Doubleline Income Solutions Fund

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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number 811-22791

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, 2016

Date of reporting period: June 30, 2016

Item 1. Schedule of Investments.

 

DoubleLine Income Solutions Fund

Schedule of Investments

June 30, 2016 (Unaudited)

 

 

Principal Amount
$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Bank Loans - 13.0%

  

      
2,850,000    Alfred Fueling Systems, Inc., Guaranteed Secured 2nd Lien Term Loan      8.50%  #     06/20/2022      2,878,500   
360,792    Alinta Energy Finance Pty Ltd., Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B-DD      6.38%  #     08/13/2018      357,749   
5,428,050    Alinta Energy Finance Pty Ltd., Senior Secured 1st Lien Term Loan, Tranche B      6.38%  #     08/13/2019      5,382,265   
5,333,000    Allflex Holdings, Inc., Guaranteed Secured 2nd Lien Term Loan      8.00%  #     07/19/2021      5,293,002   
6,000,000    Applied Systems, Inc., Secured 2nd Lien Term Loan, Tranche B      7.50%  #     01/24/2022      5,971,890   
6,000,000    Asurion LLC, Secured 2nd Lien Term Loan      8.50%  #     03/03/2021      5,802,000   
2,950,000    Avantor Performance Materials Holdings, Inc., Guaranteed Senior Secured 2nd Lien Term Loan, Tranche B      10.50%  #     06/21/2022      2,898,375   
3,300,000    Avantor Performance Materials Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      6.00%  #     06/21/2022      3,281,438   
2,920,144    Avaya, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B7      6.25%  #     05/29/2020      2,090,341   
5,133,905    BMC Software Finance, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      5.00%  #     09/10/2020      4,569,175   
8,000,000    Capital Automotive LP, Guaranteed Secured 2nd Lien Term Loan      6.00%  #     04/30/2020      8,040,000   
4,957,343    Compuware Corporation, Senior Secured 1st Lien Term Loan, Tranche B2      6.25%  #     12/15/2021      4,607,230   
2,900,000    CSM Bakery Supplies LLC, Secured 2nd Lien Term Loan      8.75%  #¥     07/02/2021      2,755,000   
7,000,000    Cvent, Inc., Senior Secured 1st Lien Term Loan, Tranche B      6.00%  #     06/05/2023      7,000,000   
4,654,150    DI Purchaser, Inc., Senior Secured 1st Lien Term Loan, Tranche B      6.00%  #     12/15/2021      3,804,767   
1,428,250    Douglas Dynamics LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      5.25%  #     12/31/2021      1,421,109   
3,911,909    EnergySolutions LLC, Senior Secured 1st Lien Term Loan, Tranche B      6.75%  #     05/29/2020      3,814,111   
5,615,000    Ferrara Candy Company, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      5.50%  #     06/15/2023      5,618,509   
1,571,222    Filtration Group, Inc. Senior Secured 2nd Lien Term Loan, Tranche B      8.25%  #     11/19/2021      1,552,233   
5,944,444    Four Seasons Holdings, Inc., Guaranteed Secured 2nd Lien Term Loan      6.25%  #     12/28/2020      5,944,474   
2,742,938    Fram Group Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan      7.00%  #     07/28/2017      2,560,231   
962,588    FullBeauty Brands Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      5.75%  #     10/14/2022      918,068   
1,129,000    Goldcup Merger Sub, Inc., Senior Secured 1st Lien Term Loan, Tranche B      6.00%  #     04/12/2023      1,131,823   
5,075,000    GTCR Valor Companies, Inc., Senior Secured 1st Lien Term Loan, Tranche B      7.00%  #     06/16/2023      4,851,396   
5,700,000    Healogics Inc., Secured 2nd Lien Term Loan      9.00%  #     07/01/2022      5,073,000   
5,000,000    Jazz Acquisition, Inc., Secured 2nd Lien Term Loan      7.75%  #     06/17/2022      3,850,000   
7,940,000    KIK Custom Products, Inc., Senior Secured 1st Lien Term Loan, Tranche B      6.00%  #     08/26/2022      7,844,998   
5,940,000    Longview Power LLC, Senior Secured 1st Lien Term Loan, Tranche B      7.00%  #     04/13/2021      5,227,200   
6,850,000    Mauser Holding GmbH, Guaranteed Secured 2nd Lien Term Loan      8.25%  #     07/29/2022      6,413,312   
2,747,000    Micron Technology, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      6.46%  #     04/26/2022      2,767,396   
6,000,000    Mitchell International, Inc., Guaranteed Secured 2nd Lien Term Loan      8.50%  #     10/11/2021      5,585,010   
2,615,000    National Vision, Inc., Secured 2nd Lien Term Loan      6.75%  #     03/11/2022      2,360,037   
5,914,174    North American Lifting, Guaranteed Senior Secured 1st Lien Term Loan      5.50%  #     11/27/2020      4,568,700   
4,850,000    NVA Holdings, Inc., Secured 2nd Lien Term Loan      8.00%  #     08/12/2022      4,807,562   
5,984,772    Ortho-Clinical Diagnostics, Inc., Senior Secured 1st Lien Term Loan, Tranche B      4.75%  #     06/30/2021      5,680,566   
3,095,000    P2 Upstream Acquisition Company, Guaranteed Secured 2nd Lien Term Loan      9.00%  #¥     04/30/2021      2,677,175   
1,950,000    P2 Upstream Acquisition Company, Guaranteed Senior Secured 1st Lien Term Loan      5.00%  #     10/30/2020      1,828,125   
2,092,300    Packaging Coordinators, Inc., Senior Secured 1st Lien Term Loan, Tranche B      6.75%  #     07/30/2021      2,092,300   
5,403,468    PGX Holdings, Inc., Senior Secured 1st Lien Term Loan      5.75%  #     09/29/2020      5,396,714   
4,631,365    Polyconcept Finance B.V., Senior Secured 1st Lien Term Loan, Tranche A1      6.00%  #     06/28/2019      4,585,052   
3,920,000    Precyse Acquisition Corporation, Senior Secured 1st Lien Term Loan, Tranche B      6.50%  #     10/20/2022      3,907,750   
5,800,000    Prime Security Services Borrower LLC, Guaranteed Secured 2nd Lien Term Loan      11.25%  #     07/01/2022      5,882,186   
4,500,000    Rack Merger Sub, Inc., Guaranteed Secured 2nd Lien Term Loan, Tranche B      8.25%  #     10/03/2022      4,027,500   
5,969,697    RentPath LLC, Senior Secured 1st Lien Term Loan, Tranche B      6.25%  #¥     12/17/2021      5,406,307   
2,900,000    RentPath LLC, Secured 2nd Lien Term Loan, Tranche B      10.00%  #¥     12/16/2022      2,276,500   
3,268,575    Rhode Island State Energy Partners, Senior Secured 1st Lien Term Loan, Tranche B      5.75%  #     11/23/2022      3,186,861   
2,658,150    Sabre Industries, Inc., Guarnateed Senior Secured 1st Lien Term Loan      5.75%  #     02/25/2022      2,020,194   
7,880,000    Scientific Games International, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B2      6.00%  #     10/01/2021      7,782,485   
7,580,000    Sedgwick, Inc., Guaranteed Senior Secured 2nd Lien Term Loan      6.75%  #¥     02/28/2022      7,295,750   
4,902,713    Select Medical Corporation, Guaranteed Senior Secured 1st Lien Term Loan, Tranche F      7.50%  #     03/03/2021      4,924,162   
5,029,510    Skillsoft, Senior Secured 1st Lien Term Loan      5.75%  #     04/28/2021      4,011,034   
3,700,000    SolarWinds Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan      6.50%  #     02/06/2023      3,693,063   
5,850,000    Solenis International LP, Guaranteed Secured 2nd Lien Term Loan      7.75%  #     07/29/2022      5,459,980   
4,538,625    Solera, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      5.75%  #     03/03/2023      4,542,869   
4,530,000    SourceHOV LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B      7.75%  #     10/31/2019      3,338,044   
2,950,000    SRS Distribution, Inc., Secured 2nd Lien Term Loan      9.75%  #     02/25/2023      2,948,156   
1,970,000    Tekni-Plex, Inc., Senior Secured 2nd Lien Term Loan      8.75%  #     06/01/2023      1,859,187   
3,410,496    Transtar Holding Company, Secured 2nd Lien Term Loan      12.00%  #¥     10/09/2019      1,023,149   
2,348,177    Transtar Holding Company, Senior Secured 1st Lien Term Loan      7.75%  #     10/09/2018      1,661,335   
4,840,000    US Renal Care, Inc., Senior Secured 2nd Lien Term Loan      9.00%  #     12/29/2023      4,767,400   
5,925,000    Veresen Midstream LP, Senior Secured 1st Lien Term Loan, Tranche B      5.25%  #     03/31/2022      5,747,250   
3,376,538    Vizient, Inc., Senior Secured 1st Lien Term Loan, Tranche B      6.25%  #     02/13/2023      3,406,082   
2,425,000    Wand Intermediate LP, Senior Secured 2nd Lien Term Loan      8.25%  #¥     09/19/2022      2,176,437   
289,141    WASH Multifamily Laundry Systems LLC, Senior Secured 2nd Lien Term Loan      8.00%  #     05/15/2023      285,346   
1,650,859    WASH Multifamily Laundry Systems LLC, Senior Secured 2nd Lien Term Loan      8.00%  #     05/15/2023      1,629,192   
           

