

Series 2018-NPL8-A1A

    4.21%        10/26/2048       13,932,423  
  8,719,296    

Series 2018-NPL9-A1A

    4.46%        10/25/2048       8,784,736  
  16,517,222    

Series 2019-NPL1-A1A

    4.34%        01/25/2049       16,671,295  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   53


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Washington Mutual Mortgage Pass-Through Certificates,

 

  729,003    

Series 2002-AR16-A

    4.70% #       12/25/2032       752,267  
 

Wells Fargo Mortgage Backed Securities Trust,

 

  906,473    

Series 2006-AR6-5A1

    4.95% #       03/25/2036       928,357  
        

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $1,369,882,758)

 

    1,380,327,741  
        

 

 

 
  US CORPORATE BONDS 5.7%  
  5,887,000    

AbbVie, Inc.

    3.38%        11/14/2021       6,035,968  
  6,748,000    

American Express Company (3 Month LIBOR USD + 0.65%)

    2.78%        02/27/2023       6,763,899  
  11,615,000    

Amgen, Inc.

    2.20%        05/11/2020       11,613,242  
  957,000    

Amgen, Inc.

    2.65%        05/11/2022       969,768  
  6,125,000    

Analog Devices, Inc.

    2.95%        01/12/2021       6,172,492  
  10,600,000    

Anthem, Inc.

    2.50%        11/21/2020       10,639,089  
  1,790,000    

Anthem, Inc.

    3.30%        01/15/2023       1,849,091  
  13,169,000    

AT&T, Inc.

    2.80%        02/17/2021       13,287,217  
  12,259,000    

Bank of America Corporation (3 Month LIBOR USD + 0.79%)

    2.92%        03/05/2024       12,285,868  
  7,170,000    

BAT Capital Corporation

    2.76%        08/15/2022       7,240,531  
  6,095,000    

BB&T Corporation

    2.20%        03/16/2023       6,091,841  
  6,139,000    

Capital One Financial Corporation

    2.40%        10/30/2020       6,157,452  
  11,865,000    

Cardinal Health, Inc.

    2.62%        06/15/2022       11,929,463  
  3,475,000    

Caterpillar Financial Services Corporation

    1.90%        09/06/2022       3,472,029  
  5,291,000    

Celgene Corporation

    2.88%        08/15/2020       5,320,956  
  5,970,000    

Cigna Corporation

    3.40%        09/17/2021       6,108,295  
  6,471,000    

Cintas Corporation

    2.90%        04/01/2022       6,614,901  
  6,676,000    

Citigroup, Inc.

    2.75%        04/25/2022       6,777,859  
  5,880,000    

Citigroup, Inc. (3 Month LIBOR USD + 1.02%)

    3.16%        06/01/2024       5,922,832  
  5,910,000    

Comcast Corporation

    3.45%        10/01/2021       6,087,914  
  3,694,000    

Consolidated Edison, Inc.

    2.00%        03/15/2020       3,692,500  
  2,466,000    

Consolidated Edison, Inc.

    2.00%        05/15/2021       2,463,999  
  6,243,000    

Continental Resources, Inc.

    4.50%        04/15/2023       6,490,132  
  11,855,000    

CVS Health Corporation

    3.70%        03/09/2023       12,346,774  
  4,760,000    

Daimler Finance North America LLC

    2.30% ^       02/12/2021       4,765,004  
  200,000    

Daimler Finance North America LLC

    3.40% ^       02/22/2022       204,679  
  6,180,000    

Delta Air Lines, Inc.

    3.40%        04/19/2021       6,268,483  
  2,970,000    

DTE Energy Company

    2.53%        10/01/2024       2,982,649  
  4,280,000    

DuPont de Nemours, Inc.

    3.77%        11/15/2020       4,359,838  
  5,965,000    

eBay, Inc.

    2.75%        01/30/2023       6,041,338  
  5,795,000    

Energy Transfer Operating LP

    4.25%        03/15/2023       6,059,375  
  5,625,000    

EQT Corporation

    2.50%        10/01/2020       5,616,968  
  6,440,000    

Ford Motor Credit Company LLC (3 Month LIBOR USD + 1.24%)

    3.39%        02/15/2023       6,248,349  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  6,315,000    

General Electric Company

    2.70%        10/09/2022       6,333,628  
  6,252,000    

General Mills, Inc.

    3.15%        12/15/2021       6,380,317  
  2,315,000    

General Motors Financial Company

    2.65%        04/13/2020       2,318,288  
  3,358,000    

General Motors Financial Company

    3.20%        07/06/2021       3,393,296  
  4,605,000    

Goldman Sachs Group, Inc.

    2.30%        12/13/2019       4,605,617  
  5,355,000    

Goldman Sachs Group, Inc.

    3.20%        06/05/2020       5,396,520  
  2,305,000    

Goldman Sachs Group, Inc.

    2.35%        11/15/2021       2,307,801  
  7,270,000    

JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%)

    3.21%        04/01/2023       7,446,399  
  610,000    

Kinder Morgan Energy Partners LP

    6.85%        02/15/2020       620,285  
  1,550,000    

Kinder Morgan Energy Partners LP

    3.95%        09/01/2022       1,614,100  
  10,266,000    

Kinder Morgan, Inc.

    3.05%        12/01/2019       10,271,931  
  5,190,000    

Marathon Petroleum Corporation

    4.75%        12/15/2023       5,636,141  
  5,180,000    

Marsh & McLennan Companies, Inc. (3 Month LIBOR USD + 1.20%)

    3.30%        12/29/2021       5,190,480  
  5,795,000    

Microchip Technology, Inc.

    3.92%        06/01/2021       5,921,028  
  11,415,000    

Mondelez International, Inc.

    3.00%        05/07/2020       11,474,765  
  815,000    

Mondelez International, Inc.

    3.63%        05/07/2023       853,310  
  11,830,000    

Morgan Stanley (3 Month LIBOR USD + 0.93%)

    3.21%        07/22/2022       11,922,731  
  6,030,000    

NextEra Energy Capital Holdings, Inc.

    3.34%        09/01/2020       6,098,871  
  12,478,000    

Northrop Grumman Corporation

    2.08%        10/15/2020       12,484,221  
  3,260,000    

Occidental Petroleum Corporation

    2.70%        08/15/2022       3,289,884  
  4,930,000    

PayPal Holdings, Inc.

    2.20%        09/26/2022       4,944,884  
  6,140,000    

Penske Truck Leasing Company

    2.70% ^       11/01/2024       6,160,776  
  3,755,000    

PNC Bank

    2.45%        11/05/2020       3,772,384  
  1,905,000    

PNC Funding Corporation

    3.30%        03/08/2022       1,966,501  
  679,000    

Prudential Financial, Inc.

    4.50%        11/15/2020       697,413  
  1,770,000    

Prudential Financial, Inc.

    4.50%        11/16/2021       1,857,144  
  8,805,000    

Prudential Financial, Inc.

    3.50%        05/15/2024       9,377,696  
  5,240,000    

PSEG Power LLC

    3.85%        06/01/2023       5,544,619  
  2,785,000    

Republic Services, Inc.

    2.50%        08/15/2024       2,818,841  
  3,295,000    

Reynolds American, Inc.

    3.25%        06/12/2020       3,316,254  
  1,280,000    

Reynolds American, Inc.

    4.00%        06/12/2022       1,333,972  
  5,870,000    

Schlumberger Holdings Corporation

    3.75% ^       05/01/2024       6,186,519  
  5,950,000    

Simon Property Group LP

    2.00%        09/13/2024       5,893,293  
 

 

54   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  4,625,000    

Synchrony Financial

    3.75%       08/15/2021       4,733,950  
  1,535,000    

Synchrony Financial

    2.85%       07/25/2022       1,549,137  
  12,016,000    

Thermo Fisher Scientific, Inc.

    3.60%       08/15/2021       12,321,379  
  5,755,000    

Union Pacific Corporation

    3.20%       06/08/2021       5,856,276  
  5,605,000    

Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%)

    3.26%       05/15/2025       5,696,180  
  6,675,000    

Volkswagen Group of America Finance LLC

    4.00% ^      11/12/2021       6,900,649  
  5,590,000    

Waste Management, Inc.

    2.95%       06/15/2024       5,783,860  
  12,485,000    

Wells Fargo & Company

    2.60%       01/15/2021       12,576,899  
  5,885,000    

Welltower, Inc.

    3.63%       03/15/2024       6,183,292  
       

 

 

 
  Total US Corporate Bonds
(Cost $432,690,614)

 

    437,912,326  
       

 

 

 
 
US GOVERNMENT AND AGENCY MORTGAGE BACKED
OBLIGATIONS 6.6%
 
 
 

Fannie Mae

 

  4,471,465    

Pool BC0057 (12 Month LIBOR USD + 1.60%, 1.60% Floor, 7.41% Cap)

    2.41%       12/01/2045       4,536,862  
 

Federal Home Loan Mortgage Corporation Pass-Thru,

 

  127,267,345    

Series K722-X1

    1.44% # I/O      03/25/2023       4,666,206  
 

Federal Home Loan Mortgage Corporation,

 

  2,992,124    

Pool 840632 (12 Month LIBOR USD + 1.62%, 1.62% Floor, 7.67% Cap)

    2.59%       05/01/2045       3,054,287  
  235,759    

Pool N70081

    5.50%       07/01/2038       262,284  
  11,508,437    

Series 0-3843-FB (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)

    2.36%       04/15/2041       11,497,115  
  8,819,171    

Series 0-4773-EA

    4.00%       10/15/2042       8,957,672  
  30,000,000    

Series 0-4920-FA (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

    2.51%       10/25/2049       30,101,253  
  1,860,000    

Series 3025-FW (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap)

    2.28%       08/15/2035       1,851,095  
  43,554    

Series 3818-JA

    4.50%       01/15/2040       43,772  
  28,068    

Series 3872-BA

    4.00%       06/15/2041       29,195  
  2,313,964    

Series 4050-BC

    2.00%       05/15/2041       2,296,440  
  895,994    

Series 4074-KF (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap)

    2.33%       02/15/2041       893,604  
  1,068,109    

Series 4238-FD (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap)

    2.33%       02/15/2042       1,069,722  
  2,645,900    

Series 4381-FK (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.38%       06/15/2044       2,632,893  
  12,614,385    

Series 4484-CD

    1.75%       07/15/2030       12,490,359  
  6,741,756    

Series 4631-GF (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap)

    2.53%       11/15/2046       6,764,741  

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Federal Home Loan Mortgage Corporation, (Cont.)

 

  12,524,121    

Series 4725-FB (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.38%        08/15/2047       12,461,844  
  17,710,924    

Series 4768-FG (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.33%        03/15/2048       17,667,213  
  9,844,632    

Series 4824-FC (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.38%        09/15/2048       9,842,309  
  8,996,719    

Series 4842-FA (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.38%        11/15/2048       9,001,545  
 

Federal National Mortgage Association Pass-Thru,

 

  110,032    

Pool AB3850

    4.00%        11/01/2041       113,787  
  5,671,567    

Pool AL2987 (12 Month LIBOR USD + 1.63%, 7.33% Cap)

    3.10%        11/01/2042       5,830,840  
  2,502,987    

Pool AL4292

    4.50%        04/01/2026       2,612,222  
 

Federal National Mortgage Association,

 

  2,873,818    

Pool AL9932

    3.04%        01/01/2024       2,946,687  
  9,150,000    

Pool AM6134

    2.67%        09/01/2021       9,202,520  
  3,877,553    

Pool BM3520
(12 Month LIBOR USD + 1.56%, 1.56% Floor, 7.00% Cap)

    2.03%        05/01/2045       3,930,014  
  8,184,128    

Series 0-404-F13 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap)

    2.62%        05/25/2040       8,229,169  
  2,802,058    

Series 2006-97-FE (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

    2.47%        10/25/2035       2,806,871  
  1,117,907    

Series 2010-113-FA (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap)

    2.42%        10/25/2040       1,119,959  
  42,494,467    

Series 2010-54-FB (1 Month LIBOR USD + 0.39%, 0.39% Floor, 7.00% Cap)

    2.41%        06/25/2036       42,551,078  
  1,007,485    

Series 2011-128-FK (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap)

    2.37%        07/25/2041       1,008,127  
  17,874,766    

Series 2011-63-FP (1 Month LIBOR USD + 0.32%, 0.32% Floor, 7.00% Cap)

    2.34%        07/25/2041       17,845,891  
  104,148    

Series 2011-64-DB

    4.00%        07/25/2041       111,857  
  7,166,047    

Series 2011-86-KF (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap)

    2.57%        09/25/2041       7,200,771  
  28,861,405    

Series 2011-96-FA (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

    2.47%        10/25/2041       28,972,112  
  2,539,208    

Series 2012-110-MF (1 Month LIBOR USD + 0.46%, 0.46% Floor, 6.50% Cap)

    2.48%        10/25/2042       2,547,421  
  1,207,040    

Series 2012-111-JF (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap)

    2.42      07/25/2040       1,210,667  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   55


Schedule of Investments  DoubleLine Low Duration Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Federal National Mortgage Association, (Cont.)

 

  9,181,712    

Series 2012-56-FA (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap)

    2.57      06/25/2042       9,248,420  
  19,348,435    

Series 2012-56-FK (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

    2.47      06/25/2042       19,381,693  
  2,728,075    

Series 2013-81-EF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.37      12/25/2042       2,725,382  
  12,022,425    

Series 2016-89-FH (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap)

    2.52      12/25/2046       12,079,261  
  7,631,923    

Series 2017-3-FA (1 Month LIBOR USD + 0.50%, 0.50% Floor)

    2.52      02/25/2047       7,652,616  
  22,512,237    

Series 2017-96-FA (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap)

    2.42      12/25/2057       22,642,324  
  13,898,642    

Series 2018-15-JF (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.32      03/25/2048       13,877,609  
  12,465,603    

Series 2018-49-FB (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.32      07/25/2048       12,402,355  
  19,679,817    

Series 2018-55-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.32      08/25/2048       19,625,544  
  13,182,700    

Series 2018-64-FA (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.37      09/25/2048       13,077,971  
  20,710,854    

Series 2018-70-HF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.37      10/25/2058       20,662,324  
  18,538,654    

Series 2018-71-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.32      09/25/2048       18,514,568  
  12,197,761    

Series 2018-77-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.32      10/25/2048       12,099,211  
  8,242,534    

Series 2019-42-KF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap)

    2.37      08/25/2049       8,242,436  
  9,004,409    

Series 2019-42-LF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap)

    2.37      08/25/2049       9,003,994  
  15,888,578    

Series 2019-57-FE (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

    2.49      10/25/2049       15,878,648  
  5,176,878    

Series 2019-6-KF (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

    2.47      03/25/2049       5,166,016  
        

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $497,695,729)

 

    500,640,776  
        

 

 

 

PRINCIPAL

AMOUNT $/
SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  US GOVERNMENT AND AGENCY OBLIGATIONS 4.6%  
  72,800,000    

United States Treasury Notes

    2.25      03/31/2020       72,935,078  
  103,800,000    

United States Treasury Notes

    1.63      04/30/2023       103,972,325  
  155,000,000    

United States Treasury Notes

    2.25      12/31/2023       159,338,183  
  18,200,000    

United States Treasury Notes

    1.75      06/30/2024       18,358,895  
        

 

 

 
  Total US Government and Agency Obligations
(Cost $349,648,284)

 

    354,604,481  
        

 

 

 
  AFFILIATED MUTUAL FUNDS 0.7%  
  5,000,000    

DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I)

         49,650,000  
        

 

 

 
  Total Affiliated Mutual Funds
(Cost $50,000,000)

 

    49,650,000  
        

 

 

 
  EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.0%  
  89,329    

Frontera Energy Corporation

         862,916  
        

 

 

 
  Total Exchange Traded Funds and Common Stocks
(Cost $8,231,569)

 

    862,916  
        

 

 

 
  SHORT TERM INVESTMENTS 8.2%  
  125,760,438    

First American Government Obligations Fund - Class U

    1.88 %¨         125,760,438  
  125,760,438    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83 %¨         125,760,438  
  125,760,438    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83 %¨         125,760,438  
  30,700,000    

United States Treasury Bills

    0.00      10/10/2019       30,686,383  
  61,600,000    

United States Treasury Bills

    0.00      11/07/2019       61,491,527  
  37,000,000    

United States Treasury Bills

    0.00      12/05/2019       36,881,337  
  80,400,000    

United States Treasury Bills

    0.00      01/30/2020       79,920,111  
  43,300,000    

United States Treasury Bills

    0.00      02/06/2020       43,024,933  
        

 

 

 
  Total Short Term Investments
(Cost $629,158,605)

 

    629,285,605  
        

 

 

 
  Total Investments 100.6%
(Cost $7,682,323,872)

 

    7,700,555,458  
  Liabilities in Excess of Other Assets (0.6)%

 

    (48,657,999
        

 

 

 
  NET ASSETS 100.0%

 

  $ 7,651,897,459  
        

 

 

 
 

 

56   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Non-Agency Residential Collateralized Mortgage Obligations

         18.0%  

Non-Agency Commercial Mortgage Backed Obligations

         16.6%  

Foreign Corporate Bonds

         15.0%  

Collateralized Loan Obligations

         14.0%  

Short Term Investments

         8.2%  

Asset Backed Obligations

         7.4%  

US Government and Agency Mortgage Backed Obligations

         6.6%  

US Corporate Bonds

         5.7%  

US Government and Agency Obligations

         4.6%  

Bank Loans

         2.4%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         1.4%  

Affiliated Mutual Funds

         0.7%  

Exchange Traded Funds and Common Stocks

         0.0% ~ 

Other Assets and Liabilities

         (0.6)%  
      

 

 

 
         100.0%  
      

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Non-Agency Residential Collateralized Mortgage Obligations

         18.0%  

Non-Agency Commercial Mortgage Backed Obligations

         16.6%  

Collateralized Loan Obligations

         14.0%  

Short Term Investments

         8.2%  

Asset Backed Obligations

         7.4%  

Banking

         7.2%  

US Government and Agency Mortgage Backed Obligations

         6.6%  

US Government and Agency Obligations

         4.6%  

Energy

         3.6%  

Telecommunications

         1.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         1.4%  

Healthcare

         1.0%  

Transportation

         1.0%  

Utilities

         0.8%  

INVESTMENT BREAKDOWN as a % of Net Assets:

(Cont.)

 

 

Pharmaceuticals

         0.7%  

Affiliated Mutual Funds

         0.7%  

Consumer Products

         0.6%  

Finance

         0.6%  

Chemicals/Plastics

         0.6%  

Media

         0.5%  

Food Products

         0.4%  

Mining

         0.4%  

Hotels/Motels/Inns and Casinos

         0.3%  

Technology

         0.3%  

Conglomerates

         0.3%  

Automotive

         0.3%  

Pulp & Paper

         0.3%  

Building and Development (including Steel/Metals)

         0.3%  

Food Service

         0.3%  

Electronics/Electric

         0.2%  

Aerospace & Defense

         0.2%  

Insurance

         0.2%  

Containers and Glass Products

         0.2%  

Real Estate

         0.2%  

Business Equipment and Services

         0.2%  

Beverage and Tobacco

         0.2%  

Industrial Equipment

         0.1%  

Environmental Control

         0.1%  

Chemical Products

         0.1%  

Diversified Manufacturing

         0.1%  

Commercial Services

         0.1%  

Leisure

         0.0% ~ 

Financial Intermediaries

         0.0% ~ 

Construction

         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.

 

#

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

±

Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of September 30, 2019.

 

Perpetual Maturity

 

I/O

Interest only security

 

ß

The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of September 30, 2019.

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019

 

~

Represents less than 0.05% of net assets

A summary of the DoubleLine Low Duration Bond Fund’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund  

Value at
March 31,

2019

 

Gross

Purchases

 

Gross

Sales

  Shares Held at
September 30,
2019
  Value at
September 30,
2019
  Change in
Unrealized for the
Period Ended
September  30,
2019
  Dividend Income
Earned in the
Period Ended
September  30,
2019
  Net Realized
Gain (Loss) in
the Period Ended
September  30,
2019

DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I)

    $ 49,000,000     $     $       5,000,000     $ 49,650,000     $ 650,000     $ 844,984     $
   

 

 

 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   57


Schedule of Investments  DoubleLine Floating Rate Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  BANK LOANS 87.4%       
  AEROSPACE & DEFENSE 2.8%  
 

American Airlines, Inc.,

 

  1,620,710    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.03%        12/15/2023       1,621,869  
 

Dynasty Acquisition Company, Inc.,

 

  416,224    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

    6.10%        04/06/2026       418,694  
  223,776    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

    6.10%        04/06/2026       225,104  
 

Kestrel Bidco, Inc.,

 

  1,565,000    

Senior Secured First Lien Term Loan

    5.27% ±       10/08/2026       1,578,576  
 

Syncreon Global Finance Inc.,

 

  2,315,776    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

    6.52% W       10/28/2020       1,097,099  
 

Transdigm, Inc.,

      
  1,710,545    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        05/30/2025       1,705,978  
 

WP CPP Holdings LLC,

      
  1,428,971    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

    6.01%        04/30/2025       1,432,994  
        

 

 

 
           8,080,314  
        

 

 

 
  AUTOMOTIVE 1.3%  
 

American Tire Distributors, Inc.,

 

  1,256,742    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK)

    9.62%        09/02/2024       1,110,959  
 

IAA, Inc.,

      
  389,075    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.31%        06/29/2026       391,507  
 

Mavis Tire Express Services Corporation,

 

  97,857    

Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)

    5.29% &       03/20/2025       96,022  
  769,334    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        03/20/2025       754,909  
 

Wand NewCo 3, Inc.,

      
  1,255,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

    5.54%        02/05/2026       1,262,844  
        

 

 

 
           3,616,241  
        

 

 

 
  BEVERAGE AND TOBACCO 0.2%  
 

Arctic Glacier U.S.A., Inc.,

      
  582,457    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

    5.54%        03/20/2024       568,624  
        

 

 

 
  BUILDING AND DEVELOPMENT (INCLUDING STEEL/METALS) 1.9%  
 

Advanced Drainage Systems, Inc.,

 

  470,000    

Senior Secured First Lien Term Loan

    4.34% ±       09/24/2026       472,742  
 

Aleris International, Inc.,

 

  1,724,033    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

    6.79%        02/27/2023       1,728,989  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Foresight Energy LLC,

 

  2,162,786    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)

    7.87%        03/28/2022       1,191,338  
 

Forest City Enterprises, LP,

 

  1,424,563    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

    6.04%        12/08/2025       1,436,808  
 

GrafTech Finance, Inc.,

 

  728,957    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

    5.54%        02/12/2025       711,035  
        

 

 

 
           5,540,912  
        

 

 

 
  BUSINESS EQUIPMENT AND SERVICES 8.9%  
 

AlixPartners LLP,

      
  862,788    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

    4.79%        04/04/2024       864,764  
 

Allied Universal Holdco LLC,

 

  138,739    

Senior Secured First Lien Term Loan

    6.57% ±&       07/12/2026       139,107  
  1,401,261    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%)

    6.51%        07/10/2026       1,404,982  
 

Capri Acquisitions BidCo Ltd.,

 

  1,767,070    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

    5.26%        11/01/2024       1,748,842  
 

Change Healthcare Holdings, Inc.,

 

  1,712,266    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

    4.54%        03/01/2024       1,706,598  
 

Clear Channel Outdoor Holdings, Inc.,

 

  1,020,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

    5.54%        08/21/2026       1,024,279  
 

Cvent, Inc.,

      
  1,123,099    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

    5.79%        11/29/2024       1,110,818  
 

Deerfield Holdings Corporation,

 

  886,353    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.29%        02/13/2025       873,280  
 

EAB Global, Inc.,

      
  1,440,031    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor)

    6.38%        11/15/2024       1,425,026  
 

Fleet US Bidco, Inc.,

      
  840,000    

Senior Secured First Lien Term Loan

    5.28% ±       09/25/2026       845,250  
 

Garda World Security Corporation,

 

  2,628,138    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

    7.50%        05/24/2024       2,633,881  
 

Genesys Telecommunications Laboratories, Inc.,

 

  1,725,828    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        12/01/2023       1,718,631  
 

IRI Holdings, Inc.,

      
  398,995    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

    6.62%        12/01/2025       384,906  
 

Iron Mountain Information Management LLC,

 

  1,456,304    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        01/02/2026       1,445,986  
 

 

58   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

KAR Auction Services, Inc.,

 

 
  502,823    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.31%        09/19/2026       505,810  
 

Kronos, Inc.,

      
  1,725,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.25%        11/01/2023       1,730,097  
 

NCR Corporation,

      
  312,000    

Senior Secured First Lien Term Loan

    4.53% ±&       08/28/2026       312,975  
 

Prime Security Services Borrower LLC,

 

  1,030,000    

Senior Secured First Lien Term Loan

    5.34% ±       09/23/2026       1,020,184  
 

ServiceMaster Company LLC,

 

  399,339    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        11/08/2023       400,443  
 

SMG US Midco 2, Inc.,

      
  3,312    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        01/23/2025       3,297  
 

Tempo Acquisition LLC,

 

  1,720,515    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        05/01/2024       1,728,765  
 

The Dun & Bradstreet Corporation,

 

  1,149,181    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

    7.05%        02/06/2026       1,157,696  
 

Trans Union LLC,

      
  1,512,013    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        04/10/2023       1,519,051  
        

 

 

 
           25,704,668  
        

 

 

 
  CHEMICALS/PLASTICS 1.1%  
 

Charter NEX US, Inc.,

      
  344,138    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

    5.54%        05/16/2024       344,926  
 

Messer Industries LLC,

      
  709,929    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%)

    4.60%        03/02/2026       709,489  
 

Natgasoline LLC,

      
  701,583    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

    5.81%        11/14/2025       702,460  
 

Pregis Topco LLC,

      
  660,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

    6.25%        07/31/2026       659,175  
 

Solenis International LP,

 

  871,538    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

    6.12%        06/26/2025       850,294  
        

 

 

 
           3,266,344  
        

 

 

 
  CONTAINERS AND GLASS PRODUCTS 1.4%  
 

Berry Global, Inc.,

      
  235,660    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.30%        10/01/2022       237,053  
  1,980,038    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.55%        07/01/2026       1,991,888  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Flex Acquisition Company, Inc.,

 

  675,000    

Senior Secured First Lien Term Loan

    5.35% ±       06/29/2025       651,797  
 

Reynolds Group Holdings, Inc.,

 

  1,152,038    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        02/06/2023       1,155,471  
        

 

 

 
           4,036,209  
        

 

 

 
  COSMETICS/TOILETRIES 0.4%  
 

Kronos Acquisition Holdings, Inc.,

 

  765,601    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

    6.26%        05/15/2023       728,278  
 

Sunshine Luxembourg VII SARL,

 

  510,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%)

    6.35%        09/25/2026       513,029  
        

 

 

 
           1,241,307  
        

 

 

 
  ELECTRONICS/ELECTRIC 12.4%  
 

Access CIG LLC,

      
  1,157,622    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.78%        02/27/2025       1,145,328  
 

Almonde, Inc.,

      
  1,473,140    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

    5.70%        06/13/2024       1,436,385  
 

Applied Systems, Inc.,

      
  1,440,478    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.10%        09/19/2024       1,440,075  
 

Blackhawk Network Holdings, Inc.,

 

  1,440,087    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        06/16/2025       1,437,682  
 

Canyon Valor Companies, Inc.,

 

  1,240,018    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

    4.85%        06/16/2023       1,240,018  
 

Dell International LLC,

      
  1,536,563    

Senior Secured First Lien Term Loan

    4.05% ±       09/19/2025       1,545,621  
 

DigiCert Holdings, Inc.,

      
  860,000    

Senior Secured First Lien Term Loan

    6.26% ±       08/08/2026       858,388  
 

Financial & Risk US Holdings, Inc.,

 

  1,768,666    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        10/01/2025       1,780,092  
 

Flexera Software LLC,

      
  1,432,840    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.55%        02/26/2025       1,437,618  
 

Go Daddy Operating Company LLC,

 

  1,597,753    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        02/15/2024       1,602,354  
 

GoodRX, Inc.,

      
  1,624,692    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    4.81%        10/10/2025       1,626,723  
 

Hyland Software, Inc.,

      
  1,722,186    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor)

    5.29%        07/01/2024       1,724,124  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   59


Schedule of Investments  DoubleLine Floating Rate Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Hyland Software, Inc., (Cont.)

 

 
  422,234    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor)

    9.04%        07/07/2025       425,006  
 

Informatica LLC,

      
  1,535,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        08/05/2022       1,542,997  
 

NCR Corporation,

      
  273,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        08/28/2026       273,853  
 

ON Semiconductor Corporation,

 

  450,000    

Senior Secured First Lien Term Loan

    4.05% ±       09/19/2026       452,534  
 

Project Alpha Intermediate Holding, Inc.,

 

  1,450,398    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

    5.81%        04/26/2024       1,434,081  
 

Renaissance Holding Corporation,

 

  1,474,802    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        05/30/2025       1,451,095  
 

Severin Acquisition LLC,

 

  1,458,688    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

    5.46%        08/01/2025       1,438,025  
 

SolarWinds Holdings, Inc.,

 

  1,709,298    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        02/05/2024       1,713,306  
 

Solera LLC,

      
  1,296,090    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        03/03/2023       1,291,456  
 

Sophia LP,

      
  1,819,612    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.35%        09/30/2022       1,822,268  
 

SS&C Technologies, Inc.,

      
  737,787    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        04/16/2025       741,181  
  1,116,973    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        04/16/2025       1,122,111  
 

Uber Technologies, Inc.,

 

  1,434,195    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)

    6.03%        04/04/2025       1,428,523  
 

Ultimate Software Group,

 

  745,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        05/04/2026       750,297  
 

Vertafore, Inc.,

      
  1,477,248    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        07/02/2025       1,438,477  
 

WeddingWire, Inc.,

      
  1,025,928    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    6.54%        12/19/2025       1,027,210  
        

 

 

 
           35,626,828  
        

 

 

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  ENERGY 2.0%  
 

Brazos Delaware LLC,

      
  1,258,355    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

    6.05%        05/21/2025       1,164,765  
 

Gavilan Resources LLC,

      
  620,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)

    8.04%        03/01/2024       280,036  
 

Gulf Finance LLC,

      
 

Senior Secured First Lien Term Loan

      
  262,922    

(3 Month LIBOR USD + 5.25%, 1.00% Floor)

    7.36%        08/25/2023       201,465  
  447,677    

(1 Month LIBOR USD + 5.25%, 1.00% Floor)

    7.29%        08/25/2023       343,035  
 

Lower Cadence Holdings LLC,

 

  704,925    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

    6.05%        05/22/2026       688,846  
 

Lucid Energy Group II Borrower LLC,

 

  751,740    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        02/18/2025       713,683  
 

McDermott International, Inc.,

 

  718,177    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)

    7.10%        05/12/2025       457,120  
 

Prairie ECI Acquiror LP,

      
  935,300    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)

    6.85%        03/11/2026       914,840  
 

UGI Energy Services LLC,

      
  1,037,400    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        08/13/2026       1,046,477  
        

 

 

 
           5,810,267  
        

 

 

 
  ENVIRONMENTAL CONTROL 0.2%  
 

US Ecology, Inc.,

      
  480,000    

Senior Secured First Lien Term Loan

    4.79% ±       08/14/2026       483,151  
        

 

 

 
  FINANCE 0.6%  
 

Blackstone CQP Holdco LP,

      
  1,700,738    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

    5.66%        09/30/2024       1,710,151  
        

 

 

 
  FINANCIAL INTERMEDIARIES 1.7%  
 

Millennium Trust Company LLC,

 

  1,442,569    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

    7.04%        03/27/2026       1,404,702  
 

RPI Finance Trust,

      
  1,052,665    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        03/27/2023       1,059,407  
 

The Edelman Financial Center LLC,

 

  1,721,924    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.31%        07/21/2025       1,726,685  
 

Victory Capital Holdings, Inc.,

 

 
  565,636    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

    5.35% ±       07/01/2026       568,818  
        

 

 

 
           4,759,612  
        

 

 

 
 

 

60   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  FOOD PRODUCTS 2.4%  
 

8th Avenue Food & Provisions, Inc.,

 

  267,975    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        10/01/2025       269,288  
 

B&G Foods, Inc.,

      
  300,000    

Senior Secured First Lien Term Loan

    4.59% ±       10/11/2026       301,782  
 

CHG PPC Parent LLC,

      
  1,440,835    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        03/31/2025       1,444,437  
 

CSM Bakery Solutions LLC,

 

  1,838,079    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

    6.29%        07/03/2020       1,718,604  
 

Jacobs Douwe Egberts International B.V.,

 

  1,726,422    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.06%        11/03/2025       1,730,738  
 

JBS USA Lux S.A.,

      
  1,564,550    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        05/01/2026       1,573,679  
        

 

 

 
           7,038,528  
        

 

 

 
  FOOD SERVICE 2.8%  
 

Aramark Services, Inc.,

 

  640,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        03/11/2025       641,734  
 

Houston Foods, Inc.,

      
  1,698,500    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        07/21/2025       1,566,161  
 

IRB Holding Corporation,

 

  1,730,974    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.55%        02/05/2025       1,725,686  
 

TKC Holdings, Inc.,

      
  1,438,780    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

    5.80%        02/01/2023       1,416,940  
 

US Foods, Inc.,

      
  2,015,000    

Senior Secured First Lien Term Loan

    4.14% ±       09/13/2026       2,024,662  
 

Whatabrands LLC,

      
  755,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

    5.52%        08/03/2026       759,345  
        

 

 

 
           8,134,528  
        

 

 

 
  FOOD/DRUG RETAILERS 1.0%  
 

Albertson’s LLC,

      
  1,001,077    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        08/17/2026       1,008,495  
 

GOBP Holdings, Inc.,

      
  1,716,322    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

    5.76%        10/22/2025       1,727,589  
        

 

 

 
           2,736,084  
        

 

 

 
  HEALTHCARE 15.0%  
 

Acadia Healthcare Company, Inc.,

 

  1,725,962    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        02/16/2023       1,730,683  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Agiliti Health, Inc.,

      
  1,114,400    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.06%        01/05/2026       1,114,400  
 

Air Medical Group Holdings, Inc.,

 

  1,200,661    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.31%        04/28/2022       1,126,874  
 

Air Methods Corporation,

 

  1,344,329    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

    5.60%        04/22/2024       1,098,317  
 

Aldevron LLC,

      
  1,710,000    

Senior Secured First Lien Term Loan

    6.34% ±       09/20/2026       1,718,550  
 

Athenahealth, Inc.,

      
  1,444,094    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

    6.68%        02/11/2026       1,442,744  
 

Auris Luxembourg III Sarl,

 

  1,738,487    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        02/27/2026       1,731,420  
 

Avantor, Inc.,

      
  1,380,195    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        11/21/2024       1,392,707  
 

Azalea TopCo, Inc.,

      
  1,715,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

    5.54%        07/27/2026       1,712,856  
 

CHG Healthcare Services, Inc.,

 

  1,735,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        06/07/2023       1,736,631  
 

Concentra, Inc.,

      
  1,714,756    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

    4.54%        06/01/2022       1,727,617  
 

DaVita, Inc.,

      
  805,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        08/12/2026       810,490  
 

DentalCorporationPerfect Smile ULC,

 

  1,163,251    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

    5.79%        06/06/2025       1,146,046  
 

Envision Healthcare Corporation,

 

  812,952    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        10/10/2025       665,857  
 

Explorer Holdings, Inc.,

      
  650,865    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

    5.85%        05/02/2023       650,559  
 

Gentiva Health Services, Inc.,

 

  2,185,510    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.81%        07/02/2025       2,200,536  
 

Grifols Worldwide Operations USA, Inc.,

 

  1,732,834    

Senior Secured First Lien Term Loan (1 Week LIBOR USD + 2.25%)

    4.14%        01/31/2025       1,743,751  
 

HC Group Holdings, Inc.,

      
  1,145,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%

    6.54%        08/06/2026       1,145,000  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   61


Schedule of Investments  DoubleLine Floating Rate Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

IQVIA, Inc.,

      
  1,645,842    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%)

    4.10%        01/17/2025       1,656,129  
 

MED ParentCo LP,

      
  162,846    

Senior Secured First Lien Term Loan

    6.28% ±&       08/31/2026       161,909  
  652,154    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)

    6.29%        08/31/2026       648,405  
 

MPH Acquisition Holdings LLC,

 

  1,895,859    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

    4.85%        06/07/2023       1,811,332  
 

Outcomes Group Holdings, Inc.,

 

  1,955,225    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

    5.62%        10/24/2025       1,935,673  
 

Parexel International Corporation,

 

  650,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        09/27/2024       618,777  
 

Radiology Partners, Inc.,

      
 

Senior Secured First Lien Term Loan

      
  707,257    

(3 Month LIBOR USD + 4.75%)

    7.06%        07/09/2025       699,050  
  471,505    

(3 Month LIBOR USD + 4.75%)

    7.36%        07/09/2025       466,033  
 

RegionalCare Hospital Partners Holdings, Inc.,

 

  862,084    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    6.55%        11/14/2025       864,175  
 

Select Medical Corporation,

 

  1,745,000    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

    4.58%        03/06/2025       1,750,453  
 

Sound Inpatient Physicians, Inc.,

 

  1,612,438    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        06/27/2025       1,613,244  
  300,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)

    8.79%        06/26/2026       300,075  
 

US Anesthesia Partners, Inc.,

 

  547,201    

Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04% ±       06/24/2024       534,035  
 

Verscend Holding Corporation,

 

  1,721,140    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    6.54%        08/27/2025       1,730,107  
 

Vizient, Inc.,

      
  343,275    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.54%        05/06/2026       345,549  
 

Wink Holdco, Inc.,

      
  1,454,597    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        12/02/2024       1,434,603  
 

Zelis Cost Management Buyer, Inc.,

 

  1,815,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

    6.79%        09/25/2026       1,803,656  
        

 

 

 
           43,268,243  
        

 

 

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  HOTELS/MOTELS/INNS AND CASINOS 4.3%  
 

Caesars Resort Collection LLC,

 

  1,731,061    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        12/23/2024       1,721,652  
 

CEOC LLC,

      
  1,818,036    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        10/04/2024       1,819,172  
 

ESH Hospitality, Inc.,

      
  1,373,180    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        09/18/2026       1,381,226  
 

MGM Growth Properties Operating Partnership LP,

 

  1,748,193    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        03/21/2025       1,754,627  
 

PCI Gaming Authority,

      
  498,750    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        05/29/2026       502,451  
 

Penn National Gaming, Inc.,

 

  402,970    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor)

    4.29%        10/15/2025       405,533  
 

Scientific Games International, Inc.,

 

 

Senior Secured First Lien Term Loan

      
  1,409,909    

(2 Month LIBOR USD + 2.75%)

    4.90%        08/14/2024       1,400,047  
  330,719    

(1 Month LIBOR USD + 2.75%)

    4.79%        08/14/2024       328,406  
 

VICI Properties 1 LLC,

      
  1,990,040    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.05%        12/20/2024       1,997,711  
 

Wyndham Hotels & Resorts, Inc.,

 

  1,058,364    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        05/30/2025       1,064,614  
        

 

 

 
           12,375,439  
        

 

 

 
  INDUSTRIAL EQUIPMENT 0.8%  
 

CPM Holdings, Inc.,

      
  476,400    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        11/17/2025       471,040  
 

Granite Holdings Acquisition Company,

 

  395,000    

Senior Secured First Lien Term Loan

    7.32% ±       09/25/2026       385,619  
 

Milacron LLC,

      
  989,757    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        09/28/2023       990,995  
 

TAMKO Building Products LLC,

 

 

Senior Secured First Lien Term Loan

      
  97,750    

(3 Month LIBOR USD + 3.25%)

    5.37%        05/29/2026       97,933  
  477,250    

(1 Month LIBOR USD + 3.25%)

    5.29%        05/29/2026       478,145  
        

 

 

 
           2,423,732  
        

 

 

 
  INSURANCE 3.8%  
 

Achilles Acquisition LLC,

      
  1,064,650    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

    6.06%        10/13/2025       1,066,646  
 

 

62   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Acrisure LLC,

      
  1,447,461    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

    6.35%        11/22/2023       1,443,393  
 

Alera Group Intermediate Holdings, Inc.,

 

  1,031,391    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    6.54%        08/01/2025       1,040,416  
 

Alliant Holdings Intermediate LLC,

 

  1,027,425    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        05/09/2025       1,021,646  
 

AssuredPartners, Inc.,

      
  1,731,255    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.54%        10/22/2024       1,726,659  
 

Asurion LLC,

      
  509,841    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)

    8.54%        08/04/2025       518,700  
  1,721,298    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        11/03/2023       1,729,904  
 

Frontdoor, Inc.,

      
  1,056,632    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.56%        08/18/2025       1,063,902  
 

Sedgwick Claims Management Services, Inc.,

 

  1,454,171    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        12/31/2025       1,432,242  
        

 

 

 
           11,043,508  
        

 

 

 
  LEISURE 4.0%  
 

Alterra Mountain Company,

 

  1,917,070    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        07/31/2024       1,926,061  
 

Delta 2 SARL,

      
  1,384,449    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

    4.54%        02/01/2024       1,370,259  
 

Equinox Holdings, Inc.,

      
  1,444,707    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        03/08/2024       1,447,416  
 

Life Time Fitness, Inc.,

      
  1,582,709    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

    4.87%        06/10/2022       1,585,138  
 

Lions Gate Capital Holdings LLC,

 

  633,308    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        03/24/2025       632,912  
 

Nascar Holdings, Inc.,

      
  885,000    

Senior Secured First Lien Term Loan

    4.88% ±       07/26/2026       891,983  
 

Six Flags Theme Parks, Inc.,

 

  1,376,550    

Senior Secured First Lien Term Loan

    4.05% ±       04/17/2026       1,379,991  
 

Travel Leaders Group LLC,

 

  702,900    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

    6.05%        01/25/2024       705,244  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

UFC Holdings LLC,

      
  1,574,042    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.30%        04/29/2026       1,580,055  
        

 

 

 
           11,519,059  
        

 

 

 
  MEDIA 7.5%  
 

Ascend Learning LLC,

      
  1,745,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        07/12/2024       1,740,908  
 

Cengage Learning, Inc.,

      
  1,480,383    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

    6.29%        06/07/2023       1,405,957  
 

CSC Holdings LLC,

      
  1,343,130    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.28%        07/17/2025       1,344,446  
  646,750    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.28%        01/15/2026       647,397  
  1,241,888    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

    5.18%        04/15/2027       1,244,731  
 

Diamond Sports Group LLC,

 

  110,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.30%        08/24/2026       110,791  
 

E.W. Scripps Company,

      
  1,248,725    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        05/01/2026       1,251,535  
 

Getty Images, Inc.,

      
  849,682    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    6.56%        02/19/2026       848,267  
 

Gray Television, Inc.,

      
  2,012,833    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.51%        01/02/2026       2,022,756  
 

IHeartCommunications, Inc.,

 

  674,124    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

    6.03%        05/01/2026       679,294  
 

Learfield Communications LLC,

 

  282,474    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.30%        12/01/2023       283,816  
 

NEP Group, Inc.,

      
  1,174,402    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        10/20/2025       1,155,805  
 

Nexstar Broadcasting, Inc.,

 

  2,060,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.81%        09/18/2026       2,071,742  
 

Numericable U.S. LLC,

      
  1,051,820    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

    6.03%        08/14/2026       1,051,162  
 

Radiate Holdco LLC,

      
  1,162,619    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)

    5.04%        02/01/2024       1,159,910  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   63


Schedule of Investments  DoubleLine Floating Rate Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

RentPath, Inc.,

      
  2,235,010    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)

    6.80%        12/17/2021       1,188,757  
 

Sinclair Television Group, Inc.,

 

  675,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        09/30/2026       678,659  
 

Southern Graphics, Inc.,

      
  822,574    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        12/30/2022       610,075  
 

Virgin Media Bristol LLC,

      
  1,986,895    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.53%        01/15/2026       1,990,521  
        

 

 

 
           21,486,529  
        

 

 

 
  PHARMACEUTICALS 1.2%  
 

Catalent Pharma Solutions, Inc.,

 

  1,661,650    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        05/18/2026       1,668,920  
 

Jaguar Holding Company,

      
  1,628,342    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

    4.54%        08/18/2022       1,631,484  
        

 

 

 
           3,300,404  
        

 

 

 
  RETAILERS (OTHER THAN FOOD/DRUG) 2.6%  
 

BJ’s Wholesale Club, Inc.,

      
  1,725,441    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        02/02/2024       1,732,990  
 

Harbor Freight Tools USA, Inc.,

 

  883,980    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

    4.54%        08/18/2023       860,298  
 

Jo-Ann Stores LLC,

      
 

Senior Secured First Lien Term Loan

      
  1,468,184    

(3 Month LIBOR USD + 5.00%, 1.00% Floor)

    7.26%        10/20/2023       1,017,326  
  61,174    

(1 Month LIBOR USD + 5.00%, 1.00% Floor)

    7.05%        10/20/2023       42,389  
 

Mister Car Wash Holdings, Inc.,

 

  64,286    

Senior Secured First Lien Term Loan

    5.67% ±&       05/14/2026       64,303  
  1,282,500    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

    5.66%        05/14/2026       1,282,846  
 

PetSmart, Inc.,

      
  1,511,853    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    6.04%        03/11/2022       1,477,761  
 

Staples, Inc.,

      
  888,882    

Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%)

    7.12%        04/16/2026       877,958  
        

 

 

 
           7,355,871  
        

 

 

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  TELECOMMUNICATIONS 3.1%  
 

Avaya, Inc.,

      
 

Senior Secured First Lien Term Loan

      
  471,300    

(1 Month LIBOR USD + 4.25%)

    6.28%        12/16/2024       449,063  
  276,796    

(2 Month LIBOR USD + 4.25%)

    6.43%        12/16/2024       263,735  
 

CenturyLink, Inc.,

      
  865,472    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        01/31/2025       860,907  
 

Inmarsat PLC,

      
  675,000    

Senior Secured First Lien Term Loan

    6.59% ±       09/23/2026       665,560  
 

Intelsat Jackson Holdings S.A.,

 

  1,140,699    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

    5.80%        11/27/2023       1,145,513  
 

Securus Technologies Holdings, Inc.,

 

  2,188,192    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)

    6.54%        11/01/2024       1,938,377  
 

Speedcast International Ltd.,

 

  751,106    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

    4.85%        05/15/2025       638,440  
 

Sprint Communications, Inc.,

 

  2,010,367    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

    4.54%        02/02/2024       1,999,058  
 

Telesat Canada,

      
  870,417    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)

    4.61%        11/17/2023       873,790  
        

 

 

 
           8,834,443  
        

 

 

 
  TRANSPORTATION 0.6%  
 

PODS LLC,

      
  1,737,135    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

    5.05%        12/06/2024       1,736,414  
        

 

 

 
  UTILITIES 3.4%  
 

Brookfield WEC Holdings, Inc.,

 

  1,144,727    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)

    5.54%        08/01/2025       1,149,809  
 

Calpine Corporation,

      
  140,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        08/12/2026       140,487  
  1,660,838    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

    4.86%        04/06/2026       1,667,174  
 

Compass Power Generation LLC,

 

 
  1,408,602    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

    5.54%        12/20/2024       1,413,004  
 

Edgewater Generation LLC,

 

  719,217    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.79%        12/12/2025       712,028  
 

Exgen Renewables IV LLC,

 

  390,175    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.13%        11/29/2024       382,738  
 

Pike Corporation,

      
  894,368    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.30%        07/24/2026       898,777  
 

 

64   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

PowerTeam Services LLC,

 

  785,805    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.35%        03/06/2025       675,792  
 

USIC Holdings, Inc.,

      
  1,069,832    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.29%        12/08/2023       1,063,146  
 

Vistra Operations Company LLC,

 

 
 

Senior Secured First Lien Term Loan

      
  648,936    

(1 Month LIBOR USD + 2.00%)

    4.02%        12/31/2025       651,597  
  933,835    

(1 Month LIBOR USD + 2.00%)

    4.04%        12/31/2025       937,663  
        

 

 

 
           9,692,215  
        

 

 

 
  Total Bank Loans
(Cost $255,763,302)
         251,389,625  
      

 

 

 
  FOREIGN CORPORATE BONDS 1.0%  
  FOOD SERVICE 1.0%  
  3,000,000    

New Red Finance, Inc.

    4.63% ^       01/15/2022       3,007,800  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $2,959,290)

 

    3,007,800  
      

 

 

 
  US CORPORATE BONDS 7.7%  
  FINANCE 0.7%  
  2,000,000    

Icahn Enterprises Finance Corporation

    6.25%        02/01/2022       2,057,000  
        

 

 

 
  FOOD/DRUG RETAILERS 0.3%  
  815,000    

Albertsons LLC

    5.88% ^       02/15/2028       864,666  
        

 

 

 
  HEALTHCARE 2.9%  
  2,000,000    

Avantor, Inc.

    9.00% ^       10/01/2025       2,252,500  
  3,000,000    

Centene Corporation

    5.63%        02/15/2021       3,044,130  
  3,000,000    

HCA Healthcare, Inc.

    6.25%        02/15/2021       3,148,800  
        

 

 

 
           8,445,430  
        

 

 

 
  MEDIA 1.1%  
  3,000,000    

CCO Holdings LLC

    5.25%        09/30/2022       3,040,050  
        

 

 

 

PRINCIPAL

AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  PHARMACEUTICALS 1.1%  
  3,000,000    

Bausch Health Companies, Inc.

    6.50% ^       03/15/2022       3,105,000  
        

 

 

 
  TECHNOLOGY 0.6%  
  1,500,000    

Financial & Risk US Holdings, Inc.

    6.25% ^       05/15/2026       1,612,485  
        

 

 

 
  TELECOMMUNICATIONS 1.0%  
  3,000,000    

Level 3 Financing, Inc.

    5.38%        08/15/2022       3,018,750  
        

 

 

 
  Total US Corporate Bonds
(Cost $21,658,485)

 

    22,143,381  
      

 

 

 
  SHORT TERM INVESTMENTS 5.8%  
  5,527,766    

First American Government Obligations Fund - Class U

    1.88% ¨         5,527,766  
  5,527,767    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         5,527,767  
  5,527,766    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         5,527,766  
        

 

 

 
  Total Short Term Investments
(Cost $16,583,299)

 

    16,583,299  
        

 

 

 
  Total Investments 101.9%
(Cost $296,964,376)

 

    293,124,105  
  Liabilities in Excess of Other Assets (1.9)%

 

    (5,480,620
      

 

 

 
  NET ASSETS 100.0%        $ 287,643,485  
      

 

 

 
SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Bank Loans

         87.4%  

US Corporate Bonds

         7.7%  

Short Term Investments

         5.8%  

Foreign Corporate Bonds

         1.0%  

Other Assets and Liabilities

         (1.9)%  
      

 

 

 
         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.

 

±

Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate desclosed is as of September 30, 2019.

 

W

Security is in default or has failed to make a scheduled payment. Income is not being accrued.

 

&

Unfunded or partially unfunded loan commitment. At September 30, 2019, the value of these securities amounted to $774,316 or 0.3% 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.

 

¨

Seven-day yield as of September 30, 2019

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   65


Schedule of Investments - Summary  DoubleLine Shiller Enhanced CAPE®  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
  ASSET BACKED OBLIGATIONSµ  
 

Jimmy Johns Funding LLC,

 

  18,669,000    

Series 2017-1A-A2II

    4.85% ^       07/30/2047       19,757,476       0.3%  
  20,000,000    

SBA Tower Trust

    3.17% ^       04/11/2022       20,211,572       0.3%  
 

Springleaf Funding Trust,

 

      
  20,000,000    

Series 2017-AA-A

    2.68% ^       07/15/2030       20,053,656       0.3%  
 

Other Asset Backed Obligationsµ

      424,720,484       5.7%  
        

 

 

   

 

 

 
  Total Asset Backed Obligations
(Cost $478,053,712)

 

    484,743,188       6.6%  
        

 

 

   

 

 

 
  BANK LOANSµ  
  Total Bank Loans
(Cost $309,185,412)

 

    302,955,525       4.1%  
        

 

 

   

 

 

 
  COLLATERALIZED LOAN OBLIGATIONSµ  
 

Anchorage Capital Ltd.,

        
  25,000,000    

Series 2016-9A-AR (3 Month LIBOR USD + 1.37%)

    3.67% ^       07/15/2032       25,041,084       0.3%  
 

CarVal Ltd.,

 

  30,000,000    

Series 2019-2A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

    3.62% ^       07/20/2032       29,997,619       0.4%  
 

CFIP Ltd.,

 

  22,000,000    

Series 2014-1A-AR (3 Month LIBOR USD + 1.32%)

    3.62% ^       07/13/2029       22,035,769       0.3%  
 

CVP Ltd.,

 

  25,000,000    

Series 2017-1A-A (3 Month LIBOR USD + 1.34%)

    3.62% ^       07/20/2030       25,002,407       0.3%  
 

Elevation Ltd.,

 

  20,000,000    

Series 2018-9A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor)

    3.42% ^       07/15/2031       19,863,659       0.3%  
 

Halcyon Loan Advisors Funding Ltd.,

 

  25,000,000    

Series 2015-3A-A1R (3 Month LIBOR USD + 0.90%)

    3.20% ^       10/18/2027       24,999,474       0.3%  
 

LCM LP,

 

  20,000,000    

Series 17A-A2RR (3 Month LIBOR USD + 1.15%, 1.15% Floor)

    3.45% ^       10/15/2031       19,910,161       0.3%  
 

Marathon Ltd.,

 

  25,000,000    

Series 2013-5A-A1R (3 Month LIBOR USD + 0.87%)

    3.02% ^       11/21/2027       24,904,443       0.3%  
 

Midocean Credit,

 

  25,000,000    

Series 2017-7A-A1 (3 Month LIBOR USD + 1.32%)

    4.38% ^       07/15/2032       25,050,156       0.3%  
 

MP Ltd.,

 

  25,000,000    

Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%)

    3.56% ^       07/25/2029       24,974,780       0.3%  
 

Nassau Ltd.,

 

  20,000,000    

Series 2018-IA-A (3 Month LIBOR USD + 1.15%)

    3.45% ^       07/15/2031       19,902,015       0.3%  
 

Venture Ltd.,

 

  19,479,142    

Series 2015-20A-AR (3 Month LIBOR USD + 0.82%)

    3.12% ^       04/15/2027       19,456,676       0.3%  
 

Other Collateralized Loan Obligationsµ

      600,132,148       8.2%  
        

 

 

   

 

 

 
  Total Collateralized Loan Obligations
(Cost $882,005,448)

 

    881,270,391       11.9%  
        

 

 

   

 

 

 
  FOREIGN CORPORATE BONDSµ  
  Total Foreign Corporate Bonds
(Cost $608,489,791)

 

    614,767,079       8.3%  
        

 

 

   

 

 

 
  FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONSµ  
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $50,226,705)

 

    50,460,699       0.7%  
        

 

 

   

 

 

 
  NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONSµ  
 

JP Morgan Chase Commercial Mortgage Securities Trust,

 

  4,314,000    

Series 2019-UES-D

    4.60% #^       05/05/2032       4,560,886       0.1%  
 

Other Non-Agency Commercial Mortgage Backed Obligationsµ

      972,702,654       13.1%  
        

 

 

   

 

 

 
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $986,755,606)

 

    977,263,540       13.2%  
        

 

 

   

 

 

 

 

66   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $     OF NET
ASSETS
 
  NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS  
 

Ajax Mortgage Loan Trust,

 

  20,971,158    

Series 2019-C-A

    3.95% #^      10/25/2058       21,128,085       0.3%  
 

Bayview Opportunity Master Fund Trust,

 

  20,569,698    

Series 2019-SBR2-A1

    3.43% ^§      06/28/2034       20,549,147       0.3%  
 

Bellemeade Ltd.,

 

  27,100,000    

Series 2019-2A-M1A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

    3.02% ^      04/25/2029       27,110,027       0.4%  
 

Citigroup Mortgage Loan Trust, Inc.,

 

  37,292,847    

Series 2018-A-A1

    4.00% #^      01/25/2068       37,428,264       0.5%  
 

CSMC Trust,

 

  35,074,623    

Series 2018-RPL8-A1

    4.13% #^      07/25/2058       35,464,849       0.5%  
 

CSMC Trust,

 

  19,358,668    

Series 2019-RPL2-A1

    3.92% ^      07/25/2058       19,678,963       0.3%  
 

Legacy Mortgage Asset Trust,

 

  20,851,668    

Series 2019-GS3-A1

    3.75% ^§      04/25/2059       21,318,416       0.3%  
 

Legacy Mortgage Asset Trust,

 

  20,431,207    

Series 2018-GS2-A1

    4.00% ^§      04/25/2058       20,693,327       0.3%  
 

Morgan Stanley Capital Trust,

 

  25,774,163    

Series 2006-HE3-A2D (1 Month LIBOR USD + 0.25%, 0.25% Floor)

    2.27%       04/25/2036       24,725,461       0.3%  
 

Park Avenue Funding Trust,

 

  36,088,615    

Series 2019-3-PT (1 Month LIBOR USD + 1.50%, 1.50% Floor)

    3.55% ^      01/27/2021       36,090,196       0.5%  
 

Pretium Mortgage Credit Partners LLC,

 

  20,000,000    

Series 2019-NPL3-A1

    3.10% ^§      07/27/2059       20,063,464       0.3%  
 

PRPM LLC,

 

  20,200,972    

Series 2018-2A-A1

    4.00% #^      08/25/2023       20,354,710       0.3%  
 

Radnor Ltd.,

 

  22,427,892    

Series 2019-2-M1A (1 Month LIBOR USD + 1.20%, 1.20% Floor)

    3.22% ^      06/25/2029       22,440,667       0.3%  
 

Velocity Commercial Capital Loan Trust,

 

  22,327,384    

Series 2019-2-A

    3.13% #^      07/25/2049       22,503,649       0.3%  
 

VOLT LLC,

 

  19,536,197    

Series 2018-NPL6-A1A

    4.11% ^§      09/25/2048       19,641,671       0.3%  
 

Other Non-Agency Residential Collateralized Mortgage Obligationsµ

      520,529,516       6.9%  
       

 

 

   

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $885,875,268)

 

    889,720,412       12.1%  
       

 

 

   

 

 

 
  US CORPORATE BONDSµ  
  Total US Corporate Bonds
(Cost $378,757,812)

 

    383,087,776       5.2%  
       

 

 

   

 

 

 
  US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS  
 

Federal National Mortgage Association,

 

  16,877,184    

Series 2018-57-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.32%       08/25/2048       16,825,598       0.2%  
 

Federal National Mortgage Association,

 

  21,107,383    

Series 2012-56-FK (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

    2.47%       06/25/2042       21,143,665       0.3%  
 

Federal National Mortgage Association,

 

  19,842,632    

Series 2018-70-HF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

    2.37%       10/25/2058       19,796,137       0.3%  
  177,494,364    

Federal National Mortgage Association

    2.00% – 3.50%       11/25/2026 – 12/25/2057       178,026,440       2.4%  
  93,217,115    

Federal Home Loan Mortgage Corporation

    1.50% – 4.50% I/F I/O      09/15/2026 – 09/15/2047       93,792,388       1.3%  
 

Federal Home Loan Mortgage Corporation,

 

  75,000,000    

Pool SB8011

    3.00%       10/01/2034       76,748,377       1.0%  
 

Federal Home Loan Mortgage Corporation,

 

  39,026,492    

Pool SB0048

    3.00%       08/01/2034       40,081,104       0.5%  
 

Federal Home Loan Mortgage Corporation,

 

 
  27,880,360    

Pool SB8013

    2.50%       09/01/2034       28,132,949       0.4%  
 

Other US Government and Agency Mortgage Backed Obligationsµ

      113,458,310       1.6%  
       

 

 

   

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $585,414,561)

 

    588,004,968       8.0%  
       

 

 

   

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS  
  156,000,000    

United States Treasury Notes

    2.25%       03/31/2020       156,289,453       2.1%  
  222,300,000    

United States Treasury Notes

    1.63%       04/30/2023       222,669,054       3.0%  

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   67


Schedule of Investments - Summary  DoubleLine Shiller Enhanced CAPE®  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
  331,900,000    

United States Treasury Notes

    2.25%        12/31/2023       341,189,310       4.6%  
  39,100,000    

United States Treasury Notes

    1.75%        06/30/2024       39,441,361       0.6%  
        

 

 

   

 

 

 
  Total US Government and Agency Obligations
(Cost $748,753,746)

 

    759,589,178       10.3%  
        

 

 

   

 

 

 
  AFFILIATED MUTUAL FUNDS  
  29,875,562    

DoubleLine Ultra Short Bond Fund (Class I)

         300,249,400       4.1%  
        

 

 

   

 

 

 
  Total Affiliated Mutual Funds
(Cost $299,900,100)

 

    300,249,400       4.1%  
        

 

 

   

 

 

 
  WARRANTSµ  
 

Total Warrants

(Cost $–)

 

 

    —         0.0%  
        

 

 

   

 

 

 
  SHORT TERM INVESTMENTS  
  154,122,173    

First American Government Obligations Fund - Class U

    1.88% ¨         154,122,173       2.1%  
  154,122,173    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         154,122,173       2.1%  
  154,122,173    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional
Share Class

    1.83% ¨         154,122,173       2.1%  
  172,300,000    

United States Treasury Bills

    0.00%        01/30/2020       171,271,581       2.3%  
  65,900,000    

United States Treasury Bills

    0.00%        10/10/2019       65,870,771       0.9%  
  131,900,000    

United States Treasury Bills

    0.00%        11/07/2019       131,667,733       1.8%  
  79,300,000    

United States Treasury Bills

    0.00%        12/05/2019       79,045,675       1.1%  
  92,800,000    

United States Treasury Bills

    0.00%        02/06/2020       92,210,479       1.2%  
        

 

 

   

 

 

 
  Total Short Term Investments
(Cost $1,002,161,020)

 

    1,002,432,758       13.6%  
        

 

 

   

 

 

 
  Total Investments
(Cost $7,215,579,181)

 

    7,234,544,914       98.1%  
  Liabilities in Excess of Other Assets

 

    143,395,440       1.9%  
        

 

 

   

 

 

 
  NET ASSETS        $ 7,377,940,354       100.0%  
        

 

 

   

 

 

 
SECURITY TYPE BREAKDOWN as a % of Net Assets:       

Short Term Investments

         13.6%  

Non-Agency Commercial Mortgage Backed Obligations

         13.2%  

Non-Agency Residential Collateralized Mortgage Obligations

         12.1%  

Collateralized Loan Obligations

         11.9%  

US Government and Agency Obligations

         10.3%  

Foreign Corporate Bonds

         8.3%  

US Government and Agency Mortgage Backed Obligations

         8.0%  

Asset Backed Obligations

         6.6%  

US Corporate Bonds

         5.2%  

Bank Loans

         4.1%  

Affiliated Mutual Funds

         4.1%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         0.7%  

Warrants

         0.0% ~ 

Other Assets and Liabilities

         1.9%  
      

 

 

 
         100.0%  
      

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:       

Short Term Investments

         13.6%  

Non-Agency Commercial Mortgage Backed Obligations

         13.2%  

Non-Agency Residential Collateralized Mortgage Obligations

         12.1%  

Collateralized Loan Obligations

         11.9%  

US Government and Agency Obligations

         10.3%  

US Government and Agency Mortgage Backed Obligations

         8.0%  

Asset Backed Obligations

         6.6%  

Banking

         4.9%  

Affiliated Mutual Funds

         4.1%  

Energy

         2.2%  

Healthcare

         1.3%  

Telecommunications

         1.0%  

Pharmaceuticals

         0.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         0.7%  

Utilities

         0.7%  

INVESTMENT BREAKDOWN as a % of Net Assets:

(Cont.)

      

Transportation

         0.6%  

Electronics/Electric

         0.6%  

Media

         0.5%  

Finance

         0.4%  

Chemicals/Plastics

         0.4%  

Automotive

         0.4%  

Business Equipment and Services

         0.3%  

Insurance

         0.3%  

Aerospace & Defense

         0.3%  

Food Products

         0.3%  

Consumer Products

         0.3%  

Mining

         0.2%  

Technology

         0.2%  

Building and Development (including Steel/Metals)

         0.2%  

Hotels/Motels/Inns and Casinos

         0.2%  

Industrial Equipment

         0.2%  

Leisure

         0.2%  

Beverage and Tobacco

         0.1%  

Real Estate

         0.1%  

Food Service

         0.1%  

Conglomerates

         0.1%  

Pulp & Paper

         0.1%  

Retailers (other than Food/Drug)

         0.1%  

Containers and Glass Products

         0.1%  

Environmental Control

         0.1%  

Financial Intermediaries

         0.1%  

Diversified Manufacturing

         0.1%  

Commercial Services

         0.1%  

Chemical Products

         0.1%  

Food/Drug Retailers

         0.0% ~ 

Construction

         0.0% ~ 

Cosmetics/Toiletries

         0.0% ~ 

Other Assets and Liabilities

         1.9%  
      

 

 

 
         100.0%  
      

 

 

 
 

 

68   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

µ

Represents issues not identified as the 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 September 30, 2019.

 

^

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.

 

#

Includes variable rate securities. Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

I/F

Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

 

I/O

Interest only security

 

¨

Seven-day yield as of September 30, 2019.

 

~

Represents less than 0.05% of net assets.

 

Excess Return Swaps                            
Reference Entity   Counterparty   Long/Short   Financing
Rate
  Payment
Frequency
  Termination
Date
  Notional
Amount
 

Unrealized
Appreciation
(Depreciation)/

Value

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       09/15/2020       100,000,000     $ (2,746,295 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       09/02/2020       100,000,000       (2,351,347 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       09/01/2020       100,000,000       (1,871,169 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       10/03/2019       100,800,000       (1,445,911 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       11/04/2020       100,000,000       (1,324,833 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       10/01/2019       125,100,000       (895,555 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       09/16/2020       100,000,000       (830,623 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       11/11/2020       100,000,000       (432,249 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       11/17/2020       100,000,000       (384,091 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       10/10/2019       84,900,000       (193,206 )

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       11/12/2020       100,000,000       7,325

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       09/29/2020       50,000,000       32,541

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       09/22/2020       100,000,000       62,451

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       05/19/2020       100,000,000       124,218

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       05/27/2020       100,000,000       169,913

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       10/08/2019       100,000,000       582,202

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       07/16/2020       50,000,000       612,227

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       11/05/2020       90,000,000       619,802

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       11/10/2020       100,000,000       688,669

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       08/06/2020       100,000,000       992,863

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       11/03/2020       100,000,000       1,100,079

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       08/04/2020       100,000,000       1,121,233

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       06/10/2020       100,000,000       1,169,624

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       10/20/2020       100,000,000       1,319,391

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       08/05/2020       100,000,000       1,338,748

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       07/21/2020       100,000,000       1,376,214

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       05/05/2020       75,000,000       1,390,790

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       08/13/2020       100,000,000       1,570,422

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       09/08/2020       100,000,000       1,668,044

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       10/13/2020       100,000,000       1,697,749

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       05/28/2020       100,000,000       1,717,982

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       07/09/2020       100,000,000       1,718,592

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       05/07/2020       100,000,000       1,844,962

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       05/13/2020       100,000,000       1,859,684

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       07/07/2020       100,000,000       2,080,401

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       07/22/2020       100,000,000       2,263,962

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       05/12/2020       100,000,000       2,371,235

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   69


Schedule of Investments - Summary  DoubleLine Shiller Enhanced CAPE®  (Cont.)  

(Unaudited)

September 30, 2019

 

Reference Entity   Counterparty   Long/Short   Financing
Rate
  Payment
Frequency
  Termination
Date
  Notional
Amount
 

Unrealized
Appreciation
(Depreciation)/

Value

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       10/07/2020       100,000,000     $ 2,419,375

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       06/11/2020       100,000,000       2,556,260

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       10/14/2020       100,000,000       2,908,199

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       07/08/2020       100,000,000       3,185,217

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       08/20/2020       100,000,000       3,234,329

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       10/06/2020       100,000,000       3,236,849

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       09/09/2020       100,000,000       3,314,346

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       08/26/2020       100,000,000       3,314,346

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       06/23/2020       100,000,000       3,331,441

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       06/24/2020       100,000,000       3,433,627

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       03/10/2020       50,000,000       3,688,817

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       10/27/2020       100,000,000       3,870,875

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       04/21/2020       100,000,000       4,009,021

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       06/25/2020       100,000,000       4,122,858

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       04/28/2020       100,000,000       4,365,028

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       06/09/2020       100,000,000       4,518,196

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       10/29/2019       100,000,000       4,613,038

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       05/06/2020       100,000,000       4,613,454

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       11/05/2019       100,000,000       4,653,383

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       11/06/2019       50,000,000       4,850,780

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       04/22/2020       100,000,000       5,275,647

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       04/14/2020       100,000,000       6,006,178

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       04/07/2020       100,000,000       6,234,548

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       04/08/2020       100,000,000       6,315,316

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       03/24/2020       100,000,000       6,374,311

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       11/12/2019       100,000,000       6,515,293

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       10/22/2019       100,000,000       6,568,689

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       03/04/2020       100,000,000       7,371,360

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       03/03/2020       100,000,000       7,658,284

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       02/27/2020       100,000,000       7,731,679

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       10/15/2019       100,000,000       8,529,742

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       11/19/2019       100,000,000       11,188,359

Shiller Barclays CAPE® US Sector ER II USD Index¤

  BNP Paribas       Long       0.39 %       Termination       02/26/2020       100,000,000       11,657,879

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       01/21/2020       75,000,000       11,755,354

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Barclays Capital, Inc.       Long       0.40 %       Termination       02/13/2020       100,000,000       13,495,243

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Bank of America Merrill Lynch       Long       0.38 %       Termination       02/25/2020       100,000,000       13,549,307

Shiller Barclays CAPE® US Sector ER II USD Index¤

  Canadian Imperial Bank of
Commerce
      Long       0.40 %       Termination       01/28/2020       100,000,000       14,238,179
                         

 

 

 
                          $ 243,730,851
                         

 

 

 

 

¤

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 of equity securities of companies in the relevant sector. Information on the sector constituents as of September 30, 2019, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E.

A summary of the DoubleLine Shiller Enhanced CAPE®’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund  

Value at
March 31,

2019

 

Gross

Purchases

  Gross
Sales
  Shares Held at
September 30,
2019
  Value at
September 30,
2019
  Change in
Unrealized for the
Period Ended
September 30,
2019
  Dividend Income
Earned in the
Period Ended
September 30,
2019
  Net Realized
Gain (Loss) in
the Period Ended
September 30,
2019

DoubleLine Ultra Short Bond Fund (Class I)

    $ 199,950,099     $ 100,000,000     $       29,875,562     $ 300,249,400     $ 299,301     $ 2,906,912     $
   

 

 

 

 

70   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments - Summary  DoubleLine Flexible Income Fund  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $     OF NET
ASSETS
 
  ASSET BACKED OBLIGATIONSµ  
 

ExteNet Issuer LLC,

 

   
  6,250,000    

Series 2019-1A-C

    5.22% ^      07/26/2049       6,302,871       0.4%  
 

Helios Issuer LLC,

 

   
  4,937,955    

Series 2017-1A-A

    4.94% ^      09/20/2049       5,177,137       0.4%  
 

Mosaic Solar Loan Trust,

 

  5,365,000    

Series 2018-1A-C

    0.00% ^ P/O      06/22/2043       4,485,922       0.3%  
 

Vivint Colar Financing LLC,

 

  4,940,463    

Series 2018-1A-A

    4.73% ^      04/30/2048       5,268,277       0.4%  
  8,750,000    

Wave LLC

    6.41% ^      09/15/2044       8,749,820       0.6%  
 

Zephyrus Capital Aviation Partners Ltd.,

 

  4,950,000    

Series 2018-1-A

    4.61% ^      10/15/2038       4,988,229       0.3%  
 

Other Asset Backed Obligationsµ

        28,307,435       2.0%  
     

 

 

   

 

 

 
  Total Asset Backed Obligations
(Cost $62,553,324)

 

    63,279,691       4.4%  
     

 

 

   

 

 

 
  BANK LOANSµ  
  Total Bank Loans
(Cost $72,218,427)

 

    70,548,446       4.9%  
     

 

 

   

 

 

 
  COLLATERALIZED LOAN OBLIGATIONSµ  
 

Canyon Capital Ltd.,

 

  10,000,000    

Series 2017-1A-B (3 Month LIBOR USD + 1.70%)

    4.00% ^      07/15/2030       9,922,095       0.7%  
 

GoldenTree Loan Management Ltd.,

 

  5,500,000    

Series 2017-2A-D (3 Month LIBOR USD + 2.65%)

    4.93% ^      11/28/2030       5,247,990       0.4%  
 

LCM LP,

 

  5,000,000    

Series 26A-D (3 Month LIBOR USD + 2.50%, 2.50% Floor)

    4.78% ^      01/20/2031       4,615,516       0.3%  
 

Marble Point Ltd.,

 

  6,500,000    

Series 2019-1A-B (3 Month LIBOR USD + 2.15%)

    4.59% ^      07/23/2032       6,512,814       0.5%  
 

Steele Creek Ltd.,

 

  5,000,000    

Series 2019-2A-B (3 Month LIBOR USD + 2.25%, 2.25% Floor)

    4.38% ^      07/15/2032       4,999,152       0.3%  
 

Trimaran CAVU LLC,

 

  6,000,000    

Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor)

    4.67% ^      07/20/2032       5,998,411       0.4%  
 

Venture Ltd.,

 

  5,000,000    

Series 2018-34A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor)

    3.53% ^      10/15/2031       4,983,440       0.3%  
 

Wind River Ltd.,

 

  7,975,000    

Series 2015-2A-ER (3 Month LIBOR USD + 5.55%)

    7.85% ^      10/15/2027       7,669,143       0.5%  
 

Other Collateralized Loan Obligationsµ

        169,557,613       11.9%  
     

 

 

   

 

 

 
  Total Collateralized Loan Obligations
(Cost $226,492,922)

 

    219,506,174       15.3%  
     

 

 

   

 

 

 
  FOREIGN CORPORATE BONDSµ  
  4,241,250    

Cometa Energia S.A. de C.V.

    6.38%       04/24/2035       4,527,534       0.3%  
 

Other Foreign Corporate Bondsµ

        225,729,269       15.7%  
     

 

 

   

 

 

 
  Total Foreign Corporate Bonds
(Cost $223,699,773)

 

    230,256,803       16.0%  
       

 

 

   

 

 

 
  FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONSµ  
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $11,359,855)

 

    11,829,967       0.8%  
       

 

 

   

 

 

 
  NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONSµ  
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $156,589,200)

 

    155,091,164       10.8%  
       

 

 

   

 

 

 
  NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS  
 

Ajax Mortgage Loan Trust,

 

  5,258,174    

Series 2017-C-A

    3.75% ^§      07/25/2060       5,289,280       0.4%  

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   71


Schedule of Investments - Summary  DoubleLine Flexible Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
 

APS Resecuritization Trust,

 

  8,128,958    

Series 2015-3-1MZ (12 Month US Treasury Average + 0.96%, 0.96% Floor)

    2.79% ^>       10/27/2046       7,279,198       0.5%  
 

Bayview Opportunity Master Fund Trust,

 

  7,787,627    

Series 2018-SBR4-A1

    4.38% ^§       06/28/2033       7,850,590       0.5%  
 

CHL Mortgage Pass-Through Trust,

 

  12,833,461    

Series 2007-9-A13

    5.75%        07/25/2037       5,090,380       0.4%  
 

CHL Mortgage Pass-Through Trust,

 

  7,510,246    

Series 2007-14-A19

    6.00%        09/25/2037       6,085,991       0.4%  
 

CHL Mortgage Pass-Through Trust,

 

  4,800,000    

Series 2018-GT1-A (1 Month LIBOR USD + 2.75%)

    4.77% ^       05/25/2023       4,820,050       0.3%  
 

CIM Trust,

        
  13,420,000    

Series 2017-3RR-B2

    10.97% #^Þ       01/27/2057       13,939,824       1.0%  
 

Citigroup Mortgage Loan Trust, Inc.,

 

  4,766,520    

Series 2006-AR6-2A3 (1 Month LIBOR USD + 0.25%, 0.25% Floor)

    2.27%        09/25/2036       4,720,620       0.3%  
 

CitiMortgage Alternative Loan Trust,

 

  9,098,346    

Series 2007-A5-1A1

    6.00%        05/25/2037       9,063,087       0.6%  
 

FMC GMSR Issuer Trust,

 

  15,000,000    

Series 2019-GT1-A

    5.07% # ^       05/25/2024       15,514,191       1.1%  
 

Freddie Mac STACR Trust,

 

  10,000,000    

Series 2019-DNA2-M2 (1 Month LIBOR USD + 2.45%)

    4.47% ^       03/25/2049       10,119,241       0.7%  
 

GCAT LLC,

        
  5,502,638    

Series 2018-1-A1

    3.84% ^§       06/25/2048       5,523,934       0.4%  
 

Home Partners of America Trust,

 

  14,000,000    

Series 2019-2-F

    3.87% ^       10/19/2039       14,120,050       1.0%  
 

IndyMac Mortgage Loan Trust,

 

  12,649,592    

Series 2007-FLX6-1A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor)

    2.27%        09/25/2037       12,547,441       0.9%  
 

Lehman Trust,

 

  8,858,624    

Series 2006-GP3-1A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor)

    2.22%        06/25/2046       8,902,375       0.6%  
 

MFA LLC,

        
  10,273,893    

Series 2018-NPL2-A1

    4.16% ^§       07/25/2048       10,376,095       0.7%  
 

Morgan Stanley Resecuritization Trust,

 

  10,546,642    

Series 2013-R7-8B (12 Month US Treasury Average + 0.96%, 0.96% Floor)

    3.44% ^Þ       12/26/2046       9,945,546       0.7%  
 

New Residential Mortgage Loan Trust,

 

  6,499,853    

Series 2018-FNT2-B

    4.09% ^       07/25/2054       6,609,843       0.5%  
 

NovaStar Mortgage Funding Trust Series,

 

  12,582,549    

Series 2006-3-A2C (1 Month LIBOR USD + 0.16%, 0.16% Floor)

    2.18%        10/25/2036       7,359,363       0.5%  
 

PMT Credit Risk Transfer Trust,

 

  14,181,686    

Series 2019-2R-A (1 Month LIBOR USD + 2.75%, 2.75% Floor)

    4.89% ^       05/27/2023       14,265,704       1.0%  
 

PNMAC GMSR Trust,

 

  17,600,000    

Series 2018-FT1-A (1 Month LIBOR USD + 2.35%)

    4.37% ^       04/25/2023       17,524,957       1.2%  
 

PRPM LLC,

        
  6,085,676    

Series 2018-1A-A1

    4.25% ^§       01/25/2022       657,789       0.0%  
 

Residential Funding Mortgage Securities Trust,

 

  6,210,381    

Series 2006-S8-A10

    6.00%        09/25/2036       5,959,026       0.4%  
 

Soundview Home Loan Trust,

 

  6,638,756    

Series 2007-OPT1-2A2 (1 Month LIBOR USD + 0.15%, 0.15% Floor)

    2.17%        06/25/2037       5,059,729       0.4%  
 

Structured Asset Securities Corporation,

 

  7,895,206    

Series 2007-RF1-1A (1 Month LIBOR USD + 0.19%, 0.19% Floor)

    2.21% ^       03/25/2037       6,916,804       0.5%  
 

Toorak Mortgage Corporation Ltd.,

        
  10,000,000    

Series 2019-1-A1

    4.46% ^§       03/25/2022       10,224,510       0.7%  
 

Tricon American Homes Trust,

        
  5,000,000    

Series 2019-SFR1-F

    3.75% ^       03/17/2038       5,042,090       0.4%  
 

VOLT LLC,

        
  5,000,000    

Series 2018-NPL6-A1B

    4.56% ^§       09/25/2048       5,042,074       0.4%  
 

Other Non-Agency Residential Collateralized Mortgage Obligations µ

         77,895,031       5.3%  
        

 

 

   

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $316,474,288)

 

    313,744,813       21.8%  
        

 

 

   

 

 

 
  US CORPORATE BONDSµ    
  Total US Corporate Bonds
(Cost $100,799,019)

 

    102,279,510       7.1%  
        

 

 

   

 

 

 

 

72   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $ /
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $     OF NET
ASSETS
 
  US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS    
 

Federal National Mortgage Association,

        
  7,871,927    

Series 2018-55-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

    2.32%        08/25/2048       7,850,218       0.5%  
 

Other US Government and Agency Mortgage Backed Obligations µ

         4,446,713       0.4%  
        

 

 

   

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $13,084,355)

 

    12,296,931       0.9%  
        

 

 

   

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS    
  34,396,569    

United States Treasury Inflation Indexed Bonds

    0.63%        04/15/2023       34,702,950       2.4%  
  50,966,730    

United States Treasury Inflation Indexed Bonds

    0.50%        04/15/2024       51,646,614       3.6%  
        

 

 

   

 

 

 
  Total US Government and Agency Obligations
(Cost $86,181,824)

 

    86,349,564       6.0%  
        

 

 

   

 

 

 
  AFFILIATED MUTUAL FUNDS    
  9,499,981    

DoubleLine Global Bond Fund (Class I)

         98,039,801       6.8%  
        

 

 

   

 

 

 
  Total Affiliated Mutual Funds
(Cost $97,418,043)

 

    98,039,801       6.8%  
        

 

 

   

 

 

 
  EXCHANGE TRADED FUNDS AND COMMON STOCKSµ    
  Total Exchange Traded Funds and Common Stocks
(Cost $473,923)

 

    53,791       0.0%  
        

 

 

   

 

 

 
  WARRANTSµ    
  Total Warrants
(Cost $–)

 

    —         0.0%  
        

 

 

   

 

 

 
  SHORT TERM INVESTMENTS    
  29,431,408    

First American Government Obligations Fund - Class U

    1.88% ¨         29,431,408       2.0%  
  29,431,409    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         29,431,409       2.0%  
  29,431,409    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional
Share Class

    1.83% ¨         29,431,409       2.1%  
        

 

 

   

 

 

 
  Total Short Term Investments
(Cost $88,294,226)

 

    88,294,226       6.1%  
        

 

 

   

 

 

 
  Total Investments
(Cost $1,455,639,179)

 

    1,451,570,881       100.9%  
  Liabilities in Excess of Other Assets

 

    (12,232,513     (0.9)%  
        

 

 

   

 

 

 
  NET ASSETS        $ 1,439,338,368       100.0%  
        

 

 

   

 

 

 
SECURITY TYPE BREAKDOWN as a % of Net Assets:       

Non-Agency Residential Collateralized Mortgage Obligations

         21.8%  

Foreign Corporate Bonds

         16.0%  

Collateralized Loan Obligations

         15.3%  

Non-Agency Commercial Mortgage Backed Obligations

         10.8%  

US Corporate Bonds

         7.1%  

Affiliated Mutual Funds

         6.8%  

Short Term Investments

         6.1%  

US Government and Agency Obligations

         6.0%  

Bank Loans

         4.9%  

Asset Backed Obligations

         4.4%  

US Government and Agency Mortgage Backed Obligations

         0.9%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         0.8%  

Exchange Traded Funds and Common Stocks

         0.0% ~ 

Warrants

         0.0% ~ 

Other Assets and Liabilities

         (0.9)%  
      

 

 

 
         100.0%  
      

 

 

 
INVESTMENT BREAKDOWN as a % of Net Assets:       

Non-Agency Residential Collateralized Mortgage Obligations

         21.6%  

Collateralized Loan Obligations

         15.3%  

Non-Agency Commercial Mortgage Backed Obligations

         10.7%  

Affiliated Mutual Funds

         6.8%  

Short Term Investments

         6.1%  

US Government and Agency Obligations

         6.0%  

Asset Backed Obligations

         4.4%  

Energy

         4.0%  

Banking

         3.4%  

Utilities

         2.7%  

Telecommunications

         2.3%  

Healthcare

         1.4%  

Media

         1.2%  

Finance

         1.2%  

Transportation

         1.0%  

Consumer Products

         1.0%  

Mining

         0.9%  

US Government and Agency Mortgage Backed Obligations

         0.9%  

Hotels/Motels/Inns and Casinos

         0.8%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         0.8%  

Electronics/Electric

         0.7%  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   73


Schedule of Investments - Summary  DoubleLine Flexible Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

INVESTMENT BREAKDOWN as a % of Net Assets:

(Cont.)

      

Technology

         0.6%  

Building and Development (including Steel/Metals)

         0.6%  

Chemicals/Plastics

         0.6%  

Leisure

         0.6%  

Business Equipment and Services

         0.5%  

Food Products

         0.5%  

Containers and Glass Products

         0.4%  

Food Service

         0.4%  

Insurance

         0.3%  

Retailers (other than Food/Drug)

         0.3%  

Real Estate

         0.3%  

Pharmaceuticals

         0.3%  

Aerospace & Defense

         0.3%  

Commercial Services

         0.3%  

Construction

         0.3%  

Automotive

         0.3%  

Industrial Equipment

         0.2%  

Pulp & Paper

         0.2%  

Environmental Control

         0.2%  

Diversified Manufacturing

         0.2%  

Food/Drug Retailers

         0.1%  

Financial Intermediaries

         0.1%  

Conglomerates

         0.1%  

Chemical Products

         0.0% ~ 

Cosmetics/Toiletries

         0.0% ~ 

Beverage and Tobacco

         0.0% ~ 

Other Assets and Liabilities

         (0.9)%  
      

 

 

 
         100.0%  
      

 

 

 

    

 
µ

Represents issues not identified as the 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 September 30, 2019.

 

^

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.

 

#

Includes variable rate securities. Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

Þ

Value determined using significant unobservable inputs.

 

P/O

Includes principal only securities

 

>

Includes U.S. Agency bonds that accrue interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019.

 

~

Represents less than 0.05% of net assets.

A summary of the DoubleLine Flexible Income Fund’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund   Value at
March 31, 2019
  Gross
Purchases
  Gross
Sales
  Shares Held at
September 30,
2019
  Value at
September 30,
2019
  Change in
Unrealized for the
Period Ended
September 30,
2019
  Dividend Income
Earned in the
Period Ended
September 30,
2019
  Net Realized
Gain (Loss) in
the Period Ended
September 30,
2019

DoubleLine Global Bond Fund (Class I)

    $ 84,749,820     $ 13,000,000     $       9,499,981     $ 98,039,801     $ 289,981     $ 751,822     $
   

 

 

 

 

74   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments  DoubleLine Low Duration Emerging Markets Fixed Income Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  FOREIGN CORPORATE BONDS 84.2%  
  ARGENTINA 0.3%  
  700,000    

Pampa Energia S.A.

    7.38%        07/21/2023       577,500  
        

 

 

 
           577,500  
        

 

 

 
  BRAZIL 9.6%  
  2,400,000    

Banco Bradesco S.A.

    5.90%        01/16/2021       2,490,024  
  700,000    

Banco BTG Pactual S.A.

    4.00%        01/16/2020       701,757  
  1,600,000    

Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%)

    7.75% ^       02/15/2029       1,672,000  
  1,497,000    

Banco do Brasil S.A. (10 Year CMT Rate + 7.78%)

     8.50%        10/20/2020       1,578,811  
  1,500,000    

Brasil Bolsa Balcao S.A

    5.50%        07/16/2020       1,537,515  
  650,000    

Braskem Finance Ltd.

    7.00%        05/07/2020       666,315  
  800,000    

Braskem Finance Ltd.

    5.75%        04/15/2021       832,008  
  497,000    

ESAL GMBH

    6.25%        02/05/2023       506,945  
  2,400,000    

Globo Comunicacao e Participacoes S.A.

    4.88%        04/11/2022       2,491,524  
  105,102    

Invepar Holdings

    0.00% WÞ       12/30/2028       4,494  
  200,000    

Itau Unibanco Holding S.A.

    6.20%        12/21/2021       212,502  
  300,000    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)

     6.13%        12/12/2022       303,300  
  500,000    

Itau Unibanco Holdings S.A.

    6.20%        04/15/2020       510,125  
  2,100,000    

Itau Unibanco Holdings S.A.

    5.75%        01/22/2021       2,172,030  
  300,000    

JBS Investments GMBH

    7.00% ^       01/15/2026       324,447  
  3,500,000    

MARB BondCo PLC

    7.00%        03/15/2024       3,657,535  
  750,000    

Petrobras Global Finance B.V.

    5.38%        01/27/2021       777,000  
  1,000,000    

Suzano Trading Ltd.

    5.88%        01/23/2021       1,041,260  
        

 

 

 
           21,479,592  
        

 

 

 
  CHILE 7.8%    
  800,000    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

    7.13% ^       03/26/2079       841,000  
  700,000    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

    7.13%        03/26/2079       735,875  
  1,770,000    

Banco del Estado de Chile

    2.67%        01/08/2021       1,771,333  
  150,000    

Banco Santander Chile

    2.50%        12/15/2020       151,035  
  500,000    

Celulosa Arauco y Constitucion S.A.

    4.75%        01/11/2022       520,625  
  200,000    

Corp Nacional del Cobre de Chile

    3.88%        11/03/2021       205,952  
  3,075,000    

ECL S.A.

    5.63%        01/15/2021       3,205,078  
  654,239    

Guanay Finance Ltd.

    6.00%        12/15/2020       664,053  
  2,185,000    

Inversiones CMPC S.A.

    4.50%        04/25/2022       2,275,153  
  1,900,000    

Latam Finance Ltd.

    6.88%        04/11/2024       2,001,175  
  700,000    

Sociedad Quimica y Minera S.A.

    5.50%        04/21/2020       712,880  
  1,500,000    

Telefonica Chile S.A.

    3.88%        10/12/2022       1,553,400  
  2,800,000    

VTR Finance B.V.

    6.88%        01/15/2024       2,891,000  
        

 

 

 
           17,528,559  
        

 

 

 
  CHINA 9.7%  
  1,100,000    

Alibaba Group Holding Ltd.

    3.13%        11/28/2021       1,117,509  
  4,220,000    

CNOOC Finance Ltd.

    2.63%        05/05/2020       4,225,423  
  200,000    

CNOOC Finance Ltd.

    4.25%        01/26/2021       204,716  
  1,400,000    

CNOOC Finance Ltd.

    3.88%        05/02/2022       1,446,707  
  3,835,000    

CNPC General Capital Ltd.

    3.95%        04/19/2022       3,972,351  
  900,000    

CNPC Overseas Capital Ltd.

    4.50%        04/28/2021       927,811  
  3,700,000    

Sinochem Overseas Capital Ltd.

    4.50%        11/12/2020       3,780,501  
  4,300,000    

Sinopec Group Overseas Development Ltd.

    2.50%        04/28/2020       4,303,141  

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  700,000    

Sinopec Group Overseas Development Ltd.

    2.00% ^       09/29/2021       694,034  
  600,000    

Sinopec Group Overseas Development Ltd.

    2.00%        09/29/2021       594,886  
  200,000    

Sinopec Group Overseas Development Ltd.

    3.00% ^       04/12/2022       202,445  
  200,000    

Syngenta Finance NV

    3.70%        04/24/2020       200,687  
        

 

 

 
           21,670,211  
        

 

 

 
  COLOMBIA 7.4%  
  871,000    

Bancolombia S.A.

    6.13%        07/26/2020       895,179  
  3,100,000    

Bancolombia S.A.

    5.95%        06/03/2021       3,270,500  
  900,000    

Colombia Telecomunicaciones S.A.

    5.38%        09/27/2022       912,375  
  1,200,000    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

     8.50%        03/30/2020       1,234,500  
  1,500,000    

Grupo Aval Ltd.

    4.75%        09/26/2022       1,554,000  
  1,100,000    

GrupoSura Finance S.A.

    5.70%        05/18/2021       1,153,625  
  1,800,000    

Millicom International Cellular S.A.

    6.00%        03/15/2025       1,872,000  
  300,000    

Millicom International Cellular SA

    6.63%        10/15/2026       327,000  
  3,800,000    

Oleoducto Central S.A.

    4.00%        05/07/2021       3,885,538  
  1,400,000    

Tecnoglass, Inc.

    8.20%        01/31/2022       1,515,500  
        

 

 

 
           16,620,217  
        

 

 

 
  DOMINICAN REPUBLIC 0.6%    
  400,000    

AES Dominicana

    7.95%        05/11/2026       427,500  
  900,000    

Banco de Reservas de la Republica Dominicana

    7.00%        02/01/2023       946,134  
        

 

 

 
           1,373,634  
        

 

 

 
  GUATEMALA 0.3%  
  200,000    

Comcel Trust

    6.88%        02/06/2024       206,500  
  368,000    

Industrial Senior Trust

    5.50%        11/01/2022       385,940  
        

 

 

 
           592,440  
        

 

 

 
  HONG KONG 2.5%  
  2,170,000    

CK Hutchison International Ltd.

    2.88% ^       04/05/2022       2,191,253  
  1,920,000    

CK Hutchison International Ltd.

    2.88%        04/05/2022       1,938,804  
  1,400,000    

Hutchison Whampoa International Ltd.

    4.63%        01/13/2022       1,465,400  
        

 

 

 
           5,595,457  
        

 

 

 
  INDIA 7.4%  
  2,500,000    

Bharat Petroleum Corporation Ltd.

    4.63%        10/25/2022       2,637,350  
  1,300,000    

Bharat Petroleum Ltd.

    4.38%        01/24/2022       1,347,034  
  2,805,000    

Indian Oil Corporation Ltd.

    5.63%        08/02/2021       2,955,264  
  1,685,000    

ONGC Videsh Ltd.

    2.88%        01/27/2022       1,687,055  
  3,905,000    

Reliance Holdings, Inc.

    4.50%        10/19/2020       3,981,264  
  1,000,000    

Reliance Holdings, Inc.

    5.40%        02/14/2022       1,063,380  
  1,900,000    

UPL Corporation

    3.25%        10/13/2021       1,909,075  
  900,000    

Vedanta Resources PLC

    7.13%        05/31/2023       890,325  
        

 

 

 
           16,470,747  
        

 

 

 
  INDONESIA 4.3%  
  2,200,000    

Freeport-McMoRan, Inc.

    4.55%        11/14/2024       2,260,060  
  3,250,000    

Pertamina Persero PT

    5.25%        05/23/2021       3,393,722  
  2,000,000    

Pertamina Persero PT

    4.88%        05/03/2022       2,114,046  
  1,800,000    

Perusahaan Listrik Negara PT

    5.50%        11/22/2021       1,912,500  
        

 

 

 
           9,680,328  
        

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   75


Schedule of Investments  DoubleLine Low Duration Emerging Markets Fixed Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  ISRAEL 1.3%  
  2,481,000    

Delek & Avner Tamar Bond Ltd.

    4.44% ^       12/30/2020       2,514,739  
  300,000    

Israel Electric Corporation Ltd.

    6.88%        06/21/2023       342,600  
        

 

 

 
           2,857,339  
        

 

 

 
  JAMAICA 0.1%  
  1,000,000    

Digicel Group Ltd.

    8.25% ^       09/30/2022       215,000  
        

 

 

 
           215,000  
        

 

 

 
  MALAYSIA 6.0%  
  5,350,000    

Axiata SPV2 BHD

    3.47%        11/19/2020       5,408,325  
  2,485,000    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

    3.91%        10/29/2026       2,529,208  
  5,450,000    

Petronas Global Sukuk Ltd.

    2.71%        03/18/2020       5,445,504  
        

 

 

 
           13,383,037  
        

 

 

 
  MEXICO 10.8%  
  4,300,000    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%)

     6.88%        07/06/2022       4,332,250  
  2,600,000    

Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) (5 Year CMT Rate + 3.00%)

    3.80%        08/11/2026       2,635,776  
  250,000    

Banco Santander (5 Year CMT Rate + 3.00%)

    5.95% ^       10/01/2028       268,688  
  750,000    

BBVA Bancomer S.A.

    7.25%        04/22/2020       768,375  
  2,900,000    

BBVA Bancomer S.A.

    6.50%        03/10/2021       3,030,529  
  600,000    

BBVA Bancomer S.A.

    6.75%        09/30/2022       657,000  
  1,000,000    

BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%)

    5.35%        11/12/2029       997,510  
  900,000    

Cemex S.A.B. de C.V.

    6.13%        05/05/2025       938,250  
  700,000    

Cemex S.A.B. de C.V.

    7.75%        04/16/2026       760,382  
  1,400,000    

Coca-Cola Femsa S.A.B. de C.V.

    4.63%        02/15/2020       1,410,907  
  700,000    

Credito Real S.A.B. de C.V.

    7.25%        07/20/2023       744,625  
  2,050,000    

Grupo Bimbo S.A.B. de C.V.

    4.88%        06/30/2020       2,089,349  
  2,600,000    

Grupo Bimbo S.A.B. de C.V. (5 Year CMT Rate + 3.28%)

     5.95%        04/17/2023       2,748,200  
  1,000,000    

Nacional Financiera S.N.C.

    3.38%        11/05/2020       1,008,760  
  1,750,000    

Unifin Financiera S.A.B. de C.V.

    7.25%        09/27/2023       1,814,750  
        

 

 

 
           24,205,351  
        

 

 

 
  PANAMA 5.7%  
  1,000,000    

Banco Latinoamericano do Comercio Exterior S.A.

    3.25%        05/07/2020       1,005,010  
  300,000    

Banistmo S.A.

    3.65%        09/19/2022       302,628  
  2,200,000    

C&W Senior Financing DAC

    7.50%        10/15/2026       2,326,500  
  3,005,816    

ENA Norte Trust

    4.95%        04/25/2023       3,111,049  
  1,500,000    

Global Bank Corporation

    4.50%        10/20/2021       1,547,820  
  400,000    

Multibank, Inc.

    4.38%        11/09/2022       412,404  
  1,567,389    

Panama Metro Line SP

    0.00% ^       12/05/2022       1,505,085  
  2,677,801    

Panama Metro Line SP

    0.00%        12/05/2022       2,571,359  
        

 

 

 
           12,781,855  
        

 

 

 
  PERU 3.7%       
  2,000,000    

Banco International del Peru S.A.A.

    5.75%        10/07/2020       2,065,020  

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  1,735,000    

BBVA Banco Continental S.A.

    5.00%        08/26/2022       1,853,848  
  800,000    

Scotiabank Peru S.A. (3 Month LIBOR USD + 3.86%)

    4.50%        12/13/2027       833,008  
  3,500,000    

Southern Copper Corporation

    5.38%        04/16/2020       3,548,476  
        

 

 

 
           8,300,352  
        

 

 

 
  PHILIPPINES 0.4%  
  1,000,000    

BDO Unibank, Inc.

    2.63%        10/24/2021       1,004,269  
        

 

 

 
           1,004,269  
        

 

 

 
  SINGAPORE 4.7%  
  200,000    

DBS Group Holdings Ltd.

    2.85%        04/16/2022       202,882  
  200,000    

DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.49%)

    2.59%        06/08/2020       200,199  
  400,000    

DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%)

    4.52%        12/11/2028       425,538  
  4,100,000    

DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%)

     3.60%        09/07/2021       4,120,500  
  500,000    

Oversea-Chinese Banking Corporation (5 Year Swap Rate USD + 2.20%)

    4.00%        10/15/2024       500,320  
  750,000    

Temasek Financial Ltd.

    2.38%        01/23/2023       761,107  
  800,000    

United Overseas Bank Ltd. (5 Year CMT Rate + 1.50%)

    3.75%        04/15/2029       830,190  
  400,000    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%)

    2.88%        03/08/2027       400,068  
  3,000,000    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%)

    3.50%        09/16/2026       3,037,140  
        

 

 

 
           10,477,944  
        

 

 

 
  THAILAND 1.6%  
  1,100,000    

Bangkok Bank PCL

    4.80%        10/18/2020       1,127,337  
  200,000    

PTTEP Canada International Finance Ltd.

    5.69%        04/05/2021       209,412  
  2,200,000    

PTTEP Treasury Center Company Ltd. (5 Year CMT Rate + 2.72%)

     4.60%        07/17/2022       2,254,336  
        

 

 

 
           3,591,085  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $187,050,527)

 

       188,404,917  
        

 

 

 
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 13.1%
 
 
  BRAZIL 0.9%  
  2,000,000    

Brazilian Government International Bond

    4.88%        01/22/2021       2,072,520  
        

 

 

 
           2,072,520  
        

 

 

 
  CHILE 1.2%  
  200,000    

Chile Government International Bond

    3.88%        08/05/2020       203,150  
  2,500,000    

Chile Government International Bond

    2.25%        10/30/2022       2,511,900  
        

 

 

 
           2,715,050  
        

 

 

 
 

 

76   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $/
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  COLOMBIA 2.6%  
  5,500,000    

Colombia Government International Bond

    4.38%        07/12/2021       5,702,180  
        

 

 

 
           5,702,180  
        

 

 

 
  COSTA RICA 0.5%  
  1,150,000    

Costa Rica Government International Bond

    10.00%        08/01/2020       1,211,824  
        

 

 

 
           1,211,824  
        

 

 

 
  DOMINICAN REPUBLIC 2.3%  
  4,846,667    

Dominican Republic International Bond

    7.50%        05/06/2021       5,070,825  
        

 

 

 
           5,070,825  
        

 

 

 
  INDONESIA 2.6%  
  300,000    

Perusahaan Penerbit

    3.40%        03/29/2022       306,645  
  2,505,000    

Indonesia Government International Bond

    4.88%        05/05/2021       2,600,142  
  2,805,000    

Indonesia Government International Bond

    3.70%        01/08/2022       2,885,422  
        

 

 

 
           5,792,209  
        

 

 

 
  ISRAEL 1.0%  
  2,000,000    

Israel Government International Bond

    4.00%        06/30/2022       2,107,760  
        

 

 

 
           2,107,760  
        

 

 

 
  MALAYSIA 0.2%  
  500,000    

Wakala Global Sukuk BHD

    4.65%        07/06/2021       521,028  
        

 

 

 
           521,028  
        

 

 

 
  PHILIPPINES 1.8%  
  4,000,000    

Philippine Government International Bond

    4.00%        01/15/2021       4,093,449  
        

 

 

 
           4,093,449  
        

 

 

 
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $29,097,163)

 

    29,286,845  
        

 

 

 
  EXCHANGE TRADED FUNDS AND COMMON STOCKS 0.1%  
  21,248    

Frontera Energy Corporation

         205,258  
        

 

 

 
  Total Exchange Traded Funds and Common Stocks
(Cost $1,923,481)

 

    205,258  
        

 

 

 
  WARRANTS 0.0%  
  87,695    

OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00*Þ

         —    
        

 

 

 
  Total Warrants
(Cost $–)
         —    
        

 

 

 
  SHORT TERM INVESTMENTS 1.9%  
  1,447,367    

First American Government Obligations Fund - Class U

    1.88% ¨         1,447,367  
    
    
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  1,447,367    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         1,447,367  
  1,447,367    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         1,447,367  
        

 

 

 
  Total Short Term Investments
(Cost $4,342,101)

 

    4,342,101  
        

 

 

 
  Total Investments 99.3%
(Cost $222,413,272)

 

    222,239,121  
  Other Assets in Excess of Liabilities 0.7%

 

    1,550,484  
        

 

 

 
  NET ASSETS 100.0%

 

  $ 223,789,605  
        

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:       

Foreign Corporate Bonds

         84.2%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         13.1%  

Short Term Investments

         1.9%  

Exchange Traded Funds and Common Stocks

         0.1%  

Warrants

         0.0% ~ 

Other Assets and Liabilities

         0.7%  
      

 

 

 
         100.0%  
      

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:       

Banking

         23.8%  

Energy

         21.1%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         13.1%  

Telecommunications

         7.5%  

Transportation

         6.1%  

Consumer Products

         4.2%  

Utilities

         3.6%  

Finance

         3.4%  

Mining

         3.1%  

Chemicals/Plastics

         3.0%  

Conglomerates

         2.5%  

Short Term Investments

         1.9%  

Pulp & Paper

         1.7%  

Building and Development (including Steel/Metals)

         1.4%  

Media

         1.1%  

Chemical Products

         0.7%  

Containers and Glass Products

         0.6%  

Technology

         0.5%  

Construction

         0.0% ~ 

Other Assets and Liabilities

         0.7%  
      

 

 

 
         100.0%  
      

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   77


Schedule of Investments  DoubleLine Low Duration Emerging Markets Fixed Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

COUNTRY BREAKDOWN as a % of Net Assets:

 

Mexico

         10.8%  

Brazil

         10.5%  

Colombia

         10.1%  

China

         9.7%  

Chile

         9.0%  

India

         7.4%  

Indonesia

         6.9%  

Malaysia

         6.2%  

Panama

         5.7%  

Singapore

         4.7%  

Peru

         3.7%  

Dominican Republic

         2.9%  

Hong Kong

         2.5%  

COUNTRY BREAKDOWN as a % of Net Assets:

(Cont.)

 

 

Israel

         2.3%  

Philippines

         2.2%  

United States

         1.9%  

Thailand

         1.6%  

Costa Rica

         0.5%  

Guatemala

         0.3%  

Argentina

         0.3%  

Jamaica

         0.1%  

Other Assets and Liabilities

         0.7%  
      

 

 

 
         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.

 

W

Security is in default or has failed to make a scheduled payment. Income is not being accrued.

 

Þ

Value determined using significant unobservable inputs.

 

Perpetual Maturity

 

¨

Seven-day yield as of September 30, 2019

 

BRL

Brazilian Real

 

*

Non-income producing security

 

~

Represents less than 0.05% of net assets

 

78   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments  DoubleLine Long Duration Total Return Bond Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 
US GOVERNMENT AND AGENCY MORTGAGE BACKED
OBLIGATIONS 67.1%
 
 
 

Federal Home Loan Mortgage Corporation,

 

  1,803,723    

Series 4057-ZB

    3.50% >       06/15/2042       1,921,586  
  1,803,723    

Series 4057-ZC

    3.50% >       06/15/2042       1,925,746  
  1,211,985    

Series 4194-ZL

    3.00% >       04/15/2043       1,242,768  
  2,709,447    

Series 4204-QZ

    3.00% >       05/15/2043       2,741,081  
  1,871,629    

Series 4206-LZ

    3.50% >       05/15/2043       2,062,492  
  360,882    

Series 4226-GZ

    3.00% >       07/15/2043       372,571  
  2,602,022    

Series 4390-NZ

    3.00% >       09/15/2044       2,673,454  
  2,305,896    

Series 4417-PZ

    3.00% >       12/15/2044       2,400,548  
  3,078,037    

Series 4420-CZ

    3.00% >       12/15/2044       3,124,060  
  2,242,545    

Series 4440-ZD

    2.50% >       02/15/2045       2,175,566  
  1,061,513    

Series 4460-KB

    3.50%        03/15/2045       1,143,770  
  2,282,981    

Series 4461-LZ

    3.00% >       03/15/2045       2,316,353  
 

Federal National Mortgage Association,

 

  1,000,000    

Pool AN7330

    3.26%        12/01/2037       1,094,047  
  1,215,664    

Pool AN7884

    3.31%        12/01/2032       1,334,188  
  1,125,000    

Pool IF4974

    2.57%        10/25/2031       1,150,137  
  1,500,000    

Pool JP2358

    2.41%        10/25/2029       1,530,150  
  2,100,000    

Series 2012-128-UC

    2.50%        11/25/2042       2,029,738  
  1,803,723    

Series 2012-68-ZA

    3.50% >       07/25/2042       1,972,554  
  2,569,254    

Series 2012-92-AZ

    3.50% >       08/25/2042       2,769,374  
  3,322,693    

Series 2013-127-MZ

    3.00% >       12/25/2043       3,432,890  
  560,309    

Series 2013-66-ZK

    3.00% >       07/25/2043       566,573  
  159,210    

Series 2013-72-ZL

    3.50% >       07/25/2043       164,129  
  1,866,186    

Series 2013-74-ZH

    3.50% >       07/25/2043       2,039,092  
  1,352,769    

Series 2014-42-BZ

    3.00% >       07/25/2044       1,437,250  
  1,500,000    

Series 2014-67-HD

    3.00%        10/25/2044       1,544,199  
  904,000    

Series 2014-68-TD

    3.00%        11/25/2044       937,656  
  2,695,652    

Series 2014-80-DZ

    3.00% >       12/25/2044       2,759,842  
  858,141    

Series 2014-80-KL

    2.00%        05/25/2043       743,980  
  3,356,824    

Series 2015-16-ZY

    2.50% >       04/25/2045       3,282,825  
  2,991,330    

Series 2015-52-GZ

    3.00% >       07/25/2045       3,105,091  
  1,312,267    

Series 2018-21-PO

    0.00% P/O       04/25/2048       1,203,896  
 

Government National Mortgage Association,

 

  453,466    

Series 2013-180-LO

    0.00% P/O       11/16/2043       411,592  
  3,485,974    

Series 2015-53-EZ

    2.00% >       04/16/2045       3,072,061  
  3,113,667    

Series 2015-79-VZ

    2.50% >       05/20/2045       3,015,846  
  301,612    

Series 2016-12-MZ

    3.00% >       01/20/2046       318,345  
        

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $59,237,381)

 

    64,015,450  
        

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS 25.2%  
  1,000,000    

Tennessee Valley Authority

    5.38%        04/01/2056       1,602,056  
  1,700,000    

Tennessee Valley Authority

    4.63%        09/15/2060       2,447,280  

PRINCIPAL
AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  400,000    

United States Treasury Bonds

    4.63%        02/15/2040       579,508  
  3,400,000    

United States Treasury Bonds

    0.00%        11/15/2046       1,902,055  
  5,100,000    

United States Treasury Bonds

    3.13%        05/15/2048       6,205,066  
  5,100,000    

United States Treasury Notes

    3.00%        02/15/2049       6,086,930  
  5,050,000    

United States Treasury Notes

    2.25%        08/15/2049       5,200,020  
        

 

 

 
  Total US Government and Agency Obligations
(Cost $21,589,897)

 

    24,022,915  
        

 

 

 
  SHORT TERM INVESTMENTS 10.2%  
  1,544,164    

First American Government Obligations Fund - Class U

    1.88% ¨         1,544,164  
  1,544,164    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         1,544,164  
  1,544,164    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         1,544,164  
  5,100,000    

United States Treasury Bills

    0.00%        11/07/2019       5,091,020  
        

 

 

 
  Total Short Term Investments
(Cost $9,721,431)

 

    9,723,512  
        

 

 

 
  Total Investments 102.5%
(Cost $90,548,709)

 

    97,761,877  
  Liabilities in Excess of Other Assets (2.5)%

 

    (2,324,263
        

 

 

 
  NET ASSETS 100.0%        $ 95,437,614  
        

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

US Government and Agency Mortgage Backed Obligations

         67.1%  

US Government and Agency Obligations

         25.2%  

Short Term Investments

         10.2%  

Other Assets and Liabilities

         (2.5)%  
      

 

 

 
         100.0%  
      

 

 

 
 
>

This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.

 

P/O

Principal only security

 

¨

Seven-day yield as of September 30, 2019

 

Futures Contracts          
Description    Long/Short    Contract Quantity    Expiration Date    Notional Amount•    Value/Unrealized
Appreciation
(Depreciation)

Ultra 10-Year US Treasury Note Future

  

Short

       (132 )        12/19/2019        (18,797,625 )      $ 103,683

10-Year US Treasury Note Future

  

Short

       (53 )        12/19/2019        (6,906,563 )        69,036

US Treasury Long Bond Future

  

Long

       81        12/19/2019        13,147,313        (87,882 )

CME Ultra Long Term US Treasury Bond Future

  

Long

       114        12/19/2019        21,877,313        (318,407 )
                      

 

 

 
                       $ (233,570 )
                      

 

 

 

 

Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   79


Schedule of Investments  DoubleLine Strategic Commodity Fund (Consolidated)  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $/
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  SHORT TERM INVESTMENTS 99.7%       
  5,341,019    

First American Government Obligations Fund - Class U

    1.88% ¨ LOGO          5,341,019  
  5,341,020    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨ LOGO          5,341,020  
  5,341,020    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨ LOGO          5,341,020  
  25,000,000    

United States Treasury Bills

    0.00%        10/01/2019       25,000,000  
  30,000,000    

United States Treasury Bills

    0.00%        10/03/2019       29,997,245  
  45,000,000    

United States Treasury Bills

    0.00% LOGO        10/08/2019       44,984,644  
  60,000,000    

United States Treasury Bills

    0.00%        10/10/2019       59,973,388  
PRINCIPAL
AMOUNT $/
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  15,000,000    

United States Treasury Bills

     0.00%        12/12/2019       14,946,713  
  70,000,000    

United States Treasury Bills

    0.00%        12/19/2019       69,734,099  
  50,000,000    

United States Treasury Bills

     0.00%        01/02/2020       49,767,306  
  40,000,000    

United States Treasury Bills

    0.00%        02/06/2020       39,745,896  
  75,000,000    

United States Treasury Bills

    0.00%        02/13/2020       74,501,484  
        

 

 

 
  Total Short Term Investments
(Cost $424,509,084)

 

    424,673,834  
        

 

 

 
  Total Investments 99.7%
(Cost $424,509,084)

 

    424,673,834  
  Other Assets in Excess of Liabilities 0.3%

 

    1,389,236  
        

 

 

 
  NET ASSETS 100.0%

 

  $ 426,063,070  
        

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:       

Short Term Investments

         99.7%  

Other Assets and Liabilities

         0.3%  
      

 

 

 
         100.0%  
      

 

 

 
 
¨

Seven-day yield as of September 30, 2019

 

LOGO

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 Swap                            
Reference Entity   Counterparty   Long/Short   Financing
Rate
  Payment
Frequency
  Termination
Date
  Notional
Amount
  Unrealized
Appreciation
(Depreciation)/
Value

Long Commodity Basket Swapf LOGO

  Bank of America Merrill Lynch       Long       0.20 %       Termination       10/01/2019       74,000,000     $ 2,232,713

Commodity Beta Basket Swapg LOGO

  Canadian Imperial Bank of Commerce       Long       0.21 %       Termination       10/01/2019       128,000,000       2,205,169

Commodity Beta Basket Swapg LOGO

  Barclays Capital, Inc.       Long       0.20 %       Termination       10/01/2019       127,700,000       2,151,750

Long Commodity Basket Swapf LOGO

  Canadian Imperial Bank of Commerce       Long       0.20 %       Termination       10/01/2019       11,000,000       335,363

Short Commodity Basket Swapy LOGO

  Canadian Imperial Bank of Commerce       Short       0.00 %       Termination       10/01/2019       (11,000,000 )       (660,269 )

Short Commodity Basket Swapy LOGO

  Bank of America Merrill Lynch       Short       0.00 %       Termination       10/01/2019       (74,000,000 )       (4,419,744 )
                         

 

 

 
                          $ 1,844,982
                         

 

 

 

 

LOGO

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.

 

f

Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2019, all constituents and their weightings were as follows:

 

Sub-Index    Ticker    Contract Value d    Value of Index    Weightings

S&P GSCI 2 Month Forward Zinc Index ER

       SG2MIZP        0.20      $ 26        21.0 %

S&P GSCI 2 Month Forward Unleaded Gas Index ER

       SG2MHUP        0.04        25        20.5 %

S&P GSCI 2 Month Forward Gas Oil Index ER

       SG2MGOP        0.35        25        20.5 %

S&P GSCI 2 Month Forward Crude Oil Index ER

       SG2MCLP        0.08        24        19.6 %

S&P GSCI 2 Month Forward Nickel Index ER

       SG2MIKP        0.08        23        18.4 %
              

 

 

 
               $ 123        100.0 %
              

 

 

 

 

80   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


   

(Unaudited)

September 30, 2019

 

 

g

Commodity Beta Basket Swap represents a swap on a basket of commodity indices designed to approximate the broad commodity market. At September 30, 2019, all constituents and their weightings were as follows:

 

Index    Ticker    Contract Value d    Value of Index    Weightings

Electrolytic Copper Future

       LP1        0.19      $ 77        18.6 %

Soybean Future

       S1        0.32        76        18.4 %

Nickel Future

       LN1        0.21        74        17.8 %

Crude Oil Future

       CL1        0.10        40        9.6 %

Brent Crude Future

       CO1        0.09        39        9.5 %

Gasoline RBOB Future

       XB1        0.09        25        6.0 %

Low Sulphur Gas Oil Future

       QS1        0.10        21        5.1 %

Live Cattle Future

       LC1        0.11        19        4.5 %

Sugar No. 11 Future

       SB1        0.17        18        4.4 %

Cotton No. 2 Future

       CT1        0.31        14        3.2 %

NY Harbor ULSD Heating Oil Future

       HO1        0.09        12        2.9 %
              

 

 

 
               $ 415        100.0 %
              

 

 

 

 

y

Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At September 30, 2019, all constituents and their weightings were as follows:

 

Sub-Index    Ticker    Contract Value d    Value of Index    Weightings

S&P GSCI 2 Month Forward Wheat Index ER

       SG2MWHP        1.60      $ 17        20.7 %

S&P GSCI 2 Month Forward Kansas Wheat Index ER

       SG2MKWP        0.74        16        20.4 %

S&P GSCI 2 Month Forward Corn Index ER

       SG2MCNP        0.73        16        20.2 %

S&P GSCI 2 Month Forward Coffee Index ER

       SG2MKCP        1.88        16        20.0 %

S&P GSCI 2 Month Forward Natural Gas Index ER

       SG2MNGP        1.01        15        18.7 %
              

 

 

 
               $ 80        100.0 %
              

 

 

 

 

d

Contract value represents the number of units of the underlying constituent’s index in one unit of the custom basket index at creation. The contract value is calculated by multiplying each constituent’s weight by the starting price of the custom basket index and dividing by the starting price of the constituent’s index. The contract value will differ depending on the date the swap is initiated.

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   81


Schedule of Investments  DoubleLine Global Bond Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT

          SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 76.6%
 
 
 
  AUSTRALIA 4.0%  
  33,150,000       AUD    

Australia Government Bond

    1.75%       11/21/2020       22,615,496  
  13,050,000       AUD    

Australia Government Bond

    5.50%       04/21/2023       10,278,255  
  18,500,000       AUD    

Australia Government Bond

    3.25%       04/21/2025       14,140,958  
         

 

 

 
            47,034,709  
         

 

 

 
  BELGIUM 3.2%  
  10,000,000       EUR    

Kingdom of Belgium Government Bond

    0.80%^       06/22/2025       11,739,152  
  20,980,000       EUR    

Kingdom of Belgium Government Bond

    1.00%^       06/22/2026       25,175,085  
  120,000       EUR    

Kingdom of Belgium Government Bond

    0.90%^       06/22/2029       145,774  
         

 

 

 
            37,060,011  
         

 

 

 
  CANADA 3.5%  
  9,000,000       CAD    

Canadian Government Bond

    2.25%       02/01/2021       6,842,107  
  27,200,000       CAD    

Canadian Government Bond

    0.50%       03/01/2022       20,011,304  
  19,000,000       CAD    

Canadian Government Bond

    1.50%       06/01/2023       14,358,689  
         

 

 

 
            41,212,100  
         

 

 

 
  CZECH REPUBLIC 3.9%  
  477,100,000       CZK    

Czech Republic Government Bond

    0.45%       10/25/2023       19,519,674  
  200,000,000       CZK    

Czech Republic Government Bond

    5.70%       05/25/2024       10,254,211  
  337,900,000       CZK    

Czech Republic Government Bond

    2.40%       09/17/2025       15,204,711  
         

 

 

 
            44,978,596  
         

 

 

 
  FRANCE 2.5%  
  18,340,000       EUR    

French Republic Government Bond

    0.25%       11/25/2026       21,039,057  
  6,545,000       EUR    

French Republic Government Bond

    1.00%       05/25/2027       7,930,730  
         

 

 

 
            28,969,787  
         

 

 

 
  GERMANY 1.0%  
  4,900,000       EUR    

Bundesrepublik Deutschland

    0.50%       02/15/2026       5,782,226  
  4,950,000       EUR    

Bundesrepublik Deutschland

    0.00%       08/15/2026       5,678,783  
         

 

 

 
            11,461,009  
         

 

 

 
  HUNGARY 3.9%  
  3,732,000,000       HUF    

Hungary Government Bond

    0.50%       04/21/2021       12,244,140  
  4,849,300,000       HUF    

Hungary Government Bond

    1.75%       10/26/2022       16,391,543  
  4,677,000,000       HUF    

Hungary Government Bond

    2.50%       10/24/2024       16,343,237  
         

 

 

 
            44,978,920  
         

 

 

 
  IRELAND 3.9%  
  10,725,000       EUR    

Ireland Government Bond

    5.40%       03/13/2025       15,406,256  
  16,600,000       EUR    

Ireland Government Bond

    1.00%       05/15/2026       19,655,730  
  9,150,000       EUR    

Ireland Government Bond

    0.90%       05/15/2028       10,870,780  
         

 

 

 
            45,932,766  
         

 

 

 

PRINCIPAL

AMOUNT

          SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  ISRAEL 1.7%  
  38,630,000       ILS    

Israel Government Bond

    4.25%       03/31/2023       12,619,510  
  22,345,000       ILS    

Israel Government Bond

    1.75%       08/31/2025       6,868,281  
         

 

 

 
            19,487,791  
         

 

 

 
  JAPAN 20.0%  
  1,090,000,000       JPY    

Japan Government Ten Year Bond

    0.10%       12/20/2026       10,429,451  
  1,305,000,000       JPY    

Japan Government Ten Year Bond

    0.10%       12/20/2027       12,519,737  
  2,445,000,000       JPY    

Japan Government Ten Year Bond

    0.10%       03/20/2028       23,447,985  
  2,590,000,000       JPY    

Japan Government Ten Year Bond

    0.10%       12/20/2028       24,787,720  
  1,385,000,000       JPY    

Japan Government Twenty Year Bond

    2.20%       09/20/2027       15,457,284  
  1,495,000,000       JPY    

Japan Government Twenty Year Bond

    2.10%       12/20/2027       16,647,517  
  910,000,000       JPY    

Japan Government Twenty Year Bond

    1.90%       12/20/2028       10,119,506  
  1,740,000,000       JPY    

Japan Government Twenty Year Bond

    1.90%       03/20/2031       19,880,151  
  280,000,000       JPY    

Japan Government Twenty Year Bond

    1.60%       03/20/2033       3,165,244  
  3,230,500,000       JPY    

Japan Government Twenty Year Bond

    1.60%       12/20/2033       36,745,869  
  1,305,000,000       JPY    

Japan Government Twenty Year Bond

    1.50%       06/20/2034       14,722,923  
  1,300,000,000       JPY    

Japan Government Twenty Year Bond

    1.30%       06/20/2035       14,379,797  
  1,240,000,000       JPY    

Japan Government Twenty Year Bond

    1.20%       09/20/2035       13,553,003  
  1,740,000,000       JPY    

Japan Government Twenty Year Bond

    0.50%       03/20/2038       17,126,597  
         

 

 

 
            232,982,784  
         

 

 

 
  MEXICO 5.1%  
  9,391,000       MXN    

Mexican Bonos

    6.50% LOGO       06/09/2022       47,383,767  
  2,434,000       MXN    

Mexican Bonos

    8.00% LOGO       06/11/2020       12,438,882  
         

 

 

 
            59,822,649  
         

 

 

 
  NEW ZEALAND 4.0%  
  36,590,000       NZD    

New Zealand Government Bond

    5.50%       04/15/2023       26,673,168  
  28,370,000       NZD    

New Zealand Government Bond

    2.75%       04/15/2025       19,552,155  
         

 

 

 
            46,225,323  
         

 

 

 
  PERU 1.1%  
  32,130,000       PEN    

Peruvian Government International Bond

    6.95% ^      08/12/2031       11,636,554  
  3,315,000       PEN    

Peruvian Government International Bond

    5.40% ^      08/12/2034       1,051,001  
         

 

 

 
            12,687,555  
         

 

 

 
  POLAND 3.9%  
  81,100,000       PLN    

Republic of Poland Government Bond

    1.50%       04/25/2020       20,263,978  
  64,300,000       PLN    

Republic of Poland Government Bond

    2.25%       04/25/2022       16,311,646  
  15,450,000       PLN    

Republic of Poland Government Bond

    2.50%       01/25/2023       3,961,627  
  15,800,000       PLN    

Republic of Poland Government Bond

    3.25%       07/25/2025       4,248,557  
         

 

 

 
            44,785,808  
         

 

 

 
 

 

82   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


   

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT

          SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  PORTUGAL 5.0%  
  22,400,000       EUR    

Portugal Obrigacoes do Tesouro OT

    2.20% ^      10/17/2022       26,404,787  
  24,350,000       EUR    

Portugal Obrigacoes do Tesouro OT

    2.88% ^      10/15/2025       31,371,257  
  620,000       EUR    

Portugal Obrigacoes do Tesouro OT

    1.95% ^      06/15/2029       792,724  
         

 

 

 
            58,568,768  
         

 

 

 
  SOUTH AFRICA 5.0%  
  292,125,000       ZAR    

Republic of South Africa Government Bond

    7.75%       02/28/2023       19,470,821  
  631,400,000       ZAR    

Republic of South Africa Government Bond

    8.00%       01/31/2030       38,948,640  
         

 

 

 
            58,419,461  
         

 

 

 
  SPAIN 4.9%  
  7,550,000       EUR    

Spain Government Bond

    5.85% ^      01/31/2022       9,456,201  
  4,875,000       EUR    

Spain Government Bond

    0.40%       04/30/2022       5,434,467  
  20,460,000       EUR    

Spain Government Bond

    0.35%       07/30/2023       22,916,940  
  10,900,000       EUR    

Spain Government Bond

    2.75% ^      10/31/2024       13,730,457  
  4,350,000       EUR    

Spain Government Bond

    1.60% ^      04/30/2025       5,229,905  
  500,000       EUR    

Spain Government Bond

    1.30% ^      10/31/2026       598,360  
         

 

 

 
            57,366,330  
         

 

 

 
    Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $886,511,468)

 

    891,974,367  
         

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS 20.3%  
 
  UNITED STATES 20.3%  
  11,990,000       USD    

United States Treasury Notes

    1.38%       02/15/2020       11,964,943  
  11,500,000       USD    

United States Treasury Notes

    1.38%       04/30/2020       11,467,432  
  8,790,000       USD    

United States Treasury Notes

    1.63%       06/30/2020       8,775,064  
  18,030,000       USD    

United States Treasury Notes

    1.88%       12/15/2020       18,048,312  
  17,290,000       USD    

United States Treasury Notes

    2.00%       01/15/2021       17,338,628  
  7,980,000       USD    

United States Treasury Notes

    1.75%       04/30/2022       8,012,263  
  11,000,000       USD    

United States Treasury Notes

    1.75%       06/30/2022       11,051,562  
  10,960,000       USD    

United States Treasury Notes

    1.88%       08/31/2022       11,054,187  
  10,920,000       USD    

United States Treasury Notes

    2.00%       11/30/2022       11,060,339  
  7,640,000       USD    

United States Treasury Notes

    2.25%       01/31/2024       7,858,755  
  11,050,000       USD    

United States Treasury Notes

    2.50%       05/15/2024       11,509,266  
  13,190,000       USD    

United States Treasury Notes

    2.00%       06/30/2024       13,449,936  
  12,990,000       USD    

United States Treasury Notes

    2.38%       08/15/2024       13,480,169  
  13,700,000       USD    

United States Treasury Notes

    2.00%       02/15/2025       13,993,801  
  10,380,000       USD    

United States Treasury Notes

    2.00%       08/15/2025       10,613,550  
  14,290,000       USD    

United States Treasury Notes

    1.63%       02/15/2026       14,298,652  

PRINCIPAL

AMOUNT/
SHARES

          SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  14,010,000       USD    

United States Treasury Notes

    2.00%       11/15/2026       14,369,827  
  12,480,000       USD    

United States Treasury Notes

    2.25%       08/15/2027       13,049,887  
  13,760,000       USD    

United States Treasury Notes

    2.25%       11/15/2027       14,397,475  
         

 

 

 
            235,794,048  
         

 

 

 
    Total US Government and Agency Obligations
(Cost $230,247,122)

 

    235,794,048  
         

 

 

 
  SHORT TERM INVESTMENTS 2.5%    
  9,834,092      

First American Government Obligations Fund - Class U

    1.88% ¨        9,834,092  
  9,834,093      

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨        9,834,093  
  9,834,093      

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨        9,834,093  
         

 

 

 
    Total Short Term Investments
(Cost $29,502,278)

 

    29,502,278  
         

 

 

 
    Total Investments 99.4%
(Cost $1,146,260,868)

 

    1,157,270,693  
    Other Assets in Excess of Liabilities 0.6%

 

    7,397,428  
         

 

 

 
    NET ASSETS 100.0%

 

  $ 1,164,668,121  
         

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         76.6%  

US Government and Agency Obligations

         20.3%  

Short Term Investments

         2.5%  

Other Assets and Liabilities

         0.6%  
      

 

 

 
         100.0%  
      

 

 

 

 

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

         22.8%  

Japan

         20.0%  

Mexico

         5.1%  

Portugal

         5.0%  

South Africa

         5.0%  

Spain

         4.9%  

Australia

         4.0%  

New Zealand

         4.0%  

Ireland

         3.9%  

Hungary

         3.9%  

Czech Republic

         3.9%  

Poland

         3.9%  

Canada

         3.5%  

Belgium

         3.2%  

France

         2.5%  

Israel

         1.7%  

Peru

         1.1%  

Germany

         1.0%  

Other Assets and Liabilities

         0.6%  
      

 

 

 
         100.0%  
      

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   83


Schedule of Investments  DoubleLine Global Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

 

^

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.

 

¨

Seven-day yield as of September 30, 2019

 

LOGO

Principal amount is stated in 100 Mexican Peso Units.

 

AUD

Australian Dollar

 

EUR

Euro

 

CAD

Canadian Dollar

 

CZK

Czech Republic Koruna

 

HUF

Hungarian Forint

 

ILS

Israeli Shekel

 

JPY

Japanese Yen

 

MXN

Mexican Peso

 

NZD

New Zealand Dollar

 

PEN

Peruvian Sol

 

PLN

Polish Zloty

 

ZAR

South African Rand

 

USD

US Dollar

 

84   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments  DoubleLine Infrastructure Income Fund  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  ASSET BACKED OBLIGATIONS 44.5%       
 

AASET Ltd.,

      
  1,544,814    

Series 2018-1A-A

    3.84% ^       01/16/2038       1,557,107  
 

Blackbird Capital Aircraft Lease Securitization Ltd.,

 

  5,416,667    

Series 2016-1A-B

    5.68%        12/16/2041       5,656,657  
 

CAL Funding Ltd.,

 

  1,263,500    

Series 2013-1A-A

    3.35% ^       03/27/2028       1,268,699  
  4,208,333    

Series 2018-1A-A

    3.96% ^       02/25/2043       4,249,211  
 

Castlelake Aircraft Securitization Trust,

 

  6,589,296    

Series 2016-1-A

    4.45%        08/15/2041       6,800,246  
  6,126,035    

Series 2017-1-A

    3.97%        07/15/2042       6,232,322  
 

CLI Funding LLC,

 

  155,100    

Series 2013-1A-NOTE

    2.83% ^       03/18/2028       154,359  
  1,310,750    

Series 2013-2A-NOTE

    3.22% ^       06/18/2028       1,311,759  
  646,862    

Series 2014-1A-A

    3.29% ^       06/18/2029       648,722  
  3,152,251    

Series 2014-2A-A

    3.38% ^       10/18/2029       3,166,395  
  3,746,380    

Series 2017-1A-A

    3.62% ^       05/18/2042       3,759,494  
  3,406,044    

Series 2018-1A-A

    4.03% ^       04/18/2043       3,442,510  
  2,890,720    

Series 2019-1A-A

    3.71% ^       05/18/2044       2,950,284  
 

ECAF Ltd.,

 

  1,462,258    

Series 2015-1A-A1

    3.47% ^       06/15/2040       1,459,288  
 

Falcon Aerospace Ltd.,

 

  9,478,383    

Series 2017-1-A

    4.58% ^       02/15/2042       9,661,856  
 

Global SC Finance Ltd.,

 

  4,278,500    

Series 2018-1A-A

    4.29% ^       05/17/2038       4,439,831  
  1,970,833    

Series 2013-1A-A

    2.98% ^       04/17/2028       1,971,522  
  2,641,417    

Series 2014-1A-A1

    3.19% ^       07/17/2029       2,642,632  
 

Harbour Aircraft Investments Ltd.,

 

  14,012,296    

Series 2017-1-A

    4.00%        11/15/2037       14,075,982  
 

Helios Issuer LLC,

      
  15,431,111    

Series 2017-1A-A

    4.94% ^       09/20/2049       16,178,553  
 

HERO Funding Trust,

 

  38,646    

Series 2015-2A-A

    3.99% ^       09/20/2040       40,350  
  1,153,616    

Series 2016-3A-A2

    3.91% ^       09/20/2042       1,194,414  
  2,679,296    

Series 2016-4A-A2

    4.29% ^       09/20/2047       2,801,247  
 

Horizon Aircraft Finance Ltd.,

 

  5,429,487    

Series 2019-1-A

    3.72% ^       07/15/2039       5,443,045  
 

InSite Issuer LLC,

 

  2,250,000    

Series 2016-1A-B

    4.56% ^       11/15/2046       2,327,081  
 

JOL Air Ltd.,

 

  4,801,489    

Series 2019-1-A

    3.97% ^       04/15/2044       4,853,393  
 

Mosaic Solar Loan Trust,

 

  7,792,614    

Series 2017-1A-A

    4.45% ^       06/20/2042       8,142,806  
  3,624,784    

Series 2018-1A-A

    4.01% ^       06/22/2043       3,763,611  
 

NP SPE LLC,

 

  172,858    

Series 2016-1A-A1

    4.16% ^       04/20/2046       180,558  
  2,642,573    

Series 2017-1A-A1

    3.37% ^       10/21/2047       2,718,473  
  2,500,000    

SBA Tower Trust

    2.88% ^       07/09/2021       2,511,663  
  8,050,000    

SBA Tower Trust

    3.17% ^       04/11/2022       8,135,158  
 

Shenton Aircraft Investment Ltd.,

 

  179,168    

Series 2015-1A-A

    4.75% ^       10/15/2042       184,201  
 

Sprite Ltd.,

      
  4,204,165    

Series 2017-1-A

    4.25% ^       12/15/2037       4,253,332  
 

Stack Infrastructure Issuer LLC,

 

  2,982,500    

Series 2019-1A-A2

    4.54% ^       02/25/2044       3,129,592  
 

STARR Ltd.,

 

  1,524,496    

Series 2018-1-A

    4.09% ^       05/15/2043       1,560,617  
 

Sunnova Helios II Issuer LLC,

 

  2,928,112    

Series 2018-1A-A

    4.87% ^       07/20/2048       3,207,499  
 

TAL Advantage LLC,

 

  145,833    

Series 2013-2A-A

    3.55% ^       11/20/2038       146,841  
  486,717    

Series 2014-1A-A

    3.51% ^       02/22/2039       486,402  
  728,749    

Series 2014-1A-B

    4.10% ^       02/22/2039       734,323  
  16,753,519    

Series 2017-1A-A

    4.50% ^       04/20/2042       17,280,243  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Textainer Marine Containers Ltd.,

 

  5,466,633    

Series 2017-1A-A

    3.72% ^       05/20/2042       5,472,272  
 

Thunderbolt Aircraft Lease Ltd.,

 

  6,770,992    

Series 2017-A-A

    4.21%        05/17/2032       6,967,933  
  1,857,143    

Series 2018-A-A

    4.15%        09/15/2038       1,912,616  
  2,785,714    

Series 2018-A-B

    5.07%        09/15/2038       2,849,137  
 

Trinity Rail Leasing LLC,

 

  3,963,105    

Series 2010-1A-A

    5.19% ^       10/16/2040       4,406,502  
 

Trip Rail Master Funding LLC,

 

  2,135,833    

Series 2017-1A-A1

    2.71% ^       08/15/2047       2,139,461  
 

Triton Container Finance LLC,

 

  3,888,258    

Series 2017-1A-A

    3.52% ^       06/20/2042       3,932,527  
  1,616,827    

Series 2017-2A-A

    3.62% ^       08/20/2042       1,636,296  
  8,500,000    

Series 2018-1A-A

    3.95% ^       03/20/2043       8,700,228  
 

USQ Rail LLC,

 

  4,049,782    

Series 2018-1-A1

    3.78% ^       04/25/2048       4,187,439  
 

Vantage Data Centers Issuer LLC,

 

  11,563,958    

Series 2018-1A-A2

    4.07% ^       02/16/2043       12,029,699  
 

VB-S1 Issuer LLC,

 

  6,000,000    

Series 2018-1A-C

    3.41% ^       02/15/2048       6,078,876  
 

Vivint Colar Financing LLC,

 

  4,940,463    

Series 2018-1A-A

    4.73% ^       04/30/2048       5,268,277  
 

Wildcat LLC,

 

  3,719,878    

Series 2017-1A-A

    4.12% ±Þ       06/08/2024       3,718,762  
 

Zephyrus Capital Aviation Partners Ltd.,

 

  9,000,000    

Series 2018-1-A

    4.61% ^       10/15/2038       9,069,507  
        

 

 

 
  Total Asset Backed Obligations
(Cost $236,882,185)

 

    243,091,810  
        

 

 

 
  FOREIGN CORPORATE BONDS 20.8%  
  3,650,000    

Adani Ports & Special Economic Zone Ltd.

    4.00% ^       07/30/2027       3,740,279  
  10,500,000    

APT Pipelines Ltd.

    4.25% ^       07/15/2027       11,301,590  
  10,287,221    

Celeo Redes Operacion Chile S.A.

    5.20% ^       06/22/2047       11,470,252  
  2,520,000    

Delek & Avner Tamar Bond Ltd.

    5.41% ^       12/30/2025       2,610,795  
  2,000,000    

Emirates Semb CorporationWater & Power Company PJSC

    4.45% ^       08/01/2035       2,218,560  
  7,507,000    

Empresa de Transporte de Pasajeros Metro S.A.

    5.00% ^       01/25/2047       8,783,190  
  9,774,723    

Energia Eolica S.A. Þ

    6.00% Þ       08/30/2034       10,507,827  
  2,947,656    

Fermaca Enterprises S. de R.L. de C.V.

    6.38% ^       03/30/2038       3,142,968  
  5,104,606    

Fermaca Enterprises S. de R.L. de C.V.

    6.38%        03/30/2038       5,442,837  
  2,959,016    

Interoceanica Finance Ltd.

    0.00% ^       11/30/2025       2,722,295  
  6,805,744    

Interoceanica Finance Ltd.

    0.00%        11/30/2025       6,261,284  
  3,640,000    

Israel Electric Corporation Ltd.

    5.00% ^       11/12/2024       4,014,920  
  8,600,000    

Korea Expressway Corporation (3 Month LIBOR USD + 0.70%)

    2.98% ^       04/20/2020       8,617,302  
  6,500,000    

Lima Metro Finance Ltd.

    5.88% ^       07/05/2034       7,172,263  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   85


Schedule of Investments  DoubleLine Infrastructure Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  350,000    

Lima Metro Finance Ltd.

    5.88%        07/05/2034       386,199  
  4,142,691    

Panama Metro Line SP

    0.00% ^       12/05/2022       3,978,019  
  4,216,000    

Sydney Airport Finance Company Pty Ltd.

    3.38% ^       04/30/2025       4,344,036  
  2,440,000    

Sydney Airport Finance Company Pty Ltd.

    3.63% ^       04/28/2026       2,549,503  
  6,175,000    

TransCanada PipeLines Ltd.

    4.25%        05/15/2028       6,833,164  
  840,000    

Transelec S.A.

    4.63% ^       07/26/2023       896,708  
  500,000    

Transelec S.A.

    4.25% ^       01/14/2025       531,880  
  6,000,000    

Transelec S.A.

    3.88% ^       01/12/2029       6,180,060  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $107,400,465)

 

    113,705,931  
        

 

 

 
  US CORPORATE BONDS 31.3%       
  6,383,000    

Ameren Corporation

    3.65%        02/15/2026       6,712,357  
  6,860,000    

American Electric Power Company, Inc.

    2.95%        12/15/2022       7,002,985  
  11,250,000    

American Tower Corporation

    4.40%        02/15/2026       12,350,533  
  700,000    

American Tower Corporation

    3.38%        10/15/2026       729,441  
  474,000    

American Transmission Systems, Inc.

    5.25% ^       01/15/2022       505,201  
  7,515,000    

American Water Capital Corporation

    3.40%        03/01/2025       7,895,898  
  11,015,000    

AT&T, Inc.

    4.30%        12/15/2042       11,524,780  
  2,500,000    

Connecticut Light & Power Company

    3.20%        03/15/2027       2,645,785  
  3,557,000    

Crown Castle International Corporation

    3.70%        06/15/2026       3,772,288  
  5,716,000    

Crown Castle International Corporation

    3.65%        09/01/2027       6,060,815  
  9,000,000    

Digital Realty Trust

    3.70%        08/15/2027       9,454,380  
  4,175,000    

DTE Energy Company

    2.85%        10/01/2026       4,251,334  
  5,000,000    

DTE Energy Company

    3.80%        03/15/2027       5,352,522  
  700,000    

Duke Energy Corporation

    3.15%        08/15/2027       728,155  
  8,655,000    

Duquesne Light Holdings, Inc.

    3.62% ^       08/01/2027       8,841,032  
  8,635,000    

Eversource Energy

    2.80%        05/01/2023       8,767,304  
  7,266,000    

Exelon Corporation

    3.40%        04/15/2026       7,602,080  
  10,000,000    

ITC Holdings Corporation

    3.25%        06/30/2026       10,391,284  
  6,873,000    

Metropolitan Edison Company

    4.00% ^       04/15/2025       7,308,076  
  6,000,000    

MPLX LP

    4.00%        03/15/2028       6,261,688  
  7,069,000    

NextEra Energy Capital Holdings, Inc.

    3.63%        06/15/2023       7,369,281  
  7,220,000    

Oncor Electric Delivery Company LLC

    2.95%        04/01/2025       7,504,360  
  7,350,000    

Sierra Pacific Power Company

    2.60%        05/01/2026       7,474,514  
  6,000,000    

Spectra Energy Partners LP

    4.75%        03/15/2024       6,546,022  

PRINCIPAL
AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  7,250,000    

Sunoco Logistics Partners Operations LP

    3.90%        07/15/2026       7,527,564  
  6,417,000    

Xcel Energy, Inc.

    3.30%        06/01/2025       6,701,316  
        

 

 

 
  Total US Corporate Bonds
(Cost $164,191,643)

 

    171,280,995  
        

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS 1.0%  
  5,500,000    

United States Treasury Notes

    1.63%        08/15/2029       5,476,797  
        

 

 

 
  Total US Government and Agency Obgliations
(Cost $5,512,118 )

 

    5,476,797  
        

 

 

 
  SHORT TERM INVESTMENTS 2.2%  
  3,936,301    

First American Government Obligations Fund - Class U

    1.88% ¨         3,936,301  
  3,936,301    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         3,936,301  
  3,936,301    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         3,936,301  
        

 

 

 
  Total Short Term Investments
(Cost $11,808,903)

 

    11,808,903  
        

 

 

 
  Total Investments 99.8%
(Cost $525,795,314)

 

    545,364,436  
  Other Assets in Excess of Liabilities 0.2%

 

    1,242,414  
        

 

 

 
  NET ASSETS 100.0%

 

  $ 546,606,850  
        

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Asset Backed Obligations

         44.5%  

US Corporate Bonds

         31.3%  

Foreign Corporate Bonds

         20.8%  

Short Term Investments

         2.2%  

US Government and Agency Obligations

         1.0%  

Other Assets and Liabilities

         0.2%  
      

 

 

 
         100.0%  
      

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Asset Backed Obligations

         44.5%  

Utilities

         26.1%  

Transportation

         10.5%  

Energy

         7.5%  

Telecommunications

         8.0%  

Short Term Investments

         2.2%  

US Government and Agency Obligations

         1.0%  

Other Assets and Liabilities

         0.2%  
      

 

 

 
         100.0%  
      

 

 

 
 

 

86   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

 

^

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.

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

±

Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of September 30, 2019.

 

Þ

Value determined using significant unobservable inputs.

 

¨

Seven-day yield as of September 30, 2019

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   87


Schedule of Investments  DoubleLine Ultra Short Bond Fund  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  FOREIGN CORPORATE BONDS 18.2%  
  2,500,000    

Australia and New Zealand Banking Group Ltd. (3 Month LIBOR USD + 0.46%)

    2.58% ^       05/17/2021       2,511,211  
  1,000,000    

Bank of Montreal (3 Month LIBOR USD + 0.63%)

    2.77%        09/11/2022       1,005,805  
  2,500,000    

Bank of Montreal (3 Month LIBOR USD + 0.57%)

    2.68%        03/26/2022       2,509,956  
  3,000,000    

BMW Finance NV (3 Month LIBOR USD + 0.79%)

    2.97% ^       08/12/2022       3,011,625  
  1,000,000    

BNZ International Funding Ltd. (3 Month LIBOR USD + 0.98%)

    3.10% ^       09/14/2021       1,011,732  
  1,500,000    

BP Capital Markets PLC

    2.32%        02/13/2020       1,501,683  
  1,000,000    

BP Capital Markets PLC (3 Month LIBOR USD + 0.25%)

    2.38%        11/24/2020       1,001,422  
  500,000    

Canadian Imperial Bank of Commerce (3 Month LIBOR USD + 0.31%)

    2.60%        10/05/2020       500,991  
  1,000,000    

Commonwealth Bank of Australia (3 Month LIBOR USD + 0.68%)

    2.83% ^       09/18/2022       1,006,840  
  1,500,000    

Credit Agricole Corporate & Investment Bank S.A. (3 Month LIBOR USD + 0.63%, 0.63% Floor)

    2.96%        10/03/2021       1,503,009  
  1,500,000    

Credit Agricole S.A. (3 Month LIBOR USD + 1.43%)

    3.77% ^       01/10/2022       1,524,011  
  2,000,000    

Diageo Capital PLC (3 Month LIBOR USD + 0.24%)

    2.36%        05/18/2020       2,000,649  
  500,000    

HSBC Holdings PLC (3 Month LIBOR USD + 0.60%)

    2.72%        05/18/2021       500,573  
  1,000,000    

HSBC Holdings PLC (3 Month LIBOR USD + 1.50%)

    3.79%        01/05/2022       1,019,067  
  2,000,000    

HSBC Holdings PLC (3 Month LIBOR USD + 0.65%)

    2.78%        09/11/2021       2,003,031  
  3,500,000    

Lloyds Banking Group PLC (3 Month LIBOR USD + 0.49%)

    2.70%        05/07/2021       3,500,655  
  1,500,000    

Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.65%)

    2.92%        07/26/2021       1,505,524  
  1,700,000    

Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 1.06%)

    3.19%        09/13/2021       1,718,998  
  3,000,000    

Mizuho Financial Group, Inc. (3 Month LIBOR USD + 0.94%)

    3.08%        02/28/2022       3,021,379  
  2,500,000    

National Australia Bank Ltd. (3 Month LIBOR USD + 0.72%)

    2.87% ^       05/22/2022       2,520,036  
  1,000,000    

National Australia Bank Ltd. (3 Month LIBOR USD + 0.89%)

    3.23%        01/10/2022       1,011,409  
  2,300,000    

Rabobank (3 Month LIBOR USD + 0.83%)

    3.17%        01/10/2022       2,322,200  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  1,500,000    

Reckitt Benckiser Treasury Services Plc (3 Month LIBOR USD + 0.56%)

    2.69% ^       06/24/2022       1,495,334  
  3,240,000    

Royal Bank of Canada (3 Month LIBOR USD + 0.47%)

    2.73%        04/29/2022       3,247,585  
  4,000,000    

Santander UK PLC (3 Month LIBOR USD + 0.66%)

    2.82%        11/15/2021       4,005,969  
  1,500,000    

Siemens Financieringsmaatschappij N.V. (3 Month LIBOR USD + 0.61%)

    2.73% ^       03/16/2022       1,513,045  
  3,000,000    

Sumitomo Mitsui Financial Group, Inc. (3 Month LIBOR USD + 0.78%)

    3.12%        07/12/2022       3,012,023  
  500,000    

Sumitomo Mitsui Financial Group, Inc. (3 Month LIBOR USD + 1.68%)

    3.78%        03/09/2021       509,227  
  2,500,000    

Toronto-Dominion Bank (3 Month LIBOR USD + 0.64%)

    2.94%        07/19/2023       2,515,012  
  2,000,000    

UBS Group Funding Switzerland AG (3 Month LIBOR USD + 1.22%)

    3.37% ^       05/23/2023       2,024,025  
  2,000,000    

UBS Group Funding Switzerland AG (3 Month LIBOR USD + 1.53%)

    3.78% ^       02/01/2022       2,045,927  
  2,000,000    

Westpac Banking Corporation (3 Month LIBOR USD + 1.00%)

    3.18%        05/13/2021       2,024,553  
  1,000,000    

Westpac Banking Corporation (3 Month LIBOR USD + 0.71%)

    2.81%        06/28/2022       1,007,161  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $61,547,005)

 

       61,611,667  
        

 

 

 
  US CORPORATE BONDS 29.7%  
  1,000,000    

Allstate Corporation (3 Month LIBOR USD + 0.43%)

    2.53%        03/29/2021       1,001,276  
  1,500,000    

Allstate Corporation (3 Month LIBOR USD + 0.63%)

    2.73%        03/29/2023       1,503,691  
  3,000,000    

American Express Company (3 Month LIBOR USD + 0.60%)

    2.89%        11/05/2021       3,018,381  
  2,000,000    

American Honda Finance Corporation (3 Month LIBOR USD + 0.29%)

    2.42%        12/10/2021       1,997,982  
  1,000,000    

American Honda Finance Corporation (3 Month LIBOR USD + 0.54%)

    2.64%        06/27/2022       1,003,820  
  1,000,000    

Bank of America Corporation (3 Month LIBOR USD + 0.65%)

    2.76%        06/25/2022       1,003,794  
  2,500,000    

Bank of America Corporation (3 Month LIBOR USD + 1.18%)

    3.46%        10/21/2022       2,533,344  
  3,220,000    

BMW US Capital LLC (3 Month LIBOR USD + 0.53%)

    2.83% ^       04/14/2022       3,218,160  
 

 

88   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  3,500,000    

Bristol-Myers Squibb Company (3 Month LIBOR USD + 0.38%)

    2.55% ^       05/16/2022       3,504,900  
  1,000,000    

Caterpillar Financial Services Corporation (3 Month LIBOR USD + 0.39%)

    2.51%        05/17/2021       1,002,580  
  2,500,000    

Caterpillar Financial Services Corporation (3 Month LIBOR USD + 0.59%)

    2.70%        06/06/2022       2,515,595  
  2,000,000    

Citibank NA (3 Month LIBOR USD + 0.60%)

    2.74%        05/20/2022       2,003,930  
  1,000,000    

Citigroup, Inc. (3 Month LIBOR USD + 0.96%)

    3.24%        04/25/2022       1,010,901  
  2,500,000    

Comcast Corporation (3 Month LIBOR USD + 0.44%)

    2.54%        10/01/2021       2,508,490  
  2,000,000    

ConocoPhillips Company (3 Month LIBOR USD + 0.90%)

    3.06%        05/15/2022       2,024,471  
  2,500,000    

Daimler Finance North America LLC (3 Month LIBOR USD + 0.67%)

    2.96% ^       11/05/2021       2,507,513  
  1,000,000    

Daimler Finance North America LLC (3 Month LIBOR USD + 0.88%)

    3.03% ^       02/22/2022       1,005,392  
  1,000,000    

DuPont de Nemours, Inc. (3 Month LIBOR USD + 0.71%)

    2.87%        11/15/2020       1,005,039  
  2,500,000    

Gilead Sciences, Inc.

