|
DoubleLine Income Solutions Fund
|
||||||||
|
Schedule of Investments
|
||||||||
|
December 31, 2014 (Unaudited)
|
||||||||
|
Principal Amount/Shares
|
Security Description
|
Rate
|
Maturity
|
Value $
|
||||
|
Bank Loans - 14.3%
|
||||||||
|
7,320,000
|
Albertson’s Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4
|
4.50%
|
#
|
08/25/2021
|
7,332,224
|
|||
|
490,000
|
Albertson’s Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B4
|
4.50%
|
#
|
08/31/2021
|
490,818
|
|||
|
2,835,750
|
Alfred Fueling Systems, Inc., Guaranteed Senior Secured 1st Lien Term Loan
|
4.75%
|
#
|
06/18/2021
|
2,786,124
|
|||
|
2,850,000
|
Alfred Fueling Systems, Inc., Guaranteed Secured 2nd Lien Term Loan
|
8.50%
|
#
|
06/20/2022
|
2,778,750
|
|||
|
490,334
|
Alinta Energy Finance Pty Ltd., Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B
|
6.38%
|
#&
|
08/13/2018
|
489,353
|
|||
|
7,406,172
|
Alinta Energy Finance Pty Ltd., Senior Secured 1st Lien Term Loan, Tranche B
|
6.38%
|
#
|
08/13/2019
|
7,391,359
|
|||
|
8,000,000
|
Allflex Holdings, Inc., Guaranteed Secured 2nd Lien Term Loan
|
8.00%
|
#
|
07/19/2021
|
7,850,000
|
|||
|
5,998,778
|
American Renal Holdings, Inc., Secured 2nd Lien Delayed-Draw Term Loan
|
8.50%
|
#
|
02/20/2020
|
5,938,790
|
|||
|
5,960,743
|
American Tire Distributors, Inc., Guaranteed Senior Secured 1st Lien Term Loan
|
5.75%
|
#
|
06/01/2018
|
5,975,644
|
|||
|
6,050,000
|
Applied Systems, Inc., Secured 2nd Lien Term Loan, Tranche B
|
7.50%
|
#
|
01/24/2022
|
5,934,021
|
|||
|
4,970,000
|
Arysta Lifescience LLC, Guaranteed Secured 2nd Lien Term Loan
|
8.25%
|
#
|
11/30/2020
|
4,966,894
|
|||
|
8,887,500
|
Atlas Energy LP, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
6.50%
|
#
|
07/31/2019
|
8,754,187
|
|||
|
5,929,934
|
BMC Software Finance, Inc., Guaranteed Senior Secured 1st Lien Term Loan Tranche B
|
5.00%
|
#
|
09/10/2020
|
5,787,260
|
|||
|
8,646,284
|
Candy Intermediate Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
7.50%
|
#
|
06/18/2018
|
8,365,280
|
|||
|
8,000,000
|
Capital Automotive LP, Guaranteed Secured 2nd Lien Term Loan
|
6.00%
|
#
|
04/30/2020
|
8,000,000
|
|||
|
6,000,000
|
Chief Exploration & Development LLC, Secured 2nd Lien Term Loan
|
7.50%
|
#
|
05/12/2021
|
5,430,000
|
|||
|
9,774,231
|
Clondalkin Acquisition B.V., Senior Secured 1st Lien Term Loan, Tranche B
|
4.50%
|
#
|
05/29/2020
|
9,700,924
|
|||
|
2,900,000
|
CSM Bakery Supplies LLC, Secured 2nd Lien Term Loan
|
8.75%
|
#
|
07/02/2021
|
2,803,329
|
|||
|
3,720,000
|
DI Purchaser, Inc., Senior Secured 1st Lien Term Loan, Tranche B
|
6.00%
|
#
|
12/10/2021
|
3,710,700
|
|||
|
1,450,000
|
Douglas Dynamics LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
5.75%
|
#
|
12/31/2021
|
1,446,375
|
|||
|
5,475,265
|
Emerald Expositions Holdings, Inc., Senior Secured 1st Lien Term Loan, Tranche B
|
4.75%
|
#
|
06/17/2020
|
5,382,870
|
|||
|
3,781,000
|
EnergySolutions LLC, Senior Secured 1st Lien Term Loan, Tranche B
|
6.75%
|
#
|
05/29/2020
|
3,779,809
|
|||
|
3,690,750
|
Essar Steel Algoma, Inc., Senior Secured 1st Lien Term Loan
|
7.50%
|
#
|
08/16/2019
|
3,676,910
|
|||
|
6,000,000
|
Filtration Group, Inc. Senior Secured 2nd Lien Term Loan, Tranche B
|
8.25%
|
#
|
11/19/2021
|
6,007,530
|
|||
|
5,944,444
|
Four Seasons Holdings, Inc., Guaranteed Secured 2nd Lien Term Loan
|
6.25%
|
#
|
12/28/2020
|
5,944,444
|
|||
|
5,987,753
|
Freescale Semiconductor, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B5
|
5.00%
|
#
|
01/15/2021
|
5,990,746
|
|||
|
5,700,000
|
Healogics Inc., Secured 2nd Lien Term Loan
|
9.00%
|
#
|
07/01/2022
|
5,400,750
|
|||
|
5,950,000
|
Ikaria, Inc., Secured 2nd Lien Term Loan, Tranche B
|
8.75%
|
#
|
02/14/2022
|
5,875,625
|
|||
|
4,750,000
|
Jazz Acquisition, Inc., Secured 2nd Lien Term Loan
|
7.75%
|
#
|
06/17/2022
|
4,649,063
|
|||
|
5,870,341
|
KIK Custom Products, Inc., Guaranteed Senior Secured 1st Lien Term Loan
|
5.50%
|
#
|
04/29/2019
|
5,757,836
|
|||
|
2,850,000
|
Mauser Holding GmbH, Guaranteed Secured 2nd Lien Term Loan
|
8.25%
|
#
|
07/29/2022
|
2,787,671
|
|||
|
2,842,875
|
Mauser Holding GmbH, Guaranteed Senior Secured 1st Lien Term Loan
|
4.50%
|
#
|
07/31/2021
|
2,800,232
|
|||
|
6,000,000
|
Mitchell International, Inc., Guaranteed Secured 2nd Lien Term Loan
|
8.50%
|
#
|
10/11/2021
|
5,991,000
|
|||
|
2,968,413
|
National Financial Partners Corporation, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
4.50%
|
#
|
07/01/2020
|
2,946,150
|
|||
|
5,700,000
|
National Vision, Inc., Secured 2nd Lien Term Loan
|
6.75%
|
#
|
03/11/2022
|
5,393,625
|
|||
|
967,575
|
NVA Holdings, Inc., Senior Secured 1st Lien Term Loan, Tranche B
|
4.75%
|
#
|
08/13/2021
|
959,414
|
|||
|
2,910,000
|
NVA Holdings, Inc., Secured 2nd Lien Term Loan
|
8.00%
|
#
|
08/12/2022
|
2,876,040
|
|||
|
1,980,000
|
P2 Upstream Acquisition Company, Guaranteed Senior Secured 1st Lien Term Loan
|
5.00%
|
#
|
10/30/2020
|
1,923,075
|
|||
|
3,095,000
|
P2 Upstream Acquisition Company, Guaranteed Secured 2nd Lien Term Loan
|
9.00%
|
#
|
04/30/2021
|
2,978,938
|
|||
|
2,910,000
|
Packaging Coordinators, Inc., Secured 2nd Lien Term Loan
|
9.00%
|
#
|
08/01/2022
|
2,837,250
|
|||
|
2,129,663
|
Packaging Coordinators, Inc., Senior Secured 1st Lien Term Loan, Tranche B
|
5.25%
|
#
|
07/30/2021
|