 

 

  

Total Bank Loans (Cost $268,809,355)

                    256,559,052   
        

 

 

  

Collateralized Loan Obligations - 7.8%

  

      
2,000,000    Adams Mill Ltd., Series 2014-1A-D2      4.88%  #^     07/15/2026      1,764,771   
6,000,000    Adams Mill Ltd., Series 2014-1A-E2      6.88%  #^     07/15/2026      4,537,867   
1,000,000    ALM Loan Funding, Series 2016-19A-C      4.98%  #^     07/15/2028      999,020   
5,000,000    ALM Loan Funding, Series 2016-19A-D      7.98%  #^     07/15/2028      4,942,790   
2,000,000    ALM Ltd., Series 2014-11A-C      4.13%  #^     10/17/2026      1,851,385   
2,750,000    Apidos Ltd., Series 2012-11A-D      4.88%  #^     01/17/2023      2,680,255   
1,750,000    Apidos Ltd., Series 2013-14A-E      5.03%  #^     04/15/2025      1,404,024   
1,000,000    Apidos Ltd., Series 2014-18A-E      6.64%  #^     07/22/2026      691,736   
3,500,000    ARES Ltd., Series 2012-3A-E      6.38%  #^     01/17/2024      2,976,908   
500,000    Birchwood Park Ltd., Series 2014-1A-E2      7.03%  #^     07/15/2026      413,954   
740,000    BlueMountain Ltd., Series 2012-1A-E      6.13%  #^     07/20/2023      684,941   
2,250,000    BlueMountain Ltd., Series 2012-2A-D      4.74%  #^     11/20/2024      2,170,121   
7,000,000    BlueMountain Ltd., Series 2012-2A-E      5.74%  #^     11/20/2024      6,374,329   
1,500,000    BlueMountain Ltd., Series 2015-2A-F      7.43%  #^     07/19/2027      1,115,169   
4,500,000    Brookside Mill Ltd., Series 2013-1A-D      3.68%  #^     04/17/2025      3,745,597   
6,500,000    Canyon Capital Ltd., Series 2012-1A-D      4.93%  #^     01/15/2024      6,388,615   
3,000,000    Carlyle Global Market Strategies Ltd., Series 2014-3A-C2      4.83%  #^     07/27/2026      2,898,485   
4,500,000    Carlyle Global Market Strategies Ltd., Series 2014-3A-D2      6.88%  #^     07/27/2026      3,898,922   
3,450,000    Cent Ltd., Series 2013-18A-D      4.09%  #^     07/23/2025      3,106,182   
8,500,000    Cent Ltd., Series 2013-18A-E      5.24%  #^     07/23/2025      6,679,803   
2,000,000    Flatiron Ltd., Series 2012-1X-D      6.14%  #     10/25/2024      1,772,129   
1,985,000    Galaxy Ltd., Series 2012-14A-D      5.03%  #^     11/15/2024      1,928,687   
2,750,000    Galaxy Ltd., Series 2012-14X-E      6.03%  #     11/15/2024      2,422,029   
3,000,000    Galaxy Ltd., Series 2014-18A-D2      4.93%  #^     10/15/2026      2,703,575   
5,000,000    Galaxy Ltd., Series 2014-18A-E2      6.93%  #^     10/15/2026      4,152,287   
10,000,000    GoldenTree Loan Opportunities Ltd., Series 2015-10A-E1      6.63%  #^     07/20/2027      8,484,327   
2,000,000    Halcyon Loan Advisors Funding Ltd., Series 2012-1A-D      6.13%  #^     08/15/2023      1,325,063   
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C      4.13%  #^     04/28/2025      816,284   
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D      5.63%  #^     04/28/2025      630,145   
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E      6.38%  #^     04/28/2025      484,076   
3,500,000    LCM LP, Series 14A-E      5.28%  #^     07/15/2025      2,934,066   
3,500,000    LCM LP, Series 14A-F      5.78%  #^     07/15/2025      2,294,025   
7,000,000    LCM LP, Series 19A-E1      7.08%  #^     07/15/2027      6,133,296   
2,500,000    Madison Park Funding Ltd., Series 2014-13X-E      5.63%  #     01/19/2025      2,017,847   
10,022,500    Madison Park Funding Ltd., Series 2015-18A-E2      6.98%  #^     10/21/2026      8,764,660   
9,500,000    Magnetite Ltd., Series 2012-7A-D      5.88%  #^     01/15/2025      7,911,425   
5,250,000    North End Ltd., Series 2013-1A-D      4.13%  #^     07/17/2025      4,552,645   
2,000,000    Octagon Investment Partners Ltd., Series 2013-1A-D      3.98%  #^     07/17/2025      1,762,848   
9,500,000    Octagon Investment Partners Ltd., Series 2013-1A-E      5.13%  #^     07/17/2025      7,227,707   
2,000,000    Octagon Investment Partners Ltd., Series 2014-1A-D      7.23%  #^     11/14/2026      1,741,000   
2,000,000    THL Credit Wind River Ltd., Series 2016-1A-D      5.37%  #^     07/15/2028      1,915,244   
1,000,000    Venture Ltd., Series 2012-10A-D      4.83%  #^     07/20/2022      959,377   
3,000,000    Venture Ltd., Series 2012-12A-E      5.97%  #^     02/28/2024      2,418,438   
4,000,000    Venture Ltd., Series 2013-14A-D      4.42%  #^     08/28/2025      3,566,294   
7,000,000    WhiteHorse Ltd., Series 2012-1A-B1L      4.89%  #^     02/03/2025      6,290,654   
1,250,000    WhiteHorse Ltd., Series 2012-1A-B2L      5.89%  #^     02/03/2025      930,668   
1,600,000    WhiteHorse Ltd., Series 2012-1A-B3L      7.14%  #^     02/03/2025      754,513   
3,250,000    WhiteHorse Ltd., Series 2013-1A-B1L      4.36%  #^     11/24/2025      2,891,822   
2,500,000    Wind River Ltd., Series 2013-2A-D      4.23%  #^     01/18/2026      2,256,512   
2,500,000    Wind River Ltd., Series 2013-2A-E      5.38%  #^     01/18/2026      2,011,760   
           

 

 

  

Total Collateralized Loan Obligations (Cost $176,108,398)

                    153,378,277   
        

 

 

  

Foreign Corporate Bonds - 63.8%

  

