N-Q 1 d98783dnq.htm DOUBLELINE OPPORTUNISTIC CREDIT FUND Doubleline Opportunistic Credit Fund

As filed with the Securities and Exchange Commission on February 26, 2016

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number 811-22592

DoubleLine Opportunistic Credit Fund

(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

c/o DoubleLine Capital LP

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: September 30, 2016

Date of reporting period: December 31, 2015


Item 1. Schedule of Investments.


 

DoubleLine Opportunistic Credit Fund

Schedule of Investments

December 31, 2015 (Unaudited)

 

 

 

 

 

 

 

Principal Amount

$/Shares

  

Security Description

   Rate     

Maturity

  

Value $

Asset Backed Obligations - 1.1%

  

     

2,000,000

   Citi Held For Asset Issuance, Series 2015-PM1-C        5.01%  ^    12/15/2021    1,901,200

4,146,860

   SoFi Professional Loan Program, Series 2013-1R      15.00%  #^¥    12/17/2043    1,674,502
           

 

Total Asset Backed Obligations (Cost $5,864,310)

                 3,575,702
           

 

Collateralized Loan Obligations - 3.2%

  

     

1,000,000

   Apidos Ltd., Series 2014-19A-D        4.07%  #^     10/17/2026    935,507

1,000,000

   ARES Ltd., Series 2014-1A-SUB        0.00%  #^@     04/17/2026    532,442

500,000

   Babson Ltd., Series 2014-3A-D2        4.72%  #^     01/15/2026    478,584

750,000

   Babson Ltd., Series 2014-3A-E2        6.82%  #^     01/15/2026    629,990

1,000,000

   BlueMountain Ltd., Series 2012-2A-C        3.11%  #^     11/20/2024    980,254

1,000,000

   Brookside Mill Ltd., Series 2013-1A-D        3.37%  #^     04/17/2025    895,959

500,000

   Cent Ltd., Series 2014-22A-C        4.09%  #^     11/07/2026    456,651

250,000

   Finn Square Ltd., Series 2012-1A-C        4.19%  #^     12/24/2023    239,209

2,000,000

   GoldenTree Loan Opportunities Ltd., Series 2012-6A-D        4.52%  #^     04/17/2022    1,979,553

500,000

   Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D        3.97%  #^     10/22/2025    448,422

1,500,000

   LCM LP, Series 11A-INC        5.52%  #^@     04/19/2022    777,192

500,000

   Nautique Funding Ltd., Series 2006-1A-C        2.02%  #^     04/15/2020    490,236

500,000

   Octagon Investment Partners Ltd., Series 2014-1A-C        4.01%  #^     11/14/2026    465,192

1,000,000

   Octagon Investment Partners Ltd., Series 2014-1A-D        6.96%  #^     11/14/2026    901,785

500,000

   Thacher Park Ltd., Series 2014-1A-D1        3.85%  #^     10/20/2026    465,559
           

 

Total Collateralized Loan Obligations (Cost $12,199,209)

         10,676,535
           

 

Non-Agency Commercial Mortgage Backed Obligations - 6.4%

  

     

450,000

   Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ        5.57%     01/12/2045    451,131

600,000

   Citigroup Commercial Mortgage Trust, Series 2015-GC27-D        4.43%  #^     02/10/2048    473,520

4,970,397

   Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA        1.45%  #I/O     02/10/2048    470,154

500,000

   Commercial Mortgage Pass-Through Certificates, Series 2014-KYO-F        3.80%  #^     06/11/2027    495,099

1,127,250

   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-E        3.75%     08/10/2047    820,300

1,288,300

   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F        3.75%     08/10/2047    728,662

2,415,590

   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G        3.75%  ^¥     08/10/2047    747,867

5,000

   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V        0.00%  #^¥     08/10/2047   

550,000

   Commercial Mortgage Pass-Through Certificates, Series 2015-LC19-D        2.87%     02/10/2048    414,103

1,500,000

   Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-E        3.65%  #^     10/13/2048    1,076,865

500,000

   GS Mortgage Securities Corporation, Series 2006-GG8-AJ        5.62%        11/10/2039    496,769

500,000

   GS Mortgage Securities Corporation, Series 2014-GC26-C        4.51%     11/10/2047    491,831

650,000

   GS Mortgage Securities Corporation, Series 2014-GC26-D        4.51%  #^     11/13/2047    549,613

34,578,282

   JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA        1.75%  #I/O     06/15/2045    2,185,500

3,488,650

   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E        4.00%  #^     04/15/2047    2,665,677

1,938,200

   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F        3.75%  #^     04/15/2047    1,054,962

6,202,105

   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR        3.75%  #^¥     04/15/2047    1,731,008