2,065,773
|
|||
|
7,870,101
|
Performance Food Group, Inc., Guaranteed Senior Secured 2nd Lien Term Loan
|
6.25%
|
#
|
11/14/2019
|
7,742,211
|
|||
|
5,654,438
|
PGX Holdings, Inc., Senior Secured 1st Lien Term Loan
|
6.25%
|
#
|
09/29/2020
|
5,675,642
|
|||
|
6,000,000
|
PharMEDium Healthcare Corporation, Secured 2nd Lien Term Loan
|
7.75%
|
#
|
01/28/2022
|
5,951,250
|
|||
|
5,292,214
|
Polyconcept Finance BV, Senior Secured 1st Lien Term Loan, Tranche A1
|
6.00%
|
#
|
06/28/2019
|
5,272,368
|
|||
|
4,500,000
|
Rack Merger Sub, Inc., Guaranteed Secured 2nd Lien Term Loan, Tranche B
|
8.25%
|
#
|
09/30/2022
|
4,496,265
|
|||
|
1,396,500
|
Rack Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
4.75%
|
#
|
10/01/2021
|
1,391,270
|
|||
|
5,924,051
|
RCS Capital Corporation, Guaranteed Senior Secured 2nd Lien Term Loan
|
6.50%
|
#
|
04/29/2019
|
5,573,554
|
|||
|
5,800,000
|
Royal Adhesives & Sealants LLC, Secured 2nd Lien Term Loan
|
9.75%
|
#
|
01/31/2019
|
5,848,343
|
|||
|
8,000,000
|
Scientific Games International, Inc., Senior Secured 1st Lien Term Loan, Tranche B2
|
6.00%
|
#
|
10/01/2021
|
7,905,000
|
|||
|
7,580,000
|
Sedgwick, Inc., Guaranteed Senior Secured 2nd Lien Term Loan
|
6.75%
|
#
|
02/28/2022
|
7,182,050
|
|||
|
3,850,000
|
Solenis International LP, Guaranteed Secured 2nd Lien Term Loan
|
7.75%
|
#
|
07/29/2022
|
3,747,975
|
|||
|
2,842,875
|
Solenis International LP, Guaranteed Senior Secured 1st Lien Term Loan
|
4.25%
|
#
|
07/31/2021
|
2,778,910
|
|||
|
4,800,000
|
SourceHOV LLC, Senior Secured 1st Lien Term Loan, Tranche B
|
7.75%
|
#
|
10/31/2019
|
4,680,000
|
|||
|
2,910,000
|
Surgery Center Holdings, Inc. Secured 2nd Lien Term Loan
|
8.50%
|
#
|
11/03/2021
|
2,819,063
|
|||
|
2,050,000
|
Surgery Center Holdings, Inc., Senior Secured 1st Lien Term Loan
|
5.25%
|
#
|
11/03/2020
|
2,001,313
|
|||
|
7,534,196
|
TCH-2 Holdings LLC, Senior Secured 1st Lien Term Loan
|
5.50%
|
#
|
05/12/2021
|
7,449,436
|
|||
|
4,750,000
|
TPF II Power LLC, Senior Secured 1st Lien Term Loan, Tranche B
|
5.50%
|
#
|
10/01/2021
|
4,764,844
|
|||
|
2,860,000
|
Transtar Holding Company, Senior Secured 1st Lien Term Loan
|
5.75%
|
#
|
10/09/2018
|
2,842,125
|
|||
|
2,910,496
|
Transtar Holding Company, Secured 2nd Lien Term Loan
|
10.00%
|
#
|
10/09/2019
|
2,874,115
|
|||
|
6,790,000
|
Travelport Finance Luxembourg S.A.R.L., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
6.00%
|
#
|
09/02/2021
|
6,790,000
|
|||
|
4,850,000
|
TWCC Holding Corporation, Secured 2nd Lien Term Loan
|
7.00%
|
#
|
06/26/2020
|
4,664,100
|
|||
|
6,190,000
|
U.S. Renal Care, Inc., Guaranteed Secured 2nd Lien Term Loan, Tranche B1
|
8.50%
|
#
|
01/03/2020
|
6,162,919
|
|||
|
2,910,000
|
Wand Intermediate LP, Senior Secured 1st Lien Term Loan
|
4.75%
|
#
|
09/17/2021
|
2,889,994
|
|||
|
2,910,000
|
Wand Intermediate LP, Senior Secured 2nd Lien Term Loan
|
8.25%
|
#
|
09/19/2022
|
2,917,275
|
|||
|
6,000,000
|
WNA Holdings, Inc., Secured 2nd Lien Term Loan
|
8.50%
|
#
|
12/07/2020
|
5,850,000
|
|||
|
Total Bank Loans (Cost $316,154,175)
|
312,226,805
|
|||||||
|
Collateralized Loan Obligations - 8.2%
|
||||||||
|
2,000,000
|
Adams Mill Ltd., Series 2014-1A-D2
|
4.45%
|
# ^
|
07/15/2026
|
1,965,102
|
|||
|
6,000,000
|
Adams Mill Ltd., Series 2014-1A-E2
|
6.45%
|
# ^
|
07/15/2026
|
5,791,691
|
|||
|
2,750,000
|
Apidos Ltd., Series 2012-11A-D
|
4.48%
|
#^
|
01/17/2023
|
2,732,172
|
|||
|
3,000,000
|
Apidos Ltd., Series 2012-9A-D
|
5.23%
|
#^
|
07/15/2023
|
3,006,851
|
|||
|
1,000,000
|
Apidos Ltd., Series 2014-18A-E
|
6.23%
|
#^
|
07/22/2026
|
876,649
|
|||
|
3,602,857
|
ARES Ltd., Series 2007-12A-E
|
5.98%
|
#^
|
11/25/2020
|
3,620,552
|
|||
|
3,500,000
|
ARES Ltd., Series 2012-3A-E
|
5.98%
|
#^
|
01/17/2024
|
3,300,540
|
|||
|
1,650,000
|
ARES Ltd., Series 2014-1A-D
|
5.03%
|
#^
|
04/17/2026
|
1,451,105
|
|||
|
3,000,000
|
Avalon Capital Ltd., Series 2012-1AR-ER
|
5.83%
|
#^
|
04/17/2023
|
2,941,560
|
|||
|
500,000
|
Birchwood Park Ltd., Series 2014-1A-E2
|
6.63%
|
#^
|
07/15/2026
|
489,759
|
|||
|
740,000
|
BlueMountain Ltd., Series 2012-1A-E
|
5.73%
|
#^
|
07/20/2023
|
713,125
|
|||
|
2,250,000
|
BlueMountain Ltd., Series 2012-2A-D
|
4.33%
|
#^
|
11/20/2024
|
2,223,349
|
|||
|
7,000,000
|
BlueMountain Ltd., Series 2012-2A-E
|
5.33%
|
#^
|
11/20/2024
|
6,446,560
|
|||
|
4,500,000
|
Brookside Mill Ltd., Series 2013-1A-D
|
3.28%
|
#^
|
04/17/2025
|
4,128,471
|
|||
|
6,500,000
|
Canyon Capital Ltd., Series 2012-1A-D
|
4.53%
|
#^
|
01/15/2024
|
6,336,317
|
|||
|
3,000,000
|
Carlyle Global Market Strategies Ltd., Series 2012-1A-D
|
4.38%
|
#^
|
04/20/2022
|
2,999,463
|
|||
|
3,000,000
|
Carlyle Global Market Strategies Ltd., Series 2014-3A-C2
|
4.42%
|
#^
|
07/27/2026
|
2,965,799
|
|||
|
4,500,000
|
Carlyle Global Market Strategies Ltd., Series 2014-3A-D2
|
6.47%
|
#^
|
07/27/2026
|
4,369,582
|
|||
|
3,000,000
|
Cent Ltd., Series 2013-17A-D
|
6.23%
|
#^
|
01/30/2025
|
2,869,843
|
|||
|
3,450,000
|
Cent Ltd., Series 2013-18A-D
|
3.68%
|
#^
|
07/23/2025
|
3,236,829
|
|||
|
8,500,000
|
Cent Ltd., Series 2013-18A-E
|
4.83%
|
#^
|
07/23/2025
|
7,435,648
|
|||
|
6,250,000
|
Central Park Ltd., Series 2011-1A-F
|
5.53%
|
#^
|
07/23/2022
|
5,895,196
|
|||
|
9,750,000
|
Dryden Senior Loan Fund, Series 2012-24A-F
|
6.73%
|
#^
|
11/15/2023
|
9,077,035