      
5,328,331    ACI Airport Sudamerica S.A.      6.88%        11/29/2032      4,875,423   
21,350,000    Aeropuertos Dominicanos      9.75%  #^     11/13/2019      22,833,825   
25,000,000    AES Andres B.V.      7.95%  ^     05/11/2026      26,093,750   
8,000,000    AES El Salvador Trust      6.75%  ^     03/28/2023      6,920,000   
19,000,000    AES El Salvador Trust      6.75%        03/28/2023      16,435,000   
24,850,000    Ajecorp B.V.      6.50%        05/14/2022      10,250,625   
6,352,941    Ardagh Packaging Finance      7.00%  ^     11/15/2020      6,257,647   
1,000,000    Ardagh Packaging Finance      7.25%  ^     05/15/2024      1,025,625   
96,990    Autopistas del Nordeste Ltd.      9.39%        01/15/2026      96,263   
13,000,000    Avianca Holdings S.A.      8.38%        05/10/2020      10,596,300   
27,000,000    Avianca Holdings S.A.      8.38%  ^     05/10/2020      22,007,700   
10,310,000    Banco Continental SAECA      8.88%        10/15/2017      10,503,312   
14,700,000    Banco de Reservas de la Republica Dominicana      7.00%        02/01/2023      14,773,500   
572,000    Banco de Reservas de la Republica Dominicana      7.00%  ^     02/01/2023      574,860   
40,000,000    Banco do Brasil S.A.      9.25%  #†     04/15/2023      33,500,000   
6,350,000    Banco do Brasil S.A.      9.00%  #^†     06/18/2024      4,953,000   
2,258,000    Bantrab Senior Trust      9.00%        11/14/2020      2,014,136   
10,000,000    Bantrab Senior Trust      9.00%  ^     11/14/2020      8,920,000   
23,205,000    BR Malls International Finance Ltd.      8.50%  †     11/07/2016      22,972,950   
25,600,000    Braskem Finance Company      7.13%        07/22/2041      24,386,560   
8,700,000    Braskem Finance Ltd.      7.38%  †     10/29/2049      8,221,500   
3,925,000    C10 Capital SPV Ltd.      6.72%  #†     12/29/2049      3,385,312   
15,500,000    Camposol S.A.      10.50%  ^     07/15/2021      13,020,000   
8,000,000    Cencosud S.A.      6.63%        02/12/2045      7,830,584   
2,000,000    Cencosud S.A.      6.63%  ^     02/12/2045      1,957,646   
18,230,000    CFG Investment S.A.C.      9.75%  W     07/30/2019      11,940,650   
25,000,000    CIMPOR Financial Operations B.V.      5.75%        07/17/2024      18,687,500   
2,612,000    Colombia Telecomunicaciones S.A.      8.50%  #†     12/29/2049      2,311,620   
32,000,000    Colombia Telecomunicaciones S.A.      8.50%  #^†     03/31/2050      28,320,000   
18,000,000    Comcel Trust      6.88%        02/06/2024      17,640,000   
30,900,000    Compania Minera Ares S.A.C.      7.75%        01/23/2021      32,251,875   
7,000,000    Concordia Healthcare Corporation      7.00%  ^     04/15/2023      6,002,500   
29,350,000    CorpGroup Banking S.A.      6.75%        03/15/2023      27,478,938   
25,260,000    Corporacion Azucarera del Peru S.A.      6.38%        08/02/2022      23,441,280   
31,000,000    Cosan Overseas Ltd.      8.25%  †     11/29/2049      29,605,000   
4,000,000    Credito Real S.A.B. de C.V.      7.50%  ^     03/13/2019      4,140,000   
7,000,000    Credito Real S.A.B. de C.V.      7.50%        03/13/2019      7,245,000   
38,600,000    Digicel Ltd.      8.25%        09/30/2020      32,424,000   
5,000,000    Digicel Ltd.      7.13%        04/01/2022      3,743,750   
5,000,000    Digicel Ltd.      7.13%  ^     04/01/2022      3,743,750   
6,100,000    Ecopetrol S.A.      7.38%        09/18/2043      6,100,000   
18,500,000    Ecopetrol S.A.      5.88%        05/28/2045      16,150,500   
25,000,000    Eldorado International Finance GMBH      8.63%  ^     06/16/2021      24,321,250   
13,000,000    Far East Capital Ltd. S.A.      8.75%  ^     05/02/2020      6,307,600   
5,000,000    Far East Capital Ltd. S.A.      8.75%        05/02/2020      2,426,000   
7,800,000    Financiera Independencia S.A.B. de .C.V.      7.50%  ^     06/03/2019      7,449,000   
10,200,000    Financiera Independencia S.A.B. de C.V      7.50%        06/03/2019      9,741,000   
20,000,000    Freeport-McMoRan Copper & Gold, Inc.      5.40%        11/14/2034      16,000,000   
25,400,000    Freeport-McMoRan Copper & Gold, Inc.      5.45%        03/15/2043      20,510,500   
9,765,000    GeoPark Latin America Ltd.      7.50%  ^     02/11/2020      7,763,175   
10,235,000    GeoPark Latin America Ltd.      7.50%        02/11/2020      8,136,825   
17,000,000    Grupo Cementos de Chihuahua S.A.B de C.V.      8.13%        02/08/2020      17,935,000   
29,800,000    Grupo Elektra S.A.B. de C.V.      7.25%        08/06/2018      29,576,500   
10,000,000    Grupo Famsa S.A.B. de C.V.      7.25%  ^     06/01/2020      7,375,000   
3,000,000    Grupo Famsa S.A.B. de C.V.      7.25%        06/01/2020      2,212,500   
