N-CSR 1 d222381dncsr.htm DOUBLELINE YIELD OPPORTUNITIES FUND DoubleLine Yield Opportunities Fund
As filed with the U.S. Securities and Exchange Commission on December 3, 2021

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 811-23476

DoubleLine Yield Opportunities 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

President and Chief Executive Officer

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

Date of reporting period: September 30, 2021


Item 1. Reports to Stockholders.

(a)


LOGO     

Annual Report

September 30, 2021

 

LOGO

 

DoubleLine Yield Opportunities Fund

NYSE: DLY

 

 

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

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

 


Table of Contents

 

    

    

 

     Page  
  

Chairman’s Letter

     4  

Financial Markets Highlights

     5  

Management’s Discussion of Fund Performance

     7  

Standardized Performance Summary

     10  

Schedule of Investments

     11  

Statement of Assets and Liabilities

     22  

Statement of Operations

     23  

Statement of Changes in Net Assets

     24  

Statement of Cash Flows

     25  

Financial Highlights

     26  

Notes to Financial Statements

     27  

Report of Independent Registered Public Accounting Firm

     40  

Growth of Investment

     41  

Federal Tax Information

     42  

Trustee and Officers

     43  

Summary of Updated Information Regarding the Fund

     47  

Portfolio Managers

     82  

Information About Proxy Voting

     82  

Information About Portfolio Holdings

     82  

Householding — Important Notice Regarding Delivery of Shareholder Documents

     82  

Fund Certification

     82  

Proxy Results

     82  

Dividend Reinvestment Plan

     83  

Privacy Policy

     85  

 

    Annual Report   |   September 30, 2021   3


Chairman’s Letter

 

(Unaudited)

September 30, 2021

 

LOGO

Dear Shareholder,

On behalf of the team at DoubleLine, I am pleased to deliver the Annual Report for the DoubleLine Yield Opportunities Fund (NYSE: DLY, the “Fund”) for the 12-month period ended September 30, 2021. On the following pages, you will find specific information regarding the Fund’s operations and holdings. In addition, we discuss the Fund’s investment performance and the main drivers of that performance during the reporting period.

If you have any questions regarding the Fund, please don’t hesitate to call us at 1 (877) DLINE 11 / 1 (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

Chairman of the Board of Trustees

DoubleLine Yield Opportunities Fund

November 1, 2021

 

4   DoubleLine Yield Opportunities Fund        


Financial Markets Highlights

 

(Unaudited)

September 30, 2021

 

·  

Non-Agency Commercial Mortgage-Backed Securities (Non-Agency CMBS)

For the 12-month period ended September 30, 2021, $116.6 billion of new-issue non-Agency commercial mortgage-backed securities (non-Agency CMBS) priced, compared to $87.2 billion in the previous 12-month period. While new issuance marked a material decline in the first half of 2020, investors and issuers became more comfortable with the macro environment in the latter half of the year, with $16.3 billion pricing in the fourth quarter for a total of $60.9 billion annual issuance, a 46.1% decrease year-over-year. Issuance accelerated in 2021, with $100.2 billion pricing in the first three quarters, a 42.9% increase over the same period in 2019. While issuance of conduit bonds comprised roughly 40% of 2019 issuance, it is projected to fall to around 30% in 2021, according to data compiled from several financial research firms, with single asset, single borrower issuance increasing to 44% from 39% in 2019 and commercial real estate collateralized loan obligation issuance increasing to 29% from 17%. For the 12-month period ended September 30, 2021, AAA last cash flows (LCFs) tightened by 18 basis points (bps) while BBB LCFs tightened by 200 bps. The delinquency rate for commercial real estate loans peaked at 8.28% in October 2020 as a result of volatility associated with the pandemic, but the rate has since recovered to 5.25% at the end of the third quarter of 2021, as measured by financial data firm Trepp. The Barclays Capital U.S. CMBS (ERISA Only) Total Return Index returned 0.52% for the 12-month period ended September 30, outperforming the broader Bloomberg US Aggregate Bond Index’s negative 0.90%. The RCA Commercial Property Price Index increased 13.51% for the 12-month period ended August 31, the most recent month for which data was available, compared to 3.10% over the previous 12-month period.

 

·  

Asset-Backed Securities (ABS)

For the 12-month period ended September 30, 2021, asset-backed securities (ABS) generated positive returns, as the Bloomberg US ABS Index gained 0.59% and the ICE Bank of America U.S. Fixed-Rate Miscellaneous ABS Index gained 3.20%. These returns compared favorably to the broader market, as measured by the Bloomberg US Aggregate Bond Index, which lost 0.90%. During this period, the release of several highly effective COVID-19 vaccines allowed economies to reopen, and inflationary pressures to take hold. In response to upward pricing pressures in the underlying economy, the 10-year U.S. Treasury yield rose 80 basis points, a substantial headwind for the performance of longer-duration fixed income assets. The ABS market, however, benefited from a relatively low duration and enjoyed some credit spread compression as consumer-related defaults were especially low. Gross ABS issuance for this period totaled roughly $250 billion, as a wide range of issuers was able to successfully tap the capital markets for funding.

 

·  

Agency Residential Mortgage-Backed Securities (Agency RMBS) and Agency Commercial Mortgage-Backed Securities (Agency CMBS)

For the 12-month period ended September 30, 2021, Agency residential mortgage-backed securities (RMBS) and Agency commercial mortgage-backed securities (CMBS) posted negative returns. The Bloomberg US Mortgage-Backed Securities (MBS) Index returned negative 0.43%, significantly outperforming the Bloomberg US Government Bond Index but underperforming the Bloomberg US Corporate Bond Index. Longer-duration assets generally underperformed shorter-duration assets as mid- to long-tenor, risk-free interest rates increased. U.S. Treasury yields rose, with two-year yields up 15 basis points (bps) and 10-year yields up 80 bps. The 30-year mortgage rate reached a historic low of 2.65% in early January, as measured by the Freddie Mac U.S. Mortgage Market Survey 30-Year Homeowner Commitment National Index. However as risk-free interest rates increased during the first quarter of 2021, mortgage rates also marked a steady climb. Mortgage rates went on to hit 3.18% in April but soon after began a downward trajectory until the last week of September, when they spiked to 3.01%. Over the year, loan originators increased capacity due to the high number of refinance applications and home purchases resulting in elevated Conditional Prepayment Rate (CPR) speeds, which peaked in March and again in April. Ginnie Mae II CPR speeds reached their highest point in March, primarily driven by a spike in banks and nonbanks buying out loans delinquent 90 days or longer. Agency RMBS and Agency CMBS spreads held in across the year and remained near all-time tights. Duration within the MBS sector noticeably lengthened over the 12-month period, with the duration of the Bloomberg US MBS Index growing from 2.12 years to 4.62 years. Gross issuance for Agency RMBS over the 12-month period reached $3.7 trillion; gross issuance for Agency CMBS reached roughly $196 billion. While the Federal Reserve ended the regular purchase of Agency CMBS in late March, the Fed continued to support Agency mortgages, and as of the end of September, it had purchased nearly $2.5 trillion in bonds. However, the Fed made an announcement at September’s Federal Open Market Committee meeting that a tapering of asset purchases might soon be warranted. Chair Jerome H. Powell noted that there was unanimous support for tapering to be completed by mid-2022, which is a much faster timeline than that of the prior quantitative easing purchase program.

 

    Annual Report   |   September 30, 2021   5


Financial Markets Highlights  (Cont.)

   

 

 

·  

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

For the 12-month period ended September 30, 2021, the Bloomberg US Corporate High Yield Index returned 11.28%. Intermediate-maturity bonds returned 10.63%, underperforming long-maturity bonds, which returned 19.26%. Lower-rated bonds performed best, as bonds rated CCC returned 18.71%, followed by bonds rated B, which returned 10.04%, and bonds rated BB, which returned 9.74%. Notable performers by industry were oil field services, retail real estate investment trusts and independent energy. Notable laggards were natural gas utilities, health insurance and cable satellite.

 

·  

Emerging Markets Fixed Income

For the 12-month period ended September 30, 2021, the J.P. Morgan Emerging Markets Bond Index Global Diversified (EMBI GD), which tracks U.S. dollar-denominated, emerging markets (EM) fixed income sovereign debt, returned 4.36%. The J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified (CEMBI BD), which tracks U.S. dollar-denominated, emerging markets (EM) fixed income corporate debt, returned 6.03%. Spreads tightened by 76 basis points (bps) for the EMBI GD and 103 bps for the CEMBI BD. The outperformance of the CEMBI BD versus the EMBI GD was largely due to the former’s shorter duration during a period of rising U.S. Treasury yields. EM high yield credits significantly outperformed their investment grade counterparts in both indexes. Africa was the best-performing region, and Asia was the laggard in both indexes. The past 12-months marked a continuation of the global economic recovery from the shortest recession in U.S. history, which lasted from February to April 2020. The recession led to significant spread widening, with spreads reaching levels that had not been hit since the Global Financial Crisis of 2008, as markets grappled with the impact of a global pandemic and widespread economic shutdowns. However, in the past 12 months, economies gradually re-emerged from COVID-19 lockdowns, and EM credits benefited from unprecedented fiscal and monetary response by central banks and governments.

 

·  

Collateralized Loan Obligations (CLOs)

For the 12-month period ended September 30, 2021, the collateralized loan obligation (CLO) market priced $162 billion in new issuance across 340 deals. An additional $197.2 billion of supply was brought to market by way of refinancing activity and reset activity, when the debt on existing portfolios is repriced and deal reinvestment periods are extended. CLO market-based metrics improved over the period, with a 5.84% gain in the S&P/LSTA Leveraged Loan Price Index fueling higher net asset values and market value overcollateralization ratios. CLO fundamentals also strengthened. The last 12-month U.S. leveraged loan default rate by principal amount fell nearly 4% across the year, ending at 0.35%, the lowest reading since March 2012. Spreads tightened across the capital structure. The J.P. Morgan Collateralized Loan Obligation Total Return Level Index returned 4.23% for the period.

 

·  

Bank Loans

For the 12-month period ended September 30, 2021, the S&P/LSTA Leveraged Loan Index returned 8.40%, reflecting a continued rally following the pandemic-fueled sell-off in early 2020. Returns were strongest among riskier bank loans trading at steeper discounts. In the last 12 months, loans rated CCC rose 22.65%, loans rated B rose 8.27%, and loans rated BB rose 5.24%. The best-performing sectors were cosmetics and toiletries (+21.82%), nonferrous metals and minerals (+20.46%) and oil and gas (+16.30%). The worst performers were utilities (+3.67%), cable and satellite TV (+5.62%) and financial intermediaries (+5.66%). The weighted average bid price of the index at the end of the period was $98.62, up from $93.18 a year ago. The trailing 12-month default rate on a principal basis declined year-over-year to 0.35% in September from 4.17%.

 

·  

Non-Agency Residential Mortgage-Backed Securities (Non-Agency RMBS)

For the 12-month period ended September 30, 2021, non-Agency residential mortgage-backed securities (non-Agency RMBS) rallied as home price appreciation accelerated. The sector experienced $35.1 billion in deal redemption volume, the largest in recent years. The sector continued to benefit from solid fundamentals, as 70% to 85% of COVID-19-era-affected loans either prepaid or became current – partially attributable to forbearance assistance programs and rising home prices. Home prices hit their all-time year-over-year high of 19.9% in July, the most recent month for which data was available as measured by the S&P CoreLogic Case-Shiller 20-City Composite Home Price NSA Index. Home price appreciation benefited throughout the year from historically tight housing inventory. In June, the Federal Housing Finance Agency announced changes to expand its loan modification terms for all borrowers (regardless of their loan-to-value (LTV) ratio) impacted by COVID-19 hardship. Prior to this revision, only borrowers with a combined LTV ratio greater than or equal to 80% were eligible for a possible interest rate reduction. As credit performance currently stands, loan modifications have remained muted, with the most popular option being term extension over interest rate reduction.

 

6   DoubleLine Yield Opportunities Fund        


Management’s Discussion of Fund Performance

 

(Unaudited)

September 30, 2021

 

DoubleLine Yield Opportunities Fund

For the 12-month period ended September 30, 2021, the DoubleLine Yield Opportunities Fund outperformed the benchmark Bloomberg US Aggregate Bond Index return of negative 0.90% on a net asset value basis. Fixed income credit fundamentals improved during this period, and interest rates moved higher. These two trends sharply benefited the Fund more than the Index due to the Fund’s relatively higher allocation to credit products and lower duration than the Index. Every credit sector in the Fund generated positive returns, with the best-performing sectors being non-Agency residential mortgage-backed securities, asset-backed securities and non-Agency commercial mortgage-backed securities. These securitized credit sectors benefited from the COVID-19 vaccine rollout, healthy U.S. consumer activity and steadily rising property values. Corporate-related credit sectors such as collateralized loan obligations, bank loans and domestic high yield bonds also generated strong returns, as corporate earnings rebounded sharply and defaults were minimal. The only sector that detracted from performance was noncredit sector Agency mortgage-backed securities, which experienced some duration-related price declines as the 10-year U.S. Treasury yield rose 80 basis points.

 

12-Month Period Ended 9-30-21       1-Year

Total Return based on NAV

          13.53%

Total Return based on Market Price

          12.36%

Bloomberg US Aggregate Bond Index

          -0.90%

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

The Fund seeks to pay regular monthly distributions out of its net investment income at a rate that reflects its current and projected net income performance. To permit the Fund to maintain a more stable monthly distributions, the Fund may pay distributions at a rate different than the amount of net income actually earned by the Fund during the period. Distributions are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the distributions exceed the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 5 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period. If a portion of the Fund’s distributions is from sources other than net investment income, shareholders will be notified of the estimated composition of such distribution through a Section 19 notice. For financial reporting purposes, the per share amounts of the Fund’s distributions for the reporting period are presented in the Financial Highlights.

