Doubleline Income Solutions Fund

As filed with the Securities and Exchange Commission on August 24, 2018

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number 811-22791

DoubleLine Income Solutions Fund

(Exact name of registrant as specified in charter)

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Address of principal executive offices) (Zip code)

Ronald R. Redell

c/o DoubleLine Capital LP

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Name and address of agent for service)

(213) 633-8200

Registrant’s telephone number, including area code

Date of fiscal year end: September 30, 2018

Date of reporting period: June 30, 2018


Item 1. Schedule of Investments.


 

DoubleLine Income Solutions Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

$/Shares

  

Security Description

   Rate     

Maturity

   Value $  

Asset Backed Obligations - 0.4%

 

     
1,485,000    Coinstar Funding LLC, Series 2017-1A-A2      5.22%  ^     04/25/2047      1,508,437  
5,486,250    Harley Marine Financing LLC, Series 2018-1A-A2      5.68%  ^     05/15/2043      5,570,574  
979,167    Sapphire Aviation Finance Ltd., Series 2018-1A-B      5.93%  ^     03/15/2040      993,064  
           

 

 

 

Total Asset Backed Obligations (Cost $7,956,904)

 

        8,072,075  
           

 

 

 

Bank Loans - 12.3%

 

     
160,000    Acrisure LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.07%      11/22/2023      159,000  
757,369    Acrisure, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%      11/22/2023      756,900  
2,380,000    Airxcel, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.59%      04/25/2025      2,377,025  
1,905,000    Aleris International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.86%      02/08/2023      1,891,303  
3,000,000    Almonde, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.56%      06/13/2025      2,897,805  
3,630,000    Applied Systems, Inc., Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.00%, 1.00% Floor)      9.33%      09/19/2025      3,750,697  
1,718,133    Ascena Retail Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor)      6.63%      08/21/2022      1,538,588  
6,330,000    Asurion LLC, Secured 2nd Lien Term Loan, Tranche B2 (1 Month LIBOR USD + 6.00%)      8.09%      08/04/2025      6,432,862  
2,780,000    Autokiniton US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)      6.08%      05/22/2025      2,793,900  
2,693,246    Azure Midstream Energy LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 6.50%, 1.00% Floor)      8.59%      11/15/2018      2,639,381  
   BI-LO LLC, Senior Secured 1st Lien Term Loan         
1,684,210    (3 Month LIBOR USD + 8.00%, 1.00% Floor)      10.17%      05/15/2024      1,630,534  
1,684,211    (1 Month LIBOR USD + 8.00%, 1.00% Floor)      10.09%      05/15/2024      1,630,535  
1,631,579    (3 Month LIBOR USD + 8.00%, 1.00% Floor)      10.33%      05/15/2024      1,579,581  
7,591,498    Capital Automotive L.P., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.10%      03/24/2025      7,657,924  
2,251,426    Ceva Group PLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%)      7.83%      03/19/2021      2,250,818  
924,064    Ceva Logistics Holdings B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%      03/19/2021      923,814  
3,758,903    CEVA Logistics U.S. Holdings Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%      03/19/2021      3,757,888  
469,863    Ceva Logistics Canada, ULC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%      03/19/2021      469,736  
630,000    CH Holdings Corporation, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor)      9.34%      02/01/2025      640,237  
   Charah LLC, Guaranteed Senior Secured 1st Lien Term Loan         
3,004,688    (3 Month LIBOR USD + 6.25%, 1.00% Floor)      8.56%      10/25/2024      3,043,493  
75,000    (2 Month LIBOR USD + 6.25%, 1.00% Floor)      8.42%      10/25/2024      75,969  
3,500,000    Cologix, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor)      9.09%      03/20/2025      3,538,500  
1,999,988    CONSOL Mining Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor)      8.32%      10/26/2022      2,057,487  
3,685,000    Coronado Curragh LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%      03/14/2025      3,726,456  
1,005,000    Coronado Curragh LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%      03/21/2025      1,016,306  
1,855,000    Covia Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.05%      06/01/2025      1,857,616  
625,000    CP VI Bella Topco LLC, Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.75%, 1.00% Floor)      8.84%      12/28/2025      620,831  
2,900,000    CSM Bakery Supplies LLC, Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.75%, 1.00% Floor)      10.06%  ¥     07/03/2021      2,733,250  
420,000    CVS Holdings LP, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.75%, 1.00% Floor)      8.85%      02/06/2026      417,900  
4,995,000    Cyxtera DC Holdings, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.61%      05/01/2025      4,995,000  
900,000    Edelman Financial Center LLC., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 6.75%)      9.05%      6/26/2026      908,861  
1,540,000    EnergySolutions LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.08%      05/09/2025      1,544,813  
5,911,414    Evergreen Skills Lux Sarl, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%      04/28/2021      5,606,592  
1,250,000    Excelitas Technologies Corporation, Secured 2nd Lien Term Loan (6 Month LIBOR USD + 7.50%, 1.00% Floor)      9.97%      12/01/2025      1,280,469  
1,109,243    Explorer Holdings Inc, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.08%      05/02/2023      1,109,242  
9,515,838    Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)      8.11%      03/28/2022      9,475,729  
945,482    FullBeauty Brands Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%      10/14/2022      392,375  
4,066,129    Gavilan Resources, LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.09%      03/01/2024      4,012,781  
1,890,000    Gentiva Health Services, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.00%)      9.30%      6/22/2026      1,918,350  
335,000    Genworth Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.55%      03/07/2023      341,700  
1,975,000    Go Wireless, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.50%, 1.00% Floor)      8.59%      12/22/2024      1,960,187  
2,050,000    Gulf Finance LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor)      7.59%      8/25/2023      1,778,375  
5,700,000    Healogics Inc., Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.00% Floor)      10.32%      07/01/2022      4,602,750  
4,000,000    HVSC Merger Sub Corporation, Guaranteed Secured 2nd Lien Term Loan (2 Month LIBOR USD + 8.25%, 1.00% Floor)      10.35%      10/27/2025      4,031,680  
6,500,000    Hyland Software, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor)      9.09%      07/07/2025      6,613,750  
1,255,800    Impala Private Holdings LLC, Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.00% Floor)      10.10%  ¥     11/10/2025      1,268,358  
6,866,454    Jo-Ann Stores, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      7.51%      10/20/2023      6,829,273  
1,860,000    Keane Group Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.88%      05/25/2025      1,860,000  
4,340,000    Kestrel Acquisition LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.35%      05/01/2025      4,369,838  
2,260,000    Kindred Healthcare, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%)      7.30%      6/23/2025      2,243,050  
4,500,000    Kronos, Inc., Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.25%, 1.00% Floor)      10.61%      11/01/2024      4,648,657  
5,835,000    Longview Power LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor)      8.36%      04/13/2021      5,110,497  
3,336,250    LSF9 Atlantis Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.00%      05/01/2023      3,309,143  
3,077,143    Masergy Communications, Inc., Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.50%, 1.00% Floor)      9.83%  ¥     12/12/2024      3,096,375  
8,220,000    McDermott International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)      7.09%      05/10/2025      8,271,827  
8,000,000    Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)      9.34%      11/20/2025      8,022,520  
1,550,000    Peak 10 Holding Corporation, Guaranteed Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.61%      08/01/2025      1,544,575  
640,000    Pelican Products, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.75%)      9.73%      05/01/2026      647,200  
6,200,000    Piscine US Acquisition LLC, Guaranteed Secured 2nd Lien Term Loan (Prime Rate + 8.00%)      13.00%      12/20/2024      6,285,250  
5,982,667    Polycom, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)      7.34%      09/27/2023      5,995,769  
2,000,000    PowerTeam Services, LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.58%      02/27/2026      2,002,500  
2,762,870    Precyse Acquisition Corp, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%      10/20/2022      2,749,926  
2,500,000    Quest Software US Holdings Inc, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.58%      05/16/2025      2,494,275  
2,683,333    Rack Merger Sub, Inc., Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor)      9.34%  Þ     10/03/2022      2,703,458  
5,863,636    RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.85%  ¥     12/17/2021      5,379,886  
3,845,000    Romulus Merger Sub LLC, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.25%)      8.34%      02/13/2026      3,859,419  
   Sedgwick, Inc., Guaranteed Secured 2nd Lien Term Loan         
5,233,383    (1 Month LIBOR USD + 5.75%, 1.00% Floor)      7.84%      02/28/2022      5,269,389  
1,541,617    (3 Month LIBOR USD + 5.75%, 1.00% Floor)      8.06%      02/28/2022      1,552,223  
2,445,000    Solenis International LP, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.30%      12/18/2023      2,443,007  
1,275,000    Solenis International, L.P., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%)      10.68%      06/01/2026      1,260,656  
1,485,504    Solera LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%      03/03/2023      1,480,862  
1,770,000    Sound Inpatient Physicians, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 9.05%)      9.05%      6/19/2026      1,778,850  
3,125,000    Southern Graphics, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.50%)      9.59%      12/31/2023      3,142,578  
550,000    SRS Distribution Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%      05/23/2025      542,669  
4,027,800    Summit Midstream Partners Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.09%      05/13/2022      4,080,685  
4,769,365    Syncreon Global Finance (US) Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%      10/28/2020      4,513,012  
3,820,000    TKC Holdings, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.00% Floor)      10.10%      02/01/2024      3,832,721  
4,840,000    US Renal Care, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.00% Floor)      10.34%      12/31/2023      4,846,050  
6,000,000    Viewpoint, Inc., Secured 2nd Lien Term Loan (Prime Rate + 7.25%)      12.25%      07/18/2025      6,030,000  
6,000,000    Vine Oil & Gas LP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 6.88%, 1.00% Floor)      8.97%      12/12/2021      6,030,000  
2,672,981    Wand Intermediate LP, Secured 2nd Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor)      9.14%      09/19/2022      2,689,687  
1,650,859    WASH Multifamily Laundry Systems LLC, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor)      9.09%      05/14/2023      1,601,333  
289,141    WASH Multifamily Laundry Systems LLC, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor)      9.09%      05/12/2023      280,467  
1,340,000    Wink Holdco, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.75%, 1.00% Floor)      8.85%      11/03/2025      1,336,094  
2,930,000    Yak Access LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%)      7.32%      7/31/2025      2,842,100  
           