|
|||
|
1,500,000
|
Dryden Senior Loan Fund, Series 2012-25A-E
|
5.73%
|
#^
|
01/15/2025
|
1,418,070
|
|||
|
2,000,000
|
Flatiron Ltd., Series 2012-1X-D
|
5.73%
|
#
|
10/25/2024
|
1,893,622
|
|||
|
1,985,000
|
Galaxy Ltd., Series 2012-14A-D
|
4.63%
|
#^
|
11/15/2024
|
1,978,715
|
|||
|
2,750,000
|
Galaxy Ltd., Series 2012-14X-E
|
5.63%
|
#
|
11/15/2024
|
2,588,494
|
|||
|
3,000,000
|
Galaxy Ltd., Series 2014-18A-D2
|
4.48%
|
#^
|
10/15/2026
|
2,981,524
|
|||
|
5,000,000
|
Galaxy Ltd., Series 2014-18A-E2
|
6.48%
|
#^
|
10/15/2026
|
4,862,032
|
|||
|
2,000,000
|
Halcyon Loan Advisors Funding Ltd., Series 2012-1A-D
|
5.73%
|
#^
|
08/15/2023
|
1,885,399
|
|||
|
1,000,000
|
Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C
|
3.73%
|
#^
|
04/28/2025
|
921,591
|
|||
|
1,000,000
|
Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D
|
5.23%
|
#^
|
04/28/2025
|
889,219
|
|||
|
1,000,000
|
Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E
|
5.98%
|
#^
|
04/28/2025
|
848,502
|
|||
|
3,500,000
|
LCM LP, Series 14A-E
|
4.88%
|
#^
|
07/15/2025
|
3,087,130
|
|||
|
3,500,000
|
LCM LP, Series 14A-F
|
5.38%
|
#^
|
07/15/2025
|
2,926,046
|
|||
|
2,500,000
|
Madison Park Funding Ltd., Series 2014-13X E
|
5.23%
|
#
|
01/19/2025
|
2,255,585
|
|||
|
7,000,000
|
Magnetite Ltd., Series 2012-6A-E
|
5.99%
|
#^
|
09/15/2023
|
6,684,871
|
|||
|
9,500,000
|
Magnetite Ltd., Series 2012-7A-D
|
5.48%
|
#^
|
01/15/2025
|
8,806,101
|
|||
|
9,500,000
|
Marea Ltd., Series 2012-1A-E
|
6.33%
|
#^
|
10/16/2023
|
9,245,314
|
|||
|
5,250,000
|
North End Ltd., Series 2013-1A-D
|
3.73%
|
#^
|
07/17/2025
|
4,937,742
|
|||
|
2,000,000
|
Octagon Investment Partners Ltd., Series 2013-1A-D
|
3.58%
|
#^
|
07/17/2025
|
1,876,777
|
|||
|
9,500,000
|
Octagon Investment Partners Ltd., Series 2013-1A-E
|
4.73%
|
#^
|
07/17/2025
|
8,272,806
|
|||
|
2,000,000
|
Octagon Investment Partners Ltd., Series 2014-1A-D
|
6.83%
|
#^
|
11/14/2026
|
1,970,712
|
|||
|
1,000,000
|
Venture Ltd., Series 2012-10A-D
|
4.43%
|
#^
|
07/20/2022
|
978,464
|
|||
|
3,000,000
|
Venture Ltd., Series 2012-12A-E
|
5.54%
|
#^
|
02/28/2024
|
2,756,552
|
|||
|
4,000,000
|
Venture Ltd., Series 2013-14A-D
|
3.99%
|
#^
|
08/28/2025
|
3,822,655
|
|||
|
7,000,000
|
WhiteHorse Ltd., Series 2012-1A-B1L
|
4.48%
|
#^
|
02/03/2025
|
6,857,701
|
|||
|
1,250,000
|
WhiteHorse Ltd., Series 2012-1A-B2L
|
5.48%
|
#^
|
02/03/2025
|
1,138,888
|
|||
|
1,600,000
|
WhiteHorse Ltd., Series 2012-1A-B3L
|
6.73%
|
#^
|
02/03/2025
|
1,443,288
|
|||
|
3,250,000
|
WhiteHorse Ltd., Series 2013-1A-B1L
|
3.86%
|
#^
|
11/24/2025
|
3,077,307
|
|||
|
2,500,000
|
Wind River Ltd., Series 2013-2A-D
|
3.83%
|
#^
|
01/18/2026
|
2,344,472
|
|||
|
2,500,000
|
Wind River Ltd., Series 2013-2A-E
|
4.98%
|
#^
|
01/18/2026
|
2,182,148
|
|||
|
Total Collateralized Loan Obligations (Cost $185,836,596)
|
179,804,925
|
|||||||
|
Foreign Corporate Bonds - 60.7%
|
||||||||
|
23,400,000
|
Aeropuertos Dominicanos
|
9.75%
|
#
|
11/13/2019
|
22,698,000
|
|||
|
21,080,000
|
AES Andres Dominicana Ltd.
|
9.50%
|
11/12/2020
|
22,850,720
|
||||
|
8,000,000
|
AES El Salvador Trust
|
6.75%
|
^
|
03/28/2023
|
7,568,000
|
|||
|
16,285,000
|
AES El Salvador Trust
|
6.75%
|
03/28/2023
|
15,405,610
|
||||
|
6,950,000
|
Agromercantil Senior Trust
|
6.25%
|
^
|
04/10/2019
|
7,071,625
|
|||
|
17,349,000
|
Ajecorp B.V.
|
6.50%
|
05/14/2022
|
14,703,277
|
||||
|
3,529,412
|
Ardagh Packaging Finance
|
7.00%
|
^
|
11/15/2020
|
3,582,353
|
|||
|
1,000,000
|
Ardagh Packaging Finance
|
6.00%
|
^
|
06/30/2021
|
957,500
|
|||
|
6,000,000
|
Automotores Gildemeister S.A.
|
8.25%
|
05/24/2021
|
2,760,000
|
||||
|
27,000,000
|
Avianca Holdings S.A.
|
8.38%
|
^
|
05/10/2020
|
27,945,000
|
|||
|
12,265,000
|
Banco de Reservas de la Republica Dominicana
|
7.00%
|
^
|
02/01/2023
|
12,224,035
|
|||
|
15,700,000
|
Banco de Reservas de la Republica Dominicana
|
7.00%
|
02/01/2023
|
15,647,562
|
||||
|
40,000,000
|
Banco do Brasil S.A.
|
9.25%
|
#†
|
04/15/2023
|
38,500,000
|
|||
|
6,350,000
|
Banco do Brasil S.A.
|
9.00%
|
#^†
|
06/18/2024
|
5,937,250
|
|||
|
5,000,000
|
Banco GNB Sudameris S.A.
|
7.50%
|
07/30/2022
|
5,300,000
|
||||
|
9,500,000
|
Banco Nacional de Costa Rica
|
6.25%
|
11/01/2023
|
9,493,350
|
||||
|
3,460,000
|
Banco Regional SAECA
|
8.13%
|
01/24/2019
|
3,703,930
|
||||
|
2,350,000
|
Banco Regional SAECA
|
8.13%
|
^
|
01/24/2019
|
2,515,675
|
|||
|
10,000,000
|
Bantrab Senior Trust
|
9.00%
|
^
|
11/14/2020
|
10,581,500
|
|||
|
22,700,000
|
BR Malls International Finance Ltd.
|
8.50%
|
†
|
01/21/2016
|
23,182,375
|
|||
|
8,700,000
|
Braskem Finance Ltd.
|
7.38%
|
†
|
10/04/2015
|
8,439,000
|
|||
|
5,231,000
|
C10 Capital Ltd.
|
6.72%
|
#†
|
12/31/2016
|
5,204,845
|
|||
|
7,320,000
|
C5 Capital Ltd.
|
4.53%
|
#†
|
12/29/2049
|
6,401,340
|
|||
|
9,400,000
|
Camposol S.A.
|
9.88%
|
^
|
02/02/2017
|
9,724,300
|
|||
|
20,000,000
|
Cementos Progreso Trust
|
7.13%
|
^
|
11/06/2023
|
21,690,000
|
|||
|
2,800,000
|
Cementos Progreso Trust
|
7.13%
|
11/06/2023
|
3,036,600
|
||||
|
8,500,000
|
Cemex Finance LLC
|
9.38%
|
10/12/2022
|
9,520,000
|
||||
|
3,600,000
|
Cemex Finance LLC
|
6.00%
|
04/01/2024
|
3,519,000
|
||||
|
7,462,000
|
Central American Bottling Corporation
|
6.75%
|
^
|
02/09/2022
|
7,928,375
|
|||
|
12,300,000
|
Columbus International, Inc.