    2.35%        02/01/2020       2,503,068  
  3,500,000    

Goldman Sachs Group, Inc. (3 Month LIBOR USD + 1.11%)

    3.38%        04/26/2022       3,530,828  
  1,000,000    

Honeywell International, Inc. (3 Month LIBOR USD + 0.37%)

    2.56%        08/08/2022       1,005,935  
  10,000,000    

International Bank for Reconstruction & Development (Secured Overnight Financing Rate USD + 0.30%)

    2.37%        08/06/2024       10,006,906  
  2,500,000    

International Business Machines Corporation (3 Month LIBOR USD + 0.40%)

    2.58%        05/13/2021       2,510,464  
  2,500,000    

Jackson National Life Global Funding (3 Month LIBOR USD + 0.48%)

    2.62% ^       06/11/2021       2,506,793  
  1,000,000    

Jackson National Life Global Funding (3 Month LIBOR USD + 0.73%)

    2.83% ^       06/27/2022       1,010,122  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  1,000,000    

John Deere Capital Corporation (3 Month LIBOR USD + 0.48%)

    2.58%        09/08/2022       1,002,639  
  1,000,000    

John Deere Capital Corporation (3 Month LIBOR USD + 0.49%)

    2.62%        06/13/2022       1,002,293  
  3,500,000    

JPMorgan Chase & Company (3 Month LIBOR USD + 0.61%)

    2.76%        06/18/2022       3,511,857  
  1,000,000    

Mead Johnson Nutrition Company

    4.90%        11/01/2019       1,002,131  
  3,000,000    

Metropolitan Life Global Funding (3 Month LIBOR USD + 0.23%)

    2.53% ^       01/08/2021       3,002,073  
  3,335,000    

Morgan Stanley (3 Month LIBOR USD + 0.93%)

    3.21%        07/22/2022       3,361,142  
  500,000    

New York Life Global Funding (3 Month LIBOR USD + 0.32%)

    2.56% ^       08/06/2021       501,325  
  2,000,000    

New York Life Global Funding (3 Month LIBOR USD + 0.44%)

    2.78% ^       07/12/2022       2,006,145  
  3,000,000    

Nissan Motor Acceptance Corporation (3 Month LIBOR USD + 0.52%)

    2.64% ^       03/15/2021       2,999,355  
  2,500,000    

PNC Bank (3 Month LIBOR USD + 0.25%)

    2.53%        01/22/2021       2,502,026  
  1,000,000    

PNC Bank NA (3 Month LIBOR USD + 0.45%)

    2.71%        07/22/2022       1,000,095  
  2,000,000    

Prudential Financial, Inc.

    5.38%        06/21/2020       2,046,630  
  2,695,000    

QUALCOMM, Inc. (3 Month LIBOR USD + 0.73%)

    3.00%        01/30/2023       2,710,691  
  1,000,000    

Raytheon Company

    4.40%        02/15/2020       1,008,614  
  1,600,000    

Rockwell Automation, Inc.

    2.05%        03/01/2020       1,600,643  
  1,500,000    

SunTrust Bank

    2.25%        01/31/2020       1,500,409  
  1,000,000    

SunTrust Bank (3 Month LIBOR USD + 0.59%)

    2.71%        05/17/2022       1,002,856  
  250,000    

Toyota Motor Credit Corporation (3 Month LIBOR USD + 0.26%)

    2.56%        04/17/2020       250,269  
  3,000,000    

Toyota Motor Credit Corporation (3 Month LIBOR USD + 0.48%)

    2.58%        09/08/2022       3,014,074  
  2,000,000    

Volkswagen Group of America Finance LLC (3 Month LIBOR USD + 0.86%)

    2.97% ^       09/24/2021       2,003,844  
  2,500,000    

Volkswagen Group of America Finance LLC (3 Month LIBOR USD + 0.94%)

    3.12% ^       11/12/2021       2,514,686  
  1,000,000    

Wells Fargo & Company (3 Month LIBOR USD + 0.93%)

    3.11%        02/11/2022       1,006,332  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   89


Schedule of Investments  DoubleLine Ultra Short Bond Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  2,500,000    

Wells Fargo Bank NA (3 Month LIBOR USD + 0.62%)

    2.75%        05/27/2022       2,506,807  
        

 

 

 
  Total US Corporate Bonds
(Cost $100,351,850)

 

    100,500,311  
        

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS 5.2%  
  4,000,000    

Federal Home Loan Banks (Secured Overnight Financing Rate USD + 2.00%)

    1.87%        05/14/2020       3,998,319  
  4,000,000    

Federal Home Loan Banks (Secured Overnight Financing Rate USD + 5.00%)

    1.90%        01/28/2021       3,999,446  
  2,500,000    

Federal National Mortgage Association (Secured Overnight Financing Rate USD + 1.00%)

    1.86%        05/22/2020       2,499,744  
  2,250,000    

Federal National Mortgage Association (Secured Overnight Financing Rate USD + 7.50%)

    1.93%        10/30/2020       2,249,988  
  5,000,000    

Federal National Mortgage Association (Secured Overnight Financing Rate USD + 4.00%)

    1.89%        01/29/2021       5,001,768  
        

 

 

 
  Total US Government and Agency Obligations
(Cost $17,751,176)

 

    17,749,265  
        

 

 

 
  SHORT TERM INVESTMENTS 47.9%  
  COMMERCIAL PAPER 46.0%  
  6,500,000    

Airbus SE

    0.00% ^       10/08/2019       6,496,877  
  3,500,000    

American Honda Finance Corporation

    0.00%        10/23/2019       3,495,351  
  6,500,000    

ATMOS Energy Corporation

    0.00% ^       10/02/2019       6,499,174  
  5,700,000    

BASF SE

    0.00% ^       10/25/2019       5,691,786  
  1,000,000    

BASF SE

    0.00% ^       10/31/2019       998,220  
  3,500,000    

Boeing Company

    0.00% ^       10/30/2019       3,493,977  
  1,000,000    

Boeing Company

    0.00% ^       11/13/2019       997,436  
  2,000,000    

Boeing Company

    0.00% ^       12/04/2019       1,992,272  
  1,000,000    

BPCE S.A.

    0.00% ^       10/04/2019       999,782  
  1,500,000    

BPCE S.A.

    0.00% ^       10/01/2019       1,499,918  
  3,500,000    

Canadian National Railway Company

    0.00% ^       11/08/2019       3,492,045  
  3,000,000    

Canadian National Railway Company

    0.00% ^       12/09/2019       2,987,779  
  6,500,000    

Chevron Corporation

    0.00% ^       10/25/2019       6,490,828  
  3,500,000    

Credit Agricole CIB

    0.00%        12/24/2019       3,483,224  
  3,320,000    

Daimler Finance North America LLC

    0.00% ^       12/20/2019       3,302,931  
  6,500,000    

Exxon Mobil Corporation

    0.00%        10/02/2019       6,499,184  
  1,500,000    

General Dynamics Corporation

    0.00% ^       10/03/2019       1,499,714  
  1,000,000    

GlaxoSmithKline PLC

    0.00% ^       10/07/2019       999,567  

PRINCIPAL
AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  6,500,000    

Hershey Company

    0.00% ^       10/28/2019       6,489,540  
  4,000,000    

IBM Corporation

    0.00% ^       10/21/2019       3,995,140  
  2,000,000    

JP Morgan Securities LLC

    0.00%        03/02/2020       1,983,137  
  1,000,000    

JPMorgan Securities LLC

    0.00%        01/03/2020       994,683  
  2,000,000    

Komatsu Finance America, Inc.

    0.00% ^       10/02/2019       1,999,749  
  3,500,000    

Komatsu Finance America, Inc.

    0.00% ^       10/04/2019       3,499,132  
  1,000,000    

Komatsu Finance America, Inc.

    0.00% ^       10/11/2019       999,345  
  5,930,000    

Lilly Eli & Company

    0.00% ^       10/31/2019       5,919,757  
  900,000    

Macquarie Bank Ltd.

    0.00% ^       10/25/2019       898,653  
  5,000,000    

Macquarie Bank Ltd.

    0.00% ^       12/12/2019       4,978,739  
  1,000,000    

Metlife Short Term Funding LLC

    0.00% ^       10/04/2019       999,776  
  2,350,000    

Metlife Short Term Funding LLC

    0.00% ^       10/18/2019       2,347,588  
  3,359,000    

Mitsubishi Trust Corporation

    0.00% ^       10/01/2019       3,358,804  
  5,000,000    

National Bank of Canada

    0.00% ^       10/21/2019       4,993,837  
  1,000,000    

National Bank of Canada

    0.00% ^       10/29/2019       998,311  
  4,000,000    

New York Life Capital Corporation

    0.00% ^       11/12/2019       3,990,067  
  5,500,000    

PACCAR Financial Corporation

    0.00%        10/30/2019       5,490,398  
  1,000,000    

PACCAR Financial Corporation

    0.00%        12/23/2019       995,144  
  6,500,000    

PFIZER, Inc.

    0.00% ^       03/23/2020       6,438,069  
  3,800,000    

Province of British Columbia

    0.00%        10/17/2019       3,796,284  
  4,500,000    

Schlumberger Investment S.A.

    0.00% ^       11/12/2019       4,489,126  
  2,050,000    

Schlumberger Investment S.A.

    0.00% ^       12/09/2019       2,041,809  
  1,500,000    

Sumitomo Mitsui Financial Group, Inc.

    0.00% ^       10/08/2019       1,499,350  
  1,500,000    

Sumitomo Mitsui Financial Group, Inc.

    0.00% ^       12/04/2019       1,494,388  
  1,000,000    

Toronto-Dominion Bank

    0.00% ^       10/18/2019       999,004  
  2,000,000    

Toyota Motor Credit Corporation

    0.00%        01/02/2020       1,989,597  
  1,000,000    

Toyota Motor Credit Corporation

    0.00%        01/10/2020       994,370  
  1,500,000    

Unilever Capital Corporation

    0.00% ^       10/01/2019       1,499,907  
  2,500,000    

Unilever Capital Corporation

    0.00% ^       10/28/2019       2,496,047  
  2,500,000    

Unilever Capital Corporation

    0.00% ^       11/25/2019       2,492,137  
  2,500,000    

United Parcel Service

    0.00% ^       03/02/2020       2,480,419  
  7,050,000    

Walt Disney Company

    0.00% ^       10/02/2019       7,049,123  
        

 

 

 
           155,611,495  
        

 

 

 
  US TREASURY BILLS 0.6%  
  2,000,000    

United States Treasury Bills

    0.00%        10/24/2019       1,997,722  
        

 

 

 
           1,997,722  
        

 

 

 
  MONEY MARKET FUNDS 1.3%  
  1,523,803    

First American Government Obligations Fund - Class U

    1.88% ¨         1,523,803  
 

 

90   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
    
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  1,523,804    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         1,523,804  
  1,523,804    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         1,523,804  
        

 

 

 
           4,571,411  
        

 

 

 
  Total Short Term Investments
(Cost $162,178,572)

 

    162,180,628  
        

 

 

 
  Total Investments 101.0%
(Cost $341,828,603)

 

    342,041,871  
  Liabilities in Excess of Other Assets (1.0)%

 

    (3,349,214
        

 

 

 
  NET ASSETS 100.0%

 

     $ 338,692,657  
        

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Commercial Paper

         46.0%  

US Corporate Bonds

         29.7%  

Foreign Corporate Bonds

         18.2%  

US Government and Agency Obligations

         5.2%  

Money Market Funds

         1.3%  

US Treasury Bills

         0.6%  

Other Assets and Liabilities

         (1.0)%  
      

 

 

 
         100.0%  
      

 

 

 
INVESTMENT BREAKDOWN as a % of Net Assets:       

Banking

         34.2%  

Automotive

         11.8%  

Energy

         9.0%  

US Government and Agency Obligations

         6.4%  

Insurance

         6.2%  

Pharmaceuticals

         5.7%  

Aerospace & Defense

         4.6%  

Diversified Manufacturing

         3.1%  

Media

         2.8%  

Technology

         2.7%  

Consumer Products

         2.7%  

Transportation

         2.6%  

Food Products

         2.5%  

Chemicals/Plastics

         2.3%  

Short Term Investments

         1.9%  

Construction

         1.6%  

Finance

         0.9%  

Other Assets and Liabilities

         (1.0)%  
      

 

 

 
         100.0%  
      

 

 

 
 
^

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.

 

¨

Seven-day yield as of September 30, 2019

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   91


Schedule of Investments  DoubleLine Shiller Enhanced International CAPE®  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  ASSET BACKED OBLIGATIONS 7.0%  
 

DRB Prime Student Loan Trust,

 

  6,153    

Series 2015-B-A3

    2.54% ^       04/27/2026       6,155  
 

Global SC Finance SRL,

 

  224,750    

Series 2014-1A-A1

    3.19% ^       07/17/2029       224,853  
 

Navient Private Education Loan Trust,

 

  500,000    

Series 2018-A-B

    3.68% ^       02/18/2042       523,560  
  250,000    

SBA Tower Trust

    3.17% ^       04/11/2022       252,645  
 

SoFi Consumer Loan Program Trust,

 

  56,559    

Series 2017-2-A

    3.28% ^       02/25/2026       57,009  
  277,227    

Series 2017-3-A

    2.77% ^       05/25/2026       278,140  
  35,080    

Series 2018-1-A1

    2.55% ^       02/25/2027       35,086  
 

Springleaf Funding Trust,

 

    1,000,000    

Series 2017-AA-A

    2.68% ^       07/15/2030       1,002,683  
 

TAL Advantage LLC,

 

  226,910    

Series 2017-1A-A

    4.50% ^       04/20/2042       234,044  
 

Westlake Automobile Receivables Trust,

 

  236,192    

Series 2017-1A-C

    2.70% ^       10/17/2022       236,337  
  1,500,000    

Series 2017-2A-C

    2.59% ^       12/15/2022       1,501,181  
        

 

 

 
  Total Asset Backed Obligations
(Cost $4,309,197)

 

    4,351,693  
        

 

 

 
  COLLATERALIZED LOAN OBLIGATIONS 14.9%  
 

Anchorage Capital Ltd.,

 

  500,000    

Series 2015-6A-AR (3 Month LIBOR USD + 1.27%)

    3.57% ^       07/15/2030       500,912  
 

Benefit Street Partners Ltd.,

 

  250,000    

Series 2013-IIIA-A1R (3 Month LIBOR USD + 1.25%)

    3.53% ^       07/20/2029       250,335  
 

Cathedral Lake Ltd.,

 

  2,000,000    

Series 2016-4A-A (3 Month LIBOR USD + 1.65%)

    3.93% ^       10/20/2028       2,001,101  
 

CFIP Ltd.,

 

  500,000    

Series 2014-1A-AR (3 Month LIBOR USD + 1.32%)

    3.62% ^       07/13/2029       500,813  
 

CVP Ltd.,

 

  500,000    

Series 2017-1A-A (3 Month LIBOR USD + 1.34%)

    3.62% ^       07/20/2030       500,048  
 

Gilbert Park Ltd.,

 

  500,000    

Series 2017-1A-A (3 Month LIBOR USD + 1.19%)

    3.49% ^       10/15/2030       499,968  
 

Highbridge Loan Management,

 

  500,000    

Series 3A-2014-CR (3 Month LIBOR USD + 3.60%)

    5.90% ^       07/18/2029       492,503  
 

Midocean Credit,

 

  500,000    

Series 2017-7A-A1 (3 Month LIBOR USD + 1.32%)

    3.62% ^       07/15/2029       501,003  
 

Milos Ltd.,

 

  1,000,000    

Series 2017-1A-A (3 Month LIBOR USD + 1.25%)

    3.53% ^       10/20/2030       997,173  
 

Newark BSL Ltd.,

 

  1,000,000    

Series 2016-1A-A2 (3 Month LIBOR USD + 2.20%)

    4.46% ^       12/21/2029       1,001,674  
 

Steele Creek Ltd.,

 

  500,000    

Series 2015-1A-AR (3 Month LIBOR USD + 1.26%)

    3.41% ^       05/21/2029       499,388  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Venture Ltd.,

 

  25,964    

Series 2006-7A-A2 (3 Month LIBOR USD + 0.24%)

    2.52% ^       01/20/2022       25,994  
  500,000    

Series 2017-29A-A (3 Month LIBOR USD + 1.28%)

    3.44% ^       09/07/2030       500,252  
 

Wind River Ltd.,

 

  1,000,000    

Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor)

    3.44% ^       01/15/2031       995,500  
        

 

 

 
  Total Collateralized Loan Obligations
(Cost $9,311,093)

 

    9,266,664  
        

 

 

 
  FOREIGN CORPORATE BONDS 7.7%  
  200,000    

Alibaba Group Holding Ltd.

    3.13%        11/28/2021       203,183  
  150,000    

AstraZeneca PLC

    2.38%        11/16/2020       150,652  
  95,000    

Avolon Holdings Funding Ltd.

    3.63% ^       05/01/2022       96,392  
  150,000    

Banco de Reservas de la Republica Dominicana

    7.00%        02/01/2023       157,689  
  200,000    

Banco del Estado de Chile

    2.67%        01/08/2021       200,151  
  100,000    

Banco do Brasil S.A. (10 Year CMT Rate + 7.78%)

     8.50%        10/20/2020       105,465  
  150,000    

Banco Santander Chile

    2.50%        12/15/2020       151,035  
  100,000    

Bancolombia S.A.

    5.95%        06/03/2021       105,500  
  100,000    

Bangkok Bank PCL

    4.80%        10/18/2020       102,485  
  45,000    

Bank of Montreal

    2.90%        03/26/2022       45,892  
  200,000    

BBVA Bancomer S.A.

    7.25%        04/22/2020       204,900  
  100,000    

Braskem Finance Ltd.

    7.00%        05/07/2020       102,510  
  200,000    

CNOOC Finance Ltd.

    2.63%        05/05/2020       200,257  
  100,000    

Coca-Cola Femsa S.A.B. de C.V.

    4.63%        02/15/2020       100,779  
  100,000    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

     8.50%        03/30/2020       102,875  
  200,000    

DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%)

     3.60%        09/07/2021       201,000  
  200,000    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%)

    3.00%        05/23/2024       200,697  
  200,000    

Globo Comunicacao e Participacoes S.A.

    4.88%        04/11/2022       207,627  
  100,000    

Grupo Bimbo S.A.B. de C.V.

    4.88%        06/30/2020       101,920  
  200,000    

Hutchison Whampoa International Ltd.

    4.63%        01/13/2022       209,343  
  200,000    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

    3.91%        10/29/2026       203,558  
  65,000    

Mitsubishi UFJ Financial Group, Inc.

    3.22%        03/07/2022       66,527  
  200,000    

Nacional Financiera S.N.C.

    3.38%        11/05/2020       201,752  
  200,000    

Pertamina Persero PT

    4.88%        05/03/2022       211,405  
  100,000    

Petrobras Global Finance B.V.

    5.38%        01/27/2021       103,600  
  200,000    

Petronas Global Sukuk Ltd.

    2.71%        03/18/2020       199,835  
  250,000    

Reliance Holdings, Inc.

    4.50%        10/19/2020       254,882  
  20,000    

Scotiabank Peru S.A. (3 Month LIBOR USD + 3.86%)

    4.50%        12/13/2027       20,825  
  100,000    

Southern Copper Corporation

    5.38%        04/16/2020       101,385  
 

 

92   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  135,000    

Sumitomo Mitsui Financial Group, Inc.

    2.06%       07/14/2021       134,631  
  200,000    

Tecnoglass, Inc.

    8.20%       01/31/2022       216,500  
  85,000    

Toronto-Dominion Bank

    3.25%       06/11/2021       86,809  
       

 

 

 
  Total Foreign Corporate Bonds
(Cost $4,709,078)

 

    4,752,061  
       

 

 

 
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 1.0%
 
 
  100,000    

Chile Government International Bond

    3.88%       08/05/2020       101,575  
  200,000    

Colombia Government International Bond

    4.38%       07/12/2021       207,352  
  133,333    

Dominican Republic International Bond

    7.50%       05/06/2021       139,500  
  200,000    

Perusahaan Penerbit

    3.40%       03/29/2022       204,430  
       

 

 

 
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $650,982)

 

    652,857  
       

 

 

 
 
NON-AGENCY COMMERCIAL MORTGAGE BACKED
OBLIGATIONS 12.4%
 
 
 

AREIT Trust,

 

  207,000    

Series 2018-CRE1-AS (1 Month LIBOR USD + 1.25%, 1.25% Floor)

    3.28% ^      02/14/2035       207,246  
  136,000    

Series 2018-CRE1-B (1 Month LIBOR USD + 1.65%, 1.65% Floor)

    3.68% ^      02/14/2035       136,298  
 

Atrium Hotel Portfolio Trust,

 

  251,000    

Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%)

    5.08% ^      12/15/2036       252,714  
  115,000    

Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)

    5.43% ^      06/15/2035       116,100  
 

Bancorp Commercial Mortgage Trust,

 

  177,000    

Series 2018-CRE4-D (1 Month LIBOR USD + 2.10%, 0.25% Floor)

    4.13% ^      09/15/2035       178,137  
 

BB-UBS Trust,

 

  6,982,000    

Series 2012-SHOW-XA

    0.73% #^ I/O      11/05/2036       208,125  
  3,844,000    

Series 2012-SHOW-XB

    0.28% #^ I/O      11/05/2036       35,743  
 

BX Trust,

 

  321,000    

Series 2017-FL1-C (1 Month LIBOR USD + 1.95%, 1.95% Floor)

    3.97% ^      06/15/2035       321,000  
  850,000    

Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%)

    4.08% ^      07/15/2034       851,053  
 

Caesars Palace Las Vegas Trust,

 

  234,000    

Series 2017-VICI-D

    4.50% #^      10/15/2034       245,259  
  234,000    

Series 2017-VICI-E

    4.50% #^      10/15/2034       242,521  
 

CFCRE Commercial Mortgage Trust,

 

  3,545,000    

Series 2018-TAN-X

    1.85% #^ I/O      02/15/2033       177,155  
 

Citigroup Commercial Mortgage Trust,

 

  2,987,291    

Series 2014-GC19-XA

    1.32% # I/O      03/10/2047       129,369  
  268,000    

Series 2018-TBR-E (1 Month LIBOR USD + 2.80%, 2.90% Floor)

    4.83% ^      12/15/2036       268,914  
  255,000    

Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.75% Floor)

    5.68% ^      12/15/2036       256,715  
 

Credit Suisse Mortgage Capital Certificates,

 

  128,000    

Series 2019-ICE4-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

    4.18% ^      05/15/2036       128,502  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

GS Mortgage Securities Trust,

 

  312,000    

Series 2014-GC26-D

    4.67% #^      11/10/2047       275,284  
  6,123,229    

Series 2016-GS4-XA

    0.70% # I/O      11/10/2049       174,940  
 

Hunt Ltd.,

 

  190,000    

Series 2018-FL2-C (1 Month LIBOR USD + 2.35%, 2.35% Floor)

    4.38% ^      08/15/2028       191,853  
 

JP Morgan Chase Commercial Mortgage Securities Trust,

 

  300,000    

Series 2018-BCON-E

    3.88% #^      01/05/2031       304,252  
  104,000    

Series 2018-WPT-EFX

    5.54% ^      07/05/2033       110,827  
  300,000    

Series 2018-WPT-FFX

    5.54% ^      07/05/2033       311,887  
 

Monarch Beach Resort Trust,

 

  252,000    

Series 2018-MBR-F (1 Month LIBOR USD + 2.55%, 2.55% Floor)

    4.58% ^      07/15/2035       252,861  
 

Morgan Stanley Capital Trust,

 

  88,000    

Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%)

    4.23% ^      11/15/2034       88,110  
  188,000    

Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%)

    5.18% ^      11/15/2034       188,234  
  142,000    

Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%)

    6.38% ^      11/15/2034       142,266  
    15,277,000    

Series 2017-ASHF-XCP

    0.00% #^ I/O      11/15/2019       15  
  240,000    

Series 2017-CLS-F (1 Month LIBOR USD + 2.60%, 2.60% Floor)

    4.63% ^      11/15/2034       241,070  
 

MSCG Trust,

 

  172,000    

Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor)

    5.08% ^      10/15/2037       172,653  
 

SLIDE,

 

  8,489,799    

Series 2018-FUN-XCP

    0.98% #^ I/O      12/15/2020       97,932  
 

Wells Fargo Commercial Mortgage Trust,

 

  323,000    

Series 2012-LC5-C

    4.69% #      10/15/2045       340,277  
  310,000    

Series 2012-LC5-D

    4.92% #^      10/15/2045       322,467  
  8,000,743    

Series 2015-NXS2-XA

    0.87% # I/O      07/15/2058       225,971  
  5,457,895    

Series 2015-P2-XA

    1.13% # I/O      12/15/2048       234,404  
  260,213    

Series 2018-BXI-E (1 Month LIBOR USD + 2.16%)

    4.18% ^      12/15/2036       261,918  
       

 

 

 
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $7,746,035)

 

    7,692,072  
       

 

 

 
 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 12.2%
 
 
 

Alternative Loan Trust,

 

  609,401    

Series 2005-64CB-1A10

    5.75%       12/25/2035       612,760  
 

Bayview Opportunity Master Fund Trust,

 

  548,525    

Series 2019-SBR2-A1

    3.43%       06/28/2034       547,977  
 

CIM Trust,

 

  797,774    

Series 2017-8-A1

    3.00% #^      12/25/2065       797,539  
 

Citigroup Mortgage Loan Trust,

 

  287,880    

Series 2006-AR2-1A2

    4.78% #      03/25/2036       280,518  
 

COLT Mortgage Loan Trust,

 

  429,127    

Series 2018-1-A1

    2.93% #^      02/25/2048       429,958  
 

CSMC Trust,

 

  408,023    

Series 2018-RPL7-A1

    4.00% ^      08/26/2058       413,459  
  657,649    

Series 2018-RPL8-A1

    4.13% #^      07/25/2058       664,966  
 

Deephaven Residential Mortgage Trust,

 

  123,572    

Series 2017-1A-A1

    2.73% #^      12/26/2046       123,516  
  123,572    

Series 2017-1A-A2

    2.93% #^      12/26/2046       123,513  
 

GCAT LLC,

 

  183,421    

Series 2018-1-A1

    3.84%       06/25/2048       184,131  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   93


Schedule of Investments  DoubleLine Shiller Enhanced International CAPE®  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Legacy Mortgage Asset Trust,

 

  443,257    

Series 2019-GS5-A1

    3.20%        05/25/2059       445,917  
  596,049    

Series 2019-GS6-A1

    3.00%        06/25/2059       600,377  
 

Oak Hill Advisors Residential Loan Trust,

 

  146,978    

Series 2017-NPL2-A1

    3.00%        07/25/2057       147,237  
 

PRPM LLC,

 

  441,464    

Series 2019-3A-A1

    3.35%        07/25/2024       443,368  
 

Velocity Commercial Capital Loan Trust,

 

  811,439    

Series 2018-2-A

    4.05% #^       10/26/2048       828,213  
 

Verus Securitization Trust,

 

  259,318    

Series 2017-1A-A2

    3.16% #^       01/25/2047       259,533  
 

VOLT LLC,

 

  516,453    

Series 2017-NPL9-A1

    3.13%        09/25/2047       518,032  
  195,739    

Series 2018-NPL8-A1A

    4.21%        10/26/2048       196,908  
        

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $7,555,591)

 

    7,617,922  
        

 

 

 
  US CORPORATE BONDS 6.6%  
  40,000    

Air Lease Corporation

    2.50%        03/01/2021       40,128  
  90,000    

American Express Company

    3.70%        11/05/2021       92,951  
  95,000    

Analog Devices, Inc.

    2.95%        01/12/2021       95,737  
  70,000    

Anthem, Inc.

    2.50%        11/21/2020       70,258  
  10,000    

Anthem, Inc.

    3.30%        01/15/2023       10,330  
  90,000    

AT&T, Inc.

    2.80%        02/17/2021       90,808  
  90,000    

Bank of America Corporation (3 Month LIBOR USD + 0.79%)

    2.92%        03/05/2024       90,197  
  110,000    

BAT Capital Corporation

    2.76%        08/15/2022       111,082  
  50,000    

BB&T Corporation

    2.20%        03/16/2023       49,974  
  105,000    

Bristol-Myers Squibb Company

    2.60% ^       05/16/2022       106,617  
  45,000    

Capital One Financial Corporation

    2.40%        10/30/2020       45,135  
  145,000    

Cardinal Health, Inc.

    2.62%        06/15/2022       145,788  
  40,000    

Caterpillar Financial Services Corporation

    1.90%        09/06/2022       39,966  
  100,000    

Cigna Corporation

    3.40%        09/17/2021       102,317  
  95,000    

Cintas Corporation

    2.90%        04/01/2022       97,113  
  135,000    

Citigroup, Inc. (3 Month LIBOR USD + 1.02%)

    3.16%        06/01/2024       135,983  
  100,000    

Comcast Corporation

    3.45%        10/01/2021       103,010  
  95,000    

Consolidated Edison, Inc.

    2.00%        03/15/2020       94,961  
  95,000    

CVS Health Corporation

    3.70%        03/09/2023       98,941  
  185,000    

Daimler Finance North America LLC

    2.30% ^       02/12/2021       185,194  
  100,000    

Delta Air Lines, Inc.

    3.40%        04/19/2021       101,432  
  50,000    

DTE Energy Company

    2.53%        10/01/2024       50,213  
  35,000    

DuPont de Nemours, Inc.

    3.77%        11/15/2020       35,653  
  95,000    

eBay, Inc.

    2.75%        01/30/2023       96,216  
  70,000    

General Electric Company

    2.70%        10/09/2022       70,207  
  100,000    

General Motors Financial Company

    3.20%        07/06/2021       101,051  
  90,000    

JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%)

    3.21%        04/01/2023       92,184  
  70,000    

Marsh & McLennan Companies, Inc. (3 Month LIBOR USD + 1.20%)

    3.30%        12/29/2021       70,142  
  100,000    

Microchip Technology, Inc.

    3.92%        06/01/2021       102,175  
  100,000    

Mondelez International, Inc.

    3.00%        05/07/2020       100,524  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  140,000    

Morgan Stanley (3 Month LIBOR USD + 0.93%)

    3.21%        07/22/2022       141,097  
  95,000    

NextEra Energy Capital Holdings. Inc.

    2.90%        04/01/2022       96,807  
  97,000    

Northrop Grumman Corporation

    2.08%        10/15/2020       97,048  
  50,000    

Occidental Petroleum Corporation

    2.70%        08/15/2022       50,458  
  95,000    

Omnicom Capital, Inc.

    3.63%        05/01/2022       98,538  
  75,000    

PayPal Holdings, Inc.

    2.20%        09/26/2022       75,226  
  95,000    

Penske Truck Leasing Company

    2.70% ^       11/01/2024       95,321  
  65,000    

Prudential Financial, Inc.

    3.50%        05/15/2024       69,228  
  90,000    

PSEG Power LLC

    3.85%        06/01/2023       95,232  
  45,000    

Republic Services, Inc.

    2.50%        08/15/2024       45,547  
  20,000    

Reynolds American, Inc.

    4.00%        06/12/2022       20,843  
  65,000    

Schlumberger Holdings Corporation

    3.75% ^       05/01/2024       68,505  
  70,000    

Simon Property Group LP

    2.00%        09/13/2024       69,333  
  65,000    

Thermo Fisher Scientific, Inc.

    3.60%        08/15/2021       66,652  
  95,000    

Union Pacific Corporation

    3.20%        06/08/2021       96,672  
  90,000    

Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%)

    3.26%        05/15/2025       91,464  
  90,000    

Waste Management, Inc.

    2.95%        06/15/2024       93,121  
  85,000    

Welltower, Inc.

    3.63%        03/15/2024       89,308  
        

 

 

 
  Total US Corporate Bonds
(Cost $4,027,678)

 

       4,086,687  
        

 

 

 
 
US GOVERNMENT AND AGENCY MORTGAGE BACKED
OBLIGATIONS 8.3%
 
 
 

Federal Home Loan Mortgage Corporation,

      
  1,679,406    

Series 3312-FJ (1 Month LIBOR USD + 0.22%, 0.22% Floor, 7.00% Cap)

    2.25%        07/15/2036       1,669,939  
  2,131,684    

Series 3747-FA (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)

    2.53%        10/15/2040       2,142,674  
 

Federal National Mortgage Association,

      
  1,353,805    

Series 2013-74-YA

    3.00%        05/25/2042       1,385,268  
        

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $5,127,304)

 

    5,197,881  
        

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS 10.6%  
  1,350,000    

United States Treasury Notes

    2.25%        03/31/2020       1,352,505  
  1,920,000    

United States Treasury Notes

    1.63%        04/30/2023       1,923,188  
    2,870,000    

United States Treasury Notes

     2.25%        12/31/2023       2,950,326  
  340,000    

United States Treasury Notes

    1.75%        06/30/2024       342,968  
        

 

 

 
  Total US Government and Agency Obligations
(Cost $6,484,621)

 

    6,568,987  
        

 

 

 
 

 

94   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $/
SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  AFFILIATED MUTUAL FUNDS 4.3%  
  281,035    

DoubleLine Floating Rate Fund (Class I)

         2,686,692  
        

 

 

 
  Total Affiliated Mutual Funds
(Cost $2,782,244)

 

    2,686,692  
        

 

 

 
  SHORT TERM INVESTMENTS 9.3%  
  374,301    

First American Government Obligations Fund - Class U

    1.88% ¨         374,301  
  374,301    

JP Morgan U.S. Government Money Market Fund -Institutional Share Class

    1.83% ¨         374,301  
  374,301    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         374,301  
  1,490,000    

United States Treasury Bills

    0.00%        01/30/2020       1,481,106  
  800,000    

United States Treasury Bills

    0.00%        02/06/2020       794,918  
  570,000    

United States Treasury Bills

    0.00%        10/10/2019       569,747  
  1,140,000    

United States Treasury Bills

    0.00%        11/07/2019       1,137,993  
  680,000    

United States Treasury Bills

    0.00%        12/05/2019       677,819  
        

 

 

 
  Total Short Term Investments
(Cost $5,782,608)

 

    5,784,486  
        

 

 

 
  Total Investments 94.3%
(Cost $58,486,431)

 

    58,658,002  
  Other Assets in Excess of Liabilities 5.7%

 

    3,545,596  
        

 

 

 
  NET ASSETS 100.0%

 

  $ 62,203,598  
        

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Collateralized Loan Obligations

         14.9%  

Non-Agency Commercial Mortgage Backed Obligations

         12.4%  

Non-Agency Residential Collateralized Mortgage Obligations

         12.2%  

US Government and Agency Obligations

         10.6%  

Short Term Investments

         9.3%  

US Government and Agency Mortgage Backed Obligations

         8.3%  

Foreign Corporate Bonds

         7.7%  

Asset Backed Obligations

         7.0%  

US Corporate Bonds

         6.6%  

Affiliated Mutual Funds

         4.3%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         1.0%  

Other Assets and Liabilities

         5.7%  
      

 

 

 
         100.0%  
      

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Collateralized Loan Obligations

         14.9%  

Non-Agency Commercial Mortgage Backed Obligations

         12.4%  

Non-Agency Residential Collateralized Mortgage Obligations

         12.2%  

US Government and Agency Obligations

         10.6%  

Short Term Investments

         9.3%  

US Government and Agency Mortgage Backed Obligations

         8.3%  

Asset Backed Obligations

         7.0%  

Banking

         4.6%  

Affiliated Mutual Funds

         4.3%  

Energy

         1.8%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         1.0%  

Healthcare

         0.8%  

Media

         0.7%  

Technology

         0.7%  

Utilities

         0.5%  

Automotive

         0.5%  

Pharmaceuticals

         0.4%  

Telecommunications

         0.4%  

Aerospace & Defense

         0.3%  

Building and Development (including Steel/Metals)

         0.3%  

Conglomerates

         0.3%  

Transportation

         0.3%  

Finance

         0.2%  

Real Estate

         0.2%  

Insurance

         0.2%  

Environmental Control

         0.2%  

Beverage and Tobacco

         0.2%  

Chemical Products

         0.2%  

Consumer Products

         0.2%  

Mining

         0.2%  

Containers and Glass Products

         0.2%  

Food Products

         0.2%  

Industrial Equipment

         0.2%  

Commercial Services

         0.2%  

Diversified Manufacturing

         0.1%  

Construction

         0.1%  

Chemicals/Plastics

         0.1%  

Other Assets and Liabilities

         5.7%  
      

 

 

 
         100.0%  
      

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   95


Schedule of Investments  DoubleLine Shiller Enhanced International CAPE®  (Cont.)  

(Unaudited)

September 30, 2019

 

 

^

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.

 

#

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

Perpetual Maturity

 

I/O

Interest only security

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019

 

All or a portion of this security has been pledged as collateral.

 

Excess Return Swaps                    
Reference Entity    Counterparty    Long/Short   

Financing

Rate

  

Payment

Frequency

  

Termination

Date

  

Notional

Amount

   Unrealized
Appreciation
(Depreciation) /
Value

Shiller Barclays CAPE® Europe Sector Net ER NoC Index LOGO

   Barclays Capital, Inc.        Long        0.20 %        Termination        06/30/2020        20,000,000  EUR      $ 1,749,589

Shiller Barclays CAPE® Europe Sector Net ER NoC Index LOGO

   BNP Paribas        Long        0.20 %        Termination        12/20/2019        9,800,000  EUR        1,496,716

Shiller Barclays CAPE® Europe Sector Net ER NoC Index LOGO

   BNP Paribas        Long        0.20 %        Termination        02/28/2020        4,500,000  EUR        697,509

Shiller Barclays CAPE® Europe Sector Net ER NoC Index LOGO

   Barclays Capital, Inc.        Long        0.20 %        Termination        07/31/2020        5,000,000  EUR        233,119

Shiller Barclays CAPE® Europe Sector Net ER NoC Index LOGO

   BNP Paribas        Long        0.20 %        Termination        09/30/2020        10,500,000  EUR        225,891

Shiller Barclays CAPE® Europe Sector Net ER NoC Index LOGO

   Barclays Capital, Inc.        Long        0.20 %        Termination        08/28/2020        1,700,000  EUR        44,796

Shiller Barclays CAPE® Europe Sector Net ER NoC Index LOGO

   Barclays Capital, Inc.        Long        0.20 %        Termination        10/30/2020        1,500,000  EUR        —  
                                

 

 

 
                                 $ 4,447,620
                                

 

 

 

 

LOGO

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 of equity securities of companies in the relevant sector. Information on the sector constituents as of September 30, 2019, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIIESAE.

 

FORWARD CURRENCY EXCHANGE CONTRACTS
Settlement Date   Counterparty   Currency to be Delivered    Value    Currency to be Received    Value   Unrealized
Appreciation
(Depreciation)
12/20/2019   JP Morgan Securities LLC       1,300,000   EUR      $ 1,426,124        1,455,097   USD    $  1,455,097     $ 28,973
12/20/2019   JP Morgan Securities LLC       7,762,696   USD        7,762,696        6,900,000   EUR    7,569,421       (193,275 )
12/20/2019   Goldman Sachs       53,391,142   USD        53,391,142        47,400,000   EUR    51,998,629       (1,392,513 )
            

 

 

           

 

   

 

 

 
             $ 62,579,962           $61,023,147     $ (1,556,815 )
            

 

 

           

 

   

 

 

 

 

EUR

Euro

 

USD

US Dollar

A summary of the DoubleLine Shiller Enhanced International CAPE®’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund   Value at
March 31,
2019
  Gross
Purchases
  Gross
Sales
  Shares Held at
September 30,
2019
  Value at
September 30,
2019
  Change in
Unrealized for the
Period Ended
September  30,
2019
  Dividend Income
Earned in the
Period Ended
September  30,
2019
  Net Realized
Gain (Loss) in
the Period Ended
September  30,
2019

DoubleLine Floating Rate Fund (Class I)

    $ 5,908,672     $ —       $ (3,200,000 )       281,035     $ 2,686,692     $ 57,523     $ 116,357     $ (79,503 )
   

 

 

 

 

96   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Schedule of Investments  DoubleLine Colony Real Estate and Income Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  ASSET BACKED OBLIGATIONS 6.2%  
 

AASET Ltd.,

 

  772,407    

Series 2018-1A-A

    3.84% ^       01/16/2038       778,554  
 

Castlelake Aircraft Securitization Trust,

 

    962,705    

Series 2019-1A-A

    3.97% ^       04/15/2039       986,542  
 

Consumer Loan Underlying Bond Credit Trust,

 

  510,584    

Series 2018-P1-A

    3.39% ^       07/15/2025       512,898  
  500,000    

Series 2019-P2-A

    2.47% ^       10/15/2026       499,540  
 

CPS Auto Receivables Trust,

 

  732,874    

Series 2019-B-A

    2.89% ^       05/16/2022       735,020  
 

Foundation Finance Trust,

 

  418,330    

Series 2019-1A-A

    3.86% ^       11/15/2034       425,017  
 

Kabbage Funding LLC,

 

  500,000    

Series 2019-1-A

    3.83% ^       03/15/2024       505,657  
 

SoFi Consumer Loan Program Trust,

 

  678,158    

Series 2019-1-A

    3.24% ^       02/25/2028       684,690  
  396,744    

Series 2019-2-A

    3.01% ^       04/25/2028       400,160  
 

Stack Infrastructure Issuer LLC,

 

  745,625    

Series 2019-1A-A2

    4.54% ^       02/25/2044       782,398  
 

START Ireland,

 

  482,143    

Series 2019-1-A

    4.09% ^       03/15/2044       492,680  
 

Textainer Marine Containers Ltd.,

 

  725,000    

Series 2019-1A-A

    3.96% ^       04/20/2044       737,839  
 

Upgrade Receivables Trust,

 

  572,045    

Series 2019-1A-A

    3.48% ^       03/15/2025       574,840  
 

Upstart Securitization Trust,

 

  720,252    

Series 2019-2-A

    2.90% ^       09/20/2029       721,962  
        

 

 

 
  Total Asset Backed Obligations
(Cost $8,719,136)

 

    8,837,797  
        

 

 

 
  BANK LOANS 3.7%  
 

Acrisure LLC,

 

  64,835    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

    6.35%        11/22/2023       64,652  
 

Aldevron LLC,

 

  70,000    

Senior Secured First Lien Term Loan

    6.34% ±       09/20/2026       70,350  
 

Allied Universal Holdco LLC,

 

  4,505    

Senior Secured First Lien Term Loan

    6.57% ±       07/12/2026       4,516  
  45,496    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%)

    6.51%        07/10/2026       45,616  
 

American Airlines, Inc.,

 

  110,340    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.03%        12/15/2023       110,419  
 

Ascend Learning LLC,

 

  55,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        07/12/2024       54,871  
 

AssuredPartners, Inc.,

 

  85,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.54%        10/22/2024       84,774  
 

Axalta Coating Systems Dutch Holding B.B.V.,

 

  161,838    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%)

    3.85%        05/31/2024       162,116  
 

Berry Global, Inc.,

 

    160,710    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.55%        07/01/2026       161,672  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Blackhawk Network Holdings, Inc.,

 

  63,930    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        06/16/2025       63,823  
 

Calpine Corporation,

 

  160,924    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

    4.86%        04/06/2026       161,538  
 

Change Healthcare Holdings, Inc.,

 

  63,299    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

    4.54%        03/01/2024       63,089  
 

Clear Channel Outdoor Holdings, Inc.,

 

  30,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

    5.54%        08/21/2026       30,126  
 

Concentra, Inc.,

 

  116,245    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

    4.54%        06/01/2022       117,117  
 

CSC Holdings LLC,

 

  103,944    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

    5.18%        04/15/2027       104,182  
 

Dell International LLC,

 

  103,788    

Senior Secured First Lien Term Loan

    4.05% ±       09/19/2025       104,400  
 

DigiCert Holdings, Inc.,

 

  40,000    

Senior Secured First Lien Term Loan

    6.26% ±       08/08/2026       39,925  
 

E.W. Scripps Company,

 

  162,855    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        05/01/2026       163,222  
 

Equinox Holdings, Inc.,

 

  160,130    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

    5.04%        03/08/2024       160,430  
 

ESH Hospitality, Inc.,

 

  79,049    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        09/18/2026       79,512  
 

Filtration Group Corporation,

 

  108,748    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        03/31/2025       109,175  
 

Garda World Security Corporation,

 

  59,847    

Senior Secured First Lien Term Loan (Prime Rate + 2.50%, 1.00% Floor)

    7.50%        05/24/2024       59,978  
 

Gentiva Health Services, Inc.,

 

  106,040    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

    5.81%        07/02/2025       106,769  
 

Gray Television, Inc.,

 

  114,650    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.51%        01/02/2026       115,215  
 

HD Supply, Inc.,

 

  208,945    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        10/17/2023       209,947  
 

IAA, Inc.,

 

  157,600    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.31%        06/29/2026       158,585  
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   97


Schedule of Investments  DoubleLine Colony Real Estate and Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Informatica LLC,

 

  40,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.29%        08/05/2022       40,208  
 

IQVIA, Inc.,

 

  160,334    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%)

    4.10%        01/17/2025       161,336  
 

IRB Holding Corporation,

 

  80,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.55%        02/05/2025       79,756  
 

Iron Mountain Information Management LLC,

 

  109,722    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

    3.79%        01/02/2026       108,944  
 

Jaguar Holding Company,

 

  110,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

    4.54%        08/18/2022       110,212  
 

JBS USA Lux S.A.,

      
  107,544    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        05/01/2026       108,172  
 

Kestrel Bidco, Inc.,

 

  50,000    

Senior Secured First Lien Term Loan

    5.27% ±       10/08/2026       50,434  
 

Level 3 Financing, Inc.,

 

  163,438    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        02/22/2024       163,949  
 

Lions Gate Capital Holdings LLC,

 

  84,789    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        03/24/2025       84,736  
 

Nexstar Broadcasting, Inc.,

 

  136,481    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.81%        09/18/2026       137,259  
 

RPI Finance Trust,

 

  158,943    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        03/27/2023       159,961  
 

Sedgwick Claims Management Services, Inc.,

 

  59,963    

Senior Secured First Lien Term Loan

    6.04% ±       09/03/2026       60,135  
 

Select Medical Corporation,

 

  106,640    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

    4.58%        03/06/2025       106,973  
 

SolarWinds Holdings, Inc.,

 

  104,734    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

    4.79%        02/05/2024       104,979  
 

Sophia LP,

 

  104,707    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

    5.35%        09/30/2022       104,860  
 

Sprint Communications, Inc.,

 

  32,602    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

    4.54%        02/02/2024       32,419  
 

SS&C Technologies, Inc.,

 

  136,090    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

    4.29%        04/16/2025       136,806  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Syneos Health, Inc.,

 

  171,207    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        08/01/2024       172,099  
 

Tempo Acquisition LLC,

 

  74,809    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

    5.04%        05/01/2024       75,168  
 

Trans Union LLC,

 

  105,227    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.04%        04/10/2023       105,717  
 

Transdigm, Inc.,

 

  106,684    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

    4.54%        06/09/2023       106,565  
 

UFC Holdings LLC,

 

  39,897    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

    5.30%        04/29/2026       40,050  
 

US Foods, Inc.,

 

  40,000    

Senior Secured First Lien Term Loan

    4.14% ±       09/13/2026       40,192  
 

VICI Properties 1 LLC,

 

  109,744    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

    4.05%        12/20/2024       110,167  
 

Vistra Operations Company LLC,

 

 

Senior Secured First Lien Term Loan

      
  42,745    

(1 Month LIBOR USD + 2.00%)

    4.02%        12/31/2025       42,920  
  64,117    

(1 Month LIBOR USD + 2.00%)

    4.04%        12/31/2025       64,380  
 

Zelis Cost Management Buyer, Inc.,

 

  75,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

    6.79%        09/25/2026       74,531  
        

 

 

 
  Total Bank Loans
(Cost $5,165,657)
         5,188,947  
        

 

 

 
  COLLATERALIZED LOAN OBLIGATIONS 11.8%  
 

CarVal Ltd.,

 

  500,000    

Series 2019-2A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

    3.62% ^       07/20/2032       499,960  
 

CBAM Ltd.,

 

  500,000    

Series 2019-10A-A1A (3 Month LIBOR USD + 1.42%, 1.42% Floor)

    3.99% ^       04/20/2032       502,548  
  500,000    

Series 2019-10A-B (3 Month LIBOR USD + 2.05%, 2.05% Floor)

    4.62% ^       04/20/2032       500,688  
 

Cedar Funding Ltd.,

 

  450,000    

Series 2017-8A-A1 (3 Month LIBOR USD + 1.25%)

    3.55% ^       10/17/2030       450,483  
 

CFIP Ltd.,

 

  1,000,000    

Series 2013-1A-AR (3 Month LIBOR USD + 1.34%)

    3.62% ^       04/20/2029       1,002,220  
 

Elmwood Ltd.,

 

  1,000,000    

Series 2019-2A-A (3 Month LIBOR USD + 1.45%, 1.45% Floor)

    4.00% ^       04/20/2031       1,000,064  
  500,000    

Series 2019-2A-B (3 Month LIBOR USD + 2.10%, 2.10% Floor)

    4.65% ^       04/20/2031       499,958  
 

Halcyon Loan Advisors Funding Ltd.,

 

  1,000,000    

Series 2017-1A-A1B (3 Month LIBOR USD + 1.28%)

    3.56% ^       06/25/2029       995,317  
 

 

98   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

KVK Ltd.,

 

  1,000,000    

Series 2013-1A-AR (3 Month LIBOR USD + 0.90%)

    3.20% ^       01/14/2028       996,039  
 

LCM LP,

 

  500,000    

Series 19A-AR (3 Month LIBOR USD + 1.24%, 1.24% Floor)

    3.54% ^       07/15/2027       501,991  
 

Midocean Credit Partners,

 

  1,000,000    

Series 2018-8A-A1 (3 Month LIBOR USD + 1.15%)

    3.29% ^       02/20/2031       996,026  
 

MP Ltd.,

 

  1,000,000    

Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%)

    3.56% ^       07/25/2029       998,991  
 

OFSI Fund Ltd.,

 

  555,232    

Series 2014-7A-AR (3 Month LIBOR USD + 0.90%)

    3.20% ^       10/18/2026       555,015  
  1,000,000    

Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor)

    3.45% ^       07/15/2031       993,989  
 

Park Avenue Institutional Advisers Ltd.,

 

  1,000,000    

Series 2018-1A-A1A (3 Month LIBOR USD + 1.28%, 1.28% Floor)

    3.56% ^       10/20/2031       998,750  
 

Shackleton Ltd.,

 

  775,000    

Series 2015-7RA-A1 (3 Month LIBOR USD + 1.17%)

    3.47% ^       07/15/2031       769,072  
 

Steele Creek Ltd.,

 

  900,000    

Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor)

    4.76% ^       04/15/2032       902,678  
 

VERDE Ltd.,

 

  1,000,000    

Series 2019-1A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

    3.91% ^       04/15/2032       1,000,455  
 

Wind River Ltd.,

 

  1,000,000    

Series 2013-2A-AR (3 Month LIBOR USD + 1.23%)

    3.53% ^       10/18/2030       996,589  
  1,000,000    

Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor)

    3.44% ^       01/15/2031       995,500  
  500,000    

Series 2019-3A-B (3 Month LIBOR USD + 2.10%)

    4.60% ^       04/15/2031       500,560  
        

 

 

 
  Total Collateralized Loan Obligations
(Cost $16,603,902)

 

    16,656,893  
        

 

 

 
  FOREIGN CORPORATE BONDS 6.7%  
  200,000    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

    7.13% ^       03/26/2079       210,250  
  200,000    

Alibaba Group Holding Ltd.

    3.13%        11/28/2021       203,184  
  280,000    

AstraZeneca PLC

    2.38%        11/16/2020       281,217  
  180,000    

Avolon Holdings Funding Ltd.

    3.63% ^       05/01/2022       182,637  
  200,000    

Axiata SPV2 BHD

    3.47%        11/19/2020       202,180  
  200,000    

Banco Bradesco S.A.

    5.90%        01/16/2021       207,502  
  150,000    

Banco de Reservas de la Republica Dominicana

    7.00%        02/01/2023       157,689  
  200,000    

Banco del Estado de Chile

    2.67%        01/08/2021       200,151  
  100,000    

Banco do Brasil S.A. (10 Year CMT Rate + 7.78%)

     8.50%        10/20/2020       105,465  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  100,000    

Banco International del Peru S.A.A.

    5.75%        10/07/2020       103,251  
  150,000    

Banco Santander Chile

    2.50%        12/15/2020       151,035  
  200,000    

Bancolombia S.A.

    5.95%        06/03/2021       211,000  
  150,000    

Bangkok Bank PCL

    4.80%        10/18/2020       153,728  
  95,000    

Bank of Montreal

    2.90%        03/26/2022       96,883  
  200,000    

BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%)

    5.35%        11/12/2029       199,502  
  200,000    

Bharat Petroleum Ltd.

    4.38%        01/24/2022       207,236  
  100,000    

Brasil Bolsa Balcao S.A

    5.50%        07/16/2020       102,501  
  200,000    

Braskem Finance Ltd.

    5.75%        04/15/2021       208,002  
  200,000    

CNOOC Finance Ltd.

    2.63%        05/05/2020       200,257  
  100,000    

Coca-Cola Femsa S.A.B. de C.V.

    4.63%        02/15/2020       100,779  
  200,000    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

     8.50%        03/30/2020       205,750  
  200,000    

Comcel Trust

    6.88%        02/06/2024       206,500  
  200,000    

DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.49%)

    2.59%        06/08/2020       200,199  
  122,561    

ENA Norte Trust

    4.95%        04/25/2023       126,852  
  200,000    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%)

    3.00%        05/23/2024       200,697  
  200,000    

Globo Comunicacao e Participacoes S.A.

    4.88%        04/11/2022       207,627  
  200,000    

Grupo Bimbo S.A.B. de C.V.

    4.88%        06/30/2020       203,839  
  200,000    

GrupoSura Finance S.A.

    5.70%        05/18/2021       209,750  
  150,000    

Inversiones CMPC S.A.

    4.50%        04/25/2022       156,189  
  200,000    

Itau Unibanco Holdings S.A.

    6.20%        04/15/2020       204,050  
  200,000    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

    3.91%        10/29/2026       203,558  
  200,000    

MARB BondCo PLC

    7.00%        03/15/2024       209,002  
  145,000    

Mitsubishi UFJ Financial Group, Inc.

    3.22%        03/07/2022       148,406  
  200,000    

Nacional Financiera S.N.C.

    3.38%        11/05/2020       201,752  
  200,000    

Oleoducto Central S.A.

    4.00%        05/07/2021       204,502  
  170,833    

Panama Metro Line SP

    0.00%        12/05/2022       164,042  
  200,000    

Pertamina Persero PT

    4.88%        05/03/2022       211,405  
  200,000    

Perusahaan Listrik Negara PT

    5.50%        11/22/2021       212,500  
  100,000    

Petrobras Global Finance B.V.

    5.38%        01/27/2021       103,600  
  200,000    

Petronas Global Sukuk Ltd.

    2.71%        03/18/2020       199,835  
  200,000    

PTTEP Canada International Finance Ltd.

    5.69%        04/05/2021       209,412  
  250,000    

Reliance Holdings, Inc.

    4.50%        10/19/2020       254,882  
  40,000    

Scotiabank Peru S.A. (3 Month LIBOR USD + 3.86%)

    4.50%        12/13/2027       41,650  
  200,000    

Sinochem Overseas Capital Ltd.

    4.50%        11/12/2020       204,351  
  200,000    

Sinopec Group Overseas Development Ltd.

    2.50%        04/28/2020       200,146  
  200,000    

Southern Copper Corporation

    5.38%        04/16/2020       202,770  
  285,000    

Sumitomo Mitsui Financial Group, Inc.

    2.06%        07/14/2021       284,222  
  200,000    

Tecnoglass, Inc.

    8.20%        01/31/2022       216,500  
  200,000    

Toronto-Dominion Bank

    3.25%        06/11/2021       204,257  
  200,000    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%)

    2.88%        03/08/2027       200,034  
  200,000    

UPL Corporation

    3.25%        10/13/2021       200,955  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $9,386,274)

 

    9,483,683  
        

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   99


Schedule of Investments  DoubleLine Colony Real Estate and Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 0.8%
 
 
  100,000    

Brazilian Government International Bond

    4.88%        01/22/2021       103,626  
  200,000    

Chile Government International Bond

    3.88%        08/05/2020       203,150  
  200,000    

Colombia Government International Bond

    4.38%        07/12/2021       207,352  
  200,000    

Dominican Republic International Bond

    7.50%        05/06/2021       209,250  
  200,000    

Indonesia Government International Bond

    3.75%        04/25/2022       206,500  
  250,000    

Wakala Global Sukuk BHD

    4.65%        07/06/2021       260,514  
        

 

 

 
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $1,187,139)

 

    1,190,392  
        

 

 

 
 
NON-AGENCY COMMERCIAL MORTGAGE BACKED
OBLIGATIONS 12.1%
 
 
 

Atrium Hotel Portfolio Trust,

 

  1,000,000    

Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)

    5.43% ^       06/15/2035       1,009,569  
 

BBCMS Mortgage Trust,

 

  264,000    

Series 2015-MSQ-D

    4.12% #^       09/15/2032       269,364  
  1,000,000    

Series 2018-CBM-D (1 Month LIBOR USD + 2.39%, 2.39% Floor)

    4.42% ^       07/15/2037       1,002,544  
 

BHP Trust,

 

  261,000    

Series 2019-BXHP-D (1 Month LIBOR USD + 1.77%, 1.77% Floor)

    3.80% ^       08/15/2036       260,704  
 

BX Commercial Mortgage Trust,

 

  680,540    

Series 2018-EXCL-C (1 Month LIBOR USD + 1.98%)

    4.00% ^       09/15/2037       682,628  
  250,000    

Series 2019-IMC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

    3.93% ^       04/15/2034       250,938  
 

BX Trust,

 

  162,000    

Series 2019-MMP-E (1 Month LIBOR USD + 1.90%, 1.90% Floor)

    3.93% ^       08/15/2036       163,112  
 

BXP Trust,

 

  750,000    

Series 2017-CQHP-E (1 Month LIBOR USD + 3.00%)

    5.03% ^       11/15/2034       751,121  
 

Caesars Palace Las Vegas Trust,

 

  450,000    

Series 2017-VICI-E

    4.50% #^       10/15/2034       466,386  
 

Carbon Capital Commercial Mortgage Trust,

 

  244,000    

Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)

    4.88% ^       10/15/2035       246,143  
 

CHT Mortgage Trust,

 

  750,000    

Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor)

    5.03% ^       11/15/2036       753,624  
 

Commercial Mortgage Pass-Through Certificates,

 

  545,000    

Series 2015-CR26-C

    4.63% #       10/10/2048       585,465  
 

Commercial Mortgage Trust,

 

  1,000,000    

Series 2016-GCT-D

    3.58% #^       08/10/2029       1,008,602  
 

Credit Suisse Mortgage Capital Certificates,

 

  253,000    

Series 2019-ICE4-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

    4.18% ^       05/15/2036       253,993  
 

DBGS Mortgage Trust,

 

  550,000    

Series 2018-5BP-D (1 Month LIBOR USD + 1.35%)

    3.38% ^       06/15/2033       550,896  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

DBUBS Mortgage Trust,

 

  135,000    

Series 2017-BRBK-E

    3.65% #^       10/10/2034       136,325  
 

GPMT Ltd.,

 

  234,000    

Series 2019-FL2-D (1 Month LIBOR USD + 2.95%, 2.95% Floor)

    4.98% ^       02/22/2036       236,281  
 

Greystone Commercial Real Estate Notes,

 

  256,000    

Series 2019-FL2-D (1 Month LIBOR USD + 2.40%, 2.40% Floor)

    4.66% ^       09/15/2037       257,376  
 

GS Mortgage Securities Corporation,

 

  1,000,000    

Series 2018-FBLU-E (1 Month LIBOR USD + 2.75%, 2.75% Floor)

    4.78% ^       11/15/2035       1,004,573  
 

GS Mortgage Securities Trust,

 

  725,000    

Series 2017-500K-F (1 Month LIBOR USD + 1.80%, 2.15% Floor)

    3.83% ^       07/15/2032       727,552  
 

GSCG Trust,

 

  261,000    

Series 2019-600C-E

    4.12% #^       09/06/2034       266,650  
  261,000    

Series 2019-600C-G

    4.12% #^       09/06/2034       252,833  
 

Hilton USA Trust,

 

  600,000    

Series 2016-SFP-E

    5.52% ^       11/05/2035       604,134  
 

HPLY Trust,

 

  249,450    

Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor)

    5.18% ^       11/15/2036       250,074  
 

JP Morgan Chase Commercial Mortgage Securities Trust,

 

  1,000,000    

Series 2011-C3-D

    5.85% #^       02/15/2046       997,694  
  750,000    

Series 2018-BCON-C

    3.88% #^       01/05/2031       774,523  
 

JPMBB Commercial Mortgage Securities Trust,

 

  700,000    

Series 2014-C23-D

    4.11% #^       09/15/2047       690,443  
 

LCCM Mortgage Trust,

 

  750,000    

Series 2014-909-E

    4.03% #^       05/15/2031       753,228  
 

Morgan Stanley Capital Trust,

 

  750,000    

Series 2014-150E-F

    4.44% #^       09/09/2032       777,266  
 

NLY Commercial Mortgage Trust,

 

  385,000    

Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor)

    3.93% ^       02/15/2036       387,791  
 

Rosslyn Portfolio Trust,

 

  750,000    

Series 2017-ROSS-E (1 Month LIBOR USD + 3.00%, 3.99% Floor)

    5.03% ^       06/15/2033       746,186  
        

 

 

 
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $16,832,908)

 

    17,118,018  
        

 

 

 
 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 10.6%
 
 
 

Ajax Mortgage Loan Trust,

 

  1,451,935    

Series 2018-E-A

    4.38% #^       06/25/2058       1,471,292  
 

Bellemeade Ltd.,

 

  786,502    

Series 2017-1-M1 (1 Month LIBOR USD + 1.70%)

    3.72% ^       10/25/2027       789,274  
 

Bunker Hill Loan Depositary Trust,

 

  603,105    

Series 2019-1-A1

    3.61%        10/26/2048       611,637  
 

Citigroup Mortgage Loan Trust,

 

  2,061,499    

Series 2019-B-A1

    3.26% #^       04/25/2066       2,066,488  
 

HMIR,

 

  1,000,000    

Series 2019-1-M1 (1 Month LIBOR USD + 1.65%)

    3.67% ^       05/25/2029       1,002,418  
 

Legacy Mortgage Asset Trust,

 

  1,349,168    

Series 2019-GS1-A1

    4.00%        01/25/2059       1,369,054  
  1,688,805    

Series 2019-GS6-A1

    3.00%        06/25/2059       1,701,069  
 

 

100   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Pretium Mortgage Credit Partners LLC,

 

  872,503    

Series 2019-1A-A1

    4.50%        01/25/2024       880,850  
  781,152    

Series 2019-NPL1-A1

    4.21%        07/25/2060       788,607  
  1,749,806    

Series 2019-NPL2-A1

    3.84%        12/25/2058       1,759,307  
 

PRPM LLC,

 

  654,347    

Series 2019-3A-A1

    3.35%        07/25/2024       657,170  
 

VOLT LLC,

 

  664,152    

Series 2017-NP11-A1

    3.38%        10/25/2047       666,827  
  1,272,187    

Series 2019-NPL1-A1A

    4.34%        01/25/2049       1,284,054  
        

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $14,936,961)

 

    15,048,047  
        

 

 

 
  US CORPORATE BONDS 5.8%  
  95,000    

Air Lease Corporation

    2.50%        03/01/2021       95,304  
  185,000    

American Express Company

    3.70%        11/05/2021       191,065  
  190,000    

Analog Devices, Inc.

    2.95%        01/12/2021       191,473  
  185,000    

Anthem, Inc.

    2.50%        11/21/2020       185,682  
  185,000    

AT&T, Inc.

    2.80%        02/17/2021       186,661  
  185,000    

Bank of America Corporation (3 Month LIBOR USD + 0.79%)

    2.92%        03/05/2024       185,405  
  235,000    

BAT Capital Corporation

    2.76%        08/15/2022       237,312  
  95,000    

BB&T Corporation

    2.20%        03/16/2023       94,951  
  200,000    

Bristol-Myers Squibb Company

    2.60% ^       05/16/2022       203,080  
  95,000    

Capital One Financial Corporation

    2.40%        10/30/2020       95,285  
  280,000    

Cardinal Health, Inc.

    2.62%        06/15/2022       281,521  
  80,000    

Caterpillar Financial Services Corporation

    1.90%        09/06/2022       79,932  
  185,000    

Cigna Corporation

    3.40%        09/17/2021       189,285  
  186,000    

Cintas Corporation

    2.90%        04/01/2022       190,136  
  295,000    

Citigroup, Inc. (3 Month LIBOR USD + 1.02%)

    3.16%        06/01/2024       297,149  
  170,000    

Comcast Corporation

    3.45%        10/01/2021       175,118  
  190,000    

Consolidated Edison, Inc.

    2.00%        05/15/2021       189,846  
  185,000    

CVS Health Corporation

    3.70%        03/09/2023       192,674  
  250,000    

Daimler Finance North America LLC

    2.30% ^       02/12/2021       250,263  
  190,000    

Delta Air Lines, Inc.

    3.40%        04/19/2021       192,720  
  95,000    

DTE Energy Company

    2.53%        10/01/2024       95,405  
  70,000    

DuPont de Nemours, Inc.

    3.77%        11/15/2020       71,306  
  185,000    

eBay, Inc.

    2.75%        01/30/2023       187,368  
  135,000    

General Electric Company

    2.70%        10/09/2022       135,398  
  185,000    

General Motors Financial Company

    3.20%        07/06/2021       186,945  
  200,000    

JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%)

    3.21%        04/01/2023       204,853  
  140,000    

Marsh & McLennan Companies, Inc. (3 Month LIBOR USD + 1.20%)

    3.30%        12/29/2021       140,283  
  190,000    

Microchip Technology, Inc.

    3.92%        06/01/2021       194,132  
  185,000    

Mondelez International, Inc.

    3.00%        05/07/2020       185,969  
  280,000    

Morgan Stanley (3 Month LIBOR USD + 0.93%)

    3.21%        07/22/2022       282,195  
  185,000    

NextEra Energy Capital Holdings. Inc.

    2.90%        04/01/2022       188,518  
  190,000    

Northrop Grumman Corporation

    2.08%        10/15/2020       190,095  
  105,000    

Occidental Petroleum Corporation

    2.70%        08/15/2022       105,962  
    
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  175,000    

Omnicom Capital, Inc.

    3.63%        05/01/2022       181,516  
  150,000    

PayPal Holdings, Inc.

    2.20%        09/26/2022       150,453  
  195,000    

Penske Truck Leasing Company

    2.70% ^       11/01/2024       195,660  
  115,000    

Prudential Financial, Inc.

    4.50%        11/16/2021       120,662  
  30,000    

Prudential Financial, Inc.

    3.50%        05/15/2024       31,951  
  180,000    

PSEG Power LLC

    3.85%        06/01/2023       190,464  
  90,000    

Republic Services, Inc.

    2.50%        08/15/2024       91,094  
  40,000    

Reynolds American, Inc.

    4.00%        06/12/2022       41,687  
  130,000    

Schlumberger Holdings Corporation

    3.75% ^       05/01/2024       137,010  
  155,000    

Simon Property Group LP

    2.00%        09/13/2024       153,523  
  190,000    

Thermo Fisher Scientific, Inc.

    3.60%        08/15/2021       194,829  
  195,000    

Union Pacific Corporation

    3.20%        06/08/2021       198,432  
  185,000    

Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%)

    3.26%        05/15/2025       188,009  
  185,000    

Waste Management, Inc.

    2.95%        06/15/2024       191,416  
  195,000    

Welltower, Inc.

    3.63%        03/15/2024       204,884  
        

 

 

 
  Total US Corporate Bonds
(Cost $7,997,999)

 

    8,144,881  
        

 

 

 
 
US GOVERNMENT AND AGENCY MORTGAGE BACKED
OBLIGATIONS 6.8%
 
 
 

Federal Home Loan Mortgage Corporation,

 

  1,000,000    

Pool SB8011

    3.00%        10/01/2034       1,023,312  
  1,062,550    

Series 0-4771-NA

    4.00%        11/15/2042       1,079,967  
  2,352,589    

Series 3316-FA (1 Month LIBOR USD + 0.27%, 0.27% Floor, 7.00% Cap)

    2.30%        05/15/2037       2,344,770  
 

Federal National Mortgage Association,

 

  3,123,450    

Series 2011-93-GF (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

    2.47%        04/25/2039       3,135,649  
  993,603    

Series 2012-110-MF
(1 Month LIBOR USD + 0.46%, 0.46% Floor, 6.50% Cap)

    2.48%        10/25/2042       996,817  
  1,055,369    

Series 2012-56-FA (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap)

    2.57%        06/25/2042       1,063,037  
        

 

 

 
  Total US Government and Agency Mortgage Backed Obligations
(Cost $9,603,577)

 

    9,643,552  
        

 

 

 
  US GOVERNMENT AND AGENCY OBLIGATIONS 9.5%  
  2,770,000    

United States Treasury Notes

    2.25%        03/31/2020       2,775,140  
  3,940,000    

United States Treasury Notes

    1.63%        04/30/2023       3,946,541  
  5,890,000    

United States Treasury Notes

    2.25%        12/31/2023       6,054,851  
  690,000    

United States Treasury Notes

    1.75%        06/30/2024       696,024  
        

 

 

 
  Total US Government and Agency Obligations
(Cost $13,368,774)

 

    13,472,556  
        

 

 

 
 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   101


Schedule of Investments  DoubleLine Colony Real Estate and Income Fund  (Cont.)  

(Unaudited)

September 30, 2019

 

PRINCIPAL
AMOUNT $/
SHARES
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  SHORT TERM INVESTMENTS 12.7%  
  2,795,211    

First American Government Obligations Fund - Class U

    1.88% ¨         2,795,211  
  2,795,211    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         2,795,211  
  2,795,211    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         2,795,211  
  1,170,000    

United States Treasury Bills

    0.00%        10/10/2019       1,169,481  
  2,340,000    

United States Treasury Bills

    0.00%        11/07/2019       2,335,880  
  1,410,000    

United States Treasury Bills

    0.00%        12/05/2019       1,405,478  
  3,050,000    

United States Treasury Bills

    0.00%        01/30/2020       3,031,795  
  1,650,000    

United States Treasury Bills

    0.00%        02/06/2020       1,639,518  
        

 

 

 
  Total Short Term Investments
(Cost $17,963,874)

 

    17,967,785  
        

 

 

 
  Total Investments 86.7%
(Cost $121,766,201)

 

    122,752,551  
  Other Assets in Excess of Liabilities 13.3%

 

    18,874,319  
        

 

 

 
  NET ASSETS 100.0%        $ 141,626,870  
        

 

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:       

Short Term Investments

         12.7%  

Non-Agency Commercial Mortgage Backed Obligations

         12.1%  

Collateralized Loan Obligations

         11.8%  

Non-Agency Residential Collateralized Mortgage Obligations

         10.6%  

US Government and Agency Obligations

         9.5%  

US Government and Agency Mortgage Backed Obligations

         6.8%  

Foreign Corporate Bonds

         6.7%  

Asset Backed Obligations

         6.2%  

US Corporate Bonds

         5.8%  

Bank Loans

         3.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         0.8%  

Other Assets and Liabilities

         13.3%  
      

 

 

 
         100.0%  
      

 

 

 
INVESTMENT BREAKDOWN as a % of Net Assets:       

Short Term Investments

         12.7%  

Non-Agency Commercial Mortgage Backed Obligations

         12.1%  

Collateralized Loan Obligations

         11.8%  

Non-Agency Residential Collateralized Mortgage Obligations

         10.6%  

US Government and Agency Obligations

         9.5%  

US Government and Agency Mortgage Backed Obligations

         6.8%  

Asset Backed Obligations

         6.2%  

Banking

         3.4%  

Healthcare

         1.3%  

Energy

         1.3%  

Utilities

         1.0%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         0.8%  

Telecommunications

         0.8%  

Media

         0.8%  

Transportation

         0.6%  

Technology

         0.5%  

Aerospace & Defense

         0.5%  

Chemicals/Plastics

         0.5%  

Automotive

         0.4%  

Electronics/Electric

         0.4%  

Pharmaceuticals

         0.4%  

Finance

         0.4%  

Insurance

         0.4%  

Business Equipment and Services

         0.3%  

Building and Development (including Steel/Metals)

         0.3%  

Consumer Products

         0.3%  

Real Estate

         0.3%  

Industrial Equipment

         0.2%  

Food Products

         0.2%  

Leisure

         0.2%  

Environmental Control

         0.2%  

Beverage and Tobacco

         0.2%  

Containers and Glass Products

         0.2%  

Chemical Products

         0.2%  

Mining

         0.2%  

Hotels/Motels/Inns and Casinos

         0.1%  

Commercial Services

         0.1%  

Financial Intermediaries

         0.1%  

Pulp & Paper

         0.1%  

Diversified Manufacturing

         0.1%  

Food Service

         0.1%  

Construction

         0.1%  

Other Assets and Liabilities

         13.3%  
      

 

 

 
         100.0%  
      

 

 

 
 
^

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.

 

#

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

±

Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of September 30, 2019.

 

Perpetual Maturity

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019

 

102   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

 

Excess Return Swaps                        
Reference Entity   Counterparty   Long/Short   Financing
Rate
  Payment
Frequency
  Termination
Date
  Notional
Amount
  Unrealized
Appreciation
(Depreciation) /
Value

Colony Capital Fundamental US Real Estate Index Excess Returnº

 

Barclays Capital, Inc.

  Long       0.45%       Termination       02/27/2020       34,000,000     $ 5,970,959

Colony Capital Fundamental US Real Estate Index Excess Returnº

 

Barclays Capital, Inc.

  Long       0.45%       Termination       02/13/2020       30,000,000       5,735,494

Colony Capital Fundamental US Real Estate Index Excess Returnº

 

Barclays Capital, Inc.

  Long       0.45%       Termination       01/23/2020       25,000,000       5,332,232

Colony Capital Fundamental US Real Estate Index Excess Returnº

 

Barclays Capital, Inc.

  Long       0.45%       Termination       01/09/2020       15,000,000       3,061,845

Colony Capital Fundamental US Real Estate Index Excess Returnº

 

Barclays Capital, Inc.

  Long       0.45%       Termination       04/30/2020       10,000,000       1,038,915

Colony Capital Fundamental US Real Estate Index Excess Returnº

 

Barclays Capital, Inc.

  Long       0.45%       Termination       10/24/2019       7,100,000       (31,162 )
                       

 

 

 
                        $ 21,108,283
                       

 

 

 

 

º

The Colony Capital Fundamental US Real Estate Index Excess Return aims to provide notional long exposure to Real Estate Investment Trusts (REITs) excluding mortgage REITs that meet certain market capitalization, liquidity and fundamental criteria. The constituents of the index are ordinary shares, which are REITs. Information on the sector constituents as of September 30, 2019, is available on the Barclays Capital, Inc. website at https://indices.barclays/doubleline.

A summary of the DoubleLine Colony Real Estate and Income Fund ‘s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

Fund   Value at
March 31,
2019
  Gross
Purchases
 

Gross

Sales

  Shares Held at
September 30,
2019
  Value at
September 30,
2019
  Change in
Unrealized for the
Period Ended
September 30,
2019
  Dividend Income
Earned in the
Period Ended
September 30,
2019
  Net Realized
Gain (Loss) in
the Period Ended
September 30,
2019

DoubleLine Floating Rate Fund (Class I)

    $ 9,516,745     $     $ (9,556,192 )           $     $ (16,745 )     $ 86,733     $ 56,192
   

 

 

 

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   103


Schedule of Investments  DoubleLine Emerging Markets Local Currency Bond Fund  

(Unaudited)

September 30, 2019

 

    
PRINCIPAL
AMOUNT
          SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  FOREIGN CORPORATE BONDS 4.8%  
  COLOMBIA 2.6%  
  320,000,000       COP    

Emgesa S.A.

    8.75%       01/25/2021       95,632  
  500,000,000       COP    

Empresas Publicas de Medellin ESP

    8.38% ^      11/08/2027       154,009  
         

 

 

 
            249,641  
         

 

 

 
  MEXICO 1.0%  
  2,030,000       MXN    

America Movil S.A.B. de C.V.

    6.45%       12/05/2022       99,396  
         

 

 

 
            99,396  
         

 

 

 
  PERU 1.2%  
  44,000       PEN    

Banco de Credito del Peru

    4.85%       10/30/2020       13,186  
  325,000       PEN    

Banco de Credito del Peru

    4.65% ^      09/17/2024       97,299  
         

 

 

 
            110,485  
         

 

 

 
    Total Foreign Corporate Bonds
(Cost $476,360)

 

    459,522  
         

 

 

 
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 83.8%
 
 
  BRAZIL 8.8%  
  1,000       BRL    

Nota Do Tesouro Nacional

    10.00%       01/01/2025       276,142  
  2,000       BRL    

Nota Do Tesouro Nacional

    10.00%       01/01/2029       574,956  
         

 

 

 
            851,098  
         

 

 

 
  CHILE 4.6%  
  160,000,000       CLP    

Bonos de la Tesoreria de la Republica en pesos

    4.00% ^      03/01/2023       232,911  
  140,000,000       CLP    

Bonos de la Tesoreria de la Republica en pesos

    4.50%       03/01/2026       214,457  
         

 

 

 
            447,368  
         

 

 

 
  COLOMBIA 4.6%  
  725,000,000       COP    

Colombian TES

    6.25%       11/26/2025       217,687  
  700,000,000       COP    

Colombian TES

    7.50%       08/26/2026       223,929  
         

 

 

 
            441,616  
         

 

 

 
  CZECH REPUBLIC 4.2%  
  9,840,000       CZK    

Czech Republic Government Bond

    0.45%       10/25/2023       402,586  
         

 

 

 
            402,586  
         

 

 

 
  HUNGARY 4.4%  
  119,000,000       HUF    

Hungary Government Bond

    3.00%       06/26/2024       424,980  
         

 

 

 
            424,980  
         

 

 

 
  INDONESIA 9.1%  
  6,500,000,000       IDR    

Indonesia Treasury Bond

    6.13%       05/15/2028       425,122  
  6,170,000,000       IDR    

Indonesia Treasury Bond

    8.38%       03/15/2034       460,696  
         

 

 

 
            885,818  
         

 

 

 
  ISRAEL 4.8%  
  1,530,000       ILS    

Israel Government Bond

    1.75%       08/31/2025       470,283  
         

 

 

 
            470,283  
         

 

 

 
PRINCIPAL
AMOUNT/
SHARES
          SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  MALAYSIA 4.6%  
  1,875,000       MYR    

Malaysia Government Bond

    3.50%       05/31/2027       447,860  
         

 

 

 
            447,860  
         

 

 

 
  MEXICO 6.6%  
  57,100       MXN    

Mexican Bonos

    8.00% LOGO       06/11/2020       291,808  
  68,500       MXN    

Mexican Bonos

    6.50% LOGO       06/09/2022       345,627  
         

 

 

 
            637,435  
         

 

 

 
  PERU 3.9%  
  560,000       PEN    

Peru Government Bond

    6.15% ^      08/12/2032       190,503  
  580,000       PEN    

Peru Government Bond

    5.40% ^      08/12/2034       183,791  
         

 

 

 
            374,294  
         

 

 

 
  PHILIPPINES 3.6%  
  18,000,000       PHP    

Philippine Government International Bond

    4.95%       01/15/2021       351,804  
         

 

 

 
            351,804  
         

 

 

 
  POLAND 7.6%  
  1,465,000       PLN    

Republic of Poland Government Bond

    2.25%       04/25/2022       371,642  
  1,364,000       PLN    

Republic of Poland Government Bond

    3.25%       07/25/2025       366,774  
         

 

 

 
            738,416  
         

 

 

 
  ROMANIA 3.0%  
  1,160,000       RON    

Romania Government Bond

    5.85%       04/26/2023       286,522  
         

 

 

 
            286,522  
         

 

 

 
  SINGAPORE 2.5%  
  332,000       SGD    

Singapore Government Bond

    2.00%       02/01/2024       243,796  
         

 

 

 
            243,796  
         

 

 

 
  SOUTH AFRICA 6.5%  
  4,100,000       ZAR    

Republic of South Africa Government Bond

    7.75%       02/28/2023       273,275  
  5,780,000       ZAR    

Republic of South Africa Government Bond

    8.00%       01/31/2030       356,546  
         

 

 

 
            629,821  
         

 

 

 
  THAILAND 5.0%  
  7,170,000       THB    

Thailand Government Bond

    3.63%       06/16/2023       253,404  
  6,150,000       THB    

Thailand Government Bond

    3.85%       12/12/2025       230,031  
         

 

 

 
            483,435  
         

 

 

 
    Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $8,343,806)

 

    8,117,132  
         

 

 

 
  SHORT TERM INVESTMENTS 10.2%  
  330,397      

BlackRock Liquidity Funds FedFund - Institutional Shares

    1.82% ¨        330,397  
  330,350      

Fidelity Institutional Money Market Government Portfolio - Class I

    1.86% ¨        330,350  
 

 

104   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    
    
SHARES
          SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  330,366      

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨        330,366  
         

 

 

 
    Total Short Term Investments
(Cost $991,113)

 

    991,113  
         

 

 

 
    Total Investments 98.8%
(Cost $9,811,279)

 

    9,567,767  
    Other Assets in Excess of Liabilities 1.2%

 

    113,935  
         

 

 

 
    NET ASSETS 100.0%

 

  $ 9,681,702  
         

 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         83.8%  

Short Term Investments

         10.2%  

Foreign Corporate Bonds

         4.8%  

Other Assets and Liabilities

         1.2%  
      

 

 

 
         100.0%  
      

 

 

 
INVESTMENT BREAKDOWN as a % of Net Assets:

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         83.8%  

Short Term Investments

         10.2%  

Utilities

         2.6%  

Banking

         1.2%  

Telecommunications

         1.0%  

Other Assets and Liabilities

         1.2%  
      

 

 

 
         100.0%  
      

 

 

 

 

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

         10.2%  

Indonesia

         9.1%  

Brazil

         8.8%  

Poland

         7.6%  

Mexico

         7.6%  

Colombia

         7.2%  

South Africa

         6.5%  

Peru

         5.1%  

Thailand

         5.0%  

Israel

         4.8%  

Malaysia

         4.6%  

Chile

         4.6%  

Hungary

         4.4%  

Czech Republic

         4.2%  

Philippines

         3.6%  

Romania

         3.0%  

Singapore

         2.5%  

Other Assets and Liabilities

         1.2%  
      

 

 

 
         100.0%  
      

 

 

 
 
^

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.

 

¨

Seven-day yield as of September 30, 2019

 

LOGO

Principal amount is stated in 100 Mexican Peso Units.

 

BRL

Brazilian Real

 

CLP

Chilean Peso

 

COP

Colombian Peso

 

CZK

Czech Republic Koruna

 

HUF

Hungarian Forint

 

IDR

Indonesian Rupiah

 

ILS

Israeli Shekel

 

MXN

Mexican Peso

 

MYR

Malaysian Ringgit

 

PEN

Peruvian Sol

 

PHP

Philippine Peso

 

PLN

Polish Zloty

 

RON

Romanian Leu

 

SGD

Singapore Dollar

 

THB

Thai Baht

 

ZAR

South African Rand

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   105


Schedule of Investments  DoubleLine Income Fund  

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  ASSET BACKED OBLIGATIONS 8.2%    
 

Pioneer Aircraft Finance Ltd.,

 

 
  976,191    

Series 2019-1-C

    6.90% ^      06/15/2044       996,565  
 

START Ireland,

 

  1,625,000    

Series 2019-1-C

    6.41% ^      03/15/2044       1,634,674  
 

Sunnova Helios Issuer LLC,

 

  1,909,979    

Series 2019-AA-B

    4.49% ^      06/20/2046       1,933,539  
  2,000,000    

Wave LLC

    6.41% ^      09/15/2044       1,999,959  
       

 

 

 
  Total Asset Backed Obligations
(Cost $6,546,742)

 

    6,564,737  
       

 

 

 
  COLLATERALIZED LOAN OBLIGATIONS 4.8%    
 

GoldenTree Loan Opportunities Ltd.,

 

  1,000,000    

Series 2016-12A-DR (3 Month LIBOR USD + 2.90%)

    5.18% ^      07/21/2030       959,928  
 

Highbridge Loan Management Ltd.,

 

  2,000,000    

Series 12A-18-C (3 Month LIBOR USD + 2.75%, 2.75% Floor)

    5.05% ^      07/18/2031       1,905,030  
 

OHA Credit Funding Ltd.,

 

  1,000,000    

Series 2019-4A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor)

    0.00% ^      10/22/2032       1,000,000  
       

 

 

 
  Total Collateralized Loan Obligations
(Cost $3,865,430)

 

    3,864,958  
       

 

 

 
 
NON-AGENCY COMMERCIAL MORTGAGE BACKED
OBLIGATIONS 35.8%
 
 
 
 

Atrium Hotel Portfolio Trust

 

 
  1,000,000    

(1 Month LIBOR USD + 2.80%, 2.80% Floor)

    5.05% ^      09/15/2032       1,002,500  
  1,000,000    

(1 Month LIBOR USD + 3.75%, 3.75% Floor)

    6.00% ^      09/15/2032       1,002,500  
  1,000,000    

Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%)

    5.08% ^      12/15/2036       1,006,830  
 

Banc of America Commercial Mortgage Trust,

 

  259,358    

Series 2007-4-G

    6.06% #^      02/10/2051       266,626  
 

Bancorp Commercial Mortgage Trust,

 

 
  1,500,000    

Series 2019-CRE5-E (1 Month LIBOR USD + 3.75%, 3.75% Floor)

    5.78% ^      03/15/2036       1,520,651  
  1,500,000    

Series 2019-CRE6-D (1 Month LIBOR USD + 2.30%, 2.30% Floor)

    4.57% ^      09/15/2036       1,505,630  
  1,000,000    

Series 2019-CRE6-E (1 Month LIBOR USD + 2.85%, 2.85% Floor)

    5.12% ^      09/15/2036       1,003,745  
 

BANK,

 

  13,409,430    

Series 2019-BN19-XFG

    1.17% #^ I/O      08/15/2061       1,167,210  
 

Barclays Commercial Mortgage Securities LLC,

 

  1,000,000    

Series 2017-DELC-F (1 Month LIBOR USD + 3.50%)

    5.53% ^      08/15/2036       1,005,059  
 

BX Trust,

 

  850,000    

Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%)

    5.18% ^      07/15/2034       855,307  
  200,000    

Series 2018-GW-G (1 Month LIBOR USD + 2.92%, 2.92% Floor)

    4.95% ^      05/15/2035       202,002  
 

Carbon Capital Commercial Mortgage Trust,

 

  100,000    

Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)

    4.88% ^      10/15/2035       100,878  

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Citigroup Commercial Mortgage Trust,

 

  1,500,000    

Series 2017-P7-D

    3.25% ^      04/14/2050       1,370,028  
 

Commercial Mortgage Trust,

 

 
  17,739,000    

Series 2014-CR20-XF

    1.44% #^ I/O      11/10/2047       1,069,023  
 

DBGS Mortgage Trust,

 

 
  87,000    

Series 2018-5BP-F (1 Month LIBOR USD + 2.45%)

    4.48% ^      06/15/2033       86,914  
 

GS Mortgage Securities Trust,

 

 
  1,500,000    

Series 2015-GC34-D

    3.00%       10/10/2048       1,366,584  
  1,500,000    

Series 2015-GC32-D

    3.35%       07/10/2048       1,433,236  
  1,000,000    

Series 2019-SMP-F (1 Month LIBOR USD + 3.10%, 3.10% Floor)

    5.24% ^      08/15/2032       1,005,215  
  1,000,000    

Series 2019-SMP-G (1 Month LIBOR USD + 4.25%, 4.25% Floor)

    6.39% ^      08/15/2032       1,002,493  
 

Hawaii Hotel Trust,

 

 
  1,000,000    

Series 2019-MAUI-F (1 Month LIBOR USD + 3.00%, 3.00% Floor)

    4.78% ^      05/15/2038       1,005,946  
 

IMT Trust,

     
  842,000    

Series 2017-APTS-FFL (1 Month LIBOR USD + 2.85%)

    4.88% ^      06/15/2034       844,136  
 

JP Morgan Chase Commercial Mortgage Securities Trust,

 

  1,500,000    

Series 2018-WPT-FFX

    5.54% ^      07/05/2033       1,559,434  
  1,000,000    

Series 2019-UES-G

    4.60% #^      05/05/2032       972,632  
 

JPMCC Commercial Mortgage Securities Trust,

 

  1,000,000    

Series 2019-MFP-F (1 Month LIBOR USD + 3.10%, 3.00% Floor)

    5.13% ^      07/15/2036       1,006,336  
 

LoanCore Issuer Ltd.,

 

 
  1,000,000    

Series 2019-CRE2-D (1 Month LIBOR USD + 2.45%, 2.45% Floor)

    4.48% ^      05/15/2036       1,006,875  
 

Tharaldson Hotel Portfolio Trust,

 

 
  405,040    

Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor)

    5.22% ^      11/11/2034       407,101  
  810,080    

Series 2018-THL-F (1 Month LIBOR USD + 3.95%, 4.04% Floor)

    5.99% ^      11/11/2034       815,232  
 

UBS Commercial Mortgage Trust,

 

 
  1,500,000    

Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor)

    6.87% ^      02/15/2032       1,526,021  
 

VMC Finance LLC,

 

 
  1,500,000    

Series 2019-FL3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor)

    4.85% ^      09/15/2036       1,504,691  
       

 

 

 
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $28,589,017)

 

    28,620,835  
       

 

 

 
 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 33.0%
 
 
 

Banc of America Funding Trust,

 

 
  2,028,433    

Series 2007-A-2A2 (1 Month LIBOR USD + 0.21%, 0.21% Floor, 10.50% Cap)

    2.25%       02/20/2047       1,861,770  
 

FMC GMSR Issuer Trust,

 

 
  2,500,000    

Series 2019-GT2-B

    4.72% #^      09/25/2024       2,522,170  
 

 

106   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

PRINCIPAL

AMOUNT $

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Freddie Mac STACR Trust,

 

 
  1,000,000    

Series 2019-DNA1-M2 (1 Month LIBOR USD + 2.65%, 0.00% Floor)

    4.67% ^       01/25/2049       1,017,121  
  1,000,000    

Series 2019-DNA2-M2 (1 Month LIBOR USD + 2.45%, 0.00% Floor)

    4.47% ^       03/25/2049       1,011,924  
  1,722,000    

Series 2019-DNA3-B1 (1 Month LIBOR USD + 3.25%, 0.00% Floor)

    5.27% ^       07/25/2049       1,771,801  
 

JP Morgan Alternative Loan Trust,

 

 
  2,146,902    

Series 2006-A2-2A2

    4.32% #       05/25/2036       1,868,999  
 

Legacy Mortgage Asset Trust,

 

 
  2,500,000    

Series 2018-SL1-M

    4.50% #^       02/25/2058       2,520,053  
  2,500,000    

Series 2019-GS6-A2

    4.45%        06/25/2059       2,514,613  
 

Lehman XS Trust,

 

 
  2,240,839    

Series 2005-6-2A1 (1 Month LIBOR USD + 2.00%, 1.50% Floor)

    4.10%        11/25/2035       2,000,658  
 

New Residential Mortgage Loan Trust,

 

 
  1,500,000    

Series 2019-NQM4-B1

    3.74% #^       09/25/2059       1,512,864  
 

Pretium Mortgage Credit Partners LLC,

 

 
  2,500,000    

Series 2019-NPL3-A2

    4.58%        07/27/2059       2,505,869  
 

Toorak Mortgage Corporation Ltd.,

 

 
  2,000,000    

Series 2019-2-A2

    4.21% §       09/25/2022       2,018,040  
 

Velocity Commercial Capital Loan Trust,

 

 
  747,455    

Series 2019-2-M5

    4.93% #^       07/25/2049       761,819  
 

VOLT LLC,

      
  2,500,000    

Series 2017-NP11-A2

    4.63%        10/25/2047       2,503,324  
        

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $26,240,551)

 

    26,391,025  
        

 

 

 

PRINCIPAL

AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  US GOVERNMENT AND AGENCY OBLIGATIONS 9.9%    
  3,700,000    

United States Treasury Notes

    2.25%        03/31/2026       3,845,253  
  4,100,000    

United States Treasury Notes

    1.63%        08/15/2029       4,082,703  
        

 

 

 
  Total US Government and Agency Obligations
(Cost $7,986,383)

 

    7,927,956  
        

 

 

 
  SHORT TERM INVESTMENTS 18.1%  
  4,805,129    

First American Government Obligations Fund - Class U

    1.88% ¨         4,805,129  
  4,805,129    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

    1.83% ¨         4,805,129  
  4,805,129    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    1.83% ¨         4,805,129  
        

 

 

 
  Total Short Term Investments
(Cost $14,415,387)

 

    14,415,387  
        

 

 

 
  Total Investments 109.8%
(Cost $87,643,510)

 

    87,784,898  
  Liabilities in Excess of Other Assets (9.8)%

 

    (7,800,911
        

 

 

 
  NET ASSETS 100.0%

 

  $ 79,983,987  
        

 

 

 
SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Non-Agency Commercial Mortgage Backed Obligations

         35.8%  

Non-Agency Residential Collateralized Mortgage Obligations

         33.0%  

Short Term Investments

         18.1%  

US Government and Agency Obligations

         9.9%  

Asset Backed Obligations

         8.2%  

Collateralized Loan Obligations

         4.8%  

Other Assets and Liabilities

         (9.8)%  
      

 

 

 
         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.

 

#

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.

 

I/O

Interest only security

 

§

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.

 

¨

Seven-day yield as of September 30, 2019

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   107


Statements of Assets and Liabilities  

(Unaudited)

September 30, 2019

 

    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 *

    $ 53,043,409,900     $ 10,874,065,955     $ 1,156,447,636     $ 68,353,458     $ 7,021,619,853     $ 276,540,806

Investments in Affiliated Mutual Funds, at Value *

      69,980,655       1,405,437,595       —         64,788,316       49,650,000       —  

Short Term Investments *

      1,720,254,529       575,985,008       8,857,385       84,048,845       629,285,605       16,583,299

Foreign Currency, at Value *

      —         —         —         28,529       —         —  

Interest and Dividends Receivable

      185,353,744       77,269,792       16,493,920       481,924       37,328,782       2,025,455

Receivable for Fund Shares Sold

      141,888,605       21,228,164       2,056,062       259,243       18,963,300       268,961

Receivable for Investments Sold

      18,859,112       3,801,971       —         7,595,250       3,552,013       16,381,720

Deposit at Broker for Futures

      18,087,500       —         —         2,063,951       —         —  

Prepaid Expenses and Other Assets

      716,845       203,391       72,079       23,717       259,945       40,402

Variation Margin Receivable

      —         —         —         177,457       —         —  

Net Unrealized Appreciation on Swaps

      —         —         —         46,936       —         —  

Due from Advisor (See Note 3)

      —         —         —         —         —         —  

Cash

      —         —         —         —         —         —  

Total Assets

      55,198,550,890       12,957,991,876       1,183,927,082       227,867,626       7,760,659,498       311,840,643

LIABILITIES

                       

Payable for Investments Purchased

      615,312,231       289,098,367       1,908,474       —         83,765,227       22,674,370

Payable for Fund Shares Redeemed

      76,189,022       12,051,806       1,907,050       213,565       16,937,072       624,715

Distribution Payable

      34,002,302       11,683,328       1,296,524       941,118       4,038,786       507,548

Investment Advisory Fees Payable

      17,768,237       3,555,267       723,657       152,783       2,177,225       119,500

Sub-Transfer Agent Expenses Payable

      5,841,084       909,089       195,449       15,472       540,097       104,175

Distribution Fees Payable

      3,287,036       353,280       64,237       70,559       888,150       28,145

Administration, Fund Accounting and Custodian Fees Payable

      1,226,512       353,511       39,319       18,361       215,066       64,771

Transfer Agent Expenses Payable

      997,703       236,787       29,931       7,785       92,025       18,470

Trustees Fees Payable (See Note 8)

      885,643       118,365       18,003       3,577       64,798       8,730

Accrued Expenses

      790,307       110,163       76,599       25,989       1,855       3,615

Professional Fees Payable

      355,524       83,897       60,727       68,522       41,738       43,119

Variation Margin Payable

      281,243       —         —         —         —         —  

Net Unrealized Depreciation on Forward Currency Exchange Contracts

      —         —         —         349,484       —         —  

Total Liabilities

      756,936,844       318,553,860       6,319,970       1,867,215       108,762,039       24,197,158

Commitments and Contingencies (See Note 2)

                                                           

Net Assets

    $ 54,441,614,046     $ 12,639,438,016     $ 1,177,607,112     $ 226,000,411     $ 7,651,897,459     $ 287,643,485

NET ASSETS CONSIST OF:

                       

Paid-in Capital

    $ 56,567,150,606     $ 12,431,046,688     $ 1,224,947,908     $ 233,244,878     $ 7,677,271,597     $ 316,566,839

Undistributed (Accumulated) Net Investment Income (Loss)

      (84,105,930 )       (319,274 )       1,060,392       (139,198 )       1,622,258       33,757

Accumulated Net Realized Gain (Loss) on Investments

      (3,105,873,405 )       (164,196,517 )       (38,336,265 )       (4,640,470 )       (45,227,982 )       (25,116,840 )

Net Unrealized Appreciation (Depreciation) on:

                                                           

Investments in Unaffiliated Securities

      1,076,299,845       345,789,577       (10,064,923 )       (324,712 )       18,454,586       (3,840,271 )

Investments in Affiliated Mutual Funds

      (19,345 )       27,037,595       —         (1,361,999 )       (350,000 )       —  

Short Term Investments

      42,770       79,947       —         3,348       127,000       —  

Foreign Currency

      —         —         —         (3,635 )       —         —  

Forwards

      —         —         —         (349,484 )       —         —  

Futures

      (11,880,495 )       —         —         (475,253 )       —         —  

Swaps

      —         —         —         46,936       —         —  

Translation of Other Assets and Liabilities Denominated in Foreign Currency

      —         —         —         —         —         —  

Total Distributable Earnings (Loss) (See Note 6)

      (2,125,536,560 )       208,391,328       (47,340,796 )       (7,244,467 )       (25,374,138 )       (28,923,354 )

Net Assets

    $ 54,441,614,046     $ 12,639,438,016     $ 1,177,607,112     $ 226,000,411     $ 7,651,897,459     $ 287,643,485

*Identified Cost:

                                                           

Investments in Unaffiliated Securities

    $ 51,967,110,055     $ 10,528,276,378     $ 1,166,512,559     $ 68,678,170     $ 7,003,165,267     $ 280,381,077

Investments in Affiliated Mutual Funds

      70,000,000       1,378,400,000       —         66,150,315       50,000,000       —  

Short Term Investments

      1,720,211,759       575,905,061       8,857,385       84,045,497       629,158,605       16,583,299

Foreign Currency

      —         —         —         32,164       —         —  

Class I (unlimited shares authorized):

                       

Net Assets

    $ 47,259,696,598     $ 11,805,502,538     $ 1,012,602,067     $ 40,381,448     $ 6,058,970,895     $ 215,249,996

Shares Outstanding

      4,395,661,338       1,060,882,069       96,690,843       4,356,819       603,954,155       22,524,981

Net Asset Value, Offering and Redemption Price per Share

    $ 10.75     $ 11.13     $ 10.47     $ 9.27     $ 10.03     $ 9.56

Class N (unlimited shares authorized):

                       

Net Assets

    $ 7,181,788,728     $ 833,834,227     $ 165,005,045     $ —       $ 1,592,826,023     $ 72,393,489

Shares Outstanding

      668,299,241       74,990,019       15,752,986       —         158,900,138       7,561,918

Net Asset Value, Offering and Redemption Price per Share

    $ 10.75     $ 11.12     $ 10.47     $ —       $ 10.02     $ 9.57

Class A (unlimited shares authorized):

                       

Net Assets

    $ —       $ —       $ —       $ 185,618,963     $ —       $ —  

Shares Outstanding

      —         —         —         20,109,662       —         —  

Net Asset Value, Offering Price per Share

    $ —       $ —       $ —       $ 9.62     $ —       $ —  

Net Asset Value, Redemption Price per Share

    $ —       $ —       $ —       $ 9.23     $ —       $ —  

Class R6 (unlimited shares authorized):

                       

Net Assets

    $ 128,720     $ 101,251     $ —       $ —       $ 100,541     $ —  

Shares Outstanding

      11,971       9,101       —         —         10,022       —  

Net Asset Value, Offering and Redemption Price per Share

    $ 10.75     $ 11.13     $ —       $ —       $ 10.03     $ —  

 

108   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

September 30, 2019

 

    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 *

    $ 5,931,862,756     $ 1,265,236,854     $ 217,897,020     $ 88,038,365     $ —       $ 1,127,768,415

Investments in Affiliated Mutual Funds, at Value *

      300,249,400       98,039,801       —         —         —         —  

Short Term Investments *

      1,002,432,758       88,294,226       4,342,101       9,723,512       424,673,834       29,502,278

Foreign Currency, at Value *

      —         —         —         —         —         2,192,482

Interest and Dividends Receivable

      30,495,827       10,449,204       2,867,358       276,996       95,951       9,907,136

Receivable for Fund Shares Sold

      18,989,444       2,373,681       698,006       1,166,134       273,511       95

Receivable for Investments Sold

      6,561,311       1,327,502       —         —         —         —  

Deposit at Broker for Futures

      —         —         —         598,168       —         —  

Prepaid Expenses and Other Assets

      200,326       91,716       21,391       35,684       69,409       29,744

Variation Margin Receivable

      —         —         —         12,860       —         —  

Net Unrealized Appreciation on Swaps

      243,730,851       —         —         —         1,844,982       —  

Due from Advisor (See Note 3)

      —         —         —         —         —         —  

Cash

      —         —         —         —         —         —  

Total Assets

      7,534,522,673       1,465,812,984       225,825,876       99,851,719       426,957,687       1,169,400,150

LIABILITIES

                       

Payable for Investments Purchased

      137,582,951       21,709,077       1,239,670       4,202,425       —         —  

Payable for Fund Shares Redeemed

      10,236,420       2,264,196       411,707       3,064       462,050       24,952

Distribution Payable

      4,251,752       1,278,932       215,620       116,072       —         4,091,228

Investment Advisory Fees Payable

      2,648,105       686,389       84,815       36,082       324,107       481,129

Sub-Transfer Agent Expenses Payable

      884,965       168,152       13,820       256       18,849       50,387

Distribution Fees Payable

      579,318       132,124       7,410       5,408       18,099       1,322

Administration, Fund Accounting and Custodian Fees Payable

      206,163       120,397       16,003       4,729       9,422       39,073

Transfer Agent Expenses Payable

      93,144       29,442       10,044       5,038       7,408       5,555

Trustees Fees Payable (See Note 8)

      49,492       16,857       3,517       1,051       3,956       5,608

Accrued Expenses

      2,866       14,479       4,226       8,263       1,860       7,861

Professional Fees Payable

      47,143       54,571       29,439       31,717       48,866       24,914

Variation Margin Payable

      —         —         —         —         —         —  

Net Unrealized Depreciation on Forward Currency Exchange Contracts

      —         —         —         —         —         —  

Total Liabilities

      156,582,319       26,474,616       2,036,271       4,414,105       894,617       4,732,029

Commitments and Contingencies (See Note 2)

                                                           

Net Assets

    $ 7,377,940,354     $ 1,439,338,368     $ 223,789,605     $ 95,437,614     $ 426,063,070     $ 1,164,668,121

NET ASSETS CONSIST OF:

                       

Paid-in Capital

    $ 6,911,418,954     $ 1,462,744,844     $ 222,369,707     $ 87,591,888     $ 452,536,511     $ 1,157,272,669

Undistributed (Accumulated) Net Investment Income (Loss)

      376,390       (741,865 )       15,976       17,841       3,922,614       (3,562,756 )

Accumulated Net Realized Gain (Loss) on Investments

      203,448,426       (18,596,313 )       1,578,073       848,287       (32,405,787 )       251,479

Net Unrealized Appreciation (Depreciation) on:

                                                           

Investments in Unaffiliated Securities

      18,344,695       (4,690,056 )       (174,151 )       7,211,087       —         11,009,825

Investments in Affiliated Mutual Funds

      349,300       621,758       —         —         —         —  

Short Term Investments

      271,738       —         —         2,081       164,750       —  

Foreign Currency

      —         —         —         —         —         (13,136 )

Forwards

      —         —         —         —         —         —  

Futures

      —         —         —         (233,570 )       —         —  

Swaps

      243,730,851       —         —         —         1,844,982       —  

Translation of Other Assets and Liabilities Denominated in Foreign Currency

      —         —         —         —         —         (289,960 )

Total Distributable Earnings (Loss) (See Note 6)

      466,521,400       (23,406,476 )       1,419,898       7,845,726       (26,473,441 )       7,395,452

Net Assets

    $ 7,377,940,354     $ 1,439,338,368     $ 223,789,605     $ 95,437,614     $ 426,063,070     $ 1,164,668,121

*Identified Cost:

                                                           

Investments in Unaffiliated Securities

    $ 5,913,518,061     $ 1,269,926,910     $ 218,071,171     $ 80,827,278     $ —       $ 1,116,758,590

Investments in Affiliated Mutual Funds

      299,900,100       97,418,043       —         —         —         —  

Short Term Investments

      1,002,161,020       88,294,226       4,342,101       9,721,431       424,509,084       29,502,278

Foreign Currency

      —         —         —         —         —         2,205,618

Class I (unlimited shares authorized):

                       

Net Assets

    $ 5,814,580,950     $ 1,195,390,220     $ 206,168,837     $ 78,630,714     $ 375,510,999     $ 1,159,238,532

Shares Outstanding

      375,406,209       123,402,405       20,753,969       7,190,024       41,034,133       112,276,471

Net Asset Value, Offering and Redemption Price per Share

    $ 15.49     $ 9.69     $ 9.93     $ 10.94     $ 9.15     $ 10.32

Class N (unlimited shares authorized):

                       

Net Assets

    $ 1,563,241,174     $ 243,847,942     $ 17,620,768     $ 16,806,900     $ 50,552,071     $ 5,429,589

Shares Outstanding

      101,028,387       25,192,608       1,771,147       1,538,068       5,571,920       525,615

Net Asset Value, Offering and Redemption Price per Share

    $ 15.47     $ 9.68     $ 9.95     $ 10.93     $ 9.07     $ 10.33

Class A (unlimited shares authorized):

                       

Net Assets

    $ —       $ —       $ —       $ —       $ —       $ —  

Shares Outstanding

      —         —         —         —         —         —  

Net Asset Value, Offering Price per Share

    $ —       $ —       $ —       $ —       $ —       $ —  

Net Asset Value, Redemption Price per Share

    $ —       $ —       $ —       $ —       $ —       $ —  

Class R6 (unlimited shares authorized):

                       

Net Assets

    $ 118,230     $ 100,206     $ —       $ —       $ —       $ —  

Shares Outstanding

      7,631       10,342       —         —         —         —  

Net Asset Value, Offering and Redemption Price per Share

    $ 15.49     $ 9.69     $ —       $ —       $ —       $ —  

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   109


Statements of Assets and Liabilities  (Cont.)  

(Unaudited)

September 30, 2019

 

    DoubleLine
Infrastructure
Income Fund
  DoubleLine
Ultra Short
Bond Fund
  DoubleLine
Shiller Enhanced
International CAPE®
  DoubleLine
Colony Real Estate
and Income Fund
  DoubleLine
Emerging Markets
Local Currency
Bond Fund
  DoubleLine
Income Fund

ASSETS

                       

Investments in Unaffiliated Securities, at Value *

    $ 533,555,533     $ 179,861,243     $ 50,186,824     $ 104,784,766     $ 8,576,654     $ 73,369,511

Investments in Affiliated Mutual Funds, at Value *

      —         —         2,686,692       —         —         —  

Short Term Investments *

      11,808,903       162,180,628       5,784,486       17,967,785       991,113       14,415,387

Foreign Currency, at Value *

      —         —         529,816       —         —         —  

Interest and Dividends Receivable

      2,808,299       735,159       291,879       558,274       121,294       197,543

Receivable for Fund Shares Sold

      90,192       30,000       135,779       256,310       —         —  

Receivable for Investments Sold

      —         —         101,592       780,653       —         —  

Deposit at Broker for Futures

      —         —         —         —         —         —  

Prepaid Expenses and Other Assets

      35,585       35,379       18,442       1,563       666       —  

Variation Margin Receivable

      —         —         —         —         —         —  

Net Unrealized Appreciation on Swaps

      —         —         4,447,620       21,108,283       —         —  

Due from Advisor (See Note 3)

      —         —         —         100,465       20,208       4,066

Cash

      —         —         —         —         37,727       —  

Total Assets

      548,298,512       342,842,409       64,183,130       145,558,099       9,747,662       87,986,507

LIABILITIES

                       

Payable for Investments Purchased

      —         3,490,771       202,145       3,339,522       —         7,862,985

Payable for Fund Shares Redeemed

      2,662       10,663       33,105       32,513       —         —  

Distribution Payable

      1,361,672       559,538       34,640       208,742       —         109,256

Investment Advisory Fees Payable

      224,187       41,624       18,668       —         —         —  

Sub-Transfer Agent Expenses Payable

      12,417       922       11,658       13,510       248       408

Distribution Fees Payable

      857       1,750       6,394       1,595       62       18

Administration, Fund Accounting and Custodian Fees Payable

      29,805       7,638       29,755       25,063       7,477       2,814

Transfer Agent Expenses Payable

      12,745       6,342       5,674       490       617       703

Trustees Fees Payable (See Note 8)

      7,535       2,809       1,571       3,290       505       258

Accrued Expenses

      7,921       667       8,207       82,875       2,941       10,834

Professional Fees Payable

      31,861       27,028       70,900       223,629       54,110       15,244

Variation Margin Payable

      —         —         —         —         —         —  

Net Unrealized Depreciation on Forward Currency Exchange Contracts

      —         —         1,556,815       —         —         —  

Total Liabilities

      1,691,662       4,149,752       1,979,532       3,931,229       65,960       8,002,520

Commitments and Contingencies (See Note 2)

                                                           

Net Assets

    $ 546,606,850     $ 338,692,657     $ 62,203,598     $ 141,626,870     $ 9,681,702     $ 79,983,987

NET ASSETS CONSIST OF:

                       

Paid-in Capital

    $ 529,290,567     $ 338,369,968     $ 71,866,440     $ 118,355,997     $ 10,057,688     $ 80,015,533

Undistributed (Accumulated) Net Investment Income (Loss)

      (180,418 )       59,085       6,762       (45,847 )       34,399       24,485

Accumulated Net Realized Gain (Loss) on Investments

      (2,072,421 )       50,336       (12,728,627 )       1,222,087       (163,168 )       (197,419 )

Net Unrealized Appreciation (Depreciation) on:

                                                           

Investments in Unaffiliated Securities

      19,569,122       211,212       265,245       982,439       (243,512 )       141,388

Investments in Affiliated Mutual Funds

      —         —         (95,552 )       —         —         —  

Short Term Investments

      —         2,056       1,878       3,911       —         —  

Foreign Currency

      —         —         (3,353 )       —         —         —  

Forwards

      —         —         (1,556,815 )       —         —         —  

Futures

      —         —         —         —         —         —  

Swaps

      —         —         4,447,620       21,108,283       —         —  

Translation of Other Assets and Liabilities Denominated in Foreign Currency

      —         —         —         —         (3,705 )       —  

Total Distributable Earnings (Loss) (See Note 6)

      17,316,283       322,689       (9,662,842 )       23,270,873       (375,986 )       (31,546 )

Net Assets

    $ 546,606,850     $ 338,692,657     $ 62,203,598     $ 141,626,870     $ 9,681,702     $ 79,983,987

*Identified Cost:

                                                           

Investments in Unaffiliated Securities

    $ 513,986,411     $ 179,650,031     $ 49,921,579     $ 103,802,327     $ 8,820,166     $ 73,228,123

Investments in Affiliated Mutual Funds

      —         —         2,782,244       —         —         —  

Short Term Investments

      11,808,903       162,178,572       5,782,608       17,963,874       991,113       14,415,387

Foreign Currency

      —         —         533,169       —         —         —  

Class I (unlimited shares authorized):

                       

Net Assets

    $ 543,463,785     $ 334,226,902     $ 42,561,248     $ 135,696,469     $ 9,584,945     $ 79,884,195

Shares Outstanding

      52,111,476       33,259,873       4,068,230       11,082,449       995,943       8,017,716

Net Asset Value, Offering and Redemption Price per Share

    $ 10.43     $ 10.05     $ 10.46     $ 12.24     $ 9.62     $ 9.96

Class N (unlimited shares authorized):

                       

Net Assets

    $ 3,143,065     $ 4,465,755     $ 19,642,350     $ 5,930,401     $ 96,757     $ 99,792

Shares Outstanding

      301,310       443,920       1,877,625       484,578       10,054       10,014

Net Asset Value, Offering and Redemption Price per Share

    $ 10.43     $ 10.06     $ 10.46     $ 12.24     $ 9.62     $ 9.97

Class A (unlimited shares authorized):

                       

Net Assets

    $ —       $ —       $ —       $ —       $ —       $ —  

Shares Outstanding

      —         —         —         —         —         —  

Net Asset Value, Offering Price per Share

    $ —       $ —       $ —       $ —       $ —       $ —  

Net Asset Value, Redemption Price per Share

    $ —       $ —       $ —       $ —       $ —       $ —  

Class R6 (unlimited shares authorized):

                       

Net Assets

    $ —       $ —       $ —       $ —       $ —       $ —  

Shares Outstanding

      —         —         —         —         —         —  

Net Asset Value, Offering and Redemption Price per Share

    $ —       $ —       $ —       $ —       $ —       $ —  

 

110   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Statements of Operations  

(Unaudited)

For the Period Ended September 30, 2019

 

    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

    $ 1,011,551,745     $ 220,111,349     $ 34,579,996     $ 1,520,933     $ 132,333,382     $ 11,774,135

Dividends from Affiliated Mutual Funds

      109,256       15,148,497       —         1,188,068       844,984       —  

Dividends from Unaffiliated Securities

      —         78,621       132,394       1,122,299       51,758       —  

Non-Cash Interest

      —         —         —         —         —         —  

Total Investment Income

      1,011,661,001       235,338,467       34,712,390       3,831,300       133,230,124       11,774,135

Expenses:

                                                           

Investment Advisory Fees

      105,262,889       24,292,942       4,485,930       1,057,586       12,720,205       1,016,605

Sub-Transfer Agent Expenses - Class I

      13,279,908       1,837,377       462,849       15,765       866,460       43,115

Sub-Transfer Agent Expenses - Class N

      2,035,151       133,706       79,582       —         226,731       15,327

Sub-Transfer Agent Expenses - Class A

      —         —         —         3,799       —         —  

Distribution Fees - Class N

      8,742,003       1,030,210       219,481       —         1,884,881       133,315

Distribution Fees - Class A

      —         —         —         224,542       —         —  

Administration, Fund Accounting and Custodian Fees

      3,365,176       974,184       95,278       30,175       573,841       113,781

Transfer Agent Expenses

      2,234,456       587,759       32,104       6,404       321,061       31,252

Shareholder Reporting Expenses

      840,328       157,558       36,829       7,103       99,395       13,014

Professional Fees

      531,782       195,178       63,663       56,884       108,549       45,595

Registration Fees

      481,335       136,517       63,083       24,000       143,032       38,045

Trustees Fees

      293,167       69,269       6,986       1,277       41,269       4,654

Insurance Expenses

      242,305       58,495       6,798       1,866       35,024       4,053

Miscellaneous Expenses

      212,554       50,498       30,279       7,562       32,756       76,780

Total Expenses

      137,521,054       29,523,693       5,582,862       1,436,963       17,053,204       1,535,536

Less: Investment Advisory Fees (Waived)

      (16,376 )       (3,406,064 )       —         (137,241 )       (123,962 )       —  

Less: Other Fees (Reimbursed)/Recouped

      —         —         —         29,599       —         —  

Net Expenses

      137,504,678       26,117,629       5,582,862       1,329,321       16,929,242       1,535,536

Net Investment Income (Loss)

      874,156,323       209,220,838       29,129,528       2,501,979       116,300,882       10,238,599

REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS

                       

Net Realized Gain (Loss) on:

                       

Investments in Unaffiliated Securities

      18,777,458       (12,514,581 )       (21,689,765 )       (3,464,807 )       9,252,838       (6,818,804 )

Investments in Affiliated Mutual Funds

      —         —         —         —         —         —  

Foreign Currency

      —         (130 )       (76 )       (74,094 )       (49 )       —  

Forwards

      —         —         —         38,812       —         —  

Futures

      23,277,339       —         —         2,162,831       —         —  

Swaps

      —         —         —         4,298,158       —         —  

Net Change in Unrealized Appreciation (Depreciation) on:

                       

Investments in Unaffiliated Securities

      1,132,289,589       320,268,662       34,298,353       2,804,438       32,506,331       3,851,889

Investments in Affiliated Mutual Funds

      (19,345 )       22,050,647       —         1,089,237       650,000       —  

Short Term Investments

      (168,868 )       (121,264 )       —         4,265       64,469       —  

Foreign Currency

      —         —         —         14,830       —         —  

Forwards

      —         —         —         (298,204 )       —         —  

Futures

      (11,880,495 )       —         —         (1,160,463 )       —         —  

Swaps

      —         —         —         (2,647,203 )       —         —  

Translation of Other Assets and Liabilities Denominated in Foreign Currency

      —         —         —         —         —         —  

Net Realized and Unrealized Gain (Loss) on Investments

      1,162,275,678       329,683,334       12,608,512       2,767,800       42,473,589       (2,966,915 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 2,036,432,001     $ 538,904,172     $ 41,738,040     $ 5,269,779     $ 158,774,471     $ 7,271,684

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   111


Statements of Operations  (Cont.)  

(Unaudited)

For the Period Ended September 30, 2019

 

    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

    $ 114,716,558     $ 34,586,230     $ 4,652,757     $ 586,800     $ 5,554,551     $ 11,159,084

Dividends from Affiliated Mutual Funds

      2,906,912       751,822       —         —         —         —  

Dividends from Unaffiliated Securities

      996       3,227       12,311       —         —         —  

Non-Cash Interest

      —         —         —         889,510       —         —  

Total Investment Income

      117,624,466       35,341,279       4,665,068       1,476,310       5,554,551       11,159,084

Expenses:

                                                           

Investment Advisory Fees

      14,979,800       4,303,209       569,937       219,534       2,108,534       2,848,901

Sub-Transfer Agent Expenses - Class I

      1,513,485       251,192       29,422       3,789       171,295       40,498

Sub-Transfer Agent Expenses - Class N

      406,073       47,384       3,665       1,246       22,862       495

Sub-Transfer Agent Expenses - Class A

      —         —         —         —         —         —  

Distribution Fees - Class N

      1,760,681       275,968       27,951       19,573       69,058       15,922

Distribution Fees - Class A

      —         —         —         —         —         —  

Administration, Fund Accounting and Custodian Fees

      568,956       245,955       25,946       8,989       28,515       133,900

Transfer Agent Expenses

      284,229       62,345       2,639       665       32,490       44,347

Shareholder Reporting Expenses

      163,362       29,174       6,909       694       15,807       9,435

Professional Fees

      94,544       48,913       18,674       26,732       54,663       36,370

Registration Fees

      128,461       71,840       17,639       26,483       54,125       26,643

Trustees Fees

      42,076       8,789       1,201       429       4,583       4,815

Insurance Expenses

      32,256       8,730       1,759       877       3,169       5,971

Miscellaneous Expenses

      28,061       10,201       3,667       2,295       5,765       6,699

Total Expenses

      20,001,984       5,363,700       709,409       311,306       2,570,866       3,173,996

Less: Investment Advisory Fees (Waived)

      (178,148 )       (238,164 )       —         —         —         —  

Less: Other Fees (Reimbursed)/Recouped

      —         —         (11,024 )       (6,331 )       76,341       —  

Net Expenses

      19,823,836       5,125,536       698,385       304,975       2,647,207       3,173,996

Net Investment Income (Loss)

      97,800,630       30,215,743       3,966,683       1,171,335       2,907,344       7,985,088

REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS

                       

Net Realized Gain (Loss) on:

                       

Investments in Unaffiliated Securities

      (1,506,829 )       (5,418,483 )       2,294,583       1,257,251       29,266       729,278

Investments in Affiliated Mutual Funds

      —         —         —         —         —         —  

Foreign Currency

      —         (6 )       (7 )       —         —         (253,820 )

Forwards

      —         —         —         —         —         —  

Futures

      —         —         —         1,685,184       —         —  

Swaps

      225,097,527       —         —         —         (32,410,619 )       —  

Net Change in Unrealized Appreciation (Depreciation) on:

                       

Investments in Unaffiliated Securities

      39,564,016       11,003,033       650,704       6,281,174       —         4,688,761

Investments in Affiliated Mutual Funds

      299,301       289,981       —         —         —         —  

Short Term Investments

      147,577       —         —         (3,909 )       8,794       —  

Foreign Currency

      —         —         —         —         —         236,738

Forwards

      —         —         —         —         —         —  

Futures

      —         —         —         (444,479 )       —         —  

Swaps

      15,487,703       —         —         —         (639,608 )       —  

Translation of Other Assets and Liabilities Denominated in Foreign Currency

      —         —         —         —         —         (172,999 )

Net Realized and Unrealized Gain (Loss) on Investments

      279,089,295       5,874,525       2,945,280       8,775,221       (33,012,167 )       5,227,958

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 376,889,925     $ 36,090,268     $ 6,911,963     $ 9,946,556     $ (30,104,823 )     $ 13,213,046

 

112   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

(Unaudited)

For the Period Ended September 30, 2019

 

    DoubleLine
Infrastructure
Income Fund
  DoubleLine
Ultra Short
Bond Fund
  DoubleLine
Shiller Enhanced
International CAPE®
  DoubleLine
Colony Real
Estate and
Income Fund
  DoubleLine
Emerging Markets
Local Currency
Bond Fund1
  DoubleLine
Income Fund2

INVESTMENT INCOME

                       

Income:

                                                           

Interest

    $ 10,276,851     $ 3,685,348     $ 1,062,927     $ 1,911,501     $ 114,444     $ 175,804

Dividends from Affiliated Mutual Funds

      —         —         116,357       86,733       —         —  

Dividends from Unaffiliated Securities

      —         —         —         —         —         —  

Non-Cash Interest

      —         —         —         —         —         —  

Total Investment Income

      10,276,851       3,685,348       1,179,284       1,998,234       114,444       175,804

Expenses:

                                                           

Investment Advisory Fees

      1,353,740       207,291       155,301       295,896       18,581       20,394

Sub-Transfer Agent Expenses - Class I

      14,894       8,008       15,375       13,494       245       407

Sub-Transfer Agent Expenses - Class N

      76       116       7,714       555       3       1

Sub-Transfer Agent Expenses - Class A

      —         —         —         —         —         —  

Distribution Fees - Class N

      3,499       4,863       24,853       6,418       62       18

Distribution Fees - Class A

      —         —         —         —         —         —  

Administration, Fund Accounting and Custodian Fees

      57,562       28,875       17,867       23,355       8,017       2,814

Transfer Agent Expenses

      21,872       10,405       287       3,225       693       703

Shareholder Reporting Expenses

      7,673       2,029       4,742       31,528       11,667       2,589

Professional Fees

      28,126       26,615       19,063       285,773       45,000       15,244

Registration Fees

      26,261       24,323       21,304       69,078       15,344       7,379

Trustees Fees

      3,944       1,008       811       1,831       505       258

Insurance Expenses

      4,144       1,952       1,114       589       —         74

Miscellaneous Expenses

      3,170       2,243       2,930       7,523       2,517       1,108

Total Expenses

      1,524,961       317,728       271,361       739,265       102,634       50,989

Less: Investment Advisory Fees (Waived)

      —         —         (11,497 )       (10,974 )       —         —  

Less: Other Fees (Reimbursed)/Recouped

      —         —         (44,615 )       (305,440 )       (80,277 )       (24,460 )

Net Expenses

      1,524,961       317,728       215,249       422,851       22,357       26,529

Net Investment Income (Loss)

      8,751,890       3,367,620       964,035       1,575,383       92,087       149,275

REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS

                       

Net Realized Gain (Loss) on:

                       

Investments in Unaffiliated Securities

      109,803       44,096       89,129       467,408       (160,290 )       (197,419 )

Investments in Affiliated Mutual Funds

      —         —         (79,503 )       56,192       —         —  

Foreign Currency

      —         —         2,282,527       —         (2,878 )       —  

Forwards

      —         —         (2,538,349 )       —         —         —  

Futures

      —         —         —         —         —         —  

Swaps

      —         —         493,489       155,536       —         —  

Net Change in Unrealized Appreciation (Depreciation) on:

                       

Investments in Unaffiliated Securities

      16,691,352       244,656       255,690       356,739       (243,512 )       141,388

Investments in Affiliated Mutual Funds

      —         —         57,523       (16,745 )       —         —  

Short Term Investments

      —         19,897       1,878       (4,632 )       —         —  

Foreign Currency

      —         —         (3,353 )       —         —         —  

Forwards

      —         —         (77,029 )       —         —         —  

Futures

      —         —         —         —         —         —  

Swaps

      —         —         1,231,540       9,827,704       —         —  

Translation of Other Assets and Liabilities Denominated in Foreign Currency

      —         —         (25,115 )       —         (3,705 )       —  

Net Realized and Unrealized Gain (Loss) on Investments

      16,801,155       308,649       1,688,427       10,842,202       (410,385 )       (56,031 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 25,553,045     $ 3,676,269     $ 2,652,462     $ 12,417,585     $ (318,298 )     $ 93,244

 

1 

Commenced operations on June 28, 2019.

2 

Commenced operations on September 3, 2019.

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   113


Statements of Changes in Net Assets  

September 30, 2019

 

   

DoubleLine

Total Return Bond Fund

 

DoubleLine

Core Fixed Income Fund

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019

OPERATIONS

               

Net Investment Income (Loss)

    $ 874,156,323     $ 1,643,035,050     $ 209,220,838     $ 362,063,137

Net Realized Gain (Loss) on Investments

      42,054,797       (151,551,012 )       (12,514,711 )       (89,308,613 )

Net Change in Unrealized Appreciation (Depreciation) on Investments

      1,120,220,881       532,029,096       342,198,045       123,739,576

Net Increase (Decrease) in Net Assets Resulting from Operations

      2,036,432,001       2,023,513,134       538,904,172       396,494,100

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      (833,819,574 )       (1,568,571,397 )       (195,875,927 )       (338,848,915 )

Class N

      (118,882,053 )       (246,861,429 )       (13,125,374 )       (29,195,691 )

Class R6

      (782 )       —         (571 )       —  

Total Distributions to Shareholders

      (952,702,409 )       (1,815,432,826 )       (209,001,872 )       (368,044,606 )

NET SHARE TRANSACTIONS

               

Class I

      2,636,484,435       500,888,099       825,796,979       1,260,677,792

Class N

      207,326,599       (1,614,987,568 )       (29,638,745 )       (182,676,499 )

Class R6

      127,986       —         100,571       —  

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      2,843,939,020       (1,114,099,469 )       796,258,805       1,078,001,293

Total Increase (Decrease) in Net Assets

    $ 3,927,668,612     $ (906,019,161 )     $ 1,126,161,105     $ 1,106,450,787

NET ASSETS

               

Beginning of Period

    $ 50,513,945,434     $ 51,419,964,595     $ 11,513,276,911     $ 10,406,826,124

End of Period

    $ 54,441,614,046     $ 50,513,945,434     $ 12,639,438,016     $ 11,513,276,911

 

114   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

September 30, 2019

 

   

DoubleLine

Emerging Markets

Fixed Income Fund

 

DoubleLine

Multi-Asset Growth Fund

(Consolidated)

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019

OPERATIONS

               

Net Investment Income (Loss)

    $ 29,129,528     $ 39,935,717     $ 2,501,979     $ 5,287,724

Net Realized Gain (Loss) on Investments

      (21,689,841 )       (15,160,511 )       2,960,900       (3,963,413 )

Net Change in Unrealized Appreciation (Depreciation) on Investments

      34,298,353       8,514,791       (193,100 )       (874,825 )

Net Increase (Decrease) in Net Assets Resulting from Operations

      41,738,040       33,289,997       5,269,779       449,486

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      (24,188,526 )       (36,181,890 )       (561,777 )       (1,877,578 )

Class N

      (3,883,716 )       (6,006,531 )       —         —  

Class A

      —         —         (2,227,350 )       (4,858,535 )

Total Distributions to Shareholders

      (28,072,242 )       (42,188,421 )       (2,789,127 )       (6,736,113 )

NET SHARE TRANSACTIONS

               

Class I

      57,767,033       12,352,203       (4,598,251 )       (17,113,193 )

Class N

      (1,294,329 )       (31,526,623 )       —         —  

Class A

      —         —         6,023,609       27,857,318

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      56,472,704       (19,174,420 )       1,425,358       10,744,125

Total Increase (Decrease) in Net Assets

    $ 70,138,502     $ (28,072,844 )     $ 3,906,010     $ 4,457,498

NET ASSETS

               

Beginning of Period

    $ 1,107,468,610     $ 1,135,541,454     $ 222,094,401     $ 217,636,903

End of Period

    $ 1,177,607,112     $ 1,107,468,610     $ 226,000,411     $ 222,094,401

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   115


Statements of Changes in Net Assets   (Cont.)  

September 30, 2019

 

   

DoubleLine

Low Duration Bond Fund

 

DoubleLine

Floating Rate Fund

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019

OPERATIONS

               

Net Investment Income (Loss)

    $ 116,300,882     $ 185,616,948     $ 10,238,599     $ 30,695,387

Net Realized Gain (Loss) on Investments

      9,252,789       (18,157,813 )       (6,818,804 )       (9,870,401 )

Net Change in Unrealized Appreciation (Depreciation) on Investments

      33,220,800       26,996,492       3,851,889       (9,467,309 )

Net Increase (Decrease) in Net Assets Resulting from Operations

      158,774,471       194,455,627       7,271,684       11,357,677

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      (93,768,810 )       (146,238,970 )       (7,747,696 )       (23,730,667 )

Class N

      (22,765,333 )       (41,061,794 )       (2,664,129 )       (6,968,852 )

Class R6

      (520 )       —         —         —  

Total Distributions to Shareholders

      (116,534,663 )       (187,300,764 )       (10,411,825 )       (30,699,519 )

NET SHARE TRANSACTIONS

               

Class I

      569,915,402       1,379,133,038       (140,610,488 )       (55,512,629 )

Class N

      103,313,268       41,194,669       (43,042,212 )       (24,377,357 )

Class R6

      100,520       —         —         —  

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      673,329,190       1,420,327,707       (183,652,700 )       (79,889,986 )

Total Increase (Decrease) in Net Assets

    $ 715,568,998     $ 1,427,482,570     $ (186,792,841 )     $ (99,231,828 )

NET ASSETS

               

Beginning of Period

    $ 6,936,328,461     $ 5,508,845,891     $ 474,436,326     $ 573,668,154

End of Period

    $ 7,651,897,459     $ 6,936,328,461     $ 287,643,485     $ 474,436,326

 

116   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

September 30, 2019

 

   

DoubleLine

Shiller Enhanced CAPE®

 

DoubleLine

Flexible Income Fund

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019

OPERATIONS

               

Net Investment Income (Loss)

    $ 97,800,630     $ 159,694,872     $ 30,215,743     $ 53,506,204

Net Realized Gain (Loss) on Investments

      223,590,698       283,685,683       (5,418,489 )       (6,354,590 )

Net Change in Unrealized Appreciation (Depreciation) on Investments

      55,498,597       96,022,901       11,293,014       (11,296,599 )

Net Increase (Decrease) in Net Assets Resulting from Operations

      376,889,925       539,403,456       36,090,268       35,855,015

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      (79,236,795 )       (548,723,592 )       (26,625,041 )       (48,388,448 )

Class N

      (19,546,858 )       (143,615,446 )       (4,791,650 )       (8,833,685 )

Class R6

      (566 )       —         (726 )       —  

Total Distributions to Shareholders

      (98,784,219 )       (692,339,038 )       (31,417,417 )       (57,222,133 )

NET SHARE TRANSACTIONS

               

Class I

      1,017,564,519       689,123,688       102,975,452       98,867,605

Class N

      268,689,066       221,010,054       35,729,913       15,774,561

Class R6

      119,648       —         100,726       —  

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      1,286,373,233       910,133,742       138,806,091       114,642,166

Total Increase (Decrease) in Net Assets

    $ 1,564,478,939     $ 757,198,160     $ 143,478,942     $ 93,275,048

NET ASSETS

               

Beginning of Period

    $ 5,813,461,415     $ 5,056,263,255     $ 1,295,859,426     $ 1,202,584,378

End of Period

    $  7,377,940,354     $ 5,813,461,415     $  1,439,338,368     $ 1,295,859,426

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   117


Statements of Changes in Net Assets   (Cont.)  

September 30, 2019

 

   

DoubleLine

Low Duration

Emerging Markets

Fixed Income Fund

 

DoubleLine

Long Duration

Total Return Bond Fund

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019

OPERATIONS

               

Net Investment Income (Loss)

    $ 3,966,683     $ 5,491,494     $ 1,171,335     $ 2,233,152

Net Realized Gain (Loss) on Investments

      2,294,576       (1,732,726 )       2,942,435       (670,103 )

Net Change in Unrealized Appreciation (Depreciation) on Investments

      650,704       4,442,364       5,832,786       2,135,991

Net Increase (Decrease) in Net Assets Resulting from Operations

      6,911,963       8,201,132       9,946,556       3,699,040

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      (3,509,203 )       (4,939,700 )       (974,515 )       (1,879,825 )

Class N

      (344,112 )       (864,730 )       (192,271 )       (352,050 )

Total Distributions to Shareholders

      (3,853,315 )       (5,804,430 )       (1,166,786 )       (2,231,875 )

NET SHARE TRANSACTIONS

               

Class I

      5,880,117       53,033,957       5,027,774       9,528,057

Class N

      (6,808,782 )       (33,801,178 )       1,087,910       3,174,269

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      (928,665 )       19,232,779       6,115,684       12,702,326

Total Increase (Decrease) in Net Assets

    $ 2,129,983     $ 21,629,481     $ 14,895,454     $ 14,169,491

NET ASSETS

               

Beginning of Period

    $  221,659,622     $ 200,030,141     $ 80,542,160     $ 66,372,669

End of Period

    $ 223,789,605     $ 221,659,622     $  95,437,614     $ 80,542,160

 

118   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

September 30, 2019

 

   

DoubleLine

Strategic Commodity Fund
(Consolidated)

 

DoubleLine

Global Bond Fund

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019

OPERATIONS

               

Net Investment Income (Loss)

    $ 2,907,344     $ 5,462,268     $ 7,985,088     $ 10,095,568

Net Realized Gain (Loss) on Investments

      (32,381,353 )       (31,046,936 )       475,458       992,561

Net Change in Unrealized Appreciation (Depreciation) on Investments

      (630,814 )       2,499,993       4,752,500       (30,055,529 )

Net Increase (Decrease) in Net Assets Resulting from Operations

      (30,104,823 )       (23,084,675 )       13,213,046       (18,967,400 )

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      —         (4,969,784 )       (8,898,806 )       (9,558,847 )

Class N

      —         (611,399 )       (46,166 )       (267,873 )

Total Distributions to Shareholders

      —         (5,581,183 )       (8,944,972 )       (9,826,720 )

NET SHARE TRANSACTIONS

               

Class I

      (42,970,787 )       255,573,863       102,012,079       417,362,128

Class N

      (11,071,285 )       1,711,831       (11,557,589 )       (11,374,663 )

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      (54,042,072 )       257,285,694       90,454,490       405,987,465

Total Increase (Decrease) in Net Assets

    $  (84,146,895 )     $ 228,619,836     $ 94,722,564     $ 377,193,345

NET ASSETS

               

Beginning of Period

    $  510,209,965     $ 281,590,129     $  1,069,945,557     $ 692,752,212

End of Period

    $ 426,063,070     $ 510,209,965     $ 1,164,668,121     $ 1,069,945,557

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   119


Statements of Changes in Net Assets   (Cont.)  

September 30, 2019

 

   

DoubleLine

Infrastructure Income Fund

 

DoubleLine

Ultra Short Bond Fund

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019

OPERATIONS

               

Net Investment Income (Loss)

    $ 8,751,890     $ 17,804,433     $ 3,367,620     $ 5,911,425

Net Realized Gain (Loss) on Investments

      109,803       (1,975,791 )       44,096       110,903

Net Change in Unrealized Appreciation (Depreciation) on Investments

      16,691,352       7,430,751       264,553       (23,777 )

Net Increase (Decrease) in Net Assets Resulting from Operations

      25,553,045       23,259,393       3,676,269       5,998,551

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      (8,889,101 )       (17,370,012 )       (3,316,625 )       (5,942,421 )

Class N

      (43,137 )       (319,001 )       (41,859 )       (34,746 )

Total Distributions to Shareholders

      (8,932,238 )       (17,689,013 )       (3,358,484 )       (5,977,167 )

NET SHARE TRANSACTIONS

               

Class I

      (8,693,518 )       (2,516,052 )       98,836,606       68,801,863

Class N

      386,441       (16,544,178 )       1,943,762       2,239,031

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      (8,307,077 )       (19,060,230 )       100,780,368       71,040,894

Total Increase (Decrease) in Net Assets

    $ 8,313,730     $ (13,489,850 )     $ 101,098,153     $ 71,062,278

NET ASSETS

               

Beginning of Period

    $ 538,293,120     $ 551,782,970     $ 237,594,504     $ 166,532,226

End of Period

    $  546,606,850     $ 538,293,120     $  338,692,657     $ 237,594,504

 

120   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

September 30, 2019

 

   

DoubleLine

Shiller Enhanced

International CAPE®

 

DoubleLine

Colony Real Estate and

Income Fund

    Period Ended
September 30, 2019
(Unaudited)
  Year Ended
March 31, 2019
  Period Ended
September 30, 2019
(Unaudited)
  Period Ended
March 31, 20191

OPERATIONS

               

Net Investment Income (Loss)

    $ 964,035     $ 2,465,169     $ 1,575,383     $ 692,911

Net Realized Gain (Loss) on Investments

      247,293       (8,895,047 )       679,136       543,349

Net Change in Unrealized Appreciation (Depreciation) on Investments

      1,441,134       4,466,563       10,163,066       11,931,567

Net Increase (Decrease) in Net Assets Resulting from Operations

      2,652,462       (1,963,315 )       12,417,585       13,167,827

DISTRIBUTIONS TO SHAREHOLDERS

               

From Earnings

                                       

Class I

      (675,106 )       (4,143,799 )       (1,676,264 )       (565,396 )

Class N

      (292,527 )       (1,977,256 )       (62,366 )       (10,513 )

Total Distributions to Shareholders

      (967,633 )       (6,121,055 )       (1,738,630 )       (575,909 )

NET SHARE TRANSACTIONS

               

Class I

      (1,168,848 )       (30,024,572 )       4,262,073       108,790,913

Class N

      (886,049 )       (6,638,864 )       1,137,433       4,165,578

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      (2,054,897 )       (36,663,436 )       5,399,506       112,956,491

Total Increase (Decrease) in Net Assets

    $ (370,068 )     $ (44,747,806 )     $ 16,078,461     $ 125,548,409

NET ASSETS

               

Beginning of Period

    $ 62,573,666     $ 107,321,472     $ 125,548,409     $ —  

End of Period

    $ 62,203,598     $ 62,573,666     $ 141,626,870     $ 125,548,409

 

1 

Commenced operations on December 17, 2018.

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   121


Statements of Changes in Net Assets   (Cont.)  

September 30, 2019

 

    DoubleLine
Emerging Markets Local
Currency Bond Fund
 

DoubleLine

Income Fund

    Period Ended
September 30, 20191
(Unaudited)
  Period Ended
September 30, 20192
(Unaudited)

OPERATIONS

       

Net Investment Income (Loss)

    $ 92,087     $ 149,275

Net Realized Gain (Loss) on Investments

      (163,168 )       (197,419 )

Net Change in Unrealized Appreciation (Depreciation) on Investments

      (247,217 )       141,388

Net Increase (Decrease) in Net Assets Resulting from Operations

      (318,298 )       93,244

DISTRIBUTIONS TO SHAREHOLDERS

       

From Earnings

                   

Class I

      (57,170 )       (124,651 )

Class N

      (518 )       (139 )

Total Distributions to Shareholders

      (57,688 )       (124,790 )

NET SHARE TRANSACTIONS

       

Class I

      9,957,170       79,915,394

Class N

      100,518       100,139

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      10,057,688       80,015,533

Total Increase (Decrease) in Net Assets

    $ 9,681,702     $ 79,983,987

NET ASSETS

       

Beginning of Period

    $ —       $ —  

End of Period

    $ 9,681,702     $  79,983,987

 

1 

Commenced operations on June 28, 2019.

2 

Commenced operations on September 3, 2019.

 

122   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


Financial Highlights  

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period

Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
   

Total

Return3

   

Net Assets,
End of Period

(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and

Other Fees

(Reimbursed)/

Recouped4

   

Expenses

After
Investment
Advisory

Fees
(Waived)4

   

Expenses

After
Advisory Fees
(Waived) and

Other Fees

(Reimbursed)/

Recouped4

   

Net

Investment
Income

(Loss)4

 
  DoubleLine Total Return Bond Fund - Class I:  
  9/30/2019     $ 10.53       0.18       0.23       0.41       (0.19     —         (0.19   $ 10.75       3.96   $ 47,259,697       0.49     0.49     0.49     3.36
  3/31/2019     $ 10.48       0.36       0.08       0.44       (0.39     —         (0.39   $ 10.53       4.31   $ 43,682,910       0.48     0.48     0.48     3.39
  3/31/2018     $ 10.63       0.32       (0.09     0.23       (0.38     —         (0.38   $ 10.48       2.19   $ 42,992,354       0.47     0.47     0.47     3.04
  3/31/2017     $ 10.87       0.27       (0.11     0.16       (0.40     —         (0.40   $ 10.63       1.46   $ 44,379,730       0.47     0.47     0.47     2.45
  3/31/2016     $ 11.04       0.35       (0.09     0.26       (0.43     —         (0.43   $ 10.87       2.45   $ 46,082,294       0.47     0.47     0.47     3.29
  3/31/2015     $ 10.90       0.41       0.22       0.63       (0.49     —         (0.49   $ 11.04       5.93   $ 36,286,609       0.47     0.47     0.47     3.74
  DoubleLine Total Return Bond Fund - Class N:  
  9/30/2019     $ 10.53       0.17       0.23       0.40       (0.18     —         (0.18   $ 10.75       3.83   $ 7,181,789       0.74     0.74     0.74     3.10
  3/31/2019     $ 10.48       0.33       0.08       0.41       (0.36     —         (0.36   $ 10.53       4.05   $ 6,831,035       0.73     0.73     0.73     3.14
  3/31/2018     $ 10.63       0.30       (0.09     0.21       (0.36     —         (0.36   $ 10.48       1.93   $ 8,427,611       0.72     0.72     0.72     2.79
  3/31/2017     $ 10.87       0.24       (0.11     0.13       (0.37     —         (0.37   $ 10.63       1.21   $ 9,974,264       0.72     0.72     0.72     2.20
  3/31/2016     $ 11.04       0.33       (0.09     0.24       (0.41     —         (0.41   $ 10.87       2.20   $ 11,750,754       0.72     0.72     0.72     3.04
  3/31/2015     $ 10.89       0.40       0.22       0.62       (0.47     —         (0.47   $ 11.04       5.76   $ 9,439,999       0.72     0.72     0.72     3.50
  DoubleLine Total Return Bond Fund - Class R6:  
  9/30/2019 2    $ 10.66       0.06       0.10       0.16       (0.07     —         (0.07   $ 10.75       1.46   $ 129       0.43     0.43     0.43     3.23
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

          11%       28%       22%       22%       15%       13%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on July 31, 2019. Total return is based on operations for a period that is less than six months.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period

Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
   

Net Assets,

End of Period
(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and

Other Fees

(Reimbursed)/

Recouped4

   

Expenses

After
Investment
Advisory

Fees

(Waived)4

   

Expenses

After

Advisory Fees
(Waived) and

Other Fees

(Reimbursed)/

Recouped4

   

Net

Investment
Income

(Loss)4

 
  DoubleLine Core Fixed Income Fund - Class I:  
  9/30/2019     $ 10.83       0.19       0.30       0.49       (0.19     —         (0.19   $ 11.13       4.55   $ 11,805,503       0.47     0.41     0.41     3.46
  3/31/2019     $ 10.81       0.37       0.02       0.39       (0.37     —         (0.37   $ 10.83       3.71   $ 10,672,087       0.47     0.42     0.42     3.42
  3/31/2018     $ 10.86       0.31       (0.04     0.27       (0.32     —         (0.32   $ 10.81       2.51   $ 9,381,508       0.47     0.42     0.42     2.86
  3/31/2017     $ 10.87       0.29       0.01       0.30       (0.31     —         (0.31   $ 10.86       2.80   $ 7,034,665       0.47     0.44     0.44     2.72
  3/31/2016     $ 11.10       0.36       (0.22     0.14       (0.37     —         (0.37   $ 10.87       1.31   $ 5,114,336       0.47     0.46     0.46     3.17
  3/31/2015     $ 10.88       0.39       0.26       0.65       (0.43     —         (0.43   $ 11.10       6.07   $ 3,406,628       0.48     0.46     0.47     3.60
  DoubleLine Core Fixed Income Fund - Class N:  
  9/30/2019     $ 10.82       0.18       0.30       0.48       (0.18     —         (0.18   $ 11.12       4.42   $ 833,834       0.72     0.66     0.66     3.21
  3/31/2019     $ 10.80       0.34       0.02       0.36       (0.34     —         (0.34   $ 10.82       3.45   $ 841,190       0.72     0.67     0.67     3.15
  3/31/2018     $ 10.85       0.29       (0.04     0.25       (0.30     —         (0.30   $ 10.80       2.26   $ 1,025,318       0.72     0.67     0.67     2.61
  3/31/2017     $ 10.86       0.27       0.01       0.28       (0.29     —         (0.29   $ 10.85       2.54   $ 1,074,854       0.72     0.69     0.69     2.47
  3/31/2016     $ 11.10       0.32       (0.22     0.10       (0.34     —         (0.34   $ 10.86       0.97   $ 952,919       0.72     0.71     0.71     2.92
  3/31/2015     $ 10.87       0.37       0.26       0.63       (0.40     —         (0.40   $ 11.10       5.91   $ 612,066       0.73     0.71     0.72     3.39
  DoubleLine Core Fixed Income Fund - Class R6:  
  9/30/2019 2    $ 11.05       0.06       0.08       0.14       (0.06     —         (0.06   $ 11.13       1.29   $ 101       0.42     0.37     0.37     3.35
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

          18%       66%       77%       81%       70%       65%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on July 31, 2019. Total return is based on operations for a period that is less than six months.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   123


Financial Highlights  (Cont.)  