 

 

 

Total Bank Loans (Cost $251,897,508)

           253,683,169  
        

 

 

 

Collateralized Loan Obligations - 11.6%

        
2,000,000    Adams Mill Ltd., Series 2014-1A-D2, (3 Month LIBOR USD + 4.25%)      6.60%  ^     07/15/2026      2,003,502  
6,000,000    Adams Mill Ltd., Series 2014-1A-E2, (3 Month LIBOR USD + 6.25%)      8.60%  ^     07/15/2026      6,023,559  
1,000,000    ALM LLC, Series 2016-19A-C, (3 Month LIBOR USD + 4.35%)      6.70%  ^     07/15/2028      1,009,046  
5,000,000    ALM LLC, Series 2016-19A-D, (3 Month LIBOR USD + 7.35%)      9.70%  ^     07/15/2028      5,094,951  
1,000,000    Apidos Ltd., Series 2014-18A-E, (3 Month LIBOR USD + 6.00%)      8.36%  ^     07/22/2026      1,007,157  
2,000,000    Apidos Ltd., Series 2015-21A-ER, (3 Month LIBOR USD + 8.25%, 8.25% Floor)      0.00%  ^     07/18/2027      2,000,000  
2,250,000    Babson Ltd., Series 2015-2A-ER, (3 Month LIBOR USD + 6.45%)      8.81%  ^     10/20/2030      2,287,981  
2,827,890    Babson Ltd., Series 2016-2A-E, (3 Month LIBOR USD + 6.90%, 6.90% Floor)      9.26%  ^     07/20/2028      2,866,324  
4,000,000    Barings Ltd., Series 2016-3A-D, (3 Month LIBOR USD + 7.25%, 7.25% Floor)      9.60%  ^     01/15/2028      4,084,227  
500,000    Birchwood Park Ltd., Series 2014-1A-E2, (3 Month LIBOR USD + 6.40%)      8.75%  ^     07/15/2026      500,735  
8,000,000    BlueMountain Ltd., Series 2012-2A-ER, (3 Month LIBOR USD + 7.10%)      9.43%  ^     11/20/2028      8,128,500  
2,500,000    BlueMountain Ltd., Series 2015-2A-F, (3 Month LIBOR USD + 6.80%, 6.80% Floor)      9.16%  ^     07/18/2027      2,387,066  
3,000,000    BlueMountain Ltd., Series 2016-2A-D, (3 Month LIBOR USD + 7.00%)      9.33%  ^     08/20/2028      3,019,107  
5,000,000    Bristol Park Ltd., Series 2016-1A-E, (3 Month LIBOR USD + 7.25%)      9.60%  ^     04/15/2029      5,170,374  
8,050,000    Canyon Capital Ltd., Series 2015-1A-ER, (3 Month LIBOR USD + 6.85%)      9.20%  ^     04/15/2029      8,196,736  
2,500,000    Canyon Capital Ltd., Series 2016-1A-ER, (3 Month LIBOR USD + 5.75%)      0.00%  ^     07/15/2031      2,479,705  
1,000,000    Canyon Capital Ltd., Series 2016-2A-E, (3 Month LIBOR USD + 6.75%)      9.10%  ^     10/15/2028      1,012,466  
4,650,000    Canyon Capital Ltd., Series 2017-1A-E, (3 Month LIBOR USD + 6.25%)      8.60%  ^     07/15/2030      4,684,538  
2,500,000    Canyon Capital Ltd., Series 2018-1A-E, (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.79%  ^     07/15/2031      2,494,853  
2,000,000    Carlyle Global Market Strategies Ltd., Series 2013-3A-DR, (3 Month LIBOR USD + 5.50%)      7.85%  ^     10/15/2030      2,014,674  
1,850,000    Carlyle Global Market Strategies Ltd., Series 2016-2A-D2, (3 Month LIBOR USD + 6.45%, 6.45% Floor)      8.80%  ^     07/15/2027      1,861,987  
2,000,000    Carlyle Global Market Strategies Ltd., Series 2016-4A-D, (3 Month LIBOR USD + 6.90%)      9.26%  ^     10/20/2027      2,021,521  
2,000,000    Cent Ltd., Series 2014-22A-D, (3 Month LIBOR USD + 5.30%)      7.66%  ^     11/07/2026      2,003,998  
2,500,000    Dryden Ltd., Series 2018-55A-F, (3 Month LIBOR USD + 7.20%)      9.24%  ^     04/15/2031      2,373,833  
3,000,000    Dryden Senior Loan Fund, Series 2015-37A-ER, (3 Month LIBOR USD + 5.15%, 5.15% Floor)      6.87%  ^     01/15/2031      2,968,216  
5,000,000    Galaxy Ltd., Series 2014-18A-E2, (3 Month LIBOR USD + 6.30%)      8.65%  ^     10/15/2026      5,007,358  
1,250,000    Galaxy Ltd., Series 2017-24A-E, (3 Month LIBOR USD + 5.50%)      7.48%  ^     01/15/2031      1,247,639  
10,000,000    GoldenTree Loan Opportunities Ltd., Series 2015-10A-E1, (3 Month LIBOR USD + 6.00%, 6.00% Floor)      8.36%  ^     07/20/2027      10,011,941  
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C, (3 Month LIBOR USD + 3.50%)      5.86%  ^     04/28/2025      1,002,586  
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D, (3 Month LIBOR USD + 5.00%)      7.36%  ^     04/28/2025      968,775  
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E, (3 Month LIBOR USD + 5.75%)      8.11%  ^     04/28/2025      896,765  
3,500,000    LCM LP, Series 14A-FR, (3 Month LIBOR USD + 7.61%)      10.01%  ^     07/20/2031      3,354,317  
7,000,000    LCM LP, Series 19A-E1, (3 Month LIBOR USD + 6.45%, 6.45% Floor)      8.80%  ^     07/15/2027      7,032,616  
6,500,000    LCM LP, Series 26A-E, (3 Month LIBOR USD + 5.30%, 5.30% Floor)      7.23%  ^     01/20/2031      6,411,733  
7,100,000    Madison Park Funding Ltd., Series 2015-18A-ER, (3 Month LIBOR USD + 6.35%)      8.71%  ^     10/21/2030      7,299,938  
1,500,000    Madison Park Funding Ltd., Series 2016-22A-E, (3 Month LIBOR USD + 6.65%)      9.01%  ^     10/25/2029      1,518,409  
3,000,000    Madison Park Funding Ltd., Series 2017-25A-D, (3 Month LIBOR USD + 6.10%)      8.46%  ^     04/25/2029      3,023,264  
10,000,000    Magnetite Ltd., Series 2012-7A-DR2, (3 Month LIBOR USD + 4.50%)      6.85%  ^     01/15/2028      9,996,045  
7,500,000    Magnetite Ltd., Series 2015-16A-ER, (3 Month LIBOR USD + 5.00%)      7.36%  ^     01/18/2028      7,447,034  
2,000,000    Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-E, (3 Month LIBOR USD + 5.40%)      7.75%  ^     01/15/2028      1,981,254  
5,000,000    Octagon Investment Partners Ltd., Series 2012-1A-DR, (3 Month LIBOR USD + 7.15%)      9.50%  ^     07/15/2029      5,165,913  
2,000,000    Octagon Investment Partners Ltd., Series 2013-1A-D, (3 Month LIBOR USD + 3.35%)      5.70%  ^     07/17/2025      2,002,657  
9,500,000    Octagon Investment Partners Ltd., Series 2013-1A-E, (3 Month LIBOR USD + 4.50%)      6.85%  ^     07/17/2025      9,346,050  
8,250,000    Octagon Investment Partners Ltd., Series 2013-1A-ER, (3 Month LIBOR USD + 5.75%, 5.75% Floor)      0.00%  ^     07/17/2030      8,250,000  
5,460,000    Octagon Investment Partners Ltd., Series 2013-1A-ER, (3 Month LIBOR USD + 7.00%)      9.36%  ^     07/19/2030      5,573,546  
2,000,000    Octagon Investment Partners Ltd., Series 2014-1A-D, (3 Month LIBOR USD + 6.60%)      8.96%  ^     11/14/2026      2,015,292  
2,000,000    Octagon Investment Partners Ltd., Series 2016-1A-FR, (3 Month LIBOR USD + 8.09%, 8.09% Floor)      10.14%  ^     07/15/2030      1,982,230  
4,000,000    Octagon Investment Partners Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 6.20%)      8.56%  ^     03/17/2030      4,021,119  
7,500,000    Stewart Park Ltd., Series 2015-1A-ER, (3 Month LIBOR USD + 5.28%, 5.28% Floor)      7.63%  ^     01/15/2030      7,475,851  
2,000,000    TCI-Cent Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 6.30%)      8.66%  ^     07/25/2030      2,022,667  
7,200,000    Venture Ltd., Series 2016-24A-E, (3 Month LIBOR USD + 6.72%)      9.08%  ^     10/20/2028      7,271,015  
5,000,000    Venture Ltd., Series 2017-26A-E, (3 Month LIBOR USD + 6.80%)      9.16%  ^     01/20/2029      5,075,467  
4,000,000    Venture Ltd., Series 2017-27A-E, (3 Month LIBOR USD + 6.35%)      8.71%  ^     07/20/2030      4,028,024  
3,050,000    Voya Ltd., Series 2016-4A-E2, (3 Month LIBOR USD + 6.65%)      9.01%  ^     07/20/2029      3,110,867  
1,500,000    Voya Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 6.10%)      8.45%  ^     04/17/2030      1,518,292  
1,000,000    Voya Ltd., Series 2018-2A-E, (3 Month LIBOR USD + 5.25%, 5.25% Floor)      7.62%  ^     07/15/2031      998,286  
1,000,000    Voya Ltd., Series 2018-2A-F, (3 Month LIBOR USD + 7.29%, 7.29% Floor)      9.66%  ^     07/15/2031      947,943  
2,000,000    WhiteHorse Ltd., Series 2012-1A-B1L, (3 Month LIBOR USD + 4.25%)      6.61%  ^     02/03/2025      2,002,449  
1,250,000    WhiteHorse Ltd., Series 2012-1A-B2L, (3 Month LIBOR USD + 5.25%)      7.61%  ^     02/03/2025      1,252,528  
1,600,000    WhiteHorse Ltd., Series 2012-1A-B3L, (3 Month LIBOR USD + 6.50%)      8.86%  ^     02/03/2025      1,598,057  
3,250,000    WhiteHorse Ltd., Series 2013-1A-B1L, (3 Month LIBOR USD + 3.70%)      6.03%  ^     11/24/2025      3,260,730  
2,000,000    Wind River Ltd., Series 2013-2A-E1R, (3 Month LIBOR USD + 6.75%)      9.11%  ^     10/18/2030      2,024,787  
3,500,000    Wind River Ltd., Series 2014-2A-ER, (3 Month LIBOR USD + 5.75%, 5.75% Floor)      8.10%  ^     01/15/2031      3,466,685  
2,000,000    Wind River Ltd., Series 2016-1A-D, (3 Month LIBOR USD + 4.65%)      7.00%  ^     07/15/2028      1,999,931  
5,000,000    Wind River Ltd., Series 2017-1A-E, (3 Month LIBOR USD + 6.42%)      8.78%  ^     04/18/2029      5,034,137  
3,000,000    Wind River Ltd., Series 2017-3A-E, (3 Month LIBOR USD + 6.40%)      8.75%  ^     10/15/2030      3,028,998  
1,000,000    Wind River Ltd., Series 2018-1A-E, (3 Month LIBOR USD + 5.50%)      0.00%  ^     07/15/2030      1,000,000  
           

 

 

 

Total Collateralized Loan Obligations (Cost $237,285,439)

           240,368,251  
        

 

 

 