|
7.38%
|
^
|
03/30/2021
|
12,838,125
|
|||
|
9,700,000
|
Columbus International, Inc.
|
7.38%
|
03/30/2021
|
10,124,375
|
||||
|
20,864,000
|
Compania Minera Ares S.A.C.
|
7.75%
|
01/23/2021
|
20,811,840
|
||||
|
25,350,000
|
CorpGroup Banking S.A.
|
6.75%
|
03/15/2023
|
25,110,138
|
||||
|
15,937,000
|
Corporacion Azucarera del Peru S.A.
|
6.38%
|
08/02/2022
|
14,104,245
|
||||
|
1,586,941
|
Corporacion Durango S.A.B. de C.V.
|
10.00%
|
#
|
08/27/2016
|
1,588,528
|
|||
|
17,995,000
|
Corporacion Pesquera Inca S.A.C.
|
9.00%
|
02/10/2017
|
17,995,000
|
||||
|
5,500,000
|
Cosan Overseas Ltd.
|
8.25%
|
†
|
11/05/2015
|
5,582,500
|
|||
|
13,300,000
|
Credito Real S.A.B. de C.V.
|
7.50%
|
03/13/2019
|
13,499,500
|
||||
|
15,000,000
|
Credito Real S.A.B. de C.V.
|
7.50%
|
^
|
03/13/2019
|
15,225,000
|
|||
|
38,600,000
|
Digicel Ltd.
|
8.25%
|
09/30/2020
|
37,635,000
|
||||
|
5,000,000
|
Digicel Ltd.
|
7.13%
|
^
|
04/01/2022
|
4,662,500
|
|||
|
5,000,000
|
Digicel Ltd.
|
7.13%
|
04/01/2022
|
4,662,500
|
||||
|
4,800,000
|
Ecopetrol S.A.
|
7.38%
|
09/18/2043
|
5,196,000
|
||||
|
8,900,000
|
Ecopetrol S.A.
|
5.88%
|
05/28/2045
|
8,277,000
|
||||
|
7,000,000
|
Essar Steel Algoma, Inc.
|
9.50%
|
^
|
11/15/2019
|
7,078,750
|
|||
|
14,000,000
|
Eurasia Capital S.A.
|
9.38%
|
#
|
04/24/2020
|
9,800,000
|
|||
|
24,298,000
|
Evraz Group S.A.
|
9.50%
|
04/24/2018
|
22,050,435
|
||||
|
4,000,000
|
Evraz Group S.A.
|
6.50%
|
04/22/2020
|
3,083,120
|
||||
|
10,000,000
|
Evraz, Inc. N.A.
|
7.50%
|
^
|
11/15/2019
|
9,700,000
|
|||
|
15,782,000
|
Far East Capital Ltd. S.A.
|
8.75%
|
^
|
05/02/2020
|
6,707,350
|
|||
|
5,000,000
|
Far East Capital Ltd. S.A.
|
8.75%
|
05/02/2020
|
2,125,000
|
||||
|
15,000,000
|
Fermaca Enterprises S. de R.L. de C.V.
|
6.38%
|
^
|
03/30/2038
|
15,337,500
|
|||
|
2,200,000
|
Fermaca Enterprises S. de R.L. de C.V.
|
6.38%
|
03/30/2038
|
2,249,500
|
||||
|
7,800,000
|
Financiera Independencia S.A.B. de .C.V.
|
7.50%
|
^
|
06/03/2019
|
7,702,500
|
|||
|
32,498,000
|
Gazprombank OJSC
|
7.88%
|
#†
|
04/25/2018
|
23,076,830
|
|||
|
1,500,000
|
Gazprombank OJSC
|
7.50%
|
#
|
12/28/2023
|
1,080,645
|
|||
|
5,500,000
|
GeoPark Latin America Ltd.
|
7.50%
|
02/11/2020
|
4,867,500
|
||||
|
1,400,000
|
Gol Finance
|
8.75%
|
†
|
07/05/2049
|
1,093,400
|
|||
|
13,000,000
|
Gol LuxCo S.A.
|
8.88%
|
^
|
01/24/2022
|
12,252,500
|
|||
|
19,450,000
|
Grupo Cementos de Chihuahua S.A.B de C.V.
|
8.13%
|
02/08/2020
|
20,617,000
|
||||
|
29,700,000
|
Grupo Elektra S.A.B. de C.V.
|
7.25%
|
08/06/2018
|
30,294,000
|
||||
|
10,000,000
|
Grupo Famsa S.A.B. de C.V.
|
7.25%
|
^
|
06/01/2020
|
9,250,000
|
|||
|
14,700,000
|
Grupo Idesa S.A. de C.V.
|
7.88%
|
^
|
12/18/2020
|
15,067,500
|
|||
|
3,300,000
|
Grupo Idesa S.A. de C.V.
|
7.88%
|
12/18/2020
|
3,382,500
|
||||
|
9,000,000
|
Grupo KUO S.A.B. de C.V.
|
6.25%
|
12/04/2022
|
8,883,000
|
||||
|
14,150,000
|
Grupo Papelero Scribe, S.A.
|
8.88%
|
04/07/2020
|
13,824,550
|
||||
|
21,000,000
|
Grupo Posadas S.A.B de C.V
|
7.88%
|
11/30/2017
|
20,055,000
|
||||
|
14,500,000
|
GTL Trade Finance, Inc.
|
7.25%
|
04/16/2044
|
13,883,750
|
||||
|
15,000,000
|
Imperial Metals Corporation
|
7.00%
|
^
|
03/15/2019
|
13,875,000
|
|||
|
12,100,000
|
Industrial Senior Trust
|
5.50%
|
11/01/2022
|
11,918,500
|
||||
|
1,000,000
|
InRetail Shopping Malls
|
6.50%
|
^
|
07/09/2021
|
1,045,000
|
|||
|
2,460,000
|
InRetail Shopping Malls
|
6.50%
|
07/09/2021
|
2,570,700
|
||||
|
15,000,000
|
Instituto Costarricense de Electricidad
|
6.38%
|
^
|
05/15/2043
|
12,562,500
|
|||
|
13,050,000
|
Intelsat S.A.
|
7.75%
|
06/01/2021
|
13,131,562
|
||||
|
25,000,000
|
JBS Investments GmbH
|
7.25%
|
^
|
04/03/2024
|
24,625,000
|
|||
|
10,400,000
|
LBC Tank Terminals Holding B.V.
|
6.88%
|
^
|
05/15/2023
|
10,504,000
|
|||
|
5,000,000
|
Lundin Mining Corporation
|
7.50%
|
^
|
11/01/2020
|
4,962,500
|
|||
|
23,000,000
|
Magnesita Finance Ltd.
|
8.63%
|
†
|
04/05/2017
|
22,195,000
|
|||
|
24,000,000
|
Marfrig Holdings B.V.
|
8.38%
|
05/09/2018
|
23,760,000
|
||||
|
3,189,000
|
Mexico Generadora de Energia
|
5.50%
|
12/06/2032
|
3,133,192
|
||||
|
2,000,000
|
Millicom International Cellular S.A.
|
6.63%
|
10/15/2021
|
2,090,000
|
||||
|
3,050,000
|
Millicom International Cellular S.A.
|
6.63%
|
^
|
10/15/2021
|
3,187,250
|
|||
|
13,168,000
|
Minerva Luxembourg S.A.
|
8.75%
|
#†
|
04/03/2019
|
12,707,120
|
|||
|
17,500,000
|
Minerva Luxembourg S.A.
|
8.75%
|
#^†
|
04/03/2019
|
16,887,500
|
|||
|
990,000
|
Minerva Luxembourg S.A.
|
12.25%
|
02/10/2022
|
1,144,440
|
||||
|
14,970,000
|
Minerva Luxembourg S.A.