5,503,627

   JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA        1.18%  #I/O     01/15/2048    358,671

500,000

   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D        3.85%  #^     02/15/2048    371,184

775,000

   JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C        4.67%     11/15/2048    708,797

500,000

   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15-D        4.90%  #^     04/15/2047    457,683

500,000

   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C        4.00%        12/15/2047    475,199

1,050,000

   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-D        3.06%     10/19/2048    749,796

804,000

   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D        3.24%  #^     12/17/2047    558,697

500,000

   Morgan Stanley Capital, Inc., Series 2007-IQ13-AJ        5.44%        03/15/2044    496,654

525,000

   Morgan Stanley Capital, Inc., Series 2014-CPT-G        3.45%  #^     07/13/2029    490,231

500,000

   Wachovia Bank Commercial Mortgage Trust, Series 2007-C30-AJ        5.41%     12/15/2043    501,382

554,000

   Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AJ        5.95%     02/15/2051    565,448

467,000

   Wells Fargo Commercial Mortgage Trust, Series 2012-LC5-E        4.78%  #^     10/17/2045    402,884

747,000

   Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D        3.76%     12/17/2048    592,021
           

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $23,426,300)

         21,581,708
           

 

Non-Agency Residential Collateralized Mortgage Obligations - 44.9% 

  

     

3,365,460

   Adjustable Rate Mortgage Trust, Series 2006-1-2A1        3.49%     03/25/2036    2,563,455

1,816,489

   Banc of America Alternative Loan Trust, Series 2005-8-2CB1        6.00%        09/25/2035    1,713,276

2,669,749

   Banc of America Funding Corporation, Series 2006-A-4A1        2.84%     02/20/2036    2,271,722

5,269,567

   BCAP LLC Trust, Series 2010-RR6-2216        4.18%  #^     06/26/2036    4,300,735

1,868,751

   BCAP LLC Trust, Series 2010-RR6-6A2        9.30%  #^     07/26/2037    1,700,413

3,239,109

   Chase Mortgage Finance Trust, Series 2007-S1-A7        6.00%        02/25/2037    2,734,252

2,956,293

   Chase Mortgage Finance Trust, Series 2007-S3-1A5        6.00%        05/25/2037    2,443,381

3,512,998

   ChaseFlex Trust, Series 2007-1-1A1        6.50%        02/25/2037    2,610,233

1,875,000

   Citicorp Mortgage Securities, Inc., Series 2006-2-1A14        5.50%        04/25/2036    1,855,947

1,054,069

   Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4      18.50%  #^I/F     10/25/2035    1,359,347

4,058,733

   Citigroup Mortgage Loan Trust, Inc., Series 2010-9-3A7        9.83%     01/25/2036    3,656,758

5,860,374

   Citigroup Mortgage Loan Trust, Inc., Series 2010-9-4A3        8.70%  #^     09/25/2035    5,603,179

4,460,054

   CitiMortgage Alternative Loan Trust, Series 2007-A4-IA6        5.75%        04/25/2037    3,859,450

3,417,928

   CitiMortgage Alternative Loan Trust, Series 2007-A6-IA16        6.00%        06/25/2037    3,003,411

2,308,617

   Countrywide Alternative Loan Trust, Series 2005-85CB-2A5        1.52%     02/25/2036    1,835,828

487,543

   Countrywide Alternative Loan Trust, Series 2005-85CB-2A6      20.09%  #I/F     02/25/2036    597,866

3,921,520

   Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-7A1        6.00%        12/25/2035    3,371,344

4,864,753

   Credit Suisse Mortgage Capital Certificates, Series 2006-5-3A3        6.50%        06/25/2036    2,793,605

1,424,776

   Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1        5.50%        11/25/2036    1,359,912

1,256,352

   Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14        6.00%        11/25/2036    1,211,828

1,941,309

   First Horizon Asset Securities, Inc., Series 2007-AR3-2A2        2.62%     11/25/2037    1,725,897

3,806,597

   GSAA Home Equity Trust, Series 2007-8-A2        0.77%     08/25/2037    3,449,726

1,869,970

   IndyMac Mortgage Loan Trust, Series 2005-AR1-2A1        2.89%     11/25/2035    1,705,561

2,996,084

   IndyMac Mortgage Loan Trust, Series 2005-AR23-6A1        2.67%     11/25/2035    2,540,708

1,436,171

   JP Morgan Alternative Loan Trust, Series 2006-S1-2A5        5.50%        02/25/2021    1,403,328

5,016,624

   JP Morgan Resecuritization Trust, Series 2011-1-1A10        6.38%  #^     12/26/2036    4,525,963