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return2
    Net Assets,
End of Period
(000’s)
   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped3

    Expenses
After
Investment
Advisory
Fees
(Waived)3
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped3

    Net
Investment
Income
(Loss)3
 
  DoubleLine Emerging Markets Fixed Income Fund - Class I:  
  9/30/2019     $  10.34       0.27       0.11       0.38       (0.25     —         (0.25   $  10.47       3.68   $ 1,012,602       0.90     0.90     0.90     4.91
  3/31/2019     $ 10.42       0.41       (0.06     0.35       (0.41     (0.02     (0.43   $ 10.34       3.52   $ 943,368       0.89     0.89     0.89     3.99
  3/31/2018     $ 10.50       0.33       0.02       0.35       (0.34     (0.09     (0.43   $ 10.42       3.30   $ 937,978       0.88     0.88     0.88     3.12
  3/31/2017     $ 9.68       0.45       0.81       1.26       (0.44     —         (0.44   $ 10.50       13.19   $ 775,961       0.92     0.92     0.92     4.28
  3/31/2016     $ 10.23       0.49       (0.54     (0.05     (0.50     —         (0.50   $ 9.68       (0.48 )%    $ 548,221       0.90     0.90     0.90     4.92
  3/31/2015     $ 10.48       0.55       (0.24     0.31       (0.56     —         (0.56   $ 10.23       2.90   $ 539,542       0.90     0.90     0.90     5.20
  DoubleLine Emerging Markets Fixed Income Fund - Class N:  
  9/30/2019     $ 10.34       0.25       0.11       0.36       (0.23     —         (0.23   $ 10.47       3.54   $ 165,005       1.15     1.15     1.15     4.66
  3/31/2019     $ 10.43       0.37       (0.06     0.31       (0.38     (0.02     (0.40   $ 10.34       3.16   $ 164,101       1.14     1.14     1.14     3.66
  3/31/2018     $ 10.50       0.31       0.02       0.33       (0.31     (0.09     (0.40   $ 10.43       3.14   $ 197,564       1.13     1.13     1.13     2.93
  3/31/2017     $ 9.68       0.42       0.81       1.23       (0.41     —         (0.41   $ 10.50       12.91   $ 231,087       1.17     1.17     1.17     4.03
  3/31/2016     $ 10.23       0.46       (0.54     (0.08     (0.47     —         (0.47   $ 9.68       (0.73 )%    $ 201,290       1.15     1.15     1.15     4.67
  3/31/2015     $ 10.48       0.52       (0.24     0.28       (0.53     —         (0.53   $ 10.23       2.64   $ 233,347       1.15     1.15     1.15     4.95
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes2

          14%       66%       78%       108%       75%       67%  
    

   

   

1   Calculated based on average shares outstanding during the period.


2   Not annualized for periods less than one year.

3   Annualized for periods less than one year.

    

    

    

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return2, 3
   

Net Assets,
End of Period

(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Expenses
After
Investment
Advisory
Fees

(Waived)4

   

Expenses
After
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

    Net
Investment
Income
(Loss)4
 
  DoubleLine Multi-Asset Growth Fund (Consolidated) - Class I:  
  9/30/2019     $ 9.17       0.11       0.11       0.22       (0.12     —         (0.12   $ 9.27       2.45   $ 40,381       1.09     0.97     0.99     2.43
  3/31/2019     $ 9.43       0.24       (0.21     0.03       (0.29     —         (0.29   $ 9.17       0.42   $ 44,493       1.12     1.00     1.03     2.58
  3/31/2018     $ 9.84       0.23       0.43       0.66       (0.27     (0.80     (1.07   $ 9.43       6.80   $ 63,651       1.12     1.01     1.02     2.31
  3/31/2017     $ 8.85       0.18       1.09       1.27       (0.28     —         (0.28   $ 9.84       14.63   $ 49,380       1.21     1.10     1.09     1.87
  3/31/2016     $ 9.81       0.24       (0.65     (0.41     (0.44     (0.11     (0.55   $ 8.85       (4.29 )%    $ 42,075       1.25     1.12     1.07     2.72
  3/31/2015     $ 10.10       0.28       0.32       0.60       (0.40     (0.49     (0.89   $ 9.81       6.22   $ 42,796       1.30     1.09     0.99     2.87
  DoubleLine Multi-Asset Growth Fund (Consolidated) - Class A:  
  9/30/2019     $ 9.13       0.10       0.11       0.21       (0.11     —         (0.11   $ 9.23       2.34   $ 185,619       1.34     1.22     1.24     2.20
  3/31/2019     $ 9.40       0.21       (0.21     —         (0.27     —         (0.27   $ 9.13       0.07   $ 177,602       1.37     1.24     1.28     2.28
  3/31/2018     $ 9.81       0.21       0.43       0.64       (0.25     (0.80     (1.05   $ 9.40       6.57   $ 153,986       1.37     1.26     1.27     2.08
  3/31/2017     $ 8.83       0.15       1.09       1.24       (0.26     —         (0.26   $ 9.81       14.27   $ 119,435       1.46     1.35     1.34     1.62
  3/31/2016     $ 9.78       0.22       (0.65     (0.43     (0.41     (0.11     (0.52   $ 8.83       (4.42 )%    $ 113,806       1.50     1.37     1.32     2.47
  3/31/2015     $ 10.07       0.26       0.32       0.58       (0.38     (0.49     (0.87   $ 9.78       5.96   $ 84,307       1.55     1.34     1.24     2.66
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

          8%       45%       83%       59%       56%       86%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Total return does not include the effects of sales charges for Class A.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

 

124   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  
For the
Year or
Period
Ended
    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Expenses
After
Investment
Advisory
Fees
(Waived)4
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

   

Net

Investment
Income

(Loss)4

 
  DoubleLine Low Duration Bond Fund - Class I:  
  9/30/2019     $ 9.97       0.16       0.06       0.22       (0.16     —         (0.16   $ 10.03       2.25   $ 6,058,971       0.42     0.41     0.41     3.25
  3/31/2019     $ 9.97       0.31       —         0.31       (0.31     —         (0.31   $ 9.97       3.13   $ 5,455,532       0.42     0.41     0.41     3.10
  3/31/2018     $ 10.04       0.22       (0.04     0.18       (0.25     —         (0.25   $ 9.97       1.82   $ 4,069,943       0.42     0.41     0.41     2.26
  3/31/2017     $ 9.99       0.24       0.06       0.30       (0.25     —         (0.25   $ 10.04       2.99   $ 2,756,498       0.43     0.42     0.42     2.25
  3/31/2016     $ 10.14       0.22       (0.12     0.10       (0.25     —         (0.25   $ 9.99       1.00   $ 1,722,942       0.43     0.42     0.43     2.30
  3/31/2015     $ 10.19       0.22       (0.04     0.18       (0.23     —         (0.23   $ 10.14       1.76   $ 1,166,438       0.45     0.44     0.46     2.16
  DoubleLine Low Duration Bond Fund - Class N:  
  9/30/2019     $ 9.96       0.15       0.06       0.21       (0.15     —         (0.15   $ 10.02       2.13   $ 1,592,826       0.67     0.66     0.66     3.00
  3/31/2019     $ 9.96       0.28       —         0.28       (0.28     —         (0.28   $ 9.96       2.87   $ 1,480,796       0.67     0.66     0.66     2.83
  3/31/2018     $ 10.03       0.20       (0.04     0.16       (0.23     —         (0.23   $ 9.96       1.57   $ 1,438,903       0.67     0.66     0.66     1.99
  3/31/2017     $ 9.99       0.20       0.06       0.26       (0.22     —         (0.22   $ 10.03       2.64   $ 1,540,448       0.68     0.67     0.67     2.00
  3/31/2016     $ 10.13       0.21       (0.12     0.09       (0.23     —         (0.23   $ 9.99       0.85   $ 1,162,303       0.68     0.67     0.68     2.05
  3/31/2015     $ 10.18       0.19       (0.04     0.15       (0.20     —         (0.20   $ 10.13       1.51   $ 1,148,730       0.70     0.69     0.71     1.90
  DoubleLine Low Duration Bond Fund - Class R6:  
  9/30/2019 2    $ 10.03       0.05       —         0.05       (0.05     —         (0.05   $ 10.03       0.52   $ 101       0.39     0.38     0.38     3.13
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

          29%       54%       62%       69%       66%       61%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on July 31, 2019. Total return is based on operations for a period that is less than six months.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or
Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return2
    Net Assets,
End of Period
(000’s)
    Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/
Recouped3
    Expenses
After
Investment
Advisory
Fees
(Waived)3
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped3

    Net
Investment
Income
(Loss)3
 
  DoubleLine Floating Rate Fund - Class I:  
  9/30/2019     $ 9.65       0.25       (0.08     0.17       (0.26     —         (0.26   $ 9.56       1.76   $ 215,250       0.69     0.69     0.69     5.11
  3/31/2019     $ 9.94       0.49       (0.28     0.21       (0.50     —         (0.50   $ 9.65       2.15   $ 358,062       0.64     0.64     0.64     5.00
  3/31/2018     $ 9.90       0.41       0.02       0.43       (0.39     —         (0.39   $ 9.94       4.39   $ 428,379       0.65     0.65     0.65     3.98
  3/31/2017     $ 9.77       0.35       0.13       0.48       (0.35     —         (0.35   $ 9.90       4.99   $ 297,060       0.68     0.68     0.68     3.60
  3/31/2016     $ 10.14       0.36       (0.36     —         (0.37     —         (0.37   $ 9.77       0.02   $ 229,612       0.65     0.65     0.65     3.70
  3/31/2015     $ 10.15       0.34       —         0.34       (0.34     (0.01     (0.35   $ 10.14       3.36   $ 310,368       0.67     0.67     0.70     3.35
  DoubleLine Floating Rate Fund - Class N:  
  9/30/2019     $ 9.67       0.23       (0.08     0.15       (0.25     —         (0.25   $ 9.57       1.52   $ 72,393       0.94     0.94     0.94     4.84
  3/31/2019     $ 9.95       0.47       (0.28     0.19       (0.47     —         (0.47   $ 9.67       1.99   $ 116,374       0.88     0.88     0.88     4.74
  3/31/2018     $ 9.92       0.37       0.02       0.39       (0.36     —         (0.36   $ 9.95       4.02   $ 145,289       0.90     0.90     0.90     3.71
  3/31/2017     $ 9.79       0.33       0.13       0.46       (0.33     —         (0.33   $ 9.92       4.73   $ 130,944       0.93     0.93     0.93     3.35
  3/31/2016     $ 10.16       0.34       (0.36     (0.02     (0.35     —         (0.35   $ 9.79       (0.23 )%    $ 72,281       0.90     0.90     0.90     3.45
  3/31/2015     $ 10.16       0.32       —         0.32       (0.31     (0.01     (0.32   $ 10.16       3.19   $ 51,103       0.92     0.92     0.95     3.06
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes2

          29%       88%       77%       106%       70%       84%  
    

   

   

1   Calculated based on average shares outstanding during the period.


2   Not annualized for periods less than one year.

3   Annualized for periods less than one year.

    

    

    

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   125


Financial Highlights  (Cont.)  

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period

Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
   

Total

Return3

   

Net Assets,

End of Period
(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Expenses

After
Investment
Advisory

Fees

(Waived)4

   

Expenses

After

Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Net

Investment
Income

(Loss)4

 
  DoubleLine Shiller Enhanced CAPE® - Class I:  
  9/30/2019     $ 14.81       0.24       0.67       0.91       (0.23     —         (0.23   $ 15.49       6.17   $ 5,814,581       0.55     0.54     0.54     2.99
  3/31/2019     $ 15.16       0.45       1.19       1.64       (0.46     (1.53     (1.99   $ 14.81       11.78   $ 4,577,386       0.56     0.55     0.55     2.99
  3/31/2018     $ 14.76       0.35       1.46       1.81       (0.35     (1.06     (1.41   $ 15.16       12.40   $ 4,013,700       0.55     0.54     0.54     2.17
  3/31/2017     $ 12.32       0.27       2.72       2.99       (0.28     (0.27     (0.55   $ 14.76       24.75   $ 2,432,725       0.55     0.55     0.60     2.01
  3/31/2016     $ 12.13       0.32       0.40       0.72       (0.34     (0.19     (0.53   $ 12.32       6.09   $ 673,308       0.63     0.63     0.63     2.66
  3/31/2015     $ 10.68       0.34       1.45       1.79       (0.34     —   5      (0.34   $ 12.13       16.96   $ 301,580       0.82     0.79     0.62     2.89
  DoubleLine Shiller Enhanced CAPE® - Class N:  
  9/30/2019     $ 14.80       0.21       0.67       0.88       (0.21     —         (0.21   $ 15.47       5.97   $ 1,563,241       0.80     0.79     0.79     2.74
  3/31/2019     $ 15.14       0.42       1.19       1.61       (0.42     (1.53     (1.95   $ 14.80       11.59   $ 1,236,075       0.81     0.80     0.80     2.75
  3/31/2018     $ 14.75       0.30       1.46       1.76       (0.31     (1.06     (1.37   $ 15.14       12.06   $ 1,042,563       0.80     0.79     0.79     1.91
  3/31/2017     $ 12.31       0.24       2.72       2.96       (0.25     (0.27     (0.52   $ 14.75       24.48   $ 758,400       0.80     0.80     0.85     1.76
  3/31/2016     $ 12.12       0.29       0.40       0.69       (0.31     (0.19     (0.50   $ 12.31       5.84   $ 186,985       0.88     0.88     0.88     2.41
  3/31/2015     $ 10.68       0.30       1.45       1.75       (0.31     —   5      (0.31   $ 12.12       16.60   $ 78,834       1.07     1.04     0.87     2.63
  DoubleLine Shiller Enhanced CAPE® - Class R6:  
  9/30/2019 2    $ 15.69       0.07       (0.20     (0.13     (0.07     —         (0.07   $ 15.49       (0.80 )%    $ 118       0.48     0.48     0.48     2.90
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

          24%       55%       60%       68%       67%       68%  
  

1 Calculated based on average shares outstanding during the period.


2 Commenced operations on July 31, 2019. Total return is based on operations for a period that is less than six months.

3 Not annualized for periods less than one year.

4 Annualized for periods less than one year.

5 Less than $0.005 per share.

  

  

  

  

  

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period

Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
   

Total

Return3

   

Net Assets,

End of Period
(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Expenses

After
Investment
Advisory

Fees

(Waived)4

   

Expenses

After

Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Net

Investment
Income

(Loss)4

 
  DoubleLine Flexible Income Fund - Class I:  
  9/30/2019     $ 9.65       0.21       0.05       0.26       (0.22     —         (0.22   $ 9.69       2.72   $ 1,195,390       0.73     0.70     0.70     4.39
  3/31/2019     $ 9.81       0.42       (0.14     0.28       (0.44     —         (0.44   $ 9.65       2.95   $ 1,088,368       0.74     0.72     0.72     4.26
  3/31/2018     $ 9.82       0.35       0.03       0.38       (0.39     —         (0.39   $ 9.81       3.94   $ 1,007,491       0.76     0.74     0.77     3.61
  3/31/2017     $ 9.55       0.32       0.29       0.61       (0.34     —         (0.34   $ 9.82       6.48   $ 593,153       0.80     0.76     0.76     3.36
  3/31/2016     $ 9.99       0.36       (0.40     (0.04     (0.40     —         (0.40   $ 9.55       (0.43 )%    $ 160,590       0.87     0.82     0.77     3.75
  3/31/2015 2    $ 10.00       0.42       (0.04     0.38       (0.39     —         (0.39   $ 9.99       3.85   $ 57,511       1.33     1.27     0.76     4.26
  DoubleLine Flexible Income Fund - Class N:  
  9/30/2019     $ 9.64       0.20       0.05       0.25       (0.21     —         (0.21   $ 9.68       2.59   $ 243,848       0.98     0.95     0.95     4.14
  3/31/2019     $ 9.81       0.39       (0.14     0.25       (0.42     —         (0.42   $ 9.64       2.59   $ 207,491       0.99     0.97     0.97     4.01
  3/31/2018     $ 9.82       0.33       0.03       0.36       (0.37     —         (0.37   $ 9.81       3.69   $ 195,093       1.01     0.99     1.02     3.36
  3/31/2017     $ 9.55       0.30       0.29       0.59       (0.32     —         (0.32   $ 9.82       6.23   $ 147,095       1.05     1.01     1.01     3.11
  3/31/2016     $ 9.99       0.34       (0.40     (0.06     (0.38     —         (0.38   $ 9.55       (0.66 )%    $ 62,880       1.12     1.07     1.02     3.50
  3/31/2015 2    $ 10.00       0.40       (0.04     0.36       (0.37     —         (0.37   $ 9.99       3.63   $ 27,417       1.58     1.52     1.01     4.08
  DoubleLine Flexible Income Fund - Class R6:  
  9/30/2019 5    $ 9.74       0.06       (0.04     0.02       (0.07     —         (0.07   $ 9.69       0.21   $ 100       0.66     0.65     0.65     3.95
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

          15%       44%       41%       58%       42%       55%  
  

1 Calculated based on average shares outstanding during the period.


2 Commenced operations on April 7, 2014.

3 Not annualized for periods less than one year.

4 Annualized for periods less than one year.

5 Commenced operations on July 31, 2019. Total return is based on operations for a period that is less than six months.

  

  

  

  

  

 

126   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period

Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
   

Total

Return3

   

Net Assets,

End of Period
(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Expenses

After
Investment
Advisory

Fees
(Waived)4

   

Expenses
After
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Net

Investment
Income

(Loss)4

 
  DoubleLine Low Duration Emerging Markets Fixed Income Fund - Class I:  
  9/30/2019     $ 9.80       0.16       0.14       0.30       (0.17     —         (0.17   $ 9.93       3.07   $ 206,169       0.60     0.60     0.59     3.50
  3/31/2019     $ 9.70       0.28       0.12       0.40       (0.29     (0.01     (0.30   $ 9.80       4.22   $ 197,585       0.65     0.65     0.59     3.02
  3/31/2018     $ 9.85       0.24       (0.11     0.13       (0.26     (0.02     (0.28   $ 9.70       1.37   $ 142,174       0.89     0.89     0.59     2.50
  3/31/2017     $ 9.59       0.29       0.27       0.56       (0.29     (0.01     (0.30   $ 9.85       5.95   $ 133,047       0.74     0.74     0.59     3.03
  3/31/2016     $ 9.83       0.33       (0.23     0.10       (0.34     —         (0.34   $ 9.59       1.06   $ 66,797       0.84     0.84     0.59     3.44
  3/31/2015 2    $  10.00       0.37       (0.17     0.20       (0.36     (0.01     (0.37   $ 9.83       1.92   $ 64,891       0.91     0.91     0.59     3.80
  DoubleLine Low Duration Emerging Markets Fixed Income Fund - Class N:  
  9/30/2019     $ 9.81       0.16       0.14       0.30       (0.16     —         (0.16   $  9.95       3.03   $ 17,621       0.85     0.85     0.84     3.28
  3/31/2019     $ 9.71       0.25       0.12       0.37       (0.26     (0.01     (0.27   $ 9.81       3.93   $ 24,075       0.93     0.93     0.84     2.54
  3/31/2018     $ 9.86       0.22       (0.11     0.11       (0.24     (0.02     (0.26   $ 9.71       1.10   $ 57,856       1.14     1.14     0.84     2.25
  3/31/2017     $ 9.60       0.27       0.27       0.54       (0.27     (0.01     (0.28   $ 9.86       5.69   $ 216,718       0.99     0.99     0.84     2.78
  3/31/2016     $ 9.84       0.31       (0.23     0.08       (0.32     —         (0.32   $ 9.60       0.82   $ 118,802       1.09     1.09     0.84     3.19
  3/31/2015 2    $ 10.00       0.35       (0.17     0.18       (0.33     (0.01     (0.34   $ 9.84       1.80   $ 79,419       1.16     1.16     0.84     3.58
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

                47%       42%       37%       61%       39%       21%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on April 7, 2014.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

            Income (Loss) from Investment
Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
   

Net Assets,
End of Period

(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

    Expenses
After
Investment
Advisory
Fees
(Waived)4
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

    Net
Investment
Income
(Loss)4
 
  DoubleLine Long Duration Total Return Bond Fund - Class I:  
  9/30/2019     $ 9.88       0.15       1.05       1.20       (0.14     —         (0.14   $  10.94       12.22   $ 78,631       0.66     0.66     0.65     2.71
  3/31/2019     $ 9.73       0.29       0.16       0.45       (0.30     —         (0.30   $ 9.88       4.77   $ 66,226       0.70     0.70     0.65     3.15
  3/31/2018     $ 9.79       0.33       (0.06     0.27       (0.33     —         (0.33   $ 9.73       2.74   $ 55,357       0.81     0.81     0.65     3.33
  3/31/2017     $ 10.40       0.32       (0.60     (0.28     (0.33     —         (0.33   $ 9.79       (2.82 )%    $ 50,465       0.76     0.76     0.65     3.13
  3/31/2016     $ 10.43       0.29       (0.02     0.27       (0.29     (0.01     (0.30   $ 10.40       2.76   $ 56,843       0.84     0.84     0.65     2.87
  3/31/2015 2    $ 10.00       0.10       0.41       0.51       (0.08     —         (0.08   $ 10.43       5.15   $ 56,240       1.33     1.33     0.65     3.02
  DoubleLine Long Duration Total Return Bond Fund - Class N:  
  9/30/2019     $ 9.88       0.13       1.05       1.18       (0.13     —         (0.13   $ 10.93       11.97   $ 16,807       0.91     0.91     0.90     2.47
  3/31/2019     $ 9.72       0.27       0.16       0.43       (0.27     —         (0.27   $ 9.88       4.61   $ 14,317       0.95     0.95     0.90     2.90
  3/31/2018     $ 9.78       0.30       (0.06     0.24       (0.30     —         (0.30   $ 9.72       2.48   $ 11,016       1.06     1.06     0.90     3.06
  3/31/2017     $ 10.39       0.29       (0.60     (0.31     (0.30     —         (0.30   $ 9.78       (3.08 )%    $ 11,276       1.01     1.01     0.90     2.79
  3/31/2016     $ 10.42       0.26       (0.02     0.24       (0.26     (0.01     (0.27   $ 10.39       2.51   $ 25,763       1.09     1.09     0.90     2.62
  3/31/2015 2    $ 10.00       0.09       0.41       0.50       (0.08     —         (0.08   $ 10.42       4.99   $ 19,572       1.58     1.58     0.90     3.00
                                                      For the Year or Period Ended  
                                                               9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016     3/31/2015  
 

Portfolio turnover rate for all share classes3

                18%       25%       33%       94%       52%       72%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on December 15, 2014.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   127


Financial Highlights  (Cont.)  

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or

Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
   

Net Assets,

End of Period
(000’s)

   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

   

Expenses
After
Investment
Advisory

Fees
(Waived)4

   

Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

   

Net

Investment
Income

(Loss)4

 
  DoubleLine Strategic Commodity Fund (Consolidated) - Class I:  
  9/30/2019     $ 9.72       0.06       (0.63     (0.57     —         —         —       $ 9.15       (5.96 )%    $ 375,511       1.07     1.07     1.10     1.27
  3/31/2019     $ 10.11       0.12       (0.40     (0.28     (0.11     —         (0.11   $ 9.72       (2.59 )%    $ 444,918       1.02     1.02     1.10     1.14
  3/31/2018     $ 9.33       0.04       1.27       1.31       (0.53     —   5      (0.53   $ 10.11       14.03   $  213,752       1.16     1.16     1.10     0.33
  3/31/2017     $ 8.69       (0.06     0.75       0.69       (0.05     —         (0.05   $ 9.33       7.93   $ 22,243       1.77     1.77     1.10     (0.75 )% 
  3/31/2016 2    $ 10.00       (0.07     (1.24     (1.31     —         —   5      —   5    $ 8.69       (13.07 )%    $ 27,997       4.42     4.42     1.06     (1.05 )% 
  DoubleLine Strategic Commodity Fund (Consolidated) - Class N:  
  9/30/2019     $ 9.65       0.05       (0.63     (0.58     —         —         —       $ 9.07       (6.01 )%    $ 50,552       1.32     1.32     1.35     1.02
  3/31/2019     $ 10.04       0.09       (0.40     (0.31     (0.08     —         (0.08   $ 9.65       (2.97 )%    $ 65,292       1.27     1.27     1.35     0.87
  3/31/2018     $ 9.28       0.01       1.27       1.28       (0.52     —   5      (0.52   $  10.04       13.79   $ 67,838       1.41     1.41     1.35     0.09
  3/31/2017     $ 8.67       (0.09     0.75       0.66       (0.05     —         (0.05   $ 9.28       7.55   $ 6,540       2.23     2.23     1.35     (1.00 )% 
  3/31/2016 2    $  10.00       (0.09     (1.24     (1.33     —         —   5      —   5    $ 8.67       (13.27 )%    $ 1,421       4.67     4.67     1.31     (1.30 )% 
                                                            For the Year or Period Ended  
                                                                      9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016  
 

Portfolio turnover rate for all share classes3

                  0%       0%       0%       0%       0%  
    

   

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on May 18, 2015.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

5   Less than $0.005 per share.

    

    

    

    

    

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or
Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Return
of Capital
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

   

Expenses
After
Investment
Advisory
Fees

(Waived)4

   

Expenses
After
Advisory Fees
(Waived) and
Other Fees

(Reimbursed)/

Recouped4

    Net
Investment
Income
(Loss)4
 
  DoubleLine Global Bond Fund - Class I:  
  9/30/2019     $ 10.28       0.06       0.06       0.12       (0.08     —         (0.08   $  10.32       1.16   $  1,159,239       0.55     0.55     0.55     1.40
  3/31/2019     $  10.71       0.12       (0.42     (0.30     (0.13     —         (0.13   $ 10.28       (2.80 )%    $ 1,053,218       0.55     0.55     0.55     1.22
  3/31/2018     $ 10.04       0.09       0.72       0.81       (0.14     —         (0.14   $ 10.71       7.96   $ 663,208       0.56     0.56     0.56     0.82
  3/31/2017     $ 10.49       0.05       (0.47     (0.42     (0.02     (0.01     (0.03   $ 10.04       (4.00 )%    $ 475,328       0.66     0.66     0.66     0.52
  3/31/2016 2    $ 10.00       0.02       0.49       0.51       (0.02     —         (0.02   $ 10.49       5.11   $ 94,631       1.29     1.29     0.70     0.83
  DoubleLine Global Bond Fund - Class N:  
  9/30/2019     $ 10.26       0.06       0.06       0.12       (0.05     —         (0.05   $ 10.33       1.13   $ 5,430       0.80     0.80     0.80     1.16
  3/31/2019     $ 10.69       0.09       (0.42     (0.33     (0.10     —         (0.10   $ 10.26       (3.08 )%    $ 16,728       0.80     0.80     0.80     0.89
  3/31/2018     $ 10.02       0.06       0.72       0.78       (0.11     —         (0.11   $ 10.69       7.77   $ 29,544       0.81     0.81     0.81     0.57
  3/31/2017     $ 10.49       0.02       (0.47     (0.45     (0.01     (0.01     (0.02   $ 10.02       (4.31 )%    $ 24,058       0.91     0.91     0.91     0.20
  3/31/2016 2    $ 10.00       0.02       0.49       0.51       (0.02     —         (0.02   $  10.49       5.07   $ 41,937       1.54     1.54     0.95     0.58
                                                            For the Year or Period Ended  
                                                                      9/30/2019     3/31/2019     3/31/2018     3/31/2017     3/31/2016  
 

Portfolio turnover rate for all share classes3

                  2%       24%       16%       57%       13%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on December 17, 2015.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

 

128   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or
Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Expenses
After
Investment
Advisory
Fees
(Waived)4
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Net
Investment
Income
(Loss)4
 
  DoubleLine Infrastructure Income Fund - Class I:          
  9/30/2019     $ 10.11       0.16       0.33       0.49       (0.17     —         (0.17   $ 10.43       4.88   $ 543,464       0.56     0.56     0.56     3.23
  3/31/2019     $ 10.00       0.32       0.11       0.43       (0.32     —   5      (0.32   $ 10.11       4.47   $ 535,621       0.58     0.58     0.58     3.30
  3/31/2018     $ 10.07       0.30       (0.03     0.27       (0.33     (0.01     (0.34   $ 10.00       2.67   $ 532,404       0.57     0.57     0.57     3.18
  3/31/2017 2    $ 10.00       0.29       0.01       0.30       (0.23     —   5      (0.23   $ 10.07       3.11   $ 392,117       0.77     0.77     0.64     2.78
  DoubleLine Infrastructure Income Fund - Class N:            
  9/30/2019     $ 10.11       0.15       0.33       0.48       (0.16     —         (0.16   $ 10.43       4.75   $ 3,143       0.81     0.81     0.81     2.99
  3/31/2019     $ 10.00       0.30       0.11       0.41       (0.30     —   5      (0.30   $ 10.11       4.17   $ 2,672       0.83     0.83     0.83     3.00
  3/31/2018     $ 10.06       0.29       (0.03     0.26       (0.31     (0.01     (0.32   $ 10.00       2.54   $ 19,379       0.82     0.82     0.82     2.86
  3/31/2017 2    $ 10.00       0.26       0.01       0.27       (0.21     —   5      (0.21   $ 10.06       2.76   $ 567       1.50     1.50     0.89     2.53
                                                                  For the Year or Period Ended  
                                                                             9/30/2019     3/31/2019     3/31/2018     3/31/2017  
 

Portfolio turnover rate for all share classes3

                    3%       15%       29%       43%  
    

   

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on April 1, 2016.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

5   Less than $0.005 per share.

    

    

    

    

    

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  

For the

Year or
Period
Ended

    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Expenses
After
Investment
Advisory
Fees
(Waived)4
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Net
Investment
Income
(Loss)4
 
  DoubleLine Ultra Short Bond Fund - Class I:          
  9/30/2019     $ 10.03       0.12       0.02       0.14       (0.12     —         (0.12   $ 10.05       1.39   $ 334,227       0.23     0.23     0.23     2.44
  3/31/2019     $ 10.03       0.24       (0.01     0.23       (0.23     —   5      (0.23   $ 10.03       2.32   $ 235,078       0.22     0.22     0.22     2.28
  3/31/2018     $ 10.01       0.13       —         0.13       (0.11     —   5      (0.11   $ 10.03       1.31   $ 166,255       0.32     0.32     0.29     1.24
  3/31/2017 2    $ 10.00       0.03       0.01       0.04       (0.03     —         (0.03   $ 10.01       0.36   $ 8,294       4.87     4.87     0.35     0.42
  DoubleLine Ultra Short Bond Fund - Class N:            
  9/30/2019     $ 10.04       0.11       0.02       0.13       (0.11     —         (0.11   $ 10.06       1.26   $ 4,466       0.48     0.48     0.48     2.20
  3/31/2019     $ 10.03       0.22       (0.01     0.21       (0.20     —   5      (0.20   $ 10.04       2.18   $ 2,517       0.47     0.47     0.47     2.17
  3/31/2018     $ 10.02       0.09       —         0.09       (0.08     —   5      (0.08   $ 10.03       0.95   $ 278       0.57     0.57     0.41     0.92
  3/31/2017 2    $ 10.00       0.01       0.01       0.02       —         —         —       $ 10.02       0.20   $ 125       5.42     5.42     0.60     0.11
                                                                  For the Year or Period Ended  
                                                                             9/30/2019     3/31/2019     3/31/2018     3/31/2017  
 

Portfolio turnover rate for all share classes3

                    27%       128%       74%       79%  
    

   

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on June 30, 2016.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

5   Less than $0.005 per share

    

    

    

    

    

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   129


Financial Highlights  (Cont.)  

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  
For the
Year or
Period
Ended
    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
    Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/
Recouped4
    Expenses
After
Investment
Advisory
Fees
(Waived)4
    Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/
Recouped4
    Net
Investment
Income
(Loss)4
 
  DoubleLine Shiller Enhanced International CAPE® - Class I:  
  9/30/2019     $ 10.17       0.17       0.29       0.46       (0.17     —         (0.17   $ 10.46       4.51   $ 42,561       0.79     0.76     0.61     3.18
  3/31/2019     $ 11.24       0.34       (0.52     (0.18     (0.43     (0.46     (0.89   $ 10.17       (1.13 )%    $ 42,621       0.96     0.91     0.60     3.25
  3/31/2018     $ 10.86       0.22       0.86       1.08       (0.35     (0.35     (0.70   $ 11.24       9.92   $ 78,162       1.04     1.02     0.63     1.79
  3/31/2017 2    $ 10.00       0.03       0.85       0.88       (0.02     —         (0.02   $ 10.86       8.76   $ 19,384       7.10     7.10     0.64     0.72
  DoubleLine Shiller Enhanced International CAPE® - Class N:  
  9/30/2019     $ 10.17       0.15       0.29       0.44       (0.15     —         (0.15   $ 10.46       4.38   $ 19,642       1.04     1.01     0.86     2.94
  3/31/2019     $ 11.23       0.32       (0.52     (0.20     (0.40     (0.46     (0.86   $ 10.17       (1.29 )%    $ 19,953       1.20     1.15     0.85     3.03
  3/31/2018     $ 10.86       0.18       0.86       1.04       (0.32     (0.35     (0.67   $ 11.23       9.56   $ 29,160       1.29     1.27     0.87     1.52
  3/31/2017 2    $ 10.00       0.02       0.85       0.87       (0.01     —         (0.01   $ 10.86       8.72   $ 11,499       4.93     4.93     0.89     0.58
                                                                  For the Year or Period Ended  
                                                                             9/30/2019     3/31/2019     3/31/2018     3/31/2017  
 

Portfolio turnover rate for all share classes3

                    21%       72%       69%       38%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on December 23, 2016.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  
For the
Period
Ended
    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
    Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/
Recouped4
    Expenses
After
Investment
Advisory
Fees
(Waived)4
    Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/
Recouped4
    Net
Investment
Income
(Loss)4
 
  DoubleLine Colony Real Estate and Income Fund - Class I:  
  9/30/2019     $ 11.30       0.12       0.97       1.09       (0.15     —         (0.15   $ 12.24       9.77   $ 135,696       1.11     1.10     0.63     2.41
  3/31/2019 2    $ 10.00       0.10       1.26       1.36       (0.06     —         (0.06   $ 11.30       13.69   $ 121,180       1.46     1.42     0.61     3.00
  DoubleLine Colony Real Estate and Income Fund - Class N:  
  9/30/2019     $ 11.29       0.12       0.97       1.09       (0.14     —         (0.14   $ 12.24       9.73   $ 5,930       1.37     1.36     0.88     2.14
  3/31/2019 2    $ 10.00       0.09       1.26       1.35       (0.06     —         (0.06   $ 11.29       13.53   $ 4,369       1.67     1.62     0.87     2.79
                                                                              For the Period Ended  
                                                                                           9/30/2019     3/31/2019  
 

Portfolio turnover rate for all share classes3

                        56%       70%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on December 17, 2018.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

 

130   DoubleLine Funds Trust      The accompanying notes are an integral part of these financial statements.


      

    

    

 

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  
For the
Period
Ended
    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Expenses
After
Investment
Advisory
Fees
(Waived)4
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Net
Investment
Income
(Loss)4
 
  DoubleLine Emerging Markets Local Currency Bond Fund - Class I:    
  9/30/2019 2    $ 10.00       0.10       (0.42     (0.32     (0.06     —         (0.06   $ 9.62       (3.22 )%    $ 9,585       4.19     4.19     0.91     3.76
  DoubleLine Emerging Markets Local Currency Bond Fund - Class N:    
  9/30/2019 2    $ 10.00       0.09       (0.42     (0.33     (0.05     —         (0.05   $ 9.62       (3.28 )%    $ 97       4.44     4.44     1.16     3.51
                                                                                    For the Period
Ended
 
                                                                                                  9/30/2019  
 

Portfolio turnover rate for all share classes3

                          2%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on June 28, 2019.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

            Income (Loss) from
Investment Operations:
    Less Distributions:                       Ratios to Average Net Assets:  
For the
Period
Ended
    Net Asset
Value,
Beginning
of Period
    Net
Investment
Income
(Loss)1
    Net Gain
(Loss) on
Investments
(Realized and
Unrealized)
    Total from
Investment
Operations
    Distributions
from Net
Investment
Income
    Distributions
from Net
Realized
Gain
    Total
Distributions
    Net Asset
Value,
End of
Period
    Total
Return3
    Net Assets,
End of Period
(000’s)
   

Expenses
Before
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Expenses
After
Investment
Advisory
Fees
(Waived)4
   

Expenses
After
Advisory Fees
(Waived) and
Other Fees
(Reimbursed)/

Recouped4

    Net
Investment
Income
(Loss)4
 
  DoubleLine Income Fund - Class I:    
  9/30/2019 2    $ 10.00       0.02       (0.04     (0.02     (0.02     —         (0.02   $ 9.96       (0.24 )%    $ 79,884       1.28     1.28     0.67     3.75
  DoubleLine Income Fund - Class N:    
  9/30/2019 2    $ 10.00       0.02       (0.04     (0.02     (0.01     —         (0.01   $ 9.97       (0.16 )%    $ 100       1.58     1.58     0.90     3.26
                                                                                    For the Period
Ended
 
                                                                                                  9/30/2019  
 

Portfolio turnover rate for all share classes3

                          17%  
    

   

   

   

1   Calculated based on average shares outstanding during the period.


2   Commenced operations on September 3, 2019.

3   Not annualized for periods less than one year.

4   Annualized for periods less than one year.

    

    

    

    

 

The accompanying notes are an integral part of these financial statements.   Semi-Annual Report   September 30, 2019   131


Notes to Financial Statements  

(Unaudited)

September 30, 2019

 

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 19 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, DoubleLine Shiller Enhanced International CAPE®, DoubleLine Colony Real Estate and Income Fund, DoubleLine Emerging Markets Local Currency Bond Fund and DoubleLine Income Fund (each, a “Fund” and, collectively, the “Funds”). For financial information related to the DoubleLine Selective Credit Fund, please refer to the DoubleLine Selective Credit Fund’s separate semi-annual report. Shares of the DoubleLine Emerging Markets Local Currency Bond Fund are currently only available for purchase by employees and officers of DoubleLine Capital LP (“DoubleLine Capital”) and DoubleLine Alternatives LP (formerly DoubleLine Commodity LP) (each, an “Adviser” and, collectively, the “Advisers”), their affiliates and their family members, and the Advisers and their affiliates.

Each Fund is classified as a diversified fund under the 1940 Act, except the DoubleLine Global Bond Fund, the DoubleLine Emerging Markets Local Currency Bond Fund and the DoubleLine Income Fund, which are classified as non-diversified Funds. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund’s total assets is not subject to this limitation.

The Funds’ investment objectives and dates each share class commenced operations are as follows:

 

                Commencement of Operations
Fund Name       Investment Objective       I Shares   N Shares   A Shares   R6 Shares

DoubleLine Total Return Bond Fund

      Maximize total return           4/6/2010       4/6/2010       —         7/31/2019

DoubleLine Core Fixed Income Fund

      Maximize current income and total return           6/1/2010       6/1/2010       —         7/31/2019

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       —         7/31/2019

DoubleLine Floating Rate Fund

      Seek a 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       —         7/31/2019

DoubleLine Flexible Income Fund

      Seek long-term total return while striving to generate current income           4/7/2014       4/7/2014       —         7/31/2019

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       —         —  

DoubleLine Colony Real Estate and Income Fund

      Seek total return which exceeds the total return of its benchmark index over a full market cycle           12/17/2018       12/17/2018       —         —  

DoubleLine Emerging Markets Local Currency Bond Fund

      Seek high total return from current income and capital appreciation           6/28/2019       6/28/2019       —         —  

DoubleLine Income Fund

      Maximize total return through investment principally in income-producing securities           9/3/2019       9/3/2019       —         —  

 

132   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

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)

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. Assets and liabilities may be transferred between levels.

 

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.

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, 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 by the Adviser in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and

 

  Semi-Annual Report   September 30, 2019   133


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

reports periodically to the Board. The Adviser’s 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 or third party vendor prices are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.

The following is a summary of the fair valuations according to the inputs used to value the Funds’ investments as of September 30, 2019:

 

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

        $ 1,220,686,518     $ 403,112,157     $ 8,857,385     $ 77,760,273     $ 377,281,314     $ 16,583,299

Affiliated Mutual Funds

          69,980,655       1,405,437,595       —         64,788,316       49,650,000       —  

Exchange Traded Funds and Common Stocks

          —         1,310,765       2,207,286       45,167,395       862,916       —  

Real Estate Investment Trusts

          —         —         —         2,909,491       —         —  

Total Level 1

          1,290,667,173       1,809,860,517       11,064,671       190,625,475       427,794,230       16,583,299

Level 2

                           

US Government and Agency Mortgage Backed Obligations

          24,436,579,980       2,046,161,494       —         5,642,961       500,640,776       —  

Non-Agency Residential Collateralized Mortgage Obligations

          15,064,475,888       1,099,461,713       —         13,424,359       1,380,327,741       —  

US Government and Agency Obligations

          4,788,606,079       2,441,281,406       —         —         354,604,481       —  

Non-Agency Commercial Mortgage Backed Obligations

          3,674,540,833       924,349,219       —         —         1,271,832,769       —  

Collateralized Loan Obligations

          2,648,015,031       351,300,022       —         —         1,069,602,124       —  

Asset Backed Obligations

          2,135,675,427       286,081,208       —         11,229       562,742,252       —  

Other Short Term Investments

          499,568,011       172,872,851       —         6,288,572       252,004,291       —  

Foreign Corporate Bonds

          —         1,611,783,400       1,085,196,187       —         1,152,958,988       3,007,800

US Corporate Bonds

          —         1,610,166,786       —         —         437,912,326       22,143,381

Bank Loans

          —         317,687,745       —         —         185,522,089       251,389,625

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

          —         122,181,862       68,961,660       —         104,613,391       —  

Municipal Bonds

          —         11,048,461       —         —         —         —  

Total Level 2

          53,247,461,249       10,994,376,167       1,154,157,847       25,367,121       7,272,761,228       276,540,806

Level 3

                           

Non-Agency Residential Collateralized Mortgage Obligations

          295,516,662       40,466,944       —         945,249           —  

Asset Backed Obligations

          —         7,179,585       —         —         —         —  

Non-Agency Commercial Mortgage Backed Obligations

          —         3,554,343       —         —         —         —  

Collateralized Loan Obligations

          —         —         —         252,774       —         —  

Foreign Corporate Bonds

          —         51,002       82,503       —         —         —  

Warrants

          —         —         —         —         —         —  

Total Level 3

          295,516,662       51,251,874       82,503       1,198,023       —         —  

Total

        $ 54,833,645,084     $ 12,855,488,558     $ 1,165,305,021     $ 217,190,619     $ 7,700,555,458     $ 293,124,105

Other Financial Instruments

                           

Level 1

                           

Futures Contracts

        $ (11,880,495 )     $ —       $ —       $ (475,253 )     $ —       $ —  

Total Level 1

          (11,880,495 )       —         —         (475,253 )       —         —  

Level 2

                           

Excess Return Swaps

          —         —         —         46,936       —         —  

Forward Currency Exchange Contracts

          —         —         —         (349,484 )       —         —  

Total Level 2

          —         —         —         (302,548 )       —         —  

Level 3

          —         —         —         —         —         —  

Total

        $ (11,880,495 )     $ —       $ —       $ (777,801 )     $ —       $ —  

 

134   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

 

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

        $ 462,366,519     $ 88,294,226     $ 4,342,101     $ 4,632,492     $ 16,023,059     $ 29,502,278

Affiliated Mutual Funds

          300,249,400       98,039,801       —         —         —         —  

Exchange Traded Funds and Common Stock

          —         53,791       205,258       —         —         —  

Total Level 1

          762,615,919       186,387,818       4,547,359       4,632,492       16,023,059       29,502,278

Level 2

                           

Non-Agency Commercial Mortgage Backed Obligations

          974,941,226       154,602,061       —         —         —         —  

Non-Agency Residential Collateralized Mortgage Obligations

          889,720,412       289,859,443       —         —         —         —  

Collateralized Loan Obligations

          881,270,391       219,506,174       —         —         —         —  

US Government and Agency Obligations

          759,589,178       86,349,564       —         24,022,915       —         235,794,048

Foreign Corporate Bonds

          614,765,581       230,255,303       188,400,423       —         —         —  

US Government and Agency Mortgage Backed Obligations

          588,004,968       12,296,931       —         64,015,450       —         —  

Other Short Term Investments

          540,066,239       —         —         5,091,020       408,650,775       —  

Asset Backed Obligations

          484,743,188       63,279,691       —         —         —         —  

US Corporate Bonds

          383,087,776       102,279,510       —         —         —         —  

Bank Loans

          302,955,525       70,548,446       —         —         —         —  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

          50,460,699       11,829,967       29,286,845       —         —         891,974,367

Total Level 2

          6,469,605,183       1,240,807,090       217,687,268       93,129,385       408,650,775       1,127,768,415

Level 3

                           

Non-Agency Commercial Mortgage Backed Obligations

          2,322,314       489,103       —         —         —         —  

Foreign Corporate Bonds

          1,498       1,500       4,494       —         —         —  

Non-Agency Residential Collateralized Mortgage Obligations

          —         23,885,370       —         —         —         —  

Warrants

          —         —         —         —         —         —  

Total Level 3

          2,323,812       24,375,973       4,494       —         —         —  

Total

        $ 7,234,544,914     $ 1,451,570,881     $ 222,239,121     $ 97,761,877     $ 424,673,834     $ 1,157,270,693

Other Financial Instruments

                           

Level 1

                           

Futures Contracts

        $ —       $ —       $ —       $ (233,570 )     $ —       $ —  

Total Level 1

          —         —         —         (233,570 )       —         —  

Level 2

                           

Excess Return Swaps

          243,730,851       —         —         —         1,844,982       —  

Total Level 2

          243,730,851       —         —         —         1,844,982       —  

Level 3

          —         —         —         —         —         —  

Total

        $ 243,730,851     $ —       $ —       $ (233,570 )     $ 1,844,982     $ —  

 

  Semi-Annual Report   September 30, 2019   135


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

 

Category       DoubleLine
Infrastructure
Income Fund
 

DoubleLine

Ultra Short

Bond Fund

 

DoubleLine

Shiller

Enhanced
International
CAPE®

 

Doubleline

Colony

Real Estate and

Income Fund

  Doubleline
Emerging Markets
Local Currency
Bond Fund
  Doubleline
Income Fund

Investments in Securities

                           

Level 1

                           

Money Market Funds

        $ 11,808,903     $ 4,571,411     $ 1,122,903     $ 8,385,633     $ 991,113     $ 14,415,387

Affiliated Mutual Funds

          —         —         2,686,692       —         —         —  

Total Level 1

          11,808,903       4,571,411       3,809,595       8,385,633       991,113       14,415,387

Level 2

                           

Asset Backed Obligations

          239,373,048       —         4,351,693       8,837,797       —         6,564,737

US Corporate Bonds

          171,280,995       100,500,311       4,086,687       8,144,881       —         —  

Foreign Corporate Bonds

          103,198,104       61,611,667       4,752,061       9,483,683       459,522       —  

Other Short Term Investments

          —         1,997,722       4,661,583       9,582,152       —         7,927,956

Commercial Paper

          —         155,611,495       —         —         —         —  

US Government and Agency Mortgage Backed Obligations

          —         17,749,265       5,197,881       9,643,552       —         —  

Collateralized Loan Obligations

          —         —         9,266,664       16,656,893       —         3,864,958

Non-Agency Residential Collateralized Mortgage Obligations

          —         —         7,617,922       15,048,047       —         26,391,025

Non-Agency Commercial Mortgage Backed Obligations

          —         —         7,692,072       17,118,018       —         28,620,835

US Government and Agency Obligations

          5,476,797       —         6,568,987       13,472,556       —         —  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

          —         —         652,857       1,190,392       8,117,132       —  

Bank Loans

          —         —         —         5,188,947       —         —  

Total Level 2

          519,328,944       337,470,460       54,848,407       114,366,918       8,576,654       73,369,511

Level 3

                           

Foreign Corporate Bonds

          10,507,827       —         —         —         —         —  

Asset Backed Obligations

          3,718,762       —         —         —         —         —  

Total Level 3

          14,226,589       —         —         —         —         —  

Total

        $ 545,364,436     $ 342,041,871     $ 58,658,002     $ 122,752,551     $ 9,567,767     $ 87,784,898

Other Financial Instruments

                           

Level 1

        $ —       $ —       $ —       $ —       $ —       $ —  

Level 2

                           

Forward Currency Exchange Contracts

          —         —         (1,556,815 )       —         —         —  

Excess Return Swaps

          —         —         4,447,620       21,108,283       —         —  

Total Level 2

          —         —         2,890,805       21,108,283       —         —  

Level 3

          —         —         —         —         —         —  

Total

        $ —       $ —       $ 2,890,805     $ 21,108,283     $ —       $ —  

See the Schedules of Investments for further disaggregation of investment categories.

 

136   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

DoubleLine Flexible Income Fund       Fair Value as of
3/31/2019
  Net Realized
Gain (Loss)
  Net Change in
Unrealized
Appreciation
(Depreciation)3
  Net Accretion
(Amortization)
  Purchases1   Sales 2   Transfers Into
Level 34
 

Transfers Out

of Level 34

  Fair Value as of
9/30/2019
 

Net Change in
Unrealized
Appreciation
(Depreciation)

on securities

held at
9/30/20193

Investments in Securities

                                           

Non-Agency Residential Collateralized Mortgage Obligations

        $ 31,930,691     $ 25,235     $ (1,048,032 )     $ 231,488     $ 173,534     $ (148,348 )     $     $ (7,279,198 )     $ 23,885,370     $ (1,071,776 )

Non-Agency Commercial Mortgage Backed Obligations

          502,275       —         (13,172 )       —         —         —               —         489,103       (13,172 )

Foreign Corporate Bonds

          —         —         (195,500 )       —         197,000       —               —         1,500       —  

Total

        $ 32,432,966     $ 25,235     $ (1,256,704 )     $ 231,488     $ 370,534     $ (148,348 )     $     $ (7,279,198 )     $ 24,375,973     $ (1,084,948 )
                                           
DoubleLine Infrastructure Income
Fund
      Fair Value as of
3/31/2019
  Net Realized
Gain (Loss)
  Net Change in
Unrealized
Appreciation
(Depreciation)3
  Net Accretion
(Amortization)
  Purchases1   Sales 2   Transfers Into
Level 34
  Transfers Out
of Level 34
  Fair Value as of
9/30/2019
  Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
9/30/20193

Investments in Securities

                                           

Foreign Corporate Bonds

        $ 10,288,000     $ (642 )     $ 315,708     $ (1,377 )     $ —       $ (93,862 )     $     $ —       $ 10,507,827     $ 333,208

Asset Backed Obligations

          4,987,050       6,386       2,493       —         —         (1,277,167 )             —         3,718,762       6,301

Total

        $ 15,275,050     $ 5,744     $ 318,201     $ (1,377 )     $ —       $ (1,371,029 )     $     $ —       $ 14,226,589     $ 339,509

 

1 

Purchases include all purchases of securities, payups and corporate actions.

 

2 

Sales include all sales of securities, maturities, and paydowns.

 

3 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at September 30, 2019 may be due to a security that was not held or categorized as Level 3 at either period end.

 

4 

Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

DoubleLine Flexible Income Fund       Fair Value as of
9/30/2019*
  Valuation
Techniques
  Unobservable
Input
  Unobservable Input Values
(Weighted Average)+
  Impact to valuation from an increase to input

Non-Agency Residential Collateralized Mortgage Obligations

          $23,885,370   Market
Comparables

  Market
Quotes
    $ 94.30 - $103.87 ($99.89 )   Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Non-Agency Commercial Mortgage Backed Obligations

          489,103   Market
Comparables

  Yields       39.95% (39.95% )   Increase in yields would have resulted in the decrease in the fair value of the security

Foreign Corporate Bonds

          1,500   Enterprise
Value

  EBITDA
multiples
      5x - 6.5x (5.75x)     Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security
                 
DoubleLine Infrastructure Income Fund       Fair Value as of
9/30/2019*
  Valuation
Techniques
  Unobservable
Input
  Unobservable Input Values
(Weighted Average)+
  Impact to valuation from an increase to input

Foreign Corporate Bonds

          $10,507,827   Market
Comparables

  Market
Quotes
      $107.50 ($107.50 )   Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Asset Backed Obligations

          3,718,762   Market
Comparables

  Market
Quotes
      $99.97 ($99.97)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

 

*

Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.

 

+ 

Unobservable inputs were weighted by the relative fair value of the instruments.

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.

 

  Semi-Annual Report   September 30, 2019   137


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

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, 2019, 2018 and 2017 for the Funds, are those that are open for exam by taxing authorities to the extent that each Fund operated within those respective tax years. As of September 30, 2019, 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, 2019. 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, including non-cash interest, is recorded on an accrual basis. Discounts/premiums on debt securities purchased, which may include residual and subordinate notes, 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.

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, the DoubleLine Global Bond Fund and the DoubleLine Emerging Markets Local Currency 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, the DoubleLine Global Bond Fund and the DoubleLine Emerging Markets Local Currency Bond Fund will be declared and paid quarterly. 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 typically calculated on days when the New York Stock Exchange opens for regular trading.

 

138   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

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 Schedules 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. Contingencies. Between 2011 and 2014, the Commonwealth of Puerto Rico issued certain general obligation bonds, which are currently the subject of litigation. DoubleLine Multi-Asset Growth Fund previously purchased and sold certain of these general obligation bonds and may have some exposure to this litigation. At this time, it is not anticipated that this litigation will have a material adverse effect on the Multi-Asset Growth Fund. As of September 30, 2019, no loss contingency has been recorded in the financial statements.

J. 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.

K. Basis for Consolidation. The DoubleLine Multi-Asset Growth Fund and the DoubleLine Strategic Commodity Fund may invest up to 25% of their total assets in the DoubleLine Cayman Multi-Asset Growth Fund I, Ltd. and the DoubleLine Strategic Commodity, Ltd. (each, a “Subsidiary” and, collectively, the “Subsidiaries”), respectively. The Subsidiaries, which are organized under the laws of the Cayman Islands, are wholly-owned and controlled by each respective Fund. Each Subsidiary invests in commodity-related investments and other investments. The consolidated financial statements include the accounts and balances of each Fund and its respective Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

As of September 30, 2019, 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

         $ 226,000,411      $ 426,063,070

Subsidiary % of Fund Net Assets

           5.11%        23.59%

Subsidiary Financial Statement Information

             

Net Assets

         $ 11,544,383      $ 100,522,843

Total Income

         $ 127,144      $ 1,276,582

Net Realized Gain/(Loss)

         $ 85,752      $ (32,313,376 )

L. 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

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. On December 11, 2018, DoubleLine Alternatives LP, the investment adviser of the DoubleLine Colony Real Estate and Income Fund (the “Fund”), engaged DoubleLine Capital LP to serve as sub-adviser to the Fund to manage its investment in debt instruments.

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,

 

  Semi-Annual Report   September 30, 2019   139


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

indemnification expenses, interest expenses, acquired fund fees and expenses, and any extraordinary expenses. With the exception of the DoubleLine Colony Real Estate and Income Fund, the DoubleLine Emerging Markets Local Currency Bond Fund and the DoubleLine Income Fund, each Fund’s expense limitation is expected to apply until at least July 31, 2020. DoubleLine Colony Real Estate and Income Fund’s expense limitation is expected to apply until at least December 11, 2020. DoubleLine Emerging Markets Local Currency Bond Fund’s expense limitation is expected to apply until at least June 26, 2021. DoubleLine Income Fund’s expense limitation is expected to apply until at least September 2, 2021. 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    R6 Shares

DoubleLine Total Return Bond Fund

           0.40%        N/A        N/A        N/A        N/A

DoubleLine Core Fixed Income Fund

           0.40%        N/A        N/A        N/A        N/A

DoubleLine Emerging Markets Fixed Income Fund

           0.75%        0.95%        1.20%        N/A        N/A

DoubleLine Multi-Asset Growth Fund (Consolidated)

           0.95%        1.15%        N/A        1.40%        N/A

DoubleLine Low Duration Bond Fund

           0.35%        0.47%        0.72%        N/A        0.42%

DoubleLine Floating Rate Fund

           0.50%        0.75%        1.00%        N/A        N/A

DoubleLine Shiller Enhanced CAPE®

           0.45%        0.65%        0.90%        N/A        0.60%

DoubleLine Flexible Income Fund

           0.62%        0.82%        1.07%        N/A        0.77%

DoubleLine Low Duration Emerging Markets Fixed Income Fund

           0.50%        0.59%        0.84%        N/A        N/A

DoubleLine Long Duration Total Return Bond Fund

           0.50%        0.65%        0.90%        N/A        N/A

DoubleLine Strategic Commodity Fund (Consolidated)

           0.90%        1.10%        1.35%        N/A        N/A

DoubleLine Global Bond Fund

           0.50%        0.70%        0.95%        N/A        N/A

DoubleLine Infrastructure Income Fund

           0.50%        0.65%        0.90%        N/A        N/A

DoubleLine Ultra Short Bond Fund

           0.15%        0.30%        0.55%        N/A        N/A

DoubleLine Shiller Enhanced International CAPE®

           0.50%        0.65%        0.90%        N/A        N/A

DoubleLine Colony Real Estate and Income Fund

           0.45%        0.65%        0.90%        N/A        N/A

DoubleLine Emerging Markets Local Currency Bond Fund

           0.75%        0.90%        1.15%        N/A        N/A

DoubleLine Income Fund

           0.50%        0.65%        0.90%        N/A        N/A

Other than as described above, 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.

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
         2020    2021    2022    2023

DoubleLine Multi-Asset Growth Fund (Consolidated)

         $ —        $ —        $ —        $ 1,439

DoubleLine Low Duration Emerging Markets Fixed Income Fund

         $ 443,142      $ 613,726      $ 119,396      $ 11,024

DoubleLine Long Duration Total Return Bond Fund

         $ 80,395      $ 101,274      $ 36,189      $ 6,331

DoubleLine Strategic Commodity Fund (Consolidated)

         $ 88,840      $ 90,794      $ 18,303      $ 18,659

DoubleLine Global Bond Fund

         $ 13,273      $ —        $ —        $ —  

DoubleLine Infrastructure Income Fund

         $ 172,344      $ —        $ —        $ —  

DoubleLine Ultra Short Bond Fund

         $ 220,735      $ 30,967      $ —        $ —  

DoubleLine Shiller Enhanced International CAPE®

         $ 171,882      $ 389,095      $ 236,220      $ 44,615

DoubleLine Colony Real Estate and Income Fund

         $ —        $ —        $ 186,881      $ 305,440

DoubleLine Emerging Markets Local Currency Bond Fund

         $ —        $ —        $ —        $ 80,277

DoubleLine Income Fund

         $ —        $ —        $ —        $ 24,460

 

140   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

For the period ended September 30, 2019, each Adviser recouped the amounts shown from the following Funds:

 

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ 38,244

DoubleLine Strategic Commodity Fund (Consolidated)

        $ 95,000

If a Fund invested in other investment vehicles sponsored by an Adviser (“other DoubleLine Funds”) during the period, such Adviser waived its advisory fee to the Fund in an amount equal to the advisory fees paid to the Adviser by the other DoubleLine Funds in respect of Fund assets so invested. Accordingly, the Adviser waived the following fees for the period ended September 30, 2019.

 

DoubleLine Total Return Bond Fund

        $ 16,376

DoubleLine Core Fixed Income Fund

        $ 3,406,064

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ 137,241

DoubleLine Low Duration Bond Fund

        $ 123,962

DoubleLine Shiller Enhanced CAPE®

        $ 178,148

DoubleLine Flexible Income Fund

        $ 238,164

DoubleLine Shiller Enhanced International CAPE®

        $ 11,497

DoubleLine Colony Real Estate and Income Fund

        $ 10,974

As of September 30, 2019, 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

           75%    DoubleLine Core Fixed Income Fund

DoubleLine Infrastructure Income Fund

           87%    DoubleLine Core Fixed Income Fund

DoubleLine Long Duration Total Return Bond Fund

           57%    DoubleLine Core Fixed Income Fund

DoubleLine Global Bond Fund

           8%    DoubleLine Flexible Income Fund

DoubleLine Low Duration Emerging Markets Fixed Income Fund

           22%    DoubleLine Low Duration Bond Fund

DoubleLine Ultra Short Bond Fund

           89%    DoubleLine Shiller Enhanced CAPE®

DoubleLine Income Fund

           88%    DoubleLine Total Return 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 September 30, 2019:

 

        % Owned

DoubleLine Multi-Asset Growth Fund (Consolidated)

          76%

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 Floating Rate Fund imposes redemption fees. Redemption fees are paid to and retained by the Fund to limit the opportunity to market time the Fund and to help offset estimated portfolio transaction costs and other related costs incurred by the Fund as a result of short-term trading. Subject to the exceptions discussed in the Fund’s prospectus, the DoubleLine Floating Rate Fund will apply a redemption fee equal to 1% of the value of any shares redeemed within 90 days of purchase.

 

  Semi-Annual Report   September 30, 2019   141


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

5.  Purchases and Sales of Securities

Investment transactions (excluding short-term investments) for the period ended September 30, 2019 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

         $ 7,672,532,848      $ 5,193,625,340      $ 2,910,278,953      $ 532,296,211

DoubleLine Core Fixed Income Fund

         $ 1,950,197,355        1,165,949,695        1,360,188,406        894,570,662

DoubleLine Emerging Markets Fixed Income Fund

         $ 212,057,102        157,966,358        —          —  

DoubleLine Multi-Asset Growth Fund (Consolidated)

         $ 11,816,913        31,960,785        —          —  

DoubleLine Low Duration Bond Fund

         $ 2,042,881,118        1,694,420,121        251,257,689        236,341,266

DoubleLine Floating Rate Fund

         $ 114,083,850        296,033,159        —          —  

Doubleline Shiller Enhanced CAPE®

         $ 2,041,426,793        1,090,966,252        537,209,713        206,982,020

DoubleLine Flexible Income Fund

         $ 273,870,722        175,561,389        66,392,968        24,579,017

DoubleLine Low Duration Emerging Markets Fixed Income Fund

         $ 100,291,137        112,715,578        —          —  

DoubleLine Selective Credit Fund

         $ 335,440,685        116,713,971        —          —  

DoubleLine Long Duration Total Return Bond Fund

         $ 3,389,930        5,834,697        16,973,559        8,851,242

DoubleLine Strategic Commodity Fund (Consolidated)

         $ —          —          —          —  

DoubleLine Global Bond Fund

         $ 81,277,790        6,915,315        28,569,169        14,120,771

DoubleLine Infrastructure Income Fund

         $ 25,191,366        17,889,825        5,512,246        —  

DoubleLine Ultra Short Bond Fund

         $ 100,192,583        34,469,235        —          —  

Doubleline Shiller Enhanced International CAPE®

         $ 7,161,454        17,972,412        4,204,395        1,233,959

Doubleline Colony Real Estate and Income Fund

         $ 40,427,716        36,059,121        20,902,170        19,800,215

DoubleLine Emerging Markets Local Currency Bond Fund

         $ 8,618,468        86,157        —          —  

DoubleLine Income Fund

         $ 65,297,668        61,628        20,377,477        12,192,434

 

1

U.S. Government transactions are defined as those involving long-term U.S. Treasury bills, bonds and notes.

6.  Income Tax Information and Distributions to Shareholders

The tax character of distributions for the Funds were as follows:

 

         Period Ended September 30, 2019    Period Ended March 31, 2019
         Ordinary Income    Long Term
Capital Gain
   Ordinary Income   

Long Term

Capital Gain

DoubleLine Total Return Bond Fund

         $ 952,702,409      $      $ 1,815,432,826      $ —  

DoubleLine Core Fixed Income Fund

         $ 209,001,872      $      $ 368,044,606      $ —  

DoubleLine Emerging Markets Fixed Income Fund

         $ 28,072,242      $      $ 42,188,421      $ —  

DoubleLine Multi-Asset Growth Fund (Consolidated)

         $ 2,789,127      $      $ 6,736,113      $ —  

DoubleLine Low Duration Bond Fund

         $ 116,534,663      $      $ 187,300,764      $ —  

DoubleLine Floating Rate Fund

         $ 10,411,825      $      $ 30,699,519      $ —  

Doubleline Shiller Enhanced CAPE®

         $ 98,784,219      $      $ 171,498,030      $ 520,841,008

DoubleLine Flexible Income Fund

         $ 31,417,417      $      $ 57,222,133      $ —  

DoubleLine Low Duration Emerging Markets Fixed Income Fund

         $ 3,853,315      $      $ 5,656,066      $ 148,364

DoubleLine Long Duration Total Return Bond Fund

         $ 1,166,786      $      $ 2,231,875      $ —  

DoubleLine Strategic Commodity Fund (Consolidated)

         $ —        $      $ 5,581,183      $ —  

DoubleLine Global Bond Fund

         $ 8,944,972      $      $ 9,826,720      $ —  

DoubleLine Infrastructure Income Fund

         $ 8,932,238      $      $ 17,600,337      $ 88,676

DoubleLine Ultra Short Bond Fund

         $ 3,358,484      $      $ 5,966,067      $ 11,100

Doubleline Shiller Enhanced International CAPE®

         $ 967,633      $      $ 3,041,578      $ 3,079,477

Doubleline Colony Real Estate and Income Fund

         $ 1,738,630      $      $ 575,909      $ —  

DoubleLine Emerging Markets Local Currency Bond Fund

         $ 57,688      $      $ —        $ —  

DoubleLine Income Fund

         $ 124,790      $      $ —        $ —  

 

142   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

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 amount and character of tax-basis distributions and composition of net assets, including undistributed (accumulated) net investment income (loss), are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of the date of this report.

The cost basis of investments for federal income tax purposes as of March 31, 2019, 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

        $ 50,773,950,536     $ 11,494,467,605     $ 1,139,068,996     $ 226,795,988     $ 6,932,821,601     $ 492,019,294

Gross Tax Unrealized Appreciation

          1,038,506,534       183,854,117       21,377,091       6,252,373       32,485,025       1,460,922

Gross Tax Unrealized Depreciation

          (1,346,104,575 )       (162,921,049 )       (66,573,915 )       (11,408,349 )       (47,532,797 )       (9,438,178 )

Net Tax Unrealized Appreciation (Depreciation)

          (307,598,041 )       20,933,068       (45,196,824 )       (5,155,976 )       (15,047,772 )       (7,977,256 )
                           
        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

        $ 5,639,310,840     $ 1,317,303,070     $ 220,418,164     $ 80,215,996     $ 507,954,079     $ 1,061,323,841

Gross Tax Unrealized Appreciation

          252,992,764       16,422,483       2,642,705       1,747,520       2,760,202       20,685,773

Gross Tax Unrealized Depreciation

          (45,981,379 )       (35,404,085 )       (3,685,204 )       (1,151,920 )       (119,656 )       (18,345,701 )

Net Tax Unrealized Appreciation (Depreciation)

          207,011,385       (18,981,602 )       (1,042,499 )       595,600       2,640,546       2,340,072
                           
        DoubleLine
Infrastructure
Income Fund
  DoubleLine
Ultra Short
Bond Fund
  DoubleLine
Shiller
Enhanced
International
CAPE®
  DoubleLine
Colony Real
Estate and
Income Fund
       

Tax Cost of Investments

        $ 534,424,149     $ 237,599,906     $ 59,373,902     $ 115,917,535        

Gross Tax Unrealized Appreciation

          6,536,369       82,113       5,203,557       12,046,442        

Gross Tax Unrealized Depreciation

          (3,954,047 )       (134,674 )       (2,106,479 )       (114,564 )        

Net Tax Unrealized Appreciation (Depreciation)

          2,582,322       (52,561 )       3,097,078       11,931,878        

 

As of March 31, 2019, 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)

        $ (307,598,041 )     $ 20,933,068     $ (45,196,824 )     $ (5,155,976 )     $ (15,047,772 )     $ (7,977,256 )

Undistributed Ordinary Income

          28,445,127       9,166,328       416,350       629,672       5,064,704       1,401,866

Undistributed Long Term Capital Gains

          —         —         —         —         —         —  

Total Distributable Earnings

          28,445,127       9,166,328       416,350       629,672       5,064,704       1,401,866

Other Accumulated Gains (Losses)

          (2,930,113,238 )       (151,610,368 )       (16,226,120 )       (5,198,815 )       (57,630,878 )       (19,207,823 )

Total Accumulated Earnings (Losses)

          (3,209,266,152 )       (121,510,972 )       (61,006,594 )       (9,725,119 )       (67,613,946 )       (25,783,213 )
                           
        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)

        $ 207,011,385     $ (18,981,602 )     $ (1,042,499 )     $ 595,600     $ 2,640,546     $ 2,340,072

Undistributed Ordinary Income

          4,664,007       1,260,453       216,284       145,400       1,016,555       1,970,909

Undistributed Long Term Capital Gains

          —         —         —         —         —         —  

Total Distributable Earnings

          4,664,007       1,260,453       216,284       145,400       1,016,555       1,970,909

Other Accumulated Gains (Losses)

          (23,259,698 )       (10,358,178 )       (812,535 )       (1,675,044 )       (25,719 )       (1,183,603 )

Total Accumulated Earnings (Losses)

          188,415,694       (28,079,327 )       (1,638,750 )       (934,044 )       3,631,382       3,127,378
                           

 

  Semi-Annual Report   September 30, 2019   143


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

        DoubleLine
Infrastructure
Income Fund
  DoubleLine
Ultra Short
Bond Fund
  DoubleLine
Shiller
Enhanced
International
CAPE®
  DoubleLine
Colony Real
Estate and
Income Fund
       

Net Tax Unrealized Appreciation (Depreciation)

        $ 2,582,322     $ (52,561 )     $ 3,097,078     $ 11,931,878        

Undistributed Ordinary Income

          1,788,151       488,685       59,829       866,912        

Undistributed Long Term Capital Gains

          —         1,720       —         —          

Total Distributable Earnings

          1,788,151       490,405       59,829       866,912        

Other Accumulated Gains (Losses)

          (3,674,997 )       (432,940 )       (14,504,578 )       (206,872 )        

Total Accumulated Earnings (Losses)

          695,476       4,904       (11,347,671 )       12,591,918        

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, 2019, the following capital loss carryforwards were available:

 

         Capital Loss
Carryforward

DoubleLine Total Return Bond Fund

         $ 2,896,108,267

DoubleLine Core Fixed Income Fund

         $ 142,720,807

DoubleLine Emerging Markets Fixed Income Fund

         $ 16,554,899

DoubleLine Multi-Asset Growth Fund

         $ 4,685,307

DoubleLine Low Duration Bond Fund

         $ 54,251,167

DoubleLine Floating Rate Fund

         $ 18,012,940

DoubleLine Flexible Income Fund

         $ 9,555,224

DoubleLine Low Duration Emerging Markets Fixed Income Fund

         $ 672,252

DoubleLine Long Duration Total Return Bond Fund

         $ 1,542,936

DoubleLine Strategic Commodity Fund (Consolidated)

         $ 24,434

DoubleLine Global Bond Fund

         $ 189,421

DoubleLine Infrastructure Income Fund

         $ 2,182,224

DoubleLine Shiller Enhanced International CAPE®

         $ 14,455,349

As of March 31, 2019, the following funds deferred, on a tax basis, losses of:

 

         Post-October
Loss
   Late-Year
Loss

DoubleLine Shiller Enhanced CAPE®

         $ 19,893,307      $ —  

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), consent fee income and equalization. For the period ended March 31, 2019, 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

         $ 174,096,920      $ (170,387,162 )      $ (3,709,758 )

DoubleLine Core Fixed Income Fund

           5,800,879        (5,800,879 )        —  

DoubleLine Emerging Markets Fixed Income Fund

           254,145        (254,145 )        —  

DoubleLine Multi-Asset Growth Fund (Consolidated)

           771,705        (771,562 )        (143 )

DoubleLine Low Duration Bond Fund

           2,754,781        (2,754,781 )        —  

DoubleLine Floating Rate Fund

           4        (4 )        —  

 

144   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

         Undistributed
(Accumulated)
Net
Investment
Income (Loss)
   Accumulated
Net Realized
Gain (Loss)
   Paid-in
Capital

DoubleLine Shiller Enhanced CAPE®

         $ 3,349,895      $ (56,189,612 )      $ 52,839,717

DoubleLine Flexible Income Fund

           3,872,775        (3,872,775 )        —  

DoubleLine Low Duration Emerging Markets Fixed Income Fund

           30,545        1,037,121        (1,067,666 )

DoubleLine Strategic Commodity Fund (Consolidated)

           (1,430,467 )        31,051,705        (29,621,238 )

DoubleLine Global Bond Fund

           1,170,382        (1,170,382 )        —  

DoubleLine Infrastructure Income Fund

           204,813        (204,813 )        —  

DoubleLine Shiller Enhanced International CAPE®

           165,809        (1,546,604 )        1,380,795

DoubleLine Colony Real Estate and Income Fund

           398        (398 )        —  

7.  Share Transactions

Transactions in each Fund’s shares were as follows:

 

        DoubleLine Total Return Bond Fund       DoubleLine Core Fixed Income Fund
        Period Ended
September 30, 2019
 

Year Ended

March 31, 2019

      Period Ended
September 30, 2019
 

Year Ended

March 31, 2019

        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          677,392,765     $ 7,217,808,744       1,490,179,137     $ 15,510,544,602           166,172,392     $ 1,830,186,219       464,583,673     $ 4,957,014,783

Class N

          95,949,927       1,022,456,555       183,601,877       1,910,373,756           9,905,235       108,978,540       22,061,542       235,534,950

Class R6

          11,898       127,204       —         —             9,050       100,000       —         —  

Reinvested Dividends

                                       

Class I

          60,904,896       650,142,236       116,927,597       1,216,005,602           11,708,674       129,237,974       21,266,340       227,044,296

Class N

          9,662,766       103,080,882       20,756,543       215,731,862           1,106,678       12,201,127       2,534,350       27,030,113

Class R6

          73       782       —         —             51       571       —         —  

Shares Redeemed

                                       

Class I

          (490,413,292 )       (5,231,466,545 )       (1,561,094,553 )       (16,225,662,105 )           (102,713,069 )       (1,133,627,214 )       (368,274,555 )       (3,923,381,287 )

Class N

          (86,230,701 )       (918,210,838 )       (359,862,616 )       (3,741,093,186 )           (13,776,679 )       (150,818,412 )       (41,791,012 )       (445,241,562 )

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          267,278,332     $ 2,843,939,020       (109,492,015 )     $ (1,114,099,469 )           72,412,332     $ 796,258,805       100,380,338     $ 1,078,001,293
                                       
        DoubleLine Emerging Markets Fixed Income Fund       DoubleLine Multi-Asset Growth Fund (Consolidated)
       

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

     

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          25,209,181     $ 265,390,472       49,438,398     $ 504,827,778           588,246     $ 5,427,226       3,149,417     $ 28,788,520

Class N

          5,323,073       55,907,275       8,624,137       88,009,516           —         —         —         —  

Class A

          —         —         —         —             3,829,562       35,304,484       10,395,458       94,432,779

Reinvested Dividends

                                       

Class I

          1,582,246       16,614,244       2,558,655       26,044,732           30,701       285,352       108,061       986,751

Class N

          247,523       2,599,678       399,647       4,071,656           —         —         —         —  

Class A

          —         —         —         —             12,352       114,305       42,502       385,282

Shares Redeemed

                                       

Class I

          (21,331,451 )       (224,237,683 )       (50,744,106 )       (518,520,307 )           (1,116,367 )       (10,310,829 )       (5,152,073 )       (46,888,464 )#

Class N

          (5,686,135 )       (59,801,282 )       (12,102,876 )       (123,607,795 )           —         —         —         —  

Class A

          —         —         —         —             (3,188,081 )       (29,395,180 )       (7,371,729 )       (66,960,743 )#

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          5,344,437     $ 56,472,704       (1,826,145 )     $ (19,174,420 )           156,413     $ 1,425,358       1,171,636     $ 10,744,125
                                       

 

  Semi-Annual Report   September 30, 2019   145


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

        DoubleLine Low Duration Bond Fund       DoubleLine Floating Rate Fund
       

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

     

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          181,418,319     $ 1,819,906,182       391,622,024     $ 3,891,548,519           1,410,850     $ 13,666,232       23,857,689     $ 235,473,395

Class N

          28,856,886       289,333,515       53,547,553       531,783,254           1,887,306       18,315,304       6,681,284       65,821,008

Class R6

          9,970       100,000       —         —             —         —         —         —  

Reinvested Dividends

                                       

Class I

          7,411,247       74,285,255       11,776,968       116,992,306           400,166       3,859,616       1,187,834       11,628,545

Class N

          1,748,657       17,509,316       3,256,885       32,321,353           128,471       1,241,221       313,544       3,072,852

Class R6

          52       520       —         —             —         —         —         —  

Shares Redeemed

                                       

Class I

          (131,984,347 )       (1,324,276,035 )       (264,585,052 )       (2,629,407,787 )           (16,381,816 )       (158,136,336 )^       (31,064,172 )       (302,614,569 )~

Class N

          (20,321,294 )       (203,529,563 )       (52,645,346 )       (522,909,938 )           (6,489,957 )       (62,598,737 )^       (9,558,966 )       (93,271,217 )~

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          67,139,490     $ 673,329,190       142,973,032     $ 1,420,327,707           (19,044,980 )     $ (183,652,700 )       (8,582,787 )     $ (79,889,986 )
                                       
        DoubleLine Shiller Enhanced CAPE®       DoubleLine Flexible Income Fund
       

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

     

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          97,687,175     $ 1,496,361,233       151,929,898     $ 2,267,115,217           26,127,216     $ 253,917,377       59,682,054     $ 577,648,219

Class N

          30,603,114       468,969,801       40,052,173       604,670,228           6,040,663       58,737,850       13,525,967       130,809,752

Class R6

          7,594       119,082       —         —             10,267       100,000       —         —  

Reinvested Dividends

                                       

Class I

          4,206,959       64,323,060       31,787,951       450,246,732           1,991,124       19,342,434       3,775,328       36,469,886

Class N

          661,539       10,102,689       8,856,673       124,462,493           463,825       4,500,808       855,875       8,260,527

Class R6

          37       566       —         —             75       726       —         —  

Shares Redeemed

                                       

Class I

          (35,554,508 )       (543,119,774 )       (139,483,637 )       (2,028,238,261 )           (17,501,947 )       (170,284,359 )       (53,356,139 )       (515,250,500 )

Class N

          (13,777,110 )       (210,383,424 )       (34,219,885 )       (508,122,667 )           (2,829,884 )       (27,508,745 )       (12,760,234 )       (123,295,718 )

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          83,834,800     $ 1,286,373,233       58,923,173     $ 910,133,742           14,301,339     $ 138,806,091       11,722,851     $ 114,642,166
                                       
        DoubleLine Low Duration Emerging Markets Fixed Income Fund       DoubleLine Long Duration Total Return Bond Fund
       

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

     

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          3,136,708     $ 31,115,338       13,253,315     $ 127,800,155           1,088,213     $ 11,130,716       1,453,308     $ 13,757,195

Class N

          379,643       3,759,935       1,624,940       15,708,751           818,771       8,540,372       1,787,097       17,180,959

Reinvested Dividends

                                       

Class I

          201,501       1,998,056       268,895       2,596,179           23,790       248,356       31,489       298,458

Class N

          32,828       325,797       82,239       794,132           17,390       180,528       34,051       323,273

Shares Redeemed

                                       

Class I

          (2,742,411 )       (27,233,277 )       (8,026,631 )       (77,362,377 )           (622,093 )       (6,351,298 )       (476,449 )       (4,527,596 )

Class N

          (1,094,252 )       (10,894,514 )       (5,214,706 )       (50,304,061 )           (747,595 )       (7,632,990 )       (1,505,170 )       (14,329,963 )

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          (85,983 )     $ (928,665 )       1,988,052     $ 19,232,779           578,476     $ 6,115,684       1,324,326     $ 12,702,326
                                       

 

146   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

        DoubleLine Strategic Commodity Fund (Consolidated)       DoubleLine Global Bond Fund
       

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

     

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          12,138,020     $ 112,050,087       51,965,097     $ 516,765,655           10,752,646     $ 111,897,909       41,896,109     $ 431,191,745

Class N

          1,111,397       10,324,968       4,278,833       43,053,774           46,309       481,803       454,642       4,665,810

Reinvested Dividends

                                       

Class I

          —         —         492,779       4,381,702           6,021       62,856       11,116       112,997

Class N

          —         —         64,971       573,842           4,368       45,766       24,717       250,561

Shares Redeemed

                                       

Class I

          (16,855,010 )       (155,020,874 )       (27,846,073 )       (265,573,494 )           (952,937 )       (9,948,686 )       (1,374,705 )       (13,942,614 )

Class N

          (2,303,251 )       (21,396,253 )       (4,339,895 )       (41,915,785 )           (1,155,171 )       (12,085,158 )       (1,613,491 )       (16,291,034 )

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          (5,908,844 )     $ (54,042,072 )       24,615,712     $ 257,285,694           8,701,236     $ 90,454,490       39,398,388     $ 405,987,465
                                       
        DoubleLine Infrastructure Income Fund       DoubleLine Ultra Short Bond Fund
       

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

     

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          1,098,026     $ 11,265,375       4,224,035     $ 41,902,955           10,599,335     $ 106,621,789       13,957,515     $ 140,002,062

Class N

          86,265       891,534       302,384       3,006,495           222,701       2,239,803       310,286       3,115,733

Reinvested Dividends

                                       

Class I

          23,304       240,528       82,364       816,483           35,306       354,640       53,340       534,792

Class N

          3,788       39,103       27,897       276,193           4,141       41,635       3,341       33,526

Shares Redeemed

                                       

Class I

          (1,977,280 )       (20,199,421 )       (4,570,223 )       (45,235,490 )           (809,799 )       (8,139,823 )       (7,159,074 )       (71,734,991 )

Class N

          (52,956 )       (544,196 )       (2,004,820 )       (19,826,866 )           (33,571 )       (337,676 )       (90,656 )       (910,228 )

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          (818,853 )     $ (8,307,077 )       (1,938,363 )     $ (19,060,230 )           10,018,113     $ 100,780,368       7,074,752     $ 71,040,894
                                       
        DoubleLine Shiller Enhanced International CAPE®       DoubleLine Colony Real Estate and Income Fund
       

Period Ended

September 30, 2019

 

Year Ended

March 31, 2019

     

Period Ended

September 30, 2019

  Period Ended
March 31, 2019
        Shares   Amount   Shares   Amount       Shares   Amount   Shares   Amount

Shares Sold

                                       

Class I

          599,207     $ 6,265,588       1,839,855     $ 18,854,935           542,230     $ 6,391,458       10,736,749     $ 108,929,014

Class N

          309,169       3,191,620       802,298       8,490,189           174,386       2,021,678       392,524       4,227,770

Reinvested Dividends

                                       

Class I

          41,842       433,817       331,862       3,274,802           12,359       143,982       5,314       55,692

Class N

          26,886       278,524       193,658       1,915,570           5,130       59,585       925       10,283

Shares Redeemed

                                       

Class I

          (762,364 )       (7,868,253 )       (4,938,424 )       (52,154,309 )           (196,159 )       (2,273,367 )       (18,044 )       (193,793 )

Class N

          (419,791 )       (4,356,193 )       (1,630,229 )       (17,044,623 )           (81,734 )       (943,830 )       (6,653 )       (72,475 )

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

          (205,051 )     $ (2,054,897 )       (3,400,980 )     $ (36,663,436 )           456,212     $ 5,399,506       11,110,815     $ 112,956,491
                                       

 

  Semi-Annual Report   September 30, 2019   147


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

         DoubleLine Emerging Markets
Local Currency Bond Fund
       DoubleLine Income Fund
        

Period Ended

September 30, 2019

      

Period Ended

September 30, 2019

         Shares    Amount        Shares    Amount

Shares Sold

                           

Class I

           990,000      $ 9,900,000            8,016,170      $ 79,900,000

Class N

           10,000        100,000            10,000        100,000

Reinvested Dividends

                           

Class I

           5,943        57,170            1,546        15,394

Class N

           54        518            14        139

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

           1,005,997      $ 10,057,688            8,027,730      $ 80,015,533

 

^

Net of redemption fees of $6,602 and $2,486 for Class I and Class N, respectively.

 

#

Net of redemption fees of $731 and $1,737 for Class I and Class A, respectively.

 

~

Net of redemption fees of $135,897 and $43,503 for Class I and Class N, respectively.

8.  Trustees Fees

Trustees who are not affiliated with each Adviser and its affiliates receive fees from the Trust. These trustees may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the Funds, are treated as if invested in shares of Funds designated by each Trustee 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 any increase (decrease) in the value of the deferred amounts. Certain trustees and officers of the Funds are also officers of each Adviser; such trustees and officers are not compensated by the Funds.

For the period ended September 30, 2019, the Trustees received as a group:

 

         Current
Fees
   Increase/(Decrease) in
Value of Deferred
Amount
   Trustees Fees

DoubleLine Total Return Bond Fund

         $ 275,633      $ 17,534      $ 293,167

DoubleLine Core Fixed Income Fund

           65,245        4,024        69,269

DoubleLine Emerging Markets Fixed Income Fund

           6,588        398        6,986

DoubleLine Multi-Asset Growth Fund (Consolidated)

           1,202        75        1,277

DoubleLine Low Duration Bond Fund

           38,851        2,418        41,269

DoubleLine Floating Rate Fund

           4,505        149        4,654

DoubleLine Shiller Enhanced CAPE®

           39,937        2,139        42,076

DoubleLine Flexible Income Fund

           8,331        458        8,789

DoubleLine Low Duration Emerging Markets Fixed Income Fund

           1,125        76        1,201

DoubleLine Long Duration Total Return Bond Fund

           400        29        429

DoubleLine Strategic Commodity Fund (Consolidated)

           4,421        162        4,583

DoubleLine Global Bond Fund

           4,433        382        4,815

DoubleLine Infrastructure Income Fund

           3,762        182        3,944

DoubleLine Ultra Short Bond Fund

           920        88        1,008

DoubleLine Shiller Enhanced International CAPE®

           790        21        811

DoubleLine Colony Real Estate and Income Fund

           1,788        43        1,831

DoubleLine Emerging Markets Local Currency Bond Fund

           504        1        505

DoubleLine Income Fund

           258        —          258

 

148   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

9.  Additional Disclosures about Derivative Instruments

The following disclosures provide information on the Funds’ use of derivatives and certain related risks. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following tables.

The average volume of derivative activity during the period ended September 30, 2019 is as follows:

 

        DoubleLine Total Return
Bond Fund
  DoubleLine Multi-
Asset Growth  Fund
(Consolidated)
  DoubleLine Shiller
Enhanced CAPE®
  DoubleLine Long
Duration Total
Return Bond  Fund
  DoubleLine Strategic
Commodity Fund
(Consolidated)
  DoubleLine Shiller
Enhanced
International CAPE®
  DoubleLine
Colony Real Estate
and Income Fund

Average Market Value

                                                                         

Futures Contracts - Long

        $ (11,880,495 )     $ 453,677     $ —       $ 645,948     $ —       $ —       $ —  

Futures Contracts - Short

          —         17,740       —         (534,813 )       —         —         —  

Average Notional Balance

                                                                         

Excess Return Swaps - Long

          —         48,180,000       6,385,000,000       —         399,733,333       53,400,000       117,873,333

Excess Return Swaps - Short

          —         4,240,000       —         —         59,166,667       —         —  

Forward Currency Exchange Contracts

          —         27,799,154       —         —         —         68,569,993       —  

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 marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses and are recorded in net realized gain (loss) on investments on the Statements of Operations. 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 and are recorded in net realized gain (loss) on investments on the Statements of Operations. 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 risk that the value of the underlying instrument will depreciate. Writing call options tends to decrease a Fund’s ability to benefit from appreciation in the value in the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded as a liability on the Fund’s Statement of Assets and Liabilities and marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains and are recorded in net realized gain (loss) on written options on the Statements of Operations. 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 and are recorded in net realized gain (loss) on written options on the Statements of Operations. 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.

Futures Contracts  Futures contracts typically involve a contractual commitment to buy or sell a particular instrument or index unit 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. Such collateral is recorded in deposit at broker for futures in the Statements of Assets and Liabilities. 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. The variation margin is recorded on the Statements of Assets and Liabilities. The cumulative change in value of futures contracts is recorded in net unrealized appreciation (depreciation) on futures on the Statements of Assets and Liabilities. Gains or losses are recognized but not considered realized until the contracts expire or are closed and are recorded in net realized gain (loss) on futures on the Statements of Operations. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.

 

  Semi-Annual Report   September 30, 2019   149


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

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 in net unrealized appreciation (depreciation) on forwards on the Statements of Assets and Liabilities. 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 on the Statements of Operations. 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 typically involve one party making a stream of payments (generally referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event in respect of a referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund generally will receive from the buyer of protection a fixed rate of income throughout the term of the swap. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap.

If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund typically will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund typically will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. Recovery values are typically estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. An index credit default swap references all the names in the index, and if there is a default with respect to a single name in the index, the credit event is generally 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. Upfront premiums (received) paid including accretion (amortization) less any collateral held at the counterparty are reflected in deposit at broker for swaps on the Statements of Assets and Liabilities. The marked-to-market value less a financing rate, if any, is included in net unrealized appreciation (depreciation) on swaps on the Statements of Assets and Liabilities. At termination or maturity of the swap, the cumulative marked-to-market on the value less a financing rate, if any, is recorded in realized gain (loss) on swaps on the Statements of Operations.

Interest Rate Swap Agreements  The Funds may enter into interest rate swap agreements. Interest rate swap agreements involve an exchange with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets. The value is marked to market and is recorded in net unrealized appreciation (depreciation) on swaps on the Statements of Assets and Liabilities. At termination or maturity date, the interest on the notional amount of principal is exchanged and is recorded in net realized gain (loss) on swaps on the Statements of Operations.

Excess Return Swap Agreements  The Funds may enter into excess return swaps for investment purposes. Excess 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. The marked-to-market value less a financing rate, if any, is recorded in net unrealized appreciation (depreciation) on swaps on the Statements of Assets and Liabilities. At termination

 

150   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

or maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any, and is recorded in net realized gain (loss) on swaps on the Statements of Operations. To the extent the marked-to-market value of an excess return swap appreciates to the benefit of a Fund and exceeds certain contractual thresholds, a Fund’s counterparty may be contractually required to provide collateral. If the marked-to-market value of an excess return swap depreciates in value to the benefit of a counterparty and exceeds certain contractual thresholds, a Fund would generally be required to provide collateral for the benefit of its counterparty. Assets provided by the Funds as collateral are reflected as a component of investments in unaffiliated securities at value on the Statements of Assets and Liabilities and are noted on the Schedules of Investments. Assets provided to a Fund by a counterparty as collateral are not assets of the Fund and are not a component of a Fund’s net asset value.

The Funds’ derivative instrument holdings are summarized in the following tables.

The effect of derivative instruments on the Statements of Assets and Liabilities for the period ended September 30, 2019 was as follows:

 

            Derivatives not accounted for as hedging instruments
Statements of Assets and Liabilities Location       Commodity Risk   Equity Risk   Foreign Exchange
Rate Risk
  Interest Rate Risk   Total
Net Unrealized Appreciation (Depreciation) on:                        

Forwards

                       

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ —       $ —       $ (349,484 )     $ —       $ (349,484 )

DoubleLine Shiller Enhanced International CAPE®

          —         —         (1,556,815 )       —         (1,556,815 )

Futures

                       

DoubleLine Total Return Bond Fund

        $ —       $ —       $ —       $ (11,880,495 )     $ (11,880,495 )

DoubleLine Multi-Asset Growth Fund (Consolidated)

          —         (380,908 )       —         (94,345 )       (475,253 )

DoubleLine Long Duration Total Return Bond Fund

          —         —         —         (233,570 )       (233,570 )

Swaps

                       

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ (154,471 )     $ 201,407     $ —       $ —       $ 46,936

DoubleLine Shiller Enhanced CAPE®

          —         243,730,851       —         —         243,730,851

DoubleLine Strategic Commodity Fund (Consolidated)

          1,844,982       —         —         —         1,844,982

DoubleLine Shiller Enhanced International CAPE®

          —         4,447,620       —         —         4,447,620

DoubleLine Colony Real Estate and Income Fund

          —         21,108,283       —         —         21,108,283

The effect of derivative instruments on the Statements of Operations for the period ended September 30, 2019 was as follows:

 

            Derivatives not accounted for as hedging instruments
Statements of Operations Location       Commodity Risk   Equity Risk   Foreign Exchange
Rate Risk
  Interest Rate Risk   Total
Net Realized Gain (Loss) on:                        

Forwards

                       

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ —       $ —       $ 38,812     $ —       $ 38,812

DoubleLine Shiller Enhanced International CAPE®

          —         —         (2,538,349 )       —         (2,538,349 )

Futures

                       

DoubleLine Total Return Bond Fund

        $ —       $ —       $ —       $ 23,277,339     $ 23,277,339

DoubleLine Multi-Asset Growth Fund (Consolidated)

          —         1,180,567       (220,314 )       1,202,578       2,162,831

DoubleLine Long Duration Total Return Bond Fund

          —         —         —         1,685,184       1,685,184

Swaps

                       

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ 83,015     $ 4,215,143     $ —       $ —       $ 4,298,158

DoubleLine Shiller Enhanced CAPE®

          —         225,097,527       —         —         225,097,527

DoubleLine Strategic Commodity Fund (Consolidated)

          (32,410,619 )       —         —         —         (32,410,619 )

DoubleLine Shiller Enhanced International CAPE®

          —         493,489       —         —         493,489

DoubleLine Colony Real Estate and Income Fund

          —         155,536       —         —         155,536

 

  Semi-Annual Report   September 30, 2019   151


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

 

            Derivatives not accounted for as hedging instruments
Statements of Operations Location       Commodity Risk   Equity Risk   Foreign Exchange
Rate Risk
  Interest Rate Risk   Total
Net Change in Unrealized Appreciation (Depreciation) on:                        

Forwards

                       

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ —       $ —       $ (298,204 )     $ —       $ (298,204 )

DoubleLine Shiller Enhanced International CAPE®

          —         —         (77,029 )       —         (77,029 )

Futures

                       

DoubleLine Total Return Bond Fund

        $ —       $ —       $ —       $ (11,880,495 )     $ (11,880,495 )

DoubleLine Multi-Asset Growth Fund (Consolidated)

          —         (799,299 )       55,240       (416,404 )       (1,160,463 )

DoubleLine Long Duration Total Return Bond Fund

          —         —         —         (444,479 )       (444,479 )

Swaps

                       

DoubleLine Multi-Asset Growth Fund (Consolidated)

        $ (246,741 )     $ (2,400,462 )     $ —       $ —       $ (2,647,203 )

DoubleLine Shiller Enhanced CAPE®

          —         15,487,703       —         —         15,487,703

DoubleLine Strategic Commodity Fund (Consolidated)

          (639,608 )       —         —         —         (639,608 )

DoubleLine Shiller Enhanced International CAPE®

          —         1,231,540       —         —         1,231,540

DoubleLine Colony Real Estate and Income Fund

          —         9,827,704       —         —         9,827,704

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 are intended to allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

As of September 30, 2019 the Funds 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

     $ 254,508      $ 254,508      $ —        $      $      $ —  

Swap Contracts

       201,407               201,407                      201,407
     $ 455,915      $ 254,508      $ 201,407      $      $      $ 201,407

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

     $ 603,992      $ 254,508      $ 349,484      $ 158,932      $      $ 190,552

Swap Contracts

       154,471        —          154,471        154,471               —  
     $ 758,463      $ 254,508      $ 503,955      $ 313,403      $      $ 190,552

 

152   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

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

     $ 256,953,247      $ 13,222,396      $ 243,730,851      $ 192,590,874      $      $ 51,139,977

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

     $ 13,222,396      $ 13,222,396      $      $      $      $

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

     $ 6,956,020      $ 2,924,007      $ 4,032,013      $ 4,032,013      $      $

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

     $ 5,111,038      $ 2,924,007      $ 2,187,031      $ 2,187,031      $      $

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

     $ 28,973      $ 28,973      $ —        $ —        $      $ —  

Swap Contracts

       4,447,620               4,447,620        4,049,197               398,423
     $ 4,476,593      $ 28,973      $ 4,447,620      $ 4,049,197      $      $ 398,423

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

     $ 1,585,788      $ 28,973      $ 1,556,815      $ 1,301,068      $      $ 255,747

 

  Semi-Annual Report   September 30, 2019   153


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

DoubleLine Colony Real Estate and Income 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

Swap Contracts

     $ 21,139,911      $ 31,628      $ 21,108,283      $ 21,108,283      $      $

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

     $ 31,628      $ 31,628      $      $      $      $

11.  Bank Loans

The Funds may make loans directly to borrowers and may acquire or invest in loans made by others (“loans”). The Funds may acquire a loan interest directly by acting as a member of the original lending syndicate. Alternatively, the Funds may acquire some or all of the interest of a bank or other lending institution in a loan to a particular borrower by means of a novation, an assignment or a participation. The loans in which the Funds may invest include those that pay fixed rates of interest and those that pay floating rates—i.e., rates that adjust periodically based on a known lending rate, such as a bank’s prime rate. The Funds may purchase and sell interests in bank loans on a when-issued and delayed delivery basis, with payment delivery scheduled for a future date. Securities purchased on a delayed delivery basis are marked to market daily and no income accrues to the Funds prior to the date the Funds actually take delivery of such securities. These transactions are subject to market fluctuations and are subject, among other risks, to the risk that the value at delivery may be more or less than the trade purchase price.

12.  Credit Facility

U.S. Bank, N.A. (the “Bank”) has made available to the Trust, excluding the DoubleLine Emerging Markets Local Currency Bond Fund (the “DoubleLine Funds”) an uncommitted $725,000,000 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% annually.

The Bank has also made available to the DoubleLine Floating Rate Fund a committed $100,000,000 credit facility. Borrowings under this credit facility bear interest at the Bank’s prime rate less 0.50% annually and the credit facility bears an unused commitment fee equal to 0.12% annually on the unused portion of the credit facility.

For the period ended September 30, 2019, the Funds’ credit facility activity is as follows:

 

         Average
Borrowings
   Maximum
Amount
Outstanding
   Interest
Expense
   Commitment
Fee
   Average
Interest Rate

DoubleLine Emerging Markets Fixed Income Fund

         $ 5,198,333      $ 27,305,000      $ 6,273      $ —          4.89%

DoubleLine Floating Rate Fund

           8,481,000        37,222,000        16,975        60,576        4.88%

DoubleLine Low Duration Emerging Markets Fixed Income Fund

           1,441,222        5,474,000        1,727        —          4.92%

DoubleLine Long Duration Total Return Bond Fund

           15,000        22,000        4        —          4.88%

DoubleLine Global Bond Fund

           318,333        319,000        133        —          5.00%

 

154   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

13.  Significant Shareholder Holdings

As of September 30, 2019, a single beneficial shareholder otherwise unaffiliated with the Funds held 89% of the outstanding Class I shares of DoubleLine Colony Real Estate and Income Fund and 85% of DoubleLine Colony Real Estate and Income Fund’s total outstanding shares. That shareholder may be deemed to control the DoubleLine Colony Real Estate and Income Fund and a redemption of all or a substantial portion of that shareholder’s investment in DoubleLine Colony Real Estate and Income Fund may adversely affect its investment performance.

As of September 30, 2019, unaffiliated shareholders owned 5% or more of the following Funds’ share classes:

 

         Shares    % of Total Outstanding
Shares - Per Class
   % of Total Outstanding
Shares - Total Fund

DoubleLine Infrastructure Income Fund - Class N

           17,109        6%        0%

DoubleLine Colony Real Estate and Income Fund - Class I

           9,856,683        89%        85%

As of September 30, 2019, shareholders affiliated with the Funds and/or Advisers (other than other DoubleLine Funds) owned shares of the Funds as follows:

 

         Shares    % of Total Outstanding
Shares - Per Class
   % of Total Outstanding
Shares - Total Fund

DoubleLine Total Return Bond Fund - Class R6

           11,970        100%        0%

DoubleLine Core Fixed Income Fund - Class R6

           9,101        100%        0%

DoubleLine Low Duration Bond Fund - Class R6

           10,022        100%        0%

DoubleLine Shiller Enhanced CAPE® - Class R6

           7,631        100%        0%

DoubleLine Flexible Income Fund - Class R6

           10,342        100%        0%

DoubleLine Emerging Markets Local Currency Bond Fund - Class I

           995,943        100%        100%

DoubleLine Emerging Markets Local Currency Bond Fund - Class N

           10,054        100%        100%

DoubleLine Income Fund - Class I

           991,546        12%        12%

DoubleLine Income Fund - Class N

           10,014        100%        12%

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. For information on greater than 5% holders of certain Funds by other DoubleLine Funds, see Note 3 on Related and Other Party Transactions.

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 will have an incentive to invest 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, and will have an incentive to invest in such investment companies over investment companies sponsored or managed by others. Similarly, an Adviser will 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, underlying funds and/or investments 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.

 

  Semi-Annual Report   September 30, 2019   155


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

 

   

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”), Collateralized loan obligations (“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 of the issuer’s securities; 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 will likely at times have significant exposure to particular sectors through its commodities-related investments, including, for example, 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 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, such as repurchase and reverse repurchase agreements, entered into directly by the Fund or held by special purpose or structured vehicles in which the Fund invests. Subject to certain U.S. federal income tax limitations, 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.

 

   

debt securities risks:

 

  °  

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 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. The values of lower-quality debt securities (commonly known as “junk bonds”), including floating rate loans, tend to be particularly sensitive to these changes. The values of securities also may decline for a number of other reasons that relate directly to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods and services, as well as the historical and prospective earnings of the issuer and the value of its assets.

 

  °  

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.

 

  °  

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.

 

156   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

 

   

defaulted securities risk:  the risk of the uncertainty of repayment of defaulted securities (e.g., a security on which a principal or interest payment is not made when due) 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; 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, as compared to foreign developed markets, increases the likelihood that a Fund will lose money, due to more limited information about the issuer and/or the security; higher brokerage costs; different accounting, auditing and financial reporting standards; less developed legal systems and thinner trading markets; the possibility of currency blockages or transfer restrictions; an emerging market country’s dependence on revenue from particular commodities or international aid; and expropriation, nationalization or other adverse political or economic developments.

 

   

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 or transactions with one or more counterparties in the financial services sector may be adversely affected by, among other things: (i) changes in governmental regulation, which may limit both the amounts and the types of loans and other financial commitments financial services companies can make, the interest rates and fees they can charge, the scope of their activities, the prices they can charge and the amount of capital they must maintain; (ii) fluctuations, including as a result of interest rate changes or increased competition, in the availability and cost of capital of funds on which the profitability of financial services companies is largely dependent; (iii) deterioration of the credit markets; (iv) credit losses resulting from financial difficulties of borrowers, especially when financial services companies are exposed to non-diversified or concentrated loan portfolios; (v) financial losses associated with investment activities, especially when financial services companies are exposed to financial leverage; (vi) the risk that any financial services company experiences substantial declines in the valuations of its assets, takes action to raise capital, or ceases operations; (vii) 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 (viii) 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, relative to a Fund that invests in a more diverse investment portfolio, more susceptible to any single economic, market, political, regulatory or other occurrence. This is because, for example, issuers in a particular market, industry, region, sector or asset class may react similarly to specific economic, market, regulatory, political or other developments. The particular markets, industries, regions, sectors or asset classes in which the Fund may focus its investments may change over time and the Fund may alter its focus at inopportune times.

 

   

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 investments in foreign securities or in issuers with significant exposure to foreign markets, as compared to investments in U.S. securities or in issuers with predominantly domestic market exposure, may be more vulnerable to economic, political, and social instability and subject to less government supervision, lack of transparency, inadequate regulatory and accounting standards, and foreign taxes. 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.

 

  Semi-Annual Report   September 30, 2019   157


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

 

   

high yield risk:  the risk that debt instruments rated below investment grade or debt instruments that are unrated and of comparable or lesser 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 the portion of a Fund invested in instruments based on an index or basket of commodities or that use an index or basket of commodities as the reference asset may not match or may underperform the return of the index or basket for a number of reasons, including, for example, (i) the performance of derivatives related to an index or basket in which a Fund invests may not correlate with the performance of the index or basket and/or may underperform the index or basket due to by transaction costs, fees, or other aspects of the transaction’s pricing; (ii) the Fund may not be able to find counterparties willing to enter into derivative instruments whose returns are based on the return of the index or basket, or the Fund may be unable to find parties who are willing to do so transactions at an acceptable cost or level of risk to the Fund; and (iii) errors may arise in carrying out an index’s methodology, or an index provider may incorrectly report information concerning the index. There can be no guarantee that any index, will be maintained indefinitely or that a Fund will be able to continue to utilize a specific 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 value of the the Fund’s portfolio, and the risk of loss in excess of invested capital.

 

   

limited operating history risk:  the risk that a recently formed fund has 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:  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) any collateral securing a loan may be insufficient or unavailable to a Fund because, for example, the value of the collateral securing a loan can decline, be insufficient to meet the obligations of the borrower, or be difficult to liquidate, and the Fund’s rights to collateral may be limited by bankruptcy or insolvency laws; (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) there may be limited public information available regarding the loan and the relevant borrower(s); (vi) the use of a particular interest rate benchmark, such as LIBOR, may limit the Fund’s ability to achieve a net return to shareholders that consistently approximates the average published Prime Rate of U.S. banks; (vii) the prices of certain floating rate loans that include a feature that prevents their interest rates from adjusting if market interest rates are below a specified minimum level appreciate less than other instruments in response to changes in interest rates should interest rates rise but remain below the applicable minimum level; (viii) if a borrower fails to comply with various restrictive covenants that may be found in loan agreements, the borrower may default in payment of the loan; (ix) if a Fund invests in loans that contain fewer or less restrictive constraints on the borrower than certain other types of loans (“covenant-lite” loans), it may have fewer rights against the borrowers of such loans, including fewer protections against the possibility of default and fewer remedies in the event of default; (x) the Fund’s investments in loans may be subject to risks associated with

 

158   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

 

collateral impairment or access and risks associated with investing in unsecured loans; (xi) opportunities to invest in loans or certain types of loans, such as senior loans, may be limited; (xii) transactions in loans may settle on a delayed basis, and the Fund may not receive the proceeds from the sale of a loan for a substantial period of time after the sale, which may result in sale proceeds related to the sale of loans not being available to make additional investments or to meet a Fund’s redemption obligations until potentially a substantial period after the sale of the loans; and (xiii) loans may be difficult to value and may be illiquid, which may adversely affect an investment in the Fund.

 

   

market capitalization risk:  the risk that investing substantially in issuers in one market capitalization category (large, medium or small) may adversely affect a Fund because of unfavorable market conditions particular to that category of issuers, such as larger, more established companies being unable to respond quickly to new competitive challenges or attain the high growth rates of successful smaller companies, or, conversely, stocks of smaller companies being more volatile than those of larger companies due to, among other things, narrower product lines, more limited financial resources, fewer experienced managers and there typically being less publicly available information about small capitalization companies.

 

   

market risk:  the risk that 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 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. A Fund may invest in mortgage-backed securities that are subordinate in their right to receive payment of interest and re-payment of principal to other classes of the issuer’s securities.

 

   

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) the terms of 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 sector, 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. Along with the risks common to different types of real estate-related investments, real estate investment trusts (“REITs”), no matter the type, involve additional risk factors, including poor performance by the REIT’s manager, adverse changes to the tax laws, and the possible failure by the REIT to qualify for the favorable tax treatment available to REITs under the Internal Revenue Code of 1986, as amended (the “Code”), or the exemption from registration under the 1940 Act. REITs are not diversified and are heavily dependent on cash flow earned on the property interests they hold.

 

   

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

 

  Semi-Annual Report   September 30, 2019   159


Notes to Financial Statements  (Cont.)  

(Unaudited)

September 30, 2019

 

 

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, including with other strategies and funds, does not guarantee future results for the Fund.

 

   

restricted securities risk:  the risk that a Fund may be prevented or limited by law or the terms of an agreement from selling a security (a “restricted security”). To the extent that a Fund is permitted to sell a restricted security, there can be no assurance that a trading market will exist at any particular time and a Fund may be unable to dispose of the security 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.

 

   

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, index or interest rate 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 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.

 

   

valuation risk:  the risk that a Fund will not value its investments in a manner that accurately reflects their market values or that the Fund will not be able to sell any investment at a price equal to the valuation ascribed to that investment for purposes of calculating the Fund’s net asset value (“NAV”). The valuation of a Fund’s investments involves subjective judgment. Certain securities in which the Fund may invest may be more difficult to value accurately, especially during periods of market disruptions or extreme market volatility. Incorrect valuations of the Fund’s portfolio holdings could result in the Fund’s shareholder transactions being effected at an NAV that does not accurately reflect the underlying value of the Fund’s portfolio, resulting in the dilution of shareholder interests.

15.  Recently Issued Accounting Pronouncements

In March 2017, the FASB issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities acquired at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities acquired at a discount, which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.

 

160   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

16.  Subsequent Events

On October 2, 2019 and October 10, 2019, DoubleLine Multi-Asset Growth Fund honored redemption requests representing approximately, 38% and 65%, respectively, of its then outstanding shares. The Fund’s net assets before the redemption on October 2, 2019 were approximately $225 million, and following the redemption on October 10, 2019, the net assets were approximately $50 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.

 

  Semi-Annual Report   September 30, 2019   161


Shareholder Expenses  

(Unaudited)

September 30, 2019

 

Example

As a shareholder of the Funds, you incur two basic types of costs: (1) transaction costs , including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees and other Fund expenses.

This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period 4/1/19 through 9/30/19. Expenses paid during the period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The actual dollar amounts shown as expenses paid during the period for the DoubleLine Emerging Markets Local Currency Bond Fund and DoubleLine Income Fund are multiplied by 94/366 and 27/366 which are based on the dates of inception (June 28, 2019 and September 3, 2019), respectively. The actual dollar amounts shown as expenses paid during the period for each R6 Class of each respective fund are multiplied by 61/366, which is based on the date of inception of the R6 Class (July 31, 2019).

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 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
9/30/19
  Expenses
Paid During
Period*1
  Ending
Account
Value
9/30/19
  Expenses
Paid During
Period*1

DoubleLine Total Return Bond Fund

      Class I       0.49%     $  1,000     $  1,040     $  2.50     $  1,023     $  2.48

    

      Class N       0.74%     $  1,000     $  1,038     $  3.77     $  1,021     $  3.74

    

      Class R6       0.43%     $  1,000     $  1,015     $  0.72     $  1,023     $  2.17

DoubleLine Core Fixed Income Fund

      Class I       0.41%     $  1,000     $  1,046     $  2.10     $  1,023     $  2.07

    

      Class N       0.66%     $  1,000     $  1,044     $  3.37     $  1,022     $  3.34

    

      Class R6       0.37%     $  1,000     $  1,013     $  0.62     $  1,023     $  1.87

DoubleLine Emerging Markets Fixed Income Fund

      Class I       0.90%     $  1,000     $  1,037     $  4.58     $  1,021     $  4.55

    

      Class N       1.15%     $  1,000     $  1,035     $  5.85     $  1,019     $  5.81

DoubleLine Multi-Asset Growth Fund (Consolidated)

      Class I       0.99%     $  1,000     $  1,025     $  5.01     $  1,020     $  5.00

    

      Class A       1.24%     $  1,000     $  1,023     $  6.27     $  1,019     $  6.26

 

162   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

                       Actual  

Hypothetical

(5% return
before expenses)

             Fund’s
Annualized
Expense  Ratio1
  Beginning
Account
Value
  Ending
Account
Value
9/30/19
  Expenses
Paid During
Period*1
  Ending
Account
Value
9/30/19
  Expenses
Paid  During
Period*1

DoubleLine Low Duration Bond Fund

      Class I       0.41%     $  1,000     $  1,023     $  2.07     $  1,023     $  2.07

    

      Class N       0.66%     $  1,000     $  1,021     $  3.34     $  1,022     $  3.34

    

      Class R6       0.38%     $  1,000     $  1,005     $  0.63     $  1,023     $  1.92

DoubleLine Floating Rate Fund

      Class I       0.69%     $  1,000     $  1,018     $  3.48     $  1,022     $  3.49

    

      Class N       0.94%     $  1,000     $  1,015     $  4.74     $  1,020     $  4.75

DoubleLine Shiller Enhanced CAPE®

      Class I       0.54%     $  1,000     $  1,062     $  2.78     $  1,022     $  2.73

    

      Class N       0.79%     $  1,000     $  1,060     $  4.07     $  1,021     $  3.99

    

      Class R6       0.48%     $  1,000     $  992     $  0.80     $  1,023     $  2.43

DoubleLine Flexible Income Fund

      Class I       0.70%     $  1,000     $  1,027     $  3.55     $  1,022     $  3.54

    

      Class N       0.95%     $  1,000     $  1,026     $  4.81     $  1,020     $  4.80

    

      Class R6       0.65%     $  1,000     $  1,002     $  1.08     $  1,022     $  3.29

DoubleLine Low Duration Emerging Markets Fixed Income Fund

      Class I       0.59%     $  1,000     $  1,031     $  3.00     $  1,022     $  2.98

    

      Class N       0.84%     $  1,000     $  1,030     $  4.26     $  1,021     $  4.24

DoubleLine Long Duration Total Return Bond Fund

      Class I       0.65%     $  1,000     $  1,122     $  3.45     $  1,022     $  3.29

    

      Class N       0.90%     $  1,000     $  1,120     $  4.77     $  1,021     $  4.55

DoubleLine Strategic Commodity Fund (Consolidated)

      Class I       1.10%     $  1,000     $  940     $  5.34     $  1,020     $  5.55

    

      Class N       1.35%     $  1,000     $  940     $  6.55     $  1,018     $  6.81

DoubleLine Global Bond Fund

      Class I       0.55%     $  1,000     $  1,012     $  2.77     $  1,022     $  2.78

    

      Class N       0.80%     $  1,000     $  1,011     $  4.02     $  1,021     $  4.04

DoubleLine Infrastructure Income Fund

      Class I       0.56%     $  1,000     $  1,049     $  2.87     $  1,022     $  2.83

    

      Class N       0.81%     $  1,000     $  1,048     $  4.15     $  1,021     $  4.09

DoubleLine Ultra Short Bond Fund

      Class I       0.23%     $  1,000     $  1,014     $  1.16     $  1,024     $  1.16

    

      Class N       0.48%     $  1,000     $  1,013     $  2.42     $  1,023     $  2.43

DoubleLine Shiller Enhanced International CAPE®

      Class I       0.61%     $  1,000     $  1,045     $  3.12     $  1,022     $  3.08

    

      Class N       0.86%     $  1,000     $  1,044     $  4.39     $  1,021     $  4.34

DoubleLine Colony Real Estate and Income Fund

      Class I       0.63%     $  1,000     $  1,098     $  3.30     $  1,022     $  3.18

    

      Class N       0.88%     $  1,000     $  1,097     $  4.61     $  1,021     $  4.45

DoubleLine Emerging Markets Local Currency Bond Fund

      Class I       0.91%     $  1,000     $  968     $  2.30     $  1,020     $  4.60

    

      Class N       1.16%     $  1,000     $  967     $  2.93     $  1,019     $  5.86

DoubleLine Income Fund

      Class I       0.67%     $  1,000     $  998     $  0.49     $  1,022     $  3.39

    

      Class N       0.90%     $  1,000     $  998     $  0.66     $  1,021     $  4.55

* Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The actual dollar amounts shown as expenses paid during the period for the DoubleLine Emerging Markets Local Currency Bond Fund and DoubleLine Income Fund are multiplied by 94/366 and 27/366 which are based on the dates of inception (June 28, 2019 and September 3, 2019), respectively. The actual dollar amounts shown as expenses paid during the period for each R6 Class of each respective fund are multiplied by 61/366, which is based on the date of inception of the R6 Class (July 31, 2019).

1 Reflects fee waiver and expense limitation arrangements in effect during the period.

 

  Semi-Annual Report   September 30, 2019   163


Evaluation of Advisory Agreement by the Board of Trustees  

(Unaudited)

September 30, 2019

 

DoubleLine Emerging Markets Local Currency Bond Fund

At the May 23, 2019 meeting of the Board of Trustees (the “Trustees”) of DoubleLine Funds Trust (the “Trust”), the Trustees, including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”) voting separately, approved the Investment Management Agreement (the “Agreement”) between the Trust, on behalf of DoubleLine Emerging Markets Local Currency Bond Fund (the “Fund”), and DoubleLine Capital LP (the “Adviser”). This summary describes a number, but not necessarily all, of the most important factors considered by the Trustees 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 funds within the Trust and in connection with their consideration of the renewal of the advisory contracts between the Adviser and other funds within the Trust, which at that time had last occurred at the February 2019 meeting. The Trustees noted that they would consider the 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 Independent Trustees were advised by independent counsel.

The Trustees’ determination to approve the Agreement was based on an evaluation of all of the information provided to them. The Trustees noted that the non-fee terms of the Agreement were substantially similar to those of the investment management agreements in effect for the most recently launched funds within the Trust. The Trustees considered generally the Adviser’s long-term performance record and the strong overall demand for products managed by the Adviser.

The Trustees considered the Adviser’s experience in managing fixed income portfolios generally. The Trustees considered the qualifications, experience, and responsibilities of the proposed portfolio management team of the Fund, including their experience managing exposures to non-U.S. issuers and to securities denominated in non-U.S. currencies, and other key personnel who would be involved in the day-to-day investment activities of the Fund. In particular, the Trustees considered the Adviser’s experience in managing the DoubleLine Emerging Markets Fixed Income Fund and the DoubleLine Global Bond Fund and noted that the proposed portfolio management team of the Fund included members of the portfolio management teams of those other funds within the Trust.

The Trustees considered that the Adviser would provide a variety of services to the Fund in addition to investment advisory services, including, among others, a number of back-office services, valuation services, compliance services, certain forms of information technology services (such as internal reporting), assistance with accounting and distribution services, and supervision and monitoring of the Fund’s other service providers. The Trustees also considered the nature, extent, and structure of the compliance procedures and the trading capabilities of the Adviser. The Trustees concluded that it appeared that the Adviser would have, or have available to it, sufficient quality and depth of personnel, resources, investment methods, and compliance policies and procedures to perform its duties under the Agreement, and that the nature, overall quality, and extent of the management services to be provided to the Fund appeared likely to be satisfactory and reliable. They also considered the possible effects of adding an additional fund to the Trust on the capacities of the Adviser and its affiliates.

The Trustees considered the proposed structure and level of the management fee 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 relative expense information for Class I shares provided by Strategic Insight, an Asset International Company (“Strategic Insight”). In considering the expense peer group information presented, the Trustees took into account the information provided during the meeting by representatives of Strategic Insight who had participated in the construction of the peer group shown in the Strategic Insight report. The Trustees noted that the information provided by Strategic Insight indicated that the Fund’s proposed management fee under the Agreement was, on a gross (contractual) basis, below the median of the peer group. The Trustees also noted that the Strategic Insight report presented information as to net management fees for other funds in the peer group but not for the Fund. They noted, however, that the expense cap the Adviser intended to implement for the Fund was expected to result in the Fund incurring net operating expenses in line with the total expense ratios of the Fund’s peers, and that, as a result of that cap, the Fund’s actual net management fee may be close to or potentially below the median of the net management fees of the peer group for the term of the Fund’s expense cap.

As part of their evaluation of the proposed management fee, the Trustees noted the Adviser’s representation that it does not manage or sub-advise any other investment pools, funds or accounts with investment strategies substantially similar to those proposed for the Fund.

 

164   DoubleLine Funds Trust     


      

(Unaudited)

September 30, 2019

 

The Trustees reviewed information as to general estimates of the Adviser’s profitability from managing the Fund during the proposed initial term. The Trustees considered information provided by the Adviser as to the methods it uses, and the assumptions it makes, in calculating its profitability. 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 of those activities. The Trustees noted other benefits that could potentially be received by the Adviser and its affiliates as a result of the Adviser’s relationship with the Fund, including possible ancillary benefits to the institutional investment management business of the Adviser and its affiliates due to the reputation and market penetration of the Fund. The Trustees considered the Adviser’s representation that it had proposed a management fee and expense cap designed to cause the Fund to have a competitive fee structure even at low asset levels and that, in the Adviser’s belief, the proposed management fee reflected reasonably foreseeable economies of scale that the Adviser might experience as the Fund’s assets grow at least during the proposed initial term. The Trustees considered that the Adviser was implementing an expense cap for each share class of 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 within the Trust, the Trustees concluded that the Adviser’s profit from managing the Fund would likely not be excessive during the proposed initial term and that it did not appear appropriate at this time to consider the implementation of breakpoints in the management 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.

DoubleLine Income Fund

At the August 22, 2019 meeting of the Board of Trustees (the “Trustees”) of DoubleLine Funds Trust (the “Trust”), the Trustees, including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”) voting separately, approved the Investment Management Agreement (the “Agreement”) between the Trust, on behalf of DoubleLine Income Fund (the “Fund”), and DoubleLine Capital LP (the “Adviser”). This summary describes a number, but not necessarily all, of the most important factors considered by the Trustees 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 funds within the Trust and in connection with their consideration of the renewal of the advisory contracts between the Adviser and other funds within the Trust, which at that time had last occurred at the February 2019 meeting. The Trustees noted that they would consider the 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 Independent Trustees were advised by independent counsel.

The Trustees’ determination to approve the Agreement was based on an evaluation of all of the information provided to them. The Trustees noted that the non-fee terms of the Agreement were substantially similar to those of the investment management agreements in effect for the most recently launched funds within the Trust. The Trustees considered generally the Adviser’s long-term performance record and the strong overall demand for products managed by the Adviser.

The Trustees considered that the Fund will invest in a portfolio of income-producing instruments, including, without limitation, mortgage-backed securities, asset-backed securities, collateralized loan obligations, and a variety of other obligations, including those that may be unrated or rated below investment grade. The Trustees considered the Adviser’s experience in managing investments in such instruments as well as in managing fixed income portfolios generally. The Trustees considered the qualifications, experience, and responsibilities of the proposed portfolio management team of the Fund and other key personnel who would be involved in the day-to-day investment activities of the Fund.

The Trustees considered that the Adviser would provide a variety of services to the Fund in addition to investment advisory services, including, among others, a number of back-office services, valuation services, compliance services, certain forms of information technology services (such as internal reporting), assistance with accounting and distribution services, and supervision and monitoring of the Fund’s other service providers. The Trustees also considered the nature, extent, and structure of the compliance procedures and the trading capabilities of the Adviser. The Trustees concluded that it appeared that the Adviser would have, or have available to it, sufficient quality and depth of personnel, resources, investment methods, and compliance policies and

 

  Semi-Annual Report   September 30, 2019   165


Evaluation of Advisory Agreement by the Board of Trustees  (Cont.)  

(Unaudited)

September 30, 2019

 

procedures to perform its duties under the Agreement, and that the nature, overall quality, and extent of the management services to be provided to the Fund appeared likely to be satisfactory and reliable. They also considered the possible effects of adding an additional fund to the Trust on the capacities of the Adviser and its affiliates.

The Trustees considered the proposed structure and level of the management fee 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 relative expense information for Class I shares provided by Strategic Insight, an Asset International Company (“Strategic Insight”). In considering the expense peer group information presented, the Trustees took into account the information provided at a meeting of the Board of Trustees held on August 13, 2019 by representatives of Strategic Insight who had participated in the construction of the peer group shown in the Strategic Insight report. The Trustees noted that the information provided by Strategic Insight indicated that the Fund’s proposed management fee under the Agreement was, on a gross (contractual) basis, in the first quartile of the peer group. The Trustees also noted that the Strategic Insight report presented information as to net management fees for other funds in the peer group but not for the Fund. They noted, however, that the expense cap the Adviser intended to implement for the Fund was expected to result in the Fund incurring net operating expenses below the median of the total expense ratios of the Fund’s peers, and that the Fund’s gross (contractual) management fee was in line with the median of the net management fees of the other funds in the peer group before the effect of that expense cap.

As part of their evaluation of the proposed management fee, the Trustees noted the Adviser’s representation that it does not manage or sub-advise any other investment pools, funds or accounts with investment strategies substantially similar to those proposed for the Fund.

The Trustees reviewed information as to general estimates of the Adviser’s profitability from managing the Fund during the proposed initial term. The Trustees considered information provided by the Adviser as to the methods it uses, and the assumptions it makes, in calculating its profitability. 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 of those activities. The Trustees noted other benefits that could potentially be received by the Adviser and its affiliates as a result of the Adviser’s relationship with the Fund, including possible ancillary benefits to the institutional investment management business of the Adviser and its affiliates due to the reputation and market penetration of the Fund. The Trustees considered the Adviser’s representation that it had proposed a management fee and expense cap designed to cause the Fund to have a competitive fee structure even at low asset levels and that, in the Adviser’s belief, the proposed management fee reflected reasonably foreseeable economies of scale that the Adviser might experience as the Fund’s assets grow at least during the proposed initial term. The Trustees considered that the Adviser was implementing an expense cap for each share class of 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 within the Trust, the Trustees concluded that the Adviser’s profit from managing the Fund would likely not be excessive during the proposed initial term and that it did not appear appropriate at this time to consider the implementation of breakpoints in the management 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.

 

166   DoubleLine Funds Trust     


Federal Tax Information  

(Unaudited)

September 30, 2019

 

For the fiscal year ended March 31, 2019, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% (20% for taxpayers with taxable income greater than $425,800 for single individuals and $479,000 for married couples filing jointly), as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and The Tax Cuts and Jobs Act of 2017. 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

           0.01%

DoubleLine Emerging Markets Fixed Income Fund

           0.13%

DoubleLine Multi-Asset Growth Fund (Consolidated)

           10.80%

DoubleLine Low Duration Bond Fund

           0.01%

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

           0.09%

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%

DoubleLine Colony Real Estate and Income Fund

           0.00%

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended March 31, 2019 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)

           3.69%

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%

DoubleLine Colony Real Estate and Income Fund

           0.00%

 

  Semi-Annual Report   September 30, 2019   167


Federal Tax Information  (Cont.)  

(Unaudited)

September 30, 2019

 

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, 2019 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

           4.59%

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®

           5.17%

DoubleLine Flexible Income Fund

           0.00%

DoubleLine Low Duration Emerging Markets Fixed Income Fund

           2.72%

DoubleLine Long Duration Total Return Bond Fund

           0.00%

DoubleLine Strategic Commodity Fund (Consolidated)

           0.52%

DoubleLine Global Bond Fund

           0.00%

DoubleLine Infrastructure Income Fund

           0.00%

DoubleLine Ultra Short Bond Fund

           1.53%

DoubleLine Shiller Enhanced International CAPE®

           0.00%

DoubleLine Colony Real Estate and Income Fund

           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, 2019 for each Fund was as follows:

 

Qualified Interest Income         

DoubleLine Total Return Bond Fund

           100.00%

DoubleLine Core Fixed Income Fund

           77.73%

DoubleLine Emerging Markets Fixed Income Fund

           0.47%

DoubleLine Multi-Asset Growth Fund (Consolidated)

           33.41%

DoubleLine Low Duration Bond Fund

           78.10%

DoubleLine Floating Rate Fund

           97.94%

DoubleLine Shiller Enhanced CAPE®

           82.85%

DoubleLine Flexible Income Fund

           73.41%

DoubleLine Low Duration Emerging Markets Fixed Income Fund

           4.33%

DoubleLine Long Duration Total Return Bond Fund

           100.00%

DoubleLine Strategic Commodity Fund (Consolidated)

           62.59%

DoubleLine Global Bond Fund

           23.38%

DoubleLine Infrastructure Income Fund

           67.81%

DoubleLine Ultra Short Bond Fund

           81.62%

DoubleLine Shiller Enhanced International CAPE®

           62.42%

DoubleLine Colony Real Estate and Income Fund

           39.51%

DoubleLine Shiller Enhanced CAPE® and DoubleLine Shiller Enhanced International CAPE® designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), $573,680,725 and $4,460,272, respectively.

Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Funds.

 

168   DoubleLine Funds Trust     


Information About Proxy Voting  

(Unaudited)

September 30, 2019

 

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 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 SEC’s website at 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 Part F of Form N-PORT. When available, Part F of Form N-PORT (and Form N-Q prior to March 31, 2019) is available on the SEC website at www.sec.gov.

This report includes summary Schedules of Investments for the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Shiller Enhanced CAPE® and DoubleLine Flexible Income Fund. A complete Schedule of Investments for each Fund may be obtained, without charge, upon request, by calling 877-DLine11 (877-354-6311) and on the SEC website at www.sec.gov.

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.

 

  Semi-Annual Report   September 30, 2019   169


Privacy Policy  

(Unaudited)

September 30, 2019

 

What Does DoubleLine Do With Your Personal Information?

This notice provides information about how DoubleLine collects, shares, and protects your personal information, and how you might choose to limit our ability to share certain information about you. Please read this notice carefully.

Why do we need your personal information?

All financial companies need to share customers’ personal information to run their everyday businesses, to appropriately tailor the services offered to you (where applicable), and to comply with our regulatory obligations. 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 (where applicable), to make its customers aware of other financial products and services offered by a DoubleLine affiliated company, and to satisfy obligations we owe to regulatory bodies.

Information we may collect

We may collect various types of personal data about you, including:

 

   

Your personal identification information, which may include your name and passport information, your IP address, politically exposed person (“PEP”) status, and such other information as may be necessary for us to provide our services to you and to complete our customer due diligence process and discharge anti-money laundering obligations;

   

Your contact information, which may include postal address and e-mail address and your home and mobile telephone numbers;

   

Your family relationships, which may include your marital status, the identity of your spouse and the number of children that you have;

   

Your professional and employment information, which may include your level of education and professional qualifications, your employment, employer’s name and details of directorships and other offices which you may hold; and

   

Financial information, risk tolerance, sources of wealth and your assets, which may include details of shareholdings and beneficial interests in financial instruments, your bank details and your credit history.

Where we obtain your personal information

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.

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.

How and why we may share your information

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:

 

   

It may be necessary for DoubleLine 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.

 

170   DoubleLine Funds Trust     


   

(Unaudited)

September 30, 2019

 

   

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.

   

In order to alert a customer to other financial products and services offered by 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 1 (213) 633-8200. If you limit this sharing and you have a joint account, your decision will be applied to all owners of the account.

We will 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 maintain physical, electronic, and procedural safeguards to guard your non-public personal information.

Notice to “natural persons” residing in the European Economic Area (the “EEA”)

If you reside in the EEA, we may transfer your personal information outside the EEA, and will ensure that it is protected and transferred in a manner consistent with legal requirements applicable to the information. This can be done in a number of different ways, for instance:

 

   

the country to which we send the personal information may have been assessed by the European Commission as providing an “adequate” level of protection for personal data;

   

the recipient may have signed a contract based on standard contractual clauses approved by the European Commission; or

   

where the recipient is located in the U.S., it may be a certified member of the EU-U.S. Privacy Shield scheme.

In other circumstances, the law may permit us to otherwise transfer your personal information outside the EEA. In all cases, however, any transfer of your personal information will be compliant with applicable data protection law.

Retention of personal information and security

Your personal information will be retained for as long as required:

 

   

for the purposes for which the personal information was collected;

   

in order to establish or defend legal rights or obligations or to satisfy any reporting or accounting obligations; and/or

   

as required by data protection laws and any other applicable laws or regulatory requirements, including, but not limited to, U.S. laws and regulations applicable to our business.

We will undertake commercially reasonable efforts to protect the personal information that we hold with appropriate security measures.

Access To and Control of Your Personal Information

Depending on your country of domicile, you may have the following rights in respect of the personal information about you that we process:

 

   

the right to access and port personal information;

   

the right to rectify personal information;

   

the right to restrict the use of personal information;

   

the right to request that personal information is erased; and

   

the right to object to processing of personal information.

Although you have the right to request that your personal information be deleted at any time, applicable laws or regulatory requirements may prohibit us from doing so. If you are an investor in the DoubleLine funds, certain of the rights described above that may apply to direct clients of DoubleLine domiciled or resident outside the United States will not apply to you. In addition, if you invest in a DoubleLine fund through a financial intermediary, DoubleLine may not have access to personal information about you.

If you wish to exercise any of the rights set out above, please contact privacy@doubleline.com.

Changes to DoubleLine’s Privacy Policy

As required by U.S. federal law, DoubleLine will notify customers of DoubleLine’s Privacy Policy annually. DoubleLine reserves the right to modify its privacy policy at any time, but in the event that there is a change that affects the content of this notice materially, DoubleLine will promptly inform its customers of that change, in accordance with applicable law.

 

  Semi-Annual Report   September 30, 2019   171


LOGO     

 

LOGO

 

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

Custodians:

U.S. Bank, N.A.