|
7.75%
|
01/31/2023
|
14,708,025
|
||||
|
15,000,000
|
Nitrogenmuvek Zrt
|
7.88%
|
^
|
05/21/2020
|
14,981,250
|
|||
|
25,000,000
|
Nomos Bank
|
10.00%
|
04/26/2019
|
17,485,000
|
||||
|
29,000,000
|
OAS Financial Ltd.
|
8.88%
|
#^†ʊ
|
04/25/2018
|
9,280,000
|
|||
|
4,784,000
|
OAS Financial Ltd.
|
8.88%
|
#†ʊ
|
04/25/2018
|
1,530,880
|
|||
|
22,000,000
|
Odebrecht Finance Ltd.
|
7.13%
|
06/26/2042
|
18,535,000
|
||||
|
1,500,000
|
Pacific Rubiales Energy Corporation
|
7.25%
|
^
|
12/12/2021
|
1,312,500
|
|||
|
10,500,000
|
Pacific Rubiales Energy Corporation
|
7.25%
|
12/12/2021
|
9,187,500
|
||||
|
14,200,000
|
Pacific Rubiales Energy Corporation
|
5.13%
|
03/28/2023
|
11,253,500
|
||||
|
1,900,000
|
Pacific Rubiales Energy Corporation
|
5.63%
|
01/19/2025
|
1,463,000
|
||||
|
19,800,000
|
Pacific Rubiales Energy Corporation
|
5.63%
|
^
|
01/19/2025
|
15,246,000
|
|||
|
15,000,000
|
Pesquera Exalmar S.A.A.
|
7.38%
|
01/31/2020
|
12,075,000
|
||||
|
5,000,000
|
Petrobras International Finance Company S.A.
|
6.75%
|
01/27/2041
|
4,572,850
|
||||
|
550,000
|
Rio Oil Finance Trust
|
6.25%
|
07/06/2024
|
526,670
|
||||
|
20,000,000
|
RSHB Capital S.A.
|
8.50%
|
^
|
10/16/2023
|
13,600,000
|
|||
|
4,000,000
|
RSHB Capital S.A.
|
8.50%
|
10/16/2023
|
2,740,000
|
||||
|
11,800,000
|
Seven Generations Energy Ltd.
|
8.25%
|
^
|
05/15/2020
|
11,387,000
|
|||
|
12,000,000
|
Sixsigma Networks Mexico S.A. de C.V.
|
8.25%
|
^
|
11/07/2021
|
12,204,000
|
|||
|
6,000,000
|
Southern Copper Corporation
|
7.50%
|
07/27/2035
|
6,809,952
|
||||
|
14,950,000
|
Southern Copper Corporation
|
6.75%
|
04/16/2040
|
15,832,050
|
||||
|
6,000,000
|
Teine Energy Ltd.
|
6.88%
|
^
|
09/30/2022
|
4,680,000
|
|||
|
9,600,000
|
Telefonica Celular del Paraguay S.A.
|
6.75%
|
12/13/2022
|
10,008,000
|
||||
|
21,000,000
|
TV Azteca S.A.B. de C.V.
|
7.63%
|
09/18/2020
|
22,050,000
|
||||
|
12,000,000
|
Unifin Financiera S.A.P.I. de C.V.
|
6.25%
|
^
|
07/22/2019
|
10,950,000
|
|||
|
3,995,000
|
Unifin Financiera S.A.P.I. de C.V.
|
6.25%
|
07/22/2019
|
3,645,438
|
||||
|
26,000,000
|
Vedanta Resources PLC
|
8.25%
|
06/07/2021
|
25,853,750
|
||||
|
16,600,000
|
Vedanta Resources PLC
|
7.13%
|
^
|
05/31/2023
|
15,355,830
|
|||
|
12,000,000
|
VimpelCom Holdings B.V.
|
7.50%
|
03/01/2022
|
9,900,000
|
||||
|
21,500,000
|
VimpelCom Holdings B.V.
|
5.95%
|
02/13/2023
|
16,544,250
|
||||
|
40,700,000
|
VTB Capital S.A.
|
9.50%
|
#†
|
12/06/2022
|
27,879,500
|
|||
|
19,200,000
|
VTR Finance B.V.
|
6.88%
|
01/15/2024
|
19,632,000
|
||||
|
Total Foreign Corporate Bonds (Cost $1,489,543,530)
|
1,330,394,012
|
|||||||
|
Non-Agency Commercial Mortgage Backed Obligations - 10.4%
|
||||||||
|
4,500,000
|
Banc of America Commercial Mortgage Trust, Series 2007-4-AJ
|
5.82%
|
#
|
02/10/2051
|
4,680,223
|
|||
|
14,948,000
|
Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ
|
5.57%
|
#
|
01/12/2045
|
15,244,987
|
|||
|
11,261,320
|
COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX
|
5.57%
|
#
|
04/15/2047
|
11,500,910
|
|||
|
6,397,000
|
Commercial Mortgage Pass-Through Certificates, Series 2014-CR21-C
|
4.42%
|
#
|
12/10/2047
|
6,445,972
|
|||
|
8,850,000
|
Commercial Mortgage Pass-Through Certificates, Series 2014-KYO-F
|
3.66%
|
#^
|
06/11/2027
|
8,829,800
|
|||
|
3,438,112
|
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-E
|
3.75%
|
^
|
08/10/2047
|
2,444,842
|
|||
|
3,929,315
|
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F
|
3.75%
|
^
|
08/10/2047
|
2,455,429
|
|||
|
7,367,549
|
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G
|
3.75%
|
^∞
|
08/10/2047
|
2,110,066
|
|||
|
14,000
|
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V
|
0.00%
|
# ^∞
|
08/10/2047
|
–
|
|||
|
10,020,000
|
Credit Suisse Mortgage Capital Certificates, Series 2006-C3-AJ
|
5.81%
|
#
|
06/15/2038
|
10,167,479
|
|||
|
4,500,000
|
Credit Suisse Mortgage Capital Certificates, Series 2008-C1-AJ
|
5.97%
|
#^
|
02/15/2041
|
4,722,273
|
|||
|
5,400,000
|
GS Mortgage Securities Corporation, Series 2014-GC26-C
|
4.51%
|
#
|
11/10/2047
|
5,565,410
|
|||
|
4,100,000
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2003-C1-F
|
5.66%
|
#^
|
01/12/2037
|
4,123,831
|
|||
|
5,700,083
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2013-JWMZ-M
|
6.16%
|
#^
|
04/15/2018
|
5,730,567
|
|||
|
3,990,000
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-FL6-FMS1
|
3.46%
|
#^
|
11/15/2031
|
4,006,640
|
|||
|
3,649,000
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-FL6-FMS2
|
4.11%
|
#^
|
11/15/2031
|
3,665,444
|
|||
|
14,113,175
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E
|
4.00%
|
#^
|
04/15/2047
|
11,020,978
|
|||
|
7,840,900
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F
|
3.75%
|
#^
|
04/15/2047
|
4,536,745
|
|||
|
25,090,332
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR
|
3.75%
|
#^∞
|
04/15/2047
|
8,001,307
|
|||
|
6,216,000
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C
|
4.43%
|
#
|
01/15/2048
|
6,333,134
|
|||
|
81,667,000
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA
|
1.19%
|
#I/O
|
01/15/2048
|
6,138,663
|
|||
|
4,308,000
|
LB-UBS Commercial Mortgage Trust, Series 2006-C6-C
|
5.48%
|
#
|
09/15/2039
|
4,322,624
|
|||
|
23,490,000
|
LB-UBS Commercial Mortgage Trust, Series 2007-C1-AJ
|
5.48%
|
02/15/2040
|
24,464,659
|
||||
|
14,068,000
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1-B
|
5.57%
|
#
|
02/12/2039
|
13,726,183
|
|||
|
4,250,000
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15-D
|
4.90%
|
#^
|
04/15/2047
|
4,103,677
|
|||
|
8,000,000
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C
|
4.00%
|
12/15/2047
|
7,757,676
|
||||
|