5,629,656

   JP Morgan Resecuritization Trust, Series 2011-1-2A10        6.00%  #^     06/26/2037    4,827,820

2,879,058

   Lehman Mortgage Trust, Series 2007-10-1A1        6.00%        01/25/2038    2,870,153

2,813,623

   Lehman Mortgage Trust, Series 2007-4-1A3        5.75%        05/25/2037    2,303,241

1,653,800

   Lehman XS Trust, Series 2005-2-1A2        1.12%     08/25/2035    1,581,474

1,674,129

   MASTR Asset Securitization Trust, Series 2007-2-A3        6.25%        01/25/2038    1,542,154

4,770,394

   Nomura Resecuritization Trust, Series 2010-2RA-A2        5.50%     01/26/2036    4,492,060

2,576,380

   RBSGC Structured Trust, Series 2008-B-A1        6.00%     06/25/2037    2,254,332

2,442,948

   Residential Accredit Loans, Inc., Series 2005-AS14-3A1        6.00%        09/25/2035    2,248,398

3,822,906

   Residential Accredit Loans, Inc., Series 2005-QS13-2A3        5.75%        09/25/2035    3,472,381

2,825,383

   Residential Accredit Loans, Inc., Series 2006-QS10-A1        6.00%        08/25/2036    2,331,561

3,287,814

   Residential Accredit Loans, Inc., Series 2006-QS6-1A5        5.75%        06/25/2036    2,750,323

5,739,952

   Residential Accredit Loans, Inc., Series 2006-QS7-A3        6.00%        06/25/2036    4,779,025

1,492,756

   Residential Accredit Loans, Inc., Series 2007-QS1-1A1        6.00%        01/25/2037    1,262,235

6,044,545

   Residential Accredit Loans, Inc., Series 2007-QS3-A1        6.50%        02/25/2037    4,872,465

2,534,173

   Residential Accredit Loans, Inc., Series 2007-QS6-A1        0.75%     04/25/2037    1,595,467

2,682,906

   Residential Accredit Loans, Inc., Series 2007-QS6-A102        5.75%        04/25/2037    2,218,343

577,297

   Residential Accredit Loans, Inc., Series 2007-QS6-A2      52.07%  #I/F     04/25/2037    1,316,269

2,106,181

   Residential Asset Securitization Trust, Series 2006-A6-1A12        6.68%  #I/FI/O     07/25/2036    740,498

2,082,510

   Residential Asset Securitization Trust, Series 2006-A6-1A9        6.00%        07/25/2036    1,147,968

5,415,158

   Residential Asset Securitization Trust, Series 2007-A2-1A2        6.00%        04/25/2037    4,503,037

3,035,771

   Residential Asset Securitization Trust, Series 2007-A7-A1        6.00%        07/25/2037    2,176,076

1,496,529

   Residential Asset Securitization Trust, Series 2007-A8-1A3        6.00%        08/25/2037    1,284,182

3,157,341

   Residential Funding Mortgage Securities Trust, Series 2006-S5-A9        6.00%        06/25/2036    2,903,015

1,776,892

   Residential Funding Mortgage Securities Trust, Series 2007-S2-A4        6.00%        02/25/2037    1,629,892

2,146,813

   Residential Funding Mortgage Securities Trust, Series 2007-S6-1A10        6.00%        06/25/2037    1,894,549

5,000,000

   Springleaf Mortgage Loan Trust, Series 2013-2A-B2        6.00%  #^     12/25/2065    5,030,986

2,852,558

   Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2        2.61%     02/25/2036    2,533,140

6,541,000

   Structured Asset Securities Corporation, Series 2005-11H-A3        5.50%        06/25/2035    6,252,378

5,471,096

   Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A4        4.66%     10/25/2036    3,353,742

5,164,851

   Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1        6.00%        07/25/2037    4,977,627
           

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $144,314,974)

         151,341,916
           

 

US Government / Agency Mortgage Backed Obligations - 57.1%

  

     

1,353,566

   Federal Home Loan Mortgage Corporation, Series 3211-SI      26.28%  #I/FI/O     09/15/2036    1,161,502

2,822,871

   Federal Home Loan Mortgage Corporation, Series 3236-ES        6.37%  #I/FI/O     11/15/2036    549,874

1,857,667

   Federal Home Loan Mortgage Corporation, Series 3256-S        6.36%  #I/FI/O     12/15/2036    360,593

1,440,196

   Federal Home Loan Mortgage Corporation, Series 3292-SD        5.77%  #I/FI/O     03/15/2037    218,842

11,892,307

   Federal Home Loan Mortgage Corporation, Series 3297-BI        6.43%  #I/FI/O     04/15/2037    2,259,832