Opinions expressed herein are as of September 30, 2021, and are subject to change at any time, are not guaranteed and should not be considered investment advice. Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security. Please refer to the Schedule of Investments for a complete list of Fund holdings as of period end.

There are risks associated with an investment in the Fund. Shares of closed-end investment companies frequently trade at a discount to their net asset value, which may increase investors’ risk of loss. Investors should consider the Fund’s investment objective, risks, charges and expenses carefully before investing. An investment in the Fund should not constitute a complete investment program.

This document is not an offer to sell securities or the solicitation of an offer to buy securities, nor shall there be any sale or offer of these securities, in any jurisdiction where such sale or offer is not permitted.

The Fund’s shares are only available for purchase through broker/dealers on the secondary market. Unlike an open-end mutual fund, closed-end funds typically offer a fixed number of shares for sale. After the initial public offering, shares are bought in the secondary marketplace, and the market price of the shares is determined by supply and demand, not by NAV, often at a lower price than the NAV. A closed-end fund is not required to buy its shares back from investors upon request.

Investing involves risk. Principal loss is possible. An investment in the Fund involves certain risks arising from, among other things, the Funds ability to invest without limit in debt securities that are at the time of investment rated below investment grade or unrated securities judged by DoubleLine to be of comparable quality (a category of investment that includes securities commonly referred to as high yield securities or junk bonds). Securities of below investment grade quality are regarded as having predominantly speculative characteristics with respect to the issuers capacity to pay interest and to repay principal when due. An investment in the Fund is also subject to the risk of the use of leverage. 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. Investments in debt securities typically decline in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower rated and non-rated securities present a greater risk of loss to principal and interest than higher rated securities. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. The Fund may invest in foreign securities which involves greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater for investments in emerging markets. Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. Exchange-traded fund investments involve additional risks such as the market price trading at a discount to its net asset value, an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares. Floating rate loans and other floating rate investments are subject to credit risk, interest rate risk, counterparty risk and financial services risks, among others. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors. In addition, the Fund 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. Additional principal risks for the Fund can be found in the prospectus.

The Fund’s investment objectives, risks, charges and expenses must be considered carefully before investing. You can obtain the Fund’s most recent periodic reports and certain other regulatory filings by calling 1 (877) DLINE 11 / 1 (877) 354-6311, 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. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Performance reflects management fees and other fund expenses.

 

    Annual Report   |   September 30, 2021   7


Management’s Discussion of Fund Performance  (Cont.)

   

 

Performance data quoted represents past performance; past performance does not guarantee future results and does not reflect the deduction of any taxes a shareholder would pay on fund distributions or the sale of fund shares. The investment return and principal value of an investment will fluctuate so that an investor’s shares when sold may be worth more or less than the original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1 (877) DLINE 11 / 1 (877) 354-6311 or by visiting www.doublelinefunds.com/yield-opportunities-fund/.

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. Credit ratings are determined from the highest available credit rating from any Nationally Recognized Statistical Rating Organization (“NRSRO”). DoubleLine chooses to display credit ratings using S&P’s rating convention, although the rating itself might be sourced from another NRSRO. In limited situations when the rating agency has not issued a formal rating, the rating agency will classify the security as nonrated.

Barclays Capital U.S. CMBS (ERISA Only) Total Return Index—This index measures on a total return basis the performance of investment grade commercial mortgage-backed securities (CMBS). The index includes only CMBS that are compliant with the Employee Retirement Income Security Act of 1974 (ERISA), which will deem ERISA eligible the certificates with the first priority of principal repayment as long as certain conditions are met, including that the certificates be rated in one of the three highest categories by Fitch, Moody’s or Standard & Poor’s.

Basis Points (BPS)—Basis points (or basis point (bp)) refer to a common unit of measure for interest rates and other percentages in finance. One basis point is equal to 1/100th of 1%, or 0.01% or 0.0001, and is used to denote the percentage change in a financial instrument. The relationship between percentage changes and basis points can be summarized as: 1% change = 100 basis points; 0.01% = 1 basis point.

Bloomberg US Aggregate Bond Index—This index represents securities that are SEC registered, taxable and dollar denominated. It covers the U.S. investment grade, fixed-rate bond market, with components for government and corporate securities, mortgage pass-through securities and asset-backed securities. These major sectors are subdivided into more specific indexes that are calculated and reported on a regular basis.

Bloomberg US Asset-Backed Securities (ABS) Index—This index is the ABS component of the Bloomberg US Aggregate Bond Index, a flagship measure of the U.S. investment grade, fixed-rate bond market. The ABS index has three subsectors: credit and credit cards, autos and utility.

Bloomberg US Corporate Bond Index—This index measures the investment grade, fixed-rate taxable corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.

Bloomberg US Corporate High Yield (HY) Index—This index measures the U.S. dollar-denominated, HY, fixed-rate corporate bond market. Securities are classified as HY if the respective middle ratings of Moody’s, Fitch and S&P are Ba1, BB+ or BB+ or below. The Bloomberg US HY Long Index, including bonds with maturities of 10 years or greater, and the Bloomberg US HY Intermediate Index, including bonds with maturities of 1 to 9.999 years, are subindexes of the Bloomberg US Corporate HY Index.

Bloomberg US Government Bond Index—This index is the U.S. government securities component of the Bloomberg US Government/Credit Index. It includes investment grade, U.S. dollar-denominated, fixed-rate U.S. Treasuries and government-related securities.

Bloomberg US Mortgage-Backed Securities (MBS) Index—This index measures the performance of investment grade, fixed-rate, mortgage-backed, pass-through securities of the government-sponsored enterprises (GSEs): Federal Home Loan Mortgage Corp. (Freddie Mac), Federal National Mortgage Association (Fannie Mae) and Government National Mortgage Association (Ginnie Mae).

Conditional Prepayment Rate (CPR)—Metric (also known as “Constant Prepayment Rate”) that indicates a loan prepayment rate at which the outstanding principal of a pool of loans, such as mortgage backed securities (MBS), is paid off. The higher the CPR, the more prepayments are anticipated and thus the lower the duration of the note. This is called “prepayment risk.”

Conduit Bond—Type of municipal bond sold by a governmental entity for the purpose of making proceeds available to a private entity usually in furtherance of a public purpose. An example would be bonds in connection with nonprofit hospitals or affordable housing.

Duration—Measure of the sensitivity of the price of a bond or other debt instrument to a change in interest rates.

Freddie Mac Primary Mortgage Market Survey (PMMS)—This weekly national survey tracks the most-popular 30- and 15-year fixed-rate mortgages, and 5-1 hybrid amortizing adjustable-rate mortgage products among a mix of lender types. The survey is compiled Monday through Wednesday and released (as average rates and points) on Thursday.

Freddie Mac U.S. Mortgage Market Survey 30 Year Homeowner Commitment National Index—This index tracks the 30-year fixed-rate mortgages component of the Freddie Mac Primary Mortgage Market Survey (PMMS).

Ginnie Mae II—This class of pass-through investments is issued by the Government National Mortgage Association (GNMA), known as Ginnie Mae, and draws income from pools of Federation Housing Administration and Department of Veterans Affairs mortgages. Ginnie Mae II securities pay principal and interest on the 20th every month (in contrast to the 15th for Ginnie Mae I) and have a maximum maturity of 30 years.

ICE Bank of America (BofA) U.S. Fixed-Rate Miscellaneous Asset-Backed Securities (ABS) Index—A subset of the ICE BofA U.S. Fixed-Rate ABS Index, including all ABS collateralized by anything other than auto loans, home equity loans, manufactured housing, credit card receivables and utility assets.

J.P. Morgan Collateralized Loan Obligation (CLO) Total Return Level Index—This index is a total return subindex of the J.P. Morgan Collateralized Loan Obligation Index (CLOIE), which is a market value-weighted index consisting of U.S. dollar-denominated CLOs.

J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified (CEMBI BD)—This index is a uniquely weighted version of the CEMBI, which is a market capitalization-weighted index consisting of U.S. dollar-denominated emerging markets corporate bonds. The CEMBI BD limits the weights of index countries with larger debt stocks by only including specified portions of those countries’ eligible current face amounts of debt outstanding.

J.P. Morgan Emerging Markets Bond Index Global Diversified (EMBI GD)—This index is a uniquely weighted version of the EMBI. The EMBI tracks bonds from emerging markets (EM), and comprises sovereign debt and EM corporate bonds. The EMBI GD limits the weights of index countries with larger debt stocks by only including specified portions of those countries’ eligible current face amounts of debt outstanding.

Last Cash Flow (LCF)—Remaining income or other payments made on collateral after all other debtholders have been paid in full.

Loan-to-Value (LTV) Ratio—Assessment of lending risk that financial institutions and other lenders examine before approving a mortgage. Typically, loan assessments with high LTV ratios are considered higher-risk loans. Therefore, if the mortgage is approved, the loan has a higher interest rate.

Net Asset Value (NAV)—Net value of an entity calculated as the total value of the entity’s assets minus the total value of its liabilities. Most commonly used in the context of a mutual fund or an exchange-traded fund (ETF), the NAV represents the per share/unit price of the fund at a specific date or time.

Overcollateralization (OC)—Provision of collateral that is worth more than enough to cover potential losses in cases of default.

 

8   DoubleLine Yield Opportunities Fund        


   

(Unaudited)

September 30, 2021

 

Quantitative Easing (QE)—An unconventional monetary policy used by central banks to stimulate the economy when standard monetary policy has become ineffective. A central bank implements quantitative easing by buying specified amounts of financial assets from commercial banks and other private institutions, thus raising the prices of those financial assets and lowering their yield, while simultaneously increasing the monetary base.

RCA Commercial Property Price Index (CPPI)—This index describes various nonresidential property types for the U.S. (10 monthly series from 2000). It 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.

S&P CoreLogic Case-Shiller 20-City Composite Home Price NSA Index—This index measures the value of residential real estate in 20 major U.S. metropolitan areas: Atlanta; Boston; Charlotte; Chicago; Cleveland; Dallas; Denver; Detroit; Las Vegas; Los Angeles; Miami; Minneapolis; New York City; Phoenix; Portland, Oregon; San Diego; San Francisco; Seattle; Tampa; and Washington, D.C.

S&P/LSTA Leveraged Loan Index—This index tracks the market-weighted performance of institutional weighted loans based on market weightings, spreads and interest payments.

S&P/LSTA Leveraged Loan Price Index—This index tracks the prices of institutional weighted loans based on market weightings, spreads and interest payments.

Spread—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 or risk.

Tapering—Gradual slowing of the pace of the Federal Reserve’s large-scale asset purchases that were put in place as part of the Fed’s quantitative easing policies.

An investment cannot be made directly 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 the 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.

DoubleLine® is a registered trademark of DoubleLine Capital LP.

Distributed by Foreside Funds Services, LLC.

 

    Annual Report   |   September 30, 2021   9


Standardized Performance Summary

 

(Unaudited)

September 30, 2021

 

DLY        
DoubleLine Yield Opportunities Fund
Returns as of September 30, 2021
  1-Year   Since Inception
Annualized
(2-26-20 to  9-30-21)

Total Return based on NAV

      13.53%   7.71%

Total Return based on Market Price

      12.36%   4.21%

Bloomberg US Aggregate Bond Index1

      -0.90%   1.70%

Performance data quoted represents past performance; past performance does not guarantee future results and does not reflect the deduction of any taxes a shareholder would pay on fund distributions or the sale of fund shares. The performance information shown assumes reinvestment of all dividends and distributions. The investment return and principal value of an investment will fluctuate so that an investor’s shares when sold may be worth more or less than the original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance reflects management fees and other fund expenses. Performance data current to the most recent month-end may be obtained by calling (213) 633-8200 or by visiting www.doublelinefunds.com.