1555 North River Center Drive

Suite 302

Milwaukee, WI 53212

State Street Bank and Trust Company

Channel Center

1 Iron Street

Boston, MA 02210

Independent Registered Public Accounting Firm:

PricewaterhouseCoopers LLP

601 South Figueroa Street

Los Angeles, CA 90017

Legal Counsel:

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Contact Information:

doublelinefunds.com

fundinfo@doubleline.com

1-877-DLine11 or

1-877-354-6311

DL-SEMI-DFT

 

 

DoubleLine Capital LP & DoubleLine Alternatives LP || 333 South Grand Avenue, 18th Floor  || Los Angeles, CA 90071 || (213) 633-8200

fundinfo@doubleline.com || www.doubleline.com

 


Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

The information required by this Item 6 (except with respect to the DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Shiller Enhanced CAPE and DoubleLine Flexible Income 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, DoubleLine Core Fixed Income Fund, DoubleLine Shiller Enhanced CAPE, and DoubleLine Flexible Income 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, DoubleLine Core Fixed Income Fund, DoubleLine Shiller Enhanced CAPE and DoubleLine Flexible Income 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

September 30, 2019 (Unaudited)

 

 

Principal Amount

$/Shares

      

Security Description

  

Rate

      

Maturity

      

Value $

Asset Backed Obligations - 3.9%

            

9,448,469

    

Americredit Automobile Receivables Trust, Series 2019-2-A1

   2.52%      06/18/2020      9,450,689

14,250,000

    

Applebee’s Funding LLC, Series 2019-1A-A2I

   4.19%   ^    06/07/2049      14,593,568

13,837,711

    

Aqua Finance Trust, Series 2017-A-A

   3.72%   ^    11/15/2035      13,974,043

16,791,250

    

CAL Funding Ltd., Series 2018-1A-A

   3.96%   ^    02/25/2043      16,954,350

7,815,599

    

Carmax Auto Owner Trust, Series 2019-2-A1

   2.60%      04/15/2020      7,827,264

30,506,002

    

Castlelake Aircraft Securitization Trust, Series 2016-1-A

   4.45%      08/15/2041      31,482,621

43,647,999

    

Castlelake Aircraft Securitization Trust, Series 2017-1-A

   3.97%      07/15/2042      44,405,292

16,324,901

    

Castlelake Aircraft Securitization Trust, Series 2018-1-A

   4.13%   ^    06/15/2043      16,777,820

235,654

    

Citi Held For Asset Issuance, Series 2015-PM1-C

   5.01%   ^    12/15/2021      235,806

2,917,173

    

Citi Held For Asset Issuance, Series 2015-PM2-C

   5.96%   ^    03/15/2022      2,921,013

31,931,661

    

CLI Funding LLC, Series 2018-1A-A

   4.03%   ^    04/18/2043      32,273,528

31,797,925

    

CLI Funding LLC, Series 2019-1A-A

   3.71%   ^    05/18/2044      32,453,127

22,282,113

    

Coinstar Funding LLC, Series 2017-1A-A2

   5.22%   ^    04/25/2047      22,972,488

4,536,956

    

Commonbond Student Loan Trust, Series 2015-A-A

   3.20%   ^    06/25/2032      4,546,070

10,280,513

    

Commonbond Student Loan Trust, Series 2016-A-A1

   3.32%   ^    05/25/2040      10,469,543

10,676,228

    

Consumer Installment Loan Trust, Series 2018-6-PT

   9.36%   # ^    06/17/2041      10,514,607

21,000,000

    

Credit Acceptance Auto Loan Trust, Series 2017-3A-A

   2.65%   ^    06/15/2026      21,059,522

41,000,000

    

Credit Acceptance Auto Loan Trust, Series 2018-1A-A

   3.01%   ^    02/16/2027      41,255,512

7,980,000

    

DB Master Finance LLC, Series 2019-1A-A2I

   3.79%   ^    05/20/2049      8,240,443

5,615,046

    

Dell Equipment Finance Trust, Series 2019-1-A1

   2.65%   ^    04/22/2020      5,625,234

48,739,235

    

Dividend SLR, Series 2019-1-A

   3.67%   ^    08/22/2039      49,207,097

3,250,036

    

DLL LLC, Series 2019-DA1-A1

   2.66%   ^    04/20/2020      3,251,136

6,182,798

    

Drive Auto Receivables Trust, Series 2017-3-C

   2.80%      07/15/2022      6,188,264

2,000,285

    

Drive Auto Receivables Trust, Series 2019-3-A1

   2.49%      06/15/2020      2,000,522

7,048,088

    

Earnest Student Loan Program LLC, Series 2016-B-A2

   3.02%   ^    05/25/2034      7,059,080

9,126,771

    

Earnest Student Loan Program LLC, Series 2016-D-A2

   2.72%   ^    01/25/2041      9,173,097

48,847,463

    

ECAF Ltd., Series 2015-1A-A2

   4.95%   ^    06/15/2040      48,969,582

5,207,271

    

Element Rail Leasing LLC, Series 2016-1A-A1

   3.97%   ^    03/19/2046      5,310,797

5,934,824

    

Enterprise Fleet Financing LLC, Series 2019-1-A1

   2.70%   ^    03/23/2020      5,947,013

25,500,000

    

ExteNet Issuer LLC, Series 2019-1A-A2

   3.20%   ^    07/26/2049      25,846,657

6,318,922

    

Falcon Aerospace Ltd., Series 2017-1-A

   4.58%   ^    02/15/2042      6,441,237

4,443,026

    

Foundation Finance Trust, Series 2016-1A-A

   3.96%   ^    06/15/2035      4,476,431

11,504,077

    

Foundation Finance Trust, Series 2019-1A-A

   3.86%   ^    11/15/2034      11,687,970

24,515,805

    

Global SC Finance Ltd., Series 2018-1A-A

   4.29%   ^    05/17/2038      25,440,232

35,030,739

    

Harbour Aircraft Investments Ltd., Series 2017-1-A

   4.00%      11/15/2037      35,189,954

6,442,210

    

HERO Funding Trust, Series 2016-3A-A2

   3.91%   ^    09/20/2042      6,670,040

16,075,776

    

HERO Funding Trust, Series 2016-4A-A2

   4.29%   ^    09/20/2047      16,807,480

13,046,126

    

Horizon Aircraft Finance Ltd., Series 2018-1-A

   4.46%   ^    12/15/2038      13,546,340

28,134,616

    

Horizon Aircraft Finance Ltd., Series 2019-1-A

   3.72%   ^    07/15/2039      28,204,868

48,000,000

    

JACK, Series 2019-1A-A23

   4.97%   ^    08/25/2049      49,814,880

62,524,000

    

Jimmy Johns Funding LLC, Series 2017-1A-A2II

   4.85%   ^    07/30/2047      66,169,393

23,527,298

    

JOL Air Ltd., Series 2019-1-A

   3.97%   ^    04/15/2044      23,781,628

12,000,000

    

Kabbage Funding LLC, Series 2019-1-A

   3.83%   ^    03/15/2024      12,135,764

21,750,000

    

Kabbage Funding LLC, Series 2019-1-B

   4.07%   ^    03/15/2024      21,962,471

8,004,402

    

Kestrel Aircraft Funding Ltd., Series 2018-1A-A

   4.25%   ^    12/15/2038      8,166,379

5,673,184

    

Kubota Credit Owner Trust, Series 2019-1A-A1

   2.51%   ^    06/15/2020      5,682,243

78,333,333

    

Labrador Aviation Finance Ltd., Series 2016-1A-A1

   4.30%   ^    01/15/2042      80,566,538

11,000,000

    

Lendmark Funding Trust, Series 2017-2A-A

   2.80%   ^    05/20/2026      10,996,240

1,222,577

    

Marlette Funding Trust, Series 2018-1A-A

   2.61%   ^    03/15/2028      1,222,796

8,657,410

    

Marlette Funding Trust, Series 2018-4A-A

   3.71%   ^    12/15/2028      8,743,424

23,521,198

    

Mill City Solar Loan 2019-2 Ltd., Series 2019-2GS-A

   3.69%   ^    07/20/2043      23,854,846

29,351,824

    

Mosaic Solar Loan Trust, Series 2017-2A-A

   3.82%   ^    06/22/2043      30,016,138

17,036,487

    

Mosaic Solar Loan Trust, Series 2018-1A-A

   4.01%   ^    06/22/2043      17,688,971

22,161,964

    

Mosaic Solar Loan Trust, Series 2018-2GS-A

   4.20%   ^    02/22/2044      22,980,423

3,817,170

    

Mosaic Solar Loan Trust, Series 2019-1A-A

   4.37%   ^    12/21/2043      3,934,870

23,000,000

    

Navient Private Education Loan Trust, Series 2017-A-B

   3.91%   ^    12/16/2058      24,179,999

30,000,000

    

Navient Private Education Loan Trust, Series 2018-BA-B

   4.13%   ^    12/15/2059      32,321,982

8,544,163

    

Newtek Small Business Loan Trust, Series 2018-1-A (1 Month LIBOR USD + 1.70%)

   3.72%   ^    02/25/2044      8,533,529

75,000,000

    

OneMain Financial Issuance Trust, Series 2017-1A-A1

   2.37%   ^    09/14/2032      74,955,953

12,022,670

    

Oxford Finance Funding LLC, Series 2016-1A-A

   3.97%   ^    06/17/2024      12,101,405

12,500,000

    

Oxford Finance Funding LLC, Series 2019-1A-A2

   4.46%   ^    02/15/2027      12,825,555

51,562,502

    

Pioneer Aircraft Finance Ltd., Series 2019-1-A

   3.97%   ^    06/15/2044      51,890,543

50,907,696

    

PPT2, Series 2019-ST1-A

   4.50%   ^    07/15/2025      51,061,844

11,250,000

    

Primose Funding LLC, Series 2019-1A-A2

   4.48%   ^    07/30/2049      11,270,961

16,536,350

    

Renew, Series 2017-2A-A

   3.22%   ^    09/22/2053      16,881,629

8,989,779

    

Santander Drive Auto Receivables Trust 2018-1, Series 2018-1-B

   2.63%      07/15/2022      8,997,365

4,481,664

    

Santander Drive Auto Receivables Trust, Series 2019-2-A1

   2.56%      05/15/2020      4,487,970

2,287,535

    

Santander Retail Auto Lease Trust, Series 2019-A-A1

   2.62%   ^    04/20/2020      2,290,968

16,771,674

    

SCF Equipment Leasing LLC, Series 2017-2A-A

   3.41%   ^    12/20/2023      16,960,721

30,265,469

    

Shenton Aircraft Investment Ltd., Series 2015-1A-A

   4.75%   ^    10/15/2042      31,115,656

9,968,547

    

SLM Private Credit Student Loan Trust, Series 2006-A-A5 (3 Month LIBOR USD + 0.29%, 0.29% Floor)

   2.41%      06/15/2039      9,763,872

7,611,999

    

SLM Private Credit Student Loan Trust, Series 2006-B-A5 (3 Month LIBOR USD + 0.27%, 0.27% Floor)

   2.39%      12/15/2039      7,432,624

36,525,641

    

SLVRR, Series 2019-1-A

   3.97%   ^    07/15/2044      37,063,956

1,554,746

    

SoFi Consumer Loan Program LLC, Series 2016-1-A

   3.26%   ^    08/25/2025      1,571,033

17,257,089

    

SoFi Consumer Loan Program LLC, Series 2017-6-A2

   2.82%   ^    11/25/2026      17,304,241

2,634,852

    

SoFi Consumer Loan Program Trust, Series 2016-2-A

   3.09%   ^    10/27/2025      2,644,954

11,933,981

    

SoFi Consumer Loan Program Trust, Series 2017-2-A

   3.28%   ^    02/25/2026      12,028,939

8,969,797

    

SoFi Consumer Loan Program Trust, Series 2017-5-A2

   2.78%   ^    09/25/2026      8,995,691

841,916

    

SoFi Consumer Loan Program Trust, Series 2018-1-A1

   2.55%   ^    02/25/2027      842,076

1,471,190

    

SoFi Consumer Loan Program Trust, Series 2018-2-A1

   2.93%   ^    04/26/2027      1,472,585

5,962,960

    

SoFi Consumer Loan Program Trust, Series 2018-4-A

   3.54%   ^    11/26/2027      6,031,231

9,273,842

    

SoFi Professional Loan Program, Series 2016-A-A2

   2.76%   ^    12/26/2036      9,335,374

20,000,000

    

SoFi Professional Loan Program, Series 2017-E-B

   3.49%   ^    11/26/2040      20,590,728

13,000,000

    

SoFi Professional Loan Program, Series 2017-E-C

   4.16%   ^    11/26/2040      13,716,145

22,800,000

    

SoFi Professional Loan Program, Series 2018-A-B

   3.61%   ^    02/25/2042      23,897,585

18,000,000

    

SoFi Professional Loan Program, Series 2018-B-BFX

   3.83%   ^    08/25/2047      19,043,158

7,511,062

    

SoFi Professional Loan Program, Series 2019-A-A1FX

   3.18%   ^    06/15/2048      7,592,270

5,723,886

    

Springleaf Funding Trust, Series 2016-AA-A

   2.90%   ^    11/15/2029      5,725,261

71,750,000

    

Springleaf Funding Trust, Series 2017-AA-A

   2.68%   ^    07/15/2030      71,942,491

26,100,855

    

Sprite Ltd., Series 2017-1-A

   4.25%   ^    12/15/2037      26,406,104

1,902,628

    

Spruce Asset Backed Securities Trust, Series 2016-E1-A

   4.32%   ^    06/15/2028      1,946,461

24,391,929

    

STARR Ltd., Series 2018-1-A

   4.09%   ^    05/15/2043      24,969,872

14,640,558

    

Sunnova Helios II Issuer LLC, Series 2018-1A-A

   4.87%   ^    07/20/2048      16,037,494

19,099,791

    

Sunnova Helios III Issuer LLC, Series 2019-AA-A

   3.75%   ^    06/20/2046      19,349,530

28,782,500

    

Taco Bell Funding LLC, Series 2018-1A-A2I

   4.32%   ^    11/25/2048      29,847,740

3,475,000

    

TAL Advantage LLC, Series 2013-2A-A

   3.55%   ^    11/20/2038      3,499,003

4,271,783

    

Textainer Marine Containers Ltd., Series 2017-1A-A

   3.72%   ^    05/20/2042      4,276,189

3,888,258

    

Triton Container Finance LLC, Series 2017-1A-A

   3.52%   ^    06/20/2042      3,932,528

22,100,000

    

Triton Container Finance LLC, Series 2018-1A-A

   3.95%   ^    03/20/2043      22,620,592

39,375,000

    

Triton Container Finance LLC, Series 2018-2A-A

   4.19%   ^    06/22/2043      40,721,877

14,483,383

    

Upgrade Master Pass-Thru Trust, Series 2019-ST2-A

   3.90%   ^    09/15/2025      14,568,155

8,886,673

    

Upgrade Receivables Trust, Series 2018-1A-A

   3.76%   ^    11/15/2024      8,916,026

9,918,930

    

Upstart Securitization Trust, Series 2019-1-A

   3.45%   ^    04/20/2026      9,951,803

25,929,056

    

Upstart Securitization Trust, Series 2019-2-A

   2.90%   ^    09/20/2029      25,990,648

17,813,417

    

Vantage Data Centers Issuer LLC, Series 2018-1A-A2

   4.07%   ^    02/16/2043      18,530,856


21,816,667

    

Vantage Data Centers Issuer LLC, Series 2018-2A-A2

   4.20%   ^    11/16/2043      22,559,524

18,734,375

    

Vantage Data Centers Issuer LLC, Series 2019-1A-A2

   3.19%   ^    07/15/2044      18,958,882

18,526,738

    

Vivint Colar Financing LLC, Series 2018-1A-A

   4.73%   ^    04/30/2048      19,756,039

53,219,683

    

Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A

   4.10%   # ^    09/14/2022      54,908,120

20,947,500

    

Wendy’s Funding LLC, Series 2019-1A-A2II

   4.08%   ^    06/15/2049      21,907,524

31,000,000

    

Westlake Automobile Receivables Trust, Series 2019-2A-A2A

   2.57%   ^    02/15/2023      31,099,417

10,800,000

    

Zephyrus Capital Aviation Partners Ltd., Series 2018-1-A

   4.61%   ^    10/15/2038      10,883,408
                 

 

Total Asset Backed Obligations (Cost $2,090,164,576)

             2,135,675,427
                 

 

Collateralized Loan Obligations - 4.9%

68,250,000

    

AIMCO, Series 2015-AA-AR (3 Month LIBOR USD + 0.85%, 0.85% Floor)

   3.15%   ^    01/15/2028      67,981,644

18,760,000

    

Anchorage Capital Ltd., Series 2014-5RA-A (3 Month LIBOR USD + 0.99%)

   3.29%   ^    01/15/2030      18,751,473

37,500,000

    

Anchorage Capital Ltd., Series 2016-9A-AR (3 Month LIBOR USD + 1.37%)

   3.67%   ^    07/15/2032      37,561,626

36,000,000

    

Anchorage Capital Ltd., Series 2018-10A-A1A (3 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.50%   ^    10/15/2031      35,820,104

4,158,596

    

Apidos Ltd., Series 2013-16A-A1R (3 Month LIBOR USD + 0.98%)

   3.28%   ^    01/19/2025      4,161,252

35,000,000

    

Assurant Ltd., Series 2018-2A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor)

   3.51%   ^    10/20/2031      34,916,814

20,000,000

    

Assurant Ltd., Series 2019-1A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

   3.63%   ^    04/20/2030      20,019,269

25,000,000

    

Birch Grove Ltd., Series 19A-A (3 Month LIBOR USD + 1.49%)

   3.97%   ^    06/15/2031      24,986,164

43,000,000

    

Cathedral Lake Ltd., Series 2016-4A-A (3 Month LIBOR USD + 1.65%)

   3.93%   ^    10/20/2028      43,023,675

50,000,000

    

CBAM Ltd., Series 2018-6A-A (3 Month LIBOR USD + 0.94%)

   3.24%   ^    07/15/2031      50,062,243

3,000,000

    

CFIP Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 1.32%)

   3.62%   ^    07/13/2029      3,004,878

31,500,000

    

CRMN Mortgage Trust, Series 2018-1A-A1 (3 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.53%   ^    10/25/2031      31,424,970

98,000,000

    

CVP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.34%)

   3.62%   ^    07/20/2030      98,009,433

61,250,000

    

CVP Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.19%, 1.19% Floor)

   3.47%   ^    01/20/2031      61,153,597

35,250,000

    

Elevation Ltd., Series 2014-2A-A1R (3 Month LIBOR USD + 1.23%)

   3.53%   ^    10/15/2029      35,252,619

25,500,000

    

Elevation Ltd., Series 2018-9A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor)

   3.42%   ^    07/15/2031      25,326,165

40,000,000

    

Elmwood Ltd., Series 2019-2A-A (3 Month LIBOR USD + 1.45%, 1.45% Floor)

   4.00%   ^    04/20/2031      40,002,556

10,000,000

    

Elmwood Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.10%, 2.10% Floor)

   4.65%   ^    04/20/2031      9,999,153

2,906,625

    

GLG Ore Hill Ltd., Series 2013-1A-A (3 Month LIBOR USD + 1.12%)

   3.42%   ^    07/15/2025      2,909,700

49,300,000

    

Greywolf Ltd., Series 2018-1A-A1 (3 Month LIBOR USD + 1.03%)

   3.30%   ^    04/26/2031      48,861,778

50,000,000

    

Greywolf Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.18%, 1.18% Floor)

   3.46%   ^    10/20/2031      49,798,410

1,750,000

    

Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%)

   7.26%   ^    04/28/2025      1,643,827

5,000,000

    

Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D (3 Month LIBOR USD + 3.65%)

   5.93%   ^    10/22/2025      4,975,096

85,500,000

    

Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R (3 Month LIBOR USD + 0.90%)

   3.20%   ^    10/18/2027      85,498,201

31,000,000

    

Harbourview Ltd., Series 7RA-A1 (3 Month LIBOR USD + 1.13%, 1.13% Floor)

   3.43%   ^    07/18/2031      30,804,093

17,850,962

    

Jamestown Ltd., Series 2014-4A-A1AR (3 Month LIBOR USD + 0.69%)

   2.99%   ^    07/15/2026      17,815,824

56,695,000

    

Jamestown Ltd., Series 2018-6RA-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.43%   ^    04/25/2030      56,356,471

13,600,000

    

Kayne Ltd., Series 2019-5A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

   3.53%   ^    07/24/2032      13,598,258

12,950,000

    

Kayne Ltd., Series 2019-5A-B1 (3 Month LIBOR USD + 2.00%, 2.00% Floor)

   4.18%   ^    07/24/2032      12,948,827

20,000,000

    

KVK Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 0.90%)

   3.20%   ^    01/14/2028      19,920,781

30,000,000

    

LCM LP, Series 17A-A2RR (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.45%   ^    10/15/2031      29,865,242

50,000,000

    

LCM LP, Series 19A-AR (3 Month LIBOR USD + 1.24%, 1.24% Floor)

   3.54%   ^    07/15/2027      50,199,152

20,000,000

    

Madison Park Funding Ltd., Series 2013-11A-AR (3 Month LIBOR USD + 1.16%)

   3.42%   ^    07/23/2029      20,027,975

5,500,000

    

Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%)

   5.71%   ^    01/27/2026      5,515,663

5,000,000

    

Madison Park Funding Ltd., Series 2014-15A-DR (3 Month LIBOR USD + 5.44%)

   7.70%   ^    01/27/2026      4,971,803

64,500,000

    

Marathon Ltd., Series 2013-5A-A1R (3 Month LIBOR USD + 0.87%)

   3.02%   ^    11/21/2027      64,253,462

39,482,100

    

Marathon Ltd., Series 2014-7A-A1R (3 Month LIBOR USD + 1.32%)

   3.58%   ^    10/28/2025      39,500,857

25,000,000

    

Marble Point Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.33%, 1.33% Floor)

   3.61%   ^    01/20/2032      25,051,869

16,000,000

    

Marble Point Ltd., Series 2019-1A-A1 (3 Month LIBOR USD + 1.42%)

   3.86%   ^    07/23/2032      16,020,477

75,000,000

    

Midocean Credit, Series 2017-7A-A1 (3 Month LIBOR USD + 1.32%)

   3.62%   ^    07/15/2029      75,150,469

54,500,000

    

Midocean Credit, Series 2018-9A-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.43%   ^    07/20/2031      54,294,539

65,000,000

    

MP Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 1.25%)

   3.53%   ^    10/20/2030      64,871,613

55,000,000

    

MP Ltd., Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%)

   3.56%   ^    07/25/2029      54,944,517

40,000,000

    

MP Ltd., Series 2015-2A-AR (3 Month LIBOR USD + 0.91%)

   3.17%   ^    10/28/2027      40,035,200

30,000,000

    

Nassau Ltd., Series 2018-IA-A (3 Month LIBOR USD + 1.15%)

   3.45%   ^    07/15/2031      29,853,023

2,250,000

    

Neuberger Berman Ltd., Series 2017-16SA-A (3 Month LIBOR USD + 0.85%)

   3.15%   ^    01/15/2028      2,248,862

17,000,000

    

Newark BSL Ltd., Series 2016-1A-A1 (3 Month LIBOR USD + 1.52%)

   3.78%   ^    12/21/2029      17,068,000

10,000,000

    

Newark BSL Ltd., Series 2016-1A-A2 (3 Month LIBOR USD + 2.20%)

   4.46%   ^    12/21/2029      10,016,741

19,500,000

    

Northwoods Capital Ltd., Series 2017-16A-A (3 Month LIBOR USD + 1.27%)

   3.43%   ^    11/15/2030      19,486,624

39,250,000

    

Northwoods Capital Ltd., Series 2018-11BA-A1 (3 Month LIBOR USD + 1.10%, 1.10% Floor)

   3.40%   ^    04/19/2031      39,008,009

40,000,000

    

Ocean Trails, Series 2019-7A-A1 (3 Month LIBOR USD + 1.40%, 1.40% Floor)

   3.94%   ^    04/17/2030      39,991,140

36,000,000

    

OCP Ltd., Series 2015-9A-A1R (3 Month LIBOR USD + 0.80%)

   3.10%   ^    07/15/2027      35,956,227

50,000,000

    

OFSI Fund Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.45%   ^    07/15/2031      49,699,438

21,292,109

    

Palmer Square Loan Funding Ltd., Series 2017-1A-A1 (3 Month LIBOR USD + 0.74%)

   3.04%   ^    10/15/2025      21,309,143

38,000,000

    

Park Avenue Institutional Advisers Ltd., Series 2016-1A-A1R (3 Month LIBOR USD + 1.20%)

   3.35%   ^    08/23/2031      37,938,932

28,500,000

    

Pikes Peak, Series 2019-3A-A (3 Month LIBOR USD + 1.43%, 1.43% Floor)

   4.01%   ^    04/25/2030      28,541,953

20,500,000

    

PPM Ltd., Series 2019-3A-A (3 Month LIBOR USD + 1.40%)

   3.87%   ^    07/17/2030      20,488,113

28,000,000

    

Prudential PLC, Series 2018-1A-A (3 Month LIBOR USD + 1.15%)

   3.45%   ^    07/15/2031      27,792,725

2,500,000

    

Regatta Funding Ltd., Series 2018-1A-B (3 Month LIBOR USD + 1.65%)

   3.95%   ^    07/17/2031      2,461,383

20,000,000

    

Regatta Funding Ltd., Series 2018-3A-A (3 Month LIBOR USD + 1.19%)

   3.47%   ^    10/25/2031      19,911,449

25,500,000

    

Rockford Tower Ltd., Series 2017-3A-A (3 Month LIBOR USD + 1.19%)

   3.47%   ^    10/20/2030      25,468,362

39,000,000

    

Rockford Tower Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.10%)

   3.24%   ^    05/20/2031      38,761,659

50,000,000

    

Sound Point Ltd., Series 2013-3RA-A (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.45%   ^    04/18/2031      49,625,000

36,500,000

    

Sound Point Ltd., Series 2015-2A-ARR (3 Month LIBOR USD + 1.39%, 1.39% Floor)

   3.67%   ^    07/20/2032      36,539,002

28,000,000

    

Sound Point Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.18%, 1.18% Floor)

   3.45%   ^    10/26/2031      27,710,616

30,000,000

    

Steele Creek Ltd., Series 2014-1RA-A (3 Month LIBOR USD + 1.07%, 1.07% Floor)

   3.35%   ^    04/21/2031      29,780,730

20,000,000

    

Steele Creek Ltd., Series 2015-1A-AR (3 Month LIBOR USD + 1.26%)

   3.41%   ^    05/21/2029      19,975,517

34,000,000

    

Steele Creek Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 1.12%, 1.12% Floor)

   3.24%   ^    06/15/2031      33,698,765

10,000,000

    

Steele Creek Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.76%   ^    04/15/2032      10,029,758

10,000,000

    

Symphony Ltd., Series 2014-15A-AR2 (3 Month LIBOR USD + 1.26%, 1.26% Floor)

   3.56%   ^    01/17/2032      10,018,069

30,000,000

    

TCI-Flatiron Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 1.22%, 1.22% Floor)

   3.52%   ^    07/17/2028      30,019,040

25,000,000

    

Venture Ltd., Series 2014-19A-ARR (3 Month LIBOR USD + 1.26%, 1.26% Floor)

   3.56%   ^    01/15/2032      25,051,034

61,305,729

    

Venture Ltd., Series 2015-20A-AR (3 Month LIBOR USD + 0.82%)

   3.12%   ^    04/15/2027      61,235,023

30,500,000

    

Vibrant Ltd., Series 2016-5A-A (3 Month LIBOR USD + 1.55%)

   3.83%   ^    01/20/2029      30,521,229

75,000,000

    

Vibrant Ltd., Series 2018-10A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.48%   ^    10/20/2031      74,677,996

20,000,000

    

Wellfleet Ltd., Series 2016-2A-A1R (3 Month LIBOR USD + 1.14%, 1.14% Floor)

   3.42%   ^    10/20/2028      20,016,783

25,000,000

    

Wellfleet Ltd., Series 2017-2A-A1 (3 Month LIBOR USD + 1.25%)

   3.53%   ^    10/20/2029      25,006,567

46,000,000

    

Wellfleet Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.48%   ^    10/20/2031      45,825,109

4,387,764

    

WhiteHorse Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 0.90%)

   3.15%   ^    05/01/2026      4,385,522

14,661,855

    

WhiteHorse Ltd., Series 2015-10A-A1R (3 Month LIBOR USD + 0.93%, 0.93% Floor)

   3.23%   ^    04/17/2027      14,640,820

4,000,000

    

Wind River Ltd., Series 2013-2A-AR (3 Month LIBOR USD + 1.23%)

   3.53%   ^    10/18/2030      3,986,358

40,000,000

    

Wind River Ltd., Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor)

   3.44%   ^    01/15/2031      39,820,000

10,000,000

    

York Ltd., Series 2016-2A-A (3 Month LIBOR USD + 1.63%)

   3.91%   ^    01/20/2030      10,023,087

30,000,000

    

York Ltd., Series 2019-1A-A1 (3 Month LIBOR USD + 1.35%, 0.00% Floor)

   3.52%   ^    07/22/2032      29,871,005

15,747,293

    

Zais Ltd., Series 2014-2A-A1AR (3 Month LIBOR USD + 1.20%)

   3.48%   ^    07/25/2026      15,763,309

2,500,000

    

Zais Ltd., Series 2016-2A-A1 (3 Month LIBOR USD + 1.53%)

   3.83%   ^    10/15/2028      2,501,170
                 

 

Total Collateralized Loan Obligations (Cost $2,652,304,548)

   2,648,015,031
                 

 

Non-Agency Commercial Mortgage Backed Obligations - 6.7%

10,139,000

    

20 Times Square Trust, Series 2018-20TS-F

   3.20%   # ^    05/15/2035      9,982,766

7,727,000

    

20 Times Square Trust, Series 2018-20TS-G

   3.20%   # ^    05/15/2035      7,489,773

3,500,000

    

Arbor Realty Ltd., Series 2017-FL2-AS (1 Month LIBOR USD + 1.25%)

   3.28%   ^    08/15/2027      3,505,261

5,500,000

    

Arbor Realty Ltd., Series 2017-FL2-B (1 Month LIBOR USD + 1.55%)

   3.58%   ^    08/15/2027      5,517,199

18,093,000

    

Arbor Realty Ltd., Series 2018-FL1-A (1 Month LIBOR USD + 1.15%)

   3.18%   ^    06/15/2028      18,137,147

2,602,000

    

AREIT Trust, Series 2018-CRE1-AS (1 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.28%   ^    02/14/2035      2,605,089

1,706,000

    

AREIT Trust, Series 2018-CRE1-B (1 Month LIBOR USD + 1.65%, 1.65% Floor)

   3.68%   ^    02/14/2035      1,709,733

2,837,533

    

Ashford Hospitality Trust, Series 2018-ASHF-A (1 Month LIBOR USD + 0.90%, 0.90% Floor)

   2.93%   ^    04/15/2035      2,837,395

11,007,000

    

Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%)

   5.08%   ^    12/15/2036      11,082,178

29,257,000

    

Atrium Hotel Portfolio Trust, Series 2018-ATRM-A (1 Month LIBOR USD + 0.95%, 0.95% Floor)

   2.98%   ^    06/15/2035      29,313,384

28,877,000

    

Atrium Hotel Portfolio Trust, Series 2018-ATRM-D (1 Month LIBOR USD + 2.30%, 2.30% Floor)

   4.33%   ^    06/15/2035      29,049,373

13,685,000

    

Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)

   5.43%   ^    06/15/2035      13,815,948

12,586,126

    

Banc of America Commercial Mortgage Trust, Series 2007-5-XW

   0.00%   # ^ I/O    02/10/2051      126

4,000,000

    

Banc of America Commercial Mortgage Trust, Series 2015-UBS7-B

   4.51%   #    09/15/2048      4,351,500


57,003,980

    

Banc of America Commercial Mortgage Trust, Series 2015-UBS7-XA

   0.97%   # I/O    09/15/2048      2,342,864

1,013,598

    

Bancorp Commercial Mortgage Trust, Series 2018-CRE4-A (1 Month LIBOR USD + 0.90%, 0.95% Floor)

   2.93%   ^    09/15/2035      1,014,489

5,018,000

    

Bancorp Commercial Mortgage Trust, Series 2018-CRE4-D (1 Month LIBOR USD + 2.10%, 0.25% Floor)

   4.13%   ^    09/15/2035      5,050,242

16,331,992

    

Bancorp Commercial Mortgage Trust, Series 2019-CRE5-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    03/15/2036      16,347,530

6,530,000

    

Bancorp Commercial Mortgage Trust, Series 2019-CRE5-B (1 Month LIBOR USD + 1.50%, 1.50% Floor)

   3.53%   ^    03/15/2036      6,537,230

1,057,000

    

Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor)

   4.38%   ^    03/15/2036      1,060,024

39,572,447

    

BANK, Series 2017-BNK4-XA

   1.59%   # I/O    05/15/2050      3,153,453

88,843,653

    

BANK, Series 2017-BNK5-XA

   1.23%   # I/O    06/15/2060      5,214,136

1,750,000

    

BANK, Series 2018-BN10-AS

   3.90%   #    02/15/2061      1,917,379

151,739,896

    

BANK, Series 2018-BN10-XA

   0.89%   # I/O    02/15/2061      7,919,184

95,092,340

    

BANK, Series 2019-BN16-XA

   1.13%   # I/O    02/15/2052      6,912,044

43,097,000

    

BANK, Series 2019-BN19-AS

   3.45%      08/15/2061      45,884,126

27,365,000

    

Barclays Commercial Mortgage Securities LLC, Series 2015-STP-D

   4.43%   # ^    09/10/2028      27,511,507

12,089,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%)

   3.23%   ^    08/15/2036      12,064,083

13,777,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%)

   3.73%   ^    08/15/2036      13,809,503

28,585,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E (1 Month LIBOR USD + 2.50%)

   4.53%   ^    08/15/2036      28,682,849

30,209,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%)

   5.53%   ^    08/15/2036      30,361,824

187,745,335

    

Barclays Commercial Mortgage Securities LLC, Series 2019-C4-XA

   1.75%   # I/O    08/15/2052      23,162,705

13,279,071

    

BBCMS Mortgage Trust, Series 2018-BXH-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    10/15/2037      13,269,008

67,548,000

    

BBCMS Mortgage Trust, Series 2018-CBM-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    07/15/2037      67,658,211

21,385,000

    

BBCMS Mortgage Trust, Series 2018-CBM-E (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    07/15/2037      21,479,453

9,135,000

    

BBCMS Mortgage Trust, Series 2018-TALL-A (1 Month LIBOR USD + 0.72%)

   2.75%   ^    03/15/2037      9,125,960

5,775,000

    

BBCMS Mortgage Trust, Series 2018-TALL-F (1 Month LIBOR USD + 3.24%, 3.24% Floor)

   5.26%   ^    03/15/2037      5,816,801

18,989,000

    

BDS Ltd., Series 2019-FL4-A (1 Month LIBOR USD + 1.10%, 0.00% Floor)

   3.13%   ^    08/15/2036      19,061,405

7,220,000

    

BDS Ltd., Series 2019-FL4-AS (1 Month LIBOR USD + 1.40%, 0.00% Floor)

   3.43%   ^    08/15/2036      7,249,783

4,500,000

    

Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ

   5.57%   #    01/12/2045      3,926,152

37,699,742

    

Benchmark Mortgage Trust, Series 2018-B7-XA

   0.60%   # I/O    05/15/2053      1,224,514

80,990,667

    

Benchmark Mortgage Trust, Series 2019-B9-XA

   1.21%   # I/O    03/15/2052      6,612,443

75,399,000

    

BHMS Trust, Series 2018-ATLS-A (1 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.28%   ^    07/15/2035      75,523,770

14,591,000

    

BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    07/15/2035      14,643,338

28,680,000

    

Bremar Hotels and Resorts Trust, Series 2018-PRME-A (1 Month LIBOR USD + 0.82%, 0.82% Floor)

   2.85%   ^    06/15/2035      28,581,917

15,809,000

    

Bsprt Issuer Ltd., Series 2019-FL5-A (1 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.48%   ^    05/15/2029      15,869,264

6,663,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor)

   3.35%   ^    03/15/2037      6,689,811

35,415,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-E (1 Month LIBOR USD + 1.95%, 1.98% Floor)

   3.98%   ^    03/15/2037      35,581,890

17,352,750

    

BX Trust, Series 2017-APPL-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.08%   ^    07/15/2034      17,397,655

29,846,050

    

BX Trust, Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    07/15/2034      29,996,229

34,505,750

    

BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%)

   4.08%   ^    07/15/2034      34,548,489

63,983,750

    

BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    07/15/2034      64,383,245

41,318,786

    

BX Trust, Series 2018-EXCL-A (1 Month LIBOR USD + 1.09%)

   3.12%   ^    09/15/2037      41,351,833

2,447,000

    

BX Trust, Series 2018-GW-D (1 Month LIBOR USD + 1.77%, 1.77% Floor)

   3.80%   ^    05/15/2035      2,458,636

4,437,000

    

BX Trust, Series 2018-GW-E (1 Month LIBOR USD + 1.97%, 1.97% Floor)

   4.00%   ^    05/15/2035      4,463,730

7,481,000

    

BX Trust, Series 2018-GW-F (1 Month LIBOR USD + 2.42%, 2.42% Floor)

   4.45%   ^    05/15/2035      7,535,879

16,882,000

    

BX Trust, Series 2018-MCSF-F (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.67%   ^    04/15/2035      17,011,502

8,644,000

    

BX Trust, Series 2019-MMP-D (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    08/15/2036      8,665,610

819,000

    

Caesars Palace Las Vegas Trust, Series 2017-VICI-B

   3.83%   ^    10/15/2034      853,574

4,077,000

    

Caesars Palace Las Vegas Trust, Series 2017-VICI-D

   4.50%   # ^    10/15/2034      4,273,158

49,539,496

    

CD Commercial Mortgage Trust, Series 2017-CD6-XA

   1.11%   # I/O    11/13/2050      2,708,057

5,394,250

    

CF Trust, Series 2019-MF1-A (1 Month LIBOR USD + 1.05%, 1.05% Floor)

   3.08%   ^    08/21/2032      5,407,790

4,517,000

    

CFCRE Commercial Mortgage Trust 2016-C4, Series 2016-C4-AM

   3.69%      05/10/2058      4,801,270

7,155,000

    

CFCRE Commercial Mortgage Trust, Series 2016-C4-C

   5.04%   #    05/10/2058      7,766,129

60,245,701

    

CFCRE Commercial Mortgage Trust, Series 2016-C4-XA

   1.88%   # I/O    05/10/2058      5,303,266

44,114,185

    

CFCRE Commercial Mortgage Trust, Series 2017-C8-XA

   1.81%   # I/O    06/15/2050      3,912,827

3,128,000

    

CFCRE Commercial Mortgage Trust, Series 2018-TAN-B

   4.69%   ^    02/15/2033      3,331,287

3,128,000

    

CFCRE Commercial Mortgage Trust, Series 2018-TAN-C

   5.29%   ^    02/15/2033      3,352,405

1,877,000

    

CFCRE Commercial Mortgage Trust, Series 2018-TAN-D

   6.10%   ^    02/15/2033      2,016,795

5,436,000

    

CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    07/15/2032      5,441,425

7,611,000

    

CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E (1 Month LIBOR USD + 2.15%, 2.25% Floor)

   4.18%   ^    07/15/2032      7,620,305

43,737,000

    

CHT Mortgage Trust, Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.03%   ^    11/15/2036      43,948,328

24,582,000

    

CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor)

   5.77%   ^    11/15/2036      24,740,426

190,949,004

    

Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA

   1.93%   # ^ I/O    09/10/2045      8,100,305

150,638,478

    

Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA

   1.32%   # I/O    03/10/2047      6,523,640

82,061,741

    

Citigroup Commercial Mortgage Trust, Series 2014-GC21-XA

   1.35%   # I/O    05/10/2047      3,789,004

187,822,739

    

Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA

   1.15%   # I/O    10/10/2047      8,048,129

6,265,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-B

   3.77%      02/10/2048      6,554,122

3,685,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-D

   4.57%   # ^    02/10/2048      3,527,564

210,466,107

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA

   1.52%   # I/O    02/10/2048      11,904,047

14,310,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC33-C

   4.72%   #    09/10/2058      15,155,086

175,083,734

    

Citigroup Commercial Mortgage Trust, Series 2015-GC33-XA

   1.07%   # I/O    09/10/2058      7,525,694

20,725,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC35-C

   4.65%   #    11/10/2048      21,960,873

106,069,269

    

Citigroup Commercial Mortgage Trust, Series 2016-C1-XA

   2.06%   # I/O    05/10/2049      10,575,668

212,556,389

    

Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA

   1.44%   # I/O    02/10/2049      13,590,515

43,450,725

    

Citigroup Commercial Mortgage Trust, Series 2016-GC37-XA

   1.93%   # I/O    04/10/2049      3,900,411

112,786,671

    

Citigroup Commercial Mortgage Trust, Series 2016-P3-XA

   1.85%   # I/O    04/15/2049      8,860,622

60,170,429

    

Citigroup Commercial Mortgage Trust, Series 2016-P4-XA

   2.14%   # I/O    07/10/2049      5,928,953

37,587,461

    

Citigroup Commercial Mortgage Trust, Series 2016-P5-XA

   1.67%   # I/O    10/10/2049      2,814,448

46,706,656

    

Citigroup Commercial Mortgage Trust, Series 2017-P7-XA

   1.28%   # I/O    04/14/2050      3,055,834

13,806,000

    

CLNS Trust, Series 2017-IKPR-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.10%   ^    06/11/2032      13,814,505

88,477,000

    

CLNS Trust, Series 2017-IKPR-E (1 Month LIBOR USD + 3.50%, 3.50% Floor)

   5.55%   ^    06/11/2032      88,770,868

28,027,000

    

CLNS Trust, Series 2017-IKPR-F (1 Month LIBOR USD + 4.50%, 4.50% Floor)

   6.55%   ^    06/11/2032      28,215,627

1,493,592

    

Commercial Mortgage Pass Through Certificates, Series 2014-CR14-A2

   3.15%      02/10/2047      1,493,192

31,683,491

    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR2-XA

   1.80%   # I/O    08/15/2045      1,189,915

140,192,678

    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA

   2.02%   # I/O    10/15/2045      6,459,097

106,894,198

    

Commercial Mortgage Pass-Through Certificates, Series 2012-LC4-XA

   2.29%   # ^ I/O    12/10/2044      4,225,175

145,989,574

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA

   0.83%   # I/O    08/10/2046      3,416,886

196,061,894

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA

   1.32%   # I/O    10/10/2046      7,487,270

843,000

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR13-C

   5.05%   #    11/10/2046      901,208

7,635,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C

   4.91%   #    08/10/2047      8,169,696

30,400,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C

   4.66%   #    11/10/2047      32,503,762

96,340,798

    

Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-XA

   1.25%   # I/O    06/10/2047      4,186,721

8,215,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CALW-D

   3.98%   # ^    02/10/2034      8,458,854

13,025,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D

   4.25%   # ^    03/10/2048      13,006,106

214,309,267

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA

   1.08%   # I/O    03/10/2048      7,184,054

9,110,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-B

   4.63%   #    10/10/2048      9,964,985

84,895,439

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA

   1.10%   # I/O    10/10/2048      3,997,599

8,715,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C

   4.49%   #    02/10/2048      9,063,261

385,241,178

    

Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA

   1.25%   # I/O    02/10/2048      14,881,289

26,930,000

    

Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C

   4.80%   #    02/10/2049      29,238,283

20,355,000

    

Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E

   3.58%   # ^    08/10/2029      20,342,203

1,617,000

    

Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-D

   4.34%   # ^    10/10/2029      1,686,162

5,524,000

    

Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-E

   4.13%   # ^    10/10/2029      5,427,961

18,570,000

    

Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    09/15/2033      18,555,239

833,000

    

Commercial Mortgage Trust, Series 2015-3BP-F

   3.35%   # ^    02/10/2035      827,407

1,889,000

    

Core Industrial Trust, Series 2015-CALW-C

   3.56%   ^    02/10/2034      1,936,645

1,782,000

    

Core Mortgage Trust, Series 2019-CORE-E (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    12/15/2031      1,785,716

150,822,000

    

Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1

   0.70%   # ^ I/O    09/15/2037      4,176,337

26,290,000

    

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-A (1 Month LIBOR USD + 0.98%, 0.98% Floor)

   3.01%   ^    05/15/2036      26,320,181

21,723,000

    

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    05/15/2036      21,808,226

4,606,000

    

CSAIL Commercial Mortgage Trust, Series 2015-C1-C

   4.42%   #    04/15/2050      4,876,108

13,360,000

    

CSAIL Commercial Mortgage Trust, Series 2015-C2-AS

   3.85%   #    06/15/2057      14,149,795

12,154,000

    

CSAIL Commercial Mortgage Trust, Series 2015-C3-C

   4.50%   #    08/15/2048      12,061,887

9,759,000

    

CSAIL Commercial Mortgage Trust, Series 2015-C4-C

   4.73%   #    11/15/2048      10,475,781

309,294,880

    

CSAIL Commercial Mortgage Trust, Series 2015-C4-XA

   1.04%   # I/O    11/15/2048      12,862,863

2,085,000

    

CSAIL Commercial Mortgage Trust, Series 2016-C7-C

   4.53%   #    11/15/2049      2,150,873


187,119,106

    

CSAIL Commercial Mortgage Trust, Series 2017-C8-XA

   1.39%   # I/O    06/15/2050      11,568,377

5,511,000

    

CSAIL Commercial Mortgage Trust, Series 2017-CX10-C

   4.25%   #    11/15/2050      5,892,719

91,515,196

    

CSAIL Commercial Mortgage Trust, Series 2017-CX10-XA

   0.86%   # I/O    11/15/2050      4,263,903

4,393,000

    

CSAIL Commercial Mortgage Trust, Series 2019-C16-AS

   3.61%      06/15/2052      4,702,048

15,894,000

    

CSAIL Commercial Mortgage Trust, Series 2019-C16-B

   3.88%      06/15/2052      17,047,609

3,818,000

    

CSMC Trust 2017-MOON, Series 2017-MOON-D

   3.30%   # ^    07/10/2034      3,848,095

7,050,000

    

CSMC Trust, Series 2017-CALI-E

   3.90%   # ^    11/10/2032      6,943,417

6,050,000

    

CSMC Trust, Series 2017-CALI-F

   3.90%   # ^    11/10/2032      5,803,531

12,164,000

    

CSMC Trust, Series 2017-CHOP-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    07/15/2032      12,206,890

21,321,000

    

CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor)

   5.33%   ^    07/15/2032      21,478,334

4,673,000

    

CSMC Trust, Series 2017-MOON-E

   3.30%   # ^    07/10/2034      4,635,535

43,750,000

    

CSWF Trust, Series 2018-TOP-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    08/15/2035      43,795,640

101,501,484

    

DBUBS Mortgage Trust, Series 2011-LC2A-XA

   1.22%   # ^ I/O    07/10/2044      1,301,452

2,996,000

    

DBUBS Mortgage Trust, Series 2011-LC3A-PM2

   5.27%   # ^    05/10/2044      3,101,018

122,033,948

    

Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA

   1.62%   # I/O    05/10/2049      8,879,056

49,773,233

    

Exantas Capital Corporation Ltd., Series 2019-RSO7-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.02%   ^    04/15/2036      49,847,893

73,900,846

    

FREMF Mortgage Trust, Series 2010-K8-C

   0.00%   ^ P/O    09/25/2043      71,474,533

86,165,686

    

FREMF Mortgage Trust, Series 2013-K713-D

   0.00%   ^ P/O    04/25/2046      83,377,020

186,442,686

    

FREMF Mortgage Trust, Series 2013-K713-X2B

   0.10%   ^ I/O    04/25/2046      85,633

34,385,711

    

FREMF Mortgage Trust, Series 2014-K503-D

   0.00%   ^ P/O    10/25/2047      34,325,399

34,385,762

    

FREMF Mortgage Trust, Series 2014-K503-X2B

   0.10%   ^ I/O    10/25/2047      45

28,137,253

    

GPMT Ltd., Series 2018-FL1-A (1 Month LIBOR USD + 0.90%, 0.90% Floor)

   2.94%   ^    11/21/2035      28,161,873

17,094,000

    

GPMT Ltd., Series 2019-FL2-A (1 Month LIBOR USD + 1.30%, 1.30% Floor)

   3.33%   ^    02/22/2036      17,196,564

3,322,000

    

GPT Mortgage Trust, Series 2018-GPP-B (1 Month LIBOR USD + 1.28%, 1.28% Floor)

   3.31%   ^    06/15/2035      3,312,884

15,417,000

    

Great Wolf Trust, Series 2017-WOLF-D (1 Month LIBOR USD + 2.10%, 1.00% Floor)

   4.13%   ^    09/15/2034      15,438,451

31,606,000

    

Great Wolf Trust, Series 2017-WOLF-E (1 Month LIBOR USD + 3.10%, 1.00% Floor)

   5.13%   ^    09/15/2034      31,694,345

16,823,000

    

Great Wolf Trust, Series 2017-WOLF-F (1 Month LIBOR USD + 4.07%, 1.00% Floor)

   6.10%   ^    09/15/2034      16,892,287

2,287,823

    

Greenwich Capital Commercial Funding Corporation, Series 2006-GG7-AM

   5.83%   #    07/10/2038      2,307,792

18,130,323

    

GS Mortgage Securities Corporation, Series 2011-GC3-X

   0.81%   # ^ I/O    03/10/2044      122,784

23,108,294

    

GS Mortgage Securities Corporation, Series 2013-GC10-XA

   1.65%   # I/O    02/10/2046      977,966

275,057,566

    

GS Mortgage Securities Corporation, Series 2015-GC28-XA

   1.23%   # I/O    02/10/2048      9,955,544

240,193,744

    

GS Mortgage Securities Corporation, Series 2015-GC32-XA

   0.93%   # I/O    07/10/2048      8,459,143

170,370,552

    

GS Mortgage Securities Corporation, Series 2015-GC34-XA

   1.48%   # I/O    10/10/2048      10,430,733

59,522,000

    

GS Mortgage Securities Corporation, Series 2018-FBLU-F (1 Month LIBOR USD + 3.25%, 3.25% Floor)

   5.28%   ^    11/15/2035      59,899,858

206,729,703

    

GS Mortgage Securities Corporation, Series 2018-GS9-XA

   0.60%   # I/O    03/10/2051      6,727,667

34,121,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-A (1 Month LIBOR USD + 0.90%, 0.85% Floor)

   2.93%   ^    07/15/2031      34,076,943

3,897,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-D (1 Month LIBOR USD + 1.60%, 1.50% Floor)

   3.63%   ^    07/15/2031      3,885,972

11,950,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-E (1 Month LIBOR USD + 2.10%, 2.10% Floor)

   4.13%   ^    07/15/2031      11,998,966

11,242,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-F (1 Month LIBOR USD + 2.80%, 2.80% Floor)

   4.83%   ^    07/15/2031      11,307,390

4,648,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-G (1 Month LIBOR USD + 3.92%, 3.98% Floor)

   5.95%   ^    07/15/2031      4,691,596

23,022,000

    

GS Mortgage Securities CorporationTrust 2019-SOHO, Series 2019-SOHO-E (1 Month LIBOR USD + 1.87%, 1.88% Floor)

   3.90%   ^    06/15/2036      23,002,243

16,399,000

    

GS Mortgage Securities CorporationTrust, Series 2018-LUAU-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    11/15/2032      16,407,711

92,754,112

    

GS Mortgage Securities Trust, Series 2012-GC6-XA

   2.12%   # ^ I/O    01/10/2045      3,126,871

3,500,000

    

GS Mortgage Securities Trust, Series 2015-GC28-C

   4.47%   #    02/10/2048      3,609,517

67,575,594

    

GS Mortgage Securities Trust, Series 2015-GS1-XA

   0.94%   # I/O    11/10/2048      2,832,627

55,219,947

    

GS Mortgage Securities Trust, Series 2016-GS2-XA

   1.80%   # I/O    05/10/2049      4,329,487

308,329,382

    

GS Mortgage Securities Trust, Series 2016-GS3-XA

   1.38%   # I/O    10/10/2049      20,269,759

69,156,935

    

GS Mortgage Securities Trust, Series 2016-GS4-XA

   0.70%   # I/O    11/10/2049      1,975,807

190,298,494

    

GS Mortgage Securities Trust, Series 2017-GS7-XA

   1.28%   # I/O    08/10/2050      13,293,739

98,700,000

    

GS Mortgage Securities Trust, Series 2017-GS7-XB

   0.50%   # I/O    08/10/2050      2,536,541

2,349,000

    

GS Mortgage Securities Trust, Series 2018-FBLU-C (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    11/15/2035      2,353,032

3,443,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSA

   5.07%   # ^    03/10/2033      3,836,366

6,834,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSB

   5.07%   # ^    03/10/2033      7,560,804

9,287,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSC

   5.07%   # ^    03/10/2033      10,077,274

8,990,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSD

   5.07%   # ^    03/10/2033      9,445,239

11,236,750

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSE

   5.07%   # ^    03/10/2033      11,598,271

61,100,692

    

GS Mortgage Securities Trust, Series 2019-GC38-XA

   1.13%   # I/O    02/10/2052      4,628,145

17,244,489

    

GS Mortgage Securities Trust, Series 2019-GC39-XA

   1.30%   # I/O    05/10/2052      1,435,017

7,037,000

    

Hilton Orlando Trust, Series 2018-ORL-E (1 Month LIBOR USD + 2.65%)

   4.68%   ^    12/15/2034      7,095,520

5,692,000

    

Hilton USA Trust 2016-SFP, Series 2016-SFP-A

   2.83%   ^    11/05/2035      5,685,015

40,884,051

    

HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    11/15/2036      40,986,261

9,317,000

    

IMT Trust, Series 2017-APTS-BFL (1 Month LIBOR USD + 0.95%)

   2.98%   ^    06/15/2034      9,316,503

2,917,000

    

IMT Trust, Series 2017-APTS-CFL (1 Month LIBOR USD + 1.10%)

   3.13%   ^    06/15/2034      2,917,806

683,948

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2004-CBX-X1

   1.10%   # ^ I/O    01/12/2037      9,347

1,726,925

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-CB12-AJ

   4.99%   #    09/12/2037      1,741,060

1,518,895

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X

   0.31%   # I/O    05/15/2045      2,405

18,479,379

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-X

   0.63%   # I/O    06/12/2047      220

54,931,242

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB20-X1

   0.00%   # ^ I/O    02/12/2051      549

134,145,880

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C6-XA

   1.74%   # I/O    05/15/2045      4,485,597

279,907,106

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA

   1.92%   # I/O    10/15/2045      11,943,356

108,256,293

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA

   1.65%   # I/O    06/15/2045      2,787,957

77,772,728

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA

   1.25%   # I/O    01/15/2049      3,128,439

3,447,207

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    06/15/2032      3,435,540

5,488,000

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C (1 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.28%   ^    06/15/2032      5,462,485

17,779,000

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    06/15/2032      17,674,685

71,288,434

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    06/15/2032      71,335,185

497,479

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM

   5.46%   #    01/15/2049      498,417

4,857,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E

   4.14%   # ^    10/05/2031      4,918,299

6,954,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-B (1 Month LIBOR USD + 1.10%, 1.14% Floor)

   3.13%   ^    02/15/2035      6,949,059

905,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-C (1 Month LIBOR USD + 1.30%, 1.34% Floor)

   3.33%   ^    02/15/2035      904,662

1,145,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON-E

   3.88%   # ^    01/05/2031      1,161,228

5,831,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX

   5.54%   ^    07/05/2033      6,213,743

85,646,555

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA

   1.01%   # I/O    02/15/2047      2,639,019

3,396,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C

   4.81%   #    08/15/2047      3,556,379

188,149,456

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA

   1.01%   # I/O    11/15/2047      6,829,336

6,499,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C

   4.52%   #    01/15/2048      6,914,787

213,949,015

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA

   1.15%   # I/O    01/15/2048      8,111,599

12,055,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-C

   4.49%   #    02/15/2048      12,588,072

10,425,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D

   3.99%   # ^    02/15/2048      10,341,691

15,238,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-C

   4.36%   #    10/15/2048      15,832,620

40,672,426

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-XA

   1.25%   # I/O    10/15/2048      1,516,532

55,423,546

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA

   0.90%   # I/O    05/15/2048      1,389,612

153,270,088

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA

   0.67%   # I/O    07/15/2048      4,040,215

23,865,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C

   4.82%   #    11/15/2048      25,565,894

92,279,032

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA

   1.52%   # I/O    11/15/2048      3,622,672

17,630,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C

   4.77%   #    12/15/2048      18,886,268

32,345,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C

   4.90%   #    03/15/2049      35,037,527

146,513,465

    

JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA

   1.83%   # I/O    06/15/2049      10,382,955

161,496,544

    

JPMBB Commercial Mortgage Securities Trust, Series 2017-C5-XA

   1.14%   # I/O    03/15/2050      9,146,131

93,296,417

    

JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5-XA

   1.66%   # I/O    06/13/2052      10,328,007

11,508,000

    

KREF Ltd., Series 2018-FL1-A (1 Month LIBOR USD + 1.10%, 1.10% Floor)

   3.12%   ^    06/15/2036      11,562,663

8,600,356

    

LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL

   0.88%   # ^ I/O    11/15/2038      1,866

31,939,000

    

LoanCore Issuer Ltd., Series 2018-CRE1-AS (1 Month LIBOR USD + 1.50%, 1.50% Floor)

   3.53%   ^    05/15/2028      32,006,870

45,101,000

    

LoanCore Issuer Ltd., Series 2019-CRE2-AS (1 Month LIBOR USD + 1.50%, 1.50% Floor)

   3.53%   ^    05/15/2036      45,281,404

8,610,000

    

LoanCore Issuer Ltd., Series 2019-CRE3-A (1 Month LIBOR USD + 1.05%, 1.05% Floor)

   3.08%   ^    04/15/2034      8,622,915

22,148,831

    

LSTAR Commercial Mortgage Trust, Series 2017-5-X

   1.26%   # ^ I/O    03/10/2050      920,933

35,743,631

    

Merrill Lynch Mortgage Investors Trust, Series 1998-C1-IO

   0.68%   # I/O    11/15/2026      141,688

527,389

    

Merrill Lynch Mortgage Trust, Series 2006-C1-AJ

   5.78%   #    05/12/2039      532,652

11,401,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK

   4.30%   ^    10/15/2030      10,248,561

147,385,067

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA

   0.77%   # I/O    10/15/2046      3,018,564

31,470,250

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA

   1.49%   # I/O    02/15/2046      1,177,976

11,700,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C

   4.68%   #    10/15/2047      12,434,685

37,950,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C

   4.00%      12/15/2047      39,230,183


20,087,700

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-B

   4.16%      02/15/2048      21,387,386

5,457,500

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C

   4.61%   #    02/15/2048      5,796,748

229,337,142

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA

   1.47%   # I/O    02/15/2048      11,678,352

10,616,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C

   4.27%   #    07/15/2050      11,041,161

8,460,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C

   4.68%   #    10/15/2048      9,167,737

19,422,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C

   4.68%   #    12/15/2047      20,301,822

1,517,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D

   3.24%   # ^    12/15/2047      1,427,553

171,775,913

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA

   1.40%   # I/O    01/15/2049      10,035,819

2,314,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31-C

   4.46%   #    11/15/2049      2,413,207

51,945,867

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33-XA

   1.58%   # I/O    05/15/2050      3,690,998

1,743,982

    

Morgan Stanley Capital Trust, Series 2007-T27-AJ

   6.14%   #    06/11/2042      1,853,749

12,140,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%)

   4.23%   ^    11/15/2034      12,155,139

17,935,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    11/15/2034      17,957,365

13,586,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%)

   6.38%   ^    11/15/2034      13,611,447

11,392,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-D (1 Month LIBOR USD + 1.65%, 1.65% Floor)

   3.68%   ^    07/15/2035      11,411,295

20,425,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-F (1 Month LIBOR USD + 2.55%, 2.55% Floor)

   4.58%   ^    07/15/2035      20,482,390

10,748,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-G (1 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.08%   ^    07/15/2035      10,787,075

5,305,000

    

Morgan Stanley Capital Trust, Series 2019-H7-AS

   3.52%      07/15/2052      5,678,803

79,363,500

    

Morgan Stanley Capital Trust, Series 2019-L2-XA

   1.20%   # I/O    03/15/2052      6,487,736

1,315,000

    

Morgan Stanley Capital Trust, Series 2019-PLND-B (1 Month LIBOR USD + 1.30%, 1.30% Floor)

   3.33%   ^    05/15/2036      1,318,288

6,002,000

    

Morgan Stanley Capital Trust, Series 2019-PLND-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    05/15/2036      6,017,005

20,027,215

    

Morgan Stanley Capital, Inc., Series 2006-HQ10-X1

   0.72%   # ^ I/O    11/12/2041      280

2,575,000

    

Morgan Stanley Capital, Inc., Series 2014-CPT-E

   3.56%   # ^    07/13/2029      2,602,013

2,325,000

    

Morgan Stanley Capital, Inc., Series 2014-CPT-F

   3.56%   # ^    07/13/2029      2,339,810

26,853,431

    

Morgan Stanley Capital, Inc., Series 2015-UBS8-XA

   1.05%   # I/O    12/15/2048      1,207,840

147,458,146

    

Morgan Stanley Capital, Inc., Series 2017-H1-XA

   1.60%   # I/O    06/15/2050      11,300,602

3,812,353

    

Motel 6 Trust, Series 2017-MTL6-A (1 Month LIBOR USD + 0.92%, 0.92% Floor)

   2.95%   ^    08/15/2034      3,817,485

14,568,879

    

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A (1 Month LIBOR USD + 0.95%, 0.95% Floor)

   3.15%   ^    06/15/2035      14,528,616

14,792,000

    

NLY Commercial Mortgage Trust, Series 2019-FL2-AS (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    02/15/2036      14,899,242

3,453,000

    

One Market Plaza Trust, Series 2017-1MKT-E

   4.14%   ^    02/10/2032      3,491,270

13,163,783

    

PFP Ltd., Series 2019-5-A (1 Month LIBOR USD + 0.97%)

   3.00%   ^    04/14/2036      13,218,083

1,243,000

    

RAIT Trust, Series 2017-FL7-AS (1 Month LIBOR USD + 1.30%, 1.30% Floor)

   3.33%   ^    06/15/2037      1,236,778

5,840,000

    

RCM Trust, Series 2019-FL3-A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.02%   ^    03/25/2034      5,831,275

14,159,000

    

Rosslyn Portfolio Trust, Series 2017-ROSS-A (1 Month LIBOR USD + 0.95%, 1.94% Floor)

   2.98%   ^    06/15/2033      14,171,519

15,724,000

    

Rosslyn Portfolio Trust, Series 2017-ROSS-B (1 Month LIBOR USD + 1.25%, 2.24% Floor)

   3.28%   ^    06/15/2033      15,722,670

14,274,000

    

STWD Ltd., Series 2019-FL1-AS (1 Month LIBOR USD + 1.40%, 0.00% Floor)

   3.67%   ^    07/15/2038      14,322,175

7,562,909

    

Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor)

   5.22%   ^    11/11/2034      7,601,393

584,742

    

TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4-AJ

   5.48%   #    08/15/2039      586,036

76,967,705

    

UBS Commercial Mortgage Trust, Series 2017-C1-XA

   1.73%   # I/O    06/15/2050      6,993,532

12,723,544

    

UBS Commercial Mortgage Trust, Series 2017-C3-XA

   1.26%   # I/O    08/15/2050      819,639

2,886,000

    

UBS Commercial Mortgage Trust, Series 2017-C6-C

   4.60%   #    12/15/2050      3,151,340

8,530,000

    

UBS Commercial Mortgage Trust, Series 2018-C8-C

   4.86%   #    02/15/2051      9,416,019

1,500,000

    

UBS Commercial Mortgage Trust, Series 2018-C9-C

   5.05%   #    03/15/2051      1,677,767

43,751,151

    

UBS Commercial Mortgage Trust, Series 2018-C9-XA

   1.06%   # I/O    03/15/2051      2,814,253

2,080,000

    

UBS Commercial Mortgage Trust, Series 2019-C16-B

   4.32%   #    04/15/2052      2,309,642

74,452,170

    

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3-XA

   1.99%   # ^ I/O    08/10/2049      3,356,386

566,000

    

Wells Fargo Commercial Mortgage Trust 2019-C51, Series 2019-C51-AS

   3.58%      06/15/2052      608,541

3,193,000

    

Wells Fargo Commercial Mortgage Trust 2019-C51, Series 2019-C51-B

   3.84%   #    06/15/2052      3,431,125

50,842,441

    

Wells Fargo Commercial Mortgage Trust 2019-C51, Series 2019-C51-XA

   1.53%   # I/O    06/15/2052      5,161,438

4,346,710

    

Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B

   3.96%      12/15/2047      4,590,287

11,460,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C26-C

   4.07%   #    02/15/2048      11,683,239

413,392,749

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C26-XA

   1.36%   # I/O    02/15/2048      20,835,160

5,450,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C

   3.89%      02/15/2048      5,523,452

229,815,336

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA

   1.04%   # I/O    02/15/2048      8,979,713

9,701,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C

   4.76%   #    11/15/2048      10,420,375

137,730,791

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA

   1.18%   # I/O    11/15/2048      7,042,589

263,581,161

    

Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-XA

   1.48%   # I/O    04/15/2050      12,761,282

12,000,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C

   4.69%   #    09/15/2058      12,737,514

1,794,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C

   4.75%   #    12/15/2048      1,945,481

128,165,604

    

Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA

   1.13%   # I/O    12/15/2048      5,504,418

11,469,000

    

Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C

   4.88%   #    01/15/2059      12,218,319

8,676,000

    

Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C

   5.20%   #    06/15/2049      9,483,741

158,274,908

    

Wells Fargo Commercial Mortgage Trust, Series 2017-C39-XA

   1.28%   # I/O    09/15/2050      10,814,782

50,574,184

    

Wells Fargo Commercial Mortgage Trust, Series 2017-C42-XA

   1.04%   # I/O    12/15/2050      3,103,793

167,744,625

    

Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA

   0.86%   # I/O    03/15/2051      8,175,638

142,813,875

    

Wells Fargo Commercial Mortgage Trust, Series 2019-C50-XA

   1.63%   # I/O    05/15/2052      15,411,331

24,972,000

    

Wells Fargo Commercial Mortgage Trust, Series 2019-C52-AS

   3.14%      08/15/2052      25,790,580

82,674,724

    

Wells Fargo Commercial Mortgage Trust, Series 2019-C52-XA

   1.77%   # I/O    08/15/2052      9,988,702

56,869,380

    

WF-RBS Commercial Mortgage Trust, Series 2011-C4-XA

   0.50%   # ^ I/O    06/15/2044      291,023

79,836,053

    

WF-RBS Commercial Mortgage Trust, Series 2012-C6-XA

   2.25%   # ^ I/O    04/15/2045      2,861,899

91,521,839

    

WF-RBS Commercial Mortgage Trust, Series 2012-C8-XA

   1.98%   # ^ I/O    08/15/2045      3,742,740

36,219,217

    

WF-RBS Commercial Mortgage Trust, Series 2012-C9-XA

   2.06%   # ^ I/O    11/15/2045      1,733,531

135,728,071

    

WF-RBS Commercial Mortgage Trust, Series 2013-C18-XA

   0.89%   # I/O    12/15/2046      3,222,849

160,711,904

    

WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA

   1.20%   # I/O    03/15/2047      5,532,347

25,000,000

    

WF-RBS Commercial Mortgage Trust, Series 2014-C25-A5

   3.63%      11/15/2047      26,637,638

8,000,000

    

WF-RBS Commercial Mortgage Trust, Series 2014-C25-C

   4.45%   #    11/15/2047      8,442,138

189,698,652

    

WF-RBS Commercial Mortgage Trust, Series 2014-C25-XA

   0.98%   # I/O    11/15/2047      6,495,016

136,634,289

    

WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA

   1.78%   # I/O    11/15/2049      10,422,177
                 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $3,862,856,219)

          3,674,540,833
                 

 

         

Non-Agency Residential Collateralized Mortgage Obligations - 28.2%

         

10,000,000

    

Accredited Mortgage Loan Trust, Series 2005-4-M1 (1 Month LIBOR USD + 0.40%, 0.40% Floor)

   2.42%      12/25/2035      9,767,460

12,886,097

    

ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2B (1 Month LIBOR USD + 0.12%, 0.12% Floor)

   2.14%      01/25/2037      9,441,669

85,512,958

    

ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A1A (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%      11/25/2036      40,741,691

2,906,651

    

Adjustable Rate Mortgage Trust, Series 2005-10-3A31

   3.68%   #    01/25/2036      2,815,389

32,125,291

    

Adjustable Rate Mortgage Trust, Series 2005-11-4A1

   3.92%   #    02/25/2036      26,074,142

4,393,137

    

Adjustable Rate Mortgage Trust, Series 2005-2-6M2 (1 Month LIBOR USD + 0.98%, 0.48% Floor, 11.00% Cap)

   3.00%      06/25/2035      4,425,300

4,642,252

    

Adjustable Rate Mortgage Trust, Series 2005-4-2A1

   4.70%   #    08/25/2035      4,621,496

736,990

    

Adjustable Rate Mortgage Trust, Series 2005-7-3A1

   4.28%   #    10/25/2035      658,568

8,125,087

    

Adjustable Rate Mortgage Trust, Series 2005-8-3A21

   4.47%   #    11/25/2035      7,416,946

16,938,285

    

Adjustable Rate Mortgage Trust, Series 2006-1-2A1

   4.52%   #    03/25/2036      13,532,930

10,684,827

    

Adjustable Rate Mortgage Trust, Series 2006-2-3A1

   4.64%   #    05/25/2036      10,205,222

13,884,039

    

Adjustable Rate Mortgage Trust, Series 2006-2-5A1

   5.02%   #    05/25/2036      7,689,374

12,349,388

    

Adjustable Rate Mortgage Trust, Series 2007-1-3A1

   4.49%   #    03/25/2037      11,570,734

2,163,456

    

Adjustable Rate Mortgage Trust, Series 2007-3-1A1

   5.08%   # ^    11/25/2037      2,295,966

226,417

    

Aegis Asset Backed Securities Trust, Series 2003-2-M2 (1 Month LIBOR USD + 2.55%, 1.70% Floor)

   4.57%      11/25/2033      224,504

1,463,886

    

Aegis Asset Backed Securities Trust, Series 2004-1-M2 (1 Month LIBOR USD + 2.03%, 1.35% Floor)

   4.05%      04/25/2034      1,438,876

617,792

    

Aegis Asset Backed Securities Trust, Series 2004-2-M2 (1 Month LIBOR USD + 1.95%, 1.30% Floor)

   3.97%      06/25/2034      629,918

10,951,606

    

Aegis Asset Backed Securities Trust, Series 2004-6-M2 (1 Month LIBOR USD + 1.00%, 1.00% Floor, 15.00% Cap)

   3.02%      03/25/2035      10,667,536

66,909,618

    

Ajax Master Trust, Series 2016-1-PC

   0.00%   # ^    01/01/2057      62,597,092

70,859,385

    

Ajax Master Trust, Series 2016-2-PC

   0.00%   # ^    10/25/2056      64,266,196

82,984,136

    

Ajax Master Trust, Series 2017-1-PC

   0.00%   # ^    06/25/2057      78,149,696

27,358,860

    

Ajax Mortgage Loan Trust, Series 2017-A-A

   3.47%   ^ §    04/25/2057      27,429,243

54,954,676

    

Ajax Mortgage Loan Trust, Series 2017-C-A

   3.75%   ^ §    07/25/2060      55,279,777

97,486,100

    

Ajax Mortgage Loan Trust, Series 2018-C-A

   4.36%   # ^    09/25/2065      98,876,896

7,707,356

    

Ajax Mortgage Loan Trust, Series 2018-E-A

   4.38%   # ^    06/25/2058      7,810,109

13,584,478

    

Ajax Mortgage Loan Trust, Series 2019-C-A

   3.95%   # ^    10/25/2058      13,686,130

4,617,598

    

Alternative Loan Trust 2006-12CB, Series 2006-12CB-A8

   6.00%      05/25/2036      3,798,216

2,806,289

    

Alternative Loan Trust 2006-2CB, Series 2006-2CB-A9

   6.00%      03/25/2036      2,156,524

52,652,350

    

Alternative Loan Trust, Series 2005-55CB-1A1

   5.50%      11/25/2035      49,266,072

14,555,343

    

Alternative Loan Trust, Series 2006-13T1-A1

   6.00%      05/25/2036      11,065,575

4,106,060

    

Alternative Loan Trust, Series 2006-16CB-A7

   6.00%      06/25/2036      3,458,458

10,416,561

    

Alternative Loan Trust, Series 2006-41CB-1A15 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

   3.38%   I/F I/O    01/25/2037      2,143,254


10,416,561

    

Alternative Loan Trust, Series 2006-41CB-1A2 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)

   2.62%      01/25/2037      6,441,531

7,014,042

    

Alternative Loan Trust, Series 2007-15CB-A2

   5.75%      07/25/2037      6,314,603

9,952,678

    

Alternative Loan Trust, Series 2007-15CB-A5

   5.75%      07/25/2037      8,960,198

21,900,511

    

Alternative Loan Trust, Series 2007-5CB-1A31

   5.50%      04/25/2037      17,399,671

7,531,472

    

Alternative Loan Trust, Series 2007-5CB-2A1

   6.00%      04/25/2037      5,704,828

6,990,516

    

Alternative Loan Trust, Series 2007-6-A1

   5.75%      04/25/2047      6,232,391

60,089,843

    

Alternative Loan Trust, Series 2007-HY4-4A1

   3.97%   #    06/25/2037      57,395,258

83,854,006

    

Alternative Loan Trust, Series 2007-HY9-A2 (1 Month LIBOR USD + 0.27%, 0.27% Floor)

   2.29%      08/25/2047      73,899,194

5,405,036

    

American Home Assets, Series 2006-2-2A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor)

   2.21%      09/25/2046      5,149,963

306,711

    

American Home Mortgage Investment Trust, Series 2005-1-7A2 (6 Month LIBOR USD + 2.00%, 2.00% Floor, 11.00% Cap)

   4.04%      06/25/2045      308,124

5,863,255

    

American Home Mortgage Investment Trust, Series 2005-4-3A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 11.00% Cap)

   2.32%      11/25/2045      5,438,499

21,632,497

    

American Home Mortgage Investment Trust, Series 2005-4-5A (6 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap)

   3.78%      11/25/2045      16,021,659

2,252,559

    

American Home Mortgage Investment Trust, Series 2006-2-3A4

   7.10%      06/25/2036      791,066

7,816,509

    

American Home Mortgage Investment Trust, Series 2007-A-13A1

   6.60%   ^    01/25/2037      3,227,301

142,447,220

    

Ameriquest Mortgage Securities Trust, Series 2006-M3-A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.19%      10/25/2036      100,560,230

6,862,903

    

Ameriquest Mortgage Securities, Inc., Series 2004-FR1-M1

   4.38%      05/25/2034      7,160,307

16,500,000

    

Ameriquest Mortgage Securities, Inc., Series 2004-R8-M2 (1 Month LIBOR USD + 1.02%, 0.68% Floor)

   3.04%      09/25/2034      16,561,961

8,716,713

    

Amortizing Residential Collateral Trust, Series 2002-BC7-M1 (1 Month LIBOR USD + 1.20%, 0.80% Floor)

   3.22%      10/25/2032      7,441,910

17,505,946

    

Angel Oak Mortgage Trust, Series 2018-1-A1

   3.26%   # ^    04/27/2048      17,594,479

99,205

    

Argent Securities, Inc., Series 2004-W6-M1 (1 Month LIBOR USD + 0.83%, 0.55% Floor)

   2.84%      05/25/2034      99,852

1,769,588

    

Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE6-M1 (1 Month LIBOR USD + 0.98%, 0.65% Floor)

   2.99%      11/25/2033      1,760,735

590,753

    

Asset Backed Securities Corporation Home Equity Loan Trust, Series 2004-HE3-M2 (1 Month LIBOR USD + 1.68%, 1.12% Floor)

   3.70%      06/25/2034      592,404

31,224,200

    

Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.15%      11/25/2036      29,134,561

10,421,672

    

Banc of America Alternative Loan Trust, Series 2005-10-2CB1

   6.00%      11/25/2035      10,707,864

1,762,910

    

Banc of America Alternative Loan Trust, Series 2005-10-4A1

   5.75%      11/25/2035      1,747,775

5,547,642

    

Banc of America Alternative Loan Trust, Series 2005-11-2CB1

   6.00%      12/25/2035      5,603,596

2,023,489

    

Banc of America Alternative Loan Trust, Series 2005-5-2CB1

   6.00%      06/25/2035      2,088,089

1,235,135

    

Banc of America Alternative Loan Trust, Series 2005-8-2CB1

   6.00%      09/25/2035      1,281,897

6,119,538

    

Banc of America Alternative Loan Trust, Series 2006-1-3CB1

   6.50%      02/25/2036      6,421,790

3,300,640

    

Banc of America Alternative Loan Trust, Series 2006-2-1CB1

   6.00%      03/25/2036      3,322,316

4,328,254

    

Banc of America Alternative Loan Trust, Series 2006-2-3CB1

   6.50%      03/25/2036      4,252,617

3,037,055

    

Banc of America Alternative Loan Trust, Series 2006-3-4CB1

   6.50%      04/25/2036      2,986,655

999,667

    

Banc of America Alternative Loan Trust, Series 2006-5-CB14 (1 Month LIBOR USD + 1.10%, 6.00% Floor, 6.00% Cap)

   6.00%      06/25/2046      997,101

2,246,103

    

Banc of America Alternative Loan Trust, Series 2006-6-CB3

   6.00%      07/25/2046      2,200,988

11,058,434

    

Banc of America Alternative Loan Trust, Series 2006-7-A4

   6.00%   ß    10/25/2036      6,024,889

3,112,074

    

Banc of America Alternative Loan Trust, Series 2006-8-1A1 (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

   4.48%   I/F I/O    11/25/2036      508,321

1,109,125

    

Banc of America Alternative Loan Trust, Series 2006-8-1A2 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      11/25/2036      967,152

5,335,203

    

Banc of America Alternative Loan Trust, Series 2006-9-1CB1

   6.00%      01/25/2037      5,317,036

930,714

    

Banc of America Alternative Loan Trust, Series 2007-2-2A1

   6.00%      06/25/2037      924,586

5,663,258

    

Banc of America Funding Corporation, Series 2006-2-3A1

   6.00%      03/25/2036      5,786,028

183,828

    

Banc of America Funding Corporation, Series 2006-2-4A1 (-3 x 1 Month LIBOR USD + 22.80%)

   16.74%   I/F    03/25/2036      265,888

544,309

    

Banc of America Funding Corporation, Series 2006-2-6A2

   5.50%      03/25/2036      543,522

1,819,406

    

Banc of America Funding Corporation, Series 2006-3-1A1

   6.00%      03/25/2036      1,778,646

640,929

    

Banc of America Funding Corporation, Series 2006-3-6A1

   6.21%   #    03/25/2036      660,023

3,880,173

    

Banc of America Funding Corporation, Series 2006-6-1A7

   6.25%      08/25/2036      3,916,451

1,173,723

    

Banc of America Funding Corporation, Series 2006-7-T2A5

   6.04%      10/25/2036      1,130,178

5,532,113

    

Banc of America Funding Corporation, Series 2006-7-T2A8

   5.91%      10/25/2036      5,327,361

1,272,425

    

Banc of America Funding Corporation, Series 2006-8T2-A8

   6.10%   ß    10/25/2036      1,230,435

606,679

    

Banc of America Funding Corporation, Series 2006-B-7A1

   4.46%   #    03/20/2036      581,703

7,859,025

    

Banc of America Funding Corporation, Series 2006-D-6A1

   3.99%   #    05/20/2036      7,804,352

277,459

    

Banc of America Funding Corporation, Series 2006-G-2A1 (1 Month LIBOR USD + 0.22%, 0.22% Floor, 10.50% Cap)

   2.48%      07/20/2036      277,866

280,309

    

Banc of America Funding Corporation, Series 2006-H-3A1

   4.25%   #    09/20/2046      266,303

892,011

    

Banc of America Funding Corporation, Series 2007-1-TA10

   5.84%   ß    01/25/2037      891,489

1,237,022

    

Banc of America Funding Corporation, Series 2007-3-TA1B

   5.83%   #    04/25/2037      1,241,916

2,201,758

    

Banc of America Funding Corporation, Series 2007-5-1A1

   5.50%      07/25/2037      2,130,274

2,047,946

    

Banc of America Funding Corporation, Series 2009-R14A-3A (- 2 x 1 Month LIBOR USD + 16.57%, 5.50% Floor, 16.57% Cap)

   11.30%   ^I/F    06/26/2035      2,642,810

3,513,528

    

Banc of America Funding Corporation, Series 2009-R15A-4A2

   5.75%   # ^    12/26/2036      3,568,434

1,218,019

    

Banc of America Funding Corporation, Series 2010-R1-3A (-2 x 1 Month LIBOR USD + 14.28%, 6.00% Floor, 14.28% Cap)

   10.96%   ^I/F    07/26/2036      1,591,272

181,497

    

Banc of America Mortgage Securities Trust, Series 2004-K-4A1

   4.28%   #    12/25/2034      182,705

2,700,248

    

Banc of America Mortgage Securities Trust, Series 2006-1-A9

   6.00%      05/25/2036      2,739,570

272,217

    

Banc of America Mortgage Securities Trust, Series 2007-1-2A5

   5.75%      01/25/2037      264,997

14,956,167

    

BankUnited Trust, Series 2005-1-2A1

   4.14%   #    09/25/2045      14,939,087

1,543,305

    

Bayview Commercial Asset Trust, Series 2007-3-A2 (1 Month LIBOR USD + 0.29%)

   2.31%   ^    07/25/2037      1,469,521

2,788,511

    

Bayview Opportunity Master Fund Trust, Series 2018-RN8-A1

   4.07%   ^ §    09/28/2033      2,805,268

31,161,398

    

Bayview Opportunity Master Fund Trust, Series 2019-SBR1-A1

   3.47%   ^ §    06/28/2034      31,252,813

5,331,782

    

BCAP LLC Trust, Series 2006-AA2-A1 (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.19%      01/25/2037      5,146,363

2,872,576

    

BCAP LLC Trust, Series 2007-AA2-2A7

   6.00%      04/25/2037      2,370,558

3,110,024

    

BCAP LLC Trust, Series 2007-AA2-2A8

   5.75%      04/25/2037      2,518,096

11,056,558

    

BCAP LLC Trust, Series 2008-RR3-A1B

   6.67%   # ^    10/25/2036      6,613,964

2,942,723

    

BCAP LLC Trust, Series 2009-RR13-18A2

   5.75%   # ^    07/26/2037      2,596,248

5,977,788

    

BCAP LLC Trust, Series 2009-RR1-3A3

   6.00%   # ^    08/26/2037      6,064,348

3,963,092

    

BCAP LLC Trust, Series 2009-RR4-4A2

   5.75%   # ^    02/26/2036      3,121,877

2,153,376

    

BCAP LLC Trust, Series 2010-RR10-5A1

   7.00%   # ^    04/27/2037      2,281,377

416,157

    

BCAP LLC Trust, Series 2010-RR12-3A15

   7.14%   # ^    08/26/2037      418,288

3,151,361

    

Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12-13A1

   4.53%   #    02/25/2036      3,028,607

5,052,930

    

Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4-4A1

   4.17%   #    10/25/2046      4,799,748

5,455,196

    

Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-2A1

   4.91%   #    02/25/2047      5,402,626

2,278,115

    

Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-3A1

   4.22%   #    02/25/2047      2,193,950

1,899,011

    

Bear Stearns Alt-A Trust, Series 2004-11-2A3

   4.11%   #    11/25/2034      1,896,952

9,836,427

    

Bear Stearns Alt-A Trust, Series 2006-1-11A1 (1 Month LIBOR USD + 0.48%, 0.24% Floor, 11.50% Cap)

   2.50%      02/25/2036      9,864,795

20,339,567

    

Bear Stearns Alt-A Trust, Series 2006-3-21A1

   3.98%   #    05/25/2036      16,413,044

7,672,007

    

Bear Stearns Alt-A Trust, Series 2006-5-1A1 (1 Month LIBOR USD + 0.34%, 0.17% Floor, 11.50% Cap)

   2.36%      08/25/2036      6,418,820

9,871,666

    

Bear Stearns Alt-A Trust, Series 2006-6-2A1

   3.99%   #    11/25/2036      9,163,218

4,921,640

    

Bear Stearns Alt-A Trust, Series 2006-8-2A1

   3.92%   #    08/25/2046      4,811,103

26,454,809

    

Bear Stearns Alt-A Trust, Series 2007-2-2A1 (12 Month LIBOR USD + 1.88%, 1.88% Floor, 11.15% Cap)

   4.79%      12/25/2046      24,647,621

4,899,782

    

Bear Stearns Asset Backed Securities Trust, Series 2004-AC4-A2

   6.00%      08/25/2034      5,099,297

14,391,478

    

Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-1A

   5.75%      04/25/2035      14,257,061

4,085,545

    

Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-2A1

   5.75%      04/25/2035      4,244,172

51,241,004

    

Bear Stearns Asset Backed Securities Trust, Series 2005-AC6-22A

   5.42%   #    09/25/2035      49,063,923

7,558,637

    

Bear Stearns Asset Backed Securities Trust, Series 2005-AC7-A4

   6.00%      10/25/2035      6,737,153

11,621,514

    

Bear Stearns Asset Backed Securities Trust, Series 2006-AC1-1A1

   6.25%      02/25/2036      8,631,915

4,754,968

    

Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1

   6.25%   ß    12/25/2036      4,437,624

18,829,919

    

Bear Stearns Asset Backed Securities Trust, Series 2007-HE2-2A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor)

   2.18%      02/25/2037      19,305,992

45,623,886

    

Bear Stearns Asset Backed Securities Trust, Series 2007-HE4-2A (1 Month LIBOR USD + 0.22%, 0.22% Floor)

   2.24%      05/25/2037      42,477,576

19,597,570

    

Bear Stearns Asset Backed Securities Trust, Series 2007-HE6-2A (1 Month LIBOR USD + 1.05%, 1.05% Floor)

   3.07%      08/25/2037      17,199,664

1,505,944

    

Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A2A

   6.00%      10/25/2036      1,142,900

1,334,856

    

Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A

   6.50%      10/25/2036      1,023,610

2,271,842

    

Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-23A1

   4.80%   #    10/25/2036      2,142,293

15,559,199

    

Bear Stearns Mortgage Funding Trust, Series 2006-AR3-2A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 10.50% Cap)

   2.22%      11/25/2036      17,117,588

5,680,920

    

Bear Stearns Mortgage Funding Trust, Series 2006-AR4-A2 (1 Month LIBOR USD + 0.18%, 0.18% Floor, 10.50% Cap)

   2.20%      12/25/2037      5,619,031

13,378,791

    

Bear Stearns Mortgage Funding Trust, Series 2007-AR3-22A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.50% Cap)

   2.18%      04/25/2037      15,478,924

42,200,000

    

Bellemeade Ltd., Series 2019-2A-M1B (1 Month LIBOR USD + 1.45%, 1.45% Floor)

   3.47%   ^    04/25/2029      42,222,509

21,581,838

    

BNC Mortgage Loan Trust, Series 2006-2-A4 (1 Month LIBOR USD + 0.16%, 0.16% Floor)

   2.18%      11/25/2036      20,811,513

14,160,059

    

BNC Mortgage Loan Trust, Series 2007-1-A4 (1 Month LIBOR USD + 0.16%, 0.16% Floor)

   2.18%      03/25/2037      13,651,399

33,785,574

    

BNPP Mortgage Securities LLC Trust, Series 2009-1-B1

   6.00%   ^    08/27/2037      27,441,025

12,863,787

    

Carrington Mortgage Loan Trust, Series 2006-FRE2-A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 12.50% Cap)

   2.18%      10/25/2036      10,117,209

9,187,725

    

Carrington Mortgage Loan Trust, Series 2006-FRE2-A4 (1 Month LIBOR USD + 0.25%, 0.25% Floor, 12.50% Cap)

   2.27%      10/25/2036      7,308,331

107,424,056

    

Carrington Mortgage Loan Trust, Series 2006-NC4-A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 12.50% Cap)

   2.18%      10/25/2036      100,556,490

30,594,417

    

Carrington Mortgage Loan Trust, Series 2007-RFC1-A3 (1 Month LIBOR USD + 0.14%, 0.14% Floor, 14.50% Cap)

   2.16%      12/25/2036      28,863,210

2,750,000

    

Centex Home Equity, Series 2004-A-AF5

   5.43%      01/25/2034      2,835,185

1,040,973

    

Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-4-2M1 (1 Month LIBOR USD + 0.90%, 0.60% Floor)

   2.92%      03/25/2033      1,010,519

5,570,904

    

Chase Mortgage Finance Trust, Series 2005-A1-2A4

   4.26%   #    12/25/2035      5,544,318

9,285,211

    

Chase Mortgage Finance Trust, Series 2006-S1-A5

   6.50%      05/25/2036      7,535,604


10,767,090

    

Chase Mortgage Finance Trust, Series 2006-S2-1A9

   6.25%      10/25/2036      8,183,864

6,237,515

    

Chase Mortgage Finance Trust, Series 2006-S3-1A2

   6.00%      11/25/2036      4,584,163

16,919,644

    

Chase Mortgage Finance Trust, Series 2006-S4-A8

   6.00%      12/25/2036      12,579,100

5,679,712

    

Chase Mortgage Finance Trust, Series 2007-A2-6A4

   4.50%   #    07/25/2037      5,572,588

5,578,661

    

Chase Mortgage Finance Trust, Series 2007-S1-A7

   6.00%      02/25/2037      3,955,348

3,182,899

    

Chase Mortgage Finance Trust, Series 2007-S3-1A5

   6.00%      05/25/2037      2,462,413

1,605,996

    

Chase Mortgage Finance Trust, Series 2007-S3-2A1

   5.50%      05/25/2037      417,142

3,068,217

    

Chase Mortgage Finance Trust, Series 2007-S5-1A18

   6.00%      07/25/2037      2,282,327

3,938,437

    

ChaseFlex Trust, Series 2005-1-3A1

   6.00%      02/25/2035      3,941,135

609,770

    

ChaseFlex Trust, Series 2006-1-A5

   6.16%   #    06/25/2036      575,266

4,545,166

    

ChaseFlex Trust, Series 2006-2-A2B (1 Month LIBOR USD + 0.20%, 0.20% Floor, 11.50% Cap)

   2.22%      09/25/2036      3,764,098

4,091,697

    

ChaseFlex Trust, Series 2007-1-1A1

   6.50%      02/25/2037      2,418,385

9,303,916

    

ChaseFlex Trust, Series 2007-M1-2F4

   4.22%   ß    08/25/2037      8,921,758

9,676,900

    

ChaseFlex Trust, Series 2007-M1-2F5

   4.22%   ß    08/25/2037      9,278,739

4,395,288

    

CHL Mortgage Pass Through Trust, Series 2005-26-1A12

   5.50%      11/25/2035      4,097,507

22,592,233

    

CHL Mortgage Pass-Through Trust, Series 2005-17-2A1

   5.50%      09/25/2035      19,595,893

4,452,113

    

CHL Mortgage Pass-Through Trust, Series 2005-18-A1

   5.50%      10/25/2035      3,777,262

8,178,935

    

CHL Mortgage Pass-Through Trust, Series 2006-14-A5

   6.25%      09/25/2036      6,960,467

36,606,770

    

CHL Mortgage Pass-Through Trust, Series 2006-8-1A3

   6.00%      05/25/2036      33,789,810

2,481,205

    

CHL Mortgage Pass-Through Trust, Series 2007-15-1A2

   6.25%      09/25/2037      2,237,072

49,441,372

    

CHL Mortgage Pass-Through Trust, Series 2007-21-1A1

   6.25%      02/25/2038      40,132,032

2,451,632

    

CHL Mortgage Pass-Through Trust, Series 2007-2-A2

   6.00%      03/25/2037      2,053,934

3,283,812

    

CHL Mortgage Pass-Through Trust, Series 2007-7-A11

   5.50%      06/25/2037      2,737,081

5,653,040

    

CHL Mortgage Pass-Through Trust, Series 2007-8-1A8

   6.00%      01/25/2038      4,602,075

15,767,711

    

CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1

   3.54%   #    03/25/2037      14,910,870

65,959,595

    

CIM Trust, Series 2016-1RR-B2

   8.82%   # ^ Þ    07/26/2055      66,069,319

75,440,246

    

CIM Trust, Series 2016-2RR-B2

   7.76%   # ^ Þ    02/25/2056      76,518,446

16,278,052

    

CIM Trust, Series 2016-3-A1 (1 Month LIBOR USD + 2.50%, 2.50% Floor)

   4.60%   ^    02/25/2056      16,831,297

73,074,681

    

CIM Trust, Series 2016-3RR-B2

   8.14%   # ^ Þ    02/27/2056      73,736,380

50,188,672

    

CIM Trust, Series 2017-3RR-B2

   10.97%   # ^ Þ    01/27/2057      52,132,730

171,988,558

    

CIM Trust, Series 2017-6-A1

   3.02%   # ^    06/25/2057      173,055,300

122,724,277

    

CIM Trust, Series 2017-8-A1

   3.00%   # ^    12/25/2065      122,688,074

5,469,950

    

CitiCorporationMortgage Securities, Inc., Series 2005-1-1A4

   5.50%      02/25/2035      5,731,401

1,161,505

    

CitiCorporationMortgage Securities, Inc., Series 2006-7-1A1

   6.00%      12/25/2036      1,048,184

4,691,777

    

CitiCorporationResidential Mortgage Securities, Inc., Series 2006-2-A5

   5.25%      09/25/2036      4,846,803

6,563,604

    

CitiCorporationResidential Mortgage Securities, Inc., Series 2007-1-A4

   5.26%   ß    03/25/2037      6,671,011

278,180,680

    

Citigroup Mortgage Loan Trust, Inc., Series 2019-D-PT1

   3.25%   ^    04/25/2059      273,656,628

2,112,103

    

Citigroup Mortgage Loan Trust, Inc., Series 2005-5-2A2

   5.75%      08/25/2035      1,751,266

970,244

    

Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A1

   5.50%      11/25/2035      942,285

2,695,711

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-4-2A1A

   6.00%      12/25/2035      2,740,251

34,681,235

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1-A1 (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.16%   ^    09/25/2036      33,752,517

8,981,069

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3-1A1A

   4.77%   #    06/25/2036      9,223,199

3,268,765

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-FX1-A6

   5.85%   ß    10/25/2036      2,646,188

1,768,567

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-WF1-A2D

   4.88%   ß    03/25/2036      1,182,662

11,682,047

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2D

   6.16%   ß    05/25/2036      6,562,561

3,662,105

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH3-M1 (1 Month LIBOR USD + 0.29%, 0.29% Floor)

   2.31%      10/25/2036      3,667,152

5,013,714

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-10-1A1A

   5.46%   #    04/25/2037      5,214,391

763,547

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-12-2A1

   6.50%   ^    10/25/2036      638,665

124,472

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-2-2A

   6.00%      11/25/2036      126,396

21,895,748

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-9-1A1

   5.75%   ^    04/25/2047      19,311,174

1,193,437

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-9-2A2

   6.50%   # ^    05/25/2037      1,270,772

74,639,835

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC2-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%   ^    01/25/2037      68,991,212

2,247,986

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5-1A3A

   4.70%   #    04/25/2037      2,165,802

11,348,950

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-FS1-2A1A (1 Month LIBOR USD + 1.00%, 1.00% Floor, 5.75% Cap)

   3.02%   ^    10/25/2037      11,015,787

4,840,903

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A3A

   5.97%   ß    01/25/2037      3,387,600

10,671,091

    

Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A5A

   5.76%   ß    01/25/2037      7,469,283

6,478,128

    

Citigroup Mortgage Loan Trust, Inc., Series 2010-7-9A4

   6.00%   # ^    10/25/2037      6,351,892

85,316,075

    

Citigroup Mortgage Loan Trust, Inc., Series 2010-8-5A4

   6.00%   # ^    11/25/2036      86,355,549

69,002,272

    

Citigroup Mortgage Loan Trust, Inc., Series 2010-8-6A4

   6.00%   # ^    12/25/2036      69,429,561

48,910,343

    

Citigroup Mortgage Loan Trust, Inc., Series 2010-8-7A4

   6.00%   # ^    06/25/2037      51,006,934

25,001,402

    

Citigroup Mortgage Loan Trust, Inc., Series 2014-J2-A1

   3.50%   # ^    11/25/2044      25,357,722

196,684,926

    

Citigroup Mortgage Loan Trust, Inc., Series 2017-RP2-A1A

   3.93%   # ^    07/25/2067      206,761,803

16,255,856

    

Citigroup Mortgage Loan Trust, Inc., Series 2018-A-A1

   4.00%   # ^    01/25/2068      16,314,884

23,359,992

    

Citigroup Mortgage Loan Trust, Inc., Series 2018-C-A1

   4.13%   ^ §    03/25/2059      23,549,867

187,123,029

    

Citigroup Mortgage Loan Trust, Series 2019-A-PT1

   3.92%   ^    10/25/2058      187,925,675

36,321,646

    

Citigroup Mortgage Loan Trust, Series 2019-B-A1

   3.26%   # ^    04/25/2066      36,409,559

92,994,521

    

Citigroup Mortgage Loan Trust, Series 2019-C-A1

   3.23%   ^ §    03/25/2082      93,237,106

3,587,780

    

CitiMortgage Alternative Loan Trust, Series 2006-A2-A2

   6.00%      05/25/2036      3,518,748

3,654,425

    

CitiMortgage Alternative Loan Trust, Series 2006-A3-1A13

   6.00%      07/25/2036      3,634,774

2,492,961

    

CitiMortgage Alternative Loan Trust, Series 2006-A4-1A8

   6.00%      09/25/2036      2,400,676

690,226

    

CitiMortgage Alternative Loan Trust, Series 2006-A5-2A1

   5.50%      10/25/2021      728,571

2,610,520

    

CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3

   6.00%      10/25/2036      2,424,018

7,823,545

    

CitiMortgage Alternative Loan Trust, Series 2006-A6-1A2 (1 Month LIBOR USD + 0.50%, 6.00% Floor, 6.00% Cap)

   6.00%      11/25/2036      7,569,014

4,186,415

    

CitiMortgage Alternative Loan Trust, Series 2007-A1-1A5

   6.00%      01/25/2037      4,137,697

2,041,154

    

CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7

   6.00%      01/25/2037      2,017,401

5,534,648

    

CitiMortgage Alternative Loan Trust, Series 2007-A1-1A8 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)

   2.62%      01/25/2037      4,575,989

5,222,555

    

CitiMortgage Alternative Loan Trust, Series 2007-A1-1A9 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

   3.38%   I/F I/O    01/25/2037      800,473

4,367,715

    

CitiMortgage Alternative Loan Trust, Series 2007-A3-1A1

   6.00%   ±    03/25/2037      4,413,242

10,051,512

    

CitiMortgage Alternative Loan Trust, Series 2007-A3-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

   3.38%   I/F I/O    03/25/2037      1,882,547

3,938,972

    

CitiMortgage Alternative Loan Trust, Series 2007-A3-1A4

   5.75%      03/25/2037      3,854,299

7,099,489

    

CitiMortgage Alternative Loan Trust, Series 2007-A4-1A3 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)

   2.35%      04/25/2037      5,629,293

7,099,489

    

CitiMortgage Alternative Loan Trust, Series 2007-A4-1A4 (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap)

   4.65%   I/F I/O    04/25/2037      1,287,901

7,518,803

    

CitiMortgage Alternative Loan Trust, Series 2007-A4-1A5

   5.75%      04/25/2037      7,375,998

1,064,632

    

CitiMortgage Alternative Loan Trust, Series 2007-A5-1A11

   6.00%      05/25/2037      1,060,382

14,036,400

    

CitiMortgage Alternative Loan Trust, Series 2007-A5-1A8

   6.00%      05/25/2037      13,980,381

457,215

    

CitiMortgage Alternative Loan Trust, Series 2007-A8-A1

   6.00%      10/25/2037      445,593

7,618,307

    

Colony American Finance Ltd., Series 2016-1-A

   2.54%   ^    06/15/2048      7,592,292

44,223,930

    

Countrywide Alternative Loan Trust, Series 2004-36CB-1A1

   6.00%      02/25/2035      42,704,993

5,154,989

    

Countrywide Alternative Loan Trust, Series 2005-13CB-A3

   5.50%      05/25/2035      5,162,506

3,847,645

    

Countrywide Alternative Loan Trust, Series 2005-20CB-2A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)

   2.52%      07/25/2035      2,829,059

7,855,608

    

Countrywide Alternative Loan Trust, Series 2005-20CB-2A2 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    07/25/2035      922,309

155,046

    

Countrywide Alternative Loan Trust, Series 2005-20CB-4A1

   5.25%      07/25/2020      154,770

2,779,964

    

Countrywide Alternative Loan Trust, Series 2005-26CB-A11 (-2 x 1 Month LIBOR USD + 13.05%, 13.05% Cap)

   9.39%   I/F    07/25/2035      3,113,547

3,909,936

    

Countrywide Alternative Loan Trust, Series 2005-28CB-1A2 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)

   2.77%      08/25/2035      3,239,529

1,551,792

    

Countrywide Alternative Loan Trust, Series 2005-28CB-3A6

   6.00%      08/25/2035      1,114,771

1,971,246

    

Countrywide Alternative Loan Trust, Series 2005-46CB-A20

   5.50%      10/25/2035      1,880,772

6,852,280

    

Countrywide Alternative Loan Trust, Series 2005-48T1-A2

   5.50%      11/25/2035      6,127,519

2,331,453

    

Countrywide Alternative Loan Trust, Series 2005-54CB-3A4

   5.50%      11/25/2035      1,994,095

22,137,687

    

Countrywide Alternative Loan Trust, Series 2005-57CB-1A1

   5.50%      12/25/2035      20,415,585

523,854

    

Countrywide Alternative Loan Trust, Series 2005-60T1-A7 (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap)

   21.13%   I/F    12/25/2035      935,340

732,858

    

Countrywide Alternative Loan Trust, Series 2005-64CB-1A14

   5.50%      12/25/2035      728,719

10,636,516

    

Countrywide Alternative Loan Trust, Series 2005-64CB-1A4

   5.50%      12/25/2035      10,576,444

1,813,229

    

Countrywide Alternative Loan Trust, Series 2005-73CB-1A5 (1 Month LIBOR USD + 0.80%, 0.80% Floor, 5.50% Cap)

   2.82%      01/25/2036      1,554,159

4,561,709

    

Countrywide Alternative Loan Trust, Series 2005-73CB-1A6 (-1 x 1 Month LIBOR USD + 4.70%, 4.70% Cap)

   2.68%   I/F I/O    01/25/2036      628,734

44,488,542

    

Countrywide Alternative Loan Trust, Series 2005-77T1-1A1

   6.00%      02/25/2036      33,276,103

845,602

    

Countrywide Alternative Loan Trust, Series 2005-79CB-A5

   5.50%      01/25/2036      756,186

28,581,159

    

Countrywide Alternative Loan Trust, Series 2005-85CB-1A1

   6.00%      02/25/2036      21,499,025

2,265,060

    

Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 (-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap)

   14.23%   I/F    02/25/2036      3,124,234

1,430,880

    

Countrywide Alternative Loan Trust, Series 2005-86CB-A5

   5.50%      02/25/2036      1,251,407

2,623,253

    

Countrywide Alternative Loan Trust, Series 2005-J10-1A11

   5.50%      10/25/2035      2,494,735

596,991

    

Countrywide Alternative Loan Trust, Series 2005-J10-1A13 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)

   2.72%      10/25/2035      482,770

279,657

    

Countrywide Alternative Loan Trust, Series 2005-J10-1A15

   5.50%      10/25/2035      265,956

702,112

    

Countrywide Alternative Loan Trust, Series 2005-J11-1A3

   5.50%      11/25/2035      599,902


977,300

    

Countrywide Alternative Loan Trust, Series 2005-J11-6A1

   6.50%      09/25/2032      970,457

823,078

    

Countrywide Alternative Loan Trust, Series 2005-J13-2A5 (1 Month LIBOR USD + 0.48%, 0.48% Floor, 5.50% Cap)

   2.50%      11/25/2035      629,675

1,646,157

    

Countrywide Alternative Loan Trust, Series 2005-J13-2A6 (-1 x 1 Month LIBOR USD + 5.02%, 5.02% Cap)

   3.00%   I/F I/O    11/25/2035      172,590

3,891,000

    

Countrywide Alternative Loan Trust, Series 2005-J1-5A3

   5.50%      02/25/2035      4,011,761

46,156

    

Countrywide Alternative Loan Trust, Series 2005-J1-7A1

   5.50%      01/25/2020      44,266

813,840

    

Countrywide Alternative Loan Trust, Series 2005-J2-1A5 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)

   2.52%      04/25/2035      697,919

2,504,122

    

Countrywide Alternative Loan Trust, Series 2005-J2-1A6 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    04/25/2035      199,504

7,056,272

    

Countrywide Alternative Loan Trust, Series 2005-J3-2A8 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.50% Cap)

   2.32%      05/25/2035      6,217,076

7,056,272

    

Countrywide Alternative Loan Trust, Series 2005-J3-2A9 (-1 x 1 Month LIBOR USD + 5.20%, 5.20% Cap)

   3.18%   I/F I/O    05/25/2035      724,124

3,746,608

    

Countrywide Alternative Loan Trust, Series 2006-12CB-A3 (1 Month LIBOR USD + 5.75%, 5.75% Floor)

   5.75%      05/25/2036      3,006,358

38,330,732

    

Countrywide Alternative Loan Trust, Series 2006-15CB-A1

   6.50%      06/25/2036      28,958,542

1,135,318

    

Countrywide Alternative Loan Trust, Series 2006-18CB-A12 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)

   2.62%      07/25/2036      720,138

1,135,318

    

Countrywide Alternative Loan Trust, Series 2006-18CB-A13 (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)

   3.48%   I/F I/O    07/25/2036      210,807

5,509,785

    

Countrywide Alternative Loan Trust, Series 2006-19CB-A12 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap)

   2.42%      08/25/2036      3,609,302

7,471,599

    

Countrywide Alternative Loan Trust, Series 2006-19CB-A13 (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

   3.58%   I/F I/O    08/25/2036      1,743,468

1,150,197

    

Countrywide Alternative Loan Trust, Series 2006-19CB-A15

   6.00%      08/25/2036      1,017,730

1,957,283

    

Countrywide Alternative Loan Trust, Series 2006-24CB-A11

   5.75%      08/25/2036      1,624,734

5,728,726

    

Countrywide Alternative Loan Trust, Series 2006-24CB-A14 (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap)

   5.13%   I/F I/O    08/25/2036      1,626,677

4,593,692

    

Countrywide Alternative Loan Trust, Series 2006-24CB-A22

   6.00%      08/25/2036      3,893,259

4,930,412

    

Countrywide Alternative Loan Trust, Series 2006-24CB-A5 (1 Month LIBOR USD + 0.60%, 0.06% Floor, 6.00% Cap)

   2.62%      08/25/2036      3,141,790

1,870,944

    

Countrywide Alternative Loan Trust, Series 2006-26CB-A17

   6.25%      09/25/2036      1,475,402

2,401,516

    

Countrywide Alternative Loan Trust, Series 2006-26CB-A9

   6.50%      09/25/2036      1,936,713

4,462,060

    

Countrywide Alternative Loan Trust, Series 2006-29T1-1A2

   6.25%      10/25/2036      3,721,206

628,883

    

Countrywide Alternative Loan Trust, Series 2006-29T1-2A12 (-7 x 1 Month LIBOR USD + 46.15%, 46.15% Cap)

   33.03%   I/F    10/25/2036      1,452,189

385,204

    

Countrywide Alternative Loan Trust, Series 2006-29T1-2A23 (-4 x 1 Month LIBOR USD + 33.37%, 33.37% Cap)

   24.62%   I/F    10/25/2036      699,632

4,334,653

    

Countrywide Alternative Loan Trust, Series 2006-30T1-1A2

   6.25%      11/25/2036      3,998,248

3,078,278

    

Countrywide Alternative Loan Trust, Series 2006-32CB-A1 (1 Month LIBOR USD + 0.67%, 0.67% Floor, 6.00% Cap)

   2.69%      11/25/2036      2,012,534

5,134,568

    

Countrywide Alternative Loan Trust, Series 2006-32CB-A2 (-1 x 1 Month LIBOR USD + 5.33%, 5.33% Cap)

   3.31%   I/F I/O    11/25/2036      1,096,725

5,258,134

    

Countrywide Alternative Loan Trust, Series 2006-36T2-2A1

   6.25%      12/25/2036      3,688,913

1,474,284

    

Countrywide Alternative Loan Trust, Series 2006-39CB-1A10

   6.00%      01/25/2037      1,474,616

14,456,526

    

Countrywide Alternative Loan Trust, Series 2006-39CB-2A2 (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)

   4.53%   I/F I/O    01/25/2037      3,721,395

4,923,129

    

Countrywide Alternative Loan Trust, Series 2006-39CB-2A4 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      01/25/2037      898,055

2,099,938

    

Countrywide Alternative Loan Trust, Series 2006-40T1-1A11

   6.00%      01/25/2037      1,938,611

3,574,042

    

Countrywide Alternative Loan Trust, Series 2006-40T1-1A4 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)

   3.43%   I/F I/O    01/25/2037      521,814

4,259,172

    

Countrywide Alternative Loan Trust, Series 2006-41CB-1A10

   6.00%      01/25/2037      3,554,946

4,485,000

    

Countrywide Alternative Loan Trust, Series 2006-41CB-1A9

   6.00%      01/25/2037      3,743,435

4,287,237

    

Countrywide Alternative Loan Trust, Series 2006-45T1-1A4 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)

   2.62%      02/25/2037      1,817,655

4,287,237

    

Countrywide Alternative Loan Trust, Series 2006-45T1-1A5 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

   3.38%   I/F I/O    02/25/2037      1,079,301

1,190,378

    

Countrywide Alternative Loan Trust, Series 2006-6CB-1A4

   5.50%      05/25/2036      1,128,489

3,614,446

    

Countrywide Alternative Loan Trust, Series 2006-J1-1A10

   5.50%      02/25/2036      3,267,363

7,333,572

    

Countrywide Alternative Loan Trust, Series 2006-J1-1A3

   5.50%      02/25/2036      6,629,353

1,393,752

    

Countrywide Alternative Loan Trust, Series 2006-J4-2A2

   6.00%      07/25/2036      1,192,827

834,117

    

Countrywide Alternative Loan Trust, Series 2007-11T1-A24 (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap)

   27.79%   I/F    05/25/2037      1,712,333

13,920,091

    

Countrywide Alternative Loan Trust, Series 2007-15CB-A1

   6.00%      07/25/2037      12,740,007

9,919,476

    

Countrywide Alternative Loan Trust, Series 2007-16CB-2A1 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      08/25/2037      5,290,564

2,872,432

    

Countrywide Alternative Loan Trust, Series 2007-16CB-2A2 (-8 x 1 Month LIBOR USD + 54.58%, 54.58% Cap)

   37.76%   I/F    08/25/2037      6,894,697

4,919,405

    

Countrywide Alternative Loan Trust, Series 2007-16CB-4A7

   6.00%      08/25/2037      4,877,436

7,754,518

    

Countrywide Alternative Loan Trust, Series 2007-17CB-1A10 (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap)

   20.62%   I/F    08/25/2037      13,880,280

1,205,963

    

Countrywide Alternative Loan Trust, Series 2007-18CB-2A25

   6.00%      08/25/2037      1,138,860

846,784

    

Countrywide Alternative Loan Trust, Series 2007-19-1A10 (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap)

   26.89%   I/F    08/25/2037      1,915,373

12,445,905

    

Countrywide Alternative Loan Trust, Series 2007-19-1A4

   6.00%      08/25/2037      10,105,057

32,098,629

    

Countrywide Alternative Loan Trust, Series 2007-19-2A1

   6.50%      08/25/2037      23,179,065

3,977,379

    

Countrywide Alternative Loan Trust, Series 2007-21CB-2A2 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)

   20.33%   I/F    09/25/2037      6,185,539

21,870,736

    

Countrywide Alternative Loan Trust, Series 2007-22-2A16

   6.50%      09/25/2037      14,774,520

10,016,374

    

Countrywide Alternative Loan Trust, Series 2007-23CB-A3 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)

   2.52%      09/25/2037      5,684,889

14,215,311

    

Countrywide Alternative Loan Trust, Series 2007-23CB-A4 (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

   4.48%   I/F I/O    09/25/2037      4,758,935

15,408,709

    

Countrywide Alternative Loan Trust, Series 2007-4CB-2A1

   7.00%      03/25/2037      3,806,048

5,498,525

    

Countrywide Alternative Loan Trust, Series 2007-5CB-1A18 (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)

   3.63%   I/F I/O    04/25/2037      1,105,247

5,498,525

    

Countrywide Alternative Loan Trust, Series 2007-5CB-1A23 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.00% Cap)

   2.57%      04/25/2037      3,323,314

4,613,288

    

Countrywide Alternative Loan Trust, Series 2007-6-A4

   5.75%      04/25/2047      4,112,975

366,780

    

Countrywide Alternative Loan Trust, Series 2007-8CB-A12 (-6 x 1 Month LIBOR USD + 40.20%, 40.20% Cap)

   28.09%   I/F    05/25/2037      819,635

391,532

    

Countrywide Alternative Loan Trust, Series 2007-8CB-A8 (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap)

   27.97%   I/F    05/25/2037      871,774

574,100

    

Countrywide Alternative Loan Trust, Series 2007-9T1-1A4 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)

   2.52%      05/25/2037      265,717

574,100

    

Countrywide Alternative Loan Trust, Series 2007-9T1-1A5 (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)

   3.48%   I/F I/O    05/25/2037      121,655

15,725,378

    

Countrywide Alternative Loan Trust, Series 2007-9T1-1A6

   6.00%      05/25/2037      11,120,053

1,783,744

    

Countrywide Alternative Loan Trust, Series 2007-9T1-2A1

   6.00%      05/25/2037      1,258,604

65,876

    

Countrywide Alternative Loan Trust, Series 2007-9T1-3A1

   5.50%      05/25/2022      64,547

38,210,610

    

Countrywide Alternative Loan Trust, Series 2007-HY2-1A

   4.16%   #    03/25/2047      37,119,170

41,071

    

Countrywide Alternative Loan Trust, Series 2007-HY5R-2A1B

   3.65%   #    03/25/2047      41,084

2,751,200

    

Countrywide Asset Backed Certificates, Series 2003-BC6-M1 (1 Month LIBOR USD + 0.83%, 0.55% Floor)

   2.84%      11/25/2033      2,700,494

14,622,873

    

Countrywide Asset Backed Certificates, Series 2005-4-AF5B

   5.15%      10/25/2035      15,040,412

34,416,068

    

Countrywide Asset Backed Certificates, Series 2006-25-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%      06/25/2047      32,553,243

9,517,657

    

Countrywide Asset Backed Certificates, Series 2006-26-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%      06/25/2037      9,031,441

18,744,899

    

Countrywide Asset Backed Certificates, Series 2007-BC1-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%      05/25/2037      17,512,370

4,745,304

    

Countrywide Asset Backed Certificates, Series 2007-BC3-2A3 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.20%      11/25/2047      4,408,412

385,563

    

Countrywide Asset-Backed Certificates, Series 2005-13-AF3

   5.43%   #    02/25/2033      366,732

1,132,264

    

Countrywide Home Loans, Series 2003-60-4A1

   4.90%   #    02/25/2034      1,172,781

1,991,077

    

Countrywide Home Loans, Series 2004-R2-1AF1 (1 Month LIBOR USD + 0.42%, 0.42% Floor, 9.50% Cap)

   2.52%   ^    11/25/2034      1,827,173

1,937,313

    

Countrywide Home Loans, Series 2004-R2-1AS

   3.97%   # ^ I/O    11/25/2034      161,808

4,302,442

    

Countrywide Home Loans, Series 2005-20-A5

   5.50%      10/25/2035      4,029,094

3,192,323

    

Countrywide Home Loans, Series 2005-20-A8

   5.25%      10/25/2035      3,044,513

10,889,260

    

Countrywide Home Loans, Series 2005-23-A1

   5.50%      11/25/2035      9,315,415

2,767,373

    

Countrywide Home Loans, Series 2005-24-A8

   5.50%      11/25/2035      2,546,570

778,621

    

Countrywide Home Loans, Series 2005-27-2A1

   5.50%      12/25/2035      613,952

1,390,539

    

Countrywide Home Loans, Series 2005-28-A7

   5.25%      11/01/2035      1,195,378

16,599,518

    

Countrywide Home Loans, Series 2005-HYB1-4A1

   4.36%   #    03/25/2035      16,892,446

1,542,853

    

Countrywide Home Loans, Series 2005-HYB8-1A1

   4.34%   #    12/20/2035      1,384,789

2,535,886

    

Countrywide Home Loans, Series 2005-J3-2A4

   4.50%      09/25/2035      2,492,516

1,471,825

    

Countrywide Home Loans, Series 2005-J4-A5

   5.50%      11/25/2035      1,421,889

622,924

    

Countrywide Home Loans, Series 2005-R1-1AF1 (1 Month LIBOR USD + 0.36%, 0.36% Floor, 9.50% Cap)

   2.38%   ^    03/25/2035      579,887

608,802

    

Countrywide Home Loans, Series 2005-R1-1AS

   4.07%   # ^ I/O    03/25/2035      81,426

5,379,742

    

Countrywide Home Loans, Series 2006-16-2A1

   6.50%      11/25/2036      3,761,910

5,363,764

    

Countrywide Home Loans, Series 2006-1-A2

   6.00%      03/25/2036      4,404,889

2,154,099

    

Countrywide Home Loans, Series 2006-20-1A21

   6.00%      02/25/2037      1,751,988

1,385,493

    

Countrywide Home Loans, Series 2006-J3-A4

   5.50%      05/25/2036      1,431,336

6,185,190

    

Countrywide Home Loans, Series 2007-10-A7

   6.00%      07/25/2037      5,143,173

19,069,669

    

Countrywide Home Loans, Series 2007-11-A1

   6.00%      08/25/2037      15,024,731

11,328,636

    

Countrywide Home Loans, Series 2007-12-A9

   5.75%      08/25/2037      9,880,588

4,564,738

    

Countrywide Home Loans, Series 2007-13-A1

   6.00%      08/25/2037      3,691,631

7,479,574

    

Countrywide Home Loans, Series 2007-13-A10

   6.00%      08/25/2037      6,048,941

6,168,271

    

Countrywide Home Loans, Series 2007-15-1A1

   6.25%      09/25/2037      5,552,905

680,184

    

Countrywide Home Loans, Series 2007-15-1A16

   6.25%      09/25/2037      612,327

3,030,998

    

Countrywide Home Loans, Series 2007-15-1A29

   6.25%      09/25/2037      2,728,418

6,622,670

    

Countrywide Home Loans, Series 2007-17-1A2

   6.00%      10/25/2037      6,006,792

827,684

    

Countrywide Home Loans, Series 2007-18-1A1

   6.00%      11/25/2037      713,793

6,017,266

    

Countrywide Home Loans, Series 2007-3-A1

   6.00%      04/25/2037      5,069,178

2,317,462

    

Countrywide Home Loans, Series 2007-3-A12

   6.00%      04/25/2037      1,952,320

4,811,584

    

Countrywide Home Loans, Series 2007-4-1A39

   6.00%      05/25/2037      3,701,453

2,062,271

    

Countrywide Home Loans, Series 2007-5-A2

   5.75%      05/25/2037      1,779,671

7,306,885

    

Countrywide Home Loans, Series 2007-7-A1

   6.00%      06/25/2037      6,301,594

2,190,355

    

Countrywide Home Loans, Series 2007-7-A2

   5.75%      06/25/2037      1,857,339

6,646,090

    

Countrywide Home Loans, Series 2007-8-1A4

   6.00%      01/25/2038      5,410,505

3,487,844

    

Countrywide Home Loans, Series 2007-8-1A5

   5.44%      01/25/2038      2,659,644


8,098,039

    

Countrywide Home Loans, Series 2007-8-1A9 (1 Month LIBOR USD + 6.00%, 4.00% Floor, 6.00% Cap)

   6.00%      01/25/2038      6,132,805

1,365,877

    

Countrywide Home Loans, Series 2007-9-A11

   5.75%      07/25/2037      1,145,228

7,907,751

    

Countrywide Home Loans, Series 2007-HY1-1A1

   4.45%   #    04/25/2037      7,839,567

19,722,799

    

Countrywide Home Loans, Series 2007-J1-2A1

   6.00%      02/25/2037      13,385,479

526,626

    

Countrywide Home Loans, Series 2007-J3-A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)

   2.52%      07/25/2037      278,194

2,633,131

    

Countrywide Home Loans, Series 2007-J3-A2 (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)

   3.48%   I/F I/O    07/25/2037      534,634

4,606,829

    

Credit Suisse First Boston Mortgage Backed Trust, Series 2006-3-A4B

   6.11%      11/25/2036      1,580,174

2,807,755

    

Credit Suisse First Boston Mortgage Backed Trust, Series 2006-4-A6A

   5.68%      12/25/2036      1,096,250

9,990,217

    

Credit Suisse First Boston Mortgage Backed Trust, Series 2007-1-1A1A

   5.90%   #    05/25/2037      4,279,905

49,590

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-AR8-2A1

   4.22%   #    09/25/2034      50,077

3,381,334

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A4

   5.50%      11/25/2035      3,261,540

711,805

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5

   5.50%      11/25/2035      686,587

9,576,362

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1

   5.25%      01/25/2036      9,535,179

9,798,720

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-7A1

   7.00%      01/25/2036      2,912,041

4,733,907

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-3A10

   5.50%      09/25/2035      4,804,286

4,296,505

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-7A1

   7.00%      09/25/2035      3,283,004

1,716,831

    

Credit Suisse Mortgage Capital Certificates, Series 2005-1R-2A5

   5.75%   ^    12/26/2035      1,602,675

14,843,213

    

Credit Suisse Mortgage Capital Certificates, Series 2006-1-2A1

   6.00%      02/25/2036      10,080,050

2,509,806

    

Credit Suisse Mortgage Capital Certificates, Series 2006-2-3A1

   6.50%      03/25/2036      1,250,036

3,008,174

    

Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 6.00% Cap)

   2.72%      03/25/2036      1,559,028

16,814,309

    

Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A2 (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)

   3.28%   I/F I/O    03/25/2036      3,698,346

3,502,397

    

Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A3

   6.25%      03/25/2036      2,647,966

9,478,887

    

Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A4

   6.00%      03/25/2036      6,978,479

2,540,980

    

Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A3

   5.50%      04/25/2036      2,309,217

1,536,088

    

Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A4

   5.50%      04/25/2036      1,398,462

3,452,976

    

Credit Suisse Mortgage Capital Certificates, Series 2006-4-1A8 (1 Month LIBOR USD + 1.00%, 6.00% Floor, 6.00% Cap)

   6.00%      05/25/2036      2,876,675

20,313,545

    

Credit Suisse Mortgage Capital Certificates, Series 2006-4-4A1

   7.00%      05/25/2036      8,405,144

9,061,941

    

Credit Suisse Mortgage Capital Certificates, Series 2006-6-1A4

   6.00%      07/25/2036      7,394,958

10,177,031

    

Credit Suisse Mortgage Capital Certificates, Series 2006-6-3A1

   7.00%      07/25/2036      2,431,612

186,528

    

Credit Suisse Mortgage Capital Certificates, Series 2006-7-3A11

   6.00%      08/25/2036      147,334

2,666,065

    

Credit Suisse Mortgage Capital Certificates, Series 2006-7-7A5

   6.00%      08/25/2036      2,700,433

6,018,688

    

Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1

   5.50%      11/25/2036      5,443,098

20,253,275

    

Credit Suisse Mortgage Capital Certificates, Series 2006-9-3A1

   6.00%      11/25/2036      17,902,016

5,772,557

    

Credit Suisse Mortgage Capital Certificates, Series 2006-9-4A1

   6.00%      11/25/2036      3,778,983

3,804,353

    

Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14

   6.00%      11/25/2036      3,742,274

618,132

    

Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A15 (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap)

   27.03%   I/F    11/25/2036      1,244,419

10,440,955

    

Credit Suisse Mortgage Capital Certificates, Series 2007-1-1A4

   6.13%   #    02/25/2037      5,051,848

4,871,450

    

Credit Suisse Mortgage Capital Certificates, Series 2007-1-5A14

   6.00%      02/25/2037      4,321,463

7,229,816

    

Credit Suisse Mortgage Capital Certificates, Series 2007-3-2A10

   6.00%      04/25/2037      4,979,477

5,358,085

    

Credit Suisse Mortgage Capital Certificates, Series 2007-5-2A5

   5.00%      08/25/2037      4,342,620

42,906,055

    

Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A19

   6.00%      08/25/2037      37,012,201

19,027,995

    

Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A9

   6.00%      08/25/2037      16,407,938

6,877,608

    

Credit Suisse Mortgage Capital Certificates, Series 2008-2R-1A1

   6.00%   ^    07/25/2037      6,799,150

1,260,145

    

Credit Suisse Mortgage Capital Certificates, Series 2009-1R-4A2

   4.43%   # ^    07/20/2035      1,320,881

3,280,356

    

Credit Suisse Mortgage Capital Certificates, Series 2010-13R-1A2

   5.50%   # ^    12/26/2035      3,464,123

65,417,976

    

Credit Suisse Mortgage Capital Certificates, Series 2010-17R-6A1

   2.42%   # ^    06/26/2037      66,071,606

5,667,091

    

Credit Suisse Mortgage Capital Certificates, Series 2010-2R-4A17

   6.00%   # ^    03/26/2037      5,836,838

10,449,012

    

Credit Suisse Mortgage Capital Certificates, Series 2010-4R-8A17

   6.00%   # ^    06/26/2037      10,895,665

11,778,358

    

Credit Suisse Mortgage Capital Certificates, Series 2010-9R-2A5

   4.00%   # ^    02/27/2038      11,918,525

11,362,184

    

Credit Suisse Mortgage Capital Certificates, Series 2012-10R-4A2

   3.92%   # ^    08/26/2046      11,084,750

36,554,725

    

Credit Suisse Mortgage Capital Certificates, Series 2013-6-1A1

   2.50%   # ^    07/25/2028      36,715,862

40,230,349

    

Credit Suisse Mortgage Capital Certificates, Series 2013-9R-A1

   3.00%   # ^    05/27/2043      39,774,564

19,270,280

    

Credit Suisse Mortgage Capital Certificates, Series 2013-IVR4-A2

   3.00%   # ^    07/25/2043      19,191,200

4,011,961

    

Credit Suisse Mortgage Capital Certificates, Series 2014-WIN1-2A4

   3.00%   # ^    09/25/2044      3,971,923

59,757,097

    

Credit Suisse Mortgage Capital Certificates, Series 2015-1-A1

   2.50%   # ^    01/25/2045      57,953,078

12,121,789

    

Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4-AV3 (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.17%      05/25/2036      10,141,865

7,527,154

    

Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1-A3

   5.83%   ^ ß    12/25/2036      7,699,920

10,736,511

    

CSMC Mortgage-Backed Trust, Series 2006-4-6A1

   6.00%      05/25/2036      7,645,592

6,009,819

    

CSMC Mortgage-Backed Trust, Series 2007-1-3A1

   6.00%      02/25/2022      2,314,741

69,440

    

CSMC Mortgage-Backed Trust, Series 2007-2-2A1

   5.00%      03/25/2037      67,988

12,831,216

    

CSMC Mortgage-Backed Trust, Series 2019-RPL6-CERT

   4.10%   ^    11/25/2058      12,773,437

299,490,104

    

CSMC Mortgage-Backed Trust, Series 2019-RPL6-PT1

   4.09%   # ^    11/25/2058      304,244,809

25,531,573

    

CSMC Mortgage-Backed Trust, Series 2019-RPL8-A1

   3.32%   # ^    10/25/2058      25,703,523

9,460,690

    

CSMC Trust, Series 2009-12R-5A1

   6.00%   ^    06/27/2036      9,253,892

21,163,097

    

CSMC Trust, Series 2010-4R-3A17

   6.00%   # ^    06/26/2037      21,179,185

60,262,543

    

CSMC Trust, Series 2018-RPL2-A1

   4.03%   ^ §    08/25/2062      60,723,467

174,458,207

    

CSMC Trust, Series 2018-RPL7-A1

   4.00%   ^    08/26/2058      176,782,513

82,425,363

    

CSMC Trust, Series 2018-RPL8-A1

   4.13%   # ^    07/25/2058      83,342,394

98,188,048

    

CSMC Trust, Series 2019-3R-1A1 (1 Month LIBOR USD + 1.40%, 1.40% Floor)

   3.51%   ^    06/02/2047      98,994,005

63,984,035

    

CSMC Trust, Series 2019-6R-1A1 (1 Month LIBOR USD + 1.40%, 1.40% Floor)

   3.51%   ^    10/25/2046      64,152,396

151,861,718

    

CSMC Trust, Series 2019-JR1-A1

   4.10%   # ^    09/27/2066      152,569,971

70,117,385

    

CSMC Trust, Series 2019-RPL2-A1

   3.92%   ^    07/25/2058      71,277,498

106,154,317

    

CSMCM Trust, Series 2017-RPL2-CERT

   0.01%   ^    02/25/2056      98,159,868

12,169,962

    

CSMCM Trust, Series 2018-RPL7-A1

   3.90%   ^ I/O    09/25/2048      12,509,128

21,820,490

    

CSMCM Trust, Series 2018-RPL8-A1

   4.07%   ^ I/O    07/25/2058      22,358,324

8,625,671

    

CSMLT Trust, Series 2015-3-1A2

   3.50%   # ^    11/25/2045      8,763,239

5,584,587

    

Deephaven Residential Mortgage Trust, Series 2018-3A-A2

   3.89%   # ^    08/25/2058      5,623,750

5,436,265

    

Deephaven Residential Mortgage Trust, Series 2018-3A-A3

   3.96%   # ^    08/25/2058      5,475,169

13,754,083

    

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-4-A5

   5.50%   #    09/25/2035      13,796,487

807,149

    

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-1A6 (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap)

   21.13%   I/F    11/25/2035      1,243,160

910,960

    

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 5.50% Cap)

   2.22%      11/25/2035      515,384

2,749,377

    

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A2 (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)

   3.28%   I/F I/O    11/25/2035      336,392

22,763,106

    

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-2-2A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor)

   2.32%      09/25/2047      20,890,613

14,335,833

    

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA5-A1B (1 Month LIBOR USD + 0.22%, 0.22% Floor)

   2.24%      08/25/2047      13,889,332

5,661,052

    

Deutsche ALT-B Securities Mortgage Loan Trust, Series 2006-AB1-A1C

   5.67%   #    02/25/2036      5,676,299

759,171

    

Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2-A2

   5.19%   #    06/25/2036      741,318

19,696,968

    

Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A2

   5.65%   #    10/25/2036      18,953,979

1,403,172

    

Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3

   5.90%   #    10/25/2036      1,350,006

2,059,106

    

Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3A1

   5.90%   #    10/25/2036      1,981,118

4,089,208

    

Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A6A1

   5.87%   ß    10/25/2036      3,933,189

7,195,693

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)

   9.29%   ^I/F    04/15/2036      7,027,695

4,617,091

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI1 (-1 x 1 Month LIBOR USD + 12.11%, 12.11% Cap)

   9.27%   ^I/F    04/15/2036      4,583,503

7,500,021

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2 (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap)

   10.73%   ^I/F    04/15/2036      7,610,433

512,952

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI1 (-3 x 1 Month LIBOR USD + 19.35%, 19.35% Cap)

   13.27%   ^I/F    04/15/2036      595,376

4,491,040

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI3 (-1 x 1 Month LIBOR USD + 12.57%, 12.57% Cap)

   9.73%   ^I/F    04/15/2036      4,446,542

74,383,768

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)

   9.29%   ^I/F    04/15/2036      73,532,260

8,795,246

    

Deutsche Securities, Inc., Series 2005-6-2A1

   5.50%      12/25/2035      8,540,620

1,410,536

    

Deutsche Securities, Inc., Series 2006-AB4-A1A

   6.01%   #    10/25/2036      1,356,991

41,000,000

    

Eagle Ltd., Series 2019-1-M1B (1 Month LIBOR USD + 1.80%)

   3.82%   ^    04/25/2029      41,208,141

18,001,917

    

Equifirst Loan Securitization Trust, Series 2007-1-A2B (1 Month LIBOR USD + 0.19%, 0.19% Floor)

   2.21%      04/25/2037      17,416,185

5,405,645

    

First Franklin Mortgage Loan Trust, Series 2006-FF3-A2B (1 Month LIBOR USD + 0.20%, 0.20% Floor)

   2.22%      02/25/2036      5,413,259

6,631,828

    

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4-1A1

   3.96%   #    05/25/2035      5,352,516

6,359,641

    

First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-1A4

   5.50%      11/25/2035      5,242,508

332,111

    

First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-2A1

   5.00%      11/25/2020      333,720

4,807,972

    

First Horizon Alternative Mortgage Securities Trust, Series 2005-FA9-A4A

   5.50%      12/25/2035      4,114,185

2,843,087

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-AA3-A1

   4.20%   #    06/25/2036      2,652,051

2,686,037

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1-1A12

   6.00%      04/25/2036      2,054,999

9,013,328

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1-1A3

   5.75%      04/25/2036      6,738,357

2,122,185

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2-1A5

   6.00%      05/25/2036      1,648,133

2,841,402

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8-1A5

   6.00%      02/25/2037      2,080,299

5,452,530

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-RE1-A1

   5.50%      05/25/2035      4,974,942

15,786,806

    

First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A3

   6.00%      06/25/2037      11,448,915

812,312

    

First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A4

   6.00%      06/25/2037      589,105


937,335

    

First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A13

   6.25%      08/25/2037      710,538

2,893,625

    

First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A4

   6.25%      08/25/2037      2,193,484

1,359,588

    

First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A5

   6.25%      08/25/2037      1,030,623

3,570,510

    

First Horizon Mortgage Pass-Through Trust, Series 2005-8-1A11

   5.75%      02/25/2036      3,033,126

1,749,736

    

First Horizon Mortgage Pass-Through Trust, Series 2006-1-1A2

   6.00%      05/25/2036      1,438,679

4,319,441

    

First Horizon Mortgage Pass-Through Trust, Series 2007-1-A3

   6.00%      03/25/2037      3,541,978

2,933,029

    

First Horizon Mortgage Pass-Through Trust, Series 2007-4-1A1

   6.00%      08/25/2037      2,389,745

72,500,000

    

FMC GMSR Issuer Trust, Series 2019-GT1-A

   5.07%   # ^    05/25/2024      74,985,256

75,700,000

    

FMC GMSR Issuer Trust, Series 2019-GT2-A

   4.23%   # ^    09/25/2024      76,371,535

158,648,630

    

Fremont Home Loan Trust, Series 2006-D-1A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%      11/25/2036      109,841,108

10,949,422

    

GCAT LLC, Series 2019-1-A1

   4.09%   ^ §    04/26/2049      11,288,493

84,753,098

    

GCAT LLC, Series 2019-2-A1

   3.47%   ^ §    06/25/2024      85,142,437

46,273,000

    

GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2-A2D (1 Month LIBOR USD + 0.32%, 0.32% Floor)

   2.34%      12/25/2035      44,906,804

27,428,830

    

GE-WMC Mortgage Securities Trust, Series 2006-1-A2B (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.17%      08/25/2036      16,456,769

3,833,388

    

GMACM Mortgage Loan Trust, Series 2005-AR5-3A1

   4.01%   #    09/19/2035      3,666,332

31,891,981

    

GreenPoint Mortgage Funding Trust, Series 2005-AR3-2A1 (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap)

   2.28%      08/25/2045      22,506,672

19,567,154

    

GreenPoint Mortgage Funding Trust, Series 2006-AR7-2A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor)

   2.22%      12/25/2046      19,545,092

32,501,561

    

GreenPoint Mortgage Funding Trust, Series 2007-AR2-1A3 (1 Month LIBOR USD + 0.24%, 0.24% Floor)

   2.26%      04/25/2047      30,970,591

1,213,310

    

GS Mortgage Securities Corporation, Series 2008-2R-1A1

   7.50%   # ^    09/25/2036      855,558

187,126

    

GSAA Home Equity Trust, Series 2005-12-AF3

   5.07%   #    09/25/2035      166,851

9,734,824

    

GSAA Home Equity Trust, Series 2006-10-AF3

   5.98%   #    06/25/2036      4,436,742

6,967,380

    

GSAA Home Equity Trust, Series 2006-10-AF4

   6.30%   ß    06/25/2036      3,173,695

13,138,742

    

GSAA Home Equity Trust, Series 2006-15-AF4

   5.96%   ß    09/25/2036      6,212,814

2,192,938

    

GSAA Home Equity Trust, Series 2006-18-AF3A

   5.77%   #    11/25/2036      1,158,012

4,866,036

    

GSAA Home Equity Trust, Series 2006-18-AF6

   5.68%   ß    11/25/2036      2,236,870

9,015,978

    

GSAA Home Equity Trust, Series 2006-19-A1 (1 Month LIBOR USD + 0.09%, 0.09% Floor)

   2.11%      12/25/2036      4,075,392

5,315,149

    

GSAA Home Equity Trust, Series 2007-10-A1A

   6.00%      11/25/2037      4,561,469

2,948,433

    

GSAA Home Equity Trust, Series 2007-10-A2A

   6.50%      11/25/2037      2,074,212

24,125,731

    

GSAMP Trust, Series 2006-HE6-A3 (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.17%      08/25/2036      21,121,199

10,924,831

    

GSMPS Mortgage Loan Trust, Series 2005-RP2-1AF (1 Month LIBOR USD + 0.35%, 0.35% Floor)

   2.37%   ^    03/25/2035      10,202,180

10,924,831

    

GSMPS Mortgage Loan Trust, Series 2005-RP2-1AS

   2.52%   # ^ I/O    03/25/2035      814,902

6,453,235

    

GSMPS Mortgage Loan Trust, Series 2005-RP3-1AF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap)

   2.37%   ^    09/25/2035      5,745,199

6,453,235

    

GSMPS Mortgage Loan Trust, Series 2005-RP3-1AS

   2.34%   # ^ I/O    09/25/2035      865,490

24,771,161

    

GSMPS Mortgage Loan Trust, Series 2006-RP1-1AF1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.15% Cap)

   2.37%   ^    01/25/2036      21,681,662

24,771,161

    

GSMPS Mortgage Loan Trust, Series 2006-RP1-1AS

   2.24%   # ^ I/O    01/25/2036      2,508,323

25,469,809

    

GSMSC Resecuritization Trust, Series 2014-3R-2B (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.33%   ^    09/26/2036      19,662,741

1,529,096

    

GSR Mortgage Loan Trust, Series 2005-1F-1A2

   5.50%      02/25/2035      1,583,202

3,297,212

    

GSR Mortgage Loan Trust, Series 2005-1F-3A3

   6.00%      01/25/2035      3,439,952

493,263

    

GSR Mortgage Loan Trust, Series 2005-6F-3A5

   6.00%      07/25/2035      531,094

4,950,154

    

GSR Mortgage Loan Trust, Series 2005-6F-3A9 (-1 x 1 Month LIBOR USD + 6.90%, 6.90% Cap)

   4.88%   I/F I/O    07/25/2035      476,389

369,482

    

GSR Mortgage Loan Trust, Series 2005-6F-4A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)

   2.52%      07/25/2035      343,478

250,195

    

GSR Mortgage Loan Trust, Series 2005-7F-3A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)

   2.52%      09/25/2035      240,529

9,453,867

    

GSR Mortgage Loan Trust, Series 2005-8F-3A5

   6.00%      11/25/2035      7,051,503

3,007,633

    

GSR Mortgage Loan Trust, Series 2005-8F-4A1

   6.00%      11/25/2035      2,459,042

769,896

    

GSR Mortgage Loan Trust, Series 2006-1F-1A2

   5.50%      02/25/2036      920,664

665,134

    

GSR Mortgage Loan Trust, Series 2006-2F-2A3

   5.75%      02/25/2036      647,759

2,688,014

    

GSR Mortgage Loan Trust, Series 2006-2F-3A3

   6.00%      02/25/2036      2,212,783

3,228,285

    

GSR Mortgage Loan Trust, Series 2006-2F-3A6

   6.00%      02/25/2036      2,720,436

25,431,930

    

GSR Mortgage Loan Trust, Series 2006-5F-3A1

   6.50%      06/25/2036      20,233,587

9,502,002

    

GSR Mortgage Loan Trust, Series 2006-6F-2A3

   6.00%      07/25/2036      8,117,203

4,763,188

    

GSR Mortgage Loan Trust, Series 2006-7F-3A4

   6.25%      08/25/2036      2,745,952

1,497,490

    

GSR Mortgage Loan Trust, Series 2006-9F-2A1

   6.00%      10/25/2036      1,406,658

15,816,579

    

GSR Mortgage Loan Trust, Series 2006-9F-4A1

   6.50%      10/25/2036      12,778,072

979,522

    

GSR Mortgage Loan Trust, Series 2007-1F-2A2

   5.50%      01/25/2037      1,200,622

1,619,485

    

GSR Mortgage Loan Trust, Series 2007-4F-1A1

   5.00%      07/25/2037      1,944,777

21,198,672

    

GSR Mortgage Loan Trust, Series 2007-4F-3A11

   6.00%      07/25/2037      18,841,384

1,037,499

    

HarborView Mortgage Loan Trust, Series 2005-14-3A1A

   4.67%   #    12/19/2035      1,032,167

23,051,371

    

HarborView Mortgage Loan Trust, Series 2005-8-1A1A (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.00% Cap)

   2.68%      09/19/2035      16,543,298

55,730,473

    

HarborView Mortgage Loan Trust, Series 2005-8-2A1A (12 Month US Treasury Average + 1.55%, 1.55% Floor)

   4.00%      09/19/2035      43,023,368

6,303,694

    

HarborView Mortgage Loan Trust, Series 2006-10-2A1A (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.24%      11/19/2036      6,363,194

11,844,663

    

HarborView Mortgage Loan Trust, Series 2006-11-A1A (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.23%      12/19/2036      11,064,884

56,973,552

    

HarborView Mortgage Loan Trust, Series 2006-14-1A1A (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.24%      01/25/2047      54,887,938

88,710,644

    

HarborView Mortgage Loan Trust, Series 2006-8-1A1 (1 Month LIBOR USD + 0.20%)

   2.25%      07/21/2036      67,426,157

17,568,326

    

HarborView Mortgage Loan Trust, Series 2006-BU1-1A1A (1 Month LIBOR USD + 0.21%, 0.21% Floor, 10.50% Cap)

   2.27%      02/19/2046      16,542,046

53,957,074

    

HarborView Mortgage Loan Trust, Series 2007-3-1A1A (1 Month LIBOR USD + 0.20%)

   2.26%      05/19/2047      53,514,302

15,955,195

    

HarborView Mortgage Loan Trust, Series 2007-4-1A1 (1 Month LIBOR USD + 0.22%, 10.00% Cap)

   2.28%      07/19/2047      15,707,397

24,539,526

    

HarborView Mortgage Loan Trust, Series 2007-7-1A1 (1 Month LIBOR USD + 1.00%, 10.50% Cap)

   3.02%      10/25/2037      23,613,093

24,000,000

    

HMIR, Series 2019-1-M1 (1 Month LIBOR USD + 1.65%)

   3.67%   ^    05/25/2029      24,058,032

1,003,475

    

Home Equity Asset Trust, Series 2003-3-M1 (1 Month LIBOR USD + 1.29%, 0.86% Floor)

   3.31%      08/25/2033      1,007,154

1,058,131

    

Home Equity Asset Trust, Series 2004-7-M2 (1 Month LIBOR USD + 0.99%, 0.66% Floor)

   3.01%      01/25/2035      1,059,368

12,182,000

    

Home Equity Loan Trust, Series 2006-B-2A4 (1 Month LIBOR USD + 0.28%, 0.28% Floor)

   2.30%      06/25/2036      11,414,585

625,802

    

Home Equity Loan Trust, Series 2007-FRE1-2AV2 (1 Month LIBOR USD + 0.16%, 0.16% Floor)

   2.18%      04/25/2037      626,888

9,971,587

    

Home Equity Mortgage Loan Asset Backed Trust, Series 2006-D-2A4 (1 Month LIBOR USD + 0.24%, 0.24% Floor)

   2.26%      11/25/2036      8,331,349

3,995,000

    

Home Partners of America Trust, Series 2019-2-C

   3.02%   ^    10/19/2039      4,028,063

4,250,000

    

Home Partners of America Trust, Series 2019-2-D

   3.12%   ^    10/19/2039      4,285,390

8,000,000

    

Home Partners of America Trust, Series 2019-2-E

   3.32%   ^    10/19/2039      8,066,920

943,187

    

HomeBanc Mortgage Trust, Series 2005-1-M2 (1 Month LIBOR USD + 0.49%, 0.49% Floor, 11.50% Cap)

   2.51%      03/25/2035      795,379

7,819,931

    

HomeBanc Mortgage Trust, Series 2005-3-A1 (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap)

   2.26%      07/25/2035      7,835,519

25,104,332

    

HSI Asset Loan Obligation Trust, Series 2007-2-3A6

   6.00%      09/25/2037      16,113,527

1,735,496

    

HSI Asset Loan Obligation Trust, Series 2007-AR1-3A1

   4.63%   #    01/25/2037      1,640,020

16,954,711

    

HSI Asset Loan Obligation Trust, Series 2007-WF1-A3

   4.88%   ß    12/25/2036      9,559,136

12,995,112

    

Impac Secured Assets Trust, Series 2007-1-A2 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 11.50% Cap)

   2.18%      03/25/2037      12,331,392

555,865

    

Impac Trust, Series 2002-9F-A1

   5.22%      12/25/2032      567,370

5,277,506

    

IndyMac IMSC Mortgage Loan Trust, Series 2007-HOA1-A11 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.20%      07/25/2047      4,531,869

1,593,367

    

IndyMac Mortgage Loan Trust, Series 2006-AR2-1A1

   3.98%   #    09/25/2036      1,444,833

2,695,580

    

IndyMac Mortgage Loan Trust, Series 2006-AR2-4A1

   4.13%   #    09/25/2036      2,619,525

15,897,162

    

IndyMac Mortgage Loan Trust, Series 2006-AR3-1A1

   4.31%   #    12/25/2036      15,273,825

5,283,506

    

IndyMac Mortgage Loan Trust, Series 2006-AR7-3A1

   4.03%   #    05/25/2036      4,707,042

4,164,289

    

IndyMac Mortgage Loan Trust, Series 2007-A1-A1

   6.00%      08/25/2037      2,943,464

3,048,585

    

IndyMac Mortgage Loan Trust, Series 2007-A1-A7

   6.00%      08/25/2037      2,154,846

13,702,436

    

IndyMac Mortgage Loan Trust, Series 2007-A2-1A1

   6.00%      10/25/2037      12,807,318

14,501,324

    

IndyMac Mortgage Loan Trust, Series 2007-A2-2A3

   6.50%      10/25/2037      12,909,721

19,973,107

    

IndyMac Mortgage Loan Trust, Series 2007-A2-3A1

   7.00%      10/25/2037      10,897,219

20,227,739

    

IndyMac Mortgage Loan Trust, Series 2007-A3-A1

   6.25%      11/25/2037      14,644,823

7,259,926

    

IndyMac Mortgage Loan Trust, Series 2007-AR13-2A1

   3.97%   #    07/25/2037      6,067,774

5,714,420

    

IndyMac Mortgage Loan Trust, Series 2007-AR1-3A1

   3.48%   #    03/25/2037      5,516,986

3,789,505

    

IndyMac Mortgage Loan Trust, Series 2007-AR3-3A1

   3.53%   #    07/25/2037      3,546,328

32,082,420

    

IndyMac Mortgage Loan Trust, Series 2007-F1-2A1

   6.50%      06/25/2037      16,158,513

430,057

    

IndyMac Mortgage Loan Trust, Series 2007-F2-1A2

   6.00%      07/25/2037      422,209

25,632,699

    

IndyMac Mortgage Loan Trust, Series 2007-F2-2A1

   6.50%      07/25/2037      15,132,162

9,857,327

    

JP Morgan Alternative Loan Trust, Series 2005-S1-2A11

   6.00%      12/25/2035      9,345,065

3,160,049

    

JP Morgan Alternative Loan Trust, Series 2005-S1-2A9

   6.00%      12/25/2035      2,995,828

3,202,692

    

JP Morgan Alternative Loan Trust, Series 2006-S1-1A8

   5.75%      03/25/2036      2,702,539

13,235,355

    

JP Morgan Alternative Loan Trust, Series 2006-S2-A4

   6.19%      05/25/2036      12,632,503

22,901,371

    

JP Morgan Alternative Loan Trust, Series 2006-S4-A4

   5.96%   ß    12/25/2036      22,720,244

9,395,415

    

JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3

   5.46%   ß    09/25/2029      7,563,023

16,699,821

    

JP Morgan Mortgage Acquisition Trust, Series 2006-HE3-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%      11/25/2036      15,601,603

28,704,378

    

JP Morgan Mortgage Acquisition Trust, Series 2006-RM1-A3 (1 Month LIBOR USD + 0.12%, 0.12% Floor)

   2.14%      08/25/2036      16,509,317

26,529,866

    

JP Morgan Mortgage Acquisition Trust, Series 2006-RM1-A4 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.20%      08/25/2036      15,512,861

3,782,372

    

JP Morgan Mortgage Acquisition Trust, Series 2006-WF1-A5

   6.41%   ß    07/25/2036      1,900,266

23,000,000

    

JP Morgan Mortgage Acquisition Trust, Series 2007-CH1-AF5

   4.89%   ß    11/25/2036      24,814,401

9,690,000

    

JP Morgan Mortgage Acquisition Trust, Series 2007-CH3-M2 (1 Month LIBOR USD + 0.32%, 0.32% Floor)

   2.34%      03/25/2037      8,335,652

1,019,735

    

JP Morgan Mortgage Trust, Series 2005-A6-5A1

   4.19%   #    08/25/2035      1,020,702


6,850,583

    

JP Morgan Mortgage Trust, Series 2005-S1-1A2

   6.50%      01/25/2035      7,717,164

737,675

    

JP Morgan Mortgage Trust, Series 2005-S2-2A13

   5.50%      09/25/2035      721,289

1,331,876

    

JP Morgan Mortgage Trust, Series 2006-S2-3A3

   6.00%      07/25/2036      942,934

4,598,634

    

JP Morgan Mortgage Trust, Series 2006-S2-3A5

   6.25%      07/25/2036      3,497,957

3,148,616

    

JP Morgan Mortgage Trust, Series 2006-S3-1A2

   6.00%      08/25/2036      2,487,986

8,626,881

    

JP Morgan Mortgage Trust, Series 2006-S3-1A21 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.50% Cap)

   2.40%      08/25/2036      3,023,267

8,626,881

    

JP Morgan Mortgage Trust, Series 2006-S3-1A22 (-1 x 1 Month LIBOR USD + 7.12%, 7.12% Cap)

   5.10%   I/F I/O    08/25/2036      3,139,964

1,467,164

    

JP Morgan Mortgage Trust, Series 2006-S3-1A9

   6.00%      08/25/2036      1,159,334

8,113,250

    

JP Morgan Mortgage Trust, Series 2006-S4-A3

   6.00%      01/25/2037      6,133,083

3,377,836

    

JP Morgan Mortgage Trust, Series 2006-S4-A5

   6.00%      01/25/2037      2,603,452

7,297,466

    

JP Morgan Mortgage Trust, Series 2006-S4-A8 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap)

   2.40%      01/25/2037      3,412,491

7,297,466

    

JP Morgan Mortgage Trust, Series 2006-S4-A9 (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)

   4.60%   I/F I/O    01/25/2037      2,398,834

1,512,846

    

JP Morgan Mortgage Trust, Series 2007-A2-2A1

   4.41%   #    04/25/2037      1,427,414

8,809,775

    

JP Morgan Mortgage Trust, Series 2007-S1-2A6

   6.00%      03/25/2037      6,614,100

2,902,400

    

JP Morgan Mortgage Trust, Series 2007-S3-1A1

   5.50%      08/25/2037      2,237,798

5,944,068

    

JP Morgan Mortgage Trust, Series 2007-S3-1A35

   6.00%      08/25/2037      4,701,285

2,058,333

    

JP Morgan Mortgage Trust, Series 2007-S3-1A64

   7.50%      08/25/2037      1,416,312

1,001,728

    

JP Morgan Mortgage Trust, Series 2007-S3-1A9

   6.00%      08/25/2037      792,213

5,480,718

    

JP Morgan Mortgage Trust, Series 2007-S3-1A96

   6.00%      08/25/2037      4,333,950

6,246,451

    

JP Morgan Mortgage Trust, Series 2007-S3-1A97

   6.00%      08/25/2037      4,939,679

419,017

    

JP Morgan Mortgage Trust, Series 2007-S3-2A2

   5.50%      08/25/2022      404,965

34,318,390

    

JP Morgan Mortgage Trust, Series 2018-7FRB-A2 (1 Month LIBOR USD + 0.75%)

   2.90%   ^    04/25/2046      34,292,336

7,920,313

    

JP Morgan Resecuritization Trust, Series 2009-4-3A2

   6.00%   ^    02/26/2037      6,505,893

16,685,811

    

JP Morgan Resecuritization Trust, Series 2009-7-7A1

   7.00%   # ^ Þ    09/27/2037      11,172,332

14,592,951

    

JP Morgan Resecuritization Trust, Series 2010-1-1A4

   6.00%   ^    02/26/2037      12,625,115

6,316,242

    

JP Morgan Resecuritization Trust, Series 2010-1-2A11

   7.15%   ^    01/26/2037      5,013,065

53,890,525

    

Legacy Mortgage Asset Trust, Series 2018-GS3-A1

   4.00%   ^ §    06/25/2058      54,633,433

21,165,623

    

Legacy Mortgage Asset Trust, Series 2018-SL1-A

   4.00%   # ^    02/25/2058      21,376,058

50,908,604

    

Legacy Mortgage Asset Trust, Series 2019-GS1-A1

   4.00%   ^ §    01/25/2059      51,658,981

46,365,325

    

Legacy Mortgage Asset Trust, Series 2019-GS2-A1

   3.75%   ^ §    01/25/2059      48,345,124

7,036,959

    

Legacy Mortgage Asset Trust, Series 2019-GS5-A1

   3.20%   ^ §    05/25/2059      7,079,183

208,287,204

    

Legacy Mortgage Asset Trust, Series 2019-RPL3-PT1

   0.00%   ^    06/25/2058      212,844,112

66,550,548

    

Legacy Mortgage Asset Trust, Series 2019-SL1-A

   4.00%   # ^    12/28/2054      66,788,146

140,962,828

    

Legacy Mortgage Asset Trust, Series 2019-SL3-A

   3.47%   ^ §    11/25/2061      139,603,538

2,665,377

    

Lehman Mortgage Trust, Series 2005-2-3A5

   5.50%      12/25/2035      2,275,604

2,224,993

    

Lehman Mortgage Trust, Series 2005-2-5A5

   5.75%      12/25/2035      2,186,975

3,404,464

    

Lehman Mortgage Trust, Series 2005-3-2A1

   6.00%      01/25/2036      3,564,733

289,903

    

Lehman Mortgage Trust, Series 2005-3-2A3

   5.50%      01/25/2036      295,340

1,557,050

    

Lehman Mortgage Trust, Series 2005-3-2A7

   6.00%      01/25/2036      1,629,418

1,515,690

    

Lehman Mortgage Trust, Series 2006-1-1A1 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)

   2.77%      02/25/2036      1,041,902

4,547,070

    

Lehman Mortgage Trust, Series 2006-1-1A2 (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)

   2.73%   I/F I/O    02/25/2036      851,747

4,911,739

    

Lehman Mortgage Trust, Series 2006-1-3A1 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)

   2.77%      02/25/2036      4,180,077

4,911,739

    

Lehman Mortgage Trust, Series 2006-1-3A2 (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)

   2.73%   I/F I/O    02/25/2036      502,922

3,164,592

    

Lehman Mortgage Trust, Series 2006-1-3A4

   5.50%      02/25/2036      3,074,151

3,257,477

    

Lehman Mortgage Trust, Series 2006-4-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

   3.38%   I/F I/O    08/25/2036      546,702

2,070,382

    

Lehman Mortgage Trust, Series 2006-4-1A4

   6.00%      08/25/2036      2,005,084

6,249,645

    

Lehman Mortgage Trust, Series 2006-5-2A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap)

   2.37%      09/25/2036      1,476,386

13,017,942

    

Lehman Mortgage Trust, Series 2006-5-2A2 (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap)

   5.13%   I/F I/O    09/25/2036      3,830,499

9,504,395

    

Lehman Mortgage Trust, Series 2006-6-3A9

   5.50%      10/25/2036      8,339,796

2,448,780

    

Lehman Mortgage Trust, Series 2006-6-4A5

   6.00%      12/25/2036      2,332,114

3,498,845

    

Lehman Mortgage Trust, Series 2006-7-2A2 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      11/25/2036      1,284,890

12,258,598

    

Lehman Mortgage Trust, Series 2006-7-2A5 (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)

   4.53%   I/F I/O    11/25/2036      3,960,677

2,619,851

    

Lehman Mortgage Trust, Series 2006-9-1A19 (-5 x 1 Month LIBOR USD + 30.68%, 30.68% Cap)

   21.40%   I/F    01/25/2037      4,310,550

2,872,298

    

Lehman Mortgage Trust, Series 2006-9-1A5 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 5.75% Cap)

   2.62%      01/25/2037      2,063,222

8,564,574

    

Lehman Mortgage Trust, Series 2006-9-1A6 (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap)

   3.13%   I/F I/O    01/25/2037      1,343,838

4,236,443

    

Lehman Mortgage Trust, Series 2006-9-2A1 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap)

   2.40%      01/25/2037      1,337,227

7,819,151

    

Lehman Mortgage Trust, Series 2006-9-2A2 (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)

   4.60%   I/F I/O    01/25/2037      2,366,433

7,934,468

    

Lehman Mortgage Trust, Series 2007-10-2A1

   6.50%      01/25/2038      5,201,553

2,382,955

    

Lehman Mortgage Trust, Series 2007-2-1A1

   5.75%      02/25/2037      2,153,643

2,738,291

    

Lehman Mortgage Trust, Series 2007-4-2A11 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)

   2.35%      05/25/2037      1,078,552

12,735,881

    

Lehman Mortgage Trust, Series 2007-4-2A8 (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap)

   4.65%   I/F I/O    05/25/2037      4,022,520

1,044,570

    

Lehman Mortgage Trust, Series 2007-4-2A9 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)

   2.35%      05/25/2037      445,325

10,641,485

    

Lehman Mortgage Trust, Series 2007-5-11A1

   5.10%   #    06/25/2037      8,219,153

1,384,824

    

Lehman Mortgage Trust, Series 2007-5-3A4

   5.00%      12/25/2035      1,271,018

1,229,072

    

Lehman Mortgage Trust, Series 2007-5-4A3 (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap)

   27.97%   I/F    08/25/2036      1,821,737

835,993

    

Lehman Mortgage Trust, Series 2007-5-7A3

   7.50%      10/25/2036      634,720

288,338

    

Lehman Mortgage Trust, Series 2007-6-1A8

   6.00%      07/25/2037      271,086

7,441,636

    

Lehman Mortgage Trust, Series 2007-9-2A2

   6.50%      10/25/2037      4,556,141

4,756,258

    

Lehman Mortgage Trust, Series 2008-2-1A6

   6.00%      03/25/2038      3,216,589

187,751

    

Lehman Trust, Series 2005-10-2A3B

   5.29%   ß    01/25/2036      245,506

6,139,582

    

Lehman Trust, Series 2005-4-2A3A

   5.00%   ß    10/25/2035      6,470,271

12,261,706

    

Lehman Trust, Series 2005-9N-2A1 (12 Month US Treasury Average + 1.06%, 1.06% Floor)

   3.51%      02/25/2036      11,703,641

6,371,821

    

Lehman Trust, Series 2006-17-1A2 (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.19%      08/25/2046      6,630,368

12,212,486

    

Lehman Trust, Series 2006-5-1A1A (1 Month LIBOR USD + 0.21%, 0.21% Floor)

   2.23%      04/25/2036      11,603,984

322,828

    

Lehman Trust, Series 2006-5-2A4A

   5.89%      04/25/2036      315,579

13,376,983

    

Lehman Trust, Series 2006-GP3-1A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor)

   2.22%      06/25/2046      13,443,050

12,362,614

    

Lehman Trust, Series 2007-1-2A1

   7.00%   #    02/25/2037      11,675,579

19,836,021

    

Lehman Trust, Series 2007-12N-1A3A (1 Month LIBOR USD + 0.20%, 0.20% Floor)

   2.22%      07/25/2047      19,387,124

8,609,657

    

Lehman XS Trust, Series 2005-2-2A3B

   5.44%      08/25/2035      8,612,933

86,200,000

    

LHOME Mortgage Trust, Series 2019-RTL2-A1

   3.84%   ^    03/25/2024      86,353,608

35,111,565

    

Long Beach Mortgage Loan Trust, Series 2006-3-2A3 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.20%      05/25/2046      15,757,463

5,718,488

    

Long Beach Mortgage Loan Trust, Series 2006-3-2A4 (1 Month LIBOR USD + 0.27%, 0.27% Floor)

   2.29%      05/25/2046      2,647,706

38,877,639

    

Long Beach Mortgage Loan Trust, Series 2006-6-1A (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.16%      07/25/2036      30,117,963

5,931,213

    

Luminent Mortgage Trust, Series 2005-1-A1 (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap)

   2.28%      11/25/2035      5,889,621

3,674,325

    

MASTR Adjustable Rate Mortgages Trust, Series 2005-2-2A1

   3.66%   #    03/25/2035      2,953,411

1,491,002

    

MASTR Adjustable Rate Mortgages Trust, Series 2005-6-5A1

   3.47%   #    07/25/2035      1,424,300

10,657,611

    

MASTR Adjustable Rate Mortgages Trust, Series 2007-1-2A1

   4.21%   #    11/25/2036      11,816,726

1,603,678

    

MASTR Alternative Loans Trust, Series 2005-2-3A1

   6.00%      03/25/2035      1,560,287

282,682

    

MASTR Alternative Loans Trust, Series 2005-5-2A3

   5.50%      07/25/2025      286,576

9,499,434

    

MASTR Alternative Loans Trust, Series 2005-5-3A1

   5.75%      08/25/2035      7,821,024

2,985,860

    

MASTR Alternative Loans Trust, Series 2005-6-1A5

   5.50%      12/25/2035      2,873,979

1,901,464

    

MASTR Alternative Loans Trust, Series 2006-3-1A2

   6.25%      07/25/2036      1,622,839

3,143,680

    

MASTR Alternative Loans Trust, Series 2007-1-1A5

   5.75%      10/25/2036      3,061,132

5,017,711

    

MASTR Alternative Loans Trust, Series 2007-1-2A7

   6.00%      10/25/2036      3,126,839

4,317,075

    

MASTR Asset Backed Securities Trust, Series 2003-OPT1-M3 (1 Month LIBOR USD + 4.13%, 2.75% Floor)

   6.14%      12/25/2032      4,443,502

10,975,594

    

MASTR Asset Backed Securities Trust, Series 2006-AM2-A3 (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.19%      06/25/2036      9,898,268