8,512,597

   Federal Home Loan Mortgage Corporation, Series 3311-BI        6.43%  #I/FI/O     05/15/2037    1,463,474

8,308,753

   Federal Home Loan Mortgage Corporation, Series 3311-IA        6.08%  #I/FI/O     05/15/2037    1,565,034

2,374,054

   Federal Home Loan Mortgage Corporation, Series 3314-SH        6.07%  #I/FI/O     11/15/2036    349,605

553,976

   Federal Home Loan Mortgage Corporation, Series 3317-DS      14.17%  #I/F‡     05/15/2037    700,685

2,143,648

   Federal Home Loan Mortgage Corporation, Series 3330-KS        6.22%  #I/FI/O     06/15/2037    317,792

726,507

   Federal Home Loan Mortgage Corporation, Series 3339-AI        6.22%  #I/FI/O     07/15/2037    97,599

5,568,199

   Federal Home Loan Mortgage Corporation, Series 3339-TI        5.81%  #I/FI/O     07/15/2037    1,055,774

3,430,987

   Federal Home Loan Mortgage Corporation, Series 3374-SD        6.12%  #I/FI/O     10/15/2037    592,411

1,662,292

   Federal Home Loan Mortgage Corporation, Series 3382-SU        5.97%  #I/FI/O     11/15/2037    209,128

9,643,778

   Federal Home Loan Mortgage Corporation, Series 3404-SA        5.67%  #I/FI/O     01/15/2038    1,619,373

1,335,435

   Federal Home Loan Mortgage Corporation, Series 3423-GS        5.32%  #I/FI/O     03/15/2038    155,680

8,723,878

   Federal Home Loan Mortgage Corporation, Series 3435-S        5.65%  #I/FI/O     04/15/2038    1,363,704

1,606,410

   Federal Home Loan Mortgage Corporation, Series 3508-PS        6.32%  #I/FI/O     02/15/2039    256,746

2,643,242

   Federal Home Loan Mortgage Corporation, Series 3725-CS        5.67%  #I/FI/O     05/15/2040    378,302

6,797,652

   Federal Home Loan Mortgage Corporation, Series 3728-SV        4.12%  #I/FI/O     09/15/2040    699,823

20,726,264

   Federal Home Loan Mortgage Corporation, Series 3736-SN        5.72%  #I/FI/O     10/15/2040    3,653,835

7,876,533

   Federal Home Loan Mortgage Corporation, Series 3753-SB        5.67%  #I/FI/O‡     11/15/2040    1,477,876

9,325,049

   Federal Home Loan Mortgage Corporation, Series 3780-SM        6.17%  #I/FI/O     12/15/2040    1,793,159

3,570,442

   Federal Home Loan Mortgage Corporation, Series 3815-ST        5.52%  #I/FI/O     02/15/2041    543,192

1,174,966

   Federal Home Loan Mortgage Corporation, Series 3905-SC      21.53%  #I/F     08/15/2041    2,000,387

2,922,158

   Federal Home Loan Mortgage Corporation, Series 3924-SJ        5.67%  #I/FI/O     09/15/2041    423,715

7,341,418

   Federal Home Loan Mortgage Corporation, Series 3997-LZ        3.50%   ‡     02/15/2042    7,264,255

6,087,677

   Federal Home Loan Mortgage Corporation, Series 4064-SA        5.67%  #I/FI/O     06/15/2042    1,269,674

4,128,504

   Federal Home Loan Mortgage Corporation, Series 4155-GS        5.17%  #I/F     01/15/2033    3,835,840

16,173,136

   Federal Home Loan Mortgage Corporation, Series 4217-CS        4.88%  #I/F     06/15/2043    14,094,248

4,868,409

   Federal Home Loan Mortgage Corporation, Series 4225-BS      11.22%  #I/F     12/15/2040    5,236,396

8,502,417

   Federal Home Loan Mortgage Corporation, Series 4291-MS        5.57%  #I/FI/O     01/15/2054    1,451,567

16,928,209

   Federal Home Loan Mortgage Corporation, Series 4302-GS        5.82%  #I/FI/O     02/15/2044    3,189,359

1,701,162

   Federal Home Loan Mortgage Corporation, Series 4370-CS        8.04%  #I/F     09/15/2041    1,684,375

940,538

   Federal National Mortgage Association, Series 2005-104-SI        6.28%  #I/FI/O     12/25/2033    40,408

527,651

   Federal National Mortgage Association, Series 2005-72-WS        6.33%  #I/FI/O     08/25/2035    83,231

5,214,125

   Federal National Mortgage Association, Series 2005-90-SP        6.33%  #I/FI/O     09/25/2035    800,723