5,800,000    Grupo Idesa S.A. de C.V.      7.88%        12/18/2020      5,930,500   
14,700,000    Grupo Idesa S.A. de C.V.      7.88%  ^     12/18/2020      15,030,750   
25,839,000    Grupo Papelero Scribe S.A. de C.V.      8.88%        04/07/2020      26,161,988   
26,000,000    Grupo Posadas S.A.B. de C.V.      7.88%  ^     06/30/2022      26,455,000   
4,000,000    Grupo Posadas S.A.B. de C.V.      7.88%        06/30/2022      4,070,000   
1,000,000    GTL Trade Finance, Inc.      5.89%        04/29/2024      886,700   
29,000,000    GTL Trade Finance, Inc.      7.25%        04/16/2044      24,505,000   
5,622,000    Inkia Energy Ltd.      8.38%  ^     04/04/2021      5,931,210   
19,000,000    Inkia Energy Ltd.      8.38%        04/04/2021      20,045,000   
15,000,000    Instituto Costarricense de Electricidad      6.38%  ^     05/15/2043      11,850,000   
11,800,000    Instituto Costarricense de Electricidad      6.38%        05/15/2043      9,322,000   
4,750,000    Intelsat Jackson Holdings S.A.      8.00%  ^     02/15/2024      4,702,500   
5,000,000    Intelsat S.A.      7.75%        06/01/2021      1,250,000   
9,000,000    Kronos Acquisition Holdings, Inc.      9.00%  ^     08/15/2023      8,865,000   
6,000,000    Latam Airlines Group S.A.      7.25%  ^     06/09/2020      5,842,500   
5,800,000    LBC Tank Terminals Holding B.V.      6.88%  ^     05/15/2023      5,626,000   
4,825,000    Lundin Mining Corporation      7.50%  ^     11/01/2020      4,945,625   
7,500,000    Lundin Mining Corporation      7.88%  ^     11/01/2022      7,706,250   
23,000,000    Magnesita Finance Ltd.      8.63%  †     04/05/2017      17,537,500   
15,000,000    Marfrig Holdings Europe B.V.      8.00%  ^     06/08/2023      15,345,000   
12,650,000    Marfrig Overseas Ltd.      9.50%        05/04/2020      13,073,522   
5,708,280    Mexico Generadora de Energia      5.50%        12/06/2032      5,515,626   
13,168,000    Minerva Luxembourg S.A.      8.75%  #†     04/03/2019      13,365,520   
17,500,000    Minerva Luxembourg S.A.      8.75%  #^†     04/03/2019      17,762,500   
1,222,000    Minerva Luxembourg S.A.      12.25%        02/10/2022      1,325,870   
4,500,000    Minerva Luxembourg S.A.      7.75%        01/31/2023      4,612,500   
30,000,000    Noble Group Ltd.      6.00%  #†     06/24/2049      17,550,000   
29,000,000    OAS Financial Ltd.      8.88%  #^†W     04/25/2018      478,500   
4,784,000    OAS Financial Ltd.      8.88%  #†W     04/29/2049      78,936   
28,000,000    Odebrecht Finance Ltd.      7.13%        06/26/2042      12,320,000   
5,000,000    Odebrecht Finance Ltd.      7.50%  †     09/29/2049      2,475,000   
12,500,000    Pacific Rubiales Energy Corporation      7.25%  W     12/12/2021      2,375,000   
1,500,000    Pacific Rubiales Energy Corporation      7.25%  ^W     12/12/2021      285,000   
14,200,000    Pacific Rubiales Energy Corporation      5.13%  W     03/28/2023      2,698,000   
5,200,000    Pacific Rubiales Energy Corporation      5.63%  W     01/19/2025      988,000   
19,800,000    Pacific Rubiales Energy Corporation      5.63%  ^W     01/19/2025      3,762,000   
15,200,000    Pesquera Exalmar S.A.A.      7.38%        01/31/2020      11,571,000   
19,700,000    Petrobras Global Finance B.V.      8.38%        05/23/2021      20,379,650   
17,200,000    Petrobras Global Finance B.V.      6.75%        01/27/2041      13,889,000   
14,950,000    Petroleos Mexicanos      5.50%        06/27/2044      13,582,822   
2,000,000    Petroleos Mexicanos      6.63%  †     09/29/2049      1,985,000   
21,119,000    Sappi Papier Holding GmbH      7.50%  ^     06/15/2032      19,007,100   
7,500,000    Sappi Papier Holding GmbH      7.50%        06/15/2032      6,750,000   
10,170,000    Sixsigma Networks Mexico S.A. de C.V.      8.25%        11/07/2021      10,208,138   
12,000,000    Sixsigma Networks Mexico S.A. de C.V.      8.25%  ^     11/07/2021      12,045,000   
11,400,000    Southern Copper Corporation      6.75%        04/16/2040      11,831,433   
9,000,000    Southern Copper Corporation      5.88%        04/23/2045      8,487,774   
5,000,000    Telefonica Celular del Paraguay S.A.      6.75%        12/13/2022      5,050,000   
2,770,000    TV Azteca S.A.B. de C.V.      7.50%        05/25/2018      1,869,750   
28,007,000    TV Azteca S.A.B. de C.V.      7.63%        09/18/2020              17,714,427   
26,000,000    Vedanta Resources PLC      8.25%        06/07/2021      21,515,000   
16,600,000    Vedanta Resources PLC      7.13%  ^     05/31/2023      12,657,500   
19,000,000    Volcan Cia Minera S.A.A.      5.38%        02/02/2022      17,290,000   
20,853,000    Votorantim Cimentos S.A.      7.25%        04/05/2041      19,236,893   
           