1 Formerly known as Bloomberg Barclays US Aggregate Bond Index

 

10   DoubleLine Yield Opportunities Fund        


Schedule of Investments  DoubleLine Yield Opportunities Fund

 

September 30, 2021

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
  ASSET BACKED OBLIGATIONS 5.0%  
 

Castlelake Aircraft Structured Trust,

 

  1,646,000    

Series 2021-1A-C

    7.00% (a)(c)      01/15/2046       1,702,979  
 

JOL Air Ltd.,

 

  4,355,508    

Series 2019-1-B

    4.95% (a)      04/15/2044       4,028,588  
 

Kestrel Aircraft Funding Ltd.,

 

  1,681,905    

Series 2018-1A-A

    4.25% (a)      12/15/2038       1,661,385  
 

LendingClub Receivables Trust,

 

  11,327,000    

Series 2020-5A-B

    7.50% (a)      03/15/2046       11,639,172  
 

MACH Cayman Ltd.,

 

  868,376    

Series 2019-1-B

    4.34% (a)      10/15/2039       833,509  
 

Marlette Funding Trust,

 

  8,192    

Series 2021-1A-R

    8.39% (a)(c)(k)      06/16/2031       3,148,927  
  677,685    

Mosaic Solar Loan Trust

    0.00% (a)(b)      06/20/2042       676,968  
 

Pagaya AI Debt Selection Trust,

 

  3,287,654    

Series 2020-2-NOTE

    7.50% (a)      12/15/2027       3,313,712  
  5,000,000    

Series 2020-3-C

    6.43% (a)      05/17/2027       5,239,806  
  2,425,852    

Series 2021-3-CERT

    10.96% (a)(c)(k)      05/15/2029       4,065,262  
 

SoFi Alternative Trust,

 

  55,000    

Series 2021-2-R1

    8.27% (a)(c)(k)      08/15/2030       3,451,642  
 

SoFi Professional Loan Program,

 

  20,000    

Series 2018-C-R1

    5.58% (a)(c)(k)      01/25/2048       462,780  
 

START Ireland,

 

  1,264,583    

Series 2019-1-C

    6.41% (a)(c)      03/15/2044       1,024,016  
 

Start Ltd.,

     
  4,263,604    

Series 2018-1-A

    4.09% (a)      05/15/2043       4,267,962  
 

Upstart Securitization Trust,

 

  4,000    

Series 2021-2-CERT

    11.40% (c)(k)      06/20/2031       3,347,222  
       

 

 

 
  Total Asset Backed Obligations
(Cost $46,077,500)

 

    48,863,930  
     

 

 

 
  BANK LOANS 8.1%  
 

AAdvantage Loyalty IP Ltd.,

 

  1,210,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)

    5.50%       04/20/2028       1,252,598  
 

Aegion Corporation,

 

  790,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)

    5.50%       05/17/2028       796,912  
 

Almonde, Inc.,

 

  3,197,357    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)

    4.50%       06/13/2024       3,176,142  
  1,175,000    

Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor)

    8.25%       06/16/2025       1,184,347  
 

American Tire Distributors, Inc.,

 

 

Senior Secured First Lien Term Loan

     
  2,657,198    

(1 Month LIBOR USD + 7.50%, 1.00% Floor) (1 Month LIBOR USD + 5.50% + 1.50% PIK)

    8.50%       09/02/2024       2,660,320  
  290,005    

(3 Month LIBOR USD + 7.50%, 1.00% Floor) (3 Month LIBOR USD + 5.50% + 1.50% PIK)

    8.50%       09/02/2024       290,346  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE        MATURITY     VALUE $  
 

Applied Systems, Inc.,

 

  2,050,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.50%, 0.75% Floor)

    6.25%          09/19/2025       2,084,040  
 

Asurion LLC,

 

  305,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%)

    5.33%          01/31/2028       304,492  
  1,425,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%)

    5.33%          01/19/2029       1,420,191  
 

Atlas Purchaser, Inc.,

 

  1,441,388    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor)

    6.00%          05/08/2028       1,425,770  
 

Autokiniton US Holdings, Inc.,

 

  364,088    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor)

    5.00%          04/06/2028       364,543  
 

Brand Industrial Services, Inc.,

 

  491,026    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)

    5.25%          06/21/2024       487,782  
 

Cengage Learning, Inc.,

 

  1,860,000    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor)

    5.75%          07/14/2026       1,874,480  
 

Constant Contact, Inc.,

 

  4,500,000    

Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%)

    8.25%          02/09/2029       4,455,000  
 

Cross Financial Corporation,

 

  1,194,008    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor)

    4.75%          09/15/2027       1,199,231  
 

Curium BidCo SARL,

 

  2,520,000    

Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%, 0.75% Floor)

    8.50%          10/27/2028       2,562,538  
 

DCert Buyer, Inc.,

 

  940,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%)

    7.08%          02/19/2029       950,866  
 

Delta Topco, Inc.,

 

  3,800,000    

Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 0.75% Floor)

    8.00%          12/01/2028       3,850,654  
 

DG Investment Intermediate Holdings, Inc.,

 

  915,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor)

    7.50%          03/19/2029       921,862  
 

DIRECTV Financing LLC,

 

  1,640,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)

    5.75%          08/02/2027       1,642,903  
 

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   11
    


Schedule of Investments  DoubleLine Yield Opportunities Fund  (Cont.)

   

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE        MATURITY     VALUE $  
 

Eisner Advisory Group LLC,

 

  859,091    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor)

    6.00%          07/28/2028       861,239  
 

Endo Luxembourg Finance Company I SARL,

 

  741,275    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)

    5.75%          03/27/2028       726,605  
 

Flynn Canada Ltd.,

 

  1,170,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor)

    5.00%          07/21/2028       1,134,900  
 

Geon Performance Solutions LLC,

 

  470,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)

    5.50%          08/18/2028       473,964  
 

Getty Images, Inc.,

 

  1,956,581    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    4.63%          02/19/2026       1,959,438  
 

GIP II Blue Holding LP,

 

  295,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor)

    5.50%          09/29/2028       295,370  
 

Grab Holdings, Inc.,

 

  1,343,250    

Senior Secured First Lien Term Loan (2 Month LIBOR USD + 4.50%, 1.00% Floor)

    5.50%          01/29/2026       1,361,156  
 

Groupe Solmax, Inc.,

 

  605,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 0.75% Floor)

    5.50%          05/29/2028       605,505  
 

Hyland Software, Inc.,

 

  1,110,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor)

    7.00%          07/07/2025       1,126,650  
 

ION Trading Finance Limited,

 

  413,963    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%)

    4.92%          03/31/2028       415,310  
 

Ivanti Software, Inc.,

 

  840,775    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)

    5.75%          12/01/2027       844,651  
 

Jo-Ann Stores LLC,

        
  250,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 0.75% Floor)

    5.50%          07/07/2028       243,750  
 

Kenan Advantage Group, Inc.,

 

  2,035,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 0.75% Floor)

    8.00%          09/01/2027       2,022,281  
 

Kindred Healthcare, Inc.,

 

  2,954,772    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    4.63%          07/02/2025       2,962,159  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Kronos Acquisition Holdings, Inc.,

 

  327,525    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.50% Floor)

    4.25%        12/22/2026       320,333  
 

Lereta LLC,

 

  675,000    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.75% Floor)

    6.00%        07/27/2028       676,687  
 

Milano Acquisition Corporation,

 

  2,162,730    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor)

    4.75%        10/01/2027       2,170,840  
 

Mileage Plus Holdings LLC,

 

  400,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor)

    6.25%        06/21/2027       425,376  
 

Minotaur Acquisition, Inc.,

 

  3,929,471    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)

    4.83%        03/27/2026       3,915,069  
 

Mitchell International, Inc.,

 

  599,861    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)

    7.33%        12/01/2025       600,827  
 

MLN US HoldCo LLC,

 

  982,323    

Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)

    4.58%        11/28/2025       896,110  
 

OneDigital Borrower LLC,

 

  1,320,552    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor)

    5.25%        11/16/2027       1,327,709  
 

Oravel Stays Singapore PTE Ltd.,

 

  374,063    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor)

    9.00%        06/23/2026       394,636  
 

Potters Borrower LP,

 

  258,700    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor)

    4.75%        12/14/2027       259,186  
 

Pretium PKG Holdings, Inc.,

 

  960,000    

Senior Secured Second Lien Term Loan

    7.25% (d)       09/22/2029       967,200  
 

Riverbed Technology, Inc.,

 

  1,463,938    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor)

    7.00%        12/31/2025       1,317,544  
 

Skillsoft Finance II, Inc.,

      
  280,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)

    5.50%        07/14/2028       281,750  
 

Southern Veterinary Partners LLC,

 

  750,000    

Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.75%, 1.00% Floor)

    8.75%        09/22/2028       753,281  
 

 

       
12   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


   

September 30, 2021

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Staples, Inc.,

 

  841,423    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)

    5.13%        04/16/2026       804,611  
 

The Edelman Financial Engines Centre LLC,

 

  3,360,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)

    6.83%        07/20/2026       3,390,442  
 

TIBCO Software, Inc.,

 

  5,000,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)

    7.34%        03/03/2028       5,063,750  
 

Travelport Finance (Luxembourg) SARL,

 

  1,520,281    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.50%, 1.00% Floor)

    2.50%        02/28/2025       1,580,819  
 

UKG, Inc.,

 

  2,750,000    

Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.75% Floor)

    7.50%        05/03/2027       2,803,845  
 

Viad Corporation,

 

  960,000    

Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 0.50% Floor)

    5.50%        07/31/2028       960,000  
 

VT Topco, Inc.,

 

  525,000    

Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor)

    7.50%        07/31/2026       528,938  
 

WaterBridge Midstream Operating LLC,

 

  739,342    

Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor)

    6.75%        06/22/2026       722,178  
 

WWEX UNI TopCo Holdings LLC,

 

  165,000    

Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 0.75% Floor)

    7.75%        07/26/2029       164,381  
        

 

 

 
  Total Bank Loans
(Cost $76,922,411)

 

    78,263,507  
      

 

 

 
  COLLATERALIZED LOAN OBLIGATIONS 16.1%  
 

AIMCO,

      
  800,000    

Series 2019-10A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor)

    6.06% (a)       07/22/2032       800,078  
  2,000,000    

Series 2021-15A-E (3 Month LIBOR USD + 5.95%, 5.95% Floor)

    6.04% (a)       10/17/2034       1,999,828  
 

Apidos Ltd.,

 

  1,450,000    

Series 2018-18A-E (3 Month LIBOR USD + 5.70%, 5.70% Floor)

    5.84% (a)       10/22/2030       1,388,036  
 

Apidos,

      
  1,000,000    

Series 2020-34A-E (3 Month LIBOR USD + 7.25%, 7.25% Floor)

    7.38% (a)       01/20/2033       1,006,874  
 

Bain Capital Credit Ltd.,

 

  3,000,000    

Series 2017-2A-ER2 (3 Month LIBOR USD + 6.50%, 6.50% Floor)

    7.00% (a)       07/25/2034       2,970,987  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Barings Ltd.,

 

  1,500,000    

Series 2019-2A-CR (3 Month LIBOR USD + 3.40%, 3.40% Floor)

    3.53% (a)       04/15/2036       1,506,290  
  2,000,000    

Series 2020-1A-E (3 Month LIBOR USD + 7.40%, 7.40% Floor)

    7.53% (a)       10/15/2032       2,000,077  
  2,000,000    

Series 2020-1A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor)

    6.65% (a)       10/15/2036       2,000,000  
 

Buttermilk Park Ltd.,

 

  750,000    

Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)

    5.88% (a)       10/15/2031       743,046  
 

Canyon Capital Ltd.,

 

  1,000,000    

Series 2020-2A-E (3 Month LIBOR USD + 7.40%, 7.40% Floor)

    7.53% (a)       10/15/2031       1,005,102  
  1,850,000    

Series 2020-2A-ER (3 Month LIBOR USD + 6.53%, 6.53% Floor)

    6.53% (a)       10/15/2034       1,840,750  
  1,000,000    

Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor)

    6.54% (a)       04/15/2034       997,891  
  2,000,000    

Series 2021-3A-E (3 Month LIBOR USD + 6.20%, 6.20% Floor)

    6.30% (a)       07/15/2034       1,996,224  
 

Carlyle US Ltd.,

 

  1,000,000    

Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor)

    6.19% (a)       04/15/2034       990,538  
 

Cathedral Lake Ltd.,

 

  3,000,000    

Series 2013-1A-BR (3 Month LIBOR USD + 2.30%)

    2.43% (a)       10/15/2029       2,991,125  
  500,000    

Series 2019-2A-C (3 Month LIBOR USD + 3.70%, 3.70% Floor)

    3.83% (a)       07/15/2032       500,311  
  1,068,000    

Series 2019-3A-C1 (3 Month LIBOR USD + 3.75%, 3.75% Floor)

    3.88% (a)       10/20/2032       1,072,468  
 

Catskill Park Ltd.,

 

  3,800,000    

Series 2017-1A-D (3 Month LIBOR USD + 6.00%)

    6.13% (a)       04/20/2029       3,789,464  
 

CIFC Funding Ltd.,

 

  2,000,000    

Series 2013-1A-DR (3 Month LIBOR USD + 6.65%)

    6.78% (a)       07/16/2030       1,990,311  
  3,350,000    

Series 2013-3RA-D (3 Month LIBOR USD + 5.90%, 5.90% Floor)

    6.03% (a)       04/24/2031       3,270,270  
  3,000,000    

Series 2015-2A-ER2 (3 Month LIBOR USD + 6.81%, 6.81% Floor)

    6.94% (a)       04/15/2030       3,016,645  
  500,000    

Series 2016-1A-D2R (3 Month LIBOR USD + 4.43%)

    4.56% (a)       10/21/2031       501,318  
  1,750,000    

Series 2017-5A-D (3 Month LIBOR USD + 6.10%)

    6.23% (a)       11/16/2030       1,746,884  
  4,650,000    

Series 2019-3A-DR (3 Month LIBOR USD + 6.80%, 6.80% Floor)

    6.90% (a)       10/16/2034       4,650,360  
  2,000,000    

Series 2020-1A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)

    6.36% (a)       07/15/2036       1,988,069  
  1,500,000    

Series 2020-4A-E (3 Month LIBOR USD + 6.85%, 6.85% Floor)

    6.98% (a)       01/15/2034       1,520,509  
  500,000    

Series 2021-4A-E (3 Month LIBOR USD + 6.00%, 6.00% Floor)

    6.09% (a)       07/15/2033       500,050  
 

Dryden Ltd.,

 

  2,000,000    

Series 2017-54A-E (3 Month LIBOR USD + 6.20%)

    6.33% (a)       10/19/2029       2,007,471  
 

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   13
    


Schedule of Investments  DoubleLine Yield Opportunities Fund  (Cont.)

   

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Dryden Ltd., (Cont.)