Foreign Corporate Bonds - 62.6%

        
10,200,000    Adecoagro S.A.      6.00%  ^     09/21/2027      8,464,470  
11,272,000    Aeropuerto Argentina S.A.      6.88%  z     02/01/2027      10,876,127  
3,850,000    Aeropuerto Argentina S.A.      6.88%  ^     02/01/2027      3,714,788  
5,400,000    Aeropuertos Dominicanos Siglo S.A.      6.75%  ^     03/30/2029      5,636,250  
25,000,000    AES Andres B.V.      7.95%  ^     05/11/2026      25,875,000  
2,000,000    AES El Salvador Trust      6.75%  ^     03/28/2023      1,859,400  
19,000,000    AES El Salvador Trust      6.75%  z     03/28/2023      17,664,300  
27,000,000    Ajecorp B.V.      6.50%       05/14/2022      21,532,500  
18,000,000    Alfa S.A.B. de C.V.      6.88%  z     03/25/2044      18,431,280  
84,067    Autopistas del Nordeste Ltd.      9.39%       04/15/2024      89,952  
4,752,000    Autopistas del Sol S.A.      7.38%  ^     12/30/2030      4,799,520  
20,000,000    Avianca Holdings S.A.      8.38%  ^     05/10/2020      20,250,000  
10,500,000    Avianca Holdings S.A.      8.38%  z     05/10/2020      10,631,250  
11,750,000    Axtel S.A.B. de C.V.      6.38%  ^z     11/14/2024      11,177,187  
8,541,000    Banco BTG Pactual S.A., (5 Year CMT Rate + 6.98%)      8.75%  †     09/18/2019      8,652,204  
1,160,000    Banco de Galicia y Buenos Aires S.A., (5 Year CMT Rate + 7.16%)      8.25%  z     07/19/2026      1,176,147  
26,428,000    Banco de Reservas de la Republica Dominicana      7.00%       02/01/2023      26,692,280  
572,000    Banco de Reservas de la Republica Dominicana      7.00%  ^     02/01/2023      577,720  
30,390,000    Banco do Brasil S.A., (10 Year CMT Rate + 7.33%)      9.25%  †z     04/15/2023      30,124,088  
7,000,000    Banco GNB Sudameris S.A., (5 Year CMT Rate + 4.56%)      6.50%  ^†     04/03/2027      7,166,250  
7,000,000    Banco GNB Sudameris S.A., (5 Year CMT Rate + 4.56%)      6.50%  z     04/03/2027      7,166,250  
12,545,000    Banco Macro S.A., (5 Year Swap Rate USD + 5.46%)      6.75%  z     11/04/2026      11,792,300  
15,000,000    Banco Macro S.A., (5 Year Swap Rate USD + 5.46%)      6.75%  ^z     11/04/2026      14,100,000  
8,000,000    Banco Mercantil de Norte, (10 Year CMT Rate + 5.35%)      7.63%  ^†z     01/10/2028      7,930,000  
18,600,000    Banco Mercantil del Norte S.A., (5 Year CMT Rate + 4.45%)      5.75%  z     10/04/2031      17,088,750  
2,258,000    Bantrab Senior Trust      9.00%       11/14/2020      2,311,628  
10,000,000    Bantrab Senior Trust      9.00%  ^     11/14/2020      10,237,500  
19,000,000    Braskem Finance Ltd.      7.38%  †z     07/09/2018      19,128,060  
12,000,000    C&W Senior Financing DAC      6.88%  z     09/15/2027      11,535,000  
5,026,000    C10 Capital SPV Ltd., (3 Month LIBOR USD + 4.71%)      7.04%  †     08/13/2018      4,988,305  
10,150,000    C5 Capital Ltd., (3 Month LIBOR USD + 4.28%)      6.61%  †     07/30/2018      9,997,750  
15,500,000    Camposol S.A.      10.50%  ^     07/15/2021      16,352,500  
20,000,000    Canacol Energy Ltd.      7.25%  ^z     05/03/2025      19,375,000  
16,200,000    Capex S.A.      6.88%  z     05/15/2024      14,525,244  
3,800,000    Capex S.A.      6.88%  ^z     05/15/2024      3,407,156  
18,230,000    CFG Investment S.A.C.      9.75%  W     07/30/2019      19,825,125  
11,297,000    Cia General de Combustibles S.A.      9.50%  z     11/07/2021      11,127,545  
3,500,000    Cia General de Combustibles S.A.      9.50%  ^     11/07/2021      3,447,500  
19,000,000    CIMPOR Financial Operations B.V.      5.75%  z     07/17/2024      15,295,000  
1,000,000    Colombia Telecomunicaciones S.A., (5 Year Swap Rate USD + 6.96%)      8.50%  †z     03/30/2020      1,047,500  
26,000,000    Colombia Telecomunicaciones S.A., (5 Year Swap Rate USD + 6.96%)      8.50%  ^†z     03/30/2020      27,235,000  
11,500,000    Comcel Trust      6.88%  z     02/06/2024      11,828,613  
28,000,000    CorpGroup Banking S.A.      6.75%       03/15/2023      27,777,120  
31,000,000    Cosan Overseas Ltd.      8.25%  †     08/05/2018      31,038,750  
10,000,000    Credito Real S.A.B. de C.V.      7.25%  z     07/20/2023      9,850,000  
11,000,000    Credito Real S.A.B. de C.V.      7.25%  ^     07/20/2023      10,835,000  
9,400,000    Credito Real S.A.B. de C.V., (10 Year CMT Rate + 7.03%)      9.13%  ^†     11/29/2022      8,878,300  
2,600,000    Credito Real S.A.B. de C.V., (10 Year CMT Rate + 7.03%)      9.13%  †z     11/29/2022      2,455,700  
8,000,000    CSN Islands XII Corporation      7.00%  †     09/23/2018      5,880,000  
14,400,000    CSN Resources S.A.      7.63%  ^z     02/13/2023      13,014,000  
38,600,000    Digicel Ltd.      8.25%  z     09/30/2020      29,287,750  
5,000,000    Digicel Ltd.      7.13%  ^z     04/01/2022      3,312,500  
5,000,000    Digicel Ltd.      7.13%  z     04/01/2022      3,312,500  
5,260,000    Docuformas SAPI de C.V.      9.25%       10/11/2022      4,786,600  
16,080,000    Eldorado International Finance GMBH      8.63%  ^z     06/16/2021      16,620,690  