 

 

  

Total Foreign Corporate Bonds (Cost $1,454,212,229)

                    1,261,131,215   
        

 

 

  

Municipal Bonds - 1.5%

         
45,000,000    Commonwealth of Puerto Rico General Obligation      8.00%        07/01/2035      30,093,750   
           

 

 

  

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

            30,093,750   
        

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 12.3%

         
9,948,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%  #     01/12/2045      9,857,831   
10,000,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/10/2048      7,727,562   
98,999,449    Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA      1.59%  #I/O     02/10/2048      8,855,174   
3,438,112    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-E      3.75%  ^     08/10/2047      2,269,271   
3,929,315    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F      3.75%  ^     08/10/2047      2,209,143   
7,367,549    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G      3.75%  ^¥     08/10/2047      2,081,959   
14,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V      0.00%  #^¥     08/10/2047      –  
30,000,000    Great Wolf Trust, Series 2015-WFMZ-M      7.63%  #^     05/15/2032      28,478,208   
17,730,000    GS Mortgage Securities Corporation, Series 2014-GC20-E      4.53%  #^     04/10/2047      12,149,571   
65,010,362    GS Mortgage Securities Corporation, Series 2014-GC20-XD      1.36%  #^I/O     04/10/2047      4,172,755   
4,100,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2003-C1-F      5.61%  #^     01/12/2037      4,072,992   
3,990,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-FL6-FMS1      3.74%  #^     11/15/2031      3,823,525   
3,649,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-FL6-FMS2      4.39%  #^     11/15/2031      3,499,882   
14,113,175    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E      4.00%  #^     04/15/2047      10,210,741   
7,840,900    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F      3.75%  #^     04/15/2047      4,209,144   
25,090,332    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR      3.75%  #^¥     04/15/2047      7,150,218   
11,900,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-E      3.90%  #^     08/16/2047      8,331,273   
55,727,164    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD      0.92%  #^I/O     08/16/2047      2,658,230   
81,033,314    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA      1.32%  #I/O     01/15/2048      4,990,647   
12,020,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E      2.81%  #^     02/15/2048      6,620,592   
24,531,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE      1.68%  #^I/O     02/15/2048      2,677,819   
19,000,000    LB-UBS Commercial Mortgage Trust, Series 2007-C1-AJ      5.48%        02/15/2040      19,112,968   
6,369,954    Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1-B      5.85%  #     02/12/2039      6,365,585   
25,305,000    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AJ      6.15%  #     02/15/2051      25,134,776   
3,937,000    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-B      6.15%  #     02/15/2051      3,797,666   
4,870,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E      3.25%  ^     08/17/2050      3,042,757   
4,870,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC      1.80%  #^I/O     08/17/2050      526,211   
12,175,807    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD      1.80%  #^I/O     08/17/2050      1,156,511   
18,361,980    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-E      4.37%  #^     06/17/2048      11,286,099   
9,180,600    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F      4.37%  #^     06/17/2048      4,145,225   
39,018,814    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G      4.37%  #^¥     06/17/2048      11,210,027   
21,973,000    WFRBS Commercial Mortgage Trust, Series 2014-LC14-E      3.50%  #^     03/15/2047      14,348,479   
87,892,034    WFRBS Commercial Mortgage Trust, Series 2014-LC14-XC      1.66%  #^I/O     03/15/2047      7,289,436   
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $264,796,345)