23,818,153

    

MASTR Asset Backed Securities Trust, Series 2007-HE1-A3 (1 Month LIBOR USD + 0.21%, 0.21% Floor)

   2.23%      05/25/2037      23,092,816

3,562,622

    

MASTR Asset Securitization Trust, Series 2006-1-1A4

   5.75%      05/25/2036      3,311,587

2,542,027

    

MASTR Asset Securitization Trust, Series 2006-2-1A11 (1 Month LIBOR USD + 6.00%, 6.00% Floor)

   6.00%      06/25/2036      2,394,565

3,259,904

    

MASTR Asset Securitization Trust, Series 2007-1-1A3

   6.25%      11/25/2037      2,408,590

23,815,026

    

MASTR Resecuritization Trust, Series 2008-1-A1

   6.00%   # ^    09/27/2037      23,193,795

13,668,158

    

MASTR Resecuritization Trust, Series 2008-4-A1

   6.00%   # ^    06/27/2036      12,652,048

2,297,868

    

MASTR Seasoned Securitization Trust, Series 2005-2-1A4

   6.00%   r    10/25/2032      2,421,009

932,608

    

MASTR Seasoned Securitization Trust, Series 2005-2-2A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap)

   2.42%      10/25/2032      866,061

17,615,068

    

Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A4 (1 Month LIBOR USD + 0.32%, 0.32% Floor, 7.00% Cap)

   2.34%      03/25/2037      7,764,222

17,615,068

    

Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A5 (-1 x 1 Month LIBOR USD + 6.68%, 6.68% Cap)

   4.66%   I/F I/O    03/25/2037      5,457,726

2,489,304

    

Merrill Lynch Mortgage Investors Trust, Series 2006-3-1A

   4.47%   #    10/25/2036      2,481,237

1,401,233

    

Merrill Lynch Mortgage Investors Trust, Series 2006-F1-1A2

   6.00%      04/25/2036      1,140,492

113,986,082

    

Merrill Lynch Mortgage Investors Trust, Series 2007-HE2-A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor)

   2.27%      02/25/2037      70,892,447

28,933,166

    

MFA LLC, Series 2017-NPL1-A1

   3.35%   ^ §    11/25/2047      29,110,043

64,394,278

    

MFA LLC, Series 2018-NPL1-A1

   3.88%   ^ §    05/25/2048      64,949,691

75,078,447

    

MFA LLC, Series 2018-NPL2-A1

   4.16%   ^ §    07/25/2048      75,825,312

33,172,421

    

Morgan Stanley Home Equity Loan Trust, Series 2007-1-A4 (1 Month LIBOR USD + 0.22%, 0.22% Floor)

   2.37%      12/25/2036      19,556,257


1,185,566

    

Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap)

   2.72%      12/25/2035      877,754

2,970,389

    

Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A6

   5.75%      12/25/2035      2,790,042

4,171,821

    

Morgan Stanley Mortgage Loan Trust, Series 2005-10-2A1

   5.42%   #    12/25/2035      4,191,663

35,738

    

Morgan Stanley Mortgage Loan Trust, Series 2005-6AR-1A1 (1 Month LIBOR USD + 0.28%, 0.28% Floor)

   2.30%      11/25/2035      35,816

5,433,887

    

Morgan Stanley Mortgage Loan Trust, Series 2006-11-1A6

   6.23%   ß    08/25/2036      2,033,292

9,724,037

    

Morgan Stanley Mortgage Loan Trust, Series 2006-11-2A1

   6.00%      08/25/2036      7,766,415

6,568,197

    

Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A3A

   5.65%   ß    10/25/2046      3,139,588

2,155,326

    

Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A6

   5.58%   ß    10/25/2046      891,887

4,297,596

    

Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A3

   5.75%      02/25/2036      4,461,941

24,925,264

    

Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A

   5.04%   #    06/25/2036      21,561,966

2,500,657

    

Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A4

   6.00%      06/25/2036      2,149,463

2,531,483

    

Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A7

   6.00%      06/25/2036      2,175,958

3,476,267

    

Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1

   6.00%      10/25/2037      2,876,373

8,313,530

    

Morgan Stanley Mortgage Loan Trust, Series 2007-14AR-2A3

   4.17%   #    10/25/2037      7,399,386

3,566,854

    

Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A3

   5.92%   ß    09/25/2046      1,577,358

2,499,393

    

Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A4A

   6.08%   ß    09/25/2046      1,270,569

858,588

    

Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-1A2A

   5.62%   ß    01/25/2047      805,365

6,809,073

    

Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A3S

   5.86%   ß    01/25/2047      3,982,521

3,982,665

    

Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A4S

   5.96%   ß    01/25/2047      2,329,061

21,409,131

    

Morgan Stanley Re-Remic Trust, Series 2010-R9-3C

   6.00%   # ^    11/26/2036      22,419,361

3,138,448

    

Morgan Stanley Re-Remic Trust, Series 2011-R1-1A

   5.94%   # ^ Þ    02/26/2037      3,387,157

13,086,733

    

New Century Alternative Mortgage Loan Trust, Series 2006-ALT1-AF3

   6.17%   #    07/25/2036      6,517,675

15,761,590

    

New Century Alternative Mortgage Loan Trust, Series 2006-ALT2-AF5

   5.05%      10/25/2036      7,223,935

12,500,000

    

New Century Home Equity Loan Trust, Series 2006-1-A2C (1 Month LIBOR USD + 0.28%, 0.28% Floor, 12.50% Cap)

   2.30%      05/25/2036      10,813,954

9,710,942

    

New Residential Mortgage Loan Trust, Series 2014-2A-A3

   3.75%   # ^    05/25/2054      9,906,847

31,297,811

    

New Residential Mortgage Loan Trust, Series 2015-2A-A1

   3.75%   # ^    08/25/2055      32,590,649

68,303,634

    

New Residential Mortgage Loan Trust, Series 2018-FNT1-A

   3.61%   ^    05/25/2023      69,249,073

30,585,420

    

New Residential Mortgage Loan Trust, Series 2018-FNT2-A

   3.79%   ^    07/25/2054      31,119,194

28,366,906

    

New Residential Mortgage Loan Trust, Series 2019-NQM1-A1

   3.67%   # ^    01/25/2049      28,891,087

22,300,000

    

New Residential Mortgage Loan Trust, Series 2019-RPL1-A1

   4.33%   ^ §    02/26/2024      22,507,647

496,926

    

New York Mortgage Trust, Series 2005-2-A (1 Month LIBOR USD + 0.66%, 0.33% Floor, 10.50% Cap)

   2.68%      08/25/2035      485,761

170,495

    

Nomura Asset Acceptance Corporation, Series 2005-AP1-2A5

   4.86%      02/25/2035      175,358

15,037,158

    

Nomura Asset Acceptance Corporation, Series 2006-AF1-1A2

   6.16%   #    05/25/2036      5,800,316

3,055,819

    

Nomura Asset Acceptance Corporation, Series 2006-AF1-1A3

   6.41%   #    05/25/2036      1,178,111

17,381,611

    

Nomura Asset Acceptance Corporation, Series 2006-AP1-A2

   5.52%   #    01/25/2036      8,805,837

2,937,858

    

Nomura Asset Acceptance Corporation, Series 2006-AP1-A3

   5.65%   #    01/25/2036      1,489,157

1,471,237

    

Nomura Asset Acceptance Corporation, Series 2006-WF1-A2

   5.76%   #    06/25/2036      702,804

17,069,079

    

Nomura Home Equity Loan, Inc., Series 2006-AF1-A2

   5.80%   ß    10/25/2036      6,666,791

3,039,914

    

Nomura Home Equity Loan, Inc., Series 2007-1-1A1

   6.06%   ß    02/25/2037      1,389,215

15,151,632

    

Nomura Home Equity Loan, Inc., Series 2007-1-1A3

   5.99%   ß    02/25/2037      6,924,979

22,967,983

    

NRPL Trust, Series 2018-2A-A1

   4.25%   # ^    07/25/2067      23,111,119

43,200,711

    

NRZ Excess Spread-Collateralized Notes, Series 2018-PLS2-A

   3.27%   ^    02/25/2023      43,516,504

6,026,107

    

Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1

   3.00%   ^ §    07/25/2057      6,036,720

46,580,858

    

OBX Trust, Series 2018-1-A2 (1 Month LIBOR USD + 0.65%)

   2.67%   ^    06/25/2057      46,502,457

879,412

    

Option One Mortgage Loan Trust, Series 2004-3-M3 (1 Month LIBOR USD + 0.98%, 0.65% Floor)

   2.99%      11/25/2034      889,490

7,806,041

    

Option One Mortgage Loan Trust, Series 2007-1-2A3 (1 Month LIBOR USD + 0.14%, 0.14% Floor)

   2.16%      01/25/2037      5,318,984

86,147,921

    

Option One Mortgage Loan Trust, Series 2007-6-1A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor)

   2.21%      07/25/2037      78,879,810

13,000,000

    

Park Place Securities, Inc., Series 2005-WHQ4-M2 (1 Month LIBOR USD + 0.49%, 0.49% Floor)

   2.51%      09/25/2035      13,002,933

6,033,803

    

PHH Alternative Mortgage Trust, Series 2007-1-1A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.10% Cap)

   2.18%      02/25/2037      5,043,060

16,648,507

    

PHH Alternative Mortgage Trust, Series 2007-2-2A1

   6.00%      05/25/2037      16,375,004

7,768,464

    

PHH Alternative Mortgage Trust, Series 2007-2-2A2

   6.00%      05/25/2037      7,640,843

599,324

    

PHH Alternative Mortgage Trust, Series 2007-2-3A1

   6.00%      05/25/2037      556,579

132,296,284

    

PMT Credit Risk Transfer Trust 2019-2R, Series 2019-2R-A (1 Month LIBOR USD + 2.75%, 2.75% Floor)

   4.89%   ^    05/27/2023      133,080,060

200,164,855

    

PR Mortgage Loan Trust, Series 2014-1-APT

   5.91%   # ^    10/25/2049      195,876,063

19,343,037

    

Preston Ridge Partners Mortgage Trust, Series 2017-2A-A1

   3.47%   ^ §    09/25/2022      19,421,860

45,514,279

    

Pretium Mortgage Credit Partners LLC, Series 2018-NPL4-A1

   4.83%   ^ §    09/25/2058      45,876,782

31,410,101

    

Pretium Mortgage Credit Partners LLC, Series 2019-1A-A1

   4.50%   ^ §    01/25/2024      31,710,589

77,092,725

    

Pretium Mortgage Credit Partners LLC, Series 2019-CFL1-A1

   3.72%   ^ §    01/25/2059      77,119,892

22,653,394

    

Pretium Mortgage Credit Partners LLC, Series 2019-NPL1-A1

   4.21%   ^ §    07/25/2060      22,869,594

148,557,054

    

Pretium Mortgage Credit Partners LLC, Series 2019-NPL2-A1

   3.84%   ^ §    12/25/2058      149,363,733

83,700,000

    

Pretium Mortgage Credit Partners LLC, Series 2019-NPL3-A1

   3.10%   ^ §    07/27/2059      83,965,597

9,290,071

    

Prime Mortgage Trust, Series 2006-DR1-2A1

   5.50%   ^    05/25/2035      8,173,662

4,446,216

    

Prime Mortgage Trust, Series 2006-DR1-2A2

   6.00%   ^    05/25/2035      3,854,039

34,766,129

    

PRPM LLC, Series 2017-3A-A1

   3.47%   # ^    11/25/2022      34,861,903

39,702,681

    

PRPM LLC, Series 2018-2A-A1

   4.00%   # ^    08/25/2023      40,004,834

96,049,470

    

PRPM LLC, Series 2018-3A-A1

   4.48%   # ^    10/25/2023      97,352,938

143,481,532

    

PRPM LLC, Series 2019-2A-A1

   3.97%   ^ §    04/25/2024      145,115,156

64,950,087

    

PRPM LLC, Series 2019-3A-A1

   3.35%   ^ §    07/25/2024      65,230,308

41,855,824

    

RALI Trust, Series 2007-QA5-1A1

   5.68%   #    09/25/2037      36,286,865

44,157,708

    

RALI Trust, Series 2007-QS10-A1

   6.50%      09/25/2037      43,450,703

22,481,826

    

RAMP Series Trust, Series 2006-RS3-A4 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap)

   2.32%      05/25/2036      21,527,344

24,118,537

    

RBSGC Structured Trust, Series 2008-B-A1

   6.00%   ^    06/25/2037      24,504,526

4,701,727

    

RBSSP Resecuritization Trust, Series 2010-4-7A2

   6.00%   ^    07/26/2037      3,904,845

19,425,376

    

RCO Trust, Series 2016-SFR1-A

   3.75%   # ^    11/25/2051      19,880,863

5,938,864

    

RCO Trust, Series 2016-SFR1-M1

   4.50%   # ^    11/25/2051      6,079,123

81,482,000

    

Redwood Funding Trust, Series 2019-1-PT

   4.21%   ^ §    09/27/2024      82,119,597

1,157,796

    

Renaissance Home Equity Loan Trust, Series 2006-1-AF6

   5.75%   ß    05/25/2036      777,259

10,340,045

    

Renaissance Home Equity Loan Trust, Series 2006-4-AF4

   5.47%   ß    01/25/2037      5,588,895

20,361,654

    

Renaissance Home Equity Loan Trust, Series 2006-4-AF5

   5.69%   ß    01/25/2037      11,429,310

8,209,000

    

Renaissance Home Equity Loan Trust, Series 2007-1-AF1

   5.74%   ß    04/25/2037      3,780,035

5,791,363

    

Renaissance Home Equity Loan Trust, Series 2007-1-AF1Z

   5.35%   ß    04/25/2037      2,502,543

3,493,780

    

Renaissance Home Equity Loan Trust, Series 2007-1-AF2

   5.51%   ß    04/25/2037      1,544,056

5,082,284

    

Renaissance Home Equity Loan Trust, Series 2007-1-AF3

   5.61%   ß    04/25/2037      2,286,994

8,249,074

    

Renaissance Home Equity Loan Trust, Series 2007-1-AF5

   5.91%   ß    04/25/2037      3,909,800

17,696,892

    

Renaissance Home Equity Loan Trust, Series 2007-2-AF2

   5.68%   ß    06/25/2037      7,646,763

9,571,061

    

Renaissance Home Equity Loan Trust, Series 2007-2-AF5

   6.20%   ß    06/25/2037      4,564,339

25,603,142

    

Residential Accredit Loans, Inc., Series 2005-QA11-4A1

   4.71%   #    10/25/2035      21,656,861

14,729,851

    

Residential Accredit Loans, Inc., Series 2005-QA13-2A1

   4.78%   #    12/25/2035      13,634,483

11,110,019

    

Residential Accredit Loans, Inc., Series 2005-QA3-CB1

   4.35%   #    03/25/2035      6,633,403

422,912

    

Residential Accredit Loans, Inc., Series 2005-QS12-A11 (-11 x 1 Month LIBOR USD + 51.15%, 51.15% Cap)

   28.95%   I/F    08/25/2035      881,308

1,551,631

    

Residential Accredit Loans, Inc., Series 2005-QS13-1A6

   5.50%      09/25/2035      1,469,442

3,224,781

    

Residential Accredit Loans, Inc., Series 2005-QS13-2A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap)

   2.72%      09/25/2035      2,718,827

13,221,600

    

Residential Accredit Loans, Inc., Series 2005-QS13-2A2 (-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap)

   3.03%   I/F I/O    09/25/2035      1,554,493

7,008,073

    

Residential Accredit Loans, Inc., Series 2005-QS14-2A1

   6.00%      09/25/2035      4,518,173

2,587,651

    

Residential Accredit Loans, Inc., Series 2005-QS15-2A

   6.00%      10/25/2035      2,346,986

3,095,802

    

Residential Accredit Loans, Inc., Series 2005-QS15-3A

   6.00%      10/25/2035      3,042,812

3,202,096

    

Residential Accredit Loans, Inc., Series 2005-QS16-A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)

   2.72%      11/25/2035      2,607,513

3,201,542

    

Residential Accredit Loans, Inc., Series 2005-QS16-A2 (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap)

   2.78%   I/F I/O    11/25/2035      360,025

1,614,314

    

Residential Accredit Loans, Inc., Series 2005-QS17-A1

   6.00%      12/25/2035      1,593,172

1,118,637

    

Residential Accredit Loans, Inc., Series 2005-QS17-A10

   6.00%      12/25/2035      1,103,986

4,678,624

    

Residential Accredit Loans, Inc., Series 2005-QS17-A11

   6.00%      12/25/2035      4,617,348

3,325,419

    

Residential Accredit Loans, Inc., Series 2005-QS17-A2 (1 Month LIBOR USD + 0.85%, 0.85% Floor, 6.00% Cap)

   2.87%      12/25/2035      2,663,984

3,325,419

    

Residential Accredit Loans, Inc., Series 2005-QS17-A4 (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap)

   3.13%   I/F I/O    12/25/2035      419,936

2,675,735

    

Residential Accredit Loans, Inc., Series 2005-QS17-A6

   6.00%      12/25/2035      2,640,691

1,317,159

    

Residential Accredit Loans, Inc., Series 2005-QS5-A3

   5.70%      04/25/2035      1,346,477

1,267,412

    

Residential Accredit Loans, Inc., Series 2006-QS10-A4

   5.75%      08/25/2036      1,170,111

8,653,649

    

Residential Accredit Loans, Inc., Series 2006-QS11-1A1

   6.50%      08/25/2036      8,131,268

1,670,586

    

Residential Accredit Loans, Inc., Series 2006-QS12-1A1

   6.50%      09/25/2036      1,219,504

3,574,440

    

Residential Accredit Loans, Inc., Series 2006-QS12-2A18

   5.75%      09/25/2036      3,456,375

5,398,775

    

Residential Accredit Loans, Inc., Series 2006-QS14-A18

   6.25%      11/25/2036      4,926,717

2,520,642

    

Residential Accredit Loans, Inc., Series 2006-QS15-A1

   6.50%      10/25/2036      2,424,025

1,146,391

    

Residential Accredit Loans, Inc., Series 2006-QS16-A10

   6.00%      11/25/2036      1,058,317

4,076,384

    

Residential Accredit Loans, Inc., Series 2006-QS16-A11

   6.00%      11/25/2036      3,763,206


1,189,942

    

Residential Accredit Loans, Inc., Series 2006-QS16-A7

   6.00%      11/25/2036      1,098,522

1,285,873

    

Residential Accredit Loans, Inc., Series 2006-QS16-A8

   6.00%      11/25/2036      1,187,082

508,844

    

Residential Accredit Loans, Inc., Series 2006-QS16-A9

   6.00%      11/25/2036      469,751

2,321,234

    

Residential Accredit Loans, Inc., Series 2006-QS17-A4

   6.00%      12/25/2036      2,188,192

12,895,775

    

Residential Accredit Loans, Inc., Series 2006-QS17-A5

   6.00%      12/25/2036      12,156,647

1,393,009

    

Residential Accredit Loans, Inc., Series 2006-QS1-A6 (-8 x 1 Month LIBOR USD + 42.86%, 42.86% Cap)

   27.38%   I/F    01/25/2036      2,715,751

8,656,924

    

Residential Accredit Loans, Inc., Series 2006-QS3-1A11

   6.00%      03/25/2036      8,406,298

2,070,260

    

Residential Accredit Loans, Inc., Series 2006-QS4-A8 (-7.90 x 1 Month LIBOR USD + 51.43%, 0.10% Floor, 8.00% Cap)

   8.00%   I/F    04/25/2036      2,067,246

5,511,027

    

Residential Accredit Loans, Inc., Series 2006-QS5-A3

   6.00%      05/25/2036      5,305,465

16,424,934

    

Residential Accredit Loans, Inc., Series 2006-QS5-A4

   6.00%      05/25/2036      15,812,283

2,234,265

    

Residential Accredit Loans, Inc., Series 2006-QS6-1A16

   6.00%      06/25/2036      2,102,073

3,674,900

    

Residential Accredit Loans, Inc., Series 2006-QS6-1A2

   6.00%      06/25/2036      3,457,473

7,465,962

    

Residential Accredit Loans, Inc., Series 2006-QS8-A1

   6.00%      08/25/2036      7,146,872

12,947,069

    

Residential Accredit Loans, Inc., Series 2006-QS8-A5 (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)

   3.53%   I/F I/O    08/25/2036      1,839,306

4,800,364

    

Residential Accredit Loans, Inc., Series 2006-QS9-1A6 (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)

   3.28%   I/F I/O    07/25/2036      752,446

29,946,527

    

Residential Accredit Loans, Inc., Series 2007-QH5-AII (1 Month LIBOR USD + 0.23%, 0.23% Floor)

   2.25%      06/25/2037      16,536,257

4,460,953

    

Residential Accredit Loans, Inc., Series 2007-QS11-A1

   7.00%      10/25/2037      3,994,606

14,961,740

    

Residential Accredit Loans, Inc., Series 2007-QS1-1A2 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)

   3.43%   I/F I/O    01/25/2037      1,917,842

1,506,058

    

Residential Accredit Loans, Inc., Series 2007-QS1-1A4

   6.00%      01/25/2037      1,438,512

3,666,050

    

Residential Accredit Loans, Inc., Series 2007-QS1-2A10

   6.00%      01/25/2037      3,442,196

5,465,816

    

Residential Accredit Loans, Inc., Series 2007-QS2-A6

   6.25%      01/25/2037      5,115,867

25,175,841

    

Residential Accredit Loans, Inc., Series 2007-QS3-A1

   6.50%      02/25/2037      23,955,792

4,014,445

    

Residential Accredit Loans, Inc., Series 2007-QS3-A4

   6.25%      02/25/2037      3,765,992

6,434,953

    

Residential Accredit Loans, Inc., Series 2007-QS4-3A3

   6.00%      03/25/2037      6,054,164

2,934,768

    

Residential Accredit Loans, Inc., Series 2007-QS5-A1

   5.50%      03/25/2037      2,715,245

1,210,712

    

Residential Accredit Loans, Inc., Series 2007-QS5-A5 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap)

   2.32%      03/25/2037      905,821

4,021,050

    

Residential Accredit Loans, Inc., Series 2007-QS5-A8 (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)

   4.68%   I/F I/O    03/25/2037      759,810

3,136,649

    

Residential Accredit Loans, Inc., Series 2007-QS6-A102

   5.75%      04/25/2037      2,971,121

1,008,524

    

Residential Accredit Loans, Inc., Series 2007-QS6-A13 (-8 x 1 Month LIBOR USD + 55.00%, 55.00% Cap)

   38.18%   I/F    04/25/2037      2,170,374

4,491,435

    

Residential Accredit Loans, Inc., Series 2007-QS6-A45

   5.75%      04/25/2037      4,254,413

7,157,960

    

Residential Accredit Loans, Inc., Series 2007-QS6-A6

   6.25%      04/25/2037      6,954,264

494,378

    

Residential Accredit Loans, Inc., Series 2007-QS6-A77 (-8 x 1 Month LIBOR USD + 55.83%, 55.83% Cap)

   39.01%   I/F    04/25/2037      1,078,432

7,080,467

    

Residential Accredit Loans, Inc., Series 2007-QS7-2A1

   6.75%      06/25/2037      4,859,017

24,787,550

    

Residential Accredit Loans, Inc., Series 2007-QS9-A33

   6.50%      07/25/2037      23,791,202

2,842,689

    

Residential Asset Mortgage Products, Inc., Series 2004-RS7-A3

   4.65%   #    07/25/2034      2,750,426

2,511,429

    

Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5

   5.91%      01/25/2035      2,544,404

22,372,504

    

Residential Asset Mortgage Products, Inc., Series 2006-RS2-A3A (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap)

   2.32%      03/25/2036      22,077,590

3,087,041

    

Residential Asset Mortgage Products, Inc., Series 2006-RZ3-A3 (1 Month LIBOR USD + 0.29%, 0.29% Floor, 14.00% Cap)

   2.31%      08/25/2036      3,094,310

8,050,093

    

Residential Asset Mortgage Products, Inc., Series 2006-RZ5-A3 (1 Month LIBOR USD + 0.25%, 0.25% Floor, 14.00% Cap)

   2.27%      08/25/2046      8,042,563

27,100,365

    

Residential Asset Securities Corporation, Series 2005-KS11-M2 (1 Month LIBOR USD + 0.42%, 0.42% Floor, 14.00% Cap)

   2.44%      12/25/2035      27,200,994

3,630,175

    

Residential Asset Securities Corporation, Series 2006-EMX5-A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap)

   2.18%      07/25/2036      3,501,543

28,977,485

    

Residential Asset Securities Corporation, Series 2007-EMX1-A13 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 14.00% Cap)

   2.22%      01/25/2037      26,476,618

14,957,575

    

Residential Asset Securities Corporation, Series 2007-KS3-AI3 (1 Month LIBOR USD + 0.25%, 0.25% Floor, 14.00% Cap)

   2.27%      04/25/2037      14,889,750

5,529,673

    

Residential Asset Securitization Trust, Series 2005-A11-2A4

   6.00%      10/25/2035      4,116,580

2,475,688

    

Residential Asset Securitization Trust, Series 2005-A12-A7 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    11/25/2035      404,610

2,245,868

    

Residential Asset Securitization Trust, Series 2005-A12-A8 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 5.50% Cap)

   2.57%      11/25/2035      1,540,074

20,536,189

    

Residential Asset Securitization Trust, Series 2005-A13-2A1

   5.50%      10/25/2035      14,627,962

9,231,118

    

Residential Asset Securitization Trust, Series 2005-A15-5A3

   5.75%      02/25/2036      6,386,570

10,077,611

    

Residential Asset Securitization Trust, Series 2005-A16-A1

   5.00%      02/25/2036      6,957,164

1,778,250

    

Residential Asset Securitization Trust, Series 2005-A7-A3

   5.50%      06/25/2035      1,509,038

4,345,013

    

Residential Asset Securitization Trust, Series 2005-A8CB-A11

   6.00%      07/25/2035      3,967,179

4,366,233

    

Residential Asset Securitization Trust, Series 2005-A8CB-A2 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    07/25/2035      754,102

5,552,537

    

Residential Asset Securitization Trust, Series 2006-A10-A5

   6.50%      09/25/2036      3,865,246

806,456

    

Residential Asset Securitization Trust, Series 2006-A1-1A3

   6.00%      04/25/2036      589,508

7,934,813

    

Residential Asset Securitization Trust, Series 2006-A12-A1

   6.25%      11/25/2036      5,133,554

7,862,600

    

Residential Asset Securitization Trust, Series 2006-A13-A1

   6.25%      12/25/2036      4,671,460

13,544,618

    

Residential Asset Securitization Trust, Series 2006-A1-3A2

   6.00%      04/25/2036      10,918,238

14,595,112

    

Residential Asset Securitization Trust, Series 2006-A14C-2A6 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      12/25/2036      3,378,528

32,209,222

    

Residential Asset Securitization Trust, Series 2006-A14C-2A7 (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)

   4.53%   I/F I/O    12/25/2036      9,779,003

6,745,860

    

Residential Asset Securitization Trust, Series 2006-A2-A11

   6.00%      01/25/2046      4,807,739

4,674,561

    

Residential Asset Securitization Trust, Series 2006-A2-A4

   6.00%      01/25/2046      3,328,671

544,018

    

Residential Asset Securitization Trust, Series 2006-A4-2A5

   6.00%      05/25/2036      533,461

4,142,892

    

Residential Asset Securitization Trust, Series 2006-A4-2A9

   6.00%      05/25/2036      4,062,491

3,819,346

    

Residential Asset Securitization Trust, Series 2006-A8-1A1

   6.00%      08/25/2036      3,400,007

5,686,597

    

Residential Asset Securitization Trust, Series 2006-R1-A1 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)

   20.33%   I/F    01/25/2046      7,554,193

28,716,068

    

Residential Asset Securitization Trust, Series 2007-A2-1A2

   6.00%      04/25/2037      25,269,559

921,152

    

Residential Asset Securitization Trust, Series 2007-A3-1A2 (-8 x 1 Month LIBOR USD + 46.38%, 46.38% Cap)

   30.91%   I/F    04/25/2037      2,261,962

22,910,642

    

Residential Asset Securitization Trust, Series 2007-A5-1A4 (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

   4.08%   I/F I/O    05/25/2037      4,635,311

5,897,694

    

Residential Asset Securitization Trust, Series 2007-A5-1A6 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap)

   2.42%      05/25/2037      767,964

5,837,838

    

Residential Asset Securitization Trust, Series 2007-A5-2A3

   6.00%      05/25/2037      5,005,062

2,558,426

    

Residential Asset Securitization Trust, Series 2007-A5-2A5

   6.00%      05/25/2037      2,193,463

10,780,168

    

Residential Asset Securitization Trust, Series 2007-A6-1A2

   6.00%      06/25/2037      9,458,275

8,525,250

    

Residential Asset Securitization Trust, Series 2007-A7-A1

   6.00%      07/25/2037      5,286,419

37,499,525

    

Residential Asset Securitization Trust, Series 2007-A7-A2

   6.00%      07/25/2037      23,499,621

16,615,248

    

Residential Asset Securitization Trust, Series 2007-A7-A6

   6.00%      07/25/2037      10,412,186

2,466,116

    

Residential Funding Mortgage Securities Trust, Series 2005-S9-A10

   6.25%      12/25/2035      2,581,751

6,622,371

    

Residential Funding Mortgage Securities Trust, Series 2005-S9-A6

   5.75%      12/25/2035      6,761,057

491,258

    

Residential Funding Mortgage Securities Trust, Series 2005-S9-A8

   5.50%      12/25/2035      495,419

8,239,428

    

Residential Funding Mortgage Securities Trust, Series 2006-S10-1A1

   6.00%      10/25/2036      7,854,612

14,328,839

    

Residential Funding Mortgage Securities Trust, Series 2006-S11-A1

   6.00%      11/25/2036      14,316,695

2,670,526

    

Residential Funding Mortgage Securities Trust, Series 2006-S5-A12

   6.00%      06/25/2036      2,643,023

182,835

    

Residential Funding Mortgage Securities Trust, Series 2006-S5-A15

   6.00%      06/25/2036      180,952

4,628,127

    

Residential Funding Mortgage Securities Trust, Series 2006-S9-A1

   6.25%      09/25/2036      4,587,587

6,346,949

    

Residential Funding Mortgage Securities Trust, Series 2007-S1-A7

   6.00%      01/25/2037      6,238,982

3,190,812

    

Residential Funding Mortgage Securities Trust, Series 2007-S2-A1

   6.00%      02/25/2037      3,061,869

3,594,801

    

Residential Funding Mortgage Securities Trust, Series 2007-S2-A4

   6.00%      02/25/2037      3,449,532

6,711,083

    

Residential Funding Mortgage Securities Trust, Series 2007-S2-A5

   6.00%      02/25/2037      6,439,883

1,048,719

    

Residential Funding Mortgage Securities Trust, Series 2007-S2-A9

   6.00%      02/25/2037      1,006,339

2,863,677

    

Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4

   6.00%      03/25/2037      2,707,916

4,108,515

    

Residential Funding Mortgage Securities Trust, Series 2007-S4-A1

   6.00%      04/25/2037      4,012,744

2,300,889

    

Residential Funding Mortgage Securities Trust, Series 2007-S4-A2

   6.00%      04/25/2037      2,247,255

21,453,027

    

Residential Funding Mortgage Securities Trust, Series 2007-S5-A1

   6.00%      05/25/2037      21,932,584

6,217,172

    

Residential Funding Mortgage Securities Trust, Series 2007-S5-A8

   6.00%      05/25/2037      6,356,149

3,304,221

    

Residential Funding Mortgage Securities Trust, Series 2007-S6-2A4

   6.00%      06/25/2037      3,113,780

17,070,824

    

Residential Funding Mortgage Securities Trust, Series 2007-S7-A20

   6.00%      07/25/2037      16,866,385

8,482,830

    

Residential Funding Mortgage Securities Trust, Series 2007-S8-1A1

   6.00%      09/25/2037      7,863,528

1,234,316

    

Residential Funding Mortgage Securities Trust, Series 2007-SA1-4A

   5.44%   #    02/25/2037      1,054,894

6,683,874

    

Residential Funding Mortgage Securities Trust, Series 2007-SA2-2A1

   4.90%   #    04/25/2037      6,339,033

15,875,353

    

RMAT LLC, Series 2015-PR2-A1

   9.85%   ^    11/25/2035      15,594,810

32,314,623

    

Saxon Asset Securities Trust, Series 2006-3-A3 (1 Month LIBOR USD + 0.17%, 0.17% Floor, 12.25% Cap)

   2.19%      10/25/2046      31,833,966

291,816,592

    

Securitized Mortgage Asset Loan Trust, Series 2015-1-PC

   3.39%   # ^    02/25/2054      271,830,453

57,194,014

    

Securitized Mortgage Asset Loan Trust, Series 2015-2-PC

   0.00%   # ^    12/26/2059      57,046,299

80,341,522

    

Securitized Mortgage Asset Loan Trust, Series 2015-3-PC

   0.00%   # ^    10/25/2044      80,446,360

148,593

    

Sequoia Mortgage Trust, Series 2003-4-2A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap)

   2.39%      07/20/2033      146,747

7,906,563

    

Sequoia Mortgage Trust, Series 2013-2-A

   1.87%   #    02/25/2043      7,644,927

52,800,241

    

Sequoia Mortgage Trust, Series 2015-4-A1

   3.00%   # ^    11/25/2030      53,880,206

12,887,009

    

SG Mortgage Securities Trust, Series 2006-FRE1-A1A (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.19%      02/25/2036      12,091,213

47,748,634

    

Silver Hill Trust, Series 2018-SBC1-A1

   5.19%   ^ §    10/28/2033      48,118,781

22,488,238

    

Soundview Home Loan Trust, Series 2007-NS1-A3 (1 Month LIBOR USD + 0.20%, 0.20% Floor)

   2.22%      01/25/2037      22,226,108

4,874,839

    

Soundview Home Loan Trust, Series 2007-OPT1-2A2 (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.17%      06/25/2037      3,715,359

9,278,240

    

Soundview Home Loan Trust, Series 2007-OPT3-1A1 (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.19%      08/25/2037      8,560,095

26,804,097

    

Soundview Home Loan Trust, Series 2007-OPT4-1A1 (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.02%      09/25/2037      21,569,921

127,326,687

    

Stanwich Mortgage Loan Company, Series 2019-NPB1-A1

   3.38%   ^ §    08/15/2024      127,504,957


6,877,904

    

STARM Mortgage Loan Trust, Series 2007-2-1A1

   4.57%   #    04/25/2037      5,056,041

2,895,927

    

STARM Mortgage Loan Trust, Series 2007-3-1A1

   4.85%   #    06/25/2037      2,631,912

2,307,179

    

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12-8A

   4.24%   #    09/25/2034      2,358,546

4,528,208

    

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1

   4.49%   #    12/25/2035      4,366,177

4,390,307

    

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12-2A1

   4.25%   #    01/25/2037      4,051,014

2,022,644

    

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-8A1

   4.29%   #    02/25/2036      1,582,558

2,590,588

    

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-6-3A1

   4.20%   #    07/25/2036      2,020,608

105,130,260

    

Structured Asset Investment Loan Trust, Series 2006-3-A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor)

   2.18%      06/25/2036      80,396,653

16,985,254

    

Structured Asset Mortgage Investments Trust, Series 2006-AR3-12A2 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 10.50% Cap)

   2.22%      05/25/2036      16,510,652

102,654,313

    

Structured Asset Securities Corporation Mortgage Loan Trust, Series 2006-BC4-A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor)

   2.18%      12/25/2036      75,271,963

2,058,590

    

Structured Asset Securities Corporation, Series 2003-24A-1A3

   4.41%   #    07/25/2033      2,113,493

4,227,643

    

Structured Asset Securities Corporation, Series 2003-35-1A1

   5.18%   #    12/25/2033      4,516,257

12,943,006

    

Structured Asset Securities Corporation, Series 2005-10-1A1

   5.75%      06/25/2035      12,667,079

297,853

    

Structured Asset Securities Corporation, Series 2005-10-6A1

   5.00%      06/25/2020      302,321

11,649,112

    

Structured Asset Securities Corporation, Series 2005-5-3A1

   6.00%      04/25/2035      10,011,642

38,842,038

    

Structured Asset Securities Corporation, Series 2006-BC4-A4 (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.19%      12/25/2036      37,869,045

85,716,611

    

Structured Asset Securities Corporation, Series 2007-4-1A3 (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.00%   ^I/F I/O Þ    03/28/2045      12,500,298

22,645,030

    

Structured Asset Securities Corporation, Series 2007-RF1-1A (1 Month LIBOR USD + 0.19%, 0.19% Floor)

   2.21%   ^    03/25/2037      19,838,776

543,760

    

Suntrust Alternative Loan Trust, Series 2005-1F-2A3

   5.75%      12/25/2035      543,430

879,667

    

Suntrust Alternative Loan Trust, Series 2006-1F-1A3

   6.00%      04/25/2036      774,644

356,769

    

Thornburg Mortgage Securities Trust, Series 2003-6-A2 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.50% Cap)

   2.52%      12/25/2033      337,941

4,471,676

    

Thornburg Mortgage Securities Trust, Series 2004-4-5A

   3.87%   #    12/25/2044      4,507,865

13,352,265

    

Thornburg Mortgage Securities Trust, Series 2007-1-A1 (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap)

   3.33%      03/25/2037      12,989,626

3,080,674

    

Thornburg Mortgage Securities Trust, Series 2007-1-A2A (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap)

   3.33%      03/25/2037      2,861,691

65,000,000

    

Toorak Mortgage Corporation Ltd., Series 2019-1-A1

   4.46%   ^ §    03/25/2022      66,459,315

70,000,000

    

Toorak Mortgage Corporation Ltd., Series 2019-2-A1

   3.72%   §    09/25/2022      70,625,590

3,097,732

    

Towd Point Mortgage Trust, Series 2015-1-AES

   3.00%   # ^    10/25/2053      3,104,531

3,811,974

    

Towd Point Mortgage Trust, Series 2015-2-1A12

   2.75%   # ^    11/25/2060      3,825,873

228,589,954

    

Towd Point Mortgage Trust, Series 2019-1-A1

   3.75%   # ^    03/25/2058      240,027,155

5,000,000

    

Tricon American Homes Trust, Series 2019-SFR1-E

   3.40%   ^    03/17/2038      5,041,935

36,000,062

    

VCAT LLC, Series 2019-NPL1-A1

   4.36%   ^ §    02/25/2049      36,389,644

1,101,560

    

Velocity Commercial Capital Loan Trust, Series 2016-1-AFX

   3.53%   # ^    04/25/2046      1,099,539

32,662,165

    

Velocity Commercial Capital Loan Trust, Series 2017-2-AFX

   3.07%   # ^    11/25/2047      32,994,545

33,378,559

    

Velocity Commercial Capital Loan Trust, Series 2018-2-A

   4.05%   # ^    10/26/2048      34,068,527

82,032,508

    

Velocity Commercial Capital Loan Trust, Series 2019-1-A

   3.76%   # ^    03/25/2049      83,708,046

28,876,750

    

Velocity Commercial Capital Loan Trust, Series 2019-2-A

   3.13%   # ^    07/25/2049      29,104,720

9,930,438

    

Velocity Commercial Capital Loan Trust, Series 2019-2-M1

   3.26%   # ^    07/25/2049      9,989,532

59,475,836

    

Vericrest Opportunity Loan Trust, Series 2019-NPL3-A1

   3.97%   ^ §    03/25/2049      59,956,871

17,657,662

    

Vericrest Opportunity Loan Trust, Series 2019-NPL4-A1A

   3.35%   ^ §    08/25/2049      17,733,434

53,330,860

    

Vericrest Opportunity Loan Trust, Series 2019-NPL5-A1A

   3.35%   ^ §    09/25/2049      53,630,068

25,180,362

    

Verus Securitization Trust, Series 2018-INV1-A1

   3.63%   # ^    03/25/2058      25,314,291

41,832,709

    

VOLT LLC, Series 2017-NPL9-A1

   3.13%   ^ §    09/25/2047      41,960,541

84,981,930

    

VOLT LLC, Series 2018-NPL1-A1

   3.75%   ^ §    04/25/2048      85,330,025

121,311,357

    

VOLT LLC, Series 2018-NPL5-A1A

   4.21%   ^ §    08/25/2048      121,929,742

72,205,784

    

VOLT LLC, Series 2018-NPL6-A1A

   4.11%   ^ §    09/25/2048      72,595,616

145,904,123

    

VOLT LLC, Series 2018-NPL8-A1A

   4.21%   ^ §    10/26/2048      146,775,229

54,110,335

    

VOLT LLC, Series 2019-NPL1-A1A

   4.34%   ^ §    01/25/2049      54,615,076

197,400,000

    

VOLT LLC, Series 2019-NPL6-A1A

   3.23%   ^ §    10/25/2049      199,090,534

17,070,157

    

WaMu Asset-Backed Certificates Trust, Series 2007-HE4-1A (1 Month LIBOR USD + 0.17%, 0.17% Floor)

   2.19%      07/25/2047      13,317,722

5,850,967

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A

   6.00%      03/25/2035      5,718,986

2,089,232

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-4-5A1

   5.50%      06/25/2035      2,089,785

841,194

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB12 (-11 x 1 Month LIBOR USD + 50.60%, 50.60% Cap)

   28.40%   I/F    07/25/2035      1,691,895

2,723,993

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB6 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.50% Cap)

   2.62%      07/25/2035      2,426,262

709,495

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6-2A7

   5.50%      08/25/2035      698,481

10,310,047

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB6 (1 Month LIBOR USD + 1.45%, 1.45% Floor, 6.00% Cap)

   3.47%      08/25/2035      9,645,237

937,277

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB7 (-11 x 1 Month LIBOR USD + 50.05%, 50.05% Cap)

   27.85%   I/F    08/25/2035      1,687,235

3,935,125

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-3CB

   6.50%      08/25/2035      3,715,324

10,403,657

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8-1A2

   5.50%      10/25/2035      10,348,717

8,325,886

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-2A2

   5.50%      11/25/2035      8,339,886

2,263,981

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-CX

   5.50%   I/O    11/25/2035      476,670

2,988,796

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1

   5.75%      02/25/2036      2,848,369

1,513,227

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A2

   5.75%      02/25/2036      1,442,128

1,285,338

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A7

   5.75%      02/25/2036      1,226,700

3,572,435

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-3-3CB4

   6.00%      04/25/2036      3,352,314

2,150,363

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A8

   5.75%      07/25/2036      1,961,929

3,910,149

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB1

   6.00%      07/25/2036      3,242,991

7,102,476

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB6

   6.00%      07/25/2036      5,890,637

15,964,547

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-3A3

   6.22%   ß    07/25/2036      6,814,676

6,652,816

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-3A5

   6.45%   ß    07/25/2036      2,838,611

3,539,479

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-9-A7

   4.62%   ß    10/25/2036      1,822,821

7,369,393

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-1A1

   3.72%   #    09/25/2036      7,143,525

12,645,203

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR15-1A (12 Month US Treasury Average + 0.84%, 0.84% Floor)

   3.29%      11/25/2046      11,936,071

9,217,624

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR4-2A (12 Month US Treasury Average + 0.95%, 0.95% Floor)

   3.40%      06/25/2046      7,693,879

7,632,308

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR5-4A (12 Month US Treasury Average + 0.99%, 0.99% Floor)

   3.44%      06/25/2046      6,797,035

997,530

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6-2A3

   3.76%   #    08/25/2036      952,828

11,695,646

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A2

   6.00%      04/25/2037      10,796,144

11,966,507

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A6

   6.00%      04/25/2037      11,046,174

5,547,093

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A2

   6.00%      04/25/2037      5,378,600

7,521,747

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A3

   6.00%      04/25/2037      7,293,273

6,188,387

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-4-1A1

   5.50%      06/25/2037      6,346,265

339,935

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11 (-6 x 1 Month LIBOR USD + 39.48%, 39.48% Cap)

   27.37%   I/F    06/25/2037      687,688

8,498,364

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A6

   6.00%      06/25/2037      8,879,279

11,580,147

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY3-4A1

   4.24%   #    03/25/2037      11,697,570

13,651,167

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY5-1A1

   3.68%   #    05/25/2037      13,177,680

12,307,971

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY6-2A3

   3.84%   #    06/25/2037      11,919,436

9,675,908

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OC1-A2 (1 Month LIBOR USD + 0.12%, 0.12% Floor)

   2.14%      01/25/2047      8,887,547

1,275,394

    

Wells Fargo Alternative Loan Trust, Series 2007-PA1-A10

   6.00%      03/25/2037      1,216,745

5,599,975

    

Wells Fargo Alternative Loan Trust, Series 2007-PA1-A3

   6.00%      03/25/2037      5,342,459

4,828,404

    

Wells Fargo Alternative Loan Trust, Series 2007-PA1-A5

   6.00%      03/25/2037      4,606,369

7,913,512

    

Wells Fargo Alternative Loan Trust, Series 2007-PA1-A6

   6.00%      03/25/2037      7,549,607

32,171,416

    

Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1

   6.00%      06/25/2037      32,792,073

4,803,371

    

Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap)

   2.37%      06/25/2037      3,443,159

7,076,109

    

Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A2 (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)

   4.63%   I/F I/O    06/25/2037      992,075

461,362

    

Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4

   5.75%      07/25/2037      450,378

9,943,550

    

Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1

   6.00%      07/25/2037      9,965,682

3,950,636

    

Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A4

   6.00%      07/25/2037      3,959,429

8,635,639

    

Wells Fargo Alternative Loan Trust, Series 2007-PA3-3A1

   6.25%      07/25/2037      8,348,000

56,139,114

    

Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1

   6.25%      11/25/2037      55,981,773

11,153,249

    

Wells Fargo Alternative Loan Trust, Series 2007-PA6-A1

   4.62%   #    12/28/2037      11,158,375

6,601,657

    

Wells Fargo Mortgage Backed Securities Trust, Series 2004-Y-3A3

   4.87%   #    11/25/2034      6,903,280

12,518,623

    

Wells Fargo Mortgage Backed Securities Trust, Series 2005-17-1A1

   5.50%      01/25/2036      12,527,834

1,313,974

    

Wells Fargo Mortgage Backed Securities Trust, Series 2005-8-A1

   5.50%      10/25/2035      1,374,016

809,007

    

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16-6A4

   4.91%   #    10/25/2035      828,810

38,773

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-1A4 (-3 x 1 Month LIBOR USD + 19.39%, 19.39% Cap)

   13.84%   I/F    03/25/2036      47,348

1,818,645

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-3A1

   5.75%      03/25/2036      1,802,775

11,828,797

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A11

   5.50%      03/25/2036      12,053,039

2,634,040

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A6

   5.50%      03/25/2036      2,585,235

117,590

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-4-2A2

   5.50%      04/25/2036      116,327

4,905,669

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12-1A1

   4.71%   #    09/25/2036      5,014,881

2,094,787

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR13-A2

   4.85%   #    09/25/2036      2,131,270

2,665,708

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4-2A1

   5.22%   #    04/25/2036      2,649,920

840,940

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-1A18

   6.00%      07/25/2037      849,608

1,494,050

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-2A11

   6.00%      07/25/2037      1,465,706


864,321

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A14

   6.00%      08/25/2037      882,278

1,725,094

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A36

   6.00%      08/25/2037      1,760,935

1,225,971

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A96

   6.00%      08/25/2037      1,251,442

16,373,891

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-14-1A1

   6.00%      10/25/2037      16,372,581

3,778,888

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1

   6.00%      06/25/2037      3,813,569

262,814

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A32

   5.75%      06/25/2037      267,381

8,509,778

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A34

   6.00%      06/25/2037      8,575,812

2,304,863

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A36

   6.00%      06/25/2037      2,322,748

783,847

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A43 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)

   2.52%      06/25/2037      687,938

2,141,454

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A49

   6.00%      06/25/2037      2,158,071

906,578

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A8 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)

   2.52%      06/25/2037      794,322

408,973

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A9 (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap)

   26.89%   I/F    06/25/2037      697,093

30,991,445

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR9-A1

   4.85%   #    12/28/2037      30,885,238

11,630,696

    

WinWater Mortgage Loan Trust, Series 2015-4-A5

   3.50%   # ^    06/20/2045      11,686,221
                 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $15,287,217,299)

          15,359,992,550
                 

 

US Government and Agency Mortgage Backed Obligations - 44.9%

         

6,617,936

    

Federal Home Loan Mortgage Corporation, Pool C03490

   4.50%      08/01/2040      7,177,336

40,977,531

    

Federal Home Loan Mortgage Corporation, Pool C91388

   3.50%      02/01/2032      42,675,812

21,629,906

    

Federal Home Loan Mortgage Corporation, Pool C91403

   3.50%      03/01/2032      22,525,639

21,064,692

    

Federal Home Loan Mortgage Corporation, Pool C91413

   3.50%      12/01/2031      21,939,435

10,562,521

    

Federal Home Loan Mortgage Corporation, Pool C91417

   3.50%      01/01/2032      11,000,061

44,114,553

    

Federal Home Loan Mortgage Corporation, Pool C91447

   3.50%      05/01/2032      45,946,597

50,676,984

    

Federal Home Loan Mortgage Corporation, Pool C91594

   3.00%      01/01/2033      52,301,109

14,876,995

    

Federal Home Loan Mortgage Corporation, Pool C91596

   3.00%      02/01/2033      15,354,729

7,781,567

    

Federal Home Loan Mortgage Corporation, Pool D98901

   3.50%      01/01/2032      8,104,825

20,616,204

    

Federal Home Loan Mortgage Corporation, Pool D98923

   3.50%      01/01/2032      21,472,628

19,443,812

    

Federal Home Loan Mortgage Corporation, Pool D99724

   3.00%      11/01/2032      20,068,122

16,041,765

    

Federal Home Loan Mortgage Corporation, Pool G01840

   5.00%      07/01/2035      17,739,648

3,290,058

    

Federal Home Loan Mortgage Corporation, Pool G04817

   5.00%      09/01/2038      3,635,579

16,766,497

    

Federal Home Loan Mortgage Corporation, Pool G07801

   4.00%      10/01/2044      17,765,459

31,553,916

    

Federal Home Loan Mortgage Corporation, Pool G07862

   4.00%      01/01/2044      33,596,501

37,550,024

    

Federal Home Loan Mortgage Corporation, Pool G07905

   4.00%      01/01/2042      40,164,949

65,307,967

    

Federal Home Loan Mortgage Corporation, Pool G08534

   3.00%      06/01/2043      67,318,504

21,179,696

    

Federal Home Loan Mortgage Corporation, Pool G08537

   3.00%      07/01/2043      21,840,620

51,000,981

    

Federal Home Loan Mortgage Corporation, Pool G08614

   3.00%      11/01/2044      52,353,772

59,370,811

    

Federal Home Loan Mortgage Corporation, Pool G08619

   3.00%      12/01/2044      60,919,645

79,209,221

    

Federal Home Loan Mortgage Corporation, Pool G08622

   3.00%      01/01/2045      81,261,744

151,895,581

    

Federal Home Loan Mortgage Corporation, Pool G08626

   3.00%      02/01/2045      155,812,647

82,706,466

    

Federal Home Loan Mortgage Corporation, Pool G08631

   3.00%      03/01/2045      84,831,282

212,553,132

    

Federal Home Loan Mortgage Corporation, Pool G08635

   3.00%      04/01/2045      217,946,349

62,500,134

    

Federal Home Loan Mortgage Corporation, Pool G08640

   3.00%      05/01/2045      64,086,567

325,492,220

    

Federal Home Loan Mortgage Corporation, Pool G08648

   3.00%      06/01/2045      333,749,957

62,938,580

    

Federal Home Loan Mortgage Corporation, Pool G08653

   3.00%      07/01/2045      64,533,763

34,982,865

    

Federal Home Loan Mortgage Corporation, Pool G08658

   3.00%      08/01/2045      35,868,733

42,135,093

    

Federal Home Loan Mortgage Corporation, Pool G08670

   3.00%      10/01/2045      43,201,554

498,718,208

    

Federal Home Loan Mortgage Corporation, Pool G08675

   3.00%      11/01/2045      511,343,289

208,514,417

    

Federal Home Loan Mortgage Corporation, Pool G08680

   3.00%      12/01/2045      213,792,268

84,778,519

    

Federal Home Loan Mortgage Corporation, Pool G08686

   3.00%      01/01/2046      86,926,256

195,372,132

    

Federal Home Loan Mortgage Corporation, Pool G08692

   3.00%      02/01/2046      200,316,495

65,155,569

    

Federal Home Loan Mortgage Corporation, Pool G08705

   3.00%      05/01/2046      66,807,439

72,828,028

    

Federal Home Loan Mortgage Corporation, Pool G08715

   3.00%      08/01/2046      74,674,883

6,587,541

    

Federal Home Loan Mortgage Corporation, Pool G08741

   3.00%      01/01/2047      6,754,885

5,830,363

    

Federal Home Loan Mortgage Corporation, Pool G08800

   3.50%      02/01/2048      6,037,709

29,720,517

    

Federal Home Loan Mortgage Corporation, Pool G16072

   3.00%      02/01/2032      30,662,306

59,225,428

    

Federal Home Loan Mortgage Corporation, Pool G60251

   3.50%      10/01/2045      62,353,051

184,377,367

    

Federal Home Loan Mortgage Corporation, Pool G60393

   3.50%      01/01/2046      193,159,467

28,251,621

    

Federal Home Loan Mortgage Corporation, Pool J22834

   2.50%      03/01/2028      28,560,298

56,815,881

    

Federal Home Loan Mortgage Corporation, Pool Q13637

   3.00%      11/01/2042      58,608,296

57,568,667

    

Federal Home Loan Mortgage Corporation, Pool Q13638

   3.00%      11/01/2042      59,387,267

89,954,254

    

Federal Home Loan Mortgage Corporation, Pool Q16672

   3.00%      03/01/2043      92,766,724

5,366,895

    

Federal Home Loan Mortgage Corporation, Pool Q23595

   4.00%      12/01/2043      5,752,477

7,310,854

    

Federal Home Loan Mortgage Corporation, Pool Q24052

   4.00%      01/01/2044      7,836,148

5,813,677

    

Federal Home Loan Mortgage Corporation, Pool Q24172

   4.00%      01/01/2044      6,231,222

5,413,202

    

Federal Home Loan Mortgage Corporation, Pool Q24979

   4.00%      02/01/2044      5,802,035

40,514,053

    

Federal Home Loan Mortgage Corporation, Pool Q31596

   3.50%      02/01/2045      42,340,128

15,087,909

    

Federal Home Loan Mortgage Corporation, Pool Q32861

   3.50%      04/01/2045      15,744,232

38,990,709

    

Federal Home Loan Mortgage Corporation, Pool Q32921

   3.50%      04/01/2045      40,753,974

26,839,935

    

Federal Home Loan Mortgage Corporation, Pool Q39502

   3.50%      03/01/2046      28,118,611

83,404,713

    

Federal Home Loan Mortgage Corporation, Pool Q44073

   3.00%      09/01/2046      85,519,816

15,573,565

    

Federal Home Loan Mortgage Corporation, Pool SB0039

   2.50%      04/01/2033      15,762,756

58,385,603

    

Federal Home Loan Mortgage Corporation, Pool SD0035

   3.00%      04/01/2047      59,754,995

5,623,134

    

Federal Home Loan Mortgage Corporation, Pool T60392

   4.00%      10/01/2041      5,899,998

5,435,028

    

Federal Home Loan Mortgage Corporation, Pool T60681

   4.00%      05/01/2042      5,709,906

19,276,356

    

Federal Home Loan Mortgage Corporation, Pool T60782

   3.50%      07/01/2042      19,675,719

30,693,837

    

Federal Home Loan Mortgage Corporation, Pool T60853

   3.50%      09/01/2042      31,327,999

23,203,035

    

Federal Home Loan Mortgage Corporation, Pool T60854

   3.50%      09/01/2042      23,682,464

2,756,777

    

Federal Home Loan Mortgage Corporation, Pool T65110

   3.50%      10/01/2042      2,813,981

56,963,231

    

Federal Home Loan Mortgage Corporation, Pool T65492

   3.00%      06/01/2048      57,532,408

3,968,392

    

Federal Home Loan Mortgage Corporation, Pool T69016

   5.00%      06/01/2041      4,258,479

23,455,944

    

Federal Home Loan Mortgage Corporation, Pool T69050

   3.50%      05/01/2046      23,941,236

523,155

    

Federal Home Loan Mortgage Corporation, Pool U60299

   4.00%      11/01/2040      555,633

3,357,291

    

Federal Home Loan Mortgage Corporation, Pool U99125

   3.00%      01/01/2043      3,461,318

58,798,279

    

Federal Home Loan Mortgage Corporation, Pool U99193

   3.50%      03/01/2044      61,678,039

128,559,169

    

Federal Home Loan Mortgage Corporation, Pool V81821

   3.00%      08/01/2045      132,060,741

35,553,921

    

Federal Home Loan Mortgage Corporation, Pool V82117

   3.00%      12/01/2045      36,521,417

38,191,576

    

Federal Home Loan Mortgage Corporation, Pool V82209

   3.50%      02/01/2046      40,008,118

14,033,708

    

Federal Home Loan Mortgage Corporation, Pool V82248

   3.50%      03/01/2046      14,774,616

203,535,750

    

Federal Home Loan Mortgage Corporation, Pool Z40117

   3.00%      04/01/2045      208,664,399

46,779,347

    

Federal Home Loan Mortgage Corporation, Pool ZT1827

   3.00%      07/01/2047      47,939,520

29,148,652

    

Federal Home Loan Mortgage Corporation, Series 0-4791-LI

   3.00%   I/O    05/15/2048      3,321,783

58,187,836

    

Federal Home Loan Mortgage Corporation, Series 2015-SC02-1A

   3.00%      09/25/2045      58,794,444

37,576,478

    

Federal Home Loan Mortgage Corporation, Series 2016-SC01-1A

   3.00%      07/25/2046      38,064,818

1,044,117

    

Federal Home Loan Mortgage Corporation, Series 2519-ZD

   5.50%      11/15/2032      1,155,389

596,346

    

Federal Home Loan Mortgage Corporation, Series 2596-ZL

   5.00%      04/15/2033      642,868

36,488,910

    

Federal Home Loan Mortgage Corporation, Series 267-30

   3.00%      08/15/2042      37,593,799

369,908

    

Federal Home Loan Mortgage Corporation, Series 2684-ZN

   4.00%      10/15/2033      394,294

71,412,571

    

Federal Home Loan Mortgage Corporation, Series 269-30

   3.00%      08/15/2042      73,457,531

28,809,426

    

Federal Home Loan Mortgage Corporation, Series 274-30

   3.00%      08/15/2042      29,662,253

2,482,419

    

Federal Home Loan Mortgage Corporation, Series 2750-ZT

   5.00%      02/15/2034      2,715,980

90,514,439

    

Federal Home Loan Mortgage Corporation, Series 280-30

   3.00%      09/15/2042      92,468,195

6,332,451

    

Federal Home Loan Mortgage Corporation, Series 2825-PZ

   5.50%      07/15/2034      7,159,822

21,074,006

    

Federal Home Loan Mortgage Corporation, Series 284-300

   3.00%      10/15/2042      21,794,581

3,966,126

    

Federal Home Loan Mortgage Corporation, Series 2898-JZ

   5.00%      12/15/2034      4,375,320

8,940,315

    

Federal Home Loan Mortgage Corporation, Series 2899-AZ

   5.00%      12/15/2034      9,880,265

6,536,667

    

Federal Home Loan Mortgage Corporation, Series 2909-Z

   5.00%      12/15/2034      7,239,130

11,078,653

    

Federal Home Loan Mortgage Corporation, Series 2932-Z

   5.00%      02/15/2035      12,288,670

775,391

    

Federal Home Loan Mortgage Corporation, Series 2990-JL (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)

   4.62%   I/F I/O    03/15/2035      42,261

3,957,873

    

Federal Home Loan Mortgage Corporation, Series 3002-SN (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

   4.47%   I/F I/O    07/15/2035      619,059

2,679,958

    

Federal Home Loan Mortgage Corporation, Series 3030-SL (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

   4.07%   I/F I/O    09/15/2035      344,361

817,876

    

Federal Home Loan Mortgage Corporation, Series 3045-DI (-1 x 1 Month LIBOR USD + 6.73%, 6.73% Cap)

   4.70%   I/F I/O    10/15/2035      134,464

6,339,429

    

Federal Home Loan Mortgage Corporation, Series 3116-Z

   5.50%      02/15/2036      7,048,439

1,248,793

    

Federal Home Loan Mortgage Corporation, Series 3117-ZN

   4.50%      02/15/2036      1,303,827


3,313,502

    

Federal Home Loan Mortgage Corporation, Series 3174-PZ

   5.00%      01/15/2036      3,683,527

807,024

    

Federal Home Loan Mortgage Corporation, Series 3187-JZ

   5.00%      07/15/2036      889,740

2,176,842

    

Federal Home Loan Mortgage Corporation, Series 3188-ZK

   5.00%      07/15/2036      2,413,831

3,402,574

    

Federal Home Loan Mortgage Corporation, Series 3203-SE (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

   4.47%   I/F I/O    08/15/2036      626,176

4,760,176

    

Federal Home Loan Mortgage Corporation, Series 3203-Z

   5.00%      07/15/2036      5,275,494

7,542,532

    

Federal Home Loan Mortgage Corporation, Series 3203-ZC

   5.00%      07/15/2036      8,359,058

4,395,232

    

Federal Home Loan Mortgage Corporation, Series 3261-SA (-1 x 1 Month LIBOR USD + 6.43%, 6.43% Cap)

   4.40%   I/F I/O    01/15/2037      770,340

16,847,830

    

Federal Home Loan Mortgage Corporation, Series 326-300

   3.00%      03/15/2044      17,461,781

5,025,373

    

Federal Home Loan Mortgage Corporation, Series 3275-SC (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap)

   4.05%   I/F I/O    02/15/2037      719,100

1,316,278

    

Federal Home Loan Mortgage Corporation, Series 3315-HZ

   6.00%      05/15/2037      1,428,660

3,650,241

    

Federal Home Loan Mortgage Corporation, Series 3326-GS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)

   4.62%   I/F I/O    06/15/2037      500,726

801,396

    

Federal Home Loan Mortgage Corporation, Series 3351-ZC

   5.50%      07/15/2037      908,185

9,004,707

    

Federal Home Loan Mortgage Corporation, Series 3355-BI (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.02%   I/F I/O    08/15/2037      1,702,089

425,888

    

Federal Home Loan Mortgage Corporation, Series 3369-Z

   6.00%      09/15/2037      466,988

1,055,064

    

Federal Home Loan Mortgage Corporation, Series 3405-ZG

   5.50%      01/15/2038      1,151,427

1,970,364

    

Federal Home Loan Mortgage Corporation, Series 3417-SI (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap)

   4.15%   I/F I/O    02/15/2038      239,573

2,540,799

    

Federal Home Loan Mortgage Corporation, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)

   3.62%   I/F I/O    03/15/2038      285,432

417,226

    

Federal Home Loan Mortgage Corporation, Series 3423-SG (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)

   3.62%   I/F I/O    03/15/2038      43,650

575,008

    

Federal Home Loan Mortgage Corporation, Series 3451-S (-1 x 1 Month LIBOR USD + 6.03%, 6.03% Cap)

   4.00%   I/F I/O    02/15/2037      62,213

517,514

    

Federal Home Loan Mortgage Corporation, Series 3455-SC (-1 x 1 Month LIBOR USD + 6.06%, 6.06% Cap)

   4.03%   I/F I/O    06/15/2038      53,758

267,343

    

Federal Home Loan Mortgage Corporation, Series 3473-SM (-1 x 1 Month LIBOR USD + 6.07%, 6.07% Cap)

   4.04%   I/F I/O    07/15/2038      12,704

3,993,929

    

Federal Home Loan Mortgage Corporation, Series 3484-SE (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap)

   3.82%   I/F I/O    08/15/2038      659,214

4,592,019

    

Federal Home Loan Mortgage Corporation, Series 3519-SD (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)

   3.52%   I/F I/O    02/15/2038      729,548

1,546,846

    

Federal Home Loan Mortgage Corporation, Series 3524-LB

   3.60%   P/O    06/15/2038      1,599,145

73,760

    

Federal Home Loan Mortgage Corporation, Series 3530-GZ

   4.50%   >    05/15/2039      77,806

5,793,337

    

Federal Home Loan Mortgage Corporation, Series 3541-EI (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)

   4.72%   I/F I/O    06/15/2039      885,326

701,349

    

Federal Home Loan Mortgage Corporation, Series 3545-SA (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

   4.12%   I/F I/O    06/15/2039      90,172

291,760

    

Federal Home Loan Mortgage Corporation, Series 3549-SA (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap)

   3.77%   I/F I/O    07/15/2039      29,088

6,295,875

    

Federal Home Loan Mortgage Corporation, Series 3577-LS (-1 x 1 Month LIBOR USD + 7.20%, 7.20% Cap)

   5.17%   I/F I/O    08/15/2035      1,036,499

1,370,198

    

Federal Home Loan Mortgage Corporation, Series 3582-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.97%   I/F I/O    10/15/2049      202,468

35,811,814

    

Federal Home Loan Mortgage Corporation, Series 358-300

   3.00%      10/15/2047      36,790,158

1,972,165

    

Federal Home Loan Mortgage Corporation, Series 3583-GB

   4.50%      10/15/2039      2,101,135

3,875,381

    

Federal Home Loan Mortgage Corporation, Series 3616-SG (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)

   4.32%   I/F I/O    03/15/2032      621,293

5,331,914

    

Federal Home Loan Mortgage Corporation, Series 3626-AZ

   5.50%      08/15/2036      5,887,771

7,636,815

    

Federal Home Loan Mortgage Corporation, Series 3641-Z

   5.50%      02/15/2036      8,576,184

7,466,543

    

Federal Home Loan Mortgage Corporation, Series 3654-ZB

   5.50%      11/15/2037      8,191,764

16,996,907

    

Federal Home Loan Mortgage Corporation, Series 3666-VZ

   5.50%      08/15/2036      18,873,535

1,054,854

    

Federal Home Loan Mortgage Corporation, Series 3667-SB (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.42%   I/F I/O    05/15/2040      125,016

6,861,119

    

Federal Home Loan Mortgage Corporation, Series 3702-SG (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.02%   I/F I/O    08/15/2032      912,171

1,609,680

    

Federal Home Loan Mortgage Corporation, Series 3704-EI

   5.00%   I/O    12/15/2036      392,715

3,159,179

    

Federal Home Loan Mortgage Corporation, Series 3712-SG (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap)

   14.50%   I/F    08/15/2040      4,100,392

4,363,532

    

Federal Home Loan Mortgage Corporation, Series 3724-CM

   5.50%      06/15/2037      4,956,552

14,361,509

    

Federal Home Loan Mortgage Corporation, Series 3726-SA (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.02%   I/F I/O    09/15/2040      2,312,334

2,464,710

    

Federal Home Loan Mortgage Corporation, Series 3741-SC (-2 x 1 Month LIBOR USD + 10.00%, 10.00% Cap)

   5.95%   I/F    10/15/2040      3,115,768

17,137,642

    

Federal Home Loan Mortgage Corporation, Series 3752-BS (-2 x 1 Month LIBOR USD + 10.00%, 10.00% Cap)

   5.80%   I/F    11/15/2040      18,525,478

18,569,078

    

Federal Home Loan Mortgage Corporation, Series 3768-ZX

   5.00%   >    12/15/2040      21,587,368

5,349,459

    

Federal Home Loan Mortgage Corporation, Series 3771-AL

   4.00%      12/15/2030      5,662,737

15,114,870

    

Federal Home Loan Mortgage Corporation, Series 3779-BY

   3.50%      12/15/2030      15,968,072

27,776,074

    

Federal Home Loan Mortgage Corporation, Series 3779-DZ

   4.50%      12/15/2040      30,949,885

15,810,440

    

Federal Home Loan Mortgage Corporation, Series 3779-LB

   4.00%      12/15/2030      16,825,495

3,500,000

    

Federal Home Loan Mortgage Corporation, Series 3779-YA

   3.50%      12/15/2030      3,686,951

13,419,547

    

Federal Home Loan Mortgage Corporation, Series 3783-AC

   4.00%      01/15/2031      14,334,666

8,689,698

    

Federal Home Loan Mortgage Corporation, Series 3786-SG (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)

   5.45%   I/F    01/15/2041      10,184,219

11,625,338

    

Federal Home Loan Mortgage Corporation, Series 3788-AY

   3.50%      01/15/2031      12,120,732

4,410,236

    

Federal Home Loan Mortgage Corporation, Series 3790-Z

   4.00%      01/15/2041      4,637,475

12,948,666

    

Federal Home Loan Mortgage Corporation, Series 3795-VZ

   4.00%      01/15/2041      13,825,302

12,052,087

    

Federal Home Loan Mortgage Corporation, Series 3798-FG (1 Month LIBOR USD + 0.51%, 0.51% Floor, 7.00% Cap)

   2.54%      01/15/2041      12,128,430

419,734

    

Federal Home Loan Mortgage Corporation, Series 3798-SD (-2 x 1 Month LIBOR USD + 9.60%, 9.60% Cap)

   5.55%   I/F    12/15/2040      455,966

22,838,096

    

Federal Home Loan Mortgage Corporation, Series 3800-VZ

   4.50%   >    02/15/2041      26,215,937

6,417,173

    

Federal Home Loan Mortgage Corporation, Series 3803-ZM

   4.00%      02/15/2041      6,699,099

37,162,451

    

Federal Home Loan Mortgage Corporation, Series 3806-CZ

   5.50%      07/15/2034      41,679,851

16,196,278

    

Federal Home Loan Mortgage Corporation, Series 3808-DB

   3.50%      02/15/2031      16,792,865

13,442,182

    

Federal Home Loan Mortgage Corporation, Series 3812-EY

   3.50%      02/15/2031      14,002,621

5,716,000

    

Federal Home Loan Mortgage Corporation, Series 3818-CZ

   4.50%      03/15/2041      6,338,958

8,287,958

    

Federal Home Loan Mortgage Corporation, Series 3819-MS (-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap)

   4.44%   I/F I/O    06/15/2040      724,193

8,725,484

    

Federal Home Loan Mortgage Corporation, Series 3819-ZU

   5.50%      07/15/2034      9,678,159

31,888,007

    

Federal Home Loan Mortgage Corporation, Series 3824-EY

   3.50%      03/15/2031      33,721,835

3,350,433

    

Federal Home Loan Mortgage Corporation, Series 3828-SW (-3 x 1 Month LIBOR USD + 13.20%, 13.20% Cap)

   7.12%   I/F    02/15/2041      4,974,362

12,790,924

    

Federal Home Loan Mortgage Corporation, Series 3829-VZ

   4.00%      03/15/2041      13,938,154

7,609,496

    

Federal Home Loan Mortgage Corporation, Series 3843-PZ

   5.00%   >    04/15/2041      8,965,204

25,052,951

    

Federal Home Loan Mortgage Corporation, Series 3863-ZA

   5.50%      08/15/2034      27,639,934

9,006,451

    

Federal Home Loan Mortgage Corporation, Series 3870-PB

   4.50%      06/15/2041      9,629,286

39,547,617

    

Federal Home Loan Mortgage Corporation, Series 3871-LZ

   5.50%      06/15/2041      45,623,017

12,034,654

    

Federal Home Loan Mortgage Corporation, Series 3872-BA

   4.00%      06/15/2041      12,518,086

10,376,745

    

Federal Home Loan Mortgage Corporation, Series 3877-EY

   4.50%      06/15/2041      11,422,569

5,529,586

    

Federal Home Loan Mortgage Corporation, Series 3877-GY

   4.50%      06/15/2041      6,044,833

20,959,838

    

Federal Home Loan Mortgage Corporation, Series 3877-ZU

   4.50%      06/15/2041      22,115,073

23,090,040

    

Federal Home Loan Mortgage Corporation, Series 3888-ZU

   4.50%   >    06/15/2041      26,626,747

5,193,984

    

Federal Home Loan Mortgage Corporation, Series 3900-SB (-1 x 1 Month LIBOR USD + 5.97%, 5.97% Cap)

   3.94%   I/F I/O    07/15/2041      691,357

29,165,899

    

Federal Home Loan Mortgage Corporation, Series 3901-VZ

   4.00%      07/15/2041      31,164,069

26,942,332

    

Federal Home Loan Mortgage Corporation, Series 3910-GZ

   5.00%   >    08/15/2041      30,847,823

5,394,043

    

Federal Home Loan Mortgage Corporation, Series 3910-ZE

   5.00%      10/15/2034      5,986,982

8,974,954

    

Federal Home Loan Mortgage Corporation, Series 3919-KL

   4.50%      09/15/2041      9,755,336

33,191,967

    

Federal Home Loan Mortgage Corporation, Series 3919-ZJ

   4.00%   >    09/15/2041      37,145,774

2,269,595

    

Federal Home Loan Mortgage Corporation, Series 3942-JZ

   4.00%      10/15/2041      2,366,559

9,306,971

    

Federal Home Loan Mortgage Corporation, Series 3944-AZ

   4.00%      10/15/2041      9,747,822

2,973,918

    

Federal Home Loan Mortgage Corporation, Series 3946-SM (-3 x 1 Month LIBOR USD + 14.70%, 14.70% Cap)

   8.62%   I/F    10/15/2041      3,845,363

6,040,637

    

Federal Home Loan Mortgage Corporation, Series 3957-DZ

   3.50%      11/15/2041      6,285,494

25,241,586

    

Federal Home Loan Mortgage Corporation, Series 3969-AB

   4.00%      10/15/2033      26,487,940

12,087,372

    

Federal Home Loan Mortgage Corporation, Series 3982-AZ

   3.50%      01/15/2042      13,081,590

65,682,591

    

Federal Home Loan Mortgage Corporation, Series 3990-ZA

   3.50%   >    01/15/2042      71,851,231

13,150,896

    

Federal Home Loan Mortgage Corporation, Series 3999-EZ

   4.00%      02/15/2042      14,059,108

56,854,679

    

Federal Home Loan Mortgage Corporation, Series 3999-ZB

   4.00%   >    02/15/2042      63,210,634

32,236,506

    

Federal Home Loan Mortgage Corporation, Series 4016-KZ

   4.00%   >    03/15/2042      35,820,831

11,814,173

    

Federal Home Loan Mortgage Corporation, Series 4050-BC

   2.00%      05/15/2041      11,724,702

7,277,361

    

Federal Home Loan Mortgage Corporation, Series 4050-ND

   2.50%      09/15/2041      7,309,644

80,146,988

    

Federal Home Loan Mortgage Corporation, Series 4057-ZA

   4.00%   >    06/15/2042      88,924,638

79,854,092

    

Federal Home Loan Mortgage Corporation, Series 4084-TZ

   4.00%   >    07/15/2042      89,080,226

4,760,566

    

Federal Home Loan Mortgage Corporation, Series 4097-TG

   2.00%      05/15/2039      4,768,538

44,121,086

    

Federal Home Loan Mortgage Corporation, Series 4097-ZA

   3.50%   >    08/15/2042      48,267,321

97,063,000

    

Federal Home Loan Mortgage Corporation, Series 4109-GE

   4.50%      10/15/2041      105,154,531

1,764,624

    

Federal Home Loan Mortgage Corporation, Series 4109-KD

   3.00%      05/15/2032      1,766,278

4,618,325

    

Federal Home Loan Mortgage Corporation, Series 4121-AV

   3.00%      12/15/2035      4,764,320

37,432,944

    

Federal Home Loan Mortgage Corporation, Series 4160-HP

   2.50%      01/15/2033      38,046,544

30,988,900

    

Federal Home Loan Mortgage Corporation, Series 4162-ZJ

   3.00%   >    02/15/2033      31,268,178

6,525,700

    

Federal Home Loan Mortgage Corporation, Series 4165-ZT

   3.00%   >    02/15/2043      6,649,616

45,251,216

    

Federal Home Loan Mortgage Corporation, Series 4174-Z

   3.50%   >    03/15/2043      49,018,751

114,471,328

    

Federal Home Loan Mortgage Corporation, Series 4179-AZ

   4.00%   >    01/15/2041      125,000,607

32,787,407

    

Federal Home Loan Mortgage Corporation, Series 4183-ZB

   3.00%   >    03/15/2043      33,675,294

17,568,426

    

Federal Home Loan Mortgage Corporation, Series 4186-ZJ

   3.00%   >    03/15/2033      17,853,720

13,000,000

    

Federal Home Loan Mortgage Corporation, Series 4189-ML

   3.00%      04/15/2038      13,408,564

158,263,310

    

Federal Home Loan Mortgage Corporation, Series 4212-US (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

   2.88%   I/F    06/15/2043      158,814,842

4,914,283

    

Federal Home Loan Mortgage Corporation, Series 4215-KC

   2.25%      03/15/2038      4,920,731


69,731,625

    

Federal Home Loan Mortgage Corporation, Series 4223-US (-1 x 1 Month LIBOR USD + 5.43%, 5.43% Cap)

   2.90%   I/F    07/15/2043      70,874,652

25,584,552

    

Federal Home Loan Mortgage Corporation, Series 4223-ZV

   4.00%   >    07/15/2043      28,358,654

30,729,599

    

Federal Home Loan Mortgage Corporation, Series 4229-TZ

   3.00%   >    06/15/2043      31,150,041

31,980,690

    

Federal Home Loan Mortgage Corporation, Series 4229-ZA

   4.00%   >    07/15/2043      35,485,214

21,059,784

    

Federal Home Loan Mortgage Corporation, Series 4249-CS (-1 x 1 Month LIBOR USD + 4.65%, 4.65% Cap)

   3.07%   I/F    09/15/2043      20,304,938

22,846,878

    

Federal Home Loan Mortgage Corporation, Series 4250-BZ

   3.00%   >    09/15/2033      23,263,457

23,647,945

    

Federal Home Loan Mortgage Corporation, Series 4267-BZ

   4.00%   >    10/15/2040      25,213,844

22,572,305

    

Federal Home Loan Mortgage Corporation, Series 4283-ZL

   3.00%   >    08/15/2033      23,334,089

45,481,625

    

Federal Home Loan Mortgage Corporation, Series 4323-GA

   3.00%      06/15/2040      46,119,369

19,731,957

    

Federal Home Loan Mortgage Corporation, Series 4355-ZX

   4.00%   >    05/15/2044      21,957,465

21,070,226

    

Federal Home Loan Mortgage Corporation, Series 4360-KA

   3.00%      05/15/2040      21,469,734

32,379,653

    

Federal Home Loan Mortgage Corporation, Series 4375-CG

   3.00%      04/15/2039      32,824,857

15,721,031

    

Federal Home Loan Mortgage Corporation, Series 4376-GZ

   3.00%   >    08/15/2044      16,303,187

49,980,959

    

Federal Home Loan Mortgage Corporation, Series 4377-LZ

   3.00%   >    08/15/2044      50,957,517

54,728,387

    

Federal Home Loan Mortgage Corporation, Series 4377-UZ

   3.00%      08/15/2044      56,200,384

4,066,245

    

Federal Home Loan Mortgage Corporation, Series 4379-KA

   3.00%      08/15/2044      4,193,047

17,324,842

    

Federal Home Loan Mortgage Corporation, Series 4384-A

   3.00%      12/15/2040      17,676,701

27,320,422

    

Federal Home Loan Mortgage Corporation, Series 4384-ZY

   3.00%   >    09/15/2044      28,004,481

1,544,242

    

Federal Home Loan Mortgage Corporation, Series 4386-US (-2 x 1 Month LIBOR USD + 8.14%, 8.14% Cap)

   4.46%   I/F    09/15/2044      1,558,632

144,458,520

    

Federal Home Loan Mortgage Corporation, Series 4390-NY

   3.00%      06/15/2040      147,279,997

138,464,720

    

Federal Home Loan Mortgage Corporation, Series 4390-NZ

   3.00%   >    09/15/2044      142,265,923

37,578,743

    

Federal Home Loan Mortgage Corporation, Series 4391-MA

   3.00%      07/15/2040      38,287,996

53,979,491

    

Federal Home Loan Mortgage Corporation, Series 4408-PB

   3.00%      04/15/2044      54,858,785

66,193,252

    

Federal Home Loan Mortgage Corporation, Series 4427-CE

   3.00%      02/15/2034      67,731,815

44,501,552

    

Federal Home Loan Mortgage Corporation, Series 4427-MA

   3.00%      02/15/2034      45,688,537

27,581,232

    

Federal Home Loan Mortgage Corporation, Series 4427-PS (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

   3.57%   I/F I/O    07/15/2044      3,670,979

36,777,712

    

Federal Home Loan Mortgage Corporation, Series 4429-HA

   3.00%      04/15/2034      37,913,455

26,385,711

    

Federal Home Loan Mortgage Corporation, Series 4434-LZ

   3.00%   >    02/15/2045      26,865,667

8,734,433

    

Federal Home Loan Mortgage Corporation, Series 4438-B

   3.00%      10/15/2043      8,974,054

9,865,962

    

Federal Home Loan Mortgage Corporation, Series 4441-VZ

   3.00%   >    02/15/2045      10,042,742

40,399,206

    

Federal Home Loan Mortgage Corporation, Series 4444-CH

   3.00%      01/15/2041      41,204,346

28,680,121

    

Federal Home Loan Mortgage Corporation, Series 4444-CZ

   3.00%   >    02/15/2045      29,741,532

39,157,079

    

Federal Home Loan Mortgage Corporation, Series 4447-A

   3.00%      06/15/2041      39,984,860

27,527,758

    

Federal Home Loan Mortgage Corporation, Series 4447-YZ

   4.00%   >    08/15/2043      30,455,886

8,582,580

    

Federal Home Loan Mortgage Corporation, Series 4450-JZ

   3.00%   >    03/15/2045      8,718,478

7,463,708

    

Federal Home Loan Mortgage Corporation, Series 4461-LZ

   3.00%   >    03/15/2045      7,572,813

8,803,173

    

Federal Home Loan Mortgage Corporation, Series 4462-ZA

   3.00%   >    04/15/2045      9,014,525

51,367,062

    

Federal Home Loan Mortgage Corporation, Series 4463-ZC

   3.00%   >    04/15/2045      52,670,984

28,537,257

    

Federal Home Loan Mortgage Corporation, Series 4467-ZA

   3.00%   >    04/15/2045      29,279,368

129,061,127

    

Federal Home Loan Mortgage Corporation, Series 4471-BA

   3.00%      12/15/2041      132,383,238

112,225,808

    

Federal Home Loan Mortgage Corporation, Series 4471-BC

   3.00%      12/15/2041      115,114,568

103,547,332

    

Federal Home Loan Mortgage Corporation, Series 4471-GA

   3.00%      02/15/2044      106,690,263

46,383,850

    

Federal Home Loan Mortgage Corporation, Series 4481-B

   3.00%      12/15/2042      47,516,098

179,450,157

    

Federal Home Loan Mortgage Corporation, Series 4483-CA

   3.00%      06/15/2044      184,353,596

78,332,615

    

Federal Home Loan Mortgage Corporation, Series 4483-PA

   2.50%      06/15/2045      79,040,022

17,037,062

    

Federal Home Loan Mortgage Corporation, Series 4484-ZL

   3.00%   >    06/15/2045      17,277,901

9,254,062

    

Federal Home Loan Mortgage Corporation, Series 4492-GZ

   3.50%   >    07/15/2045      9,862,694

30,752,259

    

Federal Home Loan Mortgage Corporation, Series 4498-PD

   2.50%      08/15/2042      31,040,491

26,240,654

    

Federal Home Loan Mortgage Corporation, Series 4499-AB

   3.00%      06/15/2042      26,844,913

42,522,366

    

Federal Home Loan Mortgage Corporation, Series 4504-CA

   3.00%      04/15/2044      43,707,630

41,806,155

    

Federal Home Loan Mortgage Corporation, Series 4510-HB

   2.00%      03/15/2040      41,485,121

23,218,896

    

Federal Home Loan Mortgage Corporation, Series 4511-QA

   3.00%      01/15/2041      23,536,303

20,552,547

    

Federal Home Loan Mortgage Corporation, Series 4511-QC

   3.00%      12/15/2040      20,836,016

123,561,442

    

Federal Home Loan Mortgage Corporation, Series 4527-CA

   3.00%      02/15/2044      127,158,736

54,820,464

    

Federal Home Loan Mortgage Corporation, Series 4527-GA

   3.00%      02/15/2044      56,136,649

116,670,537

    

Federal Home Loan Mortgage Corporation, Series 4533-AB

   3.00%      06/15/2044      119,381,622

108,231,139

    

Federal Home Loan Mortgage Corporation, Series 4543-HG

   2.70%      04/15/2044      109,531,536

173,221,785

    

Federal Home Loan Mortgage Corporation, Series 4573-CA

   3.00%      11/15/2044      178,520,034

53,940,777

    

Federal Home Loan Mortgage Corporation, Series 4573-DA

   3.00%      03/15/2045      55,628,563

119,916,330

    

Federal Home Loan Mortgage Corporation, Series 4582-HA

   3.00%      09/15/2045      123,851,960

69,461,825

    

Federal Home Loan Mortgage Corporation, Series 4588-DA

   3.00%      02/15/2044      70,861,495

65,512,823

    

Federal Home Loan Mortgage Corporation, Series 4629-KA

   3.00%      03/15/2045      66,857,578

52,633,822

    

Federal Home Loan Mortgage Corporation, Series 4738-LA

   3.00%      11/15/2043      53,864,612

42,938,870

    

Federal Home Loan Mortgage Corporation, Series 4744-KA

   3.00%      08/15/2046      44,396,820

57,111,243

    

Federal Home Loan Mortgage Corporation, Series 4750-PA

   3.00%      07/15/2046      58,020,699

86,815,263

    

Federal Home Loan Mortgage Corporation, Series 4752-PL

   3.00%      09/15/2046      89,781,723

60,580,210

    

Federal Home Loan Mortgage Corporation, Series 4763-QA

   3.00%      06/15/2043      61,517,211

62,396,258

    

Federal Home Loan Mortgage Corporation, Series 4766-JA

   3.00%      07/15/2044      63,683,305

460,805,195

    

Federal Home Loan Mortgage Corporation, Series 4791-JT

   3.00%      05/15/2048      470,406,900

29,148,652

    

Federal Home Loan Mortgage Corporation, Series 4791-LO

   0.00%   P/O    05/15/2048      27,156,013

89,042,616

    

Federal Home Loan Mortgage Corporation, Series 4791-PO

   0.00%   P/O    05/15/2048      82,857,680

99,805,712

    

Federal Home Loan Mortgage Corporation, Series 4792-A

   3.00%      05/15/2048      101,319,086

43,869,197

    

Federal Home Loan Mortgage Corporation, Series 4793-C

   3.00%      06/15/2048      44,714,144

44,770,093

    

Federal Home Loan Mortgage Corporation, Series 4795-AO

   0.00%   P/O    05/15/2048      41,860,109

46,938,658

    

Federal Home Loan Mortgage Corporation, Series 4801-OG

   0.00%   P/O    06/15/2048      43,833,793

29,634,834

    

Federal Home Loan Mortgage Corporation, Series 4901-BD

   3.00%      07/25/2049      30,429,391

55,842,124

    

Federal Home Loan Mortgage Corporation, Series R003-ZA

   5.50%      10/15/2035      63,029,637

8,001,279

    

Federal National Mortgage Association Pass-Thru, Pool 555743

   5.00%      09/01/2033      8,837,583

6,031,069

    

Federal National Mortgage Association Pass-Thru, Pool 735382

   5.00%      04/01/2035      6,662,701

9,917,893

    

Federal National Mortgage Association Pass-Thru, Pool 735402

   5.00%      04/01/2035      10,956,377

6,967,519

    

Federal National Mortgage Association Pass-Thru, Pool 735484

   5.00%      05/01/2035      7,695,979

2,723,717

    

Federal National Mortgage Association Pass-Thru, Pool 735667

   5.00%      07/01/2035      3,008,468

2,249,325

    

Federal National Mortgage Association Pass-Thru, Pool 735893

   5.00%      10/01/2035      2,485,591

5,568,050

    

Federal National Mortgage Association Pass-Thru, Pool 745275

   5.00%      02/01/2036      6,152,917

227,540

    

Federal National Mortgage Association Pass-Thru, Pool 888695

   5.00%      08/01/2037      250,979

1,338,769

    

Federal National Mortgage Association Pass-Thru, Pool 888968

   5.00%      08/01/2035      1,479,275

11,331,342

    

Federal National Mortgage Association Pass-Thru, Pool 890549

   4.00%      11/01/2043      12,130,880

13,922,255

    

Federal National Mortgage Association Pass-Thru, Pool 890565

   3.00%      11/01/2043      14,353,851

721,305

    

Federal National Mortgage Association Pass-Thru, Pool 931104

   5.00%      05/01/2039      794,864

182,030

    

Federal National Mortgage Association Pass-Thru, Pool 975116

   5.00%      05/01/2038      201,016

1,502,503

    

Federal National Mortgage Association Pass-Thru, Pool 986864

   6.50%      08/01/2038      1,744,500

1,163,940

    

Federal National Mortgage Association Pass-Thru, Pool 987316

   6.50%      09/01/2038      1,365,512

10,796,422

    

Federal National Mortgage Association Pass-Thru, Pool 995203

   5.00%      07/01/2035      11,925,859

18,070,038

    

Federal National Mortgage Association Pass-Thru, Pool 995849

   5.00%      08/01/2036      19,963,389

16,448,960

    

Federal National Mortgage Association Pass-Thru, Pool AB2123

   4.00%      01/01/2031      17,432,411

209,902

    

Federal National Mortgage Association Pass-Thru, Pool AB2370

   4.50%      09/01/2035      218,099

1,437,955

    

Federal National Mortgage Association Pass-Thru, Pool AB3713

   4.00%      10/01/2031      1,523,816

9,053,379

    

Federal National Mortgage Association Pass-Thru, Pool AB3796

   3.50%      11/01/2031      9,424,379

4,274,611

    

Federal National Mortgage Association Pass-Thru, Pool AB3850

   4.00%      11/01/2041      4,420,493

5,783,678

    

Federal National Mortgage Association Pass-Thru, Pool AB3923

   4.00%      11/01/2041      5,980,751

30,050,593

    

Federal National Mortgage Association Pass-Thru, Pool AB4167

   3.50%      01/01/2032      31,282,168

28,640,055

    

Federal National Mortgage Association Pass-Thru, Pool AB4261

   3.50%      01/01/2032      29,807,300

5,402,417

    

Federal National Mortgage Association Pass-Thru, Pool AB5084

   3.50%      05/01/2032      5,623,813

9,955,201

    

Federal National Mortgage Association Pass-Thru, Pool AB5156

   3.50%      05/01/2032      10,363,207

17,434,247

    

Federal National Mortgage Association Pass-Thru, Pool AB5212

   3.50%      05/01/2032      18,142,793

8,297,666

    

Federal National Mortgage Association Pass-Thru, Pool AB5243

   4.00%      05/01/2042      8,582,426

25,634,476

    

Federal National Mortgage Association Pass-Thru, Pool AB5911

   3.00%      08/01/2032      26,443,229

7,521,064

    

Federal National Mortgage Association Pass-Thru, Pool AB6280

   3.00%      09/01/2042      7,749,963

11,231,094

    

Federal National Mortgage Association Pass-Thru, Pool AB6349

   3.00%      10/01/2032      11,585,473

32,837,812

    

Federal National Mortgage Association Pass-Thru, Pool AB6750

   3.00%      10/01/2032      33,869,346

16,216,501

    

Federal National Mortgage Association Pass-Thru, Pool AB6751

   3.00%      10/01/2032      16,666,913

102,941,234

    

Federal National Mortgage Association Pass-Thru, Pool AB6854

   3.00%      11/01/2042      106,135,238

72,228,875

    

Federal National Mortgage Association Pass-Thru, Pool AB7077

   3.00%      11/01/2042      74,470,052


54,908,406

    

Federal National Mortgage Association Pass-Thru, Pool AB7344

   3.00%      12/01/2032      56,641,074

26,794,838

    

Federal National Mortgage Association Pass-Thru, Pool AB7776

   3.00%      02/01/2043      27,609,977

32,022,032

    

Federal National Mortgage Association Pass-Thru, Pool AB7877

   3.00%      02/01/2043      32,994,814

14,175,056

    

Federal National Mortgage Association Pass-Thru, Pool AB8418

   3.00%      02/01/2033      14,622,410

20,141,775

    

Federal National Mortgage Association Pass-Thru, Pool AB8520

   3.00%      02/01/2033      20,775,744

25,046,862

    

Federal National Mortgage Association Pass-Thru, Pool AB8703

   3.00%      03/01/2038      25,821,076

11,787,495

    

Federal National Mortgage Association Pass-Thru, Pool AB8858

   3.00%      04/01/2033      12,159,530

22,185,466

    

Federal National Mortgage Association Pass-Thru, Pool AB9020

   3.00%      04/01/2038      22,873,226

18,715,263

    

Federal National Mortgage Association Pass-Thru, Pool AB9197

   3.00%      05/01/2033      19,306,015

55,571,353

    

Federal National Mortgage Association Pass-Thru, Pool AB9406

   3.00%      05/01/2033      57,318,922

10,930,961

    

Federal National Mortgage Association Pass-Thru, Pool AB9409

   3.00%      05/01/2033      11,275,975

818,797

    

Federal National Mortgage Association Pass-Thru, Pool AD2177

   4.50%      06/01/2030      877,691

905,399

    

Federal National Mortgage Association Pass-Thru, Pool AD6438

   5.00%      06/01/2040      994,340

670,424

    

Federal National Mortgage Association Pass-Thru, Pool AD7859

   5.00%      06/01/2040      735,906

7,909,576

    

Federal National Mortgage Association Pass-Thru, Pool AH0607

   4.00%      12/01/2040      8,453,817

868,289

    

Federal National Mortgage Association Pass-Thru, Pool AH1140

   4.50%      12/01/2040      910,309

7,861,794

    

Federal National Mortgage Association Pass-Thru, Pool AH4437

   4.00%      01/01/2041      8,130,005

1,660,448

    

Federal National Mortgage Association Pass-Thru, Pool AH7309

   4.00%      02/01/2031      1,759,566

6,222,600

    

Federal National Mortgage Association Pass-Thru, Pool AH9323

   4.00%      04/01/2026      6,503,428

492,049

    

Federal National Mortgage Association Pass-Thru, Pool AI8889

   4.00%      08/01/2041      508,962

4,635,428

    

Federal National Mortgage Association Pass-Thru, Pool AI9831

   4.00%      09/01/2041      4,793,039

897,931

    

Federal National Mortgage Association Pass-Thru, Pool AJ1265

   4.00%      09/01/2041      927,154

1,913,834

    

Federal National Mortgage Association Pass-Thru, Pool AJ1399

   4.00%      09/01/2041      1,977,910

4,692,805

    

Federal National Mortgage Association Pass-Thru, Pool AJ1467

   4.00%      10/01/2041      4,852,232

3,381,848

    

Federal National Mortgage Association Pass-Thru, Pool AJ3392

   4.00%      10/01/2041      3,494,287

1,823,550

    

Federal National Mortgage Association Pass-Thru, Pool AJ3854

   4.00%      10/01/2041      1,886,146

21,677,789

    

Federal National Mortgage Association Pass-Thru, Pool AJ4118

   4.00%      11/01/2041      22,416,394

4,902,010

    

Federal National Mortgage Association Pass-Thru, Pool AJ4131

   4.00%      10/01/2041      5,068,896

1,183,293

    

Federal National Mortgage Association Pass-Thru, Pool AJ5172

   4.00%      11/01/2041      1,223,897

26,334,773

    

Federal National Mortgage Association Pass-Thru, Pool AJ5322

   4.00%      11/01/2041      28,153,128

15,916,470

    

Federal National Mortgage Association Pass-Thru, Pool AJ7677

   3.50%      12/01/2041      16,236,132

2,263,389

    

Federal National Mortgage Association Pass-Thru, Pool AJ8334

   4.00%      12/01/2041      2,340,430

28,181,013

    

Federal National Mortgage Association Pass-Thru, Pool AK0713

   3.50%      01/01/2032      29,335,776

7,402,217

    

Federal National Mortgage Association Pass-Thru, Pool AK4039

   4.00%      02/01/2042      7,656,070

5,321,297

    

Federal National Mortgage Association Pass-Thru, Pool AK4763

   4.00%      02/01/2042      5,504,034

6,089,385

    

Federal National Mortgage Association Pass-Thru, Pool AK9438

   4.00%      03/01/2042      6,298,171

6,508,419

    

Federal National Mortgage Association Pass-Thru, Pool AK9439

   4.00%      03/01/2042      6,731,258

618,535

    

Federal National Mortgage Association Pass-Thru, Pool AK9446

   4.50%      03/01/2042      643,508

108,487,382

    

Federal National Mortgage Association Pass-Thru, Pool AL3699

   3.00%      06/01/2043      111,776,543

55,120,136

    

Federal National Mortgage Association Pass-Thru, Pool AL3883

   3.00%      07/01/2043      56,792,127

2,680,921

    

Federal National Mortgage Association Pass-Thru, Pool AL4292

   4.50%      04/01/2026      2,797,921

8,860,361

    

Federal National Mortgage Association Pass-Thru, Pool AL4312

   4.00%      10/01/2043      9,489,121

21,455,683

    

Federal National Mortgage Association Pass-Thru, Pool AL6075

   3.50%      09/01/2053      21,701,906

28,958,070

    

Federal National Mortgage Association Pass-Thru, Pool AL6076

   3.00%      06/01/2053      28,952,470

73,610,540

    

Federal National Mortgage Association Pass-Thru, Pool AL6141

   4.00%      04/01/2042      78,868,648

55,486,189

    

Federal National Mortgage Association Pass-Thru, Pool AL6325

   3.00%      10/01/2044      57,165,811

22,514,618

    

Federal National Mortgage Association Pass-Thru, Pool AL6486

   4.50%      02/01/2045      24,211,277

62,236,021

    

Federal National Mortgage Association Pass-Thru, Pool AL6538

   4.50%      06/01/2044      67,462,484

53,710,873

    

Federal National Mortgage Association Pass-Thru, Pool AL8304

   3.50%      03/01/2046      56,514,910

25,885,023

    

Federal National Mortgage Association Pass-Thru, Pool AO2980

   4.00%      05/01/2042      26,774,690

61,521,159

    

Federal National Mortgage Association Pass-Thru, Pool AP4787

   3.50%      09/01/2042      62,756,246

56,261,424

    

Federal National Mortgage Association Pass-Thru, Pool AP4789

   3.50%      09/01/2042      57,388,010

15,704,452

    

Federal National Mortgage Association Pass-Thru, Pool AQ5541

   3.00%      12/01/2042      16,191,732

17,573,108

    

Federal National Mortgage Association Pass-Thru, Pool AR9856

   3.00%      04/01/2043      18,118,454

22,278,290

    

Federal National Mortgage Association Pass-Thru, Pool AS1927

   4.50%      03/01/2044      23,964,565

22,063,924

    

Federal National Mortgage Association Pass-Thru, Pool AS2038

   4.50%      03/01/2044      23,736,274

19,497,014

    

Federal National Mortgage Association Pass-Thru, Pool AS2517

   4.50%      05/01/2044      20,965,554

9,039,331

    

Federal National Mortgage Association Pass-Thru, Pool AS2551

   4.50%      06/01/2044      9,683,999

7,560,794

    

Federal National Mortgage Association Pass-Thru, Pool AS2765

   4.50%      07/01/2044      8,065,347

31,914,487

    

Federal National Mortgage Association Pass-Thru, Pool AS3201

   3.00%      08/01/2034      32,915,716

14,604,339

    

Federal National Mortgage Association Pass-Thru, Pool AS3456

   3.00%      10/01/2034      15,062,999

29,337,052

    

Federal National Mortgage Association Pass-Thru, Pool AS3666

   3.00%      10/01/2034      30,259,421

135,189,988

    

Federal National Mortgage Association Pass-Thru, Pool AS3961

   3.00%      12/01/2044      138,671,699

42,469,976

    

Federal National Mortgage Association Pass-Thru, Pool AS4154

   3.00%      12/01/2044      43,540,526

24,328,480

    

Federal National Mortgage Association Pass-Thru, Pool AS4212

   3.00%      01/01/2035      25,033,352

38,118,958

    

Federal National Mortgage Association Pass-Thru, Pool AS4281

   3.00%      01/01/2035      39,222,823

26,951,863

    

Federal National Mortgage Association Pass-Thru, Pool AS4345

   3.50%      01/01/2045      28,324,337

29,113,312

    

Federal National Mortgage Association Pass-Thru, Pool AS4360

   3.00%      01/01/2035      29,956,668

264,783,458

    

Federal National Mortgage Association Pass-Thru, Pool AS4625

   3.00%      03/01/2045      271,392,323

108,760,103

    

Federal National Mortgage Association Pass-Thru, Pool AS4645

   3.00%      03/01/2045      111,458,970

36,568,390

    

Federal National Mortgage Association Pass-Thru, Pool AS4779

   3.00%      04/01/2035      37,630,014

35,352,570

    

Federal National Mortgage Association Pass-Thru, Pool AS4780

   3.00%      04/01/2035      36,379,408

47,798,172

    

Federal National Mortgage Association Pass-Thru, Pool AS4840

   3.00%      04/01/2035      49,186,382

23,462,332

    

Federal National Mortgage Association Pass-Thru, Pool AS4881

   3.00%      05/01/2035      24,143,691

24,524,634

    

Federal National Mortgage Association Pass-Thru, Pool AS4882

   3.00%      05/01/2035      25,236,711

52,395,786

    

Federal National Mortgage Association Pass-Thru, Pool AX9696

   3.00%      07/01/2045      52,902,045

64,173,418

    

Federal National Mortgage Association Pass-Thru, Pool AY3974

   3.00%      03/01/2045      65,763,632

20,691,879

    

Federal National Mortgage Association Pass-Thru, Pool AY4295

   3.00%      02/01/2045      20,890,351

11,539,028

    

Federal National Mortgage Association Pass-Thru, Pool AY4296

   3.00%      01/01/2045      11,649,638

12,138,741

    

Federal National Mortgage Association Pass-Thru, Pool AY5471

   3.00%      03/01/2045      12,255,417

19,128,144

    

Federal National Mortgage Association Pass-Thru, Pool BC0785

   3.50%      04/01/2046      20,126,858

47,934,170

    

Federal National Mortgage Association Pass-Thru, Pool BC9003

   3.00%      11/01/2046      49,124,884

2,069,947

    

Federal National Mortgage Association Pass-Thru, Pool MA0264

   4.50%      12/01/2029      2,206,689

7,581,712

    

Federal National Mortgage Association Pass-Thru, Pool MA0353

   4.50%      03/01/2030      8,132,949

1,629,400

    

Federal National Mortgage Association Pass-Thru, Pool MA0406

   4.50%      05/01/2030      1,747,820

111,026

    

Federal National Mortgage Association Pass-Thru, Pool MA0445

   5.00%      06/01/2040      116,701

61,796

    

Federal National Mortgage Association Pass-Thru, Pool MA0459

   4.00%      07/01/2020      64,271

226,369

    

Federal National Mortgage Association Pass-Thru, Pool MA0468

   5.00%      07/01/2040      237,914

226,856

    

Federal National Mortgage Association Pass-Thru, Pool MA0502

   4.00%      08/01/2020      235,944

125,105

    

Federal National Mortgage Association Pass-Thru, Pool MA0517

   4.00%      09/01/2020      130,117

2,406,876

    

Federal National Mortgage Association Pass-Thru, Pool MA0534

   4.00%      10/01/2030      2,550,502

792,340

    

Federal National Mortgage Association Pass-Thru, Pool MA0536

   4.00%      10/01/2020      824,081

1,134,905

    

Federal National Mortgage Association Pass-Thru, Pool MA0580

   4.00%      11/01/2020      1,180,370

530,573

    

Federal National Mortgage Association Pass-Thru, Pool MA0587

   4.00%      12/01/2030      562,287

12,941,038

    

Federal National Mortgage Association Pass-Thru, Pool MA0616

   4.00%      01/01/2031      13,715,354

5,280,240

    

Federal National Mortgage Association Pass-Thru, Pool MA0896

   4.00%      11/01/2041      5,460,629

100,243,059

    

Federal National Mortgage Association Pass-Thru, Pool MA0919

   3.50%      12/01/2031      104,343,699

43,063,009

    

Federal National Mortgage Association Pass-Thru, Pool MA0949

   3.50%      01/01/2032      44,825,209

51,995,579

    

Federal National Mortgage Association Pass-Thru, Pool MA0976

   3.50%      02/01/2032      54,123,125

25,694,443

    

Federal National Mortgage Association Pass-Thru, Pool MA1010

   3.50%      03/01/2032      26,746,224

8,210,818

    

Federal National Mortgage Association Pass-Thru, Pool MA1039

   3.50%      04/01/2042      8,375,898

35,110,265

    

Federal National Mortgage Association Pass-Thru, Pool MA1059

   3.50%      05/01/2032      36,545,805

5,219,951

    

Federal National Mortgage Association Pass-Thru, Pool MA1068

   3.50%      05/01/2042      5,324,111

74,107,149

    

Federal National Mortgage Association Pass-Thru, Pool MA1084

   3.50%      06/01/2032      77,094,222

11,875,843

    

Federal National Mortgage Association Pass-Thru, Pool MA1093

   3.50%      06/01/2042      12,114,190

8,451,721

    

Federal National Mortgage Association Pass-Thru, Pool MA1094

   4.00%      06/01/2042      8,739,735

45,254,237

    

Federal National Mortgage Association Pass-Thru, Pool MA1107

   3.50%      07/01/2032      47,107,175

115,571,137

    

Federal National Mortgage Association Pass-Thru, Pool MA1117

   3.50%      07/01/2042      117,895,110

133,181,784

    

Federal National Mortgage Association Pass-Thru, Pool MA1136

   3.50%      08/01/2042      135,851,336

30,395,934

    

Federal National Mortgage Association Pass-Thru, Pool MA1138

   3.50%      08/01/2032      31,639,636

35,070,508

    

Federal National Mortgage Association Pass-Thru, Pool MA1179

   3.50%      09/01/2042      35,774,115

5,883,655

    

Federal National Mortgage Association Pass-Thru, Pool MA1201

   3.50%      10/01/2032      6,124,880

76,836,891

    

Federal National Mortgage Association Pass-Thru, Pool MA1209

   3.50%      10/01/2042      78,380,194


38,831,376

    

Federal National Mortgage Association Pass-Thru, Pool MA1237

   3.00%      11/01/2032      40,333,727

4,884,635

    

Federal National Mortgage Association Pass-Thru, Pool MA1242

   3.50%      11/01/2042      4,982,298

21,360,191

    

Federal National Mortgage Association Pass-Thru, Pool MA1338

   3.00%      02/01/2033      22,033,987

83,569,342

    

Federal National Mortgage Association Pass-Thru, Pool MA1366

   3.00%      03/01/2033      86,206,670

51,313,250

    

Federal National Mortgage Association Pass-Thru, Pool MA1401

   3.00%      04/01/2033      52,932,712

88,317,663

    

Federal National Mortgage Association Pass-Thru, Pool MA1459

   3.00%      06/01/2033      91,102,430

11,275,028

    

Federal National Mortgage Association Pass-Thru, Pool MA1490

   3.00%      07/01/2033      11,630,526

63,789,553

    

Federal National Mortgage Association Pass-Thru, Pool MA2018

   3.50%      09/01/2034      66,392,462

25,478,765

    

Federal National Mortgage Association Pass-Thru, Pool MA2114

   3.50%      12/01/2044      25,986,271

20,325,786

    

Federal National Mortgage Association Pass-Thru, Pool MA2151

   3.50%      01/01/2045      20,730,242

37,431,863

    

Federal National Mortgage Association Pass-Thru, Pool MA2164

   3.50%      02/01/2035      38,960,404

81,822,534

    

Federal National Mortgage Association Pass-Thru, Pool MA2166

   3.50%      02/01/2045      83,452,476

87,913,019

    

Federal National Mortgage Association Pass-Thru, Pool MA2248

   3.00%      04/01/2045      88,758,918

89,290,400

    

Federal National Mortgage Association Pass-Thru, Pool MA2270

   3.00%      05/01/2045      90,149,477

108,339,508

    

Federal National Mortgage Association Pass-Thru, Pool MA2650

   3.50%      06/01/2046      110,491,952

41,405,416

    

Federal National Mortgage Association Pass-Thru, Pool MA2833

   3.00%      12/01/2046      42,432,788

6,981,650

    

Federal National Mortgage Association Pass-Thru, Pool MA3894

   4.00%      09/01/2031      7,399,069

29,007,194

    

Federal National Mortgage Association, Pool AL9220

   3.00%      06/01/2045      29,906,476

46,715,195

    

Federal National Mortgage Association, Pool AL9445

   3.00%      07/01/2031      48,224,956

14,736,960

    

Federal National Mortgage Association, Pool AN1210

   2.85%      05/01/2031      15,542,258

10,026,000

    

Federal National Mortgage Association, Pool AN7452

   3.12%      11/01/2032      10,804,986

69,140,552

    

Federal National Mortgage Association, Pool AS7473

   3.00%      07/01/2046      69,805,837

154,869,144

    

Federal National Mortgage Association, Pool AS7661

   3.00%      08/01/2046      156,357,853

65,584,518

    

Federal National Mortgage Association, Pool AS8056

   3.00%      10/01/2046      67,212,743

86,275,419

    

Federal National Mortgage Association, Pool AS8111

   3.00%      10/01/2041      88,950,323

55,058,622

    

Federal National Mortgage Association, Pool AS8269

   3.00%      11/01/2046      56,426,323

58,049,150

    

Federal National Mortgage Association, Pool AS8306

   3.00%      11/01/2041      59,676,284

83,315,887

    

Federal National Mortgage Association, Pool AS8356

   3.00%      11/01/2046      84,337,825

17,891,699

    

Federal National Mortgage Association, Pool AZ0576

   3.50%      04/01/2042      18,427,229

14,747,504

    

Federal National Mortgage Association, Pool BC9081

   3.00%      12/01/2046      15,148,043

9,948,470

    

Federal National Mortgage Association, Pool BL1851

   3.83%      05/01/2049      11,001,842

10,510,204

    

Federal National Mortgage Association, Pool BL2274

   3.13%      05/01/2031      11,307,225

29,700,000

    

Federal National Mortgage Association, Pool BL2906

   3.19%      07/01/2031      32,117,562

15,825,000

    

Federal National Mortgage Association, Pool BL2923

   3.19%      06/01/2031      17,136,932

27,640,000

    

Federal National Mortgage Association, Pool BL2936

   3.04%      06/01/2031      29,532,056

23,506,500

    

Federal National Mortgage Association, Pool BL3118

   2.87%      07/01/2031      24,959,834

13,650,000

    

Federal National Mortgage Association, Pool BL3145

   3.01%      07/01/2031      14,547,871

7,200,000

    

Federal National Mortgage Association, Pool BL3176

   2.91%      07/01/2031      7,598,661

12,030,000

    

Federal National Mortgage Association, Pool BL3201

   2.95%      07/01/2031      12,742,115

22,260,000

    

Federal National Mortgage Association, Pool BL3240

   2.97%      07/01/2031      23,623,243

9,964,500

    

Federal National Mortgage Association, Pool BL3358

   2.64%      08/01/2029      10,346,894

54,600,000

    

Federal National Mortgage Association, Pool BL3410

   2.85%      08/01/2031      57,489,629

29,436,000

    

Federal National Mortgage Association, Pool BL3450

   2.81%      09/01/2031      30,857,997

13,499,000

    

Federal National Mortgage Association, Pool BL3510

   2.76%      08/01/2031      14,180,875

14,905,000

    

Federal National Mortgage Association, Pool BL3511

   2.76%      08/01/2031      15,663,686

9,419,000

    

Federal National Mortgage Association, Pool BL3512

   2.76%      08/01/2031      9,898,441

39,896,000

    

Federal National Mortgage Association, Pool BL3513

   2.76%      08/01/2031      41,926,765

13,703,000

    

Federal National Mortgage Association, Pool BL3515

   2.76%      08/01/2031      14,400,503

38,400,000

    

Federal National Mortgage Association, Pool BL3516

   2.76%      08/01/2031      40,050,545

10,600,000

    

Federal National Mortgage Association, Pool BL3538

   2.69%      08/01/2029      11,054,178

31,449,024

    

Federal National Mortgage Association, Pool BL3647

   2.69%      08/01/2030      32,549,354

12,937,500

    

Federal National Mortgage Association, Pool BL3671

   2.59%      08/01/2029      13,365,905

32,746,000

    

Federal National Mortgage Association, Pool BL3713

   2.77%      08/01/2031      34,187,084

26,342,000

    

Federal National Mortgage Association, Pool BL3809

   2.67%      09/01/2031      27,238,676

8,983,000

    

Federal National Mortgage Association, Pool BL3838

   2.68%      09/01/2031      9,297,179

50,000,000

    

Federal National Mortgage Association, Pool BL3842

   2.55%      09/01/2031      51,288,371

5,920,000

    

Federal National Mortgage Association, Pool BL3993

   2.63%      09/01/2031      6,137,739

6,476,000

    

Federal National Mortgage Association, Pool BL4020

   2.56%      09/01/2031      6,674,342

27,690,000

    

Federal National Mortgage Association, Pool BL4098

   2.27%      09/01/2029      28,055,520

15,334,000

    

Federal National Mortgage Association, Pool BL4226

   2.44%      09/01/2031      15,618,109

3,330,000

    

Federal National Mortgage Association, Pool BL4330

   2.46%      09/01/2031      3,383,139

30,187,000

    

Federal National Mortgage Association, Pool BL1477

   2.40%      11/25/2031      30,451,136

54,203,000

    

Federal National Mortgage Association, Pool BL1481

   2.40%      10/25/2031      54,677,276

24,380,000

    

Federal National Mortgage Association, Pool BL1489

   2.29%      10/25/2029      24,410,475

25,700,000

    

Federal National Mortgage Association, Pool BL1497

   2.37%      10/25/2031      25,796,375

6,496,000

    

Federal National Mortgage Association, Pool BM6932

   2.37%      10/25/2031      6,512,240

97,696,815

    

Federal National Mortgage Association, Pool BM5112

   3.00%      11/01/2033      100,657,473

56,241,494

    

Federal National Mortgage Association, Pool BM5299

   3.00%      12/01/2046      57,633,428

84,606,907

    

Federal National Mortgage Association, Pool BM5633

   3.00%      07/01/2047      86,701,803

24,404,575

    

Federal National Mortgage Association, Pool BM5834

   3.00%      04/01/2048      24,636,101

41,462,765

    

Federal National Mortgage Association, Pool CA0862

   3.50%      09/01/2047      42,832,686

15,437,573

    

Federal National Mortgage Association, Pool CA3898

   3.00%      07/01/2034      15,921,480

150,328,235

    

Federal National Mortgage Association, Pool FM1000

   3.00%      04/01/2047      153,881,084

106,700,000

    

Federal National Mortgage Association, Pool JM2201

   2.62%      10/25/2031      110,018,370

51,051,000

    

Federal National Mortgage Association, Pool JM2239

   2.37%      10/25/2031      51,362,411

12,561,084

    

Federal National Mortgage Association, Pool JM2243

   2.31%      10/25/2031      12,563,596

3,200,000

    

Federal National Mortgage Association, Pool JM2312

   2.29%      10/25/2031      3,196,480

107,000,000

    

Federal National Mortgage Association, Pool JM2358

   2.41%      10/25/2029      109,150,700

19,250,000

    

Federal National Mortgage Association, Pool JM2367

   2.42%      12/25/2031      19,390,525

102,385,000

    

Federal National Mortgage Association, Pool MA2259

   3.00%      05/01/2035      105,355,341

104,597,320

    

Federal National Mortgage Association, Pool MA2621

   3.50%      05/01/2046      106,678,684

101,252,203

    

Federal National Mortgage Association, Pool MA2649

   3.00%      06/01/2046      102,223,628

35,647,592

    

Federal National Mortgage Association, Pool MA2673

   3.00%      07/01/2046      35,989,062

107,374,987

    

Federal National Mortgage Association, Pool MA2711

   3.00%      08/01/2046      108,403,641

9,919,169

    

Federal National Mortgage Association, Pool MA2743

   3.00%      09/01/2046      10,014,098

136,409,415

    

Federal National Mortgage Association, Pool MA2806

   3.00%      11/01/2046      139,790,942

48,164,602

    

Federal National Mortgage Association, Pool MA2895

   3.00%      02/01/2047      49,358,687

708,312

    

Federal National Mortgage Association, Series 2002-70-QZ

   5.50%      11/25/2032      784,070

1,049,825

    

Federal National Mortgage Association, Series 2002-75-ZG

   5.50%      11/25/2032      1,154,550

14,543,965

    

Federal National Mortgage Association, Series 2003-129-ZT

   5.50%      01/25/2034      16,275,563

2,785,308

    

Federal National Mortgage Association, Series 2003-29-ZL

   5.00%      04/25/2033      3,027,634

1,377,546

    

Federal National Mortgage Association, Series 2003-64-ZG

   5.50%      07/25/2033      1,499,832

11,288,287

    

Federal National Mortgage Association, Series 2003-84-PZ

   5.00%      09/25/2033      12,552,312

9,294,209

    

Federal National Mortgage Association, Series 2003-W17-1A7

   5.75%      08/25/2033      10,166,746

2,740,572

    

Federal National Mortgage Association, Series 2004-46-PJ (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    03/25/2034      278,742

2,697,054

    

Federal National Mortgage Association, Series 2004-51-XP (-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap)

   5.68%   I/F I/O    07/25/2034      524,570

4,409,556

    

Federal National Mortgage Association, Series 2004-W10-A6

   5.75%      08/25/2034      4,915,904

234,060

    

Federal National Mortgage Association, Series 2004-W4-A5

   5.50%      06/25/2034      235,416

195,833

    

Federal National Mortgage Association, Series 2005-107-EG

   4.50%      01/25/2026      204,451

667,843

    

Federal National Mortgage Association, Series 2005-37-ZK

   4.50%      05/25/2035      697,930

4,888,558

    

Federal National Mortgage Association, Series 2005-87-SG (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)

   4.68%   I/F I/O    10/25/2035      854,934

4,096,128

    

Federal National Mortgage Association, Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap)

   4.56%   I/F I/O    10/25/2036      811,863

1,690,682

    

Federal National Mortgage Association, Series 2006-123-LI (-1 x 1 Month LIBOR USD + 6.32%, 6.32% Cap)

   4.30%   I/F I/O    01/25/2037      323,004

1,050,187

    

Federal National Mortgage Association, Series 2006-16-HZ

   5.50%      03/25/2036      1,174,533

6,893,838

    

Federal National Mortgage Association, Series 2006-56-SM (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)

   4.73%   I/F I/O    07/25/2036      1,132,962

848,439

    

Federal National Mortgage Association, Series 2006-93-SN (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)

   4.58%   I/F I/O    10/25/2036      125,538

10,169,186

    

Federal National Mortgage Association, Series 2007-109-VZ

   5.00%      10/25/2035      11,247,965

988,354

    

Federal National Mortgage Association, Series 2007-116-BI (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.23%   I/F I/O    05/25/2037      142,631

6,531,142

    

Federal National Mortgage Association, Series 2007-14-PS (-1 x 1 Month LIBOR USD + 6.81%, 6.81% Cap)

   4.79%   I/F I/O    03/25/2037      1,162,106

3,128,650

    

Federal National Mortgage Association, Series 2007-30-OI (-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap)

   4.42%   I/F I/O    04/25/2037      618,712

425,386

    

Federal National Mortgage Association, Series 2007-30-SI (-1 x 1 Month LIBOR USD + 6.11%, 6.11% Cap)

   4.09%   I/F I/O    04/25/2037      46,069

3,220,834

    

Federal National Mortgage Association, Series 2007-32-SG (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

   4.08%   I/F I/O    04/25/2037      574,472

2,673,760

    

Federal National Mortgage Association, Series 2007-57-SX (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)

   4.60%   I/F I/O    10/25/2036      364,528


3,658,529

    

Federal National Mortgage Association, Series 2007-60-VZ

   6.00%      07/25/2037      4,114,124

2,233,985

    

Federal National Mortgage Association, Series 2007-71-GZ

   6.00%      07/25/2047      2,397,397

3,284,176

    

Federal National Mortgage Association, Series 2007-75-ID (-1 x 1 Month LIBOR USD + 5.87%, 5.87% Cap)

   3.85%   I/F I/O    08/25/2037      597,257

960,503

    

Federal National Mortgage Association, Series 2007-9-SD (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)

   4.63%   I/F I/O    03/25/2037      136,861

502,788

    

Federal National Mortgage Association, Series 2008-27-B

   5.50%      04/25/2038      556,967

3,958,987

    

Federal National Mortgage Association, Series 2008-29-ZA

   4.50%      04/25/2038      4,256,627

7,656,711

    

Federal National Mortgage Association, Series 2008-48-BE

   5.00%      06/25/2034      8,559,394

752,014

    

Federal National Mortgage Association, Series 2008-48-SD (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    06/25/2037      84,448

1,046,652

    

Federal National Mortgage Association, Series 2008-53-LI (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

   4.13%   I/F I/O    07/25/2038      114,826

808,528

    

Federal National Mortgage Association, Series 2008-57-SE (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    02/25/2037      93,229

1,168,257

    

Federal National Mortgage Association, Series 2008-5-MS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.23%   I/F I/O    02/25/2038      143,851

915,677

    

Federal National Mortgage Association, Series 2008-61-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    07/25/2038      87,725

645,184

    

Federal National Mortgage Association, Series 2008-62-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    07/25/2038      87,774

1,870,730

    

Federal National Mortgage Association, Series 2008-65-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    08/25/2038      318,504

843,967

    

Federal National Mortgage Association, Series 2008-81-LP

   5.50%      09/25/2038      921,397

6,787,937

    

Federal National Mortgage Association, Series 2009-106-EZ

   4.50%      01/25/2040      7,222,655

831,512

    

Federal National Mortgage Association, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.23%   I/F I/O    01/25/2040      106,862

549,102

    

Federal National Mortgage Association, Series 2009-16-MZ

   5.00%      03/25/2029      588,908

1,907,131

    

Federal National Mortgage Association, Series 2009-42-SI (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    06/25/2039      223,645

1,176,593

    

Federal National Mortgage Association, Series 2009-42-SX (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    06/25/2039      125,748

792,890

    

Federal National Mortgage Association, Series 2009-47-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

   4.08%   I/F I/O    07/25/2039      90,762

555,434

    

Federal National Mortgage Association, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)

   3.93%   I/F I/O    07/25/2039      56,112

4,937,942

    

Federal National Mortgage Association, Series 2009-49-S (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)

   4.73%   I/F I/O    07/25/2039      783,960

616,598

    

Federal National Mortgage Association, Series 2009-51-BZ

   4.50%      07/25/2039      642,207

1,842,196

    

Federal National Mortgage Association, Series 2009-54-EZ

   5.00%      07/25/2039      1,951,825

805,578

    

Federal National Mortgage Association, Series 2009-70-SA (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap)

   3.78%   I/F I/O    09/25/2039      91,954

4,402,735

    

Federal National Mortgage Association, Series 2009-80-PM

   4.50%      10/25/2039      4,844,765

2,917,555

    

Federal National Mortgage Association, Series 2009-83-Z

   4.50%      10/25/2039      3,038,650

11,324,766

    

Federal National Mortgage Association, Series 2009-85-ES (-1 x 1 Month LIBOR USD + 7.23%, 7.23% Cap)

   5.21%   I/F I/O    01/25/2036      2,207,938

15,099,598

    

Federal National Mortgage Association, Series 2009-85-JS (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)

   4.73%   I/F I/O    10/25/2039      3,134,707

1,275,838

    

Federal National Mortgage Association, Series 2009-90-IB (-1 x 1 Month LIBOR USD + 5.72%, 5.72% Cap)

   3.70%   I/F I/O    04/25/2037      148,908

1,218,152

    

Federal National Mortgage Association, Series 2009-94-BC

   5.00%      11/25/2039      1,277,865

14,419,354

    

Federal National Mortgage Association, Series 2010-101-SA (-1 x 1 Month LIBOR USD + 4.48%, 4.48% Cap)

   2.46%   I/F I/O    09/25/2040      1,886,817

7,765,745

    

Federal National Mortgage Association, Series 2010-101-ZC

   4.50%      09/25/2040      8,501,328

19,743,853

    

Federal National Mortgage Association, Series 2010-101-ZH

   4.50%      07/25/2040      21,333,667

4,461,037

    

Federal National Mortgage Association, Series 2010-10-SA (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)

   4.33%   I/F I/O    02/25/2040      706,246

2,035,560

    

Federal National Mortgage Association, Series 2010-10-ZA

   4.50%      02/25/2040      2,086,932

1,202,085

    

Federal National Mortgage Association, Series 2010-111-S (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)

   3.93%   I/F I/O    10/25/2050      142,891

3,862,426

    

Federal National Mortgage Association, Series 2010-116-Z

   4.00%      10/25/2040      4,110,752

832,700

    

Federal National Mortgage Association, Series 2010-117-SA (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap)

   2.48%   I/F I/O    10/25/2040      61,639

3,014,751

    

Federal National Mortgage Association, Series 2010-120-KD

   4.00%      10/25/2040      3,278,886

23,773,123

    

Federal National Mortgage Association, Series 2010-121-SD (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap)

   2.48%   I/F I/O    10/25/2040      2,268,691

242,685

    

Federal National Mortgage Association, Series 2010-126-SU (-11 x 1 Month LIBOR USD + 55.00%, 55.00% Cap)

   31.90%   I/F    11/25/2040      824,820

178,693

    

Federal National Mortgage Association, Series 2010-126-SX (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap)

   8.70%   I/F    11/25/2040      287,213

5,820,479

    

Federal National Mortgage Association, Series 2010-128-HZ

   4.00%      11/25/2040      6,115,727

3,388,831

    

Federal National Mortgage Association, Series 2010-132-Z

   4.50%      11/25/2040      3,538,383

88,008

    

Federal National Mortgage Association, Series 2010-137-VS (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap)

   8.70%   I/F    12/25/2040      124,315

11,485,944

    

Federal National Mortgage Association, Series 2010-142-AZ

   4.00%      12/25/2040      12,047,815

9,456,926

    

Federal National Mortgage Association, Series 2010-148-SA (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)

   4.63%   I/F I/O    01/25/2026      902,530

10,955,815

    

Federal National Mortgage Association, Series 2010-150-FD (1 Month LIBOR USD + 0.51%, 0.51% Floor, 7.00% Cap)

   2.53%      01/25/2041      11,017,917

26,951,041

    

Federal National Mortgage Association, Series 2010-150-ZA

   4.00%      01/25/2041      28,698,860

9,320,208

    

Federal National Mortgage Association, Series 2010-16-SA (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)

   3.43%   I/F I/O    03/25/2040      892,967

2,888,851

    

Federal National Mortgage Association, Series 2010-21-DZ

   5.00%      03/25/2040      3,232,211

1,387,761

    

Federal National Mortgage Association, Series 2010-21-KS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)

   2.93%   I/F I/O    03/25/2040      105,537

469,056

    

Federal National Mortgage Association, Series 2010-2-GS (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.43%   I/F I/O    12/25/2049      23,782

1,934,551

    

Federal National Mortgage Association, Series 2010-2-MS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.23%   I/F I/O    02/25/2050      260,394

1,533,673

    

Federal National Mortgage Association, Series 2010-31-SA (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    04/25/2040      99,431

5,718,483

    

Federal National Mortgage Association, Series 2010-31-VZ

   4.00%      04/25/2040      5,870,522

4,024,901

    

Federal National Mortgage Association, Series 2010-34-PS (-1 x 1 Month LIBOR USD + 4.93%, 4.93% Cap)

   2.91%   I/F I/O    04/25/2040      418,231

642,150

    

Federal National Mortgage Association, Series 2010-35-ES (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.43%   I/F I/O    04/25/2040      63,754

677,496

    

Federal National Mortgage Association, Series 2010-35-SV (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.43%   I/F I/O    04/25/2040      58,623

1,300,822

    

Federal National Mortgage Association, Series 2010-46-MS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)

   2.93%   I/F I/O    05/25/2040      93,578

9,349,467

    

Federal National Mortgage Association, Series 2010-49-ZW

   4.50%      05/25/2040      10,008,116

2,249,663

    

Federal National Mortgage Association, Series 2010-4-SK (-1 x 1 Month LIBOR USD + 6.23%, 6.23% Cap)

   4.21%   I/F I/O    02/25/2040      336,387

938,798

    

Federal National Mortgage Association, Series 2010-58-ES (-3 x 1 Month LIBOR USD + 12.47%, 12.47% Cap)

   7.28%   I/F    06/25/2040      1,087,950

6,455,056

    

Federal National Mortgage Association, Series 2010-59-MS (-1 x 1 Month LIBOR USD + 5.77%, 5.77% Cap)

   3.75%   I/F I/O    06/25/2040      1,133,301

4,415,976

    

Federal National Mortgage Association, Series 2010-59-PS (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.43%   I/F I/O    03/25/2039      125,747

6,617,089

    

Federal National Mortgage Association, Series 2010-59-SC (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    01/25/2040      921,647

813,336

    

Federal National Mortgage Association, Series 2010-60-VZ

   5.00%      10/25/2039      891,264

604,098

    

Federal National Mortgage Association, Series 2010-61-EL

   4.50%      06/25/2040      665,648

7,194,872

    

Federal National Mortgage Association, Series 2010-64-EZ

   5.00%      06/25/2040      8,018,918

15,557,736

    

Federal National Mortgage Association, Series 2010-64-FC (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)

   2.52%      06/25/2040      15,636,041

28,867,448

    

Federal National Mortgage Association, Series 2010-76-ZK

   4.50%      07/25/2040      31,424,873

6,111,729

    

Federal National Mortgage Association, Series 2010-79-CZ

   4.00%      07/25/2040      6,462,580

21,203,950

    

Federal National Mortgage Association, Series 2010-79-VZ

   4.50%      07/25/2040      22,952,708

3,166,424

    

Federal National Mortgage Association, Series 2010-84-ZC

   4.50%      08/25/2040      3,468,609

6,332,835

    

Federal National Mortgage Association, Series 2010-84-ZD

   4.50%      08/25/2040      6,937,204

8,189,707

    

Federal National Mortgage Association, Series 2010-84-ZG

   4.50%      08/25/2040      8,627,523

550,838

    

Federal National Mortgage Association, Series 2010-90-SA (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap)

   3.83%   I/F I/O    08/25/2040      65,646

1,786,906

    

Federal National Mortgage Association, Series 2010-94-Z

   4.50%      08/25/2040      1,861,528

8,668,587

    

Federal National Mortgage Association, Series 2010-99-SG (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap)

   14.50%   I/F    09/25/2040      14,604,385

1,415,811

    

Federal National Mortgage Association, Series 2010-9-DS (-1 x 1 Month LIBOR USD + 5.30%, 0.50% Floor, 5.30% Cap)

   3.28%   I/F I/O    02/25/2040      164,153

37,811,148

    

Federal National Mortgage Association, Series 2011-106-LZ

   3.50%   >    10/25/2041      40,491,210

520,021

    

Federal National Mortgage Association, Series 2011-110-LS (-2 x 1 Month LIBOR USD + 10.10%, 10.10% Cap)

   5.90%   I/F    11/25/2041      686,867

7,453,821

    

Federal National Mortgage Association, Series 2011-111-CZ

   4.00%      11/25/2041      7,864,260

9,872,175

    

Federal National Mortgage Association, Series 2011-111-EZ

   5.00%   >    11/25/2041      11,042,469

4,447,801

    

Federal National Mortgage Association, Series 2011-111-VZ

   4.00%      11/25/2041      4,737,917

30,000,000

    

Federal National Mortgage Association, Series 2011-131-PB

   4.50%      12/25/2041      34,603,365

26,941,887

    

Federal National Mortgage Association, Series 2011-16-AL

   3.50%      03/25/2031      28,292,338

38,800,000

    

Federal National Mortgage Association, Series 2011-17-NY

   3.50%      03/25/2031      40,696,319

854,436

    

Federal National Mortgage Association, Series 2011-17-SA (-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap)

   4.45%   I/F I/O    03/25/2041      92,267

7,960,788

    

Federal National Mortgage Association, Series 2011-25-KY

   3.00%      04/25/2026      8,136,608

4,744,126

    

Federal National Mortgage Association, Series 2011-27-BS (-2 x 1 Month LIBOR USD + 9.00%, 9.00% Cap)

   4.80%   I/F    04/25/2041      5,004,402

52,821,051

    

Federal National Mortgage Association, Series 2011-29-AL

   3.50%      04/25/2031      54,582,168

11,620,800

    

Federal National Mortgage Association, Series 2011-2-GZ

   4.00%      02/25/2041      12,282,908

32,224,373

    

Federal National Mortgage Association, Series 2011-32-ZG

   4.00%      04/25/2041      34,131,218

5,687,107

    

Federal National Mortgage Association, Series 2011-36-VZ

   4.50%      05/25/2041      5,963,417

12,382,442

    

Federal National Mortgage Association, Series 2011-37-Z

   4.50%      05/25/2041      13,594,494

9,318,237

    

Federal National Mortgage Association, Series 2011-38-BZ

   4.00%   >    05/25/2041      9,855,092

7,465,531

    

Federal National Mortgage Association, Series 2011-39-CB

   3.00%      05/25/2026      7,630,322

15,407,176

    

Federal National Mortgage Association, Series 2011-39-ZD

   4.00%      02/25/2041      16,309,993

3,975,017

    

Federal National Mortgage Association, Series 2011-40-LZ

   4.50%      05/25/2041      4,170,111

7,690,997

    

Federal National Mortgage Association, Series 2011-42-MZ

   4.50%      05/25/2041      8,461,128

20,955,941

    

Federal National Mortgage Association, Series 2011-45-ZA

   4.00%   >    05/25/2031      22,609,574

11,141,308

    

Federal National Mortgage Association, Series 2011-45-ZB

   4.50%      05/25/2041      12,477,497

2,811,100

    

Federal National Mortgage Association, Series 2011-48-SC (-2 x 1 Month LIBOR USD + 9.20%, 9.20% Cap)

   5.16%   I/F    06/25/2041      2,942,630

22,474,276

    

Federal National Mortgage Association, Series 2011-51-FJ (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      06/25/2041      22,514,626

1,447,925

    

Federal National Mortgage Association, Series 2011-59-MA

   4.50%      07/25/2041      1,564,441

12,903,844

    

Federal National Mortgage Association, Series 2011-60-EL

   3.00%      07/25/2026      13,272,378

15,374,872

    

Federal National Mortgage Association, Series 2011-64-DB

   4.00%      07/25/2041      16,512,915

7,167,929

    

Federal National Mortgage Association, Series 2011-74-KL

   5.00%      06/25/2040      7,842,402

25,189,429

    

Federal National Mortgage Association, Series 2011-77-Z

   3.50%      08/25/2041      28,577,724

28,647,293

    

Federal National Mortgage Association, Series 2011-99-CZ

   4.50%   >    10/25/2041      33,359,234


82,096,187

    

Federal National Mortgage Association, Series 2011-99-DZ

   5.00%      10/25/2041      92,358,390

13,194,936

    

Federal National Mortgage Association, Series 2012-104-Z

   3.50%   >    09/25/2042      14,446,252

9,674,307

    

Federal National Mortgage Association, Series 2012-111-LB

   3.50%      05/25/2041      10,003,271

36,986,857

    

Federal National Mortgage Association, Series 2012-111-MJ

   4.00%      04/25/2042      39,720,896

9,260,046

    

Federal National Mortgage Association, Series 2012-114-DC

   2.00%      08/25/2039      9,303,816

56,081,911

    

Federal National Mortgage Association, Series 2012-122-AD

   2.00%      02/25/2040      56,205,067

53,773,012

    

Federal National Mortgage Association, Series 2012-122-DB

   3.00%      11/25/2042      55,774,465

58,598,334

    

Federal National Mortgage Association, Series 2012-125-LA

   3.00%      11/25/2042      60,784,069

31,241,100

    

Federal National Mortgage Association, Series 2012-144-PT

   4.26%   #    11/25/2049      33,880,955

11,506,304

    

Federal National Mortgage Association, Series 2012-14-BZ

   4.00%   >    03/25/2042      13,088,173

26,296,408

    

Federal National Mortgage Association, Series 2012-15-PZ

   4.00%   >    03/25/2042      30,091,974

19,552,058

    

Federal National Mortgage Association, Series 2012-20-ZT

   3.50%   >    03/25/2042      21,065,239

60,713,349

    

Federal National Mortgage Association, Series 2012-30-DZ

   4.00%   >    04/25/2042      66,205,418

49,919,865

    

Federal National Mortgage Association, Series 2012-31-Z

   4.00%   >    04/25/2042      55,744,325

6,859,361

    

Federal National Mortgage Association, Series 2012-63-EB

   2.00%      08/25/2040      6,822,066

24,580,573

    

Federal National Mortgage Association, Series 2012-70-FY (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      07/25/2042      24,558,854

35,865,084

    

Federal National Mortgage Association, Series 2012-74-Z

   4.00%   >    07/25/2042      39,695,238

7,370,969

    

Federal National Mortgage Association, Series 2012-80-EA

   2.00%      04/25/2042      7,244,850

25,959,738

    

Federal National Mortgage Association, Series 2012-86-ZC

   3.50%   >    08/25/2042      28,243,468

36,168,716

    

Federal National Mortgage Association, Series 2012-96-VZ

   3.50%   >    09/25/2042      39,446,821

25,356,382

    

Federal National Mortgage Association, Series 2012-98-BG

   4.50%      08/25/2040      27,553,685

44,081,768

    

Federal National Mortgage Association, Series 2012-99-QE

   3.00%      09/25/2042      45,809,240

21,631,680

    

Federal National Mortgage Association, Series 2013-100-PJ

   3.00%      03/25/2043      22,275,560

26,661,456

    

Federal National Mortgage Association, Series 2013-130-ZE

   3.00%   >    01/25/2044      26,129,304

23,955,156

    

Federal National Mortgage Association, Series 2013-133-ZT

   3.00%   >    01/25/2039      24,738,010

12,757,660

    

Federal National Mortgage Association, Series 2013-36-Z

   3.00%   >    04/25/2043      13,315,689

20,502,268

    

Federal National Mortgage Association, Series 2013-41-ZH

   3.00%      05/25/2033      20,888,455

19,292,416

    

Federal National Mortgage Association, Series 2013-51-HS (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)

   2.98%   I/F    04/25/2043      18,576,872

3,703,764

    

Federal National Mortgage Association, Series 2013-53-AB

   1.50%      03/25/2028      3,643,452

7,059,931

    

Federal National Mortgage Association, Series 2013-58-SC (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   2.97%   I/F    06/25/2043      6,810,972

120,240,647

    

Federal National Mortgage Association, Series 2013-81-ZQ

   3.00%   >    08/25/2043      121,081,802

22,328,073

    

Federal National Mortgage Association, Series 2013-82-SH (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.03%   I/F I/O    12/25/2042      2,683,830

27,428,449

    

Federal National Mortgage Association, Series 2013-8-Z

   3.00%   >    02/25/2043      27,619,013

24,309,434

    

Federal National Mortgage Association, Series 2014-12-GZ

   3.50%   >    03/25/2044      26,563,811

25,941,307

    

Federal National Mortgage Association, Series 2014-21-GZ

   3.00%   >    04/25/2044      26,069,926

30,425,772

    

Federal National Mortgage Association, Series 2014-37-ZY

   2.50%   >    07/25/2044      30,017,224

49,154,730

    

Federal National Mortgage Association, Series 2014-39-ZA

   3.00%   >    07/25/2044      50,428,388

13,064,873

    

Federal National Mortgage Association, Series 2014-46-NZ

   3.00%   >    06/25/2043      13,222,336

37,302,654

    

Federal National Mortgage Association, Series 2014-55-MA

   3.00%      10/25/2039      37,825,817

1,643,314

    

Federal National Mortgage Association, Series 2014-56-AD

   3.00%      01/25/2040      1,639,367

58,913,717

    

Federal National Mortgage Association, Series 2014-60-EZ

   3.00%   >    10/25/2044      60,274,094

41,586,365

    

Federal National Mortgage Association, Series 2014-61-ZV

   3.00%   >    10/25/2044      43,375,910

35,069,791

    

Federal National Mortgage Association, Series 2014-64-NZ

   3.00%   >    10/25/2044      35,806,548

82,939,632

    

Federal National Mortgage Association, Series 2014-65-CD

   3.00%      06/25/2040      84,388,065

12,348,715

    

Federal National Mortgage Association, Series 2014-67-DZ

   3.00%   >    10/25/2044      12,500,679

76,002,307

    

Federal National Mortgage Association, Series 2014-68-MA

   3.00%      11/25/2040      77,275,756

39,476,867

    

Federal National Mortgage Association, Series 2014-68-MZ

   3.00%   >    11/25/2044      40,208,318

27,648,546

    

Federal National Mortgage Association, Series 2014-6-Z

   2.50%   >    02/25/2044      27,138,939

31,679,339

    

Federal National Mortgage Association, Series 2014-73-CQ

   3.00%      06/25/2040      32,180,046

22,285,105

    

Federal National Mortgage Association, Series 2014-77-VZ

   3.00%   >    11/25/2044      22,819,359

19,325,522

    

Federal National Mortgage Association, Series 2014-82-YA

   3.00%      04/25/2041      19,732,583

28,619,926

    

Federal National Mortgage Association, Series 2014-84-KZ

   3.00%   >    12/25/2044      29,162,468

86,179,945

    

Federal National Mortgage Association, Series 2014-95-NA

   3.00%      04/25/2041      87,898,012

136,663,432

    

Federal National Mortgage Association, Series 2014-M11-1A

   3.22%   #    08/25/2024      143,835,310

29,650,791

    

Federal National Mortgage Association, Series 2015-11-A

   3.00%      05/25/2034      30,793,990

80,123,786

    

Federal National Mortgage Association, Series 2015-21-G

   3.00%      02/25/2042      81,940,416

16,434,043

    

Federal National Mortgage Association, Series 2015-42-CA

   3.00%      03/25/2044      17,007,956

52,387,649

    

Federal National Mortgage Association, Series 2015-49-A

   3.00%      03/25/2044      54,439,825

11,531,717

    

Federal National Mortgage Association, Series 2015-63-KD

   3.00%      07/25/2041      11,655,943

49,891,927

    

Federal National Mortgage Association, Series 2015-88-AC

   3.00%      04/25/2043      51,160,688

141,438,549

    

Federal National Mortgage Association, Series 2015-88-BA

   3.00%      04/25/2044      152,147,258

17,333,669

    

Federal National Mortgage Association, Series 2015-94-MA

   3.00%      01/25/2046      17,854,438

56,029,267

    

Federal National Mortgage Association, Series 2015-9-HA

   3.00%      01/25/2045      57,565,052

36,763,253

    

Federal National Mortgage Association, Series 2016-2-JA

   2.50%      02/25/2046      37,093,780

88,939,006

    

Federal National Mortgage Association, Series 2016-32-LA

   3.00%      10/25/2044      91,607,798

22,598,029

    

Federal National Mortgage Association, Series 2016-71-ZQ

   3.00%      10/25/2046      22,553,942

98,104,697

    

Federal National Mortgage Association, Series 2016-72-PA

   3.00%      07/25/2046      100,466,313

74,585,710

    

Federal National Mortgage Association, Series 2016-74-PA

   3.00%      12/25/2044      76,055,288

37,055,523

    

Federal National Mortgage Association, Series 2016-79-EP

   3.00%      01/25/2044      37,872,856

95,875,251

    

Federal National Mortgage Association, Series 2016-81-PA

   3.00%      02/25/2044      98,405,705

51,272,974

    

Federal National Mortgage Association, Series 2016-94-PA

   3.00%      03/25/2044      52,427,493

50,713,750

    

Federal National Mortgage Association, Series 2017-13-ML

   3.00%      08/25/2041      52,472,492

24,652,756

    

Federal National Mortgage Association, Series 2017-2-HA

   3.00%      09/25/2041      24,880,320

15,786,075

    

Federal National Mortgage Association, Series 2017-4-CH

   3.00%      06/25/2042      16,043,073

17,661,946

    

Federal National Mortgage Association, Series 2017-51-EA

   3.00%      11/25/2042      17,982,592

27,067,672

    

Federal National Mortgage Association, Series 2017-61-TA

   3.00%      02/25/2043      27,256,674

55,604,561

    

Federal National Mortgage Association, Series 2018-21-IO

   3.00%   I/O    04/25/2048      6,751,678

91,840,060

    

Federal National Mortgage Association, Series 2018-21-PO

   0.00%   P/O    04/25/2048      84,255,651

11,673,215

    

Federal National Mortgage Association, Series 2018-23-CG

   2.75%      12/25/2043      11,807,835

114,270,091

    

Federal National Mortgage Association, Series 2018-27-AO

   0.00%   P/O    05/25/2048      104,588,409

216,515,429

    

Federal National Mortgage Association, Series 2018-27-JA

   3.00%      12/25/2047      219,416,346

64,757,188

    

Federal National Mortgage Association, Series 2018-33-A

   3.00%      05/25/2048      66,189,320

27,715,104

    

Federal National Mortgage Association, Series 2018-33-C

   3.00%      05/25/2048      28,315,613

186,873,368

    

Federal National Mortgage Association, Series 2018-36-A

   3.00%      06/25/2048      191,930,517

64,869,525

    

Federal National Mortgage Association, Series 2018-38-JB

   3.00%      06/25/2048      66,567,368

202,894,430

    

Federal National Mortgage Association, Series 2018-39-AB

   3.00%      06/25/2048      208,291,239

47,795,033

    

Federal National Mortgage Association, Series 2018-64-A

   3.00%      09/25/2048      48,624,535

95,360,067

    

Federal National Mortgage Association, Series 2018-85-PO

   0.00%   P/O    12/25/2048      86,734,081

70,247,910

    

Federal National Mortgage Association, Series 2019-12-BA

   3.00%      04/25/2049      72,593,670

8,143,421

    

Federal National Mortgage Association, Series 400-S4 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)

   3.43%   I/F I/O    11/25/2039      1,441,545

85,121,688

    

Federal National Mortgage Association, Series 412-A3

   3.00%      08/25/2042      87,589,523

3,820,646

    

Government National Mortgage Association, Pool MA2511

   3.50%      01/20/2045      3,935,761


11,298,585

    

Government National Mortgage Association, Series 2003-67-SP (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)

   5.06%   I/F I/O    08/20/2033      1,847,947

4,714,737

    

Government National Mortgage Association, Series 2003-86-ZK

   5.00%      10/20/2033      5,231,922

2,474,606

    

Government National Mortgage Association, Series 2004-49-Z

   6.00%      06/20/2034      2,757,701

5,106,153

    

Government National Mortgage Association, Series 2004-83-CS (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap)

   4.04%   I/F I/O    10/20/2034      987,406

1,279,833

    

Government National Mortgage Association, Series 2005-21-Z

   5.00%      03/20/2035      1,413,891

13,916,894

    

Government National Mortgage Association, Series 2005-39-ZB

   5.00%      07/20/2034      15,264,281

906,534

    

Government National Mortgage Association, Series 2006-24-CX (-7 x 1 Month LIBOR USD + 39.97%, 39.97% Cap)

   24.98%   I/F    05/20/2036      1,595,553

6,044,700

    

Government National Mortgage Association, Series 2007-26-SJ (-1 x 1 Month LIBOR USD + 4.69%, 4.69% Cap)

   2.65%   I/F I/O    04/20/2037      404,413

4,337,143

    

Government National Mortgage Association, Series 2008-2-SM (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

   4.47%   I/F I/O    01/16/2038      798,587

7,327,945

    

Government National Mortgage Association, Series 2008-42-AI (-1 x 1 Month LIBOR USD + 7.69%, 7.69% Cap)

   5.66%   I/F I/O    05/16/2038      1,752,940

3,010,978

    

Government National Mortgage Association, Series 2008-43-SH (-1 x 1 Month LIBOR USD + 6.34%, 6.34% Cap)

   4.29%   I/F I/O    05/20/2038      425,550

3,405,227

    

Government National Mortgage Association, Series 2008-51-SC (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.21%   I/F I/O    06/20/2038      526,752

2,480,280

    

Government National Mortgage Association, Series 2008-51-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.22%   I/F I/O    06/16/2038      598,791

1,127,173

    

Government National Mortgage Association, Series 2008-82-SM (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.01%   I/F I/O    09/20/2038      146,222

2,418,772

    

Government National Mortgage Association, Series 2008-83-SD (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)

   4.53%   I/F I/O    11/16/2036      451,762

9,221,998

    

Government National Mortgage Association, Series 2009-106-VZ

   4.50%      11/20/2039      9,971,543

5,224,086

    

Government National Mortgage Association, Series 2009-10-NS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)

   4.62%   I/F I/O    02/16/2039      1,011,555

1,776,331

    

Government National Mortgage Association, Series 2009-24-SN (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

   4.06%   I/F I/O    09/20/2038      163,552

5,059,045

    

Government National Mortgage Association, Series 2009-32-ZE

   4.50%      05/16/2039      5,515,717

28,810,079

    

Government National Mortgage Association, Series 2009-35-DZ

   4.50%      05/20/2039      31,507,918

7,760

    

Government National Mortgage Association, Series 2009-41-ZQ

   4.50%   >    06/16/2039      9,114

3,111,240

    

Government National Mortgage Association, Series 2009-48-Z

   5.00%      06/16/2039      3,391,827

646,974

    

Government National Mortgage Association, Series 2009-50-KP

   4.50%      06/20/2039      687,340

2,438,855

    

Government National Mortgage Association, Series 2009-69-TS (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)

   4.17%   I/F I/O    04/16/2039      225,603

4,336,067

    

Government National Mortgage Association, Series 2009-75-GZ

   4.50%      09/20/2039      4,692,270

3,195,028

    

Government National Mortgage Association, Series 2009-87-IG (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap)

   4.70%   I/F I/O    03/20/2037      294,590

22,319,767

    

Government National Mortgage Association, Series 2010-106-PS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.01%   I/F I/O    03/20/2040      2,665,152

6,474,805

    

Government National Mortgage Association, Series 2010-1-SA (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap)

   3.72%   I/F I/O    01/16/2040      1,185,238

3,946,022

    

Government National Mortgage Association, Series 2010-25-ZB

   4.50%   >    02/16/2040      4,371,927

59,743,097

    

Government National Mortgage Association, Series 2010-26-QS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.21%   I/F I/O    02/20/2040      11,175,287

5,008,665

    

Government National Mortgage Association, Series 2010-42-AY

   5.00%      11/20/2039      5,608,986

5,082,946

    

Government National Mortgage Association, Series 2010-42-ES (-1 x 1 Month LIBOR USD + 5.68%, 5.68% Cap)

   3.64%   I/F I/O    04/20/2040      799,240

1,523,424

    

Government National Mortgage Association, Series 2010-61-AS (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)

   4.51%   I/F I/O    09/20/2039      192,558

15,370,069

    

Government National Mortgage Association, Series 2010-62-SB (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap)

   3.71%   I/F I/O    05/20/2040      2,651,225

11,063,754

    

Government National Mortgage Association, Series 2010-62-ZG

   5.50%   >    05/16/2040      12,578,320

8,016,249

    

Government National Mortgage Association, Series 2011-18-SN (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)

   5.41%   I/F    12/20/2040      8,667,433

8,023,180

    

Government National Mortgage Association, Series 2011-18-YS (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)

   5.41%   I/F    12/20/2040      8,596,307

3,735,647

    

Government National Mortgage Association, Series 2011-51-UZ

   4.50%      04/20/2041      4,038,379

2,282,503

    

Government National Mortgage Association, Series 2011-69-OC

   0.00%   P/O    05/20/2041      2,125,671

22,179,328

    

Government National Mortgage Association, Series 2011-69-SB (-1 x 1 Month LIBOR USD + 5.35%, 5.35% Cap)

   3.31%   I/F I/O    05/20/2041      3,454,302

21,000,468

    

Government National Mortgage Association, Series 2011-71-ZA

   4.50%      02/20/2041      22,738,099

8,100,440

    

Government National Mortgage Association, Series 2011-72-AS (-1 x 1 Month LIBOR USD + 5.38%, 5.38% Cap)

   3.34%   I/F I/O    05/20/2041      1,317,749

5,914,733

    

Government National Mortgage Association, Series 2011-72-SK (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

   4.11%   I/F I/O    05/20/2041      952,165

3,363,250

    

Government National Mortgage Association, Series 2012-105-SE (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)

   4.16%   I/F I/O    01/20/2041      144,508

6,894,737

    

Government National Mortgage Association, Series 2012-52-PN

   2.00%      12/20/2039      6,922,250

21,520,582

    

Government National Mortgage Association, Series 2013-116-LS (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

   4.11%   I/F I/O    08/20/2043      4,048,992

22,894,260

    

Government National Mortgage Association, Series 2013-136-CS (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)

   4.17%   I/F I/O    09/16/2043      4,268,536

19,625,187

    

Government National Mortgage Association, Series 2013-182-WZ

   2.50%   >    12/20/2043      19,513,402

60,495,659

    

Government National Mortgage Association, Series 2013-182-ZW

   2.50%   >    12/20/2043      60,151,076

15,212,182

    

Government National Mortgage Association, Series 2013-186-SG (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.22%   I/F I/O    02/16/2043      1,975,226

14,694,817

    

Government National Mortgage Association, Series 2013-26-MS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.21%   I/F I/O    02/20/2043      2,828,022

30,899,428

    

Government National Mortgage Association, Series 2013-34-PL

   3.00%      03/20/2042      31,352,117

28,097,428

    

Government National Mortgage Association, Series 2014-163-PS (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

   3.56%   I/F I/O    11/20/2044      4,349,709

29,322,191

    

Government National Mortgage Association, Series 2014-167-SA (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

   3.56%   I/F I/O    11/20/2044      4,811,883

44,754,193

    

Government National Mortgage Association, Series 2014-21-SE (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)

   3.51%   I/F I/O    02/20/2044      7,331,766

24,876,501

    

Government National Mortgage Association, Series 2014-39-SK (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)

   4.16%   I/F I/O    03/20/2044      4,976,574

22,801,084

    

Government National Mortgage Association, Series 2014-59-DS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.22%   I/F I/O    04/16/2044      4,004,422

9,070,053

    

Government National Mortgage Association, Series 2016-99-TL

   2.00%      04/16/2044      8,448,452
                 

 

Total US Government and Agency Mortgage Backed Obligations (Cost $23,556,742,141)

          24,436,579,980
                 

 

US Government and Agency Obligations - 8.8%

         

59,900,000

    

Tennessee Valley Authority

   4.25%      09/15/2065      83,233,620

500,000,000

    

United States Treasury Notes

   2.00%      11/15/2026      512,841,795

500,000,000

    

United States Treasury Notes

   2.25%      02/15/2027      521,757,810

600,000,000

    

United States Treasury Notes

   2.88%      05/15/2028      658,734,372

300,000,000

    

United States Treasury Notes

   2.88%      08/15/2028      329,964,843

500,000,000

    

United States Treasury Notes

   3.13%      11/15/2028      561,552,735

370,800,000

    

United States Treasury Notes

   2.63%      02/15/2029      401,485,150

1,508,200,000

    

United States Treasury Notes

   2.38%      05/15/2029      1,602,285,754

100,000,000

    

United States Treasury Notes

   2.88%      05/15/2049      116,750,000
                 

 

Total US Government and Agency Obligations (Cost $4,517,825,272)

          4,788,606,079
                 

 

Affiliated Mutual Funds - 0.1%

         

7,026,170

    

Doubleline Income Fund (Class I)

             69,980,655
                 

 

Total Affiliated Mutual Funds (Cost $70,000,000)

          69,980,655
                 

 

Short Term Investments - 3.2%

         

406,895,506

    

First American Government Obligations Fund - Class U

   1.88%           406,895,506

406,895,506

    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

   1.83%           406,895,506

406,895,506

    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

   1.83%           406,895,506

250,000,000

    

United States Treasury Bills

   0.00%      10/15/2019      249,830,753

250,000,000

    

United States Treasury Bills

   0.00%      10/22/2019      249,737,258
                 

 

Total Short Term Investments (Cost $1,720,211,759)

          1,720,254,529
                 

 

Total Investments - 100.7% (Cost $53,757,321,814)

          54,833,645,084

Liabilities in Excess of Other Assets - (0.7)%

          (392,031,038)
                 

 

NET ASSETS - 100.0%

            $ 54,441,614,046
                 

 

 

^    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.   
#    Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.   
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. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.   
±    Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of September 30, 2019.   
Þ    Value determined using significant unobservable inputs.   
ß    The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of September 30, 2019.   
§    The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.   
r    This mortgage-backed bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.   
>    This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.   
   Seven-day yield as of September 30, 2019   


SECURITY TYPE BREAKDOWN as a % of Net Assets:    

 

US Government and Agency Mortgage Backed Obligations

   44.9%

Non-Agency Residential Collateralized Mortgage Obligations

   28.2%

US Government and Agency Obligations

   8.8%

Non-Agency Commercial Mortgage Backed Obligations

   6.7%

Collateralized Loan Obligations

   4.9%

Asset Backed Obligations

   3.9%

Short Term Investments

   3.2%

Affiliated Mutual Funds

   0.1%

Other Assets and Liabilities

   (0.7)%
  

 

   100.0%
  

 


FUTURES CONTRACTS                                   
Description    Long/Short      Contract
Quantity
     Expiration
Date
     Notional
Amount •
    

Value/Unrealized

Appreciation

(Depreciation)

 

Ultra 10-Year US Treasury Note Future

     Long        250        12/19/2019        35,601,563        $ (217,327

US Treasury Long Bond Future

     Long        1,750        12/19/2019        284,046,875        (1,752,597

CME Ultra Long Term US Treasury Bond Future

     Long        1,500        12/19/2019        287,859,375        (4,683,363

10-Year US Treasury Note Future

     Long        4,000        12/19/2019        521,250,000        (5,227,208
                 $ (11,880,495
                    

• Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.    