10,000,000
|
Morgan Stanley Capital, Inc., Series 2007-IQ13-AJ
|
5.44%
|
03/15/2044
|
10,178,065
|
||||
|
30,305,000
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AJ
|
5.94%
|
#
|
02/15/2051
|
31,826,978
|
|||
|
3,937,000
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-B
|
5.94%
|
#
|
02/15/2051
|
4,020,860
|
|||
|
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $220,849,342)
|
228,125,422
|
|||||||
|
Non-Agency Residential Collateralized Mortgage Obligations - 13.8%
|
||||||||
|
6,634,721
|
Banc of America Mortgage Securities, Inc., Series 2007-1-1A26
|
6.00%
|
03/25/2037
|
6,282,491
|
||||
|
29,010,261
|
BCAP LLC Trust, Series 2007-AA2-2A2
|
6.00%
|
#
|
04/25/2037
|
24,987,176
|
|||
|
8,197,701
|
BCAP LLC Trust, Series 2012-RR11-4A3
|
8.57%
|
#^
|
03/26/2037
|
6,870,036
|
|||
|
12,090,862
|
BCAP LLC Trust, Series 2012-RR11-9A3
|
10.63%
|
#^
|
07/26/2037
|
10,626,506
|
|||
|
18,872,772
|
CitiMortgage Alternative Loan Trust, Series 2006-A3-1A9
|
6.00%
|
07/25/2036
|
17,080,199
|
||||
|
8,739,756
|
Countrywide Alternative Loan Trust, Series 2005-J14-A8
|
5.50%
|
12/25/2035
|
7,819,678
|
||||
|
5,860,399
|
Countrywide Alternative Loan Trust, Series 2006-J4-2A2
|
6.00%
|
07/25/2036
|
5,121,262
|
||||
|
5,058,789
|
Countrywide Home Loans, Series 2006-17-A2
|
6.00%
|
12/25/2036
|
4,657,217
|
||||
|
7,638,330
|
Countrywide Home Loans, Series 2007-14-A1
|
5.00%
|
09/25/2037
|
7,039,508
|
||||
|
8,158,056
|
Credit Suisse Mortgage Capital Certificates, Series 2006-7-7A7
|
6.00%
|
08/25/2036
|
7,227,140
|
||||
|
7,779,598
|
First Horizon Alternative Mortgage Securities, Series 2006-FA6-2A5
|
6.25%
|
11/25/2036
|
6,378,990
|
||||
|
14,847,775
|
JP Morgan Resecuritization Trust, Series 2009-4-2A2
|
6.00%
|
^
|
07/26/2037
|
13,807,039
|
|||
|
13,997,620
|
Nomura Home Equity Loan, Inc., Series 2007-1-1A3
|
5.99%
|
#
|
02/25/2037
|
8,380,543
|
|||
|
20,095,334
|
PFCA Home Equity Investment Trust, Series 2002-IFC2-A
|
4.17%
|
#^
|
10/22/2033
|
18,404,534
|
|||
|
43,902,818
|
PFCA Home Equity Investment Trust, Series 2003-IFC3-A
|
5.76%
|
#^
|
08/22/2034
|
42,724,827
|
|||
|
47,846,813
|
PFCA Home Equity Investment Trust, Series 2003-IFC4-A
|
4.23%
|
#^
|
10/22/2034
|
45,563,309
|
|||
|
8,693,599
|
Residential Accredit Loans, Inc., Series 2006-QA8-A1
|
0.36%
|
#
|
09/25/2036
|
6,818,573
|
|||
|
17,506,621
|
Securitized Asset Backed Receivables LLC Trust, Series 2006-NC1-A3
|
0.44%
|
#
|
03/25/2036
|
15,266,544
|
|||
|
14,905,268
|
Structured Asset Securities Corporation, Series 2005-15-3A1
|
4.95%
|
#
|
08/25/2035
|
15,274,226
|
|||
|
6,345,500
|
TBW Mortgage-Backed Pass-Through Certificates, Series 2006-1-1A1
|
5.50%
|
04/25/2036
|
5,179,826
|
||||
|
5,172,141
|
Wachovia Mortgage Loan Trust, Series 2007-A-4A1
|
6.06%
|
#
|
03/20/2037
|
4,821,263
|
|||
|
3,173,532
|
Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1
|
6.00%
|
06/25/2037
|
3,037,877
|
||||
|
18,608,241
|
Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A22
|
6.00%
|
07/25/2037
|
18,461,478
|
||||
|
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $308,693,507)
|
301,830,242
|
|||||||
|
US Corporate Bonds - 21.4%
|
||||||||
|
15,000,000
|
Affinia Group, Inc.
|
7.75%
|
05/01/2021
|
15,525,000
|
||||
|
15,000,000
|
Alere, Inc.
|
6.50%
|
06/15/2020
|
15,187,500
|
||||
|
8,000,000
|
American Eagle Energy Corporation
|
11.00%
|
^
|
09/01/2019
|
3,520,000
|
|||
|
13,065,000
|
BMC Software Finance, Inc.
|
8.13%
|
^
|
07/15/2021
|
12,346,425
|
|||
|
2,740,000
|
CDW LLC
|
6.00%
|
08/15/2022
|
2,842,750
|
||||
|
2,920,000
|
CITGO Petroleum Corporation
|
6.25%
|
^
|
08/15/2022
|
2,985,700
|
|||
|
475,000
|
Cloud Peak Energy Resources LLC
|
6.38%
|
03/15/2024
|
444,125
|
||||
|
15,000,000
|
Crimson Merger Sub, Inc.
|
6.63%
|
^
|
05/15/2022
|
13,500,000
|
|||
|
14,242,000
|
CrownRock LP
|
7.13%
|
^
|
04/15/2021
|
13,423,085
|
|||
|
12,840,000
|
Energy Gulf Coast, Inc.
|
7.50%
|
12/15/2021
|
6,997,800
|
||||
|
2,250,000
|
Energy Gulf Coast, Inc.
|
6.88%
|
^
|
03/15/2024
|
1,220,625
|
|||
|
7,000,000
|
Expo Event Transco, Inc.
|
9.00%
|
^
|
06/15/2021
|
7,175,000
|
|||
|
14,987,000
|
Gates Global LLC
|
6.00%
|
^
|
07/15/2022
|
14,427,985
|
|||
|
9,875,000
|
Gray Television, Inc.
|
7.50%
|
10/01/2020
|
10,220,625
|
||||
|
14,960,000
|
HD Supply, Inc.
|
7.50%
|
07/15/2020
|
15,745,400
|
||||
|
6,372,000
|
Hexion Finance Corporation
|
6.63%
|
04/15/2020
|
6,276,420
|
||||
|
15,000,000
|
Hillman Group, Inc.
|
6.38%
|
^
|
07/15/2022
|
14,475,000
|
|||
|
14,500,000
|
Iron Mountain, Inc.
|
5.75%
|
08/15/2024
|
14,663,125
|
||||
|
2,435,000
|
Kindred Escrow Corporation
|
8.00%
|
^
|
01/15/2020
|
2,599,362
|
|||
|
16,075,000
|
Legacy Reserves LP
|
6.63%
|
12/01/2021
|
13,261,875
|
||||
|
15,000,000
|
Memorial Production Partners LP
|
7.63%
|
05/01/2021
|
12,075,000
|
||||
|
3,900,000
|
Multi-Color Corporation
|
6.13%
|
^
|
12/01/2022
|
3,909,750
|
|||
|
9,600,000
|
Navient Corporation
|
5.88%
|
10/25/2024
|
9,168,000
|
||||
|
10,000,000
|
Onex York Acquisition Corporation
|
8.50%
|
^
|
10/01/2022
|
10,037,500
|
|||
|
14,915,000
|
Pantry, Inc.
|
8.38%
|
08/01/2020
|
16,406,500
|
||||
|
6,600,000
|
Plastipak Holdings, Inc.
|
6.50%
|
^
|
10/01/2021
|
6,633,000
|
|||
|
11,000,000
|
Post Holdings, Inc.
|
6.00%
|
^
|
12/15/2022
|
10,353,750
|
|||
|
15,000,000
|
Regal Entertainment Group
|
5.75%
|
02/01/2025
|
13,875,000
|
||||
|
12,000,000
|
Reynolds Group Issuer LLC
|
8.25%
|
02/15/2021
|
12,360,000
|
||||
|
3,000,000
|
RR Donnelley & Sons Company
|
6.50%
|
11/15/2023
|
3,090,000
|
||||
|
2,860,000
|
Sanchez Energy Corporation
|
7.75%
|
06/15/2021
|
2,674,100
|
||||
|
4,530,000
|
Scientific Games International, Inc.