            243,462,277   
        

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 6.8%

         
30,000,000    CIM Trust, Series 2016-1RR-B2      12.25%  #^     08/26/2055      25,386,000   
15,000,000    CIM Trust, Series 2016-2RR-B2      12.21%  #^     02/27/2056      12,381,300   
15,000,000    CIM Trust, Series 2016-3RR-B2      12.17%  #^     02/27/2056      12,384,450   
14,896,957    PFCA Home Equity Investment Trust, Series 2002-IFC2-A      4.57%  #^     10/22/2033      14,109,144   
32,910,652    PFCA Home Equity Investment Trust, Series 2003-IFC3-A      4.52%  #^     08/22/2034      33,258,561   
34,925,430    PFCA Home Equity Investment Trust, Series 2003-IFC4-A      4.31%  #^     10/22/2034      33,612,943   
3,678,846    Wachovia Mortgage Loan Trust, Series 2007-A-4A1      6.12%  #     03/20/2037      3,278,576   
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $132,832,546)

            134,410,974   
        

 

 

  

US Corporate Bonds - 22.5%

         
11,840,000    Ahern Rentals, Inc.      7.38%  ^     05/15/2023      8,228,800   
7,705,000    Air Medical Merger Sub Corporation      6.38%  ^     05/15/2023      7,358,275   
8,000,000    American Eagle Energy Corporation      11.00%  ^W¥     09/01/2019      800,000   
7,887,000    American Tire Distributors, Inc.      10.25%  ^     03/01/2022      6,960,277   
8,253,000    Argos Merger Sub, Inc.      7.13%  ^     03/15/2023      8,510,906   
4,800,000    BMC Software Finance, Inc.      8.13%  ^     07/15/2021      3,624,000   
11,345,000    Builders Firstsource, Inc.      10.75%  ^     08/15/2023      12,394,412   
6,875,000    Cengage Learning, Inc.      9.50%  ^     06/15/2024      7,012,500   
10,800,000    Cequel Communications Holdings LLC      7.75%  ^     07/15/2025      11,313,000   
6,905,000    Constellis Holdings LLC      9.75%  ^     05/15/2020      6,627,074   
10,950,000    Coveris Holdings S.A.      7.88%  ^     11/01/2019      10,689,937   
14,045,000    Crimson Merger Sub, Inc.      6.63%  ^     05/15/2022      11,692,463   
5,000,000    Deck Chassis Acquisition Inc      10.00%  ^     06/15/2023      5,187,500   
9,340,000    Embarq Corporation      8.00%        06/01/2036      9,375,025   
3,935,000    EMI Music Publishing Group North America Holdings, Inc.      7.63%  ^     06/15/2024      4,053,050   
4,005,000    Energy Gulf Coast, Inc.      11.00%  ^W     03/15/2020      1,622,025   
2,250,000    Energy Gulf Coast, Inc.      6.88%  W     03/15/2024      258,750   
1,130,000    Energy Gulf Coast, Inc.      7.50%  W     12/15/2021      129,950   
11,710,000    Energy Partners Ltd.      8.25%  W     02/15/2018      1,288,100   
13,510,000    Ensemble S Merger Sub, Inc.      9.00%  ^     09/30/2023      13,391,788   
10,615,000    Expo Event Transco, Inc.      9.00%  ^     06/15/2021      10,760,956   
3,395,000    First Data Corporation      7.00%  ^     12/01/2023      3,458,656   
4,200,000    Frontier Communications Corporation      11.00%        09/15/2025      4,378,500   
9,612,000    Gates Global LLC      6.00%  ^     07/15/2022      8,458,560   
13,500,000    GFL Environmental, Inc.      9.88%  ^     02/01/2021      14,445,000   
11,060,000    Hillman Group, Inc.      6.38%  ^     07/15/2022      9,898,700   
9,400,000    Infor US, Inc.      6.50%        05/15/2022      8,924,172   
5,635,000    KB Home      7.63%        05/15/2023      5,747,700   
7,083,000    Kindred Healthcare, Inc.      8.75%        01/15/2023      7,016,632   
9,275,000    Legacy Reserves LP      6.63%        12/01/2021      3,941,875   
15,350,000    Memorial Production Partners LP      7.63%        05/01/2021      8,327,375   
3,525,000    Micron Technology, Inc.      5.25%  ^     08/01/2023      3,022,688   
1,906,000    Microsemi Corporation      9.13%  ^     04/15/2023      2,106,130   
8,984,000    Midas Intermediate Holdco LLC      7.88%  ^     10/01/2022      8,624,640   
7,420,000    MPH Acquisition Holdings LLC      7.13%  ^     06/01/2024      7,809,550   
7,360,000    Navient Corporation      8.00%        03/25/2020      7,539,437   
5,000,000    Neptune Finco Corporation      10.88%  ^     10/15/2025      5,737,500   
7,590,000    NRG Energy, Inc.      7.25%  ^     05/15/2026      7,590,000   
10,450,000    Omega LLC      8.75%  ^     07/15/2023      10,293,250   
10,150,000    Onex York Acquisition Corporation      8.50%  ^     10/01/2022      7,536,375   
7,635,000    OPE KAG Finance Sub, Inc.      7.88%  ^     07/31/2023      7,558,650   
7,005,000    Prime Security Services Borrower LLC      9.25%  ^     05/15/2023      7,442,813   
7,880,000    RCN Telecom Services LLC      8.50%  ^     08/15/2020      8,106,550   
4,790,000    RegionalCare Hospital Partners Holdings Inc.      8.25%  ^     05/01/2023      4,921,725   
10,920,000    Reynolds Group Issuer LLC      8.25%        02/15/2021      11,425,596   
6,340,000    Sanchez Energy Corporation      7.75%        06/15/2021      5,404,850   
5,470,000    SandRidge Energy, Inc.      8.75%  ^W     06/01/2020      2,270,050   
9,761,000    Scientific Games International, Inc.      7.00%  ^     01/01/2022      9,858,610   
11,956,000    Select Medical Corporation      6.38%        06/01/2021      11,537,540   
9,300,000    Signode Industrial Group, Inc.      6.38%  ^     05/01/2022      8,939,625   
8,115,000    Solera Finance, Inc.      10.50%  ^     03/01/2024      8,556,253   
11,052,000    Southern Graphics, Inc.      8.38%  ^     10/15/2020      11,107,260   
5,655,000    SUPERVALU, Inc.      6.75%        06/01/2021      4,778,362   
9,335,000    Surgery Center Holdings, Inc.      8.88%  ^     04/15/2021      9,615,050   
7,315,000    Tenet Healthcare Corporation      6.75%        06/15/2023      7,031,544   
7,000,000    TMS International Corporation      7.63%  ^     10/15/2021      4,935,000   
7,375,000    TransDigm, Inc.      6.50%        07/15/2024      7,448,750   
11,840,000    Triangle USA Petroleum Corporation      6.75%  ^     07/15/2022      2,782,400   
5,210,000    Viking Cruises Ltd.      8.50%  ^     10/15/2022      4,467,575   
3,925,000    Viking Cruises Ltd.      6.25%  ^     05/15/2025      2,983,000   
3,385,000    Vizient, Inc.      10.38%  ^     03/01/2024      3,638,875   
5,000,000    Western Digital Corporation      10.50%  ^     04/01/2024      5,362,500   
5,539,000    WMG Acquisition Corporation      6.75%  ^     04/15/2022      5,608,238   
12,275,000    Woodside Homes Company LLC      6.75%  ^     12/15/2021      11,415,750   
           