A summary of the DoubleLine Total Return Bond Fund’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

                                       

Change in

Unrealized for the

   

Dividend Income

Earned in the

    

Net Realized Gain

(Loss) in the

 
     Value at                    Shares Held at      Value at      Period Ended     Period Ended      Period Ended  
Fund   

March 31,

2019

    

Gross

Purchases

     Gross Sales     

September 30,

2019

    

September 30,

2019

    

September 30,

2019

   

September 30,

2019

    

September 30,

2019

 

DoubleLine Income Fund (Class I)

   $ -      $ 70,000,000      $ -        7,026,170      $ 69,980,655      $ (19,345   $ 109,256      $ -  
   $ -      $ 70,000,000      $ -        7,026,170      $ 69,980,655      $ (19,345   $ 109,256      $ -  


 

DoubleLine Core Fixed Income Fund

Schedule of Investments

September 30, 2019 (Unaudited)

 

 

Principal Amount

$/Shares

      

Security Description

  

Rate

      

Maturity

      

Value $

Asset Backed Obligations - 2.3%

         

7,000,000

    

Applebee’s Funding LLC, Series 2019-1A-A2I

   4.19%   ^    06/07/2049      7,168,770

4,208,333

    

CAL Funding Ltd., Series 2018-1A-A

   3.96%   ^    02/25/2043      4,249,211

8,358,645

    

Castlelake Aircraft Securitization Trust, Series 2016-1-A

   4.45%      08/15/2041      8,626,238

4,594,526

    

Castlelake Aircraft Securitization Trust, Series 2017-1-A

   3.97%      07/15/2042      4,674,241

4,296,027

    

Castlelake Aircraft Securitization Trust, Series 2018-1-A

   4.13%   ^    06/15/2043      4,415,216

7,701,637

    

Castlelake Aircraft Securitization Trust, Series 2019-1A-A

   3.97%   ^    04/15/2039      7,892,337

4,495,656

    

CLI Funding LLC, Series 2017-1A-A

   3.62%   ^    05/18/2042      4,511,392

11,069,643

    

CLI Funding LLC, Series 2018-1A-A

   4.03%   ^    04/18/2043      11,188,156

8,190,375

    

CLI Funding LLC, Series 2019-1A-A

   3.71%   ^    05/18/2044      8,359,139

6,572,392

    

CLUB Credit Trust, Series 2018-P3-A

   3.82%   ^    01/15/2026      6,639,753

10,241,564

    

College Ave Student Loans LLC, Series 2018-A-A1 (1 Month LIBOR USD + 1.20%)

   3.22%   ^    12/26/2047      10,152,673

1,496,250

    

DB Master Finance LLC, Series 2019-1A-A2I

   3.79%   ^    05/20/2049      1,545,083

5,300,000

    

Element Rail Leasing LLC, Series 2014-1A-A2

   3.67%   ^    04/19/2044      5,325,796

15,402,600

    

Global SC Finance Ltd., Series 2018-1A-A

   4.29%   ^    05/17/2038      15,983,392

5,400,000

    

GLS Auto Receivables Trust, Series 2018-2A-B

   3.71%   ^    03/15/2023      5,472,281

11,676,913

    

Harbour Aircraft Investments Ltd., Series 2017-1-A

   4.00%      11/15/2037      11,729,985

8,817,777

    

Helios Issuer LLC, Series 2017-1A-A

   4.94%   ^    09/20/2049      9,244,888

4,124,582

    

HERO Funding Trust, Series 2016-1A-A

   4.05%   ^    09/20/2041      4,311,342

4,900,000

    

Jimmy Johns Funding LLC, Series 2017-1A-A2II

   4.85%   ^    07/30/2047      5,185,689

2,880,894

    

JOL Air Ltd., Series 2019-1-A

   3.97%   ^    04/15/2044      2,912,036

2,174,871

    

Mosaic Solar Loan Trust, Series 2018-1A-A

   4.01%   ^    06/22/2043      2,258,166

7,500,000

    

Navient Private Education Loan Trust, Series 2018-A-B

   3.68%   ^    02/18/2042      7,853,401

10,198,640

    

NP SPE LLC, Series 2016-1A-A1

   4.16%   ^    04/20/2046      10,652,925

5,000,000

    

NP SPE LLC, Series 2019-1A-A2

   3.24%   ^    09/20/2049      5,096,905

4,910,715

    

Pioneer Aircraft Finance Ltd., Series 2019-1-A

   3.97%   ^    06/15/2044      4,941,956

20,000,000

    

Primose Funding LLC, Series 2019-1A-A2

   4.48%   ^    07/30/2049      20,037,264

6,000,000

    

SBA Tower Trust

   3.17%   ^    04/11/2022      6,063,472

5,000,000

    

SERVPRO Master Issuer LLC, Series 2019-1A-A2

   3.88%   ^    10/25/2049      5,058,745

5,599,014

    

Shenton Aircraft Investment Ltd., Series 2015-1A-A

   4.75%   ^    10/15/2042      5,756,296

479,064

    

SoFi Consumer Loan Program Trust, Series 2016-2-A

   3.09%   ^    10/27/2025      480,901

628,037

    

SoFi Consumer Loan Program Trust, Series 2017-1-A

   3.28%   ^    01/26/2026      632,548

500,000

    

SoFi Consumer Loan Program Trust, Series 2017-1-B

   4.73%   # ^    01/26/2026      517,425

226,237

    

SoFi Consumer Loan Program Trust, Series 2017-2-A

   3.28%   ^    02/25/2026      228,037

4,484,899

    

SoFi Consumer Loan Program Trust, Series 2017-5-A2

   2.78%   ^    09/25/2026      4,497,846

3,312,086

    

SoFi Professional Loan Program, Series 2016-A-A2

   2.76%   ^    12/26/2036      3,334,062

5,000,000

    

SoFi Professional Loan Program, Series 2017-B-BFX

   3.70%   # ^    05/25/2040      5,297,050

2,000,000

    

SoFi Professional Loan Program, Series 2017-C-C

   4.21%   # ^    07/25/2040      2,122,558

634,209

    

Spruce Asset Backed Securities Trust, Series 2016-E1-A

   4.32%   ^    06/15/2028      648,820

3,811,239

    

STARR Ltd., Series 2018-1-A

   4.09%   ^    05/15/2043      3,901,542

3,857,143

    

START Ireland, Series 2019-1-A

   4.09%   ^    03/15/2044      3,941,441

4,880,186

    

Sunnova Helios II Issuer LLC, Series 2018-1A-A

   4.87%   ^    07/20/2048      5,345,831

2,342,843

    

Textainer Marine Containers Ltd., Series 2017-1A-A

   3.72%   ^    05/20/2042      2,345,259

9,666,667

    

Textainer Marine Containers Ltd., Series 2019-1A-A

   3.96%   ^    04/20/2044      9,837,854

3,644,804

    

USQ Rail LLC, Series 2018-1-A1

   3.78%   ^    04/25/2048      3,768,695

12,794,167

    

Vantage Data Centers Issuer LLC, Series 2018-1A-A2

   4.07%   ^    02/16/2043      13,309,454

5,000,000

    

VB-S1 Issuer LLC, Series 2018-1A-C

   3.41%   ^    02/15/2048      5,065,730

13,500,000

    

Wave LLC

   3.60%   ^    09/15/2044      13,499,407

7,181,740

    

Wildcat LLC, Series 2017-1A-A

   4.12%   ± Þ    06/08/2024      7,179,585
                 

 

Total Asset Backed Obligations (Cost $286,808,925)

          293,260,793
         

 

Bank Loans - 2.5%

         

233,238

    

8th Avenue Food & Provisions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/01/2025      234,380

2,022,151

    

Acadia Healthcare Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      02/16/2023      2,027,682

1,261,878

    

Access CIG LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.78%      02/27/2025      1,248,477

880,575

    

Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.06%      10/13/2025      882,226

7,412

    

Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.85%      11/22/2023      7,315

1,935,760

    

Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.35%      11/22/2023      1,930,321

565,000

    

Advanced Drainage Systems, Inc., Senior Secured First Lien Term Loan

   4.34%   ±    09/24/2026      568,297

925,350

    

Agiliti Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.06%      01/05/2026      925,350

1,313,848

    

Air Medical Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.31%      04/28/2022      1,233,105

2,307,428

    

Air Methods Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      04/22/2024      1,885,169

496,241

    

Albertson’s LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      11/17/2025      499,843

811,524

    

Albertson’s LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      08/17/2026      817,537

2,020,000

    

Aldevron LLC, Senior Secured First Lien Term Loan

   6.34%   ±    09/20/2026      2,030,100

821,514

    

Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.54%      08/01/2025      828,702

1,893,747

    

Aleris International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

   6.79%      02/27/2023      1,899,192

620,910

    

AlixPartners LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/04/2024      622,332

1,182,038

    

Alliant Holdings Intermediate LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      05/09/2025      1,175,389

140,541

    

Allied Universal Holdco LLC, Senior Secured First Lien Term Loan

   6.57%   ± &    07/12/2026      140,914

1,419,459

    

Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%)

   6.51%      07/10/2026      1,423,228

496,283

    

Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.70%      06/13/2024      483,901

2,203,777

    

Alterra Mountain Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      07/31/2024      2,214,112

705,000

    

American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.03%      12/15/2023      705,504

1,366,858

    

American Renal Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   7.04%      06/21/2024      1,333,971

1,391,550

    

American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK)

   9.98%      09/02/2024      1,230,131

1,905,050

    

Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.10%      09/19/2024      1,904,516

1,895,000

    

Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      03/11/2025      1,900,135

650,019

    

Arctic Glacier U.S.A., Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      03/20/2024      634,581

2,092,311

    

Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      07/12/2024      2,087,405

2,089,877

    

AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.54%      10/22/2024      2,084,328

465,095

    

Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)

   8.54%      08/04/2025      473,176

1,842,628

    

Asurion, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      11/03/2023      1,851,842

1,569,431

    

Athenahealth, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

   6.68%      02/11/2026      1,567,963

1,890,485

    

Auris Luxembourg III Sarl, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      02/27/2026      1,882,800

1,577,748

    

Avantor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      11/21/2024      1,592,051
    

Avaya, Inc., Senior Secured First Lien Term Loan

            

711,368

    

  (1 Month LIBOR USD + 4.25%)

   6.28%      12/16/2024      677,802

417,787

    

  (2 Month LIBOR USD + 4.25%)

   6.43%      12/16/2024      398,074

745,000

    

Azalea TopCo, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      07/27/2026      744,069

465,253

    

Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)

   7.04%      09/25/2024      448,969

1,465,625

    

Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      11/27/2025      1,470,300

508,172

    

Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      06/02/2025      510,820

235,867

    

Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.30%      10/01/2022      237,261

2,329,163

    

Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.55%      07/01/2026      2,343,103

1,892,736

    

BJ’s Wholesale Club, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/02/2024      1,901,016

1,893,326

    

Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      06/16/2025      1,890,165

1,965,075

    

Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.66%      09/30/2024      1,975,952

819,342

    

Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)

   6.29%      10/02/2025      789,915

1,666,179

    

Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      05/21/2025      1,542,257
    

Bright Bidco B.V., Senior Secured First Lien Term Loan

            

765,944

    

  (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      06/28/2024      368,002

377,256

    

  (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      06/28/2024      181,254

1,180,522

    

Brookfield WEC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)

   5.54%      08/01/2025      1,185,764

3,051,232

    

Burger King Restaurant Brands, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)

   4.29%      02/16/2024      3,064,963

220,000

    

Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      08/12/2026      220,765

1,995,000

    

Calpine Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.86%      04/06/2026      2,002,611

1,923,595

    

Canyon Valor Companies, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      06/16/2023      1,923,595

1,931,363

    

Capri Acquisitions BidCo Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

   5.26%      11/01/2024      1,911,441

1,985,025

    

Catalent Pharma Solutions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      05/18/2026      1,993,709

922,091

    

CBS Radio Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.80%      11/18/2024      924,396


1,959,698

    

Cengage Learning, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      06/07/2023      1,861,174

1,151,085

    

CEOC LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      10/04/2024      1,151,805

1,861,905

    

Change Healthcare Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      03/01/2024      1,855,742

394,013

    

Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      05/16/2024      394,915

1,894,598

    

CHG Healthcare Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      06/07/2023      1,896,379

1,595,958

    

CHG PPC Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      03/31/2025      1,599,948

808,884

    

Cincinnati Bell, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      10/02/2024      808,095

940,000

    

Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      08/21/2026      943,943

1,015,838

    

ClubCorporationHoldings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      09/18/2024      908,753

794,762

    

CommScope, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      04/06/2026      793,344

1,545,209

    

Compass Power Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      12/20/2024      1,550,038

1,328,529

    

Concentra, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

   4.54%      06/01/2022      1,338,493

768,168

    

Covia Holdings Corporation, Senior Secured First Lien Term Loan (1 Week LIBOR USD + 3.75%, 1.00% Floor)

   6.04%      06/02/2025      630,508

1,137,760

    

CPI Holdco LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      03/21/2024      1,138,471

392,038

    

CPM Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      11/17/2025      387,627

1,182,128

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.28%      07/17/2025      1,183,286

527,350

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.28%      01/15/2026      527,877

1,436,400

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

   5.18%      04/15/2027      1,439,689

1,658,037

    

CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.29%      07/03/2020      1,550,265

1,642,358

    

Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.79%      11/29/2024      1,624,399

1,339,294

    

Cyxtera DC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      05/01/2024      1,214,451

745,000

    

DaVita, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      08/12/2026      750,081

814,819

    

Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      02/13/2025      802,800

3,067,901

    

Dell International LLC, Senior Secured First Lien Term Loan

   4.05%   ±    09/19/2025      3,085,986

893,258

    

Delta 2 SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      02/01/2024      884,102

1,270,524

    

DentalCorporationPerfect Smile ULC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.79%      06/06/2025      1,251,733

360,000

    

Diamond Sports Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      08/24/2026      362,588

707,828

    

Digicel International Finance Ltd., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.25%)

   5.34%      05/27/2024      615,959

1,220,000

    

DigiCert Holdings, Inc., Senior Secured First Lien Term Loan

   6.26%   ±    08/08/2026      1,217,713

438,986

    

Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      04/06/2026      441,591

236,014

    

Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      04/06/2026      237,415

591,524

    

Dynatrace LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   4.79%      08/22/2025      594,727

1,492,500

    

E.W. Scripps Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      05/01/2026      1,495,858

1,906,226

    

EAB Global, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor)

   6.38%      11/15/2024      1,886,363

1,575,498

    

Edgewater Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      12/12/2025      1,559,751

1,270,950

    

EG America LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      02/06/2025      1,258,717

980,525

    

Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/10/2025      803,109

1,924,064

    

Equinox Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      03/08/2024      1,927,672

853,016

    

ESH Hospitality, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      09/18/2026      858,014

1,884,436

    

Excelitas Technologies Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      12/02/2024      1,887,978

331,965

    

Exgen Renewables IV LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.13%      11/29/2024      325,637

800,701

    

Explorer Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.85%      05/02/2023      800,325

1,913,582

    

Filtration Group Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      03/31/2025      1,921,093

1,613,438

    

Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/01/2025      1,623,861

835,000

    

Flex Acquisition Company, Inc., Senior Secured First Lien Term Loan

   5.35%   ±    06/29/2025      806,297

682,298

    

Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      08/01/2024      591,467

1,888,163

    

Flexera Software LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.55%      02/26/2025      1,894,460

2,394,784

    

Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)

   7.87%      03/28/2022      1,319,131

1,592,963

    

Forest City Enterprises, LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.04%      12/08/2025      1,606,654

1,022,247

    

Forterra Finance, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      10/25/2023      969,857

861,315

    

Frontdoor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.56%      08/18/2025      867,241

801,484

    

Frontera Generation Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      05/02/2025      759,406

4,064,269

    

Garda World Security Corporation, Senior Secured First Lien Term Loan (Prime Rate + 2.50%, 1.00% Floor)

   7.50%      05/24/2024      4,073,149

798,061

    

Gates Global LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/01/2024      787,271

535,000

    

Gavilan Resources LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)

   8.04%      03/01/2024      241,643

1,933,441

    

Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/01/2023      1,925,379

2,512,362

    

Gentiva Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.81%      07/02/2025      2,529,634

1,013,780

    

Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.56%      02/19/2026      1,012,092

1,807,786

    

Go Daddy Operating Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      02/15/2024      1,812,992

1,683,540

    

GOBP Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.76%      10/22/2025      1,694,593

1,585,560

    

GoodRX, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   4.81%      10/10/2025      1,587,542

1,604,233

    

GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      02/12/2025      1,564,793

465,000

    

Granite Holdings Acquisition Company, Senior Secured First Lien Term Loan

   7.32%   ±    09/25/2026      453,956

2,827,282

    

Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.51%      01/02/2026      2,841,220

1,807,755

    

GTT Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      06/02/2025      1,462,863
    

Gulf Finance LLC, Senior Secured First Lien Term Loan

            

581,466

    

  (3 Month LIBOR USD + 5.25%, 1.00% Floor)

   7.36%      08/25/2023      445,551

990,065

    

  (1 Month LIBOR USD + 5.25%, 1.00% Floor)

   7.29%      08/25/2023      758,642

806,057

    

Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.54%      08/18/2023      784,462

493,083

    

Hayward Industries, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      08/05/2024      477,674

1,815,000

    

HC Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%

   6.54%      08/06/2026      1,815,000

668,250

    

HD Supply, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/17/2023      671,454

778,050

    

Hexion, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      07/01/2026      778,050

3,148,995

    

Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan

   3.77%   ±    06/22/2026      3,171,242

1,865,702

    

Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor)

   5.29%      07/01/2024      1,867,801

488,254

    

Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor)

   9.04%      07/07/2025      491,459

448,175

    

IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.31%      06/29/2026      450,976

780,564

    

IHeartCommunications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.03%      05/01/2026      786,551

1,565,125

    

Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      08/05/2022      1,573,280

800,000

    

Inmarsat PLC, Senior Secured First Lien Term Loan

   6.59%   ±    09/23/2026      788,812

794,533

    

Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.80%      11/27/2023      797,886

646,522

    

ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.10%      11/21/2024      617,105

1,830,987

    

IQVIA, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%)

   4.10%      01/17/2025      1,842,431

2,092,523

    

IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.55%      02/05/2025      2,086,130

788,823

    

IRI Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

   6.62%      12/01/2025      760,970

1,849,619

    

Jaguar Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      08/18/2022      1,853,189

2,472,575

    

JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      05/01/2026      2,487,002
    

Jo-Ann Stores LLC, Senior Secured First Lien Term Loan

            

1,600,447

    

  (3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.26%      10/20/2023      1,108,974

66,685

    

  (1 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.05%      10/20/2023      46,207

584,739

    

KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.31%      09/19/2026      588,212

1,249,138

    

KBR, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      04/25/2025      1,254,216

1,430,000

    

Kestrel Bidco, Inc., Senior Secured First Lien Term Loan

   5.27%   ±    10/08/2026      1,442,405

797,230

    

Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.06%      07/02/2025      800,219

887,455

    

Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      06/30/2022      788,726

1,676,199

    

Kronos Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.26%      05/15/2023      1,594,484

1,861,978

    

Kronos, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.25%      11/01/2023      1,867,481

1,473,387

    

Learfield Communications LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.30%      12/01/2023      1,480,386

740,000

    

Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      02/22/2024      742,313

1,851,026

    

Life Time Fitness, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.87%      06/10/2022      1,853,867

713,508

    

Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      03/24/2025      713,062

1,576,297

    

Lower Cadence Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      05/22/2026      1,540,341

1,636,705

    

Lucid Energy Group II Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      02/18/2025      1,553,847

997,463

    

Marriott Ownership Resorts, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      08/29/2025      1,004,116

145,113

    

Mavis Tire Express Services Corporation, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%   &    03/20/2025      142,392

1,140,850

    

Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      03/20/2025      1,119,459

955,299

    

McDermott International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.10%      05/12/2025      608,048

150,857

    

MED ParentCo LP, Senior Secured First Lien Term Loan

   6.28%   ± &    08/29/2026      149,990

604,143

    

MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)

   6.29%      08/31/2026      600,669

801,111

    

Messer Industries LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%)

   4.60%      03/02/2026      800,615

1,732,808

    

MGM Growth Properties Operating Partnership LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      03/21/2025      1,739,185

1,493,513

    

Milacron LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      09/28/2023      1,495,380

2,515,755

    

Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.04%      03/27/2026      2,449,716

38,095

    

Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan

   5.67%   ± &    05/14/2026      38,106

760,000

    

Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.66%      05/14/2026      760,205

836,303

    

Mitchell International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      11/29/2024      803,445

818,142

    

MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.53%      11/28/2025      762,917

1,857,840

    

MPH Acquisition Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.85%      06/07/2023      1,775,008


815,000

    

Nascar Holdings, Inc., Senior Secured First Lien Term Loan

   4.88%   ±    07/26/2026      821,430

288,000

    

NCR Corporation, Senior Secured First Lien Term Loan

   4.53%   ± &    08/28/2026      288,900

252,000

    

NCR Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      08/28/2026      252,788

1,364,688

    

NEP Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      10/20/2025      1,343,078

1,950,000

    

Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.81%      09/18/2026      1,961,115

969,506

    

Numericable U.S. LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.03%      08/14/2026      968,900

535,000

    

ON Semiconductor Corporation, Senior Secured First Lien Term Loan

   4.05%   ±    09/19/2026      538,012

397,000

    

Outcomes Group Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.62%      10/24/2025      393,030

428,235

    

Panther BF Aggregator 2 LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      04/30/2026      425,426

837,180

    

Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      09/27/2024      796,966

568,575

    

PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      05/29/2026      572,794

1,295,946

    

Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor)

   4.29%      10/15/2025      1,304,189

1,756,514

    

PetSmart, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   6.04%      03/11/2022      1,716,904

816,172

    

Pike Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      07/24/2026      820,195

812,477

    

Pisces Midco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      04/12/2025      797,243

772,155

    

Plantronics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      07/02/2025      771,672

828,744

    

Playa Resorts Holding B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/29/2024      808,025

1,861,049

    

PODS LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   5.05%      12/06/2024      1,860,277

959,380

    

PowerTeam Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.35%      03/06/2025      825,066

930,325

    

Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)

   6.85%      03/11/2026      909,974

800,000

    

Pregis Topco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.25%      07/31/2026      799,000

1,215,000

    

Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan

   5.34%   ±    09/23/2026      1,203,421

978,933

    

Pro Mach Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   4.81%      03/07/2025      955,380

1,618,392

    

Project Alpha Intermediate Holding, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.81%      04/26/2024      1,600,185

1,263,520

    

Radiate Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)

   5.04%      02/01/2024      1,260,576
    

Radiology Partners, Inc., Senior Secured First Lien Term Loan

            

899,856

    

(3 Month LIBOR USD + 4.75%)

   7.06%      07/09/2025      889,413

599,904

    

(3 Month LIBOR USD + 4.75%)

   7.39%      07/09/2025      592,942

1,259,535

    

RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.55%      11/14/2025      1,262,589

1,593,850

    

Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      05/30/2025      1,568,229

1,633,409

    

RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)

   6.80%      12/17/2021      868,778

1,258,430

    

Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/06/2023      1,262,180

1,179,374

    

RPI Finance Trust, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      03/27/2023      1,186,928

1,637,625

    

Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/31/2025      1,639,508
    

Scientific Games International, Inc., Senior Secured First Lien Term Loan

            

1,543,667

    

  (2 Month LIBOR USD + 2.75%)

   4.90%      08/14/2024      1,532,869

362,095

    

  (1 Month LIBOR USD + 2.75%)

   4.79%      08/14/2024      359,562

2,618,955

    

Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)

   6.54%      11/01/2024      2,319,962

1,933,149

    

Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/31/2025      1,903,997

3,103,399

    

Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

   4.58%      03/06/2025      3,113,097

1,587,773

    

Severin Acquisition LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

   5.46%      08/01/2025      1,565,283

620,000

    

Sinclair Television Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      09/30/2026      623,360

1,561,088

    

Six Flags Theme Parks, Inc., Senior Secured First Lien Term Loan

   4.05%   ±    04/17/2026      1,564,990

1,216,498

    

SMG US Midco 2, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      01/23/2025      1,210,799

1,539,589

    

SolarWinds Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/05/2024      1,543,199

810,827

    

Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.12%      06/26/2025      791,063

1,279,868

    

Solera LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      03/03/2023      1,275,292

1,884,665

    

Sophia LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.35%      09/30/2022      1,887,417

2,200,709

    

Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      06/27/2025      2,201,810

752,378

    

Southern Graphics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/30/2022      558,012

1,301,817

    

Speedcast International Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      05/15/2025      1,106,544

1,917,434

    

Sprint Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.54%      02/02/2024      1,906,648

1,846,133

    

SS&C Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      04/16/2025      1,855,844

980,634

    

Staples, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%)

   7.12%      04/16/2026      968,582

806,952

    

Starfruit US Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      10/01/2025      792,225

876,254

    

Stars Group Holdings B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      07/10/2025      881,227

460,000

    

Sunshine Luxembourg VII SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%)

   6.35%      09/25/2026      462,732

1,412,901

    

Syncreon Global Finance Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.52%   W    10/28/2020      669,362
    

TAMKO Building Products LLC, Senior Secured First Lien Term Loan

            

547,800

    

  (1 Month LIBOR USD + 3.25%)

   5.29%      05/29/2026      548,828

112,200

    

  (3 Month LIBOR USD + 3.25%)

   5.37%      05/29/2026      112,410

794,025

    

Telesat Canada, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.61%      11/17/2023      797,101

2,201,235

    

Tempo Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      05/01/2024      2,211,789

1,255,947

    

The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.05%      02/06/2026      1,265,254

1,869,202

    

The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.31%      07/21/2025      1,874,371

659,317

    

Titan Acquisition Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      03/28/2025      634,669

1,926,263

    

TKC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.80%      02/01/2023      1,897,022

2,552,115

    

Transdigm, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      06/09/2023      2,549,269

1,919

    

Transdigm, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      05/30/2025      1,914

664,683

    

Travelport Finance SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)

   7.10%      05/29/2026      603,675

65,000

    

Uber Technologies, Inc., Senior Secured First Lien Term Loan

   5.55%   ±    07/13/2023      64,662

1,865,038

    

Uber Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.03%      04/04/2025      1,857,662

2,554,432

    

UFC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      04/29/2026      2,564,190

952,613

    

UGI Energy Services LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      08/13/2026      960,948

850,000

    

Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      05/04/2026      856,044

831,600

    

United Rentals, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/31/2025      836,353

625,275

    

Universal Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/31/2025      627,882

656,641

    

US Anesthesia Partners, Inc., Senior Secured 1st Lien Term Loan

   5.04%   ±    06/24/2024      640,842

1,200,000

    

US Foods, Inc., Senior Secured First Lien Term Loan

   4.14%   ±    09/13/2026      1,205,754

1,254,502

    

USIC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      12/08/2023      1,246,662
    

Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan

            

38,300

    

  (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.76%      10/28/2024      35,619

919,208

    

  (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      10/28/2024      854,863

2,047,000

    

Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.54%      08/27/2025      2,057,665

1,629,060

    

Vertafore, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      07/02/2025      1,586,305

1,779,644

    

VICI Properties 1 LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.05%      12/20/2024      1,786,504

678,764

    

Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan

   5.35%   ±    07/01/2026      682,582

500,000

    

Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.53%      01/15/2026      500,913
    

Vistra Operations Company LLC, Senior Secured First Lien Term Loan

            

1,257,749

    

  (1 Month LIBOR USD + 2.00%)

   4.02%      12/31/2025      1,262,906

1,886,624

    

  (1 Month LIBOR USD + 2.00%)

   4.04%      12/31/2025      1,894,359

398,000

    

Vizient, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.54%      05/06/2026      400,637

1,345,000

    

Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      02/05/2026      1,353,406

801,356

    

Web.Com Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.78%      10/10/2025      789,677

700,000

    

Whatabrands LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

   5.52%      08/03/2026      704,029

1,904,909

    

Wink Holdco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      12/02/2024      1,878,726

1,890,597

    

WP CPP Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

   6.01%      04/30/2025      1,895,919

2,145,000

    

Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

   6.79%      09/25/2026      2,131,594
                 

 

Total Bank Loans (Cost $324,464,506)

        317,687,745
       

 

Collateralized Loan Obligations - 2.8%

       

875,000

    

Adams Mill Ltd., Series 2014-1A-D1 (3 Month LIBOR USD + 3.50%)

   5.80%   ^    07/15/2026      875,213

1,000,000

    

AIMCO, Series 2018-AA-D (3 Month LIBOR USD + 2.55%)

   4.85%   ^    04/17/2031      916,080

3,000,000

    

ALM LLC, Series 2013-7RA-CR (3 Month LIBOR USD + 4.04%)

   6.34%   ^    10/15/2028      3,001,381

3,800,000

    

ALM LLC, Series 2013-8A-CR (3 Month LIBOR USD + 3.95%, 3.95% Floor)

   6.25%   ^    10/15/2028      3,801,910

7,500,000

    

Anchorage Capital LLC, Series 2019-13A-B (3 Month LIBOR USD + 2.00%, 2.00% Floor)

   4.49%   ^    04/15/2032      7,515,240

1,000,000

    

Apidos Ltd., Series 2013-12A-DR (3 Month LIBOR USD + 2.60%)

   4.90%   ^    04/15/2031      941,750

189,458

    

Apidos Ltd., Series 2013-16A-A1R (3 Month LIBOR USD + 0.98%)

   3.28%   ^    01/19/2025      189,579

2,950,000

    

Apidos Ltd., Series 2013-16A-BR (3 Month LIBOR USD + 1.95%)

   4.25%   ^    01/19/2025      2,955,505

1,500,000

    

Apidos Ltd., Series 2015-20A-CR (3 Month LIBOR USD + 2.95%)

   5.27%   ^    07/16/2031      1,458,765

5,000,000

    

Atrium Corporation, Series 9A-DR (3 Month LIBOR USD + 3.60%)

   5.74%   ^    05/28/2030      5,003,236

4,500,000

    

Avery Point Ltd., Series 2015-7A-DR (3 Month LIBOR USD + 3.60%)

   5.90%   ^    01/15/2028      4,494,598

5,000,000

    

Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%)

   5.23%   ^    10/20/2030      4,831,702

3,400,000

    

Babson Ltd., Series 2015-IA-DR (3 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.88%   ^    01/20/2031      3,168,226

3,250,000

    

Babson Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%)

   5.90%   ^    07/18/2029      3,251,532

2,000,000

    

Barings Ltd., Series 2018-1A-C (3 Month LIBOR USD + 2.60%)

   4.90%   ^    04/15/2031      1,876,903

5,100,000

    

Barings Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.90%)

   5.18%   ^    07/20/2029      4,846,204

2,000,000

    

Barings Ltd., Series 2018-4A-D (3 Month LIBOR USD + 2.90%, 2.90% Floor)

   5.20%   ^    10/15/2030      1,926,106


3,000,000

    

Barings Ltd., Series 2019-1A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor)

   6.15%   ^    04/15/2031      3,001,573

2,250,000

    

Barings Ltd., Series 2019-2A-C (3 Month LIBOR USD + 3.85%, 3.85% Floor)

   6.15%   ^    04/15/2031      2,252,827

3,000,000

    

BlueMountain Ltd., Series 2013-1A-CR (3 Month LIBOR USD + 4.15%)

   6.43%   ^    01/20/2029      2,917,525

4,000,000

    

BlueMountain Ltd., Series 2015-3A-CR (3 Month LIBOR USD + 2.60%)

   4.88%   ^    04/20/2031      3,691,216

2,000,000

    

BlueMountain Ltd., Series 2016-3A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor)

   5.26%   ^    11/15/2030      1,916,510

2,000,000

    

Bristol Park Ltd., Series 2016-1A-D (3 Month LIBOR USD + 4.10%)

   6.40%   ^    04/15/2029      2,001,061

4,500,000

    

Canyon Capital Ltd., Series 2012-1RA-D (3 Month LIBOR USD + 3.00%)

   5.30%   ^    07/15/2030      4,344,201

2,750,000

    

Canyon Capital Ltd., Series 2014-1A-CR (3 Month LIBOR USD + 2.75%, 2.75% Floor)

   5.02%   ^    01/30/2031      2,555,044

1,500,000

    

Canyon Capital Ltd., Series 2014-2A-DR (3 Month LIBOR USD + 3.65%)

   5.95%   ^    04/15/2029      1,500,539

3,000,000

    

Canyon Capital Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.80%)

   5.10%   ^    07/15/2031      2,846,374

1,500,000

    

Canyon Capital Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%)

   5.90%   ^    07/15/2030      1,501,946

4,000,000

    

Canyon Capital Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%, 2.90% Floor)

   5.20%   ^    07/15/2031      3,815,980

2,500,000

    

Carlyle US Ltd., Series 2016-4A-CR (3 Month LIBOR USD + 2.80%, 2.80% Floor)

   5.08%   ^    10/20/2027      2,365,705

10,000,000

    

CBAM Ltd., Series 2019-10A-A1A (3 Month LIBOR USD + 1.42%, 1.42% Floor)

   3.99%   ^    04/20/2032      10,050,957

3,250,000

    

Cook Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.60%)

   4.90%   ^    04/17/2030      3,064,734

2,150,000

    

CRMN Mortgage Trust, Series 2016-1A-C (3 Month LIBOR USD + 3.85%)

   6.15%   ^    01/18/2029      2,150,746

10,000,000

    

CVP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.34%)

   3.62%   ^    07/20/2030      10,000,963

10,000,000

    

Dryden Senior Loan Fund, Series 2014-33A-DR2 (3 Month LIBOR USD + 3.85%, 3.85% Floor)

   6.15%   ^    04/15/2029      10,020,344

3,000,000

    

Dryden Senior Loan Fund, Series 2015-40A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor)

   5.26%   ^    08/15/2031      2,937,746

2,200,000

    

Dryden Senior Loan Fund, Series 2016-43A-DRR (3 Month LIBOR USD + 3.55%, 3.55% Floor)

   5.83%   ^    07/20/2029      2,206,749

2,000,000

    

Dryden Senior Loan Fund, Series 2018-57A-D (3 Month LIBOR USD + 2.55%, 2.55% Floor)

   4.71%   ^    05/15/2031      1,868,811

10,000,000

    

Elmwood Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.10%, 2.10% Floor)

   4.65%   ^    04/20/2031      9,999,153

2,250,000

    

Fillmore Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%)

   5.20%   ^    07/15/2030      2,164,945

2,000,000

    

Gilbert Park Ltd., Series 2017-1A-D (3 Month LIBOR USD + 2.95%)

   5.25%   ^    10/15/2030      1,940,914

4,000,000

    

Gilbert Park Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.40%)

   8.70%   ^    10/15/2030      3,902,001

2,000,000

    

GoldenTree Loan Management Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.35%)

   5.63%   ^    04/20/2029      2,002,619

5,000,000

    

GoldenTree Loan Management Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.85%)

   5.13%   ^    04/20/2030      4,807,679

3,500,000

    

GoldenTree Loan Opportunities Ltd., Series 2015-11A-DR2 (3 Month LIBOR USD + 2.40%)

   4.70%   ^    01/18/2031      3,265,429

2,000,000

    

Grippen Park Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.30%)

   5.58%   ^    01/20/2030      1,986,284

740,000

    

Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C (3 Month LIBOR USD + 2.70%)

   4.95%   ^    08/01/2025      739,582

1,500,000

    

Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D (3 Month LIBOR USD + 3.65%)

   5.93%   ^    10/22/2025      1,492,529

5,000,000

    

Hayfin Kingsland Ltd., Series 2018-9A-BR (3 Month LIBOR USD + 1.80%)

   4.06%   ^    04/28/2031      4,932,601

9,250,000

    

Hayfin Kingsland Ltd., Series 2019-1A-B1 (3 Month LIBOR USD + 2.25%, 2.25% Floor)

   4.87%   ^    04/28/2031      9,247,302

1,481,500

    

Highbridge Loan Management Ltd., Series 4A-2014-A2R (3 Month LIBOR USD + 1.50%)

   3.76%   ^    01/28/2030      1,462,981

2,500,000

    

Highbridge Loan Management Ltd., Series 8A-2016-DR (3 Month LIBOR USD + 2.90%, 2.90% Floor)

   5.18%   ^    07/20/2030      2,340,819

1,500,000

    

HPS Loan Management Ltd., Series 13A-18-D (3 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.30%   ^    10/15/2030      1,389,200

4,000,000

    

LCM LP, Series 14A-DR (3 Month LIBOR USD + 2.75%)

   5.03%   ^    07/20/2031      3,745,335

2,000,000

    

LCM LP, Series 19A-D (3 Month LIBOR USD + 3.45%, 3.45% Floor)

   5.75%   ^    07/15/2027      2,000,177

2,000,000

    

LCM LP, Series 20A-DR (3 Month LIBOR USD + 2.80%, 2.80% Floor)

   5.08%   ^    10/20/2027      1,907,940

3,250,000

    

LCM Ltd., Series 28A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor)

   5.23%   ^    10/20/2030      3,082,292

4,000,000

    

LCM Ltd., Series 30A-D, Series 0-30A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor)

   6.32%   ^    04/20/2031      4,002,223

4,000,000

    

Madison Park Funding Ltd., Series 2014-14A-DRR (3 Month LIBOR USD + 2.95%, 2.95% Floor)

   5.23%   ^    10/22/2030      3,865,755

2,000,000

    

Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%)

   5.71%   ^    01/27/2026      2,005,696

1,250,000

    

Madison Park Funding Ltd., Series 2014-15A-DR (3 Month LIBOR USD + 5.44%)

   7.70%   ^    01/27/2026      1,242,951

1,000,000

    

Madison Park Funding Ltd., Series 2015-16A-D (3 Month LIBOR USD + 5.50%)

   7.78%   ^    04/20/2026      991,248

5,000,000

    

Madison Park Funding Ltd., Series 2015-18A-DR (3 Month LIBOR USD + 2.95%)

   5.23%   ^    10/21/2030      4,794,239

3,750,000

    

Madison Park Funding Ltd., Series 2019-34A-D (3 Month LIBOR USD + 3.70%, 3.70% Floor)

   6.28%   ^    04/25/2031      3,738,187

4,000,000

    

Magnetite Ltd., Series 2015-14RA-D (3 Month LIBOR USD + 2.85%)

   5.15%   ^    10/18/2031      3,848,299

1,500,000

    

Magnetite Ltd., Series 2016-18A-DR (3 Month LIBOR USD + 2.70%)

   4.86%   ^    11/15/2028      1,477,455

2,500,000

    

Marble Point Ltd., Series 2017-1A-B (3 Month LIBOR USD + 1.80%)

   4.10%   ^    10/15/2030      2,490,608

2,000,000

    

MDPK, Series 2018-32A-D (3 Month LIBOR USD + 4.10%, 4.10% Floor)

   6.38%   ^    01/22/2031      2,002,006

1,000,000

    

Myers Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.33%   ^    10/20/2030      970,952

3,500,000

    

Neuberger Berman Loan Advisers Ltd., Series 2016-23A-DR (3 Month LIBOR USD + 2.90%, 2.90% Floor)

   5.20%   ^    10/17/2027      3,319,808

2,500,000

    

Neuberger Berman Loan Advisers Ltd., Series 2018-29A-D (3 Month LIBOR USD + 3.10%, 3.10% Floor)

   5.40%   ^    10/19/2031      2,351,872

2,000,000

    

Neuberger Berman Loan Advisers Ltd., Series 2019-32A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor)

   6.15%   ^    01/19/2032      1,995,417

4,000,000

    

Newark BSL Ltd., Series 2016-1A-C (3 Month LIBOR USD + 4.00%)

   6.26%   ^    12/21/2029      4,002,231

2,000,000

    

Newark BSL Ltd., Series 2017-1A-C (3 Month LIBOR USD + 3.65%)

   5.93%   ^    07/25/2030      1,995,386

6,000,000

    

Oak Hill Credit Partners Ltd., Series 2014-10RA-D (3 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.43%   ^    12/12/2030      5,768,505

5,600,000

    

Octagon Investment Partners Ltd., Series 2012-1A-CR (3 Month LIBOR USD + 4.00%)

   6.30%   ^    07/15/2029      5,561,378

2,000,000

    

Octagon Investment Partners Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.30%   ^    07/17/2030      1,904,243

6,900,000

    

Octagon Investment Partners Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 3.70%)

   6.00%   ^    07/19/2030      6,805,125

2,250,000

    

Octagon Investment Partners Ltd., Series 2014-1A-CRR (3 Month LIBOR USD + 3.95%, 3.95% Floor)

   6.13%   ^    02/14/2031      2,246,752

2,500,000

    

Octagon Investment Partners Ltd., Series 2014-1A-ERR (3 Month LIBOR USD + 5.45%, 5.45% Floor)

   7.73%   ^    01/22/2030      2,235,341

2,193,659

    

Octagon Investment Partners Ltd., Series 2016-1A-D (3 Month LIBOR USD + 4.25%)

   6.53%   ^    01/24/2028      2,194,753

10,000,000

    

Octagon Investment Partners Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.95%)

   5.25%   ^    07/15/2030      9,526,014

4,000,000

    

Octagon Investment Partners Ltd., Series 2017-1A-C (3 Month LIBOR USD + 3.50%)

   5.78%   ^    03/17/2030      4,002,664

1,760,000

    

Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%)

   8.48%   ^    03/17/2030      1,684,551

2,500,000

    

Octagon Investment Partners Ltd., Series 2018-2A-C (3 Month LIBOR USD + 2.85%)

   5.13%   ^    07/25/2030      2,355,668

2,000,000

    

OHA Credit Funding Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.33%   ^    10/20/2030      1,934,107

10,000,000

    

Stewart Park Ltd., Series 2015-1A-DR (3 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.90%   ^    01/15/2030      9,375,000

3,000,000

    

Symphony Ltd., Series 2015-16A-DR (3 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.35%   ^    10/15/2031      2,916,165

2,500,000

    

Symphony Ltd., Series 2016-17A-DR (3 Month LIBOR USD + 2.65%)

   4.95%   ^    04/15/2028      2,459,037

2,387,318

    

Taconic Park Ltd., Series 2016-1A-C (3 Month LIBOR USD + 4.05%)

   6.33%   ^    01/20/2029      2,348,255

2,000,000

    

Thacher Park Ltd., Series 2014-1A-D1R (3 Month LIBOR USD + 3.40%)

   5.68%   ^    10/20/2026      2,002,836

1,000,000

    

VERDE, Series 2019-1A-D (3 Month LIBOR USD + 3.80%, 3.80% Floor)

   6.36%   ^    04/15/2032      1,001,598

3,000,000

    

Voya Ltd., Series 2014-1A-CR2 (3 Month LIBOR USD + 2.80%)

   5.10%   ^    04/18/2031      2,812,150

2,000,000

    

Voya Ltd., Series 2017-3A-C (3 Month LIBOR USD + 3.55%)

   5.83%   ^    07/20/2030      2,000,670

4,000,000

    

Voya Ltd., Series 2018-2A-D (3 Month LIBOR USD + 2.75%, 2.75% Floor)

   5.05%   ^    07/15/2031      3,808,215

10,250,000

    

Wellfleet Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.53%   ^    01/20/2032      10,269,956

2,250,000

    

Wind River Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.30%   ^    07/18/2031      2,069,478

1,000,000

    

Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)

   8.05%   ^    01/15/2031      857,500

3,000,000

    

Wind River Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.85%)

   5.15%   ^    07/15/2028      2,849,324

3,000,000

    

Wind River Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.75%)

   6.05%   ^    04/18/2029      3,004,255

3,000,000

    

Wind River Ltd., Series 2017-3A-D (3 Month LIBOR USD + 3.15%)

   5.45%   ^    10/15/2030      2,863,726

4,000,000

    

Wind River Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%)

   5.20%   ^    07/15/2030      3,704,872

2,500,000

    

Wind River Ltd., Series 2018-2A-D (3 Month LIBOR USD + 3.00%)

   5.30%   ^    07/15/2030      2,328,765

3,000,000

    

Wind River Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor)

   5.23%   ^    01/20/2031      2,828,319

10,000,000

    

Wind River Ltd., Series 2019-3A-B (3 Month LIBOR USD + 2.10%)

   4.60%   ^    04/15/2031      10,011,204
                 

 

Total Collateralized Loan Obligations (Cost $359,819,072)

          351,300,022
         

 

Foreign Corporate Bonds - 12.8%

         

3,900,000

    

Adani Ports & Special Economic Zone Ltd.

   3.95%      01/19/2022      3,993,844

437,000

    

Adecoagro S.A.

   6.00%      09/21/2027      420,613

16,915,000

    

AerCap Global Aviation Trust

   3.50%      01/15/2025      17,275,322

200,000

    

Aeropuerto Internacional de Tocumen S.A.

   5.63%      05/18/2036      235,002

6,200,000

    

AES Andres B.V.

   7.95%   ^    05/11/2026      6,626,250

5,850,000

    

AES Dominicana

   7.95%      05/11/2026      6,252,188

500,000

    

AES Gener S.A.

   5.00%      07/14/2025      523,812

9,300,000

    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

   7.13%   ^    03/26/2079      9,776,625

3,900,000

    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

   7.13%      03/26/2079      4,099,875

4,250,000

    

AI Candelaria Spain SLU

   7.50%   ^    12/15/2028      4,839,730

5,700,000

    

AI Candelaria Spain SLU

   7.50%      12/15/2028      6,490,932

1,700,000

    

AJE Corporation B.V.

   6.50%      05/14/2022      1,621,375

1,170,000

    

Aker BP ASA

   4.75%   ^    06/15/2024      1,224,990

2,600,000

    

Alcoa Nederland Holding B.V.

   6.13%   ^    05/15/2028      2,775,240

2,275,000

    

Altice France S.A.

   7.38%   ^    05/01/2026      2,447,809

700,000

    

Altice Luxembourg S.A.

   7.75%   ^    05/15/2022      716,625

600,000

    

America Movil S.A.B. de C.V.

   5.00%      03/30/2020      607,898

14,120,000

    

Anglo American Capital PLC

   4.50%   ^    03/15/2028      15,005,863

1,945,000

    

Ardagh Packaging Finance, Inc.

   6.00%   ^    02/15/2025      2,038,554

490,000

    

Ardagh Packaging Finance, Inc.

   4.13%   ^    08/15/2026      494,287

975,000

    

Ardagh Packaging Finance, Inc.

   5.25%   ^    08/15/2027      989,625

15,967,000

    

AstraZeneca PLC

   2.38%      06/12/2022      16,090,201

1,775,000

    

Avation Capital S.A.

   6.50%   ^    05/15/2021      1,846,000

2,305,000

    

Avolon Holdings Funding Ltd.

   5.25%   ^    05/15/2024      2,473,726

10,955,000

    

Avolon Holdings Funding Ltd.

   3.95%   ^    07/01/2024      11,250,237

9,000,000

    

Axiata SPV2 BHD

   3.47%      11/19/2020      9,098,116

18,986,000

    

Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%)

   7.75%   ^    02/15/2029      19,840,370


5,000,000

    

Banco de Credito e Inversiones

   4.00%      02/11/2023      5,244,493

1,000,000

    

Banco de Reservas de la Republica Dominicana

   7.00%   ^    02/01/2023      1,051,260

4,100,000

    

Banco de Reservas de la Republica Dominicana

   7.00%      02/01/2023      4,310,166

1,000,000

    

Banco del Estado de Chile

   2.67%   ^    01/08/2021      1,000,753

20,300,000

    

Banco do Brasil S.A. (10 Year CMT Rate + 4.40%)

   6.25%      04/15/2024      20,046,250

1,705,000

    

Banco General S.A.

   4.13%      08/07/2027      1,793,455

800,000

    

Banco GNB Sudameris S.A. (5 Year CMT Rate + 4.56%)

   6.50%      04/03/2027      827,008

7,000,000

    

Banco International del Peru S.A.A.

   5.75%      10/07/2020      7,227,570

1,000,000

    

Banco International del Peru S.A.A. (3 Month LIBOR USD + 6.74%)

   8.50%      04/23/2070      1,032,510

10,203,000

    

Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)

   6.75%      11/04/2026      7,065,578

2,247,000

    

Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)

   6.75%   ^    11/04/2026      1,556,047

2,521,000

    

Banco Mercantil de Norte (10 Year CMT Rate + 5.47%)

   7.50%   ^†    06/27/2029      2,561,966

13,423,000

    

Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%)

   7.63%      01/10/2028      13,741,930

1,000,000

    

Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%)

   7.50%      06/27/2029      1,016,250

2,500,000

    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 4.45%)

   5.75%      10/04/2031      2,509,400

6,100,000

    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%)

   6.88%      07/06/2022      6,145,750

800,000

    

Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) (5 Year CMT Rate + 3.00%)

   3.80%      08/11/2026      811,008

2,293,000

    

Banco Nacional de Costa Rica

   5.88%   ^    04/25/2021      2,337,163

300,000

    

Banco Santander

   3.88%      09/20/2022      312,588

13,400,000

    

Banco Santander (3 Month LIBOR USD + 1.09%)

   3.24%      02/23/2023      13,411,497

5,600,000

    

Banco Santander (5 Year CMT Rate + 3.00%)

   5.95%   ^    10/01/2028      6,018,600

1,000,000

    

Bancolombia S.A.

   6.13%      07/26/2020      1,027,760

4,314,000

    

Bancolombia S.A.

   5.13%      09/11/2022      4,545,921

5,942,000

    

Bancolombia S.A. (5 Year CMT Rate + 2.93%)

   4.88%      10/18/2027      6,127,687

2,500,000

    

Banistmo S.A.

   3.65%   ^    09/19/2022      2,521,900

2,000,000

    

Banistmo S.A.

   3.65%      09/19/2022      2,017,520

12,510,000

    

Bank of Montreal (5 Year Swap Rate USD + 1.43%)

   3.80%      12/15/2032      12,985,755

16,320,000

    

Bank of New Zealand

   3.50%   ^    02/20/2024      17,103,818

12,070,000

    

Bank of Nova Scotia

   3.40%      02/11/2024      12,609,122

1,250,000

    

Bantrab Senior Trust

   9.00%      11/14/2020      1,290,950

17,510,000

    

Barclays PLC (3 Month LIBOR USD + 1.38%)

   3.55%      05/16/2024      17,433,550

1,800,000

    

BBVA Banco Continental S.A.

   5.00%      08/26/2022      1,923,300

22,896,000

    

BBVA Bancomer S.A. (5 Year CMT Rate + 2.65%)

   5.13%      01/18/2033      21,894,300

1,200,000

    

BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%)

   5.35%      11/12/2029      1,197,012

700,000

    

BBVA Bancomer S.A. (5 Year CMT Rate + 4.31%)

   5.88%   ^    09/13/2034      697,375

1,600,000

    

BBVA Colombia S.A.

   4.88%      04/21/2025      1,718,000

1,000,000

    

BDO Unibank, Inc.

   2.63%      10/24/2021      1,004,269

16,900,000

    

BDO Unibank, Inc.

   2.95%      03/06/2023      17,143,703

2,100,000

    

Bharat Petroleum Corporation Ltd.

   4.63%      10/25/2022      2,215,374

11,900,000

    

Bharti Airtel Ltd.

   5.13%      03/11/2023      12,539,283

7,300,000

    

Bharti Airtel Ltd.

   4.38%      06/10/2025      7,562,187

16,195,000

    

BNP Paribas S.A.

   3.38%   ^    01/09/2025      16,759,976

13,405,000

    

BOC Aviation Ltd. (3 Month LIBOR USD + 1.13%)

   3.24%   ^    09/26/2023      13,477,052

1,010,000

    

Bombardier, Inc.

   6.00%   ^    10/15/2022      1,013,787

1,120,000

    

Bombardier, Inc.

   7.88%   ^    04/15/2027      1,118,152

11,000,000

    

BPRL International Singapore Pte Ltd.

   4.38%      01/18/2027      11,778,152

200,000

    

Braskem Finance Ltd.

   6.45%      02/03/2024      221,250

2,450,000

    

C&W Senior Financing DAC

   7.50%      10/15/2026      2,590,875

4,800,000

    

C&W Senior Financing DAC

   7.50%   ^    10/15/2026      5,076,000

15,500,000

    

C&W Senior Financing DAC

   6.88%      09/15/2027      16,120,000

2,330,000

    

Camelot Finance S.A.

   7.88%   ^    10/15/2024      2,434,850

1,200,000

    

Canacol Energy Ltd.

   7.25%   ^    05/03/2025      1,274,100

11,400,000

    

Canacol Energy Ltd.

   7.25%      05/03/2025      12,103,950

1,500,000

    

Celulosa Arauco y Constitucion S.A.

   4.75%      01/11/2022      1,561,875

5,500,000

    

Celulosa Arauco y Constitucion S.A.

   5.50%   ^    04/30/2049      6,111,875

7,021,000

    

Cenovus Energy, Inc.

   5.40%      06/15/2047      7,921,634

4,921,000

    

CIMPOR Financial Operations B.V.

   5.75%      07/17/2024      3,703,053

5,000,000

    

CK Hutchison International Ltd.

   3.50%   ^    04/05/2027      5,254,237

15,800,000

    

CNOOC Finance Ltd.

   3.75%      05/02/2023      16,459,765

6,700,000

    

CNOOC Finance Ltd.

   3.50%      05/05/2025      6,995,262

900,000

    

CNPC General Capital Ltd.

   3.95%      04/19/2022      932,234

2,000,000

    

CNPC Overseas Capital Ltd.

   4.50%      04/28/2021      2,061,802

1,900,000

    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

   8.50%      03/30/2020      1,954,625

4,100,000

    

Comcel Trust

   6.88%      02/06/2024      4,233,250

22,873,500

    

Cometa Energia S.A. de C.V.

   6.38%      04/24/2035      24,417,461

14,755,000

    

Commonwealth Bank of Australia

   4.32%   ^    01/10/2048      16,286,033

6,000,000

    

Controladora Mabe S.A. de C.V.

   5.60%      10/23/2028      6,480,060

6,610,000

    

Cosan Overseas Ltd.

   8.25%      11/05/2019      6,857,941

15,665,000

    

Credit Agricole S.A.

   3.75%   ^    04/24/2023      16,384,005

15,120,000

    

Credit Suisse Group AG (3 Month LIBOR USD + 1.24%)

   3.37%   ^    06/12/2024      15,225,380

9,000,000

    

Credito Real S.A.B. de C.V.

   9.50%   ^    02/07/2026      10,395,000

6,550,000

    

Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)

   9.13%      11/29/2022      6,746,566

5,393,000

    

CSN Islands Corporation

   7.00%      12/23/2019      4,722,300

4,900,000

    

CSN Resources S.A.

   7.63%      02/13/2023      5,126,625

500,000

    

CSN Resources S.A.

   7.63%      04/17/2026      520,058

6,800,000

    

CSN Resources S.A.

   7.63%   ^    04/17/2026      7,072,782

3,200,000

    

DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%)

   2.90%      07/25/2022      3,214,898

2,000,000

    

DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%)

   4.52%      12/11/2028      2,127,692

12,650,000

    

DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%)

   3.60%      09/07/2021      12,713,250

785,000

    

Delek & Avner Tamar Bond Ltd.

   5.08%   ^    12/30/2023      807,832

1,760,000

    

Delek & Avner Tamar Bond Ltd.

   5.41%   ^    12/30/2025      1,823,412

11,047,055

    

Digicel Group Two Ltd. (7.13% Cash + 2.00% PIK)

   9.13%   ^    04/01/2024      1,159,941

5,400,000

    

Docuformas SAPI de C.V.

   10.25%   ^    07/24/2024      5,343,030

3,000,000

    

ECL S.A.

   5.63%      01/15/2021      3,126,905

1,000,000

    

Ecopetrol S.A.

   5.88%      09/18/2023      1,116,000

3,000,000

    

El Puerto de Liverpool S.A.B. de C.V.

   3.95%      10/02/2024      3,078,780

200,000

    

El Puerto de Liverpool S.A.B. de C.V.

   3.88%      10/06/2026      203,752

5,687,000

    

Embotelladora Andina S.A.

   5.00%      10/01/2023      6,124,951

6,200,000

    

Empresa de Transmision Electrica S.A.

   5.13%   ^    05/02/2049      7,157,125

2,985,863

    

Empresa Electrica Angamos S.A.

   4.88%      05/25/2029      3,130,959

8,500,000

    

Empresa Electrica Guacolda S.A.

   4.56%      04/30/2025      7,692,820

2,141,000

    

Empresa Nacional de Telecomunicaciones S.A.

   4.88%      10/30/2024      2,268,202

2,700,000

    

Empresas Publicas de Medellin ESP

   4.25%   ^    07/18/2029      2,845,530

5,666,009

    

ENA Norte Trust

   4.95%      04/25/2023      5,864,376

2,450,000

    

Energuate Trust

   5.88%      05/03/2027      2,462,250

2,400,000

    

Engie Energia Chile S.A.

   4.50%      01/29/2025      2,574,000

8,200,000

    

ENTEL Chile S.A.

   4.75%      08/01/2026      8,671,371

1,624,000

    

ESAL GMBH

   6.25%      02/05/2023      1,656,496

2,300,000

    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%)

   3.00%      05/23/2024      2,308,020

1,482,000

    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%)

   3.04%      11/20/2023      1,489,085

2,900,000

    

Export-Import Bank of India

   4.00%      01/14/2023      3,017,283

2,100,000

    

Fideicomiso Pacifico Tres

   8.25%      01/15/2035      2,394,000

2,000,000

    

Fondo Mivivienda S.A.

   3.50%   ^    01/31/2023      2,055,000

14,200,000

    

Fortis, Inc.

   2.10%      10/04/2021      14,156,949

10,248,000

    

Freeport-McMoRan Copper & Gold, Inc.

   5.40%      11/14/2034      9,786,840

13,252,000

    

Freeport-McMoRan Copper & Gold, Inc.

   5.45%      03/15/2043      11,998,096

5,000,000

    

Fresnillo PLC

   5.50%      11/13/2023      5,462,550

15,175,000

    

Geopark Ltd.

   6.50%      09/21/2024      15,668,188

930,000

    

GFL Environmental, Inc.

   8.50%   ^    05/01/2027      1,033,462

1,600,000

    

Gilex Holding Sarl

   8.50%   ^    05/02/2023      1,722,016

4,250,000

    

Gilex Holding Sarl

   8.50%      05/02/2023      4,574,105

3,400,000

    

Global Bank Corporation

   4.50%      10/20/2021      3,508,392

1,500,000

    

Global Bank Corporation

   4.50%   ^    10/20/2021      1,547,820

11,550,000

    

Global Bank Corporation (3 Month LIBOR USD + 3.30%)

   5.25%   ^    04/16/2029      12,266,100

294,000

    

Globo Comunicacao e Participacoes S.A.

   4.88%      04/11/2022      305,212

365,000

    

GNL Quintero S.A.

   4.63%      07/31/2029      391,922

15,200,000

    

Gohl Capital Ltd.

   4.25%      01/24/2027      15,924,457

300,000

    

Gran Tierra Energy International Holdings Ltd.

   6.25%   ^    02/15/2025      270,000


10,498,000

    

Gran Tierra Energy International Holdings Ltd.

   6.25%      02/15/2025      9,448,200

3,500,000

    

Gran Tierra Energy, Inc.

   7.75%   ^    05/23/2027      3,298,750

200,000

    

Grupo Aval Ltd.

   4.75%      09/26/2022      207,200

5,600,000

    

Grupo Bimbo S.A.B. de C.V. (5 Year CMT Rate + 3.28%)

   5.95%      04/17/2023      5,919,200

5,000,000

    

Grupo Idesa S.A. de C.V.

   7.88%      12/18/2020      3,675,000

2,890,000

    

Grupo Idesa S.A. de C.V.

   7.88%   ^    12/18/2020      2,124,150

3,594,123

    

Guanay Finance Ltd.

   6.00%      12/15/2020      3,648,035

1,200,000

    

Guatemala Energuate Trust

   5.88%   ^    05/03/2027      1,206,000

2,136,000

    

GW Honos Security Corporation

   8.75%   ^    05/15/2025      2,204,566

20,130,000

    

HSBC Holdings PLC (3 Month LIBOR USD + 1.38%)

   3.51%      09/12/2026      20,305,827

1,000,000

    

Hutchison Whampoa International Ltd.

   3.25%      11/08/2022      1,022,833

8,000,000

    

Imperial Brands Finance PLC

   3.50%   ^    07/26/2026      8,007,882

3,908,000

    

Indian Oil Corporation Ltd.

   5.63%      08/02/2021      4,117,352

12,867,000

    

Indian Oil Corporation Ltd.

   5.75%      08/01/2023      14,184,093

5,084,000

    

Industrial Senior Trust

   5.50%      11/01/2022      5,331,845

9,000,000

    

Inkia Energy Ltd.

   5.88%      11/09/2027      9,371,340

1,025,000

    

Intelsat Jackson Holdings S.A.

   5.50%      08/01/2023      961,347

1,485,000

    

Intelsat Jackson Holdings S.A.

   8.50%   ^    10/15/2024      1,499,390

4,142,622

    

Interoceanica Finance Ltd.

   0.00%      11/30/2025      3,811,212

1,192,690

    

Invepar Holdings

   0.00%   W Þ    12/30/2028      51,002

3,000,000

    

Inversiones CMPC S.A.

   4.50%      04/25/2022      3,123,780

5,000,000

    

Inversiones CMPC S.A.

   4.75%      09/15/2024      5,367,838

1,200,000

    

Israel Electric Corporation Ltd.

   5.00%   ^    11/12/2024      1,323,600

2,500,000

    

Itau Unibanco Holding S.A.

   6.20%      12/21/2021      2,656,275

12,000,000

    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.86%)

   6.50%      03/19/2023      12,386,400

2,800,000

    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)

   6.13%      12/12/2022      2,830,800

10,500,000

    

JBS Investments GMBH

   7.00%   ^    01/15/2026      11,355,645

2,500,000

    

JBS Investments GMBH

   5.75%   ^    01/15/2028      2,609,375

12,190,000

    

JSL Europe S.A.

   7.75%      07/26/2024      13,135,091

1,395,000

    

Kronos Acquisition Holdings, Inc.

   9.00%   ^    08/15/2023      1,234,575

3,049,000

    

Latam Finance Ltd.

   6.88%      04/11/2024      3,211,359

8,000,000

    

Latam Finance Ltd.

   7.00%   ^    03/01/2026      8,545,360

4,000,000

    

Lima Metro Finance Ltd.

   5.88%      07/05/2034      4,413,700

15,040,000

    

Lloyds Banking Group PLC (3 Month LIBOR USD + 1.21%)

   3.57%      11/07/2028      15,356,745

9,289,080

    

LLPL Capital Pte Ltd.

   6.88%   ^    02/04/2039      10,820,385

7,150,000

    

Macquarie Group Ltd. (3 Month LIBOR USD + 1.02%)

   3.19%   ^    11/28/2023      7,295,663

7,884,000

    

Macquarie Group Ltd. (3 Month LIBOR USD + 1.33%)

   4.15%   ^    03/27/2024      8,322,716

15,000,000

    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

   3.91%      10/29/2026      15,266,850

2,000,000

    

MARB BondCo PLC

   7.00%   ^    03/15/2024      2,090,020

400,000

    

MARB BondCo PLC

   7.00%      03/15/2024      418,004

15,910,000

    

MARB BondCo PLC

   6.88%      01/19/2025      16,673,680

1,060,000

    

MEG Energy Corporation

   7.00%   ^    03/31/2024      1,028,200

7,564,590

    

Mexico Generadora de Energia

   5.50%      12/06/2032      8,169,833

3,000,000

    

Millicom International Cellular S.A.

   6.00%      03/15/2025      3,120,000

1,300,000

    

Millicom International Cellular S.A.

   6.63%   ^    10/15/2026      1,417,000

1,900,000

    

Millicom International Cellular S.A.

   6.63%      10/15/2026      2,071,000

6,100,000

    

Millicom International Cellular S.A.

   5.13%      01/15/2028      6,382,735

7,250,000

    

Millicom International Cellular S.A.

   6.25%   ^    03/25/2029      7,935,850

8,715,000

    

Minejesa Capital B.V.

   4.63%      08/10/2030      8,990,612

6,450,000

    

Minejesa Capital B.V.

   5.63%      08/10/2037      6,989,721

9,140,000

    

Minerva Luxembourg S.A.

   6.50%      09/20/2026      9,541,703

8,311,000

    

Minerva Luxembourg S.A.

   5.88%      01/19/2028      8,354,217

16,165,000

    

Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.74%)

   2.88%      03/02/2023      16,170,285

2,210,000

    

Multibank, Inc.

   4.38%      11/09/2022      2,278,532

1,000,000

    

NBM US Holdings, Inc.

   7.00%   ^    05/14/2026      1,051,875

3,890,000

    

New Red Finance, Inc.

   5.00%   ^    10/15/2025      4,028,095

1,500,000

    

Nexa Resources S.A.

   5.38%      05/04/2027      1,596,938

14,315,000

    

Nutrien Ltd.

   4.20%      04/01/2029      15,775,988

7,465,000

    

NXP Funding LLC

   3.88%   ^    06/18/2026      7,861,289

16,500,000

    

ONGC Videsh Ltd.

   3.75%      07/27/2026      17,151,239

4,600,000

    

Orazul Energy Egenor S en C por A

   5.63%      04/28/2027      4,763,875

1,700,000

    

Orbia Advance Corporation S.A.B. de C.V.

   4.88%      09/19/2022      1,785,017

6,000,000

    

Oversea-Chinese Banking Corporation (5 Year Swap Rate USD + 2.20%)

   4.00%      10/15/2024      6,003,836

11,900,000

    

Pampa Energia S.A.

   7.50%      01/24/2027      9,073,750

9,603,355

    

Panama Metro Line SP

   0.00%      12/05/2022      9,221,621

6,833,304

    

Panama Metro Line SP

   0.00%   ^    12/05/2022      6,561,680

1,160,000

    

Parkland Fuel Corporation

   5.88%   ^    07/15/2027      1,220,100

8,000,000

    

Pertamina Persero PT

   4.30%      05/20/2023      8,432,416

14,700,000

    

Petrobras Global Finance B.V.

   5.75%      02/01/2029      16,249,086

7,850,000

    

Petrobras Global Finance B.V.

   6.90%      03/19/2049      9,019,650

7,800,000

    

Petronas Capital Ltd.

   3.50%      03/18/2025      8,218,808

500,000

    

PSA International Ltd.

   3.88%      02/11/2021      511,523

4,713,000

    

PTTEP Treasury Center Company Ltd. (5 Year CMT Rate + 2.72%)

   4.60%      07/17/2022      4,829,402

8,100,000

    

Radiant Access Ltd.

   4.60%      05/18/2020      7,948,125

14,500,000

    

Reliance Holdings, Inc.

   5.40%      02/14/2022      15,419,010

9,230,000

    

Royal Bank of Scotland Group PLC (3 Month LIBOR USD + 1.48%)

   3.50%      05/15/2023      9,357,707

5,300,000

    

SACI Falabella

   3.75%      04/30/2023      5,458,756

12,339,000

    

Shire Acquisitions Investments Ireland DAC

   2.88%      09/23/2023      12,594,788

10,000,000

    

Sinopec Group Overseas Development Ltd.

   2.75%      09/29/2026      10,002,283

900,000

    

Sociedad Quimica y Minera S.A.

   4.38%      01/28/2025      955,125

191,600

    

Star Energy Geothermal Wayang Windu Ltd.

   6.75%   ^    04/24/2033      200,265

11,965,420

    

Star Energy Geothermal Wayang Windu Ltd.

   6.75%      04/24/2033      12,506,552

530,000

    

Starfruit Finco B.V.

   8.00%   ^    10/01/2026      531,325

2,165,000

    

Stars Group Holdings B.V.

   7.00%   ^    07/15/2026      2,311,137

9,962,809

    

Stoneway Capital Corporation

   10.00%      03/01/2027      6,002,592

6,500,000

    

SUAM Finance B.V.

   4.88%      04/17/2024      7,011,875

22,810,000

    

Sumitomo Mitsui Financial Group, Inc. (3 Month LIBOR USD + 0.74%)

   3.04%      01/17/2023      22,841,704

2,805,000

    

Superior Plus LP

   7.00%   ^    07/15/2026      2,973,356

350,000

    

Sydney Airport Finance Company Pty Ltd.

   3.63%   ^    04/28/2026      365,707

550,000

    

Syngenta Finance N.V.

   4.38%      03/28/2042      505,522

15,967,000

    

Syngenta Finance N.V.

   5.68%      04/24/2048      16,533,052

500,000

    

Syngenta Finance N.V.

   5.68%   ^    04/24/2048      517,726

2,335,000

    

Takeda Pharmaceutical Company Ltd.

   4.40%   ^    11/26/2023      2,516,509

1,200,000

    

Tecnoglass, Inc.

   8.20%      01/31/2022      1,299,000

2,650,000

    

Telefonica Celular del Paragu

   5.88%   ^    04/15/2027      2,842,787

4,000,000

    

Telefonica Chile S.A.

   3.88%      10/12/2022      4,142,401

2,560,000

    

Telesat LLC

   8.88%   ^    11/15/2024      2,748,928

720,000

    

Telesat LLC

   6.50%   ^    10/15/2027      734,400

16,500,000

    

Temasek Financial Ltd.

   2.38%      01/23/2023      16,744,346

3,350,000

    

Tervita Escrow Corporation

   7.63%   ^    12/01/2021      3,421,187

5,000,000

    

TransCanada PipeLines Ltd.

   4.25%      05/15/2028      5,532,927

4,035,000

    

Transelec S.A.

   4.63%      07/26/2023      4,307,403

900,000

    

Transelec S.A.

   3.88%      01/12/2029      927,009

1,800,000

    

Transportadora de Gas del Peru S.A.

   4.25%      04/30/2028      1,915,893

5,300,000

    

Unifin Financiera S.A.B. de C.V.

   7.38%      02/12/2026      5,207,303

13,900,000

    

Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)

   8.88%      01/29/2025      12,405,889

1,418,000

    

Union Bank of the Philippines

   3.37%      11/29/2022      1,454,333

9,083,000

    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.79%)

   3.88%      10/19/2023      9,160,368

8,000,000

    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%)

   3.50%      09/16/2026      8,099,040

9,500,000

    

UPL Corporation

   3.25%      10/13/2021      9,545,374

2,800,000

    

UPL Corporation Ltd.

   4.50%      03/08/2028      2,907,134

5,600,000

    

Vedanta Resources Finance PLC

   9.25%   ^    04/23/2026      5,587,400

3,130,000

    

Vedanta Resources PLC

   7.13%      05/31/2023      3,096,353

15,000,000

    

Vedanta Resources PLC

   6.13%      08/09/2024      13,858,283

1,813,000

    

VTR Finance B.V.

   6.88%   ^    01/15/2024      1,871,923

13,129,000

    

VTR Finance B.V.

   6.88%      01/15/2024      13,555,693

16,230,000

    

Westpac Banking Corporation (3 Month LIBOR USD + 0.72%)

   2.88%      05/15/2023      16,333,138

9,950,000

    

YPF S.A.

   8.50%      07/28/2025      7,860,600


4,200,000

    

YPF S.A.

   6.95%      07/21/2027      3,218,040

1,000,000

    

YPF S.A.

   8.50%   ^    06/27/2029      795,000
                 

 

Total Foreign Corporate Bonds (Cost $1,572,800,118)

          1,611,834,402
         

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.0%

         

6,000,000

    

Chile Government International Bond

   3.13%      03/27/2025      6,294,000

4,000,000

    

Chile Government International Bond

   3.13%      01/21/2026      4,218,889

1,400,000

    

Colombia Government International Bond

   4.50%      03/15/2029      1,559,600

1,000,000

    

Colombia Government International Bond

   5.20%      05/15/2049      1,211,010

8,140,000

    

Costa Rica Government International Bond

   10.00%      08/01/2020      8,577,607

4,200,000

    

Dominican Republic International Bond

   6.40%   ^    06/05/2049      4,483,542

2,000,000

    

Indonesia Government International Bond

   4.88%      05/05/2021      2,075,962

5,400,000

    

Israel Government International Bond

   2.88%      03/16/2026      5,691,681

8,000,000

    

Malaysia Sovereign Sukuk BHD

   3.04%      04/22/2025      8,314,078

500,000

    

Malaysia Sukuk Global BHD

   3.18%      04/27/2026      523,631

1,000,000

    

Mexico Government International Bond

   4.00%      10/02/2023      1,056,275

11,621,000

    

Mexico Government International Bond

   4.15%      03/28/2027      12,329,997

16,815,000

    

Mexico Government International Bond

   3.75%      01/11/2028      17,348,876

8,000,000

    

Panama Government International Bond

   4.00%      09/22/2024      8,556,000

1,825,000

    

Perusahaan Penerbit

   3.40%      03/29/2022      1,865,424

8,614,000

    

Perusahaan Penerbit

   3.75%      03/01/2023      8,936,034

10,000,000

    

Perusahaan Penerbit

   4.15%   ^    03/29/2027      10,720,000

3,000,000

    

Perusahaan Penerbit

   4.15%      03/29/2027      3,216,000

14,000,000

    

Philippine Government International Bond

   4.20%      01/21/2024      15,203,256
                 

 

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $117,404,889)

          122,181,862
         

 

Municipal Bonds - 0.1%

         

3,290,000

    

Missouri Highway & Transportation Commission

   5.06%      05/01/2024      3,710,166

4,430,000

    

State of California

   7.55%      04/01/2039      7,338,295
                 

 

Total Municipal Bonds (Cost $9,996,738)

          11,048,461
         

 

Non-Agency Commercial Mortgage Backed Obligations - 7.3%

         

11,235,000

    

Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%)

   5.08%   ^    12/15/2036      11,311,735

12,071,000

    

Atrium Hotel Portfolio Trust, Series 2018-ATRM-D (1 Month LIBOR USD + 2.30%, 2.30% Floor)

   4.33%   ^    06/15/2035      12,143,054

2,638,666

    

BAMLL Commercial Mortgage Securities Trust, Series 2016-ISQ-C

   3.73%   # ^    08/14/2034      2,778,031

4,259,000

    

Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor)

   4.38%   ^    03/15/2036      4,271,183

4,997,558

    

BANK, Series 2017-BNK8-XA

   0.88%   # I/O    11/15/2050      253,725

1,821,000

    

BANK, Series 2018-BN10-B

   4.08%   #    02/15/2061      1,978,715

405,000

    

BANK, Series 2018-BN13-B

   4.69%   #    08/15/2061      457,844

2,511,000

    

BANK, Series 2019-BN17-C

   4.67%   #    04/15/2052      2,781,997

1,508,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%)

   3.23%   ^    08/15/2036      1,504,892

1,719,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%)

   3.73%   ^    08/15/2036      1,723,055

3,464,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E (1 Month LIBOR USD + 2.50%)

   4.53%   ^    08/15/2036      3,475,858

3,451,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%)

   5.53%   ^    08/15/2036      3,468,458

14,174,000

    

Barclays Commercial Mortgage Trust, Series 2019-C3-AS

   3.90%      05/15/2052      15,702,113

13,951,000

    

Barclays Commercial Mortgage Trust, Series 2019-C3-B

   4.10%      05/15/2052      15,324,155

3,775,000

    

Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ

   5.57%   #    01/12/2045      3,293,605

8,011,000

    

BENCHMARK Mortgage Trust, Series 2019-B10-C

   3.75%      03/15/2062      8,393,927

11,000,000

    

BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    07/15/2035      11,039,457

3,283,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor)

   3.35%   ^    03/15/2037      3,296,210

8,207,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-E (1 Month LIBOR USD + 1.95%, 1.98% Floor)

   3.98%   ^    03/15/2037      8,245,675

3,163,700

    

BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%)

   4.08%   ^    07/15/2034      3,167,619

5,361,800

    

BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    07/15/2034      5,395,277

11,731,000

    

BX Trust, Series 2018-MCSF-F (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.67%   ^    04/15/2035      11,820,988

1,564,000

    

Caesars Palace Las Vegas Trust, Series 2017-VICI-D

   4.50%   # ^    10/15/2034      1,639,249

4,617,000

    

Caesars Palace Las Vegas Trust, Series 2017-VICI-E

   4.50%   # ^    10/15/2034      4,785,124

72,863,704

    

CFCRE Commercial Mortgage Trust, Series 2016-C3-XA

   1.19%   # I/O    01/10/2048      3,980,267

3,267,000

    

CFCRE Commercial Mortgage Trust, Series 2017-C8-B

   4.20%   #    06/15/2050      3,569,895

2,304,000

    

CFCRE Commercial Mortgage Trust, Series 2018-TAN-C

   5.29%   ^    02/15/2033      2,469,291

11,498,000

    

CGGS Commercial Mortgage Trust, Series 2018-WSS-D (1 Month LIBOR USD + 2.30%, 2.30% Floor)

   4.33%   ^    02/15/2037      11,503,045

7,196,000

    

CHT Mortgage Trust, Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.03%   ^    11/15/2036      7,230,770

3,838,000

    

CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor)

   5.77%   ^    11/15/2036      3,862,735

7,440,811

    

Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA

   1.93%   # ^ I/O    09/10/2045      315,649

1,898,500

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-D

   4.57%   # ^    02/10/2048      1,817,389

4,016,904

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA

   1.52%   # I/O    02/10/2048      227,198

7,840,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC35-C

   4.65%   #    11/10/2048      8,307,515

72,253,396

    

Citigroup Commercial Mortgage Trust, Series 2015-GC35-XA

   1.01%   # I/O    11/10/2048      2,573,760

6,030,000

    

Citigroup Commercial Mortgage Trust, Series 2016-GC36-D

   2.85%   ^    02/10/2049      5,271,370

45,277,766

    

Citigroup Commercial Mortgage Trust, Series 2016-P3-XA

   1.85%   # I/O    04/15/2049      3,557,062

8,530,000

    

Citigroup Commercial Mortgage Trust, Series 2016-P4-A4

   2.90%      07/10/2049      8,860,574

44,501,067

    

Citigroup Commercial Mortgage Trust, Series 2016-P4-XA

   2.14%   # I/O    07/10/2049      4,384,957

82,520,548

    

Citigroup Commercial Mortgage Trust, Series 2016-P5-XA

   1.67%   # I/O    10/10/2049      6,178,916

6,303,000

    

Citigroup Commercial Mortgage Trust, Series 2016-P6-A5

   3.72%   #    12/10/2049      6,883,514

9,490,000

    

Citigroup Commercial Mortgage Trust, Series 2017-C4-B

   4.10%   #    10/12/2050      10,265,877

321,000

    

Citigroup Commercial Mortgage Trust, Series 2018-B2-B

   4.28%   #    03/10/2051      352,967

1,977,000

    

Citigroup Commercial Mortgage Trust, Series 2018-C5-C

   4.88%   #    06/10/2051      2,158,232

3,224,000

    

CLNS Trust, Series 2017-IKPR-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.10%   ^    06/11/2032      3,225,986

3,224,000

    

CLNS Trust, Series 2017-IKPR-E (1 Month LIBOR USD + 3.50%, 3.50% Floor)

   5.55%   ^    06/11/2032      3,234,708

3,224,000

    

CLNS Trust, Series 2017-IKPR-F (1 Month LIBOR USD + 4.50%, 4.50% Floor)

   6.55%   ^    06/11/2032      3,245,698

21,974,118

    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA

   2.02%   # I/O    10/15/2045      1,012,414

8,626,000

    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-D

   4.72%   # ^ Þ    10/15/2045      3,554,343

3,281,701

    

Commercial Mortgage Pass-Through Certificates, Series 2012-LC4-XA

   2.29%   # ^ I/O    12/10/2044      129,715

6,067,000

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR11-D

   5.29%   # ^    08/10/2050      6,188,368

3,500,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C

   4.66%   #    11/10/2047      3,742,209

57,068,529

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA

   1.10%   # I/O    10/10/2048      2,687,271

4,310,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-C

   4.44%   #    07/10/2048      4,570,852

5,579,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C

   4.80%   #    10/10/2048      6,013,983

5,997,000

    

Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C

   4.80%   #    02/10/2049      6,511,028

3,786,000

    

Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-C

   4.79%   #    02/10/2049      4,005,652

57,915,344

    

Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA

   1.17%   # I/O    02/10/2049      2,964,009

9,383,000

    

Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E

   3.58%   # ^    08/10/2029      9,377,101

2,808,000

    

Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-F

   3.58%   # ^    08/10/2029      2,780,220

12,424,000

    

Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-C (1 Month LIBOR USD + 1.70%, 1.70% Floor)

   3.73%   ^    09/15/2033      12,422,667

8,464,000

    

Core Mortgage Trust, Series 2019-CORE-E (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    12/15/2031      8,481,649

2,064,000

    

Core Mortgage Trust, Series 2019-CORE-F (1 Month LIBOR USD + 2.35%, 2.35% Floor)

   4.38%   ^    12/15/2031      2,069,777

5,597,000

    

CSAIL Commercial Mortgage Trust, Series 2015-C4-C

   4.73%   #    11/15/2048      6,008,090

3,461,000

    

CSAIL Commercial Mortgage Trust, Series 2016-C6-D

   4.91%   # ^    01/15/2049      3,480,028

57,679,304

    

CSAIL Commercial Mortgage Trust, Series 2016-C6-XA

   1.94%   # I/O    01/15/2049      4,642,861

11,488,000

    

CSAIL Commercial Mortgage Trust, Series 2018-C14-C

   5.06%   #    11/15/2051      13,037,196

3,800,000

    

CSAIL Commercial Mortgage Trust, Series 2018-CX12-C

   4.93%   #    08/15/2051      4,247,007

9,269,000

    

CSAIL Commercial Mortgage Trust, Series 2019-C16-AS

   3.61%      06/15/2052      9,921,076

9,269,000

    

CSAIL Commercial Mortgage Trust, Series 2019-C16-B

   3.88%      06/15/2052      9,941,757

798,000

    

CSMC Trust, Series 2017-CALI-D

   3.90%   # ^    11/10/2032      833,481

4,944,000

    

CSMC Trust, Series 2017-CHOP-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    07/15/2032      4,961,433

4,944,000

    

CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor)

   5.33%   ^    07/15/2032      4,980,483

4,503,000

    

DBGS Mortgage Trust, Series 2018-5BP-D (1 Month LIBOR USD + 1.35%)

   3.38%   ^    06/15/2033      4,510,332

186,000

    

DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.45%)

   4.48%   ^    06/15/2033      185,817

2,939,818

    

DBUBS Mortgage Trust, Series 2011-LC2A-XA

   1.22%   # ^ I/O    07/10/2044      37,694

3,379,000

    

DBUBS Mortgage Trust, Series 2017-BRBK-F

   3.65%   # ^    10/10/2034      3,367,160

4,475,000

    

Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-C

   3.50%   #    05/10/2049      4,497,462

60,437,765

    

Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA

   1.62%   # I/O    05/10/2049      4,397,385

1,785,948

    

FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor)

   7.14%   ^    07/25/2023      1,850,787

1,766,000

    

GPMT Ltd., Series 2019-FL2-D (1 Month LIBOR USD + 2.95%, 2.95% Floor)

   4.98%   ^    02/22/2036      1,783,219

5,296,000

    

Great Wolf Trust, Series 2017-WOLF-D (1 Month LIBOR USD + 2.10%, 1.00% Floor)

   4.13%   ^    09/15/2034      5,303,369

8,210,000

    

Great Wolf Trust, Series 2017-WOLF-E (1 Month LIBOR USD + 3.10%, 1.00% Floor)

   5.13%   ^    09/15/2034      8,232,949

4,370,000

    

Great Wolf Trust, Series 2017-WOLF-F (1 Month LIBOR USD + 4.07%, 1.00% Floor)

   6.10%   ^    09/15/2034      4,387,998

559,000

    

GS Mortgage Securities Trust

   2.98%      10/10/2048      509,280

2,799,362

    

GS Mortgage Securities Trust, Series 2011-GC5-XA

   1.50%   # ^ I/O    08/10/2044      49,454


4,688,101

    

GS Mortgage Securities Trust, Series 2012-GC6-XA

   2.12%   # ^ I/O    01/10/2045      158,042

3,741,000

    

GS Mortgage Securities Trust, Series 2014-GC26-C

   4.67%   #    11/10/2047      3,857,773

9,506,000

    

GS Mortgage Securities Trust, Series 2014-GC26-D

   4.67%   # ^    11/10/2047      8,387,331

96,760,494

    

GS Mortgage Securities Trust, Series 2015-GS1-XA

   0.94%   # I/O    11/10/2048      4,055,997

61,198,956

    

GS Mortgage Securities Trust, Series 2016-GS2-XA

   1.80%   # I/O    05/10/2049      4,798,267

5,801,000

    

GS Mortgage Securities Trust, Series 2017-GS6-B

   3.87%      05/10/2050      6,231,550

13,658,000

    

GS Mortgage Securities Trust, Series 2017-GS8-C

   4.48%   #    11/10/2050      14,826,912

10,779,000

    

GS Mortgage Securities Trust, Series 2019-GC39-B

   3.97%      05/10/2052      11,790,685

9,879,000

    

GSCG Trust, Series 2019-600C-D

   3.76%   ^    09/06/2034      10,064,054

791,000

    

GSCG Trust, Series 2019-600C-E

   4.12%   # ^    09/06/2034      808,122

13,491,083

    

HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    11/15/2036      13,524,811

417,349

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X

   0.31%   # I/O    05/15/2045      661

2,557,414

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2011-C4-XA

   1.37%   # ^ I/O    07/15/2046      37,252

19,723,753

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA

   1.92%   # I/O    10/15/2045      841,593

4,799,774

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA

   1.65%   # I/O    06/15/2045      123,610

76,893,110

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA

   1.25%   # I/O    01/15/2049      3,093,056

10,856,691

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    06/15/2032      10,901,682

3,571,861

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D (1 Month LIBOR USD + 2.10%, 2.30% Floor)

   4.13%   ^    06/15/2032      3,601,660

578,959

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM

   5.46%   #    01/15/2049      580,051

2,704,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2-B

   3.46%      08/15/2049      2,808,559

2,080,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2-C

   3.94%   #    08/15/2049      2,156,202

592,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3-C

   3.60%   #    08/15/2049      602,150

9,281,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E

   4.14%   # ^    10/05/2031      9,398,133

1,000,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-COR4-C

   4.94%   #    03/10/2052      1,129,552

46,822,718

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA

   1.01%   # I/O    02/15/2047      1,442,744

3,000,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C

   4.81%   #    08/15/2047      3,141,677

2,766,125

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C

   4.61%   #    09/15/2047      2,946,916

3,766,500

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-C

   4.60%   #    11/15/2047      3,906,621

49,579,782

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA

   1.01%   # I/O    11/15/2047      1,799,617

42,247,463

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA

   1.15%   # I/O    01/15/2048      1,601,758

12,131,110

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D

   3.99%   # ^    02/15/2048      12,034,167

1,846,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-B

   3.99%      10/15/2048      1,949,155

9,974,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C

   4.29%   #    05/15/2048      10,401,538

49,364,535

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA

   1.07%   # I/O    08/15/2048      1,959,599

4,138,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C

   4.82%   #    11/15/2048      4,432,921

6,470,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C

   4.77%   #    12/15/2048      6,931,035

6,122,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C

   4.90%   #    03/15/2049      6,631,620

62,361,415

    

JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA

   1.83%   # I/O    06/15/2049      4,419,360

1,638,000

    

JPMCC Commercial Mortgage Securities Trust, Series 2019-COR4-B

   4.44%   #    03/10/2052      1,847,160

40,980,408

    

JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5-XA

   1.66%   # I/O    06/13/2052      4,536,572

515,399

    

LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL

   0.88%   # ^ I/O    11/15/2038      112

415,662

    

LB-UBS Commercial Mortgage Trust, Series 2006-C7-XW

   0.88%   # ^ I/O    11/15/2038      90

5,425,000

    

LSTAR Commercial Mortgage Trust, Series 2016-4-C

   4.71%   # ^    03/10/2049      5,336,577

164,860

    

Merrill Lynch Mortgage Trust, Series 2006-C1-AJ

   5.78%   #    05/12/2039      166,505

1,964,789

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5-XA

   1.60%   # ^ I/O    08/15/2045      64,162

3,000,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C

   4.68%   #    10/15/2047      3,188,381

4,000,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C

   4.00%      12/15/2047      4,134,934

36,307,304

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA

   1.47%   # I/O    02/15/2048      1,848,848

4,600,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C

   4.68%   #    10/15/2048      4,984,822

4,674,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C

   4.68%   #    12/15/2047      4,885,734

6,710,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D

   3.24%   # ^    12/15/2047      6,314,356

48,640,349

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30-XA

   1.57%   # I/O    09/15/2049      3,729,854

6,907,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32-A4

   3.72%      12/15/2049      7,522,146

565,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32-AS

   3.99%   #    12/15/2049      614,354

9,110,671

    

Morgan Stanley Capital Trust, Series 2011-C1-XA

   0.52%   # ^ I/O    09/15/2047      30,130

4,000,000

    

Morgan Stanley Capital Trust, Series 2014-CPT-G

   3.56%   # ^    07/13/2029      4,011,130

30,683,157

    

Morgan Stanley Capital Trust, Series 2016-UB11-XA

   1.76%   # I/O    08/15/2049      2,388,764

3,022,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%)

   4.23%   ^    11/15/2034      3,025,768

4,533,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    11/15/2034      4,538,653

3,434,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%)

   6.38%   ^    11/15/2034      3,440,432

3,073,000

    

Morgan Stanley Capital Trust, Series 2019-H6-AS

   3.70%      06/15/2052      3,289,839

7,831,050

    

MSCG Trust, Series 2016-SNR-C

   5.21%   ^    11/15/2034      8,001,029

11,179,000

    

MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.08%   ^    10/15/2037      11,221,466

7,476,732

    

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A (1 Month LIBOR USD + 0.95%, 0.95% Floor)

   3.15%   ^    06/15/2035      7,456,069

2,108,000

    

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C (1 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.40%   ^    06/15/2035      2,091,270

2,152,000

    

RAIT Trust, Series 2017-FL7-AS (1 Month LIBOR USD + 1.30%, 1.30% Floor)

   3.33%   ^    06/15/2037      2,141,227

53,522,169

    

SG Commercial Mortgage Securities Trust, Series 2016-C5-XA

   2.15%   # I/O    10/10/2048      4,934,080

34,918

    

TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4-AJ

   5.48%   #    08/15/2039      34,996

2,491,000

    

UBS Commercial Mortgage Trust, Series 2017-C6-B

   4.15%   #    12/15/2050      2,723,020

11,033,000

    

UBS Commercial Mortgage Trust, Series 2017-C6-C

   4.60%   #    12/15/2050      12,047,377

10,583,000

    

UBS Commercial Mortgage Trust, Series 2017-C7-C

   4.74%   #    12/15/2050      11,562,717

7,293,000

    

UBS Commercial Mortgage Trust, Series 2018-C11-C

   5.06%   #    06/15/2051      8,174,458

2,896,000

    

UBS Commercial Mortgage Trust, Series 2018-C12-C

   5.13%   #    08/15/2051      3,271,714

5,698,000

    

UBS Commercial Mortgage Trust, Series 2018-C8-C

   4.86%   #    02/15/2051      6,289,856

12,852,000

    

UBS Commercial Mortgage Trust, Series 2019-C16-B

   4.32%   #    04/15/2052      14,270,921

10,152,569

    

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3-XA

   1.99%   # ^ I/O    08/10/2049      457,689

470,362

    

Wachovia Bank Commercial Mortgage Trust, Series 2006-C29-IO

   0.48%   # I/O    11/15/2048      5

9,344,000

    

Wells Fargo Commercial Mortgage Trust 2019-C51, Series 2019-C51-AS

   3.58%      06/15/2052      10,046,297

9,344,000

    

Wells Fargo Commercial Mortgage Trust 2019-C51, Series 2019-C51-B

   3.84%   #    06/15/2052      10,040,849

6,750,000

    

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D

   3.94%   ^    08/15/2050      5,558,730

2,200,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C28-C

   4.25%   #    05/15/2048      2,271,496

5,403,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C

   4.76%   #    11/15/2048      5,803,658

21,384,917

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA

   1.18%   # I/O    11/15/2048      1,093,475

4,610,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C

   4.69%   #    09/15/2058      4,893,328

53,985,870

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1-XA

   1.27%   # I/O    05/15/2048      2,191,098

4,000,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3-C

   4.64%   #    09/15/2057      4,280,599

6,848,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C

   4.75%   #    12/15/2048      7,426,229

3,521,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D

   3.75%   #    12/15/2048      3,583,327

5,613,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-P2-A4

   3.81%      12/15/2048      6,100,691

77,086,435

    

Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA

   1.13%   # I/O    12/15/2048      3,310,685

8,252,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-SG1-AS

   4.05%      09/15/2048      8,888,361

4,650,000

    

Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C

   4.88%   #    01/15/2059      4,953,805

4,483,000

    

Wells Fargo Commercial Mortgage Trust, Series 2016-C33-C

   3.90%      03/15/2059      4,633,391

5,040,000

    

Wells Fargo Commercial Mortgage Trust, Series 2016-LC25-AS

   4.10%   #    12/15/2059      5,476,978

2,574,000

    

Wells Fargo Commercial Mortgage Trust, Series 2016-LC25-B

   4.57%   #    12/15/2059      2,840,245

2,638,000

    

Wells Fargo Commercial Mortgage Trust, Series 2018-C45-C

   4.73%      06/15/2051      2,874,171

11,490,000

    

Wells Fargo Commercial Mortgage Trust, Series 2018-C46-C

   5.15%   #    08/15/2051      13,078,478

12,408,000

    

Wells Fargo Commercial Mortgage Trust, Series 2018-C47-C

   5.10%   #    09/15/2061      13,726,266

2,871,000

    

Wells Fargo Commercial Mortgage Trust, Series 2018-C48-C

   5.29%   #    01/15/2052      3,292,702

2,558,000

    

Wells Fargo Commercial Mortgage Trust, Series 2019-C49-B

   4.55%      03/15/2052      2,878,936

2,226,000

    

Wells Fargo Commercial Mortgage Trust, Series 2019-C49-C

   4.87%   #    03/15/2052      2,486,660

10,776,000

    

Wells Fargo Commercial Mortgage Trust, Series 2019-C50-B

   4.19%      05/15/2052      11,906,297

10,776,000

    

Wells Fargo Commercial Mortgage Trust, Series 2019-C50-C

   4.35%      05/15/2052      11,617,553

13,051,029

    

WF-RBS Commercial Mortgage Trust, Series 2012-C9-XA

   2.06%   # ^ I/O    11/15/2045      624,651

71,279,672

    

WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA

   1.20%   # I/O    08/15/2047      2,917,976

49,979,339

    

WF-RBS Commercial Mortgage Trust, Series 2014-C22-XA

   0.96%   # I/O    09/15/2057      1,629,501

80,188,125

    

WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA

   1.78%   # I/O    11/15/2049      6,116,582
                 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $920,014,224)

          927,903,562
         

 

Non-Agency Residential Collateralized Mortgage Obligations - 9.0%

         

9,428,276

    

Adjustable Rate Mortgage Trust, Series 2007-1-4A1

   5.10%   #    03/25/2037      8,230,287

48,646

    

Adjustable Rate Mortgage Trust, Series 2007-3-1A1

   5.08%   # ^    11/25/2037      51,626

14,837,308

    

Alternative Loan Trust, Series 2005-49CB-A2

   5.50%      11/25/2035      13,825,954

9,007,298

    

Alternative Loan Trust, Series 2007-8CB-A1

   5.50%      05/25/2037      7,485,752

9,895,423

    

Alternative Loan Trust, Series 2007-OA8-2A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.20%      06/25/2047      8,011,329

6,810,816

    

Angel Oak Mortgage Trust LLC, Series 2018-3-A1

   3.65%   # ^    09/25/2048      6,906,610

7,416,176

    

Angel Oak Mortgage Trust LLC, Series 2018-3-A2

   3.75%   # ^    09/25/2048      7,518,842

7,056,722

    

Angel Oak Mortgage Trust LLC, Series 2018-3-A3

   3.85%   # ^    09/25/2048      7,154,165


614,444

    

Banc of America Funding Corporation, Series 2005-G-A3

   3.58%   #    10/20/2035      606,782

356,223

    

Banc of America Funding Corporation, Series 2006-2-6A2

   5.50%      03/25/2036      355,708

253,744

    

Banc of America Funding Corporation, Series 2006-6-1A2

   6.25%      08/25/2036      256,117

2,670,977

    

Bayview Opportunity Master Fund Trust, Series 2019-SBR1-A1

   3.47%      06/28/2034      2,678,813

258,359

    

Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A

   6.50%      10/25/2036      198,118

2,529,514

    

Chase Mortgage Finance Trust, Series 2007-A2-6A4

   4.50%   #    07/25/2037      2,481,805

1,188,339

    

Chase Mortgage Finance Trust, Series 2007-S3-2A1

   5.50%      05/25/2037      308,660

20,000,000

    

CIM Trust, Series 2016-2RR-B2

   7.76%   # ^ Þ    02/25/2056      20,285,842

20,000,000

    

CIM Trust, Series 2016-3RR-B2

   8.14%   # ^ Þ    02/27/2056      20,181,102

28,126,834

    

CIM Trust, Series 2017-6-A1

   3.02%   # ^    06/25/2057      28,301,288

66,084

    

CitiCorporationMortgage Securities, Inc., Series 2005-1-1A4

   5.50%      02/25/2035      69,243

1,280,740

    

CitiCorporationResidential Mortgage Securities, Inc., Series 2006-2-A5

   5.25%      09/25/2036      1,323,058

251,325

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2C

   5.85%   ß    05/25/2036      141,249

2,291,085

    

Citigroup Mortgage Loan Trust, Inc., Series 2008-AR4-2A1B

   4.57%   # ^    11/25/2038      2,303,167

1,248,528

    

Citigroup Mortgage Loan Trust, Inc., Series 2010-8-5A4

   6.00%   # ^    11/25/2036      1,263,740

6,456,353

    

Citigroup Mortgage Loan Trust, Inc., Series 2010-8-6A4

   6.00%   # ^    12/25/2036      6,496,333

5,553,623

    

Citigroup Mortgage Loan Trust, Series 2007-OPX1-A1A (1 Month LIBOR USD + 0.07%, 0.07% Floor)

   2.09%      01/25/2037      3,490,715

11,303,089

    

Citigroup Mortgage Loan Trust, Series 2009-3-5A3

   6.00%   # ^    02/25/2037      11,639,452

44,324,273

    

Citigroup Mortgage Loan Trust, Series 2019-A-PT1

   3.92%   ^    10/25/2058      44,514,398

4,983,629

    

Citigroup Mortgage Loan Trust, Series 2019-C-A1

   3.23%      03/25/2082      4,996,630

117,500

    

CitiMortgage Alternative Loan Trust, Series 2006-A2-A2

   6.00%      05/25/2036      115,239

59,259

    

CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3

   6.00%      10/25/2036      55,025

458,218

    

CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7

   6.00%      01/25/2037      452,886

7,312,202

    

CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10

   5.75%      05/25/2037      7,190,079

1,290,035

    

Countrywide Alternative Loan Trust, Series 2004-22CB-1A1

   6.00%      10/25/2034      1,326,694

147,687

    

Countrywide Alternative Loan Trust, Series 2005-20CB-1A1

   5.50%      07/25/2035      143,214

203,950

    

Countrywide Alternative Loan Trust, Series 2005-28CB-3A6

   6.00%      08/25/2035      146,513

857,761

    

Countrywide Alternative Loan Trust, Series 2005-46CB-A22

   5.25%      10/25/2035      817,046

149,248

    

Countrywide Alternative Loan Trust, Series 2005-J10-1A13 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)

   2.72%      10/25/2035      120,692

328,687

    

Countrywide Alternative Loan Trust, Series 2006-26CB-A9

   6.50%      09/25/2036      265,071

8,591,694

    

Countrywide Alternative Loan Trust, Series 2006-42-1A8

   6.00%      01/25/2047      7,698,326

1,333,159

    

Countrywide Alternative Loan Trust, Series 2007-12T1-A1

   6.00%      06/25/2037      992,717

1,384,113

    

Countrywide Alternative Loan Trust, Series 2007-16CB-2A1 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)

   2.47%      08/25/2037      738,218

400,805

    

Countrywide Alternative Loan Trust, Series 2007-16CB-2A2 (-8 x 1 Month LIBOR USD + 54.58%, 54.58% Cap)

   37.76%   I/F    08/25/2037      962,051

88,120

    

Countrywide Alternative Loan Trust, Series 2007-17CB-1A10 (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap)

   20.62%   I/F    08/25/2037      157,730

420,625

    

Countrywide Alternative Loan Trust, Series 2007-18CB-2A17

   6.00%      08/25/2037      397,220

1,961,142

    

Countrywide Alternative Loan Trust, Series 2007-23CB-A3 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)

   2.52%      09/25/2037      1,113,065

1,926,489

    

Countrywide Alternative Loan Trust, Series 2007-23CB-A4 (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

   4.48%   I/F I/O    09/25/2037      644,941

721,483

    

Countrywide Alternative Loan Trust, Series 2007-4CB-2A1

   7.00%      03/25/2037      178,211

24,610

    

Countrywide Asset-Backed Certificates, Series 2005-13-AF3

   5.43%   #    02/25/2033      23,408

302,291

    

Countrywide Home Loans, Series 2005-28-A7

   5.25%      10/25/2019      259,865

655,299

    

Countrywide Home Loans, Series 2007-10-A5

   6.00%      07/25/2037      544,901

282,276

    

Countrywide Home Loans, Series 2007-15-1A16

   6.25%      09/25/2037      254,116

723,990

    

Countrywide Home Loans, Series 2007-3-A17

   6.00%      04/25/2037      609,917

96,651

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5

   5.50%      11/25/2035      93,227

1,074,712

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-1A3

   5.25%      09/25/2035      991,438

4,653,324

    

Credit Suisse Mortgage Capital Certificates, Series 2009-3R-19A2

   6.00%   ^    01/27/2038      3,832,289

9,490,406

    

Credit-Based Asset Servicing & Securitization LLC, Series 2007-RP1-A (1 Month LIBOR USD + 0.31%, 0.31% Floor)

   2.45%   ^    05/25/2046      9,038,932

3,578,837

    

CSMC Mortgage-Backed Trust, Series 2006-4-6A1

   6.00%      05/25/2036      2,548,531

37,253

    

CSMC Mortgage-Backed Trust, Series 2006-4-7A1

   5.50%      05/25/2021      33,716

68,061

    

CSMC Mortgage-Backed Trust, Series 2007-1-3A1

   6.00%      02/25/2022      26,215

27,332

    

CSMC Mortgage-Backed Trust, Series 2007-2-2A1

   5.00%      03/25/2037      26,761

7,174,841

    

CSMC Mortgage-Backed Trust, Series 2019-RPL8-A1

   3.32%   # ^    10/25/2058      7,223,162

2,172,803

    

CSMC Trust, Series 2010-4R-3A17

   6.00%   # ^    06/26/2037      2,174,454

7,049,513

    

CSMC Trust, Series 2013-IVR1-A1

   2.50%   # ^    03/25/2043      6,843,056

20,401,128

    

CSMC Trust, Series 2018-RPL7-A1

   4.00%   ^    08/26/2058      20,672,932

43,843,278

    

CSMC Trust, Series 2018-RPL8-A1

   4.13%   # ^    07/25/2058      44,331,061

17,685,008

    

CSMC Trust, Series 2019-3R-1A1 (1 Month LIBOR USD + 1.40%, 1.40% Floor)

   3.51%   ^    06/02/2047      17,830,172

31,064,641

    

CSMC Trust, Series 2019-JR1-A1

   4.10%   # ^    09/27/2066      31,209,521

664,819

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)

   9.29%   ^I/F    04/15/2036      649,298

130,597

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2 (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap)

   10.73%   ^I/F    04/15/2036      132,520

1,212,308

    

Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)

   9.29%   ^I/F    04/15/2036      1,198,430

8,272,234

    

Deutsche Securities, Inc., Series 2005-6-2A1

   5.50%      12/25/2035      8,032,749

345,916

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2-1A5

   6.00%      05/25/2036      268,646

3,887,128

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8-1A1

   6.25%      02/25/2037      2,905,414

69,863

    

First Horizon Alternative Mortgage Securities Trust, Series 2006-RE1-A1

   5.50%      05/25/2035      63,743

19,200,000

    

FMC GMSR Issuer Trust, Series 2019-GT2-A

   4.23%   # ^    09/25/2024      19,370,323

3,289,880

    

GMACM Mortgage Loan Trust, Series 2006-J1-A6

   5.75%      04/25/2036      3,318,515

62,777

    

GSAA Home Equity Trust, Series 2005-7-AF5

   4.61%   ß    05/25/2035      63,843

1,270,830

    

GSAA Home Equity Trust, Series 2007-10-A1A

   6.00%      11/25/2037      1,090,628

1,107,393

    

GSAA Home Equity Trust, Series 2007-10-A2A

   6.50%      11/25/2037      779,047

3,113,115

    

GSR Mortgage Loan Trust, Series 2006-3F-4A1

   6.00%      03/25/2036      3,107,687

406,502

    

GSR Mortgage Loan Trust, Series 2007-1F-2A2

   5.50%      01/25/2037      498,258

19,200,000

    

Headlands Residential LLC, Series 2019-RPL1-NOTE

   3.97%      06/25/2024      19,346,354

36,183,851

    

Impac Secured Assets Trust, Series 2006-5-1A1C (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap)

   2.29%      02/25/2037      33,045,864

339,368

    

JP Morgan Alternative Loan Trust, Series 2006-S2-A4

   6.19%      05/25/2036      323,910

7,952,652

    

JP Morgan Alternative Loan Trust, Series 2006-S3-A4

   6.31%   ß    08/25/2036      7,550,394

254,034

    

JP Morgan Alternative Loan Trust, Series 2006-S3-A6

   6.12%   ß    08/25/2036      244,809

244,743

    

JP Morgan Alternative Loan Trust, Series 2006-S4-A6

   5.71%   ß    12/25/2036      242,617

4,777,767

    

JP Morgan Mortgage Trust, Series 2006-S1-2A9

   6.50%      04/25/2036      5,284,766

244,241

    

JP Morgan Mortgage Trust, Series 2007-S3-1A7

   6.00%      08/25/2037      193,157

25,327,225

    

JP Morgan Mortgage Trust, Series 2018-7FRB-A2 (1 Month LIBOR USD + 0.75%)

   2.90%   ^    04/25/2046      25,307,997

36,322,145

    

Legacy Mortgage Asset Trust, Series 2018-GS2-A1

   4.00%      04/25/2058      36,788,137

47,813,908

    

Legacy Mortgage Asset Trust, Series 2018-SL1-A

   4.00%   # ^    02/25/2058      48,289,288

1,516,926

    

Legacy Mortgage Asset Trust, Series 2019-GS5-A1

   3.20%      05/25/2059      1,526,028

39,576,085

    

Legacy Mortgage Asset Trust, Series 2019-RPL3-PT1

   0.00%   ^    06/25/2058      40,441,931

6,654,371

    

Legacy Mortgage Asset Trust, Series 2019-SL3-A

   3.47%      11/25/2061      6,590,204

547,065

    

Lehman Mortgage Trust, Series 2006-3-1A5

   6.00%      07/25/2036      418,956

39,620

    

Lehman Mortgage Trust, Series 2006-9-1A19 (-5 x 1 Month LIBOR USD + 30.68%, 30.68% Cap)

   21.40%   I/F    01/25/2037      65,188

689,954

    

Lehman Mortgage Trust, Series 2007-10-2A1

   6.50%      01/25/2038      452,309

149,909

    

Lehman Mortgage Trust, Series 2007-2-1A1

   5.75%      02/25/2037      135,483

5,792,910

    

Lehman Trust, Series 2005-9N-1A1 (1 Month LIBOR USD + 0.27%, 0.27% Floor)

   2.29%      02/25/2036      5,654,947

106,412

    

MASTR Alternative Loans Trust, Series 2005-2-3A1

   6.00%      03/25/2035      103,533

6,767,569

    

MASTR Alternative Loans Trust, Series 2006-1-A5

   6.00%      02/25/2036      5,302,067

43,830

    

MASTR Alternative Loans Trust, Series 2007-1-2A7

   6.00%      10/25/2036      27,313

1,783,879

    

MASTR Asset Securitization Trust, Series 2006-2-1A11 (1 Month LIBOR USD + 6.00%, 6.00% Floor)

   6.00%      06/25/2036      1,680,396

15,913,682

    

Merrill Lynch Alternative Asset Trust, Series 2007-OAR4-A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor)

   2.27%      08/25/2037      15,242,758

2,234,729

    

Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A8

   6.00%      03/25/2037      1,583,286

18,920,944

    

MFA LLC, Series 2018-NPL1-A1

   3.88%      05/25/2048      19,084,140

20,239

    

Morgan Stanley Mortgage Loan Trust, Series 2004-1-1A1

   5.00%      08/25/2020      20,674

856,896

    

Morgan Stanley Mortgage Loan Trust, Series 2005-7-7A4

   5.50%      11/25/2035      902,504

2,658,695

    

Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A

   5.04%   #    06/25/2036      2,299,943

988,793

    

Morgan Stanley Re-Remic Trust, Series 2010-R6-5C

   5.75%   # ^    05/26/2037      986,534

200,258

    

Nomura Asset Acceptance Corporation, Series 2006-AP1-A2

   5.52%   #    01/25/2036      101,454

576,631

    

Nomura Home Equity Loan, Inc., Series 2006-AF1-A2

   5.80%   ß    10/25/2036      225,219

1,013,305

    

Nomura Home Equity Loan, Inc., Series 2007-1-1A1

   6.06%   ß    02/25/2037      463,072

1,377,552

    

Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1-A1

   3.00%      06/25/2057      1,380,923

3,919,419

    

Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1

   3.00%      07/25/2057      3,926,322

52,282

    

Option One Mortgage Loan Trust, Series 2004-3-M3 (1 Month LIBOR USD + 0.98%, 0.65% Floor)

   2.99%      11/25/2034      52,881

28,294,697

    

Option One Mortgage Loan Trust, Series 2007-6-1A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor)

   2.21%      07/25/2037      25,907,536

9,088,848

    

PR Mortgage Loan Trust, Series 2014-1-APT

   5.91%   # ^    10/25/2049      8,894,107

17,031,444

    

Preston Ridge Partners Mortgage Trust, Series 2017-2A-A1

   3.47%      09/25/2022      17,100,847

3,639,486

    

Pretium Mortgage Credit Partners LLC, Series 2019-CFL1-A1

   3.72%      01/25/2059      3,640,769

7,517,042

    

PRPM LLC, Series 2019-2A-A1

   3.97%      04/25/2024      7,602,628

11,340,709

    

PRPM LLC, Series 2019-3A-A1

   3.35%      07/25/2024      11,389,638

8,662,139

    

RBSGC Mortgage Loan Trust, Series 2005-A-3A

   6.00%      04/25/2035      6,459,206

30,000,000

    

Redwood Funding Trust, Series 2019-1-PT

   4.21%      09/27/2024      30,234,750

293,022

    

Residential Accredit Loans, Inc., Series 2005-QS14-3A3

   6.00%      09/25/2035      284,757


334,999

    

Residential Accredit Loans, Inc., Series 2006-QS10-A4

   5.75%      08/25/2036      309,280

3,655,500

    

Residential Accredit Loans, Inc., Series 2006-QS10-A9

   6.50%      08/25/2036      3,509,586

3,648,880

    

Residential Accredit Loans, Inc., Series 2006-QS4-A10

   6.00%      04/25/2036      3,490,808

714,610

    

Residential Accredit Loans, Inc., Series 2006-QS6-1A15

   6.00%      06/25/2036      672,330

67,648

    

Residential Accredit Loans, Inc., Series 2006-QS6-2A1

   6.00%      06/25/2021      67,368

1,194,775

    

Residential Accredit Loans, Inc., Series 2007-QS3-A4

   6.25%      02/25/2037      1,120,831

4,165,975

    

Residential Accredit Loans, Inc., Series 2007-QS9-A33

   6.50%      07/25/2037      3,998,521

182,952

    

Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5

   5.91%      01/25/2035      185,354

178,029

    

Residential Asset Securitization Trust, Series 2005-A10-A3

   5.50%      09/25/2035      147,110

276,484

    

Residential Asset Securitization Trust, Series 2005-A11-2A4

   6.00%      10/25/2035      205,829

54,997

    

Residential Asset Securitization Trust, Series 2005-A7-A3

   5.50%      06/25/2035      46,671

1,650,489

    

Residential Asset Securitization Trust, Series 2006-A6-1A1

   6.50%      07/25/2036      764,622

139,834

    

Residential Asset Securitization Trust, Series 2006-R1-A1 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)

   20.33%   I/F    01/25/2046      185,759

87,836

    

Residential Funding Mortgage Securities Trust, Series 2006-S10-1A2

   6.00%      10/25/2036      83,734

446,296

    

Residential Funding Mortgage Securities Trust, Series 2006-S11-A3

   6.00%      11/25/2036      445,918

898,700

    

Residential Funding Mortgage Securities Trust, Series 2007-S2-A4

   6.00%      02/25/2037      862,383

572,735

    

Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4

   6.00%      03/25/2037      541,583

36,597,217

    

Securitized Mortgage Asset Loan Trust, Series 2015-1-PC

   3.39%   # ^    02/25/2054      34,090,721

6,715,423

    

Securitized Mortgage Asset Loan Trust, Series 2015-2-PC

   0.00%   # ^    12/26/2059      6,698,079

8,868,279

    

Securitized Mortgage Asset Loan Trust, Series 2015-3-PC

   0.00%   # ^    10/25/2044      8,879,852

7,900,273

    

Sequoia Mortgage Trust, Series 2007-3-2AA1

   4.02%   #    07/20/2037      7,483,067

20,972,645

    

Shellpoint Co-Originator Trust, Series 2016-1-1A10

   3.50%   # ^    11/25/2046      21,198,174

4,506,037

    

Structured Asset Investment Loan Trust, Series 2006-BNC3-A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.20%      09/25/2036      3,511,528

589,308

    

Structured Asset Securities Corporation, Series 2003-35-1A1

   5.18%   #    12/25/2033      629,539

1,216,308

    

Structured Asset Securities Corporation, Series 2005-RF1-A (1 Month LIBOR USD + 0.35%, 0.35% Floor)

   2.37%   ^    03/25/2035      1,106,446

1,216,308

    

Structured Asset Securities Corporation, Series 2005-RF1-AIO

   2.77%   # ^ I/O    03/25/2035      205,816

14,000,000

    

Toorak Mortgage Corporation Ltd., Series 2019-2-A1

   3.72%   §    09/25/2022      14,125,118

29,728,498

    

Velocity Commercial Capital Loan Trust, Series 2018-1-A

   3.59%   ^    04/25/2048      30,514,787

4,181,413

    

Velocity Commercial Capital Loan Trust, Series 2018-1-M1

   3.91%   ^    04/25/2048      4,319,601

1,553,751

    

Velocity Commercial Capital Loan Trust, Series 2018-1-M2

   4.26%   ^    04/25/2048      1,608,762

1,064,927

    

Velocity Commercial Capital Loan Trust, Series 2018-1-M3

   4.41%   ^    04/25/2048      1,104,884

16,228,788

    

Velocity Commercial Capital Loan Trust, Series 2018-2-A

   4.05%   # ^    10/26/2048      16,564,253

5,211,617

    

Velocity Commercial Capital Loan Trust, Series 2019-1-M1

   3.94%   # ^    03/25/2049      5,330,723

1,309,464

    

Velocity Commercial Capital Loan Trust, Series 2019-1-M2

   4.01%   # ^    03/25/2049      1,340,293

1,478,948

    

Velocity Commercial Capital Loan Trust, Series 2019-1-M3

   4.12%   # ^    03/25/2049      1,514,124

29,299,880

    

Vericrest Opportunity Loan Trust, Series 2019-NPL3-A1

   3.97%      03/25/2049      29,536,854

3,067,267

    

Vericrest Opportunity Loan Trust, Series 2019-NPL5-A1A

   3.35%      09/25/2049      3,084,475

28,293,888

    

VOLT LLC, Series 2017-NPL9-A1

   3.13%      09/25/2047      28,380,349

8,433,321

    

VOLT LLC, Series 2018-NPL1-A1

   3.75%      04/25/2048      8,467,865

22,486,538

    

VOLT LLC, Series 2018-NPL8-A1A

   4.21%      10/26/2048      22,620,792

20,000,000

    

VOLT LLC, Series 2019-NPL6-A1A

   3.23%      10/25/2049      20,171,280

116,167

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A

   6.00%      03/25/2035      113,546

768,615

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1

   5.75%      02/25/2036      732,501

2,061,623

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-2-4CB

   6.00%      03/25/2036      2,028,869

4,082,390

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A6

   4.38%   ß    10/25/2036      2,284,666

2,648,601

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR19-2A (11th District Cost of Funds Index + 1.25%, 1.25% Floor)

   2.41%      01/25/2047      2,654,021

8,202,614

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A3

   6.00%      04/25/2037      7,571,759

1,618,980

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A6

   6.00%      04/25/2037      1,569,804

109,402

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11 (-6 x 1 Month LIBOR USD + 39.48%, 39.48% Cap)

   27.37%   I/F    06/25/2037      221,321

9,257,536

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A3

   7.00%      06/25/2037      6,569,456

830,691

    

Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1

   6.25%      11/25/2037      828,363

615,416

    

Wells Fargo Mortgage Backed Securities Trust, Series 2005-17-1A1

   5.50%      01/25/2036      615,868

32,327

    

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR14-A6

   4.85%   #    08/25/2035      32,924

44,945

    

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16-6A4

   4.91%   #    10/25/2035      46,045

209,577

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-3A1

   5.75%      03/25/2036      207,748

596,521

    

Wells Fargo Mortgage Backed Securities Trust, Series 2006-7-2A1

   6.00%      06/25/2036      591,379

536,370

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-1A5

   6.00%      07/25/2037      541,898

617,733

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-2A11

   6.00%      07/25/2037      606,014

912,957

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A96

   6.00%      08/25/2037      931,925

1,155,091

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-14-1A1

   6.00%      10/25/2037      1,154,999

61,820

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1

   6.00%      06/25/2037      62,388
                 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $1,117,707,538)

          1,139,928,657
         

 

US Corporate Bonds - 12.7%

         

14,766,000

    

AbbVie, Inc.

   4.70%      05/14/2045      15,801,272

1,720,000

    

Acrisure LLC

   8.13%   ^    02/15/2024      1,856,525

410,000

    

Advanced Drainage Systems, Inc.

   5.00%   ^    09/30/2027      416,658

3,315,000

    

AECOM

   5.13%      03/15/2027      3,497,325

12,868,000

    

Air Lease Corporation

   3.75%      02/01/2022      13,231,348

1,495,000

    

Air Medical Merger Sub Corporation

   6.38%   ^    05/15/2023      1,308,125

480,000

    

AK Steel Corporation

   7.63%      10/01/2021      475,200

590,000

    

AK Steel Corporation

   6.38%      10/15/2025      505,925

2,675,000

    

Albertsons LLC

   5.88%   ^    02/15/2028      2,838,014

12,430,000

    

Alexandria Real Estate Equities, Inc.

   4.00%      01/15/2024      13,272,362

3,380,000

    

Alliant Holdings Intermediate LLC

   8.25%   ^    08/01/2023      3,460,275

1,310,000

    

Allied Universal Holding Company

   6.63%   ^    07/15/2026      1,386,962

960,000

    

Allied Universal Holding Company

   9.75%   ^    07/15/2027      1,002,835

2,985,000

    

Allison Transmission, Inc.

   5.00%   ^    10/01/2024      3,055,894

14,655,000

    

Altria Group, Inc.

   4.80%      02/14/2029      16,084,250

1,541,000

    

AMC Merger, Inc.

   8.00%   ^    05/15/2025      1,055,585

1,085,000

    

American Axle & Manufacturing, Inc.

   6.25%      03/15/2026      1,041,600

15,490,000

    

American Express Credit Corporation

   2.50%      08/01/2022      15,651,891

4,433,000

    

American Tower Corporation

   3.38%      10/15/2026      4,619,443

14,172,000

    

American Tower Corporation

   3.60%      01/15/2028      14,949,042

1,130,000

    

Amsted Industries, Inc.

   5.63%   ^    07/01/2027      1,194,975

6,100,000

    

Anheuser-Busch InBev Worldwide, Inc.

   4.90%      02/01/2046      7,267,862

8,205,000

    

Anheuser-Busch InBev Worldwide, Inc.

   4.60%      04/15/2048      9,473,987

1,440,000

    

Antero Midstream Partners LP

   5.75%   ^    03/01/2027      1,205,971

8,170,000

    

Anthem, Inc.

   2.38%      01/15/2025      8,131,598

2,930,000

    

Aramark Services, Inc.

   5.00%   ^    04/01/2025      3,032,550

1,325,000

    

Argos Merger Sub, Inc.

   7.13%   ^    03/15/2023      1,252,125

7,320,000

    

Arrow Electronics, Inc.

   3.88%      01/12/2028      7,511,776

2,655,000

    

Ascend Learning LLC

   6.88%   ^    08/01/2025      2,757,881

690,000

    

Ascend Learning LLC

   6.88%   ^    08/01/2025      720,187

2,980,000

    

AssuredPartners, Inc.

   7.00%   ^    08/15/2025      2,994,900

20,665,000

    

AT&T, Inc.

   5.25%      03/01/2037      24,367,219

15,884,000

    

Athene Global Funding

   3.00%   ^    07/01/2022      16,169,819

3,085,000

    

Avantor, Inc.

   9.00%   ^    10/01/2025      3,474,481

16,753,000

    

AXA Equitable Holdings, Inc.

   3.90%      04/20/2023      17,529,284

1,955,000

    

B&G Foods, Inc.

   5.25%      04/01/2025      2,003,875

1,250,000

    

B&G Foods, Inc.

   5.25%      09/15/2027      1,279,812

865,000

    

Banff Merger Sub, Inc.

   9.75%   ^    09/01/2026      829,967

15,600,000

    

Bank of America Corporation (3 Month LIBOR USD + 1.21%)

   3.97%      02/07/2030      17,091,609

25,525,000

    

BAT Capital Corporation

   3.46%      09/06/2029      25,029,328

1,090,000

    

Bausch Health Companies, Inc.

   7.00%   ^    03/15/2024      1,148,271

580,000

    

Bausch Health Companies, Inc.

   5.75%   ^    08/15/2027      628,331

2,355,000

    

Bausch Health Companies, Inc.

   7.00%   ^    01/15/2028      2,542,458

2,350,000

    

Bausch Health Companies, Inc.

   7.25%   ^    05/30/2029      2,572,780

3,485,000

    

Beacon Escrow Corporation

   4.88%   ^    11/01/2025      3,432,725

820,000

    

Beacon Roofing Supply, Inc.

   4.50%   ^    11/15/2026      827,175

23,535,000

    

Becton Dickinson and Company

   2.89%      06/06/2022      23,902,313

1,170,000

    

Berry Global Escrow Corporation

   5.63%   ^    07/15/2027      1,213,875

15,215,000

    

Boston Properties LP

   3.40%      06/21/2029      15,938,728

3,465,000

    

Boyne USA, Inc.

   7.25%   ^    05/01/2025      3,792,789

13,630,000

    

Brooklyn Union Gas Company

   4.49%   ^    03/04/2049      16,609,856

2,786,000

    

Builders FirstSource, Inc.

   5.63%   ^    09/01/2024      2,907,887

665,000

    

Builders FirstSource, Inc.

   6.75%   ^    06/01/2027      719,862

425,000

    

Calfrac Holdings LP

   8.50%   ^    06/15/2026      191,250


1,200,000

    

Calpine Corporation

   5.75%      01/15/2025      1,234,500

1,185,000

    

Calpine Corporation

   5.25%   ^    06/01/2026      1,230,919

4,050,000

    

Capital One Financial Corporation (3 Month LIBOR USD + 0.72%)

   2.99%      01/30/2023      4,038,449

1,210,000

    

Carvana Company

   8.88%   ^    10/01/2023      1,251,987

1,915,000

    

Catalent Pharma Solutions, Inc.

   5.00%   ^    07/15/2027      1,991,600

4,771,000

    

CCO Holdings LLC

   5.75%   ^    02/15/2026      5,045,332

2,030,000

    

CCO Holdings LLC

   5.00%   ^    02/01/2028      2,103,587

860,000

    

CDK Global, Inc.

   5.88%      06/15/2026      918,050

830,000

    

CDK Global, Inc.

   5.25%   ^    05/15/2029      860,087

1,830,000

    

Cedar Fair LP

   5.25%   ^    07/15/2029      1,964,962

14,005,000

    

Celgene Corporation

   4.35%      11/15/2047      16,258,117

1,585,000

    

Cengage Learning, Inc.

   9.50%   ^    06/15/2024      1,458,200

3,470,000

    

Centene Corporation

   4.75%      01/15/2025      3,570,630

835,000

    

Centene Corporation

   5.38%   ^    06/01/2026      876,750

1,165,000

    

Century Communities, Inc.

   6.75%   ^    06/01/2027      1,254,122

1,180,000

    

CFX Escrow Corporation

   6.00%   ^    02/15/2024      1,253,278

1,645,000

    

CFX Escrow Corporation

   6.38%   ^    02/15/2026      1,771,973

14,165,000

    

Charles Schwab Corporation

   3.55%      02/01/2024      14,987,095

14,746,000

    

Charter Communications Operating LLC

   4.91%      07/23/2025      16,217,826

4,395,000

    

Cheniere Energy Partners LP

   5.25%      10/01/2025      4,588,380

390,000

    

Cheniere Energy Partners LP

   5.63%      10/01/2026      415,798

825,000

    

Cheniere Energy Partners LP

   4.50%   ^    10/01/2029      847,172

7,380,000

    

Cigna Corporation

   4.90%      12/15/2048      8,475,815

7,655,000

    

Cigna Corporation (3 Month LIBOR USD + 0.89%)

   3.19%      07/15/2023      7,676,298

1,965,000

    

Cincinnati Bell, Inc.

   7.00%   ^    07/15/2024      1,827,450

23,400,000

    

Citigroup, Inc. (3 Month LIBOR USD + 1.10%)

   3.22%      05/17/2024      23,616,384

2,140,000

    

Clean Harbors, Inc.

   4.88%   ^    07/15/2027      2,238,975

460,000

    

Clean Harbors, Inc.

   5.13%   ^    07/15/2029      488,750

1,284,000

    

Clear Channel Worldwide Holdings, Inc.

   9.25%   ^    02/15/2024      1,413,889

1,530,000

    

Clear Channel Worldwide Holdings, Inc.

   5.13%   ^    08/15/2027      1,597,855

815,000

    

CNO Financial Group, Inc.

   5.25%      05/30/2029      894,462

3,220,000

    

CNX Midstream Partners LP

   6.50%   ^    03/15/2026      2,986,872

14,895,000

    

Comcast Corporation

   3.95%      10/15/2025      16,230,031

1,320,000

    

CommScope Finance LLC

   5.50%   ^    03/01/2024      1,364,550

625,000

    

CommScope Finance LLC

   6.00%   ^    03/01/2026      649,875

3,110,000

    

Connect Finco LLC

   6.75%   ^    10/01/2026      3,172,200

3,895,000

    

Constellation Brands, Inc.

   3.15%      08/01/2029      3,997,059

1,380,000

    

Constellation Merger Sub, Inc.

   8.50%   ^    09/15/2025      1,162,650

15,555,000

    

Corning, Inc.

   4.38%      11/15/2057      16,058,105

3,130,000

    

Cott Holdings, Inc.

   5.50%   ^    04/01/2025      3,259,206

2,060,000

    

CRC Issuer LLC

   5.25%   ^    10/15/2025      2,111,294

2,255,000

    

Credit Acceptance Corporation

   6.63%   ^    03/15/2026      2,418,487

1,940,000

    

Crown Americas LLC

   4.50%      01/15/2023      2,041,850

2,820,000

    

Crown Americas LLC

   4.75%      02/01/2026      2,957,475

14,045,000

    

Crown Castle International Corporation

   3.65%      09/01/2027      14,892,258

815,000

    

Crown Castle International Corporation

   3.80%      02/15/2028      867,680

1,988,000

    

CSC Holdings LLC

   5.25%      06/01/2024      2,142,070

2,940,000

    

CSC Holdings LLC

   5.75%   ^    01/15/2030      3,076,328

2,700,000

    

CSI Compressco LP

   7.50%   ^    04/01/2025      2,666,250

15,465,000

    

CSX Corporation

   3.80%      11/01/2046      16,263,178

7,385,000

    

CVS Health Corporation

   5.05%      03/25/2048      8,411,700

2,200,000

    

Dana Financing Ltd.

   5.75%   ^    04/15/2025      2,256,870

16,060,000

    

Delta Air Lines, Inc.

   3.80%      04/19/2023      16,669,591

1,030,000

    

Diamond Sports Group LLC

   5.38%   ^    08/15/2026      1,071,200

3,500,000

    

Digital Realty Trust

   3.70%      08/15/2027      3,676,703

3,000,000

    

Digital Realty Trust

   3.60%      07/01/2029      3,126,257

17,835,000

    

Discover Financial Services

   4.10%      02/09/2027      18,997,333

1,355,000

    

DISH DBS Corporation

   5.88%      11/15/2024      1,348,225

14,005,000

    

Dollar Tree, Inc.

   4.00%      05/15/2025      14,860,633

12,745,000

    

DowDuPont, Inc.

   5.42%      11/15/2048      16,203,078

3,615,000

    

Duke Energy Corporation

   3.75%      09/01/2046      3,734,466

7,615,000

    

Duke Energy Corporation

   3.95%      08/15/2047      8,169,004

11,590,000

    

Duke Energy Progress, Inc.

   4.15%      12/01/2044      13,292,162

450,000

    

Dun & Bradstreet Corporation

   10.25%   ^    02/15/2027      499,500

1,305,000

    

Eagle Holding LLC (PIK 9.00%)

   7.75%   ^    05/15/2022      1,318,050

1,180,000

    

EES Finance Corporation

   8.13%      05/01/2025      1,181,475

1,710,000

    

Eldorado Resorts, Inc.

   6.00%      04/01/2025      1,808,325

2,136,000

    

Embarq Corporation

   8.00%      06/01/2036      2,121,988

7,425,000

    

Enable Midstream Partners LP

   4.40%      03/15/2027      7,456,644

620,000

    

Encompass Health Corporation

   4.50%      02/01/2028      628,370

215,000

    

Encompass Health Corporation

   4.75%      02/01/2030      217,773

1,710,000

    

Energizer Holdings, Inc.

   7.75%   ^    01/15/2027      1,909,557

13,325,000

    

Energy Transfer Partners LP

   4.75%      01/15/2026      14,457,257

1,250,000

    

Energy Transfer Partners LP

   4.20%      04/15/2027      1,316,001

3,560,000

    

Ensemble S Merger Sub, Inc.

   9.00%   ^    09/30/2023      3,662,350

405,000

    

Enterprise Merger Sub, Inc.

   8.75%   ^    10/15/2026      249,075

1,125,000

    

EP Energy LLC

   7.75%   ^    05/15/2026      849,375

8,065,000

    

ERP Operating LP

   2.50%      02/15/2030      7,955,966

3,981,000

    

ESH Hospitality, Inc.

   5.25%   ^    05/01/2025      4,125,311

825,000

    

ESH Hospitality, Inc.

   4.63%   ^    10/01/2027      829,125

3,954,000

    

Exelon Corporation

   3.40%      04/15/2026      4,136,888

7,820,000

    

Expedia Group, Inc.

   3.80%      02/15/2028      8,192,583

755,000

    

Extraction Oil & Gas, Inc.

   5.63%   ^    02/01/2026      466,212

7,447,000

    

FedEx Corporation

   4.75%      11/15/2045      8,009,896

1,520,000

    

Financial & Risk US Holdings, Inc.

   6.25%   ^    05/15/2026      1,633,985

1,560,000

    

Financial & Risk US Holdings, Inc.

   8.25%   ^    11/15/2026      1,725,750

1,815,000

    

Flex Acquisition Company, Inc.

   6.88%   ^    01/15/2025      1,664,536

3,460,000

    

Ford Motor Company

   7.45%      07/16/2031      3,972,678

2,220,000

    

Foresight Energy LLC

   11.50%   ^    04/01/2023      482,850

2,140,000

    

Frontdoor, Inc.

   6.75%   ^    08/15/2026      2,348,693

605,000

    

Frontier Communications Corporation

   8.50%      04/15/2020      320,650

945,000

    

Frontier Communications Corporation

   7.13%      01/15/2023      422,887

765,000

    

Frontier Communications Corporation

   8.50%   ^    04/01/2026      766,836

1,335,000

    

Frontier Communications Corporation

   8.00%   ^    04/01/2027      1,411,349

1,068,000

    

FTS International, Inc.

   6.25%      05/01/2022      881,100

13,450,000

    

General Electric Company

   5.88%      01/14/2038      16,181,708

6,205,000

    

General Motors Financial Company

   3.95%      04/13/2024      6,389,466

4,265,000

    

General Motors Financial Company (3 Month LIBOR USD + 0.80%)

   3.01%      08/07/2020      4,273,645

13,645,000

    

General Motors Financial Company (3 Month LIBOR USD + 0.99%)

   3.28%      01/05/2023      13,464,730

3,440,000

    

Genesys Telecommunications Laboratories, Inc.

   10.00%   ^    11/30/2024      3,727,446

16,260,000

    

Georgia Power Company

   2.20%      09/15/2024      16,089,980

2,250,000

    

Global Aircraft Leasing Company (PIK 7.00%)

   6.50%   ^    09/15/2024      2,283,750

1,875,000

    

Gogo Finance Company, Inc.

   9.88%   ^    05/01/2024      2,010,937

1,035,000

    

Golden Entertainment, Inc.

   7.63%   ^    04/15/2026      1,084,162

3,290,000

    

Golden Nugget, Inc.

   6.75%   ^    10/15/2024      3,380,475

500,000

    

Golden Nugget, Inc.

   8.75%   ^    10/01/2025      522,500

8,250,000

    

Goldman Sachs Group, Inc. (3 Month LIBOR USD + 0.78%)

   3.04%      10/31/2022      8,276,289

11,218,000

    

Goldman Sachs Group, Inc. (3 Month LIBOR USD + 1.17%)

   3.33%      05/15/2026      11,283,734

860,000

    

Gray Television, Inc.

   5.13%   ^    10/15/2024      893,325

1,510,000

    

Gray Television, Inc.

   7.00%   ^    05/15/2027      1,664,699

835,000

    

GrubHub Holdings, Inc.

   5.50%   ^    07/01/2027      853,787

1,315,000

    

GTT Communications, Inc.

   7.88%   ^    12/31/2024      749,550

1,820,000

    

Gulfport Energy Corporation

   6.38%      05/15/2025      1,301,300

15,892,000

    

Hasbro, Inc.

   3.50%      09/15/2027      16,287,329

850,000

    

HCA, Inc.

   5.25%      04/15/2025      946,658

4,850,000

    

HCA, Inc.

   5.38%      09/01/2026      5,340,820

270,000

    

HCA, Inc.

   5.88%      02/01/2029      302,400

7,770,000

    

HCA, Inc.

   4.13%      06/15/2029      8,151,616


4,865,000

    

Hess Infrastructure Partners LP

   5.63%   ^    02/15/2026      5,108,250

985,000

    

Hexion, Inc.

   7.88%   ^    07/15/2027      977,612

1,397,000

    

HilCorporationEnergy LP

   6.25%   ^    11/01/2028      1,306,195

620,000

    

Hill-Rom Holdings, Inc.

   4.38%   ^    09/15/2027      635,407

4,890,000

    

Hilton Domestic Operating Company, Inc.

   4.25%      09/01/2024      4,993,912

7,260,000

    

Home Depot, Inc.

   3.90%      06/15/2047      8,330,787

800,000

    

Horizon Pharma USA, Inc.

   5.50%   ^    08/01/2027      834,000

1,420,000

    

IAA Spinco, Inc.

   5.50%   ^    06/15/2027      1,501,650

1,680,000

    

Icahn Enterprises Finance Corporation

   6.25%      02/01/2022      1,727,880

650,000

    

Icahn Enterprises Finance Corporation

   6.38%      12/15/2025      685,108

2,965,000

    

Icahn Enterprises Finance Corporation

   6.25%   ^    05/15/2026      3,113,250

480,000

    

iHeartCommunications, Inc.

   6.38%      05/01/2026      520,800

230,000

    

iHeartCommunications, Inc.

   8.38%      05/01/2027      249,550

1,000,000

    

iHeartCommunications, Inc.

   5.25%   ^    08/15/2027      1,042,500

875,000

    

Indigo Natural Resources LLC

   6.88%   ^    02/15/2026      792,969

3,155,000

    

Informatica LLC

   7.13%   ^    07/15/2023      3,218,100

1,435,000

    

Installed Building Products, Inc.

   5.75%   ^    02/01/2028      1,483,431

2,045,000

    

IQVIA, Inc.

   5.00%   ^    05/15/2027      2,147,250

2,314,000

    

IRB Holding Corporation

   6.75%   ^    02/15/2026      2,331,355

2,685,000

    

Iridium Communications, Inc.

   10.25%   ^    04/15/2023      2,899,800

1,280,000

    

Iron Mountain, Inc.

   4.88%   ^    09/15/2029      1,302,784

1,000,000

    

iStar, Inc.

   4.75%      10/01/2024      1,018,750

275,000

    

JBS USA Finance, Inc.

   5.75%   ^    06/15/2025      287,532

430,000

    

JBS USA Finance, Inc.

   5.88%   ^    07/15/2024      443,728

1,710,000

    

JBS USA Finance, Inc.

   6.75%   ^    02/15/2028      1,900,237

1,670,000

    

JBS USA Finance, Inc.

   6.50%   ^    04/15/2029      1,857,875

600,000

    

JBS USA Finance, Inc.

   5.50%   ^    01/15/2030      637,488

2,795,000

    

JELD-WEN, Inc.

   4.63%   ^    12/15/2025      2,812,553

8,015,000

    

John Deere Capital Corporation

   3.45%      01/10/2024      8,450,650

2,465,000

    

KAR Auction Services, Inc.

   5.13%   ^    06/01/2025      2,563,600

11,824,000

    

Kinder Morgan Energy Partners LP

   6.95%      01/15/2038      15,462,536

1,475,000

    

Kratos Defense & Security Solutions, Inc.

   6.50%   ^    11/30/2025      1,578,250

15,245,000

    

Kroger Company

   3.40%      04/15/2022      15,736,372

3,035,000

    

Level 3 Financing, Inc.

   5.38%      01/15/2024      3,102,832

1,525,000

    

Level 3 Financing, Inc.

   4.63%   ^    09/15/2027      1,542,614

17,379,000

    

Liberty Mutual Group, Inc.

   3.95%   ^    10/15/2050      17,458,770

1,905,000

    

Lions Gate Capital Holdings LLC

   6.38%   ^    02/01/2024      2,019,071

2,990,000

    

Live Nation Entertainment, Inc.

   5.63%   ^    03/15/2026      3,188,087

13,037,000

    

Lockheed Martin Corporation

   4.70%      05/15/2046      16,600,791

2,835,000

    

LTF Merger Sub, Inc.

   8.50%   ^    06/15/2023      2,912,963

13,619,000

    

Marathon Petroleum Corporation

   5.13%      12/15/2026      15,322,861

1,925,000

    

Marriott Ownership Resorts, Inc.

   6.50%      09/15/2026      2,083,813

14,460,000

    

Marvell Technology Group Ltd.

   4.20%      06/22/2023      15,166,670

2,250,000

    

Masonite International Corporation

   5.75%   ^    09/15/2026      2,382,188

2,535,000

    

Match Group, Inc.

   5.00%   ^    12/15/2027      2,642,738

895,000

    

Matterhorn Merger Sub LLC

   8.50%   ^    06/01/2026      673,488

7,020,000

    

McDonald’s Corporation

   4.45%      03/01/2047      8,078,528

50,000

    

Metropolitan Edison Company

   4.00%   ^    04/15/2025      53,165

1,710,000

    

MGM Growth Properties LP

   5.75%   ^    02/01/2027      1,922,126

1,150,000

    

MGM Resorts International

   5.75%      06/15/2025      1,272,188

6,255,000

    

Monongahela Power Company

   5.40%   ^    12/15/2043      8,401,474

14,609,000

    

Morgan Stanley (3 Month LIBOR USD + 1.34%)

   3.59%      07/22/2028      15,421,247

15,680,000

    

Mosaic Company

   4.05%      11/15/2027      16,306,945

1,152,000

    

Moss Creek Resources Holdings, Inc.