4,000,000    Eldorado International Finance GMBH      8.63%  z     06/16/2021      4,134,500  
12,000,000    Energuate Trust      5.88%       05/03/2027      11,550,000  
20,000,000    Financiera Independencia S.A.B. de C.V. SOFOM ENR      8.00%  ^z     07/19/2024      16,500,000  
10,000,000    Gilex Holding Sarl      8.50%  ^z     05/02/2023      10,320,000  
14,400,000    Gran Tierra Energy International Holdings Ltd.      6.25%  ^     02/15/2025      13,554,000  
1,680,000    Grupo Famsa S.A.B. de C.V.      7.25%       06/01/2020      1,608,600  
5,600,000    Grupo Famsa S.A.B. de C.V.      7.25%  ^     06/01/2020      5,362,000  
12,300,000    Grupo Idesa S.A. de C.V.      7.88%       12/18/2020      9,594,000  
14,700,000    Grupo Idesa S.A. de C.V.      7.88%  ^z     12/18/2020      11,466,000  
4,000,000    Grupo Posadas S.A.B. de C.V.      7.88%       06/30/2022      3,980,000  
26,000,000    Grupo Posadas S.A.B. de C.V.      7.88%  ^     06/30/2022      25,870,000  
22,000,000    GTL Trade Finance, Inc.      7.25%  z     04/16/2044      22,385,000  
13,447,000    GW Honos Security Corporation      8.75%  ^z     05/15/2025      13,783,175  
8,345,000    Hulk Finance Corporation      7.00%  ^     06/01/2026      8,011,200  
22,700,000    Inkia Energy Ltd.      5.88%  ^z     11/09/2027      21,252,875  
15,000,000    Instituto Costarricense de Electricidad      6.38%  ^     05/15/2043      12,525,000  
11,800,000    Instituto Costarricense de Electricidad      6.38%  z     05/15/2043      9,853,000  
3,530,000    Intelsat Jackson Holdings S.A.      7.25%       10/15/2020      3,530,000  
7,715,000    Intelsat Jackson Holdings S.A.      9.75%  ^     07/15/2025      8,158,612  
14,100,000    Itau Unibanco Holding S.A., (5 Year CMT Rate + 3.86%)      6.50%  ^†z     03/19/2023      13,395,000  
25,000,000    JBS Investments GmbH      7.25%  z     04/03/2024      24,307,250  
19,555,000    Kronos Acquisition Holdings, Inc.      9.00%  ^z     08/15/2023      17,648,387  
6,000,000    Latam Finance Ltd.      6.88%       04/11/2024      5,895,000  
16,560,000    Magnesita Finance Ltd.      8.63%  †     07/30/2018      16,539,300  
15,000,000    MARB BondCo PLC      7.00%  ^     03/15/2024      14,475,000  
15,000,000    Marfrig Holdings Europe B.V.      8.00%  ^     06/08/2023      15,243,750  
13,760,000    MEG Energy Corporation      7.00%  ^z     03/31/2024      12,917,200  
17,500,000    Minerva Luxembourg S.A., (5 Year CMT Rate + 7.05%)      8.75%  ^†     04/03/2019      17,718,750  
11,000,000    Minerva Luxembourg S.A., (5 Year CMT Rate + 7.05%)      8.75%  †     04/03/2019      11,137,500  
29,000,000    OAS Financial Ltd., (5 Year CMT Rate + 8.19%)      8.88%  ^†W     07/30/2018      2,610,000  
4,784,000    OAS Financial Ltd., (5 Year CMT Rate + 8.19%)      8.88%  †W     07/30/2018      430,560  
6,000,000    Odebrecht Finance Ltd.      5.25%       06/27/2029      2,070,000  
26,500,000    Odebrecht Finance Ltd.      7.13%       06/26/2042      9,407,500  
10,000,000    Pampa Energia S.A.      7.50%  ^z     01/24/2027      9,050,000  
15,200,000    Pesquera Exalmar S.A.A.      7.38%       01/31/2020      15,124,000  
4,800,000    Petra Diamonds PLC      7.25%  ^z     05/01/2022      4,638,000  
15,300,000    Petrobras Argentina S.A.      7.38%  ^     07/21/2023      14,653,575  
25,000,000    Petrobras Global Finance B.V.      6.75%  z     01/27/2041      22,465,000  
10,500,000    Petrobras Global Finance B.V.      7.25%  z     03/17/2044      9,751,875  
6,000,000    Rio Energy S.A.      6.88%       02/01/2025      5,010,000  
9,000,000    Rio Energy S.A.      6.88%  ^     02/01/2025      7,515,000  
21,119,000    Sappi Papier Holding GMBH      7.50%  ^     06/15/2032      21,752,570  
7,500,000    Sappi Papier Holding GMBH      7.50%       06/15/2032      7,725,000  
10,000,000    Tecnoglass, Inc.      8.20%       01/31/2022      10,525,000  
14,930,000    Telesat LLC      8.88%  ^     11/15/2024      16,012,425  
10,694,000    Tervita Escrow Corporation      7.63%  ^     12/01/2021      10,961,350  
2,950,000    Tervita Escrow Corporation      7.63%  ^     12/01/2021      3,023,750  
10,840,000    TI Group Automotice Systems LLC      8.75%  ^     07/15/2023      11,335,388  
6,400,000    Transportadora de Gas del Sur SA      6.75%  ^z     05/02/2025      5,888,000  
9,000,000    Unifin Financiera S.A.B. de C.V.      7.25%  ^     09/27/2023      8,561,250  
4,400,000    Unifin Financiera S.A.B. de C.V.      7.00%  ^     01/15/2025      4,053,500  
4,600,000    Unifin Financiera S.A.B. de C.V.      7.00%  z     01/15/2025      4,237,750  
11,000,000    Unifin Financiera S.A.B. de C.V. SOFOM ENR, (5 Year CMT Rate + 6.31%)      8.88%  ^†     01/29/2025      9,878,110  
10,000,000    Unigel Luxembourg S.A.      10.50%  ^     01/22/2024      10,337,500  
1,500,000    Vedanta Resources PLC      6.13%       08/09/2024      1,322,133  
1,000,000    Votorantim Cimentos S.A.      7.25%       04/05/2041      1,000,000  
19,000,000    Votorantim Cimentos S.A.      7.25%      04/05/2041      19,000,000  
25,000,000    YPF S.A.      6.95%  ^z     07/21/2027      21,531,250  
           