 

 

  

Total US Corporate Bonds (Cost $496,424,572)

            443,332,094   
           

 

 

  

US Government / Agency Mortgage Backed Obligations - 9.6%

  

      
17,125,182    Federal Home Loan Mortgage Corporation, Series 3631-SJ      5.80%  #I/FI/O     02/15/2040      3,569,263   
22,318,420    Federal Home Loan Mortgage Corporation, Series 3770-SP      6.06%  #I/FI/O     11/15/2040      2,717,810   
43,718,707    Federal Home Loan Mortgage Corporation, Series 3980-SX      6.06%  #I/FI/O     01/15/2042      9,620,271   
18,147,416    Federal Home Loan Mortgage Corporation, Series 4212-NS      4.87%  #I/F     06/15/2043      18,177,806   
7,901,902    Federal National Mortgage Association, Series 2006-83-SH      6.11%  #I/FI/O     09/25/2036      1,692,150   
15,430,381    Federal National Mortgage Association, Series 2007-22-S      6.30%  #I/FI/O     03/25/2037      3,143,936   
33,737,951    Federal National Mortgage Association, Series 2010-123-SK      5.60%  #I/FI/O     11/25/2040      7,078,691   
42,703,232    Federal National Mortgage Association, Series 2012-52-PS      6.13%  #I/FI/O     05/25/2042      9,791,693   
24,940,412    Federal National Mortgage Association, Series 2013-55-US      5.32%  #I/F     06/25/2043      24,508,728   
46,407,072    Federal National Mortgage Association, Series 2013-58-KS      5.25%  #I/F     06/25/2043      45,693,284   
25,335,800    Federal National Mortgage Association, Series 2013-58-SC      5.32%  #I/F     06/25/2043      24,907,404   
39,351,942    Federal National Mortgage Association, Series 2013-64-SH      5.32%  #I/F     06/25/2043      39,359,864   
           

 

 

  

Total US Government / Agency Mortgage Backed Obligations (Cost $180,908,294)

            190,260,900   
           

 

 

  

Short Term Investments - 0.8%

  

      
5,383,913    BlackRock Liquidity Funds FedFund - Institutional Shares        0.31%  ¿          5,383,913   
5,383,914    Fidelity Institutional Money Market Government Portfolio - Class I        0.26%  ¿          5,383,914   
5,383,913    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class        0.27%  ¿          5,383,913   
           

 

 

  

Total Short Term Investments (Cost $16,151,740)

            16,151,740   
           

 

 

  

Total Investments - 138.1% (Cost $3,028,234,073) ‡

  

         2,728,780,279   
Liabilities in Excess of Other Assets - (38.1)%            (753,268,848)   
           

 

 

  

NET ASSETS - 100.0%

            $         1,975,511,431   
           

 

 

  

 

  #  Variable rate security. Rate disclosed as of June 30, 2016.  

 

  ^  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, 2016, the value of these securities amounted to $1,170,707,999 or 59.3% of net assets.  

 

  †  Perpetual Maturity  

 

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

 

  I/O  Interest only security  

 

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

 

  ¥  Illiquid security. At June 30, 2016, the value of these securities amounted to $44,852,522 or 2.3% of net assets.  