2,579,835

   Federal National Mortgage Association, Series 2006-117-SQ        6.13%  #I/FI/O     12/25/2036    363,325

1,538,018

   Federal National Mortgage Association, Series 2006-119-HS        6.23%  #I/FI/O     12/25/2036    231,057

11,890,750

   Federal National Mortgage Association, Series 2006-123-CI        6.32%  #I/FI/O     01/25/2037    2,376,806

4,911,732

   Federal National Mortgage Association, Series 2006-60-YI        6.15%  #I/FI/O     07/25/2036    1,072,653

5,688,267

   Federal National Mortgage Association, Series 2007-15-BI        6.28%  #I/FI/O     03/25/2037    1,040,147

2,571,669

   Federal National Mortgage Association, Series 2007-20-S        6.32%  #I/FI/O     03/25/2037    395,619

1,362,951

   Federal National Mortgage Association, Series 2007-21-SD        6.06%  #I/FI/O     03/25/2037    218,184

2,339,812

   Federal National Mortgage Association, Series 2007-30-IE        6.32%  #I/FI/O     04/25/2037    514,638

6,517,329

   Federal National Mortgage Association, Series 2007-32-SA        5.68%  #I/FI/O     04/25/2037    943,819

3,047,356

   Federal National Mortgage Association, Series 2007-40-SA        5.68%  #I/FI/O     05/25/2037    456,149

1,521,937

   Federal National Mortgage Association, Series 2007-48-SE        5.68%  #I/FI/O     05/25/2037    189,983

1,992,445

   Federal National Mortgage Association, Series 2007-64-LI        6.14%  #I/FI/O     07/25/2037    314,127

1,414,874

   Federal National Mortgage Association, Series 2007-68-SA        6.23%  #I/FI/O     07/25/2037    208,265

13,901,108

   Federal National Mortgage Association, Series 2007-75-PI        6.12%  #I/FI/O     08/25/2037    2,679,471

8,486,591

   Federal National Mortgage Association, Series 2008-33-SA        5.58%  #I/FI/O     04/25/2038    1,464,078

6,482,429

   Federal National Mortgage Association, Series 2008-42-SC        5.48%  #I/FI/O     05/25/2038    1,068,597

1,486,657

   Federal National Mortgage Association, Series 2008-5-GS        5.83%  #I/FI/O     02/25/2038    227,084

4,799,850

   Federal National Mortgage Association, Series 2008-62-SD        5.63%  #I/FI/O     07/25/2038    803,228

3,618,891

   Federal National Mortgage Association, Series 2008-68-SB        5.68%  #I/FI/O     08/25/2038    608,590

1,432,273

   Federal National Mortgage Association, Series 2009-111-SE        5.83%  #I/FI/O     01/25/2040    191,659

2,586,967

   Federal National Mortgage Association, Series 2009-12-CI        6.18%  #I/FI/O     03/25/2036    493,661

1,667,834

   Federal National Mortgage Association, Series 2009-26-SM        5.93%  #I/FI/O     08/25/2038    118,646

1,578,379

   Federal National Mortgage Association, Series 2009-47-SA        5.68%  #I/FI/O     07/25/2039    191,967

1,073,590

   Federal National Mortgage Association, Series 2009-48-WS        5.53%  #I/FI/O     07/25/2039    119,789

683,857

   Federal National Mortgage Association, Series 2009-67-SA        4.73%  #I/FI/O     07/25/2037    64,742

1,893,471

   Federal National Mortgage Association, Series 2009-87-SA        5.58%  #I/FI/O     11/25/2049    248,140

2,834,229

   Federal National Mortgage Association, Series 2009-91-SD        5.73%  #I/FI/O     11/25/2039    314,574

332,945

   Federal National Mortgage Association, Series 2010-109-BS      52.32%  #I/F‡     10/25/2040    1,214,790

1,047,822

   Federal National Mortgage Association, Series 2010-115-SD        6.18%  #I/FI/O     11/25/2039    139,864

2,127,280

   Federal National Mortgage Association, Series 2010-11-SC        4.38%  #I/FI/O     02/25/2040    258,234

5,748,774

   Federal National Mortgage Association, Series 2010-134-SE        6.23%  #I/FI/O     12/25/2025    811,430

13,824,146

   Federal National Mortgage Association, Series 2010-142-SC        6.18%  #I/FI/O     12/25/2040    2,954,066

5,939,911

   Federal National Mortgage Association, Series 2010-150-MS        6.11%  #I/FI/O     01/25/2041    1,035,211

2,866,094

   Federal National Mortgage Association, Series 2010-15-SL        4.53%  #I/FI/O     03/25/2040    315,052