 

 

 

Total Foreign Corporate Bonds (Cost $1,380,222,859)

           1,294,766,934  
        

 

 

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 3.7%

        
9,400,000    Argentine Republic Government International Bond      7.13%  z     07/06/2036      7,574,050  
25,000,000    Argentine Republic Government International Bond      7.63%  z     04/22/2046      20,300,000  
21,900,000    Dominican Republic International Bond      6.85%  z     01/27/2045      21,789,624  
30,000,000    Provincia de Buenos Aires      7.88%  ^     06/15/2027      26,400,000  
           

 

 

 

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $84,024,864)

           76,063,674  
        

 

 

 

Municipal Bonds - 0.9%

        
45,000,000    Commonwealth of Puerto Rico General Obligation      8.00%  W     07/01/2035      18,337,500  
           

 

 

 

Total Municipal Bonds (Cost $37,990,594)

           18,337,500  
        

 

 

 

Non-Agency Commercial Mortgage Backed Obligations - 13.5%

        
10,000,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-E, (1 Month LIBOR USD + 3.40%, 3.40% Floor)      5.36%  ^     06/15/2035      10,049,152  
9,948,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%  #     01/12/2045      9,136,912  
30,524,109    Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG      1.38%  #^I/O     10/10/2047      1,546,299  
10,000,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/10/2048      8,670,175  
6,465,000    Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-E      4.73%  #^Þ     10/15/2045      1,652,848  
3,438,112    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-E      3.75%  ^Þ     08/10/2047      2,378,424  
3,929,315    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F      3.75%  ^Þ     08/10/2047      2,458,344  
7,367,549    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G      3.75%  ^Þ¥     08/10/2047      2,427,858  
14,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V      0.00%  #^Þ¥     08/10/2047       
17,394,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-E      3.23%  ^Þ     05/10/2048      12,303,855  
6,400,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-E      3.25%  ^Þ     10/10/2048      4,103,680  
5,800,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-F      3.25%  ^Þ     10/10/2048      3,282,852  
18,438,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD      1.39%  #^I/O     10/10/2048      1,361,283  
30,000,000    CSMC Trust, Series 2017-PFHP-G, (1 Month LIBOR USD + 6.15%, 6.15% Floor)      8.22%  ^     12/15/2030      29,483,073  
40,000,000    Great Wolf Trust, Series 2017-WFMZ-MC, (1 Month LIBOR USD + 10.47%, 10.47% Floor)      12.70%  ^     09/15/2019      40,851,312  
17,730,000    GS Mortgage Securities Corporation, Series 2014-GC20-E      4.52%  #^Þ     04/10/2047      9,577,764  
65,010,362    GS Mortgage Securities Corporation, Series 2014-GC20-XD      1.35%  #^I/O     04/10/2047      3,674,915  
5,051,000    GS Mortgage Securities Corporation, Series 2015-GC28-D      4.47%  #^     02/10/2048      4,045,473  
375,693    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%  #     01/15/2049      376,062  
3,760,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C5-E      4.00%  #^     08/15/2046      3,149,742  
12,817,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1-F      4.90%  #^Þ     01/15/2049      9,015,798  
57,259,829    JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC      1.12%  #^I/O     08/15/2046      2,583,137  
14,113,175    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E      4.00%  #^Þ     04/15/2047      10,333,399  
7,840,900    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F      3.75%  #^Þ     04/15/2047      4,363,774  
25,090,332    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR      3.75%  #^Þ¥     04/15/2047      8,143,017  
47,672,382    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD      0.91%  #^I/O     08/15/2047      1,771,134  
12,020,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E      2.81%  #^Þ     02/15/2048      8,128,285  
24,531,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE      1.68%  #^I/O     02/15/2048      2,029,921  
392,203    Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1-B      5.98%  #     02/12/2039      391,538  
850,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26      0.00%  #Þ     10/15/2048      581,001  
8,150,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-E      4.56%  #^Þ     10/15/2048      5,570,770  
11,453,000    Morgan Stanley Capital Trust, Series 2017-ASHF-G, (1 Month LIBOR USD + 6.90%, 6.90% Floor)      8.97%  ^     11/15/2034      11,535,908  
14,085,000    UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-E      4.22%  #^Þ     03/10/2046      10,490,057  
4,870,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E      3.25%  ^Þ     08/15/2050      3,170,414  
4,870,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC      1.80%  #^I/O     08/15/2050      386,132  
12,175,807    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD      1.80%  #^I/O     08/15/2050      879,753  
18,361,980    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-E      4.37%  #^Þ     06/15/2048      11,932,771  
9,180,600    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F      4.37%  #^Þ     06/15/2048      4,606,779  
39,018,814    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G      4.37%  #^Þ¥     06/15/2048      11,629,792  
6,500,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C30-E      3.25%  ^     09/15/2058      4,194,923  
1,420,000    Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-E      3.36%  ^Þ     09/15/2058      932,690  
11,973,000    WF-RBS Commercial Mortgage Trust, Series 2014-LC14-E      3.50%  #^Þ     03/15/2047      8,523,830  
87,892,034    WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC      1.65%  #^I/O     03/15/2047      6,875,807  
           

 

 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $295,921,618)

           278,600,653  
        

 

 

 

Non-Agency Residential Collateralized Mortgage Obligations - 2.9%

        
30,000,000    CIM Trust, Series 2016-1RR-B2      8.18%  #^Þ     07/26/2055      28,991,244  
15,000,000    CIM Trust, Series 2016-2RR-B2      8.02%  #^Þ     02/25/2056      14,654,581  