   7.50%   ^    01/15/2026      853,920

1,735,000

    

MPH Acquisition Holdings LLC

   7.13%   ^    06/01/2024      1,607,044

1,250,000

    

MPLX LP

   4.00%      03/15/2028      1,304,518

1,305,000

    

MPT Finance Corporation

   4.63%      08/01/2029      1,346,597

3,720,000

    

MPT Operating Partnership LP

   5.00%      10/15/2027      3,906,000

940,000

    

Murphy Oil USA, Inc.

   4.75%      09/15/2029      963,500

1,285,000

    

Nabors Industries, Inc.

   5.75%      02/01/2025      957,325

2,795,000

    

Navient Corporation

   6.50%      06/15/2022      2,983,663

860,000

    

Netflix, Inc.

   5.88%      02/15/2025      946,550

765,000

    

Netflix, Inc.

   5.38%   ^    11/15/2029      797,513

8,467,000

    

NextEra Energy Capital Holdings, Inc.

   3.55%      05/01/2027      8,983,491

3,207,000

    

NFP Corporation

   6.88%   ^    07/15/2025      3,194,974

1,170,000

    

NGL Energy Finance Corporation

   7.50%   ^    04/15/2026      1,178,190

1,835,000

    

NRG Energy, Inc.

   5.25%   ^    06/15/2029      1,980,057

1,650,000

    

NuStar Logistics LP

   6.00%      06/01/2026      1,789,920

880,000

    

NVA Holdings, Inc.

   6.88%   ^    04/01/2026      938,300

1,610,000

    

Oasis Petroleum, Inc.

   6.88%      03/15/2022      1,509,375

1,055,000

    

Oasis Petroleum, Inc.

   6.25%   ^    05/01/2026      859,825

16,120,000

    

Oncor Electric Delivery Company

   3.10%   ^    09/15/2049      16,100,990

148,000

    

Oncor Electric Delivery Company LLC

   2.95%      04/01/2025      153,829

4,060,000

    

ONEOK, Inc.

   3.40%      09/01/2029      4,026,477

8,405,000

    

Owens Corning

   4.40%      01/30/2048      7,756,041

7,010,000

    

Packaging Corporation of America

   3.40%      12/15/2027      7,282,198

1,445,000

    

Panther BF Aggregator LP

   6.25%   ^    05/15/2026      1,524,475

745,000

    

Panther BF Aggregator LP

   8.50%   ^    05/15/2027      756,175

1,790,000

    

Par Petroleum Finance Corporation

   7.75%   ^    12/15/2025      1,785,525

2,305,000

    

Parsley Energy LLC

   5.63%   ^    10/15/2027      2,391,438

2,525,000

    

Peabody Securities Finance Corporation

   6.00%   ^    03/31/2022      2,550,250

2,085,000

    

Penn National Gaming, Inc.

   5.63%   ^    01/15/2027      2,157,975

6,620,000

    

Penske Truck Leasing Company

   4.20%   ^    04/01/2027      7,051,764

1,465,000

    

Performance Food Group, Inc.

   5.50%   ^    10/15/2027      1,545,575

468,000

    

PetSmart, Inc.

   5.88%   ^    06/01/2025      468,000

3,070,000

    

Pilgrim’s Pride Corporation

   5.88%   ^    09/30/2027      3,308,693

1,670,000

    

Polaris Intermediate Corporation (PIK 9.25%)

   8.50%   ^    12/01/2022      1,427,850

2,390,000

    

Post Holdings, Inc.

   5.50%   ^    03/01/2025      2,512,488

430,000

    

Post Holdings, Inc.

   5.50%   ^    12/15/2029      449,888

1,263,000

    

Prime Security Services Borrower LLC

   9.25%   ^    05/15/2023      1,330,160

7,705,000

    

Prudential Financial, Inc.

   3.91%      12/07/2047      8,290,959

11,955,000

    

PSEG Power LLC

   3.85%      06/01/2023      12,649,985

14,460,000

    

Public Storage

   3.39%      05/01/2029      15,524,932

1,280,000

    

QEP Resources, Inc.

   5.25%      05/01/2023      1,193,626

1,175,000

    

QEP Resources, Inc.

   5.63%      03/01/2026      1,016,375

380,000

    

Radiate Finance, Inc.

   6.88%   ^    02/15/2023      392,825

1,695,000

    

Radiate Finance, Inc.

   6.63%   ^    02/15/2025      1,715,510

2,150,000

    

Resideo Funding, Inc.

   6.13%   ^    11/01/2026      2,273,625

1,073,000

    

Riverbed Technology, Inc.

   8.88%   ^    03/01/2023      590,150

7,435,000

    

Royal Caribbean Cruises Ltd.

   3.70%      03/15/2028      7,628,289

14,675,000

    

Sabine Pass Liquefaction LLC

   5.00%      03/15/2027      16,223,234

1,580,000

    

Schweitzer-Mauduit International, Inc.

   6.88%   ^    10/01/2026      1,674,800

1,820,000

    

Scientific Games International, Inc.

   5.00%   ^    10/15/2025      1,882,426

1,160,000

    

Scientific Games International, Inc.

   8.25%   ^    03/15/2026      1,238,300

1,475,000

    

Scripps Escrow, Inc.

   5.88%   ^    07/15/2027      1,500,813

1,925,000

    

Select Medical Corporation

   6.25%   ^    08/15/2026      2,016,438

8,175,000

    

Simon Property Group LP

   2.45%      09/13/2029      8,010,743

2,195,000

    

Sirius XM Radio, Inc.

   5.38%   ^    07/15/2026      2,312,674

1,100,000

    

Sirius XM Radio, Inc.

   5.50%   ^    07/01/2029      1,177,000

3,020,000

    

Six Flags Entertainment Corporation

   4.88%   ^    07/31/2024      3,133,250

15,691,000

    

Smithfield Foods, Inc.

   4.25%   ^    02/01/2027      16,269,252

7,945,000

    

Southern California Edison Company

   4.00%      04/01/2047      8,561,261

210,000

    

Spectrum Brands, Inc.

   5.00%   ^    10/01/2029      214,200

1,590,000

    

Springleaf Finance Corporation

   6.88%      03/15/2025      1,755,956

280,000

    

Springleaf Finance Corporation

   7.13%      03/15/2026      311,136

390,000

    

Springleaf Finance Corporation

   6.63%      01/15/2028      420,342

3,965,000

    

Sprint Capital Corporation

   6.88%      11/15/2028      4,332,556

3,815,000

    

Sprint Corporation

   7.13%      06/15/2024      4,121,345


7,520,000

    

Sprint Spectrum Company LLC

   4.74%   ^    03/20/2025      8,012,635

2,495,000

    

SS&C Technologies, Inc.

   5.50%   ^    09/30/2027      2,612,016

1,495,000

    

Staples, Inc.

   7.50%   ^    04/15/2026      1,544,036

500,000

    

Staples, Inc.

   10.75%   ^    04/15/2027      515,000

1,310,000

    

Star Merger Sub, Inc.

   6.88%   ^    08/15/2026      1,430,356

1,745,000

    

Stevens Holding Company, Inc.

   6.13%   ^    10/01/2026      1,864,969

2,518,000

    

SunCoke Energy Partners Finance Corporation

   7.50%   ^    06/15/2025      2,250,463

1,910,000

    

Sunoco LP

   5.50%      02/15/2026      1,998,185

1,010,000

    

Sunoco LP / Sunoco Finance Corporation

   6.00%      04/15/2027      1,073,125

15,110,000

    

Synchrony Financial

   3.95%      12/01/2027      15,506,185

1,095,000

    

Talen Energy Supply LLC

   6.63%   ^    01/15/2028      1,081,313

925,000

    

Tapstone Energy Finance Corporation

   9.75%   W    06/01/2022      254,375

2,035,000

    

Targa Resources Partners Finance Corporation

   5.88%      04/15/2026      2,157,100

800,000

    

Targa Resources Partners Finance Corporation

   6.50%   ^    07/15/2027      874,872

3,600,000

    

Tempo Acquisition Finance Corporation

   6.75%   ^    06/01/2025      3,726,000

3,115,000

    

Tempur Sealy International, Inc.

   5.50%      06/15/2026      3,259,069

1,760,000

    

Tenet Healthcare Corporation

   7.00%      08/01/2025      1,795,200

1,800,000

    

Tenet Healthcare Corporation

   4.88%   ^    01/01/2026      1,849,500

1,930,000

    

Tenet Healthcare Corporation

   6.25%   ^    02/01/2027      2,009,420

750,000

    

Tenet Healthcare Corporation

   5.13%   ^    11/01/2027      775,950

1,940,000

    

TerraForm Power Operating LLC

   4.25%   ^    01/31/2023      1,988,500

14,055,000

    

The Interpublic Group of Companies, Inc.

   5.40%      10/01/2048      16,764,214

2,525,000

    

The ServiceMaster Company LLC

   5.13%   ^    11/15/2024      2,626,000

1,600,000

    

The William Carter Company

   5.63%   ^    03/15/2027      1,718,000

4,795,000

    

T-Mobile USA, Inc.

   4.50%      02/01/2026      4,953,475

1,365,000

    

TransDigm, Inc.

   6.38%      06/15/2026      1,440,075

2,205,000

    

TransDigm, Inc.

   6.25%   ^    03/15/2026      2,373,131

872,200

    

Transocean Guardian Ltd.

   5.88%   ^    01/15/2024      880,922

2,120,000

    

Transocean Poseidon Ltd.

   6.88%   ^    02/01/2027      2,194,200

1,605,000

    

Transocean Proteus Ltd.

   6.25%   ^    12/01/2024      1,637,100

1,155,000

    

Transocean, Inc.

   7.25%   ^    11/01/2025      1,022,175

1,320,000

    

Trident Merger Sub, Inc.

   6.63%   ^    11/01/2025      1,161,600

495,000

    

Triumph Group, Inc.

   6.25%   ^    09/15/2024      516,137

1,957,000

    

Triumph Group, Inc.

   7.75%      08/15/2025      1,981,463

1,120,000

    

Trivium Packaging Finance BV

   5.50%   ^    08/15/2026      1,180,144

1,420,000

    

Twin River Worldwide Holdings, Inc.

   6.75%   ^    06/01/2027      1,494,550

1,580,000

    

Uber Technologies, Inc.

   8.00%   ^    11/01/2026      1,603,700

700,000

    

Uber Technologies, Inc.

   7.50%   ^    09/15/2027      700,000

2,535,000

    

United Rentals North America, Inc.

   6.50%      12/15/2026      2,771,389

300,000

    

United Rentals North America, Inc.

   5.25%      01/15/2030      315,564

510,000

    

Univision Communications, Inc.

   5.13%   ^    05/15/2023      511,275

3,415,000

    

USA Compression Partners LP

   6.88%   ^    09/01/2027      3,543,063

14,757,000

    

Verizon Communications, Inc.

   4.40%      11/01/2034      16,846,429

6,735,000

    

Verizon Communications, Inc.

   4.27%      01/15/2036      7,597,104

2,365,000

    

Verscend Escrow Corporation

   9.75%   ^    08/15/2026      2,527,286

3,415,000

    

Viking Cruises Ltd.

   5.88%   ^    09/15/2027      3,627,072

1,235,000

    

Vine Oil & Gas Finance Corporation

   8.75%   ^    04/15/2023      568,100

2,405,000

    

Vistra Operations Co LLC

   5.63%   ^    02/15/2027      2,539,512

955,000

    

Vizient, Inc.

   6.25%   ^    05/15/2027      1,026,625

18,495,000

    

Volkswagen Group of America Finance LLC

   4.25%   ^    11/13/2023      19,719,161

1,990,000

    

Wand Merger Corporation

   8.13%   ^    07/15/2023      2,079,550

14,740,000

    

Waste Management, Inc.

   4.00%      07/15/2039      16,782,639

1,805,000

    

Waste Pro, Inc.

   5.50%   ^    02/15/2026      1,869,908

1,005,000

    

Weatherford International Ltd.

   9.88%   W    02/15/2024      364,313

2,415,000

    

WellCare Health Plans, Inc.

   5.25%      04/01/2025      2,523,675

2,285,000

    

WellCare Health Plans, Inc.

   5.38%   ^    08/15/2026      2,444,493

6,905,000

    

Wells Fargo & Company (3 Month LIBOR USD + 1.17%)

   3.20%      06/17/2027      7,140,952

15,115,000

    

Welltower, Inc.

   3.95%      09/01/2023      16,021,557

500,000

    

West Street Merger Sub, Inc.

   6.38%   ^    09/01/2025      462,500

725,000

    

WeWork Cos, Inc.

   7.88%   ^    05/01/2025      618,969

2,430,000

    

Whiting Petroleum Corporation

   6.63%      01/15/2026      1,652,400

13,740,000

    

Willis North America, Inc.

   4.50%      09/15/2028      15,245,216

1,430,000

    

WPX Energy, Inc.

   5.25%      10/15/2027      1,444,300

15,140,000

    

WRKCo, Inc.

   3.75%      03/15/2025      15,949,575

1,245,000

    

Yum! Brands, Inc.

   4.75%   ^    01/15/2030      1,287,019
                 

 

Total US Corporate Bonds (Cost $1,529,571,447)

          1,610,166,786
         

 

US Government and Agency Mortgage Backed Obligations - 16.2%

         

100,204,651

    

Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1

   1.44%   # I/O    03/25/2023      3,673,963

600,578

    

Federal Home Loan Mortgage Corporation, Pool G01840

   5.00%      07/01/2035      664,144

325,913

    

Federal Home Loan Mortgage Corporation, Pool G04817

   5.00%      09/01/2038      360,140

13,934,010

    

Federal Home Loan Mortgage Corporation, Pool G08537

   3.00%      07/01/2043      14,368,829

10,379,139

    

Federal Home Loan Mortgage Corporation, Pool G08622

   3.00%      01/01/2045      10,648,091

9,649,588

    

Federal Home Loan Mortgage Corporation, Pool G08686

   3.00%      01/01/2046      9,894,045

41,754,683

    

Federal Home Loan Mortgage Corporation, Pool G08701

   3.00%      04/01/2046      42,812,943

2,263,150

    

Federal Home Loan Mortgage Corporation, Pool G08737

   3.00%      12/01/2046      2,317,842

61,624,166

    

Federal Home Loan Mortgage Corporation, Pool G61645

   4.00%      10/01/2048      64,121,279

1,964,660

    

Federal Home Loan Mortgage Corporation, Pool N70081

   5.50%      07/01/2038      2,185,703

8,661,789

    

Federal Home Loan Mortgage Corporation, Pool Q33789

   3.50%      06/01/2045      9,119,176

43,526,209

    

Federal Home Loan Mortgage Corporation, Pool Q51461

   3.50%      10/01/2047      45,000,212

9,825,253

    

Federal Home Loan Mortgage Corporation, Pool RC1060

   2.50%      09/01/2034      9,965,066

54,721,509

    

Federal Home Loan Mortgage Corporation, Pool SD0035

   3.00%      04/01/2047      56,004,963

2,896,035

    

Federal Home Loan Mortgage Corporation, Pool T60854

   3.50%      09/01/2042      2,955,873

538,220

    

Federal Home Loan Mortgage Corporation, Pool U60299

   4.00%      11/01/2040      571,633

16,043,339

    

Federal Home Loan Mortgage Corporation, Pool V83144

   4.00%      04/01/2047      16,851,435

35,084,510

    

Federal Home Loan Mortgage Corporation, Pool ZT1827

   3.00%      07/01/2047      35,954,640

61,540

    

Federal Home Loan Mortgage Corporation, Series 2692-SC (-2 x 1 Month LIBOR USD + 13.29%, 13.29% Cap)

   9.23%   I/F    07/15/2033      74,966

1,857,245

    

Federal Home Loan Mortgage Corporation, Series 2722-PS (-1 x 1 Month LIBOR USD + 9.89%, 9.89% Cap)

   7.64%   I/F    12/15/2033      2,268,379

85,601

    

Federal Home Loan Mortgage Corporation, Series 2750-ZT

   5.00%      02/15/2034      93,654

179,903

    

Federal Home Loan Mortgage Corporation, Series 3002-SN (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

   4.47%   I/F I/O    07/15/2035      28,139

80,356

    

Federal Home Loan Mortgage Corporation, Series 3045-DI (-1 x 1 Month LIBOR USD + 6.73%, 6.73% Cap)

   4.70%   I/F I/O    10/15/2035      13,211

285,274

    

Federal Home Loan Mortgage Corporation, Series 3116-Z

   5.50%      02/15/2036      317,180

26,867

    

Federal Home Loan Mortgage Corporation, Series 3117-ZN

   4.50%      02/15/2036      28,052

335,224

    

Federal Home Loan Mortgage Corporation, Series 3203-ZC

   5.00%      07/15/2036      371,514

102,559

    

Federal Home Loan Mortgage Corporation, Series 3275-SC (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap)

   4.05%   I/F I/O    02/15/2037      14,676

302,248

    

Federal Home Loan Mortgage Corporation, Series 3382-SB (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.97%   I/F I/O    11/15/2037      26,713

309,148

    

Federal Home Loan Mortgage Corporation, Series 3384-S (-1 x 1 Month LIBOR USD + 6.39%, 6.39% Cap)

   4.36%   I/F I/O    11/15/2037      37,935

423,628

    

Federal Home Loan Mortgage Corporation, Series 3417-SX (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap)

   4.15%   I/F I/O    02/15/2038      42,467

42,792

    

Federal Home Loan Mortgage Corporation, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)

   3.62%   I/F I/O    03/15/2038      4,807

42,792

    

Federal Home Loan Mortgage Corporation, Series 3423-SG (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)

   3.62%   I/F I/O    03/15/2038      4,477

127,484

    

Federal Home Loan Mortgage Corporation, Series 3524-LB

   3.60%   I/O P/O    06/15/2038      131,794

17,962,455

    

Federal Home Loan Mortgage Corporation, Series 355-300

   3.00%      08/15/2047      18,571,030

124,926

    

Federal Home Loan Mortgage Corporation, Series 3562-WS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)

   2.92%   I/F I/O    08/15/2039      10,781

178,722

    

Federal Home Loan Mortgage Corporation, Series 3582-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.97%   I/F I/O    10/15/2049      26,409

57,760,990

    

Federal Home Loan Mortgage Corporation, Series 358-300

   3.00%      10/15/2047      59,338,964

236,665

    

Federal Home Loan Mortgage Corporation, Series 3616-SG (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)

   4.32%   I/F I/O    03/15/2032      37,942

959,745

    

Federal Home Loan Mortgage Corporation, Series 3626-AZ

   5.50%      08/15/2036      1,059,799

335,029

    

Federal Home Loan Mortgage Corporation, Series 3666-SC (-1 x 1 Month LIBOR USD + 5.77%, 5.77% Cap)

   3.74%   I/F I/O    05/15/2040      60,126

245,100

    

Federal Home Loan Mortgage Corporation, Series 3666-VZ

   5.50%      08/15/2036      272,162

2,496,618

    

Federal Home Loan Mortgage Corporation, Series 3779-DZ

   4.50%      12/15/2040      2,781,892

1,400,000

    

Federal Home Loan Mortgage Corporation, Series 3779-YA

   3.50%      12/15/2030      1,474,780

473,984

    

Federal Home Loan Mortgage Corporation, Series 3786-SG (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)

   5.45%   I/F    01/15/2041      555,503

4,906,417

    

Federal Home Loan Mortgage Corporation, Series 3792-SE (-2 x 1 Month LIBOR USD + 9.86%, 9.86% Cap)

   5.81%   I/F    01/15/2041      5,928,268

2,589,733

    

Federal Home Loan Mortgage Corporation, Series 3795-VZ

   4.00%      01/15/2041      2,765,060

52,467

    

Federal Home Loan Mortgage Corporation, Series 3798-SD (-2 x 1 Month LIBOR USD + 9.60%, 9.60% Cap)

   5.55%   I/F    12/15/2040      56,996

977,959

    

Federal Home Loan Mortgage Corporation, Series 3806-CZ

   5.50%      07/15/2034      1,096,838

1,040,732

    

Federal Home Loan Mortgage Corporation, Series 3808-DB

   3.50%      02/15/2031      1,079,068

2,078,545

    

Federal Home Loan Mortgage Corporation, Series 3818-CZ

   4.50%      03/15/2041      2,305,075


1,082,486

    

Federal Home Loan Mortgage Corporation, Series 3819-ZU

   5.50%      07/15/2034      1,200,675

3,356,578

    

Federal Home Loan Mortgage Corporation, Series 3824-EY

   3.50%      03/15/2031      3,549,610

251,282

    

Federal Home Loan Mortgage Corporation, Series 3828-SW (-3 x 1 Month LIBOR USD + 13.20%, 13.20% Cap)

   7.12%   I/F    02/15/2041      373,077

1,616,319

    

Federal Home Loan Mortgage Corporation, Series 3863-ZA

   5.50%      08/15/2034      1,783,222

10,296,413

    

Federal Home Loan Mortgage Corporation, Series 3889-VZ

   4.00%      07/15/2041      10,768,879

3,253,403

    

Federal Home Loan Mortgage Corporation, Series 3910-GZ

   5.00%   >    08/15/2041      3,725,008

23,337,601

    

Federal Home Loan Mortgage Corporation, Series 3967-ZP

   4.00%   >    09/15/2041      26,348,474

4,231,350

    

Federal Home Loan Mortgage Corporation, Series 3972-AZ

   3.50%      12/15/2041      4,365,867

26,715,663

    

Federal Home Loan Mortgage Corporation, Series 4057-ZA

   4.00%   >    06/15/2042      29,641,546

9,569,883

    

Federal Home Loan Mortgage Corporation, Series 4096-DZ

   3.50%   >    08/15/2042      10,512,690

29,800,698

    

Federal Home Loan Mortgage Corporation, Series 4165-ZT

   3.00%   >    02/15/2043      30,366,580

5,183,535

    

Federal Home Loan Mortgage Corporation, Series 4291-MS (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap)

   3.87%   I/F I/O    01/15/2054      801,681

19,323,676

    

Federal Home Loan Mortgage Corporation, Series 4341-AZ

   3.00%   >    05/15/2044      19,890,699

10,997,894

    

Federal Home Loan Mortgage Corporation, Series 4377-A

   3.00%      06/15/2039      11,154,578

8,742,801

    

Federal Home Loan Mortgage Corporation, Series 4391-MA

   3.00%      07/15/2040      8,907,810

14,208,311

    

Federal Home Loan Mortgage Corporation, Series 4413-AZ

   3.50%   >    11/15/2044      15,009,455

11,805,826

    

Federal Home Loan Mortgage Corporation, Series 4423-Z

   3.50%   >    12/15/2044      12,440,813

12,460,435

    

Federal Home Loan Mortgage Corporation, Series 4427-MA

   3.00%      02/15/2034      12,792,790

20,135,723

    

Federal Home Loan Mortgage Corporation, Series 4471-BA

   3.00%      12/15/2041      20,654,029

29,584,952

    

Federal Home Loan Mortgage Corporation, Series 4471-GA

   3.00%      02/15/2044      30,482,932

17,839,942

    

Federal Home Loan Mortgage Corporation, Series 4481-B

   3.00%      12/15/2042      18,275,422

9,287,558

    

Federal Home Loan Mortgage Corporation, Series 4511-QA

   3.00%      01/15/2041      9,414,521

48,494,540

    

Federal Home Loan Mortgage Corporation, Series 4542-AC

   2.70%      01/15/2045      49,190,776

85,741,053

    

Federal Home Loan Mortgage Corporation, Series 4750-PA

   3.00%      07/15/2046      87,106,419

64,442,534

    

Federal Home Loan Mortgage Corporation, Series 4752-PL

   3.00%      09/15/2046      66,644,522

4,781,000

    

Federal Home Loan Mortgage Corporation, Series K050-A2

   3.33%   #    08/25/2025      5,116,886

6,528,000

    

Federal Home Loan Mortgage Corporation, Series K053-A2

   3.00%      12/25/2025      6,889,547

385,384

    

Federal Home Loan Mortgage Corporation, Series R003-ZA

   5.50%      10/15/2035      434,987

117,321

    

Federal National Mortgage Association Pass-Thru, Pool 555743

   5.00%      09/01/2033      129,583

100,518

    

Federal National Mortgage Association Pass-Thru, Pool 735382

   5.00%      04/01/2035      111,045

817,772

    

Federal National Mortgage Association Pass-Thru, Pool 735383

   5.00%      04/01/2035      903,404

413,246

    

Federal National Mortgage Association Pass-Thru, Pool 735402

   5.00%      04/01/2035      456,516

592,930

    

Federal National Mortgage Association Pass-Thru, Pool 735484

   5.00%      05/01/2035      654,922

120,217

    

Federal National Mortgage Association Pass-Thru, Pool 931104

   5.00%      05/01/2039      132,477

692,871

    

Federal National Mortgage Association Pass-Thru, Pool 995203

   5.00%      07/01/2035      765,354

679,633

    

Federal National Mortgage Association Pass-Thru, Pool AB2123

   4.00%      01/01/2031      720,267

40,524

    

Federal National Mortgage Association Pass-Thru, Pool AB2370

   4.50%      09/01/2035      42,107

23,126

    

Federal National Mortgage Association Pass-Thru, Pool AD2177

   4.50%      06/01/2030      24,789

996,269

    

Federal National Mortgage Association Pass-Thru, Pool AH7309

   4.00%      02/01/2031      1,055,739

25,477,600

    

Federal National Mortgage Association Pass-Thru, Pool AS4645

   3.00%      03/01/2045      26,109,823

11,188,048

    

Federal National Mortgage Association Pass-Thru, Pool BC0785

   3.50%      04/01/2046      11,772,195

496,787

    

Federal National Mortgage Association Pass-Thru, Pool MA0264

   4.50%      12/01/2029      529,605

344,421

    

Federal National Mortgage Association Pass-Thru, Pool MA0353

   4.50%      03/01/2030      369,463

14,488

    

Federal National Mortgage Association Pass-Thru, Pool MA0468

   5.00%      07/01/2040      15,227

11,625,003

    

Federal National Mortgage Association Pass-Thru, Pool MA2151

   3.50%      01/01/2045      11,856,325

8,791,302

    

Federal National Mortgage Association Pass-Thru, Pool MA2248

   3.00%      04/01/2045      8,875,892

4,800,000

    

Federal National Mortgage Association, Pool JM2322

   2.32%      10/25/2031      4,809,600

28,707,000

    

Federal National Mortgage Association, Pool JM2334

   2.14%      10/25/2029      28,569,206

25,972,000

    

Federal National Mortgage Association, Pool JM2336

   2.14%      10/25/2029      25,847,334

15,800,000

    

Federal National Mortgage Association, Pool JM2337

   2.14%      10/25/2029      15,724,160

39,950,000

    

Federal National Mortgage Association, Pool JM2338

   2.14%      10/25/2029      39,758,240

33,150,000

    

Federal National Mortgage Association, Pool JM2342

   2.28%      11/25/2029      33,395,310

12,425,000

    

Federal National Mortgage Association, Pool MS3272

   2.46%      10/25/2031      12,502,656

14,064,560

    

Federal National Mortgage Association, Pool AL9238

   3.00%      10/01/2041      14,499,019

2,809,515

    

Federal National Mortgage Association, Pool AL9445

   3.00%      07/01/2031      2,900,314

42,514,515

    

Federal National Mortgage Association, Pool AS7661

   3.00%      08/01/2046      42,923,194

8,431,440

    

Federal National Mortgage Association, Pool AS7724

   2.50%      08/01/2046      8,427,774

21,036,880

    

Federal National Mortgage Association, Pool BC9081

   3.00%      12/01/2046      21,608,237

20,330,240

    

Federal National Mortgage Association, Pool BD8013

   2.50%      09/01/2046      20,321,401

6,800,435

    

Federal National Mortgage Association, Pool BM4094

   3.00%      03/01/2043      7,010,797

32,010,333

    

Federal National Mortgage Association, Pool BM6089

   3.50%      12/01/2044      33,559,508

15,651,740

    

Federal National Mortgage Association, Pool BN7712

   2.50%      08/01/2034      15,854,679

34,038,401

    

Federal National Mortgage Association, Pool FM1000

   3.00%      04/01/2047      34,842,862

13,071,440

    

Federal National Mortgage Association, Pool MA2621

   3.50%      05/01/2046      13,331,546

24,615,549

    

Federal National Mortgage Association, Pool MA2649

   3.00%      06/01/2046      24,851,713

9,336,071

    

Federal National Mortgage Association, Pool MA2711

   3.00%      08/01/2046      9,425,511

34,183,080

    

Federal National Mortgage Association, Pool MA2806

   3.00%      11/01/2046      35,030,463

17,230,133

    

Federal National Mortgage Association, Pool MA3681

   3.00%      06/01/2034      17,626,853

3,043,000

    

Federal National Mortgage Association, Pool CF7598

   2.31%      10/01/2029      3,044,902

238,313

    

Federal National Mortgage Association, Series 2003-W17-1A7

   5.75%      08/25/2033      260,686

1,969,212

    

Federal National Mortgage Association, Series 2005-20-QH

   5.00%      03/25/2035      2,180,599

341,569

    

Federal National Mortgage Association, Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap)

   4.56%   I/F I/O    10/25/2036      67,700

147,199

    

Federal National Mortgage Association, Series 2006-56-SM (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)

   4.73%   I/F I/O    07/25/2036      24,191

106,434

    

Federal National Mortgage Association, Series 2007-116-BI (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.23%   I/F I/O    05/25/2037      15,360

1,379,359

    

Federal National Mortgage Association, Series 2007-30-FS (-5 x 1 Month LIBOR USD + 29.83%, 29.83% Cap)

   20.48%   I/F    04/25/2037      2,103,286

536,340

    

Federal National Mortgage Association, Series 2007-30-OI (-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap)

   4.42%   I/F I/O    04/25/2037      106,065

96,225

    

Federal National Mortgage Association, Series 2008-29-ZA

   4.50%      04/25/2038      103,460

43,012

    

Federal National Mortgage Association, Series 2008-62-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    07/25/2038      5,852

522,961

    

Federal National Mortgage Association, Series 2009-111-EZ

   5.00%      01/25/2040      576,603

14,674

    

Federal National Mortgage Association, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)

   4.23%   I/F I/O    01/25/2040      1,886

63,170

    

Federal National Mortgage Association, Series 2009-16-MZ

   5.00%      03/25/2029      67,749

65,345

    

Federal National Mortgage Association, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)

   3.93%   I/F I/O    07/25/2039      6,601

209,345

    

Federal National Mortgage Association, Series 2009-62-PS (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

   4.08%   I/F I/O    08/25/2039      19,299

1,020,085

    

Federal National Mortgage Association, Series 2009-77-ZA

   4.50%      10/25/2039      1,095,182

259,338

    

Federal National Mortgage Association, Series 2009-83-Z

   4.50%      10/25/2039      270,102

107,095

    

Federal National Mortgage Association, Series 2010-101-ZH

   4.50%      07/25/2040      115,719

402,962

    

Federal National Mortgage Association, Series 2010-112-ZA

   4.00%      10/25/2040      412,533

239,051

    

Federal National Mortgage Association, Series 2010-121-SD (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap)

   2.48%   I/F I/O    10/25/2040      22,813

29,336

    

Federal National Mortgage Association, Series 2010-137-VS (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap)

   8.70%   I/F    12/25/2040      41,438

45,108

    

Federal National Mortgage Association, Series 2010-31-SA (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    04/25/2040      2,924

77,901

    

Federal National Mortgage Association, Series 2010-34-PS (-1 x 1 Month LIBOR USD + 4.93%, 4.93% Cap)

   2.91%   I/F I/O    04/25/2040      8,095

189,306

    

Federal National Mortgage Association, Series 2010-35-SP (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)

   4.33%   I/F I/O    04/25/2050      26,919

31,207

    

Federal National Mortgage Association, Series 2010-35-SV (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.43%   I/F I/O    04/25/2040      2,700

1,886,163

    

Federal National Mortgage Association, Series 2010-37-MY

   4.50%      04/25/2040      2,044,012

68,498

    

Federal National Mortgage Association, Series 2010-59-PS (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.43%   I/F I/O    03/25/2039      1,951

222,050

    

Federal National Mortgage Association, Series 2010-59-SC (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

   2.98%   I/F I/O    01/25/2040      30,928

727,120

    

Federal National Mortgage Association, Series 2010-60-VZ

   5.00%      10/25/2039      796,788

198,269

    

Federal National Mortgage Association, Series 2010-64-EZ

   5.00%      06/25/2040      220,977

426,437

    

Federal National Mortgage Association, Series 2010-7-PE

   5.00%      02/25/2040      470,618

105,292

    

Federal National Mortgage Association, Series 2010-90-GS (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

   3.98%   I/F I/O    08/25/2040      12,177

57,791

    

Federal National Mortgage Association, Series 2010-99-SG (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap)

   14.50%   I/F    09/25/2040      97,363

5,542,760

    

Federal National Mortgage Association, Series 2011-141-PZ

   4.00%      01/25/2042      5,931,824

13,484,106

    

Federal National Mortgage Association, Series 2011-18-UZ

   4.00%      03/25/2041      14,278,500

1,110,109

    

Federal National Mortgage Association, Series 2011-25-KY

   3.00%      04/25/2026      1,134,626

943,233

    

Federal National Mortgage Association, Series 2011-29-AL

   3.50%      04/25/2031      974,682


1,004,230

    

Federal National Mortgage Association, Series 2011-59-MA

   4.50%      07/25/2041      1,085,041

25,996,431

    

Federal National Mortgage Association, Series 2013-45-LZ

   3.00%   >    05/25/2043      26,640,799

33,381,066

    

Federal National Mortgage Association, Series 2013-6-ZB

   3.00%   >    02/25/2043      34,441,579

7,853,190

    

Federal National Mortgage Association, Series 2014-55-MA

   3.00%      10/25/2039      7,963,330

26,746,733

    

Federal National Mortgage Association, Series 2014-70-VZ

   3.00%   >    11/25/2044      27,173,429

8,953,121

    

Federal National Mortgage Association, Series 2014-73-CZ

   3.00%   >    11/25/2044      9,124,038

19,553,838

    

Federal National Mortgage Association, Series 2015-9-HA

   3.00%      01/25/2045      20,089,817

6,348,000

    

Federal National Mortgage Association, Series 2016-M3-A2

   2.70%      02/25/2026      6,555,484

3,196,352

    

Federal National Mortgage Association, Series 2017-86-MA

   3.00%      04/25/2046      3,281,762

55,604,561

    

Federal National Mortgage Association, Series 2018-21-IO

   3.00%   I/O    04/25/2048      6,751,678

87,484,466

    

Federal National Mortgage Association, Series 2018-21-PO

   0.00%   P/O    04/25/2048      80,259,754

57,208,065

    

Federal National Mortgage Association, Series 2018-27-JA

   3.00%      12/25/2047      57,974,550

158,406,564

    

Federal National Mortgage Association, Series 2018-35-PO

   0.00%   P/O    05/25/2048      139,786,712

54,363,162

    

Federal National Mortgage Association, Series 2018-36-A

   3.00%      06/25/2048      55,834,332

33,579,519

    

Federal National Mortgage Association, Series 2018-39-AB

   3.00%      06/25/2048      34,472,704

277,617

    

Federal National Mortgage Association, Series 400-S4 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)

   3.43%   I/F I/O    11/25/2039      49,144

170,051

    

Government National Mortgage Association, Pool 752494, Pool 752494

   5.50%      09/20/2039      182,463

208,966

    

Government National Mortgage Association, Series 2003-67-SP (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)

   5.06%   I/F I/O    08/20/2033      34,178

112,717

    

Government National Mortgage Association, Series 2008-82-SM (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.01%   I/F I/O    09/20/2038      14,622

1,609,696

    

Government National Mortgage Association, Series 2009-32-ZE

   4.50%      05/16/2039      1,755,001

1,833,369

    

Government National Mortgage Association, Series 2009-35-DZ

   4.50%      05/20/2039      2,005,049

1,897,029

    

Government National Mortgage Association, Series 2009-75-GZ

   4.50%      09/20/2039      2,052,868

2,266,375

    

Government National Mortgage Association, Series 2009-75-HZ

   5.00%      09/20/2039      2,473,803

5,888,837

    

Government National Mortgage Association, Series 2010-113-SM (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.01%   I/F I/O    09/20/2040      1,102,178

136,409

    

Government National Mortgage Association, Series 2010-25-ZB

   4.50%   >    02/16/2040      151,132

4,037,510

    

Government National Mortgage Association, Series 2011-45-GZ

   4.50%      03/20/2041      4,339,056

10,063,963

    

Government National Mortgage Association, Series 2011-71-ZA

   4.50%      02/20/2041      10,896,680

10,732,524

    

Government National Mortgage Association, Series 2013-117-MS (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

   4.11%   I/F I/O    02/20/2043      1,319,121

5,383,704

    

Government National Mortgage Association, Series 2013-122-SB (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

   4.07%   I/F I/O    08/16/2043      945,606

24,577,637

    

Government National Mortgage Association, Series 2013-169-SE (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

   4.02%   I/F I/O    11/16/2043      4,513,533

8,371,724

    

Government National Mortgage Association, Series 2014-102-TS (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

   3.56%   I/F I/O    07/20/2044      1,472,261

6,599,998

    

Government National Mortgage Association, Series 2014-118-PS (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)

   4.16%   I/F I/O    08/20/2044      1,114,379

5,774,998

    

Government National Mortgage Association, Series 2014-118-SA (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)

   4.16%   I/F I/O    08/20/2044      975,081

8,891,446

    

Seasoned Credit Risk Transfer Trust, Series 2018-2-HV

   3.00%   #    11/25/2057      9,215,981
                 

 

Total US Government and Agency Mortgage Backed Obligations (Cost $1,961,783,336)

          2,046,161,494
         

 

US Government and Agency Obligations - 19.3%

         

59,747,268

    

United States Treasury Inflation Indexed Bonds

   0.88%      01/15/2029      63,546,143

117,162,206

    

United States Treasury Inflation Indexed Bonds

   1.00%      02/15/2046      130,868,984

73,300,000

    

United States Treasury Notes

   2.75%      08/15/2021      74,745,957

169,900,000

    

United States Treasury Notes

   2.88%      10/15/2021      174,074,496

197,750,000

    

United States Treasury Notes

   1.75%      11/30/2021      198,225,063

65,400,000

    

United States Treasury Notes

   2.50%      01/15/2022      66,676,066

143,550,000

    

United States Treasury Notes

   2.63%      02/28/2023      148,540,605

118,400,000

    

United States Treasury Notes

   2.50%      03/31/2023      122,155,500

116,100,000

    

United States Treasury Notes

   2.75%      04/30/2023      120,834,703

95,700,000

    

United States Treasury Notes

   1.63%      05/31/2023      95,913,082

49,500,000

    

United States Treasury Notes

   1.88%      08/31/2024      50,243,467

122,300,000

    

United States Treasury Notes

   2.13%      09/30/2024      125,560,537

139,250,000

    

United States Treasury Notes

   2.25%      10/31/2024      143,859,937

63,900,000

    

United States Treasury Notes

   2.75%      02/28/2025      67,766,449

86,150,000

    

United States Treasury Notes

   3.00%      09/30/2025      92,999,935

22,450,000

    

United States Treasury Notes

   2.63%      01/31/2026      23,814,539

96,700,000

    

United States Treasury Notes

   2.38%      05/15/2027      101,910,846

142,100,000

    

United States Treasury Notes

   2.25%      08/15/2027      148,588,863

122,000,000

    

United States Treasury Notes

   2.25%      11/15/2027      127,652,031

13,550,000

    

United States Treasury Notes

   2.75%      11/15/2042      15,220,196

77,750,000

    

United States Treasury Notes

   3.13%      02/15/2043      92,817,099

62,250,000

    

United States Treasury Notes

   3.63%      08/15/2043      80,359,643

61,200,000

    

United States Treasury Notes

   3.75%      11/15/2043      80,576,015

83,200,000

    

United States Treasury Notes

   2.75%      11/15/2047      94,331,250
                 

 

Total US Government and Agency Obligations (Cost $2,316,038,382)

          2,441,281,406
         

 

Affiliated Mutual Funds - 11.1%

         

84,724,040

    

DoubleLine Global Bond Fund (Class I)

             874,352,093

45,674,545

    

DoubleLine Infrastructure Income Fund (Class I)

             476,385,502

5,000,000

    

DoubleLine Long Duration Total Return Bond Fund (Class I)

             54,700,000
                 

 

Total Affiliated Mutual Funds (Cost $1,378,400,000)

          1,405,437,595
         

 

Exchange Traded Funds and Common Stocks - 0.0%

         

135,690

    

Frontera Energy Corporation

             1,310,765
                 

 

Total Exchange Traded Funds and Common Stocks (Cost $11,867,203)

          1,310,765
         

 

Warrants - 0.0%

         

995,158

    

OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ

             -
                 

 

Total Warrants (Cost $–)

          -
         

 

Short Term Investments - 4.6%

         

134,370,719

    

First American Government Obligations Fund - Class U

   1.88%           134,370,719

134,370,719

    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

   1.83%           134,370,719

134,370,719

    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

   1.83%           134,370,719

6,650,000

    

United States Treasury Bills

   0.00%      11/07/2019      6,638,290

169,000,000

    

United States Treasury Bills

   0.00%      09/10/2020      166,234,561
                 

 

Total Short Term Investments (Cost $575,905,061)

          575,985,008
         

 

Total Investments - 101.7% (Cost $12,482,581,439)

          12,855,488,558

Liabilities in Excess of Other Assets - (1.7)%

          (216,050,542)
         

 

NET ASSETS - 100.0%

            $ 12,639,438,016
         

 

 

^    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.   
#    Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.   
±    Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of September 30, 2019.   
Þ    Value determined using significant unobservable inputs.   
   Perpetual Maturity   
W    Security is in default or has failed to make a scheduled payment. Income is not being accrued.   
I/O    Interest only security   
ß    The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of September 30, 2019.   
§    The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.   
&    Unfunded or partially unfunded loan commitment. At September 30, 2019, the value of these securities amounted to $760,302 or 0.0% of net assets.   
I/F    Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.   
>    This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.   
P/O    Principal only security   
   Seven-day yield as of September 30, 2019   
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.   
BRL    Brazilian Real   
~    Represents less than 0.05% of net assets   


SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

US Government and Agency Obligations

   19.3%   

US Government and Agency Mortgage Backed Obligations

   16.2%   

Foreign Corporate Bonds

   12.8%   

US Corporate Bonds

   12.7%   

Affiliated Mutual Funds

   11.1%   

Non-Agency Residential Collateralized Mortgage Obligations

   9.0%   

Non-Agency Commercial Mortgage Backed Obligations

   7.3%   

Short Term Investments

   4.6%   

Collateralized Loan Obligations

   2.8%   

Bank Loans

   2.5%   

Asset Backed Obligations

   2.3%   

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

   1.0%   

Municipal Bonds

   0.1%   

Exchange Traded Funds and Common Stocks

   0.0%    ~    

Warrants

   0.0%    ~    

Other Assets and Liabilities

   (1.7)%   
  

 

  
                   100.0%   
  

 

  


INVESTMENT BREAKDOWN as a % of Net Assets:

 

US Government and Agency Obligations

   19.3%   

US Government and Agency Mortgage Backed Obligations

   16.2%   

Affiliated Mutual Funds

   11.1%   

Non-Agency Residential Collateralized Mortgage Obligations

   9.0%   

Non-Agency Commercial Mortgage Backed Obligations

   7.3%   

Banking

   5.3%   

Short Term Investments

   4.6%   

Energy

   2.9%   

Collateralized Loan Obligations

   2.8%   

Utilities

   2.4%   

Asset Backed Obligations

   2.3%   

Telecommunications

   2.1%   

Finance

   1.3%   

Healthcare

   1.2%   

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

   1.1%   

Media

   1.0%   

Transportation

   0.9%   

Insurance

   0.8%   

Consumer Products

   0.7%   

Real Estate

   0.7%   

Technology

   0.7%   

Chemicals/Plastics

   0.7%   

Mining

   0.6%   

Pharmaceuticals

   0.6%   

Food Products

   0.5%   

Automotive

   0.5%   

Aerospace & Defense

   0.4%   

Beverage and Tobacco

   0.4%   

Hotels/Motels/Inns and Casinos

   0.4%   

Retailers (other than Food/Drug)

   0.4%   

Electronics/Electric

   0.4%   

Pulp & Paper

   0.3%   

Leisure

   0.3%   

Construction

   0.3%   

Building and Development (including Steel/Metals)

   0.3%   

Food Service

   0.2%   

Business Equipment and Services

   0.2%   

Containers and Glass Products

   0.2%   

Environmental Control

   0.2%   

Commercial Services

   0.2%   

Diversified Manufacturing

   0.2%   

Food/Drug Retailers

   0.2%   

Municipal Bonds

   0.1%   

Conglomerates

   0.1%   

Financial Intermediaries

   0.1%   

Industrial Equipment

   0.1%   

Chemical Products

   0.1%   

Cosmetics/Toiletries

   0.0%    ~    

Other Assets and Liabilities

   (1.7)%   
  

 

  
                   100.0%   
  

 

  


A summary of the DoubleLine Core Fixed Income Fund’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

                                 

Change in

Unrealized

for the

   

Dividend Income

Earned in the

   

Net Realized

Gain (Loss) in the

 
    Value at                 Shares Held at     Value at     Period Ended     Period Ended     Period Ended  
Fund  

March 31,

2019

   

Gross

Purchases

   

Gross

Sales

   

September 30,

2019

   

September 30,

2019

   

September 30,

2019

   

September 30,

2019

   

September 30,

2019

 

DoubleLine Global Bond Fund (Class I)

  $ 779,217,300     $ 93,000,000     $ -       84,724,040     $ 874,352,093     $ 2,134,793     $ 7,772,574     $ -  

DoubleLine Infrastructure Income Fund (Class I)

    461,769,648       -       -       45,674,545       476,385,502       14,615,854       6,679,524       -  

DoubleLine Long Duration Total Return Bond Fund (Class I)

    49,400,000       -       -       5,000,000       54,700,000       5,300,000       696,399       -  
  $ 1,290,386,948     $ 93,000,000     $ -       135,398,585     $ 1,405,437,595     $ 22,050,647     $ 15,148,497     $ -  


 

DoubleLine Shiller Enhanced CAPE®

Schedule of Investments

September 30, 2019 (Unaudited)

 

 

Principal Amount

$/Shares

      

Security Description

  

Rate

      

Maturity

      

Value $

Asset Backed Obligations - 6.6%

         

4,441,340

    

AASET Ltd., Series 2018-1A-A

   3.84%   ^    01/16/2038      4,476,684

3,204,190

    

Avant Loans Funding Trust, Series 2018-B-A

   3.42%   ^    01/18/2022      3,214,196

5,137,968

    

Avant Loans Funding Trust, Series 2019-A-A

   3.48%   ^    07/15/2022      5,157,581

16,000,000

    

Avant Loans Funding Trust, Series 2019-B-A

   2.72%   ^    10/15/2026      16,017,202

6,873,643

    

Castlelake Aircraft Securitization Trust, Series 2018-1-A

   4.13%   ^    06/15/2043      7,064,345

4,813,523

    

Castlelake Aircraft Securitization Trust, Series 2019-1A-A

   3.97%   ^    04/15/2039      4,932,711

5,781,441

    

CLI Funding LLC, Series 2019-1A-A

   3.71%   ^    05/18/2044      5,900,569

2,250,000

    

College Ave Student Loans LLC, Series 2017-A-B

   4.50%   ^    11/26/2046      2,326,344

4,397,245

    

CPS Auto Receivables Trust, Series 2019-B-A

   2.89%   ^    05/16/2022      4,410,119

2,084,578

    

DRB Prime Student Loan Trust, Series 2017-A-B

   3.10%   # ^    05/27/2042      2,099,199

3,806,203

    

DT Auto Owner Trust, Series 2019-2A-A

   2.85%   ^    09/15/2022      3,820,065

4,164,932

    

Earnest Student Loan Program, Series 2017-A-A2

   2.65%   ^    01/25/2041      4,179,551

90,616

    

Flagship Credit Auto Trust, Series 2016-3-B

   2.43%   ^    06/15/2021      90,618

8,120,000

    

Flagship Credit Auto Trust, Series 2016-4-C

   2.71%   ^    11/15/2022      8,155,868

6,850,000

    

Flagship Credit Auto Trust, Series 2017-1-C

   3.22%   ^    05/15/2023      6,904,016

6,650,000

    

Flagship Credit Auto Trust, Series 2017-4-B

   2.66%   ^    10/17/2022      6,673,687

8,366,602

    

Foundation Finance Trust, Series 2019-1A-A

   3.86%   ^    11/15/2034      8,500,342

6,362,303

    

FREED Trust, Series 2019-1-A

   3.42%   ^    06/18/2026      6,404,207

4,278,500

    

Global SC Finance Ltd., Series 2018-1A-A

   4.29%   ^    05/17/2038      4,439,831

9,080,747

    

GLS Auto Receivables Issuer Trust, Series 2019-2A-A

   3.06%   ^    04/17/2023      9,137,617

9,900,000

    

Hardee’s Funding LLC, Series 2018-1A-A2I

   4.25%   ^    06/20/2048      10,054,737

11,242,666

    

Helios Issuer LLC, Series 2017-1A-A

   4.94%   ^    09/20/2049      11,787,232

2,474,749

    

HERO Funding Trust, Series 2016-1A-A

   4.05%   ^    09/20/2041      2,586,805

4,659,331

    

Horizon Aircraft Finance Ltd., Series 2018-1-A

   4.46%   ^    12/15/2038      4,837,979

18,669,000

    

Jimmy Johns Funding LLC, Series 2017-1A-A2II

   4.85%   ^    07/30/2047      19,757,476

12,000,000

    

Kabbage Funding LLC, Series 2019-1-A

   3.83%   ^    03/15/2024      12,135,764

721,156

    

Laurel Road Prime Student Loan Trust, Series 2017-B-CFX

   3.61%   ^    08/25/2042      720,935

17,598,784

    

Lendingpoint Asset Securitization Trust, Series 2019-1-A

   3.15%   ^    08/15/2025      17,594,757

5,194,446

    

Marlette Funding Trust, Series 2018-4A-A

   3.71%   ^    12/15/2028      5,246,055

5,724,931

    

Marlette Funding Trust, Series 2019-2A-A

   3.13%   ^    07/16/2029      5,770,281

6,222,288

    

Marlette Funding Trust, Series 2019-3A-A

   2.69%   ^    09/17/2029      6,245,250

1,753,338

    

Mosaic Solar Loan Trust, Series 2017-1A-A

   4.45%   ^    06/20/2042      1,832,131

7,776,128

    

Mosaic Solar Loan Trust, Series 2018-2GS-A

   4.20%   ^    02/22/2044      8,063,306

4,500,000

    

Navient Private Education Loan Trust, Series 2018-A-B

   3.68%   ^    02/18/2042      4,712,040

4,395,355

    

Navient Private Education Refinance Loan Trust, Series 2019-CA-A1

   2.82%   ^    02/15/2068      4,440,420

15,000,000

    

OneMain Financial Issuance Trust, Series 2017-1A-A1

   2.37%   ^    09/14/2032      14,991,191

10,000,000

    

Pagaya AI Debt Selection Trust, Series 2019-2-A1

   3.93%   ^    09/15/2026      10,029,506

15,000,000

    

Pagaya AI Debt Selection Trust, Series 2019-3-A

   3.82%   ^    11/16/2026      15,049,875

20,000,000

    

SBA Tower Trust

   3.17%   ^    04/11/2022      20,211,572

1,968,004

    

SCF Equipment Leasing LLC, Series 2017-1A-A

   3.77%   ^    01/20/2023      1,989,598

2,176,589

    

Sierra Timeshare Receivables Funding LLC, Series 2016-3A-A

   2.43%   ^    10/20/2033      2,173,863

6,606,548

    

SLM Private Credit Student Loan Trust, Series 2006-A-A5 (3 Month LIBOR USD + 0.29%, 0.29% Floor)

   2.41%      06/15/2039      6,470,902

717,575

    

SoFi Consumer Loan Program LLC, Series 2016-1-A

   3.26%   ^    08/25/2025      725,092

477,805

    

SoFi Consumer Loan Program LLC, Series 2016-3-A

   3.05%   ^    12/26/2025      479,721

4,785,966

    

SoFi Consumer Loan Program LLC, Series 2017-6-A2

   2.82%   ^    11/25/2026      4,799,043

239,532

    

SoFi Consumer Loan Program Trust, Series 2016-2-A

   3.09%   ^    10/27/2025      240,450

2,093,458

    

SoFi Consumer Loan Program Trust, Series 2017-1-A

   3.28%   ^    01/26/2026      2,108,492

1,131,183

    

SoFi Consumer Loan Program Trust, Series 2017-2-A

   3.28%   ^    02/25/2026      1,140,184

554,454

    

SoFi Consumer Loan Program Trust, Series 2017-3-A

   2.77%   ^    05/25/2026      556,281

448,490

    

SoFi Consumer Loan Program Trust, Series 2017-5-A2

   2.78%   ^    09/25/2026      449,785

596,357

    

SoFi Consumer Loan Program Trust, Series 2018-1-A1

   2.55%   ^    02/25/2027      596,471

514,916

    

SoFi Consumer Loan Program Trust, Series 2018-2-A1

   2.93%   ^    04/26/2027      515,405

5,425,260

    

SoFi Consumer Loan Program Trust, Series 2019-1-A

   3.24%   ^    02/25/2028      5,477,522

11,902,311

    

SoFi Consumer Loan Program Trust, Series 2019-2-A

   3.01%   ^    04/25/2028      12,004,811

4,808,274

    

SoFi Professional Loan Program, Series 2017-A-A2B

   2.40%   ^    03/26/2040      4,826,326

3,679,641

    

Springleaf Funding Trust, Series 2016-AA-A

   2.90%   ^    11/15/2029      3,680,525

20,000,000

    

Springleaf Funding Trust, Series 2017-AA-A

   2.68%   ^    07/15/2030      20,053,656

761,051

    

Spruce Asset Backed Securities Trust, Series 2016-E1-A

   4.32%   ^    06/15/2028      778,584

3,811,239

    

STARR Ltd., Series 2018-1-A

   4.09%   ^    05/15/2043      3,901,542

2,651,786

    

START Ireland, Series 2019-1-A

   4.09%   ^    03/15/2044      2,709,740

18,228,434

    

TAL Advantage LLC, Series 2017-1A-A

   4.50%   ^    04/20/2042      18,801,528

13,232,143

    

Thunderbolt Aircraft Lease Ltd., Series 2018-A-A

   4.15%      09/15/2038      13,627,387

1,392,857

    

Thunderbolt Aircraft Lease Ltd., Series 2018-A-B

   5.07%      09/15/2038      1,424,568

6,998,865

    

Triton Container Finance LLC, Series 2017-1A-A

   3.52%   ^    06/20/2042      7,078,549

1,911,113

    

Upgrade Receivables Trust, Series 2018-1A-A

   3.76%   ^    11/15/2024      1,917,425

4,576,362

    

Upgrade Receivables Trust, Series 2019-1A-A

   3.48%   ^    03/15/2025      4,598,716

4,000,000

    

Upstart Securitization Trust, Series 2019-1-B

   4.19%   ^    04/20/2026      4,057,950

9,603,354

    

Upstart Securitization Trust, Series 2019-2-A

   2.90%   ^    09/20/2029      9,626,166

4,958,333

    

Vantage Data Centers Issuer LLC, Series 2018-2A-A2

   4.20%   ^    11/16/2043      5,127,165

7,993,333

    

Vantage Data Centers Issuer LLC, Series 2019-1A-A2

   3.19%   ^    07/15/2044      8,089,123

18,000,000

    

Wave LLC

   3.60%   ^    09/15/2044      17,999,210

6,613,384

    

Westlake Automobile Receivables Trust, Series 2017-1A-C

   2.70%   ^    10/17/2022      6,617,425

15,100,000

    

Westlake Automobile Receivables Trust, Series 2017-2A-C

   2.59%   ^    12/15/2022      15,111,884

5,000,000

    

Westlake Automobile Receivables Trust, Series 2019-2A-A2A

   2.57%   ^    02/15/2023      5,016,035

Total Asset Backed Obligations (Cost $478,053,712)

          484,743,188

Bank Loans - 4.1%

         

203,463

    

8th Avenue Food & Provisions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/01/2025      204,459

1,730,716

    

Acadia Healthcare Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      02/16/2023      1,735,450

761,175

    

Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.06%      10/13/2025      762,602

1,816,049

    

Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.35%      11/22/2023      1,810,946

530,000

    

Advanced Drainage Systems, Inc., Senior Secured First Lien Term Loan

   4.34%   ±    09/24/2026      533,093

815,900

    

Agiliti Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.06%      01/05/2026      815,900

1,194,255

    

Air Medical Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.31%      04/28/2022      1,120,862

2,003,742

    

Air Methods Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      04/22/2024      1,637,057

676,692

    

Albertson’s LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      11/17/2025      681,605

725,633

    

Albertson’s LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      08/17/2026      731,010

1,900,000

    

Aldevron LLC, Senior Secured First Lien Term Loan

   6.34%   ±    09/20/2026      1,909,500

695,575

    

Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.54%      08/01/2025      701,662

1,604,688

    

Aleris International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

   6.79%      02/27/2023      1,609,301

548,346

    

AlixPartners LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/04/2024      549,602

1,236,900

    

Alliant Holdings Intermediate LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      05/09/2025      1,229,942

122,973

    

Allied Universal Holdco LLC, Senior Secured First Lien Term Loan

   6.57%   ± &    07/12/2026      123,299

1,242,027

    

Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%)

   6.51%      07/10/2026      1,245,325

1,453,385

    

Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.70%      06/13/2024      1,417,123

1,949,339

    

Alterra Mountain Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      07/31/2024      1,958,481

1,460,000

    

American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      04/28/2023      1,460,460

560,000

    

American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.03%      12/15/2023      560,400

1,167,859

    

American Renal Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   7.04%      06/21/2024      1,139,760

1,280,009

    

American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK)

   9.98%      09/02/2024      1,131,528

1,730,042

    

Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.10%      09/19/2024      1,729,557

1,865,000

    

Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      03/11/2025      1,870,054

536,428

    

Arctic Glacier U.S.A., Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      03/20/2024      523,687

1,970,079

    

Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      07/12/2024      1,965,459

1,917,957

    

AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.54%      10/22/2024      1,912,865

411,397

    

Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)

   8.54%      08/04/2025      418,545

1,700,744

    

Asurion, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      11/03/2023      1,709,248


1,377,587

    

Athenahealth, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

   6.68%      02/11/2026      1,376,299

1,681,551

    

Auris Luxembourg III Sarl, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      02/27/2026      1,674,715

1,244,043

    

Avantor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      11/21/2024      1,255,320
    

Avaya, Inc., Senior Secured First Lien Term Loan

            

666,960

    

(1 Month LIBOR USD + 4.25%)

   6.28%      12/16/2024      635,489

391,706

    

(1 Month LIBOR USD + 4.25%)

   6.43%      12/16/2024      373,224

2,316,557

    

Axalta Coating Systems Dutch Holding B.B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%)

   3.85%      05/31/2024      2,320,530

675,000

    

Azalea TopCo, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      07/27/2026      674,156

415,758

    

Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)

   7.04%      09/25/2024      401,206

1,325,625

    

Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      11/27/2025      1,329,854

400,509

    

Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      06/02/2025      402,595

189,225

    

Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.30%      10/01/2022      190,343

2,478,788

    

Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.55%      07/01/2026      2,493,623

1,716,699

    

BJ’s Wholesale Club, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/02/2024      1,724,210

1,674,732

    

Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      06/16/2025      1,671,935

2,044,875

    

Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.66%      09/30/2024      2,056,193

717,329

    

Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)

   6.29%      10/02/2025      691,566

1,479,714

    

Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      05/21/2025      1,369,660
    

Bright Bidco B.V., Senior Secured First Lien Term Loan

            

692,195

    

(3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      06/28/2024      332,569

340,932

    

(3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      06/28/2024      163,802

2,348,970

    

Brookfield WEC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)

   5.54%      08/01/2025      2,359,400

2,698,951

    

Burger King Restaurant Brands, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)

   4.29%      02/16/2024      2,711,096

160,000

    

Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      08/12/2026      160,556

2,010,497

    

Calpine Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.86%      04/06/2026      2,018,167

1,766,641

    

Canyon Valor Companies, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      06/16/2023      1,766,641

1,495,211

    

Capri Acquisitions BidCo Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

   5.26%      11/01/2024      1,479,788

2,109,400

    

Catalent Pharma Solutions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      05/18/2026      2,118,629

1,143,653

    

CBS Radio Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.80%      11/18/2024      1,146,512

1,517,796

    

Cengage Learning, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      06/07/2023      1,441,489

729,288

    

CenturyLink, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      01/31/2025      725,441

2,148,009

    

CEOC LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      10/04/2024      2,149,351

1,653,536

    

Change Healthcare Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      03/01/2024      1,648,062

403,988

    

Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      05/16/2024      404,913

1,709,223

    

CHG Healthcare Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      06/07/2023      1,710,830

1,397,651

    

CHG PPC Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      03/31/2025      1,401,145

741,954

    

Cincinnati Bell, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      10/02/2024      741,230

850,000

    

Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      08/21/2026      853,566

898,619

    

ClubCorporationHoldings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      09/18/2024      803,891

725,755

    

CommScope, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      04/06/2026      724,460

1,092,765

    

Compass Power Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      12/20/2024      1,096,180

2,495,604

    

Concentra, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

   4.54%      06/01/2022      2,514,321

673,363

    

Covia Holdings Corporation, Senior Secured First Lien Term Loan (1 Week LIBOR USD + 3.75%, 1.00% Floor)

   6.04%      06/02/2025      552,693

906,605

    

CPI Holdco LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      03/21/2024      907,172

352,338

    

CPM Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      11/17/2025      348,374

1,181,758

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.28%      07/17/2025      1,182,916

462,675

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.28%      01/15/2026      463,138

1,157,100

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

   5.18%      04/15/2027      1,159,750

1,504,267

    

CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.29%      07/03/2020      1,406,489

1,516,932

    

Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.79%      11/29/2024      1,500,344

1,199,075

    

Cyxtera DC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      05/01/2024      1,087,304

675,000

    

DaVita, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      08/12/2026      679,603

744,070

    

Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      02/13/2025      733,095

2,791,236

    

Dell International LLC, Senior Secured First Lien Term Loan

   4.05%   ±    09/19/2025      2,807,691

966,201

    

Delta 2 SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      02/01/2024      956,297

1,123,762

    

DentalCorporationPerfect Smile ULC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.79%      06/06/2025      1,107,141

330,000

    

Diamond Sports Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      08/24/2026      332,373

628,613

    

Digicel International Finance Ltd., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.25%)

   5.34%      05/27/2024      547,026

1,105,000

    

DigiCert Holdings, Inc., Senior Secured First Lien Term Loan

   6.26%   ±    08/08/2026      1,102,928

357,692

    

Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      04/06/2026      359,815

192,308

    

Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      04/06/2026      193,449

504,661

    

Dynatrace LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   4.79%      08/22/2025      507,394

1,596,975

    

E.W. Scripps Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      05/01/2026      1,600,568

1,399,181

    

Edgewater Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      12/12/2025      1,385,197

1,146,596

    

EG America LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      02/06/2025      1,135,560

924,124

    

Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/10/2025      756,913

1,851,892

    

Equinox Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      03/08/2024      1,855,365

1,758,968

    

ESH Hospitality, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      09/18/2026      1,769,275

1,654,086

    

Excelitas Technologies Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      12/02/2024      1,657,196

661,835

    

Exgen Renewables IV LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.13%      11/29/2024      649,220

754,766

    

Explorer Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.85%      05/02/2023      754,412

1,608,188

    

Filtration Group Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      03/31/2025      1,614,500

1,427,158

    

Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/01/2025      1,436,378

785,000

    

Flex Acquisition Company, Inc., Senior Secured First Lien Term Loan

   5.35%   ±    06/29/2025      758,016

597,854

    

Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      08/01/2024      518,265

1,705,095

    

Flexera Software LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.55%      02/26/2025      1,710,782

2,202,827

    

Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)

   7.87%      03/28/2022      1,213,394

1,424,238

    

Forest City Enterprises, LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.04%      12/08/2025      1,436,479

924,205

    

Forterra Finance, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      10/25/2023      876,840

733,239

    

Frontdoor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.56%      08/18/2025      738,283

3,649,069

    

Garda World Security Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.63%      05/24/2024      3,657,042

728,767

    

Gates Global LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/01/2024      718,914

480,000

    

Gavilan Resources LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)

   8.04%      03/01/2024      216,802

1,854,302

    

Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/01/2023      1,846,570

2,222,296

    

Gentiva Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.81%      07/02/2025      2,237,574

1,063,716

    

Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.56%      02/19/2026      1,061,945

1,789,033

    

Go Daddy Operating Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      02/15/2024      1,794,185

1,870,600

    

GOBP Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.76%      10/22/2025      1,882,881

2,088,101

    

GoodRX, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   4.81%      10/10/2025      2,090,711

1,413,666

    

GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      02/12/2025      1,378,911

435,000

    

Granite Holdings Acquisition Company, Senior Secured First Lien Term Loan

   7.32%   ±    09/25/2026      424,669

2,777,918

    

Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.51%      01/02/2026      2,791,613

1,653,533

    

GTT Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      06/02/2025      1,338,063
    

Gulf Finance LLC, Senior Secured First Lien Term Loan

            

530,979

    

(3 Month LIBOR USD + 5.25%, 1.00% Floor)

   7.36%      08/25/2023      406,865

904,099

    

(3 Month LIBOR USD + 5.25%, 1.00% Floor)

   7.29%      08/25/2023      692,771

705,671

    

Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.54%      08/18/2023      686,766

543,820

    

Harsco Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)

   4.31%      12/06/2024      546,425

474,646

    

Hayward Industries, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      08/05/2024      459,814

1,885,000

    

HC Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%

   6.54%      08/06/2026      1,885,000

584,100

    

HD Supply, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/17/2023      586,901

678,300

    

Hexion, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      07/01/2026      678,300

2,840,886

    

Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan

   3.77%   ±    06/22/2026      2,860,957

1,719,450

    

Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor)

   5.29%      07/01/2024      1,721,384

512,560

    

Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor)

   9.04%      07/07/2025      515,925

462,950

    

IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.31%      06/29/2026      465,843

816,044

    

IHeartCommunications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.03%      05/01/2026      822,303

1,285,000

    

Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      08/05/2022      1,291,695

750,000

    

Inmarsat PLC, Senior Secured First Lien Term Loan

   6.59%   ±    09/23/2026      739,511

725,545

    

Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.80%      11/27/2023      728,607

567,492

    

ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.10%      11/21/2024      541,672

1,801,215

    

IQVIA, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%)

   4.10%      01/17/2025      1,812,473

2,012,288

    

IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.55%      02/05/2025      2,006,141


712,871

    

IRI Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

   6.62%      12/01/2025      687,700

2,409,155

    

Jaguar Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      08/18/2022      2,413,804

2,631,775

    

JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      05/01/2026      2,647,131
    

Jo-Ann Stores LLC, Senior Secured First Lien Term Loan

            

1,339,827

    

(3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.26%      10/20/2023      928,386

55,826

    

(3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.05%      10/20/2023      38,683

555,803

    

KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.31%      09/19/2026      559,104

1,126,918

    

KBR, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      04/25/2025      1,131,499

1,295,000

    

Kestrel Bidco, Inc., Senior Secured First Lien Term Loan

   5.27%   ±    10/08/2026      1,306,234

720,947

    

Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.06%      07/02/2025      723,650

797,868

    

Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      06/30/2022      709,105

1,514,806

    

Kronos Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.26%      05/15/2023      1,440,959

1,728,224

    

Kronos, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.25%      11/01/2023      1,733,331

1,424,093

    

Learfield Communications LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.30%      12/01/2023      1,430,857

740,000

    

Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      02/22/2024      742,312

1,722,750

    

Life Time Fitness, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.87%      06/10/2022      1,725,395

759,019

    

Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      03/24/2025      758,544

1,422,066

    

Lower Cadence Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      05/22/2026      1,389,629

1,479,499

    

Lucid Energy Group II Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      02/18/2025      1,404,599

848,588

    

Marriott Ownership Resorts, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      08/29/2025      854,248

131,227

    

Mavis Tire Express Services Corporation, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%   &    03/20/2025      128,767

1,031,688

    

Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      03/20/2025      1,012,343

838,526

    

McDermott International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.10%      05/12/2025      533,722

138,868

    

MED ParentCo LP, Senior Secured First Lien Term Loan

   6.28%   ± &    08/29/2026      138,070

556,132

    

MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)

   6.29%      08/31/2026      552,934

729,942

    

Messer Industries LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%)

   4.60%      03/02/2026      729,490

1,922,036

    

MGM Growth Properties Operating Partnership LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      03/21/2025      1,929,110

1,324,845

    

Milacron LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      09/28/2023      1,326,501

2,423,182

    

Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.04%      03/27/2026      2,359,573

48,590

    

Mission Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.28%      01/17/2024      48,711

39,048

    

Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan

   5.67%   ± &    05/14/2026      39,058

779,000

    

Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.66%      05/14/2026      779,210

764,957

    

Mitchell International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      11/29/2024      734,902

723,683

    

MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.53%      11/28/2025      674,834

1,774,205

    

MPH Acquisition Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.85%      06/07/2023      1,695,102

735,000

    

Nascar Holdings, Inc., Senior Secured First Lien Term Loan

   4.88%   ±    07/26/2026      740,799

258,667

    

NCR Corporation, Senior Secured First Lien Term Loan

   4.53%   ± &    08/28/2026      259,475

226,333

    

NCR Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      08/28/2026      227,041

1,166,188

    

NEP Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      10/20/2025      1,147,721

243,917

    

Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      01/17/2024      244,526

2,080,000

    

Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.81%      09/18/2026      2,091,856

908,726

    

Numericable U.S. LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.03%      08/14/2026      908,158

505,000

    

ON Semiconductor Corporation, Senior Secured First Lien Term Loan

   4.05%   ±    09/19/2026      507,843

352,338

    

Outcomes Group Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.62%      10/24/2025      348,814

378,794

    

Panther BF Aggregator 2 LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      04/30/2026      376,309

800,719

    

Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      09/27/2024      762,257

593,513

    

PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      05/29/2026      597,916

1,162,009

    

Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor)

   4.29%      10/15/2025      1,169,399

1,824,278

    

PetSmart, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   6.04%      03/11/2022      1,783,141

737,975

    

Pike Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      07/24/2026      741,614

742,529

    

Pisces Midco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      04/12/2025      728,607

704,466

    

Plantronics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      07/02/2025      704,026

756,786

    

Playa Resorts Holding B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/29/2024      737,866

1,689,178

    

PODS LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   5.05%      12/06/2024      1,688,477

915,869

    

PowerTeam Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.35%      03/06/2025      787,647

905,450

    

Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)

   6.85%      03/11/2026      885,643

750,000

    

Pregis Topco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.25%      07/31/2026      749,062

1,145,000

    

Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan

   5.34%   ±    09/23/2026      1,134,088

884,676

    

Pro Mach Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   4.81%      03/07/2025      863,391

1,428,145

    

Project Alpha Intermediate Holding, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.81%      04/26/2024      1,412,079

1,138,363

    

Radiate Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)

   5.04%      02/01/2024      1,135,711
    

Radiology Partners, Inc., Senior Secured First Lien Term Loan

            

816,401

    

(3 Month LIBOR USD + 4.75%)

   7.06%      07/09/2025      806,926

544,267

    

(3 Month LIBOR USD + 4.75%)

   7.39%      07/09/2025      537,951

1,118,578

    

RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.55%      11/14/2025      1,121,291

1,434,467

    

Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      05/30/2025      1,411,408

1,742,303

    

RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)

   6.80%      12/17/2021      926,696

1,138,292

    

Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/06/2023      1,141,685

1,159,880

    

RPI Finance Trust, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      03/27/2023      1,167,309

1,444,088

    

Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/31/2025      1,445,748
    

Scientific Games International, Inc., Senior Secured First Lien Term Loan

            

1,401,215

    

(2 Month LIBOR USD + 2.75%)

   4.90%      08/14/2024      1,391,414

328,680

    

(2 Month LIBOR USD + 2.75%)

   4.79%      08/14/2024      326,381

2,132,446

    

Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)

   6.54%      11/01/2024      1,888,995

1,673,392

    

Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/31/2025      1,648,157

1,110,000

    

Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

   4.58%      03/06/2025      1,113,469

1,392,600

    

Severin Acquisition LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

   5.46%      08/01/2025      1,372,874

560,000

    

Sinclair Television Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      09/30/2026      563,035

1,546,125

    

Six Flags Theme Parks, Inc., Senior Secured First Lien Term Loan

   4.05%   ±    04/17/2026      1,549,990

1,203,417

    

SMG US Midco 2, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      01/23/2025      1,197,779

1,696,468

    

SolarWinds Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/05/2024      1,700,446

740,425

    

Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.12%      06/26/2025      722,377

1,722,298

    

Solera LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      03/03/2023      1,716,141

1,654,288

    

Sophia LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.35%      09/30/2022      1,656,703

1,946,626

    

Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      06/27/2025      1,947,599

680,387

    

Southern Graphics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/30/2022      504,619

1,128,571

    

Speedcast International Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      05/15/2025      959,286

1,731,528

    

Sprint Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.54%      02/02/2024      1,721,788

1,618,460

    

SS&C Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      04/16/2025      1,626,973

867,415

    

Staples, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%)

   7.12%      04/16/2026      856,754

736,886

    

Starfruit US Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      10/01/2025      723,438

405,000

    

Sunshine Luxembourg VII SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%)

   6.35%      09/25/2026      407,406

1,545,974

    

Syncreon Global Finance Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.52%   W    10/28/2020      732,405
    

TAMKO Building Products LLC, Senior Secured First Lien Term Loan

            

564,400

    

(1 Month LIBOR USD + 3.25%)

   5.29%      05/29/2026      565,458

115,600

    

(1 Month LIBOR USD + 3.25%)

   5.37%      05/29/2026      115,817

702,350

    

Telesat Canada, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.61%      11/17/2023      705,072

1,932,161

    

Tempo Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      05/01/2024      1,941,425

1,102,423

    

The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.05%      02/06/2026      1,110,592

1,652,525

    

The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.31%      07/21/2025      1,657,095

595,346

    

Titan Acquisition Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      03/28/2025      573,089

1,744,744

    

TKC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.80%      02/01/2023      1,718,259

2,250,771

    

Transdigm, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      05/30/2025      2,244,762

1,168,200

    

Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      01/25/2024      1,172,096

599,648

    

Travelport Finance SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)

   7.10%      05/29/2026      544,609

200,000

    

Uber Technologies, Inc., Senior Secured First Lien Term Loan

   5.55%   ±    07/13/2023      198,959

1,638,974

    

Uber Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.03%      04/04/2025      1,632,491

2,320,339

    

UFC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      04/29/2026      2,329,203

862,838

    

UGI Energy Services LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      08/13/2026      870,387

835,000

    

Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      05/04/2026      840,937

732,600

    

United Rentals, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/31/2025      736,787

555,800

    

Universal Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      10/31/2025      558,118

696,438

    

US Anesthesia Partners, Inc., Senior Secured 1st Lien Term Loan

   5.04%   ±    06/24/2024      679,681


1,100,000

    

US Foods, Inc., Senior Secured First Lien Term Loan

   4.14%   ±    09/13/2026      1,105,274

1,320,058

    

USIC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      12/08/2023      1,311,808
    

Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan

            

34,994

    

(3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.76%      10/28/2024      32,545

839,860

    

(3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      10/28/2024      781,069

1,857,141

    

Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.54%      08/27/2025      1,866,817

1,469,557

    

Vertafore, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      07/02/2025      1,430,988

1,745,000

    

VICI Properties 1 LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.05%      12/20/2024      1,751,727

697,618

    

Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan

   5.35%   ±    07/01/2026      701,542

2,859,290

    

Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.53%      01/15/2026      2,864,508
    

Vistra Operations Company LLC, Senior Secured First Lien Term Loan

            

1,117,324

    

(1 Month LIBOR USD + 2.00%)

   4.02%      12/31/2025      1,121,904

1,675,985

    

(1 Month LIBOR USD + 2.00%)

   4.04%      12/31/2025      1,682,857

388,050

    

Vizient, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.54%      05/06/2026      390,621

1,080,000

    

Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      02/05/2026      1,086,750

731,776

    

Web.Com Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.78%      10/10/2025      721,111

630,000

    

Whatabrands LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

   5.52%      08/03/2026      633,626

1,690,736

    

Wink Holdco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      12/02/2024      1,667,497

1,672,317

    

WP CPP Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

   6.01%      04/30/2025      1,677,025

2,015,000

    

Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

   6.79%      09/25/2026      2,002,406
                 

 

Total Bank Loans (Cost $309,185,412)

          302,955,525
                 

 

Collateralized Loan Obligations - 11.9%

         

250,000

    

Adams Mill Ltd., Series 2014-1A-D1 (3 Month LIBOR USD + 3.50%)

   5.80%   ^    07/15/2026      250,061

12,000,000

    

AIMCO Ltd., Series 2019-10A-A (3 Month LIBOR USD + 1.32%, 1.32% Floor)

   3.62%   ^    07/22/2032      11,982,757

12,250,000

    

Allegro Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.10%, 1.10% Floor)

   3.40%   ^    06/13/2031      12,150,758

2,250,000

    

Anchorage Capital Ltd., Series 2014-3RA-A (3 Month LIBOR USD + 1.05%)

   3.31%   ^    01/28/2031      2,238,657

7,165,000

    

Anchorage Capital Ltd., Series 2015-6A-AR (3 Month LIBOR USD + 1.27%)

   3.57%   ^    07/15/2030      7,178,071

25,000,000

    

Anchorage Capital Ltd., Series 2016-9A-AR (3 Month LIBOR USD + 1.37%)

   3.67%   ^    07/15/2032      25,041,084

12,500,000

    

Assurant Ltd., Series 2018-2A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor)

   3.51%   ^    10/20/2031      12,470,291

17,500,000

    

Atlas Senior Loan Fund Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 0.83%)

   2.95%   ^    11/17/2027      17,498,663

2,850,000

    

Atlas Senior Loan Fund Ltd., Series 2018-10A-A (3 Month LIBOR USD + 1.09%)

   3.39%   ^    01/15/2031      2,834,325

6,500,000

    

Avery Point Ltd., Series 2015-6A-AR (3 Month LIBOR USD + 1.05%)

   3.34%   ^    08/05/2027      6,500,650

2,500,000

    

Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%)

   5.23%   ^    10/20/2030      2,415,851

7,005,000

    

Benefit Street Partners Ltd., Series 2013-IIIA-A1R (3 Month LIBOR USD + 1.25%)

   3.53%   ^    07/20/2029      7,014,388

10,000,000

    

Birch Grove Ltd., Series 19A-A (3 Month LIBOR USD + 1.49%)

   3.97%   ^    06/15/2031      9,994,466

10,000,000

    

Carbone Ltd., Series 2017-1A-A1 (3 Month LIBOR USD + 1.14%)

   3.42%   ^    01/20/2031      9,962,573

6,000,000

    

Carlyle Global Market Strategies Ltd., Series 2017-1A-A1A (3 Month LIBOR USD + 1.30%)

   3.58%   ^    04/20/2031      6,002,728

30,000,000

    

CarVal Ltd., Series 2019-2A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

   3.62%   ^    07/20/2032      29,997,619

8,350,000

    

Cathedral Lake Ltd., Series 2015-2A-A1R (3 Month LIBOR USD + 1.31%, 0.00% Floor)

   3.61%   ^    07/16/2029      8,346,214

8,350,000

    

Cathedral Lake Ltd., Series 2015-3A-AR (3 Month LIBOR USD + 1.32%, 1.32% Floor)

   3.62%   ^    07/16/2029      8,346,263

11,000,000

    

CBAM Ltd., Series 2019-10A-A1A (3 Month LIBOR USD + 1.42%, 1.42% Floor)

   3.99%   ^    04/20/2032      11,056,052

2,500,000

    

CBAM Ltd., Series 2019-10A-B (3 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.62%   ^    04/20/2032      2,503,438

586,798

    

Cent Ltd., Series 2013-19A-A1A (3 Month LIBOR USD + 1.33%)

   3.59%   ^    10/29/2025      587,151

22,000,000

    

CFIP Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 1.32%)

   3.62%   ^    07/13/2029      22,035,769

10,350,000

    

CFIP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.22%)

   3.52%   ^    01/18/2030      10,308,793

2,000,000

    

CFIP Ltd., Series 2017-1A-B (3 Month LIBOR USD + 1.65%, 0.00% Floor)

   3.95%   ^    01/18/2030      1,960,811

15,000,000

    

Crown Point Ltd., Series 2018-6A-A1 (3 Month LIBOR USD + 1.17%, 1.17% Floor)

   3.45%   ^    10/20/2028      15,022,600

25,000,000

    

CVP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.34%)

   3.62%   ^    07/20/2030      25,002,406

6,500,000

    

CVP Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.19%, 1.19% Floor)

   3.47%   ^    01/20/2031      6,489,770

5,000,000

    

Dryden XXVIII Senior Loan Fund, Series 2013-28A-A1LR (3 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.36%   ^    08/15/2030      5,005,006

20,000,000

    

Elevation Ltd., Series 2018-9A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor)

   3.42%   ^    07/15/2031      19,863,659

10,000,000

    

Elmwood Ltd., Series 2019-2A-A (3 Month LIBOR USD + 1.45%, 1.45% Floor)

   4.00%   ^    04/20/2031      10,000,639

9,000,000

    

Elmwood Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.10%, 2.10% Floor)

   4.65%   ^    04/20/2031      8,999,238

8,000,000

    

Galaxy Ltd., Series 2016-22A-A2R (3 Month LIBOR USD + 0.85%, 0.85% Floor)

   3.17%   ^    07/16/2028      7,963,134

8,500,000

    

Gilbert Park Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.19%)

   3.49%   ^    10/15/2030      8,499,461

10,000,000

    

Greywolf Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.18%, 1.18% Floor)

   3.46%   ^    10/20/2031      9,959,682

42,954

    

Halcyon Loan Advisors Funding Ltd., Series 2012-1X-A2 (3 Month LIBOR USD + 2.50%)

   4.66%      08/15/2023      42,994

500,000

    

Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C (3 Month LIBOR USD + 2.70%)

   4.95%   ^    08/01/2025      499,717

250,000

    

Halcyon Loan Advisors Funding Ltd., Series 2013-2A-D (3 Month LIBOR USD + 3.80%)

   6.05%   ^    08/01/2025      245,020

541,362

    

Halcyon Loan Advisors Funding Ltd., Series 2014-1A-A1R (3 Month LIBOR USD + 1.13%)

   3.43%   ^    04/18/2026      542,127

25,000,000

    

Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R (3 Month LIBOR USD + 0.90%)

   3.20%   ^    10/18/2027      24,999,474

6,500,000

    

Hayfin Kingsland Ltd., Series 2018-8A-B (3 Month LIBOR USD + 1.48%, 1.48% Floor)

   3.76%   ^    04/20/2031      6,315,045

1,639,374

    

Jamestown Ltd., Series 2014-4A-A1AR (3 Month LIBOR USD + 0.69%)

   2.99%   ^    07/15/2026      1,636,147

1,755,000

    

Jamestown Ltd., Series 2018-6RA-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.43%   ^    04/25/2030      1,744,521

9,500,000

    

Kingsland Ltd., Series 2018-8A-A (3 Month LIBOR USD + 1.12%, 1.12% Floor)

   3.40%   ^    04/20/2031      9,442,615

3,500,000

    

KVK Ltd., Series 2018-1A-A (3 Month LIBOR USD + 0.93%)

   3.07%   ^    05/20/2029      3,486,380

20,000,000

    

LCM LP, Series 17A-A2RR (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.45%   ^    10/15/2031      19,910,161

10,595,000

    

Madison Park Funding Ltd., Series 2013-11A-AR (3 Month LIBOR USD + 1.16%)

   3.42%   ^    07/23/2029      10,609,820

1,000,000

    

Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%)

   5.71%   ^    01/27/2026      1,002,848

25,000,000

    

Marathon Ltd., Series 2013-5A-A1R (3 Month LIBOR USD + 0.87%)

   3.02%   ^    11/21/2027      24,904,443

14,444,671

    

Marathon Ltd., Series 2014-7A-A1R (3 Month LIBOR USD + 1.32%)

   3.58%   ^    10/28/2025      14,451,533

8,625,000

    

Marathon Ltd., Series 2017-9A-A2 (3 Month LIBOR USD + 1.75%)

   4.05%   ^    04/15/2029      8,629,843

4,500,000

    

Marble Point Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.18%, 1.18% Floor)

   3.48%   ^    12/18/2030      4,491,000

25,000,000

    

Midocean Credit, Series 2017-7A-A1 (3 Month LIBOR USD + 1.32%)

   3.62%   ^    07/15/2029      25,050,156

2,000,000

    

Milos Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.25%)

   3.53%   ^    10/20/2030      1,994,346

2,000,000

    

MP Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 1.25%)

   3.53%   ^    10/20/2030      1,996,050

25,000,000

    

MP Ltd., Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%)

   3.56%   ^    07/25/2029      24,974,780

10,000,000

    

MP Ltd., Series 2015-2A-AR (3 Month LIBOR USD + 0.91%)

   3.17%   ^    10/28/2027      10,008,800

20,000,000

    

Nassau Ltd., Series 2018-IA-A (3 Month LIBOR USD + 1.15%)

   3.45%   ^    07/15/2031      19,902,015

3,500,000

    

Newark BSL Ltd., Series 2016-1A-A1 (3 Month LIBOR USD + 1.52%)

   3.78%   ^    12/21/2029      3,514,000

6,250,000

    

Newark BSL Ltd., Series 2016-1A-A2 (3 Month LIBOR USD + 2.20%)

   4.46%   ^    12/21/2029      6,260,463

9,000,000

    

Northwoods Capital Ltd., Series 2017-16A-A (3 Month LIBOR USD + 1.27%)

   3.43%   ^    11/15/2030      8,993,826

5,000,000

    

Ocean Trails V, Series 2014-5A-ARR (3 Month LIBOR USD + 1.28%, 1.28% Floor)

   3.58%   ^    10/13/2031      5,010,259

15,000,000

    

OFSI Fund Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.45%   ^    07/15/2031      14,909,831

15,000,000

    

Park Avenue Institutional Advisers Ltd., Series 2016-1A-A1R (3 Month LIBOR USD + 1.20%)

   3.35%   ^    08/23/2031      14,975,894

5,000,000

    

Prudential PLC, Series 2018-1A-A (3 Month LIBOR USD + 1.15%)

   3.45%   ^    07/15/2031      4,962,987

10,000,000

    

Race Point Ltd., Series 2015-9A-A1AR (3 Month LIBOR USD + 1.21%)

   3.51%   ^    10/15/2030      10,000,231

8,500,000

    

Rockford Tower Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.27%)

   3.57%   ^    10/15/2029      8,503,022

3,000,000

    

Sound Point Ltd., Series 2013-3RA-A (3 Month LIBOR USD + 1.15%, 1.15% Floor)

   3.45%   ^    04/18/2031      2,977,500

10,100,000

    

Sound Point Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.18%, 1.18% Floor)

   3.45%   ^    10/26/2031      9,995,615

10,000,000

    

Steele Creek Ltd., Series 2014-1RA-A (3 Month LIBOR USD + 1.07%, 1.07% Floor)

   3.35%   ^    04/21/2031      9,926,910

10,000,000

    

Steele Creek Ltd., Series 2015-1A-AR (3 Month LIBOR USD + 1.26%)

   3.41%   ^    05/21/2029      9,987,759

8,000,000

    

Steele Creek Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 1.12%, 1.12% Floor)

   3.24%   ^    06/15/2031      7,929,121

6,000,000

    

Steele Creek Ltd., Series 2018-2A-A (3 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.32%   ^    08/18/2031      5,979,364

10,000,000

    

Steele Creek Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.76%   ^    04/15/2032      10,029,758

18,000,000

    

Steele Creek Ltd., Series 2019-2A-A1 (3 Month LIBOR USD + 1.36%, 1.36% Floor)

   3.49%   ^    07/15/2032      17,997,161

9,000,000

    

Steele Creek Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.25%, 2.25% Floor)

   4.38%   ^    07/15/2032      8,998,474

10,000,000

    

Symphony Ltd., Series 2014-15A-AR2 (3 Month LIBOR USD + 1.26%, 1.26% Floor)

   3.56%   ^    01/17/2032      10,018,069

10,000,000

    

Venture Ltd., Series 2014-19A-ARR (3 Month LIBOR USD + 1.26%, 1.26% Floor)

   3.56%   ^    01/15/2032      10,020,414

19,479,142

    

Venture Ltd., Series 2015-20A-AR (3 Month LIBOR USD + 0.82%)

   3.12%   ^    04/15/2027      19,456,676

8,500,000

    

Venture Ltd., Series 2017-29A-A (3 Month LIBOR USD + 1.28%)

   3.44%   ^    09/07/2030      8,504,282

10,000,000

    

Venture Ltd., Series 2018-34A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor)

   3.53%   ^    10/15/2031      9,966,880

10,000,000

    

VERDE Ltd., Series 2019-1A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor)

   3.91%   ^    04/15/2032      10,004,548

4,000,000

    

Vibrant Ltd., Series 2015-3A-A1RR (3 Month LIBOR USD + 1.25%)

   3.53%   ^    10/20/2031      3,984,017

3,500,000

    

Vibrant Ltd., Series 2016-5A-B (3 Month LIBOR USD + 2.10%)

   4.38%   ^    01/20/2029      3,502,793

10,000,000

    

Vibrant Ltd., Series 2018-10A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.48%   ^    10/20/2031      9,957,066

15,000,000

    

Wellfleet Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.48%   ^    10/20/2031      14,942,970

10,000,000

    

Wellfleet Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.53%   ^    01/20/2032      10,019,469

2,742,353

    

WhiteHorse Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 0.90%)

   3.15%   ^    05/01/2026      2,740,951

18,542,934

    

WhiteHorse Ltd., Series 2015-10A-A1R (3 Month LIBOR USD + 0.93%, 0.93% Floor)

   3.23%   ^    04/17/2027      18,516,331

14,500,000

    

Wind River Ltd., Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor)

   3.44%   ^    01/15/2031      14,434,750

4,000,000

    

Wind River Ltd., Series 2019-3A-B (3 Month LIBOR USD + 2.10%)

   4.60%   ^    04/15/2031      4,004,482


7,873,646

    

Zais Ltd., Series 2014-2A-A1AR (3 Month LIBOR USD + 1.20%)

   3.48%   ^    07/25/2026      7,881,655
                 

 

Total Collateralized Loan Obligations (Cost $882,005,448)

          881,270,391
                 

 

Foreign Corporate Bonds - 8.3%

         

2,600,000

    

Adani Ports & Special Economic Zone Ltd.

   3.95%      01/19/2022      2,662,563

5,140,000

    

AerCap Global Aviation Trust

   4.63%      10/30/2020      5,262,490

900,000

    

AES Dominicana

   7.95%      05/11/2026      961,875

1,400,000

    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

   7.13%   ^    03/26/2079      1,471,750

2,500,000

    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

   7.13%      03/26/2079      2,628,125

2,700,000

    

Alibaba Group Holding Ltd.

   3.13%      11/28/2021      2,742,977

9,775,000

    

AstraZeneca PLC

   2.38%      11/16/2020      9,817,478

825,000

    

AstraZeneca PLC

   2.38%      06/12/2022      831,366

4,556,000

    

Avolon Holdings Funding Ltd.

   3.63%   ^    05/01/2022      4,622,745

13,350,000

    

Axiata SPV2 BHD

   3.47%      11/19/2020      13,495,539

9,680,000

    

Banco Bradesco S.A.

   5.90%      01/16/2021      10,043,097

3,000,000

    

Banco BTG Pactual S.A.

   4.00%      01/16/2020      3,007,530

2,400,000

    

Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%)

   7.75%   ^    02/15/2029      2,508,000

1,500,000

    

Banco de Reservas de la Republica Dominicana

   7.00%      02/01/2023      1,576,890

7,000,000

    

Banco del Estado de Chile

   3.88%      02/08/2022      7,252,585

3,300,000

    

Banco do Brasil S.A. (10 Year CMT Rate + 7.78%)

   8.50%      10/20/2020      3,480,345

4,000,000

    

Banco International del Peru S.A.A.

   5.75%      10/07/2020      4,130,040

3,500,000

    

Banco Latinoamericano do Comercio Exterior S.A.

   3.25%      05/07/2020      3,517,535

8,800,000

    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%)

   6.88%      07/06/2022      8,866,000

9,400,000

    

Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) (5 Year CMT Rate + 3.00%)

   3.80%      08/11/2026      9,529,344

1,000,000

    

Banco Santander

   3.88%      09/20/2022      1,041,961

1,500,000

    

Banco Santander (5 Year CMT Rate + 3.00%)

   5.95%   ^    10/01/2028      1,612,125

400,000

    

Banco Santander Chile

   2.50%      12/15/2020      402,760

2,000,000

    

Bancolombia S.A.

   6.13%      07/26/2020      2,055,520

7,384,000

    

Bancolombia S.A.

   5.95%      06/03/2021      7,790,120

4,350,000

    

Bangkok Bank PCL

   4.80%      10/18/2020      4,458,108

2,900,000

    

Bangkok Bank PCL

   3.88%      09/27/2022      3,012,060

800,000

    

Banistmo S.A.

   3.65%   ^    09/19/2022      807,008

1,800,000

    

Banistmo S.A.

   3.65%      09/19/2022      1,815,768

10,845,000

    

Barclays Bank PLC

   2.65%      01/11/2021      10,878,114

7,000,000

    

BBVA Banco Continental S.A.

   5.00%      08/26/2022      7,479,500

4,000,000

    

BBVA Bancomer S.A.

   7.25%      04/22/2020      4,098,000

3,700,000

    

BBVA Bancomer S.A.

   6.50%      03/10/2021      3,866,537

2,400,000

    

BBVA Bancomer S.A.

   6.75%      09/30/2022      2,628,000

1,600,000

    

BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%)

   5.35%      11/12/2029      1,596,016

2,500,000

    

BDO Unibank, Inc.

   2.63%      10/24/2021      2,510,673

8,000,000

    

Bharat Petroleum Corporation Ltd.

   4.63%      10/25/2022      8,439,520

1,500,000

    

Bharat Petroleum Ltd.

   4.38%      01/24/2022      1,554,270

2,600,000

    

Bharti Airtel Ltd.

   5.13%      03/11/2023      2,739,675

3,400,000

    

Brasil Bolsa Balcao S.A

   5.50%      07/16/2020      3,485,034

750,000

    

Braskem Finance Ltd.

   7.00%      05/07/2020      768,825

3,900,000

    

Braskem Finance Ltd.

   5.75%      04/15/2021      4,056,039

5,800,000

    

C&W Senior Financing DAC

   7.50%      10/15/2026      6,133,500

2,500,000

    

Celulosa Arauco y Constitucion S.A.

   4.75%      01/11/2022      2,603,125

2,200,000

    

Cemex S.A.B. de C.V.

   6.13%      05/05/2025      2,293,500

1,750,000

    

Cemex S.A.B. de C.V.

   7.75%      04/16/2026      1,900,955

300,000

    

CK Hutchison International Ltd.

   2.25%      09/29/2020      299,707

2,000,000

    

CK Hutchison International Ltd.

   2.88%   ^    04/05/2022      2,019,588

6,000,000

    

CNOOC Finance Ltd.

   2.63%      05/05/2020      6,007,710

1,100,000

    

CNOOC Finance Ltd.

   4.25%      01/26/2021      1,125,939

4,800,000

    

CNOOC Finance Ltd.

   3.88%      05/02/2022      4,960,137

8,600,000

    

CNPC General Capital Ltd.

   3.95%      04/19/2022      8,908,010

2,500,000

    

CNPC Overseas Capital Ltd.

   4.50%      04/28/2021      2,577,253

2,800,000

    

Coca-Cola Femsa S.A.B. de C.V.

   4.63%      02/15/2020      2,821,814

2,450,000

    

Colombia Telecomunicaciones S.A.

   5.38%      09/27/2022      2,483,688

2,500,000

    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

   8.50%      03/30/2020      2,571,875

260,000

    

Comcel Trust

   6.88%      02/06/2024      268,450

4,085,000

    

Commonwealth Bank of Australia

   2.25%   ^    03/10/2020      4,089,275

3,125,000

    

Commonwealth Bank of Australia

   2.05%   ^    09/18/2020      3,127,768

2,240,000

    

Commonwealth Bank of Australia

   2.75%   ^    03/10/2022      2,277,454

400,000

    

Corp Nacional del Cobre de Chile

   3.88%      11/03/2021      411,904

900,000

    

Corporacion Nacional del Cobre de Chile

   3.00%      07/17/2022      915,551

5,115,000

    

Credit Suisse Group AG (3 Month LIBOR USD + 1.24%)

   3.37%   ^    06/12/2024      5,150,649

1,345,000

    

Credito Real S.A.B. de C.V.

   7.25%      07/20/2023      1,430,744

300,000

    

Credito Real S.A.B. de C.V.

   7.25%   ^    07/20/2023      319,125

1,100,000

    

DBS Group Holdings Ltd.

   2.85%      04/16/2022      1,115,850

1,000,000

    

DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%)

   2.90%      07/25/2022      1,004,655

900,000

    

DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%)

   4.52%      12/11/2028      957,461

8,800,000

    

DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%)

   3.60%      09/07/2021      8,844,000

3,840,000

    

Delek & Avner Tamar Bond Ltd.

   4.44%   ^    12/30/2020      3,892,220

1,200,000

    

Digicel Group Ltd.

   8.25%   ^    09/30/2022      258,000

803,422

    

Digicel Group Ltd. (7.13% Cash + 2.00% PIK)

   9.13%   ^    04/01/2024      84,359

6,940,000

    

ECL S.A.

   5.63%      01/15/2021      7,233,574

1,500,000

    

Empresa Electrica Guacolda S.A.

   4.56%      04/30/2025      1,357,557

4,289,646

    

ENA Norte Trust

   4.95%      04/25/2023      4,439,826

822,000

    

ESAL GMBH

   6.25%      02/05/2023      838,448

500,000

    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%)

   3.00%      05/23/2024      501,743

2,600,000

    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%)

   3.04%      11/20/2023      2,612,430

200,000

    

Fomento Economico Mexicano S.A.B. de C.V.

   2.88%      05/10/2023      202,202

3,100,000

    

Fondo Mivivienda S.A.

   3.50%      01/31/2023      3,185,250

5,200,000

    

Freeport-McMoRan, Inc.

   4.55%      11/14/2024      5,341,960

1,740,000

    

GlaxoSmithKline Capital PLC

   3.13%      05/14/2021      1,774,935

8,610,000

    

GlaxoSmithKline Capital PLC

   2.88%      06/01/2022      8,799,807

300,000

    

Global Bank Corporation

   4.50%   ^    10/20/2021      309,564

4,000,000

    

Global Bank Corporation

   4.50%      10/20/2021      4,127,520

5,100,000

    

Globo Comunicacao e Participacoes S.A.

   4.88%      04/11/2022      5,294,489

3,500,000

    

Grupo Aval Ltd.

   4.75%      09/26/2022      3,626,000

4,900,000

    

Grupo Bimbo S.A.B. de C.V.

   4.88%      06/30/2020      4,994,055

5,800,000

    

Grupo Bimbo S.A.B. de C.V. (5 Year CMT Rate + 3.28%)

   5.95%      04/17/2023      6,130,600

2,684,000

    

GrupoSura Finance S.A.

   5.70%      05/18/2021      2,814,845

210,593

    

Guanay Finance Ltd.

   6.00%   ^    12/15/2020      213,752

491,384

    

Guanay Finance Ltd.

   6.00%      12/15/2020      498,755

5,789,000

    

HSBC Holdings PLC (3 Month LIBOR USD + 1.00%)

   3.12%      05/18/2024      5,815,138

7,000,000

    

Hutchison Whampoa International Ltd.

   4.63%      01/13/2022      7,326,998

3,900,000

    

Indian Oil Corporation Ltd.

   5.63%      08/02/2021      4,108,923

3,000,000

    

Indian Oil Corporation Ltd.

   5.75%      08/01/2023      3,307,086

500,000

    

Indian Oil Corporation Ltd.

   4.75%      01/16/2024      534,160

100,000

    

Industrial Senior Trust

   5.50%      11/01/2022      104,875

35,034

    

Invepar Holdings

   0.00%   W Þ    12/30/2028      1,498

6,650,000

    

Inversiones CMPC S.A.

   4.50%      04/25/2022      6,924,379

700,000

    

Israel Electric Corporation Ltd.

   6.88%      06/21/2023      799,400

600,000

    

Itau Unibanco Holding S.A.

   6.20%      12/21/2021      637,506

1,000,000

    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)

   6.13%      12/12/2022      1,011,000

1,300,000

    

Itau Unibanco Holdings S.A.

   6.20%      04/15/2020      1,326,325

4,200,000

    

Itau Unibanco Holdings S.A.

   5.75%      01/22/2021      4,344,060

500,000

    

JBS Investments GMBH

   7.00%   ^    01/15/2026      540,745

4,150,000

    

Latam Finance Ltd.

   6.88%      04/11/2024      4,370,988

8,700,000

    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

   3.91%      10/29/2026      8,854,773

8,600,000

    

MARB BondCo PLC

   7.00%      03/15/2024      8,987,086


4,000,000

    

Millicom International Cellular S.A.

   6.00%      03/15/2025      4,160,000

1,000,000

    

Millicom International Cellular SA

   6.63%      10/15/2026      1,090,000

10,420,000

    

Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.86%)

   3.13%      07/26/2023      10,453,046

10,533,000

    

Mizuho Financial Group, Inc. (3 Month LIBOR USD + 0.79%)

   2.92%      03/05/2023      10,571,474

1,800,000

    

Multibank, Inc.

   4.38%      11/09/2022      1,855,818

2,600,000

    

Nacional Financiera S.N.C.

   3.38%      11/05/2020      2,622,776

7,884,000

    

Oleoducto Central S.A.

   4.00%      05/07/2021      8,061,469

6,961,000

    

ONGC Videsh Ltd.

   2.88%      01/27/2022      6,969,492

1,000,000

    

ONGC Videsh Ltd.

   3.75%      05/07/2023      1,031,860

3,000,000

    

Oversea-Chinese Banking Corporation (5 Year Swap Rate USD + 2.20%)

   4.00%      10/15/2024      3,001,918

1,650,000

    

Pampa Energia S.A.

   7.38%      07/21/2023      1,361,250

2,733,322

    

Panama Metro Line SP

   0.00%   ^    12/05/2022      2,624,672

8,029,132

    

Panama Metro Line SP

   0.00%      12/05/2022      7,709,974

7,400,000

    

Pertamina Persero PT

   5.25%      05/23/2021      7,727,244

4,000,000

    

Pertamina Persero PT

   4.88%      05/03/2022      4,228,092

412,358

    

Peru Enhanced Pass-Through Finance Ltd.

   0.00%      06/02/2025      377,823

1,766,000

    

Perusahaan Listrik Negara PT

   5.50%      11/22/2021      1,876,375

1,600,000

    

Petrobras Global Finance B.V.

   5.38%      01/27/2021      1,657,600

4,000,000

    

Petronas Capital Ltd.

   3.13%      03/18/2022      4,070,827

9,450,000

    

Petronas Global Sukuk Ltd.

   2.71%      03/18/2020      9,442,204

400,000

    

PTTEP Canada International Finance Ltd.

   5.69%      04/05/2021      418,823

5,800,000

    

PTTEP Treasury Center Company Ltd. (5 Year CMT Rate + 2.72%)

   4.60%      07/17/2022      5,943,248

1,500,000

    

Reliance Holdings, Inc.

   4.50%      10/19/2020      1,529,295

8,500,000

    

Reliance Holdings, Inc.

   5.40%      02/14/2022      9,038,730

5,520,000

    

Royal Bank of Scotland Group PLC (3 Month LIBOR USD + 1.55%)

   3.66%      06/25/2024      5,534,541

9,850,000

    

Santander UK PLC

   2.50%      01/05/2021      9,864,939

1,970,000

    

Scotiabank Peru S.A. (3 Month LIBOR USD + 3.86%)

   4.50%      12/13/2027      2,051,282

8,600,000

    

Sinochem Overseas Capital Ltd.

   4.50%      11/12/2020      8,787,110

7,200,000

    

Sinopec Group Overseas Development Ltd.

   2.50%      04/28/2020      7,205,260

900,000

    

Sinopec Group Overseas Development Ltd.

   2.25%      09/13/2020      899,419

2,500,000

    

Sinopec Group Overseas Development Ltd.

   2.00%      09/29/2021      2,478,691

2,500,000

    

Sinopec Group Overseas Development Ltd.

   3.90%      05/17/2022      2,589,152

1,500,000

    

Sociedad Quimica y Minera S.A.

   5.50%      04/21/2020      1,527,600

9,258,000

    

Southern Copper Corporation

   5.38%      04/16/2020      9,386,227

10,685,000

    

Sumitomo Mitsui Financial Group, Inc.

   2.06%      07/14/2021      10,655,814

248,000

    

Syngenta Finance NV

   3.70%      04/24/2020      248,852

5,045,000

    

Takeda Pharmaceutical Company Ltd.

   4.00%   ^    11/26/2021      5,225,010

2,600,000

    

Tecnoglass, Inc.

   8.20%      01/31/2022      2,814,500

5,500,000

    

Telefonica Chile S.A.

   3.88%      10/12/2022      5,695,801

1,000,000

    

Temasek Financial Ltd.

   2.38%      01/23/2023      1,014,809

10,312,000

    

Toronto-Dominion Bank

   3.25%      06/11/2021      10,531,475

5,800,000

    

UBS AG

   2.45%   ^    12/01/2020      5,824,202

4,150,000

    

Unifin Financiera S.A.B. de C.V.

   7.25%      09/27/2023      4,303,550

1,900,000

    

Union Bank of the Philippines

   3.37%      11/29/2022      1,948,683

200,000

    

United Overseas Bank Ltd. (3 Month LIBOR USD + 0.48%)

   2.74%      04/23/2021      200,536

2,500,000

    

United Overseas Bank Ltd. (5 Year CMT Rate + 1.50%)

   3.75%      04/15/2029      2,594,345

2,800,000

    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%)

   2.88%      03/08/2027      2,800,476

5,200,000

    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%)

   3.50%      09/16/2026      5,264,376

3,900,000

    

UPL Corporation

   3.25%      10/13/2021      3,918,627

1,500,000

    

Vedanta Resources PLC

   7.13%      05/31/2023      1,483,875

200,000

    

Vedanta Resources PLC

   6.13%      08/09/2024      184,777

5,600,000

    

VTR Finance B.V.

   6.88%      01/15/2024      5,782,000

6,426,000

    

Westpac Banking Corporation

   2.65%      01/25/2021      6,476,715
                 

 

Total Foreign Corporate Bonds (Cost $608,489,791)

          614,767,079
                 

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.7%

         

2,500,000

    

Brazilian Government International Bond

   4.88%      01/22/2021      2,590,650

3,600,000

    

Chile Government International Bond

   3.88%      08/05/2020      3,656,700

3,000,000

    

Chile Government International Bond

   2.25%      10/30/2022      3,014,280

12,100,000

    

Colombia Government International Bond

   4.38%      07/12/2021      12,544,796

965,000

    

Costa Rica Government International Bond

   10.00%      08/01/2020      1,016,878

11,066,667

    

Dominican Republic International Bond

   7.50%      05/06/2021      11,578,500

1,000,000

    

Indonesia Government International Bond

   4.88%      05/05/2021      1,037,981

900,000

    

Indonesia Government International Bond

   3.70%   ^    01/08/2022      925,804

1,100,000

    

Indonesia Government International Bond

   3.70%      01/08/2022      1,131,538

2,100,000

    

Indonesia Government International Bond

   3.75%      04/25/2022      2,168,246

4,800,000

    

Perusahaan Penerbit

   3.40%      03/29/2022      4,906,320

5,500,000

    

Philippine Government International Bond

   4.00%      01/15/2021      5,628,492

250,000

    

Wakala Global Sukuk BHD

   4.65%      07/06/2021      260,514
                 

 

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $50,226,705)

     50,460,699
                 

 

Non-Agency Commercial Mortgage Backed Obligations - 13.2%

         

4,721,000

    

20 Times Square Trust, Series 2018-20TS-F

   3.20%   # ^    05/15/2035      4,648,253

4,721,000

    

20 Times Square Trust, Series 2018-20TS-G

   3.20%   # ^    05/15/2035      4,576,061

1,080,000

    

Americold LLC, Series 2010-ARTA-C

   6.81%   ^    01/14/2029      1,122,558

10,000,000

    

Arbor Realty Ltd., Series 2017-FL2-A (1 Month LIBOR USD + 0.99%)

   3.02%   ^    08/15/2027      10,011,920

13,674,000

    

AREIT Trust, Series 2018-CRE1-AS (1 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.28%   ^    02/14/2035      13,690,231

8,998,000

    

AREIT Trust, Series 2018-CRE1-B (1 Month LIBOR USD + 1.65%, 1.65% Floor)

   3.68%   ^    02/14/2035      9,017,688

12,000,000

    

AREIT Trust, Series 2019-CRE3-C (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    09/14/2036      12,064,500

4,913,000

    

AREIT Trust, Series 2019-CRE3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.68%   ^    09/14/2036      4,939,407

4,000,000

    

Atrium Hotel Portfolio Trust

   0.05%   ^ ±    09/15/2032      4,010,000

9,763,000

    

Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)

   5.43%   ^    06/15/2035      9,856,419

7,231,000

    

BAMLL Commercial Mortgage Securities Trust, Series 2019-AHT-D (1 Month LIBOR USD + 2.50%, 2.50% Floor)

   4.53%   ^    03/15/2034      7,268,196

4,952,000

    

Bancorp Commercial Mortgage Trust, Series 2018-CRE4-D (1 Month LIBOR USD + 2.10%, 0.25% Floor)

   4.13%   ^    09/15/2035      4,983,818

3,711,000

    

Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor)

   4.38%   ^    03/15/2036      3,721,616

56,925,321

    

BANK, Series 2017-BNK4-XA

   1.59%   # I/O    05/15/2050      4,536,271

85,101,355

    

BANK, Series 2018-BN11-XA

   0.64%   # I/O    03/15/2061      3,064,815

1,174,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%)

   3.23%   ^    08/15/2036      1,171,580

1,338,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%)

   3.73%   ^    08/15/2036      1,341,157

2,697,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E (1 Month LIBOR USD + 2.50%)

   4.53%   ^    08/15/2036      2,706,232

17,543,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%)

   5.53%   ^    08/15/2036      17,631,748

4,779,000

    

BBCMS Mortgage Trust, Series 2018-BXH-C (1 Month LIBOR USD + 1.50%, 1.50% Floor)

   3.53%   ^    10/15/2037      4,763,604

10,250,000

    

BBCMS Mortgage Trust, Series 2018-CBM-E (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    07/15/2037      10,295,272

15,176,000

    

BBCMS Mortgage Trust, Series 2018-TALL-F (1 Month LIBOR USD + 3.24%, 3.24% Floor)

   5.26%   ^    03/15/2037      15,285,848

7,538,000

    

BB-UBS Trust, Series 2012-TFT-TE

   3.68%   # ^    06/05/2030      7,342,695

6,110,000

    

Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ

   5.57%   #    01/12/2045      5,330,842

10,202,000

    

BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    07/15/2035      10,238,595

165,041,500

    

BHMS Trust, Series 2018-ATLS-XCP

   0.41%   # ^ I/O    07/15/2035      192,075

6,531,000

    

BHP Trust, Series 2019-BXHP-D (1 Month LIBOR USD + 1.77%, 1.77% Floor)

   3.80%   ^    08/15/2036      6,523,583

10,613,000

    

Braemar Hotels & Resorts Trust, Series 2018-PRME-E (1 Month LIBOR USD + 2.40%, 2.40% Floor)

   4.43%   ^    06/15/2035      10,700,056

2,608,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor)

   3.35%   ^    03/15/2037      2,618,494

7,534,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-E (1 Month LIBOR USD + 1.95%, 1.98% Floor)

   3.98%   ^    03/15/2037      7,569,503

12,515,000

    

BX Commercial Mortgage Trust, Series 2019-IMC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    04/15/2034      12,561,969

5,486,000

    

BX Commercial Mortgage Trust, Series 2019-IMC-F (1 Month LIBOR USD + 2.90%, 2.90% Floor)

   4.93%   ^    04/15/2034      5,535,814

2,623,950

    

BX Trust, Series 2017-APPL-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.08%   ^    07/15/2034      2,630,740

4,060,450

    

BX Trust, Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    07/15/2034      4,080,881

2,430,150

    

BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%)

   4.08%   ^    07/15/2034      2,433,160

4,119,100

    

BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    07/15/2034      4,144,818

3,159,000

    

BX Trust, Series 2018-GW-E (1 Month LIBOR USD + 1.97%, 1.97% Floor)

   4.00%   ^    05/15/2035      3,178,031

3,434,000

    

BX Trust, Series 2018-GW-F (1 Month LIBOR USD + 2.42%, 2.42% Floor)

   4.45%   ^    05/15/2035      3,459,191

1,414,000

    

BX Trust, Series 2018-GW-G (1 Month LIBOR USD + 2.92%, 2.92% Floor)

   4.95%   ^    05/15/2035      1,428,154

2,835,000

    

BX Trust, Series 2018-MCSF-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    04/15/2035      2,851,015

9,267,000

    

BX Trust, Series 2018-MCSF-F (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.67%   ^    04/15/2035      9,338,087


14,456,000

    

BX Trust, Series 2019-MMP-E (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    08/15/2036      14,555,255

11,389,000

    

Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)

   4.88%   ^    10/15/2035      11,489,017

48,849,750

    

CD Commercial Mortgage Trust, Series 2017-CD3-XA

   1.18%   # I/O    02/10/2050      2,984,251

67,116,784

    

CD Commercial Mortgage Trust, Series 2017-CD4-XA

   1.47%   # I/O    05/10/2050      4,886,666

3,553,000

    

CF Trust, Series 2019-MF1-E (1 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.23%   ^    08/21/2032      3,561,911

21,481,272

    

CFCRE Commercial Mortgage Trust, Series 2016-C3-XA

   1.19%   # I/O    01/10/2048      1,173,440

22,947,051

    

CFCRE Commercial Mortgage Trust, Series 2016-C4-XA

   1.88%   # I/O    05/10/2058      2,019,967

57,340,425

    

CFCRE Commercial Mortgage Trust, Series 2017-C8-XA

   1.81%   # I/O    06/15/2050      5,085,964

16,201,000

    

CFCRE Commercial Mortgage Trust, Series 2017-C8-XB

   1.12%   # I/O    06/15/2050      1,049,383

39,410,000

    

CFCRE Commercial Mortgage Trust, Series 2018-TAN-X

   1.85%   # ^ I/O    02/15/2033      1,969,444

3,277,000

    

CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    07/15/2032      3,280,270

4,587,000

    

CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E (1 Month LIBOR USD + 2.15%, 2.25% Floor)

   4.18%   ^    07/15/2032      4,592,608

9,155,000

    

CGGS Commercial Mortgage Trust, Series 2018-WSS-D (1 Month LIBOR USD + 2.30%, 2.30% Floor)

   4.33%   ^    02/15/2037      9,159,017

736,000

    

CHT Mortgage Trust, Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.03%   ^    11/15/2036      739,556

1,039,000

    

CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor)

   5.77%   ^    11/15/2036      1,045,696

7,794,846

    

Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA

   1.15%   # I/O    10/10/2047      334,006

641,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-D

   4.57%   # ^    02/10/2048      613,614

5,624,604

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA

   1.52%   # I/O    02/10/2048      318,130

1,750,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC31-C

   4.19%   #    06/10/2048      1,781,221

19,325,840

    

Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA

   1.44%   # I/O    02/10/2049      1,235,663

14,231,305

    

Citigroup Commercial Mortgage Trust, Series 2016-P3-XA

   1.85%   # I/O    04/15/2049      1,118,024

13,624,727

    

Citigroup Commercial Mortgage Trust, Series 2016-P4-XA

   2.14%   # I/O    07/10/2049      1,342,526

13,641,145

    

Citigroup Commercial Mortgage Trust, Series 2017-P7-XA

   1.28%   # I/O    04/14/2050      892,487

4,865,000

    

Citigroup Commercial Mortgage Trust, Series 2019-SST2-D (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    12/15/2036      4,882,305

7,736,000

    

Citigroup Commercial Mortgage Trust, Series 2019-SST2-E (1 Month LIBOR USD + 2.00%, 2.00% Floor)

   4.03%   ^    12/15/2036      7,763,424

3,479,000

    

CLNS Trust, Series 2017-IKPR-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.10%   ^    06/11/2032      3,481,143

3,479,000

    

CLNS Trust, Series 2017-IKPR-E (1 Month LIBOR USD + 3.50%, 3.50% Floor)

   5.55%   ^    06/11/2032      3,490,555

3,479,000

    

CLNS Trust, Series 2017-IKPR-F (1 Month LIBOR USD + 4.50%, 4.50% Floor)

   6.55%   ^    06/11/2032      3,502,414

5,636,000

    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-D

   4.72%   # ^ Þ    10/15/2045      2,322,314

8,273,844

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA

   0.83%   # I/O    08/10/2046      193,649

6,802,000

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR11-D

   5.29%   # ^    08/10/2050      6,938,071

25,732,553

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA

   1.32%   # I/O    10/10/2046      982,682

2,503,138

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR17-XA

   1.15%   # I/O    05/10/2047      96,145

233,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C

   4.91%   #    08/10/2047      249,317

500,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C

   4.66%   #    11/10/2047      534,601

1,876,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-FL5-D (1 Month LIBOR USD + 4.00%, 4.00% Floor)

   3.58%   ^    10/15/2031      1,859,359

932,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D

   4.25%   # ^    03/10/2048      930,648

21,265,059

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA

   1.08%   # I/O    03/10/2048      712,845

37,246,784

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-XA

   1.04%   # I/O    08/10/2048      1,545,079

41,891,062

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR27-XA

   1.26%   # I/O    10/10/2048      1,898,495

11,687,547

    

Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA

   1.25%   # I/O    02/10/2048      451,472

57,232,635

    

Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-XA

   0.91%   # I/O    07/10/2048      1,698,178

1,470,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C

   4.80%   #    10/10/2048      1,584,613

1,769,000

    

Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C

   4.80%   #    02/10/2049      1,920,628

17,250,887

    

Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA

   1.17%   # I/O    02/10/2049      882,871

11,396,000

    

Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-D (1 Month LIBOR USD + 2.18%, 2.25% Floor)

   4.20%   ^    09/15/2033      11,404,762

16,126

    

Credit Suisse Commercial Mortgage Trust, Series 2007-C1-AM

   5.42%      02/15/2040      16,210

10,092,000

    

Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1

   0.70%   # ^ I/O    09/15/2037      279,453

13,148,000

    

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    05/15/2036      13,199,584

11,372,000

    

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-F (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.68%   ^    05/15/2036      11,430,841

29,023,391

    

CSAIL Commercial Mortgage Trust, Series 2015-C1-XA

   1.00%   # I/O    04/15/2050      1,057,122

4,680,076

    

CSAIL Commercial Mortgage Trust, Series 2016-C6-XA

   1.94%   # I/O    01/15/2049      376,720

7,370,000

    

CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor)

   5.33%   ^    07/15/2032      7,424,385

6,650,000

    

CSMC Trust, Series 2017-LSTK-E

   3.44%   # ^    04/05/2033      6,614,248

3,750,000

    

DBCG Mortgage Trust, Series 2017-BBG-C (1 Month LIBOR USD + 1.00%, 1.10% Floor)

   3.03%   ^    06/15/2034      3,745,067

9,876,000

    

DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.45%)

   4.48%   ^    06/15/2033      9,866,260

4,941,412

    

DBGS Mortgage Trust, Series 2018-BIOD-C (1 Month LIBOR USD + 0.95%, 0.95% Floor)

   2.98%   ^    05/15/2035      4,916,671

11,987,000

    

DBUBS Mortgage Trust, Series 2017-BRBK-E

   3.65%   # ^    10/10/2034      12,104,684

19,109,528

    

Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA

   1.62%   # I/O    05/10/2049      1,390,388

13,000,000

    

FREMF Mortgage Trust, Series 2010-K8-C

   0.00%   ^ P/O    09/25/2043      12,573,184

13,000,000

    

FREMF Mortgage Trust, Series 2013-K713-D

   0.00%   ^ P/O    04/25/2046      12,579,268

28,200,000

    

FREMF Mortgage Trust, Series 2013-K713-X2B

   0.10%   ^ I/O    04/25/2046      12,952

1,128,090

    

FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor)

   7.14%   ^    07/25/2023      1,169,045

2,488,000

    

GMAC Commercial Mortgage Securities Trust, Series 2004-C3-D

   5.04%   #    12/10/2041      2,486,733

2,806,000

    

GMAC Commercial Mortgage Securities Trust, Series 2004-C3-E

   5.14%   # ^    12/10/2041      2,796,465

7,349,000

    

GPMT Ltd., Series 2019-FL2-D (1 Month LIBOR USD + 2.95%, 2.95% Floor)

   4.98%   ^    02/22/2036      7,420,653

350,000

    

Grace Mortgage Trust, Series 2014-GRCE-A

   3.37%   ^    06/10/2028      355,517

2,465,000

    

Great Wolf Trust, Series 2017-WOLF-D (1 Month LIBOR USD + 2.10%, 1.00% Floor)

   4.13%   ^    09/15/2034      2,468,430

3,821,000

    

Great Wolf Trust, Series 2017-WOLF-E (1 Month LIBOR USD + 3.10%, 1.00% Floor)

   5.13%   ^    09/15/2034      3,831,680

2,034,000

    

Great Wolf Trust, Series 2017-WOLF-F (1 Month LIBOR USD + 4.07%, 1.00% Floor)

   6.10%   ^    09/15/2034      2,042,377

3,903,000

    

Greystone Commercial Real Estate Notes, Series 2019-FL2-D (1 Month LIBOR USD + 2.40%, 2.40% Floor)

   4.66%   ^    09/15/2037      3,923,979

300,000

    

GS Mortgage Securities Corporation, Series 2013-KING-C

   3.55%   # ^    12/10/2027      299,852

3,998,258

    

GS Mortgage Securities Corporation, Series 2014-GC24-XA

   0.87%   # I/O    09/10/2047      119,578

35,518,622

    

GS Mortgage Securities Corporation, Series 2015-GC32-XA

   0.93%   # I/O    07/10/2048      1,250,895

9,658,864

    

GS Mortgage Securities Corporation, Series 2015-GC34-XA

   1.48%   # I/O    10/10/2048      591,352

15,808,000

    

GS Mortgage Securities Corporation, Series 2018-FBLU-F (1 Month LIBOR USD + 3.25%, 3.25% Floor)

   5.28%   ^    11/15/2035      15,908,352

1,518,000

    

GS Mortgage Securities Corporation, Series 2018-LUAU-E (1 Month LIBOR USD + 2.55%, 2.55% Floor)

   4.58%   ^    11/15/2032      1,525,321

5,000,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-E (1 Month LIBOR USD + 2.10%, 2.10% Floor)

   4.13%   ^    07/15/2031      5,020,488

5,000,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-F (1 Month LIBOR USD + 2.80%, 2.80% Floor)

   4.83%   ^    07/15/2031      5,029,083

5,000,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-G (1 Month LIBOR USD + 3.92%, 3.98% Floor)

   5.95%   ^    07/15/2031      5,046,898

13,059,000

    

GS Mortgage Securities CorporationTrust 2019-SOHO, Series 2019-SOHO-E (1 Month LIBOR USD + 1.87%, 1.88% Floor)

   3.90%   ^    06/15/2036      13,047,793

8,000,000

    

GS Mortgage Securities CorporationTrust 2019-SOHO, Series 2019-SOHO-F (1 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.23%   ^    06/15/2036      7,989,342

1,703,000

    

GS Mortgage Securities Trust, Series 2014-GC26-D

   4.67%   # ^    11/10/2047      1,502,590

8,950,346

    

GS Mortgage Securities Trust, Series 2015-GS1-XA

   0.94%   # I/O    11/10/2048      375,180

19,573,951

    

GS Mortgage Securities Trust, Series 2016-GS2-XA

   1.80%   # I/O    05/10/2049      1,534,684

29,472,791

    

GS Mortgage Securities Trust, Series 2016-GS3-XA

   1.38%   # I/O    10/10/2049      1,937,559

61,779,793

    

GS Mortgage Securities Trust, Series 2017-GS6-XA

   1.19%   # I/O    05/10/2050      4,257,178

887,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSA

   5.07%   # ^    03/10/2033      988,341

1,760,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSB

   5.07%   # ^    03/10/2033      1,947,178

2,391,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSC

   5.07%   # ^    03/10/2033      2,594,461

2,314,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSD

   5.07%   # ^    03/10/2033      2,431,177

2,893,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSE

   5.07%   # ^    03/10/2033      2,986,077

9,933,000

    

GS Mortgage Securities Trust, Series 2019-SMP-E (1 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.74%   ^    08/15/2032      9,970,447

14,505,000

    

GSCG Trust, Series 2019-600C-E

   4.12%   # ^    09/06/2034      14,818,969

1,988,000

    

Hilton USA Trust, Series 2016-SFP-D

   4.93%   ^    11/05/2035      1,998,875

3,000,000

    

Hilton USA Trust, Series 2016-SFP-F

   6.16%   ^    11/05/2035      3,027,677

2,348,987

    

HPLY Trust, Series 2019-HIT-E (1 Month LIBOR USD + 2.35%, 2.35% Floor)

   4.38%   ^    11/15/2036      2,363,646

12,814,005

    

HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    11/15/2036      12,846,040

8,000,000

    

Hunt Ltd., Series 2017-FL1-C (1 Month LIBOR USD + 2.40%)

   4.43%   ^    08/15/2034      7,993,792

5,440,000

    

IMT Trust, Series 2017-APTS-EFL (1 Month LIBOR USD + 2.15%)

   4.18%   ^    06/15/2034      5,446,513

305,000

    

IMT Trust, Series 2017-APTS-FFL (1 Month LIBOR USD + 2.85%)

   4.88%   ^    06/15/2034      305,774

22,184,661

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA

   1.25%   # I/O    01/15/2049      892,387

887,522

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    06/15/2032      884,518

1,414,000

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C (1 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.28%   ^    06/15/2032      1,407,426

4,578,000

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    06/15/2032      4,551,140

5,917,905

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    06/15/2032      5,942,429

828,411

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D (1 Month LIBOR USD + 2.10%, 2.30% Floor)

   4.13%   ^    06/15/2032      835,322

2,191,497

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-E (1 Month LIBOR USD + 3.00%, 3.35% Floor)

   5.03%   ^    06/15/2035      2,215,674

1,485,251

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2004-CBX-D

   5.10%   #    01/12/2037      1,484,496

1,665,870

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS

   5.34%      05/15/2047      1,601,461

38,492,731

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA

   0.88%   # I/O    12/15/2049      1,285,249

3,776,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E

   4.14%   # ^    10/05/2031      3,823,656

10,245,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX

   5.54%   ^    07/05/2033      10,917,476


4,216,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-C

   4.34%   ^    05/05/2032      4,490,862

4,314,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-D

   4.60%   # ^    05/05/2032      4,560,886

5,040,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-E

   4.60%   # ^    05/05/2032      5,220,573

5,287,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-F

   4.60%   # ^    05/05/2032      5,320,477

5,775,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-G

   4.60%   # ^    05/05/2032      5,616,950

5,852,840

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA

   1.01%   # I/O    02/15/2047      180,343

500,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C

   4.61%   #    09/15/2047      532,679

360,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D

   4.11%   # ^    09/15/2047      355,085

19,730,695

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA

   1.01%   # I/O    11/15/2047      716,173

1,303,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C

   4.52%   #    01/15/2048      1,386,362

6,378,816

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA

   1.15%   # I/O    01/15/2048      241,845

1,000,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D

   3.99%   # ^    02/15/2048      992,009

125,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C

   4.29%   #    05/15/2048      130,358

25,431,422

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA

   0.90%   # I/O    05/15/2048      637,632

27,286,196

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA

   0.67%   # I/O    07/15/2048      719,267

12,444,841

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA

   1.07%   # I/O    08/15/2048      494,017

23,812,030

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA

   1.52%   # I/O    11/15/2048      934,808

580,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C

   4.77%   #    12/15/2048      621,329

9,040,000

    

JPMCC Commercial Mortgage Securities Trust, Series 2019-MFP-E (1 Month LIBOR USD + 2.10%, 2.16% Floor)

   4.13%   ^    07/15/2036      9,076,176

10,000,000

    

LCCM, Series 2017-LC26-C

   4.71%   ^    07/12/2050      10,628,123

1,000,000

    

LoanCore Issuer Ltd., Series 2018-CRE1-D (1 Month LIBOR USD + 2.95%, 2.95% Floor)

   4.98%   ^    05/15/2028      1,006,250

2,500,000

    

LoanCore Issuer Ltd., Series 2019-CRE3-D (1 Month LIBOR USD + 2.50%, 2.50% Floor)

   4.53%   ^    04/15/2034      2,510,313

10,693,571

    

LSTAR Commercial Mortgage Trust, Series 2016-4-XA

   2.03%   # ^ I/O    03/10/2049      653,435

87,239,557

    

LSTAR Commercial Mortgage Trust, Series 2017-5-X

   1.26%   # ^ I/O    03/10/2050      3,627,360

300,000

    

Madison Avenue Trust, Series 2013-650M-D

   4.17%   # ^    10/12/2032      302,685

2,080,000

    

Madison Avenue Trust, Series 2013-650M-E

   4.17%   # ^    10/12/2032      2,074,685

2,366,000

    

Marathon CRE, Series 2018-FL1-AS (1 Month LIBOR USD + 1.55%, 1.55% Floor)

   3.58%   ^    06/15/2028      2,371,028

2,512,000

    

Marathon CRE, Series 2018-FL1-C (1 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.63%   ^    06/15/2028      2,527,072

13,513

    

Merrill Lynch Mortgage Trust, Series 2006-C1-AJ

   5.78%   #    05/12/2039      13,648

11,450,000

    

Monarch Beach Resort Trust, Series 2018-MBR-F (1 Month LIBOR USD + 2.55%, 2.55% Floor)

   4.58%   ^    07/15/2035      11,489,111

10,600,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK

   4.30%   ^    10/15/2030      9,528,528

3,684,627

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA

   0.77%   # I/O    10/15/2046      75,464

15,478,864

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA

   1.49%   # I/O    02/15/2046      579,396

6,413,908

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14-XA

   1.16%   # I/O    02/15/2047      189,884

500,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C

   4.68%   #    10/15/2047      531,397

620,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C

   4.00%      12/15/2047      640,915

120,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C

   4.61%   #    02/15/2048      127,459

1,072,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-D

   3.07%   ^    02/15/2048      1,005,954

21,275,520

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA

   1.40%   # I/O    01/15/2049      1,242,999

1,466,000

    

Morgan Stanley Capital Trust, Series 2014-CPT-G

   3.56%   # ^    07/13/2029      1,470,079

2,330,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%)

   4.23%   ^    11/15/2034      2,332,906

8,494,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    11/15/2034      8,504,592

2,647,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%)

   6.38%   ^    11/15/2034      2,651,958

2,680,000

    

Morgan Stanley Capital Trust, Series 2017-CLS-E (1 Month LIBOR USD + 1.95%, 1.95% Floor)

   3.98%   ^    11/15/2034      2,687,361

2,977,000

    

Morgan Stanley Capital Trust, Series 2017-CLS-F (1 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.63%   ^    11/15/2034      2,990,274

2,935,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-D (1 Month LIBOR USD + 1.65%, 1.65% Floor)

   3.68%   ^    07/15/2035      2,939,971

4,380,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-F (1 Month LIBOR USD + 2.55%, 2.55% Floor)

   4.58%   ^    07/15/2035      4,392,307

2,935,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-G (1 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.08%   ^    07/15/2035      2,945,670

13,327,000

    

Morgan Stanley Capital Trust, Series 2019-PLND-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    05/15/2036      13,360,318

821,000

    

Morgan Stanley Capital, Inc., Series 2014-CPT-E

   3.56%   # ^    07/13/2029      829,613

1,386,000

    

Morgan Stanley Capital, Inc., Series 2014-CPT-F

   3.56%   # ^    07/13/2029      1,394,829

5,411,759

    

Motel 6 Trust, Series 2017-MTL6-D (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    08/15/2034      5,433,199

3,267,731

    

Motel 6 Trust, Series 2017-MTL6-F (1 Month LIBOR USD + 4.25%, 4.25% Floor)

   6.28%   ^    08/15/2034      3,303,682

1,192,550

    

MSCG Trust, Series 2016-SNR-C

   5.21%   ^    11/15/2034      1,218,435

11,755,000

    

MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.08%   ^    10/15/2037      11,799,654

9,940,000

    

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C (1 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.40%   ^    06/15/2035      9,861,114

11,120,000

    

NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    02/15/2036      11,200,620

7,608,000

    

One Market Plaza Trust, Series 2017-1MKT-E

   4.14%   ^    02/10/2032      7,692,320

5,328,792

    

PFP Ltd., Series 2017-4-C (1 Month LIBOR USD + 2.25%, 2.25% Floor)

   4.28%   ^    07/14/2035      5,339,674

6,946,000

    

PFP Ltd., Series 2019-5-B (1 Month LIBOR USD + 1.65%)

   3.68%   ^    04/14/2036      6,978,994

6,614,000

    

RAIT Trust, Series 2017-FL7-B (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    06/15/2037      6,576,417

34,601,477

    

SLIDE, Series 2018-FUN-XCP

   0.98%   # ^ I/O    12/15/2020      399,135

459,000

    

STWD Ltd., Series 2019-FL1-C (1 Month LIBOR USD + 1.95%, 0.00% Floor)

   4.27%   ^    07/15/2038      461,467

14,307,000

    

STWD Ltd., Series 2019-FL1-D (1 Month LIBOR USD + 2.35%, 0.00% Floor)

   4.62%   ^    07/15/2038      14,410,726

8,426,455

    

Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor)

   5.22%   ^    11/11/2034      8,469,333

10,153,000

    

TRTX Issuer Ltd. 2018-FL2-D, Series 2018-FL2-D (1 Month LIBOR USD + 2.70%, 0.00% Floor)

   4.72%   ^    11/15/2037      10,279,913

2,034,000

    

UBS Commercial Mortgage Trust, Series 2017-C1-XB

   1.05%   # I/O    06/15/2050      129,505

85,144,096

    

UBS Commercial Mortgage Trust, Series 2018-C13-XA

   0.91%   # I/O    10/15/2051      4,694,624

6,009,000

    

UBS Commercial Mortgage Trust, Series 2018-C8-C

   4.86%   #    02/15/2051      6,633,160

87,133,791

    

UBS Commercial Mortgage Trust, Series 2018-C8-XA

   1.04%   # I/O    02/15/2051      5,218,251

500,000

    

UBS Commercial Mortgage Trust, Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor)

   6.87%   ^    02/15/2032      508,674

6,690,000

    

VMC Finance LLC, Series 2019-FL3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.85%   ^    09/15/2036      6,710,920

1,900,000

    

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D

   3.94%   ^    08/15/2050      1,564,679

540,000

    

Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B

   3.96%      12/15/2047      570,260

11,974,211

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA

   1.04%   # I/O    02/15/2048      467,876

54,237,279

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C30-XA

   1.05%   # I/O    09/15/2058      2,439,826

2,000,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C

   4.76%   #    11/15/2048      2,148,309

21,053,735

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA

   1.18%   # I/O    11/15/2048      1,076,541

31,691,816

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA

   0.87%   # I/O    07/15/2058      895,097

1,340,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3-C

   4.64%   #    09/15/2057      1,434,001

1,150,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-E

   3.75%   # ^    12/15/2048      1,026,618

1,443,000

    

Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C

   4.88%   #    01/15/2059      1,537,277

14,761,009

    

Wells Fargo Commercial Mortgage Trust, Series 2016-C33-XA

   1.92%   # I/O    03/15/2059      1,170,988

76,751,886

    

Wells Fargo Commercial Mortgage Trust, Series 2017-C38-XA

   1.21%   # I/O    07/15/2050      4,868,080

15,796,028

    

Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-XA

   1.67%   # I/O    01/15/2060      1,274,382

4,452,197

    

Wells Fargo Commercial Mortgage Trust, Series 2018-BXI-E (1 Month LIBOR USD + 2.16%)

   4.18%   ^    12/15/2036      4,481,369

3,351,569

    

WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA

   1.20%   # I/O    03/15/2047      115,374

7,959,940

    

WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA

   1.20%   # I/O    08/15/2047      325,856

28,801,663

    

WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA

   1.78%   # I/O    11/15/2049      2,196,930
                 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $986,755,606)

          977,263,540
                 

 

Non-Agency Residential Collateralized Mortgage Obligations - 12.1%

         

6,105,526

    

Ajax Mortgage Loan Trust, Series 2017-A-A

   3.47%      04/25/2057      6,121,233

6,337,047

    

Ajax Mortgage Loan Trust, Series 2018-C-A

   4.36%   # ^    09/25/2065      6,427,455

20,971,158

    

Ajax Mortgage Loan Trust, Series 2019-C-A

   3.95%   # ^    10/25/2058      21,128,085

8,453,835

    

Alternative Loan Trust, Series 2005-49CB-A6

   5.50%      11/25/2035      7,877,597

10,826,237

    

Alternative Loan Trust, Series 2005-62-1A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor)

   2.32%      12/25/2035      9,910,974

7,941,308

    

Alternative Loan Trust, Series 2006-36T2-1A3

   5.75%      12/25/2036      5,355,709

10,161,702

    

Alternative Loan Trust, Series 2007-12T1-A5

   6.00%      06/25/2037      7,566,761

6,624,316

    

Alternative Loan Trust, Series 2007-8CB-A1

   5.50%      05/25/2037      5,505,312

8,601,548

    

Alternative Loan Trust, Series 2007-HY9-A2 (1 Month LIBOR USD + 0.27%, 0.27% Floor)

   2.29%      08/25/2047      7,580,407

17,843,901

    

Arroyo Mortgage Trust, Series 2019-3-A3

   3.42%   # ^    10/25/2048      18,018,802

1,750,000

    

Banc of America Funding Corporation, Series 2005-B-3M1 (1 Month LIBOR USD + 0.68%, 0.45% Floor, 11.00% Cap)

   2.72%      04/20/2035      1,741,273

2,435,815

    

Banc of America Funding Corporation, Series 2006-7-T2A1

   5.88%   #    10/25/2036      2,346,532

2,521,369

    

Banc of America Mortgage Securities Trust, Series 2005-I-2A5

   4.17%   #    10/25/2035      2,543,491

6,870,890

    

Banc of America Mortgage Securities Trust, Series 2007-3-1A1

   6.00%      09/25/2037      6,720,820

2,932,903

    

Bayview Koitere Fund Trust, Series 2019-RN3-A1

   3.97%      07/28/2033      2,943,734

5,260,650

    

Bayview Opportunity Master Fund Trust, Series 2019-RN1-A1

   4.09%      02/28/2034      5,306,645

20,569,698

    

Bayview Opportunity Master Fund Trust, Series 2019-SBR2-A1

   3.43%      06/28/2034      20,549,147

2,223,734

    

BCAP LLC Trust, Series 2012-RR1-3A4

   5.50%   # ^    10/26/2035      2,183,227

27,100,000

    

Bellemeade Ltd., Series 2019-2A-M1A (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.02%   ^    04/25/2029      27,110,027

4,248,396

    

BRAVO Residential Funding Trust, Series 2019-NQM1-A2

   2.89%   # ^    07/25/2059      4,261,606

6,720,313

    

Bunker Hill Loan Depositary Trust, Series 2019-1-A1

   3.61%      10/26/2048      6,815,386


14,649,471

    

Bunker Hill Loan Depositary Trust, Series 2019-2-A3

   3.19%      07/25/2049      14,779,028

8,409,173

    

CIM Trust, Series 2016-3-A1 (1 Month LIBOR USD + 2.50%, 2.50% Floor)

   4.60%   ^    02/25/2056      8,694,977

335,683

    

CitiCorporationResidential Mortgage Securities, Inc., Series 2007-1-A4

   5.26%   ß    03/25/2037      341,176

37,292,847

    

Citigroup Mortgage Loan Trust, Inc., Series 2018-A-A1

   4.00%   # ^    01/25/2068      37,428,264

4,908,331

    

Citigroup Mortgage Loan Trust, Series 2019-B-A1

   3.26%   # ^    04/25/2066      4,920,211

1,329,491

    

CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10

   5.75%      05/25/2037      1,307,287

205,900

    

Colony American Finance Ltd., Series 2016-1-A

   2.54%   ^    06/15/2048      205,197

9,483,709

    

COLT Mortgage Loan Trust, Series 2018-1-A1

   2.93%   # ^    02/25/2048      9,502,075

24,680

    

Countrywide Alternative Loan Trust, Series 2004-33-1A1

   4.81%   #    12/25/2034      25,524

598,643

    

Countrywide Alternative Loan Trust, Series 2005-23CB-A15

   5.50%      07/25/2035      601,393

2,077,769

    

Countrywide Alternative Loan Trust, Series 2005-28CB-1A6

   5.50%      08/25/2035      2,076,065

2,135,128

    

Countrywide Alternative Loan Trust, Series 2006-J6-A5

   6.00%      09/25/2036      1,753,951

472,588

    

Countrywide Alternative Loan Trust, Series 2007-15CB-A7

   6.00%      07/25/2037      434,050

1,523,280

    

Countrywide Home Loans, Series 2005-10-A2

   5.50%      05/25/2035      1,442,818

838,927

    

Countrywide Home Loans, Series 2007-14-A15

   6.50%      09/25/2037      705,244

2,497

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-8-6A1

   4.50%      12/25/2019      2,495

2,359,780

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-2A1

   6.00%      12/25/2035      2,331,526

97,641

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-8A5

   6.00%      12/25/2035      100,323

890,246

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-5A9

   5.50%      10/25/2035      794,810

1,000,000

    

Credit Suisse Mortgage Capital Certificates, Series 2011-12R-3A5

   4.12%   # ^    07/27/2036      1,000,322

538,194

    

Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9

   3.95%   # ^    11/27/2037      552,040

11,127,888

    

CSMC Trust, Series 2018-RPL7-A1

   4.00%   ^    08/26/2058      11,276,145

35,074,623

    

CSMC Trust, Series 2018-RPL8-A1

   4.13%   # ^    07/25/2058      35,464,849

4,526,562

    

CSMC Trust, Series 2019-JR1-A1

   4.10%   # ^    09/27/2066      4,547,673

19,358,668

    

CSMC Trust, Series 2019-RPL2-A1

   3.92%   ^    07/25/2058      19,678,963

1,482,868

    

Deephaven Residential Mortgage Trust, Series 2017-1A-A1

   2.73%   # ^    12/26/2046      1,482,194

645,175

    

Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-1A2

   6.50%   # ^    07/27/2037      634,172

785,813

    

Deutsche Securities, Inc., Series 2006-AB4-A1A

   6.01%   #    10/25/2036      755,982

12,500,000

    

Eagle Ltd., Series 2019-1-M1A (1 Month LIBOR USD + 1.25%)

   3.27%   ^    04/25/2029      12,512,360

1,884,249

    

Ellington Financial Mortgage Trust, Series 2017-1-A1

   2.69%   # ^    10/25/2047      1,880,057

1,933,200

    

Ellington Financial Mortgage Trust, Series 2017-1-A2

   2.74%   # ^    10/25/2047      1,928,888

1,344,616

    

Ellington Financial Mortgage Trust, Series 2017-1-A3

   2.84%   # ^    10/25/2047      1,342,237

6,236,323

    

GCAT LLC, Series 2018-1-A1

   3.84%      06/25/2048      6,260,458

15,047,058

    

GCAT LLC, Series 2019-1-A1

   4.09%      04/26/2049      15,513,020

9,697,151

    

GCAT LLC, Series 2019-2-A1

   3.47%      06/25/2024      9,741,698

7,439,739

    

GS Mortgage-Backed Securities Trust, Series 2019-SL1-A1

   2.63%   # ^    01/25/2059      7,410,221

1,634,062

    

GSAA Home Equity Trust, Series 2005-11-2A1 (1 Month LIBOR USD + 0.28%, 0.28% Floor)

   2.30%      10/25/2035      1,642,929

572,663

    

GSR Mortgage Loan Trust, Series 2006-2F-3A4

   6.00%      02/25/2036      464,620

1,113,349

    

Impac Secured Assets Trust, Series 2006-5-1A1C (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap)

   2.29%      02/25/2037      1,016,796

1,607,406

    

IndyMac Mortgage Loan Trust, Series 2006-AR5-2A1

   3.78%   #    05/25/2036      1,464,106

9,263,608

    

JP Morgan Alternative Loan Trust, Series 2007-S1-A2 (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.50% Cap)

   2.36%      04/25/2047      8,866,259

14,411,568

    

Legacy Mortgage Asset Trust 2019-GS4, Series 2019-GS4-A1

   3.44%      05/25/2059      14,550,323

15,686,596

    

Legacy Mortgage Asset Trust, Series 2017-GS1-A1

   3.50%      01/25/2057      15,656,825

20,431,207

    

Legacy Mortgage Asset Trust, Series 2018-GS2-A1

   4.00%      04/25/2058      20,693,327

20,851,668

    

Legacy Mortgage Asset Trust, Series 2019-GS3-A1

   3.75%      04/25/2059      21,318,416

1,297,267

    

Legacy Mortgage Asset Trust, Series 2019-GS5-A1

   3.20%      05/25/2059      1,305,051

9,834,806

    

Legacy Mortgage Asset Trust, Series 2019-GS6-A1

   3.00%      06/25/2059      9,906,227

305,198

    

Lehman Mortgage Trust, Series 2006-1-1A3

   5.50%      02/25/2036      255,807

143,935

    

MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1

   4.56%   #    04/25/2036      127,448

457,276

    

Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A6

   6.00%      03/25/2037      323,976

1,684,691

    

Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF2C

   6.25%      08/25/2036      1,160,726

25,774,163

    

Morgan Stanley Capital Trust, Series 2006-HE3-A2D (1 Month LIBOR USD + 0.25%, 0.25% Floor)

   2.27%      04/25/2036      24,725,461

361,179

    

Morgan Stanley Mortgage Loan Trust, Series 2006-2-7A1

   5.67%   #    02/25/2036      313,381

3,500,000

    

Nationstar HECM Loan Trust, Series 2018-1A-M2

   3.47%   # ^    02/25/2028      3,488,303

9,500,000

    

Nationstar HECM Loan Trust, Series 2018-1A-M3

   3.79%   # ^    02/25/2028      9,492,676

7,306,809

    

New Residential Mortgage Loan Trust, Series 2019-RPL1-A1

   4.33%      02/26/2024      7,374,846

939,240

    

Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1-A1

   3.00%      06/25/2057      941,538

1,469,782

    

Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1

   3.00%      07/25/2057      1,472,371

36,088,615

    

Park Avenue Funding Trust, Series 2019-3-PT (1 Month LIBOR USD + 1.50%, 1.50% Floor)

   3.55%   ^    01/27/2021      36,090,196

6,386,792

    

Preston Ridge Partners Mortgage Trust, Series 2017-2A-A1

   3.47%      09/25/2022      6,412,818

574,088

    

Pretium Mortgage Credit Partners LLC, Series 2019-NPL2-A1

   3.84%      12/25/2058      577,205

20,000,000

    

Pretium Mortgage Credit Partners LLC, Series 2019-NPL3-A1

   3.10%      07/27/2059      20,063,464

6,889,307

    

PRPM LLC, Series 2018-1A-A1

   3.75%   # ^    04/25/2023      6,912,886

20,200,972

    

PRPM LLC, Series 2018-2A-A1

   4.00%   # ^    08/25/2023      20,354,710

6,645,065

    

PRPM LLC, Series 2019-2A-A1

   3.97%      04/25/2024      6,720,723

11,003,235

    

PRPM LLC, Series 2019-3A-A1

   3.35%      07/25/2024      11,050,707

22,427,892

    

Radnor Ltd., Series 2019-2-M1A (1 Month LIBOR USD + 1.20%, 1.20% Floor)

   3.22%   ^    06/25/2029      22,440,667

3,777,157

    

RCO Trust, Series 2016-SFR1-A

   3.75%   # ^    11/25/2051      3,865,723

4,649,684

    

RCO Trust, Series 2017-INV1-A

   3.20%   # ^    11/25/2052      4,633,632

2,630,507

    

RCO Trust, Series 2017-INV1-M1

   3.90%   # ^    11/25/2052      2,666,849

1,033,213

    

Residential Accredit Loans, Inc., Series 2006-QS12-2A3

   6.00%      09/25/2036      1,009,765

1,373,314

    

Residential Accredit Loans, Inc., Series 2007-QS9-A33

   6.50%      07/25/2037      1,318,113

850,461

    

Residential Asset Securitization Trust, Series 2006-A2-A11

   6.00%      01/25/2046      606,119

3,226,561

    

Shellpoint Co-Originator Trust, Series 2016-1-1A10

   3.50%   # ^    11/25/2046      3,261,258

4,308,784

    

Soundview Home Loan Trust, Series 2007-OPT3-2A3 (1 Month LIBOR USD + 0.18%, 0.18% Floor)

   2.20%      08/25/2037      4,177,918

12,530,543

    

Starwood Mortgage Residential Trust, Series 2018-IMC1-A3

   3.98%   # ^    03/25/2048      12,782,375

4,315,210

    

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1

   4.49%   #    12/25/2035      4,160,800

14,578,499

    

Towd Point Mortgage Trust, Series 2019-SJ1-A1

   3.75%   # ^    11/25/2058      14,735,527

151,465

    

Velocity Commercial Capital Loan Trust, Series 2016-1-AFX

   3.53%   # ^    04/25/2046      151,187

10,548,712

    

Velocity Commercial Capital Loan Trust, Series 2018-2-A

   4.05%   # ^    10/26/2048      10,766,764

22,327,384

    

Velocity Commercial Capital Loan Trust, Series 2019-2-A

   3.13%   # ^    07/25/2049      22,503,649

18,091,867

    

Vericrest Opportunity Loan Trust, Series 2019-NPL4-A1A

   3.35%      08/25/2049      18,169,502

4,918,703

    

Verus Securitization Trust, Series 2018-1-A1

   2.93%   # ^    02/25/2048      4,930,831

1,532,563

    

Verus Securitization Trust, Series 2018-2-A2

   3.78%   # ^    06/01/2058      1,544,382

1,779,055

    

Verus Securitization Trust, Series 2018-2-A3

   3.83%   # ^    06/01/2058      1,792,755

11,155,389

    

VOLT LLC, Series 2017-NPL9-A1

   3.13%      09/25/2047      11,189,478

1,656,823

    

VOLT LLC, Series 2018-NPL1-A1

   3.75%      04/25/2048      1,663,610

6,315,011

    

VOLT LLC, Series 2018-NPL5-A1A

   4.21%      08/25/2048      6,347,202

19,536,197

    

VOLT LLC, Series 2018-NPL6-A1A

   4.11%      09/25/2048      19,641,671

13,153,938

    

VOLT LLC, Series 2018-NPL7-A1A

   3.97%      09/25/2048      13,250,153

15,700,646

    

VOLT LLC, Series 2018-NPL8-A1A

   4.21%      10/26/2048      15,794,385

4,952,199

    

VOLT LLC, Series 2018-NPL9-A1A

   4.46%      10/25/2048      4,989,367

11,500,000

    

VOLT LLC, Series 2019-NPL6-A1A

   3.23%      10/25/2049      11,598,486

2,724,710

    

Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-8-2CB3 (1 Month LIBOR USD + 0.41%, 0.41% Floor, 5.50% Cap)

   2.43%      10/25/2035      2,543,328

138,965

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A5

   6.00%      07/25/2036      129,167

5,751,303

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-2A1

   3.87%   #    09/25/2036      5,601,343

1,259,531

    

Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1

   6.25%      11/25/2037      1,256,001

3,393,603

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A85

   6.00%      08/25/2037      3,471,566

4,526,464

    

Wells Fargo Mortgage Backed Securities Trust, Series 2007-13-A7

   6.00%      09/25/2037      4,540,802
                 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $885,875,268)

          889,720,412
                 

 

US Corporate Bonds - 5.2%

         

5,140,000

    

AbbVie, Inc.