1,303,915

   Federal National Mortgage Association, Series 2010-19-SA        4.98%  #I/FI/O     03/25/2050    153,044

2,608,036

   Federal National Mortgage Association, Series 2010-31-SB        4.58%  #I/FI/O     04/25/2040    295,877

3,896,254

   Federal National Mortgage Association, Series 2010-39-SL        5.25%  #I/FI/O     05/25/2040    502,928

1,679,094

   Federal National Mortgage Association, Series 2010-40-EI        4.50%  I/O     05/25/2024    48,014

1,726,651

   Federal National Mortgage Association, Series 2010-8-US        4.38%  #I/FI/O     02/25/2040    146,743

2,099,810

   Federal National Mortgage Association, Series 2010-9-GS        4.33%  #I/FI/O     02/25/2040    223,571

3,774,380

   Federal National Mortgage Association, Series 2011-114-S        5.58%  #I/FI/O     09/25/2039    581,914

3,077,060

   Federal National Mortgage Association, Series 2011-146-US        6.41%  #I/F     01/25/2042    2,981,981

157,371

   Federal National Mortgage Association, Series 2011-40-SA        8.95%  #I/F     09/25/2040    184,236

3,099,810

   Federal National Mortgage Association, Series 2011-55-BZ        3.50%        06/25/2041    3,169,890

2,922,435

   Federal National Mortgage Association, Series 2011-58-SA        6.13%  #I/FI/O     07/25/2041    560,308

2,514,591

   Federal National Mortgage Association, Series 2011-5-PS        5.98%  #I/FI/O     11/25/2040    293,955

4,661,665

   Federal National Mortgage Association, Series 2012-22-AZ        4.00%  ‡     03/25/2042    4,879,756

2,818,552

   Federal National Mortgage Association, Series 2012-29-SG        5.58%  #I/FI/O     04/25/2042    372,183

1,586,000

   Federal National Mortgage Association, Series 2012-82-SC        7.10%  #I/F     08/25/2042    1,629,920

348,418

   Federal National Mortgage Association, Series 2013-115-NS      10.88%  #I/F     11/25/2043    375,779

8,099,272

   Federal National Mortgage Association, Series 2013-17-MS        5.11%  #I/F‡     03/25/2043    7,188,907

4,134,825

   Federal National Mortgage Association, Series 2013-18-BS        4.89%  #I/F‡     03/25/2043    3,914,375

2,810,322

   Federal National Mortgage Association, Series 2013-41-SC        5.37%  #I/F     05/25/2043    2,505,056

4,703,698

   Federal National Mortgage Association, Series 2013-51-SH        5.37%  #I/F     05/25/2033    4,496,720

12,444,525

   Federal National Mortgage Association, Series 2013-55-KS        5.37%  #I/F‡     06/25/2043    11,250,161

3,624,193

   Federal National Mortgage Association, Series 2013-61-ZN        3.00%  ‡     06/25/2033    3,573,676

12,245,244

   Federal National Mortgage Association, Series 2013-83-US        4.58%  #I/F     08/25/2043    11,761,939

793,094

   Federal National Mortgage Association, Series 374-19        6.50%  I/O     09/25/2036    185,506

1,921,423

   Government National Mortgage Association, Series 2009-104-SD        6.01%  #I/FI/O     11/16/2039    295,571

755,071

   Government National Mortgage Association, Series 2010-98-IA        5.85%  #I/O     03/20/2039    85,146

3,284,965

   Government National Mortgage Association, Series 2011-56-BS        5.76%  #I/FI/O     11/16/2036    197,532

5,050,900

   Government National Mortgage Association, Series 2011-56-KS        5.76%  #I/FI/O     08/16/2036    385,595

2,623,810

   Government National Mortgage Association, Series 2011-69-SB        4.95%  #I/FI/O     05/20/2041    333,693

10,000,000

   Government National Mortgage Association, Series 2011-70-WS        8.90%  #I/F‡     12/20/2040    11,112,763

4,095,510

   Government National Mortgage Association, Series 2011-71-SG        5.00%  #I/FI/O     05/20/2041    608,304

4,641,218

   Government National Mortgage Association, Series 2011-72-AS        4.98%  #I/FI/O     05/20/2041    629,602

5,375,041

   Government National Mortgage Association, Series 2011-89-SA        5.05%  #I/FI/O     06/20/2041    761,824

2,339,475

   Government National Mortgage Association, Series 2012-34-LI        6.00%  #I/FI/O     12/16/2039    538,072

8,579,316

   Government National Mortgage Association, Series 2013-119-TZ        3.00%  ‡     08/20/2043    7,971,746

9,915,397

   Government National Mortgage Association, Series 2013-188-MS        5.21%  #I/FI/O     12/16/2043    1,508,126