15,000,000    CIM Trust, Series 2016-3RR-B2      7.94%  #^Þ     02/27/2056      14,574,092  
1,924,014    Wachovia Mortgage Loan Trust, Series 2007-A-4A1      3.69%  #     03/20/2037      1,748,732  
           

 

 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $53,327,568)

           59,968,649  
        

 

 

 

US Corporate Bonds - 30.0%

        
12,328,000    Alliance One International, Inc.      8.50%  ^     04/15/2021      12,728,660  
15,310,000    AMC Merger, Inc.      8.00%  ^     05/15/2025      12,783,850  
5,717,000    American Tire Distributors, Inc.      10.25%  ^z     03/01/2022      1,286,325  
7,988,000    Argos Merger Sub, Inc.      7.13%  ^z     03/15/2023      5,402,284  
11,036,000    AssuredPartners, Inc.      7.00%  ^     08/15/2025      10,649,740  
14,865,000    Avantor, Inc.      9.00%  ^z     10/01/2025      15,016,623  
11,565,000    BCD Acquisition, Inc.      9.63%  ^     09/15/2023      12,374,550  
20,820,000    BlueLine Rental Finance Corporation      9.25%  ^     03/15/2024      22,202,448  
2,960,000    Boyne USA, Inc.      7.25%  ^z     05/01/2025      3,100,600  
7,250,000    Calfrac Holdings LP      8.50%  ^     06/15/2026      7,295,312  
14,080,000    CB Escrow Corporation      8.00%  ^     10/15/2025      13,200,000  
16,160,000    Cengage Learning, Inc.      9.50%  ^z     06/15/2024      13,736,000  
7,325,000    Constellation Merger Sub, Inc.      8.50%  ^     09/15/2025      7,004,531  
5,160,000    CSI Compressco LP      7.50%  ^z     04/01/2025      5,205,150  
12,000,000    Deck Chassis Acquisition, Inc.      10.00%  ^     06/15/2023      12,780,000  
15,365,000    DJO Finance, LLC      8.13%  ^z     06/15/2021      15,629,278  
10,575,000    EES Finance Corporation      8.13%       05/01/2025      11,183,062  
15,745,000    Embarq Corporation      8.00%  z     06/01/2036      14,938,069  
7,375,000    Engility Corporation      8.88%       09/01/2024      7,734,531  
19,615,000    Ensemble S Merger Sub, Inc.      9.00%  ^     09/30/2023      20,691,373  
1,785,000    EP Energy LLC      9.38%  ^z     05/01/2024      1,472,625  
2,330,000    EP Energy LLC      7.75%  ^     05/15/2026      2,388,250  
7,225,000    Flex Acquisition Company, Inc.      6.88%  ^z     01/15/2025      6,990,187  
1,255,000    Flex Acquisition Company, Inc.      7.88%  ^     07/15/2026      1,253,243  
9,200,000    Foresight Energy LLC      11.50%  ^z     04/01/2023      8,188,000  
6,170,000    Frontier Communications Corporation      8.50%       04/15/2020      6,320,486  
11,253,000    FTS International, Inc.      6.25%       05/01/2022      11,407,166  
13,540,000    Genesys Telecommunications Laboratories, Inc.      10.00%  ^z     11/30/2024      15,146,182  
4,415,000    Hexion, Inc.      13.75%  ^z     02/01/2022      4,028,688  
18,755,000    Hexion, Inc.      10.38%  ^z     02/01/2022      18,473,675  
5,759,000    Hillman Group, Inc.      6.38%  ^z     07/15/2022      5,543,038  
7,500,000    Indigo Natural Resources LLC      6.88%  ^     02/15/2026      7,293,750  
10,770,000    Iridium Communications, Inc.      10.25%  ^z     04/15/2023      11,631,600  
8,835,000    JBS USA Finance, Inc.      7.25%  ^     06/01/2021      8,967,525  
3,055,000    JBS USA Finance, Inc.      7.25%  ^     06/01/2021      3,100,825  
5,970,000    JBS USA Finance, Inc.      6.75%  ^     02/15/2028      5,647,322  
6,753,000    Kindred Healthcare, Inc.      8.75%  z     01/15/2023      7,196,199  
7,850,000    Legacy Reserves LP      6.63%       12/01/2021      6,280,000  
3,615,000    Matterhorn Merger Sub LLC      8.50%  ^z     06/01/2026      3,497,513  
6,600,000    Moss Creek Resources Holdings, Inc.      7.50%  ^     01/15/2026      6,474,006  
9,780,000    NGL Energy Finance Corporation      7.50%  z     11/01/2023      9,914,475  
7,315,000    Noble Holding International Ltd.      7.88%  ^z     02/01/2026      7,543,594  
11,350,000    Onex York Acquisition Corporation      8.50%  ^     10/01/2022      10,471,624  
9,514,000    OPE KAG Finance Sub, Inc.      7.88%  ^     07/31/2023      9,751,850  
7,455,000    Par Petroleum Finance Corporation      7.75%  ^     12/15/2025      7,604,100  
6,800,000    PetSmart, Inc.      8.88%  ^z     06/01/2025      4,505,000  
10,825,000    Polaris Intermediate Corporation (PIK 9.25%)      8.50%  ^     12/01/2022      11,203,875  
8,195,000    Prime Security Services Borrower LLC      9.25%  ^z     05/15/2023      8,768,650  
7,140,000    Radiate Finance, Inc.      6.63%  ^z     02/15/2025      6,550,950  
12,280,000    Riverbed Technology, Inc.      8.88%  ^z     03/01/2023      11,687,490  
6,340,000    Sanchez Energy Corporation      7.75%  z     06/15/2021      5,436,550  
9,970,000    Solera Finance, Inc.      10.50%  ^z     03/01/2024      11,122,831  
11,385,000    Sprint Corporation      7.63%  z     03/01/2026      11,626,931  
3,840,000    Staples, Inc.      8.50%  ^z     09/15/2025      3,590,400  
7,296,000    SunCoke Energy Partners Finance Corporation      7.50%  ^     06/15/2025      7,460,160  
12,833,000    Tapstone Energy Finance Corporation      9.75%  ^     06/01/2022      11,260,958  
8,145,000    Team Health Holdings, Inc.      6.38%  ^z     02/01/2025      7,045,425  
15,500,000    Tempo Acquisition Finance Corporation      6.75%  ^z     06/01/2025      14,918,750  
5,195,000    Tenet Healthcare Corporation      8.13%  z     04/01/2022      5,441,763  
9,397,000    THC Escrow Corporation      7.00%  ^z     08/01/2025      9,361,761  
3,724,000    Trident Merger Sub, Inc.      6.63%  ^z     11/01/2025      3,640,210  
10,280,000    Triumph Group, Inc.      7.75%  z     08/15/2025      10,202,900  
12,956,000    Universal Hospital Services, Inc.      7.63%       08/15/2020      12,972,195  
7,645,000    Valeant Pharmaceuticals International, Inc.      9.25%  ^     04/01/2026      7,960,356  
2,585,000    Valeant Pharmaceuticals International, Inc.      8.50%  ^z     01/31/2027      2,630,238  
7,675,000    Vine Oil & Gas Finance Corporation      8.75%  ^     04/15/2023      7,118,563  
9,120,000    Vizient, Inc.      10.38%  ^     03/01/2024      10,100,400  
5,500,000    Wand Merger Corporation      0.00%  ^     07/15/2026      5,568,750  
7,390,000    Weatherford International Ltd.      9.88%  z     02/15/2024      7,498,485  
11,065,000    Xerium Technologies, Inc.      9.50%  z     08/15/2021      11,687,406  
           