 

  1,000,000    

Series 2020-77A-ER (3 Month LIBOR USD + 5.87%, 5.87% Floor)

    6.00% (a)       05/20/2034       993,519  
 

Dryden Senior Loan Fund,

 

  2,500,000    

Series 2021-87A-E (3 Month LIBOR USD + 6.15%, 6.15% Floor)

    6.29% (a)       05/20/2034       2,495,198  
 

GoldenTree Loan Management Ltd.,

 

  5,000,000    

Series 2019-6A-E (3 Month LIBOR USD + 5.22%, 5.22% Floor)

    5.35% (a)       01/20/2033       4,842,128  
 

Highbridge Loan Management Ltd.,

 

  1,550,000    

Series 2013-2A-CR (3 Month LIBOR USD + 2.90%)

    3.03% (a)       10/20/2029       1,481,137  
  1,000,000    

Series 6A-2015-DR (3 Month LIBOR USD + 5.10%)

    5.22% (a)       02/05/2031       937,500  
 

HPS Loan Management Ltd.,

 

  2,000,000    

Series 13A-18-E (3 Month LIBOR USD + 5.50%, 5.50% Floor)

    5.63% (a)       10/15/2030       1,941,135  
 

Jay Park Ltd.,

 

  1,000,000    

Series 2016-1A-DR (3 Month LIBOR USD + 5.20%, 5.20% Floor)

    5.33% (a)       10/20/2027       992,698  
 

Madison Park Funding Ltd.,

 

  2,500,000    

Series 2017-26A-ER (3 Month LIBOR USD + 6.50%)

    6.63% (a)       07/29/2030       2,490,055  
  2,500,000    

Series 2019-36A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor)

    3.88% (a)       01/15/2033       2,514,635  
  2,500,000    

Series 2020-45A-ER (3 Month LIBOR USD + 6.35%, 6.35% Floor)

    6.48% (a)       07/15/2034       2,500,452  
  2,000,000    

Series 2021-38A-E (3 Month LIBOR USD + 6.00%, 6.00% Floor)

    6.13% (a)       07/17/2034       1,999,752  
 

Magnetite Ltd.,

      
  500,000    

Series 2020-26A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor)

    6.04% (a)       07/25/2034       500,009  
  1,000,000    

Series 2020-28A-E (3 Month LIBOR USD + 7.08%, 7.08% Floor)

    7.21% (a)       10/25/2031       1,002,901  
 

Milos Ltd.,

      
  4,000,000    

Series 2017-1A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor)

    6.28% (a)       10/20/2030       4,010,122  
 

Neuberger Berman Loan Advisers Ltd.,

 

  2,500,000    

Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)

    6.38% (a)       04/15/2034       2,478,422  
  5,000,000    

Series 2019-34A-E (3 Month LIBOR USD + 7.80%)

    7.93% (a)       01/20/2033       5,045,402  
  500,000    

Series 2020-38A-DR (3 Month LIBOR USD + 3.00%, 3.00% Floor)

    3.00% (a)       10/20/2035       500,000  
  1,500,000    

Series 2020-38A-E (3 Month LIBOR USD + 7.50%, 7.50% Floor)

    7.63% (a)       10/20/2032       1,508,263  
  3,000,000    

Series 2020-38A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)

    6.25% (a)       10/20/2035       3,000,000  
 

Octagon Investment Partners Ltd.,

 

  1,500,000    

Series 2019-1A-E (3 Month LIBOR USD + 6.46%, 6.46% Floor)

    6.59% (a)       04/20/2031       1,502,500  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Octagon Investment Partners Ltd., (Cont.)

 

  750,000    

Series 2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor)

    6.73% (a)      10/25/2032       753,894  
  5,000,000    

Series 2019-1A-INC

    11.16% (a)(c)(e)(k)      10/25/2032       4,404,564  
  500,000    

Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor)

    6.92% (a)      05/12/2031       497,642  
  1,000,000    

Series 2020-2A-ER (3 Month LIBOR USD + 6.60%, 6.60% Floor)

    6.71% (a)      07/15/2036       1,000,096  
  1,000,000    

Series 2020-3A-D (3 Month LIBOR USD + 4.00%, 4.00% Floor)

    4.13% (a)      10/20/2031       1,004,361  
  2,700,000    

Series 2020-3A-E (3 Month LIBOR USD + 7.66%, 7.66% Floor)

    7.79% (a)      10/20/2031       2,713,209  
  4,000,000    

Series 2021-1A-E (3 Month LIBOR USD + 6.50%, 6.50% Floor)

    6.67% (a)      04/15/2034       4,000,815  
 

Octagon Loan Funding Ltd.,

 

  1,000,000    

Series 2014-1A-ERR (3 Month LIBOR USD + 6.00%, 6.00% Floor)

    6.12% (a)      11/18/2031       978,060  
 

OHA Credit Funding Ltd.,

 

  3,000,000    

Series 2019-3A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)

    6.40% (a)      07/02/2035       3,000,321  
 

Point Au Roche Park Ltd.,

 

  500,000    

Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor)

    6.28% (a)      07/20/2034       499,918  
 

RR Ltd.,

 

  5,000,000    

Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor)

    5.93% (a)      04/15/2036       4,940,393  
  1,000,000    

Series 2019-6A-DR (3 Month LIBOR USD + 5.85%, 5.85% Floor)

    5.98% (a)      04/15/2036       988,974  
 

Sound Point Ltd.,

 

  1,000,000    

Series 2019-4A-D (3 Month LIBOR USD + 4.11%, 4.11% Floor)

    4.24% (a)      01/15/2033       1,007,275  
  3,000,000    

Series 2020-1A-ER (3 Month LIBOR USD + 6.86%, 6.86% Floor)

    6.99% (a)      07/20/2034       2,970,477  
  4,000,000    

Series 2020-2A-E (3 Month LIBOR USD + 7.24%, 7.24% Floor)

    7.37% (a)      10/25/2031       4,022,089  
  7,000,000    

Series 2021-2A-E (3 Month LIBOR USD + 6.36%, 6.36% Floor)

    6.45% (a)      07/25/2034       6,936,237  
  2,000,000    

Series 2021-3A-E (3 Month LIBOR USD + 6.61%, 6.61% Floor)

    6.74% (a)      10/25/2034       1,999,625  
 

Thompson Park Ltd.,

 

  2,000,000    

Series 2021-1A-E (3 Month LIBOR USD + 6.31%, 6.31% Floor)

    6.51% (a)      04/15/2034       1,987,961  
 

TICP Ltd.,

 

  2,000,000    

Series 2017-9A-D (3 Month LIBOR USD + 2.90%)

    3.03% (a)      01/20/2031       1,998,581  
 

Treman Park Ltd.,

 

  1,000,000    

Series 2015-1A-DRR (3 Month LIBOR USD + 2.65%, 2.65% Floor)

    2.78% (a)      10/20/2028       1,005,060  
 

Trimaran CAVU LLC,

 

  3,000,000    

Series 2019-1A-D (3 Month LIBOR USD + 4.15%, 4.15% Floor)

    4.28% (a)      07/20/2032       3,033,692  
 

 

       
14   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


   

September 30, 2021

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
 

Voya Ltd.,

 

  2,000,000    

Series 2013-3A-DR (3 Month LIBOR USD + 5.90%, 5.90% Floor)

    6.03% (a)       10/18/2031       1,922,523  
  1,350,000    

Series 2017-2A-D (3 Month LIBOR USD + 6.02%)

    6.15% (a)       06/07/2030       1,326,395  
  2,700,000    

Series 2018-1A-D (3 Month LIBOR USD + 5.20%)

    5.33% (a)       04/19/2031       2,577,418  
  2,000,000    

Series 2018-4A-E (3 Month LIBOR USD + 6.30%, 6.30% Floor)

    6.43% (a)       01/15/2032       1,988,596  
 

Webster Park Ltd.,

 

  1,000,000    

Series 2015-1A-DR (3 Month LIBOR USD + 5.50%, 5.50% Floor)

    5.63% (a)       07/20/2030       992,847  
 

Wind River Ltd.,

 

  2,500,000    

Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor)

    7.18% (a)       04/15/2035       2,502,581  
  1,000,000    

Series 2018-1A-E (3 Month LIBOR USD + 5.50%)

    5.63% (a)       07/15/2030       970,625  
  1,000,000    

Series 2018-2A-E (3 Month LIBOR USD + 5.75%)

    5.88% (a)       07/15/2030       968,596  
        

 

 

 
  Total Collateralized Loan Obligations
(Cost $153,196,852)

 

    156,519,629  
      

 

 

 
  FOREIGN CORPORATE BONDS 23.2%  
  1,051,000    

ABM Investama Tbk PT

    7.13%        08/01/2022       1,051,315  
  2,450,000    

ABM Investama Tbk PT

    9.50% (a)       08/05/2026       2,352,000  
  864,577    

Aeropuertos Argentina S.A.

    6.88% (a)       02/01/2027       760,007  
  1,700,000    

AES Andres B.V.

    5.70% (a)       05/04/2028       1,757,196  
  1,000,000    

AES Argentina Generacion S.A.

    7.75%        02/02/2024       891,250  
  4,000,000    

AES Gener S.A. (5 Year CMT Rate + 4.92%)

    6.35%        10/07/2079       4,238,660  
  2,000,000    

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

    7.13%        03/26/2079       2,126,160  
  2,400,000    

Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%)

    7.75% (g)       05/25/2025       2,168,732  
  2,780,000    

Agile Group Holdings Ltd. (5 Year CMT Rate + 11.29%)

    7.88% (g)       07/31/2024       2,533,275  
  1,573,000    

AI Candelaria Spain SLU

    7.50%        12/15/2028       1,709,678  
  1,000,000    

AI Candelaria Spain SLU

    5.75% (a)       06/15/2033       995,495  
  1,000,000    

AI Candelaria Spain SLU

    5.75%        06/15/2033       995,495  
  6,000,000    

Air Canada Class C Pass Through Trust

    10.50% (a)       07/15/2026       7,408,349  
  500,000    

Alpha Holdings S.A.

    10.00% (h)       12/19/2022       69,685  
  1,000,000    

Alpha Holdings S.A.

    9.00% (a)(h)       02/10/2025       147,500  
  2,500,000    

Alpha Holdings S.A.

    9.00% (h)       02/10/2025       368,750  
  4,000,000    

Altice France S.A.

    6.00% (a)       02/15/2028       3,847,680  
  4,000,000    

AMS AG

    7.00% (a)       07/31/2025       4,297,760  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  500,000    

Atento Luxco 1 S.A.

    8.00% (a)       02/10/2026       548,140  
  1,868,000    

Banco GNB Sudameris S.A. (5 Year CMT Rate + 4.56%)

    6.50%        04/03/2027       1,867,916  
  2,100,000    

Braskem Idesa S.A.P.I.

    7.45%        11/15/2029       2,229,896  
  1,700,000    

Braskem Netherlands Finance B.V.

    5.88%        01/31/2050       1,935,875  
  2,300,000    

Camposol S.A.

    6.00%        02/03/2027       2,378,775  
  2,000,000    

Canacol Energy Ltd.

    7.25%        05/03/2025       2,092,520  
  200,000    

Central China Real Estate Ltd.

    7.25%        04/24/2023       133,000  
  4,650,000    

Central China Real Estate Ltd.

    7.25%        07/16/2024       2,863,356  
  400,000    

Central China Real Estate Ltd.

    7.25%        08/13/2024       245,472  
  2,500,000    

Cia General de Combustibles S.A.

    5.50% (a)       07/23/2026       2,474,825  
  2,000,000    

Connect Finco LLC

    6.75% (a)       10/01/2026       2,095,120  
  149,000    

Corporacion Azucarera del Peru S.A.

    6.38%        08/02/2022       146,997  
  3,000,000    

Cosan Overseas Ltd.

    8.25%        12/29/2049       3,095,625  
  4,600,000    

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

    9.50%        02/07/2026       4,229,355  
  2,000,000    

Credivalores-Crediservicios S.A.

    9.75%        07/27/2022       1,894,750  
  1,400,000    

Credivalores-Crediservicios S.A.

    8.88%        02/07/2025       1,146,719  
  1,000,000    

Credivalores-Crediservicios SAS

    8.88% (a)       02/07/2025       819,085  
  2,675,000    

Docuformas SAPI de C.V.

    10.25%        07/24/2024       2,565,659  
  1,110,000    

Eldorado Gold Corporation

    6.25% (a)       09/01/2029       1,101,614  
  766,620    

Empresa Electrica Cochrane SpA

    5.50%        05/14/2027       786,886  
  3,015,000    

Empresa Electrica Guacolda S.A.

    4.56%        04/30/2025       2,001,236  
  3,200,000    

Empresas Publicas de Medellin ESP

    4.38%        02/15/2031       3,169,120  
  200,000    

Fideicomiso P.A. Pacifico Tres

    8.25%        01/15/2035       230,066  
  3,100,000    

Frigorifico Concepcion S.A.

    7.70% (a)       07/21/2028       3,213,088  
  3,350,000    

Frontera Energy Corporation

    7.88% (a)       06/21/2028       3,253,687  
  4,600,000    

FS Luxembourg SARL

    10.00% (a)       12/15/2025       5,062,070  
  8,000,000    

Garda World Security Corporation

    9.50% (a)       11/01/2027       8,668,800  
  300,000    

Geopark Ltd.

    6.50%        09/21/2024       308,318  
  2,700,000    

Geopark Ltd.

    5.50%        01/17/2027       2,663,820  
  2,812,000    

Gilex Holding SARL

    8.50%        05/02/2023       2,868,746  
  2,217,000    

Gran Tierra Energy International Holdings Ltd.

    6.25%        02/15/2025       1,921,352  
  1,000,000    

Gran Tierra Energy, Inc.

    7.75%        05/23/2027       868,140  
  3,500,000    

Grupo Axo SAPI de C.V.

    5.75% (a)       06/08/2026       3,592,732  
  3,700,000    

Hunt Oil Company of Peru LLC Sucursal Del Peru

    6.38%        06/01/2028       3,721,016  
  2,000,000    

Indika Energy Capital III Pte Ltd.