58,981,198

   Government National Mortgage Association, Series 2013-39-HS        4.35%  #I/FI/O‡     03/20/2041    8,620,875

15,025,252

   Government National Mortgage Association, Series 2014-39-SK        5.80%  #I/FI/O     03/20/2044    2,614,394

17,832,247

   Government National Mortgage Association, Series 2014-59-DS        5.91%  #I/FI/O     04/16/2044    3,147,067

11,165,991

   Government National Mortgage Association, Series 2014-63-SD        5.15%  #I/FI/O     04/20/2044    2,168,324

15,417,860

   Government National Mortgage Association, Series 2014-69-ST        5.76%  #I/FI/O     12/16/2039    2,214,211
           

 

Total US Government / Agency Mortgage Backed Obligations (Cost $182,749,751)

  

      192,334,942
           

 

Short Term Investments - 1.7%

        

1,913,667

   BlackRock Liquidity Funds FedFund - Institutional Shares        0.16%  ¿        1,913,667

1,913,668

   Fidelity Institutional Money Market Government Portfolio - Class I        0.12%  ¿        1,913,668

1,913,668

   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class        0.16%  ¿        1,913,668
           

 

Total Short Term Investments (Cost $5,741,003)

         5,741,003
           

 

Total Investments - 114.4% (Cost $374,295,547)

         385,251,806

Liabilities in Excess of Other Assets - (14.4)%

         (48,430,925)
           

 

NET ASSETS - 100.0%

           $336,820,881
           

 

 

  Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At December 31, 2015, the value of these securities amounted to $65,791,981 or 19.5% of net assets.  

 

  Variable rate security. Rate disclosed as of December 31, 2015.  

 

 

  ¥  Illiquid security. At December 31, 2015, the value of these securities amounted to $4,153,377 or 1.2% of net assets.  

 

  Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of December 31, 2015.  

 

  I/O  Interest only security  

 

  I/F  Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates  

 

  ‡  All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.  

 

  ¿  Seven-day yield as of December 31, 2015  

The cost basis of investments for federal income tax purposes at December 31, 2015 was as follows+:

 

Tax Cost of Investments

     $  374,573,503   
  

 

 

 

Gross Tax Unrealized Appreciation

     26,667,277   

Gross Tax Unrealized Depreciation

     (15,988,974)   
  

 

 

 

Net Tax Unrealized Appreciation (Depreciation)

     $ 10,678,303   
  

 

 

 

 

  Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.  


SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

US Government / Agency Mortgage Backed Obligations

     57.1%   

Non-Agency Residential Collateralized Mortgage Obligations

     44.9%   

Non-Agency Commercial Mortgage Backed Obligations

     6.4%   

Collateralized Loan Obligations

     3.2%   

Short Term Investments

     1.7%   

Asset Backed Obligations

     1.1%   

Other Assets and Liabilities

     (14.4)%   
  

 

 

 
                 100.0%   
  

 

 

 


Reverse Repurchase Agreements

 

Counterparty    Rate         Trade Date          Maturity Date          Principal          Principal &    
Interest      
 

RBC Capital Markets LLC

     1.23     12/16/2015          01/19/2016           $     12,739,000       $     12,745,964   

Bank of America Merrill Lynch

     1.05     12/21/2015          01/21/2016             11,408,000         11,411,660   

JP Morgan Securities LLC

     1.22     11/30/2015          01/29/2016             9,000,000         9,009,744   

JP Morgan Securities LLC

     0.72     10/14/2015          01/12/2016             6,970,000         6,981,020   

JP Morgan Securities LLC

     1.15     12/21/2015          01/20/2016             6,111,000         6,113,151   

Bank of America Merrill Lynch

     1.15     12/21/2015          01/21/2016             3,827,000         3,828,345   
          

 

 

 
           $     50,055,000      $     50,089,884   
          

 

 

 

The weighted average daily balance of reverse repurchase agreements during the reporting period ended December 31, 2015 was $45,859,533, at a weighted average interest rate of 0.91%. Total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at December 31, 2015 was $63,089,708.


 

Summary of Fair Value Disclosure

December 31, 2015 (Unaudited)

 

Security Valuation. The Fund has adopted accounting principles generally accepted in the United States of America (“US GAAP”) fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:

Level 1—Unadjusted quoted market prices in active markets for identical securities

Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data

Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions)

Assets and liabilities may be transferred between levels. The Fund uses end of period timing recognition to account for any transfers.

Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is 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 would be categorized as Level 3.