|
7.00%
|
^
|
01/01/2022
|
4,609,275
|
|||
|
15,500,000
|
Select Medical Corporation
|
6.38%
|
06/01/2021
|
15,810,000
|
||||
|
15,231,000
|
Seminole Hard Rock Entertainment, Inc.
|
5.88%
|
^
|
05/15/2021
|
15,154,845
|
|||
|
15,000,000
|
Signode Industrial Group, Inc.
|
6.38%
|
^
|
05/01/2022
|
14,700,000
|
|||
|
7,000,000
|
SLM Corporation
|
7.25%
|
01/25/2022
|
7,612,500
|
||||
|
16,637,000
|
Southern Graphics, Inc.
|
8.38%
|
^
|
10/15/2020
|
16,761,778
|
|||
|
3,400,000
|
Spectrum Brands, Inc.
|
6.13%
|
^
|
12/15/2024
|
3,468,000
|
|||
|
15,850,000
|
SUPERVALU, Inc.
|
6.75%
|
06/01/2021
|
15,651,875
|
||||
|
15,000,000
|
Transdigm, Inc.
|
6.50%
|
07/15/2024
|
15,150,000
|
||||
|
14,935,000
|
Triangle USA Petroleum Corporation
|
6.75%
|
^
|
07/15/2022
|
9,931,775
|
|||
|
11,000,000
|
Ultra Petroleum Corporation
|
6.13%
|
^
|
10/01/2024
|
9,515,000
|
|||
|
10,800,000
|
Viking Cruises Ltd.
|
8.50%
|
^
|
10/15/2022
|
11,745,000
|
|||
|
15,000,000
|
WCI Communities, Inc.
|
6.88%
|
08/15/2021
|
15,112,500
|
||||
|
9,325,000
|
WMG Acquisition Corporation
|
6.75%
|
^
|
04/15/2022
|
8,532,375
|
|||
|
17,750,000
|
Woodside Homes Company LLC
|
6.75%
|
^
|
12/15/2021
|
17,750,000
|
|||
|
Total US Corporate Bonds (Cost $499,223,272)
|
468,925,325
|
|||||||
|
US Government / Agency Mortgage Backed Obligations - 11.1%
|
||||||||
|
22,977,234
|
Federal Home Loan Mortgage Corporation, Series 3631-SJ
|
6.08%
|
#I/F I/O
|
02/15/2040
|
3,825,813
|
|||
|
39,388,476
|
Federal Home Loan Mortgage Corporation, Series 3770-SP
|
6.34%
|
#I/F I/O
|
11/15/2040
|
5,293,437
|
|||
|
58,511,718
|
Federal Home Loan Mortgage Corporation, Series 3980-SX
|
6.34%
|
#I/F I/O
|
01/15/2042
|
11,279,959
|
|||
|
11,418,271
|
Federal Home Loan Mortgage Corporation, Series 4203-US
|
5.76%
|
#I/F
|
05/15/2033
|
10,520,488
|
|||
|
19,277,366
|
Federal Home Loan Mortgage Corporation, Series 4212-NS
|
5.21%
|
#I/F
|
06/15/2043
|
18,023,787
|
|||
|
10,260,241
|
Federal Home Loan Mortgage Corporation, Series 4236-SC
|
11.58%
|
#I/F
|
08/15/2043
|
11,082,770
|
|||
|
11,258,778
|
Federal National Mortgage Association, Series 2006-83-SH
|
6.39%
|
#I/F I/O
|
09/25/2036
|
1,915,972
|
|||
|
20,175,046
|
Federal National Mortgage Association, Series 2007-22-S
|
6.58%
|
#I/F I/O
|
03/25/2037
|
2,969,212
|
|||
|
45,667,698
|
Federal National Mortgage Association, Series 2010-123-SK
|
5.88%
|
#I/F I/O
|
11/25/2040
|
8,460,375
|
|||
|
4,744,677
|
Federal National Mortgage Association, Series 2012-140-SC
|
7.58%
|
#I/F
|
12/25/2042
|
4,853,211
|
|||
|
58,177,582
|
Federal National Mortgage Association, Series 2012-52-PS
|
6.41%
|
#I/F I/O
|
05/25/2042
|
11,092,469
|
|||
|
13,560,414
|
Federal National Mortgage Association, Series 2013-111-US
|
11.28%
|
#I/F
|
11/25/2043
|
14,199,241
|
|||
|
26,211,872
|
Federal National Mortgage Association, Series 2013-55-US
|
5.75%
|
#I/F
|
06/25/2043
|
23,031,467
|
|||
|
56,765,851
|
Federal National Mortgage Association, Series 2013-58-KS
|
5.67%
|
#I/F
|
06/25/2043
|
49,415,468
|
|||
|
28,276,960
|
Federal National Mortgage Association, Series 2013-58-SC
|
5.75%
|
#I/F
|
06/25/2043
|
24,601,097
|
|||
|
41,482,938
|
Federal National Mortgage Association, Series 2013-64-SH
|
5.75%
|
#I/F
|
06/25/2043
|
37,864,942
|
|||
|
5,215,257
|
Federal National Mortgage Association, Series 2013-82-SB
|
11.32%
|
#I/F
|
08/25/2043
|
5,739,520
|
|||
|
Total US Government / Agency Mortgage Backed Obligations (Cost $254,205,843)
|
244,169,228
|
|||||||
|
Short Term Investments - 5.7%
|
||||||||
|
41,587,715
|
BlackRock Institutional Liquidity Funds FedFund Portfolio
|
0.02%
|
♦
|
41,587,715
|
||||
|
41,587,715
|
Fidelity Institutional Government Portfolio
|
0.01%
|
♦
|
41,587,715
|
||||
|
41,587,714
|
Morgan Stanley Institutional Liquidity Fund Government Portfolio
|
0.04%
|
♦
|
41,587,714
|
||||
|
Total Short Term Investments (Cost $124,763,144)
|
124,763,144
|
|||||||
|
Total Investments - 145.6% (Cost $3,399,269,409)‡
|
3,190,239,103
|
|||||||
|
Liabilities in Excess of Other Assets - (45.6)%
|
(998,897,881)
|
|||||||
|
NET ASSETS - 100.0%
|
$ 2,191,341,222
|
|||||||
|
#
|
Variable rate security. Rate disclosed as of December 31, 2014.
|
| & |
Unfunded or partially unfunded loan commitment
|
| ^ |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by DoubleLine Capital LP (the "Adviser"), unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At December 31, 2014, the value of these securities amounted to $1,035,782,972 or 47.3% of net assets.
|
| † |
Perpetual Maturity
|
| ʊ |
Issuer is in default of interest payments
|
| ∞ |
Illiquid security. At December 31, 2014, the value of these securities amounted to $10,111,373 or 0.5% of net assets.
|
| I/O |
Interest only security
|
| I/F |
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates
|
| ♦ |
Seven-day yield as of December 31, 2014
|
| ~ |
Represents less than 0.05% of net assets
|
| ‡ |
All securities have been segregated for the benefit of the counterparty as collateral for line of credit.
|
|
The cost basis of investments for federal income tax purposes at December 31, 2014 was as follows+:
|
|||||
|
Tax Cost of Investments
|
$ | 3,399,269,572 | |||
|
Gross Tax Unrealized Appreciation
|
31,336,355 | ||||
|
Gross Tax Unrealized Depreciation
|
(240,366,824 | ) | |||
|
Net Tax Unrealized Appreciation (Depreciation)
|
$ | (209,030,469 | ) | ||
| + |
Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.