    5.88%        11/09/2024       2,018,840  
  500,000    

Indika Energy Capital IV Pte Ltd.

    8.25%        10/22/2025       520,708  
  500,000    

Indika Energy Capital IV Pte Ltd.

    8.25% (a)       10/22/2025       520,707  
  1,600,000    

Inkia Energy Ltd.

    5.88%        11/09/2027       1,667,440  
  1,500,000    

Instituto Costarricense

    0.07% (a)       10/07/2031       1,486,605  
  2,600,000    

Interpipe Holdings PLC

    8.38% (a)       05/13/2026       2,564,107  
  3,800,000    

Jababeka International B.V.

    6.50%        10/05/2023       3,680,423  
  4,600,000    

Kosmos Energy Ltd.

    7.13%        04/04/2026       4,518,097  
  3,530,000    

Kronos Acquisition Holdings, Inc.

    7.00% (a)       12/31/2027       3,388,270  
  700,000    

Logan Group Corporation Ltd. (5 Year CMT Rate + 6.00%)

    7.00% (g)       05/31/2022       689,710  
 

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   15
    


Schedule of Investments  DoubleLine Yield Opportunities Fund  (Cont.)

   

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  2,400,000    

Metinvest B.V.

    7.75%        10/17/2029       2,608,176  
  3,500,000    

Minejesa Capital B.V.

    5.63%        08/10/2037       3,702,125  
  2,300,000    

Minerva Luxembourg S.A.

    4.38% (a)       03/18/2031       2,224,560  
  1,550,000    

Mong Duong Finance Holdings B.V.

    5.13%        05/07/2029       1,547,218  
  1,000,000    

Nexa Resources S.A.

    5.38%        05/04/2027       1,051,260  
  500,000    

Nexa Resources S.A.

    6.50% (a)       01/18/2028       549,630  
  2,700,000    

NGD Holdings B.V.

    6.75%        12/31/2026       2,623,590  
  4,750,000    

Oi S.A. (8.00% + 4.00% PIK)

    10.00%        07/27/2025       4,464,763  
  3,302,000    

Operadora de Servicios Mega S.A. de C.V.

    8.25%        02/11/2025       3,332,395  
  438,000    

Operadora de Servicios Mega S.A. de C.V.

    8.25% (a)       02/11/2025       442,032  
  2,600,000    

Pertamina Persero PT

    4.15%        02/25/2060       2,578,642  
  4,500,000    

Peru LNG SRL

    5.38%        03/22/2030       3,653,393  
  4,300,000    

Petrobras Global Finance B.V.

    5.50%        06/10/2051       4,008,675  
  3,700,000    

Petroleos Mexicanos

    6.38%        01/23/2045       3,151,678  
  750,000    

Petroleos Mexicanos

    6.75%        09/21/2047       655,275  
  4,400,000    

RKP Overseas Finance

    7.95% (g)       02/17/2022       4,127,948  
  1,000,000    

RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%)

    7.75% (g)       11/18/2024       934,395  
  2,000,000    

Ronshine China Holdings Ltd.

    7.35%        12/15/2023       1,442,657  
  2,900,000    

Ronshine China Holdings Ltd.

    6.75%        08/05/2024       1,978,906  
  530,000    

Seaspan Corporation

    5.50% (a)       08/01/2029       541,379  
  3,600,000    

SierraCol Energy Andina LLC

    6.00% (a)       06/15/2028       3,524,634  
  1,050,000    

Sixsigma Networks Mexico S.A. de C.V.

    7.50%        05/02/2025       1,022,852  
  4,200,000    

TBLA International Pte Ltd.

    7.00%        01/24/2023       4,113,501  
  4,700,000    

Telecommunications Services of Trinidad & Tobago Ltd.

    8.88%        10/18/2029       5,026,674  
  1,165,000    

Telesat LLC

    5.63% (a)       12/06/2026       1,119,897  
  2,416,000    

Tervita Corporation

    11.00% (a)       12/01/2025       2,737,944  
  400,000    

Theta Capital Pte Ltd.

    8.13%        01/22/2025       416,944  
  4,900,000    

Theta Capital Pte Ltd.

    6.75%        10/31/2026       4,850,900  
  500,000    

Transportadora de Gas del Sur S.A.

    6.75%        05/02/2025       467,240  
  2,500,000    

Tullow Oil PLC

    10.25% (a)       05/15/2026       2,613,775  
  1,600,000    

TV Azteca S.A.

    8.25% (h)       08/09/2024       964,000  
  3,155,106    

UEP Penonome S.A.

    6.50% (a)       10/01/2038       3,303,459  
  1,200,000    

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

    7.38%        02/12/2026       1,145,496  
  2,550,000    

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

    8.38%        01/27/2028       2,436,742  
  1,600,000    

Unigel Luxembourg S.A.

    8.75%        10/01/2026       1,721,936  
  2,500,000    

Vedanta Resources Finance PLC

    9.25%        04/23/2026       2,385,413  
  3,600,000    

Vertical Holding Company GMBH

    7.63% (a)       07/15/2028       3,852,000  
  4,600,000    

Yuzhou Properties Company Ltd.

    7.38%        01/13/2026       3,054,370  
        

 

 

 
  Total Foreign Corporate Bonds
(Cost $220,817,639)

 

    225,344,144  
      

 

 

 
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN
GOVERNMENT SPONSORED CORPORATIONS 2.1%
 
 
  4,200,000    

Brazilian Government International Bond

    4.75%       01/14/2050       3,728,634  
  4,500,000    

Colombia Government International Bond

    5.00%       06/15/2045       4,402,755  
  1,400,000    

Dominican Republic International Bond

    5.30% (a)      01/21/2041       1,388,114  
  600,000    

Dominican Republic International Bond

    5.30%       01/21/2041       594,906  
  2,500,000    

Dominican Republic International Bond

    6.40%       06/05/2049       2,652,525  
  900,000    

El Salvador Government International Bond

    7.12%       01/20/2050       623,259  
  4,700,000    

Mexico Government International Bond

    4.50%       01/31/2050       4,818,440  
  2,400,000    

Ukraine Government International Bond

    7.25%       03/15/2033       2,437,853  
       

 

 

 
  Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $20,914,141)

 

    20,646,486  
     

 

 

 
  NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS 28.2%  
 

Alen Mortgage Trust,

 

  7,500,000    

Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor)

    5.08% (a)      04/15/2034       7,535,826  
 

Atrium Hotel Portfolio Trust,

 

  1,623,000    

Series 2018-ATRM-F (1 Month LIBOR USD + 4.00%, 4.00% Floor)

    4.08% (a)      06/15/2035       1,545,786  
 

Bancorp Commercial Mortgage Trust,

 

  5,000,000    

Series 2019-CRE6-F (Secured Overnight Financing Rate 30 Day Average + 4.46%, 4.35% Floor)

    4.51% (a)      09/15/2036       4,920,085  
 

BANK,

 

  18,317,000    

Series 2018-BN12-XE

    1.50% (a)(e)(f)      05/15/2061       1,525,843  
  6,978,000    

Series 2018-BN12-XF

    1.50% (a)(e)(f)      05/15/2061       563,201  
  20,061,456    

Series 2018-BN12-XG

    1.50% (a)(e)(f)      05/15/2061       1,456,161  
  18,522,000    

Series 2019-BN16-XF

    1.14% (a)(e)(f)      02/15/2052       1,313,914  
  9,261,000    

Series 2019-BN16-XG

    1.14% (a)(e)(f)      02/15/2052       645,705  
  4,631,000    

Series 2019-BN16-XH

    1.14% (a)(e)(f)      02/15/2052       311,439  
  6,366,937    

Series 2019-BN16-XJ

    1.14% (a)(e)(f)      02/15/2052       385,473  
 

BBCMS Mortgage Trust,

 

  10,000,000    

Series 2018-RRI-F (1 Month LIBOR USD + 4.65%, 4.65% Floor)

    4.73% (a)      02/15/2033       10,062,348  
  3,000,000    

Series 2020-C7-D

    3.72% (a)(e)      04/15/2053       2,940,689  
 

Beast Mortgage Trust,

 

  6,000,000    

Series 2021-1818-G (1 Month LIBOR USD + 6.00%, 6.25% Floor)

    6.25% (a)      03/15/2036       6,054,446  
 

Benchmark Mortgage Trust,

 

  7,464,000    

Series 2018-B4-D

    2.96% (a)(e)      07/15/2051       6,897,094  
  12,324,000    

Series 2021-B26-XF

    1.50% (a)(e)(f)      06/15/2054       1,450,285  
 

BSREP Commercial Mortgage Trust,

 

  5,000,000    

Series 2021-DC-G (1 Month LIBOR USD + 3.85%, 3.85% Floor)

    3.93% (a)      08/15/2038       5,026,239  
 

BX Trust,

     
  2,975,000    

Series 2017-APPL-F (1 Month LIBOR USD + 4.25%, 4.25% Floor)

    4.33% (a)      07/15/2034       2,986,779  
 

 

       
16   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


   

September 30, 2021

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

BX Trust, (Cont.)

 

  5,100,000    

Series 2017-SLCT-F (1 Month LIBOR USD + 4.25%, 4.25% Floor)

    4.33% (a)      07/15/2034       5,137,947  
  1,880,000    

Series 2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor)

    3.68% (a)      04/15/2034       1,859,943  
  3,500,000    

Series 2021-VIEW-F (1 Month LIBOR USD + 3.93%, 3.93% Floor)

    4.01% (a)      06/15/2023       3,514,043  
  2,500,000    

Series 2021-VIEW-G (1 Month LIBOR USD + 4.93%, 4.93% Floor)

    5.01% (a)      06/15/2023       2,512,168  
 

CFCRE Commercial Mortgage Trust,

 

  3,000,000    

Series 2016-C7-C

    4.55% (e)      12/10/2054       2,980,787  
 

Citigroup Commercial Mortgage Trust,

 

  5,008,323    

Series 2015-GC27-D

    4.57% (a)(e)      02/10/2048       4,951,720  
  5,000,000    

Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.65% Floor)

    3.73% (a)      12/15/2036       4,940,614  
  5,114,000    

Series 2020-GC46-E

    2.60% (a)      02/15/2053       4,174,767  
 

Commercial Mortgage Pass-Through Certificates,

 

  73,042,563    

Series 2013-CR13-XA

    0.91% (e)(f)      11/10/2046       1,064,734  
 

CSAIL Commercial Mortgage Trust,

 

  5,088,000    

Series 2016-C6-D

    5.09% (a)(e)      01/15/2049       4,574,424  
  108,043,933    

Series 2017-CX9-XA

    1.00% (e)(f)      09/15/2050       2,408,083  
  2,500,000    

Series 2020-C19-E

    2.50% (a)      03/15/2053       2,214,467  
  13,238,000    

Series 2020-C19-XD

    1.23% (a)(e)(f)      03/15/2053       1,116,118  
 

CSMC Trust,

 

  18,014,000    

Series 2016-NXSR-XE

    1.00% (a)(e)(f)      12/15/2049       705,725  
  7,058,000    

Series 2017-PFHP-F (1 Month LIBOR USD + 4.49%, 4.49% Floor)

    4.57% (a)      12/15/2030       6,449,505  
  5,000,000    

Series 2020-WHHQ-A (1 Month LIBOR USD + 3.42%, 4.42% Floor)

    4.42% (a)      02/10/2023       5,018,654  
 

CSWF Trust,

 

  4,000,000    

Series 2018-TOP-H (1 Month LIBOR USD + 3.41%, 3.41% Floor)

    3.50% (a)      08/15/2035       3,972,967  
 

Del Amo Fashion Center Trust,

 

  2,100,000    

Series 2017-AMO-C

    3.76% (a)(e)      06/05/2035       1,909,778  
 

Deutsche Bank Commercial Mortgage Trust,

 

  4,622,000    

Series 2016-C1-C

    3.48% (e)      05/10/2049       4,485,183  
 

DOLP Trust,

 

  4,000,000    

Series 2021-NYC-F

    3.70% (a)(e)      05/10/2041       3,808,439  
  4,000,000    

Series 2021-NYC-G

    3.70% (a)(e)      05/10/2041       3,623,199  
 

FREMF Mortgage Trust,

 

  3,505,144    

Series 2016-KF13-B (1 Month LIBOR USD + 7.50%)

    7.58% (a)      11/25/2025       3,638,439  
  1,514,756    

Series 2016-KF14-B (1 Month LIBOR USD + 8.80%)

    8.88% (a)      01/25/2023       1,540,452  
  2,892,292    

Series 2016-KF15-B (1 Month LIBOR USD + 7.68%)

    7.76% (a)      02/25/2023       2,929,136  
  1,984,389    

Series 2016-KF16-B (1 Month LIBOR USD + 6.64%)

    6.72% (a)      03/25/2026       2,008,226  
  2,375,960    

Series 2016-KF19-B (1 Month LIBOR USD + 5.50%, 5.50% Floor)

    5.58% (a)      06/25/2023       2,381,862  
  1,242,131    

Series 2016-KF23-B (1 Month LIBOR USD + 5.15%)

    5.23% (a)      09/25/2023       1,234,188  
  8,776,511    

Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor)

    5.88% (a)      11/25/2028       8,870,467  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Great Wolf Trust,

 

  8,316,000    

Series 2019-WOLF-E (1 Month LIBOR USD + 2.73%, 2.73% Floor)

    2.82% (a)      12/15/2036       8,180,099  
 

GS Mortgage Securities Corporation Trust,

 

  4,645,675    

Series 2018-HULA-G (1 Month LIBOR USD + 3.40%, 3.40% Floor)