 

Fixed-income class

  

Examples of Standard Inputs

All   

 

Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)

Corporate bonds and notes; convertible securities    Standard inputs and underlying equity of the issuer
US bonds and notes of government and government agencies    Standard inputs
Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations)    Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports

Investments in registered open-end management investment companies will be valued based upon the net asset values (“NAVs”) of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in private investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. As of December 31, 2015, the Fund did not hold any investments in private investment funds.

The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security may decline below the repurchase price of the security. The Fund will segregate assets determined to be liquid by the Adviser or otherwise cover its obligations under reverse repurchase agreements. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value at December 31, 2015.

Securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Valuation Committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Valuation Committee and the Pricing Group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market value or fair value.

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December 31, 20151:

 

Category       

 

  

Investments in Securities

  

Level 1

  

Money Market Funds

     $ 5,741,003   

 

  

 

 

 

Total Level 1

     5,741,003   

Level 2

  

US Government / Agency Mortgage Backed Obligations

     192,334,942   

Non-Agency Residential Collateralized Mortgage Obligations

     131,000,949   

Non-Agency Commercial Mortgage Backed Obligations

     17,319,209   

Collateralized Loan Obligations

     10,676,535   

Asset Backed Obligations

     1,901,200   

 

  

 

 

 

Total Level 2

     353,232,835   

Level 3

  

Non-Agency Residential Collateralized Mortgage Obligations

     20,340,967   

Non-Agency Commercial Mortgage Backed Obligations

     4,262,499   

Asset Backed Obligations

     1,674,502   

 

  

 

 

 

Total Level 3

     26,277,968   

 

  

 

 

 

Total

     $       385,251,806   

 

  

 

 

 

Certain of the Fund’s assets/liabilities are held at face value, which approximates fair value for financial statement purposes. The following is a summary of such assets/liabilities as of December 31, 2015.

 

Other Financial Instruments

  

Level 1

     $ -   

 

  

 

 

 

Level 2

  

Reverse Repurchase Agreements

     50,055,000   

 

  

 

 

 

Total Level 2

     50,055,000   

Level 3

     -   

 

  

 

 

 

Total

     $         50,055,000   

 

  

 

 

 

See the Schedule of Investments for further disaggregation of investment categories.

1 There were no transfers into and out of Levels 1, 2 or 3 during the period ended December 31, 2015.


The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Balance as
of 9/30/2015
   

Net

Realized

Gain
(Loss)

    Net Change in
Unrealized
Appreciation
(Depreciation)3
    Net Accretion
(Amortization)
    Purchases 1     Sales 2     Transfers
Into
Level 3
     Transfers
Out of
Level 3
    Balance as
of 12/31/2015
   

Net Change in
Unrealized
Appreciation
(Depreciation)

on securities

held at
12/31/20153

 

Investments in Securities

  

Non-Agency Residential Collateralized Mortgage Obligations

  $ 20,648,233      $ 44,789      $ (172,947   $ 81,777      $ -      $ (260,885   $ -       $ -      $ 20,340,967      $ (172,947)   

Non-Agency Commercial Mortgage Backed Obligations

    4,313,746        -        (84,302     33,055                                     4,262,499        (84,302)   

Asset Backed Obligations

    1,980,126        -        (321,418     15,794                                     1,674,502        (321,418)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total

  $ 26,942,105      $ 44,789      $ (578,667   $ 130,626      $ -      $ (260,885   $ -       $ -      $ 26,277,968      $ (578,667)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

1 Purchases include all purchases of securities and payups.

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 December 31, 2015 may be due to a security that was not held or categorized as Level 3 at either period end.

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

      Fair Value
as of
12/31/2015 *
     Valuation
Techniques
   Unobservable
Input
   Input Values     

Impact to valuation from an

increase to input

Non-Agency Residential Collateralized Mortgage Obligations

   $ 20,340,967       Market Comparables    Market Quotes      $60.61  -  $99.80       Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

Non-Agency Commercial Mortgage Backed Obligations

     4,262,499       Market Comparables    Yields      10.83%  -  18.28%       Increase in yields would result in the decrease in the fair value of the security

Asset Backed Obligations

     1,674,502       Market Comparables    Market Quotes      $40.38       Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

* Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.


Item 2. Controls and Procedures.

 

(a) The Registrant’s principal executive and principal financial officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of this Form N-Q based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

 

(b) There were no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3. Exhibits.

Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed 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 Opportunistic Credit Fund

By (Signature and Title)          /s/ Ronald R. Redell                                      

Ronald R. Redell, President and Chief Executive Officer

Date                       February 24, 2016                                                 

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 and Chief Executive Officer

Date                       February 24, 2016                                                         

By (Signature and Title)            /s/ Susan Nichols                                                   

Susan Nichols, Treasurer and Principal Financial and Accounting Officer

Date                       February 24, 2016