 

 

 

Total US Corporate Bonds (Cost $630,469,484)

           620,889,306  
        

 

 

 

US Government and Agency Mortgage Backed Obligations - 5.8%

        
11,523,722    Federal Home Loan Mortgage Corporation, Series 3631-SJ, (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap)      4.17%  I/FI/O     02/15/2040      1,615,668  
10,607,697    Federal Home Loan Mortgage Corporation, Series 3770-SP, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.43%  I/FI/O     11/15/2040      832,581  
29,584,272    Federal Home Loan Mortgage Corporation, Series 3980-SX, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.43%  I/FI/O     01/15/2042      5,176,833  
14,994,386    Federal Home Loan Mortgage Corporation, Series 4212-NS, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      2.91%  I/F     06/15/2043      12,422,764  
5,670,058    Federal National Mortgage Association, Series 2006-83-SH, (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)      4.47%  I/FI/O     09/25/2036      919,726  
10,534,200    Federal National Mortgage Association, Series 2007-22-S, (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.66%  I/FI/O     03/25/2037      1,687,928  
22,611,344    Federal National Mortgage Association, Series 2010-123-SK, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.96%  I/FI/O     11/25/2040      3,464,221  
29,058,407    Federal National Mortgage Association, Series 2012-52-PS, (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap)      4.49%  I/FI/O     05/25/2042      4,986,725  
21,621,450    Federal National Mortgage Association, Series 2013-55-US, (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      2.86%  I/F     06/25/2043      17,953,123  
34,852,144    Federal National Mortgage Association, Series 2013-58-KS, (-2 x 1 Month LIBOR USD + 5.93%, 5.93% Cap)      2.79%  I/F     06/25/2043      25,969,183  
20,843,792    Federal National Mortgage Association, Series 2013-58-SC, (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      2.86%  I/F     06/25/2043      17,094,269  
35,319,561    Federal National Mortgage Association, Series 2013-64-SH, (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      2.86%  I/F     06/25/2043      27,147,526  
           

 

 

 

Total US Government and Agency Mortgage Backed Obligations (Cost $144,866,562)

           119,270,547  
        

 

 

 

Exchange Traded Funds and Common Stocks - 0.5%

        
591,135    Frontera Energy Corporation * z            8,586,241  
118,287    SandRidge Energy, Inc. *            2,098,412  
           

 

 

 

Total Exchange Traded Funds and Common Stocks (Cost $55,058,640)

           10,684,653  
        

 

 

 

Short Term Investments - 0.4%

        
2,465,100    BlackRock Liquidity Funds FedFund - Institutional Shares        1.78%  ◆          2,465,100  
2,465,033    Fidelity Institutional Money Market Government Portfolio - Class I        1.76%  ◆          2,465,033  
2,465,200    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class        1.80%  ◆          2,465,200  
           

 

 

 

Total Short Term Investments (Cost $7,395,333)

           7,395,333  
        

 

 

 

Total Investments - 144.6% (Cost $3,186,417,079) ‡

           2,988,100,744  
Liabilities in Excess of Other Assets - (44.6)%            (921,693,243)  
        

 

 

 

NET ASSETS - 100.0%

           $         2,066,407,501  
        

 

 

 


  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $1,726,492,819 or 83.6% of net assets.  

 

  # 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 June 30, 2018.  

 

  ¥ Illiquid security  

 

  Perpetual Maturity  

 

  I/O Interest only security  

 

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

 

  * Non-income producing security  

 

  Seven-day yield as of June 30, 2018  

 

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

 

  Þ Value determined using significant unobservable inputs.  

 

  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.  

 

  z Security, or portion of security, is on loan as of June 30, 2018 pursuant to the Liquidity Agreement.  