 

  ¿  Seven-day yield as of June 30, 2016  

 

  ‡  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 June 30, 2016 was as follows+:

 

Tax Cost of Investments

      $ 3,033,347,332   
  

 

 

  

Gross Tax Unrealized Appreciation

      54,702,755   

Gross Tax Unrealized Depreciation

          (359,269,808)   
  

 

 

  

Net Tax Unrealized Appreciation (Depreciation)

      $ (304,567,053)   
  

 

 

  

 

  +  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

      63.8%   

US Corporate Bonds

      22.5%   

Bank Loans

      13.0%   

Non-Agency Commercial Mortgage Backed Obligations

      12.3%   

US Government / Agency Mortgage Backed Obligations

      9.6%   

Collateralized Loan Obligations

      7.8%   

Non-Agency Residential Collateralized Mortgage Obligations

      6.8%   

Municipal Bonds

      1.5%   

Short Term Investments

      0.8%   

Other Assets and Liabilities

      (38.1)%   
  

 

 

  
                 100.0%   
  

 

 

  

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

      72.9%   

Brazil

      17.4%   

Mexico

      11.6%   

Peru

      8.4%   

Colombia

      4.8%   

Dominican Republic

      3.3%   

Chile

      3.0%   

Jamaica

      2.0%   

Canada

      2.0%   

Indonesia

      1.9%   

India

      1.7%   

Guatemala

      1.4%   

South Africa

      1.3%   

El Salvador

      1.2%   

Costa Rica

      1.1%   

China

      0.9%   

Paraguay

      0.8%   

Luxembourg

      0.6%   

Netherlands

      0.5%   

Russia

      0.4%   

Ireland

      0.4%   

Australia

      0.3%   

Uruguay

      0.2%   

Other Assets and Liabilities

      (38.1)%   
  

 

 

  
                 100.0%   
  

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Non-Agency Commercial Mortgage Backed Obligations

      12.3%   

US Government / Agency Mortgage Backed Obligations

      9.6%   

Oil & Gas

      8.7%   

Consumer Products

      8.0%   

Collateralized Loan Obligations

      7.8%   

Mining

      7.7%   

Building and Development (including Steel/Metals)

      6.9%   

Non-Agency Residential Collateralized Mortgage Obligations

      6.8%   

Utilities

      6.7%   

Telecommunications

      5.8%   

Healthcare

      4.9%   

Transportation

      4.1%   

Banking

      3.9%   

Pulp & Paper

      3.8%   

Media

      3.5%   

Business Equipment and Services

      3.3%   

Chemicals/Plastics

      3.3%   

Technology

      3.2%   

Finance

      2.9%   

Hotels/Motels/Inns and Casinos

      2.7%   

Retailers (other than Food/Drug)

      2.5%   

Electronics/Electric

      2.4%   

Containers and Glass Products

      2.1%   

Industrial Equipment

      1.9%   

Automotive

      1.7%   

Municipal Bonds

      1.5%   

Food/Drug Retailers

      1.5%   

Financial Intermediaries

      1.2%   

Real Estate

      1.2%   

Construction

      1.1%   

Insurance

      1.1%   

Short Term Investments

      0.8%   

Leisure

      0.6%   

Beverage and Tobacco

      0.5%   

Food Products

      0.4%   

Cosmetics/Toiletries

      0.4%   

Energy

      0.4%   

Health Care Providers & Services

      0.4%   

Pharmaceuticals

      0.3%   

Environmental Control

      0.2%   

Other Assets and Liabilities

      (38.1)%   
  

 

 

  
                 100.0%   
  

 

 

  

 

 

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of June 30, 20161:

 

Category

       

Investments in Securities

   

Level 1

   

Money Market Funds

      $ 16,151,740   

 

   

 

 

  

Total Level 1

      16,151,740   

Level 2

   

Foreign Corporate Bonds

      1,261,131,215   

US Corporate Bonds

      442,532,094   

Bank Loans

      252,858,728   

Non-Agency Commercial Mortgage Backed Obligations

      144,197,778   

US Government / Agency Mortgage Backed Obligations

      190,260,900   

Collateralized Loan Obligations

      153,378,277   

Non-Agency Residential Collateralized Mortgage Obligations

      134,410,974   

Municipal Bonds

      30,093,750   

 

   

 

 

  

Total Level 2

      2,608,863,716   

Level 3

   

Non-Agency Commercial Mortgage Backed Obligations

      99,264,499   

Bank Loans

      3,700,324   

US Corporate Bonds

      800,000   

 

   

 

 

  

Total Level 3

      103,764,823   

 

   

 

 

  

Total

      $       2,728,780,279   

 

   

 

 

  

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 June 30, 2016.

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

 

     Balance as
of 9/30/2015		    

Net

Realized
Gain
(Loss)

     Net Change in
Unrealized
Appreciation
(Depreciation) 4		     Net Accretion
(Amortization)		     Purchases 1     Sales 2     Transfers
Into
Level 3 3		     Transfers
Out of
Level 3 3		     Balance as
of 6/30/2016		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
6/30/2016 4		  

Investments in Securities

  

Non-Agency Commercial Mortgage Backed Obligations

   $ 34,296,163      $ -      $ (3,777,206 )    $ 486,759      $ -      $ -      $ 68,258,783      $ -      $ 99,264,499      $ (3,777,206 ) 

Bank Loans

     -        -        -        -        -        -        3,700,324        -        3,700,324        -   

US Corporate Bonds

     -        -        -        -        -        -        800,000        -        800,000        -   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 34,296,163      $ -      $ (3,777,206 )    $ 486,759      $ -      $ -      $ 72,759,107      $ -      $ 103,764,823      $ (3,777,206 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Purchases include all purchases of securities and payups.

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

3 Transfers between Level 3 and Level 2 were due to a change in observable and/or unobservable inputs from the prior fiscal year end.

4 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at June 30, 2016 may be due to a security that was not held or categorized as Level 3 at either period end.

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

 

     

Fair Value
as of

  6/30/2016 *

      Valuation
Techniques		    Unobservable
Input		    Input Values     

Impact to valuation from an

increase to input

Non-Agency Commercial Mortgage Backed Obligations

    $ 99,264,499       Market Comparables    Yields      7.52%  -  18.93%       Increase in yields would result in the decrease in the fair value of the security

Bank Loans

    $ 3,700,324       Market Comparables    Market Quotes      $30.00  -  $86.50       Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

US Corporate Bonds

    $ 800,000       Market Comparables    Market Quotes      $10.00       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                       August 24, 2016                                                 

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

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

Ronald R. Redell, President and Chief Executive Officer

Date                       August 24, 2016                                                         

By (Signature and Title)            /s/ Susan Nichols                                                   

Susan Nichols, Treasurer and Principal Financial and Accounting Officer

Date                       August 24, 2016