    3.48% (a)      07/15/2025       4,487,118  
 

GS Mortgage Securities Corporation,

 

  2,149,788    

Series 2015-GC28-D

    4.46% (a)(e)      02/10/2048       2,175,346  
 

GS Mortgage Securities Trust,

 

  2,720,000    

Series 2014-GC26-D

    4.66% (a)(e)      11/10/2047       1,853,673  
  7,798,021    

Series 2016-GS3-XA

    1.34% (e)(f)      10/10/2049       388,548  
  2,163,000    

GSMSC Resecuritization Trust

    4.65% (a)(d)      10/15/2036       2,168,379  
 

J.P. Morgan Chase Commercial Mortgage Securities Trust,

 

  4,000,000    

Series 2019-MFP-G (1 Month LIBOR USD + 4.05%, 4.05% Floor)

    4.13% (a)      07/15/2036       3,932,056  
  4,000,000    

Series 2019-MFP-XG

    0.50% (a)(e)(f)      07/15/2036       14,912  
 

JPMBB Commercial Mortgage Securities Trust,

 

  29,525,918    

Series 2014-C23-XA

    0.76% (e)(f)      09/15/2047       452,257  
  3,998,000    

Series 2014-C26-D

    4.02% (a)(e)      01/15/2048       3,934,346  
  2,265,000    

Series 2015-C27-D

    3.94% (a)(e)      02/15/2048       2,040,000  
  54,351,371    

Series 2015-C32-XA

    1.36% (e)(f)      11/15/2048       1,542,383  
 

JPMDB Commercial Mortgage Securities Trust,

 

  25,460,000    

Series 2020-COR7-XB

    0.56% (e)(f)      05/13/2053       885,117  
  10,244,000    

Series 2020-COR7-XD

    2.10% (a)(e)(f)      05/13/2053       1,479,818  
 

MFT Trust,

 

  600,000    

Series 2020-ABC-D

    3.59% (a)(e)      02/10/2042       574,105  
 

MHC Commercial Mortgage Trust,

 

  4,000,000    

Series 2021-MHC2-J (1 Month LIBOR USD + 4.25%, 4.25% Floor)

    4.33% (a)      05/15/2023       4,012,171  
 

Morgan Stanley Bank of America Merrill Lynch Trust,

 

  5,022,500    

Series 2015-C21-C

    4.28% (e)      03/15/2048       4,996,656  
  5,000,000    

Series 2015-C27-D

    3.24% (a)(e)      12/15/2047       4,724,881  
  3,675,000    

Series 2017-C34-D

    2.70% (a)      11/15/2052       3,281,498  
 

Morgan Stanley Capital Trust,

 

  4,750,000    

Series 2012-C4-C

    5.54% (a)(e)      03/15/2045       4,747,491  
  2,000,000    

Series 2018-H4-D

    3.00% (a)      12/15/2051       1,788,136  
  5,000,000    

Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor)

    3.73% (a)      05/15/2036       4,535,663  
 

Tharaldson Hotel Portfolio Trust,

 

  4,050,401    

Series 2018-THL-F (1 Month LIBOR USD + 4.10%, 3.95% Floor)

    4.19% (a)      11/11/2034       3,956,223  
 

TPGI Trust,

 

  4,000,000    

Series 2021-DGWD-G (1 Month LIBOR USD + 3.85%, 3.85% Floor)

    3.93% (a)      06/15/2026       4,015,764  
 

TTAN,

 

  7,500,000    

Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor)

    4.28% (a)      03/15/2038       7,567,259  
 

UBS Commercial Mortgage Trust,

 

  5,000,000    

Series 2017-C6-D

    2.50% (a)(e)      12/15/2050       4,391,777  
  2,500,000    

Series 2018-C14-C

    5.44% (e)      12/15/2051       2,642,520  
  5,000,000    

Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor)

    4.92% (a)      02/15/2032       4,731,630  
 

UBS-Barclays Commercial Mortgage Trust,

 

  6,891,216    

Series 2013-C5-C

    4.22% (a)(e)      03/10/2046       6,866,229  
 

Wachovia Bank Commercial Mortgage Trust,

 

  3,522,037    

Series 2005-C21-E

    5.27% (a)(e)      10/15/2044       3,276,974  
  6,860,247    

Series 2006-C28-D

    5.72% (e)      10/15/2048       6,810,510  
 

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   17
    


Schedule of Investments  DoubleLine Yield Opportunities Fund  (Cont.)

   

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Wells Fargo Commercial Mortgage Trust,

 

  7,910,000    

Series 2015-C28-D

    4.23% (e)      05/15/2048       7,710,267  
  2,000,000    

Series 2016-C33-D

    3.12% (a)      03/15/2059       1,900,710  
  4,514,242    

Series 2016-C34-C

    5.22% (e)      06/15/2049       4,328,773  
  3,200,000    

Series 2017-RC1-D

    3.25% (a)      01/15/2060       3,008,828  
       

 

 

 
  Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $257,998,811)

 

    273,049,465  
     

 

 

 
 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE
OBLIGATIONS 13.5%
 
 
 

ACE Securities Corporation Home Equity Loan Trust,

 

  10,582,721    

Series 2006-HE4-A2B (1 Month LIBOR USD + 0.22%, 0.22% Floor)

    0.31%       10/25/2036       5,733,826  
 

Alternative Loan Trust,

 

  6,841,365    

Series 2005-J12-2A1 (1 Month LIBOR USD + 0.54%, 0.54% Floor, 11.00% Cap)

    0.63%       08/25/2035       4,643,710  
 

AMSR Trust,

 

  10,000,000    

Series 2020-SFR4-G2

    4.87% (a)      11/17/2037       10,323,126  
 

Connecticut Avenue Securities Trust,

 

  9,956,000    

Series 2019-R05-1B1 (1 Month LIBOR USD + 4.10%)

    4.19% (a)      07/25/2039       10,125,716  
  3,900,000    

Series 2019-R07-1B1 (1 Month LIBOR USD + 3.40%)

    3.49% (a)      10/25/2039       3,953,240  
 

Deephaven Residential Mortgage Trust,

 

  10,000,000    

Series 2020-2-B3

    5.89% (a)(e)      05/25/2065       10,079,765  
 

GS Mortgage-Backed Securities Trust,

 

  1,500,000    

Series 2020-NQM1-B2

    5.91% (a)(e)      09/27/2060       1,528,538  
 

Homeward Opportunities Fund Trust,

 

  8,000,000    

Series 2020-2-B1

    5.45% (a)(e)      05/25/2065       8,377,652  
  1,493,537    

Series 2020-BPL1-A2

    5.44% (a)(m)      08/25/2025       1,535,952  
 

JP Morgan Alternative Loan Trust,

 

  7,193,125    

Series 2007-A2-12A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 11.50% Cap)

    0.49%       06/25/2037       3,690,620  
 

New Residential Mortgage Loan Trust,

 

  4,102,000    

Series 2020-NQM2-B1

    4.34% (a)(e)      05/24/2060       4,182,367  
  2,886,000    

Series 2020-NQM2-B2

    4.34% (a)(e)      05/24/2060       2,848,396  
 

Progress Residential Trust,

 

  11,750,000    

Series 2019-SFR2-G

    5.09% (a)      05/17/2036       12,195,877  
  4,000,000    

Series 2019-SFR3-G

    4.12% (a)      09/17/2036       4,045,436  
 

PRPM LLC,

 

  5,000,000    

Series 2020-3-A2

    5.07% (a)(m)      09/25/2025       5,031,795  
 

TBW Mortgage-Backed Trust,

 

  5,061,317    

Series 2007-2-A1A

    5.96% (e)      07/25/2037       2,377,184  
 

Velocity Commercial Capital Loan Trust,

 

  1,500,000    

Series 2016-1-M5

    8.63% (a)(e)      04/25/2046       1,534,298  
  1,000,000    

Series 2016-2-M4

    7.23% (e)      10/25/2046       1,010,898  
  255,000    

Series 2016-2-M5

    8.24% (e)      10/25/2046       262,927  
  4,967,004    

Series 2020-MC1-A

    4.50% (a)(e)      06/25/2045       4,972,178  
 

Verus Securitization Trust,

 

  2,500,000    

Series 2020-2-B1

    5.36% (a)(e)      05/25/2060       2,590,073  
  3,035,000    

Series 2020-3-B1

    4.92% (a)(e)      04/25/2060       3,047,529  
  3,478,000    

Series 2020-3-B2

    5.19% (a)(e)      04/25/2060       3,489,681  
  5,000,000    

Series 2020-4-B2

    5.60% (a)(e)      05/25/2065       5,100,480  
  1,235,000    

Series 2020-INV1-B1

    5.75% (a)(e)      03/25/2060       1,306,753  
  3,300,000    

Series 2020-INV1-B2

    6.00% (a)(e)      03/25/2060       3,422,561  
 

Vista Point Securitization Trust,

 

  9,222,000    

Series 2020-1-B2

    5.38% (a)(e)      03/25/2065       9,522,766  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Vista Point Securitization Trust, (Cont.)

 

  3,396,000    

Series 2020-2-B2

    5.16% (a)(e)      04/25/2065       3,483,842  
       

 

 

 
  Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $122,961,877)

 

    130,417,186  
     

 

 

 
  US CORPORATE BONDS 22.5%  
  3,280,000    

Air Methods Corporation

    8.00% (a)      05/15/2025       3,137,730  
  5,130,000    

Alliant Holdings Intermediate LLC

    6.75% (a)      10/15/2027       5,316,373  
  7,425,000    

Allied Universal Holding Company

    9.75% (a)      07/15/2027       8,087,496  
  1,855,000    

Ambience Merger Sub, Inc.

    7.13% (a)      07/15/2029       1,841,087  
  2,375,000    

Austin BidCo, Inc.

    7.13% (a)      12/15/2028       2,396,078  
  2,485,000    

BCPE Empire Holdings, Inc.

    7.63% (a)      05/01/2027       2,475,681  
  535,000    

Boxer Parent Company, Inc.

    7.13% (a)      10/02/2025       571,701  
  985,000    

Carlson Travel, Inc.

    6.75% (a)(h)      12/15/2025       881,614  
  5,330,000    

Carnival Corporation

    11.50% (a)      04/01/2023       5,956,275  
  595,000    

Carnival Corporation

    7.63% (a)      03/01/2026       635,906  
  5,995,000    

Castle US Holding Corporation

    9.50% (a)      02/15/2028       6,297,927  
  3,315,000    

Cengage Learning, Inc.

    9.50% (a)      06/15/2024       3,397,543  
  1,865,000    

Clear Channel Outdoor Holdings, Inc.

    7.50% (a)      06/01/2029       1,941,931  
  2,335,000    

Cobra Acquisition Company LLC

    0.06% (a)      11/01/2029       2,335,000  
  2,490,000    

Community Health Systems, Inc.

    6.88% (a)      04/15/2029       2,499,300  
  405,000    

Coty, Inc.

    6.50% (a)      04/15/2026       415,489  
  1,365,000    

CSI Compressco LP

    7.50% (a)      04/01/2025       1,346,798  
  3,700,000    

CVR Nitrogen Finance Corporation

    6.13% (a)      06/15/2028       3,885,000  
  3,895,000    

Dealer Tire LLC

    8.00% (a)      02/01/2028       4,084,111  
  1,320,000    

Delta Air Lines, Inc.

    7.00% (a)      05/01/2025       1,539,953  
  4,000,000    

Eldorado Resorts, Inc.

    8.13% (a)      07/01/2027       4,501,900  
  5,583,000    

Embarq Corporation

    8.00%       06/01/2036       5,996,170  
  1,540,000    

Endo Finance LLC

    6.13% (a)      04/01/2029       1,542,087  
  4,395,000    

Endure Digital, Inc.

    6.00% (a)      02/15/2029       4,181,733  
  2,505,000    

EQM Midstream Partners LP

    6.50% (a)      07/01/2027       2,820,630  
  2,665,000    

Ferrellgas Escrow LLC

    5.88% (a)      04/01/2029       2,588,781  
  1,500,000    

Flex Acquisition Company, Inc.

    7.88% (a)      07/15/2026       1,569,375  
  3,000,000    

Flexential Intermediate Corporation

    11.25% (a)      08/01/2024       3,252,390  
  1,200,000    

Frontier Communications Corporation

    6.75% (a)      05/01/2029       1,266,294  
  1,265,000    

Full House Resorts, Inc.

    8.25% (a)      02/15/2028       1,361,538  
  965,000    

Hightower Holding LLC

    6.75% (a)      04/15/2029       990,331  
  3,000,000    

Illuminate Buyer LLC

    9.00% (a)      07/01/2028       3,311,445  
  1,777,355    

JetBlue Pass Through Trust - Class B

    8.00%       11/15/2027       2,088,596  
  1,010,000    

LBM Acquisition LLC

    6.25% (a)      01/15/2029       1,010,924  
  2,560,000    

LD Holdings Group LLC

    6.13% (a)      04/01/2028       2,416,435  
  385,000    

LFS Topco LLC

    5.88% (a)      10/15/2026       397,056  
  3,215,000    

Lions Gate Capital Holdings LLC

    5.50% (a)      04/15/2029       3,327,589  
  1,695,000    

LSF9 Atlantis Holdings LLC

    7.75% (a)      02/15/2026       1,759,944  
  1,260,000    

Mav Acquisition Corporation

    5.75% (a)      08/01/2028       1,239,745  
  1,840,000    

Metis Merger Sub LLC

    6.50% (a)      05/15/2029       1,791,746  
 

 

       
18   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


   

September 30, 2021

 

PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE      MATURITY     VALUE $  
  1,420,000    

Mileage Plus Holdings LLC

    6.50% (a)       06/20/2027       1,545,968  
  2,005,000    

National FINL Partners Corporation

    6.88% (a)       08/15/2028       2,049,932  
  5,765,000    

NGL Energy Operating LLC

    7.50% (a)       02/01/2026       5,881,309  
  1,575,000    

NuStar Logistics LP

    6.38%        10/01/2030       1,734,469  
  650,000    

Par Petroleum LLC

    12.88% (a)       01/15/2026       730,782  
  780,000    

Park River Holdings, Inc.