 

  Under the Fund’s Liquidity 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 borrowings under the line of credit with the Lender.  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Corporate Bonds

     62.6%  

US Corporate Bonds

     30.0%  

Non-Agency Commercial Mortgage Backed Obligations

     13.5%  

Bank Loans

     12.3%  

Collateralized Loan Obligations

     11.6%  

US Government and Agency Mortgage Backed Obligations

     5.8%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     3.7%  

Non-Agency Residential Collateralized Mortgage Obligation

     2.9%  

Municipal Bonds

     0.9%  

Exchange Traded Funds and Common Stocks

     0.5%  

Asset Backed Obligations

     0.4%  

Short Term Investments

     0.4%  

Other Assets and Liabilities

     (44.6)%  
  

 

 

 
                 100.0%  
  

 

 

 


INVESTMENT BREAKDOWN as a % of Net Assets:

 

Energy

     15.1%  

Non-Agency Commercial Mortgage Backed Obligations

     13.5%  

Collateralized Loan Obligations

     11.6%  

Consumer Products

     9.3%  

Banking

     7.7%  

Telecommunications

     7.3%  

Healthcare

     6.4%  

Utilities

     6.0%  

US Government and Agency Mortgage Backed Obligations

     5.8%  

Finance

     5.8%  

Building and Development (including Steel/Metals)

     5.7%  

Transportation

     4.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     3.7%  

Media

     3.3%  

Pulp & Paper

     3.0%  

Non-Agency Residential Collateralized Mortgage Obligations

     2.9%  

Technology

     2.8%  

Chemical Products

     2.4%  

Insurance

     2.0%  

Automotive

     1.9%  

Electronics/Electric

     1.8%  

Conglomerates

     1.8%  

Construction

     1.8%  

Retailers (other than Food/Drug)

     1.7%  

Containers and Glass Products

     1.7%  

Industrial Equipment

     1.5%  

Chemicals/Plastics

     1.5%  

Hotels/Motels/Inns and Casinos

     1.4%  

Environmental Control

     1.3%  

Business Equipment and Services

     1.2%  

Food Products

     1.2%  

Commercial Services

     1.1%  

Aerospace & Defense

     1.1%  

Mining

     0.9%  

Municipal Bonds

     0.9%  

Beverage and Tobacco

     0.6%  

Pharmaceuticals

     0.5%  

Leisure

     0.5%  

Asset Backed Obligations

     0.4%  

Short Term Investments

     0.4%  

Food/Drug Retailers

     0.2%  

Food Service

     0.2%  

Other Assets and Liabilities

     (44.6)%  
  

 

 

 
                 100.0%  
  

 

 

 

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

     77.3%  

Brazil

     17.2%  

Mexico

     10.0%  

Argentina

     9.7%  

Colombia

     6.6%  

Peru

     4.6%  

Canada

     4.0%  

Dominican Republic

     3.9%  

Guatemala

     1.7%  

Jamaica

     1.7%  

Chile

     1.6%  

South Africa

     1.4%  

Costa Rica

     1.3%  

United Kingdom

     1.1%  

El Salvador

     0.9%  

Luxembourg

     0.6%  

Panama

     0.6%  

Netherlands

     0.3%  

India

     0.1%  

Other Assets and Liabilities

     (44.6)%  
  

 

 

 
                 100.0%  
  

 

 

 


 

Notes to Schedule of Investments

June 30, 2018 (Unaudited)

 

Organization

DoubleLine Income Solutions Fund (the “Fund”) was formed as a closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and originally classified as a non-diversified fund. The Fund is currently operating as a diversified fund. The Fund has previously operated as a non-diversified fund and may operate as a non-diversified fund in the future to the extent permitted by applicable law. The Fund was organized as a Massachusetts business trust on January 10, 2013 and commenced operations on April 26, 2013. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DSL”. The Fund’s primary investment objective is to seek high current income and its secondary objective is to seek capital appreciation.

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”).

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)

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 generally would be categorized as Level 3.

 

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 foreign currency exchange contracts, options contracts, futures, 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. As of June 30, 2018, the Fund has no derivative instruments.

The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security may decline below the repurchase price of the security. The Fund will segregate assets determined to be liquid by the Adviser or otherwise cover its obligations under reverse repurchase agreements. As of June 30, 2018, the Fund had no outstanding reverse repurchase agreements.

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 or fair value.

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of June 30, 2018:

 

Category

  

 

 

Investments in Securities

  

Level 1

  

Money Market Funds

     $ 7,395,333  

Exchange Traded Funds and Common Stocks

     10,684,653  

 

  

 

 

 

Total Level 1

     18,079,986  

Level 2

  

Foreign Corporate Bonds

     1,294,766,934  

US Corporate Bonds

     620,889,306  

Bank Loans

     250,979,711  

Collateralized Loan Obligations

     240,368,251  

Non-Agency Commercial Mortgage Backed Obligations

     142,992,651  

US Government and Agency Mortgage Backed Obligations

     119,270,547  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     76,063,674  

Municipal Bonds

     18,337,500  

Asset Backed Obligations

     8,072,075  

Non-Agency Residential Collateralized Mortgage Obligations

     1,748,732  

 

  

 

 

 

Total Level 2

     2,773,489,381  

Level 3

  

Non-Agency Commercial Mortgage Backed Obligations

     135,608,002  

Non-Agency Residential Collateralized Mortgage Obligations

     58,219,917  

Bank Loans

     2,703,458  

 

  

 

 

 

Total Level 3

     196,531,377  

 

  

 

 

 

Total

       $       2,988,100,744  

 

  

 

 

 

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


The following amounts were transferred between Level 1 to Level 2 as of June 30, 2018. Transfers between Level 1 and Level 2 were due to changes in observable and/or unobservable inputs from the prior fiscal year end.

 

Transfers Out of

Level 2

   

Transfers Into

Level 1

 
$ (8,586,241   $ 8,586,241  

 

 

   

 

 

 


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

 

     Fair Value
as of
9/30/2017
   

Net

Realized

Gain

(Loss)

    Net Change in
Unrealized
Appreciation
(Depreciation) 3
    Net Accretion
(Amortization)
    Purchases 1     Sales 2    

Transfers

Into
Level 3 4

    Transfers
Out of
Level 3 4
    Fair Value
as of
6/30/2018
    Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
6/30/2018 3
 

Investments in Securities

 

                 

Non-Agency Commercial Mortgage Backed Obligations

  $ 149,605,764     $ (3,266,662   $ 97,369     $ 3,500,108     $ -     $ (14,909,578   $ 581,001     $ -     $ 135,608,002     $ (2,030,637

Non-Agency Residential Collateralized Mortgage Obligations

    -       -       -       -       -       -       58,219,917       -       58,219,917       -  

Bank Loans

    -       -       -       -       -       -       2,703,458       -       2,703,458       -  

U.S. Corporate Bonds

    100,000       (6,598,063     6,582,359       -       -       (84,296     -       -       -       -  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 149,705,764     $ (9,864,725   $ 6,679,728     $ 3,500,108     $ -     $ (14,993,874   $ 61,504,376     $ -     $ 196,531,377     $ (2,030,637
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

1 Purchases include all purchases of securities and payups.

2 Sales include all sales of securities, maturities, and paydowns.

3 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at June 30, 2018 may be due to a security that was not held or categorized as Level 3 at either period end.

4 Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.

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

 

      Fair Value
as of
6/30/2018 *
     Valuation
Techniques
   Unobservable
Input
   Input Values     

Impact to valuation from an

increase to input

Non-Agency Commercial Mortgage Backed Obligations

   $ 135,608,002      Market Comparables    Yields      9.10% - 45.71%      Increase in yields would result in the decrease in the fair value of the security

Non-Agency Residential Collateralized Mortgage Obligations

   $ 58,219,917      Market Comparables    Market Quotes      $96.64 - $97.70      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

Bank Loans

   $ 2,703,458      Market Comparables    Market Quotes      $100.75      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

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


Item 2. Controls and Procedures.

 

(a)

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

 

(b)

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

Item 3. Exhibits.

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)  DoubleLine Income Solutions Fund

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

Ronald R. Redell, President and Chief Executive Officer

Date                       8/24/2018                                                  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

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

Ronald R. Redell, President and Chief Executive Officer

Date                       8/24/2018                                                          

By (Signature and Title)            /s/ Susan Nichols                                                   

Susan Nichols, Treasurer and Principal Financial and Accounting Officer

Date                       8/24/2018