|
||||
|
SECURITY TYPE BREAKDOWN as a % of Net Assets:
|
||
|
Foreign Corporate Bonds
|
60.7%
|
|
|
US Corporate Bonds
|
21.4%
|
|
|
Bank Loans
|
14.3%
|
|
|
Non-Agency Residential Collateralized Mortgage Obligations
|
13.8%
|
|
|
US Government / Agency Mortgage Backed Obligations
|
11.1%
|
|
|
Non-Agency Commercial Mortgage Backed Obligations
|
10.4%
|
|
|
Collateralized Loan Obligations
|
8.2%
|
|
|
Short Term Investments
|
5.7%
|
|
|
Other Assets and Liabilities
|
(45.6)%
|
|
|
100.0%
|
|
COUNTRY BREAKDOWN as a % of Net Assets:
|
||
|
United States
|
82.7%
|
|
|
Brazil
|
12.1%
|
|
|
Mexico
|
11.6%
|
|
|
Russia
|
7.2%
|
|
|
Peru
|
5.2%
|
|
|
Colombia
|
4.1%
|
|
|
Dominican Republic
|
3.3%
|
|
|
Canada
|
3.0%
|
|
|
Guatemala
|
2.8%
|
|
|
Chile
|
2.3%
|
|
|
Jamaica
|
2.1%
|
|
|
India
|
1.9%
|
|
|
Luxembourg
|
1.1%
|
|
|
Barbados
|
1.1%
|
|
|
El Salvador
|
1.0%
|
|
|
Costa Rica
|
1.0%
|
|
|
Paraguay
|
0.8%
|
|
|
Hungary
|
0.7%
|
|
|
Netherlands
|
0.6%
|
|
|
Belgium
|
0.5%
|
|
|
Australia
|
0.3%
|
|
|
Ireland
|
0.2%
|
|
|
Other Assets and Liabilities
|
(45.6)%
|
|
|
100.0%
|
|
INVESTMENT BREAKDOWN as a % of Net Assets:
|
||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
13.8%
|
|
|
US Government / Agency Mortgage Backed Obligations
|
11.1%
|
|
|
Non-Agency Commercial Mortgage Backed Obligations
|
10.4%
|
|
|
Banking
|
10.0%
|
|
|
Building and Development
|
9.8%
|
|
|
Oil & Gas
|
9.4%
|
|
|
Collateralized Loan Obligations
|
8.2%
|
|
|
Telecommunications
|
7.0%
|
|
|
Consumer Products
|
6.8%
|
|
|
Short Term Investments
|
5.7%
|
|
|
Mining
|
5.1%
|
|
|
Chemicals/Plastics
|
4.1%
|
|
|
Healthcare
|
3.6%
|
|
|
Retailers (other than Food/Drug)
|
3.5%
|
|
|
Finance
|
3.5%
|
|
|
Utilities
|
3.4%
|
|
|
Transportation
|
3.4%
|
|
|
Media
|
2.6%
|
|
|
Hotels/Motels/Inns and Casinos
|
2.5%
|
|
|
Automotive
|
2.2%
|
|
|
Business Equipment and Services
|
2.0%
|
|
|
Leisure
|
1.7%
|
|
|
Electronics/Electric
|
1.6%
|
|
|
Beverage and Tobacco
|
1.5%
|
|
|
Financial Intermediaries
|
1.4%
|
|
|
Construction
|
1.3%
|
|
|
Containers and Glass Products
|
1.3%
|
|
|
Real Estate
|
1.2%
|
|
|
Insurance
|
1.1%
|
|
|
Food/Drug Retailers
|
1.0%
|
|
|
Food Products
|
1.0%
|
|
|
Industrial
|
0.9%
|
|
|
Pulp & Paper
|
0.7%
|
|
|
Conglomerates
|
0.6%
|
|
|
Technology
|
0.6%
|
|
|
Industrial Equipment
|
0.6%
|
|
|
Drugs
|
0.3%
|
|
|
Cosmetics/Toiletries
|
0.3%
|
|
|
Radio & Television
|
0.2%
|
|
|
Environmental Control
|
0.2%
|
|
|
Energy
|
0.0%
|
~
|
|
Other Assets and Liabilities
|
(45.6)%
|
|
|
100.0%
|
|
Summary of Fair Value Disclosure
|
|
December 31, 2014 (Unaudited)
|
|
Security Valuation. The Fund has adopted accounting principles generally accepted in the United States of America ("US GAAP") fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
|
|
Level 1—Unadjusted quoted market prices in active markets for identical securities
|
|
Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data
|
|
Level 3—Significant unobservable inputs (including the reporting entity's estimates and assumptions)
|
|
Assets and liabilities may be transferred between levels. The Fund uses end of period timing recognition to account for any transfers.
|
|
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values would be categorized as Level 3.
|
|
Fixed-income class
|
Examples of Standard Inputs
|
|
|
All
|
Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and 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
|
Quotations from dealers and trading systems
|
|
Investments in registered open-end management investment companies will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in private investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. As of December 31, 2014, the Fund did not hold any investments in private investment funds.
|
|
Securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees (the "Board"). The Valuation Committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Valuation Committee and the Pricing Group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market value.
|
|
The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of December 31, 20141:
|
||||
|
Category
|
||||
|
Investments in Securities
|
||||
|
Level 1
|
||||
|
Money Market Funds
|
$ | 124,763,144 | ||
|
Total Level 1
|
124,763,144 | |||
|
Level 2
|
||||
|
Foreign Corporate Bonds
|
1,330,394,012 | |||
|
US Corporate Bonds
|
468,925,325 | |||
|
Bank Loans
|
312,226,805 | |||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
284,333,700 | |||
|
US Government / Agency Mortgage Backed Obligations
|
244,169,228 | |||
|
Non-Agency Commercial Mortgage Backed Obligations
|
218,014,049 | |||
|
Collateralized Loan Obligations
|
179,804,925 | |||
|
Total Level 2
|
3,037,868,044 | |||
|
Level 3
|
||||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
17,496,542 | |||
|
Non-Agency Commercial Mortgage Backed Obligations
|
10,111,373 | |||
|
Total Level 3
|
27,607,915 | |||
|
Total
|
$ | 3,190,239,103 | ||
|
See the Schedule of Investments for further disaggregation of investment categories.
|
||||
|
1 There were no transfers into and out of Level 1 during the period ended December 31, 2014.
|
||||
|
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
||||||||||||||||||||||||||||||||
|
DoubleLine Income Solutions Fund
|
Balance as of 9/30/2014
|
Net Realized
Gain (Loss)
|
Net Change in Unrealized Appreciation (Depreciation)4
|
Net Accretion (Amortization)
|
Purchases1
|
Sales2
|
Transfers Into Level 33
|
Transfers Out of Level 33
|
Balance as of 12/31/2014
|
Net Change in Unrealized Appreciation (Depreciation) on securities held at 12/31/20144
|
||||||||||||||||||||||
|
Investments in Securities
|
||||||||||||||||||||||||||||||||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
$ | 17,281,097 | $ | 5,569 | $ | (176,016 | ) | $ | 136,673 | $ | 286,663 | $ | (37,444 | ) | $ | - | $ | - | $ | 17,496,542 | $ | (176,016 | ) | |||||||||
|
Non-Agency Commercial Mortgage Backed Obligations
|
11,304,539 | - | (1,193,166 | ) | - | - | - | - | - | 10,111,373 | (1,193,166 | ) | ||||||||||||||||||||
|
Total
|
$ | 28,585,636 | $ | 5,569 | $ | (1,369,182 | ) | $ | 136,673 | $ | 286,663 | $ | (37,444 | ) | $ | - | $ | - | $ | 27,607,915 | $ | (1,369,182 | ) | |||||||||
|
1 Purchases include all purchases of securities and payups.
|
|
2 Sales include all sales of securities, maturities, and paydowns.
|
|
3 Transfers between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.
|
|
4 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at December 31, 2014 may be due to a security that was not held or categorized as Level 3 at either period end.
|
|
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
|
||||||||||||||||
|
DoubleLine Income Solutions Fund
|
Fair Value as of 12/31/2014 *
|
Valuation Techniques
|
Unobservable Input
|
Input Values
|
Impact to valuation from an increase to input
|
|||||||||||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
$ | 17,496,542 |
Market Comparables
|
Market Quotes
|
$ | 67.12 - $87.89 |
Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security
|
|||||||||
|
Non-Agency Commercial Mortgage Backed Obligations
|
$ | 10,111,373 |
Market Comparables
|
Yields
|
15.47 - 16.16 | % |
Increase in yields would result in the decrease in the fair value of the security
|
|||||||||
|
* Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis, by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.
|
|
(a)
|
The Registrant’s principal executive and principal financial officers have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of this Form N-Q based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
|
(b)
|
There were no changes in the Registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|