    5.63% (a)       02/01/2029       756,783  
  2,145,000    

PBF Holding Company LLC

    9.25% (a)       05/15/2025       2,035,315  
  1,250,000    

Performance Food Group, Inc.

    6.88% (a)       05/01/2025       1,326,563  
  3,835,000    

PetSmart, Inc.

    7.75% (a)       02/15/2029       4,189,948  
  4,250,000    

PowerTeam Services LLC

    9.03% (a)       12/04/2025       4,616,563  
  7,250,000    

Radiology Partners, Inc.

    9.25% (a)       02/01/2028       7,808,649  
  4,105,000    

Realogy Group LLC

    7.63% (a)       06/15/2025       4,389,066  
  1,250,000    

Realogy Group LLC

    5.75% (a)       01/15/2029       1,298,288  
  200,000    

Sabre Global, Inc.

    9.25% (a)       04/15/2025       231,408  
  3,305,000    

Sabre Global, Inc.

    7.38% (a)       09/01/2025       3,526,600  
  895,000    

SCIH Salt Holdings, Inc.

    6.63% (a)       05/01/2029       860,337  
  2,635,000    

SEG Holding LLC

    5.63% (a)       10/15/2028       2,750,281  
  4,170,000    

SWF Escrow Issuer Corporation

    6.50% (a)       10/01/2029       4,068,044  
  3,410,000    

TKC Holdings, Inc.

    10.50% (a)       05/15/2029       3,743,413  
  885,000    

TMS International Corporation

    6.25% (a)       04/15/2029       925,931  
  780,000    

TransDigm, Inc.

    8.00% (a)       12/15/2025       832,650  
  4,798,000    

Trident TPI Holdings, Inc.

    9.25% (a)       08/01/2024       5,048,024  
  2,365,000    

Triton Water Holdings, Inc.

    6.25% (a)       04/01/2029       2,406,388  
  3,356,000    

Triumph Group, Inc.

    8.88% (a)       06/01/2024       3,695,795  
  6,300,000    

Triumph Group, Inc.

    7.75%        08/15/2025       6,240,371  
  7,500,000    

Uber Technologies, Inc.

    8.00% (a)       11/01/2026       7,935,938  
  1,500,000    

Uber Technologies, Inc.

    7.50% (a)       09/15/2027       1,639,688  
  435,000    

Unifrax Escrow Issuer Corporation

    7.50% (a)       09/30/2029       446,319  
  1,785,000    

United Natural Foods, Inc.

    6.75% (a)       10/15/2028       1,934,494  
  2,460,000    

Uniti Group LP

    6.50% (a)       02/15/2029       2,533,800  
  2,845,000    

Univision Communications, Inc.

    6.63% (a)       06/01/2027       3,093,938  
  4,000,000    

Verscend Escrow Corporation

    9.75% (a)       08/15/2026       4,220,000  
  2,400,000    

ViaSat, Inc.

    6.50% (a)       07/15/2028       2,530,728  
  2,165,000    

Viking Cruises Ltd.

    13.00% (a)       05/15/2025       2,495,163  
  1,805,000    

WASH Multifamily Acquisition, Inc.

    5.75% (a)       04/15/2026       1,887,082  
  1,835,000    

Weatherford International Ltd.

    11.00% (a)       12/01/2024       1,935,347  
  1,255,000    

Weatherford International Ltd.

    6.50% (a)       09/15/2028       1,294,219  
  2,540,000    

Wheel Pros, Inc.

    6.50% (a)       05/15/2029       2,460,638  
  4,948,000    

Wolverine Escrow LLC

    9.00% (a)       11/15/2026       4,576,900  
        

 

 

 
  Total US Corporate Bonds
(Cost $210,021,402)

 

    218,134,833  
      

 

 

 
 
US GOVERNMENT AND AGENCY MORTGAGE BACKED
OBLIGATIONS 9.6%

 
 

Federal Home Loan Mortgage Corporation,

 

  9,250,000    

Series 2020-DNA1-B2 (1 Month LIBOR USD + 5.25%)

    5.34% (a)       01/25/2050       9,455,502  
PRINCIPAL
AMOUNT $
    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Federal Home Loan Mortgage Corporation,

 

  3,000,000    

Series 2020-DNA2-B2 (1 Month LIBOR USD + 4.80%, 4.80% Floor)

    4.89% (a)      02/25/2050       3,032,342  
  6,000,000    

Series 2020-DNA6-B2 (Secured Overnight Financing Rate 30 Day Average + 5.65%)

    5.70% (a)      12/25/2050       6,540,614  
  1,200,000    

Series 2020-HQA2-B1 (1 Month LIBOR USD + 4.10%)

    4.19% (a)      03/25/2050       1,245,056  
  22,000,000    

Series 2020-HQA2-B2 (1 Month LIBOR USD + 7.60%)

    7.69% (a)      03/25/2050       23,885,215  
  9,750,000    

Series 2020-HQA5-B2 (Secured Overnight Financing Rate 30 Day Average + 7.40%)

    7.45% (a)      11/25/2050       11,649,518  
  10,602,291    

Series 313-S1 (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap)

    5.82% (f)(l)      09/15/2043       2,096,091  
  3,859,418    

Series 3997-SA (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)

    6.42% (f)(l)      02/15/2042       749,991  
  3,782,348    

Series 4091-VI (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)

    4.91% (f)(l)      11/15/2040       518,485  
  7,939,804    

Series 4119-SC (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

    6.07% (f)(l)      10/15/2042       1,478,763  
  4,211,424    

Series 4643-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

    5.92% (f)(l)      01/15/2047       912,345  
  17,118,614    

Series 4863-IA

    4.50% (f)      03/15/2045       1,916,692  
 

Federal National Mortgage Association,

 

  11,062,648    

Series 2012-124-SE (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

    6.06% (f)(l)      11/25/2042       2,006,777  
  13,440,924    

Series 2012-84-HS (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)

    5.91% (f)(l)      08/25/2042       2,583,438  
  7,731,830    

Series 2017-69-ES (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)

    6.06% (f)(l)      09/25/2047       1,437,463  
  10,306,098    

Series 2019-25-SB (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

    5.96% (f)(l)      06/25/2049       1,908,970  
  49,073,095    

Series 2019-M26-X1

    0.72% (e)(f)      03/25/2030       1,880,771  
  19,572,604    

Series 5004-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 6.10%, 6.10% Cap)

    6.05% (f)(l)      08/25/2050       4,882,989  
 

Government National Mortgage Association,

 

  15,104,257    

Series 2019-22-SA (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

    5.51% (f)(l)      02/20/2045       2,697,486  
  9,265,029    

Series 2020-21-NS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)

    5.96% (f)(l)      04/20/2048       1,606,260  
  9,993,139    

Series 2020-47-SL (-1 x 1 Month LIBOR USD + 5.37%, 5.37% Cap)

    5.28% (f)(l)      07/20/2044       1,440,470  
  17,726,452    

Series 2020-61-SU (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)

    5.52% (f)(l)      07/16/2045       2,753,753  
  6,714,128    

Series 2020-77-SU (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)

    6.01% (f)(l)      09/20/2047       1,441,714  
  36,451,692    

Series 2020-88-IO

    0.93% (e)(f)      04/16/2060       2,590,556  
 

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   19
    


Schedule of Investments  DoubleLine Yield Opportunities Fund  (Cont.)

   

 

PRINCIPAL

AMOUNT $/

SHARES

    SECURITY DESCRIPTION   RATE     MATURITY     VALUE $  
 

Government National Mortgage Association, (Cont.)

 

  29,731,211    

Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap)

    2.55% (f)(l)      06/20/2051       2,360,831  
       

 

 

 
  Total US Government and Agency Mortgage
Backed Obligations
(Cost $95,307,899)

 

    93,072,092  
     

 

 

 
  PREFERRED STOCKS 1.0%  
 

AGNC Investment Corporation,

 

  400,000    

Series F (3 Month LIBOR USD + 4.70%)

    6.13% (g)      04/15/2025       10,096,000  
       

 

 

 
  Total Preferred Stocks
(Cost $8,673,632)

 

    10,096,000  
     

 

 

 
  REAL ESTATE INVESTMENT TRUSTS 1.2%  
 

Chimera Investment Corporation

 

  30,000    

(3 Month LIBOR USD + 5.38%)

    8.00% (g)        765,300  
  650,000    

AGNC Investment Corporation

        10,250,500  
       

 

 

 
  Total Real Estate Investment Trusts
(Cost $9,062,735)

 

    11,015,800  
     

 

 

 
  SHORT TERM INVESTMENTS 3.3%  
  FOREIGN CORPORATE BONDS 0.0%  
  104,947    

Alpha Holding (10.00% PIK)

    10.00% (a)(c)      02/01/2022       104,947  
       

 

 

 
          104,947  
       

 

 

 
  MONEY MARKET FUNDS 3.3%  
  10,608,277    

First American Government Obligations Fund - Class U

    0.03% (i)        10,608,277  
  10,608,277    

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

    0.03% (i)        10,608,277  
  10,608,277    

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class

    0.03% (i)        10,608,277  
       

 

 

 
          31,824,831  
       
  Total Short Term Investments
(Cost $31,929,778)

 

    31,929,778  
   

 

 

 
  Total Investments 133.8%
(Cost $1,253,884,677) (j)

 

    1,297,352,850  
  Liabilities in Excess of Other Assets (33.8)%

 

    (327,866,033
   

 

 

 
  NET ASSETS 100.0%

 

  $ 969,486,817  
       

 

 

 
SECURITY TYPE BREAKDOWN as a % of Net Assets:       

Non-Agency Commercial Mortgage Backed Obligations

         28.2%  

Foreign Corporate Bonds

         23.2%  

US Corporate Bonds

         22.5%  

Collateralized Loan Obligations

         16.1%  

Non-Agency Residential Collateralized Mortgage Obligations

         13.5%  

US Government and Agency Mortgage Backed Obligations

         9.6%  

Bank Loans

         8.1%  

Asset Backed Obligations

         5.0%  

Short Term Investments

         3.3%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         2.1%  

Real Estate Investment Trusts

         1.2%  

Preferred Stocks

         1.0%  

Other Assets and Liabilities

         (33.8)%  
      

 

 

 
         100.0%  
      

 

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:       

Non-Agency Commercial Mortgage Backed Obligations

         28.2%  

Collateralized Loan Obligations

         16.1%  

Non-Agency Residential Collateralized Mortgage Obligations

         13.5%  

US Government and Agency Mortgage Backed Obligations

         9.6%  

Energy

         7.0%  

Real Estate

         5.1%  

Asset Backed Obligations

         5.0%  

Commercial Services

         4.1%  

Short Term Investments

         3.3%  

Electronics/Electric

         3.2%  

Technology

         3.2%  

Aerospace & Defense

         3.1%  

Finance

         3.1%  

Utilities

         2.8%  

Media

         2.6%  

Telecommunications

         2.5%  

Consumer Products

         2.4%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

         2.1%  

Healthcare

         2.0%  

Mining

         1.8%  

Retailers (other than Food/Drug)

         1.5%  

Chemicals/Plastics

         1.1%  

Leisure

         1.0%  

Automotive

         1.0%  

Insurance

         1.0%  

Business Equipment and Services

         0.8%  

Transportation

         0.8%  

Financial Intermediaries

         0.8%  

Containers and Glass Products

         0.7%  

Hotels/Motels/Inns and Casinos

         0.6%  

Chemical Products

         0.6%  

Food Products

         0.6%  

Building and Development (including Steel/Metals)

         0.5%  

Industrial Equipment

         0.5%  

Diversified Manufacturing

         0.4%  

Food/Drug Retailers

         0.3%  

Environmental Control

         0.3%  

Pharmaceuticals

         0.2%  

Banking

         0.2%  

Construction

         0.2%  

Cosmetics/Toiletries

         0.0% (n) 

Other Assets and Liabilities

         (33.8)%  
      

 

 

 
         100.0%  
      

 

 

 

 

 

 

       
20   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


   

September 30, 2021

 

(a)

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.

 

(b)

Principal only security

 

(c)

Value determined using significant unobservable inputs.

 

(d)

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 period end.

 

(e)

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 period end.

 

(f)

Interest only security

 

(g)

Perpetual maturity. The date disclosed is the next call date of the security.

 

(h)

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

 

(i)

Seven-day yield as of period end

 

(j)

Under the Fund’s credit agreement, the Lender, through their agent, have been granted a security interest in all of the Fund’s investments in consideration of the Fund’s borrowing under the line of credit with the Lender (See Note 9).

 

(k)

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 period end.

 

(l)

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.

 

 

(m)

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 period end.