   3.38%      11/14/2021      5,270,065

5,115,000

    

American Express Company (3 Month LIBOR USD + 0.65%)

   2.78%      02/27/2023      5,127,052

9,745,000

    

Amgen, Inc.

   2.20%      05/11/2020      9,743,525

1,230,000

    

Amgen, Inc.

   2.65%      05/11/2022      1,246,410

5,345,000

    

Analog Devices, Inc.

   2.95%      01/12/2021      5,386,444

9,750,000

    

Anthem, Inc.

   2.50%      11/21/2020      9,785,955

895,000

    

Anthem, Inc.

   3.30%      01/15/2023      924,545

11,030,000

    

AT&T, Inc.

   2.80%      02/17/2021      11,129,015

11,230,000

    

Bank of America Corporation (3 Month LIBOR USD + 0.79%)

   2.92%      03/05/2024      11,254,613

5,685,000

    

BAT Capital Corporation

   2.76%      08/15/2022      5,740,923

5,295,000

    

BB&T Corporation

   2.20%      03/16/2023      5,292,256


5,415,000

    

Capital One Financial Corporation

   2.40%      10/30/2020      5,431,276

10,815,000

    

Cardinal Health, Inc.

   2.62%      06/15/2022      10,873,758

2,975,000

    

Caterpillar Financial Services Corporation

   1.90%      09/06/2022      2,972,457

3,870,000

    

Celgene Corporation

   2.88%      08/15/2020      3,891,910

5,265,000

    

Cigna Corporation

   3.40%      09/17/2021      5,386,964

5,570,000

    

Cintas Corporation

   2.90%      04/01/2022      5,693,865

5,810,000

    

Citigroup, Inc.

   2.75%      04/25/2022      5,898,646

5,850,000

    

Citigroup, Inc. (3 Month LIBOR USD + 1.02%)

   3.16%      06/01/2024      5,892,613

5,100,000

    

Comcast Corporation

   3.45%      10/01/2021      5,253,530

3,205,000

    

Consolidated Edison, Inc.

   2.00%      03/15/2020      3,203,698

2,130,000

    

Consolidated Edison, Inc.

   2.00%      05/15/2021      2,128,272

5,485,000

    

Continental Resources, Inc.

   4.50%      04/15/2023      5,702,126

10,305,000

    

CVS Health Corporation

   3.70%      03/09/2023      10,732,476

4,400,000

    

Daimler Finance North America LLC

   2.30%   ^    02/12/2021      4,404,625

5,405,000

    

Delta Air Lines, Inc.

   3.40%      04/19/2021      5,482,387

2,600,000

    

DTE Energy Company

   2.53%      10/01/2024      2,611,073

3,580,000

    

DuPont de Nemours, Inc.

   3.77%      11/15/2020      3,646,781

700,000

    

DuPont de Nemours, Inc.

   4.21%      11/15/2023      751,047

5,175,000

    

eBay, Inc.

   2.75%      01/30/2023      5,241,228

5,025,000

    

Energy Transfer Operating LP

   4.25%      03/15/2023      5,254,247

4,535,000

    

EQT Corporation

   2.50%      10/01/2020      4,528,524

5,560,000

    

Ford Motor Credit Company LLC (3 Month LIBOR USD + 1.24%)

   3.39%      02/15/2023      5,394,537

5,420,000

    

General Electric Company

   2.70%      10/09/2022      5,435,988

1,930,000

    

General Mills, Inc.

   3.20%      04/16/2021      1,960,126

3,195,000

    

General Mills, Inc.

   3.15%      12/15/2021      3,260,575

1,945,000

    

General Motors Financial Company

   2.65%      04/13/2020      1,947,763

3,440,000

    

General Motors Financial Company

   3.20%      07/06/2021      3,476,158

3,875,000

    

Goldman Sachs Group, Inc.

   2.30%      12/13/2019      3,875,519

3,325,000

    

Goldman Sachs Group, Inc.

   3.20%      06/05/2020      3,350,780

3,690,000

    

Goldman Sachs Group, Inc.

   2.35%      11/15/2021      3,694,484

7,065,000

    

JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%)

   3.21%      04/01/2023      7,236,425

620,000

    

Kinder Morgan Energy Partners LP

   6.85%      02/15/2020      630,453

3,000,000

    

Kinder Morgan Energy Partners LP

   3.95%      09/01/2022      3,124,064

7,265,000

    

Kinder Morgan, Inc.

   3.05%      12/01/2019      7,269,197

4,785,000

    

Marathon Petroleum Corporation

   4.75%      12/15/2023      5,196,327

4,100,000

    

Marsh & McLennan Companies, Inc. (3 Month LIBOR USD + 1.20%)

   3.30%      12/29/2021      4,108,295

5,020,000

    

Microchip Technology, Inc.

   3.92%      06/01/2021      5,129,174

9,545,000

    

Mondelez International, Inc.

   3.00%      05/07/2020      9,594,974

980,000

    

Mondelez International, Inc.

   3.63%      05/07/2023      1,026,066

10,863,000

    

Morgan Stanley (3 Month LIBOR USD + 0.93%)

   3.21%      07/22/2022      10,948,151

4,660,000

    

NextEra Energy Capital Holdings, Inc.

   3.34%      09/01/2020      4,713,224

320,000

    

NextEra Energy Capital Holdings. Inc.

   2.90%      04/01/2022      326,086

10,919,000

    

Northrop Grumman Corporation

   2.08%      10/15/2020      10,924,444

2,860,000

    

Occidental Petroleum Corporation

   2.70%      08/15/2022      2,886,217

4,345,000

    

PayPal Holdings, Inc.

   2.20%      09/26/2022      4,358,118

5,375,000

    

Penske Truck Leasing Company

   2.70%   ^    11/01/2024      5,393,188

2,395,000

    

PNC Bank

   2.45%      11/05/2020      2,406,088

2,500,000

    

PNC Funding Corporation

   3.30%      03/08/2022      2,580,710

2,220,000

    

Prudential Financial, Inc.

   4.50%      11/15/2020      2,280,201

865,000

    

Prudential Financial, Inc.

   4.50%      11/16/2021      907,588

6,800,000

    

Prudential Financial, Inc.

   3.50%      05/15/2024      7,242,286

4,625,000

    

PSEG Power LLC

   3.85%      06/01/2023      4,893,867

2,430,000

    

Republic Services, Inc.

   2.50%      08/15/2024      2,459,527

2,715,000

    

Reynolds American, Inc.

   3.25%      06/12/2020      2,732,513

1,900,000

    

Reynolds American, Inc.

   4.00%      06/12/2022      1,980,115

5,165,000

    

Schlumberger Holdings Corporation

   3.75%   ^    05/01/2024      5,443,504

5,140,000

    

Simon Property Group LP

   2.00%      09/13/2024      5,091,012

5,000,000

    

Synchrony Financial

   3.75%      08/15/2021      5,117,783

10,430,000

    

Thermo Fisher Scientific, Inc.

   3.60%      08/15/2021      10,695,072

4,960,000

    

Union Pacific Corporation

   3.20%      06/08/2021      5,047,285

5,045,000

    

Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%)

   3.26%      05/15/2025      5,127,071

5,805,000

    

Volkswagen Group of America Finance LLC

   4.00%   ^    11/12/2021      6,001,239

5,275,000

    

Waste Management, Inc.

   2.95%      06/15/2024      5,457,936

600,000

    

Wells Fargo & Company

   2.15%      01/30/2020      599,850

10,274,000

    

Wells Fargo & Company

   2.60%      01/15/2021      10,349,624

5,265,000

    

Welltower, Inc.

   3.63%      03/15/2024      5,531,866
                 

 

Total US Corporate Bonds (Cost $378,757,812)

          383,087,776
                 

 

US Government and Agency Mortgage Backed Obligations - 8.0%

         

31,628,064

    

Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1

   1.44%   # I/O    03/25/2023      1,159,630

7,591,760

    

Federal Home Loan Mortgage Corporation Pool 2B1122 (12 Month LIBOR USD + 1.65%, 7.14% Cap)

   2.14%      02/01/2043      7,765,239

1,708,688

    

Federal Home Loan Mortgage Corporation, Pool G08626

   3.00%      02/01/2045      1,752,752

1,811,090

    

Federal Home Loan Mortgage Corporation, Pool G08631

   3.00%      03/01/2045      1,857,619

14,348,543

    

Federal Home Loan Mortgage Corporation, Pool G18660

   3.50%      09/01/2032      14,903,733

39,026,492

    

Federal Home Loan Mortgage Corporation, Pool SB0048

   3.00%      08/01/2034      40,081,104


75,000,000

    

Federal Home Loan Mortgage Corporation, Pool SB8011

   3.00%      10/01/2034      76,748,377

27,880,360

    

Federal Home Loan Mortgage Corporation, Pool SB8013

   2.50%      09/01/2034      28,132,949

782,598

    

Federal Home Loan Mortgage Corporation, Pool U79016

   2.50%      05/01/2028      789,950

13,104,782

    

Federal Home Loan Mortgage Corporation, Series 0-4771-NA

   4.00%      11/15/2042      13,319,591

11,498,202

    

Federal Home Loan Mortgage Corporation, Series 0-4824-EA

   4.50%      02/15/2045      11,783,630

540,383

    

Federal Home Loan Mortgage Corporation, Series 3417-SM (-1 x 1 Month LIBOR USD + 6.28%, 6.28% Cap)

   4.25%   I/F I/O    02/15/2038      102,495

11,127,786

    

Federal Home Loan Mortgage Corporation, Series 356-F5 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap)

   2.53%      09/15/2047      11,178,941

8,734,602

    

Federal Home Loan Mortgage Corporation, Series 4060-QA

   1.50%      09/15/2026      8,644,663

8,322,553

    

Federal Home Loan Mortgage Corporation, Series 4125-FA (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

   2.38%      11/15/2042      8,289,579

1,648,678

    

Federal Home Loan Mortgage Corporation, Series 4471-GA

   3.00%      02/15/2044      1,698,720

14,415,694

    

Federal Home Loan Mortgage Corporation, Series 4718-FA (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

   2.38%      09/15/2047      14,345,149

16,358,568

    

Federal Home Loan Mortgage Corporation, Series 4734-A

   3.00%      07/15/2042      16,580,115

18,593,652

    

Federal Home Loan Mortgage Corporation, Series 4738-LA

   3.00%      11/15/2043      19,028,446

5,674,278

    

Federal National Mortgage Association Pass-Thru, Pool AL2987 (12 Month LIBOR USD + 1.63%, 7.33% Cap)

   3.10%      11/01/2042      5,833,627

768,105

    

Federal National Mortgage Association Pass-Thru, Pool AL3797

   2.50%      06/01/2028      774,864

7,639,578

    

Federal National Mortgage Association Pass-Thru, Pool AP7870 (12 Month LIBOR USD + 1.70%, 7.49% Cap)

   4.31%      07/01/2042      7,930,511

2,547,760

    

Federal National Mortgage Association Pass-Thru, Pool AS4645

   3.00%      03/01/2045      2,610,982

474,116

    

Federal National Mortgage Association Pass-Thru, Pool MA1200

   3.00%      10/01/2032      489,063

4,555,642

    

Federal National Mortgage Association Pass-Thru, Pool MA2270

   3.00%      05/01/2045      4,599,473

3,342,718

    

Federal National Mortgage Association, Pool BM3520 (12 Month LIBOR USD + 1.56%, 1.56% Floor, 7.00% Cap)

   2.03%      05/01/2045      3,387,943

17,296,321

    

Federal National Mortgage Association, Pool BM5112

   3.00%      11/01/2033      17,820,478

8,937,382

    

Federal National Mortgage Association, Series 2011-63-FX (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap)

   2.37%      07/25/2041      8,934,088

939,037

    

Federal National Mortgage Association, Series 2012-134-FT (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

   2.37%      12/25/2042      936,315

2,945,075

    

Federal National Mortgage Association, Series 2012-32-DA

   2.00%      11/25/2026      2,935,326

21,107,383

    

Federal National Mortgage Association, Series 2012-56-FK (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

   2.47%      06/25/2042      21,143,665

10,159,844

    

Federal National Mortgage Association, Series 2013-20-FE (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

   2.37%      03/25/2043      10,129,821

4,916,930

    

Federal National Mortgage Association, Series 2013-40-KP

   3.50%      04/25/2042      5,051,265

2,724,190

    

Federal National Mortgage Association, Series 2014-66-QE

   2.00%      01/25/2040      2,717,114

4,554,986

    

Federal National Mortgage Association, Series 2015-59-A

   3.00%      06/25/2041      4,597,152

2,632,247

    

Federal National Mortgage Association, Series 2015-9-HA

   3.00%      01/25/2045      2,704,398

7,501,986

    

Federal National Mortgage Association, Series 2016-72-PA

   3.00%      07/25/2046      7,682,577

3,669,798

    

Federal National Mortgage Association, Series 2017-116-FB (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap)

   2.29%      05/20/2044      3,657,820

7,747,478

    

Federal National Mortgage Association, Series 2017-13-ML

   3.00%      08/25/2041      8,016,159

6,958,748

    

Federal National Mortgage Association, Series 2017-2-HA

   3.00%      09/25/2041      7,022,983

6,443,296

    

Federal National Mortgage Association, Series 2017-4-CH

   3.00%      06/25/2042      6,548,193

18,760,198

    

Federal National Mortgage Association, Series 2017-96-FA (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap)

   2.42%      12/25/2057      18,868,603

13,216,118

    

Federal National Mortgage Association, Series 2018-15-JF (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      03/25/2048      13,196,118

9,344,822

    

Federal National Mortgage Association, Series 2018-16-FN (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap)

   2.27%      03/25/2048      9,335,423

10,726,712

    

Federal National Mortgage Association, Series 2018-31-FD (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      05/25/2048      10,707,257

11,772,482

    

Federal National Mortgage Association, Series 2018-49-FB (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      07/25/2048      11,712,751

16,924,642

    

Federal National Mortgage Association, Series 2018-55-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      08/25/2048      16,877,968

16,877,184

    

Federal National Mortgage Association, Series 2018-57-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      08/25/2048      16,825,598

7,436,203

    

Federal National Mortgage Association, Series 2018-63-FC (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      09/25/2048      7,414,050

12,966,590

    

Federal National Mortgage Association, Series 2018-64-FA (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

   2.37%      09/25/2048      12,863,578

19,842,632

    

Federal National Mortgage Association, Series 2018-70-HF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

   2.37%      10/25/2058      19,796,137

18,703,234

    

Federal National Mortgage Association, Series 2018-77-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      10/25/2048      18,552,123

8,106,807

    

Federal National Mortgage Association, Series 2018-80-FG (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)

   2.37%      10/25/2048      8,101,147

10,059,015

    

Government National Mortgage Association, Series 2019-42-FK (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap)

   2.49%      04/20/2049      10,067,716
                 

 

Total US Government and Agency Mortgage Backed Obligations (Cost $585,414,561)

          588,004,968
                 

 

US Government and Agency Obligations - 10.3%

         

156,000,000

    

United States Treasury Notes

   2.25%      03/31/2020      156,289,453

222,300,000

    

United States Treasury Notes

   1.63%      04/30/2023      222,669,054

331,900,000

    

United States Treasury Notes

   2.25%      12/31/2023      341,189,310

39,100,000

    

United States Treasury Notes

   1.75%      06/30/2024      39,441,361
                 

 

Total US Government and Agency Obligations (Cost $748,753,746)

          759,589,178
                 

 

Affiliated Mutual Funds - 4.1%

         

29,875,562

    

DoubleLine Ultra Short Bond Fund (Class I)

             300,249,400
                 

 

Total Affiliated Mutual Funds (Cost $299,900,100)

          300,249,400
                 

 

Warrants - 0.0%

         

29,232

    

OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ

             -
                 

 

Total Warrants (Cost $–)

          -
                 

 

Short Term Investments - 13.6%

         

154,122,173

    

First American Government Obligations Fund - Class U

   1.88%           154,122,173

154,122,173

    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

   1.83%           154,122,173

154,122,173

    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

   1.83%           154,122,173

65,900,000

    

United States Treasury Bills

   0.00%      10/10/2019      65,870,771

131,900,000

    

United States Treasury Bills

   0.00%      11/07/2019      131,667,733

79,300,000

    

United States Treasury Bills

   0.00%      12/05/2019      79,045,675

172,300,000

    

United States Treasury Bills

   0.00%      01/30/2020      171,271,581

92,800,000

    

United States Treasury Bills

   0.00%      02/06/2020      92,210,479
                 

 

Total Short Term Investments (Cost $1,002,161,020)

          1,002,432,758
                 

 

Total Investments - 98.1% (Cost $7,215,579,181)

          7,234,544,914

Other Assets in Excess of Liabilities - 1.9%

          143,395,440
                 

 

NET ASSETS - 100.0%

          $    7,377,940,354
                 

 

 

^    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.
Þ    Value determined using significant unobservable inputs.
#    Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.
±    Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of September 30, 2019.
§    The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.
W    Security is in default or has failed to make a scheduled payment. Income is not being accrued.
   Perpetual Maturity
I/O    Interest only security
P/O    Principal only security
ß    The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of September 30, 2019.
I/F    Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
&    Unfunded or partially unfunded loan commitment. At September 30, 2019, the value of these securities amounted to $688,669 or 0.0% 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.
   Seven-day yield as of September 30, 2019
~    Represents less than 0.05% of net assets
BRL    Brazilian Real
*    Non-income producing security


SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Short Term Investments

   13.6%  

Non-Agency Commercial Mortgage Backed Obligations

   13.2%  

Non-Agency Residential Collateralized Mortgage Obligations

   12.1%  

Collateralized Loan Obligations

   11.9%  

US Government and Agency Obligations

   10.3%  

Foreign Corporate Bonds

   8.3%  

US Government and Agency Mortgage Backed Obligations

   8.0%  

Asset Backed Obligations

   6.6%  

US Corporate Bonds

   5.2%  

Bank Loans

   4.1%  

Affiliated Mutual Funds

   4.1%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

   0.7%  

Warrants

   0.0%   ~

Other Assets and Liabilities

   1.9%  
  

 

 
                 100.0%    
  

 

 


INVESTMENT BREAKDOWN as a % of Net Assets:

 

Short Term Investments

   13.6%  

Non-Agency Commercial Mortgage Backed Obligations

  

13.2%

 

Non-Agency Residential Collateralized Mortgage Obligations

   12.1%  

Collateralized Loan Obligations

   11.9%  

US Government and Agency Obligations

   10.3%  

US Government and Agency Mortgage Backed Obligations

   8.0%  

Asset Backed Obligations

   6.6%  

Banking

  

4.9%

 

Affiliated Mutual Funds

   4.1%  

Energy

   2.2%  

Healthcare

   1.3%  

Telecommunications

   1.0%  

Pharmaceuticals

   0.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

   0.7%  

Utilities

   0.7%  

Transportation

   0.6%  

Electronics/Electric

   0.6%  

Media

   0.5%  

Finance

   0.4%  

Chemicals/Plastics

   0.4%  

Automotive

   0.4%  

Business Equipment and Services

   0.3%  

Insurance

   0.3%  

Aerospace & Defense

   0.3%  

Food Products

   0.3%  

Consumer Products

   0.3%  

Mining

   0.2%  

Technology

   0.2%  

Building and Development (including Steel/Metals)

   0.2%  

Hotels/Motels/Inns and Casinos

   0.2%  

Industrial Equipment

   0.2%  

Leisure

   0.2%  

Beverage and Tobacco

   0.1%  

Real Estate

   0.1%  

Food Service

   0.1%  

Conglomerates

   0.1%  

Pulp & Paper

   0.1%  

Retailers (other than Food/Drug)

   0.1%  

Containers and Glass Products

   0.1%  

Environmental Control

   0.1%  

Financial Intermediaries

   0.1%  

Diversified Manufacturing

   0.1%  

Commercial Services

   0.1%  

Chemical Products

   0.1%  

Food/Drug Retailers

   0.0%   ~

Construction

   0.0%   ~

Cosmetics/Toiletries

   0.0%   ~

Other Assets and Liabilities

   1.9%  
  

 

 
                 100.0%    
  

 

 


EXCESS RETURN SWAPS                              
Reference Entity    Counterparty   Long/Short   Financing Rate   Payment
Frequency
  Termination
Date
    Notional Amount    

Unrealized

Appreciation

(Depreciation) /

Value

 

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     09/15/2020       100,000,000     $     (2,746,295

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     09/02/2020       100,000,000       (2,351,347

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     09/01/2020       100,000,000       (1,871,169

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     10/03/2019       100,800,000       (1,445,911

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     11/04/2020       100,000,000       (1,324,833

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     10/01/2019       125,100,000       (895,555

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     09/16/2020       100,000,000       (830,623

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     11/11/2020       100,000,000       (432,249

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     11/17/2020       100,000,000       (384,091

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     10/10/2019       84,900,000       (193,206

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     11/12/2020       100,000,000       7,325  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     09/29/2020       50,000,000       32,541  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     09/22/2020       100,000,000       62,451  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     05/19/2020       100,000,000       124,218  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     05/27/2020       100,000,000       169,913  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     10/08/2019       100,000,000       582,202  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     07/16/2020       50,000,000       612,227  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     11/05/2020       90,000,000       619,802  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     11/10/2020       100,000,000       688,669  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     08/06/2020       100,000,000       992,863  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     11/03/2020       100,000,000       1,100,079  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     08/04/2020       100,000,000       1,121,233  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     06/10/2020       100,000,000       1,169,624  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     10/20/2020       100,000,000       1,319,391  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     08/05/2020       100,000,000       1,338,748  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     07/21/2020       100,000,000       1,376,214  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     05/05/2020       75,000,000       1,390,790  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     08/13/2020       100,000,000       1,570,422  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     09/08/2020       100,000,000       1,668,044  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     10/13/2020       100,000,000       1,697,749  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     05/28/2020       100,000,000       1,717,982  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     07/09/2020       100,000,000       1,718,592  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     05/07/2020       100,000,000       1,844,962  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     05/13/2020       100,000,000       1,859,684  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     07/07/2020       100,000,000       2,080,401  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     07/22/2020       100,000,000       2,263,962  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     05/12/2020       100,000,000       2,371,235  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     10/07/2020       100,000,000       2,419,375  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     06/11/2020       100,000,000       2,556,260  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     10/14/2020       100,000,000       2,908,199  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     07/08/2020       100,000,000       3,185,217  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     08/20/2020       100,000,000       3,234,329  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     10/06/2020       100,000,000       3,236,849  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     09/09/2020       100,000,000       3,314,346  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     08/26/2020       100,000,000       3,314,346  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     06/23/2020       100,000,000       3,331,441  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     06/24/2020       100,000,000       3,433,627  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     03/10/2020       50,000,000       3,688,817  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     10/27/2020       100,000,000       3,870,875  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     04/21/2020       100,000,000       4,009,021  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     06/25/2020       100,000,000       4,122,858  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     04/28/2020       100,000,000       4,365,028  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     06/09/2020       100,000,000       4,518,196  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     10/29/2019       100,000,000       4,613,038  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     05/06/2020       100,000,000       4,613,454  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     11/05/2019       100,000,000       4,653,383  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     11/06/2019       50,000,000       4,850,780  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     04/22/2020       100,000,000       5,275,647  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     04/14/2020       100,000,000       6,006,178  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     04/07/2020       100,000,000       6,234,548  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     04/08/2020       100,000,000       6,315,316  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     03/24/2020       100,000,000       6,374,311  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     11/12/2019       100,000,000       6,515,293  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     10/22/2019       100,000,000       6,568,689  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     03/04/2020       100,000,000       7,371,360  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     03/03/2020       100,000,000       7,658,284  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     02/27/2020       100,000,000       7,731,679  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     10/15/2019       100,000,000       8,529,742  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     11/19/2019       100,000,000       11,188,359  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   BNP Paribas   Long   0.39%   Termination     02/26/2020       100,000,000       11,657,879  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     01/21/2020       75,000,000       11,755,354  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Barclays Capital, Inc.   Long   0.40%   Termination     02/13/2020       100,000,000       13,495,243  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Bank of America Merrill Lynch   Long   0.38%   Termination     02/25/2020       100,000,000       13,549,307  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   Canadian Imperial Bank of Commerce   Long   0.40%   Termination     01/28/2020       100,000,000       14,238,179  
               $  243,730,851  
                    

 

¤

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 of equity securities of companies in the relevant sector. Information on the sector constituents as of September 30, 2019, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E.


A summary of the DoubleLine Shiller Enhanced CAPE®’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

                                       

Change in

Unrealized

for the

    

Dividend Income

Earned in the

    

Net Realized

Gain

(Loss)

in the

 
     Value at                    Shares Held at      Value at      Period Ended      Period Ended      Period Ended  
Fund   

March 31,

2019

    

Gross

Purchases

    

Gross

Sales

    

September 30,

2019

    

September 30,

2019

    

September 30,

2019

    

September 30,

2019

    

September 30,

2019

 

DoubleLine Ultra Short Bond Fund (Class I)

   $  199,950,099      $  100,000,000      $  -        29,875,562      $  300,249,400      $  299,301      $  2,906,912      $  -  
   $  199,950,099      $  100,000,000      $ -        29,875,562      $ 300,249,400      $ 299,301      $ 2,906,912      $ -  


 

DoubleLine Flexible Income Fund

Schedule of Investments

September 30, 2019 (Unaudited)

 

 

Principal Amount

$/Shares

      

Security Description

  

Rate

      

Maturity

      

Value $

Asset Backed Obligations - 4.4%

         

3,007,219

    

Castlelake Aircraft Securitization Trust, Series 2018-1-B

   5.30%   ^    06/15/2043      3,093,845

2,820,515

    

Castlelake Aircraft Securitization Trust, Series 2019-1A-C

   6.90%   ^    04/15/2039      2,845,809

22,443

    

Citi Held For Asset Issuance, Series 2015-PM1-C

   5.01%   ^    12/15/2021      22,458

1,275,867

    

ECAF Ltd., Series 2015-1A-A2

   4.95%   ^    06/15/2040      1,279,056

6,250,000

    

ExteNet Issuer LLC, Series 2019-1A-C

   5.22%   ^    07/26/2049      6,302,871

4,505,111

    

Harley Marine Financing LLC, Series 2018-1A-A2

   5.68%   ^    05/15/2043      4,005,954

4,937,955

    

Helios Issuer LLC, Series 2017-1A-A

   4.94%   ^    09/20/2049      5,177,137

1,976,190

    

Horizon Aircraft Finance Ltd., Series 2019-1-C

   6.90%   ^    07/15/2039      2,030,789

1,960,000

    

Jimmy Johns Funding LLC, Series 2017-1A-A2II

   4.85%   ^    07/30/2047      2,074,276

1,200,372

    

JOL Air Ltd., Series 2019-1-B

   4.95%   ^    04/15/2044      1,203,252

174,654

    

Marlette Funding Trust, Series 2018-1A-A

   2.61%   ^    03/15/2028      174,685

5,365,000

    

Mosaic Solar Loan Trust, Series 2018-1A-C

   0.00%   ^ P/O    06/22/2043      4,485,922

59,883

    

SoFi Consumer Loan Program Trust, Series 2016-2-A

   3.09%   ^    10/27/2025      60,113

418,692

    

SoFi Consumer Loan Program Trust, Series 2017-1-A

   3.28%   ^    01/26/2026      421,698

500,000

    

SoFi Consumer Loan Program Trust, Series 2017-1-B

   4.73%   # ^    01/26/2026      517,425

452,473

    

SoFi Consumer Loan Program Trust, Series 2017-2-A

   3.28%   ^    02/25/2026      456,073

896,980

    

SoFi Consumer Loan Program Trust, Series 2017-5-A2

   2.78%   ^    09/25/2026      899,569

105,240

    

SoFi Consumer Loan Program Trust, Series 2018-1-A1

   2.55%   ^    02/25/2027      105,259

147,119

    

SoFi Consumer Loan Program Trust, Series 2018-2-A1

   2.93%   ^    04/26/2027      147,258

408,849

    

Springleaf Funding Trust, Series 2016-AA-A

   2.90%   ^    11/15/2029      408,947

2,000,000

    

Springleaf Funding Trust, Series 2017-AA-A

   2.68%   ^    07/15/2030      2,005,366

2,053,228

    

Sunnova Helios Issuer LLC, Series 2019-AA-B

   4.49%   ^    06/20/2046      2,078,554

2,932,500

    

Taco Bell Funding LLC, Series 2016-1A-A2II

   4.38%   ^    05/25/2046      2,981,243

4,940,463

    

Vivint Colar Financing LLC, Series 2018-1A-A

   4.73%   ^    04/30/2048      5,268,277

8,750,000

    

Wave LLC

   6.41%   ^    09/15/2044      8,749,820

1,430,442

    

Willis Engine Structured Trust, Series 2018-A-A

   4.75%      09/15/2043      1,495,806

4,950,000

    

Zephyrus Capital Aviation Partners Ltd., Series 2018-1-A

   4.61%   ^    10/15/2038      4,988,229
                 

 

Total Asset Backed Obligations (Cost $62,553,324)

          63,279,691
         

 

Bank Loans - 4.9%

         

59,550

    

8th Avenue Food & Provisions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/01/2025      59,842

218,319

    

Acadia Healthcare Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      02/16/2023      218,916

281,563

    

Access CIG LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.78%      02/27/2025      278,573

218,900

    

Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.06%      10/13/2025      219,310

428,238

    

Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.35%      11/22/2023      427,034

125,000

    

Advanced Drainage Systems, Inc., Senior Secured First Lien Term Loan

   4.34%   ±    09/24/2026      125,729

233,825

    

Agiliti Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.06%      01/05/2026      233,825

292,770

    

Air Medical Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.31%      04/28/2022      274,778

491,403

    

Air Methods Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      04/22/2024      401,477

82,707

    

Albertson’s LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      11/17/2025      83,307

198,438

    

Albertson’s LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      08/17/2026      199,909

450,000

    

Aldevron LLC, Senior Secured First Lien Term Loan

   6.34%   ±    09/20/2026      452,250

203,873

    

Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.54%      08/01/2025      205,657

422,537

    

Aleris International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

   6.79%      02/27/2023      423,752

160,610

    

AlixPartners LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/04/2024      160,978

259,350

    

Alliant Holdings Intermediate LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      05/09/2025      257,891

31,532

    

Allied Universal Holdco LLC, Senior Secured First Lien Term Loan

   6.57%   ±    07/12/2026      31,615

318,468

    

Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%)

   6.51%      07/10/2026      319,314

121,084

    

Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.70%      06/13/2024      118,063

487,484

    

Alterra Mountain Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      07/31/2024      489,770

160,000

    

American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.03%      12/15/2023      160,114

304,779

    

American Renal Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   7.04%      06/21/2024      297,446

308,709

    

American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 7.50%, 1.00% Floor)

   9.62%      09/02/2024      272,898

420,677

    

Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.10%      09/19/2024      420,559

405,000

    

Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%)

   3.79%      03/11/2025      406,098

144,185

    

Arctic Glacier U.S.A., Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      03/20/2024      140,760

466,316

    

Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      07/12/2024      465,222

464,470

    

AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.54%      10/22/2024      463,237

21,064

    

Asurion LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      11/04/2024      21,162

102,881

    

Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)

   8.54%      08/04/2025      104,668

391,522

    

Asurion, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      11/03/2023      393,480

347,067

    

Athenahealth, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

   6.68%      02/11/2026      346,742

421,809

    

Auris Luxembourg III Sarl, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      02/27/2026      420,095

370,797

    

Avantor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      11/21/2024      374,158
    

Avaya, Inc., Senior Secured First Lien Term Loan

            

156,723

    

  (1 Month LIBOR USD + 4.25%)

   6.28%      12/16/2024      149,328

92,044

    

  (1 Month LIBOR USD + 4.25%)

   6.43%      12/16/2024      87,701

165,000

    

Azalea TopCo, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      07/27/2026      164,794

113,838

    

Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)

   7.04%      09/25/2024      109,854

345,625

    

Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      11/27/2025      346,728

120,583

    

Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      06/02/2025      121,211

53,400

    

Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.30%      10/01/2022      53,716

508,725

    

Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.55%      07/01/2026      511,770

422,249

    

BJ’s Wholesale Club, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/02/2024      424,096

418,811

    

Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      06/16/2025      418,112

433,913

    

Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.66%      09/30/2024      436,314

181,094

    

Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)

   6.29%      10/02/2025      174,590

368,086

    

Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      05/21/2025      340,709
    

Bright Bidco B.V., Senior Secured First Lien Term Loan

            

170,264

    

  (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      06/28/2024      81,804


83,862

    

  (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      06/28/2024      40,292

291,713

    

Brookfield WEC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)

   5.54%      08/01/2025      293,008

674,944

    

Burger King Restaurant Brands, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)

   4.29%      02/16/2024      677,982

50,000

    

Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      08/12/2026      50,174

428,925

    

Calpine Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.86%      04/06/2026      430,561

424,610

    

Canyon Valor Companies, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      06/16/2023      424,610

429,686

    

Capri Acquisitions BidCo Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

   5.26%      11/01/2024      425,254

432,825

    

Catalent Pharma Solutions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      05/18/2026      434,719

296,503

    

CBS Radio Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.80%      11/18/2024      297,244

434,149

    

Cengage Learning, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      06/07/2023      412,322

243,415

    

CEOC LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      10/04/2024      243,567

411,325

    

Change Healthcare Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      03/01/2024      409,963

84,788

    

Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      05/16/2024      84,982

419,087

    

CHG Healthcare Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      06/07/2023      419,480

349,520

    

CHG PPC Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      03/31/2025      350,393

179,050

    

Cincinnati Bell, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      10/02/2024      178,875

210,000

    

Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      08/21/2026      210,881

224,695

    

ClubCorporationHoldings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      09/18/2024      201,009

177,524

    

CommScope, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      04/06/2026      177,207

293,323

    

Compass Power Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      12/20/2024      294,240

598,494

    

Concentra, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

   4.54%      06/01/2022      602,982

169,735

    

Covia Holdings Corporation, Senior Secured First Lien Term Loan (1 Week LIBOR USD + 3.75%, 1.00% Floor)

   6.04%      06/02/2025      139,318

379,037

    

CPI Holdco LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      03/21/2024      379,274

94,288

    

CPM Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      11/17/2025      93,227

254,420

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.28%      07/17/2025      254,670

134,325

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.28%      01/15/2026      134,459

309,225

    

CSC Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%)

   5.18%      04/15/2027      309,933

369,998

    

CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.29%      07/03/2020      345,948

363,732

    

Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.79%      11/29/2024      359,754

298,276

    

Cyxtera DC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      05/01/2024      270,472

165,000

    

DaVita, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      08/12/2026      166,125

182,004

    

Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      02/13/2025      179,319

679,433

    

Dell International LLC, Senior Secured First Lien Term Loan

   4.05%   ±    09/19/2025      683,438

293,428

    

Delta 2 SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      02/01/2024      290,420

281,027

    

DentalCorporationPerfect Smile ULC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.79%      06/06/2025      276,870

80,000

    

Diamond Sports Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      08/24/2026      80,575

156,370

    

Digicel International Finance Ltd., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.25%)

   5.34%      05/27/2024      136,075

270,000

    

DigiCert Holdings, Inc., Senior Secured First Lien Term Loan

   6.26%   ±    08/08/2026      269,494

100,804

    

Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      04/06/2026      101,402

54,196

    

Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      04/06/2026      54,517

61,171

    

Dynatrace LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   4.79%      08/22/2025      61,502

323,375

    

E.W. Scripps Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      05/01/2026      324,103

423,741

    

EAB Global, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor)

   6.38%      11/15/2024      419,326

348,053

    

Edgewater Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      12/12/2025      344,574

281,135

    

EG America LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.10%      02/06/2025      278,429

217,820

    

Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/10/2025      178,408

434,070

    

Equinox Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      03/08/2024      434,884

184,135

    

ESH Hospitality, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      09/18/2026      185,214

416,727

    

Excelitas Technologies Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.60%      12/02/2024      417,511

73,711

    

Exgen Renewables IV LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.13%      11/29/2024      72,306

180,000

    

Explorer Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.85%      05/02/2023      179,915

380,336

    

Filtration Group Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      03/31/2025      381,829

356,899

    

Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      10/01/2025      359,204

185,000

    

Flex Acquisition Company, Inc., Senior Secured First Lien Term Loan

   5.35%   ±    06/29/2025      178,641

150,799

    

Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      08/01/2024      130,724

419,417

    

Flexera Software LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.55%      02/26/2025      420,816

531,271

    

Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)

   7.87%      03/28/2022      292,643

392,038

    

Forest City Enterprises, LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.04%      12/08/2025      395,407

227,344

    

Forterra Finance, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      10/25/2023      215,693

214,528

    

Frontdoor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.56%      08/18/2025      216,004

178,291

    

Frontera Generation Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      05/02/2025      168,931

1,016,146

    

Garda World Security Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)

   7.50%      05/24/2024      1,018,366

178,261

    

Gates Global LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/01/2024      175,851

175,000

    

Gavilan Resources LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)

   8.04%      03/01/2024      79,042

440,500

    

Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/01/2023      438,663

555,744

    

Gentiva Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.81%      07/02/2025      559,565

218,649

    

Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.56%      02/19/2026      218,284

386,311

    

Go Daddy Operating Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      02/15/2024      387,424

384,387

    

GOBP Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.76%      10/22/2025      386,911

498,331

    

GoodRX, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   4.81%      10/10/2025      498,954

354,863

    

GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      02/12/2025      346,138

105,000

    

Granite Holdings Acquisition Company, Senior Secured First Lien Term Loan

   7.32%   ±    09/25/2026      102,506

703,051

    

Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.51%      01/02/2026      706,517

403,730

    

GTT Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      06/02/2025      326,705
    

Gulf Finance LLC, Senior Secured First Lien Term Loan

            

129,881

    

  (3 Month LIBOR USD + 5.25%, 1.00% Floor)

   7.36%      08/25/2023      99,522

221,148

    

  (3 Month LIBOR USD + 5.25%, 1.00% Floor)

   7.29%      08/25/2023      169,456

177,994

    

Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.54%      08/18/2023      173,226

110,681

    

Hayward Industries, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      08/05/2024      107,222

415,000

    

HC Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%

   6.54%      08/06/2026      415,000

174,563

    

Hexion, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      07/01/2026      174,563

696,560

    

Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan

   3.77%   ±    06/22/2026      701,481

423,162

    

Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor)

   5.29%      07/01/2024      423,638

106,771

    

Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor)

   9.04%      07/07/2025      107,472

98,500

    

IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.31%      06/29/2026      99,116

169,516

    

IHeartCommunications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.03%      05/01/2026      170,817

401,114

    

Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      08/05/2022      403,204


175,000

    

Inmarsat PLC, Senior Secured First Lien Term Loan

   6.59%   ±    09/23/2026      172,553

177,473

    

Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.80%      11/27/2023      178,222

142,973

    

ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.10%      11/21/2024      136,468

702,061

    

IQVIA, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%)

   4.10%      01/17/2025      706,448

470,611

    

IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.55%      02/05/2025      469,173

175,350

    

IRI Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)

   6.62%      12/01/2025      169,158

568,007

    

Jaguar Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)

   4.54%      08/18/2022      569,104

542,275

    

JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      05/01/2026      545,439
    

Jo-Ann Stores LLC, Senior Secured First Lien Term Loan

            

314,646

    

  (3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.26%      10/20/2023      218,023

13,110

    

  (3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.05%      10/20/2023      9,084

364,200

    

KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.31%      09/19/2026      366,364

276,310

    

KBR, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      04/25/2025      277,434

320,000

    

Kestrel Bidco, Inc., Senior Secured First Lien Term Loan

   5.27%   ±    10/08/2026      322,776

177,345

    

Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.06%      07/02/2025      178,010

196,257

    

Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.29%      06/30/2022      174,424

372,608

    

Kronos Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.26%      05/15/2023      354,443

395,634

    

Kronos, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.25%      11/01/2023      396,803

350,311

    

Learfield Communications LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.30%      12/01/2023      351,975

160,000

    

Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      02/22/2024      160,500

393,306

    

Life Time Fitness, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.87%      06/10/2022      393,910

213,235

    

Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      03/24/2025      213,102

348,678

    

Lower Cadence Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      05/22/2026      340,725

362,036

    

Lucid Energy Group II Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      02/18/2025      343,707

32,281

    

Mavis Tire Express Services Corporation, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%   &    03/20/2025      31,676

253,784

    

Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      03/20/2025      249,025

211,256

    

McDermott International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)

   7.10%      05/12/2025      134,465

33,968

    

MED ParentCo LP, Senior Secured First Lien Term Loan

   6.28%   ± &    08/29/2026      33,773

136,032

    

MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)

   6.29%      08/31/2026      135,250

178,548

    

Messer Industries LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%)

   4.60%      03/02/2026      178,438

367,415

    

MGM Growth Properties Operating Partnership LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      03/21/2025      368,767

330,284

    

Milacron LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      09/28/2023      330,696

554,806

    

Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.04%      03/27/2026      540,242

16,905

    

Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan

   5.67%   ± &    05/14/2026      16,909

337,250

    

Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.66%      05/14/2026      337,341

186,774

    

Mitchell International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      11/29/2024      179,435

180,976

    

MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.53%      11/28/2025      168,760

419,130

    

MPH Acquisition Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.85%      06/07/2023      400,443

180,000

    

Nascar Holdings, Inc., Senior Secured First Lien Term Loan

   4.88%   ±    07/26/2026      181,420

64,000

    

NCR Corporation, Senior Secured First Lien Term Loan

   4.53%   ± &    08/28/2026      64,200

56,000

    

NCR Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      08/28/2026      56,175

89,325

    

NEP Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      10/20/2025      87,911

420,000

    

Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.81%      09/18/2026      422,394

212,246

    

Numericable U.S. LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.03%      08/14/2026      212,114

120,000

    

ON Semiconductor Corporation, Senior Secured First Lien Term Loan

   4.05%   ±    09/19/2026      120,676

99,250

    

Outcomes Group Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.62%      10/24/2025      98,257

94,730

    

Panther BF Aggregator 2 LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      04/30/2026      94,108

186,482

    

Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      09/27/2024      177,525

124,688

    

PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      05/29/2026      125,613

94,524

    

Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor)

   4.29%      10/15/2025      95,125

383,714

    

PetSmart, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   6.04%      03/11/2022      375,061

180,828

    

Pike Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      07/24/2026      181,720

181,627

    

Pisces Midco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      04/12/2025      178,222

173,082

    

Plantronics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      07/02/2025      172,974

185,114

    

Playa Resorts Holding B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)

   4.79%      04/29/2024      180,486

395,436

    

PODS LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)

   5.05%      12/06/2024      395,272

212,484

    

PowerTeam Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.35%      03/06/2025      182,736

194,025

    

Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)

   6.85%      03/11/2026      189,781

180,000

    

Pregis Topco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.25%      07/31/2026      179,775

270,000

    

Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan

   5.34%   ±    09/23/2026      267,427

217,610

    

Pro Mach Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   4.81%      03/07/2025      212,375

358,011

    

Project Alpha Intermediate Holding, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.81%      04/26/2024      353,984

273,597

    

Radiate Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)

   5.04%      02/01/2024      272,959
    

Radiology Partners, Inc., Senior Secured First Lien Term Loan

            

200,806

    

  (3 Month LIBOR USD + 4.75%)

   7.06%      07/09/2025      198,475

133,870

    

  (3 Month LIBOR USD + 4.75%)

   7.39%      07/09/2025      132,317

278,251

    

RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.55%      11/14/2025      278,926

356,830

    

Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      05/30/2025      351,094

484,345

    

RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)

   6.80%      12/17/2021      257,613

279,099

    

Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      02/06/2023      279,931

253,419

    

RPI Finance Trust, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.04%      03/27/2023      255,042
    

Scientific Games International, Inc., Senior Secured First Lien Term Loan

            

344,427

    

  (2 Month LIBOR USD + 2.75%)

   4.90%      08/14/2024      342,017

80,791

    

  (2 Month LIBOR USD + 2.75%)

   4.79%      08/14/2024      80,226

524,471

    

Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)

   6.54%      11/01/2024      464,594

421,372

    

Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/31/2025      415,018

653,555

    

Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.50%)

   4.58%      03/06/2025      655,597

350,849

    

Severin Acquisition LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

   5.46%      08/01/2025      345,879

140,000

    

Sinclair Television Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      09/30/2026      140,759

339,150

    

Six Flags Theme Parks, Inc., Senior Secured First Lien Term Loan

   4.05%   ±    04/17/2026      339,998

265,135

    

SMG US Midco 2, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      01/23/2025      263,893

181,112

    

Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)

   6.12%      06/26/2025      176,698

366,509

    

Solera LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      03/03/2023      365,199

416,778

    

Sophia LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.35%      09/30/2022      417,387

486,805

    

Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.79%      06/27/2025      487,049

167,368

    

Southern Graphics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      12/30/2022      124,131

326,692

    

Speedcast International Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%)

   4.85%      05/15/2025      277,688


425,919

    

Sprint Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.54%      02/02/2024      423,523

450,397

    

SS&C Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%)

   4.29%      04/16/2025      452,766

216,920

    

Staples, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%)

   7.12%      04/16/2026      214,254

180,247

    

Starfruit US Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      10/01/2025      176,957

209,056

    

Stars Group Holdings B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)

   5.60%      07/10/2025      210,242

100,000

    

Sunshine Luxembourg VII SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%)

   6.35%      09/25/2026      100,594

438,385

    

Syncreon Global Finance Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

   6.52%   W    10/28/2020      207,685
    

TAMKO Building Products LLC, Senior Secured First Lien Term Loan

            

120,350

    

(1 Month LIBOR USD + 3.25%)

   5.29%      05/29/2026      120,576

24,650

    

(1 Month LIBOR USD + 3.25%)

   5.37%      05/29/2026      24,696

175,641

    

Telesat Canada, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)

   4.61%      11/17/2023      176,322

486,785

    

Tempo Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      05/01/2024      489,119

277,742

    

The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)

   7.05%      02/06/2026      279,800

323,160

    

The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.31%      07/21/2025      324,053

146,442

    

Titan Acquisition Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)

   5.04%      03/28/2025      140,967

429,170

    

TKC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)

   5.80%      02/01/2023      422,655

564,379

    

Transdigm, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.54%      06/09/2023      563,750

341,550

    

Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)

   6.05%      01/25/2024      342,689

147,028

    

Travelport Finance SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)

   7.10%      05/29/2026      133,533

20,000

    

Uber Technologies, Inc., Senior Secured First Lien Term Loan

   5.55%   ±    07/13/2023      19,896

415,433

    

Uber Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)

   6.03%      04/04/2025      413,790

566,519

    

UFC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.30%      04/29/2026      568,683

214,463

    

UGI Energy Services LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      08/13/2026      216,339

180,000

    

Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)

   5.79%      05/04/2026      181,280

144,262

    

US Anesthesia Partners, Inc., Senior Secured 1st Lien Term Loan

   5.04%   ±    06/24/2024      140,791

265,000

    

US Foods, Inc., Senior Secured First Lien Term Loan

   4.14%   ±    09/13/2026      266,271

277,640

    

USIC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)

   5.29%      12/08/2023      275,905
    

Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan

            

7,674

    

(3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.76%      10/28/2024      7,137

184,186

    

(3 Month LIBOR USD + 3.50%, 1.00% Floor)

   5.54%      10/28/2024      171,292

456,796

    

Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

   6.54%      08/27/2025      459,176

360,349

    

Vertafore, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)

   5.29%      07/02/2025      350,892

380,000

    

VICI Properties 1 LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%)

   4.05%      12/20/2024      381,465

150,836

    

Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan

   5.35%   ±    07/01/2026      151,685

110,000

    

Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%)

   4.53%      01/15/2026      110,201
    

Vistra Operations Company LLC, Senior Secured First Lien Term Loan

            

278,141

    

  (1 Month LIBOR USD + 2.00%)

   4.02%      12/31/2025      279,281

417,211

    

  (1 Month LIBOR USD + 2.00%)

   4.04%      12/31/2025      418,922

84,575

    

Vizient, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)

   4.54%      05/06/2026      85,135

305,000

    

Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)

   5.54%      02/05/2026      306,906

155,000

    

Whatabrands LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)

   5.52%      08/03/2026      155,892

396,374

    

Wink Holdco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)

   5.04%      12/02/2024      390,926

418,207

    

WP CPP Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)

   6.01%      04/30/2025      419,385

475,000

    

Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

   6.79%      09/25/2026      472,031
                 

 

Total Bank Loans (Cost $72,218,427)

          70,548,446
                 

 

Collateralized Loan Obligations - 15.3%

         

250,000

    

Adams Mill Ltd., Series 2014-1A-D1 (3 Month LIBOR USD + 3.50%)

   5.80%   ^    07/15/2026      250,061

2,500,000

    

AIMCO, Series 2015-AA-DR (3 Month LIBOR USD + 2.45%, 2.45% Floor)

   4.75%   ^    01/15/2028      2,475,360

2,250,000

    

ALM LLC, Series 2015-12A-C1R2 (3 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.97%   ^    04/16/2027      2,211,235

2,000,000

    

Apidos Ltd., Series 2013-12A-DR (3 Month LIBOR USD + 2.60%)

   4.90%   ^    04/15/2031      1,883,500

1,500,000

    

Apidos Ltd., Series 2015-21A-CR (3 Month LIBOR USD + 2.45%, 2.45% Floor)

   4.75%   ^    07/18/2027      1,467,796

2,500,000

    

Apidos Ltd., Series 2016-24A-CR (3 Month LIBOR USD + 3.05%)

   5.33%   ^    10/20/2030      2,433,358

2,500,000

    

Apidos Ltd., Series 2018-29A-C (3 Month LIBOR USD + 2.75%)

   5.03%   ^    07/25/2030      2,356,355

2,500,000

    

Atrium Corporation, Series 13A-D (3 Month LIBOR USD + 2.70%)

   4.96%   ^    11/21/2030      2,361,701

1,000,000

    

Atrium Corporation, Series 14A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor)

   5.27%   ^    08/23/2030      966,001

3,000,000

    

Atrium Corporation, Series 9A-DR (3 Month LIBOR USD + 3.60%)

   5.74%   ^    05/28/2030      3,001,942

1,500,000

    

Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%)

   5.23%   ^    10/20/2030      1,449,511

1,737,500

    

Babson Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%)

   8.73%   ^    10/20/2030      1,649,344

4,000,000

    

Barings Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.90%)

   5.18%   ^    07/20/2029      3,800,944

2,000,000

    

Barings Ltd., Series 2019-2A-C (3 Month LIBOR USD + 3.85%, 3.85% Floor)

   6.15%   ^    04/15/2031      2,002,513

3,770,000

    

BlueMountain Ltd., Series 2013-2A-DR (3 Month LIBOR USD + 2.90%)

   5.18%   ^    10/22/2030      3,584,051

1,750,000

    

BlueMountain Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.75%, 2.75% Floor)

   5.05%   ^    07/18/2027      1,722,015

500,000

    

BlueMountain Ltd., Series 2015-3A-CR (3 Month LIBOR USD + 2.60%)

   4.88%   ^    04/20/2031      461,402

1,000,000

    

BlueMountain Ltd., Series 2016-3A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor)

   5.26%   ^    11/15/2030      958,255

1,000,000

    

BlueMountain Ltd., Series 2017-2A-C (3 Month LIBOR USD + 3.00%)

   5.28%   ^    10/20/2030      963,640

2,000,000

    

Canyon Capital Ltd., Series 2012-1RA-D (3 Month LIBOR USD + 3.00%)

   5.30%   ^    07/15/2030      1,930,756

2,000,000

    

Canyon Capital Ltd., Series 2014-1A-CR (3 Month LIBOR USD + 2.75%, 2.75% Floor)

   5.02%   ^    01/30/2031      1,858,214

2,000,000

    

Canyon Capital Ltd., Series 2014-2A-DR (3 Month LIBOR USD + 3.65%)

   5.95%   ^    04/15/2029      2,000,718

10,000,000

    

Canyon Capital Ltd., Series 2017-1A-B (3 Month LIBOR USD + 1.70%, 0.00% Floor)

   4.00%   ^    07/15/2030      9,922,095

2,500,000

    

Canyon Capital Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%, 2.90% Floor)

   5.20%   ^    07/15/2031      2,384,988

1,250,000

    

Carlyle Global Market Strategies Ltd., Series 2013-2A-DR (3 Month LIBOR USD + 2.40%)

   4.70%   ^    01/18/2029      1,167,815

1,500,000

    

Chenango Park Ltd., Series 2018-1A-C (3 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.30%   ^    04/15/2030      1,431,744

3,000,000

    

CVP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.34%)

   3.62%   ^    07/20/2030      3,000,289

2,500,000

    

Dryden Senior Loan Fund, Series 2013-28A-B1LR (3 Month LIBOR USD + 3.15%)

   5.31%   ^    08/15/2030      2,451,925

3,900,000

    

Dryden Senior Loan Fund, Series 2014-33A-DR2 (3 Month LIBOR USD + 3.85%, 3.85% Floor)

   6.15%   ^    04/15/2029      3,907,934

3,000,000

    

Dryden Senior Loan Fund, Series 2015-37A-DR (3 Month LIBOR USD + 2.50%, 2.50% Floor)

   4.80%   ^    01/15/2031      2,816,552

1,000,000

    

Dryden Senior Loan Fund, Series 2016-45A-DR (3 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.45%   ^    10/15/2030      979,248

1,000,000

    

Dryden Senior Loan Fund, Series 2017-50A-D (3 Month LIBOR USD + 3.25%)

   5.55%   ^    07/15/2030      1,001,257

4,000,000

    

GoldenTree Loan Management Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.35%)

   5.63%   ^    04/20/2029      4,005,239

5,500,000

    

GoldenTree Loan Management Ltd., Series 2017-2A-D (3 Month LIBOR USD + 2.65%)

   4.93%   ^    11/28/2030      5,247,990

2,500,000

    

GoldenTree Loan Opportunities Ltd., Series 2016-12A-DR (3 Month LIBOR USD + 2.90%)

   5.18%   ^    07/21/2030      2,399,819

1,500,000

    

Greenwood Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.50%)

   4.80%   ^    04/15/2031      1,405,865

250,000

    

Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C (3 Month LIBOR USD + 2.70%)

   4.95%   ^    08/01/2025      249,859

250,000

    

Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%)

   7.26%   ^    04/28/2025      234,832

2,000,000

    

Highbridge Loan Management Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.90%)

   5.18%   ^    10/20/2029      1,883,263

2,500,000

    

HPS Loan Management Ltd., Series 11A-17-A (3 Month LIBOR USD + 1.26%)

   3.50%   ^    05/06/2030      2,502,709


1,500,000

    

HPS Loan Management Ltd., Series 13A-18-D (3 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.30%   ^    10/15/2030      1,389,200

3,175,000

    

LCM LP, Series 14A-DR (3 Month LIBOR USD + 2.75%)

   5.03%   ^    07/20/2031      2,972,860

1,250,000

    

LCM LP, Series 19A-E2 (3 Month LIBOR USD + 5.70%, 5.70% Floor)

   8.00%   ^    07/15/2027      1,195,620

2,000,000

    

LCM LP, Series 20A-DR (3 Month LIBOR USD + 2.80%, 2.80% Floor)

   5.08%   ^    10/20/2027      1,907,940

5,000,000

    

LCM LP, Series 26A-D (3 Month LIBOR USD + 2.50%, 2.50% Floor)

   4.78%   ^    01/20/2031      4,615,516

1,500,000

    

LCM LP, Series 27A-D (3 Month LIBOR USD + 2.95%)

   5.27%   ^    07/16/2031      1,424,835

1,000,000

    

Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%)

   5.71%   ^    01/27/2026      1,002,848

2,500,000

    

Madison Park Funding Ltd., Series 2014-15A-DR (3 Month LIBOR USD + 5.44%)

   7.70%   ^    01/27/2026      2,485,901

1,000,000

    

Madison Park Funding Ltd., Series 2015-16A-D (3 Month LIBOR USD + 5.50%)

   7.78%   ^    04/20/2026      991,248

500,000

    

Madison Park Funding Ltd., Series 2015-18A-DR (3 Month LIBOR USD + 2.95%)

   5.23%   ^    10/21/2030      479,424

3,000,000

    

Madison Park Funding Ltd., Series 2017-25A-C (3 Month LIBOR USD + 3.60%)

   5.88%   ^    04/25/2029      3,002,090

1,000,000

    

Madison Park Funding Ltd., Series 2018-30A-D (3 Month LIBOR USD + 2.50%, 2.50% Floor)

   4.80%   ^    04/15/2029      952,549

3,500,000

    

Magnetite Ltd., Series 2018-20A-D (3 Month LIBOR USD + 2.50%)

   4.78%   ^    04/20/2031      3,291,250

1,000,000

    

Marathon Ltd., Series 2017-9A-A2 (3 Month LIBOR USD + 1.75%)

   4.05%   ^    04/15/2029      1,000,562

6,500,000

    

Marble Point Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.15%)

   4.59%   ^    07/23/2032      6,512,814

1,000,000

    

Milos Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.40%)

   5.68%   ^    10/20/2030      972,389

1,000,000

    

Myers Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.33%   ^    10/20/2030      970,952

1,000,000

    

Neuberger Berman Loan Advisers Ltd., Series 2016-21A-DR (3 Month LIBOR USD + 2.40%, 2.40% Floor)

   4.68%   ^    04/20/2027      974,504

4,000,000

    

Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-D (3 Month LIBOR USD + 2.50%)

   4.80%   ^    01/15/2028      3,923,609

1,500,000

    

Neuberger Berman Loan Advisers Ltd., Series 2017-25A-D (3 Month LIBOR USD + 3.25%)

   5.55%   ^    10/18/2029      1,463,180

1,000,000

    

Neuberger Berman Loan Advisers Ltd., Series 2017-26A-D (3 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.95%   ^    10/18/2030      925,167

1,500,000

    

Neuberger Berman Loan Advisers Ltd., Series 2018-28A-D (3 Month LIBOR USD + 2.85%)

   5.13%   ^    04/20/2030      1,425,031

2,000,000

    

Newark BSL Ltd., Series 2016-1A-C (3 Month LIBOR USD + 4.00%)

   6.26%   ^    12/21/2029      2,001,116

4,500,000

    

Octagon Investment Partners Ltd., Series 2012-1A-CR (3 Month LIBOR USD + 4.00%)

   6.30%   ^    07/15/2029      4,468,964

500,000

    

Octagon Investment Partners Ltd., Series 2014-1A-CRR (3 Month LIBOR USD + 3.95%, 3.95% Floor)

   6.13%   ^    02/14/2031      499,278

2,500,000

    

Octagon Investment Partners Ltd., Series 2017-1A-C (3 Month LIBOR USD + 3.50%)

   5.78%   ^    03/17/2030      2,501,665

2,000,000

    

Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.70%)

   5.98%   ^    07/20/2030      2,000,090

1,250,000

    

Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%)

   8.48%   ^    03/17/2030      1,196,414

4,000,000

    

Octagon Investment Partners Ltd., Series 2018-1A-C (3 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.88%   ^    01/20/2031      3,779,965

3,000,000

    

Octagon Investment Partners Ltd., Series 2018-2A-C (3 Month LIBOR USD + 2.85%)

   5.13%   ^    07/25/2030      2,826,802

1,000,000

    

OHA Credit Funding Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.33%   ^    10/20/2030      967,053

3,000,000

    

RRAM Ltd., Series 2018-4A-C (3 Month LIBOR USD + 2.95%)

   5.25%   ^    04/15/2030      2,902,986

5,000,000

    

Steele Creek Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.25%, 2.25% Floor)

   4.38%   ^    07/15/2032      4,999,152

3,500,000

    

Stewart Park Ltd., Series 2015-1A-DR (3 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.90%   ^    01/15/2030      3,281,250

500,000

    

Symphony Ltd., Series 2014-14A-D2 (3 Month LIBOR USD + 3.60%)

   5.90%   ^    07/14/2026      500,509

1,500,000

    

Symphony Ltd., Series 2015-16A-DR (3 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.35%   ^    10/15/2031      1,458,083

1,000,000

    

Symphony Ltd., Series 2016-17A-DR (3 Month LIBOR USD + 2.65%)

   4.95%   ^    04/15/2028      983,615

3,000,000

    

Thacher Park Ltd., Series 2014-1A-D1R (3 Month LIBOR USD + 3.40%)

   5.68%   ^    10/20/2026      3,004,253

6,000,000

    

Trimaran CAVU LLC, Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.67%   ^    07/20/2032      5,998,411

5,000,000

    

Venture Ltd., Series 2018-34A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor)

   3.53%   ^    10/15/2031      4,983,440

3,900,000

    

Voya Ltd., Series 2013-1A-CR (3 Month LIBOR USD + 2.95%)

   5.25%   ^    10/15/2030      3,692,341

1,500,000

    

Voya Ltd., Series 2017-3A-C (3 Month LIBOR USD + 3.55%)

   5.83%   ^    07/20/2030      1,500,502

1,000,000

    

Westcott Park Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 3.25%)

   5.53%   ^    07/20/2028      993,755

2,000,000

    

Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%)

   9.05%   ^    10/18/2030      1,711,200

2,000,000

    

Wind River Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 3.00%, 3.00% Floor)

   5.30%   ^    07/18/2031      1,839,536

4,000,000

    

Wind River Ltd., Series 2014-2A-DR (3 Month LIBOR USD + 2.90%, 2.90% Floor)

   5.20%   ^    01/15/2031      3,800,077

2,000,000

    

Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)

   8.05%   ^    01/15/2031      1,715,000

7,975,000

    

Wind River Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 5.55%)

   7.85%   ^    10/15/2027      7,669,143

3,500,000

    

Wind River Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.85%)

   5.15%   ^    07/15/2028      3,324,212

2,000,000

    

Wind River Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.75%)

   6.05%   ^    04/18/2029      2,002,837

1,750,000

    

Wind River Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.42%)

   8.72%   ^    04/18/2029      1,692,384

1,500,000

    

Wind River Ltd., Series 2017-4A-D (3 Month LIBOR USD + 2.65%)

   4.79%   ^    11/20/2030      1,401,892

1,500,000

    

Wind River Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%)

   5.20%   ^    07/15/2030      1,389,327

3,500,000

    

Wind River Ltd., Series 2018-2A-D (3 Month LIBOR USD + 3.00%)

   5.30%   ^    07/15/2030      3,260,272

2,500,000

    

York Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.05%, 0.00% Floor)

   4.22%   ^    07/22/2032      2,499,066
                 

 

Total Collateralized Loan Obligations (Cost $226,492,922)

          219,506,174
                 

 

Foreign Corporate Bonds - 16.0%

         

1,200,000

    

Adani Ports & Special Economic Zone Ltd.

   3.95%      01/19/2022      1,228,875

150,000

    

Adecoagro S.A.

   6.00%      09/21/2027      144,375

500,000

    

AES Andres B.V.

   7.95%   ^    05/11/2026      534,375

2,200,000

    

AES Dominicana

   7.95%      05/11/2026      2,351,250

1,300,000

    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

   7.13%      03/26/2079      1,366,625

1,800,000

    

AES Gener S.A. (5 Year Swap Rate USD + 4.64%)

   7.13%   ^    03/26/2079      1,892,250

1,250,000

    

AI Candelaria Spain SLU

   7.50%      12/15/2028      1,423,450

650,000

    

AI Candelaria Spain SLU

   7.50%   ^    12/15/2028      740,194

270,000

    

Aker BP ASA

   4.75%   ^    06/15/2024      282,690

520,000

    

Alcoa Nederland Holding B.V.

   6.13%   ^    05/15/2028      555,048

415,000

    

Altice France S.A.

   7.38%   ^    05/01/2026      446,523

200,000

    

Altice Luxembourg S.A.

   7.75%   ^    05/15/2022      204,750

225,000

    

Ardagh Packaging Finance, Inc.

   5.25%   ^    08/15/2027      228,375

445,000

    

Ardagh Packaging Finance, Inc.

   6.00%   ^    02/15/2025      466,404

400,000

    

Avation Capital S.A.

   6.50%   ^    05/15/2021      416,000

530,000

    

Avolon Holdings Funding Ltd.

   5.25%   ^    05/15/2024      568,796

3,200,000

    

Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%)

   7.75%   ^    02/15/2029      3,344,000

200,000

    

Banco de Bogota S.A.

   6.25%      05/12/2026      226,002

1,000,000

    

Banco de Credito e Inversiones

   4.00%      02/11/2023      1,048,899

200,000

    

Banco de Reservas de la Republica Dominicana

   7.00%   ^    02/01/2023      210,252

650,000

    

Banco de Reservas de la Republica Dominicana

   7.00%      02/01/2023      683,319

3,900,000

    

Banco do Brasil S.A. (10 Year CMT Rate + 4.40%)

   6.25%      04/15/2024      3,851,250

350,000

    

Banco General S.A.

   4.13%      08/07/2027      368,158

300,000

    

Banco GNB Sudameris S.A. (5 Year CMT Rate + 4.56%)

   6.50%      04/03/2027      310,128

450,000

    

Banco Internacional del Peru S.A.A.

   3.38%      01/18/2023      456,188

200,000

    

Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)

   6.75%   ^    11/04/2026      138,500

2,100,000

    

Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)

   6.75%      11/04/2026      1,454,250

200,000

    

Banco Mercantil de Norte (10 Year CMT Rate + 5.47%)

   7.50%   ^†    06/27/2029      203,250

2,400,000

    

Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%)

   7.63%      01/10/2028      2,457,024


200,000

    

Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%)

   7.50%      06/27/2029      203,250

700,000

    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 4.45%)

   5.75%      10/04/2031      702,632

1,200,000

    

Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%)

   6.88%      07/06/2022      1,209,000

700,000

    

Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) (5 Year CMT Rate + 3.00%)

   3.80%      08/11/2026      709,632

1,450,000

    

Banco Santander (5 Year CMT Rate + 3.00%)

   5.95%   ^    10/01/2028      1,558,387

883,000

    

Bancolombia S.A.

   5.13%      09/11/2022      930,470

1,500,000

    

Bancolombia S.A. (5 Year CMT Rate + 2.93%)

   4.88%      10/18/2027      1,546,875

200,000

    

Banistmo S.A.

   3.65%   ^    09/19/2022      201,752

300,000

    

BBVA Banco Continental S.A.

   5.00%      08/26/2022      320,550

4,400,000

    

BBVA Bancomer S.A. (5 Year CMT Rate + 2.65%)

   5.13%      01/18/2033      4,207,500

200,000

    

BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%)

   5.35%      11/12/2029      199,502

200,000

    

BBVA Bancomer S.A. (5 Year CMT Rate + 4.31%)

   5.88%   ^    09/13/2034      199,250

500,000

    

BBVA Colombia S.A.

   4.88%      04/21/2025      536,875

300,000

    

BDO Unibank, Inc.

   2.63%      10/24/2021      301,281

3,150,000

    

BDO Unibank, Inc.

   2.95%      03/06/2023      3,195,424

2,200,000

    

Bharti Airtel Ltd.

   5.13%      03/11/2023      2,318,187

2,200,000

    

Bharti Airtel Ltd.

   4.38%      06/10/2025      2,279,015

320,000

    

Bombardier, Inc.

   6.00%   ^    10/15/2022      321,200

265,000

    

Bombardier, Inc.

   7.88%   ^    04/15/2027      264,563

2,400,000

    

BPRL International Singapore Pte Ltd.

   4.38%      01/18/2027      2,569,779

200,000

    

Braskem Finance Ltd.

   6.45%      02/03/2024      221,250

1,200,000

    

C&W Senior Financing DAC

   7.50%   ^    10/15/2026      1,269,000

3,260,000

    

C&W Senior Financing DAC

   6.88%      09/15/2027      3,390,400

540,000

    

Camelot Finance S.A.

   7.88%   ^    10/15/2024      564,300

2,950,000

    

Canacol Energy Ltd.

   7.25%      05/03/2025      3,132,163

300,000

    

Canacol Energy Ltd.

   7.25%   ^    05/03/2025      318,525

600,000

    

Celulosa Arauco y Constitucion S.A.

   5.50%   ^    04/30/2049      666,750

1,000,000

    

CIMPOR Financial Operations B.V.

   5.75%      07/17/2024      752,500

800,000

    

CK Hutchison International Ltd.

   3.50%   ^    04/05/2027      840,678

2,000,000

    

CNOOC Finance Ltd.

   3.50%      05/05/2025      2,088,138

600,000

    

CNPC General Capital Ltd.

   3.95%      04/19/2022      621,489

400,000

    

Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)

   8.50%      03/30/2020      411,500

1,000,000

    

Comcel Trust

   6.88%      02/06/2024      1,032,500

4,241,250

    

Cometa Energia S.A. de C.V.

   6.38%      04/24/2035      4,527,534

725,000

    

Connect Finco LLC

   6.75%   ^    10/01/2026      739,500

1,100,000

    

Controladora Mabe S.A. de C.V.

   5.60%      10/23/2028      1,188,011

400,000

    

Cosan Overseas Ltd.

   8.25%      11/05/2019      415,004

200,000

    

Cosan Overseas Ltd.

   7.00%      01/20/2027      218,720

1,400,000

    

Credito Real S.A.B. de C.V.

   9.50%   ^    02/07/2026      1,617,000

1,650,000

    

Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)

   9.13%      11/29/2022      1,699,517

950,000

    

CSN Islands Corporation

   7.00%      12/23/2019      831,853

1,000,000

    

CSN Resources S.A.

   7.63%      02/13/2023      1,046,250

1,600,000

    

CSN Resources S.A.

   7.63%   ^    04/17/2026      1,664,184

400,000

    

DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%)

   4.52%      12/11/2028      425,538

3,300,000

    

DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%)

   3.60%      09/07/2021      3,316,500

300,000

    

Delek & Avner Tamar Bond Ltd.

   5.08%   ^    12/30/2023      308,726

520,000

    

Delek & Avner Tamar Bond Ltd.

   5.41%   ^    12/30/2025      538,735

300,000

    

Digicel Group Ltd.

   8.25%   ^    09/30/2022      64,500

2,008,556

    

Digicel Group Ltd. (PIK 9.00%)

   9.13%   ^    04/01/2024      210,898

1,000,000

    

Docuformas SAPI de C.V.

   10.25%   ^    07/24/2024      989,450

800,000

    

ECL S.A.

   5.63%      01/15/2021      833,841

1,344,000

    

Embotelladora Andina S.A.

   5.00%      10/01/2023      1,447,500

1,300,000

    

Empresa de Transmision Electrica S.A.

   5.13%   ^    05/02/2049      1,500,687

347,800

    

Empresa Electrica Angamos S.A.

   4.88%      05/25/2029      364,701

1,600,000

    

Empresa Electrica Guacolda S.A.

   4.56%      04/30/2025      1,448,060

1,000,000

    

Empresa Nacional de Telecomunicaciones S.A.

   4.88%      10/30/2024      1,059,412

500,000

    

Empresas Publicas de Medellin ESP

   4.25%   ^    07/18/2029      526,950

1,041,771

    

ENA Norte Trust

   4.95%      04/25/2023      1,078,243

1,000,000

    

Energuate Trust

   5.88%      05/03/2027      1,005,000

1,000,000

    

ENTEL Chile S.A.

   4.75%      08/01/2026      1,057,484

306,000

    

ESAL GMBH

   6.25%      02/05/2023      312,123

400,000

    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%)

   3.00%      05/23/2024      401,395

400,000

    

Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%)

   3.04%      11/20/2023      401,912

400,000

    

Fideicomiso Pacifico Tres

   8.25%      01/15/2035      456,000

500,000

    

Fomento Economico Mexicano S.A.B. de C.V.

   2.88%      05/10/2023      505,506

600,000

    

Fondo Mivivienda S.A.

   3.50%      01/31/2023      616,500

2,200,000

    

Freeport-McMoRan Copper & Gold, Inc.

   5.40%      11/14/2034      2,101,000

2,150,000

    

Freeport-McMoRan Copper & Gold, Inc.

   5.45%      03/15/2043      1,946,567

1,500,000

    

Fresnillo PLC

   5.50%      11/13/2023      1,638,765

2,900,000

    

Geopark Ltd.

   6.50%      09/21/2024      2,994,250

220,000

    

GFL Environmental, Inc.

   8.50%   ^    05/01/2027      244,475

750,000

    

Gilex Holding Sarl

   8.50%      05/02/2023      807,195

400,000

    

Gilex Holding Sarl

   8.50%   ^    05/02/2023      430,504

1,000,000

    

Global Bank Corporation

   4.50%   ^    10/20/2021      1,031,880

1,700,000

    

Global Bank Corporation

   4.50%      10/20/2021      1,754,196

1,300,000

    

Global Bank Corporation (3 Month LIBOR USD + 3.30%)

   5.25%   ^    04/16/2029      1,380,600

2,900,000

    

Gohl Capital Ltd.

   4.25%      01/24/2027      3,038,219

2,600,000

    

Gran Tierra Energy International Holdings Ltd.

   6.25%      02/15/2025      2,340,000

200,000

    

Gran Tierra Energy, Inc.

   7.75%   ^    05/23/2027      188,500

200,000

    

Grupo Aval Ltd.

   4.75%      09/26/2022      207,200

1,200,000

    

Grupo Bimbo S.A.B. de C.V. (5 Year CMT Rate + 3.28%)

   5.95%      04/17/2023      1,268,400

400,000

    

Grupo Idesa S.A. de C.V.

   7.88%      12/18/2020      294,000

210,593

    

Guanay Finance Ltd.

   6.00%      12/15/2020      213,752

490,000

    

GW Honos Security Corporation

   8.75%   ^    05/15/2025      505,729

300,000

    

Indian Oil Corporation Ltd.

   5.63%      08/02/2021      316,071

3,300,000

    

Indian Oil Corporation Ltd.

   5.75%      08/01/2023      3,637,795

900,000

    

Industrial Senior Trust

   5.50%      11/01/2022      943,875


2,500,000

    

Inkia Energy Ltd.

   5.88%      11/09/2027      2,603,150

210,000

    

Intelsat Jackson Holdings S.A.

   5.50%      08/01/2023      196,959

370,000

    

Intelsat Jackson Holdings S.A.

   8.50%   ^    10/15/2024      373,585

35,079

    

Invepar Holdings

   0.00%   W Þ    12/30/2028      1,500

500,000

    

Inversiones CMPC S.A.

   4.50%      04/25/2022      520,630

1,200,000

    

Inversiones CMPC S.A.

   4.75%      09/15/2024      1,288,281

400,000

    

Israel Electric Corporation Ltd.

   5.00%   ^    11/12/2024      441,200

200,000

    

Itau Unibanco Holding S.A.

   6.20%      12/21/2021      212,502

2,000,000

    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.86%)

   6.50%      03/19/2023      2,064,400

600,000

    

Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)

   6.13%      12/12/2022      606,600

1,400,000

    

JBS Investments GMBH

   7.00%   ^    01/15/2026      1,514,086

600,000

    

JBS Investments GMBH

   5.75%   ^    01/15/2028      626,250

2,250,000

    

JSL Europe S.A.

   7.75%      07/26/2024      2,424,443

325,000

    

Kronos Acquisition Holdings, Inc.

   9.00%   ^    08/15/2023      287,625

1,000,000

    

Latam Finance Ltd.

   6.88%      04/11/2024      1,053,250

1,000,000

    

Latam Finance Ltd.

   7.00%   ^    03/01/2026      1,068,170

1,877,580

    

LLPL Capital Pte Ltd.

   6.88%   ^    02/04/2039      2,187,099

3,500,000

    

Malayan Banking BHD (5 Year Swap Rate USD + 2.54%)

   3.91%      10/29/2026      3,562,265

1,000,000

    

MARB BondCo PLC

   7.00%   ^    03/15/2024      1,045,010

300,000

    

MARB BondCo PLC

   7.00%      03/15/2024      313,503

1,800,000

    

MARB BondCo PLC

   6.88%      01/19/2025      1,886,400

240,000

    

MEG Energy Corporation

   7.00%   ^    03/31/2024      232,800

1,344,816

    

Mexico Generadora de Energia

   5.50%      12/06/2032      1,452,415

1,400,000

    

Millicom International Cellular S.A.

   6.00%      03/15/2025      1,456,000

200,000

    

Millicom International Cellular S.A.

   6.63%   ^    10/15/2026      218,000

800,000

    

Millicom International Cellular S.A.

   5.13%      01/15/2028      837,080

1,400,000

    

Millicom International Cellular S.A.

   6.25%   ^    03/25/2029      1,532,440

1,800,000

    

Minejesa Capital B.V.

   4.63%      08/10/2030      1,856,925

1,200,000

    

Minejesa Capital B.V.

   5.63%      08/10/2037      1,300,413

2,400,000

    

Minerva Luxembourg S.A.

   6.50%      09/20/2026      2,505,480

1,600,000

    

Minerva Luxembourg S.A.

   5.88%      01/19/2028      1,608,320

400,000

    

NBM US Holdings, Inc.

   7.00%   ^    05/14/2026      420,750

890,000

    

New Red Finance, Inc.

   5.00%   ^    10/15/2025      921,595

700,000

    

Nexa Resources S.A.

   5.38%      05/04/2027      745,238

200,000

    

Oleoducto Central S.A.

   4.00%      05/07/2021      204,502

800,000

    

ONGC Videsh Ltd.

   2.88%      01/27/2022      800,976

3,000,000

    

ONGC Videsh Ltd.

   3.75%      07/27/2026      3,118,407

800,000

    

Orazul Energy Egenor S en C por A

   5.63%      04/28/2027      828,500

200,000

    

Oversea-Chinese Banking Corporation

   4.25%      06/19/2024      212,626

2,700,000

    

Pampa Energia S.A.

   7.50%      01/24/2027      2,058,750

1,793,742

    

Panama Metro Line SP

   0.00%      12/05/2022      1,722,441

1,798,013

    

Panama Metro Line SP

   0.00%   ^    12/05/2022      1,726,542

265,000

    

Parkland Fuel Corporation

   5.88%   ^    07/15/2027      278,730

2,500,000

    

Pertamina Persero PT

   4.30%      05/20/2023      2,635,130

3,300,000

    

Petrobras Global Finance B.V.

   5.75%      02/01/2029      3,647,754

500,000

    

Petrobras Global Finance B.V.

   7.25%      03/17/2044      599,750

300,000

    

Petrobras Global Finance B.V.

   6.90%      03/19/2049      344,700

2,400,000

    

PTTEP Treasury Center Company Ltd. (5 Year CMT Rate + 2.72%)

   4.60%      07/17/2022      2,459,275

2,200,000

    

Radiant Access Ltd.

   4.60%      05/18/2020      2,158,750

3,300,000

    

Reliance Holdings, Inc.

   5.40%      02/14/2022      3,509,154

900,000

    

SACI Falabella

   3.75%      04/30/2023      926,959

2,300,000

    

Sinopec Group Overseas Development Ltd.

   2.75%      09/29/2026      2,300,525

200,000

    

Sociedad Quimica y Minera S.A.

   4.38%      01/28/2025      212,250

2,395,000

    

Star Energy Geothermal Wayang Windu Ltd.

   6.75%      04/24/2033      2,503,313

150,000

    

Starfruit Finco B.V.

   8.00%   ^    10/01/2026      150,375

500,000

    

Stars Group Holdings B.V.

   7.00%   ^    07/15/2026      533,750

1,859,724

    

Stoneway Capital Corporation

   10.00%      03/01/2027      1,120,484

1,300,000

    

SUAM Finance B.V.

   4.88%      04/17/2024      1,402,375

585,000

    

Superior Plus LP

   7.00%   ^    07/15/2026      620,112

3,000,000

    

Syngenta Finance N.V.

   5.68%      04/24/2048      3,106,354

200,000

    

Syngenta Finance N.V.

   5.68%   ^    04/24/2048      207,090

200,000

    

Tecnoglass, Inc.

   8.20%      01/31/2022      216,500

500,000

    

Telefonica Celular del Paragu

   5.88%   ^    04/15/2027      536,375

1,000,000

    

Telefonica Chile S.A.

   3.88%      10/12/2022      1,035,600

170,000

    

Telesat LLC

   6.50%   ^    10/15/2027      173,400

600,000

    

Telesat LLC

   8.88%   ^    11/15/2024      644,280

750,000

    

Tervita Escrow Corporation

   7.63%   ^    12/01/2021      765,938

800,000

    

Transelec S.A.

   4.63%      07/26/2023      854,008

800,000

    

Transportadora de Gas del Peru S.A.

   4.25%      04/30/2028      851,508

400,000

    

Trivium Packaging Finance BV

   5.50%   ^    08/15/2026      421,480

400,000

    

Unifin Financiera S.A.B. de C.V.

   7.38%      02/12/2026      393,004

3,200,000

    

Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)

   8.88%      01/29/2025      2,856,032

3,241,000

    

United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.79%)

   3.88%      10/19/2023      3,268,606

3,000,000

    

UPL Corporation

   3.25%      10/13/2021      3,014,329

1,100,000

    

Vedanta Resources Finance PLC

   9.25%   ^    04/23/2026      1,097,525

700,000

    

Vedanta Resources PLC

   7.13%      05/31/2023      692,475

2,700,000

    

Vedanta Resources PLC

   6.13%      08/09/2024      2,494,491

453,000

    

VTR Finance B.V.

   6.88%   ^    01/15/2024      467,723

2,650,000

    

VTR Finance B.V.

   6.88%      01/15/2024      2,736,125

2,200,000

    

YPF S.A.

   8.50%      07/28/2025      1,738,022

600,000

    

YPF S.A.

   6.95%      07/21/2027      459,720
                 

 

Total Foreign Corporate Bonds (Cost $223,699,773)

          230,256,803
         

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.8%

    

2,500,000

    

Chile Government International Bond

   3.13%      03/27/2025      2,622,500

200,000

    

Colombia Government International Bond

   4.50%      03/15/2029      222,800

300,000

    

Colombia Government International Bond

   5.20%      05/15/2049      363,303


800,000

    

Costa Rica Government International Bond

   10.00%      08/01/2020      843,008

800,000

    

Dominican Republic International Bond

   6.40%   ^    06/05/2049      854,008

200,000

    

Israel Government International Bond

   2.88%      03/16/2026      210,803

700,000

    

Mexico Government International Bond

   3.75%      01/11/2028      722,225

1,000,000

    

Perusahaan Penerbit

   3.40%      03/29/2022      1,022,150

2,000,000

    

Perusahaan Penerbit

   3.75%      03/01/2023      2,074,770

1,700,000

    

Perusahaan Penerbit

   4.15%   ^    03/29/2027      1,822,400

1,000,000

    

Perusahaan Penerbit

   4.15%      03/29/2027      1,072,000
                 

 

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $11,359,855)

     11,829,967
         

 

Non-Agency Commercial Mortgage Backed Obligations - 10.8%

         

916,000

    

20 Times Square Trust, Series 2018-20TS-F

   3.20%   # ^    05/15/2035      901,885

916,000

    

20 Times Square Trust, Series 2018-20TS-G

   3.20%   # ^    05/15/2035      887,878

159,000

    

Americold LLC, Series 2010-ARTA-C

   6.81%   ^    01/14/2029      165,266

2,326,000

    

AREIT Trust, Series 2018-CRE1-AS (1 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.28%   ^    02/14/2035      2,328,761

1,524,000

    

AREIT Trust, Series 2018-CRE1-B (1 Month LIBOR USD + 1.65%, 1.65% Floor)

   3.68%   ^    02/14/2035      1,527,334

1,532,000

    

Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%)

   5.08%   ^    12/15/2036      1,542,464

1,898,000

    

Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)

   5.43%   ^    06/15/2035      1,916,161

1,399,000

    

Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor)

   4.38%   ^    03/15/2036      1,403,002

11,852,049

    

BANK, Series 2017-BNK5-XA

   1.23%   # I/O    06/15/2060      695,584

61,520,578

    

BANK, Series 2018-BN11-XA

   0.64%   # I/O    03/15/2061      2,215,584

203,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%)

   3.23%   ^    08/15/2036      202,582

231,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%)

   3.73%   ^    08/15/2036      231,545

467,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E (1 Month LIBOR USD + 2.50%)

   4.53%   ^    08/15/2036      468,599

465,000

    

Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%)

   5.53%   ^    08/15/2036      467,352

240,000

    

BBCMS Mortgage Trust, Series 2018-CBM-D (1 Month LIBOR USD + 2.39%, 2.39% Floor)

   4.42%   ^    07/15/2037      240,611

1,958,000

    

BBCMS Mortgage Trust, Series 2018-CBM-E (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    07/15/2037      1,966,648

956,000

    

BBCMS Mortgage Trust, Series 2018-TALL-E (1 Month LIBOR USD + 2.44%)

   4.46%   ^    03/15/2037      960,017

1,430,000

    

BB-UBS Trust, Series 2012-TFT-TE

   3.68%   # ^    06/05/2030      1,392,950

250,000

    

Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ

   5.57%   #    01/12/2045      218,120

1,944,000

    

BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    07/15/2035      1,950,973

2,373,000

    

BHP Trust, Series 2019-BXHP-D (1 Month LIBOR USD + 1.77%, 1.77% Floor)

   3.80%   ^    08/15/2036      2,370,305

487,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor)

   3.35%   ^    03/15/2037      488,960

1,914,000

    

BX Commercial Mortgage Trust, Series 2018-BIOA-E (1 Month LIBOR USD + 1.95%, 1.98% Floor)

   3.98%   ^    03/15/2037      1,923,020

2,000,000

    

BX Commercial Mortgage Trust, Series 2019-IMC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    04/15/2034      2,007,506

450,500

    

BX Trust, Series 2017-APPL-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.08%   ^    07/15/2034      451,666

697,850

    

BX Trust, Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    07/15/2034      701,361

419,050

    

BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%)

   4.08%   ^    07/15/2034      419,569

710,600

    

BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    07/15/2034      715,037

611,000

    

BX Trust, Series 2018-GW-E (1 Month LIBOR USD + 1.97%, 1.97% Floor)

   4.00%   ^    05/15/2035      614,681

530,000

    

BX Trust, Series 2018-GW-F (1 Month LIBOR USD + 2.42%, 2.42% Floor)

   4.45%   ^    05/15/2035      533,888

367,000

    

BX Trust, Series 2018-GW-G (1 Month LIBOR USD + 2.92%, 2.92% Floor)

   4.95%   ^    05/15/2035      370,674

1,788,000

    

BX Trust, Series 2018-MCSF-F (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.67%   ^    04/15/2035      1,801,716

2,372,000

    

BX Trust, Series 2019-MMP-E (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    08/15/2036      2,388,286

2,115,000

    

Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)

   4.88%   ^    10/15/2035      2,133,574

9,473,185

    

CD Commercial Mortgage Trust, Series 2017-CD3-XA

   1.18%   # I/O    02/10/2050      578,721

4,500,202

    

CFCRE Commercial Mortgage Trust, Series 2016-C4-XA

   1.88%   # I/O    05/10/2058      396,141

9,375,025

    

CFCRE Commercial Mortgage Trust, Series 2017-C8-XA

   1.81%   # I/O    06/15/2050      831,543

22,058,000

    

CFCRE Commercial Mortgage Trust, Series 2018-TAN-X

   1.85%   # ^ I/O    02/15/2033      1,102,309

563,000

    

CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    07/15/2032      563,562

788,000

    

CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E (1 Month LIBOR USD + 2.15%, 2.25% Floor)

   4.18%   ^    07/15/2032      788,963

1,711,000

    

CGGS Commercial Mortgage Trust, Series 2018-WSS-D (1 Month LIBOR USD + 2.30%, 2.30% Floor)

   4.33%   ^    02/15/2037      1,711,751

44,178,000

    

CGGS Commercial Mortgage Trust, Series 2018-WSS-XCP

   0.00%   # ^ I/O    02/15/2037      442

501,000

    

CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor)

   5.77%   ^    11/15/2036      504,229

1,771,833

    

Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA

   1.15%   # I/O    10/10/2047      75,922

90,000

    

Citigroup Commercial Mortgage Trust, Series 2015-GC27-D

   4.57%   # ^    02/10/2048      86,155

2,519,701

    

Citigroup Commercial Mortgage Trust, Series 2016-P4-XA

   2.14%   # I/O    07/10/2049      248,281

530,000

    

Citigroup Commercial Mortgage Trust, Series 2018-TBR-E (1 Month LIBOR USD + 2.80%, 2.90% Floor)

   4.83%   ^    12/15/2036      531,807

1,040,000

    

Citigroup Commercial Mortgage Trust, Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.75% Floor)

   5.68%   ^    12/15/2036      1,046,996

2,051,000

    

Citigroup Commercial Mortgage Trust, Series 2019-SST2-E (1 Month LIBOR USD + 2.00%, 2.00% Floor)

   4.03%   ^    12/15/2036      2,058,271

571,000

    

CLNS Trust, Series 2017-IKPR-D (1 Month LIBOR USD + 2.05%, 2.05% Floor)

   4.10%   ^    06/11/2032      571,352

571,000

    

CLNS Trust, Series 2017-IKPR-E (1 Month LIBOR USD + 3.50%, 3.50% Floor)

   5.55%   ^    06/11/2032      572,897

571,000

    

CLNS Trust, Series 2017-IKPR-F (1 Month LIBOR USD + 4.50%, 4.50% Floor)

   6.55%   ^    06/11/2032      574,843

1,187,000

    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-D

   4.72%   # ^ Þ    10/15/2045      489,103

2,545,798

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA

   0.83%   # I/O    08/10/2046      59,584

1,534,000

    

Commercial Mortgage Pass-Through Certificates, Series 2013-CR11-D

   5.29%   # ^    08/10/2050      1,564,687

1,039,765

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR17-XA

   1.15%   # I/O    05/10/2047      39,937

78,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C

   4.91%   #    08/10/2047      83,462

125,000

    

Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C

   4.66%   #    11/10/2047      133,650

233,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D

   4.25%   # ^    03/10/2048      232,662

12,996,286

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-XA

   1.04%   # I/O    08/10/2048      539,115

7,992,266

    

Commercial Mortgage Pass-Through Certificates, Series 2015-CR27-XA

   1.26%   # I/O    10/10/2048      362,208

2,337,509

    

Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA

   1.25%   # I/O    02/10/2048      90,294

815,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-C

   4.44%   #    07/10/2048      864,326

12,824,243

    

Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-XA

   0.91%   # I/O    07/10/2048      380,514

406,000

    

Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C

   4.80%   #    10/10/2048      437,655

3,510,254

    

Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA

   1.17%   # I/O    02/10/2049      179,649

2,228,000

    

Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-D (1 Month LIBOR USD + 2.18%, 2.25% Floor)

   4.20%   ^    09/15/2033      2,229,713

3,504

    

Credit Suisse Commercial Mortgage Trust, Series 2007-C1-AM

   5.42%      02/15/2040      3,523

2,018,458

    

Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1

   0.70%   # ^ I/O    09/15/2037      55,892

2,297,000

    

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-E (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    05/15/2036      2,306,012

2,571,255

    

CSAIL Commercial Mortgage Trust, Series 2015-C1-XA

   1.00%   # I/O    04/15/2050      93,653

45,667,264

    

CSAIL Commercial Mortgage Trust, Series 2018-CX12-XA

   0.78%   # I/O    08/15/2051      2,045,766

1,229,000

    

CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor)

   5.33%   ^    07/15/2032      1,238,069

1,898,000

    

DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.45%)

   4.48%   ^    06/15/2033      1,896,128

1,749,542

    

DBGS Mortgage Trust, Series 2018-BIOD-C (1 Month LIBOR USD + 0.95%, 0.95% Floor)

   2.98%   ^    05/15/2035      1,740,782

2,220,000

    

DBUBS Mortgage Trust, Series 2017-BRBK-E

   3.65%   # ^    10/10/2034      2,241,795


189,620

    

FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor)

   7.14%   ^    07/25/2023      196,504

406,000

    

GMAC Commercial Mortgage Securities Trust, Series 2004-C3-D

   5.04%   #    12/10/2041      405,793

564,000

    

GMAC Commercial Mortgage Securities Trust, Series 2004-C3-E

   5.14%   # ^    12/10/2041      562,083

100,000

    

Grace Mortgage Trust, Series 2014-GRCE-A

   3.37%   ^    06/10/2028      101,576

424,000

    

Great Wolf Trust, Series 2017-WOLF-D (1 Month LIBOR USD + 2.10%, 1.00% Floor)

   4.13%   ^    09/15/2034      424,590

657,000

    

Great Wolf Trust, Series 2017-WOLF-E (1 Month LIBOR USD + 3.10%, 1.00% Floor)

   5.13%   ^    09/15/2034      658,836

350,000

    

Great Wolf Trust, Series 2017-WOLF-F (1 Month LIBOR USD + 4.07%, 1.00% Floor)

   6.10%   ^    09/15/2034      351,441

2,370,000

    

Greystone Commercial Real Estate Notes, Series 2019-FL2-D (1 Month LIBOR USD + 2.40%, 2.40% Floor)

   4.66%   ^    09/15/2037      2,382,739

2,659,620

    

GS Mortgage Securities Corporation, Series 2013-GC10-XA

   1.65%   # I/O    02/10/2046      112,558

8,227,050

    

GS Mortgage Securities Corporation, Series 2014-GC24-XA

   0.87%   # I/O    09/10/2047      246,050

2,128,000

    

GS Mortgage Securities Corporation, Series 2018-FBLU-F (1 Month LIBOR USD + 3.25%, 3.25% Floor)

   5.28%   ^    11/15/2035      2,141,509

850,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-E (1 Month LIBOR USD + 2.10%, 2.10% Floor)

   4.13%   ^    07/15/2031      853,483

850,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-F (1 Month LIBOR USD + 2.80%, 2.80% Floor)

   4.83%   ^    07/15/2031      854,944

850,000

    

GS Mortgage Securities Corporation, Series 2018-TWR-G (1 Month LIBOR USD + 3.92%, 3.98% Floor)

   5.95%   ^    07/15/2031      857,973

2,302,000

    

GS Mortgage Securities CorporationTrust 2019-SOHO, Series 2019-SOHO-E (1 Month LIBOR USD + 1.87%, 1.88% Floor)

   3.90%   ^    06/15/2036      2,300,024

165,000

    

GS Mortgage Securities Trust, Series 2014-GC26-D

   4.67%   # ^    11/10/2047      145,583

7,257,037

    

GS Mortgage Securities Trust, Series 2015-GS1-XA

   0.94%   # I/O    11/10/2048      304,200

7,329,618

    

GS Mortgage Securities Trust, Series 2016-GS2-XA

   1.80%   # I/O    05/10/2049      574,674

169,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSA

   5.07%   # ^    03/10/2033      188,308

336,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSB

   5.07%   # ^    03/10/2033      371,734

457,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSC

   5.07%   # ^    03/10/2033      495,888

442,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSD

   5.07%   # ^    03/10/2033      464,382

553,000

    

GS Mortgage Securities Trust, Series 2018-GS10-WLSE

   5.07%   # ^    03/10/2033      570,792

2,377,000

    

GSCG Trust, Series 2019-600C-E

   4.12%   # ^    09/06/2034      2,428,452

1,390,000

    

Hilton Orlando Trust, Series 2018-ORL-E (1 Month LIBOR USD + 2.65%)

   4.68%   ^    12/15/2034      1,401,559

2,254,948

    

HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor)

   5.18%   ^    11/15/2036      2,260,585

1,263,000

    

Hunt Ltd., Series 2017-FL1-C (1 Month LIBOR USD + 2.40%)

   4.43%   ^    08/15/2034      1,262,020

556,000

    

IMT Trust, Series 2017-APTS-EFL (1 Month LIBOR USD + 2.15%)

   4.18%   ^    06/15/2034      556,666

556,000

    

IMT Trust, Series 2017-APTS-FFL (1 Month LIBOR USD + 2.85%)

   4.88%   ^    06/15/2034      557,411

152,661

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B (1 Month LIBOR USD + 1.00%, 1.00% Floor)

   3.03%   ^    06/15/2032      152,145

243,000

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C (1 Month LIBOR USD + 1.25%, 1.25% Floor)

   3.28%   ^    06/15/2032      241,870

786,000

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    06/15/2032      781,388

604,749

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C (1 Month LIBOR USD + 1.60%, 1.60% Floor)

   3.63%   ^    06/15/2032      607,255

239,980

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D (1 Month LIBOR USD + 2.10%, 2.30% Floor)

   4.13%   ^    06/15/2032      241,982

76,794

    

JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-E (1 Month LIBOR USD + 3.00%, 3.35% Floor)

   5.03%   ^    06/15/2035      77,641

108,786

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2004-CBX-D

   5.10%   #    01/12/2037      108,731

277,512

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS

   5.34%      05/15/2047      266,782

6,185,067

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA

   0.88%   # I/O    12/15/2049      206,516

1,431,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E

   4.14%   # ^    10/05/2031      1,449,060

1,957,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX

   5.54%   ^    07/05/2033      2,085,456

766,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-C

   4.34%   ^    05/05/2032      815,939

784,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-D

   4.60%   # ^    05/05/2032      828,868

915,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-E

   4.60%   # ^    05/05/2032      947,783

960,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-F

   4.60%   # ^    05/05/2032      966,079

1,049,000

    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-G

   4.60%   # ^    05/05/2032      1,020,291

1,755,852

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA

   1.01%   # I/O    02/15/2047      54,103

100,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C

   4.61%   #    09/15/2047      106,536

150,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-C

   4.60%   #    11/15/2047      155,580

425,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C

   4.52%   #    01/15/2048      452,190

2,230,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C

   4.29%   #    05/15/2048      2,325,589

5,933,999

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA

   0.90%   # I/O    05/15/2048      148,781

5,461,902

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA

   1.07%   # I/O    08/15/2048      216,818

470,000

    

JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C

   4.77%   #    12/15/2048      503,491

2,532,000

    

LCCM, Series 2017-LC26-C

   4.71%   ^    07/12/2050      2,691,041

4,156,410

    

LSTAR Commercial Mortgage Trust, Series 2016-4-XA

   2.03%   # ^ I/O    03/10/2049      253,979

16,454,533

    

LSTAR Commercial Mortgage Trust, Series 2017-5-X

   1.26%   # ^ I/O    03/10/2050      684,168

2,957,000

    

Madison Avenue Trust, Series 2013-650M-E

   4.17%   # ^    10/12/2032      2,949,444

2,176,000

    

Monarch Beach Resort Trust, Series 2018-MBR-F (1 Month LIBOR USD + 2.55%, 2.55% Floor)

   4.58%   ^    07/15/2035      2,183,433

100,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C

   4.68%   #    10/15/2047      106,279

500,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C

   4.00%      12/15/2047      516,867

500,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C

   4.61%   #    02/15/2048      531,081

301,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-D

   3.07%   ^    02/15/2048      282,455

360,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C

   4.27%   #    07/15/2050      374,418

274,000

    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C

   4.68%   #    12/15/2047      286,412

393,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%)

   4.23%   ^    11/15/2034      393,490

590,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%)

   5.18%   ^    11/15/2034      590,736

447,000

    

Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%)

   6.38%   ^    11/15/2034      447,837

679,000

    

Morgan Stanley Capital Trust, Series 2017-CLS-E (1 Month LIBOR USD + 1.95%, 1.95% Floor)

   3.98%   ^    11/15/2034      680,865

755,000

    

Morgan Stanley Capital Trust, Series 2017-CLS-F (1 Month LIBOR USD + 2.60%, 2.60% Floor)

   4.63%   ^    11/15/2034      758,367

561,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-D (1 Month LIBOR USD + 1.65%, 1.65% Floor)

   3.68%   ^    07/15/2035      561,950

837,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-F (1 Month LIBOR USD + 2.55%, 2.55% Floor)

   4.58%   ^    07/15/2035      839,352

561,000

    

Morgan Stanley Capital Trust, Series 2018-SUN-G (1 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.08%   ^    07/15/2035      563,040

979,983

    

Motel 6 Trust, Series 2017-MTL6-D (1 Month LIBOR USD + 2.15%, 2.15% Floor)

   4.18%   ^    08/15/2034      983,865

550,800

    

MSCG Trust, Series 2016-SNR-C

   5.21%   ^    11/15/2034      562,756

2,267,000

    

MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor)

   5.08%   ^    10/15/2037      2,275,612

1,919,000

    

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C (1 Month LIBOR USD + 2.20%, 2.20% Floor)

   4.40%   ^    06/15/2035      1,903,770

71,041,072

    

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-XCP

   0.89%   # ^ I/O    06/15/2021      491,320

2,047,000

    

NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor)

   3.93%   ^    02/15/2036      2,061,841

2,221,000

    

One Market Plaza Trust, Series 2017-1MKT-E

   4.14%   ^    02/10/2032      2,245,616

907,578

    

PFP Ltd., Series 2017-4-C (1 Month LIBOR USD + 2.25%, 2.25% Floor)

   4.28%   ^    07/14/2035      909,431

2,231,000

    

PFP Ltd., Series 2019-5-B (1 Month LIBOR USD + 1.65%)

   3.68%   ^    04/14/2036      2,241,597

1,573,000

    

STWD Ltd., Series 2019-FL1-D (1 Month LIBOR USD + 2.35%, 0.00% Floor)

   4.62%   ^    07/15/2038      1,584,404

1,283,167

    

Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor)

   5.22%   ^    11/11/2034      1,289,697

1,541,000

    

TRTX Issuer Ltd. 2018-FL2-D, Series 2018-FL2-D (1 Month LIBOR USD + 2.70%, 0.00% Floor)

   4.72%   ^    11/15/2037      1,560,262


1,097,000

    

UBS Commercial Mortgage Trust, Series 2018-C8-C

   4.86%   #    02/15/2051      1,210,946

15,907,101

    

UBS Commercial Mortgage Trust, Series 2018-C8-XA

   1.04%   # I/O    02/15/2051      952,641

1,500,000

    

VMC Finance LLC, Series 2019-FL3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor)

   4.85%   ^    09/15/2036      1,504,690

500,000

    

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D

   3.94%   ^    08/15/2050      411,758

200,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C

   3.89%      02/15/2048      202,695

400,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C28-C

   4.25%   #    05/15/2048      412,999

10,413,083

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C30-XA

   1.05%   # I/O    09/15/2058      468,425

540,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C

   4.76%   #    11/15/2048      580,044

5,677,412

    

Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA

   1.18%   # I/O    11/15/2048      290,303

2,626,774

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1-XA

   1.27%   # I/O    05/15/2048      106,612

8,643,222

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA

   0.87%   # I/O    07/15/2058      244,117

411,000

    

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C

   4.75%   #    12/15/2048      445,704

2,677,271

    

Wells Fargo Commercial Mortgage Trust, Series 2016-C33-XA

   1.92%   # I/O    03/15/2059      212,387

15,492,461

    

Wells Fargo Commercial Mortgage Trust, Series 2017-C38-XA

   1.21%   # I/O    07/15/2050      982,628

3,033,999

    

Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-XA

   1.67%   # I/O    01/15/2060      244,775

1,036,907

    

Wells Fargo Commercial Mortgage Trust, Series 2018-BXI-E (1 Month LIBOR USD + 2.16%)

   4.18%   ^    12/15/2036      1,043,702

2,267,000

    

Wells Fargo Commercial Mortgage Trust, Series 2018-C47-C

   5.10%   #    09/15/2061      2,507,853

3,382,975

    

WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA

   1.20%   # I/O    08/15/2047      138,489

4,927,469

    

WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA

   1.78%   # I/O    11/15/2049      375,857
                 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $156,589,200)

          155,091,164
         

 

Non-Agency Residential Collateralized Mortgage Obligations - 21.8%

         

4,437,099

    

ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2A (1 Month LIBOR USD + 0.09%, 0.09% Floor)

   2.11%      01/25/2037      3,233,394

5,258,174

    

Ajax Mortgage Loan Trust, Series 2017-C-A

   3.75%      07/25/2060      5,289,280

8,128,958

    

APS Resecuritization Trust, Series 2015-3-1MZ (12 Month US Treasury Average + 0.96%, 0.96% Floor)

   2.79%   ^>    10/27/2046      7,279,198

750,000

    

Banc of America Funding Corporation, Series 2005-B-3M1 (1 Month LIBOR USD + 0.68%, 0.45% Floor, 11.00% Cap)

   2.72%      04/20/2035      746,260

7,787,627

    

Bayview Opportunity Master Fund Trust, Series 2018-SBR4-A1

   4.38%      06/28/2033      7,850,590

1,229,400

    

Bear Stearns Alt-A Trust, Series 2006-4-22A1

   4.46%   #    08/25/2036      1,147,704

2,218,557

    

Bear Stearns ARM Trust, Series 2006-2-2A1

   4.28%   #    07/25/2036      2,113,915

2,783,478

    

Chase Mortgage Finance Trust, Series 2007-S4-A4 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)

   2.62%      06/25/2037      1,347,300

7,510,246

    

CHL Mortgage Pass-Through Trust, Series 2007-14-A19

   6.00%      09/25/2037      6,085,991

6,776,817

    

CHL Mortgage Pass-Through Trust, Series 2007-9-A1

   5.75%      07/25/2037      5,682,066

6,056,644

    

CHL Mortgage Pass-Through Trust, Series 2007-9-A13

   5.75%      07/25/2037      5,090,380

4,800,000

    

CHL Mortgage Pass-Through Trust, Series 2018-GT1-A (1 Month LIBOR USD + 2.75%)

   4.77%   ^    05/25/2023      4,820,050

13,420,000

    

CIM Trust, Series 2017-3RR-B2

   10.97%   # ^ Þ    01/27/2057      13,939,824

3,144,285

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1-A1 (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.16%   ^    09/25/2036      3,060,085

4,766,520

    

Citigroup Mortgage Loan Trust, Inc., Series 2006-AR6-2A3 (1 Month LIBOR USD + 0.25%, 0.25% Floor)

   2.27%      09/25/2036      4,720,620

9,098,346

    

CitiMortgage Alternative Loan Trust, Series 2007-A5-1A1

   6.00%      05/25/2037      9,063,087

1,329,491

    

CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10

   5.75%      05/25/2037      1,307,287

1,902,625

    

Civic Mortgage LLC, Series 2018-2-A2

   5.32%      11/25/2022      1,899,391

466,058

    

Countrywide Alternative Loan Trust, Series 2005-75CB-A3

   5.50%      01/25/2036      435,784

663,325

    

Countrywide Alternative Loan Trust, Series 2006-23CB-2A2

   6.50%      08/25/2036      407,303

472,588

    

Countrywide Alternative Loan Trust, Series 2007-15CB-A7

   6.00%      07/25/2037      434,050

675,615

    

Countrywide Alternative Loan Trust, Series 2008-1R-2A3

   6.00%      08/25/2037      569,116

390,680

    

Countrywide Home Loans, Series 2005-HYB9-3A2A (12 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap)

   3.71%      02/20/2036      346,624

383,510

    

Countrywide Home Loans, Series 2007-14-A15

   6.50%      09/25/2037      322,397

810,244

    

Countrywide Home Loans, Series 2007-HY1-1A1

   4.45%   #    04/25/2037      803,258

369,424

    

Credit Suisse First Boston Mortgage Backed Trust, Series 2006-2-A5A

   6.08%      09/25/2036      215,288

658,915

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-6A9

   5.50%      11/25/2035      527,961

319,853

    

Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-5A9

   5.50%      10/25/2035      285,564

1,500,000

    

Credit Suisse Mortgage Capital Certificates, Series 2011-12R-3A5

   4.12%   # ^    07/27/2036      1,500,483

216,354

    

Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9

   3.95%   # ^    11/27/2037      221,920

197,503

    

Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-1A2

   6.50%   # ^    07/27/2037      194,134

364,951

    

Deutsche Securities, Inc., Series 2006-AB4-A1A

   6.01%   #    10/25/2036      351,097

15,000,000

    

FMC GMSR Issuer Trust, Series 2019-GT1-A

   5.07%   # ^    05/25/2024      15,514,191

10,000,000

    

Freddie Mac STACR Trust, Series 2019-DNA2-M2 (1 Month LIBOR USD + 2.45%, 0.00% Floor)

   4.47%   ^    03/25/2049      10,119,241

5,502,638

    

GCAT LLC, Series 2018-1-A1

   3.84%      06/25/2048      5,523,934

14,000,000

    

Home Partners of America Trust, Series 2019-2-F

   3.87%   ^    10/19/2039      14,120,050

1,113,349

    

Impac Secured Assets Trust, Series 2006-5-1A1C (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap)

   2.29%      02/25/2037      1,016,796

2,115,373

    

IndyMac Mortgage Loan Trust, Series 2004-AR4-3A

   4.37%   #    08/25/2034      2,125,615

2,083,836

    

IndyMac Mortgage Loan Trust, Series 2006-AR19-2A1

   3.81%   #    08/25/2036      1,901,079

12,649,592

    

IndyMac Mortgage Loan Trust, Series 2007-FLX6-1A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor)

   2.27%      09/25/2037      12,547,441

598,823

    

JP Morgan Mortgage Trust, Series 2005-S3-1A2

   5.75%      01/25/2036      471,826

708,569

    

JP Morgan Mortgage Trust, Series 2007-A2-4A1M

   4.17%   #    04/25/2037      658,277

174,399

    

Lehman Mortgage Trust, Series 2006-1-1A3

   5.50%      02/25/2036      146,176

8,858,624

    

Lehman Trust, Series 2006-GP3-1A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor)

   2.22%      06/25/2046      8,902,375

3,000,000

    

loanDepot GMSR Master Trust, Series 2018-GT1-A (1 Month LIBOR USD + 2.80%, 2.80% Floor)

   4.83%   ^    10/16/2023      3,025,392

143,935

    

MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1

   4.56%   #    04/25/2036      127,448

2,690,000

    

Mello Warehouse Securitization Trust, Series 2019-1-F (1 Month LIBOR USD + 3.50%, 3.50% Floor)

   5.52%   ^    06/25/2052      2,698,330

356,579

    

Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A7

   6.00%      03/25/2037      252,633

775,165

    

Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF2C

   6.25%      08/25/2036      534,077

10,273,893

    

MFA LLC, Series 2018-NPL2-A1

   4.16%      07/25/2048      10,376,095

136,830

    

Morgan Stanley Mortgage Loan Trust, Series 2005-7-4A1

   5.50%      11/25/2035      123,131

118,231

    

Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A4

   5.75%      02/25/2036      122,753

451,473

    

Morgan Stanley Mortgage Loan Trust, Series 2006-2-7A1

   5.67%   #    02/25/2036      391,727

629,542

    

Morgan Stanley Mortgage Loan Trust, Series 2007-8XS-A1

   5.75%   #    04/25/2037      431,377

10,546,642

    

Morgan Stanley Resecuritization Trust, Series 2013-R7-8B (12 Month US Treasury Average + 0.96%, 0.96% Floor)

   3.44%   ^ Þ    12/26/2046      9,945,546

4,073,755

    

New Century Home Equity Loan Trust, Series 2006-1-A2B (1 Month LIBOR USD + 0.18%, 0.18% Floor, 12.50% Cap)

   2.20%      05/25/2036      3,870,771

6,499,853

    

New Residential Mortgage Loan Trust, Series 2018-FNT2-B

   4.09%   ^    07/25/2054      6,609,843

12,582,549

    

NovaStar Mortgage Funding Trust Series, Series 2006-3-A2C (1 Month LIBOR USD + 0.16%, 0.16% Floor)

   2.18%      10/25/2036      7,359,363

14,181,686

    

PMT Credit Risk Transfer Trust 2019-2R, Series 2019-2R-A (1 Month LIBOR USD + 2.75%, 2.75% Floor)

   4.89%   ^    05/27/2023      14,265,704

17,600,000

    

PNMAC GMSR Trust, Series 2018-FT1-A (1 Month LIBOR USD + 2.35%)

   4.37%   ^    04/25/2023      17,524,957

3,100,000

    

Progress Residential Trust, Series 2019-SFR4-F

   3.68%   ^    11/17/2036      3,125,544

654,730

    

PRPM LLC, Series 2017-1A-A1

   4.25%      01/25/2022      657,789

3,500,000

    

PRPM LLC, Series 2017-2A-A2

   5.00%      09/25/2022      3,517,727

6,085,676

    

PRPM LLC, Series 2018-1A-A1

   3.75%   # ^    04/25/2023      6,106,505

245,627

    

Residential Accredit Loans, Inc., Series 2006-QS10-A9

   6.50%      08/25/2036      235,822


554,407

    

Residential Accredit Loans, Inc., Series 2006-QS12-2A3

   6.00%      09/25/2036      541,825

1,983,978

    

Residential Asset Securitization Trust, Series 2005-A15-5A2

   5.75%      02/25/2036      1,372,619

425,231

    

Residential Asset Securitization Trust, Series 2006-A2-A11

   6.00%      01/25/2046      303,060

6,210,381

    

Residential Funding Mortgage Securities Trust, Series 2006-S8-A10

   6.00%      09/25/2036      5,959,026

6,638,756

    

Soundview Home Loan Trust, Series 2007-OPT1-2A2 (1 Month LIBOR USD + 0.15%, 0.15% Floor)

   2.17%      06/25/2037      5,059,729

2,128,837

    

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1

   4.49%   #    12/25/2035      2,052,661

7,895,206

    

Structured Asset Securities Corporation, Series 2007-RF1-1A (1 Month LIBOR USD + 0.19%, 0.19% Floor)

   2.21%   ^    03/25/2037      6,916,804

13,566,020

    

TBW Mortgage Backed Pass Through, Series 2006-3-4A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap)

   2.42%      07/25/2036      1,693,492

13,566,108

    

TBW Mortgage Backed Pass Through, Series 2006-3-4A3 (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)

   5.08%   I/F I/O    07/25/2036      3,177,278

10,000,000

    

Toorak Mortgage Corporation Ltd., Series 2019-1-A1

   4.46%      03/25/2022      10,224,510

5,000,000

    

Tricon American Homes Trust, Series 2019-SFR1-F

   3.75%   ^    03/17/2038      5,042,090

2,409,660

    

Velocity Commercial Capital Loan Trust, Series 2018-2-M1

   4.26%   # ^    10/26/2048      2,470,812

1,261,851

    

Velocity Commercial Capital Loan Trust, Series 2018-2-M2

   4.51%   # ^    10/26/2048      1,295,585

817,703

    

Velocity Commercial Capital Loan Trust, Series 2018-2-M3

   4.72%   # ^    10/26/2048      841,144

3,258,906

    

Velocity Commercial Capital Loan Trust, Series 2019-2-M4

   3.99%   # ^    07/25/2049      3,293,398

1,296,591

    

Verus Securitization, Series 2017-1A-A3

   3.72%   # ^    01/25/2047      1,297,461

5,000,000

    

VOLT LLC, Series 2018-NPL6-A1B

   4.56%      09/25/2048      5,042,074

937,102

    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-2-4CB

   6.00%      03/25/2036      922,213

599,777

    

Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1

   6.25%      11/25/2037      598,096
                 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $316,474,288)

          313,744,813
         

 

US Corporate Bonds - 7.1%

         

395,000

    

Acrisure LLC

   8.13%   ^    02/15/2024      426,353

95,000

    

Advanced Drainage Systems, Inc.

   5.00%   ^    09/30/2027      96,543

565,000

    

AECOM

   5.13%      03/15/2027      596,075

350,000

    

Air Medical Merger Sub Corporation

   6.38%   ^    05/15/2023      306,250

110,000

    

AK Steel Corporation

   7.63%      10/01/2021      108,900

140,000

    

AK Steel Corporation

   6.38%      10/15/2025      120,050

625,000

    

Albertsons LLC

   5.88%   ^    02/15/2028      663,087

765,000

    

Alliant Holdings Intermediate LLC

   8.25%   ^    08/01/2023      783,169

300,000

    

Allied Universal Holding Company

   6.63%   ^    07/15/2026      317,625

215,000

    

Allied Universal Holding Company

   9.75%   ^    07/15/2027      224,593

800,000

    

Allison Transmission, Inc.

   5.00%   ^    10/01/2024      819,000

325,000

    

AMC Merger, Inc.

   8.00%   ^    05/15/2025      222,625

250,000

    

American Axle & Manufacturing, Inc.

   6.25%      03/15/2026      240,000

265,000

    

Amsted Industries, Inc.

   5.63%   ^    07/01/2027      280,237

335,000

    

Antero Midstream Partners LP

   5.75%   ^    03/01/2027      280,556

660,000

    

Aramark Services, Inc.

   5.00%   ^    04/01/2025      683,100

305,000

    

Argos Merger Sub, Inc.

   7.13%   ^    03/15/2023      288,225

580,000

    

Ascend Learning LLC

   6.88%   ^    08/01/2025      602,475

185,000

    

Ascend Learning LLC

   6.88%   ^    08/01/2025      193,094

675,000

    

AssuredPartners, Inc.

   7.00%   ^    08/15/2025      678,375

695,000

    

Avantor, Inc.

   9.00%   ^    10/01/2025      782,744

450,000

    

B&G Foods, Inc.

   5.25%      04/01/2025      461,250

290,000

    

B&G Foods, Inc.

   5.25%      09/15/2027      296,916

195,000

    

Banff Merger Sub, Inc.

   9.75%   ^    09/01/2026      187,102

210,000

    

Bausch Health Companies, Inc.

   7.00%   ^    03/15/2024      221,227

170,000

    

Bausch Health Companies, Inc.

   5.75%   ^    08/15/2027      184,166

545,000

    

Bausch Health Cos, Inc.

   7.25%   ^    05/30/2029      596,666

545,000

    

Bausch Health Cos, Inc.

   7.00%   ^    01/15/2028      588,382

790,000

    

Beacon Escrow Corporation

   4.88%   ^    11/01/2025      778,150

190,000

    

Beacon Roofing Supply, Inc.

   4.50%   ^    11/15/2026      191,662

270,000

    

Berry Global Escrow Corporation

   5.63%   ^    07/15/2027      280,125

785,000

    

Boyne USA, Inc.

   7.25%   ^    05/01/2025      859,261

635,000

    

Builders FirstSource, Inc.

   5.63%   ^    09/01/2024      662,781

155,000

    

Builders FirstSource, Inc.

   6.75%   ^    06/01/2027      167,787

100,000

    

Calfrac Holdings LP

   8.50%   ^    06/15/2026      45,000

280,000

    

Calpine Corporation

   5.75%      01/15/2025      288,050

275,000

    

Calpine Corporation

   5.25%   ^    06/01/2026      285,656

280,000

    

Carvana Company

   8.88%   ^    10/01/2023      289,716

445,000

    

Catalent Pharma Solutions, Inc.

   5.00%   ^    07/15/2027      462,800

1,520,000

    

CCO Holdings LLC

   5.75%   ^    02/15/2026      1,607,400

395,000

    

CCO Holdings LLC

   5.00%   ^    02/01/2028      409,319

275,000

    

CDK Global, Inc.

   5.88%      06/15/2026      293,562

195,000

    

CDK Global, Inc.

   5.25%   ^    05/15/2029      202,069

420,000

    

Cedar Fair LP

   5.25%   ^    07/15/2029      450,975

365,000

    

Cengage Learning, Inc.

   9.50%   ^    06/15/2024      335,800

735,000

    

Centene Corporation

   4.75%      01/15/2025      756,315

240,000

    

Centene Corporation

   5.38%   ^    06/01/2026      252,000

270,000

    

Century Communities, Inc.

   6.75%   ^    06/01/2027      290,655

400,000

    

CFX Escrow Corporation

   6.00%   ^    02/15/2024      424,840

385,000

    

CFX Escrow Corporation

   6.38%   ^    02/15/2026      414,717

780,000

    

Cheniere Energy Partners LP

   5.25%      10/01/2025      814,320

315,000

    

Cheniere Energy Partners LP

   5.63%      10/01/2026      335,837

190,000

    

Cheniere Energy Partners LP

   4.50%   ^    10/01/2029      195,106

450,000

    

Cincinnati Bell, Inc.

   7.00%   ^    07/15/2024      418,500

490,000

    

Clean Harbors, Inc.

   4.88%   ^    07/15/2027      512,662

110,000

    

Clean Harbors, Inc.

   5.13%   ^    07/15/2029      116,875

302,000

    

Clear Channel Worldwide Holdings, Inc.

   9.25%   ^    02/15/2024      332,550

355,000

    

Clear Channel Worldwide Holdings, Inc.

   5.13%   ^    08/15/2027      370,744

190,000

    

CNO Financial Group, Inc.

   5.25%      05/30/2029      208,525

747,000

    

CNX Midstream Partners LP

   6.50%   ^    03/15/2026      692,917

320,000

    

CommScope Finance LLC

   5.50%   ^    03/01/2024      330,800

130,000

    

CommScope Finance LLC

   6.00%   ^    03/01/2026      135,174

310,000

    

Constellation Merger Sub, Inc.

   8.50%   ^    09/15/2025      261,175

660,000

    

Cott Holdings, Inc.

   5.50%   ^    04/01/2025      687,245

470,000

    

CRC Issuer LLC

   5.25%   ^    10/15/2025      481,703


510,000

    

Credit Acceptance Corporation

   6.63%   ^    03/15/2026      546,975

410,000

    

Crown Americas LLC

   4.50%      01/15/2023      431,525

115,000

    

Crown Americas LLC

   4.75%      02/01/2026      120,606

515,000

    

CSC Holdings LLC

   5.25%      06/01/2024      554,912

645,000

    

CSC Holdings LLC

   5.75%   ^    01/15/2030      674,909

610,000

    

CSI Compressco LP

   7.50%   ^    04/01/2025      602,375

500,000

    

Dana Financing Ltd.

   5.75%   ^    04/15/2025      512,925

235,000

    

Diamond Sports Group LLC

   5.38%   ^    08/15/2026      244,400

315,000

    

DISH DBS Corporation

   5.88%      11/15/2024      313,425

105,000

    

Dun & Bradstreet Corporation

   10.25%   ^    02/15/2027      116,550

305,000

    

Eagle Holding Company (PIK 9.00%)

   7.75%   ^    05/15/2022      308,050

300,000

    

EES Finance Corporation

   8.13%      05/01/2025      300,375

390,000

    

Eldorado Resorts, Inc.

   6.00%      04/01/2025      412,425

500,000

    

Embarq Corporation

   8.00%      06/01/2036      496,720

140,000

    

Encompass Health Corporation

   4.50%      02/01/2028      141,890

45,000

    

Encompass Health Corporation

   4.75%      02/01/2030      45,580

400,000

    

Energizer Holdings, Inc.

   7.75%   ^    01/15/2027      446,680

726,000

    

Ensemble S Merger Sub, Inc.

   9.00%   ^    09/30/2023      746,872

95,000

    

Enterprise Merger Sub, Inc.

   8.75%   ^    10/15/2026      58,425

255,000

    

EP Energy LLC

   7.75%   ^    05/15/2026      192,525

901,000

    

ESH Hospitality, Inc.

   5.25%   ^    05/01/2025      933,661

185,000

    

ESH Hospitality, Inc.

   4.63%   ^    10/01/2027      185,925

155,000

    

Extraction Oil & Gas, Inc.

   5.63%   ^    02/01/2026      95,712

345,000

    

Financial & Risk US Holdings, Inc.

   6.25%   ^    05/15/2026      370,872

355,000

    

Financial & Risk US Holdings, Inc.

   8.25%   ^    11/15/2026      392,719

455,000

    

Flex Acquisition Company, Inc.

   6.88%   ^    01/15/2025      417,280

430,000

    

Foresight Energy LLC

   11.50%   ^    04/01/2023      93,525

490,000

    

Frontdoor, Inc.

   6.75%   ^    08/15/2026      537,785

120,000

    

Frontier Communications Corporation

   8.50%      04/15/2020      63,600

220,000

    

Frontier Communications Corporation

   7.13%      01/15/2023      98,450

175,000

    

Frontier Communications Corporation

   8.50%   ^    04/01/2026      175,420

310,000

    

Frontier Communications Corporation

   8.00%   ^    04/01/2027      327,729

237,000

    

FTS International, Inc.

   6.25%      05/01/2022      195,525

775,000

    

Genesys Telecommunications Laboratories, Inc.

   10.00%   ^    11/30/2024      839,759

515,000

    

Global Aircraft Leasing Company (PIK 7.00%)

   6.50%   ^    09/15/2024      522,725

435,000

    

Gogo Finance Company, Inc.

   9.88%   ^    05/01/2024      466,537

240,000

    

Golden Entertainment, Inc.

   7.63%   ^    04/15/2026      251,400

855,000

    

Golden Nugget, Inc.

   6.75%   ^    10/15/2024      878,512

110,000

    

Golden Nugget, Inc.

   8.75%   ^    10/01/2025      114,950

200,000

    

Gray Television, Inc.

   5.13%   ^    10/15/2024      207,750

340,000

    

Gray Television, Inc.

   7.00%   ^    05/15/2027      374,833

195,000

    

GrubHub Holdings, Inc.

   5.50%   ^    07/01/2027      199,387

300,000

    

GTT Communications, Inc.

   7.88%   ^    12/31/2024      171,000

405,000

    

Gulfport Energy Corporation

   6.38%      05/15/2025      289,575

195,000

    

HCA, Inc.

   5.25%      04/15/2025      217,175

1,105,000

    

HCA, Inc.

   5.38%      09/01/2026      1,216,826

55,000

    

HCA, Inc.

   5.88%      02/01/2029      61,600

1,105,000

    

Hess Infrastructure Partners LP

   5.63%   ^    02/15/2026      1,160,250

225,000

    

Hexion, Inc.

   7.88%   ^    07/15/2027      223,312

320,000

    

HilCorporationEnergy LP

   6.25%   ^    11/01/2028      299,200

140,000

    

Hill-Rom Holdings, Inc.

   4.38%   ^    09/15/2027      143,479

1,115,000

    

Hilton Domestic Operating Company, Inc.

   4.25%      09/01/2024      1,138,694

400,000

    

Horizon Pharma USA, Inc.

   5.50%   ^    08/01/2027      417,000

330,000

    

IAA Spinco, Inc.

   5.50%   ^    06/15/2027      348,975

355,000

    

Icahn Enterprises Finance Corporation

   6.25%      02/01/2022      365,117

135,000

    

Icahn Enterprises Finance Corporation

   6.38%      12/15/2025      142,292

690,000

    

Icahn Enterprises Finance Corporation

   6.25%   ^    05/15/2026      724,500

110,000

    

iHeartCommunications, Inc.

   6.38%      05/01/2026      119,350

55,000

    

iHeartCommunications, Inc.

   8.38%      05/01/2027      59,675

235,000

    

iHeartCommunications, Inc.

   5.25%   ^    08/15/2027      244,987

205,000

    

Indigo Natural Resources LLC

   6.88%   ^    02/15/2026      185,781

720,000

    

Informatica LLC

   7.13%   ^    07/15/2023      734,400

335,000

    

Installed Building Products, Inc.

   5.75%   ^    02/01/2028      346,306

475,000

    

IQVIA, Inc.

   5.00%   ^    05/15/2027      498,750

525,000

    

IRB Holding Corporation

   6.75%   ^    02/15/2026      528,937

610,000

    

Iridium Communications, Inc.

   10.25%   ^    04/15/2023      658,800

295,000

    

Iron Mountain, Inc.

   4.88%   ^    09/15/2029      300,251

235,000

    

iStar, Inc.

   4.75%      10/01/2024      239,406

65,000

    

JBS LLC

   5.75%   ^    06/15/2025      67,962

95,000

    

JBS USA Finance, Inc.

   5.88%   ^    07/15/2024      98,033

390,000

    

JBS USA Finance, Inc.

   6.75%   ^    02/15/2028      433,387

375,000

    

JBS USA Finance, Inc.

   6.50%   ^    04/15/2029      417,187

165,000

    

JBS USA LUX S.A.

   5.50%   ^    01/15/2030      175,309

635,000

    

JELD-WEN, Inc.

   4.63%   ^    12/15/2025      638,988

560,000

    

KAR Auction Services, Inc.

   5.13%   ^    06/01/2025      582,400

335,000

    

Kratos Defense & Security Solutions, Inc.

   6.50%   ^    11/30/2025      358,450

690,000

    

Level 3 Financing, Inc.

   5.38%      01/15/2024      705,421

350,000

    

Level 3 Financing, Inc.

   4.63%   ^    09/15/2027      354,043

435,000

    

Lions Gate Capital Holdings LLC

   6.38%   ^    02/01/2024      461,048

680,000

    

Live Nation Entertainment, Inc.

   5.63%   ^    03/15/2026      725,050

720,000

    

LTF Merger Sub, Inc.

   8.50%   ^    06/15/2023      739,800

440,000

    

Marriott Ownership Resorts, Inc.

   6.50%      09/15/2026      476,300

470,000

    

Masonite International Corporation

   5.75%   ^    09/15/2026      497,613

590,000

    

Match Group, Inc.

   5.00%   ^    12/15/2027      615,075

175,000

    

Matterhorn Merger Sub LLC

   8.50%   ^    06/01/2026      131,688

430,000

    

MGM Growth Properties LP

   5.75%   ^    02/01/2027      483,342

510,000

    

MGM Resorts International

   5.75%      06/15/2025      564,188


240,000

    

Moss Creek Resources Holdings, Inc.

   7.50%   ^    01/15/2026      177,900

465,000

    

MPH Acquisition Holdings LLC

   7.13%   ^    06/01/2024      430,706

305,000

    

MPT Finance Corporation

   4.63%      08/01/2029      314,722

110,000

    

MPT Operating Partnership LP

   5.25%      08/01/2026      115,665

695,000

    

MPT Operating Partnership LP

   5.00%      10/15/2027      729,750

570,000

    

Murphy Oil USA, Inc.

   4.75%      09/15/2029      584,250

290,000

    

Nabors Industries, Inc.

   5.75%      02/01/2025      216,050

640,000

    

Navient Corporation

   6.50%      06/15/2022      683,200

350,000

    

Netflix, Inc.

   5.88%      02/15/2025      385,224

175,000

    

Netflix, Inc.

   5.38%   ^    11/15/2029      182,438

730,000

    

NFP Corporation

   6.88%   ^    07/15/2025      727,263

270,000

    

NGL Energy Finance Corporation

   7.50%   ^    04/15/2026      271,890

425,000

    

NRG Energy, Inc.

   5.25%   ^    06/15/2029      458,596

590,000

    

NuStar Logistics LP

   6.00%      06/01/2026      640,032

325,000

    

NVA Holdings, Inc.

   6.88%   ^    04/01/2026      346,531

360,000

    

Oasis Petroleum, Inc.

   6.88%      03/15/2022      337,500

260,000

    

Oasis Petroleum, Inc.

   6.25%   ^    05/01/2026      211,900

335,000

    

Panther BF Aggregator LP

   6.25%   ^    05/15/2026      353,425

175,000

    

Panther BF Aggregator LP

   8.50%   ^    05/15/2027      177,625

340,000

    

Par Petroleum Finance Corporation

   7.75%   ^    12/15/2025      339,150

520,000

    

Parsley Energy LLC

   5.63%   ^    10/15/2027      539,500

585,000

    

Peabody Securities Finance Corporation

   6.00%   ^    03/31/2022      590,850

605,000

    

Penn National Gaming, Inc.

   5.63%   ^    01/15/2027      626,175

335,000

    

Performance Food Group, Inc.

   5.50%   ^    10/15/2027      353,425

130,000

    

PetSmart, Inc.

   5.88%   ^    06/01/2025      130,000

700,000

    

Pilgrim’s Pride Corporation

   5.88%   ^    09/30/2027      754,425

285,000

    

Polaris Intermediate Corporation (PIK 9.00%)

   8.50%   ^    12/01/2022      243,675

545,000

    

Post Holdings, Inc.

   5.50%   ^    03/01/2025      572,931

105,000

    

Post Holdings, Inc.

   5.50%   ^    12/15/2029      109,856

284,000

    

Prime Security Services Borrower LLC

   9.25%   ^    05/15/2023      299,102

315,000

    

QEP Resources, Inc.

   5.25%      05/01/2023      293,744

245,000

    

QEP Resources, Inc.

   5.63%      03/01/2026      211,925

120,000

    

Radiate Finance, Inc.

   6.88%   ^    02/15/2023      124,050

290,000

    

Radiate Finance, Inc.

   6.63%   ^    02/15/2025      293,509

485,000

    

Resideo Funding, Inc.

   6.13%   ^    11/01/2026      512,888

255,000

    

Riverbed Technology, Inc.

   8.88%   ^    03/01/2023      140,250

360,000

    

Schweitzer-Mauduit International, Inc.

   6.88%   ^    10/01/2026      381,600

410,000

    

Scientific Games International, Inc.

   5.00%   ^    10/15/2025      424,063

270,000

    

Scientific Games International, Inc.

   8.25%   ^    03/15/2026      288,225

340,000

    

Scripps Escrow, Inc.

   5.88%   ^    07/15/2027      345,950

445,000

    

Select Medical Corporation

   6.25%   ^    08/15/2026      466,138

494,000

    

Sirius XM Radio, Inc.

   5.38%   ^    07/15/2026      520,483

260,000

    

Sirius XM Radio, Inc.

   5.50%   ^    07/01/2029      278,200

700,000

    

Six Flags Entertainment Corporation

   4.88%   ^    07/31/2024      726,250

50,000

    

Spectrum Brands, Inc.

   5.00%   ^    10/01/2029      51,000

360,000

    

Springleaf Finance Corporation

   6.88%      03/15/2025      397,575

60,000

    

Springleaf Finance Corporation

   7.13%      03/15/2026      66,672

95,000

    

Springleaf Finance Corporation

   6.63%      01/15/2028      102,391

900,000

    

Sprint Capital Corporation

   6.88%      11/15/2028      983,430

865,000

    

Sprint Corporation

   7.13%      06/15/2024      934,460

580,000

    

SS&C Technologies, Inc.

   5.50%   ^    09/30/2027      607,202

345,000

    

Staples, Inc.

   7.50%   ^    04/15/2026      356,316

115,000

    

Staples, Inc.

   10.75%   ^    04/15/2027      118,450

365,000

    

Star Merger Sub, Inc.

   6.88%   ^    08/15/2026      398,534

400,000

    

Stevens Holding Company, Inc.

   6.13%   ^    10/01/2026      427,500

580,000

    

SunCoke Energy Partners Finance Corporation

   7.50%   ^    06/15/2025      518,375

430,000

    

Sunoco LP

   5.50%      02/15/2026      449,853

230,000

    

Sunoco LP / Sunoco Finance Corporation

   6.00%      04/15/2027      244,375

250,000

    

Talen Energy Supply LLC

   6.63%   ^    01/15/2028      246,875

220,000

    

Tapstone Energy Finance Corporation

   9.75%   W    06/01/2022      60,500

395,000

    

Targa Resources Partners Finance Corporation

   5.88%      04/15/2026      418,700

180,000

    

Targa Resources Partners Finance Corporation

   6.50%   ^    07/15/2027      196,846

820,000

    

Tempo Acquisition Finance Corporation

   6.75%   ^    06/01/2025      848,700

706,000

    

Tempur Sealy International, Inc.

   5.50%      06/15/2026      738,653

395,000

    

Tenet Healthcare Corporation

   7.00%      08/01/2025      402,900

410,000

    

Tenet Healthcare Corporation

   4.88%   ^    01/01/2026      421,275

435,000

    

Tenet Healthcare Corporation

   6.25%   ^    02/01/2027      452,900

175,000

    

Tenet Healthcare Corporation

   5.13%   ^    11/01/2027      181,055

390,000

    

TerraForm Power Operating LLC

   4.25%   ^    01/31/2023      399,750

590,000

    

The ServiceMaster Company LLC

   5.13%   ^    11/15/2024      613,600

365,000

    

The William Carter Company

   5.63%   ^    03/15/2027      391,919

1,170,000

    

T-Mobile USA, Inc.

   4.50%      02/01/2026      1,208,669

305,000

    

TransDigm, Inc.

   6.38%      06/15/2026      321,775

510,000

    

TransDigm, Inc.

   6.25%   ^    03/15/2026      548,888

173,550

    

Transocean Guardian Ltd.

   5.88%   ^    01/15/2024      175,286

535,000

    

Transocean Poseidon Ltd.

   6.88%   ^    02/01/2027      553,725

337,500

    

Transocean Proteus Ltd.

   6.25%   ^    12/01/2024      344,250

260,000

    

Transocean, Inc.

   7.25%   ^    11/01/2025      230,100

305,000

    

Trident Merger Sub, Inc.

   6.63%   ^    11/01/2025      268,400

120,000

    

Triumph Group, Inc.

   6.25%   ^    09/15/2024      125,124

445,000

    

Triumph Group, Inc.

   7.75%      08/15/2025      450,563

325,000

    

Twin River Worldwide Holdings, Inc.

   6.75%   ^    06/01/2027      342,063

365,000

    

Uber Technologies, Inc.

   8.00%   ^    11/01/2026      370,475

160,000

    

Uber Technologies, Inc.

   7.50%   ^    09/15/2027      160,000

570,000

    

United Rentals North America, Inc.

   6.50%      12/15/2026      623,153

85,000

    

United Rentals North America, Inc.

   5.25%      01/15/2030      89,410

175,000

    

Univision Communications, Inc.

   5.13%   ^    05/15/2023      175,438


795,000

    

USA Compression Partners LP

   6.88%   ^    09/01/2027      824,813

538,000

    

Verscend Escrow Corporation

   9.75%   ^    08/15/2026      574,918

775,000

    

Viking Cruises Ltd.

   5.88%   ^    09/15/2027      823,128

250,000

    

Vine Oil & Gas Finance Corporation

   8.75%   ^    04/15/2023      115,000

550,000

    

Vistra Operations Co LLC

   5.63%   ^    02/15/2027      580,762

540,000

    

Vizient, Inc.

   6.25%   ^    05/15/2027      580,500

450,000

    

Wand Merger Corporation

   8.13%   ^    07/15/2023      470,250

610,000

    

Waste Pro, Inc.

   5.50%   ^    02/15/2026      631,936

210,000

    

Weatherford International Ltd.

   9.88%   W    02/15/2024      76,125

475,000

    

WellCare Health Plans, Inc.

   5.25%      04/01/2025      496,375

605,000

    

WellCare Health Plans, Inc.

   5.38%   ^    08/15/2026      647,229

120,000

    

West Street Merger Sub, Inc.

   6.38%   ^    09/01/2025      111,000

165,000

    

WeWork Cos, Inc.

   7.88%   ^    05/01/2025      140,869

560,000

    

Whiting Petroleum Corporation

   6.63%      01/15/2026      380,800

335,000

    

WPX Energy, Inc.

   5.25%      10/15/2027      338,350

285,000

    

Yum! Brands, Inc.

   4.75%   ^    01/15/2030      294,619
                 

 

Total US Corporate Bonds (Cost $100,799,019)

          102,279,510
         

 

US Government and Agency Mortgage Backed Obligations - 0.9%

         

6,107,560

    

Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1

   1.44%   # I/O    03/25/2023      223,931

2,432,356

    

Federal Home Loan Mortgage Corporation, Series 3926-HS (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)

   4.42%   I/F I/O    09/15/2041      382,075

447,240

    

Federal Home Loan Mortgage Corporation, Series 4390-NY

   3.00%      06/15/2040      455,975

591,699

    

Federal Home Loan Mortgage Corporation, Series 4471-GA

   3.00%      02/15/2044      609,659

910,997

    

Federal National Mortgage Association, Series 2015-59-A

   3.00%      06/25/2041      919,430

7,871,927

    

Federal National Mortgage Association, Series 2018-55-FA (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap)

   2.32%      08/25/2048      7,850,218

111,286,956

    

Government National Mortgage Association, Series 2013-155-IB

   0.17%   # I/O    09/16/2053      1,855,643
                 

 

Total US Government and Agency Mortgage Backed Obligations (Cost $13,084,355)

          12,296,931
         

 

US Government and Agency Obligations - 6.0%

         

34,396,569

    

United States Treasury Inflation Indexed Bonds

   0.63%      04/15/2023      34,702,950

50,966,730

    

United States Treasury Inflation Indexed Bonds

   0.50%      04/15/2024      51,646,614
                 

 

Total US Government and Agency Obligations (Cost $86,181,824)

          86,349,564
         

 

Affiliated Mutual Funds - 6.8%

         

9,499,981

    

DoubleLine Global Bond Fund (Class I)

             98,039,801
                 

 

Total Affiliated Mutual Funds (Cost $97,418,043)

          98,039,801
         

 

Exchange Traded Funds and Common Stocks - 0.0%

         

5,568

    

Frontera Energy Corporation

             53,791
                 

 

Total Exchange Traded Funds and Common Stocks (Cost $473,923)

          53,791
         

 

Warrants - 0.0%

         

29,269

    

OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ

             -
                 

 

Total Warrants (Cost $–)

          -
         

 

Short Term Investments - 6.1%

         

29,431,408

    

First American Government Obligations Fund - Class U

   1.88%           29,431,408

29,431,409

    

JP Morgan U.S. Government Money Market Fund - Institutional Share Class

   1.83%           29,431,409

29,431,409

    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

   1.83%           29,431,409
                 

 

Total Short Term Investments (Cost $88,294,226)

          88,294,226
         

 

Total Investments - 100.9% (Cost $1,455,639,179)

          1,451,570,881

Liabilities in Excess of Other Assets - (0.9)%

          (12,232,513)
         

 

NET ASSETS - 100.0%

            $    1,439,338,368
         

 

 

^    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.
#    Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2019.
P/O    Principal only security
±    Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of September 30, 2019.
   Perpetual Maturity
I/O    Interest only security
I/F    Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
&    Unfunded or partially unfunded loan commitment. At September 30, 2019, the value of these securities amounted to $146,558 or 0.0% 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.
§    The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of September 30, 2019.
W    Security is in default or has failed to make a scheduled payment. Income is not being accrued.
Þ    Value determined using significant unobservable inputs.
>    This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of September 30, 2019.
   Seven-day yield as of September 30, 2019
BRL    Brazilian Real
*    Non-income producing security
~    Represents less than 0.05% of net assets


SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Non-Agency Residential Collateralized Mortgage Obligations

   21.8%  

Foreign Corporate Bonds

   16.0%  

Collateralized Loan Obligations

   15.3%  

Non-Agency Commercial Mortgage Backed Obligations

   10.8%  

US Corporate Bonds

   7.1%  

Affiliated Mutual Funds

   6.8%  

Short Term Investments

   6.1%  

US Government and Agency Obligations

   6.0%  

Bank Loans

   4.9%  

Asset Backed Obligations

   4.4%  

US Government and Agency Mortgage Backed Obligations

   0.9%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

   0.8%  

Exchange Traded Funds and Common Stocks

   0.0%   ~            

Warrants

   0.0%   ~

Other Assets and Liabilities

   (0.9)%  
  

 

 
                                            100.0%  
  

 

 


INVESTMENT BREAKDOWN as a % of Net Assets:

 

Non-Agency Residential Collateralized Mortgage Obligations

     21.6%    

Collateralized Loan Obligations

     15.3%    

Non-Agency Commercial Mortgage Backed Obligations

     10.7%    

Affiliated Mutual Funds

     6.8%    

Short Term Investments

     6.1%    

US Government and Agency Obligations

     6.0%    

Asset Backed Obligations

     4.4%    

Energy

     4.0%    

Banking

     3.4%    

Utilities

     2.7%    

Telecommunications

     2.3%    

Healthcare

     1.4%    

Media

     1.2%    

Finance

     1.2%    

Transportation

     1.0%    

Consumer Products

     1.0%    

Mining

     0.9%    

US Government and Agency Mortgage Backed Obligations

     0.9%    

Hotels/Motels/Inns and Casinos

     0.8%    

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     0.8%    

Electronics/Electric

     0.7%    

Technology

     0.6%    

Building and Development (including Steel/Metals)

     0.6%    

Chemicals/Plastics

     0.6%    

Leisure

     0.6%    

Business Equipment and Services

     0.5%    

Food Products

     0.5%    

Containers and Glass Products

     0.4%    

Food Service

     0.4%    

Insurance

     0.3%    

Retailers (other than Food/Drug)

     0.3%    

Real Estate

     0.3%    

Pharmaceuticals

     0.3%    

Aerospace & Defense

     0.3%    

Commercial Services

     0.3%    

Construction

     0.3%    

Automotive

     0.3%    

Industrial Equipment

     0.2%    

Pulp & Paper

     0.2%    

Environmental Control

     0.2%    

Diversified Manufacturing

     0.2%    

Food/Drug Retailers

     0.1%    

Financial Intermediaries

     0.1%    

Conglomerates

     0.1%    

Chemical Products

     0.0%     ~

Cosmetics/Toiletries

     0.0%     ~

Beverage and Tobacco

     0.0%     ~

Other Assets and Liabilities

     (0.9)%    
  

 

 

   
               100.0%    
  

 

 

   


A summary of the DoubleLine Flexible Income Fund’s investments in affiliated mutual funds for the period ended September 30, 2019 is as follows:

 

                                 

Change in

Unrealized

for the

   

Dividend Income

Earned in the

   

Net Realized

Gain (Loss)

in the

 
    Value at                 Shares Held at     Value at     Period Ended     Period Ended     Period Ended  
Fund  

March 31,

2019

   

Gross

Purchases

    Gross Sales    

September 30,

2019

   

September 30,

2019

   

September 30,

2019

   

September 30,

2019

   

September 30,

2019

 

DoubleLine Global Bond Fund (Class I)

  $ 84,749,820     $ 13,000,000     $ -       9,499,981     $ 98,039,801     $ 289,981     $ 751,822     $ -  
  $ 84,749,820     $ 13,000,000     $ -       9,499,981     $ 98,039,801     $ 289,981     $ 751,822     $ -  


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 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to open-end investment companies.

Item 13. 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.

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.


(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

  Date                  11/26/2019                                                                                                                                                               

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

                 

 

Date         11/26/2019                                                                                                                                                                        

 

By (Signature and Title)         /s/ Susan  Nichols                                                                                                                              

 

                     Susan Nichols, Treasurer and

 

                     Principal Financial and Accounting Officer

 

Date         11/26/2019