 

(n)

Represents less than 0.05% of net assets

 

PIK

A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   21
    


Statement of Assets and Liabilities

 

September 30, 2021

 

ASSETS

   

Investments in Securities, at Value*

    $ 1,265,423,072

Short Term Investments, at Value*

      31,929,778

Interest and Dividends Receivable

      14,360,329

Receivable for Investments Sold

      3,743,179

Cash

      45,631

Prepaid Expenses and Other Assets

      23,561

Net Unrealized Appreciation on Unfunded Loan Commitments

      1,947

Total Assets

      1,315,527,497

LIABILITIES

   

Loan Payable (See Note 9)

      325,000,000

Payable for Investments Purchased

      18,637,283

Investment Advisory Fees Payable

      1,433,228

Interest Expense Payable

      316,182

Payable to Broker for Dividend Reinvestment

      228,989

Accrued Expenses

      225,660

Administration, Fund Accounting and Custodian Fees Payable

      98,131

Professional Fees Payable

      65,022

Trustees Fees Payable (See Note 7)

      36,185

Total Liabilities

      346,040,680

Commitments and Contingencies (See Note 2, Note 8 and Note 9)

         

Net Assets

    $ 969,486,817

NET ASSETS CONSIST OF:

   

Capital Stock ($0.00001 par value)

    $ 479

Additional Paid-in Capital

      952,454,795

Undistributed (Accumulated) Net Investment Income (Loss)

      19,457

Accumulated Net Realized Gain (Loss)

      (26,458,034 )

Net Unrealized Appreciation (Depreciation) on:

         

Investments

      43,468,173

Unfunded Loan Commitments

      1,947

Total Distributable Earnings (Loss) (See Note 5)

      17,031,543

Net Assets

    $ 969,486,817

*Identified Cost:

         

Investments in Securities

    $ 1,221,954,899

Short Term Investments

      31,929,778

Shares Outstanding and Net Asset Value Per Share:

   

Shares Outstanding (unlimited authorized)

      47,945,779

Net Asset Value per Share

    $ 20.22

 

       
22   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


Statement of Operations

 

For the Year Ended September 30, 2021

 

INVESTMENT INCOME

   

Income:

         

Interest

    $ 82,179,985

Dividends from Unaffiliated Securities

      211,712

Total Investment Income

      82,391,697

Expenses:

         

Investment Advisory Fees

      16,755,449

Interest Expense

      3,375,852

Miscellaneous Expenses

      527,204

Administration, Fund Accounting and Custodian Fees

      389,201

Professional Fees

      205,769

Trustees Fees

      108,835

Registration Fees

      50,097

Shareholder Reporting Expenses

      39,063

Insurance Expenses

      15,344

Transfer Agent Expenses

      303

Total Expenses

      21,467,117

Net Investment Income (Loss)

      60,924,580

REALIZED & UNREALIZED GAIN (LOSS)

   

Net Realized Gain (Loss) on:

   

Investments in Securities

      41,927,316

Swaps

      (1,968,158 )

Net Change in Unrealized Appreciation (Depreciation) on:

   

Investments in Securities

      19,758,758

Swaps

      487,395

Unfunded Loan Commitments

      1,947

Net Realized and Unrealized Gain (Loss) on Investments

      60,207,258

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 121,131,838

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   23
    


Statements of Changes in Net Assets  

    

    

 

   

Year Ended
September 30, 2021

  Period Ended
September 30, 2020(a)

OPERATIONS

       

Net Investment Income (Loss)

    $ 60,924,580     $ 26,334,067

Net Realized Gain (Loss) on Investments

      39,959,158       (59,334,616 )

Net Change in Unrealized Appreciation (Depreciation) on Investments

      20,248,100       23,222,020

Net Increase (Decrease) in Net Assets Resulting from Operations

      121,131,838       (9,778,529 )

DISTRIBUTIONS TO SHAREHOLDERS

       

From Earnings

      (67,076,555 )       (27,545,402 )

From Return of Capital

      (66,714 )       (6,014,749 )

Total Distributions to Shareholders

      (67,143,269 )       (33,560,151 )

NET SHARE TRANSACTIONS

       

Increase (Decrease) in Net Assets Resulting from Net Share Transactions

      —         958,836,928

Total Increase (Decrease) in Net Assets

    $ 53,988,569     $ 915,498,248

NET ASSETS

       

Beginning of Period

    $ 915,498,248     $ —  

End of Period

    $ 969,486,817     $ 915,498,248

 

(a) 

Commenced operations on February 26, 2020.

 

       
24   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


 

Statement of Cash Flows

 

For the Year Ended September 30, 2021

 

CASH FLOWS PROVIDED BY (USED IN) OPERATING ACTIVITIES

   

Net Increase (Decrease) in Net Assets Resulting from Operations

    $ 121,131,838

Adjustments to Reconcile the Change in Net Assets from Operations to Net Cash Provided By (Used In) Operating activities:

         

Purchases of Long Term Investments

      (590,892,114 )

Proceeds from Disposition of Long Term Investments

      552,133,494

Net (Purchases of) Proceeds from Disposition of Short Term Investments

      (22,163,745 )

Net Amortization (Accretion) of Premiums/Discounts

      (7,260,807 )

Deposit at Broker for Swaps

      2,851,964

Net Realized (Gain) Loss on Investments in Securities

      (41,927,316 )

Net Change in Unrealized (Appreciation) Depreciation on:

         

Investments in Securities

      (19,758,758 )

Swaps

      (487,395 )

Unfunded Loan Commitments

      (1,947 )

(Increase) Decrease in:

         

Receivable for Investments Sold

      (1,535,277 )

Interest and Dividends Receivable

      (1,835,232 )

Prepaid Expenses and Other Assets

      (4,362 )

Increase (Decrease) in:

         

Payable for Investments Purchased

      1,799,298

Interest Expense Payable

      55,260

Investment Advisory Fees Payable

      141,909

Payable to Broker for Dividend Reinvestment

      (54,482 )

Trustee Fees Payable

      11,271

Accrued Expenses

      131,332

Administration, Fund Accounting and Custodian Fees Payable

      (62,585 )

Professional Fees Payable

      (152,246 )

Net Cash Provided By (Used In) Operating Activities

      (7,879,900 )

CASH FLOWS PROVIDED BY (USED IN) FINANCING ACTIVITIES

   

Increase in borrowings

      75,000,000

Cash Dividends Paid to Common Stockholders

      (67,143,269 )

Net Cash Provided By (Used In) Financing Activities

      7,856,731

NET CHANGE IN CASH

   

Cash at Beginning of Period

      68,800

Cash at End of Period

    $ 45,631

SUPPLEMENTAL DISCLOSURE OF CASH FLOW AND NON-CASH INFORMATION

   

Cash Paid for Interest on Loan Outstanding

    $ 3,320,592

 

The accompanying notes are an integral part of these financial statements.   Annual Report   |   September 30, 2021   25
    


Financial Highlights  

    

    

 

   

Year Ended
September 30, 2021

    Period Ended
September 30, 2020(a)
 

Net Asset Value, Beginning of Period

  $ 19.09     $ 20.00  

Income (Loss) from Investment Operations:

   

Net Investment Income (Loss)(b)

    1.27       0.55  

Net Gain (Loss) on Investments (Realized and Unrealized)

    1.26       (0.76

Total from Investment Operations

    2.53       (0.21

Less Distributions:

   

Distributions from Net Investment Income

    (1.40 )       (0.57

Return of Capital

    —   (h)      (0.13

Total Distributions

    (1.40     (0.70

Net Asset Value, End of Period

  $ 20.22     $ 19.09  

Market Price, End of Period

  $ 19.11     $ 18.29  

Total Return on Net Asset Value(c)

    13.53%       (0.83 )%(f) 

Total Return on Market Price(d)

    12.36%       (4.95 )%(f) 

Supplemental Data:

   

Net Assets, End of Period (000’s)

  $ 969,487     $ 915,498  

Ratios to Average Net Assets:

               

Expenses, including interest expense

    2.22%       1.86% (e) 

Net Investment Income (Loss)

    6.30%       5.11% (e) 

Portfolio Turnover Rate

    44%       16% (f) 

The following table sets forth information regarding the Fund’s outstanding senior securities as of the end of each of the Fund’s last ten fiscal periods, as applicable.

 

Fiscal Year/Period
Ended
  Total Amount
Outstanding(g)
  Asset Coverage
per $1,000 of
Senior Securities
  Average Market
Value per
$1,000 of Senior
Securities
(Excluding
Bank  Loans)
  Type of Senior
Security
    September 30, 2021     $ 325,316,182     $ 3,980       N/A       Loan
    September 30, 2020 (a)      $ 250,260,922     $ 4,658       N/A       Loan

 

(a) 

Commenced operations on February 26, 2020.

(b) 

Calculated based on average shares outstanding during the period.

(c) 

Total return on Net Asset Value is computed based upon the Net Asset Value of common stock on the first business day and the closing Net Asset Value on the last business day of the period. Dividends and distributions are assumed to be reinvested at the prices obtained under the Fund’s dividend reinvestment plan. Total return on Net Asset Value does not reflect any sales load paid by investors.

(d) 

Total return on Market Price is computed based upon the New York Stock Exchange market price of the Fund’s shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested at the prices obtained under the Fund’s dividend reinvestment plan. Total return on Market Price does not reflect any sales load paid by investors.

(e) 

Annualized

(f) 

Not Annualized

(g) 

Includes accrued interest payable on amounts outstanding as of the end of the relevant fiscal year/period.

(h) 

Less than $0.005 per share

 

       
26   DoubleLine Yield Opportunities Fund    The accompanying notes are an integral part of these financial statements.


Notes to Financial Statements

 

September 30, 2021

 

1.  Organization

DoubleLine Yield Opportunities Fund (the “Fund”) is organized as a non-diversified, limited term, closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and the rules and regulations thereunder. The Fund was organized as a Massachusetts business trust on September 17, 2019 and commenced operations on February 26, 2020. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DLY”. The Fund’s investment objective is to seek a high level of total return, with an emphasis on current income.

The Fund has a limited term and intends to terminate as of the first business day following the twelfth anniversary of the effective date of the Fund’s initial registration statement, February 25, 2032 (the “Dissolution Date”); provided that the Fund’s Board of Trustees (the “Board”) may, by a vote of the majority of the Board and seventy-five percent (75%) of the Continuing Trustees, as such term is defined in the Fund’s Second Amended and Restated Agreement and Declaration of Trust (a “Board Action Vote”), without shareholder approval, extend the Dissolution Date (i) once for up to one year, and (ii) once for up to an additional six months, to a date up to and including the eighteenth month after the initial Dissolution Date, which later date shall then become the Dissolution Date. At the Dissolution Date, each holder of common shares of beneficial interest (“Common Shareholder”) would be paid a pro rata portion of the Fund’s net assets as determined as of the Dissolution Date. The Board may, by a Board Action Vote, cause the Fund to conduct a tender offer, as of a date within twelve months preceding the Dissolution Date (as may be extended as described above), to all Common Shareholders to purchase 100% of the then outstanding common shares of the Fund at a price equal to the net asset value (“NAV”) per common share on the expiration date of the tender offer (an “Eligible Tender Offer”). In an Eligible Tender Offer, the Fund will offer to purchase all Common Shares held by each Common Shareholder; provided that if the number of properly tendered Common Shares would result in the Fund having aggregate net assets below $200 million (the “Dissolution Threshold”), the Eligible Tender Offer will be canceled, no Common Shares will be repurchased pursuant to the Eligible Tender Offer, and the Fund will terminate as otherwise scheduled.

The Fund sold and issued 5,000 shares of beneficial interest at $20.00 per share to DoubleLine Asset Management Company LLC (“DAMCO”), a wholly owned subsidiary of DoubleLine Capital LP (the “Adviser” or “DoubleLine Capital”). The Fund issued 46,000,000 common shares of beneficial interest in its initial public offering at $20.00 per share. The Fund issued an additional 1,900,000 common shares at $20.00 per share in connection with the underwriter’s over-allotment option.

The fiscal year end for the Fund is September 30, and the period covered by these Financial Statements is for the year ended September 30, 2021 (the “period end”).

2.  Significant Accounting Policies

The 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 Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).

A. Security Valuation. The Fund has 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 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 generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.

 

    Annual Report   |   September 30, 2021   27


Notes to Financial Statements  (Cont.)

   

 

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.

The Fund’s holdings in whole loans, securitizations and certain other types of alternative lending-related instruments may be valued based on prices provided by a third-party pricing service.

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by an independent pricing service. Where an active secondary market does not exist to a reliable degree in the judgment of the Adviser, such loans will be valued at fair value based on certain factors.

In respect of certain commercial real estate-related, residential real estate-related and certain other investments for which a limited market may exist, the Fund may value such investments based on appraisals conducted by an independent valuation advisor or a similar pricing agent. However, an independent valuation firm may not be retained to undertake an evaluation of an asset unless the NAV, market price and other aspects of an investment exceed certain significance thresholds.

Securities may be fair valued by the Adviser in accordance with the fair valuation procedures approved by the Board. The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and 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.

 

28   DoubleLine Yield Opportunities Fund        


   

September 30, 2021

 

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of September 30, 2021:

 

Category          

Investments in Securities

        

Level 1

        

Money Market Funds

         $ 31,824,831

Real Estate Investment Trusts

           11,015,800

Preferred Stocks

           10,096,000

Total Level 1

           52,936,631

Level 2

        

Non-Agency Commercial Mortgage Backed Obligations

           273,049,465

Foreign Corporate Bonds

           225,344,144

US Corporate Bonds

           218,134,833

Collateralized Loan Obligations

           152,115,065

Non-Agency Residential Collateralized Mortgage Obligations

           130,417,186

US Government and Agency Mortgage Backed Obligations

           93,072,092

Bank Loans

           78,263,507

Asset Backed Obligations

           31,661,102

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

           20,646,486

Total Level 2

           1,222,703,880

Level 3

        

Asset Backed Obligations

           17,202,828

Collateralized Loan Obligations

           4,404,564

Foreign Corporate Bonds

           104,947

Total Level 3

           21,712,339

Total

         $ 1,297,352,850

Other Financial Instruments

        

Level 1